UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04681

Name of Registrant: Vanguard Bond Index Funds

Address of Registrant: P.O. Box 2600

Valley Forge, PA 19482

Name and address of agent for service: Anne E. Robinson, Esquire

P.O. Box 876

Valley Forge, PA 19482

Registrant’s telephone number, including area code: (610) 669-1000

Date of fiscal year end: December 31

Date of reporting period: January 1, 2019—December 31, 2019

Item 1: Reports to Shareholders

Annual Report  |December 31, 2019

Vanguard Bond Index Funds

Vanguard Short-Term Bond Index Fund

Vanguard Intermediate-Term Bond Index Fund

Vanguard Long-Term Bond Index Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
About Your Fund’s Expenses	3
Short-Term Bond Index Fund	6
Intermediate-Term Bond Index Fund	26
Long-Term Bond Index Fund	46

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

A Note From Our Chairman

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

1

Your Fund’s Performance at a Glance

·   For the 12 months ended December 31, 2019, returns for the funds in this report ranged from 4.77% for Investor Shares of Vanguard Short-Term Bond Index Fund to 19.09% for ETF Shares of Vanguard Long-Term Bond Index Fund. The three funds performed roughly in line with their benchmarks when taking expenses and fees into account.

·   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a significant narrowing of the average yield spread for corporate bonds versus U.S. Treasuries.

·   Treasuries returned 6.86%. Mortgage-backed securities returned a little less than that, but corporate bonds fared even better, returning 14.54%.

·   By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year			Three Years			Five Years
Stocks
Russell 1000 Index (Large-caps)		31.43	%		15.05	%		11.48	%
Russell 2000 Index (Small-caps)		25.53			8.59			8.23
Russell 3000 Index (Broad U.S. market)		31.02			14.57			11.24
FTSE All-World ex US Index (International)		21.81			9.96			5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)		8.72	%		4.03	%		3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)		7.54			4.72			3.53
FTSE Three-Month U.S. Treasury Bill Index		2.25			1.65			1.04
CPI
Consumer Price Index		2.29	%		2.10	%		1.82	%

Except for ETF Shares, any returns cited for the Long-Term Bond Index Fund reflect the 0.50% fee on purchases of fund shares.

2

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

·   Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

·   Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

3

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
	6/30/2019	12/31/2019	Period
Based on Actual Fund Return
Short-Term Bond Index Fund
Investor Shares	$1,000.00	$1,012.76	$0.76
ETF Shares	1,000.00	1,013.61	0.20
Admiral™ Shares	1,000.00	1,013.17	0.36
Institutional Shares	1,000.00	1,013.27	0.25
Institutional Plus Shares	1,000.00	1,013.32	0.20
Intermediate-Term Bond Index Fund
Investor Shares	$1,000.00	$1,022.71	$0.76
ETF Shares	1,000.00	1,023.35	0.20
Admiral Shares	1,000.00	1,023.12	0.36
Institutional Shares	1,000.00	1,023.22	0.26
Institutional Plus Shares	1,000.00	1,023.27	0.20
Long-Term Bond Index Fund
ETF Shares	$1,000.00	$1,053.48	$0.26
Admiral Shares	1,000.00	1,053.48	0.36
Institutional Shares	1,000.00	1,053.58	0.26
Institutional Plus Shares	1,000.00	1,053.64	0.21

4

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
	6/30/2019	12/31/2019	Period
Based on Hypothetical 5% Yearly Return
Short-Term Bond Index Fund
Investor Shares	$1,000.00	$1,024.45	$0.77
ETF Shares	1,000.00	1,025.00	0.20
Admiral Shares	1,000.00	1,024.85	0.36
Institutional Shares	1,000.00	1,024.95	0.26
Institutional Plus Shares	1,000.00	1,025.00	0.20
Intermediate-Term Bond Index Fund
Investor Shares	$1,000.00	$1,024.45	$0.77
ETF Shares	1,000.00	1,025.00	0.20
Admiral Shares	1,000.00	1,024.85	0.36
Institutional Shares	1,000.00	1,024.95	0.26
Institutional Plus Shares	1,000.00	1,025.00	0.20
Long-Term Bond Index Fund
ETF Shares	$1,000.00	$1,024.95	$0.26
Admiral Shares	1,000.00	1,024.85	0.36
Institutional Shares	1,000.00	1,024.95	0.26
Institutional Plus Shares	1,000.00	1,025.00	0.20

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Bond Index Fund, 0.15% for Investor Shares, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares; for the Intermediate-Term Bond Index Fund, 0.15% for Investor Shares, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares; and for the Long-Term Bond Index Fund, 0.05% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

5

Short-Term Bond Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

		Average Annual Total Returns
		Periods Ended December 31, 2019
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Short-Term Bond Index Fund Investor Shares	4.77%	1.87%	1.94%	$12,113
	Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index	5.01	2.03	2.13	12,343
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Short-Term Bond Index Fund ETF Shares Net Asset Value	4.92%	1.95%	2.03%	$12,222
Short-Term Bond Index Fund ETF Shares Market Price	4.94	1.94	2.01	12,201
Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index	5.01	2.03	2.13	12,343
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

See Financial Highlights for dividend and capital gains information.

6

Short-Term Bond Index Fund

	Average Annual Total Returns
	Periods Ended December 31, 2019
				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Short-Term Bond Index Fund Admiral Shares	4.86%	1.95%	2.03%	$12,223
Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index	5.01	2.03	2.13	12,343
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

			Since	Final Value
	One	Five	Inception	of a $5,000,000
	Year	Years	(9/27/2011)	Investment
Short-Term Bond Index Fund Institutional Shares	4.88%	1.97%	1.68%	$5,737,462
Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index	5.01	2.03	1.75	5,772,487
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.02	6,394,294

“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standard(s).

			Since	Final Value
	One	Five	Inception	of a $100,000,000
	Year	Years	(9/29/2011)	Investment
Short-Term Bond Index Fund Institutional Plus Shares	4.89%	1.98%	1.69%	$114,873,785
Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index	5.01	2.03	1.75	115,441,081
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	2.99	127,542,445

“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).

7

Short-Term Bond Index Fund

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

	One	Five	Ten
	Year	Years	Years
Short-Term Bond Index Fund ETF Shares Market Price	4.94%	10.08%	22.01%
Short-Term Bond Index Fund ETF Shares Net Asset Value	4.92	10.14	22.22
Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index	5.01	10.56	23.43

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

8

Short-Term Bond Index Fund

Sector Diversification

As of December 31, 2019

Finance	10.6	%
Foreign	6.7
Industrial	13.5
Treasury/Agency	68.0
Utilities	1.1
Other	0.1

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

9

Short-Term Bond Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2019

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market	Percentage
			Maturity	Amount	Value·	of Net
		Coupon	Date	($000)	($000)	Assets
U.S. Government and Agency Obligations
U.S. Government Securities
	United States Treasury Note/Bond	1.250%	3/31/21	1,253,591	1,247,712	2.5%
	United States Treasury Note/Bond	1.250%	10/31/21	864,836	859,431	1.7%
	United States Treasury Note/Bond	1.125%	8/31/21	618,413	613,484	1.2%
	United States Treasury Note/Bond	2.625%	2/28/23	551,203	567,998	1.1%
	United States Treasury Note/Bond	2.125%	3/31/24	536,754	546,480	1.1%
	United States Treasury Note/Bond	1.125%	9/30/21	548,868	544,323	1.1%
	United States Treasury Note/Bond	1.500%	10/31/21	543,029	542,182	1.1%
	United States Treasury Note/Bond	1.875%	1/31/22	530,340	533,321	1.1%
	United States Treasury Note/Bond	1.375%	5/31/21	514,165	512,479	1.0%
	United States Treasury Note/Bond	2.000%	5/31/24	478,278	484,553	1.0%
	United States Treasury Note/Bond	2.750%	11/15/23	465,537	484,233	1.0%
	United States Treasury Note/Bond	1.375%	10/15/22	486,110	482,921	1.0%
	United States Treasury Note/Bond	1.625%	8/31/22	475,501	475,648	0.9%
	United States Treasury Note/Bond	2.375%	8/15/24	460,333	474,069	0.9%
	United States Treasury Note/Bond	2.375%	1/31/23	454,278	464,499	0.9%
	United States Treasury Note/Bond	2.250%	11/15/24	447,300	458,693	0.9%
	United States Treasury Note/Bond	2.000%	1/15/21	454,286	455,917	0.9%
	United States Treasury Note/Bond	2.500%	5/15/24	430,309	444,965	0.9%
	United States Treasury Note/Bond	2.875%	9/30/23	421,764	440,284	0.9%
	United States Treasury Note/Bond	2.125%	12/31/22	431,477	437,815	0.9%
	United States Treasury Note/Bond	2.000%	11/30/22	422,160	426,643	0.9%
	United States Treasury Note/Bond	2.500%	8/15/23	389,900	401,414	0.8%
	United States Treasury Note/Bond	1.875%	3/31/22	394,170	396,570	0.8%
	United States Treasury Note/Bond	1.750%	5/15/23	382,650	383,905	0.8%
	United States Treasury Note/Bond	2.250%	10/31/24	373,255	382,818	0.8%
	United States Treasury Note/Bond	1.750%	4/30/22	379,134	380,438	0.8%
	United States Treasury Note/Bond	1.125%	6/30/21	377,817	375,161	0.7%
	United States Treasury Note/Bond	1.500%	2/28/23	366,606	365,118	0.7%
	United States Treasury Note/Bond	2.125%	9/30/24	356,595	363,506	0.7%
	United States Treasury Note/Bond	2.625%	6/30/23	341,252	352,609	0.7%

10

Short-Term Bond Index Fund

			Face	Market	Percentage
		Maturity	Amount	Value·	of Net
Coupon		Date	($000)	($000)	Assets
United States Treasury Note/Bond	1.125%	2/28/21	354,402	352,297	0.7%
United States Treasury Note/Bond	2.375%	2/29/24	333,228	342,495	0.7%
United States Treasury Note/Bond	2.500%	1/31/24	319,655	330,043	0.7%
United States Treasury Note/Bond	2.250%	4/30/24	318,585	326,053	0.7%
United States Treasury Note/Bond	1.750%	12/31/24	319,570	320,420	0.6%
United States Treasury Note/Bond	1.750%	5/31/22	314,855	315,985	0.6%
United States Treasury Note/Bond	2.750%	2/15/24	299,077	311,787	0.6%
United States Treasury Note/Bond	1.625%	11/15/22	310,263	310,359	0.6%
United States Treasury Note/Bond	2.125%	2/29/24	303,995	309,409	0.6%
United States Treasury Note/Bond	1.750%	11/30/21	306,779	307,641	0.6%
United States Treasury Note/Bond	2.500%	3/31/23	281,875	289,539	0.6%
United States Treasury Note/Bond	2.875%	11/15/21	265,152	271,367	0.5%
United States Treasury Note/Bond	2.625%	5/15/21	266,914	270,541	0.5%
United States Treasury Note/Bond	2.125%	5/15/22	260,496	263,630	0.5%
United States Treasury Note/Bond	1.500%	10/31/24	257,844	255,588	0.5%
United States Treasury Note/Bond	1.750%	3/31/22	254,242	255,117	0.5%
United States Treasury Note/Bond	2.750%	8/31/23	244,140	253,561	0.5%
United States Treasury Note/Bond	2.500%	1/15/22	248,720	253,112	0.5%
United States Treasury Note/Bond	1.750%	7/31/21	244,955	245,491	0.5%
United States Treasury Note/Bond	1.625%	12/31/21	239,360	239,621	0.5%
United States Treasury Note/Bond	1.125%–8.750%	5/15/20–1/31/25	12,021,891	12,124,829	24.2%
				32,848,074	65.5%

Agency Notes †		1,024,316	2.0%
Total U.S. Government and Agency Obligations (Cost $33,536,781)		33,872,390	67.5%
Corporate Bonds
Finance
1	Banking †	4,298,702	8.6%
	Brokerage †	126,745	0.2%
	Finance Companies †	160,731	0.3%
	Insurance †	394,754	0.8%
	Other Finance †	4,513	0.0%
	Real Estate Investment Trusts †	294,188	0.6%
		5,279,633	10.5%
Industrial
	Basic Industry †	275,721	0.6%
1	Capital Goods †	667,835	1.3%
1	Communication †	682,551	1.4%
	Consumer Cyclical †	1,081,689	2.2%
1	Consumer Noncyclical †	1,713,762	3.4%
1	Energy †	959,561	1.9%
	Other Industrial †	8,200	0.0%
1	Technology †	1,162,784	2.3%
	Transportation †	195,995	0.4%
		6,748,098	13.5%
Utilities
	Electric †	511,330	1.0%
	Natural Gas †	31,047	0.1%
	Other Utility †	3,722	0.0%
		546,099	1.1%
Total Corporate Bonds (Cost $12,327,319)		12,573,830	25.1%

11

Short-Term Bond Index Fund

	Market	Percentage
	Value·	of Net
	($000)	Assets
Sovereign Bonds (Cost $3,264,526) †	3,312,441	6.6%
Taxable Municipal Bonds (Cost $44,429) †	44,938	0.1%

		Coupon	Shares
Temporary Cash Investment
Money Market Fund
2	Vanguard Market Liquidity Fund (Cost $646,228)	1.816%	6,461,660	646,230	1.3%
Total Investments (Cost $49,819,283)				50,449,829	100.6%

	Amount
	($000)
Other Assets and Liabilities
Other Assets
Investment in Vanguard	2,238
Receivables for Investment Securities Sold	395,224
Receivables for Accrued Income	284,864
Receivables for Capital Shares Issued	48,101
Other Assets	410
Total Other Assets	730,837	1.4%
Liabilities
Payables for Investment Securities Purchased	(964,513)
Payables for Capital Shares Redeemed	(56,829)
Payables for Distributions	(5,117)
Payables to Vanguard	(9,690)
Other Liabilities	(77)
Total Liabilities	(1,036,226)	(2.0%)
Net Assets	50,144,440	100.0%

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	49,758,872
Total Distributable Earnings (Loss)	385,568
Net Assets	50,144,440
Investor Shares—Net Assets
Applicable to 8,395,304 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	88,756
Net Asset Value Per Share—Investor Shares	$10.57
ETF Shares—Net Assets
Applicable to 279,612,541 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	22,521,703
Net Asset Value Per Share—ETF Shares	$80.55

12

Short-Term Bond Index Fund

	Amount
	($000)
Admiral Shares—Net Assets
Applicable to 1,454,635,822 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	15,378,690
Net Asset Value Per Share—Admiral Shares	$10.57
Institutional Shares—Net Assets
Applicable to 522,501,335 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	5,523,997
Net Asset Value Per Share—Institutional Shares	$10.57
Institutional Plus Shares—Net Assets
Applicable to 627,239,460 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	6,631,294
Net Asset Value Per Share—Institutional Plus Shares	$10.57

· See Note A in Notes to Financial Statements.

† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $357,364,000, representing 0.7% of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

See accompanying Notes, which are an integral part of the Financial Statements.

13

Short-Term Bond Index Fund

Statement of Operations

	Year Ended
	December 31, 2019
		($000	)
Investment Income
Income
Interest1		1,142,305
Total Income		1,142,305
Expenses
The Vanguard Group—Note B
Investment Advisory Services		1,658
Management and Administrative—Investor Shares		842
Management and Administrative—ETF Shares		8,498
Management and Administrative—Admiral Shares		8,605
Management and Administrative—Institutional Shares		2,256
Management and Administrative—Institutional Plus Shares		1,954
Marketing and Distribution—Investor Shares		61
Marketing and Distribution—ETF Shares		1,285
Marketing and Distribution—Admiral Shares		928
Marketing and Distribution—Institutional Shares		218
Marketing and Distribution—Institutional Plus Shares		96
Custodian Fees		111
Auditing Fees		46
Shareholders’ Reports—Investor Shares		16
Shareholders’ Reports—ETF Shares		928
Shareholders’ Reports—Admiral Shares		149
Shareholders’ Reports—Institutional Shares		16
Shareholders’ Reports—Institutional Plus Shares		23
Trustees’ Fees and Expenses		24
Total Expenses		27,714
Expenses Paid Indirectly		(110	)
Net Expenses		27,604
Net Investment Income		1,114,701
Realized Net Gain (Loss) on Investment Securities Sold1,2		9,784
Change in Unrealized Appreciation (Depreciation) of Investment Securities1		1,214,482
Net Increase (Decrease) in Net Assets Resulting from Operations		2,338,967

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,738,000, $10,000, and ($15,000), respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $18,137,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

14

Short-Term Bond Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2019			2018
		($000	)		($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		1,114,701			1,025,149
Realized Net Gain (Loss)		9,784			(235,989	)
Change in Unrealized Appreciation (Depreciation)		1,214,482			(96,672	)
Net Increase (Decrease) in Net Assets Resulting from Operations		2,338,967			692,488
Distributions
Net Investment Income
Investor Shares		(13,802	)		(26,019	)
ETF Shares		(520,079	)		(505,667	)
Admiral Shares		(328,656	)		(283,644	)
Institutional Shares		(121,962	)		(104,309	)
Institutional Plus Shares		(130,015	)		(105,697	)
Realized Capital Gain
Investor Shares		—			—
ETF Shares		—			—
Admiral Shares		—			—
Institutional Shares		—			—
Institutional Plus Shares		—			—
Total Distributions		(1,114,514	)		(1,025,336	)
Capital Share Transactions
Investor Shares		(1,075,752	)		(389,194	)
ETF Shares		(5,999,216	)		4,187,635
Admiral Shares		1,208,370			(2,112,896	)
Institutional Shares		461,876			(67,782	)
Institutional Plus Shares		1,089,410			357,555
Net Increase (Decrease) from Capital Share Transactions		(4,315,312	)		1,975,318
Total Increase (Decrease)		(3,090,859	)		1,642,470
Net Assets
Beginning of Period		53,235,299			51,592,829
End of Period		50,144,440			53,235,299

See accompanying Notes, which are an integral part of the Financial Statements.

15

Short-Term Bond Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017		2016	2015
Net Asset Value, Beginning of Period	$10.31	$10.38	$10.43		$10.43	$10.48
Investment Operations
Net Investment Income	.2301	.1981	.1641		.146	.130
Net Realized and Unrealized Gain (Loss) on Investments	.258	(.069)	(.050)		.002	(.040)
Total from Investment Operations	.488	.129	.114		.148	.090
Distributions
Dividends from Net Investment Income	(.228)	(.199)	(.164)		(.146)	(.130)
Distributions from Realized Capital Gains	—	—	(.000)	2	(.002)	(.010)
Total Distributions	(.228)	(.199)	(.164)		(.148)	(.140)
Net Asset Value, End of Period	$10.57	$10.31	$10.38		$10.43	$10.43
Total Return3	4.77%	1.27%	1.10%		1.41%	0.85%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$89	$1,143	$1,545		$1,865	$2,307
Ratio of Total Expenses to Average Net Assets	0.15%	0.15%	0.15%		0.15%	0.16%
Ratio of Net Investment Income to Average Net Assets	2.18%	1.94%	1.57%		1.38%	1.23%
Portfolio Turnover Rate4	44%	48%	50%		51%	52%

1 Calculated based on average shares outstanding.

2 Distribution was less than $.001 per share.

3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

16

Short-Term Bond Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$78.56	$79.09	$79.44	$79.49	$79.87
Investment Operations
Net Investment Income	1.8191	1.5801	1.3141	1.172	1.039
Net Realized and Unrealized Gain (Loss) on Investments	2.014	(.545)	(.362)	(.037)	(.303)
Total from Investment Operations	3.833	1.035	.952	1.135	.736
Distributions
Dividends from Net Investment Income	(1.843)	(1.565)	(1.300)	(1.172)	(1.039)
Distributions from Realized Capital Gains	—	—	(.002)	(.013)	(.077)
Total Distributions	(1.843)	(1.565)	(1.302)	(1.185)	(1.116)
Net Asset Value, End of Period	$80.55	$78.56	$79.09	$79.44	$79.49
Total Return	4.92%	1.34%	1.20%	1.42%	0.92%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$22,522	$27,946	$23,902	$19,576	$17,402
Ratio of Total Expenses to Average Net Assets	0.05%	0.07%	0.07%	0.07%	0.09%
Ratio of Net Investment Income to Average Net Assets	2.28%	2.02%	1.65%	1.46%	1.30%
Portfolio Turnover Rate2	44%	48%	50%	51%	52%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

17

Short-Term Bond Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017		2016	2015
Net Asset Value, Beginning of Period	$10.31	$10.38	$10.43		$10.43	$10.48
Investment Operations
Net Investment Income	.2371	.2071	.1721		.154	.137
Net Realized and Unrealized Gain (Loss) on Investments	.260	(.070)	(.050)		.002	(.040)
Total from Investment Operations	.497	.137	.122		.156	.097
Distributions
Dividends from Net Investment Income	(.237)	(.207)	(.172)		(.154)	(.137)
Distributions from Realized Capital Gains	—	—	(.000)	2	(.002)	(.010)
Total Distributions	(.237)	(.207)	(.172)		(.156)	(.147)
Net Asset Value, End of Period	$10.57	$10.31	$10.38		$10.43	$10.43
Total Return3	4.86%	1.35%	1.18%		1.49%	0.92%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$15,379	$13,812	$16,034		$15,335	$14,662
Ratio of Total Expenses to Average Net Assets	0.07%	0.07%	0.07%		0.07%	0.09%
Ratio of Net Investment Income to Average Net Assets	2.26%	2.02%	1.65%		1.46%	1.30%
Portfolio Turnover Rate4	44%	48%	50%		51%	52%

1 Calculated based on average shares outstanding.

2 Distribution was less than $.001 per share.

3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

18

Short-Term Bond Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017		2016	2015
Net Asset Value, Beginning of Period	$10.31	$10.38	$10.43		$10.43	$10.48
Investment Operations
Net Investment Income	.2391	.2091	.1741		.156	.140
Net Realized and Unrealized Gain (Loss) on Investments	.260	(.070)	(.050)		.002	(.040)
Total from Investment Operations	.499	.139	.124		.158	.100
Distributions
Dividends from Net Investment Income	(.239)	(.209)	(.174)		(.156)	(.140)
Distributions from Realized Capital Gains	—	—	(.000)	2	(.002)	(.010)
Total Distributions	(.239)	(.209)	(.174)		(.158)	(.150)
Net Asset Value, End of Period	$10.57	$10.31	$10.38		$10.43	$10.43
Total Return	4.88%	1.37%	1.20%		1.51%	0.95%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$5,524	$4,930	$5,033		$4,963	$4,506
Ratio of Total Expenses to Average Net Assets	0.05%	0.05%	0.05%		0.05%	0.06%
Ratio of Net Investment Income to Average Net Assets	2.28%	2.04%	1.67%		1.48%	1.33%
Portfolio Turnover Rate3	44%	48%	50%		51%	52%

1 Calculated based on average shares outstanding.

2 Distribution was less than $.001 per share.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

19

Short-Term Bond Index Fund

Financial Highlights

Institutional Plus Shares

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017		2016	2015
Net Asset Value, Beginning of Period	$10.31	$10.38	$10.43		$10.43	$10.48
Investment Operations
Net Investment Income	.2401	.2101	.1751		.158	.142
Net Realized and Unrealized Gain (Loss) on Investments	.260	(.070)	(.050)		.002	(.040)
Total from Investment Operations	.500	.140	.125		.160	.102
Distributions
Dividends from Net Investment Income	(.240)	(.210)	(.175)		(.158)	(.142)
Distributions from Realized Capital Gains	—	—	(.000)	2	(.002)	(.010)
Total Distributions	(.240)	(.210)	(.175)		(.160)	(.152)
Net Asset Value, End of Period	$10.57	$10.31	$10.38		$10.43	$10.43
Total Return	4.89%	1.38%	1.21%		1.52%	0.97%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$6,631	$5,404	$5,078		$4,336	$3,502
Ratio of Total Expenses to Average Net Assets	0.04%	0.04%	0.04%		0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.29%	2.05%	1.68%		1.49%	1.35%
Portfolio Turnover Rate3	44%	48%	50%		51%	52%

1 Calculated based on average shares outstanding.

2 Distribution was less than $.001 per share.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

20

Short-Term Bond Index Fund

Notes to Financial Statements

Vanguard Short-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn

21

Short-Term Bond Index Fund

amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $2,238,000, representing less than 0.01% of the fund’s net assets and 0.90% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $110,000 (an annual rate of less than 0.01% of average net assets).

22

Short-Term Bond Index Fund

D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
U.S. Government and Agency Obligations	—		33,872,390		—
Corporate Bonds	—		12,573,830		—
Sovereign Bonds	—		3,312,441		—
Taxable Municipal Bonds	—		44,938		—
Temporary Cash Investments	646,230		—		—
Total	646,230		49,803,599		—

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

	Amount
	($000		)
Paid-in Capital		18,137
Total Distributable Earnings (Loss)		(18,137	)

23

Short-Term Bond Index Fund

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000		)
Undistributed Ordinary Income		8,566
Undistributed Long-Term Gains		—
Capital Loss Carryforwards (Non-expiring)		(245,166	)
Net Unrealized Gains (Losses)		630,546

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000		)
Tax Cost		49,819,283
Gross Unrealized Appreciation		693,254
Gross Unrealized Depreciation		(62,708	)
Net Unrealized Appreciation (Depreciation)		630,546

F.  During the year ended December 31, 2019, the fund purchased $6,194,988,000 of investment securities and sold $8,950,623,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $21,433,813,000 and $23,004,600,000, respectively. Total purchases and sales include $5,290,757,000 and $10,390,923,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $8,410,038,000 and $533,468,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

24

Short-Term Bond Index Fund

G.   Capital share transactions for each class of shares were:

	Year Ended December 31,
	2019						2018
	Amount			Shares			Amount			Shares
	($000		)	(000		)	($000		)	(000		)
Investor Shares
Issued		293,432			27,888			273,270			26,634
Issued in Lieu of Cash Distributions		11,196			1,073			22,892			2,232
Redeemed1		(1,380,380	)		(131,418	)		(685,356	)		(66,833	)
Net Increase (Decrease)—Investor Shares		(1,075,752	)		(102,457	)		(389,194	)		(37,967	)
ETF Shares
Issued		4,503,647			56,300			6,265,283			80,100
Issued in Lieu of Cash Distributions		—			—			—			—
Redeemed		(10,502,863	)		(132,400	)		(2,077,648	)		(26,600	)
Net Increase (Decrease)—ETF Shares		(5,999,216	)		(76,100	)		4,187,635			53,500
Admiral Shares
Issued1		4,953,370			472,453			4,665,875			454,958
Issued in Lieu of Cash Distributions		282,340			26,869			242,005			23,601
Redeemed		(4,027,340	)		(384,509	)		(7,020,776	)		(683,504	)
Net Increase (Decrease)—Admiral Shares		1,208,370			114,813			(2,112,896	)		(204,945	)
Institutional Shares
Issued		1,947,465			185,713			2,044,462			199,380
Issued in Lieu of Cash Distributions		112,032			10,663			96,699			9,431
Redeemed		(1,597,621	)		(152,105	)		(2,208,943	)		(215,519	)
Net Increase (Decrease)—Institutional Shares		461,876			44,271			(67,782	)		(6,708	)
Institutional Plus Shares
Issued		1,841,903			174,690			952,723			92,907
Issued in Lieu of Cash Distributions		125,488			11,944			102,139			9,962
Redeemed		(877,981	)		(83,593	)		(697,307	)		(67,928	)
Net Increase (Decrease)—Institutional Plus Shares		1,089,410			103,041			357,555			34,941

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 88,906,000 and 88,917,000 shares, respectively, in the amount of $934,434,000 from the conversion during the year ended December 31, 2019.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

25

Intermediate-Term Bond Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: December 31, 2009, Through December 31, 2019 Initial

Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Intermediate-Term Bond Index Fund Investor Shares	10.09%	3.45%	4.68%	$15,796
	Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index	10.38	3.64	4.85	16,060
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
Intermediate-Term Bond Index Fund ETF Shares Net Asset Value		10.19%	3.54%	4.77%	$15,943
Intermediate-Term Bond Index Fund ETF Shares Market Price		10.34	3.50	4.75	15,907
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index		10.38	3.64	4.85	16,060
Bloomberg Barclays U.S. Aggregate Float Adjusted Index		8.87	3.07	3.78	14,486

See Financial Highlights for dividend and capital gains information.

26

Intermediate-Term Bond Index Fund

	Average Annual Total Returns
	Periods Ended December 31, 2019
				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Intermediate-Term Bond Index Fund Admiral Shares	10.18%	3.53%	4.77%	$15,940
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index	10.38	3.64	4.85	16,060
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

				Final Value
	One	Five	Ten	of a $5,000,000
	Year	Years	Years	Investment
Intermediate-Term Bond Index Fund Institutional Shares	10.20%	3.55%	4.80%	$7,992,175
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index	10.38	3.64	4.85	8,030,019
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	7,242,955
			Since	Final Value
	One	Five	Inception	of a $100,000,000
	Year	Years	(11/30/2011)	Investment
Intermediate-Term Bond Index Fund Institutional Plus Shares	10.21%	3.57%	3.72%	$134,313,332
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index	10.38	3.64	3.75	134,715,605
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.04	127,357,266

“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).

27

Intermediate-Term Bond Index Fund

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

	One	Five	Ten
	Year	Years	Years
Intermediate-Term Bond Index Fund ETF Shares Market Price	10.34%	18.79%	59.07%
Intermediate-Term Bond Index Fund ETF Shares Net Asset Value	10.19	18.98	59.43
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index	10.38	19.57	60.60

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

28

Intermediate-Term Bond Index Fund

Sector Diversification

As of December 31, 2019

Finance	14.6%
Foreign	4.5
Industrial	24.0
Treasury/Agency	54.5
Utilities	2.2
Other	0.2

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

29

Intermediate-Term Bond Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2019

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market	Percentage
			Maturity	Amount	Value·	of Net
		Coupon	Date	($000)	($000)	Assets
U.S. Government and Agency Obligations
U.S. Government Securities
	United States Treasury Note/Bond	3.125%	11/15/28	773,703	850,594	2.4%
	United States Treasury Note/Bond	2.375%	5/15/29	762,496	792,524	2.2%
	United States Treasury Note/Bond	1.625%	2/15/26	768,664	760,977	2.2%
	United States Treasury Note/Bond	1.500%	8/15/26	771,261	755,597	2.1%
	United States Treasury Note/Bond	2.625%	2/15/29	636,111	674,080	1.9%
	United States Treasury Note/Bond	2.250%	2/15/27	649,065	666,713	1.9%
	United States Treasury Note/Bond	1.625%	5/15/26	652,268	645,034	1.8%
	United States Treasury Note/Bond	2.875%	8/15/28	588,945	634,682	1.8%
	United States Treasury Note/Bond	1.625%	8/15/29	649,430	632,584	1.8%
	United States Treasury Note/Bond	2.375%	5/15/27	603,742	625,724	1.8%
	United States Treasury Note/Bond	1.750%	11/15/29	608,744	599,515	1.7%
	United States Treasury Note/Bond	2.875%	5/15/28	553,253	595,439	1.7%
	United States Treasury Note/Bond	2.250%	8/15/27	575,586	591,414	1.7%
	United States Treasury Note/Bond	2.125%	5/15/25	567,500	578,674	1.6%
	United States Treasury Note/Bond	2.750%	2/15/28	539,955	575,387	1.6%
	United States Treasury Note/Bond	2.250%	11/15/27	550,965	566,288	1.6%
	United States Treasury Note/Bond	2.000%	2/15/25	554,796	562,596	1.6%
	United States Treasury Note/Bond	2.000%	11/15/26	555,297	561,194	1.6%
	United States Treasury Note/Bond	2.000%	8/15/25	486,122	492,349	1.4%
	United States Treasury Note/Bond	1.625%	11/30/26	448,479	442,451	1.3%
	United States Treasury Note/Bond	1.375%	8/31/26	432,825	420,654	1.2%
	United States Treasury Note/Bond	2.750%	2/28/25	381,626	401,066	1.1%
	United States Treasury Note/Bond	2.500%	2/28/26	366,000	381,039	1.1%
	United States Treasury Note/Bond	2.875%	5/31/25	359,635	380,652	1.1%
	United States Treasury Note/Bond	2.125%	11/30/24	362,230	369,362	1.1%
	United States Treasury Note/Bond	2.125%	5/31/26	332,456	338,846	1.0%
	United States Treasury Note/Bond	2.250%	11/15/25	270,522	277,666	0.8%
	United States Treasury Note/Bond	2.500%	1/31/25	256,600	266,464	0.8%
	United States Treasury Note/Bond	2.375%	4/30/26	251,875	260,534	0.7%
	United States Treasury Note/Bond	2.625%	12/31/25	239,685	251,183	0.7%
	United States Treasury Note/Bond	2.250%	3/31/26	219,650	225,554	0.6%

30

Intermediate-Term Bond Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value·	of Net
		Coupon	Date	($000)	($000)	Assets
	United States Treasury Note/Bond	2.750%	8/31/25	204,830	215,776	0.6%
	United States Treasury Note/Bond	2.875%	11/30/25	201,505	213,910	0.6%
	United States Treasury Note/Bond	2.625%	1/31/26	201,235	210,918	0.6%
	United States Treasury Note/Bond	2.625%	3/31/25	182,031	190,252	0.5%
	United States Treasury Note/Bond	1.875%	7/31/26	187,095	187,739	0.5%
	United States Treasury Note/Bond	3.000%	9/30/25	168,116	179,464	0.5%
	United States Treasury Note/Bond	1.875%	6/30/26	177,205	177,898	0.5%
	United States Treasury Note/Bond	1.625%	9/30/26	178,950	176,684	0.5%
	United States Treasury Note/Bond	1.625%	10/31/26	175,245	172,890	0.5%
	United States Treasury Note/Bond	2.250%	12/31/24	161,315	165,524	0.5%
	United States Treasury Note/Bond	1.750%	12/31/26	149,065	148,227	0.4%
	United States Treasury Note/Bond	3.000%	10/31/25	126,522	135,122	0.4%
	United States Treasury Note/Bond	2.875%	4/30/25	126,566	133,922	0.4%
	United States Treasury Note/Bond	2.875%	7/31/25	102,915	109,058	0.3%
	United States Treasury Note/Bond	2.750%	6/30/25	87,750	92,371	0.3%
	United States Treasury Note/Bond	2.250%	11/15/24	64,624	66,270	0.2%
	United States Treasury Note/Bond	1.625%	11/15/22	64,605	64,625	0.2%
	United States Treasury Note/Bond	1.750%–6.875%	12/31/24–2/15/29	152,754	178,696	0.5%
					18,996,182	53.9%
Agency Notes †					101,215	0.3%
Total U.S. Government and Agency Obligations (Cost $18,638,420)					19,097,397	54.2%
Corporate Bonds
Finance
	Banking
1	Bank of America Corp.	3.419%	12/20/28	72,016	75,425	0.2%
1	Bank of America Corp.	2.884%–4.450%	1/22/25–10/22/30	346,439	370,205	1.1%
	Bank One Corp.	7.750%–8.000%	7/15/25–4/29/27	8,660	11,293	0.0%
1	JPMorgan Chase & Co.	2.739%–4.452%	1/23/25–10/15/30	344,931	366,933	1.0%
2	Banking—Other †				2,673,872	7.6%
	Brokerage †				195,257	0.6%
	Finance Companies †				110,048	0.3%
	Insurance †				578,454	1.6%
	Other Finance †				4,224	0.0%
	Real Estate Investment Trusts †				720,282	2.1%
					5,105,993	14.5%
Industrial
2	Basic Industry †				411,953	1.2%
2	Capital Goods †				708,788	2.0%
2	Communication †				990,111	2.8%
	Consumer Cyclical †				1,018,963	2.9%
	Consumer Noncyclical
	CVS Health Corp.	4.300%	3/25/28	73,986	80,634	0.2%
2	Consumer Noncyclical—Other †				2,239,829	6.4%
2	Energy †				1,270,305	3.6%
	Other Industrial †				31,826	0.1%
2	Technology †				1,325,837	3.7%
	Transportation †				311,916	0.9%
					8,390,162	23.8%

31

Intermediate-Term Bond Index Fund

			Market		Percentage
			Value·		of Net
			($000)		Assets
Utilities
2     Electric †			671,446		1.9%
Natural Gas †			61,870		0.1%
Other Utility †				18,362	0.1%
			751,678		2.1%
Total Corporate Bonds (Cost $13,568,755)			14,247,833		40.4%
2Sovereign Bonds (Cost $1,499,724) †			1,554,212		4.4%
Taxable Municipal Bonds (Cost $79,065) †			81,037		0.2%
	Coupon	Shares
Temporary Cash Investment
Money Market Fund
3     Vanguard Market Liquidity Fund (Cost $192,687)	1.816%	1,926,694	192,689		0.5%
Total Investments (Cost $33,978,651)			35,173,168		99.7%
			Amount
			($000)
Other Assets and Liabilities
Other Assets
Investment in Vanguard			1,575
Receivables for Investment Securities Sold			256,305
Receivables for Accrued Income			250,364
Receivables for Capital Shares Issued			58,657
Other Assets			150
Total Other Assets			567,051		1.6%
Liabilities
Payables for Investment Securities Purchased			(410,475)
Payables for Capital Shares Redeemed			(39,386)
Payables for Distributions			(7,823)
Payables to Vanguard			(7,398)
Other Liabilities			(37)
Total Liabilities			(465,119)		(1.3%)
Net Assets			35,275,100		100.0%
At December 31, 2019, net assets consisted of:
					Amount
					($000)
Paid-in Capital					34,273,314
Total Distributable Earnings (Loss)					1,001,786
Net Assets					35,275,100
Investor Shares—Net Assets
Applicable to 13,808,159 outstanding $.001 par value shares of beneficial interest (unlimited authorization)					163,136
Net Asset Value Per Share—Investor Shares					$11.81

32

Intermediate-Term Bond Index Fund

	Amount
	($000)
ETF Shares—Net Assets
Applicable to 155,554,060 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	13,545,742
Net Asset Value Per Share—ETF Shares	$87.08
Admiral Shares—Net Assets
Applicable to 1,419,986,325 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	16,776,320
Net Asset Value Per Share—Admiral Shares	$11.81
Institutional Shares—Net Assets
Applicable to 267,334,447 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,158,390
Net Asset Value Per Share—Institutional Shares	$11.81
Institutional Plus Shares—Net Assets
Applicable to 138,094,643 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,631,512
Net Asset Value Per Share—Institutional Plus Shares	$11.81

· See Note A in Notes to Financial Statements.

† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $500,882,000, representing 1.4% of net assets.

3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

See accompanying Notes, which are an integral part of the Financial Statements.

33

Intermediate-Term Bond Index Fund

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Interest1	934,069
Total Income	934,069
Expenses
The Vanguard Group—Note B
Investment Advisory Services	1,114
Management and Administrative—Investor Shares	752
Management and Administrative—ETF Shares	4,722
Management and Administrative—Admiral Shares	8,766
Management and Administrative—Institutional Shares	1,314
Management and Administrative—Institutional Plus Shares	580
Marketing and Distribution—Investor Shares	63
Marketing and Distribution—ETF Shares	569
Marketing and Distribution—Admiral Shares	946
Marketing and Distribution—Institutional Shares	109
Marketing and Distribution—Institutional Plus Shares	24
Custodian Fees	96
Auditing Fees	44
Shareholders’ Reports—Investor Shares	116
Shareholders’ Reports—ETF Shares	469
Shareholders’ Reports—Admiral Shares	130
Shareholders’ Reports—Institutional Shares	11
Shareholders’ Reports—Institutional Plus Shares	48
Trustees’ Fees and Expenses	17
Total Expenses	19,890
Expenses Paid Indirectly	(74)
Net Expenses	19,816
Net Investment Income	914,253
Realized Net Gain (Loss) on Investment Securities Sold1,2	199,926
Change in Unrealized Appreciation (Depreciation) of Investment Securities1	1,979,993
Net Increase (Decrease) in Net Assets Resulting from Operations	3,094,172

1	Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,295,000, $36,000, and ($9,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $50,214,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

34

Intermediate-Term Bond Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	914,253	941,350
Realized Net Gain (Loss)	199,926	(400,478)
Change in Unrealized Appreciation (Depreciation)	1,979,993	(654,571)
Net Increase (Decrease) in Net Assets Resulting from Operations	3,094,172	(113,699)
Distributions
Net Investment Income
Investor Shares	(17,578)	(32,457)
ETF Shares	(346,627)	(396,012)
Admiral Shares	(412,439)	(370,520)
Institutional Shares	(86,862)	(88,192)
Institutional Plus Shares	(50,777)	(52,353)
Realized Capital Gain
Investor Shares	—	—
ETF Shares	—	—
Admiral Shares	—	—
Institutional Shares	—	—
Institutional Plus Shares	—	—
Total Distributions	(914,283)	(939,534)
Capital Share Transactions
Investor Shares	(931,957)	(229,614)
ETF Shares	(41,131)	(2,083,410)
Admiral Shares	2,981,608	(249,301)
Institutional Shares	(5,763)	(80,194)
Institutional Plus Shares	(251,254)	161,340
Net Increase (Decrease) from Capital Share Transactions	1,751,503	(2,481,179)
Total Increase (Decrease)	3,931,392	(3,534,412)
Net Assets
Beginning of Period	31,343,708	34,878,120
End of Period	35,275,100	31,343,708

See accompanying Notes, which are an integral part of the Financial Statements.

35

Intermediate-Term Bond Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding		Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$11.02	$11.36	$11.24	$11.26	$11.46
Investment Operations
Net Investment Income	.3161	.3061	.2891	.289	.302
Net Realized and Unrealized Gain (Loss) on Investments	.787	(.340)	.132	.025	(.162)
Total from Investment Operations	1.103	(.034)	.421	.314	.140
Distributions
Dividends from Net Investment Income	(.313)	(.306)	(.290)	(.289)	(.302)
Distributions from Realized Capital Gains	—	—	(.011)	(.045)	(.038)
Total Distributions	(.313)	(.306)	(.301)	(.334)	(.340)
Net Asset Value, End of Period	$11.81	$11.02	$11.36	$11.24	$11.26
Total Return2	10.09%	-0.25%	3.76%	2.75%	1.21%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$163	$1,037	$1,307	$1,472	$1,397
Ratio of Total Expenses to Average Net Assets	0.15%	0.15%	0.15%	0.15%	0.16%
Ratio of Net Investment Income to Average Net Assets	2.78%	2.79%	2.54%	2.48%	2.62%
Portfolio Turnover Rate3	50%	53%	55%	57%	51%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

36

Intermediate-Term Bond Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$81.27	$83.73	$82.86	$82.95	$84.41
Investment Operations
Net Investment Income	2.3921	2.3201	2.1991	2.163	2.227
Net Realized and Unrealized Gain (Loss) on Investments	5.816	(2.442)	.925	.244	(1.177)
Total from Investment Operations	8.208	(.122)	3.124	2.407	1.050
Distributions
Dividends from Net Investment Income	(2.398)	(2.338)	(2.174)	(2.163)	(2.227)
Distributions from Realized Capital Gains	—	—	(.080)	(.334)	(.283)
Total Distributions	(2.398)	(2.338)	(2.254)	(2.497)	(2.510)
Net Asset Value, End of Period	$87.08	$81.27	$83.73	$82.86	$82.95
Total Return	10.19%	-0.09%	3.80%	2.86%	1.23%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$13,546	$12,772	$15,328	$11,241	$7,569
Ratio of Total Expenses to Average Net Assets	0.05%	0.07%	0.07%	0.07%	0.09%
Ratio of Net Investment Income to Average Net Assets	2.80%	2.87%	2.62%	2.56%	2.69%
Portfolio Turnover Rate2	50%	53%	55%	57%	51%

1	Calculated based on average shares outstanding.
2	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

37

Intermediate-Term Bond Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$11.02	$11.36	$11.24	$11.26	$11.46
Investment Operations
Net Investment Income	.3221	.3151	.2981	.299	.309
Net Realized and Unrealized Gain (Loss) on Investments	.790	(.341)	.132	.025	(.162)
Total from Investment Operations	1.112	(.026)	.430	.324	.147
Distributions
Dividends from Net Investment Income	(.322)	(.314)	(.299)	(.299)	(.309)
Distributions from Realized Capital Gains	—	—	(.011)	(.045)	(.038)
Total Distributions	(.322)	(.314)	(.310)	(.344)	(.347)
Net Asset Value, End of Period	$11.81	$11.02	$11.36	$11.24	$11.26
Total Return2	10.18%	-0.17%	3.85%	2.83%	1.27%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$16,776	$12,830	$13,477	$11,954	$10,061
Ratio of Total Expenses to Average Net Assets	0.07%	0.07%	0.07%	0.07%	0.09%
Ratio of Net Investment Income to
Average Net Assets	2.78%	2.87%	2.62%	2.56%	2.69%
Portfolio Turnover Rate3	50%	53%	55%	57%	51%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

38

Intermediate-Term Bond Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$11.02	$11.36	$11.24	$11.26	$11.46
Investment Operations
Net Investment Income	.3251	.3171	.3011	.301	.313
Net Realized and Unrealized Gain (Loss) on Investments	.790	(.340)	.131	.025	(.162)
Total from Investment Operations	1.115	(.023)	.432	.326	.151
Distributions
Dividends from Net Investment Income	(.325)	(.317)	(.301)	(.301)	(.313)
Distributions from Realized Capital Gains	—	—	(.011)	(.045)	(.038)
Total Distributions	(.325)	(.317)	(.312)	(.346)	(.351)
Net Asset Value, End of Period	$11.81	$11.02	$11.36	$11.24	$11.26
Total Return	10.20%	-0.15%	3.87%	2.85%	1.31%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,158	$2,952	$3,127	$2,626	$2,399
Ratio of Total Expenses to Average Net Assets	0.05%	0.05%	0.05%	0.05%	0.06%
Ratio of Net Investment Income to Average Net Assets	2.81%	2.89%	2.64%	2.58%	2.72%
Portfolio Turnover Rate2	50%	53%	55%	57%	51%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

39

Intermediate-Term Bond Index Fund

Financial Highlights

Institutional Plus Shares

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$11.02	$11.36	$11.24	$11.26	$11.46
Investment Operations
Net Investment Income	.3261	.3191	.3021	.302	.315
Net Realized and Unrealized Gain (Loss) on Investments	.790	(.341)	.131	.025	(.162)
Total from Investment Operations	1.116	(.022)	.433	.327	.153
Distributions
Dividends from Net Investment Income	(.326)	(.318)	(.302)	(.302)	(.315)
Distributions from Realized Capital Gains	—	—	(.011)	(.045)	(.038)
Total Distributions	(.326)	(.318)	(.313)	(.347)	(.353)
Net Asset Value, End of Period	$11.81	$11.02	$11.36	$11.24	$11.26
Total Return	10.21%	-0.14%	3.88%	2.86%	1.33%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,632	$1,752	$1,640	$1,478	$1,057
Ratio of Total Expenses to Average Net Assets	0.04%	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.83%	2.90%	2.65%	2.59%	2.74%
Portfolio Turnover Rate2	50%	53%	55%	57%	51%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

40

Intermediate-Term Bond Index Fund

Notes to Financial Statements

Vanguard Intermediate-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

A.   The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn

41

Intermediate-Term Bond Index Fund

amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.   In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $1,575,000, representing less than 0.01% of the fund’s net assets and 0.63% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.   The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $74,000 (an annual rate of less than 0.01% of average net assets).

42

Intermediate-Term Bond Index Fund

D.   Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	19,097,397	—
Corporate Bonds	—	14,247,833	—
Sovereign Bonds	—	1,554,212	—
Taxable Municipal Bonds	—	81,037	—
Temporary Cash Investments	192,689	—	—
Total	192,689	34,980,479	—

E.   Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

	Amount
	($000)
Paid-in Capital	50,214
Total Distributable Earnings (Loss)	(50,214)

43

Intermediate-Term Bond Index Fund

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	6,303
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(192,723)
Net Unrealized Gains (Losses)	1,194,517

^* The fund used capital loss carryforwards of $149,712,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	33,978,651
Gross Unrealized Appreciation	1,287,563
Gross Unrealized Depreciation	(93,046)
Net Unrealized Appreciation (Depreciation)	1,194,517

F.   During the year ended December 31, 2019, the fund purchased $6,232,418,000 of investment securities and sold $5,940,551,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $14,921,014,000 and $13,462,347,000, respectively. Total purchases and sales include $3,087,059,000 and $3,126,378,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $589,365,000 and $9,696,362,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

44

Intermediate-Term Bond Index Fund

G.   Capital share transactions for each class of shares were:

			Year Ended December 31,
		2019		2018
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	247,548	21,388	202,296	18,386
Issued in Lieu of Cash Distributions	14,595	1,277	29,983	2,734
Redeemed1	(1,194,100)	(102,949)	(461,893)	(42,119)
Net Increase (Decrease)—Investor Shares	(931,957)	(80,284)	(229,614)	(20,999)
ETF Shares
Issued	3,131,082	36,400	958,318	11,800
Issued in Lieu of Cash Distributions	—	—	—	—
Redeemed	(3,172,213)	(38,000)	(3,041,728)	(37,700)
Net Increase (Decrease)—ETF Shares	(41,131)	(1,600)	(2,083,410)	(25,900)
Admiral Shares
Issued1	5,574,117	480,860	3,278,156	298,204
Issued in Lieu of Cash Distributions	353,655	30,408	319,890	29,173
Redeemed	(2,946,164)	(255,042)	(3,847,347)	(350,354)
Net Increase (Decrease)—Admiral Shares	2,981,608	256,226	(249,301)	(22,977)
Institutional Shares
Issued	838,573	72,508	749,107	68,102
Issued in Lieu of Cash Distributions	78,689	6,775	79,163	7,220
Redeemed	(923,025)	(79,700)	(908,464)	(82,937)
Net Increase (Decrease)—Institutional Shares	(5,763)	(417)	(80,194)	(7,615)
Institutional Plus Shares
Issued	279,350	24,741	332,293	30,102
Issued in Lieu of Cash Distributions	24,167	2,089	26,945	2,458
Redeemed	(554,771)	(47,665)	(197,898)	(18,003)
Net Increase (Decrease)—Institutional Plus Shares	(251,254)	(20,835)	161,340	14,557

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 76,881,000 and 76,885,000 shares, respectively, in the amount of $893,324,000 from the conversion during the year ended December 31, 2019.

H.   Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

45

Long-Term Bond Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Long-Term Bond Index Fund ETF Shares Net Asset Value	19.09%	5.35%	7.55%	$20,704
	Long-Term Bond Index Fund ETF Shares Market Price	18.98	5.30	7.56	20,720
	Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index	19.59	5.42	7.59	20,786
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to ETF Shares. The Fiscal-Year Total Returns chart is not adjusted for fees.

See Financial Highlights for dividend and capital gains information.

46

Long-Term Bond Index Fund

	Total Returns
	Period Ended December 31, 2019
	Since	Final Value
	Inception	of a $10,000
	(2/7/2019)	Investment
Long-Term Bond Index Fund Admiral Shares	15.85%	$11,585
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index	16.60	11,660
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	7.66	10,766

“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).

	Average Annual Total Returns
	Periods Ended December 31, 2019
				Final Value
	One	Five	Ten	of a $5,000,000
	Year	Years	Years	Investment
Long-Term Bond Index Fund Institutional Shares	18.53%	5.27%	7.54%	$10,339,454
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index	19.59	5.42	7.59	10,393,027
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	7,242,955
			Since	Final Value
	One	Five	Inception	of a $100,000,000
	Year	Years	(10/6/2011)	Investment
Long-Term Bond Index Fund Institutional Plus Shares	18.54%	5.28%	5.78%	$158,835,029
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index	19.59	5.42	5.81	159,237,062
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.03	127,839,500

“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).

Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns chart is not adjusted for fees.

47

Long-Term Bond Index Fund

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

	One	Five	Ten
	Year	Years	Years
Long-Term Bond Index Fund ETF Shares Market Price	18.98%	29.46%	107.20%
Long-Term Bond Index Fund ETF Shares Net Asset Value	19.09	29.76	107.04
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index	19.59	30.18	107.86

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns chart is not adjusted for fees.

48

Long-Term Bond Index Fund

Sector Diversification

As of December 31, 2019

Finance	8.6%
Foreign	4.5
Industrial	34.8
Treasury/Agency	42.6
Utilities	6.1
Other	3.4

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

49

Long-Term Bond Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2019

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Face	Market	Percentage
		Maturity	Amount	Value·	of Net
	Coupon	Date	($000)	($000)	Assets
U.S. Government and Agency Obligations
U.S. Government Securities
United States Treasury Note/Bond	3.125%	8/15/44	178,003	202,589	1.6%
United States Treasury Note/Bond	3.000%	2/15/49	176,486	199,097	1.6%
United States Treasury Note/Bond	3.000%	8/15/48	165,935	186,910	1.5%
United States Treasury Note/Bond	3.375%	11/15/48	151,671	182,977	1.5%
United States Treasury Note/Bond	2.875%	5/15/49	149,270	164,594	1.3%
United States Treasury Note/Bond	3.625%	2/15/44	126,564	155,634	1.3%
United States Treasury Note/Bond	2.250%	8/15/49	158,873	154,181	1.2%
United States Treasury Note/Bond	3.000%	5/15/45	137,460	153,569	1.2%
United States Treasury Note/Bond	2.875%	11/15/46	136,964	150,254	1.2%
United States Treasury Note/Bond	2.750%	8/15/47	132,996	142,638	1.2%
United States Treasury Note/Bond	3.000%	2/15/48	125,720	141,317	1.1%
United States Treasury Note/Bond	2.875%	8/15/45	128,362	140,356	1.1%
United States Treasury Note/Bond	3.375%	5/15/44	118,037	139,745	1.1%
United States Treasury Note/Bond	3.000%	2/15/47	123,644	138,945	1.1%
United States Treasury Note/Bond	2.875%	5/15/43	124,375	135,569	1.1%
United States Treasury Note/Bond	2.750%	11/15/47	123,746	132,697	1.1%
United States Treasury Note/Bond	3.750%	11/15/43	105,915	132,509	1.1%
United States Treasury Note/Bond	3.125%	5/15/48	113,086	130,191	1.1%
United States Treasury Note/Bond	3.625%	8/15/43	104,785	128,542	1.0%
United States Treasury Note/Bond	2.375%	11/15/49	127,325	126,947	1.0%
United States Treasury Note/Bond	3.000%	11/15/44	109,496	122,122	1.0%
United States Treasury Note/Bond	2.500%	2/15/45	116,042	118,489	1.0%
United States Treasury Note/Bond	3.000%	5/15/47	104,486	117,384	1.0%
United States Treasury Note/Bond	2.250%	8/15/46	113,624	110,445	0.9%
United States Treasury Note/Bond	3.000%	11/15/45	97,150	108,687	0.9%
United States Treasury Note/Bond	2.500%	5/15/46	106,406	108,650	0.9%
United States Treasury Note/Bond	3.125%	2/15/43	89,415	101,431	0.8%
United States Treasury Note/Bond	2.750%	11/15/42	86,703	92,555	0.8%
United States Treasury Note/Bond	4.625%	2/15/40	64,061	88,575	0.7%
United States Treasury Note/Bond	2.500%	2/15/46	73,547	75,110	0.6%

50

Long-Term Bond Index Fund

			Face	Market	Percentage
		Maturity	Amount	Value·	of Net
	Coupon	Date	($000)	($000)	Assets
United States Treasury Note/Bond	4.375%	5/15/40	54,098	72,635	0.6%
United States Treasury Note/Bond	4.750%	2/15/41	51,180	72,212	0.6%
United States Treasury Note/Bond	2.750%	8/15/42	63,163	67,456	0.5%
United States Treasury Note/Bond	4.250%	11/15/40	50,200	66,460	0.5%
United States Treasury Note/Bond	3.125%	2/15/42	55,952	63,479	0.5%
United States Treasury Note/Bond	4.375%	5/15/41	42,045	56,688	0.5%
United States Treasury Note/Bond	3.750%	8/15/41	44,470	55,212	0.4%
United States Treasury Note/Bond	4.375%	11/15/39	41,100	54,997	0.4%
United States Treasury Note/Bond	4.500%	8/15/39	39,671	53,841	0.4%
United States Treasury Note/Bond	3.000%	5/15/42	47,225	52,552	0.4%
United States Treasury Note/Bond	4.500%	2/15/36	39,455	52,334	0.4%
United States Treasury Note/Bond	3.875%	8/15/40	41,265	52,013	0.4%
United States Treasury Note/Bond	6.250%	5/15/30	36,845	51,790	0.4%
United States Treasury Note/Bond	3.125%	11/15/41	44,477	50,461	0.4%
United States Treasury Note/Bond	4.250%	5/15/39	36,392	47,889	0.4%
United States Treasury Note/Bond	3.500%	2/15/39	37,527	44,980	0.4%
United States Treasury Note/Bond	5.375%	2/15/31	27,060	36,303	0.3%
United States Treasury Note/Bond	1.750%–5.000%	11/15/29–5/15/38	43,512	56,771	0.5%
				5,090,782	41.0%

Agency Bonds and Notes
1	Federal Home Loan Mortgage Corp.	6.250%	7/15/32	21,052	30,236	0.2%
	Agency Bonds and Notes—Other †				143,087	1.2%
					173,323	1.4%
Total U.S. Government and Agency Obligations (Cost $4,783,996)					5,264,105	42.4%
Corporate Bonds
Finance
	Banking †				532,453	4.3%
	Brokerage †				26,034	0.2%
	Finance Companies
	GE Capital International Funding Co. Unlimited Co.	4.418%	11/15/35	34,106	36,230	0.3%
	Finance Companies—Other †				1,007	0.0%
	Insurance
	Berkshire Hathaway Finance Corp.	4.200%–5.750%	1/15/40–1/15/49	22,878	27,345	0.2%
	Berkshire Hathaway Inc.	4.500%	2/11/43	2,110	2,565	0.0%
	Insurance—Other †				350,348	2.8%
	Real Estate Investment Trusts †				73,348	0.6%
					1,049,330	8.4%
Industrial
	Basic Industry
	Lubrizol Corp.	6.500%	10/1/34	675	941	0.0%
	Basic Industry—Other †				241,921	2.0%
	Capital Goods
	Precision Castparts Corp.	3.900%–4.375%	1/15/43–6/15/45	2,374	2,700	0.0%
	Capital Goods—Other †				304,989	2.5%
	Communication
	AT&T Inc.	4.300%–6.375%	2/15/30–8/15/58	154,041	178,460	1.4%
	Comcast Corp.	2.650%–7.050%	2/1/30–10/15/58	121,257	142,151	1.2%

51

Long-Term Bond Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value·	of Net
		Coupon	Date	($000)	($000)	Assets
	NBCUniversal Media LLC	4.450%–6.400%	4/30/40–1/15/43	8,670	11,228	0.1%
2	Communication—Other †				526,810	4.2%
2	Consumer Cyclical †				365,947	3.0%
	Consumer Noncyclical
	Anheuser-Busch Cos.LLC / Anheuser-Busch InBev World wide Inc.	4.900%	2/1/46	29,444	34,866	0.3%
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36	19,289	22,245	0.2%
	Anheuser-Busch InBev Finance Inc.	4.000%–4.900%	2/1/36–2/1/46	18,089	20,614	0.2%
	Anheuser-Busch InBev Worldwide Inc.	3.750%–8.200%	1/23/31–1/23/59	57,116	69,124	0.5%
2	Consumer Noncyclical—Other †				1,039,349	8.4%
2	Energy †				650,693	5.2%
	Other Industrial †				41,716	0.3%
2	Technology †				435,406	3.5%
	Transportation
	Burlington Northern Santa Fe LLC	3.550%–6.200%	8/15/36–2/15/50	41,386	49,437	0.4%
2	Transportation—Other †				176,525	1.4%
					4,315,122	34.8%
Utilities
	Electric
	Berkshire Hathaway Energy Co.	3.800%–6.125%	4/1/36–1/15/49	16,976	21,401	0.2%
	MidAmerican Energy Co.	3.650%–6.750%	12/30/31–7/15/49	12,974	15,458	0.1%
	Nevada Power Co.	6.650%–6.750%	4/1/36–7/1/37	1,745	2,431	0.0%
	PacifiCorp	4.100%–7.700%	11/15/31–2/15/50	15,227	19,529	0.2%
	Electric—Other †				611,304	4.9%
	Natural Gas †				59,522	0.5%
	Other Utility †				15,705	0.1%
					745,350	6.0%
Total Corporate Bonds (Cost $5,415,623)					6,109,802	49.2%
Sovereign Bonds
2	Petroleos Mexicanos	5.500%–7.690%	1/23/30–1/23/50	92,585	94,201	0.8%
3	United Mexican States	4.350%–8.300%	8/15/31–10/12/10	78,135	92,079	0.7%
	Sovereign Bonds—Other †				328,240	2.7%
Total Sovereign Bonds (Cost $467,009)					514,520	4.2%
Taxable Municipal Bonds ($339,452) †					413,152	3.3%
				Shares
Temporary Cash Investment
Money Market Fund
4	Vanguard Market Liquidity Fund (Cost $25,308)	1.816%		253,053	25,308	0.2%
Total Investments (Cost $11,031,388)					12,326,887	99.3%

52

Long-Term Bond Index Fund

		Percentage
	Amount	of Net
	($000)	Assets
Other Assets and Liabilities
Other Assets
Investment in Vanguard	574
Receivables for Investment Securities Sold	35,019
Receivables for Accrued Income	115,776
Receivables for Capital Shares Issued	1,736
Other Assets	26
Total Other Assets	153,131	1.2%
Liabilities
Payables for Investment Securities Purchased	(33,585)
Payables for Capital Shares Redeemed	(29,183)
Payables for Distributions	(2,362)
Payables to Vanguard	(2,762)
Other Liabilities	(189)
Total Liabilities	(68,081)	(0.5%)
Net Assets	12,411,937	100.0%

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	11,085,396
Total Distributable Earnings (Loss)	1,326,541
Net Assets	12,411,937
ETF Shares—Net Assets
Applicable to 43,600,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	4,356,717
Net Asset Value Per Share—ETF Shares	$99.92
Admiral Shares—Net Assets
Applicable to 197,532,861 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,997,821
Net Asset Value Per Share—Admiral Shares	$15.18
Institutional Shares—Net Assets
Applicable to 138,193,090 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,097,142
Net Asset Value Per Share—Institutional Shares	$15.18

53

Long-Term Bond Index Fund

	Amount
	($000)
Institutional Plus Shares—Net Assets
Applicable to 195,067,405 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,960,257
Net Asset Value Per Share—Institutional Plus Shares	$15.18

• See Note A in Notes to Financial Statements.

† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.

2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $164,716,000, representing 1.3% of net assets.

3 Certain of the fund’s securities average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

See accompanying Notes, which are an integral part of the Financial Statements. 

54

Long-Term Bond Index Fund

Statement of Operations

	Year Ended
		December 31, 2019
	($000)
Investment Income
Income
Interest1	439,512
Total Income	439,512
Expenses
The Vanguard Group—Note B
Investment Advisory Services	410
Management and Administrative—Investor Shares	1,518
Management and Administrative—ETF Shares	1,259
Management and Administrative—Admiral Shares	1,165
Management and Administrative—Institutional Shares	1,111
Management and Administrative—Institutional Plus Shares	946
Marketing and Distribution—Investor Shares	106
Marketing and Distribution—ETF Shares	217
Marketing and Distribution—Admiral Shares	54
Marketing and Distribution—Institutional Shares	93
Marketing and Distribution—Institutional Plus Shares	46
Custodian Fees	57
Auditing Fees	43
Shareholders’ Reports—Investor Shares	44
Shareholders’ Reports—ETF Shares	171
Shareholders’ Reports—Admiral Shares	17
Shareholders’ Reports—Institutional Shares	4
Shareholders’ Reports—Institutional Plus Shares	53
Trustees’ Fees and Expenses	6
Total Expenses	7,320
Expenses Paid Indirectly	(56)
Net Expenses	7,264
Net Investment Income	432,248
Realized Net Gain (Loss)
Investment Securities Sold1,2	266,846
Futures Contracts	141
Realized Net Gain (Loss)	266,987
Change in Unrealized Appreciation (Depreciation) of Investment Securities1	1,373,478
Net Increase (Decrease) in Net Assets Resulting from Operations	2,072,713

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $627,000, $8,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $142,714,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

55

Long-Term Bond Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	432,248	413,914
Realized Net Gain (Loss)	266,987	(52,106)
Change in Unrealized Appreciation (Depreciation)	1,373,478	(873,202)
Net Increase (Decrease) in Net Assets Resulting from Operations	2,072,713	(511,394)
Distributions
Net Investment Income
Investor Shares	(42,972)	(109,539)
ETF Shares	(124,982)	(87,045)
Admiral Shares	(64,434)	—
Institutional Shares	(94,962)	(96,586)
Institutional Plus Shares	(104,576)	(120,421)
Realized Capital Gain1
Investor Shares	—	(4,585)
ETF Shares	(7,379)	(3,499)
Admiral Shares	(5,186)	—
Institutional Shares	(3,595)	(3,680)
Institutional Plus Shares	(5,070)	(4,795)
Total Distributions	(453,156)	(430,150)
Capital Share Transactions
Investor Shares	(2,988,972)	19,426
ETF Shares	1,218,350	519,724
Admiral Shares	2,765,988	—
Institutional Shares	(996,587)	363,304
Institutional Plus Shares	(400,705)	(72,357)
Net Increase (Decrease) from Capital Share Transactions	(401,926)	830,097
Total Increase (Decrease)	1,217,631	(111,447)
Net Assets
Beginning of Period	11,194,306	11,305,753
End of Period	12,411,937	11,194,306

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $21,230,000 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

56

Long-Term Bond Index Fund

Financial Highlights

Investor Shares

	Jan. 1,
	2019, to
	Nov. 7,	Year Ended December 31,
For a Share Outstanding Throughout Each Period	20191	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$13.23	$14.42	$13.51	$13.20	$14.26
Investment Operations
Net Investment Income	.4402	.5152	.5192	.529	.546
Net Realized and Unrealized Gain (Loss) on Investments	1.795	(1.168)	.910	.333	(1.025)
Total from Investment Operations	2.235	(.653)	1.429	.862	(.479)
Distributions
Dividends from Net Investment Income	(.435)	(.515)	(.519)	(.529)	(.546)
Distributions from Realized Capital Gains	—	(.022)	—	(.023)	(.035)
Total Distributions	(.435)	(.537)	(.519)	(.552)	(.581)
Net Asset Value, End of Period	$15.031	$13.23	$14.42	$13.51	$13.20
Total Return3	17.06%4	-4.51%	10.76%	6.41%	-3.47%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	—	$2,808	$3,047	$2,595	$2,415
Ratio of Total Expenses to Average Net Assets	0.15%5	0.15%	0.15%	0.15%	0.16%
Ratio of Net Investment Income to Average Net Assets	3.78%5	3.85%	3.71%	3.72%	3.95%
Portfolio Turnover Rate6	33%7	38%	41%	45%	42%

1 Net asset value as of November 7, 2019, on which date the remaining Investor Shares were converted to Admiral Shares.

2 Calculated based on average shares outstanding.

3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

4 Total return does not include transaction fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction fees.

5 Annualized.

6 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

7 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2019.

See accompanying Notes, which are an integral part of the Financial Statements.

57

Long-Term Bond Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$87.08	$94.91	$88.86	$86.80	$93.73
Investment Operations
Net Investment Income	3.4451	3.4611	3.4871	3.558	3.565
Net Realized and Unrealized Gain (Loss) on Investments	12.976	(7.728)	6.019	2.212	(6.700)
Total from Investment Operations	16.421	(4.267)	9.506	5.770	(3.135)
Distributions
Dividends from Net Investment Income	(3.409)	(3.420)	(3.456)	(3.558)	(3.565)
Distributions from Realized Capital Gains	(.172)	(.143)	—	(.152)	(.230)
Total Distributions	(3.581)	(3.563)	(3.456)	(3.710)	(3.795)
Net Asset Value, End of Period	$99.92	$87.08	$94.91	$88.86	$86.80
Total Return	19.09%	-4.46%	10.89%	6.53%	-3.45%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,357	$2,708	$2,392	$1,671	$1,693
Ratio of Total Expenses to Average Net Assets	0.05%	0.07%	0.07%	0.07%	0.09%
Ratio of Net Investment Income to Average Net Assets	3.58%	3.93%	3.79%	3.80%	4.02%
Portfolio Turnover Rate2	33%	38%	41%	45%	42%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

58

Long-Term Bond Index Fund

Financial Highlights

Admiral Shares
	February 7, 20191 to
For a Share Outstanding Throughout the Period	December 31, 2019
Net Asset Value, Beginning of Period	$13.48
Investment Operations
Net Investment Income2	.465
Net Realized and Unrealized Gain (Loss) on Investments	1.728
Total from Investment Operations	2.193
Distributions
Dividends from Net Investment Income	(.467	)
Distributions from Realized Capital Gains	(.026	)
Total Distributions	(.493	)
Net Asset Value, End of Period	$15.18
Total Return3	16.43%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,998
Ratio of Total Expenses to Average Net Assets	0.07%4
Ratio of Net Investment Income to Average Net Assets	3.44%4
Portfolio Turnover Rate5	33%6

1 Inception.

2 Calculated based on average shares outstanding.

3 Total return does not include transaction or account service fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction and account service fees.

4 Annualized.

5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

6 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2019.

See accompanying Notes, which are an integral part of the Financial Statements.

