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
: 811-7043
Name of Registrant:
Vanguard Admiral Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code:
(610) 669-1000
Date of fiscal year end:
August 31
Date of reporting period:
September 1, 2008– February 28, 2009
Item 1:
Reports to Shareholders
> The Federal Reserve reduced its target for the federal funds rate—the primary influence on the level of money market yields—from 2.00% to between 0% and 0.25% during the fiscal six months.
> Returns for the Vanguard Money Market Funds ranged from 0.51% for the Treasury Money Market Fund to 1.16% for the Prime Money Market Fund’s Institutional Shares.
> The low costs of Vanguard’s Money Market Funds helped them substantially outpace their peers.
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Contents
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Your Fund’s Total Returns
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1
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President’s Letter
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2
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Advisor’s Report
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8
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Prime Money Market Fund
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10
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Federal Money Market Fund
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26
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Treasury Money Market Fund
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36
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Admiral Treasury Money Market Fund
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45
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About Your Fund’s Expenses
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54
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Glossary
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56
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Please note:
The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
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Six Months Ended February 28, 2009
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Ticker
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Total
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7-Day SEC
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Symbol
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Returns
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Yield
1
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Vanguard Prime Money Market Fund
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Investor Shares
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VMMXX
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1.09%
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1.15%
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Average Money Market Fund
2
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0.56
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—
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Institutional Shares
3
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VMRXX
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1.16
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1.30
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Average Institutional Money Market Fund
2
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0.75
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—
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Vanguard Federal Money Market Fund
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VMFXX
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0.88%
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0.83%
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Average Government Money Market Fund
2
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0.40
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—
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Vanguard Treasury Money Market Fund
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VMPXX
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0.51%
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0.26%
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iMoneyNet Money Fund Report’s Average 100% Treasury Fund
2
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0.17
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—
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Vanguard Admiral Treasury Money Market Fund
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VUSXX
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0.57%
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0.53%
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iMoneyNet Money Fund Report’s Average 100% Treasury Fund
2
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0.17
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—
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1 7-day SEC yield as of February 28, 2009. The yield of a money market fund more closely reflects the current earnings of the fund than its total return.
2 For the Prime and Federal Money Market Funds, peer-group returns are derived from data provided by Lipper Inc.; for the Treasury and Admiral Treasury Money Market Funds, peer-group returns are based on data provided by iMoneyNet, Inc.
3 This class of shares carries low expenses and is available for a minimum initial investment of $5 million.
1
President’s Letter
Dear Shareholder,
The yield of your fund reacts quickly to changes in short-term interest rates. And, as I’m sure you are painfully aware from your review of the returns that our money market funds have delivered, during the fiscal six months ended February 28, 2009, the Federal Reserve drove short-term rates rapidly lower as one element of its plan to shore up the ailing financial system.
In this difficult environment, the Vanguard Money Market Funds served shareholders well: They continued to be a convenient source of high-quality, liquid assets that steered clear of questionable Wall Street products that have contributed to the financial world’s crisis of confidence.
A historic financial crisis, continuing deep recession, and a slump in stock prices not seen since the 1930s have produced a rush by investors to accumulate assets perceived to be both liquid and free of credit risk. Treasury securities have topped the list by far. The strong demand has led to lower yields on these securities, another factor affecting the yields of our funds.
At Vanguard, the flight to quality and liquidity has produced a steady inflow of cash into our money market funds, especially our Treasury funds. Because this can affect existing investor accounts by further reducing already-low yields, in January, we closed our Admiral Treasury and Treasury Money Market Funds to new accounts. In March, just after the close of the fiscal period, the maximum additional
2
investment in these funds for current individual shareholders was reduced to $10,000 per day, per account, and institutional investors—including participants in employer-sponsored retirement plans—were no longer permitted to make additional purchases.
During the fiscal period, we elected to participate in the U.S. Treasury’s temporary guarantee program for money market funds, which, unless extended, is set to expire on April 30. (For details, see page 7.) Although the rock-solid credit quality of our money market funds has never been compromised—and we do not believe that our money market funds will ever need support—our funds agreed to participate in the Treasury’s program because we believed that our participation would help stabilize the credit markets in general and, therefore, would benefit all investors in money market funds.
Investors sought refuge in low-yield, but liquid, Treasuries
In the wake of the September collapse of Lehman Brothers, a leading Wall Street investment bank, credit markets deteriorated globally—a painful reminder of how intertwined markets have become and of how important trust is to keep them functioning. Lacking confidence, investors continued to seek the relative safety and liquidity of U.S. Treasury securities, driving prices up and yields down—the yields on short-term Treasury bills dropped briefly into negative territory—and producing two of the worst months ever for corporate bond returns, in September and October.
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Market Barometer
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Total Returns
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Periods Ended February 28, 2009
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Six Months
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One Year
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Five Years
1
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Bonds
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Barclays Capital U.S. Aggregate Bond Index
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(Broad taxable market)
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1.88%
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2.06%
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4.00%
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Barclays Capital Municipal Bond Index
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0.05
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5.18
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3.13
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Citigroup 3-Month Treasury Bill Index
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0.42
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1.31
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3.07
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Stocks
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Russell 1000 Index (Large-caps)
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–42.25%
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–43.62%
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–6.38%
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Russell 2000 Index (Small-caps)
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–46.91
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–42.38
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–6.68
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Dow Jones Wilshire 5000 Index (Entire market)
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–42.27
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–43.15
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–6.04
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MSCI All Country World Index ex USA (International)
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–45.36
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–51.27
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–1.65
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CPI
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Consumer Price Index
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–3.15%
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0.24%
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2.65%
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1 Annualized.
3
After several aggressive actions by the Federal Reserve Board and the Treasury—including lowering the target for the federal funds rate to a range of 0% to 0.25%—signs of a thaw began to emerge. January and February, for example, were the most active months for the issuance of investment-grade corporate bonds since 1995. Against this backdrop, the broad taxable bond market returned almost 2% for the six month period, while tax-exempt bonds were about flat.
Stocks fell steeply and broadly amid credit woes and slow growth
Stocks began the fiscal half-year inauspiciously and continued to decline as tight credit maintained its grip on business and major economies slipped into recession. Neither landmark programs to bolster financial institutions nor the $787 billion economic stimulus package signed into law in February served to boost investor confidence, which was already badly shaken after the U.S. stock market suffered its second-worst calendar-year performance ever.
For the six months ended February 28, U.S. equities overall returned about –42%. International stocks returned about –45%; emerging markets, which had boomed in recent years, were hit especially hard. The declines across the globe were notable for their speed, breadth, and magnitude. Volatility also increased dramatically, to levels not seen since the 1930s. For example, the period encompassed not only four of the worst but also two of the best U.S. trading days since 1928 (based on percentage losses and gains).
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Expense Ratios
1
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Your Fund Compared With Its Peer Group
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Fund
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Peer-Group
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Expense
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Expense
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Money Market Fund
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Ratio
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Ratio
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Prime
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Investor Shares
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0.28%
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0.89%
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Institutional Shares
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0.13
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0.44
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Federal
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0.28
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0.80
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Treasury
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0.28
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0.75
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Admiral Treasury
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0.15
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0.75
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1 The fund expense ratios shown are from the prospectuses dated December 29, 2008, and represent estimated costs for the current fiscal year based on the funds' current net assets. For the six months ended February 28, 2009, the annualized expense ratios were 0.28% for the Prime Money Market Fund Investor Shares and 0.13% for the Institutional Shares; 0.27% for the Federal Money Market Fund; 0.27% for the Treasury Money Market Fund; and 0.14% for the Admiral Treasury Money Market Fund. Peer groups are: for the Prime Money Market Fund Investor Shares, the Average Money Market Fund; for the Prime Money Market Fund Institutional Shares, the Average Institutional Money Market Fund; for the Federal Money Market Fund, the Average Government Money Market Fund; for the Treasury and Admiral Treasury Money Market Funds, the Average U.S. Treasury Money Market Fund. The
peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2008.
4
A declining yield environment underscores the role of lower expenses
The yields of Vanguard’s money market mutual funds declined during the just-ended fiscal half-year, in response to Federal Reserve policy and investor demand for the safest of securities. For example, as of February 28, the Investor Shares of the Prime Money Market Fund, Vanguard’s largest money market fund, yielded 1.15%, about half their yield of six months earlier.
Our two Treasury funds showed the steepest decline in yields, reflecting the frantic demand for Treasury securities. As of February 28, the Treasury Money Market Fund’s yield was 0.26% (down from 1.67% six months earlier), and the Admiral Treasury Money Market Fund’s yield was 0.53% (versus 1.80%).
As yields have dropped lower, our low-cost structure—Vanguard funds have among the lowest costs in the industry—has become increasingly important. The math is simple: The lower a fund’s expenses, the less is deducted from a fund’s return and the more of that return is available for its shareholders. The cost advantage of Vanguard’s money market mutual funds is a key reason for their peer-beating returns during the period, as you can see in the table on page 4. The funds also outpaced the Citigroup 3-Month Treasury Bill Index, a theoretical construct bereft of operating costs.
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Changes in Yields
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7-Day SEC Yield
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February 28,
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August 31,
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February 29,
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Money Market Fund
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2009
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2008
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2008
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Prime
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Investor Shares
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1.15%
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2.17%
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3.71%
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Institutional Shares
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1.30
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2.32
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3.86
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Federal
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0.83
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2.01
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3.65
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Treasury
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0.26
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1.67
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2.96
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Admiral Treasury
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0.53
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1.80
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3.11
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5
To benefit from low costs, of course, a fund must have excellent management. Despite the frustratingly low yields produced by all money market mutual funds, your advisor—the Vanguard Fixed Income Group—has successfully navigated a money market environment that has presented historically unusual and difficult challenges. Your advisor was aided by the astute analysis provided by our credit team, which led our money market funds (and other Vanguard funds) to avoid new Wall Street creations, such as structured investment vehicles, that have proved to be detrimental to the soundness of the nation’s financial system.
A well-balanced portfolio can help even in tough times
As demonstrated over the last six months—and, indeed, throughout the nation’s financial crisis—the direction of the financial markets is outside of anyone’s control. But you can “control the controllables.”
For your money market fund, this means ensuring prudent management of such essential fund characteristics as credit quality, diversification, maturity, and liquidity. Such prudent management and our emphasis on low operating costs have allowed the Vanguard Money Market Funds to meet their objectives of preserving principal and liquidity while providing competitive returns.
For investors, taking control means developing a well-balanced portfolio that can include stocks, bonds, and money market assets in a mix that reflects their objectives, time horizon, and risk tolerance, and sticking with it. We’ve found that such an approach, which includes a periodic rebalancing of your portfolio when market forces throw your asset mix off track, has benefited long-term investors, even in turbulent markets.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
President and Chief Executive Officer
March 11, 2009
6
Details about the Treasury Temporary Guarantee Program for Money Market Funds
The Vanguard money market funds are participating in the U.S. Treasury’s temporary guarantee program, which provides a guarantee to money market fund shareholders based on the number of shares they owned at the close of business on September 19, 2008. Some details of the program:
• Any increase in the number of shares that an investor held after the close of business on September 19 will not be guaranteed.
• If a customer closes his or her account in the fund, any future investment in the fund will not be guaranteed.
• If the number of shares an investor holds fluctuates over the period, the investor will be covered for either the number of shares held as of the close of business on September 19, or the current amount, whichever is less. The program will expire on September 18, 2009, unless it is extended.
• Please note: During the six months ended February 28, 2009, all Vanguard money market funds participated in the Guarantee Program. In early April, Vanguard Treasury, Admiral Treasury, and Federal Money Market Funds, which were invested exclusively in government-backed securities at the end of March, chose to discontinue their participation after April 30.
7
Advisor’s Report
During the six months ended February 28, 2009, the four Vanguard Money Market Funds produced returns ranging from 0.51% for the Treasury Money Market Fund to 1.16% for the Institutional Shares of the Prime Money Market Fund.
The investment environment
The recession deepened during the fiscal period, and spread around the globe. Balance sheets of financial institutions were impaired by significant losses stemming from illiquid positions in asset-backed and subprime-mortgage securities. The laws of supply and demand played out daily in the financial markets as institutions burdened with undesirable assets struggled to find liquidity. These dysfunctional markets led to lower prices, and relief came only when the federal government stepped in as the buyer of last resort.
The Federal Reserve has driven the federal funds target rate virtually as low as it can. This benchmark for short-term rates, which started the fiscal half-year at 2.00%, stood at a historic low of between 0% and 0.25% at the end of the period. The Fed inflated its balance sheet by buying assets, including highly rated commercial paper, and providing much needed liquidity to some of the highest-quality sectors in the market. The Fed also said it would consider purchasing U.S. Treasury securities in an effort to keep long-term interest rates from rising. In mid-March, after the end of the funds’ fiscal period, the Fed announced it would begin purchasing U.S. Treasury securities.
The management of the funds
Shortly after the financial crisis began in the summer of 2007, we began to build significant positions in the Prime Money Market Fund in Treasury and government agency securities. While these securities have less attractive yields than short-term corporate debt, their credit quality and liquidity characteristics are compelling reasons to continue to own them during these challenging times.
One of the most significant events during the past half-year was the federal government’s placement of Fannie Mae and Freddie Mac under conservatorship and its commitment to provide additional funding to support their operations—thus strengthening the relationship between Fannie and Freddie and the government. These and other measures that made the two institutions integral to the government’s efforts to support the housing market increase our confidence in their ability to weather the current storm.
Closing the Treasury funds
In managing the Admiral Treasury Money Market Fund and the Treasury Money Market Fund, we faced an unusual set of challenges. Despite record sales of Treasury securities, demand routinely exceeded the available supply, driving
8
some yields into negative territory. At first, this was a shock, but negative and super-low yields soon became routine.
