vanguard u.s. government bond funds · vanguard intermediate-term treasury fund vanguard long-term...
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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
Short-Term Treasury Fund
Investor Shares $1,000.00 $1,024.20 $1.02
Admiral Shares 1,000.00 1,024.70 0.51
Short-Term Federal Fund
Investor Shares $1,000.00 $1,024.20 $1.02
Admiral Shares 1,000.00 1,024.70 0.51
Intermediate-Term Treasury Fund
Investor Shares $1,000.00 $1,024.20 $1.02
Admiral Shares 1,000.00 1,024.70 0.51
Long-Term Treasury Fund
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.
Short-Term Treasury Fund
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
Final Valueof a $50,000Investment
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
Short-Term Treasury Fund
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.
Short-Term Treasury Fund
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 2.500% 12/31/20 194,000 195,697
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
United States Treasury Note/Bond 2.500% 1/31/21 78,000 78,756
United States Treasury Note/Bond 2.250% 2/15/21 245,000 246,877
United States Treasury Note/Bond 3.625% 2/15/21 82,000 83,768
United States Treasury Note/Bond 1.125% 2/28/21 360,000 358,592
United States Treasury Note/Bond 2.000% 2/28/21 300,000 301,593
United States Treasury Note/Bond 2.250% 3/31/21 156,000 157,390
United States Treasury Note/Bond 2.375% 4/15/21 75,000 75,796
United States Treasury Note/Bond 1.375% 4/30/21 135,000 134,853
United States Treasury Note/Bond 2.250% 4/30/21 182,000 183,764
United States Treasury Note/Bond 2.125% 5/31/21 93,000 93,843
United States Treasury Note/Bond 1.625% 6/30/21 43,000 43,121
United States Treasury Note/Bond 2.750% 9/15/21 3,600 3,678
United States Treasury Note/Bond 1.125% 9/30/21 45,000 44,810
United States Treasury Note/Bond 1.500% 9/30/21 180,000 180,338
United States Treasury Note/Bond 2.125% 9/30/21 75,000 75,914
United States Treasury Note/Bond 2.500% 2/15/22 75,000 76,734
United States Treasury Note/Bond 1.750% 5/15/22 25,000 25,242
United States Treasury Note/Bond 2.125% 5/15/22 138,000 140,458
United States Treasury Note/Bond 1.750% 7/15/22 92,000 92,949
United States Treasury Note/Bond 1.875% 7/31/22 120,000 121,631
United States Treasury Note/Bond 1.875% 8/31/22 85,000 86,209
United States Treasury Note/Bond 1.375% 10/15/22 235,000 235,367
United States Treasury Note/Bond 1.875% 10/31/22 50,000 50,758
United States Treasury Note/Bond 1.625% 11/15/22 170,000 171,435
United States Treasury Note/Bond 2.000% 11/30/22 316,000 322,023
United States Treasury Note/Bond 2.125% 12/31/22 140,000 143,259
United States Treasury Note/Bond 1.750% 1/31/23 103,000 104,336
United States Treasury Note/Bond 1.500% 2/28/23 17,000 17,101
United States Treasury Note/Bond 1.625% 4/30/23 140,000 141,4222 United States Treasury Note/Bond 2.750% 4/30/23 450,000 470,529
United States Treasury Note/Bond 2.750% 5/31/23 116,000 121,420
United States Treasury Note/Bond 1.375% 6/30/23 26,000 26,057
United States Treasury Note/Bond 2.750% 7/31/23 133,300 139,840
United States Treasury Note/Bond 2.750% 8/31/23 78,000 81,912
United States Treasury Note/Bond 1.375% 9/30/23 75,000 75,199
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
10
Short-Term Treasury Fund
United States Treasury Note/Bond 2.875% 9/30/23 65,000 68,626
United States Treasury Note/Bond 2.875% 10/31/23 22,000 23,251
United States Treasury Note/Bond 2.125% 11/30/23 20,000 20,609
United States Treasury Note/Bond 2.875% 11/30/23 130,000 137,556
United States Treasury Note/Bond 2.625% 12/31/23 130,000 136,479
United States Treasury Note/Bond 2.250% 1/31/24 98,000 101,568
United States Treasury Note/Bond 2.500% 1/31/24 122,000 127,605
United States Treasury Note/Bond 2.750% 2/15/24 45,000 47,5382 United States Treasury Note/Bond 2.125% 3/31/24 51,000 52,658
United States Treasury Note/Bond 2.000% 4/30/24 107,000 110,009
United States Treasury Note/Bond 2.250% 4/30/24 122,000 126,690
United States Treasury Note/Bond 2.500% 5/15/24 84,000 88,108
United States Treasury Note/Bond 2.000% 5/31/24 50,000 51,422
United States Treasury Note/Bond 1.500% 9/30/24 110,000 110,859
United States Treasury Note/Bond 2.250% 11/15/24 66,000 68,825
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
Maturity Amount Value•
Coupon Date ($000) ($000)
11
Short-Term Treasury Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
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 2009-20I 4.200% 9/1/29 2,329 2,4543 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 —
10-Year U.S. Treasury
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
Short-Term Treasury Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
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
Short-Term Treasury Fund
At January 31, 2020, net assets consisted of:
Amount
($000)
Paid-in Capital 8,927,425
Total Distributable Earnings (Loss) (29,062)
Net Assets 8,898,363
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
Applicable to 774,605,563 outstanding $.001 par value shares of
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
Short-Term Treasury Fund
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)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 541 133.50 72,224 (85)
(756)
Put Options
10-Year U.S. Treasury Note Futures Contracts 2/21/20 2,148 $129.00 277,092 (67)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 114 130.75 14,906 (30)
(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
10-Year U.S. Treasury Note March 2020 283 37,259 180
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
Futures Contracts 4,139
Options Purchased (175)
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
Short-Term Treasury Fund
See accompanying Notes, which are an integral part of the Financial Statements.
16
Statement of Changes in Net Assets
Short-Term Treasury Fund
See accompanying Notes, which are an integral part of the Financial Statements.
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
Investor Shares (27,066) (64,568)
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
See accompanying Notes, which are an integral part of the Financial Statements.
Short-Term Treasury Fund
18
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Short-Term Treasury Fund
Admiral 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 .2541 .2381 .1381 .105 .085
Net Realized and Unrealized Gain (Loss)
on Investments .162 (.010) (.160) (.048) (.004)
Total from Investment Operations .416 .228 (.022) .057 .081
Distributions
Dividends from Net Investment Income (.256) (.238) (.138) (.105) (.085)
Distributions from Realized Capital Gains — — — (.032) (.016)
Total Distributions (.256) (.238) (.138) (.137) (.101)
Net Asset Value, End of Period $10.64 $10.48 $10.49 $10.65 $10.73
Total Return2 4.01% 2.21% -0.21% 0.53% 0.76%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $8,243 $7,385 $7,044 $6,805 $6,271
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets 2.40% 2.28% 1.30% 0.97% 0.79%
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.
19
Notes to Financial Statements
Short-Term Treasury Fund
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
Short-Term Treasury Fund
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
Short-Term Treasury Fund
may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 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
Short-Term Treasury Fund
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
Short-Term Treasury Fund
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:
Year Ended January 31,
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
Issued in Lieu of Cash Distributions 150,526 14,242 126,894 12,159
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
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.