59

Long-Term Bond Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019		2018		2017		2016		2015
Net Asset Value, Beginning of Period	$13.23		$14.42		$13.51		$13.20		$14.26
Investment Operations
Net Investment Income	.525	1	.529	1	.533	1	.544		.560
Net Realized and Unrealized Gain (Loss) on Investments	1.975		(1.169	)	.910		.333		(1.025	)
Total from Investment Operations	2.500		(.640	)	1.443		.877		(.465	)
Distributions
Dividends from Net Investment Income	(.524	)	(.528	)	(.533	)	(.544	)	(.560	)
Distributions from Realized Capital Gains	(.026	)	(.022	)	—		(.023	)	(.035	)
Total Distributions	(.550	)	(.550	)	(.533	)	(.567	)	(.595	)
Net Asset Value, End of Period	$15.18		$13.23		$14.42		$13.51		$13.20
Total Return	19.12%2		-4.41%		10.87%		6.51%		-3.37%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,097		$2,706		$2,552		$2,216		$2,174
Ratio of Total Expenses to Average Net Assets	0.05%		0.05%		0.05%		0.05%		0.06%
Ratio of Net Investment Income to Average Net Assets	3.64%		3.95%		3.81%		3.82%		4.05%
Portfolio Turnover Rate3	33%		38%		41%		45%		42%

1 Calculated based on average shares outstanding.

2 Total return does not include transaction fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

60

Long-Term Bond Index Fund

Financial Highlights

Institutional Plus Shares
For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019		2018		2017		2016		2015
Net Asset Value, Beginning of Period	$13.23		$14.42		$13.51		$13.20		$14.26
Investment Operations
Net Investment Income	.526	1	.530	1	.535	1	.545		.563
Net Realized and Unrealized Gain (Loss) on Investments	1.975		(1.168	)	.910		.333		(1.025	)
Total from Investment Operations	2.501		(.638	)	1.445		.878		(.462	)
Distributions
Dividends from Net Investment Income	(.525	)	(.530	)	(.535	)	(.545	)	(.563	)
Distributions from Realized Capital Gains	(.026	)	(.022	)	—		(.023	)	(.035	)
Total Distributions	(.551	)	(.552	)	(.535	)	(.568	)	(.598	)
Net Asset Value, End of Period	$15.18		$13.23		$14.42		$13.51		$13.20
Total Return	19.14%2		-4.40%		10.88%		6.52%		-3.35%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,960		$2,972		$3,315		$2,745		$2,533
Ratio of Total Expenses to Average Net Assets	0.04%		0.04%		0.04%		0.04%		0.04%
Ratio of Net Investment Income to Average Net Assets	3.63%		3.96%		3.82%		3.83%		4.07%
Portfolio Turnover Rate3	33%		38%		41%		45%		42%

1 Calculated based on average shares outstanding.

2 Total return does not include transaction fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

61

Long-Term Bond Index Fund

Notes to Financial Statements

Vanguard Long-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers four classes of shares: ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares were issued on February 7, 2019. Prior to November 7, 2019, the fund offered Investor Shares. Effective at the close of business on November 7, 2019, the remaining Investor Shares were converted to Admiral Shares.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at December 31, 2019.

62

Long-Term Bond Index Fund

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

4. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on capital share transactions are credited to paid-in capital.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

63

Long-Term Bond Index Fund

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $574,000, representing less than 0.01% of the fund’s net assets and 0.23% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $56,000 (an annual rate of less than 0.01% of average net assets).

D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
U.S. Government and Agency Obligations	—		5,264,105		—
Corporate Bonds	—		6,109,802		—
Sovereign Bonds	—		514,520		—
Taxable Municipal Bonds	—		413,152		—
Temporary Cash Investments	25,308		—		—
Total	25,308		12,301,579		—

E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts:

	Amount
	($000	)
Paid-in Capital	145,348
Total Distributable Earnings (Loss)	(145,348	)

64

Long-Term Bond Index Fund

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	12,624
Undistributed Long-Term Gains	20,839
Capital Loss Carryforwards (Non-expiring)*	—
Net Unrealized Gains (Losses)	1,295,499

* The fund used capital loss carryforwards of $69,091,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	11,031,388
Gross Unrealized Appreciation	1,333,007
Gross Unrealized Depreciation	(37,508	)
Net Unrealized Appreciation (Depreciation)	1,295,499

F. During the year ended December 31, 2019, the fund purchased $2,757,836,000 of investment securities and sold $3,072,389,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,572,213,000 and $3,668,589,000, respectively. Total purchases and sales include $2,397,844,000 and $1,383,737,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $66,219,000 and $1,483,836,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

65

Long-Term Bond Index Fund

G. Capital share transactions for each class of shares were:

					Year Ended December 31,
			2019				2018
	Amount		Shares		Amount		Shares
	($000	)	(000	)	($000	)	(000	)
Investor Shares
Issued1	268,127		19,264		742,223		55,023
Issued in Lieu of Cash Distributions	33,695		2,450		99,446		7,429
Redeemed2	(3,290,794	)	(233,984	)	(822,243	)	(61,386	)
Net Increase (Decrease)—Investor Shares	(2,988,972	)	(212,270	)	19,426		1,066
ETF Shares
Issued1	2,435,718		25,400		911,731		10,300
Issued in Lieu of Cash Distributions	—		—		—		—
Redeemed	(1,217,368	)	(12,900	)	(392,007	)	(4,400	)
Net Increase (Decrease)—ETF Shares	1,218,350		12,500		519,724		5,900
Admiral Shares3
Issued1,2	3,094,803		219,504		—		—
Issued in Lieu of Cash Distributions	59,799		3,941		—		—
Redeemed	(388,614	)	(25,912	)	—		—
Net Increase (Decrease)—Admiral Shares	2,765,988		197,533		—		—
Institutional Shares
Issued1	454,988		32,559		969,450		72,772
Issued in Lieu of Cash Distributions	95,112		6,536		98,456		7,364
Redeemed	(1,546,687	)	(105,461	)	(704,602	)	(52,513	)
Net Increase (Decrease)—Institutional Shares	(996,587	)	(66,366	)	363,304		27,623
Institutional Plus Shares
Issued1	523,351		35,123		707,878		52,671
Issued in Lieu of Cash Distributions	94,548		6,463		112,936		8,438
Redeemed	(1,018,604	)	(71,221	)	(893,171	)	(66,255	)
Net Increase (Decrease)—Institutional Plus Shares	(400,705	)	(29,635	)	(72,357	)	(5,146	)

1 Includes purchase fees for fiscal 2019 of $1,244,000 (fund totals).

2 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 196,788,000 and 196,789,000 shares, respectively, in the amount of $2,690,640,000 from the conversion during the year ended December 31, 2019.

3 Inception was February 7, 2019, for Admiral Shares.

H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

66

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund

Opinions on the Financial Statements

We have audited the accompanying statements of net assets—investments summary of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (three of the funds constituting Vanguard Bond Index Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 13, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

67

Special 2019 tax information (unaudited) for Vanguard Short-Term Bond Index Fund

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 86.0% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Intermediate-Term Bond Index Fund

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 86.0% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Long-Term Bond Index Fund

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $1,051,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.

For nonresident alien shareholders, 81.8% of income dividends are interest-related dividends.

68

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index, the Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index, and the Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Bond Index Funds and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Bond Index Funds. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Bond Index Funds. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Bond Index Funds or the owners of the Bond Index Funds.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Bond Index Funds. Investors acquire the Bond Index Funds from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Bond Index Funds. The Bond Index Funds are not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Bond Index Funds or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Bond Index Funds with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Bond Index Funds to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Bond Index Funds or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Bond Index Funds.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Bond Index Funds, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Bond Index Funds, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE BOND INDEX FUNDS.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

69

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team
Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

 

P.O. Box 2600

Valley Forge, PA 19482-2600

Connect with Vanguard^® > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

© 2020 The Vanguard Group, Inc.

All rights reserved.

U.S. Patent Nos. 6,879,964; 7,337,138;

7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.

Vanguard Marketing Corporation, Distributor.

Q3140 022020

 

Annual Report | December 31, 2019

Vanguard Total Bond Market Index Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
About Your Fund’s Expenses	3
Performance Summary	5
Financial Statements	9

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

A Note From Our Chairman

 

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

1

Your Fund’s Performance at a Glance

·   For the 12 months ended December 31, 2019, returns for Vanguard Total Bond Market Index Fund ranged from 8.61% for Investor Shares to 8.76% for Institutional Select Shares. The fund performed in line with the 8.87% return of its benchmark index after taking the costs of running the fund into account.

·   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a significant narrowing of the average yield spread for corporate bonds versus U.S. Treasuries.

·   Treasuries returned 6.86%. Mortgage-backed securities returned a little less than that, but corporate bonds fared even better, returning 14.54%.

·   By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year			Three Years			Five Years
Stocks
Russell 1000 Index (Large-caps)		31.43	%		15.05	%		11.48	%
Russell 2000 Index (Small-caps)		25.53			8.59			8.23
Russell 3000 Index (Broad U.S. market)		31.02			14.57			11.24
FTSE All-World ex US Index (International)		21.81			9.96			5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)		8.72	%		4.03	%		3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)		7.54			4.72			3.53
FTSE Three-Month U.S. Treasury Bill Index		2.25			1.65			1.04
CPI
Consumer Price Index		2.29	%		2.10	%		1.82	%

2

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

·   Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

·   Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

3

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Total Bond Market Index Fund	6/30/2019	12/31/2019	Period
Based on Actual Fund Return
Investor Shares	$1,000.00	$1,024.04	$0.77
ETF Shares	1,000.00	1,024.54	0.18
Admiral™ Shares	1,000.00	1,024.55	0.26
Institutional Shares	1,000.00	1,024.63	0.18
Institutional Plus Shares	1,000.00	1,024.65	0.15
Institutional Select Shares	1,000.00	1,024.76	0.05
Based on Hypothetical 5% Yearly Return
Investor Shares	$1,000.00	$1,024.45	$0.77
ETF Shares	1,000.00	1,025.03	0.18
Admiral Shares	1,000.00	1,024.95	0.26
Institutional Shares	1,000.00	1,025.03	0.18
Institutional Plus Shares	1,000.00	1,025.05	0.15
Institutional Select Shares	1,000.00	1,025.16	0.05

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.15% for Investor Shares, 0.035% for ETF Shares, 0.05% for Admiral Shares, 0.035% for Institutional Shares, 0.03% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

4

Total Bond Market Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Total Bond Market Index Fund Investor Shares	8.61%	2.90%	3.57%	$14,202
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Total Bond Market Index Fund ETF Shares Net Asset Value	8.71%	3.00%	3.68%	$14,348
Total Bond Market Index Fund ETF Shares Market Price	8.82%	3.01%	3.66%	14,327
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

See Financial Highlights for dividend and capital gains information.

5

Total Bond Market Index Fund

	Average Annual Total Returns
	Periods Ended December 31, 2019
				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Total Bond Market Index Fund Admiral Shares	8.71%	3.00%	3.68%	$14,355
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

				Final Value
	One	Five	Ten	of a $5,000,000
	Year	Years	Years	Investment
Total Bond Market Index Fund Institutional Shares	8.73%	3.01%	3.70%	$7,190,294
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	7,242,955

				Final Value
	One	Five	Ten	of a $100,000,000
	Year	Years	Years	Investment
Total Bond Market Index Fund Institutional Plus Shares	8.74%	3.02%	3.71%	$143,989,737
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	144,859,100

The creation of the Institutional Plus Shares occurred on February 5, 2010, when Vanguard Total Bond Market Index Fund acquired the net assets of Vanguard Institutional Total Bond Market Index Fund. For the periods ended December 31, 2019, the returns and other data shown in the table above reflect a blend of historical performance of the fund’s Institutional Shares prior to February 5, 2010, and of the Institutional Plus Shares from then on.

		Since	Final Value
	One	Inception	of a $3,000,000,000
	Year	(6/24/2016)	Investment
Total Bond Market Index Fund Institutional Select Shares	8.76%	2.80%	$3,306,204,300
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	2.85	3,312,389,400

“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).

6

Total Bond Market Index Fund

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

	One	Five	Ten
	Year	Years	Years
Total Bond Market Index Fund ETF Shares Market Price	8.82%	16.01%	43.27%
Total Bond Market Index Fund ETF Shares Net Asset Value	8.71	15.94	43.48
Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	16.35	44.86

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

7

Total Bond Market Index Fund

Sector Diversification

As of December 31, 2019

Asset-Backed	0.4	%
Commercial Mortgage-Backed	2.2
Finance	8.5
Foreign	4.1
Government Mortgage-Backed	22.3
Industrial	16.5
Treasury/Agency	43.3
Utilities	2.0
Other	0.7

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

8

Total Bond Market Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2019

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
U.S. Government and Agency Obligations
U.S. Government Securities
	United States Treasury Note/Bond	2.000%	5/31/24	1,092,454	1,106,787	0.4%
	United States Treasury Note/Bond	1.625%	5/15/26	1,024,825	1,013,459	0.4%
	United States Treasury Note/Bond	2.875%	8/15/28	940,238	1,013,257	0.4%
	United States Treasury Note/Bond	2.125%	5/15/25	975,222	994,424	0.4%
	United States Treasury Note/Bond	1.750%	5/31/22	982,325	985,852	0.4%
	United States Treasury Note/Bond	2.125%	3/31/24	962,029	979,461	0.4%
	United States Treasury Note/Bond	1.500%	11/30/24	980,256	971,836	0.4%
	United States Treasury Note/Bond	1.750%	2/28/22	964,382	967,545	0.4%
	United States Treasury Note/Bond	3.125%	11/15/28	866,900	953,053	0.4%
	United States Treasury Note/Bond	2.375%	3/15/22	878,400	893,227	0.4%
	United States Treasury Note/Bond	1.375%	10/15/22	862,560	856,902	0.3%
	United States Treasury Note/Bond	2.250%	11/15/27	813,084	835,696	0.3%
	United States Treasury Note/Bond	2.125%	12/31/22	807,125	818,982	0.3%
	United States Treasury Note/Bond	2.375%	5/15/29	787,767	818,789	0.3%
	United States Treasury Note/Bond	2.875%	5/15/28	755,131	812,710	0.3%
	United States Treasury Note/Bond	1.625%	11/15/22	808,480	808,731	0.3%
	United States Treasury Note/Bond	1.625%	8/15/29	829,659	808,137	0.3%
	United States Treasury Note/Bond	2.500%	1/31/24	778,645	803,951	0.3%
	United States Treasury Note/Bond	2.250%	4/15/22	783,400	794,665	0.3%
	United States Treasury Note/Bond	2.500%	5/15/46	776,992	793,379	0.3%
	United States Treasury Note/Bond	2.875%	11/15/21	771,193	789,270	0.3%
	United States Treasury Note/Bond	2.875%	5/15/49	710,393	783,322	0.3%
	United States Treasury Note/Bond	2.250%	2/15/27	748,740	769,098	0.3%
	United States Treasury Note/Bond	1.625%	2/15/26	776,005	768,245	0.3%
	United States Treasury Note/Bond	1.750%	5/15/23	763,728	766,233	0.3%
	United States Treasury Note/Bond	2.250%	11/15/25	742,427	762,034	0.3%
	United States Treasury Note/Bond	2.750%	8/15/21	741,294	754,615	0.3%
	United States Treasury Note/Bond	1.500%	8/15/22	755,098	753,090	0.3%
	United States Treasury Note/Bond	3.000%	2/15/48	667,611	750,435	0.3%
	United States Treasury Note/Bond	1.250%	3/31/21	751,288	747,764	0.3%

9

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
	United States Treasury Note/Bond	2.625%	2/15/29	697,211	738,828	0.3%
	United States Treasury Note/Bond	1.375%	5/31/21	725,253	722,874	0.3%
	United States Treasury Note/Bond	2.875%	11/15/46	656,620	720,332	0.3%
	United States Treasury Note/Bond	2.750%	2/15/28	667,601	711,409	0.3%
	United States Treasury Note/Bond	2.500%	5/15/24	672,918	695,838	0.3%
	United States Treasury Note/Bond	2.750%	11/15/42	648,150	691,900	0.3%
	United States Treasury Note/Bond	1.625%	12/15/22	689,585	689,909	0.3%
	United States Treasury Note/Bond	2.000%	8/15/25	680,570	689,288	0.3%
	United States Treasury Note/Bond	3.625%	2/15/44	554,922	682,382	0.3%
	United States Treasury Note/Bond	2.250%	4/30/24	666,576	682,201	0.3%
	United States Treasury Note/Bond	2.000%	11/30/22	665,725	672,795	0.3%
	United States Treasury Note/Bond	1.750%	6/15/22	668,810	671,211	0.3%
	United States Treasury Note/Bond	3.000%	2/15/49	577,056	650,988	0.3%
	United States Treasury Note/Bond	2.750%	8/31/23	625,966	650,122	0.3%
	United States Treasury Note/Bond	3.125%	5/15/48	558,044	642,448	0.3%
	United States Treasury Note/Bond	1.750%	11/15/29	648,146	638,320	0.3%
	United States Treasury Note/Bond	2.500%	2/15/22	626,278	638,021	0.3%
	United States Treasury Note/Bond	2.125%	5/15/22	630,008	637,587	0.2%
1	United States Treasury Note/Bond	1.125%–8.750%	2/15/20–11/15/49	63,738,384	66,496,972	26.7%
					104,398,374	42.0%
Agency Bonds and Notes
2	Federal Home Loan Mortgage Corp.	1.125%–6.750%	2/16/21–7/15/32	477,313	542,822	0.2%
2	Federal National Mortgage Assn.	1.250%–7.250%	2/26/21–7/15/37	1,037,308	1,098,096	0.4%
	Agency Bonds and Notes—Other †				1,192,118	0.5%
					2,833,036	1.1%
Conventional Mortgage-Backed Securities
2,3,4	Fannie Mae Pool	2.000%–9.500%	1/1/20–2/1/50	21,334,483	22,258,800	9.0%
2,3	Freddie Mac Gold Pool	2.000%–10.000%	1/1/20–2/1/49	11,144,276	11,656,384	4.7%
2,3	Freddie Mac Pool	4.000%–4.500%	1/1/49–5/1/49	125,908	133,421	0.0%
3,4	Ginnie Mae I Pool	3.000%–10.500%	3/15/20–12/1/49	1,047,049	1,117,841	0.4%
3,4	Ginnie Mae II Pool	3.000%	1/1/50	874,375	898,009	0.4%
3,4	Ginnie Mae II Pool	2.500%–8.500%	12/20/20–1/1/50	14,339,539	14,967,582	6.0%
2,3	UMBS Pool	2.500%–4.000%	11/1/33–11/1/34	47,481	48,227	0.0%
2,3	UMBS Pool	2.000%–5.000%	4/1/29–1/1/50	3,269,153	3,382,134	1.4%
2,3,4	UMBS TBA	3.000%	1/1/50	634,725	643,649	0.3%
2,3,4	UMBS TBA	2.000%–4.500%	7/1/34–1/1/50	337,950	342,845	0.1%
					55,448,892	22.3%
Nonconventional Mortgage-Backed Securities
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.290%	4.034%	12/1/41	1,046	1,078	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.310%	3.592%	9/1/37	1,331	1,368	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.353%	4.441%	1/1/35	71	74	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.392%	3.811%	10/1/37	575	592	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.460%	4.572%	2/1/37	2	2	0.0%

10

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.509%	4.082%	7/1/36	288	300	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.553%	2.443%	9/1/43	600	600	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.555%	3.564%	10/1/34	5	5	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.560%	2.272%	7/1/43	6,104	6,119	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.607%	3.607%	11/1/33	125	133	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.609%	3.642%	12/1/33	233	246	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.615%	4.643%	4/1/37	50	53	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.623%	4.748%	2/1/36	500	509	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.625%	4.135%	8/1/35	648	688	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.627%	4.752%	3/1/38	109	112	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.633%	4.633%	1/1/35	1	1	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.635%	3.510%	11/1/36	68	71	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.643%	4.476%	1/1/37	217	231	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.658%	4.283%	7/1/35	390	410	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.660%	3.910%–4.722%	4/1/36–9/1/40	537	564	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.665%	4.415%	6/1/36	39	41	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.679%	3.992%	1/1/42	985	1,017	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.682%	4.167%	10/1/37	688	710	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.687%	4.498%	6/1/42	1,474	1,536	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.706%–4.622%	10/1/39–9/1/42	2,519	2,629	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.695%	4.320%	7/1/39	188	196	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.698%	4.161%	8/1/40	419	440	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.700%	4.364%	12/1/40	437	460	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.701%	3.965%	10/1/42	1,099	1,164	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.705%	3.809%	11/1/39	275	291	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.711%	4.056%	4/1/36	60	62	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.726%	3.956%	9/1/34	285	293	0.0%

11

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.734%	3.997%	11/1/39	627	655	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.746%	4.506%	7/1/41	1,640	1,732	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.748%	4.778%	5/1/35	229	240	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.213%–4.875%	2/1/36–10/1/40	575	609	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.767%	4.648%	6/1/41	262	277	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.771%	4.709%	5/1/42	155	161	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.774%	4.683%	4/1/37	66	71	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.780%	4.905%	2/1/41	271	285	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.793%	3.391%	8/1/42	2,312	2,309	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.795%	4.839%	3/1/42	971	1,023	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.798%	4.358%	3/1/42	431	463	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.804%	3.943%	12/1/39	538	560	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.805%	3.773%	11/1/41	1,070	1,140	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.685%–4.810%	9/1/33–12/1/40	2,048	2,156	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.813%	3.978%–4.435%	11/1/41–1/1/42	1,473	1,552	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.690%–4.940%	11/1/40–12/1/41	2,708	2,857	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.819%	4.759%	3/1/41	994	1,046	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.820%	4.168%	12/1/40	314	329	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.822%	4.310%	9/1/40	1,171	1,234	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.823%	4.902%	2/1/41	503	507	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.825%	4.825%	3/1/41	719	766	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.826%	4.576%	7/1/38	289	296	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.830%	3.451%–4.580%	4/1/41–6/1/41	1,822	1,871	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.835%	4.723%	1/1/40	655	681	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.840%	4.403%	8/1/39	483	510	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.861%	4.745%	5/1/40	240	248	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.880%	4.406%	11/1/34	380	405	0.0%

12

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.884%	3.899%	10/1/37	54	57	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.909%	4.784%	4/1/37	326	343	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.912%	4.787%	5/1/36	80	80	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.965%	5.009%	4/1/37	22	23	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.989%	4.632%	1/1/37	33	35	0.0%
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 2.130%	4.667%	10/1/36	222	238	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.155%	4.780%	12/1/37	637	658	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.185%	4.721%	5/1/36	45	48	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.189%	3.939%	12/1/35	3	4	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.190%	4.450%	12/1/36	10	10	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.238%	4.613%	7/1/38	223	236	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.268%	4.268%–4.893%	5/1/33–12/1/35	214	226	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.275%	4.025%	11/1/32	8	9	0.0%
2,3,5	Fannie Mae Pool,1Y CMT + 2.313%	4.845%	1/1/35	228	243	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.026%	3.206%	4/1/37	808	835	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.413%	3.691%	7/1/34	135	143	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.476%	2.242%	3/1/43	4,288	4,290	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.530%	3.662%	12/1/43	1,057	1,126	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.582%	2.743%	6/1/43	2,822	2,838	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.638%	4.339%	8/1/39	1,192	1,222	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.657%	4.260%	10/1/42	937	943	0.0%
2,3,5	Fannie Mae Pool, 6M USDLIBOR + 1.700%	4.531%	7/1/37	292	311	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.710%	3.371%	9/1/43	2,542	2,602	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.723%	4.720%	5/1/42	2,052	2,143	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.789%	4.572%	7/1/42	740	797	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.840%	4.157%	8/1/37	561	589	0.0%
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.851%	4.434%	2/1/42	1,337	1,431	0.0%

13

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 0.985%	3.235%	10/1/37	53	54	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.245%	4.098%	8/1/37	51	51	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.550%	4.675%	4/1/37	1	1	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.564%	4.420%	3/1/37	79	81	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.570%	4.695%	3/1/37	31	32	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.588%	3.921%	9/1/37	290	296	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.625%	4.625%	1/1/38	80	85	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR +1.640%	3.807%–4.515%	12/1/36–11/1/43	1,013	1,048	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.660%	3.711%	10/1/37	535	557	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.695%	4.767%	2/1/37	190	202	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.727%	4.738%	1/1/35	60	64	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.743%	3.865%	12/1/36	427	439	0.0%
2,3,5	Freddie Mac Non Gold Pool,12M USD LIBOR + 1.745%	4.713%	12/1/40	1,109	1,151	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.625%–4.799%	4/1/33–5/1/38	78	81	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%	3.730%–4.765%	4/1/35–12/1/36	152	163	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.770%	3.925%	12/1/34	7	7	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.780%	3.977%	3/1/36	4	4	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796%	3.871%	12/1/34	300	305	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798%	4.529%–4.761%	5/1/33–6/1/37	625	666	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.833%	4.190%	3/1/42	796	840	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.834%	4.220%	12/1/35	369	389	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840%	4.590%	6/1/37	71	75	0.0%

14

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.842%	4.466%	6/1/41	43	45	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.851%	4.716%	1/1/37	258	273	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.864%	4.595%	2/1/42	296	311	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.865%	4.348%	8/1/37	231	240	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.870%	4.038%	12/1/39	157	166	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.005%–5.005%	5/1/40–6/1/41	2,869	2,993	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.885%	4.510%	7/1/38	224	229	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889%	4.956%	2/1/42	584	586	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895%	4.323%	9/1/40	745	784	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	3.846%–4.705%	6/1/40–11/1/40	1,078	1,114	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	4.825%–5.035%	1/1/41–2/1/41	1,092	1,159	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977%	4.783%	5/1/37	943	975	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +1.995%	5.120%	3/1/37	414	439	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +2.000%	4.750%	7/1/35	64	67	0.0%
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR +2.085%	5.210%	3/1/38	76	80	0.0%
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.125%	4.625%	6/1/35	2	2	0.0%
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT +2.250%	4.006%–4.991%	6/1/34–11/1/36	1,578	1,650	0.0%
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.273%	4.773%	6/1/36	8	8	0.0%
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.315%	4.315%	12/1/34	25	26	0.0%

15

Total Bond Market Index Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
2,3,5	Freddie Mac Non Gold Pool,1Y CMT + 2.409%	4.159%–4.964%	11/1/33–10/1/36	507	538	0.0%
2,3,5	Freddie Mac Non Gold Pool,1Y CMT + 2.549%	5.173%	3/1/37	91	91	0.0%
2,3,5	Freddie Mac Non Gold Pool,6M USD LIBOR +1.355%	3.438%–3.548%	5/1/37–6/1/37	344	352	0.0%
2,3,5	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.570%	3.859%	3/1/37	126	131	0.0%
2,3,5	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.665%	3.982%	1/1/37	660	694	0.0%
3,5	Ginnie Mae II Pool,1Y CMT + 1.500%	3.250%–4.125%	6/20/29–1/20/44	22,890	23,589	0.1%
3,5	Ginnie Mae II Pool,1Y CMT + 2.000%	4.375%–4.625%	11/20/40–5/20/41	571	587	0.0%
					111,178	0.1%

Total U.S. Government and Agency Obligations (Cost $158,880,382)		162,791,480	65.5%
6Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,341,423) †		6,498,454	2.6%
Corporate Bonds
Finance
6	Banking †	14,824,628	6.0%
6	Brokerage †	597,322	0.2%
	Finance Companies †	536,108	0.2%
	Insurance †	2,960,585	1.2%
	Other Finance †	19,088	0.0%
	Real Estate Investment Trusts †	1,815,605	0.7%
		20,753,336	8.3%
Industrial
6	Basic Industry †	2,023,115	0.8%
6	Capital Goods †	3,458,687	1.4%
6	Communication †	5,919,667	2.4%
6	Consumer Cyclical †	4,725,014	1.9%
6	Consumer Noncyclical †	10,928,897	4.4%
6	Energy †	6,072,233	2.4%
6	Other Industrial †	278,960	0.1%
6	Technology †	5,572,239	2.2%
6	Transportation †	1,680,177	0.7%
		40,658,989	16.3%
Utilities
	Electric †	4,412,830	1.8%
	Natural Gas †	375,666	0.2%
	Other Utility †	93,436	0.0%
		4,881,932	2.0%
Total Corporate Bonds (Cost $62,029,801)		66,294,257	26.6%
6Sovereign Bonds (Cost $9,621,564) †		10,031,009	4.0%
Taxable Municipal Bonds (Cost $1,408,682) †		1,644,739	0.7%

16

Total Bond Market Index Fund

				Market	Percentage
				Value•	of Net
		Coupon	Shares	($000)	Assets
Temporary Cash Investment
Money Market Fund
7	Vanguard Market Liquidity Fund (Cost $4,826,526)	1.816%	48,263,387	4,826,822	2.0%
Total Investments (Cost $243,108,378)				252,086,761	101.4%
				Amount
				($000)
Other Assets and Liabilities
Other Assets
Investment in Vanguard				11,124
Receivables for Investment Securities Sold				966,453
Receivables for Accrued Income				1,508,183
Receivables for Capital Shares Issued				424,071
Other Assets				9,171
Total Other Assets				2,919,002	1.2%
Liabilities
Payables for Investment Securities Purchased				(5,896,607)
Payables for Capital Shares Redeemed				(375,992)
Payables for Distributions				(29,881)
Payables to Vanguard				(46,064)
Total Liabilities				(6,348,544)	(2.6%)
Net Assets				248,657,219	100.0%
At December 31, 2019, net assets consisted of:
					Amount
					($000)
Paid-in Capital					240,039,575
Total Distributable Earnings (Loss)					8,617,644
Net Assets					248,657,219
Investor Shares—Net Assets
Applicable to 139,916,390 outstanding $.001 par value shares of beneficial interest (unlimited authorization)					1,545,925
Net Asset Value Per Share—Investor Shares					$11.05
ETF Shares—Net Assets
Applicable to 578,823,018 outstanding $.001 par value shares of beneficial interest (unlimited authorization)					48,455,911
Net Asset Value Per Share—ETF Shares					$83.71
Admiral Shares—Net Assets
Applicable to 9,693,309,065 outstanding $.001 par value shares of beneficial interest (unlimited authorization)					107,098,024
Net Asset Value Per Share—Admiral Shares					$11.05

17

Total Bond Market Index Fund

	Amount
	($000)
Institutional Shares—Net Assets
Applicable to 4,297,106,133 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	47,477,314
Net Asset Value Per Share—Institutional Shares	$11.05
Institutional Plus Shares—Net Assets
Applicable to 2,143,185,368 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	23,679,111
Net Asset Value Per Share—Institutional Plus Shares	$11.05
Institutional Select Shares—Net Assets
Applicable to 1,846,468,789 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	20,400,934
Net Asset Value Per Share—Institutional Select Shares	$11.05

• See Note A in Notes to Financial Statements.

† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 Securities with a value of $374,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.

3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2019.

5 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

6 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $2,147,924,000, representing 0.9% of net assets.

7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

CMT—Constant Maturing Treasury Rate.

LIBOR—London Interbank Offered Rate.

TBA—To Be Announced.

UMBS—Uniform Mortgage-Backed Securities.

See accompanying Notes, which are an integral part of the Financial Statements.

18

Total Bond Market Index Fund

Statement of Operations

	Year Ended
	December 31, 2019
	($000		)
Investment Income
Income
Interest1		6,433,898
Total Income		6,433,898
Expenses
The Vanguard Group—Note B
Investment Advisory Services		7,774
Management and Administrative—Investor Shares		3,892
Management and Administrative—ETF Shares		10,446
Management and Administrative—Admiral Shares		39,517
Management and Administrative—Institutional Shares		12,189
Management and Administrative—Institutional Plus Shares		5,430
Management and Administrative—Institutional Select Shares		1,105
Marketing and Distribution—Investor Shares		334
Marketing and Distribution—ETF Shares		1,749
Marketing and Distribution—Admiral Shares		5,756
Marketing and Distribution—Institutional Shares		1,554
Marketing and Distribution—Institutional Plus Shares		345
Marketing and Distribution—Institutional Select Shares		1
Custodian Fees		617
Auditing Fees		58
Shareholders’ Reports—Investor Shares		24
Shareholders’ Reports—ETF Shares		902
Shareholders’ Reports—Admiral Shares		685
Shareholders’ Reports—Institutional Shares		299
Shareholders’ Reports—Institutional Plus Shares		66
Shareholders’ Reports—Institutional Select Shares		—
Trustees’ Fees and Expenses		114
Total Expenses		92,857
Expenses Paid Indirectly		(433	)
Net Expenses		92,424
Net Investment Income		6,341,474
Realized Net Gain (Loss)
Investment Securities Sold1,2		312,226
Futures Contracts		90
Realized Net Gain (Loss)		312,316
Change in Unrealized Appreciation (Depreciation) of Investment Securities1		11,925,643
Net Increase (Decrease) in Net Assets Resulting from Operations		18,579,433

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $81,551,000, ($256,000), and $140,000, respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $46,487,000 of net gain (loss) resulting from in-kind redemptions, such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

19

Total Bond Market Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2019			2018
	($000)			($000		)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		6,341,474			5,527,101
Realized Net Gain (Loss)		312,316			(601,872	)
Change in Unrealized Appreciation (Depreciation)		11,925,643			(4,895,191	)
Net Increase (Decrease) in Net Assets Resulting from Operations		18,579,433			30,038
Distributions
Net Investment Income
Investor Shares		(79,531	)		(125,655	)
ETF Shares		(1,164,386	)		(1,016,260	)
Admiral Shares		(2,749,165	)		(2,345,887	)
Institutional Shares		(1,248,249	)		(1,112,166	)
Institutional Plus Shares		(618,238	)		(548,458	)
Institutional Select Shares		(485,541	)		(378,061	)
Realized Capital Gain1
Investor Shares		—			(1,185	)
ETF Shares		—			(8,845	)
Admiral Shares		—			(19,982	)
Institutional Shares		—			(9,396	)
Institutional Plus Shares		—			(4,829	)
Institutional Select Shares		—			(3,066	)
Total Distributions		(6,345,110	)		(5,573,790	)
Capital Share Transactions
Investor Shares		(2,888,656	)		(767,351	)
ETF Shares		9,751,333			334,647
Admiral Shares		13,466,314			7,770,849
Institutional Shares		4,332,735			2,739,331
Institutional Plus Shares		3,077,058			473,626
Institutional Select Shares		4,677,528			3,127,416
Net Increase (Decrease) from Capital Share Transactions		32,416,312			13,678,518
Total Increase (Decrease)		44,650,635			8,134,766
Net Assets
Beginning of Period		204,006,584			195,871,818
End of Period		248,657,219			204,006,584

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

20

Total Bond Market Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$10.45	$10.75	$10.65	$10.64	$10.87
Investment Operations
Net Investment Income	.2941	.2791	.2601	.254	.253
Net Realized and Unrealized Gain (Loss) on Investments	.597	(.296)	.105	.015	(.219)
Total from Investment Operations	.891	(.017)	.365	.269	.034
Distributions
Dividends from Net Investment Income	(.291)	(.280)	(.260)	(.254)	(.254)
Distributions from Realized Capital Gains	—	(.003)	(.005)	(.005)	(.010)
Total Distributions	(.291)	(.283)	(.265)	(.259)	(.264)
Net Asset Value, End of Period	$11.05	$10.45	$10.75	$10.65	$10.64
Total Return2	8.61%	-0.13%	3.45%	2.50%	0.30%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,546	$4,250	$5,166	$5,969	$6,434
Ratio of Total Expenses to Average Net Assets	0.15%	0.15%	0.15%	0.15%	0.16%
Ratio of Net Investment Income to Average Net Assets	2.74%	2.68%	2.42%	2.30%	2.34%
Portfolio Turnover Rate3,4	31%	54%	55%	61%	84%

1 Calculated based on average shares outstanding

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

4 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

21

Total Bond Market Index Fund

Financial Highlights

ETF Shares

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$79.16	$81.46	$80.64	$80.58	$82.33
Investment Operations
Net Investment Income	2.2951	2.2091	2.0531	1.995	2.000
Net Realized and Unrealized Gain (Loss) on Investments	4.535	(2.280)	.842	.096	(1.671)
Total from Investment Operations	6.830	(.071)	2.895	2.091	.329
Distributions
Dividends from Net Investment Income	(2.280)	(2.210)	(2.038)	(1.995)	(2.001)
Distributions from Realized Capital Gains	—	(.019)	(.037)	(.036)	(.078)
Total Distributions	(2.280)	(2.229)	(2.075)	(2.031)	(2.079)
Net Asset Value, End of Period	$83.71	$79.16	$81.46	$80.64	$80.58
Total Return	8.71%	-0.04%	3.62%	2.57%	0.39%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$48,456	$36,528	$37,247	$31,445	$27,279
Ratio of Total Expenses to Average Net Assets	0.035%	0.035%	0.05%	0.05%	0.06%
Ratio of Net Investment Income to Average Net Assets	2.78%	2.79%	2.52%	2.40%	2.44%
Portfolio Turnover Rate2,3	31%	54%	55%	61%	84%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

3 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

22

Total Bond Market Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$10.45	$10.75	$10.65	$10.64	$10.87
Investment Operations
Net Investment Income	.3011	.2901	.2711	.265	.263
Net Realized and Unrealized Gain (Loss) on Investments	.601	(.297)	.105	.015	(.219)
Total from Investment Operations	.902	(.007)	.376	.280	.044
Distributions
Dividends from Net Investment Income	(.302)	(.290)	(.271)	(.265)	(.264)
Distributions from Realized Capital Gains	—	(.003)	(.005)	(.005)	(.010)
Total Distributions	(.302)	(.293)	(.276)	(.270)	(.274)
Net Asset Value, End of Period	$11.05	$10.45	$10.75	$10.65	$10.64
Total Return2	8.71%	-0.03%	3.56%	2.60%	0.40%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$107,098	$88,281	$82,839	$72,592	$60,783
Ratio of Total Expenses to Average Net Assets	0.05%	0.05%	0.05%	0.05%	0.06%
Ratio of Net Investment Income to Average Net Assets	2.78%	2.78%	2.52%	2.40%	2.44%
Portfolio Turnover Rate3,4	31%	54%	55%	61%	84%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

4 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

23

Total Bond Market Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$10.45	$10.75	$10.65	$10.64	$10.87
Investment Operations
Net Investment Income	.3031	.2921	.2721	.266	.265
Net Realized and Unrealized Gain (Loss) on Investments	.601	(.297)	.105	.015	(.219)
Total from Investment Operations	.904	(.005)	.377	.281	.046
Distributions
Dividends from Net Investment Income	(.304)	(.292)	(.272)	(.266)	(.266)
Distributions from Realized Capital Gains	—	(.003)	(.005)	(.005)	(.010)
Total Distributions	(.304)	(.295)	(.277)	(.271)	(.276)
Net Asset Value, End of Period	$11.05	$10.45	$10.75	$10.65	$10.64
Total Return	8.73%	-0.01%	3.57%	2.61%	0.41%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$47,477	$40,728	$39,101	$34,167	$29,095
Ratio of Total Expenses to Average Net Assets	0.035%	0.035%	0.04%	0.04%	0.05%
Ratio of Net Investment Income to Average Net Assets	2.79%	2.79%	2.53%	2.41%	2.45%
Portfolio Turnover Rate2,3	31%	54%	55%	61%	84%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

3 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

24

Total Bond Market Index Fund

Financial Highlights

Institutional Plus Shares

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$10.45	$10.75	$10.65	$10.64	$10.87
Investment Operations
Net Investment Income	.3041	.2921	.2731	.267	.266
Net Realized and Unrealized Gain (Loss) on Investments	.600	(.297)	.105	.015	(.219)
Total from Investment Operations	.904	(.005)	.378	.282	.047
Distributions
Dividends from Net Investment Income	(.304)	(.292)	(.273)	(.267)	(.267)
Distributions from Realized Capital Gains	—	(.003)	(.005)	(.005)	(.010)
Total Distributions	(.304)	(.295)	(.278)	(.272)	(.277)
Net Asset Value, End of Period	$11.05	$10.45	$10.75	$10.65	$10.64
Total Return	8.74%	-0.01%	3.58%	2.62%	0.42%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$23,679	$19,399	$19,488	$22,203	$24,287
Ratio of Total Expenses to Average Net Assets	0.03%	0.03%	0.03%	0.03%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.80%	2.80%	2.54%	2.42%	2.46%
Portfolio Turnover Rate2,3	31%	54%	55%	61%	84%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

3 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

25

Total Bond Market Index Fund

Financial Highlights

Institutional Select Shares

				June 24,
				20161 to
For a Share Outstanding	Year Ended December 31,			Dec. 31,
Throughout Each Period	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.45	$10.75	$10.65	$11.03
Investment Operations
Net Investment Income	.3062	.2952	.2752	.135
Net Realized and Unrealized Gain (Loss) on Investments	.600	(.298)	.105	(.375)
Total from Investment Operations	.906	(.003)	.380	(.240)
Distributions
Dividends from Net Investment Income	(.306)	(.294)	(.275)	(.135)
Distributions from Realized Capital Gains	—	(.003)	(.005)	(.005)
Total Distributions	(.306)	(.297)	(.280)	(.140)
Net Asset Value, End of Period	$11.05	$10.45	$10.75	$10.65
Total Return	8.76%	0.01%	3.60%	-2.20%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$20,401	$14,821	$12,031	$5,438
Ratio of Total Expenses to Average Net Assets	0.01%	0.01%	0.01%	0.01%3
Ratio of Net Investment Income to Average Net Assets	2.81%	2.82%	2.56%	2.41%3
Portfolio Turnover Rate4,5	31%	54%	55%	61%6

1 Inception.

2 Calculated based on average shares outstanding.

3 Annualized.

4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

5 Includes 10%, 13%, 15%, and 23% attributable to mortgage-dollar-roll activity.

6 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016.

See accompanying Notes, which are an integral part of the Financial Statements.

26

Total Bond Market Index Fund

Notes to Financial Statements

Vanguard Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts each represented 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at December 31, 2019.

27

Total Bond Market Index Fund

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At December 31, 2019, counterparties had deposited in segregated accounts securities with a value of $331,000 and cash of $560,000 in connection with TBA transactions.

4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

28

Total Bond Market Index Fund

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $11,124,000, representing less than 0.01% of the fund’s net assets and 4.45% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

29

Total Bond Market Index Fund

C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $433,000 (an annual rate of less than 0.01% of average net assets).

D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	162,791,480	—
Asset-Backed/Commercial Mortgage-Backed Securities	—	6,498,454	—
Corporate Bonds	—	66,291,454	—
Sovereign Bonds	—	10,031,009	—
Taxable Municipal Bonds	—	1,647,542	—
Temporary Cash Investments	4,826,822	—	—
Total	4,826,822	247,259,939	—

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

	Amount
	($000)
Paid-in Capital	46,487
Total Distributable Earnings (Loss)	(46,487)

30

Total Bond Market Index Fund

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	31,487
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(351,260)
Net Unrealized Gains (Losses)	8,978,358

* The fund used capital loss carryforwards of $265,853,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	243,108,403
Gross Unrealized Appreciation	9,483,363
Gross Unrealized Depreciation	(505,005)
Net Unrealized Appreciation (Depreciation)	8,978,358

F.  During the year ended December 31, 2019, the fund purchased $21,676,646,000 of investment securities and sold $13,661,212,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $81,702,472,000 and $57,029,523,000, respectively. Total purchases and sales include $9,805,063,000 and $933,513,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

31

Total Bond Market Index Fund

G.  Capital share transactions for each class of shares were:

			Year Ended December 31,
		2019		2018
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	314,902	29,205	1,067,996	102,197
Issued in Lieu of Cash Distributions	72,635	6,735	119,200	11,430
Redeemed1	(3,276,193)	(302,720)	(1,954,547)	(187,286)
Net Increase (Decrease)—Investor Shares	(2,888,656)	(266,780)	(767,351)	(73,659)
ETF Shares
Issued	10,954,123	132,000	3,435,257	43,400
Issued in Lieu of Cash Distributions	—	—	—	—
Redeemed	(1,202,790)	(14,600)	(3,100,610)	(39,200)
Net Increase (Decrease)—ETF Shares	9,751,333	117,400	334,647	4,200
Admiral Shares
Issued1	28,133,518	2,599,563	23,230,538	2,226,910
Issued in Lieu of Cash Distributions	2,478,605	227,640	2,114,291	202,860
Redeemed	(17,145,809)	(1,581,483)	(17,573,980)	(1,685,319)
Net Increase (Decrease)—Admiral Shares	13,466,314	1,245,720	7,770,849	744,451
Institutional Shares
Issued	12,742,108	1,173,938	11,573,400	1,107,501
Issued in Lieu of Cash Distributions	1,175,382	107,971	1,048,850	100,635
Redeemed	(9,584,755)	(882,050)	(9,882,919)	(946,888)
Net Increase (Decrease)—Institutional Shares	4,332,735	399,859	2,739,331	261,248
Institutional Plus Shares
Issued	7,083,423	653,802	7,772,402	743,515
Issued in Lieu of Cash Distributions	581,981	53,455	518,422	49,738
Redeemed	(4,588,346)	(420,358)	(7,817,198)	(749,166)
Net Increase (Decrease)—Institutional Plus Shares	3,077,058	286,899	473,626	44,087
Institutional Select Shares
Issued	4,809,687	441,094	3,894,421	373,051
Issued in Lieu of Cash Distributions	485,541	44,575	381,127	36,580
Redeemed	(617,700)	(57,430)	(1,148,132)	(110,160)
Net Increase (Decrease)—Institutional Select Shares	4,677,528	428,239	3,127,416	299,471

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 250,589,000 and 250,589,000 shares, respectively, in the amount of $2,708,595,000 from the conversion during the year ended December 31, 2019.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

32

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Total Bond Market Index Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets—investments summary of Vanguard Total Bond Market Index Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 13, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

33

Special 2019 tax information (unaudited) for Vanguard Total Bond Market Index Fund

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 87.2% of income dividends are interest-related dividends.

34

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Total Bond Market Index Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Total Bond Market Index Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Total Bond Market Index Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Total Bond Market Index Fund or the owners of the Total Bond Market Index Fund.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Total Bond Market Index Fund. Investors acquire the Total Bond Market Index Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Total Bond Market Index Fund. The Total Bond Market Index Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Total Bond Market Index Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Total Bond Market Index Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Total Bond Market Index Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Total Bond Market Index Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Total Bond Market Index Fund.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Total Bond Market Index Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Total Bond Market Index Fund, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE TOTAL BOND MARKET INDEX FUND.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

35

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

P.O. Box 2600

Valley Forge, PA 19482-2600

Connect with Vanguard^® > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

© 2020 The Vanguard Group, Inc.

All rights reserved.

U.S. Patent Nos. 6,879,964; 7,337,138;

7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.

Vanguard Marketing Corporation, Distributor.

Q840 022020

Annual Report | December 31, 2019

Vanguard Total Bond Market II Index Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
About Your Fund’s Expenses	3
Performance Summary	5
Financial Statements	7

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

A Note From Our Chairman

 

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

1

Your Fund’s Performance at a Glance

·For the 12 months ended December 31, 2019, Vanguard Total Bond Market II Index Fund returned 8.62% for Investor Shares and 8.69% for Institutional Shares. The fund performed in line with the 8.87% return of its benchmark index after taking the costs of running the fund into account.

·The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a significant narrowing of the average yield spread for corporate bonds versus U.S. Treasuries.

·Treasuries, which account for over 40% of the portfolio’s assets, returned 6.86%. Mortgage-backed securities returned a little less than that, while corporate bonds fared even better, returning 14.54%.

·By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year			Three Years			Five Years
Stocks
Russell 1000 Index (Large-caps)		31.43	%		15.05	%		11.48	%
Russell 2000 Index (Small-caps)		25.53			8.59			8.23
Russell 3000 Index (Broad U.S. market)		31.02			14.57			11.24
FTSE All-World ex US Index (International)		21.81			9.96			5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)		8.72	%		4.03	%		3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)		7.54			4.72			3.53
FTSE Three-Month U.S. Treasury Bill Index		2.25			1.65			1.04
CPI
Consumer Price Index		2.29	%		2.10	%		1.82	%

2

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

·Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

·Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

3

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Total Bond Market II Index Fund	6/30/2019	12/31/2019	Period
Based on Actual Fund Return
Investor Shares	$1,000.00	$1,024.49	$0.46
Institutional Shares	1,000.00	1,024.85	0.10
Based on Hypothetical 5% Yearly Return
Investor Shares	$1,000.00	$1,024.75	$0.46
Institutional Shares	1,000.00	1,025.10	0.10

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.09% for Investor Shares and 0.02% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

4

Total Bond Market II Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Total Bond Market II Index Fund Investor Shares	8.62%	2.93%	3.59%	$14,230
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486
					Final Value
		One	Five	Ten	of a $5,000,000
		Year	Years	Years	Investment
Total Bond Market II Index Fund Institutional Shares		8.69%	3.00%	3.66%	$7,161,932
Bloomberg Barclays U.S. Aggregate Float Adjusted Index		8.87	3.07	3.78	7,242,955

See Financial Highlights for dividend and capital gains information.

5

Total Bond Market II Index Fund

Sector Diversification

As of December 31, 2019

Asset-Backed	0.4	%
Commercial Mortgage-Backed	2.0
Finance	8.3
Foreign	4.1
Government Mortgage-Backed	22.0
Industrial	16.1
Treasury/Agency	44.6
Utilities	1.9
Other	0.6

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

6

Total Bond Market II Index Fund

Financial Statements

Statement of Net Assets

As of December 31, 2019

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (66.6%)
U.S. Government Securities (43.3%)
	United States Treasury Note/Bond	8.500%	2/15/20	5,018		5,056
	United States Treasury Note/Bond	8.750%	8/15/20	15,755		16,422
	United States Treasury Note/Bond	2.000%	9/30/20	2		2
	United States Treasury Note/Bond	1.375%	10/31/20	3		3
	United States Treasury Note/Bond	1.750%	10/31/20	2		2
	United States Treasury Note/Bond	2.000%	11/30/20	163,375		163,885
	United States Treasury Note/Bond	2.750%	11/30/20	2		2
	United States Treasury Note/Bond	1.875%	12/15/20	708,440		709,992
	United States Treasury Note/Bond	1.750%	12/31/20	200,000		200,188
	United States Treasury Note/Bond	2.375%	12/31/20	194,345		195,711
	United States Treasury Note/Bond	2.500%	12/31/20	573,205		577,859
	United States Treasury Note/Bond	2.000%	1/15/21	483,080		484,814
	United States Treasury Note/Bond	1.375%	1/31/21	400,353		399,164
	United States Treasury Note/Bond	2.125%	1/31/21	169,525		170,373
	United States Treasury Note/Bond	2.500%	1/31/21	411,665		415,395
	United States Treasury Note/Bond	2.250%	2/15/21	511,532		514,888
	United States Treasury Note/Bond	3.625%	2/15/21	277,415		283,440
	United States Treasury Note/Bond	1.125%	2/28/21	195,148		193,989
	United States Treasury Note/Bond	2.000%	2/28/21	340,741		342,179
	United States Treasury Note/Bond	2.500%	2/28/21	176,125		177,858
	United States Treasury Note/Bond	2.375%	3/15/21	27,761		27,995
	United States Treasury Note/Bond	1.250%	3/31/21	236,387		235,278
	United States Treasury Note/Bond	2.250%	3/31/21	287,264		289,419
	United States Treasury Note/Bond	2.375%	4/15/21	318,258		321,291
	United States Treasury Note/Bond	1.375%	4/30/21	117,322		116,956
	United States Treasury Note/Bond	2.250%	4/30/21	75,747		76,374
	United States Treasury Note/Bond	2.625%	5/15/21	332,092		336,605
	United States Treasury Note/Bond	3.125%	5/15/21	100,610		102,638
	United States Treasury Note/Bond	2.000%	5/31/21	87,899		88,366
	United States Treasury Note/Bond	2.125%	5/31/21	447,608		450,755
	United States Treasury Note/Bond	2.625%	6/15/21	226,450		229,706
	United States Treasury Note/Bond	1.625%	6/30/21	459,563		459,637
	United States Treasury Note/Bond	2.125%	6/30/21	299,510		301,804
	United States Treasury Note/Bond	2.625%	7/15/21	273,625		277,814
	United States Treasury Note/Bond	1.125%	7/31/21	231,305		229,533
	United States Treasury Note/Bond	1.750%	7/31/21	422,112		423,036
	United States Treasury Note/Bond	2.250%	7/31/21	109,725		110,805
	United States Treasury Note/Bond	2.125%	8/15/21	224,628		226,452
	United States Treasury Note/Bond	2.750%	8/15/21	375,798		382,551
	United States Treasury Note/Bond	8.125%	8/15/21	34,550		38,118

7

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
United States Treasury Note/Bond	1.125%	8/31/21	224,994		223,201
United States Treasury Note/Bond	1.500%	8/31/21	97,298		97,131
United States Treasury Note/Bond	2.000%	8/31/21	241,675		243,224
United States Treasury Note/Bond	2.750%	9/15/21	186,200		189,749
United States Treasury Note/Bond	1.125%	9/30/21	6,848		6,791
United States Treasury Note/Bond	1.500%	9/30/21	87,869		87,718
United States Treasury Note/Bond	2.125%	9/30/21	293,750		296,320
United States Treasury Note/Bond	2.875%	10/15/21	308,441		315,285
United States Treasury Note/Bond	1.250%	10/31/21	400,342		397,840
United States Treasury Note/Bond	1.500%	10/31/21	489,587		488,823
United States Treasury Note/Bond	2.000%	10/31/21	275,870		277,854
United States Treasury Note/Bond	2.000%	11/15/21	281,541		283,697
United States Treasury Note/Bond	2.875%	11/15/21	345,139		353,229
United States Treasury Note/Bond	1.500%	11/30/21	13,553		13,532
United States Treasury Note/Bond	1.750%	11/30/21	420,296		421,477
United States Treasury Note/Bond	1.875%	11/30/21	100,425		100,974
United States Treasury Note/Bond	2.625%	12/15/21	872,994		890,044
United States Treasury Note/Bond	1.625%	12/31/21	160,900		161,075
United States Treasury Note/Bond	2.000%	12/31/21	221,840		223,573
United States Treasury Note/Bond	2.125%	12/31/21	116,875		118,062
United States Treasury Note/Bond	2.500%	1/15/22	823,356		837,896
United States Treasury Note/Bond	1.500%	1/31/22	324,393		323,835
United States Treasury Note/Bond	1.875%	1/31/22	323,028		324,843
United States Treasury Note/Bond	2.000%	2/15/22	39,412		39,726
United States Treasury Note/Bond	2.500%	2/15/22	1,040,133		1,059,636
United States Treasury Note/Bond	1.750%	2/28/22	235,777		236,550
United States Treasury Note/Bond	1.875%	2/28/22	304,490		306,299
United States Treasury Note/Bond	2.375%	3/15/22	991,706		1,008,446
United States Treasury Note/Bond	1.750%	3/31/22	202,337		203,033
United States Treasury Note/Bond	1.875%	3/31/22	345,708		347,813
United States Treasury Note/Bond	2.250%	4/15/22	983,190		997,328
United States Treasury Note/Bond	1.750%	4/30/22	193,091		193,755
United States Treasury Note/Bond	1.875%	4/30/22	212,589		213,918
United States Treasury Note/Bond	1.750%	5/15/22	300,000		300,984
United States Treasury Note/Bond	2.125%	5/15/22	371,910		376,384
United States Treasury Note/Bond	1.750%	5/31/22	67,332		67,574
United States Treasury Note/Bond	1.875%	5/31/22	111,900		112,634
United States Treasury Note/Bond	1.750%	6/15/22	667,504		669,900
United States Treasury Note/Bond	1.750%	6/30/22	367,600		368,979
United States Treasury Note/Bond	2.125%	6/30/22	135,735		137,474
United States Treasury Note/Bond	1.750%	7/15/22	348,260		349,458
United States Treasury Note/Bond	1.875%	7/31/22	269,263		271,029
United States Treasury Note/Bond	2.000%	7/31/22	187,730		189,577
United States Treasury Note/Bond	1.500%	8/15/22	365,753		364,780
United States Treasury Note/Bond	1.625%	8/15/22	259,234		259,356
United States Treasury Note/Bond	7.250%	8/15/22	75		86
United States Treasury Note/Bond	1.625%	8/31/22	341,015		341,121
United States Treasury Note/Bond	1.875%	8/31/22	229,931		231,513
United States Treasury Note/Bond	1.500%	9/15/22	1,053,810		1,050,849
United States Treasury Note/Bond	1.750%	9/30/22	268,153		269,116
United States Treasury Note/Bond	1.875%	9/30/22	334,051		336,453
United States Treasury Note/Bond	1.375%	10/15/22	1,397,361		1,388,194
United States Treasury Note/Bond	1.875%	10/31/22	317,955		320,143
United States Treasury Note/Bond	2.000%	10/31/22	470,049		474,970
United States Treasury Note/Bond	1.625%	11/15/22	726,461		726,686

8

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
United States Treasury Note/Bond	7.625%	11/15/22	150		175
United States Treasury Note/Bond	2.000%	11/30/22	593,275		599,576
United States Treasury Note/Bond	1.625%	12/15/22	1,581,565		1,582,308
United States Treasury Note/Bond	2.125%	12/31/22	496,046		503,333
United States Treasury Note/Bond	1.750%	1/31/23	279,340		280,388
United States Treasury Note/Bond	2.375%	1/31/23	281,440		287,772
United States Treasury Note/Bond	2.000%	2/15/23	325,850		329,464
United States Treasury Note/Bond	1.500%	2/28/23	122,637		122,139
United States Treasury Note/Bond	2.625%	2/28/23	370,434		381,721
United States Treasury Note/Bond	1.500%	3/31/23	100,115		99,709
United States Treasury Note/Bond	2.500%	3/31/23	394,925		405,663
United States Treasury Note/Bond	1.625%	4/30/23	151,271		151,177
United States Treasury Note/Bond	2.750%	4/30/23	153,300		158,785
United States Treasury Note/Bond	1.750%	5/15/23	124,775		125,184
United States Treasury Note/Bond	1.625%	5/31/23	122,505		122,447
United States Treasury Note/Bond	2.750%	5/31/23	65,346		67,715
United States Treasury Note/Bond	1.375%	6/30/23	254,587		252,280
United States Treasury Note/Bond	2.625%	6/30/23	191,146		197,507
United States Treasury Note/Bond	1.250%	7/31/23	133,182		131,309
United States Treasury Note/Bond	2.750%	7/31/23	86,268		89,544
United States Treasury Note/Bond	2.500%	8/15/23	409,285		421,371
United States Treasury Note/Bond	1.375%	8/31/23	344,995		341,652
United States Treasury Note/Bond	1.375%	9/30/23	152,840		151,264
United States Treasury Note/Bond	2.875%	9/30/23	114,482		119,509
United States Treasury Note/Bond	2.875%	10/31/23	114,000		119,076
United States Treasury Note/Bond	2.750%	11/15/23	128,215		133,364
United States Treasury Note/Bond	2.125%	11/30/23	182,625		185,764
United States Treasury Note/Bond	2.875%	11/30/23	197,846		206,810
United States Treasury Note/Bond	2.250%	12/31/23	120,863		123,563
United States Treasury Note/Bond	2.625%	12/31/23	1,475,123		1,529,290
United States Treasury Note/Bond	2.250%	1/31/24	197,225		201,663
United States Treasury Note/Bond	2.500%	1/31/24	686,069		708,366
United States Treasury Note/Bond	2.750%	2/15/24	270,399		281,891
United States Treasury Note/Bond	2.125%	2/29/24	153,000		155,725
United States Treasury Note/Bond	2.375%	2/29/24	298,197		306,490
United States Treasury Note/Bond	2.125%	3/31/24	708,094		720,925
United States Treasury Note/Bond	2.000%	4/30/24	280,940		284,626
United States Treasury Note/Bond	2.250%	4/30/24	134,542		137,696
United States Treasury Note/Bond	2.500%	5/15/24	566,753		586,057
United States Treasury Note/Bond	2.000%	5/31/24	268,571		272,095
United States Treasury Note/Bond	1.750%	6/30/24	355,810		356,700
United States Treasury Note/Bond	2.000%	6/30/24	230,940		233,970
United States Treasury Note/Bond	1.750%	7/31/24	177,500		177,972
United States Treasury Note/Bond	2.125%	7/31/24	195,665		199,334
United States Treasury Note/Bond	2.375%	8/15/24	659,320		678,994
United States Treasury Note/Bond	1.250%	8/31/24	420,133		411,861
United States Treasury Note/Bond	1.875%	8/31/24	243,460		245,400
United States Treasury Note/Bond	1.500%	9/30/24	396,425		392,956
United States Treasury Note/Bond	2.125%	9/30/24	693,720		707,164
United States Treasury Note/Bond	1.500%	10/31/24	584,486		579,372
United States Treasury Note/Bond	2.250%	10/31/24	359,393		368,601
United States Treasury Note/Bond	2.250%	11/15/24	483,372		495,684
United States Treasury Note/Bond	1.500%	11/30/24	1,022,564		1,013,780
United States Treasury Note/Bond	2.125%	11/30/24	641,200		653,825
United States Treasury Note/Bond	1.750%	12/31/24	546,235		547,688

9

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
United States Treasury Note/Bond	2.250%	12/31/24	289,725		297,284
United States Treasury Note/Bond	2.500%	1/31/25	334,225		347,073
United States Treasury Note/Bond	2.000%	2/15/25	312,509		316,903
United States Treasury Note/Bond	2.750%	2/28/25	333,477		350,464
United States Treasury Note/Bond	2.625%	3/31/25	517,823		541,208
United States Treasury Note/Bond	2.875%	4/30/25	467,029		494,172
United States Treasury Note/Bond	2.125%	5/15/25	436,221		444,810
United States Treasury Note/Bond	2.875%	5/31/25	109,085		115,460
United States Treasury Note/Bond	2.750%	6/30/25	179,285		188,726
United States Treasury Note/Bond	2.875%	7/31/25	233,510		247,448
United States Treasury Note/Bond	2.000%	8/15/25	189,083		191,505
United States Treasury Note/Bond	6.875%	8/15/25	40,840		52,007
United States Treasury Note/Bond	2.750%	8/31/25	186,630		196,604
United States Treasury Note/Bond	3.000%	9/30/25	8,733		9,322
United States Treasury Note/Bond	3.000%	10/31/25	100,900		107,758
United States Treasury Note/Bond	2.250%	11/15/25	434,690		446,170
United States Treasury Note/Bond	2.875%	11/30/25	456,327		484,419
United States Treasury Note/Bond	2.625%	12/31/25	652,375		683,669
United States Treasury Note/Bond	2.625%	1/31/26	666,595		698,672
United States Treasury Note/Bond	1.625%	2/15/26	541,734		536,317
United States Treasury Note/Bond	2.500%	2/28/26	384,057		399,838
United States Treasury Note/Bond	2.250%	3/31/26	467,794		480,368
United States Treasury Note/Bond	2.375%	4/30/26	135,000		139,641
United States Treasury Note/Bond	1.625%	5/15/26	519,378		513,618
United States Treasury Note/Bond	2.125%	5/31/26	378,579		385,855
United States Treasury Note/Bond	1.875%	6/30/26	393,440		394,978
United States Treasury Note/Bond	1.875%	7/31/26	282,000		282,970
United States Treasury Note/Bond	1.500%	8/15/26	634,832		621,939
United States Treasury Note/Bond	6.750%	8/15/26	8,800		11,516
United States Treasury Note/Bond	1.375%	8/31/26	550,805		535,316
United States Treasury Note/Bond	1.625%	9/30/26	507,013		500,594
United States Treasury Note/Bond	1.625%	10/31/26	571,480		563,799
United States Treasury Note/Bond	2.000%	11/15/26	366,562		370,455
United States Treasury Note/Bond	6.500%	11/15/26	36,215		47,176
United States Treasury Note/Bond	1.625%	11/30/26	680,570		671,423
United States Treasury Note/Bond	1.750%	12/31/26	381,945		379,798
United States Treasury Note/Bond	2.250%	2/15/27	464,121		476,740
United States Treasury Note/Bond	6.625%	2/15/27	39,650		52,338
United States Treasury Note/Bond	2.375%	5/15/27	43,030		44,597
United States Treasury Note/Bond	2.250%	8/15/27	417,539		429,022
United States Treasury Note/Bond	6.375%	8/15/27	6,850		9,055
United States Treasury Note/Bond	2.250%	11/15/27	187,761		192,982
United States Treasury Note/Bond	6.125%	11/15/27	55,808		73,265
United States Treasury Note/Bond	2.750%	2/15/28	552,470		588,723
United States Treasury Note/Bond	2.875%	5/15/28	531,973		572,535
United States Treasury Note/Bond	2.875%	8/15/28	622,152		670,468
United States Treasury Note/Bond	5.500%	8/15/28	45,575		58,628
United States Treasury Note/Bond	3.125%	11/15/28	705,130		775,206
United States Treasury Note/Bond	5.250%	11/15/28	76,342		97,157
United States Treasury Note/Bond	2.625%	2/15/29	451,527		478,479
United States Treasury Note/Bond	5.250%	2/15/29	52,279		66,836
United States Treasury Note/Bond	2.375%	5/15/29	676,096		702,721
United States Treasury Note/Bond	1.625%	8/15/29	860,967		838,634
United States Treasury Note/Bond	6.125%	8/15/29	62,930		86,214

10

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	United States Treasury Note/Bond	1.750%	11/15/29	961,459		946,883
	United States Treasury Note/Bond	6.250%	5/15/30	139,435		195,993
	United States Treasury Note/Bond	5.375%	2/15/31	240,675		322,880
	United States Treasury Note/Bond	4.500%	2/15/36	251,843		334,047
	United States Treasury Note/Bond	4.750%	2/15/37	103,500		142,410
	United States Treasury Note/Bond	5.000%	5/15/37	97,327		137,763
	United States Treasury Note/Bond	4.375%	2/15/38	83,450		110,989
	United States Treasury Note/Bond	4.500%	5/15/38	88,579		119,692
	United States Treasury Note/Bond	3.500%	2/15/39	117,894		141,307
	United States Treasury Note/Bond	4.250%	5/15/39	117,867		155,106
	United States Treasury Note/Bond	4.500%	8/15/39	115,656		156,967
	United States Treasury Note/Bond	4.375%	11/15/39	120,905		161,785
	United States Treasury Note/Bond	4.625%	2/15/40	194,805		269,349
	United States Treasury Note/Bond	4.375%	5/15/40	164,320		220,626
	United States Treasury Note/Bond	3.875%	8/15/40	140,325		176,875
	United States Treasury Note/Bond	4.250%	11/15/40	146,854		194,421
	United States Treasury Note/Bond	4.750%	2/15/41	163,692		230,960
	United States Treasury Note/Bond	4.375%	5/15/41	127,000		171,232
	United States Treasury Note/Bond	3.750%	8/15/41	170,310		211,450
	United States Treasury Note/Bond	3.125%	11/15/41	148,056		167,974
	United States Treasury Note/Bond	3.125%	2/15/42	173,742		197,116
	United States Treasury Note/Bond	3.000%	5/15/42	163,000		181,388
	United States Treasury Note/Bond	2.750%	8/15/42	237,528		253,673
	United States Treasury Note/Bond	2.750%	11/15/42	283,319		302,443
	United States Treasury Note/Bond	3.125%	2/15/43	279,159		316,672
	United States Treasury Note/Bond	2.875%	5/15/43	395,700		431,313
	United States Treasury Note/Bond	3.625%	8/15/43	317,652		389,669
	United States Treasury Note/Bond	3.750%	11/15/43	421,506		527,342
	United States Treasury Note/Bond	3.625%	2/15/44	398,494		490,025
	United States Treasury Note/Bond	3.375%	5/15/44	406,317		481,043
	United States Treasury Note/Bond	3.125%	8/15/44	401,150		456,556
	United States Treasury Note/Bond	3.000%	11/15/44	372,151		415,064
	United States Treasury Note/Bond	2.500%	2/15/45	391,882		400,147
	United States Treasury Note/Bond	3.000%	5/15/45	397,154		443,696
	United States Treasury Note/Bond	2.875%	8/15/45	390,506		426,995
	United States Treasury Note/Bond	3.000%	11/15/45	321,817		360,033
	United States Treasury Note/Bond	2.500%	2/15/46	340,698		347,938
	United States Treasury Note/Bond	2.500%	5/15/46	357,873		365,421
	United States Treasury Note/Bond	2.250%	8/15/46	353,005		343,131
1	United States Treasury Note/Bond	2.875%	11/15/46	389,990		427,830
	United States Treasury Note/Bond	3.000%	2/15/47	254,099		285,544
	United States Treasury Note/Bond	3.000%	5/15/47	177,051		198,906
	United States Treasury Note/Bond	2.750%	8/15/47	102,418		109,843
	United States Treasury Note/Bond	2.750%	11/15/47	602,004		645,553
	United States Treasury Note/Bond	3.000%	2/15/48	389,470		437,788
	United States Treasury Note/Bond	3.125%	5/15/48	451,233		519,482
	United States Treasury Note/Bond	3.000%	8/15/48	454,182		511,595
	United States Treasury Note/Bond	3.375%	11/15/48	183,303		221,139
	United States Treasury Note/Bond	3.000%	2/15/49	543,233		612,832
	United States Treasury Note/Bond	2.875%	5/15/49	463,731		511,338
	United States Treasury Note/Bond	2.250%	8/15/49	538,410		522,511
	United States Treasury Note/Bond	2.375%	11/15/49	546,250		544,628
						85,915,224

11

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
Agency Bonds and Notes (1.1%)
2	AID-Iraq	2.149%	1/18/22	9,025		9,093
2	AID-Israel	5.500%	9/18/23	6,500		7,368
2	AID-Israel	5.500%	12/4/23	7,002		7,977
2	AID-Israel	5.500%	4/26/24	5,575		6,419
2	AID-Israel	5.500%	9/18/33	150		204
2	AID-Jordan	2.578%	6/30/22	3,180		3,236
2	AID-Jordan	3.000%	6/30/25	4,325		4,499
2	AID-Tunisia	2.452%	7/24/21	2,300		2,323
2	AID-Tunisia	1.416%	8/5/21	2,830		2,816
2	AID-Ukraine	1.471%	9/29/21	6,825		6,793
	Federal Farm Credit Banks	2.550%	3/11/21	15,750		15,924
	Federal Farm Credit Banks	2.230%	4/5/21	15,750		15,867
	Federal Farm Credit Banks	3.050%	11/15/21	6,050		6,208
	Federal Farm Credit Banks	1.600%	12/28/21	10,300		10,294
	Federal Farm Credit Banks	2.600%	1/18/22	6,000		6,117
	Federal Farm Credit Banks	1.770%	6/26/23	6,300		6,325
	Federal Farm Credit Banks	3.500%	12/20/23	5,100		5,450
	Federal Home Loan Banks	1.375%	2/18/21	16,820		16,778
	Federal Home Loan Banks	2.250%	6/11/21	30,000		30,264
	Federal Home Loan Banks	5.625%	6/11/21	17,350		18,334
	Federal Home Loan Banks	1.875%	7/7/21	45,140		45,305
	Federal Home Loan Banks	1.125%	7/14/21	24,275		24,091
	Federal Home Loan Banks	3.000%	10/12/21	81,300		83,245
	Federal Home Loan Banks	1.625%	11/19/21	38,030		38,027
	Federal Home Loan Banks	1.875%	11/29/21	79,160		79,525
	Federal Home Loan Banks	1.625%	12/20/21	66,960		66,955
	Federal Home Loan Banks	2.125%	6/10/22	7,750		7,838
	Federal Home Loan Banks	2.000%	9/9/22	11,665		11,772
	Federal Home Loan Banks	2.125%	3/10/23	28,800		29,219
	Federal Home Loan Banks	2.500%	2/13/24	44,590		45,958
	Federal Home Loan Banks	2.875%	6/14/24	200		210
	Federal Home Loan Banks	1.500%	8/15/24	19,940		19,716
	Federal Home Loan Banks	5.375%	8/15/24	1,585		1,839
	Federal Home Loan Banks	2.875%	9/13/24	1,000		1,050
	Federal Home Loan Banks	3.250%	11/16/28	19,645		21,483
	Federal Home Loan Banks	5.500%	7/15/36	20,850		29,283
3	Federal Home Loan Mortgage Corp.	2.375%	2/16/21	40,000		40,344
3	Federal Home Loan Mortgage Corp.	1.125%	8/12/21	36,800		36,506
3	Federal Home Loan Mortgage Corp.	2.375%	1/13/22	70,985		72,039
3	Federal Home Loan Mortgage Corp.	2.750%	6/19/23	42,650		44,217
3	Federal Home Loan Mortgage Corp.	6.750%	9/15/29	2,573		3,605
3	Federal Home Loan Mortgage Corp.	6.750%	3/15/31	35,301		51,043
3	Federal Home Loan Mortgage Corp.	6.250%	7/15/32	28,178		40,471
3	Federal National Mortgage Assn.	1.375%	2/26/21	20,285		20,233
3	Federal National Mortgage Assn.	2.500%	4/13/21	35,000		35,384
3	Federal National Mortgage Assn.	2.750%	6/22/21	24,046		24,437
3	Federal National Mortgage Assn.	1.250%	8/17/21	26,506		26,345
3	Federal National Mortgage Assn.	1.375%	10/7/21	44,250		44,055
3	Federal National Mortgage Assn.	2.000%	1/5/22	101,000		101,738
3	Federal National Mortgage Assn.	2.625%	1/11/22	10,798		11,011
3	Federal National Mortgage Assn.	1.875%	4/5/22	61,000		61,331
3	Federal National Mortgage Assn.	2.250%	4/12/22	23,810		24,139
3	Federal National Mortgage Assn.	1.375%	9/6/22	15,115		15,007

12

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3	Federal National Mortgage Assn.	2.000%	10/5/22	69,818		70,476
3	Federal National Mortgage Assn.	2.375%	1/19/23	25,381		25,922
3	Federal National Mortgage Assn.	2.875%	9/12/23	50,000		52,160
3	Federal National Mortgage Assn.	2.500%	2/5/24	45,214		46,593
3	Federal National Mortgage Assn.	1.750%	7/2/24	41,103		41,113
3	Federal National Mortgage Assn.	2.625%	9/6/24	8,755		9,104
3	Federal National Mortgage Assn.	1.625%	10/15/24	38,890		38,642
3	Federal National Mortgage Assn.	2.125%	4/24/26	51,802		52,504
3	Federal National Mortgage Assn.	1.875%	9/24/26	30,435		30,356
3	Federal National Mortgage Assn.	6.250%	5/15/29	17,526		23,648
3	Federal National Mortgage Assn.	7.125%	1/15/30	8,850		12,776
3	Federal National Mortgage Assn.	7.250%	5/15/30	32,760		48,102
3	Federal National Mortgage Assn.	6.625%	11/15/30	27,435		39,051
3	Federal National Mortgage Assn.	5.625%	7/15/37	3,396		4,884
3	Federal National Mortgage Assn.	6.210%	8/6/38	300		453
	Private Export Funding Corp.	4.300%	12/15/21	7,760		8,149
	Private Export Funding Corp.	2.800%	5/15/22	1,125		1,151
	Private Export Funding Corp.	2.050%	11/15/22	15,525		15,601
	Private Export Funding Corp.	3.550%	1/15/24	16,425		17,435
	Private Export Funding Corp.	2.450%	7/15/24	4,955		5,056
	Private Export Funding Corp.	1.750%	11/15/24	3,115		3,098
	Private Export Funding Corp.	3.250%	6/15/25	1,575		1,673
	Tennessee Valley Authority	3.875%	2/15/21	5,395		5,519
	Tennessee Valley Authority	1.875%	8/15/22	3,875		3,883
	Tennessee Valley Authority	2.875%	9/15/24	12,231		12,779
	Tennessee Valley Authority	6.750%	11/1/25	19,581		24,766
	Tennessee Valley Authority	2.875%	2/1/27	25,750		26,993
	Tennessee Valley Authority	7.125%	5/1/30	9,625		13,874
	Tennessee Valley Authority	4.700%	7/15/33	6,375		7,986
	Tennessee Valley Authority	4.650%	6/15/35	4,000		4,941
	Tennessee Valley Authority	5.880%	4/1/36	6,795		9,557
	Tennessee Valley Authority	6.150%	1/15/38	665		980
	Tennessee Valley Authority	5.500%	6/15/38	1,436		1,990
	Tennessee Valley Authority	5.250%	9/15/39	15,248		20,878
	Tennessee Valley Authority	4.875%	1/15/48	14,320		19,590
	Tennessee Valley Authority	5.375%	4/1/56	5,585		8,472
	Tennessee Valley Authority	4.625%	9/15/60	8,838		12,099
	Tennessee Valley Authority	4.250%	9/15/65	8,050		10,425
						2,072,389
Conventional Mortgage-Backed Securities (22.2%)
3,4	Fannie Mae Pool	2.000%	11/1/27–11/1/34	73,264		73,032
3,4,5	Fannie Mae Pool	2.500%	11/1/26–1/1/50	1,216,096		1,225,612
3,4,5	Fannie Mae Pool	3.000%	11/1/20–12/1/49	4,062,156		4,162,622
3,4,5	Fannie Mae Pool	3.500%	5/1/20–2/1/50	4,643,687		4,833,859
3,4	Fannie Mae Pool	4.000%	4/1/20–1/1/50	3,832,345		4,028,150
3,4,5	Fannie Mae Pool	4.500%	1/1/20–1/1/50	1,632,866		1,741,891
3,4,5	Fannie Mae Pool	5.000%	2/1/20–1/1/50	497,410		542,043
3,4	Fannie Mae Pool	5.500%	1/1/20–2/1/42	229,085		257,830
3,4	Fannie Mae Pool	6.000%	1/1/20–5/1/41	140,746		160,544
3,4	Fannie Mae Pool	6.500%	10/1/21–5/1/40	35,159		40,401
3,4	Fannie Mae Pool	7.000%	8/1/27–12/1/38	8,841		10,029
3,4	Fannie Mae Pool	7.500%	7/1/30–12/1/32	109		126
3,4	Fannie Mae Pool	8.000%	12/1/29	12		14
3,4	Freddie Mac Gold Pool	2.000%	1/1/28–12/1/31	37,914		37,825

13

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	Freddie Mac Gold Pool	2.500%	4/1/27–3/1/43	611,215		619,602
3,4	Freddie Mac Gold Pool	3.000%	4/1/21–4/1/48	2,144,080		2,203,843
3,4	Freddie Mac Gold Pool	3.500%	12/1/20–3/1/49	2,628,140		2,742,061
3,4	Freddie Mac Gold Pool	4.000%	1/1/20–2/1/49	1,969,678		2,075,471
3,4	Freddie Mac Gold Pool	4.500%	3/1/20–1/1/49	816,281		873,294
3,4	Freddie Mac Gold Pool	5.000%	1/1/20–11/1/48	232,694		253,894
3,4	Freddie Mac Gold Pool	5.500%	1/1/20–6/1/41	111,699		124,404
3,4	Freddie Mac Gold Pool	6.000%	8/1/20–5/1/40	53,810		61,325
3,4	Freddie Mac Gold Pool	6.500%	3/1/22–9/1/39	14,305		16,263
3,4	Freddie Mac Gold Pool	7.000%	3/1/26–12/1/38	5,148		5,816
3,4	Freddie Mac Gold Pool	7.500%	4/1/27–2/1/32	48		53
3,4	Freddie Mac Gold Pool	8.000%	1/1/27–11/1/31	75		83
3,4	Freddie Mac Gold Pool	8.500%	6/1/25	13		15
3,4	Freddie Mac Pool	4.000%	1/1/49	24,420		25,774
3,4	Freddie Mac Pool	4.500%	4/1/49	51,624		55,256
4	Ginnie Mae I Pool	3.000%	1/15/26–3/15/45	103,271		106,236
4	Ginnie Mae I Pool	3.500%	11/15/25–1/1/49	134,932		141,084
4	Ginnie Mae I Pool	4.000%	6/15/24–1/1/49	164,033		173,514
4,5	Ginnie Mae I Pool	4.500%	3/15/20–2/15/49	150,203		162,055
4	Ginnie Mae I Pool	5.000%	3/15/20–11/15/46	83,843		91,753
4	Ginnie Mae I Pool	5.500%	10/15/20–6/15/41	40,709		45,257
4	Ginnie Mae I Pool	6.000%	1/15/26–6/15/41	29,539		33,324
4	Ginnie Mae I Pool	6.500%	5/15/24–8/15/39	7,315		8,091
4	Ginnie Mae I Pool	7.000%	7/15/23–9/15/36	359		411
4	Ginnie Mae I Pool	7.500%	12/15/23	7		8
4	Ginnie Mae I Pool	8.000%	6/15/25–1/15/27	25		29
4,5	Ginnie Mae II Pool	2.500%	6/20/27–1/1/50	426,369		427,969
4,5	Ginnie Mae II Pool	3.000%	10/20/26–1/1/50	2,893,760		2,983,746
4,5	Ginnie Mae II Pool	3.500%	9/20/25–10/1/49	4,256,866		4,427,411
4,5	Ginnie Mae II Pool	4.000%	9/20/25–1/1/50	2,680,978		2,803,887
4,5	Ginnie Mae II Pool	4.500%	8/20/33–1/1/50	1,345,762		1,428,518
4	Ginnie Mae II Pool	5.000%	12/20/32–5/20/49	463,749		497,113
4	Ginnie Mae II Pool	5.500%	8/20/23–1/20/49	67,147		74,049
4	Ginnie Mae II Pool	6.000%	3/20/31–9/20/41	20,160		22,960
4	Ginnie Mae II Pool	6.500%	10/20/28–11/20/39	6,814		7,829
4	Ginnie Mae II Pool	7.000%	8/20/34–11/20/38	1,046		1,237
3,4	UMBS Pool	2.000%	1/1/32	9,088		8,994
3,4	UMBS Pool	2.500%	11/1/34–12/1/49	221,708		220,208
3,4	UMBS Pool	3.000%	6/1/30–1/1/50	1,111,076		1,129,624
3,4	UMBS Pool	3.500%	2/1/34–10/1/49	994,788		1,028,346
3,4	UMBS Pool	4.000%	11/1/33–9/1/49	346,449		369,131
3,4	UMBS Pool	4.500%	8/1/48–8/1/49	222,115		236,785
3,4	UMBS Pool	5.000%	3/1/49	75,517		82,773
3,4	UMBS TBA	2.000%	1/1/35	2,000		1,973
3,4,5	UMBS TBA	2.500%	1/1/50	149,600		147,941
3,4,5	UMBS TBA	3.000%	11/1/49–1/1/50	536,300		543,840
3,4,5	UMBS TBA	3.500%	7/1/49–1/1/50	284,365		292,495
3,4,5	UMBS TBA	4.000%	1/1/35–1/1/50	313,465		326,021
						43,995,744
Nonconventional Mortgage-Backed Securities (0.0%)
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.290%	4.034%	12/1/41	641		661
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.310%	3.592%	9/1/37	1,175		1,208
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.392%	3.811%	10/1/37	160		165
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.509%	4.082%	7/1/36	143		148

14

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.553%	2.443%	9/1/43	389		389
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.560%	2.272%	7/1/43	3,166		3,174
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.607%	3.607%	11/1/33	44		47
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.609%	3.642%	12/1/33	82		87
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.623%	4.748%	2/1/36	152		155
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.625%	4.135%	8/1/35	213		226
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.627%	4.752%	3/1/38	84		86
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.635%	3.510%	11/1/36	22		23
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.643%	4.476%	1/1/37	77		82
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.658%	4.283%	7/1/35	185		195
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.660%	3.910%	9/1/40	112		119
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.660%	4.722%	4/1/36	71		74
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.665%	4.415%	6/1/36	13		13
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.679%	3.992%	1/1/42	748		772
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.682%	4.167%	10/1/37	395		407
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.687%	4.498%	6/1/42	931		970
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.690%	3.706%	10/1/39	243		253
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.690%	3.972%	9/1/42	879		917
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.690%	4.622%	5/1/40	242		253
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.695%	4.320%	7/1/39	92		96
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.698%	4.161%	8/1/40	162		170
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.700%	4.364%	12/1/40	223		235
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.701%	3.965%	10/1/42	632		670
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.705%	3.809%	11/1/39	120		127
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.726%	3.956%	9/1/34	105		108
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.734%	3.997%	11/1/39	395		413
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.746%	4.506%	7/1/41	857		904
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.748%	4.778%	5/1/35	106		111
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.750%	4.213%	10/1/40	134		141
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.750%	4.875%	2/1/36	159		169
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.767%	4.648%	6/1/41	144		152
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.771%	4.709%	5/1/42	298		312
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.780%	4.905%	2/1/41	206		216
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.793%	3.391%	8/1/42	1,234		1,233
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.795%	4.839%	3/1/42	619		651
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.798%	4.358%	3/1/42	657		705
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.804%	3.943%	12/1/39	300		312
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.805%	3.773%	11/1/41	561		597
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.810%	3.685%	10/1/40	548		575
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.810%	3.935%	11/1/33–11/1/39	274		290
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.810%	4.810%	12/1/40	246		258
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.813%	3.978%	11/1/41	354		374
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.813%	4.435%	1/1/42	525		552
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.815%	3.690%	11/1/40	186		195
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.815%	3.809%	12/1/40	176		185
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.815%	3.970%	12/1/41	416		441
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.815%	4.693%	5/1/41	435		458
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.815%	4.940%	2/1/41	404		426
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.819%	4.759%	3/1/41	491		517
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.820%	4.168%	12/1/40	195		205
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.822%	4.310%	9/1/40	606		639
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.823%	4.902%	2/1/41	244		245
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.825%	4.825%	3/1/41	465		496
3,4,6	Fannie Mae Pool, 12M USD LIBOR +1.826%	4.576%	7/1/38	81		83

15

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.830%	3.451%	4/1/41	507		508
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.830%	4.580%	6/1/41	440		466
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.835%	4.723%	1/1/40	241		250
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.840%	4.403%	8/1/39	232		245
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.861%	4.745%	5/1/40	117		120
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.880%	4.406%	11/1/34	306		326
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.909%	4.784%	4/1/37	191		202
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.912%	4.787%	5/1/36	22		22
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.965%	5.009%	4/1/37	6		7
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 2.130%	4.667%	10/1/36	108		116
3,4,6	Fannie Mae Pool, 1Y CMT + 2.155%	4.780%	12/1/37	373		385
3,4,6	Fannie Mae Pool, 1Y CMT + 2.238%	4.613%	7/1/38	75		79
3,4,6	Fannie Mae Pool, 1Y CMT + 2.268%	4.415%	12/1/35	84		89
3,4,6	Fannie Mae Pool, 1Y CMT + 2.313%	4.845%	1/1/35	111		118
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.026%	3.206%	4/1/37	512		528
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.476%	2.242%	3/1/43	2,642		2,644
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.530%	3.662%	12/1/43	813		866
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.582%	2.743%	6/1/43	1,619		1,628
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.638%	4.339%	8/1/39	737		756
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.657%	4.260%	10/1/42	565		568
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.700%	4.531%	7/1/37	141		150
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.710%	3.371%	9/1/43	1,474		1,510
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.723%	4.720%	5/1/42	1,153		1,205
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.789%	4.572%	7/1/42	687		739
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.799%	4.620%	2/1/42	2,039		2,168
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.840%	4.157%	8/1/37	173		182
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.851%	4.434%	2/1/42	819		876
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 0.985%	3.235%	10/1/37	21		22
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.564%	4.420%	3/1/37	37		38
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.570%	4.695%	3/1/37	10		11
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.588%	3.921%	9/1/37	57		58
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.625%	4.625%	1/1/38	38		40
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	3.807%	11/1/43	1,058		1,093
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	3.830%	12/1/36	113		120
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	4.515%	5/1/42	125		126
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660%	3.711%	10/1/37	361		376
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695%	4.767%	2/1/37	78		83
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.727%	4.738%	1/1/35	21		22
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.743%	3.865%	12/1/36	154		158
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745%	4.713%	12/1/40	857		890

16

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.287%	12/1/41	439		462
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.625%	5/1/38	32		33
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%	3.730%	12/1/36	41		44
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796%	3.871%	12/1/34	108		110
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798%	4.529%	6/1/37	269		287
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.833%	4.190%	3/1/42	452		478
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.834%	4.220%	12/1/35	141		149
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840%	4.590%	6/1/37	26		28
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.851%	4.716%	1/1/37	73		77
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.864%	4.595%	2/1/42	152		160
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.865%	4.348%	8/1/37	81		84
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.005%	11/1/40	28		29
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.630%	6/1/40	187		193
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.713%	6/1/41	142		148
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.755%	5/1/40	235		243
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.756%	6/1/40	224		236
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.880%	12/1/40	81		84
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.979%	1/1/41	608		636
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	5.005%	3/1/41	119		126
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.885%	4.510%	7/1/38	64		65
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889%	4.956%	2/1/42	534		535
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895%	4.323%	9/1/40	582		612
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	3.846%	11/1/40	298		307
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	4.705%	6/1/40	246		254
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	4.825%	1/1/41	86		91
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	5.035%	2/1/41	543		576
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977%	4.783%	5/1/37	712		736

17

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.995%	5.120%	3/1/37	143		152
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.000%	4.750%	7/1/35	21		22
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085%	5.210%	3/1/38	24		25
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.006%	11/1/34	309		323
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.397%	11/1/36	47		49
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.750%	5/1/36	141		148
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.991%	2/1/36	74		77
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.409%	4.964%	10/1/36	250		265
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.549%	5.173%	3/1/37	39		39
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%	3.438%	6/1/37	91		93
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.570%	3.859%	3/1/37	9		9
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.665%	3.982%	1/1/37	235		247
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.250%	7/20/38–8/20/41	2,590		2,675
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.875%	6/20/29–6/20/43	4,267		4,406
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.000%	1/20/41–3/20/43	6,536		6,764
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.125%	10/20/38–12/20/43	5,554		5,741
4,6	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.375%	5/20/41	291		300
4,6	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.625%	11/20/40	34		36
						71,629
Total U.S. Government and Agency Obligations (Cost $128,962,293)						132,054,986
Asset-Backed/Commercial Mortgage-Backed Securities (2.5%)
4	Ally Auto Receivables Trust 2017-4	1.750%	12/15/21	2,833		2,831
4	Ally Auto Receivables Trust 2017-4	1.960%	7/15/22	2,568		2,567
4	Ally Auto Receivables Trust 2018-1	2.350%	6/15/22	3,457		3,462
4	Ally Auto Receivables Trust 2018-1	2.530%	2/15/23	1,450		1,461
4	Ally Auto Receivables Trust 2018-3	3.000%	1/17/23	1,375		1,386
4	Ally Auto Receivables Trust 2018-3	3.120%	7/17/23	1,925		1,962
4	Ally Auto Receivables Trust 2019-2	2.230%	1/16/24	12,500		12,541
4	Ally Auto Receivables Trust 2019-2	2.260%	8/15/24	1,450		1,461
4	Ally Auto Receivables Trust 2019-4	1.840%	6/17/24	10,370		10,360
4	Ally Auto Receivables Trust 2019-4	1.920%	1/15/25	1,250		1,246
4	Ally Master Owner Trust Series 2018-1	2.700%	1/17/23	18,450		18,578
4	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23	4,925		5,008
4	American Express Credit Account Master Trust 2017-1	1.930%	9/15/22	10,100		10,098
4	American Express Credit Account Master Trust 2017-3	1.770%	11/15/22	22,400		22,393
4	American Express Credit Account Master Trust 2017-6	2.040%	5/15/23	16,125		16,148
4	American Express Credit Account Master Trust 2017-7	2.350%	5/15/25	9,825		9,950

18

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	American Express Credit Account Master Trust 2018-1	2.670%	10/17/22	12,250		12,269
4	American Express Credit Account Master Trust 2018-2	3.010%	10/15/25	11,025		11,398
4	American Express Credit Account Master Trust 2018-4	2.990%	12/15/23	14,175		14,386
4	American Express Credit Account Master Trust 2018-8	3.180%	4/15/24	9,000		9,199
4	AmeriCredit Automobile Receivables Trust 2017-2	1.980%	12/20/21	363		363
4	AmeriCredit Automobile Receivables Trust 2017-3	1.900%	3/18/22	1,558		1,557
4	AmeriCredit Automobile Receivables Trust 2018-1	3.070%	12/19/22	4,075		4,100
4	AmeriCredit Automobile Receivables Trust 2018-1	3.260%	1/18/24	2,456		2,497
4	AmeriCredit Automobile Receivables Trust 2018-1	3.500%	1/18/24	1,650		1,693
4	AmeriCredit Automobile Receivables Trust 2019-1	2.970%	11/20/23	3,950		3,996
4	BA Credit Card Trust 2017-A1	1.950%	8/15/22	10,000		10,000
4	BA Credit Card Trust 2018-A1	2.700%	7/17/23	20,100		20,296
4	BA Credit Card Trust 2019-A1	1.740%	1/15/25	8,125		8,104
4	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%	9/15/48	1,425		1,479
4	Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%	9/15/48	2,525		2,686
4	Banc of America Commercial Mortgage Trust 2017-BNK3	3.116%	2/15/50	500		508
4	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50	7,560		8,077
4	Banc of America Commercial Mortgage Trust 2017-BNK3	3.748%	2/15/50	2,800		2,934
4	BANK 2017 - BNK4	3.625%	5/15/50	5,950		6,380
4	BANK 2017 - BNK5	3.390%	6/15/60	7,000		7,405
4	BANK 2017 - BNK5	3.624%	6/15/60	3,500		3,660
4	BANK 2017 - BNK6	3.518%	7/15/60	9,408		10,030
4	BANK 2017 - BNK6	3.741%	7/15/60	9,929		10,598
4	BANK 2017 - BNK7	3.175%	9/15/60	7,575		7,854
4	BANK 2017 - BNK7	3.435%	9/15/60	4,690		4,974
4	BANK 2017 - BNK7	3.748%	9/15/60	5,225		5,533
4	BANK 2017 - BNK8	3.488%	11/15/50	5,925		6,304
4	BANK 2017 - BNK8	3.731%	11/15/50	1,000		1,056
4	BANK 2017 - BNK9	3.279%	11/15/54	6,100		6,387
4	BANK 2017 - BNK9	3.538%	11/15/54	5,925		6,323
4	BANK 2018 - BN10	3.641%	2/15/61	1,425		1,515
4	BANK 2018 - BN10	3.688%	2/15/61	10,900		11,755
4	BANK 2018 - BN10	3.898%	2/15/61	1,650		1,770
4	BANK 2018 - BN11	4.046%	3/15/61	4,300		4,747
4	BANK 2018 - BN12	4.255%	5/15/61	5,125		5,737
4	BANK 2018 - BN12	4.359%	5/15/61	1,650		1,860
4	BANK 2018 - BN13	4.217%	8/15/61	6,225		6,967
4	BANK 2018 - BN14	4.128%	9/15/60	5,725		6,077
4	BANK 2018 - BN14	4.231%	9/15/60	9,850		11,028

19

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	BANK 2018 - BN14	4.481%	9/15/60	2,600		2,888
4	BANK 2018 - BN15	4.407%	11/15/61	9,060		10,298
4	BANK 2019 - BN16	4.005%	2/15/52	6,850		7,576
4	BANK 2019 - BN17	3.714%	4/15/52	5,070		5,499
4	BANK 2019 - BN17	3.976%	4/15/52	2,125		2,277
4	BANK 2019 - BN18	3.584%	5/15/62	16,725		17,988
4	BANK 2019 - BN18	3.826%	5/15/62	2,050		2,187
4	BANK 2019 - BN20	3.011%	9/15/61	7,775		8,003
4	BANK 2019 - BN19	3.183%	8/15/61	12,600		13,149
4	BANK 2019 - BN21	2.851%	10/17/52	16,350		16,607
4	BANK 2019 - BN21	3.093%	10/17/52	3,275		3,288
4	BANK 2019 - BN22	2.978%	11/15/62	12,780		13,118
4	BANK 2019 - BN23	2.920%	12/15/52	8,290		8,468
4	BANK 2019 - BN23	3.203%	12/15/52	3,125		3,161
4	BANK 2019 - BN24	2.960%	11/15/62	6,225		6,380
4	BANK 2019 - BN24	3.283%	11/15/62	2,900		2,952
4	Bank Of America Credit Card Trust 2018-A2	3.000%	9/15/23	18,200		18,458
4	Bank Of America Credit Card Trust 2018-A3	3.100%	12/15/23	6,750		6,877
	Bank of Nova Scotia	1.875%	4/26/21	5,225		5,224
4	BBCMS Mortgage Trust 2017-C1	3.674%	2/15/50	10,825		11,619
4	BBCMS Mortgage Trust 2017-C1	3.898%	2/15/50	2,900		3,090
4	BBCMS Mortgage Trust 2018-C2	4.314%	12/15/51	10,175		11,449
4	BBCMS Mortgage Trust 2019-C3	3.583%	5/15/52	17,100		18,169
4	BBCMS Mortgage Trust 2019-C4	2.919%	8/15/52	12,600		12,798
4	BBCMS Mortgage Trust 2019-C4	3.171%	8/15/52	1,050		1,060
4	BBCMS Mortgage Trust 2019-C5	3.063%	11/15/52	6,750		6,908
4	BBCMS Mortgage Trust 2019-C5	3.366%	11/15/52	4,150		4,241
4	BENCHMARK 2018-B1 Mortgage Trust	3.666%	1/15/51	4,700		5,062
4	BENCHMARK 2018-B1 Mortgage Trust	3.878%	1/15/51	2,050		2,185
4	BENCHMARK 2018-B2 Mortgage Trust	3.662%	2/15/51	4,150		4,304
4	BENCHMARK 2018-B2 Mortgage Trust	3.882%	2/15/51	12,645		13,718
4	BENCHMARK 2018-B2 Mortgage Trust	4.084%	2/15/51	5,675		6,164
4	BENCHMARK 2018-B3 Mortgage Trust	3.848%	4/10/51	3,875		4,041
4	BENCHMARK 2018-B3 Mortgage Trust	4.025%	4/10/51	10,250		11,306
4	BENCHMARK 2018-B4 Mortgage Trust	4.121%	7/15/51	18,000		19,980
4	BENCHMARK 2018-B4 Mortgage Trust	4.311%	7/15/51	4,000		4,393
4	BENCHMARK 2018-B5 Mortgage Trust	4.208%	7/15/51	14,650		16,335
4	BENCHMARK 2018-B5 Mortgage Trust	4.419%	7/15/51	1,750		1,928
4	BENCHMARK 2018-B6 Mortgage Trust	4.203%	10/10/51	5,650		6,004
4	BENCHMARK 2018-B6 Mortgage Trust	4.261%	10/10/51	7,075		7,925
4	BENCHMARK 2018-B6 Mortgage Trust	4.441%	10/10/51	2,175		2,408
4	BENCHMARK 2018-B7 Mortgage Trust	4.377%	5/15/53	2,225		2,378
4	BENCHMARK 2018-B7 Mortgage Trust	4.510%	5/15/53	16,050		18,351
4	BENCHMARK 2018-B8 Mortgage Trust	4.232%	1/15/52	12,500		14,048
4	BENCHMARK 2018-B8 Mortgage Trust	4.532%	1/15/52	4,000		4,475
4	BENCHMARK 2019-B10 Mortgage Trust	3.717%	3/15/62	7,425		8,078
4	BENCHMARK 2019-B10 Mortgage Trust	3.979%	3/15/62	3,200		3,432
4	BENCHMARK 2019-B11 Mortgage Trust	3.542%	5/15/52	12,550		13,473
4	BENCHMARK 2019-B11 Mortgage Trust	3.784%	5/15/52	3,350		3,590
4	BENCHMARK 2019-B13 Mortgage Trust	2.952%	8/15/57	12,275		12,531
4	BENCHMARK 2019-B15 Mortgage Trust	2.928%	12/15/72	10,370		10,492
4	BENCHMARK 2019-B9 Mortgage Trust	4.016%	3/15/52	6,509		7,207
4	BENCHMARK Mortgage Trust 2019-B14	3.049%	12/15/62	10,175		10,506
4	BMW Vehicle Lease Trust 2017-2	2.070%	10/20/20	831		831

20

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	BMW Vehicle Owner Trust 2018-A	2.350%	4/25/22	5,629		5,643
4	BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24	1,375		1,386
4	Cantor Commercial Real Estate Lending 2019-CF1	3.786%	5/15/52	5,705		6,154
4	Cantor Commercial Real Estate Lending 2019-CF2	2.874%	11/15/52	6,150		6,181
4	Cantor Commercial Real Estate Lending 2019-CF3	3.006%	1/15/53	6,225		6,345
4	Cantor Commercial Real Estate Lending 2019-CF3	3.298%	1/15/53	2,675		2,681
4	Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23	5,025		5,065
4	Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24	1,675		1,698
4	Capital One Multi-Asset Execution Trust 2015-A2	2.080%	3/15/23	7,825		7,830
4	Capital One Multi-Asset Execution Trust 2015-A8	2.050%	8/15/23	4,950		4,958
4	Capital One Multi-Asset Execution Trust 2017-A1	2.000%	1/17/23	6,900		6,901
4	Capital One Multi-Asset Execution Trust 2017-A3	2.430%	1/15/25	7,025		7,088
4	Capital One Multi-Asset Execution Trust 2017-A4	1.990%	7/17/23	11,300		11,312
4	Capital One Multi-Asset Execution Trust 2017-A6	2.290%	7/15/25	9,400		9,509
4	Capital One Multi-Asset Execution Trust 2018-A1	3.010%	2/15/24	5,250		5,322
4	Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24	3,350		3,420
4	CarMax Auto Owner Trust 2016-3	1.390%	5/17/21	279		279
4	CarMax Auto Owner Trust 2016-3	1.600%	1/18/22	1,030		1,028
4	CarMax Auto Owner Trust 2017-4	2.110%	10/17/22	2,812		2,815
4	CarMax Auto Owner Trust 2017-4	2.330%	5/15/23	2,350		2,360
4	CarMax Auto Owner Trust 2018-1	2.480%	11/15/22	3,550		3,564
4	CarMax Auto Owner Trust 2018-1	2.640%	6/15/23	900		910
4	CarMax Auto Owner Trust 2018-2	2.980%	1/17/23	3,275		3,306
4	CarMax Auto Owner Trust 2018-2	3.160%	7/17/23	2,025		2,066
4	CarMax Auto Owner Trust 2019-4	2.020%	11/15/24	8,250		8,262
4	CarMax Auto Owner Trust 2019-4	2.130%	7/15/25	1,025		1,027
4	CD 2006-CD3 Commercial Mortgage Trust	5.648%	10/15/48	1,911		1,935
4	CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49	5,650		5,707
4	CD 2016-CD2 Commercial Mortgage Trust	3.526%	11/10/49	5,000		5,323
4	CD 2017-CD3 Commercial Mortgage Trust	3.453%	2/10/50	1,862		1,941
4	CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50	14,220		15,230
4	CD 2017-CD3 Commercial Mortgage Trust	3.833%	2/10/50	3,706		3,913
4	CD 2017-CD4 Commercial Mortgage Trust	3.514%	5/10/50	4,400		4,664
4	CD 2017-CD4 Commercial Mortgage Trust	3.747%	5/10/50	3,000		3,177
4	CD 2017-CD5 Commercial Mortgage Trust	3.431%	8/15/50	3,500		3,687
4	CD 2017-CD6 Commercial Mortgage Trust	3.332%	11/13/50	2,400		2,512
4	CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50	4,825		5,081
4	CD 2017-CD6 Commercial Mortgage Trust	3.709%	11/13/50	2,825		2,979
4	CD 2018-CD7 Commercial Mortgage Trust	4.279%	8/15/51	12,750		14,326
4	CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57	8,400		8,569
4	CenterPoint Energy Transition Bond Co. IV LLC 2012-1	3.028%	10/15/25	5,300		5,427

21

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	CFCRE Commercial Mortgage Trust 2016-C3	3.865%	1/10/48	3,650		3,889
4	CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58	5,050		5,232
4	CFCRE Commercial Mortgage Trust 2016-C4	3.691%	5/10/58	3,600		3,746
4	CFCRE Commercial Mortgage Trust 2016-C6	3.217%	11/10/49	9,400		9,712
4	CFCRE Commercial Mortgage Trust 2017-C8	3.572%	6/15/50	3,000		3,186
4	Chase Issuance Trust 2012-A7	2.160%	9/15/24	12,805		12,889
4	Chase Issuance Trust 2014-A2	2.770%	3/15/23	7,550		7,633
4	Chase Issuance Trust 2015-A4	1.840%	4/15/22	5,400		5,398
4	Chase Issuance Trust 2016-A4	1.490%	7/15/22	6,125		6,112
4	Citibank Credit Card Issuance Trust 2014-A1	2.880%	1/23/23	15,000		15,151
4	Citibank Credit Card Issuance Trust 2014-A5	2.680%	6/7/23	6,525		6,605
4	Citibank Credit Card Issuance Trust 2016-A2	2.190%	11/20/23	7,175		7,216
4	Citibank Credit Card Issuance Trust 2018-A1	2.490%	1/20/23	19,200		19,326
4	Citibank Credit Card Issuance Trust 2018-A3	3.290%	5/23/25	20,500		21,383
4	Citigroup Commercial Mortgage Trust 2012-GC8	3.024%	9/10/45	3,777		3,851
4	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46	2,300		2,356
4	Citigroup Commercial Mortgage Trust 2013-GC11	3.422%	4/10/46	1,300		1,340
4	Citigroup Commercial Mortgage Trust 2013-GC15	3.942%	9/10/46	609		628
4	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46	1,200		1,282
4	Citigroup Commercial Mortgage Trust 2013-GC15	4.649%	9/10/46	1,700		1,819
4	Citigroup Commercial Mortgage Trust 2013-GC17	3.675%	11/10/46	436		448
4	Citigroup Commercial Mortgage Trust 2013-GC17	4.131%	11/10/46	1,825		1,939
4	Citigroup Commercial Mortgage Trust 2013-GC17	4.544%	11/10/46	750		808
4	Citigroup Commercial Mortgage Trust 2013-GC17	5.095%	11/10/46	750		814
4	Citigroup Commercial Mortgage Trust 2014-GC19	3.552%	3/10/47	646		665
4	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47	1,150		1,222
4	Citigroup Commercial Mortgage Trust 2014-GC19	4.345%	3/10/47	955		1,019
4	Citigroup Commercial Mortgage Trust 2014-GC21	3.477%	5/10/47	332		341
4	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47	1,675		1,771
4	Citigroup Commercial Mortgage Trust 2014-GC21	4.328%	5/10/47	1,350		1,422
4	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47	2,725		2,880
4	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47	5,650		5,951
4	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48	7,425		7,684
4	Citigroup Commercial Mortgage Trust 2015-GC27	3.571%	2/10/48	3,025		3,139

22

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Citigroup Commercial Mortgage Trust 2015-GC29	2.674%	4/10/48	1,315		1,316
4	Citigroup Commercial Mortgage Trust 2015-GC29	3.758%	4/10/48	2,937		3,027
4	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48	2,925		3,114
4	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58	3,375		3,600
4	Citigroup Commercial Mortgage Trust 2016-C1	3.003%	5/10/49	2,075		2,130
4	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49	3,950		4,105
4	Citigroup Commercial Mortgage Trust 2016-C2	2.832%	8/10/49	2,500		2,540
4	Citigroup Commercial Mortgage Trust 2016-GC36	3.616%	2/10/49	7,150		7,588
4	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49	2,350		2,400
4	Citigroup Commercial Mortgage Trust 2017-B1	3.458%	8/15/50	9,900		10,443
4	Citigroup Commercial Mortgage Trust 2017-B1	3.711%	8/15/50	1,950		2,047
4	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50	5,925		6,305
4	Citigroup Commercial Mortgage Trust 2017-C4	3.764%	10/12/50	1,575		1,673
4	Citigroup Commercial Mortgage Trust 2018-B2	3.788%	3/10/51	2,300		2,402
4	Citigroup Commercial Mortgage Trust 2018-B2	4.009%	3/10/51	12,275		13,416
4	Citigroup Commercial Mortgage Trust 2019-GC41	2.869%	8/10/56	10,500		10,651
4	Citigroup Commercial Mortgage Trust 2019-GC43	3.038%	11/10/52	12,365		12,697
4	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45	1,285		1,312
4	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45	1,825		1,872
4	COMM 2012-CCRE3 Mortgage Trust	2.822%	10/15/45	5,334		5,392
4,7	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45	2,195		2,233
4	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45	6,262		6,337
4	COMM 2012-CCRE5 Mortgage Trust	2.771%	12/10/45	1,500		1,521
4	COMM 2013-CCRE10 Mortgage Trust	4.210%	8/10/46	660		702
4	COMM 2013-CCRE11 Mortgage Trust	3.660%	8/10/50	1,062		1,089
4	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50	1,750		1,845
4	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50	6,490		6,939
4	COMM 2013-CCRE11 Mortgage Trust	4.715%	8/10/50	1,310		1,411
4	COMM 2013-CCRE12 Mortgage Trust	2.904%	10/10/46	45		45
4	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46	847		871
4	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46	1,500		1,543
4	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46	1,125		1,192
4	COMM 2013-CCRE12 Mortgage Trust	4.300%	10/10/46	750		795
4	COMM 2013-CCRE12 Mortgage Trust	4.762%	10/10/46	350		364
4	COMM 2013-CCRE13 Mortgage Trust	3.706%	11/10/46	307		316
4	COMM 2013-CCRE13 Mortgage Trust	4.194%	11/10/46	3,700		3,946
4	COMM 2013-CCRE13 Mortgage Trust	4.449%	11/10/46	1,100		1,176

23

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	COMM 2013-CCRE6 Mortgage Trust	3.101%	3/10/46	1,744		1,778
4	COMM 2013-CCRE7 Mortgage Trust	3.213%	3/10/46	1,057		1,084
4	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46	1,888		1,963
4	COMM 2013-CCRE9 Mortgage Trust	4.222%	7/10/45	2,295		2,431
4	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46	2,020		2,156
4	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46	3,981		4,054
4	COMM 2013-LC6 Mortgage Trust	3.282%	1/10/46	2,184		2,234
4	COMM 2014-CCRE14 Mortgage Trust	3.147%	2/10/47	1,103		1,103
4	COMM 2014-CCRE14 Mortgage Trust	4.236%	2/10/47	2,450		2,615
4	COMM 2014-CCRE14 Mortgage Trust	4.526%	2/10/47	2,725		2,923
4	COMM 2014-CCRE14 Mortgage Trust	4.638%	2/10/47	2,650		2,875
4	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47	800		800
4	COMM 2014-CCRE15 Mortgage Trust	3.595%	2/10/47	793		815
4	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47	1,737		1,854
4	COMM 2014-CCRE15 Mortgage Trust	4.697%	2/10/47	869		941
4	COMM 2014-CCRE16 Mortgage Trust	3.653%	4/10/47	1,313		1,350
4	COMM 2014-CCRE16 Mortgage Trust	4.278%	4/10/47	1,975		2,088
4	COMM 2014-CCRE17 Mortgage Trust	3.598%	5/10/47	840		864
4	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47	2,425		2,576
4	COMM 2014-CCRE17 Mortgage Trust	4.377%	5/10/47	955		1,001
4	COMM 2014-CCRE18 Mortgage Trust	3.452%	7/15/47	2,553		2,610
4	COMM 2014-CCRE18 Mortgage Trust	3.828%	7/15/47	975		1,031
4	COMM 2014-CCRE18 Mortgage Trust	4.103%	7/15/47	1,281		1,359
4	COMM 2014-CCRE19 Mortgage Trust	3.796%	8/10/47	5,775		6,128
4	COMM 2014-CCRE19 Mortgage Trust	4.080%	8/10/47	1,550		1,644
4	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47	1,525		1,609
4	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47	5,255		5,505
4	COMM 2014-LC15 Mortgage Trust	4.006%	4/10/47	5,225		5,556
4	COMM 2014-LC17 Mortgage Trust	3.164%	10/10/47	392		393
4	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47	1,550		1,655
4	COMM 2014-UBS2 Mortgage Trust	2.820%	3/10/47	151		151
4	COMM 2014-UBS2 Mortgage Trust	3.472%	3/10/47	553		567
4	COMM 2014-UBS2 Mortgage Trust	3.961%	3/10/47	1,699		1,797
4	COMM 2014-UBS2 Mortgage Trust	4.199%	3/10/47	475		503
4	COMM 2014-UBS2 Mortgage Trust	4.701%	3/10/47	301		320
4	COMM 2014-UBS3 Mortgage Trust	3.819%	6/10/47	3,075		3,251
4	COMM 2014-UBS4 Mortgage Trust	3.694%	8/10/47	6,000		6,312
4	COMM 2014-UBS4 Mortgage Trust	3.968%	8/10/47	1,502		1,574
4	COMM 2014-UBS5 Mortgage Trust	3.838%	9/10/47	4,575		4,847
4	COMM 2014-UBS6 Mortgage Trust	2.935%	12/10/47	733		733
4	COMM 2014-UBS6 Mortgage Trust	3.387%	12/10/47	3,850		3,950
4	COMM 2014-UBS6 Mortgage Trust	3.644%	12/10/47	7,500		7,878
4	COMM 2014-UBS6 Mortgage Trust	4.048%	12/10/47	2,275		2,404
4	COMM 2015-CCRE22 Mortgage Trust	2.856%	3/10/48	737		737
4	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48	5,325		5,558
4	COMM 2015-CCRE22 Mortgage Trust	3.603%	3/10/48	1,900		1,976
4	COMM 2015-CCRE23 Mortgage Trust	3.257%	5/10/48	2,200		2,260
4	COMM 2015-CCRE23 Mortgage Trust	3.497%	5/10/48	3,250		3,419
4	COMM 2015-CCRE23 Mortgage Trust	3.801%	5/10/48	1,450		1,528
4	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48	3,500		3,735
4	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48	7,125		7,537
4	COMM 2015-CCRE27 Mortgage Trust	3.404%	10/10/48	3,575		3,694
4	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48	3,775		3,994
4	COMM 2015-LC19 Mortgage Trust	3.040%	2/10/48	750		765

24

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48	4,000		4,149
4	COMM 2015-LC19 Mortgage Trust	3.527%	2/10/48	1,775		1,848
4	COMM 2016-CCRE28 Mortgage Trust	3.762%	2/10/49	5,350		5,708
4	COMM 2016-DC2 Mortgage Trust	3.550%	2/10/49	4,375		4,551
4	COMM 2019-G44 Mortgage Trust	2.950%	8/15/57	4,970		5,068
4	CSAIL 2015-C1 Commercial Mortgage Trust	3.505%	4/15/50	3,750		3,944
4	CSAIL 2015-C1 Commercial Mortgage Trust	3.791%	4/15/50	1,900		1,998
4	CSAIL 2015-C1 Commercial Mortgage Trust	4.044%	4/15/50	1,525		1,595
4	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57	4,700		4,917
4	CSAIL 2015-C2 Commercial Mortgage Trust	3.849%	6/15/57	1,800		1,882
4	CSAIL 2015-C3 Commercial Mortgage Trust	3.448%	8/15/48	2,772		2,859
4	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48	3,550		3,750
4	CSAIL 2015-C3 Commercial Mortgage Trust	4.104%	8/15/48	1,625		1,692
4	CSAIL 2015-C4 Commercial Mortgage Trust	3.617%	11/15/48	2,200		2,282
4	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48	2,850		3,048
4	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49	7,325		7,686
4	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50	7,800		8,241
4	CSAIL 2017-CX10 Commercial Mortgage Trust	3.458%	11/15/50	5,925		6,237
4	CSAIL 2017-CX9 Commercial Mortgage Trust	3.446%	9/15/50	4,175		4,378
4	CSAIL 2018-CX11 Commercial Mortgage Trust	4.033%	4/15/51	12,250		13,441
4	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51	5,425		5,954
4	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52	10,450		11,489
4	CSAIL 2019-C16 Commercial Mortgage Trust	3.329%	6/15/52	12,500		13,108
4	DBJPM 16-C1 Mortgage Trust	3.276%	5/10/49	2,600		2,715
4	DBJPM 16-C3 Mortgage Trust	2.890%	8/10/49	3,075		3,144
4	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50	5,700		5,958
4	DBJPM 17-C6 Mortgage Trust	3.561%	6/10/50	1,600		1,669
4	Discover Card Execution Note Trust 2015-A2	1.900%	10/17/22	9,175		9,176
4	Discover Card Execution Note Trust 2015-A4	2.190%	4/17/23	6,950		6,969
4	Discover Card Execution Note Trust 2017-A2	2.390%	7/15/24	7,300		7,374
4	Discover Card Execution Note Trust 2018-A1	3.030%	8/15/25	10,175		10,449
4	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24	12,000		11,987
4	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24	4,653		4,676
4	Drive Auto Receivables Trust 2018-4	3.360%	10/17/22	3,054		3,057
3,4	Fannie Mae-Aces 2011-M2	3.764%	4/25/21	3,483		3,541
3,4	Fannie Mae-Aces 2011-M4	3.726%	6/25/21	5,812		5,913
3,4	Fannie Mae-Aces 2013-M12	2.406%	3/25/23	6,359		6,417
3,4	Fannie Mae-Aces 2013-M14	2.651%	4/25/23	2,763		2,792
3,4	Fannie Mae-Aces 2013-M14	3.329%	10/25/23	9,864		10,280
3,4	Fannie Mae-Aces 2013-M4	2.608%	3/25/22	83		83
3,4	Fannie Mae-Aces 2013-M7	2.280%	12/27/22	2,543		2,561
3,4	Fannie Mae-Aces 2014-M12	2.614%	10/25/21	7,479		7,536
3,4	Fannie Mae-Aces 2014-M13	2.566%	8/25/24	320		320
3,4	Fannie Mae-Aces 2014-M13	3.021%	8/25/24	4,500		4,623
3,4	Fannie Mae-Aces 2014-M2	3.513%	12/25/23	9,244		9,692
3,4	Fannie Mae-Aces 2014-M3	3.480%	1/25/24	4,182		4,360
3,4	Fannie Mae-Aces 2014-M4	3.346%	3/25/24	5,650		5,890
3,4	Fannie Mae-Aces 2014-M6	2.679%	5/25/21	5,879		5,925

25

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	Fannie Mae-Aces 2014-M7	3.275%	6/25/24	8,746		9,193
3,4	Fannie Mae-Aces 2014-M8	2.346%	6/25/24	711		713
3,4	Fannie Mae-Aces 2014-M8	3.056%	6/25/24	5,850		6,059
3,4	Fannie Mae-Aces 2014-M9	3.103%	7/25/24	6,825		7,076
3,4	Fannie Mae-Aces 2015-M1	2.532%	9/25/24	10,000		10,102
3,4	Fannie Mae-Aces 2015-M10	3.092%	4/25/27	2,750		2,877
3,4	Fannie Mae-Aces 2015-M12	2.796%	5/25/25	7,025		7,201
3,4	Fannie Mae-Aces 2015-M15	2.923%	10/25/25	8,825		9,122
3,4	Fannie Mae-Aces 2015-M2	2.620%	12/25/24	6,442		6,601
3,4	Fannie Mae-Aces 2015-M3	2.723%	10/25/24	3,700		3,778
3,4	Fannie Mae-Aces 2015-M4	2.509%	7/25/22	3,429		3,451
3,4	Fannie Mae-Aces 2015-M7	2.590%	12/25/24	6,586		6,697
3,4	Fannie Mae-Aces 2015-M8	2.344%	1/25/25	2,332		2,349
3,4	Fannie Mae-Aces 2015-M8	2.900%	1/25/25	8,100		8,321
3,4	Fannie Mae-Aces 2016-M11	2.369%	7/25/26	9,650		9,706
3,4	Fannie Mae-Aces 2016-M12	2.444%	9/25/26	9,400		9,532
3,4	Fannie Mae-Aces 2016-M2	2.152%	1/25/23	5,853		5,859
3,4	Fannie Mae-Aces 2016-M3	2.702%	2/25/26	3,639		3,728
3,4	Fannie Mae-Aces 2016-M4	2.576%	3/25/26	3,525		3,580
3,4	Fannie Mae-Aces 2016-M5	2.469%	4/25/26	7,900		7,923
3,4	Fannie Mae-Aces 2016-M6	2.488%	5/25/26	5,150		5,225
3,4	Fannie Mae-Aces 2016-M7	2.157%	10/25/23	1,667		1,668
3,4	Fannie Mae-Aces 2016-M7	2.499%	9/25/26	2,825		2,836
3,4	Fannie Mae-Aces 2016-M9	2.292%	6/25/26	14,000		13,888
3,4	Fannie Mae-Aces 2017-M1	2.417%	10/25/26	10,300		10,406
3,4	Fannie Mae-Aces 2017-M10	2.561%	7/25/24	4,280		4,361
3,4	Fannie Mae-Aces 2017-M11	2.980%	8/25/29	5,100		5,309
3,4	Fannie Mae-Aces 2017-M12	3.079%	6/25/27	12,575		13,057
3,4	Fannie Mae-Aces 2017-M15	3.136%	11/25/27	11,675		12,149
3,4	Fannie Mae-Aces 2017-M2	2.801%	2/25/27	7,000		7,233
3,4	Fannie Mae-Aces 2017- M3	2.483%	12/25/26	12,300		12,496
3,4	Fannie Mae-Aces 2017-M4	2.586%	12/25/26	11,290		11,400
3,4	Fannie Mae-Aces 2017-M7	2.961%	2/25/27	6,500		6,743
3,4	Fannie Mae-Aces 2017-M8	3.061%	5/25/27	21,979		23,010
3,4	Fannie Mae-Aces 2018-M12	3.640%	8/25/30	15,800		17,303
3,4	Fannie Mae-Aces 2018-M14	3.578%	8/25/28	11,725		12,692
3,4	Fannie Mae-Aces 2018-M18	2.469%	8/25/29	11,000		11,002
3,4	Fannie Mae-Aces 2018-M2	2.902%	1/25/28	18,750		19,316
3,4	Fannie Mae-Aces 2018-M4	3.045%	3/25/28	7,361		7,644
3,4	Fannie Mae-Aces 2018-M7	3.052%	3/25/28	4,100		4,283
3,4	Fannie Mae-Aces 2018-M8	3.325%	6/25/28	4,478		4,761
3,4	Fannie Mae-Aces 2018-M8	3.610%	2/25/31	9,700		10,505
3,4	Fannie Mae-Aces 2019-M1	3.555%	9/25/28	6,025		6,526
3,4	Fannie Mae-Aces 2019-M2	3.631%	11/25/28	9,250		10,081
3,4	Fannie Mae-Aces 2019-M22	2.522%	8/25/29	16,250		16,294
3,4	Fannie Mae-Aces 2019-M5	3.273%	1/25/29	8,325		8,826
3,4	Fannie Mae-Aces 2019-M7	3.143%	4/25/29	10,450		10,972
3,4	Fannie Mae-Aces 2019-M9	2.937%	4/25/29	5,250		5,440
3,4	FHLMC Multifamily Structured Pass Through Certificates K011	4.084%	11/25/20	1,587		1,610
3,4	FHLMC Multifamily Structured Pass Through Certificates K012	4.185%	12/25/20	2,725		2,766
3,4	FHLMC Multifamily Structured Pass Through Certificates K014	3.871%	4/25/21	4,513		4,596

26

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	FHLMC Multifamily Structured Pass Through Certificates K017	2.873%	12/25/21	11,955		12,122
3,4	FHLMC Multifamily Structured Pass Through Certificates K019	2.272%	3/25/22	5,411		5,437
3,4	FHLMC Multifamily Structured Pass Through Certificates K020	2.373%	5/25/22	13,400		13,506
3,4	FHLMC Multifamily Structured Pass Through Certificates K021	2.396%	6/25/22	8,300		8,354
3,4	FHLMC Multifamily Structured Pass Through Certificates K022	2.355%	7/25/22	575		579
3,4	FHLMC Multifamily Structured Pass Through Certificates K026	2.510%	11/25/22	11,500		11,647
3,4	FHLMC Multifamily Structured Pass Through Certificates K028	3.111%	2/25/23	8,625		8,888
3,4	FHLMC Multifamily Structured Pass Through Certificates K029	3.320%	2/25/23	11,425		11,843
3,4	FHLMC Multifamily Structured Pass Through Certificates K030	2.779%	9/25/22	4,267		4,304
3,4	FHLMC Multifamily Structured Pass Through Certificates K030	3.250%	4/25/23	11,425		11,818
3,4	FHLMC Multifamily Structured Pass Through Certificates K031	3.300%	4/25/23	11,906		12,369
3,4	FHLMC Multifamily Structured Pass Through Certificates K032	3.016%	2/25/23	2,806		2,854
3,4	FHLMC Multifamily Structured Pass Through Certificates K032	3.310%	5/25/23	6,420		6,664
3,4	FHLMC Multifamily Structured Pass Through Certificates K033	2.871%	2/25/23	5,813		5,889
3,4	FHLMC Multifamily Structured Pass Through Certificates K033	3.060%	7/25/23	12,875		13,304
3,4	FHLMC Multifamily Structured Pass Through Certificates K034	3.531%	7/25/23	10,633		11,148
3,4	FHLMC Multifamily Structured Pass Through Certificates K035	3.458%	8/25/23	12,575		13,168
3,4	FHLMC Multifamily Structured Pass Through Certificates K036	3.527%	10/25/23	400		419
3,4	FHLMC Multifamily Structured Pass Through Certificates K037	3.490%	1/25/24	475		499
3,4	FHLMC Multifamily Structured Pass Through Certificates K038	2.604%	10/25/23	1,521		1,530
3,4	FHLMC Multifamily Structured Pass Through Certificates K038	3.389%	3/25/24	5,425		5,672
3,4	FHLMC Multifamily Structured Pass Through Certificates K039	2.683%	12/25/23	1,356		1,372
3,4	FHLMC Multifamily Structured Pass Through Certificates K039	3.303%	7/25/24	2,600		2,731
3,4	FHLMC Multifamily Structured Pass Through Certificates K040	2.768%	4/25/24	2,645		2,686
3,4	FHLMC Multifamily Structured Pass Through Certificates K040	3.241%	9/25/24	9,300		9,761
3,4	FHLMC Multifamily Structured Pass Through Certificates K041	3.171%	10/25/24	9,600		10,035
3,4	FHLMC Multifamily Structured Pass Through Certificates K042	2.267%	6/25/24	1,325		1,328

27

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	FHLMC Multifamily Structured Pass Through Certificates K042	2.670%	12/25/24	7,225		7,395
3,4	FHLMC Multifamily Structured Pass Through Certificates K043	2.532%	10/25/23	1,354		1,366
3,4	FHLMC Multifamily Structured Pass Through Certificates K043	3.062%	12/25/24	5,600		5,841
3,4	FHLMC Multifamily Structured Pass Through Certificates K045	2.493%	11/25/24	2,826		2,850
3,4	FHLMC Multifamily Structured Pass Through Certificates K045	3.023%	1/25/25	5,800		6,023
3,4	FHLMC Multifamily Structured Pass Through Certificates K046	3.205%	3/25/25	5,800		6,083
3,4	FHLMC Multifamily Structured Pass Through Certificates K047	2.827%	12/25/24	1,359		1,383
3,4	FHLMC Multifamily Structured Pass Through Certificates K047	3.329%	5/25/25	4,450		4,700
3,4	FHLMC Multifamily Structured Pass Through Certificates K048	3.284%	6/25/25	6,650		7,020
3,4	FHLMC Multifamily Structured Pass Through Certificates K049	3.010%	7/25/25	3,850		4,009
3,4	FHLMC Multifamily Structured Pass Through Certificates K050	3.334%	8/25/25	6,375		6,738
3,4	FHLMC Multifamily Structured Pass Through Certificates K052	3.151%	11/25/25	4,150		4,355
3,4	FHLMC Multifamily Structured Pass Through Certificates K053	2.995%	12/25/25	2,450		2,552
3,4	FHLMC Multifamily Structured Pass Through Certificates K054	2.745%	1/25/26	6,350		6,532
3,4	FHLMC Multifamily Structured Pass Through Certificates K055	2.673%	3/25/26	7,500		7,676
3,4	FHLMC Multifamily Structured Pass Through Certificates K056	2.525%	5/25/26	5,325		5,413
3,4	FHLMC Multifamily Structured Pass Through Certificates K057	2.570%	7/25/26	9,375		9,534
3,4	FHLMC Multifamily Structured Pass Through Certificates K058	2.653%	8/25/26	5,800		5,941
3,4	FHLMC Multifamily Structured Pass Through Certificates K059	3.120%	9/25/26	5,000		5,251
3,4	FHLMC Multifamily Structured Pass Through Certificates K060	3.300%	10/25/26	8,000		8,490
3,4	FHLMC Multifamily Structured Pass Through Certificates K061	3.347%	11/25/26	17,600		18,733
3,4	FHLMC Multifamily Structured Pass Through Certificates K062	3.413%	12/25/26	18,250		19,541
3,4	FHLMC Multifamily Structured Pass Through Certificates K063	3.430%	1/25/27	16,200		17,361
3,4	FHLMC Multifamily Structured Pass Through Certificates K064	3.224%	3/25/27	15,580		16,487
3,4	FHLMC Multifamily Structured Pass Through Certificates K065	3.243%	4/25/27	17,557		18,589
3,4	FHLMC Multifamily Structured Pass Through Certificates K066	3.117%	6/25/27	5,840		6,149
3,4	FHLMC Multifamily Structured Pass Through Certificates K068	3.244%	8/25/27	7,823		8,295

28

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	FHLMC Multifamily Structured Pass Through Certificates K069	3.187%	9/25/27	8,875		9,322
3,4	FHLMC Multifamily Structured Pass Through Certificates K070	3.303%	11/25/27	2,875		3,054
3,4	FHLMC Multifamily Structured Pass Through Certificates K071	3.286%	11/25/27	3,950		4,187
3,4	FHLMC Multifamily Structured Pass Through Certificates K072	3.444%	12/25/27	4,525		4,858
3,4	FHLMC Multifamily Structured Pass Through Certificates K075	3.650%	2/25/28	6,975		7,580
3,4	FHLMC Multifamily Structured Pass Through Certificates K076	3.900%	4/25/28	16,500		18,235
3,4	FHLMC Multifamily Structured Pass Through Certificates K081	3.900%	8/25/28	11,750		12,971
3,4	FHLMC Multifamily Structured Pass Through Certificates K082	3.920%	9/25/28	13,500		14,961
3,4	FHLMC Multifamily Structured Pass Through Certificates K084	3.780%	10/25/28	16,175		17,658
3,4	FHLMC Multifamily Structured Pass Through Certificates K085	4.060%	10/25/28	6,575		7,361
3,4	FHLMC Multifamily Structured Pass Through Certificates K087	3.591%	10/25/27	1,265		1,341
3,4	FHLMC Multifamily Structured Pass Through Certificates K088	3.690%	1/25/29	12,725		13,927
3,4	FHLMC Multifamily Structured Pass Through Certificates K089	3.563%	1/25/29	11,000		11,921
3,4	FHLMC Multifamily Structured Pass Through Certificates K092	3.298%	4/25/29	10,450		11,157
3,4	FHLMC Multifamily Structured Pass Through Certificates K094	2.903%	6/25/29	12,550		13,016
3,4	FHLMC Multifamily Structured Pass Through Certificates K095	2.785%	6/25/29	12,600		12,955
3,4	FHLMC Multifamily Structured Pass Through Certificates K096	2.519%	7/25/29	10,925		11,035
3,4	FHLMC Multifamily Structured Pass Through Certificates K098	2.425%	8/25/29	18,540		18,531
3,4	FHLMC Multifamily Structured Pass Through Certificates K099	2.595%	9/25/29	9,350		9,407
3,4	FHLMC Multifamily Structured Pass Through Certificates K103	2.651%	11/25/29	12,550		12,759
3,4	FHLMC Multifamily Structured Pass Through Certificates K1511	3.470%	3/25/31	4,150		4,492
3,4	FHLMC Multifamily Structured Pass Through Certificates K1511	3.542%	3/25/34	10,275		11,126
3,4	FHLMC Multifamily Structured Pass Through Certificates K1513	2.797%	8/25/34	9,150		9,234
3,4	FHLMC Multifamily Structured Pass Through Certificates K152	3.080%	1/25/31	3,500		3,606
3,4	FHLMC Multifamily Structured Pass Through Certificates K153	3.294%	3/25/29	14,900		15,942
3,4	FHLMC Multifamily Structured Pass Through Certificates K153	3.117%	10/25/31	8,100		8,377
3,4	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	11/25/32	4,100		4,504

29

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	4/25/33	8,900		9,836
3,4	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	5/25/33	2,925		3,271
3,4	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	8/25/33	3,775		4,272
3,4	FHLMC Multifamily Structured Pass Through Certificates K504	2.566%	9/25/20	1,339		1,340
3,4	FHLMC Multifamily Structured Pass Through Certificates K713	2.313%	3/25/20	7,573		7,565
3,4	FHLMC Multifamily Structured Pass Through Certificates K714	3.034%	10/25/20	12,669		12,716
3,4	FHLMC Multifamily Structured Pass Through Certificates K716	2.413%	1/25/21	115		114
3,4	FHLMC Multifamily Structured Pass Through Certificates K716	3.130%	6/25/21	12,830		12,971
3,4	FHLMC Multifamily Structured Pass Through Certificates K717	2.991%	9/25/21	12,950		13,098
3,4	FHLMC Multifamily Structured Pass Through Certificates K718	2.375%	9/25/21	3,117		3,129
3,4	FHLMC Multifamily Structured Pass Through Certificates K718	2.791%	1/25/22	6,800		6,894
3,4	FHLMC Multifamily Structured Pass Through Certificates K722	2.183%	5/25/22	1,828		1,830
3,4	FHLMC Multifamily Structured Pass Through Certificates K731	3.600%	2/25/25	10,225		10,834
3,4	FHLMC Multifamily Structured Pass Through Certificates K734	3.208%	2/25/26	16,725		17,567
3,4	FHLMC Multifamily Structured Pass Through Certificates KW01	2.853%	1/25/26	7,000		7,224
3,4	FHLMC Multifamily Structures Pass Through Certificates K073	3.350%	1/25/28	8,000		8,538
3,4	FHLMC Multifamily Structures Pass Through Certificates K074	3.600%	1/25/28	10,275		11,147
3,4	FHLMC Multifamily Structures Pass Through Certificates K077	3.850%	5/25/28	22,000		24,164
3,4	FHLMC Multifamily Structures Pass Through Certificates K078	3.854%	6/25/28	5,200		5,723
3,4	FHLMC Multifamily Structures Pass Through Certificates K079	3.926%	6/25/28	31,350		34,727
3,4	FHLMC Multifamily Structures Pass Through Certificates K080	3.736%	4/25/28	2,920		3,134
3,4	FHLMC Multifamily Structures Pass Through Certificates K080	3.926%	7/25/28	12,000		13,302
3,4	FHLMC Multifamily Structures Pass Through Certificates K087	3.771%	12/25/28	8,100		8,878
3,4	FHLMC Multifamily Structures Pass Through Certificates K087	2.537%	10/25/29	15,400		15,587
3,4	FHLMC Multifamily Structures Pass Through Certificates K090	3.422%	2/25/29	9,625		10,326
3,4	FHLMC Multifamily Structures Pass Through Certificates K101	2.524%	10/25/29	16,600		16,725
3,4	FHLMC Multifamily Structures Pass Through Certificates K15-14	2.859%	10/25/34	10,025		10,140

30

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	FHLMC Multifamily Structures Pass Through Certificates K1504	3.424%	4/25/32	1,500		1,610
3,4	FHLMC Multifamily Structures Pass Through Certificates K1504	3.459%	11/25/32	2,175		2,344
3,4	FHLMC Multifamily Structures Pass Through Certificates K1510	3.718%	1/25/31	3,300		3,630
3,4	FHLMC Multifamily Structures Pass Through Certificates K1510	3.794%	1/25/34	5,350		5,934
3,4	FHLMC Multifamily Structures Pass Through Certificates K715	2.856%	1/25/21	4,124		4,145
3,4	FHLMC Multifamily Structures Pass Through Certificates K720	2.716%	6/25/22	4,550		4,610
3,4	FHLMC Multifamily Structures Pass Through Certificates K723	2.454%	8/25/23	4,650		4,707
3,4	FHLMC Multifamily Structures Pass Through Certificates K724	3.062%	11/25/23	9,200		9,506
3,4	FHLMC Multifamily Structures Pass Through Certificates K725	3.002%	1/25/24	16,500		17,009
3,4	FHLMC Multifamily Structures Pass Through Certificates K725	2.946%	7/25/24	14,700		15,157
3,4	FHLMC Multifamily Structures Pass Through Certificates K726	2.905%	4/25/24	7,800		7,980
3,4	FHLMC Multifamily Structures Pass Through Certificates K728	3.064%	8/25/24	11,850		12,289
3,4	FHLMC Multifamily Structures Pass Through Certificates K730	3.452%	9/25/24	1,053		1,082
3,4	FHLMC Multifamily Structures Pass Through Certificates K730	3.590%	1/25/25	12,100		12,808
3,4	FHLMC Multifamily Structures Pass Through Certificates K732	3.700%	5/25/25	10,450		11,099
3,4	FHLMC Multifamily Structures Pass Through Certificates K735	2.862%	5/25/26	16,250		16,764
3,4	FHLMC Multifamily Structures Pass Through Certificates KC02	3.370%	7/25/25	8,300		8,654
3,4	FHLMC Multifamily Structures Pass Through Certificates KC02	3.505%	3/25/29	3,100		3,349
3,4	FHLMC Multifamily Structures Pass Through Certificates KC02	2.982%	5/25/29	18,350		19,116
4	Fifth Third Auto Trust 2019-1	2.640%	12/15/23	5,850		5,895
4	Fifth Third Auto Trust 2019-1	2.690%	11/16/26	1,875		1,903
4	Ford Credit Auto Lease Trust 2018-A	2.930%	6/15/21	5,725		5,738
4	Ford Credit Auto Lease Trust 2018-A	3.050%	8/15/21	625		629
4	Ford Credit Auto Lease Trust 2018-B	3.190%	12/15/21	10,150		10,225
4	Ford Credit Auto Lease Trust 2018-B	3.300%	2/15/22	2,325		2,357
4	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22	2,750		2,776
4	Ford Credit Auto Lease Trust 2019-A	2.980%	6/15/22	1,250		1,266
4	Ford Credit Auto Owner Trust 2017-A	1.670%	6/15/21	990		990
4	Ford Credit Auto Owner Trust 2017-A	1.920%	4/15/22	2,675		2,674
4	Ford Credit Auto Owner Trust 2017-B	1.690%	11/15/21	2,881		2,878
4	Ford Credit Auto Owner Trust 2017-B	1.870%	9/15/22	756		756
4	Ford Credit Auto Owner Trust 2017-C	2.010%	3/15/22	10,763		10,770
4	Ford Credit Auto Owner Trust 2019-A	2.780%	9/15/23	7,325		7,425
4	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24	2,925		2,985

31

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Ford Credit Floorplan Master Owner Trust A Series 2017-1	2.070%	5/15/22	6,450		6,451
4	Ford Credit Floorplan Master Owner Trust A Series 2017-2	2.160%	9/15/22	4,170		4,175
4	Ford Credit Floorplan Master Owner Trust A Series 2017-3	2.480%	9/15/24	4,310		4,349
4	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23	10,200		10,318
4	Ford Credit Floorplan Master Owner Trust A Series 2018-2	3.170%	3/15/25	9,275		9,536
4	GM Financial Automobile Leasing Trust 2018-1	2.610%	1/20/21	2,899		2,902
4	GM Financial Automobile Leasing Trust 2018-1	2.680%	12/20/21	1,250		1,254
4	GM Financial Automobile Leasing Trust 2018-2	3.060%	6/21/21	1,878		1,883
4	GM Financial Automobile Leasing Trust 2018-2	3.160%	4/20/22	850		856
4	GM Financial Automobile Leasing Trust 2019-2	2.670%	3/21/22	2,925		2,945
4	GM Financial Automobile Leasing Trust 2019-2	2.720%	3/20/23	1,350		1,361
4	GM Financial Consumer Automobile 2018-2	2.810%	12/16/22	4,900		4,938
4	GM Financial Consumer Automobile 2018-2	3.020%	12/18/23	4,075		4,151
4	GS Mortgage Securities Corporation II 2013-GC10	2.943%	2/10/46	3,744		3,808
4	GS Mortgage Securities Trust 2011-GC5	3.707%	8/10/44	1,500		1,526
4	GS Mortgage Securities Trust 2012-GC6	3.482%	1/10/45	6,326		6,443
4	GS Mortgage Securities Trust 2012-GCJ7	3.377%	5/10/45	3,058		3,103
4	GS Mortgage Securities Trust 2012-GCJ9	2.773%	11/10/45	2,919		2,957
4	GS Mortgage Securities Trust 2013-GC10	3.279%	2/10/46	1,310		1,340
4	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46	2,255		2,311
4	GS Mortgage Securities Trust 2013-GCJ12	3.375%	6/10/46	966		991
4	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46	972		999
4	GS Mortgage Securities Trust 2013-GCJ16	3.813%	11/10/46	577		595
4	GS Mortgage Securities Trust 2013-GCJ16	4.271%	11/10/46	1,150		1,227
4	GS Mortgage Securities Trust 2014-GC18	4.074%	1/10/47	11,250		11,963
4	GS Mortgage Securities Trust 2014-GC18	4.383%	1/10/47	2,750		2,907
4	GS Mortgage Securities Trust 2014-GC22	3.467%	6/10/47	1,381		1,414
4	GS Mortgage Securities Trust 2014-GC22	3.516%	6/10/47	306		310
4	GS Mortgage Securities Trust 2014-GC22	3.862%	6/10/47	1,350		1,433
4	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47	6,282		6,703
4	GS Mortgage Securities Trust 2014-GC24	4.511%	9/10/47	1,175		1,225
4	GS Mortgage Securities Trust 2014-GC26	3.365%	11/10/47	2,238		2,299
4	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47	7,475		7,900
4	GS Mortgage Securities Trust 2014-GC26	3.964%	11/10/47	1,325		1,403
4	GS Mortgage Securities Trust 2014-GC26	4.215%	11/10/47	1,125		1,178
4	GS Mortgage Securities Trust 2015-GC28	3.396%	2/10/48	4,150		4,344
4	GS Mortgage Securities Trust 2015-GC30	2.726%	5/10/50	2,224		2,225
4	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	3,700		3,876
4	GS Mortgage Securities Trust 2015-GC32	3.513%	7/10/48	3,675		3,810
4	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	1,425		1,521
4	GS Mortgage Securities Trust 2015-GC34	3.278%	10/10/48	3,575		3,686
4	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48	3,400		3,577

32

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	GS Mortgage Securities Trust 2016-GS2	3.050%	5/10/49	2,700		2,790
4	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	7,125		7,283
4	GS Mortgage Securities Trust 2016-GS4	3.442%	11/10/49	2,450		2,588
4	GS Mortgage Securities Trust 2016-GS4	3.645%	11/10/49	1,825		1,906
4	GS Mortgage Securities Trust 2017-GS5	3.674%	3/10/50	5,750		6,163
4	GS Mortgage Securities Trust 2017-GS5	3.826%	3/10/50	2,300		2,437
4	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	5,300		5,603
4	GS Mortgage Securities Trust 2017-GS7	3.430%	8/10/50	13,872		14,559
4	GS Mortgage Securities Trust 2017-GS7	3.663%	8/10/50	3,700		3,904
4	GS Mortgage Securities Trust 2019-GC39	3.567%	5/10/52	4,175		4,467
4	GS Mortgage Securities Trust 2019-GC4	3.212%	9/1/52	2,875		2,929
4	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	6,250		6,497
4	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52	12,265		12,556
4	GS Mortgage Securities Trust 2019-GSA1	3.048%	11/10/52	5,525		5,654
4	Honda Auto Receivables 2017-2 Owner Trust	1.680%	8/16/21	2,910		2,907
4	Honda Auto Receivables 2017-2 Owner Trust	1.870%	9/15/23	1,586		1,585
4	Honda Auto Receivables 2017-4 Owner Trust	2.050%	11/22/21	2,407		2,408
4	Honda Auto Receivables 2018-1 Owner Trust	2.640%	2/15/22	8,495		8,530
4	Honda Auto Receivables 2018-1 Owner Trust	2.830%	5/15/24	2,700		2,732
4	Honda Auto Receivables 2018-2 Owner Trust	3.010%	5/18/22	2,875		2,901
4	Honda Auto Receivables 2018-2 Owner Trust	3.160%	8/19/24	2,050		2,091
4	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23	7,115		7,180
4	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25	1,360		1,380
4	Hyundai Auto Receivables Trust 2016-B	1.290%	4/15/21	325		325
4	Hyundai Auto Receivables Trust 2016-B	1.450%	11/15/22	2,250		2,243
4	Hyundai Auto Receivables Trust 2018-A	2.790%	7/15/22	2,650		2,669
4	Hyundai Auto Receivables Trust 2018-A	2.940%	6/17/24	3,250		3,301
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45	3,490		3,588
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45	9,234		9,369
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	3.483%	6/15/45	3,680		3,753
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9	2.840%	12/15/47	1,789		1,816
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.143%	12/15/47	2,352		2,414
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.372%	12/15/47	1,042		1,070
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.674%	12/15/46	938		963
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.881%	12/15/46	1,500		1,583
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46	4,900		5,236
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.517%	12/15/46	1,250		1,342
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.962%	12/15/46	1,250		1,353
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46	6,766		6,920
4	JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20	3.805%	7/15/47	575		608

33

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1	3.914%	1/15/49	2,825		3,038
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49	8,900		9,071
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49	3,700		3,939
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.870%	12/15/49	2,950		3,130
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.050%	7/15/50	1,279		1,289
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.490%	7/15/50	2,000		2,111
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.744%	7/15/50	2,800		2,953
4	JP Morgan Chase Commercial Mortgage Securities Trust 2019-COR4	4.029%	3/10/52	10,300		11,389
4	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45	1,982		2,073
4	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.039%	7/15/45	655		686
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46	714		734
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46	2,640		2,797
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.409%	8/15/46	740		782
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45	377		387
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.131%	11/15/45	3,920		4,180
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.420%	11/15/45	2,010		2,138
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	3.705%	1/15/47	937		966
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.199%	1/15/47	4,320		4,628
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.458%	1/15/47	775		828
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.892%	1/15/47	1,163		1,255
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47	4,338		4,630
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47	771		821
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.810%	2/15/47	935		996
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.046%	4/15/47	17		17
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.669%	4/15/47	1,900		1,931
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47	1,900		2,023
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	4.243%	4/15/47	1,525		1,626

34

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.428%	8/15/47	864		888
4	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.775%	8/15/47	950		1,007
4	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.997%	8/15/47	575		605
4	JPMBB Commercial Mortgage Securities Trust 2014-C22	3.801%	9/15/47	5,850		6,219
4	JPMBB Commercial Mortgage Securities Trust 2014-C22	4.110%	9/15/47	1,550		1,640
4	JPMBB Commercial Mortgage Securities Trust 2014-C23	3.934%	9/15/47	2,919		3,113
4	JPMBB Commercial Mortgage Securities Trust 2014-C23	4.202%	9/15/47	1,722		1,841
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	2.940%	11/15/47	473		473
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47	1,525		1,610
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.914%	11/15/47	2,750		2,887
4	JPMBB Commercial Mortgage Securities Trust 2014-C25	3.672%	11/15/47	6,825		7,206
4	JPMBB Commercial Mortgage Securities Trust 2014-C25	4.065%	11/15/47	1,900		2,009
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.019%	1/15/48	248		248
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48	10,400		10,901
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.800%	1/15/48	1,875		1,968
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.951%	1/15/48	1,875		1,956
4	JPMBB Commercial Mortgage Securities Trust 2015-C27	2.734%	2/15/48	378		378
4	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.017%	2/15/48	3,763		3,833
4	JPMBB Commercial Mortgage Securities Trust 2015-C28	2.773%	10/15/48	1,458		1,458
4	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.042%	10/15/48	1,400		1,424
4	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.532%	10/15/48	1,125		1,163
4	JPMBB Commercial Mortgage Securities Trust 2015-C29	2.921%	5/15/48	2,030		2,032
4	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.304%	5/15/48	2,903		2,985
4	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.611%	5/15/48	2,900		3,069
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.559%	7/15/48	3,675		3,793
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48	3,600		3,840
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48	1,850		1,980

35

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.540%	8/15/48	1,709		1,772
4	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48	1,841		1,962
4	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.358%	11/15/48	4,625		4,769
4	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48	3,575		3,779
4	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48	2,610		2,792
4	JPMBB Commercial Mortgage Securities Trust 2016-C1	3.316%	3/15/49	2,925		3,019
4	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50	10,725		11,522
4	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.876%	3/15/50	2,300		2,445
4	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.386%	6/13/52	9,375		9,820
4	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.669%	6/13/52	825		867
4	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.144%	6/15/49	2,725		2,816
4	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.484%	6/15/49	1,250		1,294
4	JPMDB Commercial Mortgage Securities Trust 2017-C5	3.694%	3/15/50	13,000		13,939
4	JPMDB Commercial Mortgage Securities Trust 2017-C5	3.858%	3/15/50	3,975		4,207
4	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50	2,825		2,985
4	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.713%	10/15/50	1,775		1,870
4	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51	10,300		11,391
4	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.421%	6/15/51	1,250		1,376
4	JPMDB Commercial Mortgage Securities Trust 2019-COR6	3.057%	11/13/52	8,300		8,442
4	Mercedes-Benz Auto Lease Trust 2018-A	2.410%	2/16/21	1,854		1,855
4	Mercedes-Benz Auto Lease Trust 2018-A	2.510%	10/16/23	600		601
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45	2,890		2,950
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45	3,342		3,389
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.081%	7/15/46	400		423
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.153%	8/15/46	990		1,049
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.353%	8/15/46	490		517
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	3.824%	10/15/46	568		585
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46	3,360		3,575

36

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	2.936%	11/15/46	11		11
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46	2,200		2,327
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.755%	11/15/46	1,100		1,173
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46	1,707		1,735
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46	341		347
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.134%	12/15/48	2,100		2,149
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.376%	12/15/48	1,000		1,023
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	1,275		1,306
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.456%	5/15/46	1,125		1,160
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	3.669%	2/15/47	2,208		2,231
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47	3,050		3,243
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.745%	2/15/47	1,150		1,235
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.477%	6/15/47	696		713
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47	2,875		3,041
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.337%	6/15/47	1,150		1,217
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.194%	10/15/47	172		172
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47	1,000		1,062
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	4.478%	10/15/47	1,150		1,220
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47	1,999		2,050
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47	3,275		3,431
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48	1,875		1,915
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48	6,650		6,885
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21	3.338%	3/15/48	1,500		1,558
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.040%	4/15/48	3,750		3,827
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.306%	4/15/48	2,950		3,072
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.883%	4/15/48	1,875		1,940
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	2.982%	7/15/50	1,775		1,777

37

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.398%	7/15/50	1,050		1,079
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50	3,650		3,870
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.383%	10/15/48	3,850		3,982
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	1,975		2,089
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.323%	10/15/48	2,325		2,397
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.531%	10/15/48	2,625		2,759
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.557%	12/15/47	1,800		1,861
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.753%	12/15/47	2,175		2,316
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.288%	1/15/49	2,425		2,504
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.544%	1/15/49	7,000		7,413
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.140%	5/15/49	1,500		1,543
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.325%	5/15/49	750		780
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30	2.860%	9/15/49	7,300		7,410
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31	3.102%	11/15/49	9,400		9,700
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49	7,600		8,105
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.994%	12/15/49	3,050		3,252
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.599%	5/15/50	6,500		6,921
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.852%	5/15/50	3,800		4,034
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.276%	11/15/52	3,600		3,740
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	5,250		5,572
4	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45	6,000		6,096
4	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45	1,800		1,846
4	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48	2,525		2,702
4	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	3,650		3,780
4	Morgan Stanley Capital I Trust 2016-BNK2	3.282%	11/15/49	2,951		3,045
4	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	7,300		7,380
4	Morgan Stanley Capital I Trust 2016-UB12	3.778%	12/15/49	3,000		3,179
4	Morgan Stanley Capital I Trust 2016-UBS12	3.596%	12/15/49	7,350		7,838
4	Morgan Stanley Capital I Trust 2017-H1	3.530%	6/15/50	5,800		6,129
4	Morgan Stanley Capital I Trust 2018-H4	4.310%	12/15/51	10,000		11,184
4	Morgan Stanley Capital I Trust 2019-H6	3.417%	6/15/52	11,660		12,302
4	Morgan Stanley Capital I Trust 2019-H6	3.700%	6/15/52	1,450		1,519
4	Morgan Stanley Capital I Trust 2019-L2	4.071%	3/15/52	6,700		7,443
4	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/29	8,415		8,687

38

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
7	National Australia Bank Ltd.	2.250%	3/16/21	12,000		12,051
4	Nissan Auto Lease Trust 2017-B	2.050%	9/15/20	319		319
4	Nissan Auto Lease Trust 2017-B	2.170%	12/15/21	750		750
4	Nissan Auto Receivables 2015-B Owner Trust	1.790%	1/17/22	117		117
4	Nissan Auto Receivables 2015-C Owner Trust	1.670%	2/15/22	486		485
4	Nissan Auto Receivables 2016-B Owner Trust	1.540%	10/17/22	2,500		2,496
4	Nissan Auto Receivables 2016-C Owner Trust	1.180%	1/15/21	201		200
4	Nissan Auto Receivables 2016-C Owner Trust	1.380%	1/17/23	2,650		2,644
4	Nissan Auto Receivables 2017-B Owner Trust	1.750%	10/15/21	2,998		2,996
4	Nissan Auto Receivables 2017-B Owner Trust	1.950%	10/16/23	2,848		2,848
4	Nissan Auto Receivables 2018-A Owner Trust	2.650%	5/16/22	5,231		5,251
4	Nissan Auto Receivables 2018-A Owner Trust	2.890%	6/17/24	4,025		4,090
4	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23	5,850		5,910
4	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25	1,455		1,477
4	Nissan Auto Receivables 2019-C	1.930%	7/15/24	7,000		7,002
4	Nissan Auto Receivables 2019-C	1.950%	5/15/26	1,650		1,643
4	Public Service New Hampshire Funding LLC 2018-1	3.094%	2/1/26	1,459		1,487
4	Public Service New Hampshire Funding LLC 2018-1	3.506%	8/1/28	975		1,029
4	Public Service New Hampshire Funding LLC 2018-1	3.814%	2/1/35	2,200		2,393
	Royal Bank of Canada	2.100%	10/14/20	35,000		35,016
	Royal Bank of Canada	2.300%	3/22/21	5,000		5,025
4	Santander Drive Auto Receivables Trust 2018-2	3.030%	9/15/22	1,892		1,895
4	Santander Drive Auto Receivables Trust 2018-2	3.350%	7/17/23	2,425		2,448
4	Santander Drive Auto Receivables Trust 2018-3	3.030%	2/15/22	21		21
4	Santander Drive Auto Receivables Trust 2018-3	3.290%	10/17/22	1,450		1,452
4	Santander Drive Auto Receivables Trust 2018-3	3.510%	8/15/23	2,725		2,754
4	SG Commercial Mortgage Securities Trust 2016-C5	3.055%	10/10/48	6,000		6,162
4	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24	12,425		12,709
4	Synchrony Credit Card Master Note Trust 2016-2	2.210%	5/15/24	15,525		15,587
4	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25	6,675		6,776
4	Synchrony Credit Card Master Note Trust 2018-1	2.970%	3/15/24	12,225		12,367
4	Synchrony Credit Card Master Note Trust 2018-2	3.470%	5/15/26	12,300		12,843
4	TIAA Seasoned Commercial Mortgage Trust 2007-C4	5.503%	8/15/39	1		1
7	Toronto-Dominion Bank	2.250%	3/15/21	8,000		8,026
7	Toronto-Dominion Bank	2.500%	1/18/22	10,000		10,124
4	Toyota Auto Receivables 2016-B Owner Trust	1.520%	8/16/21	816		815
4	Toyota Auto Receivables 2016-C Owner Trust	1.320%	11/15/21	1,186		1,184
4	Toyota Auto Receivables 2017-B Owner Trust	1.760%	7/15/21	5,393		5,390
4	Toyota Auto Receivables 2017-D Owner Trust	1.930%	1/18/22	7,478		7,478
4	Toyota Auto Receivables 2018-A Owner Trust	2.350%	5/16/22	5,434		5,448

39

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23	2,850		2,873
4	Toyota Auto Receivables 2018-B Owner Trust	2.960%	9/15/22	5,050		5,100
4	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23	900		919
4	UBS Commercial Mortgage Trust 2017-C1	3.460%	6/15/50	7,800		8,274
4	UBS Commercial Mortgage Trust 2017-C1	3.724%	6/15/50	3,400		3,568
4	UBS Commercial Mortgage Trust 2017-C2	3.487%	8/15/50	5,850		6,168
4	UBS Commercial Mortgage Trust 2017-C2	3.740%	8/15/50	1,550		1,616
4	UBS Commercial Mortgage Trust 2017-C3	3.426%	8/15/50	6,975		7,342
4	UBS Commercial Mortgage Trust 2017-C3	3.739%	8/15/50	2,900		3,052
4	UBS Commercial Mortgage Trust 2017-C4	3.301%	10/15/50	4,700		4,933
4	UBS Commercial Mortgage Trust 2017-C4	3.563%	10/15/50	5,875		6,270
4	UBS Commercial Mortgage Trust 2017-C4	3.836%	10/15/50	2,594		2,735
4	UBS Commercial Mortgage Trust 2017-C5	3.474%	11/15/50	3,950		4,193
4	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50	5,700		6,108
4	UBS Commercial Mortgage Trust 2017-C7	4.061%	12/15/50	3,000		3,215
4	UBS Commercial Mortgage Trust 2018-C11	4.241%	6/15/51	11,000		12,201
4	UBS Commercial Mortgage Trust 2018-C12	4.296%	8/15/51	10,215		11,499
4	UBS Commercial Mortgage Trust 2018-C12	4.587%	8/15/51	4,000		4,462
4	UBS Commercial Mortgage Trust 2018-C13	4.208%	10/15/51	2,700		2,858
4	UBS Commercial Mortgage Trust 2018-C13	4.334%	10/15/51	9,825		11,096
4	UBS Commercial Mortgage Trust 2018-C13	4.585%	10/15/51	1,750		1,954
4	UBS Commercial Mortgage Trust 2018-C14	4.448%	12/15/51	10,275		11,706
4	UBS Commercial Mortgage Trust 2018-C15	4.341%	12/15/51	9,400		10,516
4	UBS Commercial Mortgage Trust 2018-C8	3.720%	2/15/51	6,125		6,609
4	UBS Commercial Mortgage Trust 2018-C8	3.983%	2/15/51	12,225		13,415
4	UBS Commercial Mortgage Trust 2018-C8	4.215%	2/15/51	3,250		3,488
4	UBS Commercial Mortgage Trust 2019-C16	3.605%	4/15/52	4,200		4,472
4	UBS Commercial Mortgage Trust 2019-C17	2.921%	10/15/52	4,910		4,975
4	UBS Commercial Mortgage Trust 2019-C18	3.378%	12/15/52	1,700		1,731
4	UBS-Barclays Commercial Mortgage Trust 2012-C4	2.850%	12/10/45	10,200		10,354
4	UBS-Barclays Commercial Mortgage Trust 2013-C5	3.185%	3/10/46	2,870		2,945
4	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46	4,765		4,892
4	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46	700		722
4	UBS-Barclays Commercial Mortgage Trust 2018-C10	4.313%	5/15/51	8,250		9,191
4	UBS-Barclays Commercial Mortgage Trust 2018-C9	4.117%	3/15/51	12,300		13,637
4	UBS-Barclays Commercial Mortgage Trust 2019-C16	3.887%	4/15/52	1,250		1,336
4	UBS-Barclays Commercial Mortgage Trust 2019-C18	3.035%	12/15/52	2,850		2,918
4	Volkswagen Auto Loan Enhanced Trust 2018-1	3.020%	11/21/22	2,300		2,327
4	Volkswagen Auto Loan Enhanced Trust 2018-1	3.150%	7/22/24	850		868
4	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45	4,766		4,847
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	2.819%	8/15/50	21		21

40

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.477%	8/15/50	703		722
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50	12,090		12,813
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.020%	8/15/50	400		420
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	2.954%	12/15/47	922		921
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.244%	12/15/47	1,400		1,434
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.271%	12/15/47	2,625		2,649
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	3,725		3,902
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.808%	12/15/47	1,875		1,957
4	Wells Fargo Commercial Mortgage Trust 2015-C26	2.991%	2/15/48	3,750		3,822
4	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	2,075		2,152
4	Wells Fargo Commercial Mortgage Trust 2015-C26	3.580%	2/15/48	1,500		1,562
4	Wells Fargo Commercial Mortgage Trust 2015-C28	3.540%	5/15/48	5,425		5,731
4	Wells Fargo Commercial Mortgage Trust 2015-C28	3.872%	5/15/48	1,040		1,087
4	Wells Fargo Commercial Mortgage Trust 2015-C29	3.400%	6/15/48	3,820		3,941
4	Wells Fargo Commercial Mortgage Trust 2015-LC20	2.978%	4/15/50	1,029		1,049
4	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.184%	4/15/50	4,535		4,709
4	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.719%	4/15/50	1,900		1,952
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.571%	9/15/58	1,425		1,480
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58	2,000		2,146
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58	1,775		1,901
4	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.632%	5/15/48	668		668
4	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.934%	5/15/48	2,720		2,763
4	Wells Fargo Commercial Mortgage Trust 2015-NXS1	3.148%	5/15/48	1,500		1,556
4	Wells Fargo Commercial Mortgage Trust 2015-P2	3.656%	12/15/48	2,875		3,005
4	Wells Fargo Commercial Mortgage Trust 2015-P2	3.809%	12/15/48	1,800		1,931
4	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	7,740		8,257
4	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	4,875		4,913

41

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.814%	8/15/49	1,200		1,191
4	Wells Fargo Commercial Mortgage Trust 2016-C32	3.324%	1/15/59	1,929		1,995
4	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	4,200		4,449
4	Wells Fargo Commercial Mortgage Trust 2016-C33	3.426%	3/15/59	1,450		1,527
4	Wells Fargo Commercial Mortgage Trust 2016-C34	3.096%	6/15/49	2,900		2,984
4	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49	2,900		3,132
4	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.825%	10/15/49	3,275		3,338
4	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.942%	10/15/49	5,654		5,804
4	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	16,255		17,235
4	Wells Fargo Commercial Mortgage Trust 2017-C38	3.665%	7/15/50	4,606		4,829
4	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50	7,000		7,397
4	Wells Fargo Commercial Mortgage Trust 2017-C39	3.702%	9/15/50	3,900		4,102
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.317%	10/15/50	3,925		4,088
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50	5,900		6,300
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.854%	10/15/50	1,575		1,664
4	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	9,900		10,495
4	Wells Fargo Commercial Mortgage Trust 2017-RB1	3.635%	3/15/50	10,000		10,701
4	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60	15,300		16,361
4	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%	3/15/51	12,275		13,469
4	Wells Fargo Commercial Mortgage Trust 2018-C43	4.152%	3/15/51	2,125		2,295
4	Wells Fargo Commercial Mortgage Trust 2018-C44	4.212%	5/15/51	8,200		9,126
4	Wells Fargo Commercial Mortgage Trust 2018-C45	4.184%	6/15/51	13,000		14,457
4	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	10,600		11,766
4	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52	10,450		11,540
4	Wells Fargo Commercial Mortgage Trust 2019-C50	3.729%	5/15/52	6,075		6,583
4	Wells Fargo Commercial Mortgage Trust 2019-C52	3.143%	8/15/52	3,775		3,788
4	Wells Fargo Commercial Mortgage Trust 2019-C53	3.040%	10/15/52	8,225		8,458

42

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	4,975		5,157
4	Wells Fargo Commercial Mortgage Trust 2018-C47	4.442%	9/15/61	17,100		19,386
4	Wells Fargo Commercial Mortgage Trust 2019-C51	3.311%	6/15/52	8,750		9,187
4	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	12,600		12,801
4	WFRBS Commercial Mortgage Trust 2012- C10	2.875%	12/15/45	8,500		8,641
4	WFRBS Commercial Mortgage Trust 2012-C6	3.440%	4/15/45	4,275		4,348
4	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45	3,511		3,601
4	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45	2,200		2,274
4	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45	1,600		1,628
4	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45	2,880		2,926
4	WFRBS Commercial Mortgage Trust 2013-C11	3.071%	3/15/45	2,414		2,469
4	WFRBS Commercial Mortgage Trust 2013-C12	3.198%	3/15/48	1,045		1,074
4	WFRBS Commercial Mortgage Trust 2013-C12	3.560%	3/15/48	495		510
4	WFRBS Commercial Mortgage Trust 2013-C13	3.001%	5/15/45	2,154		2,202
4	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45	421		433
4	WFRBS Commercial Mortgage Trust 2013-C14	3.337%	6/15/46	3,250		3,358
4	WFRBS Commercial Mortgage Trust 2013-C14	3.488%	6/15/46	1,725		1,778
4	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46	512		525
4	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46	2,640		2,797
4	WFRBS Commercial Mortgage Trust 2013-C15	4.358%	8/15/46	660		697
4	WFRBS Commercial Mortgage Trust 2013-C16	3.963%	9/15/46	1,164		1,204
4	WFRBS Commercial Mortgage Trust 2013-C16	4.415%	9/15/46	1,520		1,628
4	WFRBS Commercial Mortgage Trust 2013-C16	4.668%	9/15/46	2,530		2,703
4	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46	575		591
4	WFRBS Commercial Mortgage Trust 2013-C17	4.023%	12/15/46	925		981
4	WFRBS Commercial Mortgage Trust 2013-C17	4.255%	12/15/46	725		773
4	WFRBS Commercial Mortgage Trust 2013-C17	4.788%	12/15/46	725		779

43

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	WFRBS Commercial Mortgage Trust 2013-C18	3.027%	12/15/46	5		5
4	WFRBS Commercial Mortgage Trust 2013-C18	3.651%	12/15/46	1,500		1,508
4	WFRBS Commercial Mortgage Trust 2013-C18	4.162%	12/15/46	7,268		7,765
4	WFRBS Commercial Mortgage Trust 2013-C18	4.387%	12/15/46	375		401
4	WFRBS Commercial Mortgage Trust 2013-C18	4.692%	12/15/46	563		609
4	WFRBS Commercial Mortgage Trust 2013-UBS1	2.927%	3/15/46	16		16
4	WFRBS Commercial Mortgage Trust 2013-UBS1	3.591%	3/15/46	1,100		1,111
4	WFRBS Commercial Mortgage Trust 2013-UBS1	4.079%	3/15/46	1,475		1,566
4	WFRBS Commercial Mortgage Trust 2013-UBS1	4.739%	3/15/46	375		406
4	WFRBS Commercial Mortgage Trust 2014-C19	3.618%	3/15/47	407		418
4	WFRBS Commercial Mortgage Trust 2014-C19	3.660%	3/15/47	553		560
4	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47	1,450		1,550
4	WFRBS Commercial Mortgage Trust 2014-C19	4.723%	3/15/47	475		506
4	WFRBS Commercial Mortgage Trust 2014-C20	3.638%	5/15/47	686		706
4	WFRBS Commercial Mortgage Trust 2014-C20	3.723%	5/15/47	2,200		2,299
4	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47	1,150		1,226
4	WFRBS Commercial Mortgage Trust 2014-C20	4.176%	5/15/47	1,220		1,290
4	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47	3,000		3,168
4	WFRBS Commercial Mortgage Trust 2014-C22	3.752%	9/15/57	6,275		6,643
4	WFRBS Commercial Mortgage Trust 2014-C22	4.371%	9/15/57	1,200		1,268
4	WFRBS Commercial Mortgage Trust 2014-C23	3.636%	10/15/57	1,989		2,053
4	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57	1,150		1,227
4	WFRBS Commercial Mortgage Trust 2014-C23	4.210%	10/15/57	800		857
4	WFRBS Commercial Mortgage Trust 2014-C24	3.428%	11/15/47	1,237		1,261
4	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47	2,075		2,189
4	WFRBS Commercial Mortgage Trust 2014-LC14	2.862%	3/15/47	18		18
4	WFRBS Commercial Mortgage Trust 2014-LC14	3.522%	3/15/47	1,535		1,572

44

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47	4,415		4,699
4	WFRBS Commercial Mortgage Trust 2014-LC14	4.351%	3/15/47	1,840		1,948
4	World Financial Network Credit Card Master Note Trust Series 2017-C	2.310%	8/15/24	6,375		6,385
4	World Financial Network Credit Card Master Note Trust Series 2018-A	3.070%	12/16/24	8,050		8,136
4	World Omni Auto Receivables Trust 2019-C	1.960%	12/16/24	5,050		5,048
4	World Omni Auto Receivables Trust 2019-C	2.030%	12/15/25	1,400		1,398
4	World Omni Automobile Lease Securitization Trust 2018-B	3.190%	12/15/21	5,770		5,837
4	World Omni Automobile Lease Securitization Trust 2018-B	3.300%	3/15/24	2,500		2,541
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,773,790)						4,914,471
Corporate Bonds (26.0%)
Finance (8.1%)
	Banking (5.8%)
	Ally Financial Inc.	4.250%	4/15/21	5,000		5,125
	Ally Financial Inc.	4.125%	2/13/22	5,030		5,187
	Ally Financial Inc.	3.875%	5/21/24	4,000		4,180
	Ally Financial Inc.	5.125%	9/30/24	6,065		6,679
	Ally Financial Inc.	4.625%	3/30/25	5,000		5,406
	Ally Financial Inc.	8.000%	11/1/31	23,200		32,045
	American Express Co.	3.000%	2/22/21	6,000		6,061
	American Express Co.	3.375%	5/17/21	8,000		8,146
	American Express Co.	3.700%	11/5/21	7,229		7,445
	American Express Co.	2.500%	8/1/22	7,800		7,887
	American Express Co.	2.650%	12/2/22	12,750		12,988
	American Express Co.	3.400%	2/27/23	25,100		26,004
	American Express Co.	3.700%	8/3/23	10,100		10,629
	American Express Co.	3.400%	2/22/24	10,000		10,446
	American Express Co.	2.500%	7/30/24	6,000		6,062
	American Express Co.	3.000%	10/30/24	37,355		38,552
	American Express Co.	3.625%	12/5/24	19,560		20,622
	American Express Co.	3.125%	5/20/26	8,000		8,300
	American Express Co.	4.050%	12/3/42	1,040		1,219
	American Express Credit Corp.	2.250%	5/5/21	19,270		19,359
	American Express Credit Corp.	2.700%	3/3/22	26,325		26,741
	American Express Credit Corp.	3.300%	5/3/27	9,975		10,613
	Associated Bank NA	3.500%	8/13/21	3,100		3,155
	Australia & New Zealand Banking Group Ltd.	2.300%	6/1/21	22,100		22,178
	Australia & New Zealand Banking Group Ltd.	2.550%	11/23/21	5,900		5,962
	Australia & New Zealand Banking Group Ltd.	2.625%	5/19/22	4,250		4,311
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22	16,850		17,152
	Australia & New Zealand Banking Group Ltd.	3.700%	11/16/25	9,425		10,126
	Banco Santander SA	3.125%	2/23/23	10,000		10,203
	Banco Santander SA	3.848%	4/12/23	6,000		6,241
	Banco Santander SA	2.706%	6/27/24	2,800		2,836
	Banco Santander SA	5.179%	11/19/25	14,700		16,341
	Banco Santander SA	4.250%	4/11/27	16,175		17,394
	Banco Santander SA	3.800%	2/23/28	10,000		10,486
	Banco Santander SA	4.379%	4/12/28	10,600		11,567

45

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Bank of America Corp.	2.625%	4/19/21	11,370		11,470
4	Bank of America Corp.	2.369%	7/21/21	15,125		15,157
4	Bank of America Corp.	2.328%	10/1/21	21,000		21,026
4	Bank of America Corp.	2.738%	1/23/22	12,800		12,892
4	Bank of America Corp.	3.499%	5/17/22	13,350		13,600
	Bank of America Corp.	2.503%	10/21/22	16,925		17,067
	Bank of America Corp.	3.300%	1/11/23	51,050		52,794
4	Bank of America Corp.	3.124%	1/20/23	4,130		4,202
4	Bank of America Corp.	2.881%	4/24/23	20,625		20,910
4	Bank of America Corp.	2.816%	7/21/23	32,600		33,048
	Bank of America Corp.	4.100%	7/24/23	22,253		23,696
	Bank of America Corp.	3.004%	12/20/23	88,813		90,753
	Bank of America Corp.	4.125%	1/22/24	16,500		17,748
4	Bank of America Corp.	3.550%	3/5/24	34,105		35,278
	Bank of America Corp.	4.000%	4/1/24	20,780		22,241
4	Bank of America Corp.	3.864%	7/23/24	2,000		2,104
	Bank of America Corp.	4.200%	8/26/24	51,989		55,772
	Bank of America Corp.	4.000%	1/22/25	51,950		55,224
4	Bank of America Corp.	3.458%	3/15/25	20,000		20,818
	Bank of America Corp.	3.950%	4/21/25	12,350		13,147
	Bank of America Corp.	3.875%	8/1/25	5,000		5,360
4	Bank of America Corp.	3.093%	10/1/25	26,100		26,884
4	Bank of America Corp.	2.456%	10/22/25	11,675		11,713
4	Bank of America Corp.	3.366%	1/23/26	18,450		19,241
	Bank of America Corp.	4.450%	3/3/26	22,051		24,156
	Bank of America Corp.	3.500%	4/19/26	21,565		22,818
	Bank of America Corp.	4.250%	10/22/26	15,915		17,291
4	Bank of America Corp.	3.559%	4/23/27	29,330		30,918
	Bank of America Corp.	3.248%	10/21/27	27,300		28,327
	Bank of America Corp.	4.183%	11/25/27	8,395		9,085
4	Bank of America Corp.	3.824%	1/20/28	20,380		21,847
4	Bank of America Corp.	3.705%	4/24/28	15,875		16,941
4	Bank of America Corp.	3.593%	7/21/28	35,625		37,832
4	Bank of America Corp.	3.419%	12/20/28	85,091		89,118
4	Bank of America Corp.	3.970%	3/5/29	17,225		18,729
4	Bank of America Corp.	4.271%	7/23/29	42,675		47,261
4	Bank of America Corp.	3.194%	7/23/30	2,865		2,963
4	Bank of America Corp.	2.884%	10/22/30	10,000		10,099
	Bank of America Corp.	6.110%	1/29/37	16,687		22,485
4	Bank of America Corp.	4.244%	4/24/38	20,996		24,087
	Bank of America Corp.	7.750%	5/14/38	16,790		26,400
4	Bank of America Corp.	4.078%	4/23/40	18,480		20,960
	Bank of America Corp.	5.875%	2/7/42	13,775		19,540
	Bank of America Corp.	5.000%	1/21/44	19,410		25,347
	Bank of America Corp.	4.875%	4/1/44	11,875		15,172
	Bank of America Corp.	4.750%	4/21/45	2,875		3,495
4	Bank of America Corp.	4.443%	1/20/48	6,475		7,881
4	Bank of America Corp.	3.946%	1/23/49	10,575		11,983
4	Bank of America Corp.	4.330%	3/15/50	20,600		24,705
	Bank of America NA	6.000%	10/15/36	7,400		10,189
	Bank of Montreal	3.100%	4/13/21	17,000		17,246
	Bank of Montreal	1.900%	8/27/21	17,600		17,622
	Bank of Montreal	2.900%	3/26/22	27,150		27,645
	Bank of Montreal	2.350%	9/11/22	1,503		1,516

46

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Bank of Montreal	2.550%	11/6/22	3,628		3,686
	Bank of Montreal	3.300%	2/5/24	9,900		10,307
	Bank of Montreal	2.500%	6/28/24	8,700		8,773
4	Bank of Montreal	4.338%	10/5/28	3,850		4,062
4	Bank of Montreal	3.803%	12/15/32	24,675		25,755
	Bank of New York Mellon Corp.	2.050%	5/3/21	10,400		10,426
	Bank of New York Mellon Corp.	3.550%	9/23/21	3,150		3,235
	Bank of New York Mellon Corp.	2.600%	2/7/22	9,150		9,278
	Bank of New York Mellon Corp.	2.950%	1/29/23	38,570		39,587
	Bank of New York Mellon Corp.	3.500%	4/28/23	4,500		4,717
4	Bank of New York Mellon Corp.	2.661%	5/16/23	15,938		16,170
	Bank of New York Mellon Corp.	3.450%	8/11/23	8,000		8,381
	Bank of New York Mellon Corp.	2.200%	8/16/23	8,000		8,089
	Bank of New York Mellon Corp.	3.650%	2/4/24	1,100		1,165
	Bank of New York Mellon Corp.	3.400%	5/15/24	2,875		3,028
	Bank of New York Mellon Corp.	3.250%	9/11/24	7,422		7,787
	Bank of New York Mellon Corp.	2.100%	10/24/24	10,525		10,517
	Bank of New York Mellon Corp.	3.000%	2/24/25	200		208
	Bank of New York Mellon Corp.	2.800%	5/4/26	3,075		3,154
	Bank of New York Mellon Corp.	2.450%	8/17/26	4,500		4,514
	Bank of New York Mellon Corp.	3.250%	5/16/27	12,900		13,550
	Bank of New York Mellon Corp.	3.400%	1/29/28	6,200		6,588
4	Bank of New York Mellon Corp.	3.442%	2/7/28	6,975		7,366
	Bank of New York Mellon Corp.	3.000%	10/30/28	3,700		3,801
	Bank of New York Mellon Corp.	3.300%	8/23/29	10,150		10,581
	Bank of Nova Scotia	4.375%	1/13/21	1,220		1,250
	Bank of Nova Scotia	2.800%	7/21/21	16,580		16,811
	Bank of Nova Scotia	2.700%	3/7/22	8,400		8,537
	Bank of Nova Scotia	2.000%	11/15/22	3,750		3,754
	Bank of Nova Scotia	2.375%	1/18/23	17,350		17,531
	Bank of Nova Scotia	3.400%	2/11/24	10,000		10,450
	Bank of Nova Scotia	4.500%	12/16/25	19,100		20,897
	Bank of Nova Scotia	2.700%	8/3/26	23,425		23,802
	Bank One Corp.	7.625%	10/15/26	875		1,123
	Bank One Corp.	8.000%	4/29/27	2,500		3,303
	Bank One Michigan	8.250%	11/1/24	6,000		7,475
	Barclays Bank plc	2.650%	1/11/21	7,250		7,291
	Barclays plc	3.250%	1/12/21	9,200		9,264
	Barclays plc	3.200%	8/10/21	3,500		3,541
	Barclays plc	3.684%	1/10/23	18,925		19,378
4	Barclays plc	4.610%	2/15/23	17,800		18,556
4	Barclays plc	4.338%	5/16/24	14,800		15,523
	Barclays plc	3.650%	3/16/25	14,900		15,509
4	Barclays plc	3.932%	5/7/25	7,900		8,298
	Barclays plc	4.375%	1/12/26	17,200		18,622
	Barclays plc	4.337%	1/10/28	9,800		10,500
4	Barclays plc	4.972%	5/16/29	13,600		15,282
	Barclays plc	5.250%	8/17/45	7,250		8,735
	Barclays plc	4.950%	1/10/47	7,850		9,184
	BBVA USA	3.500%	6/11/21	9,025		9,171
	BBVA USA	2.875%	6/29/22	14,100		14,289
	BNP Paribas SA	5.000%	1/15/21	24,204		24,913
	BNP Paribas SA	3.250%	3/3/23	9,025		9,352
7	BNP Paribas SA	3.800%	1/10/24	500		524

47

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	BNP Paribas SA	4.250%	10/15/24	3,600		3,834
	BPCE SA	2.650%	2/3/21	5,275		5,307
	BPCE SA	2.750%	12/2/21	13,750		13,948
7	BPCE SA	3.000%	5/22/22	5,700		5,797
	BPCE SA	4.000%	4/15/24	12,800		13,696
	BPCE SA	3.375%	12/2/26	4,000		4,193
7	BPCE SA	3.250%	1/11/28	275		286
	Canadian Imperial Bank of Commerce	2.700%	2/2/21	9,200		9,268
	Canadian Imperial Bank of Commerce	2.550%	6/16/22	16,025		16,218
	Canadian Imperial Bank of Commerce	3.500%	9/13/23	8,000		8,397
	Canadian Imperial Bank of Commerce	3.100%	4/2/24	10,625		10,940
	Capital One Bank USA NA	3.375%	2/15/23	15,110		15,565
	Capital One Financial Corp.	3.450%	4/30/21	8,000		8,140
	Capital One Financial Corp.	4.750%	7/15/21	445		463
	Capital One Financial Corp.	3.050%	3/9/22	7,350		7,499
	Capital One Financial Corp.	3.200%	1/30/23	22,000		22,621
	Capital One Financial Corp.	3.500%	6/15/23	1,378		1,430
	Capital One Financial Corp.	3.900%	1/29/24	4,000		4,243
	Capital One Financial Corp.	3.750%	4/24/24	9,900		10,387
	Capital One Financial Corp.	3.300%	10/30/24	14,194		14,643
	Capital One Financial Corp.	3.200%	2/5/25	7,000		7,212
	Capital One Financial Corp.	4.250%	4/30/25	3,350		3,644
	Capital One Financial Corp.	4.200%	10/29/25	625		672
	Capital One Financial Corp.	3.750%	7/28/26	12,700		13,313
	Capital One Financial Corp.	3.750%	3/9/27	4,750		5,041
	Capital One Financial Corp.	3.800%	1/31/28	19,950		21,430
	Capital One NA	2.950%	7/23/21	19,500		19,772
	Capital One NA	2.250%	9/13/21	7,600		7,624
	Capital One NA	2.650%	8/8/22	11,900		12,075
	Citibank NA	2.850%	2/12/21	8,900		8,972
	Citibank NA	3.400%	7/23/21	12,725		12,980
4	Citibank NA	3.165%	2/19/22	33,525		33,940
4	Citibank NA	2.844%	5/20/22	11,000		11,135
	Citigroup Inc.	2.700%	3/30/21	25,720		25,906
	Citigroup Inc.	2.350%	8/2/21	7,850		7,889
	Citigroup Inc.	2.900%	12/8/21	35,350		35,876
	Citigroup Inc.	4.500%	1/14/22	13,675		14,324
	Citigroup Inc.	2.750%	4/25/22	21,100		21,440
	Citigroup Inc.	4.050%	7/30/22	9,500		9,925
	Citigroup Inc.	2.700%	10/27/22	5,000		5,080
4	Citigroup Inc.	2.312%	11/4/22	13,025		13,058
4	Citigroup Inc.	3.142%	1/24/23	22,000		22,371
	Citigroup Inc.	3.375%	3/1/23	1,925		1,991
	Citigroup Inc.	3.500%	5/15/23	22,865		23,699
4	Citigroup Inc.	2.876%	7/24/23	13,675		13,907
	Citigroup Inc.	3.875%	10/25/23	25,880		27,480
4	Citigroup Inc.	4.044%	6/1/24	5,000		5,292
	Citigroup Inc.	3.750%	6/16/24	2,400		2,548
	Citigroup Inc.	4.000%	8/5/24	5,525		5,892
	Citigroup Inc.	3.875%	3/26/25	11,325		11,935
4	Citigroup Inc.	3.352%	4/24/25	11,900		12,376
	Citigroup Inc.	3.300%	4/27/25	1,950		2,046
	Citigroup Inc.	4.400%	6/10/25	39,525		42,932

48

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Citigroup Inc.	5.500%	9/13/25	9,400		10,732
	Citigroup Inc.	3.700%	1/12/26	7,702		8,194
	Citigroup Inc.	4.600%	3/9/26	24,650		27,151
	Citigroup Inc.	3.400%	5/1/26	10,250		10,708
	Citigroup Inc.	3.200%	10/21/26	31,250		32,328
	Citigroup Inc.	4.300%	11/20/26	7,850		8,530
	Citigroup Inc.	4.450%	9/29/27	35,500		39,036
4	Citigroup Inc.	3.887%	1/10/28	25,625		27,462
	Citigroup Inc.	6.625%	1/15/28	25		31
4	Citigroup Inc.	3.668%	7/24/28	48,950		51,981
	Citigroup Inc.	4.125%	7/25/28	600		651
4	Citigroup Inc.	3.520%	10/27/28	49,825		52,318
4	Citigroup Inc.	4.075%	4/23/29	4,964		5,428
4	Citigroup Inc.	3.980%	3/20/30	8,325		9,095
4	Citigroup Inc.	2.976%	11/5/30	19,100		19,395
	Citigroup Inc.	6.625%	6/15/32	225		301
	Citigroup Inc.	5.875%	2/22/33	3,000		3,675
	Citigroup Inc.	6.000%	10/31/33	5,485		7,053
	Citigroup Inc.	6.125%	8/25/36	10,418		13,476
4	Citigroup Inc.	3.878%	1/24/39	11,125		12,171
	Citigroup Inc.	8.125%	7/15/39	17,836		29,771
	Citigroup Inc.	5.875%	1/30/42	13,339		18,809
	Citigroup Inc.	6.675%	9/13/43	4,600		6,715
	Citigroup Inc.	4.950%	11/7/43	8,250		9,059
	Citigroup Inc.	5.300%	5/6/44	6,200		7,860
	Citigroup Inc.	4.650%	7/30/45	7,275		8,936
	Citigroup Inc.	4.750%	5/18/46	22,955		27,483
4	Citigroup Inc.	4.281%	4/24/48	1,850		2,174
	Citigroup Inc.	4.650%	7/23/48	11,995		14,954
	Citizens Bank NA	2.550%	5/13/21	550		553
	Citizens Bank NA	2.650%	5/26/22	5,600		5,677
	Citizens Bank NA	3.700%	3/29/23	9,000		9,403
	Citizens Bank NA	3.250%	2/14/22	12,000		12,283
	Citizens Bank NA	3.750%	2/18/26	3,900		4,165
	Citizens Financial Group Inc.	2.375%	7/28/21	1,000		1,002
	Citizens Financial Group Inc.	4.300%	12/3/25	3,950		4,240
	Citizens Financial Group Inc.	2.850%	7/27/26	950		965
	Comerica Bank	4.000%	7/27/25	2,975		3,182
	Comerica Inc.	3.700%	7/31/23	19,887		20,874
	Comerica Inc.	3.800%	7/22/26	850		895
	Comerica Inc.	4.000%	2/1/29	300		326
7	Commonwealth Bank of Australia	2.750%	3/10/22	10,600		10,779
7	Commonwealth Bank of Australia	3.350%	6/4/24	40,150		41,963
7	Commonwealth Bank of Australia	2.625%	9/6/26	500		503
	Cooperatieve Rabobank UA	4.500%	1/11/21	2,040		2,090
	Cooperatieve Rabobank UA	2.500%	1/19/21	35,700		35,866
	Cooperatieve Rabobank UA	2.750%	1/10/22	14,500		14,705
	Cooperatieve Rabobank UA	3.875%	2/8/22	19,821		20,640
	Cooperatieve Rabobank UA	3.950%	11/9/22	20,828		21,727
	Cooperatieve Rabobank UA	4.625%	12/1/23	13,410		14,538
	Cooperatieve Rabobank UA	3.375%	5/21/25	7,592		8,022
	Cooperatieve Rabobank UA	4.375%	8/4/25	11,625		12,574
	Cooperatieve Rabobank UA	3.750%	7/21/26	7,725		8,042
	Cooperatieve Rabobank UA	5.250%	5/24/41	9,855		13,413

49

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Cooperatieve Rabobank UA	5.750%	12/1/43	7,925		10,426
	Cooperatieve Rabobank UA	5.250%	8/4/45	15,873		19,934
	Credit Suisse AG	3.000%	10/29/21	12,050		12,273
	Credit Suisse AG	2.100%	11/12/21	6,900		6,916
	Credit Suisse AG	3.625%	9/9/24	20,492		21,755
7	Credit Suisse Group AG	3.574%	1/9/23	17,625		18,086
7	Credit Suisse Group AG	4.282%	1/9/28	5,700		6,173
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20	8,100		8,172
	Credit Suisse Group Funding Guernsey Ltd.	3.450%	4/16/21	25,505		25,885
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	9/15/22	18,250		18,968
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	6/9/23	18,815		19,683
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25	23,150		24,465
	Credit Suisse Group Funding Guernsey Ltd.	4.550%	4/17/26	9,950		11,034
	Credit Suisse Group Funding Guernsey Ltd.	4.875%	5/15/45	15,550		19,534
	Credit Suisse USA Inc.	7.125%	7/15/32	4,791		7,025
7	Danske Bank A/S	2.800%	3/10/21	200		201
	Deutsche Bank AG	3.125%	1/13/21	5,975		5,988
	Deutsche Bank AG	3.150%	1/22/21	15,800		15,864
	Deutsche Bank AG	3.375%	5/12/21	1,675		1,686
	Deutsche Bank AG	4.250%	10/14/21	20,575		21,151
	Deutsche Bank AG	3.300%	11/16/22	5,900		5,958
	Deutsche Bank AG	3.950%	2/27/23	15,000		15,335
	Deutsche Bank AG	4.100%	1/13/26	3,475		3,544
	Deutsche Bank AG	3.700%	5/30/24	7,800		7,961
	Deutsche Bank AG	4.250%	2/4/21	13,550		13,731
	Deutsche Bank AG	5.000%	2/14/22	3,425		3,575
4	Deutsche Bank AG	3.961%	11/26/25	25,000		25,509
	Discover Bank	3.200%	8/9/21	1,400		1,422
	Discover Bank	3.350%	2/6/23	9,300		9,574
	Discover Bank	4.200%	8/8/23	9,475		10,065
	Discover Bank	2.450%	9/12/24	6,400		6,366
	Discover Bank	4.250%	3/13/26	2,175		2,349
	Discover Bank	3.450%	7/27/26	6,250		6,482
4	Discover Bank	4.682%	8/9/28	3,000		3,130
	Discover Bank	4.650%	9/13/28	6,400		7,174
	Discover Financial Services	5.200%	4/27/22	1,050		1,119
	Discover Financial Services	3.850%	11/21/22	5,630		5,881
	Discover Financial Services	3.950%	11/6/24	15,800		16,744
	Discover Financial Services	3.750%	3/4/25	5,090		5,372
	Discover Financial Services	4.500%	1/30/26	6,600		7,218
	Discover Financial Services	4.100%	2/9/27	5,300		5,681
	Fifth Third Bancorp	3.500%	3/15/22	7,725		7,957
	Fifth Third Bancorp	4.300%	1/16/24	7,050		7,562
	Fifth Third Bancorp	3.650%	1/25/24	38,138		40,118
	Fifth Third Bancorp	2.375%	1/28/25	6,075		6,071
	Fifth Third Bancorp	3.950%	3/14/28	4,400		4,832
	Fifth Third Bancorp	8.250%	3/1/38	9,138		14,048
	Fifth Third Bank	2.250%	6/14/21	16,300		16,364
	Fifth Third Bank	3.350%	7/26/21	5,625		5,742
	Fifth Third Bank	3.950%	7/28/25	10,900		11,820
	Fifth Third Bank	3.850%	3/15/26	10,500		11,154
	First Horizon National Corp.	3.500%	12/15/20	4,350		4,395
	First Republic Bank	2.500%	6/6/22	9,800		9,889
	First Republic Bank	4.375%	8/1/46	1,450		1,570

50

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	First Republic Bank	4.625%	2/13/47	2,675		3,089
	FirstMerit Bank NA	4.270%	11/25/26	2,150		2,303
	Goldman Sachs Capital I	6.345%	2/15/34	9,435		12,254
	Goldman Sachs Group Inc.	2.600%	12/27/20	500		501
	Goldman Sachs Group Inc.	2.875%	2/25/21	21,272		21,472
	Goldman Sachs Group Inc.	2.625%	4/25/21	10,250		10,321
	Goldman Sachs Group Inc.	5.250%	7/27/21	31,736		33,270
	Goldman Sachs Group Inc.	2.350%	11/15/21	8,650		8,680
	Goldman Sachs Group Inc.	5.750%	1/24/22	25,144		26,908
	Goldman Sachs Group Inc.	3.000%	4/26/22	36,520		37,000
4	Goldman Sachs Group Inc.	2.876%	10/31/22	28,525		28,869
	Goldman Sachs Group Inc.	3.625%	1/22/23	24,634		25,574
	Goldman Sachs Group Inc.	3.200%	2/23/23	33,840		34,791
4	Goldman Sachs Group Inc.	2.908%	6/5/23	25,000		25,389
4	Goldman Sachs Group Inc.	2.905%	7/24/23	23,625		23,991
	Goldman Sachs Group Inc.	3.625%	2/20/24	32,500		34,111
	Goldman Sachs Group Inc.	4.000%	3/3/24	29,950		31,802
	Goldman Sachs Group Inc.	3.850%	7/8/24	7,878		8,307
	Goldman Sachs Group Inc.	3.500%	1/23/25	19,080		20,028
	Goldman Sachs Group Inc.	3.750%	5/22/25	9,029		9,556
4	Goldman Sachs Group Inc.	3.272%	9/29/25	38,685		39,924
	Goldman Sachs Group Inc.	4.250%	10/21/25	3,750		4,066
	Goldman Sachs Group Inc.	3.750%	2/25/26	21,600		22,881
	Goldman Sachs Group Inc.	3.500%	11/16/26	33,115		34,539
	Goldman Sachs Group Inc.	5.950%	1/15/27	3,845		4,589
	Goldman Sachs Group Inc.	3.850%	1/26/27	22,750		24,184
4	Goldman Sachs Group Inc.	3.691%	6/5/28	28,075		29,779
4	Goldman Sachs Group Inc.	3.814%	4/23/29	60,359		64,572
4	Goldman Sachs Group Inc.	4.223%	5/1/29	25,275		27,766
	Goldman Sachs Group Inc.	6.450%	5/1/36	8,400		11,112
	Goldman Sachs Group Inc.	6.750%	10/1/37	48,874		67,745
4	Goldman Sachs Group Inc.	4.017%	10/31/38	23,600		25,522
4	Goldman Sachs Group Inc.	4.411%	4/23/39	25,985		29,488
	Goldman Sachs Group Inc.	6.250%	2/1/41	18,091		25,251
	Goldman Sachs Group Inc.	4.800%	7/8/44	31,575		38,216
	Goldman Sachs Group Inc.	5.150%	5/22/45	22,625		27,694
	Goldman Sachs Group Inc.	4.750%	10/21/45	2,200		2,680
	HSBC Bank USA NA	7.000%	1/15/39	7,726		11,262
	HSBC Holdings plc	3.400%	3/8/21	30,973		31,433
	HSBC Holdings plc	5.100%	4/5/21	14,670		15,198
	HSBC Holdings plc	2.950%	5/25/21	30,225		30,590
	HSBC Holdings plc	2.650%	1/5/22	33,405		33,769
	HSBC Holdings plc	4.875%	1/14/22	1,895		1,997
	HSBC Holdings plc	4.000%	3/30/22	6,080		6,326
4	HSBC Holdings plc	3.262%	3/13/23	26,875		27,460
	HSBC Holdings plc	3.600%	5/25/23	25,300		26,311
4	HSBC Holdings plc	3.033%	11/22/23	7,950		8,113
	HSBC Holdings plc	4.250%	3/14/24	10,600		11,249
4	HSBC Holdings plc	3.950%	5/18/24	34,900		36,598
4	HSBC Holdings plc	3.803%	3/11/25	34,125		35,813
4	HSBC Holdings plc	2.633%	11/7/25	14,200		14,167
	HSBC Holdings plc	4.300%	3/8/26	35,305		38,358
	HSBC Holdings plc	3.900%	5/25/26	23,300		24,806
4	HSBC Holdings plc	4.292%	9/12/26	43,400		46,610

51

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	HSBC Holdings plc	4.375%	11/23/26	21,300		23,032
4	HSBC Holdings plc	4.041%	3/13/28	25,200		26,886
4	HSBC Holdings plc	4.583%	6/19/29	19,600		21,866
4	HSBC Holdings plc	3.973%	5/22/30	11,407		12,253
	HSBC Holdings plc	7.625%	5/17/32	575		795
	HSBC Holdings plc	7.350%	11/27/32	600		832
	HSBC Holdings plc	6.500%	5/2/36	13,965		18,986
	HSBC Holdings plc	6.500%	9/15/37	28,615		39,027
	HSBC Holdings plc	6.800%	6/1/38	5,553		7,897
	HSBC Holdings plc	6.100%	1/14/42	3,325		4,716
	HSBC Holdings plc	5.250%	3/14/44	25,750		32,594
	HSBC USA Inc.	3.500%	6/23/24	11,475		12,141
	Huntington Bancshares Inc.	7.000%	12/15/20	6,800		7,101
	Huntington Bancshares Inc.	3.150%	3/14/21	9,700		9,803
	Huntington Bancshares Inc.	2.300%	1/14/22	1,500		1,506
	Huntington Bancshares Inc.	4.000%	5/15/25	3,750		4,038
	Huntington National Bank	3.250%	5/14/21	12,500		12,703
	Huntington National Bank	3.125%	4/1/22	4,500		4,588
	Huntington National Bank	2.500%	8/7/22	10,000		10,112
	Huntington National Bank	3.550%	10/6/23	5,700		5,967
	ING Groep NV	3.150%	3/29/22	3,050		3,113
	ING Groep NV	4.100%	10/2/23	17,000		18,022
	ING Groep NV	3.550%	4/9/24	5,300		5,548
	ING Groep NV	3.950%	3/29/27	10,500		11,290
	ING Groep NV	4.550%	10/2/28	10,800		12,245
	ING Groep NV	4.050%	4/9/29	10,160		11,139
	JPMorgan Chase & Co.	2.550%	3/1/21	18,315		18,418
	JPMorgan Chase & Co.	4.625%	5/10/21	1,140		1,181
	JPMorgan Chase & Co.	2.400%	6/7/21	9,500		9,559
	JPMorgan Chase & Co.	2.295%	8/15/21	47,400		47,483
	JPMorgan Chase & Co.	4.350%	8/15/21	16,115		16,714
	JPMorgan Chase & Co.	4.500%	1/24/22	31,150		32,666
4	JPMorgan Chase & Co.	3.514%	6/18/22	12,625		12,892
	JPMorgan Chase & Co.	3.250%	9/23/22	24,350		25,166
	JPMorgan Chase & Co.	2.972%	1/15/23	13,995		14,268
	JPMorgan Chase & Co.	3.200%	1/25/23	17,125		17,663
4	JPMorgan Chase & Co.	3.207%	4/1/23	14,900		15,224
4	JPMorgan Chase & Co.	2.776%	4/25/23	15,450		15,633
	JPMorgan Chase & Co.	3.375%	5/1/23	15,300		15,883
	JPMorgan Chase & Co.	2.700%	5/18/23	18,475		18,815
	JPMorgan Chase & Co.	3.875%	2/1/24	23,170		24,782
4	JPMorgan Chase & Co.	3.559%	4/23/24	46,855		48,833
	JPMorgan Chase & Co.	3.625%	5/13/24	18,566		19,622
4	JPMorgan Chase & Co.	3.797%	7/23/24	6,025		6,348
	JPMorgan Chase & Co.	3.875%	9/10/24	73,814		78,944
4	JPMorgan Chase & Co.	4.023%	12/5/24	13,000		13,851
	JPMorgan Chase & Co.	3.125%	1/23/25	23,895		24,925
4	JPMorgan Chase & Co.	3.220%	3/1/25	25,850		26,704
	JPMorgan Chase & Co.	3.900%	7/15/25	23,341		25,180
4	JPMorgan Chase & Co.	2.301%	10/15/25	10,000		9,988
	JPMorgan Chase & Co.	3.300%	4/1/26	23,000		24,107
	JPMorgan Chase & Co.	3.200%	6/15/26	17,100		17,801
	JPMorgan Chase & Co.	2.950%	10/1/26	34,625		35,589
	JPMorgan Chase & Co.	4.125%	12/15/26	28,750		31,456

52

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	JPMorgan Chase & Co.	3.960%	1/29/27	14,875		16,096
	JPMorgan Chase & Co.	4.250%	10/1/27	10,100		11,166
	JPMorgan Chase & Co.	3.625%	12/1/27	9,750		10,238
4	JPMorgan Chase & Co.	3.782%	2/1/28	29,075		31,226
4	JPMorgan Chase & Co.	3.540%	5/1/28	17,450		18,483
4	JPMorgan Chase & Co.	3.509%	1/23/29	38,350		40,645
4	JPMorgan Chase & Co.	4.005%	4/23/29	13,930		15,248
4	JPMorgan Chase & Co.	4.203%	7/23/29	39,900		44,425
4	JPMorgan Chase & Co.	4.452%	12/5/29	29,300		33,332
4	JPMorgan Chase & Co.	3.702%	5/6/30	450		485
	JPMorgan Chase & Co.	8.750%	9/1/30	240		350
4	JPMorgan Chase & Co.	2.739%	10/15/30	10,000		10,000
	JPMorgan Chase & Co.	6.400%	5/15/38	11,465		16,532
4	JPMorgan Chase & Co.	3.882%	7/24/38	32,050		35,440
	JPMorgan Chase & Co.	5.500%	10/15/40	29,469		39,394
	JPMorgan Chase & Co.	5.600%	7/15/41	5,442		7,450
	JPMorgan Chase & Co.	5.400%	1/6/42	4,075		5,511
	JPMorgan Chase & Co.	5.625%	8/16/43	14,010		18,789
	JPMorgan Chase & Co.	4.850%	2/1/44	1,000		1,279
	JPMorgan Chase & Co.	4.950%	6/1/45	10,600		13,351
4	JPMorgan Chase & Co.	4.260%	2/22/48	24,500		28,713
4	JPMorgan Chase & Co.	4.032%	7/24/48	16,950		19,196
4	JPMorgan Chase & Co.	3.964%	11/15/48	38,450		43,113
4	JPMorgan Chase & Co.	3.897%	1/23/49	17,870		19,987
	KeyBank NA	3.350%	6/15/21	3,275		3,343
	KeyBank NA	2.500%	11/22/21	11,000		11,122
	KeyBank NA	2.400%	6/9/22	1,550		1,567
	KeyBank NA	2.300%	9/14/22	9,550		9,643
	KeyBank NA	3.375%	3/7/23	4,000		4,157
	KeyBank NA	3.300%	6/1/25	1,125		1,185
	KeyBank NA	3.400%	5/20/26	2,000		2,075
4	KeyBank NA	3.180%	10/15/27	2,625		2,678
	KeyBank NA	6.950%	2/1/28	500		631
	KeyCorp	5.100%	3/24/21	9,090		9,427
	KeyCorp	4.150%	10/29/25	6,750		7,387
	KeyCorp	4.100%	4/30/28	18,000		19,640
	KeyCorp	2.550%	10/1/29	6,400		6,258
	Lloyds Bank plc	6.375%	1/21/21	5,300		5,514
	Lloyds Banking Group plc	3.000%	1/11/22	5,340		5,421
4	Lloyds Banking Group plc	2.858%	3/17/23	10,675		10,777
	Lloyds Banking Group plc	4.050%	8/16/23	34,800		36,721
4	Lloyds Banking Group plc	2.907%	11/7/23	18,670		18,940
	Lloyds Banking Group plc	3.900%	3/12/24	8,500		8,956
	Lloyds Banking Group plc	4.500%	11/4/24	8,300		8,849
	Lloyds Banking Group plc	4.450%	5/8/25	7,000		7,628
	Lloyds Banking Group plc	4.582%	12/10/25	29,946		32,316
	Lloyds Banking Group plc	4.650%	3/24/26	12,514		13,544
	Lloyds Banking Group plc	3.750%	1/11/27	9,750		10,229
	Lloyds Banking Group plc	4.375%	3/22/28	22,510		24,781
	Lloyds Banking Group plc	4.550%	8/16/28	7,150		7,984
4	Lloyds Banking Group plc	3.574%	11/7/28	21,225		22,075
	Lloyds Banking Group plc	5.300%	12/1/45	2,925		3,553
	Lloyds Banking Group plc	4.344%	1/9/48	17,750		19,177
	M&T Bank Corp.	3.550%	7/26/23	4,500		4,729

53

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Manufacturers & Traders Trust Co.	2.625%	1/25/21	13,200		13,257
	Manufacturers & Traders Trust Co.	2.900%	2/6/25	7,195		7,393
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21	12,044		12,162
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21	5,800		5,930
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21	17,150		17,175
	Mitsubishi UFJ Financial Group Inc.	2.998%	2/22/22	11,625		11,838
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22	23,000		23,536
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22	27,675		28,031
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22	7,000		7,100
	Mitsubishi UFJ Financial Group Inc.	3.455%	3/2/23	12,780		13,242
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23	20,000		21,008
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23	3,000		3,020
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24	28,000		29,194
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24	14,800		15,070
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25	11,160		11,859
	Mitsubishi UFJ Financial Group Inc.	3.850%	3/1/26	6,550		7,026
	Mitsubishi UFJ Financial Group Inc.	2.757%	9/13/26	4,500		4,528
	Mitsubishi UFJ Financial Group Inc.	3.677%	2/22/27	8,619		9,148
	Mitsubishi UFJ Financial Group Inc.	3.287%	7/25/27	25,550		26,476
	Mitsubishi UFJ Financial Group Inc.	3.961%	3/2/28	13,650		14,820
	Mitsubishi UFJ Financial Group Inc.	4.050%	9/11/28	4,870		5,369
	Mitsubishi UFJ Financial Group Inc.	3.741%	3/7/29	16,950		18,205
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29	14,225		14,707
	Mitsubishi UFJ Financial Group Inc.	4.286%	7/26/38	2,850		3,278
	Mitsubishi UFJ Financial Group Inc.	3.751%	7/18/39	11,450		12,543
	Mizuho Financial Group Inc.	3.549%	3/5/23	3,175		3,306
4	Mizuho Financial Group Inc.	2.721%	7/16/23	17,775		17,946
4	Mizuho Financial Group Inc.	3.922%	9/11/24	12,650		13,264
4	Mizuho Financial Group Inc.	2.839%	7/16/25	17,775		17,926
4	Mizuho Financial Group Inc.	2.555%	9/13/25	4,275		4,264
	Mizuho Financial Group Inc.	4.018%	3/5/28	23,350		25,413
4	Mizuho Financial Group Inc.	4.254%	9/11/29	5,600		6,199
4	Mizuho Financial Group Inc.	3.153%	7/16/30	27,200		27,775
4	Mizuho Financial Group Inc.	2.869%	9/13/30	4,275		4,302
	Morgan Stanley	5.750%	1/25/21	12,940		13,415
	Morgan Stanley	2.500%	4/21/21	25,300		25,411
	Morgan Stanley	5.500%	7/28/21	3,275		3,447
	Morgan Stanley	2.625%	11/17/21	10,435		10,552
	Morgan Stanley	2.750%	5/19/22	32,475		33,041
	Morgan Stanley	4.875%	11/1/22	16,525		17,695
	Morgan Stanley	3.125%	1/23/23	25,025		25,703
	Morgan Stanley	3.750%	2/25/23	42,140		44,011
	Morgan Stanley	4.100%	5/22/23	20,525		21,600
4	Morgan Stanley	3.737%	4/24/24	9,150		9,528
	Morgan Stanley	3.875%	4/29/24	26,540		28,153
	Morgan Stanley	3.700%	10/23/24	25,302		26,802
	Morgan Stanley	4.000%	7/23/25	46,975		50,801
	Morgan Stanley	5.000%	11/24/25	25,290		28,397
	Morgan Stanley	3.875%	1/27/26	28,029		30,064
	Morgan Stanley	3.125%	7/27/26	37,700		38,805
	Morgan Stanley	6.250%	8/9/26	9,650		11,716
	Morgan Stanley	4.350%	9/8/26	19,070		20,818
	Morgan Stanley	3.625%	1/20/27	16,785		17,822
	Morgan Stanley	3.950%	4/23/27	5,255		5,618

