Vanguard® Emerging Markets Bond Fund
Schedule of Investments (unaudited)
As of December 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
U.S. Government and Agency Obligations (0.5%) | |||||
1,2 | United States Treasury Note/Bond (Cost $12,632) | 1.375% | 11/15/31 | 12,700 | 12,533 |
Corporate Bonds (19.5%) | |||||
Azerbaijan (1.1%) | |||||
3 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 23,215 | 26,671 |
State Oil Co. of The Azerbaijan Republic | 6.950% | 3/18/30 | 1,335 | 1,612 | |
28,283 | |||||
Brazil (0.5%) | |||||
Embraer SA | 5.150% | 6/15/22 | 5,862 | 5,945 | |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 5,710 | 6,169 | |
12,114 | |||||
Chile (3.1%) | |||||
4 | Empresa de los Ferrocarriles del Estado | 3.830% | 9/14/61 | 4,356 | 4,206 |
Empresa Nacional del Petroleo | 4.375% | 10/30/24 | 5,209 | 5,544 | |
Empresa Nacional del Petroleo | 3.750% | 8/5/26 | 32,641 | 33,555 | |
Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 19,206 | 20,742 | |
4 | Empresa Nacional del Petroleo | 3.450% | 9/16/31 | 17,850 | 16,955 |
81,002 | |||||
Indonesia (0.6%) | |||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 4.125% | 5/15/27 | 6,518 | 6,952 | |
4,5 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 1.875% | 11/5/31 | 4,400 | 4,813 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 5.250% | 10/24/42 | 4,317 | 4,861 | |
16,626 | |||||
Kazakhstan (2.7%) | |||||
4,6 | Development Bank of Kazakhstan JSC | 10.950% | 5/6/26 | 3,450,000 | 7,829 |
4 | Development Bank of Kazakhstan JSC | 2.950% | 5/6/31 | 7,229 | 7,199 |
Kazakhstan Temir Zholy Finance BV | 6.950% | 7/10/42 | 4,115 | 5,487 | |
KazMunayGas National Co. JSC | 4.750% | 4/19/27 | 8,078 | 8,927 | |
KazMunayGas National Co. JSC | 5.750% | 4/19/47 | 9,200 | 11,274 | |
KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 13,500 | 17,721 | |
KazTransGas JSC | 4.375% | 9/26/27 | 11,599 | 12,639 | |
71,076 | |||||
Malaysia (1.3%) | |||||
Petronas Capital Ltd. | 3.500% | 4/21/30 | 30,779 | 33,300 | |
Mexico (4.3%) | |||||
4 | CIBANCO SA Institucion de Banca Multiple Trust CIB | 4.375% | 7/22/31 | 8,565 | 8,195 |
4 | Comision Federal de Electricidad | 3.875% | 7/26/33 | 23,234 | 22,785 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Comision Federal de Electricidad | 3.875% | 7/26/33 | 6,818 | 6,693 | |
4 | Comision Federal de Electricidad | 4.677% | 2/9/51 | 3,036 | 2,856 |
Comision Federal de Electricidad | 4.677% | 2/9/51 | 2,793 | 2,635 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 7,850 | 7,923 | |
4,7 | Petroleos Mexicanos | 6.700% | 2/16/32 | 46,998 | 47,328 |
Petroleos Mexicanos | 5.625% | 1/23/46 | 1 | 1 | |
Petroleos Mexicanos | 6.750% | 9/21/47 | 13,860 | 12,263 | |
110,679 | |||||
Peru (1.8%) | |||||
4 | Minsur SA | 4.500% | 10/28/31 | 13,550 | 13,755 |
4 | Petroleos del Peru SA | 5.625% | 6/19/47 | 8,750 | 8,726 |
Petroleos del Peru SA | 5.625% | 6/19/47 | 23,138 | 23,109 | |
45,590 | |||||
Russia (1.0%) | |||||
Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 20,522 | 22,029 | |
Lukoil International Finance BV | 4.750% | 11/2/26 | 4,585 | 4,905 | |
26,934 | |||||
Saudi Arabia (2.7%) | |||||
SA Global Sukuk Ltd. | 0.946% | 6/17/24 | 21,296 | 20,991 | |
Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 5,800 | 5,989 | |
Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 20,900 | 22,346 | |
Saudi Arabian Oil Co. | 2.250% | 11/24/30 | 4,250 | 4,140 | |
Saudi Arabian Oil Co. | 4.250% | 4/16/39 | 13,500 | 15,252 | |
68,718 | |||||
Thailand (0.4%) | |||||
Bangkok Bank PCL | 3.733% | 9/25/34 | 10,552 | 10,783 | |
Venezuela (0.0%) | |||||
7,8 | Petroleos de Venezuela SA | 6.000% | 11/15/26 | 2,850 | 107 |
8 | Petroleos de Venezuela SA | 5.375% | 4/12/27 | 462 | 18 |
125 | |||||
Total Corporate Bonds (Cost $512,985) | 505,230 | ||||
Sovereign Bonds (63.6%) | |||||
Albania (0.1%) | |||||
4,5 | Republic of Albania | 3.500% | 11/23/31 | 2,516 | 2,815 |
Angola (0.6%) | |||||
Republic of Angola | 8.250% | 5/9/28 | 16,073 | 16,180 | |
Republic of Angola | 9.125% | 11/26/49 | 600 | 576 | |
16,756 | |||||
Argentina (1.2%) | |||||
Republic of Argentina | 1.000% | 7/9/29 | 926 | 337 | |
9 | Republic of Argentina, 0.750% coupon rate effective 7/9/23 | 0.500% | 7/9/30 | 39,288 | 13,760 |
9 | Republic of Argentina, 1.500% coupon rate effective 7/9/22 | 1.125% | 7/9/35 | 55,311 | 17,618 |
9 | Republic of Argentina, 3.500% coupon rate effective 7/9/22 | 2.500% | 7/9/41 | 700 | 248 |
31,963 | |||||
Azerbaijan (0.4%) | |||||
Republic of Azerbaijan | 4.750% | 3/18/24 | 8,000 | 8,493 | |
7 | Republic of Azerbaijan | 5.125% | 9/1/29 | 2,795 | 3,053 |
11,546 | |||||
Bahrain (1.1%) | |||||
Kingdom of Bahrain | 7.500% | 9/20/47 | 4,256 | 4,317 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Kingdom of Bahrain | 6.250% | 1/25/51 | 27,818 | 25,519 | |
29,836 | |||||
Belarus (0.4%) | |||||
Republic of Belarus | 7.625% | 6/29/27 | 2,200 | 2,024 | |
Republic of Belarus | 6.200% | 2/28/30 | 1,760 | 1,402 | |
Republic of Belarus | 6.378% | 2/24/31 | 8,460 | 6,740 | |
10,166 | |||||
Brazil (3.4%) | |||||
10 | Brazil Notas do Tesouro Nacional Serie F | 10.000% | 1/1/27 | 106,250 | 19,546 |
Federative Republic of Brazil | 4.625% | 1/13/28 | 41,976 | 43,805 | |
Federative Republic of Brazil | 4.750% | 1/14/50 | 26,499 | 23,554 | |
86,905 | |||||
Cameroon (0.3%) | |||||
4,5 | Republic of Cameroon | 5.950% | 7/7/32 | 6,192 | 6,602 |
Chile (1.0%) | |||||
Republic of Chile | 3.240% | 2/6/28 | 23,610 | 24,873 | |
Colombia (2.9%) | |||||
Republic of Colombia | 5.000% | 6/15/45 | 37,497 | 33,833 | |
Republic of Colombia | 5.200% | 5/15/49 | 28,548 | 26,264 | |
Republic of Colombia | 3.875% | 2/15/61 | 18,426 | 14,188 | |
74,285 | |||||
Croatia (0.6%) | |||||
Republic of Croatia | 5.500% | 4/4/23 | 8,000 | 8,453 | |
5 | Republic of Croatia | 2.750% | 1/27/30 | 4,616 | 5,951 |
14,404 | |||||
Dominican Republic (2.2%) | |||||
7 | Dominican Republic | 5.875% | 4/18/24 | 3,344 | 3,502 |
Dominican Republic | 5.500% | 1/27/25 | 17,546 | 18,978 | |
Dominican Republic | 5.875% | 1/30/60 | 35,846 | 34,457 | |
56,937 | |||||
Ecuador (2.0%) | |||||
4,7 | Republic of Ecuador | 0.000% | 7/31/30 | 978 | 555 |
7 | Republic of Ecuador | 0.000% | 7/31/30 | 11,915 | 6,702 |
9 | Republic of Ecuador, 2.500% coupon rate effective 7/31/22 | 1.000% | 7/31/35 | 42,500 | 27,837 |
9 | Republic of Ecuador, 5.500% coupon rate effective 7/31/22 | 5.000% | 7/31/30 | 20,080 | 16,641 |
