Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (93.8%) | ||||||
U.S. Government Securities (34.2%) | ||||||
1 | United States Treasury Note/Bond | 2.125% | 2/29/24 | 315,000 | 304,763 | |
United States Treasury Note/Bond | 2.250% | 4/30/24 | 250,000 | 241,328 | ||
United States Treasury Note/Bond | 3.000% | 6/30/24 | 398,000 | 387,615 | ||
United States Treasury Note/Bond | 4.375% | 10/31/24 | 68,000 | 67,862 | ||
United States Treasury Note/Bond | 1.125% | 1/15/25 | 21,400 | 19,889 | ||
United States Treasury Note/Bond | 1.500% | 2/15/25 | 69,600 | 65,076 | ||
1,2 | United States Treasury Note/Bond | 1.750% | 3/15/25 | 297,200 | 279,182 | |
United States Treasury Note/Bond | 2.750% | 5/15/25 | 100,000 | 95,906 | ||
United States Treasury Note/Bond | 2.875% | 6/15/25 | 161,425 | 155,170 | ||
United States Treasury Note/Bond | 3.000% | 7/15/25 | 103,000 | 99,202 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 122,500 | 118,289 | ||
United States Treasury Note/Bond | 4.250% | 10/15/25 | 41,700 | 41,485 | ||
United States Treasury Note/Bond | 4.125% | 9/30/27 | 246,200 | 244,815 | ||
United States Treasury Note/Bond | 4.125% | 10/31/27 | 63,000 | 62,675 | ||
2,183,257 | ||||||
Agency Bonds and Notes (46.1%) | ||||||
3 | AID-Israel | 0.000% | 11/1/24 | 6,905 | 6,272 | |
4 | Fannie Mae Interest Strip | 0.000% | 11/15/25 | 8,000 | 6,970 | |
4 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 57,658 | 41,254 | |
4 | Fannie Mae Principal Strip | 0.000% | 11/15/30 | 7,000 | 4,876 | |
Federal Farm Credit Banks Funding Corp. | 0.680% | 3/9/26 | 275,000 | 241,505 | ||
5 | Federal Home Loan Banks | 4.500% | 10/3/24 | 100,000 | 99,843 | |
Federal Home Loan Banks | 0.830% | 2/10/27 | 136,475 | 117,084 | ||
Federal Home Loan Banks | 0.850% | 2/17/27 | 100,000 | 85,818 | ||
Federal Home Loan Banks | 1.020% | 2/24/27 | 10,570 | 9,134 | ||
Federal Home Loan Banks | 0.900% | 2/26/27 | 105,695 | 90,841 | ||
Federal Home Loan Banks | 0.920% | 2/26/27 | 25,900 | 22,278 | ||
Federal Home Loan Banks | 1.115% | 2/26/27 | 49,145 | 42,640 | ||
4 | Federal Home Loan Mortgage Corp. | 4.000% | 8/28/24 | 45,950 | 45,211 | |
4 | Federal Home Loan Mortgage Corp. | 4.000% | 12/30/24 | 300,000 | 294,135 | |
4 | Federal Home Loan Mortgage Corp. | 4.000% | 2/28/25 | 226,200 | 221,337 | |
4 | Federal Home Loan Mortgage Corp. | 4.320% | 3/21/25 | 150,000 | 147,561 | |
4 | Federal Home Loan Mortgage Corp. | 4.050% | 8/28/25 | 125,000 | 121,807 | |
4 | Federal Home Loan Mortgage Corp. | 4.160% | 8/28/25 | 52,950 | 51,689 | |
4 | Federal Home Loan Mortgage Corp. | 4.200% | 8/28/25 | 151,000 | 147,500 | |
4 | Federal Home Loan Mortgage Corp. | 0.640% | 11/24/25 | 174,650 | 154,557 | |
4 | Federal Home Loan Mortgage Corp. | 0.700% | 12/30/25 | 194,850 | 172,300 | |
4 | Federal National Mortgage Assn. | 0.650% | 12/17/25 | 138,500 | 122,430 | |
4 | Federal National Mortgage Assn. | 0.650% | 12/17/25 | 180,495 | 159,552 | |
4 | Freddie Mac Coupon Strips | 0.000% | 3/15/31 | 4,455 | 3,054 | |
4 | Freddie Mac Principal Strips | 0.000% | 3/15/31 | 21,820 | 14,959 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 8,700 | 8,543 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Private Export Funding Corp. | 1.400% | 7/15/28 | 26,000 | 21,611 | ||
Resolution Funding Corp. Interest Strip | 0.000% | 1/15/30 | 4,155 | 2,992 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 1/15/30 | 394,377 | 283,996 | ||
Resolution Funding Corp. Principal Strip | 0.000% | 4/15/30 | 227,307 | 161,718 | ||
Tennessee Valley Authority | 1.500% | 9/15/31 | 50,000 | 38,641 | ||
2,942,108 | ||||||
Conventional Mortgage-Backed Securities (9.0%) | ||||||
4,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 2,295 | 2,062 | |
4,5 | UMBS Pool | 1.500% | 12/1/35–12/1/36 | 145,342 | 123,693 | |
