| |
| Report |
| | |
| | | | Registrant: Vanguard Bond Index Funds — List all N-SARs |
| | |
Annual Report for the 2nd-half period ended at fiscal year end: 12/31/08 |
| | |
Were there any Answer File errors in the Filing? None FoundNone Found by SEC InfoNot Checked by the FilerOne or more Found by SEC Info |
| | | Was the Answer File completed by the Registrant? Yes |
| | |
Is this an Amendment to a previous Report? No |
| | | Is this a change to a previous Report? No |
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| Registrant |
| | |
| 1. | | SEC CIK: 794105 |
| | | SEC File #: 811-04681 |
| | |
Telephone #: 610-669-1000 |
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| 2. | | Address: 100 Vanguard Boulevard |
| | | Malvern, PA 19355 |
| |
| 3. | | Is this the first Form N-SAR filed by the Registrant? No |
| |
| 4. | | Is this the final Form N-SAR filed by the Registrant? No |
| |
| | |
| | | |
| 7. | | Is the Registrant a Funds/Series (multiple portfolios) company? Yes |
| | |
The number of separate Funds/Series (portfolios) at period end: 5 |
| | |
Note: This Filing relates to ↑6 Funds/Series, but only 5 are reported here.
The Filer either made an error or could not report the other Series.
Missing Funds/Series may be mentioned in ‘EX-99’ Miscellaneous Exhibits.
The SEC Form N-SAR PC Application accepts Fund/Series serial numbers up
to 99, so Funds/Series with a serial number above 99 are never reported!
This serial number maximum (99) is specific to Form N-SAR’s Answer File,
while the “global” Series # for all Filing/Form Types may go to S#99999. |
| | | The number of separate Funds/Series (portfolios) reported here: 5... |
| | |
|
| ↓ | Series 5: Vanguard Inflation-Protected Securities Fund — S#19554 ⇒ VAIPX & 2 more |
| ↓ | Series 3: Vanguard Intermediate-Term Bond Index Fund — S#2561 ⇒ VBILX & 4 more |
| ↓ | Series 4: Vanguard Long-Term Bond Index Fund — S#2562 ⇒ BLV & 2 more |
| ↓ | Series 2: Vanguard Short-Term Bond Index Fund — S#2563 ⇒ VBIRX & 3 more |
| ↓ | Series 1: Vanguard Total Bond Market Index Fund — S#2564 ⇒ VBTLX & 4 more |
| | |
Missing Fund/Series
|
| | | Series: Vanguard Total Bond Market II Index Fund — S#25158 ⇒ VTBNX & VTBIX |
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| Family of Investment Companies |
| | |
| 19. | | Is the Registrant/Series part of a “family” of investment companies? Yes |
| | |
Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family: 155 |
| | |
The Identification Code of the family for Form N-SAR Filings: VANGUARDGR |
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| Investment Company Type |
| | |
| 27. | | Is the Registrant an “open-end” investment company? Yes, Open-End |
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| Additional Disclosures |
| | |
| 77. | | Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
↑Exhibits in this Filing — or separately and incorporated by reference)? Yes |
| | |
EX-99.77B: Accountant’s Report re: Internal Controls? Yes |
| | |
EX-99.77Q1: Other Disclosure? Yes |
| | |
EX-99.77Q3: Other Info? Yes |
| |
| Subsidiaries |
| | |
| 78. | | Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report? No |
| |
| All Series | ↑List of 5 Funds/Series Reported Here |
| | |
Information Common to All Funds/Series |
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| All: | Investment Adviser |
| | |
| 8.1 | | Name: The Vanguard Group, Inc. |
| | | Role: Adviser |
| | | SEC File #: 801-11953 |
| | | Location: Malvern, PA |
| |
| All: | Administrator |
| | |
| 10.1 | | Name: The Vanguard Group, Inc. |
| | | SEC File #: 801-11953 |
| | | Location: Malvern, PA |
| |
| All: | Principal Underwriter |
| | |
| 11.1 | | Name: Vanguard Marketing Corp. |
| | | SEC File #: 008-21570 |
| | | Location: Malvern, PA |
| |
| All: | Shareholder Servicing/Transfer Agent |
| | |
| 12.1 | | Name: The Vanguard Group, Inc. |
| | | SEC File #: 084-00772 |
| | | Location: Malvern, PA |
| |
| All: | Independent Public Accountant |
| | |
| 13.1 | | Name: Pricewaterhousecoopers LLP |
| | | Location: Philadelphia, PA |
| |
| All: | Affiliated Broker/Dealer |
| | |
| 14.1 | | Name: Vanguard Marketing Corp. |
| | | SEC File #: 008-21570 |
| |
| All: | Custodian |
| | |
| 18. | | Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4? Yes |
| |
| All: | Brokerage Commissions Paid on Portfolio Transactions |
| | |
| 20. | | The brokers who received the largest amount of gross brokerage
commissions during the period:
|
| 20.1 | | Broker: Lehman Brothers Inc. |
| | | IRS #: 13-2518466 |
| | | Commissions paid ($000s): 926 |
| |
| 20.2 | | Broker: J.P. Morgan Securities Inc. |
| | | IRS #: 13-3224016 |
| | | Commissions paid ($000s): 153 |
| |
| 21. | | Total brokerage commissions paid by the Registrant during the period:
Aggregate paid ($000s): 1,079 |
| |
| All: | Portfolio Transactions with Entities Acting as Principals |
| | |
| 22. | | The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:
|
| 22.1 | | Entity: Vanguard Market Liquidity Fund |
| | | IRS #: 20-0961056 |
| | | Registrant’s purchases ($000s): 26,311,394 |
| | | Registrant’s sales ($000s): 25,390,245 |
| |
| 22.2 | | Entity: Barclays Capital Inc. |
| | | IRS #: 13-3410233 |
| | | Registrant’s purchases ($000s): 15,204,524 |
| | | Registrant’s sales ($000s): 10,674,605 |
| |
| 22.3 | | Entity: Greenwich Capital Markets, Inc. |
| | | IRS #: 13-3172275 |
| | | Registrant’s purchases ($000s): 10,975,907 |
| | | Registrant’s sales ($000s): 10,834,337 |
| |
| 22.4 | | Entity: BNP Paribas Securities Corp. |
| | | IRS #: 13-3235334 |
| | | Registrant’s purchases ($000s): 5,740,666 |
| | | Registrant’s sales ($000s): 7,321,581 |
| |
| 22.5 | | Entity: Goldman, Sachs & Co. |
| | | IRS #: 13-5108880 |
| | | Registrant’s purchases ($000s): 7,868,445 |
| | | Registrant’s sales ($000s): 2,281,995 |
| |
| 22.6 | | Entity: Banc of America Securities LLC |
| | | IRS #: 56-2058405 |
| | | Registrant’s purchases ($000s): 6,131,126 |
| | | Registrant’s sales ($000s): 3,539,019 |
| |
| 22.7 | | Entity: Credit Suisse Securities (USA) LLC |
| | | IRS #: 13-5659485 |
| | | Registrant’s purchases ($000s): 4,668,624 |
| | | Registrant’s sales ($000s): 4,917,843 |
| |
| 22.8 | | Entity: J.P. Morgan Securities Inc. |
| | | IRS #: 13-3224016 |
| | | Registrant’s purchases ($000s): 5,490,771 |
| | | Registrant’s sales ($000s): 2,942,200 |
| |
| 22.9 | | Entity: Merrill Lynch, Pierce, Fenner & Smith Inc. |
| | | IRS #: 13-5674085 |
| | | Registrant’s purchases ($000s): 3,668,658 |
| | | Registrant’s sales ($000s): 2,681,026 |
| |
| 22.10 | | Entity: Citigroup Global Markets Inc. |
| | | IRS #: 13-2919773 |
| | | Registrant’s purchases ($000s): 2,890,936 |
| | | Registrant’s sales ($000s): 1,854,670 |
| |
| 23. | | Total purchase/sale transactions by the Registrant during the period:
Aggregate purchases ($000s): 103,015,945 |
| | | Aggregate sales ($000s): 81,828,842 |
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| All: | Considerations which Affected the Participation of Brokers or Dealers |
| | |
| 26. | | Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:
Consideration? |
| | | Sales of the Registrant’s/Series’ shares ............................... No |
| | | Receipt of investment research and statistical info .................... Yes |
| | | Receipt of quotations for portfolio valuations ......................... No |
| | | Ability to execute portfolio transactions to obtain the best price
and execution ........................................................ Yes |
| | | Receipt of telephone line and wire services ............................ No |
| | | Broker or Dealer which is an affiliated person ......................... No |
| | | An arrangement to return or credit part or all of commissions or
profits thereon...
To an Investment Adviser or Principal Underwriter, or to an
affiliated person of either ...................................... No |
| | | To the Registrant .................................................. No |
| | | Other .................................................................. No |
| |
| All: | Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance) |
| | |
| 29. | | Was a front-end sales load deducted from any share sales during the
period? No |
| |
| 34. | | Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No |
| |
| 37. | | Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No |
| |
| 39. | | Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes |
| |
| All: | Payment Plan for the Distribution of Fund Shares |
| | |
| 40. | | During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No |
| |
| All: | Advisory Fee |
| | |
| 45. | | Did the Registrant/Series have an advisory contract during the period? No |
| |
| All: | Classification and Asset Allocation |
| | |
| 58. | | Is the Registrant/Series a Separate Account of an insurance company? No |
| |
| 59. | | Is the Registrant/Series a management investment company? Yes |
| |
| 60. | | Was the Registrant/Series a diversified investment company at any time
during the period? Yes |
| | |
Was the Registrant/Series a diversified investment company at the end of
the period? Yes |
| |
| 61. | | The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $3,000 |
| |
| All: | Fidelity Bond in Effect at Fiscal Year End |
| | |
| 80. | | Insurer: ICI Mutual Insurance Co. |
| | | 2nd Insurer: N/A |
| | |
Aggregate face amount of coverage for the Registrant/Series on all bonds
on which it is named as an insured ($000s): 400,000 |
| |
| 81. | | Is the bond part of a joint fidelity bond(s) shared with other
investment companies or other entities? Yes |
| | |
How many other investment companies or other entities are covered by the
bond (counting each Fund/Series as a separate investment company): 201 |
| |
| 82. | | Does the mandatory coverage of the fidelity bond have a deductible? No |
| |
| 83. | | Were any claims with respect to this Registrant/Series filed under the
bond during the period? No |
| |
| 84. | | Were any losses incurred with respect to this Registrant/Series that
could have been filed as a claim under the fidelity bond but were not? No |
| |
| 85. | | Are the Registrant’s/Series’ Officers and Directors covered as Officers
and Directors of the Registrant/Series under any errors and omissions
insurance policy owned by the Registrant/Series or anyone else? Yes |
| | |
Were any claims filed under such policy during the period with respect
to the Registrant/Series? No |
| |
| Series 1 | ↑Information Common to All Funds/Series ↑List of 5 Funds/Series |
| |
| 7. | | Name: Vanguard Total Bond Market Index Fund — S#2564 ⇒ VBTLX & 4 more |
| | |
Is this the final Form N-SAR filed for this Fund/Series? No |
| |
| S 1: | Custodian |
| | |
| 15.1 | | Name: JP Morgan Chase Bank |
| | | Role: Custodian |
| | | Location: New York, NY |
| | |
Type of custody: Section 17(f)(1) — Bank |
| |
| S 1: | Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers |
| | |
| 24. | | At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes |
|
25. | |
The brokers or dealers, or their parents (issuers):
|
| 25.1 | | Name: Goldman, Sachs & Co. |
| | | IRS #: 13-5108880 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 342,758 |
| |
| 25.2 | | Name: J.P. Morgan Securities Inc. |
| | | IRS #: 13-3224016 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 677,052 |
| |
| 25.3 | | Name: Banc of America Securities LLC |
| | | IRS #: 56-2058405 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 485,257 |
| |
| 25.4 | | Name: Credit Suisse Securities (USA) LLC |
| | | IRS #: 13-5659485 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 349,533 |
| |
| 25.5 | | Name: Greenwich Capital Markets, Inc. |
| | | IRS #: 13-3172275 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 86,052 |
| |
| 25.6 | | Name: Citigroup Global Markets Inc. |
| | | IRS #: 13-2919773 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 483,410 |
| |
| 25.7 | | Name: Barclays Capital Inc. |
| | | IRS #: 13-3410233 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 8,229 |
| |
| 25.8 | | Name: (See a prior Form N-SAR for who was...) Deleted |
| |
| 25.9 | | Name: Merrill Lynch, Pierce, Fenner & Smith Inc. |
| | | IRS #: 13-5674085 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 355,778 |
| |
| S 1: | Sales and Repurchases |
| | |
| 28. | | Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
|
| | | 1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 1,873,442 |
|
| | | | Reinvestment of dividends and distributions ................ | 235,269 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 1,200,321 |
|
| | | 2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 2,122,828 |
|
| | | | Reinvestment of dividends and distributions ................ | 237,967 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 814,399 |
|
| | | 3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 2,332,429 |
|
| | | | Reinvestment of dividends and distributions ................ | 237,356 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 2,386,040 |
|
| | | 4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 2,937,246 |
|
| | | | Reinvestment of dividends and distributions ................ | 233,664 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 5,275,567 |
|
| | | 5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 1,915,227 |
|
| | | | Reinvestment of dividends and distributions ................ | 223,452 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 2,525,204 |
|
| | | 6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 2,142,110 |
|
| | | | Reinvestment of dividends and distributions ................ | 223,524 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 1,291,965 |
|
| | |
Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 13,323,282 |
|
| | | | Reinvestment of dividends and distributions ................ | 1,391,232 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 13,493,496 |
|
| | |
Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0 |
| |
| S 1: | Miscellaneous Info |
| | |
| 55. | | Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets: |
| | | Overdrafts? No |
| | | Bank loans? No |
| |
| 56. | | During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes |
| |
| 57. | | Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No |
| |
| S 1: | Classification and Asset Allocation |
| | |
| 62. | | Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes |
| | |
The percentage of net assets in each type at period end:
Debt — Short-Term Maturities
U.S. Treasury ............................... 0.8% |
| | | U.S. Government Agency ...................... 0.0 |
| | | Repurchase agreements ....................... 0.0 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Bank certificates of deposit – domestic ..... 0.0 |
| | | Bank certificates of deposit – foreign ...... 0.0 |
| | | Bankers acceptances ......................... 0.0 |
| | | Commercial paper – taxable .................. 0.0 |
| | | Time deposits ............................... 0.0 |
| | | Options ..................................... 0.0 |
| | | All other ................................... 0.0 |
| | |
Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 24.8% |
| | | U.S. Government Agency ...................... 47.6 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Corporate ................................... 22.8 |
| | | All other ................................... 3.1 |
| | |
Non-Debt
Investments other than debt securities ...... 1.5% |
| |
| 63. | | The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0 |
| | | Years: 5.4 |
| |
| 64. | | Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? Yes |
| | |
Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? Yes |
| |
| 65. | | In computations of Net Asset Value (NAV) per share, is any part of the
value attributed to instruments identified in Item 64.B (second
question) derived from insurance or guarantees? No |
| |
| 66. | | Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No |
| |
| 67. | | Is the Registrant/Series a “balanced” Fund? No |
| |
| 68. | | Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No |
| | | Located primarily in countries other than the United States? No |
| |
| 69. | | Is the Registrant/Series an index Fund? Yes |
| |
| S 1: | Investment Practices |
| | |
| 70. | | Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:
Activity Permitted Engaged In |
| | | Writing or investing in repurchase agreements? Yes No |
| | | Writing or investing in options on equities? No – |
| | | Writing or investing in options on debt securities? Yes No |
| | | Writing or investing in options on stock indices? No – |
| | | Writing or investing in interest rate futures? Yes No |
| | | Writing or investing in stock index futures? No – |
| | | Writing or investing in options on futures? Yes No |
| | | Writing or investing in options on stock index futures? No – |
| | | Writing or investing in other commodity futures? No – |
| | | Investments in restricted securities? Yes to both |
| | | Investments in shares of other investment companies? Yes to both |
| | | Investments in securities of foreign issuers? Yes to both |
| | | Currency exchange transactions? No – |
| | | Loaning portfolio securities? Yes to both |
| | | Borrowing of money? Yes No |
| | | Purchases/sales by certain exempted affiliated persons? Yes to both |
| | | Margin purchases? No – |
| | | Short selling? No – |
| |
| S 1: | Portfolio Turnover |
| | |
| 71. | | Portfolio turnover rate for the period:
|
| | | Purchases ($000s): 45,984,167 |
| | | Sales ($000s): 36,603,473 |
| | |
Monthly average Value of portfolio ($000s): 60,134,371 |
| | |
Percent turnover (lesser of Purchases or Sales, divided by Value): 61% |
| |
| S 1: | Financial Info — Income and Expenses |
| | |
| 72. | | The number of months covered by the values in Items 72 and 73: 12 |
| | |
Income ($000s)
Net interest income .............................................. | 3,055,346 |
|
| | | | Net dividend income .............................................. | – |
|
| | | | Account maintenance fees ......................................... | – |
|
| | | | Net other income ................................................. | 408 |
|
| | |
Expenses ($000s)
Advisory fees .................................................... | 5,777 |
|
| | | | Administrator fees ............................................... | 35,858 |
|
| | | | Salaries and other compensation .................................. | – |
|
| | | | Shareholder Servicing Agent fees ................................. | 32,189 |
|
| | | | Custodian fees ................................................... | 498 |
|
| | | | Postage .......................................................... | – |
|
| | | | Printing expenses ................................................ | 606 |
|
| | | | Directors’ fees .................................................. | 82 |
|
| | | | Registration fees ................................................ | – |
|
| | | | Taxes ............................................................ | – |
|
| | | | Interest ......................................................... | – |
|
| | | | Bookkeeping fees paid to anyone performing this service .......... | – |
|
| | | | Auditing fees .................................................... | 37 |
|
| | | | Legal fees ....................................................... | – |
|
| | | | Marketing/distribution payments, incl. Rule 12b-1 plan payments .. | 15,632 |
|
| | | | Amortization of organization expenses ............................ | – |
|
| | | | Shareholder meeting expenses ..................................... | – |
|
| | | | Other expenses ................................................... | – |
|
| | | | Total expenses ................................................... | 90,679 |
|
| | |
Expense reimbursements ($000s): 0 |
| | |
Net investment income ($000s): 2,965,075 |
| | |
Realized capital gains ($000s): 655,892 |
| | | Realized capital losses ($000s): 666,398 |
| | |
Net unrealized appreciation during the period ($000s): 112,158 |
| | | Net unrealized depreciation during the period ($000s): 0 |
| | |
Total income dividends for which the record date passed during the
period ($000s): 0 |
| | |
Total capital gains distributions for which the record date passed
during the period ($000s): 0 |
| |
| 73. | | Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:
Dividends from net investment income: $0.0000 |
| | |
Distribution of capital gains: $0.0000 |
| | | Other distributions: $0.0000 |
| |
| S 1: | Financial Info — Condensed Balance Sheet Data |
| | |
| 74. | | Assets ($000s) |
| | | | Cash ............................................................. | – |
|
| | | | Repurchase agreements ............................................ | – |
|
| | | | Short-term debt securities, other than repurchase agreements ..... | 543,882 |
|
| | | | Long-term debt securities, including convertible debt ............ | 64,283,961 |
|
| | | | Preferred, conv. preferred and adjustable-rate preferred stock ... | – |
|
| | | | Common stock ..................................................... | – |
|
| | | | Options on equities .............................................. | – |
|
| | | | Options on all futures ........................................... | – |
|
| | | | Other investments ................................................ | 1,025,508 |
|
| | | | Receivables from portfolio instruments sold ...................... | 110,579 |
|
| | | | Receivables from affiliated persons .............................. | – |
|
| | | | Other receivables ................................................ | 828,700 |
|
| | | | All other assets ................................................. | – |
|
| | | | Total assets ..................................................... | 66,792,630 |
|
| | |
Liabilities ($000s)
Payables for portfolio instruments purchased ..................... | 1,138,313 |
|
| | | | Amounts owed to affiliated persons ............................... | 62,551 |
|
| | | | Senior long-term debt ............................................ | – |
|
| | | Other liabilities:
Reverse repurchase agreements .................................. | – |
|
| | | | Short sales .................................................... | – |
|
| | | | Written options ................................................ | – |
|
| | | | All other liabilities .......................................... | 176,799 |
|
| | |
Equity ($000s)
Senior equity .................................................... | – |
|
| | | | Net assets of common shareholders ................................ | 65,414,967 |
|
| | |
Number of shares outstanding (000s): 0 |
| | |
Net Asset Value (NAV) per share (to nearest cent): $0.00 |
| | |
Total number of shareholder accounts: 907,068 |
| | |
Total value of assets in segregated accounts ($000s): 0 |
| |
| 75. | | Monthly average net assets during the period ($000s): 61,974,675 |
| |
| Series 2 | ↑Information Common to All Funds/Series ↑List of 5 Funds/Series |
| |
| 7. | | Name: Vanguard Short-Term Bond Index Fund — S#2563 ⇒ VBIRX & 3 more |
| | |
Is this the final Form N-SAR filed for this Fund/Series? No |
| |
| S 2: | Custodian |
| | |
| 15.1 | | Name: JP Morgan Chase Bank |
| | | Role: Custodian |
| | | Location: New York, NY |
| | |
Type of custody: Section 17(f)(1) — Bank |
| |
| S 2: | Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers |
| | |
| 24. | | At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes |
|
25. | |
The brokers or dealers, or their parents (issuers):
|
| 25.1 | | Name: Citigroup Global Markets Inc. |
| | | IRS #: 13-2919773 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 88,449 |
| |
| 25.2 | | Name: Credit Suisse Securities (USA) LLC |
| | | IRS #: 13-5659485 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 41,837 |
| |
| 25.3 | | Name: J.P. Morgan Securities Inc. |
| | | IRS #: 13-3224016 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 65,409 |
| |
| 25.4 | | Name: Banc of America Securities LLC |
| | | IRS #: 56-2058405 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 74,911 |
| |
| 25.5 | | Name: Goldman, Sachs & Co. |
| | | IRS #: 13-5108880 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 74,695 |
| |
| 25.6 | | Name: Barclays Capital Inc. |
| | | IRS #: 13-3410233 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 5,537 |
| |
| 25.7 | | Name: Merrill Lynch, Pierce, Fenner & Smith Inc. |
| | | IRS #: 13-5674085 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 32,392 |
| |
| S 2: | Sales and Repurchases |
| | |
| 28. | | Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
|
| | | 1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 503,265 |
|
| | | | Reinvestment of dividends and distributions ................ | 21,100 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 184,321 |
|
| | | 2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 539,914 |
|
| | | | Reinvestment of dividends and distributions ................ | 21,687 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 224,854 |
|
| | | 3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 674,603 |
|
| | | | Reinvestment of dividends and distributions ................ | 21,336 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 333,728 |
|
| | | 4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 494,369 |
|
| | | | Reinvestment of dividends and distributions ................ | 21,831 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 250,099 |
|
| | | 5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 411,076 |
|
| | | | Reinvestment of dividends and distributions ................ | 21,133 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 298,041 |
|
| | | 6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 578,099 |
|
| | | | Reinvestment of dividends and distributions ................ | 21,344 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 333,592 |
|
| | |
Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 3,201,326 |
|
| | | | Reinvestment of dividends and distributions ................ | 128,431 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 1,624,635 |
|
| | |
Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0 |
| |
| S 2: | Miscellaneous Info |
| | |
| 55. | | Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets: |
| | | Overdrafts? No |
| | | Bank loans? No |
| |
| 56. | | During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes |
| |
| 57. | | Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No |
| |
| S 2: | Classification and Asset Allocation |
| | |
| 62. | | Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes |
| | |
The percentage of net assets in each type at period end:
Debt — Short-Term Maturities
U.S. Treasury ............................... 2.4% |
| | | U.S. Government Agency ...................... 0.3 |
| | | Repurchase agreements ....................... 0.0 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Bank certificates of deposit – domestic ..... 0.0 |
| | | Bank certificates of deposit – foreign ...... 0.0 |
| | | Bankers acceptances ......................... 0.0 |
| | | Commercial paper – taxable .................. 0.0 |
| | | Time deposits ............................... 0.0 |
| | | Options ..................................... 0.0 |
| | | All other ................................... 0.3 |
| | |
Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 46.9% |
| | | U.S. Government Agency ...................... 18.7 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Corporate ................................... 24.6 |
| | | All other ................................... 5.9 |
| | |
Non-Debt
Investments other than debt securities ...... 2.2% |
| |
| 63. | | The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0 |
| | | Years: 2.8 |
| |
| 64. | | Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? Yes |
| | |
Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? Yes |
| |
| 65. | | In computations of Net Asset Value (NAV) per share, is any part of the
value attributed to instruments identified in Item 64.B (second
question) derived from insurance or guarantees? No |
| |
| 66. | | Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No |
| |
| 67. | | Is the Registrant/Series a “balanced” Fund? No |
| |
| 68. | | Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No |
| | | Located primarily in countries other than the United States? No |
| |
| 69. | | Is the Registrant/Series an index Fund? Yes |
| |
| S 2: | Investment Practices |
| | |
| 70. | | Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:
Activity Permitted Engaged In |
| | | Writing or investing in repurchase agreements? Yes No |
| | | Writing or investing in options on equities? No – |
| | | Writing or investing in options on debt securities? Yes No |
| | | Writing or investing in options on stock indices? No – |
| | | Writing or investing in interest rate futures? Yes No |
| | | Writing or investing in stock index futures? No – |
| | | Writing or investing in options on futures? Yes No |
| | | Writing or investing in options on stock index futures? No – |
| | | Writing or investing in other commodity futures? No – |
| | | Investments in restricted securities? Yes to both |
| | | Investments in shares of other investment companies? Yes to both |
| | | Investments in securities of foreign issuers? Yes to both |
| | | Currency exchange transactions? No – |
| | | Loaning portfolio securities? Yes to both |
| | | Borrowing of money? Yes No |
| | | Purchases/sales by certain exempted affiliated persons? Yes to both |
| | | Margin purchases? No – |
| | | Short selling? No – |
| |
| S 2: | Portfolio Turnover |
| | |
| 71. | | Portfolio turnover rate for the period:
|
| | | Purchases ($000s): 11,005,845 |
| | | Sales ($000s): 7,993,453 |
| | |
Monthly average Value of portfolio ($000s): 7,863,308 |
| | |
Percent turnover (lesser of Purchases or Sales, divided by Value): 102% |
| |
| S 2: | Financial Info — Income and Expenses |
| | |
| 72. | | The number of months covered by the values in Items 72 and 73: 12 |
| | |
Income ($000s)
Net interest income .............................................. | 319,755 |
|
| | | | Net dividend income .............................................. | – |
|
| | | | Account maintenance fees ......................................... | – |
|
| | | | Net other income ................................................. | 51 |
|
| | |
Expenses ($000s)
Advisory fees .................................................... | 727 |
|
| | | | Administrator fees ............................................... | 5,248 |
|
| | | | Salaries and other compensation .................................. | – |
|
| | | | Shareholder Servicing Agent fees ................................. | 3,179 |
|
| | | | Custodian fees ................................................... | 32 |
|
| | | | Postage .......................................................... | – |
|
| | | | Printing expenses ................................................ | 91 |
|
| | | | Directors’ fees .................................................. | 10 |
|
| | | | Registration fees ................................................ | – |
|
| | | | Taxes ............................................................ | – |
|
| | | | Interest ......................................................... | – |
|
| | | | Bookkeeping fees paid to anyone performing this service .......... | – |
|
| | | | Auditing fees .................................................... | 33 |
|
| | | | Legal fees ....................................................... | – |
|
| | | | Marketing/distribution payments, incl. Rule 12b-1 plan payments .. | 1,994 |
|
| | | | Amortization of organization expenses ............................ | – |
|
| | | | Shareholder meeting expenses ..................................... | – |
|
| | | | Other expenses ................................................... | – |
|
| | | | Total expenses ................................................... | 11,314 |
|
| | |
Expense reimbursements ($000s): 27 |
| | |
Net investment income ($000s): 308,519 |
| | |
Realized capital gains ($000s): 126,142 |
| | | Realized capital losses ($000s): 78,403 |
| | |
Net unrealized appreciation during the period ($000s): 74,389 |
| | | Net unrealized depreciation during the period ($000s): 0 |
| | |
Total income dividends for which the record date passed during the
period ($000s): 0 |
| | |
Total capital gains distributions for which the record date passed
during the period ($000s): 0 |
| |
| 73. | | Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:
Dividends from net investment income: $0.0000 |
| | |
Distribution of capital gains: $0.0000 |
| | | Other distributions: $0.0000 |
| |
| S 2: | Financial Info — Condensed Balance Sheet Data |
| | |
| 74. | | Assets ($000s) |
| | | | Cash ............................................................. | – |
|
| | | | Repurchase agreements ............................................ | – |
|
| | | | Short-term debt securities, other than repurchase agreements ..... | 294,617 |
|
| | | | Long-term debt securities, including convertible debt ............ | 9,288,924 |
|
| | | | Preferred, conv. preferred and adjustable-rate preferred stock ... | – |
|
| | | | Common stock ..................................................... | – |
|
| | | | Options on equities .............................................. | – |
|
| | | | Options on all futures ........................................... | – |
|
| | | | Other investments ................................................ | 212,460 |
|
| | | | Receivables from portfolio instruments sold ...................... | 29,631 |
|
| | | | Receivables from affiliated persons .............................. | – |
|
| | | | Other receivables ................................................ | 129,329 |
|
| | | | All other assets ................................................. | – |
|
| | | | Total assets ..................................................... | 9,954,961 |
|
| | |
Liabilities ($000s)
Payables for portfolio instruments purchased ..................... | 232,417 |
|
| | | | Amounts owed to affiliated persons ............................... | 5,156 |
|
| | | | Senior long-term debt ............................................ | – |
|
| | | Other liabilities:
Reverse repurchase agreements .................................. | – |
|
| | | | Short sales .................................................... | – |
|
| | | | Written options ................................................ | – |
|
| | | | All other liabilities .......................................... | 44,934 |
|
| | |
Equity ($000s)
Senior equity .................................................... | – |
|
| | | | Net assets of common shareholders ................................ | 9,672,454 |
|
| | |
Number of shares outstanding (000s): 0 |
| | |
Net Asset Value (NAV) per share (to nearest cent): $0.00 |
| | |
Total number of shareholder accounts: 102,047 |
| | |
Total value of assets in segregated accounts ($000s): 0 |
| |
| 75. | | Monthly average net assets during the period ($000s): 8,041,409 |
| |
| Series 3 | ↑Information Common to All Funds/Series ↑List of 5 Funds/Series |
| |
| 7. | | Name: Vanguard Intermediate-Term Bond Index Fund — S#2561 ⇒ VBILX & 4 more |
| | |
Is this the final Form N-SAR filed for this Fund/Series? No |
| |
| S 3: | Custodian |
| | |
| 15.1 | | Name: JP Morgan Chase Bank |
| | | Role: Custodian |
| | | Location: New York, NY |
| | |
Type of custody: Section 17(f)(1) — Bank |
| |
| S 3: | Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers |
| | |
| 24. | | At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes |
|
25. | |
The brokers or dealers, or their parents (issuers):
|
| 25.1 | | Name: (See a prior Form N-SAR for who was...) Deleted |
| |
| 25.2 | | Name: Credit Suisse Securities (USA) LLC |
| | | IRS #: 13-5659485 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 41,671 |
| |
| 25.3 | | Name: Goldman, Sachs & Co. |
| | | IRS #: 13-5108880 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 99,112 |
| |
| 25.4 | | Name: Banc of America Securities LLC |
| | | IRS #: 56-2058405 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 93,541 |
| |
| 25.5 | | Name: J.P. Morgan Securities Inc. |
| | | IRS #: 13-3224016 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 70,768 |
| |
| 25.6 | | Name: Citigroup Global Markets Inc. |
| | | IRS #: 13-2919773 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 90,220 |
| |
| 25.7 | | Name: Merrill Lynch, Pierce, Fenner & Smith Inc. |
| | | IRS #: 13-5674085 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 89,589 |
| |
| S 3: | Sales and Repurchases |
| | |
| 28. | | Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
|
| | | 1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 261,425 |
|
| | | | Reinvestment of dividends and distributions ................ | 27,429 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 200,936 |
|
| | | 2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 221,345 |
|
| | | | Reinvestment of dividends and distributions ................ | 27,384 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 149,020 |
|
| | | 3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 301,278 |
|
| | | | Reinvestment of dividends and distributions ................ | 26,791 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 257,903 |
|
| | | 4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 268,036 |
|
| | | | Reinvestment of dividends and distributions ................ | 27,010 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 366,457 |
|
| | | 5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 166,364 |
|
| | | | Reinvestment of dividends and distributions ................ | 25,730 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 234,829 |
|
| | | 6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 296,886 |
|
| | | | Reinvestment of dividends and distributions ................ | 26,290 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 96,460 |
|
| | |
Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 1,515,334 |
|
| | | | Reinvestment of dividends and distributions ................ | 160,634 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 1,305,605 |
|
| | |
Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0 |
| |
| S 3: | Miscellaneous Info |
| | |
| 55. | | Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets: |
| | | Overdrafts? No |
| | | Bank loans? No |
| |
| 56. | | During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes |
| |
| 57. | | Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No |
| |
| S 3: | Classification and Asset Allocation |
| | |
| 62. | | Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes |
| | |
The percentage of net assets in each type at period end:
Debt — Short-Term Maturities
U.S. Treasury ............................... 0.0% |
| | | U.S. Government Agency ...................... 0.1 |
| | | Repurchase agreements ....................... 0.0 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Bank certificates of deposit – domestic ..... 0.0 |
| | | Bank certificates of deposit – foreign ...... 0.0 |
| | | Bankers acceptances ......................... 0.0 |
| | | Commercial paper – taxable .................. 0.0 |
| | | Time deposits ............................... 0.0 |
| | | Options ..................................... 0.0 |
| | | All other ................................... 0.0 |
| | |
Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 41.0% |
| | | U.S. Government Agency ...................... 11.1 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Corporate ................................... 38.5 |
| | | All other ................................... 6.7 |
| | |
Non-Debt
Investments other than debt securities ...... 1.9% |
| |
| 63. | | The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0 |
| | | Years: 7.5 |
| |
| 64. | | Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? Yes |
| | |
Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? No |
| |
| 66. | | Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No |
| |
| 67. | | Is the Registrant/Series a “balanced” Fund? No |
| |
| 68. | | Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No |
| | | Located primarily in countries other than the United States? No |
| |
| 69. | | Is the Registrant/Series an index Fund? Yes |
| |
| S 3: | Investment Practices |
| | |
| 70. | | Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:
Activity Permitted Engaged In |
| | | Writing or investing in repurchase agreements? Yes No |
| | | Writing or investing in options on equities? No – |
| | | Writing or investing in options on debt securities? Yes No |
| | | Writing or investing in options on stock indices? No – |
| | | Writing or investing in interest rate futures? Yes No |
| | | Writing or investing in stock index futures? No – |
| | | Writing or investing in options on futures? Yes No |
| | | Writing or investing in options on stock index futures? No – |
| | | Writing or investing in other commodity futures? No – |
| | | Investments in restricted securities? Yes to both |
| | | Investments in shares of other investment companies? Yes to both |
| | | Investments in securities of foreign issuers? Yes to both |
| | | Currency exchange transactions? No – |
| | | Loaning portfolio securities? Yes to both |
| | | Borrowing of money? Yes No |
| | | Purchases/sales by certain exempted affiliated persons? Yes to both |
| | | Margin purchases? No – |
| | | Short selling? No – |
| |
| S 3: | Portfolio Turnover |
| | |
| 71. | | Portfolio turnover rate for the period:
|
| | | Purchases ($000s): 8,280,494 |
| | | Sales ($000s): 6,948,946 |
| | |
Monthly average Value of portfolio ($000s): 7,767,403 |
| | |
Percent turnover (lesser of Purchases or Sales, divided by Value): 89% |
| |
| S 3: | Financial Info — Income and Expenses |
| | |
| 72. | | The number of months covered by the values in Items 72 and 73: 12 |
| | |
Income ($000s)
Net interest income .............................................. | 401,249 |
|
| | | | Net dividend income .............................................. | – |
|
| | | | Account maintenance fees ......................................... | – |
|
| | | | Net other income ................................................. | 69 |
|
| | |
Expenses ($000s)
Advisory fees .................................................... | 746 |
|
| | | | Administrator fees ............................................... | 5,242 |
|
| | | | Salaries and other compensation .................................. | – |
|
| | | | Shareholder Servicing Agent fees ................................. | 2,956 |
|
| | | | Custodian fees ................................................... | 40 |
|
| | | | Postage .......................................................... | – |
|
| | | | Printing expenses ................................................ | 71 |
|
| | | | Directors’ fees .................................................. | 10 |
|
| | | | Registration fees ................................................ | – |
|
| | | | Taxes ............................................................ | – |
|
| | | | Interest ......................................................... | – |
|
| | | | Bookkeeping fees paid to anyone performing this service .......... | – |
|
| | | | Auditing fees .................................................... | 44 |
|
| | | | Legal fees ....................................................... | – |
|
| | | | Marketing/distribution payments, incl. Rule 12b-1 plan payments .. | 2,016 |
|
| | | | Amortization of organization expenses ............................ | – |
|
| | | | Shareholder meeting expenses ..................................... | – |
|
| | | | Other expenses ................................................... | – |
|
| | | | Total expenses ................................................... | 11,125 |
|
| | |
Expense reimbursements ($000s): 0 |
| | |
Net investment income ($000s): 390,193 |
| | |
Realized capital gains ($000s): 162,229 |
| | | Realized capital losses ($000s): 165,284 |
| | |
Net unrealized appreciation during the period ($000s): 0 |
| | | Net unrealized depreciation during the period ($000s): 1,555 |
| | |
Total income dividends for which the record date passed during the
period ($000s): 0 |
| | |
Total capital gains distributions for which the record date passed
during the period ($000s): 0 |
| |
| 73. | | Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:
Dividends from net investment income: $0.0000 |
| | |
Distribution of capital gains: $0.0000 |
| | | Other distributions: $0.0000 |
| |
| S 3: | Financial Info — Condensed Balance Sheet Data |
| | |
| 74. | | Assets ($000s) |
| | | | Cash ............................................................. | – |
|
| | | | Repurchase agreements ............................................ | – |
|
| | | | Short-term debt securities, other than repurchase agreements ..... | 10,836 |
|
| | | | Long-term debt securities, including convertible debt ............ | 8,390,113 |
|
| | | | Preferred, conv. preferred and adjustable-rate preferred stock ... | – |
|
| | | | Common stock ..................................................... | – |
|
| | | | Options on equities .............................................. | – |
|
| | | | Options on all futures ........................................... | – |
|
| | | | Other investments ................................................ | 164,157 |
|
| | | | Receivables from portfolio instruments sold ...................... | 81,140 |
|
| | | | Receivables from affiliated persons .............................. | – |
|
| | | | Other receivables ................................................ | 139,156 |
|
| | | | All other assets ................................................. | – |
|
| | | | Total assets ..................................................... | 8,785,402 |
|
| | |
Liabilities ($000s)
Payables for portfolio instruments purchased ..................... | 108,927 |
|
| | | | Amounts owed to affiliated persons ............................... | 7,853 |
|
| | | | Senior long-term debt ............................................ | – |
|
| | | Other liabilities:
Reverse repurchase agreements .................................. | – |
|
| | | | Short sales .................................................... | – |
|
| | | | Written options ................................................ | – |
|
| | | | All other liabilities .......................................... | 47,333 |
|
| | |
Equity ($000s)
Senior equity .................................................... | – |
|
| | | | Net assets of common shareholders ................................ | 8,621,289 |
|
| | |
Number of shares outstanding (000s): 0 |
| | |
Net Asset Value (NAV) per share (to nearest cent): $0.00 |
| | |
Total number of shareholder accounts: 113,338 |
| | |
Total value of assets in segregated accounts ($000s): 0 |
| |
| 75. | | Monthly average net assets during the period ($000s): 8,015,000 |
| |
| Series 4 | ↑Information Common to All Funds/Series ↑List of 5 Funds/Series |
| |
| 7. | | Name: Vanguard Long-Term Bond Index Fund — S#2562 ⇒ BLV & 2 more |
| | |
Is this the final Form N-SAR filed for this Fund/Series? No |
| |
| S 4: | Custodian |
| | |
| 15.1 | | Name: JP Morgan Chase Bank |
| | | Role: Custodian |
| | | Location: New York, NY |
| | |
Type of custody: Section 17(f)(1) — Bank |
| |
| S 4: | Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers |
| | |
| 24. | | At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes |
|
25. | |
The brokers or dealers, or their parents (issuers):
|
| 25.1 | | Name: J.P. Morgan Securities Inc. |
| | | IRS #: 13-3224016 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 16,941 |
| |
| 25.2 | | Name: Banc of America Securities LLC |
| | | IRS #: 56-2058405 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 14,444 |
| |
| 25.3 | | Name: Credit Suisse Securities (USA) LLC |
| | | IRS #: 13-5659485 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 2,316 |
| |
| 25.4 | | Name: Barclays Capital Inc. |
| | | IRS #: 13-3410233 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 478 |
| |
| 25.5 | | Name: Citigroup Global Markets Inc. |
| | | IRS #: 13-2919773 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 29,351 |
| |
| 25.6 | | Name: Goldman, Sachs & Co. |
| | | IRS #: 13-5108880 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 24,943 |
| |
| 25.7 | | Name: Merrill Lynch, Pierce, Fenner & Smith Inc. |
| | | IRS #: 13-5674085 |
| | | Type of security owned: Debt |
| | | Value of securities owned at period end ($000s): 10,856 |
| |
| S 4: | Sales and Repurchases |
| | |
| 28. | | Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
|
| | | 1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 81,433 |
|
| | | | Reinvestment of dividends and distributions ................ | 11,502 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 68,076 |
|
| | | 2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 63,745 |
|
| | | | Reinvestment of dividends and distributions ................ | 11,536 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 91,446 |
|
| | | 3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 79,557 |
|
| | | | Reinvestment of dividends and distributions ................ | 11,069 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 72,781 |
|
| | | 4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 81,299 |
|
| | | | Reinvestment of dividends and distributions ................ | 11,150 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 120,387 |
|
| | | 5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 45,264 |
|
| | | | Reinvestment of dividends and distributions ................ | 10,658 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 67,374 |
|
| | | 6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 126,498 |
|
| | | | Reinvestment of dividends and distributions ................ | 10,775 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 114,072 |
|
| | |
Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 477,796 |
|
| | | | Reinvestment of dividends and distributions ................ | 66,690 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 534,136 |
|
| | |
Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0 |
| |
| S 4: | Miscellaneous Info |
| | |
| 55. | | Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets: |
| | | Overdrafts? No |
| | | Bank loans? No |
| |
| 56. | | During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes |
| |
| 57. | | Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No |
| |
| S 4: | Classification and Asset Allocation |
| | |
| 62. | | Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes |
| | |
The percentage of net assets in each type at period end:
Debt — Short-Term Maturities
U.S. Treasury ............................... 0.1% |
| | | U.S. Government Agency ...................... 0.0 |
| | | Repurchase agreements ....................... 0.0 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Bank certificates of deposit – domestic ..... 0.0 |
| | | Bank certificates of deposit – foreign ...... 0.0 |
| | | Bankers acceptances ......................... 0.0 |
| | | Commercial paper – taxable .................. 0.0 |
| | | Time deposits ............................... 0.0 |
| | | Options ..................................... 0.0 |
| | | All other ................................... 0.0 |
| | |
Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 45.3% |
| | | U.S. Government Agency ...................... 5.9 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Corporate ................................... 39.0 |
| | | All other ................................... 7.2 |
| | |
Non-Debt
Investments other than debt securities ...... 1.7% |
| |
| 63. | | The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0 |
| | | Years: 21.0 |
| |
| 64. | | Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? Yes |
| | |
Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? No |
| |
| 66. | | Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No |
| |
| 67. | | Is the Registrant/Series a “balanced” Fund? No |
| |
| 68. | | Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No |
| | | Located primarily in countries other than the United States? No |
| |
| 69. | | Is the Registrant/Series an index Fund? Yes |
| |
| S 4: | Investment Practices |
| | |
| 70. | | Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:
Activity Permitted Engaged In |
| | | Writing or investing in repurchase agreements? Yes No |
| | | Writing or investing in options on equities? No – |
| | | Writing or investing in options on debt securities? Yes No |
| | | Writing or investing in options on stock indices? No – |
| | | Writing or investing in interest rate futures? Yes No |
| | | Writing or investing in stock index futures? No – |
| | | Writing or investing in options on futures? Yes No |
| | | Writing or investing in options on stock index futures? No – |
| | | Writing or investing in other commodity futures? No – |
| | | Investments in restricted securities? Yes to both |
| | | Investments in shares of other investment companies? Yes to both |
| | | Investments in securities of foreign issuers? Yes to both |
| | | Currency exchange transactions? No – |
| | | Loaning portfolio securities? Yes No |
| | | Borrowing of money? Yes No |
| | | Purchases/sales by certain exempted affiliated persons? Yes to both |
| | | Margin purchases? No – |
| | | Short selling? No – |
| |
| S 4: | Portfolio Turnover |
| | |
| 71. | | Portfolio turnover rate for the period:
|
| | | Purchases ($000s): 2,024,770 |
| | | Sales ($000s): 1,849,248 |
| | |
Monthly average Value of portfolio ($000s): 2,740,580 |
| | |
Percent turnover (lesser of Purchases or Sales, divided by Value): 67% |
| |
| S 4: | Financial Info — Income and Expenses |
| | |
| 72. | | The number of months covered by the values in Items 72 and 73: 12 |
| | |
Income ($000s)
Net interest income .............................................. | 159,646 |
|
| | | | Net dividend income .............................................. | – |
|
| | | | Account maintenance fees ......................................... | – |
|
| | | | Net other income ................................................. | – |
|
| | |
Expenses ($000s)
Advisory fees .................................................... | 265 |
|
| | | | Administrator fees ............................................... | 1,934 |
|
| | | | Salaries and other compensation .................................. | – |
|
| | | | Shareholder Servicing Agent fees ................................. | 1,752 |
|
| | | | Custodian fees ................................................... | 44 |
|
| | | | Postage .......................................................... | – |
|
| | | | Printing expenses ................................................ | 51 |
|
| | | | Directors’ fees .................................................. | 4 |
|
| | | | Registration fees ................................................ | – |
|
| | | | Taxes ............................................................ | – |
|
| | | | Interest ......................................................... | – |
|
| | | | Bookkeeping fees paid to anyone performing this service .......... | – |
|
| | | | Auditing fees .................................................... | 21 |
|
| | | | Legal fees ....................................................... | – |
|
| | | | Marketing/distribution payments, incl. Rule 12b-1 plan payments .. | 697 |
|
| | | | Amortization of organization expenses ............................ | – |
|
| | | | Shareholder meeting expenses ..................................... | – |
|
| | | | Other expenses ................................................... | – |
|
| | | | Total expenses ................................................... | 4,768 |
|
| | |
Expense reimbursements ($000s): 0 |
| | |
Net investment income ($000s): 154,878 |
| | |
Realized capital gains ($000s): 44,222 |
| | | Realized capital losses ($000s): 43,311 |
| | |
Net unrealized appreciation during the period ($000s): 80,786 |
| | | Net unrealized depreciation during the period ($000s): 0 |
| | |
Total income dividends for which the record date passed during the
period ($000s): 0 |
| | |
Total capital gains distributions for which the record date passed
during the period ($000s): 0 |
| |
| 73. | | Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:
Dividends from net investment income: $0.0000 |
| | |
Distribution of capital gains: $0.0000 |
| | | Other distributions: $0.0000 |
| |
| S 4: | Financial Info — Condensed Balance Sheet Data |
| | |
| 74. | | Assets ($000s) |
| | | | Cash ............................................................. | – |
|
| | | | Repurchase agreements ............................................ | – |
|
| | | | Short-term debt securities, other than repurchase agreements ..... | 3,039 |
|
| | | | Long-term debt securities, including convertible debt ............ | 2,976,870 |
|
| | | | Preferred, conv. preferred and adjustable-rate preferred stock ... | – |
|
| | | | Common stock ..................................................... | – |
|
| | | | Options on equities .............................................. | – |
|
| | | | Options on all futures ........................................... | – |
|
| | | | Other investments ................................................ | 51,430 |
|
| | | | Receivables from portfolio instruments sold ...................... | 13,838 |
|
| | | | Receivables from affiliated persons .............................. | – |
|
| | | | Other receivables ................................................ | 50,613 |
|
| | | | All other assets ................................................. | – |
|
| | | | Total assets ..................................................... | 3,095,790 |
|
| | |
Liabilities ($000s)
Payables for portfolio instruments purchased ..................... | 26,699 |
|
| | | | Amounts owed to affiliated persons ............................... | 2,648 |
|
| | | | Senior long-term debt ............................................ | – |
|
| | | Other liabilities:
Reverse repurchase agreements .................................. | – |
|
| | | | Short sales .................................................... | – |
|
| | | | Written options ................................................ | – |
|
| | | | All other liabilities .......................................... | 10,916 |
|
| | |
Equity ($000s)
Senior equity .................................................... | – |
|
| | | | Net assets of common shareholders ................................ | 3,055,527 |
|
| | |
Number of shares outstanding (000s): 0 |
| | |
Net Asset Value (NAV) per share (to nearest cent): $0.00 |
| | |
Total number of shareholder accounts: 65,547 |
| | |
Total value of assets in segregated accounts ($000s): 0 |
| |
| 75. | | Monthly average net assets during the period ($000s): 2,819,630 |
| |
| Series 5 | ↑Information Common to All Funds/Series ↑List of 5 Funds/Series |
| |
| 7. | | Name: Vanguard Inflation-Protected Securities Fund — S#19554 ⇒ VAIPX & 2 more |
| | |
Is this the final Form N-SAR filed for this Fund/Series? No |
| |
| S 5: | Custodian |
| | |
| 15.1 | | Name: J.P. Morgan Chase Bank |
| | | Role: Custodian |
| | | Location: NY, NY |
| | |
Type of custody: Section 17(f)(1) — Bank |
| |
| S 5: | Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers |
| | |
| 24. | | At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No |
| |
| S 5: | Sales and Repurchases |
| | |
| 28. | | Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
|
| | | 1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 1,158,700 |
|
| | | | Reinvestment of dividends and distributions ................ | – |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 368,974 |
|
| | | 2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 884,054 |
|
| | | | Reinvestment of dividends and distributions ................ | – |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 342,389 |
|
| | | 3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 975,657 |
|
| | | | Reinvestment of dividends and distributions ................ | 268,819 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 565,984 |
|
| | | 4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 1,120,345 |
|
| | | | Reinvestment of dividends and distributions ................ | – |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 1,521,875 |
|
| | | 5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 564,343 |
|
| | | | Reinvestment of dividends and distributions ................ | – |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 821,280 |
|
| | | 6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ | 798,416 |
|
| | | | Reinvestment of dividends and distributions ................ | 19,577 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 688,651 |
|
| | |
Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ | 5,501,515 |
|
| | | | Reinvestment of dividends and distributions ................ | 288,396 |
|
| | | | Other ...................................................... | – |
|
| | | | Total NAV of shares redeemed & repurchased (inc. exchanges) .. | 4,309,153 |
|
| | |
Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0 |
| |
| S 5: | Miscellaneous Info |
| | |
| 55. | | Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets: |
| | | Overdrafts? No |
| | | Bank loans? No |
| |
| 56. | | During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes |
| |
| 57. | | Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No |
| |
| S 5: | Classification and Asset Allocation |
| | |
| 62. | | Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes |
| | |
The percentage of net assets in each type at period end:
Debt — Short-Term Maturities
U.S. Treasury ............................... 0.0% |
| | | U.S. Government Agency ...................... 0.0 |
| | | Repurchase agreements ....................... 0.0 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Bank certificates of deposit – domestic ..... 0.0 |
| | | Bank certificates of deposit – foreign ...... 0.0 |
| | | Bankers acceptances ......................... 0.0 |
| | | Commercial paper – taxable .................. 0.0 |
| | | Time deposits ............................... 0.0 |
| | | Options ..................................... 0.0 |
| | | All other ................................... 0.0 |
| | |
Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 98.0% |
| | | U.S. Government Agency ...................... 0.0 |
| | | State and Municipal – tax-free .............. 0.0 |
| | | Corporate ................................... 0.0 |
| | | All other ................................... 0.0 |
| | |
Non-Debt
Investments other than debt securities ...... 1.1% |
| |
| 63. | | The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0 |
| | | Years: 8.8 |
| |
| 64. | | Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? No |
| | |
Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? No |
| |
| 66. | | Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No |
| |
| 67. | | Is the Registrant/Series a “balanced” Fund? No |
| |
| 68. | | Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No |
| | | Located primarily in countries other than the United States? No |
| |
| 69. | | Is the Registrant/Series an index Fund? No |
| |
| S 5: | Investment Practices |
| | |
| 70. | | Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:
Activity Permitted Engaged In |
| | | Writing or investing in repurchase agreements? Yes No |
| | | Writing or investing in options on equities? No – |
| | | Writing or investing in options on debt securities? Yes No |
| | | Writing or investing in options on stock indices? No – |
| | | Writing or investing in interest rate futures? Yes to both |
| | | Writing or investing in stock index futures? No – |
| | | Writing or investing in options on futures? Yes No |
| | | Writing or investing in options on stock index futures? No – |
| | | Writing or investing in other commodity futures? No – |
| | | Investments in restricted securities? Yes No |
| | | Investments in shares of other investment companies? Yes to both |
| | | Investments in securities of foreign issuers? No – |
| | | Currency exchange transactions? No – |
| | | Loaning portfolio securities? Yes No |
| | | Borrowing of money? Yes No |
| | | Purchases/sales by certain exempted affiliated persons? Yes No |
| | | Margin purchases? No – |
| | | Short selling? No – |
| |
| S 5: | Portfolio Turnover |
| | |
| 71. | | Portfolio turnover rate for the period:
|
| | | Purchases ($000s): 9,320,427 |
| | | Sales ($000s): 4,340,139 |
| | |
Monthly average Value of portfolio ($000s): 15,692,794 |
| | |
Percent turnover (lesser of Purchases or Sales, divided by Value): 28% |
| |
| S 5: | Financial Info — Income and Expenses |
| | |
| 72. | | The number of months covered by the values in Items 72 and 73: 12 |
| | |
Income ($000s)
Net interest income .............................................. | 840,953 |
|
| | | | Net dividend income .............................................. | – |
|
| | | | Account maintenance fees ......................................... | – |
|
| | | | Net other income ................................................. | – |
|
| | |
Expenses ($000s)
Advisory fees .................................................... | 1,476 |
|
| | | | Administrator fees ............................................... | 10,035 |
|
| | | | Salaries and other compensation .................................. | – |
|
| | | | Shareholder Servicing Agent fees ................................. | 8,202 |
|
| | | | Custodian fees ................................................... | 45 |
|
| | | | Postage .......................................................... | – |
|
| | | | Printing expenses ................................................ | 270 |
|
| | | | Directors’ fees .................................................. | 21 |
|
| | | | Registration fees ................................................ | – |
|
| | | | Taxes ............................................................ | – |
|
| | | | Interest ......................................................... | – |
|
| | | | Bookkeeping fees paid to anyone performing this service .......... | 31 |
|
| | | | Auditing fees .................................................... | – |
|
| | | | Legal fees ....................................................... | – |
|
| | | | Marketing/distribution payments, incl. Rule 12b-1 plan payments .. | 4,064 |
|
| | | | Amortization of organization expenses ............................ | – |
|
| | | | Shareholder meeting expenses ..................................... | – |
|
| | | | Other expenses ................................................... | – |
|
| | | | Total expenses ................................................... | 24,144 |
|
| | |
Expense reimbursements ($000s): 0 |
| | |
Net investment income ($000s): 816,809 |
| | |
Realized capital gains ($000s): 101,501 |
| | | Realized capital losses ($000s): 295,245 |
| | |
Net unrealized appreciation during the period ($000s): 0 |
| | | Net unrealized depreciation during the period ($000s): 1,359,588 |
| | |
Total income dividends for which the record date passed during the
period ($000s): 0 |
| | |
Total capital gains distributions for which the record date passed
during the period ($000s): 0 |
| |
| 73. | | Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:
Dividends from net investment income: $0.0000 |
| | |
Distribution of capital gains: $0.0000 |
| | | Other distributions: $0.0000 |
| |
| S 5: | Financial Info — Condensed Balance Sheet Data |
| | |
| 74. | | Assets ($000s) |
| | | | Cash ............................................................. | – |
|
| | | | Repurchase agreements ............................................ | – |
|
| | | | Short-term debt securities, other than repurchase agreements ..... | – |
|
| | | | Long-term debt securities, including convertible debt ............ | 16,241,876 |
|
| | | | Preferred, conv. preferred and adjustable-rate preferred stock ... | – |
|
| | | | Common stock ..................................................... | – |
|
| | | | Options on equities .............................................. | – |
|
| | | | Options on all futures ........................................... | – |
|
| | | | Other investments ................................................ | 181,122 |
|
| | | | Receivables from portfolio instruments sold ...................... | – |
|
| | | | Receivables from affiliated persons .............................. | – |
|
| | | | Other receivables ................................................ | 198,572 |
|
| | | | All other assets ................................................. | – |
|
| | | | Total assets ..................................................... | 16,621,570 |
|
| | |
Liabilities ($000s)
Payables for portfolio instruments purchased ..................... | – |
|
| | | | Amounts owed to affiliated persons ............................... | 16,564 |
|
| | | | Senior long-term debt ............................................ | – |
|
| | | Other liabilities:
Reverse repurchase agreements .................................. | – |
|
| | | | Short sales .................................................... | – |
|
| | | | Written options ................................................ | – |
|
| | | | All other liabilities .......................................... | 36,423 |
|
| | |
Equity ($000s)
Senior equity .................................................... | – |
|
| | | | Net assets of common shareholders ................................ | 16,568,583 |
|
| | |
Number of shares outstanding (000s): 0 |
| | |
Net Asset Value (NAV) per share (to nearest cent): $0.00 |
| | |
Total number of shareholder accounts: 248,098 |
| | |
Total value of assets in segregated accounts ($000s): 29,830 |
| |
| 75. | | Monthly average net assets during the period ($000s): 15,915,301 |
| |
| Signature | | ↑Top of Form N-SAR |
| | | |
| | | /s/ Nancy McCoy |
| | | Name: Nancy McCoy |
| | | Title: Manager |
