Semiannual Report  |  February 28, 2022
Vanguard Sector Bond Index Funds
Vanguard Short-Term Treasury Index Fund
Vanguard Intermediate-Term Treasury Index Fund
Vanguard Long-Term Treasury Index Fund
Vanguard Short-Term Corporate Bond Index Fund
Vanguard Intermediate-Term Corporate Bond Index Fund
Vanguard Long-Term Corporate Bond Index Fund
Vanguard Mortgage-Backed Securities Index Fund

 

Contents

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Table of Contents
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Table of Contents
Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Treasury Index Fund      
ETF Shares $1,000.00 $981.90 $0.20
Admiral™ Shares 1,000.00 982.00 0.34
Institutional Shares 1,000.00 982.00 0.25
Intermediate-Term Treasury Index Fund      
ETF Shares $1,000.00 $963.30 $0.19
Admiral Shares 1,000.00 963.10 0.34
Institutional Shares 1,000.00 963.00 0.24
Long-Term Treasury Index Fund      
ETF Shares $1,000.00 $945.10 $0.19
Admiral Shares 1,000.00 945.10 0.34
Institutional Shares 1,000.00 945.10 0.24
Short-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $971.70 $0.20
Admiral Shares 1,000.00 971.30 0.34
Institutional Shares 1,000.00 971.50 0.24
Intermediate-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $946.20 $0.19
Admiral Shares 1,000.00 945.90 0.34
Institutional Shares 1,000.00 945.90 0.24
Long-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $906.80 $0.19
Admiral Shares 1,000.00 906.70 0.33
Institutional Shares 1,000.00 906.70 0.24
Mortgage-Backed Securities Index Fund      
ETF Shares $1,000.00 $967.80 $0.20
Admiral Shares 1,000.00 967.90 0.34
Institutional Shares 1,000.00 967.90 0.24
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Table of Contents
Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Short-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Intermediate-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Long-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Short-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Intermediate-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Long-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Mortgage-Backed Securities Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Treasury Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Treasury Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Long-Term Treasury Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Short-Term Corporate Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Long-Term Corporate Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; and for the Mortgage-Backed Securities Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
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Table of Contents
Short-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 28, 2022
Under 1 Year 0.0%
1 - 2 Years 55.0
2 - 3 Years 43.8
3 - 4 Years 1.2
The table reflects the fund's investments, except for temporary cash investments.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
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Short-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
U.S. Government and Agency Obligations (99.7%)
U.S. Government Securities (99.7%)
  United States Treasury Note/Bond 1.375%  2/15/23       2          2
  United States Treasury Note/Bond 2.000%  2/15/23     306        309
  United States Treasury Note/Bond 1.500%  2/28/23       4          4
  United States Treasury Note/Bond 2.625%  2/28/23       4          4
  United States Treasury Note/Bond 0.500%  3/15/23  19,149     19,029