51,735 | |||||
Egypt (0.5%) | |||||
Arab Republic of Egypt | 7.903% | 2/21/48 | 9,354 | 7,865 | |
Arab Republic of Egypt | 8.875% | 5/29/50 | 6,347 | 5,765 | |
13,630 | |||||
El Salvador (1.2%) | |||||
Republic of El Salvador | 5.875% | 1/30/25 | 8,172 | 5,101 | |
Republic of El Salvador | 8.625% | 2/28/29 | 14,836 | 9,118 | |
Republic of El Salvador | 8.250% | 4/10/32 | 8,500 | 5,206 | |
Republic of El Salvador | 7.125% | 1/20/50 | 21,740 | 11,902 | |
31,327 | |||||
Gabon (0.4%) | |||||
7 | Republic of Gabon | 6.625% | 2/6/31 | 11,345 | 11,031 |
Georgia (0.8%) | |||||
4 | Republic of Georgia | 2.750% | 4/22/26 | 20,340 | 20,269 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Guatemala (2.2%) | |||||
Republic of Guatemala | 5.750% | 6/6/22 | 9,942 | 10,123 | |
Republic of Guatemala | 4.500% | 5/3/26 | 17,162 | 18,108 | |
Republic of Guatemala | 4.375% | 6/5/27 | 12,498 | 13,147 | |
Republic of Guatemala | 4.875% | 2/13/28 | 9,160 | 9,866 | |
7 | Republic of Guatemala | 4.900% | 6/1/30 | 3,000 | 3,240 |
7 | Republic of Guatemala | 6.125% | 6/1/50 | 2,900 | 3,318 |
57,802 | |||||
Honduras (0.8%) | |||||
7 | Republic of Honduras | 7.500% | 3/15/24 | 19,033 | 20,164 |
Hungary (1.4%) | |||||
Republic of Hungary | 5.375% | 2/21/23 | 4,570 | 4,801 | |
Republic of Hungary | 5.750% | 11/22/23 | 3,100 | 3,365 | |
4 | Republic of Hungary | 2.125% | 9/22/31 | 11,093 | 10,919 |
5 | Republic of Hungary | 1.625% | 4/28/32 | 6,800 | 8,086 |
4 | Republic of Hungary | 3.125% | 9/21/51 | 10,359 | 10,200 |
37,371 | |||||
Indonesia (1.3%) | |||||
Republic of Indonesia | 3.850% | 7/18/27 | 4,300 | 4,715 | |
Republic of Indonesia | 6.625% | 2/17/37 | 4,675 | 6,531 | |
Republic of Indonesia | 4.625% | 4/15/43 | 4,050 | 4,770 | |
Republic of Indonesia | 4.350% | 1/11/48 | 15,043 | 17,307 | |
Republic of Indonesia | 3.700% | 10/30/49 | 700 | 742 | |
34,065 | |||||
Iraq (0.1%) | |||||
7 | Republic of Iraq | 5.800% | 1/15/28 | 3,424 | 3,282 |
Ivory Coast (0.8%) | |||||
4,5 | Republic of Cote d'Ivoire | 4.875% | 1/30/32 | 1,526 | 1,669 |
5 | Republic of Cote d'Ivoire | 6.875% | 10/17/40 | 1,715 | 2,033 |
5,7 | Republic of Cote d'Ivoire | 6.625% | 3/22/48 | 4,800 | 5,406 |
4,5,7 | Republic of Cote d'Ivoire | 6.625% | 3/22/48 | 10,599 | 11,937 |
21,045 | |||||
Jordan (0.4%) | |||||
Kingdom of Jordan | 7.375% | 10/10/47 | 10,151 | 10,282 | |
Kazakhstan (0.6%) | |||||
Republic of Kazakhstan | 4.875% | 10/14/44 | 13,500 | 16,592 | |
Lebanon (0.1%) | |||||
8 | Lebanon Republic | 8.250% | 4/12/21 | 2,430 | 286 |
8 | Lebanon Republic | 6.100% | 10/4/22 | 2,250 | 239 |
8 | Lebanon Republic | 6.650% | 4/22/24 | 2,890 | 307 |
8 | Lebanon Republic | 7.000% | 3/20/28 | 6,310 | 640 |
8 | Lebanon Republic | 6.650% | 2/26/30 | 4,900 | 517 |
8 | Lebanon Republic | 7.150% | 11/20/31 | 1,445 | 145 |
8 | Lebanon Republic | 8.200% | 5/17/33 | 1,445 | 147 |
8 | Lebanon Republic | 8.250% | 5/17/34 | 1,445 | 147 |
2,428 | |||||
Mexico (3.7%) | |||||
11 | Mexican Bonos | 7.750% | 5/29/31 | 620,000 | 30,612 |
11 | Mexican Bonos | 8.500% | 11/18/38 | 636,710 | 32,687 |
United Mexican States | 4.500% | 4/22/29 | 6,513 | 7,255 | |
United Mexican States | 2.659% | 5/24/31 | 8,344 | 8,135 | |
