Semiannual Report  |  February 28, 2023
Vanguard Extended Duration Treasury Index Fund

 

Contents
 1
4

 

Table of Contents
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1

 

Table of Contents
Six Months Ended February 28, 2023      
  Beginning
Account Value
8/31/2022 		Ending
Account Value
2/28/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Extended Duration Treasury Index Fund      
ETF Shares $1,000.00 $897.70 $0.28
Institutional Shares 1,000.00 897.90 0.28
Institutional Plus Shares 1,000.00 897.80 0.19
Based on Hypothetical 5% Yearly Return      
Extended Duration Treasury Index Fund      
ETF Shares $1,000.00 $1,024.50 $0.30
Institutional Shares 1,000.00 1,024.50 0.30
Institutional Plus Shares 1,000.00 1,024.60 0.20
The calculations are based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratios for that period are 0.06% for ETF Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus 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).
2

 

Table of Contents
Extended Duration Treasury Index Fund
Distribution by Stated Maturity
As of February 28, 2023
15 - 20 Years 0.1%
20 - 25 Years 52.1
25 - 30 Years 47.8
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.
3

 

Table of Contents
Extended Duration Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
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 (100.0%)
U.S. Government Securities (100.0%)
  United States Treasury Strip Coupon 0.000%  2/15/43   6,138     2,643
  United States Treasury Strip Coupon 0.000%  5/15/43  84,381    36,007
  United States Treasury Strip Coupon 0.000%  8/15/43 110,201    46,586
  United States Treasury Strip Coupon 0.000% 11/15/43 110,520    46,246
  United States Treasury Strip Coupon 0.000%  2/15/44  70,447    29,164
  United States Treasury Strip Coupon 0.000%  5/15/44  61,948    25,394
  United States Treasury Strip Coupon 0.000%  8/15/44 111,023    44,973
  United States Treasury Strip Coupon 0.000% 11/15/44  60,001    24,113
  United States Treasury Strip Coupon 0.000%  2/15/45  53,292    21,171
  United States Treasury Strip Coupon 0.000%  5/15/45 102,552    40,332
  United States Treasury Strip Coupon 0.000%  8/15/45 115,595    45,028
  United States Treasury Strip Coupon 0.000% 11/15/45  90,876    35,172
  United States Treasury Strip Coupon 0.000%  2/15/46  56,333    21,622
  United States Treasury Strip Coupon 0.000%  5/15/46  52,218    19,884
  United States Treasury Strip Coupon 0.000%  8/15/46  92,088    34,770
  United States Treasury Strip Coupon 0.000% 11/15/46  87,374    32,697
  United States Treasury Strip Coupon 0.000%  2/15/47  68,808    25,502
  United States Treasury Strip Coupon 0.000%  5/15/47  66,613    24,517
  United States Treasury Strip Coupon 0.000%  8/15/47  82,405    30,123
  United States Treasury Strip Coupon 0.000% 11/15/47  75,021    27,189
  United States Treasury Strip Coupon 0.000%  2/15/48  83,615    30,062
  United States Treasury Strip Coupon 0.000%  5/15/48  75,812    27,014
  United States Treasury Strip Coupon 0.000%  8/15/48  86,704    30,760
  United States Treasury Strip Coupon 0.000% 11/15/48  80,883    28,423
  United States Treasury Strip Coupon 0.000%  2/15/49  62,460    21,793
  United States Treasury Strip Coupon 0.000%  5/15/49  56,224    19,525
  United States Treasury Strip Coupon 0.000%  8/15/49 106,565    36,831
  United States Treasury Strip Coupon 0.000% 11/15/49 110,353    38,020
  United States Treasury Strip Coupon 0.000%  2/15/50  81,917    28,114
  United States Treasury Strip Coupon 0.000%  5/15/50  77,924    26,671
  United States Treasury Strip Coupon 0.000%  8/15/50 135,716    46,207
  United States Treasury Strip Coupon 0.000% 11/15/50  81,075    27,496
  United States Treasury Strip Coupon 0.000%  2/15/51 132,085    44,682
  United States Treasury Strip Coupon 0.000%  5/15/51  91,170    30,642
  United States Treasury Strip Coupon 0.000%  8/15/51  85,321    28,569
  United States Treasury Strip Coupon 0.000% 11/15/51 118,225    39,282
  United States Treasury Strip Coupon 0.000%  2/15/52  83,957    27,942
  United States Treasury Strip Coupon 0.000%  5/15/52  54,243    17,959
  United States Treasury Strip Coupon 0.000%  8/15/52  50,375    16,569
4

