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 |
• | 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. |
• | 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. |
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 |
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 |
Under 1 Year | 0.0% |
1 - 2 Years | 55.0 |
2 - 3 Years | 43.8 |
3 - 4 Years | 1.2 |
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 |
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 |
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. |
($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 |
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 |
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. |
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 |
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. |
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. |
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. |
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. |
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. |
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 ($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. |
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. |
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 |
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 |
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 |
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. |
($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 |
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 |
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. |
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 |