Short-Term Federal Fund
25
Cumulative Performance: January 31, 2010, Through January 31, 2020Initial Investment of $10,000
2020201920182017201620152014201320122011
$16,000
9,000
11,710
Average Annual Total ReturnsPeriods Ended January 31, 2020
OneYear
FiveYears
TenYears
Final Valueof a $10,000Investment
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
_________Bloomberg Barclays U.S. AggregateBond Index 9.64 3.01 3.79 14,501
OneYear
FiveYears
TenYears
Final Valueof a $50,000Investment
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
Bloomberg Barclays U.S. Aggregate Bond Index 9.64 3.01 3.79 72,507
Sector DiversificationAs of January 31, 2020
Short-Term Federal Fund
26
Asset-Backed 4.9%
Government Mortgage-Backed 72.8
Treasury/Agency 21.7
Other 0.6
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.
Short-Term Federal Fund
Financial Statements
Statement of Net AssetsAs of January 31, 2020
U.S. Government and Agency Obligations (60.8%)
U.S. Government Securities (8.2%) 1 United States Treasury Note/Bond 1.500% 1/31/22 155,000 155,484
United States Treasury Note/Bond 2.250% 4/15/22 43,000 43,8602 United States Treasury Note/Bond 1.750% 6/15/22 46,400 46,871
United States Treasury Note/Bond 1.375% 10/15/22 69,300 69,408
United States Treasury Note/Bond 1.625% 12/15/22 67,500 68,1111 United States Treasury Note/Bond 1.750% 12/31/24 8,400 8,571
United States Treasury Note/Bond 1.375% 1/31/25 18,100 18,148
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
Government Trust Certificate 0.000% 4/1/20 10,419 10,388
Government Trust Certificate 0.000% 10/1/20 7,711 7,621
Private Export Funding Corp. 2.250% 3/15/20 12,393 12,403
Private Export Funding Corp. 4.300% 12/15/21 4,430 4,658
Private Export Funding Corp. 3.550% 1/15/24 15,500 16,686
Private Export Funding Corp. 2.450% 7/15/24 5,300 5,501
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
Resolution Funding Corp. Interest Strip 0.000% 10/15/27 9,894 8,599
Resolution Funding Corp. Interest Strip 0.000% 4/15/28 4,590 3,947
Resolution Funding Corp. Principal Strip 0.000% 7/15/20 69,270 68,773
Resolution Funding Corp. Principal Strip 0.000% 10/15/20 213,717 211,379
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
Maturity Amount Value•
Coupon Date ($000) ($000)
27
Short-Term Federal Fund
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
Total U.S. Government and Agency Obligations (Cost $3,002,605) 3,038,964
Asset-Backed/Commercial Mortgage-Backed Securities (20.4%)
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
Short-Term Federal Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
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 4213D 1.750% 11/15/41 21,977 21,8534,5 FHLMC Multifamily Structured
Pass Through Certificates 4259B 2.250% 4/15/43 2,749 2,7524,5 FHLMC Multifamily Structured
Pass Through Certificates 4259B 2.250% 6/15/43 5,165 5,1814,5 FHLMC Multifamily Structured
Pass Through Certificates 4395E 2.500% 4/15/37 22,721 23,1854,5 FHLMC Multifamily Structured
Pass Through Certificates 4395E 1.750% 7/15/45 39,867 39,5944,5 FHLMC Multifamily Structured
Pass Through Certificates 4460A 1.750% 4/15/41 39,447 39,1274,5 FHLMC Multifamily Structured
Pass Through Certificates 4468F 1.600% 4/15/41 25,727 25,3714,5 FHLMC Multifamily Structured
Pass Through Certificates 4604E 2.750% 1/15/46 2,211 2,2704,5 FHLMC Multifamily Structured
Pass Through Certificates 4763C 4.000% 8/15/47 5,937 6,6324,5 FHLMC Multifamily Structured
Pass Through Certificates 4764B 3.000% 10/15/45 9,198 9,3954,5 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
Short-Term Federal Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
4,5 FHLMC Multifamily Structured
Pass Through Certificates 4823E 4.000% 9/15/48 3,439 3,7544,5 FHLMC Multifamily Structured
Pass Through Certificates 4826A 4.000% 9/15/48 11,587 12,4354,5 FHLMC Multifamily Structured
Pass Through Certificates 4852D 4.000% 5/15/46 4,233 4,7144,5 FHLMC Multifamily Structured
Pass Through Certificates 4852D 4.000% 10/15/46 17,097 17,7794,5 FHLMC Multifamily Structured
Pass Through Certificates 4883A 4.000% 5/15/49 515 5654,5 FHLMC Multifamily Structured
Pass Through Certificates 4883A 4.000% 5/15/49 515 5594,5 FHLMC Multifamily Structured
Pass Through Certificates 4927F 2.250% 9/25/49 2,952 2,9714,5 FHLMC Multifamily Structured
Pass Through Certificates 4935A 2.750% 10/25/49 3,420 3,5364,5 FHLMC Multifamily Structured
Pass Through Certificates 4935A 2.500% 12/25/49 4,643 4,6784,5 FHLMC Multifamily Structured
Pass Through Certificates 4950A 2.500% 12/25/49 7,500 7,6215 Small Business Administration Participation
Certs 2002-20L 5.100% 12/1/22 245 2545 Small Business Administration Participation
Certs 2004-20G 5.190% 7/1/24 165 1745 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 2005-20G 4.750% 7/1/25 42 445 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 2006-20J 5.370% 10/1/26 2,493 2,6485 Small Business Administration Participation
Certs 2006-20K 5.360% 11/1/26 4,029 4,2895 Small Business Administration Participation
Certs 2006-20L 5.120% 12/1/26 1,143 1,2125 Small Business Administration Participation
Certs 2007-20D 5.320% 4/1/27 830 8795 Small Business Administration Participation
Certs 2007-20G 5.820% 7/1/27 591 6435 Small Business Administration Participation
Certs 2007-20I 5.560% 9/1/27 3,234 3,4655 Small Business Administration Participation
Certs 2007-20L 5.290% 12/1/27 41 445 Small Business Administration Participation
Certs 2008-20B 5.160% 2/1/28 110 118
30
Short-Term Federal Fund
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 2010-20H 3.520% 8/1/30 160 167
5 Small Business Administration Participation Certs 2011-20B 4.220% 2/1/31 343 366
5 Small Business Administration Participation Certs 2011-20H 3.290% 8/1/31 71 74
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 2017-20 3.310% 4/1/38 28,136 29,971
5 Small Business Administration Participation Certs 2017-20 3.600% 6/1/38 14,790 16,010
5 Small Business Administration Participation Certs 2017-20 3.370% 1/1/39 8,982 9,621
5 Small Business Administration Participation Certs 2018-20 2.920% 1/1/38 11,893 12,474
5 Small Business Administration Participation Certs 2018-20 3.220% 2/1/38 19,306 20,516
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
Short-Term Federal Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
5 Small Business Administration Participation
Certs 2018-20J 2.690% 7/1/44 10,832 11,2665 Small Business Administration Participation
Certs 2018-20K 3.870% 11/1/38 16,634 18,2265 Small Business Administration Participation
Certs 2018-20L 3.540% 12/1/38 20,901 22,5825 Small Business Administration Participation
Certs 2018-25F 3.670% 12/1/43 2,206 2,3965 Small Business Administration Participation
Certs 2019-20C 3.200% 3/1/39 8,806 9,3475 Small Business Administration Participation
Certs 2019-25E 3.070% 5/1/44 6,307 6,7025 Small Business Administration Participation
Certs 2019-25F 2.770% 6/1/44 10,062 10,5135 Small Business Administration Participation
Certs 2019-25H 2.310% 8/1/44 12,000 12,2125 Small Business Administration Participation
Certs 2019-25K 2.480% 11/1/44 8,700 8,9195 Small Business Administration Participation
Certs 2019-25L 5.520% 6/1/24 520 5475 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
Temporary Cash Investment (2.3%)
Money Market Fund (2.3%)6 Vanguard Market Liquidity Fund
(Cost $117,310) 1.730% 1,172,900 117,314
Notional
Expiration Exercise Amount
Date Contracts Price ($000)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Call Options