Faced with the challenges posed by the extraordinary demand for Treasuries, we took steps to mitigate the risk to you. We aggressively managed cash flows into the funds to keep a host of potentially temporary investors from diluting our existing shareholders’ returns.
Ultimately, the Federal Reserve lowered its federal funds target to the rock-bottom 0%–0.25% range. Short-dated Treasury bills—the bulk of the two funds’ holdings—rarely trade above the federal funds target.
In response to this new reality, we chose to take steps that would allow us to continue to offer superior products to our long-term Vanguard shareholders. We knew that if we could reduce the funds’ cash inflows, we could target our reinvestment activity to periods when yields typically peak each week. In January, we closed the two funds to new investors, and later, just after the end of the fiscal period, we closed the funds to existing institutional investors, meaning they could no longer make additional purchases of fund shares. These were difficult decisions. But, in the environment we faced, they were necessary to maintain the quality of the funds for current investors.
The investment outlook
The Federal Reserve has announced that the federal funds rates will remain low for an extended period of time. We expect the Fed to continue this stance throughout 2009 and probably through 2010.
To take advantage of the steepness of the money market yield curve, we are maintaining a longer average maturity in the funds. We also expect to maintain significant positions in both Treasury and agency securities in the Prime Money Market Fund to limit the overall credit risk of that investment portfolio.
David R. Glocke, Principal
John C. Lanius, Portfolio Manager Vanguard Fixed Income Group
March 16, 2009
9
Prime Money Market Fund
Fund Profile
As of February 28, 2009
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Financial Attributes
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Yield
1
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|
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Investor Shares
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1.15%
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Institutional Shares
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1.30%
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Average Weighted Maturity
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79 days
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Average Quality
2
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Aa1
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Expense Ratio
3
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Investor Shares
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0.28%
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Institutional Shares
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0.13%
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Distribution by Credit Quality
2
(% of portfolio)
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Aaa
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53.9%
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Aa
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41.2
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A
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4.9
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Sector Diversification (% of portfolio)
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Finance
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Commercial Paper
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10.8%
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Certificates of Deposit
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36.2
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Treasury/Agency
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50.6
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Other
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2.4
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1 7-day SEC yield. See the Glossary.
2 Moody’s Investors Service.
3 The expense ratios shown are from the prospectuses dated December 29, 2008, and represent estimated costs for the current fiscal year based on the fund's current net assets. For the six months ended February 28, 2009, the annualized expense ratios were 0.28% for the Investor Shares and 0.13% for the Institutional Shares.
10
Prime Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.)
The returns shown do not reflect taxes that a shareholder would pay on fund distributions.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund.
(For details on the fund’s participation in the U.S. Treasury’s temporary guarantee program, please see
the note on page 7.) The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
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Fiscal-Year Total Returns (%): August 31, 1998–February 28, 2009
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|
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Prime Money
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|
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Fiscal
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Market Fund
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Average
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Year
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Investor Shares
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Fund
1
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1999
|
5.0%
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4.4%
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2000
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5.9
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5.3
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2001
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5.4
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4.8
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2002
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2.1
|
1.4
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2003
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1.1
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0.6
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2004
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0.8
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0.4
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2005
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2.3
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1.7
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2006
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4.4
|
3.7
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2007
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5.2
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4.6
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2008
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3.6
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3.0
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2009
2
|
1.1
|
0.6
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7-day SEC yield (2/28/2009): 1.15%
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Average Annual Total Returns: Periods Ended December 31, 2008
This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
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Inception Date
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One Year
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Five Years
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Ten Years
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Investor Shares
3
|
6/4/1975
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2.77%
|
3.37%
|
3.48%
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Institutional Shares
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10/3/1989
|
2.93
|
3.56
|
3.67
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1 Returns for the Average Money Market Fund are derived from data provided by Lipper Inc.
2 Six months ended February 28, 2009.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
Note: See Financial Highlights tables for dividend information.
11
Prime Money Market Fund
Financial Statements
(unaudited)
Statement of Net Assets
As of February 28, 2009
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
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Face
|
Market
|
|
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Maturity
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Amount
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Value
•
|
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Yield
1
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Date
|
($000)
|
($000)
|
|
U.S. Government and Agency Obligations (50.3%)
|
|
2,3
|
Federal Home Loan Bank
|
2.076%
|
3/5/09
|
1,917,000
|
1,916,999
|
|
2,3
|
Federal Home Loan Bank
|
1.466%
|
3/29/09
|
4,640,000
|
4,640,000
|
|
3
|
Federal Home Loan Bank
|
3.044%
|
4/22/09
|
750,000
|
746,750
|
|
3
|
Federal Home Loan Bank
|
0.410%
|
5/4/09
|
518,000
|
517,622
|
|
3
|
Federal Home Loan Bank
|
0.410%
|
5/6/09
|
150,000
|
149,887
|
|
3
|
Federal Home Loan Bank
|
0.320%–1.816%
|
5/13/09
|
570,000
|
568,580
|
|
3
|
Federal Home Loan Bank
|
0.340%
|
6/1/09
|
1,470,000
|
1,468,723
|
|
3
|
Federal Home Loan Bank
|
0.857%
|
12/14/09
|
300,000
|
297,960
|
|
3
|
Federal Home Loan Bank
|
0.817%
|
12/15/09
|
150,000
|
149,037
|
|
3
|
Federal Home Loan Bank
|
0.836%
|
12/16/09
|
11,625
|
11,548
|
|
3
|
Federal Home Loan Bank
|
0.857%
|
12/29/09
|
300,000
|
297,854
|
|
3
|
Federal Home Loan Mortgage Corp.
|
5.320%
|
3/18/09
|
178,800
|
178,640
|
|
3
|
Federal Home Loan Mortgage Corp.
|
3.242%
|
3/30/09
|
365,000
|
364,062
|
|
3
|
Federal Home Loan Mortgage Corp.
|
1.916%
|
4/14/09
|
238,500
|
237,946
|
|
3
|
Federal Home Loan Mortgage Corp.
|
1.916%
|
4/15/09
|
185,300
|
184,860
|
|
3
|
Federal Home Loan Mortgage Corp.
|
2.973%
|
4/20/09
|
300,000
|
298,779
|
|
3
|
Federal Home Loan Mortgage Corp.
|
2.984%
|
4/27/09
|
950,000
|
945,578
|
|
3
|
Federal Home Loan Mortgage Corp.
|
2.943%
|
5/1/09
|
2,220,000
|
2,209,091
|
|
3
|
Federal Home Loan Mortgage Corp.
|
2.326%
|
5/4/09
|
383,806
|
382,237
|
|
3
|
Federal Home Loan Mortgage Corp.
|
0.250%–0.300%
|
5/21/09
|
3,790,000
|
3,787,470
|
|
3
|
Federal Home Loan Mortgage Corp.
|
1.766%
|
5/27/09
|
350,000
|
348,520
|
|
3
|
Federal Home Loan Mortgage Corp.
|
0.450%
|
6/1/09
|
2,000,000
|
1,997,649
|
|
3
|
Federal Home Loan Mortgage Corp.
|
0.461%–1.767%
|
6/2/09
|
3,000,000
|
2,993,102
|
|
3
|
Federal National Mortgage Assn.
|
2.832%
|
3/23/09
|
1,500,000
|
1,497,433
|
|
3
|
Federal National Mortgage Assn.
|
0.350%
|
4/3/09
|
1,423,000
|
1,422,543
|
|
3
|
Federal National Mortgage Assn.
|
3.035%
|
4/15/09
|
334,294
|
333,045
|
|
3
|
Federal National Mortgage Assn.
|
2.973%
|
4/22/09
|
149,416
|
148,784
|
|
3
|
Federal National Mortgage Assn.
|
2.328%
|
5/14/09
|
3,000,000
|
2,985,817
|
|
3
|
Federal National Mortgage Assn.
|
1.766%
|
6/1/09
|
2,000,000
|
1,991,056
|
|
3
|
Federal National Mortgage Assn.
|
1.309%
|
6/22/09
|
800,000
|
796,735
|
|
3
|
Federal National Mortgage Assn.
|
0.805%
|
11/2/09
|
1,500,000
|
1,491,800
|
|
3
|
Federal National Mortgage Assn.
|
0.825%
|
11/16/09
|
1,490,000
|
1,481,176
|
|
3
|
Federal National Mortgage Assn.
|
0.755%–0.846%
|
12/1/09
|
1,610,800
|
1,600,557
|
|
3
|
Federal National Mortgage Assn.
|
0.846%
|
12/2/09
|
950,000
|
943,882
|
|
3
|
Federal National Mortgage Assn.
|
0.867%
|
12/14/09
|
1,635,000
|
1,623,751
|
|
|
U.S. Treasury Bill
|
0.205%–0.217%
|
3/26/09
|
2,500,000
|
2,499,640
|
|
|
U.S. Treasury Bill
|
0.240%–0.330%
|
5/7/09
|
2,000,000
|
1,998,939
|
12
Prime Money Market Fund
|
|
|
|
|
Face
|
Market
|
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
|
U.S. Treasury Bill
|
1.636%
|
6/4/09
|
1,000,000
|
995,778
|
|
|
U.S. Treasury Bill
|
0.396%
|
8/6/09
|
1,000,000
|
998,288
|
|
|
U.S. Treasury Bill
|
0.487%
|
8/13/09
|
4,000,000
|
3,991,200
|
|
|
U.S. Treasury Bill
|
0.477%
|
8/20/09
|
4,000,000
|
3,991,018
|
|
|
U.S. Treasury Bill
|
0.503%
|
8/27/09
|
4,000,000
|
3,990,155
|
|
Total U.S. Government and Agency Obligations (Cost $59,474,491)
|
|
59,474,491
|
|
Commercial Paper (10.7%)
|
|
|
|
|
|
Finance—Auto (1.5%)
|
|
|
|
|
|
|
American Honda Finance Corp.
|
0.470%
|
3/4/09
|
70,000
|
69,997
|
|
|
American Honda Finance Corp.
|
0.600%
|
4/7/09
|
44,000
|
43,973
|
|
|
American Honda Finance Corp.
|
0.620%
|
4/17/09
|
55,000
|
54,955
|
|
|
American Honda Finance Corp.
|
0.620%
|
4/20/09
|
55,000
|
54,953
|
|
|
American Honda Finance Corp.
|
0.650%
|
4/21/09
|
55,000
|
54,949
|
|
|
American Honda Finance Corp.
|
0.751%
|
5/4/09
|
164,300
|
164,081
|
|
|
American Honda Finance Corp.
|
0.751%
|
5/6/09
|
88,000
|
87,879
|
|
|
Toyota Motor Credit Corp.
|
2.465%
|
3/4/09
|
245,000
|
244,950
|
|
|
Toyota Motor Credit Corp.
|
2.313%
|
3/11/09
|
215,000
|
214,863
|
|
|
Toyota Motor Credit Corp.
|
1.153%–3.697%
|
4/7/09
|
167,000
|
166,428
|
|
|
Toyota Motor Credit Corp.
|
1.103%
|
4/9/09
|
170,000
|
169,797
|
|
|
Toyota Motor Credit Corp.
|
1.052%
|
4/20/09
|
199,000
|
198,710
|
|
|
Toyota Motor Credit Corp.
|
1.153%
|
4/27/09
|
170,500
|
170,190
|
|
|
|
|
|
|
1,695,725
|
|
Foreign Banks (6.0%)
|
|
|
|
|
|
4
|
Australia & New Zealand Banking Group, Ltd.
|
2.010%
|
3/9/09
|
255,000
|
254,887
|
|
4
|
Australia & New Zealand Banking Group, Ltd.
|
2.672%
|
3/16/09
|
35,000
|
34,961
|
|
4
|
Australia & New Zealand Banking Group, Ltd.
|
2.002%
|
3/30/09
|
294,000
|
293,529
|
|
4
|
Australia & New Zealand Banking Group, Ltd.
|
1.851%
|
4/9/09
|
499,000
|
498,005
|
|
|
CBA (Delaware) Finance Inc.
|
1.989%
|
3/2/09
|
245,000
|
244,987
|
|
4
|
Danske Corp.
|
2.293%
|
3/2/09
|
400,000
|
399,975
|
|
4
|
Danske Corp.
|
2.202%
|
3/5/09
|
474,000
|
473,885
|
|
4
|
Danske Corp.
|
2.232%
|
3/9/09
|
280,000
|
279,862
|
|
4
|
Danske Corp.
|
1.909%
|
3/16/09
|
290,000
|
289,782
|
|
4
|
Danske Corp.
|
1.827%
|
3/17/09
|
200,000
|
199,838
|
|
4
|
Danske Corp.
|
0.641%
|
4/16/09
|
500,000
|
499,591
|
|
4
|
Danske Corp.
|
1.816%
|
6/23/09
|
150,000
|
149,145
|
|
|
Nordea North America Inc.
|
1.979%–2.234%
|
3/12/09
|
666,250
|
665,836
|
|
|
Santander Central Hispano Finance
|
|
|
|
|
|
|
(Delaware), Inc.
|
2.771%
|
3/5/09
|
93,500
|
93,471
|
|
|
Santander Central Hispano Finance
|
|
|
|
|
|
|
(Delaware), Inc.
|
2.773%
|
3/17/09
|
27,000
|
26,967
|
|
|
Santander Central Hispano Finance
|
|
|
|
|
|
|
(Delaware), Inc.
|
1.153%
|
4/8/09
|
43,000
|
42,948
|
|
|
Santander Central Hispano Finance
|
|
|
|
|
|
|
(Delaware), Inc.
|
0.851%
|
4/27/09
|
350,000
|
349,529
|
|
|
Santander Central Hispano Finance
|
|
|
|
|
|
|
(Delaware), Inc.
|
1.114%
|
6/9/09
|
525,000
|
523,381
|
|
|
Societe Generale N.A. Inc.