  United States Treasury Note/Bond 0.125%  3/31/23 218,552    216,162
  United States Treasury Note/Bond 1.500%  3/31/23 225,311    226,156
  United States Treasury Note/Bond 2.500%  3/31/23 206,808    209,813
  United States Treasury Note/Bond 0.250%  4/15/23 304,781    301,686
  United States Treasury Note/Bond 0.125%  4/30/23 224,313    221,544
  United States Treasury Note/Bond 1.625%  4/30/23  45,125     45,351
  United States Treasury Note/Bond 2.750%  4/30/23  57,672     58,708
  United States Treasury Note/Bond 0.125%  5/15/23 275,699    272,253
  United States Treasury Note/Bond 1.750%  5/15/23 204,204    205,576
  United States Treasury Note/Bond 0.125%  5/31/23 186,481    183,946
  United States Treasury Note/Bond 1.625%  5/31/23  53,814     54,091
  United States Treasury Note/Bond 2.750%  5/31/23 110,004    112,084
  United States Treasury Note/Bond 0.250%  6/15/23 273,989    270,607
  United States Treasury Note/Bond 0.125%  6/30/23 190,092    187,270
  United States Treasury Note/Bond 1.375%  6/30/23 176,953    177,257
  United States Treasury Note/Bond 2.625%  6/30/23  55,239     56,232
  United States Treasury Note/Bond 0.125%  7/15/23 294,220    289,715
  United States Treasury Note/Bond 0.125%  7/31/23 178,462    175,534
  United States Treasury Note/Bond 1.250%  7/31/23  96,366     96,336
  United States Treasury Note/Bond 2.750%  7/31/23  72,163     73,663
  United States Treasury Note/Bond 0.125%  8/15/23 272,990    268,341
  United States Treasury Note/Bond 2.500%  8/15/23 282,355    287,252
  United States Treasury Note/Bond 6.250%  8/15/23  12,745     13,645
  United States Treasury Note/Bond 0.125%  8/31/23  75,362     74,043
  United States Treasury Note/Bond 1.375%  8/31/23 235,113    235,260
  United States Treasury Note/Bond 2.750%  8/31/23  63,873     65,220
  United States Treasury Note/Bond 0.125%  9/15/23 284,389    279,234
  United States Treasury Note/Bond 0.250%  9/30/23 173,873    170,885
  United States Treasury Note/Bond 1.375%  9/30/23 239,632    239,707
  United States Treasury Note/Bond 2.875%  9/30/23 106,402    108,929
  United States Treasury Note/Bond 0.125% 10/15/23 303,136    297,073
  United States Treasury Note/Bond 0.375% 10/31/23 180,189    177,176
  United States Treasury Note/Bond 1.625% 10/31/23 188,324    189,060
  United States Treasury Note/Bond 2.875% 10/31/23 215,372    220,588
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Short-Term Treasury Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  United States Treasury Note/Bond 0.250% 11/15/23 349,992    343,266
  United States Treasury Note/Bond 2.750% 11/15/23 275,528    281,770
  United States Treasury Note/Bond 0.500% 11/30/23 130,321    128,285
  United States Treasury Note/Bond 2.125% 11/30/23 117,758    119,212
  United States Treasury Note/Bond 2.875% 11/30/23  73,690     75,555
  United States Treasury Note/Bond 0.125% 12/15/23 319,167    311,886
  United States Treasury Note/Bond 0.750% 12/31/23 164,692    162,659
  United States Treasury Note/Bond 2.250% 12/31/23  43,934     44,572
  United States Treasury Note/Bond 2.625% 12/31/23  74,798     76,422
  United States Treasury Note/Bond 0.125%  1/15/24 347,717    339,241
  United States Treasury Note/Bond 0.875%  1/31/24 211,373    209,127
  United States Treasury Note/Bond 2.250%  1/31/24 160,035    162,435
  United States Treasury Note/Bond 2.500%  1/31/24  81,189     82,775
  United States Treasury Note/Bond 0.125%  2/15/24 390,456    380,390
  United States Treasury Note/Bond 2.750%  2/15/24 334,082    342,382