10-Year U.S. Treasury
Note Futures Contracts 2/21/20 1,000 $131.50 131,500 719
Put Options
10-Year U.S. Treasury
Note Futures Contracts 2/21/20 1,000 $128.75 128,750 31
10-Year U.S. Treasury
Note Futures Contracts 2/21/20 1,000 129.75 129,750 78
109
Total Options Purchased (Cost $506) 828
Total Investments (83.5%) (Cost $4,110,457) 4,172,523
32
Short-Term Federal Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
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 and Liabilities (18.9%)
Other Assets 2,150,016
Other Liabilities8 (1,211,065)
938,951
Net Assets (100%) 4,994,076
Amount
($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers 4,054,381
Affiliated Issuers 117,314
Options Purchased 828
Total Investments in Securities 4,172,523
Investment in Vanguard 216
Receivables for Investment Securities Sold 2,127,222
Receivables for Accrued Income 14,565
Receivables for Capital Shares Issued 5,685
Variation Margin Receivable—Futures Contracts 1,267
Other Assets 1,061
Total Assets 6,322,539
Liabilities
Payables for Investment Securities Purchased 1,202,840
Payables for Capital Shares Redeemed 3,699
Payables for Distributions 927
Payables to Vanguard 1,733
Liability for Sale Commitments 117,398
Options Written, at Value8 186
Variation Margin Payable—Futures Contracts 1,680
Total Liabilities 1,328,463
Net Assets 4,994,076
33
Short-Term Federal Fund
At January 31, 2020, net assets consisted of:
Amount
($000)
Paid-in Capital 5,000,012
Total Distributable Earnings (Loss) (5,936)
Net Assets 4,994,076
Investor Shares—Net Assets
Applicable to 57,745,064 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 622,919
Net Asset Value Per Share—Investor Shares $10.79
Admiral Shares—Net Assets
Applicable to 405,209,071 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 4,371,157
Net Asset Value Per Share—Admiral Shares $10.79
• See Note A in Notes to Financial Statements.
1 Securities with a value of $2,916,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 Securities with a value of $4,142,000 have been segregated as initial margin for open futures contracts.
3 U.S. government-guaranteed.
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 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.
8 Includes premiums received of $320,000.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.
34
Short-Term Federal Fund
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 64 $130.75 8,368 (75)
Put Options
10-Year U.S. Treasury Note Futures Contracts 2/21/20 2,000 $129.25 258,500 (94)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 64 130.75 8,368 (17)
(111)
Total Options Written (Premiums Received $320) (186)
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 3,663 792,524 2,621
5-Year U.S. Treasury Note March 2020 2,239 269,397 2,273
4,894
Short Futures Contracts
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)
Ultra Long U.S. Treasury Bond March 2020 (36) (6,973) (213)
(10,633)
(5,739)
35
Year Ended
January 31, 2020
($000)
Investment Income
Income
Interest1 117,803
Total Income 117,803
Expenses
The Vanguard Group—Note B
Investment Advisory Services 646
Management and Administrative—Investor Shares 1,008
Management and Administrative—Admiral Shares 3,157
Marketing and Distribution—Investor Shares 79
Marketing and Distribution—Admiral Shares 269
Custodian Fees 23
Auditing Fees 38
Shareholders’ Reports—Investor Shares 20
Shareholders’ Reports—Admiral Shares 63
Trustees’ Fees and Expenses 2
Total Expenses 5,305
Net Investment Income 112,498
Realized Net Gain (Loss)
Investment Securities Sold1 33,278
Futures Contracts (6,614)
Options Purchased (253)
Options Written 1,303
Realized Net Gain (Loss) 27,714
Change in Unrealized Appreciation (Depreciation)
Investment Securities1 74,700
Futures Contracts (5,199)
Options Purchased 327
Options Written 161
Change in Unrealized Appreciation (Depreciation) 69,989
Net Increase (Decrease) in Net Assets Resulting from Operations 210,201
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.
Statement of Operations
Short-Term Federal Fund
See accompanying Notes, which are an integral part of the Financial Statements.
36
Statement of Changes in Net Assets
Short-Term Federal Fund
See accompanying Notes, which are an integral part of the Financial Statements.
Year Ended January 31,
2020 2019
($000) ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income 112,498 99,235
Realized Net Gain (Loss) 27,714 (55,447)
Change in Unrealized Appreciation (Depreciation) 69,989 57,336
Net Increase (Decrease) in Net Assets Resulting from Operations 210,201 101,124
Distributions
Net Investment Income
Investor Shares (13,781) (13,574)
Admiral Shares (98,841) (85,703)
Realized Capital Gain
Investor Shares — —
Admiral Shares — —
Total Distributions (112,622) (99,277)
Capital Share Transactions
Investor Shares (11,719) (97,313)
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
Beginning of Period 4,585,170 4,957,994
End of Period 4,994,076 4,585,170
37
Investor Shares
For a Share Outstanding Year Ended January 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.57 $10.55 $10.70 $10.79 $10.82
Investment Operations
Net Investment Income .2461 .2081 .1421 .116 .095
Net Realized and Unrealized Gain (Loss)
on Investments .221 .021 (.144) (.063) .005
Total from Investment Operations .467 .229 (.002) .053 .100
Distributions
Dividends from Net Investment Income (.247) (.209) (.142) (.116) (.095)
Distributions from Realized Capital Gains — — (.006) (.027) (.035)
Total Distributions (.247) (.209) (.148) (.143) (.130)
Net Asset Value, End of Period $10.79 $10.57 $10.55 $10.70 $10.79
Total Return2 4.46% 2.20% -0.02% 0.49% 0.93%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $623 $622 $719 $827 $817
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% 1.98% 1.33% 1.07% 0.88%
Portfolio Turnover Rate3 499% 327% 211% 304% 314%
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 32%, 90%, 30%, 38%, and 75% attributable to mortgage-dollar-roll activity.
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Short-Term Federal Fund
38
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Short-Term Federal Fund
Admiral Shares
For a Share Outstanding Year Ended January 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.57 $10.55 $10.70 $10.79 $10.82
Investment Operations
Net Investment Income .2571 .2191 .1531 .127 .105
Net Realized and Unrealized Gain (Loss)
on Investments .220 .020 (.144) (.063) .005
Total from Investment Operations .477 .239 .009 .064 .110
Distributions
Dividends from Net Investment Income (.257) (.219) (.153) (.127) (.105)
Distributions from Realized Capital Gains — — (.006) (.027) (.035)
Total Distributions (.257) (.219) (.159) (.154) (.140)
Net Asset Value, End of Period $10.79 $10.57 $10.55 $10.70 $10.79
Total Return2 4.56% 2.30% 0.08% 0.59% 1.03%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $4,371 $3,963 $4,239 $4,819 $4,342
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets 2.40% 2.08% 1.43% 1.17% 0.98%
Portfolio Turnover Rate3 499% 327% 211% 304% 314%
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 32%, 90%, 30%, 38%, and 75% attributable to mortgage-dollar-roll activity.
39
Notes to Financial Statements
Short-Term Federal Fund
Vanguard Short-Term Federal Fund is registered under the Investment Company Act of 1940 as
an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor
Shares and Admiral Shares. 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).
40
Short-Term Federal Fund
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
Short-Term Federal Fund
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
Short-Term Federal Fund
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
$216,000, representing less than 0.01% of the fund’s net assets and 0.09% 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 — 3,038,964 —
Asset-Backed/Commercial Mortgage-Backed Securities — 1,015,417 —
Temporary Cash Investments 117,314 — —
Options Purchased 828 — —
Conventional Mortgage-Backed Securities–
Liability for Sale Commitments — (117,398) —
Options Written (186) — —
Futures Contracts—Assets1 1,267 — —
Futures Contracts—Liabilities1 (1,680) — —
Total 117,543 3,936,983 —
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
43
Short-Term Federal Fund
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 1,671
Undistributed Long-Term Gains —
Capital Loss Carryforwards (Non-expiring)* (66,304)
Net Unrealized Gains (Losses) 61,084
* The fund used capital loss carryforwards of $23,836,000 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 4,111,006
Gross Unrealized Appreciation 66,551
Gross Unrealized Depreciation (5,467)
Net Unrealized Appreciation (Depreciation) 61,084
E. During the year ended January 31, 2020, the fund purchased $18,533,028,000 of
investment securities and sold $18,506,929,000 of investment securities, other than temporary
cash investments.
F. Capital share transactions for each class of shares were:
Year Ended January 31,
2020 2019
Amount Shares Amount Shares
($000) (000) ($000) (000)
Investor Shares
Issued 210,669 19,720 152,102 14,484
Issued in Lieu of Cash Distributions 12,178 1,138 12,316 1,172
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
Issued in Lieu of Cash Distributions 86,596 8,093 75,143 7,150
Redeemed (1,384,071) (129,514) (1,733,348) (165,176)
Net Increase (Decrease)—Admiral Shares 323,046 30,176 (277,358) (26,586)
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.
44
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.
Intermediate-Term Treasury Fund
45
Cumulative Performance: January 31, 2010, Through January 31, 2020Initial Investment of $10,000
2020201920182017201620152014201320122011
$16,000
9,000
13,732
Average Annual Total ReturnsPeriods Ended January 31, 2020
OneYear
FiveYears
TenYears
Final Valueof a $10,000Investment
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
_________Bloomberg Barclays U.S. AggregateBond Index 9.64 3.01 3.79 14,501
OneYear
FiveYears
TenYears
Final Valueof a $50,000Investment
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
Bloomberg Barclays U.S. Aggregate Bond Index 9.64 3.01 3.79 72,507
Sector DiversificationAs of January 31, 2020
Intermediate-Term Treasury Fund
46
Asset-Backed 5.3%
Government Mortgage-Backed 11.0
Treasury/Agency 83.7
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.
Intermediate-Term Treasury Fund
Financial Statements
Statement of Net AssetsAs of January 31, 2020
U.S. Government and Agency Obligations (90.4%)
U.S. Government Securities (84.7%)
United States Treasury Note/Bond 2.750% 4/30/23 24,200 25,304
United States Treasury Note/Bond 1.750% 5/15/23 56,000 56,787
United States Treasury Note/Bond 2.750% 5/31/23 128,000 133,980
United States Treasury Note/Bond 2.750% 7/31/23 9,100 9,546
United States Treasury Note/Bond 2.750% 8/31/23 72,000 75,612
United States Treasury Note/Bond 2.875% 9/30/23 110,000 116,1361 United States Treasury Note/Bond 2.875% 10/31/23 228,000 240,969
United States Treasury Note/Bond 2.750% 11/15/23 50,000 52,648
United States Treasury Note/Bond 2.875% 11/30/23 97,300 102,955
United States Treasury Note/Bond 2.250% 12/31/23 53,000 54,896
United States Treasury Note/Bond 2.625% 12/31/23 82,000 86,087
United States Treasury Note/Bond 2.250% 1/31/24 133,000 137,843
United States Treasury Note/Bond 2.500% 1/31/24 81,800 85,558
United States Treasury Note/Bond 2.750% 2/15/24 81,000 85,569
United States Treasury Note/Bond 2.125% 2/29/24 87,000 89,787
United States Treasury Note/Bond 2.375% 2/29/24 49,000 51,052
United States Treasury Note/Bond 2.000% 4/30/24 37,000 38,040
United States Treasury Note/Bond 2.500% 5/15/24 108,000 113,282
United States Treasury Note/Bond 2.000% 5/31/24 51,500 52,965
United States Treasury Note/Bond 1.750% 6/30/24 118,600 120,768
United States Treasury Note/Bond 2.000% 6/30/24 30,000 30,872
United States Treasury Note/Bond 1.875% 8/31/24 60,000 61,463
United States Treasury Note/Bond 1.375% 1/31/25 20,700 20,755
United States Treasury Note/Bond 2.500% 1/31/25 48,000 50,708
United States Treasury Note/Bond 2.125% 5/15/25 91,800 95,444
United States Treasury Note/Bond 2.875% 5/31/25 129,300 139,422
United States Treasury Note/Bond 2.750% 6/30/25 89,000 95,467
United States Treasury Note/Bond 2.875% 7/31/25 45,300 48,924
United States Treasury Note/Bond 2.000% 8/15/25 139,250 143,993
United States Treasury Note/Bond 3.000% 9/30/25 145,900 158,825
United States Treasury Note/Bond 3.000% 10/31/25 83,000 90,431
United States Treasury Note/Bond 2.250% 11/15/25 169,500 177,711
United States Treasury Note/Bond 2.875% 11/30/25 73,000 79,114
United States Treasury Note/Bond 2.625% 12/31/25 94,000 100,624
United States Treasury Note/Bond 2.625% 1/31/26 89,000 95,314
United States Treasury Note/Bond 1.625% 2/15/26 82,884 84,010
United States Treasury Note/Bond 6.000% 2/15/26 17,000 21,558
United States Treasury Note/Bond 2.500% 2/28/26 85,000 90,485
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
47
Intermediate-Term Treasury Fund
United States Treasury Note/Bond 2.250% 3/31/26 163,700 171,986
United States Treasury Note/Bond 2.375% 4/30/26 47,400 50,170
United States Treasury Note/Bond 1.625% 5/15/26 183,000 185,487
United States Treasury Note/Bond 2.125% 5/31/26 155,300 162,119
United States Treasury Note/Bond 1.875% 6/30/26 50,000 51,437
United States Treasury Note/Bond 1.500% 8/15/26 203,000 204,141
United States Treasury Note/Bond 1.375% 8/31/26 33,000 32,928
United States Treasury Note/Bond 1.625% 10/31/26 102,000 103,355
United States Treasury Note/Bond 6.500% 11/15/26 5,000 6,655
United States Treasury Note/Bond 1.625% 11/30/26 82,000 83,089
United States Treasury Note/Bond 1.750% 12/31/26 73,000 74,574
United States Treasury Note/Bond 6.625% 2/15/27 7,000 9,4542 United States Treasury Note/Bond 6.125% 11/15/27 14,000 18,856
United States Treasury Note/Bond 2.750% 2/15/28 75,000 82,359
United States Treasury Note/Bond 2.875% 8/15/28 135,500 150,680
United States Treasury Note/Bond 5.500% 8/15/28 10,000 13,2361 United States Treasury Note/Bond 3.125% 11/15/28 263,500 299,030
United States Treasury Note/Bond 5.250% 11/15/28 19,500 25,582
United States Treasury Note/Bond 2.625% 2/15/29 107,000 117,231
United States Treasury Note/Bond 5.250% 2/15/29 10,000 13,183
United States Treasury Note/Bond 2.375% 5/15/29 149,000 160,291
United States Treasury Note/Bond 1.625% 8/15/29 55,000 55,584
United States Treasury Note/Bond 1.750% 11/15/29 8,000 8,174
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
Private Export Funding Corp. 4.300% 12/15/21 4,150 4,364
Private Export Funding Corp. 3.550% 1/15/24 18,500 19,915
Private Export Funding Corp. 2.450% 7/15/24 6,085 6,316