|
1.420%
|
6/23/09
|
550,000
|
547,544
|
|
|
Svenska Handelsbanken, Inc.
|
0.932%
|
4/8/09
|
250,000
|
249,755
|
|
4
|
Westpac Banking Corp.
|
1.949%
|
3/3/09
|
500,000
|
499,946
|
|
4
|
Westpac Banking Corp.
|
1.949%
|
3/5/09
|
500,000
|
499,892
|
|
|
|
|
|
|
7,117,716
|
13
Prime Money Market Fund
|
|
|
|
|
Face
|
Market
|
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
Foreign Governments (0.5%)
|
|
|
|
|
|
|
Caisse D’Amortissement
|
0.661%
|
4/27/09
|
256,500
|
256,232
|
|
|
Caisse D’Amortissement
|
0.802%
|
6/3/09
|
289,600
|
288,995
|
|
4
|
Electricite de France
|
0.450%
|
3/23/09
|
22,000
|
21,994
|
|
4
|
Electricite de France
|
0.450%
|
3/27/09
|
39,000
|
38,987
|
|
4
|
Electricite de France
|
1.002%
|
5/8/09
|
20,000
|
19,962
|
|
|
|
|
|
|
626,170
|
|
Foreign Industrial (2.0%)
|
|
|
|
|
|
4
|
BASF SE
|
1.505%
|
3/12/09
|
46,000
|
45,979
|
|
4
|
BASF SE
|
0.952%
|
4/6/09
|
85,655
|
85,574
|
|
4
|
BASF SE
|
0.450%
|
4/8/09
|
26,600
|
26,587
|
|
4
|
BASF SE
|
0.450%
|
4/15/09
|
100,000
|
99,944
|
|
4
|
BP Capital Markets PLC
|
0.789%
|
10/19/09
|
25,000
|
24,873
|
|
4
|
Nestle Capital Corp.
|
2.378%–2.379%
|
3/10/09
|
205,750
|
205,629
|
|
4
|
Nestle Capital Corp.
|
2.891%
|
4/6/09
|
170,750
|
170,263
|
|
4
|
Nestle Capital Corp.
|
0.703%
|
10/26/09
|
50,000
|
49,768
|
|
4
|
Procter & Gamble International
|
|
|
|
|
|
|
Funding SCA
|
0.400%
|
5/5/09
|
60,000
|
59,957
|
|
4
|
Procter & Gamble International
|
|
|
|
|
|
|
Funding SCA
|
0.400%
|
5/6/09
|
265,000
|
264,806
|
|
4
|
Procter & Gamble International
|
|
|
|
|
|
|
Funding SCA
|
0.400%
|
6/1/09
|
73,000
|
72,925
|
|
4
|
Procter & Gamble International
|
|
|
|
|
|
|
Funding SCA
|
0.480%
|
6/2/09
|
44,695
|
44,640
|
|
4
|
Procter & Gamble International
|
|
|
|
|
|
|
Funding SCA
|
0.471%–0.501%
|
6/16/09
|
166,890
|
166,650
|
|
4
|
Shell International Finance BV
|
2.165%
|
3/2/09
|
294,090
|
294,072
|
|
4
|
Shell International Finance BV
|
2.428%
|
5/1/09
|
394,030
|
392,428
|
|
4
|
Shell International Finance BV
|
1.918%
|
5/11/09
|
147,000
|
146,449
|
|
4
|
Shell International Finance BV
|
1.816%
|
5/29/09
|
147,020
|
146,366
|
|
4
|
Shell International Finance BV
|
1.918%
|
6/1/09
|
98,000
|
97,524
|
|
|
|
|
|
|
2,394,434
|
|
Industrial (0.7%)
|
|
|
|
|
|
|
Chevron Corp.
|
0.380%
|
3/26/09
|
25,000
|
24,994
|
|
|
Chevron Corp.
|
0.380%
|
3/27/09
|
86,910
|
86,886
|
|
4
|
Johnson & Johnson
|
0.350%
|
5/11/09
|
195,000
|
194,865
|
|
4
|
Johnson & Johnson
|
0.350%
|
5/12/09
|
100,000
|
99,930
|
|
4
|
Johnson & Johnson
|
0.000%
|
5/13/09
|
197,000
|
196,860
|
|
4
|
Microsoft Corp.
|
0.350%
|
6/22/09
|
50,000
|
49,945
|
|
4
|
Pfizer Inc.
|
2.186%
|
3/9/09
|
95,000
|
94,954
|
|
4
|
Procter & Gamble Co.
|
0.500%
|
6/4/09
|
103,140
|
103,004
|
|
|
|
|
|
|
851,438
|
|
Total Commercial Paper (Cost $12,685,483)
|
|
|
12,685,483
|
|
Certificates of Deposit (36.0%)
|
|
|
|
|
|
Domestic Banks (3.5%)
|
|
|
|
|
|
|
Bank of America
|
0.500%
|
4/22/09
|
500,000
|
500,000
|
|
|
Citibank, N.A.
|
1.500%
|
3/17/09
|
400,000
|
400,000
|
|
|
Citibank, N.A.
|
2.080%
|
3/17/09
|
978,500
|
978,508
|
|
|
State Street Bank & Trust Co.
|
0.500%
|
3/16/09
|
85,000
|
85,000
|
|
|
State Street Bank & Trust Co.
|
0.800%
|
4/6/09
|
300,000
|
300,000
|
|
|
State Street Bank & Trust Co.
|
4.420%
|
4/7/09
|
490,000
|
490,000
|
14
Prime Money Market Fund
|
|
|
|
Face
|
Market
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
State Street Bank & Trust Co.
|
0.900%
|
4/29/09
|
399,500
|
399,500
|
|
State Street Bank & Trust Co.
|
0.900%
|
5/4/09
|
255,500
|
255,500
|
|
State Street Bank & Trust Co.
|
0.910%
|
5/11/09
|
250,000
|
250,000
|
|
U.S. Bank N.A.
|
0.750%
|
6/24/09
|
491,000
|
491,000
|
|
|
|
|
|
4,149,508
|
|
Eurodollar Certificates of Deposit (8.7%)
|
|
|
|
|
|
Australia & New Zealand Banking Group, Ltd.
|
2.050%
|
3/2/09
|
250,000
|
250,000
|
|
Bank of Nova Scotia
|
1.000%
|
3/24/09
|
250,000
|
250,000
|
|
Bank of Nova Scotia
|
0.900%
|
4/6/09
|
170,000
|
170,000
|
|
Commonwealth Bank of Australia
|
2.150%
|
3/4/09
|
340,000
|
340,000
|
|
Commonwealth Bank of Australia
|
0.450%
|
3/16/09
|
1,000,000
|
1,000,000
|
|
Commonwealth Bank of Australia
|
0.750%
|
4/9/09
|
700,000
|
700,000
|
|
Credit Agricole S.A.
|
2.470%
|
3/9/09
|
500,000
|
500,000
|
|
Credit Agricole S.A.
|
0.700%
|
4/15/09
|
500,000
|
500,000
|
|
Credit Agricole S.A.
|
1.000%
|
5/4/09
|
500,000
|
500,000
|
|
Credit Agricole S.A.
|
1.200%
|
5/6/09
|
500,000
|
500,000
|
|
HSBC Bank PLC
|
2.000%
|
3/9/09
|
110,000
|
110,000
|
|
HSBC Bank PLC
|
0.900%
|
5/5/09
|
175,000
|
175,000
|
|
HSBC Bank PLC
|
0.900%
|
5/5/09
|
250,000
|
250,000
|
|
HSBC Bank PLC
|
0.880%
|
5/11/09
|
500,000
|
500,000
|
|
HSBC Bank PLC
|
0.900%
|
5/12/09
|
500,000
|
500,000
|
|
ING Bank N.V.
|
2.210%
|
3/5/09
|
500,000
|
500,000
|
|
ING Bank N.V.
|
2.160%
|
3/11/09
|
500,000
|
500,000
|
|
ING Bank N.V.
|
2.090%
|
3/12/09
|
300,000
|
300,000
|
|
ING Bank N.V.
|
0.890%
|
3/26/09
|
500,000
|
500,000
|
|
National Australia Bank Ltd.
|
2.300%
|
3/2/09
|
500,000
|
500,000
|
|
National Australia Bank Ltd.
|
2.200%
|
3/3/09
|
550,000
|
550,000
|
|
National Australia Bank Ltd.
|
2.050%
|
3/16/09
|
250,000
|
250,000
|
|
National Australia Bank Ltd.
|
2.100%
|
3/16/09
|
500,000
|
500,000
|
|
National Australia Bank Ltd.
|
0.900%
|
5/11/09
|
400,000
|
400,000
|
|
|
|
|
|
10,245,000
|
|
Yankee Certificates of Deposit (23.8%)
|
|
|
|
|
|
Australia and New Zealand Banking Group
|
|
|
|
|
|
(New York Branch)
|
2.000%
|
3/5/09
|
170,000
|
170,000
|
|
Australia and New Zealand Banking Group
|
|
|
|
|
|
(New York Branch)
|
1.700%
|
3/19/09
|
196,000
|
196,000
|
|
Australia and New Zealand Banking Group
|
|
|
|
|
|
(New York Branch)
|
4.500%
|
4/9/09
|
490,000
|
490,000
|
|
Banco Bilbao Vizcaya Argentaria, SA
|
|
|
|
|
|
(New York Branch)
|
2.220%
|
3/4/09
|
460,000
|
460,000
|
|
Banco Bilbao Vizcaya Argentaria, SA
|
|
|
|
|
|
(New York Branch)
|
1.100%
|
4/2/09
|
150,000
|
150,000
|
|
Banco Bilbao Vizcaya Argentaria, SA
|
|
|
|
|
|
(New York Branch)
|
4.850%
|
4/10/09
|
490,000
|
490,016
|
|
Banco Bilbao Vizcaya Argentaria, SA
|
|
|
|
|
|
(New York Branch)
|
0.600%
|
4/15/09
|
500,000
|
500,000
|
|
Banco Bilbao Vizcaya Argentaria, SA
|
|
|
|
|
|
(New York Branch)
|
0.950%
|
5/11/09
|
390,000
|
390,000
|
|
Banco Bilbao Vizcaya Argentaria, SA
|
|
|
|
|
|
(New York Branch)
|
1.720%
|
6/22/09
|
500,000
|
500,000
|
|
Banco Santander (New York Branch)
|
4.920%
|
4/9/09
|
490,000
|
490,016
|
|
Bank of Nova Scotia (Houston Branch)
|
4.500%
|
4/9/09
|
735,000
|
735,000
|
15
Prime Money Market Fund
|
|
|
|
Face
|
Market
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
Bank of Nova Scotia (Houston Branch)
|
0.750%
|
4/27/09
|
1,245,000
|
1,245,000
|
|
Bank of Nova Scotia (Houston Branch)
|
0.750%
|
7/13/09
|
196,000
|
196,000
|
|
Barclays Bank PLC (New York Branch)
|
1.850%
|
3/12/09
|
500,000
|
500,000
|
|
Barclays Bank PLC (New York Branch)
|
2.100%
|
6/16/09
|
800,000
|
800,000
|
|
Barclays Bank PLC (New York Branch)
|
1.790%
|
6/19/09
|
500,000
|
500,000
|
|
BNP Paribas (New York Branch)
|
2.300%
|
3/2/09
|
500,000
|
500,000
|
|
BNP Paribas (New York Branch)
|
0.820%
|
4/9/09
|
700,000
|
700,000
|
|
BNP Paribas (New York Branch)
|
0.700%
|
4/15/09
|
700,000
|
700,000
|
|
BNP Paribas (New York Branch)
|
1.020%
|
5/11/09
|
500,000
|
500,000
|
|
Credit Suisse (New York Branch)
|
2.250%
|
3/2/09
|
979,500
|
979,500
|
|
Credit Suisse (New York Branch)
|
2.200%
|
3/3/09
|
300,000
|
300,000
|
|
Credit Suisse (New York Branch)
|
2.050%
|
3/9/09
|
500,000
|
500,000
|
|
Lloyds TSB Bank PLC (New York Branch)
|
2.100%
|
3/9/09
|
492,000
|
492,000
|
|
Lloyds TSB Bank PLC (New York Branch)
|
2.050%
|
3/16/09
|
500,000
|
500,000
|
|
Lloyds TSB Bank PLC (New York Branch)
|
4.300%
|
4/10/09
|
490,000
|
490,000
|
|
Lloyds TSB Bank PLC (New York Branch)
|
1.280%
|
4/14/09
|
57,700
|
57,713
|
|
Lloyds TSB Bank PLC (New York Branch)
|
1.120%
|
4/29/09
|
400,000
|
400,000
|
|
Lloyds TSB Bank PLC (New York Branch)
|
2.380%
|
6/11/09
|
71,000
|
71,135
|
|
Nordea Bank Finland PLC (New York Branch)
|
2.140%
|
3/3/09
|
500,000
|
500,000
|
|
Nordea Bank Finland PLC (New York Branch)
|
0.650%
|
4/27/09
|
300,000
|
300,000
|
|
Nordea Bank Finland PLC (New York Branch)
|
0.890%
|
5/6/09
|
500,000
|
500,000
|
|
Nordea Bank Finland PLC (New York Branch)
|
0.930%
|
5/6/09
|
400,000
|
400,000
|
|
Nordea Bank Finland PLC (New York Branch)
|
2.510%
|
6/5/09
|
100,000
|
100,267
|
|
Rabobank Nederland NV (New York Branch)
|
3.020%
|
3/9/09
|
245,000
|
245,049
|
|
Rabobank Nederland NV (New York Branch)
|
0.800%
|
5/11/09
|
800,000
|
800,000
|
|
Rabobank Nederland NV (New York Branch)
|
0.800%
|
7/15/09
|
1,000,000
|
1,000,000
|
|
Rabobank Nederland NV (New York Branch)
|
0.800%
|
7/28/09
|
480,000
|
480,000
|
|
Royal Bank of Canada (New York Branch)
|
1.750%
|
3/11/09
|
931,500
|
931,500
|
|
Royal Bank of Scotland PLC (New York Branch)
|
2.150%
|
3/9/09
|
188,500
|
188,500
|
|
Royal Bank of Scotland PLC (New York Branch)
|
2.150%
|
3/10/09
|
400,000
|
400,000
|
|
Royal Bank of Scotland PLC (New York Branch)
|
2.020%
|
3/16/09
|
600,000
|
600,000
|
|
Royal Bank of Scotland PLC (New York Branch)
|
1.290%
|
5/11/09
|
500,000
|
500,000
|
|
Societe Generale (New York Branch)
|
2.000%
|
3/16/09
|
700,000
|
700,000
|
|
Societe Generale (New York Branch)
|
0.900%
|
4/9/09
|
500,000
|
500,000
|
|
Societe Generale (New York Branch)
|
4.500%
|
4/9/09
|
490,000
|
490,000
|
|
Societe Generale (New York Branch)
|
1.600%
|
6/17/09
|
200,000
|
200,000
|
|
Svenska Handelsbanken (New York Branch)
|
2.170%
|
3/9/09
|
866,500
|
866,500
|
|
Svenska Handelsbanken (New York Branch)
|
1.900%
|
3/19/09
|
500,000
|
500,000
|
|
Svenska Handelsbanken (New York Branch)
|
4.350%
|
4/9/09
|
490,000
|
490,000
|
|
Toronto Dominion Bank (New York Branch)
|
4.420%
|
4/10/09
|
490,000
|
490,000
|
|
Toronto Dominion Bank (New York Branch)
|
2.500%
|
5/27/09
|
200,000
|
200,000
|
|
Toronto Dominion Bank (New York Branch)
|
2.500%
|
5/27/09
|
200,000
|
200,000
|
|
Toronto Dominion Bank (New York Branch)
|
2.150%
|
6/15/09
|
200,000
|
200,000
|
|
Toronto Dominion Bank (New York Branch)
|
2.150%
|
6/15/09
|
300,000
|
300,000
|
|
Toronto Dominion Bank (New York Branch)
|
2.420%
|
6/15/09
|
100,000
|
100,269
|
|
Toronto Dominion Bank (New York Branch)
|
0.800%
|
7/16/09
|
491,000
|
491,000
|
|
Westpac Banking Corp. (New York Branch)
|
1.950%
|
3/2/09
|
499,250
|
499,250
|
|
Westpac Banking Corp. (New York Branch)
|
1.950%
|
3/3/09
|
499,250
|
499,250
|
|
Westpac Banking Corp. (New York Branch)
|
1.500%
|
6/23/09
|
500,000
|
500,000
|
|
|
|
|
|
28,173,965
|
|
Total Certificates of Deposit (Cost $42,568,473)
|
|
|
42,568,473
|
16
Prime Money Market Fund
|
|
|
|
Face
|
Market
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
Repurchase Agreements (2.4%)
|
|
|
|
|
|
Banc of America Securities, LLC
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $122,002,000,
|
|
|
|
|
|
collateralized by U.S. Treasury Note
|
|
|
|
|
|
1.375%, 2/15/12)
|
0.240%
|
3/2/09
|
122,000
|
122,000
|
|
Barclays Capital Inc.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $436,009,000,
|
|
|
|
|
|
collateralized by U.S. Treasury Bill 0.000%, 8/27/09,
|
|
|
|
|
|
and U.S. Treasury Bond 7.625%, 2/15/25)
|
0.250%
|
3/2/09
|
436,000
|
436,000
|
|
BNP Paribas Securities Corp.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $396,009,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Bank
|
|
|
|
|
|
1.620%–2.900%, 3/24/09–12/30/09, and
|
|
|
|
|
|
Federal National Mortgage Assn.
