10/31/2024 | Press release | Distributed by Public on 10/31/2024 13:21
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21478
Name of Registrant: | Vanguard CMT Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482
Name and address of agent for service: | John E. Schadl, Esquire |
P.O. Box 876
Valley Forge, PA 19482
Registrant's telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2023-August 31, 2024Item 1: Reports to Shareholders.
TABLE OF CONTENTS
Municipal Low Duration Fund |
|
Market Liquidity Fund |
|
This annual shareholder report contains important information about Vanguard Municipal Low Duration Fund (the "Fund") for the period of September 1, 2023, to August 31, 2024.You can find additional information about the Fund at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature. You can also request this information by contacting us at 800-662-7447. The report describes changes to the Fund that occurred during the reporting period.
(based on a hypothetical $10,000 investment)
Share Class Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Investor Shares
|
$1
|
0.01%
|
For the 12 months ended August 31, 2024, Vanguard Municipal Low Duration Fund underperformed its benchmark.
U.S. economic growth hovered around 3% on a year-over-year basis during the 12 months, quelling recession fears. The Federal Reserve kept its target for short-term interest rates above 5%, and the year-over-year rate of consumer price inflation eased to around 3%.
The broad U.S. investment-grade bond market returned 7.30%, as measured by the Bloomberg U.S. Aggregate Float Adjusted Index.
As of June 5, 2024, the name of the Fund changed to Vanguard Municipal Low Duration Fund from Vanguard Municipal Cash Management Fund.
The Fund's advisor uses a top-down investment management approach to select a variety of high-quality, short-term municipal securities. The Fund underperformed its benchmark for the fiscal year because of its significantly shorter duration, greater liquidity, and higher quality bias.
Keep in mind that the Fund's past performance does not indicate how the Fund will perform in the future. Updated performance information is available on our website at vanguard.com/performance or by calling Vanguard toll-free at 800-662-7447. The graph and returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Investor Shares
|
Short Municipal Debt Funds Average*
|
Tax-Exempt Money Market Funds Average
|
|
2014
|
$10,000
|
$10,000
|
$10,000
|
2014
|
$10,001
|
$10,010
|
$10,000
|
2015
|
$10,002
|
$10,022
|
$10,001
|
2015
|
$10,003
|
$9,994
|
$10,001
|
2015
|
$10,004
|
$10,014
|
$10,001
|
2015
|
$10,005
|
$10,038
|
$10,001
|
2016
|
$10,005
|
$10,090
|
$10,002
|
2016
|
$10,012
|
$10,089
|
$10,002
|
2016
|
$10,024
|
$10,135
|
$10,003
|
2016
|
$10,040
|
$10,020
|
$10,010
|
2017
|
$10,056
|
$10,098
|
$10,018
|
2017
|
$10,076
|
$10,154
|
$10,027
|
2017
|
$10,096
|
$10,202
|
$10,036
|
2017
|
$10,118
|
$10,147
|
$10,047
|
2018
|
$10,147
|
$10,167
|
$10,066
|
2018
|
$10,185
|
$10,192
|
$10,091
|
2018
|
$10,217
|
$10,240
|
$10,113
|
2018
|
$10,258
|
$10,249
|
$10,142
|
2019
|
$10,297
|
$10,352
|
$10,171
|
2019
|
$10,340
|
$10,446
|
$10,203
|
2019
|
$10,379
|
$10,545
|
$10,230
|
2019
|
$10,412
|
$10,556
|
$10,253
|
2020
|
$10,442
|
$10,653
|
$10,271
|
2020
|
$10,473
|
$10,611
|
$10,294
|
2020
|
$10,477
|
$10,707
|
$10,294
|
2020
|
$10,480
|
$10,740
|
$10,296
|
2021
|
$10,481
|
$10,750
|
$10,296
|
2021
|
$10,482
|
$10,789
|
$10,296
|
2021
|
$10,483
|
$10,803
|
$10,297
|
2021
|
$10,484
|
$10,778
|
$10,297
|
2022
|
$10,486
|
$10,646
|
$10,298
|
2022
|
$10,496
|
$10,528
|
$10,302
|
2022
|
$10,524
|
$10,508
|
$10,321
|
2022
|
$10,571
|
$10,528
|
$10,363
|
2023
|
$10,643
|
$10,569
|
$10,426
|
2023
|
$10,724
|
$10,637
|
$10,497
|
2023
|
$10,817
|
$10,710
|
$10,578
|
2023
|
$10,914
|
$10,840
|
$10,664
|
2024
|
$11,000
|
$10,958
|
$10,744
|
2024
|
$11,097
|
$10,974
|
$10,827
|
2024
|
$11,187
|
$11,189
|
$10,903
|
1 Year
|
5 Years
|
10 Years
|
|
Investor Shares
|
3.43%
|
1.51%
|
1.13%
|
Short Municipal Debt Funds Average*
|
4.47%
|
1.19%
|
1.13%
|
Tax-Exempt Money Market Funds Average
|
3.08%
|
1.28%
|
0.87%
|
* Effective June 2024, the Fund replaced its benchmark with the Short Municipal Debt Funds Average to reflect the Fund's change from a municipal money market fund to a municipal short-term bond fund.
This table reflects the Fund's investments, including short-term investments and other assets and liabilities.
1 to 7 Days
|
93.9%
|
31 to 60 Days
|
0.1%
|
91 to 180 Days
|
1.4%
|
Over 180 Days
|
1.7%
|
Other Assets and Liabilities-Net
|
2.9%
|
Fund Net Assets (in millions)
|
$2,418
|
Number of Portfolio Holdings
|
132
|
Portfolio Turnover Rate
|
0%
|
Total Investment Advisory Fees (in thousands)
|
$325
|
The Fund's name changed from Vanguard Municipal Cash Management Fund to Vanguard Municipal Low Duration Fund.
The Fund changed its principal investment strategy to add a fundamental policy to invest at least 80% of its assets in tax-exempt municipal bonds. The Fund added interest rate risk, call risk, and extension risk as principal investment risks.
This is a summary of certain changes to the Fund since August 31, 2023. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 31, 2024 at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature or upon request at 800-662-7447.
Additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information is available at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature.
Connect with Vanguard®• vanguard.com
Fund Information • 800-662-7447
Direct Investor Account Services • 800-662-2739
Text Telephone for People Who Are Deaf or Hard of Hearing •
800-749-7273
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
AR1143
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about Vanguard Market Liquidity Fund (the "Fund") for the period of September 1, 2023, to August 31, 2024.You can find additional information about the Fund at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature. You can also request this information by contacting us at 800-662-7447.
(based on a hypothetical $10,000 investment)
Share Class Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Investor Shares
|
$1
|
0.005%
|
This table reflects the Fund's investments, including short-term investments and other assets and liabilities.
1 to 7 Days
|
59.4%
|
8 to 30 Days
|
19.3%
|
31 to 60 Days
|
19.7%
|
61 to 90 Days
|
1.4%
|
91 to 180 Days
|
0.8%
|
Other Assets and Liabilities-Net
|
(0.6%)
|
Fund Net Assets (in millions)
|
$81,378
|
Number of Portfolio Holdings
|
173
|
Total Investment Advisory Fees (in thousands)
|
$3,738
|
Additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information is available at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature.
Connect with Vanguard®• vanguard.com
Fund Information • 800-662-7447
Direct Investor Account Services • 800-662-2739
Text Telephone for People Who Are Deaf or Hard of Hearing •
800-749-7273
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
AR1142
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant's Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
Includes fees billed in connection with services to the Registrant only.
Fiscal Year Ended August 31, 2024 |
Fiscal Year Ended August 31, 2023 |
|||||||
(a) Audit Fees. | $ | 58,000 | $ | 47,000 | ||||
(b) Audit-Related Fees. | 0 | 0 | ||||||
(c) Tax Fees. | 0 | 0 | ||||||
(d) All Other Fees. | 0 | 0 | ||||||
Total. | $ | 58,000 | $ | 47,000 |
(e) | (1) Pre-Approval Policies. The audit committee is responsible for pre-approving all audit and non-audit services provided by PwC to: (i) the Vanguard funds; and (ii) Vanguard, or any entity controlled by Vanguard that provides ongoing services to the Vanguard funds. All services provided to Vanguard entities by the independent auditor, whether or not they are subject to preapproval, must be disclosed to the audit committee. The audit committee chair may preapprove any permissible audit and non-audit services as long as any preapproval is brought to the attention of the full audit committee at the next scheduled meeting. |
(2) No percentage of the principal accountant's fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | For the most recent fiscal year, over 50% of the hours worked under the principal accountant's engagement were notperformed by persons other than full-time, permanent employees of the principal accountant. |
(g) | Aggregate Non-Audit Fees. |
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
Fiscal Year Ended August 31, 2024 |
Fiscal Year Ended August 31, 2023 |
|||||||
Non-audit fees to the Registrant only, listed as (b) through (d) above. | $ | 0 | $ | 0 | ||||
Non-audit Fees to other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation. | ||||||||
Audit-Related Fees. | $ | 3,508,505 | $ | 3,295,934 | ||||
Tax Fees. | $ | 1,912,843 | $ | 1,678,928 | ||||
All Other Fees. | $ | 268,000 | $ | 25,000 | ||||
Total. | $ | 5,689,348 | $ | 4,999,862 |
(h) | For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant's independence. |
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 ("Exchange Act"). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant's audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included in the financial statements filed under Item 7 of this Form.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Vanguard Market Liquidity Fund |
Vanguard Municipal Low Duration Fund (formerly Vanguard Municipal Cash Management Fund) |
Market Liquidity Fund
|
1 |
Municipal Low Duration Fund
|
12 |
Report of Independent Registered Public Accounting Firm
|
23 |
Tax information
|
24 |
Yield1 |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
U.S. Government Agency Debt (14.2%) | |||||
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.000% | 5.330% | 9/4/24 | 5,311 | 5,311 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 5.335% | 9/4/24 | 11,600 | 11,599 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.010% | 5.340% | 9/4/24 | 22,537 | 22,537 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 5.370% | 9/4/24 | 33,953 | 33,952 |
Federal Home Loan Banks Discount Notes | 5.387% | 9/3/24 | 31,406 | 31,401 | |
Federal Home Loan Banks Discount Notes | 5.303%-5.372% | 9/4/24 | 187,854 | 187,827 | |
Federal Home Loan Banks Discount Notes | 5.303%-5.398% | 9/6/24 | 194,668 | 194,583 | |
Federal Home Loan Banks Discount Notes | 5.382% | 9/9/24 | 95,970 | 95,886 | |
Federal Home Loan Banks Discount Notes | 5.200%-5.414% | 9/11/24 | 183,496 | 183,281 | |
Federal Home Loan Banks Discount Notes | 5.303%-5.398% | 9/13/24 | 109,810 | 109,650 | |
Federal Home Loan Banks Discount Notes | 5.200%-5.406% | 9/18/24 | 52,129 | 52,015 | |
Federal Home Loan Banks Discount Notes | 5.195%-5.448% | 9/20/24 | 153,341 | 152,962 | |
Federal Home Loan Banks Discount Notes | 5.283%-5.293% | 9/27/24 | 84,152 | 83,859 | |
Federal Home Loan Banks Discount Notes | 5.237%-5.242% | 10/2/24 | 72,141 | 71,838 | |
Federal Home Loan Banks Discount Notes | 5.222% | 10/4/24 | 165,381 | 164,640 | |
Federal Home Loan Banks Discount Notes | 5.212% | 10/9/24 | 73,359 | 72,978 | |
Federal Home Loan Banks Discount Notes | 5.317% | 10/10/24 | 19,674 | 19,569 | |
Federal Home Loan Banks Discount Notes | 5.217%-5.222% | 10/11/24 | 107,512 | 106,923 | |
Federal Home Loan Banks Discount Notes | 5.187%-5.278% | 10/16/24 | 145,934 | 145,031 | |
Federal Home Loan Banks Discount Notes | 5.176%-5.261% | 10/18/24 | 83,303 | 82,764 | |
Federal Home Loan Banks Discount Notes | 5.156%-5.161% | 10/23/24 | 257,138 | 255,291 | |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 301,600 | 301,564 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 270,900 | 270,888 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 233,035 | 233,026 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 230,245 | 230,217 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 193,500 | 193,492 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 185,505 | 185,498 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 177,000 | 176,992 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 156,075 | 156,070 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 152,500 | 152,484 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 152,500 | 152,481 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 78,040 | 78,037 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 73,750 | 73,748 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 54,100 | 54,099 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 44,250 | 44,248 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 38,800 | 38,795 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 36,610 | 36,608 |
2 | Federal Home Loan Banks, SOFR + 0.000% | 5.330% | 9/4/24 | 29,500 | 29,498 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 297,800 | 297,775 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 271,905 | 271,894 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 220,700 | 220,693 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 188,500 | 188,484 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 159,000 | 158,993 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 159,000 | 158,993 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 158,300 | 158,292 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 154,100 | 154,093 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 151,900 | 151,887 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 151,100 | 151,093 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 151,000 | 150,993 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 147,000 | 146,988 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 147,000 | 146,988 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 143,200 | 143,188 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 116,365 | 116,360 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 113,900 | 113,891 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 113,700 | 113,695 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 110,410 | 110,405 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 100,930 | 100,924 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 82,900 | 82,893 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 79,530 | 79,526 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 79,400 | 79,396 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 78,305 | 78,301 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 78,040 | 78,036 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 78,000 | 77,996 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 75,600 | 75,597 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 74,405 | 74,402 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 72,700 | 72,698 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 54,300 | 54,299 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 35,600 | 35,599 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 7,100 | 7,100 |
2 | Federal Home Loan Banks, SOFR + 0.005% | 5.335% | 9/4/24 | 5,800 | 5,800 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 388,000 | 387,999 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 299,400 | 299,396 |
Yield1 |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 256,040 | 256,033 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 158,900 | 158,899 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 147,300 | 147,289 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 113,800 | 113,798 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 113,400 | 113,396 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 100,400 | 100,397 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 77,200 | 77,200 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 76,250 | 76,248 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 62,300 | 62,299 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 54,900 | 54,899 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 39,100 | 39,098 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 36,300 | 36,299 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 22,700 | 22,699 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 8,730 | 8,730 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 5.340% | 9/4/24 | 7,700 | 7,700 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 114,000 | 113,996 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 83,120 | 83,119 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 78,100 | 78,097 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 75,200 | 75,199 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 74,800 | 74,798 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 73,300 | 73,299 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 46,500 | 46,499 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 38,800 | 38,800 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 38,615 | 38,613 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 38,600 | 38,599 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 38,500 | 38,500 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 5.345% | 9/4/24 | 36,300 | 36,299 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.350% | 9/4/24 | 150,900 | 150,896 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.350% | 9/4/24 | 116,800 | 116,797 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.350% | 9/4/24 | 39,200 | 39,200 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.350% | 9/4/24 | 37,500 | 37,499 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.350% | 9/4/24 | 7,700 | 7,700 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.355% | 9/4/24 | 112,200 | 112,199 |
Total U.S. Government Agency Debt (Cost $11,511,279) | 11,511,402 | ||||
U.S. Treasury Debt (41.2%) | |||||
United States Treasury Bill | 4.565%-5.152% | 9/3/24 | 2,227,000 | 2,226,678 | |
United States Treasury Bill | 5.132% | 9/5/24 | 1,500,000 | 1,499,566 | |
United States Treasury Bill | 4.936% | 9/10/24 | 2,250,000 | 2,247,721 | |
United States Treasury Bill | 5.142% | 9/12/24 | 2,500,000 | 2,496,731 | |
United States Treasury Bill | 4.544% | 9/17/24 | 1,250,000 | 1,247,455 | |
United States Treasury Bill | 5.132% | 9/19/24 | 1,250,000 | 1,247,086 | |
United States Treasury Bill | 4.936% | 9/24/24 | 2,500,000 | 2,492,424 | |
United States Treasury Bill | 5.093% | 9/26/24 | 2,250,000 | 2,242,547 | |
United States Treasury Bill | 4.903%-4.908% | 10/1/24 | 1,000,000 | 995,971 | |
United States Treasury Bill | 5.049% | 10/3/24 | 3,000,000 | 2,987,150 | |
United States Treasury Bill | 4.870% | 10/8/24 | 1,750,000 | 1,741,263 | |
United States Treasury Bill | 5.014% | 10/10/24 | 2,500,000 | 2,486,780 | |
United States Treasury Bill | 4.856% | 10/15/24 | 1,900,000 | 1,888,662 | |
United States Treasury Bill | 5.278%-5.279% | 10/17/24 | 262,978 | 261,334 | |
United States Treasury Bill | 4.809% | 10/22/24 | 2,000,000 | 1,986,076 | |
United States Treasury Bill | 5.162% | 10/24/24 | 1,054,893 | 1,047,248 | |
United States Treasury Bill | 4.785% | 10/29/24 | 1,750,000 | 1,736,089 | |
United States Treasury Bill | 5.117% | 10/31/24 | 1,102,670 | 1,093,610 | |
United States Treasury Bill | 4.778% | 12/31/24 | 690,000 | 678,858 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.150% | 5.194% | 9/1/24 | 101,000 | 100,949 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.182% | 5.226% | 9/1/24 | 492,000 | 492,009 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.245% | 5.289% | 9/1/24 | 357,298 | 357,564 |
Total U.S. Treasury Debt (Cost $33,544,354) | 33,553,771 | ||||
U.S. Treasury Repurchase Agreement (45.2%) | |||||
Banco Bilbao Vizcaya Argentaria SA (Dated 8/30/24, Repurchase Value $182,108,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-2.375%, 7/15/26-2/15/42, and U.S. Treasury Note/Bond 0.375%-4.500%, 10/15/24-8/15/31, with a value of $185,640,000) |
5.320% | 9/3/24 | 182,000 | 182,000 | |
Banco Santander SA (Dated 8/30/24, Repurchase Value $437,258,000, collateralized by U.S. Treasury Bill 0.000%, 10/17/24-2/13/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%-1.125%, 10/15/25-2/15/48, and U.S. Treasury Note/Bond 0.250%-4.625%, 10/31/24-8/15/53, with a value of $445,740,000) |
5.315% | 9/3/24 | 437,000 | 437,000 | |
Bank of Montreal (Dated 8/30/24, Repurchase Value $146,086,000, collateralized by U.S. Treasury Note/Bond 1.375%-7.625%, 2/15/25-8/15/54, with a value of $148,920,000) |
5.320% | 9/3/24 | 146,000 | 146,000 | |
Bank of Montreal (Dated 8/6/24, Repurchase Value $69,317,000, collateralized by U.S. Treasury Bill 0.000%, 11/29/24, with a value of $70,380,000) |
5.330% | 9/6/24 | 69,000 | 69,000 | |
Bank of Montreal (Dated 8/23/24, Repurchase Value $70,249,000, collateralized by U.S. Treasury Bill 0.000%, 11/14/24-11/29/24, with a value of $71,400,000) |
5.325% | 9/16/24 | 70,000 | 70,000 | |
Bank of Montreal (Dated 8/28/24, Repurchase Value $140,577,000, collateralized by U.S. Treasury Note/Bond 1.375%-4.625%, 5/15/39-5/15/54, with a value of $142,800,000) |
5.300% | 9/25/24 | 140,000 | 140,000 | |
Bank of Nova Scotia (Dated 8/30/24, Repurchase Value $262,155,000, collateralized by U.S. Treasury Bill 0.000%, 9/3/24-2/6/25, U.S. Treasury Inflation Indexed Note/Bond 0.500%-1.500%, 1/15/28-2/15/53, and U.S. Treasury Note/Bond 0.250%-4.750%, 7/31/25-8/15/49, with a value of $267,240,000) |
5.310% | 9/3/24 | 262,000 | 262,000 |
Yield1 |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
Barclays Bank plc (Dated 8/30/24, Repurchase Value $583,345,000, collateralized by U.S. Treasury Note/Bond 2.750%-4.000%, 1/31/29-2/15/43, with a value of $594,660,000) |
5.320% | 9/3/24 | 583,000 | 583,000 | |
BNP Paribas Securities Corp. (Dated 8/1/24, Repurchase Value $312,522,000, collateralized by U.S. Treasury Bill 0.000%, 9/19/24-10/10/24, U.S. Treasury Inflation Indexed Note/Bond 0.375%-2.125%, 7/15/25-2/15/53, and U.S. Treasury Note/Bond 0.375%-5.202%, 4/30/25-11/30/28, with a value of $317,220,000) |
5.340% | 9/3/24 | 311,000 | 311,000 | |
BNP Paribas Securities Corp. (Dated 7/17/24, Repurchase Value $151,377,000, collateralized by U.S. Treasury Bill 0.000%, 9/19/24-2/27/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%-3.875%, 7/15/27-7/15/31, and U.S. Treasury Note/Bond 0.625%-5.202%, 4/30/25-5/15/53, with a value of $153,000,000) |
5.330% | 9/17/24 | 150,000 | 150,000 | |
BNP Paribas Securities Corp. (Dated 7/22/24, Repurchase Value $304,814,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.375%-2.500%, 7/15/25-1/15/29, and U.S. Treasury Note/Bond 1.125%-5.203%, 2/28/25-5/15/43, with a value of $308,040,000) |
5.325% | 9/23/24 | 302,000 | 302,000 | |
BNP Paribas Securities Corp. (Dated 7/26/24, Repurchase Value $243,210,000, collateralized by U.S. Treasury Bill 0.000%, 1/16/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%-2.000%, 7/15/25-1/15/26, and U.S. Treasury Note/Bond 0.750%-5.215%, 12/31/24-5/15/40, with a value of $245,820,000) |
5.325% | 9/26/24 | 241,000 | 241,000 | |
BNP Paribas Securities Corp. (Dated 8/29/24, Repurchase Value $488,268,000, collateralized by U.S. Treasury Bill 0.000%, 2/6/25-2/27/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%-3.625%, 1/15/25-7/15/29, and U.S. Treasury Note/Bond 0.500%-5.202%, 4/30/25-4/30/27, with a value of $495,720,000) |
5.250% | 9/30/24 | 486,000 | 486,000 | |
Canadian Imperial Bank of Commerce (Dated 8/20/24, Repurchase Value $71,221,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 1.125%-3.625%, 4/15/28-1/15/33, and U.S. Treasury Note/Bond 0.750%-4.625%, 1/15/26-2/15/51, with a value of $72,420,000) |
5.330% | 9/10/24 | 71,000 | 71,000 | |
Canadian Imperial Bank of Commerce (Dated 8/15/24, Repurchase Value $109,517,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-1.750%, 1/15/26-2/15/53, and U.S. Treasury Note/Bond 1.125%-4.625%, 10/31/24-5/15/44, with a value of $111,180,000) |
5.335% | 9/16/24 | 109,000 | 109,000 | |
Canadian Imperial Bank of Commerce (Dated 8/1/24, Repurchase Value $652,710,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-3.625%, 10/15/25-2/15/48, and U.S. Treasury Note/Bond 0.375%-5.000%, 1/31/25-11/15/52, with a value of $660,960,000) |
5.340% | 9/19/24 | 648,000 | 648,000 | |
Canadian Imperial Bank of Commerce (Dated 8/23/24, Repurchase Value $70,319,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-1.125%, 4/15/26-1/15/33, and U.S. Treasury Note/Bond 0.750%-4.875%, 11/30/25-2/15/47, with a value of $71,400,000) |
5.290% | 9/23/24 | 70,000 | 70,000 | |
Canadian Imperial Bank of Commerce (Dated 8/23/24, Repurchase Value $54,246,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-0.625%, 4/15/26-7/15/32, and U.S. Treasury Note/Bond 0.875%-5.000%, 9/30/25-2/15/51, with a value of $55,080,000) |
5.290% | 9/23/24 | 54,000 | 54,000 | |
Canadian Imperial Bank of Commerce (Dated 8/23/24, Repurchase Value $28,128,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.375%, 1/15/27, and U.S. Treasury Note/Bond 0.875%-4.625%, 3/31/25-8/15/45, with a value of $28,560,000) |
5.290% | 9/23/24 | 28,000 | 28,000 | |
Canadian Imperial Bank of Commerce (Dated 7/31/24, Repurchase Value $69,591,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.625%-3.625%, 1/15/28-2/15/53, and U.S. Treasury Note/Bond 0.250%-4.875%, 8/31/25-8/15/53, with a value of $70,380,000) |
5.320% | 9/27/24 | 69,000 | 69,000 | |
Citigroup Global Markets Inc. (Dated 8/27/24, Repurchase Value $1,392,448,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.375%-1.625%, 7/15/27-10/15/27, and U.S. Treasury Note/Bond 0.375%-4.125%, 2/28/27-9/30/27, with a value of $1,418,820,000) |
5.355% | 9/3/24 | 1,391,000 | 1,391,000 | |
Credit Agricole Securities Inc. (Dated 8/30/24, Repurchase Value $444,262,000, collateralized by U.S. Treasury Note/Bond 0.250%-4.500%, 9/30/25-4/30/30, with a value of $452,880,000) |
5.310% | 9/3/24 | 444,000 | 444,000 | |
Credit Agricole Securities Inc. (Dated 8/30/24, Repurchase Value $153,090,000, collateralized by U.S. Treasury Note/Bond 2.250%, 11/15/25, with a value of $156,060,000) |
5.310% | 9/3/24 | 153,000 | 153,000 | |
Credit Agricole Securities Inc. (Dated 8/30/24, Repurchase Value $81,048,000, collateralized by U.S. Treasury Note/Bond 4.500%, 3/31/26, with a value of $82,620,000) |
5.310% | 9/3/24 | 81,000 | 81,000 | |
Federal Reserve Bank of New York (Dated 8/30/24, Repurchase Value $21,683,762,000, collateralized by U.S. Treasury Note/Bond 2.375%-4.250%, 5/15/25-2/15/42, with a value of $21,683,762,000) |
5.300% | 9/3/24 | 21,671,000 | 21,671,000 | |
Fixed Income Clearing Corp./Northern Trust (Dated 8/30/24, Repurchase Value $728,430,000, collateralized by U.S. Treasury Note/Bond 0.625%-4.250%, 7/31/30-2/28/31, with a value of $742,560,000) |
5.310% | 9/3/24 | 728,000 | 728,000 | |
Fixed Income Clearing Corp./State Street Bank and Trust Co. (Dated 8/30/24, Repurchase Value $2,766,634,000, collateralized by U.S. Treasury Note/Bond 2.750%-4.375%, 5/15/32-5/15/34, with a value of $2,834,125,000) |
5.320% | 9/3/24 | 2,765,000 | 2,765,000 | |
Fixed Income Clearing Corp./The Bank of New York Mellon (Dated 8/30/24, Repurchase Value $1,748,031,000, collateralized by U.S. Treasury Note/Bond 1.000%-4.625%, 2/28/26-8/15/42, with a value of $1,781,940,000) |
5.310% | 9/3/24 | 1,747,000 | 1,747,000 | |
Goldman Sachs & Co. (Dated 8/28/24, Repurchase Value $140,145,000, collateralized by U.S. Treasury Note/Bond 1.625%, 11/15/50, with a value of $142,800,000) |
5.340% | 9/4/24 | 140,000 | 140,000 | |
Goldman Sachs & Co. (Dated 8/28/24, Repurchase Value $140,146,000, collateralized by U.S. Treasury Note/Bond 0.375%-3.625%, 11/15/25-8/15/49, with a value of $142,800,000) |
5.350% | 9/4/24 | 140,000 | 140,000 | |
Goldman Sachs & Co. (Dated 8/29/24, Repurchase Value $104,108,000, collateralized by U.S. Treasury Bill 0.000%, 12/26/24, and U.S. Treasury Note/Bond 1.250%-4.750%, 5/31/28-11/15/43, with a value of $106,080,000) |
5.330% | 9/5/24 | 104,000 | 104,000 | |
Goldman Sachs & Co. (Dated 8/30/24, Repurchase Value $73,076,000, collateralized by U.S. Treasury Bill 0.000%, 11/29/24, and U.S. Treasury Note/Bond 1.125%-2.875%, 5/15/40-8/15/49, with a value of $74,460,000) |
5.320% | 9/6/24 | 73,000 | 73,000 |
Yield1 |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
HSBC Bank USA (Dated 8/30/24, Repurchase Value $292,173,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.750%, 7/15/28, and U.S. Treasury Note/Bond 1.250%-4.125%, 4/30/26-7/31/31, with a value of $297,840,000) |
5.320% | 9/3/24 | 292,000 | 292,000 | |
JP Morgan Securities LLC (Dated 8/30/24, Repurchase Value $110,065,000, collateralized by U.S. Treasury Note/Bond 4.125%, 10/31/27, with a value of $112,200,000) |
5.320% | 9/3/24 | 110,000 | 110,000 | |
MUFG Securities Americas Inc. (Dated 8/30/24, Repurchase Value $37,022,000, collateralized by U.S. Treasury Bill 0.000%, 9/5/24-3/20/25, and U.S. Treasury Note/Bond 0.375%-5.500%, 11/30/24-5/15/40, with a value of $37,740,000) |
5.320% | 9/3/24 | 37,000 | 37,000 | |
Nomura International plc (Dated 8/30/24, Repurchase Value $73,043,000, collateralized by U.S. Treasury Bill 0.000%, 8/7/25, U.S. Treasury Inflation Indexed Note/Bond 1.500%, 2/15/53, and U.S. Treasury Note/Bond 1.750%-4.375%, 12/31/24-2/15/46, with a value of $74,483,000) |
5.320% | 9/3/24 | 73,000 | 73,000 | |
RBC Capital Markets LLC (Dated 8/27/24, Repurchase Value $71,074,000, collateralized by U.S. Treasury Bill 0.000%, 10/3/24-12/17/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%-3.875%, 10/15/25-2/15/54, and U.S. Treasury Note/Bond 0.375%-6.000%, 11/30/25-2/15/53, with a value of $72,420,000) |
5.350% | 9/3/24 | 71,000 | 71,000 | |
RBC Capital Markets LLC (Dated 8/28/24, Repurchase Value $140,146,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-3.875%, 4/15/27-2/15/45, and U.S. Treasury Note/Bond 0.500%-4.625%, 4/30/25-5/15/54, with a value of $142,800,000) |
5.350% | 9/4/24 | 140,000 | 140,000 | |
Royal Bank of Canada (Dated 8/27/24, Repurchase Value $141,147,000, collateralized by U.S. Treasury Note/Bond 3.500%-4.500%, 3/31/26-4/30/30, with a value of $143,820,000) |
5.350% | 9/3/24 | 141,000 | 141,000 | |
Royal Bank of Canada (Dated 7/15/24, Repurchase Value $301,927,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%-2.375%, 10/15/25-1/15/27, and U.S. Treasury Note/Bond 0.375%-7.625%, 2/15/25-2/15/52, with a value of $304,980,000) |
5.340% | 9/19/24 | 299,000 | 299,000 | |
Royal Bank of Canada (Dated 8/28/24, Repurchase Value $280,914,000, collateralized by U.S. Treasury Note/Bond 0.250%-4.500%, 10/31/25-11/15/33, with a value of $285,600,000) |
5.340% | 9/19/24 | 280,000 | 280,000 | |
SMBC Nikko Securities America Inc. (Dated 8/30/24, Repurchase Value $219,129,000, collateralized by U.S. Treasury Bill 0.000%, 4/17/25, and U.S. Treasury Note/Bond 0.250%-4.750%, 8/31/25-11/15/46, with a value of $223,380,000) |
5.310% | 9/3/24 | 219,000 | 219,000 | |
Standard Chartered Bank (Dated 8/30/24, Repurchase Value $364,215,000, collateralized by U.S. Treasury Bill 0.000%, 9/5/24, and U.S. Treasury Note/Bond 0.250%-4.875%, 1/31/25-5/15/50, with a value of $371,499,000) |
5.320% | 9/3/24 | 364,000 | 364,000 | |
Standard Chartered Bank (Dated 8/30/24, Repurchase Value $60,035,000, collateralized by U.S. Treasury Bill 0.000%, 9/5/24-10/8/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%, 4/15/27, and U.S. Treasury Note/Bond 4.000%, 2/15/34, with a value of $61,236,000) |
5.310% | 9/3/24 | 60,000 | 60,000 | |
Sumitomo Mitsui Banking Corp. (Dated 8/30/24, Repurchase Value $743,439,000, collateralized by U.S. Treasury Note/Bond 0.250%-4.750%, 4/15/25-8/15/49, with a value of $757,860,000) |
5.315% | 9/3/24 | 743,000 | 743,000 | |
TD Securities (USA) LLC (Dated 8/30/24, Repurchase Value $73,043,000, collateralized by U.S. Treasury Note/Bond 1.625%-4.125%, 2/15/26-7/31/31, with a value of $74,460,000) |
5.320% | 9/3/24 | 73,000 | 73,000 | |
Total U.S. Treasury Repurchase Agreement (Cost $36,767,000) | 36,767,000 | ||||
Total Investments (100.6%) (Cost $81,822,633) | 81,832,173 | ||||
Other Assets and Liabilities-Net (-0.6%) | (454,088) | ||||
Net Assets (100%) | 81,378,085 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
3M-3-month. | |
SOFR-Secured Overnight Financing Rate. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $45,055,633) | 45,065,173 |
Repurchase Agreements (Cost $36,767,000) | 36,767,000 |
Total Investments in Securities | 81,832,173 |
Cash | 1,861,971 |
Receivables for Accrued Income | 99,106 |
Total Assets | 83,793,250 |
Liabilities | |
Payables for Investment Securities Purchased | 2,415,009 |
Payables to Vanguard | 156 |
Total Liabilities | 2,415,165 |
Net Assets | 81,378,085 |
At August 31, 2024, net assets consisted of: | |
Paid-in Capital | 81,368,029 |
Total Distributable Earnings (Loss) | 10,056 |
Net Assets | 81,378,085 |
Net Assets | |
Applicable to 813,758,642 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
81,378,085 |
Net Asset Value Per Share | $100.00 |
Year Ended August 31, 2024 |
|
($000) | |
Investment Income | |
Income | |
Interest1 | 4,047,989 |
Total Income | 4,047,989 |
Expenses | |
The Vanguard Group-Note B | |
Management and Administrative | 3,738 |
Custodian Fees | 27 |
Total Expenses | 3,765 |
Expenses Paid Indirectly | (27) |
Net Expenses | 3,738 |
Net Investment Income | 4,044,251 |
Realized Net Gain (Loss) on Investment Securities Sold1 | 658 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | 14,652 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,059,561 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were each less than $1,000. Purchases and sales are for temporary cash investment purposes. |
Year Ended August 31, | ||
2024 ($000) |
2023 ($000) |
|
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,044,251 | 3,580,303 |
Realized Net Gain (Loss) | 658 | 468 |
Change in Unrealized Appreciation (Depreciation) | 14,652 | 13,169 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,059,561 | 3,593,940 |
Distributions | ||
Total Distributions | (4,045,112) | (3,580,181) |
Capital Share Transactions | ||
Issued | 771,642,894 | 696,911,257 |
Issued in Lieu of Cash Distributions | 4,045,052 | 3,579,484 |
Redeemed | (772,514,368) | (712,164,095) |
Net Increase (Decrease) from Capital Share Transactions | 3,173,578 | (11,673,354) |
Total Increase (Decrease) | 3,188,027 | (11,659,595) |
Net Assets | ||
Beginning of Period | 78,190,058 | 89,849,653 |
End of Period | 81,378,085 | 78,190,058 |
For a Share Outstanding Throughout Each Period |
Year Ended August 31, | ||||
2024 | 2023 | 2022 | 2021 | 2020 | |
Net Asset Value, Beginning of Period | $99.99 | $99.97 | $100.00 | $100.00 | $100.01 |
Investment Operations | |||||
Net Investment Income | 5.409 | 4.393 | .580 | .090 | 1.205 |
Net Realized and Unrealized Gain (Loss) on Investments | .011 | .020 | (.028) | - | (.010) |
Total from Investment Operations | 5.420 | 4.413 | .552 | .090 | 1.195 |
Distributions | |||||
Dividends from Net Investment Income | (5.409) | (4.393) | (.580) | (.090) | (1.205) |
Distributions from Realized Capital Gains | (.001) | (.000)1 | (.002) | - | - |
Total Distributions | (5.410) | (4.393) | (.582) | (.090) | (1.205) |
Net Asset Value, End of Period | $100.00 | $99.99 | $99.97 | $100.00 | $100.00 |
Total Return | 5.56% | 4.50% | 0.55% | 0.09% | 1.20% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $81,378 | $78,190 | $89,850 | $105,011 | $93,626 |
Ratio of Total Expenses to Average Net Assets | 0.005%2 | 0.005% | 0.005% | 0.005% | 0.005% |
Ratio of Net Investment Income to Average Net Assets | 5.41% | 4.40% | 0.53% | 0.09% | 1.09% |
1 | Distribution was less than $0.001 per share. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.005%. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a services agreement, Vanguard provides to the fund investment advisory, administrative and shareholder services and pays for all other operating expenses (except taxes) for a fee calculated at an annual percentage rate of the average net assets of the fund. The fund's trustees and officers are also directors and employees, respectively, of Vanguard. All expenses payable to Vanguard are generally settled twice a month. |
C. | The fund's custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2024, custodian fee offset arrangements reduced the fund's expenses by $27,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund's investments. 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. |
E. | 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. |
Amount ($000) |
|
Undistributed Ordinary Income | 516 |
Undistributed Long-Term Gains | - |
Net Unrealized Gains (Losses) | 9,540 |
Capital Loss Carryforwards | - |
Qualified Late-Year Losses | - |
Other Temporary Differences | - |
Total | 10,056 |
Year Ended August 31, | ||
2024 Amount ($000) |
2023 Amount ($000) |
|
Ordinary Income* | 4,045,106 | 3,580,181 |
Long-Term Capital Gains | 6 | - |
Total | 4,045,112 | 3,580,181 |
* | Includes short-term capital gains, if any. |
Amount ($000) |
|
Tax Cost | 81,822,633 |
Gross Unrealized Appreciation | 10,460 |
Gross Unrealized Depreciation | (920) |
Net Unrealized Appreciation (Depreciation) | 9,540 |
F. | Capital shares issued and redeemed were: |
Year Ended August 31, | ||
2024 Shares (000) |
2023 Shares (000) |
|
Issued | 7,717,291 | 6,970,083 |
Issued in Lieu of Cash Distributions | 40,455 | 35,799 |
Redeemed | (7,725,990) | (7,122,653) |
Net Increase (Decrease) in Shares Outstanding | 31,756 | (116,771) |
G. | Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance. |
H. | Management has determined that no other events or transactions occurred subsequent to August 31, 2024, that would require recognition or disclosure in these financial statements. |
Coupon |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
Tax-Exempt Municipal Bonds (97.1%) | |||||
California (6.7%) | |||||
1 | California Educational Facilities Authority College & University Revenue TOB VRDO | 2.930% | 9/5/24 | 8,000 | 8,000 |
1,2 | California Public Finance Authority Health, Hospital, Nursing Home Revenue TOB VRDO | 4.030% | 9/3/24 | 19,500 | 19,500 |
1 | California Statewide Communities Development Authority Multi-Family Housing Revenue TOB VRDO | 4.150% | 9/3/24 | 35,000 | 35,000 |
1,3 | FHLMC Multifamily Certificates Revenue TOB VRDO | 4.150% | 9/3/24 | 34,380 | 34,380 |
1,3 | FHLMC Multifamily Certificates Revenue TOB VRDO | 4.150% | 9/3/24 | 14,950 | 14,950 |
Los Angeles CA General Fund Revenue | 5.000% | 6/26/25 | 22,500 | 22,930 | |
1 | Nuveen California AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.950% | 9/5/24 | 16,500 | 16,500 |
1 | Nuveen California AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.950% | 9/5/24 | 2,000 | 2,000 |
1 | Nuveen California AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.950% | 9/5/24 | 8,000 | 8,000 |
161,260 | |||||
Colorado (1.7%) | |||||
2 | Colorado Educational & Cultural Facilities Authority Miscellaneous Revenue VRDO | 4.000% | 9/3/24 | 7,050 | 7,050 |
Colorado Health Facilities Authority Health, Hospital, Nursing Home Revenue VRDO | 4.000% | 9/3/24 | 33,800 | 33,800 | |
40,850 | |||||
Connecticut (0.5%) | |||||
Connecticut Housing Finance Authority Local or Guaranteed Housing Revenue VRDO | 2.920% | 9/5/24 | 13,000 | 13,000 | |
District of Columbia (0.7%) | |||||
District of Columbia Water & Sewer Authority Water Revenue VRDO | 3.900% | 9/3/24 | 4,000 | 4,000 | |
1,4 | District of Columbia Water & Sewer Authority Water Revenue VRDO | 2.940% | 9/5/24 | 12,400 | 12,400 |
16,400 | |||||
Florida (6.0%) | |||||
1,2 | Escambia County FL Health Facilities Authority Health, Hospital, Nursing Home Revenue TOB VRDO | 4.050% | 9/3/24 | 32,055 | 32,055 |
1,2 | Florida Development Finance Corp. Health, Hospital, Nursing Home Revenue TOB VRDO | 4.050% | 9/3/24 | 49,510 | 49,510 |
1,2 | Halifax Hospital Medical Center Health, Hospital, Nursing Home Revenue TOB VRDO | 4.150% | 9/3/24 | 63,000 | 63,000 |
144,565 | |||||
Georgia (3.4%) | |||||
1 | Georgia GO TOB VRDO | 2.940% | 9/5/24 | 9,375 | 9,375 |
2 | Georgia Municipal Electric Authority Electric Power & Light Revenue (Various Projects 1) VRDO | 2.880% | 9/4/24 | 22,770 | 22,770 |
Private Colleges & Universities Authority College & University Revenue VRDO | 3.050% | 9/4/24 | 50,670 | 50,670 | |
82,815 | |||||
Hawaii (0.3%) | |||||
2 | Hawaii Housing Finance and Development Corp. Local or Guaranteed Housing Revenue VRDO | 3.020% | 9/5/24 | 8,350 | 8,350 |
Idaho (1.1%) | |||||
2 | Idaho Health Facilities Authority Health, Hospital, Nursing Home Revenue VRDO | 3.550% | 9/3/24 | 27,485 | 27,485 |
Illinois (0.2%) | |||||
2 | Aurora IL College & University Revenue VRDO | 2.930% | 9/5/24 | 5,000 | 5,000 |
Indiana (1.2%) | |||||
2 | Indiana Finance Authority Health, Hospital, Nursing Home Revenue VRDO | 3.800% | 9/3/24 | 13,400 | 13,400 |
2 | Indiana Finance Authority Industrial Revenue VRDO | 3.100% | 9/4/24 | 8,340 | 8,340 |
2 | Indiana Municipal Power Agency Electric Power & Light Revenue VRDO | 3.550% | 9/3/24 | 7,950 | 7,950 |
29,690 | |||||
Iowa (0.8%) | |||||
Iowa Finance Authority Local or Guaranteed Housing Revenue VRDO | 3.550% | 9/3/24 | 20,000 | 20,000 | |
Louisiana (3.3%) | |||||
East Baton Rouge Parish Industrial Development Board Inc. Industrial Revenue (ExxonMobil Project) VRDO | 3.920% | 9/3/24 | 42,530 | 42,530 | |
East Baton Rouge Parish Industrial Development Board Inc. Industrial Revenue (ExxonMobil Project) VRDO | 3.920% | 9/3/24 | 7,790 | 7,790 | |
2 | Louisiana Gasoline & Fuels Sales Tax Revenue VRDO | 3.800% | 9/3/24 | 24,600 | 24,600 |
2 | Louisiana Gasoline & Fuels Sales Tax Revenue VRDO | 3.800% | 9/3/24 | 5,525 | 5,525 |
80,445 | |||||
Maryland (1.3%) | |||||
1,2 | Maryland Health & Higher Educational Facilities Authority Health, Hospital, Nursing Home Revenue TOB VRDO | 4.050% | 9/3/24 | 20,435 | 20,435 |
Coupon |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
2,5 | Montgomery County Housing Opportunities Commission Local or Guaranteed Housing Revenue VRDO | 3.800% | 9/3/24 | 11,910 | 11,910 |
32,345 | |||||
Massachusetts (1.1%) | |||||
Massachusetts Health & Educational Facilities Authority Recreational Revenue VRDO | 4.010% | 9/3/24 | 25,500 | 25,500 | |
Michigan (2.3%) | |||||
1 | Detroit Regional Convention Facility Authority Revenue TOB VRDO | 2.950% | 9/5/24 | 54,900 | 54,900 |
Minnesota (0.6%) | |||||
1,2 | Bloomington Minnesota Multifamily Local or Guaranteed Housing Revenue TOB VRDO | 4.120% | 9/3/24 | 8,600 | 8,600 |
Minnesota Housing Finance Agency Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 7,000 | 7,000 | |
15,600 | |||||
Mississippi (3.3%) | |||||
Mississippi Business Finance Corp. Industrial Revenue (Chevron USA Inc. Project) VRDO | 3.850% | 9/3/24 | 11,250 | 11,250 | |
Mississippi Business Finance Corp. Industrial Revenue (Chevron USA Inc. Project) VRDO | 3.900% | 9/3/24 | 45,000 | 45,000 | |
Mississippi Business Finance Corp. Industrial Revenue VRDO | 3.850% | 9/3/24 | 24,300 | 24,300 | |
80,550 | |||||
Missouri (4.3%) | |||||
2 | Kansas City MO Special Obligation Revenue VRDO | 3.000% | 9/4/24 | 2,390 | 2,390 |
Missouri Development Finance Board Miscellaneous Revenue VRDO | 3.550% | 9/3/24 | 56,845 | 56,845 | |
Missouri Development Finance Board Recreational Revenue VRDO | 3.550% | 9/3/24 | 23,500 | 23,500 | |
Missouri Health & Educational Facilities Authority College & University Revenue VRDO | 3.550% | 9/3/24 | 18,000 | 18,000 | |
Missouri Health & Educational Facilities Authority College & University Revenue VRDO | 3.550% | 9/3/24 | 3,400 | 3,400 | |
104,135 | |||||
Multiple States (5.5%) | |||||
1,3 | FHLMC Multifamily Certificates Local or Guaranteed Housing Revenue VRDO | 2.940% | 9/5/24 | 8,300 | 8,300 |
1 | Nuveen AMT-Free Municipal Credit Income Fund VRDO VRDP | 2.980% | 9/5/24 | 82,400 | 82,400 |
1 | Nuveen AMT-Free Municipal Credit Income Fund VRDO VRDP | 2.980% | 9/5/24 | 3,000 | 3,000 |
1,2 | Nuveen AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.970% | 9/5/24 | 30,000 | 30,000 |
1 | Nuveen AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.970% | 9/5/24 | 10,000 | 10,000 |
133,700 | |||||
Nebraska (0.1%) | |||||
Nebraska Investment Finance Authority Local or Guaranteed Housing Revenue VRDO | 3.400% | 9/4/24 | 1,595 | 1,595 | |
Nevada (1.0%) | |||||
2 | Clark County NV Economic Development Revenue (Opportunity Village Foundation Project) VRDO | 2.990% | 9/5/24 | 10,500 | 10,500 |
1 | Clark County NV GO TOB VRDO | 3.650% | 9/3/24 | 14,050 | 14,050 |
24,550 | |||||
New Jersey (1.4%) | |||||
New Jersey Rutgers State University College & University Revenue VRDO | 3.970% | 9/3/24 | 33,515 | 33,515 | |
New York (17.0%) | |||||
2 | Metropolitan Transportation Authority Fuel Sales Tax Revenue VRDO | 3.800% | 9/3/24 | 8,700 | 8,700 |
2 | Metropolitan Transportation Authority Fuel Sales Tax Revenue VRDO | 3.800% | 9/3/24 | 3,600 | 3,600 |
2 | Metropolitan Transportation Authority Transit Revenue VRDO | 3.850% | 9/3/24 | 31,560 | 31,560 |
2 | Metropolitan Transportation Authority Transit Revenue VRDO | 3.900% | 9/3/24 | 13,275 | 13,275 |
2 | Metropolitan Transportation Authority Transit Revenue VRDO | 3.950% | 9/3/24 | 3,550 | 3,550 |
New York City Housing Development Corp. Local or Guaranteed Housing Revenue VRDO | 2.910% | 9/5/24 | 3,000 | 3,000 | |
New York City Municipal Water Finance Authority Sewer Revenue VRDO | 3.800% | 9/3/24 | 8,770 | 8,770 | |
New York City Municipal Water Finance Authority Water Revenue VRDO | 3.600% | 9/3/24 | 59,470 | 59,470 | |
New York City Municipal Water Finance Authority Water Revenue VRDO | 3.800% | 9/3/24 | 10,400 | 10,400 | |
New York City Transitional Finance Authority Future Tax Secured Income Tax Revenue VRDO | 3.900% | 9/3/24 | 43,600 | 43,600 | |
New York City Transitional Finance Authority Future Tax Secured Income Tax Revenue VRDO | 3.900% | 9/3/24 | 14,950 | 14,950 | |
New York City Transitional Finance Authority Future Tax Secured Income Tax Revenue VRDO | 3.900% | 9/3/24 | 24,050 | 24,050 | |
1,2 | New York NY GO TOB VRDO | 4.000% | 9/3/24 | 20,500 | 20,500 |
New York NY GO VRDO | 3.900% | 9/3/24 | 25,000 | 25,000 | |
New York NY GO VRDO | 3.900% | 9/3/24 | 11,745 | 11,745 | |
New York NY GO VRDO | 3.900% | 9/3/24 | 15,000 | 15,000 | |
2 | New York NY GO VRDO | 3.910% | 9/3/24 | 3,575 | 3,575 |
2 | New York State Housing Finance Agency Local or Guaranteed Housing Revenue VRDO | 3.600% | 9/3/24 | 13,590 | 13,590 |
2 | New York State Housing Finance Agency Local or Guaranteed Housing Revenue VRDO | 3.600% | 9/3/24 | 1,000 | 1,000 |
1 | Nuveen New York AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.950% | 9/5/24 | 8,100 | 8,100 |
1 | Nuveen New York AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.970% | 9/5/24 | 35,300 | 35,300 |
1 | Nuveen New York AMT-Free Quality Municipal Income Fund VRDO VRDP | 2.970% | 9/5/24 | 16,700 | 16,700 |
2 | Triborough Bridge & Tunnel Authority Highway Revenue VRDO | 3.600% | 9/3/24 | 11,900 | 11,900 |
2 | Triborough Bridge & Tunnel Authority Highway Revenue VRDO | 3.600% | 9/3/24 | 18,000 | 18,000 |
Coupon |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
2 | Triborough Bridge & Tunnel Authority Highway Revenue VRDO | 3.900% | 9/3/24 | 4,675 | 4,675 |
410,010 | |||||
Ohio (8.9%) | |||||
Cleveland-Cuyahoga County Port Authority Recreational Revenue (Museum of Art Project) VRDO | 2.900% | 9/5/24 | 29,700 | 29,700 | |
Cleveland-Cuyahoga County Port Authority Recreational Revenue (Museum of Art Project) VRDO | 2.900% | 9/5/24 | 4,150 | 4,150 | |
1,2 | Columbus Franklin County Ohio Finance Authority Multifamily Housing Revenue Local or Guaranteed Housing Revenue TOB VRDO | 4.120% | 9/3/24 | 36,775 | 36,775 |
1,2 | East Alabama Health Care Authority Revenue TOB VRDO | 4.100% | 9/3/24 | 24,710 | 24,710 |
1,2 | Montgomery County OH Health, Hospital, Nursing Home Revenue TOB VRDO | 4.050% | 9/3/24 | 28,130 | 28,130 |
1,2,6 | Montgomery County OH Health, Hospital, Nursing Home Revenue TOB VRDO | 4.050% | 9/3/24 | 5,200 | 5,200 |
Ohio Lease (Appropriation) Revenue VRDO | 2.950% | 9/4/24 | 2,750 | 2,750 | |
Ohio State University College & University Revenue TOB VRDO | 3.450% | 9/4/24 | 38,000 | 38,000 | |
Ohio State University College & University Revenue VRDO | 3.450% | 9/4/24 | 24,650 | 24,650 | |
Ohio Water Development Authority Water Pollution Control Loan Fund Water Revenue VRDO | 3.800% | 9/3/24 | 21,600 | 21,600 | |
215,665 | |||||
Oklahoma (0.3%) | |||||
1,2 | Oklahoma State Development Financing Authority Health System Health, Hospital, Nursing Home Revenue TOB VRDO | 2.950% | 9/5/24 | 6,270 | 6,270 |
Oregon (0.6%) | |||||
Oregon GO VRDO | 3.550% | 9/3/24 | 11,240 | 11,240 | |
Oregon GO VRDO | 3.550% | 9/3/24 | 3,125 | 3,125 | |
14,365 | |||||
Pennsylvania (3.0%) | |||||
Butler County General Authority Miscellaneous Revenue VRDO | 2.900% | 9/5/24 | 5,630 | 5,630 | |
2 | Delaware Valley Regional Finance Authority Indirect Ad Valorem Property Revenue VRDO | 2.900% | 9/4/24 | 1,300 | 1,300 |
2 | Lancaster IDA Health, Hospital, Nursing Home Revenue VRDO | 2.970% | 9/5/24 | 8,240 | 8,240 |
2 | Lancaster IDA Health, Hospital, Nursing Home Revenue VRDO | 2.970% | 9/5/24 | 3,340 | 3,340 |
2 | Pennsylvania Economic Development Financing Authority Private Schools Revenue VRDO | 2.970% | 9/5/24 | 700 | 700 |
1,2 | Pennsylvania Higher Educational Facilities Authority Revenue TOB VRDO | 4.100% | 9/3/24 | 41,825 | 41,825 |
Pennsylvania Housing Finance Agency Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 4,900 | 4,900 | |
2 | Pennsylvania Turnpike Commission Highway Revenue VRDO | 2.980% | 9/5/24 | 5,785 | 5,785 |
71,720 | |||||
South Carolina (1.3%) | |||||
1,2 | South Carolina Jobs-Economic Development Authority Health, Hospital, Nursing Home Revenue TOB VRDO | 4.150% | 9/3/24 | 30,900 | 30,900 |
Tennessee (4.5%) | |||||
Sevier County TN Public Building Authority Intergovernmental Agreement Revenue VRDO | 3.550% | 9/3/24 | 69,000 | 69,000 | |
1,2 | Sullivan County Health Educational & Housing Facilities Board Health, Hospital, Nursing Home Revenue TOB VRDO | 4.050% | 9/3/24 | 40,640 | 40,640 |
109,640 | |||||
Texas (8.5%) | |||||
Fort Worth TX GO | 5.000% | 3/1/25 | 9,055 | 9,158 | |
Gulf Coast IDA Industrial Revenue (Exxon Mobil Project) VRDO | 4.000% | 9/3/24 | 23,490 | 23,490 | |
Harris County Health Facilities Development Corp. Health, Hospital, Nursing Home Revenue VRDO | 4.000% | 9/3/24 | 15,000 | 15,000 | |
Harris County Health Facilities Development Corp. Health, Hospital, Nursing Home Revenue VRDO | 4.000% | 9/3/24 | 37,505 | 37,505 | |
1,2 | Harris County Health, Hospital, Nursing Home Revenue TOB VRDO | 2.950% | 9/5/24 | 16,100 | 16,100 |
7 | Katy Independent School District GO | 5.000% | 2/15/25 | 13,000 | 13,133 |
7 | Richardson Independent School District GO | 5.000% | 2/15/25 | 3,000 | 3,028 |
1,2 | Tarrant County Cultural Education Facilities Finance Corp. Health, Hospital, Nursing Home Revenue TOB VRDO | 2.950% | 9/5/24 | 13,200 | 13,200 |
1,2 | Tarrant County Cultural Education Facilities Finance Corp. Health, Hospital, Nursing Home Revenue TOB VRDO | 2.950% | 9/5/24 | 5,365 | 5,365 |
Texas A&M University College & University Revenue | 5.000% | 5/15/25 | 6,500 | 6,606 | |
Texas Department of Transportation State Highway Fund Fuel Sales Tax Revenue VRDO | 2.950% | 9/5/24 | 19,100 | 19,100 | |
Texas GO VRDO | 2.850% | 9/4/24 | 24,525 | 24,525 | |
Texas GO VRDO | 2.860% | 9/4/24 | 17,135 | 17,135 | |
Texas State University System College & University Revenue | 5.000% | 3/15/25 | 2,000 | 2,023 | |
205,368 | |||||
Vermont (0.1%) | |||||
2 | Vermont Educational & Health Buildings Financing Agency Health, Hospital, Nursing Home Revenue VRDO | 2.930% | 9/4/24 | 1,550 | 1,550 |
Virginia (2.1%) | |||||
Fairfax County VA GO | 5.000% | 10/1/24 | 1,550 | 1,553 | |
Loudoun County VA GO | 5.000% | 12/1/24 | 10,735 | 10,788 | |
Virginia College Building Authority College & University Revenue (Richmond University Project) VRDO | 3.550% | 9/3/24 | 37,600 | 37,600 | |
49,941 |
Coupon |
Maturity Date |
Face Amount ($000) |
Market Value• ($000) |
||
Washington (1.8%) | |||||
Pierce County School District No. 403 Bethel GO | 5.000% | 12/1/24 | 6,000 | 6,031 | |
2 | Washington State Housing Finance Commission Local or Guaranteed Housing Revenue VRDO | 3.340% | 9/4/24 | 300 | 300 |
Washington State Housing Finance Commission Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 15,000 | 15,000 | |
2 | Washington State Housing Finance Commission Local or Guaranteed Housing Revenue VRDO | 3.000% | 9/5/24 | 15,380 | 15,380 |
2 | Washington State Housing Finance Commission Local or Guaranteed Housing Revenue VRDO | 3.000% | 9/5/24 | 6,360 | 6,360 |
43,071 | |||||
Wisconsin (1.8%) | |||||
2 | Public Finance Authority Health, Hospital, Nursing Home Revenue VRDO | 3.900% | 9/3/24 | 19,465 | 19,465 |
Wisconsin Housing & Economic Development Authority Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 3,050 | 3,050 | |
Wisconsin Housing & Economic Development Authority Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 2,070 | 2,070 | |
Wisconsin Housing & Economic Development Authority Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 7,125 | 7,125 | |
Wisconsin Housing & Economic Development Authority Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 11,550 | 11,550 | |
43,260 | |||||
Wyoming (0.4%) | |||||
Wyoming Community Development Authority Local or Guaranteed Housing Revenue VRDO | 2.900% | 9/5/24 | 9,500 | 9,500 | |
Total Tax-Exempt Municipal Bonds (Cost $2,347,216) | 2,347,510 | ||||
Total Investments (97.1%) (Cost $2,347,216) | 2,347,510 | ||||
Other Assets and Liabilities-Net (2.9%) | 70,880 | ||||
Net Assets (100%) | 2,418,390 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2024, the aggregate value was $866,070,000, representing 35.8% of net assets. |
2 | Scheduled principal and interest payments are guaranteed by bank letter of credit. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
4 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
5 | Scheduled principal and interest payments are guaranteed by Federal Housing Authority. |
6 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
7 | Scheduled principal and interest payments are guaranteed by Texas Permanent School Fund. |
GO-General Obligation Bond. | |
IDA-Industrial Development Authority Bond. | |
TOB-Tender Option Bond. | |
VRDO-Variable Rate Demand Obligation. | |
VRDP-Variable Rate Demand Preferred. |
Letter Of Credit Guarantors as of Period End | |
Entity Name | Market Value |
Bank of America NA | $307,380,000 |
Toronto-Dominion Bank NA | 101,585,000 |
JPMorgan Chase Bank NA | 93,900,000 |
US Bank NA | 65,335,000 |
Royal Bank of Canada | 64,985,000 |
PNC Bank NA | 36,350,000 |
Sumitomo Mitsui Banking Corp. | 32,390,000 |
Bank of Montreal | 31,560,000 |
Federal National Mortgage Assn. | 22,040,000 |
Barclays Bank plc | 17,950,000 |
Other | 50,355,000 |
Total | 823,830,000 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value-Unaffiliated Issuers (Cost $2,347,216) | 2,347,510 |
Cash | 26 |
Receivables for Investment Securities Sold | 152,683 |
Receivables for Accrued Income | 9,878 |
Total Assets | 2,510,097 |
Liabilities | |
Payables for Investment Securities Purchased | 91,695 |
Payables to Vanguard | 12 |
Total Liabilities | 91,707 |
Net Assets | 2,418,390 |
At August 31, 2024, net assets consisted of: | |
Paid-in Capital | 2,418,081 |
Total Distributable Earnings (Loss) | 309 |
Net Assets | 2,418,390 |
Net Assets1 | |
Applicable to 241,766,673 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
2,418,390 |
Net Asset Value Per Share | $10.00 |
1 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 10-for-1 share split effective June 5, 2024. See Notes to Financial Statements for further details. |
Year Ended August 31, 2024 |
|
($000) | |
Investment Income | |
Income | |
Interest | 109,962 |
Total Income | 109,962 |
Expenses | |
The Vanguard Group-Note B | |
Management and Administrative | 325 |
Custodian Fees | 73 |
Total Expenses | 398 |
Expenses Paid Indirectly | (73) |
Net Expenses | 325 |
Net Investment Income | 109,637 |
Realized Net Gain (Loss) on Investment Securities Sold | 3 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 302 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 109,942 |
Year Ended August 31, | ||
2024 ($000) |
2023 ($000) |
|
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 109,637 | 92,004 |
Realized Net Gain (Loss) | 3 | 43 |
Change in Unrealized Appreciation (Depreciation) | 302 | 8 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 109,942 | 92,055 |
Distributions | ||
Total Distributions | (109,648) | (91,995) |
Capital Share Transactions | ||
Issued | 21,438,747 | 16,766,249 |
Issued in Lieu of Cash Distributions | 109,645 | 91,995 |
Redeemed | (22,470,437) | (18,309,333) |
Net Increase (Decrease) from Capital Share Transactions | (922,045) | (1,451,089) |
Total Increase (Decrease) | (921,751) | (1,451,029) |
Net Assets | ||
Beginning of Period | 3,340,141 | 4,791,170 |
End of Period | 2,418,390 | 3,340,141 |
For a Share Outstanding Throughout Each Period1 |
Year Ended August 31, | ||||
2024 | 2023 | 2022 | 2021 | 2020 | |
Net Asset Value, Beginning of Period | $10.00 | $10.00 | $10.00 | $10.00 | $10.00 |
Investment Operations | |||||
Net Investment Income | .3372 | .275 | .040 | .006 | .093 |
Net Realized and Unrealized Gain (Loss) on Investments | .001 | - | (.000)3 | - | .0003 |
Total from Investment Operations | .338 | .275 | .040 | .006 | .093 |
Distributions | |||||
Dividends from Net Investment Income | (.338) | (.275) | (.040) | (.006) | (.093) |
Distributions from Realized Capital Gains | (.000)4 | - | (.000)4 | - | - |
Total Distributions | (.338) | (.275) | (.040) | (.006) | (.093) |
Net Asset Value, End of Period | $10.00 | $10.00 | $10.00 | $10.00 | $10.00 |
Total Return | 3.43% | 2.78% | 0.39% | 0.06% | 0.95% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,418 | $3,340 | $4,791 | $6,653 | $4,701 |
Ratio of Total Expenses to Average Net Assets | 0.01%5 | 0.01%5 | 0.01%5 | 0.01% | 0.01% |
Ratio of Net Investment Income to Average Net Assets | 3.37% | 2.69% | 0.35% | 0.05% | 0.84% |
Portfolio Turnover Rate | 0% | N/A%6 | N/A%6 | N/A%6 | N/A%6 |
1 | Adjusted to reflect a 10-for-1 share split as of the close of business on June 5, 2024. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
3 | Amount was less than $0.001 per share. |
4 | Distribution was less than $0.001 per share. |
5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.01%. |
6 | Not applicable. Portfolio Turnover Rate was not required due to former money market fund status. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a services agreement, Vanguard provides to the fund investment advisory, administrative and shareholder services and pays for all other operating expenses (except taxes) for a fee calculated at an annual percentage rate of the average net assets of the fund. The fund's trustees and officers are also directors and employees, respectively, of Vanguard. All expenses payable to Vanguard are generally settled twice a month. |
C. | The fund's custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2024, custodian fee offset arrangements reduced the fund's expenses by $73,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund's investments. 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. |
E. | 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. |
Amount ($000) |
|
Undistributed Tax-Exempt Income | 10 |
Undistributed Ordinary Income | 3 |
Undistributed Long-Term Gains | 2 |
Net Unrealized Gains (Losses) | 294 |
Capital Loss Carryforwards | - |
Qualified Late-Year Losses | - |
Other Temporary Differences | - |
Total | 309 |
Year Ended August 31, | ||
2024 Amount ($000) |
2023 Amount ($000) |
|
Tax-Exempt Income | 109,636 | 91,995 |
Ordinary Income* | - | - |
Long-Term Capital Gains | 12 | - |
Total | 109,648 | 91,995 |
* | Includes short-term capital gains, if any. |
Amount ($000) |
|
Tax Cost | 2,347,216 |
Gross Unrealized Appreciation | 294 |
Gross Unrealized Depreciation | - |
Net Unrealized Appreciation (Depreciation) | 294 |
F. | During the period from the fund's conversion date on June 5, 2024 to the year end on August 31, 2024, the fund purchased $0 of investment securities and sold $0 of investment securities, other than temporary cash investments. |
G. | Capital shares issued and redeemed were: |
Year Ended August 31, | ||
2024 Shares (000) |
20231 Shares (000) |
|
Issued | 2,143,591 | 1,676,460 |
Issued in Lieu of Cash Distributions | 10,963 | 9,200 |
Redeemed | (2,246,753) | (1,830,750) |
Net Increase (Decrease) in Shares Outstanding | (92,199) | (145,090) |
1 | Shares adjusted to reflect a 10-for-1 share split effective on June 5, 2024. |
H. | Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance. |
I. | Management has determined that no other events or transactions occurred subsequent to August 31, 2024, that would require recognition or disclosure in these financial statements. |
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9: Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10: Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Not applicable. The Management and Administrative expenses are included in the financial statements filed under Item 7 of this Form.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contracts.
Trustees Approve Advisory Arrangements - CMT Funds
The board of trustees of Vanguard Market Liquidity Fund and Vanguard Municipal Low Duration Fund (formerly known as Vanguard Municipal Cash Management Fund) has renewed each fund's investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing each fund's internalized management structure was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of the advisor's investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard's Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board's focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations conducted by the Portfolio Review Department. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor's assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about the fund's performance relative to its peers, and updates, as needed, on the Portfolio Review Department's ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board's decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund's investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard's experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with its peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund's expense ratio was below the average expense ratio charged by funds in its peer group and that each fund's advisory expenses were also below the peer-group average.
The board does not conduct a profitability analysis of Vanguard because of Vanguard's unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that each fund's arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
Item 12: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 16: Controls and Procedures.
a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's disclosure controls and procedures are effective based on their evaluation of the disclosure controls and procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. In February 2024, a third-party service provider began performing security pricing services for the Registrant. There were no other changes in the Registrant's internal control over financial reporting or in other factors that could significantly affect this control during the period covered by this report, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 17: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18: Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19: Exhibits.
(a)(1) | Code of Ethics filed herewith. |
(a)(2) | Certifications filed herewith. |
(a)(2) | Certifications filed herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD CMT FUNDS | ||
BY: | /s/ SALIM RAMJI* | |
SALIM RAMJI | ||
CHIEF EXECUTIVE OFFICER | ||
Date: October 22, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD CMT FUNDS | ||
BY: | /s/ SALIM RAMJI* | |
SALIM RAMJI | ||
CHIEF EXECUTIVE OFFICER | ||
Date: October 22, 2024 | ||
VANGUARD CMT FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER | ||
Date: October 22, 2024 |
*By: | /s/ John E. Schadl |
John E. Schadl, pursuant to a Power of Attorney filed on July 25, 2024 (see File Number 33-48863), Incorporated by Reference.