  United States Treasury Note/Bond 1.500%  2/29/24  93,515     93,603
  United States Treasury Note/Bond 2.125%  2/29/24  69,917     70,802
  United States Treasury Note/Bond 2.375%  2/29/24  78,291     79,661
  United States Treasury Note/Bond 0.250%  3/15/24 287,506    280,273
  United States Treasury Note/Bond 2.125%  3/31/24 230,392    233,344
  United States Treasury Note/Bond 0.375%  4/15/24 385,170    375,962
  United States Treasury Note/Bond 2.000%  4/30/24  52,686     53,213
  United States Treasury Note/Bond 2.250%  4/30/24 170,685    173,352
  United States Treasury Note/Bond 0.250%  5/15/24 377,100    366,553
  United States Treasury Note/Bond 2.500%  5/15/24 294,811    300,938
  United States Treasury Note/Bond 2.000%  5/31/24 202,103    204,124
  United States Treasury Note/Bond 0.250%  6/15/24 341,703    331,719
  United States Treasury Note/Bond 1.750%  6/30/24 153,232    153,950
  United States Treasury Note/Bond 2.000%  6/30/24  52,832     53,377
  United States Treasury Note/Bond 0.375%  7/15/24 333,264    324,047
  United States Treasury Note/Bond 1.750%  7/31/24  65,053     65,338
  United States Treasury Note/Bond 2.125%  7/31/24  53,332     54,032
  United States Treasury Note/Bond 0.375%  8/15/24 486,195    472,065
  United States Treasury Note/Bond 2.375%  8/15/24 174,155    177,420
  United States Treasury Note/Bond 1.250%  8/31/24 122,575    121,560
  United States Treasury Note/Bond 1.875%  8/31/24  93,129     93,784
  United States Treasury Note/Bond 0.375%  9/15/24 359,842    348,878
  United States Treasury Note/Bond 1.500%  9/30/24 112,982    112,682
  United States Treasury Note/Bond 2.125%  9/30/24  50,410     51,072
  United States Treasury Note/Bond 0.625% 10/15/24 328,941    320,666
  United States Treasury Note/Bond 1.500% 10/31/24 116,347    116,002
  United States Treasury Note/Bond 2.250% 10/31/24  58,371     59,338
  United States Treasury Note/Bond 0.750% 11/15/24 511,950    500,110
  United States Treasury Note/Bond 2.250% 11/15/24 179,850    182,885
  United States Treasury Note/Bond 1.500% 11/30/24 118,908    118,518
  United States Treasury Note/Bond 2.125% 11/30/24  80,734     81,806
  United States Treasury Note/Bond 1.000% 12/15/24 296,708    291,701
  United States Treasury Note/Bond 1.750% 12/31/24 101,853    102,187
  United States Treasury Note/Bond 2.250% 12/31/24  73,246     74,505
  United States Treasury Note/Bond 1.125%  1/15/25 295,085    290,889
  United States Treasury Note/Bond 1.375%  1/31/25 118,530    117,641
  United States Treasury Note/Bond 2.500%  1/31/25  23,848     24,429
  United States Treasury Note/Bond 1.500%  2/15/25 474,935    473,006
  United States Treasury Note/Bond 2.000%  2/15/25 137,901    139,280
  United States Treasury Note/Bond 1.125%  2/28/25 154,597    152,254
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Table of Contents
Short-Term Treasury Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  United States Treasury Note/Bond 2.750%  2/28/25  72,951     75,276
  United States Treasury Note/Bond 0.500%  3/31/25  86,890     83,862
  United States Treasury Note/Bond 2.625%  3/31/25  57,384     59,052
  United States Treasury Note/Bond 2.875%  4/30/25  54,401     56,407
Total U.S. Government and Agency Obligations (Cost $17,354,274) 17,051,285
          Shares  
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund
(Cost $2,226)
0.138%           22,265      2,226
Total Investments (99.7%) (Cost $17,356,500)   17,053,511
Other Assets and Liabilities—Net (0.3%)   42,879
Net Assets (100%)   17,096,390
Cost is in $000.
See Note A in Notes to Financial Statements.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $17,354,274) 17,051,285
Affiliated Issuers (Cost $2,226) 2,226
Total Investments in Securities 17,053,511
Investment in Vanguard 576
Receivables for Investment Securities Sold 870,033
Receivables for Accrued Income 39,241
Receivables for Capital Shares Issued 4,591
Total Assets 17,967,952
Liabilities  
Due to Custodian 7
Payables for Investment Securities Purchased 869,130
Payables for Capital Shares Redeemed 1,935
Payables for Distributions 219
Payables to Vanguard 271
Total Liabilities 871,562
Net Assets 17,096,390
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Table of Contents
Short-Term Treasury Index Fund
Statement of Assets and Liabilities (continued)


At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 17,411,138
Total Distributable Earnings (Loss) (314,748)
Net Assets 17,096,390
 
ETF Shares—Net Assets  
Applicable to 228,977,650 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
13,764,190
Net Asset Value Per Share—ETF Shares $60.11
 
Admiral Shares—Net Assets  
Applicable to 111,655,358 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,238,496
Net Asset Value Per Share—Admiral Shares $20.05
 
Institutional Shares—Net Assets  
Applicable to 43,423,522 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,093,704
Net Asset Value Per Share—Institutional Shares $25.19
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 30,065
Total Income 30,065
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 164
Management and Administrative—ETF Shares 2,164
Management and Administrative—Admiral Shares 696
Management and Administrative—Institutional Shares 250
Marketing and Distribution—ETF Shares 254
Marketing and Distribution—Admiral Shares 73
Marketing and Distribution—Institutional Shares 33
Custodian Fees 15
Shareholders’ Reports—ETF Shares 125
Shareholders’ Reports—Admiral Shares 11
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 4
Other Expenses 7
Total Expenses 3,797
Net Investment Income 26,268
Realized Net Gain (Loss) on Investment Securities Sold1,2 (10,022)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 (323,790)
Net Increase (Decrease) in Net Assets Resulting from Operations (307,544)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $9,000, $3,000, $2,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($10,014,000) of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 26,268   68,639
Realized Net Gain (Loss) (10,022)   81,417
Change in Unrealized Appreciation (Depreciation) (323,790)   (133,475)
Net Increase (Decrease) in Net Assets Resulting from Operations (307,544)   16,581
Distributions      
ETF Shares (63,591)   (110,961)
Admiral Shares (10,252)   (27,852)
Institutional Shares (5,647)   (12,476)
Total Distributions (79,490)   (151,289)
Capital Share Transactions      
ETF Shares 677,182   4,351,856
Admiral Shares (139,265)   (291,770)
Institutional Shares (16,176)   44,764
Net Increase (Decrease) from Capital Share Transactions 521,741   4,104,850
Total Increase (Decrease) 134,707   3,970,142
Net Assets      
Beginning of Period 16,961,683   12,991,541
End of Period 17,096,390   16,961,683
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $61.50 $62.13 $61.12 $59.89 $60.86 $61.14
Investment Operations            
Net Investment Income1 .095 .288 .956 1.430 .965 .614
Net Realized and Unrealized Gain (Loss) on Investments (1.203) (.220) 1.115 1.165 (1.062) (.311)
Total from Investment Operations (1.108) .068 2.071 2.595 (.097) .303
Distributions            
Dividends from Net Investment Income (.094) (.325) (1.061) (1.365) (.873) (.573)
Distributions from Realized Capital Gains (.188) (.373) (.010)
Total Distributions (.282) (.698) (1.061) (1.365) (.873) (.583)
Net Asset Value, End of Period $60.11 $61.50 $62.13 $61.12 $59.89 $60.86
Total Return -1.81% 0.11% 3.43% 4.39% -0.15% 0.50%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $13,764 $13,394 $9,140 $5,334 $3,080 $1,832
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 0.31% 0.47% 1.55% 2.37% 1.61% 1.01%
Portfolio Turnover Rate2 28% 66% 67% 55% 67% 60%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $20.51 $20.71 $20.35 $19.95 $20.29 $20.38
Investment Operations            
Net Investment Income1 .029 .095 .312 .472 .324 .202
Net Realized and Unrealized Gain (Loss) on Investments (.397) (.078) .375 .384 (.358) (.096)
Total from Investment Operations (.368) .017 .687 .856 (.034) .106
Distributions            
Dividends from Net Investment Income (.029) (.093) (.327) (.456) (.306) (.193)
Distributions from Realized Capital Gains (.063) (.124) (.003)
Total Distributions (.092) (.217) (.327) (.456) (.306) (.196)
Net Asset Value, End of Period $20.05 $20.51 $20.71 $20.35 $19.95 $20.29
Total Return2 -1.80% 0.08% 3.41% 4.34% -0.16% 0.53%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,238 $2,430 $2,748 $1,596 $929 $507
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 0.28% 0.46% 1.52% 2.35% 1.61% 1.01%
Portfolio Turnover Rate3 28% 66% 67% 55% 67% 60%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $25.77 $26.02 $25.57 $25.06 $25.49 $25.60
Investment Operations            
Net Investment Income1 .039 .120 .421 .598 .425 .260
Net Realized and Unrealized Gain (Loss) on Investments (.502) (.092) .445 .490 (.467) (.117)
Total from Investment Operations (.463) .028 .866 1.088 (.042) .143
Distributions            
Dividends from Net Investment Income (.038) (.122) (.416) (.578) (.388) (.249)
Distributions from Realized Capital Gains (.079) (.156) (.004)
Total Distributions (.117) (.278) (.416) (.578) (.388) (.253)
Net Asset Value, End of Period $25.19 $25.77 $26.02 $25.57 $25.06 $25.49
Total Return -1.80% 0.11% 3.42% 4.40% -0.16% 0.56%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,094 $1,138 $1,104 $974 $508 $208
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 0.30% 0.47% 1.63% 2.37% 1.63% 1.03%
Portfolio Turnover Rate2 28% 66% 67% 55% 67% 60%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Short-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Short-Term Treasury Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. 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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
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Short-Term Treasury Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
5. 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 based on the average cost of the securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2022, the fund had contributed to Vanguard capital in the amount of $576,000, representing less than 0.01% of the fund’s net assets and 0.23% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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.).
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Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations 17,051,285 17,051,285
Temporary Cash Investments 2,226 2,226
Total 2,226 17,051,285 17,053,511
D. As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 17,356,655
Gross Unrealized Appreciation 2,089
Gross Unrealized Depreciation (305,233)
Net Unrealized Appreciation (Depreciation) (303,144)
E. During the six months ended February 28, 2022, the fund purchased $7,785,543,000 of investment securities and sold $7,262,415,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,034,744,000 and $2,368,717,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2022, such purchases were $1,433,820,000 and sales were $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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Short-Term Treasury Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022
  Year Ended
August 31, 2021
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 3,060,103 50,429   5,990,667 97,261
Issued in Lieu of Cash Distributions  
Redeemed (2,382,921) (39,250)   (1,638,811) (26,575)
Net Increase (Decrease)—ETF Shares 677,182 11,179   4,351,856 70,686
Admiral Shares          
Issued 425,874 20,986   989,015 48,049
Issued in Lieu of Cash Distributions 7,886 389   22,569 1,097
Redeemed (573,025) (28,196)   (1,303,354) (63,333)
Net Increase (Decrease)—Admiral Shares (139,265) (6,821)   (291,770) (14,187)
Institutional Shares          
Issued 236,492 9,227   632,092 24,453
Issued in Lieu of Cash Distributions 4,543 178   10,629 412
Redeemed (257,211) (10,139)   (597,957) (23,156)
Net Increase (Decrease)—Institutional Shares (16,176) (734)   44,764 1,709
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
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Intermediate-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 28, 2022
0 - 2 Years 0.0%
2 - 4 Years 22.2
4 - 6 Years 39.3