Resolution Funding Corp. 0.000% 1/15/28 7,800 6,743
Resolution Funding Corp. Interest Strip 0.000% 1/15/27 14,588 12,888
Resolution Funding Corp. Interest Strip 0.000% 10/15/27 12,004 10,433
Resolution Funding Corp. Interest Strip 0.000% 4/15/28 5,560 4,781
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
Total U.S. Government and Agency Obligations (Cost $5,561,112) 5,755,260
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
48
Intermediate-Term Treasury Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
Asset-Backed/Commercial Mortgage-Backed Securities (5.8%)
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 4818J 4.000% 8/15/48 212 2304,5 FHLMC Multifamily Structured
Pass Through Certificates 4819E 4.000% 7/15/48 796 8694,5 FHLMC Multifamily Structured
Pass Through Certificates 4819E 4.000% 7/15/48 690 7434,5 FHLMC Multifamily Structured
Pass Through Certificates 4823E 4.000% 9/15/48 2,910 3,1774,5 FHLMC Multifamily Structured
Pass Through Certificates 4826A 4.000% 9/15/48 741 7954,5 FHLMC Multifamily Structured
Pass Through Certificates 4883A 4.000% 5/15/49 515 5594,5 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 2017-20 3.310% 4/1/38 34,788 37,0564 Small Business Administration Participation
Certs 2017-20 3.600% 6/1/38 17,564 19,0124 Small Business Administration Participation
Certs 2017-20 3.370% 1/1/39 11,181 11,9774 Small Business Administration Participation
Certs 2018-20 2.920% 1/1/38 14,733 15,4524 Small Business Administration Participation
Certs 2018-20 3.220% 2/1/38 23,907 25,4054 Small Business Administration Participation
Certs 2018-20C 3.200% 3/1/38 49,720 53,0624 Small Business Administration Participation
Certs 2018-20E 3.500% 5/1/38 9,985 10,7824 Small Business Administration Participation
Certs 2018-20J 3.770% 10/1/38 30,645 33,3974 Small Business Administration Participation
Certs 2018-20J 2.690% 7/1/44 13,786 14,3394 Small Business Administration Participation
Certs 2018-20k 3.870% 11/1/38 21,154 23,1774 Small Business Administration Participation
Certs 2018-20L 3.540% 12/1/38 26,792 28,9464 Small Business Administration Participation
Certs 2018-25F 3.670% 12/1/43 2,590 2,8124 Small Business Administration Participation
Certs 2019-20C 3.200% 3/1/39 10,861 11,5284 Small Business Administration Participation
Certs 2019-25E 3.070% 5/1/44 8,102 8,6104 Small Business Administration Participation
Certs 2019-25F 2.770% 6/1/44 13,159 13,748
49
Intermediate-Term Treasury Fund
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
4 Small Business Administration Participation
Certs 2019-25H 2.310% 8/1/44 15,000 15,2644 Small Business Administration Participation
Certs 2019-25K 2.480% 11/1/44 10,300 10,5604 Small Business Administration Participation
Certs 2019-25L 2.380% 12/1/44 8,100 8,259
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $350,486) 371,985
Shares
Temporary Cash Investment (0.7%)
Money Market Fund (0.7%)6 Vanguard Market Liquidity Fund
(Cost $44,321) 1.730% 443,150 44,324
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 2/21/20 375 $127.00 47,625 —
10-Year U.S. Treasury Note
Futures Contracts 2/21/20 1,136 $130.00 147,680 124
Total Options Purchased (Cost $254) 124
Total Investments (96.9%) (Cost $5,956,173) 6,171,693
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 and Liabilities (4.7%)
Other Assets 673,061
Other Liabilities7 (375,910)
297,151
Net Assets (100%) 6,368,153
50
Intermediate-Term Treasury Fund
Amount
($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers 6,127,245
Affiliated Issuers 44,324
Options Purchased 124
Total Investments in Securities 6,171,693
Investment in Vanguard 271
Receivables for Investment Securities Sold 625,787
Receivables for Accrued Income 36,550
Receivables for Capital Shares Issued 8,578
Variation Margin Receivable—Futures Contracts 1,737
Other Assets 138
Total Assets 6,844,754
Liabilities
Payables for Investment Securities Purchased 367,295
Liability for Sale Commitments 100,691
Payables for Capital Shares Redeemed 3,364
Payables for Distributions 1,582
Payables to Vanguard 1,983
Options Written, at Value7 598
Variation Margin Payable—Futures Contracts 1,088
Total Liabilities 476,601
Net Assets 6,368,153
At January 31, 2020, net assets consisted of:
Amount
($000)
Paid-in Capital 6,246,164
Total Distributable Earnings (Loss) 121,989
Net Assets 6,368,153
Investor Shares—Net Assets
Applicable to 79,225,217 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 916,630
Net Asset Value Per Share—Investor Shares $11.57
51
Intermediate-Term Treasury Fund
Amount ($000)
Admiral Shares—Net Assets
Applicable to 471,182,910 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 5,451,523
Net Asset Value Per Share—Admiral Shares $11.57
• See Note A in Notes to Financial Statements.
1 Securities with a value of $817,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 Securities with a value of $2,734,000 have been segregated as initial margin for open futures contracts.
3 U.S. government-guaranteed.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Includes premiums received of $284,000.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.
52
Intermediate-Term Treasury Fund
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 81 $130.75 10,591 (95)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 375 131.00 49,125 (375)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 376 133.50 50,196 (59)
(529)
Put Options
10-Year U.S. Treasury Note Futures Contracts 2/21/20 1,520 $129.00 196,080 (47)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 81 130.75 10,591 (22)
(69)
Total Options Written (Premiums Received $284) (598)
Futures Contracts
($000)
Value and
Number of Unrealized
Long (Short) Notional Appreciation
Expiration Contracts Amount (Depreciation)
Long Futures Contracts
5-Year U.S. Treasury Note March 2020 6,630 797,724 3,391
Ultra 10-Year U.S. Treasury Note March 2020 187 27,238 806
2-Year U.S. Treasury Note March 2020 50 10,818 45
4,242
Short Futures Contracts
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)
Ultra Long U.S. Treasury Bond March 2020 (179) (34,670) (261)
(6,359)
(2,117)
53
Year Ended
January 31, 2020
($000)
Investment Income
Income
Interest1 148,841
Total Income 148,841
Expenses
The Vanguard Group—Note B
Investment Advisory Services 825
Management and Administrative—Investor Shares 1,472
Management and Administrative—Admiral Shares 4,017
Marketing and Distribution—Investor Shares 103
Marketing and Distribution—Admiral Shares 335
Custodian Fees 29
Auditing Fees 38
Shareholders’ Reports—Investor Shares 30
Shareholders’ Reports—Admiral Shares 44
Trustees’ Fees and Expenses 3
Total Expenses 6,896
Net Investment Income 141,945
Realized Net Gain (Loss)
Investment Securities Sold1 171,180
Futures Contracts (3,245)
Options Purchased (392)
Options Written 1,028
Realized Net Gain (Loss) 168,571
Change in Unrealized Appreciation (Depreciation)
Investment Securities1 158,292
Futures Contracts (1,165)
Options Purchased (123)
Options Written (281)
Change in Unrealized Appreciation (Depreciation) 156,723
Net Increase (Decrease) in Net Assets Resulting from Operations 467,239
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.
Statement of Operations
Intermediate-Term Treasury Fund
See accompanying Notes, which are an integral part of the Financial Statements.
54
Statement of Changes in Net Assets
Intermediate-Term Treasury Fund
See accompanying Notes, which are an integral part of the Financial Statements.
Year Ended January 31,
2020 2019
($000) ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income 141,945 147,133
Realized Net Gain (Loss) 168,571 (157,952)
Change in Unrealized Appreciation (Depreciation) 156,723 195,785
Net Increase (Decrease) in Net Assets Resulting from Operations 467,239 184,966
Distributions
Net Investment Income
Investor Shares (19,628) (21,125)
Admiral Shares (122,275) (126,005)
Realized Capital Gain
Investor Shares — —
Admiral Shares — —
Total Distributions (141,903) (147,130)
Capital Share Transactions
Investor Shares 33,277 (134,125)
Admiral Shares 196,463 (158,042)
Net Increase (Decrease) from Capital Share Transactions 229,740 (292,167)
Total Increase (Decrease) 555,076 (254,331)
Net Assets
Beginning of Period 5,813,077 6,067,408
End of Period 6,368,153 5,813,077
55
Investor Shares
For a Share Outstanding Year Ended January 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.96 $10.88 $11.11 $11.51 $11.66
Investment Operations
Net Investment Income .2551 .2601 .1981 .177 .188
Net Realized and Unrealized Gain (Loss)
on Investments .611 .081 (.230) (.271) (.057)
Total from Investment Operations .866 .341 (.032) (.094) .131
Distributions
Dividends from Net Investment Income (.256) (.261) (.198) (.177) (.188)
Distributions from Realized Capital Gains — — — (.129) (.093)
Total Distributions (.256) (.261) (.198) (.306) (.281)
Net Asset Value, End of Period $11.57 $10.96 $10.88 $11.11 $11.51
Total Return2 7.98% 3.20% -0.31% -0.84% 1.17%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $917 $837 $967 $1,185 $1,326
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 2.27% 2.42% 1.78% 1.53% 1.64%
Portfolio Turnover Rate3 214% 231% 181% 152% 142%
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%, 35%, 6%, 3%, and 34% attributable to mortgage-dollar-roll activity.
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Intermediate-Term Treasury Fund
56
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Intermediate-Term Treasury Fund
Admiral Shares
For a Share Outstanding Year Ended January 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.96 $10.88 $11.11 $11.51 $11.66
Investment Operations
Net Investment Income .2671 .2721 .2101 .188 .199
Net Realized and Unrealized Gain (Loss)
on Investments .610 .080 (.230) (.271) (.057)
Total from Investment Operations .877 .352 (.020) (.083) .142
Distributions
Dividends from Net Investment Income (.267) (.272) (.210) (.188) (.199)
Distributions from Realized Capital Gains — — — (.129) (.093)
Total Distributions (.267) (.272) (.210) (.317) (.292)
Net Asset Value, End of Period $11.57 $10.96 $10.88 $11.11 $11.51
Total Return2 8.09% 3.30% -0.21% -0.74% 1.27%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $5,452 $4,976 $5,100 $5,190 $4,849
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets 2.37% 2.52% 1.88% 1.63% 1.74%
Portfolio Turnover Rate3 214% 231% 181% 152% 142%
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%, 35%, 6%, 3%, and 34% attributable to mortgage-dollar-roll activity.
57
Notes to Financial Statements
Intermediate-Term Treasury Fund
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.
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).
58
Intermediate-Term Treasury Fund
During the year ended January 31, 2020, the fund’s average investments in long and short futures
contracts represented 11% 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 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
Intermediate-Term Treasury Fund
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 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.
Intermediate-Term Treasury Fund
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)
U.S. Government and Agency Obligations — 5,755,260 —
Asset-Backed/Commercial Mortgage-Backed Securities — 371,985 —
Temporary Cash Investments 44,324 — —
Options Purchased 124 — —
Conventional Mortgage-Backed Securities— Liability for Sale Commitments — (100,691) —
Options Written (598) — —
Futures Contracts—Assets1 1,737 — —
Futures Contracts—Liabilities1 (1,088) — —
Total 44,499 6,026,554 —
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
61
Intermediate-Term Treasury Fund
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 3,296
Undistributed Long-Term Gains —
Capital Loss Carryforwards (Non-expiring)* (89,173)
Net Unrealized Gains (Losses) 211,080
* The fund used capital loss carryforwards of $168,829,000 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 5,960,133
Gross Unrealized Appreciation 212,733
Gross Unrealized Depreciation (1,653)
Net Unrealized Appreciation (Depreciation) 211,080
E. During the year ended January 31, 2020, the fund purchased $12,616,283,000 of
investment securities and sold $12,832,621,000 of investment securities, other than temporary
cash investments.
F. Capital share transactions for each class of shares were:
Year Ended January 31,
2020 2019
Amount Shares Amount Shares
($000) (000) ($000) (000)
Investor Shares
Issued 232,837 20,585 187,620 17,368
Issued in Lieu of Cash Distributions 17,969 1,591 19,184 1,777
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
Issued in Lieu of Cash Distributions 102,003 9,033 105,249 9,749
Redeemed (1,332,388) (118,220) (1,415,222) (131,219)
Net Increase (Decrease)—Admiral Shares 196,463 17,135 (158,042) (14,583)
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.
62
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.
Long-Term Treasury Fund
63
Cumulative Performance: January 31, 2010, Through January 31, 2020Initial Investment of $10,000
2020201920182017201620152014201320122011
$22,000
8,000
20,097
Average Annual Total ReturnsPeriods Ended January 31, 2020
OneYear
FiveYears
TenYears
Final Valueof a $10,000Investment
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
_________Bloomberg Barclays U.S. AggregateBond Index 9.64 3.01 3.79 14,501
OneYear
FiveYears
TenYears
Final Valueof a $50,000Investment
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
Bloomberg Barclays U.S. Aggregate Bond Index 9.64 3.01 3.79 72,507
Sector DiversificationAs of January 31, 2020
Long-Term Treasury Fund
64
Government Mortgage-Backed 10.9%
Treasury/Agency 89.1
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.
Long-Term Treasury Fund
Financial Statements
Statement of Net AssetsAs of January 31, 2020
U.S. Government and Agency Obligations (95.7%)
U.S. Government Securities (89.0%)
United States Treasury Note/Bond 4.375% 2/15/38 2,122 2,982
United States Treasury Note/Bond 4.500% 8/15/39 20,467 29,494
United States Treasury Note/Bond 4.625% 2/15/40 36,700 53,869
United States Treasury Note/Bond 4.375% 5/15/40 57,111 81,454
United States Treasury Note/Bond 3.875% 8/15/40 27,191 36,478
United States Treasury Note/Bond 4.250% 11/15/40 62,748 88,299
United States Treasury Note/Bond 4.750% 2/15/41 51,417 77,062
United States Treasury Note/Bond 4.375% 5/15/41 39,963 57,284
United States Treasury Note/Bond 3.750% 8/15/41 48,771 64,529
United States Treasury Note/Bond 3.125% 11/15/41 26,608 32,246
United States Treasury Note/Bond 3.125% 2/15/42 17,290 20,963
United States Treasury Note/Bond 3.000% 5/15/42 10,149 12,067
United States Treasury Note/Bond 2.750% 8/15/42 24,898 28,446
United States Treasury Note/Bond 2.750% 11/15/42 67,652 77,272
United States Treasury Note/Bond 3.125% 2/15/43 69,711 84,426
United States Treasury Note/Bond 2.875% 5/15/43 98,046 114,254
United States Treasury Note/Bond 3.625% 8/15/43 91,164 119,283
United States Treasury Note/Bond 3.750% 11/15/43 111,157 148,307
United States Treasury Note/Bond 3.625% 2/15/44 108,048 141,695
United States Treasury Note/Bond 3.375% 5/15/44 58,925 74,503
United States Treasury Note/Bond 3.125% 8/15/44 102,849 125,106
United States Treasury Note/Bond 3.000% 11/15/44 77,901 92,934
United States Treasury Note/Bond 2.500% 2/15/45 8,000 8,759
United States Treasury Note/Bond 3.000% 5/15/45 111,005 132,720
United States Treasury Note/Bond 2.875% 8/15/45 100,839 118,171
United States Treasury Note/Bond 3.000% 11/15/45 77,619 93,058
United States Treasury Note/Bond 2.500% 2/15/46 68,795 75,524
United States Treasury Note/Bond 2.500% 5/15/46 82,510 90,658
United States Treasury Note/Bond 2.250% 8/15/46 75,940 79,560
United States Treasury Note/Bond 2.875% 11/15/46 66,969 79,012
United States Treasury Note/Bond 3.000% 2/15/47 106,998 129,351
United States Treasury Note/Bond 3.000% 5/15/47 54,137 65,4721 United States Treasury Note/Bond 2.750% 8/15/47 84,117 97,339
United States Treasury Note/Bond 2.750% 11/15/47 88,490 102,482
United States Treasury Note/Bond 3.000% 2/15/48 91,304 110,763
United States Treasury Note/Bond 3.125% 5/15/48 74,462 92,507
United States Treasury Note/Bond 3.000% 8/15/48 91,833 111,720
United States Treasury Note/Bond 3.375% 11/15/48 123,361 160,658
United States Treasury Note/Bond 3.000% 2/15/49 92,640 113,079
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
65
Long-Term Treasury Fund
2 United States Treasury Note/Bond 2.875% 5/15/49 190,861 227,930
United States Treasury Note/Bond 2.250% 8/15/49 70,300 74,210
United States Treasury Note/Bond 2.375% 11/15/49 66,900 72,534
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
Resolution Funding Corp. Interest Strip 0.000% 4/15/28 21,802 18,747
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
Total U.S. Government and Agency Obligations (Cost $3,317,778) 3,869,502
Asset-Backed/Commercial Mortgage-Backed Securities (0.8%)
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 4818J 4.000% 8/15/48 212 2303,4 FHLMC Multifamily Structured
Pass Through Certificates 4819E 4.000% 7/15/48 584 6293,4 FHLMC Multifamily Structured
Pass Through Certificates 4819E 4.000% 7/15/48 637 6953,4 FHLMC Multifamily Structured
Pass Through Certificates 4823E 4.000% 9/15/48 2,381 2,5993,4 FHLMC Multifamily Structured
Pass Through Certificates 4826A 4.000% 9/15/48 582 6253,4 FHLMC Multifamily Structured
Pass Through Certificates 4852D 4.000% 10/15/46 14,925 15,521
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $32,040) 32,247
Face Market
Maturity Amount Value•
Coupon Date ($000) ($000)
66
Long-Term Treasury Fund
Market
Value•
Coupon Shares ($000)
Temporary Cash Investment (1.2%)
Money Market Fund (1.2%)5 Vanguard Market Liquidity Fund
(Cost $47,111) 1.730% 471,030 47,112
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 2/21/20 229 $127.00 29,083 —
10-Year U.S. Treasury Note
Futures Contracts 2/21/20 702 130.00 91,260 77
Total Options Purchased (Cost $158) 77
Total Investments (97.7%) (Cost $3,397,087) 3,948,938
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 and Liabilities (3.7%)
Other Assets 364,242
Other Liabilities7 (213,307)
150,935
Net Assets (100%) 4,042,202
67
Long-Term Treasury Fund
Amount
($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers 3,901,749
Affiliated Issuers 47,112
Options Purchased 77
Total Investments in Securities 3,948,938
Investment in Vanguard 164
Receivables for Investment Securities Sold 319,687
Receivables for Accrued Income 31,929
Receivables for Capital Shares Issued 10,826
Variation Margin Receivable—Futures Contracts 1,573
Other Assets 63
Total Assets 4,313,180
Liabilities
Payables for Investment Securities Purchased 202,375
Payables for Capital Shares Redeemed 7,600
Payables for Distributions 940
Payables to Vanguard 1,798
Liability for Sale Commitments 57,671
Options Written, at Value7 367
Variation Margin Payable—Futures Contracts 223
Other Liabilities 4
Total Liabilities 270,978
Net Assets 4,042,202
68
Long-Term Treasury Fund
At January 31, 2020, net assets consisted of:
Amount
($000)
Paid-in Capital 3,453,086
Total Distributable Earnings (Loss) 589,116
Net Assets 4,042,202
Investor Shares—Net Assets
Applicable to 69,146,236 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 971,208
Net Asset Value Per Share—Investor Shares $14.05
Admiral Shares—Net Assets
Applicable to 218,641,691 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 3,070,994
Net Asset Value Per Share—Admiral Shares $14.05
• See Note A in Notes to Financial Statements.
1 Securities with a value of $8,436,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $303,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 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 $176,000.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.
69
Long-Term Treasury Fund
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 51 $130.75 6,668 (60)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 229 131.00 29,999 (228)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 228 133.50 30,438 (36)
(324)
Put Options
10-Year U.S. Treasury Note Futures Contracts 2/21/20 948 $129.00 122,292 (30)
10-Year U.S. Treasury Note Futures Contracts 2/21/20 51 130.75 6,668 (13)
(43)
Total Options Written (Premiums Received $176) (367)
Futures Contracts
($000)
Value and
Number of Unrealized
Long (Short) Notional Appreciation
Expiration Contracts Amount (Depreciation)
Long Futures Contracts
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
5-Year U.S. Treasury Note March 2020 533 64,131 206
2-Year U.S. Treasury Note March 2020 171 36,997 153
10-Year U.S. Treasury Note March 2020 246 32,387 186
9,369
Short Futures Contracts
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
Total Income 101,663
Expenses
The Vanguard Group—Note B
Investment Advisory Services 507
Management and Administrative—Investor Shares 1,482
Management and Administrative—Admiral Shares 2,156
Marketing and Distribution—Investor Shares 98
Marketing and Distribution—Admiral Shares 182
Custodian Fees 18
Auditing Fees 35
Shareholders’ Reports—Investor Shares 53
Shareholders’ Reports—Admiral Shares 40
Trustees’ Fees and Expenses 2
Total Expenses 4,573
Net Investment Income 97,090
Realized Net Gain (Loss)
Investment Securities Sold1,2 144,165
Futures Contracts 5,310
Options Purchased (242)
Options Written 620
Realized Net Gain (Loss) 149,853
Change in Unrealized Appreciation (Depreciation)
Investment Securities1 482,373
Futures Contracts 8,752
Options Purchased (77)
Options Written (172)
Change in Unrealized Appreciation (Depreciation) 490,876
Net Increase (Decrease) in Net Assets Resulting from Operations 737,819
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.
Statement of Operations
Long-Term Treasury Fund
See accompanying Notes, which are an integral part of the Financial Statements.
71
Statement of Changes in Net Assets
Long-Term Treasury Fund
See accompanying Notes, which are an integral part of the Financial Statements.
Year Ended January 31,
2020 2019
($000) ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income 97,090 97,542
Realized Net Gain (Loss) 149,853 (74,918)
Change in Unrealized Appreciation (Depreciation) 490,876 38,286
Net Increase (Decrease) in Net Assets Resulting from Operations 737,819 60,910
Distributions
Net Investment Income
Investor Shares (22,594) (22,930)
Admiral Shares (74,640) (74,609)
Realized Capital Gain1
Investor Shares (2,497) —
Admiral Shares (7,810) —
Total Distributions (107,541) (97,539)
Capital Share Transactions
Investor Shares 29,041 (78,880)
Admiral Shares 56,913 (28,926)
Net Increase (Decrease) from Capital Share Transactions 85,954 (107,806)
Total Increase (Decrease) 716,232 (144,435)
Net Assets
Beginning of Period 3,325,970 3,470,405
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
For a Share Outstanding Year Ended January 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $11.86 $11.96 $11.79 $12.80 $14.19
Investment Operations
Net Investment Income .3311 .3341 .3281 .332 .351
Net Realized and Unrealized Gain (Loss)
on Investments 2.226 (.100) .170 (.725) (1.070)
Total from Investment Operations 2.557 .234 .498 (.393) (.719)
Distributions
Dividends from Net Investment Income (.331) (.334) (.328) (.332) (.351)
Distributions from Realized Capital Gains (.036) — — (.285) (.320)
Total Distributions (.367) (.334) (.328) (.617) (.671)
Net Asset Value, End of Period $14.05 $11.86 $11.96 $11.79 $12.80
Total Return2 21.84% 2.05% 4.21% -3.21% -4.91%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $971 $794 $882 $995 $1,148
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 2.55% 2.89% 2.70% 2.53% 2.76%
Portfolio Turnover Rate3 96%4 122% 103%4 94% 117%
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 4%, 34%, 6%, 3%, and 36% attributable to mortgage-dollar-roll activity.
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.
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Long-Term Treasury Fund
73
Financial Highlights
See accompanying Notes, which are an integral part of the Financial Statements.
Long-Term Treasury Fund
Admiral Shares
For a Share Outstanding Year Ended January 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $11.86 $11.96 $11.79 $12.80 $14.19
Investment Operations
Net Investment Income .3441 .3461 .3401 .345 .363
Net Realized and Unrealized Gain (Loss)
on Investments 2.226 (.100) .170 (.725) (1.070)
Total from Investment Operations 2.570 .246 .510 (.380) (.707)
Distributions
Dividends from Net Investment Income (.344) (.346) (.340) (.345) (.363)
Distributions from Realized Capital Gains (.036) — — (.285) (.320)
Total Distributions (.380) (.346) (.340) (.630) (.683)
Net Asset Value, End of Period $14.05 $11.86 $11.96 $11.79 $12.80
Total Return2 21.96% 2.16% 4.32% -3.12% -4.81%
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $3,071 $2,532 $2,588 $2,509 $2,400
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets 2.65% 2.99% 2.80% 2.63% 2.86%
Portfolio Turnover Rate3 96%4 122% 103%4 94% 117%
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 4%, 34%, 6%, 3%, and 36% attributable to mortgage-dollar-roll activity.
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
Notes to Financial Statements
Long-Term Treasury Fund
Vanguard Long-Term Treasury Fund is registered under the Investment Company Act of 1940 as
an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor
Shares and Admiral Shares. 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).
75
Long-Term Treasury Fund
During the year ended January 31, 2020, the fund’s average investments in long and short futures
contracts represented 10% and 5% 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
76
Long-Term Treasury Fund
may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with
open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables
for Investment Securities Purchased in the Statement of Assets and Liabilities.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company
and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for
all open federal income tax years (January 31, 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
Long-Term Treasury Fund
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
$164,000, representing less than 0.01% of the fund’s net assets and 0.07% 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 — 3,869,502 —
Asset-Backed/Commercial Mortgage-Backed Securities — 32,247 —
Temporary Cash Investments 47,112 — —
Options Purchased 77 — —
Conventional Mortgage-Backed Securities—Liability
for Sale Commitments — (57,671) —
Options Written (367) — —
Futures Contracts—Assets1 1,573 — —
Futures Contracts—Liabilities1 (223) — —
Total 48,172 3,844,078 —
1 Represents variation margin on the last day of the reporting period.
78
Long-Term Treasury Fund
D. Permanent differences between book-basis and tax-basis components of net assets 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. 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
Total Distributable Earnings (Loss) (33,944)
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
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 13,201
Undistributed Long-Term Gains 27,327
Capital Loss Carryforwards (Non-expiring)* —
Net Unrealized Gains (Losses) 551,090
* The fund used capital loss carryforwards of $75,693,000 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, sale
commitments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Amount
($000)
Tax Cost 3,397,343
Gross Unrealized Appreciation 552,358
Gross Unrealized Depreciation (1,268)
Net Unrealized Appreciation (Depreciation) 551,090
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
Long-Term Treasury Fund
F. Capital share transactions for each class of shares were:
Year Ended January 31,
2020 2019
Amount Shares Amount Shares ($000) (000) ($000) (000)
Investor Shares
Issued 260,097 19,936 144,259 12,425
Issued in Lieu of Cash Distributions 23,396 1,791 21,523 1,850
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
Issued in Lieu of Cash Distributions 71,329 5,465 64,936 5,585
Redeemed (917,320) (69,588) (750,642) (64,939)
Net Increase (Decrease)—Admiral Shares 56,913 5,070 (28,926) (2,780)
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
This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 97.7% of income dividends are interest-related dividends.
Special 2019 tax information (unaudited) for Vanguard Intermediate-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, 99.6% of income dividends are interest-related dividends.
Special 2019 tax information (unaudited) for Vanguard Long-Term Treasury Fund
This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $11,623,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 99.7% of income dividends are interest-related dividends.
82
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(BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. 1–5
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Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or
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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
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of the owners of the U.S. Government Bond Funds, investors or other third parties.
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Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your
best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also
serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard
funds and provides services to them.
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
Born in 1948. Trustee since January 2008. Principal
occupation(s) during the past five years and other
experience: executive chief staff and marketing officer
for North America and corporate vice president (retired
2008) of Xerox Corporation (document management
products and services). 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
occupation(s) during the past five years and other
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
occupation(s) during the past five years and other
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
occupation(s) during the past five years and other
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
occupation(s) during the past five years and other
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
Born in 1963. Trustee since January 2018. Principal
occupation(s) during the past five years and other
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
occupation(s) during the past five years and other
experience: George Gund Professor of Finance and
Banking, Emeritus at the Harvard Business School
(retired 2011). Chief investment officer and 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
Born in 1961. Trustee since January 2018. Principal
occupation(s) during the past five years and other
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
occupation(s) during the past five years and other
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
Born in 1967. Principal occupation(s) during the past
five years and other experience: principal of Vanguard.
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
Born in 1970. Principal occupation(s) during the past
five years and other experience: principal of Vanguard.
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
Born in 1957. Principal occupation(s) during the past
five years and other experience: principal of Vanguard.
Finance director (2019–present), chief financial officer
(2008–2019), and treasurer (1998–2008) of each of
the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past
five years and other experience: principal of Vanguard.
Controller (2015–present) of each of the investment
companies served by Vanguard. Head of International
Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the
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
Born in 1963. Principal occupation(s) during the
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
Born in 1972. Principal occupation(s) during the past
five years and other experience: principal of Vanguard.
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
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Institutional Investor Services > 800-523-1036
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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].
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