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: 811-02368
Name of Registrant: Vanguard Fixed Income Securities Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: January 31
Date of reporting period: February 1, 2013 – January 31, 2014
Item 1: Reports to Shareholders
Annual Report | January 31, 2014
Vanguard U.S. Government Bond Funds
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Advisors’ Report. | 11 |
Short-Term Treasury Fund. | 16 |
Short-Term Federal Fund. | 30 |
Intermediate-Term Treasury Fund. | 47 |
GNMA Fund. | 61 |
Long-Term Treasury Fund. | 79 |
About Your Fund’s Expenses. | 94 |
Glossary. | 97 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the
flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | ||||
Fiscal Year Ended January 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Treasury Fund | ||||
Investor Shares | 0.34% | 0.36% | -0.08% | 0.28% |
Admiral™ Shares | 0.44 | 0.46 | -0.08 | 0.38 |
Barclays U.S. 1–5 Year Treasury Bond Index | 0.38 | |||
Short-Term U.S. Treasury Funds Average | -0.40 | |||
Short-Term U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Short-Term Federal Fund | ||||
Investor Shares | 0.63% | 0.54% | -0.32% | 0.22% |
Admiral Shares | 0.73 | 0.65 | -0.32 | 0.33 |
Barclays U.S. 1–5 Year Government Bond Index | 0.40 | |||
Short-Intermediate U.S. Government Funds | ||||
Average | -0.69 | |||
Short-Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Treasury Fund | ||||
Investor Shares | 1.59% | 1.47% | -2.21% | -0.74% |
Admiral Shares | 1.69 | 1.57 | -2.21 | -0.64 |
Barclays U.S. 5–10 Year Treasury Bond Index | -1.47 | |||
General U.S. Treasury Funds Average | -2.13 | |||
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard GNMA Fund | ||||
Investor Shares | 2.67% | 2.28% | -1.94% | 0.34% |
Admiral Shares | 2.77 | 2.38 | -1.94 | 0.44 |
Barclays U.S. GNMA Bond Index | 0.25 | |||
GNMA Funds Average | -0.60 | |||
GNMA Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements.
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Your Fund’s Total Returns | ||||
Fiscal Year Ended January 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Treasury Fund | ||||
Investor Shares | 3.37% | 2.97% | -7.42% | -4.45% |
Admiral Shares | 3.47 | 3.06 | -7.42 | -4.36 |
Barclays U.S. Long Treasury Bond Index | -4.49 | |||
General U.S. Treasury Funds Average | -2.13 | |||
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements.
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Your Fund’s Performance at a Glance | ||||
January 31, 2013, Through January 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Treasury Fund | ||||
Investor Shares | $10.73 | $10.71 | $0.039 | $0.011 |
Admiral Shares | 10.73 | 10.71 | 0.050 | 0.011 |
Vanguard Short-Term Federal Fund | ||||
Investor Shares | $10.78 | $10.74 | $0.058 | $0.006 |
Admiral Shares | 10.78 | 10.74 | 0.069 | 0.006 |
Vanguard Intermediate-Term Treasury Fund | ||||
Investor Shares | $11.60 | $11.29 | $0.170 | $0.054 |
Admiral Shares | 11.60 | 11.29 | 0.181 | 0.054 |
Vanguard GNMA Fund | ||||
Investor Shares | $10.83 | $10.61 | $0.244 | $0.010 |
Admiral Shares | 10.83 | 10.61 | 0.255 | 0.010 |
Vanguard Long-Term Treasury Fund | ||||
Investor Shares | $12.61 | $11.55 | $0.374 | $0.123 |
Admiral Shares | 12.61 | 11.55 | 0.386 | 0.123 |
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Chairman’s Letter
Dear Shareholder,
The broad taxable bond market posted a barely positive return during the fiscal year ended January 31, 2014, as bond prices sagged and yields rose for much of the period. As you would expect, this market environment directly affected the performance of the Vanguard U.S. Government Bond Funds.
Their returns ranged from mildly positive for the shortest-term funds and the GNMA Fund to negative for the Intermediate-Term and Long-Term Treasury Funds. The funds’ returns were in line with, or ahead of, their benchmark indexes. Aside from the Long-Term Treasury Fund, they outpaced the average returns of their peer groups. Yields rose over the year for each of the funds.
Much of what turned out to be a volatile year for bonds reflected investors’ anticipation that the Federal Reserve would scale back its economic stimulus program, a change expected to produce lower bond prices. Speculation about when the Fed would start “tapering” ran rampant for much of the year and fueled widespread bond sales. To be sure, bonds’ difficult year pales in comparison to a bad year for stocks, and bonds continue to offer the compelling portfolio characteristic of serving to cushion stocks’ volatility.
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Before moving on to discuss the markets, I want to mention an important transition at Vanguard. We announced in November that Robert F. Auwaerter, principal and head of Vanguard Fixed Income Group, intends to retire in March 2014. At the conclusion of this letter, I’ll have more to say about Bob’s important contributions to Vanguard in his 32-year career, and I’ll introduce his successor, Gregory Davis.
Bond returns were flat or worse as the Fed pondered its strategy
The broad U.S. taxable bond market returned –2.02% for the 2013 calendar year—its first negative calendar-year result since 1999 and its worst calendar-year performance since 1994. A pickup in returns in January—a result of a flight to quality into Treasury securities arising from worries about emerging markets—moved bonds’ returns for the fiscal year ended January 31 into slightly positive territory with a return of 0.12%. The fiscal-year return for municipal bonds, at –1.07%, also represented an improvement.
The yield of the benchmark 10-year Treasury note generally increased during the period, eclipsing 3.00% at times, and finished at about 2.70%. (Bond prices and yields move in opposite directions.)
The Fed’s possible plans for phasing out its bond-buying program, which had rattled investors since May, finally became a reality in mid-December. The central bank announced that it would decrease its $85 billion in monthly purchases of Treasury and mortgage-backed securities
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended January 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 0.12% | 3.73% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -1.07 | 5.76 | 5.54 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.06 | 0.09 |
Stocks | |||
Russell 1000 Index (Large-caps) | 22.23% | 14.14% | 19.84% |
Russell 2000 Index (Small-caps) | 27.03 | 14.69 | 22.26 |
Russell 3000 Index (Broad U.S. market) | 22.60 | 14.18 | 20.03 |
FTSE All-World ex US Index (International) | 5.78 | 3.37 | 14.38 |
CPI | |||
Consumer Price Index | 1.58% | 2.03% | 2.07% |
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by $10 billion a month, beginning in January. The bond-buying program, known as “quantitative easing,” is aimed at lowering longer-term interest rates. In a parallel program focused on short-term rates, the Fed maintained its target of 0%–0.25% for short-term interest rates, tightly restricting returns from money market funds and savings accounts.
International bond markets, as measured by the Barclays Global Aggregate Index ex USD, returned –1.24%.
U.S. stocks had found a groove before January’s volatility set in
U.S. stocks delivered generous returns in 2013, then slid over the first month of the new year. Despite that late reversal, the broad stock market produced an impressive gain of nearly 23% for the 12 months ended January 31. Strong corporate earnings growth and investors’ willingness to pay for those earnings drove the rise, with support from the Fed’s stimulative bond-buying program.
Overall, international stocks advanced about 6% in the period, but not all markets rose. The developed markets of Europe and the Pacific region posted gains. But, in January, concerns about China’s weaker economy, political uncertainties, and the impact of the Fed’s tapering hurt stocks and currencies in various emerging-market countries. While worries about the outlook for emerging markets bolstered demand for Treasuries (and the resulting lower yields), they also underlay much of January’s decline in U.S. stocks.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Admiral | Peer Group | |
Shares | Shares | Average | |
Short-Term Treasury Fund | 0.20% | 0.10% | 0.60% |
Short-Term Federal Fund | 0.20 | 0.10 | 0.93 |
Intermediate-Term Treasury Fund | 0.20 | 0.10 | 0.46 |
GNMA Fund | 0.21 | 0.11 | 0.96 |
Long-Term Treasury Fund | 0.20 | 0.10 | 0.46 |
The fund expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the funds’ expense ratios were: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term Federal Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the GNMA Fund, 0.21% for Investor Shares and 0.11% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2013.
Peer groups: For the Short-Term Treasury Fund, Short-Term U.S. Treasury Funds; for the Short-Term Federal Fund, Short-Intermediate U.S. Government Funds; for the Intermediate-Term Treasury Fund, General U.S. Treasury Funds; for the GNMA Fund, GNMA Funds; and for the Long-Term Treasury Fund, General U.S. Treasury Funds.
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For 2014, Vanguard Chief Economist Joe Davis and his team are guarded in their outlook for global stock returns, and their forecast for the bond market remains muted. Although Joe readily acknowledges that such forecasts are accompanied by uncertainty, he writes, “We believe that a long-term, strategic approach with a balanced, diversified, low-cost portfolio can remain a high-value proposition in the decade ahead.” (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)
Total Returns | |
Ten Years Ended January 31, 2014 | |
Average | |
Annual Return | |
Short-Term Treasury Fund Investor Shares | 2.79% |
Barclays U.S. 1–5 Year Treasury Bond Index | 3.11 |
Short-Term U.S. Treasury Funds Average | 2.30 |
Short-Term U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Short-Term Federal Fund Investor Shares | 3.16% |
Barclays U.S. 1–5 Year Government Bond Index | 3.16 |
Short-Intermediate U.S. Government Funds Average | 2.74 |
Short-Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Intermediate-Term Treasury Fund Investor Shares | 4.69% |
Barclays U.S. 5–10 Year Treasury Bond Index | 5.11 |
General U.S. Treasury Funds Average | 4.84 |
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
GNMA Fund Investor Shares | 4.72% |
Barclays U.S. GNMA Bond Index | 4.82 |
GNMA Funds Average | 4.16 |
GNMA Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Long-Term Treasury Fund Investor Shares | 6.11% |
Barclays U.S. Long Treasury Bond Index | 6.33 |
General U.S. Treasury Funds Average | 4.84 |
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
7
Fed by fears of the “taper,” rising yields hampered returns
As usual, the funds’ portfolio managers took advantage of opportunities within the bond market segments that they focus on. In doing so, they widened their reach slightly and selectively. From spring to early fall, for example, the Treasury funds temporarily added Treasury Inflation-Protected Securities to their portfolios, and the GNMA Fund added some non-GNMA government mortgage-backed securities and federal agency bonds to its holdings. (In a move primarily aimed at increasing liquidity, the GNMA Fund also markedly increased the proportion of “to-be-announced” securities, which represent agreements to buy mortgage-backed securities.)
But the overwhelming story in the past fiscal year was the interplay of yields and bond prices. As we’ve suggested, these are like a see saw: When one goes up, the other goes down. Yields had climbed and prices declined while “taper talk” was in the air for much of the year, reinforced by strengthening economic conditions. Near the fiscal year-end, as we’ve noted, the yields of assets viewed as “safe,” such as Treasury securities, did drop somewhat as investors grew more risk-averse, an outgrowth of worries about the outlook for emerging markets. But the modest, late recovery in bond prices did little to alter 12-month returns.
Yields | ||
30-Day SEC Yields on | ||
January 31, | January 31, | |
Bond Fund (Investor Shares) | 2013 | 2014 |
Short-Term Treasury | 0.13% | 0.34% |
Short-Term Federal | 0.27 | 0.63 |
Intermediate-Term Treasury | 0.75 | 1.59 |
GNMA | 2.05 | 2.67 |
Long-Term Treasury | 2.65 | 3.37 |
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The sensitivity of bond prices to yield changes is measured by duration, which is stated in years. Longer-maturity bonds, with their longer durations, are the most sensitive to yield fluctuations; additionally, the longer-term bond segment is where the Fed’s buying and tapering policies were targeted. That is why, among the Government Bond Funds, the Long-Term Treasury Fund (duration of 15.1 years) had the worst return, –4.45% for Investor Shares.
The funds’ interest income helped counter the impact of sagging bond prices. For the Short-Term Treasury, Short-Term Federal, and GNMA Funds, interest income fully offset the declines in their holdings’ prices. For the Intermediate-Term and Long-Term Treasury Funds, however, the cushioning effect of income wasn’t enough to overcome the negative returns resulting from price drops. You can see the contribution of each fund’s price (capital) and income returns to its overall return in the table on page 1.
The advisors have guided the funds skillfully through difficult times
Over the span of a decade, the advisors to the Government Bond Funds—Vanguard Fixed Income Group and Wellington Management Company—have generally captured the returns of their markets.
In most cases, the Vanguard funds have outpaced the average returns of peer-group funds, as you can see in the table on page 7.
The advisors have successfully guided the funds through a wide range of difficult economic circumstances, from the financial crisis and accompanying severe recession to the latest fiscal year’s challenges, which produced the lowest returns for the Government Bond Funds in years.
Bob Auwaerter’s retirement marks the end of a remarkable era
In mid-September 2008, about two weeks after I succeeded Jack Brennan as Vanguard’s chief executive officer, Lehman Brothers went bankrupt, igniting the nation’s worst financial crisis in 70 years. It was, to put it mildly, an extremely challenging time. Through it all, I was able to depend on Bob Auwaerter’s strong command of the Fixed Income Group, which persevered under these treacherous conditions. Although that was a difficult period for Vanguard and the industry, it was far from the only time I was grateful to have Bob at the helm of our bond group.
Bob, who joined Vanguard in 1981, was a member of the original three-person Fixed Income Group, headed by Ian MacKinnon. Over the years, he held various leadership roles in the department, and he eventually succeeded Ian as its head in 2003. He earned a reputation at Vanguard and within the industry as an extremely dedicated, honest, and insightful decision-maker and leader.
The Fixed Income Group that Bob helped start had total assets of about $1.3 billion in seven funds. He tracked his positions in the two funds he managed then on index
9
cards stored in a small metal box. Thirty-two years later, the 120-person group oversees $750 billion, which represents nearly one-third of Vanguard’s assets under management.
On behalf of our clients, I thank Bob for more than three decades of exemplary service and wish him the best in his retirement.
We’re fortunate that Greg Davis will become the head of the Fixed Income Group. Greg currently serves as chief investment officer for the Asia-Pacific region and as a director of Vanguard Investments Australia. He joined Vanguard in 1999 and had been head of bond indexing and a senior portfolio manager
in the Fixed Income Group. Greg is an eminently qualified successor and has a strong commitment to the Vanguard way of investing. I couldn’t be more confident in his ability to lead the Fixed Income Group and its deep and talented team.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
February 12, 2014
10
Advisors’ Report
For the Short-, Intermediate-, and
Long-Term Treasury Funds and the
Short-Term Federal Fund
For the 12 months ended January 31, 2014, returns for the U.S. Government Bond Funds managed by Vanguard’s Fixed Income Group ranged from –4.45% for Investor Shares of the Long-Term Treasury Fund to 0.38% for Admiral Shares of the Short-Term Treasury Fund. The funds’ returns were in line with or ahead of their benchmarks’ returns. All but the Long-Term Treasury Fund posted results well ahead of their peer-group averages.
The investment environment
The past 12 months were challenging for fixed income investors. The yield of 10-year Treasuries fell sharply in early May, to 1.63%, before reversing course and climbing to 3.00% in September on the prospect that the Federal Reserve would begin to reduce the scale of its quantitative easing (QE) program. That program entails massive monthly bond purchases aimed at pumping money into the economy. (Bond prices and yields move in opposite directions.)
The market anticipated that the Fed would modestly taper its purchases in September, but that did not happen. Instead, citing aggressive tightening conditions in financial markets, the Fed chose to maintain the pace of QE.
The Fed’s reluctance to begin tapering was influenced by the rapid pace of interest rate increases, especially for home mortgages, in the summer of 2013. Rather than risk contributing further to the disruption in interest rates, the Fed chose to provide additional “forward guidance.” Like QE, forward guidance is one of the newer tools that central bankers have been using to foster economic growth; it simply means letting the public know what the bankers’ actions are likely to be. In this case, the Fed linked the possibility of a shift in its bond-buying to the need for substantial improvement in the outlook for the labor market.
Yields of U.S. Treasury Bonds | ||
January 31, | January 31, | |
Maturity | 2013 | 2014 |
2 years | 0.26% | 0.35% |
3 years | 0.40 | 0.70 |
5 years | 0.88 | 1.51 |
10 years | 1.99 | 2.70 |
30 years | 3.17 | 3.64 |
Source: Vanguard. |
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Interest rates declined on the news. Ten-year rates pulled back to 2.50% in October. But a string of favorable economic reports—showing strong consumer demand, a pickup in business investment, strong payroll growth, and a declining unemployment rate—pushed 10-year Treasury yields back to 3.00% in December. Strong improvement in the labor market was what the Fed was looking for, so it came as no surprise when the central bank announced in December that it would begin tapering early in 2014. Since then, emerging-market volatility has led to a “flight to quality,” boosting demand for Treasury securities and depressing their yields. The 10-year Treasury note closed the fiscal year at 2.70%.
Management of the funds
In the management of our three conventional Treasury funds, our trading strategies took advantage of the sharp differences in yields that emerged during the year between the shortest- and longest-duration bonds. These opportunities arose because the shortest rates stayed anchored close to zero, a result of Fed policy in place since 2008, while longer rates began rising during the year.
In the spring, we added Treasury Inflation-Protected Securities to our usual portfolio of conventional Treasury securities after their prices had fallen to very attractive levels; we sold our position in the fall.
The investment environment for the Short-Term Federal Fund continues to be characterized by stable and rich valuations in the agency debt market. Through careful security selection, we concentrated our investments in longer-maturity agency debt because spreads there were a bit more generous than among shorter-maturity issues. The portfolio also includes callable issues, which we will purchase on an opportunistic basis to enhance yield.
The outlook
Looking ahead, we see encouraging prospects for the economy. While the payroll tax hike and sharp cuts to government spending weighed on economic growth during 2013, we expect the fiscal drag to be far smaller in 2014. Home prices rebounded strongly last year, and we expect them to continue to rise. Gains in the stock market should help support consumption, and the jobs market should steadily improve. However, we are still looking for a pickup in spending by businesses on new capital projects and improvements.
The Fed’s next steps regarding quantitative easing will also affect the 2014 outlook. The Fed began scaling back its bond purchases in January but has stressed that its plans are “data-dependent.”
We don’t anticipate a significant shift in Fed policy, at least in the immediate future. We expect the Fed will continue to trim its bond purchases over the course of 2014
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and will continue its policy of providing forward guidance as it works toward the transition to a policy of monetary tightening.
Kenneth E. Volpert, CFA
Principal and Head of Taxable Bond Group
David R. Glocke, Principal
Ronald M. Reardon, Principal
Vanguard Fixed Income Group
February 19, 2014
For the GNMA Fund
For the 12 months ended January 31, Vanguard GNMA Fund returned 0.34% for Investor Shares and 0.44% for Admiral Shares. The fund outperformed its benchmark index (+0.25%) as well as the average return of its peer group (–0.60%).
Investment environment
The Federal Reserve’s unconventional policy measures remained among the biggest influences on the market during the year. The Fed’s quantitative easing (QE) push and signs of gradual global economic recovery encouraged financial markets early on. In the spring, however, investors grew concerned about a possible pullback in Fed stimulus. The Fed signaled a readiness to begin tapering the central bank’s bond purchases sooner than expected, and to end them altogether by mid-2014 if the economy strengthened sufficiently.
The prospect of reduced bond-buying by the Fed sent yields sharply higher during May and June, and credit spreads widened in sympathy. Interest rates and credit spreads recovered after the Fed, in September, once again surprised the markets by deciding not to taper its purchases yet because the economy was not growing as fast as it had hoped. Among the obstacles to growth were the federal government’s sequestration spending cuts and the debt-ceiling wrangling in Congress.
Through its forward guidance, the Fed continued to reinforce the message that short rates were likely to stay locked down for an extended period, and this finally seemed to resonate with the market during the fourth calendar quarter. So, when the Federal Open Market Committee, the Fed’s policymaking arm, announced that it would begin tapering its bond-buying program in January, the market took the news rather well, with Treasury yields increasing only modestly immediately after the announcement.
The Fed decided to cut its monthly purchases by $10 billion, split evenly between Treasuries and agency mortgage-backed securities (MBS). It also signaled that purchases could continue until late 2014, much longer than anticipated.
The modest cut in purchases alleviated much uncertainty in the markets, and, as expected, the Fed continued to taper at the same pace after its January 2014 meeting.
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As a group, agency mortgage-backed securities posted total returns of 0.63% in the fund’s fiscal year, outperforming Treasuries of equivalent duration by 0.91 percentage point as measured by the Barclays MBS Fixed Rate Index. MBS performed poorly in the spring of 2013, when investors were jolted by the Fed’s talk of reducing its QE purchases. However, the central bank’s subsequent actions and the “measured taper” announced in December were received positively.
GNMA mortgages were even more volatile at times than the broader mortgage market. However, GNMAs ended the reporting period on a positive note due to renewed interest. Demand also picked up from banks for collateralized mortgage obligations (CMOs), a special type of mortgage-backed bond that use GNMAs as backing.
Fund successes
The fund outperformed the benchmark index during the period. Coupon positioning among 30-year GNMAs, particularly an underweighting of 3% coupon GNMAs, was the primary contributor to relative performance. The fund’s duration and yield-curve positioning had a modestly positive effect.
Fund shortfalls
The main hindrance to relative results during the period was the fund’s allocation to a group of securities that are not in the benchmark: 30-year conventional MBS issued by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation. Low-coupon securities in particular suffered from strong selling pressure in the May–June period, as MBS investors reallocated portfolios toward higher-coupon securities. These securities help reduce a portfolio’s interest rate sensitivity because the faster prepayments on these higher-rate mortgages make them less sensitive to raising interest rates, as we saw in the spring.
Fund positioning
We are cautious on the MBS sector from a tactical perspective as we review varying factors. The Fed’s MBS purchases will continue to shrink as it tapers its QE program, but its forward guidance has kept rates from rising. This has kept us near thresholds where we could see an increase in mortgage origination. All of this threatens the strong supply-demand dynamic in place for the past few months, as the Fed’s bond-buying program boosted demand for MBS and kept MBS spreads tight. Longer-term, as the Fed carries out its monetary policy exit strategy, risks include a continued increase in volatility and a flatter yield curve, produced by its uncapping of short-term interest rates. However, we are optimistic on the supply dynamics of owning agency MBS over Treasuries, based on what we expect will be continued growth in Treasury supply against a stable, or shrinking, agency MBS market. Given this long-term bias, we would view any significant widening of MBS spreads as an opportunity to increase allocations. Our current positioning is
14
skewed toward middle- and higher-coupon MBS, which we believe offer more attractive return potential.
GNMA prepayment risk remains relatively low, given tighter mortgage underwriting standards and higher refinancing costs, particularly for lower-quality borrowers. These borrowers have lower credit scores and higher loan-to-value ratios, which makes refinancing their mortgages more difficult. We continue to avoid securities backed by borrowers with strong credit, as these homeowners are likelier to refinance and pay back their mortgage loans, thereby reducing the income generated for the fund and its shareholders.
As we head into 2014, we believe that more of the bond market’s returns will be driven by income than by capital appreciation. In our view, GNMAs are priced close to fair value given current market conditions, but we believe that the MBS sector will continue to be attractive to investors seeking high-quality assets with excellent liquidity. As with virtually all bond funds, however, this one is exposed to interest rate risk and, because bond yields and prices move inversely, the potential for loss of principal exists if and when interest rates rise. We continue to monitor macroeconomic conditions and the pace of Fed tapering to manage this risk and, over the long term, we believe that GNMAs’ yield advantage over Treasuries still offers compelling opportunities.
Michael F. Garrett Senior Vice President and Fixed Income Portfolio Manager Wellington Management Company, llp February 14, 2014
15
Short-Term Treasury Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFISX | VFIRX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.34% | 0.44% | |
Financial Attributes | |||
Barclays Barclays | |||
1–5 Year | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 81 | 143 | 8,727 |
Yield to Maturity | |||
(before expenses) | 0.5% | 0.6% | 2.3% |
Average Coupon | 1.2% | 1.6% | 3.3% |
Average Duration | 2.2 years | 2.6 years | 5.5 years |
Average Effective | |||
Maturity | 2.3 years | 2.7 years | 7.6 years |
Short-Term | |||
Reserves | -0.3% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
1–5 Year | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.93 | 0.63 |
Beta | 0.74 | 0.25 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | -0.3% |
1 - 3 Years | 81.4 |
3 - 5 Years | 18.5 |
5 - 7 Years | 0.4 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 100.0% |
For information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
16
Short-Term Treasury Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Short-Term Treasury Fund Investor | ||||
Shares | 0.28% | 1.46% | 2.79% | $13,163 |
Barclays U.S. 1–5 Year Treasury Bond | ||||
•••••••• | ||||
Index | 0.38 | 1.81 | 3.11 | 13,586 |
– – – – Short-Term U.S. Treasury Funds | ||||
Average | -0.40 | 1.02 | 2.30 | 12,554 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 |
Short-Term U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Short-Term Treasury Fund Admiral Shares | 0.38% | 1.57% | 2.91% | $66,595 |
Barclays U.S. 1–5 Year Treasury Bond Index | 0.38 | 1.81 | 3.11 | 67,928 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
17
Short-Term Treasury Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
1–5 Year | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 2.64% | -1.79% | 0.85% | 0.95% |
2006 | 3.20 | -1.34 | 1.86 | 1.46 |
2007 | 4.30 | -0.48 | 3.82 | 3.83 |
2008 | 4.58 | 5.26 | 9.84 | 10.35 |
2009 | 2.70 | 1.79 | 4.49 | 5.84 |
2010 | 1.60 | 0.90 | 2.50 | 1.95 |
2011 | 1.09 | 0.83 | 1.92 | 2.94 |
2012 | 0.68 | 1.56 | 2.24 | 3.38 |
2013 | 0.41 | -0.02 | 0.39 | 0.45 |
2014 | 0.36 | -0.08 | 0.28 | 0.38 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 10/28/1991 | -0.10% | 1.38% | 2.16% | 0.62% | 2.78% |
Admiral Shares | 2/13/2001 | 0.00 | 1.49 | 2.28 | 0.62 | 2.90 |
18
Short-Term Treasury Fund
Financial Statements
Statement of Net Assets
As of January 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (99.7%) | ||||
U.S. Government Securities (99.7%) | ||||
United States Treasury Note/Bond | 0.250% | 2/15/15 | 100,000 | 100,094 |
United States Treasury Note/Bond | 0.250% | 2/28/15 | 225,000 | 225,211 |
United States Treasury Note/Bond | 2.375% | 2/28/15 | 93,000 | 95,180 |
United States Treasury Note/Bond | 0.375% | 4/15/15 | 414,000 | 415,035 |
United States Treasury Note/Bond | 0.125% | 4/30/15 | 110,000 | 109,932 |
United States Treasury Note/Bond | 2.500% | 4/30/15 | 20,000 | 20,575 |
United States Treasury Note/Bond | 0.250% | 5/15/15 | 110,000 | 110,103 |
United States Treasury Note/Bond | 4.125% | 5/15/15 | 163,000 | 171,176 |
United States Treasury Note/Bond | 2.125% | 5/31/15 | 80,000 | 82,038 |
United States Treasury Note/Bond | 0.375% | 6/15/15 | 131,000 | 131,327 |
United States Treasury Note/Bond | 0.250% | 7/31/15 | 150,000 | 150,093 |
United States Treasury Note/Bond | 1.750% | 7/31/15 | 60,000 | 61,360 |
United States Treasury Note/Bond | 4.250% | 8/15/15 | 15,000 | 15,926 |
United States Treasury Note/Bond | 0.375% | 8/31/15 | 100,000 | 100,219 |
United States Treasury Note/Bond | 1.250% | 8/31/15 | 171,000 | 173,726 |
United States Treasury Note/Bond | 0.250% | 9/30/15 | 160,000 | 160,026 |
United States Treasury Note/Bond | 1.250% | 9/30/15 | 27,000 | 27,443 |
United States Treasury Note/Bond | 0.250% | 10/15/15 | 48,000 | 47,992 |
United States Treasury Note/Bond | 0.250% | 10/31/15 | 157,000 | 156,951 |
United States Treasury Note/Bond | 1.250% | 10/31/15 | 257,000 | 261,377 |
United States Treasury Note/Bond | 0.250% | 11/30/15 | 8,000 | 7,996 |
United States Treasury Note/Bond | 1.375% | 11/30/15 | 5,000 | 5,098 |
United States Treasury Note/Bond | 0.250% | 12/31/15 | 152,000 | 151,857 |
United States Treasury Note/Bond | 2.125% | 12/31/15 | 25,000 | 25,860 |
United States Treasury Note/Bond | 0.375% | 1/31/16 | 35,000 | 35,027 |
United States Treasury Note/Bond | 2.000% | 1/31/16 | 222,000 | 229,353 |
United States Treasury Note/Bond | 4.500% | 2/15/16 | 106,000 | 114,944 |
United States Treasury Note/Bond | 2.125% | 2/29/16 | 137,000 | 141,988 |
United States Treasury Note/Bond | 2.625% | 2/29/16 | 112,000 | 117,233 |
United States Treasury Note/Bond | 0.250% | 4/15/16 | 83,000 | 82,728 |
United States Treasury Note/Bond | 2.000% | 4/30/16 | 132,000 | 136,641 |
United States Treasury Note/Bond | 2.625% | 4/30/16 | 67,000 | 70,298 |
United States Treasury Note/Bond | 0.250% | 5/15/16 | 139,000 | 138,436 |
United States Treasury Note/Bond | 0.500% | 6/15/16 | 130,000 | 130,122 |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 16,000 | 16,390 |
United States Treasury Note/Bond | 3.250% | 6/30/16 | 25,000 | 26,660 |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 100,000 | 100,328 |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 20,000 | 20,491 |
19
Short-Term Treasury Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 0.625% | 8/15/16 | 86,000 | 86,215 | |
United States Treasury Note/Bond | 4.875% | 8/15/16 | 30,000 | 33,281 | |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 90,000 | 91,055 | |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 51,000 | 54,219 | |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 77,000 | 77,650 | |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 52,000 | 52,577 | |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 43,000 | 45,755 | |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 51,000 | 51,064 | |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 9,000 | 9,093 | |
United States Treasury Note/Bond | 0.625% | 11/15/16 | 139,000 | 139,065 | |
United States Treasury Note/Bond | 7.500% | 11/15/16 | 20,000 | 23,784 | |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 115,000 | 115,773 | |
United States Treasury Note/Bond | 0.625% | 12/15/16 | 140,000 | 139,957 | |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 55,000 | 55,318 | |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 125,000 | 125,292 | |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 110,000 | 110,516 | |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 35,000 | 35,230 | |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 9,000 | 9,692 | |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 155,000 | 155,242 | |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 55,000 | 54,570 | |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 40,000 | 42,138 | |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 25,000 | 24,625 | |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 8,000 | 8,392 | |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 70,000 | 72,176 | |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 45,000 | 44,515 | |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 111,000 | 109,110 | |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 141,000 | 139,061 | |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 50,000 | 49,476 | |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 46,000 | 44,850 | |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 38,000 | 37,572 | |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 9,817 | 9,848 | |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 8,000 | 8,375 | |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 12,000 | 12,026 | |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 7,000 | 7,287 | |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 37,000 | 37,231 | |
1 | United States Treasury Note/Bond | 1.250% | 10/31/18 | 76,000 | 75,418 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 35,000 | 35,558 | |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 25,000 | 24,770 | |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 52,000 | 52,065 | |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 24,000 | 24,007 | |
6,491,082 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
2,3 | Fannie Mae Pool | 7.000% | 11/1/15–3/1/16 | 158 | 166 |
2,3 | Freddie Mac Gold Pool | 6.000% | 5/1/18–4/1/28 | 290 | 321 |
2,3 | Freddie Mac Gold Pool | 7.000% | 9/1/15–1/1/16 | 53 | 53 |
540 | |||||
Total U.S. Government and Agency Obligations (Cost $6,479,181) | 6,491,622 | ||||
Shares | |||||
Temporary Cash Investment (0.5%) | |||||
Money Market Fund (0.5%) | |||||
4 | Vanguard Market Liquidity Fund | ||||
(Cost $29,808) | 0.130% | 29,808,220 | 29,808 | ||
Total Investments (100.2%) (Cost $6,508,989) | 6,521,430 |
20
Short-Term Treasury Fund | |||
Market | |||
Expiration | Value | ||
Date | Contracts | ($000) | |
Liability for Options Written (0.0%) | |||
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 206 | (303) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 209 | (160) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 415 | (13) |
Total Liability for Options Written (Premiums received $267) | (476) | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 163,090 | ||
Other Liabilities | (172,595) | ||
(9,505) | |||
Net Assets (100%) | 6,511,449 | ||
At January 31, 2014, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 6,497,814 | ||
Undistributed Net Investment Income | — | ||
Accumulated Net Realized Gains | 1,941 | ||
Unrealized Appreciation (Depreciation) | |||
Investment Securities | 12,441 | ||
Futures Contracts | (538) | ||
Options on Futures Contracts | (209) | ||
Net Assets | 6,511,449 | ||
Investor Shares—Net Assets | |||
Applicable to 107,524,799 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 1,151,129 | ||
Net Asset Value Per Share—Investor Shares | $10.71 | ||
Admiral Shares—Net Assets | |||
Applicable to 500,696,311 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 5,360,320 | ||
Net Asset Value Per Share—Admiral Shares | $10.71 |
See Note A in Notes to Financial Statements.
1 Securities with a value of $3,007,000 have been segregated as initial margin for open futures contracts.
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 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.
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. See accompanying Notes, which are an integral part of the Financial Statements.
21
Short-Term Treasury Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 35,752 |
Total Income | 35,752 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 589 |
Management and Administrative—Investor Shares | 2,009 |
Management and Administrative—Admiral Shares | 3,200 |
Marketing and Distribution—Investor Shares | 359 |
Marketing and Distribution—Admiral Shares | 1,239 |
Custodian Fees | 72 |
Auditing Fees | 32 |
Shareholders’ Reports—Investor Shares | 66 |
Shareholders’ Reports—Admiral Shares | 37 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 7,609 |
Net Investment Income | 28,143 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 11,348 |
Futures Contracts | (488) |
Options on Futures Contracts | (202) |
Realized Net Gain (Loss) | 10,658 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (15,491) |
Futures Contracts | (193) |
Options on Futures Contracts | (219) |
Change in Unrealized Appreciation (Depreciation) | (15,903) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,898 |
1 Interest income from an affiliated company of the fund was $7,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Short-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 28,143 | 31,281 |
Realized Net Gain (Loss) | 10,658 | 39,452 |
Change in Unrealized Appreciation (Depreciation) | (15,903) | (43,895) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,898 | 26,838 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (4,697) | (6,758) |
Admiral Shares | (23,446) | (24,523) |
Realized Capital Gain1 | ||
Investor Shares | (1,209) | (11,161) |
Admiral Shares | (5,521) | (34,953) |
Total Distributions | (34,873) | (77,395) |
Capital Share Transactions | ||
Investor Shares | (293,888) | (305,299) |
Admiral Shares | 490,529 | 137,798 |
Net Increase (Decrease) from Capital Share Transactions | 196,641 | (167,501) |
Total Increase (Decrease) | 184,666 | (218,058) |
Net Assets | ||
Beginning of Period | 6,326,783 | 6,544,841 |
End of Period | 6,511,449 | 6,326,783 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $1,224,000 and $28,998,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Treasury Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.73 | $10.81 | $10.70 | $10.81 | $10.89 |
Investment Operations | |||||
Net Investment Income | .039 | .044 | .071 | .116 | .175 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.009) | (.002) | .167 | .089 | .092 |
Total from Investment Operations | .030 | .042 | . 238 | .205 | .267 |
Distributions | |||||
Dividends from Net Investment Income | (. 039) | (. 044) | (. 071) | (.116) | (.170) |
Distributions from Realized Capital Gains | (.011) | (.078) | (.057) | (.199) | (.177) |
Total Distributions | (. 050) | (.122) | (.128) | (.315) | (.347) |
Net Asset Value, End of Period | $10.71 | $10.73 | $10.81 | $10.70 | $10.81 |
Total Return1 | 0.28% | 0.39% | 2.24% | 1.92% | 2.50% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,151 | $1,448 | $1,765 | $1,874 | $2,343 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.37% | 0.41% | 0.66% | 1.07% | 1.62% |
Portfolio Turnover Rate | 80% | 176%2 | 302%2 | 124% | 130% |
1 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.
2 Includes 63% and 120% attributable to mortgage-dollar-roll activity in 2013 and 2012, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Short-Term Treasury Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.73 | $10.81 | $10.70 | $10.81 | $10.89 |
Investment Operations | |||||
Net Investment Income | .050 | .055 | .082 | .129 | .187 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.009) | (.002) | .167 | .089 | .092 |
Total from Investment Operations | .041 | .053 | . 249 | . 218 | .279 |
Distributions | |||||
Dividends from Net Investment Income | (. 050) | (. 055) | (. 082) | (.129) | (.182) |
Distributions from Realized Capital Gains | (.011) | (.078) | (.057) | (.199) | (.177) |
Total Distributions | (. 061) | (.133) | (.139) | (. 328) | (.359) |
Net Asset Value, End of Period | $10.71 | $10.73 | $10.81 | $10.70 | $10.81 |
Total Return | 0.38% | 0.49% | 2.34% | 2.05% | 2.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,360 | $4,879 | $4,779 | $4,690 | $4,031 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.47% | 0.51% | 0.76% | 1.19% | 1.72% |
Portfolio Turnover Rate | 80% | 176%1 | 302%1 | 124% | 130% |
1 Includes 63% and 120% attributable to mortgage-dollar-roll activity in 2013 and 2012, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
25
Short-Term Treasury Fund
Notes to Financial Statements
Vanguard Short-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 3% and 2% of net assets, respectively, based on quarterly average aggregate settlement values.
26
Short-Term Treasury Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on quarterly average market values.
3. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral. The fund had no open repurchase agreements at January 31, 2014.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $720,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.29% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
27
Short-Term Treasury Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 6,491,622 | — |
Temporary Cash Investments | 29,808 | — | — |
Futures Contracts—Assets1 | 59 | — | — |
Futures Contracts—Liabilities1 | (249) | — | — |
Liability for Options Written | (476) | — | — |
Total | 29,142 | 6,491,622 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
10-Year U.S. Treasury Note | March 2014 | (416) | (52,312) | (538) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $1,506,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at January 31, 2014, the fund had $2,406,000 of long-term capital gains available for distribution.
28
Short-Term Treasury Fund
At January 31, 2014, the cost of investment securities for tax purposes was $6,510,239,000. Net unrealized appreciation of investment securities for tax purposes was $11,191,000, consisting of unrealized gains of $17,997,000 on securities that had risen in value since their purchase and $6,806,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $5,330,960,000 of investment securities and sold $5,052,074,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the year ended January 31, 2014.
Premiums | ||||
Number of | Received | |||
Options | Contracts | ($000) | ||
Balance at January 31, 2013 | 342 | 228 | ||
Options written | 2,707 | 1,163 | ||
Options expired | — | — | ||
Options closed | (2,219) | (1,124) | ||
Options exercised | — | — | ||
Options open at January 31, 2014 | 830 | 267 | ||
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 321,386 | 30,008 | 442,194 | 41,013 |
Issued in Lieu of Cash Distributions | 5,396 | 504 | 16,294 | 1,515 |
Redeemed | (620,670) | (57,964) | (763,787) | (70,867) |
Net Increase (Decrease)—Investor Shares | (293,888) | (27,452) | (305,299) | (28,339) |
Admiral Shares | ||||
Issued | 2,112,804 | 197,333 | 1,629,078 | 151,160 |
Issued in Lieu of Cash Distributions | 25,544 | 2,385 | 54,615 | 5,078 |
Redeemed | (1,647,819) | (153,935) | (1,545,895) | (143,468) |
Net Increase (Decrease)—Admiral Shares | 490,529 | 45,783 | 137,798 | 12,770 |
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
29
Short-Term Federal Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VSGBX | VSGDX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.63% | 0.73% | |
Financial Attributes | |||
Barclays | Barclays | ||
1–5 Year | Aggregate | ||
Gov’t | Bond | ||
Fund | Index | Index | |
Number of Bonds | 92 | 660 | 8,727 |
Yield to Maturity | |||
(before expenses) | 0.8% | 0.7% | 2.3% |
Average Coupon | 1.5% | 1.7% | 3.3% |
Average Duration | 2.4 years | 2.6 years | 5.5 years |
Average Effective | |||
Maturity | 2.8 years | 2.7 years | 7.6 years |
Short-Term | |||
Reserves | -4.4% | — | — |
Sector Diversification (% of portfolio) | |||
Government Mortgage-Backed | 14.8% | ||
Treasury/Agency | 85.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
1–5 Year | Aggregate | |
Gov’t | Bond | |
Index | Index | |
R-Squared | 0.91 | 0.78 |
Beta | 0.92 | 0.33 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.2% |
1 - 3 Years | 55.7 |
3 - 5 Years | 37.1 |
5 - 7 Years | 6.9 |
7 - 10 Years | 0.1 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 100.0% |
For information about these ratings, see the Glossary entry for | |
Credit Quality. |
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
30
Short-Term Federal Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Short-Term Federal Fund Investor | ||||
Shares | 0.22% | 2.11% | 3.16% | $13,643 |
Barclays U.S. 1–5 Year Government | ||||
•••••••• | ||||
Bond Index | 0.40 | 1.90 | 3.16 | 13,644 |
– – – – Short-Intermediate U.S. Government | ||||
Funds Average | -0.69 | 2.27 | 2.74 | 13,109 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 |
Short-Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Short-Term Federal Fund Admiral Shares | 0.33% | 2.21% | 3.26% | $68,897 |
Barclays U.S. 1–5 Year Government Bond | ||||
Index | 0.40 | 1.90 | 3.16 | 68,220 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
31
Short-Term Federal Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
1–5 Year | ||||
Gov’t | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 2.76% | -1.78% | 0.98% | 1.15% |
2006 | 3.31 | -1.35 | 1.96 | 1.63 |
2007 | 4.19 | 0.10 | 4.29 | 4.04 |
2008 | 4.77 | 4.48 | 9.25 | 9.86 |
2009 | 3.94 | 0.84 | 4.78 | 5.66 |
2010 | 2.39 | 1.62 | 4.01 | 2.56 |
2011 | 1.53 | 0.97 | 2.50 | 2.84 |
2012 | 1.00 | 2.09 | 3.09 | 3.26 |
2013 | 0.56 | 0.20 | 0.76 | 0.51 |
2014 | 0.54 | -0.32 | 0.22 | 0.40 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 12/31/1987 | -0.35% | 1.97% | 2.51% | 0.65% | 3.16% |
Admiral Shares | 2/12/2001 | -0.25 | 2.07 | 2.61 | 0.65 | 3.26 |
32
Short-Term Federal Fund
Financial Statements
Statement of Net Assets
As of January 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (98.5%) | |||||
U.S. Government Securities (14.5%) | |||||
United States Treasury Note/Bond | 0.250% | 3/31/15 | 70,500 | 70,566 | |
United States Treasury Note/Bond | 0.375% | 4/15/15 | 28,543 | 28,614 | |
United States Treasury Note/Bond | 4.125% | 5/15/15 | 11,750 | 12,339 | |
United States Treasury Note/Bond | 0.250% | 8/15/15 | 33,920 | 33,936 | |
United States Treasury Note/Bond | 0.250% | 9/15/15 | 6,000 | 6,001 | |
United States Treasury Note/Bond | 2.250% | 3/31/16 | 17,618 | 18,320 | |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 3,775 | 3,888 | |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 100,000 | 100,125 | |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 56,750 | 57,131 | |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 109,250 | 109,506 | |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 196,750 | 197,673 | |
1 | United States Treasury Note/Bond | 0.875% | 4/30/17 | 29,424 | 29,470 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 3,305 | 3,279 | |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 5,600 | 5,497 | |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 61,453 | 59,916 | |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 21,750 | 21,757 | |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 3,250 | 3,250 | |
761,268 | |||||
Agency Bonds and Notes (73.8%) | |||||
2 | Federal Home Loan Banks | 2.750% | 12/12/14 | 14,000 | 14,310 |
2 | Federal Home Loan Banks | 0.250% | 1/16/15 | 77,925 | 77,980 |
2 | Federal Home Loan Banks | 0.250% | 2/20/15 | 5,000 | 5,000 |
2 | Federal Home Loan Banks | 2.750% | 3/13/15 | 70,000 | 71,865 |
2 | Federal Home Loan Banks | 0.375% | 8/28/15 | 39,000 | 39,043 |
2 | Federal Home Loan Banks | 1.750% | 9/11/15 | 21,000 | 21,458 |
2 | Federal Home Loan Banks | 2.875% | 9/11/15 | 24,000 | 24,959 |
2 | Federal Home Loan Banks | 0.375% | 2/19/16 | 18,750 | 18,727 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 7/30/14 | 1,750 | 1,758 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 11/25/14 | 29,250 | 29,389 |
3 | Federal Home Loan Mortgage Corp. | 0.625% | 12/29/14 | 36,825 | 36,978 |
3,4 | Federal Home Loan Mortgage Corp. | 0.500% | 9/25/15 | 35,075 | 35,182 |
3,4 | Federal Home Loan Mortgage Corp. | 1.000% | 3/14/16 | 31,025 | 31,054 |
3,4 | Federal Home Loan Mortgage Corp. | 0.600% | 3/28/16 | 173,960 | 174,003 |
3 | Federal Home Loan Mortgage Corp. | 0.500% | 5/13/16 | 38,000 | 38,030 |
3,4 | Federal Home Loan Mortgage Corp. | 0.700% | 9/27/16 | 25,000 | 24,958 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 129,900 | 130,612 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 2/22/17 | 193,000 | 193,380 |
33
Short-Term Federal Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 6,500 | 6,534 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 85,000 | 84,973 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 67,500 | 67,386 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 98,500 | 96,823 |
3,4 | Federal Home Loan Mortgage Corp. | 1.200% | 3/20/18 | 67,000 | 66,142 |
3,4 | Federal Home Loan Mortgage Corp. | 1.050% | 4/25/18 | 57,000 | 55,763 |
3 | Federal National Mortgage Assn. | 0.375% | 3/16/15 | 100,000 | 100,122 |
3 | Federal National Mortgage Assn. | 0.500% | 7/2/15 | 263,350 | 264,182 |
3 | Federal National Mortgage Assn. | 2.375% | 7/28/15 | 185,000 | 190,700 |
3 | Federal National Mortgage Assn. | 0.500% | 9/28/15 | 235,750 | 236,467 |
3 | Federal National Mortgage Assn. | 1.625% | 10/26/15 | 146,500 | 149,730 |
3,4 | Federal National Mortgage Assn. | 0.500% | 1/29/16 | 127,000 | 127,090 |
3,4 | Federal National Mortgage Assn. | 0.550% | 2/12/16 | 50,000 | 50,005 |
3,4 | Federal National Mortgage Assn. | 0.580% | 2/26/16 | 167,300 | 167,345 |
3 | Federal National Mortgage Assn. | 0.500% | 3/30/16 | 202,250 | 202,400 |
3 | Federal National Mortgage Assn. | 2.375% | 4/11/16 | 85,250 | 88,752 |
3,4 | Federal National Mortgage Assn. | 0.750% | 9/27/16 | 82,600 | 82,570 |
3,4 | Federal National Mortgage Assn. | 0.625% | 10/25/16 | 100,000 | 99,526 |
3,4 | Federal National Mortgage Assn. | 1.000% | 2/13/17 | 73,445 | 73,460 |
3 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 6,000 | 6,750 |
3 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 33,000 | 37,239 |
3,4 | Federal National Mortgage Assn. | 1.000% | 8/14/17 | 35,000 | 34,800 |
3,4 | Federal National Mortgage Assn. | 1.070% | 9/27/17 | 27,000 | 26,783 |
3 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 73,500 | 72,579 |
3,4 | Federal National Mortgage Assn. | 1.000% | 11/28/17 | 20,500 | 20,296 |
3 | Federal National Mortgage Assn. | 0.875% | 2/8/18 | 44,000 | 43,282 |
3,4 | Federal National Mortgage Assn. | 1.200% | 2/22/18 | 24,750 | 24,504 |
3,4 | Federal National Mortgage Assn. | 1.150% | 2/28/18 | 80,000 | 78,865 |
3,4 | Federal National Mortgage Assn. | 1.200% | 2/28/18 | 33,000 | 32,765 |
3,4 | Federal National Mortgage Assn. | 1.200% | 2/28/18 | 50,000 | 49,409 |
3,4 | Federal National Mortgage Assn. | 1.000% | 4/30/18 | 2,128 | 2,078 |
3,4 | Federal National Mortgage Assn. | 1.030% | 5/21/18 | 40,000 | 39,199 |
3,4 | Federal National Mortgage Assn. | 1.250% | 9/27/18 | 10,000 | 9,859 |
3 | Federal National Mortgage Assn. | 1.625% | 11/27/18 | 21,750 | 21,761 |
3 | Federal National Mortgage Assn. | 1.875% | 2/19/19 | 85,000 | 85,743 |
3 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 130,000 | 112,817 |
3,877,385 | |||||
Conventional Mortgage-Backed Securities (10.2%) | |||||
3,4 | Fannie Mae Pool | 2.000% | 10/1/27–2/1/29 | 12,845 | 12,578 |
3,4,5 Fannie Mae Pool | 2.500% | 12/1/27–2/1/29 | 76,375 | 76,709 | |
3,4,5 Fannie Mae Pool | 3.000% | 12/1/20–2/1/29 | 73,681 | 76,038 | |
3,4,5 Fannie Mae Pool | 3.500% | 8/1/24–2/1/29 | 53,764 | 56,795 | |
3,4 | Fannie Mae Pool | 4.000% | 3/1/14–2/1/44 | 44,994 | 48,108 |
3,4 | Fannie Mae Pool | 4.500% | 7/1/14–10/1/25 | 28,118 | 30,170 |
3,4,5 Fannie Mae Pool | 5.000% | 5/1/14–2/1/29 | 23,333 | 25,010 | |
3,4,5 Fannie Mae Pool | 5.500% | 5/1/14–2/1/29 | 12,856 | 13,788 | |
3,4 | Fannie Mae Pool | 6.000% | 4/1/14–5/1/24 | 1,129 | 1,218 |
3,4 | Fannie Mae Pool | 6.500% | 8/1/16–9/1/16 | 1,866 | 1,967 |
3,4 | Fannie Mae Pool | 7.500% | 3/1/15–8/1/15 | 24 | 25 |
3,4 | Fannie Mae Pool | 8.000% | 10/1/14–9/1/15 | 183 | 187 |
3,4 | Freddie Mac Gold Pool | 2.000% | 5/1/28–9/1/28 | 10,837 | 10,593 |
3,4 | Freddie Mac Gold Pool | 2.500% | 6/1/22–8/1/28 | 43,428 | 43,673 |
3,4,5 Freddie Mac Gold Pool | 3.000% | 2/1/29 | 45,000 | 46,378 | |
3,4,5 Freddie Mac Gold Pool | 3.500% | 6/1/21–2/1/29 | 34,400 | 36,183 | |
3,4 | Freddie Mac Gold Pool | 4.000% | 1/1/15–9/1/26 | 24,599 | 26,227 |
34
Short-Term Federal Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
3,4 Freddie Mac Gold Pool | 4.500% | 5/1/18–9/1/26 | 17,466 | 18,687 |
3,4 Freddie Mac Gold Pool | 5.000% | 4/1/14–6/1/25 | 9,965 | 10,709 |
3,4 Freddie Mac Gold Pool | 5.500% | 8/1/14–9/1/21 | 368 | 388 |
3,4 Freddie Mac Gold Pool | 6.000% | 10/1/18 | 139 | 145 |
535,576 | ||||
Total U.S. Government and Agency Obligations (Cost $5,171,458) | 5,174,229 | |||
Shares | ||||
Temporary Cash Investment (7.4%) | ||||
Money Market Fund (7.4%) | ||||
6 Vanguard Market Liquidity Fund | ||||
(Cost $389,662) | 0.130% | 389,662,197 | 389,662 | |
Total Investments (105.9%) (Cost $5,561,120) | 5,563,891 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $124.50 | 2/21/14 | 166 | (244) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 2/21/14 | 167 | (128) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $122.50 | 2/21/14 | 333 | (10) | |
Total Liability for Options Written (Premiums received $215) | (382) | |||
Other Assets and Liabilities (-5.9%) | ||||
Other Assets | 61,198 | |||
Other Liabilities | (368,620) | |||
(307,422) | ||||
Net Assets (100%) | 5,256,087 | |||
At January 31, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 5,263,868 | |||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Losses | (9,764) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 2,771 | |||
Futures Contracts | (621) | |||
Options on Futures Contracts | (167) | |||
Net Assets | 5,256,087 |
35
Short-Term Federal Fund | |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 97,936,893 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,051,398 |
Net Asset Value Per Share—Investor Shares | $10.74 |
Admiral Shares—Net Assets | |
Applicable to 391,663,479 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,204,689 |
Net Asset Value Per Share—Admiral Shares | $10.74 |
See Note A in Notes to Financial Statements.
1 Securities with a value of $5,120,000 have been segregated as initial margin for open futures contracts.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
3 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.
4 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.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2014.
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.
See accompany Notes, which are an integral part of the Financial Statements.
36
Short-Term Federal Fund | |
Statement of Assets and Liabilities | |
As of January 31, 2014 | |
Amount | |
($000) | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 5,174,229 |
Affiliated Vanguard Funds | 389,662 |
Total Investment in Securities | 5,563,891 |
Receivables for Investment Securities Sold | 45,263 |
Other Assets | 15,935 |
Total Assets | 5,625,089 |
Liabilities | |
Payables for Investment Securities Purchased | 354,577 |
Option Contracts Written | 382 |
Other Liabilities | 14,043 |
Total Liabilities | 369,002 |
Net Assets | 5,256,087 |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Short-Term Federal Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 40,602 |
Total Income | 40,602 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 523 |
Management and Administrative—Investor Shares | 2,391 |
Management and Administrative—Admiral Shares | 2,435 |
Marketing and Distribution—Investor Shares | 460 |
Marketing and Distribution—Admiral Shares | 1,017 |
Custodian Fees | 118 |
Auditing Fees | 34 |
Shareholders’ Reports—Investor Shares | 40 |
Shareholders’ Reports—Admiral Shares | 18 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 7,041 |
Net Investment Income | 33,561 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (9,135) |
Futures Contracts | 481 |
Options on Futures Contracts | (180) |
Realized Net Gain (Loss) | (8,834) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (9,893) |
Futures Contracts | (678) |
Options on Futures Contracts | (176) |
Change in Unrealized Appreciation (Depreciation) | (10,747) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,980 |
1 Interest income from an affiliated company of the fund was $113,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Short-Term Federal Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 33,561 | 35,915 |
Realized Net Gain (Loss) | (8,834) | 60,928 |
Change in Unrealized Appreciation (Depreciation) | (10,747) | (50,894) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 13,980 | 45,949 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (8,218) | (11,919) |
Admiral Shares | (25,343) | (23,996) |
Realized Capital Gain1 | ||
Investor Shares | (1,032) | (25,183) |
Admiral Shares | (2,115) | (44,423) |
Total Distributions | (36,708) | (105,521) |
Capital Share Transactions | ||
Investor Shares | (825,235) | (376,391) |
Admiral Shares | 427,949 | 349,598 |
Net Increase (Decrease) from Capital Share Transactions | (397,286) | (26,793) |
Total Increase (Decrease) | (420,014) | (86,365) |
Net Assets | ||
Beginning of Period | 5,676,101 | 5,762,466 |
End of Period | 5,256,087 | 5,676,101 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $1,049,000 and $50,615,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Short-Term Federal Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.78 | $10.89 | $10.77 | $10.81 | $10.81 |
Investment Operations | |||||
Net Investment Income | . 058 | .061 | .106 | .163 | .253 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.034) | .022 | .225 | .104 | .174 |
Total from Investment Operations | .024 | .083 | .331 | .267 | .427 |
Distributions | |||||
Dividends from Net Investment Income | (.058) | (. 061) | (.106) | (.163) | (. 253) |
Distributions from Realized Capital Gains | (. 006) | (.132) | (.105) | (.144) | (.174) |
Total Distributions | (. 064) | (.193) | (. 211) | (. 307) | (.427) |
Net Asset Value, End of Period | $10.74 | $10.78 | $10.89 | $10.77 | $10.81 |
Total Return1 | 0.22% | 0.76% | 3.09% | 2.50% | 4.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,051 | $1,884 | $2,282 | $2,465 | $2,542 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.54% | 0.56% | 0.97% | 1.49% | 2.29% |
Portfolio Turnover Rate | 418%2 | 436%2 | 411%2 | 211%2 | 370% |
1 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.
2 Includes 87%, 139%, 149%, and 16% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Short-Term Federal Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.78 | $10.89 | $10.77 | $10.81 | $10.81 |
Investment Operations | |||||
Net Investment Income | . 069 | . 071 | .117 | .176 | .264 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.034) | .022 | .225 | .104 | .174 |
Total from Investment Operations | .035 | .093 | . 342 | . 280 | .438 |
Distributions | |||||
Dividends from Net Investment Income | (.069) | (.071) | (.117) | (.176) | (. 264) |
Distributions from Realized Capital Gains | (. 006) | (.132) | (.105) | (.144) | (.174) |
Total Distributions | (.075) | (. 203) | (. 222) | (. 320) | (. 438) |
Net Asset Value, End of Period | $10.74 | $10.78 | $10.89 | $10.77 | $10.81 |
Total Return | 0.33% | 0.86% | 3.20% | 2.62% | 4.12% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,205 | $3,792 | $3,481 | $3,419 | $2,751 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.64% | 0.66% | 1.07% | 1.61% | 2.39% |
Portfolio Turnover Rate | 418%1 | 436%1 | 411%1 | 211%1 | 370% |
1 Includes 87%, 139%, 149%, and 16% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
41
Short-Term Federal Fund
Notes to Financial Statements
Vanguard Short-Term Federal Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 12% and 9% of net assets, respectively, based on quarterly average aggregate settlement values.
42
Short-Term Federal Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on quarterly average market values.
3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.
5. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral. The fund had no open repurchase agreements at January 31, 2014.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
43
Short-Term Federal Fund
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $580,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,174,229 | — |
Temporary Cash Investments | 389,662 | — | — |
Futures Contracts—Assets1 | 161 | — | — |
Futures Contracts—Liabilities1 | (756) | — | — |
Liability for Options Written | (382) | — | — |
Total | 388,685 | 5,174,229 | — |
1 Represents variation margin on the last day of the reporting period. |
44
Short-Term Federal Fund
D. At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
2-Year U.S. Treasury Note | March 2014 | 3,018 | 664,573 | 479 |
5-Year U.S. Treasury Note | March 2014 | (3,187) | (384,432) | (430) |
10-Year U.S. Treasury Note | March 2014 | (717) | (90,163) | (590) |
30-Year U.S. Treasury Bond | March 2014 | (21) | (2,805) | (86) |
Ultra Long U.S. Treasury Bond | March 2014 | 1 | 144 | 6 |
(621) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
For tax purposes, at January 31, 2014, the fund had available capital losses totaling $9,541,000 that may be carried forward indefinitely to offset future net capital gains.
At January 31, 2014, the cost of investment securities for tax purposes was $5,561,906,000. Net unrealized appreciation of investment securities for tax purposes was $1,985,000, consisting of unrealized gains of $12,624,000 on securities that had risen in value since their purchase and $10,639,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $17,705,022,000 of investment securities and sold $18,305,865,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the year ended January 31, 2014:
Premiums | ||
Number of | Received | |
Options | Contracts | ($000) |
Balance at January 31, 2013 | 308 | 206 |
Options written | 2,353 | 1,016 |
Options expired | — | — |
Options closed | (1,995) | (1,007) |
Options exercised | — | — |
Options open at January 31, 2014 | 666 | 215 |
45
Short-Term Federal Fund
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 324,424 | 30,197 | 573,060 | 52,754 |
Issued in Lieu of Cash Distributions | 8,470 | 789 | 34,055 | 3,148 |
Redeemed | (1,158,129) | (107,862) | (983,506) | (90,627) |
Net Increase (Decrease)—Investor Shares | (825,235) | (76,876) | (376,391) | (34,725) |
Admiral Shares | ||||
Issued | 1,918,315 | 178,720 | 1,591,410 | 146,547 |
Issued in Lieu of Cash Distributions | 23,765 | 2,213 | 60,955 | 5,633 |
Redeemed | (1,514,131) | (141,098) | (1,302,767) | (119,969) |
Net Increase (Decrease) —Admiral Shares | 427,949 | 39,835 | 349,598 | 32,211 |
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
46
Intermediate-Term Treasury Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFITX | VFIUX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 1.59% | 1.69% | |
Financial Attributes | |||
Barclays Barclays | |||
5–10 Year | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 61 | 57 | 8,727 |
Yield to Maturity | |||
(before expenses) | 1.6% | 2.1% | 2.3% |
Average Coupon | 1.8% | 2.4% | 3.3% |
Average Duration | 5.2 years | 6.6 years | 5.5 years |
Average Effective | |||
Maturity | 5.6 years | 7.1 years | 7.6 years |
Short-Term | |||
Reserves | 0.4% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
5–10 Year | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.97 | 0.86 |
Beta | 0.74 | 1.21 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.4% |
1 - 3 Years | 0.3 |
3 - 5 Years | 49.7 |
5 - 7 Years | 28.7 |
7 - 10 Years | 20.9 |
Distribution by Credit Quality (% of portfolio)
U.S. Government 100.0%
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
47
Intermediate-Term Treasury Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Intermediate-Term Treasury Fund | ||||
Investor Shares | -0.74% | 3.73% | 4.69% | $15,814 |
Barclays U.S. 5–10 Year Treasury Bond | ||||
•••••••• | ||||
Index | -1.47 | 4.08 | 5.11 | 16,461 |
– – – – General U.S. Treasury Funds Average | -2.13 | 3.83 | 4.84 | 16,035 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 |
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Intermediate-Term Treasury Fund Admiral | ||||
Shares | -0.64% | 3.84% | 4.82% | $80,092 |
Barclays U.S. 5–10 Year Treasury Bond Index | -1.47 | 4.08 | 5.11 | 82,304 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
48
Intermediate-Term Treasury Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
5–10 Year | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 4.48% | -1.34% | 3.14% | 3.61% |
2006 | 4.55 | -3.14 | 1.41 | 1.05 |
2007 | 4.69 | -1.47 | 3.22 | 3.04 |
2008 | 4.98 | 8.70 | 13.68 | 14.13 |
2009 | 3.88 | 3.41 | 7.29 | 9.48 |
2010 | 3.10 | -0.39 | 2.71 | 0.47 |
2011 | 2.70 | 2.89 | 5.59 | 6.69 |
2012 | 2.11 | 8.25 | 10.36 | 13.95 |
2013 | 1.34 | -0.24 | 1.10 | 1.46 |
2014 | 1.47 | -2.21 | -0.74 | -1.47 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 10/28/1991 | -3.09% | 2.89% | 3.34% | 1.26% | 4.60% |
Admiral Shares | 2/12/2001 | -2.99 | 3.00 | 3.48 | 1.26 | 4.74 |
49
Intermediate-Term Treasury Fund
Financial Statements
Statement of Net Assets
As of January 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (99.3%) | ||||
U.S. Government Securities (99.3%) | ||||
United States Treasury Note/Bond | 0.375% | 1/31/16 | 15,000 | 15,012 |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 31,000 | 31,116 |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 29,000 | 30,976 |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 20,000 | 21,538 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 31,000 | 30,758 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 199,000 | 211,282 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 53,000 | 55,832 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 26,000 | 25,610 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 68,000 | 71,336 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 172,000 | 177,483 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 116,000 | 114,405 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 231,000 | 238,182 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 15,000 | 14,838 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 140,000 | 144,332 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 5,000 | 4,931 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 56,000 | 55,414 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 43,000 | 45,526 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 82,000 | 80,616 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 10,000 | 9,816 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 42,000 | 40,950 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 32,000 | 31,640 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 8,838 | 8,866 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 119,500 | 125,102 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 329,000 | 342,469 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 53,500 | 53,834 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 253,000 | 252,803 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 63,000 | 62,843 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 10,000 | 9,959 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 233,000 | 233,291 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 61,000 | 60,275 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 37,000 | 37,011 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 15,000 | 14,888 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 96,000 | 95,701 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 45,000 | 44,213 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 20,000 | 19,309 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 60,000 | 57,440 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 24,000 | 23,074 |
50
Intermediate-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 94,000 | 90,240 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 111,000 | 106,664 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 24,000 | 23,134 |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 26,000 | 24,822 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 11,000 | 10,479 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 8,000 | 7,726 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 6,000 | 5,967 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 98,500 | 102,363 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 13,000 | 13,087 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 3,500 | 3,491 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 80,000 | 78,387 |
1 United States Treasury Note/Bond | 2.625% | 11/15/20 | 601,000 | 623,165 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 12,500 | 12,430 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 142,500 | 141,209 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 108,500 | 106,041 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 111,000 | 107,930 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 63,000 | 59,771 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 72,000 | 67,208 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 170,000 | 157,835 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 100,000 | 95,484 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 280,100 | 260,275 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 45,400 | 44,925 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 16,000 | 16,137 |
5,051,441 | ||||
Conventional Mortgage-Backed Securities (0.0%) | ||||
2,3 Freddie Mac Gold Pool | 7.000% | 5/1/15–3/1/16 | 61 | 64 |
Total U.S. Government and Agency Obligations (Cost $5,027,655) | 5,051,505 | |||
Shares | ||||
Temporary Cash Investment (0.5%) | ||||
4Money Market Fund (0.5%) | ||||
Vanguard Market Liquidity Fund | ||||
(Cost $24,819) | 0.130% | 24,819,102 | 24,819 | |
Total Investments (99.8%) (Cost $5,052,474) | 5,076,324 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 159 | (234) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 161 | (123) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 320 | (10) | |
Total Liability for Options Written (Premiums received $206) | (367) | |||
Other Assets and Liabilities (0.2%) | ||||
Other Assets | 96,724 | |||
Other Liabilities | (84,104) | |||
12,620 | ||||
Net Assets (100%) | 5,088,577 |
51
Intermediate-Term Treasury Fund | |
At January 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 5,054,480 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 10,815 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 23,850 |
Futures Contracts | (407) |
Options on Futures Contracts | (161) |
Net Assets | 5,088,577 |
Investor Shares—Net Assets | |
Applicable to 130,120,996 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,469,308 |
Net Asset Value Per Share—Investor Shares | $11.29 |
Admiral Shares—Net Assets | |
Applicable to 320,520,221 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,619,269 |
Net Asset Value Per Share—Admiral Shares | $11.29 |
See Note A in Notes to Financial Statements.
1 Securities with a value of $2,367,000 have been segregated as initial margin for open futures contracts.
2 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.
3 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.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Intermediate-Term Treasury Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 93,502 |
Total Income | 93,502 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 537 |
Management and Administrative—Investor Shares | 2,623 |
Management and Administrative—Admiral Shares | 2,572 |
Marketing and Distribution—Investor Shares | 477 |
Marketing and Distribution—Admiral Shares | 842 |
Custodian Fees | 66 |
Auditing Fees | 34 |
Shareholders’ Reports—Investor Shares | 45 |
Shareholders’ Reports—Admiral Shares | 21 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 7,223 |
Net Investment Income | 86,279 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 37,300 |
Futures Contracts | (545) |
Options on Futures Contracts | (188) |
Realized Net Gain (Loss) | 36,567 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (167,486) |
Futures Contracts | (23) |
Options on Futures Contracts | (171) |
Change in Unrealized Appreciation (Depreciation) | (167,680) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,834) |
1 Interest income from an affiliated company of the fund was $9,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Intermediate-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 86,279 | 88,910 |
Realized Net Gain (Loss) | 36,567 | 74,596 |
Change in Unrealized Appreciation (Depreciation) | (167,680) | (89,318) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,834) | 74,188 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (24,769) | (29,937) |
Admiral Shares | (61,510) | (58,973) |
Realized Capital Gain1 | ||
Investor Shares | (7,344) | (28,688) |
Admiral Shares | (17,593) | (52,996) |
Total Distributions | (111,216) | (170,594) |
Capital Share Transactions | ||
Investor Shares | (384,585) | (450,758) |
Admiral Shares | (384,439) | 61,210 |
Net Increase (Decrease) from Capital Share Transactions | (769,024) | (389,548) |
Total Increase (Decrease) | (925,074) | (485,954) |
Net Assets | ||
Beginning of Period | 6,013,651 | 6,499,605 |
End of Period | 5,088,577 | 6,013,651 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $0 and $52,317,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
54
Intermediate-Term Treasury Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.60 | $11.78 | $11.34 | $11.28 | $11.78 |
Investment Operations | |||||
Net Investment Income | .170 | .156 | .226 | .299 | .356 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.256) | (.028) | .931 | .323 | (.050) |
Total from Investment Operations | (.086) | .128 | 1.157 | .622 | .306 |
Distributions | |||||
Dividends from Net Investment Income | (.170) | (.156) | (.226) | (.299) | (.354) |
Distributions from Realized Capital Gains | (.054) | (.152) | (.491) | (.263) | (.452) |
Total Distributions | (.224) | (.308) | (.717) | (.562) | (.806) |
Net Asset Value, End of Period | $11.29 | $11.60 | $11.78 | $11.34 | $11.28 |
Total Return1 | -0.74% | 1.10% | 10.36% | 5.59% | 2.71% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,469 | $1,902 | $2,385 | $2,259 | $2,420 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.25% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.48% | 1.33% | 1.92% | 2.58% | 3.08% |
Portfolio Turnover Rate | 42% | 117%2 | 273%2 | 80% | 109% |
1 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.
2 Includes 64% and 119% attributable to mortgage-dollar-roll activity in 2013 and 2012, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
55
Intermediate-Term Treasury Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.60 | $11.78 | $11.34 | $11.28 | $11.78 |
Investment Operations | |||||
Net Investment Income | .181 | .168 | .237 | .313 | .371 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.256) | (.028) | .931 | .323 | (.050) |
Total from Investment Operations | (.075) | .140 | 1.168 | .636 | .321 |
Distributions | |||||
Dividends from Net Investment Income | (.181) | (.168) | (.237) | (.313) | (.369) |
Distributions from Realized Capital Gains | (.054) | (.152) | (.491) | (.263) | (.452) |
Total Distributions | (.235) | (.320) | (.728) | (.576) | (.821) |
Net Asset Value, End of Period | $11.29 | $11.60 | $11.78 | $11.34 | $11.28 |
Total Return | -0.64% | 1.20% | 10.47% | 5.72% | 2.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,619 | $4,112 | $4,115 | $4,101 | $3,556 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.58% | 1.43% | 2.02% | 2.70% | 3.21% |
Portfolio Turnover Rate | 42% | 117%1 | 273%1 | 80% | 109% |
1 Includes 64% and 119% attributable to mortgage-dollar-roll activity in 2013 and 2012, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
56
Intermediate-Term Treasury Fund
Notes to Financial Statements
Vanguard Intermediate-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 3% and 2% of net assets, respectively, based on quarterly average aggregate settlement values.
57
Intermediate-Term Treasury Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on quarterly average market values.
3. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral. The fund had no open repurchase agreements at January 31, 2014.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Other: Interest income includes distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $557,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.22% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
58
Intermediate-Term Treasury Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,051,505 | — |
Temporary Cash Investments | 24,819 | — | — |
Futures Contracts—Assets1 | 64 | — | — |
Futures Contracts—Liabilities1 | (230) | — | — |
Liability for Options Written | (367) | — | — |
Total | 24,286 | 5,051,505 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
10-Year U. S. Treasury Note | March 2014 | (320) | (40,240) | (407) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $4,889,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at January 31, 2014, the fund had $11,972,000 of long-term capital gains available for distribution.
59
Intermediate-Term Treasury Fund
At January 31, 2014, the cost of investment securities for tax purposes was $5,054,199,000. Net unrealized appreciation of investment securities for tax purposes was $22,125,000, consisting of unrealized gains of $76,390,000 on securities that had risen in value since their purchase and $54,265,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $2,310,604,000 of investment securities and sold $3,055,772,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the year ended January 31, 2014.
Premiums | ||||
Number of | Received | |||
Options | Contracts | ($000) | ||
Balance at January 31, 2013 | 328 | 219 | ||
Options written | 2,402 | 1,037 | ||
Options expired | — | — | ||
Options closed | (2,090) | (1,050) | ||
Options exercised | — | — | ||
Options open at January 31, 2014 | 640 | 206 | ||
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 289,640 | 25,287 | 521,578 | 44,439 |
Issued in Lieu of Cash Distributions | 29,371 | 2,579 | 50,997 | 4,368 |
Redeemed | (703,596) | (61,697) | (1,023,333) | (87,273) |
Net Increase (Decrease)—Investor Shares | (384,585) | (33,831) | (450,758) | (38,466) |
Admiral Shares | ||||
Issued | 749,650 | 65,584 | 993,351 | 84,642 |
Issued in Lieu of Cash Distributions | 65,491 | 5,753 | 97,448 | 8,345 |
Redeemed | (1,199,580) | (105,270) | (1,029,589) | (87,732) |
Net Increase (Decrease) —Admiral Shares | (384,439) | (33,933) | 61,210 | 5,255 |
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
60
GNMA Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFIIX | VFIJX | |
Expense Ratio1 | 0.21% | 0.11% | |
30-Day SEC Yield | 2.67% | 2.77% | |
Financial Attributes | |||
Barclays | |||
Barclays | Aggregate | ||
GNMA | Bond | ||
Fund | Index | Index | |
Number of Bonds | 36 | 143 | 8,727 |
Yield to Maturity | |||
(before expenses) | 3.2% | 2.6% | 2.3% |
Average Coupon | 3.7% | 4.0% | 3.3% |
Average Duration | 5.8 years | 5.7 years | 5.5 years |
Average Effective | |||
Maturity | 8.3 years | 8.4 years | 7.6 years |
Short-Term | |||
Reserves | 1.0% | — | — |
Number of Bonds: Issues are mortgage pools grouped by coupon.
Sector Diversification (% of portfolio) | |
Government Mortgage-Backed | 99.9% |
Treasury/Agency | 0.1 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
Barclays | Aggregate | |
GNMA | Bond | |
Index | Index | |
R-Squared | 0.97 | 0.78 |
Beta | 1.05 | 0.90 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 100.0% |
For information about these ratings, see the Glossary entry for | |
Credit Quality. | |
Distribution by Coupon (% of portfolio) | |
Below 5.0% | 74.3% |
5.0% to 6.0% | 17.9 |
6.0% to 7.0% | 7.0 |
7.0% and Above | 0.8 |
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.21% for Investor Shares and 0.11% for Admiral Shares.
61
GNMA Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended January 31, 2014 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
GNMA Fund Investor Shares | 0.34% | 4.39% | 4.72% | $15,857 | |
•••••••• | Barclays U.S. GNMA Bond Index | 0.25 | 4.38 | 4.82 | 16,013 |
– – – – | GNMA Funds Average | -0.60 | 4.24 | 4.16 | 15,028 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 | |
GNMA Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
Final Value | |||||
One | Five | Ten | of a $50,000 | ||
Year | Years | Years | Investment | ||
GNMA Fund Admiral Shares | 0.44% | 4.50% | 4.82% | $80,068 | |
Barclays U.S. GNMA Bond Index | 0.25 | 4.38 | 4.82 | 80,067 | |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
62
GNMA Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
GNMA | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 4.69% | -0.38% | 4.31% | 4.42% |
2006 | 4.69 | -1.81 | 2.88 | 2.96 |
2007 | 5.20 | -1.26 | 3.94 | 4.27 |
2008 | 5.51 | 3.05 | 8.56 | 8.80 |
2009 | 5.08 | 0.57 | 5.65 | 5.98 |
2010 | 3.94 | 2.87 | 6.81 | 6.78 |
2011 | 3.42 | 2.29 | 5.71 | 5.33 |
2012 | 3.41 | 4.55 | 7.96 | 8.21 |
2013 | 2.61 | -1.26 | 1.35 | 1.54 |
2014 | 2.28 | -1.94 | 0.34 | 0.25 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 6/27/1980 | -2.22% | 3.95% | 4.09% | 0.48% | 4.57% |
Admiral Shares | 2/12/2001 | -2.13 | 4.06 | 4.19 | 0.48 | 4.67 |
63
GNMA Fund
Financial Statements
Statement of Net Assets
As of January 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (99.1%) | |||||
Conventional Mortgage-Backed Securities (97.7%) | |||||
1,2,3 Fannie Mae Pool | 2.500% | 2/1/44 | 354,100 | 328,980 | |
1,2 | Fannie Mae Pool | 2.950% | 5/1/28 | 17,797 | 16,776 |
1,2,3 Fannie Mae Pool | 3.000% | 2/1/44 | 638,700 | 620,740 | |
1,2 | Fannie Mae Pool | 3.360% | 11/1/23 | 12,471 | 12,571 |
1,2 | Fannie Mae Pool | 3.460% | 9/1/23 | 133,822 | 136,965 |
1,2,3 Fannie Mae Pool | 3.500% | 6/1/42–2/1/44 | 467,529 | 474,360 | |
1,2 | Fannie Mae Pool | 3.640% | 1/1/24 | 4,400 | 4,467 |
1,2 | Fannie Mae Pool | 3.665% | 1/1/24 | 38,550 | 39,303 |
1,2 | Fannie Mae Pool | 3.680% | 1/1/24 | 3,492 | 3,563 |
1,2 | Fannie Mae Pool | 3.690% | 10/1/42 | 1,868 | 1,791 |
1,2 | Fannie Mae Pool | 3.740% | 8/1/23 | 15,500 | 15,886 |
1,2 | Fannie Mae Pool | 3.750% | 7/1/25 | 4,800 | 4,900 |
1,2 | Fannie Mae Pool | 3.755% | 8/1/25 | 7,311 | 7,479 |
1,2 | Fannie Mae Pool | 3.790% | 8/1/25 | 2,629 | 2,700 |
1,2 | Fannie Mae Pool | 3.820% | 11/1/25 | 11,333 | 11,630 |
1,2 | Fannie Mae Pool | 3.870% | 10/1/25 | 16,167 | 16,689 |
1,2 | Fannie Mae Pool | 3.910% | 11/1/25 | 13,000 | 13,371 |
1,2 | Fannie Mae Pool | 3.930% | 11/1/25 | 6,000 | 6,183 |
1,2 | Fannie Mae Pool | 3.940% | 8/1/25 | 12,333 | 12,781 |
1,2 | Fannie Mae Pool | 3.990% | 9/1/25 | 9,834 | 10,024 |
1,2 | Fannie Mae Pool | 4.060% | 9/1/25–10/1/28 | 21,748 | 22,757 |
1,2 | Fannie Mae Pool | 4.140% | 2/1/29 | 3,089 | 3,142 |
1,2 | Fannie Mae Pool | 4.150% | 10/1/28 | 11,841 | 12,319 |
1,2 | Fannie Mae Pool | 4.250% | 10/1/28–9/1/33 | 4,985 | 5,213 |
1,2 | Fannie Mae Pool | 4.380% | 10/1/28 | 10,120 | 10,689 |
1,2 | Fannie Mae Pool | 4.400% | 8/1/28 | 2,305 | 2,439 |
1,2 | Fannie Mae Pool | 5.000% | 11/1/40–4/1/41 | 21,248 | 23,360 |
1,2 | Fannie Mae Pool | 5.180% | 2/1/26 | 3,089 | 3,464 |
1,2 | Fannie Mae Pool | 6.000% | 7/1/22 | 16 | 18 |
1,2,3 Freddie Mac Gold Pool | 3.000% | 4/1/42–2/1/44 | 2,429,803 | 2,358,686 | |
1,2 | Freddie Mac Gold Pool | 3.500% | 3/1/42–10/1/42 | 298,133 | 302,014 |
1 | Ginnie Mae I Pool | 2.500% | 11/15/42–12/1/43 | 165,523 | 157,308 |
1,3 | Ginnie Mae I Pool | 3.000% | 11/15/41–2/1/44 | 1,514,097 | 1,502,189 |
1 | Ginnie Mae I Pool | 3.500% | 8/15/39–2/1/44 | 1,249,389 | 1,288,766 |
1 | Ginnie Mae I Pool | 3.750% | 7/15/42 | 6,932 | 7,253 |
1 | Ginnie Mae I Pool | 3.875% | 5/15/42–6/15/42 | 12,413 | 12,987 |
1 | Ginnie Mae I Pool | 4.000% | 6/15/19–2/1/44 | 1,935,844 | 2,061,469 |
64
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | Ginnie Mae I Pool | 4.500% | 5/15/19–2/1/44 | 2,248,268 | 2,446,783 |
1 | Ginnie Mae I Pool | 5.000% | 1/15/30–2/1/44 | 1,991,252 | 2,193,270 |
1 | Ginnie Mae I Pool | 5.500% | 2/15/14–2/1/44 | 1,277,851 | 1,417,245 |
1 | Ginnie Mae I Pool | 6.000% | 10/15/16–6/15/41 | 830,451 | 919,689 |
1 | Ginnie Mae I Pool | 6.500% | 3/15/14–7/15/40 | 641,409 | 709,105 |
1 | Ginnie Mae I Pool | 7.000% 11/15/31–11/15/36 | 113,840 | 130,385 | |
1 | Ginnie Mae I Pool | 7.250% | 1/15/27–2/15/27 | 74 | 76 |
1 | Ginnie Mae I Pool | 7.500% | 10/15/31 | 43,838 | 50,381 |
1 | Ginnie Mae I Pool | 7.750% | 2/15/27 | 29 | 30 |
1 | Ginnie Mae I Pool | 8.000% | 8/15/31 | 18,880 | 21,815 |
1 | Ginnie Mae I Pool | 8.500% | 5/15/16–6/15/28 | 3,901 | 4,080 |
1 | Ginnie Mae I Pool | 9.000% | 4/15/16–5/15/21 | 1,911 | 1,981 |
1 | Ginnie Mae I Pool | 9.250% | 9/15/16–7/15/17 | 8 | 8 |
1 | Ginnie Mae I Pool | 9.500% | 3/15/16–8/15/21 | 1,295 | 1,354 |
1 | Ginnie Mae I Pool | 10.000% | 2/15/16–7/15/19 | 31 | 32 |
1 | Ginnie Mae I Pool | 11.000% | 2/15/18 | 3 | 3 |
1 | Ginnie Mae II Pool | 2.500% | 4/20/43 | 34,219 | 32,500 |
1 | Ginnie Mae II Pool | 3.000% | 1/20/42–5/20/42 | 54,300 | 53,926 |
1,3 | Ginnie Mae II Pool | 3.500% | 4/20/42–2/1/44 | 2,300,513 | 2,368,932 |
1,3 | Ginnie Mae II Pool | 4.000% | 6/20/39–2/1/44 | 2,632,667 | 2,797,220 |
1,3 | Ginnie Mae II Pool | 4.500% | 12/20/32–2/1/44 | 2,119,297 | 2,304,434 |
1 | Ginnie Mae II Pool | 5.000% | 10/20/32–7/20/42 | 874,758 | 965,536 |
1 | Ginnie Mae II Pool | 5.500% | 1/20/34–7/20/40 | 97,394 | 107,618 |
1 | Ginnie Mae II Pool | 6.000% | 4/20/28–8/20/40 | 138,136 | 154,143 |
1 | Ginnie Mae II Pool | 6.500% | 4/20/37–3/20/41 | 3,642 | 4,051 |
1 | Ginnie Mae II Pool | 7.000% | 10/20/25–5/20/38 | 410 | 441 |
1 | Ginnie Mae II Pool | 7.500% | 6/20/25–8/20/25 | 252 | 285 |
1 | Ginnie Mae II Pool | 8.000% | 12/20/15–4/20/16 | 17 | 17 |
1 | Ginnie Mae II Pool | 8.500% | 4/20/16–1/20/17 | 192 | 199 |
1 | Ginnie Mae II Pool | 9.000% | 6/20/16–9/20/16 | 49 | 54 |
1 | Ginnie Mae II Pool | 10.000% | 11/20/15–8/20/18 | 15 | 17 |
1 | Ginnie Mae II Pool | 11.000% | 7/20/14–2/20/16 | 2 | 2 |
1 | Ginnie Mae II Pool | 11.250% | 9/20/15–2/20/16 | 14 | 14 |
1 | Ginnie Mae II Pool | 11.500% | 9/20/15–11/20/15 | 2 | 2 |
1 | Ginnie Mae II Pool | 12.000% | 6/20/14–12/20/15 | 7 | 6 |
1 | Ginnie Mae II Pool | 12.500% | 6/20/14–7/20/15 | 1 | 1 |
1 | Ginnie Mae II Pool | 13.500% | 9/20/14–10/20/14 | 1 | 1 |
26,200,868 | |||||
Nonconventional Mortgage-Backed Securities (1.4%) | |||||
1,2 | Fannie Mae REMICS | 3.000% | 11/25/42–6/25/43 | 70,350 | 55,699 |
1,2 | Fannie Mae REMICS | 3.500% | 7/25/43 | 18,216 | 16,374 |
1,2 | Fannie Mae REMICS | 6.000% | 10/25/28–9/25/32 | 11,605 | 12,982 |
1,2 | Freddie Mac REMICS | 3.000% | 8/15/42–3/15/43 | 108,843 | 90,727 |
1,2 | Freddie Mac REMICS | 6.000% | 4/15/28–11/15/32 | 36,439 | 40,815 |
1,4 | Ginnie Mae REMICS | 0.357% | 2/20/37 | 9,649 | 9,571 |
1 | Ginnie Mae REMICS | 2.500% | 8/16/42–11/20/43 | 32,321 | 25,652 |
1 | Ginnie Mae REMICS | 3.000% | 3/20/43 | 10,692 | 9,553 |
1 | Ginnie Mae REMICS | 3.500% | 7/20/43 | 23,327 | 23,010 |
1 | Ginnie Mae REMICS | 4.500% | 6/20/39 | 10,892 | 11,595 |
1 | Ginnie Mae REMICS | 5.000% | 6/16/37 | 35,467 | 38,882 |
1 | Ginnie Mae REMICS | 5.500% | 1/20/33–8/16/36 | 30,686 | 34,424 |
1 | Ginnie Mae REMICS | 6.500% | 4/20/31 | 2,919 | 3,356 |
372,640 | |||||
Total U.S. Government and Agency Obligations (Cost $26,081,018) | 26,573,508 |
65
GNMA Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Temporary Cash Investments (13.4%) | ||||
Repurchase Agreements (4.6%) | ||||
Bank of America Securities, LLC | ||||
(Dated 1/31/14, Repurchase Value $17,200,000, | ||||
collateralized by Federal Home Loan Mortgage | ||||
Corp. 4.000%, 3/1/43, with a value of | ||||
$17,544,000) | 0.020% | 2/3/14 | 17,200 | 17,200 |
Bank of Montreal | ||||
(Dated 1/31/14, Repurchase Value $50,000,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
2.500%–3.500%, 11/1/27–8/1/33, with a value of | ||||
$51,514,000) | 0.030% | 2/3/14 | 50,000 | 50,000 |
Bank of Montreal | ||||
(Dated 1/31/14, Repurchase Value $50,000,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
1.375%–1.500%, 1/31/19–5/31/20, with a value | ||||
of $51,000,000) | 0.020% | 2/3/14 | 50,000 | 50,000 |
Barclays Capital Inc. | ||||
(Dated 1/31/14, Repurchase Value $7,700,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.750%, 6/30/17, with a value of $7,854,000) | 0.020% | 2/3/14 | 7,700 | 7,700 |
Citigroup Global Markets Inc. | ||||
(Dated 1/31/14, Repurchase Value $212,700,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
1.000%–7.625%, 11/30/15–2/15/31, and | ||||
Federal Home Loan Mortgage Corp. 0.000%, | ||||
1/26/15, with a value of $216,954,000) | 0.020% | 2/3/14 | 212,700 | 212,700 |
Credit Suisse Securities (USA), LLC | ||||
(Dated 1/31/14, Repurchase Value $4,300,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
3.000%, 8/31/16, with a value of $4,387,000) | 0.010% | 2/3/14 | 4,300 | 4,300 |
HSBC Bank USA | ||||
(Dated 1/31/14, Repurchase Value $69,100,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
2.500%–4.500%, 11/1/27–1/1/41, with a value of | ||||
$70,486,000) | 0.020% | 2/3/14 | 69,100 | 69,100 |
HSBC Bank USA | ||||
(Dated 1/31/14, Repurchase Value $175,000,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
2.500%–4.500%, 11/1/27–6/1/42, with a value of | ||||
$178,504,000) | 0.020% | 2/3/14 | 175,000 | 175,000 |
RBC Capital Markets LLC | ||||
(Dated 1/31/14, Repurchase Value $60,000,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
3.500%, 8/1/42, with a value of $61,200,000) | 0.020% | 2/3/14 | 60,000 | 60,000 |
RBS Securities, Inc. | ||||
(Dated 1/31/14, Repurchase Value $469,501,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.250%–3.125%, 9/15/15–10/31/20, with a value | ||||
of $478,890,000) | 0.020% | 2/3/14 | 469,500 | 469,500 |
66
GNMA Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
TD Securities (USA) LLC | ||||
(Dated 1/31/14, Repurchase Value $122,000,000, | ||||
collateralized by Federal Farm Credit Bank | ||||
0.136%–0.190%, 9/22/15–9/12/16, | ||||
Federal Home Loan Bank 0.000%, 1/10/17, | ||||
Federal Home Loan Mortgage Corp. | ||||
0.500%–5.500%, 5/13/16–12/1/43, and | ||||
Federal National Mortgage Assn. | ||||
0.500%–4.000%, 7/2/15–2/1/42, with a value | ||||
of $124,472,000) | 0.030% | 2/3/14 | 122,000 | 122,000 |
1,237,500 | ||||
U.S. Government and Agency Obligations (8.8%) | ||||
United States Treasury Bill | 0.025%–0.030% | 3/6/14 | 850,000 | 849,978 |
United States Treasury Bill | 0.030%–0.031% | 4/17/14 | 1,500,000 | 1,499,910 |
2,349,888 | ||||
Total Temporary Cash Investments (Cost $3,587,384) | 3,587,388 | |||
Total Investments (112.5%) (Cost $29,668,402) | 30,160,896 | |||
Other Assets and Liabilities (-12.5%) | ||||
Other Assets5 | 2,896,423 | |||
Liabilities | (6,244,763) | |||
(3,348,340) | ||||
Net Assets (100%) | 26,812,556 | |||
At January 31, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 26,613,411 | |||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Losses | (303,474) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 492,494 | |||
Futures Contracts | 10,125 | |||
Net Assets | 26,812,556 | |||
Investor Shares—Net Assets | ||||
Applicable to 898,455,211 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 9,535,396 | |||
Net Asset Value Per Share—Investor Shares | $10.61 |
67
GNMA Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 1,627,908,741 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 17,277,160 |
Net Asset Value Per Share—Admiral Shares | $10.61 |
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.