United Mexican States | 4.750% | 4/27/32 | 3,640 | 4,116 | |
United Mexican States | 3.771% | 5/24/61 | 5,190 | 4,781 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
United Mexican States | 5.750% | 10/12/10 | 6,500 | 7,490 | |
95,076 | |||||
Mongolia (0.3%) | |||||
Mongolia | 5.625% | 5/1/23 | 4,843 | 4,985 | |
4 | Mongolia | 5.125% | 4/7/26 | 3,020 | 3,088 |
8,073 | |||||
Morocco (1.0%) | |||||
4,5 | Kingdom of Morocco | 2.000% | 9/30/30 | 14,650 | 16,221 |
4 | Kingdom of Morocco | 4.000% | 12/15/50 | 10,589 | 9,623 |
25,844 | |||||
Nigeria (2.0%) | |||||
Republic of Nigeria | 7.625% | 11/28/47 | 12,720 | 11,397 | |
4 | Republic of Nigeria | 8.250% | 9/28/51 | 42,610 | 39,946 |
51,343 | |||||
North Macedonia (0.2%) | |||||
4,5 | North Macedonia | 1.625% | 3/10/28 | 2,183 | 2,326 |
5 | North Macedonia | 1.625% | 3/10/28 | 2,542 | 2,709 |
5,035 | |||||
Oman (1.7%) | |||||
Sultanate of Oman | 6.500% | 3/8/47 | 13,590 | 13,466 | |
Sultanate of Oman | 6.750% | 1/17/48 | 8,490 | 8,627 | |
4 | Sultanate of Oman | 7.000% | 1/25/51 | 12,106 | 12,689 |
Sultanate of Oman | 7.000% | 1/25/51 | 10,065 | 10,609 | |
45,391 | |||||
Pakistan (1.2%) | |||||
4 | Islamic Republic of Pakistan | 8.875% | 4/8/51 | 22,150 | 21,992 |
Islamic Republic of Pakistan | 8.875% | 4/8/51 | 9,714 | 9,661 | |
31,653 | |||||
Panama (2.1%) | |||||
Panama Bonos del Tesoro | 3.362% | 6/30/31 | 8,552 | 8,598 | |
7 | Republic of Panama | 4.500% | 4/16/50 | 13,783 | 15,193 |
7 | Republic of Panama | 3.870% | 7/23/60 | 29,804 | 29,808 |
53,599 | |||||
Paraguay (2.3%) | |||||
Republic of Paraguay | 4.625% | 1/25/23 | 27,362 | 28,373 | |
Republic of Paraguay | 5.000% | 4/15/26 | 3,400 | 3,782 | |
7 | Republic of Paraguay | 4.950% | 4/28/31 | 2,460 | 2,775 |
Republic of Paraguay | 6.100% | 8/11/44 | 1,375 | 1,691 | |
Republic of Paraguay | 5.600% | 3/13/48 | 4,590 | 5,347 | |
7 | Republic of Paraguay | 5.400% | 3/30/50 | 14,737 | 16,867 |
58,835 | |||||
Peru (1.8%) | |||||
Corp. Financiera de Desarrollo SA | 4.750% | 7/15/25 | 203 | 221 | |
4 | Corp. Financiera de Desarrollo SA | 2.400% | 9/28/27 | 3,805 | 3,700 |
Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 20,462 | 20,866 | |
Republic of Peru | 7.350% | 7/21/25 | 5,461 | 6,506 | |
Republic of Peru | 3.000% | 1/15/34 | 16,124 | 16,085 | |
47,378 | |||||
Philippines (1.8%) | |||||
Republic of Philippines | 3.950% | 1/20/40 | 13,150 | 14,723 | |
5 | Republic of Philippines | 1.750% | 4/28/41 | 21,863 | 24,709 |
Republic of Philippines | 3.200% | 7/6/46 | 6,055 | 6,173 | |
45,605 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
Qatar (0.3%) | |||||
State of Qatar | 3.400% | 4/16/25 | 8,303 | 8,817 | |
Romania (1.5%) | |||||
5 | Romania | 2.500% | 2/8/30 | 5,939 | 6,805 |
4,5 | Romania | 1.750% | 7/13/30 | 19,185 | 20,355 |
4,5 | Romania | 2.750% | 4/14/41 | 6,000 | 6,096 |
5 | Romania | 2.750% | 4/14/41 | 5,771 | 5,858 |
39,114 | |||||
Russia (2.1%) | |||||
5 | Russian Federation | 1.125% | 11/20/27 | 12,700 | 14,379 |
12 | Russian Federation | 6.900% | 7/23/31 | 1,549,134 | 18,769 |
5 | Russian Federation | 2.650% | 5/27/36 | 17,800 | 20,374 |
53,522 | |||||
Saudi Arabia (0.7%) | |||||
Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 7,300 | 7,871 | |
Kingdom of Saudi Arabia | 4.500% | 10/26/46 | 4,250 | 4,990 | |
Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 5,100 | 6,116 | |
18,977 | |||||
Serbia (2.6%) | |||||
5 | Republic of Serbia | 3.125% | 5/15/27 | 43,998 | 53,348 |
4,5 | Republic of Serbia | 2.050% | 9/23/36 | 14,350 | 14,874 |
68,222 | |||||
South Africa (3.1%) | |||||
Republic of South Africa | 5.875% | 9/16/25 | 5,345 | 5,900 | |
Republic of South Africa | 4.850% | 9/27/27 | 14,200 | 14,978 | |
13 | Republic of South Africa | 8.250% | 3/31/32 | 184,521 | 10,415 |
13 | Republic of South Africa | 8.500% | 1/31/37 | 170,066 | 9,039 |
Republic of South Africa | 6.250% | 3/8/41 | 4,000 | 4,246 | |
Republic of South Africa | 5.000% | 10/12/46 | 18,187 | 16,506 | |
Republic of South Africa | 5.650% | 9/27/47 | 14,312 | 13,742 | |
Republic of South Africa | 5.750% | 9/30/49 | 4,462 | 4,292 | |
79,118 | |||||
Sri Lanka (0.2%) | |||||
Republic of Sri Lanka | 6.125% | 6/3/25 | 8,504 | 4,477 | |
Tunisia (0.4%) | |||||
Banque Centrale de Tunisie International Bond | 5.750% | 1/30/25 | 13,250 | 10,213 | |
Turkey (1.3%) | |||||
5 | Republic of Turkey | 4.375% | 7/8/27 | 4,313 | 4,575 |
Republic of Turkey | 6.000% | 1/14/41 | 8,470 | 7,042 | |
Republic of Turkey | 4.875% | 4/16/43 | 9,107 | 6,986 | |
Republic of Turkey | 5.750% | 5/11/47 | 19,235 | 15,565 | |
34,168 | |||||
Ukraine (2.9%) | |||||
Ukraine | 7.750% | 9/1/23 | 11,800 | 11,565 | |
Ukraine | 8.994% | 2/1/24 | 10,410 | 10,389 | |
Ukraine | 7.750% | 9/1/24 | 10,557 | 10,265 | |
Ukraine | 7.750% | 9/1/25 | 18,715 | 18,005 | |
Ukraine | 7.750% | 9/1/26 | 7,185 | 6,904 | |
Ukraine | 9.750% | 11/1/28 | 501 | 506 | |
4 | Ukraine | 6.876% | 5/21/29 | 5,900 | 5,240 |
5 | Ukraine | 4.375% | 1/27/30 | 4,700 | 4,290 |
4 | Ukraine | 7.253% | 3/15/33 | 8,200 | 7,242 |
7 | Ukreximbank Via Biz Finance plc | 9.750% | 1/22/25 | 88 | 89 |
74,495 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | ||
United Arab Emirates (0.5%) | |||||
4 | Finance Department Government of Sharjah | 4.000% | 7/28/50 | 2,646 | 2,400 |
Finance Department Government of Sharjah | 4.000% | 7/28/50 | 5,860 | 5,299 | |
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 2,135 | 2,257 | |
Sharjah Sukuk Program Ltd. | 2.942% | 6/10/27 | 3,600 | 3,620 | |
13,576 | |||||
Uzbekistan (2.9%) | |||||
Republic of Uzbekistan | 4.750% | 2/20/24 | 24,199 | 25,237 | |
Republic of Uzbekistan | 5.375% | 2/20/29 | 6,150 | 6,557 | |
4 | Republic of Uzbekistan | 3.700% | 11/25/30 | 13,148 | 12,639 |
4 | Republic of Uzbekistan | 3.900% | 10/19/31 | 3,433 | 3,289 |
4 | Uzbekneftegaz JSC | 4.750% | 11/16/28 | 28,100 | 27,079 |
74,801 | |||||
Venezuela (0.0%) | |||||
8 | Republic of Venezuela | 11.750% | 10/21/26 | 640 | 45 |
8 | Republic of Venezuela | 7.000% | 3/31/38 | 1,500 | 105 |
150 | |||||
Vietnam (0.2%) | |||||
Socialist Republic of Vietnam | 4.800% | 11/19/24 | 4,700 | 5,098 | |
Total Sovereign Bonds (Cost $1,716,189) | 1,650,691 | ||||
Shares | |||||
Temporary Cash Investments (13.3%) | |||||
Money Market Fund (13.3%) | |||||
14 | Vanguard Market Liquidity Fund (Cost $344,615) | 0.090% | 3,446,524 | 344,618 |
Counterparty | Expiration Date | Exercise Price | Notional Value ($000) | |||
Options Purchased (0.0%) | ||||||
Foreign Currency Options (0.0%) | ||||||
Call Options | ||||||
EUR | BARC | 10/21/22 | USD1.220 | EUR110,665 | 399 |
Counterparty | Expiration Date | Exercise Price | Notional Value ($000) | Market Value ($000) | ||
Put Options | ||||||
USD | BNPSW | 7/21/22 | JPY95.100 | USD10,000 | 1 | |
Total Options Purchased (Cost $1,386) | 400 | |||||
Total Investments (96.9%) (Cost $2,587,807) | 2,513,472 | |||||
Other Assets and Liabilities—Net (3.1%) | 79,466 | |||||
Net Assets (100.0%) | 2,592,938 | |||||
Cost is in $000. |
1 | Securities with a value of $1,314,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $2,004,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
3 | Guaranteed by the Republic of Azerbaijan. |
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 December 31, 2021, the aggregate value was $418,412,000, representing 16.1% of net assets. |
5 | Face amount denominated in euro. |
6 | Face amount denominated in Kazakhstan Tenge. |
7 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
8 | Non-income-producing security—security in default. |
9 | Step bond. |
10 | Face amount denominated in Brazilian dollars. |
11 | Face amount denominated in Mexican pesos. |
12 | Face amount denominated in Russian rubles. |
13 | Face amount denominated in South African rand. |
14 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
EUR—euro. | |
JPY—Japanese yen. | |
USD—U.S. dollar. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | March 2022 | 270 | 58,906 | (11) |
10-Year U.S. Treasury Note | March 2022 | 359 | 46,838 | 523 |
Ultra 10-Year U.S. Treasury Note | March 2022 | 202 | 29,580 | 423 |
935 | ||||
Short Futures Contracts | ||||
Long U.S. Treasury Bond | March 2022 | (332) | (53,265) | (561) |
Ultra Long U.S. Treasury Bond | March 2022 | (119) | (23,458) | (178) |
(739) | ||||
196 |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
BNP Paribas | 1/4/22 | BRL | 129,817 | USD | 23,243 | 44 | — |
Goldman Sachs & Co. | 1/4/22 | BRL | 95,853 | USD | 17,176 | 19 | — |
Morgan Stanley Capital Services Inc. | 1/4/22 | BRL | 3,160 | USD | 557 | 10 | — |
Citibank, N.A. | 3/16/22 | CLP | 22,622,302 | USD | 26,710 | — | (467) |
Citibank, N.A. | 3/16/22 | CZK | 592,371 | USD | 26,171 | 744 | — |
Bank of America, N.A. | 3/16/22 | EUR | 37,300 | USD | 42,154 | 379 | — |
Morgan Stanley Capital Services Inc. | 3/16/22 | HUF | 13,891,740 | USD | 42,370 | 113 | — |
UBS AG | 3/16/22 | ILS | 41,085 | USD | 12,989 | 235 | — |
Morgan Stanley Capital Services Inc. | 3/16/22 | JPY | 5,347,055 | USD | 47,160 | — | (645) |
Bank of America, N.A. | 3/16/22 | JPY | 1,500,950 | USD | 13,209 | — | (152) |
Standard Chartered Bank | 3/16/22 | JPY | 1,488,303 | USD | 13,175 | — | (228) |
BNP Paribas | 3/16/22 | THB | 834,917 | USD | 24,953 | 34 | — |
Standard Chartered Bank | 3/16/22 | TRY | 985 | USD | 60 | 10 | — |
JPMorgan Chase Bank, N.A. | 3/16/22 | ZAR | 208,137 | USD | 13,024 | — | (102) |
BNP Paribas | 1/4/22 | USD | 23,202 | BRL | 129,817 | — | (86) |
BNP Paribas | 2/2/22 | USD | 19,818 | BRL | 111,761 | — | (91) |
Goldman Sachs & Co. | 1/4/22 | USD | 17,010 | BRL | 95,853 | — | (185) |