 

Table of Contents
Extended Duration Treasury Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Strip Coupon 0.000% 11/15/52   7,542     2,482
  United States Treasury Strip Coupon 0.000%  2/15/53   1,066       347
  United States Treasury Strip Principal 0.000%  5/15/43  93,047    40,657
  United States Treasury Strip Principal 0.000%  8/15/43  86,232    37,524
  United States Treasury Strip Principal 0.000% 11/15/43  70,021    30,153
  United States Treasury Strip Principal 0.000%  2/15/44  60,381    25,657
  United States Treasury Strip Principal 0.000%  5/15/44  65,359    27,435
  United States Treasury Strip Principal 0.000%  8/15/44 118,568    49,160
  United States Treasury Strip Principal 0.000% 11/15/44  49,218    20,218
  United States Treasury Strip Principal 0.000%  2/15/45  41,837    17,003
  United States Treasury Strip Principal 0.000%  5/15/45  99,730    40,188
  United States Treasury Strip Principal 0.000%  8/15/45 101,057    40,296
  United States Treasury Strip Principal 0.000% 11/15/45  92,332    36,543
  United States Treasury Strip Principal 0.000%  2/15/46  52,283    20,537
  United States Treasury Strip Principal 0.000%  5/15/46  53,084    20,703
  United States Treasury Strip Principal 0.000%  8/15/46  93,466    36,130
  United States Treasury Strip Principal 0.000% 11/15/46  82,532    31,736
  United States Treasury Strip Principal 0.000%  2/15/47  73,564    27,983
  United States Treasury Strip Principal 0.000%  5/15/47  62,374    23,580
  United States Treasury Strip Principal 0.000%  8/15/47  63,371    23,809
  United States Treasury Strip Principal 0.000% 11/15/47  81,360    30,389
  United States Treasury Strip Principal 0.000%  2/15/48  81,401    30,176
  United States Treasury Strip Principal 0.000%  5/15/48  70,111    25,853
  United States Treasury Strip Principal 0.000%  8/15/48  80,918    29,636
  United States Treasury Strip Principal 0.000% 11/15/48  68,879    25,141
  United States Treasury Strip Principal 0.000%  2/15/49  78,313    28,407
  United States Treasury Strip Principal 0.000%  5/15/49  58,013    20,948
  United States Treasury Strip Principal 0.000%  8/15/49 106,405    38,048
  United States Treasury Strip Principal 0.000% 11/15/49  68,386    24,352
  United States Treasury Strip Principal 0.000%  2/15/50  99,998    35,335
  United States Treasury Strip Principal 0.000%  5/15/50  82,705    29,044
  United States Treasury Strip Principal 0.000%  8/15/50 138,210    48,125
  United States Treasury Strip Principal 0.000% 11/15/50  72,350    25,034
  United States Treasury Strip Principal 0.000%  2/15/51 106,300    36,541
  United States Treasury Strip Principal 0.000%  5/15/51  79,705    27,162
  United States Treasury Strip Principal 0.000%  8/15/51  95,750    32,607
  United States Treasury Strip Principal 0.000% 11/15/51  86,352    29,198
  United States Treasury Strip Principal 0.000%  2/15/52 116,856    39,293
  United States Treasury Strip Principal 0.000%  5/15/52  93,931    31,438
  United States Treasury Strip Principal 0.000%  8/15/52  95,050    31,522
  United States Treasury Strip Principal 0.000% 11/15/52  89,648    30,074
  United States Treasury Strip Principal 0.000%  2/15/53  66,088    21,840
Total U.S. Government and Agency Obligations (Cost $3,326,793) 2,401,998
5

 

Table of Contents
Extended Duration Treasury Index Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund
(Cost $398) 		4.640%            3,978          398
Total Investments (100.0%) (Cost $3,327,191)   2,402,396
Other Assets and Liabilities—Net (0.0%)   (539)
Net Assets (100%)   2,401,857
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.
6

 

Table of Contents
Extended Duration Treasury Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,326,793) 2,401,998
Affiliated Issuers (Cost $398) 398
Total Investments in Securities 2,402,396
Investment in Vanguard 89
Receivables for Investment Securities Sold 66,293
Receivables for Accrued Income 3
Total Assets 2,468,781
Liabilities  
Due to Custodian 128
Payables for Investment Securities Purchased 66,743
Payables for Capital Shares Redeemed 3
Payables to Vanguard 50
Total Liabilities 66,924
Net Assets 2,401,857
 
At February 28, 2023, net assets consisted of:

   
Paid-in Capital 3,541,539
Total Distributable Earnings (Loss) (1,139,682)
Net Assets 2,401,857
 
ETF Shares—Net Assets  
Applicable to 18,675,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,589,258
Net Asset Value Per Share—ETF Shares $85.10
 
Institutional Shares—Net Assets  
Applicable to 22,403,768 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		575,978
Net Asset Value Per Share—Institutional Shares $25.71
 
Institutional Plus Shares—Net Assets  
Applicable to 3,666,325 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		236,621
Net Asset Value Per Share—Institutional Plus Shares $64.54
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Table of Contents
Extended Duration Treasury Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Interest1 37,388
Total Income 37,388
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 28
Management and Administrative—ETF Shares 311
Management and Administrative—Institutional Shares 147
Management and Administrative—Institutional Plus Shares 42
Marketing and Distribution—ETF Shares 41
Marketing and Distribution—Institutional Shares 10
Marketing and Distribution—Institutional Plus Shares 2
Custodian Fees 3
Shareholders’ Reports—ETF Shares 41
Shareholders’ Reports—Institutional Shares —
Shareholders’ Reports—Institutional Plus Shares —
Trustees’ Fees and Expenses —
Other Expenses 7
Total Expenses 632
Expenses Paid Indirectly (3)
Net Expenses 629
Net Investment Income 36,759
Realized Net Gain (Loss) on Investment Securities Sold1,2 (119,402)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 (154,392)
Net Increase (Decrease) in Net Assets Resulting from Operations (237,035)
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 $24,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($3,870,000) of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Table of Contents
Extended Duration Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 36,759   54,800
Realized Net Gain (Loss) (119,402)   (64,318)
Change in Unrealized Appreciation (Depreciation) (154,392)   (838,872)
Net Increase (Decrease) in Net Assets Resulting from Operations (237,035)   (848,390)
Distributions      
ETF Shares (22,009)   (28,243)
Institutional Shares (8,416)   (15,042)
Institutional Plus Shares (3,794)   (9,537)
Total Distributions (34,219)   (52,822)
Capital Share Transactions      
ETF Shares 449,326   534,037
Institutional Shares 21,630   83,248
Institutional Plus Shares 3,794   (88,387)
Net Increase (Decrease) from Capital Share Transactions 474,750   528,898
Total Increase (Decrease) 203,496   (372,314)
Net Assets      
Beginning of Period 2,198,361   2,570,675
End of Period 2,401,857   2,198,361
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Table of Contents
Extended Duration Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $96.31 $140.69 $163.11 $146.43 $113.39 $120.92
Investment Operations            
Net Investment Income1 1.450 2.769 2.795 3.146 3.347 3.353
Net Realized and Unrealized Gain (Loss) on Investments2 (11.286) (44.418) (17.061) 18.113 32.972 (7.272)
Total from Investment Operations (9.836) (41.649) (14.266) 21.259 36.319 (3.919)
Distributions            
Dividends from Net Investment Income (1.374) (2.731) (2.820) (3.329) (3.279) (3.314)
Distributions from Realized Capital Gains — — (5.334) (1.250) — (.297)
Total Distributions (1.374) (2.731) (8.154) (4.579) (3.279) (3.611)
Net Asset Value, End of Period $85.10 $96.31 $140.69 $163.11 $146.43 $113.39
Total Return -10.23% -30.00% -8.94% 14.98% 32.92% -3.24%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,589 $1,312 $1,277 $1,810 $1,333 $658
Ratio of Total Expenses to Average Net Assets 0.06%3 0.06%3 0.06% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.38% 2.33% 1.93% 2.06% 2.87% 2.93%
Portfolio Turnover Rate4 11% 15% 23% 17% 20% 18%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.02, $.03, $.07, $.07, $.04, and $.07.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.06%.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Table of Contents
Extended Duration Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $29.09 $42.50 $49.27 $44.24 $34.25 $36.52
Investment Operations            
Net Investment Income1 .437 .835 .842 .959 1.015 1.016
Net Realized and Unrealized Gain (Loss) on Investments2 (3.402) (13.425) (5.143) 5.459 9.967 (2.191)
Total from Investment Operations (2.965) (12.590) (4.301) 6.418 10.982 (1.175)
Distributions            
Dividends from Net Investment Income (.415) (.820) (.857) (1.010) (.992) (1.005)
Distributions from Realized Capital Gains — — (1.612) (.378) — (.090)
Total Distributions (.415) (.820) (2.469) (1.388) (.992) (1.095)
Net Asset Value, End of Period $25.71 $29.09 $42.50 $49.27 $44.24 $34.25
Total Return3 -10.21% -30.01% -8.95% 14.98% 32.94% -3.23%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $576 $623 $789 $889 $862 $787
Ratio of Total Expenses to Average Net Assets 0.06%4 0.06%4 0.06% 0.06% 0.06% 0.06%
Ratio of Net Investment Income to Average Net Assets 3.37% 2.29% 1.96% 2.10% 2.88% 2.94%
Portfolio Turnover Rate5 11% 15% 23% 17% 20% 18%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.00, $.00, $.02, $.02, $.01, and $.02.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.06%.
5 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.
11

 

Table of Contents
Extended Duration Treasury Index Fund
Financial Highlights
Institutional Plus Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $73.04 $106.68 $123.70 $111.06 $85.99 $91.68
Investment Operations            
Net Investment Income1 1.105 2.114 2.140 2.432 2.564 2.568
Net Realized and Unrealized Gain (Loss) on Investments2 (8.558) (33.676) (12.941) 13.716 25.015 (5.492)
Total from Investment Operations (7.453) (31.562) (10.801) 16.148 27.579 (2.924)
Distributions            
Dividends from Net Investment Income (1.047) (2.078) (2.173) (2.560) (2.509) (2.541)
Distributions from Realized Capital Gains — — (4.046) (.948) — (.225)
Total Distributions (1.047) (2.078) (6.219) (3.508) (2.509) (2.766)
Net Asset Value, End of Period $64.54 $73.04 $106.68 $123.70 $111.06 $85.99
Total Return3 -10.22% -29.98% -8.95% 15.02% 32.95% -3.20%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $237 $264 $505 $689 $780 $533
Ratio of Total Expenses to Average Net Assets 0.04%4 0.04%4 0.04% 0.04% 0.04% 0.04%
Ratio of Net Investment Income to Average Net Assets 3.40% 2.29% 1.96% 2.12% 2.90% 2.96%
Portfolio Turnover Rate5 11% 15% 23% 17% 20% 18%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.01, $.02, $.05, $.05, $.03, and $.06.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
5 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

 

Table of Contents
Extended Duration Treasury Index Fund
Notes to Financial Statements
Vanguard Extended Duration 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, Institutional Shares, and Institutional Plus 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 NYSE Arca; they can be purchased and sold through a broker.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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 $4.4 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple
13

 

Table of Contents
Extended Duration Treasury Index Fund
Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate 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, 2023, 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 those of the specific securities sold. Fees assessed on capital share transactions are credited to paid-in capital.
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, 2023, the fund had contributed to Vanguard capital in the amount of $89,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets).
14

 

Table of Contents
Extended Duration Treasury Index Fund
D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of February 28, 2023, 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 — 2,401,998 — 2,401,998
Temporary Cash Investments 398 — — 398
Total 398 2,401,998 — 2,402,396
E.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 3,335,935
Gross Unrealized Appreciation 4,534
Gross Unrealized Depreciation (938,073)
Net Unrealized Appreciation (Depreciation) (933,539)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $106,428,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 28, 2023, the fund purchased $845,130,000 of investment securities and sold $404,556,000 of investment securities, other than temporary cash investments. Purchases and sales include $599,219,000 and $150,368,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
15

 

Table of Contents
Extended Duration Treasury Index Fund
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued1 599,855 6,900   1,370,500 11,325
Issued in Lieu of Cash Distributions — —   — —
Redeemed (150,529) (1,850)   (836,463) (6,775)
Net Increase (Decrease)—ETF Shares 449,326 5,050   534,037 4,550
Institutional Shares          
Issued1 91,302 3,583   131,583 4,011
Issued in Lieu of Cash Distributions 8,181 313   15,013 411
Redeemed (77,853) (2,890)   (63,348) (1,583)
Net Increase (Decrease)—Institutional Shares 21,630 1,006   83,248 2,839
Institutional Plus Shares          
Issued1 — —   — —
Issued in Lieu of Cash Distributions 3,794 58   9,537 103
Redeemed — —   (97,924) (1,231)
Net Increase (Decrease)—Institutional Plus Shares 3,794 58   (88,387) (1,128)
1 Includes purchase fees for fiscal 2023 and 2022 of $400,000 and $535,000, respectively (fund totals).
H.  Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
16

 

Table of Contents
This page intentionally left blank.

 

Table of Contents
Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to [email protected].
© 2023 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q12752 042023