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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2014.
4 Adjustable-rate security.
5 Cash of $6,837,000 has been segregated as initial margin for open futures contracts.
REMICS—Real Estate Mortgage Investment Conduits.
See accompanying Notes, which are an integral part of the Financial Statements.
68
GNMA Fund | |
Statement of Assets and Liabilities | |
As of January 31, 2014 | |
Amount | |
($000) | |
Assets | |
Investments in Securities, at Value | 30,160,896 |
Receivables for Investment Securities Sold | 2,756,626 |
Other Assets | 139,797 |
Total Assets | 33,057,319 |
Liabilities | |
Payables for Investment Securities Purchased | 6,148,053 |
Other Liabilities | 96,710 |
Total Liabilities | 6,244,763 |
Net Assets | 26,812,556 |
See accompanying Notes, which are an integral part of the Financial Statements.
69
GNMA Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest | 807,898 |
Total Income | 807,898 |
Expenses | |
Investment Advisory Fees—Note B | 3,017 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 19,184 |
Management and Administrative—Admiral Shares | 15,699 |
Marketing and Distribution—Investor Shares | 2,742 |
Marketing and Distribution—Admiral Shares | 4,324 |
Custodian Fees | 1,308 |
Auditing Fees | 32 |
Shareholders’ Reports—Investor Shares | 294 |
Shareholders’ Reports—Admiral Shares | 123 |
Trustees’ Fees and Expenses | 70 |
Total Expenses | 46,793 |
Net Investment Income | 761,105 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (206,810) |
Futures Contracts | (44,016) |
Realized Net Gain (Loss) | (250,826) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (620,075) |
Futures Contracts | 11,784 |
Change in Unrealized Appreciation (Depreciation) | (608,291) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (98,012) |
See accompanying Notes, which are an integral part of the Financial Statements.
70
GNMA Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 761,105 | 1,053,577 |
Realized Net Gain (Loss) | (250,826) | 423,815 |
Change in Unrealized Appreciation (Depreciation) | (608,291) | (900,172) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (98,012) | 577,220 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (259,379) | (383,317) |
Admiral Shares | (501,726) | (670,260) |
Realized Capital Gain1 | ||
Investor Shares | (12,113) | (157,942) |
Admiral Shares | (22,747) | (277,544) |
Total Distributions | (795,965) | (1,489,063) |
Capital Share Transactions | ||
Investor Shares | (3,898,916) | (1,084,661) |
Admiral Shares | (7,266,306) | 1,910,789 |
Net Increase (Decrease) from Capital Share Transactions | (11,165,222) | 826,128 |
Total Increase (Decrease) | (12,059,199) | (85,715) |
Net Assets | ||
Beginning of Period | 38,871,755 | 38,957,470 |
End of Period | 26,812,556 | 38,871,755 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $6,972,000 and $262,409,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
71
GNMA Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.83 | $11.09 | $10.73 | $10.76 | $10.53 |
Investment Operations | |||||
Net Investment Income | . 244 | . 288 | .353 | .359 | .402 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.210) | (.139) | .488 | .245 | .302 |
Total from Investment Operations | .034 | .149 | .841 | .604 | .704 |
Distributions | |||||
Dividends from Net Investment Income | (.244) | (.288) | (. 353) | (. 359) | (. 402) |
Distributions from Realized Capital Gains | (. 010) | (.121) | (.128) | (.275) | (.072) |
Total Distributions | (. 254) | (. 409) | (. 481) | (. 634) | (. 474) |
Net Asset Value, End of Period | $10.61 | $10.83 | $11.09 | $10.73 | $10.76 |
Total Return1 | 0.34% | 1.35% | 7.96% | 5.71% | 6.81% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $9,535 | $13,745 | $15,151 | $14,384 | $17,800 |
Ratio of Total Expenses to Average Net Assets | 0.21% | 0.21% | 0.21% | 0.23% | 0.23% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.31% | 2.59% | 3.25% | 3.26% | 3.71% |
Portfolio Turnover Rate2 | 167% | 130% | 189% | 386% | 272% |
1 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.
2 Includes 149%, 82%, 147%, 207%, and 114% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
72
GNMA Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.83 | $11.09 | $10.73 | $10.76 | $10.53 |
Investment Operations | |||||
Net Investment Income | .255 | .299 | .364 | .372 | .413 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.210) | (.139) | .488 | .245 | .302 |
Total from Investment Operations | .045 | .160 | .852 | .617 | .715 |
Distributions | |||||
Dividends from Net Investment Income | (. 255) | (. 299) | (. 364) | (. 372) | (. 413) |
Distributions from Realized Capital Gains | (. 010) | (.121) | (.128) | (.275) | (.072) |
Total Distributions | (. 265) | (. 420) | (. 492) | (. 647) | (.485) |
Net Asset Value, End of Period | $10.61 | $10.83 | $11.09 | $10.73 | $10.76 |
Total Return | 0.44% | 1.45% | 8.07% | 5.84% | 6.92% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $17,277 | $25,127 | $23,806 | $21,612 | $18,457 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.11% | 0.11% | 0.11% | 0.13% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.41% | 2.69% | 3.35% | 3.38% | 3.81% |
Portfolio Turnover Rate1 | 167% | 130% | 189% | 386% | 272% |
1 Includes 149%, 82%, 147%, 207%, and 114% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
73
GNMA Fund
Notes to Financial Statements
Vanguard GNMA Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 5% and less than 1% of net assets, respectively, based on quarterly average aggregate settlement values.
3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.
74
GNMA Fund
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.
5. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
8. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
75
GNMA Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company, LLP, provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the year ended January 31, 2014, the investment advisory fee represented an effective annual rate of 0.01% of the fund’s average net assets.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $2,964,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.19% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 26,573,508 | — |
Temporary Cash Investments | — | 3,587,388 | — |
Futures Contracts—Assets1 | 1,265 | — | — |
Futures Contracts—Liabilities1 | (319) | — | — |
Total | 946 | 30,160,896 | — |
1 Represents variation margin on the last day of the reporting period. |
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GNMA Fund
E. At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
5-Year U.S. Treasury Note | March 2014 | 8,224 | 992,020 | 10,411 |
10-Year U.S. Treasury Note | March 2014 | (1,073) | (134,930) | (801) |
30-Year U.S. Treasury Bond | March 2014 | 141 | 18,837 | 515 |
10,125 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
For tax purposes, at January 31, 2014, the fund had available capital losses totaling $281,908,000 that may be carried forward indefinitely to offset future net capital gains.
At January 31, 2014, the cost of investment securities for tax purposes was $29,678,663,000. Net unrealized appreciation of investment securities for tax purposes was $482,233,000, consisting of unrealized gains of $655,273,000 on securities that had risen in value since their purchase and $173,040,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the year ended January 31, 2014, the fund purchased $53,497,440,000 of investment securities and sold $64,430,057,000 of investment securities, other than temporary cash investments.
77
GNMA Fund
H. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,264,943 | 117,783 | 3,293,362 | 299,020 |
Issued in Lieu of Cash Distributions | 243,253 | 22,899 | 481,213 | 43,736 |
Redeemed | (5,407,112) | (510,950) | (4,859,236) | (440,593) |
Net Increase (Decrease)—Investor Shares | (3,898,916) | (370,268) | (1,084,661) | (97,837) |
Admiral Shares | ||||
Issued | 2,486,904 | 233,395 | 6,162,379 | 558,114 |
Issued in Lieu of Cash Distributions | 399,816 | 37,629 | 747,975 | 68,001 |
Redeemed | (10,153,026) | (962,409) | (4,999,565) | (453,956) |
Net Increase (Decrease) —Admiral Shares | (7,266,306) | (691,385) | 1,910,789 | 172,159 |
I. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
78
Long-Term Treasury Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VUSTX | VUSUX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 3.37% | 3.47% | |
Financial Attributes | |||
Barclays | Barclays | ||
Long | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 25 | 40 | 8,727 |
Yield to Maturity | |||
(before expenses) | 3.4% | 3.5% | 2.3% |
Average Coupon | 3.7% | 4.0% | 3.3% |
Average Duration | 15.1 years | 16.3 years | 5.5 years |
Average Effective | |||
Maturity | 24.3 years | 24.8 years | 7.6 years |
Short-Term | |||
Reserves | 0.6% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
Long | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.64 |
Beta | 1.01 | 3.63 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.6% |
7 - 10 Years | 2.8 |
10 - 20 Years | 17.7 |
20 - 30 Years | 78.9 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 100.0% |
For information about these ratings, see the Glossary entry for | |
Credit Quality. |
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
79
Long-Term Treasury Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Long-Term Treasury Fund Investor | ||||
Shares | -4.45% | 5.29% | 6.11% | $18,101 |
Barclays U.S. Long Treasury Bond | ||||
•••••••• | ||||
Index | -4.49 | 5.27 | 6.33 | 18,477 |
– – – – General U.S. Treasury Funds Average | -2.13 | 3.83 | 4.84 | 16,035 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 |
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Long-Term Treasury Fund Admiral Shares | -4.36% | 5.40% | 6.25% | $91,677 |
Barclays U.S. Long Treasury Bond Index | -4.49 | 5.27 | 6.33 | 92,384 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
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Long-Term Treasury Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
Long | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 5.27% | 2.74% | 8.01% | 8.56% |
2006 | 4.84 | -1.86 | 2.98 | 2.93 |
2007 | 4.92 | -3.12 | 1.80 | 2.00 |
2008 | 5.27 | 7.82 | 13.09 | 13.58 |
2009 | 4.57 | 4.68 | 9.25 | 10.38 |
2010 | 3.98 | -5.33 | -1.35 | -2.19 |
2011 | 4.03 | -0.45 | 3.58 | 4.29 |
2012 | 4.13 | 28.40 | 32.53 | 32.74 |
2013 | 2.73 | -2.73 | 0.00 | -0.02 |
2014 | 2.97 | -7.42 | -4.45 | -4.49 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 5/19/1986 | -13.03% | 2.19% | 4.25% | 1.40% | 5.65% |
Admiral Shares | 2/12/2001 | -12.94 | 2.31 | 4.39 | 1.40 | 5.79 |
81
Long-Term Treasury Fund
Financial Statements
Statement of Net Assets
As of January 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (98.2%) | |||||
U.S. Government Securities (98.2%) | |||||
United States Treasury Note/Bond | 2.750% | 11/15/23 | 71,000 | 71,610 | |
1 | United States Treasury Note/Bond | 6.000% | 2/15/26 | 62,900 | 82,832 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 4,000 | 5,118 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 51,250 | 64,094 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 112,200 | 140,408 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 10,000 | 13,647 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 111,500 | 142,528 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 84,900 | 99,173 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 154,000 | 153,470 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 61,200 | 68,869 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 148,600 | 170,472 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 71,550 | 85,268 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 109,449 | 125,592 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 253,000 | 267,823 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 43,500 | 48,951 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 80,000 | 82,700 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 37,250 | 34,223 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 125,000 | 114,668 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 103,700 | 92,650 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 210,850 | 178,299 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 322,700 | 272,278 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 103,700 | 94,578 | |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 123,797 | 106,988 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 12,100 | 12,421 | |
2,528,660 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
2,3 | Fannie Mae Pool | 6.000% | 2/1/26–11/1/28 | 40 | 44 |
Total U.S. Government and Agency Obligations (Cost $2,472,723) | 2,528,704 | ||||
Shares | |||||
Temporary Cash Investment (0.8%) | |||||
Money Market Fund (0.8%) | |||||
4 | Vanguard Market Liquidity Fund | ||||
(Cost $19,809) | 0.130% | 19,808,821 | 19,809 | ||
Total Investments (99.0%) (Cost $2,492,532) | 2,548,513 |
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Long-Term Treasury Fund | |||
Market | |||
Value• | |||
Expiration | Contracts | ($000) | |
Liability for Options Written (0.0%) | |||
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 80 | (61) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 78 | (114) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 158 | (5) |
Total Liability for Options Written (Premiums Received $101) | (180) | ||
Other Assets and Liabilities (1.0%) | |||
Other Assets | 37,283 | ||
Other Liabilities | (10,092) | ||
27,191 | |||
Net Assets (100%) | 2,575,524 | ||
At January 31, 2014, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 2,529,069 | ||
Undistributed Net Investment Income | — | ||
Accumulated Net Realized Losses | (9,234) | ||
Unrealized Appreciation (Depreciation) | |||
Investment Securities | 55,981 | ||
Futures Contracts | (213) | ||
Options on Futures Contracts | (79) | ||
Net Assets | 2,575,524 | ||
Investor Shares—Net Assets | |||
Applicable to 87,651,400 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 1,012,685 | ||
Net Asset Value Per Share—Investor Shares | $11.55 | ||
Admiral Shares—Net Assets | |||
Applicable to 135,268,378 outstanding $.001 par value shares of | |||
beneficial interest (unlimited authorization) | 1,562,839 | ||
Net Asset Value Per Share—Admiral Shares | $11.55 |
• See Note A in Notes to Financial Statements.
1 Securities with a value of $1,339,000 have been segregated as initial margin for open futures contracts.
2 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.
3 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.
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.
See accompany Notes, which are an integral part of the Financial Statements.
83
Long-Term Treasury Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 97,726 |
Total Income | 97,726 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 292 |
Management and Administrative—Investor Shares | 1,823 |
Management and Administrative—Admiral Shares | 1,091 |
Marketing and Distribution—Investor Shares | 310 |
Marketing and Distribution—Admiral Shares | 439 |
Custodian Fees | 40 |
Auditing Fees | 31 |
Shareholders’ Reports—Investor Shares | 37 |
Shareholders’ Reports—Admiral Shares | 17 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 4,083 |
Net Investment Income | 93,643 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 30,334 |
Futures Contracts | (2,224) |
Options on Futures Contracts | (102) |
Realized Net Gain (Loss) | 28,008 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (277,065) |
Futures Contracts | (51) |
Options on Futures Contracts | (85) |
Change in Unrealized Appreciation (Depreciation) | (277,201) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (155,550) |
1 Interest income from an affiliated company of the fund was $8,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
84
Long-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 93,643 | 105,008 |
Realized Net Gain (Loss) | 28,008 | 81,626 |
Change in Unrealized Appreciation (Depreciation) | (277,201) | (192,027) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (155,550) | (5,393) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (36,369) | (43,251) |
Admiral Shares | (57,274) | (61,757) |
Realized Capital Gain1 | ||
Investor Shares | (11,456) | (39,999) |
Admiral Shares | (17,337) | (55,840) |
Total Distributions | (122,436) | (200,847) |
Capital Share Transactions | ||
Investor Shares | (227,010) | (189,622) |
Admiral Shares | (331,808) | (12,203) |
Net Increase (Decrease) from Capital Share Transactions | (558,818) | (201,825) |
Total Increase (Decrease) | (836,804) | (408,065) |
Net Assets | ||
Beginning of Period | 3,412,328 | 3,820,393 |
End of Period | 2,575,524 | 3,412,328 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $0 and $41,971,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
85
Long-Term Treasury Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.61 | $13.32 | $10.77 | $11.15 | $12.21 |
Investment Operations | |||||
Net Investment Income | . 374 | .369 | .382 | .462 | .475 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (. 937) | (.361) | 3.058 | (. 046) | (. 623) |
Total from Investment Operations | (.563) | .008 | 3.440 | .416 | (.148) |
Distributions | |||||
Dividends from Net Investment Income | (.374) | (. 369) | (. 382) | (. 462) | (. 474) |
Distributions from Realized Capital Gains | (.123) | (. 349) | (. 508) | (. 334) | (. 438) |
Total Distributions | (.497) | (.718) | (.890) | (.796) | (.912) |
Net Asset Value, End of Period | $11.55 | $12.61 | $13.32 | $10.77 | $11.15 |
Total Return1 | -4.45% | 0.00% | 32.53% | 3.58% | -1.35% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,013 | $1,349 | $1,621 | $1,244 | $1,446 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.25% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.14% | 2.78% | 3.14% | 3.98% | 4.12% |
Portfolio Turnover Rate | 44% | 105%2 | 229%2 | 52% | 77% |
1 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.
2 Includes 61% and 119% attributable to mortgage-dollar-roll activity in 2013 and 2012, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
86
Long-Term Treasury Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $12.61 | $13.32 | $10.77 | $11.15 | $12.21 |
Investment Operations | |||||
Net Investment Income | . 386 | .382 | .395 | .476 | .490 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (. 937) | (.361) | 3.058 | (. 046) | (. 623) |
Total from Investment Operations | (.551) | .021 | 3.453 | .430 | (.133) |
Distributions | |||||
Dividends from Net Investment Income | (.386) | (. 382) | (. 395) | (. 476) | (.489) |
Distributions from Realized Capital Gains | (.123) | (. 349) | (. 508) | (. 334) | (. 438) |
Total Distributions | (.509) | (.731) | (.903) | (.810) | (.927) |
Net Asset Value, End of Period | $11.55 | $12.61 | $13.32 | $10.77 | $11.15 |
Total Return | -4.36% | 0.10% | 32.66% | 3.71% | -1.23% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,563 | $2,063 | $2,199 | $1,567 | $1,245 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.24% | 2.88% | 3.24% | 4.10% | 4.25% |
Portfolio Turnover Rate | 44% | 105%1 | 229%1 | 52% | 77% |
1 Includes 61% and 119% attributable to mortgage-dollar-roll activity in 2013 and 2012, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
87
Long-Term Treasury Fund
Notes to Financial Statements
Vanguard Long-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 3% and 2% of net assets, respectively, based on quarterly average aggregate settlement values.
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Long-Term Treasury Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets based on quarterly average market values.
3. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral. The fund had no open repurchase agreements at January 31, 2014.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $270,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.11% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
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Long-Term Treasury Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 2,528,704 | — |
Temporary Cash Investments | 19,809 | — | — |
Futures Contracts—Assets1 | 21 | — | — |
Futures Contracts—Liabilities1 | (93) | — | — |
Liability for Options Written | (180) | — | — |
Total | 19,557 | 2,528,704 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
10-Year U.S. Treasury Note | March 2014 | (166) | (20,875) | (213) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $14,646,000 from accumulated net realized gains to paid-in capital.
Capital gains required to be distributed in December 2013 included gains realized through October 31, 2013; subsequently the fund realized losses of $7,343,000 which are deferred and will be treated as realized for tax purposes in 2014.
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Long-Term Treasury Fund
At January 31, 2014, the cost of investment securities for tax purposes was $2,494,716,000. Net unrealized appreciation of investment securities for tax purposes was $53,797,000, consisting of unrealized gains of $141,080,000 on securities that had risen in value since their purchase and $87,283,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $1,268,899,000 of investment securities and sold $1,858,696,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the year ended January 31, 2014.
Premiums | ||||
Number of | Received | |||
Options | Contracts | ($000) | ||
Balance at January 31, 2013 | 190 | 127 | ||
Options written | 1,285 | 556 | ||
Options expired | — | — | ||
Options closed | (1,159) | (582) | ||
Options exercised | — | — | ||
Options open at January 31, 2014 | 316 | 101 | ||
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 204,038 | 16,954 | 397,040 | 29,677 |
Issued in Lieu of Cash Distributions | 45,077 | 3,825 | 78,833 | 6,045 |
Redeemed | (476,125) | (40,104) | (665,495) | (50,476) |
Net Increase (Decrease)—Investor Shares | (227,010) | (19,325) | (189,622) | (14,754) |
Admiral Shares | ||||
Issued | 336,917 | 28,303 | 688,926 | 51,642 |
Issued in Lieu of Cash Distributions | 63,156 | 5,357 | 100,113 | 7,673 |
Redeemed | (731,881) | (62,043) | (801,242) | (60,845) |
Net Increase (Decrease)—Admiral Shares | (331,808) | (28,383) | (12,203) | (1,503) |
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Fixed Income Securities Funds and the Shareholders of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund, Vanguard GNMA Fund and Vanguard Long-Term Treasury Fund: In our opinion, the accompanying statements of net assets and the statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund, Vanguard GNMA Fund and Vanguard Long-Term Treasury Fund (constituting separate portfolios of Vanguard Fixed Income Securities Funds, hereafter referred to as the “Funds”) at January 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at January 31, 2014 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
March 13, 2014
Special 2013 tax information (unaudited) for Vanguard Short-Term Treasury Fund
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $6,805,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
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Special 2013 tax information (unaudited) for Vanguard Short-Term Federal Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $2,098,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the |
fund are qualified short-term capital gains. |
For nonresident alien shareholders, 96.1% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard Intermediate-Term Treasury Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $29,826,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 99.9% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard GNMA Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $27,888,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund |
are qualified short-term capital gains. |
For nonresident alien shareholders, 100% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard Long-Term Treasury Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of the |
Internal Revenue Code. |
The fund distributed $43,440,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 100% of income dividends are interest-related dividends. |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended January 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
7/31/2013 | 1/31/2014 | Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,004.89 | $1.01 |
Admiral Shares | 1,000.00 | 1,005.40 | 0.51 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,006.76 | $1.01 |
Admiral Shares | 1,000.00 | 1,007.27 | 0.51 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,009.37 | $1.01 |
Admiral Shares | 1,000.00 | 1,009.87 | 0.51 |
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,028.84 | $1.07 |
Admiral Shares | 1,000.00 | 1,029.36 | 0.56 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,020.70 | $1.02 |
Admiral Shares | 1,000.00 | 1,021.21 | 0.51 |
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Six Months Ended January 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
7/31/2013 | 1/31/2014 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,024.15 | $1.07 |
Admiral Shares | 1,000.00 | 1,024.65 | 0.56 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term Federal Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the GNMA Fund, 0.21% for Investor Shares and 0.11% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” For this report, credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is used.
Distribution by Coupon. A breakdown of the securities in a fund according to coupon rate—the interest rate that an issuer promises to pay, expressed as an annual percentage of face value. Securities with unusually high coupon rates may be subject to call risk, the possibility that they will be redeemed (or “called”) early by the issuer.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
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Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 180 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
Bioethical Issues. | |
IndependentTrustees | |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Chairman of the Board |
Chairman and Chief Executive Officer (retired 2009) | of Hillenbrand, Inc. (specialized consumer services), |
and President (2006–2008) of Rohm and Haas Co. | and of Oxfam America; Director of SKF AB (industrial |
(chemicals); Director of Tyco International, Ltd. | machinery), Hyster-Yale Materials Handling, Inc. |
(diversified manufacturing and services), Hewlett- | (forklift trucks), the Lumina Foundation for Education, |
Packard Co. (electronic computer manufacturing), |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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Q320 032014 |
Annual Report | January 31, 2014
Vanguard Corporate Bond Funds
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisors’ Report. | 10 |
Short-Term Investment-Grade Fund. | 16 |
Intermediate-Term Investment-Grade Fund. | 44 |
Long-Term Investment-Grade Fund. | 71 |
High-Yield Corporate Fund. | 92 |
About Your Fund’s Expenses. | 111 |
Trustees Approve Advisory Arrangement. | 113 |
Glossary. | 115 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMS Vanguard, another ship of that era, served as the flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | ||||
Fiscal Year Ended January 31, 2014 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Investment-Grade Fund | ||||
Investor Shares | 1.56% | 1.82% | -0.36% | 1.46% |
Admiral™ Shares | 1.66 | 1.92 | -0.36 | 1.56 |
Institutional Shares | 1.69 | 1.95 | -0.36 | 1.59 |
Barclays U.S. 1–5 Year Credit Bond Index | 1.78 | |||
1–5 Year Investment-Grade Debt Funds Average | 0.66 | |||
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Investment-Grade Fund | ||||
Investor Shares | 2.81% | 3.16% | -2.31% | 0.85% |
Admiral Shares | 2.91 | 3.26 | -2.31 | 0.95 |
Barclays U.S. 5–10 Year Credit Bond Index | 0.53 | |||
Spliced Core Bond Funds Average | 0.02 | |||
For a benchmark description, see the Glossary. | ||||
Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Long-Term Investment-Grade Fund | ||||
Investor Shares | 4.51% | 4.64% | -5.05% | -0.41% |
Admiral Shares | 4.61 | 4.74 | -5.05 | -0.31 |
Barclays U.S. Long Credit A or Better Bond Index | -1.10 | |||
Corporate A-Rated Debt Funds Average | 0.60 | |||
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard High-Yield Corporate Fund | ||||
Investor Shares | 4.25% | 5.84% | -1.31% | 4.53% |
Admiral Shares | 4.35 | 5.95 | -1.31 | 4.64 |
Barclays U.S. Corporate High Yield Bond Index | 6.77 | |||
High Yield Funds Average | 5.89 | |||
High Yield Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
1
Chairman’s Letter
Dear Shareholder,
Domestic stocks made strong gains during the 12 months ended January 31, 2014, as investors became more confident about the health of the economy. But the broad U.S. taxable bond market was virtually flat. Concerns about when the Federal Reserve might begin to reduce its massive bond-buying program contributed to a rise in yields.
Because bond yields and prices move in opposite directions, U.S. investment-grade bonds as a whole experienced price declines over the fiscal year. Vanguard Long-Term Investment-Grade Fund returned –0.41%; the income that its holdings generated was not enough to offset their steep drop in price. The three other funds managed to finish in positive territory: Vanguard Short-Term Investment-Grade Fund returned 1.46%, Vanguard Intermediate-Term Investment-Grade Fund 0.85%, and Vanguard High-Yield Corporate Fund 4.53%. (Returns noted are for Investor Shares.)
All three investment-grade funds performed roughly in line with or ahead of their benchmark indexes. The Short- and Intermediate-Term Investment-Grade Funds also outperformed their peer groups, but the Long-Term Investment-Grade Fund did not. The High-Yield Corporate Fund lagged its comparative standards.
Falling bond prices pushed the funds’ 30-day SEC yields higher. Compared with a year earlier, Investor Shares of the High-Yield Corporate Fund on
2
January 31, 2014, were up 1 basis point (one-hundredth of one percentage point); at the other end of the spectrum, those of the Intermediate-Term Investment-Grade Fund were up 72 basis points.
Before moving on to discuss the markets, I want to mention an important transition at Vanguard. We announced in November that Robert F. Auwaerter, principal and head of Vanguard Fixed Income Group, intends to retire in March 2014. At the conclusion of this letter, I’ll have more to say about Bob’s important contributions to Vanguard during his 32-year career and I’ll introduce his successor, Gregory Davis.
Bond returns were flat as the Fed firmed its strategy
Bond yields moved higher over the 12-month period largely on the outlook for reduced monetary support from the Fed, which ultimately began trimming its bond purchases in January. The broad U.S. taxable bond market returned 0.12%. Credit concerns about issuers including Detroit and Puerto Rico weighed on municipal bonds, which returned –1.07%.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –1.24%. The Fed’s continued target of 0%–0.25% for short-term interest rates tightly restricted returns of money market funds and savings accounts.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended January 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 0.12% | 3.73% | 4.93% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -1.07 | 5.76 | 5.54 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.06 | 0.09 |
Stocks | |||
Russell 1000 Index (Large-caps) | 22.23% | 14.14% | 19.84% |
Russell 2000 Index (Small-caps) | 27.03 | 14.69 | 22.26 |
Russell 3000 Index (Broad U.S. market) | 22.60 | 14.18 | 20.03 |
FTSE All-World ex US Index (International) | 5.78 | 3.37 | 14.38 |
CPI | |||
Consumer Price Index | 1.58% | 2.03% | 2.07% |
3
U.S. stocks found a groove before January volatility set in
U.S. stocks delivered generous returns in 2013, then slid over the first month of the new year. For the 12 months ended January 31, they produced impressive gains of nearly 23% despite the late reversal.
Strong corporate earnings growth and investors’ willingness to pay for those earnings drove stock markets, which were also buoyed by the Federal Reserve’s easy monetary policy. Nevertheless, equities declined over the period’s final month as investors worried about recent economic developments at home and abroad.
Overall, international stocks advanced about 6% for the 12 months. The developed markets of Europe and the Pacific region posted gains, but concerns about China’s weaker economy hurt stocks and currencies in various emerging-market countries.
For 2014, Vanguard Chief Economist Joe Davis and his team are guarded in their outlook for global stock returns, and their forecast for the bond market remains muted. Although Joe readily acknowledges that such forecasts are accompanied by uncertainty, he writes, “We believe that a long-term, strategic approach with a balanced, diversified, low-cost portfolio can remain a high-value proposition in
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
Investor | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Average | |
Short-Term Investment-Grade Fund | 0.20% | 0.10% | 0.07% | 0.81% |
Intermediate-Term Investment-Grade | ||||
Fund | 0.20 | 0.10 | — | 0.83 |
Long-Term Investment-Grade Fund | 0.22 | 0.12 | — | 0.93 |
High-Yield Corporate Fund | 0.23 | 0.13 | — | 1.12 |
The fund expense ratios shown are from the prospectus dated February 7, 2014 (May 30, 2013, for High-Yield Corporate Investor and Admiral Shares and Short-Term Investment-Grade Institutional Shares), and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the funds’ expense ratios were: for the Short-Term Investment-Grade Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Long-Term Investment-Grade Fund, 0.22% for Investor Shares and 0.12% for Admiral Shares; and for the High-Yield Corporate Fund, 0.23% for Investor Shares and 0.13% for Admiral Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2013.
Peer groups: For the Short-Term Investment-Grade Fund, 1–5 Year Investment-Grade Debt Funds; for the Intermediate-Term Investment-Grade Fund, Core Bond Funds; for the Long-Term Investment-Grade Fund, Corporate A-Rated Debt Funds; and for the High-Yield Corporate Fund, High Yield Funds.
4
the decade ahead.” (You can read more about our expectations for bond and stock returns in Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.)
Income from the funds’ holdings tempered falling bond prices
The prospect of the Fed’s scaling back its bond-buying sent interest rates higher and bond prices lower, especially for longer-dated and higher-rated securities. Treasuries returned –0.63% for the 12 months. Investment-grade bonds fared
Total Returns | |
Ten Years Ended January 31, 2014 | |
Average | |
Annual Return | |
Short-Term Investment-Grade Fund Investor Shares | 3.63% |
Barclays U.S. 1–5 Year Credit Bond Index | 4.16 |
1–5 Year Investment-Grade Debt Funds Average | 2.62 |
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Intermediate-Term Investment-Grade Fund Investor Shares | 5.35% |
Barclays U.S. 5–10 Year Credit Bond Index | 5.77 |
Spliced Core Bond Funds Average | 4.05 |
For a benchmark description, see the Glossary. | |
Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Long-Term Investment-Grade Fund Investor Shares | 6.61% |
Barclays U.S. Long Credit A or Better Bond Index | 6.23 |
Corporate A-Rated Debt Funds Average | 4.22 |
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
High-Yield Corporate Fund Investor Shares | 6.83% |
Barclays U.S. Corporate High Yield Bond Index | 8.49 |
High Yield Funds Average | 6.62 |
High Yield Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.
5
better, returning 0.51%; their higher coupons provided more of a cushion from falling prices. Corporate issuers also saw greater investor appetite as economic growth picked up, leading their yield spreads versus Treasuries to narrow.
The shorter durations of the Short-Term and Intermediate-Term Investment-Grade Funds compared with their benchmarks added to relative returns. (Duration measures the sensitivity of bond prices to interest rate movements.) The funds’ holdings among financial issuers contributed as well. Regulatory changes and improving balance sheets in this sector helped financials outperform industrials and utilities. Although their holdings in higher-rated bonds detracted, both funds finished roughly in line with their benchmarks and ahead of their peers.
A slightly shorter duration and a larger allocation to financials and lower-rated bonds helped the Long-Term Investment-Grade Fund outpace its benchmark. The fund’s return, however, lagged the average for its peer group, which includes some funds that hold shorter-term bonds.
High-yield corporate bonds performed significantly better than their investment-grade counterparts. However, the High-Yield Corporate Fund’s longer duration and higher-rated holdings, which have served it well under other market conditions, contributed to a
Yields | ||
30-Day SEC | ||
Yields on January 31, | ||
Bond Fund | 2013 | 2014 |
Short-Term Investment-Grade | ||
Investor Shares | 1.10% | 1.56% |
Admiral Shares | 1.20 | 1.66 |
Institutional Shares | 1.23 | 1.69 |
Intermediate-Term Investment-Grade | ||
Investor Shares | 2.09% | 2.81% |
Admiral Shares | 2.19 | 2.91 |
Long-Term Investment-Grade | ||
Investor Shares | 4.12% | 4.51% |
Admiral Shares | 4.22 | 4.61 |
High-Yield Corporate | ||
Investor Shares | 4.24% | 4.25% |
Admiral Shares | 4.34 | 4.35 |
6
subpar showing compared with its benchmark. It lagged its peer group as well.
A longer-term lens provides better perspective on performance
Thankfully for bond investors, returns have not always been so low. Even including this year’s poor results, the average annual returns for Investor Shares for the ten years ended January 31, 2014, were 3.63% for the Short-Term Investment-Grade Fund, 5.35% for the Intermediate-Term Investment-Grade Fund, 6.61% for the Long-Term Investment-Grade Fund, and 6.83% for the High-Yield Corporate Fund.
Although only the Long-Term Investment-Grade Fund surpassed its benchmark for the decade, low expense ratios helped Investor Shares of all four funds outpace their peer groups.
An anniversary, a reopening, and an additional advisor
December 2013 marked the 35th anniversary of Vanguard High-Yield Corporate Fund. Since its launch, the fund has been managed by Wellington Management Company, whose stewardship has guided it through innumerable market highs and lows. The result—an annualized return of 8.81% for Investor Shares from inception through January 31, 2014—held fast to the fund’s aim of producing consistent income, relying on its own in-depth, company-by-company credit research to minimize defaults and principal loss. Other Vanguard hallmarks—diversification, low costs, and a focus on the long term—have helped as well.
Also in December, the High-Yield Corporate Fund reopened to new investors. It had closed in May 2012 because of concerns that continued asset growth could impede the advisor’s ability to implement its investment strategies and produce competitive returns. But as cash flow into the fund subsided and market conditions evolved, we decided to reopen it.
A third December development added a second advisor to the Long-Term Investment-Grade Fund. Vanguard Fixed Income Group will manage part of the assets that had been managed solely by Wellington Management Company since the fund’s 1973 inception. We believe that a fund with multiple managers can benefit from the resulting diversity of thought and investment ideas. Although this is the first time we’re using this approach in one of our bond funds, more than a dozen of our actively managed U.S.-domiciled equity funds have multiple advisors.
Bob Auwaerter’s retirement ends a remarkable era
In mid-September 2008, about two weeks after I succeeded Jack Brennan as Vanguard’s chief executive officer, Lehman Brothers went bankrupt, igniting the nation’s worst financial crisis in 70 years. It was, to put it mildly, an extremely challenging time. Through it all, I was able to depend on Bob Auwaerter’s strong command of the Fixed Income Group, which persevered under those treacherous conditions. Although that was a difficult period for Vanguard and the industry, it was far from the only time I was grateful to have Bob at the helm of our bond group.
7
Bob, who joined Vanguard in 1981, was an original member of the three-person Fixed Income Group headed by Ian MacKinnon. Over the years, he held various leadership roles in the department, eventually succeeding Ian as its head in 2003.
He earned a reputation at Vanguard and within the industry as an extremely dedicated, honest, and insightful decision-maker and leader.
The Fixed Income Group that Bob helped start began with total assets of about $1.3 billion in seven funds. Bob tracked his positions in the two funds he managed on index cards stored in a small metal box. Thirty-two years later, the 120-person group oversees $750 billion, constituting nearly one-third of Vanguard’s assets under management.
On behalf of our clients, I thank Bob for more than three decades of exemplary service and wish him the best in his retirement.
We’re fortunate that Greg Davis will become the head of the Fixed Income Group. Greg currently serves as chief investment officer for the Asia-Pacific region and as a director of Vanguard Investments Australia. He joined Vanguard in 1999 and also has been head of bond indexing and a senior portfolio manager in the Fixed Income Group. Greg is an eminently qualified successor with a strong commitment to the Vanguard way of investing. I couldn’t be more confident in his ability to lead the Fixed Income Group and its deep and talented team.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
February 14, 2014
8
Your Fund’s Performance at a Glance | ||||
January 31, 2013, Through January 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Investment-Grade Fund | ||||
Investor Shares | $10.82 | $10.74 | $0.194 | $0.041 |
Admiral Shares | 10.82 | 10.74 | 0.205 | 0.041 |
Institutional Shares | 10.82 | 10.74 | 0.208 | 0.041 |
Vanguard Intermediate-Term Investment-Grade | ||||
Fund | ||||
Investor Shares | $10.24 | $9.81 | $0.317 | $0.195 |
Admiral Shares | 10.24 | 9.81 | 0.327 | 0.195 |
Vanguard Long-Term Investment-Grade Fund | ||||
Investor Shares | $10.65 | $10.02 | $0.481 | $0.093 |
Admiral Shares | 10.65 | 10.02 | 0.492 | 0.093 |
Vanguard High-Yield Corporate Fund | ||||
Investor Shares | $6.12 | $6.04 | $0.348 | $0.000 |
Admiral Shares | 6.12 | 6.04 | 0.354 | 0.000 |
9
Advisors’ Report
Vanguard Fixed Income Group For the Short-Term, Intermediate-Term, and Long-Term Investment-Grade Funds
In the months before the Federal Reserve began tapering its stimulative bond-buying program in January, speculation about the timing and potential impact of the move weighed on the bond market. The prospect of “letting up a bit on the gas pedal,” to use the words of then-Fed Chairman Ben Bernanke, put pressure on the yields of higher-rated and longer-dated bonds in particular.
For the 12 months ended January 31, 2014, the Short-Term Investment-Grade Fund returned 1.46% for Investor Shares, 1.56% for Admiral Shares, and 1.59% for Institutional Shares, nearly matching the return of its benchmark index. The Intermediate-Term Investment-Grade Fund returned 0.85% for Investor Shares and 0.95% for Admiral Shares, exceeding its benchmark’s result. Both funds outpaced their peer groups by at least 80 basis points.
We joined Wellington Management Company as a second advisor to the Long-Term Investment-Grade Fund in December 2013. Because we managed only a small portion of the fund’s assets for less than two months, please see Wellington’s section later in this report for details about that fund’s performance.
The investment environment
Global stocks and bonds followed very different trajectories over the period. Fairly modest improvements in the economies of the United States and some of the largest other developed countries were enough to push their stock market returns into the double digits. Concerns about U.S. fiscal and monetary policy, flare-ups in the European debt crisis, geopolitical tensions, and some weakness in China’s economy—an important driver of global growth—presented challenges at times. However, with plenty of support from their central banks, the U.S. economy expanded at a faster clip, the Eurozone pulled out of recession, and Japan seemed to possibly be shaking off decades of lackluster growth.
Global bonds, in contrast, ended in slightly negative territory. Interest rates around the world headed higher in anticipation of the Fed’s dial-back of its stimulus program. The bonds of emerging-market countries most dependent on foreign investment were among the hardest hit.
The U.S. bond market
In 2013, the Fed bought roughly $1 trillion in assets—about $40 billion per month of mortgage bonds to support the housing market and about $45 billion per month of U.S. Treasuries to hold down borrowing costs for households and businesses. Although the bond market was expecting the Fed to begin tapering these unprecedented asset purchases at some point, uncertainty as to when and at what pace that might happen contributed to a rise in yields. The suspense ended in December with the announcement that gradual decreases totaling about $10 billion per month would begin in January.
10
Yields, however, unexpectedly reversed direction in the new year. Contributing factors included more clarity about the Fed’s bond-buying exit strategy, investors’ rebalancing of their portfolios after a strong year for stocks, and turmoil in emerging markets, which boosted demand for less risky assets.
The yield of the 10-year Treasury note climbed from 1.99% at the start of the fiscal year to 2.97% by the end of December before easing back to 2.70% at the end of January. The 30-year Treasury bond closed the period 47 basis points higher, at 3.64%. Short-term Treasury yields showed less movement. The 2-year note, for example, finished a modest 9 basis points higher, at 0.35%.
Because bond yields and prices move inversely, a drop in the market value of Treasuries put the Barclays U.S. Treasury Index return at –0.63% for the 12 months. Investment-grade bonds did better: The Barclays U.S. Credit Index returned 0.51%. More income from higher yields helped offset the fall in prices. Healthy corporate earnings and balance sheets along with low default rates contributed as well.
Issuance remained elevated but was easily absorbed by the market. In fact, demand for investment-grade bonds pushed down their average yield over Treasuries to 115 basis points at the end of the 12 months, compared with 127 basis points a year earlier.
Management of the short-term and intermediate-term funds
To give the funds some protection in the event of rising interest rates, we keep the durations of their portfolios shorter than those of their benchmark indexes. Although that positioning has worked to the funds’ disadvantage in the past when rates were falling, it added to their relative returns this time. At the end of the period, the short-term fund’s duration was 2.3 years, compared with 2.8 for its benchmark. Duration was 5.1 years for the intermediate-term fund and 6.4 for its benchmark.
Although well-diversified, the funds benefited from a tilt to financials at the expense of industrials. Balance sheet improvements since the 2008–2009 financial crisis, along with more recent regulatory pressure on banks to take less risk, helped rekindle investor interest in the debt of financial issuers. In contrast, the likelihood of an upturn in mergers and acquisitions among industrial issuers weighed on demand for their bonds. Security selection, notably among new and less liquid issues, added to the funds’ returns.
On the downside, our holdings in Treasuries and, to a lesser extent, asset-backed securities provided liquidity to both funds but were a drag on returns as they underperformed their corporate counterparts.
11
Looking forward, financials continue to offer value in our opinion even considering their strong run relative to industrials and utilities. We enter the new fiscal year with plenty of liquidity by holding bonds that we can sell easily without affecting the core positioning of the fund. Especially during volatile periods, this should give us enough “dry powder” to add to performance by buying bonds that we believe the market may be undervaluing.
Robert F. Auwaerter, Principal Head of Fixed Income Group Gregory S. Nassour, CFA, Principal Co-Head of Investment-Grade Portfolio Management Kenneth E. Volpert, CFA, Principal Head of Taxable Bond Group February 21, 2014
Wellington Management Company, llp For the Long-Term Investment-Grade Fund
For the fiscal year, Vanguard Long-Term Investment-Grade Fund returned –0.41% for Investor Shares, outpacing its benchmark, the Barclays U.S. Long Credit A or Better Bond Index, by roughly 70 basis points, or 0.7%. Because the portion of the fund that we manage invests primarily in corporate bonds with maturities of 10 to 30 years, its returns are affected by the direction of interest rates and by economic conditions that bear upon issuers’ creditworthiness.
The investment environment
The fiscal year ended January 31, 2014, was challenging for fixed income—especially longer-duration bonds, which are most sensitive to changes in interest rates. As rates increased and the Treasury yield curve steepened, bond prices fell.
Ever-changing expectations about when the Federal Reserve would begin to withdraw its stimulus were one of the biggest influences on the fixed income market for much of the year.
The Fed’s forward guidance reinforced the message that short-term rates would most likely remain low for an extended period, a concept that finally seemed to resonate with the market.
When the Fed announced it would begin tapering its bond-buying program in January, the market took the news rather well, and Treasury yields increased only slightly in response to it. The Fed decided to begin by cutting its monthly purchases by $10 billion, split evenly between Treasuries and agency mortgage-backed securities. It also signaled that purchases might continue until late 2014, much longer than the market had anticipated. The Fed’s statements ended months of uncertainty.
12
The portfolio’s successes
Security selection primarily drove relative outperformance of the portfolio.
Our choices in banking bonds were strong, and the portfolio had a greater-than-market exposure to these issuers during the period. To a lesser extent, security selection in and an overweight allocation to the insurance industry proved favorable as well. Selections in taxable municipals also contributed.
The portfolio’s shortfalls
The portfolio delivered slightly negative total returns (–0.41%) but managed to outpace its benchmark index. Although its long duration gives it few truly comparable peers, the portfolio lagged the average 0.60% return of its designated peer group of corporate A-rated debt funds.
Our yield curve and spread duration positioning detracted from relative returns, partly offsetting contributions elsewhere.
The portfolio’s positioning
We still view the corporate bond market favorably based on strong corporate fundamentals and low default expectations. We believe that spreads—the incremental yields over duration-equivalent Treasuries—are approaching fair value and could tighten modestly, which would benefit holders of corporate bonds.
We expect the economy to maintain its growth trajectory. Less fiscal drag should allow slightly faster GDP growth in 2014 versus 2013. Further improvement in the U.S. housing and labor markets could boost consumer spending. Emerging-market economies, largely dependent on sustained U.S. growth, remain vulnerable to capital outflows and currency weakness. Despite the Fed’s tapering, its monetary policy and those of central banks in Europe and Japan remain supportive, providing ample liquidity to the financial system.
Corporate fundamentals have begun to deteriorate slightly, and we expect top-line growth to be minimal. Although leverage ratios have increased somewhat, cash balances remain high, and companies may therefore face pressure from activist shareholders. Stockholder-friendly activities, including mergers and acquisitions, leveraged buyouts, and dividend increases, have picked up and are likely to accelerate in 2014.
Financial regulation has challenged the corporate bond market’s liquidity, but this has improved as volatility has declined. Heavy new issuance volumes have given companies the opportunity to lock in low financing rates and reduce borrowing costs. Corporate pension plans’ demand for long corporate bonds has increased after a noticeable improvement in funded ratios last year and a rise in plan sponsors’ “de-risking” as part of liability-driven investment programs.
The timing, pace, and magnitude of any further upturns in interest rates will determine the performance of fixed income markets in future years and may well contribute to negative total returns.
13
However, many of the forces remain that kept yields low in recent years—easy monetary policies, subdued inflation, and global recession fears.
The portfolio‘s position in long-term investment-grade bonds should help provide income stability. The major risks are, of course, a further rise in long-term rates, a widening in corporate bond risk premiums, or both.
The portfolio generally purchases bonds of large, well-established companies with stable operating histories. We do not own foreign bonds denominated in non-U.S. currencies.
Lucius T. Hill III, Senior Vice President and Fixed Income Portfolio Manager February 14, 2014
Wellington Management Company, llp For the High-Yield Corporate Fund
For the 12 months ended January 31, 2014, Vanguard High-Yield Corporate Fund returned 4.53% for Investor Shares. Its benchmark, the Barclays U.S. Corporate High Yield Bond Index, returned 6.77%.
The investment environment
Two contrasting factors drove the performance of the high-yield market. The Federal Reserve hinted in May at a reduction in the pace of its asset purchases, then in December announced it would start the process in January. This led the 10-year Treasury yield to rise (it stood at 2.70% on January 31, 2014, compared with 1.99% 12 months earlier) and weighed on bond prices (which move inversely to interest rates). At the same time, the steadily if slowly improving economy helped high-yield bond issuers as credit spreads tightened over the year, offsetting the effects of rising rates.
Lower-quality bonds significantly outperformed those of higher quality. Lower-quality bonds, which typically carry higher coupons, earned more income during the period, and this mitigated the downward price pressure created by rising rates. The spread of the high-yield market (a comparison of the yields of high-yield bonds and Treasury bonds) narrowed from 477 basis points on January 31, 2013, to 404 as of January 31, 2014.
Credit fundamentals across the high-yield market remained generally positive. Ratings actions and default forecasts were benign and balance sheets were in good shape. The ratio of credit agency downgrades to upgrades has been steady for two years, at about 1.0x, as has the portion of the high-yield market—less than 20%—that comprises bonds rated Caa and below. These two measures confirm that the market’s underlying credit quality is still strong.
The 12-month default rate was 2.5% as of January, according to Moody’s Investors Service, which forecasts a similar rate for 2014—well below the long-term average. By and large, high-yield issuers maintained solid gross margins and interest coverage ratios (a measure of a company’s ability to make its debt payments) and enjoyed
14
healthy credit profiles in 2013. We believe most will be able to sustain these profiles in 2014 as GDP keeps growing.
The new-issue calendar stayed robust: U.S. high-yield markets raised $325.4 billion in 2013, similar to the record level reached in 2012. Issuance remained largely of high quality. More than 80% of new-issue proceeds were rated B or better, and the majority of gross proceeds were earmarked for refinancing purposes, a creditor-friendly trend solidly in place since 2009.
Issuers generally continued to exercise restraint in their borrowing behavior. At the margin, though, we have begun to see an increase in somewhat more aggressive shareholder-friendly activity. This trend is still in the early stages, and we do not expect it to meaningfully affect markets for some time.
The fund’s successes
Compared with its benchmark, the fund benefited from its relative weightings in the technology sector and from credit selection in the wireless and utilities sectors.
The fund’s shortfalls
The fund’s holdings in cash and in higher-quality, more rate-sensitive bonds hurt relative returns, as did its longer duration positioning. Performance also suffered because of relative weightings in the cable sector and credit selection in financials, technology, and media.
The fund’s positioning
The fund remains consistent in its investment objective and strategy and maintains a significant exposure to relatively higher-quality names in the high-yield market. We believe these issuers have more consistent businesses and more predictable cash flows than those at the lower end of the spectrum.
We prefer higher-quality credits in an effort to minimize defaults and provide stable income. We continue to diversify the fund’s holdings by issuer and industry while deemphasizing non-cash-paying securities, preferred stocks, and equity-linked securities such as convertibles because of their potential for volatility.
Michael L. Hong, CFA, Vice President and Fixed Income Portfolio Manager February 12, 2014
15
Short-Term Investment-Grade Fund
Fund Profile | |||
As of January 31, 2014 | |||
Share-Class Characteristics | |||
Investor | Admiral Institutional | ||
Shares | Shares | Shares | |
Ticker Symbol | VFSTX | VFSUX | VFSIX |
Expense Ratio1 | 0.20% | 0.10% | 0.07% |
30-Day SEC Yield | 1.56% | 1.66% | 1.69% |
Financial Attributes | |||
Barclays Barclays | |||
1–5 Year | Aggregate | ||
Credit | Bond | ||
Fund | Index | Index | |
Number of Bonds | 1,919 | 2,139 | 8,727 |
Yield to Maturity | |||
(before expenses) | 1.4% | 1.4% | 2.3% |
Average Coupon | 3.2% | 3.5% | 3.3% |
Average Duration | 2.3 years | 2.8 years | 5.5 years |
Average Effective | |||
Maturity | 3.2 years | 3.0 years | 7.6 years |
Short-Term | |||
Reserves | 0.6% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 11.9% | ||
Commercial Mortgage-Backed | 7.2 | ||
Finance | 26.3 | ||
Foreign | 9.0 | ||
Government Mortgage-Backed | 0.1 | ||
Industrial | 28.6 | ||
Treasury/Agency | 9.9 | ||
Utilities | 5.0 | ||
Other | 2.0 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
1–5 Year | Aggregate | |
Credit | Bond | |
Index | Index | |
R-Squared | 0.94 | 0.36 |
Beta | 0.75 | 0.31 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 8.0% |
1 - 3 Years | 44.0 |
3 - 5 Years | 37.4 |
5 - 7 Years | 6.6 |
7 - 10 Years | 3.7 |
20 - 30 Years | 0.1 |
Over 30 Years | 0.2 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 9.2% |
Aaa | 16.1 |
Aa | 15.6 |
A | 33.0 |
Baa | 23.6 |
Ba | 0.3 |
Ca | 0.1 |
Not Rated | 2.1 |
For information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated February 7, 2014 (May 30, 2013, for Institutional Shares), and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares.
16
Short-Term Investment-Grade Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Short-Term Investment-Grade Fund | ||||
Investor Shares | 1.46% | 4.96% | 3.63% | $14,279 |
Barclays U.S. 1–5 Year Credit Bond | ||||
•••••••• | ||||
Index | 1.78 | 5.41 | 4.16 | 15,036 |
– – – – 1–5 Year Investment-Grade Debt Funds | ||||
Average | 0.66 | 4.02 | 2.62 | 12,957 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 |
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Short-Term Investment-Grade Fund Admiral | ||||
Shares | 1.56% | 5.07% | 3.73% | $72,124 |
Barclays U.S. 1–5 Year Credit Bond Index | 1.78 | 5.41 | 4.16 | 75,180 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
17
Short-Term Investment-Grade Fund | ||||
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Short-Term Investment-Grade Fund | ||||
Institutional Shares | 1.59% | 5.10% | 3.77% | $7,236,406 |
Barclays U.S. 1–5 Year Credit Bond Index | 1.78 | 5.41 | 4.16 | 7,517,967 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 7,851,614 |
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
1–5 Year | ||||
Credit | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 3.38% | -1.67% | 1.71% | 1.94% |
2006 | 3.66 | -1.22 | 2.44 | 1.52 |
2007 | 4.58 | 0.38 | 4.96 | 4.74 |
2008 | 5.08 | 2.09 | 7.17 | 7.86 |
2009 | 4.48 | -8.83 | -4.35 | -1.17 |
2010 | 4.37 | 9.07 | 13.44 | 12.92 |
2011 | 3.39 | 0.99 | 4.38 | 4.78 |
2012 | 2.75 | -0.29 | 2.46 | 3.93 |
2013 | 2.21 | 1.27 | 3.48 | 3.98 |
2014 | 1.82 | -0.36 | 1.46 | 1.78 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 10/29/1982 | 0.97% | 5.23% | 3.58% | 0.03% | 3.61% |
Admiral Shares | 2/12/2001 | 1.07 | 5.34 | 3.69 | 0.03 | 3.72 |
Institutional Shares | 9/30/1997 | 1.10 | 5.38 | 3.72 | 0.03 | 3.75 |
18
Short-Term Investment-Grade Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of January 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||||
Maturity | Amount | Value | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
U.S. Government and Agency Obligations | |||||||
U.S. Government Securities | |||||||
United States Treasury Note/Bond | 0.750% | 1/15/17 | 914,250 | 916,389 | 1.9% | ||
United States Treasury Note/Bond | 0.375% | 3/15/15 | 904,000 | 906,115 | 1.9% | ||
United States Treasury Note/Bond | 1.500% | 1/31/19 | 868,750 | 869,019 | 1.8% | ||
United States Treasury Note/Bond | 0.625% | 4/30/18 | 592,610 | 577,795 | 1.2% | ||
1 | United States Treasury Note/Bond | 0.375% | 6/15/15 | 357,021 | 357,914 | 0.7% | |
United States Treasury Note/Bond | 2.500% | 3/31/15 | 280,000 | 287,526 | 0.6% | ||
United States Treasury Note/Bond | 0.375% | 4/15/15 | 187,712 | 188,181 | 0.4% | ||
2 | United States Treasury Note/Bond | 1.000% | 8/31/19 | 188,000 | 180,745 | 0.4% | |
United States Treasury Note/Bond | 0.250% | 5/15/15 | 147,635 | 147,774 | 0.3% | ||
2,3 | United States Treasury | ||||||
Note/Bond | 0.250%–2.125% | 5/31/15–3/31/18 | 282,418 | 282,420 | 0.6% | ||
4,713,878 | 9.8% | ||||||
Conventional Mortgage-Backed Securities † | 6,882 | 0.0% | |||||
Nonconventional Mortgage-Backed Securities † | 35,280 | 0.1% | |||||
Total U.S. Government and Agency Obligations (Cost $4,752,186) | 4,756,040 | 9.9% | |||||
Asset-Backed/Commercial Mortgage-Backed Securities | |||||||
4,5 | American Express Issuance | ||||||
Trust II 2013-1 | 0.440% | 2/15/19 | 131,000 | 130,448 | 0.3% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 44,227 | 48,377 | 0.1% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 44,878 | 49,150 | 0.1% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2007-2 | 5.584%–5.635% | 4/10/49 | 67,398 | 74,604 | 0.2% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2008-1 | 6.171% | 2/10/51 | 96,979 | 107,848 | 0.2% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2008-1 | 6.215% | 2/10/51 | 6,835 | 7,803 | 0.0% |
19
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4,6 | Banc of America Funding | |||||
2006-H Trust | 2.803% | 9/20/46 | 29,417 | 23,457 | 0.0% | |
4 | Banc of America Mortgage | |||||
2003-F Trust | 2.797% | 7/25/33 | 1,724 | 1,739 | 0.0% | |
4 | Bank of America Mortgage | |||||
2002-J Trust | 3.565% | 9/25/32 | 23 | 23 | 0.0% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2005-PWR9 | 4.943% | 9/11/42 | 13,370 | 14,074 | 0.0% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2006-PWR13 | 5.533% | 9/11/41 | 23,738 | 25,986 | 0.1% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-PWR16 | 5.706% | 6/11/40 | 21,611 | 24,278 | 0.1% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-PWR17 | 5.650% | 6/11/50 | 133,063 | 147,893 | 0.3% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-TOP28 | 5.710% | 9/11/42 | 41,871 | 47,222 | 0.1% | |
4,5,7 BMW Floorplan Master Owner | ||||||
Trust 2012-1A | 0.560% | 9/15/17 | 93,500 | 93,705 | 0.2% | |
4,5 | Capital One Multi-asset Execution | |||||
Trust 2007-A2 | 0.240% | 12/16/19 | 110,725 | 109,875 | 0.2% | |
4,5 | Chase Issuance Trust 2007-C1 | 0.620% | 4/15/19 | 30,600 | 30,240 | 0.1% |
4,5 | Chase Issuance Trust 2012-A10 | 0.420% | 12/16/19 | 117,000 | 116,627 | 0.2% |
4,7 | Citibank Omni Master Trust | |||||
2009-A13 | 5.350% | 8/15/18 | 64,154 | 65,810 | 0.1% | |
4,5,7 Citibank Omni Master Trust | ||||||
2009-A14A | 2.910% | 8/15/18 | 65,116 | 65,933 | 0.1% | |
4,7 | Citibank Omni Master Trust | |||||
2009-A17 | 4.900% | 11/15/18 | 91,937 | 95,026 | 0.2% | |
4,6 | Citigroup Mortgage Loan Trust | |||||
2007-AR8 | 2.756% | 7/25/37 | 1,649 | 1,462 | 0.0% | |
4 | Discover Card Execution Note | |||||
Trust 2012-A6 | 1.670% | 1/18/22 | 114,300 | 110,989 | 0.2% | |
4,7 | Ford Credit Auto Lease | |||||
Trust 2012-B | 1.100% | 12/15/15 | 10,050 | 10,086 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2013-A | 0.780%–1.280% | 4/15/16–6/15/16 | 45,330 | 45,400 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2010-A | 3.220% | 3/15/16 | 6,040 | 6,139 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-A | 1.150%–1.360% | 7/15/18–10/15/18 | 12,200 | 12,189 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-B | 1.110%–1.820% | 10/15/18–11/15/19 | 17,930 | 18,986 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-C | 1.680%–2.500% | 11/15/18–1/15/20 | 13,700 | 13,873 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-D | 1.540%–1.720% | 3/15/19–7/15/19 | 25,200 | 25,248 | 0.1% | |
4,5,7 Ford Credit Floorplan | ||||||
Master Owner Trust A | ||||||
Series 2010-3 | 1.860%–4.990% | 2/15/17 | 72,338 | 75,068 | 0.2% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2012-2 | 1.920% | 1/15/19 | 26,800 | 27,356 | 0.1% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2012-4 | 0.940%–1.390% | 9/15/16 | 40,300 | 40,569 | 0.1% |
20
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series 2012-5 | 1.490% | 9/15/19 | 116,300 | 122,630 | 0.3% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2012-5 | 1.690%–2.140% | 9/15/19 | 15,850 | 16,970 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2013-1 | 1.370%–1.820% | 1/15/18 | 35,359 | 36,407 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2013-3 | 1.740% | 6/15/17 | 7,529 | 7,713 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2013-4 | 2.100%–2.790% | 6/15/20 | 15,460 | 15,967 | 0.0% | |
4,5 | GE Capital Credit Card Master | |||||
Note Trust Series 2011-2 | 1.160% | 5/15/19 | 50,270 | 50,335 | 0.1% | |
4 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-2 | 2.220% | 1/15/22 | 72,000 | 72,042 | 0.1% | |
4 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-6 | 1.360% | 8/17/20 | 90,140 | 89,131 | 0.2% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-1 | 0.727% | 2/20/17 | 33,825 | 34,116 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-2 | 0.907% | 4/22/19 | 48,100 | 50,763 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-4 | 0.597% | 10/20/17 | 25,000 | 25,353 | 0.1% | |
4,7 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 83,300 | 84,687 | 0.2% |
4,5,7 Golden Credit Card Trust 2012-3A | 0.610% | 7/17/17 | 60,000 | 60,019 | 0.1% | |
4,5,7 Golden Credit Card Trust 2013-1A | 0.410% | 2/15/18 | 39,200 | 39,142 | 0.1% | |
4 | GS Mortgage Securities Trust | |||||
2006-GG6 | 5.553% | 4/10/38 | 26,869 | 28,837 | 0.1% | |
4,7 | GS Mortgage Securities Trust | |||||
2010-C2 | 5.225% | 12/10/43 | 3,530 | 3,796 | 0.0% | |
4,7 | GS Mortgage Securities Trust | |||||
2011-GC3 | 5.543% | 3/10/44 | 2,280 | 2,486 | 0.0% | |
4,7 | GS Mortgage Securities Trust | |||||
2012-ALOHA | 3.551% | 4/10/34 | 25,305 | 25,357 | 0.1% | |
4,7 | GS Mortgage Securities Trust | |||||
2012-BWTR | 2.954% | 11/5/34 | 27,725 | 26,264 | 0.1% | |
4,7 | GS Mortgage Securities Trust | |||||
2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,090 | 0.0% | |
4 | GS Mortgage Securities Trust | |||||
2013-GC13 | 4.039% | 7/10/46 | 22,170 | 22,654 | 0.0% | |
4 | GS Mortgage Securities Trust | |||||
2013-GCJ12 | 3.135%–3.777% | 6/10/46 | 24,670 | 23,807 | 0.0% | |
4 | GS Mortgage Securities Trust | |||||
2013-GCJ14 | 2.995%–4.243% | 8/10/46 | 79,722 | 83,334 | 0.2% | |
4 | Merrill Lynch Mortgage | |||||
Investors Trust MLMI | ||||||
Series 2003-A2 | 1.846% | 2/25/33 | 2,965 | 2,955 | 0.0% | |
4 | Merrill Lynch Mortgage | |||||
Investors Trust MLMI | ||||||
Series 2003-A4 | 2.641% | 7/25/33 | 872 | 878 | 0.0% | |
4 | Merrill Lynch Mortgage | |||||
Trust 2006-C2 | 5.739% | 8/12/43 | 11,857 | 13,012 | 0.0% |
21
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Merrill Lynch Mortgage | |||||
Trust 2008-C1 | 5.690% | 2/12/51 | 11,590 | 12,979 | 0.0% | |
4 | ML-CFC Commercial Mortgage | |||||
Trust 2006-2 | 5.876% | 6/12/46 | 27,669 | 30,345 | 0.1% | |
4 | ML-CFC Commercial Mortgage | |||||
Trust 2007-6 | 5.331% | 3/12/51 | 8,739 | 8,750 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2006-HQ9 | 5.728% | 7/12/44 | 79,217 | 86,733 | 0.2% | |
4 | Morgan Stanley Capital I | |||||
Trust 2006-IQ12 | 5.319% | 12/15/43 | 35,339 | 38,685 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ15 | 5.908% | 6/11/49 | 37,670 | 42,168 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ16 | 5.688% | 12/12/49 | 81,589 | 90,188 | 0.2% | |
4 | Morgan Stanley Capital I | |||||
Trust 2012-C4 | 3.244%–3.773% | 3/15/45 | 5,643 | 5,669 | 0.0% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2012-STAR | 3.201% | 8/5/34 | 17,045 | 16,568 | 0.0% | |
4,7 | Rental Car Finance Corp. | |||||
2011-1A | 2.510% | 2/25/16 | 87,600 | 88,476 | 0.2% | |
4 | Royal Bank of Canada | 1.200% | 9/19/18 | 31,200 | 31,036 | 0.1% |
4,5 | SLM Student Loan Trust 2005-5 | 0.339% | 4/25/25 | 59,867 | 59,570 | 0.1% |
4,5 | SLM Student Loan Trust 2005-9 | 0.359% | 1/27/25 | 26,343 | 26,224 | 0.1% |
4,5 | SLM Student Loan Trust 2006-5 | 0.349% | 1/25/27 | 24,500 | 24,052 | 0.1% |
4,5 | SLM Student Loan Trust 2006-6 | 0.349% | 10/27/25 | 36,300 | 35,374 | 0.1% |
4,5 | SLM Student Loan Trust 2007-1 | 0.329% | 1/26/26 | 66,950 | 64,616 | 0.1% |
4,5,7 SLM Student Loan Trust | ||||||
2011-A | 1.160%–4.370% | 10/15/24–4/17/28 | 25,511 | 26,388 | 0.1% | |
4,7 | SLM Student Loan Trust | |||||
2011-B | 3.740% | 2/15/29 | 60,000 | 64,268 | 0.1% | |
4,5,7 SLM Student Loan Trust | ||||||
2011-C | 1.560%–4.540% 12/15/23–10/17/44 | 37,916 | 39,965 | 0.1% | ||
4,5 | SLM Student Loan Trust | |||||
2012-6 | 0.438% | 9/25/19 | 34,620 | 34,527 | 0.1% | |
4,5,7 SLM Student Loan Trust | ||||||
2012-B | 1.260%–3.480% 12/15/21–10/15/30 | 21,964 | 22,700 | 0.0% | ||
4,5,7 SLM Student Loan Trust | ||||||
2012-E | 0.910% | 10/16/23 | 19,665 | 19,685 | 0.0% | |
4,5,7 SLM Student Loan Trust | ||||||
2013-1 | 1.210%–2.500% | 5/17/27–3/15/47 | 32,000 | 31,109 | 0.1% | |
4,5 | SLM Student Loan Trust | |||||
2013-6 | 0.808% | 6/26/28 | 19,400 | 19,489 | 0.0% | |
4,7 | SLM Student Loan Trust | |||||
2013-B | 1.850%–3.000% | 6/17/30–5/16/44 | 21,250 | 20,483 | 0.0% | |
4,7 | SLM Student Loan Trust | |||||
2013-C | 3.500% | 6/15/44 | 5,860 | 5,693 | 0.0% | |
4,5 | SLM Student Loan Trust | |||||
2014-1 | 0.799% | 2/26/29 | 10,900 | 10,900 | 0.0% | |
7 | Asset-Backed/Commercial | |||||
Mortgage-Backed Securities—Other † | 5,693,560 | 11.8% | ||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,210,743) | 9,257,428 | 19.2% |
22
Short-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Corporate Bonds | |||||
Finance | |||||
Banking | |||||
Bank of America Corp. | 1.500%–6.500% | 4/1/15–1/15/19 | 389,029 | 415,428 | 0.9% |
Bank of America NA | 1.125%–6.100% | 11/14/16–6/15/17 | 79,289 | 81,396 | 0.2% |
Bank One Corp. | 4.900% | 4/30/15 | 14,615 | 15,364 | 0.0% |
BBVA US Senior SAU | 4.664% | 10/9/15 | 128,791 | 135,151 | 0.3% |
Bear Stearns Cos. LLC | 5.300%–7.250% | 10/30/15–2/1/18 | 91,716 | 104,261 | 0.2% |
BNP Paribas SA | 3.600% | 2/23/16 | 84,830 | 89,514 | 0.2% |
Citigroup Inc. | 3.953% | 6/15/16 | 86,180 | 91,812 | 0.2% |
Citigroup Inc. | 1.250%–6.375% | 8/12/14–9/26/18 | 389,829 | 406,567 | 0.9% |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 125,080 | 125,118 | 0.3% |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 37,914 | 41,878 | 0.1% |
Deutsche Bank AG | 6.000% | 9/1/17 | 98,047 | 112,796 | 0.2% |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 145,500 | 145,635 | 0.3% |
Goldman Sachs Group Inc. | 2.375%–6.250% | 10/1/14–7/19/18 | 385,475 | 417,844 | 0.9% |
HSBC USA Inc. | 2.375% | 2/13/15 | 95,532 | 97,386 | 0.2% |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 117,250 | 117,147 | 0.2% |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 98,646 | 103,215 | 0.2% |
5 JPMorgan Chase & Co. | 1.100%–6.300% | 3/15/14–4/23/19 | 510,207 | 534,477 | 1.1% |
JPMorgan Chase Bank NA | 5.875%–6.000% | 6/13/16–10/1/17 | 44,567 | 50,746 | 0.1% |
Merrill Lynch & Co. Inc. | 5.000%–6.875% | 7/15/14–4/25/18 | 145,156 | 159,357 | 0.3% |
Morgan Stanley | 2.125%–6.625% | 4/1/14–1/24/19 | 464,577 | 496,461 | 1.0% |
Royal Bank of Canada | 0.800%–2.875% | 3/13/15–7/27/18 | 279,539 | 287,223 | 0.6% |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 103,125 | 110,086 | 0.2% |
UBS AG | 5.750% | 4/25/18 | 105,985 | 122,120 | 0.3% |
UBS AG | 5.875% | 12/20/17 | 95,375 | 109,589 | 0.2% |
7 Banking—Other † | 5,267,000 | 10.9% | |||
Brokerage † | 117,995 | 0.2% | |||
Finance Companies | |||||
4 General Electric | |||||
Capital Corp. | 1.000%–6.375% | 9/15/14–11/15/67 | 498,827 | 526,534 | 1.1% |
SLM Corp. | 6.250% | 1/25/16 | 101,274 | 108,904 | 0.2% |
SLM Corp. | 3.875%–6.000% | 9/10/15–9/25/17 | 123,640 | 129,546 | 0.3% |
Finance Companies—Other † | 208,114 | 0.4% | |||
Insurance | |||||
American International Group Inc. | 5.850% | 1/16/18 | 98,511 | 113,388 | 0.3% |
7 Insurance—Other † | 1,017,299 | 2.1% | |||
Other Finance † | 60,327 | 0.1% | |||
7 Real Estate Investment Trusts † | 519,909 | 1.1% | |||
12,439,587 | 25.8% | ||||
Industrial | |||||
7 Basic Industry † | 957,330 | 2.0% | |||
Capital Goods | |||||
General Electric Co. | 5.250% | 12/6/17 | 92,550 | 105,329 | 0.2% |
General Electric Co. | 0.850% | 10/9/15 | 18,420 | 18,528 | 0.0% |
7 Capital Goods—Other † | 1,276,236 | 2.7% | |||
Communication | |||||
America Movil SAB de CV | 2.375% | 9/8/16 | 92,560 | 95,027 | 0.2% |
AT&T Inc. | 5.500% | 2/1/18 | 80,904 | 91,930 | 0.2% |
AT&T Inc. | 0.875%–5.600% | 9/15/14–11/27/18 | 438,405 | 447,902 | 0.9% |
BellSouth Corp. | 5.200% | 9/15/14 | 30,175 | 31,070 | 0.1% |
Verizon Communications Inc. | 3.650% | 9/14/18 | 118,285 | 125,688 | 0.2% |
23
Short-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
7 Communication—Other † | 1,781,783 | 3.7% | |||
Consumer Cyclical | |||||
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 82,715 | 91,785 | 0.2% |
Ford Motor Credit Co. LLC | 2.500%–8.000% | 1/15/15–8/15/17 | 353,024 | 384,994 | 0.8% |
7 Consumer Cyclical—Other † | 1,529,087 | 3.2% | |||
Consumer Noncyclical | |||||
Actavis Inc. | 1.875% | 10/1/17 | 91,065 | 91,081 | 0.2% |
7 Consumer Noncyclical—Other † | 3,278,430 | 6.8% | |||
Energy | |||||
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 93,490 | 95,578 | 0.2% |
Transocean Inc. | 5.050% | 12/15/16 | 79,340 | 87,199 | 0.2% |
7 Energy—Other † | 1,527,386 | 3.2% | |||
Other Industrial † | 5,265 | 0.0% | |||
Technology | |||||
Hewlett-Packard Co. | 3.000% | 9/15/16 | 89,140 | 93,018 | 0.2% |
Intel Corp. | 1.350% | 12/15/17 | 142,272 | 141,901 | 0.3% |
7 Technology—Other † | 821,703 | 1.7% | |||
Transportation | |||||
4 AFC X Ltd. | 3.500% | 3/31/15 | 133,000 | 133,665 | 0.3% |
7 Transportation—Other † | 412,272 | 0.8% | |||
13,624,187 | 28.3% | ||||
Utilities | |||||
7 Electric † | 1,901,395 | 4.0% | |||
7 Natural Gas † | 440,192 | 0.9% | |||
Other Utility † | 10,668 | 0.0% | |||
2,352,255 | 4.9% | ||||
Total Corporate Bonds (Cost $28,094,631) | 28,416,029 | 59.0% | |||
Sovereign Bonds (U.S. Dollar-Denominated) | |||||
Province of Ontario | 2.300% | 5/10/16 | 116,525 | 120,496 | 0.2% |
Province of Ontario | 0.950%–5.450% | 6/16/14–6/29/22 | 386,762 | 395,488 | 0.8% |
Republic of Turkey | 7.000% | 9/26/16 | 128,345 | 140,666 | 0.3% |
4 Russian Federation | 7.500% | 3/31/30 | 76,880 | 88,605 | 0.2% |
VTB Bank OJSC Via VTB Capital SA 6.000% | 4/12/17 | 100,450 | 106,859 | 0.2% | |
7 Sovereign Bonds | |||||
(U.S. Dollar-Denominated)—Other † | 3,407,381 | 7.1% | |||
Total Sovereign Bonds (Cost $4,225,913) | 4,259,495 | 8.8% | |||
Taxable Municipal Bonds (Cost $293,169) † | 298,420 | 0.6% | |||
7Tax-Exempt Municipal Bonds (Cost $455,694) † | 471,930 | 1.0% | |||
Convertible Preferred Stocks (Cost $28,924) † | 1 | 0.0% |
24
Short-Term Investment-Grade Fund | |||||
Market | Percentage | ||||
Value• | of Net | ||||
Coupon | Shares | ($000) | Assets | ||
Temporary Cash Investment | |||||
Money Market Fund | |||||
8 Vanguard Market Liquidity Fund | |||||
(Cost $631,523) | 0.130% | 631,522,655 | 631,523 | 1.3% | |
Total Investments (Cost $47,692,783) | 48,090,866 | 99.8% | |||
Expiration | |||||
Date | Contracts | ||||
Liability for Options Written (0.0%) | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 1,526 | (1,168) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 1,502 | (2,206) | 0.0% | |
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 3,028 | (95) | 0.0% | |
Total Liability for Options Written (Premiums Received $1,947) | (3,469) | 0.0% | |||
Other Assets and Liabilities | |||||
Other Assets | 1,425,563 | 3.0% | |||
Other Liabilities | (1,326,482) | (2.8%) | |||
99,081 | 0.2% | ||||
Net Assets | 48,186,478 | 100.0% |
25
Short-Term Investment-Grade Fund | |
At January 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 47,792,379 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 20,083 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 398,083 |
Futures Contracts | (29,905) |
Options on Futures Contracts | (1,522) |
Swap Contracts | 7,360 |
Net Assets | 48,186,478 |
Investor Shares—Net Assets | |
Applicable to 1,094,139,480 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 11,751,827 |
Net Asset Value Per Share—Investor Shares | $10.74 |
Admiral Shares—Net Assets | |
Applicable to 2,758,879,203 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 29,632,302 |
Net Asset Value Per Share—Admiral Shares | $10.74 |
Institutional Shares—Net Assets | |
Applicable to 633,324,722 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,802,349 |
Net Asset Value Per Share—Institutional Shares | $10.74 |
See Note A in Notes to Financial Statements
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $4,495,000 have been segregated as collateral for open over-the-counter swap contracts.
2 Securities with a value of $60,758,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $4,768,000 have been segregated as initial margin for open cleared swap contracts.
4 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.
5 Adjustable- rate security.
6 Security made only partial principal and/or interest payments during the period ended January 31, 2014.
7 Certain of the fund's securities are 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 January 31, 2014, the aggregate value of these securities was $5,489,662,000, representing 11.4% of net assets.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
26
Short-Term Investment-Grade Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 244 |
Interest1 | 908,031 |
Total Income | 908,275 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 4,175 |
Management and Administrative—Investor Shares | 19,085 |
Management and Administrative—Admiral Shares | 18,169 |
Management and Administrative—Institutional Shares | 2,101 |
Marketing and Distribution—Investor Shares | 2,966 |
Marketing and Distribution—Admiral Shares | 6,290 |
Marketing and Distribution—Institutional Shares | 1,438 |
Custodian Fees | 514 |
Auditing Fees | 41 |
Shareholders’ Reports—Investor Shares | 300 |
Shareholders’ Reports—Admiral Shares | 163 |
Shareholders’ Reports—Institutional Shares | 6 |
Trustees’ Fees and Expenses | 41 |
Total Expenses | 55,289 |
Net Investment Income | 852,986 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 125,248 |
Futures Contracts | 13,246 |
Swaptions and Options on Futures Contracts | (4,055) |
Swap Contracts | 11,571 |
Realized Net Gain (Loss) | 146,010 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (267,800) |
Futures Contracts | (34,702) |
Options on Futures Contracts | (1,590) |
Swap Contracts | (3,360) |
Change in Unrealized Appreciation (Depreciation) | (307,452) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 691,544 |
1 Interest income from an affiliated company of the fund was $1,129,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
27
Short-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 852,986 | 888,531 |
Realized Net Gain (Loss) | 146,010 | 461,663 |
Change in Unrealized Appreciation (Depreciation) | (307,452) | 65,902 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 691,544 | 1,416,096 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (213,557) | (281,124) |
Admiral Shares | (526,306) | (542,070) |
Institutional Shares | (115,303) | (77,429) |
Realized Capital Gain1 | ||
Investor Shares | (45,348) | (51,666) |
Admiral Shares | (105,560) | (107,562) |
Institutional Shares | (21,598) | (19,257) |
Total Distributions | (1,027,672) | (1,079,108) |
Capital Share Transactions | ||
Investor Shares | (321,974) | (1,343,110) |
Admiral Shares | 3,986,902 | 3,337,084 |
Institutional Shares | 2,174,537 | 2,780,698 |
Net Increase (Decrease) from Capital Share Transactions | 5,839,465 | 4,774,672 |
Total Increase (Decrease) | 5,503,337 | 5,111,660 |
Net Assets | ||
Beginning of Period | 42,683,141 | 37,571,481 |
End of Period | 48,186,478 | 42,683,141 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $20,269,000 and $54,322,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Short-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.82 | $10.73 | $10.80 | $10.70 | $9.81 |
Investment Operations | |||||
Net Investment Income | .194 | .231 | .269 | .330 | .387 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.039) | .139 | (.008) | .132 | .907 |
Total from Investment Operations | .155 | .370 | .261 | .462 | 1.294 |
Distributions | |||||
Dividends from Net Investment Income | (.194) | (. 234) | (. 292) | (. 356) | (. 404) |
Distributions from Realized Capital Gains | (. 041) | (. 046) | (. 039) | (. 006) | — |
Total Distributions | (.235) | (.280) | (. 331) | (. 362) | (. 404) |
Net Asset Value, End of Period | $10.74 | $10.82 | $10.73 | $10.80 | $10.70 |
Total Return1 | 1.46% | 3.48% | 2.46% | 4.38% | 13.44% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $11,752 | $12,166 | $13,394 | $15,249 | $15,115 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.24% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.81% | 2.13% | 2.52% | 3.05% | 3.66% |
Portfolio Turnover Rate | 122% | 80% | 47%2 | 48% | 59%2 |
1 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.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Short-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.82 | $10.73 | $10.80 | $10.70 | $9.81 |
Investment Operations | |||||
Net Investment Income | .205 | .242 | .279 | .342 | .400 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.039) | .139 | (.008) | .132 | .907 |
Total from Investment Operations | .166 | .381 | .271 | .474 | 1.307 |
Distributions | |||||
Dividends from Net Investment Income | (. 205) | (. 245) | (. 302) | (. 368) | (.417) |
Distributions from Realized Capital Gains | (. 041) | (. 046) | (. 039) | (. 006) | — |
Total Distributions | (. 246) | (. 291) | (. 341) | (. 374) | (. 417) |
Net Asset Value, End of Period | $10.74 | $10.82 | $10.73 | $10.80 | $10.70 |
Total Return | 1.56% | 3.59% | 2.55% | 4.49% | 13.58% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $29,632 | $25,845 | $22,313 | $21,337 | $16,973 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.10% | 0.10% | 0.11% | 0.11% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.91% | 2.23% | 2.61% | 3.16% | 3.78% |
Portfolio Turnover Rate | 122% | 80% | 47%1 | 48% | 59%1 |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Short-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Institutional Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.82 | $10.73 | $10.80 | $10.70 | $9.81 |
Investment Operations | |||||
Net Investment Income | . 208 | .245 | .283 | .346 | .404 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.039) | .139 | (.008) | .132 | .907 |
Total from Investment Operations | .169 | .384 | .275 | .478 | 1.311 |
Distributions | |||||
Dividends from Net Investment Income | (.208) | (.248) | (. 306) | (. 372) | (. 421) |
Distributions from Realized Capital Gains | (. 041) | (. 046) | (. 039) | (. 006) | — |
Total Distributions | (. 249) | (. 294) | (. 345) | (. 378) | (.421) |
Net Asset Value, End of Period | $10.74 | $10.82 | $10.73 | $10.80 | $10.70 |
Total Return | 1.59% | 3.62% | 2.60% | 4.53% | 13.62% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6,802 | $4,672 | $1,864 | $1,387 | $1,840 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.09% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.94% | 2.26% | 2.65% | 3.20% | 3.81% |
Portfolio Turnover Rate | 122% | 80% | 47%1 | 48% | 59%1 |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
31
Short-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Short-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
32
Short-Term Investment-Grade Fund
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 3% and 7% of net assets, respectively, based on quarterly average aggregate settlement values.