4,5,6 | UMBS Pool | 2.000% | 10/1/27–11/16/37 | 238,989 | 209,313 | |
4,5 | UMBS Pool | 2.500% | 2/1/35 | 11,544 | 10,496 | |
4,5 | UMBS Pool | 3.500% | 1/1/33–9/1/48 | 72,182 | 68,342 | |
4,5,6 | UMBS Pool | 4.500% | 11/16/37 | 135,000 | 131,224 | |
4,5 | UMBS Pool | 6.000% | 8/1/49–10/1/52 | 26,617 | 26,676 | |
571,806 | ||||||
Nonconventional Mortgage-Backed Securities (4.5%) | ||||||
4,5 | Fannie Mae REMICS | 1.500% | 12/25/51 | 19,321 | 12,398 | |
4,5 | Fannie Mae REMICS | 3.000% | 9/25/50–2/25/52 | 107,438 | 81,887 | |
4,5 | Freddie Mac REMICS | 2.000% | 12/25/51 | 175 | 120 | |
4,5 | Freddie Mac REMICS | 3.000% | 9/25/50–2/25/52 | 94,651 | 72,035 | |
5 | Ginnie Mae | 1.500% | 2/20/51–12/20/51 | 38,317 | 31,721 | |
5 | Ginnie Mae | 2.000% | 11/20/51 | 17,716 | 14,156 | |
5 | Ginnie Mae | 2.500% | 9/20/51 | 3,224 | 2,521 | |
5 | Ginnie Mae | 3.000% | 11/20/50–12/20/51 | 94,529 | 72,149 | |
5 | Ginnie Mae | 3.500% | 11/20/51 | 550 | 435 | |
287,422 | ||||||
Total U.S. Government and Agency Obligations (Cost $6,441,617) | 5,984,593 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (3.8%) | ||||||
4,5 | FHLMC Multifamily Structured Class A2 Series K040 Pass Through Certificates | 3.241% | 9/25/24 | 13,600 | 13,181 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K041 Pass Through Certificates | 3.171% | 10/25/24 | 49,000 | 47,356 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K044 Pass Through Certificates | 2.811% | 1/25/25 | 65,216 | 62,347 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K045 Pass Through Certificates | 3.023% | 1/25/25 | 35,710 | 34,259 | |
4,5 | FHLMC Multifamily Structured Class A2 Series K046 Pass Through Certificates | 3.205% | 3/25/25 | 32,000 | 30,732 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K035 Pass Through Certificates | 0.450% | 8/25/23 | 6,395 | 14 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K036 Pass Through Certificates | 0.833% | 10/25/23 | 3,410 | 17 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K037 Pass Through Certificates | 1.072% | 1/25/24 | 58,150 | 490 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K038 Pass Through Certificates | 1.238% | 3/25/24 | 2,094 | 23 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K040 Pass Through Certificates | 0.835% | 9/25/24 | 4,077 | 39 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.640% | 12/25/24 | 19,517 | 185 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.773% | 11/25/25 | 2,312 | 36 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.016% | 12/25/25 | 9,948 | 218 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.298% | 1/25/26 | 116,959 | 3,496 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.482% | 3/25/26 | 3,695 | 134 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.304% | 7/25/26 | 133,074 | 4,474 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 1.045% | 8/25/26 | 6,647 | 187 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.426% | 9/25/26 | 3,019 | 28 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.190% | 10/25/26 | 10,994 | 32 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.423% | 12/25/26 | 77,373 | 827 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.739% | 3/25/27 | 3,013 | 66 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.810% | 4/25/27 | 35,378 | 860 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K043 Pass Through Certificates | 0.557% | 8/25/27 | 4,292 | 73 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K088 Pass Through Certificates | 0.510% | 1/25/29 | 270,572 | 7,241 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K104 Pass Through Certificates | 1.246% | 1/25/30 | 54,994 | 3,374 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K105 Pass Through Certificates | 1.645% | 1/25/30 | 53,095 | 4,461 