UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07803
Name of Registrant: | Vanguard Scottsdale Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2022—February 28, 2023
Item 1: Reports to Shareholders
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangements | 15 |
• | 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, 2023 | |||
Explorer Value Fund | Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,072.80 | $2.52 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.37 | 2.46 |
Communication Services | 7.1% |
Consumer Discretionary | 13.0 |
Consumer Staples | 1.2 |
Energy | 3.9 |
Financials | 17.9 |
Health Care | 5.5 |
Industrials | 17.9 |
Information Technology | 11.4 |
Materials | 10.7 |
Real Estate | 9.9 |
Utilities | 1.5 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (7.2%) | |||
Money Market Fund (7.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 4.640% (Cost $76,329) | 763,468 | 76,339 |
Total Investments (101.9%) (Cost $919,142) | 1,087,160 | ||
Other Assets and Liabilities—Net (-1.9%) | (19,940) | ||
Net Assets (100%) | 1,067,220 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $21,339,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $22,668,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 273 | 25,923 | 1,154 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $842,813) | 1,010,821 |
Affiliated Issuers (Cost $76,329) | 76,339 |
Total Investments in Securities | 1,087,160 |
Investment in Vanguard | 39 |
Cash | 4,787 |
Cash Collateral Pledged—Futures Contracts | 1,593 |
Receivables for Investment Securities Sold | 867 |
Receivables for Accrued Income | 1,810 |
Receivables for Capital Shares Issued | 628 |
Variation Margin Receivable—Futures Contracts | 3 |
Total Assets | 1,096,887 |
Liabilities | |
Payables for Investment Securities Purchased | 5,779 |
Collateral for Securities on Loan | 22,668 |
Payables to Investment Advisor | 710 |
Payables for Capital Shares Redeemed | 424 |
Payables to Vanguard | 86 |
Total Liabilities | 29,667 |
Net Assets | 1,067,220 |
1 Includes $21,339,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 907,615 |
Total Distributable Earnings (Loss) | 159,605 |
Net Assets | 1,067,220 |
Net Assets | |
Applicable to 25,849,330 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,067,220 |
Net Asset Value Per Share | $41.29 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 8,421 |
Interest2 | 1,134 |
Securities Lending—Net | 13 |
Total Income | 9,568 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 1,603 |
Performance Adjustment | (199) |
The Vanguard Group—Note C | |
Management and Administrative | 1,077 |
Marketing and Distribution | 38 |
Custodian Fees | 7 |
Shareholders’ Reports | 32 |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 2,564 |
Expenses Paid Indirectly | (5) |
Net Expenses | 2,559 |
Net Investment Income | 7,009 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (425) |
Futures Contracts | (204) |
Realized Net Gain (Loss) | (629) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 65,861 |
Futures Contracts | (182) |
Change in Unrealized Appreciation (Depreciation) | 65,679 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,059 |
1 | Dividends are net of foreign withholding taxes of $27,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,102,000, $8,000, less than $1,000, and $4,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 7,009 | 12,097 | |
Realized Net Gain (Loss) | (629) | 25,613 | |
Change in Unrealized Appreciation (Depreciation) | 65,679 | (159,680) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,059 | (121,970) | |
Distributions | |||
Total Distributions | (39,564) | (47,190) | |
Capital Share Transactions | |||
Issued | 55,643 | 260,809 | |
Issued in Lieu of Cash Distributions | 37,424 | 44,561 | |
Redeemed | (140,877) | (218,148) | |
Net Increase (Decrease) from Capital Share Transactions | (47,810) | 87,222 | |
Total Increase (Decrease) | (15,315) | (81,938) | |
Net Assets | |||
Beginning of Period | 1,082,535 | 1,164,473 | |
End of Period | 1,067,220 | 1,082,535 |
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 | $39.93 | $46.26 | $30.32 | $33.49 | $40.53 | $34.45 |
Investment Operations | ||||||
Net Investment Income1 | .262 | .461 | .351 | .400 | .494 | .355 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.572 | (4.910) | 15.911 | (3.032) | (4.921) | 7.112 |
Total from Investment Operations | 2.834 | (4.449) | 16.262 | (2.632) | (4.427) | 7.467 |
Distributions | ||||||
Dividends from Net Investment Income | (.495) | (.352) | (.322) | (.538) | (.366) | (.288) |
Distributions from Realized Capital Gains | (.979) | (1.529) | — | — | (2.247) | (1.099) |
Total Distributions | (1.474) | (1.881) | (.322) | (.538) | (2.613) | (1.387) |
Net Asset Value, End of Period | $41.29 | $39.93 | $46.26 | $30.32 | $33.49 | $40.53 |
Total Return2 | 7.28% | -10.05% | 53.90% | -8.12% | -10.10% | 22.10% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,067 | $1,083 | $1,164 | $563 | $655 | $768 |
Ratio of Total Expenses to Average Net Assets3 | 0.49%4 | 0.53%4 | 0.52% | 0.64% | 0.55% | 0.56% |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.05% | 0.85% | 1.28% | 1.45% | 0.95% |
Portfolio Turnover Rate | 10% | 31% | 41% | 42% | 27% | 31% |
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 | Includes performance-based investment advisory fee increases (decreases) of (0.04%), 0.02%, 0.01%, 0.09%, 0.01%, and 0.03%. |
4 | The ratio of expenses to average net assets for the period net of reduction from broker commission abatement arrangements was 0.49% and 0.53%. |
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. | The investment advisory firms Frontier Capital Management Co., LLC, Cardinal Capital Management, L.L.C., and Ariel Investments, LLC, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Frontier Capital Management Co., LLC, is subject to quarterly adjustments based on performance relative to the Russell 2000 Value Index for the preceding three years. The basic fee of Cardinal Capital Management, L.L.C., is subject to quarterly adjustments based on performance relative to the Russell 3000 Value Custom Index for periods prior to June 23, 2022, and to the new Russell 2500 Value Index, beginning June 23, 2022, for the preceding three years. The benchmark change will be fully phased in by August 2025. In accordance with the advisory contract entered into with Ariel Investments, LLC, beginning March 1, 2023, the investment advisory fee will be subject to quarterly adjustments based on performance relative to the Russell 2500 Value Index since February 28, 2022. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution and cash management 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. |
D. | The fund has asked its investment advisors to direct certain security trades, subject to obtaining the best price and execution, to brokers who have agreed to rebate to the fund part of the commissions generated. Such rebates are used solely to reduce the fund’s management and administrative expenses. For the six months ended February 28, 2023, these arrangements reduced the fund’s expenses by $5,000 (an annual rate of less than 0.01% of average net assets). |
E. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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. |
F. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 922,321 |
Gross Unrealized Appreciation | 226,667 |
Gross Unrealized Depreciation | (60,674) |
Net Unrealized Appreciation (Depreciation) | 165,993 |
G. | During the six months ended February 28, 2023, the fund purchased $97,026,000 of investment securities and sold $174,572,000 of investment securities, other than temporary cash investments. |
H. | Capital shares issued and redeemed were: |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
Shares (000) | Shares (000) | ||
Issued | 1,387 | 5,932 | |
Issued in Lieu of Cash Distributions | 950 | 997 | |
Redeemed | (3,600) | (4,988) | |
Net Increase (Decrease) in Shares Outstanding | (1,263) | 1,941 |
I. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
Vanguard Russell 1000 Index Fund |
Vanguard Russell 1000 Value Index Fund |
Vanguard Russell 1000 Growth Index Fund |
About Your Fund’s Expenses | 1 |
Russell 1000 Index Fund | 3 |
Russell 1000 Value Index Fund | 24 |
Russell 1000 Growth Index Fund | 46 |
• | 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, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Russell 1000 Index Fund | |||
ETF Shares | $1,000.00 | $1,013.40 | $0.40 |
Institutional Shares | 1,000.00 | 1,013.40 | 0.35 |
Russell 1000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,040.40 | $0.40 |
Institutional Shares | 1,000.00 | 1,040.40 | 0.35 |
Russell 1000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $987.50 | $0.39 |
Institutional Shares | 1,000.00 | 987.40 | 0.34 |
Based on Hypothetical 5% Yearly Return | |||
Russell 1000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.40 | $0.40 |
Institutional Shares | 1,000.00 | 1,024.45 | 0.35 |
Russell 1000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.40 | $0.40 |
Institutional Shares | 1,000.00 | 1,024.45 | 0.35 |
Russell 1000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.40 | $0.40 |
Institutional Shares | 1,000.00 | 1,024.45 | 0.35 |
Basic Materials | 2.2% |
Consumer Discretionary | 14.3 |
Consumer Staples | 5.6 |
Energy | 4.9 |
Financials | 11.7 |
Health Care | 13.4 |
Industrials | 13.4 |
Real Estate | 3.1 |
Technology | 25.9 |
Telecommunications | 2.5 |
Utilities | 3.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2023 | 39 | 7,752 | (99) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $4,371,339) | 5,611,723 |
Affiliated Issuers (Cost $11,739) | 11,740 |
Total Investments in Securities | 5,623,463 |
Investment in Vanguard | 203 |
Cash Collateral Pledged—Futures Contracts | 420 |
Receivables for Investment Securities Sold | 38 |
Receivables for Accrued Income | 8,599 |
Receivables for Capital Shares Issued | 167 |
Total Assets | 5,632,890 |
Liabilities | |
Due to Custodian | 824 |
Payables for Investment Securities Purchased | 381 |
Collateral for Securities on Loan | 11,716 |
Payables for Capital Shares Redeemed | 94 |
Payables to Vanguard | 155 |
Variation Margin Payable—Futures Contracts | 24 |
Total Liabilities | 13,194 |
Net Assets | 5,619,696 |
1 Includes $11,376,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 4,418,379 |
Total Distributable Earnings (Loss) | 1,201,317 |
Net Assets | 5,619,696 |
ETF Shares—Net Assets | |
Applicable to 20,250,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,671,778 |
Net Asset Value Per Share—ETF Shares | $181.32 |
Institutional Shares—Net Assets | |
Applicable to 5,545,347 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,947,918 |
Net Asset Value Per Share—Institutional Shares | $351.27 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 43,855 |
Interest2 | 192 |
Securities Lending—Net | 273 |
Total Income | 44,320 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 63 |
Management and Administrative—ETF Shares | 961 |
Management and Administrative—Institutional Shares | 531 |
Marketing and Distribution—ETF Shares | 89 |
Marketing and Distribution—Institutional Shares | 34 |
Custodian Fees | 281 |
Shareholders’ Reports—ETF Shares | 34 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 6 |
Total Expenses | 2,001 |
Net Investment Income | 42,319 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 143,500 |
Futures Contracts | (20) |
Realized Net Gain (Loss) | 143,480 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (78,814) |
Futures Contracts | 598 |
Change in Unrealized Appreciation (Depreciation) | (78,216) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 107,583 |
1 | Dividends are net of foreign withholding taxes of $4,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $183,000, $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $192,711,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 42,319 | 73,532 | |
Realized Net Gain (Loss) | 143,480 | 158,644 | |
Change in Unrealized Appreciation (Depreciation) | (78,216) | (956,508) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 107,583 | (724,332) | |
Distributions | |||
ETF Shares | (26,891) | (37,346) | |
Institutional Shares | (17,055) | (34,230) | |
Total Distributions | (43,946) | (71,576) | |
Capital Share Transactions | |||
ETF Shares | 889,140 | 455,983 | |
Institutional Shares | (227,571) | (268,964) | |
Net Increase (Decrease) from Capital Share Transactions | 661,569 | 187,019 | |
Total Increase (Decrease) | 725,206 | (608,889) | |
Net Assets | |||
Beginning of Period | 4,894,490 | 5,503,379 | |
End of Period | 5,619,696 | 4,894,490 |
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 | $180.47 | $210.32 | $161.36 | $134.37 | $133.57 | $113.60 |
Investment Operations | ||||||
Net Investment Income1 | 1.422 | 2.757 | 2.459 | 2.525 | 2.395 | 2.209 |
Net Realized and Unrealized Gain (Loss) on Investments | .918 | (29.909) | 48.925 | 27.028 | .759 | 19.896 |
Total from Investment Operations | 2.340 | (27.152) | 51.384 | 29.553 | 3.154 | 22.105 |
Distributions | ||||||
Dividends from Net Investment Income | (1.490) | (2.698) | (2.424) | (2.563) | (2.354) | (2.135) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.490) | (2.698) | (2.424) | (2.563) | (2.354) | (2.135) |
Net Asset Value, End of Period | $181.32 | $180.47 | $210.32 | $161.36 | $134.37 | $133.57 |
Total Return | 1.34% | -13.02% | 32.14% | 22.39% | 2.45% | 19.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,672 | $2,721 | $2,682 | $1,678 | $1,196 | $1,008 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.39% | 1.34% | 1.79% | 1.85% | 1.78% |
Portfolio Turnover Rate2 | 3% | 10% | 6% | 9% | 6% | 9% |
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. |
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 | $349.62 | $407.44 | $312.59 | $260.26 | $258.75 | $220.06 |
Investment Operations | ||||||
Net Investment Income1 | 2.758 | 5.354 | 4.807 | 4.927 | 4.645 | 4.345 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.790 | (57.922) | 94.766 | 52.362 | 1.483 | 38.573 |
Total from Investment Operations | 4.548 | (52.568) | 99.573 | 57.289 | 6.128 | 42.918 |
Distributions | ||||||
Dividends from Net Investment Income | (2.898) | (5.252) | (4.723) | (4.959) | (4.618) | (4.228) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.898) | (5.252) | (4.723) | (4.959) | (4.618) | (4.228) |
Net Asset Value, End of Period | $351.27 | $349.62 | $407.44 | $312.59 | $260.26 | $258.75 |
Total Return | 1.34% | -13.01% | 32.16% | 22.45% | 2.45% | 19.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,948 | $2,174 | $2,822 | $2,523 | $2,323 | $2,134 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.39% | 1.36% | 1.81% | 1.86% | 1.82% |
Portfolio Turnover Rate2 | 3% | 10% | 6% | 9% | 6% | 9% |
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 and derivatives. 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 | ||||
Common Stocks | 5,611,701 | 22 | — | 5,611,723 |
Temporary Cash Investments | 11,740 | — | — | 11,740 |
Total | 5,623,441 | 22 | — | 5,623,463 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 99 | — | — | 99 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 4,416,255 |
Gross Unrealized Appreciation | 1,426,972 |
Gross Unrealized Depreciation | (219,863) |
Net Unrealized Appreciation (Depreciation) | 1,207,109 |
E. | During the six months ended February 28, 2023, the fund purchased $1,331,435,000 of investment securities and sold $665,887,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,183,870,000 and $353,924,000, 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, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,242,225 | 7,125 | 905,986 | 4,600 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (353,085) | (1,950) | (450,003) | (2,275) | |
Net Increase (Decrease)—ETF Shares | 889,140 | 5,175 | 455,983 | 2,325 | |
Institutional Shares | |||||
Issued | 148,496 | 449 | 475,942 | 1,253 | |
Issued in Lieu of Cash Distributions | 15,388 | 46 | 32,013 | 83 | |
Redeemed | (391,455) | (1,168) | (776,919) | (2,044) | |
Net Increase (Decrease)—Institutional Shares | (227,571) | (673) | (268,964) | (708) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
Basic Materials | 3.4% |
Consumer Discretionary | 10.3 |
Consumer Staples | 6.9 |
Energy | 8.1 |
Financials | 20.0 |
Health Care | 15.3 |
Industrials | 13.0 |
Real Estate | 4.7 |
Technology | 8.2 |
Telecommunications | 4.5 |
Utilities | 5.6 |
Shares | Market Value• ($000) | ||
OGE Energy Corp. | 89,209 | 3,187 | |
* | Clean Harbors Inc. | 22,979 | 3,035 |
IDACORP Inc. | 22,217 | 2,297 | |
* | Sunrun Inc. | 93,271 | 2,242 |
National Fuel Gas Co. | 35,988 | 2,061 | |
Hawaiian Electric Industries Inc. | 49,325 | 1,995 | |
* | Stericycle Inc. | 41,540 | 1,981 |
Waste Management Inc. | 11,415 | 1,710 | |
Vistra Corp. | 74,308 | 1,634 | |
1 | Brookfield Renewable Corp. Class A | 56,791 | 1,582 |
1 | Avangrid Inc. | 32,490 | 1,268 |
458,614 | |||
Total Common Stocks (Cost $8,068,198) | 8,268,965 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market Liquidity Fund, 4.640% (Cost $27,336) | 273,423 | 27,340 |
Total Investments (100.2%) (Cost $8,095,534) | 8,296,305 | ||
Other Assets and Liabilities—Net (-0.2%) | (13,539) | ||
Net Assets (100%) | 8,282,766 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $26,431,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $27,323,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2023 | 34 | 6,758 | (6) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
L3Harris Technologies Inc. | 8/31/23 | BANA | 6,758 | (4.569) | — | (24) |
1 | Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BANA—Bank of America, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $8,068,198) | 8,268,965 |
Affiliated Issuers (Cost $27,336) | 27,340 |
Total Investments in Securities | 8,296,305 |
Investment in Vanguard | 305 |
Cash Collateral Pledged—Futures Contracts | 370 |
Receivables for Investment Securities Sold | 408 |
Receivables for Accrued Income | 17,997 |
Receivables for Capital Shares Issued | 525 |
Total Assets | 8,315,910 |
Liabilities | |
Due to Custodian | 4,029 |
Payables for Investment Securities Purchased | 1,167 |
Collateral for Securities on Loan | 27,323 |
Payables for Capital Shares Redeemed | 345 |
Payables to Vanguard | 235 |
Variation Margin Payable—Futures Contracts | 21 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 24 |
Total Liabilities | 33,144 |
Net Assets | 8,282,766 |
1 Includes $26,431,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 8,501,705 |
Total Distributable Earnings (Loss) | (218,939) |
Net Assets | 8,282,766 |
ETF Shares—Net Assets | |
Applicable to 100,202,615 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,763,251 |
Net Asset Value Per Share—ETF Shares | $67.50 |
Institutional Shares—Net Assets | |
Applicable to 5,763,840 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,519,515 |
Net Asset Value Per Share—Institutional Shares | $263.63 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 90,328 |
Interest2 | 131 |
Securities Lending—Net | 681 |
Total Income | 91,140 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 97 |
Management and Administrative—ETF Shares | 2,044 |
Management and Administrative—Institutional Shares | 448 |
Marketing and Distribution—ETF Shares | 189 |
Marketing and Distribution—Institutional Shares | 30 |
Custodian Fees | 213 |
Shareholders’ Reports—ETF Shares | 81 |
Shareholders’ Reports—Institutional Shares | 2 |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 6 |
Total Expenses | 3,112 |
Net Investment Income | 88,028 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 160,499 |
Futures Contracts | (474) |
Swap Contracts | (595) |
Realized Net Gain (Loss) | 159,430 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 82,955 |
Futures Contracts | 110 |
Swap Contracts | (24) |
Change in Unrealized Appreciation (Depreciation) | 83,041 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 330,499 |
1 | Dividends are net of foreign withholding taxes of $11,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $124,000, $1,000, less than $1,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $197,466,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 88,028 | 171,881 | |
Realized Net Gain (Loss) | 159,430 | 542,488 | |
Change in Unrealized Appreciation (Depreciation) | 83,041 | (1,252,050) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 330,499 | (537,681) | |
Distributions | |||
ETF Shares | (77,991) | (132,812) | |
Institutional Shares | (19,186) | (34,153) | |
Total Distributions | (97,177) | (166,965) | |
Capital Share Transactions | |||
ETF Shares | 590,326 | (28,099) | |
Institutional Shares | (129,278) | (20,655) | |
Net Increase (Decrease) from Capital Share Transactions | 461,048 | (48,754) | |
Total Increase (Decrease) | 694,370 | (753,400) | |
Net Assets | |||
Beginning of Period | 7,588,396 | 8,341,796 | |
End of Period | 8,282,766 | 7,588,396 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 20211 | 20201 | 20191 | 20181 | ||
Net Asset Value, Beginning of Period | $65.70 | $71.54 | $53.52 | $54.61 | $55.60 | $50.66 |
Investment Operations | ||||||
Net Investment Income2 | .728 | 1.415 | 1.282 | 1.408 | 1.357 | 1.261 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.879 | (5.875) | 17.932 | (1.056) | (1.054) | 4.918 |
Total from Investment Operations | 2.607 | (4.460) | 19.214 | .352 | .303 | 6.179 |
Distributions | ||||||