Morgan Stanley Capital Services Inc. | 1/4/22 | USD | 566 | BRL | 3,160 | — | (1) |
BNP Paribas | 3/16/22 | USD | 13,130 | CLP | 11,544,815 | — | (263) |
UBS AG | 3/16/22 | USD | 18,863 | CNY | 120,950 | — | (69) |
Deutsche Bank AG | 3/16/22 | USD | 290,197 | EUR | 256,715 | — | (2,534) |
Standard Chartered Bank | 3/16/22 | USD | 28,082 | EUR | 24,770 | — | (163) |
Morgan Stanley Capital Services Inc. | 3/16/22 | USD | 6,110 | EUR | 5,372 | — | (17) |
JPMorgan Chase Bank, N.A. | 3/16/22 | USD | 559 | EUR | 492 | — | (2) |
UBS AG | 3/16/22 | USD | 41,422 | HUF | 13,680,158 | — | (414) |
Citibank, N.A. | 3/16/22 | USD | 13,169 | ILS | 40,944 | — | (10) |
BNP Paribas | 7/22/22 | USD | 9,683 | JPY | 971,945 | 1,210 | — |
Citibank, N.A. | 3/16/22 | USD | 52,570 | MXN | 1,118,440 | — | (1,322) |
UBS AG | 3/16/22 | USD | 9,939 | MXN | 208,720 | — | (118) |
Goldman Sachs & Co. | 3/16/22 | USD | 29 | MXN | 618 | — | (1) |
Morgan Stanley Capital Services Inc. | 3/16/22 | USD | 38,735 | PHP | 1,965,917 | 309 | — |
Morgan Stanley Capital Services Inc. | 3/16/22 | USD | 26,848 | PLN | 110,784 | — | (490) |
Barclays Bank plc | 3/16/22 | USD | 28,459 | RUB | 2,164,519 | 130 | — |
UBS AG | 3/16/22 | USD | 13,145 | RUB | 989,687 | 192 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
JPMorgan Chase Bank, N.A. | 1/11/22 | USD | 8,961 | TRY | 106,980 | 945 | — |
BNP Paribas | 3/16/22 | USD | 18,635 | ZAR | 303,190 | — | (187) |
4,374 | (7,547) |
BRL—Brazilian real. |
CLP—Chilean peso. |
CNY—Chinese renminbi. |
CZK—Czech koruna. |
EUR—euro. |
HUF—Hungarian forint. |
ILS—Israeli shekel. |
JPY—Japanese yen. |
MXN—Mexican peso. |
PHP—Philippines Peso. |
PLN—Polish zloty. |
RUB—Russian ruble. |
THB—Thai baht. |
TRY—Turkish lira. |
USD—U.S. dollar. |
ZAR—South African rand. |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount (000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Purchased | ||||||
CDX-NA-HY-S36-V1 | 6/23/26 | USD | 10,885 | (5.000) | (1,000) | 84 |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
Over-the-Counter Credit Default Swaps | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Credit Protection Sold/Moody's Rating | ||||||||
Republic of Chile/A1 | 12/22/26 | MSCS | 43,870 | 1.000 | 629 | 315 | 314 | — |
Republic of Indonesia/Baa2 | 12/22/26 | BARC | 26,800 | 1.000 | 327 | 95 | 232 | — |
Republic of Indonesia/Baa2 | 12/22/26 | BNPSW | 11,650 | 1.000 | 143 | 100 | 43 | — |
1,099 | 510 | 589 | — | |||||
Credit Protection Purchased | ||||||||
Petroleos Mexicanos | 12/22/26 | BARC | 15,300 | (1.000) | 1,421 | 1,579 | — | (158) |
Republic of Colombia | 12/22/26 | MSCS | 18,167 | (1.000) | 859 | 389 | 470 | — |
Over-the-Counter Credit Default Swaps (continued) | ||||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Remaining Up-Front Premium Paid (Received) ($000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) |
Republic of Mexico | 12/22/26 | BARC | 42,565 | (1.000) | (218) | (20) | — | (198) |
Republic of Peru | 12/22/26 | MSCS | 21,295 | (1.000) | (256) | (132) | — | (124) |
1,806 | 1,816 | 470 | (480) | |||||
2,905 | 2,326 | 1,059 | (480) |
1 | Periodic premium received/paid quarterly. |
BARC—Barclays Bank plc. | |