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on quarterly average market values.
3. Swaptions: The fund enters into swaptions to adjust the fund’s sensitivity to interest rates. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into an interest rate swap in which the fund will pay a fixed rate and receive a floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into an interest rate swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset in the Statement of Net Assets and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded as an asset with an equal liability in the Statement of Net Assets and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
The primary risk associated with purchasing swaptions is that interest rates move in such a way that the swaption is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates move in such a way that the swaption is in-the-money, the counterparty exercises the swaption and the resulting interest rate swap results in a negative cash-flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract. The fund’s’s maximum amount subject to counterparty risk is the unrealized appreciation on the swaption contract. The fund mitigates its counterparty risk by only entering into swaptions with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swaption contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swaption contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of
33
Short-Term Investment-Grade Fund
collateral received or pledged is compared daily to the value of the swaption contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the year ended January 31, 2014, the fund’s average value of swaptions purchased and swaptions written each represented less than 1% of net assets, based on quarterly average market values.
4. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting
34
Short-Term Investment-Grade Fund
arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund also enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of pre-qualified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
During the year ended January 31, 2014, the fund’s average amounts of credit protection sold and credit protection purchased each represented 1% of net assets, based on quarterly average notional amounts. The average total amount of interest rate swaps represented 5% of net assets, based on quarterly average notional amounts.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its
35
Short-Term Investment-Grade Fund
net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $5,244,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 2.10% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 4,756,040 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 9,174,133 | 83,295 |
Corporate Bonds | — | 28,264,827 | 151,202 |
Sovereign Bonds | — | 4,259,495 | — |
Taxable Municipal Bonds | — | 298,420 | — |
Tax-Exempt Municipal Bonds | — | 471,930 | — |
Convertible Preferred Stocks | — | 1 | — |
Temporary Cash Investments | 631,523 | — | — |
Futures Contracts—Assets1 | 1,734 | — | — |
Futures Contracts—Liabilities1 | (9,715) | — | — |
Liability for Options Written | (3,469) | — | — |
Swap Contracts—Assets | 1511 | 14,128 | — |
Swap Contracts—Liabilities | (6)1 | (8,305) | — |
Total | 620,218 | 47,230,669 | 234,497 |
1 Represents variation margin on the last day of the reporting period. |
D. At January 31, 2014, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Interest Rate | Credit | ||
Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) |
Other Assets | 11,165 | 4,848 | 16,013 |
Other Liabilities | (13,190) | (8,305) | (21,495) |
36
Short-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2014, were:
Interest Rate | Credit | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | 13,246 | — | 13,246 |
Swaptions and Options on Futures Contracts | (4,055) | — | (4,055) |
Swap Contracts | 8,414 | 3,157 | 11,571 |
Realized Net Gain (Loss) on Derivatives | 17,605 | 3,157 | 20,762 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (34,702) | — | (34,702) |
Options on Futures Contracts | (1,590) | — | (1,590) |
Swap Contracts | 5,939 | (9,299) | (3,360) |
Change in Unrealized Appreciation (Depreciation) | |||
on Derivatives | (30,353) | (9,299) | (39,652) |
At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
5-Year U.S. Treasury Note | March 2014 | (26,092) | (3,147,348) | (11,992) |
2-Year U.S. Treasury Note | March 2014 | 10,058 | 2,214,803 | 1,735 |
10-Year U.S. Treasury Note | March 2014 | (6,527) | (820,770) | (6,892) |
30-Year U.S. Treasury Bond | March 2014 | (2,897) | (387,021) | (9,562) |
Ultra Long U.S. Treasury Bond | March 2014 | (706) | (101,532) | (3,194) |
(29,905) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
37
Short-Term Investment-Grade Fund | ||||||
At January 31, 2014, the fund had the following open swap contracts: | ||||||
Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) (Depreciation) | |||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
Altria Group Inc./Baa1 | 12/20/16 | BOANA | 9,740 | 51 | 1.000 | 254 |
Altria Group Inc./Baa1 | 12/20/16 | JPMC | 9,740 | 43 | 1.000 | 246 |
Altria Group Inc./Baa1 | 12/20/18 | MSCS | 20,000 | (443) | 1.000 | 32 |
AT&T Inc./A3 | 12/20/18 | DBAG | 20,000 | (205) | 1.000 | 55 |
Bank of America Corp./Baa2 | 12/20/17 | MSCS | 16,900 | 491 | 1.000 | 651 |
BHP Billiton Finance Ltd./A1 | 12/20/18 | DBAG | 20,000 | (252) | 1.000 | 52 |
Boeing Co./A2 | 9/20/18 | GSCM | 4,885 | (83) | 1.000 | 74 |
BP plc/A2 | 12/20/18 | DBAG | 20,000 | (281) | 1.000 | 172 |
Danaher Corp./A2 | 12/20/18 | MSCS | 20,000 | (578) | 1.000 | (3) |
Deere & Co./A2 | 12/20/18 | DBAG | 20,000 | (627) | 1.000 | 23 |
Energy Transfer Partners LP/Baa3 | 6/20/17 | BOANA | 14,630 | 578 | 1.000 | 783 |
Energy Transfer Partners LP/ Baa3 | 9/20/18 | JPMC | 7,820 | 31 | 1.000 | 55 |
Energy Transfer Partners LP/ Baa3 | 9/20/18 | JPMC | 8,310 | 33 | 1.000 | 58 |
Federation of Malaysia/A3 | 3/20/19 | DBAG | 24,400 | 69 | 1.000 | (277) |
Federation of Malaysia/A3 | 3/20/19 | JPMC | 9,600 | 60 | 1.000 | (76) |
Federation of Malaysia/A3 | 3/20/19 | JPMC | 19,500 | 113 | 1.000 | (162) |
Federation of Malaysia/A3 | 3/20/19 | MSCS | 9,800 | 52 | 1.000 | (87) |
Federative Republic of Brazil/A3 | 3/20/19 | GSCM | 18,800 | 761 | 1.000 | (184) |
Ford Motor Company/Baa3 | 12/20/18 | JPMC | 20,000 | (3,430) | 5.000 | 101 |
Goldman Sachs Group Inc./Baa1 | 12/20/17 | MSCS | 9,760 | 306 | 1.000 | 358 |
Hartford Financial Services | ||||||
Group Inc./Baa3 | 3/20/18 | GSCM | 9,750 | 20 | 1.000 | 164 |
Kinder Morgan Energy | ||||||
Partners LP/Baa2 | 6/20/18 | CSFBI | 10,300 | (127) | 1.000 | (49) |
Kinder Morgan Energy | ||||||
Partners LP/Baa2 | 9/20/18 | CSFBI | 8,310 | (44) | 1.000 | 2 |
Kingdom of Belgium/Aa3 | 9/20/17 | RBS | 3,800 | 129 | 1.000 | 218 |
Kohls Corp./Baa1 | 6/20/18 | JPMC | 5,380 | 96 | 1.000 | 8 |
Kohls Corp./Baa1 | 9/20/18 | BOANA | 5,380 | 93 | 1.000 | (30) |
National Rural Utilities Cooperative | ||||||
Finance Corp./A2 | 12/20/17 | CSFBI | 3,900 | (40) | 1.000 | 48 |
National Rural Utilities Cooperative | ||||||
Finance Corp./A2 | 12/20/17 | CSFBI | 19,520 | (210) | 1.000 | 228 |
Republic of Chile/Aa3 | 3/20/19 | BARC | 12,800 | (125) | 1.000 | (65) |
Republic of Indonesia/Baa3 | 12/20/18 | GSCM | 7,700 | 453 | 1.000 | 13 |
38
Short-Term Investment-Grade Fund | ||||||
Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Republic of Indonesia/Baa3 | 3/20/19 | DBAG | 9,800 | 625 | 1.000 | (1) |
Republic of Indonesia/Baa3 | 3/20/19 | BOANA | 9,800 | 629 | 1.000 | 4 |
Republic of Indonesia/Baa3 | 3/20/19 | JPMC | 15,400 | 837 | 1.000 | (146) |
Rio Tinto Ltd./A3 | 12/20/18 | DBAG | 20,000 | 101 | 1.000 | 102 |
Royal Bank of Scotland plc/A3 | 3/20/17 | GSCM | 9,750 | (102) | 3.000 | 543 |
Royal Bank of Scotland plc/A3 | 12/20/18 | BOANA | 19,540 | 421 | 1.000 | 199 |
Russian Federation/Baa1 | 3/20/19 | DBAG | 9,800 | 299 | 1.000 | (173) |
Russian Federation/Baa1 | 3/20/19 | BARC | 16,600 | 584 | 1.000 | (216) |
Russian Federation/Baa1 | 3/20/19 | GSCM | 22,400 | 671 | 1.000 | (408) |
Russian Federation/Baa1 | 3/20/19 | GSCM | 19,500 | 586 | 1.000 | (369) |
TJX Cos Inc./A3 | 12/20/18 | MSCS | 20,000 | (607) | 1.000 | (31) |
United Parcel Service Inc./Aa3 | 12/20/18 | BNPSW | 20,000 | (715) | 1.000 | 11 |
Wal-Mart Stores Inc./Aa2 | 12/20/18 | MSCS | 20,000 | (705) | 1.000 | 25 |
Wesfarmers Ltd./A3 | 12/20/18 | DBAG | 20,000 | (262) | 1.000 | 121 |
623,315 | 2,323 | |||||
Credit Protection Purchased | ||||||
Aetna Inc. | 12/20/18 | JPMC | 16,475 | 460 | (1.000) | (37) |
Baker Hughes Inc. | 12/20/18 | MSCS | 16,475 | 263 | (1.000) | (161) |
Bank of America Corp. | 12/20/14 | BARC | 9,700 | (17) | (1.000) | (82) |
Bank of America Corp. | 12/20/14 | BARC | 6,700 | (13) | (1.000) | (58) |
Bank of America Corp. | 12/20/14 | DBAG | 6,700 | (14) | (1.000) | (59) |
Citigroup Inc. | 6/20/14 | BOANA | 34,200 | (125) | (5.000) | (764) |
Computer Sciences Corp. | 9/20/15 | MSCS | 7,315 | 456 | (5.000) | (118) |
Computer Sciences Corp. | 9/20/15 | BARC | 7,315 | 454 | (5.000) | (121) |
Dow Chemical Company | 12/20/18 | GSCM | 16,475 | 76 | (1.000) | (142) |
El Du Pont De Nemours & Co. | 9/20/18 | CSFBI | 6,865 | 165 | (1.000) | (41) |
El Du Pont De Nemours & Co. | 9/20/18 | BNPSW | 5,200 | 117 | (1.000) | (39) |
El Du Pont De Nemours & Co. | 9/20/18 | DBAG | 5,200 | 117 | (1.000) | (39) |
El Du Pont De Nemours & Co. | 9/20/18 | BARC | 5,200 | 117 | (1.000) | (39) |
El Du Pont De Nemours & Co. | 9/20/18 | GSCM | 5,200 | 119 | (1.000) | (36) |
Encana Corp. | 12/20/18 | CSFBI | 16,475 | (263) | (1.000) | (285) |
Federal Express Corp. | 12/20/18 | GSCM | 21,640 | 325 | (1.000) | (70) |
Federative Republic of Brazil | 12/20/15 | BOANA | 3,500 | (16) | (1.000) | (17) |
Halliburton Company | 12/20/18 | BOANA | 16,475 | 468 | (1.000) | (59) |
Hillshire Brands Co. | 12/20/18 | BOANA | 16,475 | (46) | (1.000) | (202) |
39
Short-Term Investment-Grade Fund | ||||||
Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Home Depot Inc. | 12/20/18 | GSCM | 16,475 | 492 | (1.000) | (92) |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | 648 | (1.000) | 29 |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | 663 | (1.000) | 44 |
Morgan Stanley | 9/20/15 | BARC | 11,000 | (199) | (1.000) | (300) |
Norfolk Southern Corp. | 12/20/18 | GSCM | 16,475 | 533 | (1.000) | (76) |
Plains All American Pipeline LP | 3/20/18 | CSFBI | 19,520 | 31 | (1.000) | (403) |
Plains All American Pipeline LP | 6/20/18 | CSFBI | 9,790 | 29 | (1.000) | (178) |
PPG Industries Inc. | 3/20/18 | GSCM | 24,400 | 333 | (1.000) | (358) |
Republic of Austria | 9/20/17 | BNPSW | 3,800 | (67) | (1.000) | (165) |
Republic of Colombia | 12/20/18 | GSCM | 9,800 | (117) | (1.000) | (6) |
Republic of Korea | 9/20/18 | JPMC | 7,800 | 66 | (1.000) | (78) |
Republic of Panama | 3/20/19 | MSCS | 19,500 | (146) | (1.000) | 75 |
Republic of Turkey | 3/20/19 | GSCM | 9,800 | (660) | (1.000) | 70 |
Republic of Turkey | 3/20/19 | BARC | 8,800 | (625) | (1.000) | 30 |
Safeway Inc. | 12/20/18 | CSFBI | 16,475 | (1,035) | (1.000) | (357) |
Sherwin-Williams Company | 12/20/18 | JPMC | 16,475 | 239 | (1.000) | (178) |
Skandinaviska Enskilda Banken AB | 6/20/18 | BOANA | 11,160 | 34 | (1.000) | (141) |
Time Warner Cable Inc. | 12/20/18 | DBAG | 16,475 | (918) | (1.000) | (351) |
Toyota Mortor Corp. | 12/20/18 | BOANA | 16,475 | 373 | (1.000) | (208) |
United Mexican States | 12/20/15 | BOANA | 3,500 | (20) | (1.000) | (56) |
United Mexican States | 12/20/18 | DBAG | 4,900 | (30) | (1.000) | (25) |
United Mexican States | 12/20/18 | GSCM | 18,800 | (45) | (1.000) | (29) |
United Mexican States | 12/20/18 | GSCM | 21,400 | (70) | (1.000) | (52) |
Valero Energy Corp. | 12/20/18 | DBAG | 16,475 | (281) | (1.000) | (407) |
Walt Disney Company | 12/20/18 | GSCM | 16,475 | 597 | (1.000) | (68) |
Wells Fargo | 3/20/15 | GSCM | 10,660 | (20) | (1.000) | (131) |
(5,780) | ||||||
(3,457) |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 BARC—Barclays Bank plc. BNPSW—BNP Paribas.
BOANA—Bank of America, N.A. CSFBI—Credit Suisse First Boston International. DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA. JPMC—JP Morgan Chase Bank. MSCS—Morgan Stanley Capital Services LLC. RBS—The Royal Bank of Scotland plc.
40
Short-Term Investment-Grade Fund | |||||
Centrally Cleared Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | ($000) | (%) | (%) | ($000) | |
7/15/14 | 200,000 | (0.181) | 0.1651 | (19) | |
3/15/15 | 25,000 | 0.326 | (0.165)1 | 31 | |
6/15/15 | 120,000 | 0.443 | (0.165)1 | 275 | |
2/15/16 | 150,000 | 0.700 | (0.165)1 | 911 | |
3/15/16 | 150,000 | 0.579 | (0.165)1 | 479 | |
6/15/16 | 100,000 | 0.446 | (0.165)2 | (140) | |
1,537 | |||||
Over-the-Counter Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Counterparty3 | ($000) | (%) | (%) | ($000) |
3/15/14 | WFC | 9,750 | 0.519 | (0.243)2 | 4 |
10/14/14 | WFC | 21,100 | 1.861 | (0.242)2 | 236 |
2/7/15 | BARC | 150,000 | 0.335 | (0.165)1 | 186 |
4/1/15 | BNPSW | 5,855 | 0.407 | (0.247)2 | 7 |
8/7/15 | CSFBI | 100,000 | 0.414 | (0.165)1 | 211 |
11/7/15 | BOANA | 195,000 | 0.374 | (0.165)1 | 166 |
11/7/15 | BOANA | 155,000 | 0.375 | (0.165)1 | 135 |
6/1/16 | GSCM | 125 | 0.555 | (0.239)2 | — |
6/1/16 | WFC | 9,500 | 2.910 | (0.239)2 | 519 |
6/1/16 | WFC | 6,075 | 0.566 | (0.239)2 | 1 |
11/7/17 | BOANA | 163,000 | (0.716) | 0.1651 | 2,094 |
11/7/17 | BOANA | 162,000 | (0.723) | 0.1651 | 2,043 |
2/7/18 | BARC | 150,000 | (0.957) | 0.1651 | 1,228 |
2/7/19 | WFC | 150,000 | (1.220) | 0.1651 | 2,450 |
9,280 |
1 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date.
3 BARC—Barclays Bank plc.
BNPSW—BNP Paribas
BOANA—Bank of America, N.A.
CSFBI—Credit Suisse First Boston International.
GSCM—Goldman Sachs Bank USA.
WFC—Wells Fargo Bank N.A.
41
Short-Term Investment-Grade Fund
At January 31, 2014, counterparties had deposited in segregated accounts securities and cash with a value of $11,560,000 in connection with open swap contracts. In the event of default or bankruptcy by a counterparty, the fund may sell or retain the securities, however such action may be subject to legal proceedings.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $20,840,000 from accumulated net realized gains to paid-in capital.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $2,180,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
For tax purposes, at January 31, 2014, the fund had $14,980,000 of long-term capital gains available for distribution.
At January 31, 2014, the cost of investment securities for tax purposes was $47,826,001,000. Net unrealized appreciation of investment securities for tax purposes was $264,865,000, consisting of unrealized gains of $596,157,000 on securities that had risen in value since their purchase and $331,292,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $23,351,553,000 of investment securities and sold $18,336,367,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $33,037,897,000 and $33,637,947,000, respectively.
The following table summarizes the fund’s options on futures and swaptions contracts written during the year ended January 31, 2014:
Options on Futures Contracts | Swaptions Contracts | |||
Premiums | Number of | Premiums | ||
Number of | Received | Contracts | Received | |
Options | Contracts | (000) | (000) | (000) |
Balance at January 31, 2013 | 2,306 | 1,540 | — | — |
Options written | 19,193 | 8,246 | 157,000 | 709 |
Options expired | — | — | — | — |
Options closed | (15,443) | (7,839) | (157,000) | (709) |
Options exercised | — | — | — | — |
Options open at January 31, 2014 | 6,056 | 1,947 | — | — |
42
Short-Term Investment-Grade Fund
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 3,868,741 | 360,149 | 4,390,751 | 406,734 |
Issued in Lieu of Cash Distributions | 228,696 | 21,281 | 290,603 | 26,896 |
Redeemed | (4,419,411) | (411,358) | (6,024,464) | (557,746) |
Net Increase (Decrease)—Investor Shares | (321,974) | (29,928) | (1,343,110) | (124,116) |
Admiral Shares | ||||
Issued | 13,713,113 | 1,276,586 | 11,638,041 | 1,077,146 |
Issued in Lieu of Cash Distributions | 497,417 | 46,292 | 515,789 | 47,722 |
Redeemed | (10,223,628) | (951,976) | (8,816,746) | (816,214) |
Net Increase (Decrease) —Admiral Shares | 3,986,902 | 370,902 | 3,337,084 | 308,654 |
Institutional Shares | ||||
Issued | 4,773,317 | 444,189 | 3,920,877 | 363,450 |
Issued in Lieu of Cash Distributions | 114,786 | 10,684 | 87,988 | 8,133 |
Redeemed | (2,713,566) | (253,224) | (1,228,167) | (113,649) |
Net Increase (Decrease) —Institutional Shares | 2,174,537 | 201,649 | 2,780,698 | 257,934 |
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
43
Intermediate-Term Investment-Grade Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFICX | VFIDX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 2.81% | 2.91% | |
Financial Attributes | |||
Barclays Barclays | |||
5–10 Year | Aggregate | ||
Credit | Bond | ||
Fund | Index | Index | |
Number of Bonds | 1,761 | 1,760 | 8,727 |
Yield to Maturity | |||
(before expenses) | 2.7% | 3.4% | 2.3% |
Average Coupon | 3.9% | 4.4% | 3.3% |
Average Duration | 5.1 years | 6.4 years | 5.5 years |
Average Effective | |||
Maturity | 6.3 years | 7.3 years | 7.6 years |
Short-Term | |||
Reserves | 2.6% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 6.8% | ||
Commercial Mortgage-Backed | 5.0 | ||
Finance | 28.3 | ||
Foreign | 3.9 | ||
Industrial | 42.7 | ||
Treasury/Agency | 4.2 | ||
Utilities | 7.7 | ||
Other | 1.4 | ||
The agency and mortgage-backed securities sectors may include | |||
issues from government-sponsored enterprises; such issues are | |||
generally not backed by the full faith and credit of the U.S. | |||
government. |
Volatility Measures | ||
Barclays | Barclays | |
5–10 Year | Aggregate | |
Credit | Bond | |
Index | Index | |
R-Squared | 0.98 | 0.71 |
Beta | 0.83 | 1.19 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 3.7% |
1 - 3 Years | 9.8 |
3 - 5 Years | 17.8 |
5 - 7 Years | 26.2 |
7 - 10 Years | 41.2 |
10 - 20 Years | 0.7 |
20 - 30 Years | 0.2 |
Over 30 Years | 0.4 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 5.9% |
Aaa | 10.5 |
Aa | 15.4 |
A | 47.8 |
Baa | 19.1 |
Ba | 0.4 |
Not Rated | 0.9 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
44
Intermediate-Term Investment-Grade Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Intermediate-Term Investment-Grade | ||||
Fund Investor Shares | 0.85% | 8.82% | 5.35% | $16,846 |
Barclays U.S. 5–10 Year Credit Bond | ||||
•••••••• | ||||
Index | 0.53 | 9.49 | 5.77 | 17,527 |
– – – – Spliced Barclays Core U.S. Bond Aggregate Funds Bond Average Index | 0.02 0.12 | 6.48 4.93 | 4.05 4.62 | 14,871 15,703 |
For a benchmark description, see the Glossary. | ||||
Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Intermediate-Term Investment-Grade Fund | ||||
Admiral Shares | 0.95% | 8.94% | 5.47% | $85,136 |
Barclays U.S. 5–10 Year Credit Bond Index | 0.53 | 9.49 | 5.77 | 87,634 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
45
Intermediate-Term Investment-Grade Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
5–10 Year | ||||
Credit | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 4.78% | -0.54% | 4.24% | 5.40% |
2006 | 4.66 | -3.30 | 1.36 | 0.63 |
2007 | 5.17 | -0.72 | 4.45 | 4.43 |
2008 | 5.41 | 2.80 | 8.21 | 6.87 |
2009 | 4.98 | -12.54 | -7.56 | -5.91 |
2010 | 6.06 | 14.05 | 20.11 | 20.79 |
2011 | 4.98 | 3.66 | 8.64 | 9.09 |
2012 | 4.56 | 4.62 | 9.18 | 10.37 |
2013 | 3.64 | 2.56 | 6.20 | 7.63 |
2014 | 3.16 | -2.31 | 0.85 | 0.53 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 11/1/1993 | -1.37% | 8.52% | 4.74% | 0.54% | 5.28% |
Admiral Shares | 2/12/2001 | -1.27 | 8.64 | 4.85 | 0.54 | 5.39 |
46
Intermediate-Term Investment-Grade Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of January 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
U.S. Government and Agency Obligations | ||||||
U.S. Government Securities | ||||||
United States Treasury Note/Bond | 0.750% | 1/15/17 | 535,000 | 536,252 | 3.2% | |
1 | United States Treasury Note/Bond | 0.625% | 4/30/18 | 133,378 | 130,043 | 0.8% |
1,2,3 United States Treasury | ||||||
Note/Bond | 0.750%–3.625% | 4/30/16–8/15/19 | 31,375 | 31,808 | 0.2% | |
698,103 | 4.2% | |||||
Nonconventional Mortgage-Backed Securities † | 710 | 0.0% | ||||
Total U.S. Government and Agency Obligations (Cost $695,475) | 698,813 | 4.2% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | ||||||
4,5 | Ally Master Owner Trust | |||||
Series 2010-4 | 1.230% | 8/15/17 | 39,470 | 39,819 | 0.3% | |
4 | Banc of America Commercial | |||||
Mortgage Trust 2006-4 | 5.634% | 7/10/46 | 24,950 | 27,067 | 0.2% | |
4 | Banc of America Commercial | |||||
Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 4,021 | 4,398 | 0.0% | |
4 | Banc of America Commercial | |||||
Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 4,391 | 4,809 | 0.0% | |
4 | Banc of America Commercial | |||||
Mortgage Trust 2007-2 | 5.584%–5.635% | 4/10/49 | 16,179 | 17,951 | 0.1% | |
4 | Banc of America Commercial | |||||
Mortgage Trust 2008-1 | 6.171%–6.215% | 2/10/51 | 34,339 | 38,919 | 0.2% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2005-PWR7 | 4.945% | 2/11/41 | 393 | 393 | 0.0% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2005-PWR9 | 4.943% | 9/11/42 | 1,320 | 1,389 | 0.0% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2006-PWR13 | 5.533% | 9/11/41 | 2,391 | 2,618 | 0.0% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-PWR16 | 5.706% | 6/11/40 | 22,140 | 24,872 | 0.2% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-PWR17 | 5.650% | 6/11/50 | 12,223 | 13,586 | 0.1% |
47
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-TOP28 | 5.710% | 9/11/42 | 3,863 | 4,356 | 0.0% | |
4,5 | Chase Issuance Trust 2007-C1 | 0.620% | 4/15/19 | 6,100 | 6,028 | 0.0% |
4,5 | Chase Issuance Trust 2012-A10 | 0.420% | 12/16/19 | 6,000 | 5,981 | 0.0% |
4,6 | Citibank Omni Master Trust | |||||
2009-A13 | 5.350% | 8/15/18 | 13,931 | 14,290 | 0.1% | |
4,5,6 Citibank Omni Master Trust | ||||||
2009-A14A | 2.910% | 8/15/18 | 1,825 | 1,848 | 0.0% | |
4,6 | Citibank Omni Master Trust | |||||
2009-A17 | 4.900% | 11/15/18 | 43,447 | 44,907 | 0.3% | |
4 | Discover Card Execution Note | |||||
Trust 2012-A6 | 1.670% | 1/18/22 | 40,000 | 38,841 | 0.2% | |
4,6 | Ford Credit Auto Lease | |||||
Trust 2012-B | 1.100% | 12/15/15 | 2,200 | 2,208 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2013-A | 0.780%–1.280% | 4/15/16–6/15/16 | 8,850 | 8,864 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2010-A | 2.930%–3.220% | 11/15/15–3/15/16 | 2,210 | 2,251 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-A | 1.150%–1.360% | 7/15/18–10/15/18 | 2,750 | 2,747 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-B | 1.110%–1.820% | 10/15/18–11/15/19 | 3,100 | 3,285 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-C | 1.680%–2.500% | 11/15/18–1/15/20 | 5,500 | 5,569 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-D | 1.540%–1.720% | 3/15/19–7/15/19 | 5,690 | 5,701 | 0.0% | |
4,6 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2010-3 | 4.990% | 2/15/17 | 8,785 | 9,254 | 0.1% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2012-2 | 1.920% | 1/15/19 | 2,000 | 2,041 | 0.0% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2012-4 | 0.940%–1.390% | 9/15/16 | 8,700 | 8,758 | 0.1% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2012-5 | 1.490%–2.140% | 9/15/19 | 27,500 | 29,054 | 0.2% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2013-1 | 1.370%–1.820% | 1/15/18 | 7,800 | 8,031 | 0.1% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2013-3 | 1.740% | 6/15/17 | 820 | 840 | 0.0% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust A | ||||||
Series 2013-4 | 2.100%–2.790% | 6/15/20 | 1,680 | 1,735 | 0.0% | |
4,5 | GE Capital Credit Card | |||||
Master Note Trust | ||||||
Series 2011-2 | 1.160% | 5/15/19 | 10,800 | 10,814 | 0.1% | |
4 | GE Capital Credit Card | |||||
Master Note Trust | ||||||
Series 2012-2 | 2.220% | 1/15/22 | 30,000 | 30,017 | 0.2% | |
4 | GE Capital Credit Card | |||||
Master Note Trust | ||||||
Series 2012-6 | 1.360% | 8/17/20 | 2,300 | 2,274 | 0.0% |
48
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-2 | 0.907% | 4/22/19 | 13,000 | 13,720 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-4 | 0.597% | 10/20/17 | 10,000 | 10,141 | 0.1% | |
4 | GS Mortgage Securities | |||||
Trust 2006-GG6 | 5.506%–5.553% | 4/10/38 | 14,305 | 15,272 | 0.1% | |
4,6 | GS Mortgage Securities | |||||
Trust 2010-C2 | 5.225% | 12/10/43 | 1,370 | 1,473 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2011-GC3 | 5.543% | 3/10/44 | 2,650 | 2,890 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-ALOHA | 3.551% | 4/10/34 | 4,100 | 4,108 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-BWTR | 2.954% | 11/5/34 | 6,450 | 6,110 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,117 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2013-GCJ12 | 3.135%–3.777% | 6/10/46 | 5,250 | 5,068 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2013-GCJ14 | 2.995%–3.817% | 8/10/46 | 2,800 | 2,907 | 0.0% | |
4 | Merrill Lynch Mortgage | |||||
Trust 2006-C2 | 5.739% | 8/12/43 | 806 | 885 | 0.0% | |
4 | Merrill Lynch Mortgage | |||||
Trust 2008-C1 | 5.690% | 2/12/51 | 16,140 | 18,074 | 0.1% | |
4 | ML-CFC Commercial | |||||
Mortgage Trust 2006-2 | 5.876% | 6/12/46 | 2,785 | 3,055 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2006-HQ9 | 5.728% | 7/12/44 | 6,571 | 7,195 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2006-IQ12 | 5.319% | 12/15/43 | 3,638 | 3,982 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ15 | 5.908% | 6/11/49 | 7,580 | 8,485 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ16 | 5.688% | 12/12/49 | 7,234 | 7,996 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2012-C4 | 3.773% | 3/15/45 | 2,440 | 2,474 | 0.0% | |
4,6 | Morgan Stanley Capital I | |||||
Trust 2012-STAR | 3.201% | 8/5/34 | 6,000 | 5,832 | 0.0% | |
6 | Asset-Backed/Commercial Mortgage-Backed Securities—Other † | 1,371,538 | 8.2% | |||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,875,836) | 1,917,837 | 11.5% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Associates Corp. of | ||||||
North America | 6.950% | 11/1/18 | 8,855 | 10,639 | 0.1% | |
Bank of America Corp. | 2.000%–7.625% | 8/1/16–1/22/24 | 168,027 | 181,281 | 1.1% | |
Bank of America NA | 5.300%–6.100% | 3/15/17–6/15/17 | 13,877 | 15,542 | 0.1% | |
Barclays Bank plc | 6.750% | 5/22/19 | 28,530 | 34,631 | 0.2% | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 5,500 | 6,398 | 0.0% | |
BNP Paribas SA | 5.000% | 1/15/21 | 73,350 | 80,557 | 0.5% | |
BNP Paribas SA | 3.250% | 3/3/23 | 34,735 | 33,126 | 0.2% | |
Citigroup Inc. | 4.500% | 1/14/22 | 38,500 | 40,794 | 0.2% | |
Citigroup Inc. | 5.375% | 8/9/20 | 31,422 | 35,581 | 0.2% | |
Citigroup Inc. | 3.375%–8.500% | 8/15/17–9/13/25 | 89,308 | 99,084 | 0.6% |
49
Intermediate-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 70,232 | 71,033 | 0.4% |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 47,080 | 46,190 | 0.3% |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 44,100 | 45,031 | 0.3% |
Cooperatieve Centrale | |||||
Raiffeisen-Boerenleenbank | |||||
BA | 2.250%–4.500% | 1/14/19–1/11/21 | 21,744 | 23,215 | 0.1% |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 41,500 | 41,539 | 0.3% |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 37,857 | 41,299 | 0.2% |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 32,535 | 36,815 | 0.2% |
Goldman Sachs Group Inc. | 2.375%–7.500% | 9/1/17–1/22/23 | 78,035 | 88,168 | 0.5% |
HSBC Bank USA NA | 4.875% | 8/24/20 | 39,478 | 42,864 | 0.3% |
HSBC Bank USA NA | 6.000% | 8/9/17 | 5,055 | 5,767 | 0.0% |
HSBC Holdings plc | 5.100% | 4/5/21 | 51,948 | 58,118 | 0.3% |
HSBC Holdings plc | 4.000% | 3/30/22 | 26,100 | 27,029 | 0.2% |
HSBC USA Inc. | 5.000% | 9/27/20 | 8,158 | 8,871 | 0.1% |
JPMorgan Chase & Co. | 1.625%–6.300% | 6/27/17–1/25/23 | 189,941 | 201,738 | 1.2% |
JPMorgan Chase Bank NA | 6.000% | 7/5/17–10/1/17 | 16,880 | 19,357 | 0.1% |
Lloyds Bank plc | 6.375% | 1/21/21 | 38,592 | 46,775 | 0.3% |
Merrill Lynch & Co. Inc. | 6.400%–6.875% | 8/28/17–11/15/18 | 18,770 | 22,095 | 0.1% |
Morgan Stanley | 2.125%–7.300% | 1/9/17–2/25/23 | 134,285 | 151,474 | 0.9% |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 29,500 | 34,428 | 0.2% |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 29,026 | 33,040 | 0.2% |
UBS AG | 4.875% | 8/4/20 | 51,600 | 57,747 | 0.3% |
US Bancorp | 2.950% | 7/15/22 | 35,200 | 33,498 | 0.2% |
Wachovia Bank NA | 6.000% | 11/15/17 | 8,000 | 9,269 | 0.1% |
Wachovia Corp. | 5.625%–5.750% | 10/15/16–2/1/18 | 23,305 | 26,577 | 0.2% |
Wells Fargo & Co. | 3.450% | 2/13/23 | 36,700 | 35,239 | 0.2% |
Wells Fargo & Co. | 2.150%–5.625% | 12/11/17–8/15/23 | 91,751 | 95,993 | 0.6% |
Westpac Banking Corp. | 4.875% | 11/19/19 | 32,795 | 36,736 | 0.2% |
6 Banking—Other † | 1,047,422 | 6.3% | |||
Brokerage † | 203,240 | 1.2% | |||
Finance Companies | |||||
General Electric Capital Corp. | 4.650% | 10/17/21 | 35,847 | 39,344 | 0.2% |
4 General Electric | |||||
Capital Corp. | 2.300%–6.375% | 2/15/17–11/15/67 | 145,896 | 161,390 | 1.0% |
HSBC Finance Corp. | 6.676% | 1/15/21 | 89,189 | 103,655 | 0.6% |
Finance Companies—Other † | 32,622 | 0.2% | |||
Insurance | |||||
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 34,316 | 33,286 | 0.2% |
6 Insurance—Other † | 714,988 | 4.3% | |||
Other Finance | |||||
IntercontinentalExchange Group Inc. | 4.000% | 10/15/23 | 34,330 | 35,275 | 0.2% |
Other Finance—Other † | 24,435 | 0.2% | |||
Real Estate Investment Trusts | |||||
Simon Property Group LP | 5.650% | 2/1/20 | 31,200 | 36,308 | 0.2% |
6 Real Estate Investment Trusts—Other † | 317,082 | 1.9% | |||
4,626,585 | 27.7% | ||||
Industrial | |||||
6 Basic Industry † | 580,044 | 3.5% | |||
Capital Goods | |||||
General Electric Co. | 2.700% | 10/9/22 | 40,000 | 38,320 | 0.2% |
General Electric Co. | 5.250% | 12/6/17 | 12,925 | 14,710 | 0.1% |
50
Intermediate-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
United Technologies Corp. | 3.100% | 6/1/22 | 64,930 | 64,695 | 0.4% |
6 Capital Goods—Other † | 781,635 | 4.7% | |||
Communication | |||||
America Movil SAB de CV | 3.125% | 7/16/22 | 39,300 | 36,691 | 0.2% |
America Movil SAB de CV | 5.000% | 3/30/20 | 32,500 | 35,512 | 0.2% |
AT&T Inc. | 3.000% | 2/15/22 | 48,396 | 45,998 | 0.3% |
6 Communication—Other † | 781,393 | 4.7% | |||
Consumer Cyclical | |||||
Ford Motor Credit Co. LLC | 3.000%–8.125% | 6/12/17–8/6/23 | 83,699 | 94,584 | 0.6% |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 57,500 | 53,804 | 0.3% |
6 Consumer Cyclical—Other † | 644,097 | 3.8% | |||
Consumer Noncyclical | |||||
Anheuser-Busch Cos. LLC | 5.000%–5.600% | 3/1/17–3/1/19 | 8,600 | 9,693 | 0.1% |
Anheuser-Busch InBev | |||||
Finance Inc. | 2.625%–3.700% | 1/17/23–2/1/24 | 25,375 | 25,047 | 0.2% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 5.375% | 1/15/20 | 42,085 | 48,847 | 0.3% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 2.500% | 7/15/22 | 44,177 | 41,749 | 0.2% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 5.000%–7.750% | 11/15/14–4/15/20 | 61,470 | 73,425 | 0.4% |
Coca-Cola Co. | 3.300% | 9/1/21 | 34,245 | 35,336 | 0.2% |
Koninklijke Philips NV | 3.750% | 3/15/22 | 32,849 | 33,894 | 0.2% |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 37,138 | 36,015 | 0.2% |
6 Consumer Noncyclical—Other † | 1,614,564 | 9.7% | |||
Energy | |||||
BP Capital Markets plc | 3.245% | 5/6/22 | 35,000 | 34,489 | 0.2% |
BP Capital Markets plc | 4.500% | 10/1/20 | 30,500 | 33,427 | 0.2% |
BP Capital Markets plc | 1.375%–4.750% | 11/6/17–5/10/23 | 114,128 | 114,423 | 0.7% |
Chevron Corp. | 3.191% | 6/24/23 | 37,083 | 36,701 | 0.2% |
Chevron Corp. | 2.355% | 12/5/22 | 39,000 | 36,483 | 0.2% |
Shell International Finance BV | 2.375% | 8/21/22 | 39,609 | 37,043 | 0.2% |
6 Energy—Other † | 684,015 | 4.1% | |||
Other Industrial † | 1,604 | 0.0% | |||
Technology | |||||
Apple Inc. | 2.400% | 5/3/23 | 78,300 | 71,666 | 0.4% |
Intel Corp. | 3.300% | 10/1/21 | 44,900 | 45,662 | 0.3% |
Intel Corp. | 2.700% | 12/15/22 | 38,000 | 35,897 | 0.2% |
6 Technology—Other † | 553,733 | 3.3% | |||
Transportation | |||||
United Parcel Service Inc. | 3.125% | 1/15/21 | 34,200 | 35,116 | 0.2% |
6 Transportation—Other † | 166,211 | 1.0% | |||
6,976,523 | 41.7% | ||||
Utilities | |||||
6 Electric † | 1,053,118 | 6.3% | |||
6 Natural Gas † | 194,290 | 1.2% | |||
1,247,408 | 7.5% | ||||
Total Corporate Bonds (Cost $12,501,122) | 12,850,516 | 76.9% | |||
6Sovereign Bonds (U.S. Dollar-Denominated) (Cost $638,065) † | 636,355 | 3.8% | |||
Taxable Municipal Bonds (Cost $53,255) † | 54,731 | 0.3% | |||
6Tax-Exempt Municipal Bonds (Cost $167,550) † | 173,771 | 1.0% | |||
Convertible Preferred Stocks (Cost $8,571) † | — | 0.0% |
51
Intermediate-Term Investment-Grade Fund | |||||
Market | Percentage | ||||
Value | of Net | ||||
Coupon | Shares | ($000) | Assets | ||
Temporary Cash Investment | |||||
Money Market Fund | |||||
7 Vanguard Market Liquidity | |||||
Fund (Cost $136,125) | 0.130% | 136,124,532 | 136,125 | 0.8% | |
Total Investments (Cost $16,075,999) | 16,468,148 | 98.5% | |||
Expiration | |||||
Date | Contracts | ||||
Liabiliy for Options Written (0.0%) | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 524 | (770) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 532 | (407) | 0.0% | |
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 1,056 | (33) | 0.0% | |
Total Liability for Options Written (Premiums Received $679) | (1,210) | 0.0% | |||
Other Assets and Liabilities | |||||
Other Assets | 400,880 | 2.4% | |||
Other Liabilities | (150,488) | (0.9%) | |||
250,392 | 1.5% | ||||
Net Assets | 16,717,330 | 100.0% |
52
Intermediate-Term Investment-Grade Fund | |
At January 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 16,321,351 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 1,922 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 392,149 |
Futures Contracts | (6,113) |
Options on Futures Contracts | (531) |
Swap Contracts | 8,552 |
Net Assets | 16,717,330 |
Investor Shares—Net Assets | |
Applicable to 315,940,344 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,099,194 |
Net Asset Value Per Share—Investor Shares | $9.81 |
Admiral Shares—Net Assets | |
Applicable to 1,388,274,833 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 13,618,136 |
Net Asset Value Per Share—Admiral Shares | $9.81 |
See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $14,303,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $813,000 have been segregated as collateral for open over-the-counter swap contracts.
3 Securities with a value of $552,000 have been segregated as initial margin for open cleared swap contracts.
4 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.
5 Adjustable-rate security.
6 Certain of the fund’s securities are 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 January 31, 2014, the aggregate value of these securities was $1,163,085,000, representing 7.0% of net assets.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
53
Intermediate-Term Investment-Grade Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 71 |
Interest1 | 590,098 |
Total Income | 590,169 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,712 |
Management and Administrative—Investor Shares | 6,158 |
Management and Administrative—Admiral Shares | 9,263 |
Marketing and Distribution—Investor Shares | 1,146 |
Marketing and Distribution—Admiral Shares | 2,946 |
Custodian Fees | 220 |
Auditing Fees | 41 |
Shareholders’ Reports—Investor Shares | 106 |
Shareholders’ Reports—Admiral Shares | 87 |
Trustees’ Fees and Expenses | 17 |
Total Expenses | 21,696 |
Net Investment Income | 568,473 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 243,487 |
Futures Contracts | 16,856 |
Swaptions and Options on Futures Contracts | (1,595) |
Swap Contracts | 12,093 |
Realized Net Gain (Loss) | 270,841 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (699,207) |
Futures Contracts | (4,743) |
Options on Futures Contracts | (562) |
Swap Contracts | (19,617) |
Change in Unrealized Appreciation (Depreciation) | (724,129) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 115,185 |
1 Interest income from an affiliated company of the fund was $326,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
54
Intermediate-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 568,473 | 633,986 |
Realized Net Gain (Loss) | 270,841 | 497,697 |
Change in Unrealized Appreciation (Depreciation) | (724,129) | (46,737) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 115,185 | 1,084,946 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (124,861) | (174,913) |
Admiral Shares | (453,908) | (471,180) |
Realized Capital Gain1 | ||
Investor Shares | (75,049) | (95,277) |
Admiral Shares | (270,895) | (269,094) |
Total Distributions | (924,713) | (1,010,464) |
Capital Share Transactions | ||
Investor Shares | (1,592,771) | 15,503 |
Admiral Shares | (346,346) | 3,127,849 |
Net Increase (Decrease) from Capital Share Transactions | (1,939,117) | 3,143,352 |
Total Increase (Decrease) | (2,748,645) | 3,217,834 |
Net Assets | ||
Beginning of Period | 19,465,975 | 16,248,141 |
End of Period | 16,717,330 | 19,465,975 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $22,569,000 and $83,279,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
55
Intermediate-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.24 | $10.18 | $9.94 | $9.81 | $8.64 |
Investment Operations | |||||
Net Investment Income | . 311 | . 354 | . 418 | .458 | .468 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.229) | .266 | .463 | .372 | 1.220 |
Total from Investment Operations | .082 | .620 | .881 | .830 | 1.688 |
Distributions | |||||
Dividends from Net Investment Income | (.317) | (. 360) | (. 428) | (.473) | (. 478) |
Distributions from Realized Capital Gains | (.195) | (. 200) | (. 213) | (. 227) | (.040) |
Total Distributions | (. 512) | (. 560) | (. 641) | (.700) | (.518) |
Net Asset Value, End of Period | $9.81 | $10.24 | $10.18 | $9.94 | $9.81 |
Total Return1 | 0.85% | 6.20% | 9.18% | 8.64% | 20.11% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,099 | $4,884 | $4,837 | $4,645 | $5,489 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.22% | 0.24% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.12% | 3.41% | 4.17% | 4.56% | 5.05% |
Portfolio Turnover Rate | 100% | 62% | 49% | 39% | 69% |
1 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.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Intermediate-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.24 | $10.18 | $9.94 | $9.81 | $8.64 |
Investment Operations | |||||
Net Investment Income | . 321 | . 364 | . 428 | .470 | .480 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.229) | .266 | .463 | .372 | 1.220 |
Total from Investment Operations | .092 | .630 | .891 | . 842 | 1.700 |
Distributions | |||||
Dividends from Net Investment Income | (.327) | (.370) | (.438) | (.485) | (. 490) |
Distributions from Realized Capital Gains | (.195) | (. 200) | (. 213) | (. 227) | (.040) |
Total Distributions | (.522) | (.570) | (. 651) | (.712) | (.530) |
Net Asset Value, End of Period | $9.81 | $10.24 | $10.18 | $9.94 | $9.81 |
Total Return | 0.95% | 6.30% | 9.29% | 8.77% | 20.26% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $13,618 | $14,582 | $11,411 | $9,717 | $8,601 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.22% | 3.51% | 4.27% | 4.68% | 5.18% |
Portfolio Turnover Rate | 100% | 62% | 49% | 39% | 69% |
See accompanying Notes, which are an integral part of the Financial Statements.
57
Intermediate-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Intermediate-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
58
Intermediate-Term Investment-Grade Fund
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 8% and 6% of net assets, respectively, based on quarterly average aggregate settlement values.
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on quarterly average market values.
3. Swaptions: The fund enters into swaptions to adjust the fund’s sensitivity to interest rates. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into an interest rate swap in which the fund will pay a fixed rate and receive a floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into an interest rate swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset in the Statement of Net Assets and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded as an asset with an equal liability in the Statement of Net Assets and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
The primary risk associated with purchasing swaptions is that interest rates move in such a way that the swaption is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates move in such a way that the swaption is in-the-money, the counterparty exercises the swaption and the resulting interest rate swap results in a negative cash-flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swaption contract. The fund mitigates its counterparty risk by only entering into swaptions with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swaption contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swaption contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swaption contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
59
Intermediate-Term Investment-Grade Fund
During the year ended January 31, 2014, the fund’s average value of swaptions purchased and swaptions written each represented less than 1% of net assets, based on quarterly average market values.
4. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counter-party risk by entering into swaps only with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment
60
Intermediate-Term Investment-Grade Fund
by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund also enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of pre-qualified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
During the year ended January 31, 2014, the average amounts of credit protection sold and credit protection purchased each represented 1% of net assets, based on quarterly average notional amounts. The average amounts of interest rate swaps represented 4% of net assets, based on quarterly average notional amounts.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital
61
Intermediate-Term Investment-Grade Fund
of $1,826,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.73% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 698,813 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 1,903,745 | 14,092 |
Corporate Bonds | — | 12,845,242 | 5,274 |
Sovereign Bonds | — | 636,355 | — |
Taxable Municipal Bonds | — | 54,731 | — |
Tax-Exempt Municipal Bonds | — | 173,771 | — |
Convertible Preferred Stocks | — | — | — |
Preferred Stocks | — | — | — |
Temporary Cash Investments | 136,125 | — | — |
Futures Contracts—Assets1 | 1,053 | — | — |
Futures Contracts—Liabilities1 | (2,981) | — | — |
Swap Contracts—Assets | 341 | 12,534 | — |
Swap Contracts—Liabilities | — | (3,989) | — |
Liability for Option Contracts Written | (1,210) | — | — |
Total | 133,021 | 16,321,202 | 19,366 |
1 Represents variation margin on the last day of the reporting period. |
D. At January 31, 2014, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Interest Rate | Credit | ||
Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) |
Other Assets | 12,618 | 1,003 | 13,621 |
Other Liabilities | (5,099) | (3,081) | (8,180) |
62
Intermediate-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2014, were:
Interest Rate | Credit | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | 16,856 | — | 16,856 |
Options on Futures Contracts | (1,595) | — | (1,595) |
Swaptions and Swap Contracts | 14,965 | (2,872) | 12,093 |
Realized Net Gain (Loss) on Derivatives | 30,226 | (2,872) | 27,354 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (4,743) | — | (4,743) |
Options on Futures Contracts | (562) | — | (562) |
Swap Contracts | (17,258) | (2,359) | (19,617) |
Change in Unrealized Appreciation (Depreciation) | |||
on Derivatives | (22,563) | (2,359) | (24,922) |
At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
10-Year U.S. Treasury Note | March 2014 | (8,177) | (1,028,258) | (6,903) |
5-Year U.S. Treasury Note | March 2014 | 6,151 | 741,964 | 1,778 |
2-Year U.S. Treasury Note | March 2014 | 1,839 | 404,954 | 435 |
Ultra Long U.S. Treasury Bond | March 2014 | (289) | (41,562) | (1,400) |
30-Year U.S. Treasury Bond | March 2014 | 236 | 31,528 | (23) |
(6,113) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
63
Intermediate-Term Investment-Grade Fund | ||||||
At January 31, 2014, the fund had the following open swap contracts: | ||||||
Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) (Depreciation) | |||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
Altria Group Inc./Baa1 | 12/20/18 | MSCS | 10,000 | (221) | 1.000 | 16 |
AT&T/A3 | 12/20/18 | DBAG | 10,000 | (103) | 1.000 | 28 |
Bank of America Corp./Baa2 | 12/20/17 | MSCS | 7,680 | 223 | 1.000 | 296 |
Belgium (Kingdom of)/Aa3 | 9/20/17 | RBS | 1,200 | 41 | 1.000 | 69 |
BHP Billiton Finance/A1 | 12/20/18 | DBAG | 10,000 | (126) | 1.000 | 26 |
BP plc/A2 | 12/20/18 | DBAG | 10,000 | (140) | 1.000 | 86 |
Federative Republic of Brazil/Baa2 | 3/20/19 | GSCM | 5,800 | 235 | 1.000 | (57) |
Republic of Chile/Aa3 | 3/20/19 | BARC | 2,000 | (20) | 1.000 | (10) |
Danaher Corporation | 12/20/18 | MSCS | 10,000 | (289) | 1.000 | (1) |
Deere & Co./A2 | 12/20/18 | DBAG | 10,000 | (313) | 1.000 | 12 |
Energy Transfer Partners LP/Baa3 | 9/20/18 | JPMC | 1,500 | 6 | 1.000 | 10 |
Ford Motor Company/Baa3 | 12/20/18 | JPMC | 10,000 | (1,715) | 5.000 | 50 |
Indonesia (Republic of)/Baa3 | 12/20/18 | GSCM | 2,125 | 125 | 1.000 | 4 |
Indonesia (Republic of)/Baa4 | 3/20/19 | JPMC | 4,250 | 231 | 1.000 | (41) |
Kinder Morgan Energy | ||||||
Partners LP/Baa2 | 9/20/18 | CSFBI | 1,500 | (8) | 1.000 | — |
Kinder Morgan Energy | ||||||
Partners LP/Baa2 | 6/20/18 | CSFBI | 4,450 | (55) | 1.000 | (21) |
Kohls Corp./Baa1 | 9/20/18 | BOANA | 4,500 | 78 | 1.000 | (25) |
Kohls Corp./Baa2 | 6/20/18 | JPMC | 4,500 | 80 | 1.000 | 7 |
Malaysia (Federation of)/A3 | 3/20/19 | DBAG | 5,000 | 14 | 1.000 | (57) |
Rio Tinto Ltd./A3 | 12/20/18 | DBAG | 10,000 | 51 | 1.000 | 51 |
Russian Federation/Baa1 | 3/20/19 | BARC | 3,000 | 105 | 1.000 | (39) |
TJX Companies Inc./A3 | 12/20/18 | MSCS | 10,000 | (304) | 1.000 | (15) |
United Parcel Service of Inc./Aa3 | 12/20/18 | BNPSW | 10,000 | (358) | 1.000 | 5 |
Wal-Mart Stores Inc./Aa2 | 12/20/18 | MSCS | 10,000 | (353) | 1.000 | 12 |
Wesfarmers Ltd./A3 | 12/20/18 | DBAG | 10,000 | (131) | 1.000 | 61 |
(2,947) | 467 |
64
Intermediate-Term Investment-Grade Fund | ||||||
Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Credit Protection Purchased | ||||||
Aetna Inc. | 12/20/18 | JPMC | 8,225 | 230 | (1.000) | (18) |
Austria (Republic of) | 9/20/17 | BNPSW | 1,200 | (21) | (1.000) | (52) |
Baker Hughes Inc. | 12/20/18 | MSCS | 8,225 | 131 | (1.000) | (81) |
Bank of America Corp. | 12/20/14 | DBAG | 3,130 | (7) | (1.000) | (28) |
Bank of America Corp. | 12/20/14 | BARC | 3,130 | (7) | (1.000) | (28) |
Federative Republic of Brazil | 12/20/15 | BOANA | 1,500 | (7) | (1.000) | (7) |
Capital One Financial Corp. | 6/20/18 | DBAG | 25,000 | 74 | (1.000) | (403) |
Deven Energy Corp. | 9/20/18 | BARC | 7,000 | 28 | (1.000) | (70) |
Dow Chemical Company (The) | 12/20/18 | GSCM | 8,225 | 38 | (1.000) | (71) |
EI Du Pont De Nemours & Co. | 9/20/18 | GSCM | 2,250 | 52 | (1.000) | (16) |
EI Du Pont De Nemours & Co. | 9/20/18 | BARC | 2,250 | 50 | (1.000) | (17) |
EI Du Pont De Nemours & Co. | 9/20/18 | BNPSW | 2,250 | 50 | (1.000) | (17) |
EI Du Pont De Nemours & Co. | 9/20/18 | CSFBI | 2,970 | 71 | (1.000) | (18) |
EI Du Pont De Nemours & Co. | 9/20/18 | DBAG | 2,250 | 50 | (1.000) | (17) |
Encana Corp. | 12/20/18 | CSFBI | 8,225 | 252 | (1.000) | 241 |
Federal Express Corp. | 12/20/18 | GSCM | 7,840 | 118 | (1.000) | (25) |
Halliburton Company | 12/20/18 | BOANA | 8,225 | 234 | (1.000) | (30) |
Hillshire Brands Co. | 12/20/18 | BOANA | 8,225 | (23) | (1.000) | (101) |
Home Depot Inc. | 12/20/18 | GSCM | 8,225 | (137) | (1.000) | (429) |
Korea (Republic of) | 9/20/18 | JPMC | 2,000 | 17 | (1.000) | (20) |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | 226 | (1.000) | 10 |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | 232 | (1.000) | 15 |
Mexico (United Mexican State) | 12/20/15 | BOANA | 1,500 | (9) | (1.000) | (24) |
Mexico (United Mexican State) | 12/20/18 | GSCM | 5,800 | (14) | (1.000) | (9) |
Mexico (United Mexican State) | 12/20/18 | GSCM | 3,100 | (10) | (1.000) | (7) |
Morgan Stanley | 9/20/15 | BARC | 4,400 | (80) | (1.000) | (120) |
Norfolk Southern Corporation | 12/20/18 | GSCM | 8,225 | 266 | (1.000) | (38) |
Safeway Inc. | 12/20/18 | CSFBI | 8,225 | (517) | (1.000) | (178) |
Sherwin-Williams Company (The) | 12/20/18 | JPMC | 8,225 | 119 | (1.000) | (89) |
Skandinaviska Enskida Banken AB | 6/20/18 | BOANA | 4,880 | 15 | (1.000) | (62) |
Time Warner Cable Inc. | 12/20/18 | DBAG | 8,225 | (458) | (1.000) | (175) |
Toyota Motor Corp. | 12/20/18 | BOANA | 8,225 | 187 | (1.000) | (103) |
Turkey (Republic of) | 3/20/19 | BARC | 1,000 | (71) | (1.000) | 4 |
65
Intermediate-Term Investment-Grade Fund | ||||||
Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Valero Energy Corp. | 12/20/18 | DBAG | 8,225 | (140) | (1.000) | (203) |
Walt Disney Company (The) | 12/20/18 | GSCM | 8,225 | 298 | (1.000) | (34) |
Wellpoint Inc. | 12/20/17 | CSFBI | 10,000 | (30) | (1.000) | (271) |
Wells Fargo & Company | 3/20/15 | GSCM | 4,400 | (8) | (1.000) | (54) |
(2,545) | ||||||
(2,078) | ||||||
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the | ||||||
reference entity was subject to a credit event. |
1 BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CSFBI—Credit Suisse First Boston International.
DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA.
MSCS—Morgan Stanley.
JPMC—JP Morgan Chase Bank.
RBS—Royal Bank of Scotland Group.
Centrally Cleared Interest Rate Swaps | ||||
Fixed | Floating | |||
Interest Rate | Interest Rate | Unrealized | ||
Notional | Received | Received | Appreciation | |
Amount | (Paid) | (Paid) | (Depreciation) | |
Termination Date | ($000) | (%) | (%) | ($000) |
12/17/15 | 1,330 | 0.359 | (0.159)2 | — |
12/17/15 | 3,610 | 0.377 | (0.159)2 | 2 |
5/22/16 | 3,800 | 0.546 | (0.238)3 | (1) |
12/10/16 | 8,355 | 0.656 | (0.161)2 | (9) |
1/15/17 | 3,050 | 0.770 | (0.198)3 | 4 |
5/1/18 | 3,400 | 1.214 | (0.170)2 | (5) |
1/25/23 | 4,500 | 2.560 | (0.158)2 | (2) |
3/25/23 | 1,150 | 0.156 | (0.208)2 | 18 |
7 |
66
Intermediate-Term Investment-Grade Fund | |||||
Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Counterparty1 | ($000) | (%) | (%) | ($000) |
2/14/14 | WFC | 21,200 | 1.022 | (0.160)2 | 7 |
2/25/14 | WFC | 1,090 | 0.201 | (0.155)2 | 1 |
3/6/14 | GSCM | 18,138 | 2.448 | (0.168)2 | 40 |
5/15/14 | GSCM | 1,000 | 1.528 | (0.160)2 | 4 |
5/16/14 | WFC | 8,640 | 1.083 | (0.238)3 | 21 |
6/15/14 | WFC | 1,200 | 1.150 | (0.160)2 | 4 |
6/15/14 | WFC | 4,400 | 2.338 | (0.160)2 | 35 |
6/15/14 | WFC | 40 | 2.577 | (0.160)2 | 0 |
8/15/14 | JPMC | 1,825 | 1.501 | (0.160)2 | 13 |
10/15/14 | WFC | 6,455 | 1.130 | (0.160)2 | 42 |
12/15/14 | GSCM | 1,463 | 0.553 | (0.160)2 | 4 |
1/25/15 | BARC | 6,400 | 0.313 | (0.158)2 | 7 |
2/17/15 | GSCM | 14,170 | 2.555 | (0.238)3 | 335 |
3/24/15 | GSCM | 1,520 | 2.910 | (0.158)2 | 47 |
7/15/15 | CSFBI | 12,100 | 0.393 | (0.160)2 | 23 |
8/15/15 | GSCM | 53,730 | 1.5875 | (0.160)2 | 1,080 |
10/20/15 | BOANA | 10,000 | 0.390 | (0.157)2 | 13 |
10/21/15 | WFC | 18,475 | 1.485 | (0.237)3 | 349 |
2/15/16 | BOANA | 4,000 | 0.450 | (0.160)2 | 4 |
2/15/16 | GSCM | 9,000 | 0.448 | (0.160)2 | 10 |
2/15/16 | WFC | 9,000 | 0.450 | (0.160)2 | 10 |
2/22/16 | BNPSW | 1,951 | 0.522 | (0.238)3 | 3 |
5/16/16 | GSCM | 5,400 | 0.451 | (0.159)2 | (2) |
5/16/16 | GSCM | 10,800 | 0.434 | (0.160)2 | (10) |
5/19/16 | WFC | 4,081 | 1.454 | (0.238)3 | 50 |
6/15/16 | BOANA | 7,947 | 0.299 | (0.160)2 | 2 |
10/25/16 | WFC | 15,200 | 1.714 | (0.239)3 | 416 |
1/15/17 | BARC | 1,130 | 2.971 | (0.160)2 | 75 |
2/15/17 | BARC | 1,490 | 3.180 | (0.160)2 | 109 |
2/15/17 | BARC | 1,145 | 2.287 | (0.160)2 | 53 |
2/15/17 | BOANA | 12,650 | 1.875 | (0.160)2 | 425 |
2/15/17 | GSCM | 365 | 3.433 | (0.160)2 | 29 |
2/15/17 | WFC | 625 | 3.373 | (0.160)2 | 49 |
2/15/17 | WFC | 950 | 2.407 | (0.160)2 | 47 |
2/15/17 | WFC | 5,700 | 2.407 | (0.160)2 | 283 |
2/15/17 | WFC | 400 | 0.714 | (0.160)2 | (1) |
67
Intermediate-Term Investment-Grade Fund | |||||
Interest Rate Swaps (continued) | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Counterparty1 | ($000) | (%) | (%) | ($000) |
4/20/17 | GSCM | 13,000 | 0.960 | (0.157)2 | 52 |
5/5/17 | BOANA | 4,555 | 0.876 | (0.160)2 | 4 |
9/15/17 | BARC | 5,400 | 3.363 | (0.160)2 | 457 |
9/15/17 | BOANA | 5,910 | 0.755 | (0.160)2 | (53) |
9/15/17 | GSCM | 4,850 | 3.520 | (0.160)2 | 438 |
9/15/17 | GSCM | 7,295 | 2.533 | (0.160)2 | 400 |
9/15/17 | WFC | 1,100 | 2.345 | (0.160)2 | 53 |
10/16/17 | WFC | 7,000 | 0.750 | (0.159)2 | (74) |
12/15/17 | GSCM | 6,000 | 0.788 | (0.160)2 | (72) |
2/15/18 | BARC | 18,000 | 0.923 | (0.160)2 | (179) |
3/15/18 | BOANA | 13,000 | 0.944 | (0.160)2 | (174) |
5/24/18 | BNPSW | 10,000 | 0.984 | (0.158)2 | (125) |
8/15/18 | BNPSW | 5,400 | 0.715 | (0.160)2 | (54) |
3/15/19 | GSCM | 4,990 | 1.399 | (0.160)2 | (46) |
4/25/19 | WFC | 11,550 | 2.053 | (0.236)3 | 349 |
4/25/19 | WFC | 5,500 | 2.756 | (0.239)3 | 249 |
4/25/20 | GSCM | 4,365 | 2.794 | (0.239)3 | 201 |
4/25/20 | JPMC | 28,610 | 3.024 | (0.239)3 | 1,720 |
4/1/21 | WFC | 5,891 | 0.965 | (0.170)2 | (118) |
6/25/21 | GSCM | 5,720 | 3.143 | (0.246)3 | 378 |
10/25/21 | WFC | 6,500 | 3.328 | (0.239)3 | 492 |
11/25/22 | BARC | 17,900 | 2.758 | (0.238)3 | 884 |
11/25/22 | UBSAG | 3,348 | 2.491 | (0.238)3 | 114 |
1/25/23 | WFC | 3,000 | 3.144 | (0.239)3 | 187 |
7/25/23 | BARC | 24,625 | 3.483 | (0.239)3 | 1,963 |
10,623 | |||||
1 BARC—Barclays Bank plc. | |||||
BNPSW—BNP Paribas. | |||||
BOANA—Bank of America, N.A. | |||||
CSFBI—Credit Suisse First Boston International. | |||||
GSCM—Goldman Sachs Bank USA. | |||||
JPMC—JP Morgan Chase Bank. | |||||
UBSAG—UBS AG. | |||||
WFC—Wells Fargo Bank N.A. | |||||
2 Based on one-month London InterBank Offered Rate (LIBOR) as of the most recent payment date. | |||||
3 Based on three-month London InterBank Offered Rate (LIBOR) as of the most recent payment date. |
68
Intermediate-Term Investment-Grade Fund
At January 31, 2014, counterparties had deposited in segregated accounts securities with a value of $15,981,000 in connection with open swap contracts. In the event of default or bankruptcy by a counterparty, the fund may sell or retain the securities, however such action may be subject to legal proceedings.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $63,796,000 from accumulated net realized gains to paid-in capital.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $10,296,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
For tax purposes, at January 31, 2014, the fund had long-term capital gains of $13,777,000 available for distribution.
At January 31, 2014, the cost of investment securities for tax purposes was $16,094,498,000. Net unrealized appreciation of investment securities for tax purposes was $373,650,000, consisting of unrealized gains of $613,080,000 on securities that had risen in value since their purchase and $239,430,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $7,432,136,000 of investment securities and sold $8,848,076,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $9,795,382,000 and $10,666,776,000, respectively.
The following table summarizes the fund’s options on futures and swaptions written during the year ended January 31, 2014:
Options on Futures Contracts | Swaptions Contracts | |||
Premiums | Number of | Premiums | ||
Number of | Received | Contracts | Received | |
Options | Contracts | ($000) | (000) | ($000) |
Balance at January 31, 2013 | 1,064 | 710 | — | — |
Options written | 7,783 | 3,356 | 59,400 | 267 |
Options expired | — | — | — | — |
Options closed | (6,735) | (3,387) | (59,400) | (267) |
Options exercised | — | — | — | — |
Options open at January 31, 2014 | 2,112 | 679 | — | — |
69
Intermediate-Term Investment-Grade Fund
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 909,326 | 90,920 | 2,020,863 | 196,624 |
Issued in Lieu of Cash Distributions | 164,142 | 16,498 | 214,777 | 20,876 |
Redeemed | (2,666,239) | (268,637) | (2,220,137) | (215,583) |
Net Increase (Decrease)—Investor Shares | (1,592,771) | (161,219) | 15,503 | 1,917 |
Admiral Shares | ||||
Issued | 4,427,560 | 445,175 | 5,232,696 | 507,523 |
Issued in Lieu of Cash Distributions | 583,238 | 58,730 | 598,470 | 58,119 |
Redeemed | (5,357,144) | (540,101) | (2,703,317) | (262,314) |
Net Increase (Decrease) —Admiral Shares | (346,346) | (36,196) | 3,127,849 | 303,328 |
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
70
Long-Term Investment-Grade Fund
Fund Profile | |||
As of January 31, 2014 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VWESX | VWETX | |
Expense Ratio1 | 0.22% | 0.12% | |
30-Day SEC Yield | 4.51% | 4.61% | |
Financial Attributes | |||
Barclays | |||
Long | Barclays | ||
Credit | Aggregate | ||
A/Better | Bond | ||
Fund | Index | Index | |
Number of Bonds | 594 | 1,003 | 8,727 |
Yield to Maturity | |||
(before expenses) | 4.7% | 4.7% | 2.3% |
Average Coupon | 5.3% | 5.7% | 3.3% |
Average Duration | 12.7 years | 13.5 years | 5.5 years |
Average Effective | |||
Maturity | 23.0 years | 23.7 years | 7.6 years |
Short-Term | |||
Reserves | 3.5% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 22.2% | ||
Foreign | 2.2 | ||
Industrial | 40.7 | ||
Treasury/Agency | 3.0 | ||
Utilities | 14.7 | ||
Other | 17.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
Long Credit | Aggregate | |
A/Better | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.79 |
Beta | 1.00 | 2.74 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 3.6% |
1 - 3 Years | 0.5 |
3 - 5 Years | 0.1 |
5 - 7 Years | 0.1 |
7 - 10 Years | 2.0 |
10 - 20 Years | 20.1 |
20 - 30 Years | 69.6 |
Over 30 Years | 4.0 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 4.8% |
Aaa | 2.7 |
Aa | 26.3 |
A | 53.5 |
Baa | 11.1 |
Not Rated | 1.6 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated February 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.22% for Investor Shares and 0.12% for Admiral Shares.
71
Long-Term Investment-Grade Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Long-Term Investment-Grade Fund | ||||
Investor Shares | -0.41% | 10.36% | 6.61% | $18,972 |
Barclays U.S. Long Credit A or Better | ||||
•••••••• | ||||
Bond Index | -1.10 | 10.11 | 6.23 | 18,298 |
– – – – Corporate A-Rated Debt Funds Average | 0.60 | 7.10 | 4.22 | 15,125 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 15,703 |
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Long-Term Investment-Grade Fund Admiral | ||||
Shares | -0.31% | 10.48% | 6.73% | $95,920 |
Barclays U.S. Long Credit A or Better Bond | ||||
Index | -1.10 | 10.11 | 6.23 | 91,492 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
72
Long-Term Investment-Grade Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
Long Credit | ||||
A/Better | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 5.94% | 3.83% | 9.77% | 10.05% |
2006 | 5.27 | -4.00 | 1.27 | 1.32 |
2007 | 5.74 | -2.35 | 3.39 | 3.63 |
2008 | 5.85 | -1.42 | 4.43 | 3.70 |
2009 | 5.75 | -9.20 | -3.45 | -5.66 |
2010 | 6.91 | 10.38 | 17.29 | 17.13 |
2011 | 5.79 | 1.22 | 7.01 | 7.22 |
2012 | 6.29 | 15.68 | 21.97 | 22.56 |
2013 | 4.86 | 2.53 | 7.39 | 6.35 |
2014 | 4.64 | -5.05 | -0.41 | -1.10 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 7/9/1973 | -5.87% | 8.20% | 5.69% | 0.68% | 6.37% |
Admiral Shares | 2/12/2001 | -5.77 | 8.32 | 5.81 | 0.68 | 6.49 |
73
Long-Term Investment-Grade Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of January 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
U.S. Government and Agency Obligations | ||||||
U.S. Government Securities1 | ||||||
1,2,3 United States Treasury Note/Bond | 4.500% | 2/15/36 | 269,125 | 314,370 | 2.2% | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 5,447 | 5,592 | 0.0% | |
U.S. Government Securities—Other † | 25,749 | 0.2% | ||||
345,711 | 2.4% | |||||
Agency Notes † | 53,728 | 0.4% | ||||
Total U.S. Government and Agency Obligations (Cost $412,799) | 399,439 | 2.8% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Bank One Corp. | 7.625%–8.000% | 7/15/25–4/29/27 | 81,819 | 105,636 | 0.7% | |
Citigroup Inc. | 6.625% | 6/15/32 | 56,285 | 63,640 | 0.4% | |
Citigroup Inc. | 3.500%–8.125% | 5/15/23–11/7/43 | 169,900 | 186,820 | 1.3% | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 53,500 | 57,487 | 0.4% | |
Goldman Sachs Group Inc. | 6.125%–6.750% | 2/15/33–2/1/41 | 120,880 | 137,178 | 1.0% | |
HSBC Bank USA NA | 5.625%–5.875% | 11/1/34–8/15/35 | 83,475 | 92,208 | 0.7% | |
HSBC Holdings plc | 6.800% | 6/1/38 | 93,749 | 115,417 | 0.8% | |
HSBC Holdings plc | 6.500%–7.625% | 5/17/32–9/15/37 | 69,800 | 85,432 | 0.6% | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 90,000 | 109,681 | 0.8% | |
JPMorgan Chase & Co. | 3.375%–5.625% | 5/1/23–8/16/43 | 92,805 | 97,774 | 0.7% | |
Morgan Stanley | 7.250% | 4/1/32 | 45,450 | 57,834 | 0.4% | |
Wachovia Corp. | 5.500%–6.605% | 10/1/25–8/1/35 | 53,955 | 60,771 | 0.4% | |
4 | Wells Fargo & Co. | 5.606% | 1/15/44 | 153,488 | 163,692 | 1.2% |
Wells Fargo & Co. | 4.125%–5.375% | 8/15/23–11/2/43 | 25,881 | 26,471 | 0.2% | |
4 | Banking—Other † | 387,692 | 2.7% | |||
4 | Brokerage † | 26,138 | 0.2% | |||
Finance Companies | ||||||
General Electric Capital Corp. | 6.750% | 3/15/32 | 127,220 | 159,930 | 1.1% | |
General Electric Capital Corp. | 5.875% | 1/14/38 | 124,290 | 143,648 | 1.0% | |
General Electric Capital Corp. | 6.875% | 1/10/39 | 62,270 | 80,008 | 0.6% |
74
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
5 General Electric | |||||
Capital Corp. | 5.300%–7.500% | 2/11/21–12/29/49 | 21,875 | 25,512 | 0.2% |
Insurance | |||||
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 44,777 | 42,578 | 0.3% |
4 Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 43,446 | 63,494 | 0.5% |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 50,236 | 57,887 | 0.4% |
UnitedHealth Group Inc. | 3.950%–6.875% | 6/15/37–10/15/42 | 116,099 | 129,650 | 0.9% |
4 Insurance—Other † | 495,940 | 3.5% | |||
Real Estate Investment Trusts † | 13,941 | 0.1% | |||
2,986,459 | 21.1% | ||||
Industrial | |||||
Basic Industry † | 96,112 | 0.7% | |||
Capital Goods | |||||
General Electric Co. | 4.125% | 10/9/42 | 14,925 | 13,968 | 0.1% |
United Technologies Corp. | 4.500% | 6/1/42 | 87,180 | 87,789 | 0.6% |
United Technologies Corp. | 6.125% | 7/15/38 | 45,475 | 56,943 | 0.4% |
United Technologies Corp. | 5.700%–7.500% | 9/15/29–4/15/40 | 47,905 | 59,811 | 0.4% |
4 Capital Goods—Other † | 266,478 | 1.9% | |||
Communication | |||||
Alltel Corp. | 6.800%–7.875% | 5/1/29–7/1/32 | 26,859 | 35,696 | 0.2% |
AT&T Inc. | 5.350% | 9/1/40 | 151,161 | 151,241 | 1.1% |
AT&T Inc. | 4.350% | 6/15/45 | 90,058 | 77,212 | 0.5% |
AT&T Inc. | 4.300% | 12/15/42 | 76,705 | 65,871 | 0.5% |
AT&T Inc. | 5.550%–6.500% | 9/1/37–8/15/41 | 17,630 | 18,771 | 0.1% |
Comcast Corp. | 4.250%–7.050% | 1/15/33–1/15/43 | 183,749 | 207,802 | 1.5% |
NBCUniversal Media LLC | 4.450%–6.400% | 4/30/40–1/15/43 | 43,210 | 41,987 | 0.3% |
Orange SA | 8.750% | 3/1/31 | 39,675 | 56,956 | 0.4% |
Verizon Communications Inc. | 6.550% | 9/15/43 | 54,925 | 66,101 | 0.5% |
Verizon | |||||
Communications Inc. | 5.850%–7.750% | 12/1/30–4/1/39 | 143,182 | 170,896 | 1.2% |
Verizon Maryland LLC | 5.125% | 6/15/33 | 12,000 | 11,867 | 0.1% |
4 Communication—Other † | 292,401 | 2.1% | |||
Consumer Cyclical | |||||
Home Depot Inc. | 4.875% | 2/15/44 | 60,800 | 63,854 | 0.5% |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 83,350 | 103,026 | 0.7% |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 75,432 | 88,584 | 0.6% |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 51,000 | 70,739 | 0.5% |
Wal-Mart Stores Inc. | 4.000%–6.500% | 9/1/35–10/2/43 | 131,314 | 146,794 | 1.0% |
4 Consumer Cyclical—Other † | 489,851 | 3.5% | |||
Consumer Noncyclical | |||||
Anheuser-Busch InBev | |||||
Worldwide Inc. | 8.200% | 1/15/39 | 42,025 | 63,780 | 0.4% |
AstraZeneca plc | 6.450% | 9/15/37 | 68,080 | 84,893 | 0.6% |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 55,905 | 70,937 | 0.5% |
Merck & Co. Inc. | 6.550% | 9/15/37 | 43,715 | 56,846 | 0.4% |
Merck & Co. Inc. | 3.600%–6.500% | 12/1/33–5/18/43 | 46,545 | 54,396 | 0.4% |
Merck Sharp & | |||||
Dohme Corp. | 5.750%–5.850% | 11/15/36–6/30/39 | 34,920 | 41,737 | 0.3% |
Pfizer Inc. | 7.200% | 3/15/39 | 60,817 | 83,808 | 0.6% |
Pfizer Inc. | 4.300% | 6/15/43 | 15,300 | 14,960 | 0.1% |
Pharmacia Corp. | 6.750% | 12/15/27 | 28,000 | 35,615 | 0.3% |
4 Roche Holdings Inc. | 7.000% | 3/1/39 | 47,905 | 65,922 | 0.5% |
Wyeth LLC | 5.950% | 4/1/37 | 72,150 | 87,499 | 0.6% |
4 Consumer Noncyclical—Other † | 1,065,501 | 7.5% |
75
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Energy | |||||
Apache Corp. | 4.750% | 4/15/43 | 68,960 | 68,461 | 0.5% |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 25,000 | 34,439 | 0.2% |
ConocoPhillips | 6.500% | 2/1/39 | 68,735 | 88,794 | 0.6% |
ConocoPhillips | 5.900%–7.000% | 3/30/29–10/15/32 | 33,450 | 41,266 | 0.3% |
Shell International Finance BV | 6.375% | 12/15/38 | 52,060 | 66,151 | 0.5% |
Tosco Corp. | 7.800%–8.125% | 1/1/27–2/15/30 | 35,000 | 49,297 | 0.3% |
4 Energy—Other † | 106,274 | 0.8% | |||
4 Other Industrial † | 58,928 | 0.4% | |||
Technology † | 345,193 | 2.5% | |||
Transportation | |||||
Burlington Northern | |||||
Santa Fe LLC | 4.375%–6.875% | 12/1/27–9/1/43 | 58,092 | 61,988 | 0.4% |
4 Transportation—Other † | 94,454 | 0.7% | |||
5,481,889 | 38.8% | ||||
Utilities | |||||
Electric | |||||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 52,400 | 62,673 | 0.4% |
Duke Energy Carolinas LLC | 4.000%–6.450% | 10/15/32–9/30/42 | 84,772 | 84,334 | 0.6% |
Duke Energy Corp. | 3.950% | 10/15/23 | 5,920 | 6,037 | 0.0% |
Duke Energy Florida Inc. | 5.650%–6.750% | 2/1/28–4/1/40 | 34,235 | 40,609 | 0.3% |
Duke Energy Indiana Inc. | 4.200%–6.450% | 8/15/38–7/15/43 | 54,675 | 60,204 | 0.4% |
Duke Energy Progress Inc. | 4.100%–5.700% | 4/1/35–3/15/43 | 22,500 | 22,971 | 0.2% |
MidAmerican Energy Co. | 4.800%–5.800% | 10/15/36–9/15/43 | 35,000 | 37,606 | 0.3% |
MidAmerican Energy | |||||
Holdings Co. | 5.950%–6.125% | 4/1/36–5/15/37 | 28,950 | 33,983 | 0.2% |
National Rural Utilities | |||||
Cooperative Finance Corp. | 8.000% | 3/1/32 | 57,250 | 79,597 | 0.6% |
Nevada Power Co. | 5.375%–6.650% | 4/1/36–9/15/40 | 24,760 | 28,835 | 0.2% |
Pacific Gas & Electric Co. | 5.125%–6.350% | 3/1/34–11/15/43 | 121,789 | 143,470 | 1.0% |
PacifiCorp | 4.100%–6.350% | 8/1/36–2/1/42 | 101,985 | 120,236 | 0.8% |
Progress Energy Inc. | 7.750% | 3/1/31 | 6,055 | 8,115 | 0.1% |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 69,129 | 0.5% |
4 Electric—Other † | 1,023,429 | 7.2% | |||
Natural Gas | |||||
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 50,300 | 68,948 | 0.5% |
4 Natural Gas—Other † | 84,664 | 0.6% | |||
1,974,840 | 13.9% | ||||
Total Corporate Bonds (Cost $9,550,826) | 10,443,188 | 73.8% | |||
4Sovereign Bonds (U.S. Dollar-Denominated) (Cost $303,984) † | 294,196 | 2.1% | |||
Taxable Municipal Bonds | |||||
American Municipal Power Ohio Inc. | |||||
Revenue (Prairie State Energy | |||||
Campus Project) | 6.270% | 2/15/50 | 59,240 | 64,653 | 0.5% |
Bay Area Toll Authority California | |||||
Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 50,115 | 64,062 | 0.5% |
California GO | 7.300% | 10/1/39 | 109,045 | 146,633 | 1.0% |
California GO | 7.600% | 11/1/40 | 74,320 | 104,757 | 0.7% |
California GO | 7.550% | 4/1/39 | 61,550 | 85,891 | 0.6% |
California GO | 6.509%–7.625% | 4/1/34–3/1/40 | 91,110 | 116,918 | 0.8% |
Illinois GO | 5.100% | 6/1/33 | 166,920 | 161,665 | 1.1% |
Los Angeles CA Unified | |||||
School District GO | 6.758% | 7/1/34 | 64,235 | 82,602 | 0.6% |
76
Long-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
6 | New Jersey Economic | |||||
Development Authority Revenue | ||||||
(State Pension Funding) | 7.425% | 2/15/29 | 50,002 | 61,939 | 0.4% | |
New Jersey Turnpike | ||||||
Authority Revenue | 7.102% | 1/1/41 | 67,555 | 91,638 | 0.7% | |
New Jersey Turnpike | ||||||
Authority Revenue | 7.414% | 1/1/40 | 57,834 | 81,067 | 0.6% | |
New York Metropolitan | ||||||
Transportation Authority Revenue | ||||||
(Dedicated Tax Fund) | 7.336% | 11/15/39 | 65,755 | 90,387 | 0.6% | |
Port Authority of New York & | ||||||
New Jersey Revenue | 4.458%–6.040% | 12/1/29–10/1/62 | 143,660 | 150,875 | 1.1% | |
2 | President & Fellows of | |||||
Harvard College | ||||||
Massachusetts GO | 6.300% | 10/1/37 | 60,993 | 67,778 | 0.5% | |
Taxable Municipal Bonds—Other † | 944,562 | 6.7% | ||||
Total Taxable Municipal Bonds (Cost $2,110,175) | 2,315,427 | 16.4% | ||||
Shares | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
7 | Vanguard Market Liquidity Fund | 0.130% | 220,938,440 | 220,938 | 1.6% | |
Face | ||||||
Amount | ||||||
($000) | ||||||
Repurchase Agreements | ||||||
Bank of America Securities, LLC | ||||||
(Dated 1/31/14, Repurchase Value | ||||||
$118,400,000, collateralized by | ||||||
Federal National Mortgage Assn. | ||||||
2.500%–4.000%, 11/1/20–6/1/43, | ||||||
Federal Home Loan Mortgage Corp. | ||||||
3.010%, 12/1/40; with a value of | ||||||
$120,773,000) | 0.020% | 2/3/14 | 118,400 | 118,400 | 0.8% | |
Barclays Capital Inc. (Dated 1/31/14, | ||||||
Repurchase Value $105,700,000, | ||||||
collateralized by U.S. Treasury | ||||||
Note/Bond 0.625%, 5/31/17; with | ||||||
a value of $107,814,000) | 0.020% | 2/3/14 | 105,700 | 105,700 | 0.8% | |
Citigroup Global Markets Inc. | ||||||
(Dated 1/31/14, Repurchase Value | ||||||
$24,200,000, collateralized by | ||||||
U.S. Treasury Note/Bond 0.625%, | ||||||
7/15/16; with a value of | ||||||
$24,684,000) | 0.020% | 2/3/14 | 24,200 | 24,200 | 0.2% | |
248,300 | 1.8% | |||||
U.S. Government and Agency Obligations | ||||||
United States Treasury Bill | 0.091% | 6/5/14 | 20,000 | 19,998 | 0.1% | |
Total Temporary Cash Investments (Cost $489,232) | 489,236 | 3.5% | ||||
Total Investments (Cost $12,867,016) | 13,941,486 | 98.6% |
77
Long-Term Investment-Grade Fund | ||||
Market | Percentage | |||
Expiration | Value• | of Net | ||
Date | Contracts | ($000) | Assets | |
Liability for Options Written | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 42 | (62) | 0.0% |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 43 | (33) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 85 | (3) | 0.0% |
Total Liability for Options Written (Premiums Received $55) | (98) | 0.0% | ||
Other Assets and Liabilities | ||||
Other Assets8 | 282,639 | 2.0% | ||
Other Liabilities | (86,171) | (0.6%) | ||
196,468 | 1.4% | |||
Net Assets | 14,137,856 | 100.0% |
78
Long-Term Investment-Grade Fund | |
At January 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 13,026,522 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 2,446 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,074,470 |
Futures Contracts | 11,772 |
Options on Futures Contracts | (43) |
Swap Contracts | 22,689 |
Net Assets | 14,137,856 |
Investor Shares—Net Assets | |
Applicable to 410,263,428 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,111,611 |
Net Asset Value Per Share—Investor Shares | $10.02 |
Admiral Shares—Net Assets | |
Applicable to 1,000,435,641 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,026,245 |
Net Asset Value Per Share—Admiral Shares | $10.02 |
See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $6,157,000 have been segregated as collateral for open over-the-counter swap contracts.
2 Securities with a value of $6,939,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $23,946,000 have been segregated as initial margin for open cleared swap contracts.
4 Certain of the fund’s securities are 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 January 31, 2014, the aggregate value of these securities was $1,011,084,000, representing 7.2% of net assets.
5 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.
6 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
8 Cash of $8,566,000 has been segregated as initial margin for open futures contracts.
GO—General Obligation Bond.
See accompanying Notes, which are an integral part of the Financial Statements.
79
Long-Term Investment-Grade Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 640,888 |
Total Income | 640,888 |
Expenses | |
Investment Advisory Fees—Note B | 2,384 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 7,318 |
Management and Administrative—Admiral Shares | 6,848 |
Marketing and Distribution—Investor Shares | 820 |
Marketing and Distribution—Admiral Shares | 2,082 |
Custodian Fees | 95 |
Auditing Fees | 36 |
Shareholders’ Reports—Investor Shares | 57 |
Shareholders’ Reports—Admiral Shares | 30 |
Trustees’ Fees and Expenses | 26 |
Total Expenses | 19,696 |
Net Investment Income | 621,192 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 99,745 |
Futures Contracts | (7,679) |
Swap Contracts | 17,259 |
Realized Net Gain (Loss) | 109,325 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (737,781) |
Futures Contracts | 11,772 |
Options on Futures Contracts | (43) |
Swap Contracts | 14,598 |
Change in Unrealized Appreciation (Depreciation) | (711,454) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,063 |
1 Interest income from an affiliated company of the fund was $32,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
80
Long-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 621,192 | 587,164 |
Realized Net Gain (Loss) | 109,325 | 190,353 |
Change in Unrealized Appreciation (Depreciation) | (711,454) | 92,218 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,063 | 869,735 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (196,604) | (205,549) |
Admiral Shares | (441,891) | (391,179) |
Realized Capital Gain1 | ||
Investor Shares | (38,058) | (47,712) |
Admiral Shares | (85,332) | (94,518) |
Total Distributions | (761,885) | (738,958) |
Capital Share Transactions | ||
Investor Shares | (63,600) | 23,343 |
Admiral Shares | 1,404,136 | 1,932,737 |
Net Increase (Decrease) from Capital Share Transactions | 1,340,536 | 1,956,080 |
Total Increase (Decrease) | 597,714 | 2,086,857 |
Net Assets | ||
Beginning of Period | 13,540,142 | 11,453,285 |
End of Period | 14,137,856 | 13,540,142 |
1 Includes fiscal 2014 and 2013 short-term gain distributions totaling $0 and $12,656,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
81
Long-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.65 | $10.50 | $9.15 | $9.04 | $8.19 |
Investment Operations | |||||
Net Investment Income | .469 | .491 | .515 | .516 | .517 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (. 525) | . 274 | 1.439 | .117 | .857 |
Total from Investment Operations | (.056) | .765 | 1.954 | .633 | 1.374 |
Distributions | |||||
Dividends from Net Investment Income | (.481) | (. 499) | (. 521) | (. 523) | (. 524) |
Distributions from Realized Capital Gains | (. 093) | (.116) | (. 083) | — | — |
Total Distributions | (.574) | (. 615) | (. 604) | (. 523) | (. 524) |
Net Asset Value, End of Period | $10.02 | $10.65 | $10.50 | $9.15 | $9.04 |
Total Return1 | -0.41% | 7.39% | 21.97% | 7.01% | 17.29% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,112 | $4,429 | $4,340 | $3,770 | $4,082 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.22% | 0.22% | 0.22% | 0.24% | 0.26% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 4.64% | 4.57% | 5.25% | 5.53% | 6.01% |
Portfolio Turnover Rate | 26% | 21% | 29% | 19% | 21% |
1 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.
See accompanying Notes, which are an integral part of the Financial Statements.
82
Long-Term Investment-Grade Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.65 | $10.50 | $9.15 | $9.04 | $8.19 |
Investment Operations | |||||
Net Investment Income | . 480 | .502 | .525 | .528 | .528 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (. 525) | . 274 | 1.439 | .117 | .857 |
Total from Investment Operations | (.045) | .776 | 1.964 | .645 | 1.385 |
Distributions | |||||
Dividends from Net Investment Income | (. 492) | (. 510) | (. 531) | (. 535) | (. 535) |
Distributions from Realized Capital Gains | (. 093) | (.116) | (. 083) | — | — |
Total Distributions | (.585) | (. 626) | (. 614) | (. 535) | (. 535) |
Net Asset Value, End of Period | $10.02 | $10.65 | $10.50 | $9.15 | $9.04 |
Total Return | -0.31% | 7.49% | 22.09% | 7.14% | 17.44% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $10,026 | $9,112 | $7,113 | $5,340 | $4,155 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.13% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 4.74% | 4.67% | 5.35% | 5.65% | 6.14% |
Portfolio Turnover Rate | 26% | 21% | 29% | 19% | 21% |
See accompanying Notes, which are an integral part of the Financial Statements.
83
Long-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Long-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended January 31, 2014, the fund’s average investments in long and short futures contracts represented 1% and less than 1% of net assets, respectively, based on quarterly average aggregate settlement values.
84
Long-Term Investment-Grade Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended January 31, 2014, the fund’s average value of options purchased and options written represented 0% and less than 1% of net assets, respectively, based on quarterly average market values.
3. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of pre-qualified counterparties,
85
Long-Term Investment-Grade Fund
monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund also enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of pre-qualified executing brokers; monitors the financial strength of its clearing brokers, executing brokers and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
During the year ended January 31, 2014, the fund’s average amounts of credit protection sold and credit protection purchased represented 11% and less than 1% of net assets, respectively, based on quarterly average notional amounts. The average total amount of interest rate swaps represented less than 1% of net assets, based on quarterly average notional amounts.
4. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
86
Long-Term Investment-Grade Fund
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company, llp, provides 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.
Beginning in December 2013, the Vanguard Group provides investment advisory services to a portion of the fund on an at-cost basis. The fund paid no Vanguard advisory fees for the period ended January 31, 2014.
For the year ended January 31, 2014, the aggregate investment advisory fee represented an effective annual basic rate of 0.02% of the fund’s average net assets.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $1,490,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.60% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
87
Long-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 399,439 | — |
Corporate Bonds | — | 10,443,188 | — |
Sovereign Bonds | — | 294,196 | — |
Taxable Municipal Bonds | — | 2,315,427 | — |
Temporary Cash Investments | 220,938 | 268,298 | — |
Futures Contracts—Assets1 | 1,482 | — | — |
Futures Contracts—Liabilities1 | (360) | — | — |
Option Contracts Written | (98) | — | — |
Swap Contracts—Assets | 4281 | 25,806 | — |
Swap Contracts—Liabilities | (581)1 | — | — |
Total | 221,809 | 13,746,354 | — |
1 Represents variation margin on the last day of the reporting period. |
E. At January 31, 2014, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Interest Rate | Credit | ||
Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) |
Other Assets | 1,910 | 25,806 | 27,716 |
Other Liabilities | (977) | (62) | (1,039) |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2014, were:
Interest Rate | Credit | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | (7,679) | — | (7,679) |
Options on Futures Contracts | — | — | — |
Swap Contracts | (100) | 17,359 | 17,259 |
Realized Net Gain (Loss) on Derivatives | (7,779) | 17,359 | 9,580 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 11,772 | — | 11,772 |
Options on Futures Contracts | (43) | — | (43) |
Swap Contracts | (164) | 14,762 | 14,598 |
Change in Unrealized Appreciation (Depreciation) | |||
on Derivatives | 11,565 | 14,762 | 26,327 |
88
Long-Term Investment-Grade Fund
At January 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
30-Year U.S. Treasury Bond | March 2014 | 3,461 | 462,368 | 6,858 |
Ultra Long U.S. Treasury Bond | March 2014 | 1,492 | 214,568 | 5,260 |
10-Year U.S. Treasury Note | March 2014 | (272) | (34,204) | (311) |
2-Year U.S. Treasury Note | March 2014 | (143) | (31,489) | (12) |
5-Year U.S. Treasury Note | March 2014 | (203) | (24,487) | (23) |
11,772 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
At January 31, 2014, the fund had the following open swap contracts: | ||||||
Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
CDX–IG11–10yr/Baa22 | 12/20/18 | GSI | 198,400 | 2,207 | 1.400% | 7,578 |
CDX–IG14–10yr/Baa23 | 6/20/20 | BOANA | 100,000 | 105 | 1.000% | 699 |
CDX–IG16–10yr/Baa24 | 6/20/21 | GSI | 200,000 | 3,100 | 1.000% | 2,963 |
CDX–IG18–10yr/Baa25 | 6/20/22 | GSI | 50,000 | 1,175 | 1.000% | 854 |
CDX–IG19–10yr/Baa26 | 12/20/22 | DBAG | 200,000 | 5,898 | 1.000% | 3,924 |
CDX–IG19–10yr/Baa26 | 12/20/22 | BOANA | 200,000 | 5,955 | 1.000% | 3,980 |
CDX–IG19–10yr/Baa26 | 12/20/22 | BOANA | 300,000 | 8,769 | 1.000% | 5,808 |
1,248,400 | 25,806 |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 BOANA—Bank of America, N.A. DBAG—Deutsche Bank AG.
GSI—Goldman Sachs International.
2 Investment Grade Corporate Credit Default Swap Index—Version 11. 3 Investment Grade Corporate Credit Default Swap Index—Version 14. 4 Investment Grade Corporate Credit Default Swap Index—Version 16. 5 Investment Grade Corporate Credit Default Swap Index—Version 18. 6 Investment Grade Corporate Credit Default Swap Index—Version 19.
89
Long-Term Investment-Grade Fund | |||||
Centrally Cleared Credit Default Swap | |||||
Remaining | |||||
Up-Front | Periodic | ||||
Premium | Premium | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | |
Reference Entity | Date | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | |||||
CDX—IG21—V1/Aa31 | 12/20/18 | 1,176,000 | (12,937) | 1.000 | (2,953) |
1 Investment Grade Corporate Credit Default Swap Index—Version 21. | |||||
Centrally Cleared Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | ($000) | (%) | (%) | ($000) | |
12/20/33 | 83,600 | (3.678) | 0.2451 | (2,720) | |
12/20/43 | 57,200 | 3.830 | (0.245)1 | 2,556 | |
(164) | |||||
1 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. |
At January 31, 2014, counterparties had deposited in segregated accounts securities with a value of $5,085,000 in connection with open swap contracts.
F. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $18,409,000 from accumulated net realized gains to paid-in capital.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $17,303,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
For tax purposes, at January 31, 2014, the fund had $18,804,000 of long-term capital gains available for distribution.
At January 31, 2014, the cost of investment securities for tax purposes was $12,871,645,000. Net unrealized appreciation of investment securities for tax purposes was $1,069,841,000, consisting of unrealized gains of $1,279,578,000 on securities that had risen in value since their purchase and $209,737,000 in unrealized losses on securities that had fallen in value since their purchase.
90
Long-Term Investment-Grade Fund
G. During the year ended January 31, 2014, the fund purchased $3,220,751,000 of investment securities and sold $2,427,972,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,028,611,000 and $934,278,000, respectively.
The following table summarizes the fund’s options on futures written during the year ended January 31, 2014:
Premiums | ||||
Number of | Received | |||
Options | Contracts | ($000) | ||
Balance at January 31, 2013 | — | — | ||
Options written | 170 | 55 | ||
Options expired | — | — | ||
Options closed | — | — | ||
Options exercised | — | — | ||
Options open at January 31, 2014 | 170 | 55 | ||
H. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 705,599 | 70,148 | 1,097,775 | 102,417 |
Issued in Lieu of Cash Distributions | 224,141 | 22,241 | 239,661 | 22,290 |
Redeemed | (993,340) | (97,908) | (1,314,093) | (122,082) |
Net Increase (Decrease)—Investor Shares | (63,600) | (5,519) | 23,343 | 2,625 |
Admiral Shares | ||||
Issued | 3,026,893 | 306,789 | 3,167,227 | 293,288 |
Issued in Lieu of Cash Distributions | 426,925 | 42,385 | 407,610 | 37,842 |
Redeemed | (2,049,682) | (204,196) | (1,642,100) | (152,787) |
Net Increase (Decrease)—Admiral Shares | 1,404,136 | 144,978 | 1,932,737 | 178,343 |
I. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
91
High-Yield Corporate Fund
Fund Profile
As of January 31, 2014
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VWEHX | VWEAX | |
Expense Ratio1 | 0.23% | 0.13% | |
30-Day SEC Yield | 4.25% | 4.35% | |
Financial Attributes | |||
Barclays | Barclays | ||
Corporate | Aggregate | ||
High Yield | Bond | ||
Fund | Index | Index | |
Number of Bonds | 365 | 2,131 | 8,727 |
Yield to Maturity | |||
(before expenses) | 5.0% | 6.3% | 2.3% |
Average Coupon | 6.5% | 7.3% | 3.3% |
Average Duration | 4.1 years | 4.2 years | 5.5 years |
Average Effective | |||
Maturity | 4.8 years | 4.8 years | 7.6 years |
Short-Term | |||
Reserves | 1.9% | — | — |
Sector Diversification (% of portfolio) | |||
Basic Industry | 4.6% | ||
Capital Goods | 8.4 | ||
Communication | 24.6 | ||
Consumer Cyclical | 11.6 | ||
Consumer Non-Cyclical | 10.7 | ||
Energy | 4.8 | ||
Finance | 16.8 | ||
Industrial Other | 0.7 | ||
Technology | 9.1 | ||
Transportation | 1.2 | ||
Treasury/Agency | 1.1 | ||
Utilities | 6.4 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | Barclays | |
Corporate | Aggregate | |
High Yield | Bond | |
Index | Index | |
R-Squared | 0.97 | 0.09 |
Beta | 0.89 | 0.60 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 3.2% |
1 - 5 Years | 25.1 |
5 - 10 Years | 66.7 |
10 - 20 Years | 3.4 |
20 - 30 Years | 1.2 |
Over 30 Years | 0.4 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 1.1% |
Baa | 7.3 |
Ba | 56.7 |
B | 29.0 |
Caa | 5.4 |
C | 0.5 |
For information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated May 30, 2013, and represent estimated costs for the current fiscal year. For the fiscal year ended January 31, 2014, the expense ratios were 0.23% for Investor Shares and 0.13% for Admiral Shares.
92
High-Yield Corporate Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: January 31, 2004, Through January 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended January 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
High-Yield Corporate Fund Investor | ||||
Shares | 4.53% | 13.78% | 6.83% | $19,360 |
Barclays U.S. Corporate High Yield | ||||
•••••••• | ||||
Bond Index | 6.77 | 17.72 | 8.49 | 22,585 |
– – – – High Barclays Yield U. Funds S. Aggregate Average Bond Index | 5.89 0.12 | 14.92 4.93 | 6.62 4.62 | 18,978 15,703 |
High Yield Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
High-Yield Corporate Fund Admiral Shares | 4.64% | 13.90% | 6.95% | $97,926 |
Barclays U.S. Corporate High Yield Bond | ||||
Index | 6.77 | 17.72 | 8.49 | 112,923 |
Barclays U.S. Aggregate Bond Index | 0.12 | 4.93 | 4.62 | 78,516 |
See Financial Highlights for dividend and capital gains information.
93
High-Yield Corporate Fund | ||||
Fiscal-Year Total Returns (%): January 31, 2004, Through January 31, 2014 | ||||
Barclays | ||||
Corporate | ||||
High Yield | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2005 | 7.50% | -0.16% | 7.34% | 8.90% |
2006 | 7.02 | -3.13 | 3.89 | 4.51 |
2007 | 7.41 | 0.48 | 7.89 | 11.32 |
2008 | 7.13 | -6.43 | 0.70 | -0.60 |
2009 | 6.83 | -23.02 | -16.19 | -20.67 |
2010 | 10.36 | 22.32 | 32.68 | 51.15 |
2011 | 8.23 | 5.47 | 13.70 | 16.19 |
2012 | 7.35 | 0.69 | 8.04 | 5.83 |
2013 | 6.76 | 5.15 | 11.91 | 13.91 |
2014 | 5.84 | -1.31 | 4.53 | 6.77 |
Average Annual Total Returns: Periods Ended December 31, 2013
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 12/27/1978 | 4.54% | 14.89% | 7.42% | -0.56% | 6.86% |
Admiral Shares | 11/12/2001 | 4.64 | 15.02 | 7.54 | -0.56 | 6.98 |
94
High-Yield Corporate Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of January 31, 2014
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
U.S. Government and Agency Obligations | ||||||
U.S. Government Securities | ||||||
United States Treasury Note/Bond | 2.250% | 5/31/14 | 92,825 | 93,464 | 0.6% | |
United States Treasury Note/Bond | 4.250% | 8/15/15 | 75,000 | 79,629 | 0.5% | |
Total U.S. Government and Agency Obligations (Cost $170,701) | 173,093 | 1.1% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (Cost $41,111) † | 40,149 | 0.2% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Ally Financial Inc. | 8.000% | 3/15/20 | 75,950 | 90,760 | 0.5% | |
1 | Barclays Bank plc | 6.050% | 12/4/17 | 81,759 | 92,180 | 0.6% |
Royal Bank of Scotland Group plc | 6.125% | 12/15/22 | 113,600 | 116,808 | 0.7% | |
UBS AG | 7.625% | 8/17/22 | 80,150 | 92,454 | 0.6% | |
1 | Banking—Other † | 149,537 | 0.9% | |||
Finance Companies | ||||||
2 | Air Lease Corp. | 5.625% | 4/1/17 | 125,330 | 137,550 | 0.9% |
Air Lease Corp. | 4.750% | 3/1/20 | 63,582 | 65,489 | 0.4% | |
1 | CIT Group Inc. | 6.625% | 4/1/18 | 120,655 | 134,832 | 0.8% |
CIT Group Inc. | 5.250% | 3/15/18 | 102,005 | 108,635 | 0.7% | |
CIT Group Inc. | 5.375% | 5/15/20 | 98,370 | 104,026 | 0.6% | |
CIT Group Inc. | 5.000% | 8/15/22 | 98,135 | 97,767 | 0.6% | |
1 | CIT Group Inc. | 5.500% | 2/15/19 | 78,830 | 83,954 | 0.5% |
CIT Group Inc. | 4.250% | 8/15/17 | 48,445 | 50,383 | 0.3% | |
1 | International Lease | |||||
Finance Corp. | 3.875%–8.750% | 5/15/16–1/15/22 | 415,168 | 457,893 | 2.8% | |
SLM Corp. | 5.500% | 1/15/19 | 79,080 | 80,918 | 0.5% | |
SLM Corp. | 5.500%–8.450% | 1/25/16–1/25/23 | 186,635 | 202,545 | 1.2% | |
1 | Finance Companies—Other † | 94,521 | 0.6% | |||
Insurance | ||||||
3 | Hartford Financial Services | |||||
Group Inc. | 8.125% | 6/15/38 | 94,960 | 110,628 | 0.7% | |
1 | Insurance—Other † | 202,056 | 1.2% |
95
High-Yield Corporate Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Other Finance | ||||||
4 | Telenet Finance III | |||||
Luxembourg SCA | 6.625% | 2/15/21 | 3,700 | 5,412 | 0.0% | |
4 | Telenet Finance | |||||
Luxembourg SCA | 6.375% | 11/15/20 | 10,145 | 14,714 | 0.1% | |
4 | Telenet Finance V | |||||
Luxembourg SCA | 6.250%–6.750% | 8/15/22–8/15/24 | 34,744 | 50,563 | 0.3% | |
Real Estate Investment Trusts † | 41,735 | 0.3% | ||||
2,585,360 | 15.8% | |||||
Industrial | ||||||
1 | Basic Industry † | 706,683 | 4.3% | |||
Capital Goods | ||||||
B/E Aerospace Inc. | 5.250% | 4/1/22 | 104,885 | 105,672 | 0.6% | |
Case New Holland Inc. | 7.875% | 12/1/17 | 91,500 | 107,055 | 0.7% | |
CNH Capital LLC | 3.625%–6.250% | 11/1/15–4/15/18 | 89,785 | 94,750 | 0.6% | |
1 | Capital Goods—Other † | 978,405 | 6.0% | |||
Communication | ||||||
CSC Holdings LLC | 7.625% | 7/15/18 | 79,045 | 90,309 | 0.5% | |
DISH DBS Corp. | 6.750% | 6/1/21 | 133,715 | 142,741 | 0.9% | |
DISH DBS Corp. | 4.625%–7.875% | 7/15/17–3/15/23 | 106,940 | 107,902 | 0.7% | |
Hughes Satellite | ||||||
Systems Corp. | 6.500% | 6/15/19 | 88,991 | 96,555 | 0.6% | |
Intelsat Jackson | ||||||
Holdings SA | 7.250% | 10/15/20 | 164,947 | 178,761 | 1.1% | |
Intelsat Jackson | ||||||
Holdings SA | 7.250% | 4/1/19 | 85,330 | 91,730 | 0.6% | |
1 | Intelsat Jackson | |||||
Holdings SA | 5.500%–8.500% | 11/1/19–8/1/23 | 116,165 | 119,013 | 0.7% | |
Liberty Interactive LLC | 8.250% | 2/1/30 | 97,840 | 104,689 | 0.6% | |
Liberty Interactive LLC | 8.500% | 7/15/29 | 31,878 | 33,791 | 0.2% | |
MetroPCS Wireless Inc. | 6.625% | 11/15/20 | 75,800 | 80,158 | 0.5% | |
MetroPCS Wireless Inc. | 7.875% | 9/1/18 | 55,420 | 59,161 | 0.4% | |
Quebecor Media Inc. | 5.750% | 1/15/23 | 84,210 | 82,031 | 0.5% | |
Quebecor Media Inc. | 7.750% | 3/15/16 | 26,840 | 27,041 | 0.2% | |
1 | Softbank Corp. | 4.500% | 4/15/20 | 159,095 | 156,013 | 0.9% |
1 | Sprint Corp. | 7.250% | 9/15/21 | 95,745 | 103,165 | 0.6% |
1 | Sprint Corp. | 7.875% | 9/15/23 | 89,370 | 95,402 | 0.6% |
1 | Sprint Corp. | 7.125% | 6/15/24 | 30,930 | 31,162 | 0.2% |
1 | Sprint Nextel Corp. | 7.000% | 3/1/20 | 135,830 | 153,148 | 0.9% |
1 | Sprint Nextel Corp. | 9.000% | 11/15/18 | 92,545 | 111,748 | 0.7% |
1 | T-Mobile USA Inc. | 5.250%–6.836% | 9/1/18–1/15/24 | 237,870 | 249,051 | 1.5% |
2,5 | Tribune Company Bank Loan | 4.000% | 12/27/20 | 117,504 | 117,308 | 0.7% |
1,4 | Unitymedia Hessen GmbH & | |||||
Co. KG / Unitymedia | ||||||
NRW GmbH | 5.500%–5.750% | 9/15/22–4/15/23 | 86,780 | 103,257 | 0.6% | |
1,4 | Unitymedia KabelBW GmbH | 9.500% | 3/15/21 | 20,000 | 31,234 | 0.2% |
1 | UPCB Finance III Ltd. | 6.625% | 7/1/20 | 83,121 | 87,894 | 0.5% |
1 | UPCB Finance V Ltd. | 7.250% | 11/15/21 | 40,995 | 44,582 | 0.3% |
1 | UPCB Finance VI Ltd. | 6.875% | 1/15/22 | 42,036 | 44,968 | 0.3% |
Videotron Ltd. | 5.000% | 7/15/22 | 82,242 | 80,597 | 0.5% | |
Videotron Ltd. | 9.125% | 4/15/18 | 11,880 | 12,415 | 0.1% | |
Virgin Media Finance plc | 8.375% | 10/15/19 | 14,560 | 15,725 | 0.1% | |
1 | Virgin Media Secured | |||||
Finance plc | 5.375% | 4/15/21 | 29,130 | 29,057 | 0.2% | |
1 | Communication—Other † | 1,087,765 | 6.6% |
96
High-Yield Corporate Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Consumer Cyclical | ||||||
1 | General Motors Co. | 4.875% | 10/2/23 | 16,585 | 16,875 | 0.1% |
1 | General Motors | |||||
Financial Co. Inc. | 4.750% | 8/15/17 | 97,350 | 102,948 | 0.6% | |
1 | General Motors | |||||
Financial Co. Inc. | 3.250%–6.750% | 5/15/18–5/15/23 | 73,815 | 79,464 | 0.5% | |
2,5 | Hilton Worldwide Finance | |||||
LLC Bank Loan | 3.750% | 10/26/20 | 81,388 | 81,915 | 0.5% | |
1 | QVC Inc. | 7.500% | 10/1/19 | 66,400 | 71,380 | 0.4% |
Wynn Las Vegas LLC / | ||||||
Wynn Las Vegas Capital Corp. | 7.750% | 8/15/20 | 73,000 | 81,030 | 0.5% | |
1 | Consumer Cyclical—Other † | 1,347,233 | 8.3% | |||
Consumer Noncyclical | ||||||
1 | Capsugel SA | 7.000% | 5/15/19 | 7,590 | 7,796 | 0.1% |
1 | CHS/Community Health | |||||
Systems Inc. | 5.125%–7.125% | 8/15/18–8/1/21 | 101,480 | 106,681 | 0.7% | |
1 | FWCT-2 Escrow Corp. | 6.875% | 2/1/22 | 67,380 | 69,149 | 0.4% |
HCA Holdings Inc. | 6.250% | 2/15/21 | 25,540 | 27,136 | 0.2% | |
HCA Inc. | 6.500% | 2/15/20 | 127,050 | 140,073 | 0.9% | |
HCA Inc. | 4.750%–8.500% | 2/15/16–6/15/25 | 181,180 | 186,923 | 1.1% | |
1 | IMS Health Inc. | 12.500% | 3/1/18 | 76,475 | 88,902 | 0.5% |
Party City Holdings Inc. | 8.875% | 8/1/20 | 88,580 | 98,545 | 0.6% | |
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 102,221 | 0.6% | |
Tenet Healthcare Corp. | 4.500%–9.250% | 2/1/15–4/1/22 | 122,947 | 127,786 | 0.8% | |
1 | Consumer Noncyclical—Other † | 689,451 | 4.2% | |||
Energy | ||||||
Concho Resources Inc. | 5.500% | 10/1/22 | 88,070 | 89,611 | 0.5% | |
1 | Energy—Other † | 649,054 | 4.0% | |||
Other Industrial | ||||||
CBRE Services Inc. | 5.000% | 3/15/23 | 83,320 | 79,779 | 0.5% | |
1 | Other Industrial—Other † | 23,645 | 0.1% | |||
Technology | ||||||
1 | First Data Corp. | 8.250% | 1/15/21 | 77,840 | 82,705 | 0.5% |
1 | First Data Corp. | 4.158%–12.625% | 9/24/14–8/15/21 | 252,462 | 269,331 | 1.6% |
2,5 | Freescale Semiconductor | |||||
Inc. Bank Loan | 5.000% | 3/1/20 | 92,920 | 93,713 | 0.6% | |
SunGard Data Systems Inc. | 7.625% | 11/15/20 | 98,546 | 108,400 | 0.7% | |
SunGard Data Systems Inc. 6.625%–7.375% | 11/15/18–11/1/19 | 92,420 | 97,622 | 0.6% | ||
1 | Technology—Other † | 744,665 | 4.5% | |||
Transportation | ||||||
Hertz Corp. | 6.750% | 4/15/19 | 82,360 | 87,508 | 0.6% | |
Hertz Corp. | 4.250%–7.375% | 4/1/18–1/15/21 | 74,735 | 80,481 | 0.5% | |
Transportation—Other † | 20,514 | 0.1% | ||||
11,613,474 | 71.0% | |||||
Utilities | ||||||
Electric | ||||||
AES Corp. | 7.750%–8.000% | 10/15/15–6/1/20 | 90,904 | 104,113 | 0.6% | |
DPL Inc. | 7.250% | 10/15/21 | 104,495 | 103,972 | 0.6% | |
DPL Inc. | 6.500% | 10/15/16 | 14,550 | 15,641 | 0.1% | |
1 | IPALCO Enterprises Inc. | 5.000¬–7.25% | 4/1/16–5/1/18 | 26,495 | 28,462 | 0.2% |
1 | Electric—Other † | 143,733 | 0.9% | |||
Natural Gas | ||||||
El Paso LLC | 6.500%–7.750% | 6/15/17–1/15/32 | 155,600 | 171,809 | 1.1% | |
Energy Transfer Equity LP | 7.500% | 10/15/20 | 76,385 | 86,124 | 0.5% |
97
High-Yield Corporate Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
1 Kinder Morgan | |||||
Finance Co. LLC | 6.000% | 1/15/18 | 45,785 | 50,020 | 0.3% |
1 Kinder Morgan Inc. | 5.000%–5.625% | 2/15/21–11/15/23 | 81,295 | 80,118 | 0.5% |
Natural Gas—Other † | 194,897 | 1.2% | |||
978,889 | 6.0% | ||||
Total Corporate Bonds (Cost $14,384,344) | 15,177,723 | 92.8% | |||
Shares | |||||
Preferred Stocks | |||||
Citigroup Capital XIII Pfd. | 7.875% | 5,301,250 | 143,664 | 0.9% | |
GMAC Capital Trust I Pfd. | 8.125% | 4,743,200 | 130,059 | 0.8% | |
Hartford Financial Services | |||||
Group Inc. Pfd. | 7.875% | 3,307,200 | 95,776 | 0.6% | |
Total Preferred Stocks (Cost $343,115) | 369,499 | 2.3% | |||
Other † (Cost $27,348) | 549 | 0.0% | |||
Temporary Cash Investments | |||||
Face | |||||
Amount | |||||
($000) | |||||
Repurchase Agreements | |||||
Bank of America Securities, LLC | |||||
(Dated 1/31/14, Repurchase Value | |||||
$76,700,000, collateralized by | |||||
Federal National Mortgage Assn. | |||||
2.406%–3.036%, 3/1/41–1/1/44, | |||||
with a value of $78,234,000) | 0.020% | 2/3/14 | 76,700 | 76,700 | 0.5% |
RBC Capital Markets LLC | |||||
(Dated 1/31/14, Repurchase Value | |||||
$47,100,000, collateralized by | |||||
Federal Home Loan Mortgage Corp. | |||||
3.500%, 9/1/42, and Federal National | |||||
Mortgage Assn. 2.506%–3.500%, | |||||
7/1/43–11/1/43, with a value of | |||||
$48,042,000) | 0.020% | 2/3/14 | 47,100 | 47,100 | 0.3% |
Deutsche Bank Securities, Inc. | |||||
(Dated 1/31/14, Repurchase Value | |||||
$ 99,200,000, collateralized by | |||||
Federal Home Loan Mortgage Corp. | |||||
4.000%–7.000%, 4/1/23–11/1/43, | |||||
Federal National Mortgage Assn. | |||||
3.000%–6.500%, 4/1/26–11/1/43, | |||||
and Government National Mortgage | |||||
Assn. 4.000%, 10/20/43, with a | |||||
value of $101,184,000) | 0.030% | 2/3/14 | 99,200 | 99,200 | 0.6% |
98
High-Yield Corporate Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
TD Securities (USA) LLC | |||||
(Dated 1/31/14, Repurchase Value | |||||
$87,800,000, collateralized by | |||||
Federal Farm Credit Bank | |||||
0.136%–0.188%, 9/22/15–4/6/16, | |||||
and Federal Home Loan Bank 0%, | |||||
1/10/17, with a value | |||||
of $89,628,000) | 0.030% | 2/3/14 | 87,800 | 87,800 | 0.5% |
Total Temporary Cash Investments (Cost $310,800) | 310,800 | 1.9% | |||
Total Investments (Cost $15,277,419) | 16,071,813 | 98.3% | |||
Other Assets and Liabilities | |||||
Other Assets | 346,641 | 2.1% | |||
Liabilities | (62,358) | (0.4%) | |||
284,283 | 1.7% | ||||
Net Assets | 16,356,096 | 100.0% |
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High-Yield Corporate Fund | |
At January 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 15,855,893 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Losses | (296,397) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 794,394 |
Forward Currency Contracts | 2,225 |
Foreign Currencies | (19) |
Net Assets | 16,356,096 |
Investor Shares—Net Assets | |
Applicable to 727,267,157 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,394,133 |
Net Asset Value Per Share—Investor Shares | $6.04 |
Admiral Shares—Net Assets | |
Applicable to 1,979,808,762 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 11,961,963 |
Net Asset Value Per Share—Admiral Shares | $6.04 |
See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Certain of the fund’s securities are 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 January 31, 2014, the aggregate value of these securities was $4,627,683,000, representing 28.3% of net assets.
2 Adjustable-rate security.
3 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.
4 Face amount denominated in Euro.
5 Certain of the fund’s securities are senior, secured, high-yield floating-rate loans. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At January 31, 2014, the aggregate value of these securities was $582,546,000, representing 3.6% of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
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High-Yield Corporate Fund | |
Statement of Operations | |
Year Ended | |
January 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 24,320 |
Interest | 983,795 |
Total Income | 1,008,115 |
Expenses | |
Investment Advisory Fees—Note B | 5,312 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 8,283 |
Management and Administrative—Admiral Shares | 9,571 |
Marketing and Distribution—Investor Shares | 1,157 |
Marketing and Distribution—Admiral Shares | 2,209 |
Custodian Fees | 133 |
Auditing Fees | 36 |
Shareholders’ Reports—Investor Shares | 181 |
Shareholders’ Reports—Admiral Shares | 76 |
Trustees’ Fees and Expenses | 35 |
Total Expenses | 26,993 |
Net Investment Income | 981,122 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 287,524 |
Foreign Currencies and Forward Currency Contracts | (3,043) |
Realized Net Gain (Loss) | 284,481 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (535,765) |
Foreign Currencies and Forward Currency Contracts | 2,206 |
Change in Unrealized Appreciation (Depreciation) | (533,559) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 732,044 |
See accompanying Notes, which are an integral part of the Financial Statements.
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High-Yield Corporate Fund | ||
Statement of Changes in Net Assets | ||
Year Ended January 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 981,122 | 1,103,141 |
Realized Net Gain (Loss) | 284,481 | 362,214 |
Change in Unrealized Appreciation (Depreciation) | (533,559) | 516,419 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 732,044 | 1,981,774 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (278,622) | (363,650) |
Admiral Shares | (702,547) | (740,281) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Total Distributions | (981,169) | (1,103,931) |
Capital Share Transactions | ||
Investor Shares | (1,137,737) | (154,558) |
Admiral Shares | (576,254) | 2,045,013 |
Net Increase (Decrease) from Capital Share Transactions | (1,713,991) | 1,890,455 |
Total Increase (Decrease) | (1,963,116) | 2,768,298 |
Net Assets | ||
Beginning of Period | 18,319,212 | 15,550,914 |
End of Period | 16,356,096 | 18,319,212 |
See accompanying Notes, which are an integral part of the Financial Statements.
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High-Yield Corporate Fund | |||||
Financial Highlights | |||||
Investor Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $6.12 | $5.82 | $5.78 | $5.48 | $4.48 |
Investment Operations | |||||
Net Investment Income | . 348 | .372 | .405 | .422 | .409 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.080) | .300 | .040 | .300 | 1.000 |
Total from Investment Operations | .268 | .672 | .445 | .722 | 1.409 |
Distributions | |||||
Dividends from Net Investment Income | (.348) | (.372) | (. 405) | (. 422) | (. 409) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.348) | (.372) | (. 405) | (. 422) | (. 409) |
Net Asset Value, End of Period | $6.04 | $6.12 | $5.82 | $5.78 | $5.48 |
Total Return1 | 4.53% | 11.91% | 8.04% | 13.70% | 32.68% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,394 | $5,607 | $5,476 | $4,909 | $5,730 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.23% | 0.23% | 0.23% | 0.25% | 0.28% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 5.76% | 6.25% | 7.04% | 7.59% | 8.15% |
Portfolio Turnover Rate | 28% | 30% | 26% | 38% | 32% |
1 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.
See accompanying Notes, which are an integral part of the Financial Statements.
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High-Yield Corporate Fund | |||||
Financial Highlights | |||||
Admiral Shares | |||||
For a Share Outstanding | Year Ended January 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $6.12 | $5.82 | $5.78 | $5.48 | $4.48 |
Investment Operations | |||||
Net Investment Income | . 354 | . 378 | .411 | .429 | .415 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (.080) | .300 | .040 | .300 | 1.000 |
Total from Investment Operations | .274 | .678 | .451 | .729 | 1.415 |
Distributions | |||||
Dividends from Net Investment Income | (.354) | (.378) | (. 411) | (. 429) | (. 415) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.354) | (.378) | (. 411) | (. 429) | (. 415) |
Net Asset Value, End of Period | $6.04 | $6.12 | $5.82 | $5.78 | $5.48 |
Total Return | 4.64% | 12.02% | 8.15% | 13.84% | 32.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $11,962 | $12,713 | $10,075 | $8,320 | $5,868 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.15% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 5.86% | 6.35% | 7.14% | 7.71% | 8.28% |
Portfolio Turnover Rate | 28% | 30% | 26% | 38% | 32% |
See accompanying Notes, which are an integral part of the Financial Statements.
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High-Yield Corporate Fund
Notes to Financial Statements
Vanguard High-Yield Corporate Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral
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High-Yield Corporate Fund
received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The aggregate notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the year ended January 31, 2014, the portfolio’s average investment in forward currency contracts represented less than 1% of net assets, based on quarterly average notional amounts.
4. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company, LLP, provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the year ended January 31, 2014, the investment advisory fee represented an effective annual rate of 0.03% of the fund’s average net assets.
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High-Yield Corporate Fund
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At January 31, 2014, the fund had contributed capital of $1,792,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.72% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of January 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 173,093 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 40,149 | — |
Corporate Bonds | — | 15,177,723 | — |
Preferred Stocks | — | 369,499 | — |
Other | — | — | 549 |
Temporary Cash Investments | — | 310,800 | — |
Forward Currency Contract–Assets | — | 2,225 | — |
Total | — | 16,073,489 | 549 |
At January 31, 2014, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | Contract Amount (000) | (Depreciation) | ||||
Counterparty | Date | Receive | Deliver | ($000) | ||
MS | 3/19/14 | USD | 160,114 | EUR | 117,067 | 2,225 |
MS—Morgan Stanley Capital Services Inc. |
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High-Yield Corporate Fund
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the year ended January 31, 2014, the fund realized net foreign currency gains of $47,000, which increased distributable net income for tax purposes; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income.
For tax purposes, the fund used capital loss carryforwards of $287,752,000 to offset taxable capital gains realized during the year ended January 31, 2014. At January 31, 2014, the fund had available capital losses totaling $290,627,000 to offset future net capital gains. Of this amount, $289,533,000 is subject to expiration on January 31, 2018. Capital losses of $1,094,000 realized beginning in fiscal 2012 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforward.
At January 31, 2014, the cost of investment securities for tax purposes was $15,277,419,000. Net unrealized appreciation of investment securities for tax purposes was $794,394,000, consisting of unrealized gains of $887,467,000 on securities that had risen in value since their purchase and $93,073,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended January 31, 2014, the fund purchased $4,406,463,000 of investment securities and sold $6,167,238,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $0 and $56,900,000, respectively.
G. Capital share transactions for each class of shares were: | ||||
Year Ended January 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 588,134 | 97,033 | 1,420,740 | 239,862 |
Issued in Lieu of Cash Distributions | 233,593 | 38,673 | 300,334 | 50,422 |
Redeemed1 | (1,959,464) | (324,562) | (1,875,632) | (314,590) |
Net Increase (Decrease)—Investor Shares | (1,137,737) | (188,856) | (154,558) | (24,306) |
Admiral Shares | ||||
Issued | 2,467,113 | 407,705 | 3,530,253 | 593,997 |
Issued in Lieu of Cash Distributions | 471,381 | 78,064 | 499,854 | 83,790 |
Redeemed1 | (3,514,748) | (583,197) | (1,985,094) | (330,812) |
Net Increase (Decrease) —Admiral Shares | (576,254) | (97,428) | 2,045,013 | 346,975 |
1 Net of redemption fees for fiscal 2013 of $807,000 (fund total). Effective May 23, 2012, the redemption fee was eliminated.
H. Management has determined that no material events or transactions occurred subsequent to January 31, 2014, that would require recognition or disclosure in these financial statements.
108
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Fixed Income Securities Funds and the Shareholders of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund, Vanguard Long-Term Investment-Grade Fund and High-Yield Corporate Fund: In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund, Vanguard Long-Term Investment-Grade Fund and High-Yield Corporate Fund (constituting separate portfolios of Vanguard Fixed Income Securities Funds, hereafter referred to as the “Funds”) at January 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at January 31, 2014 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
March 17, 2014
109
Special 2013 tax information (unaudited) for Vanguard Short-Term Investment-Grade Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of |
the Internal Revenue Code. |
The fund distributed $174,607,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the |
fund are qualified short-term capital gains. |
For nonresident alien shareholders, 69.6% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard Intermediate-Term |
Investment-Grade Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of |
the Internal Revenue Code. |
The fund distributed $388,207,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the |
fund are qualified short-term capital gains. |
For nonresident alien shareholders, 75.8% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard Long-Term Investment-Grade Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of |
the Internal Revenue Code. |
The fund distributed $141,798,000 as capital gain dividends (from net long-term capital gains) to |
shareholders during the fiscal year. |
For nonresident alien shareholders, 69.3% of income dividends are interest-related dividends. |
Special 2013 tax information (unaudited) for Vanguard High-Yield Corporate Fund |
This information for the fiscal year ended January 31, 2014, is included pursuant to provisions of |
the Internal Revenue Code. |
For nonresident alien shareholders, 76.7% of income dividends are interest-related dividends. |
110
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
111
Six Months Ended January 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
7/31/2013 | 1/31/2014 | Period | |
Based on Actual Fund Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,016.24 | $1.02 |
Admiral Shares | 1,000.00 | 1,016.76 | 0.51 |
Institutional Shares | 1,000.00 | 1,016.91 | 0.36 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,025.92 | $1.02 |
Admiral Shares | 1,000.00 | 1,026.44 | 0.51 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,044.83 | $1.13 |
Admiral Shares | 1,000.00 | 1,045.35 | 0.62 |
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,037.89 | $1.18 |
Admiral Shares | 1,000.00 | 1,038.41 | 0.67 |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,024.10 | $1.12 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.61 |
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.66 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Investment-Grade Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Long-Term Investment-Grade Fund, 0.22% for Investor Shares and 0.12% for Admiral Shares; for the High-Yield Corporate Fund, 0.23% for Investor Shares and 0.13% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
112
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Long-Term Investment-Grade Fund has approved the addition of The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group, to the Fund’s investment advisory team. Wellington Management Company, LLP (Wellington Management), will continue as the Fund’s lead advisor and manage most of the Fund. The board previously renewed the investment advisory arrangement between the Fund and Wellington Management.
The board also previously renewed the investment advisory arrangements between Vanguard Short-Term and Intermediate-Term Investment-Grade Funds and Vanguard, which serves as the investment advisor for the funds. In addition, the board previously renewed the investment advisory arrangements between Vanguard High-Yield Corporate Fund and the fund’s advisor, Wellington Management. Please see the funds’ semiannual report dated July 31, 2013, for more information about the board’s approval of the arrangements with Vanguard and Wellington Management.
The board decided to engage Vanguard as an advisor to the Long-Term Investment-Grade Fund based upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the advisor’s investment management services, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the investment performance of the Fixed Income Group’s active strategies employed in the Intermediate-Term Investment-Grade Fund and noted that this portfolio is managed in a manner substantially similar to the strategy that Vanguard will employ when managing assets for the Long-Term Investment-Grade Fund. The board concluded that although the Intermediate-Term Investment-Grade Fund has a shorter duration than the Long-Term Investment-Grade Fund, both funds invest in high-quality fixed income securities. The Fixed Income Group has produced strong performance for the Intermediate-Term Fund, especially since the inception of a risk-controlled management structure.
Cost
The board considered the at-cost advisory expenses to be paid by the fund to Vanguard. The board noted that, after the addition of Vanguard, the fund’s advisory fees and expenses as well as the expense ratio would be expected to remain significantly below those of the fund’s peer group. Information about the Long-Term Investment-Grade Fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections, which also include information about the advisory expenses.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
113
The benefit of economies of scale
The board concluded that the Long-Term Investment-Grade Fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again at its annual review of the Long-Term Investment-Grade Fund’s advisory arrangements.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” For this report, credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is used.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
115
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
Benchmark Information
Spliced Core Bond Funds Average: Intermediate Investment-Grade Debt Funds Average through August 31, 2013; Core Bond Funds Average thereafter.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 180 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
Bioethical Issues. | |
IndependentTrustees | |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | |
F. Joseph Loughrey | |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Chairman of the Board |
Chairman and Chief Executive Officer (retired 2009) | of Hillenbrand, Inc. (specialized consumer services), |
and President (2006–2008) of Rohm and Haas Co. | and of Oxfam America; Director of SKF AB (industrial |
(chemicals); Director of Tyco International, Ltd. | machinery), Hyster-Yale Materials Handling, Inc. |
(diversified manufacturing and services), Hewlett- | (forklift trucks), the Lumina Foundation for Education, |
Packard Co. (electronic computer manufacturing), |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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P.O. Box 2600 | |
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Connect with Vanguard® > vanguard.com
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This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q390 032014 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Alfred M. Rankin, Jr.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended January 31, 2014: $317,000
Fiscal Year Ended January 31, 2013: $316,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended January 31, 2014: $5,714,113
Fiscal Year Ended January 31, 2013: $4,809,780
Includes fees billed in connection with audits of the Registrant and other registered investment companies in the Vanguard complex. Also includes fees billed in connection with audits of The Vanguard Group, Inc. and Vanguard Marketing Corporation for Fiscal Year Ended January 31, 2014.
(b) Audit-Related Fees.
Fiscal Year Ended January 31, 2014: $1,552,950
Fiscal Year Ended January 31, 2013: $1,812,565
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended January 31, 2014: $110,000
Fiscal Year Ended January 31, 2013: $490,518
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation. Also includes fees billed in connection with certain tax services related to audits of the Registrant and other registered investment companies in the Vanguard complex for Fiscal Year Ended January 31, 2013.
(d) All Other Fees.
Fiscal Year Ended January 31, 2014: $132,000
Fiscal Year Ended January 31, 2013: $16,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended January 31, 2014: $242,000
Fiscal Year Ended January 31, 2013: $506,518
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2014
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (9.9%) | |||||
U.S. Government Securities (9.8%) | |||||
United States Treasury Note/Bond | 0.375% | 3/15/15 | 904,000 | 906,115 | |
United States Treasury Note/Bond | 2.500% | 3/31/15 | 280,000 | 287,526 | |
United States Treasury Note/Bond | 0.375% | 4/15/15 | 187,712 | 188,181 | |
United States Treasury Note/Bond | 0.250% | 5/15/15 | 147,635 | 147,774 | |
1,2 | United States Treasury Note/Bond | 2.125% | 5/31/15 | 40,000 | 41,019 |
3 | United States Treasury Note/Bond | 0.375% | 6/15/15 | 357,021 | 357,914 |
United States Treasury Note/Bond | 0.250% | 7/15/15 | 63,800 | 63,840 | |
United States Treasury Note/Bond | 1.250% | 8/31/15 | 363 | 369 | |
United States Treasury Note/Bond | 0.250% | 9/15/15 | 47,750 | 47,758 | |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 29,750 | 29,950 | |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 914,250 | 916,389 | |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 55,255 | 54,823 | |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 45,500 | 44,661 | |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 592,610 | 577,795 | |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 868,750 | 869,019 | |
1 | United States Treasury Note/Bond | 1.000% | 8/31/19 | 188,000 | 180,745 |
4,713,878 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
4,5 | Fannie Mae Pool | 6.000% | 12/1/16–5/1/17 | 2,768 | 2,975 |
4,5 | Fannie Mae Pool | 6.500% | 9/1/16 | 2,122 | 2,243 |
4,5 | Fannie Mae Pool | 7.500% | 3/1/15 | 2 | 2 |
4,5 | Freddie Mac Gold Pool | 6.000% | 3/1/17–4/1/17 | 1,582 | 1,662 |
6,882 | |||||
Nonconventional Mortgage-Backed Securities (0.1%) | |||||
4,5,6 | Fannie Mae Pool | 2.125% | 12/1/32 | 662 | 682 |
4,5,6 | Fannie Mae Pool | 2.250% | 6/1/33 | 4,838 | 5,073 |
4,5,6 | Fannie Mae Pool | 2.310% | 7/1/32 | 651 | 698 |
4,5,6 | Fannie Mae Pool | 2.335% | 5/1/33 | 3,790 | 4,052 |
4,5,6 | Fannie Mae Pool | 2.340% | 9/1/32 | 85 | 91 |
4,5,6 | Fannie Mae Pool | 2.375% | 9/1/32 | 362 | 385 |
4,5,6 | Fannie Mae Pool | 2.414% | 8/1/33 | 2,456 | 2,631 |
4,5,6 | Fannie Mae Pool | 2.420% | 8/1/33 | 1,423 | 1,457 |
4,5,6 | Fannie Mae Pool | 2.531% | 2/1/37 | 1,768 | 1,867 |
4,5,6 | Fannie Mae Pool | 2.535% | 8/1/33 | 1,792 | 1,844 |
4,5,6 | Fannie Mae Pool | 2.550% | 7/1/33 | 4,601 | 4,761 |
4,5,6 | Fannie Mae Pool | 2.564% | 8/1/37 | 692 | 729 |
4,5,6 | Fannie Mae Pool | 2.692% | 5/1/33 | 957 | 1,029 |
4,5,6 | Freddie Mac Non Gold Pool | 2.375% | 8/1/32 | 2,115 | 2,233 |
4,5,6 | Freddie Mac Non Gold Pool | 2.379% | 9/1/32 | 400 | 440 |
4,5,6 | Freddie Mac Non Gold Pool | 2.474% | 8/1/37 | 2,803 | 2,973 |
4,5,6 | Freddie Mac Non Gold Pool | 2.518% | 9/1/32 | 1,041 | 1,072 |
4,5,6 | Freddie Mac Non Gold Pool | 2.586% | 10/1/32 | 659 | 707 |
4,5,6 | Freddie Mac Non Gold Pool | 2.589% | 8/1/33 | 1,223 | 1,311 |
4,5,6 | Freddie Mac Non Gold Pool | 2.776% | 1/1/33 | 648 | 709 |
4,5,6 | Freddie Mac Non Gold Pool | 2.836% | 2/1/33 | 516 | 536 |
35,280 | |||||
Total U.S. Government and Agency Obligations (Cost $4,752,186) | 4,756,040 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (19.2%) | |||||
4 | Ally Auto Receivables Trust 2010-2 | 2.090% | 5/15/15 | 7,834 | 7,853 |
4,7 | Ally Auto Receivables Trust 2010-3 | 2.690% | 2/15/17 | 18,850 | 18,955 |
4 | Ally Auto Receivables Trust 2011-1 | 2.230% | 3/15/16 | 48,023 | 48,434 |
4 | Ally Auto Receivables Trust 2012-1 | 1.210% | 7/15/16 | 14,300 | 14,417 |
4 | Ally Auto Receivables Trust 2012-SN1 | 0.700% | 12/21/15 | 11,450 | 11,455 |
4 | Ally Auto Receivables Trust 2013-SN1 | 0.900% | 5/22/17 | 24,150 | 24,170 |
4,7 | Ally Master Owner Trust Series 2010-2 | 4.250% | 4/15/17 | 2,600 | 2,711 |
4,7 | Ally Master Owner Trust Series 2010-2 | 4.590% | 4/15/17 | 15,500 | 16,038 |
4,6 | Ally Master Owner Trust Series 2010-4 | 1.230% | 8/15/17 | 58,280 | 58,795 |
4,6,7 | Ally Master Owner Trust Series 2010-4 | 1.710% | 8/15/17 | 39,172 | 39,673 |
4,6,7 | Ally Master Owner Trust Series 2010-4 | 2.110% | 8/15/17 | 29,770 | 30,287 |
1
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ally Master Owner Trust Series 2012-3 | 1.210% | 6/15/17 | 39,400 | 39,642 |
4 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 78,820 | 78,892 |
4,6 | Ally Master Owner Trust Series 2014-1 | 0.000% | 1/15/19 | 15,000 | 15,000 |
4 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 16,000 | 15,996 |
4,6 | American Express Credit Account Secured Note Trust | ||||
2012-4 | 0.710% | 5/15/20 | 27,755 | 27,615 | |
4,6 | American Express Issuance Trust II 2013-1 | 0.440% | 2/15/19 | 131,000 | 130,448 |
4,7 | Americold 2010 LLC Trust Series 2010-ART | 4.954% | 1/14/29 | 16,990 | 18,773 |
4,7 | Americold 2010 LLC Trust Series 2010-ART | 6.811% | 1/14/29 | 11,185 | 12,840 |
4 | AmeriCredit Automobile Receivables Trust 2012-1 | 1.230% | 9/8/16 | 7,035 | 7,052 |
4 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 3,200 | 3,162 |
4 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 14,600 | 14,599 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 16,100 | 16,289 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 3.000% | 7/8/19 | 20,500 | 20,696 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 3,460 | 3,523 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 3.310% | 10/8/19 | 4,660 | 4,779 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 6,375 | 6,411 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.860% | 12/8/19 | 7,170 | 7,190 |
4,6,7 | Arkle Master Issuer plc Series 2010-1 | 1.488% | 5/17/60 | 26,540 | 26,768 |
4,6,7 | Arran Residential Mortgages Funding 2010-1 plc | 1.638% | 5/16/47 | 15,533 | 15,701 |
4,6,7 | Arran Residential Mortgages Funding 2011-1 plc | 1.688% | 11/19/47 | 27,264 | 27,585 |
7 | Australia & New Zealand Banking Group Ltd. | 2.400% | 11/23/16 | 12,950 | 13,433 |
4,7 | Aventura Mall Trust 2013-AVM | 3.743% | 12/5/32 | 13,300 | 13,867 |
4,6 | BA Credit Card Trust 2007-A4 | 0.200% | 11/15/19 | 36,370 | 35,987 |
4,7 | BAMLL Commercial Mortgage Securities Trust 2012- | ||||
PARK | 2.959% | 12/10/30 | 4,900 | 4,704 | |
4 | Banc of America Commercial Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 44,227 | 48,377 |
4 | Banc of America Commercial Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 44,878 | 49,150 |
4 | Banc of America Commercial Mortgage Trust 2007-2 | 5.584% | 4/10/49 | 43,864 | 48,451 |
4 | Banc of America Commercial Mortgage Trust 2007-2 | 5.635% | 4/10/49 | 23,534 | 26,153 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.171% | 2/10/51 | 96,979 | 107,848 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.215% | 2/10/51 | 6,835 | 7,803 |
4,8 | Banc of America Funding 2006-H Trust | 2.803% | 9/20/46 | 29,417 | 23,457 |
4 | Banc of America Mortgage 2003-F Trust | 2.797% | 7/25/33 | 1,724 | 1,739 |
4 | Bank of America Mortgage 2002-J Trust | 3.565% | 9/25/32 | 23 | 23 |
4,6,7 | Bank of America Student Loan Trust 2010-1A | 1.039% | 2/25/43 | 35,108 | 35,331 |
7 | Bank of Nova Scotia | 1.750% | 3/22/17 | 2,927 | 2,992 |
4,6 | Bank One Issuance Trust Series 2004-C2 | 0.960% | 2/15/17 | 6,600 | 6,603 |
4,7 | Beacon Container Finance LLC 2012-1A | 3.720% | 9/20/27 | 15,468 | 15,511 |
4,8 | Bear Stearns ARM Trust 2006-4 | 2.511% | 10/25/36 | 38,440 | 29,955 |
4,8 | Bear Stearns ARM Trust 2007-3 | 2.642% | 5/25/47 | 29,228 | 23,445 |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR9 | 4.943% | 9/11/42 | 13,370 | 14,074 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR13 | 5.533% | 9/11/41 | 23,738 | 25,986 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.706% | 6/11/40 | 21,611 | 24,278 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.650% | 6/11/50 | 133,063 | 147,893 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.710% | 9/11/42 | 41,871 | 47,222 | |
4,6,7 | BMW Floorplan Master Owner Trust 2012-1A | 0.560% | 9/15/17 | 93,500 | 93,705 |
4,6 | Brazos Higher Education Authority Inc. Series 2005-3 | 0.446% | 6/25/26 | 15,150 | 14,613 |
4,6 | Brazos Higher Education Authority Inc. Series 2010-1 | 1.138% | 5/25/29 | 34,467 | 34,818 |
4,6 | Brazos Higher Education Authority Inc. Series 2011-1 | 1.038% | 2/25/30 | 47,407 | 47,740 |
4,7 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 8,138 | 8,085 |
4,7 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 14,758 | 14,633 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 0.970% | 1/22/18 | 18,000 | 17,912 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 5,600 | 5,575 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 5,420 | 5,407 |
4 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 13,400 | 13,767 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 22,475 | 22,500 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 15,230 | 15,266 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 13,625 | 13,650 |
2
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Capital Auto Receivables Asset Trust 2013-4 | 3.220% | 5/20/19 | 11,935 | 11,965 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 12,200 | 12,244 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 6,200 | 6,227 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.840% | 4/22/19 | 4,900 | 4,925 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 4,100 | 4,122 |
4,6 | Capital One Multi-asset Execution Trust 2004-C2 | 1.210% | 12/15/16 | 2,940 | 2,940 |
4,6 | Capital One Multi-asset Execution Trust 2006-A11 | 0.250% | 6/17/19 | 12,195 | 12,126 |
4,6 | Capital One Multi-asset Execution Trust 2007-A1 | 0.210% | 11/15/19 | 27,690 | 27,474 |
4,6 | Capital One Multi-asset Execution Trust 2007-A2 | 0.240% | 12/16/19 | 110,725 | 109,875 |
4,6 | Capital One Multi-asset Execution Trust 2007-A5 | 0.200% | 7/15/20 | 33,485 | 33,106 |
4,6,7 | Cards II Trust 2012-4A | 0.610% | 9/15/17 | 27,040 | 27,063 |
4 | CarMax Auto Owner Trust 2010-2 | 2.040% | 10/15/15 | 17,741 | 17,822 |
4 | CarMax Auto Owner Trust 2013-3 | 1.910% | 3/15/19 | 5,940 | 6,103 |
4 | CarMax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 3,630 | 3,691 |
4 | CD 2007-CD4 Commercial Mortgage Trust | 5.205% | 12/11/49 | 1,507 | 1,505 |
4 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 21,400 | 21,492 |
4,7 | CFCRE Commercial Mortgage Trust 2011-C1 | 5.545% | 4/15/44 | 3,100 | 3,427 |
4,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.559% | 12/15/47 | 14,930 | 16,435 |
4,6 | Chase Issuance Trust 2007-C1 | 0.620% | 4/15/19 | 30,600 | 30,240 |
4,6 | Chase Issuance Trust 2012-A10 | 0.420% | 12/16/19 | 117,000 | 116,627 |
4 | CHL Mortgage Pass-Through Trust 2003-HYB3 | 2.671% | 11/19/33 | 1,871 | 1,788 |
4,8 | CHL Mortgage Pass-Through Trust 2006-HYB1 | 2.480% | 3/20/36 | 16,404 | 12,801 |
4,8 | CHL Mortgage Pass-Through Trust 2007-HYB2 | 2.703% | 2/25/47 | 19,297 | 15,495 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 3,985 | 3,989 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.280% | 7/15/19 | 4,785 | 4,789 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.930% | 8/17/20 | 5,185 | 5,189 |
4,7 | CIT Equipment Collateral 2012-VT1 | 1.100% | 8/22/16 | 14,985 | 15,003 |
4,7 | CIT Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 13,700 | 13,725 |
4,6 | Citibank Credit Card Issuance Trust 2005-C2 | 0.628% | 3/24/17 | 4,380 | 4,370 |
4,6 | Citibank Credit Card Issuance Trust 2006-A7 | 0.303% | 12/17/18 | 31,075 | 30,832 |
4 | Citibank Credit Card Issuance Trust 2007-A8 | 5.650% | 9/20/19 | 24,075 | 27,658 |
4,6 | Citibank Credit Card Issuance Trust 2008-A7 | 1.532% | 5/20/20 | 61,200 | 63,785 |
4,7 | Citibank Omni Master Trust 2009-A13 | 5.350% | 8/15/18 | 64,154 | 65,810 |
4,6,7 | Citibank Omni Master Trust 2009-A14A | 2.910% | 8/15/18 | 65,116 | 65,933 |
4,7 | Citibank Omni Master Trust 2009-A17 | 4.900% | 11/15/18 | 91,937 | 95,026 |
4 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,980 | 5,830 |
4,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 2,100 | 2,101 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 1.987% | 4/10/46 | 4,885 | 4,886 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 6,100 | 5,873 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 33,878 | 35,366 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 7,270 | 7,672 |
4,8 | Citigroup Mortgage Loan Trust 2007-AR8 | 2.756% | 7/25/37 | 1,649 | 1,462 |
4,7 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 11,618 | 11,778 |
4,7 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 24,235 | 23,691 |
4 | CNH Equipment Trust 2010-B | 1.740% | 1/17/17 | 33,442 | 33,576 |
4 | CNH Equipment Trust 2010-C | 1.750% | 5/16/16 | 36,305 | 36,481 |
4 | CNH Equipment Trust 2011-B | 1.290% | 9/15/17 | 3,200 | 3,228 |
4 | COBALT CMBS Commercial Mortgage Trust 2007-C2 | 5.484% | 4/15/47 | 24,288 | 26,777 |
4 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 67,234 | 73,692 |
4 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 36,900 | 40,346 |
4 | COMM 2007-C9 Mortgage Trust | 5.800% | 12/10/49 | 25,210 | 28,508 |
4 | COMM 2007-C9 Mortgage Trust | 5.800% | 12/10/49 | 910 | 913 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,925 | 2,877 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 4,100 | 4,125 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 7,520 | 7,211 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 5,955 | 5,705 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,640 | 2,508 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 30,255 | 31,767 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 14,650 | 15,143 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 6,830 | 7,026 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 10/10/46 | 25,210 | 26,400 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.757% | 10/10/46 | 8,240 | 8,198 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.757% | 10/10/46 | 4,517 | 4,656 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 22,465 | 22,603 |
3
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2013-CCRE9 Mortgage Trust | 4.237% | 7/10/45 | 19,500 | 20,678 |
4,7 | COMM 2013-CCRE9 Mortgage Trust | 4.261% | 7/10/45 | 11,250 | 11,579 |
4 | COMM 2013-CCRE9 Mortgage Trust | 2.972% | 8/10/46 | 20,750 | 21,491 |
4 | COMM 2013-CCRE9 Mortgage Trust | 3.795% | 8/10/46 | 9,520 | 9,944 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 32,400 | 33,590 |
4,7 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 10,688 | 11,162 |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 11,725 | 12,293 |
4,7 | COMM 2013-LC13 Mortgage Trust | 4.557% | 8/10/46 | 18,565 | 19,508 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 4,100 | 3,931 |
4,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 5,490 | 5,200 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 7,670 | 7,982 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 5,375 | 5,618 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 10,110 | 10,619 |
4 | Commercial Mortgage Trust 2005-GG5 | 5.224% | 4/10/37 | 9,600 | 10,080 |
4 | Commercial Mortgage Trust 2006-GG7 | 5.820% | 7/10/38 | 33,980 | 36,976 |
7 | Commonwealth Bank of Australia | 2.250% | 3/16/17 | 50,220 | 51,890 |
7 | Commonwealth Bank of Australia | 1.875% | 12/11/18 | 30,550 | 30,482 |
4 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C3 | 5.791% | 6/15/38 | 19,591 | 21,300 | |
4 | Credit Suisse Commercial Mortgage Trust Series 2007- | ||||
C1 | 5.361% | 2/15/40 | 21,440 | 22,879 | |
4 | Credit Suisse Commercial Mortgage Trust Series 2008- | ||||
C1 | 6.039% | 2/15/41 | 58,855 | 64,764 | |
4,7 | Cronos Containers Program Ltd. 2012-2A | 3.810% | 9/18/27 | 15,340 | 15,493 |
4,6 | Discover Card Execution Note Trust 2012-A4 | 0.530% | 11/15/19 | 52,825 | 52,924 |
4 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 114,300 | 110,989 |
4,6 | Discover Card Execution Note Trust 2013-A1 | 0.460% | 8/17/20 | 74,900 | 74,594 |
7 | DNB Boligkreditt AS | 1.450% | 3/21/18 | 20,580 | 20,340 |
4,7 | Enterprise Fleet Financing LLC Series 2011-2 | 1.430% | 10/20/16 | 2,272 | 2,278 |
4,7 | Enterprise Fleet Financing LLC Series 2011-2 | 1.900% | 10/20/16 | 12,300 | 12,411 |
4,7 | Enterprise Fleet Financing LLC Series 2011-3 | 2.100% | 5/20/17 | 12,201 | 12,341 |
4,7 | Enterprise Fleet Financing LLC Series 2012-2 | 0.720% | 4/20/18 | 23,173 | 23,173 |
4,7 | Enterprise Fleet Financing LLC Series 2012-2 | 0.930% | 4/20/18 | 10,300 | 10,300 |
4 | First Horizon Mortgage Pass-Through Trust 2006-AR3 | 2.046% | 11/25/36 | 14,028 | 11,739 |
8 | First Horizon Mortgage Pass-Through Trust 2006-AR4 | 2.549% | 1/25/37 | 30,533 | 27,153 |
4,7 | Ford Credit Auto Lease Trust 2012-B | 1.100% | 12/15/15 | 10,050 | 10,086 |
4 | Ford Credit Auto Lease Trust 2013-A | 0.780% | 4/15/16 | 13,500 | 13,521 |
4 | Ford Credit Auto Lease Trust 2013-A | 1.010% | 5/15/16 | 18,050 | 18,093 |
4 | Ford Credit Auto Lease Trust 2013-A | 1.280% | 6/15/16 | 13,780 | 13,786 |
4 | Ford Credit Auto Owner Trust 2010-A | 3.220% | 3/15/16 | 6,040 | 6,139 |
4 | Ford Credit Auto Owner Trust 2013-A | 1.150% | 7/15/18 | 8,200 | 8,192 |
4 | Ford Credit Auto Owner Trust 2013-A | 1.360% | 10/15/18 | 4,000 | 3,997 |
4 | Ford Credit Auto Owner Trust 2013-B | 1.110% | 10/15/18 | 10,460 | 10,953 |
4 | Ford Credit Auto Owner Trust 2013-B | 1.320% | 1/15/19 | 4,130 | 4,384 |
4 | Ford Credit Auto Owner Trust 2013-B | 1.820% | 11/15/19 | 3,340 | 3,649 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.680% | 11/15/18 | 4,900 | 4,944 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.910% | 3/15/19 | 4,250 | 4,319 |
4 | Ford Credit Auto Owner Trust 2013-C | 2.500% | 1/15/20 | 4,550 | 4,610 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.540% | 3/15/19 | 12,400 | 12,421 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.720% | 7/15/19 | 12,800 | 12,827 |
4,6,7 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2010-3 | 1.860% | 2/15/17 | 28,982 | 29,587 | |
4,7 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2010-3 | 4.200% | 2/15/17 | 22,356 | 23,360 | |
4,7 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2010-3 | 4.990% | 2/15/17 | 21,000 | 22,121 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-2 | 1.920% | 1/15/19 | 26,800 | 27,356 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-4 | 0.940% | 9/15/16 | 12,100 | 12,113 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-4 | 1.390% | 9/15/16 | 28,200 | 28,456 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.490% | 9/15/19 | 116,300 | 122,630 |
4
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.690% | 9/15/19 | 7,200 | 7,644 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 2.140% | 9/15/19 | 8,650 | 9,326 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.370% | 1/15/18 | 25,699 | 26,398 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.820% | 1/15/18 | 9,660 | 10,009 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-3 | 1.740% | 6/15/17 | 7,529 | 7,713 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.100% | 6/15/20 | 6,180 | 6,751 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.290% | 6/15/20 | 6,630 | 6,568 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.790% | 6/15/20 | 2,650 | 2,648 | |
4,7 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 6,518 | 6,477 |
4,7 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 29,242 | 28,756 |
4,6 | GE Capital Credit Card Master Note Trust Series 2011-2 | 1.160% | 5/15/19 | 50,270 | 50,335 |
4 | GE Capital Credit Card Master Note Trust Series 2012-2 | 2.220% | 1/15/22 | 72,000 | 72,042 |
4 | GE Capital Credit Card Master Note Trust Series 2012-6 | 1.360% | 8/17/20 | 90,140 | 89,131 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-1 | 0.727% | 2/20/17 | 33,825 | 34,116 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-2 | 0.907% | 4/22/19 | 48,100 | 50,763 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-4 | 0.597% | 10/20/17 | 25,000 | 25,353 |
4 | GMACM Mortgage Loan Trust 2005-AR6 | 2.925% | 11/19/35 | 5,698 | 5,483 |
4,7 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 83,300 | 84,687 |
4,6,7 | Golden Credit Card Trust 2012-3A | 0.610% | 7/17/17 | 60,000 | 60,019 |
4,6,7 | Golden Credit Card Trust 2013-1A | 0.410% | 2/15/18 | 39,200 | 39,142 |
4,6 | Granite Master Issuer plc Series 2007-1 | 0.297% | 12/20/54 | 6,570 | 6,499 |
4,6 | Granite Master Issuer plc Series 2007-2 | 0.239% | 12/17/54 | 2,207 | 2,181 |
4,7 | Great America Leasing Receivables 2011-1 | 2.340% | 4/15/16 | 12,266 | 12,365 |
4,7 | Great America Leasing Receivables 2013-1 | 1.160% | 5/15/18 | 11,500 | 11,847 |
4 | GS Mortgage Securities Trust 2006-GG6 | 5.553% | 4/10/38 | 26,869 | 28,837 |
4,7 | GS Mortgage Securities Trust 2010-C2 | 5.225% | 12/10/43 | 3,530 | 3,796 |
4,7 | GS Mortgage Securities Trust 2011-GC3 | 5.543% | 3/10/44 | 2,280 | 2,486 |
4,7 | GS Mortgage Securities Trust 2012-ALOHA | 3.551% | 4/10/34 | 25,305 | 25,357 |
4,7 | GS Mortgage Securities Trust 2012-BWTR | 2.954% | 11/5/34 | 27,725 | 26,264 |
4,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,090 |
4 | GS Mortgage Securities Trust 2013-GC13 | 4.039% | 7/10/46 | 22,170 | 22,654 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 16,420 | 15,906 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 8,250 | 7,901 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 22,530 | 23,296 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 8,192 | 8,594 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 49,000 | 51,444 |
4 | Harley-Davidson Motorcycle Trust 2010-1 | 1.530% | 9/15/15 | 2,192 | 2,197 |
4 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 18,350 | 19,093 |
4,7 | Hertz Vehicle Financing LLC 2009-2A | 5.290% | 3/25/16 | 15,250 | 15,916 |
4,7 | Hertz Vehicle Financing LLC 2010-1A | 3.740% | 2/25/17 | 52,150 | 54,771 |
4,7 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 41,500 | 43,654 |
4,7 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 80,200 | 78,796 |
4,7 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 15,740 | 15,848 |
4,7 | Hilton USA Trust 2013-HLT | 3.367% | 11/5/30 | 16,365 | 16,563 |
4,7 | Hilton USA Trust 2013-HLT | 3.714% | 11/5/30 | 7,365 | 7,479 |
4,6,7 | Holmes Master Issuer plc 2011-3A | 1.789% | 10/15/54 | 11,611 | 11,717 |
4,7 | Hyundai Auto Lease Securitization Trust 2013-A | 0.770% | 10/17/16 | 9,952 | 9,951 |
4 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 8,100 | 8,278 |
4 | Hyundai Auto Receivables Trust 2013-B | 1.450% | 2/15/19 | 5,840 | 5,838 |
4 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 9,850 | 9,846 |
4 | Hyundai Auto Receivables Trust 2013-C | 2.480% | 3/15/19 | 6,500 | 6,667 |
4 | Hyundai Auto Receivables Trust 2013-C | 3.090% | 1/15/20 | 5,470 | 5,631 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 8,350 | 8,348 |
5
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 5,710 | 5,708 |
4,6,7 | Hyundai Floorplan Master Owner Trust Series 2013-1 | 0.510% | 5/15/18 | 20,000 | 20,038 |
4,6,7 | Hyundai Floorplan Master Owner Trust Series 2013-1 | 0.810% | 5/15/18 | 8,950 | 8,911 |
4,7 | Icon Brands Holdings LLC 2012-1 | 4.229% | 1/25/43 | 18,135 | 18,129 |
6 | Illinois Student Assistance Commission Series 2010-1 | 1.289% | 4/25/22 | 26,524 | 26,911 |
4,6,7 | Invitation Homes 2013-SFR1 Trust | 1.309% | 12/17/30 | 24,435 | 24,451 |
4,7 | Irvine Core Office Trust 2013-IRV | 2.068% | 5/15/48 | 5,422 | 5,238 |
4,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 14,450 | 13,896 |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-LDP1 | 4.625% | 3/15/46 | 979 | 973 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP6 | 5.471% | 4/15/43 | 47,901 | 51,795 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 5.873% | 4/15/45 | 36,171 | 39,627 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-C1 | 5.716% | 2/15/51 | 4,880 | 5,378 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.746% | 2/12/51 | 44,526 | 49,824 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP10 | 5.439% | 1/15/49 | 39,612 | 43,782 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP11 | 5.798% | 6/15/49 | 20,355 | 20,432 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.850% | 2/15/51 | 33,944 | 38,229 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2009-IWST | 5.633% | 12/5/27 | 6,185 | 7,044 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C1 | 4.608% | 6/15/43 | 2,300 | 2,505 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 3.616% | 11/15/43 | 3,300 | 3,502 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 4.070% | 11/15/43 | 3,140 | 3,324 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.508% | 11/15/43 | 7,100 | 7,605 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.508% | 11/15/43 | 6,225 | 6,815 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.388% | 2/15/46 | 17,600 | 19,210 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 26,091 | 28,583 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 5.360% | 2/15/46 | 2,930 | 3,215 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.314% | 8/15/46 | 4,100 | 4,631 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 2,950 | 2,831 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 4,030 | 3,949 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 5,850 | 5,705 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C13 | 3.994% | 1/15/46 | 14,110 | 14,609 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 9,630 | 9,991 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.166% | 12/15/46 | 9,700 | 10,136 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.517% | 12/15/46 | 14,600 | 15,292 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.944% | 12/15/46 | 21,150 | 22,082 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 5.008% | 12/15/46 | 9,770 | 9,966 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 1.855% | 4/15/46 | 4,885 | 4,864 |
6
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 11,321 | 10,838 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 17,080 | 17,243 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.026% | 7/15/45 | 7,520 | 7,676 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.019% | 8/15/46 | 16,407 | 17,024 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 17,400 | 18,233 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 24,290 | 25,164 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 4,050 | 4,199 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.131% | 11/15/45 | 27,200 | 28,363 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.927% | 11/15/45 | 17,820 | 18,521 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 5.081% | 11/15/45 | 13,360 | 13,804 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 10,820 | 11,325 | |
4,6 | Kentucky Higher Education Student Loan Corp. 2013-2 | 0.770% | 9/1/28 | 14,750 | 14,599 |
4,6,7 | Kildare Securities Ltd. 2007-1A | 0.361% | 12/10/43 | 9,391 | 9,283 |
4,6,7 | Lanark Master Issuer plc 2012-2A | 1.638% | 12/22/54 | 30,403 | 30,859 |
4,6,7 | Lanark Master Issuer plc 2013-1A | 0.738% | 12/22/54 | 16,925 | 16,871 |
4 | LB-UBS Commercial Mortgage Trust 2006-C3 | 5.641% | 3/15/39 | 66,662 | 72,093 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 33,177 | 36,243 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 9,765 | 10,696 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 27,368 | 30,887 |
4,7 | Macquarie Equipment Funding Trust 2011-A | 1.910% | 4/20/17 | 7,133 | 7,141 |
4,7 | Macquarie Equipment Funding Trust 2012-A | 0.850% | 10/22/18 | 13,647 | 13,677 |
4,7 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 12,460 | 12,968 |
4,7 | Master Credit Card Trust 2012-2A | 1.970% | 4/21/17 | 4,000 | 4,002 |
4,7 | Master Credit Card Trust 2013-3A | 2.280% | 1/22/18 | 4,319 | 4,271 |
4 | MASTR Adjustable Rate Mortgages Trust 2004-3 | 2.222% | 4/25/34 | 2,000 | 1,893 |
4,6 | MBNA Credit Card Master Note Trust 2004-A3 | 0.420% | 8/16/21 | 17,800 | 17,618 |
4,6 | MBNA Credit Card Master Note Trust 2004-C2 | 1.060% | 11/15/16 | 39,715 | 39,766 |
4,7 | Mercedes-Benz Master Owner Trust 2012-A | 0.790% | 11/15/17 | 51,700 | 51,700 |
4 | Merrill Lynch Mortgage Investors Trust MLMI Series | ||||
2003-A2 | 1.846% | 2/25/33 | 2,965 | 2,955 | |
4 | Merrill Lynch Mortgage Investors Trust MLMI Series | ||||
2003-A4 | 2.641% | 7/25/33 | 872 | 878 | |
4 | Merrill Lynch Mortgage Trust 2006-C2 | 5.739% | 8/12/43 | 11,857 | 13,012 |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 11,590 | 12,979 |
4 | ML-CFC Commercial Mortgage Trust 2006-2 | 5.876% | 6/12/46 | 27,669 | 30,345 |
4 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 8,739 | 8,750 |
4,7 | MMAF Equipment Finance LLC 2009-A | 3.510% | 1/15/30 | 13,463 | 13,725 |
4,7 | MMAF Equipment Finance LLC 2011-A | 2.100% | 7/15/17 | 24,275 | 24,725 |
4,7 | MMAF Equipment Finance LLC 2011-A | 3.040% | 8/15/28 | 27,800 | 29,169 |
4,7 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 13,800 | 13,994 |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 5,870 | 5,778 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 2,000 | 2,014 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 5,700 | 5,460 | |
4,7 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-CKSV | 3.277% | 10/15/30 | 21,775 | 20,571 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.083% | 7/15/46 | 24,600 | 25,474 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.085% | 8/15/46 | 22,200 | 23,091 |
7
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.219% | 8/15/46 | 30,315 | 31,862 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.824% | 10/15/46 | 8,080 | 8,480 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 6,400 | 6,132 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 2,940 | 2,791 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 9,080 | 8,736 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 1/15/47 | 16,600 | 17,098 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 1/15/47 | 17,500 | 18,024 | |
4 | Morgan Stanley Capital I Trust 2006-HQ9 | 5.728% | 7/12/44 | 79,217 | 86,733 |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 35,339 | 38,685 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.908% | 6/11/49 | 37,670 | 42,168 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 81,589 | 90,188 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 3,143 | 3,134 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,500 | 2,535 |
4,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 17,045 | 16,568 |
4 | Morgan Stanley Mortgage Loan Trust 2006-8AR | 2.184% | 6/25/36 | 14,106 | 12,941 |
4,6,7 | Motor 2012 plc | 0.659% | 2/25/20 | 5,014 | 5,014 |
4,7 | Motor 2012 plc | 1.286% | 2/25/20 | 12,030 | 12,063 |
7 | National Australia Bank Ltd. | 2.000% | 6/20/17 | 30,200 | 30,866 |
4,6,7 | Navistar Financial Dealer Note Master Owner Trust | ||||
Series 2013-1 | 0.828% | 1/25/18 | 28,900 | 28,945 | |
4 | Nissan Auto Lease Trust 2013-A | 0.740% | 10/15/18 | 15,750 | 15,742 |
4,6 | Nissan Master Owner Trust Receivables Series 2012-A | 0.630% | 5/15/17 | 51,950 | 52,122 |
4,6 | Nissan Master Owner Trust Receivables Series 2013-A | 0.460% | 2/15/18 | 39,200 | 39,141 |
7 | Norddeutsche Landesbank Girozentrale | 2.000% | 2/5/19 | 24,250 | 24,177 |
6 | North Carolina State Education Assistance Authority | ||||
2011-1 | 1.139% | 1/26/26 | 36,317 | 36,499 | |
4,6 | North Carolina State Education Assistance Authority | ||||
2011-2 | 1.039% | 7/25/25 | 5,420 | 5,426 | |
4,7 | OBP Depositor LLC Trust 2010-OBP | 4.646% | 7/15/45 | 10,065 | 11,040 |
4,7 | Rental Car Finance Corp. 2011-1A | 2.510% | 2/25/16 | 87,600 | 88,476 |
4,8 | RFMSI Series 2006-SA2 Trust | 3.626% | 8/25/36 | 27,517 | 24,151 |
4,8 | RFMSI Series 2006-SA3 Trust | 3.649% | 9/25/36 | 10,234 | 9,277 |
4 | Royal Bank of Canada | 1.200% | 9/19/18 | 31,200 | 31,036 |
4 | Santander Drive Auto Receivables Trust 2013-1 | 1.760% | 1/15/19 | 4,810 | 4,805 |
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.330% | 3/15/18 | 6,000 | 6,041 |
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 24,200 | 24,354 |
4 | Santander Drive Auto Receivables Trust 2013-4 | 1.590% | 10/15/18 | 12,155 | 12,185 |
4 | Santander Drive Auto Receivables Trust 2013-4 | 2.360% | 4/15/20 | 11,345 | 11,394 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 19,985 | 20,001 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 2.250% | 6/17/19 | 12,790 | 12,905 |
4,6,7 | Silverstone Master Issuer plc 2010-1A | 1.736% | 1/21/55 | 30,740 | 31,298 |
4,6 | SLM Student Loan Trust 2005-5 | 0.339% | 4/25/25 | 59,867 | 59,570 |
4,6 | SLM Student Loan Trust 2005-9 | 0.359% | 1/27/25 | 26,343 | 26,224 |
4,6 | SLM Student Loan Trust 2006-5 | 0.349% | 1/25/27 | 24,500 | 24,052 |
4,6 | SLM Student Loan Trust 2006-6 | 0.349% | 10/27/25 | 36,300 | 35,374 |
4,6 | SLM Student Loan Trust 2007-1 | 0.329% | 1/26/26 | 66,950 | 64,616 |
4,6,7 | SLM Student Loan Trust 2011-A | 1.160% | 10/15/24 | 13,311 | 13,312 |
4,7 | SLM Student Loan Trust 2011-A | 4.370% | 4/17/28 | 12,200 | 13,076 |
4,7 | SLM Student Loan Trust 2011-B | 3.740% | 2/15/29 | 60,000 | 64,268 |
4,6,7 | SLM Student Loan Trust 2011-C | 1.560% | 12/15/23 | 15,716 | 15,843 |
4,7 | SLM Student Loan Trust 2011-C | 4.540% | 10/17/44 | 22,200 | 24,122 |
4,6 | SLM Student Loan Trust 2012-6 | 0.438% | 9/25/19 | 34,620 | 34,527 |
4,6,7 | SLM Student Loan Trust 2012-B | 1.260% | 12/15/21 | 6,764 | 6,781 |
4,7 | SLM Student Loan Trust 2012-B | 3.480% | 10/15/30 | 15,200 | 15,919 |
4,6,7 | SLM Student Loan Trust 2012-E | 0.910% | 10/16/23 | 19,665 | 19,685 |
4,6,7 | SLM Student Loan Trust 2013-1 | 1.210% | 5/17/27 | 24,000 | 23,627 |
4,7 | SLM Student Loan Trust 2013-1 | 2.500% | 3/15/47 | 8,000 | 7,482 |
8
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,6 | SLM Student Loan Trust 2013-6 | 0.808% | 6/26/28 | 19,400 | 19,489 |
4,7 | SLM Student Loan Trust 2013-B | 1.850% | 6/17/30 | 14,750 | 14,320 |
4,7 | SLM Student Loan Trust 2013-B | 3.000% | 5/16/44 | 6,500 | 6,163 |
4,7 | SLM Student Loan Trust 2013-C | 3.500% | 6/15/44 | 5,860 | 5,693 |
4,6 | SLM Student Loan Trust 2014-1 | 0.799% | 2/26/29 | 10,900 | 10,900 |
4,7 | SMART ABS Series 2011-1US Trust | 2.520% | 11/14/16 | 34,772 | 35,096 |
4,7 | SMART ABS Series 2011-2US Trust | 2.310% | 4/14/17 | 26,850 | 27,199 |
4 | SMART ABS Series 2012-4US Trust | 0.970% | 3/14/17 | 26,200 | 26,184 |
4 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 9,100 | 9,027 |
4 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 18,500 | 18,308 |
4,7 | Sonic Capital LLC 2011-1A | 5.438% | 5/20/41 | 13,792 | 14,707 |
4,6 | South Carolina Student Loan Corp. Revenue 2010-1 | 1.239% | 7/25/25 | 30,100 | 30,409 |
7 | SpareBank 1 Boligkreditt AS | 1.250% | 5/2/18 | 11,250 | 11,033 |
4,7 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 24,490 | 23,734 |
7 | Stadshypotek AB | 1.250% | 5/23/18 | 12,815 | 12,580 |
7 | Swedbank Hypotek AB | 1.375% | 3/28/18 | 14,200 | 14,087 |
4,7 | Textainer Marine Containers Ltd. 2011-1A | 4.700% | 6/15/26 | 12,460 | 12,464 |
4,6,7 | Trade Maps_2013-1A | 0.861% | 12/10/18 | 29,820 | 29,864 |
4,6,7 | Trade Maps_2013-1A | 1.411% | 12/10/18 | 5,640 | 5,666 |
4,6,7 | Trade Maps_2013-1A | 2.411% | 12/10/18 | 3,095 | 3,121 |
4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,250 | 1,282 |
4,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 24,595 | 24,185 |
4 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 8,915 | 8,471 |
4,7 | VNO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 10,700 | 10,217 |
4,7 | VNO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 11,130 | 11,654 |
4,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 3,270 | 3,349 |
4,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 2,450 | 2,481 |
4,6,7 | Volkswagen Credit Auto Master Owner Trust 2011-1A | 0.837% | 9/20/16 | 25,870 | 26,051 |
4,7 | Volvo Financial Equipment LLC Series 2012-1 | 2.380% | 9/16/19 | 5,400 | 5,494 |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C27 | 5.765% | 7/15/45 | 8,494 | 9,166 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.559% | 10/15/48 | 43,771 | 48,115 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.572% | 10/15/48 | 46,760 | 51,153 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.297% | 11/15/48 | 36,364 | 39,911 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2007-C33 | 5.922% | 2/15/51 | 46,766 | 51,510 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2007-C34 | 5.569% | 5/15/46 | 15,930 | 15,898 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2002-AR18 | 2.496% | 1/25/33 | 302 | 310 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2003-AR7 | 2.300% | 8/25/33 | 1,800 | 1,807 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2003-AR9 | 2.421% | 9/25/33 | 2,454 | 2,507 | |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 19,257 | 18,573 |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 1,650 | 1,624 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 8,075 | 8,502 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 12,700 | 13,341 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.304% | 7/15/46 | 4,906 | 5,106 |
4,8 | Wells Fargo Mortgage Backed Securities 2006-AR14 | ||||
Trust | 2.621% | 10/25/36 | 25,349 | 22,176 | |
7 | Westpac Banking Corp. | 1.375% | 7/17/15 | 6,480 | 6,559 |
7 | Westpac Banking Corp. | 1.850% | 11/26/18 | 27,865 | 27,758 |
4,7 | Westpac Banking Corp. | 1.250% | 12/14/18 | 13,436 | 13,329 |
4,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 11,545 | 12,476 |
4 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 8,855 | 8,455 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 11,630 | 11,715 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 5,056 | 5,215 |
4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 4,400 | 4,274 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 8,360 | 8,023 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,860 | 2,796 |
9
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 2,230 | 2,157 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 2.900% | 8/15/46 | 7,986 | 8,239 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 22,490 | 23,495 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 14,650 | 15,590 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 3,500 | 3,600 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 9,770 | 10,094 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 8,940 | 9,266 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 6,710 | 6,945 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 25,260 | 26,349 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.676% | 12/15/46 | 5,775 | 5,911 |
4 | World Financial Network Credit Card Master Note Trust | ||||
Series 2013-A | 1.610% | 12/15/21 | 19,000 | 18,737 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2011-A | 1.780% | 9/15/16 | 3,518 | 3,523 | |
4,6,7 | World Omni Master Owner Trust 2013-1 | 0.510% | 2/15/18 | 18,000 | 18,007 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,210,743) | 9,257,428 | ||||
Corporate Bonds (59.0%) | |||||
Finance (25.8%) | |||||
Banking (20.0%) | |||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 35,320 | 37,579 | |
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 59,595 | 61,611 | |
7 | ABN AMRO Bank NV | 2.500% | 10/30/18 | 32,235 | 32,416 |
American Express Centurion Bank | 0.875% | 11/13/15 | 4,915 | 4,937 | |
American Express Centurion Bank | 6.000% | 9/13/17 | 47,600 | 54,982 | |
American Express Co. | 6.150% | 8/28/17 | 17,853 | 20,663 | |
American Express Co. | 7.000% | 3/19/18 | 22,315 | 26,734 | |
American Express Credit Corp. | 1.750% | 6/12/15 | 12,035 | 12,213 | |
American Express Credit Corp. | 2.750% | 9/15/15 | 55,697 | 57,514 | |
American Express Credit Corp. | 2.800% | 9/19/16 | 56,420 | 58,923 | |
American Express Credit Corp. | 2.375% | 3/24/17 | 31,210 | 32,257 | |
Amsouth Bank | 5.200% | 4/1/15 | 9,770 | 10,183 | |
Associated Banc-Corp | 1.875% | 3/12/14 | 43,900 | 43,911 | |
Australia & New Zealand Banking Group Ltd. | 0.900% | 2/12/16 | 19,500 | 19,525 | |
7 | Australia & New Zealand Banking Group Ltd. | 3.250% | 3/1/16 | 28,325 | 29,703 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 54,192 | 54,844 | |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 16,600 | 16,311 | |
Australia & New Zealand Banking Group, Ltd. | 1.250% | 1/10/17 | 19,050 | 19,112 | |
7 | Banco Votorantim SA | 5.250% | 2/11/16 | 11,720 | 12,116 |
Bancolombia SA | 4.250% | 1/12/16 | 7,820 | 8,106 | |
Bank of America Corp. | 4.500% | 4/1/15 | 69,150 | 72,087 | |
Bank of America Corp. | 3.700% | 9/1/15 | 5,960 | 6,217 | |
Bank of America Corp. | 1.500% | 10/9/15 | 24,365 | 24,588 | |
Bank of America Corp. | 3.625% | 3/17/16 | 32,105 | 33,824 | |
Bank of America Corp. | 3.750% | 7/12/16 | 6,350 | 6,733 | |
Bank of America Corp. | 6.500% | 8/1/16 | 63,503 | 71,398 | |
Bank of America Corp. | 5.420% | 3/15/17 | 21,197 | 23,346 | |
Bank of America Corp. | 6.000% | 9/1/17 | 27,184 | 31,077 | |
Bank of America Corp. | 5.750% | 12/1/17 | 35,235 | 40,046 | |
Bank of America Corp. | 2.000% | 1/11/18 | 30,590 | 30,597 | |
Bank of America Corp. | 5.650% | 5/1/18 | 12,850 | 14,649 | |
Bank of America Corp. | 2.600% | 1/15/19 | 60,540 | 60,866 | |
Bank of America NA | 1.125% | 11/14/16 | 63,100 | 63,247 | |
Bank of America NA | 5.300% | 3/15/17 | 9,760 | 10,827 | |
Bank of America NA | 6.100% | 6/15/17 | 6,429 | 7,322 | |
Bank of Montreal | 0.800% | 11/6/15 | 19,500 | 19,599 | |
Bank of Montreal | 2.500% | 1/11/17 | 77,815 | 81,251 | |
Bank of Montreal | 1.400% | 9/11/17 | 41,205 | 41,119 | |
Bank of Montreal | 1.450% | 4/9/18 | 48,550 | 47,881 | |
Bank of New York Mellon Corp. | 4.950% | 3/15/15 | 41,945 | 43,943 | |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 28,134 | 29,091 | |
Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 28,950 | 30,065 | |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 8,300 | 8,497 |
10
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Bank of Nova Scotia | 2.050% | 10/7/15 | 14,680 | 15,089 | |
Bank of Nova Scotia | 0.750% | 10/9/15 | 29,360 | 29,479 | |
Bank of Nova Scotia | 2.900% | 3/29/16 | 44,024 | 46,031 | |
Bank of Nova Scotia | 1.375% | 7/15/16 | 39,040 | 39,531 | |
Bank of Nova Scotia | 2.550% | 1/12/17 | 70,625 | 73,723 | |
Bank of Nova Scotia | 1.375% | 12/18/17 | 31,425 | 31,185 | |
Bank of Nova Scotia | 1.450% | 4/25/18 | 7,100 | 6,998 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 61,970 | 61,987 | |
Bank One Corp. | 4.900% | 4/30/15 | 14,615 | 15,364 | |
7 | Banque Federative du Credit Mutuel SA | 2.500% | 10/29/18 | 29,855 | 29,731 |
Barclays Bank plc | 2.750% | 2/23/15 | 24,275 | 24,841 | |
Barclays Bank plc | 5.000% | 9/22/16 | 51,875 | 57,140 | |
BB&T Corp. | 5.200% | 12/23/15 | 21,527 | 23,205 | |
BB&T Corp. | 3.200% | 3/15/16 | 44,240 | 46,259 | |
BB&T Corp. | 2.150% | 3/22/17 | 59,751 | 61,305 | |
BB&T Corp. | 4.900% | 6/30/17 | 9,750 | 10,716 | |
BB&T Corp. | 1.600% | 8/15/17 | 21,460 | 21,519 | |
BB&T Corp. | 2.050% | 6/19/18 | 18,058 | 18,093 | |
BBVA US Senior SAU | 4.664% | 10/9/15 | 128,791 | 135,151 | |
Bear Stearns Cos. LLC | 5.300% | 10/30/15 | 22,345 | 24,007 | |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 24,450 | 27,295 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 23,120 | 26,896 | |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 21,801 | 26,063 | |
BNP Paribas SA | 3.600% | 2/23/16 | 84,830 | 89,514 | |
BNP Paribas SA | 2.375% | 9/14/17 | 41,140 | 42,128 | |
BNP Paribas SA | 2.700% | 8/20/18 | 62,206 | 63,344 | |
BNP Paribas SA | 2.400% | 12/12/18 | 57,725 | 57,847 | |
BNY Mellon NA | 4.750% | 12/15/14 | 22,530 | 23,400 | |
BPCE SA | 2.500% | 12/10/18 | 79,420 | 79,515 | |
Branch Banking & Trust Co. | 5.625% | 9/15/16 | 9,510 | 10,591 | |
Branch Banking & Trust Co. | 1.050% | 12/1/16 | 11,350 | 11,347 | |
Canadian Imperial Bank of Commerce | 1.350% | 7/18/16 | 23,460 | 23,746 | |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 27,065 | 26,855 | |
Capital One Bank USA NA | 1.150% | 11/21/16 | 11,720 | 11,717 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 14,650 | 14,648 | |
Capital One Financial Corp. | 2.150% | 3/23/15 | 26,325 | 26,743 | |
Capital One Financial Corp. | 6.150% | 9/1/16 | 4,335 | 4,865 | |
Capital One NA | 1.500% | 3/22/18 | 60,395 | 59,692 | |
Citigroup Inc. | 6.375% | 8/12/14 | 6,559 | 6,755 | |
Citigroup Inc. | 5.000% | 9/15/14 | 18,920 | 19,412 | |
Citigroup Inc. | 5.500% | 10/15/14 | 7,763 | 8,031 | |
Citigroup Inc. | 6.010% | 1/15/15 | 18,183 | 19,071 | |
Citigroup Inc. | 4.875% | 5/7/15 | 9,728 | 10,192 | |
Citigroup Inc. | 4.700% | 5/29/15 | 18,762 | 19,691 | |
Citigroup Inc. | 4.587% | 12/15/15 | 12,700 | 13,531 | |
Citigroup Inc. | 5.300% | 1/7/16 | 7,315 | 7,908 | |
Citigroup Inc. | 1.250% | 1/15/16 | 31,735 | 31,870 | |
Citigroup Inc. | 1.300% | 4/1/16 | 13,670 | 13,728 | |
Citigroup Inc. | 3.953% | 6/15/16 | 86,180 | 91,812 | |
Citigroup Inc. | 5.850% | 8/2/16 | 17,290 | 19,263 | |
Citigroup Inc. | 1.300% | 11/15/16 | 68,200 | 68,164 | |
Citigroup Inc. | 4.450% | 1/10/17 | 24,385 | 26,425 | |
Citigroup Inc. | 6.125% | 11/21/17 | 53,745 | 61,955 | |
Citigroup Inc. | 1.750% | 5/1/18 | 30,064 | 29,503 | |
Citigroup Inc. | 2.500% | 9/26/18 | 50,810 | 51,068 | |
4,7,9 | Colonial BancGroup Inc. | 7.114% | 5/29/49 | 25,100 | 3 |
Comerica Bank | 5.700% | 6/1/14 | 17,530 | 17,817 | |
Comerica Bank | 5.750% | 11/21/16 | 17,000 | 19,144 | |
Comerica Bank | 5.200% | 8/22/17 | 6,825 | 7,631 | |
Commonwealth Bank of Australia | 1.250% | 9/18/15 | 33,150 | 33,510 | |
7 | Commonwealth Bank of Australia | 3.250% | 3/17/16 | 30,600 | 32,120 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 19,280 | 19,526 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 49,315 | 50,369 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 48,023 | 51,284 |
11
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 125,080 | 125,118 |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 37,914 | 41,878 |
Credit Suisse | 3.500% | 3/23/15 | 42,440 | 43,848 |
Credit Suisse USA Inc. | 4.875% | 1/15/15 | 17,953 | 18,682 |
Credit Suisse USA Inc. | 5.125% | 8/15/15 | 45,875 | 48,955 |
Credit Suisse USA Inc. | 5.375% | 3/2/16 | 16,725 | 18,278 |
7 Danske Bank A/S | 3.875% | 4/14/16 | 34,600 | 36,614 |
Deutsche Bank AG | 3.875% | 8/18/14 | 8,280 | 8,429 |
Deutsche Bank AG | 3.250% | 1/11/16 | 38,861 | 40,687 |
Deutsche Bank AG | 6.000% | 9/1/17 | 98,047 | 112,796 |
Deutsche Bank Financial LLC | 5.375% | 3/2/15 | 13,539 | 14,148 |
Fifth Third Bank | 0.900% | 2/26/16 | 24,395 | 24,460 |
Fifth Third Bank | 1.450% | 2/28/18 | 24,470 | 24,161 |
First Horizon National Corp. | 5.375% | 12/15/15 | 31,966 | 34,280 |
Goldman Sachs Group Inc. | 5.000% | 10/1/14 | 15,515 | 15,949 |
Goldman Sachs Group Inc. | 5.125% | 1/15/15 | 43,833 | 45,609 |
Goldman Sachs Group Inc. | 3.300% | 5/3/15 | 5,489 | 5,657 |
Goldman Sachs Group Inc. | 3.700% | 8/1/15 | 50,131 | 52,187 |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 35,777 | 38,680 |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 18,645 | 19,550 |
Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 37,115 | 41,000 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 56,605 | 64,838 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 52,780 | 60,054 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 26,380 | 26,561 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 28,555 | 32,797 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 14,650 | 14,962 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 145,500 | 145,635 |
7 HBOS plc | 6.750% | 5/21/18 | 14,645 | 16,668 |
7 HSBC Bank plc | 1.500% | 5/15/18 | 17,965 | 17,718 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 10,110 | 11,534 |
HSBC USA Inc. | 2.375% | 2/13/15 | 95,532 | 97,386 |
HSBC USA Inc. | 1.625% | 1/16/18 | 64,365 | 64,173 |
HSBC USA Inc. | 2.625% | 9/24/18 | 32,245 | 33,027 |
HSBC USA Inc. | 5.000% | 9/27/20 | 7,815 | 8,498 |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 43,955 | 44,546 |
Huntington National Bank | 1.300% | 11/20/16 | 9,760 | 9,816 |
Intesa Sanpaolo SPA | 3.125% | 1/15/16 | 73,200 | 74,726 |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 117,250 | 117,147 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 55,390 | 56,883 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 29,350 | 29,814 |
JPMorgan Chase & Co. | 4.875% | 3/15/14 | 34,090 | 34,261 |
JPMorgan Chase & Co. | 5.125% | 9/15/14 | 26,719 | 27,450 |
JPMorgan Chase & Co. | 3.700% | 1/20/15 | 44,237 | 45,580 |
JPMorgan Chase & Co. | 4.750% | 3/1/15 | 24,510 | 25,574 |
JPMorgan Chase & Co. | 1.875% | 3/20/15 | 18,110 | 18,344 |
JPMorgan Chase & Co. | 3.400% | 6/24/15 | 29,295 | 30,368 |
6 JPMorgan Chase & Co. | 1.450% | 9/1/15 | 10,570 | 10,541 |
JPMorgan Chase & Co. | 5.150% | 10/1/15 | 9,850 | 10,469 |
JPMorgan Chase & Co. | 1.100% | 10/15/15 | 35,298 | 35,405 |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 38,787 | 40,025 |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 79,480 | 83,481 |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 98,646 | 103,215 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 19,385 | 19,630 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 71,913 | 82,819 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 27,820 | 27,763 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 8,780 | 8,655 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 16,200 | 16,167 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 15,163 | 17,945 |
JPMorgan Chase Bank NA | 5.875% | 6/13/16 | 9,750 | 10,810 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 8,592 | 9,841 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 26,225 | 30,095 |
KeyBank NA | 1.650% | 2/1/18 | 33,300 | 33,079 |
Lloyds Bank plc | 4.875% | 1/21/16 | 41,852 | 45,082 |
Lloyds Bank plc | 4.200% | 3/28/17 | 50,690 | 55,149 |
12
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lloyds Bank plc | 2.300% | 11/27/18 | 57,410 | 57,713 |
7 Lloyds Bank plc | 6.500% | 9/14/20 | 24,910 | 28,535 |
7 Macquarie Bank Ltd. | 2.000% | 8/15/16 | 42,070 | 42,626 |
Manufacturers & Traders Trust Co. | 1.250% | 1/30/17 | 9,750 | 9,762 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 39,089 | 45,471 |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 24,395 | 24,038 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 43,530 | 43,625 |
4 Manufacturers & Traders Trust Co. | 5.629% | 12/1/21 | 9,755 | 10,138 |
Mellon Funding Corp. | 5.000% | 12/1/14 | 6,100 | 6,329 |
Merrill Lynch & Co. Inc. | 5.450% | 7/15/14 | 29,825 | 30,428 |
Merrill Lynch & Co. Inc. | 5.000% | 1/15/15 | 28,828 | 29,965 |
Merrill Lynch & Co. Inc. | 6.050% | 5/16/16 | 33,472 | 36,834 |
Merrill Lynch & Co. Inc. | 5.700% | 5/2/17 | 6,525 | 7,279 |
Merrill Lynch & Co. Inc. | 6.400% | 8/28/17 | 14,597 | 16,894 |
Merrill Lynch & Co. Inc. | 6.875% | 4/25/18 | 31,909 | 37,957 |
Morgan Stanley | 4.750% | 4/1/14 | 53,100 | 53,442 |
Morgan Stanley | 4.200% | 11/20/14 | 24,140 | 24,815 |
Morgan Stanley | 4.100% | 1/26/15 | 36,900 | 38,062 |
Morgan Stanley | 6.000% | 4/28/15 | 29,560 | 31,400 |
Morgan Stanley | 4.000% | 7/24/15 | 16,600 | 17,335 |
Morgan Stanley | 5.375% | 10/15/15 | 26,120 | 28,021 |
Morgan Stanley | 3.450% | 11/2/15 | 9,750 | 10,141 |
Morgan Stanley | 3.800% | 4/29/16 | 39,075 | 41,263 |
Morgan Stanley | 5.750% | 10/18/16 | 19,595 | 21,793 |
Morgan Stanley | 5.450% | 1/9/17 | 60,452 | 67,322 |
Morgan Stanley | 5.550% | 4/27/17 | 19,495 | 21,784 |
Morgan Stanley | 6.250% | 8/28/17 | 8,765 | 10,089 |
Morgan Stanley | 5.950% | 12/28/17 | 43,105 | 49,301 |
Morgan Stanley | 6.625% | 4/1/18 | 22,950 | 26,888 |
Morgan Stanley | 2.125% | 4/25/18 | 11,720 | 11,702 |
Morgan Stanley | 2.500% | 1/24/19 | 43,250 | 43,103 |
National Australia Bank Ltd. | 2.000% | 3/9/15 | 9,930 | 10,108 |
National Australia Bank Ltd. | 1.600% | 8/7/15 | 9,750 | 9,885 |
National Australia Bank Ltd. | 1.300% | 7/25/16 | 58,600 | 59,207 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 19,460 | 20,309 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 21,800 | 22,150 |
National Bank of Canada | 1.500% | 6/26/15 | 3,900 | 3,954 |
National Bank of Canada | 1.450% | 11/7/17 | 2,425 | 2,393 |
National City Bank | 5.250% | 12/15/16 | 14,250 | 15,826 |
National City Bank | 5.800% | 6/7/17 | 14,625 | 16,604 |
National City Corp. | 6.875% | 5/15/19 | 8,085 | 9,720 |
PNC Bank NA | 0.800% | 1/28/16 | 26,345 | 26,402 |
PNC Bank NA | 5.250% | 1/15/17 | 27,935 | 30,967 |
PNC Bank NA | 1.125% | 1/27/17 | 46,690 | 46,670 |
PNC Bank NA | 4.875% | 9/21/17 | 14,135 | 15,681 |
PNC Bank NA | 6.000% | 12/7/17 | 4,885 | 5,619 |
PNC Bank NA | 6.875% | 4/1/18 | 4,197 | 4,977 |
PNC Bank NA | 2.200% | 1/28/19 | 35,825 | 35,920 |
PNC Funding Corp. | 5.400% | 6/10/14 | 6,820 | 6,938 |
PNC Funding Corp. | 3.625% | 2/8/15 | 4,885 | 5,036 |
PNC Funding Corp. | 4.250% | 9/21/15 | 23,385 | 24,672 |
PNC Funding Corp. | 5.625% | 2/1/17 | 4,380 | 4,883 |
Regions Bank | 7.500% | 5/15/18 | 38,405 | 45,405 |
Regions Financial Corp. | 5.750% | 6/15/15 | 33,764 | 35,803 |
Regions Financial Corp. | 2.000% | 5/15/18 | 27,350 | 26,794 |
Royal Bank of Canada | 1.150% | 3/13/15 | 19,324 | 19,514 |
Royal Bank of Canada | 0.800% | 10/30/15 | 34,200 | 34,456 |
Royal Bank of Canada | 2.625% | 12/15/15 | 4,380 | 4,548 |
Royal Bank of Canada | 2.875% | 4/19/16 | 73,300 | 76,638 |
Royal Bank of Canada | 2.300% | 7/20/16 | 66,735 | 69,187 |
Royal Bank of Canada | 2.200% | 7/27/18 | 81,600 | 82,880 |
Royal Bank of Scotland Group plc | 4.700% | 7/3/18 | 5,368 | 5,579 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 18,055 | 21,024 |
Royal Bank of Scotland NV | 4.650% | 6/4/18 | 21,450 | 22,237 |
13
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Royal Bank of Scotland plc | 4.875% | 3/16/15 | 23,159 | 24,210 |
Royal Bank of Scotland plc | 3.950% | 9/21/15 | 43,868 | 45,933 |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 103,125 | 110,086 |
Santander Bank NA | 8.750% | 5/30/18 | 33,955 | 41,081 |
Santander Holdings USA Inc. | 3.000% | 9/24/15 | 30,401 | 31,143 |
Santander Holdings USA Inc. | 4.625% | 4/19/16 | 61,904 | 66,155 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 10,745 | 11,145 |
7 Societe Generale SA | 3.100% | 9/14/15 | 3,900 | 4,035 |
7 Societe Generale SA | 3.500% | 1/15/16 | 12,600 | 13,261 |
Societe Generale SA | 2.750% | 10/12/17 | 52,650 | 54,452 |
Societe Generale SA | 2.625% | 10/1/18 | 57,025 | 57,905 |
7 Societe Generale SA | 5.000% | 1/17/24 | 3,570 | 3,556 |
SouthTrust Corp. | 5.800% | 6/15/14 | 25,467 | 25,953 |
State Street Bank & Trust Co. | 5.300% | 1/15/16 | 7,261 | 7,883 |
State Street Corp. | 5.375% | 4/30/17 | 19,520 | 21,750 |
6 SunTrust Bank | 0.547% | 4/1/15 | 5,855 | 5,834 |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 12,711 | 13,474 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 8,795 | 10,054 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 81,515 | 82,179 |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 23,796 | 24,767 |
UBS AG | 3.875% | 1/15/15 | 19,873 | 20,521 |
UBS AG | 5.875% | 12/20/17 | 95,375 | 109,589 |
UBS AG | 5.750% | 4/25/18 | 105,985 | 122,120 |
Union Bank NA | 5.950% | 5/11/16 | 53,730 | 59,650 |
Union Bank NA | 3.000% | 6/6/16 | 56,590 | 59,305 |
Union Bank NA | 1.500% | 9/26/16 | 25,125 | 25,472 |
Union Bank NA | 2.125% | 6/16/17 | 29,740 | 30,308 |
Union Bank NA | 2.625% | 9/26/18 | 34,030 | 34,947 |
US Bancorp | 1.650% | 5/15/17 | 11,840 | 12,011 |
US Bank NA | 1.100% | 1/30/17 | 19,000 | 19,056 |
4 US Bank NA | 3.778% | 4/29/20 | 36,995 | 38,321 |
Wachovia Bank NA | 4.875% | 2/1/15 | 11,750 | 12,245 |
Wachovia Bank NA | 5.000% | 8/15/15 | 9,750 | 10,383 |
Wachovia Bank NA | 5.600% | 3/15/16 | 26,540 | 29,119 |
Wachovia Bank NA | 6.000% | 11/15/17 | 44,673 | 51,761 |
Wachovia Corp. | 4.875% | 2/15/14 | 13,305 | 13,321 |
Wachovia Corp. | 5.250% | 8/1/14 | 41,415 | 42,368 |
Wachovia Corp. | 5.625% | 10/15/16 | 34,080 | 38,134 |
Wachovia Corp. | 5.750% | 6/15/17 | 11,940 | 13,618 |
Wachovia Corp. | 5.750% | 2/1/18 | 35,115 | 40,587 |
9 Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 6.875% | 6/15/11 | 21,983 | 2 |
Wells Fargo & Co. | 3.676% | 6/15/16 | 53,334 | 56,851 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 19,840 | 22,794 |
Wells Fargo Bank NA | 4.750% | 2/9/15 | 11,265 | 11,719 |
Westpac Banking Corp. | 1.125% | 9/25/15 | 26,500 | 26,785 |
Westpac Banking Corp. | 3.000% | 12/9/15 | 33,150 | 34,641 |
Westpac Banking Corp. | 0.950% | 1/12/16 | 19,500 | 19,598 |
Westpac Banking Corp. | 1.050% | 11/25/16 | 24,635 | 24,665 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 54,800 | 55,764 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 37,355 | 37,279 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 20,830 | 21,139 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 42,930 | 42,983 |
Zions Bancorporation | 5.500% | 11/16/15 | 819 | 868 |
Brokerage (0.2%) | ||||
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 3,374 | 3,658 |
4 Ameriprise Financial Inc. | 7.518% | 6/1/66 | 6,634 | 7,364 |
Charles Schwab Corp. | 0.850% | 12/4/15 | 14,650 | 14,700 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 15,270 | 15,113 |
Jefferies Group LLC | 5.125% | 4/13/18 | 12,335 | 13,398 |
9 Lehman Brothers Holdings E-Capital Trust I | 3.589% | 8/19/65 | 9,410 | 1 |
Nomura Holdings Inc. | 4.125% | 1/19/16 | 9,770 | 10,315 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 53,029 | 53,446 |
14
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Finance Companies (2.0%) | ||||
Air Lease Corp. | 5.625% | 4/1/17 | 29,290 | 32,146 |
Air Lease Corp. | 3.375% | 1/15/19 | 21,895 | 21,895 |
General Electric Capital Corp. | 4.750% | 9/15/14 | 10,000 | 10,263 |
General Electric Capital Corp. | 3.750% | 11/14/14 | 33,995 | 34,899 |
General Electric Capital Corp. | 2.150% | 1/9/15 | 140 | 142 |
General Electric Capital Corp. | 3.500% | 6/29/15 | 19,406 | 20,203 |
General Electric Capital Corp. | 1.625% | 7/2/15 | 24,395 | 24,773 |
General Electric Capital Corp. | 4.375% | 9/21/15 | 9,264 | 9,806 |
General Electric Capital Corp. | 2.250% | 11/9/15 | 18,790 | 19,349 |
General Electric Capital Corp. | 1.000% | 12/11/15 | 6,830 | 6,884 |
General Electric Capital Corp. | 5.000% | 1/8/16 | 22,905 | 24,808 |
General Electric Capital Corp. | 2.950% | 5/9/16 | 39,930 | 41,777 |
General Electric Capital Corp. | 1.500% | 7/12/16 | 38,920 | 39,539 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 46,380 | 49,341 |
General Electric Capital Corp. | 2.900% | 1/9/17 | 41,905 | 44,060 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 28,300 | 31,779 |
General Electric Capital Corp. | 2.300% | 4/27/17 | 37,327 | 38,516 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 15,615 | 17,835 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 43,595 | 50,306 |
General Electric Capital Corp. | 2.300% | 1/14/19 | 54,020 | 54,540 |
4 General Electric Capital Corp. | 6.375% | 11/15/67 | 7,110 | 7,714 |
HSBC Finance Corp. | 5.250% | 4/15/15 | 19,525 | 20,587 |
HSBC Finance Corp. | 5.000% | 6/30/15 | 44,605 | 47,142 |
HSBC Finance Corp. | 5.500% | 1/19/16 | 63,490 | 68,945 |
6 HSBC Finance Corp. | 0.669% | 6/1/16 | 17,450 | 17,399 |
SLM Corp. | 3.875% | 9/10/15 | 63,420 | 65,260 |
SLM Corp. | 6.250% | 1/25/16 | 101,274 | 108,904 |
SLM Corp. | 6.000% | 1/25/17 | 40,700 | 44,123 |
SLM Corp. | 4.625% | 9/25/17 | 19,520 | 20,163 |
Insurance (2.4%) | ||||
ACE INA Holdings Inc. | 5.700% | 2/15/17 | 10,847 | 12,167 |
Alleghany Corp. | 5.625% | 9/15/20 | 8,890 | 9,894 |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 28,180 | 32,311 |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 2,075 | 2,329 |
American Financial Group Inc. | 9.875% | 6/15/19 | 4,885 | 6,374 |
American International Group Inc. | 3.000% | 3/20/15 | 44,095 | 45,270 |
American International Group Inc. | 2.375% | 8/24/15 | 9,750 | 9,932 |
American International Group Inc. | 5.050% | 10/1/15 | 29,335 | 31,386 |
American International Group Inc. | 4.875% | 9/15/16 | 37,809 | 41,504 |
American International Group Inc. | 5.600% | 10/18/16 | 9,770 | 10,871 |
American International Group Inc. | 3.800% | 3/22/17 | 24,465 | 26,211 |
American International Group Inc. | 5.450% | 5/18/17 | 18,175 | 20,338 |
American International Group Inc. | 5.850% | 1/16/18 | 98,511 | 113,388 |
American International Group Inc. | 8.250% | 8/15/18 | 52,933 | 66,471 |
Assurant Inc. | 2.500% | 3/15/18 | 29,300 | 29,239 |
Axis Capital Holdings Ltd. | 5.750% | 12/1/14 | 40,440 | 42,095 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 2,440 | 2,767 |
Berkshire Hathaway Finance Corp. | 1.600% | 5/15/17 | 11,715 | 11,896 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 24,144 | 27,918 |
Berkshire Hathaway Inc. | 3.200% | 2/11/15 | 8,860 | 9,116 |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 4,850 | 5,028 |
Berkshire Hathaway Inc. | 1.900% | 1/31/17 | 11,515 | 11,833 |
Chubb Corp. | 5.750% | 5/15/18 | 5,793 | 6,722 |
4 Chubb Corp. | 6.375% | 3/29/67 | 4,850 | 5,335 |
Cigna Corp. | 2.750% | 11/15/16 | 9,600 | 10,013 |
CNA Financial Corp. | 5.850% | 12/15/14 | 10,130 | 10,568 |
CNA Financial Corp. | 6.500% | 8/15/16 | 20,495 | 23,093 |
CNA Financial Corp. | 7.350% | 11/15/19 | 3,900 | 4,779 |
Genworth Holdings Inc. | 6.515% | 5/22/18 | 17,918 | 20,600 |
Genworth Holdings Inc. | 7.700% | 6/15/20 | 3,080 | 3,744 |
Hartford Financial Services Group Inc. | 4.000% | 3/30/15 | 8,400 | 8,708 |
Hartford Financial Services Group Inc. | 4.000% | 10/15/17 | 4,985 | 5,386 |
15
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Manulife Financial Corp. | 3.400% | 9/17/15 | 14,620 | 15,208 |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 9,875 | 9,983 |
7 MassMutual Global Funding II | 3.125% | 4/14/16 | 11,920 | 12,473 |
7 MassMutual Global Funding II | 2.500% | 10/17/22 | 8,475 | 7,838 |
MetLife Inc. | 6.750% | 6/1/16 | 40,950 | 46,341 |
MetLife Inc. | 1.756% | 12/15/17 | 14,600 | 14,669 |
MetLife Inc. | 6.817% | 8/15/18 | 13,300 | 16,039 |
7 Metropolitan Life Global Funding I | 1.500% | 1/10/18 | 29,350 | 29,058 |
7 Pacific LifeCorp | 6.000% | 2/10/20 | 10,854 | 12,394 |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 20,530 | 23,809 |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 15,600 | 15,589 |
7 Principal Life Global Funding I | 5.050% | 3/15/15 | 7,750 | 8,114 |
7 Principal Life Global Funding II | 2.250% | 10/15/18 | 11,725 | 11,770 |
Progressive Corp. | 6.700% | 6/15/67 | 9,760 | 10,590 |
Prudential Financial Inc. | 6.200% | 1/15/15 | 11,465 | 12,064 |
Prudential Financial Inc. | 4.750% | 9/17/15 | 19,450 | 20,682 |
Prudential Financial Inc. | 3.000% | 5/12/16 | 11,725 | 12,291 |
Reinsurance Group of America Inc. | 5.625% | 3/15/17 | 12,900 | 14,337 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 15,073 | 17,583 |
Transatlantic Holdings Inc. | 5.750% | 12/14/15 | 34,220 | 37,073 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 11,600 | 13,391 |
7 UnumProvident Finance Co. plc | 6.850% | 11/15/15 | 19,425 | 21,145 |
WellPoint Inc. | 5.250% | 1/15/16 | 9,985 | 10,806 |
WellPoint Inc. | 5.875% | 6/15/17 | 10,500 | 11,889 |
WellPoint Inc. | 2.300% | 7/15/18 | 9,750 | 9,814 |
XL Group plc | 5.250% | 9/15/14 | 42,514 | 43,615 |
XLIT Ltd. | 2.300% | 12/15/18 | 4,875 | 4,836 |
Other Finance (0.1%) | ||||
NYSE Euronext | 2.000% | 10/5/17 | 39,800 | 40,422 |
ORIX Corp. | 3.750% | 3/9/17 | 19,000 | 19,905 |
Real Estate Investment Trusts (1.1%) | ||||
BioMed Realty LP | 3.850% | 4/15/16 | 4,800 | 5,019 |
Boston Properties LP | 3.700% | 11/15/18 | 4,900 | 5,217 |
Brandywine Operating Partnership LP | 5.400% | 11/1/14 | 4,850 | 5,005 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 15,486 | 17,125 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 16,400 | 17,844 |
DDR Corp. | 7.500% | 4/1/17 | 405 | 472 |
DDR Corp. | 4.750% | 4/15/18 | 19,480 | 21,244 |
DDR Corp. | 7.500% | 7/15/18 | 2,500 | 2,992 |
Digital Realty Trust LP | 4.500% | 7/15/15 | 6,350 | 6,605 |
Duke Realty LP | 7.375% | 2/15/15 | 4,875 | 5,197 |
Duke Realty LP | 5.950% | 2/15/17 | 9,620 | 10,725 |
Duke Realty LP | 6.500% | 1/15/18 | 3,470 | 3,992 |
Duke Realty LP | 6.750% | 3/15/20 | 5,260 | 6,160 |
7 Goodman Funding Pty Ltd. | 6.375% | 11/12/20 | 19,140 | 21,783 |
HCP Inc. | 6.000% | 1/30/17 | 9,750 | 10,987 |
HCP Inc. | 5.625% | 5/1/17 | 1,270 | 1,418 |
HCP Inc. | 6.700% | 1/30/18 | 44,125 | 51,657 |
Health Care REIT Inc. | 3.625% | 3/15/16 | 8,088 | 8,534 |
Health Care REIT Inc. | 4.700% | 9/15/17 | 14,620 | 15,973 |
Health Care REIT Inc. | 2.250% | 3/15/18 | 4,875 | 4,899 |
Health Care REIT Inc. | 4.125% | 4/1/19 | 23,730 | 25,213 |
Healthcare Realty Trust Inc. | 6.500% | 1/17/17 | 1,000 | 1,123 |
Highwoods Realty LP | 5.850% | 3/15/17 | 4,425 | 4,929 |
Kilroy Realty LP | 4.800% | 7/15/18 | 20,030 | 21,725 |
Kimco Realty Corp. | 5.783% | 3/15/16 | 15,783 | 17,297 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 17,705 | 19,207 |
Liberty Property LP | 4.750% | 10/1/20 | 1,600 | 1,708 |
ProLogis LP | 4.500% | 8/15/17 | 7,300 | 7,911 |
ProLogis LP | 6.625% | 5/15/18 | 15,120 | 17,801 |
ProLogis LP | 2.750% | 2/15/19 | 9,815 | 9,878 |
Realty Income Corp. | 2.000% | 1/31/18 | 4,870 | 4,821 |
Realty Income Corp. | 6.750% | 8/15/19 | 5,985 | 7,092 |
16
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Regency Centers LP | 5.875% | 6/15/17 | 13,675 | 15,285 |
Senior Housing Properties Trust | 4.300% | 1/15/16 | 11,460 | 12,033 |
Simon Property Group LP | 5.100% | 6/15/15 | 9,225 | 9,787 |
Simon Property Group LP | 6.100% | 5/1/16 | 5,820 | 6,426 |
Simon Property Group LP | 2.800% | 1/30/17 | 22,815 | 23,835 |
Simon Property Group LP | 5.875% | 3/1/17 | 9,180 | 10,349 |
Simon Property Group LP | 2.150% | 9/15/17 | 1,572 | 1,612 |
7 Simon Property Group LP | 1.500% | 2/1/18 | 4,850 | 4,753 |
Simon Property Group LP | 6.125% | 5/30/18 | 15,635 | 18,416 |
Simon Property Group LP | 2.200% | 2/1/19 | 24,375 | 24,359 |
Simon Property Group LP | 5.650% | 2/1/20 | 1,405 | 1,635 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 29,870 | 29,866 |
12,439,587 | ||||
Industrial (28.3%) | ||||
Basic Industry (2.0%) | ||||
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 10,920 | 11,196 |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 11,225 | 11,125 |
Airgas Inc. | 1.650% | 2/15/18 | 17,792 | 17,604 |
Barrick Gold Corp. | 6.950% | 4/1/19 | 19,670 | 22,972 |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 11,410 | 13,337 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 23,480 | 24,087 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 68,645 | 69,774 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 30,292 | 34,177 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 13,920 | 14,054 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 14,119 | 17,083 |
CF Industries Inc. | 6.875% | 5/1/18 | 38,450 | 44,794 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 20,804 | 21,320 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 27,383 | 32,052 |
Freeport-McMoRan Copper & Gold Inc. | 1.400% | 2/13/15 | 9,745 | 9,802 |
Freeport-McMoRan Copper & Gold Inc. | 2.375% | 3/15/18 | 26,415 | 26,437 |
Goldcorp Inc. | 2.125% | 3/15/18 | 14,640 | 14,515 |
Nucor Corp. | 5.750% | 12/1/17 | 8,790 | 10,088 |
Nucor Corp. | 5.850% | 6/1/18 | 24,788 | 28,527 |
Plains Exploration & Production Co. | 6.125% | 6/15/19 | 20,453 | 22,345 |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 28,650 | 31,372 |
Plains Exploration & Production Co. | 6.625% | 5/1/21 | 3,600 | 3,942 |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 9,915 | 10,869 |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 17,000 | 18,785 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 19,684 | 20,933 |
Rio Tinto Finance USA Ltd. | 8.950% | 5/1/14 | 44,445 | 45,331 |
Rio Tinto Finance USA Ltd. | 2.500% | 5/20/16 | 19,228 | 19,922 |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 19,540 | 23,240 |
Rio Tinto Finance USA plc | 1.375% | 6/17/16 | 38,045 | 38,408 |
Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 40,230 | 41,171 |
Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 60,437 | 60,580 |
Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 42,710 | 42,894 |
Teck Resources Ltd. | 3.150% | 1/15/17 | 12,405 | 13,040 |
Teck Resources Ltd. | 3.850% | 8/15/17 | 8,395 | 8,969 |
Teck Resources Ltd. | 2.500% | 2/1/18 | 11,230 | 11,374 |
Teck Resources Ltd. | 3.000% | 3/1/19 | 2,380 | 2,437 |
Vale Canada Ltd. | 5.700% | 10/15/15 | 14,655 | 15,763 |
Vale Overseas Ltd. | 6.250% | 1/11/16 | 22,625 | 24,497 |
Vale Overseas Ltd. | 6.250% | 1/23/17 | 34,195 | 37,958 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 4,425 | 4,811 |
7 Xstrata Finance Canada Ltd. | 2.050% | 10/23/15 | 29,280 | 29,607 |
7 Xstrata Finance Canada Ltd. | 3.600% | 1/15/17 | 5,835 | 6,138 |
Capital Goods (2.9%) | ||||
7 ABB Treasury Center USA Inc. | 2.500% | 6/15/16 | 14,650 | 15,148 |
Bemis Co. Inc. | 5.650% | 8/1/14 | 10,130 | 10,378 |
Boeing Capital Corp. | 2.125% | 8/15/16 | 17,810 | 18,431 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 15,939 | 16,759 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 7,200 | 8,175 |
Boeing Co. | 3.500% | 2/15/15 | 25,710 | 26,546 |
17
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Boeing Co. | 0.950% | 5/15/18 | 25,805 | 25,089 |
Caterpillar Financial Services Corp. | 6.125% | 2/17/14 | 24,280 | 24,324 |
Caterpillar Financial Services Corp. | 1.650% | 4/1/14 | 26,625 | 26,683 |
Caterpillar Financial Services Corp. | 4.750% | 2/17/15 | 11,900 | 12,442 |
Caterpillar Financial Services Corp. | 1.100% | 5/29/15 | 17,910 | 18,082 |
Caterpillar Financial Services Corp. | 2.750% | 6/24/15 | 9,250 | 9,545 |
Caterpillar Financial Services Corp. | 2.650% | 4/1/16 | 5,625 | 5,853 |
Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 24,750 | 25,511 |
Caterpillar Financial Services Corp. | 1.625% | 6/1/17 | 4,885 | 4,933 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 11,950 | 11,876 |
Caterpillar Inc. | 1.500% | 6/26/17 | 9,750 | 9,796 |
CNH Capital LLC | 3.250% | 2/1/17 | 24,430 | 24,766 |
Crane Co. | 2.750% | 12/15/18 | 12,615 | 12,768 |
CRH America Inc. | 4.125% | 1/15/16 | 38,050 | 40,145 |
CRH America Inc. | 6.000% | 9/30/16 | 4,900 | 5,478 |
CRH America Inc. | 8.125% | 7/15/18 | 19,860 | 24,660 |
Danaher Corp. | 1.300% | 6/23/14 | 13,300 | 13,351 |
Danaher Corp. | 2.300% | 6/23/16 | 23,758 | 24,632 |
7 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 10,379 | 10,414 |
Emerson Electric Co. | 4.125% | 4/15/15 | 9,220 | 9,624 |
Emerson Electric Co. | 5.375% | 10/15/17 | 9,760 | 11,213 |
Emerson Electric Co. | 5.250% | 10/15/18 | 4,880 | 5,603 |
Emerson Electric Co. | 5.000% | 4/15/19 | 1,465 | 1,668 |
General Dynamics Corp. | 1.375% | 1/15/15 | 10,550 | 10,659 |
General Dynamics Corp. | 2.250% | 7/15/16 | 5,637 | 5,846 |
General Dynamics Corp. | 1.000% | 11/15/17 | 69,160 | 68,096 |
General Electric Co. | 0.850% | 10/9/15 | 18,420 | 18,528 |
General Electric Co. | 5.250% | 12/6/17 | 92,550 | 105,329 |
Harsco Corp. | 2.700% | 10/15/15 | 10,192 | 10,307 |
Honeywell International Inc. | 5.300% | 3/1/18 | 4,710 | 5,400 |
Honeywell International Inc. | 5.000% | 2/15/19 | 22,275 | 25,384 |
Illinois Tool Works Inc. | 5.150% | 4/1/14 | 18,725 | 18,860 |
7 Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 17,860 | 17,960 |
John Deere Capital Corp. | 1.250% | 12/2/14 | 12,160 | 12,241 |
John Deere Capital Corp. | 2.950% | 3/9/15 | 32,950 | 33,882 |
John Deere Capital Corp. | 0.875% | 4/17/15 | 4,875 | 4,900 |
John Deere Capital Corp. | 0.950% | 6/29/15 | 16,575 | 16,712 |
John Deere Capital Corp. | 0.750% | 1/22/16 | 22,900 | 22,981 |
John Deere Capital Corp. | 2.250% | 6/7/16 | 28,375 | 29,394 |
John Deere Capital Corp. | 1.850% | 9/15/16 | 37,815 | 38,810 |
John Deere Capital Corp. | 1.050% | 10/11/16 | 11,000 | 11,055 |
John Deere Capital Corp. | 1.050% | 12/15/16 | 13,020 | 13,072 |
John Deere Capital Corp. | 2.000% | 1/13/17 | 12,680 | 13,039 |
John Deere Capital Corp. | 1.400% | 3/15/17 | 19,490 | 19,704 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 6,570 | 6,908 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 35,105 | 35,043 |
John Deere Capital Corp. | 1.300% | 3/12/18 | 19,525 | 19,367 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 14,635 | 16,751 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 4,880 | 5,712 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 14,640 | 14,685 |
L-3 Communications Corp. | 3.950% | 11/15/16 | 11,560 | 12,338 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 21,600 | 22,282 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 19,250 | 21,037 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 16,586 | 18,027 |
Precision Castparts Corp. | 0.700% | 12/20/15 | 18,045 | 18,099 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 62,205 | 61,439 |
Raytheon Co. | 6.750% | 3/15/18 | 7,360 | 8,777 |
Republic Services Inc. | 3.800% | 5/15/18 | 5,686 | 6,108 |
Republic Services Inc. | 5.500% | 9/15/19 | 4,880 | 5,567 |
Roper Industries Inc. | 1.850% | 11/15/17 | 9,760 | 9,806 |
Roper Industries Inc. | 2.050% | 10/1/18 | 9,590 | 9,487 |
7 Schneider Electric SA | 2.950% | 9/27/22 | 5,850 | 5,591 |
United Technologies Corp. | 4.875% | 5/1/15 | 3,700 | 3,907 |
United Technologies Corp. | 1.800% | 6/1/17 | 74,200 | 75,841 |
18
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United Technologies Corp. | 5.375% | 12/15/17 | 25,080 | 28,784 |
United Technologies Corp. | 4.500% | 4/15/20 | 2,600 | 2,899 |
Waste Management Inc. | 6.375% | 3/11/15 | 12,647 | 13,426 |
Waste Management Inc. | 2.600% | 9/1/16 | 8,200 | 8,524 |
Waste Management Inc. | 6.100% | 3/15/18 | 11,725 | 13,636 |
Communication (5.3%) | ||||
21st Century Fox America Inc. | 7.250% | 5/18/18 | 7,205 | 8,780 |
America Movil SAB de CV | 5.750% | 1/15/15 | 12,225 | 12,788 |
America Movil SAB de CV | 3.625% | 3/30/15 | 48,771 | 50,296 |
America Movil SAB de CV | 2.375% | 9/8/16 | 92,560 | 95,027 |
America Movil SAB de CV | 5.625% | 11/15/17 | 29,869 | 33,611 |
American Tower Corp. | 4.625% | 4/1/15 | 18,589 | 19,394 |
American Tower Corp. | 4.500% | 1/15/18 | 4,875 | 5,321 |
American Tower Corp. | 3.400% | 2/15/19 | 29,320 | 30,316 |
AT&T Inc. | 5.100% | 9/15/14 | 25,478 | 26,202 |
AT&T Inc. | 0.875% | 2/13/15 | 11,750 | 11,795 |
AT&T Inc. | 2.500% | 8/15/15 | 61,005 | 62,643 |
AT&T Inc. | 0.900% | 2/12/16 | 13,600 | 13,606 |
AT&T Inc. | 2.950% | 5/15/16 | 54,630 | 57,011 |
AT&T Inc. | 2.400% | 8/15/16 | 75,441 | 77,918 |
AT&T Inc. | 1.600% | 2/15/17 | 44,038 | 44,443 |
AT&T Inc. | 1.700% | 6/1/17 | 80,110 | 80,914 |
AT&T Inc. | 1.400% | 12/1/17 | 24,400 | 24,157 |
AT&T Inc. | 5.500% | 2/1/18 | 80,904 | 91,930 |
AT&T Inc. | 5.600% | 5/15/18 | 6,038 | 6,953 |
AT&T Inc. | 2.375% | 11/27/18 | 41,915 | 42,260 |
BellSouth Corp. | 5.200% | 9/15/14 | 30,175 | 31,070 |
7 British Sky Broadcasting Group plc | 6.100% | 2/15/18 | 6,010 | 6,838 |
7 British Sky Broadcasting Group plc | 9.500% | 11/15/18 | 17,349 | 22,745 |
7 BSKYB Finance UK plc | 5.625% | 10/15/15 | 3,484 | 3,757 |
CBS Corp. | 1.950% | 7/1/17 | 22,671 | 22,941 |
CBS Corp. | 4.625% | 5/15/18 | 2,690 | 2,961 |
Cellco Partnership / Verizon Wireless Capital LLC | 8.500% | 11/15/18 | 48,484 | 62,203 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 30,900 | 38,089 |
Comcast Corp. | 5.850% | 11/15/15 | 13,578 | 14,814 |
Comcast Corp. | 5.900% | 3/15/16 | 24,515 | 27,073 |
Comcast Corp. | 6.500% | 1/15/17 | 23,260 | 26,787 |
Comcast Corp. | 6.300% | 11/15/17 | 9,605 | 11,230 |
Comcast Corp. | 5.875% | 2/15/18 | 5,207 | 6,036 |
Comcast Corp. | 5.700% | 5/15/18 | 5,780 | 6,693 |
COX Communications Inc. | 5.450% | 12/15/14 | 6,667 | 6,947 |
7 Deutsche Telekom International Finance BV | 3.125% | 4/11/16 | 38,016 | 39,650 |
7 Deutsche Telekom International Finance BV | 2.250% | 3/6/17 | 7,075 | 7,244 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 6,819 | 8,178 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.750% | 10/1/14 | 10,232 | 10,510 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.550% | 3/15/15 | 41,275 | 42,598 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.125% | 2/15/16 | 18,420 | 19,200 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.500% | 3/1/16 | 26,685 | 28,022 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 2.400% | 3/15/17 | 42,268 | 43,342 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 1.750% | 1/15/18 | 33,075 | 32,796 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 2,930 | 3,363 |
Discovery Communications LLC | 3.700% | 6/1/15 | 47,177 | 49,043 |
Embarq Corp. | 7.082% | 6/1/16 | 18,952 | 21,399 |
Interpublic Group of Cos. Inc. | 6.250% | 11/15/14 | 14,650 | 15,236 |
NBCUniversal Media LLC | 3.650% | 4/30/15 | 11,585 | 12,027 |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 52,680 | 54,885 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 34,830 | 38,453 |
Orange SA | 2.125% | 9/16/15 | 14,288 | 14,564 |
Orange SA | 2.750% | 9/14/16 | 6,840 | 7,107 |
Orange SA | 2.750% | 2/6/19 | 18,380 | 18,469 |
Qwest Corp. | 7.500% | 10/1/14 | 9,033 | 9,415 |
Qwest Corp. | 6.500% | 6/1/17 | 9,653 | 10,916 |
Rogers Communications Inc. | 7.500% | 3/15/15 | 5,299 | 5,701 |
19
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Rogers Communications Inc. | 6.800% | 8/15/18 | 21,658 | 26,050 |
TCI Communications Inc. | 8.750% | 8/1/15 | 9,860 | 11,029 |
Telecom Italia Capital SA | 6.999% | 6/4/18 | 19,948 | 22,410 |
Telefonica Emisiones SAU | 4.949% | 1/15/15 | 14,284 | 14,809 |
Telefonica Emisiones SAU | 3.992% | 2/16/16 | 47,895 | 50,445 |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 19,420 | 21,629 |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 13,337 | 15,248 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 46,837 | 48,236 |
Telefonos de Mexico SAB de CV | 5.500% | 1/27/15 | 9,775 | 10,202 |
Thomson Reuters Corp. | 0.875% | 5/23/16 | 13,012 | 12,943 |
Thomson Reuters Corp. | 1.300% | 2/23/17 | 21,480 | 21,435 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 11,625 | 13,632 |
Time Warner Cable Inc. | 3.500% | 2/1/15 | 22,325 | 22,900 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 17,610 | 19,336 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 6,850 | 7,744 |
Verizon Communications Inc. | 0.700% | 11/2/15 | 24,520 | 24,478 |
Verizon Communications Inc. | 5.550% | 2/15/16 | 59,437 | 64,916 |
Verizon Communications Inc. | 3.000% | 4/1/16 | 5,120 | 5,341 |
Verizon Communications Inc. | 2.500% | 9/15/16 | 65,545 | 67,850 |
Verizon Communications Inc. | 2.000% | 11/1/16 | 40,761 | 41,671 |
Verizon Communications Inc. | 5.500% | 4/1/17 | 3,700 | 4,162 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 18,344 | 18,032 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 27,608 | 31,325 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 26,345 | 30,619 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 118,285 | 125,688 |
Vodafone Group plc | 4.150% | 6/10/14 | 9,221 | 9,343 |
Vodafone Group plc | 5.375% | 1/30/15 | 6,890 | 7,217 |
Vodafone Group plc | 0.900% | 2/19/16 | 17,788 | 17,806 |
Vodafone Group plc | 5.750% | 3/15/16 | 13,871 | 15,238 |
Vodafone Group plc | 2.875% | 3/16/16 | 47,325 | 49,197 |
Vodafone Group plc | 5.625% | 2/27/17 | 38,412 | 43,258 |
Vodafone Group plc | 1.625% | 3/20/17 | 42,641 | 43,064 |
Vodafone Group plc | 1.250% | 9/26/17 | 45,023 | 44,674 |
Vodafone Group plc | 1.500% | 2/19/18 | 9,575 | 9,444 |
WPP Finance UK | 8.000% | 9/15/14 | 23,355 | 24,362 |
Consumer Cyclical (4.2%) | ||||
American Honda Finance Corp. | 1.125% | 10/7/16 | 20,030 | 20,149 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 19,540 | 19,865 |
AutoZone Inc. | 5.750% | 1/15/15 | 11,270 | 11,813 |
AutoZone Inc. | 5.500% | 11/15/15 | 6,275 | 6,799 |
AutoZone Inc. | 7.125% | 8/1/18 | 33,707 | 40,568 |
Brinker International Inc. | 2.600% | 5/15/18 | 26,410 | 26,438 |
CVS Caremark Corp. | 2.250% | 12/5/18 | 48,820 | 49,192 |
7 Daimler Finance North America LLC | 2.950% | 1/11/17 | 16,915 | 17,681 |
7 Daimler Finance North America LLC | 2.400% | 4/10/17 | 9,740 | 10,021 |
7 Daimler Finance North America LLC | 2.375% | 8/1/18 | 38,500 | 39,012 |
Dollar General Corp. | 4.125% | 7/15/17 | 19,825 | 21,365 |
Dollar General Corp. | 1.875% | 4/15/18 | 9,965 | 9,878 |
7 Experian Finance plc | 2.375% | 6/15/17 | 35,430 | 35,620 |
Ford Motor Credit Co. LLC | 3.875% | 1/15/15 | 9,770 | 10,061 |
Ford Motor Credit Co. LLC | 7.000% | 4/15/15 | 51,889 | 55,595 |
Ford Motor Credit Co. LLC | 2.750% | 5/15/15 | 33,161 | 33,968 |
Ford Motor Credit Co. LLC | 5.625% | 9/15/15 | 4,878 | 5,231 |
Ford Motor Credit Co. LLC | 2.500% | 1/15/16 | 17,080 | 17,556 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 44,245 | 47,118 |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 45,205 | 48,006 |
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 55,625 | 65,542 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 9,755 | 10,493 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 24,125 | 25,087 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 57,291 | 66,337 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 82,715 | 91,785 |
7 General Motors Co. | 3.500% | 10/2/18 | 18,000 | 18,360 |
7 Harley-Davidson Financial Services Inc. | 1.150% | 9/15/15 | 34,600 | 34,700 |
20
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
7 Harley-Davidson Financial Services Inc. | 3.875% | 3/15/16 | 14,418 | 15,241 |
7 Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 16,147 | 16,624 |
7 Harley-Davidson Funding Corp. | 5.750% | 12/15/14 | 20,635 | 21,510 |
7 Hyundai Capital America | 3.750% | 4/6/16 | 10,980 | 11,462 |
7 Hyundai Capital America | 4.000% | 6/8/17 | 10,900 | 11,532 |
7 Hyundai Capital Services Inc. | 4.375% | 7/27/16 | 16,060 | 17,108 |
7 Kia Motors Corp. | 3.625% | 6/14/16 | 26,624 | 27,801 |
Lowe's Cos. Inc. | 1.625% | 4/15/17 | 39,934 | 40,616 |
Lowe's Cos. Inc. | 6.100% | 9/15/17 | 12,690 | 14,551 |
Macy's Retail Holdings Inc. | 7.875% | 7/15/15 | 15,245 | 16,749 |
Macy's Retail Holdings Inc. | 5.900% | 12/1/16 | 41,084 | 46,097 |
Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 42,319 | 49,881 |
Marriott International Inc. | 6.375% | 6/15/17 | 6,872 | 7,849 |
Marriott International Inc. | 3.000% | 3/1/19 | 9,760 | 10,013 |
Nordstrom Inc. | 6.250% | 1/15/18 | 21,650 | 25,281 |
PACCAR Financial Corp. | 1.550% | 9/29/14 | 16,740 | 16,881 |
PACCAR Financial Corp. | 0.750% | 8/14/15 | 12,680 | 12,748 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 17,566 | 17,603 |
Staples Inc. | 2.750% | 1/12/18 | 7,800 | 8,013 |
Starbucks Corp. | 2.000% | 12/5/18 | 18,550 | 18,615 |
TJX Cos. Inc. | 4.200% | 8/15/15 | 8,150 | 8,591 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 13,700 | 16,634 |
Toll Brothers Finance Corp. | 5.150% | 5/15/15 | 16,010 | 16,820 |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 9,734 | 10,023 |
Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 27,380 | 28,170 |
Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 35,429 | 36,058 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 20,510 | 20,682 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 19,530 | 19,637 |
Viacom Inc. | 6.250% | 4/30/16 | 13,025 | 14,533 |
Viacom Inc. | 2.500% | 12/15/16 | 9,880 | 10,252 |
Viacom Inc. | 6.125% | 10/5/17 | 10,695 | 12,416 |
Viacom Inc. | 2.500% | 9/1/18 | 31,395 | 32,031 |
Viacom Inc. | 5.625% | 9/15/19 | 3,195 | 3,667 |
7 Volkswagen International Finance NV | 1.875% | 4/1/14 | 49,860 | 49,985 |
7 Volkswagen International Finance NV | 2.375% | 3/22/17 | 14,620 | 15,039 |
7 Volkswagen International Finance NV | 1.600% | 11/20/17 | 19,600 | 19,629 |
7 Volkswagen International Finance NV | 2.125% | 11/20/18 | 19,575 | 19,665 |
Wal-Mart Stores Inc. | 1.625% | 4/15/14 | 15,640 | 15,681 |
Wal-Mart Stores Inc. | 2.875% | 4/1/15 | 11,815 | 12,164 |
Wal-Mart Stores Inc. | 1.500% | 10/25/15 | 38,550 | 39,244 |
Wal-Mart Stores Inc. | 0.600% | 4/11/16 | 18,555 | 18,583 |
Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 17,098 | 17,955 |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 20,315 | 23,095 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 2,940 | 3,428 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 69,000 | 67,724 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 25,525 | 25,745 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 19,805 | 21,091 |
Walgreen Co. | 1.000% | 3/13/15 | 30,701 | 30,836 |
Walgreen Co. | 1.800% | 9/15/17 | 32,596 | 32,893 |
Walgreen Co. | 5.250% | 1/15/19 | 33,595 | 38,263 |
7 Wesfarmers Ltd. | 2.983% | 5/18/16 | 27,055 | 28,184 |
7 Wesfarmers Ltd. | 1.874% | 3/20/18 | 13,660 | 13,553 |
Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 7,800 | 8,072 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 6,835 | 6,921 |
Yum! Brands Inc. | 6.250% | 4/15/16 | 18,560 | 20,597 |
Yum! Brands Inc. | 6.250% | 3/15/18 | 3,096 | 3,590 |
Consumer Noncyclical (7.0%) | ||||
AbbVie Inc. | 1.750% | 11/6/17 | 60,700 | 60,906 |
AbbVie Inc. | 2.000% | 11/6/18 | 23,420 | 23,311 |
Actavis Inc. | 1.875% | 10/1/17 | 91,065 | 91,081 |
Allergan Inc. | 5.750% | 4/1/16 | 15,530 | 17,180 |
Allergan Inc. | 1.350% | 3/15/18 | 7,800 | 7,670 |
Altria Group Inc. | 4.125% | 9/11/15 | 48,357 | 50,988 |
21
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Altria Group Inc. | 9.250% | 8/6/19 | 5,344 | 7,115 |
AmerisourceBergen Corp. | 5.875% | 9/15/15 | 9,228 | 9,989 |
Amgen Inc. | 1.875% | 11/15/14 | 31,270 | 31,611 |
Amgen Inc. | 2.300% | 6/15/16 | 46,620 | 48,131 |
Amgen Inc. | 2.500% | 11/15/16 | 7,150 | 7,407 |
Amgen Inc. | 2.125% | 5/15/17 | 76,690 | 78,715 |
Amgen Inc. | 5.850% | 6/1/17 | 23,715 | 27,187 |
Amgen Inc. | 6.150% | 6/1/18 | 4,525 | 5,319 |
Anheuser-Busch Cos. LLC | 5.000% | 1/15/15 | 7,480 | 7,797 |
Anheuser-Busch Cos. LLC | 5.050% | 10/15/16 | 4,875 | 5,408 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 8,650 | 9,908 |
Anheuser-Busch InBev Finance Inc. | 0.800% | 1/15/16 | 46,393 | 46,465 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 26,840 | 26,519 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 68,385 | 68,826 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 11/15/14 | 28,675 | 29,755 |
Anheuser-Busch InBev Worldwide Inc. | 4.125% | 1/15/15 | 23,605 | 24,412 |
Anheuser-Busch InBev Worldwide Inc. | 3.625% | 4/15/15 | 19,495 | 20,227 |
Anheuser-Busch InBev Worldwide Inc. | 0.800% | 7/15/15 | 19,647 | 19,735 |
Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 46,615 | 48,769 |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 68,292 | 68,267 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 9,750 | 12,249 |
Avon Products Inc. | 4.600% | 3/15/20 | 3,900 | 3,940 |
Baxter International Inc. | 0.950% | 6/1/16 | 5,860 | 5,883 |
Baxter International Inc. | 5.375% | 6/1/18 | 9,745 | 11,168 |
Baxter International Inc. | 1.850% | 6/15/18 | 13,345 | 13,365 |
Biogen Idec Inc. | 6.875% | 3/1/18 | 4,880 | 5,797 |
Boston Scientific Corp. | 6.250% | 11/15/15 | 10,150 | 11,094 |
Boston Scientific Corp. | 6.400% | 6/15/16 | 20,447 | 22,900 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 9,760 | 9,900 |
Bottling Group LLC | 5.500% | 4/1/16 | 32,044 | 35,351 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 5,480 | 5,381 |
Cardinal Health Inc. | 1.900% | 6/15/17 | 6,830 | 6,924 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 20,540 | 20,529 |
CareFusion Corp. | 5.125% | 8/1/14 | 13,970 | 14,269 |
Catholic Health Initiatives Colorado GO | 2.600% | 8/1/18 | 2,900 | 2,940 |
Celgene Corp. | 2.450% | 10/15/15 | 14,610 | 15,028 |
Celgene Corp. | 1.900% | 8/15/17 | 6,835 | 6,912 |
Celgene Corp. | 2.300% | 8/15/18 | 14,950 | 15,115 |
Church & Dwight Co. Inc. | 3.350% | 12/15/15 | 9,760 | 10,191 |
Clorox Co. | 5.950% | 10/15/17 | 4,880 | 5,633 |
Coca-Cola Co. | 1.150% | 4/1/18 | 14,755 | 14,540 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 18,500 | 18,479 |
ConAgra Foods Inc. | 1.300% | 1/25/16 | 24,490 | 24,667 |
ConAgra Foods Inc. | 5.819% | 6/15/17 | 4,880 | 5,549 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 64,935 | 64,828 |
ConAgra Foods Inc. | 2.100% | 3/15/18 | 3,550 | 3,551 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 5,000 | 6,040 |
Constellation Brands Inc. | 3.750% | 5/1/21 | 5,130 | 4,925 |
Constellation Brands Inc. | 4.250% | 5/1/23 | 5,130 | 4,822 |
Covidien International Finance SA | 1.350% | 5/29/15 | 19,185 | 19,367 |
Covidien International Finance SA | 2.800% | 6/15/15 | 14,040 | 14,453 |
Covidien International Finance SA | 6.000% | 10/15/17 | 38,565 | 44,499 |
CR Bard Inc. | 2.875% | 1/15/16 | 22,350 | 23,309 |
CR Bard Inc. | 1.375% | 1/15/18 | 13,115 | 12,858 |
Delhaize Group SA | 6.500% | 6/15/17 | 13,054 | 14,727 |
Diageo Capital plc | 1.500% | 5/11/17 | 23,785 | 23,871 |
Diageo Capital plc | 1.125% | 4/29/18 | 7,115 | 6,956 |
Dr Pepper Snapple Group Inc. | 2.900% | 1/15/16 | 7,800 | 8,095 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 16,295 | 19,359 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 3,060 | 3,124 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 24,400 | 24,701 |
Express Scripts Holding Co. | 2.100% | 2/12/15 | 29,220 | 29,656 |
Express Scripts Holding Co. | 3.125% | 5/15/16 | 43,300 | 45,267 |
Express Scripts Holding Co. | 3.500% | 11/15/16 | 32,230 | 34,213 |
22
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 55,846 | 57,875 |
Genentech Inc. | 4.750% | 7/15/15 | 15,730 | 16,703 |
General Mills Inc. | 0.875% | 1/29/16 | 10,175 | 10,202 |
General Mills Inc. | 5.700% | 2/15/17 | 5,600 | 6,335 |
Gilead Sciences Inc. | 2.400% | 12/1/14 | 35,880 | 36,429 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 37,210 | 39,338 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 16,600 | 19,329 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 39,865 | 40,246 |
7 Hawk Acquisition Sub Inc. | 4.250% | 10/15/20 | 4,780 | 4,660 |
Ingredion Inc. | 1.800% | 9/25/17 | 5,855 | 5,774 |
Kellogg Co. | 1.750% | 5/17/17 | 10,240 | 10,341 |
Koninklijke Philips NV | 5.750% | 3/11/18 | 47,850 | 55,403 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 75,630 | 77,791 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 19,120 | 22,458 |
Kroger Co. | 1.200% | 10/17/16 | 6,840 | 6,867 |
Kroger Co. | 2.200% | 1/15/17 | 6,895 | 7,076 |
Kroger Co. | 6.800% | 12/15/18 | 5,950 | 7,177 |
Kroger Co. | 2.300% | 1/15/19 | 14,650 | 14,641 |
Life Technologies Corp. | 4.400% | 3/1/15 | 14,600 | 15,181 |
Lorillard Tobacco Co. | 3.500% | 8/4/16 | 30,285 | 31,956 |
Lorillard Tobacco Co. | 2.300% | 8/21/17 | 18,520 | 18,907 |
McKesson Corp. | 6.500% | 2/15/14 | 12,970 | 12,991 |
McKesson Corp. | 0.950% | 12/4/15 | 23,400 | 23,443 |
McKesson Corp. | 3.250% | 3/1/16 | 16,079 | 16,812 |
McKesson Corp. | 5.700% | 3/1/17 | 5,675 | 6,355 |
Mead Johnson Nutrition Co. | 3.500% | 11/1/14 | 14,000 | 14,286 |
Medco Health Solutions Inc. | 2.750% | 9/15/15 | 8,774 | 9,037 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 32,695 | 39,056 |
Merck & Co. Inc. | 2.250% | 1/15/16 | 34,988 | 36,234 |
Merck & Co. Inc. | 0.700% | 5/18/16 | 7,820 | 7,831 |
Merck & Co. Inc. | 1.300% | 5/18/18 | 23,400 | 23,011 |
Merck Sharp & Dohme Corp. | 4.750% | 3/1/15 | 6,100 | 6,382 |
Mondelez International Inc. | 6.750% | 2/19/14 | 24,400 | 24,463 |
Mondelez International Inc. | 4.125% | 2/9/16 | 44,285 | 47,052 |
7 Mylan Inc. | 1.800% | 6/24/16 | 31,375 | 31,861 |
Mylan Inc. | 1.350% | 11/29/16 | 9,345 | 9,361 |
7 Mylan Inc. | 2.600% | 6/24/18 | 56,410 | 57,198 |
Mylan Inc. | 2.550% | 3/28/19 | 4,890 | 4,880 |
Nabisco Inc. | 7.550% | 6/15/15 | 14,640 | 15,983 |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 12,540 | 12,600 |
Novartis Capital Corp. | 4.125% | 2/10/14 | 31,775 | 31,791 |
PepsiCo Inc. | 3.100% | 1/15/15 | 13,475 | 13,827 |
PepsiCo Inc. | 0.700% | 2/26/16 | 14,650 | 14,653 |
PepsiCo Inc. | 2.500% | 5/10/16 | 21,805 | 22,675 |
PepsiCo Inc. | 1.250% | 8/13/17 | 13,550 | 13,541 |
7 Pernod Ricard SA | 2.950% | 1/15/17 | 58,895 | 61,439 |
7 Pernod Ricard SA | 4.450% | 1/15/22 | 2,925 | 3,034 |
7 Perrigo Co. plc | 1.300% | 11/8/16 | 14,645 | 14,651 |
7 Perrigo Co. plc | 2.300% | 11/8/18 | 14,645 | 14,662 |
Pfizer Inc. | 5.350% | 3/15/15 | 12,870 | 13,561 |
Pharmacia Corp. | 6.500% | 12/1/18 | 8,300 | 10,127 |
Philip Morris International Inc. | 6.875% | 3/17/14 | 18,431 | 18,572 |
Philip Morris International Inc. | 2.500% | 5/16/16 | 20,635 | 21,441 |
Philip Morris International Inc. | 1.125% | 8/21/17 | 4,975 | 4,940 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 19,490 | 22,530 |
Procter & Gamble Co. | 4.850% | 12/15/15 | 2,925 | 3,158 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 4,880 | 5,572 |
Reynolds American Inc. | 1.050% | 10/30/15 | 6,840 | 6,872 |
Reynolds American Inc. | 6.750% | 6/15/17 | 10,880 | 12,648 |
7 Roche Holdings Inc. | 6.000% | 3/1/19 | 18,975 | 22,474 |
Sanofi | 1.200% | 9/30/14 | 39,700 | 39,931 |
Sanofi | 2.625% | 3/29/16 | 55,635 | 58,002 |
Sanofi | 1.250% | 4/10/18 | 60,430 | 59,353 |
St. Jude Medical Inc. | 2.500% | 1/15/16 | 19,505 | 20,041 |
23
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Stryker Corp. | 3.000% | 1/15/15 | 13,600 | 13,940 |
Stryker Corp. | 1.300% | 4/1/18 | 23,550 | 23,189 |
Sutter Health California GO | 1.090% | 8/15/53 | 10,000 | 9,906 |
7 Takeda Pharmaceutical Co. Ltd. | 1.031% | 3/17/15 | 33,060 | 33,209 |
7 Takeda Pharmaceutical Co. Ltd. | 1.625% | 3/17/17 | 33,074 | 32,991 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 38,780 | 40,193 |
Teva Pharmaceutical Finance II BV / Teva | ||||
Pharmaceutical Finance III LLC | 3.000% | 6/15/15 | 45,900 | 47,328 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 15,365 | 14,673 |
Thermo Fisher Scientific Inc. | 5.000% | 6/1/15 | 2,330 | 2,462 |
Thermo Fisher Scientific Inc. | 3.200% | 3/1/16 | 19,490 | 20,404 |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 13,695 | 14,080 |
Thermo Fisher Scientific Inc. | 1.300% | 2/1/17 | 16,600 | 16,600 |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 10,740 | 10,753 |
Tyson Foods Inc. | 6.600% | 4/1/16 | 38,530 | 43,009 |
Whirlpool Corp. | 6.500% | 6/15/16 | 2,950 | 3,286 |
Wyeth LLC | 5.500% | 2/15/16 | 9,745 | 10,719 |
Wyeth LLC | 5.450% | 4/1/17 | 3,270 | 3,705 |
Zoetis Inc. | 1.150% | 2/1/16 | 30,805 | 30,963 |
Zoetis Inc. | 1.875% | 2/1/18 | 35,915 | 35,958 |
Energy (3.6%) | ||||
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 74,940 | 83,591 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 36,742 | 42,329 |
Apache Corp. | 5.625% | 1/15/17 | 8,675 | 9,793 |
Apache Corp. | 1.750% | 4/15/17 | 14,405 | 14,634 |
BP Capital Markets plc | 3.875% | 3/10/15 | 28,945 | 30,052 |
BP Capital Markets plc | 3.125% | 10/1/15 | 37,918 | 39,531 |
BP Capital Markets plc | 0.700% | 11/6/15 | 23,840 | 23,923 |
BP Capital Markets plc | 3.200% | 3/11/16 | 77,518 | 81,619 |
BP Capital Markets plc | 2.248% | 11/1/16 | 37,575 | 38,891 |
BP Capital Markets plc | 1.846% | 5/5/17 | 41,475 | 42,273 |
BP Capital Markets plc | 1.375% | 11/6/17 | 19,000 | 18,934 |
BP Capital Markets plc | 1.375% | 5/10/18 | 35,175 | 34,630 |
BP Capital Markets plc | 2.241% | 9/26/18 | 21,575 | 21,907 |
Canadian Natural Resources Ltd. | 4.900% | 12/1/14 | 10,974 | 11,373 |
Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 24,826 | 28,209 |
Chevron Corp. | 1.104% | 12/5/17 | 13,700 | 13,544 |
Chevron Corp. | 1.718% | 6/24/18 | 29,300 | 29,454 |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 34,080 | 38,464 |
Ensco plc | 3.250% | 3/15/16 | 62,101 | 65,013 |
7 GS Caltex Corp. | 5.500% | 8/25/14 | 3,910 | 3,992 |
7 GS Caltex Corp. | 5.500% | 10/15/15 | 14,165 | 15,128 |
Marathon Oil Corp. | 0.900% | 11/1/15 | 52,110 | 52,290 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 23,330 | 26,880 |
7 Nabors Industries Inc. | 2.350% | 9/15/16 | 16,600 | 16,939 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 19,540 | 22,189 |
Noble Holding International Ltd. | 3.450% | 8/1/15 | 7,581 | 7,858 |
Noble Holding International Ltd. | 3.050% | 3/1/16 | 16,130 | 16,646 |
Occidental Petroleum Corp. | 2.500% | 2/1/16 | 19,750 | 20,471 |
Occidental Petroleum Corp. | 4.125% | 6/1/16 | 8,344 | 8,991 |
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 93,490 | 95,578 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 24,670 | 24,523 |
Petro-Canada | 6.050% | 5/15/18 | 4,885 | 5,691 |
Phillips 66 | 2.950% | 5/1/17 | 42,140 | 44,106 |
Pioneer Natural Resources Co. | 6.650% | 3/15/17 | 4,880 | 5,617 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 4,425 | 5,239 |
Shell International Finance BV | 5.200% | 3/22/17 | 14,225 | 15,909 |
Shell International Finance BV | 1.125% | 8/21/17 | 6,900 | 6,873 |
Shell International Finance BV | 1.900% | 8/10/18 | 9,775 | 9,884 |
Shell International Finance BV | 2.000% | 11/15/18 | 15,675 | 15,851 |
Southwestern Energy Co. | 7.500% | 2/1/18 | 14,700 | 17,530 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 33,389 | 39,009 |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 43,977 | 44,072 |
24
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Total Capital International SA | 0.750% | 1/25/16 | 21,000 | 21,113 |
Total Capital International SA | 1.500% | 2/17/17 | 38,115 | 38,619 |
Total Capital International SA | 1.550% | 6/28/17 | 42,522 | 42,965 |
Total Capital International SA | 2.125% | 1/10/19 | 64,000 | 64,574 |
Total Capital SA | 3.000% | 6/24/15 | 7,241 | 7,501 |
Total Capital SA | 3.125% | 10/2/15 | 36,504 | 38,130 |
Total Capital SA | 2.300% | 3/15/16 | 34,038 | 35,180 |
Total Capital SA | 2.125% | 8/10/18 | 11,627 | 11,804 |
Transocean Inc. | 4.950% | 11/15/15 | 48,220 | 51,488 |
Transocean Inc. | 5.050% | 12/15/16 | 79,340 | 87,199 |
Transocean Inc. | 2.500% | 10/15/17 | 63,592 | 64,469 |
Transocean Inc. | 6.000% | 3/15/18 | 19,535 | 22,024 |
Valero Energy Corp. | 6.125% | 6/15/17 | 9,010 | 10,317 |
Weatherford International LLC | 6.350% | 6/15/17 | 13,005 | 14,776 |
Weatherford International Ltd. | 5.500% | 2/15/16 | 9,760 | 10,574 |
Other Industrial (0.0%) | ||||
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 5,250 | 5,265 |
Technology (2.2%) | ||||
Affiliated Computer Services Inc. | 5.200% | 6/1/15 | 9,750 | 10,293 |
Agilent Technologies Inc. | 5.500% | 9/14/15 | 7,149 | 7,683 |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 9,500 | 11,044 |
Altera Corp. | 1.750% | 5/15/17 | 7,375 | 7,424 |
Altera Corp. | 2.500% | 11/15/18 | 38,180 | 38,655 |
Amphenol Corp. | 4.750% | 11/15/14 | 19,500 | 20,131 |
Apple Inc. | 1.000% | 5/3/18 | 29,410 | 28,708 |
Applied Materials Inc. | 2.650% | 6/15/16 | 9,800 | 10,188 |
Baidu Inc. | 2.250% | 11/28/17 | 6,850 | 6,843 |
Baidu Inc. | 3.250% | 8/6/18 | 31,200 | 31,465 |
Computer Sciences Corp. | 2.500% | 9/15/15 | 14,630 | 14,982 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 21,220 | 24,793 |
Corning Inc. | 1.450% | 11/15/17 | 14,675 | 14,697 |
EMC Corp. | 1.875% | 6/1/18 | 72,410 | 72,534 |
Fiserv Inc. | 3.125% | 6/15/16 | 3,225 | 3,378 |
Fiserv Inc. | 6.800% | 11/20/17 | 3,900 | 4,561 |
Hewlett-Packard Co. | 2.350% | 3/15/15 | 7,930 | 8,042 |
Hewlett-Packard Co. | 2.125% | 9/13/15 | 14,010 | 14,281 |
Hewlett-Packard Co. | 2.200% | 12/1/15 | 10,232 | 10,459 |
Hewlett-Packard Co. | 2.650% | 6/1/16 | 55,413 | 57,235 |
Hewlett-Packard Co. | 3.000% | 9/15/16 | 89,140 | 93,018 |
Hewlett-Packard Co. | 3.300% | 12/9/16 | 24,852 | 26,150 |
Hewlett-Packard Co. | 5.400% | 3/1/17 | 12,791 | 14,275 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 49,670 | 51,077 |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 28,000 | 28,111 |
Intel Corp. | 1.950% | 10/1/16 | 7,780 | 8,011 |
Intel Corp. | 1.350% | 12/15/17 | 142,272 | 141,901 |
International Business Machines Corp. | 0.875% | 10/31/14 | 10,865 | 10,918 |
International Business Machines Corp. | 1.950% | 7/22/16 | 33,175 | 34,154 |
International Business Machines Corp. | 1.250% | 2/6/17 | 19,600 | 19,710 |
International Business Machines Corp. | 5.700% | 9/14/17 | 11,650 | 13,399 |
International Business Machines Corp. | 1.250% | 2/8/18 | 9,700 | 9,605 |
Microsoft Corp. | 0.875% | 11/15/17 | 9,620 | 9,487 |
Motorola Solutions Inc. | 6.000% | 11/15/17 | 4,773 | 5,491 |
Oracle Corp. | 1.200% | 10/15/17 | 51,725 | 51,391 |
Oracle Corp. | 5.750% | 4/15/18 | 12,700 | 14,777 |
7 Seagate HDD Cayman | 3.750% | 11/15/18 | 14,000 | 14,315 |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 14,650 | 14,651 |
Xerox Corp. | 4.250% | 2/15/15 | 20,250 | 20,962 |
Xerox Corp. | 6.400% | 3/15/16 | 9,325 | 10,327 |
Xerox Corp. | 6.750% | 2/1/17 | 18,525 | 21,054 |
Xerox Corp. | 2.950% | 3/15/17 | 8,810 | 9,153 |
Xerox Corp. | 6.350% | 5/15/18 | 16,640 | 19,493 |
Xerox Corp. | 5.625% | 12/15/19 | 15,675 | 17,796 |
25
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Transportation (1.1%) | |||||
4 | AFC X Ltd. | 3.500% | 3/31/15 | 133,000 | 133,665 |
4,7 | American Airlines 2013-2 Class A Pass Through Trust | 3.596% | 11/1/19 | 36,329 | 36,692 |
Burlington Northern Santa Fe LLC | 4.875% | 1/15/15 | 5,380 | 5,600 | |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 14,710 | 17,349 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 2,925 | 3,594 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 6,810 | 7,289 | |
4 | Continental Airlines 1997-4 Class A Pass Through Trust | 6.900% | 7/2/19 | 6,285 | 6,804 |
4 | Continental Airlines 1998-1 Class A Pass Through Trust | 6.648% | 3/15/19 | 3,523 | 3,730 |
4 | Continental Airlines 2000-1 Class A-1 Pass Through | ||||
Trust | 8.048% | 11/1/20 | 6,069 | 6,918 | |
4 | Continental Airlines 2005-ERJ1 Pass Through Trust | 9.798% | 4/1/21 | 5,527 | 6,246 |
4 | Continental Airlines 2012-2 Class B Pass Through Trust | 5.500% | 4/29/22 | 3,375 | 3,493 |
CSX Corp. | 6.250% | 4/1/15 | 11,557 | 12,305 | |
CSX Corp. | 6.250% | 3/15/18 | 10,895 | 12,754 | |
4,10 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718% | 7/2/24 | 4,788 | 5,446 |
4 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 12,635 | 14,182 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 2,846 | 3,073 |
7 | ERAC USA Finance LLC | 5.600% | 5/1/15 | 10,245 | 10,837 |
7 | ERAC USA Finance LLC | 1.400% | 4/15/16 | 8,775 | 8,823 |
7 | ERAC USA Finance LLC | 6.375% | 10/15/17 | 11,170 | 12,980 |
7 | ERAC USA Finance LLC | 2.800% | 11/1/18 | 16,645 | 17,066 |
4 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 8,040 | 7,658 | |
JB Hunt Transport Services Inc. | 3.375% | 9/15/15 | 11,790 | 12,208 | |
4,6,10 | JetBlue Airways 2004-1 G-2 Pass Through Trust | 0.663% | 9/15/15 | 19,025 | 18,923 |
4,6,10 | JetBlue Airways 2004-2 G-2 Pass Through Trust | 0.691% | 5/15/18 | 9,655 | 9,305 |
Kansas City Southern de Mexico SA de CV | 2.350% | 5/15/20 | 4,880 | 4,664 | |
Norfolk Southern Corp. | 5.257% | 9/17/14 | 12,315 | 12,681 | |
7 | Penske Truck Leasing Co. Lp / PTL Finance Corp. | 2.500% | 7/11/14 | 15,000 | 15,119 |
Ryder System Inc. | 5.850% | 3/1/14 | 5,150 | 5,170 | |
Ryder System Inc. | 7.200% | 9/1/15 | 10,820 | 11,866 | |
Ryder System Inc. | 3.600% | 3/1/16 | 25,775 | 26,940 | |
Ryder System Inc. | 5.850% | 11/1/16 | 8,440 | 9,366 | |
Ryder System Inc. | 2.500% | 3/1/17 | 12,635 | 13,009 | |
Ryder System Inc. | 2.450% | 11/15/18 | 5,850 | 5,875 | |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 2,136 | 2,456 |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 6,335 | 6,652 | |
United Parcel Service Inc. | 1.125% | 10/1/17 | 12,850 | 12,820 | |
United Parcel Service Inc. | 5.500% | 1/15/18 | 14,239 | 16,410 | |
United Parcel Service Inc. | 5.125% | 4/1/19 | 22,560 | 25,969 | |
13,624,187 | |||||
Utilities (4.9%) | |||||
Electric (4.0%) | |||||
Ameren Illinois Co. | 6.125% | 11/15/17 | 6,810 | 7,924 | |
Ameren Illinois Co. | 6.250% | 4/1/18 | 4,690 | 5,399 | |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 35,350 | 35,049 | |
Appalachian Power Co. | 5.000% | 6/1/17 | 5,605 | 6,145 | |
Arizona Public Service Co. | 5.800% | 6/30/14 | 8,050 | 8,218 | |
Arizona Public Service Co. | 4.650% | 5/15/15 | 5,850 | 6,133 | |
Arizona Public Service Co. | 6.250% | 8/1/16 | 4,027 | 4,547 | |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 6,810 | 7,627 | |
CenterPoint Energy Inc. | 5.950% | 2/1/17 | 21,490 | 24,268 | |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 7,270 | 8,543 | |
CMS Energy Corp. | 4.250% | 9/30/15 | 22,075 | 23,160 | |
CMS Energy Corp. | 6.550% | 7/17/17 | 2,685 | 3,111 | |
CMS Energy Corp. | 5.050% | 2/15/18 | 45,575 | 50,679 | |
Commonwealth Edison Co. | 4.700% | 4/15/15 | 2,807 | 2,942 | |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 33,402 | 37,609 | |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 31,705 | 32,477 |
26
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Commonwealth Edison Co. | 6.150% | 9/15/17 | 26,386 | 30,612 | |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 33,975 | 39,346 | |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 6,840 | 6,877 | |
Consumers Energy Co. | 5.500% | 8/15/16 | 4,530 | 5,050 | |
Consumers Energy Co. | 5.150% | 2/15/17 | 14,095 | 15,741 | |
Consumers Energy Co. | 5.650% | 9/15/18 | 12,700 | 14,809 | |
Consumers Energy Co. | 6.125% | 3/15/19 | 25,262 | 30,133 | |
Consumers Energy Co. | 6.700% | 9/15/19 | 9,625 | 11,829 | |
DTE Electric Co. | 5.600% | 6/15/18 | 3,420 | 3,914 | |
Duke Energy Carolinas LLC | 5.300% | 10/1/15 | 10,750 | 11,589 | |
Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 6,950 | 7,131 | |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 25,322 | 28,789 | |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 31,297 | 38,435 | |
Duke Energy Corp. | 3.350% | 4/1/15 | 4,875 | 5,026 | |
