vanguard u.s. government bond funds · 2020-05-31 · please note: the opinions expressed in this...

See the inside front cover for important information about accessto your fund’s annual and semiannual shareholder reports.

Annual Report | January 31, 2020

Vanguard U.S. Government Bond Funds

Vanguard Short-Term Treasury Fund

Vanguard Short-Term Federal Fund

Vanguard Intermediate-Term Treasury Fund

Vanguard Long-Term Treasury Fund

Contents

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promisesor advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of thisreport. Of course, the risks of investing in your fund are spelled out in the prospectus.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by theSecurities and Exchange Commission, paper copies of your fund’s annual andsemiannual shareholder reports will no longer be sent to you by mail, unless youspecifically request them. Instead, you will be notified by mail each time a reportis posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will notbe affected by this change and do not need to take any action. You may elect toreceive shareholder reports and other communications from the fund electronicallyby contacting your financial intermediary (such as a broker-dealer or bank) or, if youinvest directly with the fund, by calling Vanguard at one of the phone numbers onthe back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports freeof charge. If you invest through a financial intermediary, you can contact theintermediary to request that you continue to receive paper copies. If you investdirectly with the fund, you can call Vanguard at one of the phone numbers on theback cover of this report or log on to vanguard.com. Your election to receive papercopies will apply to all the funds you hold through an intermediary or directly withVanguard.

A Note From Our Chairman. . . . . . . . . . . . . . . . . . . . . . . . . . 1

Your Fund’s Performance at a Glance. . . . . . . . . . . . . . . . . . 2

Advisor’s Report. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

About Your Fund’s Expenses. . . . . . . . . . . . . . . . . . . . . . . . . 6

Short-Term Treasury Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Short-Term Federal Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . 25

Intermediate-Term Treasury Fund. . . . . . . . . . . . . . . . . . . . 45

Long-Term Treasury Fund. . . . . . . . . . . . . . . . . . . . . . . . . . 63

1

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

Mortimer J. Buckley Chairman and Chief Executive Officer March 3, 2020

A Note From Our Chairman

Tim BuckleyChairman and Chief Executive Officer

• For the 12 months ended January 31, 2020, the returns of the funds in this report ranged from 3.91% for Vanguard Short-Term Treasury Fund to 21.84% for Vanguard Long-Term Treasury Fund. (Returns cited are for Investor Shares.) Although Admiral Shares of the Long-Term Treasury Fund outperformed that fund’s index slightly, Investor Shares of each fund underperformed their benchmarks.

• The Federal Reserve cut interest rates three times during the funds’ fiscal year. Its target rate now stands at 1.5%–1.75%, 75 basis points lower than it was at the beginning of the period. (A basis point is one-hundredth of a percentage point.) U.S. economic growth and labor market gains remained healthy, and inflation remained in check. In this environment, global bond yields generally fell and prices rose.

• Relative performance was hindered primarily by the funds’ structurally shorter durations—that is, their lower levels of interest rate sensitivity—compared with their benchmarks. Out-of-benchmark allocations to agency mortgage-backed securities, on the other hand, helped the funds.

Your Fund’s Performance at a Glance

Market Barometer Average Annual Total Returns Periods Ended January 31, 2020

One Year Three Years Five Years

Stocks

Russell 1000 Index (Large-caps) 21.39% 14.33% 12.13%

Russell 2000 Index (Small-caps) 9.21 7.28 8.23

Russell 3000 Index (Broad U.S. market) 20.53 13.82 11.85

FTSE All-World ex US Index (International) 10.28 7.74 5.24

Bonds

Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) 9.64% 4.62% 3.01%

Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) 8.65 5.12 3.53

FTSE Three-Month U.S. Treasury Bill Index 2.18 1.68 1.07

CPI

Consumer Price Index 2.49% 2.04% 2.00%

2

Advisor’s Report

3

Falling interest rates and tame inflation helped boost the returns of U.S. bonds for the 12 months ended January 31, 2020. The returns of the four funds in this report ranged from 3.91% for Vanguard Short-Term Treasury Fund to 21.84% for Vanguard Long-Term Treasury Fund. (The returns and yields cited in this report are for Investor Shares.) Our duration and yield curve positions held back relative performance, and Investor Shares of each fund underperformed their benchmarks. (Admiral Shares of the Long-Term Treasury Fund slightly outperformed that fund’s benchmark.)

Investment environmentThe financial markets during the period were driven largely by shifts in the outlook for global growth and monetary policy.

Gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3%, after adjusting for inflation, in the first quarter of 2019. Its pace of growth then slowed amid weaker business confidence, trade disputes, and fading effects of tax cuts. The unemployment rate edged downward

to finish the period at a half-century low of 3.6%. Although the trend helped keep consumers spending, the pace of job gains slowed. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) remained at or a little above 2%.

After raising rates four times in 2018, the Federal Reserve began to reverse gears in March with an announcement that it would end its balance-sheet drawdown. It then lowered the federal funds rate in August, September, and October. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to cushion the effects of trade policies and prolong an economic expansion in its 11th year.

Rate cuts and slowing growth contributed to declines in yields across the maturity spectrum. The Treasury yield curve was inverted for part of the period—that is, yields of shorter-term bonds were higher than those of longer-term bonds—but finished the year displaying a more typical upward slope.

Yields of U.S. Treasury Securities January 31, January 31, Maturity 2019 2020

2 years 2.46% 1.31%

3 years 2.43 1.33

5 years 2.44 1.31

10 years 2.63 1.51

30 years 3.00 2.00

Source: Vanguard.

4

Fed action pushed shorter-term Treasury yields significantly lower. The yield of the 2-year Treasury note fell 115 basis points over the period to 1.31%. (A basis point is one-hundredth of a percentage point. Changes in yields may reflect rounding.)

Demand for longer-term Treasury bonds was supported by escalating trade tensions, geopolitical flare-ups, and political uncertainties in Europe early in the period. While some of those concerns lessened later on, yields on these securities finished the period significantly lower. The yield of the 30-year Treasury note ended down 100 basis points at 2.00%.

Management of the fundsThe funds’ relative performance was held back primarily by structurally shorter durations—that is, their levels of interest rate sensitivity—compared with their benchmarks. In general, bonds with shorter durations don’t perform as well on a relative basis when interest rates are falling.

Our yield curve positions also did not perform as expected because geopolitical uncertainties led to a flight to quality during the summer that caused the yield curve to invert.

In response to this challenging environment, we looked to boost returns by adding higher-yielding asset classes to our portfolios. Strong selection in mortgage-backed securities helped returns. So did our positions in agency debt, which

we overweighted in Vanguard Short-Term Federal Fund, and an out-of-benchmark allocation in the three Treasury Funds.

Our Treasury Funds also benefited from exposure to Treasury Inflation-Protected Securities, particularly earlier in the period when valuations were more attractive. Those funds’ performance also was helped by tactical plays with cash and futures contracts.

These positions in higher-yielding instruments helped offset much of the drag from our duration and yield curve positions. As a result, the returns of Investor Shares of our funds narrowly trailed those of their benchmarks for the period.

OutlookGlobal growth is likely to keep softening, with trade tensions and policy uncertainty unlikely to ease substantially. The U.S. economy may fall below 2% trend growth in 2020, according to Vanguard economists.

Other major economies are likely to see a deceleration as well in 2020. China, the world’s second-largest economy, may see growth of around 5.8%. The coronavirus outbreak will weigh on its economy in the near term, but we see the potential for a rebound in the second half of the year amid anticipated government stimulus. In the euro area, growth may stay weak, at about 1%.

5

This backdrop, along with modest wage gains and structural factors such as technology advancements and globalization, is unlikely to support a sustained rebound in inflation.

In the United States, inflation may trend closer to the Fed’s 2% target, but—given the structural forces still in play—not much higher.

We may see bouts of volatility related to growth, inflation, and interest rate expectations, but investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a low-yield bond environment, bonds can play a useful role as ballast in a portfolio, helping to provide downside protection alongside riskier assets such as equities.

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek out opportunities to add to the fund’s performance.

John Hollyer, CFA, Principal and Global Head of Fixed Income Group

Gemma Wright-Casparius, Principal and Portfolio Manager

Brian Quigley, Portfolio Manager

Vanguard Fixed Income Group

February 19, 2020

About Your Fund’s Expenses

6

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 sellingsecurities. Further, the expenses do not include any purchase, redemption, or account servicefees described in the fund prospectus. If such fees were applied to your account, your costswould 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 mayhave been higher or lower, depending on the amount of your investment and the timing of anypurchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in theFinancial Statements section of this report. For additional information on operating expenses andother shareholder costs, please refer to your fund’s current prospectus.

7

Six Months Ended January 31, 2020

BeginningAccount Value

7/31/2019

EndingAccount Value

1/31/2020

ExpensesPaid During

Period

Based on Actual Fund Return

Short-Term Treasury Fund

Investor Shares $1,000.00 $1,016.68 $1.02

Admiral™ Shares 1,000.00 1,017.19 0.51

Short-Term Federal Fund

Investor Shares $1,000.00 $1,019.73 $1.02

Admiral Shares 1,000.00 1,020.24 0.51

Intermediate-Term Treasury Fund

Investor Shares $1,000.00 $1,034.01 $1.03

Admiral Shares 1,000.00 1,034.53 0.51

Long-Term Treasury Fund

Investor Shares $1,000.00 $1,104.97 $1.06

Admiral Shares 1,000.00 1,105.52 0.53

Based on Hypothetical 5% Yearly Return


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51


Investor Shares $1,000.00 $1,024.20 $1.02

Admiral Shares 1,000.00 1,024.70 0.51


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 forthat period are: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term FederalFund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and0.10% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollaramounts 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-monthperiod (184/365).

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 thanthe performance data cited. For performance data current to the most recent month-end, visitour 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.

See Financial Highlights for dividend and capital gains information.


8

Cumulative Performance: January 31, 2010, Through January 31, 2020Initial Investment of $10,000

2020201920182017201620152014201320122011

$16,000

9,000

11,330

Average Annual Total ReturnsPeriods Ended January 31, 2020

OneYear

FiveYears

TenYears

Final Valueof a $10,000Investment

Short-Term Treasury Fund InvestorShares 3.91% 1.35% 1.26% $11,330

• • • • • • •Bloomberg Barclays U.S. 1–5 YearTreasury Bond Index 4.85 1.65 1.71 11,851

_________Bloomberg Barclays U.S. AggregateBond Index 9.64 3.01 3.79 14,501

OneYear

FiveYears

TenYears


Short-Term Treasury Fund Admiral Shares 4.01% 1.45% 1.36% $57,228

Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index 4.85 1.65 1.71 59,254

Bloomberg Barclays U.S. Aggregate Bond Index 9.64 3.01 3.79 72,507

Sector DiversificationAs of January 31, 2020


9

Asset-Backed 0.3%

Government Mortgage-Backed 19.2

Treasury/Agency 80.5

The table reflects the fund’s market exposure. Any holdings inshort-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by thefull faith and credit of the U.S. government.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.


Financial Statements

Statement of Net AssetsAs of January 31, 2020

U.S. Government and Agency Obligations (92.2%)

U.S. Government Securities (84.7%) United States Treasury Inflation Indexed Bonds 0.125% 4/15/21 600,000 649,614 United States Treasury Note/Bond 1.750% 12/31/20 350,000 350,658 United States Treasury Note/Bond 2.500% 12/31/20 194,000 195,697 United States Treasury Note/Bond 1.375% 1/31/21 110,000 109,8621 United States Treasury Note/Bond 2.125% 1/31/21 254,000 255,509 United States Treasury Note/Bond 2.500% 1/31/21 78,000 78,756 United States Treasury Note/Bond 2.250% 2/15/21 245,000 246,877 United States Treasury Note/Bond 3.625% 2/15/21 82,000 83,768 United States Treasury Note/Bond 1.125% 2/28/21 360,000 358,592 United States Treasury Note/Bond 2.000% 2/28/21 300,000 301,593 United States Treasury Note/Bond 2.250% 3/31/21 156,000 157,390 United States Treasury Note/Bond 2.375% 4/15/21 75,000 75,796 United States Treasury Note/Bond 1.375% 4/30/21 135,000 134,853 United States Treasury Note/Bond 2.250% 4/30/21 182,000 183,764 United States Treasury Note/Bond 2.125% 5/31/21 93,000 93,843 United States Treasury Note/Bond 1.625% 6/30/21 43,000 43,121 United States Treasury Note/Bond 2.750% 9/15/21 3,600 3,678 United States Treasury Note/Bond 1.125% 9/30/21 45,000 44,810 United States Treasury Note/Bond 1.500% 9/30/21 180,000 180,338 United States Treasury Note/Bond 2.125% 9/30/21 75,000 75,914 United States Treasury Note/Bond 2.500% 2/15/22 75,000 76,734 United States Treasury Note/Bond 1.750% 5/15/22 25,000 25,242 United States Treasury Note/Bond 2.125% 5/15/22 138,000 140,458 United States Treasury Note/Bond 1.750% 7/15/22 92,000 92,949 United States Treasury Note/Bond 1.875% 7/31/22 120,000 121,631 United States Treasury Note/Bond 1.875% 8/31/22 85,000 86,209 United States Treasury Note/Bond 1.375% 10/15/22 235,000 235,367 United States Treasury Note/Bond 1.875% 10/31/22 50,000 50,758 United States Treasury Note/Bond 1.625% 11/15/22 170,000 171,435 United States Treasury Note/Bond 2.000% 11/30/22 316,000 322,023 United States Treasury Note/Bond 2.125% 12/31/22 140,000 143,259 United States Treasury Note/Bond 1.750% 1/31/23 103,000 104,336 United States Treasury Note/Bond 1.500% 2/28/23 17,000 17,101 United States Treasury Note/Bond 1.625% 4/30/23 140,000 141,4222 United States Treasury Note/Bond 2.750% 4/30/23 450,000 470,529 United States Treasury Note/Bond 2.750% 5/31/23 116,000 121,420 United States Treasury Note/Bond 1.375% 6/30/23 26,000 26,057 United States Treasury Note/Bond 2.750% 7/31/23 133,300 139,840 United States Treasury Note/Bond 2.750% 8/31/23 78,000 81,912 United States Treasury Note/Bond 1.375% 9/30/23 75,000 75,199

Face Market Maturity Amount Value• Coupon Date ($000) ($000)

10


United States Treasury Note/Bond 2.875% 9/30/23 65,000 68,626 United States Treasury Note/Bond 2.875% 10/31/23 22,000 23,251 United States Treasury Note/Bond 2.125% 11/30/23 20,000 20,609 United States Treasury Note/Bond 2.875% 11/30/23 130,000 137,556 United States Treasury Note/Bond 2.625% 12/31/23 130,000 136,479 United States Treasury Note/Bond 2.250% 1/31/24 98,000 101,568 United States Treasury Note/Bond 2.500% 1/31/24 122,000 127,605 United States Treasury Note/Bond 2.750% 2/15/24 45,000 47,5382 United States Treasury Note/Bond 2.125% 3/31/24 51,000 52,658 United States Treasury Note/Bond 2.000% 4/30/24 107,000 110,009 United States Treasury Note/Bond 2.250% 4/30/24 122,000 126,690 United States Treasury Note/Bond 2.500% 5/15/24 84,000 88,108 United States Treasury Note/Bond 2.000% 5/31/24 50,000 51,422 United States Treasury Note/Bond 1.500% 9/30/24 110,000 110,859 United States Treasury Note/Bond 2.250% 11/15/24 66,000 68,825

7,540,117Agency Bonds and Notes (1.0%) Government Trust Certificate 0.000% 10/1/20 12,119 11,977 Private Export Funding Corp. 2.250% 3/15/20 5,800 5,805 Resolution Funding Corp. Principal Strip 0.000% 10/15/20 72,620 71,825

89,607Conventional Mortgage-Backed Securities (5.9%) 3,4 Fannie Mae Pool 3.000% 9/1/49–1/1/50 154,042 157,8153,4 Fannie Mae Pool 3.500% 10/1/44–1/1/50 6,554 6,3133,4 Fannie Mae Pool 4.500% 7/1/47–7/1/49 91,603 98,6693,4 Freddie Mac Gold Pool 6.000% 10/1/27–4/1/28 51 583 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 10,613 10,7213 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 141 2113,4 UMBS Pool 3.500% 2/1/49–2/1/50 77,818 81,2323,4 UMBS Pool 4.000% 2/1/47–2/1/50 141,651 148,2383,4 UMBS Pool 4.500% 8/1/49 23,537 25,299

528,556Nonconventional Mortgage-Backed Securities (0.6%) 3,4 Fannie Mae REMICS 3.000% 9/25/44 3,695,656 3,7873,4 Freddie Mac REMICS 2.500% 10/25/49 5,897,323 5,9963 Ginnie Mae REMICS 2.000% 11/20/42 4,808 4,8363 Ginnie Mae REMICS 2.500% 11/20/47 1,964 2,0033 Ginnie Mae REMICS 3.000% 8/20/44 29,724 30,4293 Ginnie Mae REMICS 4.000% 10/20/47 2,879 3,030

50,081

Total U.S. Government and Agency Obligations (Cost $8,146,897) 8,208,361

Asset-Backed/Commercial Mortgage-Backed Securities (1.3%) 3,4 Fannie Mae-Aces 2012-124E 1.500% 11/25/42 2,236 2,1753,4 Fannie Mae-Aces 2013-104A 3.000% 10/25/33 12,576 13,2193,4 Fannie Mae-Aces 2013-20E 1.500% 3/25/43 2,597 2,5253,4 Fannie Mae-Aces 2017-67D 3.000% 2/25/44 5,594 5,8063,4 Fannie Mae-Aces 2018-91A 4.000% 12/25/46 15,149 16,0163,4 Fannie Mae-Aces 2019-68G 2.500% 5/25/48 2,652,868 2,6893,4 Fannie Mae-Aces 2019-83A 2.500% 12/25/49 2,464,947 2,4933,4 FHLMC Multifamily Structured

Pass Through Certificates 4122K 1.500% 10/15/42 1,638 1,5933,4 FHLMC Multifamily Structured

Pass Through Certificates 4194A 1.700% 4/15/43 2,355 2,336


11



3,4 FHLMC Multifamily Structured Pass Through Certificates 4852D 4.000% 10/15/46 31,897 33,170

3,4 FHLMC Multifamily Structured Pass Through Certificates 4927F 2.250% 9/25/49 1,968 1,981

3,4 FHLMC Multifamily Structured Pass Through Certificates 4950A 2.500% 12/25/49 1,750 1,778

3 Small Business Administration Participation Certs 2002-20L 5.100% 12/1/22 398 411

3 Small Business Administration Participation Certs 2004-20G 5.190% 7/1/24 270 284

3 Small Business Administration Participation Certs 2005-20J 5.090% 10/1/25 871 908

3 Small Business Administration Participation Certs 2006-20D 5.640% 4/1/26 1,113 1,187

3 Small Business Administration Participation Certs 2006-20L 5.120% 12/1/26 1,843 1,954

3 Small Business Administration Participation Certs 2007-20D 5.320% 4/1/27 1,334 1,413

3 Small Business Administration Participation Certs 2007-20G 5.820% 7/1/27 963 1,049

3 Small Business Administration Participation Certs 2007-20I 5.560% 9/1/27 5,247 5,621


3 Small Business Administration Participation Certs 2009-20J 3.920% 10/1/29 3,724 3,880

3 Small Business Administration Participation Certs 2009-20K 4.090% 11/1/29 1,833 1,920

3 Small Business Administration Participation Certs 2018-20C 5.230% 3/1/27 1,603 1,700

3 Small Business Administration Participation Certs 2018-20E 5.310% 5/1/27 2,645 2,817


Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $111,020) 111,975

Shares

Temporary Cash Investment (0.5%)

Money Market Fund (0.5%)5 Vanguard Market Liquidity Fund

(Cost $46,444) 1.730% 464,361 46,445

Notional Expiration Exercise Amount Date Contracts Price ($000)

Options Purchased (0.0%)

Exchange-Traded Options (0.0%)

Put Options 10-Year U.S. Treasury

Note Futures Contracts 2/21/20 537 $127.00 68,199 — 10-Year U.S. Treasury

Note Futures Contracts 2/21/20 1,615 $130.00 209,950 177

Total Options Purchased (Cost $361) 177

Total Investments (94.0%) (Cost $8,304,722) 8,366,958

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Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)

3,4,6 Fannie Mae Pool 4.000% 12/1/46–3/1/50 (118,458) (124,170)3,4,6 UMBS Pool 3.000% 2/1/49–2/1/50 (112,600) (115,151)

Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $239,005) (239,321)

Other Assets and Liabilities (8.7%)

Other Assets 1,425,305Other Liabilities7 (654,579)

770,726

Net Assets (100%) 8,898,363

Amount ($000)

Statement of Assets and Liabilities

Assets Investments in Securities, at Value Unaffiliated Issuers 8,320,336 Affiliated Issuers 46,445 Options Purchased 177

Total Investments in Securities 8,366,958 Investment in Vanguard 388 Receivables for Investment Securities Sold 1,358,430 Receivables for Accrued Income 36,142 Receivables for Capital Shares Issued 27,459 Variation Margin Receivable—Futures Contracts 2,259 Other Assets 627

Total Assets 9,792,263

Liabilities Payables for Investment Securities Purchased 638,510 Payables for Capital Shares Redeemed 9,901 Payables for Distributions 2,537 Payables to Vanguard 1,959 Liability for Sale Commitments 239,321 Options Written, at Value7 853 Variation Margin Payable—Futures Contracts 819

Total Liabilities 893,900

Net Assets 8,898,363

13


At January 31, 2020, net assets consisted of: Amount ($000)

Paid-in Capital 8,927,425Total Distributable Earnings (Loss) (29,062)


Investor Shares—Net Assets

Applicable to 61,537,173 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 654,886

Net Asset Value Per Share—Investor Shares $10.64

Admiral Shares—Net Assets

Applicable to 774,605,563 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 8,243,477

Net Asset Value Per Share—Admiral Shares $10.64

• See Note A in Notes to Financial Statements.

1 Securities with a value of $4,719,000 have been segregated as initial margin for open futures contracts.

2 Securities with a value of $2,719,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

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 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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

7 Includes premiums received of $403,000.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

14


See accompanying Notes, which are an integral part of the Financial Statements.

Derivative Financial Instruments Outstanding as of Period End

Options Written

Notional Market Expiration Exercise Amount Value Date Contracts Price ($000) ($000)

Exchange-Traded Options

Call Options

10-Year U.S. Treasury Note Futures Contracts 2/21/20 114 $130.75 14,906 (134)

10-Year U.S. Treasury Note Futures Contracts 2/21/20 537 131.00 70,347 (537)


(756)

Put Options

10-Year U.S. Treasury Note Futures Contracts 2/21/20 2,148 $129.00 277,092 (67)


(97)

Total Options Written (Premiums Received $403) (853)

Futures Contracts

($000)

Value and Number of Unrealized Long (Short) Notional Appreciation Expiration Contracts Amount (Depreciation)

Long Futures Contracts

2-Year U.S. Treasury Note March 2020 9,264 2,004,353 8,540

5-Year U.S. Treasury Note March 2020 478 57,513 2


8,722

Short Futures Contracts

30-Year U.S. Treasury Bond March 2020 (463) (75,715) (2,988)

Ultra Long U.S. Treasury Bond March 2020 (253) (49,003) (370)

Ultra 10-Year U.S. Treasury Note March 2020 (190) (27,675) (701)

(4,059)

4,663

15

Year Ended January 31, 2020

($000)

Investment Income

Income

Interest1 214,643

Total Income 214,643

Expenses

The Vanguard Group—Note B

Investment Advisory Services 1,173

Management and Administrative—Investor Shares 1,152

Management and Administrative—Admiral Shares 6,110

Marketing and Distribution—Investor Shares 99

Marketing and Distribution—Admiral Shares 514

Custodian Fees 40

Auditing Fees 37

Shareholders’ Reports—Investor Shares 21

Shareholders’ Reports—Admiral Shares 106

Trustees’ Fees and Expenses 5

Total Expenses 9,257

Net Investment Income 205,386

Realized Net Gain (Loss)

Investment Securities Sold1 77,712

Futures Contracts 9,314

Options Purchased (557)

Options Written 1,422

Realized Net Gain (Loss) 87,891

Change in Unrealized Appreciation (Depreciation)

Investment Securities1 42,880



Options Written (404)

Change in Unrealized Appreciation (Depreciation) 46,440

Net Increase (Decrease) in Net Assets Resulting from Operations 339,717

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $7,741,000, ($4,000), and $9,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Operations



16

Statement of Changes in Net Assets



Year Ended January 31,

2020 2019 ($000) ($000)

Increase (Decrease) in Net Assets

Operations

Net Investment Income 205,386 171,682

Realized Net Gain (Loss) 87,891 (97,804)

Change in Unrealized Appreciation (Depreciation) 46,440 85,373

Net Increase (Decrease) in Net Assets Resulting from Operations 339,717 159,251

Distributions

Net Investment Income

Investor Shares (15,949) (14,540)

Admiral Shares (189,824) (157,171)

Realized Capital Gain

Investor Shares — —

Admiral Shares — —

Total Distributions (205,773) (171,711)

Capital Share Transactions


Admiral Shares 735,111 352,852

Net Increase (Decrease) from Capital Share Transactions 708,045 288,284

Total Increase (Decrease) 841,989 275,824

Net Assets

Beginning of Period 8,056,374 7,780,550

End of Period 8,898,363 8,056,374

17

Investor Shares

For a Share Outstanding Year Ended January 31,

Throughout Each Period 2020 2019 2018 2017 2016

Net Asset Value, Beginning of Period $10.48 $10.49 $10.65 $10.73 $10.75

Investment Operations

Net Investment Income .2451 .2271 .1271 .094 .074

Net Realized and Unrealized Gain (Loss) on Investments .160 (.009) (.160) (.048) (.004)

Total from Investment Operations .405 .218 (.033) .046 .070

Distributions

Dividends from Net Investment Income (.245) (.228) (.127) (.094) (.074)

Distributions from Realized Capital Gains — — — (.032) (.016)

Total Distributions (.245) (.228) (.127) (.126) (.090)

Net Asset Value, End of Period $10.64 $10.48 $10.49 $10.65 $10.73

Total Return2 3.91% 2.11% -0.31% 0.43% 0.66%

Ratios/Supplemental Data

Net Assets, End of Period (Millions) $655 $671 $737 $900 $1,005

Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%

Ratio of Net Investment Income to Average Net Assets 2.30% 2.18% 1.20% 0.87% 0.69%

Portfolio Turnover Rate3 340% 282% 280% 249% 211%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 5%, 37%, 7%, 3%, and 35% attributable to mortgage-dollar-roll activity.

Financial Highlights



18




Admiral Shares






Net Realized and Unrealized Gain (Loss) on Investments .162 (.010) (.160) (.048) (.004)


Distributions





Total Return2 4.01% 2.21% -0.21% 0.53% 0.76%


Net Assets, End of Period (Millions) $8,243 $7,385 $7,044 $6,805 $6,271







19

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. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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. 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. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The 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 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).

20

21


During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 21% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities 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 in the Statement of Assets and Liabilities 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 in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions 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.

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.

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, 2017–2020), 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. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of

22


operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $388,000, representing less than 0.01% of the fund’s net assets and 0.16% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities. Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

Level 1 Level 2 Level 3 Investments ($000) ($000) ($000)

U.S. Government and Agency Obligations — 8,208,361 —

Asset-Backed/Commercial Mortgage-Backed Securities — 111,975 —

Temporary Cash Investments 46,445 — —

Options Purchased 177 — —

Conventional Mortgage-Backed Securities—Liability for Sale Commitments — (239,321) —

Options Written (853) — —

Futures Contracts—Assets1 2,259 — —

Futures Contracts—Liabilities1 (819) — —

Total 47,209 8,081,015 —

1 Represents variation margin on the last day of the reporting period.

D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the

23


realization of unrealized gains or losses on certain futures contracts and options; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

Amount ($000)

Undistributed Ordinary Income 3,550

Undistributed Long-Term Gains —

Capital Loss Carryforwards (Non-expiring)* (88,155)

Net Unrealized Gains (Losses) 59,570

* The fund used capital loss carryforwards of $92,927,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:

Amount ($000)

Tax Cost 8,307,211

Gross Unrealized Appreciation 63,008

Gross Unrealized Depreciation (3,438)

Net Unrealized Appreciation (Depreciation) 59,570

E. During the year ended January 31, 2020, the fund purchased $26,005,884,000 of investment securities and sold $24,886,520,000 of investment securities, other than temporary cash investments.

F. Capital share transactions for each class of shares were:


2020 2019

Amount Shares Amount Shares ($000) (000) ($000) (000)

Investor Shares

Issued 276,043 26,184 224,749 21,543

Issued in Lieu of Cash Distributions 13,877 1,313 12,859 1,232

Redeemed (316,986) (30,037) (302,176) (28,954)

Net Increase (Decrease)—Investor Shares (27,066) (2,540) (64,568) (6,179)

Admiral Shares

Issued 2,554,837 241,901 2,652,005 254,299


Redeemed (1,970,252) (186,524) (2,426,047) (233,016)

Net Increase (Decrease)—Admiral Shares 735,111 69,619 352,852 33,442

G. Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

24

Performance Summary




25


2020201920182017201620152014201320122011

$16,000

9,000

11,710


OneYear

FiveYears

TenYears


Short-Term Federal Fund InvestorShares 4.46% 1.60% 1.59% $11,710

• • • • • • •Bloomberg Barclays U.S. 1–5 YearGovernment Bond Index 4.83 1.66 1.70 11,837


OneYear

FiveYears

TenYears


Short-Term Federal Fund Admiral Shares 4.56% 1.70% 1.69% $59,150

Bloomberg Barclays U.S. 1–5 Year Government Bond Index 4.83 1.66 1.70 59,186




26

Asset-Backed 4.9%



Other 0.6







U.S. Government Securities (8.2%) 1 United States Treasury Note/Bond 1.500% 1/31/22 155,000 155,484 United States Treasury Note/Bond 2.250% 4/15/22 43,000 43,8602 United States Treasury Note/Bond 1.750% 6/15/22 46,400 46,871 United States Treasury Note/Bond 1.375% 10/15/22 69,300 69,408 United States Treasury Note/Bond 1.625% 12/15/22 67,500 68,1111 United States Treasury Note/Bond 1.750% 12/31/24 8,400 8,571 United States Treasury Note/Bond 1.375% 1/31/25 18,100 18,148

410,453Agency Bonds and Notes (19.8%) 3 AID-Israel 0.000% 11/1/24 6,905 6,3714 Fannie Mae Principal Strip 0.000% 1/15/30 5,100 4,1964,5 Fannie Mae Strip 405-1 0.000% 10/25/40 6,325 5,712 Federal Home Loan Banks 1.625% 12/20/21 180,000 180,866 Federal Home Loan Banks 1.500% 8/15/24 55,700 55,993 Federal Home Loan Banks 3.250% 11/16/28 21,500 24,2464 Federal National Mortgage Assn. 1.625% 1/7/25 300,000 302,9944 Freddie Mac Strips 0.000% 7/15/32 37,300 28,763 Government Trust Certificate 0.000% 4/1/20 10,419 10,388 Government Trust Certificate 0.000% 10/1/20 7,711 7,621 Private Export Funding Corp. 2.250% 3/15/20 12,393 12,403 Private Export Funding Corp. 4.300% 12/15/21 4,430 4,658 Private Export Funding Corp. 3.550% 1/15/24 15,500 16,686 Private Export Funding Corp. 2.450% 7/15/24 5,300 5,501 Resolution Funding Corp. 0.000% 1/15/28 6,400 5,533 Resolution Funding Corp. Interest Strip 0.000% 1/15/27 11,864 10,482 Resolution Funding Corp. Interest Strip 0.000% 10/15/27 9,894 8,599 Resolution Funding Corp. Interest Strip 0.000% 4/15/28 4,590 3,947 Resolution Funding Corp. Principal Strip 0.000% 7/15/20 69,270 68,773 Resolution Funding Corp. Principal Strip 0.000% 10/15/20 213,717 211,379 Tennessee Valley Authority Principal Strip 0.000% 11/1/25 17,342 15,686

990,797Conventional Mortgage-Backed Securities (21.3%) 4,5 Fannie Mae Pool 2.000% 10/1/27–7/1/28 4,817 4,8684,5 Fannie Mae Pool 2.500% 2/1/28–8/1/34 93,014 94,7424,5 Fannie Mae Pool 3.000% 12/1/20–1/1/50 219,471 224,9164,5 Fannie Mae Pool 4.000% 3/1/20–3/1/50 118,791 127,5564,5 Fannie Mae Pool 4.500% 3/1/20–7/1/49 49,579 53,3854,5 Fannie Mae Pool 5.000% 8/1/20–9/1/49 63,082 69,254


27


4,5 Fannie Mae Pool 5.500% 2/1/20–1/1/25 104 1064,5 Freddie Mac Gold Pool 2.000% 9/1/28–6/1/30 5,559 5,5594,5 Freddie Mac Gold Pool 2.500% 6/1/22–10/1/31 16,453 16,7924,5 Freddie Mac Gold Pool 3.000% 11/1/29–3/1/31 25,757 26,6164,5 Freddie Mac Gold Pool 3.500% 3/1/21–8/1/29 9,863 10,3324,5 Freddie Mac Gold Pool 4.000% 6/1/20–6/1/46 19,677 21,0294,5 Freddie Mac Gold Pool 4.500% 8/1/20–9/1/26 3,043 3,1494,5 Freddie Mac Gold Pool 5.000% 2/1/20–6/1/25 933 9824,5 Freddie Mac Pool 3.000% 10/1/49 7,467 7,5985 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 26,835 27,0845 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 297 4014,5 UMBS Pool 2.500% 9/1/34–2/1/35 78,879 80,2744,5 UMBS Pool 3.500% 8/1/29–2/1/50 225,295 233,3274,5 UMBS Pool 4.000% 2/1/47–2/1/50 39,091 40,9804,5 UMBS Pool 4.500% 8/1/49 12,634 13,580

1,062,530Nonconventional Mortgage-Backed Securities (11.5%) 4,5 Fannie Mae REMICS 2.500% 6/25/40–9/25/45 12,465 12,7014,5 Fannie Mae REMICS 3.000% 9/25/44–3/25/48 50,707 51,6834,5 Fannie Mae REMICS 3.500% 10/25/44–10/25/48 34,621 35,7274,5 Freddie Mac REMICS 2.500% 10/15/41–10/25/49 88,865 90,1954,5 Freddie Mac REMICS 3.000% 11/25/47–10/25/48 20,828 21,3664,5 Freddie Mac REMICS 3.500% 5/15/40 3,574 3,6744,5 Freddie Mac REMICS 4.000% 8/15/48 20,286 21,1924,5 Freddie Mac REMICS 6.500% 5/15/24 5,087 5,4445 Ginnie Mae REMICS 1.500% 10/20/45–11/20/45 131,029 128,8125 Ginnie Mae REMICS 1.993% 12/20/42 6,052 6,0465 Ginnie Mae REMICS 2.000% 11/20/42 25,204 25,3515 Ginnie Mae REMICS 2.500% 9/20/43–11/20/47 7,462 7,5745 Ginnie Mae REMICS 3.000% 3/20/41–3/20/48 131,136 133,8115 Ginnie Mae REMICS 3.500% 4/20/48–5/20/49 9,400 9,9885 Ginnie Mae REMICS 4.000% 10/20/47–9/20/48 20,550 21,620

575,184


Asset-Backed/Commercial Mortgage-Backed Securities (20.4%)

4,5 Fannie Mae-Aces 2011-48D 3.000% 9/25/49 9,163 9,5144,5 Fannie Mae-Aces 2011-50F 3.000% 9/25/49 14,541 15,0754,5 Fannie Mae-Aces 2011-77A 3.000% 4/25/44 36,131 36,8594,5 Fannie Mae-Aces 2011-84A 5.250% 9/25/41 4,971 5,7414,5 Fannie Mae-Aces 2011-90A 3.500% 12/25/45 3,834 4,0154,5 Fannie Mae-Aces 2012-123F 1.500% 11/25/42 18,123 17,8854,5 Fannie Mae-Aces 2012-124E 1.500% 11/25/42 3,064 2,9814,5 Fannie Mae-Aces 2013-104A 3.000% 10/25/33 6,730 7,0744,5 Fannie Mae-Aces 2013-111B 2.125% 10/25/42 8,410 8,3984,5 Fannie Mae-Aces 2013-114D 2.250% 7/25/43 2,814 2,8244,5 Fannie Mae-Aces 2013-115A 2.000% 11/25/43 8,335 8,3154,5 Fannie Mae-Aces 2013-115B 2.100% 4/25/43 6,784 6,7644,5 Fannie Mae-Aces 2013-115B 2.250% 10/25/43 11,962 12,0104,5 Fannie Mae-Aces 2013-19A 3.500% 3/25/43 2,539 2,7994,5 Fannie Mae-Aces 2013-20E 1.500% 3/25/43 3,617 3,5174,5 Fannie Mae-Aces 2013-46B 1.700% 5/25/43 13,553 13,342


28



4,5 Fannie Mae-Aces 2013-46C 1.700% 5/25/43 6,876 6,7654,5 Fannie Mae-Aces 2013-46D 1.500% 5/25/43 13,375 13,1154,5 Fannie Mae-Aces 2013-49B 1.650% 12/25/42 20,592 20,4104,5 Fannie Mae-Aces 2013-53G 1.500% 12/25/41 29,337 28,9984,5 Fannie Mae-Aces 2013-57G 1.750% 6/25/41 11,700 11,6294,5 Fannie Mae-Aces 2014-60E 2.000% 9/25/44 23,461 23,3794,5 Fannie Mae-Aces 2014-86A 2.000% 12/25/44 9,532 9,4814,5 Fannie Mae-Aces 2015-18E 1.750% 4/25/44 10,244 10,1334,5 Fannie Mae-Aces 2015-19 2.000% 12/25/44 19,685 19,6144,5 Fannie Mae-Aces 2015-73 1.600% 10/25/45 13,031 12,8694,5 Fannie Mae-Aces 2016-60B 2.500% 9/25/46 3,547 3,6084,5 Fannie Mae-Aces 2017-67D 3.000% 2/25/44 3,010 3,1244,5 Fannie Mae-Aces 2017-74C 3.000% 8/25/46 12,142 12,5724,5 Fannie Mae-Aces 2018-18D 3.500% 4/25/43 37,494 38,6594,5 Fannie Mae-Aces 2018-49E 3.500% 7/25/48 2,280 2,3994,5 Fannie Mae-Aces 2018-73E 4.000% 10/25/48 999 1,0854,5 Fannie Mae-Aces 2018-76E 3.500% 7/25/43 16,633 17,2034,5 Fannie Mae-Aces 2018-91A 4.000% 12/25/46 8,020 8,4794,5 Fannie Mae-Aces 2019-68G 2.500% 5/25/48 14,123 14,1804,5 Fannie Mae-Aces 2019-83A 2.500% 12/25/49 12,464 12,5134,5 FHLMC Multifamily Structured

Pass Through Certificates 4122C 1.500% 10/15/42 25,963 25,7134,5 FHLMC Multifamily Structured

Pass Through Certificates 4122H 1.500% 10/15/42 14,993 14,8504,5 FHLMC Multifamily Structured

Pass Through Certificates 4122K 1.500% 10/15/42 2,294 2,2294,5 FHLMC Multifamily Structured

Pass Through Certificates 4194A 1.700% 4/15/43 3,298 3,2704,5 FHLMC Multifamily Structured

Pass Through Certificates 4213D 1.750% 11/15/41 21,977 21,8534,5 FHLMC Multifamily Structured

Pass Through Certificates 4259B 2.250% 4/15/43 2,749 2,7524,5 FHLMC Multifamily Structured


Pass Through Certificates 4395E 2.500% 4/15/37 22,721 23,1854,5 FHLMC Multifamily Structured


Pass Through Certificates 4460A 1.750% 4/15/41 39,447 39,1274,5 FHLMC Multifamily Structured

Pass Through Certificates 4468F 1.600% 4/15/41 25,727 25,3714,5 FHLMC Multifamily Structured


Pass Through Certificates 4763C 4.000% 8/15/47 5,937 6,6324,5 FHLMC Multifamily Structured


Pass Through Certificates 4818J 4.000% 8/15/48 265 2884,5 FHLMC Multifamily Structured

Pass Through Certificates 4819E 4.000% 7/15/48 849 9144,5 FHLMC Multifamily Structured

Pass Through Certificates 4819E 4.000% 7/15/48 956 1,042

29



4,5 FHLMC Multifamily Structured Pass Through Certificates 4823E 4.000% 9/15/48 3,439 3,754




4,5 FHLMC Multifamily Structured Pass Through Certificates 4883A 4.000% 5/15/49 515 565

4,5 FHLMC Multifamily Structured Pass Through Certificates 4883A 4.000% 5/15/49 515 559

4,5 FHLMC Multifamily Structured Pass Through Certificates 4927F 2.250% 9/25/49 2,952 2,971






5 Small Business Administration Participation Certs 2005-20A 4.860% 1/1/25 171 180

5 Small Business Administration Participation Certs 2005-20B 4.625% 2/1/25 87 91

5 Small Business Administration Participation Certs 2005-20C 4.950% 3/1/25 62 65



5 Small Business Administration Participation Certs 2006-20D 5.640% 4/1/26 685 731

5 Small Business Administration Participation Certs 2006-20H 5.700% 8/1/26 961 1,040









30



5 Small Business Administration Participation Certs 2008-20C 5.490% 3/1/28 90 96


5 Small Business Administration Participation Certs 2008-20F 5.680% 6/1/28 72 78

5 Small Business Administration Participation Certs 2008-20H 6.020% 8/1/28 71 78


5 Small Business Administration Participation Certs 2009-20A 5.720% 1/1/29 55 60




5 Small Business Administration Participation Certs 2009-20K 4.090% 11/1/29 987 1,034




5 Small Business Administration Participation Certs 2012-20I 2.200% 9/1/32 52 53


5 Small Business Administration Participation Certs 2013-20K 3.380% 11/1/33 92 96

5 Small Business Administration Participation Certs 2017-20 2.780% 12/1/37 2,355 2,457






5 Small Business Administration Participation Certs 2018-20C 5.230% 3/1/27 992 1,052





31






5 Small Business Administration Participation Certs 2018-25F 3.670% 12/1/43 2,206 2,396



5 Small Business Administration Participation Certs 2019-25F 2.770% 6/1/44 10,062 10,513

5 Small Business Administration Participation Certs 2019-25H 2.310% 8/1/44 12,000 12,212




Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $990,036) 1,015,417

Shares



(Cost $117,310) 1.730% 1,172,900 117,314




Call Options 10-Year U.S. Treasury

Note Futures Contracts 2/21/20 1,000 $131.50 131,500 719Put Options 10-Year U.S. Treasury

Note Futures Contracts 2/21/20 1,000 $128.75 128,750 31 10-Year U.S. Treasury

Note Futures Contracts 2/21/20 1,000 129.75 129,750 78

109



32



Conventional Mortgage-Backed Securities-Liability for Sale Commitments (-2.4%)

4,5,7 Fannie Mae Pool 3.500% 8/1/20–1/1/50 (74,902) (74,764)4,5,7 UMBS Pool 3.000% 9/1/34–2/1/50 (42,139) (42,634)

Total Conventional Mortgage-Backed Securities-Liability for Sale Commitments (Proceeds $117,793) (117,398)


Other Assets 2,150,016Other Liabilities8 (1,211,065)

938,951

Net Assets (100%) 4,994,076

Amount ($000)



Total Investments in Securities 4,172,523Investment in Vanguard 216 Receivables for Investment Securities Sold 2,127,222 Receivables for Accrued Income 14,565 Receivables for Capital Shares Issued 5,685 Variation Margin Receivable—Futures Contracts 1,267 Other Assets 1,061


Liabilities Payables for Investment Securities Purchased 1,202,840 Payables for Capital Shares Redeemed 3,699 Payables for Distributions 927 Payables to Vanguard 1,733 Liability for Sale Commitments 117,398 Options Written, at Value8 186 Variation Margin Payable—Futures Contracts 1,680

Total Liabilities 1,328,463


33



Paid-in Capital 5,000,012Total Distributable Earnings (Loss) (5,936)









1 Securities with a value of $2,916,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.


3 U.S. government-guaranteed.








34




Options Written



Call Options


Put Options



(111)


Futures Contracts

($000)



2-Year U.S. Treasury Note March 2020 3,663 792,524 2,621


4,894


Ultra 10-Year U.S. Treasury Note March 2020 (2,172) (316,365) (7,135)

10-Year U.S. Treasury Note March 2020 (1,470) (193,535) (2,568)

30-Year U.S. Treasury Bond March 2020 (159) (26,001) (717)


(10,633)

(5,739)

35


($000)

Investment Income

Income

Interest1 117,803


Expenses


Investment Advisory Services 646





Custodian Fees 23

Auditing Fees 38








Futures Contracts (6,614)







Options Purchased 327

Options Written 161



1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,837,000, ($40,000), and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes.




36





2020 2019 ($000) ($000)


Operations





Distributions



Admiral Shares (98,841) (85,703)







Admiral Shares 323,046 (277,358)

Net Increase (Decrease) from Capital Share Transactions 311,327 (374,671)

Total Increase (Decrease) 408,906 (372,824)

Net Assets


End of Period 4,994,076 4,585,170

37

Investor Shares






Net Realized and Unrealized Gain (Loss) on Investments .221 .021 (.144) (.063) .005


Distributions


Distributions from Realized Capital Gains — — (.006) (.027) (.035)



Total Return2 4.46% 2.20% -0.02% 0.49% 0.93%


Net Assets, End of Period (Millions) $623 $622 $719 $827 $817










38




Admiral Shares






Net Realized and Unrealized Gain (Loss) on Investments .220 .020 (.144) (.063) .005

Total from Investment Operations .477 .239 .009 .064 .110

Distributions


Distributions from Realized Capital Gains — — (.006) (.027) (.035)



Total Return2 4.56% 2.30% 0.08% 0.59% 1.03%









39



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. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.





40






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

41


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.








42









Asset-Backed/Commercial Mortgage-Backed Securities — 1,015,417 —



Conventional Mortgage-Backed Securities– Liability for Sale Commitments — (117,398) —



Futures Contracts—Liabilities1 (1,680) — —

Total 117,543 3,936,983 —




43



Amount ($000)






As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:

Amount ($000)

Tax Cost 4,111,006







2020 2019


Investor Shares

Issued 210,669 19,720 152,102 14,484


Redeemed (234,566) (22,019) (261,731) (24,884)

Net Increase (Decrease)—Investor Shares (11,719) (1,161) (97,313) (9,228)

Admiral Shares

Issued 1,620,521 151,597 1,380,847 131,440


Redeemed (1,384,071) (129,514) (1,733,348) (165,176)

Net Increase (Decrease)—Admiral Shares 323,046 30,176 (277,358) (26,586)


44

Performance Summary




45


2020201920182017201620152014201320122011

$16,000

9,000

13,732


OneYear

FiveYears

TenYears


Intermediate-Term Treasury FundInvestor Shares 7.98% 2.19% 3.22% $13,732

• • • • • • •Bloomberg Barclays U.S. 5–10 YearTreasury Bond Index 9.59 2.62 4.06 14,889


OneYear

FiveYears

TenYears


Intermediate-Term Treasury Fund Admiral Shares 8.09% 2.29% 3.33% $69,362

Bloomberg Barclays U.S. 5–10 Year Treasury Bond Index 9.59 2.62 4.06 74,443




46

Asset-Backed 5.3%









U.S. Government Securities (84.7%) United States Treasury Note/Bond 2.750% 4/30/23 24,200 25,304 United States Treasury Note/Bond 1.750% 5/15/23 56,000 56,787 United States Treasury Note/Bond 2.750% 5/31/23 128,000 133,980 United States Treasury Note/Bond 2.750% 7/31/23 9,100 9,546 United States Treasury Note/Bond 2.750% 8/31/23 72,000 75,612 United States Treasury Note/Bond 2.875% 9/30/23 110,000 116,1361 United States Treasury Note/Bond 2.875% 10/31/23 228,000 240,969 United States Treasury Note/Bond 2.750% 11/15/23 50,000 52,648 United States Treasury Note/Bond 2.875% 11/30/23 97,300 102,955 United States Treasury Note/Bond 2.250% 12/31/23 53,000 54,896 United States Treasury Note/Bond 2.625% 12/31/23 82,000 86,087 United States Treasury Note/Bond 2.250% 1/31/24 133,000 137,843 United States Treasury Note/Bond 2.500% 1/31/24 81,800 85,558 United States Treasury Note/Bond 2.750% 2/15/24 81,000 85,569 United States Treasury Note/Bond 2.125% 2/29/24 87,000 89,787 United States Treasury Note/Bond 2.375% 2/29/24 49,000 51,052 United States Treasury Note/Bond 2.000% 4/30/24 37,000 38,040 United States Treasury Note/Bond 2.500% 5/15/24 108,000 113,282 United States Treasury Note/Bond 2.000% 5/31/24 51,500 52,965 United States Treasury Note/Bond 1.750% 6/30/24 118,600 120,768 United States Treasury Note/Bond 2.000% 6/30/24 30,000 30,872 United States Treasury Note/Bond 1.875% 8/31/24 60,000 61,463 United States Treasury Note/Bond 1.375% 1/31/25 20,700 20,755 United States Treasury Note/Bond 2.500% 1/31/25 48,000 50,708 United States Treasury Note/Bond 2.125% 5/15/25 91,800 95,444 United States Treasury Note/Bond 2.875% 5/31/25 129,300 139,422 United States Treasury Note/Bond 2.750% 6/30/25 89,000 95,467 United States Treasury Note/Bond 2.875% 7/31/25 45,300 48,924 United States Treasury Note/Bond 2.000% 8/15/25 139,250 143,993 United States Treasury Note/Bond 3.000% 9/30/25 145,900 158,825 United States Treasury Note/Bond 3.000% 10/31/25 83,000 90,431 United States Treasury Note/Bond 2.250% 11/15/25 169,500 177,711 United States Treasury Note/Bond 2.875% 11/30/25 73,000 79,114 United States Treasury Note/Bond 2.625% 12/31/25 94,000 100,624 United States Treasury Note/Bond 2.625% 1/31/26 89,000 95,314 United States Treasury Note/Bond 1.625% 2/15/26 82,884 84,010 United States Treasury Note/Bond 6.000% 2/15/26 17,000 21,558 United States Treasury Note/Bond 2.500% 2/28/26 85,000 90,485


47


United States Treasury Note/Bond 2.250% 3/31/26 163,700 171,986 United States Treasury Note/Bond 2.375% 4/30/26 47,400 50,170 United States Treasury Note/Bond 1.625% 5/15/26 183,000 185,487 United States Treasury Note/Bond 2.125% 5/31/26 155,300 162,119 United States Treasury Note/Bond 1.875% 6/30/26 50,000 51,437 United States Treasury Note/Bond 1.500% 8/15/26 203,000 204,141 United States Treasury Note/Bond 1.375% 8/31/26 33,000 32,928 United States Treasury Note/Bond 1.625% 10/31/26 102,000 103,355 United States Treasury Note/Bond 6.500% 11/15/26 5,000 6,655 United States Treasury Note/Bond 1.625% 11/30/26 82,000 83,089 United States Treasury Note/Bond 1.750% 12/31/26 73,000 74,574 United States Treasury Note/Bond 6.625% 2/15/27 7,000 9,4542 United States Treasury Note/Bond 6.125% 11/15/27 14,000 18,856 United States Treasury Note/Bond 2.750% 2/15/28 75,000 82,359 United States Treasury Note/Bond 2.875% 8/15/28 135,500 150,680 United States Treasury Note/Bond 5.500% 8/15/28 10,000 13,2361 United States Treasury Note/Bond 3.125% 11/15/28 263,500 299,030 United States Treasury Note/Bond 5.250% 11/15/28 19,500 25,582 United States Treasury Note/Bond 2.625% 2/15/29 107,000 117,231 United States Treasury Note/Bond 5.250% 2/15/29 10,000 13,183 United States Treasury Note/Bond 2.375% 5/15/29 149,000 160,291 United States Treasury Note/Bond 1.625% 8/15/29 55,000 55,584 United States Treasury Note/Bond 1.750% 11/15/29 8,000 8,174

5,394,505Agency Bonds and Notes (2.0%) 3 AID-Israel 0.000% 11/1/24 50,000 46,1343 AID-Israel 0.000% 8/15/25 15,929 14,462 Private Export Funding Corp. 4.300% 12/15/21 4,150 4,364 Private Export Funding Corp. 3.550% 1/15/24 18,500 19,915 Private Export Funding Corp. 2.450% 7/15/24 6,085 6,316 Resolution Funding Corp. 0.000% 1/15/28 7,800 6,743 Resolution Funding Corp. Interest Strip 0.000% 1/15/27 14,588 12,888 Resolution Funding Corp. Interest Strip 0.000% 10/15/27 12,004 10,433 Resolution Funding Corp. Interest Strip 0.000% 4/15/28 5,560 4,781

126,036Conventional Mortgage-Backed Securities (2.8%) 4,5 Fannie Mae Pool 3.000% 9/1/49–1/1/50 105,977 108,6044,5 Fannie Mae Pool 4.000% 1/1/49–3/1/50 36,767 38,0984 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 5,656 5,7234 Ginnie Mae II Pool 4.500% 2/1/50 — —4 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 469 5714,5 UMBS Pool 3.500% 4/1/49–2/1/50 23,237 24,020

177,016Nonconventional Mortgage-Backed Securities (0.9%) 4,5 Fannie Mae REMICS 1.750% 3/25/46 12,292 12,1704,5 Fannie Mae REMICS 2.500% 9/25/49–12/25/49 21,868 22,4494,5 Freddie Mac REMICS 4.000% 5/15/48–7/15/48 14,677 15,9404 Ginnie Mae REMICS 3.000% 11/20/45–8/20/46 2,126 2,2604 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 4,550 4,884

57,703



48




4,5 Fannie Mae-Aces 2013-19A 3.500% 3/25/43 2,159 2,3804,5 Fannie Mae-Aces 2016-53KA 1.850% 8/25/46 5,646 5,6124,5 Fannie Mae-Aces 2018-49E 3.500% 7/25/48 528 5564,5 Fannie Mae-Aces 2018-73E 4.000% 10/25/48 841 9144,5 Federal Home Loan Mortgage Corp

2017- 357A 2.500% 9/15/47 9,004 9,1964,5 FHLMC Multifamily Structured





Pass Through Certificates 4826A 4.000% 9/15/48 741 7954,5 FHLMC Multifamily Structured


Pass Through Certificates 4883A 4.000% 5/15/49 515 5654 Small Business Administration Participation

Certs 2017-20 2.780% 12/1/37 2,879 3,0034 Small Business Administration Participation






Certs 2018-20C 3.200% 3/1/38 49,720 53,0624 Small Business Administration Participation

Certs 2018-20E 3.500% 5/1/38 9,985 10,7824 Small Business Administration Participation

Certs 2018-20J 3.770% 10/1/38 30,645 33,3974 Small Business Administration Participation

Certs 2018-20J 2.690% 7/1/44 13,786 14,3394 Small Business Administration Participation

Certs 2018-20k 3.870% 11/1/38 21,154 23,1774 Small Business Administration Participation

Certs 2018-20L 3.540% 12/1/38 26,792 28,9464 Small Business Administration Participation

Certs 2018-25F 3.670% 12/1/43 2,590 2,8124 Small Business Administration Participation

Certs 2019-20C 3.200% 3/1/39 10,861 11,5284 Small Business Administration Participation

Certs 2019-25E 3.070% 5/1/44 8,102 8,6104 Small Business Administration Participation

Certs 2019-25F 2.770% 6/1/44 13,159 13,748

49



4 Small Business Administration Participation Certs 2019-25H 2.310% 8/1/44 15,000 15,264




Shares



(Cost $44,321) 1.730% 443,150 44,324




Put Options 10-Year U.S. Treasury Note Futures Contracts 2/21/20 375 $127.00 47,625 — 10-Year U.S. Treasury Note Futures Contracts 2/21/20 1,136 $130.00 147,680 124



Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.6%)

4,5 Fannie Mae Pool 3.500% 1/1/49–1/1/50 (13,957) (14,572)4,5 UMBS Pool 3.000% 2/1/49–2/1/50 (63,900) (65,348)4,5 UMBS Pool 4.000% 3/1/49–2/1/50 (19,903) (20,771)

Total Conventional Mortgage-Backed Securities – Liability for Sale Commitments (Proceeds $100,335) (100,691)


Other Assets 673,061Other Liabilities7 (375,910)

297,151

Net Assets (100%) 6,368,153

50


Amount ($000)



Total Investments in Securities 6,171,693Investment in Vanguard 271Receivables for Investment Securities Sold 625,787Receivables for Accrued Income 36,550Receivables for Capital Shares Issued 8,578Variation Margin Receivable—Futures Contracts 1,737Other Assets 138


LiabilitiesPayables for Investment Securities Purchased 367,295Liability for Sale Commitments 100,691Payables for Capital Shares Redeemed 3,364Payables for Distributions 1,582Payables to Vanguard 1,983Options Written, at Value7 598Variation Margin Payable—Futures Contracts 1,088




Paid-in Capital 6,246,164Total Distributable Earnings (Loss) 121,989





51


Amount ($000)





1 Securities with a value of $817,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.


3 U.S. government-guaranteed.







52




Options Written



Call Options




(529)

Put Options



(69)


Futures Contracts

($000)




Ultra 10-Year U.S. Treasury Note March 2020 187 27,238 806


4,242


10-Year U.S. Treasury Note March 2020 (1,746) (229,872) (4,007)

30-Year U.S. Treasury Bond March 2020 (324) (52,984) (2,091)


(6,359)

(2,117)

53


($000)

Investment Income

Income

Interest1 148,841


Expenses







Custodian Fees 29

Auditing Fees 38



















1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,097,000, ($14,000), and $3,000, respectively. Purchases and sales are for temporary cash investment purposes.




54





2020 2019 ($000) ($000)


Operations





Distributions



Admiral Shares (122,275) (126,005)






Investor Shares 33,277 (134,125)




Net Assets


End of Period 6,368,153 5,813,077

55

Investor Shares






Net Realized and Unrealized Gain (Loss) on Investments .611 .081 (.230) (.271) (.057)

Total from Investment Operations .866 .341 (.032) (.094) .131

Distributions





Total Return2 7.98% 3.20% -0.31% -0.84% 1.17%


Net Assets, End of Period (Millions) $917 $837 $967 $1,185 $1,326










56




Admiral Shares






Net Realized and Unrealized Gain (Loss) on Investments .610 .080 (.230) (.271) (.057)

Total from Investment Operations .877 .352 (.020) (.083) .142

Distributions





Total Return2 8.09% 3.30% -0.21% -0.74% 1.27%









57



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. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.





58






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.

59

60








B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.











Conventional Mortgage-Backed Securities— Liability for Sale Commitments — (100,691) —



Futures Contracts—Liabilities1 (1,088) — —

Total 44,499 6,026,554 —




61



Amount ($000)






As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives and sale commitments based on cost for U.S. federal income tax purposes were as follows:

Amount ($000)

Tax Cost 5,960,133







2020 2019


Investor Shares

Issued 232,837 20,585 187,620 17,368


Redeemed (217,529) (19,329) (340,929) (31,640)

Net Increase (Decrease)—Investor Shares 33,277 2,847 (134,125) (12,495)

Admiral Shares

Issued 1,426,848 126,322 1,151,931 106,887


Redeemed (1,332,388) (118,220) (1,415,222) (131,219)



62

Performance Summary




63


2020201920182017201620152014201320122011

$22,000

8,000

20,097


OneYear

FiveYears

TenYears


Long-Term Treasury Fund InvestorShares 21.84% 3.59% 7.23% $20,097

• • • • • • •Bloomberg Barclays U.S. LongTreasury Bond Index 21.87 3.80 7.44 20,499


OneYear

FiveYears

TenYears


Long-Term Treasury Fund Admiral Shares 21.96% 3.69% 7.34% $101,508

Bloomberg Barclays U.S. Long Treasury Bond Index 21.87 3.80 7.44 102,494




64

Government Mortgage-Backed 10.9%








U.S. Government Securities (89.0%) United States Treasury Note/Bond 4.375% 2/15/38 2,122 2,982 United States Treasury Note/Bond 4.500% 8/15/39 20,467 29,494 United States Treasury Note/Bond 4.625% 2/15/40 36,700 53,869 United States Treasury Note/Bond 4.375% 5/15/40 57,111 81,454 United States Treasury Note/Bond 3.875% 8/15/40 27,191 36,478 United States Treasury Note/Bond 4.250% 11/15/40 62,748 88,299 United States Treasury Note/Bond 4.750% 2/15/41 51,417 77,062 United States Treasury Note/Bond 4.375% 5/15/41 39,963 57,284 United States Treasury Note/Bond 3.750% 8/15/41 48,771 64,529 United States Treasury Note/Bond 3.125% 11/15/41 26,608 32,246 United States Treasury Note/Bond 3.125% 2/15/42 17,290 20,963 United States Treasury Note/Bond 3.000% 5/15/42 10,149 12,067 United States Treasury Note/Bond 2.750% 8/15/42 24,898 28,446 United States Treasury Note/Bond 2.750% 11/15/42 67,652 77,272 United States Treasury Note/Bond 3.125% 2/15/43 69,711 84,426 United States Treasury Note/Bond 2.875% 5/15/43 98,046 114,254 United States Treasury Note/Bond 3.625% 8/15/43 91,164 119,283 United States Treasury Note/Bond 3.750% 11/15/43 111,157 148,307 United States Treasury Note/Bond 3.625% 2/15/44 108,048 141,695 United States Treasury Note/Bond 3.375% 5/15/44 58,925 74,503 United States Treasury Note/Bond 3.125% 8/15/44 102,849 125,106 United States Treasury Note/Bond 3.000% 11/15/44 77,901 92,934 United States Treasury Note/Bond 2.500% 2/15/45 8,000 8,759 United States Treasury Note/Bond 3.000% 5/15/45 111,005 132,720 United States Treasury Note/Bond 2.875% 8/15/45 100,839 118,171 United States Treasury Note/Bond 3.000% 11/15/45 77,619 93,058 United States Treasury Note/Bond 2.500% 2/15/46 68,795 75,524 United States Treasury Note/Bond 2.500% 5/15/46 82,510 90,658 United States Treasury Note/Bond 2.250% 8/15/46 75,940 79,560 United States Treasury Note/Bond 2.875% 11/15/46 66,969 79,012 United States Treasury Note/Bond 3.000% 2/15/47 106,998 129,351 United States Treasury Note/Bond 3.000% 5/15/47 54,137 65,4721 United States Treasury Note/Bond 2.750% 8/15/47 84,117 97,339 United States Treasury Note/Bond 2.750% 11/15/47 88,490 102,482 United States Treasury Note/Bond 3.000% 2/15/48 91,304 110,763 United States Treasury Note/Bond 3.125% 5/15/48 74,462 92,507 United States Treasury Note/Bond 3.000% 8/15/48 91,833 111,720 United States Treasury Note/Bond 3.375% 11/15/48 123,361 160,658 United States Treasury Note/Bond 3.000% 2/15/49 92,640 113,079


65


2 United States Treasury Note/Bond 2.875% 5/15/49 190,861 227,930 United States Treasury Note/Bond 2.250% 8/15/49 70,300 74,210 United States Treasury Note/Bond 2.375% 11/15/49 66,900 72,534

3,598,460Agency Bonds and Notes (2.1%) 3 Fannie Mae Interest Strip 0.000% 5/15/29 4,592 3,8423 Fannie Mae Principal Strip 0.000% 5/15/30 25,912 21,1593 Federal Home Loan Mortgage Corp. 0.000% 12/14/29 20,000 16,5163 Freddie Mac Coupon Strips 0.000% 3/15/28 1,771 1,5223 Freddie Mac Coupon Strips 0.000% 9/15/28 1,000 8493 Freddie Mac Coupon Strips 0.000% 1/15/30 15,658 12,8703 Freddie Mac Coupon Strips 0.000% 3/15/30 12,896 10,565 Resolution Funding Corp. Interest Strip 0.000% 4/15/28 21,802 18,747

86,070Conventional Mortgage-Backed Securities (4.4%) 3,4 Fannie Mae Pool 3.000% 9/1/49–1/1/50 36,260 37,1173,4 Fannie Mae Pool 3.500% 1/1/45–1/1/50 4,575 4,6813,4 Fannie Mae Pool 4.000% 12/1/46–3/1/50 32,171 33,4083,4 Fannie Mae Pool 4.500% 7/1/47–7/1/49 42,213 45,4693,4 Fannie Mae Pool 6.000% 2/1/26–11/1/28 7 94 Ginnie Mae II Pool 3.000% 9/20/49–2/1/50 8,636 8,7274 Ginnie Mae II Pool 5.000% 3/20/49–3/1/50 198 2673,4 UMBS Pool 3.500% 2/1/49–2/1/50 34,937 36,4773,4 UMBS Pool 4.500% 8/1/49 10,799 11,608

177,763Nonconventional Mortgage-Backed Securities (0.2%) 4 Ginnie Mae REMICS 3.000% 11/20/45–8/20/46 1,730 1,8394 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 3,700 3,9724 Ginnie Mae REMICS 4.000% 10/20/47 1,329 1,398

7,209



3,4 Fannie Mae-Aces 2013-104A 3.000% 10/25/33 5,694 5,9853,4 Fannie Mae-Aces 2013-19A 3.500% 3/25/43 1,778 1,9603,4 Fannie Mae-Aces 2017-67D 3.000% 2/25/44 2,608 2,7073,4 Fannie Mae-Aces 2018-49E 3.500% 7/25/48 527 5543,4 Fannie Mae-Aces 2018-73E 4.000% 10/25/48 683 7423,4 FHLMC Multifamily Structured






Pass Through Certificates 4852D 4.000% 10/15/46 14,925 15,521



66


Market Value• Coupon Shares ($000)



(Cost $47,111) 1.730% 471,030 47,112




Put Options 10-Year U.S. Treasury Note

Futures Contracts 2/21/20 229 $127.00 29,083 — 10-Year U.S. Treasury Note

Futures Contracts 2/21/20 702 130.00 91,260 77



Face Maturity Amount Coupon Date ($000)

Conventional Mortgage-Backed Securities-Liability for Sale Commitments (-1.4%)

3,4,6 UMBS Pool 3.000% 2/1/49–2/1/50 (31,450) (32,163)3,4,6 UMBS Pool 4.000% 3/1/49–2/1/50 (24,432) (25,508)

Total Conventional Mortgage-Backed Securities-Liability for Sale Commitments (proceeds $57,243) (57,671)


Other Assets 364,242Other Liabilities7 (213,307)

150,935

Net Assets (100%) 4,042,202

67


Amount ($000)



Total Investments in Securities 3,948,938Investment in Vanguard 164Receivables for Investment Securities Sold 319,687Receivables for Accrued Income 31,929Receivables for Capital Shares Issued 10,826Variation Margin Receivable—Futures Contracts 1,573Other Assets 63


Liabilities Payables for Investment Securities Purchased 202,375Payables for Capital Shares Redeemed 7,600Payables for Distributions 940Payables to Vanguard 1,798Liability for Sale Commitments 57,671Options Written, at Value7 367Variation Margin Payable—Futures Contracts 223Other Liabilities 4



68



Paid-in Capital 3,453,086Total Distributable Earnings (Loss) 589,116










2 Securities with a value of $303,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.








69




Options Written



Call Options




(324)

Put Options



(43)


Futures Contracts

($000)



Ultra Long U.S. Treasury Bond March 2020 1,012 196,012 6,374

30-Year U.S. Treasury Bond March 2020 551 90,106 2,450




9,369


Ultra 10-Year U.S. Treasury Note March 2020 (181) (26,364) (593)

8,776

70


($000)

Investment Income

Income

Interest1 101,663


Expenses







Custodian Fees 18

Auditing Fees 35







Investment Securities Sold1,2 144,165



Options Written 620









1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $843,000, ($4,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $32,271,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.




71





2020 2019 ($000) ($000)


Operations





Distributions



Admiral Shares (74,640) (74,609)

Realized Capital Gain1

Investor Shares (2,497) —

Admiral Shares (7,810) —



Investor Shares 29,041 (78,880)




Net Assets


End of Period 4,042,202 3,325,970

1 Includes fiscal 2020 and 2019 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

72

Investor Shares






Net Realized and Unrealized Gain (Loss) on Investments 2.226 (.100) .170 (.725) (1.070)

Total from Investment Operations 2.557 .234 .498 (.393) (.719)

Distributions


Distributions from Realized Capital Gains (.036) — — (.285) (.320)



Total Return2 21.84% 2.05% 4.21% -3.21% -4.91%


Net Assets, End of Period (Millions) $971 $794 $882 $995 $1,148



Portfolio Turnover Rate3 96%4 122% 103%4 94% 117%




4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.




73




Admiral Shares






Net Realized and Unrealized Gain (Loss) on Investments 2.226 (.100) .170 (.725) (1.070)

Total from Investment Operations 2.570 .246 .510 (.380) (.707)

Distributions


Distributions from Realized Capital Gains (.036) — — (.285) (.320)



Total Return2 21.96% 2.16% 4.32% -3.12% -4.81%





Portfolio Turnover Rate3 96%4 122% 103%4 94% 117%




4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

74



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. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.





75






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

76


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.








77












Conventional Mortgage-Backed Securities—Liability for Sale Commitments — (57,671) —



Futures Contracts—Liabilities1 (223) — —

Total 48,172 3,844,078 —


78


D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts:

Amount ($000)

Paid-in Capital 33,944

Total Distributable Earnings (Loss) (33,944)

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the realization of unrealized gains or losses on certain futures contracts and options; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

Amount ($000)


Undistributed Long-Term Gains 27,327

Capital Loss Carryforwards (Non-expiring)* —



As of January 31, 2020, gross unrealized appreciation and depreciation for investments, sale commitments and derivatives based on cost for U.S. federal income tax purposes were as follows:

Amount ($000)

Tax Cost 3,397,343




E. During the year ended January 31, 2020, the fund purchased $3,483,358,000 of investment securities and sold $3,632,551,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $175,996,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

79




2020 2019


Investor Shares

Issued 260,097 19,936 144,259 12,425


Redeemed (254,452) (19,530) (244,662) (21,087)

Net Increase (Decrease)—Investor Shares 29,041 2,197 (78,880) (6,812)

Admiral Shares

Issued 902,904 69,193 656,780 56,574


Redeemed (917,320) (69,588) (750,642) (64,939)



80

81

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund and Vanguard Long-Term Treasury Fund

Opinions on the Financial StatementsWe have audited the accompanying statements of net assets and statements of assets and liabilities of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund and Vanguard Long-Term Treasury Fund (four of the funds constituting Vanguard Fixed Income Securities Funds, hereafter collectively referred to as the “Funds”) as of January 31, 2020, the related statements of operations for the year ended January 31, 2020, the statements of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2020, 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 ended January 31, 2020 and each of the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for OpinionsThese financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP Philadelphia, Pennsylvania March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

Report of Independent Registered Public Accounting Firm

Special 2019 tax information (unaudited) for Vanguard Short-Term Treasury Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 98.8% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Short-Term Federal Fund



Special 2019 tax information (unaudited) for Vanguard Intermediate-Term Treasury Fund



Special 2019 tax information (unaudited) for Vanguard Long-Term Treasury Fund


The fund distributed $11,623,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.


82

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83

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84

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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.

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 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. 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.

Interested Trustee1

Mortimer J. BuckleyBorn in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and

Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufac-turing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy GutmannBorn in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph LoughreyBorn in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark LoughridgeBorn in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. MalpassBorn in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. PeroldBorn in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co- managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom RaskinBorn in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. VolanakisBorn in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John BendlBorn in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn BooraemBorn in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. BuchananBorn in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David CermakBorn in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. HigginsBorn in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter MahoneyBorn in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. RobinsonBorn in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael RollingsBorn in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. SchadlBorn in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan Chris D. McIsaac Mortimer J. Buckley James M. Norris Gregory Davis Thomas M. Rampulla John James Karin A. Risi Martha G. King Anne E. Robinson John T. Marcante Michael Rollings

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This material may be used in conjunctionwith the offering of shares of any Vanguardfund only if preceded or accompanied bythe fund’s current prospectus.

All comparative mutual fund data are from Morningstar,Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy votingguidelines by visiting vanguard.com/proxyreporting or bycalling Vanguard at 800-662-2739. The guidelines arealso available from the SEC’s website, www.sec.gov. Inaddition, you may obtain a free report on how your fundvoted the proxies for securities it owned during the 12months ended June 30. To get the report, visit eithervanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on theSEC’s website, and you can receive copies of thisinformation, for a fee, by sending a request via emailaddressed to [email protected].

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© 2020 The Vanguard Group, Inc.All rights reserved.Vanguard Marketing Corporation, Distributor.

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