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K110 Pass Through Certificates | 1.814% | 4/25/30 | 20,220 | 1,881 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K135 Pass Through Certificates | 0.284% | 10/25/31 | 265,886 | 3,540 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K140 Pass Through Certificates | 0.291% | 3/25/54 | 128,016 | 2,852 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series K148 Pass Through Certificates | 0.250% | 7/25/32 | 164,983 | 3,631 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KG02 Pass Through Certificates | 1.148% | 8/25/29 | 15,509 | 795 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KG04 Pass Through Certificates | 0.939% | 11/25/30 | 10,983 | 558 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KG05 Pass Through Certificates | 0.402% | 1/25/31 | 114,000 | 2,341 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KG06 Pass Through Certificates | 0.626% | 10/25/31 | 36,982 | 1,331 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KG07 Pass Through Certificates | 0.002% | 8/25/32 | 231,600 | 915 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KIR1 Pass Through Certificates | 1.182% | 3/25/26 | 88,840 | 2,591 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KSG2 Pass Through Certificates | 0.213% | 11/25/31 | 351,433 | 3,323 | |
4,5,7,8 | FHLMC Multifamily Structured Class X1 Series KW10 Pass Through Certificates | 0.640% | 9/25/29 | 53,461 | 1,851 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $248,326) | 239,759 | |||||
Shares | ||||||
Temporary Cash Investments (4.3%) | ||||||
Money Market Fund (4.3%) | ||||||
9 | Vanguard Market Liquidity Fund (Cost $274,168) | 3.117% | 2,742,541 | 274,199 | ||
Total Investments (101.9%) (Cost $6,964,111) | 6,498,551 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.1%) | ||||||
4,5,6 | UMBS Pool (Proceeds ($11,960)) | 3.000% | 12/1/26 | (16,314) | (7,440) | |
Other Assets and Liabilities—Net (-1.8%) | (112,010) | |||||
Net Assets (100%) | 6,379,101 | |||||
Cost is in $000. |
1 | Securities with a value of $3,142,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
2 | Securities with a value of $25,274,000 have been segregated as initial margin for open futures contracts. |
3 | U.S. government-guaranteed. |
4 | 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. |
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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2022. |
7 | Interest-only security. |
8 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
9 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REMICS—Real Estate Mortgage Investment Conduits. | |
UMBS—Uniform Mortgage-Backed Securities. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
2-Year U.S. Treasury Note | December 2022 | 5,004 | 1,022,732 | (6,605) |
Short Futures Contracts | ||||
10-Year U.S. Treasury Note | December 2022 | (5,519) | (610,367) | 33,429 |
5-Year U.S. Treasury Note | December 2022 | (1,116) | (118,959) | 351 |
Long U.S. Treasury Bond | December 2022 | (165) | (19,883) | 183 |
Ultra 10-Year U.S. Treasury Note | December 2022 | (1,754) | (203,437) | 1,944 |
Ultra Long U.S. Treasury Bond | December 2022 | (1,098) | (140,167) | 1,275 |
37,182 | ||||
30,577 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 5,984,593 | — | 5,984,593 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 239,759 | — | 239,759 |
Temporary Cash Investments | 274,199 | — | — | 274,199 |
Total | 274,199 | 6,224,352 | — | 6,498,551 |
Liabilities | ||||
Conventional Mortgage-Backed Securities—Liability for Sale Commitments | — | 7,440 | — | 7,440 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 37,182 | — | — | 37,182 |
Liabilities | ||||
Futures Contracts1 | 6,605 | — | — | 6,605 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |