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

Annual Report | January 31, 2020

Vanguard U.S. Government Bond Funds

Vanguard Short-Term Treasury Fund

Vanguard Short-Term Federal Fund

Vanguard Intermediate-Term Treasury Fund

Vanguard Long-Term Treasury Fund

Contents

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

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by theSecurities and Exchange Commission, paper copies of your fund’s annual andsemiannual shareholder reports will no longer be sent to you by mail, unless youspecifically request them. Instead, you will be notified by mail each time a reportis 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 notbe affected by this change and do not need to take any action. You may elect toreceive shareholder reports and other communications from the fund electronicallyby contacting your financial intermediary (such as a broker-dealer or bank) or, if youinvest directly with the fund, by calling Vanguard at one of the phone numbers onthe back cover of this report or by logging on to vanguard.com.

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

A Note From Our Chairman. . . . . . . . . . . . . . . . . . . . . . . . . . 1

Your Fund’s Performance at a Glance. . . . . . . . . . . . . . . . . . 2

Advisor’s Report. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

About Your Fund’s Expenses. . . . . . . . . . . . . . . . . . . . . . . . . 6

Short-Term Treasury Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Short-Term Federal Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . 25

Intermediate-Term Treasury Fund. . . . . . . . . . . . . . . . . . . . 45

Long-Term Treasury Fund. . . . . . . . . . . . . . . . . . . . . . . . . . 63

1

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

Mortimer J. Buckley Chairman and Chief Executive Officer March 3, 2020

A Note From Our Chairman

Tim BuckleyChairman and Chief Executive Officer

• For the 12 months ended January 31, 2020, the returns of the funds in this report ranged from 3.91% for Vanguard Short-Term Treasury Fund to 21.84% for Vanguard Long-Term Treasury Fund. (Returns cited are for Investor Shares.) Although Admiral Shares of the Long-Term Treasury Fund outperformed that fund’s index slightly, Investor Shares of each fund underperformed their benchmarks.

• The Federal Reserve cut interest rates three times during the funds’ fiscal year. Its target rate now stands at 1.5%–1.75%, 75 basis points lower than it was at the beginning of the period. (A basis point is one-hundredth of a percentage point.) U.S. economic growth and labor market gains remained healthy, and inflation remained in check. In this environment, global bond yields generally fell and prices rose.

• Relative performance was hindered primarily by the funds’ structurally shorter durations—that is, their lower levels of interest rate sensitivity—compared with their benchmarks. Out-of-benchmark allocations to agency mortgage-backed securities, on the other hand, helped the funds.

Your Fund’s Performance at a Glance

Market Barometer Average Annual Total Returns Periods Ended January 31, 2020

One Year Three Years Five Years

Stocks

Russell 1000 Index (Large-caps) 21.39% 14.33% 12.13%

Russell 2000 Index (Small-caps) 9.21 7.28 8.23

Russell 3000 Index (Broad U.S. market) 20.53 13.82 11.85

FTSE All-World ex US Index (International) 10.28 7.74 5.24

Bonds

Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) 9.64% 4.62% 3.01%

Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) 8.65 5.12 3.53

FTSE Three-Month U.S. Treasury Bill Index 2.18 1.68 1.07

CPI

Consumer Price Index 2.49% 2.04% 2.00%

2

Advisor’s Report

3

Falling interest rates and tame inflation helped boost the returns of U.S. bonds for the 12 months ended January 31, 2020. The returns of the four funds in this report ranged from 3.91% for Vanguard Short-Term Treasury Fund to 21.84% for Vanguard Long-Term Treasury Fund. (The returns and yields cited in this report are for Investor Shares.) Our duration and yield curve positions held back relative performance, and Investor Shares of each fund underperformed their benchmarks. (Admiral Shares of the Long-Term Treasury Fund slightly outperformed that fund’s benchmark.)

Investment environmentThe financial markets during the period were driven largely by shifts in the outlook for global growth and monetary policy.

Gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3%, after adjusting for inflation, in the first quarter of 2019. Its pace of growth then slowed amid weaker business confidence, trade disputes, and fading effects of tax cuts. The unemployment rate edged downward

to finish the period at a half-century low of 3.6%. Although the trend helped keep consumers spending, the pace of job gains slowed. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) remained at or a little above 2%.

After raising rates four times in 2018, the Federal Reserve began to reverse gears in March with an announcement that it would end its balance-sheet drawdown. It then lowered the federal funds rate in August, September, and October. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to cushion the effects of trade policies and prolong an economic expansion in its 11th year.

Rate cuts and slowing growth contributed to declines in yields across the maturity spectrum. The Treasury yield curve was inverted for part of the period—that is, yields of shorter-term bonds were higher than those of longer-term bonds—but finished the year displaying a more typical upward slope.

Yields of U.S. Treasury Securities January 31, January 31, Maturity 2019 2020

2 years 2.46% 1.31%

3 years 2.43 1.33

5 years 2.44 1.31

10 years 2.63 1.51

30 years 3.00 2.00

Source: Vanguard.

4

Fed action pushed shorter-term Treasury yields significantly lower. The yield of the 2-year Treasury note fell 115 basis points over the period to 1.31%. (A basis point is one-hundredth of a percentage point. Changes in yields may reflect rounding.)

Demand for longer-term Treasury bonds was supported by escalating trade tensions, geopolitical flare-ups, and political uncertainties in Europe early in the period. While some of those concerns lessened later on, yields on these securities finished the period significantly lower. The yield of the 30-year Treasury note ended down 100 basis points at 2.00%.

Management of the fundsThe funds’ relative performance was held back primarily by structurally shorter durations—that is, their levels of interest rate sensitivity—compared with their benchmarks. In general, bonds with shorter durations don’t perform as well on a relative basis when interest rates are falling.

Our yield curve positions also did not perform as expected because geopolitical uncertainties led to a flight to quality during the summer that caused the yield curve to invert.

In response to this challenging environment, we looked to boost returns by adding higher-yielding asset classes to our portfolios. Strong selection in mortgage-backed securities helped returns. So did our positions in agency debt, which

we overweighted in Vanguard Short-Term Federal Fund, and an out-of-benchmark allocation in the three Treasury Funds.

Our Treasury Funds also benefited from exposure to Treasury Inflation-Protected Securities, particularly earlier in the period when valuations were more attractive. Those funds’ performance also was helped by tactical plays with cash and futures contracts.

These positions in higher-yielding instruments helped offset much of the drag from our duration and yield curve positions. As a result, the returns of Investor Shares of our funds narrowly trailed those of their benchmarks for the period.

OutlookGlobal growth is likely to keep softening, with trade tensions and policy uncertainty unlikely to ease substantially. The U.S. economy may fall below 2% trend growth in 2020, according to Vanguard economists.

Other major economies are likely to see a deceleration as well in 2020. China, the world’s second-largest economy, may see growth of around 5.8%. The coronavirus outbreak will weigh on its economy in the near term, but we see the potential for a rebound in the second half of the year amid anticipated government stimulus. In the euro area, growth may stay weak, at about 1%.

5

This backdrop, along with modest wage gains and structural factors such as technology advancements and globalization, is unlikely to support a sustained rebound in inflation.

In the United States, inflation may trend closer to the Fed’s 2% target, but—given the structural forces still in play—not much higher.

We may see bouts of volatility related to growth, inflation, and interest rate expectations, but investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a low-yield bond environment, bonds can play a useful role as ballast in a portfolio, helping to provide downside protection alongside riskier assets such as equities.

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek out opportunities to add to the fund’s performance.

John Hollyer, CFA, Principal and Global Head of Fixed Income Group

Gemma Wright-Casparius, Principal and Portfolio Manager

Brian Quigley, Portfolio Manager

Vanguard Fixed Income Group

February 19, 2020

About Your Fund’s Expenses

6

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 sellingsecurities. Further, the expenses do not include any purchase, redemption, or account servicefees described in the fund prospectus. If such fees were applied to your account, your costswould 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 mayhave been higher or lower, depending on the amount of your investment and the timing of anypurchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in theFinancial Statements section of this report. For additional information on operating expenses andother shareholder costs, please refer to your fund’s current prospectus.

7

Six Months Ended January 31, 2020

BeginningAccount Value

7/31/2019

EndingAccount Value

1/31/2020

ExpensesPaid During

Period

Based on Actual Fund Return

Short-Term Treasury Fund

Investor Shares $1,000.00 $1,016.68 $1.02

Admiral™ Shares 1,000.00 1,017.19 0.51

Short-Term Federal Fund

Investor Shares $1,000.00 $1,019.73 $1.02

Admiral Shares 1,000.00 1,020.24 0.51

Intermediate-Term Treasury Fund

Investor Shares $1,000.00 $1,034.01 $1.03

Admiral Shares 1,000.00 1,034.53 0.51

Long-Term Treasury Fund

Investor Shares $1,000.00 $1,104.97 $1.06

Admiral Shares 1,000.00 1,105.52 0.53

Based on Hypothetical 5% Yearly Return


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios forthat period are: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term FederalFund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and0.10% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollaramounts 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-monthperiod (184/365).

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher thanthe performance data cited. For performance data current to the most recent month-end, visitour website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

See Financial Highlights for dividend and capital gains information.


8

Cumulative Performance: January 31, 2010, Through January 31, 2020Initial Investment of $10,000

2020201920182017201620152014201320122011

$16,000

9,000

11,330

Average Annual Total ReturnsPeriods Ended January 31, 2020

OneYear

FiveYears

TenYears

Final Valueof a $10,000Investment

Short-Term Treasury Fund InvestorShares 3.91% 1.35% 1.26% $11,330

• • • • • • •Bloomberg Barclays U.S. 1–5 YearTreasury Bond Index 4.85 1.65 1.71 11,851

_________Bloomberg Barclays U.S. AggregateBond Index 9.64 3.01 3.79 14,501

OneYear

FiveYears

TenYears


Short-Term Treasury Fund Admiral Shares 4.01% 1.45% 1.36% $57,228

Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index 4.85 1.65 1.71 59,254

Bloomberg Barclays U.S. Aggregate Bond Index 9.64 3.01 3.79 72,507

Sector DiversificationAs of January 31, 2020


9

Asset-Backed 0.3%

Government Mortgage-Backed 19.2

Treasury/Agency 80.5

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

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.


Financial Statements

Statement of Net AssetsAs of January 31, 2020

U.S. Government and Agency Obligations (92.2%)

U.S. Government Securities (84.7%)

United States Treasury Inflation Indexed Bonds 0.125% 4/15/21 600,000 649,614

United States Treasury Note/Bond 1.750% 12/31/20 350,000 350,658


United States Treasury Note/Bond 1.375% 1/31/21 110,000 109,8621 United States Treasury Note/Bond 2.125% 1/31/21 254,000 255,509



































Face Market

Maturity Amount Value•

Coupon Date ($000) ($000)

10
















7,540,117

Agency Bonds and Notes (1.0%)

Government Trust Certificate 0.000% 10/1/20 12,119 11,977

Private Export Funding Corp. 2.250% 3/15/20 5,800 5,805

Resolution Funding Corp. Principal Strip 0.000% 10/15/20 72,620 71,825

89,607

Conventional Mortgage-Backed Securities (5.9%) 3,4 Fannie Mae Pool 3.000% 9/1/49–1/1/50 154,042 157,8153,4 Fannie Mae Pool 3.500% 10/1/44–1/1/50 6,554 6,3133,4 Fannie Mae Pool 4.500% 7/1/47–7/1/49 91,603 98,6693,4 Freddie Mac Gold Pool 6.000% 10/1/27–4/1/28 51 583 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 10,613 10,7213 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 141 2113,4 UMBS Pool 3.500% 2/1/49–2/1/50 77,818 81,2323,4 UMBS Pool 4.000% 2/1/47–2/1/50 141,651 148,2383,4 UMBS Pool 4.500% 8/1/49 23,537 25,299

528,556

Nonconventional Mortgage-Backed Securities (0.6%) 3,4 Fannie Mae REMICS 3.000% 9/25/44 3,695,656 3,7873,4 Freddie Mac REMICS 2.500% 10/25/49 5,897,323 5,9963 Ginnie Mae REMICS 2.000% 11/20/42 4,808 4,8363 Ginnie Mae REMICS 2.500% 11/20/47 1,964 2,0033 Ginnie Mae REMICS 3.000% 8/20/44 29,724 30,4293 Ginnie Mae REMICS 4.000% 10/20/47 2,879 3,030

50,081

Total U.S. Government and Agency Obligations (Cost $8,146,897) 8,208,361

Asset-Backed/Commercial Mortgage-Backed Securities (1.3%)

3,4 Fannie Mae-Aces 2012-124E 1.500% 11/25/42 2,236 2,1753,4 Fannie Mae-Aces 2013-104A 3.000% 10/25/33 12,576 13,2193,4 Fannie Mae-Aces 2013-20E 1.500% 3/25/43 2,597 2,5253,4 Fannie Mae-Aces 2017-67D 3.000% 2/25/44 5,594 5,8063,4 Fannie Mae-Aces 2018-91A 4.000% 12/25/46 15,149 16,0163,4 Fannie Mae-Aces 2019-68G 2.500% 5/25/48 2,652,868 2,6893,4 Fannie Mae-Aces 2019-83A 2.500% 12/25/49 2,464,947 2,4933,4 FHLMC Multifamily Structured

Pass Through Certificates 4122K 1.500% 10/15/42 1,638 1,5933,4 FHLMC Multifamily Structured

Pass Through Certificates 4194A 1.700% 4/15/43 2,355 2,336

Face Market



11


Face Market



3,4 FHLMC Multifamily Structured

Pass Through Certificates 4852D 4.000% 10/15/46 31,897 33,1703,4 FHLMC Multifamily Structured

Pass Through Certificates 4927F 2.250% 9/25/49 1,968 1,9813,4 FHLMC Multifamily Structured

Pass Through Certificates 4950A 2.500% 12/25/49 1,750 1,7783 Small Business Administration Participation

Certs 2002-20L 5.100% 12/1/22 398 4113 Small Business Administration Participation

Certs 2004-20G 5.190% 7/1/24 270 2843 Small Business Administration Participation

Certs 2005-20J 5.090% 10/1/25 871 9083 Small Business Administration Participation

Certs 2006-20D 5.640% 4/1/26 1,113 1,1873 Small Business Administration Participation

Certs 2006-20L 5.120% 12/1/26 1,843 1,9543 Small Business Administration Participation

Certs 2007-20D 5.320% 4/1/27 1,334 1,4133 Small Business Administration Participation

Certs 2007-20G 5.820% 7/1/27 963 1,0493 Small Business Administration Participation

Certs 2007-20I 5.560% 9/1/27 5,247 5,6213 Small Business Administration Participation


Certs 2009-20J 3.920% 10/1/29 3,724 3,8803 Small Business Administration Participation

Certs 2009-20K 4.090% 11/1/29 1,833 1,9203 Small Business Administration Participation

Certs 2018-20C 5.230% 3/1/27 1,603 1,7003 Small Business Administration Participation

Certs 2018-20E 5.310% 5/1/27 2,645 2,8173 Small Business Administration Participation

Certs 2019-25L 5.520% 6/1/24 566 596

Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $111,020) 111,975

Shares

Temporary Cash Investment (0.5%)

Money Market Fund (0.5%)5 Vanguard Market Liquidity Fund

(Cost $46,444) 1.730% 464,361 46,445

Notional

Expiration Exercise Amount

Date Contracts Price ($000)

Options Purchased (0.0%)

Exchange-Traded Options (0.0%)

Put Options

10-Year U.S. Treasury

Note Futures Contracts 2/21/20 537 $127.00 68,199 —


Note Futures Contracts 2/21/20 1,615 $130.00 209,950 177

Total Options Purchased (Cost $361) 177

Total Investments (94.0%) (Cost $8,304,722) 8,366,958

12


Face Market



Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)

3,4,6 Fannie Mae Pool 4.000% 12/1/46–3/1/50 (118,458) (124,170)3,4,6 UMBS Pool 3.000% 2/1/49–2/1/50 (112,600) (115,151)

Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments

(Proceeds $239,005) (239,321)

Other Assets and Liabilities (8.7%)

Other Assets 1,425,305

Other Liabilities7 (654,579)

770,726

Net Assets (100%) 8,898,363

Amount

($000)

Statement of Assets and Liabilities

Assets

Investments in Securities, at Value

Unaffiliated Issuers 8,320,336

Affiliated Issuers 46,445

Options Purchased 177

Total Investments in Securities 8,366,958

Investment in Vanguard 388

Receivables for Investment Securities Sold 1,358,430

Receivables for Accrued Income 36,142

Receivables for Capital Shares Issued 27,459

Variation Margin Receivable—Futures Contracts 2,259

Other Assets 627

Total Assets 9,792,263

Liabilities

Payables for Investment Securities Purchased 638,510

Payables for Capital Shares Redeemed 9,901

Payables for Distributions 2,537

Payables to Vanguard 1,959

Liability for Sale Commitments 239,321

Options Written, at Value7 853

Variation Margin Payable—Futures Contracts 819

Total Liabilities 893,900

Net Assets 8,898,363

13


At January 31, 2020, net assets consisted of:

Amount

($000)

Paid-in Capital 8,927,425

Total Distributable Earnings (Loss) (29,062)


Investor Shares—Net Assets

Applicable to 61,537,173 outstanding $.001 par value shares of

beneficial interest (unlimited authorization) 654,886

Net Asset Value Per Share—Investor Shares $10.64

Admiral Shares—Net Assets


beneficial interest (unlimited authorization) 8,243,477

Net Asset Value Per Share—Admiral Shares $10.64

• See Note A in Notes to Financial Statements.

1 Securities with a value of $4,719,000 have been segregated as initial margin for open futures contracts.

2 Securities with a value of $2,719,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

4 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.

