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 |
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.
1
| 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 |
2
| 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).
3
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.
4
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 | ||
5
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 | ||
6
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.
7
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 |
8
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.
9
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.
10
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.
11
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.
12
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.
13
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.
14
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
15
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.).
16
Short-Term
Treasury Index Fund
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.
17
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.
18
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.
19
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 | ||
20
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 | ||
21
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.
22
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 |
23
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.
24
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.
25
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.