|
|
|
|
|
|
6.375%–6.625%, 6/15/09–9/15/09)
|
0.270%
|
3/2/09
|
396,000
|
396,000
|
|
Credit Suisse Securities (USA), LLC
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $180,004,000,
|
|
|
|
|
|
collateralized by U.S. Treasury Note
|
|
|
|
|
|
4.000%, 2/15/15)
|
0.250%
|
3/2/09
|
180,000
|
180,000
|
|
Deutsche Bank Securities, Inc.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $763,884,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Mortgage
|
|
|
|
|
|
Corp. Discount Note, 3/31/09)
|
0.270%
|
3/2/09
|
763,867
|
763,867
|
|
Greenwich Capital Markets, Inc.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $177,004,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Bank
|
|
|
|
|
|
4.375%–4.875%, 3/17/10–6/12/15, Federal
|
|
|
|
|
|
Home Loan Mortgage Corp. 4.125%,
|
|
|
|
|
|
7/12/10–9/27/13, and Federal National
|
|
|
|
|
|
Mortgage Assn. 3.875%–7.125%,
|
|
|
|
|
|
2/15/10–11/15/30)
|
0.280%
|
3/2/09
|
177,000
|
177,000
|
|
J.P. Morgan Securities Inc.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $412,009,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Mortgage
|
|
|
|
|
|
Corp. Discount Note, 4/6/09–9/15/09)
|
0.270%
|
3/2/09
|
412,000
|
412,000
|
|
RBC Capital Markets Corp.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $102,002,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Mortgage
|
|
|
|
|
|
Corp. 5.625%, 3/15/11, and Federal National
|
|
|
|
|
|
Mortgage Assn. 6.375%, 6/15/09)
|
0.290%
|
3/2/09
|
102,000
|
102,000
|
|
Societe Generale
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $163,004,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Bank 5.000%,
|
|
|
|
|
|
11/17/17, Federal National Mortgage Assn.
|
|
|
|
|
|
Discount Note, 7/8/09, and Federal National
|
|
|
|
|
|
Mortgage Assn. 1.750%, 3/23/11)
|
0.280%
|
3/2/09
|
163,000
|
163,000
|
|
UBS Securities LLC
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $44,001,000,
|
|
|
|
|
|
collateralized by Federal Home Loan Mortgage
|
|
|
|
|
|
Corp. 5.500%, 8/20/12, and Federal National
|
|
|
|
|
|
Mortgage Assn. 2.000%–3.625%, 1/9/12–2/12/13)
|
0.270%
|
3/2/09
|
44,000
|
44,000
|
|
Total Repurchase Agreements (Cost $2,795,867)
|
|
|
|
2,795,867
|
|
Total Investments (99.4%) (Cost $117,524,314)
|
|
|
|
117,524,314
|
17
Prime Money Market Fund
|
|
Market
|
|
|
Value
•
|
|
|
($000)
|
|
Other Assets and Liabilities (0.6%)
|
|
|
Other Assets
|
1,032,737
|
|
Liabilities
|
(280,743)
|
|
|
751,994
|
|
Net Assets (100%)
|
118,276,308
|
|
|
|
|
|
|
|
|
|
|
At February 28, 2009, net assets consisted of:
|
|
|
|
Amount
|
|
|
($000)
|
|
Paid-in Capital
|
118,262,243
|
|
Undistributed Net Investment Income
|
—
|
|
Accumulated Net Realized Gains
|
14,065
|
|
Net Assets
|
118,276,308
|
|
|
|
|
|
|
|
Investor Shares—Net Assets
|
|
|
Applicable to 100,511,619,413 outstanding $.001 par value shares of
|
|
|
beneficial interest (unlimited authorization)
|
100,523,762
|
|
Net Asset Value Per Share—Investor Shares
|
$1.00
|
|
|
|
|
|
|
|
Institutional Shares—Net Assets
|
|
|
Applicable to 17,750,629,508 outstanding $.001 par value shares of
|
|
|
beneficial interest (unlimited authorization)
|
17,752,546
|
|
Net Asset Value Per Share—Institutional Shares
|
$1.00
|
• 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 Adjustable-rate security.
3 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
4 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At February 28, 2009, the aggregate value of these securities was $7,588,233,000, representing 6.4% of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Prime Money Market Fund
Statement of Operations
|
|
Six Months Ended
|
|
|
February 28, 2009
|
|
|
($000)
|
|
Investment Income
|
|
|
Income
|
|
|
Interest
|
1,307,447
|
|
Total Income
|
1,307,447
|
|
Expenses
|
|
|
The Vanguard Group—Note B
|
|
|
Investment Advisory Services
|
5,273
|
|
Management and Administrative—Investor Shares
|
92,376
|
|
Management and Administrative—Institutional Shares
|
4,014
|
|
Marketing and Distribution—Investor Shares
|
14,288
|
|
Marketing and Distribution—Institutional Shares
|
2,122
|
|
Money Market Guarantee Program
|
15,543
|
|
Custodian Fees
|
808
|
|
Auditing Fees
|
1
|
|
Shareholders’ Reports—Investor Shares
|
511
|
|
Shareholders’ Reports—Institutional Shares
|
19
|
|
Trustees’ Fees and Expenses
|
56
|
|
Total Expenses
|
135,011
|
|
Net Investment Income
|
1,172,436
|
|
Realized Net Gain (Loss) on Investment Securities Sold
|
10,759
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
1,183,195
|
See accompanying Notes, which are an integral part of the Financial Statements.
19
Prime Money Market Fund
Statement of Changes in Net Assets
|
|
Six Months Ended
|
|
Year Ended
|
|
|
February 28,
|
|
August 31,
|
|
|
2009
|
|
2008
|
|
|
($000)
|
|
($000)
|
|
Increase (Decrease) in Net Assets
|
|
|
|
|
Operations
|
|
|
|
|
Net Investment Income
|
1,172,436
|
|
3,623,514
|
|
Realized Net Gain (Loss)
|
10,759
|
|
8,193
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
1,183,195
|
|
3,631,707
|
|
Distributions
|
|
|
|
|
Net Investment Income
|
|
|
|
|
Investor Shares
|
(1,006,557)
|
|
(3,177,270)
|
|
Institutional Shares
|
(165,879)
|
|
(446,244)
|
|
Realized Capital Gain
|
|
|
|
|
Investor Shares
|
—
|
|
—
|
|
Institutional Shares
|
—
|
|
—
|
|
Total Distributions
|
(1,172,436)
|
|
(3,623,514)
|
|
Capital Share Transactions
|
|
|
|
|
Investor Shares
|
8,030,984
|
|
8,424,398
|
|
Institutional Shares
|
3,907,403
|
|
3,820,996
|
|
Net Increase (Decrease) from Capital Share Transactions
|
11,938,387
|
|
12,245,394
|
|
Total Increase (Decrease)
|
11,949,146
|
|
12,253,587
|
|
Net Assets
|
|
|
|
|
Beginning of Period
|
106,327,162
|
|
94,073,575
|
|
End of Period
|
118,276,308
|
|
106,327,162
|
See accompanying Notes, which are an integral part of the Financial Statements.
20
Prime Money Market Fund
Financial Highlights
|
Investor Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
|
Ended
|
|
|
|
|
For a Share Outstanding
|
February 28,
|
Year Ended August 31,
|
|
Throughout Each Period
|
2009
|
2008
|
2007
|
2006
|
2005
|
2004
|
|
Net Asset Value, Beginning of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
Investment Operations
|
|
|
|
|
|
|
|
Net Investment Income
|
.011
|
.035
|
.051
|
.043
|
.023
|
.008
|
|
Net Realized and Unrealized Gain
|
|
|
|
|
|
|
|
(Loss)on Investments
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total from Investment Operations
|
.011
|
.035
|
.051
|
.043
|
.023
|
.008
|
|
Distributions
|
|
|
|
|
|
|
|
Dividends from Net Investment Income
|
(.011)
|
(.035)
|
(.051)
|
(.043)
|
(.023)
|
(.008)
|
|
Distributions from Realized Capital Gains
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total Distributions
|
(.011)
|
(.035)
|
(.051)
|
(.043)
|
(.023)
|
(.008)
|
|
Net Asset Value, End of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
1
|
1.09%
|
3.60%
|
5.23%
|
4.38%
|
2.31%
|
0.83%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions)
|
$100,524
|
$92,483
|
$84,052
|
$64,578
|
$46,454
|
$43,884
|
|
Ratio of Total Expenses to
|
|
|
|
|
|
|
|
Average Net Assets
|
0.28%
2,3
|
0.23%
|
0.24%
|
0.29%
|
0.30%
|
0.30%
|
|
Ratio of Net Investment Income to
|
|
|
|
|
|
|
|
Average Net Assets
|
2.17%
2
|
3.49%
|
5.10%
|
4.33%
|
2.29%
|
0.82%
|
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Annualized.
3 Includes 0.04% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds. See Note E in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Prime Money Market Fund
Financial Highlights
|
Institutional Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
|
Ended
|
|
|
|
|
For a Share Outstanding
|
February 28,
|
Year Ended August 31,
|
|
Throughout Each Period
|
2009
|
2008
|
2007
|
2006
|
2005
|
2004
|
|
Net Asset Value, Beginning of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
Investment Operations
|
|
|
|
|
|
|
|
Net Investment Income
|
.012
|
.037
|
.053
|
.045
|
.025
|
.010
|
|
Net Realized and Unrealized Gain
|
|
|
|
|
|
|
|
(Loss)on Investments
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total from Investment Operations
|
.012
|
.037
|
.053
|
.045
|
.025
|
.010
|
|
Distributions
|
|
|
|
|
|
|
|
Dividends from Net Investment Income
|
(.012)
|
(.037)
|
(.053)
|
(.045)
|
(.025)
|
(.010)
|
|
Distributions from Realized Capital Gains
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total Distributions
|
(.012)
|
(.037)
|
(.053)
|
(.045)
|
(.025)
|
(.010)
|
|
Net Asset Value, End of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
|
1.16%
|
3.75%
|
5.39%
|
4.58%
|
2.52%
|
1.05%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions)
|
$17,753
|
$13,844
|
$10,022
|
$6,269
|
$5,764
|
$5,301
|
|
Ratio of Total Expenses to
|
|
|
|
|
|
|
|
Average Net Assets
|
0.13%
1,2
|
0.08%
|
0.08%
|
0.09%
|
0.09%
|
0.09%
|
|
Ratio of Net Investment Income to
|
|
|
|
|
|
|
|
Average Net Assets
|
2.32%
1
|
3.64%
|
5.26%
|
4.53%
|
2.51%
|
1.05%
|
1 Annualized.
2 Includes 0.04% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds. See Note E in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Prime Money Market Fund
Notes to Financial Statements
Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares, Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million.
A.
The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund may invest in repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
3. 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 on federal income tax returns for all open tax years (tax years ended August 31, 2005–2008) and for the period ended February 28, 2009, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Dividends from net investment income are declared daily and paid on the first business day of the following month.
5. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.
The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2009, the fund had contributed capital of $30,473,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 12.19% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
23
Prime Money Market Fund
C.
Capital share transactions for each class of shares were:
|
|
Six Months Ended
|
|
Year Ended
|
|
|
February 28, 2009
|
August 31, 2008
|
|
|
Amount
|
Shares
|
|
Amount
|
Shares
|
|
|
($000)
|
(000)
|
|
($000)
|
(000)
|
|
Investor Shares
|
|
|
|
|
|
|
Issued
|
62,507,878
|
62,507,878
|
|
106,732,520
|
106,732,520
|
|
Issued in Lieu of Cash Distributions
|
975,278
|
975,278
|
|
3,079,532
|
3,079,532
|
|
Redeemed
|
(55,452,172)
|
(55,452,172)
|
|
(101,387,654)
|
(101,387,654)
|
|
Net Increase (Decrease)—Investor Shares
|
8,030,984
|
8,030,984
|
|
8,424,398
|
8,424,398
|
|
Institutional Shares
|
|
|
|
|
|
|
Issued
|
12,150,400
|
12,150,400
|
|
18,040,054
|
18,040,054
|
|
Issued in Lieu of Cash Distributions
|
158,491
|
158,491
|
|
424,301
|
424,301
|
|
Redeemed
|
(8,401,488)
|
(8,401,488)
|
|
(14,643,359)
|
(14,643,359)
|
|
Net Increase (Decrease)—Institutional Shares
|
3,907,403
|
3,907,403
|
|
3,820,996
|
3,820,996
|
D.
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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).
At February 28, 2009, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
E.
On October 7, 2008, the board of trustees approved the fund’s participation in a temporary program introduced by the U.S. Treasury to guarantee the account values of shareholders in a money market fund in the event the fund’s net asset value falls below $0.995 and the fund’s trustees decide to liquidate the fund. The program covers the lesser of a shareholder’s account value on September 19, 2008, or on the date of liquidation. To participate, the fund was required to pay a fee of 0.01% of its net assets as of September 19, 2008, for coverage through December 18, 2008. In December 2008, the U.S. Treasury extended the program through April 30, 2009, and the fund’s trustees approved the fund’s continuing participation in the program at a cost of an additional 0.015% of its net assets as of September 19, 2008.
24
Prime Money Market Fund
In March 2009, the U.S. Treasury extended the program through September 18, 2009, and the fund’s trustees approved the fund’s continuing participation in the program at a cost of an additional 0.015% of its net assets as of September 19, 2008.
25
Federal Money Market Fund
|
Fund Profile
|
|
|
As of February 28, 2009
|
|
|
|
|
|
Financial Attributes
|
|
|
|
|
|
Yield
1
|
0.83%
|
|
Average Weighted Maturity
|
81 days
|
|
Average Quality
2
|
Aaa
|
|
Expense Ratio
3
|
0.28%
|
|
Distribution by Credit Quality
2
(% of portfolio)
|
|
|
|
|
Aaa
|
100.0%
|
|
Sector Diversification (% of portfolio)
|
|
|
|
|
|
U.S. Government/Agency
|
90.3%
|
|
Other
|
9.7
|
1 7-day SEC yield. See the Glossary.
2 Moody’s Investors Service.
3 The expense ratio shown is from the prospectus dated December 29, 2008, and represents estimated costs for the current fiscal year based on the fund's current net assets. For the six months ended February 28, 2009, the annualized expense ratio was 0.27%.
26
Federal Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.)
The returns shown do not reflect taxes that a shareholder would pay on fund distributions.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund.
(For details on the fund’s participation in the U.S. Treasury’s temporary guarantee program, please see
the note on page 7.) The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
|
Fiscal-Year Total Returns (%): August 31, 1998–February 28, 2009
|
|
|
|
|
Federal Money
|
|
|
Fiscal
|
Market Fund
|
Average Fund
|
|
Year
|
Total Return
|
Total Return
1
|
|
1999
|
4.9%
|
4.4%
|
|
2000
|
5.8
|
5.3
|
|
2001
|
5.4
|
4.8
|
|
2002
|
2.1
|
1.5
|
|
2003
|
1.1
|
0.7
|
|
2004
|
0.8
|
0.4
|
|
2005
|
2.3
|
1.7
|
|
2006
|
4.3
|
3.8
|
|
2007
|
5.2
|
4.6
|
|
2008
|
3.5
|
2.7
|
|
2009
2
|
0.9
|
0.4
|
|
7-day SEC yield (2/28/2009): 0.83%
|
|
|
Average Annual Total Returns: Periods Ended December 31, 2008
This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
|
|
Inception Date
|
One Year
|
Five Years
|
Ten Years
|
|
Federal Money Market Fund
3
|
7/13/1981
|
2.53%
|
3.28%
|
3.42%
|
1 Returns for the Average Government Money Market Fund are derived from data provided by Lipper Inc.
2 Six months ended February 28, 2009.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000. Note: See Financial Highlights tables for dividend information.
27
Federal Money Market Fund
Financial Statements
(unaudited)
Statement of Net Assets
As of February 28, 2009
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
|
Face
|
Market
|
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
U.S. Government and Agency Obligations (90.2%)
|
|
|
|
|
2,3
|
Federal Home Loan Bank
|
2.076%
|
3/5/09
|
70,000
|
70,000
|
|
2
|
Federal Home Loan Bank
|
0.250%
|
3/12/09
|
100,000
|
99,992
|
|
2
|
Federal Home Loan Bank
|
2.511%
|
3/13/09
|
124,000
|
123,897
|
|
2,3
|
Federal Home Loan Bank
|
1.466%
|
3/29/09
|
600,000
|
600,000
|
|
2,3
|
Federal Home Loan Bank
|
1.223%
|
4/6/09
|
386,150
|
385,786
|
|
2
|
Federal Home Loan Bank
|
0.350%
|
4/17/09
|
200,000
|
199,909
|
|
2
|
Federal Home Loan Bank
|
3.045%
|
4/21/09
|
260,354
|
259,247
|
|
2
|
Federal Home Loan Bank
|
1.512%
|
5/11/09
|
100,000
|
99,704
|
|
2
|
Federal Home Loan Bank
|
0.300%–1.816%
|
5/13/09
|
240,000
|
239,580
|
|
2
|
Federal Home Loan Bank
|
0.441%
|
5/15/09
|
97,900
|
97,810
|
|
2
|
Federal Home Loan Bank
|
0.250%–0.451%
|
5/18/09
|
329,870
|
329,674
|
|
2
|
Federal Home Loan Bank
|
0.451%
|
7/13/09
|
100,000
|
99,833
|
|
2
|
Federal Home Loan Bank
|
0.805%–0.835%
|
11/18/09
|
386,892
|
384,608
|
|
2
|
Federal Home Loan Bank
|
0.825%
|
11/23/09
|
56,500
|
56,156
|
|
2
|
Federal Home Loan Bank
|
0.836%
|
12/1/09
|
50,000
|
49,683
|
|
2
|
Federal Home Loan Bank
|
0.857%
|
12/29/09
|
100,000
|
99,285
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.306%
|
3/2/09
|
100,000
|
99,996
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.865%
|
3/9/09
|
100,000
|
99,959
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.250%–1.913%
|
3/18/09
|
94,600
|
94,530
|
|
2
|
Federal Home Loan Mortgage Corp.
|
3.242%
|
3/30/09
|
225,000
|
224,422
|
|
2
|
Federal Home Loan Mortgage Corp.
|
2.784%
|
4/7/09
|
50,000
|
49,859
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.350%
|
4/20/09
|
39,643
|
39,624
|
|
2
|
Federal Home Loan Mortgage Corp.
|
2.944%
|
5/1/09
|
250,000
|
248,772
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.481%
|
5/11/09
|
100,000
|
99,710
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.207%
|
5/15/09
|
125,000
|
124,688
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.816%
|
5/18/09
|
14,824
|
14,766
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.766%
|
5/27/09
|
250,000
|
248,943
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.451%
|
5/29/09
|
12,749
|
12,735
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.451%
|
6/1/09
|
50,000
|
49,943
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.410%
|
6/2/09
|
94,942
|
94,599
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.501%
|
6/15/09
|
381,600
|
381,038
|
|
2
|
Federal Home Loan Mortgage Corp.
|
1.412%
|
6/23/09
|
150,000
|
149,335
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.441%–1.056%
|
6/25/09
|
235,000
|
234,347
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.401%
|
6/30/09
|
100,000
|
99,866
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.401%–0.652%
|
7/6/09
|
191,100
|
190,716
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.572%
|
7/7/09
|
50,000
|
49,899
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.441%–0.461%
|
7/8/09
|
200,600
|
200,272
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.653%
|
7/9/09
|
40,975
|
40,879
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.572%
|
7/27/09
|
150,000
|
149,649
|
28
Federal Money Market Fund
|
|
|
|
|
Face
|
Market
|
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.693%
|
9/14/09
|
200,000
|
199,245
|
|
2
|
Federal Home Loan Mortgage Corp.
|
0.805%
|
12/7/09
|
24,489
|
24,336
|
|
2
|
Federal National Mortgage Assn.
|
2.428%–2.747%
|
3/4/09
|
200,606
|
200,564
|
|
2
|
Federal National Mortgage Assn.
|
1.468%–3.242%
|
4/1/09
|
241,826
|
241,228
|
|
2
|
Federal National Mortgage Assn.
|
0.350%
|
4/3/09
|
100,000
|
99,968
|
|
2,3
|
Federal National Mortgage Assn.
|
1.024%
|
4/28/09
|
200,000
|
199,822
|
|
2
|
Federal National Mortgage Assn.
|
1.501%
|
5/13/09
|
157,418
|
156,942
|
|
2
|
Federal National Mortgage Assn.
|
2.328%
|
5/14/09
|
100,000
|
99,527
|
|
2
|
Federal National Mortgage Assn.
|
0.401%
|
5/20/09
|
43,000
|
42,962
|
|
2
|
Federal National Mortgage Assn.
|
0.300%
|
5/26/09
|
200,000
|
199,857
|
|
2
|
Federal National Mortgage Assn.
|
1.817%
|
5/29/09
|
10,000
|
9,956
|
|
2
|
Federal National Mortgage Assn.
|
1.767%
|
6/1/09
|
250,000
|
248,882
|
|
2
|
Federal National Mortgage Assn.
|
0.451%–0.501%
|
6/3/09
|
79,750
|
79,649
|
|
2
|
Federal National Mortgage Assn.
|
0.501%
|
6/8/09
|
15,000
|
14,979
|
|
2
|
Federal National Mortgage Assn.
|
0.451%–0.501%
|
6/10/09
|
52,390
|
52,319
|
|
2
|
Federal National Mortgage Assn.
|
0.351%–0.501%
|
6/17/09
|
146,000
|
145,826
|
|
2
|
Federal National Mortgage Assn.
|
1.310%
|
6/22/09
|
265,000
|
263,919
|
|
2
|
Federal National Mortgage Assn.
|
0.451%
|
7/1/09
|
55,069
|
54,985
|
|
2
|
Federal National Mortgage Assn.
|
0.451%
|
7/2/09
|
21,200
|
21,167
|
|
2
|
Federal National Mortgage Assn.
|
0.505%–0.551%
|
7/22/09
|
157,730
|
157,404
|
|
2
|
Federal National Mortgage Assn.
|
0.531%
|
7/29/09
|
100,000
|
99,779
|
|
2
|
Federal National Mortgage Assn.
|
0.734%
|
10/16/09
|
20,893
|
20,796
|
|
2
|
Federal National Mortgage Assn.
|
0.845%
|
11/9/09
|
75,000
|
74,557
|
|
2
|
Federal National Mortgage Assn.
|
0.857%
|
12/14/09
|
60,000
|
59,592
|
|
|
U.S. Treasury Bill
|
1.908%
|
3/5/09
|
300,000
|
299,937
|
|
|
U.S. Treasury Bill
|
0.205%–0.290%
|
3/26/09
|
900,000
|
899,848
|
|
|
U.S. Treasury Bill
|
0.330%
|
5/7/09
|
200,000
|
199,877
|
|
|
U.S. Treasury Bill
|
0.391%
|
8/6/09
|
100,000
|
99,829
|
|
|
U.S. Treasury Bill
|
0.481%
|
8/13/09
|
375,000
|
374,175
|
|
Total U.S. Government and Agency Obligations (Cost $10,835,638)
|
|
10,835,638
|
|
Repurchase Agreements (9.6%)
|
|
|
|
|
|
|
Banc of America Securities, LLC
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $47,001,000 collateralized by U.S. Treasury
|
|
|
|
|
|
Note 0.875%,1/31/11)
|
0.240%
|
3/2/09
|
47,000
|
47,000
|
|
|
Barclays Capital Inc.
|
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $109,002,000
|
|
|
|
|
|
collateralized by U.S. Treasury Note 1.500%,
|
|
|
|
|
|
10/31/10)
|
0.250%
|
3/2/09
|
109,000
|
109,000
|
|
|
BNP Paribas Securities Corp.
|
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $157,004,000
|
|
|
|
|
|
collateralized by Federal Home Loan Mortgage
|
|
|
|
|
|
Corp. 4.500%, 1/15/13, Federal National Mortgage
|
|
|
|
|
|
Assn. 5.000%, 2/13/17)
|
0.270%
|
3/2/09
|
157,000
|
157,000
|
|
|
Credit Suisse Securities (USA), LLC
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $78,002,000
|
|
|
|
|
|
collateralized by U.S. Treasury Bill 0.000%,
|
|
|
|
|
|
2/11/10)
|
0.250%
|
3/2/09
|
78,000
|
78,000
|
|
|
Deutsche Bank Securities, Inc.
|
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $360,008,000
|
|
|
|
|
|
collateralized by Federal Home Loan Bank 5.250%,
|
|
|
|
|
|
8/5/09, Federal Home Loan Mortgage Corp.
|
|
|
|
|
|
Discount Note, 9/15/09, Federal Home Loan
|
|
|
|
|
|
Mortgage Corp. 2.125%, 3/23/12)
|
0.270%
|
3/2/09
|
360,000
|
360,000
|
29
Federal Money Market Fund
|
|
|
|
Face
|
Market
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
Greenwich Capital Markets, Inc.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $78,002,000
|
|
|
|
|
collateralized by Federal Home Loan Bank 4.625%,
|
|
|
|
|
6/12/15, Federal National Mortgage Assn.
|
|
|
|
|
2.875%–6.625%, 10/12/10–11/15/30)
|
0.280%
|
3/2/09
|
78,000
|
78,000
|
|
J.P. Morgan Securities Inc.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $157,004,000
|
|
|
|
|
collateralized by Federal Home Loan Mortgage
|
|
|
|
|
Corp. Discount Note, 3/31/09–7/20/09)
|
0.270%
|
3/2/09
|
157,000
|
157,000
|
|
RBC Capital Markets Corp.
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $39,001,000
|
|
|
|
|
collateralized by Federal Home Loan Bank
|
|
|
|
|
4.625%–5.125%, 10/19/16–6/12/20)
|
0.290%
|
3/2/09
|
39,000
|
39,000
|
|
Societe Generale
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $23,789,000
|
|
|
|
|
collateralized by U.S. Treasury Bill 0.000%,
|
|
|
|
|
8/27/09)
|
0.250%
|
3/2/09
|
23,789
|
23,789
|
|
Societe Generale
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $63,001,000
|
|
|
|
|
collateralized by Federal National Mortgage Assn.
|
|
|
|
|
Discount Note, 3/5/09)
|
0.280%
|
3/2/09
|
63,000
|
63,000
|
|
UBS Securities LLC
|
|
|
|
|
|
(Dated 2/27/09, Repurchase Value $47,001,000
|
|
|
|
|
collateralized by Federal National Mortgage
|
|
|
|
|
Assn. 2.750%–5.375%, 4/11/11–7/15/16)
|
0.270%
|
3/2/09
|
47,000
|
47,000
|
|
Total Repurchase Agreements (Cost $1,158,789)
|
|
|
1,158,789
|
|
Total Investments (99.8%) (Cost $11,994,427)
|
|
|
11,994,427
|
|
Other Assets and Liabilities (0.2%)
|
|
|
|
|
|
Other Assets
|
|
|
|
78,258
|
|
Liabilities
|
|
|
|
(59,045)
|
|
|
|
|
|
19,213
|
|
Net Assets (100%)
|
|
|
|
|
|
Applicable to 12,013,463,592 outstanding $.001 par
|
|
|
|
|
value shares of beneficial interest (unlimited authorization)
|
|
12,013,640
|
|
Net Asset Value Per Share
|
|
|
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At February 28, 2009, net assets consisted of:
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
($000)
|
|
Paid-in Capital
|
|
|
|
12,013,475
|
|
Undistributed Net Investment Income
|
|
|
|
—
|
|
Accumulated Net Realized Gains
|
|
|
|
165
|
|
Net Assets
|
|
|
|
12,013,640
|
• 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 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Federal Money Market Fund
Statement of Operations
|
|
Six Months Ended
|
|
|
February 28, 2009
|
|
|
($000)
|
|
Investment Income
|
|
|
Income
|
|
|
Interest
|
104,479
|
|
Total Income
|
104,479
|
|
Expenses
|
|
|
The Vanguard Group—Note B
|
|
|
Investment Advisory Services
|
492
|
|
Management and Administrative
|
10,740
|
|
Marketing and Distribution
|
1,497
|
|
Money Market Guarantee Program
|
1,365
|
|
Custodian Fees
|
48
|
|
Auditing Fees
|
1
|
|
Shareholders’ Reports
|
16
|
|
Trustees’ Fees and Expenses
|
5
|
|
Total Expenses
|
14,164
|
|
Net Investment Income
|
90,315
|
|
Realized Net Gain (Loss) on Investment Securities Sold
|
149
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
90,464
|
See accompanying Notes, which are an integral part of the Financial Statements.
31
Federal Money Market Fund
Statement of Changes in Net Assets
|
|
Six Months Ended
|
|
Year Ended
|
|
|
February 28,
|
|
August 31,
|
|
|
2009
|
|
2008
|
|
|
($000)
|
|
($000)
|
|
Increase (Decrease) in Net Assets
|
|
|
|
|
Operations
|
|
|
|
|
Net Investment Income
|
90,315
|
|
292,078
|
|
Realized Net Gain (Loss)
|
149
|
|
54
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
90,464
|
|
292,132
|
|
Distributions
|
|
|
|
|
Net Investment Income
|
(90,315)
|
|
(292,078)
|
|
Realized Capital Gain
|
—
|
|
—
|
|
Total Distributions
|
(90,315)
|
|
(292,078)
|
|
Capital Share Transactions (at $1.00)
|
|
|
|
|
Issued
|
9,441,273
|
|
10,018,883
|
|
Issued in Lieu of Cash Distributions
|
86,859
|
|
282,195
|
|
Redeemed
|
(6,496,820)
|
|
(8,991,301)
|
|
Net Increase (Decrease) from Capital Share Transactions
|
3,031,312
|
|
1,309,777
|
|
Total Increase (Decrease)
|
3,031,461
|
|
1,309,831
|
|
Net Assets
|
|
|
|
|
Beginning of Period
|
8,982,179
|
|
7,672,348
|
|
End of Period
|
12,013,640
|
|
8,982,179
|
See accompanying Notes, which are an integral part of the Financial Statements.
32
Federal Money Market Fund
Financial Highlights
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
|
Ended
|
|
|
|
|
For a Share Outstanding
|
February 28,
|
Year Ended August 31,
|
|
Throughout Each Period
|
2009
|
2008
|
2007
|
2006
|
2005
|
2004
|
|
Net Asset Value, Beginning of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
Investment Operations
|
|
|
|
|
|
|
|
Net Investment Income
|
.009
|
.034
|
.051
|
.042
|
.022
|
.008
|
|
Net Realized and Unrealized Gain (Loss)
|
|
|
|
|
|
|
|
on Investments
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total from Investment Operations
|
.009
|
.034
|
.051
|
.042
|
.022
|
.008
|
|
Distributions
|
|
|
|
|
|
|
|
Dividends from Net Investment Income
|
(.009)
|
(.034)
|
(.051)
|
(.042)
|
(.022)
|
(.008)
|
|
Distributions from Realized Capital Gains
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total Distributions
|
(.009)
|
(.034)
|
(.051)
|
(.042)
|
(.022)
|
(.008)
|
|
Net Asset Value, End of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
1
|
0.88%
|
3.46%
|
5.17%
|
4.31%
|
2.26%
|
0.82%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions)
|
$12,014
|
$8,982
|
$7,672
|
$6,360
|
$5,507
|
$5,575
|
|
Ratio of Total Expenses to
|
|
|
|
|
|
|
|
Average Net Assets
|
0.27%
2,3
|
0.23%
|
0.24%
|
0.29%
|
0.30%
|
0.30%
|
|
Ratio of Net Investment Income to
|
|
|
|
|
|
|
|
Average Net Assets
|
1.73%
2
|
3.33%
|
5.05%
|
4.25%
|
2.23%
|
0.81%
|
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Annualized.
3 Includes 0.02% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds. See Note D in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
33
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
A.
The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund may invest in repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
3. 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 on federal income tax returns for all open tax years (tax years ended August 31, 2005–2008) and for the period ended February 28, 2009, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Dividends from net investment income are declared daily and paid on the first business day of the following month.
5. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B.
The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2009, the fund had contributed capital of $3,087,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 1.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C.
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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).
34
Federal Money Market Fund
At February 28, 2009, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D.
On October 7, 2008, the board of trustees approved the fund’s participation in a temporary program introduced by the U.S. Treasury to guarantee the account values of shareholders in a money market fund in the event the fund’s net asset value falls below $0.995 and the fund’s trustees decide to liquidate the fund. The program covers the lesser of a shareholder’s account value on September 19, 2008, or on the date of liquidation. To participate, the fund was required to pay a fee of 0.01% of its net assets as of September 19, 2008, for coverage through December 18, 2008. In December 2008, the U.S. Treasury extended the program through April 30, 2009, and the fund’s trustees approved the fund’s continuing participation in the program at a cost of an additional 0.015% of its net assets as of September 19, 2008. In March 2009, the U.S. Treasury extended
the program through September 18, 2009. The fund’s trustees elected to discontinue the fund’s participation in the program effective April 30, 2009.
35
Treasury Money Market Fund
Fund Profile
As of February 28, 2009
|
Financial Attributes
|
|
|
|
|
|
Yield
1
|
0.26%
|
|
Average Weighted Maturity
|
80 days
|
|
Average Quality
2
|
Aaa
|
|
Expense Ratio
3
|
0.28%
|
|
Distribution by Credit Quality
2
(% of portfolio)
|
|
|
|
|
Aaa
|
100.0%
|
|
Sector Diversification (% of portfolio)
|
|
|
|
|
|
Treasury
|
100.0%
|
1 7-day SEC yield. See the Glossary.
2 Moody’s Investors Service.
3 The expense ratio shown is from the prospectus dated December 29, 2008, and represents estimated costs for the current fiscal year based on the fund's current net assets. For the six months ended February 28, 2009, the annualized expense ratio was 0.27%.
36
Treasury Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.)
The returns shown do not reflect taxes that a shareholder would pay on fund distributions.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund.
(For details on the fund’s participation in the U.S. Treasury’s temporary guarantee program, please see
the note on page 7.) The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
|
Fiscal-Year Total Returns (%): August 31, 1998–February 28, 2009
|
|
|
|
|
|
Fiscal
|
Treasury Money
|
Average
|
|
Year
|
Market Fund
|
Fund
1
|
|
1999
|
4.5%
|
4.2%
|
|
2000
|
5.4
|
5.0
|
|
2001
|
5.1
|
4.7
|
|
2002
|
2.0
|
1.6
|
|
2003
|
1.0
|
0.7
|
|
2004
|
0.7
|
0.4
|
|
2005
|
2.1
|
1.6
|
|
2006
|
4.1
|
3.5
|
|
2007
|
4.9
|
4.3
|
|
2008
|
2.9
|
2.1
|
|
2009
2
|
0.5
|
0.2
|
|
7-day SEC yield (2/28/2009): 0.26%
|
|
|
Average Annual Total Returns: Periods Ended December 31, 2008
This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
|
|
Inception Date
|
One Year
|
Five Years
|
Ten Years
|
|
Treasury Money Market Fund
3
|
3/9/1983
|
1.97%
|
2.98%
|
3.15%
|
1 Derived from iMoneyNet Money Fund Report’s Average 100% Treasury Fund.
2 Six months ended February 28, 2009.
3 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
Note: See Financial Highlights table for dividend information.
37
Treasury Money Market Fund
Financial Statements
(unaudited)
Statement of Net Assets
As of February 28, 2009
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
Face
|
Market
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
U.S. Government Securities (99.7%)
|
|
|
|
|
|
U.S. Treasury Bill
|
0.050%
|
3/5/09
|
353,425
|
353,423
|
|
U.S. Treasury Bill
|
0.005%–0.063%
|
3/12/09
|
346,029
|
346,028
|
|
U.S. Treasury Bill
|
0.100%–1.562%
|
3/19/09
|
430,432
|
430,298
|
|
U.S. Treasury Bill
|
0.100%
|
4/2/09
|
711,962
|
711,899
|
|
U.S. Treasury Bill
|
0.150%
|
4/9/09
|
440,000
|
439,929
|
|
U.S. Treasury Bill
|
0.120%–1.106%
|
4/16/09
|
194,517
|
194,292
|
|
U.S. Treasury Bill
|
0.140%
|
4/23/09
|
600,000
|
599,876
|
|
U.S. Treasury Bill
|
1.289%
|
4/29/09
|
115,000
|
114,759
|
|
U.S. Treasury Bill
|
1.410%
|
4/30/09
|
875,000
|
872,958
|
|
U.S. Treasury Bill
|
1.106%
|
5/7/09
|
229,000
|
228,531
|
|
U.S. Treasury Bill
|
0.995%
|
5/14/09
|
353,000
|
352,282
|
|
U.S. Treasury Bill
|
0.844%
|
5/21/09
|
450,000
|
449,149
|
|
U.S. Treasury Bill
|
0.491%
|
5/28/09
|
390,000
|
389,533
|
|
U.S. Treasury Bill
|
0.270%
|
6/18/09
|
150,000
|
149,877
|
|
U.S. Treasury Bill
|
0.285%
|
6/25/09
|
405,000
|
404,628
|
|
U.S. Treasury Bill
|
0.250%
|
7/2/09
|
261,000
|
260,777
|
|
U.S. Treasury Bill
|
0.346%
|
7/30/09
|
275,000
|
274,602
|
|
U.S. Treasury Bill
|
0.391%
|
8/6/09
|
262,000
|
261,552
|
|
U.S. Treasury Bill
|
0.481%
|
8/13/09
|
212,000
|
211,534
|
|
U.S. Treasury Bill
|
0.470%–0.471%
|
8/20/09
|
466,382
|
465,335
|
|
U.S. Treasury Bill
|
0.485%–0.496%
|
8/27/09
|
306,906
|
306,151
|
|
Total U.S. Government Securities (Cost $7,817,413)
|
|
|
|
7,817,413
|
|
Other Assets and Liabilities (0.3%)
|
|
|
|
|
|
Other Assets
|
|
|
|
36,051
|
|
Liabilities
|
|
|
|
(15,080)
|
|
|
|
|
|
20,971
|
|
Net Assets (100%)
|
|
|
|
|
|
Applicable to 7,837,805,390 outstanding $.001 par value shares of beneficial interest (unlimited authorization)
|
|
|
|
|
|
|
7,838,384
|
|
Net Asset Value Per Share
|
|
|
|
$1.00
|
38
Treasury Money Market Fund
|
At February 28, 2009, net assets consisted of:
|
|
|
|
Amount
|
|
|
($000)
|
|
Paid-in Capital
|
7,837,833
|
|
Undistributed Net Investment Income
|
—
|
|
Accumulated Net Realized Gains
|
551
|
|
Net Assets
|
7,838,384
|
• 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.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Treasury Money Market Fund
Statement of Operations
|
|
Six Months Ended
|
|
|
February 28, 2009
|
|
|
($000)
|
|
Investment Income
|
|
|
Income
|
|
|
Interest
|
51,724
|
|
Total Income
|
51,724
|
|
Expenses
|
|
|
The Vanguard Group—Note B
|
|
|
Investment Advisory Services
|
390
|
|
Management and Administrative
|
8,087
|
|
Marketing and Distribution
|
1,181
|
|
Money Market Guarantee Program
|
1,103
|
|
Custodian Fees
|
47
|
|
Auditing Fees
|
1
|
|
Shareholders’ Reports
|
25
|
|
Trustees’ Fees and Expenses
|
4
|
|
Total Expenses
|
10,838
|
|
Net Investment Income
|
40,886
|
|
Realized Net Gain (Loss) on Investment Securities Sold
|
345
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
41,231
|
See accompanying Notes, which are an integral part of the Financial Statements.
40
Treasury Money Market Fund
Statement of Changes in Net Assets
|
|
Six Months Ended
|
|
Year Ended
|
|
|
February 28,
|
|
August 31,
|
|
|
2009
|
|
2008
|
|
|
($000)
|
|
($000)
|
|
Increase (Decrease) in Net Assets
|
|
|
|
|
Operations
|
|
|
|
|
Net Investment Income
|
40,886
|
|
180,675
|
|
Realized Net Gain (Loss)
|
345
|
|
(283)
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
41,231
|
|
180,392
|
|
Distributions
|
|
|
|
|
Net Investment Income
|
(40,886)
|
|
(180,675)
|
|
Realized Capital Gain
|
—
|
|
—
|
|
Total Distributions
|
(40,886)
|
|
(180,675)
|
|
Capital Share Transactions (at $1.00)
|
|
|
|
|
Issued
|
4,880,355
|
|
6,279,590
|
|
Issued in Lieu of Cash Distributions
|
39,637
|
|
175,540
|
|
Redeemed
|
(3,970,272)
|
|
(5,457,898)
|
|
Net Increase (Decrease) from Capital Share Transactions
|
949,720
|
|
997,232
|
|
Total Increase (Decrease)
|
950,065
|
|
996,949
|
|
Net Assets
|
|
|
|
|
Beginning of Period
|
6,888,319
|
|
5,891,370
|
|
End of Period
|
7,838,384
|
|
6,888,319
|
See accompanying Notes, which are an integral part of the Financial Statements.
41
Treasury Money Market Fund
Financial Highlights
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
|
Ended
|
|
|
|
|
For a Share Outstanding
|
February 28,
|
Year Ended August 31,
|
|
Throughout Each Period
|
2009
|
2008
|
2007
|
2006
|
2005
|
2004
|
|
Net Asset Value, Beginning of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
Investment Operations
|
|
|
|
|
|
|
|
Net Investment Income
|
.005
|
.029
|
.048
|
.040
|
.021
|
.007
|
|
Net Realized and Unrealized Gain
|
|
|
|
|
|
|
|
(Loss)on Investments
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total from Investment Operations
|
.005
|
.029
|
.048
|
.040
|
.021
|
.007
|
|
Distributions
|
|
|
|
|
|
|
|
Dividends from Net Investment Income
|
(.005)
|
(.029)
|
(.048)
|
(.040)
|
(.021)
|
(.007)
|
|
Distributions from Realized Capital Gains
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total Distributions
|
(.005)
|
(.029)
|
(.048)
|
(.040)
|
(.021)
|
(.007)
|
|
Net Asset Value, End of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
1
|
0.51%
|
2.94%
|
4.88%
|
4.06%
|
2.12%
|
0.74%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions)
|
$7,838
|
$6,888
|
$5,891
|
$5,223
|
$4,558
|
$4,628
|
|
Ratio of Total Expenses to
|
|
|
|
|
|
|
|
Average Net Assets
|
0.27%
2,3
|
0.23%
|
0.24%
|
0.29%
|
0.30%
|
0.30%
|
|
Ratio of Net Investment Income to
|
|
|
|
|
|
|
|
Average Net Assets
|
1.02%
2
|
2.84%
|
4.76%
|
4.01%
|
2.10%
|
0.73%
|
1 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
2 Annualized.
3 Includes 0.02% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds. See Note D in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Treasury Money Market Fund
Notes to Financial Statements
Vanguard Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
A.
The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued at amortized cost, which approximates market value.
2. 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 on federal income tax returns for all open tax years (tax years ended August 31, 2005–2008) and for the period ended February 28, 2009, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Dividends from net investment income are declared daily and paid on the first business day of the following month.
4. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2009, the fund had contributed capital of $2,115,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 0.85% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C.
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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).
At February 28, 2009, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
43
Treasury Money Market Fund
D.
On October 7, 2008, the board of trustees approved the fund’s participation in a temporary program introduced by the U.S. Treasury to guarantee the account values of shareholders in a money market fund in the event the fund’s net asset value falls below $0.995 and the fund’s trustees decide to liquidate the fund. The program covers the lesser of a shareholder’s account value on September 19, 2008, or on the date of liquidation. To participate, the fund was required to pay a fee of 0.01% of its net assets as of September 19, 2008, for coverage through December 18, 2008. In December 2008, the U.S. Treasury extended the program through April 30, 2009, and the fund’s trustees approved the fund’s continuing participation in the program at a cost of an additional 0.015% of its net assets as of September 19, 2008. In March 2009, the U.S. Treasury extended
the program through September 18, 2009. The fund’s trustees elected to discontinue the fund’s participation in the program effective April 30, 2009.
44
Admiral Treasury Money Market Fund
Fund Profile
As of February 28, 2009
|
Financial Attributes
|
|
|
|
|
|
Yield
1
|
0.53%
|
|
Average Weighted Maturity
|
79 days
|
|
Average Quality
2
|
Aaa
|
|
Expense Ratio
3
|
0.15%
|
|
Distribution by Credit Quality
2
(% of portfolio)
|
|
|
|
|
Aaa
|
100.0%
|
|
Sector Diversification (% of portfolio)
|
|
|
|
|
|
Treasury
|
100.0%
|
1 7-day SEC yield. See the Glossary.
2 Moody’s Investors Service.
3 The expense ratio shown is from the prospectus dated December 29, 2008, and represents estimated costs for the current fiscal year based on the fund's current net assets. For the six months ended February 28, 2009, the annualized expense ratio was 0.14%.
45
Admiral Treasury Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. (For details on the fund’s participation in the U.S. Treasury’s temporary guarantee program, please see the note on page 7.) The fund’s 7-day SEC yield reflects its current
earnings more closely than do the average annual returns.
|
Fiscal-Year Total Returns (%): August 31, 1998–February 28, 2009
|
|
|
|
|
|
Fiscal
|
Admiral Treasury
|
Average
|
|
Year
|
Money Market Fund
|
Fund
1
|
|
1999
|
4.7%
|
4.2%
|
|
2000
|
5.5
|
5.0
|
|
2001
|
5.3
|
4.7
|
|
2002
|
2.1
|
1.6
|
|
2003
|
1.2
|
0.7
|
|
2004
|
0.9
|
0.4
|
|
2005
|
2.3
|
1.6
|
|
2006
|
4.2
|
3.5
|
|
2007
|
5.0
|
4.3
|
|
2008
|
3.1
|
2.1
|
|
2009
2
|
0.6
|
0.2
|
|
7-day SEC yield (2/28/2009): 0.53%
|
|
|
Average Annual Total Returns: Periods Ended December 31, 2008
This table presents average annual total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
|
|
Inception Date
|
One Year
|
Five Years
|
Ten Years
|
|
Admiral Treasury Money Market Fund
|
12/14/1992
|
2.10%
|
3.13%
|
3.31%
|
1 Derived from iMoneyNet Money Fund Report’s Average 100% Treasury Fund.
2 Six months ended February 28, 2009.
Note: See Financial Highlight tables for dividend information.
46
Admiral Treasury Money Market Fund
Financial Statements
(unaudited)
Statement of Net Assets
As of February 28, 2009
The fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
|
|
|
|
Face
|
Market
|
|
|
|
Maturity
|
Amount
|
Value
•
|
|
|
Yield
1
|
Date
|
($000)
|
($000)
|
|
U.S. Government Securities (99.8%)
|
|
|
|
|
U.S. Treasury Bill
|
0.050%
|
3/5/09
|
809,518
|
809,513
|
|
U.S. Treasury Bill
|
1.918%
|
3/12/09
|
656,000
|
655,619
|
|
U.S. Treasury Bill
|
0.100%–1.562%
|
3/19/09
|
1,384,484
|
1,383,505
|
|
U.S. Treasury Bill
|
0.290%
|
3/26/09
|
1,000,000
|
999,799
|
|
U.S. Treasury Bill
|
0.100%
|
4/2/09
|
1,325,052
|
1,324,934
|
|
U.S. Treasury Bill
|
0.150%
|
4/9/09
|
1,500,000
|
1,499,756
|
|
U.S. Treasury Bill
|
0.120%–1.106%
|
4/16/09
|
1,943,657
|
1,941,899
|
|
U.S. Treasury Bill
|
0.140%
|
4/23/09
|
1,600,000
|
1,599,670
|
|
U.S. Treasury Bill
|
1.289%
|
4/29/09
|
385,000
|
384,192
|
|
U.S. Treasury Bill
|
1.410%
|
4/30/09
|
3,285,000
|
3,277,335
|
|
U.S. Treasury Bill
|
1.106%
|
5/7/09
|
1,483,000
|
1,479,964
|
|
U.S. Treasury Bill
|
0.995%
|
5/14/09
|
760,000
|
758,453
|
|
U.S. Treasury Bill
|
0.491%
|
5/28/09
|
1,215,000
|
1,213,545
|
|
U.S. Treasury Bill
|
0.300%
|
6/11/09
|
627,000
|
626,467
|
|
U.S. Treasury Bill
|
0.270%
|
6/18/09
|
850,000
|
849,305
|
|
U.S. Treasury Bill
|
0.285%
|
6/25/09
|
982,000
|
981,098
|
|
U.S. Treasury Bill
|
0.250%
|
7/2/09
|
998,000
|
997,148
|
|
U.S. Treasury Bill
|
0.346%
|
7/30/09
|
880,000
|
878,727
|
|
U.S. Treasury Bill
|
0.391%
|
8/6/09
|
800,000
|
798,631
|
|
U.S. Treasury Bill
|
0.481%
|
8/13/09
|
719,000
|
717,418
|
|
U.S. Treasury Bill
|
0.471%
|
8/20/09
|
1,300,000
|
1,297,081
|
|
U.S. Treasury Bill
|
0.496%
|
8/27/09
|
1,000,000
|
997,539
|
|
Total U.S. Government Securities (Cost $25,471,598)
|
|
|
25,471,598
|
|
Other Assets and Liabilities (0.2%)
|
|
|
|
|
|
Other Assets
|
|
|
|
79,544
|
|
Liabilities
|
|
|
|
(34,963)
|
|
|
|
|
|
44,581
|
|
Net Assets (100%)
|
|
|
|
|
|
Applicable to 25,514,096,565 outstanding $.001 par value shares of beneficial interest (unlimited authorization)
|
|
|
|
|
|
|
25,516,179
|
|
Net Asset Value Per Share
|
|
|
|
$1.00
|
47
Admiral Treasury Money Market Fund
|
At February 28, 2009, net assets consisted of:
|
|
|
|
Amount
|
|
|
($000)
|
|
Paid-in Capital
|
25,514,098
|
|
Undistributed Net Investment Income
|
—
|
|
Accumulated Net Realized Gains
|
2,081
|
|
Net Assets
|
25,516,179
|
• 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.
See accompanying Notes, which are an integral part of the Financial Statements.
48
Admiral Treasury Money Market Fund
Statement of Operations
|
|
Six Months Ended
|
|
|
February 28, 2009
|
|
|
($000)
|
|
Investment Income
|
|
|
Income
|
|
|
Interest
|
171,786
|
|
Total Income
|
171,786
|
|
Expenses
|
|
|
The Vanguard Group—Note B
|
|
|
Investment Advisory Services
|
1,303
|
|
Management and Administrative
|
9,692
|
|
Marketing and Distribution
|
3,955
|
|
Money Market Guarantee Program
|
3,780
|
|
Custodian Fees
|
147
|
|
Auditing Fees
|
1
|
|
Shareholders’ Reports
|
13
|
|
Trustees’ Fees and Expenses
|
12
|
|
Total Expenses
|
18,903
|
|
Net Investment Income
|
152,883
|
|
Realized Net Gain (Loss) on Investment Securities Sold
|
1,334
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
154,217
|
See accompanying Notes, which are an integral part of the Financial Statements.
49
Admiral Treasury Money Market Fund
Statement of Changes in Net Assets
|
|
Six Months Ended
|
|
Year Ended
|
|
|
February 28,
|
|
August 31,
|
|
|
2009
|
|
2008
|
|
|
($000)
|
|
($000)
|
|
Increase (Decrease) in Net Assets
|
|
|
|
|
Operations
|
|
|
|
|
Net Investment Income
|
152,883
|
|
634,389
|
|
Realized Net Gain (Loss)
|
1,334
|
|
(142)
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
154,217
|
|
634,247
|
|
Distributions
|
|
|
|
|
Net Investment Income
|
(152,883)
|
|
(634,389)
|
|
Realized Capital Gain
|
—
|
|
—
|
|
Total Distributions
|
(152,883)
|
|
(634,389)
|
|
Capital Share Transactions (at $1.00)
|
|
|
|
|
Issued
|
14,210,910
|
|
19,825,341
|
|
Issued in Lieu of Cash Distributions
|
146,087
|
|
601,195
|
|
Redeemed
|
(12,131,132)
|
|
(17,201,363)
|
|
Net Increase (Decrease) from Capital Share Transactions
|
2,225,865
|
|
3,225,173
|
|
Total Increase (Decrease)
|
2,227,199
|
|
3,225,031
|
|
Net Assets
|
|
|
|
|
Beginning of Period
|
23,288,980
|
|
20,063,949
|
|
End of Period
|
25,516,179
|
|
23,288,980
|
See accompanying Notes, which are an integral part of the Financial Statements.
50
Admiral Treasury Money Market Fund
Financial Highlights
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
|
Ended
|
|
|
|
|
For a Share Outstanding
|
February 28,
|
Year Ended August 31,
|
|
Throughout Each Period
|
2009
|
2008
|
2007
|
2006
|
2005
|
2004
|
|
Net Asset Value, Beginning of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
Investment Operations
|
|
|
|
|
|
|
|
Net Investment Income
|
.006
|
.030
|
.049
|
.041
|
.023
|
.009
|
|
Net Realized and Unrealized Gain
|
|
|
|
|
|
|
|
(Loss)on Investments
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total from Investment Operations
|
.006
|
.030
|
.049
|
.041
|
.023
|
.009
|
|
Distributions
|
|
|
|
|
|
|
|
Dividends from Net Investment Income
|
(.006)
|
(.030)
|
(.049)
|
(.041)
|
(.023)
|
(.009)
|
|
Distributions from Realized Capital Gains
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total Distributions
|
(.006)
|
(.030)
|
(.049)
|
(.041)
|
(.023)
|
(.009)
|
|
Net Asset Value, End of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
|
0.57%
|
3.08%
|
5.02%
|
4.22%
|
2.29%
|
0.91%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions)
|
$25,516
|
$23,289
|
$20,064
|
$15,982
|
$13,838
|
$13,270
|
|
Ratio of Total Expenses to
|
|
|
|
|
|
|
|
Average Net Assets
|
0.14%
1,2
|
0.10%
|
0.10%
|
0.13%
|
0.13%
|
0.13%
|
|
Ratio of Net Investment Income to
|
|
|
|
|
|
|
|
Average Net Assets
|
1.15%
1
|
2.98%
|
4.90%
|
4.15%
|
2.27%
|
0.91%
|
1 Annualized.
2 Includes 0.02% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds. See Note D in Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
51
Admiral Treasury Money Market Fund
Notes to Financial Statements
Vanguard Admiral Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
A.
The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued at amortized cost, which approximates market value.
2. 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 on federal income tax returns for all open tax years (tax years ended August 31, 2005–2008) and for the period ended February 28, 2009, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Dividends from net investment income are declared daily and paid on the first business day of the following month.
4. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B.
The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At February 28, 2009, the fund had contributed capital of $6,919,000 to Vanguard (included in Other Assets), representing 0.03% of the fund’s net assets and 2.77% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C.
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 establishes a framework for measuring fair value and expands disclosures about fair value measurements in financial statements.
The various inputs that may be used to determine the value of the fund’s investments are summarized in three broad levels. The inputs or methodologies used for valuing 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).
At February 28, 2009, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
52
Admiral Treasury Money Market Fund
D.
On October 7, 2008, the board of trustees approved the fund’s participation in a temporary program introduced by the U.S. Treasury to guarantee the account values of shareholders in a money market fund in the event the fund’s net asset value falls below $0.995 and the fund’s trustees decide to liquidate the fund. The program covers the lesser of a shareholder’s account value on September 19, 2008, or on the date of liquidation. To participate, the fund was required to pay a fee of 0.01% of its net assets as of September 19, 2008, for coverage through December 18, 2008. In December 2008, the U.S. Treasury extended the program through April 30, 2009, and the fund’s trustees approved the fund’s continuing participation in the program at a cost of an additional 0.015% of its net assets as of September 19, 2008. In March 2009, the U.S. Treasury extended
the program through September 18, 2009. The fund’s trustees elected to discontinue the fund’s participation in the program effective April 30, 2009.
53
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return.
This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
• Based on hypothetical 5% yearly return.
This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare
ongoing
costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include the account service fee described in the prospectus (the fee does not apply to the Prime Money Market Fund’s Institutional Shares or the Admiral Treasury Money Market Fund). If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
54
|
Six Months Ended February 28, 2009
|
|
|
|
|
|
Beginning
|
Ending
|
Expenses
|
|
|
Account Value
|
Account Value
|
Paid During
|
|
Money Market Fund
|
8/31/2008
|
2/28/2009
|
Period
1
|
|
Based on Actual Fund Return
|
|
|
|
|
Prime
|
|
|
|
|
Investor Shares
|
$1,000.00
|
$1,010.88
|
$1.40
|
|
Institutional Shares
|
1,000.00
|
1,011.63
|
0.65
|
|
Federal
|
1,000.00
|
1,008.78
|
1.34
|
|
Treasury
|
1,000.00
|
1,005.12
|
1.34
|
|
Admiral Treasury
|
1,000.00
|
1,005.73
|
0.70
|
|
Based on Hypothetical 5% Yearly Return
|
|
|
|
|
Prime
|
|
|
|
|
Investor Shares
|
$1,000.00
|
$1,023.41
|
$1.40
|
|
Institutional Shares
|
1,000.00
|
1,024.15
|
0.65
|
|
Federal
|
1,000.00
|
1,023.46
|
1.35
|
|
Treasury
|
1,000.00
|
1,023.46
|
1.35
|
|
Admiral Treasury
|
1,000.00
|
1,024.10
|
0.70
|
1 The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Prime Money Market Fund, 0.28% for Investor Shares and 0.13% for Institutional Shares; for the Federal Money Market Fund, 0.27%; for the Treasury Money Market Fund, 0.27%; for the Admiral Treasury Money Market Fund, 0.14%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
55
Glossary
Average Quality.
An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
Average Weighted Maturity.
The average length of time until fixed income securities held by a fund reach maturity and are repaid. The figure reflects the proportion of fund assets represented by each security.
Expense Ratio.
The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Inception Date.
The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Yield.
A money market fund’s 7-day SEC yield is calculated by annualizing its income distributions for the previous seven days, as required by the U.S. Securities and Exchange Commission.
56
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 157 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the
Statement of Additional Information
, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at www.vanguard.com.
Chairman of the Board and Interested Trustee
John J. Brennan
1
Born 1954. Trustee Since May 1987. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group (1996–2008).
Independent Trustees
Charles D. Ellis
Born 1937. Trustee Since January 2001. Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures in education); Senior Advisor to Greenwich Associates (international business strategy consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research.
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Retired Executive Chief Staff and Marketing Officer for North America and Corporate Vice President of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, the Boy Scouts of America, Amerigroup Corporation (direct health and medical insurance carriers), and Monroe Community College Foundation.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.
2
Principal Occupation(s) During the Past Five Years: Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); President of Rohm and Haas Co. (2006–2008); Board Member of American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services) and Hewlett-Packard Co. (electronic computer manufacturing); Trustee of The Conference Board.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal
Occupation(s) During the Past Five Years: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science in the School of Arts and Sciences with Secondary Appointments at the Annenberg School for Communication and the Graduate School of Education of the University of Pennsylvania; Director of Carnegie Corporation of New York, Schuylkill River Development Corporation, and Greater Philadelphia Chamber of Commerce; Trustee of the National Constitution Center.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Retired Corporate Vice President, Chief Global Diversity Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer (1997–2005) of Johnson & Johnson; Director of the University Medical Center at Princeton and Women’s Research and Education Institute.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Senior Associate Dean, and Director of Faculty Recruiting, Harvard Business School; Director and Chairman of UNX, Inc. (equities trading firm); Chair of the Investment Committee of HighVista Strategies LLC (private investment firm).
Alfred M. Rankin, Jr.
Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/ lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services).
J. Lawrence Wilson
Born 1936. Trustee Since April 1985. Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines) and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University and of Culver Educational Foundation.
Executive Officers
Thomas J. Higgins
1
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Kathryn J. Hyatt
1
Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companies served by The Vanguard Group (1988–2008).
F. William McNabb III
1
Born 1957. Chief Executive Officer Since August 2008. President Since March 2008. Principal Occupation(s) During the Past Five Years: Director of The Vanguard Group, Inc., since 2008; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
Heidi Stam
1
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).
|
Vanguard Senior Management Team
|
|
|
|
|
|
|
|
R. Gregory Barton
|
Michael S. Miller
|
|
Mortimer J. Buckley
|
James M. Norris
|
|
Kathleen C. Gubanich
|
Glenn W. Reed
|
|
Paul A. Heller
|
George U. Sauter
|
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 These individuals are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600
Valley Forge, PA 19482-2600
Connect with Vanguard
®
>
www.vanguard.com
|
Fund Information
> 800-662-7447
|
All comparative mutual fund data are from Lipper Inc.
|
|
|
or Morningstar, Inc., unless otherwise noted.
|
|
Direct Investor Account Services
> 800-662-2739
|
|
|
|
You can obtain a free copy of Vanguard’s proxy voting
|
|
Institutional Investor Services
> 800-523-1036
|
guidelines by visiting our website, www.vanguard.com,
|
|
|
and searching for “proxy voting guidelines,” or by
|
|
Text Telephone for People
|
calling Vanguard at 800-662-2739. The guidelines are
|
|
With Hearing Impairment
> 800-952-3335
|
also available from the SEC’s website, www.sec.gov.
|
|
|
In addition, you may obtain a free report on how your
|
|
|
fund voted the proxies for securities it owned during
|
|
|
the 12 months ended June 30. To get the report, visit
|
|
This material may be used in conjunction
|
either www.vanguard.com or www.sec.gov.
|
|
with the offering of shares of any Vanguard
|
|
|
fund only if preceded or accompanied by
|
|
|
the fund’s current prospectus.
|
|
|
|
|
|
|
You can review and copy information about your fund
|
|
|
at the SEC’s Public Reference Room in Washington, D.C.
|
|
|
To find out more about this public service, call the SEC
|
|
The funds or securities referred to herein are not
|
at 202-551-8090. Information about your fund is also
|
|
sponsored, endorsed, or promoted by MSCI, and MSCI
|
available on the SEC’s website, and you can receive
|
|
bears no liability with respect to any such funds or
|
copies of this information, for a fee, by sending a
|
|
securities. For any such funds or securities, the
|
request in either of two ways: via e-mail addressed to
|
|
prospectus or the
Statement of Additional Information
|
publicinfo@sec.gov or via regular mail addressed to the
|
|
contains a more detailed description of the limited
|
Public Reference Section, Securities and Exchange
|
|
relationship MSCI has with The Vanguard Group and
|
Commission, Washington, DC 20549-0102.
|
|
any related funds.
|
|
|
|
|
|
Russell
is a trademark of The Frank Russell Company.
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© 2009 The Vanguard Group, Inc.
|
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All rights reserved.
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Vanguard Marketing Corporation, Distributor.
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Q302 042009
|
Item 2
: Not Applicable.
Item 3
: Not Applicable.
Item 4
: Not Applicable.
Item 5
: Not Applicable.
Item 6
: Not Applicable.
Item 7
: Not Applicable.
Item 8
: Not Applicable.
Item 9
: Not Applicable.
Item 10
: Not Applicable.
Item 11
: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12
: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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VANGUARD ADMIRAL FUNDS
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/s/ F. WILLIAM MCNABB III*
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BY:
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F. WILLIAM MCNABB III*
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CHIEF EXECUTIVE OFFICER
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Date:
April 20, 2009
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.
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VANGUARD ADMIRAL FUNDS
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/s/ F. WILLIAM MCNABB III*
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BY:
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F. WILLIAM MCNABB III*
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CHIEF EXECUTIVE OFFICER
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Date:
April 20, 2009
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VANGUARD ADMIRAL FUNDS
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/s/ THOMAS J. HIGGINS *
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BY:
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THOMAS J. HIGGINS *
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CHIEF FINANCIAL OFFICER
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Date: April 20, 2009
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on January 18, 2008, see file Number
2-29601, Incorporated by Reference; and pursuant to a Power of Attorney filed on
September 26, 2008, see File Number 2-47371, Incorporated by Reference.
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