54

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Morgan Stanley	3.591%	7/22/28	40,765		43,186
4	Morgan Stanley	3.772%	1/24/29	19,225		20,651
4	Morgan Stanley	4.431%	1/23/30	19,537		22,047
	Morgan Stanley	7.250%	4/1/32	7,000		10,048
4	Morgan Stanley	3.971%	7/22/38	1,850		2,052
4	Morgan Stanley	4.457%	4/22/39	18,825		22,156
	Morgan Stanley	6.375%	7/24/42	28,425		41,849
	Morgan Stanley	4.300%	1/27/45	34,625		40,660
	MUFG Americas Holdings Corp.	3.500%	6/18/22	5,600		5,795
	MUFG Americas Holdings Corp.	3.000%	2/10/25	3,700		3,759
	MUFG Union Bank NA	3.150%	4/1/22	31,800		32,513
	MUFG Union Bank NA	2.100%	12/9/22	19,290		19,329
	National Australia Bank Ltd.	2.500%	1/12/21	300		301
	National Australia Bank Ltd.	2.625%	1/14/21	4,000		4,023
	National Australia Bank Ltd.	1.875%	7/12/21	5,500		5,493
	National Australia Bank Ltd.	3.375%	9/20/21	8,750		8,961
	National Australia Bank Ltd.	3.700%	11/4/21	6,000		6,191
	National Australia Bank Ltd.	2.800%	1/10/22	3,250		3,301
	National Australia Bank Ltd.	2.500%	5/22/22	15,800		15,988
	National Australia Bank Ltd.	3.000%	1/20/23	3,200		3,277
	National Australia Bank Ltd.	3.625%	6/20/23	12,000		12,555
	National Australia Bank Ltd.	3.375%	1/14/26	3,350		3,510
	National Australia Bank Ltd.	2.500%	7/12/26	12,175		12,222
	Northern Trust Corp.	2.375%	8/2/22	5,480		5,527
	Northern Trust Corp.	3.950%	10/30/25	8,750		9,419
	Northern Trust Corp.	3.650%	8/3/28	3,425		3,700
	Northern Trust Corp.	3.150%	5/3/29	4,200		4,421
4	Northern Trust Corp.	3.375%	5/8/32	4,950		5,016
	People’s United Bank NA	4.000%	7/15/24	3,000		3,122
	People’s United Financial Inc.	3.650%	12/6/22	5,695		5,915
	PNC Bank NA	2.500%	1/22/21	2,400		2,411
	PNC Bank NA	2.150%	4/29/21	15,000		15,030
	PNC Bank NA	2.550%	12/9/21	17,100		17,242
	PNC Bank NA	2.625%	2/17/22	20,800		21,015
	PNC Bank NA	2.450%	7/28/22	925		934
	PNC Bank NA	2.700%	11/1/22	16,088		16,242
4	PNC Bank NA	2.028%	12/9/22	6,440		6,445
	PNC Bank NA	2.950%	1/30/23	4,500		4,591
	PNC Bank NA	3.300%	10/30/24	3,850		4,004
	PNC Bank NA	2.950%	2/23/25	5,750		5,880
	PNC Bank NA	3.250%	6/1/25	4,550		4,765
	PNC Bank NA	4.200%	11/1/25	4,625		5,027
	PNC Bank NA	3.100%	10/25/27	275		287
	PNC Bank NA	3.250%	1/22/28	10,775		11,312
	PNC Bank NA	4.050%	7/26/28	5,750		6,312
	PNC Bank NA	2.700%	10/22/29	3,500		3,479
	PNC Financial Services Group Inc.	2.854%	11/9/22	5,300		5,392
	PNC Financial Services Group Inc.	3.500%	1/23/24	27,050		28,391
	PNC Financial Services Group Inc.	3.900%	4/29/24	17,900		18,811
	PNC Financial Services Group Inc.	3.150%	5/19/27	19,075		19,711
	PNC Financial Services Group Inc.	3.450%	4/23/29	13,400		14,239
	PNC Funding Corp.	3.300%	3/8/22	2,740		2,814
	Regions Bank	2.750%	4/1/21	4,700		4,733
	Regions Bank	6.450%	6/26/37	1,229		1,578

55

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Regions Bank	3.374%	8/13/21	5,950		5,995
	Regions Financial Corp.	2.750%	8/14/22	2,625		2,670
	Regions Financial Corp.	3.800%	8/14/23	7,000		7,380
	Regions Financial Corp.	7.375%	12/10/37	7,000		9,890
	Royal Bank of Canada	2.500%	1/19/21	5,000		5,022
	Royal Bank of Canada	3.200%	4/30/21	25,100		25,545
	Royal Bank of Canada	2.750%	2/1/22	13,000		13,215
	Royal Bank of Canada	2.800%	4/29/22	14,000		14,265
	Royal Bank of Canada	3.700%	10/5/23	8,800		9,279
	Royal Bank of Canada	2.550%	7/16/24	7,800		7,916
	Royal Bank of Canada	2.250%	11/1/24	35,000		35,162
	Royal Bank of Canada	4.650%	1/27/26	6,400		7,104
	Royal Bank of Scotland Group plc	6.125%	12/15/22	5,000		5,469
4	Royal Bank of Scotland Group plc	3.498%	5/15/23	10,050		10,263
	Royal Bank of Scotland Group plc	6.100%	6/10/23	8,000		8,790
	Royal Bank of Scotland Group plc	3.875%	9/12/23	24,300		25,401
	Royal Bank of Scotland Group plc	6.000%	12/19/23	5,550		6,169
	Royal Bank of Scotland Group plc	5.125%	5/28/24	23,143		25,058
4	Royal Bank of Scotland Group plc	4.519%	6/25/24	22,000		23,317
4	Royal Bank of Scotland Group plc	4.269%	3/22/25	11,500		12,198
	Royal Bank of Scotland Group plc	4.800%	4/5/26	1,700		1,883
4	Royal Bank of Scotland Group plc	4.892%	5/18/29	20,000		22,547
4	Royal Bank of Scotland Group plc	3.754%	11/1/29	2,225		2,270
4	Royal Bank of Scotland Group plc	5.076%	1/27/30	34,200		39,233
4	Royal Bank of Scotland Group plc	4.445%	5/8/30	10,000		11,006
	Santander Holdings USA Inc.	3.400%	1/18/23	11,400		11,684
	Santander Holdings USA Inc.	3.500%	6/7/24	5,000		5,139
	Santander Holdings USA Inc.	4.500%	7/17/25	19,500		20,967
7	Santander Holdings USA Inc.	3.244%	10/5/26	28,318		28,449
	Santander Holdings USA Inc.	4.400%	7/13/27	12,150		13,091
	Santander UK Group Holdings plc	3.125%	1/8/21	8,300		8,368
	Santander UK Group Holdings plc	2.875%	8/5/21	7,375		7,446
	Santander UK Group Holdings plc	3.571%	1/10/23	7,000		7,159
4	Santander UK Group Holdings plc	3.373%	1/5/24	7,300		7,454
4	Santander UK Group Holdings plc	3.823%	11/3/28	4,000		4,200
	Santander UK plc	3.400%	6/1/21	14,650		14,943
	Santander UK plc	4.000%	3/13/24	12,350		13,154
	Santander UK plc	2.875%	6/18/24	8,700		8,879
	Skandinaviska Enskilda Banken AB	2.625%	3/15/21	8,800		8,858
	Skandinaviska Enskilda Banken AB	1.875%	9/13/21	20,850		20,776
	Skandinaviska Enskilda Banken AB	2.800%	3/11/22	5,500		5,580
	State Street Corp.	4.375%	3/7/21	1,185		1,219
	State Street Corp.	1.950%	5/19/21	26,097		26,116
4	State Street Corp.	2.653%	5/15/23	12,000		12,184
	State Street Corp.	3.100%	5/15/23	19,007		19,518
	State Street Corp.	3.700%	11/20/23	373		396
4	State Street Corp.	3.776%	12/3/24	5,800		6,114
	State Street Corp.	3.300%	12/16/24	2,500		2,636
	State Street Corp.	3.550%	8/18/25	11,086		11,914
4	State Street Corp.	2.354%	11/1/25	13,825		13,841
	State Street Corp.	2.650%	5/19/26	4,725		4,797
4	State Street Corp.	4.141%	12/3/29	2,250		2,512
4	State Street Corp.	3.031%	11/1/34	17,850		17,804
	Sumitomo Mitsui Banking Corp.	3.200%	7/18/22	1,725		1,772

56

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Sumitomo Mitsui Banking Corp.	3.000%	1/18/23	550		560
	Sumitomo Mitsui Banking Corp.	3.950%	7/19/23	5,350		5,652
	Sumitomo Mitsui Banking Corp.	3.950%	1/10/24	5,875		6,216
	Sumitomo Mitsui Banking Corp.	3.400%	7/11/24	9,400		9,815
	Sumitomo Mitsui Banking Corp.	3.650%	7/23/25	2,500		2,658
	Sumitomo Mitsui Financial Group Inc.	2.934%	3/9/21	4,545		4,598
	Sumitomo Mitsui Financial Group Inc.	2.058%	7/14/21	6,850		6,858
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21	8,950		9,010
	Sumitomo Mitsui Financial Group Inc.	2.846%	1/11/22	10,000		10,145
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22	8,350		8,491
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22	8,000		8,123
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23	7,500		7,671
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23	10,000		10,478
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23	7,262		7,680
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24	34,950		35,422
	Sumitomo Mitsui Financial Group Inc.	2.448%	9/27/24	33,700		33,751
	Sumitomo Mitsui Financial Group Inc.	3.784%	3/9/26	26,600		28,327
	Sumitomo Mitsui Financial Group Inc.	2.632%	7/14/26	17,900		17,925
	Sumitomo Mitsui Financial Group Inc.	3.010%	10/19/26	16,425		16,729
	Sumitomo Mitsui Financial Group Inc.	3.446%	1/11/27	2,000		2,093
	Sumitomo Mitsui Financial Group Inc.	3.364%	7/12/27	11,650		12,132
	Sumitomo Mitsui Financial Group Inc.	3.544%	1/17/28	14,400		15,201
	Sumitomo Mitsui Financial Group Inc.	3.944%	7/19/28	8,775		9,565
	Sumitomo Mitsui Financial Group Inc.	4.306%	10/16/28	3,575		3,987
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29	12,500		12,728
	Sumitomo Mitsui Financial Group Inc.	3.202%	9/17/29	6,400		6,461
	Sumitomo Mitsui Financial Group Inc.	2.724%	9/27/29	13,600		13,444
	SVB Financial Group	3.500%	1/29/25	2,250		2,350
	Svenska Handelsbanken AB	2.450%	3/30/21	15,750		15,841
	Svenska Handelsbanken AB	3.350%	5/24/21	26,000		26,481
	Svenska Handelsbanken AB	1.875%	9/7/21	4,525		4,515
	Synchrony Bank	3.650%	5/24/21	5,900		6,016
	Synchrony Bank	3.000%	6/15/22	2,375		2,419
	Synchrony Financial	3.750%	8/15/21	7,450		7,616
	Synchrony Financial	2.850%	7/25/22	1,900		1,925
	Synchrony Financial	4.375%	3/19/24	1,625		1,727
	Synchrony Financial	4.250%	8/15/24	6,850		7,308
	Synchrony Financial	4.500%	7/23/25	15,525		16,771
	Synchrony Financial	3.700%	8/4/26	4,325		4,457
	Synchrony Financial	3.950%	12/1/27	12,415		13,032
	Synchrony Financial	5.150%	3/19/29	1,250		1,420
	Synovus Financial Corp.	3.125%	11/1/22	2,775		2,810
	Toronto-Dominion Bank	2.500%	12/14/20	19,500		19,608
	Toronto-Dominion Bank	2.550%	1/25/21	36,625		36,832
	Toronto-Dominion Bank	2.125%	4/7/21	18,600		18,666
	Toronto-Dominion Bank	1.800%	7/13/21	17,100		17,094
	Toronto-Dominion Bank	1.900%	12/1/22	9,950		9,951
	Toronto-Dominion Bank	3.500%	7/19/23	5,000		5,264
	Toronto-Dominion Bank	3.250%	3/11/24	19,900		20,763
	Toronto-Dominion Bank	2.650%	6/12/24	7,500		7,645
4	Toronto-Dominion Bank	3.625%	9/15/31	6,400		6,688
	Truist Bank	2.850%	4/1/21	3,000		3,030
	Truist Bank	2.625%	1/15/22	10,232		10,359
	Truist Bank	2.800%	5/17/22	4,000		4,070

57

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Truist Bank	2.450%	8/1/22	8,583		8,670
4	Truist Bank	3.502%	8/2/22	4,400		4,493
	Truist Bank	3.000%	2/2/23	5,000		5,119
	Truist Bank	2.750%	5/1/23	2,150		2,181
	Truist Bank	3.200%	4/1/24	39,615		41,125
4	Truist Bank	3.689%	8/2/24	8,900		9,323
	Truist Bank	2.150%	12/6/24	11,635		11,613
	Truist Bank	3.625%	9/16/25	9,350		9,945
	Truist Bank	3.300%	5/15/26	3,000		3,119
	Truist Bank	3.800%	10/30/26	3,450		3,697
	Truist Financial Corp	2.900%	3/3/21	2,525		2,546
	Truist Financial Corp.	2.150%	2/1/21	6,575		6,587
	Truist Financial Corp.	2.050%	5/10/21	14,025		14,035
	Truist Financial Corp.	3.200%	9/3/21	8,000		8,160
	Truist Financial Corp.	2.700%	1/27/22	10,025		10,162
	Truist Financial Corp.	3.950%	3/22/22	2,049		2,123
	Truist Financial Corp.	2.750%	4/1/22	7,000		7,122
	Truist Financial Corp.	3.050%	6/20/22	7,000		7,141
	Truist Financial Corp.	3.750%	12/6/23	600		634
	Truist Financial Corp.	2.500%	8/1/24	10,525		10,649
	Truist Financial Corp.	2.850%	10/26/24	21,739		22,464
	Truist Financial Corp.	4.000%	5/1/25	5,000		5,409
	Truist Financial Corp.	3.700%	6/5/25	13,500		14,541
	Truist Financial Corp.	3.875%	3/19/29	6,609		7,115
7	UBS AG	2.450%	12/1/20	20,000		20,064
	US Bancorp	2.350%	1/29/21	3,675		3,691
	US Bancorp	4.125%	5/24/21	2,515		2,587
	US Bancorp	2.625%	1/24/22	10,050		10,200
	US Bancorp	3.000%	3/15/22	4,225		4,321
	US Bancorp	2.950%	7/15/22	10,725		10,996
	US Bancorp	3.700%	1/30/24	11,050		11,743
	US Bancorp	3.375%	2/5/24	11,500		12,036
	US Bancorp	2.400%	7/30/24	11,100		11,235
	US Bancorp	3.600%	9/11/24	12,445		13,199
	US Bancorp	3.950%	11/17/25	1,318		1,449
	US Bancorp	3.100%	4/27/26	4,450		4,632
	US Bancorp	2.375%	7/22/26	20,550		20,600
	US Bancorp	3.150%	4/27/27	13,000		13,601
	US Bancorp	3.900%	4/26/28	5,600		6,281
	US Bancorp	3.000%	7/30/29	3,000		3,070
	US Bank NA	2.850%	1/23/23	4,625		4,746
	US Bank NA	3.400%	7/24/23	7,825		8,184
	US Bank NA	2.800%	1/27/25	17,050		17,571
	US Bank NA	3.450%	11/16/21	3,700		3,805
	US Bank NA	2.650%	5/23/22	10,250		10,427
	US Bank NA	1.950%	1/9/23	15,450		15,464
	Wachovia Corp.	6.605%	10/1/25	1,150		1,358
	Wachovia Corp.	7.500%	4/15/35	500		700
	Wachovia Corp.	5.500%	8/1/35	4,725		5,981
	Wachovia Corp.	6.550%	10/15/35	250		320
	Wells Fargo & Co.	2.550%	12/7/20	5,325		5,348
	Wells Fargo & Co.	3.000%	1/22/21	11,010		11,135
	Wells Fargo & Co.	2.500%	3/4/21	23,225		23,386
	Wells Fargo & Co.	4.600%	4/1/21	15,015		15,474
	Wells Fargo & Co.	2.100%	7/26/21	47,400		47,477

58

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Wells Fargo & Co.	3.500%	3/8/22	7,815		8,055
	Wells Fargo & Co.	2.625%	7/22/22	36,750		37,243
	Wells Fargo & Co.	3.069%	1/24/23	54,147		55,075
	Wells Fargo & Co.	3.450%	2/13/23	23,387		24,191
	Wells Fargo & Co.	4.125%	8/15/23	26,812		28,427
	Wells Fargo & Co.	4.480%	1/16/24	6,800		7,324
	Wells Fargo & Co.	3.750%	1/24/24	5,710		6,014
	Wells Fargo & Co.	3.300%	9/9/24	21,735		22,750
	Wells Fargo & Co.	3.000%	2/19/25	22,775		23,488
	Wells Fargo & Co.	3.550%	9/29/25	18,600		19,651
4	Wells Fargo & Co.	2.406%	10/30/25	55,000		54,863
	Wells Fargo & Co.	3.000%	4/22/26	29,975		30,831
	Wells Fargo & Co.	4.100%	6/3/26	27,600		29,668
	Wells Fargo & Co.	3.000%	10/23/26	23,423		23,941
4	Wells Fargo & Co.	3.196%	6/17/27	20,000		20,702
	Wells Fargo & Co.	4.300%	7/22/27	17,125		18,689
4	Wells Fargo & Co.	3.584%	5/22/28	15,825		16,779
	Wells Fargo & Co.	4.150%	1/24/29	25,500		28,333
4	Wells Fargo & Co.	2.879%	10/30/30	51,375		51,679
	Wells Fargo & Co.	5.375%	2/7/35	9,100		11,732
	Wells Fargo & Co.	5.375%	11/2/43	30,854		38,870
	Wells Fargo & Co.	5.606%	1/15/44	15,600		20,629
	Wells Fargo & Co.	4.650%	11/4/44	16,595		19,437
	Wells Fargo & Co.	3.900%	5/1/45	7,705		8,748
	Wells Fargo & Co.	4.900%	11/17/45	19,525		23,830
	Wells Fargo & Co.	4.400%	6/14/46	7,400		8,489
	Wells Fargo & Co.	4.750%	12/7/46	21,825		25,995
	Wells Fargo Bank NA	2.600%	1/15/21	26,450		26,598
4	Wells Fargo Bank NA	3.325%	7/23/21	15,505		15,607
	Wells Fargo Bank NA	3.625%	10/22/21	14,850		15,277
4	Wells Fargo Bank NA	2.897%	5/27/22	9,000		9,097
	Wells Fargo Bank NA	3.550%	8/14/23	24,875		25,985
	Wells Fargo Bank NA	5.950%	8/26/36	3,700		4,904
	Wells Fargo Bank NA	5.850%	2/1/37	11,275		14,955
	Wells Fargo Bank NA	6.600%	1/15/38	10,645		15,308
4	Wells Fargo Capital X	5.950%	12/1/86	3,425		4,204
	Westpac Banking Corp.	2.650%	1/25/21	4,875		4,907
	Westpac Banking Corp.	2.100%	5/13/21	28,075		28,103
	Westpac Banking Corp.	2.000%	8/19/21	8,750		8,751
	Westpac Banking Corp.	2.500%	6/28/22	28,000		28,297
	Westpac Banking Corp.	2.750%	1/11/23	8,000		8,132
	Westpac Banking Corp.	3.650%	5/15/23	7,400		7,757
	Westpac Banking Corp.	3.300%	2/26/24	10,700		11,130
	Westpac Banking Corp.	2.350%	2/19/25	25,000		25,046
	Westpac Banking Corp.	2.850%	5/13/26	17,925		18,301
	Westpac Banking Corp.	2.700%	8/19/26	1,550		1,567
	Westpac Banking Corp.	3.350%	3/8/27	11,900		12,582
	Westpac Banking Corp.	3.400%	1/25/28	150		159
4	Westpac Banking Corp.	4.322%	11/23/31	17,460		18,420
	Westpac Banking Corp.	4.110%	7/24/34	3,300		3,436
	Westpac Banking Corp.	4.421%	7/24/39	3,550		3,892
	Zions Bancorp NA	3.500%	8/27/21	9,050		9,220
	Zions Bancorp NA	3.250%	10/29/29	3,090		3,032

59

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Brokerage (0.2%)
	Affiliated Managers Group Inc.	4.250%	2/15/24	3,122		3,324
	Affiliated Managers Group Inc.	3.500%	8/1/25	4,300		4,490
	Ameriprise Financial Inc.	3.000%	3/22/22	1,000		1,022
	Ameriprise Financial Inc.	4.000%	10/15/23	12,499		13,334
	Ameriprise Financial Inc.	3.700%	10/15/24	4,500		4,805
	Ameriprise Financial Inc.	2.875%	9/15/26	4,300		4,393
	BGC Partners Inc.	5.125%	5/27/21	3,450		3,558
	BGC Partners Inc.	3.750%	10/1/24	3,376		3,369
	BlackRock Inc.	4.250%	5/24/21	5,725		5,914
	BlackRock Inc.	3.375%	6/1/22	11,744		12,160
	BlackRock Inc.	3.500%	3/18/24	7,650		8,121
	BlackRock Inc.	3.200%	3/15/27	6,000		6,341
	BlackRock Inc.	3.250%	4/30/29	5,000		5,340
	Brookfield Asset Management Inc.	4.000%	1/15/25	4,725		5,068
	Brookfield Finance Inc.	4.250%	6/2/26	1,015		1,101
	Brookfield Finance Inc.	3.900%	1/25/28	5,500		5,904
	Brookfield Finance Inc.	4.850%	3/29/29	8,625		9,882
	Brookfield Finance Inc.	4.700%	9/20/47	8,175		9,359
	Brookfield Finance LLC	4.000%	4/1/24	9,920		10,638
	Cboe Global Markets Inc.	3.650%	1/12/27	4,910		5,266
	Charles Schwab Corp.	3.250%	5/21/21	10,400		10,590
	Charles Schwab Corp.	3.225%	9/1/22	4,464		4,604
	Charles Schwab Corp.	2.650%	1/25/23	7,225		7,373
	Charles Schwab Corp.	3.550%	2/1/24	10,180		10,734
	Charles Schwab Corp.	3.850%	5/21/25	2,000		2,163
	Charles Schwab Corp.	3.450%	2/13/26	3,225		3,403
	Charles Schwab Corp.	3.200%	3/2/27	3,500		3,673
	Charles Schwab Corp.	3.200%	1/25/28	5,350		5,591
	Charles Schwab Corp.	4.000%	2/1/29	6,000		6,641
	Charles Schwab Corp.	3.250%	5/22/29	5,540		5,845
	CME Group Inc.	3.000%	9/15/22	20,055		20,623
	CME Group Inc.	3.000%	3/15/25	750		776
	CME Group Inc.	3.750%	6/15/28	2,671		2,948
	CME Group Inc.	5.300%	9/15/43	7,140		9,554
	CME Group Inc.	4.150%	6/15/48	5,975		7,135
	E*TRADE Financial Corp.	2.950%	8/24/22	4,262		4,326
	E*TRADE Financial Corp.	3.800%	8/24/27	5,250		5,478
	E*TRADE Financial Corp.	4.500%	6/20/28	3,630		3,950
	Eaton Vance Corp.	3.625%	6/15/23	2,875		3,007
	Eaton Vance Corp.	3.500%	4/6/27	2,600		2,745
	Franklin Resources Inc.	2.800%	9/15/22	6,875		7,053
	Franklin Resources Inc.	2.850%	3/30/25	3,000		3,088
	Intercontinental Exchange Inc.	2.750%	12/1/20	4,925		4,956
	Intercontinental Exchange Inc.	2.350%	9/15/22	5,375		5,430
	Intercontinental Exchange Inc.	3.450%	9/21/23	3,500		3,664
	Intercontinental Exchange Inc.	4.000%	10/15/23	9,975		10,638
	Intercontinental Exchange Inc.	3.750%	12/1/25	10,115		10,887
	Intercontinental Exchange Inc.	3.100%	9/15/27	5,100		5,340
	Intercontinental Exchange Inc.	3.750%	9/21/28	4,375		4,774
	Intercontinental Exchange Inc.	4.250%	9/21/48	7,750		9,154
	Invesco Finance plc	3.125%	11/30/22	16,300		16,751
	Invesco Finance plc	4.000%	1/30/24	14,250		15,093
	Invesco Finance plc	3.750%	1/15/26	10		11

60

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Invesco Finance plc	5.375%	11/30/43	7,125		8,588
	Janus Capital Group Inc.	4.875%	8/1/25	2,400		2,580
	Jefferies Financial Group Inc.	5.500%	10/18/23	7,200		7,835
	Jefferies Group LLC	6.875%	4/15/21	5,345		5,646
	Jefferies Group LLC	5.125%	1/20/23	2,400		2,586
	Jefferies Group LLC	4.850%	1/15/27	11,100		12,285
	Jefferies Group LLC	6.450%	6/8/27	1,235		1,437
	Jefferies Group LLC	6.250%	1/15/36	3,055		3,628
	Jefferies Group LLC	6.500%	1/20/43	4,305		5,119
	Jefferies Group LLC / Jefferies Group Capital Finance Inc.	4.150%	1/23/30	14,285		15,049
	Lazard Group LLC	3.750%	2/13/25	100		105
	Lazard Group LLC	3.625%	3/1/27	5,075		5,189
	Lazard Group LLC	4.500%	9/19/28	9,350		10,376
	Legg Mason Inc.	4.750%	3/15/26	3,502		3,836
	Legg Mason Inc.	5.625%	1/15/44	4,875		5,534
	Nasdaq Inc.	4.250%	6/1/24	4,325		4,658
	Nasdaq Inc.	3.850%	6/30/26	4,350		4,654
	Raymond James Financial Inc.	3.625%	9/15/26	3,066		3,238
	Raymond James Financial Inc.	4.950%	7/15/46	7,275		8,623
	Stifel Financial Corp.	3.500%	12/1/20	3,475		3,512
	Stifel Financial Corp.	4.250%	7/18/24	10,548		11,111
	TD Ameritrade Holding Corp.	2.950%	4/1/22	10,775		11,006
	TD Ameritrade Holding Corp.	3.625%	4/1/25	1,900		2,016
	TD Ameritrade Holding Corp.	3.300%	4/1/27	8,850		9,243
	TD Ameritrade Holding Corp.	2.750%	10/1/29	2,590		2,606
	Finance Companies (0.2%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	10/1/25	6,375		6,853
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.650%	7/21/27	6,800		6,970
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.500%	5/15/21	6,685		6,894
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	5.000%	10/1/21	8,620		9,029
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	12/16/21	1,330		1,383
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.950%	2/1/22	8,400		8,673
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	5/26/22	2,125		2,181
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.625%	7/1/22	6,850		7,235
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.300%	1/23/23	5,045		5,165
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.125%	7/3/23	1,000		1,052
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.875%	1/16/24	970		1,051
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	1/15/25	2,050		2,111
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.875%	1/23/28	15,650		16,198

61

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Air Lease Corp.	2.500%	3/1/21	10,025		10,063
	Air Lease Corp.	3.875%	4/1/21	9,743		9,935
	Air Lease Corp.	3.375%	6/1/21	2,025		2,055
	Air Lease Corp.	3.500%	1/15/22	11,465		11,752
	Air Lease Corp.	3.750%	2/1/22	5,625		5,787
	Air Lease Corp.	2.625%	7/1/22	5,000		5,044
	Air Lease Corp.	2.250%	1/15/23	1,000		1,000
	Air Lease Corp.	2.750%	1/15/23	4,000		4,050
	Air Lease Corp.	3.875%	7/3/23	4,350		4,570
	Air Lease Corp.	3.000%	9/15/23	7,825		8,007
	Air Lease Corp.	4.250%	2/1/24	6,350		6,801
	Air Lease Corp.	4.250%	9/15/24	600		643
	Air Lease Corp.	3.250%	3/1/25	7,000		7,200
	Air Lease Corp.	3.750%	6/1/26	2,000		2,088
	Air Lease Corp.	3.625%	4/1/27	6,775		7,031
	Air Lease Corp.	3.625%	12/1/27	5,700		5,894
	Air Lease Corp.	4.625%	10/1/28	4,300		4,744
	Air Lease Corp.	3.250%	10/1/29	4,265		4,241
	Aircastle Ltd.	4.400%	9/25/23	5,800		6,146
	Aircastle Ltd.	4.125%	5/1/24	5,463		5,728
	Aircastle Ltd.	4.250%	6/15/26	5,000		5,273
	Ares Capital Corp.	3.500%	2/10/23	11,500		11,688
	Ares Capital Corp.	4.200%	6/10/24	6,610		6,942
	Ares Capital Corp.	4.250%	3/1/25	5,900		6,158
	FS KKR Capital Corp.	4.750%	5/15/22	3,125		3,208
	FS KKR Capital Corp.	4.625%	7/15/24	4,375		4,536
	FS KKR Capital Corp.	4.125%	2/1/25	3,800		3,851
	GATX Corp.	3.250%	3/30/25	2,300		2,364
	GATX Corp.	3.250%	9/15/26	2,800		2,836
	GATX Corp.	3.850%	3/30/27	4,000		4,177
	GATX Corp.	3.500%	3/15/28	7,000		7,127
	GATX Corp.	4.550%	11/7/28	2,585		2,823
	GATX Corp.	4.700%	4/1/29	4,000		4,457
	GATX Corp.	5.200%	3/15/44	325		378
	GATX Corp.	4.500%	3/30/45	2,175		2,248
	GE Capital International Funding Co. Unlimited Co.	3.373%	11/15/25	11,968		12,410
	GE Capital International Funding Co. Unlimited Co.	4.418%	11/15/35	103,691		110,148
	International Lease Finance Corp.	8.250%	12/15/20	9,702		10,240
	International Lease Finance Corp.	4.625%	4/15/21	3,260		3,356
	International Lease Finance Corp.	8.625%	1/15/22	24,045		27,036
	International Lease Finance Corp.	5.875%	8/15/22	8,212		8,947
	Owl Rock Capital Corp.	5.250%	4/15/24	1,000		1,058
	Owl Rock Capital Corp.	4.000%	3/30/25	1,000		1,003
	Prospect Capital Corp.	5.875%	3/15/23	550		582
	TPG Specialty Lending Inc.	3.875%	11/1/24	2,200		2,213
	Insurance (1.2%)
	ACE Capital Trust II	9.700%	4/1/30	725		1,087
	AEGON Funding Co. LLC	5.750%	12/15/20	4,731		4,890
4	Aegon NV	5.500%	4/11/48	4,000		4,345
	Aetna Inc.	2.750%	11/15/22	10,160		10,318
	Aetna Inc.	2.800%	6/15/23	14,700		14,930

62

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Aetna Inc.	3.500%	11/15/24	6,500		6,788
	Aetna Inc.	6.625%	6/15/36	5,400		7,218
	Aetna Inc.	6.750%	12/15/37	3,000		4,028
	Aetna Inc.	4.500%	5/15/42	4,325		4,616
	Aetna Inc.	4.125%	11/15/42	2,525		2,584
	Aetna Inc.	4.750%	3/15/44	400		432
	Aetna Inc.	3.875%	8/15/47	9,075		9,170
	Aflac Inc.	3.625%	6/15/23	8,280		8,706
	Aflac Inc.	3.625%	11/15/24	4,610		4,927
	Aflac Inc.	3.250%	3/17/25	5,175		5,431
	Aflac Inc.	2.875%	10/15/26	7,775		8,000
	Aflac Inc.	4.000%	10/15/46	1,200		1,304
	Aflac Inc.	4.750%	1/15/49	4,450		5,299
	Alleghany Corp.	4.950%	6/27/22	2,950		3,134
	Alleghany Corp.	4.900%	9/15/44	4,575		5,337
	Allied World Assurance Co. Holdings Ltd.	4.350%	10/29/25	5,400		5,607
	Allstate Corp.	3.150%	6/15/23	9,742		10,110
	Allstate Corp.	3.280%	12/15/26	4,000		4,220
	Allstate Corp.	5.350%	6/1/33	1,700		2,124
	Allstate Corp.	5.550%	5/9/35	495		625
	Allstate Corp.	5.950%	4/1/36	525		710
	Allstate Corp.	4.500%	6/15/43	5,950		7,106
	Allstate Corp.	4.200%	12/15/46	8,625		9,929
	Allstate Corp.	3.850%	8/10/49	2,280		2,533
4	Allstate Corp.	5.750%	8/15/53	5,450		5,845
4	Allstate Corp.	6.500%	5/15/67	2,575		3,180
	American Equity Investment Life Holding Co.	5.000%	6/15/27	4,000		4,280
	American Financial Group Inc.	3.500%	8/15/26	2,825		2,898
	American Financial Group Inc.	4.500%	6/15/47	5,830		6,291
	American International Group Inc.	6.400%	12/15/20	15,850		16,495
	American International Group Inc.	3.300%	3/1/21	5,825		5,901
	American International Group Inc.	4.875%	6/1/22	13,425		14,329
	American International Group Inc.	4.125%	2/15/24	2,605		2,790
	American International Group Inc.	3.750%	7/10/25	3,790		4,054
	American International Group Inc.	3.900%	4/1/26	6,750		7,222
	American International Group Inc.	4.200%	4/1/28	8,525		9,344
	American International Group Inc.	4.250%	3/15/29	5,700		6,331
	American International Group Inc.	3.875%	1/15/35	8,525		9,050
	American International Group Inc.	4.700%	7/10/35	3,860		4,456
	American International Group Inc.	6.250%	5/1/36	12,905		17,232
	American International Group Inc.	4.500%	7/16/44	22,365		25,631
	American International Group Inc.	4.800%	7/10/45	7,175		8,589
	American International Group Inc.	4.750%	4/1/48	7,650		9,151
4	American International Group Inc.	5.750%	4/1/48	7,950		8,609
	American International Group Inc.	4.375%	1/15/55	10,040		10,969
4	American International Group Inc.	8.175%	5/15/68	2,900		3,940
	Anthem Inc.	3.700%	8/15/21	5,830		5,960
	Anthem Inc.	3.125%	5/15/22	10,275		10,530
	Anthem Inc.	2.950%	12/1/22	6,500		6,658
	Anthem Inc.	3.300%	1/15/23	11,621		12,019
	Anthem Inc.	3.500%	8/15/24	11,182		11,710
	Anthem Inc.	3.350%	12/1/24	21,471		22,403
	Anthem Inc.	2.375%	1/15/25	6,000		5,997
	Anthem Inc.	3.650%	12/1/27	17,075		18,007

63

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Anthem Inc.	4.101%	3/1/28	28,000		30,337
	Anthem Inc.	2.875%	9/15/29	8,000		7,952
	Anthem Inc.	5.950%	12/15/34	1		1
	Anthem Inc.	5.850%	1/15/36	1,200		1,463
	Anthem Inc.	6.375%	6/15/37	5,865		7,595
	Anthem Inc.	4.625%	5/15/42	9,575		10,740
	Anthem Inc.	4.650%	1/15/43	8,850		9,964
	Anthem Inc.	5.100%	1/15/44	7,855		9,287
	Anthem Inc.	4.650%	8/15/44	7,812		8,677
	Anthem Inc.	4.375%	12/1/47	12,090		13,255
	Anthem Inc.	4.550%	3/1/48	4,700		5,268
	Anthem Inc.	4.850%	8/15/54	2,525		2,734
	Aon Corp.	4.500%	12/15/28	8,500		9,526
	Aon Corp.	3.750%	5/2/29	4,800		5,128
	Aon Corp.	6.250%	9/30/40	2,650		3,620
	Aon plc	2.800%	3/15/21	8,355		8,431
	Aon plc	4.000%	11/27/23	2,675		2,836
	Aon plc	3.500%	6/14/24	5,450		5,689
	Aon plc	3.875%	12/15/25	8,600		9,224
	Aon plc	4.600%	6/14/44	3,750		4,256
	Aon plc	4.750%	5/15/45	5,150		6,019
	Arch Capital Finance LLC	4.011%	12/15/26	4,725		5,204
	Arch Capital Finance LLC	5.031%	12/15/46	4,725		5,899
	Arch Capital Group Ltd.	7.350%	5/1/34	1,100		1,554
	Arch Capital Group US Inc.	5.144%	11/1/43	5,950		7,231
	Aspen Insurance Holdings Ltd.	4.650%	11/15/23	11,780		12,611
	Assurant Inc.	4.000%	3/15/23	6,975		7,274
	Assurant Inc.	4.200%	9/27/23	1,500		1,570
	Assurant Inc.	4.900%	3/27/28	1,600		1,756
	Assurant Inc.	3.700%	2/22/30	1,300		1,316
	Assurant Inc.	6.750%	2/15/34	763		911
	Assured Guaranty US Holdings Inc.	5.000%	7/1/24	4,450		4,948
	Athene Holding Ltd.	4.125%	1/12/28	8,525		8,805
	AXA Equitable Holdings Inc.	3.900%	4/20/23	2,403		2,516
	AXA Equitable Holdings Inc.	7.000%	4/1/28	1,860		2,257
	AXA Equitable Holdings Inc.	4.350%	4/20/28	25,280		27,423
	AXA Equitable Holdings Inc.	5.000%	4/20/48	16,600		17,737
	AXA SA	8.600%	12/15/30	9,320		13,619
	AXIS Specialty Finance LLC	3.900%	7/15/29	2,600		2,725
4	AXIS Specialty Finance LLC	4.900%	1/15/40	2,650		2,690
	AXIS Specialty Finance plc	4.000%	12/6/27	10,000		10,549
	Berkshire Hathaway Finance Corp.	4.250%	1/15/21	10,145		10,391
	Berkshire Hathaway Finance Corp.	3.000%	5/15/22	4,025		4,136
	Berkshire Hathaway Finance Corp.	5.750%	1/15/40	580		796
	Berkshire Hathaway Finance Corp.	4.400%	5/15/42	2,725		3,218
	Berkshire Hathaway Finance Corp.	4.300%	5/15/43	15,979		18,287
	Berkshire Hathaway Finance Corp.	4.200%	8/15/48	22,470		26,303
	Berkshire Hathaway Finance Corp.	4.250%	1/15/49	40,325		47,636
	Berkshire Hathaway Inc.	2.200%	3/15/21	225		226
	Berkshire Hathaway Inc.	3.750%	8/15/21	2,260		2,330
	Berkshire Hathaway Inc.	3.400%	1/31/22	2,000		2,070
	Berkshire Hathaway Inc.	3.000%	2/11/23	2,625		2,716
	Berkshire Hathaway Inc.	2.750%	3/15/23	14,654		15,047
	Berkshire Hathaway Inc.	3.125%	3/15/26	38,625		40,747

64

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Berkshire Hathaway Inc.	4.500%	2/11/43	7,290		8,861
	Brighthouse Financial Inc.	3.700%	6/22/27	12,293		12,220
	Brighthouse Financial Inc.	4.700%	6/22/47	10,095		9,345
	Brown & Brown Inc.	4.200%	9/15/24	3,555		3,756
	Brown & Brown Inc.	4.500%	3/15/29	3,575		3,900
	Chubb Corp.	6.000%	5/11/37	1,450		1,989
	Chubb Corp.	6.500%	5/15/38	955		1,397
	Chubb INA Holdings Inc.	2.875%	11/3/22	21,344		21,889
	Chubb INA Holdings Inc.	2.700%	3/13/23	5,060		5,172
	Chubb INA Holdings Inc.	3.350%	5/15/24	7,900		8,303
	Chubb INA Holdings Inc.	3.150%	3/15/25	5,876		6,169
	Chubb INA Holdings Inc.	3.350%	5/3/26	15,025		15,948
	Chubb INA Holdings Inc.	6.700%	5/15/36	1,550		2,223
	Chubb INA Holdings Inc.	4.150%	3/13/43	6,100		7,078
	Chubb INA Holdings Inc.	4.350%	11/3/45	19,961		23,970
	Cigna Holding Co.	4.375%	12/15/20	200		203
	Cincinnati Financial Corp.	6.920%	5/15/28	6,363		8,215
	CNA Financial Corp.	5.750%	8/15/21	2,665		2,816
	CNA Financial Corp.	3.950%	5/15/24	7,955		8,492
	CNA Financial Corp.	4.500%	3/1/26	2,650		2,905
	CNA Financial Corp.	3.450%	8/15/27	5,000		5,208
	CNA Financial Corp.	3.900%	5/1/29	11,450		12,307
	CNO Financial Group Inc.	5.250%	5/30/29	1,000		1,117
	Enstar Group Ltd.	4.500%	3/10/22	1,750		1,809
	Enstar Group Ltd.	4.950%	6/1/29	6,810		7,290
	Everest Reinsurance Holdings Inc.	4.868%	6/1/44	3,225		3,572
	Fairfax Financial Holdings Ltd.	4.850%	4/17/28	4,000		4,355
	First American Financial Corp.	4.600%	11/15/24	4,650		4,936
	Globe Life Inc.	4.550%	9/15/28	3,200		3,549
	Hanover Insurance Group Inc.	4.500%	4/15/26	3,120		3,366
	Hartford Financial Services Group Inc.	2.800%	8/19/29	3,600		3,641
	Hartford Financial Services Group Inc.	5.950%	10/15/36	500		651
	Hartford Financial Services Group Inc.	6.100%	10/1/41	6,380		8,714
	Hartford Financial Services Group Inc.	6.625%	4/15/42	1,793		2,439
	Hartford Financial Services Group Inc.	4.400%	3/15/48	100		115
	Hartford Financial Services Group Inc.	3.600%	8/19/49	8,500		8,727
	Humana Inc.	3.150%	12/1/22	4,825		4,948
	Humana Inc.	3.850%	10/1/24	21,575		22,909
	Humana Inc.	3.950%	3/15/27	9,950		10,668
	Humana Inc.	4.625%	12/1/42	4,680		5,097
	Humana Inc.	4.950%	10/1/44	6,100		7,209
	Humana Inc.	4.800%	3/15/47	3,825		4,438
	Humana Inc.	3.950%	8/15/49	4,450		4,671
	Kemper Corp.	4.350%	2/15/25	1,500		1,593
	Lincoln National Corp.	4.850%	6/24/21	12		12
	Lincoln National Corp.	4.200%	3/15/22	4,985		5,196
	Lincoln National Corp.	4.000%	9/1/23	3,200		3,390
	Lincoln National Corp.	3.350%	3/9/25	225		234
	Lincoln National Corp.	3.625%	12/12/26	9,925		10,462
	Lincoln National Corp.	3.800%	3/1/28	9,750		10,365
	Lincoln National Corp.	3.050%	1/15/30	4,125		4,098
	Lincoln National Corp.	6.300%	10/9/37	4,150		5,393
	Lincoln National Corp.	7.000%	6/15/40	1,070		1,518
	Lincoln National Corp.	4.350%	3/1/48	1,600		1,759

65

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Loews Corp.	2.625%	5/15/23	9,675		9,860
	Loews Corp.	6.000%	2/1/35	3,025		3,897
	Loews Corp.	4.125%	5/15/43	4,065		4,464
	Manulife Financial Corp.	4.150%	3/4/26	8,850		9,664
4	Manulife Financial Corp.	4.061%	2/24/32	9,120		9,364
	Manulife Financial Corp.	5.375%	3/4/46	8,075		10,602
	Markel Corp.	4.900%	7/1/22	4,665		4,968
	Markel Corp.	3.500%	11/1/27	4,175		4,266
	Markel Corp.	3.350%	9/17/29	2,555		2,607
	Markel Corp.	5.000%	4/5/46	4,150		4,704
	Markel Corp.	4.300%	11/1/47	2,200		2,294
	Markel Corp.	5.000%	5/20/49	2,500		2,889
	Markel Corp.	4.150%	9/17/50	4,275		4,398
	Marsh & McLennan Cos. Inc.	4.800%	7/15/21	2,265		2,348
	Marsh & McLennan Cos. Inc.	2.750%	1/30/22	4,300		4,368
	Marsh & McLennan Cos. Inc.	3.300%	3/14/23	8,212		8,477
	Marsh & McLennan Cos. Inc.	3.875%	3/15/24	17,595		18,718
	Marsh & McLennan Cos. Inc.	3.500%	6/3/24	5,600		5,870
	Marsh & McLennan Cos. Inc.	3.500%	3/10/25	4,225		4,444
	Marsh & McLennan Cos. Inc.	3.750%	3/14/26	5,150		5,519
	Marsh & McLennan Cos. Inc.	4.375%	3/15/29	18,295		20,839
	Marsh & McLennan Cos. Inc.	5.875%	8/1/33	4,025		5,154
	Marsh & McLennan Cos. Inc.	4.750%	3/15/39	3,650		4,425
	Marsh & McLennan Cos. Inc.	4.350%	1/30/47	3,225		3,649
	Marsh & McLennan Cos. Inc.	4.200%	3/1/48	3,350		3,776
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49	11,689		14,784
	Mercury General Corp.	4.400%	3/15/27	3,265		3,433
	MetLife Inc.	3.048%	12/15/22	8,950		9,261
	MetLife Inc.	4.368%	9/15/23	275		297
	MetLife Inc.	3.600%	4/10/24	15,943		16,981
	MetLife Inc.	3.000%	3/1/25	8,475		8,820
	MetLife Inc.	3.600%	11/13/25	4,975		5,335
	MetLife Inc.	6.500%	12/15/32	825		1,141
	MetLife Inc.	6.375%	6/15/34	2,445		3,487
	MetLife Inc.	5.700%	6/15/35	2,309		3,097
	MetLife Inc.	5.875%	2/6/41	12,142		16,436
	MetLife Inc.	4.125%	8/13/42	10,475		11,863
	MetLife Inc.	4.875%	11/13/43	8,419		10,417
	MetLife Inc.	4.721%	12/15/44	6,350		7,697
	MetLife Inc.	4.050%	3/1/45	10,325		11,856
	MetLife Inc.	4.600%	5/13/46	4,816		5,889
4	MetLife Inc.	6.400%	12/15/66	16,231		19,782
4	MetLife Inc.	10.750%	8/1/69	500		812
	Munich Re America Corp.	7.450%	12/15/26	1,200		1,517
4	Nationwide Financial Services Inc.	6.750%	5/15/87	300		348
	Old Republic International Corp.	4.875%	10/1/24	5,266		5,761
	Old Republic International Corp.	3.875%	8/26/26	4,560		4,826
	PartnerRe Finance B LLC	3.700%	7/2/29	4,600		4,778
	Primerica Inc.	4.750%	7/15/22	1,900		2,003
	Principal Financial Group Inc.	3.400%	5/15/25	4,000		4,186
	Principal Financial Group Inc.	3.100%	11/15/26	14,485		14,989
	Principal Financial Group Inc.	4.625%	9/15/42	800		912
	Principal Financial Group Inc.	4.350%	5/15/43	2,710		3,059
	Principal Financial Group Inc.	4.300%	11/15/46	3,154		3,560

66

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Progressive Corp.	3.750%	8/23/21	10,555		10,872
	Progressive Corp.	2.450%	1/15/27	5,000		5,028
	Progressive Corp.	6.625%	3/1/29	2,150		2,791
	Progressive Corp.	4.350%	4/25/44	3,219		3,770
	Progressive Corp.	4.125%	4/15/47	15,329		17,877
	Progressive Corp.	4.200%	3/15/48	4,196		4,812
	Prudential Financial Inc.	4.500%	11/16/21	675		710
	Prudential Financial Inc.	3.500%	5/15/24	1,175		1,249
	Prudential Financial Inc.	3.878%	3/27/28	4,700		5,141
	Prudential Financial Inc.	5.750%	7/15/33	2,630		3,351
	Prudential Financial Inc.	5.700%	12/14/36	7,720		10,486
	Prudential Financial Inc.	6.625%	12/1/37	3,250		4,488
	Prudential Financial Inc.	6.625%	6/21/40	3,020		4,247
	Prudential Financial Inc.	6.200%	11/15/40	1,065		1,422
4	Prudential Financial Inc.	5.875%	9/15/42	10,936		11,770
4	Prudential Financial Inc.	5.625%	6/15/43	18,725		20,129
	Prudential Financial Inc.	5.100%	8/15/43	2,775		3,280
4	Prudential Financial Inc.	5.200%	3/15/44	2,350		2,500
	Prudential Financial Inc.	4.600%	5/15/44	15,600		18,392
4	Prudential Financial Inc.	5.375%	5/15/45	4,850		5,158
4	Prudential Financial Inc.	4.500%	9/15/47	1,500		1,550
	Prudential Financial Inc.	3.905%	12/7/47	10,933		11,670
	Prudential Financial Inc.	4.418%	3/27/48	250		288
4	Prudential Financial Inc.	5.700%	9/15/48	9,000		10,232
	Prudential Financial Inc.	3.935%	12/7/49	6,134		6,684
	Prudential Financial Inc.	4.350%	2/25/50	8,600		9,897
	Prudential Financial Inc.	3.700%	3/13/51	12,890		13,500
	Reinsurance Group of America Inc.	5.000%	6/1/21	5,766		5,984
	Reinsurance Group of America Inc.	4.700%	9/15/23	1,500		1,627
	Reinsurance Group of America Inc.	3.950%	9/15/26	1,500		1,590
	Reinsurance Group of America Inc.	3.900%	5/15/29	3,350		3,570
	RenaissanceRe Finance Inc.	3.700%	4/1/25	2,500		2,599
	RenaissanceRe Finance Inc.	3.450%	7/1/27	3,525		3,645
	RenaissanceRe Holdings Ltd.	3.600%	4/15/29	1,020		1,070
	Selective Insurance Group Inc.	5.375%	3/1/49	2,600		3,061
	Sompo International Holdings Ltd.	4.700%	10/15/22	9,375		9,950
	Swiss Re Solutions Holding Corp.	7.000%	2/15/26	2,175		2,710
	Transatlantic Holdings Inc.	8.000%	11/30/39	4,125		6,050
	Travelers Cos. Inc.	6.750%	6/20/36	1,125		1,622
	Travelers Cos. Inc.	6.250%	6/15/37	7,090		9,800
	Travelers Cos. Inc.	5.350%	11/1/40	4,920		6,390
	Travelers Cos. Inc.	4.600%	8/1/43	2,920		3,534
	Travelers Cos. Inc.	4.300%	8/25/45	500		585
	Travelers Cos. Inc.	3.750%	5/15/46	4,925		5,302
	Travelers Cos. Inc.	4.000%	5/30/47	12,600		14,129
	Travelers Cos. Inc.	4.100%	3/4/49	6,700		7,757
	Travelers Property Casualty Corp.	6.375%	3/15/33	535		739
	Trinity Acquisition plc	4.400%	3/15/26	4,725		5,111
	UnitedHealth Group Inc.	4.700%	2/15/21	5,735		5,871
	UnitedHealth Group Inc.	2.125%	3/15/21	2,575		2,579
	UnitedHealth Group Inc.	3.150%	6/15/21	2,000		2,035
	UnitedHealth Group Inc.	3.375%	11/15/21	270		276
	UnitedHealth Group Inc.	2.875%	12/15/21	4,400		4,485
	UnitedHealth Group Inc.	2.875%	3/15/22	3,300		3,362

67

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	UnitedHealth Group Inc.	3.350%	7/15/22	10,475		10,820
	UnitedHealth Group Inc.	2.375%	10/15/22	10,000		10,114
	UnitedHealth Group Inc.	2.750%	2/15/23	3,990		4,064
	UnitedHealth Group Inc.	2.875%	3/15/23	8,005		8,189
	UnitedHealth Group Inc.	3.500%	6/15/23	4,000		4,185
	UnitedHealth Group Inc.	2.375%	8/15/24	4,475		4,533
	UnitedHealth Group Inc.	3.750%	7/15/25	40,688		43,925
	UnitedHealth Group Inc.	3.100%	3/15/26	7,275		7,588
	UnitedHealth Group Inc.	3.450%	1/15/27	13,000		13,934
	UnitedHealth Group Inc.	3.375%	4/15/27	10,825		11,500
	UnitedHealth Group Inc.	2.950%	10/15/27	9,225		9,532
	UnitedHealth Group Inc.	3.850%	6/15/28	5,000		5,475
	UnitedHealth Group Inc.	3.875%	12/15/28	3,325		3,667
	UnitedHealth Group Inc.	2.875%	8/15/29	5,000		5,115
	UnitedHealth Group Inc.	4.625%	7/15/35	3,600		4,353
	UnitedHealth Group Inc.	5.800%	3/15/36	4,000		5,300
	UnitedHealth Group Inc.	6.500%	6/15/37	1,085		1,539
	UnitedHealth Group Inc.	6.625%	11/15/37	5,100		7,265
	UnitedHealth Group Inc.	6.875%	2/15/38	13,845		20,529
	UnitedHealth Group Inc.	3.500%	8/15/39	16,205		16,937
	UnitedHealth Group Inc.	5.950%	2/15/41	2,700		3,666
	UnitedHealth Group Inc.	4.625%	11/15/41	4,205		4,987
	UnitedHealth Group Inc.	4.375%	3/15/42	1,775		2,041
	UnitedHealth Group Inc.	3.950%	10/15/42	4,900		5,335
	UnitedHealth Group Inc.	4.250%	3/15/43	9,907		11,262
	UnitedHealth Group Inc.	4.750%	7/15/45	17,738		21,661
	UnitedHealth Group Inc.	4.200%	1/15/47	21,950		25,151
	UnitedHealth Group Inc.	4.250%	4/15/47	11,175		12,863
	UnitedHealth Group Inc.	3.750%	10/15/47	6,700		7,142
	UnitedHealth Group Inc.	4.250%	6/15/48	13,053		15,143
	UnitedHealth Group Inc.	4.450%	12/15/48	3,775		4,489
	UnitedHealth Group Inc.	3.700%	8/15/49	6,055		6,445
	UnitedHealth Group Inc.	3.875%	8/15/59	10,840		11,634
	Unum Group	4.000%	3/15/24	3,300		3,483
	Unum Group	4.000%	6/15/29	2,000		2,109
	Unum Group	5.750%	8/15/42	6,143		6,772
	Unum Group	4.500%	12/15/49	4,600		4,484
	Voya Financial Inc.	3.125%	7/15/24	9,414		9,669
	Voya Financial Inc.	3.650%	6/15/26	3,050		3,214
	Voya Financial Inc.	5.700%	7/15/43	4,350		5,509
	Voya Financial Inc.	4.800%	6/15/46	1,335		1,523
4	Voya Financial Inc.	4.700%	1/23/48	1,000		994
	Willis North America Inc.	3.600%	5/15/24	5,910		6,169
	Willis North America Inc.	4.500%	9/15/28	5,800		6,362
	Willis North America Inc.	2.950%	9/15/29	1,500		1,489
	Willis North America Inc.	5.050%	9/15/48	2,750		3,214
	Willis North America Inc.	3.875%	9/15/49	16,375		16,323
	Willis Towers Watson plc	5.750%	3/15/21	1,385		1,442
	WR Berkley Corp.	4.625%	3/15/22	6,400		6,745
	WR Berkley Corp.	6.250%	2/15/37	150		188
	WR Berkley Corp.	4.750%	8/1/44	3,280		3,663
	XLIT Ltd.	4.450%	3/31/25	2,650		2,868
	XLIT Ltd.	5.250%	12/15/43	4,850		6,192
	XLIT Ltd.	5.500%	3/31/45	4,350		5,485

68

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Other Finance (0.0%)
	Jones Lang LaSalle Inc.	4.400%	11/15/22	1,150		1,199
	ORIX Corp.	2.900%	7/18/22	2,950		2,999
	ORIX Corp.	3.250%	12/4/24	2,000		2,075
	ORIX Corp.	3.700%	7/18/27	8,150		8,606
	Real Estate Investment Trusts (0.7%)
	Alexandria Real Estate Equities Inc.	3.900%	6/15/23	665		698
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24	9,225		9,810
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25	5,275		5,529
	Alexandria Real Estate Equities Inc.	4.300%	1/15/26	2,550		2,793
	Alexandria Real Estate Equities Inc.	3.800%	4/15/26	3,000		3,207
	Alexandria Real Estate Equities Inc.	3.950%	1/15/27	2,300		2,459
	Alexandria Real Estate Equities Inc.	3.950%	1/15/28	4,030		4,326
	Alexandria Real Estate Equities Inc.	4.500%	7/30/29	2,375		2,680
	Alexandria Real Estate Equities Inc.	2.750%	12/15/29	1,046		1,031
	Alexandria Real Estate Equities Inc.	4.700%	7/1/30	6,725		7,716
	Alexandria Real Estate Equities Inc.	3.375%	8/15/31	8,500		8,845
	Alexandria Real Estate Equities Inc.	4.850%	4/15/49	2,525		3,062
	Alexandria Real Estate Equities Inc.	4.000%	2/1/50	4,500		4,930
	American Campus Communities Operating Partnership LP	4.125%	7/1/24	3,575		3,810
	American Campus Communities Operating Partnership LP	3.300%	7/15/26	1,000		1,033
	American Campus Communities Operating Partnership LP	3.625%	11/15/27	3,075		3,198
	American Homes 4 Rent LP	4.250%	2/15/28	1,220		1,294
	American Homes 4 Rent LP	4.900%	2/15/29	3,625		4,061
	AvalonBay Communities Inc.	2.950%	9/15/22	75		77
	AvalonBay Communities Inc.	2.850%	3/15/23	4,890		4,993
	AvalonBay Communities Inc.	4.200%	12/15/23	1,680		1,804
	AvalonBay Communities Inc.	3.500%	11/15/24	2,447		2,577
	AvalonBay Communities Inc.	3.450%	6/1/25	4,295		4,528
	AvalonBay Communities Inc.	2.950%	5/11/26	4,000		4,105
	AvalonBay Communities Inc.	2.900%	10/15/26	4,750		4,868
	AvalonBay Communities Inc.	3.350%	5/15/27	5,000		5,264
	AvalonBay Communities Inc.	3.200%	1/15/28	4,175		4,353
	AvalonBay Communities Inc.	3.300%	6/1/29	2,000		2,111
	AvalonBay Communities Inc.	4.350%	4/15/48	2,510		2,951
	Boston Properties LP	4.125%	5/15/21	4,130		4,226
	Boston Properties LP	3.850%	2/1/23	8,325		8,718
	Boston Properties LP	3.125%	9/1/23	1,771		1,824
	Boston Properties LP	3.800%	2/1/24	1,580		1,668
	Boston Properties LP	3.200%	1/15/25	4,075		4,221
	Boston Properties LP	3.650%	2/1/26	6,800		7,196
	Boston Properties LP	2.750%	10/1/26	2,300		2,320
	Boston Properties LP	3.400%	6/21/29	3,500		3,645
	Boston Properties LP	2.900%	3/15/30	2,500		2,488
	Brandywine Operating Partnership LP	3.950%	2/15/23	5,475		5,686
	Brandywine Operating Partnership LP	3.950%	11/15/27	17,505		18,338
	Brixmor Operating Partnership LP	3.875%	8/15/22	3,950		4,112
	Brixmor Operating Partnership LP	3.250%	9/15/23	1,475		1,519
	Brixmor Operating Partnership LP	3.650%	6/15/24	2,000		2,080
	Brixmor Operating Partnership LP	3.850%	2/1/25	12,425		13,024

69

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Brixmor Operating Partnership LP	4.125%	6/15/26	2,850		3,025
	Brixmor Operating Partnership LP	3.900%	3/15/27	7,225		7,543
	Brixmor Operating Partnership LP	4.125%	5/15/29	5,880		6,297
	Camden Property Trust	2.950%	12/15/22	5,575		5,683
	Camden Property Trust	4.100%	10/15/28	1,975		2,193
	Camden Property Trust	3.150%	7/1/29	5,165		5,374
	Camden Property Trust	3.350%	11/1/49	1,000		1,000
	Columbia Property Trust Operating Partnership LP	4.150%	4/1/25	4,000		4,193
	Columbia Property Trust Operating Partnership LP	3.650%	8/15/26	5,675		5,782
	Corporate Office Properties LP	3.700%	6/15/21	6,375		6,447
	Corporate Office Properties LP	3.600%	5/15/23	1,600		1,642
	Corporate Office Properties LP	5.250%	2/15/24	6,725		7,227
	CubeSmart LP	4.375%	12/15/23	6,650		7,071
	CubeSmart LP	4.000%	11/15/25	1,375		1,461
	CubeSmart LP	3.125%	9/1/26	2,425		2,462
	CubeSmart LP	4.375%	2/15/29	1,925		2,107
	CubeSmart LP	3.000%	2/15/30	3,100		3,063
	CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24	5,370		5,391
	CyrusOne LP / CyrusOne Finance Corp.	3.450%	11/15/29	10,615		10,621
	Digital Realty Trust LP	3.950%	7/1/22	7,575		7,886
	Digital Realty Trust LP	3.625%	10/1/22	3,675		3,798
	Digital Realty Trust LP	2.750%	2/1/23	2,400		2,424
	Digital Realty Trust LP	4.750%	10/1/25	4,650		5,159
	Digital Realty Trust LP	3.700%	8/15/27	5,350		5,624
	Digital Realty Trust LP	4.450%	7/15/28	12,200		13,482
	Digital Realty Trust LP	3.600%	7/1/29	7,575		7,907
	Duke Realty LP	3.875%	10/15/22	6,175		6,429
	Duke Realty LP	3.625%	4/15/23	1,740		1,807
	Duke Realty LP	3.750%	12/1/24	2,179		2,306
	Duke Realty LP	3.250%	6/30/26	4,050		4,177
	Duke Realty LP	4.000%	9/15/28	2,025		2,184
	Duke Realty LP	2.875%	11/15/29	1,000		998
	EPR Properties	5.250%	7/15/23	3,375		3,618
	EPR Properties	4.500%	4/1/25	7,023		7,441
	EPR Properties	4.750%	12/15/26	1,100		1,190
	EPR Properties	4.500%	6/1/27	245		263
	EPR Properties	4.950%	4/15/28	4,150		4,516
	EPR Properties	3.750%	8/15/29	5,830		5,877
	ERP Operating LP	4.625%	12/15/21	1,459		1,523
	ERP Operating LP	3.000%	4/15/23	1,675		1,723
	ERP Operating LP	3.375%	6/1/25	300		315
	ERP Operating LP	2.850%	11/1/26	9,175		9,370
	ERP Operating LP	3.500%	3/1/28	7,000		7,449
	ERP Operating LP	4.150%	12/1/28	3,200		3,582
	ERP Operating LP	3.000%	7/1/29	4,195		4,327
	ERP Operating LP	2.500%	2/15/30	4,680		4,631
	ERP Operating LP	4.500%	7/1/44	4,200		4,949
	ERP Operating LP	4.500%	6/1/45	3,750		4,435
	ERP Operating LP	4.000%	8/1/47	2,775		3,061
	Essex Portfolio LP	5.200%	3/15/21	1,750		1,802
	Essex Portfolio LP	3.375%	1/15/23	1,000		1,029
	Essex Portfolio LP	3.250%	5/1/23	1,425		1,464

70

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Essex Portfolio LP	3.875%	5/1/24	1,575		1,663
	Essex Portfolio LP	3.500%	4/1/25	8,950		9,394
	Essex Portfolio LP	3.375%	4/15/26	3,485		3,620
	Essex Portfolio LP	4.000%	3/1/29	5,795		6,321
	Essex Portfolio LP	3.000%	1/15/30	4,630		4,681
	Essex Portfolio LP	4.500%	3/15/48	6,335		7,219
	Federal Realty Investment Trust	2.750%	6/1/23	2,650		2,692
	Federal Realty Investment Trust	3.250%	7/15/27	4,725		4,902
	Federal Realty Investment Trust	3.200%	6/15/29	3,350		3,453
	Federal Realty Investment Trust	4.500%	12/1/44	7,075		8,092
	Healthcare Realty Trust Inc.	3.625%	1/15/28	2,810		2,904
	Healthcare Trust of America Holdings LP	3.700%	4/15/23	2,600		2,686
	Healthcare Trust of America Holdings LP	3.500%	8/1/26	3,300		3,441
	Healthcare Trust of America Holdings LP	3.750%	7/1/27	4,475		4,714
	Healthcare Trust of America Holdings LP	3.100%	2/15/30	3,405		3,378
	Healthpeak Properties Inc.	3.150%	8/1/22	3,375		3,435
	Healthpeak Properties Inc.	4.250%	11/15/23	4,958		5,290
	Healthpeak Properties Inc.	4.200%	3/1/24	10,067		10,737
	Healthpeak Properties Inc.	3.875%	8/15/24	4,350		4,621
	Healthpeak Properties Inc.	3.400%	2/1/25	4,850		5,043
	Healthpeak Properties Inc.	4.000%	6/1/25	775		832
	Healthpeak Properties Inc.	3.250%	7/15/26	2,000		2,069
	Healthpeak Properties Inc.	3.500%	7/15/29	6,270		6,523
	Healthpeak Properties Inc.	3.000%	1/15/30	9,495		9,482
	Healthpeak Properties Inc.	6.750%	2/1/41	1,496		2,075
	Highwoods Realty LP	3.200%	6/15/21	9,209		9,323
	Highwoods Realty LP	3.875%	3/1/27	3,850		4,015
	Highwoods Realty LP	4.125%	3/15/28	3,000		3,168
	Highwoods Realty LP	4.200%	4/15/29	2,600		2,795
	Host Hotels & Resorts LP	3.750%	10/15/23	6,034		6,284
	Host Hotels & Resorts LP	3.875%	4/1/24	6,838		7,210
	Host Hotels & Resorts LP	4.000%	6/15/25	1,400		1,496
	Host Hotels & Resorts LP	3.375%	12/15/29	6,770		6,824
	Hudson Pacific Properties LP	4.650%	4/1/29	1,500		1,646
	Hudson Pacific Properties LP	3.950%	11/1/27	2,500		2,620
	Hudson Pacific Properties LP	3.250%	1/15/30	2,585		2,552
	Kilroy Realty LP	3.800%	1/15/23	10,550		10,956
	Kilroy Realty LP	3.450%	12/15/24	2,000		2,077
	Kilroy Realty LP	4.375%	10/1/25	800		868
	Kilroy Realty LP	4.750%	12/15/28	2,150		2,424
	Kilroy Realty LP	4.250%	8/15/29	2,975		3,232
	Kilroy Realty LP	3.050%	2/15/30	12,025		11,869
	Kimco Realty Corp.	3.200%	5/1/21	125		127
	Kimco Realty Corp.	3.400%	11/1/22	7,275		7,509
	Kimco Realty Corp.	3.125%	6/1/23	875		894
	Kimco Realty Corp.	3.300%	2/1/25	3,125		3,248
	Kimco Realty Corp.	2.800%	10/1/26	1,893		1,888
	Kimco Realty Corp.	3.800%	4/1/27	5,175		5,472
	Kimco Realty Corp.	4.250%	4/1/45	325		343
	Kimco Realty Corp.	4.125%	12/1/46	400		416
	Kimco Realty Corp.	4.450%	9/1/47	3,050		3,327
	Kite Realty Group LP	4.000%	10/1/26	7,900		7,822
	Liberty Property LP	3.375%	6/15/23	1,850		1,921
	Liberty Property LP	4.400%	2/15/24	5,934		6,407

71

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Liberty Property LP	3.750%	4/1/25	5,675		6,063
	Liberty Property LP	4.375%	2/1/29	4,000		4,509
	Life Storage LP	3.500%	7/1/26	10,625		10,905
	Life Storage LP	3.875%	12/15/27	1,000		1,050
	Life Storage LP	4.000%	6/15/29	1,950		2,077
	Mid-America Apartments LP	4.300%	10/15/23	2,400		2,558
	Mid-America Apartments LP	3.750%	6/15/24	2,725		2,873
	Mid-America Apartments LP	4.000%	11/15/25	75		81
	Mid-America Apartments LP	3.600%	6/1/27	7,770		8,248
	Mid-America Apartments LP	3.950%	3/15/29	8,650		9,422
	Mid-America Apartments LP	2.750%	3/15/30	5,245		5,205
	National Retail Properties Inc.	3.800%	10/15/22	1,600		1,662
	National Retail Properties Inc.	3.300%	4/15/23	900		924
	National Retail Properties Inc.	3.900%	6/15/24	2,750		2,904
	National Retail Properties Inc.	4.000%	11/15/25	2,875		3,071
	National Retail Properties Inc.	3.600%	12/15/26	2,475		2,599
	National Retail Properties Inc.	3.500%	10/15/27	5,050		5,271
	National Retail Properties Inc.	4.300%	10/15/28	2,500		2,755
	National Retail Properties Inc.	4.800%	10/15/48	2,275		2,737
	Office Properties Income Trust	4.000%	7/15/22	2,725		2,786
	Omega Healthcare Investors Inc.	4.375%	8/1/23	18,025		19,149
	Omega Healthcare Investors Inc.	4.950%	4/1/24	3,325		3,637
	Omega Healthcare Investors Inc.	4.500%	1/15/25	3,250		3,471
	Omega Healthcare Investors Inc.	5.250%	1/15/26	5,250		5,843
	Omega Healthcare Investors Inc.	4.500%	4/1/27	7,375		7,961
	Omega Healthcare Investors Inc.	4.750%	1/15/28	4,180		4,547
	Omega Healthcare Investors Inc.	3.625%	10/1/29	12,269		12,318
	Physicians Realty LP	4.300%	3/15/27	6,400		6,761
	Physicians Realty LP	3.950%	1/15/28	3,000		3,105
	Piedmont Operating Partnership LP	3.400%	6/1/23	6,150		6,286
	Piedmont Operating Partnership LP	4.450%	3/15/24	1,750		1,859
	Prologis LP	4.250%	8/15/23	1,800		1,923
	Prologis LP	3.750%	11/1/25	1,450		1,567
	Prologis LP	3.875%	9/15/28	2,500		2,743
	Prologis LP	4.375%	9/15/48	3,500		4,181
	Public Storage	2.370%	9/15/22	5,510		5,565
	Public Storage	3.094%	9/15/27	2,600		2,704
	Public Storage	3.385%	5/1/29	2,000		2,115
	Realty Income Corp.	3.250%	10/15/22	9,900		10,196
	Realty Income Corp.	4.650%	8/1/23	1,825		1,972
	Realty Income Corp.	3.875%	7/15/24	1,950		2,076
	Realty Income Corp.	3.875%	4/15/25	6,840		7,357
	Realty Income Corp.	4.125%	10/15/26	10,420		11,381
	Realty Income Corp.	3.000%	1/15/27	5,750		5,923
	Realty Income Corp.	3.650%	1/15/28	7,725		8,275
	Realty Income Corp.	3.250%	6/15/29	12,250		12,977
	Realty Income Corp.	4.650%	3/15/47	9,855		11,859
	Regency Centers Corp.	3.750%	11/15/22	2,000		2,074
	Regency Centers LP	3.600%	2/1/27	2,010		2,101
	Regency Centers LP	4.125%	3/15/28	1,375		1,489
	Regency Centers LP	2.950%	9/15/29	5,000		4,992
	Regency Centers LP	4.400%	2/1/47	5,650		6,355
	Regency Centers LP	4.650%	3/15/49	4,225		4,994
	Sabra Health Care LP	5.125%	8/15/26	500		541

72

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Sabra Health Care LP	3.900%	10/15/29	8,975		8,963
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24	1,840		1,957
	Select Income REIT	4.150%	2/1/22	1,975		2,022
	Select Income REIT	4.250%	5/15/24	1,325		1,376
	Select Income REIT	4.500%	2/1/25	5,916		6,143
	Service Properties Trust	4.250%	2/15/21	50		51
	Service Properties Trust	4.500%	6/15/23	1,891		1,957
	Service Properties Trust	4.650%	3/15/24	3,525		3,659
	Service Properties Trust	4.350%	10/1/24	5,320		5,456
	Service Properties Trust	4.500%	3/15/25	1,550		1,587
	Service Properties Trust	5.250%	2/15/26	2,035		2,141
	Service Properties Trust	4.750%	10/1/26	2,695		2,764
	Service Properties Trust	4.950%	2/15/27	4,000		4,118
	Service Properties Trust	3.950%	1/15/28	3,925		3,833
	Service Properties Trust	4.950%	10/1/29	8,800		8,847
	Service Properties Trust	4.375%	2/15/30	14,700		14,417
	Simon Property Group LP	2.500%	7/15/21	2,000		2,014
	Simon Property Group LP	2.350%	1/30/22	3,525		3,551
	Simon Property Group LP	2.625%	6/15/22	10,300		10,454
	Simon Property Group LP	2.750%	2/1/23	3,625		3,696
	Simon Property Group LP	2.750%	6/1/23	6,000		6,125
	Simon Property Group LP	3.750%	2/1/24	5,000		5,297
	Simon Property Group LP	2.000%	9/13/24	4,195		4,135
	Simon Property Group LP	3.375%	10/1/24	4,212		4,421
	Simon Property Group LP	3.500%	9/1/25	2,800		2,974
	Simon Property Group LP	3.300%	1/15/26	6,380		6,675
	Simon Property Group LP	3.250%	11/30/26	2,800		2,932
	Simon Property Group LP	3.375%	6/15/27	8,780		9,269
	Simon Property Group LP	3.375%	12/1/27	4,700		4,970
	Simon Property Group LP	2.450%	9/13/29	10,685		10,483
	Simon Property Group LP	6.750%	2/1/40	4,550		6,654
	Simon Property Group LP	4.750%	3/15/42	2,010		2,403
	Simon Property Group LP	4.250%	10/1/44	200		225
	Simon Property Group LP	4.250%	11/30/46	4,700		5,347
	Simon Property Group LP	3.250%	9/13/49	9,760		9,426
	SITE Centers Corp.	4.625%	7/15/22	1,498		1,563
	SITE Centers Corp.	3.900%	8/15/24	8,125		8,397
	SITE Centers Corp.	3.625%	2/1/25	6,000		6,177
	SITE Centers Corp.	4.250%	2/1/26	1,700		1,786
	SITE Centers Corp.	4.700%	6/1/27	16,350		17,677
	SL Green Operating Partnership LP	3.250%	10/15/22	3,300		3,373
	Spirit Realty LP	3.200%	1/15/27	2,000		1,999
	Spirit Realty LP	4.000%	7/15/29	2,650		2,768
	Spirit Realty LP	3.400%	1/15/30	3,840		3,850
	STORE Capital Corp.	4.500%	3/15/28	3,195		3,478
	STORE Capital Corp.	4.625%	3/15/29	5,000		5,518
	Tanger Properties LP	3.750%	12/1/24	1,000		1,022
	Tanger Properties LP	3.125%	9/1/26	4,710		4,675
	Tanger Properties LP	3.875%	7/15/27	2,600		2,656
	UDR Inc.	3.750%	7/1/24	200		211
	UDR Inc.	2.950%	9/1/26	4,400		4,456
	UDR Inc.	3.500%	7/1/27	5,250		5,494
	UDR Inc.	3.500%	1/15/28	5,075		5,322
	UDR Inc.	3.200%	1/15/30	2,085		2,126

73

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	UDR Inc.	3.000%	8/15/31	3,500		3,503
	UDR Inc.	3.100%	11/1/34	3,335		3,327
	Ventas Realty LP	3.100%	1/15/23	4,120		4,217
	Ventas Realty LP	3.125%	6/15/23	7,060		7,225
	Ventas Realty LP	3.500%	4/15/24	3,075		3,209
	Ventas Realty LP	3.750%	5/1/24	2,325		2,441
	Ventas Realty LP	2.650%	1/15/25	3,610		3,638
	Ventas Realty LP	4.125%	1/15/26	1,825		1,953
	Ventas Realty LP	3.250%	10/15/26	9,075		9,268
	Ventas Realty LP	3.850%	4/1/27	2,075		2,195
	Ventas Realty LP	4.000%	3/1/28	12,985		13,880
	Ventas Realty LP	4.400%	1/15/29	4,000		4,399
	Ventas Realty LP	3.000%	1/15/30	3,865		3,829
	Ventas Realty LP	5.700%	9/30/43	1,000		1,251
	Ventas Realty LP	4.375%	2/1/45	5,740		6,165
	Ventas Realty LP	4.875%	4/15/49	1,200		1,408
	Ventas Realty LP / Ventas Capital Corp.	3.250%	8/15/22	6,827		6,989
	VEREIT Operating Partnership LP	4.600%	2/6/24	2,550		2,746
	VEREIT Operating Partnership LP	4.625%	11/1/25	5,175		5,649
	VEREIT Operating Partnership LP	4.875%	6/1/26	2,925		3,219
	VEREIT Operating Partnership LP	3.950%	8/15/27	20,100		21,085
	VEREIT Operating Partnership LP	3.100%	12/15/29	5,365		5,267
	Vornado Realty LP	3.500%	1/15/25	2,425		2,524
	Washington REIT	3.950%	10/15/22	1,050		1,085
7	WEA Finance LLC / Westfield UK & Europe Finance plc	3.750%	9/17/24	500		525
	Weingarten Realty Investors	3.375%	10/15/22	8,375		8,562
	Weingarten Realty Investors	3.500%	4/15/23	2,200		2,257
	Weingarten Realty Investors	4.450%	1/15/24	600		635
	Weingarten Realty Investors	3.850%	6/1/25	900		935
	Welltower Inc.	3.750%	3/15/23	16,519		17,194
	Welltower Inc.	3.950%	9/1/23	3,475		3,665
	Welltower Inc.	4.500%	1/15/24	5,500		5,916
	Welltower Inc.	3.625%	3/15/24	12,600		13,192
	Welltower Inc.	4.000%	6/1/25	18,665		20,050
	Welltower Inc.	4.250%	4/1/26	9,775		10,603
	Welltower Inc.	4.250%	4/15/28	1,525		1,669
	Welltower Inc.	4.125%	3/15/29	8,145		8,858
	Welltower Inc.	3.100%	1/15/30	2,400		2,426
	Welltower Inc.	6.500%	3/15/41	1,250		1,670
	Welltower Inc.	5.125%	3/15/43	950		1,084
	Welltower Inc.	4.950%	9/1/48	4,500		5,391
	WP Carey Inc.	4.600%	4/1/24	7,705		8,252
	WP Carey Inc.	4.000%	2/1/25	1,250		1,312
	WP Carey Inc.	4.250%	10/1/26	2,350		2,513
	WP Carey Inc.	3.850%	7/15/29	2,200		2,329
						16,190,999
Industrial (16.0%)
	Basic Industry (0.8%)
	Air Products & Chemicals Inc.	3.000%	11/3/21	9,710		9,907
	Air Products & Chemicals Inc.	3.350%	7/31/24	11,545		12,150
	Airgas Inc.	3.650%	7/15/24	9,075		9,624
	Albemarle Corp.	4.150%	12/1/24	6,265		6,684
	Albemarle Corp.	5.450%	12/1/44	3,240		3,691

74

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
7	Albemarle Wodgina Pty Ltd.	3.450%	11/15/29	1,910		1,908
	ArcelorMittal	6.250%	2/25/22	2,923		3,150
	ArcelorMittal	3.600%	7/16/24	5,000		5,119
	ArcelorMittal	6.125%	6/1/25	5,200		5,982
	ArcelorMittal	4.550%	3/11/26	16,500		17,499
	ArcelorMittal	4.250%	7/16/29	3,750		3,915
	ArcelorMittal	7.000%	10/15/39	6,600		8,030
	Barrick Gold Corp.	6.450%	10/15/35	1,050		1,345
	Barrick Gold Corp.	5.250%	4/1/42	9,150		10,884
	Barrick North America Finance LLC	5.700%	5/30/41	9,970		11,975
	Barrick North America Finance LLC	5.750%	5/1/43	6,200		7,918
	Barrick PD Australia Finance Pty Ltd.	5.950%	10/15/39	12,159		15,341
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22	12,690		12,917
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23	7,475		7,954
	BHP Billiton Finance USA Ltd.	6.420%	3/1/26	100		121
	BHP Billiton Finance USA Ltd.	4.125%	2/24/42	4,020		4,546
	BHP Billiton Finance USA Ltd.	5.000%	9/30/43	20,890		26,642
7	Braskem America Finance Co.	7.125%	7/22/41	200		229
	Braskem Finance Ltd.	6.450%	2/3/24	4,300		4,788
	Cabot Corp.	3.700%	7/15/22	400		412
	Cabot Corp.	4.000%	7/1/29	2,800		2,934
	Celanese US Holdings LLC	5.875%	6/15/21	3,950		4,144
	Celulosa Arauco y Constitucion SA	3.875%	11/2/27	5,866		5,919
	Celulosa Arauco y Constitucion SA	5.500%	11/2/47	8,500		8,797
	Dow Chemical Co.	3.000%	11/15/22	28,100		28,755
	Dow Chemical Co.	3.500%	10/1/24	13,335		13,964
	Dow Chemical Co.	4.550%	11/30/25	4,500		4,953
	Dow Chemical Co.	4.800%	11/30/28	5,225		5,924
	Dow Chemical Co.	7.375%	11/1/29	5,350		7,046
	Dow Chemical Co.	4.250%	10/1/34	6,455		7,092
	Dow Chemical Co.	9.400%	5/15/39	9,860		16,162
	Dow Chemical Co.	5.250%	11/15/41	3,860		4,472
	Dow Chemical Co.	4.375%	11/15/42	13,430		14,324
	Dow Chemical Co.	4.625%	10/1/44	1,600		1,760
	Dow Chemical Co.	5.550%	11/30/48	7,375		9,183
	Dow Chemical Co.	4.800%	5/15/49	2,000		2,307
	DuPont de Nemours Inc.	4.205%	11/15/23	19,000		20,310
	DuPont de Nemours Inc.	4.493%	11/15/25	12,000		13,190
	DuPont de Nemours Inc.	4.725%	11/15/28	26,025		29,524
	DuPont de Nemours Inc.	5.319%	11/15/38	26,275		31,219
	DuPont de Nemours Inc.	5.419%	11/15/48	23,000		28,319
	Eastman Chemical Co.	3.600%	8/15/22	7,095		7,340
	Eastman Chemical Co.	3.800%	3/15/25	7,500		7,909
	Eastman Chemical Co.	4.800%	9/1/42	3,950		4,296
	Eastman Chemical Co.	4.650%	10/15/44	5,725		6,205
	Ecolab Inc.	4.350%	12/8/21	4,569		4,780
	Ecolab Inc.	2.375%	8/10/22	7,115		7,180
	Ecolab Inc.	3.250%	1/14/23	2,325		2,401
	Ecolab Inc.	2.700%	11/1/26	3,100		3,183
	Ecolab Inc.	3.250%	12/1/27	4,100		4,316
	Ecolab Inc.	5.500%	12/8/41	2,156		2,812
	Ecolab Inc.	3.950%	12/1/47	9,746		10,934
	Fibria Overseas Finance Ltd.	5.250%	5/12/24	7,725		8,362
	Fibria Overseas Finance Ltd.	4.000%	1/14/25	5,900		6,114

75

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Fibria Overseas Finance Ltd.	5.500%	1/17/27	4,325		4,747
	FMC Corp.	3.950%	2/1/22	3,000		3,091
	FMC Corp.	4.100%	2/1/24	6,500		6,843
	FMC Corp.	3.200%	10/1/26	1,675		1,715
	FMC Corp.	3.450%	10/1/29	3,360		3,470
	FMC Corp.	4.500%	10/1/49	3,000		3,290
	Georgia-Pacific LLC	8.000%	1/15/24	14,030		17,029
	Georgia-Pacific LLC	7.375%	12/1/25	2,500		3,140
	Georgia-Pacific LLC	7.250%	6/1/28	1,000		1,317
	Georgia-Pacific LLC	7.750%	11/15/29	1,750		2,479
	Georgia-Pacific LLC	8.875%	5/15/31	4,460		6,923
	Huntsman International LLC	4.500%	5/1/29	6,425		6,831
	International Flavors & Fragrances Inc.	3.200%	5/1/23	1,475		1,493
	International Flavors & Fragrances Inc.	4.450%	9/26/28	2,000		2,185
	International Flavors & Fragrances Inc.	4.375%	6/1/47	4,300		4,406
	International Flavors & Fragrances Inc.	5.000%	9/26/48	5,000		5,598
	International Paper Co.	7.500%	8/15/21	4,779		5,183
	International Paper Co.	3.650%	6/15/24	7,000		7,361
	International Paper Co.	3.800%	1/15/26	1,010		1,075
	International Paper Co.	3.000%	2/15/27	11,150		11,406
	International Paper Co.	5.000%	9/15/35	3,135		3,677
	International Paper Co.	7.300%	11/15/39	3,787		5,243
	International Paper Co.	6.000%	11/15/41	2,600		3,229
	International Paper Co.	4.800%	6/15/44	11,425		12,528
	International Paper Co.	5.150%	5/15/46	7,650		8,795
	International Paper Co.	4.400%	8/15/47	12,096		12,824
	International Paper Co.	4.350%	8/15/48	9,900		10,516
	Kinross Gold Corp.	5.125%	9/1/21	900		936
	Kinross Gold Corp.	5.950%	3/15/24	3,091		3,439
	Kinross Gold Corp.	4.500%	7/15/27	467		488
	Lubrizol Corp.	6.500%	10/1/34	420		586
	LYB International Finance BV	4.000%	7/15/23	7,856		8,376
	LYB International Finance BV	5.250%	7/15/43	7,856		9,226
	LYB International Finance BV	4.875%	3/15/44	6,910		7,774
	LYB International Finance II BV	3.500%	3/2/27	15,000		15,695
	LYB International Finance III LLC	4.200%	10/15/49	1,460		1,516
	LyondellBasell Industries NV	6.000%	11/15/21	15,650		16,632
	LyondellBasell Industries NV	5.750%	4/15/24	6,658		7,499
	LyondellBasell Industries NV	4.625%	2/26/55	5,050		5,328
	Meadwestvaco Corp.	7.950%	2/15/31	8,200		11,068
	Methanex Corp.	4.250%	12/1/24	665		683
	Methanex Corp.	5.650%	12/1/44	6,900		6,615
	Mosaic Co.	3.750%	11/15/21	10,275		10,517
	Mosaic Co.	3.250%	11/15/22	10,450		10,715
	Mosaic Co.	4.250%	11/15/23	12,507		13,328
	Mosaic Co.	4.050%	11/15/27	6,125		6,346
	Mosaic Co.	5.450%	11/15/33	1,805		2,048
	Mosaic Co.	4.875%	11/15/41	4,470		4,644
	Mosaic Co.	5.625%	11/15/43	1,250		1,479
	Newmont Corp.	3.625%	6/9/21	2,145		2,188
	Newmont Corp.	3.500%	3/15/22	400		411
	Newmont Corp.	3.700%	3/15/23	21,590		22,573
	Newmont Corp.	2.800%	10/1/29	6,950		6,879
	Newmont Corp.	5.875%	4/1/35	780		995

76

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Newmont Corp.	6.250%	10/1/39	6,626		8,757
	Newmont Corp.	4.875%	3/15/42	8,225		9,587
	Newmont Corp.	5.450%	6/9/44	4,484		5,549
	Nucor Corp.	4.125%	9/15/22	8,191		8,588
	Nucor Corp.	4.000%	8/1/23	8,027		8,492
	Nucor Corp.	6.400%	12/1/37	7,875		10,643
	Nucor Corp.	5.200%	8/1/43	11,225		13,939
	Nucor Corp.	4.400%	5/1/48	2,780		3,149
	Nutrien Ltd.	3.150%	10/1/22	14,135		14,422
	Nutrien Ltd.	3.500%	6/1/23	6,664		6,874
	Nutrien Ltd.	3.625%	3/15/24	500		521
	Nutrien Ltd.	3.375%	3/15/25	5,450		5,649
	Nutrien Ltd.	3.000%	4/1/25	4,000		4,072
	Nutrien Ltd.	4.000%	12/15/26	2,700		2,873
	Nutrien Ltd.	4.200%	4/1/29	2,925		3,215
	Nutrien Ltd.	4.125%	3/15/35	5,525		5,767
	Nutrien Ltd.	7.125%	5/23/36	200		261
	Nutrien Ltd.	5.625%	12/1/40	4,875		5,701
	Nutrien Ltd.	6.125%	1/15/41	1,375		1,713
	Nutrien Ltd.	4.900%	6/1/43	6,410		7,169
	Nutrien Ltd.	5.250%	1/15/45	18,755		22,093
	Nutrien Ltd.	5.000%	4/1/49	5,957		7,031
	Packaging Corp. of America	4.500%	11/1/23	8,345		8,978
	Packaging Corp. of America	3.650%	9/15/24	4,570		4,787
	Packaging Corp. of America	3.400%	12/15/27	700		729
	Packaging Corp. of America	3.000%	12/15/29	3,255		3,267
	Packaging Corp. of America	4.050%	12/15/49	1,600		1,660
	PPG Industries Inc.	2.400%	8/15/24	10,920		11,000
	Praxair Inc.	4.050%	3/15/21	120		123
	Praxair Inc.	3.000%	9/1/21	8,125		8,273
	Praxair Inc.	2.450%	2/15/22	15,971		16,158
	Praxair Inc.	2.200%	8/15/22	10,243		10,314
	Praxair Inc.	2.650%	2/5/25	3,500		3,590
	Praxair Inc.	3.200%	1/30/26	3,000		3,144
	Praxair Inc.	3.550%	11/7/42	2,500		2,607
	Rayonier Inc.	3.750%	4/1/22	1,950		1,971
	Reliance Steel & Aluminum Co.	4.500%	4/15/23	4,225		4,447
	Rio Tinto Alcan Inc.	6.125%	12/15/33	3,229		4,370
	Rio Tinto Alcan Inc.	5.750%	6/1/35	3,935		4,934
	Rio Tinto Finance USA Ltd.	3.750%	6/15/25	30,475		32,699
	Rio Tinto Finance USA Ltd.	7.125%	7/15/28	375		500
	Rio Tinto Finance USA Ltd.	5.200%	11/2/40	5,485		7,156
	Rio Tinto Finance USA plc	4.750%	3/22/42	3,975		4,849
	Rio Tinto Finance USA plc	4.125%	8/21/42	12,925		14,796
	Rohm & Haas Co.	7.850%	7/15/29	4,775		6,346
	RPM International Inc.	3.450%	11/15/22	3,275		3,358
	RPM International Inc.	3.750%	3/15/27	3,875		3,984
	RPM International Inc.	5.250%	6/1/45	3,592		3,970
	RPM International Inc.	4.250%	1/15/48	10,120		9,814
	Sasol Financing International Ltd.	4.500%	11/14/22	9,110		9,409
	SASOL Financing USA LLC	5.875%	3/27/24	13,325		14,441
	SASOL Financing USA LLC	6.500%	9/27/28	6,600		7,342
	Sherwin-Williams Co.	4.200%	1/15/22	500		518
	Sherwin-Williams Co.	2.750%	6/1/22	7,366		7,491

77

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Sherwin-Williams Co.	3.125%	6/1/24	9,875		10,196
	Sherwin-Williams Co.	3.450%	8/1/25	5,425		5,694
	Sherwin-Williams Co.	3.950%	1/15/26	5,450		5,825
	Sherwin-Williams Co.	3.450%	6/1/27	17,500		18,449
	Sherwin-Williams Co.	2.950%	8/15/29	10,000		10,119
	Sherwin-Williams Co.	4.000%	12/15/42	1,000		1,026
	Sherwin-Williams Co.	4.550%	8/1/45	1,590		1,750
	Sherwin-Williams Co.	4.500%	6/1/47	12,725		14,447
	Sherwin-Williams Co.	3.800%	8/15/49	5,000		5,087
	Southern Copper Corp.	3.500%	11/8/22	2,400		2,478
	Southern Copper Corp.	3.875%	4/23/25	2,800		2,938
	Southern Copper Corp.	7.500%	7/27/35	3,725		5,128
	Southern Copper Corp.	6.750%	4/16/40	1,550		2,062
	Southern Copper Corp.	5.250%	11/8/42	17,545		20,081
	Southern Copper Corp.	5.875%	4/23/45	22,730		28,250
	Steel Dynamics Inc.	2.800%	12/15/24	2,000		2,015
	Steel Dynamics Inc.	3.450%	4/15/30	5,500		5,562
	Suzano Austria GmbH	6.000%	1/15/29	18,750		21,167
	Suzano Austria GmbH	5.000%	1/15/30	6,700		7,029
	Teck Resources Ltd.	6.125%	10/1/35	4,727		5,505
	Teck Resources Ltd.	6.000%	8/15/40	2,830		3,153
	Teck Resources Ltd.	6.250%	7/15/41	9,020		10,303
	Vale Canada Ltd.	7.200%	9/15/32	2,926		3,599
	Vale Overseas Ltd.	6.250%	8/10/26	22,860		26,803
	Vale Overseas Ltd.	8.250%	1/17/34	500		701
	Vale Overseas Ltd.	6.875%	11/21/36	16,289		21,135
	Vale Overseas Ltd.	6.875%	11/10/39	14,765		19,158
	Vale SA	5.625%	9/11/42	4,597		5,378
	Westlake Chemical Corp.	3.600%	8/15/26	19,200		19,812
	Westlake Chemical Corp.	5.000%	8/15/46	13,210		14,012
	Westlake Chemical Corp.	4.375%	11/15/47	275		276
	Westrock MWV LLC	8.200%	1/15/30	5,804		7,930
	WestRock RKT Co.	4.900%	3/1/22	1,950		2,055
	WestRock RKT Co.	4.000%	3/1/23	2,865		2,985
	Weyerhaeuser Co.	4.700%	3/15/21	570		585
	Weyerhaeuser Co.	3.250%	3/15/23	500		513
	Weyerhaeuser Co.	4.625%	9/15/23	8,125		8,754
	Weyerhaeuser Co.	8.500%	1/15/25	800		1,010
	Weyerhaeuser Co.	4.000%	11/15/29	11,200		12,139
	Weyerhaeuser Co.	7.375%	3/15/32	8,605		11,925
	Weyerhaeuser Co.	6.875%	12/15/33	2,250		2,963
	WRKCo Inc.	3.000%	9/15/24	5,575		5,690
	WRKCo Inc.	3.750%	3/15/25	4,025		4,240
	WRKCo Inc.	4.650%	3/15/26	2,315		2,559
	WRKCo Inc.	3.375%	9/15/27	4,700		4,803
	WRKCo Inc.	4.000%	3/15/28	5,000		5,320
	WRKCo Inc.	3.900%	6/1/28	2,000		2,115
	WRKCo Inc.	4.900%	3/15/29	9,150		10,404
	WRKCo Inc.	4.200%	6/1/32	3,580		3,913
	Yamana Gold Inc.	4.625%	12/15/27	2,700		2,818
	Capital Goods (1.3%)
	3M Co.	1.625%	9/19/21	4,625		4,612
	3M Co.	2.750%	3/1/22	7,518		7,657
	3M Co.	2.000%	6/26/22	1,982		1,994

78

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	3M Co.	1.750%	2/14/23	5,300		5,270
	3M Co.	2.250%	3/15/23	1,950		1,967
	3M Co.	3.250%	2/14/24	3,075		3,215
	3M Co.	2.000%	2/14/25	6,425		6,369
	3M Co.	3.000%	8/7/25	3,900		4,065
	3M Co.	2.250%	9/19/26	5,900		5,885
	3M Co.	2.875%	10/15/27	5,150		5,363
	3M Co.	3.625%	9/14/28	3,816		4,153
	3M Co.	3.375%	3/1/29	7,075		7,501
	3M Co.	2.375%	8/26/29	10,275		10,087
	3M Co.	3.875%	6/15/44	1,000		1,060
	3M Co.	3.125%	9/19/46	5,500		5,269
	3M Co.	3.625%	10/15/47	5,125		5,275
	3M Co.	4.000%	9/14/48	10,400		11,409
	3M Co.	3.250%	8/26/49	8,750		8,513
	ABB Finance USA Inc.	2.875%	5/8/22	8,285		8,454
	ABB Finance USA Inc.	3.375%	4/3/23	250		260
	ABB Finance USA Inc.	3.800%	4/3/28	6,475		7,069
	ABB Finance USA Inc.	4.375%	5/8/42	6,900		8,279
	Allegion plc	3.500%	10/1/29	3,455		3,523
	Allegion US Holding Co. Inc.	3.200%	10/1/24	2,053		2,107
	Allegion US Holding Co. Inc.	3.550%	10/1/27	3,100		3,195
	Avery Dennison Corp.	4.875%	12/6/28	660		749
7	Bemis Co. Inc.	4.500%	10/15/21	1,205		1,241
7	Bemis Co. Inc.	3.100%	9/15/26	2,450		2,395
	Boeing Co.	2.300%	8/1/21	3,500		3,518
	Boeing Co.	8.750%	8/15/21	390		431
	Boeing Co.	2.350%	10/30/21	2,000		2,015
	Boeing Co.	2.125%	3/1/22	5,075		5,084
	Boeing Co.	2.700%	5/1/22	4,425		4,487
	Boeing Co.	2.800%	3/1/23	7,350		7,485
	Boeing Co.	1.875%	6/15/23	3,100		3,077
	Boeing Co.	2.800%	3/1/24	2,000		2,041
	Boeing Co.	2.850%	10/30/24	4,740		4,852
	Boeing Co.	2.500%	3/1/25	580		581
	Boeing Co.	7.250%	6/15/25	325		402
	Boeing Co.	2.600%	10/30/25	4,050		4,080
	Boeing Co.	3.100%	5/1/26	4,875		5,026
	Boeing Co.	2.250%	6/15/26	1,750		1,724
	Boeing Co.	2.700%	2/1/27	7,265		7,322
	Boeing Co.	2.800%	3/1/27	1,975		2,000
	Boeing Co.	3.250%	3/1/28	2,926		3,037
	Boeing Co.	3.450%	11/1/28	2,342		2,466
	Boeing Co.	3.200%	3/1/29	8,775		9,144
	Boeing Co.	2.950%	2/1/30	9,230		9,430
	Boeing Co.	6.125%	2/15/33	5,775		7,538
	Boeing Co.	3.600%	5/1/34	8,425		8,985
	Boeing Co.	3.250%	2/1/35	9,000		9,170
	Boeing Co.	6.625%	2/15/38	1,000		1,390
	Boeing Co.	3.550%	3/1/38	1,392		1,444
	Boeing Co.	3.500%	3/1/39	3,415		3,507
	Boeing Co.	6.875%	3/15/39	7,905		11,549
	Boeing Co.	5.875%	2/15/40	480		635
	Boeing Co.	3.375%	6/15/46	7,000		6,778

79

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Boeing Co.	3.650%	3/1/47	4,800		4,864
	Boeing Co.	3.625%	3/1/48	3,500		3,575
	Boeing Co.	3.850%	11/1/48	1,903		1,996
	Boeing Co.	3.900%	5/1/49	6,990		7,482
	Boeing Co.	3.750%	2/1/50	4,855		5,115
	Boeing Co.	3.825%	3/1/59	8,050		8,359
	Boeing Co.	3.950%	8/1/59	4,000		4,271
	Carlisle Cos. Inc.	3.750%	11/15/22	1,605		1,655
	Carlisle Cos. Inc.	3.500%	12/1/24	3,623		3,760
	Carlisle Cos. Inc.	3.750%	12/1/27	3,050		3,189
	Caterpillar Financial Services Corp.	2.900%	3/15/21	8,400		8,503
	Caterpillar Financial Services Corp.	2.650%	5/17/21	4,200		4,243
	Caterpillar Financial Services Corp.	1.700%	8/9/21	7,900		7,873
	Caterpillar Financial Services Corp.	2.750%	8/20/21	1,300		1,317
	Caterpillar Financial Services Corp.	3.150%	9/7/21	2,900		2,959
	Caterpillar Financial Services Corp.	1.931%	10/1/21	9,438		9,449
	Caterpillar Financial Services Corp.	2.950%	2/26/22	8,050		8,225
	Caterpillar Financial Services Corp.	2.850%	6/1/22	1,604		1,637
	Caterpillar Financial Services Corp.	2.400%	6/6/22	7,000		7,077
	Caterpillar Financial Services Corp.	2.550%	11/29/22	8,000		8,146
	Caterpillar Financial Services Corp.	2.625%	3/1/23	1,100		1,122
	Caterpillar Financial Services Corp.	3.450%	5/15/23	5,350		5,596
	Caterpillar Financial Services Corp.	3.650%	12/7/23	3,000		3,179
	Caterpillar Financial Services Corp.	2.850%	5/17/24	4,100		4,233
	Caterpillar Financial Services Corp.	3.300%	6/9/24	7,175		7,545
	Caterpillar Financial Services Corp.	2.150%	11/8/24	3,735		3,744
	Caterpillar Financial Services Corp.	3.250%	12/1/24	6,320		6,665
	Caterpillar Financial Services Corp.	2.400%	8/9/26	3,300		3,318
	Caterpillar Inc.	3.900%	5/27/21	14,147		14,522
	Caterpillar Inc.	2.600%	6/26/22	15,425		15,655
	Caterpillar Inc.	3.400%	5/15/24	5,500		5,812
	Caterpillar Inc.	2.600%	9/19/29	4,000		4,027
	Caterpillar Inc.	5.300%	9/15/35	3,100		3,838
	Caterpillar Inc.	6.050%	8/15/36	9,241		12,575
	Caterpillar Inc.	5.200%	5/27/41	5,147		6,642
	Caterpillar Inc.	3.803%	8/15/42	19,654		21,974
	Caterpillar Inc.	4.300%	5/15/44	2,830		3,276
	Caterpillar Inc.	3.250%	9/19/49	8,200		8,182
	Caterpillar Inc.	4.750%	5/15/64	1,650		2,064
	CNH Industrial Capital LLC	4.375%	4/5/22	2,750		2,869
	CNH Industrial Capital LLC	4.200%	1/15/24	15,795		16,720
	CNH Industrial NV	4.500%	8/15/23	1,350		1,438
	CNH Industrial NV	3.850%	11/15/27	5,950		6,195
	Crane Co.	4.450%	12/15/23	5,690		6,056
	Crane Co.	4.200%	3/15/48	3,900		3,903
	CRH America Inc.	5.750%	1/15/21	2,290		2,371
	Deere & Co.	2.600%	6/8/22	6,165		6,265
	Deere & Co.	5.375%	10/16/29	6,170		7,629
	Deere & Co.	3.900%	6/9/42	5,737		6,450
	Deere & Co.	2.875%	9/7/49	1,025		961
	Dover Corp.	3.150%	11/15/25	10,000		10,357
	Dover Corp.	2.950%	11/4/29	2,600		2,607
	Dover Corp.	6.600%	3/15/38	2,050		2,733
	Dover Corp.	5.375%	3/1/41	1,695		2,061

80

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Eagle Materials Inc.	4.500%	8/1/26	4,700		4,872
	Eaton Corp.	2.750%	11/2/22	12,994		13,255
	Eaton Corp.	3.103%	9/15/27	7,765		8,052
	Eaton Corp.	4.000%	11/2/32	7,729		8,752
	Eaton Corp.	4.150%	11/2/42	1,175		1,304
	Eaton Corp.	3.915%	9/15/47	4,950		5,268
	Embraer Netherlands Finance BV	5.050%	6/15/25	6,675		7,339
	Embraer Netherlands Finance BV	5.400%	2/1/27	6,100		6,858
7	Embraer Overseas Ltd.	5.696%	9/16/23	3,340		3,660
	Embraer SA	5.150%	6/15/22	3,850		4,060
	Emerson Electric Co.	2.625%	12/1/21	11,025		11,209
	Emerson Electric Co.	2.625%	2/15/23	3,500		3,578
	Emerson Electric Co.	3.150%	6/1/25	1,800		1,883
	Emerson Electric Co.	5.250%	11/15/39	440		552
	Flowserve Corp.	3.500%	9/15/22	13,705		13,852
	Flowserve Corp.	4.000%	11/15/23	4,575		4,681
	Fortive Corp.	2.350%	6/15/21	5,122		5,136
	Fortive Corp.	3.150%	6/15/26	4,472		4,576
	Fortive Corp.	4.300%	6/15/46	5,250		5,402
	Fortune Brands Home & Security Inc.	4.000%	9/21/23	9,750		10,297
	Fortune Brands Home & Security Inc.	4.000%	6/15/25	4,350		4,648
	Fortune Brands Home & Security Inc.	3.250%	9/15/29	800		808
	General Dynamics Corp.	3.000%	5/11/21	2,170		2,205
	General Dynamics Corp.	3.875%	7/15/21	1,925		1,979
	General Dynamics Corp.	2.250%	11/15/22	4,722		4,771
	General Dynamics Corp.	3.375%	5/15/23	8,500		8,874
	General Dynamics Corp.	1.875%	8/15/23	18,200		18,216
	General Dynamics Corp.	2.375%	11/15/24	14,641		14,885
	General Dynamics Corp.	3.500%	5/15/25	9,743		10,430
	General Dynamics Corp.	2.625%	11/15/27	10,440		10,678
	General Dynamics Corp.	3.750%	5/15/28	9,135		10,060
	General Dynamics Corp.	3.600%	11/15/42	3,064		3,467
	General Electric Co.	4.625%	1/7/21	3,928		4,018
	General Electric Co.	5.300%	2/11/21	12,647		13,051
	General Electric Co.	4.650%	10/17/21	8,692		9,055
	General Electric Co.	3.150%	9/7/22	7,206		7,360
	General Electric Co.	2.700%	10/9/22	31,690		32,118
	General Electric Co.	3.100%	1/9/23	3,973		4,056
	General Electric Co.	3.375%	3/11/24	14,800		15,315
	General Electric Co.	3.450%	5/15/24	4,892		5,074
	General Electric Co.	6.750%	3/15/32	21,984		28,162
	General Electric Co.	6.150%	8/7/37	8,246		10,180
	General Electric Co.	5.875%	1/14/38	28,611		34,486
	General Electric Co.	6.875%	1/10/39	17,878		23,828
	General Electric Co.	4.125%	10/9/42	7,769		8,040
	General Electric Co.	4.500%	3/11/44	10,010		10,912
	Hexcel Corp.	4.700%	8/15/25	1,350		1,460
	Honeywell International Inc.	4.250%	3/1/21	10,530		10,846
	Honeywell International Inc.	1.850%	11/1/21	13,350		13,374
	Honeywell International Inc.	2.150%	8/8/22	3,500		3,533
	Honeywell International Inc.	3.350%	12/1/23	10,140		10,655
	Honeywell International Inc.	2.300%	8/15/24	7,425		7,524
	Honeywell International Inc.	2.500%	11/1/26	5,375		5,459
	Honeywell International Inc.	2.700%	8/15/29	4,250		4,360

81

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Honeywell International Inc.	5.700%	3/15/36	4,580		6,101
	Honeywell International Inc.	5.700%	3/15/37	4,995		6,771
	Honeywell International Inc.	5.375%	3/1/41	5,995		8,072
	Honeywell International Inc.	3.812%	11/21/47	725		819
	Hubbell Inc.	3.350%	3/1/26	2,800		2,864
	Hubbell Inc.	3.150%	8/15/27	3,425		3,415
	Hubbell Inc.	3.500%	2/15/28	4,645		4,797
	Huntington Ingalls Industries Inc.	3.483%	12/1/27	10,075		10,503
	Illinois Tool Works Inc.	3.375%	9/15/21	2,895		2,959
	Illinois Tool Works Inc.	3.500%	3/1/24	7,912		8,374
	Illinois Tool Works Inc.	2.650%	11/15/26	11,050		11,356
	Illinois Tool Works Inc.	4.875%	9/15/41	3,595		4,520
	Illinois Tool Works Inc.	3.900%	9/1/42	11,642		13,417
	Ingersoll-Rand Global Holding Co. Ltd.	2.900%	2/21/21	2,500		2,523
	Ingersoll-Rand Global Holding Co. Ltd.	4.250%	6/15/23	7,625		8,146
	Ingersoll-Rand Global Holding Co. Ltd.	3.750%	8/21/28	50		53
	Ingersoll-Rand Global Holding Co. Ltd.	5.750%	6/15/43	2,125		2,675
	Ingersoll-Rand Global Holding Co. Ltd.	4.300%	2/21/48	1,750		1,895
	Ingersoll-Rand Luxembourg Finance SA	3.550%	11/1/24	7,300		7,651
	Ingersoll-Rand Luxembourg Finance SA	3.500%	3/21/26	3,475		3,634
	Ingersoll-Rand Luxembourg Finance SA	3.800%	3/21/29	10,715		11,472
	Ingersoll-Rand Luxembourg Finance SA	4.650%	11/1/44	3,050		3,439
	Ingersoll-Rand Luxembourg Finance SA	4.500%	3/21/49	3,025		3,380
	John Deere Capital Corp.	2.350%	1/8/21	2,150		2,158
	John Deere Capital Corp.	2.550%	1/8/21	8,650		8,695
	John Deere Capital Corp.	2.800%	3/4/21	5,125		5,179
	John Deere Capital Corp.	2.875%	3/12/21	10,025		10,136
	John Deere Capital Corp.	3.900%	7/12/21	8,268		8,522
	John Deere Capital Corp.	3.125%	9/10/21	6,700		6,844
	John Deere Capital Corp.	3.150%	10/15/21	9,091		9,295
	John Deere Capital Corp.	2.650%	1/6/22	7,350		7,469
	John Deere Capital Corp.	2.750%	3/15/22	2,250		2,291
	John Deere Capital Corp.	2.150%	9/8/22	10,350		10,415
	John Deere Capital Corp.	2.700%	1/6/23	300		307
	John Deere Capital Corp.	2.800%	1/27/23	7,615		7,800
	John Deere Capital Corp.	2.800%	3/6/23	10,950		11,231
	John Deere Capital Corp.	3.450%	6/7/23	800		837
	John Deere Capital Corp.	3.650%	10/12/23	3,150		3,338
	John Deere Capital Corp.	2.600%	3/7/24	3,000		3,065
	John Deere Capital Corp.	3.350%	6/12/24	9,931		10,459
	John Deere Capital Corp.	2.650%	6/24/24	4,421		4,526
	John Deere Capital Corp.	3.450%	3/13/25	17,240		18,301
	John Deere Capital Corp.	3.400%	9/11/25	1,750		1,853
	John Deere Capital Corp.	2.650%	6/10/26	1,900		1,935
	John Deere Capital Corp.	2.250%	9/14/26	965		965
	John Deere Capital Corp.	2.800%	9/8/27	4,100		4,209
	John Deere Capital Corp.	3.050%	1/6/28	7,700		8,020
	John Deere Capital Corp.	3.450%	3/7/29	4,475		4,863
	John Deere Capital Corp.	2.800%	7/18/29	5,575		5,707
	Johnson Controls International plc	3.625%	7/2/24	4,302		4,463
	Johnson Controls International plc	3.900%	2/14/26	4,082		4,334
	Johnson Controls International plc	6.000%	1/15/36	954		1,170
	Johnson Controls International plc	4.625%	7/2/44	7,850		8,560
	Johnson Controls International plc	5.125%	9/14/45	1,045		1,214

82

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Johnson Controls International plc	4.500%	2/15/47	9,495		10,212
	Johnson Controls International plc	4.950%	7/2/64	3,658		3,786
	Kennametal Inc.	3.875%	2/15/22	1,525		1,569
	Kennametal Inc.	4.625%	6/15/28	6,620		7,061
7	L3Harris Technologies Inc.	4.950%	2/15/21	9,125		9,347
7	L3Harris Technologies Inc.	3.850%	6/15/23	8,950		9,420
7	L3Harris Technologies Inc.	3.950%	5/28/24	1,040		1,103
	L3Harris Technologies Inc.	3.832%	4/27/25	7,510		7,989
7	L3Harris Technologies Inc.	3.850%	12/15/26	5,500		5,910
7	L3Harris Technologies Inc.	4.400%	6/15/28	5,350		5,960
	L3Harris Technologies Inc.	2.900%	12/15/29	2,130		2,156
	L3Harris Technologies Inc.	4.854%	4/27/35	1,925		2,265
	L3Harris Technologies Inc.	6.150%	12/15/40	4,625		6,275
	L3Harris Technologies Inc.	5.054%	4/27/45	4,170		5,176
	Leggett & Platt Inc.	3.800%	11/15/24	3,725		3,895
	Leggett & Platt Inc.	3.500%	11/15/27	12,475		12,797
	Leggett & Platt Inc.	4.400%	3/15/29	4,050		4,425
	Legrand France SA	8.500%	2/15/25	3,350		4,320
	Lennox International Inc.	3.000%	11/15/23	1,000		1,017
	Lockheed Martin Corp.	3.350%	9/15/21	9,219		9,451
	Lockheed Martin Corp.	3.100%	1/15/23	9,780		10,109
	Lockheed Martin Corp.	2.900%	3/1/25	675		701
	Lockheed Martin Corp.	3.550%	1/15/26	16,000		17,135
	Lockheed Martin Corp.	3.600%	3/1/35	9,240		10,117
	Lockheed Martin Corp.	4.500%	5/15/36	4,725		5,595
	Lockheed Martin Corp.	6.150%	9/1/36	7,685		10,431
	Lockheed Martin Corp.	5.720%	6/1/40	3,301		4,454
	Lockheed Martin Corp.	4.850%	9/15/41	622		752
	Lockheed Martin Corp.	4.070%	12/15/42	12,765		14,607
	Lockheed Martin Corp.	3.800%	3/1/45	8,096		8,930
	Lockheed Martin Corp.	4.700%	5/15/46	11,400		14,393
	Lockheed Martin Corp.	4.090%	9/15/52	13,236		15,471
	Martin Marietta Materials Inc.	4.250%	7/2/24	2,985		3,193
	Martin Marietta Materials Inc.	3.450%	6/1/27	3,225		3,331
	Martin Marietta Materials Inc.	3.500%	12/15/27	6,000		6,239
	Martin Marietta Materials Inc.	4.250%	12/15/47	7,600		7,957
	Masco Corp.	3.500%	4/1/21	2,715		2,750
	Masco Corp.	5.950%	3/15/22	583		626
	Masco Corp.	4.450%	4/1/25	4,700		5,118
	Masco Corp.	4.375%	4/1/26	4,500		4,856
	Masco Corp.	3.500%	11/15/27	6,550		6,775
	Masco Corp.	7.750%	8/1/29	1,144		1,485
	Masco Corp.	6.500%	8/15/32	54		66
	Masco Corp.	4.500%	5/15/47	5,000		5,089
	Mohawk Industries Inc.	3.850%	2/1/23	6,125		6,377
	Northrop Grumman Corp.	3.500%	3/15/21	1,650		1,681
	Northrop Grumman Corp.	2.550%	10/15/22	5,050		5,124
	Northrop Grumman Corp.	3.250%	8/1/23	11,375		11,824
	Northrop Grumman Corp.	2.930%	1/15/25	8,400		8,654
	Northrop Grumman Corp.	3.200%	2/1/27	6,200		6,447
	Northrop Grumman Corp.	3.250%	1/15/28	15,850		16,514
	Northrop Grumman Corp.	5.050%	11/15/40	2,525		3,077
	Northrop Grumman Corp.	4.750%	6/1/43	3,090		3,691
	Northrop Grumman Corp.	3.850%	4/15/45	2,000		2,141

83

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Northrop Grumman Corp.	4.030%	10/15/47	10,175		11,309
	Northrop Grumman Systems Corp.	7.750%	2/15/31	3,920		5,622
	Nvent Finance Sarl	3.950%	4/15/23	2,100		2,129
	Nvent Finance Sarl	4.550%	4/15/28	3,850		3,990
	Oshkosh Corp.	4.600%	5/15/28	7,375		7,891
	Owens Corning	4.200%	12/1/24	6,030		6,385
	Owens Corning	3.400%	8/15/26	1,400		1,418
	Owens Corning	3.950%	8/15/29	4,000		4,147
	Owens Corning	7.000%	12/1/36	1,787		2,184
	Owens Corning	4.300%	7/15/47	4,325		4,103
	Owens Corning	4.400%	1/30/48	3,200		3,093
	Parker-Hannifin Corp.	3.500%	9/15/22	5,646		5,842
	Parker-Hannifin Corp.	2.700%	6/14/24	4,700		4,763
	Parker-Hannifin Corp.	3.300%	11/21/24	11,650		12,176
	Parker-Hannifin Corp.	3.250%	3/1/27	13,825		14,339
	Parker-Hannifin Corp.	3.250%	6/14/29	3,000		3,117
	Parker-Hannifin Corp.	4.200%	11/21/34	3,900		4,312
	Parker-Hannifin Corp.	6.250%	5/15/38	2,925		3,878
	Parker-Hannifin Corp.	4.450%	11/21/44	4,870		5,412
	Parker-Hannifin Corp.	4.100%	3/1/47	5,500		5,954
	Parker-Hannifin Corp.	4.000%	6/14/49	6,975		7,544
	Precision Castparts Corp.	2.500%	1/15/23	13,970		14,214
	Precision Castparts Corp.	3.250%	6/15/25	9,300		9,798
	Precision Castparts Corp.	3.900%	1/15/43	6,575		7,114
	Precision Castparts Corp.	4.375%	6/15/45	5,712		6,603
	Raytheon Co.	2.500%	12/15/22	18,875		19,248
	Raytheon Co.	3.150%	12/15/24	2,250		2,363
	Raytheon Co.	7.200%	8/15/27	1,010		1,321
	Raytheon Co.	4.875%	10/15/40	450		563
	Raytheon Co.	4.700%	12/15/41	6,350		7,894
	Raytheon Co.	4.200%	12/15/44	795		932
	Republic Services Inc.	5.250%	11/15/21	8,838		9,373
	Republic Services Inc.	3.550%	6/1/22	475		491
	Republic Services Inc.	4.750%	5/15/23	2,425		2,611
	Republic Services Inc.	2.500%	8/15/24	4,500		4,559
	Republic Services Inc.	3.200%	3/15/25	3,000		3,115
	Republic Services Inc.	2.900%	7/1/26	8,525		8,685
	Republic Services Inc.	6.200%	3/1/40	3,440		4,684
	Republic Services Inc.	5.700%	5/15/41	7,965		10,351
	Rockwell Automation Inc.	3.500%	3/1/29	3,975		4,272
	Rockwell Automation Inc.	4.200%	3/1/49	5,025		5,841
	Rockwell Collins Inc.	3.100%	11/15/21	1,000		1,017
	Rockwell Collins Inc.	2.800%	3/15/22	12,000		12,205
	Rockwell Collins Inc.	3.700%	12/15/23	2,775		2,922
	Rockwell Collins Inc.	3.200%	3/15/24	12,107		12,599
	Rockwell Collins Inc.	3.500%	3/15/27	14,800		15,742
	Rockwell Collins Inc.	4.800%	12/15/43	1,250		1,528
	Rockwell Collins Inc.	4.350%	4/15/47	9,250		10,813
	Roper Technologies Inc.	3.000%	12/15/20	4,075		4,112
	Roper Technologies Inc.	2.800%	12/15/21	10,575		10,725
	Roper Technologies Inc.	3.125%	11/15/22	400		411
	Roper Technologies Inc.	2.350%	9/15/24	8,450		8,494
	Roper Technologies Inc.	3.850%	12/15/25	2,675		2,874
	Roper Technologies Inc.	3.800%	12/15/26	11,559		12,423

84

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Roper Technologies Inc.	4.200%	9/15/28	7,100		7,764
	Roper Technologies Inc.	2.950%	9/15/29	4,000		4,021
	Snap-on Inc.	6.125%	9/1/21	3,135		3,350
	Snap-on Inc.	3.250%	3/1/27	1,900		1,980
	Snap-on Inc.	4.100%	3/1/48	2,600		2,905
	Sonoco Products Co.	5.750%	11/1/40	4,210		5,159
	Spirit AeroSystems Inc.	3.950%	6/15/23	13,300		13,689
	Spirit AeroSystems Inc.	3.850%	6/15/26	10,785		11,059
	Spirit AeroSystems Inc.	4.600%	6/15/28	6,630		6,971
	Stanley Black & Decker Inc.	3.400%	12/1/21	4,025		4,112
	Stanley Black & Decker Inc.	2.900%	11/1/22	7,700		7,886
	Stanley Black & Decker Inc.	3.400%	3/1/26	2,500		2,636
	Stanley Black & Decker Inc.	5.200%	9/1/40	2,950		3,655
	Stanley Black & Decker Inc.	4.850%	11/15/48	6,200		7,658
	Textron Inc.	4.300%	3/1/24	2,625		2,803
	Textron Inc.	3.875%	3/1/25	7,600		8,047
	Textron Inc.	4.000%	3/15/26	6,200		6,619
	Textron Inc.	3.650%	3/15/27	11,961		12,506
	Textron Inc.	3.375%	3/1/28	5,450		5,600
	Textron Inc.	3.900%	9/17/29	4,300		4,587
	Timken Co.	3.875%	9/1/24	1,000		1,043
	Timken Co.	4.500%	12/15/28	7,320		7,882
	United Technologies Corp.	3.350%	8/16/21	2,725		2,788
	United Technologies Corp.	1.950%	11/1/21	9,010		9,022
	United Technologies Corp.	2.300%	5/4/22	200		202
	United Technologies Corp.	3.100%	6/1/22	20,168		20,707
	United Technologies Corp.	3.650%	8/16/23	22,000		23,175
	United Technologies Corp.	2.800%	5/4/24	11,250		11,560
	United Technologies Corp.	3.950%	8/16/25	16,875		18,372
	United Technologies Corp.	2.650%	11/1/26	4,350		4,451
	United Technologies Corp.	3.125%	5/4/27	350		366
	United Technologies Corp.	6.700%	8/1/28	325		421
	United Technologies Corp.	4.125%	11/16/28	40,677		45,735
	United Technologies Corp.	7.500%	9/15/29	7,125		10,019
	United Technologies Corp.	5.400%	5/1/35	3,225		4,126
	United Technologies Corp.	6.050%	6/1/36	5,215		7,021
	United Technologies Corp.	6.125%	7/15/38	8,750		12,102
	United Technologies Corp.	4.450%	11/16/38	9,665		11,347
	United Technologies Corp.	5.700%	4/15/40	9,325		12,474
	United Technologies Corp.	4.500%	6/1/42	29,565		35,405
	United Technologies Corp.	4.150%	5/15/45	10,750		12,313
	United Technologies Corp.	3.750%	11/1/46	9,800		10,677
	United Technologies Corp.	4.050%	5/4/47	10,525		11,944
	United Technologies Corp.	4.625%	11/16/48	12,585		15,664
	Valmont Industries Inc.	5.000%	10/1/44	7,690		7,856
	Valmont Industries Inc.	5.250%	10/1/54	3,275		3,323
	Vulcan Materials Co.	4.500%	4/1/25	2,750		2,975
	Vulcan Materials Co.	4.500%	6/15/47	10,137		11,101
	Wabtec Corp.	4.400%	3/15/24	8,205		8,696
	Wabtec Corp.	3.450%	11/15/26	6,375		6,403
	Wabtec Corp.	4.950%	9/15/28	10,675		11,734
	Waste Connections Inc.	3.500%	5/1/29	9,370		9,874
	Waste Management Inc.	4.600%	3/1/21	6,375		6,536
	Waste Management Inc.	2.900%	9/15/22	100		102

85

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Waste Management Inc.	2.400%	5/15/23	9,676		9,763
	Waste Management Inc.	3.500%	5/15/24	12,249		12,861
	Waste Management Inc.	2.950%	6/15/24	6,625		6,833
	Waste Management Inc.	3.125%	3/1/25	7,735		8,082
	Waste Management Inc.	3.200%	6/15/26	6,659		6,976
	Waste Management Inc.	3.150%	11/15/27	1,150		1,202
	Waste Management Inc.	3.450%	6/15/29	8,705		9,297
	Waste Management Inc.	3.900%	3/1/35	4,785		5,293
	Waste Management Inc.	4.000%	7/15/39	4,450		4,970
	Waste Management Inc.	4.100%	3/1/45	6,250		7,012
	Waste Management Inc.	4.150%	7/15/49	9,050		10,307
	WW Grainger Inc.	4.600%	6/15/45	9,875		11,689
	WW Grainger Inc.	3.750%	5/15/46	2,975		3,074
	WW Grainger Inc.	4.200%	5/15/47	3,500		3,896
	Xylem Inc.	3.250%	11/1/26	5,950		6,168
	Xylem Inc.	4.375%	11/1/46	4,180		4,564
	Communication (2.3%)
	Activision Blizzard Inc.	2.300%	9/15/21	5,650		5,675
	Activision Blizzard Inc.	2.600%	6/15/22	3,375		3,412
	Activision Blizzard Inc.	3.400%	9/15/26	8,000		8,383
	Activision Blizzard Inc.	3.400%	6/15/27	1,700		1,771
	Activision Blizzard Inc.	4.500%	6/15/47	3,805		4,322
	America Movil SAB de CV	3.125%	7/16/22	13,640		13,912
	America Movil SAB de CV	3.625%	4/22/29	9,100		9,647
	America Movil SAB de CV	6.375%	3/1/35	8,615		11,558
	America Movil SAB de CV	6.125%	11/15/37	2,850		3,717
	America Movil SAB de CV	6.125%	3/30/40	17,336		23,228
	America Movil SAB de CV	4.375%	7/16/42	9,675		10,770
	America Movil SAB de CV	4.375%	4/22/49	8,500		9,739
	American Tower Corp.	3.300%	2/15/21	6,075		6,150
	American Tower Corp.	3.450%	9/15/21	7,675		7,859
	American Tower Corp.	5.900%	11/1/21	8,315		8,883
	American Tower Corp.	2.250%	1/15/22	3,150		3,160
	American Tower Corp.	4.700%	3/15/22	5,000		5,266
	American Tower Corp.	3.500%	1/31/23	27,228		28,207
	American Tower Corp.	5.000%	2/15/24	10,213		11,236
	American Tower Corp.	3.375%	5/15/24	7,330		7,598
	American Tower Corp.	2.950%	1/15/25	2,500		2,561
	American Tower Corp.	4.000%	6/1/25	3,525		3,766
	American Tower Corp.	3.375%	10/15/26	12,670		13,160
	American Tower Corp.	3.125%	1/15/27	4,590		4,679
	American Tower Corp.	3.550%	7/15/27	7,860		8,217
	American Tower Corp.	3.950%	3/15/29	5,750		6,186
	American Tower Corp.	3.800%	8/15/29	21,635		23,112
	American Tower Corp.	3.700%	10/15/49	5,000		4,956
	AT&T Inc.	4.600%	2/15/21	11,075		11,330
	AT&T Inc.	2.800%	2/17/21	75		76
	AT&T Inc.	4.450%	5/15/21	4,750		4,911
	AT&T Inc.	4.000%	1/15/22	7,160		7,427
	AT&T Inc.	3.000%	2/15/22	7,950		8,100
	AT&T Inc.	3.200%	3/1/22	10,325		10,575
	AT&T Inc.	3.800%	3/15/22	8,059		8,361
	AT&T Inc.	3.400%	6/15/22	6,501		6,694

86

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	AT&T Inc.	3.000%	6/30/22	22,805		23,306
	AT&T Inc.	3.600%	2/17/23	16,405		17,116
	AT&T Inc.	4.050%	12/15/23	4,340		4,640
	AT&T Inc.	3.800%	3/1/24	10,967		11,578
	AT&T Inc.	3.900%	3/11/24	8,000		8,478
	AT&T Inc.	4.450%	4/1/24	11,779		12,753
	AT&T Inc.	3.550%	6/1/24	5,200		5,466
	AT&T Inc.	3.950%	1/15/25	10,000		10,713
	AT&T Inc.	3.400%	5/15/25	45,504		47,686
	AT&T Inc.	3.600%	7/15/25	19,900		21,001
	AT&T Inc.	3.875%	1/15/26	9,066		9,709
	AT&T Inc.	4.125%	2/17/26	18,000		19,506
	AT&T Inc.	3.800%	2/15/27	14,500		15,459
	AT&T Inc.	4.250%	3/1/27	10,000		10,961
	AT&T Inc.	4.100%	2/15/28	19,444		21,107
	AT&T Inc.	4.350%	3/1/29	27,800		30,831
	AT&T Inc.	4.300%	2/15/30	43,552		48,399
	AT&T Inc.	4.500%	5/15/35	22,475		24,991
	AT&T Inc.	5.250%	3/1/37	20,620		24,625
	AT&T Inc.	4.900%	8/15/37	24,625		28,247
	AT&T Inc.	4.850%	3/1/39	18,000		20,676
	AT&T Inc.	6.350%	3/15/40	8,700		11,330
	AT&T Inc.	6.100%	7/15/40	2,000		2,542
	AT&T Inc.	6.000%	8/15/40	2,470		3,134
	AT&T Inc.	5.350%	9/1/40	28,053		33,550
	AT&T Inc.	6.375%	3/1/41	9,921		13,078
	AT&T Inc.	5.550%	8/15/41	50		61
	AT&T Inc.	5.375%	10/15/41	6,930		8,151
	AT&T Inc.	5.150%	3/15/42	10,734		12,506
	AT&T Inc.	4.900%	6/15/42	10,315		11,601
	AT&T Inc.	4.300%	12/15/42	13,211		14,121
	AT&T Inc.	5.350%	12/15/43	15,300		18,334
	AT&T Inc.	4.650%	6/1/44	9,930		10,945
	AT&T Inc.	4.800%	6/15/44	25,000		28,401
	AT&T Inc.	4.350%	6/15/45	22,998		24,600
	AT&T Inc.	4.750%	5/15/46	31,623		35,505
	AT&T Inc.	5.150%	11/15/46	33,600		39,997
	AT&T Inc.	5.650%	2/15/47	8,000		10,181
	AT&T Inc.	5.450%	3/1/47	6,000		7,404
	AT&T Inc.	4.500%	3/9/48	27,401		30,100
	AT&T Inc.	4.550%	3/9/49	39,005		43,247
	AT&T Inc.	5.150%	2/15/50	15,000		18,066
	AT&T Inc.	5.700%	3/1/57	6,570		8,571
	AT&T Inc.	5.300%	8/15/58	8,051		9,917
	Bell Canada Inc.	4.300%	7/29/49	5,000		5,592
	British Telecommunications plc	4.500%	12/4/23	5,150		5,545
	British Telecommunications plc	5.125%	12/4/28	5,000		5,746
	British Telecommunications plc	9.625%	12/15/30	21,651		33,320
	CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23	14,550		15,230
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22	30,000		31,531
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24	9,705		10,440

87

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.908%	7/23/25	40,800		44,887
	Charter Communications Operating LLC / Charter Communications Operating Capital	3.750%	2/15/28	20,080		20,754
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.200%	3/15/28	5,250		5,582
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.050%	3/30/29	11,000		12,438
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.384%	10/23/35	18,100		22,755
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	4/1/38	7,925		8,982
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45	27,190		33,887
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	5/1/47	22,525		25,249
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.750%	4/1/48	28,000		32,672
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.125%	7/1/49	5,800		6,294
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.800%	3/1/50	23,370		24,466
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.834%	10/23/55	3,650		4,596
	Comcast Cable Communications Holdings Inc.	9.455%	11/15/22	2,075		2,506
	Comcast Corp.	3.450%	10/1/21	12,410		12,761
	Comcast Corp.	3.125%	7/15/22	12,865		13,261
	Comcast Corp.	2.750%	3/1/23	10,000		10,220
	Comcast Corp.	3.000%	2/1/24	35,340		36,616
	Comcast Corp.	3.600%	3/1/24	4,275		4,527
	Comcast Corp.	3.700%	4/15/24	10,000		10,638
	Comcast Corp.	3.375%	2/15/25	9,400		9,903
	Comcast Corp.	3.375%	8/15/25	21,132		22,416
	Comcast Corp.	3.950%	10/15/25	18,988		20,692
	Comcast Corp.	3.150%	3/1/26	20,255		21,164
	Comcast Corp.	2.350%	1/15/27	13,515		13,475
	Comcast Corp.	3.300%	2/1/27	12,135		12,825
	Comcast Corp.	3.150%	2/15/28	17,300		18,108
	Comcast Corp.	4.150%	10/15/28	48,362		54,428
	Comcast Corp.	2.650%	2/1/30	19,000		19,015
	Comcast Corp.	4.250%	10/15/30	9,500		10,801
	Comcast Corp.	4.250%	1/15/33	15,535		17,807
	Comcast Corp.	7.050%	3/15/33	2,200		3,145
	Comcast Corp.	4.200%	8/15/34	8,400		9,581
	Comcast Corp.	5.650%	6/15/35	5,990		7,860
	Comcast Corp.	4.400%	8/15/35	17,405		20,365
	Comcast Corp.	6.500%	11/15/35	13,950		19,653
	Comcast Corp.	3.200%	7/15/36	8,175		8,320
	Comcast Corp.	6.450%	3/15/37	8,723		12,175
	Comcast Corp.	6.950%	8/15/37	8,748		12,807
	Comcast Corp.	3.900%	3/1/38	5,000		5,518
	Comcast Corp.	6.400%	5/15/38	4,604		6,394
	Comcast Corp.	4.600%	10/15/38	26,600		31,561
	Comcast Corp.	6.550%	7/1/39	3,475		4,960

88

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Comcast Corp.	3.250%	11/1/39	14,700		14,785
	Comcast Corp.	6.400%	3/1/40	6,325		8,860
	Comcast Corp.	4.650%	7/15/42	18,460		21,943
	Comcast Corp.	4.500%	1/15/43	6,150		7,175
	Comcast Corp.	4.600%	8/15/45	15,592		18,595
	Comcast Corp.	3.400%	7/15/46	17,315		17,385
	Comcast Corp.	3.969%	11/1/47	30,268		33,028
	Comcast Corp.	4.000%	3/1/48	8,875		9,757
	Comcast Corp.	4.700%	10/15/48	27,580		33,945
	Comcast Corp.	3.999%	11/1/49	22,900		25,302
	Comcast Corp.	3.450%	2/1/50	21,500		21,922
	Comcast Corp.	4.049%	11/1/52	8,780		9,898
	Comcast Corp.	4.950%	10/15/58	21,460		27,903
	Crown Castle International Corp.	3.400%	2/15/21	12,725		12,912
	Crown Castle International Corp.	2.250%	9/1/21	8,608		8,616
	Crown Castle International Corp.	4.875%	4/15/22	7,500		7,931
	Crown Castle International Corp.	5.250%	1/15/23	10,765		11,670
	Crown Castle International Corp.	3.150%	7/15/23	5,525		5,667
	Crown Castle International Corp.	3.200%	9/1/24	10,750		11,067
	Crown Castle International Corp.	4.450%	2/15/26	12,170		13,281
	Crown Castle International Corp.	3.700%	6/15/26	19,130		20,220
	Crown Castle International Corp.	4.000%	3/1/27	2,275		2,448
	Crown Castle International Corp.	3.650%	9/1/27	10,000		10,536
	Crown Castle International Corp.	3.800%	2/15/28	16,200		17,213
	Crown Castle International Corp.	4.300%	2/15/29	3,175		3,504
	Crown Castle International Corp.	4.750%	5/15/47	3,200		3,685
	Crown Castle International Corp.	5.200%	2/15/49	5,350		6,551
	Deutsche Telekom International Finance BV	8.750%	6/15/30	36,833		54,045
	Discovery Communications LLC	4.375%	6/15/21	1,420		1,463
	Discovery Communications LLC	3.500%	6/15/22	6,725		6,899
	Discovery Communications LLC	2.950%	3/20/23	7,900		8,046
	Discovery Communications LLC	3.250%	4/1/23	1,325		1,362
	Discovery Communications LLC	3.800%	3/13/24	3,640		3,831
	Discovery Communications LLC	3.900%	11/15/24	7,525		7,983
	Discovery Communications LLC	3.450%	3/15/25	4,900		5,070
	Discovery Communications LLC	3.950%	6/15/25	4,000		4,243
	Discovery Communications LLC	4.900%	3/11/26	9,000		10,051
	Discovery Communications LLC	3.950%	3/20/28	20,400		21,760
	Discovery Communications LLC	4.125%	5/15/29	2,000		2,147
	Discovery Communications LLC	5.000%	9/20/37	14,300		16,140
	Discovery Communications LLC	6.350%	6/1/40	7,835		9,883
	Discovery Communications LLC	4.950%	5/15/42	8,821		9,647
	Discovery Communications LLC	4.875%	4/1/43	7,665		8,314
	Discovery Communications LLC	5.200%	9/20/47	12,029		13,930
	Discovery Communications LLC	5.300%	5/15/49	2,385		2,822
	Electronic Arts Inc.	3.700%	3/1/21	10,060		10,235
	Electronic Arts Inc.	4.800%	3/1/26	3,090		3,478
7	Fox Corp.	3.666%	1/25/22	5,580		5,763
7	Fox Corp.	4.030%	1/25/24	14,925		15,895
7	Fox Corp.	4.709%	1/25/29	17,025		19,352
7	Fox Corp.	5.476%	1/25/39	10,800		13,131
7	Fox Corp.	5.576%	1/25/49	23,500		29,574
	Grupo Televisa SAB	6.625%	3/18/25	2,025		2,375
	Grupo Televisa SAB	4.625%	1/30/26	7,420		7,986

89

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Grupo Televisa SAB	8.500%	3/11/32	275		373
	Grupo Televisa SAB	6.625%	1/15/40	4,845		6,085
	Grupo Televisa SAB	5.000%	5/13/45	20,160		21,255
	Grupo Televisa SAB	5.250%	5/24/49	5,100		5,512
	Interpublic Group of Cos. Inc.	3.750%	10/1/21	1,075		1,103
	Interpublic Group of Cos. Inc.	3.750%	2/15/23	11,196		11,693
	Interpublic Group of Cos. Inc.	4.200%	4/15/24	4,320		4,640
	Interpublic Group of Cos. Inc.	4.650%	10/1/28	4,425		4,971
	Interpublic Group of Cos. Inc.	5.400%	10/1/48	5,000		6,122
	Koninklijke KPN NV	8.375%	10/1/30	5,000		6,938
	Moody’s Corp.	3.250%	6/7/21	1,900		1,932
	Moody’s Corp.	2.750%	12/15/21	2,884		2,925
	Moody’s Corp.	4.500%	9/1/22	4,908		5,190
	Moody’s Corp.	4.875%	2/15/24	7,965		8,761
	Moody’s Corp.	5.250%	7/15/44	5,515		7,019
	NBCUniversal Media LLC	4.375%	4/1/21	15,570		16,054
	NBCUniversal Media LLC	2.875%	1/15/23	24,149		24,783
	NBCUniversal Media LLC	6.400%	4/30/40	6,300		8,806
	NBCUniversal Media LLC	5.950%	4/1/41	3,395		4,666
	NBCUniversal Media LLC	4.450%	1/15/43	8,500		9,857
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22	12,051		12,463
	Omnicom Group Inc. / Omnicom Capital Inc.	3.650%	11/1/24	7,375		7,756
	Omnicom Group Inc. / Omnicom Capital Inc.	3.600%	4/15/26	12,675		13,326
	Orange SA	4.125%	9/14/21	14,622		15,156
	Orange SA	9.000%	3/1/31	16,090		24,890
	Orange SA	5.375%	1/13/42	11,690		14,975
	Orange SA	5.500%	2/6/44	4,770		6,324
	RELX Capital Inc.	3.125%	10/15/22	7,634		7,893
	RELX Capital Inc.	3.500%	3/16/23	6,300		6,539
	RELX Capital Inc.	4.000%	3/18/29	4,000		4,333
	Rogers Communications Inc.	3.000%	3/15/23	5,000		5,122
	Rogers Communications Inc.	4.100%	10/1/23	6,400		6,819
	Rogers Communications Inc.	3.625%	12/15/25	5,435		5,753
	Rogers Communications Inc.	2.900%	11/15/26	4,250		4,316
	Rogers Communications Inc.	7.500%	8/15/38	300		437
	Rogers Communications Inc.	4.500%	3/15/43	7,615		8,346
	Rogers Communications Inc.	5.000%	3/15/44	5,000		6,052
	Rogers Communications Inc.	4.300%	2/15/48	5,000		5,468
	Rogers Communications Inc.	4.350%	5/1/49	16,000		17,776
	Rogers Communications Inc.	3.700%	11/15/49	6,400		6,437
	S&P Global Inc.	4.000%	6/15/25	6,225		6,738
	S&P Global Inc.	4.400%	2/15/26	8,100		8,999
	S&P Global Inc.	2.500%	12/1/29	5,300		5,310
	S&P Global Inc.	4.500%	5/15/48	4,700		5,698
	S&P Global Inc.	3.250%	12/1/49	8,500		8,677
	TCI Communications Inc.	7.875%	2/15/26	1,675		2,173
	TCI Communications Inc.	7.125%	2/15/28	725		959
	Telefonica Emisiones SAU	5.213%	3/8/47	28,305		33,599
	Telefonica Emisiones SAU	5.462%	2/16/21	13,000		13,488
	Telefonica Emisiones SAU	4.570%	4/27/23	5,875		6,313
	Telefonica Emisiones SAU	4.103%	3/8/27	13,275		14,340
	Telefonica Emisiones SAU	7.045%	6/20/36	15,972		22,469
	Telefonica Emisiones SAU	4.665%	3/6/38	11,270		12,717
	Telefonica Emisiones SAU	4.895%	3/6/48	10,000		11,450

90

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Telefonica Emisiones SAU	5.520%	3/1/49	13,650		17,074
	Telefonica Europe BV	8.250%	9/15/30	8,362		12,021
	TELUS Corp.	2.800%	2/16/27	8,525		8,531
	TELUS Corp.	4.300%	6/15/49	5,300		5,847
	Thomson Reuters Corp.	4.300%	11/23/23	4,515		4,844
	Thomson Reuters Corp.	3.350%	5/15/26	5,310		5,454
	Thomson Reuters Corp.	5.500%	8/15/35	3,075		3,438
	Thomson Reuters Corp.	5.850%	4/15/40	4,111		4,910
	Thomson Reuters Corp.	5.650%	11/23/43	2,750		3,240
	Time Warner Cable LLC	4.125%	2/15/21	5,506		5,593
	Time Warner Cable LLC	4.000%	9/1/21	10,125		10,365
	Time Warner Cable LLC	6.550%	5/1/37	14,905		18,265
	Time Warner Cable LLC	7.300%	7/1/38	14,348		18,772
	Time Warner Cable LLC	6.750%	6/15/39	18,092		22,833
	Time Warner Cable LLC	5.875%	11/15/40	10,185		11,668
	Time Warner Cable LLC	5.500%	9/1/41	14,600		16,290
	Time Warner Cable LLC	4.500%	9/15/42	16,460		16,678
	Time Warner Entertainment Co. LP	8.375%	7/15/33	4,175		5,860
	TWDC Enterprises 18 Corp.	2.950%	6/15/27	250		263
	Verizon Communications Inc.	3.450%	3/15/21	6,775		6,905
	Verizon Communications Inc.	4.600%	4/1/21	7,860		8,124
	Verizon Communications Inc.	2.946%	3/15/22	23,453		23,934
	Verizon Communications Inc.	3.125%	3/16/22	15,540		15,929
	Verizon Communications Inc.	2.450%	11/1/22	11,550		11,694
	Verizon Communications Inc.	5.150%	9/15/23	38,305		42,465
	Verizon Communications Inc.	3.500%	11/1/24	21,266		22,508
	Verizon Communications Inc.	3.376%	2/15/25	25,500		26,957
	Verizon Communications Inc.	2.625%	8/15/26	17,800		18,044
	Verizon Communications Inc.	4.125%	3/16/27	28,725		31,760
	Verizon Communications Inc.	4.329%	9/21/28	47,414		53,746
	Verizon Communications Inc.	4.016%	12/3/29	38,264		42,596
	Verizon Communications Inc.	4.500%	8/10/33	40,244		46,715
	Verizon Communications Inc.	4.400%	11/1/34	28,630		33,116
	Verizon Communications Inc.	4.272%	1/15/36	26,017		29,315
	Verizon Communications Inc.	5.250%	3/16/37	29,730		37,303
	Verizon Communications Inc.	4.812%	3/15/39	23,100		27,932
	Verizon Communications Inc.	4.750%	11/1/41	14,350		17,342
	Verizon Communications Inc.	3.850%	11/1/42	7,974		8,535
	Verizon Communications Inc.	4.125%	8/15/46	6,330		7,133
	Verizon Communications Inc.	4.862%	8/21/46	46,840		57,991
	Verizon Communications Inc.	4.522%	9/15/48	22,817		27,243
	Verizon Communications Inc.	5.012%	4/15/49	34,410		44,002
	Verizon Communications Inc.	4.672%	3/15/55	27,000		33,129
	ViacomCBS Inc.	3.875%	12/15/21	9,090		9,403
	ViacomCBS Inc.	4.250%	9/1/23	21,450		22,832
	ViacomCBS Inc.	3.875%	4/1/24	4,989		5,278
	ViacomCBS Inc.	6.875%	4/30/36	4,610		6,171
	ViacomCBS Inc.	4.375%	3/15/43	15,810		16,736
	ViacomCBS Inc.	5.850%	9/1/43	14,770		18,507
	ViacomCBS Inc.	4.300%	2/15/21	4,150		4,226
	ViacomCBS Inc.	3.375%	3/1/22	1,000		1,023
	ViacomCBS Inc.	2.500%	2/15/23	8,650		8,739
	ViacomCBS Inc.	2.900%	6/1/23	3,550		3,612
	ViacomCBS Inc.	3.700%	8/15/24	5,125		5,404

91

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	ViacomCBS Inc.	3.500%	1/15/25	4,825		5,048
	ViacomCBS Inc.	4.000%	1/15/26	3,000		3,212
	ViacomCBS Inc.	2.900%	1/15/27	25,450		25,432
	ViacomCBS Inc.	3.375%	2/15/28	4,075		4,197
	ViacomCBS Inc.	3.700%	6/1/28	8,575		8,942
	ViacomCBS Inc.	5.500%	5/15/33	3,700		4,415
	ViacomCBS Inc.	5.900%	10/15/40	2,525		3,055
	ViacomCBS Inc.	4.850%	7/1/42	10,293		11,364
	ViacomCBS Inc.	4.900%	8/15/44	5,040		5,698
	Vodafone Group plc	3.750%	1/16/24	22,750		23,993
	Vodafone Group plc	4.125%	5/30/25	14,125		15,261
	Vodafone Group plc	4.375%	5/30/28	39,300		43,452
	Vodafone Group plc	7.875%	2/15/30	6,163		8,536
	Vodafone Group plc	6.250%	11/30/32	5,145		6,512
	Vodafone Group plc	6.150%	2/27/37	2,495		3,207
	Vodafone Group plc	5.000%	5/30/38	20,819		24,256
	Vodafone Group plc	4.375%	2/19/43	12,155		13,065
	Vodafone Group plc	5.250%	5/30/48	30,445		36,783
	Vodafone Group plc	4.875%	6/19/49	17,749		20,424
	Vodafone Group plc	4.250%	9/17/50	20,000		20,774
	Walt Disney Co.	2.300%	2/12/21	5,000		5,026
	Walt Disney Co.	4.500%	2/15/21	14,500		14,919
	Walt Disney Co.	2.550%	2/15/22	2,950		2,995
	Walt Disney Co.	2.450%	3/4/22	3,000		3,045
	Walt Disney Co.	3.000%	9/15/22	22,439		23,107
	Walt Disney Co.	2.350%	12/1/22	2,300		2,333
	Walt Disney Co.	1.750%	8/30/24	5,000		4,944
	Walt Disney Co.	3.700%	9/15/24	10,176		10,874
	Walt Disney Co.	3.150%	9/17/25	3,800		4,037
	Walt Disney Co.	3.700%	10/15/25	4,810		5,202
	Walt Disney Co.	3.000%	2/13/26	8,285		8,715
	Walt Disney Co.	1.850%	7/30/26	7,720		7,572
	Walt Disney Co.	3.375%	11/15/26	8,060		8,622
	Walt Disney Co.	2.000%	9/1/29	22,200		21,516
	Walt Disney Co.	7.000%	3/1/32	2,925		4,237
	Walt Disney Co.	6.550%	3/15/33	2,415		3,402
	Walt Disney Co.	6.200%	12/15/34	8,795		12,266
	Walt Disney Co.	6.400%	12/15/35	12,950		18,515
	Walt Disney Co.	6.150%	3/1/37	14,208		19,770
	Walt Disney Co.	6.650%	11/15/37	5,000		7,429
	Walt Disney Co.	4.375%	8/16/41	3,310		3,945
	Walt Disney Co.	4.125%	12/1/41	11,701		13,492
	Walt Disney Co.	3.700%	12/1/42	8,195		8,924
	Walt Disney Co.	5.400%	10/1/43	6,133		8,309
	Walt Disney Co.	4.750%	9/15/44	11,795		14,859
	Walt Disney Co.	2.750%	9/1/49	15,000		14,095
	Weibo Corp.	3.500%	7/5/24	6,875		7,009
	WPP Finance 2010	3.625%	9/7/22	4,400		4,549
	WPP Finance 2010	3.750%	9/19/24	4,490		4,723
	Consumer Cyclical (1.9%)
	Advance Auto Parts Inc.	4.500%	1/15/22	325		337
	Advance Auto Parts Inc.	4.500%	12/1/23	1,850		1,984
	Alibaba Group Holding Ltd.	3.125%	11/28/21	10,185		10,383
	Alibaba Group Holding Ltd.	2.800%	6/6/23	6,625		6,727

92

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Alibaba Group Holding Ltd.	3.600%	11/28/24	19,390		20,368
	Alibaba Group Holding Ltd.	3.400%	12/6/27	26,025		27,122
	Alibaba Group Holding Ltd.	4.500%	11/28/34	4,870		5,512
	Alibaba Group Holding Ltd.	4.000%	12/6/37	8,575		9,212
	Alibaba Group Holding Ltd.	4.200%	12/6/47	14,525		16,108
	Alibaba Group Holding Ltd.	4.400%	12/6/57	8,500		9,710
	Amazon.com Inc.	3.300%	12/5/21	7,999		8,223
	Amazon.com Inc.	2.500%	11/29/22	2,505		2,553
	Amazon.com Inc.	2.400%	2/22/23	14,620		14,833
	Amazon.com Inc.	2.800%	8/22/24	18,822		19,478
	Amazon.com Inc.	3.800%	12/5/24	9,380		10,137
	Amazon.com Inc.	5.200%	12/3/25	7,460		8,659
	Amazon.com Inc.	3.150%	8/22/27	26,705		28,215
	Amazon.com Inc.	4.800%	12/5/34	12,070		15,205
	Amazon.com Inc.	3.875%	8/22/37	27,490		31,231
	Amazon.com Inc.	4.950%	12/5/44	13,910		18,197
	Amazon.com Inc.	4.050%	8/22/47	25,355		29,697
	Amazon.com Inc.	4.250%	8/22/57	19,075		23,181
	American Honda Finance Corp.	3.150%	1/8/21	5,075		5,137
	American Honda Finance Corp.	2.650%	2/12/21	15,000		15,138
	American Honda Finance Corp.	1.650%	7/12/21	4,450		4,436
	American Honda Finance Corp.	1.700%	9/9/21	16,925		16,881
	American Honda Finance Corp.	3.375%	12/10/21	3,500		3,605
	American Honda Finance Corp.	1.950%	5/20/22	5,640		5,659
	American Honda Finance Corp.	2.200%	6/27/22	6,250		6,293
	American Honda Finance Corp.	2.600%	11/16/22	4,825		4,917
	American Honda Finance Corp.	2.050%	1/10/23	3,050		3,059
	American Honda Finance Corp.	3.450%	7/14/23	4,130		4,320
	American Honda Finance Corp.	3.625%	10/10/23	4,175		4,404
	American Honda Finance Corp.	2.900%	2/16/24	6,100		6,276
	American Honda Finance Corp.	2.400%	6/27/24	4,200		4,249
	American Honda Finance Corp.	2.150%	9/10/24	6,000		6,001
	American Honda Finance Corp.	2.300%	9/9/26	3,650		3,638
	American Honda Finance Corp.	3.500%	2/15/28	2,000		2,151
	Aptiv Corp.	4.150%	3/15/24	8,355		8,835
	Aptiv plc	4.250%	1/15/26	2,550		2,746
	Aptiv plc	4.350%	3/15/29	1,400		1,518
	Aptiv plc	4.400%	10/1/46	4,825		4,617
	Aptiv plc	5.400%	3/15/49	3,390		3,821
	Automatic Data Processing Inc.	3.375%	9/15/25	8,850		9,394
	AutoNation Inc.	3.350%	1/15/21	5,135		5,180
	AutoNation Inc.	3.500%	11/15/24	2,300		2,369
	AutoNation Inc.	4.500%	10/1/25	9,905		10,643
	AutoNation Inc.	3.800%	11/15/27	6,075		6,127
	AutoZone Inc.	2.500%	4/15/21	1,125		1,130
	AutoZone Inc.	3.700%	4/15/22	8,325		8,589
	AutoZone Inc.	2.875%	1/15/23	3,080		3,134
	AutoZone Inc.	3.125%	4/18/24	1,900		1,973
	AutoZone Inc.	3.250%	4/15/25	7,940		8,264
	AutoZone Inc.	3.125%	4/21/26	5,200		5,355
	AutoZone Inc.	3.750%	6/1/27	11,500		12,260
	AutoZone Inc.	3.750%	4/18/29	5,665		6,055
	Best Buy Co. Inc.	5.500%	3/15/21	650		670
	Best Buy Co. Inc.	4.450%	10/1/28	9,000		9,848

93

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Block Financial LLC	5.500%	11/1/22	5,000		5,350
	Block Financial LLC	5.250%	10/1/25	13,075		14,307
	Booking Holdings Inc.	2.750%	3/15/23	2,275		2,321
	Booking Holdings Inc.	3.650%	3/15/25	9,850		10,510
	Booking Holdings Inc.	3.600%	6/1/26	11,245		12,013
	Booking Holdings Inc.	3.550%	3/15/28	8,255		8,780
	BorgWarner Inc.	3.375%	3/15/25	1,225		1,278
	BorgWarner Inc.	4.375%	3/15/45	3,765		3,831
	Costco Wholesale Corp.	2.150%	5/18/21	8,000		8,037
	Costco Wholesale Corp.	2.250%	2/15/22	4,800		4,848
	Costco Wholesale Corp.	2.300%	5/18/22	7,875		7,971
	Costco Wholesale Corp.	2.750%	5/18/24	10,000		10,312
	Costco Wholesale Corp.	3.000%	5/18/27	8,412		8,877
	Cummins Inc.	3.650%	10/1/23	2,790		2,950
	Cummins Inc.	7.125%	3/1/28	100		133
	Cummins Inc.	4.875%	10/1/43	7,190		8,768
	Daimler Finance North America LLC	8.500%	1/18/31	8,820		13,115
	Darden Restaurants Inc.	3.850%	5/1/27	4,275		4,475
	Darden Restaurants Inc.	4.550%	2/15/48	3,850		3,901
	Dollar General Corp.	3.250%	4/15/23	9,468		9,774
	Dollar General Corp.	4.150%	11/1/25	3,100		3,367
	Dollar General Corp.	3.875%	4/15/27	5,525		5,921
	Dollar General Corp.	4.125%	5/1/28	4,400		4,815
	Dollar Tree Inc.	3.700%	5/15/23	4,500		4,683
	Dollar Tree Inc.	4.000%	5/15/25	12,580		13,446
	Dollar Tree Inc.	4.200%	5/15/28	10,125		10,846
	DR Horton Inc.	2.550%	12/1/20	875		879
	DR Horton Inc.	4.375%	9/15/22	3,800		3,984
	DR Horton Inc.	4.750%	2/15/23	3,675		3,910
	DR Horton Inc.	5.750%	8/15/23	4,050		4,477
	DR Horton Inc.	2.500%	10/15/24	5,030		5,031
	eBay Inc.	2.875%	8/1/21	5,675		5,741
	eBay Inc.	3.800%	3/9/22	7,615		7,869
	eBay Inc.	2.600%	7/15/22	5,030		5,074
	eBay Inc.	2.750%	1/30/23	7,400		7,503
	eBay Inc.	3.450%	8/1/24	4,050		4,219
	eBay Inc.	3.600%	6/5/27	6,100		6,366
	eBay Inc.	4.000%	7/15/42	7,095		6,993
	Expedia Group Inc.	4.500%	8/15/24	2,775		2,968
	Expedia Group Inc.	5.000%	2/15/26	5,315		5,830
	Expedia Group Inc.	3.800%	2/15/28	8,870		9,042
7	Expedia Group Inc.	3.250%	2/15/30	11,355		10,917
	Ford Holdings LLC	9.300%	3/1/30	1,175		1,480
	Ford Motor Co.	4.346%	12/8/26	11,100		11,432
	Ford Motor Co.	6.625%	10/1/28	6,300		6,943
	Ford Motor Co.	6.375%	2/1/29	3,425		3,667
	Ford Motor Co.	7.450%	7/16/31	11,600		13,688
	Ford Motor Co.	4.750%	1/15/43	17,475		15,485
	Ford Motor Co.	7.400%	11/1/46	2,950		3,310
	Ford Motor Co.	5.291%	12/8/46	11,550		10,920
	Ford Motor Credit Co. LLC	2.343%	11/2/20	8,518		8,500
	Ford Motor Credit Co. LLC	3.200%	1/15/21	11,150		11,189
	Ford Motor Credit Co. LLC	5.750%	2/1/21	2,681		2,764
	Ford Motor Credit Co. LLC	3.336%	3/18/21	15,000		15,109

94

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Ford Motor Credit Co. LLC	5.875%	8/2/21	17,314		18,104
	Ford Motor Credit Co. LLC	3.813%	10/12/21	13,375		13,598
	Ford Motor Credit Co. LLC	5.596%	1/7/22	11,800		12,417
	Ford Motor Credit Co. LLC	3.219%	1/9/22	8,060		8,108
	Ford Motor Credit Co. LLC	3.339%	3/28/22	10,300		10,388
	Ford Motor Credit Co. LLC	2.979%	8/3/22	10,000		10,004
	Ford Motor Credit Co. LLC	4.250%	9/20/22	6,700		6,920
	Ford Motor Credit Co. LLC	3.350%	11/1/22	15,000		15,139
	Ford Motor Credit Co. LLC	4.375%	8/6/23	9,625		9,977
	Ford Motor Credit Co. LLC	3.810%	1/9/24	7,825		7,935
	Ford Motor Credit Co. LLC	5.584%	3/18/24	4,000		4,314
	Ford Motor Credit Co. LLC	3.664%	9/8/24	8,238		8,244
	Ford Motor Credit Co. LLC	4.063%	11/1/24	10,000		10,198
	Ford Motor Credit Co. LLC	4.687%	6/9/25	5,500		5,700
	Ford Motor Credit Co. LLC	4.134%	8/4/25	20,250		20,503
	Ford Motor Credit Co. LLC	4.389%	1/8/26	13,475		13,690
	Ford Motor Credit Co. LLC	4.542%	8/1/26	9,800		10,017
	Ford Motor Credit Co. LLC	3.815%	11/2/27	13,600		13,136
	Ford Motor Credit Co. LLC	5.113%	5/3/29	13,000		13,356
	General Motors Co.	4.875%	10/2/23	20,533		22,038
	General Motors Co.	4.000%	4/1/25	11,489		11,960
	General Motors Co.	4.200%	10/1/27	1,500		1,534
	General Motors Co.	5.000%	10/1/28	6,075		6,581
	General Motors Co.	5.000%	4/1/35	10,505		10,829
	General Motors Co.	6.600%	4/1/36	10,736		12,636
	General Motors Co.	5.150%	4/1/38	11,940		12,228
	General Motors Co.	6.250%	10/2/43	11,550		12,912
	General Motors Co.	5.200%	4/1/45	11,963		12,002
	General Motors Co.	6.750%	4/1/46	10,965		12,844
	General Motors Co.	5.400%	4/1/48	5,600		5,764
	General Motors Co.	5.950%	4/1/49	6,775		7,496
	General Motors Financial Co. Inc.	4.200%	3/1/21	8,065		8,234
	General Motors Financial Co. Inc.	3.550%	4/9/21	6,550		6,652
	General Motors Financial Co. Inc.	3.200%	7/6/21	14,317		14,490
	General Motors Financial Co. Inc.	4.375%	9/25/21	3,440		3,562
	General Motors Financial Co. Inc.	4.200%	11/6/21	4,050		4,188
	General Motors Financial Co. Inc.	3.450%	1/14/22	6,765		6,922
	General Motors Financial Co. Inc.	3.450%	4/10/22	20,089		20,547
	General Motors Financial Co. Inc.	3.150%	6/30/22	3,225		3,284
	General Motors Financial Co. Inc.	3.550%	7/8/22	10,000		10,289
	General Motors Financial Co. Inc.	3.250%	1/5/23	3,075		3,136
	General Motors Financial Co. Inc.	3.700%	5/9/23	8,030		8,279
	General Motors Financial Co. Inc.	4.250%	5/15/23	9,768		10,282
	General Motors Financial Co. Inc.	4.150%	6/19/23	8,000		8,409
	General Motors Financial Co. Inc.	5.100%	1/17/24	12,371		13,424
	General Motors Financial Co. Inc.	3.950%	4/13/24	7,150		7,473
	General Motors Financial Co. Inc.	3.500%	11/7/24	17,065		17,559
	General Motors Financial Co. Inc.	4.000%	1/15/25	7,945		8,348
	General Motors Financial Co. Inc.	4.350%	4/9/25	10,600		11,342
	General Motors Financial Co. Inc.	4.300%	7/13/25	125		133
	General Motors Financial Co. Inc.	5.250%	3/1/26	4,900		5,433
	General Motors Financial Co. Inc.	4.000%	10/6/26	5,475		5,725
	General Motors Financial Co. Inc.	4.350%	1/17/27	18,050		19,002
	General Motors Financial Co. Inc.	3.850%	1/5/28	4,375		4,445

95

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	General Motors Financial Co. Inc.	5.650%	1/17/29	4,075		4,623
	GLP Capital LP / GLP Financing II Inc.	4.375%	4/15/21	2,720		2,770
	GLP Capital LP / GLP Financing II Inc.	5.375%	11/1/23	5,000		5,434
	GLP Capital LP / GLP Financing II Inc.	5.250%	6/1/25	9,354		10,198
	GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26	8,406		9,188
	GLP Capital LP / GLP Financing II Inc.	5.750%	6/1/28	750		847
	GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29	5,225		5,821
	GLP Capital LP / GLP Financing II Inc.	4.000%	1/15/30	4,000		4,072
	Harley-Davidson Inc.	3.500%	7/28/25	6,850		7,101
	Harley-Davidson Inc.	4.625%	7/28/45	5,685		5,844
	Harman International Industries Inc.	4.150%	5/15/25	3,475		3,695
	Home Depot Inc.	2.000%	4/1/21	5,975		5,990
	Home Depot Inc.	4.400%	4/1/21	10,425		10,690
	Home Depot Inc.	3.250%	3/1/22	3,000		3,098
	Home Depot Inc.	2.625%	6/1/22	20,494		20,898
	Home Depot Inc.	2.700%	4/1/23	3,300		3,379
	Home Depot Inc.	3.750%	2/15/24	16,699		17,844
	Home Depot Inc.	3.350%	9/15/25	9,550		10,199
	Home Depot Inc.	3.000%	4/1/26	16,400		17,122
	Home Depot Inc.	2.125%	9/15/26	9,775		9,747
	Home Depot Inc.	2.800%	9/14/27	9,375		9,717
	Home Depot Inc.	3.900%	12/6/28	2,190		2,444
	Home Depot Inc.	2.950%	6/15/29	6,025		6,257
	Home Depot Inc.	5.875%	12/16/36	26,456		36,417
	Home Depot Inc.	5.400%	9/15/40	4,625		6,055
	Home Depot Inc.	5.950%	4/1/41	5,480		7,702
	Home Depot Inc.	4.200%	4/1/43	13,125		15,245
	Home Depot Inc.	4.875%	2/15/44	10,325		13,071
	Home Depot Inc.	4.400%	3/15/45	7,525		8,958
	Home Depot Inc.	4.250%	4/1/46	13,745		16,192
	Home Depot Inc.	3.900%	6/15/47	8,680		9,782
	Home Depot Inc.	4.500%	12/6/48	13,065		16,093
	Home Depot Inc.	3.500%	9/15/56	10,085		10,561
	Hyatt Hotels Corp.	3.375%	7/15/23	4,185		4,299
	Hyatt Hotels Corp.	4.850%	3/15/26	2,125		2,352
	Hyatt Hotels Corp.	4.375%	9/15/28	3,805		4,130
	IHS Markit Ltd.	3.625%	5/1/24	7,000		7,263
	IHS Markit Ltd.	4.750%	8/1/28	8,865		9,862
	IHS Markit Ltd.	4.250%	5/1/29	4,200		4,526
	JD.com Inc.	3.125%	4/29/21	796		800
	JD.com Inc.	3.875%	4/29/26	4,077		4,226
	Kohl’s Corp.	3.250%	2/1/23	1,700		1,729
	Kohl’s Corp.	4.750%	12/15/23	1,062		1,132
	Kohl’s Corp.	4.250%	7/17/25	6,577		6,994
	Kohl’s Corp.	5.550%	7/17/45	3,825		3,896
	Las Vegas Sands Corp.	3.200%	8/8/24	11,545		11,910
	Las Vegas Sands Corp.	2.900%	6/25/25	4,560		4,606
	Las Vegas Sands Corp.	3.500%	8/18/26	6,430		6,611
	Las Vegas Sands Corp.	3.900%	8/8/29	3,200		3,338
	Lear Corp.	5.250%	1/15/25	5,625		5,790
	Lear Corp.	3.800%	9/15/27	3,050		3,084
	Lear Corp.	4.250%	5/15/29	6,850		7,061
	Lear Corp.	5.250%	5/15/49	6,650		6,910
	Lowe’s Cos. Inc.	3.750%	4/15/21	3,745		3,810

96

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Lowe’s Cos. Inc.	3.800%	11/15/21	2,675		2,753
	Lowe’s Cos. Inc.	3.120%	4/15/22	1,875		1,919
	Lowe’s Cos. Inc.	3.875%	9/15/23	10,844		11,477
	Lowe’s Cos. Inc.	3.125%	9/15/24	2,900		3,012
	Lowe’s Cos. Inc.	3.375%	9/15/25	12,835		13,488
	Lowe’s Cos. Inc.	2.500%	4/15/26	19,425		19,559
	Lowe’s Cos. Inc.	3.100%	5/3/27	4,875		5,032
	Lowe’s Cos. Inc.	6.500%	3/15/29	267		339
	Lowe’s Cos. Inc.	3.650%	4/5/29	11,355		12,122
	Lowe’s Cos. Inc.	4.650%	4/15/42	7,075		8,049
	Lowe’s Cos. Inc.	4.250%	9/15/44	1,950		2,102
	Lowe’s Cos. Inc.	4.375%	9/15/45	11,175		12,225
	Lowe’s Cos. Inc.	3.700%	4/15/46	12,590		12,796
	Lowe’s Cos. Inc.	4.050%	5/3/47	16,562		17,859
	Lowe’s Cos. Inc.	4.550%	4/5/49	9,075		10,589
	Macy’s Retail Holdings Inc.	3.450%	1/15/21	2,665		2,688
	Macy’s Retail Holdings Inc.	3.875%	1/15/22	1,142		1,164
	Macy’s Retail Holdings Inc.	2.875%	2/15/23	14,493		14,427
	Macy’s Retail Holdings Inc.	3.625%	6/1/24	4,320		4,358
	Macy’s Retail Holdings Inc.	4.500%	12/15/34	1,947		1,848
	Magna International Inc.	3.625%	6/15/24	9,445		9,923
	Magna International Inc.	4.150%	10/1/25	2,775		2,983
	Marriott International Inc.	2.875%	3/1/21	2,500		2,524
	Marriott International Inc.	3.125%	10/15/21	4,825		4,902
	Marriott International Inc.	2.300%	1/15/22	2,000		2,008
	Marriott International Inc.	3.250%	9/15/22	3,525		3,617
	Marriott International Inc.	3.750%	3/15/25	4,800		5,068
	Marriott International Inc.	3.750%	10/1/25	2,190		2,325
	Marriott International Inc.	3.125%	6/15/26	4,090		4,232
	Marriott International Inc.	4.000%	4/15/28	8,975		9,674
	Marriott International Inc.	2.125%	10/3/22	4,000		3,999
	Marriott International Inc.	3.600%	4/15/24	8,390		8,817
	Mastercard Inc.	2.000%	11/21/21	5,230		5,255
	Mastercard Inc.	3.375%	4/1/24	13,320		14,118
	Mastercard Inc.	2.000%	3/3/25	13,325		13,252
	Mastercard Inc.	2.950%	11/21/26	4,800		5,006
	Mastercard Inc.	3.500%	2/26/28	7,670		8,298
	Mastercard Inc.	2.950%	6/1/29	8,825		9,199
	Mastercard Inc.	3.800%	11/21/46	4,350		4,870
	Mastercard Inc.	3.950%	2/26/48	5,030		5,803
	Mastercard Inc.	3.650%	6/1/49	12,530		13,809
	McDonald’s Corp.	2.750%	12/9/20	9,289		9,348
	McDonald’s Corp.	3.625%	5/20/21	1,750		1,790
	McDonald’s Corp.	2.625%	1/15/22	16,265		16,485
	McDonald’s Corp.	3.350%	4/1/23	10,775		11,219
	McDonald’s Corp.	3.375%	5/26/25	11,405		12,037
	McDonald’s Corp.	3.700%	1/30/26	22,340		23,972
	McDonald’s Corp.	3.500%	3/1/27	11,275		12,013
	McDonald’s Corp.	3.800%	4/1/28	11,900		12,906
	McDonald’s Corp.	2.625%	9/1/29	8,700		8,679
	McDonald’s Corp.	4.700%	12/9/35	7,900		9,389
	McDonald’s Corp.	6.300%	10/15/37	425		577
	McDonald’s Corp.	6.300%	3/1/38	3,925		5,341
	McDonald’s Corp.	5.700%	2/1/39	5,175		6,575

97

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	McDonald’s Corp.	3.700%	2/15/42	16,175		16,492
	McDonald’s Corp.	3.625%	5/1/43	4,300		4,306
	McDonald’s Corp.	4.600%	5/26/45	6,860		7,866
	McDonald’s Corp.	4.875%	12/9/45	15,500		18,693
	McDonald’s Corp.	4.450%	3/1/47	7,890		9,041
	McDonald’s Corp.	4.450%	9/1/48	7,755		8,833
	McDonald’s Corp.	3.625%	9/1/49	5,000		5,075
	NIKE Inc.	2.250%	5/1/23	625		635
	NIKE Inc.	2.375%	11/1/26	15,000		15,244
	NIKE Inc.	3.625%	5/1/43	6,025		6,568
	NIKE Inc.	3.875%	11/1/45	10,575		12,032
	NIKE Inc.	3.375%	11/1/46	8,125		8,567
	Nordstrom Inc.	4.000%	10/15/21	5,315		5,453
	Nordstrom Inc.	4.000%	3/15/27	5,825		6,037
	Nordstrom Inc.	6.950%	3/15/28	1,540		1,860
	Nordstrom Inc.	4.375%	4/1/30	6,293		6,410
	Nordstrom Inc.	5.000%	1/15/44	7,670		7,441
	NVR Inc.	3.950%	9/15/22	16,588		17,288
	O’Reilly Automotive Inc.	4.875%	1/14/21	500		511
	O’Reilly Automotive Inc.	4.625%	9/15/21	125		129
	O’Reilly Automotive Inc.	3.800%	9/1/22	4,979		5,167
	O’Reilly Automotive Inc.	3.850%	6/15/23	7,025		7,343
	O’Reilly Automotive Inc.	3.550%	3/15/26	1,525		1,605
	O’Reilly Automotive Inc.	3.600%	9/1/27	13,395		14,301
	O’Reilly Automotive Inc.	4.350%	6/1/28	1,675		1,865
	PACCAR Financial Corp.	2.050%	11/13/20	3,575		3,579
	PACCAR Financial Corp.	2.250%	2/25/21	1,500		1,506
	PACCAR Financial Corp.	2.800%	3/1/21	3,300		3,336
	PACCAR Financial Corp.	3.150%	8/9/21	4,000		4,080
	PACCAR Financial Corp.	2.850%	3/1/22	1,500		1,531
	PACCAR Financial Corp.	2.650%	5/10/22	5,000		5,092
	PACCAR Financial Corp.	2.300%	8/10/22	2,300		2,324
	PACCAR Financial Corp.	2.000%	9/26/22	1,000		1,005
	PACCAR Financial Corp.	3.400%	8/9/23	7,000		7,305
	PACCAR Financial Corp.	2.150%	8/15/24	3,500		3,490
	QVC Inc.	5.125%	7/2/22	3,510		3,696
	QVC Inc.	4.375%	3/15/23	5,100		5,255
	QVC Inc.	4.850%	4/1/24	5,315		5,579
	QVC Inc.	4.450%	2/15/25	1,150		1,187
	QVC Inc.	5.450%	8/15/34	825		788
	QVC Inc.	5.950%	3/15/43	4,050		3,845
	Ralph Lauren Corp.	3.750%	9/15/25	3,850		4,137
	Royal Caribbean Cruises Ltd.	5.250%	11/15/22	3,750		4,045
	Royal Caribbean Cruises Ltd.	3.700%	3/15/28	5,725		5,918
	Sands China Ltd.	4.600%	8/8/23	15,935		16,752
	Sands China Ltd.	5.125%	8/8/25	15,500		17,069
	Sands China Ltd.	5.400%	8/8/28	15,750		17,719
	Starbucks Corp.	2.100%	2/4/21	6,375		6,383
	Starbucks Corp.	2.700%	6/15/22	2,920		2,975
	Starbucks Corp.	3.100%	3/1/23	10,435		10,766
	Starbucks Corp.	3.850%	10/1/23	6,450		6,832
	Starbucks Corp.	3.800%	8/15/25	13,800		14,862
	Starbucks Corp.	2.450%	6/15/26	11,585		11,697
	Starbucks Corp.	3.500%	3/1/28	5,575		5,953

98

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Starbucks Corp.	4.000%	11/15/28	7,100		7,856
	Starbucks Corp.	3.550%	8/15/29	4,950		5,365
	Starbucks Corp.	4.300%	6/15/45	1,800		1,990
	Starbucks Corp.	3.750%	12/1/47	7,300		7,476
	Starbucks Corp.	4.500%	11/15/48	14,375		16,503
	Tapestry Inc.	3.000%	7/15/22	2,850		2,886
	Tapestry Inc.	4.250%	4/1/25	3,746		3,944
	Tapestry Inc.	4.125%	7/15/27	6,520		6,638
	Target Corp.	2.900%	1/15/22	9,305		9,519
	Target Corp.	3.500%	7/1/24	9,386		10,051
	Target Corp.	2.500%	4/15/26	9,290		9,503
	Target Corp.	3.375%	4/15/29	9,100		9,874
	Target Corp.	6.350%	11/1/32	2,180		3,047
	Target Corp.	6.500%	10/15/37	5,208		7,706
	Target Corp.	7.000%	1/15/38	3,725		5,783
	Target Corp.	4.000%	7/1/42	17,000		19,451
	Target Corp.	3.625%	4/15/46	9,665		10,565
	Target Corp.	3.900%	11/15/47	4,175		4,791
	TJX Cos. Inc.	2.750%	6/15/21	17,825		18,045
	TJX Cos. Inc.	2.500%	5/15/23	5,798		5,907
	TJX Cos. Inc.	2.250%	9/15/26	10,275		10,275
	Toyota Motor Corp.	3.183%	7/20/21	7,000		7,142
	Toyota Motor Corp.	2.157%	7/2/22	5,485		5,527
	Toyota Motor Corp.	3.419%	7/20/23	8,500		8,909
	Toyota Motor Corp.	2.358%	7/2/24	11,015		11,192
	Toyota Motor Corp.	3.669%	7/20/28	5,150		5,657
	Toyota Motor Corp.	2.760%	7/2/29	7,000		7,209
	Toyota Motor Credit Corp.	3.050%	1/8/21	300		303
	Toyota Motor Credit Corp.	4.250%	1/11/21	2,200		2,253
	Toyota Motor Credit Corp.	1.900%	4/8/21	15,771		15,783
	Toyota Motor Credit Corp.	2.950%	4/13/21	11,565		11,730
	Toyota Motor Credit Corp.	2.750%	5/17/21	4,200		4,249
	Toyota Motor Credit Corp.	3.400%	9/15/21	7,019		7,194
	Toyota Motor Credit Corp.	1.800%	10/7/21	3,400		3,396
	Toyota Motor Credit Corp.	2.600%	1/11/22	8,300		8,424
	Toyota Motor Credit Corp.	3.300%	1/12/22	9,650		9,918
	Toyota Motor Credit Corp.	2.650%	4/12/22	24,000		24,391
	Toyota Motor Credit Corp.	2.800%	7/13/22	1,065		1,089
	Toyota Motor Credit Corp.	2.150%	9/8/22	12,100		12,194
	Toyota Motor Credit Corp.	2.625%	1/10/23	6,725		6,855
	Toyota Motor Credit Corp.	2.700%	1/11/23	3,950		4,030
	Toyota Motor Credit Corp.	2.250%	10/18/23	4,050		4,082
	Toyota Motor Credit Corp.	3.350%	1/8/24	200		210
	Toyota Motor Credit Corp.	2.900%	4/17/24	4,600		4,759
	Toyota Motor Credit Corp.	3.400%	4/14/25	3,025		3,217
	Toyota Motor Credit Corp.	3.200%	1/11/27	8,600		9,091
	Toyota Motor Credit Corp.	3.050%	1/11/28	13,475		14,133
	Toyota Motor Credit Corp.	3.650%	1/8/29	3,475		3,821
	VF Corp.	3.500%	9/1/21	8,035		8,216
	VF Corp.	6.450%	11/1/37	4,475		6,218
	Visa Inc.	2.200%	12/14/20	27,535		27,635
	Visa Inc.	2.150%	9/15/22	8,000		8,087
	Visa Inc.	2.800%	12/14/22	16,775		17,236
	Visa Inc.	3.150%	12/14/25	41,980		44,323

99

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Visa Inc.	2.750%	9/15/27	8,550		8,920
	Visa Inc.	4.150%	12/14/35	17,330		20,428
	Visa Inc.	4.300%	12/14/45	32,110		39,540
	Visa Inc.	3.650%	9/15/47	6,950		7,793
	Walgreen Co.	3.100%	9/15/22	7,185		7,328
	Walgreen Co.	4.400%	9/15/42	4,276		4,245
	Walgreens Boots Alliance Inc.	3.300%	11/18/21	6,250		6,367
	Walgreens Boots Alliance Inc.	3.800%	11/18/24	17,825		18,546
	Walgreens Boots Alliance Inc.	3.450%	6/1/26	18,010		18,277
	Walgreens Boots Alliance Inc.	4.500%	11/18/34	4,270		4,395
	Walgreens Boots Alliance Inc.	4.800%	11/18/44	13,605		13,843
	Walgreens Boots Alliance Inc.	4.650%	6/1/46	5,220		5,232
	Walmart Inc.	1.900%	12/15/20	37,415		37,464
	Walmart Inc.	3.125%	6/23/21	14,000		14,288
	Walmart Inc.	2.350%	12/15/22	11,040		11,227
	Walmart Inc.	2.550%	4/11/23	12,735		12,993
	Walmart Inc.	3.400%	6/26/23	12,475		13,099
	Walmart Inc.	3.300%	4/22/24	16,600		17,428
	Walmart Inc.	2.850%	7/8/24	19,235		19,903
	Walmart Inc.	2.650%	12/15/24	18,312		18,872
	Walmart Inc.	3.550%	6/26/25	18,650		19,955
	Walmart Inc.	3.050%	7/8/26	13,000		13,652
	Walmart Inc.	5.875%	4/5/27	8,160		10,048
	Walmart Inc.	3.700%	6/26/28	20,475		22,541
	Walmart Inc.	3.250%	7/8/29	11,100		11,901
	Walmart Inc.	2.375%	9/24/29	4,635		4,640
	Walmart Inc.	7.550%	2/15/30	4,191		6,066
	Walmart Inc.	5.250%	9/1/35	16,090		21,095
	Walmart Inc.	6.200%	4/15/38	13,580		19,772
	Walmart Inc.	3.950%	6/28/38	7,175		8,332
	Walmart Inc.	5.625%	4/1/40	7,685		10,663
	Walmart Inc.	4.875%	7/8/40	7,145		9,038
	Walmart Inc.	5.000%	10/25/40	2,155		2,804
	Walmart Inc.	5.625%	4/15/41	4,810		6,855
	Walmart Inc.	4.000%	4/11/43	8,385		9,650
	Walmart Inc.	4.300%	4/22/44	5,250		6,273
	Walmart Inc.	3.625%	12/15/47	13,315		14,737
	Walmart Inc.	4.050%	6/29/48	19,025		22,402
	Walmart Inc.	2.950%	9/24/49	5,200		5,090
	Western Union Co.	3.600%	3/15/22	4,725		4,875
	Western Union Co.	2.850%	1/10/25	4,500		4,513
	Western Union Co.	6.200%	11/17/36	5,025		5,698
	Western Union Co.	6.200%	6/21/40	1,430		1,576
	Consumer Noncyclical (4.3%)
	Abbott Laboratories	2.550%	3/15/22	5,725		5,818
	Abbott Laboratories	3.400%	11/30/23	17,551		18,432
	Abbott Laboratories	2.950%	3/15/25	3,900		4,044
	Abbott Laboratories	3.875%	9/15/25	4,750		5,171
	Abbott Laboratories	3.750%	11/30/26	18,036		19,682
	Abbott Laboratories	4.750%	11/30/36	24,310		30,292
	Abbott Laboratories	6.150%	11/30/37	3,830		5,364
	Abbott Laboratories	6.000%	4/1/39	350		498
	Abbott Laboratories	5.300%	5/27/40	1,851		2,415

100

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Abbott Laboratories	4.750%	4/15/43	7,325		9,200
	Abbott Laboratories	4.900%	11/30/46	28,810		37,617
	AbbVie Inc.	2.300%	5/14/21	13,650		13,690
	AbbVie Inc.	3.375%	11/14/21	9,125		9,351
7	AbbVie Inc.	2.150%	11/19/21	16,785		16,828
	AbbVie Inc.	2.900%	11/6/22	27,707		28,256
	AbbVie Inc.	3.200%	11/6/22	15,666		16,105
7	AbbVie Inc.	2.300%	11/21/22	26,075		26,172
	AbbVie Inc.	2.850%	5/14/23	13,825		14,090
	AbbVie Inc.	3.750%	11/14/23	13,300		13,991
7	AbbVie Inc.	2.600%	11/21/24	32,000		32,217
	AbbVie Inc.	3.600%	5/14/25	33,510		35,367
	AbbVie Inc.	3.200%	5/14/26	17,230		17,821
7	AbbVie Inc.	2.950%	11/21/26	34,250		34,727
	AbbVie Inc.	4.250%	11/14/28	14,870		16,437
7	AbbVie Inc.	3.200%	11/21/29	49,512		50,405
	AbbVie Inc.	4.500%	5/14/35	22,415		25,196
	AbbVie Inc.	4.300%	5/14/36	9,275		10,180
7	AbbVie Inc.	4.050%	11/21/39	34,445		35,990
	AbbVie Inc.	4.400%	11/6/42	24,318		26,218
	AbbVie Inc.	4.700%	5/14/45	24,978		27,883
	AbbVie Inc.	4.450%	5/14/46	18,943		20,392
	AbbVie Inc.	4.875%	11/14/48	15,341		17,613
7	AbbVie Inc.	4.250%	11/21/49	54,540		57,414
	Actavis Inc.	3.250%	10/1/22	21,214		21,678
	Adventist Health System	2.952%	3/1/29	4,420		4,362
	Adventist Health System	3.630%	3/1/49	4,745		4,619
	Advocate Health & Hospitals Corp.	3.829%	8/15/28	2,300		2,489
	Advocate Health & Hospitals Corp.	4.272%	8/15/48	4,050		4,608
	Advocate Health & Hospitals Corp.	3.387%	10/15/49	3,275		3,264
	Agilent Technologies Inc.	3.200%	10/1/22	6,015		6,154
	Agilent Technologies Inc.	3.875%	7/15/23	3,975		4,167
	Agilent Technologies Inc.	3.050%	9/22/26	6,700		6,831
	Agilent Technologies Inc.	2.750%	9/15/29	1,000		989
	Ahold Finance USA LLC	6.875%	5/1/29	1,100		1,429
	AHS Hospital Corp.	5.024%	7/1/45	3,300		4,091
	Allergan Finance LLC	4.625%	10/1/42	6,310		6,566
	Allergan Funding SCS	3.450%	3/15/22	19,650		20,100
	Allergan Funding SCS	3.850%	6/15/24	9,625		10,084
	Allergan Funding SCS	3.800%	3/15/25	26,023		27,260
	Allergan Funding SCS	4.550%	3/15/35	13,620		14,463
	Allergan Funding SCS	4.850%	6/15/44	12,616		14,008
	Allergan Funding SCS	4.750%	3/15/45	4,125		4,483
	Allergan Inc.	2.800%	3/15/23	650		655
	Allina Health System	3.887%	4/15/49	3,750		3,990
	Altria Group Inc.	4.750%	5/5/21	9,840		10,181
	Altria Group Inc.	3.490%	2/14/22	9,830		10,113
	Altria Group Inc.	2.850%	8/9/22	14,175		14,435
	Altria Group Inc.	2.950%	5/2/23	3,200		3,236
	Altria Group Inc.	4.000%	1/31/24	11,900		12,605
	Altria Group Inc.	3.800%	2/14/24	2,700		2,838
	Altria Group Inc.	4.400%	2/14/26	13,025		14,145
	Altria Group Inc.	2.625%	9/16/26	2,200		2,174
	Altria Group Inc.	4.800%	2/14/29	24,775		27,511

101

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Altria Group Inc.	5.800%	2/14/39	22,900		26,778
	Altria Group Inc.	4.250%	8/9/42	7,841		7,798
	Altria Group Inc.	4.500%	5/2/43	9,059		9,196
	Altria Group Inc.	5.375%	1/31/44	12,738		14,344
	Altria Group Inc.	3.875%	9/16/46	8,475		7,871
	Altria Group Inc.	5.950%	2/14/49	24,025		29,047
	Altria Group Inc.	6.200%	2/14/59	5,165		6,104
	AmerisourceBergen Corp.	3.500%	11/15/21	6,550		6,708
	AmerisourceBergen Corp.	3.400%	5/15/24	7,375		7,643
	AmerisourceBergen Corp.	3.250%	3/1/25	5,725		5,916
	AmerisourceBergen Corp.	3.450%	12/15/27	6,525		6,766
	AmerisourceBergen Corp.	4.250%	3/1/45	1,682		1,708
	AmerisourceBergen Corp.	4.300%	12/15/47	8,588		8,804
	Amgen Inc.	4.100%	6/15/21	7,515		7,706
	Amgen Inc.	1.850%	8/19/21	6,925		6,912
	Amgen Inc.	3.875%	11/15/21	6,245		6,442
	Amgen Inc.	2.700%	5/1/22	3,675		3,724
	Amgen Inc.	2.650%	5/11/22	13,372		13,564
	Amgen Inc.	3.625%	5/15/22	11,075		11,453
	Amgen Inc.	2.250%	8/19/23	7,100		7,160
	Amgen Inc.	3.625%	5/22/24	15,438		16,296
	Amgen Inc.	3.125%	5/1/25	3,100		3,236
	Amgen Inc.	2.600%	8/19/26	16,425		16,598
	Amgen Inc.	3.200%	11/2/27	4,430		4,643
	Amgen Inc.	6.400%	2/1/39	2,100		2,789
	Amgen Inc.	4.950%	10/1/41	8,625		10,242
	Amgen Inc.	5.150%	11/15/41	6,800		8,224
	Amgen Inc.	4.400%	5/1/45	23,530		26,374
	Amgen Inc.	4.563%	6/15/48	15,252		17,595
	Amgen Inc.	4.663%	6/15/51	33,643		39,558
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.900%	2/1/46	118,223		139,993
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	3.650%	2/1/26	37,899		40,346
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36	59,111		68,169
	Anheuser-Busch InBev Finance Inc.	2.625%	1/17/23	13,929		14,161
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23	24,837		25,695
	Anheuser-Busch InBev Finance Inc.	3.700%	2/1/24	14,106		14,948
	Anheuser-Busch InBev Finance Inc.	4.000%	1/17/43	12,425		13,105
	Anheuser-Busch InBev Finance Inc.	4.625%	2/1/44	8,986		10,121
	Anheuser-Busch InBev Finance Inc.	4.900%	2/1/46	5,342		6,300
	Anheuser-Busch InBev Worldwide Inc.	4.375%	2/15/21	2,587		2,646
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22	3,605		3,666
	Anheuser-Busch InBev Worldwide Inc.	3.500%	1/12/24	12,587		13,258
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25	21,530		23,422
	Anheuser-Busch InBev Worldwide Inc.	4.000%	4/13/28	26,680		29,297
	Anheuser-Busch InBev Worldwide Inc.	4.750%	1/23/29	41,293		47,820
	Anheuser-Busch InBev Worldwide Inc.	4.900%	1/23/31	15,150		18,028
	Anheuser-Busch InBev Worldwide Inc.	4.375%	4/15/38	14,325		16,063
	Anheuser-Busch InBev Worldwide Inc.	8.200%	1/15/39	6,050		9,480
	Anheuser-Busch InBev Worldwide Inc.	5.450%	1/23/39	3,400		4,275
	Anheuser-Busch InBev Worldwide Inc.	4.950%	1/15/42	14,276		16,825
	Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42	16,357		16,557

102

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Anheuser-Busch InBev Worldwide Inc.	4.600%	4/15/48	22,325		25,371
	Anheuser-Busch InBev Worldwide Inc.	4.439%	10/6/48	19,110		21,353
	Anheuser-Busch InBev Worldwide Inc.	5.550%	1/23/49	33,925		43,972
	Anheuser-Busch InBev Worldwide Inc.	4.750%	4/15/58	14,760		17,230
	Anheuser-Busch InBev Worldwide Inc.	5.800%	1/23/59	8,485		11,564
	Archer-Daniels-Midland Co.	4.479%	3/1/21	587		604
	Archer-Daniels-Midland Co.	3.375%	3/15/22	8,525		8,772
	Archer-Daniels-Midland Co.	2.500%	8/11/26	8,750		8,883
	Archer-Daniels-Midland Co.	5.935%	10/1/32	530		693
	Archer-Daniels-Midland Co.	5.375%	9/15/35	2,395		3,026
	Archer-Daniels-Midland Co.	4.535%	3/26/42	7,600		9,017
	Archer-Daniels-Midland Co.	4.016%	4/16/43	6,416		7,106
	Archer-Daniels-Midland Co.	3.750%	9/15/47	6,500		7,078
	Archer-Daniels-Midland Co.	4.500%	3/15/49	5,325		6,496
	Ascension Health	2.532%	11/15/29	5,226		5,159
	Ascension Health	3.106%	11/15/39	4,450		4,376
	Ascension Health	3.945%	11/15/46	8,010		8,854
4	Ascension Health	4.847%	11/15/53	1,875		2,361
	AstraZeneca plc	2.375%	11/16/20	12,950		12,995
	AstraZeneca plc	2.375%	6/12/22	7,875		7,938
	AstraZeneca plc	3.500%	8/17/23	12,260		12,812
	AstraZeneca plc	3.375%	11/16/25	19,368		20,522
	AstraZeneca plc	3.125%	6/12/27	5,100		5,305
	AstraZeneca plc	4.000%	1/17/29	8,075		8,953
	AstraZeneca plc	6.450%	9/15/37	23,043		32,259
	AstraZeneca plc	4.000%	9/18/42	10,740		11,845
	AstraZeneca plc	4.375%	11/16/45	8,300		9,718
	AstraZeneca plc	4.375%	8/17/48	6,660		7,925
	BAT Capital Corp.	2.764%	8/15/22	11,750		11,911
	BAT Capital Corp.	3.222%	8/15/24	38,060		38,879
	BAT Capital Corp.	2.789%	9/6/24	8,650		8,696
	BAT Capital Corp.	3.215%	9/6/26	9,250		9,295
	BAT Capital Corp.	3.557%	8/15/27	31,250		31,815
	BAT Capital Corp.	3.462%	9/6/29	6,343		6,427
	BAT Capital Corp.	4.390%	8/15/37	21,650		21,946
	BAT Capital Corp.	4.540%	8/15/47	19,725		19,721
	BAT Capital Corp.	4.758%	9/6/49	9,650		9,955
	Baxalta Inc.	3.600%	6/23/22	3,605		3,697
	Baxalta Inc.	4.000%	6/23/25	7,133		7,654
	Baxalta Inc.	5.250%	6/23/45	4,188		5,337
	Baxter International Inc.	1.700%	8/15/21	4,425		4,417
	Baxter International Inc.	2.600%	8/15/26	2,025		2,038
	Baxter International Inc.	3.500%	8/15/46	4,850		4,685
	Baylor Scott & White Holdings	4.185%	11/15/45	4,230		4,723
	Beam Suntory Inc.	3.250%	5/15/22	600		612
	Beam Suntory Inc.	3.250%	6/15/23	1,400		1,422
	Becton Dickinson & Co.	3.125%	11/8/21	11,235		11,449
	Becton Dickinson & Co.	2.894%	6/6/22	20,650		20,980
	Becton Dickinson & Co.	3.300%	3/1/23	3,000		3,055
	Becton Dickinson & Co.	3.875%	5/15/24	1,231		1,294
	Becton Dickinson & Co.	3.363%	6/6/24	14,426		14,994
	Becton Dickinson & Co.	3.734%	12/15/24	11,128		11,790
	Becton Dickinson & Co.	6.700%	12/1/26	2,300		2,748
	Becton Dickinson & Co.	3.700%	6/6/27	14,860		15,798

103

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Becton Dickinson & Co.	4.875%	5/15/44	940		1,081
	Becton Dickinson & Co.	4.685%	12/15/44	10,565		12,257
	Becton Dickinson & Co.	4.669%	6/6/47	13,175		15,595
	Bio-Rad Laboratories Inc.	4.875%	12/15/20	2,450		2,508
	Biogen Inc.	3.625%	9/15/22	11,316		11,773
	Biogen Inc.	4.050%	9/15/25	15,095		16,398
	Biogen Inc.	5.200%	9/15/45	15,505		18,646
	Boston Scientific Corp.	3.375%	5/15/22	2,975		3,071
	Boston Scientific Corp.	3.450%	3/1/24	3,720		3,888
	Boston Scientific Corp.	3.850%	5/15/25	3,382		3,626
	Boston Scientific Corp.	3.750%	3/1/26	6,157		6,593
	Boston Scientific Corp.	4.000%	3/1/29	9,115		10,062
	Boston Scientific Corp.	7.000%	11/15/35	4,850		6,770
	Boston Scientific Corp.	4.550%	3/1/39	7,275		8,534
	Boston Scientific Corp.	7.375%	1/15/40	1,150		1,752
	Boston Scientific Corp.	4.700%	3/1/49	9,140		11,061
7	Bristol-Myers Squibb Co.	2.875%	2/19/21	1,175		1,187
7	Bristol-Myers Squibb Co.	2.550%	5/14/21	11,100		11,208
7	Bristol-Myers Squibb Co.	2.250%	8/15/21	3,450		3,470
7	Bristol-Myers Squibb Co.	2.600%	5/16/22	13,325		13,536
	Bristol-Myers Squibb Co.	2.000%	8/1/22	7,950		8,000
7	Bristol-Myers Squibb Co.	3.250%	8/15/22	8,950		9,225
7	Bristol-Myers Squibb Co.	3.550%	8/15/22	3,985		4,117
7	Bristol-Myers Squibb Co.	2.750%	2/15/23	5,400		5,486
7	Bristol-Myers Squibb Co.	3.250%	2/20/23	5,650		5,805
	Bristol-Myers Squibb Co.	7.150%	6/15/23	100		116
7	Bristol-Myers Squibb Co.	4.000%	8/15/23	3,550		3,783
	Bristol-Myers Squibb Co.	3.250%	11/1/23	4,250		4,439
7	Bristol-Myers Squibb Co.	3.625%	5/15/24	17,415		18,328
7	Bristol-Myers Squibb Co.	2.900%	7/26/24	31,645		32,612
7	Bristol-Myers Squibb Co.	3.875%	8/15/25	27,350		29,536
7	Bristol-Myers Squibb Co.	3.200%	6/15/26	19,925		20,874
7	Bristol-Myers Squibb Co.	3.450%	11/15/27	4,225		4,493
7	Bristol-Myers Squibb Co.	3.900%	2/20/28	12,900		14,061
7	Bristol-Myers Squibb Co.	3.400%	7/26/29	44,305		47,329
7	Bristol-Myers Squibb Co.	4.125%	6/15/39	17,950		20,698
7	Bristol-Myers Squibb Co.	5.700%	10/15/40	2,792		3,713
	Bristol-Myers Squibb Co.	3.250%	8/1/42	4,265		4,290
7	Bristol-Myers Squibb Co.	5.250%	8/15/43	5,130		6,537
	Bristol-Myers Squibb Co.	4.500%	3/1/44	4,983		5,852
7	Bristol-Myers Squibb Co.	4.625%	5/15/44	7,625		9,173
7	Bristol-Myers Squibb Co.	5.000%	8/15/45	19,840		25,060
7	Bristol-Myers Squibb Co.	4.350%	11/15/47	11,800		14,037
7	Bristol-Myers Squibb Co.	4.550%	2/20/48	9,475		11,633
7	Bristol-Myers Squibb Co.	4.250%	10/26/49	37,055		43,672
	Brown-Forman Corp.	3.500%	4/15/25	3,250		3,462
	Brown-Forman Corp.	4.500%	7/15/45	4,070		5,004
	Bunge Ltd. Finance Corp.	3.000%	9/25/22	8,768		8,891
	Bunge Ltd. Finance Corp.	4.350%	3/15/24	6,700		7,036
	Bunge Ltd. Finance Corp.	3.250%	8/15/26	5,540		5,518
	Bunge Ltd. Finance Corp.	3.750%	9/25/27	3,750		3,854
	Campbell Soup Co.	3.300%	3/15/21	11,000		11,151
	Campbell Soup Co.	2.500%	8/2/22	1,850		1,860
	Campbell Soup Co.	3.650%	3/15/23	10,575		11,014

104

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Campbell Soup Co.	3.950%	3/15/25	8,660		9,187
	Campbell Soup Co.	3.300%	3/19/25	4,125		4,240
	Campbell Soup Co.	4.150%	3/15/28	8,950		9,680
	Campbell Soup Co.	3.800%	8/2/42	3,150		3,084
	Campbell Soup Co.	4.800%	3/15/48	5,635		6,512
	Cardinal Health Inc.	4.625%	12/15/20	4,885		5,009
	Cardinal Health Inc.	2.616%	6/15/22	8,550		8,634
	Cardinal Health Inc.	3.200%	6/15/22	4,012		4,102
	Cardinal Health Inc.	3.200%	3/15/23	4,450		4,562
	Cardinal Health Inc.	3.079%	6/15/24	12,630		12,980
	Cardinal Health Inc.	3.750%	9/15/25	1,750		1,852
	Cardinal Health Inc.	3.410%	6/15/27	10,215		10,440
	Cardinal Health Inc.	4.600%	3/15/43	4,150		4,143
	Cardinal Health Inc.	4.500%	11/15/44	3,275		3,221
	Cardinal Health Inc.	4.900%	9/15/45	3,580		3,707
	Cardinal Health Inc.	4.368%	6/15/47	5,950		5,890
	Children’s Hospital Corp.	4.115%	1/1/47	1,575		1,788
	Children’s Hospital Medical Center	4.268%	5/15/44	1,050		1,178
	CHRISTUS Health	4.341%	7/1/28	5,100		5,616
	Church & Dwight Co. Inc.	2.450%	8/1/22	1,500		1,514
	Church & Dwight Co. Inc.	3.150%	8/1/27	3,575		3,716
	Church & Dwight Co. Inc.	3.950%	8/1/47	3,200		3,486
7	Cigna Corp.	3.300%	2/25/21	6,000		6,075
	Cigna Corp.	3.400%	9/17/21	5,585		5,710
7	Cigna Corp.	4.750%	11/15/21	12,242		12,833
7	Cigna Corp.	3.900%	2/15/22	13,466		13,899
7	Cigna Corp.	4.000%	2/15/22	4,785		4,932
7	Cigna Corp.	3.050%	11/30/22	5,500		5,596
7	Cigna Corp.	3.000%	7/15/23	14,000		14,194
	Cigna Corp.	3.750%	7/15/23	10,450		10,903
7	Cigna Corp.	3.500%	6/15/24	12,680		13,199
7	Cigna Corp.	3.250%	4/15/25	13,075		13,449
	Cigna Corp.	4.125%	11/15/25	12,010		12,996
7	Cigna Corp.	4.500%	2/25/26	19,100		20,670
7	Cigna Corp.	3.400%	3/1/27	17,690		18,303
7	Cigna Corp.	7.875%	5/15/27	362		469
7	Cigna Corp.	3.050%	10/15/27	17,105		17,177
	Cigna Corp.	4.375%	10/15/28	30,960		34,267
	Cigna Corp.	4.800%	8/15/38	14,850		17,089
7	Cigna Corp.	6.125%	11/15/41	4,034		5,087
7	Cigna Corp.	5.375%	2/15/42	550		629
7	Cigna Corp.	4.800%	7/15/46	15,575		17,922
7	Cigna Corp.	3.875%	10/15/47	7,200		7,230
	Cigna Corp.	4.900%	12/15/48	25,340		30,047
	City of Hope	5.623%	11/15/43	2,000		2,645
	City of Hope	4.378%	8/15/48	7,375		8,470
	Cleveland Clinic Foundation	4.858%	1/1/14	3,215		3,996
	Clorox Co.	3.800%	11/15/21	1,238		1,278
	Clorox Co.	3.050%	9/15/22	4,675		4,785
	Clorox Co.	3.500%	12/15/24	3,925		4,148
	Clorox Co.	3.100%	10/1/27	3,100		3,218
	Clorox Co.	3.900%	5/15/28	6,500		7,131
	Coca-Cola Co.	1.550%	9/1/21	10,550		10,533
	Coca-Cola Co.	3.300%	9/1/21	4,955		5,074

105

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Coca-Cola Co.	2.200%	5/25/22	3,625		3,660
	Coca-Cola Co.	2.500%	4/1/23	10,229		10,438
	Coca-Cola Co.	3.200%	11/1/23	9,850		10,339
	Coca-Cola Co.	1.750%	9/6/24	8,625		8,595
	Coca-Cola Co.	2.875%	10/27/25	10,650		11,096
	Coca-Cola Co.	2.550%	6/1/26	7,825		8,005
	Coca-Cola Co.	2.250%	9/1/26	12,315		12,391
	Coca-Cola Co.	2.900%	5/25/27	1,875		1,962
	Coca-Cola Co.	2.125%	9/6/29	6,200		6,027
	Coca-Cola Consolidated Inc.	3.800%	11/25/25	8,117		8,501
	Coca-Cola Femsa SAB de CV	3.875%	11/26/23	6,480		6,847
	Coca-Cola Femsa SAB de CV	5.250%	11/26/43	7,800		9,595
	Colgate-Palmolive Co.	2.450%	11/15/21	3,505		3,551
	Colgate-Palmolive Co.	2.300%	5/3/22	5,561		5,642
	Colgate-Palmolive Co.	2.250%	11/15/22	14,525		14,721
	Colgate-Palmolive Co.	1.950%	2/1/23	4,200		4,217
	Colgate-Palmolive Co.	2.100%	5/1/23	4,450		4,484
	Colgate-Palmolive Co.	3.250%	3/15/24	4,682		4,950
	Colgate-Palmolive Co.	4.000%	8/15/45	4,720		5,618
	Colgate-Palmolive Co.	3.700%	8/1/47	4,190		4,819
	CommonSpirit Health	2.950%	11/1/22	3,225		3,278
	CommonSpirit Health	2.760%	10/1/24	5,000		5,030
	CommonSpirit Health	3.347%	10/1/29	7,750		7,796
4	CommonSpirit Health	4.350%	11/1/42	10,435		10,717
	CommonSpirit Health	3.817%	10/1/49	2,500		2,428
	CommonSpirit Health	4.187%	10/1/49	8,000		7,978
	Conagra Brands Inc.	3.800%	10/22/21	10,550		10,871
	Conagra Brands Inc.	3.250%	9/15/22	4,300		4,397
	Conagra Brands Inc.	3.200%	1/25/23	6,011		6,192
	Conagra Brands Inc.	4.300%	5/1/24	8,000		8,592
	Conagra Brands Inc.	4.600%	11/1/25	12,025		13,248
	Conagra Brands Inc.	7.000%	10/1/28	700		866
	Conagra Brands Inc.	4.850%	11/1/28	10,950		12,498
	Conagra Brands Inc.	8.250%	9/15/30	4,025		5,533
	Conagra Brands Inc.	5.300%	11/1/38	10,675		12,657
	Conagra Brands Inc.	5.400%	11/1/48	8,925		10,865
	Constellation Brands Inc.	3.750%	5/1/21	4,261		4,352
	Constellation Brands Inc.	2.700%	5/9/22	6,607		6,689
	Constellation Brands Inc.	2.650%	11/7/22	6,825		6,916
	Constellation Brands Inc.	3.200%	2/15/23	5,900		6,054
	Constellation Brands Inc.	4.250%	5/1/23	16,800		17,795
	Constellation Brands Inc.	4.750%	11/15/24	9,521		10,513
	Constellation Brands Inc.	4.400%	11/15/25	3,375		3,678
	Constellation Brands Inc.	4.750%	12/1/25	2,700		3,003
	Constellation Brands Inc.	3.700%	12/6/26	5,625		5,971
	Constellation Brands Inc.	3.500%	5/9/27	3,275		3,411
	Constellation Brands Inc.	3.600%	2/15/28	8,495		8,922
	Constellation Brands Inc.	3.150%	8/1/29	14,700		14,852
	Constellation Brands Inc.	4.500%	5/9/47	4,500		4,832
	Constellation Brands Inc.	4.100%	2/15/48	3,025		3,158
	Constellation Brands Inc.	5.250%	11/15/48	4,525		5,492
	Covidien International Finance SA	3.200%	6/15/22	5,869		6,010
	Covidien International Finance SA	2.950%	6/15/23	2,530		2,591
	CVS Health Corp.	3.350%	3/9/21	18,009		18,275

106

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	CVS Health Corp.	2.125%	6/1/21	10,970		10,973
	CVS Health Corp.	3.500%	7/20/22	12,345		12,742
	CVS Health Corp.	2.750%	12/1/22	10,490		10,655
	CVS Health Corp.	4.750%	12/1/22	9,000		9,577
	CVS Health Corp.	3.700%	3/9/23	50,965		53,039
	CVS Health Corp.	4.000%	12/5/23	6,780		7,172
	CVS Health Corp.	3.375%	8/12/24	6,365		6,626
	CVS Health Corp.	4.100%	3/25/25	43,680		46,816
	CVS Health Corp.	3.875%	7/20/25	32,601		34,729
	CVS Health Corp.	2.875%	6/1/26	24,935		25,282
	CVS Health Corp.	3.000%	8/15/26	7,000		7,135
	CVS Health Corp.	4.300%	3/25/28	77,175		84,110
	CVS Health Corp.	3.250%	8/15/29	21,296		21,616
	CVS Health Corp.	4.875%	7/20/35	5,475		6,238
	CVS Health Corp.	4.780%	3/25/38	45,650		51,612
	CVS Health Corp.	6.125%	9/15/39	3,950		5,067
	CVS Health Corp.	5.300%	12/5/43	12,850		15,231
	CVS Health Corp.	5.125%	7/20/45	35,360		41,636
	CVS Health Corp.	5.050%	3/25/48	71,435		84,479
	Danaher Corp.	3.350%	9/15/25	3,800		4,032
	Danaher Corp.	4.375%	9/15/45	2,975		3,496
	Dartmouth-Hitchcock Health	4.178%	8/1/48	3,100		3,429
	Delhaize America LLC	9.000%	4/15/31	1,930		2,839
	DH Europe Finance II Sarl	2.050%	11/15/22	9,115		9,105
	DH Europe Finance II Sarl	2.200%	11/15/24	7,125		7,102
	DH Europe Finance II Sarl	2.600%	11/15/29	7,000		6,970
	DH Europe Finance II Sarl	3.250%	11/15/39	8,080		8,144
	DH Europe Finance II Sarl	3.400%	11/15/49	8,555		8,743
	Diageo Capital plc	2.625%	4/29/23	11,470		11,661
	Diageo Capital plc	2.125%	10/24/24	9,400		9,385
	Diageo Capital plc	3.875%	5/18/28	1,000		1,091
	Diageo Capital plc	2.375%	10/24/29	6,250		6,147
	Diageo Capital plc	5.875%	9/30/36	500		680
	Diageo Capital plc	3.875%	4/29/43	5,469		6,026
	Diageo Investment Corp.	2.875%	5/11/22	15,854		16,154
	Diageo Investment Corp.	7.450%	4/15/35	1,450		2,170
	Diageo Investment Corp.	4.250%	5/11/42	5,237		6,038
	Dignity Health	3.125%	11/1/22	950		968
	Dignity Health	3.812%	11/1/24	5,150		5,397
	Dignity Health	4.500%	11/1/42	6,000		6,240
	Dignity Health	5.267%	11/1/64	1,075		1,228
	Duke University Health System Inc.	3.920%	6/1/47	4,300		4,790
	Edwards Lifesciences Corp.	4.300%	6/15/28	4,750		5,265
	Eli Lilly & Co.	2.350%	5/15/22	6,533		6,616
	Eli Lilly & Co.	2.750%	6/1/25	3,158		3,254
	Eli Lilly & Co.	3.375%	3/15/29	9,775		10,519
	Eli Lilly & Co.	3.950%	3/15/49	16,578		19,090
	Eli Lilly & Co.	4.150%	3/15/59	16,800		19,704
	Estee Lauder Cos. Inc.	1.700%	5/10/21	2,825		2,818
	Estee Lauder Cos. Inc.	3.150%	3/15/27	4,300		4,548
	Estee Lauder Cos. Inc.	2.375%	12/1/29	2,000		1,997
	Estee Lauder Cos. Inc.	6.000%	5/15/37	1,650		2,266
	Estee Lauder Cos. Inc.	4.375%	6/15/45	4,125		4,891
	Estee Lauder Cos. Inc.	4.150%	3/15/47	7,025		8,170