5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

7 Includes premiums received of $403,000.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

14


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

Derivative Financial Instruments Outstanding as of Period End

Options Written

Notional Market

Expiration Exercise Amount Value

Date Contracts Price ($000) ($000)

Exchange-Traded Options

Call Options

10-Year U.S. Treasury Note Futures Contracts 2/21/20 114 $130.75 14,906 (134)

10-Year U.S. Treasury Note Futures Contracts 2/21/20 537 131.00 70,347 (537)


(756)

Put Options

10-Year U.S. Treasury Note Futures Contracts 2/21/20 2,148 $129.00 277,092 (67)


(97)

Total Options Written (Premiums Received $403) (853)

Futures Contracts

($000)

Value and

Number of Unrealized

Long (Short) Notional Appreciation

Expiration Contracts Amount (Depreciation)

Long Futures Contracts

2-Year U.S. Treasury Note March 2020 9,264 2,004,353 8,540

5-Year U.S. Treasury Note March 2020 478 57,513 2


8,722

Short Futures Contracts

30-Year U.S. Treasury Bond March 2020 (463) (75,715) (2,988)

Ultra Long U.S. Treasury Bond March 2020 (253) (49,003) (370)

Ultra 10-Year U.S. Treasury Note March 2020 (190) (27,675) (701)

(4,059)

4,663

15

Year Ended

January 31, 2020

($000)

Investment Income

Income

Interest1 214,643

Total Income 214,643

Expenses

The Vanguard Group—Note B

Investment Advisory Services 1,173

Management and Administrative—Investor Shares 1,152

Management and Administrative—Admiral Shares 6,110

Marketing and Distribution—Investor Shares 99

Marketing and Distribution—Admiral Shares 514

Custodian Fees 40

Auditing Fees 37

Shareholders’ Reports—Investor Shares 21

Shareholders’ Reports—Admiral Shares 106

Trustees’ Fees and Expenses 5

Total Expenses 9,257

Net Investment Income 205,386

Realized Net Gain (Loss)

Investment Securities Sold1 77,712

Futures Contracts 9,314

Options Purchased (557)

Options Written 1,422

Realized Net Gain (Loss) 87,891

Change in Unrealized Appreciation (Depreciation)

Investment Securities1 42,880



Options Written (404)

Change in Unrealized Appreciation (Depreciation) 46,440

Net Increase (Decrease) in Net Assets Resulting from Operations 339,717

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $7,741,000, ($4,000), and $9,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Operations



16

Statement of Changes in Net Assets



Year Ended January 31,

2020 2019

($000) ($000)

Increase (Decrease) in Net Assets

Operations

Net Investment Income 205,386 171,682

Realized Net Gain (Loss) 87,891 (97,804)

Change in Unrealized Appreciation (Depreciation) 46,440 85,373

Net Increase (Decrease) in Net Assets Resulting from Operations 339,717 159,251

Distributions

Net Investment Income

Investor Shares (15,949) (14,540)

Admiral Shares (189,824) (157,171)

Realized Capital Gain

Investor Shares — —

Admiral Shares — —

Total Distributions (205,773) (171,711)

Capital Share Transactions


Admiral Shares 735,111 352,852

Net Increase (Decrease) from Capital Share Transactions 708,045 288,284

Total Increase (Decrease) 841,989 275,824

Net Assets

Beginning of Period 8,056,374 7,780,550

End of Period 8,898,363 8,056,374

17

Investor Shares

For a Share Outstanding Year Ended January 31,

Throughout Each Period 2020 2019 2018 2017 2016

Net Asset Value, Beginning of Period $10.48 $10.49 $10.65 $10.73 $10.75

Investment Operations

Net Investment Income .2451 .2271 .1271 .094 .074

Net Realized and Unrealized Gain (Loss)

on Investments .160 (.009) (.160) (.048) (.004)

Total from Investment Operations .405 .218 (.033) .046 .070

Distributions

Dividends from Net Investment Income (.245) (.228) (.127) (.094) (.074)

Distributions from Realized Capital Gains — — — (.032) (.016)

Total Distributions (.245) (.228) (.127) (.126) (.090)

Net Asset Value, End of Period $10.64 $10.48 $10.49 $10.65 $10.73

Total Return2 3.91% 2.11% -0.31% 0.43% 0.66%

Ratios/Supplemental Data

Net Assets, End of Period (Millions) $655 $671 $737 $900 $1,005

Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%

Ratio of Net Investment Income to

Average Net Assets 2.30% 2.18% 1.20% 0.87% 0.69%

Portfolio Turnover Rate3 340% 282% 280% 249% 211%

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 Includes 5%, 37%, 7%, 3%, and 35% attributable to mortgage-dollar-roll activity.

Financial Highlights



18




Admiral Shares







on Investments .162 (.010) (.160) (.048) (.004)


Distributions





Total Return2 4.01% 2.21% -0.21% 0.53% 0.76%


Net Assets, End of Period (Millions) $8,243 $7,385 $7,044 $6,805 $6,271








19

Notes to Financial Statements


Vanguard Short-Term Treasury Fund is registered under the Investment Company Act of 1940 as

an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor

Shares and Admiral Shares. 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. 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. Structured debt securities, including mortgages and asset-backed securities, are valued

using the latest bid prices or using valuations based on a matrix system that considers such factors

as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average

maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are

valued at that fund’s net asset value. Securities for which market quotations are not readily available,

or whose values have been affected by events occurring before the fund’s pricing time but after the

close of the securities’ primary markets, are valued by methods deemed by the board of trustees

to represent fair value.

2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest

in fixed income asset classes with greater efficiency and lower cost than is possible through direct

investment, to add value when these instruments are attractively priced, or to adjust sensitivity to

changes in interest rates. The primary risks associated with the use of futures contracts are imperfect

correlation between changes in market values of bonds held by the fund and the prices of futures

contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options

is that interest rates move in such a way that the option is out-of-the-money, the position is worthless

at expiration, and the fund loses the premium paid. The primary risk associated with writing options

is that interest rates move in such a way that the option is in-the-money, the counterparty exercises

the option, and the fund loses an amount equal to the market value of the option written less the

premium received. Counterparty risk involving futures and exchange-traded options is mitigated

because a regulated clearinghouse is the counterparty instead of the clearing broker. To further

mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial

strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with

its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s

performance and requires daily settlement of variation margin representing changes in the market

value of each contract. Any assets pledged as initial margin for open contracts are noted in the

Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the

contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts

are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of

Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are

recorded as realized futures gains (losses).

20

21


During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 21% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions


may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities 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. Vanguard does not require reimbursement in the current period for certain costs of

22


operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability

for these costs of operations is included in Payables to Vanguard on the Statement of Assets and

Liabilities. All other costs of operations payable to Vanguard 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 January 31, 2020, the fund had contributed to Vanguard capital in the amount of

$388,000, representing less than 0.01% of the fund’s net assets and 0.16% of Vanguard’s capital

received pursuant to the FSA. The fund’s trustees and officers are also directors and employees,

respectively, of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are

summarized in three broad levels for financial statement purposes. The inputs or methodologies

used to value securities are not necessarily an indication of the risk associated with investing in

those securities.

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

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest

rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine

the fair value of investments). Any investments valued with significant unobservable inputs are

noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of

January 31, 2020, based on the inputs used to value them:

Level 1 Level 2 Level 3

Investments ($000) ($000) ($000)

U.S. Government and Agency Obligations — 8,208,361 —

Asset-Backed/Commercial Mortgage-Backed Securities — 111,975 —

Temporary Cash Investments 46,445 — —

Options Purchased 177 — —

Conventional Mortgage-Backed Securities—Liability for

Sale Commitments — (239,321) —

Options Written (853) — —

Futures Contracts—Assets1 2,259 — —

Futures Contracts—Liabilities1 (819) — —

Total 47,209 8,081,015 —

1 Represents variation margin on the last day of the reporting period.

D. Permanent differences between book-basis and tax-basis components of net assets, if any, are

reclassified among capital accounts in the financial statements to reflect their tax character. These

reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable

earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods

for financial statement and tax purposes; these differences will reverse at some time in the future.

The differences are primarily related to the tax deferral of losses on wash sales and straddles; the

23


realization of unrealized gains or losses on certain futures contracts and options; and payables for

distributions. As of period end, the tax-basis components of total distributable earnings (loss) are

detailed in the table as follows:

Amount

($000)

Undistributed Ordinary Income 3,550

Undistributed Long-Term Gains —

Capital Loss Carryforwards (Non-expiring)* (88,155)

Net Unrealized Gains (Losses) 59,570

* The fund used capital loss carryforwards of $92,927,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives,

and sale commitments based on cost for U.S. federal income tax purposes were as follows:

Amount

($000)

Tax Cost 8,307,211

Gross Unrealized Appreciation 63,008

Gross Unrealized Depreciation (3,438)

Net Unrealized Appreciation (Depreciation) 59,570

E. During the year ended January 31, 2020, the fund purchased $26,005,884,000 of

investment securities and sold $24,886,520,000 of investment securities, other than temporary

cash investments.

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


2020 2019

Amount Shares Amount Shares

($000) (000) ($000) (000)

Investor Shares

Issued 276,043 26,184 224,749 21,543

Issued in Lieu of Cash Distributions 13,877 1,313 12,859 1,232

Redeemed (316,986) (30,037) (302,176) (28,954)

Net Increase (Decrease)—Investor Shares (27,066) (2,540) (64,568) (6,179)

Admiral Shares

Issued 2,554,837 241,901 2,652,005 254,299


Redeemed (1,970,252) (186,524) (2,426,047) (233,016)

Net Increase (Decrease)—Admiral Shares 735,111 69,619 352,852 33,442

G. Management has determined that no events or transactions occurred subsequent to January 31,

2020, that would require recognition or disclosure in these financial statements.