Dividends from Net Investment Income | (.807) | (1.380) | (1.194) | (1.442) | (1.293) | (1.239) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.807) | (1.380) | (1.194) | (1.442) | (1.293) | (1.239) |
Net Asset Value, End of Period | $67.50 | $65.70 | $71.54 | $53.52 | $54.61 | $55.60 |
Total Return | 4.04% | -6.32% | 36.32% | 0.75% | 0.60% | 12.36% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,763 | $5,980 | $6,569 | $2,646 | $1,914 | $1,487 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 2.19% | 2.02% | 1.99% | 2.65% | 2.51% | 2.35% |
Portfolio Turnover Rate3 | 2% | 14% | 19% | 24% | 17% | 16% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021. |
2 | Calculated based on average shares outstanding. |
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, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $256.61 | $279.40 | $209.00 | $213.25 | $217.14 | $197.85 |
Investment Operations | ||||||
Net Investment Income1 | 2.853 | 5.555 | 5.002 | 5.594 | 5.294 | 4.978 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.330 | (22.930) | 70.071 | (4.226) | (4.087) | 19.227 |
Total from Investment Operations | 10.183 | (17.375) | 75.073 | 1.368 | 1.207 | 24.205 |
Distributions | ||||||
Dividends from Net Investment Income | (3.163) | (5.415) | (4.673) | (5.618) | (5.097) | (4.915) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.163) | (5.415) | (4.673) | (5.618) | (5.097) | (4.915) |
Net Asset Value, End of Period | $263.63 | $256.61 | $279.40 | $209.00 | $213.25 | $217.14 |
Total Return | 4.04% | -6.30% | 36.35% | 0.81% | 0.61% | 12.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,520 | $1,608 | $1,773 | $1,207 | $1,889 | $1,603 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.20% | 2.03% | 2.01% | 2.64% | 2.52% | 2.39% |
Portfolio Turnover Rate2 | 2% | 14% | 19% | 24% | 17% | 16% |
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 and derivatives. 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 | ||||
Common Stocks | 8,268,869 | 96 | — | 8,268,965 |
Temporary Cash Investments | 27,340 | — | — | 27,340 |
Total | 8,296,209 | 96 | — | 8,296,305 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 6 | — | — | 6 |
Swap Contracts | — | 24 | — | 24 |
Total | 6 | 24 | — | 30 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 8,115,690 |
Gross Unrealized Appreciation | 785,017 |
Gross Unrealized Depreciation | (604,408) |
Net Unrealized Appreciation (Depreciation) | 180,609 |
E. | During the six months ended February 28, 2023, the fund purchased $1,439,701,000 of investment securities and sold $985,466,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,286,794,000 and $718,612,000, 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, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,309,251 | 19,825 | 2,456,832 | 35,376 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (718,925) | (10,650) | (2,484,931) | (36,175) | |
Net Increase (Decrease)—ETF Shares | 590,326 | 9,175 | (28,099) | (799) | |
Institutional Shares | |||||
Issued | 66,777 | 260 | 344,309 | 1,268 | |
Issued in Lieu of Cash Distributions | 16,441 | 66 | 29,650 | 110 | |
Redeemed | (212,496) | (828) | (394,614) | (1,457) | |
Net Increase (Decrease)—Institutional Shares | (129,278) | (502) | (20,655) | (79) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
Basic Materials | 0.9% |
Consumer Discretionary | 18.4 |
Consumer Staples | 4.3 |
Energy | 1.6 |
Financials | 3.3 |
Health Care | 11.6 |
Industrials | 13.6 |
Real Estate | 1.6 |
Technology | 43.8 |
Telecommunications | 0.5 |
Utilities | 0.4 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2023 | 45 | 8,945 | (244) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $10,925,861) | 13,341,137 |
Affiliated Issuers (Cost $13,955) | 13,957 |
Total Investments in Securities | 13,355,094 |
Investment in Vanguard | 476 |
Cash Collateral Pledged—Futures Contracts | 480 |
Receivables for Accrued Income | 11,487 |
Receivables for Capital Shares Issued | 25,368 |
Total Assets | 13,392,905 |
Liabilities | |
Due to Custodian | 1,491 |
Payables for Investment Securities Purchased | 26,403 |
Collateral for Securities on Loan | 13,930 |
Payables for Capital Shares Redeemed | 524 |
Payables to Vanguard | 373 |
Variation Margin Payable—Futures Contracts | 28 |
Total Liabilities | 42,749 |
Net Assets | 13,350,156 |
1 Includes $13,657,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 11,428,251 |
Total Distributable Earnings (Loss) | 1,921,905 |
Net Assets | 13,350,156 |
ETF Shares—Net Assets | |
Applicable to 175,481,844 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,350,955 |
Net Asset Value Per Share—ETF Shares | $58.99 |
Institutional Shares—Net Assets | |
Applicable to 6,610,293 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,999,201 |
Net Asset Value Per Share—Institutional Shares | $453.72 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 61,001 |
Interest2 | 131 |
Securities Lending—Net | 242 |
Total Income | 61,374 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 143 |
Management and Administrative—ETF Shares | 2,925 |
Management and Administrative—Institutional Shares | 865 |
Marketing and Distribution—ETF Shares | 251 |
Marketing and Distribution—Institutional Shares | 40 |
Custodian Fees | 125 |
Shareholders’ Reports—ETF Shares | 130 |
Shareholders’ Reports—Institutional Shares | 3 |
Trustees’ Fees and Expenses | 3 |
Other Expenses | 6 |
Total Expenses | 4,491 |
Net Investment Income | 56,883 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 188,558 |
Futures Contracts | 398 |
Realized Net Gain (Loss) | 188,956 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (232,550) |
Futures Contracts | (51) |
Change in Unrealized Appreciation (Depreciation) | (232,601) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,238 |
1 | Dividends are net of foreign withholding taxes of $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $123,000, ($1,000), less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $208,604,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 56,883 | 81,178 | |
Realized Net Gain (Loss) | 188,956 | 54,479 | |
Change in Unrealized Appreciation (Depreciation) | (232,601) | (2,333,788) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,238 | (2,198,131) | |
Distributions | |||
ETF Shares | (42,512) | (52,400) | |
Institutional Shares | (14,229) | (23,165) | |
Total Distributions | (56,741) | (75,565) | |
Capital Share Transactions | |||
ETF Shares | 3,038,408 | 1,452,751 | |
Institutional Shares | 290,338 | (142,339) | |
Net Increase (Decrease) from Capital Share Transactions | 3,328,746 | 1,310,412 | |
Total Increase (Decrease) | 3,285,243 | (963,284) | |
Net Assets | |||
Beginning of Period | 10,064,913 | 11,028,197 | |
End of Period | 13,350,156 | 10,064,913 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 20211 | 20201 | 20191 | 20181 | ||
Net Asset Value, Beginning of Period | $60.05 | $74.77 | $58.66 | $41.14 | $39.89 | $31.77 |
Investment Operations | ||||||
Net Investment Income2 | .280 | .523 | .460 | .475 | .481 | .441 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.043) | (14.754) | 16.099 | 17.530 | 1.177 | 8.096 |
Total from Investment Operations | (.763) | (14.231) | 16.559 | 18.005 | 1.658 | 8.537 |
Distributions | ||||||
Dividends from Net Investment Income | (.297) | (.489) | (.449) | (.485) | (.408) | (.417) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.297) | (.489) | (.449) | (.485) | (.408) | (.417) |
Net Asset Value, End of Period | $58.99 | $60.05 | $74.77 | $58.66 | $41.14 | $39.89 |
Total Return | -1.25% | -19.11% | 28.40% | 44.18% | 4.20% | 27.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,351 | $7,311 | $7,455 | $4,951 | $2,872 | $2,083 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 0.99% | 0.77% | 0.72% | 1.04% | 1.25% | 1.24% |
Portfolio Turnover Rate3 | 2% | 13% | 14% | 14% | 17% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 4-for-1 share split effective at the beginning of trading on April 20, 2021. |
2 | Calculated based on average shares outstanding. |
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, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $461.93 | $575.10 | $451.15 | $316.39 | $306.82 | $244.34 |
Investment Operations | ||||||
Net Investment Income1 | 2.179 | 4.036 | 3.573 | 3.695 | 3.711 | 3.485 |
Net Realized and Unrealized Gain (Loss) on Investments | (8.090) | (113.399) | 123.861 | 134.792 | 9.061 | 62.293 |
Total from Investment Operations | (5.911) | (109.363) | 127.434 | 138.487 | 12.772 | 65.778 |
Distributions | ||||||
Dividends from Net Investment Income | (2.299) | (3.807) | (3.484) | (3.727) | (3.202) | (3.298) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.299) | (3.807) | (3.484) | (3.727) | (3.202) | (3.298) |
Net Asset Value, End of Period | $453.72 | $461.93 | $575.10 | $451.15 | $316.39 | $306.82 |
Total Return | -1.26% | -19.09% | 28.42% | 44.24% | 4.21% | 27.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,999 | $2,754 | $3,573 | $3,542 | $3,076 | $3,182 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.00% | 0.77% | 0.74% | 1.06% | 1.26% | 1.28% |
Portfolio Turnover Rate2 | 2% | 13% | 14% | 14% | 17% | 15% |
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 and derivatives. 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. |
D. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 10,963,174 |
Gross Unrealized Appreciation | 2,788,368 |
Gross Unrealized Depreciation | (396,692) |
Net Unrealized Appreciation (Depreciation) | 2,391,676 |
E. | During the six months ended February 28, 2023, the fund purchased $3,939,308,000 of investment securities and sold $611,994,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,391,697,000 and $371,873,000, 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, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 3,410,342 | 60,250 | 2,316,585 | 34,850 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (371,934) | (6,500) | (863,834) | (12,825) | |
Net Increase (Decrease)—ETF Shares | 3,038,408 | 53,750 | 1,452,751 | 22,025 | |
Institutional Shares | |||||
Issued | 504,645 | 1,133 | 370,624 | 724 | |
Issued in Lieu of Cash Distributions | 12,841 | 29 | 21,117 | 40 | |
Redeemed | (227,148) | (515) | (534,080) | (1,014) | |
Net Increase (Decrease)—Institutional Shares | 290,338 | 647 | (142,339) | (250) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
Vanguard Russell 2000 Index Fund |
Vanguard Russell 2000 Value Index Fund |
Vanguard Russell 2000 Growth Index Fund |
About Your Fund’s Expenses | 1 |
Russell 2000 Index Fund | 3 |
Russell 2000 Value Index Fund | 35 |
Russell 2000 Growth Index Fund | 60 |
• | 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, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Russell 2000 Index Fund | |||
ETF Shares | $1,000.00 | $1,036.90 | $0.51 |
Institutional Shares | 1,000.00 | 1,037.00 | 0.40 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,042.20 | $0.76 |
Institutional Shares | 1,000.00 | 1,042.60 | 0.41 |
Russell 2000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,031.10 | $0.76 |
Institutional Shares | 1,000.00 | 1,031.40 | 0.40 |
Based on Hypothetical 5% Yearly Return | |||
Russell 2000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Russell 2000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Basic Materials | 4.2% |
Consumer Discretionary | 13.3 |
Consumer Staples | 3.2 |
Energy | 6.8 |
Financials | 16.7 |
Health Care | 15.5 |
Industrials | 17.7 |
Real Estate | 6.5 |
Technology | 10.9 |
Telecommunications | 1.7 |
Utilities | 3.5 |
Other | 0.0 |
Shares | Market Value• ($000) | ||
Middlesex Water Co. | 47,238 | 3,614 | |
Clearway Energy Inc. Class A | 95,819 | 2,847 | |
Unitil Corp. | 43,087 | 2,341 | |
*,1 | Li-Cycle Holdings Corp. | 371,979 | 2,254 |
* | Harsco Corp. | 212,376 | 1,797 |
York Water Co. | 38,621 | 1,679 | |
* | Heritage-Crystal Clean Inc. | 42,665 | 1,535 |
*,1 | Vertex Energy Inc. | 147,037 | 1,392 |
Artesian Resources Corp. Class A | 22,109 | 1,245 | |
Excelerate Energy Inc. Class A | 50,266 | 1,086 | |
*,1 | NuScale Power Corp. | 84,528 | 875 |
Aris Water Solution Inc. Class A | 59,085 | 837 | |
* | Altus Power Inc. | 118,130 | 800 |
Global Water Resources Inc. | 36,342 | 480 | |
* | Pure Cycle Corp. | 52,077 | 460 |
Via Renewables Inc. Class A | 33,229 | 195 | |
231,091 | |||
Total Common Stocks (Cost $7,661,330) | 6,602,260 | ||
Temporary Cash Investments (2.7%) | |||
Money Market Fund (2.7%) | |||
4,5 | Vanguard Market Liquidity Fund, 4.640% (Cost $180,995) | 1,810,528 | 181,034 |
Total Investments (102.3%) (Cost $7,842,325) | 6,783,294 | ||
Other Assets and Liabilities—Net (-2.3%) | (150,977) | ||
Net Assets (100%) | 6,632,317 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $152,431,000. |
2 | Security value determined using significant unobservable inputs. |
3 | “Other” represents securities that are not classified by the fund’s benchmark index. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $168,937,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 342 | 32,475 | (103) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $7,661,330) | 6,602,260 |
Affiliated Issuers (Cost $180,995) | 181,034 |
Total Investments in Securities | 6,783,294 |
Investment in Vanguard | 236 |
Cash | 1,549 |
Cash Collateral Pledged—Futures Contracts | 1,053 |
Receivables for Investment Securities Sold | 10,180 |
Receivables for Accrued Income | 7,889 |
Receivables for Capital Shares Issued | 93 |
Variation Margin Receivable—Futures Contracts | 111 |
Total Assets | 6,804,405 |
Liabilities | |
Payables for Investment Securities Purchased | 2,676 |
Collateral for Securities on Loan | 168,937 |
Payables for Capital Shares Redeemed | 240 |
Payables to Vanguard | 235 |
Total Liabilities | 172,088 |
Net Assets | 6,632,317 |
1 Includes $152,431,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 8,409,735 |
Total Distributable Earnings (Loss) | (1,777,418) |
Net Assets | 6,632,317 |
ETF Shares—Net Assets | |
Applicable to 80,675,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,130,372 |
Net Asset Value Per Share—ETF Shares | $75.99 |
Institutional Shares—Net Assets | |
Applicable to 1,726,359 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 501,945 |
Net Asset Value Per Share—Institutional Shares | $290.75 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 42,510 |
Interest2 | 431 |
Securities Lending—Net | 5,066 |
Total Income | 48,007 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 73 |
Management and Administrative—ETF Shares | 1,970 |
Management and Administrative—Institutional Shares | 151 |
Marketing and Distribution—ETF Shares | 160 |
Marketing and Distribution—Institutional Shares | 10 |
Custodian Fees | 306 |
Shareholders’ Reports—ETF Shares | 245 |
Shareholders’ Reports—Institutional Shares | 2 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 8 |
Total Expenses | 2,926 |
Expenses Paid Indirectly | (8) |
Net Expenses | 2,918 |
Net Investment Income | 45,089 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 26,463 |
Futures Contracts | 449 |
Realized Net Gain (Loss) | 26,912 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 153,555 |
Futures Contracts | 181 |
Change in Unrealized Appreciation (Depreciation) | 153,736 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 225,737 |
1 | Dividends are net of foreign withholding taxes of $51,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $405,000, $7,000, less than $1,000, and $20,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $58,363,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 45,089 | 86,559 | |
Realized Net Gain (Loss) | 26,912 | 330,884 | |
Change in Unrealized Appreciation (Depreciation) | 153,736 | (1,857,512) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 225,737 | (1,440,069) | |
Distributions | |||
ETF Shares | (51,736) | (79,883) | |
Institutional Shares | (4,759) | (7,288) | |
Total Distributions | (56,495) | (87,171) | |
Capital Share Transactions | |||
ETF Shares | 716,853 | 439,553 | |
Institutional Shares | 3,697 | (12,117) | |
Net Increase (Decrease) from Capital Share Transactions | 720,550 | 427,436 | |
Total Increase (Decrease) | 889,792 | (1,099,804) | |
Net Assets | |||
Beginning of Period | 5,742,525 | 6,842,329 | |
End of Period | 6,632,317 | 5,742,525 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 20211 | 20201 | 20191 | 20181 | ||
Net Asset Value, Beginning of Period | $74.02 | $91.28 | $62.69 | $59.88 | $69.56 | $56.11 |
Investment Operations | ||||||
Net Investment Income2 | .550 | 1.030 | .865 | .810 | .797 | .777 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.121 | (17.254) | 28.550 | 2.815 | (9.704) | 13.423 |
Total from Investment Operations | 2.671 | (16.224) | 29.415 | 3.625 | (8.907) | 14.200 |
Distributions | ||||||
Dividends from Net Investment Income | (.701) | (1.036) | (.825) | (.815) | (.773) | (.750) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.701) | (1.036) | (.825) | (.815) | (.773) | (.750) |
Net Asset Value, End of Period | $75.99 | $74.02 | $91.28 | $62.69 | $59.88 | $69.56 |
Total Return | 3.69% | -17.88% | 47.15% | 6.12% | -12.83% | 25.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,130 | $5,255 | $6,223 | $1,802 | $1,464 | $1,715 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.55% | 1.26% | 1.02% | 1.37% | 1.30% | 1.23% |
Portfolio Turnover Rate4 | 5% | 19% | 23% | 19% | 16% | 19% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
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. |
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 | $283.22 | $349.26 | $239.84 | $229.03 | $266.12 | $214.65 |
Investment Operations | ||||||
Net Investment Income1 | 2.148 | 4.063 | 3.360 | 3.208 | 3.078 | 3.129 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.091 | (66.085) | 109.242 | 10.710 | (37.106) | 51.369 |
Total from Investment Operations | 10.239 | (62.022) | 112.602 | 13.918 | (34.028) | 54.498 |
Distributions | ||||||
Dividends from Net Investment Income | (2.709) | (4.018) | (3.182) | (3.108) | (3.062) | (3.028) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.709) | (4.018) | (3.182) | (3.108) | (3.062) | (3.028) |
Net Asset Value, End of Period | $290.75 | $283.22 | $349.26 | $239.84 | $229.03 | $266.12 |
Total Return | 3.70% | -17.88% | 47.19% | 6.15% | -12.83% | 25.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $502 | $487 | $619 | $630 | $859 | $982 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.58% | 1.29% | 1.08% | 1.41% | 1.32% | 1.30% |
Portfolio Turnover Rate3 | 5% | 19% | 23% | 19% | 16% | 19% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
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. |
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. | 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 $8,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 | ||||
Common Stocks | 6,602,226 | — | 34 | 6,602,260 |
Temporary Cash Investments | 181,034 | — | — | 181,034 |
Total | 6,783,260 | — | 34 | 6,783,294 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 103 | — | — | 103 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 7,896,601 |
Gross Unrealized Appreciation | 572,951 |
Gross Unrealized Depreciation | (1,686,361) |
Net Unrealized Appreciation (Depreciation) | (1,113,410) |
F. | During the six months ended February 28, 2023, the fund purchased $1,366,022,000 of investment securities and sold $652,608,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,073,595,000 and $360,953,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
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 | |||||
Issued | 1,078,304 | 14,700 | 3,768,327 | 46,000 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (361,451) | (5,025) | (3,328,774) | (43,175) | |
Net Increase (Decrease)—ETF Shares | 716,853 | 9,675 | 439,553 | 2,825 | |
Institutional Shares | |||||
Issued | 100,760 | 357 | 137,297 | 417 | |
Issued in Lieu of Cash Distributions | 4,493 | 17 | 6,909 | 22 | |
Redeemed | (101,556) | (368) | (156,323) | (492) | |
Net Increase (Decrease)—Institutional Shares | 3,697 | 6 | (12,117) | (53) |
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. |
Basic Materials | 4.2% |
Consumer Discretionary | 13.9 |
Consumer Staples | 2.6 |
Energy | 5.5 |
Financials | 27.8 |
Health Care | 9.6 |
Industrials | 14.8 |
Real Estate | 10.9 |
Technology | 4.8 |
Telecommunications | 1.2 |
Utilities | 4.7 |
Other | 0.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 21 | 1,994 | 3 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $1,158,631) | 1,067,624 |
Affiliated Issuers (Cost $27,444) | 27,448 |
Total Investments in Securities | 1,095,072 |
Investment in Vanguard | 39 |
Cash Collateral Pledged—Futures Contracts | 130 |
Receivables for Investment Securities Sold | 5,615 |
Receivables for Accrued Income | 1,450 |
Receivables for Capital Shares Issued | 1 |
Total Assets | 1,102,307 |
Liabilities | |
Due to Custodian | 1,742 |
Payables for Investment Securities Purchased | 5,595 |
Collateral for Securities on Loan | 26,274 |
Payables for Capital Shares Redeemed | 46 |
Payables to Vanguard | 53 |
Total Liabilities | 33,710 |
Net Assets | 1,068,597 |
1 Includes $23,301,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 1,330,549 |
Total Distributable Earnings (Loss) | (261,952) |
Net Assets | 1,068,597 |
ETF Shares—Net Assets | |
Applicable to 6,700,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 872,648 |
Net Asset Value Per Share—ETF Shares | $130.25 |
Institutional Shares—Net Assets | |
Applicable to 762,739 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 195,949 |
Net Asset Value Per Share—Institutional Shares | $256.90 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 9,815 |
Interest2 | 16 |
Securities Lending—Net | 499 |
Total Income | 10,330 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 12 |
Management and Administrative—ETF Shares | 510 |
Management and Administrative—Institutional Shares | 59 |
Marketing and Distribution—ETF Shares | 24 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 44 |
Shareholders’ Reports—ETF Shares | 33 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 692 |
Net Investment Income | 9,638 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 3,817 |
Futures Contracts | (88) |
Realized Net Gain (Loss) | 3,729 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 28,146 |
Futures Contracts | 58 |
Change in Unrealized Appreciation (Depreciation) | 28,204 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 41,571 |
1 | Dividends are net of foreign withholding taxes of $7,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,000, $1,000, less than $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $2,709,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,638 | 20,250 | |
Realized Net Gain (Loss) | 3,729 | 123,769 | |
Change in Unrealized Appreciation (Depreciation) | 28,204 | (276,196) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 41,571 | (132,177) | |
Distributions | |||
ETF Shares | (11,411) | (17,288) | |
Institutional Shares | (2,596) | (3,679) | |
Total Distributions | (14,007) | (20,967) | |
Capital Share Transactions | |||
ETF Shares | 14,002 | (71,282) | |
Institutional Shares | 6,287 | 7,217 | |
Net Increase (Decrease) from Capital Share Transactions | 20,289 | (64,065) | |
Total Increase (Decrease) | 47,853 | (217,209) | |
Net Assets | |||
Beginning of Period | 1,020,744 | 1,237,953 | |
End of Period | 1,068,597 | 1,020,744 |
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 | $126.77 | $143.88 | $91.76 | $99.51 | $119.05 | $100.96 |
Investment Operations | ||||||
Net Investment Income1 | 1.183 | 2.353 | 1.998 | 1.868 | 1.912 | 1.905 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.018 | (16.986) | 51.982 | (7.771) | (19.589) | 18.070 |
Total from Investment Operations | 5.201 | (14.633) | 53.980 | (5.903) | (17.677) | 19.975 |
Distributions | ||||||
Dividends from Net Investment Income | (1.721) | (2.477) | (1.860) | (1.847) | (1.863) | (1.885) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.721) | (2.477) | (1.860) | (1.847) | (1.863) | (1.885) |
Net Asset Value, End of Period | $130.25 | $126.77 | $143.88 | $91.76 | $99.51 | $119.05 |
Total Return | 4.22% | -10.28% | 59.34% | -6.05% | -14.93% | 19.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $873 | $837 | $1,036 | $303 | $251 | $223 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 2.02% | 1.71% | 1.52% | 1.99% | 1.83% | 1.73% |
Portfolio Turnover Rate2 | 4% | 28% | 45% | 38% | 27% | 30% |
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. |
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 | $250.04 | $283.82 | $180.98 | $196.24 | $234.81 | $199.13 |
Investment Operations | ||||||
Net Investment Income1 | 2.418 | 4.918 | 4.212 | 3.783 | 3.966 | 4.029 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.918 | (33.609) | 102.428 | (15.303) | (38.670) | 35.618 |
Total from Investment Operations | 10.336 | (28.691) | 106.640 | (11.520) | (34.704) | 39.647 |
Distributions | ||||||
Dividends from Net Investment Income | (3.476) | (5.089) | (3.800) | (3.740) | (3.866) | (3.967) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.476) | (5.089) | (3.800) | (3.740) | (3.866) | (3.967) |
Net Asset Value, End of Period | $256.90 | $250.04 | $283.82 | $180.98 | $196.24 | $234.81 |
Total Return | 4.26% | -10.23% | 59.46% | -5.97% | -14.88% | 20.10% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $196 | $184 | $202 | $88 | $140 | $151 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.09% | 1.82% | 1.67% | 2.04% | 1.90% | 1.85% |
Portfolio Turnover Rate2 | 4% | 28% | 45% | 38% | 27% | 30% |
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 and derivatives. 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 | ||||
Common Stocks | 1,067,624 | — | — | 1,067,624 |
Temporary Cash Investments | 27,448 | — | — | 27,448 |
Total | 1,095,072 | — | — | 1,095,072 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3 | — | — | 3 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 1,192,153 |
Gross Unrealized Appreciation | 93,086 |
Gross Unrealized Depreciation | (190,164) |
Net Unrealized Appreciation (Depreciation) | (97,078) |
E. | During the six months ended February 28, 2023, the fund purchased $91,077,000 of investment securities and sold $71,133,000 of investment securities, other than temporary cash investments. Purchases and sales include $34,588,000 and $29,743,000, 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, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 43,765 | 350 | 678,843 | 4,950 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (29,763) | (250) | (750,125) | (5,550) | |
Net Increase (Decrease)—ETF Shares | 14,002 | 100 | (71,282) | (600) | |
Institutional Shares | |||||
Issued | 6,685 | 28 | 14,097 | 50 | |
Issued in Lieu of Cash Distributions | 2,596 | 11 | 3,678 | 14 | |
Redeemed | (2,994) | (12) | (10,558) | (40) | |
Net Increase (Decrease)—Institutional Shares | 6,287 | 27 | 7,217 | 24 |
G. | Management has determined that no material events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
Basic Materials | 4.3% |
Consumer Discretionary | 12.8 |
Consumer Staples | 3.8 |
Energy | 8.0 |
Financials | 5.9 |
Health Care | 21.1 |
Industrials | 20.5 |
Real Estate | 2.2 |
Technology | 16.9 |
Telecommunications | 2.2 |
Utilities | 2.3 |
Other | 0.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 11 | 1,045 | 2 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $887,802) | 977,419 |
Affiliated Issuers (Cost $40,014) | 40,018 |
Total Investments in Securities | 1,017,437 |
Investment in Vanguard | 35 |
Cash | 684 |
Cash Collateral Pledged—Futures Contracts | 70 |
Receivables for Investment Securities Sold | 320 |
Receivables for Accrued Income | 597 |
Receivables for Capital Shares Issued | 89 |
Variation Margin Receivable—Futures Contracts | 20 |
Total Assets | 1,019,252 |
Liabilities | |
Payables for Investment Securities Purchased | 601 |
Collateral for Securities on Loan | 39,624 |
Payables for Capital Shares Redeemed | 65 |
Payables to Vanguard | 46 |
Total Liabilities | 40,336 |
Net Assets | 978,916 |
1 Includes $35,826,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 1,184,777 |
Total Distributable Earnings (Loss) | (205,861) |
Net Assets | 978,916 |
ETF Shares—Net Assets | |
Applicable to 4,200,393 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 712,423 |
Net Asset Value Per Share—ETF Shares | $169.61 |
Institutional Shares—Net Assets | |
Applicable to 824,731 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 266,493 |
Net Asset Value Per Share—Institutional Shares | $323.13 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 3,878 |
Interest2 | 13 |
Securities Lending—Net | 956 |
Total Income | 4,847 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 11 |
Management and Administrative—ETF Shares | 417 |
Management and Administrative—Institutional Shares | 84 |
Marketing and Distribution—ETF Shares | 19 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 23 |
Shareholders’ Reports—ETF Shares | 24 |
Shareholders’ Reports—Institutional Shares | 2 |
Trustees’ Fees and Expenses | — |
Other Expenses | 7 |
Total Expenses | 591 |
Net Investment Income | 4,256 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 10,175 |
Futures Contracts | (77) |
Realized Net Gain (Loss) | 10,098 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 15,584 |
Futures Contracts | 30 |
Change in Unrealized Appreciation (Depreciation) | 15,614 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,968 |
1 | Dividends are net of foreign withholding taxes of $9,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $12,000, $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $6,396,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 4,256 | 7,025 | |
Realized Net Gain (Loss) | 10,098 | 31,212 | |
Change in Unrealized Appreciation (Depreciation) | 15,614 | (327,709) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,968 | (289,472) | |
Distributions | |||
ETF Shares | (3,607) | (3,596) | |
Institutional Shares | (1,486) | (3,487) | |
Total Distributions | (5,093) | (7,083) | |
Capital Share Transactions | |||
ETF Shares | 36,696 | 102,858 | |
Institutional Shares | 4,970 | (380,738) | |
Net Increase (Decrease) from Capital Share Transactions | 41,666 | (277,880) | |
Total Increase (Decrease) | 66,541 | (574,435) | |
Net Assets | |||
Beginning of Period | 912,375 | 1,486,810 | |
End of Period | 978,916 | 912,375 |
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 | $165.45 | $222.64 | $164.83 | $141.63 | $160.12 | $123.26 |
Investment Operations | ||||||
Net Investment Income1 | .740 | 1.137 | .839 | 1.097 | .971 | .895 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.319 | (57.266) | 57.852 | 23.237 | (18.527) | 36.791 |
Total from Investment Operations | 5.059 | (56.129) | 58.691 | 24.334 | (17.556) | 37.686 |
Distributions | ||||||
Dividends from Net Investment Income | (.899) | (1.061) | (.881) | (1.134) | (.934) | (.826) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.899) | (1.061) | (.881) | (1.134) | (.934) | (.826) |
Net Asset Value, End of Period | $169.61 | $165.45 | $222.64 | $164.83 | $141.63 | $160.12 |
Total Return | 3.11% | -25.28% | 35.67% | 17.32% | -10.97% | 30.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $712 | $658 | $735 | $371 | $301 | $328 |
Ratio of Total Expenses to Average Net Assets | 0.15%2 | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.85% | 0.61% | 0.40% | 0.75% | 0.68% | 0.64% |
Portfolio Turnover Rate3 | 5% | 33% | 47% | 38% | 28% | 35% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.15%. |
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, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $315.20 | $424.16 | $314.01 | $269.76 | $305.04 | $234.80 |
Investment Operations | ||||||
Net Investment Income1 | 1.520 | 2.706 | 1.912 | 2.275 | 2.021 | 2.026 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.223 | (109.390) | 110.162 | 44.269 | (35.267) | 70.080 |
Total from Investment Operations | 9.743 | (106.684) | 112.074 | 46.544 | (33.246) | 72.106 |
Distributions | ||||||
Dividends from Net Investment Income | (1.813) | (2.276) | (1.924) | (2.294) | (2.034) | (1.866) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.813) | (2.276) | (1.924) | (2.294) | (2.034) | (1.866) |
Net Asset Value, End of Period | $323.13 | $315.20 | $424.16 | $314.01 | $269.76 | $305.04 |
Total Return | 3.14% | -25.24% | 35.77% | 17.42% | -10.91% | 30.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $266 | $255 | $752 | $500 | $472 | $545 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.92% | 0.72% | 0.48% | 0.82% | 0.75% | 0.76% |
Portfolio Turnover Rate3 | 5% | 33% | 47% | 38% | 28% | 35% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
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. |
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 and derivatives. 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 | ||||
Common Stocks | 977,398 | — | 21 | 977,419 |
Temporary Cash Investments | 40,018 | — | — | 40,018 |
Total | 1,017,416 | — | 21 | 1,017,437 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2 | — | — | 2 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 935,240 |
Gross Unrealized Appreciation | 211,854 |
Gross Unrealized Depreciation | (129,655) |
Net Unrealized Appreciation (Depreciation) | 82,199 |
E. | During the six months ended February 28, 2023, the fund purchased $102,222,000 of investment securities and sold $61,593,000 of investment securities, other than temporary cash investments. Purchases and sales include $52,022,000 and $19,407,000, 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, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 56,111 | 350 | 578,438 | 3,075 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (19,415) | (125) | (475,580) | (2,400) | |
Net Increase (Decrease)—ETF Shares | 36,696 | 225 | 102,858 | 675 | |
Institutional Shares | |||||
Issued | 14,996 | 49 | 29,035 | 81 | |
Issued in Lieu of Cash Distributions | 1,412 | 5 | 3,298 | 9 | |
Redeemed | (11,438) | (37) | (413,071) | (1,055) | |
Net Increase (Decrease)—Institutional Shares | 4,970 | 17 | (380,738) | (965) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
• | 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, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Russell 3000 Index Fund | |||
ETF Shares | $1,000.00 | $1,014.80 | $0.50 |
Institutional Shares | 1,000.00 | 1,014.80 | 0.40 |
Based on Hypothetical 5% Yearly Return | |||
Russell 3000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Basic Materials | 2.3% |
Consumer Discretionary | 14.3 |
Consumer Staples | 5.5 |
Energy | 5.0 |
Financials | 12.0 |
Health Care | 13.5 |
Industrials | 13.6 |
Real Estate | 3.4 |
Technology | 24.9 |
Telecommunications | 2.5 |
Utilities | 3.0 |
Other | 0.0 |
Shares | Market Value• ($000) | ||
Middlesex Water Co. | 1,502 | 115 | |
Unitil Corp. | 1,150 | 62 | |
*,1 | Li-Cycle Holdings Corp. | 10,164 | 62 |
* | Harsco Corp. | 6,081 | 51 |
York Water Co. | 1,048 | 46 | |
* | Heritage-Crystal Clean Inc. | 1,077 | 39 |
Artesian Resources Corp. Class A | 663 | 37 | |
*,1 | Vertex Energy Inc. | 3,823 | 36 |
Excelerate Energy Inc. Class A | 1,402 | 30 | |
Aris Water Solution Inc. Class A | 1,895 | 27 | |
*,1 | NuScale Power Corp. | 2,514 | 26 |
* | Altus Power Inc. | 3,378 | 23 |
* | Pure Cycle Corp. | 931 | 8 |
Global Water Resources Inc. | 630 | 8 | |
Via Renewables Inc. Class A | 617 | 4 | |
94,856 | |||
Total Common Stocks (Cost $2,849,442) | 3,159,624 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
4,5 | Vanguard Market Liquidity Fund, 4.640% (Cost $13,203) | 132,058 | 13,205 |
Total Investments (100.2%) (Cost $2,862,645) | 3,172,829 | ||
Other Assets and Liabilities—Net (-0.2%) | (6,587) | ||
Net Assets (100%) | 3,166,242 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $10,188,000. |
2 | Security value determined using significant unobservable inputs. |
3 | “Other” represents securities that are not classified by the fund’s benchmark index. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $10,845,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 18 | 1,709 | (14) |
E-mini S&P 500 Index | March 2023 | 25 | 4,969 | (136) |
(150) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $2,849,442) | 3,159,624 |
Affiliated Issuers (Cost $13,203) | 13,205 |
Total Investments in Securities | 3,172,829 |
Investment in Vanguard | 114 |
Cash | 100 |
Cash Collateral Pledged—Futures Contracts | 400 |
Receivables for Investment Securities Sold | 661 |
Receivables for Accrued Income | 4,774 |
Receivables for Capital Shares Issued | 6 |
Total Assets | 3,178,884 |
Liabilities | |
Payables for Investment Securities Purchased | 666 |
Collateral for Securities on Loan | 10,845 |
Payables for Capital Shares Redeemed | 1,010 |
Payables to Vanguard | 104 |
Variation Margin Payable—Futures Contracts | 17 |
Total Liabilities | 12,642 |
Net Assets | 3,166,242 |
1 Includes $10,188,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 2,870,981 |
Total Distributable Earnings (Loss) | 295,261 |
Net Assets | 3,166,242 |
ETF Shares—Net Assets | |
Applicable to 9,025,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,616,250 |
Net Asset Value Per Share—ETF Shares | $179.09 |
Institutional Shares—Net Assets | |
Applicable to 4,471,441 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,549,992 |
Net Asset Value Per Share—Institutional Shares | $346.64 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 23,758 |
Interest2 | 173 |
Securities Lending—Net | 229 |
Total Income | 24,160 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 34 |
Management and Administrative—ETF Shares | 593 |
Management and Administrative—Institutional Shares | 511 |
Marketing and Distribution—ETF Shares | 42 |
Marketing and Distribution—Institutional Shares | 30 |
Custodian Fees | 44 |
Shareholders’ Reports—ETF Shares | 24 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 7 |
Total Expenses | 1,287 |
Expenses Paid Indirectly | (4) |
Net Expenses | 1,283 |
Net Investment Income | 22,877 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 53,036 |
Futures Contracts | (1,431) |
Realized Net Gain (Loss) | 51,605 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (21,760) |
Futures Contracts | 178 |
Change in Unrealized Appreciation (Depreciation) | (21,582) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 52,900 |
1 | Dividends are net of foreign withholding taxes of $3,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $163,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $57,209,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 22,877 | 30,384 | |
Realized Net Gain (Loss) | 51,605 | 197,184 | |
Change in Unrealized Appreciation (Depreciation) | (21,582) | (538,691) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 52,900 | (311,123) | |
Distributions | |||
ETF Shares | (10,753) | (15,187) | |
Institutional Shares | (11,917) | (13,526) | |
Total Distributions | (22,670) | (28,713) | |
Capital Share Transactions | |||
ETF Shares | 376,481 | 275,640 | |
Institutional Shares | 94,981 | 450,842 | |
Net Increase (Decrease) from Capital Share Transactions | 471,462 | 726,482 | |
Total Increase (Decrease) | 501,692 | 386,646 | |
Net Assets | |||
Beginning of Period | 2,664,550 | 2,277,904 | |
End of Period | 3,166,242 | 2,664,550 |
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 | $177.97 | $208.13 | $158.71 | $133.26 | $133.98 | $113.52 |
Investment Operations | ||||||
Net Investment Income1 | 1.389 | 2.662 | 2.385 | 2.416 | 2.312 | 2.099 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.166 | (30.247) | 49.386 | 25.494 | (.730) | 20.442 |
Total from Investment Operations | 2.555 | (27.585) | 51.771 | 27.910 | 1.582 | 22.541 |
Distributions | ||||||
Dividends from Net Investment Income | (1.435) | (2.575) | (2.351) | (2.460) | (2.302) | (2.081) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.435) | (2.575) | (2.351) | (2.460) | (2.302) | (2.081) |
Net Asset Value, End of Period | $179.09 | $177.97 | $208.13 | $158.71 | $133.26 | $133.98 |
Total Return | 1.48% | -13.36% | 32.90% | 21.31% | 1.25% | 20.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,616 | $1,219 | $1,124 | $710 | $463 | $412 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.58% | 1.36% | 1.31% | 1.74% | 1.79% | 1.70% |
Portfolio Turnover Rate3 | 1% | 8% | 10% | 8% | 10% | 14% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
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, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $344.48 | $402.86 | $307.19 | $257.87 | $259.33 | $219.72 |
Investment Operations | ||||||
Net Investment Income1 | 2.711 | 5.323 | 4.689 | 4.739 | 4.499 | 4.220 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.260 | (58.648) | 95.580 | 49.347 | (1.394) | 39.578 |
Total from Investment Operations | 4.971 | (53.325) | 100.269 | 54.086 | 3.105 | 43.798 |
Distributions | ||||||
Dividends from Net Investment Income | (2.811) | (5.055) | (4.599) | (4.766) | (4.565) | (4.188) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.811) | (5.055) | (4.599) | (4.766) | (4.565) | (4.188) |
Net Asset Value, End of Period | $346.64 | $344.48 | $402.86 | $307.19 | $257.87 | $259.33 |
Total Return | 1.48% | -13.34% | 32.94% | 21.38% | 1.27% | 20.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,550 | $1,445 | $1,154 | $1,018 | $871 | $879 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.60% | 1.40% | 1.34% | 1.76% | 1.81% | 1.77% |
Portfolio Turnover Rate3 | 1% | 8% | 10% | 8% | 10% | 14% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
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. |
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. | 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 $4,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 | ||||
Common Stocks | 3,159,611 | 9 | 4 | 3,159,624 |
Temporary Cash Investments | 13,205 | — | — | 13,205 |
Total | 3,172,816 | 9 | 4 | 3,172,829 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 150 | — | — | 150 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 2,880,564 |
Gross Unrealized Appreciation | 459,573 |
Gross Unrealized Depreciation | (167,458) |
Net Unrealized Appreciation (Depreciation) | 292,115 |
F. | During the six months ended February 28, 2023, the fund purchased $627,956,000 of investment securities and sold $154,433,000 of investment securities, other than temporary cash investments. Purchases and sales include $477,812,000 and $116,193,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
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 | |||||
Issued | 494,363 | 2,850 | 604,261 | 3,075 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (117,882) | (675) | (328,621) | (1,625) | |
Net Increase (Decrease)—ETF Shares | 376,481 | 2,175 | 275,640 | 1,450 | |
Institutional Shares | |||||
Issued | 129,307 | 378 | 858,256 | 2,365 | |
Issued in Lieu of Cash Distributions | 10,913 | 33 | 11,990 | 31 | |
Redeemed | (45,239) | (136) | (419,404) | (1,064) | |
Net Increase (Decrease)—Institutional Shares | 94,981 | 275 | 450,842 | 1,332 |
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. |
Vanguard Short-Term Treasury Index Fund |
Vanguard Intermediate-Term Treasury Index Fund |
Vanguard Long-Term Treasury 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, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $995.00 | $0.20 |
Admiral™ Shares | 1,000.00 | 995.00 | 0.35 |
Institutional Shares | 1,000.00 | 995.00 | 0.25 |
Intermediate-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $976.10 | $0.20 |
Admiral Shares | 1,000.00 | 976.00 | 0.34 |
Institutional Shares | 1,000.00 | 976.20 | 0.24 |
Long-Term Treasury Index Fund | |||
ETF Shares | $1,000.00 | $927.40 | $0.19 |
Admiral Shares | 1,000.00 | 927.30 | 0.33 |
Institutional Shares | 1,000.00 | 927.50 | 0.24 |
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 |
1 - 2 Years | 55.7% |
2 - 3 Years | 44.3 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.3%) | ||||||
U.S. Government Securities (99.3%) | ||||||
United States Treasury Note/Bond | 0.250% | 3/15/24 | 382,398 | 363,577 | ||
United States Treasury Note/Bond | 2.125% | 3/31/24 | 158,972 | 153,880 | ||
United States Treasury Note/Bond | 2.250% | 3/31/24 | 363,218 | 352,094 | ||
United States Treasury Note/Bond | 0.375% | 4/15/24 | 272,877 | 258,807 | ||
United States Treasury Note/Bond | 2.000% | 4/30/24 | 150,751 | 145,404 | ||
United States Treasury Note/Bond | 2.250% | 4/30/24 | 238,961 | 231,195 | ||
United States Treasury Note/Bond | 2.500% | 4/30/24 | 399,702 | 387,711 | ||
United States Treasury Note/Bond | 0.250% | 5/15/24 | 512,228 | 483,095 | ||
United States Treasury Note/Bond | 2.500% | 5/15/24 | 399,603 | 387,303 | ||
United States Treasury Note/Bond | 2.000% | 5/31/24 | 240,454 | 231,362 | ||
United States Treasury Note/Bond | 2.500% | 5/31/24 | 282,551 | 273,545 | ||
United States Treasury Note/Bond | 0.250% | 6/15/24 | 343,469 | 322,700 | ||
United States Treasury Note/Bond | 1.750% | 6/30/24 | 218,941 | 209,533 | ||
United States Treasury Note/Bond | 2.000% | 6/30/24 | 124,761 | 119,732 | ||
United States Treasury Note/Bond | 3.000% | 6/30/24 | 314,095 | 305,556 | ||
United States Treasury Note/Bond | 0.375% | 7/15/24 | 305,738 | 286,677 | ||
United States Treasury Note/Bond | 1.750% | 7/31/24 | 232,313 | 221,714 | ||
United States Treasury Note/Bond | 2.125% | 7/31/24 | 127,640 | 122,495 | ||
United States Treasury Note/Bond | 3.000% | 7/31/24 | 256,724 | 249,423 | ||
United States Treasury Note/Bond | 0.375% | 8/15/24 | 589,360 | 550,775 | ||
United States Treasury Note/Bond | 2.375% | 8/15/24 | 444,394 | 427,521 | ||
United States Treasury Note/Bond | 1.250% | 8/31/24 | 174,547 | 164,974 | ||
United States Treasury Note/Bond | 1.875% | 8/31/24 | 136,119 | 129,845 | ||
United States Treasury Note/Bond | 3.250% | 8/31/24 | 267,728 | 260,826 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 469,282 | 437,239 | ||
United States Treasury Note/Bond | 1.500% | 9/30/24 | 159,820 | 151,355 | ||
United States Treasury Note/Bond | 2.125% | 9/30/24 | 75,912 | 72,626 | ||
United States Treasury Note/Bond | 4.250% | 9/30/24 | 292,628 | 289,336 | ||
United States Treasury Note/Bond | 0.625% | 10/15/24 | 427,375 | 398,527 | ||
United States Treasury Note/Bond | 1.500% | 10/31/24 | 167,505 | 158,292 | ||
United States Treasury Note/Bond | 2.250% | 10/31/24 | 88,331 | 84,508 | ||
United States Treasury Note/Bond | 4.375% | 10/31/24 | 241,209 | 238,910 | ||
United States Treasury Note/Bond | 0.750% | 11/15/24 | 669,589 | 623,869 | ||
United States Treasury Note/Bond | 2.250% | 11/15/24 | 254,131 | 243,052 | ||
United States Treasury Note/Bond | 7.500% | 11/15/24 | 5,470 | 5,696 | ||
United States Treasury Note/Bond | 1.500% | 11/30/24 | 171,449 | 161,698 | ||
United States Treasury Note/Bond | 2.125% | 11/30/24 | 118,239 | 112,733 | ||
United States Treasury Note/Bond | 4.500% | 11/30/24 | 271,824 | 269,870 | ||
United States Treasury Note/Bond | 1.000% | 12/15/24 | 384,535 | 358,879 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 1.750% | 12/31/24 | 146,759 | 138,779 | ||
United States Treasury Note/Bond | 2.250% | 12/31/24 | 108,431 | 103,450 | ||
United States Treasury Note/Bond | 4.250% | 12/31/24 | 271,702 | 268,645 | ||
United States Treasury Note/Bond | 1.125% | 1/15/25 | 381,939 | 356,576 | ||
United States Treasury Note/Bond | 1.375% | 1/31/25 | 168,383 | 157,833 | ||
United States Treasury Note/Bond | 2.500% | 1/31/25 | 97,787 | 93,646 | ||
United States Treasury Note/Bond | 4.125% | 1/31/25 | 244,950 | 241,773 | ||
United States Treasury Note/Bond | 1.500% | 2/15/25 | 562,657 | 527,930 | ||
United States Treasury Note/Bond | 2.000% | 2/15/25 | 363,476 | 344,450 | ||
United States Treasury Note/Bond | 7.625% | 2/15/25 | 6,613 | 6,947 | ||
United States Treasury Note/Bond | 1.125% | 2/28/25 | 215,722 | 200,689 | ||
United States Treasury Note/Bond | 2.750% | 2/28/25 | 156,214 | 150,136 | ||
United States Treasury Note/Bond | 4.625% | 2/28/25 | 211,530 | 210,869 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 402,538 | 378,763 | ||
United States Treasury Note/Bond | 0.500% | 3/31/25 | 264,910 | 242,765 | ||
United States Treasury Note/Bond | 2.625% | 3/31/25 | 86,719 | 83,088 | ||
United States Treasury Note/Bond | 2.625% | 4/15/25 | 406,489 | 388,959 | ||
United States Treasury Note/Bond | 0.375% | 4/30/25 | 287,219 | 261,639 | ||
United States Treasury Note/Bond | 2.875% | 4/30/25 | 167,266 | 160,837 | ||
United States Treasury Note/Bond | 2.125% | 5/15/25 | 327,347 | 309,599 | ||
United States Treasury Note/Bond | 2.750% | 5/15/25 | 399,781 | 383,228 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 254,594 | 230,606 | ||
United States Treasury Note/Bond | 2.875% | 5/31/25 | 163,219 | 156,843 | ||
United States Treasury Note/Bond | 2.875% | 6/15/25 | 316,032 | 303,687 | ||
United States Treasury Note/Bond | 0.250% | 6/30/25 | 305,717 | 276,292 | ||
United States Treasury Note/Bond | 2.750% | 6/30/25 | 79,528 | 76,160 | ||
United States Treasury Note/Bond | 3.000% | 7/15/25 | 293,373 | 282,463 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 308,445 | 277,841 | ||
United States Treasury Note/Bond | 2.875% | 7/31/25 | 175,220 | 168,211 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 296,254 | 278,294 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 371,745 | 358,850 | ||
United States Treasury Note/Bond | 6.875% | 8/15/25 | 5,057 | 5,308 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 299,200 | 268,719 | ||
United States Treasury Note/Bond | 2.750% | 8/31/25 | 128,649 | 122,980 | ||
United States Treasury Note/Bond | 3.500% | 9/15/25 | 281,378 | 273,992 | ||
United States Treasury Note/Bond | 0.250% | 9/30/25 | 345,080 | 309,332 | ||
United States Treasury Note/Bond | 3.000% | 9/30/25 | 157,935 | 151,815 | ||
United States Treasury Note/Bond | 4.250% | 10/15/25 | 383,408 | 380,173 | ||
United States Treasury Note/Bond | 0.250% | 10/31/25 | 225,519 | 201,346 | ||
United States Treasury Note/Bond | 3.000% | 10/31/25 | 134,094 | 128,793 | ||
United States Treasury Note/Bond | 2.250% | 11/15/25 | 347,884 | 327,555 | ||
United States Treasury Note/Bond | 4.500% | 11/15/25 | 473,125 | 472,312 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 272,050 | 243,017 | ||
United States Treasury Note/Bond | 2.875% | 11/30/25 | 136,826 | 130,968 | ||
United States Treasury Note/Bond | 4.000% | 12/15/25 | 425,563 | 419,844 | ||
United States Treasury Note/Bond | 0.375% | 12/31/25 | 227,686 | 203,103 | ||
United States Treasury Note/Bond | 2.625% | 12/31/25 | 148,238 | 140,919 | ||
United States Treasury Note/Bond | 3.875% | 1/15/26 | 305,524 | 300,273 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 408,520 | 362,881 | ||
United States Treasury Note/Bond | 2.625% | 1/31/26 | 173,622 | 164,832 | ||
United States Treasury Note/Bond | 1.625% | 2/15/26 | 326,890 | 301,045 | ||
United States Treasury Note/Bond | 4.000% | 2/15/26 | 376,530 | 371,353 | ||
United States Treasury Note/Bond | 6.000% | 2/15/26 | 20,180 | 20,968 | ||
United States Treasury Note/Bond | 0.500% | 2/28/26 | 377,250 | 335,340 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 2.500% | 2/28/26 | 150,900 | 142,600 | ||
Total U.S. Government and Agency Obligations (Cost $24,198,081) | 23,445,650 | |||||
Shares | ||||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $78,542) | 4.640% | 785,524 | 78,544 | ||
Total Investments (99.6%) (Cost $24,276,623) | 23,524,194 | |||||
Other Assets and Liabilities—Net (0.4%) | 92,047 | |||||
Net Assets (100%) | 23,616,241 |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $24,198,081) | 23,445,650 |
Affiliated Issuers (Cost $78,542) | 78,544 |
Total Investments in Securities | 23,524,194 |
Investment in Vanguard | 830 |
Receivables for Investment Securities Sold | 1,399,248 |
Receivables for Accrued Income | 104,380 |
Receivables for Capital Shares Issued | 3,890 |
Total Assets | 25,032,542 |
Liabilities | |
Due to Custodian | 62 |
Payables for Investment Securities Purchased | 1,375,055 |
Payables for Capital Shares Redeemed | 39,067 |
Payables for Distributions | 1,746 |
Payables to Vanguard | 371 |
Total Liabilities | 1,416,301 |
Net Assets | 23,616,241 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 24,693,744 |
Total Distributable Earnings (Loss) | (1,077,503) |
Net Assets | 23,616,241 |
ETF Shares—Net Assets | |
Applicable to 335,238,353 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 19,329,507 |
Net Asset Value Per Share—ETF Shares | $57.66 |
Admiral Shares—Net Assets | |
Applicable to 154,605,236 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,967,717 |
Net Asset Value Per Share—Admiral Shares | $19.20 |
Institutional Shares—Net Assets | |
Applicable to 54,694,481 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,319,017 |
Net Asset Value Per Share—Institutional Shares | $24.12 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 241,017 |
Total Income | 241,017 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 278 |
Management and Administrative—ETF Shares | 2,554 |
Management and Administrative—Admiral Shares | 852 |
Management and Administrative—Institutional Shares | 257 |
Marketing and Distribution—ETF Shares | 509 |
Marketing and Distribution—Admiral Shares | 77 |
Marketing and Distribution—Institutional Shares | 25 |
Custodian Fees | 46 |
Shareholders’ Reports—ETF Shares | 173 |
Shareholders’ Reports—Admiral Shares | 9 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 5 |
Other Expenses | 6 |
Total Expenses | 4,792 |
Expenses Paid Indirectly | (44) |
Net Expenses | 4,748 |
Net Investment Income | 236,269 |
Realized Net Gain (Loss) on Investment Securities Sold1,2 | (227,359) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (97,221) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (88,311) |
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 $1,009,000, $19,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $843,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 236,269 | 105,867 | |
Realized Net Gain (Loss) | (227,359) | (147,549) | |
Change in Unrealized Appreciation (Depreciation) | (97,221) | (676,009) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (88,311) | (717,691) | |
Distributions | |||
ETF Shares | (168,469) | (116,564) | |
Admiral Shares | (30,307) | (20,209) | |
Institutional Shares | (13,098) | (10,271) | |
Total Distributions | (211,874) | (147,044) | |
Capital Share Transactions | |||
ETF Shares | 4,004,474 | 2,863,266 | |
Admiral Shares | 502,542 | 190,909 | |
Institutional Shares | 245,892 | 12,395 | |
Net Increase (Decrease) from Capital Share Transactions | 4,752,908 | 3,066,570 | |
Total Increase (Decrease) | 4,452,723 | 2,201,835 | |
Net Assets | |||
Beginning of Period | 19,163,518 | 16,961,683 | |
End of Period | 23,616,241 | 19,163,518 |
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 | $58.51 | $61.50 | $62.13 | $61.12 | $59.89 | $60.86 |
Investment Operations | ||||||
Net Investment Income1 | .637 | .368 | .288 | .956 | 1.430 | .965 |
Net Realized and Unrealized Gain (Loss) on Investments | (.930) | (2.860) | (.220) | 1.115 | 1.165 | (1.062) |
Total from Investment Operations | (.293) | (2.492) | .068 | 2.071 | 2.595 | (.097) |
Distributions | ||||||
Dividends from Net Investment Income | (.557) | (.310) | (.325) | (1.061) | (1.365) | (.873) |
Distributions from Realized Capital Gains | — | (.188) | (.373) | — | — | — |
Total Distributions | (.557) | (.498) | (.698) | (1.061) | (1.365) | (.873) |
Net Asset Value, End of Period | $57.66 | $58.51 | $61.50 | $62.13 | $61.12 | $59.89 |
Total Return | -0.50% | -4.07% | 0.11% | 3.43% | 4.39% | -0.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $19,330 | $15,565 | $13,394 | $9,140 | $5,334 | $3,080 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.22% | 0.61% | 0.47% | 1.55% | 2.37% | 1.61% |
Portfolio Turnover Rate3 | 30% | 59% | 66% | 67% | 55% | 67% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Admiral 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 | $19.50 | $20.51 | $20.71 | $20.35 | $19.95 | $20.29 |
Investment Operations | ||||||
Net Investment Income1 | .209 | .114 | .095 | .312 | .472 | .324 |
Net Realized and Unrealized Gain (Loss) on Investments | (.306) | (.949) | (.078) | .375 | .384 | (.358) |
Total from Investment Operations | (.097) | (.835) | .017 | .687 | .856 | (.034) |
Distributions | ||||||
Dividends from Net Investment Income | (.203) | (.112) | (.093) | (.327) | (.456) | (.306) |
Distributions from Realized Capital Gains | — | (.063) | (.124) | — | — | — |
Total Distributions | (.203) | (.175) | (.217) | (.327) | (.456) | (.306) |
Net Asset Value, End of Period | $19.20 | $19.50 | $20.51 | $20.71 | $20.35 | $19.95 |
Total Return2 | -0.50% | -4.09% | 0.08% | 3.41% | 4.34% | -0.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,968 | $2,506 | $2,430 | $2,748 | $1,596 | $929 |
Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.19% | 0.57% | 0.46% | 1.52% | 2.35% | 1.61% |
Portfolio Turnover Rate4 | 30% | 59% | 66% | 67% | 55% | 67% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
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 | $24.50 | $25.77 | $26.02 | $25.57 | $25.06 | $25.49 |
Investment Operations | ||||||
Net Investment Income1 | .265 | .145 | .120 | .421 | .598 | .425 |
Net Realized and Unrealized Gain (Loss) on Investments | (.388) | (1.191) | (.092) | .445 | .490 | (.467) |
Total from Investment Operations | (.123) | (1.046) | .028 | .866 | 1.088 | (.042) |
Distributions | ||||||
Dividends from Net Investment Income | (.257) | (.145) | (.122) | (.416) | (.578) | (.388) |
Distributions from Realized Capital Gains | — | (.079) | (.156) | — | — | — |
Total Distributions | (.257) | (.224) | (.278) | (.416) | (.578) | (.388) |
Net Asset Value, End of Period | $24.12 | $24.50 | $25.77 | $26.02 | $25.57 | $25.06 |
Total Return | -0.50% | -4.08% | 0.11% | 3.42% | 4.40% | -0.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,319 | $1,092 | $1,138 | $1,104 | $974 | $508 |
Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.20% | 0.58% | 0.47% | 1.63% | 2.37% | 1.63% |
Portfolio Turnover Rate3 | 30% | 59% | 66% | 67% | 55% | 67% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 23,445,650 | — | 23,445,650 |
Temporary Cash Investments | 78,544 | — | — | 78,544 |
Total | 78,544 | 23,445,650 | — | 23,524,194 |
Amount ($000) | |
Tax Cost | 24,277,283 |
Gross Unrealized Appreciation | 36 |
Gross Unrealized Depreciation | (753,125) |
Net Unrealized Appreciation (Depreciation) | (753,089) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 5,368,524 | 92,766 | 7,645,151 | 128,173 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,364,050) | (23,575) | (4,781,885) | (79,925) | |
Net Increase (Decrease)—ETF Shares | 4,004,474 | 69,191 | 2,863,266 | 48,248 | |
Admiral Shares | |||||
Issued | 1,289,531 | 66,864 | 1,386,561 | 69,862 | |
Issued in Lieu of Cash Distributions | 22,402 | 1,162 | 15,276 | 765 | |
Redeemed | (809,391) | (41,947) | (1,210,928) | (60,577) | |
Net Increase (Decrease)—Admiral Shares | 502,542 | 26,079 | 190,909 | 10,050 | |
Institutional Shares | |||||
Issued | 512,881 | 21,146 | 585,141 | 23,322 | |
Issued in Lieu of Cash Distributions | 11,882 | 491 | 8,407 | 335 | |
Redeemed | (278,871) | (11,523) | (581,153) | (23,235) | |
Net Increase (Decrease)—Institutional Shares | 245,892 | 10,114 | 12,395 | 422 |
2 - 4 Years | 22.2% |
4 - 6 Years | 43.1 |
6 - 8 Years | 20.1 |
8 - 10 Years | 14.6 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.3%) | ||||||
U.S. Government Securities (99.3%) | ||||||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 177,754 | 159,034 | ||
United States Treasury Note/Bond | 2.250% | 3/31/26 | 96,366 | 90,313 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 172,078 | 153,391 | ||
United States Treasury Note/Bond | 2.375% | 4/30/26 | 104,985 | 98,620 | ||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 208,472 | 190,947 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 200,784 | 178,510 | ||
United States Treasury Note/Bond | 2.125% | 5/31/26 | 93,930 | 87,399 | ||
United States Treasury Note/Bond | 0.875% | 6/30/26 | 193,941 | 172,850 | ||
United States Treasury Note/Bond | 1.875% | 6/30/26 | 110,893 | 102,316 | ||
United States Treasury Note/Bond | 0.625% | 7/31/26 | 177,927 | 156,743 | ||
United States Treasury Note/Bond | 1.875% | 7/31/26 | 133,397 | 122,809 | ||
United States Treasury Note/Bond | 1.500% | 8/15/26 | 228,497 | 207,361 | ||
United States Treasury Note/Bond | 6.750% | 8/15/26 | 11,101 | 11,897 | ||
United States Treasury Note/Bond | 0.750% | 8/31/26 | 225,330 | 198,854 | ||
United States Treasury Note/Bond | 1.375% | 8/31/26 | 63,057 | 56,929 | ||
United States Treasury Note/Bond | 0.875% | 9/30/26 | 197,938 | 175,082 | ||
United States Treasury Note/Bond | 1.625% | 9/30/26 | 68,643 | 62,444 | ||
United States Treasury Note/Bond | 1.125% | 10/31/26 | 198,621 | 176,897 | ||
United States Treasury Note/Bond | 1.625% | 10/31/26 | 86,559 | 78,579 | ||
United States Treasury Note/Bond | 2.000% | 11/15/26 | 235,973 | 216,948 | ||
United States Treasury Note/Bond | 6.500% | 11/15/26 | 15,994 | 17,119 | ||
United States Treasury Note/Bond | 1.250% | 11/30/26 | 219,262 | 195,828 | ||
United States Treasury Note/Bond | 1.625% | 11/30/26 | 84,458 | 76,593 | ||
United States Treasury Note/Bond | 1.250% | 12/31/26 | 212,192 | 189,182 | ||
United States Treasury Note/Bond | 1.750% | 12/31/26 | 88,902 | 80,929 | ||
United States Treasury Note/Bond | 1.500% | 1/31/27 | 286,517 | 257,462 | ||
United States Treasury Note/Bond | 2.250% | 2/15/27 | 170,452 | 157,695 | ||
United States Treasury Note/Bond | 6.625% | 2/15/27 | 9,920 | 10,717 | ||
United States Treasury Note/Bond | 1.125% | 2/28/27 | 54,670 | 48,383 | ||
United States Treasury Note/Bond | 1.875% | 2/28/27 | 196,323 | 178,777 | ||
United States Treasury Note/Bond | 0.625% | 3/31/27 | 86,193 | 74,476 | ||
United States Treasury Note/Bond | 2.500% | 3/31/27 | 189,349 | 176,568 | ||
United States Treasury Note/Bond | 0.500% | 4/30/27 | 119,265 | 102,251 | ||
United States Treasury Note/Bond | 2.750% | 4/30/27 | 186,979 | 175,965 | ||
United States Treasury Note/Bond | 2.375% | 5/15/27 | 207,842 | 192,579 | ||
United States Treasury Note/Bond | 0.500% | 5/31/27 | 135,380 | 115,665 | ||
United States Treasury Note/Bond | 2.625% | 5/31/27 | 179,583 | 168,050 | ||
United States Treasury Note/Bond | 0.500% | 6/30/27 | 140,749 | 119,945 | ||
United States Treasury Note/Bond | 3.250% | 6/30/27 | 188,151 | 180,537 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 0.375% | 7/31/27 | 162,380 | 137,262 | ||
United States Treasury Note/Bond | 2.750% | 7/31/27 | 175,173 | 164,553 | ||
United States Treasury Note/Bond | 2.250% | 8/15/27 | 168,897 | 155,227 | ||
United States Treasury Note/Bond | 6.375% | 8/15/27 | 13,325 | 14,414 | ||
United States Treasury Note/Bond | 0.500% | 8/31/27 | 140,340 | 119,004 | ||
United States Treasury Note/Bond | 3.125% | 8/31/27 | 167,575 | 159,929 | ||
United States Treasury Note/Bond | 0.375% | 9/30/27 | 177,727 | 149,429 | ||
United States Treasury Note/Bond | 4.125% | 9/30/27 | 158,155 | 157,339 | ||
United States Treasury Note/Bond | 0.500% | 10/31/27 | 176,055 | 148,546 | ||
United States Treasury Note/Bond | 4.125% | 10/31/27 | 138,517 | 137,824 | ||
United States Treasury Note/Bond | 2.250% | 11/15/27 | 168,034 | 153,961 | ||
United States Treasury Note/Bond | 6.125% | 11/15/27 | 26,432 | 28,518 | ||
United States Treasury Note/Bond | 0.625% | 11/30/27 | 187,420 | 158,780 | ||
United States Treasury Note/Bond | 3.875% | 11/30/27 | 164,890 | 162,545 | ||
United States Treasury Note/Bond | 0.625% | 12/31/27 | 197,651 | 167,077 | ||
United States Treasury Note/Bond | 3.875% | 12/31/27 | 158,801 | 156,493 | ||
United States Treasury Note/Bond | 0.750% | 1/31/28 | 230,044 | 195,214 | ||
United States Treasury Note/Bond | 3.500% | 1/31/28 | 129,814 | 125,879 | ||
United States Treasury Note/Bond | 2.750% | 2/15/28 | 217,145 | 203,132 | ||
United States Treasury Note/Bond | 1.125% | 2/29/28 | 213,502 | 184,279 | ||
United States Treasury Note/Bond | 4.000% | 2/29/28 | 198,852 | 197,392 | ||
United States Treasury Note/Bond | 1.250% | 3/31/28 | 209,563 | 181,665 | ||
United States Treasury Note/Bond | 1.250% | 4/30/28 | 231,439 | 200,195 | ||
United States Treasury Note/Bond | 2.875% | 5/15/28 | 239,610 | 224,934 | ||
United States Treasury Note/Bond | 1.250% | 5/31/28 | 250,313 | 216,169 | ||
United States Treasury Note/Bond | 1.250% | 6/30/28 | 213,689 | 184,140 | ||
United States Treasury Note/Bond | 1.000% | 7/31/28 | 218,137 | 185,007 | ||
United States Treasury Note/Bond | 2.875% | 8/15/28 | 241,948 | 226,675 | ||
United States Treasury Note/Bond | 5.500% | 8/15/28 | 21,829 | 23,146 | ||
United States Treasury Note/Bond | 1.125% | 8/31/28 | 224,461 | 191,318 | ||
United States Treasury Note/Bond | 1.250% | 9/30/28 | 226,395 | 193,886 | ||
United States Treasury Note/Bond | 1.375% | 10/31/28 | 230,488 | 198,436 | ||
United States Treasury Note/Bond | 3.125% | 11/15/28 | 222,178 | 210,548 | ||
United States Treasury Note/Bond | 5.250% | 11/15/28 | 31,328 | 33,027 | ||
United States Treasury Note/Bond | 1.500% | 11/30/28 | 220,303 | 190,769 | ||
United States Treasury Note/Bond | 1.375% | 12/31/28 | 203,011 | 174,399 | ||
United States Treasury Note/Bond | 1.750% | 1/31/29 | 203,314 | 178,027 | ||
United States Treasury Note/Bond | 2.625% | 2/15/29 | 222,979 | 205,245 | ||
United States Treasury Note/Bond | 5.250% | 2/15/29 | 16,385 | 17,271 | ||
United States Treasury Note/Bond | 1.875% | 2/28/29 | 201,886 | 178,070 | ||
United States Treasury Note/Bond | 2.375% | 3/31/29 | 177,565 | 160,918 | ||
United States Treasury Note/Bond | 2.875% | 4/30/29 | 164,067 | 152,941 | ||
United States Treasury Note/Bond | 2.375% | 5/15/29 | 199,497 | 180,482 | ||
United States Treasury Note/Bond | 2.750% | 5/31/29 | 155,937 | 144,242 | ||
United States Treasury Note/Bond | 3.250% | 6/30/29 | 147,886 | 140,723 | ||
United States Treasury Note/Bond | 2.625% | 7/31/29 | 153,564 | 140,799 | ||
United States Treasury Note/Bond | 1.625% | 8/15/29 | 167,741 | 144,965 | ||
United States Treasury Note/Bond | 6.125% | 8/15/29 | 14,339 | 15,941 | ||
United States Treasury Note/Bond | 3.125% | 8/31/29 | 140,747 | 132,896 | ||
United States Treasury Note/Bond | 3.875% | 9/30/29 | 141,048 | 139,153 | ||
United States Treasury Note/Bond | 4.000% | 10/31/29 | 128,933 | 128,167 | ||
United States Treasury Note/Bond | 1.750% | 11/15/29 | 127,847 | 111,227 | ||
United States Treasury Note/Bond | 3.875% | 11/30/29 | 143,904 | 142,060 | ||
United States Treasury Note/Bond | 3.875% | 12/31/29 | 135,238 | 133,569 | ||
United States Treasury Note/Bond | 3.500% | 1/31/30 | 122,670 | 118,453 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 1.500% | 2/15/30 | 191,758 | 162,784 | ||
United States Treasury Note/Bond | 4.000% | 2/28/30 | 174,098 | 173,391 | ||
United States Treasury Note/Bond | 0.625% | 5/15/30 | 299,420 | 236,729 | ||
United States Treasury Note/Bond | 6.250% | 5/15/30 | 24,544 | 27,857 | ||
United States Treasury Note/Bond | 0.625% | 8/15/30 | 389,648 | 306,361 | ||
United States Treasury Note/Bond | 0.875% | 11/15/30 | 404,304 | 323,064 | ||
United States Treasury Note/Bond | 1.125% | 2/15/31 | 352,804 | 287,039 | ||
United States Treasury Note/Bond | 5.375% | 2/15/31 | 28,813 | 31,460 | ||
United States Treasury Note/Bond | 1.625% | 5/15/31 | 388,342 | 326,450 | ||
United States Treasury Note/Bond | 1.250% | 8/15/31 | 423,400 | 343,219 | ||
United States Treasury Note/Bond | 1.375% | 11/15/31 | 423,929 | 345,038 | ||
United States Treasury Note/Bond | 1.875% | 2/15/32 | 388,932 | 329,498 | ||
United States Treasury Note/Bond | 2.875% | 5/15/32 | 393,449 | 361,912 | ||
United States Treasury Note/Bond | 2.750% | 8/15/32 | 372,139 | 338,181 | ||
United States Treasury Note/Bond | 4.125% | 11/15/32 | 365,924 | 371,813 | ||
United States Treasury Note/Bond | 3.500% | 2/15/33 | 157,098 | 151,919 | ||
Total U.S. Government and Agency Obligations (Cost $19,243,395) | 17,609,619 | |||||
Shares | ||||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $64,131) | 4.640% | 641,394 | 64,133 | ||
Total Investments (99.7%) (Cost $19,307,526) | 17,673,752 | |||||
Other Assets and Liabilities—Net (0.3%) | 49,224 | |||||
Net Assets (100%) | 17,722,976 |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $19,243,395) | 17,609,619 |
Affiliated Issuers (Cost $64,131) | 64,133 |
Total Investments in Securities | 17,673,752 |
Investment in Vanguard | 672 |
Cash | 144 |
Receivables for Investment Securities Sold | 447,038 |
Receivables for Accrued Income | 73,582 |
Receivables for Capital Shares Issued | 75,088 |
Total Assets | 18,270,276 |
Liabilities | |
Payables for Investment Securities Purchased | 541,708 |
Payables for Capital Shares Redeemed | 4,349 |
Payables for Distributions | 949 |
Payables to Vanguard | 294 |
Total Liabilities | 547,300 |
Net Assets | 17,722,976 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 19,746,030 |
Total Distributable Earnings (Loss) | (2,023,054) |
Net Assets | 17,722,976 |
ETF Shares—Net Assets | |
Applicable to 218,311,209 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,718,692 |
Net Asset Value Per Share—ETF Shares | $58.26 |
Admiral Shares—Net Assets | |
Applicable to 149,432,399 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,935,352 |
Net Asset Value Per Share—Admiral Shares | $19.64 |
Institutional Shares—Net Assets | |
Applicable to 84,871,876 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,068,932 |
Net Asset Value Per Share—Institutional Shares | $24.38 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 206,297 |
Total Income | 206,297 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 225 |
Management and Administrative—ETF Shares | 1,821 |
Management and Administrative—Admiral Shares | 861 |
Management and Administrative—Institutional Shares | 371 |
Marketing and Distribution—ETF Shares | 374 |
Marketing and Distribution—Admiral Shares | 77 |
Marketing and Distribution—Institutional Shares | 38 |
Custodian Fees | 42 |
Shareholders’ Reports—ETF Shares | 184 |
Shareholders’ Reports—Admiral Shares | 14 |
Shareholders’ Reports—Institutional Shares | 22 |
Trustees’ Fees and Expenses | 4 |
Other Expenses | 6 |
Total Expenses | 4,039 |
Expenses Paid Indirectly | (42) |
Net Expenses | 3,997 |
Net Investment Income | 202,300 |
Realized Net Gain (Loss) on Investment Securities Sold1,2 | (169,506) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (413,798) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (381,004) |
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 $462,000, $4,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $21,659,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 202,300 | 181,505 | |
Realized Net Gain (Loss) | (169,506) | (248,281) | |
Change in Unrealized Appreciation (Depreciation) | (413,798) | (1,386,084) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (381,004) | (1,452,860) | |
Distributions | |||
ETF Shares | (140,879) | (165,364) | |
Admiral Shares | (32,117) | (48,477) | |
Institutional Shares | (21,294) | (33,566) | |
Total Distributions | (194,290) | (247,407) | |
Capital Share Transactions | |||
ETF Shares | 1,401,979 | 4,723,604 | |
Admiral Shares | 152,552 | 574,795 | |
Institutional Shares | 431,609 | 195,879 | |
Net Increase (Decrease) from Capital Share Transactions | 1,986,140 | 5,494,278 | |
Total Increase (Decrease) | 1,410,846 | 3,794,011 | |
Net Assets | |||
Beginning of Period | 16,312,130 | 12,518,119 | |
End of Period | 17,722,976 | 16,312,130 |
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 | $60.34 | $68.27 | $70.46 | $67.26 | $62.67 | $65.29 |
Investment Operations | ||||||
Net Investment Income1 | .680 | .858 | .809 | 1.239 | 1.515 | 1.250 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.115) | (7.617) | (1.692) | 3.248 | 4.552 | (2.691) |
Total from Investment Operations | (1.435) | (6.759) | (.883) | 4.487 | 6.067 | (1.441) |
Distributions | ||||||
Dividends from Net Investment Income | (.645) | (.805) | (.820) | (1.287) | (1.477) | (1.179) |
Distributions from Realized Capital Gains | — | (.366) | (.487) | — | — | — |
Total Distributions | (.645) | (1.171) | (1.307) | (1.287) | (1.477) | (1.179) |
Net Asset Value, End of Period | $58.26 | $60.34 | $68.27 | $70.46 | $67.26 | $62.67 |
Total Return | -2.39% | -10.01% | -1.26% | 6.76% | 9.84% | -2.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,719 | $11,726 | $8,147 | $6,547 | $4,353 | $2,680 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.33% | 1.34% | 1.18% | 1.80% | 2.36% | 1.97% |
Portfolio Turnover Rate3 | 14% | 36% | 33% | 28% | 29% | 31% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Admiral 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 | $20.35 | $23.04 | $23.78 | $22.68 | $21.13 | $22.03 |
Investment Operations | ||||||
Net Investment Income1 | .226 | .283 | .267 | .416 | .507 | .418 |
Net Realized and Unrealized Gain (Loss) on Investments | (.713) | (2.575) | (.577) | 1.101 | 1.540 | (.911) |
Total from Investment Operations | (.487) | (2.292) | (.310) | 1.517 | 2.047 | (.493) |
Distributions | ||||||
Dividends from Net Investment Income | (.223) | (.274) | (.265) | (.417) | (.497) | (.407) |
Distributions from Realized Capital Gains | — | (.124) | (.165) | — | — | — |
Total Distributions | (.223) | (.398) | (.430) | (.417) | (.497) | (.407) |
Net Asset Value, End of Period | $19.64 | $20.35 | $23.04 | $23.78 | $22.68 | $21.13 |
Total Return2 | -2.40% | -10.05% | -1.31% | 6.76% | 9.83% | -2.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,935 | $2,886 | $2,646 | $2,740 | $1,887 | $1,104 |
Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.29% | 1.31% | 1.15% | 1.79% | 2.34% | 1.97% |
Portfolio Turnover Rate4 | 14% | 36% | 33% | 28% | 29% | 31% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
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 | $25.26 | $28.60 | $29.51 | $28.15 | $26.23 | $27.33 |
Investment Operations | ||||||
Net Investment Income1 | .284 | .355 | .337 | .527 | .634 | .524 |
Net Realized and Unrealized Gain (Loss) on Investments | (.884) | (3.195) | (.709) | 1.355 | 1.908 | (1.114) |
Total from Investment Operations | (.600) | (2.840) | (.372) | 1.882 | 2.542 | (.590) |
Distributions | ||||||
Dividends from Net Investment Income | (.280) | (.346) | (.334) | (.522) | (.622) | (.510) |
Distributions from Realized Capital Gains | — | (.154) | (.204) | — | — | — |
Total Distributions | (.280) | (.500) | (.538) | (.522) | (.622) | (.510) |
Net Asset Value, End of Period | $24.38 | $25.26 | $28.60 | $29.51 | $28.15 | $26.23 |
Total Return | -2.38% | -10.03% | -1.26% | 6.76% | 9.83% | -2.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,069 | $1,700 | $1,725 | $1,558 | $1,183 | $390 |
Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.32% | 1.32% | 1.17% | 1.83% | 2.36% | 1.99% |
Portfolio Turnover Rate3 | 14% | 36% | 33% | 28% | 29% | 31% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 17,609,619 | — | 17,609,619 |
Temporary Cash Investments | 64,133 | — | — | 64,133 |
Total | 64,133 | 17,609,619 | — | 17,673,752 |
Amount ($000) | |
Tax Cost | 19,320,774 |
Gross Unrealized Appreciation | 1,405 |
Gross Unrealized Depreciation | (1,648,427) |
Net Unrealized Appreciation (Depreciation) | (1,647,022) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 4,227,556 | 71,966 | 7,033,079 | 111,240 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,825,577) | (48,000) | (2,309,475) | (36,225) | |
Net Increase (Decrease)—ETF Shares | 1,401,979 | 23,966 | 4,723,604 | 75,015 | |
Admiral Shares | |||||
Issued | 688,300 | 34,671 | 1,661,411 | 77,397 | |
Issued in Lieu of Cash Distributions | 28,661 | 1,447 | 42,941 | 1,980 | |
Redeemed | (564,409) | (28,469) | (1,129,557) | (52,417) | |
Net Increase (Decrease)—Admiral Shares | 152,552 | 7,649 | 574,795 | 26,960 | |
Institutional Shares | |||||
Issued | 588,319 | 23,940 | 737,363 | 27,430 | |
Issued in Lieu of Cash Distributions | 19,410 | 790 | 30,431 | 1,128 | |
Redeemed | (176,120) | (7,170) | (571,915) | (21,578) | |
Net Increase (Decrease)—Institutional Shares | 431,609 | 17,560 | 195,879 | 6,980 |
10 - 15 Years | 1.5% |
15 - 20 Years | 34.8 |
20 - 25 Years | 21.8 |
Over 25 Years | 41.9 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.3%) | ||||||
U.S. Government Securities (99.3%) | ||||||
United States Treasury Note/Bond | 4.500% | 2/15/36 | 36,239 | 38,651 | ||
United States Treasury Note/Bond | 4.750% | 2/15/37 | 21,545 | 23,541 | ||
United States Treasury Note/Bond | 5.000% | 5/15/37 | 28,114 | 31,404 | ||
United States Treasury Note/Bond | 4.375% | 2/15/38 | 29,515 | 30,898 | ||
United States Treasury Note/Bond | 4.500% | 5/15/38 | 33,297 | 35,295 | ||
United States Treasury Note/Bond | 3.500% | 2/15/39 | 34,042 | 32,042 | ||
United States Treasury Note/Bond | 4.250% | 5/15/39 | 50,450 | 51,940 | ||
United States Treasury Note/Bond | 4.500% | 8/15/39 | 54,224 | 57,477 | ||
United States Treasury Note/Bond | 4.375% | 11/15/39 | 58,163 | 60,771 | ||
United States Treasury Note/Bond | 4.625% | 2/15/40 | 58,885 | 63,338 | ||
United States Treasury Note/Bond | 1.125% | 5/15/40 | 180,905 | 114,451 | ||
United States Treasury Note/Bond | 4.375% | 5/15/40 | 54,807 | 57,102 | ||
United States Treasury Note/Bond | 1.125% | 8/15/40 | 215,649 | 135,690 | ||
United States Treasury Note/Bond | 3.875% | 8/15/40 | 56,174 | 55,051 | ||
United States Treasury Note/Bond | 1.375% | 11/15/40 | 238,482 | 156,541 | ||
United States Treasury Note/Bond | 4.250% | 11/15/40 | 56,058 | 57,582 | ||
United States Treasury Note/Bond | 1.875% | 2/15/41 | 289,902 | 207,008 | ||
United States Treasury Note/Bond | 4.750% | 2/15/41 | 58,462 | 63,851 | ||
United States Treasury Note/Bond | 2.250% | 5/15/41 | 248,373 | 188,608 | ||
United States Treasury Note/Bond | 4.375% | 5/15/41 | 46,529 | 48,529 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 326,249 | 225,928 | ||
United States Treasury Note/Bond | 3.750% | 8/15/41 | 55,735 | 53,435 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 279,458 | 201,734 | ||
United States Treasury Note/Bond | 3.125% | 11/15/41 | 58,314 | 50,897 | ||
United States Treasury Note/Bond | 2.375% | 2/15/42 | 225,169 | 173,169 | ||
United States Treasury Note/Bond | 3.125% | 2/15/42 | 61,402 | 53,381 | ||
United States Treasury Note/Bond | 3.000% | 5/15/42 | 57,035 | 48,480 | ||
United States Treasury Note/Bond | 3.250% | 5/15/42 | 197,450 | 174,466 | ||
United States Treasury Note/Bond | 2.750% | 8/15/42 | 66,818 | 54,405 | ||
United States Treasury Note/Bond | 3.375% | 8/15/42 | 172,548 | 155,293 | ||
United States Treasury Note/Bond | 2.750% | 11/15/42 | 97,346 | 79,048 | ||
United States Treasury Note/Bond | 4.000% | 11/15/42 | 166,562 | 164,168 | ||
United States Treasury Note/Bond | 3.125% | 2/15/43 | 83,828 | 72,197 | ||
United States Treasury Note/Bond | 3.875% | 2/15/43 | 44,012 | 42,712 | ||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 133,024 | 109,953 | ||
United States Treasury Note/Bond | 3.625% | 8/15/43 | 94,584 | 87,993 | ||
United States Treasury Note/Bond | 3.750% | 11/15/43 | 96,031 | 90,914 | ||
United States Treasury Note/Bond | 3.625% | 2/15/44 | 102,185 | 94,776 | ||
United States Treasury Note/Bond | 3.375% | 5/15/44 | 94,875 | 84,602 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 3.125% | 8/15/44 | 122,071 | 104,371 | ||
United States Treasury Note/Bond | 3.000% | 11/15/44 | 106,651 | 89,203 | ||
United States Treasury Note/Bond | 2.500% | 2/15/45 | 144,838 | 110,620 | ||
United States Treasury Note/Bond | 3.000% | 5/15/45 | 68,460 | 57,132 | ||
United States Treasury Note/Bond | 2.875% | 8/15/45 | 94,919 | 77,389 | ||
United States Treasury Note/Bond | 3.000% | 11/15/45 | 56,298 | 46,921 | ||
United States Treasury Note/Bond | 2.500% | 2/15/46 | 115,803 | 88,011 | ||
United States Treasury Note/Bond | 2.500% | 5/15/46 | 113,796 | 86,449 | ||
United States Treasury Note/Bond | 2.250% | 8/15/46 | 143,423 | 103,444 | ||
United States Treasury Note/Bond | 2.875% | 11/15/46 | 64,393 | 52,461 | ||
United States Treasury Note/Bond | 3.000% | 2/15/47 | 126,874 | 105,583 | ||
United States Treasury Note/Bond | 3.000% | 5/15/47 | 100,935 | 84,060 | ||
United States Treasury Note/Bond | 2.750% | 8/15/47 | 140,106 | 111,384 | ||
United States Treasury Note/Bond | 2.750% | 11/15/47 | 141,228 | 112,320 | ||
United States Treasury Note/Bond | 3.000% | 2/15/48 | 163,661 | 136,426 | ||
United States Treasury Note/Bond | 3.125% | 5/15/48 | 171,359 | 146,298 | ||
United States Treasury Note/Bond | 3.000% | 8/15/48 | 192,685 | 160,801 | ||
United States Treasury Note/Bond | 3.375% | 11/15/48 | 197,516 | 176,715 | ||
United States Treasury Note/Bond | 3.000% | 2/15/49 | 202,451 | 169,363 | ||
United States Treasury Note/Bond | 2.875% | 5/15/49 | 197,588 | 161,497 | ||
United States Treasury Note/Bond | 2.250% | 8/15/49 | 185,110 | 132,759 | ||
United States Treasury Note/Bond | 2.375% | 11/15/49 | 176,998 | 130,564 | ||
United States Treasury Note/Bond | 2.000% | 2/15/50 | 223,029 | 150,824 | ||
United States Treasury Note/Bond | 1.250% | 5/15/50 | 259,903 | 144,206 | ||
United States Treasury Note/Bond | 1.375% | 8/15/50 | 293,115 | 168,083 | ||
United States Treasury Note/Bond | 1.625% | 11/15/50 | 285,772 | 175,125 | ||
United States Treasury Note/Bond | 1.875% | 2/15/51 | 323,563 | 211,327 | ||
United States Treasury Note/Bond | 2.375% | 5/15/51 | 325,773 | 239,239 | ||
United States Treasury Note/Bond | 2.000% | 8/15/51 | 318,892 | 214,405 | ||
United States Treasury Note/Bond | 1.875% | 11/15/51 | 300,387 | 195,439 | ||
United States Treasury Note/Bond | 2.250% | 2/15/52 | 276,502 | 197,224 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 262,965 | 215,385 | ||
United States Treasury Note/Bond | 3.000% | 8/15/52 | 246,735 | 207,566 | ||
United States Treasury Note/Bond | 4.000% | 11/15/52 | 246,652 | 250,968 | ||
United States Treasury Note/Bond | 3.625% | 2/15/53 | 88,517 | 84,271 | ||
Total U.S. Government and Agency Obligations (Cost $10,782,979) | 8,425,154 | |||||
Shares | ||||||
Temporary Cash Investments (0.8%) | ||||||
Money Market Fund (0.8%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $67,225) | 4.640% | 672,314 | 67,225 | ||
Total Investments (100.1%) (Cost $10,850,204) | 8,492,379 | |||||
Other Assets and Liabilities—Net (-0.1%) | (6,459) | |||||
Net Assets (100%) | 8,485,920 |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $10,782,979) | 8,425,154 |
Affiliated Issuers (Cost $67,225) | 67,225 |
Total Investments in Securities | 8,492,379 |
Investment in Vanguard | 300 |
Cash | 64 |
Receivables for Investment Securities Sold | 64,463 |
Receivables for Accrued Income | 46,674 |
Receivables for Capital Shares Issued | 10,464 |
Total Assets | 8,614,344 |
Liabilities | |
Payables for Investment Securities Purchased | 126,652 |
Payables for Capital Shares Redeemed | 1,057 |
Payables for Distributions | 572 |
Payables to Vanguard | 143 |
Total Liabilities | 128,424 |
Net Assets | 8,485,920 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 11,397,455 |
Total Distributable Earnings (Loss) | (2,911,535) |
Net Assets | 8,485,920 |
ETF Shares—Net Assets | |
Applicable to 72,892,034 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,561,148 |
Net Asset Value Per Share—ETF Shares | $62.57 |
Admiral Shares—Net Assets | |
Applicable to 51,285,190 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,077,023 |
Net Asset Value Per Share—Admiral Shares | $21.00 |
Institutional Shares—Net Assets | |
Applicable to 106,842,379 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,847,749 |
Net Asset Value Per Share—Institutional Shares | $26.65 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 113,728 |
Total Income | 113,728 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 96 |
Management and Administrative—ETF Shares | 516 |
Management and Administrative—Admiral Shares | 343 |
Management and Administrative—Institutional Shares | 548 |
Marketing and Distribution—ETF Shares | 112 |
Marketing and Distribution—Admiral Shares | 31 |
Marketing and Distribution—Institutional Shares | 53 |
Custodian Fees | 17 |
Shareholders’ Reports—ETF Shares | 90 |
Shareholders’ Reports—Admiral Shares | 10 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 6 |
Total Expenses | 1,825 |
Expenses Paid Indirectly | (17) |
Net Expenses | 1,808 |
Net Investment Income | 111,920 |
Realized Net Gain (Loss) on Investment Securities Sold1,2 | (285,689) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (451,733) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (625,502) |
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 $278,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes ($6,603,000) of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 111,920 | 157,575 | |
Realized Net Gain (Loss) | (285,689) | (183,420) | |
Change in Unrealized Appreciation (Depreciation) | (451,733) | (1,918,080) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (625,502) | (1,943,925) | |
Distributions | |||
ETF Shares | (55,409) | (71,135) | |
Admiral Shares | (16,323) | (33,426) | |
Institutional Shares | (37,861) | (48,139) | |
Total Distributions | (109,593) | (152,700) | |
Capital Share Transactions | |||
ETF Shares | 1,110,753 | 2,485,336 | |
Admiral Shares | (156,076) | (145,223) | |
Institutional Shares | 498,036 | 1,174,488 | |
Net Increase (Decrease) from Capital Share Transactions | 1,452,713 | 3,514,601 | |
Total Increase (Decrease) | 717,618 | 1,417,976 | |
Net Assets | |||
Beginning of Period | 7,768,302 | 6,350,326 | |
End of Period | 8,485,920 | 7,768,302 |
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 | $68.45 | $90.37 | $98.93 | $90.17 | $74.33 | $78.76 |
Investment Operations | ||||||
Net Investment Income1 | .937 | 1.718 | 1.645 | 1.915 | 2.115 | 2.050 |
Net Realized and Unrealized Gain (Loss) on Investments | (5.888) | (21.974) | (8.289) | 8.772 | 15.798 | (4.469) |
Total from Investment Operations | (4.951) | (20.256) | (6.644) | 10.687 | 17.913 | (2.419) |
Distributions | ||||||
Dividends from Net Investment Income | (.929) | (1.664) | (1.625) | (1.927) | (2.073) | (2.011) |
Distributions from Realized Capital Gains | — | — | (.291) | — | — | — |
Total Distributions | (.929) | (1.664) | (1.916) | (1.927) | (2.073) | (2.011) |
Net Asset Value, End of Period | $62.57 | $68.45 | $90.37 | $98.93 | $90.17 | $74.33 |
Total Return | -7.26% | -22.69% | -6.73% | 12.02% | 24.69% | -3.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,561 | $3,813 | $2,366 | $2,138 | $1,282 | $676 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.98% | 2.19% | 1.81% | 2.03% | 2.75% | 2.73% |
Portfolio Turnover Rate3 | 11% | 19% | 22% | 29% | 16% | 19% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Admiral 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 | $22.98 | $30.35 | $33.24 | $30.28 | $24.95 | $26.44 |
Investment Operations | ||||||
Net Investment Income1 | .310 | .565 | .545 | .637 | .706 | .690 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.981) | (7.380) | (2.799) | 2.955 | 5.316 | (1.501) |
Total from Investment Operations | (1.671) | (6.815) | (2.254) | 3.592 | 6.022 | (.811) |
Distributions | ||||||
Dividends from Net Investment Income | (.309) | (.555) | (.538) | (.632) | (.692) | (.679) |
Distributions from Realized Capital Gains | — | — | (.098) | — | — | — |
Total Distributions | (.309) | (.555) | (.636) | (.632) | (.692) | (.679) |
Net Asset Value, End of Period | $21.00 | $22.98 | $30.35 | $33.24 | $30.28 | $24.95 |
Total Return2 | -7.27% | -22.69% | -6.78% | 12.00% | 24.67% | -3.06% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,077 | $1,369 | $1,947 | $1,800 | $1,053 | $559 |
Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.94% | 2.09% | 1.79% | 2.01% | 2.73% | 2.73% |
Portfolio Turnover Rate4 | 11% | 19% | 22% | 29% | 16% | 19% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
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 | $29.16 | $38.52 | $42.19 | $38.43 | $31.66 | $33.56 |
Investment Operations | ||||||
Net Investment Income1 | .398 | .727 | .699 | .822 | .902 | .883 |
Net Realized and Unrealized Gain (Loss) on Investments | (2.513) | (9.376) | (3.554) | 3.748 | 6.753 | (1.915) |
Total from Investment Operations | (2.115) | (8.649) | (2.855) | 4.570 | 7.655 | (1.032) |
Distributions | ||||||
Dividends from Net Investment Income | (.395) | (.711) | (.691) | (.810) | (.885) | (.868) |
Distributions from Realized Capital Gains | — | — | (.124) | — | — | — |
Total Distributions | (.395) | (.711) | (.815) | (.810) | (.885) | (.868) |
Net Asset Value, End of Period | $26.65 | $29.16 | $38.52 | $42.19 | $38.43 | $31.66 |
Total Return | -7.25% | -22.69% | -6.77% | 12.03% | 24.71% | -3.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,848 | $2,586 | $2,038 | $1,234 | $1,054 | $452 |
Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.96% | 2.15% | 1.82% | 2.06% | 2.75% | 2.75% |
Portfolio Turnover Rate3 | 11% | 19% | 22% | 29% | 16% | 19% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 8,425,154 | — | 8,425,154 |
Temporary Cash Investments | 67,225 | — | — | 67,225 |
Total | 67,225 | 8,425,154 | — | 8,492,379 |
Amount ($000) | |
Tax Cost | 10,955,456 |
Gross Unrealized Appreciation | 3,948 |
Gross Unrealized Depreciation | (2,467,025) |
Net Unrealized Appreciation (Depreciation) | (2,463,077) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,871,491 | 29,229 | 4,802,980 | 59,507 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (760,738) | (12,050) | (2,317,644) | (29,975) | |
Net Increase (Decrease)—ETF Shares | 1,110,753 | 17,179 | 2,485,336 | 29,532 | |
Admiral Shares | |||||
Issued | 314,195 | 14,751 | 630,037 | 24,179 | |
Issued in Lieu of Cash Distributions | 12,054 | 570 | 21,430 | 814 | |
Redeemed | (482,325) | (23,625) | (796,690) | (29,534) | |
Net Increase (Decrease)—Admiral Shares | (156,076) | (8,304) | (145,223) | (4,541) | |
Institutional Shares | |||||
Issued | 696,449 | 25,322 | 1,496,186 | 44,963 | |
Issued in Lieu of Cash Distributions | 37,600 | 1,402 | 47,733 | 1,439 | |
Redeemed | (236,013) | (8,554) | (369,431) | (10,630) | |
Net Increase (Decrease)—Institutional Shares | 498,036 | 18,170 | 1,174,488 | 35,772 |
Vanguard Short-Term Corporate Bond Index Fund |
Vanguard Intermediate-Term Corporate Bond Index Fund |
Vanguard Long-Term Corporate Bond Index Fund |
About Your Fund's Expenses | 1 |
Short-Term Corporate Bond Index Fund | 3 |
Intermediate-Term Corporate Bond Index Fund | 35 |
Long-Term Corporate Bond Index Fund | 64 |
• | 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, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Short-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,000.70 | $0.20 |
Admiral™ Shares | 1,000.00 | 1,000.30 | 0.35 |
Institutional Shares | 1,000.00 | 1,000.70 | 0.25 |
Intermediate-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $992.40 | $0.20 |
Admiral Shares | 1,000.00 | 992.30 | 0.35 |
Institutional Shares | 1,000.00 | 992.20 | 0.25 |
Long-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $971.50 | $0.20 |
Admiral Shares | 1,000.00 | 971.50 | 0.34 |
Institutional Shares | 1,000.00 | 971.70 | 0.24 |
Based on Hypothetical 5% Yearly Return | |||
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 |
Corporate Bonds – Communications | 4.6% |
Corporate Bonds – Consumer Discretionary | 6.4 |
Corporate Bonds – Consumer Staples | 5.2 |
Corporate Bonds – Energy | 5.4 |
Corporate Bonds – Financials | 44.6 |
Corporate Bonds – Health Care | 8.1 |
Corporate Bonds – Industrials | 6.2 |
Corporate Bonds – Materials | 2.1 |
Corporate Bonds – Real Estate | 3.7 |
Corporate Bonds – Technology | 8.1 |
Corporate Bonds – Utilities | 5.1 |
U.S. Government and Agency Obligations | 0.5 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
6 | Vanguard Market Liquidity Fund (Cost $150,319) | 4.640% | 1,503,430 | 150,328 | ||
Total Investments (99.2%) (Cost $49,502,229) | 46,526,807 | |||||
Other Assets and Liabilities—Net (0.8%) | 365,680 | |||||
Net Assets (100%) | 46,892,487 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2023, the aggregate value was $583,426,000, representing 1.2% of net assets. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2023. |
4 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
5 | Securities with a value of $1,200,000 have been segregated as initial margin for open futures contracts. |
6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3M—3-month. | |
DAC—Designated Activity Company. | |
LIBOR—London Interbank Offered Rate. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | June 2023 | 2,325 | 248,902 | (39) |
Centrally Cleared Credit Default Swaps | ||||||
Reference Entity | Termination Date | Notional Amount (000) | Periodic Premium Received (Paid)1 (%) | Value ($000) | Unrealized Appreciation (Depreciation) ($000) | |
Credit Protection Sold | ||||||
CDX-NA-IG-S39-V1 | 12/20/27 | USD | 250,000 | 1.000 | 2,117 | — |
1 Periodic premium received/paid quarterly. |
USD—U.S. dollar. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $49,351,910) | 46,376,479 |
Affiliated Issuers (Cost $150,319) | 150,328 |
Total Investments in Securities | 46,526,807 |
Investment in Vanguard | 1,721 |
Cash | 6,047 |
Receivables for Investment Securities Sold | 993,522 |
Receivables for Accrued Income | 436,560 |
Receivables for Capital Shares Issued | 5,114 |
Total Assets | 47,969,771 |
Liabilities | |
Payables for Investment Securities Purchased | 1,069,466 |
Payables for Capital Shares Redeemed | 5,272 |
Payables for Distributions | 1,802 |
Payables to Vanguard | 729 |
Variation Margin Payable—Futures Contracts | 15 |
Total Liabilities | 1,077,284 |
Net Assets | 46,892,487 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 50,690,291 |
Total Distributable Earnings (Loss) | (3,797,804) |
Net Assets | 46,892,487 |
ETF Shares—Net Assets | |
Applicable to 534,984,054 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 40,261,988 |
Net Asset Value Per Share—ETF Shares | $75.26 |
Admiral Shares—Net Assets | |
Applicable to 210,225,614 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,299,532 |
Net Asset Value Per Share—Admiral Shares | $20.45 |
Institutional Shares—Net Assets | |
Applicable to 93,104,100 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,330,967 |
Net Asset Value Per Share—Institutional Shares | $25.04 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 605,590 |
Total Income | 605,590 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 602 |
Management and Administrative—ETF Shares | 5,857 |
Management and Administrative—Admiral Shares | 1,334 |
Management and Administrative—Institutional Shares | 490 |
Marketing and Distribution—ETF Shares | 1,139 |
Marketing and Distribution—Admiral Shares | 118 |
Marketing and Distribution—Institutional Shares | 45 |
Custodian Fees | 78 |
Shareholders’ Reports—ETF Shares | 566 |
Shareholders’ Reports—Admiral Shares | 22 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 11 |
Other Expenses | 20 |
Total Expenses | 10,282 |
Expenses Paid Indirectly | (76) |
Net Expenses | 10,206 |
Net Investment Income | 595,384 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (710,009) |
Futures Contracts | (3,906) |
Swap Contracts | — |
Realized Net Gain (Loss) | (713,915) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 79,027 |
Futures Contracts | (87) |
Swap Contracts | — |
Change in Unrealized Appreciation (Depreciation) | 78,940 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (39,591) |
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 $1,976,000, $25,000, less than $1,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes ($404,732,000) of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 595,384 | 812,838 | |
Realized Net Gain (Loss) | (713,915) | (170,013) | |
Change in Unrealized Appreciation (Depreciation) | 78,940 | (3,795,036) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (39,591) | (3,152,211) | |
Distributions | |||
ETF Shares | (502,954) | (762,716) | |
Admiral Shares | (54,650) | (93,551) | |
Institutional Shares | (28,859) | (41,778) | |
Total Distributions | (586,463) | (898,045) | |
Capital Share Transactions | |||
ETF Shares | (2,917,308) | 5,597,297 | |
Admiral Shares | (289,666) | (365,977) | |
Institutional Shares | 116,789 | 166,453 | |
Net Increase (Decrease) from Capital Share Transactions | (3,090,185) | 5,397,773 | |
Total Increase (Decrease) | (3,716,239) | 1,347,517 | |
Net Assets | |||
Beginning of Period | 50,608,726 | 49,261,209 | |
End of Period | 46,892,487 | 50,608,726 |
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 | $76.14 | $82.67 | $82.95 | $81.18 | $78.32 | $80.25 |
Investment Operations | ||||||
Net Investment Income1 | .942 | 1.319 | 1.433 | 2.127 | 2.311 | 1.950 |
Net Realized and Unrealized Gain (Loss) on Investments | (.902) | (6.388) | (.250) | 1.815 | 2.826 | (1.953) |
Total from Investment Operations | .040 | (5.069) | 1.183 | 3.942 | 5.137 | (.003) |
Distributions | ||||||
Dividends from Net Investment Income | (.920) | (1.279) | (1.463) | (2.172) | (2.277) | (1.927) |
Distributions from Realized Capital Gains | — | (.182) | — | — | — | — |
Total Distributions | (.920) | (1.461) | (1.463) | (2.172) | (2.277) | (1.927) |
Net Asset Value, End of Period | $75.26 | $76.14 | $82.67 | $82.95 | $81.18 | $78.32 |
Total Return | 0.07% | -6.19% | 1.44% | 4.95% | 6.68% | 0.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $40,262 | $43,723 | $41,569 | $31,797 | $24,537 | $21,511 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.53% | 1.67% | 1.73% | 2.62% | 2.92% | 2.48% |
Portfolio Turnover Rate3 | 28% | 50% | 42% | 56% | 51% | 56% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Admiral 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 | $20.70 | $22.49 | $22.55 | $22.06 | $21.28 | $21.81 |
Investment Operations | ||||||
Net Investment Income1 | .253 | .351 | .385 | .578 | .625 | .532 |
Net Realized and Unrealized Gain (Loss) on Investments | (.248) | (1.741) | (.063) | .485 | .777 | (.531) |
Total from Investment Operations | .005 | (1.390) | .322 | 1.063 | 1.402 | .001 |
Distributions | ||||||
Dividends from Net Investment Income | (.255) | (.350) | (.382) | (.573) | (.622) | (.531) |
Distributions from Realized Capital Gains | — | (.050) | — | — | — | — |
Total Distributions | (.255) | (.400) | (.382) | (.573) | (.622) | (.531) |
Net Asset Value, End of Period | $20.45 | $20.70 | $22.49 | $22.55 | $22.06 | $21.28 |
Total Return2 | 0.03% | -6.24% | 1.44% | 4.90% | 6.70% | 0.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,300 | $4,647 | $5,435 | $4,703 | $4,312 | $3,533 |
Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.49% | 1.63% | 1.71% | 2.61% | 2.90% | 2.48% |
Portfolio Turnover Rate4 | 28% | 50% | 42% | 56% | 51% | 56% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
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 | $25.34 | $27.53 | $27.61 | $27.00 | $26.06 | $26.70 |
Investment Operations | ||||||
Net Investment Income1 | .313 | .436 | .473 | .713 | .768 | .656 |
Net Realized and Unrealized Gain (Loss) on Investments | (.298) | (2.131) | (.080) | .604 | .939 | (.641) |
Total from Investment Operations | .015 | (1.695) | .393 | 1.317 | 1.707 | .015 |
Distributions | ||||||
Dividends from Net Investment Income | (.315) | (.434) | (.473) | (.707) | (.767) | (.655) |
Distributions from Realized Capital Gains | — | (.061) | — | — | — | — |
Total Distributions | (.315) | (.495) | (.473) | (.707) | (.767) | (.655) |
Net Asset Value, End of Period | $25.04 | $25.34 | $27.53 | $27.61 | $27.00 | $26.06 |
Total Return | 0.07% | -6.21% | 1.44% | 4.96% | 6.66% | 0.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,331 | $2,239 | $2,258 | $1,661 | $1,633 | $1,706 |
Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.52% | 1.65% | 1.72% | 2.63% | 2.92% | 2.50% |
Portfolio Turnover Rate3 | 28% | 50% | 42% | 56% | 51% | 56% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 226,052 | — | 226,052 |
Corporate Bonds | — | 46,150,427 | — | 46,150,427 |
Temporary Cash Investments | 150,328 | — | — | 150,328 |
Total | 150,328 | 46,376,479 | — | 46,526,807 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | —1 | — | — | — |
Liabilities | ||||
Futures Contracts1 | 39 | — | — | 39 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Statement of Assets and Liabilities | Interest Rate Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Unrealized Appreciation—Centrally Cleared Swap Contracts1 | — | — | — |
Total Assets | — | — | — |
Unrealized Depreciation—Futures Contracts1 | 39 | — | 39 |
Total Liabilities | 39 | — | 39 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (3,906) | — | (3,906) |
Swap Contracts | — | — | — |
Realized Net Gain (Loss) on Derivatives | (3,906) | — | (3,906) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (87) | — | (87) |
Swap Contracts | — | — | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (87) | — | (87) |
Amount ($000) | |
Tax Cost | 49,503,017 |
Gross Unrealized Appreciation | 37,329 |
Gross Unrealized Depreciation | (3,013,578) |
Net Unrealized Appreciation (Depreciation) | (2,976,249) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 6,777,513 | 90,156 | 16,731,847 | 212,128 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (9,694,821) | (129,400) | (11,134,550) | (140,700) | |
Net Increase (Decrease)—ETF Shares | (2,917,308) | (39,244) | 5,597,297 | 71,428 | |
Admiral Shares | |||||
Issued | 826,635 | 40,403 | 1,793,345 | 83,336 | |
Issued in Lieu of Cash Distributions | 44,663 | 2,186 | 75,187 | 3,492 | |
Redeemed | (1,160,964) | (56,855) | (2,234,509) | (104,008) | |
Net Increase (Decrease)—Admiral Shares | (289,666) | (14,266) | (365,977) | (17,180) | |
Institutional Shares | |||||
Issued | 578,082 | 23,177 | 623,048 | 23,568 | |
Issued in Lieu of Cash Distributions | 28,173 | 1,126 | 39,344 | 1,494 | |
Redeemed | (489,466) | (19,554) | (495,939) | (18,721) | |
Net Increase (Decrease)—Institutional Shares | 116,789 | 4,749 | 166,453 | 6,341 |
Corporate Bonds – Communications | 8.1% |
Corporate Bonds – Consumer Discretionary | 6.1 |
Corporate Bonds – Consumer Staples | 7.3 |
Corporate Bonds – Energy | 6.1 |
Corporate Bonds – Financials | 30.7 |
Corporate Bonds – Health Care | 9.3 |
Corporate Bonds – Industrials | 6.3 |
Corporate Bonds – Materials | 3.0 |
Corporate Bonds – Real Estate | 6.5 |
Corporate Bonds – Technology | 8.8 |
Corporate Bonds – Utilities | 7.8 |
U.S. Government and Agency Obligations | 0.0 |
Coupon | Shares | Market Value• ($000) | ||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
5 | Vanguard Market Liquidity Fund (Cost $88,861) | 4.640% | 888,789 | 88,870 | ||
Total Investments (98.9%) (Cost $46,695,648) | 40,843,156 | |||||
Other Assets and Liabilities—Net (1.1%) | 433,765 | |||||
Net Assets (100%) | 41,276,921 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2023, the aggregate value was $887,258,000, representing 2.1% of net assets. |
3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2023. |
4 | Securities with a value of $2,945,000 have been segregated as initial margin for open futures contracts. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
DAC—Designated Activity Company. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | June 2023 | 292 | 31,260 | (2) |
Ultra 10-Year U.S. Treasury Note | June 2023 | 1,386 | 162,422 | (40) |
(42) | ||||
Short Futures Contracts | ||||
Long U.S. Treasury Bond | June 2023 | (54) | (6,762) | 41 |
(1) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $46,606,787) | 40,754,286 |
Affiliated Issuers (Cost $88,861) | 88,870 |
Total Investments in Securities | 40,843,156 |
Investment in Vanguard | 1,516 |
Cash | 3,878 |
Receivables for Investment Securities Sold | 1,423,074 |
Receivables for Accrued Income | 442,380 |
Receivables for Capital Shares Issued | 708 |
Total Assets | 42,714,712 |
Liabilities | |
Payables for Investment Securities Purchased | 1,435,542 |
Payables for Capital Shares Redeemed | 619 |
Payables for Distributions | 927 |
Payables to Vanguard | 603 |
Variation Margin Payable—Futures Contracts | 100 |
Total Liabilities | 1,437,791 |
Net Assets | 41,276,921 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 49,052,162 |
Total Distributable Earnings (Loss) | (7,775,241) |
Net Assets | 41,276,921 |
ETF Shares—Net Assets | |
Applicable to 511,614,337 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 39,857,937 |
Net Asset Value Per Share—ETF Shares | $77.91 |
Admiral Shares—Net Assets | |
Applicable to 54,470,595 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,142,363 |
Net Asset Value Per Share—Admiral Shares | $20.97 |
Institutional Shares—Net Assets | |
Applicable to 10,675,185 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 276,621 |
Net Asset Value Per Share—Institutional Shares | $25.91 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 696,961 |
Total Income | 696,961 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 518 |
Management and Administrative—ETF Shares | 5,636 |
Management and Administrative—Admiral Shares | 343 |
Management and Administrative—Institutional Shares | 63 |
Marketing and Distribution—ETF Shares | 1,120 |
Marketing and Distribution—Admiral Shares | 26 |
Marketing and Distribution—Institutional Shares | 5 |
Custodian Fees | 108 |
Shareholders’ Reports—ETF Shares | 564 |
Shareholders’ Reports—Admiral Shares | 5 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 9 |
Other Expenses | 16 |
Total Expenses | 8,413 |
Expenses Paid Indirectly | (105) |
Net Expenses | 8,308 |
Net Investment Income | 688,653 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (1,247,021) |
Futures Contracts | 70 |
Realized Net Gain (Loss) | (1,246,951) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 236,593 |
Futures Contracts | (1,206) |
Change in Unrealized Appreciation (Depreciation) | 235,387 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (322,911) |
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 $1,489,000, $5,000, less than $1,000, and $7,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes ($477,635,000) of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 688,653 | 1,152,633 | |
Realized Net Gain (Loss) | (1,246,951) | (1,034,828) | |
Change in Unrealized Appreciation (Depreciation) | 235,387 | (7,147,932) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (322,911) | (7,030,127) | |
Distributions | |||
ETF Shares | (662,818) | (1,391,106) | |
Admiral Shares | (18,743) | (42,805) | |
Institutional Shares | (4,816) | (11,765) | |
Total Distributions | (686,377) | (1,445,676) | |
Capital Share Transactions | |||
ETF Shares | (228,174) | 2,345,913 | |
Admiral Shares | 31,685 | (199,618) | |
Institutional Shares | (52,416) | (38,320) | |
Net Increase (Decrease) from Capital Share Transactions | (248,905) | 2,107,975 | |
Total Increase (Decrease) | (1,258,193) | (6,367,828) | |
Net Assets | |||
Beginning of Period | 42,535,114 | 48,902,942 | |
End of Period | 41,276,921 | 42,535,114 |
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 | $79.83 | $95.57 | $95.98 | $91.82 | $84.02 | $88.35 |
Investment Operations | ||||||
Net Investment Income1 | 1.309 | 2.171 | 2.163 | 2.761 | 3.132 | 2.935 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.920) | (15.176) | (.205) | 4.205 | 7.768 | (4.362) |
Total from Investment Operations | (.611) | (13.005) | 1.958 | 6.966 | 10.900 | (1.427) |
Distributions | ||||||
Dividends from Net Investment Income | (1.309) | (2.141) | (2.169) | (2.806) | (3.100) | (2.903) |
Distributions from Realized Capital Gains | — | (.594) | (.199) | — | — | — |
Total Distributions | (1.309) | (2.735) | (2.368) | (2.806) | (3.100) | (2.903) |
Net Asset Value, End of Period | $77.91 | $79.83 | $95.57 | $95.98 | $91.82 | $84.02 |
Total Return | -0.76% | -13.86% | 2.08% | 7.78% | 13.33% | -1.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $39,858 | $41,058 | $46,873 | $38,944 | $24,080 | $19,302 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 3.39% | 2.48% | 2.27% | 2.99% | 3.65% | 3.44% |
Portfolio Turnover Rate3 | 32% | 58% | 53% | 72% | 59% | 65% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Admiral 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 | $21.49 | $25.75 | $25.86 | $24.71 | $22.61 | $23.78 |
Investment Operations | ||||||
Net Investment Income1 | .350 | .577 | .578 | .747 | .839 | .792 |
Net Realized and Unrealized Gain (Loss) on Investments | (.518) | (4.098) | (.062) | 1.138 | 2.097 | (1.175) |
Total from Investment Operations | (.168) | (3.521) | .516 | 1.885 | 2.936 | (.383) |
Distributions | ||||||
Dividends from Net Investment Income | (.352) | (.579) | (.572) | (.735) | (.836) | (.787) |
Distributions from Realized Capital Gains | — | (.160) | (.054) | — | — | — |
Total Distributions | (.352) | (.739) | (.626) | (.735) | (.836) | (.787) |
Net Asset Value, End of Period | $20.97 | $21.49 | $25.75 | $25.86 | $24.71 | $22.61 |
Total Return2 | -0.77% | -13.90% | 2.03% | 7.79% | 13.30% | -1.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,142 | $1,139 | $1,587 | $1,549 | $1,381 | $1,076 |
Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 3.36% | 2.44% | 2.25% | 3.01% | 3.63% | 3.44% |
Portfolio Turnover Rate4 | 32% | 58% | 53% | 72% | 59% | 65% |
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 transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
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 | $26.56 | $31.82 | $31.95 | $30.53 | $27.94 | $29.38 |
Investment Operations | ||||||
Net Investment Income1 | .434 | .720 | .720 | .940 | 1.044 | .983 |
Net Realized and Unrealized Gain (Loss) on Investments | (.647) | (5.061) | (.070) | 1.394 | 2.584 | (1.446) |
Total from Investment Operations | (.213) | (4.341) | .650 | 2.334 | 3.628 | (.463) |
Distributions | ||||||
Dividends from Net Investment Income | (.437) | (.721) | (.714) | (.914) | (1.038) | (.977) |
Distributions from Realized Capital Gains | — | (.198) | (.066) | — | — | — |
Total Distributions | (.437) | (.919) | (.780) | (.914) | (1.038) | (.977) |
Net Asset Value, End of Period | $25.91 | $26.56 | $31.82 | $31.95 | $30.53 | $27.94 |
Total Return2 | -0.78% | -13.87% | 2.07% | 7.81% | 13.30% | -1.57% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $277 | $338 | $443 | $357 | $406 | $492 |
Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 3.37% | 2.46% | 2.27% | 3.07% | 3.65% | 3.46% |
Portfolio Turnover Rate4 | 32% | 58% | 53% | 72% | 59% | 65% |
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 transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 19,146 | — | 19,146 |
Corporate Bonds | — | 40,735,140 | — | 40,735,140 |
Temporary Cash Investments | 88,870 | — | — | 88,870 |
Total | 88,870 | 40,754,286 | — | 40,843,156 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 41 | — | — | 41 |
Liabilities | ||||
Futures Contracts1 | 42 | — | — | 42 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount ($000) | |
Tax Cost | 46,706,593 |
Gross Unrealized Appreciation | 73,820 |
Gross Unrealized Depreciation | (5,937,258) |
Net Unrealized Appreciation (Depreciation) | (5,863,438) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued1 | 6,625,626 | 85,617 | 14,929,685 | 172,762 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (6,853,800) | (88,300) | (12,583,772) | (148,900) | |
Net Increase (Decrease)—ETF Shares | (228,174) | (2,683) | 2,345,913 | 23,862 | |
Admiral Shares | |||||
Issued1 | 137,078 | 6,499 | 209,913 | 8,814 | |
Issued in Lieu of Cash Distributions | 14,797 | 707 | 34,023 | 1,432 | |
Redeemed | (120,190) | (5,729) | (443,554) | (18,893) | |
Net Increase (Decrease)—Admiral Shares | 31,685 | 1,477 | (199,618) | (8,647) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued1 | 187 | 7 | 56,884 | 1,961 | |
Issued in Lieu of Cash Distributions | 3,193 | 123 | 8,074 | 277 | |
Redeemed | (55,796) | (2,194) | (103,278) | (3,421) | |
Net Increase (Decrease)—Institutional Shares | (52,416) | (2,064) | (38,320) | (1,183) |
1 | Includes purchase fees for fiscal 2023 and 2022 of $344,000 and $653,000, respectively (fund totals). |
Corporate Bonds – Communications | 12.6% |
Corporate Bonds – Consumer Discretionary | 6.0 |
Corporate Bonds – Consumer Staples | 7.8 |
Corporate Bonds – Energy | 9.0 |
Corporate Bonds – Financials | 14.1 |
Corporate Bonds – Health Care | 15.2 |
Corporate Bonds – Industrials | 8.6 |
Corporate Bonds – Materials | 3.7 |
Corporate Bonds – Real Estate | 1.3 |
Corporate Bonds – Technology | 9.3 |
Corporate Bonds – Utilities | 12.3 |
U.S. Government and Agency Obligations | 0.1 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Long U.S. Treasury Bond | June 2023 | 128 | 16,028 | (12) |
Short Futures Contracts | ||||
Ultra 10-Year U.S. Treasury Note | June 2023 | (160) | (18,750) | 19 |
Ultra Long U.S. Treasury Bond | June 2023 | (27) | (3,647) | (3) |
16 | ||||
4 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $7,035,918) | 5,727,310 |
Affiliated Issuers (Cost $38,115) | 38,117 |
Total Investments in Securities | 5,765,427 |
Investment in Vanguard | 213 |
Cash | 3,046 |
Receivables for Investment Securities Sold | 79,370 |
Receivables for Accrued Income | 83,097 |
Receivables for Capital Shares Issued | 86 |
Variation Margin Receivable—Futures Contracts | 14 |
Total Assets | 5,931,253 |
Liabilities | |
Payables for Investment Securities Purchased | 106,281 |
Payables for Capital Shares Redeemed | 534 |
Payables for Distributions | 385 |
Payables to Vanguard | 89 |
Total Liabilities | 107,289 |
Net Assets | 5,823,964 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 7,515,495 |
Total Distributable Earnings (Loss) | (1,691,531) |
Net Assets | 5,823,964 |
ETF Shares—Net Assets | |
Applicable to 68,446,377 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,234,916 |
Net Asset Value Per Share—ETF Shares | $76.48 |
Admiral Shares—Net Assets | |
Applicable to 14,192,077 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 290,572 |
Net Asset Value Per Share—Admiral Shares | $20.47 |
Institutional Shares—Net Assets | |
Applicable to 11,748,587 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 298,476 |
Net Asset Value Per Share—Institutional Shares | $25.41 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 124,252 |
Total Income | 124,252 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 71 |
Management and Administrative—ETF Shares | 664 |
Management and Administrative—Admiral Shares | 85 |
Management and Administrative—Institutional Shares | 63 |
Marketing and Distribution—ETF Shares | 138 |
Marketing and Distribution—Admiral Shares | 8 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 48 |
Shareholders’ Reports—ETF Shares | 54 |
Shareholders’ Reports—Admiral Shares | 2 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 18 |
Total Expenses | 1,156 |
Expenses Paid Indirectly | (47) |
Net Expenses | 1,109 |
Net Investment Income | 123,143 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (254,816) |
Futures Contracts | (578) |
Realized Net Gain (Loss) | (255,394) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (19,063) |
Futures Contracts | 3 |
Change in Unrealized Appreciation (Depreciation) | (19,060) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (151,311) |
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 $426,000, $3,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes ($131,606,000) of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 123,143 | 189,807 | |
Realized Net Gain (Loss) | (255,394) | (185,003) | |
Change in Unrealized Appreciation (Depreciation) | (19,060) | (1,393,901) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (151,311) | (1,389,097) | |
Distributions | |||
ETF Shares | (107,100) | (167,480) | |
Admiral Shares | (6,484) | (9,804) | |
Institutional Shares | (6,597) | (10,486) | |
Total Distributions | (120,181) | (187,770) | |
Capital Share Transactions | |||
ETF Shares | 935,165 | 432,025 | |
Admiral Shares | 31,911 | 42,334 | |
Institutional Shares | 46,570 | 13,539 | |
Net Increase (Decrease) from Capital Share Transactions | 1,013,646 | 487,898 | |
Total Increase (Decrease) | 742,154 | (1,088,969) | |
Net Assets | |||
Beginning of Period | 5,081,810 | 6,170,779 | |
End of Period | 5,823,964 | 5,081,810 |
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 | $80.54 | $108.31 | $107.01 | $102.86 | $88.35 | $94.07 |
Investment Operations | ||||||
Net Investment Income1 | 1.785 | 3.286 | 3.294 | 3.701 | 3.936 | 3.880 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (4.085) | (27.794) | 1.288 | 4.189 | 14.458 | (5.722) |
Total from Investment Operations | (2.300) | (24.508) | 4.582 | 7.890 | 18.394 | (1.842) |
Distributions | ||||||
Dividends from Net Investment Income | (1.760) | (3.262) | (3.282) | (3.740) | (3.884) | (3.878) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.760) | (3.262) | (3.282) | (3.740) | (3.884) | (3.878) |
Net Asset Value, End of Period | $76.48 | $80.54 | $108.31 | $107.01 | $102.86 | $88.35 |
Total Return | -2.85% | -23.06% | 4.39% | 7.90% | 21.60% | -2.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,235 | $4,545 | $5,517 | $5,214 | $4,074 | $2,509 |
Ratio of Total Expenses to Average Net Assets | 0.04%3 | 0.04%3 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 4.69% | 3.47% | 3.10% | 3.60% | 4.36% | 4.26% |
Portfolio Turnover Rate4 | 17% | 31% | 36% | 62% | 47% | 48% |
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, $.01, $.03, $.00, $.00, and $.09. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Admiral 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 | $21.56 | $29.03 | $28.68 | $27.55 | $23.65 | $25.18 |
Investment Operations | ||||||
Net Investment Income1 | .476 | .875 | .877 | .988 | 1.053 | 1.043 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (1.097) | (7.473) | .345 | 1.125 | 3.895 | (1.536) |
Total from Investment Operations | (.621) | (6.598) | 1.222 | 2.113 | 4.948 | (.493) |
Distributions | ||||||
Dividends from Net Investment Income | (.469) | (.872) | (.872) | (.983) | (1.048) | (1.037) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.469) | (.872) | (.872) | (.983) | (1.048) | (1.037) |
Net Asset Value, End of Period | $20.47 | $21.56 | $29.03 | $28.68 | $27.55 | $23.65 |
Total Return3 | -2.85% | -23.10% | 4.37% | 7.87% | 21.64% | -2.00% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $291 | $272 | $314 | $320 | $256 | $186 |
Ratio of Total Expenses to Average Net Assets | 0.07%4 | 0.07%4 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 4.65% | 3.44% | 3.08% | 3.58% | 4.34% | 4.26% |
Portfolio Turnover Rate5 | 17% | 31% | 36% | 62% | 47% | 48% |
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, $.01, $.00, $.00, and $.03. |
3 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
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 | $26.76 | $36.02 | $35.59 | $34.18 | $29.36 | $31.25 |
Investment Operations | ||||||
Net Investment Income1 | .593 | 1.092 | 1.095 | 1.250 | 1.314 | 1.299 |
Net Realized and Unrealized Gain (Loss) on Investments2 | (1.358) | (9.264) | .425 | 1.387 | 4.812 | (1.895) |
Total from Investment Operations | (.765) | (8.172) | 1.520 | 2.637 | 6.126 | (.596) |
Distributions | ||||||
Dividends from Net Investment Income | (.585) | (1.088) | (1.090) | (1.227) | (1.306) | (1.294) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.585) | (1.088) | (1.090) | (1.227) | (1.306) | (1.294) |
Net Asset Value, End of Period | $25.41 | $26.76 | $36.02 | $35.59 | $34.18 | $29.36 |
Total Return3 | -2.83% | -23.05% | 4.37% | 7.91% | 21.58% | -1.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $298 | $264 | $340 | $268 | $541 | $786 |
Ratio of Total Expenses to Average Net Assets | 0.05%4 | 0.05%4 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 4.67% | 3.46% | 3.09% | 3.68% | 4.36% | 4.28% |
Portfolio Turnover Rate5 | 17% | 31% | 36% | 62% | 47% | 48% |
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, $.01, $.00, $.00, and $.03. |
3 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 4,187 | — | 4,187 |
Corporate Bonds | — | 5,723,123 | — | 5,723,123 |
Temporary Cash Investments | 38,117 | — | — | 38,117 |
Total | 38,117 | 5,727,310 | — | 5,765,427 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 19 | — | — | 19 |
Liabilities | ||||
Futures Contracts1 | 15 | — | — | 15 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount ($000) | |
Tax Cost | 7,077,470 |
Gross Unrealized Appreciation | 21,770 |
Gross Unrealized Depreciation | (1,333,809) |
Net Unrealized Appreciation (Depreciation) | (1,312,039) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued1 | 2,710,026 | 35,113 | 4,419,636 | 47,501 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,774,861) | (23,100) | (3,987,611) | (42,000) | |
Net Increase (Decrease)—ETF Shares | 935,165 | 12,013 | 432,025 | 5,501 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued1 | 53,700 | 2,622 | 99,673 | 4,069 | |
Issued in Lieu of Cash Distributions | 4,204 | 206 | 7,137 | 287 | |
Redeemed | (25,993) | (1,261) | (64,476) | (2,565) | |
Net Increase (Decrease)—Admiral Shares | 31,911 | 1,567 | 42,334 | 1,791 | |
Institutional Shares | |||||
Issued1 | 50,144 | 1,998 | 15,822 | 511 | |
Issued in Lieu of Cash Distributions | 6,597 | 260 | 10,486 | 339 | |
Redeemed | (10,171) | (389) | (12,769) | (401) | |
Net Increase (Decrease)—Institutional Shares | 46,570 | 1,869 | 13,539 | 449 |
1 | Includes purchase fees for fiscal 2023 and 2022 of $1,047,000 and $706,000, respectively (fund totals). |
• | 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, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Mortgage-Backed Securities Index Fund | |||
ETF Shares | $1,000.00 | $976.90 | $0.20 |
Admiral™ Shares | 1,000.00 | 976.50 | 0.34 |
Institutional Shares | 1,000.00 | 976.70 | 0.25 |
Based on Hypothetical 5% Yearly Return | |||
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 |
0 - 10 Years | 2.5% |
10 - 20 Years | 16.2 |
20 - 30 Years | 81.1 |
30 - 40 Years | 0.2 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (99.5%) | ||||||
Conventional Mortgage-Backed Securities (99.5%) | ||||||
1,2 | Freddie Mac Gold Pool | 2.000% | 1/1/28–12/1/31 | 4,606 | 4,235 | |
1,2 | Freddie Mac Gold Pool | 2.500% | 5/1/23–2/1/43 | 71,869 | 66,699 | |
1,2 | Freddie Mac Gold Pool | 3.000% | 1/1/26–6/1/49 | 249,863 | 228,208 | |
1,2 | Freddie Mac Gold Pool | 3.500% | 9/1/25–2/1/49 | 240,714 | 224,834 | |
1,2 | Freddie Mac Gold Pool | 4.000% | 3/1/24–6/1/49 | 154,325 | 148,305 | |
1,2 | Freddie Mac Gold Pool | 4.500% | 3/1/23–11/1/48 | 70,999 | 70,151 | |
1,2 | Freddie Mac Gold Pool | 5.000% | 3/1/23–11/1/48 | 22,362 | 22,487 | |
1,2 | Freddie Mac Gold Pool | 5.500% | 10/1/26–6/1/41 | 20,083 | 20,300 | |
1,2 | Freddie Mac Gold Pool | 6.000% | 1/1/24–5/1/40 | 10,479 | 10,854 | |
1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 92 | 96 | |
1 | Ginnie Mae I Pool | 2.500% | 6/15/27–6/15/28 | 142 | 130 | |
1 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/45 | 12,385 | 11,125 | |
1 | Ginnie Mae I Pool | 3.500% | 2/15/26–9/15/49 | 21,105 | 19,870 | |
1 | Ginnie Mae I Pool | 4.000% | 7/15/24–6/15/49 | 15,005 | 14,350 | |
1 | Ginnie Mae I Pool | 4.500% | 8/15/33–7/15/49 | 20,100 | 19,909 | |
1 | Ginnie Mae I Pool | 5.000% | 3/15/34–4/15/41 | 8,541 | 8,676 | |
1 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 61 | 61 | |
1 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 1 | 1 | |
1 | Ginnie Mae II Pool | 1.500% | 2/20/51–12/20/51 | 17,183 | 13,819 | |
1,3,4 | Ginnie Mae II Pool | 2.000% | 8/20/50–3/15/53 | 732,551 | 614,192 | |
1,3,4 | Ginnie Mae II Pool | 2.500% | 6/20/27–3/15/53 | 739,555 | 642,343 | |
1,4 | Ginnie Mae II Pool | 3.000% | 10/20/26–3/15/53 | 739,879 | 666,331 | |
1,4 | Ginnie Mae II Pool | 3.500% | 12/20/25–3/15/53 | 561,705 | 523,269 | |
1 | Ginnie Mae II Pool | 4.000% | 9/20/25–2/20/53 | 386,293 | 369,658 | |
1,4 | Ginnie Mae II Pool | 4.500% | 2/20/39–3/15/53 | 298,626 | 291,879 | |
1,4 | Ginnie Mae II Pool | 5.000% | 2/20/39–3/15/53 | 186,337 | 185,605 | |
1,4 | Ginnie Mae II Pool | 5.500% | 2/20/49–3/15/53 | 99,722 | 100,020 | |
1,4 | Ginnie Mae II Pool | 6.000% | 3/15/53 | 48,660 | 49,359 | |
1,4 | Ginnie Mae II Pool | 6.500% | 10/20/28–3/15/53 | 22,774 | 23,303 | |
1 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 30 | 33 | |
1,2 | UMBS Pool | 1.500% | 7/1/35–9/1/51 | 950,463 | 770,241 | |
1,2,4 | UMBS Pool | 2.000% | 4/1/23–3/25/53 | 3,993,993 | 3,322,040 | |
1,2,4 | UMBS Pool | 2.500% | 3/1/27–3/25/53 | 2,859,446 | 2,463,516 | |
1,2,4 | UMBS Pool | 3.000% | 10/1/26–3/25/53 | 1,831,543 | 1,642,765 | |
1,2,4 | UMBS Pool | 3.500% | 8/1/25–3/25/53 | 1,150,394 | 1,068,769 | |
1,2,4 | UMBS Pool | 4.000% | 4/1/23–3/25/53 | 918,400 | 875,037 | |
1,2,4 | UMBS Pool | 4.500% | 4/1/23–3/25/53 | 661,549 | 643,143 | |
1,2,4 | UMBS Pool | 5.000% | 8/1/23–3/25/53 | 467,607 | 463,683 | |
1,2,4 | UMBS Pool | 5.500% | 11/1/24–3/25/53 | 274,045 | 276,478 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2,4 | UMBS Pool | 6.000% | 5/1/23–3/25/53 | 142,360 | 145,360 | |
1,2,4 | UMBS Pool | 6.500% | 1/1/53–3/25/53 | 51,635 | 53,115 | |
1,2,4 | UMBS Pool | 7.000% | 10/1/33–3/25/38 | 6,140 | 6,346 | |
16,080,595 | ||||||
Nonconventional Mortgage-Backed Securities (0.0%) | ||||||
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.290% | 3.116% | 12/1/41 | 17 | 17 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.310% | 3.560% | 9/1/37 | 10 | 10 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.477% | 3.585% | 3/1/43 | 86 | 87 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.552% | 3.802% | 10/1/37 | 17 | 18 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.560% | 2.319% | 7/1/43 | 196 | 196 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.592% | 3.627% | 6/1/43 | 23 | 24 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.627% | 4.127% | 3/1/38 | 2 | 2 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.669% | 3.864% | 10/1/42 | 32 | 32 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.690% | 3.940% | 10/1/39–9/1/42 | 123 | 124 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.693% | 3.866% | 8/1/39 | 17 | 17 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.700% | 3.950% | 12/1/40 | 36 | 36 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.724% | 3.322% | 5/1/42 | 10 | 10 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.739% | 3.919% | 11/1/39 | 5 | 5 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.774% | 3.884% | 5/1/42 | 7 | 7 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.794% | 3.725% | 3/1/42 | 16 | 16 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.797% | 4.098% | 8/1/42 | 40 | 40 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.805% | 4.055% | 11/1/41 | 23 | 23 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.810% | 4.060% | 10/1/40–12/1/40 | 1 | 2 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.812% | 4.193% | 3/1/41 | 23 | 23 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.813% | 4.063% | 11/1/41 | 4 | 4 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.813% | 4.074% | 1/1/42 | 29 | 29 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.815% | 3.447% | 5/1/41 | 11 | 11 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.815% | 4.065% | 11/1/40–12/1/41 | 22 | 23 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.826% | 3.759% | 2/1/42 | 25 | 25 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.830% | 4.308% | 4/1/41 | 15 | 15 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.834% | 4.153% | 2/1/41 | 1 | 1 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.835% | 3.210% | 5/1/40 | 1 | 1 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.835% | 4.117% | 1/1/40 | 1 | 1 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.838% | 4.012% | 9/1/40 | 23 | 23 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.839% | 4.089% | 12/1/39 | 33 | 33 | |
1,2,5 | Fannie Mae Pool, 12M USD LIBOR + 1.914% | 3.289% | 4/1/37 | 3 | 3 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% | 3.890% | 11/1/43 | 43 | 44 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660% | 3.910% | 10/1/37 | 2 | 2 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695% | 3.159% | 2/1/37 | 8 | 9 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745% | 3.995% | 12/1/40 | 5 | 5 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.846% | 4.141% | 2/1/42 | 7 | 7 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% | 3.864% | 6/1/41 | 11 | 11 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.881% | 3.601% | 6/1/40 | 3 | 3 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.891% | 4.141% | 9/1/40 | 8 | 8 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.898% | 4.149% | 12/1/39 | 4 | 4 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% | 4.150% | 6/1/40 | 1 | 1 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% | 2.410% | 2/1/41 | 1 | 1 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% | 2.700% | 2/1/41 | 25 | 25 | |
1,2,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085% | 2.585% | 3/1/38 | 5 | 5 | |
1,5 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.625% | 1/20/41–8/20/41 | 134 | 130 | |
1,5 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.750% | 11/20/40–12/20/42 | 110 | 107 | |
1,5 | Ginnie Mae II Pool, 1YR CMT + 1.500% | 2.875% | 4/20/41 | 2 | 2 | |
1,5 | Ginnie Mae II Pool, 1YR CMT + 2.000% | 3.375% | 5/20/41 | 1 | 1 | |
1,5 | Ginnie Mae II Pool, 1YR CMT + 2.000% | 4.250% | 11/20/40 | 2 | 2 | |
1,225 | ||||||
Total U.S. Government and Agency Obligations (Cost $18,117,612) | 16,081,820 | |||||
Shares | ||||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
6 | Vanguard Market Liquidity Fund (Cost $245,909) | 4.640% | 2,459,621 | 245,937 | ||
Total Investments (101.0%) (Cost $18,363,521) | 16,327,757 | |||||
Other Assets and Liabilities—Net (-1.0%) | (158,593) | |||||
Net Assets (100%) | 16,169,164 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
3 | Securities with a value of $5,419,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
4 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2023. |
5 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12M—12-month. | |
1YR—1-year. | |
CMT—Constant Maturing Treasury Rate. | |
LIBOR—London Interbank Offered Rate. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $18,117,612) | 16,081,820 |
Affiliated Issuers (Cost $245,909) | 245,937 |
Total Investments in Securities | 16,327,757 |
Investment in Vanguard | 587 |
Receivables for Investment Securities Sold | 554,778 |
Receivables for Accrued Income | 44,141 |
Receivables for Capital Shares Issued | 11,500 |
Total Assets | 16,938,763 |
Liabilities | |
Due to Custodian | 803 |
Payables for Investment Securities Purchased | 765,387 |
Payables for Capital Shares Redeemed | 2,471 |
Payables for Distributions | 693 |
Payables to Vanguard | 245 |
Total Liabilities | 769,599 |
Net Assets | 16,169,164 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 18,416,103 |
Total Distributable Earnings (Loss) | (2,246,939) |
Net Assets | 16,169,164 |
ETF Shares—Net Assets | |
Applicable to 323,353,308 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 14,806,058 |
Net Asset Value Per Share—ETF Shares | $45.79 |
Admiral Shares—Net Assets | |
Applicable to 62,377,458 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,139,856 |
Net Asset Value Per Share—Admiral Shares | $18.27 |
Institutional Shares—Net Assets | |
Applicable to 9,016,133 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 223,250 |
Net Asset Value Per Share—Institutional Shares | $24.76 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 231,117 |
Total Income | 231,117 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 200 |
Management and Administrative—ETF Shares | 1,867 |
Management and Administrative—Admiral Shares | 333 |
Management and Administrative—Institutional Shares | 43 |
Marketing and Distribution—ETF Shares | 322 |
Marketing and Distribution—Admiral Shares | 31 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 64 |
Shareholders’ Reports—ETF Shares | 462 |
Shareholders’ Reports—Admiral Shares | 26 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 3 |
Other Expenses | 7 |
Total Expenses | 3,362 |
Expenses Paid Indirectly | (49) |
Net Expenses | 3,313 |
Net Investment Income | 227,804 |
Realized Net Gain (Loss) on Investment Securities Sold1 | (112,087) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (472,432) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (356,715) |
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 $5,762,000, $183,000, $1,000, and ($87,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 227,804 | 269,246 | |
Realized Net Gain (Loss) | (112,087) | (124,045) | |
Change in Unrealized Appreciation (Depreciation) | (472,432) | (1,756,647) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (356,715) | (1,611,446) | |
Distributions | |||
ETF Shares | (200,847) | (229,467) | |
Admiral Shares | (16,601) | (21,594) | |
Institutional Shares | (3,046) | (2,331) | |
Total Distributions | (220,494) | (253,392) | |
Capital Share Transactions | |||
ETF Shares | 924,758 | 1,036,092 | |
Admiral Shares | (32,445) | (37,825) | |
Institutional Shares | 50,961 | 73,757 | |
Net Increase (Decrease) from Capital Share Transactions | 943,274 | 1,072,024 | |
Total Increase (Decrease) | 366,065 | (792,814) | |
Net Assets | |||
Beginning of Period | 15,803,099 | 16,595,913 | |
End of Period | 16,169,164 | 15,803,099 |
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 | $47.53 | $53.47 | $54.36 | $53.26 | $51.38 | $53.00 |
Investment Operations | ||||||
Net Investment Income1 | .663 | .842 | .581 | 1.197 | 1.564 | 1.325 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.760) | (5.995) | (.768) | 1.146 | 1.859 | (1.683) |
Total from Investment Operations | (1.097) | (5.153) | (.187) | 2.343 | 3.423 | (.358) |
Distributions | ||||||
Dividends from Net Investment Income | (.643) | (.787) | (.594) | (1.243) | (1.543) | (1.262) |
Distributions from Realized Capital Gains | — | — | (.109) | — | — | — |
Total Distributions | (.643) | (.787) | (.703) | (1.243) | (1.543) | (1.262) |
Net Asset Value, End of Period | $45.79 | $47.53 | $53.47 | $54.36 | $53.26 | $51.38 |
Total Return | -2.31% | -9.71% | -0.35% | 4.45% | 6.80% | -0.67% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,806 | $14,405 | $15,055 | $11,643 | $10,316 | $7,193 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.05% | 0.05% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.91% | 1.67% | 1.08% | 2.22% | 3.01% | 2.56% |
Portfolio Turnover Rate3 | 53% | 170% | 316% | 218% | 190% | 279% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
3 | Includes 39%, 113%, 237%, 11%, 34%, and 78%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral 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 | $18.98 | $21.37 | $21.72 | $21.26 | $20.51 | $21.17 |
Investment Operations | ||||||
Net Investment Income1 | .262 | .328 | .211 | .470 | .622 | .528 |
Net Realized and Unrealized Gain (Loss) on Investments | (.710) | (2.391) | (.292) | .463 | .742 | (.674) |
Total from Investment Operations | (.448) | (2.063) | (.081) | .933 | 1.364 | (.146) |
Distributions | ||||||
Dividends from Net Investment Income | (.262) | (.327) | (.225) | (.473) | (.614) | (.514) |
Distributions from Realized Capital Gains | — | — | (.044) | — | — | — |
Total Distributions | (.262) | (.327) | (.269) | (.473) | (.614) | (.514) |
Net Asset Value, End of Period | $18.27 | $18.98 | $21.37 | $21.72 | $21.26 | $20.51 |
Total Return2 | -2.35% | -9.72% | -0.38% | 4.43% | 6.77% | -0.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,140 | $1,219 | $1,419 | $1,159 | $841 | $725 |
Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.88% | 1.62% | 0.98% | 2.18% | 2.99% | 2.56% |
Portfolio Turnover Rate4 | 53% | 170% | 316% | 218% | 190% | 279% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
4 | Includes 39%, 113%, 237%, 11%, 34%, and 78%, respectively, attributable to mortgage-dollar-roll activity. |
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 | $25.72 | $28.96 | $29.44 | $28.81 | $27.79 | $28.69 |
Investment Operations | ||||||
Net Investment Income1 | .360 | .467 | .393 | .641 | .846 | .721 |
Net Realized and Unrealized Gain (Loss) on Investments | (.962) | (3.258) | (.503) | .636 | 1.011 | (.920) |
Total from Investment Operations | (.602) | (2.791) | (.110) | 1.277 | 1.857 | (.199) |
Distributions | ||||||
Dividends from Net Investment Income | (.358) | (.449) | (.311) | (.647) | (.837) | (.701) |
Distributions from Realized Capital Gains | — | — | (.059) | — | — | — |
Total Distributions | (.358) | (.449) | (.370) | (.647) | (.837) | (.701) |
Net Asset Value, End of Period | $24.76 | $25.72 | $28.96 | $29.44 | $28.81 | $27.79 |
Total Return | -2.33% | -9.70% | -0.38% | 4.48% | 6.80% | -0.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $223 | $179 | $122 | $171 | $119 | $70 |
Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.92% | 1.71% | 1.35% | 2.20% | 3.01% | 2.58% |
Portfolio Turnover Rate3 | 53% | 170% | 316% | 218% | 190% | 279% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
3 | Includes 39%, 113%, 237%, 11%, 34%, and 78%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 16,081,820 | — | 16,081,820 |
Temporary Cash Investments | 245,937 | — | — | 245,937 |
Total | 245,937 | 16,081,820 | — | 16,327,757 |
Amount ($000) | |
Tax Cost | 18,376,921 |
Gross Unrealized Appreciation | 17,069 |
Gross Unrealized Depreciation | (2,066,233) |
Net Unrealized Appreciation (Depreciation) | (2,049,164) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,351,143 | 29,727 | 3,012,787 | 60,434 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (426,385) | (9,425) | (1,976,695) | (38,950) | |
Net Increase (Decrease)—ETF Shares | 924,758 | 20,302 | 1,036,092 | 21,484 | |
Admiral Shares | |||||
Issued | 259,396 | 14,124 | 518,758 | 25,847 | |
Issued in Lieu of Cash Distributions | 12,701 | 696 | 16,300 | 816 | |
Redeemed | (304,542) | (16,669) | (572,883) | (28,821) | |
Net Increase (Decrease)—Admiral Shares | (32,445) | (1,849) | (37,825) | (2,158) | |
Institutional Shares | |||||
Issued | 56,334 | 2,278 | 95,097 | 3,492 | |
Issued in Lieu of Cash Distributions | 3,046 | 123 | 2,331 | 87 | |
Redeemed | (8,419) | (338) | (23,671) | (853) | |
Net Increase (Decrease)—Institutional Shares | 50,961 | 2,063 | 73,757 | 2,726 |
• | 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, 2023 | |||
Total Corporate Bond ETF | Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $990.50 | $0.20 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.60 | 0.20 |
Vanguard Short-Term Corporate Bond ETF | 38.7% |
Vanguard Long-Term Corporate Bond ETF | 33.9 |
Vanguard Intermediate-Term Corporate Bond ETF | 27.4 |
Shares | Market Value• ($000) | |||||
Investment Companies (100.0%) | ||||||
U.S. Bond Funds (100.0%) | ||||||
Vanguard Short-Term Corporate Bond ETF | 4,837,854 | 364,194 | ||||
Vanguard Long-Term Corporate Bond ETF | 4,162,716 | 318,448 | ||||
Vanguard Intermediate-Term Corporate Bond ETF | 3,303,687 | 257,555 | ||||
Total Investment Companies (Cost $1,053,968) | 940,197 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 4.640% (Cost $414) | 4,145 | 414 | |||
Total Investments (100.0%) (Cost $1,054,382) | 940,611 | |||||
Other Assets and Liabilities—Net (0.0%) | (17) | |||||
Net Assets (100%) | 940,594 |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $1,054,382) | 940,611 |
Receivables for Investment Securities Sold | 563 |
Receivables for Accrued Income | 1 |
Total Assets | 941,175 |
Liabilities | |
Due to Custodian | 15 |
Payables for Investment Securities Purchased | 566 |
Total Liabilities | 581 |
Net Assets | 940,594 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 1,065,434 |
Total Distributable Earnings (Loss) | (124,840) |
Net Assets | 940,594 |
Net Assets | |
Applicable to 12,610,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 940,594 |
Net Asset Value Per Share | $74.59 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 12,575 |
Net Investment Income—Note B | 12,575 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | — |
Affiliated Funds Sold1 | (5,756) |
Realized Net Gain (Loss) | (5,756) |
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds | (4,680) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,139 |
1 | Includes $56,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 12,575 | 16,032 | |
Realized Net Gain (Loss) | (5,756) | (9,016) | |
Change in Unrealized Appreciation (Depreciation) | (4,680) | (111,968) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,139 | (104,952) | |
Distributions | |||
Total Distributions | (12,581) | (16,149) | |
Capital Share Transactions | |||
Issued | 386,702 | 108,869 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (14,735) | (103,767) | |
Net Increase (Decrease) from Capital Share Transactions | 371,967 | 5,102 | |
Total Increase (Decrease) | 361,525 | (115,999) | |
Net Assets | |||
Beginning of Period | 579,069 | 695,068 | |
End of Period | 940,594 | 579,069 |
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | November 7, 20171 to August 31, 2018 | |||
2022 | 2021 | 2020 | 2019 | |||
Net Asset Value, Beginning of Period | $76.60 | $92.55 | $92.62 | $89.19 | $81.59 | $85.00 |
Investment Operations | ||||||
Net Investment Income2 | 1.236 | 2.141 | 2.229 | 2.638 | 2.825 | 2.081 |
Capital Gain Distributions Received2 | — | .237 | .053 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (1.963) | (16.168) | (.131) | 3.614 | 7.717 | (3.445) |
Total from Investment Operations | (.727) | (13.790) | 2.151 | 6.252 | 10.542 | (1.364) |
Distributions | ||||||
Dividends from Net Investment Income | (1.283) | (2.148) | (2.221) | (2.822) | (2.942) | (2.046) |
Distributions from Realized Capital Gains | — | (.012) | — | — | — | — |
Total Distributions | (1.283) | (2.160) | (2.221) | (2.822) | (2.942) | (2.046) |
Net Asset Value, End of Period | $74.59 | $76.60 | $92.55 | $92.62 | $89.19 | $81.59 |
Total Return | -0.95% | -15.11% | 2.37% | 7.18% | 13.29% | -1.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $941 | $579 | $695 | $619 | $203 | $55 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | —3 |
Acquired Fund Fees and Expenses | 0.04% | 0.04% | 0.04% | 0.05% | 0.05% | 0.07%3 |
Ratio of Net Investment Income to Average Net Assets | 3.33% | 2.52% | 2.43% | 2.94% | 3.38% | 3.10%3 |
Portfolio Turnover Rate4 | 7% | 14% | 10% | 40% | 12% | 4% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
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. |
Amount ($000) | |
Tax Cost | 1,060,438 |
Gross Unrealized Appreciation | 7,383 |
Gross Unrealized Depreciation | (127,210) |
Net Unrealized Appreciation (Depreciation) | (119,827) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
Shares (000) | Shares (000) | ||
Issued | 5,250 | 1,310 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (200) | (1,260) | |
Net Increase (Decrease) in Shares Outstanding | 5,050 | 50 |
Current Period Transactions | ||||||||
Aug. 31, 2022 Market Value ($000) | Purchases at Cost1 ($000) | Proceeds from Securities Sold2 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Feb. 28, 2023 Market Value ($000) | |
Vanguard Intermediate-Term Corporate Bond ETF | 159,976 | 112,085 | 12,485 | (1,298) | (723) | 3,400 | — | 257,555 |
Vanguard Long-Term Corporate Bond ETF | 203,399 | 153,248 | 31,031 | (4,215) | (2,953) | 5,733 | — | 318,448 |
Vanguard Market Liquidity Fund | 281 | NA3 | NA3 | — | — | 8 | — | 414 |
Vanguard Short-Term Corporate Bond ETF | 215,431 | 174,152 | 24,142 | (243) | (1,004) | 3,434 | — | 364,194 |
Total | 579,087 | 439,485 | 67,658 | (5,756) | (4,680) | 12,575 | — | 940,611 |
1 | Includes $386,515,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares. |
2 | Includes $14,728,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
3 | Not applicable—purchases and sales are for temporary cash investment purposes. |
• | 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, 2023 | |||
Total World Bond ETF | Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $979.90 | $0.25 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.55 | 0.25 |
Vanguard Total Bond Market ETF | 51.7% |
Vanguard Total International Bond ETF | 48.3 |
Shares | Market Value• ($000) | |||||
Investment Companies (100.0%) | ||||||
U.S. Bond Fund (51.7%) | ||||||
Vanguard Total Bond Market ETF | 4,170,854 | 300,593 | ||||
International Bond Fund (48.3%) | ||||||
Vanguard Total International Bond ETF | 5,874,556 | 280,569 | ||||
Total Investment Companies (Cost $678,089) | 581,162 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 4.640% (Cost $174) | 1,739 | 174 | |||
Total Investments (100.0%) (Cost $678,263) | 581,336 | |||||
Other Assets and Liabilities—Net (0.0%) | 5 | |||||
Net Assets (100%) | 581,341 |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $678,263) | 581,336 |
Receivables for Investment Securities Sold | 3,533 |
Receivables for Accrued Income | 1 |
Total Assets | 584,870 |
Liabilities | |
Payables for Investment Securities Purchased | 3,529 |
Total Liabilities | 3,529 |
Net Assets | 581,341 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 686,263 |
Total Distributable Earnings (Loss) | (104,922) |
Net Assets | 581,341 |
Net Assets | |
Applicable to 8,630,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 581,341 |
Net Asset Value Per Share | $67.36 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 6,838 |
Net Investment Income—Note B | 6,838 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | — |
Affiliated Funds Sold1 | (4,090) |
Realized Net Gain (Loss) | (4,090) |
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds | (14,494) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (11,746) |
1 | Includes $224,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 6,838 | 15,064 | |
Realized Net Gain (Loss) | (4,090) | (3,721) | |
Change in Unrealized Appreciation (Depreciation) | (14,494) | (84,542) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (11,746) | (73,199) | |
Distributions | |||
Total Distributions | (6,848) | (15,650) | |
Capital Share Transactions | |||
Issued | 67,546 | 209,449 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (37,440) | (132,239) | |
Net Increase (Decrease) from Capital Share Transactions | 30,106 | 77,210 | |
Total Increase (Decrease) | 11,512 | (11,639) | |
Net Assets | |||
Beginning of Period | 569,829 | 581,468 | |
End of Period | 581,341 | 569,829 |
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | September 4, 20181 to August 31, 2019 | ||
2022 | 2021 | 2020 | |||
Net Asset Value, Beginning of Period | $69.58 | $80.76 | $81.56 | $80.97 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | .812 | 1.912 | 1.108 | 2.125 | 2.004 |
Capital Gain Distributions Received2 | — | .327 | .146 | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (2.217) | (11.356) | (.929) | .782 | 6.071 |
Total from Investment Operations | (1.405) | (9.117) | .325 | 2.907 | 8.075 |
Distributions | |||||
Dividends from Net Investment Income | (.815) | (1.984) | (1.125) | (2.317) | (2.105) |
Distributions from Realized Capital Gains | — | (.079) | — | — | — |
Total Distributions | (.815) | (2.063) | (1.125) | (2.317) | (2.105) |
Net Asset Value, End of Period | $67.36 | $69.58 | $80.76 | $81.56 | $80.97 |
Total Return | -2.01% | -11.51% | 0.40% | 3.69% | 11.00% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $581 | $570 | $581 | $448 | $160 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | —3 |
Acquired Fund Fees and Expenses | 0.05% | 0.05% | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to Average Net Assets | 2.41% | 2.55% | 1.37% | 2.64% | 2.62%3 |
Portfolio Turnover Rate4 | 10% | 13% | 10% | 19% | 8% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
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. |
Amount ($000) | |
Tax Cost | 681,136 |
Gross Unrealized Appreciation | 3 |
Gross Unrealized Depreciation | (99,803) |
Net Unrealized Appreciation (Depreciation) | (99,800) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
Shares (000) | Shares (000) | ||
Issued | 990 | 2,810 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (550) | (1,820) | |
Net Increase (Decrease) in Shares Outstanding | 440 | 990 |
Current Period Transactions | ||||||||
Aug. 31, 2022 Market Value ($000) | Purchases at Cost1 ($000) | Proceeds from Securities Sold2 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Feb. 28, 2023 Market Value ($000) | |
Vanguard Market Liquidity Fund | 410 | NA3 | NA3 | — | — | 5 | — | 174 |
Vanguard Total Bond Market ETF | 298,702 | 60,926 | 48,864 | (2,103) | (8,068) | 4,027 | — | 300,593 |
Vanguard Total International Bond ETF | 270,714 | 61,855 | 43,587 | (1,987) | (6,426) | 2,806 | — | 280,569 |
Total | 569,826 | 122,781 | 92,451 | (4,090) | (14,494) | 6,838 | — | 581,336 |
1 | Includes $67,518,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares. |
2 | Includes $37,426,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
3 | Not applicable—purchases and sales are for temporary cash investment purposes. |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12:
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications filed herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD scottsdale FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: April 20, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD scottsdale FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: April 20, 2023
VANGUARD scottsdale FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: April 20, 2023
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.
Exhibit 99.CERT
CERTIFICATIONS
I, Mortimer J. Buckley, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Scottsdale Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 20, 2023
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
CERTIFICATIONS
I, Christine Buchanan, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Scottsdale Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 20, 2023
/s/ Christine Buchanan | |
Christine Buchanan | |
Chief Financial Officer |
Exhibit 99.906CERT
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Scottsdale Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: | April 20, 2023 | /s/ Mortimer J. Buckley |
Mortimer J. Buckley | ||
Chief Executive Officer |
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Scottsdale Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to her knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: | April 20, 2023 | /s/ Christine Buchanan |
Christine Buchanan | ||
Chief Financial Officer |
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