Duke Energy Corp. | 1.625% | 8/15/17 | 12,560 | 12,605 | |
Duke Energy Corp. | 2.100% | 6/15/18 | 10,490 | 10,567 | |
Duke Energy Corp. | 6.250% | 6/15/18 | 17,390 | 20,340 | |
Duke Energy Corp. | 5.050% | 9/15/19 | 12,700 | 14,362 | |
Duke Energy Florida Inc. | 0.650% | 11/15/15 | 7,390 | 7,411 | |
Duke Energy Florida Inc. | 5.100% | 12/1/15 | 43,735 | 47,330 | |
Duke Energy Florida Inc. | 5.800% | 9/15/17 | 11,462 | 13,045 | |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 21,500 | 24,933 | |
Duke Energy Progress Inc. | 5.150% | 4/1/15 | 4,900 | 5,160 | |
Duke Energy Progress Inc. | 5.250% | 12/15/15 | 14,870 | 16,165 | |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 10,410 | 12,007 | |
7 | EDP Finance BV | 5.250% | 1/14/21 | 17,860 | 18,275 |
Entergy Corp. | 3.625% | 9/15/15 | 18,420 | 19,101 | |
Entergy Corp. | 4.700% | 1/15/17 | 11,695 | 12,597 | |
Entergy Louisiana LLC | 1.875% | 12/15/14 | 10,350 | 10,469 | |
Exelon Corp. | 4.900% | 6/15/15 | 9,760 | 10,273 | |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 16,105 | 18,343 | |
FirstEnergy Corp. | 2.750% | 3/15/18 | 22,430 | 22,496 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 7,140 | 6,945 | |
4,7 | FPL Energy Marcus Hook LP | 7.590% | 7/10/18 | 16,779 | 17,534 |
Georgia Power Co. | 3.000% | 4/15/16 | 6,885 | 7,209 | |
Georgia Power Co. | 5.700% | 6/1/17 | 5,285 | 6,065 | |
7 | Iberdrola Finance Ireland Ltd. | 3.800% | 9/11/14 | 55,952 | 56,893 |
LG&E & KU Energy LLC | 2.125% | 11/15/15 | 34,635 | 35,246 | |
Louisville Gas & Electric Co. | 1.625% | 11/15/15 | 5,040 | 5,139 | |
MidAmerican Energy Co. | 4.650% | 10/1/14 | 4,880 | 5,018 | |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 14,170 | 16,377 | |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 29,560 | 33,662 | |
MidAmerican Energy Holdings Co. | 5.000% | 2/15/14 | 3,000 | 3,004 | |
7 | MidAmerican Energy Holdings Co. | 1.100% | 5/15/17 | 50,750 | 50,653 |
MidAmerican Energy Holdings Co. | 5.750% | 4/1/18 | 44,956 | 51,832 | |
7 | MidAmerican Energy Holdings Co. | 2.000% | 11/15/18 | 29,040 | 28,943 |
National Rural Utilities Cooperative Finance Corp. | 4.750% | 3/1/14 | 10,035 | 10,068 | |
National Rural Utilities Cooperative Finance Corp. | 1.000% | 2/2/15 | 7,795 | 7,840 | |
National Rural Utilities Cooperative Finance Corp. | 1.900% | 11/1/15 | 12,270 | 12,561 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 7,800 | 8,177 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 3,900 | 4,395 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 32,768 | 37,320 | |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 22,800 | 22,915 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 8,400 | 8,262 | |
Nevada Power Co. | 5.875% | 1/15/15 | 35,470 | 37,226 | |
Nevada Power Co. | 6.500% | 5/15/18 | 26,805 | 31,928 | |
Nevada Power Co. | 6.500% | 8/1/18 | 7,401 | 8,837 | |
NextEra Energy Capital Holdings Inc. | 1.200% | 6/1/15 | 40,895 | 41,078 | |
NextEra Energy Capital Holdings Inc. | 2.600% | 9/1/15 | 29,535 | 30,402 | |
NextEra Energy Capital Holdings Inc. | 7.875% | 12/15/15 | 14,650 | 16,505 | |
4 | NextEra Energy Capital Holdings Inc. | 6.350% | 10/1/66 | 5,895 | 5,836 |
7 | Niagara Mohawk Power Corp. | 3.553% | 10/1/14 | 4,830 | 4,910 |
Northeast Utilities | 1.450% | 5/1/18 | 21,490 | 21,112 | |
Northern States Power Co. | 5.250% | 3/1/18 | 2,890 | 3,292 |
27
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NSTAR Electric Co. | 5.625% | 11/15/17 | 2,000 | 2,301 |
Ohio Power Co. | 6.000% | 6/1/16 | 9,838 | 10,979 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 45,304 | 51,907 |
PacifiCorp | 5.650% | 7/15/18 | 18,826 | 21,888 |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 5,445 | 6,119 |
PG&E Corp. | 5.750% | 4/1/14 | 52,933 | 53,348 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 13,915 | 13,850 |
Public Service Co. of Colorado | 5.500% | 4/1/14 | 6,825 | 6,880 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 9,680 | 11,318 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 8,700 | 10,442 |
Public Service Electric & Gas Co. | 5.000% | 8/15/14 | 9,500 | 9,737 |
Public Service Electric & Gas Co. | 2.700% | 5/1/15 | 13,500 | 13,875 |
Public Service Electric & Gas Co. | 5.300% | 5/1/18 | 2,930 | 3,363 |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 28,815 | 29,471 |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 16,060 | 17,945 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 8,450 | 10,189 |
Southern California Edison Co. | 5.500% | 8/15/18 | 5,295 | 6,150 |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 2,010 | 2,214 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 10,080 | 11,484 |
Tampa Electric Co. | 6.100% | 5/15/18 | 21,670 | 25,369 |
TECO Finance Inc. | 4.000% | 3/15/16 | 14,045 | 14,884 |
TECO Finance Inc. | 6.572% | 11/1/17 | 10,008 | 11,621 |
7 Trans-Allegheny Interstate Line Co. | 4.000% | 1/15/15 | 53,650 | 55,278 |
Union Electric Co. | 6.400% | 6/15/17 | 12,271 | 14,239 |
4 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 5,460 | 5,590 |
Xcel Energy Inc. | 0.750% | 5/9/16 | 35,312 | 35,179 |
Natural Gas (0.9%) | ||||
Atmos Energy Corp. | 4.950% | 10/15/14 | 6,260 | 6,445 |
7 Centrica plc | 4.000% | 10/16/23 | 5,950 | 5,962 |
Colorado Interstate Gas Co. LLC | 6.800% | 11/15/15 | 39,762 | 43,786 |
7 Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 9,770 | 9,691 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 10,300 | 11,618 |
El Paso Pipeline Partners Operating Co. LLC | 4.100% | 11/15/15 | 38,508 | 40,483 |
Enbridge Energy Partners LP | 5.350% | 12/15/14 | 2,440 | 2,538 |
4 Enbridge Energy Partners LP | 8.050% | 10/1/77 | 1,860 | 2,092 |
Energy Transfer Partners LP | 5.950% | 2/1/15 | 9,842 | 10,341 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 19,583 | 22,025 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 32,999 | 38,635 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 11,725 | 12,081 |
Kinder Morgan Energy Partners LP | 5.625% | 2/15/15 | 8,770 | 9,202 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 25,785 | 27,066 |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 15,835 | 17,861 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 9,440 | 10,819 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 12,600 | 12,586 |
Magellan Midstream Partners LP | 6.450% | 6/1/14 | 3,650 | 3,720 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 13,190 | 15,393 |
ONEOK Partners LP | 3.200% | 9/15/18 | 9,770 | 10,164 |
Sempra Energy | 6.500% | 6/1/16 | 33,254 | 37,401 |
Sempra Energy | 2.300% | 4/1/17 | 36,630 | 37,679 |
Sempra Energy | 6.150% | 6/15/18 | 13,585 | 15,870 |
Southern California Gas Co. | 5.500% | 3/15/14 | 7,979 | 8,026 |
7 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 11,470 | 12,902 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,770 | 10,090 |
4 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 5,550 | 5,716 |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 9,357 | 10,668 |
2,352,255 | ||||
Total Corporate Bonds (Cost $28,094,631) | 28,416,029 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (8.8%) | ||||
7 Abu Dhabi National Energy Co. | 4.750% | 9/15/14 | 11,700 | 11,963 |
Abu Dhabi National Energy Co. | 4.125% | 3/13/17 | 4,077 | 4,328 |
28
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Abu Dhabi National Energy Co. | 2.500% | 1/12/18 | 1,000 | 1,003 |
7 | ADCB Finance Cayman Ltd. | 4.750% | 10/8/14 | 5,000 | 5,108 |
7 | Banco de Costa Rica | 5.250% | 8/12/18 | 4,800 | 4,758 |
7 | Banco del Estado de Chile | 2.000% | 11/9/17 | 6,200 | 6,134 |
7 | Banco del Estado de Chile | 3.875% | 2/8/22 | 2,000 | 1,950 |
7 | Banco do Brasil SA | 4.500% | 1/22/15 | 8,500 | 8,729 |
Banco do Brasil SA | 3.875% | 1/23/17 | 11,085 | 11,287 | |
7 | Banco do Nordeste do Brasil SA | 3.625% | 11/9/15 | 2,000 | 2,032 |
7 | Banco Latinoamericano de Comercio Exterior SA | 3.750% | 4/4/17 | 18,100 | 18,428 |
7 | Banco Nacional de Desenvolvimento Economico e | ||||
Social | 3.375% | 9/26/16 | 6,400 | 6,494 | |
7 | Bank Nederlandse Gemeenten | 1.375% | 3/23/15 | 14,600 | 14,778 |
7 | Bank Nederlandse Gemeenten | 2.500% | 1/23/23 | 2,450 | 2,319 |
7 | Bermuda | 4.138% | 1/3/23 | 6,000 | 5,737 |
7 | Bermuda | 4.854% | 2/6/24 | 5,800 | 5,747 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.750% | 2/24/15 | 4,850 | 4,922 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.125% | 1/30/17 | 22,000 | 22,090 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.375% | 1/29/18 | 4,875 | 4,828 |
7 | Caixa Economica Federal | 2.375% | 11/6/17 | 12,375 | 11,382 |
7 | Centrais Eletricas Brasileiras SA | 7.750% | 11/30/15 | 2,250 | 2,456 |
7 | Central American Bank for Economic Integration | 5.375% | 9/24/14 | 7,000 | 7,182 |
7 | CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,800 | 1,753 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 4,000 | 3,943 | |
7 | CNPC General Capital Ltd. | 1.450% | 4/16/16 | 2,000 | 2,002 |
7 | CNPC General Capital Ltd. | 2.750% | 4/19/17 | 4,875 | 4,972 |
7 | CNPC HK Overseas Capital Ltd. | 3.125% | 4/28/16 | 5,000 | 5,180 |
Corp. Andina de Fomento | 3.750% | 1/15/16 | 69,219 | 72,411 | |
Corp. Andina de Fomento | 5.750% | 1/12/17 | 8,900 | 9,809 | |
7 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 4,825 | 4,778 |
7 | Corp. Nacional del Cobre de Chile | 4.750% | 10/15/14 | 2,460 | 2,525 |
7 | Corp. Nacional del Cobre de Chile | 7.500% | 1/15/19 | 5,700 | 6,872 |
7 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 15,796 | 15,698 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 2,800 | 2,780 | |
7 | Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 6,025 | 5,551 |
7 | Corp. Nacional del Cobre de Chile | 4.500% | 8/13/23 | 15,600 | 16,061 |
Development Bank of Japan Inc. | 2.875% | 4/20/15 | 5,000 | 5,150 | |
11 | Development Bank of Japan Inc. | 2.750% | 3/15/16 | 6,900 | 7,205 |
11 | Development Bank of Japan Inc. | 5.125% | 2/1/17 | 4,800 | 5,376 |
7 | Development Bank of Kazakhstan JSC | 5.500% | 12/20/15 | 2,762 | 2,915 |
Development Bank of Kazakhstan JSC | 5.500% | 12/20/15 | 310 | 327 | |
7 | Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 3,000 | 2,693 |
7,12 | Dexia Credit Local SA | 2.750% | 4/29/14 | 25,300 | 25,437 |
7,12 | Dexia Credit Local SA | 1.250% | 10/18/16 | 12,700 | 12,759 |
7 | Electricite de France | 1.150% | 1/20/17 | 58,610 | 58,577 |
7 | Electricite de France | 2.150% | 1/22/19 | 34,190 | 33,945 |
7 | Electricite de France | 6.000% | 1/22/14 | 1,610 | 1,723 |
7 | Emirate of Abu Dhabi | 5.500% | 4/8/14 | 14,390 | 14,501 |
4,7 | ENA Norte Trust | 4.950% | 4/25/28 | 1,873 | 1,812 |
European Investment Bank | 2.875% | 1/15/15 | 19,500 | 19,991 | |
European Investment Bank | 2.750% | 3/23/15 | 8,750 | 9,000 | |
European Investment Bank | 1.125% | 4/15/15 | 30,000 | 30,314 | |
European Investment Bank | 1.625% | 9/1/15 | 9,725 | 9,926 | |
European Investment Bank | 2.500% | 5/16/16 | 5,000 | 5,217 | |
7 | Export-Import Bank of Korea | 5.250% | 2/10/14 | 2,550 | 2,552 |
Export-Import Bank of Korea | 5.875% | 1/14/15 | 60,100 | 62,988 | |
Export-Import Bank of Korea | 5.125% | 3/16/15 | 9,600 | 10,041 | |
Export-Import Bank of Korea | 4.125% | 9/9/15 | 33,625 | 35,351 | |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 18,695 | 19,876 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 31,600 | 33,919 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 11,700 | 11,879 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,000 | 2,087 | |
7 | Federation of Malaysia | 2.991% | 7/6/16 | 4,875 | 5,067 |
Federative Republic of Brazil | 7.875% | 3/7/15 | 23,825 | 25,522 | |
Federative Republic of Brazil | 6.000% | 1/17/17 | 25,195 | 27,866 |
29
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
4 Federative Republic of Brazil | 8.000% | 1/15/18 | 28,400 | 31,609 |
Federative Republic of Brazil | 2.625% | 1/5/23 | 9,100 | 7,771 |
7 Gazprom OAO Via Gaz Capital SA | 5.092% | 11/29/15 | 42,520 | 45,263 |
7 Hrvatska Elektroprivreda | 6.000% | 11/9/17 | 2,925 | 2,990 |
Hydro-Quebec | 2.000% | 6/30/16 | 21,750 | 22,397 |
7 Industrial Bank of Korea | 7.125% | 4/23/14 | 6,700 | 6,792 |
IPIC GMTN Ltd. | 3.125% | 11/15/15 | 9,750 | 10,093 |
7 IPIC GMTN Ltd. | 3.750% | 3/1/17 | 2,850 | 3,011 |
11 Japan Bank for International Cooperation | 2.875% | 2/2/15 | 30,500 | 31,270 |
11 Japan Bank for International Cooperation | 1.875% | 9/24/15 | 60,350 | 61,770 |
11 Japan Bank for International Cooperation | 2.500% | 1/21/16 | 19,500 | 20,231 |
11 Japan Bank for International Cooperation | 2.500% | 5/18/16 | 22,000 | 22,867 |
11 Japan Bank for International Cooperation | 2.250% | 7/13/16 | 34,090 | 35,372 |
11 Japan Bank for International Cooperation | 1.750% | 7/31/18 | 26,800 | 26,879 |
11 Japan Bank for International Cooperation | 1.750% | 11/13/18 | 26,000 | 26,031 |
11 Japan Finance Organization for Municipalities | 4.625% | 4/21/15 | 8,900 | 9,340 |
11 Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 9,750 | 10,632 |
7 KazMunaiGaz Finance Sub BV | 11.750% | 1/23/15 | 4,400 | 4,809 |
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 42,601 | 50,802 |
7 Kingdom of Spain | 4.000% | 3/6/18 | 33,800 | 35,421 |
7 Kommunalbanken AS | 2.375% | 1/19/16 | 5,875 | 6,055 |
7 Kommunalbanken AS | 0.875% | 10/3/16 | 9,775 | 9,767 |
7 Kommunalbanken AS | 1.125% | 5/23/18 | 31,300 | 30,718 |
7 Kommunalbanken AS | 2.125% | 3/15/19 | 14,000 | 14,152 |
Korea Development Bank | 4.375% | 8/10/15 | 15,460 | 16,236 |
Korea Development Bank | 1.000% | 1/22/16 | 4,800 | 4,787 |
Korea Development Bank | 3.250% | 3/9/16 | 25,060 | 26,108 |
Korea Development Bank | 4.000% | 9/9/16 | 4,000 | 4,262 |
Korea Development Bank | 3.875% | 5/4/17 | 24,125 | 25,649 |
Korea Development Bank | 3.500% | 8/22/17 | 22,675 | 23,865 |
Korea Development Bank | 1.500% | 1/22/18 | 5,850 | 5,709 |
7 Korea Electric Power Corp. | 3.000% | 10/5/15 | 10,800 | 11,090 |
7 Korea Expressway Corp. | 5.125% | 5/20/15 | 3,900 | 4,075 |
7 Korea Expressway Corp. | 1.875% | 10/22/17 | 1,000 | 987 |
Korea Finance Corp. | 3.250% | 9/20/16 | 9,800 | 10,250 |
Korea Finance Corp. | 2.250% | 8/7/17 | 7,725 | 7,755 |
7 Korea Gas Corp. | 6.000% | 7/15/14 | 4,500 | 4,604 |
7 Korea Hydro & Nuclear Power Co. Ltd. | 6.250% | 6/17/14 | 2,782 | 2,835 |
7 Korea Hydro & Nuclear Power Co. Ltd. | 3.125% | 9/16/15 | 4,900 | 5,047 |
7 Korea National Oil Corp. | 2.875% | 11/9/15 | 2,900 | 2,975 |
7 Korea National Oil Corp. | 4.000% | 10/27/16 | 19,201 | 20,471 |
7 Korea Resources Corp. | 2.125% | 5/2/18 | 4,675 | 4,573 |
7 Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 7,800 | 7,877 |
13 Landwirtschaftliche Rentenbank | 3.125% | 7/15/15 | 7,000 | 7,267 |
7 MDC-GMTN B.V. | 5.750% | 5/6/14 | 4,100 | 4,150 |
7 MDC-GMTN B.V. | 3.750% | 4/20/16 | 6,000 | 6,313 |
7 National Agricultural Cooperative Federation | 5.000% | 9/30/14 | 10,000 | 10,271 |
North American Development Bank | 2.300% | 10/10/18 | 3,675 | 3,660 |
North American Development Bank | 2.400% | 10/26/22 | 2,700 | 2,494 |
14 Oesterreichische Kontrollbank AG | 4.500% | 3/9/15 | 6,300 | 6,591 |
14 Oesterreichische Kontrollbank AG | 1.750% | 10/5/15 | 59,400 | 60,759 |
14 Oesterreichische Kontrollbank AG | 2.000% | 6/3/16 | 24,350 | 25,112 |
Pemex Project Funding Master Trust | 5.750% | 3/1/18 | 53,990 | 59,656 |
7 Perusahaan Penerbit SBSN Indonesia | 4.000% | 11/21/18 | 4,800 | 4,752 |
Petrobras Global Finance BV | 3.000% | 1/15/19 | 8,150 | 7,681 |
Petrobras International Finance Co. | 7.750% | 9/15/14 | 9,725 | 10,041 |
Petrobras International Finance Co. | 2.875% | 2/6/15 | 4,500 | 4,557 |
Petrobras International Finance Co. | 3.875% | 1/27/16 | 50,320 | 51,635 |
Petrobras International Finance Co. | 6.125% | 10/6/16 | 32,725 | 35,314 |
Petrobras International Finance Co. | 3.500% | 2/6/17 | 35,075 | 35,452 |
Petrobras International Finance Co. | 5.875% | 3/1/18 | 72,388 | 76,921 |
Petrobras International Finance Co. | 5.750% | 1/20/20 | 3,445 | 3,552 |
Petroleos Mexicanos | 4.875% | 3/15/15 | 47,902 | 49,878 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 6,700 | 8,071 |
30
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Petroleos Mexicanos | 6.000% | 3/5/20 | 9,800 | 10,777 | |
4,7 | Petroleum Co. of Trinidad & Tobago Ltd. | 6.000% | 5/8/22 | 2,036 | 2,158 |
7 | Petronas Capital Ltd. | 5.250% | 8/12/19 | 15,840 | 17,597 |
Petronas Global Sukuk Ltd. | 4.250% | 8/12/14 | 7,600 | 7,732 | |
Province of Manitoba | 2.625% | 7/15/15 | 7,875 | 8,125 | |
Province of Manitoba | 1.300% | 4/3/17 | 32,225 | 32,576 | |
Province of New Brunswick | 2.750% | 6/15/18 | 975 | 1,024 | |
Province of Nova Scotia | 2.375% | 7/21/15 | 43,820 | 45,048 | |
Province of Ontario | 4.100% | 6/16/14 | 9,450 | 9,582 | |
Province of Ontario | 2.950% | 2/5/15 | 10,000 | 10,268 | |
Province of Ontario | 0.950% | 5/26/15 | 36,025 | 36,303 | |
Province of Ontario | 2.700% | 6/16/15 | 82,595 | 85,190 | |
Province of Ontario | 1.875% | 9/15/15 | 62,047 | 63,507 | |
Province of Ontario | 4.750% | 1/19/16 | 19,750 | 21,318 | |
Province of Ontario | 5.450% | 4/27/16 | 5,000 | 5,523 | |
Province of Ontario | 2.300% | 5/10/16 | 116,525 | 120,496 | |
Province of Ontario | 1.000% | 7/22/16 | 16,425 | 16,489 | |
Province of Ontario | 1.600% | 9/21/16 | 83,150 | 84,727 | |
Province of Ontario | 1.100% | 10/25/17 | 33,395 | 33,166 | |
Province of Ontario | 1.200% | 2/14/18 | 5,200 | 5,151 | |
Province of Ontario | 3.000% | 7/16/18 | 15,905 | 16,834 | |
Province of Ontario | 2.450% | 6/29/22 | 7,820 | 7,430 | |
PTT Public Co. Ltd. | 3.375% | 10/25/22 | 3,000 | 2,697 | |
7,15 | Qatari Diar Finance QSC | 3.500% | 7/21/15 | 2,725 | 2,816 |
7 | Qtel International Finance Ltd. | 6.500% | 6/10/14 | 4,500 | 4,580 |
7 | Qtel International Finance Ltd. | 3.375% | 10/14/16 | 9,025 | 9,417 |
7 | Qtel International Finance Ltd. | 3.250% | 2/21/23 | 4,925 | 4,505 |
7 | Qtel International Finance Ltd. | 3.875% | 1/31/28 | 1,800 | 1,606 |
Quebec | 4.875% | 5/5/14 | 1,950 | 1,970 | |
Quebec | 4.600% | 5/26/15 | 9,750 | 10,296 | |
Quebec | 5.000% | 3/1/16 | 9,750 | 10,641 | |
Quebec | 5.125% | 11/14/16 | 11,000 | 12,268 | |
Quebec | 3.500% | 7/29/20 | 4,750 | 5,005 | |
Quebec | 2.750% | 8/25/21 | 26,285 | 26,090 | |
Quebec | 2.625% | 2/13/23 | 5,150 | 4,869 | |
4,7 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 6,882 | 7,372 |
7 | Ras Laffan Liquefied Natural Gas Co. Ltd. III | 5.500% | 9/30/14 | 8,275 | 8,493 |
7 | Republic of Austria | 1.750% | 6/17/16 | 9,750 | 10,008 |
Republic of Chile | 3.250% | 9/14/21 | 9,575 | 9,518 | |
Republic of Chile | 2.250% | 10/30/22 | 3,000 | 2,691 | |
Republic of Colombia | 8.250% | 12/22/14 | 60,341 | 64,035 | |
Republic of Colombia | 7.375% | 1/27/17 | 23,205 | 26,755 | |
Republic of Colombia | 7.375% | 3/18/19 | 29,255 | 34,901 | |
4 | Republic of Colombia | 5.625% | 2/26/44 | 11,700 | 11,630 |
Republic of Hungary | 5.750% | 11/22/23 | 6,550 | 6,525 | |
7 | Republic of Iceland | 4.875% | 6/16/16 | 3,900 | 4,070 |
7 | Republic of Indonesia | 10.375% | 5/4/14 | 9,750 | 9,843 |
7 | Republic of Indonesia | 6.875% | 3/9/17 | 13,497 | 15,150 |
Republic of Indonesia | 6.875% | 3/9/17 | 4,900 | 5,489 | |
Republic of Indonesia | 6.875% | 1/17/18 | 9,800 | 10,937 | |
Republic of Indonesia | 3.750% | 4/25/22 | 9,800 | 8,823 | |
7 | Republic of Indonesia | 6.625% | 2/17/37 | 5,150 | 5,111 |
Republic of Italy | 3.125% | 1/26/15 | 49,075 | 50,189 | |
Republic of Italy | 4.750% | 1/25/16 | 71,845 | 76,802 | |
Republic of Italy | 5.250% | 9/20/16 | 59,950 | 65,256 | |
Republic of Italy | 5.375% | 6/12/17 | 29,625 | 32,845 | |
Republic of Korea | 5.750% | 4/16/14 | 17,050 | 17,225 | |
Republic of Korea | 4.875% | 9/22/14 | 8,585 | 8,816 | |
Republic of Korea | 5.125% | 12/7/16 | 9,750 | 10,793 | |
7 | Republic of Latvia | 5.250% | 2/22/17 | 2,000 | 2,179 |
7 | Republic of Latvia | 2.750% | 1/12/20 | 4,000 | 3,809 |
Republic of Panama | 7.250% | 3/15/15 | 4,305 | 4,593 | |
Republic of Panama | 5.200% | 1/30/20 | 61,625 | 66,827 | |
Republic of Peru | 9.875% | 2/6/15 | 33,200 | 36,206 |
31
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Republic of Peru | 8.375% | 5/3/16 | 3,628 | 4,154 | |
Republic of Phillippines | 4.200% | 1/21/24 | 1,715 | 1,732 | |
Republic of Poland | 3.875% | 7/16/15 | 36,080 | 37,704 | |
Republic of Poland | 5.000% | 3/23/22 | 4,825 | 5,150 | |
Republic of Poland | 4.000% | 1/22/24 | 4,600 | 4,530 | |
7 | Republic of Romania | 4.375% | 8/22/23 | 3,800 | 3,611 |
7 | Republic of Romania | 4.875% | 1/22/24 | 7,300 | 7,201 |
7 | Republic of Serbia | 5.250% | 11/21/17 | 1,000 | 1,014 |
7 | Republic of Serbia | 5.875% | 12/3/18 | 9,925 | 10,123 |
7 | Republic of Slovakia | 4.375% | 5/21/22 | 5,500 | 5,731 |
Republic of South Africa | 6.500% | 6/2/14 | 6,900 | 7,005 | |
Republic of South Africa | 5.500% | 3/9/20 | 5,875 | 6,214 | |
Republic of Turkey | 7.000% | 9/26/16 | 128,345 | 140,666 | |
Republic of Turkey | 3.250% | 3/23/23 | 9,760 | 8,018 | |
7 | Rosneft Finance SA | 6.625% | 3/20/17 | 5,900 | 6,549 |
7 | Rosneft Finance SA | 7.875% | 3/13/18 | 11,700 | 13,364 |
Rosneft Finance SA | 7.875% | 3/13/18 | 5,310 | 6,067 | |
Russian Federation | 3.625% | 4/29/15 | 5,400 | 5,575 | |
Russian Federation | 4.875% | 9/16/23 | 9,800 | 9,832 | |
4,7 | Russian Federation | 7.500% | 3/31/30 | 14,765 | 17,024 |
4 | Russian Federation | 7.500% | 3/31/30 | 76,880 | 88,605 |
SABIC Capital II BV | 2.625% | 10/3/18 | 9,600 | 9,492 | |
Sberbank of Russia Via SB Capital SA | 5.499% | 7/7/15 | 19,500 | 20,548 | |
Sberbank of Russia Via SB Capital SA | 5.400% | 3/24/17 | 17,600 | 18,723 | |
7 | Sinopec Group Overseas Development 2012 Ltd. | 2.750% | 5/17/17 | 5,775 | 5,896 |
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 20,200 | 19,870 |
State of Israel | 5.125% | 3/1/14 | 8,925 | 8,952 | |
State of Israel | 5.500% | 11/9/16 | 4,875 | 5,435 | |
State of Israel | 4.000% | 6/30/22 | 1,900 | 1,988 | |
State of Israel | 3.150% | 6/30/23 | 6,000 | 5,763 | |
7 | State of Qatar | 5.150% | 4/9/14 | 3,200 | 3,216 |
7 | State of Qatar | 4.000% | 1/20/15 | 12,700 | 13,113 |
7 | State of Qatar | 3.125% | 1/20/17 | 8,000 | 8,400 |
Statoil ASA | 1.800% | 11/23/16 | 5,900 | 6,041 | |
Statoil ASA | 3.125% | 8/17/17 | 8,956 | 9,517 | |
Statoil ASA | 1.200% | 1/17/18 | 5,150 | 5,077 | |
Statoil ASA | 2.900% | 11/8/20 | 10,000 | 10,130 | |
Statoil ASA | 3.150% | 1/23/22 | 2,000 | 2,007 | |
Svensk Exportkredit AB | 1.750% | 10/20/15 | 56,450 | 57,711 | |
Svensk Exportkredit AB | 2.125% | 7/13/16 | 24,400 | 25,224 | |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 4,900 | 5,010 | |
7 | TDIC Finance Ltd. | 6.500% | 7/2/14 | 7,275 | 7,457 |
7 | Temasek Financial I Ltd. | 4.300% | 10/25/19 | 7,250 | 8,013 |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 4,611 |
7 | Transnet SOC Ltd. | 4.500% | 2/10/16 | 4,400 | 4,597 |
7 | Turkiye Halk Bankasi AS | 4.875% | 7/19/17 | 1,800 | 1,768 |
United Mexican States | 5.875% | 2/17/14 | 26,724 | 26,769 | |
United Mexican States | 3.500% | 1/21/21 | 44,800 | 44,669 | |
United Mexican States | 5.750% | 10/12/10 | 13,800 | 12,530 | |
Vnesheconombank Via VEB Finance plc | 5.375% | 2/13/17 | 14,985 | 15,716 | |
Vnesheconombank Via VEB Finance plc | 5.450% | 11/22/17 | 10,700 | 11,289 | |
VTB Bank OJSC Via VTB Capital SA | 6.000% | 4/12/17 | 100,450 | 106,859 | |
VTB Bank OJSC Via VTB Capital SA | 6.875% | 5/29/18 | 34,190 | 37,233 | |
Total Sovereign Bonds (Cost $4,225,913) | 4,259,495 | ||||
Taxable Municipal Bonds (0.6%) | |||||
California Department of Water Resources Water | |||||
System Revenue (Central Valley Project) | 1.871% | 12/1/19 | 9,800 | 9,573 | |
California GO | 5.250% | 4/1/14 | 4,850 | 4,890 | |
California GO | 5.950% | 3/1/18 | 26,110 | 30,058 | |
California GO | 6.200% | 10/1/19 | 13,650 | 16,290 | |
Colorado Housing & Finance Authority Employment | |||||
Compensation Special Assessment Revenue | 1.600% | 5/15/16 | 14,600 | 14,940 |
32
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 1.298% | 7/1/16 | 7,800 | 7,917 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.107% | 7/1/18 | 5,350 | 5,314 |
George Washington University District of Columbia GO | 3.485% | 9/15/22 | 4,800 | 4,704 |
Harris County TX Toll Road Revenue | 1.361% | 8/15/17 | 9,750 | 9,761 |
Illinois GO | 4.511% | 3/1/15 | 7,780 | 8,098 |
Illinois GO | 4.961% | 3/1/16 | 25,550 | 27,598 |
Illinois GO | 5.365% | 3/1/17 | 16,540 | 18,178 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 1.570% | 1/1/17 | 2,000 | 2,028 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 2.217% | 1/1/19 | 1,850 | 1,823 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
EGSL | 3.220% | 2/1/21 | 29,250 | 30,626 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
ELL | 3.450% | 2/1/22 | 13,800 | 14,656 |
6 Mississippi GO (Nissan North America, Inc. Project) | 0.870% | 11/1/17 | 12,180 | 12,213 |
6 New Mexico Educational Assistance Foundation 2013-1 | 0.870% | 1/2/25 | 30,705 | 30,565 |
6 South Carolina Public Service Authority Revenue | 1.045% | 6/1/15 | 20,000 | 20,075 |
University of California Revenue | 2.054% | 5/15/18 | 3,400 | 3,461 |
University of California Revenue | 1.745% | 5/15/19 | 6,250 | 6,151 |
6 University of California Revenue | 0.750% | 7/1/41 | 19,500 | 19,501 |
Total Taxable Municipal Bonds (Cost $293,169) | 298,420 | |||
Tax-Exempt Municipal Bonds (1.0%) | ||||
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/36 | 4,320 | 4,651 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/37 | 8,825 | 9,476 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/38 | 5,430 | 5,807 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 5.000% | 4/1/43 | 4,120 | 4,286 |
Calhoun County TX Navigation Industrial Development | ||||
Authority Port Revenue (BP plc) VRDO | 0.090% | 2/7/14 | 10,000 | 10,000 |
California GO | 5.000% | 4/1/43 | 8,010 | 8,381 |
16 California Housing Finance Agency Multifamily Housing | ||||
Revenue VRDO | 0.050% | 2/7/14 | 14,235 | 14,235 |
Cary NC Combined Enterprise System Revenue | 5.000% | 12/1/42 | 6,730 | 7,289 |
Contra Costa CA Community College District GO | 5.000% | 8/1/38 | 5,035 | 5,393 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 5.000% | 10/1/37 | 11,365 | 12,224 |
Houston TX Community College System GO | 5.000% | 2/15/43 | 7,180 | 7,664 |
Houston TX Utility System Revenue | 5.000% | 11/15/38 | 3,435 | 3,690 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.000% | 7/1/37 | 4,215 | 4,520 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.000% | 7/1/43 | 11,150 | 11,850 |
Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/35 | 10,320 | 11,184 |
7 Louisiana Public Facilities Authority Dock & Wharf | ||||
Revenue (Impala Warehousing LLC Project) | 6.500% | 7/1/36 | 6,700 | 6,220 |
Massachusetts GO | 5.000% | 8/1/37 | 17,695 | 19,034 |
Massachusetts GO | 5.000% | 8/1/41 | 35,390 | 37,782 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.000% | 5/15/38 | 8,845 | 9,561 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.000% | 10/15/41 | 8,490 | 9,019 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.000% | 5/15/43 | 5,960 | 6,370 |
New York City NY GO | 5.000% | 3/1/37 | 3,535 | 3,760 |
New York City NY Industrial Development Agency | ||||
Special Facility Revenue (American Airlines Inc. John | ||||
F. Kennedy International Airport Project) | 7.500% | 8/1/16 | 8,685 | 9,227 |
33
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.000% | 6/15/44 | 10,300 | 10,678 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.000% | 6/15/45 | 6,865 | 7,180 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.000% | 6/15/47 | 13,730 | 14,333 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.000% | 2/1/42 | 11,480 | 12,091 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.000% | 5/1/42 | 10,165 | 10,774 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.000% | 2/15/42 | 7,095 | 7,454 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.000% | 3/15/42 | 10,640 | 11,183 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.000% | 2/15/43 | 3,540 | 3,732 |
New York State Environmental Facilities Corp. Revenue | ||||
(State Revolving Funds) | 5.000% | 11/15/38 | 9,715 | 10,517 |
San Antonio TX Water Revenue | 5.000% | 5/15/40 | 17,880 | 19,182 |
San Diego CA Community College District GO | 5.000% | 8/1/43 | 23,825 | 25,344 |
St. Louis MO Metropolitan Sewer District Wastewater | ||||
System Revenue | 5.000% | 5/1/42 | 17,955 | 19,323 |
University of California Revenue | 5.000% | 5/15/36 | 5,430 | 5,882 |
University of California Revenue | 5.000% | 5/15/39 | 10,720 | 11,518 |
University of Colorado Enterprise System Revenue | 5.000% | 6/1/37 | 5,060 | 5,430 |
University of Virginia Revenue | 5.000% | 6/1/43 | 10,590 | 11,554 |
University of Washington Revenue | 5.000% | 7/1/41 | 17,940 | 19,292 |
Washington GO | 5.000% | 8/1/37 | 20,051 | 21,772 |
Washington GO | 5.000% | 8/1/38 | 21,310 | 23,068 |
Total Tax-Exempt Municipal Bonds (Cost $455,694) | 471,930 | |||
Shares | ||||
Convertible Preferred Stocks (0.0%) | ||||
9 Lehman Brothers Holdings Inc. Pfd. (Cost $28,924) | 7.250% | 29,160 | 1 | |
Temporary Cash Investment (1.3%) | ||||
Money Market Fund (1.3%) | ||||
17 Vanguard Market Liquidity Fund (Cost $631,523) | 0.130% | 631,522,655 | 631,523 | |
Total Investments (99.8%) (Cost $47,692,783) | 48,090,866 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note Futures | ||||
Contracts, Strike Price 125.50 | 2/21/14 | 1,526 | (1,168) | |
Call Options on 10-year U.S. Treasury Note Futures | ||||
Contracts, Strike Price 124.50 | 2/21/14 | 1,502 | (2,206) | |
Put Options on 10-year U.S. Treasury Note Futures | ||||
Contracts, Strike Price 122.50 | 2/21/14 | 3,028 | (95) | |
Total Liability for Options Written (Premiums Received $1,947) | (3,469) | |||
Other Assets and Liabilities—Net (0.2%) | 99,081 | |||
Net Assets (100%) | 48,186,478 |
1 Securities with a value of $60,758,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $4,768,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $4,495,000 have been segregated as collateral for open over-the-counter swap contracts.
4 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.
34
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2014
5 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.
6 Adjustable-rate security.
7 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 January 31, 2014, the aggregate value of these securities was $5,489,662,000, representing 11.4% of net assets.
8 Security made only partial principal and/or interest payments during the period ended January 31, 2014.
9 Non-income-producing security--security in default.
10 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
11 Guaranteed by the Government of Japan.
12 Guaranteed by multiple countries.
13 Guaranteed by the Federal Republic of Germany.
14 Guaranteed by the Republic of Austria.
15 Guaranteed by the State of Qatar.
16 Scheduled principal and interest payments are guaranteed by bank letter of credit.
17 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
VRDO—Variable Rate Demand Obligation.
35
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (4.2%) | |||||
U.S. Government Securities (4.2%) | |||||
1,2 | United States Treasury Note/Bond | 2.625% | 4/30/16 | 4,700 | 4,931 |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 535,000 | 536,252 | |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 15,750 | 15,460 | |
1 | United States Treasury Note/Bond | 0.625% | 4/30/18 | 133,378 | 130,043 |
1 | United States Treasury Note/Bond | 2.750% | 2/15/19 | 6,395 | 6,781 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 3,000 | 2,948 | |
1,3 | United States Treasury Note/Bond | 3.625% | 8/15/19 | 1,530 | 1,688 |
698,103 | |||||
Nonconventional Mortgage-Backed Securities (0.0%) | |||||
4,5,6 | Freddie Mac Non Gold Pool | 2.375% | 8/1/32 | 497 | 516 |
4,5,6 | Freddie Mac Non Gold Pool | 2.518% | 9/1/32 | 188 | 194 |
710 | |||||
Total U.S. Government and Agency Obligations (Cost $695,475) | 698,813 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (11.5%) | |||||
5,7 | Ally Auto Receivables Trust 2010-3 | 2.690% | 2/15/17 | 3,250 | 3,268 |
5 | Ally Auto Receivables Trust 2012-1 | 1.210% | 7/15/16 | 5,550 | 5,595 |
5 | Ally Auto Receivables Trust 2012-SN1 | 0.700% | 12/21/15 | 2,500 | 2,501 |
5 | Ally Auto Receivables Trust 2013-SN1 | 0.900% | 5/22/17 | 4,000 | 4,003 |
5,7 | Ally Master Owner Trust Series 2010-2 | 4.250% | 4/15/17 | 1,035 | 1,079 |
5,7 | Ally Master Owner Trust Series 2010-2 | 4.590% | 4/15/17 | 3,280 | 3,394 |
4,5 | Ally Master Owner Trust Series 2010-4 | 1.230% | 8/15/17 | 39,470 | 39,819 |
4,5,7 | Ally Master Owner Trust Series 2010-4 | 1.710% | 8/15/17 | 8,100 | 8,204 |
4,5,7 | Ally Master Owner Trust Series 2010-4 | 2.110% | 8/15/17 | 6,160 | 6,267 |
5 | Ally Master Owner Trust Series 2012-3 | 1.210% | 6/15/17 | 10,900 | 10,967 |
5 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 120 | 120 |
4,5 | Ally Master Owner Trust Series 2014-1 | 0.000% | 1/15/19 | 3,050 | 3,050 |
5 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 3,500 | 3,499 |
4,5,7 | American Express Credit Account Secured Note Trust | ||||
2004-2 | 0.830% | 12/15/16 | 1,000 | 1,000 | |
4,5 | American Express Credit Account Secured Note Trust | ||||
2012-4 | 0.710% | 5/15/20 | 7,000 | 6,965 | |
4,5 | American Express Issuance Trust II 2013-1 | 0.440% | 2/15/19 | 13,000 | 12,945 |
5,7 | Americold 2010 LLC Trust Series 2010-ART | 4.954% | 1/14/29 | 6,000 | 6,630 |
5,7 | Americold 2010 LLC Trust Series 2010-ART | 6.811% | 1/14/29 | 3,540 | 4,064 |
5 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 720 | 711 |
5 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 3,100 | 3,100 |
5 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 1,500 | 1,518 |
5 | AmeriCredit Automobile Receivables Trust 2013-3 | 3.000% | 7/8/19 | 2,500 | 2,524 |
5 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 1,660 | 1,690 |
5 | AmeriCredit Automobile Receivables Trust 2013-4 | 3.310% | 10/8/19 | 2,230 | 2,287 |
5 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 1,470 | 1,478 |
5 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.860% | 12/8/19 | 1,655 | 1,660 |
4,5,7 | Arkle Master Issuer plc Series 2010-1 | 1.488% | 5/17/60 | 14,170 | 14,292 |
4,5,7 | Arran Residential Mortgages Funding 2010-1 plc | 1.638% | 5/16/47 | 6,502 | 6,572 |
4,5,7 | Arran Residential Mortgages Funding 2011-1 plc | 1.688% | 11/19/47 | 4,998 | 5,057 |
5,7 | Aventura Mall Trust 2013-AVM | 3.743% | 12/5/32 | 1,100 | 1,147 |
5,7 | BAMLL Commercial Mortgage Securities Trust 2012- | ||||
PARK | 2.959% | 12/10/30 | 4,975 | 4,776 | |
5 | Banc of America Commercial Mortgage Trust 2006-4 | 5.634% | 7/10/46 | 24,950 | 27,067 |
5 | Banc of America Commercial Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 4,021 | 4,398 |
5 | Banc of America Commercial Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 4,391 | 4,809 |
5 | Banc of America Commercial Mortgage Trust 2007-2 | 5.584% | 4/10/49 | 4,292 | 4,741 |
5 | Banc of America Commercial Mortgage Trust 2007-2 | 5.635% | 4/10/49 | 11,887 | 13,210 |
5 | Banc of America Commercial Mortgage Trust 2008-1 | 6.171% | 2/10/51 | 9,527 | 10,595 |
5 | Banc of America Commercial Mortgage Trust 2008-1 | 6.215% | 2/10/51 | 24,812 | 28,324 |
4,5,7 | Bank of America Student Loan Trust 2010-1A | 1.039% | 2/25/43 | 14,242 | 14,333 |
4,5 | Bank One Issuance Trust Series 2004-C2 | 0.960% | 2/15/17 | 1,200 | 1,201 |
5,7 | Beacon Container Finance LLC 2012-1A | 3.720% | 9/20/27 | 3,259 | 3,268 |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR7 | 4.945% | 2/11/41 | 393 | 393 |
36
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR9 | 4.943% | 9/11/42 | 1,320 | 1,389 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR13 | 5.533% | 9/11/41 | 2,391 | 2,618 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.706% | 6/11/40 | 22,140 | 24,872 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.650% | 6/11/50 | 12,223 | 13,586 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.710% | 9/11/42 | 3,863 | 4,356 | |
4,5 | Brazos Higher Education Authority Inc. Series 2005-3 | 0.446% | 6/25/26 | 5,720 | 5,517 |
4,5 | Brazos Higher Education Authority Inc. Series 2010-1 | 1.138% | 5/25/29 | 2,896 | 2,926 |
4,5 | Brazos Higher Education Authority Inc. Series 2011-1 | 1.038% | 2/25/30 | 17,533 | 17,656 |
5,7 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 2,188 | 2,173 |
5,7 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 3,254 | 3,226 |
5 | Capital Auto Receivables Asset Trust 2013-1 | 0.970% | 1/22/18 | 6,550 | 6,518 |
5 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 1,550 | 1,543 |
5 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 1,700 | 1,696 |
5 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 6,485 | 6,662 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 5,020 | 5,026 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 3,400 | 3,408 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 3,045 | 3,050 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 3.220% | 5/20/19 | 1,775 | 1,779 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 2,500 | 2,509 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 650 | 653 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 2.840% | 4/22/19 | 1,000 | 1,005 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 800 | 804 |
4,5 | Capital One Multi-asset Execution Trust 2004-C2 | 1.210% | 12/15/16 | 1,988 | 1,988 |
4,5 | Capital One Multi-asset Execution Trust 2007-A1 | 0.210% | 11/15/19 | 1,130 | 1,121 |
4,5 | Capital One Multi-asset Execution Trust 2007-A2 | 0.240% | 12/16/19 | 17,225 | 17,093 |
4,5 | Capital One Multi-asset Execution Trust 2007-A5 | 0.200% | 7/15/20 | 18,644 | 18,433 |
4,5,7 | Cards II Trust 2012-4A | 0.610% | 9/15/17 | 5,910 | 5,915 |
5 | Carmax Auto Owner Trust 2013-3 | 1.910% | 3/15/19 | 2,920 | 3,000 |
5 | Carmax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 1,785 | 1,815 |
5 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 9,100 | 9,139 |
5,7 | CFCRE Commercial Mortgage Trust 2011-C1 | 5.545% | 4/15/44 | 2,900 | 3,206 |
5,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.559% | 12/15/47 | 5,260 | 5,790 |
4,5 | Chase Issuance Trust 2007-C1 | 0.620% | 4/15/19 | 6,100 | 6,028 |
4,5 | Chase Issuance Trust 2012-A10 | 0.420% | 12/16/19 | 6,000 | 5,981 |
5,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 915 | 916 |
5,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.280% | 7/15/19 | 1,100 | 1,101 |
5,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.930% | 8/17/20 | 1,190 | 1,191 |
5,7 | CIT Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 3,145 | 3,151 |
4,5 | Citibank Credit Card Issuance Trust 2005-C2 | 0.628% | 3/24/17 | 1,520 | 1,517 |
4,5 | Citibank Credit Card Issuance Trust 2008-A7 | 1.532% | 5/20/20 | 11,800 | 12,298 |
4,5 | Citibank Credit Card Issuance Trust 2013-A2 | 0.438% | 5/26/20 | 10,000 | 9,952 |
5,7 | Citibank Omni Master Trust 2009-A13 | 5.350% | 8/15/18 | 13,931 | 14,290 |
4,5,7 | Citibank Omni Master Trust 2009-A14A | 2.910% | 8/15/18 | 1,825 | 1,848 |
5,7 | Citibank Omni Master Trust 2009-A17 | 4.900% | 11/15/18 | 43,447 | 44,907 |
5 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 6,650 | 7,260 |
5 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,770 | 5,625 |
5,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 2,017 | 2,018 |
5 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 5,650 | 5,440 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 3,300 | 3,445 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 700 | 739 |
5,7 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 2,684 | 2,721 |
5,7 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 5,410 | 5,289 |
5 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 5,522 | 6,053 |
5 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 16,000 | 17,494 |
5 | COMM 2007-C9 Mortgage Trust | 5.800% | 12/10/49 | 268 | 269 |
5 | COMM 2007-C9 Mortgage Trust | 5.800% | 12/10/49 | 3,620 | 4,094 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,700 | 2,656 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 3,900 | 3,924 |
5 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 2,855 | 2,738 |
37
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 5,750 | 5,508 |
5 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,700 | 2,565 |
5 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,400 | 1,447 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 10/10/46 | 6,375 | 6,676 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.757% | 10/10/46 | 855 | 881 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.757% | 10/10/46 | 1,560 | 1,552 |
5 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 5,000 | 5,031 |
5 | COMM 2013-CCRE9 Mortgage Trust | 2.972% | 8/10/46 | 1,700 | 1,761 |
5 | COMM 2013-CCRE9 Mortgage Trust | 3.795% | 8/10/46 | 800 | 836 |
5 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 3,180 | 3,297 |
5,7 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 1,050 | 1,097 |
5 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 3,800 | 3,644 |
5,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 6,500 | 6,156 |
5 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 2,890 | 3,007 |
5 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 1,520 | 1,589 |
5 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 2,540 | 2,668 |
5 | Commercial Mortgage Trust 2005-GG5 | 5.224% | 4/10/37 | 8,150 | 8,557 |
5 | Commercial Mortgage Trust 2006-GG7 | 5.820% | 7/10/38 | 24,531 | 26,694 |
7 | Commonwealth Bank of Australia | 2.250% | 3/16/17 | 10,450 | 10,797 |
7 | Commonwealth Bank of Australia | 1.875% | 12/11/18 | 3,350 | 3,342 |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C3 | 5.791% | 6/15/38 | 747 | 812 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2007- | ||||
C1 | 5.361% | 2/15/40 | 2,094 | 2,234 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2008- | ||||
C1 | 6.039% | 2/15/41 | 5,274 | 5,803 | |
5,7 | Cronos Containers Program Ltd. 2012-2A | 3.810% | 9/18/27 | 3,337 | 3,370 |
4,5 | Discover Card Execution Note Trust 2012-A4 | 0.530% | 11/15/19 | 4,555 | 4,564 |
5 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 40,000 | 38,841 |
4,5 | Discover Card Execution Note Trust 2013-A1 | 0.460% | 8/17/20 | 18,000 | 17,927 |
7 | DNB Boligkreditt AS | 1.450% | 3/21/18 | 3,300 | 3,262 |
5,7 | Enterprise Fleet Financing LLC Series 2011-3 | 2.100% | 5/20/17 | 5,242 | 5,302 |
5,7 | Enterprise Fleet Financing LLC Series 2012-2 | 0.720% | 4/20/18 | 5,002 | 5,002 |
5,7 | Enterprise Fleet Financing LLC Series 2012-2 | 0.930% | 4/20/18 | 2,200 | 2,200 |
5,7 | Ford Credit Auto Lease Trust 2012-B | 1.100% | 12/15/15 | 2,200 | 2,208 |
5 | Ford Credit Auto Lease Trust 2013-A | 0.780% | 4/15/16 | 1,800 | 1,803 |
5 | Ford Credit Auto Lease Trust 2013-A | 1.010% | 5/15/16 | 4,000 | 4,010 |
5 | Ford Credit Auto Lease Trust 2013-A | 1.280% | 6/15/16 | 3,050 | 3,051 |
5 | Ford Credit Auto Owner Trust 2010-A | 2.930% | 11/15/15 | 1,000 | 1,021 |
5 | Ford Credit Auto Owner Trust 2010-A | 3.220% | 3/15/16 | 1,210 | 1,230 |
5 | Ford Credit Auto Owner Trust 2013-A | 1.150% | 7/15/18 | 1,850 | 1,848 |
5 | Ford Credit Auto Owner Trust 2013-A | 1.360% | 10/15/18 | 900 | 899 |
5 | Ford Credit Auto Owner Trust 2013-B | 1.110% | 10/15/18 | 1,700 | 1,780 |
5 | Ford Credit Auto Owner Trust 2013-B | 1.320% | 1/15/19 | 800 | 849 |
5 | Ford Credit Auto Owner Trust 2013-B | 1.820% | 11/15/19 | 600 | 656 |
5 | Ford Credit Auto Owner Trust 2013-C | 1.680% | 11/15/18 | 2,000 | 2,018 |
5 | Ford Credit Auto Owner Trust 2013-C | 1.910% | 3/15/19 | 1,650 | 1,677 |
5 | Ford Credit Auto Owner Trust 2013-C | 2.500% | 1/15/20 | 1,850 | 1,874 |
5 | Ford Credit Auto Owner Trust 2013-D | 1.540% | 3/15/19 | 2,800 | 2,805 |
5 | Ford Credit Auto Owner Trust 2013-D | 1.720% | 7/15/19 | 2,890 | 2,896 |
5,7 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2010-3 | 4.990% | 2/15/17 | 8,785 | 9,254 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-2 | 1.920% | 1/15/19 | 2,000 | 2,041 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-4 | 0.940% | 9/15/16 | 2,600 | 2,603 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-4 | 1.390% | 9/15/16 | 6,100 | 6,155 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.490% | 9/15/19 | 24,000 | 25,306 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.690% | 9/15/19 | 1,600 | 1,699 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 2.140% | 9/15/19 | 1,900 | 2,049 |
38
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.370% | 1/15/18 | 5,700 | 5,855 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.820% | 1/15/18 | 2,100 | 2,176 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-3 | 1.740% | 6/15/17 | 820 | 840 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.100% | 6/15/20 | 670 | 732 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.290% | 6/15/20 | 720 | 713 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.790% | 6/15/20 | 290 | 290 | |
5,7 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 1,427 | 1,418 |
5,7 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 6,243 | 6,140 |
4,5 | GE Capital Credit Card Master Note Trust Series 2011-2 | 1.160% | 5/15/19 | 10,800 | 10,814 |
5 | GE Capital Credit Card Master Note Trust Series 2012-2 | 2.220% | 1/15/22 | 30,000 | 30,017 |
5 | GE Capital Credit Card Master Note Trust Series 2012-6 | 1.360% | 8/17/20 | 2,300 | 2,274 |
4,5 | GE Dealer Floorplan Master Note Trust Series 2012-2 | 0.907% | 4/22/19 | 13,000 | 13,720 |
4,5 | GE Dealer Floorplan Master Note Trust Series 2012-4 | 0.597% | 10/20/17 | 10,000 | 10,141 |
5,7 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 18,000 | 18,300 |
4,5,7 | Golden Credit Card Trust 2012-3A | 0.610% | 7/17/17 | 12,100 | 12,104 |
4,5,7 | Golden Credit Card Trust 2013-1A | 0.410% | 2/15/18 | 9,000 | 8,987 |
5,7 | Great America Leasing Receivables 2011-1 | 2.340% | 4/15/16 | 942 | 950 |
5,7 | Great America Leasing Receivables 2013-1 | 1.160% | 5/15/18 | 2,500 | 2,575 |
5 | GS Mortgage Securities Trust 2006-GG6 | 5.506% | 4/10/38 | 1,092 | 1,091 |
5 | GS Mortgage Securities Trust 2006-GG6 | 5.553% | 4/10/38 | 13,213 | 14,181 |
5,7 | GS Mortgage Securities Trust 2010-C2 | 5.225% | 12/10/43 | 1,370 | 1,473 |
5,7 | GS Mortgage Securities Trust 2011-GC3 | 5.543% | 3/10/44 | 2,650 | 2,890 |
5,7 | GS Mortgage Securities Trust 2012-ALOHA | 3.551% | 4/10/34 | 4,100 | 4,108 |
5,7 | GS Mortgage Securities Trust 2012-BWTR | 2.954% | 11/5/34 | 6,450 | 6,110 |
5,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,117 |
5 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 3,700 | 3,584 |
5 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 1,550 | 1,484 |
5 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 2,000 | 2,068 |
5 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 800 | 839 |
5 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 3,500 | 3,642 |
5,7 | Hertz Vehicle Financing LLC 2010-1A | 3.740% | 2/25/17 | 7,930 | 8,328 |
5,7 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 7,500 | 7,889 |
5,7 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 17,800 | 17,488 |
5,7 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 3,120 | 3,141 |
5,7 | Hilton USA Trust 2013-HLT | 3.367% | 11/5/30 | 3,240 | 3,279 |
5,7 | Hilton USA Trust 2013-HLT | 3.714% | 11/5/30 | 1,455 | 1,478 |
5,7 | Hyundai Auto Lease Securitization Trust 2013-A | 0.770% | 10/17/16 | 2,000 | 2,000 |
5 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 1,700 | 1,737 |
5 | Hyundai Auto Receivables Trust 2013-B | 1.450% | 2/15/19 | 1,000 | 1,000 |
5 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 1,200 | 1,200 |
5 | Hyundai Auto Receivables Trust 2013-C | 2.480% | 3/15/19 | 2,350 | 2,410 |
5 | Hyundai Auto Receivables Trust 2013-C | 3.090% | 1/15/20 | 1,900 | 1,956 |
5 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 1,700 | 1,700 |
5 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 1,150 | 1,150 |
4,5,7 | Hyundai Floorplan Master Owner Trust Series 2013-1 | 0.510% | 5/15/18 | 4,000 | 4,008 |
4,5,7 | Hyundai Floorplan Master Owner Trust Series 2013-1 | 0.810% | 5/15/18 | 1,400 | 1,394 |
5,7 | Icon Brands Holdings LLC 2012-1 | 4.229% | 1/25/43 | 4,650 | 4,648 |
4 | Illinois Student Assistance Commission Series 2010-1 | 1.289% | 4/25/22 | 10,723 | 10,879 |
4,5,7 | Invitation Homes 2013-SFR1 Trust | 1.309% | 12/17/30 | 4,933 | 4,936 |
5,7 | Irvine Core Office Trust 2013-IRV | 2.068% | 5/15/48 | 5,846 | 5,648 |
5,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 6,000 | 5,770 |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP6 | 5.471% | 4/15/43 | 4,803 | 5,193 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP6 | 5.475% | 4/15/43 | 19,249 | 20,757 |
39
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 5.873% | 4/15/45 | 3,662 | 4,012 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-C1 | 5.716% | 2/15/51 | 25,084 | 27,644 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.746% | 2/12/51 | 4,486 | 5,020 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP10 | 5.439% | 1/15/49 | 3,294 | 3,641 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.850% | 2/15/51 | 2,849 | 3,208 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C1 | 4.608% | 6/15/43 | 10,030 | 10,925 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 3.616% | 11/15/43 | 1,250 | 1,326 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 4.070% | 11/15/43 | 1,175 | 1,244 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.508% | 11/15/43 | 2,313 | 2,532 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.508% | 11/15/43 | 2,730 | 2,924 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.388% | 2/15/46 | 6,550 | 7,149 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 4,990 | 5,467 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 5.360% | 2/15/46 | 3,170 | 3,478 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.314% | 8/15/46 | 4,000 | 4,518 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 2,800 | 2,687 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 4,070 | 3,988 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 5,900 | 5,754 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 980 | 1,017 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.944% | 12/15/46 | 2,135 | 2,229 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 5.008% | 12/15/46 | 960 | 979 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 5,378 | 5,149 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 5,000 | 5,048 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.026% | 7/15/45 | 5,000 | 5,104 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.019% | 8/15/46 | 1,300 | 1,349 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 1,400 | 1,467 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 2,300 | 2,383 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 400 | 415 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.927% | 11/15/45 | 1,750 | 1,819 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 5.081% | 11/15/45 | 1,300 | 1,343 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 2,720 | 2,847 | |
4,5 | Kentucky Higher Education Student Loan Corp. 2013-2 | 0.770% | 9/1/28 | 3,400 | 3,365 |
4,5,7 | Lanark Master Issuer plc 2012-2A | 1.638% | 12/22/54 | 2,008 | 2,038 |
4,5,7 | Lanark Master Issuer plc 2013-1A | 0.738% | 12/22/54 | 3,800 | 3,788 |
5 | LB-UBS Commercial Mortgage Trust 2006-C3 | 5.641% | 3/15/39 | 6,935 | 7,500 |
40
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 3,470 | 3,790 |
5 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 25,211 | 27,614 |
5 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 15,875 | 17,915 |
5,7 | Macquarie Equipment Funding Trust 2012-A | 0.850% | 10/22/18 | 8,570 | 8,589 |
5,7 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 1,245 | 1,296 |
5,7 | Master Credit Card Trust 2012-2A | 1.970% | 4/21/17 | 1,400 | 1,401 |
5,7 | Master Credit Card Trust 2013-3A | 2.280% | 1/22/18 | 2,100 | 2,077 |
4,5 | MBNA Credit Card Master Note Trust 2004-A3 | 0.420% | 8/16/21 | 4,990 | 4,939 |
4,5 | MBNA Credit Card Master Note Trust 2004-C2 | 1.060% | 11/15/16 | 16,655 | 16,676 |
5,7 | Mercedes-Benz Master Owner Trust 2012-A | 0.790% | 11/15/17 | 15,000 | 15,000 |
5 | Merrill Lynch Mortgage Trust 2006-C2 | 5.739% | 8/12/43 | 806 | 885 |
5 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 16,140 | 18,074 |
5 | ML-CFC Commercial Mortgage Trust 2006-2 | 5.876% | 6/12/46 | 2,785 | 3,055 |
5,7 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 2,880 | 2,921 |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 5,395 | 5,311 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 2,050 | 2,064 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 5,740 | 5,499 | |
5,7 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-CKSV | 3.277% | 10/15/30 | 6,000 | 5,668 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.085% | 8/15/46 | 1,800 | 1,872 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.824% | 10/15/46 | 810 | 850 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 2,470 | 2,366 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 2,000 | 1,899 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 5,710 | 5,494 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 1/15/47 | 2,300 | 2,369 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 1/15/47 | 1,600 | 1,648 | |
5 | Morgan Stanley Capital I Trust 2006-HQ9 | 5.728% | 7/12/44 | 6,571 | 7,195 |
5 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 3,638 | 3,982 |
5 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.908% | 6/11/49 | 7,580 | 8,485 |
5 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 7,234 | 7,996 |
5 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,440 | 2,474 |
5,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 6,000 | 5,832 |
4,5,7 | Motor 2012 plc | 0.659% | 2/25/20 | 1,090 | 1,090 |
5,7 | Motor 2012 plc | 1.286% | 2/25/20 | 2,615 | 2,622 |
7 | National Australia Bank Ltd. | 2.000% | 6/20/17 | 6,600 | 6,746 |
4,5,7 | Navistar Financial Dealer Note Master Owner Trust | ||||
Series 2013-1 | 0.828% | 1/25/18 | 6,400 | 6,410 | |
5 | Nissan Auto Lease Trust 2013-A | 0.740% | 10/15/18 | 2,000 | 1,999 |
4,5 | Nissan Master Owner Trust Receivables Series 2013-A | 0.460% | 2/15/18 | 9,000 | 8,986 |
7 | Norddeutsche Landesbank Girozentrale | 2.000% | 2/5/19 | 5,500 | 5,483 |
4 | North Carolina State Education Assistance Authority | ||||
2011-1 | 1.139% | 1/26/26 | 5,384 | 5,411 | |
5 | Royal Bank of Canada | 1.200% | 9/19/18 | 5,750 | 5,720 |
5 | Santander Drive Auto Receivables Trust 2013-1 | 1.760% | 1/15/19 | 1,070 | 1,069 |
5 | Santander Drive Auto Receivables Trust 2013-2 | 1.330% | 3/15/18 | 1,350 | 1,359 |
5 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 5,500 | 5,535 |
5 | Santander Drive Auto Receivables Trust 2013-4 | 1.590% | 10/15/18 | 2,555 | 2,561 |
5 | Santander Drive Auto Receivables Trust 2013-4 | 2.360% | 4/15/20 | 2,385 | 2,395 |
5 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 4,395 | 4,399 |
5 | Santander Drive Auto Receivables Trust 2013-5 | 2.250% | 6/17/19 | 2,780 | 2,805 |
4,5,7 | Silverstone Master Issuer plc 2010-1A | 1.736% | 1/21/55 | 18,475 | 18,810 |
4,5 | SLM Student Loan Trust 2005-5 | 0.339% | 4/25/25 | 4,298 | 4,276 |
4,5 | SLM Student Loan Trust 2006-5 | 0.349% | 1/25/27 | 3,000 | 2,945 |
4,5 | SLM Student Loan Trust 2006-6 | 0.349% | 10/27/25 | 6,500 | 6,334 |
41
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | SLM Student Loan Trust 2007-1 | 0.329% | 1/26/26 | 24,625 | 23,767 |
5,7 | SLM Student Loan Trust 2011-A | 4.370% | 4/17/28 | 1,700 | 1,822 |
5,7 | SLM Student Loan Trust 2011-B | 3.740% | 2/15/29 | 10,500 | 11,247 |
4,5,7 | SLM Student Loan Trust 2011-C | 1.560% | 12/15/23 | 2,512 | 2,532 |
5,7 | SLM Student Loan Trust 2011-C | 4.540% | 10/17/44 | 5,450 | 5,922 |
4,5,7 | SLM Student Loan Trust 2012-B | 1.260% | 12/15/21 | 1,989 | 1,994 |
5,7 | SLM Student Loan Trust 2012-B | 3.480% | 10/15/30 | 4,550 | 4,765 |
4,5,7 | SLM Student Loan Trust 2012-E | 0.910% | 10/16/23 | 8,932 | 8,942 |
4,5,7 | SLM Student Loan Trust 2013-1 | 1.210% | 5/17/27 | 5,400 | 5,316 |
5,7 | SLM Student Loan Trust 2013-1 | 2.500% | 3/15/47 | 1,800 | 1,683 |
4,5 | SLM Student Loan Trust 2013-6 | 0.808% | 6/26/28 | 4,500 | 4,521 |
5,7 | SLM Student Loan Trust 2013-B | 1.850% | 6/17/30 | 3,000 | 2,913 |
5,7 | SLM Student Loan Trust 2013-B | 3.000% | 5/16/44 | 1,400 | 1,327 |
5,7 | SLM Student Loan Trust 2013-C | 3.500% | 6/15/44 | 2,000 | 1,943 |
4,5 | SLM Student Loan Trust 2014-1 | 0.799% | 2/26/29 | 1,150 | 1,150 |
5,7 | SMART ABS Series 2011-1US Trust | 2.520% | 11/14/16 | 4,110 | 4,148 |
5,7 | SMART ABS Series 2011-2US Trust | 2.310% | 4/14/17 | 1,750 | 1,773 |
5 | SMART ABS Series 2012-4US Trust | 0.970% | 3/14/17 | 5,700 | 5,696 |
5 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 2,000 | 1,984 |
5 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 4,200 | 4,156 |
5,7 | Sonic Capital LLC 2011-1A | 5.438% | 5/20/41 | 3,156 | 3,365 |
4,5 | South Carolina Student Loan Corp. Revenue 2010-1 | 1.239% | 7/25/25 | 11,550 | 11,669 |
7 | SpareBank 1 Boligkreditt AS | 1.250% | 5/2/18 | 2,000 | 1,961 |
5,7 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 10,400 | 10,079 |
7 | Stadshypotek AB | 1.250% | 5/23/18 | 1,930 | 1,895 |
5,7 | Textainer Marine Containers Ltd. 2011-1A | 4.700% | 6/15/26 | 2,077 | 2,077 |
4,5,7 | Trade Maps_2013-1A | 0.861% | 12/10/18 | 6,460 | 6,470 |
4,5,7 | Trade Maps_2013-1A | 1.411% | 12/10/18 | 1,225 | 1,231 |
4,5,7 | Trade Maps_2013-1A | 2.411% | 12/10/18 | 670 | 676 |
5 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,200 | 1,231 |
5,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 6,000 | 5,900 |
5 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 5,055 | 4,803 |
5,7 | VNO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 8,000 | 7,639 |
5,7 | VNO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 1,100 | 1,152 |
5,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 650 | 666 |
5,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 490 | 496 |
5,7 | Volvo Financial Equipment LLC Series 2012-1 | 2.380% | 9/16/19 | 1,200 | 1,221 |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C27 | 5.765% | 7/15/45 | 11,258 | 12,149 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.559% | 10/15/48 | 4,528 | 4,978 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.572% | 10/15/48 | 25,425 | 27,814 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.297% | 11/15/48 | 3,667 | 4,024 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2007-C33 | 5.922% | 2/15/51 | 4,346 | 4,787 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2007-C34 | 5.569% | 5/15/46 | 4,817 | 4,808 | |
5 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 3,950 | 3,810 |
5 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 1,610 | 1,584 |
5 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 750 | 790 |
7 | Westpac Banking Corp. | 1.850% | 11/26/18 | 6,285 | 6,261 |
5,7 | Westpac Banking Corp. | 1.250% | 12/14/18 | 2,450 | 2,430 |
5,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 5,450 | 5,890 |
5 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 4,930 | 4,708 |
5 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 5,400 | 5,439 |
5 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 4,170 | 4,301 |
5 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 3,300 | 3,205 |
5 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 5,650 | 5,422 |
5 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,870 | 2,805 |
5 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 2,220 | 2,147 |
5 | WFRBS Commercial Mortgage Trust 2013-C15 | 2.900% | 8/15/46 | 600 | 619 |
5 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 1,900 | 1,985 |
42
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 357 | 367 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 3,365 | 3,488 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 1,895 | 1,961 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 6,340 | 6,613 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.676% | 12/15/46 | 1,085 | 1,111 |
5 | World Financial Network Credit Card Master Note Trust | ||||
Series 2013-A | 1.610% | 12/15/21 | 4,000 | 3,945 | |
4,5,7 | World Omni Master Owner Trust 2013-1 | 0.510% | 2/15/18 | 4,000 | 4,002 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,875,836) | 1,917,837 | ||||
Corporate Bonds (76.9%) | |||||
Finance (27.7%) | |||||
Banking (17.5%) | |||||
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 3,950 | 4,084 | |
AgriBank FCB | 9.125% | 7/15/19 | 5,000 | 6,434 | |
American Express Bank FSB | 6.000% | 9/13/17 | 4,250 | 4,909 | |
American Express Centurion Bank | 5.950% | 6/12/17 | 10,000 | 11,436 | |
American Express Centurion Bank | 6.000% | 9/13/17 | 5,060 | 5,845 | |
American Express Co. | 5.500% | 9/12/16 | 6,070 | 6,742 | |
American Express Co. | 6.150% | 8/28/17 | 17,000 | 19,676 | |
American Express Co. | 7.000% | 3/19/18 | 12,000 | 14,376 | |
American Express Co. | 2.650% | 12/2/22 | 18,679 | 17,660 | |
American Express Credit Corp. | 2.800% | 9/19/16 | 2,700 | 2,820 | |
Associates Corp. of North America | 6.950% | 11/1/18 | 8,855 | 10,639 | |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 8,000 | 8,096 | |
7 | Australia & New Zealand Banking Group Ltd. | 4.875% | 1/12/21 | 6,817 | 7,527 |
7 | Banco de Credito del Peru | 4.250% | 4/1/23 | 5,000 | 4,609 |
Bank of America Corp. | 6.500% | 8/1/16 | 6,375 | 7,168 | |
Bank of America Corp. | 6.000% | 9/1/17 | 1,750 | 2,001 | |
Bank of America Corp. | 5.750% | 12/1/17 | 4,000 | 4,546 | |
Bank of America Corp. | 2.000% | 1/11/18 | 7,500 | 7,502 | |
Bank of America Corp. | 5.650% | 5/1/18 | 4,500 | 5,130 | |
Bank of America Corp. | 2.600% | 1/15/19 | 9,000 | 9,048 | |
Bank of America Corp. | 7.625% | 6/1/19 | 13,000 | 16,100 | |
Bank of America Corp. | 5.625% | 7/1/20 | 19,340 | 22,020 | |
Bank of America Corp. | 5.875% | 1/5/21 | 16,010 | 18,445 | |
Bank of America Corp. | 5.000% | 5/13/21 | 15,285 | 16,746 | |
Bank of America Corp. | 5.700% | 1/24/22 | 17,000 | 19,366 | |
Bank of America Corp. | 3.300% | 1/11/23 | 29,267 | 27,954 | |
Bank of America Corp. | 4.125% | 1/22/24 | 25,000 | 25,255 | |
Bank of America NA | 5.300% | 3/15/17 | 8,877 | 9,847 | |
Bank of America NA | 6.100% | 6/15/17 | 5,000 | 5,695 | |
Bank of Montreal | 1.400% | 9/11/17 | 1,970 | 1,966 | |
Bank of Montreal | 1.450% | 4/9/18 | 5,800 | 5,720 | |
Bank of Montreal | 2.375% | 1/25/19 | 5,000 | 5,068 | |
Bank of Montreal | 2.550% | 11/6/22 | 30,000 | 28,106 | |
Bank of New York Mellon Corp. | 5.500% | 12/1/17 | 5,465 | 6,217 | |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 6,580 | 7,628 | |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 14,300 | 15,888 | |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 9,000 | 9,749 | |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 2,040 | 2,113 | |
Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 10,000 | 10,189 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 26,275 | 26,282 | |
Bank of Nova Scotia | 4.375% | 1/13/21 | 8,500 | 9,379 | |
7 | Banque Federative du Credit Mutuel SA | 2.500% | 10/29/18 | 10,800 | 10,755 |
Barclays Bank plc | 6.750% | 5/22/19 | 28,530 | 34,631 | |
Barclays Bank plc | 5.125% | 1/8/20 | 18,125 | 20,492 | |
BB&T Corp. | 4.900% | 6/30/17 | 5,300 | 5,825 | |
BB&T Corp. | 6.850% | 4/30/19 | 5,714 | 7,007 | |
BB&T Corp. | 5.250% | 11/1/19 | 12,000 | 13,614 | |
BB&T Corp. | 3.950% | 3/22/22 | 7,500 | 7,668 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 5,500 | 6,398 | |
BNP Paribas SA | 2.700% | 8/20/18 | 4,000 | 4,073 |
43
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
BNP Paribas SA | 2.400% | 12/12/18 | 7,000 | 7,015 | |
BNP Paribas SA | 5.000% | 1/15/21 | 73,350 | 80,557 | |
BNP Paribas SA | 3.250% | 3/3/23 | 34,735 | 33,126 | |
BPCE SA | 2.500% | 12/10/18 | 14,875 | 14,893 | |
Capital One NA | 1.500% | 3/22/18 | 7,000 | 6,918 | |
Citigroup Inc. | 6.000% | 8/15/17 | 3,000 | 3,427 | |
Citigroup Inc. | 6.125% | 11/21/17 | 12,491 | 14,399 | |
Citigroup Inc. | 6.125% | 5/15/18 | 15,000 | 17,422 | |
Citigroup Inc. | 8.500% | 5/22/19 | 19,317 | 24,863 | |
Citigroup Inc. | 5.375% | 8/9/20 | 31,422 | 35,581 | |
Citigroup Inc. | 4.500% | 1/14/22 | 38,500 | 40,794 | |
Citigroup Inc. | 3.375% | 3/1/23 | 18,500 | 17,669 | |
Citigroup Inc. | 3.875% | 10/25/23 | 12,000 | 11,814 | |
Citigroup Inc. | 5.500% | 9/13/25 | 9,000 | 9,490 | |
5,7,8 | Colonial BancGroup Inc. | 7.114% | 5/29/49 | 17,340 | 2 |
7 | Commerzbank AG | 8.125% | 9/19/23 | 19,000 | 20,853 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 7,750 | 7,849 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 7,000 | 7,150 | |
7 | Commonwealth Bank of Australia | 5.000% | 3/19/20 | 11,560 | 12,924 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 4,000 | 4,001 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 17,744 | 19,214 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 44,100 | 45,031 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 47,080 | 46,190 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 70,232 | 71,033 | |
Credit Suisse | 6.000% | 2/15/18 | 3,692 | 4,287 | |
Credit Suisse | 5.300% | 8/13/19 | 24,588 | 28,032 | |
Credit Suisse | 4.375% | 8/5/20 | 14,000 | 15,221 | |
Discover Bank | 7.000% | 4/15/20 | 3,665 | 4,335 | |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 4,720 | 5,473 | |
First Niagara Financial Group Inc. | 7.250% | 12/15/21 | 14,217 | 16,874 | |
FirstMerit Corp. | 4.350% | 2/4/23 | 9,000 | 9,054 | |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 3,000 | 3,436 | |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 3,880 | 4,415 | |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 3,000 | 3,020 | |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 10,225 | 11,744 | |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 1,055 | 1,077 | |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 41,500 | 41,539 | |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 15,000 | 18,266 | |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 17,155 | 19,167 | |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 16,420 | 18,951 | |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 37,857 | 41,299 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 32,535 | 36,815 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 8,300 | 8,092 | |
HSBC Bank USA NA | 6.000% | 8/9/17 | 5,055 | 5,767 | |
HSBC Bank USA NA | 4.875% | 8/24/20 | 39,478 | 42,864 | |
HSBC Holdings plc | 5.100% | 4/5/21 | 51,948 | 58,118 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 26,100 | 27,029 | |
HSBC USA Inc. | 5.000% | 9/27/20 | 8,158 | 8,871 | |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 16,591 | 17,038 | |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 17,000 | 17,269 | |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 6,000 | 6,113 | |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 3,000 | 3,427 | |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 6,000 | 6,910 | |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 8,100 | 8,083 | |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 3,395 | 3,347 | |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 3,500 | 3,493 | |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 10,650 | 12,604 | |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 21,496 | 24,004 | |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 18,510 | 19,973 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 20,480 | 21,850 | |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 22,450 | 24,357 | |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 14,235 | 15,146 | |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 25,000 | 26,601 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 23,500 | 22,725 |
44
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 9,625 | 9,218 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 6,500 | 7,445 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 10,380 | 11,912 |
KeyBank NA | 1.650% | 2/1/18 | 4,000 | 3,973 |
Lloyds Bank plc | 2.300% | 11/27/18 | 2,250 | 2,262 |
7 Lloyds Bank plc | 6.500% | 9/14/20 | 8,170 | 9,359 |
Lloyds Bank plc | 6.375% | 1/21/21 | 38,592 | 46,775 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 8,555 | 9,952 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 7,500 | 7,516 |
Merrill Lynch & Co. Inc. | 6.400% | 8/28/17 | 7,850 | 9,085 |
Merrill Lynch & Co. Inc. | 6.875% | 4/25/18 | 8,123 | 9,663 |
Merrill Lynch & Co. Inc. | 6.875% | 11/15/18 | 2,797 | 3,347 |
Morgan Stanley | 5.450% | 1/9/17 | 3,000 | 3,341 |
Morgan Stanley | 5.550% | 4/27/17 | 2,300 | 2,570 |
Morgan Stanley | 5.950% | 12/28/17 | 2,000 | 2,287 |
Morgan Stanley | 6.625% | 4/1/18 | 5,700 | 6,678 |
Morgan Stanley | 2.125% | 4/25/18 | 3,000 | 2,995 |
Morgan Stanley | 2.500% | 1/24/19 | 5,650 | 5,631 |
Morgan Stanley | 7.300% | 5/13/19 | 15,000 | 18,333 |
Morgan Stanley | 5.625% | 9/23/19 | 20,500 | 23,414 |
Morgan Stanley | 5.500% | 1/26/20 | 20,535 | 23,140 |
Morgan Stanley | 5.500% | 7/24/20 | 12,000 | 13,509 |
Morgan Stanley | 5.750% | 1/25/21 | 24,000 | 27,332 |
Morgan Stanley | 5.500% | 7/28/21 | 13,600 | 15,339 |
Morgan Stanley | 3.750% | 2/25/23 | 7,000 | 6,905 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 20,190 | 19,300 |
Northern Trust Co. | 5.850% | 11/9/17 | 7,280 | 8,217 |
Northern Trust Co. | 6.500% | 8/15/18 | 4,000 | 4,756 |
Northern Trust Corp. | 3.450% | 11/4/20 | 8,000 | 8,411 |
Northern Trust Corp. | 3.375% | 8/23/21 | 13,036 | 13,453 |
People's United Financial Inc. | 3.650% | 12/6/22 | 25,905 | 25,236 |
PNC Bank NA | 6.000% | 12/7/17 | 4,500 | 5,176 |
PNC Bank NA | 6.875% | 4/1/18 | 12,085 | 14,330 |
PNC Bank NA | 2.200% | 1/28/19 | 4,630 | 4,642 |
PNC Bank NA | 2.700% | 11/1/22 | 32,000 | 29,880 |
PNC Bank NA | 2.950% | 1/30/23 | 15,000 | 14,147 |
PNC Bank NA | 3.800% | 7/25/23 | 15,750 | 15,751 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 2,000 | 1,909 |
PNC Funding Corp. | 6.700% | 6/10/19 | 12,000 | 14,592 |
PNC Funding Corp. | 5.125% | 2/8/20 | 18,653 | 21,253 |
PNC Funding Corp. | 4.375% | 8/11/20 | 23,000 | 25,240 |
PNC Funding Corp. | 3.300% | 3/8/22 | 14,570 | 14,570 |
Regions Bank | 7.500% | 5/15/18 | 8,775 | 10,374 |
Regions Financial Corp. | 2.000% | 5/15/18 | 2,000 | 1,959 |
Royal Bank of Canada | 2.200% | 7/27/18 | 7,245 | 7,359 |
Royal Bank of Scotland Group plc | 4.700% | 7/3/18 | 2,000 | 2,079 |
Royal Bank of Scotland Group plc | 6.100% | 6/10/23 | 5,000 | 5,118 |
Royal Bank of Scotland Group plc | 6.000% | 12/19/23 | 7,000 | 7,078 |
Royal Bank of Scotland NV | 4.650% | 6/4/18 | 1,550 | 1,607 |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 29,026 | 33,040 |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 29,500 | 34,428 |
Santander Bank NA | 8.750% | 5/30/18 | 5,000 | 6,049 |
7 Societe Generale SA | 5.000% | 1/17/24 | 16,230 | 16,167 |
State Street Corp. | 1.350% | 5/15/18 | 3,000 | 2,937 |
State Street Corp. | 4.375% | 3/7/21 | 22,340 | 24,816 |
State Street Corp. | 3.100% | 5/15/23 | 20,125 | 19,078 |
State Street Corp. | 3.700% | 11/20/23 | 18,720 | 18,873 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 13,500 | 13,255 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 3,700 | 3,800 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 6,995 | 7,052 |
UBS AG | 5.875% | 12/20/17 | 13,050 | 14,995 |
UBS AG | 4.875% | 8/4/20 | 51,600 | 57,747 |
Union Bank NA | 5.950% | 5/11/16 | 1,131 | 1,256 |
Union Bank NA | 2.125% | 6/16/17 | 3,695 | 3,766 |
45
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
UnionBanCal Corp. | 3.500% | 6/18/22 | 21,891 | 22,050 |
US Bancorp | 4.125% | 5/24/21 | 24,013 | 25,904 |
US Bancorp | 3.000% | 3/15/22 | 18,724 | 18,459 |
US Bancorp | 2.950% | 7/15/22 | 35,200 | 33,498 |
US Bancorp | 3.700% | 1/30/24 | 7,000 | 7,059 |
5 US Bank NA | 3.778% | 4/29/20 | 6,395 | 6,624 |
Wachovia Bank NA | 6.000% | 11/15/17 | 8,000 | 9,269 |
Wachovia Corp. | 5.625% | 10/15/16 | 8,000 | 8,952 |
Wachovia Corp. | 5.750% | 6/15/17 | 4,280 | 4,882 |
Wachovia Corp. | 5.750% | 2/1/18 | 11,025 | 12,743 |
8 Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.500% | 1/15/13 | 6,147 | 1 |
8 Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.650% | 8/15/14 | 7,500 | 1 |
8 Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.125% | 1/15/15 | 9,000 | 1 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 11,400 | 13,097 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 18,636 | 18,676 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 22,443 | 24,710 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 23,772 | 24,040 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 36,700 | 35,239 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 15,500 | 15,470 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 3,390 | 3,383 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 9,010 | 9,144 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 32,795 | 36,736 |
Brokerage (1.2%) | ||||
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 6,200 | 7,721 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 26,570 | 30,416 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 14,000 | 14,293 |
BlackRock Inc. | 4.250% | 5/24/21 | 27,250 | 29,469 |
BlackRock Inc. | 3.375% | 6/1/22 | 12,000 | 12,170 |
Charles Schwab Corp. | 6.375% | 9/1/17 | 6,000 | 6,925 |
Charles Schwab Corp. | 2.200% | 7/25/18 | 1,300 | 1,315 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 6,500 | 7,161 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 15,000 | 14,818 |
Franklin Resources Inc. | 4.625% | 5/20/20 | 7,550 | 8,329 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 11,000 | 10,551 |
Invesco Finance plc | 3.125% | 11/30/22 | 22,485 | 21,684 |
Invesco Finance plc | 4.000% | 1/30/24 | 23,500 | 23,924 |
Jefferies Group LLC | 6.875% | 4/15/21 | 8,000 | 9,247 |
Jefferies Group LLC | 5.125% | 1/20/23 | 5,000 | 5,213 |
8 Lehman Brothers Holdings Inc. | 6.500% | 7/19/17 | 20,000 | 4 |
Finance Companies (2.0%) | ||||
Air Lease Corp. | 3.375% | 1/15/19 | 8,000 | 8,000 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 2,760 | 3,099 |
General Electric Capital Corp. | 2.300% | 4/27/17 | 2,000 | 2,064 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 6,192 | 7,072 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 12,975 | 14,972 |
General Electric Capital Corp. | 2.300% | 1/14/19 | 3,710 | 3,746 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 12,900 | 15,279 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 20,772 | 24,006 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 4,000 | 4,638 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 24,250 | 26,520 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 17,692 | 19,489 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 13,500 | 15,179 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 35,847 | 39,344 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 17,145 | 16,766 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 1,000 | 965 |
5 General Electric Capital Corp. | 6.375% | 11/15/67 | 7,000 | 7,595 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 89,189 | 103,655 |
SLM Corp. | 6.250% | 1/25/16 | 9,000 | 9,678 |
SLM Corp. | 6.000% | 1/25/17 | 9,020 | 9,779 |
SLM Corp. | 4.625% | 9/25/17 | 5,000 | 5,165 |
46
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Insurance (4.5%) | ||||
ACE INA Holdings Inc. | 2.700% | 3/13/23 | 11,195 | 10,494 |
Aetna Inc. | 6.500% | 9/15/18 | 10,318 | 12,291 |
Aetna Inc. | 3.950% | 9/1/20 | 12,000 | 12,783 |
Aetna Inc. | 2.750% | 11/15/22 | 24,000 | 22,563 |
Aflac Inc. | 8.500% | 5/15/19 | 9,940 | 12,881 |
Aflac Inc. | 4.000% | 2/15/22 | 5,000 | 5,199 |
Aflac Inc. | 3.625% | 6/15/23 | 16,000 | 15,868 |
Alleghany Corp. | 4.950% | 6/27/22 | 2,586 | 2,765 |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 2,000 | 2,245 |
Allstate Corp. | 3.150% | 6/15/23 | 10,000 | 9,793 |
5 Allstate Corp. | 5.750% | 8/15/53 | 5,000 | 5,063 |
Alterra Finance LLC | 6.250% | 9/30/20 | 8,000 | 9,181 |
American Financial Group Inc. | 9.875% | 6/15/19 | 10,000 | 13,049 |
American International Group Inc. | 5.850% | 1/16/18 | 14,174 | 16,315 |
American International Group Inc. | 8.250% | 8/15/18 | 19,700 | 24,738 |
American International Group Inc. | 3.375% | 8/15/20 | 3,000 | 3,059 |
American International Group Inc. | 6.400% | 12/15/20 | 15,000 | 17,881 |
American International Group Inc. | 4.875% | 6/1/22 | 4,650 | 5,070 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 13,000 | 13,245 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 21,240 | 24,086 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 12,000 | 13,084 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 11,360 | 11,237 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 20,000 | 21,005 |
Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 7,706 | 7,901 |
5 Chubb Corp. | 6.375% | 3/29/67 | 4,900 | 5,390 |
Cigna Corp. | 4.500% | 3/15/21 | 5,000 | 5,397 |
Cigna Corp. | 4.000% | 2/15/22 | 10,645 | 11,030 |
CNA Financial Corp. | 5.875% | 8/15/20 | 5,000 | 5,797 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 5,000 | 5,649 |
Genworth Holdings Inc. | 7.700% | 6/15/20 | 3,000 | 3,647 |
Genworth Holdings Inc. | 7.200% | 2/15/21 | 3,000 | 3,515 |
Genworth Holdings Inc. | 7.625% | 9/24/21 | 5,000 | 6,054 |
Genworth Holdings Inc. | 4.900% | 8/15/23 | 3,000 | 3,043 |
Genworth Holdings Inc. | 4.800% | 2/15/24 | 6,000 | 5,996 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 2,880 | 3,179 |
Humana Inc. | 3.150% | 12/1/22 | 1,000 | 950 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 10,547 | 10,852 |
7 Jackson National Life Global Funding | 4.700% | 6/1/18 | 2,500 | 2,654 |
Lincoln National Corp. | 4.200% | 3/15/22 | 2,000 | 2,087 |
Loews Corp. | 2.625% | 5/15/23 | 8,000 | 7,324 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 24,150 | 26,364 |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 5,000 | 5,064 |
7 MassMutual Global Funding II | 2.500% | 10/17/22 | 4,000 | 3,699 |
MetLife Inc. | 7.717% | 2/15/19 | 9,439 | 11,831 |
MetLife Inc. | 4.750% | 2/8/21 | 25,000 | 27,664 |
MetLife Inc. | 3.048% | 12/15/22 | 7,000 | 6,729 |
MetLife Inc. | 4.368% | 9/15/23 | 31,430 | 32,785 |
7 Metropolitan Life Global Funding I | 3.000% | 1/10/23 | 3,500 | 3,354 |
7 Nationwide Financial Services Inc. | 5.375% | 3/25/21 | 9,938 | 10,844 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 4,000 | 4,014 |
7 Pacific LifeCorp | 6.000% | 2/10/20 | 9,800 | 11,191 |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 3,857 | 4,473 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 16,550 | 18,478 |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 11,195 | 14,437 |
ProAssurance Corp. | 5.300% | 11/15/23 | 5,000 | 5,277 |
Progressive Corp. | 3.750% | 8/23/21 | 13,250 | 13,936 |
Progressive Corp. | 6.700% | 6/15/67 | 6,500 | 7,052 |
5 Prudential Financial Inc. | 5.875% | 9/15/42 | 6,000 | 6,143 |
5 Prudential Financial Inc. | 5.625% | 6/15/43 | 7,875 | 7,875 |
5 Prudential Financial Inc. | 5.200% | 3/15/44 | 2,500 | 2,406 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 5,000 | 5,374 |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 3,000 | 3,136 |
47
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Swiss Re Solutions Holding Corp. | 6.450% | 3/1/19 | 11,250 | 13,050 |
7 Swiss Re Treasury US Corp. | 2.875% | 12/6/22 | 2,000 | 1,891 |
Torchmark Corp. | 9.250% | 6/15/19 | 3,000 | 3,892 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 2,328 | 2,687 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 3,000 | 3,548 |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,405 | 4,716 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 3,000 | 3,059 |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 14,000 | 14,936 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 13,000 | 14,435 |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 8,000 | 8,107 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 34,316 | 33,286 |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 12,000 | 11,309 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 14,000 | 13,354 |
WellPoint Inc. | 4.350% | 8/15/20 | 2,000 | 2,155 |
WellPoint Inc. | 3.700% | 8/15/21 | 8,090 | 8,229 |
WR Berkley Corp. | 4.625% | 3/15/22 | 2,977 | 3,134 |
Other Finance (0.4%) | ||||
CME Group Inc. | 3.000% | 9/15/22 | 10,805 | 10,548 |
IntercontinentalExchange Group Inc. | 4.000% | 10/15/23 | 34,330 | 35,275 |
NYSE Euronext | 2.000% | 10/5/17 | 8,000 | 8,125 |
ORIX Corp. | 3.750% | 3/9/17 | 5,500 | 5,762 |
Real Estate Investment Trusts (2.1%) | ||||
American Campus Communities Operating Partnership | ||||
LP | 3.750% | 4/15/23 | 2,000 | 1,898 |
BioMed Realty LP | 4.250% | 7/15/22 | 9,082 | 8,987 |
Boston Properties LP | 3.850% | 2/1/23 | 6,373 | 6,364 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 5,000 | 5,440 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 2,000 | 1,947 |
Camden Property Trust | 4.875% | 6/15/23 | 5,000 | 5,359 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 14,525 | 13,490 |
DDR Corp. | 7.500% | 4/1/17 | 1,750 | 2,037 |
DDR Corp. | 4.750% | 4/15/18 | 3,000 | 3,272 |
DDR Corp. | 7.875% | 9/1/20 | 5,000 | 6,243 |
Duke Realty LP | 6.500% | 1/15/18 | 5 | 6 |
Duke Realty LP | 4.375% | 6/15/22 | 11,838 | 11,941 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 13,924 | 13,457 |
7 Goodman Funding Pty Ltd. | 6.375% | 4/15/21 | 2,400 | 2,729 |
7 Goodman Funding Pty Ltd. | 6.000% | 3/22/22 | 5,000 | 5,506 |
HCP Inc. | 2.625% | 2/1/20 | 7,000 | 6,781 |
HCP Inc. | 5.375% | 2/1/21 | 11,600 | 12,893 |
HCP Inc. | 3.150% | 8/1/22 | 2,000 | 1,886 |
HCP Inc. | 4.250% | 11/15/23 | 3,000 | 3,031 |
Health Care REIT Inc. | 6.125% | 4/15/20 | 5,000 | 5,751 |
Health Care REIT Inc. | 4.950% | 1/15/21 | 8,000 | 8,613 |
Health Care REIT Inc. | 3.750% | 3/15/23 | 5,000 | 4,839 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 5,000 | 5,513 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 7,000 | 6,644 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 13,030 | 12,394 |
Highwoods Realty LP | 3.625% | 1/15/23 | 11,065 | 10,429 |
Kilroy Realty LP | 6.625% | 6/1/20 | 7,470 | 8,796 |
Kilroy Realty LP | 3.800% | 1/15/23 | 5,736 | 5,525 |
Liberty Property LP | 4.750% | 10/1/20 | 9,565 | 10,208 |
Liberty Property LP | 4.400% | 2/15/24 | 4,000 | 4,023 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,000 | 1,995 |
Realty Income Corp. | 3.250% | 10/15/22 | 12,000 | 11,302 |
Senior Housing Properties Trust | 6.750% | 12/15/21 | 4,000 | 4,485 |
Simon Property Group LP | 10.350% | 4/1/19 | 10,815 | 14,757 |
Simon Property Group LP | 5.650% | 2/1/20 | 31,200 | 36,308 |
Simon Property Group LP | 4.375% | 3/1/21 | 26,594 | 28,838 |
Simon Property Group LP | 4.125% | 12/1/21 | 20,822 | 22,071 |
Simon Property Group LP | 3.375% | 3/15/22 | 7,000 | 6,978 |
Simon Property Group LP | 2.750% | 2/1/23 | 8,500 | 7,993 |
Simon Property Group LP | 3.750% | 2/1/24 | 8,000 | 8,007 |
48
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
UDR Inc. | 4.625% | 1/10/22 | 3,455 | 3,641 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 3,000 | 3,208 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 3,000 | 3,074 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 5,000 | 4,731 |
4,626,585 | ||||
Industrial (41.7%) | ||||
Basic Industry (3.5%) | ||||
Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 7,325 | 8,082 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 10,235 | 10,116 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 18,500 | 17,313 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 5,000 | 4,628 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 11,930 | 11,783 |
Barrick PD Australia Finance Pty Ltd. | 4.950% | 1/15/20 | 1,062 | 1,114 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 4,122 | 4,190 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 5,555 | 6,267 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 29,030 | 29,633 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 30,050 | 29,425 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 27,500 | 28,079 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 3,500 | 3,546 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 4,000 | 3,932 |
CF Industries Inc. | 7.125% | 5/1/20 | 3,480 | 4,124 |
CF Industries Inc. | 3.450% | 6/1/23 | 5,685 | 5,300 |
Dow Chemical Co. | 4.125% | 11/15/21 | 5,250 | 5,454 |
Dow Chemical Co. | 3.000% | 11/15/22 | 4,000 | 3,777 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 8,139 | 8,591 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 19,618 | 21,709 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 13,635 | 14,209 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 4,000 | 4,325 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 12,225 | 11,504 |
Freeport-McMoRan Copper & Gold Inc. | 3.100% | 3/15/20 | 4,300 | 4,235 |
Freeport-McMoRan Copper & Gold Inc. | 3.550% | 3/1/22 | 13,000 | 12,427 |
Freeport-McMoRan Copper & Gold Inc. | 3.875% | 3/15/23 | 16,000 | 15,294 |
Goldcorp Inc. | 3.700% | 3/15/23 | 4,000 | 3,690 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 8,000 | 8,900 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 5,000 | 5,800 |
Nucor Corp. | 4.125% | 9/15/22 | 19,250 | 19,635 |
Plains Exploration & Production Co. | 6.125% | 6/15/19 | 2,105 | 2,300 |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 8,945 | 9,795 |
Plains Exploration & Production Co. | 6.625% | 5/1/21 | 4,000 | 4,380 |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 7,615 | 8,348 |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 7,600 | 8,398 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 7,410 | 8,845 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 3,110 | 3,487 |
Praxair Inc. | 4.500% | 8/15/19 | 3,000 | 3,363 |
Praxair Inc. | 4.050% | 3/15/21 | 8,000 | 8,540 |
Praxair Inc. | 3.000% | 9/1/21 | 16,915 | 16,847 |
Praxair Inc. | 2.450% | 2/15/22 | 11,215 | 10,632 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 13,000 | 17,092 |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 19,000 | 19,466 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 26,935 | 28,508 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 22,820 | 23,523 |
Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 7,500 | 7,532 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 25,000 | 24,826 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 10,000 | 9,429 |
Syngenta Finance NV | 3.125% | 3/28/22 | 8,895 | 8,741 |
Teck Resources Ltd. | 3.000% | 3/1/19 | 2,000 | 2,048 |
Teck Resources Ltd. | 4.500% | 1/15/21 | 2,000 | 2,068 |
Teck Resources Ltd. | 3.750% | 2/1/23 | 5,000 | 4,757 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 18,000 | 19,570 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 5,000 | 5,139 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 10,500 | 10,165 |
7 Xstrata Finance Canada Ltd. | 4.950% | 11/15/21 | 5,000 | 5,163 |
49
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Capital Goods (5.4%) | ||||
ABB Finance USA Inc. | 2.875% | 5/8/22 | 5,000 | 4,848 |
7 ABB Treasury Center USA Inc. | 4.000% | 6/15/21 | 7,000 | 7,379 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 10,000 | 10,984 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 6,907 | 7,262 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 4,032 | 4,578 |
Boeing Co. | 3.750% | 11/20/16 | 3,300 | 3,570 |
Boeing Co. | 0.950% | 5/15/18 | 9,985 | 9,708 |
Boeing Co. | 6.000% | 3/15/19 | 2,750 | 3,281 |
Boeing Co. | 4.875% | 2/15/20 | 21,680 | 24,592 |
Caterpillar Financial Services Corp. | 5.500% | 3/15/16 | 2,000 | 2,186 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 775 | 770 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 14,406 | 16,481 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 14,000 | 17,346 |
Caterpillar Inc. | 7.900% | 12/15/18 | 10,215 | 13,019 |
Caterpillar Inc. | 3.900% | 5/27/21 | 6,000 | 6,377 |
Crane Co. | 4.450% | 12/15/23 | 2,000 | 2,056 |
CRH America Inc. | 6.000% | 9/30/16 | 18,126 | 20,265 |
Danaher Corp. | 2.300% | 6/23/16 | 9,350 | 9,694 |
Danaher Corp. | 5.400% | 3/1/19 | 2,535 | 2,934 |
Danaher Corp. | 3.900% | 6/23/21 | 19,577 | 20,803 |
Deere & Co. | 4.375% | 10/16/19 | 11,850 | 13,194 |
Deere & Co. | 2.600% | 6/8/22 | 25,000 | 23,999 |
Dover Corp. | 4.300% | 3/1/21 | 7,000 | 7,576 |
7 EADS Finance BV | 2.700% | 4/17/23 | 18,000 | 17,012 |
7 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 7,025 | 7,048 |
Embraer SA | 5.150% | 6/15/22 | 8,000 | 8,003 |
Emerson Electric Co. | 4.875% | 10/15/19 | 4,000 | 4,553 |
Emerson Electric Co. | 2.625% | 2/15/23 | 17,990 | 17,364 |
Flowserve Corp. | 3.500% | 9/15/22 | 5,000 | 4,862 |
General Dynamics Corp. | 1.000% | 11/15/17 | 4,075 | 4,012 |
General Dynamics Corp. | 3.875% | 7/15/21 | 23,155 | 24,546 |
General Dynamics Corp. | 2.250% | 11/15/22 | 20,000 | 18,469 |
General Electric Co. | 5.250% | 12/6/17 | 12,925 | 14,710 |
General Electric Co. | 2.700% | 10/9/22 | 40,000 | 38,320 |
Harsco Corp. | 5.750% | 5/15/18 | 7,065 | 7,539 |
Honeywell International Inc. | 5.300% | 3/1/18 | 9,772 | 11,203 |
Honeywell International Inc. | 5.000% | 2/15/19 | 7,409 | 8,443 |
Honeywell International Inc. | 4.250% | 3/1/21 | 22,075 | 24,235 |
Honeywell International Inc. | 3.350% | 12/1/23 | 7,500 | 7,550 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 9,950 | 11,918 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 5,000 | 5,127 |
7 Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 7,000 | 7,119 |
John Deere Capital Corp. | 2.000% | 1/13/17 | 9,500 | 9,769 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 1,250 | 1,248 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 3,000 | 3,434 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 8,000 | 9,364 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 8,400 | 8,477 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 7,000 | 6,744 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 12,180 | 12,931 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 8,050 | 8,160 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 12,800 | 12,481 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 4,000 | 3,846 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 8,500 | 9,358 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 4,000 | 4,257 |
Lockheed Martin Corp. | 7.650% | 5/1/16 | 5,000 | 5,771 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 22,810 | 24,927 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 18,817 | 19,172 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 15,000 | 14,699 |
Owens Corning | 6.500% | 12/1/16 | 2,102 | 2,330 |
Owens Corning | 9.000% | 6/15/19 | 1,179 | 1,460 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 12,735 | 12,578 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 22,000 | 20,598 |
50
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Raytheon Co. | 6.400% | 12/15/18 | 5,725 | 6,850 |
Raytheon Co. | 4.400% | 2/15/20 | 5,845 | 6,444 |
Raytheon Co. | 3.125% | 10/15/20 | 17,285 | 17,685 |
Raytheon Co. | 2.500% | 12/15/22 | 23,300 | 21,759 |
Republic Services Inc. | 5.500% | 9/15/19 | 7,400 | 8,442 |
Republic Services Inc. | 5.000% | 3/1/20 | 4,400 | 4,900 |
Republic Services Inc. | 5.250% | 11/15/21 | 4,000 | 4,473 |
Republic Services Inc. | 3.550% | 6/1/22 | 3,000 | 2,983 |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 5,000 | 5,649 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 4,000 | 3,986 |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 6,250 | 6,369 |
Roper Industries Inc. | 2.050% | 10/1/18 | 3,175 | 3,141 |
Roper Industries Inc. | 6.250% | 9/1/19 | 2,700 | 3,144 |
Roper Industries Inc. | 3.125% | 11/15/22 | 3,000 | 2,844 |
7 Schneider Electric SA | 2.950% | 9/27/22 | 15,000 | 14,335 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 7,000 | 6,763 |
United Technologies Corp. | 1.800% | 6/1/17 | 4,000 | 4,088 |
United Technologies Corp. | 5.375% | 12/15/17 | 3,005 | 3,449 |
United Technologies Corp. | 6.125% | 2/1/19 | 5,500 | 6,571 |
United Technologies Corp. | 4.500% | 4/15/20 | 20,500 | 22,859 |
United Technologies Corp. | 3.100% | 6/1/22 | 64,930 | 64,695 |
Waste Management Inc. | 7.375% | 3/11/19 | 4,250 | 5,231 |
Waste Management Inc. | 2.900% | 9/15/22 | 6,500 | 6,161 |
Communication (5.4%) | ||||
21st Century Fox America Inc. | 6.900% | 3/1/19 | 7,000 | 8,498 |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 6,000 | 5,761 |
America Movil SAB de CV | 5.000% | 10/16/19 | 12,000 | 13,283 |
America Movil SAB de CV | 5.000% | 3/30/20 | 32,500 | 35,512 |
America Movil SAB de CV | 3.125% | 7/16/22 | 39,300 | 36,691 |
American Tower Corp. | 4.500% | 1/15/18 | 10,000 | 10,914 |
American Tower Corp. | 3.500% | 1/31/23 | 7,000 | 6,601 |
American Tower Corp. | 5.000% | 2/15/24 | 5,000 | 5,258 |
AT&T Inc. | 5.500% | 2/1/18 | 22,085 | 25,095 |
AT&T Inc. | 2.375% | 11/27/18 | 4,000 | 4,033 |
AT&T Inc. | 5.800% | 2/15/19 | 27,849 | 32,361 |
AT&T Inc. | 4.450% | 5/15/21 | 22,500 | 24,102 |
AT&T Inc. | 3.875% | 8/15/21 | 25,729 | 26,449 |
AT&T Inc. | 3.000% | 2/15/22 | 48,396 | 45,998 |
AT&T Inc. | 2.625% | 12/1/22 | 9,000 | 8,182 |
7 British Sky Broadcasting Group plc | 6.100% | 2/15/18 | 4,470 | 5,086 |
7 British Sky Broadcasting Group plc | 9.500% | 11/15/18 | 9,640 | 12,638 |
7 British Sky Broadcasting Group plc | 3.125% | 11/26/22 | 5,000 | 4,782 |
CBS Corp. | 8.875% | 5/15/19 | 3,458 | 4,483 |
CBS Corp. | 4.300% | 2/15/21 | 3,000 | 3,160 |
CBS Corp. | 3.375% | 3/1/22 | 3,000 | 2,937 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 2,185 | 2,104 |
Cellco Partnership / Verizon Wireless Capital LLC | 8.500% | 11/15/18 | 25,000 | 32,074 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 3,400 | 4,191 |
Comcast Corp. | 5.700% | 5/15/18 | 2,767 | 3,204 |
Comcast Corp. | 5.700% | 7/1/19 | 12,568 | 14,677 |
Comcast Corp. | 5.150% | 3/1/20 | 23,720 | 26,921 |
Comcast Corp. | 3.125% | 7/15/22 | 26,126 | 25,528 |
Comcast Corp. | 2.850% | 1/15/23 | 4,487 | 4,248 |
7 Deutsche Telekom International Finance BV | 2.250% | 3/6/17 | 7,395 | 7,572 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 7,500 | 8,259 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 9,375 | 9,869 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 10,637 | 11,436 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 8,800 | 8,578 |
Discovery Communications LLC | 4.375% | 6/15/21 | 5,000 | 5,295 |
Discovery Communications LLC | 3.300% | 5/15/22 | 5,000 | 4,865 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 16,000 | 15,546 |
Moody's Corp. | 4.500% | 9/1/22 | 16,700 | 17,179 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 27,060 | 30,570 |
51
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 28,600 | 30,753 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 10,000 | 9,450 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 14,200 | 15,366 |
Orange SA | 2.750% | 2/6/19 | 6,200 | 6,230 |
Orange SA | 4.125% | 9/14/21 | 6,400 | 6,579 |
Qwest Corp. | 6.750% | 12/1/21 | 12,628 | 14,113 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 9,000 | 10,208 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 9,000 | 9,751 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 9,000 | 9,771 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 3,000 | 3,031 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 12,000 | 12,241 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 2,000 | 2,196 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 6,000 | 6,783 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 15,000 | 17,733 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 8,363 | 8,610 |
Verizon Communications Inc. | 5.500% | 4/1/17 | 1,200 | 1,350 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 5,825 | 6,609 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 3,640 | 4,230 |
Verizon Communications Inc. | 8.750% | 11/1/18 | 15,594 | 20,082 |
Verizon Communications Inc. | 6.350% | 4/1/19 | 8,806 | 10,463 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 18,000 | 19,445 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 10,971 | 11,053 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 7,200 | 6,523 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 25,000 | 27,213 |
Vodafone Group plc | 1.250% | 9/26/17 | 8,200 | 8,136 |
Vodafone Group plc | 1.500% | 2/19/18 | 11,750 | 11,589 |
Vodafone Group plc | 5.450% | 6/10/19 | 6,000 | 6,896 |
Vodafone Group plc | 4.375% | 3/16/21 | 4,500 | 4,858 |
Vodafone Group plc | 2.500% | 9/26/22 | 23,885 | 21,815 |
Vodafone Group plc | 2.950% | 2/19/23 | 15,000 | 14,110 |
WPP Finance 2010 | 4.750% | 11/21/21 | 5,000 | 5,335 |
WPP Finance 2010 | 3.625% | 9/7/22 | 3,172 | 3,132 |
Consumer Cyclical (4.7%) | ||||
American Honda Finance Corp. | 2.125% | 10/10/18 | 7,500 | 7,625 |
AutoZone Inc. | 4.000% | 11/15/20 | 7,000 | 7,376 |
AutoZone Inc. | 3.700% | 4/15/22 | 3,000 | 3,002 |
AutoZone Inc. | 2.875% | 1/15/23 | 8,500 | 7,927 |
Brinker International Inc. | 3.875% | 5/15/23 | 13,000 | 12,062 |
Cummins Inc. | 3.650% | 10/1/23 | 7,500 | 7,629 |
CVS Caremark Corp. | 4.000% | 12/5/23 | 17,500 | 17,930 |
7 Daimler Finance North America LLC | 2.375% | 8/1/18 | 17,325 | 17,555 |
7 Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,506 | 3,662 |
Darden Restaurants Inc. | 4.500% | 10/15/21 | 1,700 | 1,686 |
Darden Restaurants Inc. | 3.350% | 11/1/22 | 1,600 | 1,429 |
Dollar General Corp. | 3.250% | 4/15/23 | 8,500 | 7,865 |
eBay Inc. | 2.600% | 7/15/22 | 10,000 | 9,326 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 5,250 | 5,459 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 13,056 | 15,118 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 17,348 | 19,250 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 5,500 | 6,948 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 19,545 | 22,187 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 18,000 | 20,542 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 5,000 | 5,080 |
Gap Inc. | 5.950% | 4/12/21 | 25,000 | 27,886 |
7 General Motors Co. | 3.500% | 10/2/18 | 6,570 | 6,701 |
7 Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 3,618 | 3,725 |
7 Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 11,725 | 13,725 |
Home Depot Inc. | 2.700% | 4/1/23 | 14,625 | 13,804 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 10,000 | 9,562 |
7 Hyundai Capital America | 3.750% | 4/6/16 | 1,740 | 1,816 |
7 Hyundai Capital America | 4.000% | 6/8/17 | 4,798 | 5,076 |
7 Hyundai Capital Services Inc. | 6.000% | 5/5/15 | 3,000 | 3,183 |
7 Hyundai Capital Services Inc. | 4.375% | 7/27/16 | 2,160 | 2,301 |
52
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
7 Kia Motors Corp. | 3.625% | 6/14/16 | 3,200 | 3,342 |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 9,750 | 10,882 |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 5,950 | 6,296 |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 11,650 | 12,375 |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 24,000 | 24,087 |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 7,000 | 7,265 |
Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 6,000 | 6,134 |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 12,500 | 11,606 |
Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 1,500 | 1,552 |
Marriott International Inc. | 6.375% | 6/15/17 | 3,040 | 3,472 |
Marriott International Inc. | 3.000% | 3/1/19 | 2,500 | 2,565 |
Marriott International Inc. | 3.250% | 9/15/22 | 3,500 | 3,367 |
McDonald's Corp. | 3.625% | 5/20/21 | 4,500 | 4,771 |
McDonald's Corp. | 2.625% | 1/15/22 | 9,000 | 8,801 |
NIKE Inc. | 2.250% | 5/1/23 | 6,200 | 5,723 |
Nordstrom Inc. | 4.750% | 5/1/20 | 15,000 | 16,696 |
Nordstrom Inc. | 4.000% | 10/15/21 | 7,500 | 7,922 |
NVR Inc. | 3.950% | 9/15/22 | 10,000 | 9,757 |
O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 7,000 | 7,388 |
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 7,000 | 6,924 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 2,500 | 2,505 |
Staples Inc. | 2.750% | 1/12/18 | 7,000 | 7,191 |
Starbucks Corp. | 2.000% | 12/5/18 | 2,000 | 2,007 |
Starbucks Corp. | 3.850% | 10/1/23 | 12,000 | 12,332 |
Target Corp. | 2.900% | 1/15/22 | 4,500 | 4,403 |
Time Warner Inc. | 4.875% | 3/15/20 | 5,000 | 5,542 |
Time Warner Inc. | 4.750% | 3/29/21 | 6,500 | 7,126 |
Time Warner Inc. | 4.000% | 1/15/22 | 5,000 | 5,158 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 15,663 | 19,018 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 13,000 | 12,106 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 9,000 | 10,012 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 5,155 | 5,674 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 12,460 | 12,883 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 16,000 | 16,349 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 6,000 | 5,716 |
VF Corp. | 3.500% | 9/1/21 | 9,255 | 9,441 |
Viacom Inc. | 3.125% | 6/15/22 | 4,365 | 4,186 |
Viacom Inc. | 4.250% | 9/1/23 | 15,000 | 15,392 |
7 Volkswagen International Finance NV | 2.125% | 11/20/18 | 6,955 | 6,987 |
7 Volkswagen International Finance NV | 4.000% | 8/12/20 | 7,500 | 8,045 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 5,515 | 5,873 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 28,195 | 29,277 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 19,824 | 21,685 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 57,500 | 53,804 |
Walgreen Co. | 5.250% | 1/15/19 | 4,125 | 4,698 |
Walgreen Co. | 3.100% | 9/15/22 | 19,000 | 18,261 |
Walt Disney Co. | 2.750% | 8/16/21 | 11,500 | 11,469 |
Walt Disney Co. | 2.550% | 2/15/22 | 3,000 | 2,900 |
Walt Disney Co. | 2.350% | 12/1/22 | 10,000 | 9,373 |
7 Wesfarmers Ltd. | 1.874% | 3/20/18 | 6,000 | 5,953 |
Wyndham Worldwide Corp. | 5.625% | 3/1/21 | 2,500 | 2,734 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 4,000 | 4,066 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,000 | 1,957 |
Consumer Noncyclical (11.5%) | ||||
AbbVie Inc. | 2.900% | 11/6/22 | 25,000 | 23,969 |
Actavis Inc. | 1.875% | 10/1/17 | 5,000 | 5,001 |
Actavis Inc. | 3.250% | 10/1/22 | 15,000 | 14,247 |
Allergan Inc. | 5.750% | 4/1/16 | 12,000 | 13,275 |
Allergan Inc. | 3.375% | 9/15/20 | 9,000 | 9,347 |
Allergan Inc. | 2.800% | 3/15/23 | 5,000 | 4,752 |
Altria Group Inc. | 9.700% | 11/10/18 | 13,654 | 18,214 |
Altria Group Inc. | 9.250% | 8/6/19 | 8,014 | 10,670 |
Altria Group Inc. | 4.750% | 5/5/21 | 11,800 | 12,895 |
53
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Altria Group Inc. | 2.850% | 8/9/22 | 10,000 | 9,378 |
AmerisourceBergen Corp. | 5.875% | 9/15/15 | 3,000 | 3,247 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 6,270 | 7,105 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 10,000 | 10,282 |
Amgen Inc. | 2.125% | 5/15/17 | 5,300 | 5,440 |
Amgen Inc. | 5.850% | 6/1/17 | 3,460 | 3,967 |
Amgen Inc. | 6.150% | 6/1/18 | 5,000 | 5,877 |
Amgen Inc. | 5.700% | 2/1/19 | 8,080 | 9,416 |
Amgen Inc. | 3.450% | 10/1/20 | 8,750 | 9,080 |
Amgen Inc. | 3.625% | 5/15/22 | 12,000 | 12,176 |
Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 5,375 | 6,049 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 80 | 92 |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 3,145 | 3,552 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 10,375 | 9,821 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 15,000 | 15,226 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 11/15/14 | 6,100 | 6,330 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 18,570 | 23,330 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 18,514 | 22,954 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 42,085 | 48,847 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 18,286 | 20,811 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 44,177 | 41,749 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 6,388 | 7,310 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 13,750 | 14,892 |
Avon Products Inc. | 4.600% | 3/15/20 | 3,350 | 3,385 |
Avon Products Inc. | 5.000% | 3/15/23 | 2,500 | 2,419 |
7 BAT International Finance plc | 9.500% | 11/15/18 | 4,000 | 5,296 |
Baxter International Inc. | 5.375% | 6/1/18 | 2,000 | 2,292 |
Baxter International Inc. | 4.500% | 8/15/19 | 2,000 | 2,230 |
Baxter International Inc. | 4.250% | 3/15/20 | 3,000 | 3,317 |
Baxter International Inc. | 2.400% | 8/15/22 | 10,965 | 10,276 |
Baxter International Inc. | 3.200% | 6/15/23 | 7,670 | 7,518 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 4,700 | 5,321 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 14,704 | 15,225 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 5,025 | 5,068 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 6,500 | 7,553 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,000 | 2,028 |
Bottling Group LLC | 5.125% | 1/15/19 | 10,275 | 11,720 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 8,200 | 7,451 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 930 | 913 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 4,350 | 3,945 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 6,352 | 6,966 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 2,500 | 2,404 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 1,500 | 1,410 |
Catholic Health Initiatives Colorado GO | 4.200% | 8/1/23 | 2,000 | 2,033 |
Celgene Corp. | 3.950% | 10/15/20 | 5,762 | 6,098 |
Celgene Corp. | 3.250% | 8/15/22 | 7,000 | 6,852 |
Clorox Co. | 3.800% | 11/15/21 | 5,000 | 5,184 |
Clorox Co. | 3.050% | 9/15/22 | 3,000 | 2,877 |
Coca-Cola Co. | 4.875% | 3/15/19 | 9,200 | 10,453 |
Coca-Cola Co. | 3.150% | 11/15/20 | 17,950 | 18,567 |
Coca-Cola Co. | 3.300% | 9/1/21 | 34,245 | 35,336 |
Coca-Cola Co. | 3.200% | 11/1/23 | 8,000 | 7,862 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 3,095 | 3,091 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 5,000 | 5,464 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 12,500 | 12,403 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 8,000 | 7,594 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 10,000 | 9,104 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 3,200 | 3,865 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 5,000 | 4,850 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 15,000 | 14,256 |
Constellation Brands Inc. | 3.750% | 5/1/21 | 4,250 | 4,080 |
Constellation Brands Inc. | 4.250% | 5/1/23 | 2,250 | 2,115 |
Covidien International Finance SA | 4.200% | 6/15/20 | 5,000 | 5,401 |
Covidien International Finance SA | 3.200% | 6/15/22 | 13,500 | 13,402 |
54
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Covidien International Finance SA | 2.950% | 6/15/23 | 25,330 | 24,013 |
CR Bard Inc. | 4.400% | 1/15/21 | 13,000 | 13,965 |
Delhaize Group SA | 6.500% | 6/15/17 | 5,880 | 6,634 |
Delhaize Group SA | 4.125% | 4/10/19 | 5,000 | 5,214 |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 1,900 | 1,949 |
Diageo Capital plc | 4.828% | 7/15/20 | 12,989 | 14,660 |
Diageo Capital plc | 2.625% | 4/29/23 | 15,000 | 14,029 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 16,000 | 15,602 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 5,000 | 5,104 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 2,500 | 2,395 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 3,000 | 2,816 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 5,000 | 4,682 |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 5,500 | 5,700 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 3,000 | 3,698 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 13,625 | 14,757 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 8,000 | 8,189 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 2,000 | 2,025 |
General Mills Inc. | 5.650% | 2/15/19 | 3,000 | 3,521 |
General Mills Inc. | 3.150% | 12/15/21 | 8,000 | 8,078 |
Genzyme Corp. | 5.000% | 6/15/20 | 15,349 | 17,589 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 7,996 | 8,779 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 14,050 | 15,239 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 7,400 | 8,616 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 12,000 | 11,458 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 24,000 | 23,412 |
Hasbro Inc. | 6.300% | 9/15/17 | 5,000 | 5,751 |
7 Hawk Acquisition Sub Inc. | 4.250% | 10/15/20 | 2,100 | 2,047 |
Hershey Co. | 4.850% | 8/15/15 | 5,000 | 5,335 |
Hershey Co. | 4.125% | 12/1/20 | 4,125 | 4,569 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 3,350 | 3,572 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 5,765 | 5,645 |
Kellogg Co. | 1.750% | 5/17/17 | 1,500 | 1,515 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 8,449 | 9,873 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 10,000 | 12,555 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 3,300 | 3,529 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 32,849 | 33,894 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 3,980 | 4,094 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 6,000 | 7,047 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 17,600 | 17,651 |
Kroger Co. | 2.200% | 1/15/17 | 2,920 | 2,997 |
Kroger Co. | 3.300% | 1/15/21 | 5,500 | 5,534 |
Kroger Co. | 3.400% | 4/15/22 | 3,000 | 2,966 |
Kroger Co. | 3.850% | 8/1/23 | 5,000 | 5,000 |
Life Technologies Corp. | 6.000% | 3/1/20 | 5,000 | 5,844 |
Lorillard Tobacco Co. | 3.500% | 8/4/16 | 3,100 | 3,271 |
Lorillard Tobacco Co. | 2.300% | 8/21/17 | 4,000 | 4,084 |
Lorillard Tobacco Co. | 8.125% | 6/23/19 | 6,000 | 7,473 |
Lorillard Tobacco Co. | 6.875% | 5/1/20 | 15,815 | 18,624 |
McKesson Corp. | 7.500% | 2/15/19 | 6,100 | 7,489 |
McKesson Corp. | 4.750% | 3/1/21 | 3,420 | 3,744 |
McKesson Corp. | 2.700% | 12/15/22 | 8,469 | 7,895 |
McKesson Corp. | 2.850% | 3/15/23 | 5,000 | 4,696 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 5,185 | 6,194 |
Medtronic Inc. | 4.450% | 3/15/20 | 10,000 | 11,084 |
Medtronic Inc. | 4.125% | 3/15/21 | 8,558 | 9,170 |
Medtronic Inc. | 3.125% | 3/15/22 | 7,000 | 7,003 |
Medtronic Inc. | 2.750% | 4/1/23 | 20,000 | 18,924 |
Merck & Co. Inc. | 6.000% | 9/15/17 | 5,000 | 5,821 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 16,450 | 17,645 |
Merck & Co. Inc. | 2.400% | 9/15/22 | 5,950 | 5,599 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 22,500 | 21,450 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 10,000 | 11,472 |
Mondelez International Inc. | 4.000% | 2/1/24 | 6,000 | 6,059 |
7 Mylan Inc. | 2.600% | 6/24/18 | 5,940 | 6,023 |
55
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Mylan Inc. | 2.550% | 3/28/19 | 3,500 | 3,493 |
7 Mylan Inc. | 3.125% | 1/15/23 | 11,325 | 10,586 |
Mylan Inc. | 4.200% | 11/29/23 | 5,800 | 5,837 |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 2,180 | 2,190 |
Newell Rubbermaid Inc. | 4.700% | 8/15/20 | 5,000 | 5,407 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 15,000 | 16,538 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 14,555 | 13,673 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 27,894 | 31,913 |
PepsiCo Inc. | 5.000% | 6/1/18 | 16,500 | 18,764 |
PepsiCo Inc. | 7.900% | 11/1/18 | 14,000 | 17,728 |
PepsiCo Inc. | 4.500% | 1/15/20 | 13,800 | 15,442 |
PepsiCo Inc. | 3.125% | 11/1/20 | 14,500 | 14,829 |
PepsiCo Inc. | 3.000% | 8/25/21 | 17,990 | 18,100 |
PepsiCo Inc. | 2.750% | 3/5/22 | 13,860 | 13,448 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 8,000 | 8,448 |
7 Pernod Ricard SA | 5.750% | 4/7/21 | 2,250 | 2,531 |
7 Pernod Ricard SA | 4.450% | 1/15/22 | 5,000 | 5,186 |
7 Pernod Ricard SA | 4.250% | 7/15/22 | 5,000 | 5,125 |
Pfizer Inc. | 4.650% | 3/1/18 | 6,000 | 6,723 |
Pfizer Inc. | 6.200% | 3/15/19 | 24,000 | 28,663 |
Pharmacia Corp. | 6.500% | 12/1/18 | 6,045 | 7,375 |
Philip Morris International Inc. | 6.875% | 3/17/14 | 2,750 | 2,771 |
Philip Morris International Inc. | 2.500% | 5/16/16 | 4,250 | 4,416 |
Philip Morris International Inc. | 4.500% | 3/26/20 | 11,750 | 13,028 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 4,000 | 4,255 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 10,500 | 10,306 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 13,425 | 12,488 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 2,000 | 1,852 |
Philip Morris International Inc. | 3.600% | 11/15/23 | 5,000 | 4,955 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 21,200 | 24,205 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 9,275 | 8,893 |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 2,000 | 2,148 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 4,000 | 4,198 |
Reynolds American Inc. | 3.250% | 11/1/22 | 5,011 | 4,729 |
7 Roche Holdings Inc. | 6.000% | 3/1/19 | 17,280 | 20,466 |
Sanofi | 2.625% | 3/29/16 | 14,860 | 15,492 |
Sanofi | 1.250% | 4/10/18 | 9,615 | 9,444 |
Sanofi | 4.000% | 3/29/21 | 23,500 | 25,206 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 37,138 | 36,015 |
Stryker Corp. | 4.375% | 1/15/20 | 10,000 | 11,063 |
Sysco Corp. | 5.250% | 2/12/18 | 12,000 | 13,592 |
Sysco Corp. | 2.600% | 6/12/22 | 4,000 | 3,775 |
7 Takeda Pharmaceutical Co. Ltd. | 1.625% | 3/17/17 | 24,510 | 24,448 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 20,550 | 20,413 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 25,150 | 23,195 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 25,535 | 25,364 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 7,000 | 6,685 |
Thermo Fisher Scientific Inc. | 5.000% | 6/1/15 | 3,100 | 3,276 |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 2,840 | 2,920 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 4,400 | 4,853 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 4,100 | 4,424 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 7,625 | 7,741 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 15,750 | 16,301 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 1,920 | 2,179 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 9,300 | 10,154 |
Wyeth LLC | 5.500% | 2/15/16 | 5,000 | 5,500 |
Zoetis Inc. | 1.875% | 2/1/18 | 4,000 | 4,005 |
Zoetis Inc. | 3.250% | 2/1/23 | 10,000 | 9,629 |
Energy (5.8%) | ||||
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 10,000 | 11,521 |
Apache Corp. | 3.625% | 2/1/21 | 11,000 | 11,530 |
Apache Corp. | 3.250% | 4/15/22 | 19,324 | 19,421 |
Baker Hughes Inc. | 7.500% | 11/15/18 | 4,845 | 6,037 |
56
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Baker Hughes Inc. | 3.200% | 8/15/21 | 3,720 | 3,788 |
BP Capital Markets plc | 1.375% | 11/6/17 | 10,500 | 10,464 |
BP Capital Markets plc | 1.375% | 5/10/18 | 2,000 | 1,969 |
BP Capital Markets plc | 4.750% | 3/10/19 | 15,350 | 17,335 |
BP Capital Markets plc | 4.500% | 10/1/20 | 30,500 | 33,427 |
BP Capital Markets plc | 4.742% | 3/11/21 | 8,748 | 9,657 |
BP Capital Markets plc | 3.561% | 11/1/21 | 31,470 | 32,244 |
BP Capital Markets plc | 3.245% | 5/6/22 | 35,000 | 34,489 |
BP Capital Markets plc | 2.500% | 11/6/22 | 11,500 | 10,697 |
BP Capital Markets plc | 2.750% | 5/10/23 | 34,560 | 32,057 |
Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 3,190 | 3,625 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 2,000 | 2,026 |
Chevron Corp. | 4.950% | 3/3/19 | 3,347 | 3,835 |
Chevron Corp. | 2.427% | 6/24/20 | 8,000 | 7,992 |
Chevron Corp. | 2.355% | 12/5/22 | 39,000 | 36,483 |
Chevron Corp. | 3.191% | 6/24/23 | 37,083 | 36,701 |
ConocoPhillips | 5.750% | 2/1/19 | 23,935 | 28,172 |
ConocoPhillips | 6.000% | 1/15/20 | 5,000 | 5,997 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 10,000 | 9,417 |
Continental Resources Inc. | 5.000% | 9/15/22 | 7,000 | 7,210 |
Continental Resources Inc. | 4.500% | 4/15/23 | 6,000 | 6,150 |
Devon Energy Corp. | 6.300% | 1/15/19 | 5,000 | 5,924 |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 5,000 | 5,841 |
Diamond Offshore Drilling Inc. | 3.450% | 11/1/23 | 6,000 | 5,902 |
Ensco plc | 4.700% | 3/15/21 | 10,000 | 10,763 |
EOG Resources Inc. | 5.875% | 9/15/17 | 3,000 | 3,456 |
EOG Resources Inc. | 5.625% | 6/1/19 | 10,250 | 11,940 |
EOG Resources Inc. | 4.400% | 6/1/20 | 12,000 | 13,161 |
EOG Resources Inc. | 4.100% | 2/1/21 | 6,000 | 6,433 |
EOG Resources Inc. | 2.625% | 3/15/23 | 10,958 | 10,289 |
EQT Corp. | 8.125% | 6/1/19 | 5,500 | 6,766 |
Halliburton Co. | 6.150% | 9/15/19 | 12,631 | 15,137 |
Halliburton Co. | 3.250% | 11/15/21 | 14,800 | 15,045 |
Halliburton Co. | 3.500% | 8/1/23 | 5,000 | 4,964 |
Hess Corp. | 8.125% | 2/15/19 | 5,075 | 6,368 |
Marathon Oil Corp. | 6.000% | 10/1/17 | 7,213 | 8,294 |
7 Motiva Enterprises LLC | 5.750% | 1/15/20 | 5,000 | 5,751 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 3,319 | 3,525 |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 34,000 | 32,067 |
Noble Energy Inc. | 8.250% | 3/1/19 | 6,000 | 7,567 |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 5,000 | 5,411 |
Noble Holding International Ltd. | 3.950% | 3/15/22 | 1,000 | 990 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 7,500 | 7,455 |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 24,525 | 26,327 |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 15,080 | 14,959 |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 20,604 | 19,354 |
Petro-Canada | 6.050% | 5/15/18 | 4,000 | 4,660 |
Phillips 66 | 2.950% | 5/1/17 | 4,000 | 4,187 |
Phillips 66 | 4.300% | 4/1/22 | 9,000 | 9,390 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 5,000 | 5,079 |
Pride International Inc. | 6.875% | 8/15/20 | 9,178 | 11,143 |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 5,000 | 5,111 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 17,000 | 17,424 |
Shell International Finance BV | 5.200% | 3/22/17 | 2,680 | 2,997 |
Shell International Finance BV | 4.300% | 9/22/19 | 16,000 | 17,794 |
Shell International Finance BV | 4.375% | 3/25/20 | 14,035 | 15,571 |
Shell International Finance BV | 2.375% | 8/21/22 | 39,609 | 37,043 |
Shell International Finance BV | 2.250% | 1/6/23 | 3,500 | 3,241 |
Shell International Finance BV | 3.400% | 8/12/23 | 5,000 | 5,011 |
Southwestern Energy Co. | 7.500% | 2/1/18 | 5,000 | 5,963 |
Southwestern Energy Co. | 4.100% | 3/15/22 | 5,000 | 5,104 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 5,000 | 5,842 |
Talisman Energy Inc. | 7.750% | 6/1/19 | 3,000 | 3,644 |
Talisman Energy Inc. | 3.750% | 2/1/21 | 3,300 | 3,274 |
57
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 7,700 | 7,717 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 7,000 | 6,619 |
Total Capital International SA | 1.550% | 6/28/17 | 2,450 | 2,476 |
Total Capital International SA | 2.875% | 2/17/22 | 28,500 | 27,909 |
Total Capital International SA | 2.700% | 1/25/23 | 23,160 | 21,933 |
Total Capital International SA | 3.750% | 4/10/24 | 10,000 | 10,152 |
Total Capital SA | 4.450% | 6/24/20 | 25,212 | 27,903 |
Total Capital SA | 4.125% | 1/28/21 | 12,525 | 13,505 |
Transocean Inc. | 2.500% | 10/15/17 | 2,380 | 2,413 |
Transocean Inc. | 6.500% | 11/15/20 | 5,000 | 5,680 |
Transocean Inc. | 6.375% | 12/15/21 | 18,000 | 20,062 |
Transocean Inc. | 3.800% | 10/15/22 | 5,000 | 4,702 |
Valero Energy Corp. | 9.375% | 3/15/19 | 4,200 | 5,513 |
Weatherford International Ltd. | 6.000% | 3/15/18 | 10,000 | 11,299 |
Weatherford International Ltd. | 9.625% | 3/1/19 | 3,750 | 4,865 |
Weatherford International Ltd. | 5.125% | 9/15/20 | 5,000 | 5,422 |
Other Industrial (0.0%) | ||||
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 1,600 | 1,604 |
Technology (4.2%) | ||||
Agilent Technologies Inc. | 5.000% | 7/15/20 | 11,000 | 12,042 |
Altera Corp. | 1.750% | 5/15/17 | 3,205 | 3,226 |
Altera Corp. | 2.500% | 11/15/18 | 10,000 | 10,124 |
Altera Corp. | 4.100% | 11/15/23 | 4,623 | 4,623 |
Apple Inc. | 2.400% | 5/3/23 | 78,300 | 71,666 |
Applied Materials Inc. | 4.300% | 6/15/21 | 13,615 | 14,517 |
Baidu Inc. | 3.250% | 8/6/18 | 10,100 | 10,186 |
Baidu Inc. | 3.500% | 11/28/22 | 13,000 | 11,763 |
Broadcom Corp. | 2.500% | 8/15/22 | 15,000 | 13,819 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 11,800 | 13,443 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 25,000 | 27,803 |
Corning Inc. | 1.450% | 11/15/17 | 5,150 | 5,158 |
Corning Inc. | 6.625% | 5/15/19 | 5,710 | 6,948 |
Corning Inc. | 4.250% | 8/15/20 | 9,000 | 9,879 |
Corning Inc. | 3.700% | 11/15/23 | 15,000 | 15,247 |
EMC Corp. | 1.875% | 6/1/18 | 6,700 | 6,711 |
EMC Corp. | 2.650% | 6/1/20 | 21,955 | 21,976 |
EMC Corp. | 3.375% | 6/1/23 | 15,000 | 14,805 |
Equifax Inc. | 6.300% | 7/1/17 | 5,000 | 5,717 |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 6,925 | 6,528 |
Fiserv Inc. | 3.500% | 10/1/22 | 8,000 | 7,796 |
Hewlett-Packard Co. | 5.400% | 3/1/17 | 2,500 | 2,790 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 2,000 | 2,258 |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 6,250 | 6,275 |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 20,000 | 20,480 |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 13,022 | 13,357 |
Hewlett-Packard Co. | 4.650% | 12/9/21 | 5,000 | 5,234 |
Intel Corp. | 1.350% | 12/15/17 | 9,000 | 8,977 |
Intel Corp. | 3.300% | 10/1/21 | 44,900 | 45,662 |
Intel Corp. | 2.700% | 12/15/22 | 38,000 | 35,897 |
International Business Machines Corp. | 5.700% | 9/14/17 | 14,601 | 16,793 |
International Business Machines Corp. | 7.625% | 10/15/18 | 14,500 | 18,201 |
International Business Machines Corp. | 1.625% | 5/15/20 | 20,000 | 19,050 |
International Business Machines Corp. | 2.900% | 11/1/21 | 13,000 | 12,884 |
International Business Machines Corp. | 1.875% | 8/1/22 | 11,000 | 9,886 |
Microsoft Corp. | 4.200% | 6/1/19 | 3,800 | 4,227 |
Microsoft Corp. | 3.000% | 10/1/20 | 4,000 | 4,138 |
Microsoft Corp. | 4.000% | 2/8/21 | 8,000 | 8,735 |
Microsoft Corp. | 2.125% | 11/15/22 | 13,500 | 12,456 |
Microsoft Corp. | 2.375% | 5/1/23 | 10,000 | 9,276 |
Microsoft Corp. | 3.625% | 12/15/23 | 19,000 | 19,388 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 7,000 | 6,946 |
Oracle Corp. | 5.750% | 4/15/18 | 4,160 | 4,840 |
58
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Oracle Corp. | 2.375% | 1/15/19 | 3,250 | 3,303 | |
Oracle Corp. | 5.000% | 7/8/19 | 14,000 | 16,007 | |
Oracle Corp. | 3.875% | 7/15/20 | 13,000 | 14,007 | |
Oracle Corp. | 2.500% | 10/15/22 | 33,000 | 30,995 | |
Oracle Corp. | 3.625% | 7/15/23 | 14,000 | 14,140 | |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 4,707 | 5,246 | |
7 | Seagate HDD Cayman | 3.750% | 11/15/18 | 5,670 | 5,798 |
Texas Instruments Inc. | 2.250% | 5/1/23 | 5,000 | 4,548 | |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 2,990 | 3,471 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 12,800 | 12,777 | |
Xerox Corp. | 6.350% | 5/15/18 | 5,000 | 5,857 | |
Xerox Corp. | 5.625% | 12/15/19 | 8,000 | 9,082 | |
Transportation (1.2%) | |||||
5,7 | American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 6,793 | 7,277 |
Burlington Northern Santa Fe LLC | 8.125% | 4/15/20 | 5,000 | 6,408 | |
Canadian National Railway Co. | 2.850% | 12/15/21 | 7,380 | 7,334 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 3,375 | 4,147 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 2,085 | 2,218 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 5,325 | 5,699 | |
5 | Continental Airlines 1997-4 Class A Pass Through Trust | 6.900% | 7/2/19 | 1,965 | 2,128 |
5 | Continental Airlines 1998-1 Class A Pass Through Trust | 6.648% | 3/15/19 | 455 | 481 |
5 | Continental Airlines 2000-1 Class A-1 Pass Through | ||||
Trust | 8.048% | 11/1/20 | 1,488 | 1,697 | |
5 | Continental Airlines 2005-ERJ1 Pass Through Trust | 9.798% | 4/1/21 | 1,535 | 1,735 |
5 | Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 4,130 | 4,760 |
5 | Continental Airlines 2012-2 Class B Pass Through Trust | 5.500% | 4/29/22 | 1,550 | 1,604 |
CSX Corp. | 7.900% | 5/1/17 | 5,000 | 5,978 | |
CSX Corp. | 7.375% | 2/1/19 | 3,375 | 4,181 | |
5,9 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718% | 7/2/24 | 1,996 | 2,271 |
5 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 2,213 | 2,540 |
5 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 12/17/19 | 4,642 | 5,437 |
5 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 7,819 | 8,777 |
5 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 3,497 | 3,776 |
7 | ERAC USA Finance LLC | 6.375% | 10/15/17 | 6,370 | 7,402 |
7 | ERAC USA Finance LLC | 5.250% | 10/1/20 | 3,750 | 4,211 |
7 | ERAC USA Finance LLC | 4.500% | 8/16/21 | 5,000 | 5,336 |
5 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 3,525 | 3,358 | |
JB Hunt Transport Services Inc. | 3.375% | 9/15/15 | 4,920 | 5,094 | |
4,5,9 | JetBlue Airways 2004-1 G-2 Pass Through Trust | 0.663% | 9/15/15 | 2,540 | 2,526 |
4,5,9 | JetBlue Airways 2004-2 G-2 Pass Through Trust | 0.691% | 5/15/18 | 2,465 | 2,376 |
Kansas City Southern de Mexico SA de CV | 2.350% | 5/15/20 | 5,000 | 4,778 | |
Ryder System Inc. | 2.500% | 3/1/17 | 2,000 | 2,059 | |
Ryder System Inc. | 2.350% | 2/26/19 | 8,120 | 8,099 | |
5 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 3,964 | 4,558 |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 2,775 | 2,914 | |
United Parcel Service Inc. | 5.500% | 1/15/18 | 5,100 | 5,878 | |
United Parcel Service Inc. | 3.125% | 1/15/21 | 34,200 | 35,116 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 30,700 | 29,174 | |
6,976,523 | |||||
Utilities (7.5%) | |||||
Electric (6.3%) | |||||
Alabama Power Co. | 3.375% | 10/1/20 | 7,000 | 7,306 | |
Alabama Power Co. | 3.550% | 12/1/23 | 5,750 | 5,802 | |
Ameren Illinois Co. | 6.125% | 11/15/17 | 1,650 | 1,920 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 22,449 | 21,598 | |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 4,770 | 4,729 | |
Appalachian Power Co. | 5.000% | 6/1/17 | 640 | 702 | |
Appalachian Power Co. | 4.600% | 3/30/21 | 3,000 | 3,297 |
59
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Arizona Public Service Co. | 8.750% | 3/1/19 | 10,850 | 14,017 | |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 8,925 | 9,139 | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 3,000 | 2,964 | |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 7,330 | 6,842 | |
CenterPoint Energy Inc. | 5.950% | 2/1/17 | 3,115 | 3,518 | |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 2,000 | 2,350 | |
CMS Energy Corp. | 6.550% | 7/17/17 | 750 | 869 | |
CMS Energy Corp. | 5.050% | 2/15/18 | 4,730 | 5,260 | |
CMS Energy Corp. | 8.750% | 6/15/19 | 11,180 | 14,448 | |
CMS Energy Corp. | 6.250% | 2/1/20 | 3,255 | 3,826 | |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 5,000 | 5,630 | |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 2,500 | 2,561 | |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 1,570 | 1,821 | |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 4,110 | 4,760 | |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 19,071 | 20,687 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 5,400 | 5,542 | |
Connecticut Light & Power Co. | 5.650% | 5/1/18 | 3,100 | 3,569 | |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 11,695 | 13,573 | |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 18,240 | 17,186 | |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 11,275 | 13,693 | |
Consumers Energy Co. | 5.650% | 9/15/18 | 1,000 | 1,166 | |
Consumers Energy Co. | 6.125% | 3/15/19 | 5,600 | 6,680 | |
Consumers Energy Co. | 6.700% | 9/15/19 | 6,319 | 7,766 | |
Consumers Energy Co. | 5.650% | 4/15/20 | 10,683 | 12,540 | |
Consumers Energy Co. | 2.850% | 5/15/22 | 15,640 | 15,379 | |
Consumers Energy Co. | 3.375% | 8/15/23 | 3,144 | 3,153 | |
DTE Electric Co. | 3.450% | 10/1/20 | 7,680 | 7,984 | |
DTE Electric Co. | 3.900% | 6/1/21 | 14,650 | 15,610 | |
DTE Electric Co. | 2.650% | 6/15/22 | 1,000 | 967 | |
Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 2,875 | 2,950 | |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 6,100 | 7,491 | |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 12,915 | 14,223 | |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 8,686 | 9,342 | |
Duke Energy Corp. | 2.100% | 6/15/18 | 2,445 | 2,463 | |
Duke Energy Corp. | 6.250% | 6/15/18 | 4,272 | 4,997 | |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 6,005 | 6,964 | |
Duke Energy Florida Inc. | 4.550% | 4/1/20 | 9,645 | 10,724 | |
Duke Energy Florida Inc. | 3.100% | 8/15/21 | 4,400 | 4,459 | |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 14,270 | 15,217 | |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 5,000 | 5,784 | |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 13,177 | 15,199 | |
Duke Energy Progress Inc. | 3.000% | 9/15/21 | 17,523 | 17,642 | |
Duke Energy Progress Inc. | 2.800% | 5/15/22 | 10,405 | 10,216 | |
7 | EDP Finance BV | 5.250% | 1/14/21 | 6,220 | 6,365 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 3,770 | 3,840 | |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 1,260 | 1,460 | |
Entergy Louisiana LLC | 4.800% | 5/1/21 | 12,780 | 13,834 | |
Entergy Louisiana LLC | 3.300% | 12/1/22 | 6,915 | 6,759 | |
Entergy Texas Inc. | 7.125% | 2/1/19 | 5,485 | 6,570 | |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 4,000 | 4,057 | |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 5,000 | 4,924 | |
FirstEnergy Corp. | 2.750% | 3/15/18 | 7,790 | 7,813 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 2,490 | 2,422 | |
Florida Power & Light Co. | 2.750% | 6/1/23 | 9,200 | 8,869 | |
5,7 | FPL Energy Marcus Hook LP | 7.590% | 7/10/18 | 5,045 | 5,272 |
Georgia Power Co. | 5.700% | 6/1/17 | 1,185 | 1,360 | |
Georgia Power Co. | 5.400% | 6/1/18 | 8,000 | 9,191 | |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 5,000 | 6,054 | |
7 | Kansas Gas & Electric Co. | 6.700% | 6/15/19 | 4,824 | 5,836 |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 9,740 | 10,054 | |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 13,086 | 13,518 | |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 9,785 | 10,322 | |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 5,000 | 6,107 | |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 7,997 | 9,107 |
60
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 5,500 | 5,634 |
MidAmerican Energy Holdings Co. | 5.750% | 4/1/18 | 8,380 | 9,662 |
7 MidAmerican Energy Holdings Co. | 2.000% | 11/15/18 | 10,310 | 10,276 |
7 MidAmerican Energy Holdings Co. | 3.750% | 11/15/23 | 8,000 | 8,000 |
National Rural Utilities Cooperative Finance Corp. | 4.750% | 3/1/14 | 2,889 | 2,898 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 7,691 | 8,667 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 9,980 | 13,635 |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 12,950 | 12,737 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 12,340 | 12,288 |
Nevada Power Co. | 6.500% | 8/1/18 | 2,337 | 2,790 |
Nevada Power Co. | 7.125% | 3/15/19 | 7,350 | 9,045 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 8,976 | 10,315 |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 8,755 | 9,247 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 930 | 904 |
5 NextEra Energy Capital Holdings Inc. | 6.350% | 10/1/66 | 2,850 | 2,822 |
7 Niagara Mohawk Power Corp. | 2.721% | 11/28/22 | 2,000 | 1,897 |
Northeast Utilities | 2.800% | 5/1/23 | 2,000 | 1,872 |
Northern States Power Co. | 2.150% | 8/15/22 | 3,000 | 2,775 |
NSTAR Electric Co. | 5.625% | 11/15/17 | 3,000 | 3,452 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 7,700 | 7,193 |
NSTAR LLC | 4.500% | 11/15/19 | 7,000 | 7,720 |
NV Energy Inc. | 6.250% | 11/15/20 | 3,920 | 4,601 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 29,000 | 30,272 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 15,200 | 16,331 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 9,250 | 9,306 |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,500 | 6,097 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 6,000 | 5,811 |
PacifiCorp | 5.500% | 1/15/19 | 11,244 | 13,046 |
PacifiCorp | 3.850% | 6/15/21 | 20,344 | 21,603 |
PacifiCorp | 2.950% | 2/1/22 | 5,954 | 5,871 |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 1,415 | 1,590 |
Potomac Electric Power Co. | 3.050% | 4/1/22 | 2,270 | 2,254 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 15,868 | 15,987 |
7 PPL WEM Holdings plc | 3.900% | 5/1/16 | 2,875 | 3,048 |
7 PPL WEM Holdings plc | 5.375% | 5/1/21 | 3,000 | 3,287 |
Progress Energy Inc. | 3.150% | 4/1/22 | 5,000 | 4,877 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 3,280 | 3,835 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 2,500 | 2,862 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 5,000 | 5,131 |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 5,000 | 4,685 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 1,398 | 1,678 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 8,000 | 8,389 |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 10,325 | 9,567 |
Puget Energy Inc. | 6.500% | 12/15/20 | 17,000 | 20,094 |
Puget Energy Inc. | 5.625% | 7/15/22 | 7,235 | 8,115 |
SCANA Corp. | 6.250% | 4/1/20 | 8,500 | 9,621 |
SCANA Corp. | 4.750% | 5/15/21 | 7,900 | 8,296 |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 2,500 | 2,793 |
Southern California Edison Co. | 3.875% | 6/1/21 | 11,156 | 11,907 |
Southern California Edison Co. | 3.500% | 10/1/23 | 17,500 | 17,600 |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 3,000 | 3,305 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 2,118 | 2,482 |
Tampa Electric Co. | 5.400% | 5/15/21 | 13,000 | 14,935 |
Tampa Electric Co. | 2.600% | 9/15/22 | 4,070 | 3,858 |
TECO Finance Inc. | 5.150% | 3/15/20 | 14,332 | 16,046 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 7,000 | 7,318 |
Union Electric Co. | 6.400% | 6/15/17 | 3,000 | 3,481 |
Union Electric Co. | 6.700% | 2/1/19 | 2,427 | 2,951 |
Virginia Electric & Power Co. | 5.950% | 9/15/17 | 5,000 | 5,804 |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 6,137 | 7,044 |
Virginia Electric & Power Co. | 5.000% | 6/30/19 | 3,930 | 4,472 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 3,000 | 3,090 |
Westar Energy Inc. | 5.100% | 7/15/20 | 10,100 | 11,459 |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 10,000 | 10,270 |
61
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Wisconsin Energy Corp. | 6.250% | 5/15/67 | 6,415 | 6,567 |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 4,500 | 5,103 |
Xcel Energy Inc. | 5.613% | 4/1/17 | 2,079 | 2,291 |
Natural Gas (1.2%) | ||||
Atmos Energy Corp. | 8.500% | 3/15/19 | 5,000 | 6,458 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 4,935 | 5,557 |
Buckeye Partners LP | 4.875% | 2/1/21 | 5,000 | 5,249 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 3,000 | 3,270 |
7 Centrica plc | 4.000% | 10/16/23 | 2,170 | 2,174 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 3,000 | 3,384 |
El Paso Pipeline Partners Operating Co. LLC | 6.500% | 4/1/20 | 18,295 | 21,126 |
El Paso Pipeline Partners Operating Co. LLC | 5.000% | 10/1/21 | 5,150 | 5,469 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 1,750 | 2,052 |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 2,500 | 2,757 |
5 Enbridge Energy Partners LP | 8.050% | 10/1/77 | 1,110 | 1,249 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 4,432 | 5,777 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 2,334 | 2,976 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 12,850 | 13,442 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 8,000 | 8,578 |
5 Enterprise Products Operating LLC | 8.375% | 8/1/66 | 3,000 | 3,334 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 1,230 | 1,410 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 2,100 | 2,098 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 5,410 | 6,920 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 8,227 | 9,855 |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,000 | 5,665 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 7,240 | 7,349 |
Nisource Finance Corp. | 6.400% | 3/15/18 | 1,463 | 1,707 |
Nisource Finance Corp. | 6.800% | 1/15/19 | 1,500 | 1,793 |
Nisource Finance Corp. | 6.125% | 3/1/22 | 5,000 | 5,753 |
ONEOK Partners LP | 8.625% | 3/1/19 | 2,000 | 2,540 |
Sempra Energy | 6.500% | 6/1/16 | 13,327 | 14,989 |
Sempra Energy | 2.300% | 4/1/17 | 1,094 | 1,125 |
Sempra Energy | 6.150% | 6/15/18 | 5,938 | 6,937 |
Sempra Energy | 9.800% | 2/15/19 | 4,340 | 5,779 |
Sempra Energy | 2.875% | 10/1/22 | 7,000 | 6,601 |
Sempra Energy | 4.050% | 12/1/23 | 2,000 | 2,026 |
Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 3,485 | 3,615 |
5 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 4,000 | 4,120 |
Williams Partners LP | 4.500% | 11/15/23 | 11,000 | 11,156 |
1,247,408 | ||||
Total Corporate Bonds (Cost $12,501,122) | 12,850,516 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (3.8%) | ||||
7 Abu Dhabi National Energy Co. | 6.165% | 10/25/17 | 1,000 | 1,137 |
7 Abu Dhabi National Energy Co. | 3.625% | 1/12/23 | 1,000 | 948 |
7 Aruba | 4.625% | 9/14/23 | 1,000 | 943 |
Asian Development Bank | 1.125% | 3/15/17 | 4,000 | 4,028 |
Asian Development Bank | 1.875% | 10/23/18 | 3,000 | 3,048 |
Banco do Brasil SA | 3.875% | 10/10/22 | 1,000 | 862 |
7 Banco Latinoamericano de Comercio Exterior SA | 3.750% | 4/4/17 | 4,500 | 4,581 |
7 Bank Nederlandse Gemeenten | 1.375% | 9/27/17 | 1,500 | 1,494 |
7 Bank Nederlandse Gemeenten | 2.500% | 1/23/23 | 1,000 | 947 |
7 Bank of China Hong Kong Ltd. | 3.750% | 11/8/16 | 920 | 966 |
7 Bermuda | 5.603% | 7/20/20 | 2,300 | 2,486 |
7 Bermuda | 4.138% | 1/3/23 | 2,000 | 1,912 |
7 Bermuda | 4.854% | 2/6/24 | 1,000 | 991 |
7 Caixa Economica Federal | 2.375% | 11/6/17 | 3,000 | 2,759 |
Canada | 0.875% | 2/14/17 | 5,000 | 5,019 |
Cayman Islands | 5.950% | 11/24/19 | 500 | 556 |
7 CEZ AS | 4.250% | 4/3/22 | 1,000 | 1,021 |
China Development Bank Corp. | 5.000% | 10/15/15 | 1,500 | 1,599 |
7 CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,000 | 974 |
7 CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 918 |
62
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Corp. Andina de Fomento | 3.750% | 1/15/16 | 11,500 | 12,030 | |
7 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 1,400 | 1,386 |
7 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 3,000 | 2,981 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 1,500 | 1,490 | |
7 | Corp. Nacional del Cobre de Chile | 4.500% | 8/13/23 | 1,500 | 1,544 |
Ecopetrol SA | 7.375% | 9/18/43 | 1,000 | 1,077 | |
7 | Electricite de France | 6.000% | 1/22/14 | 50 | 53 |
5,7 | ENA Norte Trust | 4.950% | 4/25/28 | 1,873 | 1,812 |
European Investment Bank | 2.250% | 3/15/16 | 8,000 | 8,290 | |
European Investment Bank | 2.125% | 7/15/16 | 10,000 | 10,370 | |
European Investment Bank | 2.875% | 9/15/20 | 20,000 | 20,615 | |
European Investment Bank | 3.250% | 1/29/24 | 2,000 | 2,034 | |
Export-Import Bank of Korea | 5.875% | 1/14/15 | 3,000 | 3,144 | |
Export-Import Bank of Korea | 4.125% | 9/9/15 | 2,000 | 2,103 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 3,000 | 3,046 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 2,000 | 2,212 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 1,000 | 1,043 | |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 2,000 | 2,026 | |
Federative Republic of Brazil | 2.625% | 1/5/23 | 16,000 | 13,664 | |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 5,000 | 4,996 | |
7 | Industrial Bank of Korea | 7.125% | 4/23/14 | 1,700 | 1,723 |
Inter-American Development Bank | 1.375% | 10/18/16 | 3,000 | 3,048 | |
Inter-American Development Bank | 2.125% | 11/9/20 | 3,100 | 3,059 | |
International Finance Corp. | 1.000% | 4/24/17 | 6,700 | 6,711 | |
International Finance Corp. | 1.750% | 9/4/18 | 3,000 | 3,013 | |
7 | IPIC GMTN Ltd. | 5.500% | 3/1/22 | 800 | 880 |
10 | Japan Bank for International Cooperation | 2.500% | 5/18/16 | 8,000 | 8,315 |
10 | Japan Bank for International Cooperation | 2.125% | 2/7/19 | 5,000 | 5,056 |
7 | KazMunayGas National Co. JSC | 4.400% | 4/30/23 | 2,000 | 1,821 |
11 | KFW | 0.625% | 4/24/15 | 25,000 | 25,105 |
11 | KFW | 1.250% | 2/15/17 | 4,000 | 4,041 |
11 | KFW | 1.000% | 6/11/18 | 11,750 | 11,502 |
11 | KFW | 2.750% | 10/1/20 | 3,000 | 3,083 |
11 | KFW | 2.625% | 1/25/22 | 9,000 | 9,023 |
11 | KFW | 2.000% | 10/4/22 | 2,000 | 1,875 |
7 | Kingdom of Spain | 4.000% | 3/6/18 | 5,100 | 5,345 |
7 | Kommunalbanken AS | 1.000% | 9/26/17 | 1,500 | 1,489 |
Korea Development Bank | 3.875% | 5/4/17 | 5,000 | 5,316 | |
Korea Development Bank | 1.500% | 1/22/18 | 2,000 | 1,952 | |
Korea Finance Corp. | 3.250% | 9/20/16 | 1,000 | 1,046 | |
Korea Finance Corp. | 4.625% | 11/16/21 | 2,000 | 2,152 | |
7 | Korea Western Power Co. Ltd. | 3.125% | 5/10/17 | 1,300 | 1,339 |
7 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 2,000 | 2,020 |
7 | Kowloon-Canton Railway Corp. | 5.125% | 5/20/19 | 2,500 | 2,799 |
11 | Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 5,000 | 5,161 |
11 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 2,000 | 1,936 |
7 | Mega Advance Investments Ltd. | 5.000% | 5/12/21 | 2,000 | 2,056 |
Nexen Energy ULC | 6.200% | 7/30/19 | 2,000 | 2,332 | |
North American Development Bank | 2.300% | 10/10/18 | 1,500 | 1,494 | |
North American Development Bank | 2.400% | 10/26/22 | 1,300 | 1,201 | |
Pemex Project Funding Master Trust | 5.750% | 3/1/18 | 15,500 | 17,127 | |
7 | Pertamina Persero PT | 6.000% | 5/3/42 | 1,000 | 812 |
Petrobras International Finance Co. | 5.875% | 3/1/18 | 30,330 | 32,229 | |
Petrobras International Finance Co. | 5.750% | 1/20/20 | 21,375 | 22,037 | |
Petrobras International Finance Co. | 5.375% | 1/27/21 | 19,775 | 19,540 | |
Petrobras International Finance Co. | 6.750% | 1/27/41 | 2,500 | 2,254 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 3,200 | 3,855 | |
Petroleos Mexicanos | 6.000% | 3/5/20 | 7,000 | 7,698 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 6,500 | 6,929 | |
Petroleos Mexicanos | 4.875% | 1/24/22 | 16,000 | 16,259 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 2,000 | 1,815 | |
7 | Petronas Capital Ltd. | 5.250% | 8/12/19 | 2,000 | 2,222 |
Province of British Columbia | 2.650% | 9/22/21 | 1,500 | 1,501 | |
Province of Manitoba | 1.750% | 5/30/19 | 2,000 | 1,990 |
63
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Province of New Brunswick | 2.750% | 6/15/18 | 2,500 | 2,627 | |
Province of Ontario | 1.000% | 7/22/16 | 3,575 | 3,589 | |
Province of Ontario | 3.000% | 7/16/18 | 15,000 | 15,876 | |
Province of Ontario | 4.000% | 10/7/19 | 4,500 | 4,941 | |
PTT Public Co. Ltd. | 3.375% | 10/25/22 | 2,000 | 1,798 | |
7,12 | Qatari Diar Finance QSC | 3.500% | 7/21/15 | 500 | 517 |
7 | Qtel International Finance Ltd. | 4.750% | 2/16/21 | 1,500 | 1,583 |
7 | Qtel International Finance Ltd. | 3.250% | 2/21/23 | 700 | 640 |
Quebec | 2.750% | 8/25/21 | 10,500 | 10,422 | |
Quebec | 2.625% | 2/13/23 | 5,700 | 5,389 | |
7 | Ras Laffan Liquefied Natural Gas Co. Ltd. III | 5.500% | 9/30/14 | 2,725 | 2,797 |
Republic of Chile | 3.250% | 9/14/21 | 4,700 | 4,672 | |
Republic of Colombia | 7.375% | 3/18/19 | 2,000 | 2,386 | |
Republic of Colombia | 4.375% | 7/12/21 | 10,200 | 10,394 | |
Republic of Colombia | 6.125% | 1/18/41 | 4,000 | 4,200 | |
5 | Republic of Colombia | 5.625% | 2/26/44 | 3,000 | 2,982 |
Republic of Hungary | 5.750% | 11/22/23 | 2,350 | 2,341 | |
7 | Republic of Iceland | 4.875% | 6/16/16 | 1,000 | 1,043 |
7 | Republic of Indonesia | 6.625% | 2/17/37 | 1,000 | 993 |
Republic of Italy | 4.750% | 1/25/16 | 1,000 | 1,069 | |
Republic of Italy | 5.250% | 9/20/16 | 13,500 | 14,695 | |
Republic of Italy | 5.375% | 6/12/17 | 7,000 | 7,761 | |
Republic of Korea | 7.125% | 4/16/19 | 1,500 | 1,843 | |
7 | Republic of Latvia | 2.750% | 1/12/20 | 1,000 | 952 |
7 | Republic of Namibia | 5.500% | 11/3/21 | 500 | 503 |
Republic of Panama | 5.200% | 1/30/20 | 7,300 | 7,916 | |
Republic of Phillippines | 4.200% | 1/21/24 | 2,730 | 2,757 | |
Republic of Poland | 3.875% | 7/16/15 | 3,000 | 3,135 | |
Republic of Poland | 6.375% | 7/15/19 | 6,000 | 7,020 | |
Republic of Poland | 5.125% | 4/21/21 | 7,000 | 7,604 | |
Republic of Poland | 4.000% | 1/22/24 | 3,250 | 3,201 | |
7 | Republic of Romania | 4.375% | 8/22/23 | 1,000 | 950 |
7 | Republic of Romania | 4.875% | 1/22/24 | 2,500 | 2,466 |
7 | Republic of Serbia | 5.875% | 12/3/18 | 1,850 | 1,887 |
Republic of South Africa | 6.875% | 5/27/19 | 2,000 | 2,255 | |
Republic of South Africa | 5.500% | 3/9/20 | 4,000 | 4,231 | |
Republic of South Africa | 5.875% | 9/16/25 | 4,000 | 4,101 | |
Republic of Turkey | 7.000% | 9/26/16 | 28,200 | 30,907 | |
Republic of Turkey | 5.625% | 3/30/21 | 2,300 | 2,304 | |
Republic of Turkey | 3.250% | 3/23/23 | 9,500 | 7,804 | |
Republic of Turkey | 7.375% | 2/5/25 | 6,500 | 7,053 | |
5,7 | Russian Federation | 7.500% | 3/31/30 | 751 | 866 |
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 1,800 | 1,771 |
State of Israel | 5.125% | 3/26/19 | 2,550 | 2,900 | |
State of Israel | 3.150% | 6/30/23 | 2,000 | 1,921 | |
7 | State of Qatar | 5.250% | 1/20/20 | 1,000 | 1,124 |
Statoil ASA | 2.450% | 1/17/23 | 3,000 | 2,804 | |
Statoil ASA | 3.950% | 5/15/43 | 1,000 | 913 | |
Statoil ASA | 4.800% | 11/8/43 | 2,000 | 2,092 | |
Svensk Exportkredit AB | 1.750% | 10/20/15 | 3,000 | 3,067 | |
7 | TDIC Finance Ltd. | 6.500% | 7/2/14 | 2,600 | 2,665 |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,000 | 922 |
United Mexican States | 3.500% | 1/21/21 | 4,000 | 3,988 | |
United Mexican States | 5.550% | 1/21/45 | 7,000 | 7,058 | |
United Mexican States | 5.750% | 10/12/10 | 5,800 | 5,266 | |
VTB Bank OJSC Via VTB Capital SA | 6.000% | 4/12/17 | 2,000 | 2,128 | |
Total Sovereign Bonds (Cost $638,065) | 636,355 | ||||
Taxable Municipal Bonds (0.3%) | |||||
California GO | 5.750% | 3/1/17 | 2,000 | 2,246 | |
Florida Hurricane Catastrophe Fund Finance Corp. | |||||
Revenue | 2.995% | 7/1/20 | 1,250 | 1,230 | |
Illinois GO | 5.365% | 3/1/17 | 1,000 | 1,099 |
64
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Illinois GO | 5.000% | 1/1/23 | 1,000 | 1,009 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 2.885% | 1/1/21 | 1,000 | 981 |
Johns Hopkins University Maryland GO | 5.250% | 7/1/19 | 713 | 816 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
EGSL | 3.220% | 2/1/21 | 12,000 | 12,564 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
ELL | 3.450% | 2/1/22 | 5,475 | 5,815 |
4 Mississippi GO (Nissan North America, Inc. Project) | 0.870% | 11/1/17 | 5,520 | 5,535 |
4 New Mexico Educational Assistance Foundation 2013-1 | 0.870% | 1/2/25 | 5,524 | 5,499 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.125% | 2/1/24 | 1,500 | 1,695 |
New York State Dormitory Authority Revenue | ||||
(Employer Assessment) | 3.892% | 12/1/24 | 2,000 | 2,048 |
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,000 | 2,396 |
4 South Carolina Public Service Authority Revenue | 1.045% | 6/1/15 | 8,250 | 8,281 |
Texas GO | 3.682% | 8/1/24 | 2,000 | 2,046 |
University of California Revenue | 2.054% | 5/15/18 | 500 | 509 |
University of California Revenue | 2.300% | 5/15/21 | 1,000 | 962 |
Total Taxable Municipal Bonds (Cost $53,255) | 54,731 | |||
Tax-Exempt Municipal Bonds (1.0%) | ||||
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/36 | 1,580 | 1,701 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/37 | 3,275 | 3,517 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/38 | 2,020 | 2,160 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 5.000% | 4/1/43 | 1,780 | 1,851 |
California GO | 5.000% | 4/1/43 | 3,465 | 3,625 |
Cary NC Combined Enterprise System Revenue | 5.000% | 12/1/42 | 2,910 | 3,152 |
Contra Costa CA Community College District GO | 5.000% | 8/1/38 | 1,845 | 1,976 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 5.000% | 10/1/37 | 4,370 | 4,700 |
Houston TX Community College System GO | 5.000% | 2/15/43 | 2,650 | 2,828 |
Houston TX Utility System Revenue | 5.000% | 11/15/38 | 1,490 | 1,601 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.000% | 7/1/37 | 1,630 | 1,748 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.000% | 7/1/43 | 4,340 | 4,612 |
Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/35 | 3,820 | 4,140 |
7 Louisiana Public Facilities Authority Dock & Wharf | ||||
Revenue (Impala Warehousing LLC Project) | 6.500% | 7/1/36 | 3,300 | 3,064 |
Massachusetts GO | 5.000% | 8/1/37 | 6,890 | 7,411 |
Massachusetts GO | 5.000% | 8/1/41 | 13,775 | 14,706 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.000% | 5/15/38 | 3,285 | 3,551 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.000% | 10/15/41 | 3,310 | 3,516 |
Massachusetts School Building Authority Dedicated | ||||
Sales Tax Revenue | 5.000% | 5/15/43 | 2,320 | 2,480 |
New York City NY GO | 5.000% | 3/1/37 | 1,380 | 1,468 |
New York City NY Industrial Development Agency | ||||
Special Facility Revenue (American Airlines Inc. John | ||||
F. Kennedy International Airport Project) | 7.500% | 8/1/16 | 2,565 | 2,725 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.000% | 6/15/44 | 4,455 | 4,619 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.000% | 6/15/45 | 2,970 | 3,106 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.000% | 6/15/47 | 5,940 | 6,201 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.000% | 2/1/42 | 4,250 | 4,476 |
65
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.000% | 5/1/42 | 4,215 | 4,468 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.000% | 2/15/42 | 2,740 | 2,879 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.000% | 3/15/42 | 4,110 | 4,320 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.000% | 2/15/43 | 1,375 | 1,450 |
New York State Environmental Facilities Corp. Revenue | ||||
(State Revolving Funds) | 5.000% | 11/15/38 | 4,200 | 4,547 |
San Antonio TX Water Revenue | 5.000% | 5/15/40 | 6,600 | 7,081 |
San Diego CA Community College District GO | 5.000% | 8/1/43 | 8,965 | 9,536 |
St. Louis MO Metropolitan Sewer District Wastewater | ||||
System Revenue | 5.000% | 5/1/42 | 6,795 | 7,312 |
University of California Revenue | 5.000% | 5/15/36 | 2,070 | 2,242 |
University of California Revenue | 5.000% | 5/15/39 | 4,025 | 4,325 |
University of Colorado Enterprise System Revenue | 5.000% | 6/1/37 | 1,870 | 2,007 |
University of Virginia Revenue | 5.000% | 6/1/43 | 3,935 | 4,293 |
University of Washington Revenue | 5.000% | 7/1/41 | 6,640 | 7,140 |
Washington GO | 5.000% | 8/1/37 | 7,709 | 8,371 |
Washington GO | 5.000% | 8/1/38 | 8,190 | 8,866 |
Total Tax-Exempt Municipal Bonds (Cost $167,550) | 173,771 | |||
Shares | ||||
Convertible Preferred Stocks (0.0%) | ||||
8 Lehman Brothers Holdings Inc. Pfd. | ||||
7.250% | ||||
(Cost $8,571) | 8,740 | — | ||
Temporary Cash Investment (0.8%) | ||||
Money Market Fund (0.8%) | ||||
13 Vanguard Market Liquidity Fund (Cost $136,125) | 0.130% | 136,124,532 | 136,125 | |
Total Investments (98.5%) (Cost $16,075,999) | 16,468,148 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 124.50 | 2/21/14 | 524 | (770) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 125.50 | 2/21/14 | 532 | (407) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price 122.50 | 2/21/14 | 1,056 | (33) | |
Total Liability for Options Written (Premiums received $679) | (1,210) | |||
Other Assets and Other Liabilities—Net (1.5%) | 250,392 | |||
Net Assets (100%) | 16,717,330 |
1 Securities with a value of $14,303,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $813,000 have been segregated as collateral for open over-the-counter swap contracts.
3 Securities with a value of $552,000 have been segregated as initial margin for open cleared swap contracts.
4 Adjustable-rate security.
5 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.
6 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.
7 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 January 31, 2014, the aggregate value of these securities was $1,163,085,000, representing 7.0% of net assets.
66
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments
January 31, 2014
8 Non-income-producing security--security in default.
9 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
10 Guaranteed by the Government of Japan.
11 Guaranteed by the Federal Republic of Germany.
12 Guaranteed by the State of Qatar.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
67
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (2.8%) | |||||
U.S. Government Securities (2.4%) | |||||
1,2,3 | United States Treasury Note/Bond | 4.500% | 2/15/36 | 269,125 | 314,370 |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 5,447 | 5,592 | |
United States Treasury Strip Principal | 0.000% | 2/15/36 | 57,150 | 25,749 | |
345,711 | |||||
Agency Bonds and Notes (0.4%) | |||||
4 | Tennessee Valley Authority | 5.250% | 9/15/39 | 28,800 | 32,520 |
4 | Tennessee Valley Authority | 3.500% | 12/15/42 | 25,200 | 21,208 |
53,728 | |||||
Total U.S. Government and Agency Obligations (Cost $412,799) | 399,439 | ||||
Corporate Bonds (73.8%) | |||||
Finance (21.1%) | |||||
Banking (12.3%) | |||||
American Express Co. | 4.050% | 12/3/42 | 36,806 | 32,904 | |
Bank of America Corp. | 5.875% | 2/7/42 | 24,230 | 27,703 | |
Bank of America Corp. | 5.000% | 1/21/44 | 20,375 | 20,514 | |
Bank of America NA | 6.000% | 10/15/36 | 22,750 | 26,304 | |
Bank One Corp. | 7.750% | 7/15/25 | 25,000 | 31,844 | |
Bank One Corp. | 7.625% | 10/15/26 | 25,950 | 33,115 | |
Bank One Corp. | 8.000% | 4/29/27 | 30,869 | 40,677 | |
Citigroup Inc. | 3.500% | 5/15/23 | 9,665 | 8,945 | |
Citigroup Inc. | 3.875% | 10/25/23 | 9,035 | 8,895 | |
Citigroup Inc. | 6.875% | 6/1/25 | 1,000 | 1,200 | |
Citigroup Inc. | 6.625% | 1/15/28 | 25,000 | 29,460 | |
Citigroup Inc. | 6.625% | 6/15/32 | 56,285 | 63,640 | |
Citigroup Inc. | 6.000% | 10/31/33 | 42,375 | 45,189 | |
Citigroup Inc. | 6.125% | 8/25/36 | 38,735 | 41,506 | |
Citigroup Inc. | 8.125% | 7/15/39 | 6,580 | 9,465 | |
Citigroup Inc. | 5.875% | 1/30/42 | 29,410 | 33,139 | |
Citigroup Inc. | 6.675% | 9/13/43 | 6,425 | 7,340 | |
Citigroup Inc. | 4.950% | 11/7/43 | 1,675 | 1,681 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 19,500 | 19,131 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 27,935 | 28,254 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.750% | 12/1/43 | 34,730 | 36,700 | |
5 | Deutsche Bank AG | 4.296% | 5/24/28 | 18,685 | 17,094 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 43,300 | 49,722 | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 53,500 | 57,487 | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 51,205 | 56,601 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 26,375 | 30,855 | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 50,700 | 56,551 | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 32,775 | 35,657 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 21,200 | 27,496 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 10,000 | 11,825 | |
HSBC Holdings plc | 6.500% | 9/15/37 | 38,600 | 46,111 | |
HSBC Holdings plc | 6.800% | 6/1/38 | 93,749 | 115,417 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 14,715 | 13,783 | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 90,000 | 109,681 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 24,415 | 26,482 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 900 | 1,001 | |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 95 | 102 | |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 52,680 | 56,406 | |
Merrill Lynch & Co. Inc. | 6.110% | 1/29/37 | 29,909 | 32,744 | |
Merrill Lynch & Co. Inc. | 7.750% | 5/14/38 | 20,705 | 26,817 | |
Morgan Stanley | 4.875% | 11/1/22 | 12,215 | 12,650 | |
Morgan Stanley | 4.100% | 5/22/23 | 7,905 | 7,684 | |
Morgan Stanley | 6.250% | 8/9/26 | 11,035 | 12,926 | |
Morgan Stanley | 7.250% | 4/1/32 | 45,450 | 57,834 | |
Morgan Stanley | 6.375% | 7/24/42 | 40,570 | 48,391 | |
6 | Societe Generale SA | 5.000% | 1/17/24 | 100 | 100 |
6 | Standard Chartered plc | 3.950% | 1/11/23 | 18,520 | 17,360 |
68
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
6 | Standard Chartered plc | 5.200% | 1/26/24 | 20,180 | 20,416 |
Wachovia Corp. | 6.605% | 10/1/25 | 30,000 | 35,529 | |
Wachovia Corp. | 5.500% | 8/1/35 | 23,955 | 25,242 | |
Wells Fargo & Co. | 4.125% | 8/15/23 | 4,800 | 4,791 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 21,081 | 21,680 | |
6 | Wells Fargo & Co. | 5.606% | 1/15/44 | 153,488 | 163,692 |
Brokerage (0.2%) | |||||
6 | FMR LLC | 6.450% | 11/15/39 | 18,200 | 22,011 |
Invesco Finance plc | 5.375% | 11/30/43 | 2,000 | 2,107 | |
Legg Mason Inc. | 5.625% | 1/15/44 | 2,000 | 2,020 | |
Finance Companies (2.9%) | |||||
General Electric Capital Corp. | 5.300% | 2/11/21 | 1,000 | 1,124 | |
General Electric Capital Corp. | 6.750% | 3/15/32 | 127,220 | 159,930 | |
General Electric Capital Corp. | 7.500% | 8/21/35 | 7,000 | 9,263 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 3,875 | 4,604 | |
General Electric Capital Corp. | 5.875% | 1/14/38 | 124,290 | 143,648 | |
General Electric Capital Corp. | 6.875% | 1/10/39 | 62,270 | 80,008 | |
5 | General Electric Capital Corp. | 6.250% | 12/29/49 | 10,000 | 10,521 |
Insurance (5.6%) | |||||
ACE Capital Trust II | 9.700% | 4/1/30 | 9,000 | 12,960 | |
ACE INA Holdings Inc. | 4.150% | 3/13/43 | 9,000 | 8,400 | |
Aetna Inc. | 4.125% | 11/15/42 | 26,510 | 24,408 | |
Allstate Corp. | 4.500% | 6/15/43 | 10,000 | 9,798 | |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 14,510 | 15,329 | |
AXA Financial Inc. | 7.000% | 4/1/28 | 24,910 | 28,551 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 44,777 | 42,578 | |
6 | Guardian Life Insurance Co. of America | 7.375% | 9/30/39 | 12,375 | 16,691 |
6 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 200 | 256 |
6 | John Hancock Life Insurance Co. | 7.375% | 2/15/24 | 30,000 | 36,494 |
5,6 | Massachusetts Mutual Life Insurance Co. | 7.625% | 11/15/23 | 6,000 | 7,554 |
6 | Massachusetts Mutual Life Insurance Co. | 8.875% | 6/1/39 | 24,091 | 35,990 |
MetLife Inc. | 6.500% | 12/15/32 | 900 | 1,109 | |
MetLife Inc. | 4.125% | 8/13/42 | 20,590 | 18,573 | |
MetLife Inc. | 4.875% | 11/13/43 | 2,049 | 2,055 | |
6 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 35,000 | 44,702 |
Munich Re America Corp. | 7.450% | 12/15/26 | 8,500 | 10,880 | |
5 | Nationwide Financial Services Inc. | 6.750% | 5/15/37 | 1,000 | 984 |
6 | Nationwide Mutual Insurance Co. | 8.250% | 12/1/31 | 6,285 | 7,976 |
6 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 43,446 | 63,494 |
6 | New York Life Insurance Co. | 5.875% | 5/15/33 | 45,275 | 51,311 |
6 | Pacific Life Insurance Co. | 9.250% | 6/15/39 | 29,145 | 42,380 |
5 | Progressive Corp. | 6.700% | 6/15/67 | 1,051 | 1,140 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 11,700 | 13,085 | |
Prudential Financial Inc. | 6.200% | 11/15/40 | 9,420 | 11,022 | |
6 | Swiss Re Treasury US Corp. | 4.250% | 12/6/42 | 12,470 | 11,303 |
6 | Teachers Insurance & Annuity Association of America | 6.850% | 12/16/39 | 22,752 | 29,392 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 5,000 | 6,537 | |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 1,355 | 1,699 | |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 50,236 | 57,887 | |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 10,900 | 13,528 | |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 12,740 | 16,108 | |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 28,722 | 37,185 | |
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 3,192 | 3,666 | |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 33,045 | 32,783 | |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 22,500 | 21,892 | |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 5,000 | 4,488 | |
WellPoint Inc. | 6.375% | 6/15/37 | 16,791 | 20,144 | |
WellPoint Inc. | 4.625% | 5/15/42 | 17,100 | 16,268 | |
XL Group plc | 6.375% | 11/15/24 | 7,600 | 8,949 |
69
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Real Estate Investment Trusts (0.1%) | ||||
Simon Property Group LP | 6.750% | 2/1/40 | 10,700 | 13,941 |
2,986,459 | ||||
Industrial (38.8%) | ||||
Basic Industry (0.7%) | ||||
Barrick North America Finance LLC | 5.700% | 5/30/41 | 1,500 | 1,355 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 2,000 | 1,870 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 15,000 | 13,982 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 38,000 | 39,341 |
Dow Chemical Co. | 7.375% | 11/1/29 | 7,550 | 9,739 |
Freeport-McMoRan Copper & Gold Inc. | 5.450% | 3/15/43 | 3,000 | 2,875 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 5,290 | 5,544 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 5,746 | 5,635 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 17,000 | 15,139 |
Teck Resources Ltd. | 5.200% | 3/1/42 | 700 | 632 |
Capital Goods (3.4%) | ||||
3M Co. | 6.375% | 2/15/28 | 23,140 | 30,016 |
3M Co. | 5.700% | 3/15/37 | 13,500 | 16,237 |
Boeing Co. | 6.125% | 2/15/33 | 30,065 | 37,253 |
Boeing Co. | 7.875% | 4/15/43 | 8,000 | 11,534 |
Caterpillar Inc. | 6.050% | 8/15/36 | 1,500 | 1,783 |
Caterpillar Inc. | 3.803% | 8/15/42 | 48,608 | 42,938 |
Deere & Co. | 7.125% | 3/3/31 | 15,000 | 19,967 |
Deere & Co. | 3.900% | 6/9/42 | 24,860 | 22,759 |
General Electric Co. | 4.125% | 10/9/42 | 14,925 | 13,968 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 4,850 | 4,380 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 5,000 | 5,549 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 12,311 | 12,777 |
Raytheon Co. | 4.700% | 12/15/41 | 18,960 | 19,479 |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 22,130 | 23,043 |
6 Siemens Financieringsmaatschappij NV | 6.125% | 8/17/26 | 15,710 | 18,763 |
United Technologies Corp. | 7.500% | 9/15/29 | 14,755 | 20,498 |
United Technologies Corp. | 6.125% | 7/15/38 | 45,475 | 56,943 |
United Technologies Corp. | 5.700% | 4/15/40 | 33,150 | 39,313 |
United Technologies Corp. | 4.500% | 6/1/42 | 87,180 | 87,789 |
Communication (8.5%) | ||||
21st Century Fox America Inc. | 6.400% | 12/15/35 | 25,200 | 29,537 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 9,300 | 10,685 |
21st Century Fox America Inc. | 7.900% | 12/1/95 | 10,000 | 12,038 |
Alltel Corp. | 6.800% | 5/1/29 | 2,697 | 3,262 |
Alltel Corp. | 7.875% | 7/1/32 | 24,162 | 32,434 |
America Movil SAB de CV | 6.375% | 3/1/35 | 2,500 | 2,853 |
America Movil SAB de CV | 6.125% | 3/30/40 | 22,720 | 24,148 |
America Movil SAB de CV | 4.375% | 7/16/42 | 33,010 | 27,658 |
AT&T Inc. | 6.500% | 9/1/37 | 6,000 | 6,869 |
AT&T Inc. | 5.350% | 9/1/40 | 151,161 | 151,241 |
AT&T Inc. | 5.550% | 8/15/41 | 11,630 | 11,902 |
AT&T Inc. | 4.300% | 12/15/42 | 76,705 | 65,871 |
AT&T Inc. | 4.350% | 6/15/45 | 90,058 | 77,212 |
6 British Sky Broadcasting Group plc | 3.125% | 11/26/22 | 2,410 | 2,305 |
CBS Corp. | 7.875% | 7/30/30 | 29,050 | 37,484 |
Comcast Corp. | 4.250% | 1/15/33 | 10,435 | 9,956 |
Comcast Corp. | 7.050% | 3/15/33 | 9,400 | 11,962 |
Comcast Corp. | 5.650% | 6/15/35 | 43,414 | 47,963 |
Comcast Corp. | 6.450% | 3/15/37 | 18,000 | 21,535 |
Comcast Corp. | 6.950% | 8/15/37 | 27,505 | 34,804 |
Comcast Corp. | 6.400% | 5/15/38 | 9,735 | 11,644 |
Comcast Corp. | 6.550% | 7/1/39 | 11,765 | 14,321 |
Comcast Corp. | 6.400% | 3/1/40 | 18,865 | 22,577 |
Comcast Corp. | 4.650% | 7/15/42 | 19,770 | 18,998 |
Comcast Corp. | 4.500% | 1/15/43 | 14,860 | 14,042 |
6 COX Communications Inc. | 6.450% | 12/1/36 | 9,000 | 9,727 |
70
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
6 COX Communications Inc. | 8.375% | 3/1/39 | 19,110 | 24,638 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 17,530 | 25,124 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.350% | 3/15/40 | 2,500 | 2,674 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 1,000 | 1,021 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.150% | 3/15/42 | 13,000 | 11,959 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 4,000 | 3,887 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 2,050 | 2,444 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 6,000 | 6,797 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 35,160 | 32,746 |
Orange SA | 8.750% | 3/1/31 | 39,675 | 56,956 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 2,000 | 2,021 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 3,500 | 4,010 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 2,000 | 2,118 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 24,590 | 23,581 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 2,810 | 2,751 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 5,145 | 4,541 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 20,000 | 26,135 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 14,000 | 16,458 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 33,000 | 36,791 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 41,149 | 48,155 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 25,808 | 31,577 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 9,225 | 11,780 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 54,925 | 66,101 |
Verizon Maryland LLC | 5.125% | 6/15/33 | 12,000 | 11,867 |
Vodafone Group plc | 6.150% | 2/27/37 | 15,705 | 17,682 |
Vodafone Group plc | 4.375% | 2/19/43 | 10,000 | 8,927 |
WPP Finance 2010 | 5.625% | 11/15/43 | 1,000 | 1,032 |
Consumer Cyclical (6.8%) | ||||
CVS Caremark Corp. | 6.250% | 6/1/27 | 11,035 | 13,426 |
CVS Caremark Corp. | 5.750% | 5/15/41 | 3,150 | 3,563 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 15,319 | 22,706 |
Ford Motor Co. | 7.450% | 7/16/31 | 10,750 | 13,522 |
Ford Motor Co. | 4.750% | 1/15/43 | 3,000 | 2,801 |
Historic TW Inc. | 6.625% | 5/15/29 | 24,775 | 29,720 |
Home Depot Inc. | 5.875% | 12/16/36 | 39,775 | 47,622 |
Home Depot Inc. | 5.950% | 4/1/41 | 14,000 | 16,873 |
Home Depot Inc. | 4.875% | 2/15/44 | 60,800 | 63,854 |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 26,010 | 31,863 |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 9,300 | 10,723 |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 8,000 | 9,323 |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 28,690 | 30,218 |
Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 3,000 | 2,707 |
McDonald's Corp. | 6.300% | 10/15/37 | 30,935 | 39,070 |
McDonald's Corp. | 6.300% | 3/1/38 | 36,635 | 46,293 |
McDonald's Corp. | 5.700% | 2/1/39 | 27,850 | 32,806 |
McDonald's Corp. | 3.625% | 5/1/43 | 13,250 | 11,637 |
NIKE Inc. | 3.625% | 5/1/43 | 16,460 | 14,605 |
Nordstrom Inc. | 6.950% | 3/15/28 | 750 | 937 |
6 Nordstrom Inc. | 5.000% | 1/15/44 | 1,000 | 1,039 |
Target Corp. | 6.500% | 10/15/37 | 22,750 | 28,016 |
Target Corp. | 7.000% | 1/15/38 | 12,205 | 15,802 |
Time Warner Inc. | 7.625% | 4/15/31 | 10,000 | 13,064 |
Time Warner Inc. | 6.500% | 11/15/36 | 10,000 | 11,684 |
Viacom Inc. | 4.375% | 3/15/43 | 248 | 219 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 51,000 | 70,739 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 4,789 | 5,319 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 42,625 | 54,365 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 83,350 | 103,026 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 10,000 | 11,726 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 20,000 | 21,229 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 16,855 | 18,140 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 75,432 | 88,584 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 21,745 | 20,134 |
71
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 15,300 | 15,881 |
Walt Disney Co. | 3.700% | 12/1/42 | 9,000 | 8,077 |
Walt Disney Co. | 7.550% | 7/15/93 | 25,900 | 31,535 |
Consumer Noncyclical (12.2%) | ||||
Abbott Laboratories | 6.000% | 4/1/39 | 17,905 | 21,721 |
AbbVie Inc. | 4.400% | 11/6/42 | 27,785 | 26,662 |
Altria Group Inc. | 9.950% | 11/10/38 | 1,608 | 2,558 |
Altria Group Inc. | 4.250% | 8/9/42 | 15,980 | 13,959 |
Altria Group Inc. | 5.375% | 1/31/44 | 1,250 | 1,283 |
Amgen Inc. | 6.375% | 6/1/37 | 28,000 | 33,719 |
Amgen Inc. | 5.375% | 5/15/43 | 4,850 | 5,170 |
Anheuser-Busch Cos. LLC | 6.750% | 12/15/27 | 3,500 | 4,343 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 5,000 | 6,380 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 11,460 | 13,268 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 10,000 | 9,232 |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 1,000 | 1,023 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 42,025 | 63,780 |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 10,000 | 14,908 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 25,140 | 22,294 |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 33,274 | 32,696 |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 7,809 | 7,120 |
5 Ascension Health Alliance | 4.847% | 11/15/53 | 10,040 | 10,234 |
AstraZeneca plc | 6.450% | 9/15/37 | 68,080 | 84,893 |
Baxter International Inc. | 3.650% | 8/15/42 | 6,690 | 5,844 |
Becton Dickinson & Co. | 7.000% | 8/1/27 | 8,300 | 10,508 |
Becton Dickinson & Co. | 6.700% | 8/1/28 | 5,066 | 6,305 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 4,500 | 3,705 |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 25,000 | 24,651 |
6 Cargill Inc. | 6.125% | 4/19/34 | 1,880 | 2,193 |
6 Cargill Inc. | 6.125% | 9/15/36 | 27,045 | 31,888 |
6 Cargill Inc. | 6.625% | 9/15/37 | 5,000 | 6,251 |
6 Cargill Inc. | 4.100% | 11/1/42 | 17,300 | 15,733 |
5 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 4,000 | 3,614 |
City of Hope | 5.623% | 11/15/43 | 10,000 | 10,319 |
ConAgra Foods Inc. | 6.625% | 8/15/39 | 1,500 | 1,825 |
ConAgra Foods Inc. | 4.650% | 1/25/43 | 1,000 | 947 |
Delhaize Group SA | 5.700% | 10/1/40 | 3,000 | 2,977 |
Diageo Capital plc | 3.875% | 4/29/43 | 12,400 | 11,228 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 5,000 | 4,796 |
Dignity Health California GO | 4.500% | 11/1/42 | 20,865 | 17,719 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 16,125 | 18,844 |
Eli Lilly & Co. | 5.950% | 11/15/37 | 1,000 | 1,209 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 1,000 | 1,174 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 19,960 | 23,243 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 20,597 | 23,396 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 55,905 | 70,937 |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 10,200 | 9,776 |
Johnson & Johnson | 6.950% | 9/1/29 | 22,457 | 30,651 |
Johnson & Johnson | 5.950% | 8/15/37 | 1,280 | 1,596 |
Johnson & Johnson | 4.500% | 9/1/40 | 12,015 | 12,498 |
Johnson & Johnson | 4.500% | 12/5/43 | 17,500 | 18,037 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 31,825 | 32,408 |
Kellogg Co. | 7.450% | 4/1/31 | 21,620 | 28,427 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 5,300 | 6,945 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 12,000 | 13,604 |
Koninklijke Philips NV | 6.875% | 3/11/38 | 2,000 | 2,540 |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 6,750 | 8,571 |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 2,500 | 2,555 |
5 Mayo Clinic | 3.774% | 11/15/43 | 13,095 | 11,350 |
Medtronic Inc. | 6.500% | 3/15/39 | 21,200 | 26,878 |
Medtronic Inc. | 4.500% | 3/15/42 | 10,000 | 9,911 |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 26,775 | 28,000 |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 11,285 | 9,944 |
72
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Merck & Co. Inc. | 6.500% | 12/1/33 | 30,320 | 39,367 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 43,715 | 56,846 |
Merck & Co. Inc. | 3.600% | 9/15/42 | 4,900 | 4,268 |
Merck & Co. Inc. | 4.150% | 5/18/43 | 11,325 | 10,761 |
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 11,000 | 12,901 |
Merck Sharp & Dohme Corp. | 5.850% | 6/30/39 | 23,920 | 28,836 |
Mylan Inc. | 5.400% | 11/29/43 | 2,870 | 2,967 |
North Shore Long Island Jewish Health Care Inc. Rev. | 4.800% | 11/1/42 | 11,015 | 10,182 |
North Shore Long Island Jewish Health Care Inc. Rev. | 6.150% | 11/1/43 | 25,000 | 28,548 |
Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 17,000 | 22,187 |
PepsiCo Inc. | 5.500% | 1/15/40 | 28,350 | 31,931 |
PepsiCo Inc. | 4.875% | 11/1/40 | 14,375 | 14,988 |
PepsiCo Inc. | 4.000% | 3/5/42 | 16,972 | 15,485 |
PepsiCo Inc. | 3.600% | 8/13/42 | 21,500 | 18,452 |
Pfizer Inc. | 7.200% | 3/15/39 | 60,817 | 83,808 |
Pfizer Inc. | 4.300% | 6/15/43 | 15,300 | 14,960 |
Pharmacia Corp. | 6.750% | 12/15/27 | 28,000 | 35,615 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 31,340 | 38,443 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 10,000 | 9,099 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 31,930 | 32,684 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 15,000 | 17,517 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 12,000 | 14,209 |
6 Roche Holdings Inc. | 7.000% | 3/1/39 | 47,905 | 65,922 |
6 SABMiller Holdings Inc. | 4.950% | 1/15/42 | 20,000 | 20,722 |
6 SC Johnson & Son Inc. | 4.000% | 5/15/43 | 15,045 | 13,859 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 37,690 | 37,652 |
6 Tesco plc | 6.150% | 11/15/37 | 24,520 | 27,946 |
Wyeth LLC | 5.950% | 4/1/37 | 72,150 | 87,499 |
Energy (3.2%) | ||||
Apache Corp. | 6.000% | 1/15/37 | 2,000 | 2,336 |
Apache Corp. | 5.100% | 9/1/40 | 5,665 | 5,922 |
Apache Corp. | 4.750% | 4/15/43 | 68,960 | 68,461 |
6 BG Energy Capital plc | 5.125% | 10/15/41 | 18,700 | 20,056 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 25,000 | 34,439 |
ConocoPhillips | 7.000% | 3/30/29 | 13,150 | 16,987 |
ConocoPhillips | 5.900% | 10/15/32 | 20,300 | 24,279 |
ConocoPhillips | 6.500% | 2/1/39 | 68,735 | 88,794 |
Diamond Offshore Drilling Inc. | 4.875% | 11/1/43 | 2,000 | 1,969 |
Encana Corp. | 6.500% | 8/15/34 | 15,463 | 17,650 |
Encana Corp. | 5.150% | 11/15/41 | 9,845 | 9,679 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 8,650 | 10,729 |
Shell International Finance BV | 6.375% | 12/15/38 | 52,060 | 66,151 |
Shell International Finance BV | 5.500% | 3/25/40 | 20,455 | 23,732 |
Shell International Finance BV | 4.550% | 8/12/43 | 11,065 | 11,180 |
Tosco Corp. | 7.800% | 1/1/27 | 15,000 | 20,666 |
Tosco Corp. | 8.125% | 2/15/30 | 20,000 | 28,631 |
Transocean Inc. | 7.500% | 4/15/31 | 500 | 582 |
Transocean Inc. | 6.800% | 3/15/38 | 1,000 | 1,106 |
Transocean Inc. | 7.350% | 12/15/41 | 1,100 | 1,333 |
Other Industrial (0.4%) | ||||
6 Hutchison Whampoa International 11 Ltd. | 4.625% | 1/13/22 | 21,060 | 21,876 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 6,000 | 7,295 |
5 Northwestern University GO | 4.643% | 12/1/44 | 28,215 | 29,757 |
Technology (2.5%) | ||||
Apple Inc. | 3.850% | 5/4/43 | 42,755 | 36,668 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 37,500 | 42,839 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 15,000 | 16,369 |
Hewlett-Packard Co. | 6.000% | 9/15/41 | 3,500 | 3,568 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 3,868 | 4,659 |
Intel Corp. | 4.800% | 10/1/41 | 24,080 | 24,241 |
Intel Corp. | 4.250% | 12/15/42 | 9,240 | 8,578 |
International Business Machines Corp. | 7.000% | 10/30/25 | 30,400 | 39,441 |
International Business Machines Corp. | 4.000% | 6/20/42 | 24,100 | 22,049 |
73
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Microsoft Corp. | 5.300% | 2/8/41 | 15,000 | 16,649 |
Microsoft Corp. | 3.750% | 5/1/43 | 10,000 | 8,792 |
Oracle Corp. | 6.500% | 4/15/38 | 43,833 | 55,043 |
Oracle Corp. | 6.125% | 7/8/39 | 19,559 | 23,649 |
Oracle Corp. | 5.375% | 7/15/40 | 38,580 | 42,648 |
Transportation (1.1%) | ||||
Burlington Northern Santa Fe LLC | 6.875% | 12/1/27 | 15,000 | 18,584 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 2,520 | 2,881 |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 9,097 | 9,870 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 6,100 | 6,252 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 10,000 | 9,436 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 10,875 | 10,215 |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 4,500 | 4,750 |
CSX Corp. | 6.220% | 4/30/40 | 11,820 | 14,038 |
CSX Corp. | 4.750% | 5/30/42 | 1,964 | 1,956 |
CSX Corp. | 4.400% | 3/1/43 | 29,085 | 27,462 |
6 ERAC USA Finance LLC | 7.000% | 10/15/37 | 14,621 | 18,052 |
5 Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 2,250 | 2,143 |
Union Pacific Corp. | 4.750% | 12/15/43 | 21,250 | 21,636 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 4,700 | 5,932 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 3,000 | 3,235 |
5,481,889 | ||||
Utilities (13.9%) | ||||
Electric (12.8%) | ||||
Alabama Power Co. | 5.700% | 2/15/33 | 12,800 | 14,828 |
Alabama Power Co. | 6.000% | 3/1/39 | 5,475 | 6,649 |
Alabama Power Co. | 5.500% | 3/15/41 | 13,015 | 15,028 |
Alabama Power Co. | 5.200% | 6/1/41 | 15,000 | 16,753 |
Appalachian Power Co. | 6.700% | 8/15/37 | 40,000 | 49,003 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 15,775 | 13,758 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 22,805 | 20,465 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 12,560 | 12,960 |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,955 | 16,407 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 15,000 | 18,867 |
Consolidated Edison Co. of New York Inc. | 5.100% | 6/15/33 | 9,330 | 9,928 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 10,000 | 11,947 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 17,690 | 21,827 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 12,990 | 17,253 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 6,250 | 7,245 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 9,045 | 10,780 |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 10,250 | 9,911 |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 16,485 | 15,310 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 8,200 | 10,140 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 52,400 | 62,673 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 5,500 | 6,257 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 18,000 | 17,693 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 53,072 | 50,244 |
Duke Energy Corp. | 3.950% | 10/15/23 | 5,920 | 6,037 |
Duke Energy Florida Inc. | 6.750% | 2/1/28 | 22,375 | 26,472 |
Duke Energy Florida Inc. | 5.650% | 4/1/40 | 11,860 | 14,137 |
Duke Energy Indiana Inc. | 6.350% | 8/15/38 | 4,000 | 5,088 |
Duke Energy Indiana Inc. | 6.450% | 4/1/39 | 9,100 | 11,762 |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 14,100 | 13,700 |
Duke Energy Indiana Inc. | 4.900% | 7/15/43 | 27,475 | 29,654 |
Duke Energy Progress Inc. | 5.700% | 4/1/35 | 7,500 | 8,601 |
Duke Energy Progress Inc. | 4.100% | 3/15/43 | 15,000 | 14,370 |
6 EDP Finance BV | 5.250% | 1/14/21 | 500 | 512 |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 3,000 | 2,954 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 2,500 | 2,599 |
FirstEnergy Corp. | 4.250% | 3/15/23 | 1,054 | 1,025 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 16,275 | 19,275 |
Florida Power & Light Co. | 5.400% | 9/1/35 | 13,380 | 15,321 |
74
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Florida Power & Light Co. | 6.200% | 6/1/36 | 3,500 | 4,369 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 7,350 | 8,817 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 19,780 | 22,434 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 10,000 | 9,676 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 26,975 | 24,731 |
Georgia Power Co. | 5.950% | 2/1/39 | 27,060 | 31,755 |
Georgia Power Co. | 5.400% | 6/1/40 | 10,100 | 11,200 |
Georgia Power Co. | 4.750% | 9/1/40 | 9,055 | 9,060 |
Georgia Power Co. | 4.300% | 3/15/42 | 5,000 | 4,760 |
Georgia Power Co. | 4.300% | 3/15/43 | 6,588 | 6,266 |
5 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 23,109 | 23,548 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 5,000 | 5,970 |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 30,000 | 31,636 |
MidAmerican Energy Holdings Co. | 6.125% | 4/1/36 | 18,600 | 21,921 |
MidAmerican Energy Holdings Co. | 5.950% | 5/15/37 | 10,350 | 12,062 |
National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 57,250 | 79,597 |
Nevada Power Co. | 6.650% | 4/1/36 | 6,530 | 8,317 |
Nevada Power Co. | 5.375% | 9/15/40 | 18,230 | 20,518 |
Northern States Power Co. | 6.200% | 7/1/37 | 39,400 | 49,322 |
Northern States Power Co. | 3.400% | 8/15/42 | 8,945 | 7,608 |
Oklahoma Gas & Electric Co. | 6.500% | 4/15/28 | 12,770 | 15,219 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 14,915 | 14,601 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 47,530 | 56,110 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 8,862 | 10,163 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 8,192 | 10,050 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 35,905 | 43,832 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 19,800 | 21,720 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 1,500 | 1,595 |
PacifiCorp | 6.100% | 8/1/36 | 15,000 | 18,603 |
PacifiCorp | 6.250% | 10/15/37 | 7,815 | 9,853 |
PacifiCorp | 6.350% | 7/15/38 | 20,000 | 25,606 |
PacifiCorp | 6.000% | 1/15/39 | 34,100 | 41,979 |
PacifiCorp | 4.100% | 2/1/42 | 25,070 | 24,195 |
Peco Energy Co. | 4.800% | 10/15/43 | 24,430 | 26,226 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,075 | 12,763 |
Progress Energy Inc. | 7.750% | 3/1/31 | 6,055 | 8,115 |
PSEG Power LLC | 8.625% | 4/15/31 | 26,547 | 37,534 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 15,055 | 13,248 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 23,483 | 20,964 |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 10,000 | 12,970 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 4,700 | 5,823 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 18,500 | 22,074 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 4,520 | 5,441 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 35,000 | 45,090 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 10,600 | 13,000 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 3,042 | 3,535 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 31,787 | 31,452 |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 3,330 | 3,425 |
Southern California Edison Co. | 6.000% | 1/15/34 | 20,095 | 24,620 |
Southern California Edison Co. | 5.950% | 2/1/38 | 16,100 | 19,623 |
Southern California Edison Co. | 4.500% | 9/1/40 | 12,000 | 12,232 |
Southern California Edison Co. | 3.900% | 12/1/41 | 5,425 | 5,053 |
Southern California Edison Co. | 4.050% | 3/15/42 | 7,625 | 7,249 |
Southern California Edison Co. | 4.650% | 10/1/43 | 29,800 | 30,895 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 25,055 | 25,428 |
Tampa Electric Co. | 6.150% | 5/15/37 | 35,000 | 42,952 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 69,129 |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 9,000 | 9,255 |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 17,500 | 18,606 |
Natural Gas (1.1%) | ||||
6 Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 4,500 | 4,567 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 1,500 | 1,567 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 14,325 | 13,472 |
75
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
5 Enterprise Products Operating LLC | 8.375% | 8/1/66 | 2,525 | 2,806 |
KeySpan Corp. | 5.875% | 4/1/33 | 12,000 | 13,433 |
KeySpan Corp. | 5.803% | 4/1/35 | 10,000 | 11,172 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 1,350 | 1,415 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 775 | 727 |
Southern California Gas Co. | 3.750% | 9/15/42 | 12,265 | 11,224 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 15,300 | 19,052 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 1,500 | 1,782 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 50,300 | 68,948 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 2,300 | 2,726 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 700 | 721 |
1,974,840 | ||||
Total Corporate Bonds (Cost $9,550,826) | 10,443,188 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (2.1%) | ||||
6 CDP Financial Inc. | 5.600% | 11/25/39 | 15,000 | 17,589 |
6 CNOOC Finance 2011 Ltd. | 5.750% | 1/26/41 | 9,620 | 10,304 |
6 CNPC HK Overseas Capital Ltd. | 5.950% | 4/28/41 | 21,540 | 23,524 |
6 Electricite de France | 4.875% | 1/22/44 | 22,905 | 22,442 |
6 Electricite de France | 6.000% | 1/22/14 | 2,280 | 2,440 |
6 Electricite de France SA | 6.950% | 1/26/39 | 18,040 | 22,705 |
Federative Republic of Brazil | 2.625% | 1/5/23 | 5,500 | 4,697 |
Federative Republic of Brazil | 7.125% | 1/20/37 | 1,000 | 1,123 |
Federative Republic of Brazil | 5.625% | 1/7/41 | 2,000 | 1,900 |
Gazprom OAO Via Gaz Capital SA | 8.625% | 4/28/34 | 1,500 | 1,759 |
Inter-American Development Bank | 4.375% | 1/24/44 | 17,735 | 18,220 |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 2,000 | 1,583 |
Petrobras International Finance Co. | 6.750% | 1/27/41 | 23,275 | 20,986 |
6 Petroleos Mexicanos | 6.375% | 1/23/45 | 4,800 | 4,801 |
Quebec | 7.500% | 9/15/29 | 10,000 | 13,793 |
Republic of Colombia | 7.375% | 3/18/19 | 2,500 | 2,983 |
5 Republic of Colombia | 2.625% | 3/15/23 | 3,500 | 3,047 |
5 Republic of Colombia | 5.625% | 2/26/44 | 5,000 | 4,970 |
6 Republic of Indonesia | 6.625% | 2/17/37 | 2,000 | 1,985 |
6 Republic of Indonesia | 6.750% | 1/15/44 | 2,850 | 2,878 |
Republic of Panama | 9.375% | 4/1/29 | 2,500 | 3,450 |
5 Republic of Peru | 6.550% | 3/14/37 | 3,000 | 3,412 |
Republic of Phillippines | 4.200% | 1/21/24 | 5,000 | 5,050 |
Republic of Poland | 4.000% | 1/22/24 | 1,000 | 985 |
Republic of Turkey | 6.875% | 3/17/36 | 3,000 | 3,017 |
Republic of Turkey | 6.000% | 1/14/41 | 1,500 | 1,334 |
6 Republic of Romania | 6.125% | 1/22/44 | 2,300 | 2,260 |
5 Russian Federation | 7.500% | 3/31/30 | 7,150 | 8,240 |
Statoil ASA | 5.100% | 8/17/40 | 12,550 | 13,697 |
Statoil ASA | 3.950% | 5/15/43 | 6,725 | 6,140 |
6 Temasek Financial I Ltd. | 3.375% | 7/23/42 | 28,355 | 22,985 |
United Mexican States | 4.750% | 3/8/44 | 37,526 | 33,039 |
United Mexican States | 5.550% | 1/21/45 | 5,000 | 5,042 |
United Mexican States | 5.750% | 10/12/10 | 2,000 | 1,816 |
Total Sovereign Bonds (Cost $303,984) | 294,196 | |||
Taxable Municipal Bonds (16.4%) | ||||
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.270% | 2/15/50 | 59,240 | 64,653 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.499% | 2/15/50 | 725 | 916 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 17,420 | 21,086 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 50,115 | 64,062 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 25,730 | 32,955 |
76
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 13,775 | 18,427 |
California GO | 7.500% | 4/1/34 | 30,655 | 41,319 |
California GO | 6.509% | 4/1/39 | 28,365 | 31,212 |
California GO | 7.550% | 4/1/39 | 61,550 | 85,891 |
California GO | 7.300% | 10/1/39 | 109,045 | 146,633 |
California GO | 7.350% | 11/1/39 | 1,955 | 2,630 |
California GO | 7.625% | 3/1/40 | 30,135 | 41,757 |
California GO | 7.600% | 11/1/40 | 74,320 | 104,757 |
California Public Works Board Lease Revenue (Various | ||||
Capital Projects) | 8.361% | 10/1/34 | 11,665 | 14,648 |
Chicago IL GO | 5.432% | 1/1/42 | 14,920 | 13,213 |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 15,710 | 18,118 |
7 Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 5.197% | 6/1/26 | 25,000 | 26,162 |
Connecticut GO | 5.770% | 3/15/25 | 20,365 | 24,138 |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 1,740 | 2,203 |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 2,200 | 2,420 |
Duke University North Carolina Revenue | 5.850% | 4/1/37 | 30,450 | 37,533 |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 39,585 | 44,028 |
Grand Parkway Transportation Corp. Texas System Toll | ||||
Revenue | 5.184% | 10/1/42 | 14,620 | 15,745 |
Houston TX GO | 6.290% | 3/1/32 | 25,000 | 28,877 |
Illinois GO | 5.100% | 6/1/33 | 166,920 | 161,665 |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 18,740 | 22,667 |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 170 | 199 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 5.716% | 7/1/39 | 4,175 | 4,786 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.008% | 7/1/39 | 11,850 | 13,856 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.574% | 7/1/45 | 30,580 | 40,311 |
Los Angeles CA Department of Water & Power | ||||
Revenue | 6.603% | 7/1/50 | 4,155 | 5,431 |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 19,500 | 22,592 |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 9,090 | 10,718 |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 64,235 | 82,602 |
Los Angeles County CA Metropolitan Transportation | ||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 15,100 | 17,180 |
Mississippi GO | 5.539% | 10/1/29 | 14,450 | 16,595 |
Missouri Health & Educational Facilities Authority | ||||
Revenue (Washington University) | 3.685% | 2/15/47 | 10,000 | 8,944 |
8 New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 50,002 | 61,939 |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 57,834 | 81,067 |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 67,555 | 91,638 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 12,780 | 15,157 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 18,210 | 22,254 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 6,980 | 8,595 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 6.282% | 6/15/42 | 7,225 | 7,920 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 32,580 | 39,622 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.508% | 8/1/37 | 2,875 | 3,343 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 65,755 | 90,387 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 5,950 | 7,088 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.289% | 3/15/33 | 7,325 | 8,194 |
77
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.628% | 3/15/39 | 19,595 | 22,548 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.600% | 3/15/40 | 2,000 | 2,319 |
New York State GO | 5.590% | 3/1/35 | 10,000 | 11,594 |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 26,971 | 34,584 |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 12,300 | 13,139 |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 31,483 | 29,470 |
Oregon GO | 5.892% | 6/1/27 | 14,590 | 17,354 |
9 Oregon School Boards Association GO | 4.759% | 6/30/28 | 10,000 | 10,952 |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 20,335 | 24,425 |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 21,245 | 24,646 |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 13,550 | 15,356 |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 2,000 | 2,065 |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 9,260 | 9,486 |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 42,380 | 42,833 |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 34,890 | 32,064 |
2 President & Fellows of Harvard College Massachusetts | ||||
GO | 6.300% | 10/1/37 | 60,993 | 67,778 |
Salt River Project Arizona Agricultural Improvement & | ||||
Power District Revenue | 4.839% | 1/1/41 | 16,625 | 17,934 |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 10,450 | 12,855 |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 13,370 | 13,373 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.000% | 11/1/40 | 400 | 474 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.950% | 11/1/50 | 13,325 | 17,461 |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 4,090 | 4,577 |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 6,655 | 7,113 |
University of California Regents General Revenue | 4.601% | 5/15/31 | 11,165 | 11,759 |
University of California Regents Medical Center | ||||
Revenue | 6.548% | 5/15/48 | 22,225 | 27,221 |
University of California Regents Medical Center | ||||
Revenue | 6.583% | 5/15/49 | 8,695 | 10,679 |
University of California Revenue | 5.770% | 5/15/43 | 5,155 | 6,101 |
University of California Revenue | 4.858% | 5/15/12 | 38,625 | 35,767 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.262% | 7/1/39 | 12,800 | 14,563 |
University of Texas System Revenue Financing System | ||||
Revenue | 4.794% | 8/15/46 | 9,915 | 10,706 |
Washington GO | 5.481% | 8/1/39 | 8,890 | 10,190 |
7 Wisconsin GO | 5.700% | 5/1/26 | 23,025 | 25,908 |
Total Taxable Municipal Bonds (Cost $2,110,175) | 2,315,427 | |||
Shares | ||||
Temporary Cash Investments (3.5%) | ||||
Money Market Fund (1.6%) | ||||
10 Vanguard Market Liquidity Fund | 0.130% | 220,938,440 | 220,938 | |
Face | ||||
Amount | ||||
($000) | ||||
Repurchase Agreements (1.8%) | ||||
Bank of America Securities, LLC(Dated 1/31/14, | ||||
Repurchase Value $118,400,000, collateralized by | ||||
Federal National Mortgage Assn. 2.500%-4.000%, | ||||
11/1/20-6/1/43, Federal Home Loan Mortgage Corp. | ||||
3.010%, 12/1/40; with a value of $120,773,000) | 0.020% | 2/3/14 | 118,400 | 118,400 |
78
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Barclays Capital Inc.(Dated 1/31/14, Repurchase Value | ||||
$105,700,000, collateralized by U.S. Treasury | ||||
Note/Bond 0.625%, 5/31/17; with a value of | ||||
$107,814,000) | 0.020% | 2/3/14 | 105,700 | 105,700 |
Citigroup Global Markets Inc.(Dated 1/31/14, | ||||
Repurchase Value $24,200,000, collateralized by U.S. | ||||
Treasury Note/Bond 0.625%, 7/15/16; with a value of | ||||
$24,684,000) | 0.020% | 2/3/14 | 24,200 | 24,200 |
248,300 | ||||
U.S. Government and Agency Obligations (0.1%) | ||||
United States Treasury Bill | 0.091% | 6/5/14 | 20,000 | 19,998 |
Total Temporary Cash Investments (Cost $489,232) | 489,236 | |||
Total Investments (98.6%) (Cost $12,867,016) | 13,941,486 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
42 | (62) | |||
Futures Contracts, Strike Price 124.50 | 2/21/14 | |||
Call Options on 10-year U.S. Treasury Note | ||||
43 | (33) | |||
Futures Contracts, Strike Price 125.50 | 2/21/14 | |||
Put Options on 10-year U.S. Treasury Note | ||||
85 | (3) | |||
Futures Contracts, Strike Price 122.50 | 2/21/14 | |||
Total Liability for Options Written (Premiums received $55) | (98) | |||
Other Assets and Liabilities—Net (1.4%) 11 | 196,468 | |||
Net Assets (100%) | 14,137,856 |
1 Securities with a value of $6,157,000 have been segregated as collateral for open over-the-counter swap contracts.
2 Securities with a value of $6,939,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $23,946,000 have been segregated as initial margin for open cleared swap contracts.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 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.
6 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 January 31, 2014, the aggregate value of these securities was $1,011,084,000, representing 7.2% of net assets.
7 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
8 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
9 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
11 Cash of $8,566,000 has been segregated as initial margin for open futures contracts.
GO—General Obligation Bond.
79
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (1.1%) | |||||
U.S. Government Securities (1.1%) | |||||
United States Treasury Note/Bond | 2.250% | 5/31/14 | 92,825 | 93,464 | |
United States Treasury Note/Bond | 4.250% | 8/15/15 | 75,000 | 79,629 | |
Total U.S. Government and Agency Obligations (Cost $170,701) | 173,093 | ||||
Asset-Backed/Commercial Mortgage-Backed Security (0.2%) | |||||
Avis Budget Car Rental LLC / Avis Budget Finance Inc. | |||||
(Cost $41,111) | 5.500% | 4/1/23 | 41,126 | 40,149 | |
Corporate Bonds (92.8%) | |||||
Finance (15.8%) | |||||
Banking (3.3%) | |||||
Ally Financial Inc. | 8.000% | 3/15/20 | 75,950 | 90,760 | |
Ally Financial Inc. | 7.500% | 9/15/20 | 58,250 | 68,444 | |
1 | Barclays Bank plc | 6.050% | 12/4/17 | 81,759 | 92,180 |
Barclays Bank plc | 5.140% | 10/14/20 | 24,155 | 26,105 | |
1 | Lloyds Bank plc | 6.500% | 9/14/20 | 28,730 | 32,911 |
Royal Bank of Scotland Group plc | 6.125% | 12/15/22 | 113,600 | 116,808 | |
Royal Bank of Scotland Group plc | 6.000% | 12/19/23 | 21,835 | 22,077 | |
UBS AG | 7.625% | 8/17/22 | 80,150 | 92,454 | |
Finance Companies (9.9%) | |||||
2 | Air Lease Corp. | 5.625% | 4/1/17 | 125,330 | 137,550 |
Air Lease Corp. | 4.750% | 3/1/20 | 63,582 | 65,489 | |
CIT Group Inc. | 4.250% | 8/15/17 | 48,445 | 50,383 | |
CIT Group Inc. | 5.250% | 3/15/18 | 102,005 | 108,635 | |
1 | CIT Group Inc. | 6.625% | 4/1/18 | 120,655 | 134,832 |
1 | CIT Group Inc. | 5.500% | 2/15/19 | 78,830 | 83,954 |
CIT Group Inc. | 5.375% | 5/15/20 | 98,370 | 104,026 | |
CIT Group Inc. | 5.000% | 8/15/22 | 98,135 | 97,767 | |
Homer City Generation LP | 8.734% | 10/1/26 | 50,856 | 53,653 | |
International Lease Finance Corp. | 5.750% | 5/15/16 | 19,146 | 20,510 | |
1 | International Lease Finance Corp. | 6.750% | 9/1/16 | 32,895 | 36,431 |
International Lease Finance Corp. | 8.750% | 3/15/17 | 38,820 | 45,225 | |
International Lease Finance Corp. | 3.875% | 4/15/18 | 42,475 | 42,687 | |
1 | International Lease Finance Corp. | 7.125% | 9/1/18 | 55,210 | 64,044 |
International Lease Finance Corp. | 5.875% | 4/1/19 | 46,220 | 49,571 | |
International Lease Finance Corp. | 6.250% | 5/15/19 | 70,781 | 76,797 | |
International Lease Finance Corp. | 8.250% | 12/15/20 | 51,121 | 60,067 | |
International Lease Finance Corp. | 4.625% | 4/15/21 | 29,400 | 28,077 | |
International Lease Finance Corp. | 8.625% | 1/15/22 | 29,100 | 34,484 | |
1 | Provident Funding Associates LP / PFG Finance Corp. | 6.750% | 6/15/21 | 41,490 | 40,868 |
SLM Corp. | 6.250% | 1/25/16 | 24,445 | 26,287 | |
SLM Corp. | 6.000% | 1/25/17 | 13,990 | 15,167 | |
SLM Corp. | 8.450% | 6/15/18 | 44,100 | 50,861 | |
SLM Corp. | 5.500% | 1/15/19 | 79,080 | 80,918 | |
SLM Corp. | 8.000% | 3/25/20 | 58,325 | 65,111 | |
SLM Corp. | 7.250% | 1/25/22 | 19,145 | 20,174 | |
SLM Corp. | 5.500% | 1/25/23 | 26,630 | 24,945 | |
Insurance (1.9%) | |||||
3 | Hartford Financial Services Group Inc. | 8.125% | 6/15/38 | 94,960 | 110,628 |
3 | ING US Inc. | 5.650% | 5/15/53 | 37,580 | 36,077 |
1 | Liberty Mutual Group Inc. | 7.800% | 3/15/37 | 58,440 | 62,823 |
1,3 | MetLife Capital Trust IV | 7.875% | 12/15/67 | 46,910 | 53,947 |
1,3 | MetLife Capital Trust X | 9.250% | 4/8/68 | 33,000 | 42,570 |
Unum Group | 7.375% | 6/15/32 | 6,295 | 6,639 | |
Other Finance (0.4%) | |||||
4 | Telenet Finance III Luxembourg SCA | 6.625% | 2/15/21 | 3,700 | 5,412 |
4 | Telenet Finance Luxembourg SCA | 6.375% | 11/15/20 | 10,145 | 14,714 |
4 | Telenet Finance V Luxembourg SCA | 6.250% | 8/15/22 | 15,989 | 23,244 |
4 | Telenet Finance V Luxembourg SCA | 6.750% | 8/15/24 | 18,755 | 27,319 |
80
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Real Estate Investment Trusts (0.3%) | |||||
Felcor Lodging LP | 5.625% | 3/1/23 | 42,805 | 41,735 | |
2,585,360 | |||||
Industrial (71.0%) | |||||
Basic Industry (4.3%) | |||||
2,5 | Arch Coal Inc. Bank Loan | 6.250% | 5/16/18 | 67,173 | 66,477 |
Ashland Inc. | 3.875% | 4/15/18 | 19,130 | 19,417 | |
1 | Axiall Corp. | 4.875% | 5/15/23 | 7,245 | 6,883 |
Cascades Inc. | 7.750% | 12/15/17 | 32,145 | 33,431 | |
Cascades Inc. | 7.875% | 1/15/20 | 9,330 | 9,960 | |
Celanese US Holdings LLC | 6.625% | 10/15/18 | 11,265 | 11,927 | |
Celanese US Holdings LLC | 5.875% | 6/15/21 | 12,740 | 13,568 | |
Chemtura Corp. | 5.750% | 7/15/21 | 4,760 | 4,861 | |
Cloud Peak Energy Resources LLC / Cloud Peak Energy | |||||
Finance Corp. | 8.250% | 12/15/17 | 18,500 | 19,332 | |
Cloud Peak Energy Resources LLC / Cloud Peak Energy | |||||
Finance Corp. | 8.500% | 12/15/19 | 7,570 | 8,176 | |
CONSOL Energy Inc. | 8.000% | 4/1/17 | 14,945 | 15,692 | |
CONSOL Energy Inc. | 8.250% | 4/1/20 | 39,305 | 42,842 | |
1 | Eagle Spinco Inc. | 4.625% | 2/15/21 | 12,900 | 12,577 |
1 | FMG Resources August 2006 Pty Ltd. | 7.000% | 11/1/15 | 25,483 | 26,439 |
1 | FMG Resources August 2006 Pty Ltd. | 6.375% | 2/1/16 | 9,720 | 10,036 |
Hexion US Finance Corp. | 6.625% | 4/15/20 | 68,400 | 71,136 | |
1 | INEOS Finance plc | 8.375% | 2/15/19 | 56,035 | 62,059 |
1 | INEOS Finance plc | 7.500% | 5/1/20 | 53,610 | 58,569 |
Novelis Inc. | 8.375% | 12/15/17 | 40,790 | 43,441 | |
Novelis Inc. | 8.750% | 12/15/20 | 48,570 | 53,913 | |
Peabody Energy Corp. | 7.375% | 11/1/16 | 69,675 | 78,558 | |
Peabody Energy Corp. | 7.875% | 11/1/26 | 36,300 | 37,389 | |
Capital Goods (7.9%) | |||||
1 | Ardagh Packaging Finance plc | 7.375% | 10/15/17 | 42,300 | 45,049 |
1 | Ardagh Packaging Finance plc | 9.125% | 10/15/20 | 24,775 | 27,067 |
1 | Ardagh Packaging Finance PLC / Ardagh MP Holdings | ||||
USA Inc. | 7.375% | 10/15/17 | 3,290 | 3,500 | |
1 | Ashtead Capital Inc. | 6.500% | 7/15/22 | 28,180 | 30,153 |
B/E Aerospace Inc. | 6.875% | 10/1/20 | 37,830 | 41,329 | |
B/E Aerospace Inc. | 5.250% | 4/1/22 | 104,885 | 105,672 | |
1 | BlueLine Rental Finance Corp. | 7.000% | 2/1/19 | 7,640 | 7,888 |
1 | Building Materials Corp. of America | 6.875% | 8/15/18 | 14,580 | 15,382 |
1 | Building Materials Corp. of America | 6.750% | 5/1/21 | 50,565 | 54,863 |
Case New Holland Inc. | 7.875% | 12/1/17 | 91,500 | 107,055 | |
Clean Harbors Inc. | 5.250% | 8/1/20 | 40,606 | 41,469 | |
Clean Harbors Inc. | 5.125% | 6/1/21 | 11,845 | 11,845 | |
CNH Capital LLC | 3.875% | 11/1/15 | 11,740 | 12,063 | |
CNH Capital LLC | 6.250% | 11/1/16 | 43,785 | 47,999 | |
CNH Capital LLC | 3.625% | 4/15/18 | 34,260 | 34,688 | |
Crown Americas LLC / Crown Americas Capital Corp. III | 6.250% | 2/1/21 | 38,900 | 41,915 | |
1 | Fibria Overseas Finance Ltd. | 7.500% | 5/4/20 | 17,161 | 18,834 |
HD Supply Inc. | 8.125% | 4/15/19 | 26,370 | 29,337 | |
Huntington Ingalls Industries Inc. | 6.875% | 3/15/18 | 30,665 | 32,965 | |
Huntington Ingalls Industries Inc. | 7.125% | 3/15/21 | 43,475 | 47,931 | |
Masco Corp. | 6.125% | 10/3/16 | 17,785 | 19,633 | |
Masco Corp. | 5.850% | 3/15/17 | 9,404 | 10,371 | |
Masco Corp. | 6.625% | 4/15/18 | 3,895 | 4,347 | |
Masco Corp. | 7.125% | 3/15/20 | 59,416 | 68,180 | |
Masco Corp. | 5.950% | 3/15/22 | 24,000 | 25,500 | |
Masco Corp. | 7.750% | 8/1/29 | 16,486 | 18,653 | |
Masco Corp. | 6.500% | 8/15/32 | 5,880 | 5,876 | |
Owens Corning | 9.000% | 6/15/19 | 39,840 | 49,352 | |
Owens Corning | 7.000% | 12/1/36 | 5,380 | 6,032 |
81
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Reynolds Group Issuer Inc. / Reynolds Group Issuer | |||||
LLC / Reynolds Group Issuer Lu | 7.125% | 4/15/19 | 63,750 | 67,416 | |
TransDigm Inc. | 5.500% | 10/15/20 | 35,905 | 35,501 | |
United Rentals North America Inc. | 5.750% | 7/15/18 | 15,155 | 16,197 | |
United Rentals North America Inc. | 7.375% | 5/15/20 | 49,275 | 54,634 | |
United Rentals North America Inc. | 8.250% | 2/1/21 | 3,585 | 4,024 | |
United Rentals North America Inc. | 7.625% | 4/15/22 | 30,495 | 34,383 | |
United Rentals North America Inc. | 6.125% | 6/15/23 | 12,545 | 12,984 | |
Vulcan Materials Co. | 6.400% | 11/30/17 | 18,020 | 20,588 | |
Vulcan Materials Co. | 7.000% | 6/15/18 | 56,250 | 65,109 | |
Vulcan Materials Co. | 7.500% | 6/15/21 | 2,485 | 2,864 | |
Vulcan Materials Co. | 7.150% | 11/30/37 | 7,270 | 7,234 | |
Communication (23.0%) | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. | 7.000% | 1/15/19 | 30,985 | 32,728 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 8.125% | 4/30/20 | 37,042 | 40,283 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 6.500% | 4/30/21 | 18,025 | 18,791 | |
CSC Holdings LLC | 7.875% | 2/15/18 | 27,180 | 31,053 | |
CSC Holdings LLC | 7.625% | 7/15/18 | 79,045 | 90,309 | |
CSC Holdings LLC | 8.625% | 2/15/19 | 10,520 | 12,308 | |
CSC Holdings LLC | 6.750% | 11/15/21 | 10,914 | 11,828 | |
DISH DBS Corp. | 4.625% | 7/15/17 | 9,730 | 10,192 | |
DISH DBS Corp. | 7.875% | 9/1/19 | 11,685 | 13,336 | |
DISH DBS Corp. | 6.750% | 6/1/21 | 133,715 | 142,741 | |
DISH DBS Corp. | 5.875% | 7/15/22 | 65,390 | 65,472 | |
DISH DBS Corp. | 5.000% | 3/15/23 | 20,135 | 18,902 | |
1 | eAccess Ltd. | 8.250% | 4/1/18 | 45,540 | 49,411 |
Embarq Corp. | 7.995% | 6/1/36 | 23,035 | 23,911 | |
1 | Gannett Co. Inc. | 5.125% | 10/15/19 | 16,530 | 17,088 |
1 | Gannett Co. Inc. | 5.125% | 7/15/20 | 64,680 | 65,003 |
1 | Gannett Co. Inc. | 6.375% | 10/15/23 | 48,800 | 50,142 |
Hughes Satellite Systems Corp. | 6.500% | 6/15/19 | 88,991 | 96,555 | |
1 | IAC/InterActiveCorp | 4.875% | 11/30/18 | 19,725 | 20,218 |
IAC/InterActiveCorp | 4.750% | 12/15/22 | 22,085 | 20,870 | |
1 | Inmarsat Finance plc | 7.375% | 12/1/17 | 20,655 | 21,533 |
Intelsat Jackson Holdings SA | 7.250% | 4/1/19 | 85,330 | 91,730 | |
Intelsat Jackson Holdings SA | 8.500% | 11/1/19 | 14,265 | 15,478 | |
Intelsat Jackson Holdings SA | 7.250% | 10/15/20 | 164,947 | 178,761 | |
Intelsat Jackson Holdings SA | 7.500% | 4/1/21 | 43,900 | 48,290 | |
1 | Intelsat Jackson Holdings SA | 5.500% | 8/1/23 | 58,000 | 55,245 |
Lamar Media Corp. | 5.875% | 2/1/22 | 17,195 | 17,840 | |
Lamar Media Corp. | 5.000% | 5/1/23 | 36,840 | 35,551 | |
2,5 | Level 3 Financing, Inc. Bank Loan | 4.000% | 1/15/20 | 40,855 | 41,100 |
Liberty Interactive LLC | 8.500% | 7/15/29 | 31,878 | 33,791 | |
Liberty Interactive LLC | 8.250% | 2/1/30 | 97,840 | 104,689 | |
MetroPCS Wireless Inc. | 7.875% | 9/1/18 | 55,420 | 59,161 | |
MetroPCS Wireless Inc. | 6.625% | 11/15/20 | 75,800 | 80,158 | |
National CineMedia LLC | 6.000% | 4/15/22 | 32,455 | 33,591 | |
1 | NBCUniversal Enterprise Inc. | 5.250% | 12/19/49 | 62,790 | 63,104 |
Nielsen Finance LLC / Nielsen Finance Co. | 7.750% | 10/15/18 | 48,300 | 51,862 | |
Quebecor Media Inc. | 7.750% | 3/15/16 | 26,840 | 27,041 | |
Quebecor Media Inc. | 5.750% | 1/15/23 | 84,210 | 82,031 | |
Qwest Corp. | 6.875% | 9/15/33 | 34,167 | 33,057 | |
SBA Communications Corp. | 5.625% | 10/1/19 | 37,650 | 38,779 | |
SBA Telecommunications Inc. | 8.250% | 8/15/19 | 15,173 | 16,197 | |
SBA Telecommunications Inc. | 5.750% | 7/15/20 | 15,106 | 15,672 | |
1 | Sirius XM Radio Inc. | 4.250% | 5/15/20 | 8,595 | 8,015 |
1 | Sirius XM Radio Inc. | 5.250% | 8/15/22 | 39,841 | 41,036 |
1 | Sirius XM Radio Inc. | 4.625% | 5/15/23 | 24,150 | 21,493 |
1 | Softbank Corp. | 4.500% | 4/15/20 | 159,095 | 156,013 |
1 | Sprint Corp. | 7.250% | 9/15/21 | 95,745 | 103,165 |
1 | Sprint Corp. | 7.875% | 9/15/23 | 89,370 | 95,402 |
1 | Sprint Corp. | 7.125% | 6/15/24 | 30,930 | 31,162 |
1 | Sprint Nextel Corp. | 9.000% | 11/15/18 | 92,545 | 111,748 |
82
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | Sprint Nextel Corp. | 7.000% | 3/1/20 | 135,830 | 153,148 |
Starz LLC / Starz Finance Corp. | 5.000% | 9/15/19 | 30,905 | 31,794 | |
1 | T-Mobile USA Inc. | 5.250% | 9/1/18 | 13,725 | 14,446 |
T-Mobile USA Inc. | 6.464% | 4/28/19 | 41,835 | 44,031 | |
T-Mobile USA Inc. | 6.633% | 4/28/21 | 71,475 | 75,049 | |
T-Mobile USA Inc. | 6.125% | 1/15/22 | 10,000 | 10,225 | |
T-Mobile USA Inc. | 6.731% | 4/28/22 | 51,165 | 53,851 | |
T-Mobile USA Inc. | 6.836% | 4/28/23 | 34,920 | 36,404 | |
T-Mobile USA Inc. | 6.500% | 1/15/24 | 14,750 | 15,045 | |
2,5 | Tribune Company Bank Loan | 4.000% | 12/27/20 | 117,504 | 117,308 |
1,4 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.500% | 9/15/22 | 9,675 | 13,675 | |
4 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.500% | 9/15/22 | 3,057 | 4,321 | |
1 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.500% | 1/15/23 | 46,780 | 46,897 | |
1,4 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.750% | 1/15/23 | 6,820 | 9,639 | |
4 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.750% | 1/15/23 | 3,180 | 4,494 | |
1,4 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.625% | 4/15/23 | 17,268 | 24,231 | |
1,4 | Unitymedia KabelBW GmbH | 9.500% | 3/15/21 | 12,400 | 19,365 |
4 | Unitymedia KabelBW GmbH | 9.500% | 3/15/21 | 7,600 | 11,869 |
1 | UPCB Finance III Ltd. | 6.625% | 7/1/20 | 83,121 | 87,894 |
1 | UPCB Finance V Ltd. | 7.250% | 11/15/21 | 40,995 | 44,582 |
1 | UPCB Finance VI Ltd. | 6.875% | 1/15/22 | 42,036 | 44,968 |
Videotron Ltd. | 9.125% | 4/15/18 | 11,880 | 12,415 | |
Videotron Ltd. | 5.000% | 7/15/22 | 82,242 | 80,597 | |
Virgin Media Finance plc | 8.375% | 10/15/19 | 14,560 | 15,725 | |
1 | Virgin Media Secured Finance plc | 5.375% | 4/15/21 | 29,130 | 29,057 |
1 | Wind Acquisition Finance SA | 11.750% | 7/15/17 | 70,775 | 74,668 |
Windstream Holdings Inc. | 7.875% | 11/1/17 | 42,820 | 48,815 | |
Windstream Holdings Inc. | 8.125% | 9/1/18 | 22,355 | 23,920 | |
Zayo Group LLC / Zayo Capital Inc. | 8.125% | 1/1/20 | 20,870 | 23,009 | |
Zayo Group LLC / Zayo Capital Inc. | 10.125% | 7/1/20 | 45,970 | 53,095 | |
Consumer Cyclical (10.9%) | |||||
1 | Activision Blizzard Inc. | 5.625% | 9/15/21 | 23,120 | 24,045 |
1 | ADT Corp. | 6.250% | 10/15/21 | 59,125 | 61,194 |
AMC Entertainment Inc. | 8.750% | 6/1/19 | 61,485 | 65,328 | |
AutoNation Inc. | 5.500% | 2/1/20 | 15,796 | 16,902 | |
1 | Carlson Wagonlit BV | 6.875% | 6/15/19 | 76,610 | 79,674 |
Chrysler Group LLC / CG Co-Issuer Inc. | 8.000% | 6/15/19 | 32,260 | 35,083 | |
Cinemark USA Inc. | 5.125% | 12/15/22 | 6,030 | 5,894 | |
1 | Continental Rubber of America Corp. | 4.500% | 9/15/19 | 58,885 | 61,829 |
Corrections Corp. of America | 4.125% | 4/1/20 | 23,805 | 23,150 | |
Corrections Corp. of America | 4.625% | 5/1/23 | 33,490 | 31,481 | |
Delphi Corp. | 5.875% | 5/15/19 | 34,727 | 36,550 | |
Delphi Corp. | 6.125% | 5/15/21 | 12,865 | 14,184 | |
1 | General Motors Co. | 4.875% | 10/2/23 | 16,585 | 16,875 |
1 | General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 97,350 | 102,948 |
1 | General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 13,040 | 13,170 |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 43,795 | 50,036 | |
1 | General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 16,980 | 16,258 |
Hanesbrands Inc. | 6.375% | 12/15/20 | 33,810 | 36,853 | |
2,5 | Hilton Worldwide Finance LLC Bank Loan | 3.750% | 10/26/20 | 81,388 | 81,915 |
2,5 | Hilton Worldwide Finance LLC Bank Loan | 3.750% | 10/26/20 | 29,596 | 29,787 |
Host Hotels & Resorts LP | 5.875% | 6/15/19 | 16,470 | 17,849 | |
2,5 | Ion Media Networks Bank Loan | 5.000% | 12/18/20 | 37,145 | 37,447 |
L Brands Inc. | 8.500% | 6/15/19 | 4,860 | 5,832 | |
L Brands Inc. | 7.000% | 5/1/20 | 22,210 | 24,986 | |
L Brands Inc. | 6.625% | 4/1/21 | 42,435 | 46,254 | |
L Brands Inc. | 5.625% | 2/15/22 | 19,235 | 19,476 |
83
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Neiman Marcus Group Inc. | 7.125% | 6/1/28 | 63,150 | 62,519 | |
PVH Corp. | 7.375% | 5/15/20 | 28,847 | 31,443 | |
1 | QVC Inc. | 7.500% | 10/1/19 | 66,400 | 71,380 |
1 | Realogy Group LLC | 7.625% | 1/15/20 | 53,680 | 59,987 |
Regal Cinemas Corp. | 8.625% | 7/15/19 | 62,520 | 66,818 | |
Regal Entertainment Group | 5.750% | 6/15/23 | 19,200 | 18,864 | |
Regal Entertainment Group | 5.750% | 2/1/25 | 5,250 | 5,014 | |
Rite Aid Corp. | 8.000% | 8/15/20 | 29,250 | 32,687 | |
Sally Holdings LLC / Sally Capital Inc. | 6.875% | 11/15/19 | 44,399 | 48,839 | |
Sally Holdings LLC / Sally Capital Inc. | 5.750% | 6/1/22 | 23,135 | 23,482 | |
Service Corp. International | 6.750% | 4/1/16 | 22,998 | 25,039 | |
Service Corp. International | 7.000% | 6/15/17 | 38,900 | 43,763 | |
Service Corp. International | 7.625% | 10/1/18 | 35,040 | 40,296 | |
1 | Service Corp. International | 5.375% | 1/15/22 | 27,630 | 27,906 |
Tenneco Inc. | 7.750% | 8/15/18 | 8,215 | 8,800 | |
Tenneco Inc. | 6.875% | 12/15/20 | 29,075 | 31,765 | |
1 | TRW Automotive Inc. | 7.250% | 3/15/17 | 48,556 | 55,354 |
1 | TRW Automotive Inc. | 4.500% | 3/1/21 | 14,475 | 14,656 |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 7.875% | 5/1/20 | 14,590 | 16,013 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 7.750% | 8/15/20 | 73,000 | 81,030 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 5.375% | 3/15/22 | 59,010 | 60,190 | |
Consumer Noncyclical (10.1%) | |||||
1 | ARAMARK Corp. | 5.750% | 3/15/20 | 40,045 | 41,547 |
Biomet Inc. | 6.500% | 8/1/20 | 60,850 | 64,957 | |
Biomet Inc. | 6.500% | 10/1/20 | 75,990 | 78,840 | |
1 | Capsugel SA | 7.000% | 5/15/19 | 7,590 | 7,796 |
CHS/Community Health Systems Inc. | 5.125% | 8/15/18 | 54,960 | 58,051 | |
CHS/Community Health Systems Inc. | 7.125% | 7/15/20 | 31,285 | 33,319 | |
1 | CHS/Community Health Systems Inc. | 5.125% | 8/1/21 | 15,235 | 15,311 |
Constellation Brands Inc. | 7.250% | 5/15/17 | 26,605 | 30,662 | |
DaVita HealthCare Partners Inc. | 6.625% | 11/1/20 | 36,385 | 39,114 | |
1 | Fresenius Medical Care US Finance II Inc. | 5.625% | 7/31/19 | 38,265 | 40,752 |
1 | Fresenius Medical Care US Finance II Inc. | 5.875% | 1/31/22 | 15,090 | 16,071 |
1 | Fresenius Medical Care US Finance Inc. | 6.500% | 9/15/18 | 5,830 | 6,559 |
1 | Fresenius Medical Care US Finance Inc. | 5.750% | 2/15/21 | 47,730 | 50,832 |
1 | Fresenius US Finance II Inc. | 9.000% | 7/15/15 | 27,270 | 30,202 |
1 | FWCT-2 Escrow Corp. | 6.875% | 2/1/22 | 67,380 | 69,149 |
HCA Holdings Inc. | 6.250% | 2/15/21 | 25,540 | 27,136 | |
HCA Inc. | 6.500% | 2/15/16 | 19,860 | 21,573 | |
HCA Inc. | 8.500% | 4/15/19 | 23,905 | 25,220 | |
HCA Inc. | 6.500% | 2/15/20 | 127,050 | 140,073 | |
HCA Inc. | 5.875% | 3/15/22 | 60,405 | 63,727 | |
HCA Inc. | 4.750% | 5/1/23 | 72,500 | 71,684 | |
HCA Inc. | 7.690% | 6/15/25 | 4,510 | 4,719 | |
1 | Healthcare Technology Intermediate Inc. | 7.375% | 9/1/18 | 19,400 | 20,079 |
1 | Hypermarcas SA | 6.500% | 4/20/21 | 71,815 | 75,520 |
1 | IMS Health Inc. | 12.500% | 3/1/18 | 76,475 | 88,902 |
1 | IMS Health Inc. | 6.000% | 11/1/20 | 16,480 | 17,551 |
LifePoint Hospitals Inc. | 6.625% | 10/1/20 | 17,460 | 18,726 | |
Party City Holdings Inc. | 8.875% | 8/1/20 | 88,580 | 98,545 | |
1 | Salix Pharmaceuticals Ltd. | 6.000% | 1/15/21 | 67,325 | 70,186 |
Tenet Healthcare Corp. | 9.250% | 2/1/15 | 8,760 | 9,406 | |
Tenet Healthcare Corp. | 6.250% | 11/1/18 | 40,210 | 44,432 | |
Tenet Healthcare Corp. | 4.750% | 6/1/20 | 16,875 | 16,727 | |
Tenet Healthcare Corp. | 4.500% | 4/1/21 | 42,147 | 40,883 | |
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 102,221 | |
Tenet Healthcare Corp. | 8.125% | 4/1/22 | 14,955 | 16,338 | |
2,5 | US Foods Inc. Bank Loan | 4.500% | 3/31/17 | 46,438 | 46,757 |
WellCare Health Plans Inc. | 5.750% | 11/15/20 | 39,515 | 41,096 | |
Energy (4.5%) | |||||
1 | Antero Resources Finance Corp. | 5.375% | 11/1/21 | 22,785 | 23,070 |
Chesapeake Energy Corp. | 9.500% | 2/15/15 | 15,900 | 17,053 | |
Concho Resources Inc. | 7.000% | 1/15/21 | 15,256 | 16,667 |
84
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
January 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Concho Resources Inc. | 6.500% | 1/15/22 | 19,940 | 21,485 | |
Concho Resources Inc. | 5.500% | 10/1/22 | 88,070 | 89,611 | |
Continental Resources Inc. | 5.000% | 9/15/22 | 44,085 | 45,408 | |
Denbury Resources Inc. | 8.250% | 2/15/20 | 19,004 | 20,809 | |
Denbury Resources Inc. | 6.375% | 8/15/21 | 12,445 | 13,316 | |
Denbury Resources Inc. | 4.625% | 7/15/23 | 29,500 | 27,214 | |
EP Energy LLC / EP Energy Finance Inc. | 9.375% | 5/1/20 | 66,027 | 75,931 | |
EP Energy LLC / Everest Acquisition Finance Inc. | 6.875% | 5/1/19 | 15,710 | 16,908 | |
Harvest Operations Corp. | 6.875% | 10/1/17 | 50,600 | 54,901 | |
1 | MEG Energy Corp. | 6.375% | 1/30/23 | 30,650 | 30,573 |
1 | MEG Energy Corp. | 7.000% | 3/31/24 | 48,500 | 49,349 |
Newfield Exploration Co. | 6.875% | 2/1/20 | 16,575 | 17,735 | |
Newfield Exploration Co. | 5.750% | 1/30/22 | 10,890 | 11,244 | |
Newfield Exploration Co. | 5.625% | 7/1/24 | 13,045 | 13,029 | |
Range Resources Corp. | 6.750% | 8/1/20 | 13,580 | 14,632 | |
Range Resources Corp. | 5.750% | 6/1/21 | 44,365 | 47,027 | |
Range Resources Corp. | 5.000% | 8/15/22 | 19,225 | 19,033 | |
Rosetta Resources Inc. | 5.875% | 6/1/22 | 40,465 | 40,161 | |
1 | Seadrill Ltd. | 5.625% | 9/15/17 | 71,195 | 73,509 |
Other Industrial (0.6%) | |||||
CBRE Services Inc. | 5.000% | 3/15/23 | 83,320 | 79,779 | |
1 | Laredo Petroleum Inc. | 5.625% | 1/15/22 | 23,645 | 23,645 |
Technology (8.5%) | |||||
1 | Audatex North America Inc. | 6.000% | 6/15/21 | 14,680 | 15,304 |
1 | Audatex North America Inc. | 6.125% | 11/1/23 | 13,835 | 14,285 |
Brocade Communications Systems Inc. | 6.875% | 1/15/20 | 13,038 | 13,951 | |
1 | Brocade Communications Systems Inc. | 4.625% | 1/15/23 | 23,360 | 21,549 |
CDW LLC / CDW Finance Corp. | 8.000% | 12/15/18 | 28,178 | 30,503 | |
CDW LLC / CDW Finance Corp. | 8.500% | 4/1/19 | 8,210 | 9,031 | |
Equinix Inc. | 4.875% | 4/1/20 | 8,750 | 8,815 | |
Equinix Inc. | 7.000% | 7/15/21 | 60,830 | 66,913 | |
Equinix Inc. | 5.375% | 4/1/23 | 37,690 | 37,030 | |
1 | First Data Corp. | 7.375% | 6/15/19 | 53,405 | 57,010 |
1 | First Data Corp. | 8.875% | 8/15/20 | 22,379 | 24,673 |
1 | First Data Corp. | 6.750% | 11/1/20 | 54,020 | 56,721 |
1 | First Data Corp. | 8.250% | 1/15/21 | 77,840 | 82,705 |
1 | First Data Corp. | 11.250% | 1/15/21 | 13,190 | 14,509 |
First Data Corp. | 12.625% | 1/15/21 | 36,810 | 42,930 | |
1 | First Data Corp. | 11.750% | 8/15/21 | 24,225 | 24,952 |
2,5 | First Data Corp. Bank Loan | 4.158% | 9/24/14 | 48,433 | 48,536 |
Flextronics International Ltd. | 4.625% | 2/15/20 | 22,975 | 22,544 | |
Flextronics International Ltd. | 5.000% | 2/15/23 | 42,120 | 40,909 | |
1 | Freescale Semiconductor Inc. | 5.000% | 5/15/21 | 33,890 | 33,636 |
1 | Freescale Semiconductor Inc. | 6.000% | 1/15/22 | 22,130 | 23,015 |
2,5 | Freescale Semiconductor Inc. Bank Loan | 5.000% | 3/1/20 | 92,920 | 93,713 |
2,5 | Infor (US) Inc. Bank Loan | 3.750% | 4/5/18 | 19,461 | 19,506 |
Infor US Inc. | 11.500% | 7/15/18 | 45,331 | 52,244 | |
Infor US Inc. | 9.375% | 4/1/19 | 34,141 | 38,366 | |
Iron Mountain Inc. | 7.750% | 10/1/19 | 34,055 | 37,801 | |
Iron Mountain Inc. | 8.375% | 8/15/21 | 45,555 | 48,858 | |
Iron Mountain Inc. | 5.750% | 8/15/24 | 21,880 | 20,567 | |
NCR Corp. | 4.625% | 2/15/21 | 54,399 | 53,175 | |
NCR Corp. | 5.000% | 7/15/22 | 16,915 | 16,450 | |
1 | NXP BV / NXP Funding LLC | 3.750% | 6/1/18 | 37,440 | 37,908 |
1 | NXP BV / NXP Funding LLC | 5.750% | 3/15/23 | 8,635 | 8,808 |
1 | Sensata Technologies BV | 6.500% | 5/15/19 | 67,739 | 73,497 |
SunGard Data Systems Inc. | 7.375% | 11/15/18 | 53,200 | 56,392 | |
SunGard Data Systems Inc. | 6.625% | 11/1/19 | 39,220 | 41,230 | |
SunGard Data Systems Inc. | 7.625% | 11/15/20 | 98,546 | 108,400 | |
Transportation (1.2%) | |||||
3 | Continental Airlines 2007-1 Class B Pass Through Trust | 6.903% | 4/19/22 | 19,307 | 20,514 |
Hertz Corp. | 4.250% | 4/1/18 | 8,040 | 8,201 |
85
Vanguard® High-Yield Corporate Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hertz Corp. | 6.750% | 4/15/19 | 82,360 | 87,508 |
Hertz Corp. | 5.875% | 10/15/20 | 6,205 | 6,422 |
Hertz Corp. | 7.375% | 1/15/21 | 60,490 | 65,858 |
11,613,474 | ||||
Utilities (6.0%) | ||||
Electric (2.4%) | ||||
AES Corp. | 7.750% | 10/15/15 | 25,158 | 27,611 |
AES Corp. | 8.000% | 10/15/17 | 45,766 | 53,375 |
AES Corp. | 8.000% | 6/1/20 | 19,980 | 23,127 |
1 Calpine Corp. | 7.500% | 2/15/21 | 50,964 | 55,678 |
1 Calpine Corp. | 6.000% | 1/15/22 | 16,165 | 16,731 |
1 Calpine Corp. | 7.875% | 1/15/23 | 11,988 | 13,217 |
1 Calpine Corp. | 5.875% | 1/15/24 | 9,230 | 9,161 |
DPL Inc. | 6.500% | 10/15/16 | 14,550 | 15,641 |
DPL Inc. | 7.250% | 10/15/21 | 104,495 | 103,972 |
1 EDP Finance BV | 5.250% | 1/14/21 | 47,835 | 48,946 |
1 IPALCO Enterprises Inc. | 7.250% | 4/1/16 | 11,985 | 13,154 |
IPALCO Enterprises Inc. | 5.000% | 5/1/18 | 14,510 | 15,308 |
Natural Gas (3.6%) | ||||
AmeriGas Finance LLC / AmeriGas Finance Corp. | 6.750% | 5/20/20 | 25,965 | 28,302 |
AmeriGas Finance LLC / AmeriGas Finance Corp. | 7.000% | 5/20/22 | 48,660 | 52,796 |
El Paso LLC | 7.000% | 6/15/17 | 21,395 | 24,331 |
El Paso LLC | 7.250% | 6/1/18 | 66,150 | 75,549 |
El Paso LLC | 6.500% | 9/15/20 | 41,765 | 44,797 |
El Paso LLC | 7.750% | 1/15/32 | 26,290 | 27,132 |
Energy Transfer Equity LP | 7.500% | 10/15/20 | 76,385 | 86,124 |
Ferrellgas LP / Ferrellgas Finance Corp. | 6.500% | 5/1/21 | 74,191 | 76,417 |
1 Kinder Morgan Finance Co. LLC | 6.000% | 1/15/18 | 45,785 | 50,020 |
1 Kinder Morgan Inc. | 5.000% | 2/15/21 | 32,795 | 32,467 |
1 Kinder Morgan Inc. | 5.625% | 11/15/23 | 48,500 | 47,651 |
MarkWest Energy Partners LP / MarkWest Energy | ||||
Finance Corp. | 6.500% | 8/15/21 | 8,533 | 9,173 |
MarkWest Energy Partners LP / MarkWest Energy | ||||
Finance Corp. | 6.250% | 6/15/22 | 26,425 | 28,209 |
978,889 | ||||
Total Corporate Bonds (Cost $14,384,344) | 15,177,723 | |||
Shares | ||||
Preferred Stocks (2.3%) | ||||
Citigroup Capital XIII Pfd. | 7.875% | 5,301,250 | 143,664 | |
GMAC Capital Trust I Pfd. | 8.125% | 4,743,200 | 130,059 | |
Hartford Financial Services Group Inc. Pfd. | 7.875% | 3,307,200 | 95,776 | |
Total Preferred Stocks (Cost $343,115) | 369,499 |
86
Vanguard® High-Yield Corporate Fund | ||||
Schedule of Investments | ||||
January 31, 2014 | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
Other (0.0%) | ||||
* MediaNews Group Inc. Warrants Exp. 03/19/2017 (Cost $27,348) | 73,622 | 549 | ||
Temporary Cash Investments (1.9%) | ||||
Face | ||||
Maturity | Amount | |||
Coupon | Date | ($000) | ||
Repurchase Agreements (1.9%) | ||||
Bank of America Securities, LLC(Dated 1/31/14, | ||||
Repurchase Value $76,700,000, collateralized by | ||||
Federal National Mortgage Assn. 2.406%-3.036%, | ||||
3/1/41-1/1/44, with a value of $78,234,000) | 0.020% | 2/3/14 | 76,700 | 76,700 |
Deutsche Bank Securities, Inc.(Dated 1/31/14, | ||||
Repurchase Value $ 99,200,000, collateralized by | ||||
Federal Home Loan Mortgage Corp. 4.000%-7.000%, | ||||
4/1/23-11/1/43, Federal National Mortgage Assn. | ||||
3.000%-6.500%, 4/1/26-11/1/43, and Government | ||||
National Mortgage Assn. 4.000%, 10/20/43, with a | ||||
value of $101,184,000) | 0.030% | 2/3/14 | 99,200 | 99,200 |
RBC Capital Markets LLC(Dated 1/31/14, Repurchase | ||||
Value $47,100,000, collateralized by Federal Home | ||||
Loan Mortgage Corp. 3.500%,9/1/42, and Federal | ||||
National Mortgage Assn. 2.506%-3.500%, 7/1/43- | ||||
11/1/43, with a value of $48,042,000) | 0.020% | 2/3/14 | 47,100 | 47,100 |
TD Securities (USA) LLC(Dated 1/31/14, Repurchase | ||||
Value $87,800,000, collateralized by Federal Farm | ||||
Credit Bank 0.136%-0.188%, 9/22/15-4/6/16, and | ||||
Federal Home Loan Bank 0%, 1/10/17, with a value | ||||
of $89,628,000) | 0.030% | 2/3/14 | 87,800 | 87,800 |
310,800 | ||||
Total Temporary Cash Investments (Cost $310,800) | 310,800 | |||
Total Investments (98.3%) (Cost $15,277,419) | 16,071,813 | |||
Other Assets and Liabilities—Net (1.7%) | 284,283 | |||
Net Assets (100%) | 16,356,096 |
* Non-income-producing security.
1 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 January 31, 2014, the aggregate value of these securities was $4,627,683,000, representing 28.3% of net assets.
2 Adjustable-rate security.
3 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.
4 Face amount denominated in Euro.
5 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At January 31, 2014, the aggregate value of these securities was $582,546,000, representing 3.6% of net assets.
87
© 2014 The Vanguard Group. Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA390 032014
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Fixed Income Securities Funds and the Shareholders of Vanguard Short-Term
Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund, Vanguard Long-Term
Investment-Grade Fund and High-Yield Corporate Fund:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United
States), the financial statements of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-
Term Investment-Grade Fund, Vanguard Long-Term Investment-Grade Fund and High-Yield Corporate Fund
(the “Funds") as of January 31, 2014 and for the period then ended and have issued our unqualified report
thereon dated March 17, 2014 (which report and financial statements are included in Item 1 of this Certified
Shareholder Report on Form N-CSR). Our audit included an audit of the Funds' schedules of investments as of
January 31, 2014 appearing in Item 6 of this Form N-CSR. These schedules of investments are the responsibility
of the Funds' management. Our responsibility is to express an opinion on the schedules of investments based on
our audit.
In our opinion, the schedules of investments referred to above, when read in conjunction with the financial
statements of the Funds referred to above, presents fairly, in all material respects, the information set forth
therein.
March 17, 2014
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1700, 2001 Market Street, Philadelphia, PA 19103-7042
T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us
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 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: Exhibits.
(a) Code of Ethics.
(b) Certifications.
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 FIXED INCOME SECURITIES FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: March 19, 2014 |
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 FIXED INCOME SECURITIES FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: March 19, 2014 |
VANGUARD FIXED INCOME SECURITIES FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: March 19, 2014 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.