6 - 8 Years 23.2
8 - 10 Years 15.3
The table reflects the fund's investments, except for short-term investments.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
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Intermediate-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
U.S. Government and Agency Obligations (99.7%)
U.S. Government Securities (99.7%)
  United States Treasury Note/Bond 2.500%  1/31/25       5          5
  United States Treasury Note/Bond 7.625%  2/15/25   3,300      3,871
  United States Treasury Note/Bond 0.500%  3/31/25  48,202     46,522
  United States Treasury Note/Bond 0.375%  4/30/25 144,584    138,801
  United States Treasury Note/Bond 2.125%  5/15/25 184,898    187,469
  United States Treasury Note/Bond 0.250%  5/31/25 161,078    153,754
  United States Treasury Note/Bond 2.875%  5/31/25  72,378     75,081
  United States Treasury Note/Bond 0.250%  6/30/25 169,814    161,854
  United States Treasury Note/Bond 2.750%  6/30/25  51,819     53,584
  United States Treasury Note/Bond 0.250%  7/31/25  99,162     94,390
  United States Treasury Note/Bond 2.875%  7/31/25 113,117    117,518
  United States Treasury Note/Bond 2.000%  8/15/25 169,253    170,893
  United States Treasury Note/Bond 0.250%  8/31/25 175,749    167,016
  United States Treasury Note/Bond 2.750%  8/31/25  89,511     92,630
  United States Treasury Note/Bond 0.250%  9/30/25 103,961     98,665
  United States Treasury Note/Bond 3.000%  9/30/25  56,824     59,363
  United States Treasury Note/Bond 0.250% 10/31/25  76,304     72,322
  United States Treasury Note/Bond 3.000% 10/31/25  71,863     75,108
  United States Treasury Note/Bond 2.250% 11/15/25 188,297    191,798
  United States Treasury Note/Bond 0.375% 11/30/25 187,127    177,917
  United States Treasury Note/Bond 2.875% 11/30/25  93,461     97,345
  United States Treasury Note/Bond 0.375% 12/31/25  60,788     57,739
  United States Treasury Note/Bond 2.625% 12/31/25  57,341     59,249
  United States Treasury Note/Bond 0.375%  1/31/26  90,844     86,160
  United States Treasury Note/Bond 2.625%  1/31/26  97,761    101,030
  United States Treasury Note/Bond 1.625%  2/15/26 197,608    196,713
  United States Treasury Note/Bond 0.500%  2/28/26 201,330    191,704
  United States Treasury Note/Bond 2.500%  2/28/26   5,425      5,582
  United States Treasury Note/Bond 0.750%  3/31/26  72,468     69,637
  United States Treasury Note/Bond 2.250%  3/31/26 128,848    131,385
  United States Treasury Note/Bond 0.750%  4/30/26 101,936     97,859
  United States Treasury Note/Bond 2.375%  4/30/26  95,355     97,739
  United States Treasury Note/Bond 1.625%  5/15/26 192,473    191,450
  United States Treasury Note/Bond 0.750%  5/31/26 117,810    112,987
  United States Treasury Note/Bond 2.125%  5/31/26  52,444     53,239
  United States Treasury Note/Bond 0.875%  6/30/26  99,936     96,298
  United States Treasury Note/Bond 1.875%  6/30/26  87,942     88,409
  United States Treasury Note/Bond 0.625%  7/31/26  77,478     73,774
  United States Treasury Note/Bond 1.875%  7/31/26 133,993    134,705
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Intermediate-Term Treasury Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  United States Treasury Note/Bond 1.500%  8/15/26 207,380    205,144
  United States Treasury Note/Bond 6.750%  8/15/26   5,331      6,467
  United States Treasury Note/Bond 0.750%  8/31/26 164,220    157,138
  United States Treasury Note/Bond 1.375%  8/31/26  25,355     24,947
  United States Treasury Note/Bond 0.875%  9/30/26 106,736    102,617
  United States Treasury Note/Bond 1.625%  9/30/26  65,662     65,303
  United States Treasury Note/Bond 1.125% 10/31/26 101,901     99,035
  United States Treasury Note/Bond 1.625% 10/31/26  64,718     64,364
  United States Treasury Note/Bond 2.000% 11/15/26 177,420    179,416
  United States Treasury Note/Bond 6.500% 11/15/26   7,377      8,946
  United States Treasury Note/Bond 1.250% 11/30/26 163,348    159,673
  United States Treasury Note/Bond 1.625% 11/30/26  66,845     66,469
  United States Treasury Note/Bond 1.250% 12/31/26 164,479    160,727
  United States Treasury Note/Bond 1.750% 12/31/26  63,824     63,834
  United States Treasury Note/Bond 1.500%  1/31/27 168,594    166,645
  United States Treasury Note/Bond 2.250%  2/15/27 161,767    165,559