24

Performance Summary




25


2020201920182017201620152014201320122011

$16,000

9,000

11,710


OneYear

FiveYears

TenYears


Short-Term Federal Fund InvestorShares 4.46% 1.60% 1.59% $11,710

• • • • • • •Bloomberg Barclays U.S. 1–5 YearGovernment Bond Index 4.83 1.66 1.70 11,837


OneYear

FiveYears

TenYears


Short-Term Federal Fund Admiral Shares 4.56% 1.70% 1.69% $59,150

Bloomberg Barclays U.S. 1–5 Year Government Bond Index 4.83 1.66 1.70 59,186




26

Asset-Backed 4.9%



Other 0.6





www.sec.gov.





U.S. Government Securities (8.2%) 1 United States Treasury Note/Bond 1.500% 1/31/22 155,000 155,484





410,453

Agency Bonds and Notes (19.8%) 3 AID-Israel 0.000% 11/1/24 6,905 6,3714 Fannie Mae Principal Strip 0.000% 1/15/30 5,100 4,1964,5 Fannie Mae Strip 405-1 0.000% 10/25/40 6,325 5,712

Federal Home Loan Banks 1.625% 12/20/21 180,000 180,866

Federal Home Loan Banks 1.500% 8/15/24 55,700 55,993

Federal Home Loan Banks 3.250% 11/16/28 21,500 24,2464 Federal National Mortgage Assn. 1.625% 1/7/25 300,000 302,9944 Freddie Mac Strips 0.000% 7/15/32 37,300 28,763







Resolution Funding Corp. 0.000% 1/15/28 6,400 5,533

Resolution Funding Corp. Interest Strip 0.000% 1/15/27 11,864 10,482





Tennessee Valley Authority Principal Strip 0.000% 11/1/25 17,342 15,686

990,797

Conventional Mortgage-Backed Securities (21.3%) 4,5 Fannie Mae Pool 2.000% 10/1/27–7/1/28 4,817 4,8684,5 Fannie Mae Pool 2.500% 2/1/28–8/1/34 93,014 94,7424,5 Fannie Mae Pool 3.000% 12/1/20–1/1/50 219,471 224,9164,5 Fannie Mae Pool 4.000% 3/1/20–3/1/50 118,791 127,5564,5 Fannie Mae Pool 4.500% 3/1/20–7/1/49 49,579 53,3854,5 Fannie Mae Pool 5.000% 8/1/20–9/1/49 63,082 69,254

Face Market



27


4,5 Fannie Mae Pool 5.500% 2/1/20–1/1/25 104 1064,5 Freddie Mac Gold Pool 2.000% 9/1/28–6/1/30 5,559 5,5594,5 Freddie Mac Gold Pool 2.500% 6/1/22–10/1/31 16,453 16,7924,5 Freddie Mac Gold Pool 3.000% 11/1/29–3/1/31 25,757 26,6164,5 Freddie Mac Gold Pool 3.500% 3/1/21–8/1/29 9,863 10,3324,5 Freddie Mac Gold Pool 4.000% 6/1/20–6/1/46 19,677 21,0294,5 Freddie Mac Gold Pool 4.500% 8/1/20–9/1/26 3,043 3,1494,5 Freddie Mac Gold Pool 5.000% 2/1/20–6/1/25 933 9824,5 Freddie Mac Pool 3.000% 10/1/49 7,467 7,5985 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 26,835 27,0845 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 297 4014,5 UMBS Pool 2.500% 9/1/34–2/1/35 78,879 80,2744,5 UMBS Pool 3.500% 8/1/29–2/1/50 225,295 233,3274,5 UMBS Pool 4.000% 2/1/47–2/1/50 39,091 40,9804,5 UMBS Pool 4.500% 8/1/49 12,634 13,580

1,062,530

Nonconventional Mortgage-Backed Securities (11.5%) 4,5 Fannie Mae REMICS 2.500% 6/25/40–9/25/45 12,465 12,7014,5 Fannie Mae REMICS 3.000% 9/25/44–3/25/48 50,707 51,6834,5 Fannie Mae REMICS 3.500% 10/25/44–10/25/48 34,621 35,7274,5 Freddie Mac REMICS 2.500% 10/15/41–10/25/49 88,865 90,1954,5 Freddie Mac REMICS 3.000% 11/25/47–10/25/48 20,828 21,3664,5 Freddie Mac REMICS 3.500% 5/15/40 3,574 3,6744,5 Freddie Mac REMICS 4.000% 8/15/48 20,286 21,1924,5 Freddie Mac REMICS 6.500% 5/15/24 5,087 5,4445 Ginnie Mae REMICS 1.500% 10/20/45–11/20/45 131,029 128,8125 Ginnie Mae REMICS 1.993% 12/20/42 6,052 6,0465 Ginnie Mae REMICS 2.000% 11/20/42 25,204 25,3515 Ginnie Mae REMICS 2.500% 9/20/43–11/20/47 7,462 7,5745 Ginnie Mae REMICS 3.000% 3/20/41–3/20/48 131,136 133,8115 Ginnie Mae REMICS 3.500% 4/20/48–5/20/49 9,400 9,9885 Ginnie Mae REMICS 4.000% 10/20/47–9/20/48 20,550 21,620

575,184



4,5 Fannie Mae-Aces 2011-48D 3.000% 9/25/49 9,163 9,5144,5 Fannie Mae-Aces 2011-50F 3.000% 9/25/49 14,541 15,0754,5 Fannie Mae-Aces 2011-77A 3.000% 4/25/44 36,131 36,8594,5 Fannie Mae-Aces 2011-84A 5.250% 9/25/41 4,971 5,7414,5 Fannie Mae-Aces 2011-90A 3.500% 12/25/45 3,834 4,0154,5 Fannie Mae-Aces 2012-123F 1.500% 11/25/42 18,123 17,8854,5 Fannie Mae-Aces 2012-124E 1.500% 11/25/42 3,064 2,9814,5 Fannie Mae-Aces 2013-104A 3.000% 10/25/33 6,730 7,0744,5 Fannie Mae-Aces 2013-111B 2.125% 10/25/42 8,410 8,3984,5 Fannie Mae-Aces 2013-114D 2.250% 7/25/43 2,814 2,8244,5 Fannie Mae-Aces 2013-115A 2.000% 11/25/43 8,335 8,3154,5 Fannie Mae-Aces 2013-115B 2.100% 4/25/43 6,784 6,7644,5 Fannie Mae-Aces 2013-115B 2.250% 10/25/43 11,962 12,0104,5 Fannie Mae-Aces 2013-19A 3.500% 3/25/43 2,539 2,7994,5 Fannie Mae-Aces 2013-20E 1.500% 3/25/43 3,617 3,5174,5 Fannie Mae-Aces 2013-46B 1.700% 5/25/43 13,553 13,342

Face Market Maturity Amount Value• Coupon Date ($000) ($000)

28


Face Market



4,5 Fannie Mae-Aces 2013-46C 1.700% 5/25/43 6,876 6,7654,5 Fannie Mae-Aces 2013-46D 1.500% 5/25/43 13,375 13,1154,5 Fannie Mae-Aces 2013-49B 1.650% 12/25/42 20,592 20,4104,5 Fannie Mae-Aces 2013-53G 1.500% 12/25/41 29,337 28,9984,5 Fannie Mae-Aces 2013-57G 1.750% 6/25/41 11,700 11,6294,5 Fannie Mae-Aces 2014-60E 2.000% 9/25/44 23,461 23,3794,5 Fannie Mae-Aces 2014-86A 2.000% 12/25/44 9,532 9,4814,5 Fannie Mae-Aces 2015-18E 1.750% 4/25/44 10,244 10,1334,5 Fannie Mae-Aces 2015-19 2.000% 12/25/44 19,685 19,6144,5 Fannie Mae-Aces 2015-73 1.600% 10/25/45 13,031 12,8694,5 Fannie Mae-Aces 2016-60B 2.500% 9/25/46 3,547 3,6084,5 Fannie Mae-Aces 2017-67D 3.000% 2/25/44 3,010 3,1244,5 Fannie Mae-Aces 2017-74C 3.000% 8/25/46 12,142 12,5724,5 Fannie Mae-Aces 2018-18D 3.500% 4/25/43 37,494 38,6594,5 Fannie Mae-Aces 2018-49E 3.500% 7/25/48 2,280 2,3994,5 Fannie Mae-Aces 2018-73E 4.000% 10/25/48 999 1,0854,5 Fannie Mae-Aces 2018-76E 3.500% 7/25/43 16,633 17,2034,5 Fannie Mae-Aces 2018-91A 4.000% 12/25/46 8,020 8,4794,5 Fannie Mae-Aces 2019-68G 2.500% 5/25/48 14,123 14,1804,5 Fannie Mae-Aces 2019-83A 2.500% 12/25/49 12,464 12,5134,5 FHLMC Multifamily Structured

Pass Through Certificates 4122C 1.500% 10/15/42 25,963 25,7134,5 FHLMC Multifamily Structured

Pass Through Certificates 4122H 1.500% 10/15/42 14,993 14,8504,5 FHLMC Multifamily Structured

Pass Through Certificates 4122K 1.500% 10/15/42 2,294 2,2294,5 FHLMC Multifamily Structured

Pass Through Certificates 4194A 1.700% 4/15/43 3,298 3,2704,5 FHLMC Multifamily Structured


