Annual Financial Statements | December 31, 2020 Vanguard ETFs™ Contents Independent Auditor’s Report 1 Vanguard Canadian Aggregate Bond Index ETF 3 Vanguard Canadian Corporate Bond Index ETF 20 Vanguard Canadian Government Bond Index ETF 32 Vanguard Canadian Long-Term Bond Index ETF 40 Vanguard Canadian Short-Term Bond Index ETF 48 Vanguard Canadian Short-Term Corporate Bond Index ETF 57 Vanguard FTSE Canada All Cap Index ETF 64 Vanguard FTSE Canada Index ETF 71 Vanguard FTSE Canadian Capped REIT Index ETF 77 Vanguard FTSE Canadian High Dividend Yield Index ETF 82 Vanguard FTSE Developed All Cap ex North America Index ETF 86 Vanguard FTSE Developed All Cap ex North America Index ETF (CAD-hedged) 142 Vanguard FTSE Developed All Cap ex U.S. Index ETF 149 Vanguard FTSE Developed All Cap ex U.S. Index ETF (CAD-hedged) 153 Vanguard FTSE Developed Asia Pacific All Cap Index ETF 161 Vanguard FTSE Developed Europe All Cap Index ETF 194 Vanguard FTSE Developed ex North America High Dividend Yield Index ETF 216 Vanguard FTSE Emerging Markets All Cap Index ETF 229 Vanguard FTSE Global All Cap ex Canada Index ETF 234 Vanguard Global Aggregate Bond Index ETF (CAD-hedged) 238 Vanguard Global ex-U.S. Aggregate Bond Index ETF (CAD-hedged) 241 Vanguard S&P 500 Index ETF 245 Vanguard S&P 500 Index ETF (CAD-hedged) 250 Vanguard U.S. Aggregate Bond Index ETF (CAD-hedged) 255 Vanguard U.S. Dividend Appreciation Index ETF 259 Vanguard U.S. Dividend Appreciation Index ETF (CAD-hedged) 262 Vanguard U.S. Total Market Index ETF 266 Vanguard U.S. Total Market Index ETF (CAD-hedged) 270 Notes to the Financial Statements 275 Independent Auditor’s Report To the Unitholders and Trustee of What we have audited The financial statements of each Fund comprise: Vanguard Canadian Aggregate Bond Index ETF Vanguard Canadian Corporate Bond Index ETF • the statements of financial position as at the period-end Vanguard Canadian Government Bond Index ETF dates indicated in note 1; Vanguard Canadian Long-Term Bond Index ETF • the statements of comprehensive income for the periods Vanguard Canadian Short-Term Bond Index ETF indicated in note 1; Vanguard Canadian Short-Term Corporate Bond Index ETF • the statements of changes in net assets attributable to Vanguard FTSE Canada All Cap Index ETF holders of redeemable units for the periods indicated in Vanguard FTSE Canada Index ETF note 1; Vanguard FTSE Canadian Capped REIT Index ETF • the statements of cash flows for the periods indicated in Vanguard FTSE Canadian High Dividend Yield Index ETF note 1; and Vanguard FTSE Developed All Cap ex North America Index ETF • the notes to the financial statements, which include Vanguard FTSE Developed All Cap ex North America Index ETF significant accounting policies and other explanatory (CAD-hedged) information. Vanguard FTSE Developed All Cap ex U.S. Index ETF Vanguard FTSE Developed All Cap ex U.S. Index ETF (CAD-hedged) Basis for opinion Vanguard FTSE Developed Asia Pacific All Cap Index ETF We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those Vanguard FTSE Developed Europe All Cap Index ETF standards are further described in the Auditor’s responsibilities Vanguard FTSE Developed ex North America High Dividend for the audit of the financial statements section of our report. Yield Index ETF Vanguard FTSE Emerging Markets All Cap Index ETF Vanguard FTSE Global All Cap ex Canada Index ETF We believe that the audit evidence we have obtained is Vanguard Global Aggregate Bond Index ETF (CAD-hedged) sufficient and appropriate to provide a basis for our opinion. Vanguard Global ex-U.S. Aggregate Bond Index ETF (CAD-hedged) Independence Vanguard S&P 500 Index ETF We are independent of each Fund in accordance with the Vanguard S&P 500 Index ETF (CAD-hedged) ethical requirements that are relevant to our audit of the Vanguard U.S. Aggregate Bond Index ETF (CAD-hedged) financial statements in Canada. We have fulfilled our other Vanguard U.S. Dividend Appreciation Index ETF ethical responsibilities in accordance with these requirements. Vanguard U.S. Dividend Appreciation Index ETF (CAD-hedged) Vanguard U.S. Total Market Index ETF Other information Vanguard U.S. Total Market Index ETF (CAD-hedged) Management is responsible for the other information of each (Collectively, the Funds, individually each Fund) Fund. The other information comprises the Annual Management Report of Fund Performance of each Fund. Our opinion In our opinion, the accompanying December 31, 2020 annual financial statements of each Fund present fairly, in all material Our opinion on the financial statements does not cover the respects, the financial position of each Fund, its financial other information and we do not express any form of assurance performance and its cash flows as at and for the periods conclusion thereon. indicated in note 1 in accordance with International Financial Reporting Standards, as issued by the International Accounting In connection with our audit of the financial statements of each Standards Board (IFRS). Fund, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements of each Fund or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we 1 are required to report that fact. We have nothing to report in • Obtain an understanding of internal control relevant to the this regard. audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the internal control of each Responsibilities of management and those charged with Fund. governance for the financial statements • Evaluate the appropriateness of accounting policies used and Management is responsible for the preparation and fair the reasonableness of accounting estimates and related presentation of the financial statements of each Fund in disclosures made by management. accordance with IFRS, and for such internal control as management determines is necessary to enable the • Conclude on the appropriateness of management’s use of preparation of financial statements that are free from material the going concern basis of accounting and, based on the misstatement, whether due to fraud or error. audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ability of each Fund to continue as a In preparing the financial statements, management is going concern. If we conclude that a material uncertainty responsible for assessing the ability of each Fund to continue exists, we are required to draw attention in our auditor’s as a going concern, disclosing, as applicable, matters related to report to the related disclosures in the financial statements going concern and using the going concern basis of accounting of each Fund or, if such disclosures are inadequate, to modify unless management either intends to liquidate any Fund or to our opinion. Our conclusions are based on the audit evidence cease operations, or has no realistic alternative but to do so. obtained up to the date of our auditor’s report. However, future events or conditions may cause any Fund to cease to Those charged with governance are responsible for overseeing continue as a going concern. the financial reporting process of each Fund. • Evaluate the overall presentation, structure and content of the financial statements of each Fund, including the disclosures, and whether the financial statements represent Auditor’s responsibilities for the audit of the financial the underlying transactions and events in a manner that statements achieves fair presentation. Our objectives are to obtain reasonable assurance about whether the financial statements as a whole for each Fund are free from material misstatement, whether due to fraud or error, We communicate with those charged with governance and to issue an auditor’s report that includes our opinion. regarding, among other matters, the planned scope and timing Reasonable assurance is a high level of assurance, but is not a of the audit and significant audit findings, including any guarantee that an audit conducted in accordance with Canadian significant deficiencies in internal control that we identify generally accepted auditing standards will always detect a during our audit. material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or We also provide those charged with governance with a in the aggregate, they could reasonably be expected to statement that we have complied with relevant ethical influence the economic decisions of users taken on the basis requirements regarding independence, and to communicate of the financial statements of each Fund. with them all relationships and other matters that may reasonably be thought to bear on our independence, and where As part of an audit in accordance with Canadian generally applicable, related safeguards. accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the The engagement partner on the audit resulting in this audit. We also: independent auditor’s report is Christina Fox. • Identify and assess the risks of material misstatement of the financial statements