  United States Treasury Note/Bond 6.625%  2/15/27   3,015      3,703
  United States Treasury Note/Bond 1.125%  2/28/27  33,463     32,459
  United States Treasury Note/Bond 1.875%  2/28/27 154,620    155,683
  United States Treasury Note/Bond 0.625%  3/31/27  68,162     64,434
  United States Treasury Note/Bond 0.500%  4/30/27  97,257     91,254
  United States Treasury Note/Bond 2.375%  5/15/27 201,738    207,790
  United States Treasury Note/Bond 0.500%  5/31/27 100,283     93,937
  United States Treasury Note/Bond 0.500%  6/30/27  96,331     90,100
  United States Treasury Note/Bond 0.375%  7/31/27 141,853    131,679
  United States Treasury Note/Bond 2.250%  8/15/27 190,674    195,351
  United States Treasury Note/Bond 6.375%  8/15/27   3,000      3,713
  United States Treasury Note/Bond 0.500%  8/31/27 169,107    157,772
  United States Treasury Note/Bond 0.375%  9/30/27 146,232    135,333
  United States Treasury Note/Bond 0.500% 10/31/27  92,120     85,758
  United States Treasury Note/Bond 2.250% 11/15/27 161,106    165,058
  United States Treasury Note/Bond 6.125% 11/15/27  10,997     13,576
  United States Treasury Note/Bond 0.625% 11/30/27 179,459    167,990
  United States Treasury Note/Bond 0.625% 12/31/27  95,593     89,424
  United States Treasury Note/Bond 0.750%  1/31/28 161,290    151,789
  United States Treasury Note/Bond 2.750%  2/15/28 109,476    115,395
  United States Treasury Note/Bond 1.125%  2/29/28 202,620    194,958
  United States Treasury Note/Bond 1.250%  3/31/28 135,262    130,951
  United States Treasury Note/Bond 1.250%  4/30/28 109,784    106,233
  United States Treasury Note/Bond 2.875%  5/15/28 128,344    136,305
  United States Treasury Note/Bond 1.250%  5/31/28 190,336    184,031
  United States Treasury Note/Bond 1.250%  6/30/28 106,238    102,652
  United States Treasury Note/Bond 1.000%  7/31/28  99,986     95,034
  United States Treasury Note/Bond 2.875%  8/15/28 211,887    225,527
  United States Treasury Note/Bond 5.500%  8/15/28  23,182     28,344
  United States Treasury Note/Bond 1.125%  8/31/28 156,695    150,035
  United States Treasury Note/Bond 1.250%  9/30/28 111,058    107,102
  United States Treasury Note/Bond 1.375% 10/31/28 133,397    129,624
  United States Treasury Note/Bond 3.125% 11/15/28 132,612    143,490
  United States Treasury Note/Bond 5.250% 11/15/28  26,223     31,906
  United States Treasury Note/Bond 1.500% 11/30/28 163,319    159,951
  United States Treasury Note/Bond 1.375% 12/31/28 155,858    151,401
  United States Treasury Note/Bond 1.750%  1/31/29 108,254    107,763
  United States Treasury Note/Bond 2.625%  2/15/29 193,034    203,259
  United States Treasury Note/Bond 5.250%  2/15/29  31,117     38,075
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Intermediate-Term Treasury Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  United States Treasury Note/Bond 1.875%  2/28/29 137,595    138,068
  United States Treasury Note/Bond 2.375%  5/15/29 173,065    179,582
  United States Treasury Note/Bond 1.625%  8/15/29 171,007    168,923
  United States Treasury Note/Bond 6.125%  8/15/29  16,702     21,739
  United States Treasury Note/Bond 1.750% 11/15/29 136,616    136,232
  United States Treasury Note/Bond 1.500%  2/15/30 194,623    190,244
  United States Treasury Note/Bond 0.625%  5/15/30 221,850    201,779
  United States Treasury Note/Bond 6.250%  5/15/30   6,930      9,270
  United States Treasury Note/Bond 0.625%  8/15/30 313,570    284,271
  United States Treasury Note/Bond 0.875% 11/15/30 302,026    279,138
  United States Treasury Note/Bond 1.125%  2/15/31 314,156    296,190
  United States Treasury Note/Bond 5.375%  2/15/31   8,000     10,359
  United States Treasury Note/Bond 1.625%  5/15/31 309,536    304,264
  United States Treasury Note/Bond 1.250%  8/15/31 268,439    254,933
  United States Treasury Note/Bond 1.375% 11/15/31 280,229    268,845
  United States Treasury Note/Bond 1.875%  2/15/32 106,583    106,999
Total U.S. Government and Agency Obligations (Cost $13,606,718) 13,207,524
          Shares  
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
1 Vanguard Market Liquidity Fund
(Cost $43,210)
0.138%          432,164     43,212
Total Investments (100.0%) (Cost $13,649,928)   13,250,736
Other Assets and Liabilities—Net (0.0%)   (448)
Net Assets (100%)   13,250,288
Cost is in $000.