Pass Through Certificates 4259B 2.250% 4/15/43 2,749 2,7524,5 FHLMC Multifamily Structured


Pass Through Certificates 4395E 2.500% 4/15/37 22,721 23,1854,5 FHLMC Multifamily Structured





Pass Through Certificates 4763C 4.000% 8/15/47 5,937 6,6324,5 FHLMC Multifamily Structured


Pass Through Certificates 4818J 4.000% 8/15/48 265 2884,5 FHLMC Multifamily Structured

Pass Through Certificates 4819E 4.000% 7/15/48 849 9144,5 FHLMC Multifamily Structured

Pass Through Certificates 4819E 4.000% 7/15/48 956 1,042

29


Face Market



4,5 FHLMC Multifamily Structured





Pass Through Certificates 4883A 4.000% 5/15/49 515 5654,5 FHLMC Multifamily Structured





Pass Through Certificates 4950A 2.500% 12/25/49 7,500 7,6215 Small Business Administration Participation



Certs 2005-20A 4.860% 1/1/25 171 1805 Small Business Administration Participation

Certs 2005-20B 4.625% 2/1/25 87 915 Small Business Administration Participation

Certs 2005-20C 4.950% 3/1/25 62 655 Small Business Administration Participation


Certs 2005-20J 5.090% 10/1/25 537 5605 Small Business Administration Participation

Certs 2006-20D 5.640% 4/1/26 685 7315 Small Business Administration Participation

Certs 2006-20H 5.700% 8/1/26 961 1,0405 Small Business Administration Participation




Certs 2007-20D 5.320% 4/1/27 830 8795 Small Business Administration Participation




Certs 2008-20B 5.160% 2/1/28 110 118

30


Face Market Maturity Amount Value• Coupon Date ($000) ($000)

5 Small Business Administration Participation Certs 2008-20C 5.490% 3/1/28 90 96

5 Small Business Administration Participation Certs 2008-20D 5.370% 4/1/28 226 243

5 Small Business Administration Participation Certs 2008-20F 5.680% 6/1/28 72 78

5 Small Business Administration Participation Certs 2008-20H 6.020% 8/1/28 71 78

5 Small Business Administration Participation Certs 2008-20J 5.630% 10/1/28 92 99

5 Small Business Administration Participation Certs 2009-20A 5.720% 1/1/29 55 60

5 Small Business Administration Participation Certs 2009-20D 4.310% 4/1/29 55 59

5 Small Business Administration Participation Certs 2009-20I 4.200% 9/1/29 1,272 1,341

5 Small Business Administration Participation Certs 2009-20J 3.920% 10/1/29 2,023 2,108

5 Small Business Administration Participation Certs 2009-20K 4.090% 11/1/29 987 1,034


5 Small Business Administration Participation Certs 2011-20B 4.220% 2/1/31 343 366


5 Small Business Administration Participation Certs 2012-20I 2.200% 9/1/32 52 53

5 Small Business Administration Participation Certs 2013-20G 3.150% 7/1/33 77 80

5 Small Business Administration Participation Certs 2013-20K 3.380% 11/1/33 92 96

5 Small Business Administration Participation Certs 2017-20 2.780% 12/1/37 2,355 2,457






5 Small Business Administration Participation Certs 2018-20C 5.230% 3/1/27 992 1,052

5 Small Business Administration Participation Certs 2018-20C 3.200% 3/1/38 39,902 42,584

5 Small Business Administration Participation Certs 2018-20E 5.310% 5/1/27 1,638 1,744

5 Small Business Administration Participation Certs 2018-20E 3.500% 5/1/38 8,169 8,821

5 Small Business Administration Participation Certs 2018-20J 3.770% 10/1/38 26,010 28,346

31


Face Market



5 Small Business Administration Participation




Certs 2018-25F 3.670% 12/1/43 2,206 2,3965 Small Business Administration Participation




Certs 2019-25H 2.310% 8/1/44 12,000 12,2125 Small Business Administration Participation



Certs 2019-25L 2.380% 12/1/44 6,900 7,036

Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $990,036) 1,015,417

Shares



(Cost $117,310) 1.730% 1,172,900 117,314

Notional





Call Options



Put Options




Note Futures Contracts 2/21/20 1,000 129.75 129,750 78

109



32


Face Market



Conventional Mortgage-Backed Securities-Liability for Sale Commitments (-2.4%)

4,5,7 Fannie Mae Pool 3.500% 8/1/20–1/1/50 (74,902) (74,764)4,5,7 UMBS Pool 3.000% 9/1/34–2/1/50 (42,139) (42,634)

Total Conventional Mortgage-Backed Securities-Liability for Sale Commitments

(Proceeds $117,793) (117,398)


Other Assets 2,150,016

Other Liabilities8 (1,211,065)

938,951

Net Assets (100%) 4,994,076

Amount

($000)


Assets







Receivables for Investment Securities Sold 2,127,222




Other Assets 1,061


Liabilities

Payables for Investment Securities Purchased 1,202,840


Payables for Distributions 927




Variation Margin Payable—Futures Contracts 1,680

Total Liabilities 1,328,463


33



Amount

($000)













1 Securities with a value of $2,916,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.


3 U.S. government-guaranteed.








34




Options Written

Notional Market




Call Options


Put Options



(111)


Futures Contracts

($000)

Value and





2-Year U.S. Treasury Note March 2020 3,663 792,524 2,621


4,894


Ultra 10-Year U.S. Treasury Note March 2020 (2,172) (316,365) (7,135)

10-Year U.S. Treasury Note March 2020 (1,470) (193,535) (2,568)

30-Year U.S. Treasury Bond March 2020 (159) (26,001) (717)


(10,633)

(5,739)

35

Year Ended

January 31, 2020

($000)

Investment Income

Income

Interest1 117,803


Expenses


Investment Advisory Services 646





Custodian Fees 23

Auditing Fees 38








Futures Contracts (6,614)








Options Written 161



1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,837,000, ($40,000), and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes.




36





2020 2019

($000) ($000)


Operations





Distributions



Admiral Shares (98,841) (85,703)







Admiral Shares 323,046 (277,358)

Net Increase (Decrease) from Capital Share Transactions 311,327 (374,671)

Total Increase (Decrease) 408,906 (372,824)

Net Assets


End of Period 4,994,076 4,585,170

37

Investor Shares







on Investments .221 .021 (.144) (.063) .005


Distributions


Distributions from Realized Capital Gains — — (.006) (.027) (.035)



Total Return2 4.46% 2.20% -0.02% 0.49% 0.93%


Net Assets, End of Period (Millions) $623 $622 $719 $827 $817











38




Admiral Shares







on Investments .220 .020 (.144) (.063) .005

Total from Investment Operations .477 .239 .009 .064 .110

Distributions


Distributions from Realized Capital Gains — — (.006) (.027) (.035)



Total Return2 4.56% 2.30% 0.08% 0.59% 1.03%










39



Vanguard Short-Term Federal Fund is registered under the Investment Company Act of 1940 as

















close of the securities’ primary markets, are valued by methods deemed by the board of trustees to

represent fair value.
























40


During the year ended January 31, 2020, the fund’s average investments in long and short futures

contracts represented 19% and 7% of net assets, respectively, based on the average of the notional

amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium

paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that

is subsequently adjusted daily to the current market value of the option purchased. The premium

received for a written option is recorded in the Statement of Assets and Liabilities as an asset

with an equal liability that is subsequently adjusted daily to the current market value of the option

written. Fluctuations in the value of the options are recorded in the Statement of Operations as

unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized

gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options

purchased and options written each represented less than 1% of net assets, based on the average

market values at each quarter-end during the period.

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-

backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at

a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-

backed securities market or in order to sell mortgage-backed securities it owns under delayed-

delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term

investments in an amount sufficient to meet the purchase price at the settlement date of the TBA

transaction. The primary risk associated with TBA transactions is that a counterparty may default on

its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit

analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its

exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction

Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for

their performance. In the absence of a default, the collateral pledged or received by the fund cannot

be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including

bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net

amount owed by either party in accordance with its master netting arrangements, and sell or retain

any collateral held up to the net amount owed to the fund under the master netting arrangements.

4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund

sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities

in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll

transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes

principal and interest paid on the securities sold, and is compensated by interest earned on the

proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also

entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities

from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in

the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are

used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed

security pools already held and receives a lower price on the securities to be sold in the future.

The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these

41


transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in

connection with open mortgage dollar rolls are included in Receivables for Investment Securities

Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company

and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for

all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for

federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first

business day of the following month. Annual distributions from realized capital gains, if any, are

recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from

net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”)

participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to

a credit agreement that may be renewed annually; each fund is individually liable for its borrowings,

if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes,

and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating

funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn

amount of the facility; these fees are allocated to the funds based on a method approved by the

fund’s board of trustees and included in Management and Administrative expenses on the fund’s

Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the

higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight

bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period

then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity

Fund and is accrued daily. Premiums and discounts on debt securities 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. Vanguard does not require reimbursement in the current period for certain costs of

42













those securities.










Investments ($000) ($000) ($000)


Asset-Backed/Commercial Mortgage-Backed Securities — 1,015,417 —



Conventional Mortgage-Backed Securities–

Liability for Sale Commitments — (117,398) —



Futures Contracts—Liabilities1 (1,680) — —

Total 117,543 3,936,983 —


D. Permanent differences between book-basis and tax-basis components of net assets, if any, are


reclassifications have no effect on net assets or net asset value per share.





43





Amount

($000)






As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives,


Amount

($000)

Tax Cost 4,111,006






cash investments.



2020 2019


($000) (000) ($000) (000)

Investor Shares

Issued 210,669 19,720 152,102 14,484


Redeemed (234,566) (22,019) (261,731) (24,884)

Net Increase (Decrease)—Investor Shares (11,719) (1,161) (97,313) (9,228)

Admiral Shares

Issued 1,620,521 151,597 1,380,847 131,440


Redeemed (1,384,071) (129,514) (1,733,348) (165,176)

Net Increase (Decrease)—Admiral Shares 323,046 30,176 (277,358) (26,586)



44

Performance Summary




45


2020201920182017201620152014201320122011

$16,000

9,000

13,732


OneYear

FiveYears

TenYears


Intermediate-Term Treasury FundInvestor Shares 7.98% 2.19% 3.22% $13,732

• • • • • • •Bloomberg Barclays U.S. 5–10 YearTreasury Bond Index 9.59 2.62 4.06 14,889


OneYear

FiveYears

TenYears


Intermediate-Term Treasury Fund Admiral Shares 8.09% 2.29% 3.33% $69,362

Bloomberg Barclays U.S. 5–10 Year Treasury Bond Index 9.59 2.62 4.06 74,443




46

Asset-Backed 5.3%







www.sec.gov.











































Face Market



47























5,394,505

Agency Bonds and Notes (2.0%) 3 AID-Israel 0.000% 11/1/24 50,000 46,1343 AID-Israel 0.000% 8/15/25 15,929 14,462




Resolution Funding Corp. 0.000% 1/15/28 7,800 6,743




126,036

Conventional Mortgage-Backed Securities (2.8%) 4,5 Fannie Mae Pool 3.000% 9/1/49–1/1/50 105,977 108,6044,5 Fannie Mae Pool 4.000% 1/1/49–3/1/50 36,767 38,0984 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 5,656 5,7234 Ginnie Mae II Pool 4.500% 2/1/50 — —4 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 469 5714,5 UMBS Pool 3.500% 4/1/49–2/1/50 23,237 24,020

177,016

Nonconventional Mortgage-Backed Securities (0.9%) 4,5 Fannie Mae REMICS 1.750% 3/25/46 12,292 12,1704,5 Fannie Mae REMICS 2.500% 9/25/49–12/25/49 21,868 22,4494,5 Freddie Mac REMICS 4.000% 5/15/48–7/15/48 14,677 15,9404 Ginnie Mae REMICS 3.000% 11/20/45–8/20/46 2,126 2,2604 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 4,550 4,884

57,703


Face Market



48


Face Market




4,5 Fannie Mae-Aces 2013-19A 3.500% 3/25/43 2,159 2,3804,5 Fannie Mae-Aces 2016-53KA 1.850% 8/25/46 5,646 5,6124,5 Fannie Mae-Aces 2018-49E 3.500% 7/25/48 528 5564,5 Fannie Mae-Aces 2018-73E 4.000% 10/25/48 841 9144,5 Federal Home Loan Mortgage Corp

2017- 357A 2.500% 9/15/47 9,004 9,1964,5 FHLMC Multifamily Structured







Pass Through Certificates 4883A 4.000% 5/15/49 515 5654 Small Business Administration Participation

Certs 2017-20 2.780% 12/1/37 2,879 3,0034 Small Business Administration Participation










Certs 2018-20k 3.870% 11/1/38 21,154 23,1774 Small Business Administration Participation





Certs 2019-25F 2.770% 6/1/44 13,159 13,748

49


Face Market



4 Small Business Administration Participation

Certs 2019-25H 2.310% 8/1/44 15,000 15,2644 Small Business Administration Participation


Certs 2019-25L 2.380% 12/1/44 8,100 8,259


Shares



(Cost $44,321) 1.730% 443,150 44,324

Notional





Put Options

10-Year U.S. Treasury Note

Futures Contracts 2/21/20 375 $127.00 47,625 —


Futures Contracts 2/21/20 1,136 $130.00 147,680 124



Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.6%)

4,5 Fannie Mae Pool 3.500% 1/1/49–1/1/50 (13,957) (14,572)4,5 UMBS Pool 3.000% 2/1/49–2/1/50 (63,900) (65,348)4,5 UMBS Pool 4.000% 3/1/49–2/1/50 (19,903) (20,771)

Total Conventional Mortgage-Backed Securities – Liability for Sale Commitments

(Proceeds $100,335) (100,691)


Other Assets 673,061


297,151

Net Assets (100%) 6,368,153

50


Amount

($000)


Assets







Receivables for Investment Securities Sold 625,787




Other Assets 138


Liabilities




Payables for Distributions 1,582



Variation Margin Payable—Futures Contracts 1,088




Amount

($000)


Total Distributable Earnings (Loss) 121,989






51


Amount ($000)






1 Securities with a value of $817,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.


3 U.S. government-guaranteed.







52




Options Written

Notional Market




Call Options




(529)

Put Options



(69)


Futures Contracts

($000)

Value and






Ultra 10-Year U.S. Treasury Note March 2020 187 27,238 806


4,242


10-Year U.S. Treasury Note March 2020 (1,746) (229,872) (4,007)

30-Year U.S. Treasury Bond March 2020 (324) (52,984) (2,091)


(6,359)

(2,117)

53

Year Ended

January 31, 2020

($000)

Investment Income

Income

Interest1 148,841


Expenses







Custodian Fees 29

Auditing Fees 38



















1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,097,000, ($14,000), and $3,000, respectively. Purchases and sales are for temporary cash investment purposes.




54





2020 2019

($000) ($000)


Operations





Distributions



Admiral Shares (122,275) (126,005)






Investor Shares 33,277 (134,125)




Net Assets


End of Period 6,368,153 5,813,077

55

Investor Shares







on Investments .611 .081 (.230) (.271) (.057)

Total from Investment Operations .866 .341 (.032) (.094) .131

Distributions





Total Return2 7.98% 3.20% -0.31% -0.84% 1.17%


Net Assets, End of Period (Millions) $917 $837 $967 $1,185 $1,326











56




Admiral Shares







on Investments .610 .080 (.230) (.271) (.057)

Total from Investment Operations .877 .352 (.020) (.083) .142

Distributions





Total Return2 8.09% 3.30% -0.21% -0.74% 1.27%










57



Vanguard Intermediate-Term Treasury Fund is registered under the Investment Company Act of

1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares:

Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum

purchase requirements, and is designed for different types of investors.













or whose values have been affected by events occurring before the fund’s pricing time but after

the close of the securities’ primary markets, are valued by methods deemed by the board of trustees

to represent fair value.
























58








received for a written option is recorded in the Statement of Assets and Liabilities as an asset with

an equal liability that is subsequently adjusted daily to the current market value of the option written.

Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized

appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses)

are recognized.



























from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the

future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used

to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security

pools already held and receives a lower price on the securities to be sold in the future. The fund

accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions

may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with

open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables

for Investment Securities Purchased in the Statement of Assets and Liabilities.

59

60


5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard 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 January 31, 2020, the fund had contributed to Vanguard capital in the amount of $271,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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

Level 1—Quoted prices in active markets for identical securities. Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

Level 1 Level 2 Level 3 Investments ($000) ($000) ($000)





Conventional Mortgage-Backed Securities— Liability for Sale Commitments — (100,691) —



Futures Contracts—Liabilities1 (1,088) — —

Total 44,499 6,026,554 —


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

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

61





Amount

($000)






As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives


Amount

($000)

Tax Cost 5,960,133






cash investments.



2020 2019


($000) (000) ($000) (000)

Investor Shares

Issued 232,837 20,585 187,620 17,368


Redeemed (217,529) (19,329) (340,929) (31,640)

Net Increase (Decrease)—Investor Shares 33,277 2,847 (134,125) (12,495)

Admiral Shares

Issued 1,426,848 126,322 1,151,931 106,887


Redeemed (1,332,388) (118,220) (1,415,222) (131,219)




62

Performance Summary




63


2020201920182017201620152014201320122011

$22,000

8,000

20,097


OneYear

FiveYears

TenYears


Long-Term Treasury Fund InvestorShares 21.84% 3.59% 7.23% $20,097

• • • • • • •Bloomberg Barclays U.S. LongTreasury Bond Index 21.87 3.80 7.44 20,499


OneYear

FiveYears

TenYears


Long-Term Treasury Fund Admiral Shares 21.96% 3.69% 7.34% $101,508

Bloomberg Barclays U.S. Long Treasury Bond Index 21.87 3.80 7.44 102,494




64

Government Mortgage-Backed 10.9%






www.sec.gov.












































Face Market



65


2 United States Treasury Note/Bond 2.875% 5/15/49 190,861 227,930



3,598,460

Agency Bonds and Notes (2.1%) 3 Fannie Mae Interest Strip 0.000% 5/15/29 4,592 3,8423 Fannie Mae Principal Strip 0.000% 5/15/30 25,912 21,1593 Federal Home Loan Mortgage Corp. 0.000% 12/14/29 20,000 16,5163 Freddie Mac Coupon Strips 0.000% 3/15/28 1,771 1,5223 Freddie Mac Coupon Strips 0.000% 9/15/28 1,000 8493 Freddie Mac Coupon Strips 0.000% 1/15/30 15,658 12,8703 Freddie Mac Coupon Strips 0.000% 3/15/30 12,896 10,565


86,070

Conventional Mortgage-Backed Securities (4.4%) 3,4 Fannie Mae Pool 3.000% 9/1/49–1/1/50 36,260 37,1173,4 Fannie Mae Pool 3.500% 1/1/45–1/1/50 4,575 4,6813,4 Fannie Mae Pool 4.000% 12/1/46–3/1/50 32,171 33,4083,4 Fannie Mae Pool 4.500% 7/1/47–7/1/49 42,213 45,4693,4 Fannie Mae Pool 6.000% 2/1/26–11/1/28 7 94 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 8,636 8,7274 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 198 2673,4 UMBS Pool 3.500% 2/1/49–2/1/50 34,937 36,4773,4 UMBS Pool 4.500% 8/1/49 10,799 11,608

177,763

Nonconventional Mortgage-Backed Securities (0.2%) 4 Ginnie Mae REMICS 3.000% 11/20/45–8/20/46 1,730 1,8394 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 3,700 3,9724 Ginnie Mae REMICS 4.000% 10/20/47 1,329 1,398

7,209



3,4 Fannie Mae-Aces 2013-104A 3.000% 10/25/33 5,694 5,9853,4 Fannie Mae-Aces 2013-19A 3.500% 3/25/43 1,778 1,9603,4 Fannie Mae-Aces 2017-67D 3.000% 2/25/44 2,608 2,7073,4 Fannie Mae-Aces 2018-49E 3.500% 7/25/48 527 5543,4 Fannie Mae-Aces 2018-73E 4.000% 10/25/48 683 7423,4 FHLMC Multifamily Structured






Pass Through Certificates 4852D 4.000% 10/15/46 14,925 15,521


Face Market



66


Market

Value•

Coupon Shares ($000)



(Cost $47,111) 1.730% 471,030 47,112

Notional





Put Options


Futures Contracts 2/21/20 229 $127.00 29,083 —


Futures Contracts 2/21/20 702 130.00 91,260 77



Face

Maturity Amount

Coupon Date ($000)

Conventional Mortgage-Backed Securities-Liability for Sale Commitments (-1.4%)

3,4,6 UMBS Pool 3.000% 2/1/49–2/1/50 (31,450) (32,163)3,4,6 UMBS Pool 4.000% 3/1/49–2/1/50 (24,432) (25,508)

Total Conventional Mortgage-Backed Securities-Liability for Sale Commitments

(proceeds $57,243) (57,671)


Other Assets 364,242


150,935

Net Assets (100%) 4,042,202

67


Amount

($000)


Assets







Receivables for Investment Securities Sold 319,687




Other Assets 63


Liabilities



Payables for Distributions 940




Variation Margin Payable—Futures Contracts 223

Other Liabilities 4



68



Amount

($000)


Total Distributable Earnings (Loss) 589,116












2 Securities with a value of $303,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.








69




Options Written

Notional Market




Call Options




(324)

Put Options



(43)


Futures Contracts

($000)

Value and





Ultra Long U.S. Treasury Bond March 2020 1,012 196,012 6,374

30-Year U.S. Treasury Bond March 2020 551 90,106 2,450




9,369


Ultra 10-Year U.S. Treasury Note March 2020 (181) (26,364) (593)

8,776

70

Year Ended

January 31, 2020

($000)

Investment Income

Income

Interest1 101,663


Expenses







Custodian Fees 18

Auditing Fees 35







Investment Securities Sold1,2 144,165



Options Written 620









1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $843,000, ($4,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $32,271,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.




71





2020 2019

($000) ($000)


Operations





Distributions



Admiral Shares (74,640) (74,609)

Realized Capital Gain1

Investor Shares (2,497) —

Admiral Shares (7,810) —



Investor Shares 29,041 (78,880)




Net Assets


End of Period 4,042,202 3,325,970

1 Includes fiscal 2020 and 2019 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

72

Investor Shares







on Investments 2.226 (.100) .170 (.725) (1.070)

Total from Investment Operations 2.557 .234 .498 (.393) (.719)

Distributions


Distributions from Realized Capital Gains (.036) — — (.285) (.320)



Total Return2 21.84% 2.05% 4.21% -3.21% -4.91%


Net Assets, End of Period (Millions) $971 $794 $882 $995 $1,148




Portfolio Turnover Rate3 96%4 122% 103%4 94% 117%




4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.




73




Admiral Shares







on Investments 2.226 (.100) .170 (.725) (1.070)

Total from Investment Operations 2.570 .246 .510 (.380) (.707)

Distributions


Distributions from Realized Capital Gains (.036) — — (.285) (.320)



Total Return2 21.96% 2.16% 4.32% -3.12% -4.81%






Portfolio Turnover Rate3 96%4 122% 103%4 94% 117%




4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

74



Vanguard Long-Term Treasury Fund is registered under the Investment Company Act of 1940 as

















close of the securities’ primary markets, are valued by methods deemed by the board of trustees to

represent fair value.
























75








received for a written option is recorded in the Statement of Assets and Liabilities as an asset with

an equal liability that is subsequently adjusted daily to the current market value of the option written.

Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized

appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses)

are recognized.



























from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the

future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used

to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security

pools already held and receives a lower price on the securities to be sold in the future. The fund

accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions

76


may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with

open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables

for Investment Securities Purchased in the Statement of Assets and Liabilities.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company

and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for

all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for

federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first

business day of the following month. Annual distributions from realized capital gains, if any, are

recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from

net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”)

participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to

a credit agreement that may be renewed annually; each fund is individually liable for its borrowings,

if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes,

and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating

funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn

amount of the facility; these fees are allocated to the funds based on a method approved by the

fund’s board of trustees and included in Management and Administrative expenses on the fund’s

Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the

higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight

bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period

then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity

Fund and is accrued daily. Premiums and discounts on debt securities 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. Vanguard does not require reimbursement in the current period for certain costs of

77













those securities.










Investments ($000) ($000) ($000)





Conventional Mortgage-Backed Securities—Liability

for Sale Commitments — (57,671) —



Futures Contracts—Liabilities1 (223) — —

Total 48,172 3,844,078 —


78


D. Permanent differences between book-basis and tax-basis components of net assets are


reclassifications have no effect on net assets or net asset value per share. As of period end, permanent

differences primarily attributable to the accounting for in-kind redemptions and distributions in

connection with fund share redemptions were reclassified between the following accounts:

Amount

($000)

Paid-in Capital 33,944









Amount

($000)


Undistributed Long-Term Gains 27,327

Capital Loss Carryforwards (Non-expiring)* —



As of January 31, 2020, gross unrealized appreciation and depreciation for investments, sale

commitments and derivatives based on cost for U.S. federal income tax purposes were as follows:

Amount

($000)

Tax Cost 3,397,343




E. During the year ended January 31, 2020, the fund purchased $3,483,358,000 of investment

securities and sold $3,632,551,000 of investment securities, other than temporary cash investments.

Purchases and sales include $0 and $175,996,000, respectively, in connection with in-kind purchases

and redemptions of the fund’s capital shares.

79




2020 2019

Amount Shares Amount Shares ($000) (000) ($000) (000)

Investor Shares

Issued 260,097 19,936 144,259 12,425


Redeemed (254,452) (19,530) (244,662) (21,087)

Net Increase (Decrease)—Investor Shares 29,041 2,197 (78,880) (6,812)

Admiral Shares

Issued 902,904 69,193 656,780 56,574


Redeemed (917,320) (69,588) (750,642) (64,939)


G. Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

80

81

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund and Vanguard Long-Term Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of net assets and statements of assets and liabilities of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund and Vanguard Long-Term Treasury Fund (four of the funds constituting Vanguard Fixed Income Securities Funds, hereafter collectively referred to as the “Funds”) as of January 31, 2020, the related statements of operations for the year ended January 31, 2020, the statements of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended January 31, 2020 and each of the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP Philadelphia, Pennsylvania March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

Report of Independent Registered Public Accounting Firm

Special 2019 tax information (unaudited) for Vanguard Short-Term Treasury Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 98.8% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Short-Term Federal Fund



Special 2019 tax information (unaudited) for Vanguard Intermediate-Term Treasury Fund



Special 2019 tax information (unaudited) for Vanguard Long-Term Treasury Fund


The fund distributed $11,623,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.


82

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of

Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited

(BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. 1–5

Year Treasury Bond Index, Bloomberg Barclays U.S. 1–5 Year Government Bond Index, Bloomberg Barclays U.S. 5–10 Year

Treasury Bond Index, and Bloomberg Barclays U.S. Long Treasury Bond Index (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or

producer of the U.S. Government Bond Funds and neither Bloomberg nor Barclays has any responsibilities, obligations

or duties to investors in the U.S. Government Bond Funds. The Indices are licensed for use by The Vanguard Group, Inc.

(Vanguard) as the sponsor of the U.S. Government Bond Funds. Bloomberg and Barclays’ only relationship with Vanguard

in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any

successor thereto, without regard to the Issuer or the U.S. Government Bond Funds or the owners of the U.S. Government

Bond Funds.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with

the U.S. Government Bond Funds. Investors acquire the U.S. Government Bond Funds from Vanguard and investors neither

acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon

making an investment in the U.S. Government Bond Funds. The U.S. Government Bond Funds are not sponsored, endorsed,

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express or implied regarding the advisability of investing in the U.S. Government Bond Funds or the advisability of

investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither

Bloomberg nor Barclays has passed on the legality or suitability of the U.S. Government Bond Funds with respect to any

person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the

timing of, prices at, or quantities of the U.S. Government Bond Funds to be issued. Neither Bloomberg nor Barclays has any

obligation to take the needs of the Issuer or the owners of the U.S. Government Bond Funds or any other third party into

consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or

liability in connection with administration, marketing or trading of the U.S. Government Bond Funds.

83

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for

the benefit of the owners of the U.S. Government Bond Funds, investors or other third parties. In addition, the licensing

agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit

of the owners of the U.S. Government Bond Funds, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD

PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY

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DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER

BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY

SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE

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INCLUDED THEREIN OR WITH RESPECT TO THE U.S. GOVERNMENT BOND FUNDS.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner

without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays

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Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

84

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your

best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also

serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard

funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation

with Vanguard or the funds they oversee, apart from the sizable personal investments they have

made as private individuals. The independent board members have distinguished backgrounds

in business, academia, and public service. Each of the trustees and executive officers oversees

213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information,

as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing

address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information

about the trustees is in the Statement of Additional Information, which can be obtained, without

charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal

occupation(s) during the past five years and other

experience: chairman of the board (2019–present) of

Vanguard and of each of the investment companies

served by Vanguard; chief executive officer (2018–

present) of Vanguard; chief executive officer, president,

and trustee (2018–present) of each of the investment

companies served by Vanguard; president and

director (2017–present) of Vanguard; and president

(2018–present) of Vanguard Marketing Corporation.

Chief investment officer (2013–2017), managing

director (2002–2017), head of the Retail Investor

Group (2006–2012), and chief information officer

(2001–2006) of Vanguard. Chairman of the board

(2011–2017) and trustee (2009–2017) of the Children’s

Hospital of Philadelphia; and trustee (2018–present)

and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood



experience: executive chief staff and marketing officer

for North America and corporate vice president (retired

2008) of Xerox Corporation (document management

products and services). Former president of the

Worldwide Channels Group, Latin America, and

Worldwide Customer Service and executive chief

staff officer of Developing Markets of Xerox. Executive

in residence and 2009–2010 Distinguished Minett

Professor at the Rochester Institute of Technology.

Director of SPX FLOW, Inc. (multi-industry manufac-

turing). Director of the University of Rochester Medical

Center, the Monroe Community College Foundation,

the United Way of Rochester, North Carolina A&T

University, and Roberts Wesleyan College. Trustee

of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal


experience: president (2004–present) of the University

of Pennsylvania. Christopher H. Browne Distinguished

Professor of Political Science, School of Arts and

Sciences, and professor of communication, Annenberg

School for Communication, with secondary faculty

appointments in the Department of Philosophy, School

of Arts and Sciences, and at the Graduate School of

Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal


experience: president and chief operating officer

(retired 2009) and vice chairman of the board

(2008–2009) of Cummins Inc. (industrial machinery).

Chairman of the board of Hillenbrand, Inc. (specialized

consumer services) and the Lumina Foundation.

Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and

chair of the advisory board to the Kellogg Institute

for International Studies, both at the University of

Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal


experience: senior vice president and chief financial

officer (retired 2013) of IBM (information technology

services). Fiduciary member of IBM’s Retirement

Plan Committee (2004–2013), senior vice president

and general manager (2002–2004) of IBM Global

Financing, vice president and controller (1998–2002)

of IBM, and a variety of other prior management roles

at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal


experience: chief investment officer (1989–present)

and vice president (1996–present) of the University

of Notre Dame. Assistant professor of finance at the

Mendoza College of Business, University of Notre

Dame, and member of the Notre Dame 403(b)

Investment Committee. Member of the board of

TIFF Advisory Services, Inc. Member of the board

of Catholic Investment Services, Inc. (investment

advisors) and the board of superintendence

of the Institute for the Works of Religion.

Deanna Mulligan



experience: chief executive officer (2011–present)

of The Guardian Life Insurance Company of America.

President (2010–2019), chief operating officer

(2010–2011), and executive vice president (2008–2010)

of Individual Life and Disability of The Guardian Life

Insurance Company of America. Member of the

board of The Guardian Life Insurance Company of

America, the American Council of Life Insurers, and

the Economic Club of New York. Trustee of the

Partnership for New York City (business leadership),

Chief Executives for Corporate Purpose, NewYork-

Presbyterian Hospital, Catalyst, and the Bruce Museum

(arts and science). Member of the Advisory Council

for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal


experience: George Gund Professor of Finance and

Banking, Emeritus at the Harvard Business School

(retired 2011). Chief investment officer and co-

managing partner of HighVista Strategies (private

investment firm). Member of the board of advisors

and the investment committee of the Museum of Fine

Arts Boston. Member of the board (2018–present) of

RIT Capital Partners (investment firm). Member of the

investment committee of Partners Health Care System.

Sarah Bloom Raskin



experience: deputy secretary (2014–2017) of

the United States Department of the Treasury.

Governor (2010–2014) of the Federal Reserve

Board. Commissioner (2007–2010) of financial

regulation for the State of Maryland. Member of

the board of directors (2012–2014) of Neighborhood

Reinvestment Corporation. Director (2017–present)

of i(x) Investments, LLC; director (2017–present) of

Reserve Trust. Rubenstein Fellow (2017–present)

of Duke University; trustee (2017–present) of Amherst

College, and trustee (2019–present) of the Folger

Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal


experience: president and chief operating officer

(retired 2010) of Corning Incorporated (communications

equipment) and director of Corning Incorporated

(2000–2010) and Dow Corning (2001–2010).

Director (2012) of SPX Corporation (multi-industry

manufacturing). Overseer of the Amos Tuck School

of Business Administration, Dartmouth College

(2001–2013). Chairman of the board of trustees

of Colby-Sawyer College. Member of the board of

Hypertherm Inc. (industrial cutting systems, software,

and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past

five years and other experience: principal of Vanguard.

Chief financial officer (2019–present) of each of the

investment companies served by Vanguard. Chief

accounting officer, treasurer, and controller of Vanguard

(2017–present). Partner (2003–2016) at KPMG (audit,

tax, and advisory services).

Glenn Booraem



Investment stewardship officer (2017–present),

treasurer (2015–2017), controller (2010–2015),

and assistant controller (2001–2010) of each of

the investment companies served by Vanguard.

Christine M. Buchanan



Treasurer (2017–present) of each of the investment

companies served by Vanguard. Partner (2005–2017)

at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the

past five years and other experience: principal of

Vanguard. Finance director (2019–present) of each

of the investment companies served by Vanguard.

Managing director and head (2017–present) of

Vanguard Investments Singapore. Managing director

and head (2017–2019) of Vanguard Investments Hong

Kong. Representative director and head (2014–2017)

of Vanguard Investments Japan.

Thomas J. Higgins



Finance director (2019–present), chief financial officer

(2008–2019), and treasurer (1998–2008) of each of

the investment companies served by Vanguard.

Peter Mahoney



Controller (2015–present) of each of the investment

companies served by Vanguard. Head of International

Fund Services (2008–2014) at Vanguard.

Anne E. Robinson


past five years and other experience: general

counsel (2016–present) of Vanguard. Secretary

(2016–present) of Vanguard and of each of the

investment companies served by Vanguard.

Managing director (2016–present) of Vanguard.

Managing director and general counsel of Global

Cards and Consumer Services (2014–2016) at

Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings


past five years and other experience: finance

director (2017–present) and treasurer (2017) of each

of the investment companies served by Vanguard.

Managing director (2016–present) of Vanguard. Chief

financial officer (2016–present) of Vanguard. Director

(2016–present) of Vanguard Marketing Corporation.

Executive vice president and chief financial officer

(2006–2016) of MassMutual Financial Group.

John E. Schadl



Chief compliance officer (2019–present) of Vanguard

and of each of the investment companies served by

Vanguard. Assistant vice president (2019–present)

of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan Chris D. McIsaac

Mortimer J. Buckley James M. Norris

Gregory Davis Thomas M. Rampulla

John James Karin A. Risi

Martha G. King Anne E. Robinson

John T. Marcante Michael Rollings

Connect with Vanguard® > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for PeopleWho Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunctionwith the offering of shares of any Vanguardfund only if preceded or accompanied bythe fund’s current prospectus.

All comparative mutual fund data are from Morningstar,Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy votingguidelines by visiting vanguard.com/proxyreporting or bycalling Vanguard at 800-662-2739. The guidelines arealso available from the SEC’s website, www.sec.gov. Inaddition, you may obtain a free report on how your fundvoted the proxies for securities it owned during the 12months ended June 30. To get the report, visit eithervanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on theSEC’s website, and you can receive copies of thisinformation, for a fee, by sending a request via emailaddressed to [email protected].

CFA® is a registered trademark owned by CFA Institute.

© 2020 The Vanguard Group, Inc.All rights reserved.Vanguard Marketing Corporation, Distributor.

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