BNPSW—BNP Paribas. | |
MSCS—Morgan Stanley Capital Services LLC. |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
At December 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $2,905,000 and cash of $480,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps | ||||||
Termination Date | Future Effective Date | Notional Amount ($000) | Interest Rate Received (%) | Interest Rate (Paid) (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) |
1/2/23 | N/A | 794,837 | 11.7001 | (9.150)2 | 107 | 87 |
1/4/27 | N/A | 58,530 | 11.1251 | (6.150)2 | 378 | 377 |
3/16/27 | 3/16/223 | 353,776 | 2.4604 | (0.000)5 | 211 | 155 |
3/16/27 | 3/16/223 | 114,961 | 0.0006 | (3.245)7 | 733 | 943 |
5/29/31 | N/A | 373,495 | 5.7001 | (7.365)8 | 168 | 168 |
3/3/32 | 3/16/223 | 447,650 | 7.3911 | (0.000)8 | (296) | (296) |
1,301 | 1,434 |
1 | Interest payment received/paid monthly. |
2 | Based on 1-Day Overnight Brazil CETIP Interbank Deposit Rate as of the most recent payment date. Interest payment received/paid at maturity. |
3 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
4 | Interest payment received/paid quarterly. |
5 | Based on 7-day China Fixing Repo Rate as of the most recent payment date. Interest payment received/paid quarterly. |
6 | Based on Poland Warsaw Interbank Offered Rate as of the most recent payment date. Interest payment received/paid semiannually. |
7 | Interest payment received/paid annually. |
8 | Based on 28-day Mexican Interbank Rate (TIIE) as of the most recent payment date. Interest payment received/paid every 28 days. |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).
E. Options: The fund invests in options on foreign currency, which are transacted over-the-counter (OTC) and not on an exchange. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to
tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into options with a diverse group of prequalified counterparties and monitoring their financial strength. The primary risk associated with purchasing options on foreign currency is that the value of the underlying foreign currencies may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options on foreign currency is that the value of the underlying foreign currencies may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
Options contracts on foreign currency are valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
F. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
G. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 12,533 | — | 12,533 |
Corporate Bonds | — | 505,230 | — | 505,230 |
Sovereign Bonds | — | 1,650,691 | — | 1,650,691 |
Temporary Cash Investments | 344,618 | — | — | 344,618 |
Options Purchased | — | 400 | — | 400 |
Total | 344,618 | 2,168,854 | — | 2,513,472 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 946 | — | — | 946 |
Forward Currency Contracts | — | 4,374 | — | 4,374 |
Swap Contracts | 1,8141 | 1,059 | — | 2,873 |
Total | 2,760 | 5,433 | — | 8,193 |
Liabilities | ||||
Futures Contracts1 | 750 | — | — | 750 |
Forward Currency Contracts | — | 7,547 | — | 7,547 |
Swap Contracts | 2961 | 480 | — | 776 |
Total | 1,046 | 8,027 | — | 9,073 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |