PDF Vanguard® Retirement Savings Master Trust Financial ...
Vanguard? Retirement Savings Master Trust Financial Statements 12/31/2019
Vanguard Retirement Savings Master Trust
Schedule of Investments As of December 31, 2019
Investment Contracts (97.5%) Traditional Contracts Issued by Insurance Companies and Banks (4.5%) Metropolitan Life Insurance Co. Metropolitan Life Insurance Co. Metropolitan Life Insurance Co. Metropolitan Life Insurance Co. Metropolitan Life Insurance Co. Metropolitan Life Insurance Co. New York Life Insurance Co. New York Life Insurance Co. New York Life Insurance Co. New York Life Insurance Co. Total Traditional Contracts Issued by Insurance Companies and Banks
Synthetic Investment Contracts (93.0%) American General Life Insurance Co. (8.1%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
JPMorgan Chase Bank (9.0%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Lincoln National Life Insurance Co. (3.8%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Massachusetts Mutual Life Insurance Co. (10.0%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Metropolitan Tower Life Insurance Co. (7.5%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Nationwide Life (7.6%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
NYL Insurance and Annuity Corporation (6.0%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Pacific Life Insurance Co. (7.3%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Prudential (11.7%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
State Street Bank & Trust (10.8%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Issuer Rating: S&P/Moody's
(unaudited)
Interest Rate
Investments at
Maturity
Fair Value
Date1
($000)
Adjustment to Contract
Value
($000)
Contract Value? ($000)
AA-/Aa3 AA-/Aa3 AA-/Aa3 AA-/Aa3 AA-/Aa3 AA-/Aa3 AA+/Aaa AA+/Aaa AA+/Aaa AA+/Aaa
2.900% 2.200% 3.460% 3.420% 2.990% 2.990% 2.250% 2.250% 2.050% 3.050%
3/27/20 8/17/20
7/2/21 1/19/22
4/7/22 4/7/22 11/16/20 11/16/20 10/12/21 3/15/23
121,948 105,030 138,681
52,607 108,452
24,805 37,234
1,781 132,409 196,725 919,672
(43) 269 (1,921) (997) (1,268) (290) 102
5 999 11,522 8,378
121,905 105,299 136,760
51,610 107,184
24,515 37,336
1,786 133,408 208,247 928,050
Issuer Rating: S&P/Moody's
(unaudited)
Investments at
Interest
Fair Value
Rate
($000)
Wrap Contract Adjustment to
at Fair Value Contract Value
($000)
($000)
Contract Value ($000)
A+/A2 2.670%2
1,298,116 379,596
-
(20,852) 1,277,264
-
(6,097) 373,499
A+/Aa2 2.800%2
1,477,523 414,891
-
(29,887) 1,447,636
-
(8,392) 406,499
AA-/A1 2.560%2
621,259 175,429
-
(8,613) 612,646
-
(2,432) 172,997
AA+/Aa3 2.770%2
1,520,584 573,400
-
(29,276) 1,491,308
-
(11,040) 562,360
AA-/Aa3 2.670%2
1,221,407 349,615
-
(20,202) 1,201,205
-
(5,783) 343,832
A+/A1 2.790%2
1,235,165 361,202
-
(23,946) 1,211,219
-
(7,003) 354,199
AA+/Aaa 2.190%2
1,025,798 201,823
-
(1,968) 1,023,830
-
(387) 201,436
AA-/A1 2.760%2
1,219,719 298,431
-
(23,720) 1,195,999
-
(5,804) 292,627
AA-/Aa3 2.970%2
2,002,899 448,931
-
(50,824) 1,952,075
-
(11,392) 437,539
AA-/Aa3 2.880%2
1,752,340 506,583
-
(39,464) 1,712,876
-
(11,408) 495,175
See accompanying Notes, which are an integral part of the Financial Statements.
Vanguard Retirement Savings Master Trust
Transamerica Premier Life (11.2%) Vanguard Institutional Intermediate-Term Bond Fund3 Vanguard Institutional Short-Term Bond Fund3
Total Synthetic Investment Contracts Total Investment Contracts Short-Term Investments (2.5%) Vanguard Federal Money Market Fund-Investor Shares4 Total Investments (100.0%) Other Assets and Liabilities--Net (0.0%)
Net Assets (100%)
Issuer Rating: S&P/Moody's
(unaudited)
Investments at
Interest
Fair Value
Rate
($000)
Wrap Contract Adjustment to
at Fair Value Contract Value
($000)
($000)
Contract Value ($000)
AA-/A1 2.670%2
1,805,162 528,671
-
(28,851) 1,776,311
-
(8,449) 520,222
19,418,544 20,338,216
-
(355,790) 19,062,754
-
(347,412) 19,990,804
AA/Aaa 1.250%
520,581 20,858,797
-
-
520,581
-
(347,412) 20,511,385
(12,916)
20,498,469
?See Note A in Notes to Financial Statements. 1 The maturity date for an investment contract represents the date when either the entire contract matures or the final portion of the contract matures. 2 The interest rate will change quarterly (but will not fall below zero) based upon the performance of the underlying investment portfolio. The contract has no stated maturity date. The contract can be terminated by either party after providing 60 days' notice. 3 The underlying investment portfolio is composed of corporate bonds, asset-backed/commercial mortgage-backed securities, U.S. Treasury securities, government-agency securities, and is managed by Vanguard Fixed Income Group. Also considered an affiliated company of the Trust as the issuer is a member of The Vanguard Group. 4 Considered an affiliated company of the Trust as the issuer is a member of The Vanguard Group. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
Vanguard Retirement Savings Master Trust
Statement of Assets and Liabilities
Assets Investments at Fair Value Wrap Contracts at Fair Value Other Assets Total Assets
Liabilities Liabilities Net Assets Reflecting All Investments at Fair Value
Adjustment from Fair Value to Contract Value for Fully Benefit-Responsive Investment Contracts Net Assets
Applicable to 20,498,469,597 outstanding units of beneficial interest, respectively (unlimited authorization)
Net Asset Value Per Unit (Net Assets Divided by Units Outstanding) Change in the Adjustment from Fair Value to Contract Value for Fully Benefit-Responsive Investment Contracts Beginning of the Period Increase (Decrease) due to Changes in the Fully BenefitResponsive Investment Contracts End of Period
As of December 31, 2019
($000) 20,858,797
226,337 21,085,134
239,253 20,845,881
(347,412) 20,498,469
$1.00
174,189 (521,601) (347,412)
See accompanying Notes which are an integral part of the Financial Statements.
Vanguard Retirement Savings Master Trust
Statement of Operations and Changes in Net Assets
Operations Income
Interest Dividends1 Total Income Expenses Wrap Fee Investment Management Fee Total Expenses-Note C
Net Investment Income Distributions to Unitholder Trusts
Total Distributions Transactions with Unitholder Trusts (at $1.00 per unit)
Contributions Withdrawals
Net Increase (Decrease) in Net Assets Net Assets
Beginning of Period End of Period 1 All dividend income is from an affiliated company of the Trust.
Year Ended December 31, 2019
($000)
543,216 18,310
561,526
32,911 258
33,169 528,357
(528,357)
8,400,575 (8,305,883)
94,692
20,403,777 20,498,469
See accompanying Notes, which are an integral part of the Financial Statements.
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