See Note A in Notes to Financial Statements.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Intermediate-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $13,606,718) 13,207,524
Affiliated Issuers (Cost $43,210) 43,212
Total Investments in Securities 13,250,736
Investment in Vanguard 465
Cash 23
Receivables for Investment Securities Sold 336,057
Receivables for Accrued Income 36,085
Receivables for Capital Shares Issued 27,686
Total Assets 13,651,052
Liabilities  
Payables for Investment Securities Purchased 390,698
Payables for Capital Shares Redeemed 9,435
Payables for Distributions 411
Payables to Vanguard 220
Total Liabilities 400,764
Net Assets 13,250,288
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Table of Contents
Intermediate-Term Treasury Index Fund
Statement of Assets and Liabilities (continued)


At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 13,661,384
Total Distributable Earnings (Loss) (411,096)
Net Assets 13,250,288
 
ETF Shares—Net Assets  
Applicable to 135,627,693 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
8,821,328
Net Asset Value Per Share—ETF Shares $65.04
 
Admiral Shares—Net Assets  
Applicable to 120,706,640 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,649,907
Net Asset Value Per Share—Admiral Shares $21.95
 
Institutional Shares—Net Assets  
Applicable to 65,301,959 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,779,053
Net Asset Value Per Share—Institutional Shares $27.24
See accompanying Notes, which are an integral part of the Financial Statements.
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Table of Contents
Intermediate-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 77,157
Total Income 77,157
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 129
Management and Administrative—ETF Shares 1,425
Management and Administrative—Admiral Shares 762
Management and Administrative—Institutional Shares 367
Marketing and Distribution—ETF Shares 173
Marketing and Distribution—Admiral Shares 81
Marketing and Distribution—Institutional Shares 48
Custodian Fees 12
Shareholders’ Reports—ETF Shares 85
Shareholders’ Reports—Admiral Shares 17
Shareholders’ Reports—Institutional Shares 3
Trustees’ Fees and Expenses 3
Other Expenses 7
Total Expenses 3,112
Net Investment Income 74,045
Realized Net Gain (Loss) on Investment Securities Sold1,2 (9,685)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 (565,300)
Net Increase (Decrease) in Net Assets Resulting from Operations (500,940)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,000, less than $1,000, $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $8,531,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
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Table of Contents
Intermediate-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 74,045   135,171
Realized Net Gain (Loss) (9,685)   147,291
Change in Unrealized Appreciation (Depreciation) (565,300)   (417,388)
Net Increase (Decrease) in Net Assets Resulting from Operations (500,940)   (134,926)
Distributions      
ETF Shares (102,322)   (132,684)
Admiral Shares (27,644)   (49,704)
Institutional Shares (19,819)   (31,298)
Total Distributions (149,785)   (213,686)
Capital Share Transactions      
ETF Shares 1,115,360   1,812,764
Admiral Shares 127,186   (8,693)
Institutional Shares 140,348   217,704
Net Increase (Decrease) from Capital Share Transactions 1,382,894   2,021,775
Total Increase (Decrease) 732,169   1,673,163
Net Assets      
Beginning of Period 12,518,119   10,844,956
End of Period 13,250,288   12,518,119
See accompanying Notes, which are an integral part of the Financial Statements.