107

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Estee Lauder Cos. Inc.	3.125%	12/1/49	5,885		5,868
	Flowers Foods Inc.	4.375%	4/1/22	2,950		3,072
	Flowers Foods Inc.	3.500%	10/1/26	3,500		3,593
	Fomento Economico Mexicano SAB de CV	2.875%	5/10/23	600		608
	Fomento Economico Mexicano SAB de CV	4.375%	5/10/43	3,550		3,953
	General Mills Inc.	3.150%	12/15/21	7,875		8,042
	General Mills Inc.	2.600%	10/12/22	4,550		4,615
	General Mills Inc.	3.700%	10/17/23	12,550		13,217
	General Mills Inc.	3.650%	2/15/24	3,885		4,082
	General Mills Inc.	4.000%	4/17/25	1,000		1,082
	General Mills Inc.	3.200%	2/10/27	4,675		4,903
	General Mills Inc.	4.200%	4/17/28	8,675		9,648
	General Mills Inc.	4.550%	4/17/38	6,825		7,922
	General Mills Inc.	5.400%	6/15/40	4,075		5,004
	General Mills Inc.	4.150%	2/15/43	4,375		4,698
	General Mills Inc.	4.700%	4/17/48	5,620		6,691
	Gilead Sciences Inc.	4.500%	4/1/21	8,450		8,661
	Gilead Sciences Inc.	4.400%	12/1/21	17,764		18,520
	Gilead Sciences Inc.	3.250%	9/1/22	8,635		8,920
	Gilead Sciences Inc.	2.500%	9/1/23	17,775		18,041
	Gilead Sciences Inc.	3.700%	4/1/24	16,816		17,852
	Gilead Sciences Inc.	3.500%	2/1/25	15,260		16,187
	Gilead Sciences Inc.	3.650%	3/1/26	22,046		23,699
	Gilead Sciences Inc.	2.950%	3/1/27	22,400		23,232
	Gilead Sciences Inc.	4.600%	9/1/35	9,394		11,232
	Gilead Sciences Inc.	4.000%	9/1/36	6,200		6,879
	Gilead Sciences Inc.	5.650%	12/1/41	8,810		11,564
	Gilead Sciences Inc.	4.800%	4/1/44	16,050		19,194
	Gilead Sciences Inc.	4.500%	2/1/45	15,825		18,266
	Gilead Sciences Inc.	4.750%	3/1/46	22,266		26,594
	Gilead Sciences Inc.	4.150%	3/1/47	15,825		17,505
	GlaxoSmithKline Capital Inc.	2.800%	3/18/23	4,956		5,073
	GlaxoSmithKline Capital Inc.	3.375%	5/15/23	11,925		12,418
	GlaxoSmithKline Capital Inc.	3.625%	5/15/25	16,650		17,815
	GlaxoSmithKline Capital Inc.	3.875%	5/15/28	13,525		14,893
	GlaxoSmithKline Capital Inc.	5.375%	4/15/34	3,400		4,335
	GlaxoSmithKline Capital Inc.	6.375%	5/15/38	26,539		37,945
	GlaxoSmithKline Capital Inc.	4.200%	3/18/43	2,975		3,451
	GlaxoSmithKline Capital plc	3.125%	5/14/21	20,500		20,827
	GlaxoSmithKline Capital plc	2.850%	5/8/22	10,800		11,033
	GlaxoSmithKline Capital plc	2.875%	6/1/22	14,275		14,579
	GlaxoSmithKline Capital plc	3.000%	6/1/24	8,825		9,148
	GlaxoSmithKline Capital plc	3.375%	6/1/29	8,900		9,522
	Hackensack Meridian Health Inc.	4.211%	7/1/48	4,000		4,491
	Hackensack Meridian Health Inc.	4.500%	7/1/57	2,100		2,470
	Hasbro Inc.	3.150%	5/15/21	3,200		3,233
	Hasbro Inc.	3.900%	11/19/29	8,000		8,049
	Hasbro Inc.	6.350%	3/15/40	3,700		4,322
	Hasbro Inc.	5.100%	5/15/44	4,413		4,389
	HCA Inc.	4.750%	5/1/23	11,146		11,926
	HCA Inc.	5.000%	3/15/24	17,690		19,304
	HCA Inc.	5.250%	4/15/25	18,063		20,185
	HCA Inc.	5.250%	6/15/26	13,022		14,585
	HCA Inc.	4.500%	2/15/27	1,350		1,456

108

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	HCA Inc.	4.125%	6/15/29	18,050		19,133
	HCA Inc.	5.125%	6/15/39	11,085		12,277
	HCA Inc.	5.500%	6/15/47	14,400		16,632
	HCA Inc.	5.250%	6/15/49	17,795		20,019
	Hershey Co.	4.125%	12/1/20	2,195		2,239
	Hershey Co.	3.100%	5/15/21	4,250		4,319
	Hershey Co.	2.625%	5/1/23	2,750		2,798
	Hershey Co.	3.375%	5/15/23	10,050		10,534
	Hershey Co.	2.050%	11/15/24	2,291		2,289
	Hershey Co.	3.200%	8/21/25	2,695		2,822
	Hershey Co.	2.300%	8/15/26	4,325		4,361
	Hershey Co.	2.450%	11/15/29	5,381		5,386
	Hershey Co.	3.125%	11/15/49	6,810		6,712
	Indiana University Health Inc. Obligated Group	3.970%	11/1/48	5,450		6,116
	Ingredion Inc.	3.200%	10/1/26	4,000		4,055
	JM Smucker Co.	3.500%	10/15/21	7,245		7,429
	JM Smucker Co.	3.000%	3/15/22	2,605		2,655
	JM Smucker Co.	3.500%	3/15/25	3,950		4,143
	JM Smucker Co.	3.375%	12/15/27	6,875		7,171
	JM Smucker Co.	4.250%	3/15/35	2,650		2,874
	JM Smucker Co.	4.375%	3/15/45	6,350		6,893
	Johns Hopkins Health System Corp.	3.837%	5/15/46	3,125		3,415
	Johnson & Johnson	1.950%	11/10/20	4,575		4,576
	Johnson & Johnson	1.650%	3/1/21	10,450		10,426
	Johnson & Johnson	3.550%	5/15/21	2,325		2,377
	Johnson & Johnson	2.450%	12/5/21	5,000		5,064
	Johnson & Johnson	2.250%	3/3/22	12,950		13,087
	Johnson & Johnson	2.050%	3/1/23	5,969		6,003
	Johnson & Johnson	6.730%	11/15/23	1,203		1,411
	Johnson & Johnson	3.375%	12/5/23	6,875		7,289
	Johnson & Johnson	2.625%	1/15/25	8,425		8,679
	Johnson & Johnson	2.450%	3/1/26	11,450		11,626
	Johnson & Johnson	2.950%	3/3/27	8,550		8,957
	Johnson & Johnson	2.900%	1/15/28	6,580		6,862
	Johnson & Johnson	6.950%	9/1/29	2,650		3,711
	Johnson & Johnson	4.950%	5/15/33	6,100		7,615
	Johnson & Johnson	4.375%	12/5/33	12,279		14,597
	Johnson & Johnson	3.550%	3/1/36	8,500		9,305
	Johnson & Johnson	3.625%	3/3/37	12,425		13,702
	Johnson & Johnson	5.950%	8/15/37	4,489		6,385
	Johnson & Johnson	3.400%	1/15/38	8,000		8,559
	Johnson & Johnson	5.850%	7/15/38	3,797		5,372
	Johnson & Johnson	4.500%	9/1/40	5,000		6,077
	Johnson & Johnson	4.850%	5/15/41	825		1,051
	Johnson & Johnson	4.500%	12/5/43	7,620		9,364
	Johnson & Johnson	3.700%	3/1/46	17,925		20,223
	Johnson & Johnson	3.750%	3/3/47	15,131		17,218
	Johnson & Johnson	3.500%	1/15/48	7,200		7,774
	Kaiser Foundation Hospitals	3.500%	4/1/22	1,835		1,896
	Kaiser Foundation Hospitals	3.150%	5/1/27	4,900		5,105
	Kaiser Foundation Hospitals	4.875%	4/1/42	5,300		6,495
	Kaiser Foundation Hospitals	4.150%	5/1/47	12,075		13,766
	Kaiser Foundation Hospitals	3.266%	11/1/49	8,000		8,026
	Kellogg Co.	4.000%	12/15/20	1,459		1,484

109

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Kellogg Co.	2.650%	12/1/23	4,536		4,619
	Kellogg Co.	3.250%	4/1/26	5,025		5,215
	Kellogg Co.	3.400%	11/15/27	10,475		10,953
	Kellogg Co.	4.300%	5/15/28	2,375		2,647
	Kellogg Co.	7.450%	4/1/31	767		1,075
	Kellogg Co.	4.500%	4/1/46	8,950		9,967
	Keurig Dr Pepper Inc.	3.551%	5/25/21	10,825		11,047
	Keurig Dr Pepper Inc.	2.700%	11/15/22	2,725		2,749
	Keurig Dr Pepper Inc.	4.057%	5/25/23	16,325		17,208
	Keurig Dr Pepper Inc.	3.130%	12/15/23	7,475		7,676
	Keurig Dr Pepper Inc.	4.417%	5/25/25	3,895		4,251
	Keurig Dr Pepper Inc.	3.400%	11/15/25	6,485		6,727
	Keurig Dr Pepper Inc.	2.550%	9/15/26	5,500		5,467
	Keurig Dr Pepper Inc.	3.430%	6/15/27	2,600		2,715
	Keurig Dr Pepper Inc.	4.597%	5/25/28	17,140		19,246
	Keurig Dr Pepper Inc.	7.450%	5/1/38	305		417
	Keurig Dr Pepper Inc.	4.985%	5/25/38	3,675		4,332
	Keurig Dr Pepper Inc.	4.500%	11/15/45	11,525		12,576
	Keurig Dr Pepper Inc.	4.420%	12/15/46	3,000		3,237
	Kimberly-Clark Corp.	3.875%	3/1/21	4,015		4,101
	Kimberly-Clark Corp.	2.400%	3/1/22	5,275		5,330
	Kimberly-Clark Corp.	2.400%	6/1/23	1,600		1,632
	Kimberly-Clark Corp.	3.050%	8/15/25	3,075		3,227
	Kimberly-Clark Corp.	2.750%	2/15/26	3,625		3,716
	Kimberly-Clark Corp.	3.950%	11/1/28	3,575		3,984
	Kimberly-Clark Corp.	3.200%	4/25/29	3,875		4,127
	Kimberly-Clark Corp.	6.625%	8/1/37	300		442
	Kimberly-Clark Corp.	5.300%	3/1/41	8,275		10,879
	Kimberly-Clark Corp.	3.700%	6/1/43	2,025		2,096
	Kimberly-Clark Corp.	3.200%	7/30/46	6,400		6,454
	Kimberly-Clark Corp.	3.900%	5/4/47	2,000		2,235
	Koninklijke Ahold Delhaize NV	5.700%	10/1/40	2,123		2,591
	Koninklijke Philips NV	6.875%	3/11/38	4,600		6,446
	Koninklijke Philips NV	5.000%	3/15/42	7,775		9,297
	Kraft Foods Group Inc.	6.875%	1/26/39	9,200		11,503
	Kraft Foods Group Inc.	6.500%	2/9/40	7,250		8,786
	Kraft Foods Group Inc.	5.000%	6/4/42	14,708		15,739
	Kraft Heinz Foods Co.	3.375%	6/15/21	8,125		8,250
	Kraft Heinz Foods Co.	3.500%	7/15/22	8,128		8,371
	Kraft Heinz Foods Co.	4.000%	6/15/23	13,023		13,686
	Kraft Heinz Foods Co.	3.950%	7/15/25	17,795		18,816
	Kraft Heinz Foods Co.	3.000%	6/1/26	19,913		19,900
	Kraft Heinz Foods Co.	4.625%	1/30/29	10,275		11,235
7	Kraft Heinz Foods Co.	3.750%	4/1/30	8,655		8,893
	Kraft Heinz Foods Co.	5.000%	7/15/35	8,955		9,947
7	Kraft Heinz Foods Co.	4.625%	10/1/39	4,325		4,487
	Kraft Heinz Foods Co.	5.200%	7/15/45	18,375		19,841
	Kraft Heinz Foods Co.	4.375%	6/1/46	27,000		26,580
7	Kraft Heinz Foods Co.	4.875%	10/1/49	12,985		13,521
	Kroger Co.	3.300%	1/15/21	3,050		3,083
	Kroger Co.	2.600%	2/1/21	5,175		5,205
	Kroger Co.	2.950%	11/1/21	9,861		10,007
	Kroger Co.	3.400%	4/15/22	4,102		4,218
	Kroger Co.	2.800%	8/1/22	2,800		2,852

110

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Kroger Co.	3.850%	8/1/23	9,757		10,293
	Kroger Co.	4.000%	2/1/24	4,309		4,574
	Kroger Co.	3.500%	2/1/26	1,800		1,884
	Kroger Co.	2.650%	10/15/26	9,180		9,191
	Kroger Co.	3.700%	8/1/27	3,150		3,357
	Kroger Co.	7.700%	6/1/29	4,025		5,375
	Kroger Co.	8.000%	9/15/29	6,150		8,423
	Kroger Co.	7.500%	4/1/31	1,125		1,547
	Kroger Co.	6.900%	4/15/38	3,327		4,446
	Kroger Co.	5.400%	7/15/40	2,650		3,063
	Kroger Co.	5.000%	4/15/42	4,149		4,606
	Kroger Co.	5.150%	8/1/43	1,000		1,123
	Kroger Co.	3.875%	10/15/46	3,575		3,481
	Kroger Co.	4.450%	2/1/47	9,375		9,927
	Kroger Co.	4.650%	1/15/48	7,525		8,192
	Kroger Co.	5.400%	1/15/49	1,800		2,185
	Laboratory Corp. of America Holdings	3.200%	2/1/22	6,075		6,201
	Laboratory Corp. of America Holdings	3.750%	8/23/22	550		570
	Laboratory Corp. of America Holdings	4.000%	11/1/23	550		579
	Laboratory Corp. of America Holdings	3.250%	9/1/24	7,500		7,787
	Laboratory Corp. of America Holdings	2.300%	12/1/24	4,000		3,981
	Laboratory Corp. of America Holdings	3.600%	2/1/25	11,108		11,684
	Laboratory Corp. of America Holdings	3.600%	9/1/27	5,225		5,504
	Laboratory Corp. of America Holdings	2.950%	12/1/29	5,775		5,784
	Laboratory Corp. of America Holdings	4.700%	2/1/45	7,885		8,839
4	Mayo Clinic	3.774%	11/15/43	5,125		5,509
4	Mayo Clinic	4.000%	11/15/47	1,875		2,083
4	Mayo Clinic	4.128%	11/15/52	1,150		1,292
	McCormick & Co. Inc.	3.900%	7/15/21	875		896
	McCormick & Co. Inc.	2.700%	8/15/22	5,450		5,535
	McCormick & Co. Inc.	3.150%	8/15/24	6,775		7,023
	McCormick & Co. Inc.	3.400%	8/15/27	10,500		10,932
	McCormick & Co. Inc.	4.200%	8/15/47	1,320		1,443
	McKesson Corp.	2.700%	12/15/22	9,300		9,407
	McKesson Corp.	2.850%	3/15/23	1,500		1,521
	McKesson Corp.	3.796%	3/15/24	9,300		9,776
	McKesson Corp.	3.950%	2/16/28	5,300		5,606
	McKesson Corp.	4.750%	5/30/29	1,950		2,185
	McKesson Corp.	6.000%	3/1/41	375		453
	Mead Johnson Nutrition Co.	3.000%	11/15/20	5,950		6,002
	Mead Johnson Nutrition Co.	4.125%	11/15/25	6,435		7,039
	Mead Johnson Nutrition Co.	5.900%	11/1/39	5,160		6,914
	Mead Johnson Nutrition Co.	4.600%	6/1/44	6,960		8,356
	Medtronic Inc.	3.150%	3/15/22	15,340		15,771
	Medtronic Inc.	3.500%	3/15/25	13,793		14,772
	Medtronic Inc.	4.375%	3/15/35	22,644		26,721
	Medtronic Inc.	4.625%	3/15/45	18,067		22,626
	Memorial Health Services	3.447%	11/1/49	5,000		4,908
	Memorial Sloan-Kettering Cancer Center	5.000%	7/1/42	700		882
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52	4,605		5,309
	Memorial Sloan-Kettering Cancer Center	4.200%	7/1/55	1,700		1,973
	Merck & Co. Inc.	3.875%	1/15/21	3,375		3,433
	Merck & Co. Inc.	2.350%	2/10/22	11,034		11,170
	Merck & Co. Inc.	2.400%	9/15/22	10,820		10,971

111

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Merck & Co. Inc.	2.800%	5/18/23	15,925		16,409
	Merck & Co. Inc.	2.900%	3/7/24	5,950		6,191
	Merck & Co. Inc.	2.750%	2/10/25	22,453		23,195
	Merck & Co. Inc.	3.400%	3/7/29	14,050		15,173
	Merck & Co. Inc.	6.500%	12/1/33	5,650		7,957
	Merck & Co. Inc.	3.900%	3/7/39	8,725		9,959
	Merck & Co. Inc.	3.600%	9/15/42	8,245		8,891
	Merck & Co. Inc.	4.150%	5/18/43	10,889		12,863
	Merck & Co. Inc.	3.700%	2/10/45	21,734		24,017
	Merck & Co. Inc.	4.000%	3/7/49	14,800		17,227
	Mercy Health	4.302%	7/1/28	1,750		1,934
	Molson Coors Beverage Co.	2.100%	7/15/21	9,162		9,160
	Molson Coors Beverage Co.	3.500%	5/1/22	826		847
	Molson Coors Beverage Co.	3.000%	7/15/26	20,476		20,688
	Molson Coors Beverage Co.	5.000%	5/1/42	9,975		10,859
	Molson Coors Beverage Co.	4.200%	7/15/46	17,675		17,589
7	Mondelez International Holdings Netherlands BV	2.125%	9/19/22	3,800		3,797
	Mondelez International Inc.	3.625%	2/13/26	3,500		3,746
	Mondelez International Inc.	4.625%	5/7/48	2,100		2,433
4	Montefiore Obligated Group	5.246%	11/1/48	6,800		7,629
4	Mount Sinai Hospitals Group Inc.	3.981%	7/1/48	2,100		2,164
4	Mount Sinai Hospitals Group Inc.	3.737%	7/1/49	5,000		4,957
7	Mylan Inc.	3.125%	1/15/23	325		329
	Mylan Inc.	4.200%	11/29/23	8,205		8,657
	Mylan Inc.	4.550%	4/15/28	7,025		7,548
	Mylan Inc.	5.400%	11/29/43	4,820		5,236
	Mylan Inc.	5.200%	4/15/48	5,700		6,308
	Mylan NV	3.750%	12/15/20	50		51
	Mylan NV	3.150%	6/15/21	11,852		11,974
	Mylan NV	3.950%	6/15/26	17,595		18,255
	Mylan NV	5.250%	6/15/46	8,925		9,955
	New York & Presbyterian Hospital	4.024%	8/1/45	4,390		4,883
	New York & Presbyterian Hospital	4.063%	8/1/56	4,575		4,946
	New York & Presbyterian Hospital	3.954%	8/1/19	5,685		5,678
	Northwell Healthcare Inc.	3.979%	11/1/46	6,975		7,101
	Northwell Healthcare Inc.	4.260%	11/1/47	9,050		9,680
	Northwell Healthcare Inc.	3.809%	11/1/49	2,870		2,882
	Novartis Capital Corp.	2.400%	5/17/22	24,250		24,572
	Novartis Capital Corp.	2.400%	9/21/22	5,794		5,883
	Novartis Capital Corp.	3.400%	5/6/24	15,653		16,564
	Novartis Capital Corp.	3.000%	11/20/25	15,077		15,798
	Novartis Capital Corp.	3.100%	5/17/27	10,875		11,426
	Novartis Capital Corp.	3.700%	9/21/42	4,375		4,812
	Novartis Capital Corp.	4.400%	5/6/44	16,336		19,826
	Novartis Capital Corp.	4.000%	11/20/45	10,650		12,348
	NYU Hospitals Center	4.784%	7/1/44	3,425		4,100
4	NYU Hospitals Center	4.368%	7/1/47	4,775		5,330
	Ochsner Clinic Foundation	5.897%	5/15/45	275		365
	Orlando Health Obligated Group	4.089%	10/1/48	2,200		2,403
	Partners Healthcare System Inc.	3.765%	7/1/48	1,000		1,049
	Partners Healthcare System Inc.	4.117%	7/1/55	2,500		2,775
	PeaceHealth Obligated Group	4.787%	11/15/48	3,300		4,036
	PepsiCo Inc.	2.000%	4/15/21	7,225		7,239

112

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
PepsiCo Inc.	3.000%	8/25/21	12,620		12,858
PepsiCo Inc.	1.700%	10/6/21	6,125		6,118
PepsiCo Inc.	2.750%	3/5/22	18,670		19,046
PepsiCo Inc.	2.250%	5/2/22	6,000		6,059
PepsiCo Inc.	3.100%	7/17/22	3,425		3,528
PepsiCo Inc.	2.750%	3/1/23	7,975		8,189
PepsiCo Inc.	3.600%	3/1/24	5,334		5,673
PepsiCo Inc.	2.750%	4/30/25	6,850		7,084
PepsiCo Inc.	3.500%	7/17/25	4,000		4,288
PepsiCo Inc.	2.850%	2/24/26	2,750		2,862
PepsiCo Inc.	2.375%	10/6/26	14,525		14,724
PepsiCo Inc.	3.000%	10/15/27	13,525		14,268
PepsiCo Inc.	2.625%	7/29/29	14,725		14,991
PepsiCo Inc.	4.000%	3/5/42	7,800		8,875
PepsiCo Inc.	3.600%	8/13/42	4,100		4,385
PepsiCo Inc.	4.250%	10/22/44	6,375		7,495
PepsiCo Inc.	4.600%	7/17/45	4,460		5,511
PepsiCo Inc.	4.450%	4/14/46	14,250		17,512
PepsiCo Inc.	3.450%	10/6/46	16,825		17,760
PepsiCo Inc.	4.000%	5/2/47	6,263		7,231
PepsiCo Inc.	3.375%	7/29/49	10,665		11,164
PepsiCo Inc.	2.875%	10/15/49	8,950		8,565
PerkinElmer Inc.	3.300%	9/15/29	7,350		7,479
Perrigo Finance Unlimited Co.	3.500%	3/15/21	1,264		1,263
Perrigo Finance Unlimited Co.	3.500%	12/15/21	3,798		3,843
Perrigo Finance Unlimited Co.	3.900%	12/15/24	7,600		7,816
Perrigo Finance Unlimited Co.	4.375%	3/15/26	6,980		7,192
Perrigo Finance Unlimited Co.	4.900%	12/15/44	3,011		2,770
Pfizer Inc.	1.950%	6/3/21	12,550		12,579
Pfizer Inc.	3.000%	9/15/21	5,500		5,605
Pfizer Inc.	2.200%	12/15/21	4,200		4,232
Pfizer Inc.	2.800%	3/11/22	5,085		5,183
Pfizer Inc.	3.000%	6/15/23	5,760		5,980
Pfizer Inc.	3.200%	9/15/23	6,225		6,490
Pfizer Inc.	2.950%	3/15/24	7,925		8,225
Pfizer Inc.	3.400%	5/15/24	650		687
Pfizer Inc.	2.750%	6/3/26	12,725		13,125
Pfizer Inc.	3.000%	12/15/26	17,825		18,689
Pfizer Inc.	3.600%	9/15/28	8,025		8,764
Pfizer Inc.	3.450%	3/15/29	15,600		16,776
Pfizer Inc.	4.000%	12/15/36	10,550		12,017
Pfizer Inc.	4.100%	9/15/38	7,275		8,310
Pfizer Inc.	3.900%	3/15/39	12,855		14,469
Pfizer Inc.	7.200%	3/15/39	19,540		30,613
Pfizer Inc.	4.300%	6/15/43	5,010		5,893
Pfizer Inc.	4.400%	5/15/44	9,875		11,788
Pfizer Inc.	4.125%	12/15/46	10,475		12,082
Pfizer Inc.	4.200%	9/15/48	12,400		14,519
Pfizer Inc.	4.000%	3/15/49	10,225		11,824
Pharmacia LLC	6.600%	12/1/28	5,248		6,892
Philip Morris International Inc.	1.875%	2/25/21	10,000		9,989
Philip Morris International Inc.	4.125%	5/17/21	4,458		4,586
Philip Morris International Inc.	2.900%	11/15/21	3,450		3,516
Philip Morris International Inc.	2.625%	2/18/22	5,000		5,061

113

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Philip Morris International Inc.	2.375%	8/17/22	7,400		7,462
	Philip Morris International Inc.	2.500%	8/22/22	3,000		3,028
	Philip Morris International Inc.	2.500%	11/2/22	5,900		5,989
	Philip Morris International Inc.	2.625%	3/6/23	2,970		3,018
	Philip Morris International Inc.	2.125%	5/10/23	4,230		4,228
	Philip Morris International Inc.	3.600%	11/15/23	7,660		8,052
	Philip Morris International Inc.	2.875%	5/1/24	9,625		9,890
	Philip Morris International Inc.	3.250%	11/10/24	10,600		11,095
	Philip Morris International Inc.	3.375%	8/11/25	4,625		4,860
	Philip Morris International Inc.	2.750%	2/25/26	10,500		10,614
	Philip Morris International Inc.	3.125%	8/17/27	4,500		4,651
	Philip Morris International Inc.	3.125%	3/2/28	4,230		4,336
	Philip Morris International Inc.	3.375%	8/15/29	6,725		7,040
	Philip Morris International Inc.	6.375%	5/16/38	7,600		10,556
	Philip Morris International Inc.	4.375%	11/15/41	9,493		10,511
	Philip Morris International Inc.	4.500%	3/20/42	4,665		5,235
	Philip Morris International Inc.	3.875%	8/21/42	6,202		6,440
	Philip Morris International Inc.	4.125%	3/4/43	9,815		10,577
	Philip Morris International Inc.	4.875%	11/15/43	6,450		7,592
	Philip Morris International Inc.	4.250%	11/10/44	10,760		11,860
4	Procter & Gamble - Esop	9.360%	1/1/21	373		390
	Procter & Gamble Co.	1.900%	10/23/20	9,650		9,655
	Procter & Gamble Co.	1.850%	2/2/21	17,525		17,542
	Procter & Gamble Co.	1.700%	11/3/21	7,105		7,126
	Procter & Gamble Co.	2.300%	2/6/22	7,164		7,257
	Procter & Gamble Co.	3.100%	8/15/23	8,250		8,624
	Procter & Gamble Co.	2.700%	2/2/26	4,500		4,674
	Procter & Gamble Co.	2.450%	11/3/26	10,300		10,594
	Procter & Gamble Co.	2.850%	8/11/27	6,575		6,952
	Procter & Gamble Co.	5.800%	8/15/34	322		449
	Procter & Gamble Co.	3.500%	10/25/47	4,850		5,446
	Providence St. Joseph Health Obligated Group	2.746%	10/1/26	1,250		1,262
	Providence St. Joseph Health Obligated Group	2.532%	10/1/29	6,900		6,755
4	Providence St. Joseph Health Obligated Group	3.744%	10/1/47	3,125		3,259
4	Providence St. Joseph Health Obligated Group	3.930%	10/1/48	3,500		3,745
	Quest Diagnostics Inc.	4.700%	4/1/21	1,335		1,377
	Quest Diagnostics Inc.	4.250%	4/1/24	3,300		3,539
	Quest Diagnostics Inc.	3.500%	3/30/25	1,250		1,315
	Quest Diagnostics Inc.	3.450%	6/1/26	10,900		11,438
	Quest Diagnostics Inc.	4.200%	6/30/29	2,740		3,023
	Quest Diagnostics Inc.	2.950%	6/30/30	8,245		8,255
	Quest Diagnostics Inc.	5.750%	1/30/40	876		968
	Quest Diagnostics Inc.	4.700%	3/30/45	1,250		1,386
	Reynolds American Inc.	4.000%	6/12/22	5,100		5,305
	Reynolds American Inc.	4.850%	9/15/23	2,345		2,538
	Reynolds American Inc.	4.450%	6/12/25	24,550		26,393
	Reynolds American Inc.	5.700%	8/15/35	6,545		7,548
	Reynolds American Inc.	7.250%	6/15/37	2,075		2,662
	Reynolds American Inc.	8.125%	5/1/40	2,239		2,907
	Reynolds American Inc.	7.000%	8/4/41	2,040		2,524

114

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Reynolds American Inc.	6.150%	9/15/43	5,075		5,908
	Reynolds American Inc.	5.850%	8/15/45	19,440		22,257
	RWJ Barnabas Health Inc.	3.949%	7/1/46	3,500		3,702
	RWJ Barnabas Health Inc.	3.477%	7/1/49	1,400		1,379
	Sanofi	4.000%	3/29/21	10,615		10,888
	Sanofi	3.375%	6/19/23	15,000		15,717
	Sanofi	3.625%	6/19/28	10,775		11,954
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21	32,500		32,662
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23	29,882		30,420
	Shire Acquisitions Investments Ireland DAC	3.200%	9/23/26	29,245		30,109
	Spectrum Health System Obligated Group	3.487%	7/15/49	2,855		2,851
	SSM Health Care Corp.	3.688%	6/1/23	7,600		7,907
	SSM Health Care Corp.	3.823%	6/1/27	3,600		3,806
	Stanford Health Care	3.795%	11/15/48	5,075		5,462
	Stryker Corp.	2.625%	3/15/21	16,525		16,635
	Stryker Corp.	3.375%	5/15/24	5,425		5,684
	Stryker Corp.	3.375%	11/1/25	6,265		6,591
	Stryker Corp.	3.500%	3/15/26	8,747		9,292
	Stryker Corp.	3.650%	3/7/28	5,300		5,690
	Stryker Corp.	4.100%	4/1/43	3,475		3,741
	Stryker Corp.	4.375%	5/15/44	2,575		2,910
	Stryker Corp.	4.625%	3/15/46	5,620		6,753
	Sutter Health	3.695%	8/15/28	3,025		3,241
	Sutter Health	4.091%	8/15/48	4,400		4,895
	Sysco Corp.	2.500%	7/15/21	1,825		1,839
	Sysco Corp.	2.600%	6/12/22	1,800		1,827
	Sysco Corp.	3.550%	3/15/25	2,000		2,128
	Sysco Corp.	3.750%	10/1/25	4,775		5,124
	Sysco Corp.	3.300%	7/15/26	8,250		8,693
	Sysco Corp.	3.250%	7/15/27	14,864		15,542
	Sysco Corp.	4.850%	10/1/45	3,480		4,179
	Sysco Corp.	4.500%	4/1/46	5,275		6,043
	Sysco Corp.	4.450%	3/15/48	4,400		5,022
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21	9,625		9,942
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23	10,050		10,776
	Takeda Pharmaceutical Co. Ltd.	5.000%	11/26/28	15,050		17,513
4	Texas Health Resources	4.330%	11/15/55	900		1,053
	Thermo Fisher Scientific Inc.	3.000%	4/15/23	8,000		8,222
	Thermo Fisher Scientific Inc.	4.150%	2/1/24	1,600		1,714
	Thermo Fisher Scientific Inc.	3.650%	12/15/25	6,075		6,490
	Thermo Fisher Scientific Inc.	2.950%	9/19/26	9,995		10,276
	Thermo Fisher Scientific Inc.	3.200%	8/15/27	7,600		7,939
	Thermo Fisher Scientific Inc.	2.600%	10/1/29	7,000		6,916
	Thermo Fisher Scientific Inc.	5.300%	2/1/44	4,390		5,551
	Thermo Fisher Scientific Inc.	4.100%	8/15/47	6,525		7,312
	Toledo Hospital	5.325%	11/15/28	2,710		2,909
	Toledo Hospital	5.750%	11/15/38	2,250		2,575
	Trinity Health Corp.	4.125%	12/1/45	5,070		5,571
	Tyson Foods Inc.	2.250%	8/23/21	1,350		1,355
	Tyson Foods Inc.	4.500%	6/15/22	13,525		14,230
	Tyson Foods Inc.	3.900%	9/28/23	3,300		3,499
	Tyson Foods Inc.	3.950%	8/15/24	19,065		20,375
	Tyson Foods Inc.	4.000%	3/1/26	7,000		7,579
	Tyson Foods Inc.	3.550%	6/2/27	11,175		11,852

115

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Tyson Foods Inc.	4.350%	3/1/29	19,000		21,496
	Tyson Foods Inc.	4.875%	8/15/34	4,325		5,058
	Tyson Foods Inc.	5.150%	8/15/44	4,152		5,023
	Tyson Foods Inc.	4.550%	6/2/47	7,625		8,644
	Tyson Foods Inc.	5.100%	9/28/48	12,900		16,235
	Unilever Capital Corp.	4.250%	2/10/21	9,960		10,225
	Unilever Capital Corp.	2.750%	3/22/21	1,250		1,264
	Unilever Capital Corp.	1.375%	7/28/21	8,395		8,332
	Unilever Capital Corp.	3.000%	3/7/22	5,075		5,194
	Unilever Capital Corp.	3.125%	3/22/23	200		207
	Unilever Capital Corp.	3.250%	3/7/24	13,175		13,791
	Unilever Capital Corp.	2.600%	5/5/24	19,965		20,405
	Unilever Capital Corp.	3.100%	7/30/25	3,875		4,050
	Unilever Capital Corp.	2.000%	7/28/26	6,200		6,142
	Unilever Capital Corp.	2.900%	5/5/27	6,400		6,685
	Unilever Capital Corp.	3.500%	3/22/28	7,675		8,297
	Unilever Capital Corp.	2.125%	9/6/29	5,750		5,570
	Unilever Capital Corp.	5.900%	11/15/32	8,600		11,653
	Whirlpool Corp.	4.850%	6/15/21	1,575		1,634
	Whirlpool Corp.	4.700%	6/1/22	6,700		7,087
	Whirlpool Corp.	4.000%	3/1/24	2,675		2,829
	Whirlpool Corp.	3.700%	5/1/25	2,400		2,522
	Whirlpool Corp.	4.750%	2/26/29	6,200		6,895
	Whirlpool Corp.	4.500%	6/1/46	4,675		4,835
4	Willis-Knighton Medical Center	4.813%	9/1/48	2,000		2,387
	Wyeth LLC	7.250%	3/1/23	2,000		2,310
	Wyeth LLC	6.450%	2/1/24	10,991		12,808
	Wyeth LLC	6.500%	2/1/34	4,125		5,759
	Wyeth LLC	6.000%	2/15/36	1,680		2,235
	Wyeth LLC	5.950%	4/1/37	17,010		23,162
	Zeneca Wilmington Inc.	7.000%	11/15/23	5,100		5,917
	Zimmer Biomet Holdings Inc.	3.375%	11/30/21	1,550		1,580
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22	8,400		8,576
	Zimmer Biomet Holdings Inc.	3.700%	3/19/23	1,175		1,223
	Zimmer Biomet Holdings Inc.	3.550%	4/1/25	16,500		17,345
	Zimmer Biomet Holdings Inc.	5.750%	11/30/39	1,750		2,075
	Zimmer Biomet Holdings Inc.	4.450%	8/15/45	7,685		8,051
	Zoetis Inc.	3.450%	11/13/20	5,232		5,286
	Zoetis Inc.	3.250%	8/20/21	2,625		2,667
	Zoetis Inc.	3.250%	2/1/23	16,023		16,528
	Zoetis Inc.	4.500%	11/13/25	2,915		3,226
	Zoetis Inc.	3.000%	9/12/27	8,040		8,221
	Zoetis Inc.	3.900%	8/20/28	4,950		5,357
	Zoetis Inc.	4.700%	2/1/43	10,790		12,799
	Zoetis Inc.	3.950%	9/12/47	5,425		5,883
	Zoetis Inc.	4.450%	8/20/48	2,600		3,035
	Energy (2.4%)
	Apache Corp.	3.625%	2/1/21	1,210		1,221
	Apache Corp.	3.250%	4/15/22	2,982		3,027
	Apache Corp.	4.375%	10/15/28	6,625		6,905
	Apache Corp.	7.750%	12/15/29	799		1,017
	Apache Corp.	5.100%	9/1/40	13,375		13,575
	Apache Corp.	5.250%	2/1/42	5,365		5,568

116

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Apache Corp.	4.750%	4/15/43	12,843		12,284
Apache Corp.	4.250%	1/15/44	12,175		11,231
Apache Corp.	5.350%	7/1/49	2,500		2,610
Baker Hughes a GE Co. LLC	5.125%	9/15/40	6,540		7,705
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22	16,280		16,597
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.337%	12/15/27	7,675		7,995
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.138%	11/7/29	5,100		5,227
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	4.080%	12/15/47	16,200		16,585
Boardwalk Pipelines LP	3.375%	2/1/23	2,240		2,281
Boardwalk Pipelines LP	4.950%	12/15/24	575		621
Boardwalk Pipelines LP	5.950%	6/1/26	14,910		16,678
Boardwalk Pipelines LP	4.450%	7/15/27	8,277		8,511
Boardwalk Pipelines LP	4.800%	5/3/29	2,000		2,128
BP Capital Markets America Inc.	4.742%	3/11/21	8,615		8,904
BP Capital Markets America Inc.	2.112%	9/16/21	9,250		9,286
BP Capital Markets America Inc.	3.245%	5/6/22	11,075		11,431
BP Capital Markets America Inc.	2.520%	9/19/22	5,500		5,584
BP Capital Markets America Inc.	2.750%	5/10/23	24,465		25,006
BP Capital Markets America Inc.	3.216%	11/28/23	5,800		6,027
BP Capital Markets America Inc.	3.790%	2/6/24	3,460		3,679
BP Capital Markets America Inc.	3.224%	4/14/24	2,697		2,812
BP Capital Markets America Inc.	3.796%	9/21/25	5,525		5,974
BP Capital Markets America Inc.	3.410%	2/11/26	8,500		9,025
BP Capital Markets America Inc.	3.119%	5/4/26	17,501		18,236
BP Capital Markets America Inc.	3.017%	1/16/27	7,247		7,492
BP Capital Markets America Inc.	3.588%	4/14/27	2,100		2,226
BP Capital Markets America Inc.	3.937%	9/21/28	7,750		8,549
BP Capital Markets America Inc.	4.234%	11/6/28	23,240		26,197
BP Capital Markets plc	3.561%	11/1/21	17,674		18,209
BP Capital Markets plc	3.062%	3/17/22	3,900		3,999
BP Capital Markets plc	2.500%	11/6/22	7,375		7,505
BP Capital Markets plc	3.994%	9/26/23	2,700		2,880
BP Capital Markets plc	3.814%	2/10/24	2,825		3,015
BP Capital Markets plc	3.535%	11/4/24	12,326		13,117
BP Capital Markets plc	3.506%	3/17/25	2,900		3,086
BP Capital Markets plc	3.279%	9/19/27	23,600		24,812
BP Capital Markets plc	3.723%	11/28/28	3,975		4,321
Burlington Resources Finance Co.	7.200%	8/15/31	7,062		9,953
Burlington Resources Finance Co.	7.400%	12/1/31	3,875		5,515
Canadian Natural Resources Ltd.	3.450%	11/15/21	915		935
Canadian Natural Resources Ltd.	2.950%	1/15/23	8,000		8,148
Canadian Natural Resources Ltd.	3.800%	4/15/24	15,765		16,478
Canadian Natural Resources Ltd.	3.850%	6/1/27	12,975		13,809
Canadian Natural Resources Ltd.	7.200%	1/15/32	1,875		2,538
Canadian Natural Resources Ltd.	6.450%	6/30/33	2,645		3,378
Canadian Natural Resources Ltd.	5.850%	2/1/35	2,212		2,720
Canadian Natural Resources Ltd.	6.500%	2/15/37	8,465		11,033
Canadian Natural Resources Ltd.	6.250%	3/15/38	10,043		12,998
Canadian Natural Resources Ltd.	6.750%	2/1/39	3,035		4,089
Canadian Natural Resources Ltd.	4.950%	6/1/47	7,000		8,492

117

Total Bond Market II Index Fund            

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Cenovus Energy Inc.	3.000%	8/15/22	4,559		4,613
	Cenovus Energy Inc.	3.800%	9/15/23	5,325		5,516
	Cenovus Energy Inc.	4.250%	4/15/27	13,000		13,712
	Cenovus Energy Inc.	5.250%	6/15/37	7,380		8,111
	Cenovus Energy Inc.	6.750%	11/15/39	12,500		15,900
	Cenovus Energy Inc.	5.400%	6/15/47	10,000		11,675
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24	7,000		8,067
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25	13,875		15,609
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27	19,400		21,485
7	Cheniere Corpus Christi Holdings LLC	3.700%	11/15/29	14,000		14,315
	Chevron Corp.	2.100%	5/16/21	9,450		9,492
	Chevron Corp.	2.411%	3/3/22	3,925		3,978
	Chevron Corp.	2.498%	3/3/22	4,350		4,422
	Chevron Corp.	2.355%	12/5/22	20,964		21,241
	Chevron Corp.	3.191%	6/24/23	28,428		29,566
	Chevron Corp.	2.895%	3/3/24	16,000		16,550
	Chevron Corp.	3.326%	11/17/25	2,400		2,556
	Chevron Corp.	2.954%	5/16/26	13,945		14,566
	Cimarex Energy Co.	4.375%	6/1/24	5,900		6,213
	Cimarex Energy Co.	3.900%	5/15/27	16,605		17,168
	Cimarex Energy Co.	4.375%	3/15/29	4,280		4,517
	Columbia Pipeline Group Inc.	4.500%	6/1/25	10,298		11,245
	Columbia Pipeline Group Inc.	5.800%	6/1/45	4,385		5,557
	Concho Resources Inc.	3.750%	10/1/27	24,660		25,862
	Concho Resources Inc.	4.300%	8/15/28	5,000		5,444
	Concho Resources Inc.	4.875%	10/1/47	7,300		8,504
	Concho Resources Inc.	4.850%	8/15/48	5,500		6,366
	Conoco Funding Co.	7.250%	10/15/31	1,740		2,443
	ConocoPhillips	5.900%	10/15/32	2,225		2,906
	ConocoPhillips	5.900%	5/15/38	7,161		9,723
	ConocoPhillips	6.500%	2/1/39	23,663		34,287
	ConocoPhillips Canada Funding Co. I	5.950%	10/15/36	6,071		8,139
	ConocoPhillips Co.	3.350%	11/15/24	2,625		2,764
	ConocoPhillips Co.	4.950%	3/15/26	22,835		26,213
	ConocoPhillips Co.	4.300%	11/15/44	9,000		10,529
	ConocoPhillips Co.	5.950%	3/15/46	2,500		3,561
	ConocoPhillips Holding Co.	6.950%	4/15/29	6,300		8,546
	Continental Resources Inc.	4.500%	4/15/23	3,900		4,085
	Continental Resources Inc.	3.800%	6/1/24	8,823		9,121
	Continental Resources Inc.	4.375%	1/15/28	14,720		15,640
	Continental Resources Inc.	4.900%	6/1/44	6,800		7,250
	Devon Energy Corp.	5.850%	12/15/25	4,425		5,237
	Devon Energy Corp.	7.950%	4/15/32	2,314		3,276
	Devon Energy Corp.	5.600%	7/15/41	7,220		8,767
	Devon Energy Corp.	4.750%	5/15/42	19,000		21,265
	Devon Energy Corp.	5.000%	6/15/45	6,250		7,204
	Devon Financing Co. LLC	7.875%	9/30/31	7,950		10,929
	Diamondback Energy Inc.	2.875%	12/1/24	10,000		10,093
	Diamondback Energy Inc.	3.250%	12/1/26	9,000		9,100
	Diamondback Energy Inc.	3.500%	12/1/29	14,250		14,469
	Dominion Energy Gas Holdings LLC	3.550%	11/1/23	10,529		10,893
	Dominion Energy Gas Holdings LLC	2.500%	11/15/24	4,500		4,519
	Dominion Energy Gas Holdings LLC	3.600%	12/15/24	1,700		1,784
	Dominion Energy Gas Holdings LLC	3.000%	11/15/29	5,000		4,963

118

Total Bond Market II Index Fund            

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Dominion Energy Gas Holdings LLC	4.800%	11/1/43	4,000		4,437
Dominion Energy Gas Holdings LLC	4.600%	12/15/44	2,978		3,232
Enable Midstream Partners LP	3.900%	5/15/24	6,100		6,204
Enable Midstream Partners LP	4.400%	3/15/27	8,500		8,349
Enable Midstream Partners LP	4.950%	5/15/28	10,200		10,304
Enable Midstream Partners LP	4.150%	9/15/29	2,000		1,890
Enable Midstream Partners LP	5.000%	5/15/44	2,775		2,494
Enbridge Energy Partners LP	4.200%	9/15/21	7,185		7,404
Enbridge Energy Partners LP	5.875%	10/15/25	8,825		10,279
Enbridge Energy Partners LP	7.500%	4/15/38	4,725		6,747
Enbridge Energy Partners LP	5.500%	9/15/40	3,573		4,220
Enbridge Energy Partners LP	7.375%	10/15/45	2,480		3,684
Enbridge Inc.	2.900%	7/15/22	8,200		8,344
Enbridge Inc.	3.500%	6/10/24	6,425		6,701
Enbridge Inc.	2.500%	1/15/25	4,500		4,530
Enbridge Inc.	3.700%	7/15/27	6,675		7,020
Enbridge Inc.	3.125%	11/15/29	15,000		15,135
Enbridge Inc.	4.500%	6/10/44	4,200		4,608
Enbridge Inc.	4.000%	11/15/49	6,000		6,247
Encana Corp.	3.900%	11/15/21	3,975		4,065
Encana Corp.	8.125%	9/15/30	1,400		1,762
Encana Corp.	7.375%	11/1/31	5,464		6,676
Encana Corp.	6.500%	8/15/34	12,176		14,288
Encana Corp.	6.625%	8/15/37	5,005		5,923
Encana Corp.	6.500%	2/1/38	5,095		5,982
Energy Transfer Operating LP	4.650%	6/1/21	3,977		4,079
Energy Transfer Operating LP	5.200%	2/1/22	8,497		8,905
Energy Transfer Operating LP	3.600%	2/1/23	6,888		7,054
Energy Transfer Operating LP	4.250%	3/15/23	18,860		19,696
Energy Transfer Operating LP	4.200%	9/15/23	3,200		3,355
Energy Transfer Operating LP	4.900%	2/1/24	1,620		1,730
Energy Transfer Operating LP	4.050%	3/15/25	18,685		19,590
Energy Transfer Operating LP	4.750%	1/15/26	16,005		17,240
Energy Transfer Operating LP	4.200%	4/15/27	5,300		5,543
Energy Transfer Operating LP	5.500%	6/1/27	13,090		14,700
Energy Transfer Operating LP	5.250%	4/15/29	10,600		11,883
Energy Transfer Operating LP	6.250%	4/15/49	17,100		20,580
Energy Transfer Partners LP	4.950%	6/15/28	16,645		18,201
Energy Transfer Partners LP	4.900%	3/15/35	3,350		3,498
Energy Transfer Partners LP	6.625%	10/15/36	1,950		2,316
Energy Transfer Partners LP	5.800%	6/15/38	5,790		6,534
Energy Transfer Partners LP	7.500%	7/1/38	4,932		6,282
Energy Transfer Partners LP	6.050%	6/1/41	5,690		6,381
Energy Transfer Partners LP	6.500%	2/1/42	11,326		13,459
Energy Transfer Partners LP	5.150%	2/1/43	5,900		6,065
Energy Transfer Partners LP	5.150%	3/15/45	1,780		1,871
Energy Transfer Partners LP	6.125%	12/15/45	14,950		17,291
Energy Transfer Partners LP	5.300%	4/15/47	9,890		10,561
Energy Transfer Partners LP	6.000%	6/15/48	6,110		7,089
Eni USA Inc.	7.300%	11/15/27	1,095		1,393
Enterprise Products Operating LLC	2.800%	2/15/21	6,100		6,156
Enterprise Products Operating LLC	2.850%	4/15/21	1,000		1,010
Enterprise Products Operating LLC	3.500%	2/1/22	6,075		6,255
Enterprise Products Operating LLC	4.050%	2/15/22	625		651

119

Total Bond Market II Index Fund            

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Enterprise Products Operating LLC	3.350%	3/15/23	14,034		14,504
	Enterprise Products Operating LLC	3.900%	2/15/24	7,720		8,200
	Enterprise Products Operating LLC	3.750%	2/15/25	15,925		16,954
	Enterprise Products Operating LLC	3.700%	2/15/26	8,318		8,864
	Enterprise Products Operating LLC	3.950%	2/15/27	1,300		1,405
	Enterprise Products Operating LLC	4.150%	10/16/28	10,000		11,023
	Enterprise Products Operating LLC	3.125%	7/31/29	18,000		18,476
	Enterprise Products Operating LLC	6.875%	3/1/33	8,843		12,051
	Enterprise Products Operating LLC	6.650%	10/15/34	235		319
	Enterprise Products Operating LLC	7.550%	4/15/38	3,330		4,788
	Enterprise Products Operating LLC	6.125%	10/15/39	5,845		7,595
	Enterprise Products Operating LLC	5.950%	2/1/41	7,465		9,609
	Enterprise Products Operating LLC	5.700%	2/15/42	3,065		3,910
	Enterprise Products Operating LLC	4.850%	8/15/42	12,293		14,161
	Enterprise Products Operating LLC	4.450%	2/15/43	14,237		15,558
	Enterprise Products Operating LLC	4.850%	3/15/44	16,520		19,117
	Enterprise Products Operating LLC	5.100%	2/15/45	5,490		6,571
	Enterprise Products Operating LLC	4.900%	5/15/46	18,785		22,010
	Enterprise Products Operating LLC	4.250%	2/15/48	12,700		13,695
	Enterprise Products Operating LLC	4.800%	2/1/49	11,665		13,679
	Enterprise Products Operating LLC	4.200%	1/31/50	10,000		10,728
	Enterprise Products Operating LLC	4.950%	10/15/54	2,265		2,620
4	Enterprise Products Operating LLC	5.250%	8/16/77	2,100		2,097
4	Enterprise Products Operating LLC	5.375%	2/15/78	5,315		5,249
	EOG Resources Inc.	4.100%	2/1/21	9,300		9,516
	EOG Resources Inc.	2.625%	3/15/23	15,165		15,429
	EOG Resources Inc.	3.150%	4/1/25	700		733
	EOG Resources Inc.	4.150%	1/15/26	6,000		6,599
	EOG Resources Inc.	3.900%	4/1/35	3,590		3,985
	EQM Midstream Partners LP	4.750%	7/15/23	8,850		8,872
	EQM Midstream Partners LP	4.000%	8/1/24	3,026		2,941
	EQM Midstream Partners LP	4.125%	12/1/26	3,700		3,468
	EQM Midstream Partners LP	5.500%	7/15/28	7,327		7,183
	EQM Midstream Partners LP	6.500%	7/15/48	7,325		6,886
	EQT Corp.	4.875%	11/15/21	2,145		2,203
	EQT Corp.	3.000%	10/1/22	6,600		6,452
	EQT Corp.	3.900%	10/1/27	11,600		10,783
	Exxon Mobil Corp.	2.222%	3/1/21	23,375		23,501
	Exxon Mobil Corp.	2.397%	3/6/22	27,250		27,600
	Exxon Mobil Corp.	2.726%	3/1/23	33,696		34,491
	Exxon Mobil Corp.	3.176%	3/15/24	10,000		10,475
	Exxon Mobil Corp.	2.709%	3/6/25	4,600		4,753
	Exxon Mobil Corp.	3.043%	3/1/26	6,373		6,686
	Exxon Mobil Corp.	2.275%	8/16/26	4,000		4,010
	Exxon Mobil Corp.	2.440%	8/16/29	14,500		14,570
	Exxon Mobil Corp.	2.995%	8/16/39	5,000		5,009
	Exxon Mobil Corp.	3.567%	3/6/45	13,153		14,073
	Exxon Mobil Corp.	4.114%	3/1/46	13,950		16,326
	Exxon Mobil Corp.	3.095%	8/16/49	20,000		19,830
	Halliburton Co.	3.250%	11/15/21	5,005		5,097
	Halliburton Co.	3.500%	8/1/23	5,450		5,663
	Halliburton Co.	3.800%	11/15/25	24,700		26,354
	Halliburton Co.	4.850%	11/15/35	13,981		15,771
	Halliburton Co.	6.700%	9/15/38	12,580		16,593

120

Total Bond Market II Index Fund            

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Halliburton Co.	4.500%	11/15/41	2,000		2,135
Halliburton Co.	4.750%	8/1/43	8,875		9,754
Halliburton Co.	5.000%	11/15/45	12,183		13,868
Helmerich & Payne Inc.	4.650%	3/15/25	3,975		4,327
Hess Corp.	3.500%	7/15/24	2,750		2,820
Hess Corp.	4.300%	4/1/27	8,500		9,053
Hess Corp.	7.875%	10/1/29	2,075		2,700
Hess Corp.	7.300%	8/15/31	1,000		1,265
Hess Corp.	7.125%	3/15/33	2,430		3,077
Hess Corp.	6.000%	1/15/40	12,000		14,135
Hess Corp.	5.600%	2/15/41	11,422		13,340
Hess Corp.	5.800%	4/1/47	4,195		5,106
HollyFrontier Corp.	5.875%	4/1/26	5,008		5,624
Husky Energy Inc.	3.950%	4/15/22	21,900		22,642
Husky Energy Inc.	4.000%	4/15/24	8,905		9,365
Husky Energy Inc.	4.400%	4/15/29	10,000		10,763
Husky Energy Inc.	6.800%	9/15/37	4,135		5,417
Kinder Morgan Energy Partners LP	5.000%	10/1/21	11,840		12,340
Kinder Morgan Energy Partners LP	4.150%	3/1/22	4,411		4,588
Kinder Morgan Energy Partners LP	3.950%	9/1/22	20,185		21,024
Kinder Morgan Energy Partners LP	3.450%	2/15/23	8,645		8,901
Kinder Morgan Energy Partners LP	3.500%	9/1/23	12,000		12,431
Kinder Morgan Energy Partners LP	4.150%	2/1/24	2,695		2,867
Kinder Morgan Energy Partners LP	4.300%	5/1/24	5,900		6,304
Kinder Morgan Energy Partners LP	4.250%	9/1/24	11,783		12,602
Kinder Morgan Energy Partners LP	7.400%	3/15/31	1,930		2,524
Kinder Morgan Energy Partners LP	7.300%	8/15/33	2,810		3,711
Kinder Morgan Energy Partners LP	5.800%	3/15/35	5,000		5,920
Kinder Morgan Energy Partners LP	6.500%	2/1/37	6,250		7,789
Kinder Morgan Energy Partners LP	6.950%	1/15/38	7,446		9,836
Kinder Morgan Energy Partners LP	6.500%	9/1/39	8,425		10,648
Kinder Morgan Energy Partners LP	6.550%	9/15/40	4,500		5,710
Kinder Morgan Energy Partners LP	7.500%	11/15/40	1,750		2,374
Kinder Morgan Energy Partners LP	6.375%	3/1/41	4,100		5,085
Kinder Morgan Energy Partners LP	5.625%	9/1/41	8,954		10,326
Kinder Morgan Energy Partners LP	5.000%	8/15/42	10,800		11,708
Kinder Morgan Energy Partners LP	4.700%	11/1/42	6,600		6,977
Kinder Morgan Energy Partners LP	5.000%	3/1/43	3,617		3,954
Kinder Morgan Energy Partners LP	5.500%	3/1/44	3,900		4,493
Kinder Morgan Energy Partners LP	5.400%	9/1/44	49		56
Kinder Morgan Inc.	3.150%	1/15/23	1,620		1,656
Kinder Morgan Inc.	4.300%	6/1/25	8,500		9,209
Kinder Morgan Inc.	4.300%	3/1/28	13,525		14,718
Kinder Morgan Inc.	7.800%	8/1/31	2,730		3,733
Kinder Morgan Inc.	7.750%	1/15/32	7,956		10,903
Kinder Morgan Inc.	5.300%	12/1/34	5,500		6,482
Kinder Morgan Inc.	5.550%	6/1/45	16,325		19,533
Kinder Morgan Inc.	5.050%	2/15/46	18,957		21,203
Magellan Midstream Partners LP	4.250%	2/1/21	4,200		4,292
Magellan Midstream Partners LP	5.000%	3/1/26	9,075		10,226
Magellan Midstream Partners LP	5.150%	10/15/43	2,885		3,359
Magellan Midstream Partners LP	4.250%	9/15/46	3,025		3,202
Magellan Midstream Partners LP	4.200%	10/3/47	6,935		7,299
Magellan Midstream Partners LP	4.850%	2/1/49	4,585		5,280

121

Total Bond Market II Index Fund            

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Magellan Midstream Partners LP	3.950%	3/1/50	4,000		4,102
	Marathon Oil Corp.	2.800%	11/1/22	8,000		8,121
	Marathon Oil Corp.	3.850%	6/1/25	13,114		13,845
	Marathon Oil Corp.	4.400%	7/15/27	7,400		8,031
	Marathon Oil Corp.	6.800%	3/15/32	6,105		7,739
	Marathon Oil Corp.	6.600%	10/1/37	7,267		9,238
	Marathon Oil Corp.	5.200%	6/1/45	4,100		4,752
	Marathon Petroleum Corp.	3.400%	12/15/20	6,057		6,122
	Marathon Petroleum Corp.	5.125%	3/1/21	8,850		9,152
	Marathon Petroleum Corp.	5.375%	10/1/22	2,000		2,022
	Marathon Petroleum Corp.	4.750%	12/15/23	20,530		22,281
	Marathon Petroleum Corp.	5.125%	4/1/24	4,057		4,170
	Marathon Petroleum Corp.	3.625%	9/15/24	5,300		5,557
	Marathon Petroleum Corp.	5.125%	12/15/26	8,000		9,036
	Marathon Petroleum Corp.	3.800%	4/1/28	3,725		3,894
	Marathon Petroleum Corp.	6.500%	3/1/41	11,769		15,236
	Marathon Petroleum Corp.	4.750%	9/15/44	7,141		7,767
	Marathon Petroleum Corp.	4.500%	4/1/48	4,275		4,507
	Marathon Petroleum Corp.	5.000%	9/15/54	3,225		3,472
7	MPLX LP	3.500%	12/1/22	1,925		1,982
	MPLX LP	3.375%	3/15/23	4,000		4,105
	MPLX LP	4.500%	7/15/23	15,455		16,403
	MPLX LP	4.875%	12/1/24	24,758		26,850
	MPLX LP	4.000%	2/15/25	3,000		3,129
	MPLX LP	4.875%	6/1/25	6,400		6,987
	MPLX LP	4.125%	3/1/27	10,525		11,012
7	MPLX LP	4.250%	12/1/27	10,960		11,498
	MPLX LP	4.000%	3/15/28	13,650		14,139
	MPLX LP	4.500%	4/15/38	12,600		12,814
	MPLX LP	5.200%	3/1/47	12,400		13,314
7	MPLX LP	5.200%	12/1/47	7,825		8,213
	MPLX LP	4.700%	4/15/48	11,300		11,392
	MPLX LP	5.500%	2/15/49	16,470		18,658
	MPLX LP	4.900%	4/15/58	5,150		5,240
	National Fuel Gas Co.	3.950%	9/15/27	1,900		1,922
	National Fuel Gas Co.	4.750%	9/1/28	11,000		11,698
	National Oilwell Varco Inc.	2.600%	12/1/22	6,654		6,718
	National Oilwell Varco Inc.	3.600%	12/1/29	5,000		5,004
	National Oilwell Varco Inc.	3.950%	12/1/42	2,700		2,535
	Newfield Exploration Co.	5.750%	1/30/22	11,625		12,352
	Newfield Exploration Co.	5.625%	7/1/24	3,000		3,300
	Newfield Exploration Co.	5.375%	1/1/26	17,513		18,980
	Noble Energy Inc.	3.900%	11/15/24	1,549		1,637
	Noble Energy Inc.	3.850%	1/15/28	4,789		5,036
	Noble Energy Inc.	3.250%	10/15/29	5,000		5,038
	Noble Energy Inc.	6.000%	3/1/41	7,425		8,881
	Noble Energy Inc.	5.250%	11/15/43	9,000		10,140
	Noble Energy Inc.	5.050%	11/15/44	7,248		7,989
	Noble Energy Inc.	4.950%	8/15/47	4,000		4,441
	Noble Energy Inc.	4.200%	10/15/49	6,000		6,031
	Occidental Petroleum Corp.	4.100%	2/1/21	12,160		12,348
	Occidental Petroleum Corp.	4.850%	3/15/21	5,912		6,084
	Occidental Petroleum Corp.	2.600%	8/13/21	14,900		14,990
	Occidental Petroleum Corp.	3.125%	2/15/22	7,640		7,766

122

Total Bond Market II Index Fund            

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Occidental Petroleum Corp.	2.600%	4/15/22	3,169		3,191
Occidental Petroleum Corp.	2.700%	8/15/22	9,750		9,856
Occidental Petroleum Corp.	2.700%	2/15/23	10,762		10,844
Occidental Petroleum Corp.	6.950%	7/1/24	7,250		8,501
Occidental Petroleum Corp.	2.900%	8/15/24	15,100		15,338
Occidental Petroleum Corp.	3.500%	6/15/25	9,200		9,484
Occidental Petroleum Corp.	5.550%	3/15/26	20,000		22,660
Occidental Petroleum Corp.	3.400%	4/15/26	13,000		13,290
Occidental Petroleum Corp.	3.500%	8/15/29	18,350		18,711
Occidental Petroleum Corp.	7.500%	5/1/31	6,750		8,761
Occidental Petroleum Corp.	7.875%	9/15/31	1,875		2,484
Occidental Petroleum Corp.	6.450%	9/15/36	16,520		20,120
Occidental Petroleum Corp.	7.950%	6/15/39	400		549
Occidental Petroleum Corp.	4.300%	8/15/39	2,500		2,535
Occidental Petroleum Corp.	6.200%	3/15/40	7,903		9,401
Occidental Petroleum Corp.	4.500%	7/15/44	7,830		7,826
Occidental Petroleum Corp.	4.625%	6/15/45	6,400		6,545
Occidental Petroleum Corp.	6.600%	3/15/46	8,275		10,730
Occidental Petroleum Corp.	4.400%	4/15/46	14,925		15,074
Occidental Petroleum Corp.	4.100%	2/15/47	7,275		7,050
Occidental Petroleum Corp.	4.200%	3/15/48	5,500		5,442
Occidental Petroleum Corp.	4.400%	8/15/49	6,360		6,547
ONEOK Inc.	4.250%	2/1/22	5,000		5,188
ONEOK Inc.	7.500%	9/1/23	9,593		11,159
ONEOK Inc.	2.750%	9/1/24	2,000		2,010
ONEOK Inc.	4.000%	7/13/27	4,125		4,355
ONEOK Inc.	4.550%	7/15/28	9,150		10,034
ONEOK Inc.	4.350%	3/15/29	4,900		5,293
ONEOK Inc.	3.400%	9/1/29	13,025		13,171
ONEOK Inc.	6.000%	6/15/35	550		641
ONEOK Inc.	4.950%	7/13/47	12,664		13,857
ONEOK Inc.	5.200%	7/15/48	7,100		8,041
ONEOK Inc.	4.450%	9/1/49	6,450		6,622
ONEOK Partners LP	3.375%	10/1/22	16,259		16,727
ONEOK Partners LP	4.900%	3/15/25	3,000		3,295
ONEOK Partners LP	6.650%	10/1/36	8,653		10,920
ONEOK Partners LP	6.850%	10/15/37	6,725		8,630
ONEOK Partners LP	6.125%	2/1/41	750		900
ONEOK Partners LP	6.200%	9/15/43	3,200		3,856
Patterson-UTI Energy Inc.	3.950%	2/1/28	4,405		4,252
Patterson-UTI Energy Inc.	5.150%	11/15/29	3,300		3,369
Petro-Canada	5.350%	7/15/33	2,625		3,236
Petro-Canada	5.950%	5/15/35	5,995		7,785
Petro-Canada	6.800%	5/15/38	7,815		11,134
Phillips 66	4.300%	4/1/22	14,230		14,925
Phillips 66	3.900%	3/15/28	7,250		7,880
Phillips 66	4.650%	11/15/34	1,650		1,925
Phillips 66	5.875%	5/1/42	11,007		14,864
Phillips 66	4.875%	11/15/44	17,316		20,857
Phillips 66 Partners LP	2.450%	12/15/24	1,964		1,959
Phillips 66 Partners LP	3.605%	2/15/25	4,900		5,112
Phillips 66 Partners LP	3.550%	10/1/26	4,075		4,261
Phillips 66 Partners LP	3.750%	3/1/28	2,000		2,079
Phillips 66 Partners LP	4.680%	2/15/45	4,435		4,775

123

Total Bond Market II Index Fund            

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Phillips 66 Partners LP	4.900%	10/1/46	4,480		5,007
Pioneer Natural Resources Co.	3.450%	1/15/21	3,900		3,944
Pioneer Natural Resources Co.	3.950%	7/15/22	8,803		9,157
Pioneer Natural Resources Co.	4.450%	1/15/26	10,010		10,980
Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21	5,160		5,275
Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22	3,940		4,043
Plains All American Pipeline LP / PAA Finance Corp.	2.850%	1/31/23	6,697		6,769
Plains All American Pipeline LP / PAA Finance Corp.	3.850%	10/15/23	2,596		2,690
Plains All American Pipeline LP / PAA Finance Corp.	3.600%	11/1/24	14,960		15,346
Plains All American Pipeline LP / PAA Finance Corp.	4.650%	10/15/25	6,715		7,182
Plains All American Pipeline LP / PAA Finance Corp.	4.500%	12/15/26	7,250		7,696
Plains All American Pipeline LP / PAA Finance Corp.	3.550%	12/15/29	7,000		6,879
Plains All American Pipeline LP / PAA Finance Corp.	6.650%	1/15/37	500		588
Plains All American Pipeline LP / PAA Finance Corp.	5.150%	6/1/42	4,875		4,879
Plains All American Pipeline LP / PAA Finance Corp.	4.300%	1/31/43	9,245		8,425
Plains All American Pipeline LP / PAA Finance Corp.	4.700%	6/15/44	9,680		9,403
Plains All American Pipeline LP / PAA Finance Corp.	4.900%	2/15/45	1,200		1,190
Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22	7,950		8,443
Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22	14,300		15,140
Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23	7,185		7,598
Sabine Pass Liquefaction LLC	5.625%	2/1/21	7,140		7,340
Sabine Pass Liquefaction LLC	6.250%	3/15/22	12,110		13,013
Sabine Pass Liquefaction LLC	5.625%	4/15/23	14,109		15,344
Sabine Pass Liquefaction LLC	5.750%	5/15/24	15,825		17,653
Sabine Pass Liquefaction LLC	5.625%	3/1/25	23,075		25,931
Sabine Pass Liquefaction LLC	5.875%	6/30/26	18,150		20,850
Sabine Pass Liquefaction LLC	5.000%	3/15/27	11,750		12,940
Sabine Pass Liquefaction LLC	4.200%	3/15/28	11,000		11,647
Schlumberger Investment SA	3.650%	12/1/23	17,338		18,256
Shell International Finance BV	1.875%	5/10/21	18,225		18,218
Shell International Finance BV	1.750%	9/12/21	10,050		10,037
Shell International Finance BV	2.375%	8/21/22	8,765		8,877
Shell International Finance BV	2.250%	1/6/23	9,405		9,480
Shell International Finance BV	3.400%	8/12/23	7,080		7,418
Shell International Finance BV	3.500%	11/13/23	7,300		7,675
Shell International Finance BV	2.000%	11/7/24	10,000		9,983
Shell International Finance BV	3.250%	5/11/25	24,400		25,782
Shell International Finance BV	2.875%	5/10/26	16,980		17,605

124

Total Bond Market II Index Fund            

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Shell International Finance BV	2.500%	9/12/26	10,000		10,145
Shell International Finance BV	3.875%	11/13/28	13,825		15,315
Shell International Finance BV	2.375%	11/7/29	18,000		17,818
Shell International Finance BV	4.125%	5/11/35	15,541		18,138
Shell International Finance BV	6.375%	12/15/38	16,967		24,756
Shell International Finance BV	5.500%	3/25/40	4,025		5,448
Shell International Finance BV	3.625%	8/21/42	16,500		17,625
Shell International Finance BV	4.550%	8/12/43	11,425		13,788
Shell International Finance BV	4.375%	5/11/45	22,171		26,401
Shell International Finance BV	4.000%	5/10/46	24,425		27,823
Shell International Finance BV	3.750%	9/12/46	6,150		6,726
Shell International Finance BV	3.125%	11/7/49	17,000		16,761
Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.	4.400%	6/15/21	5,165		5,298
Spectra Energy Partners LP	4.750%	3/15/24	8,305		9,028
Spectra Energy Partners LP	3.500%	3/15/25	9,100		9,505
Spectra Energy Partners LP	3.375%	10/15/26	11,645		12,050
Spectra Energy Partners LP	5.950%	9/25/43	2,840		3,533
Spectra Energy Partners LP	4.500%	3/15/45	12,580		13,829
Suncor Energy Inc.	3.600%	12/1/24	861		912
Suncor Energy Inc.	7.150%	2/1/32	3,550		4,958
Suncor Energy Inc.	5.950%	12/1/34	695		906
Suncor Energy Inc.	6.500%	6/15/38	10,220		14,189
Suncor Energy Inc.	6.850%	6/1/39	4,183		6,045
Suncor Energy Inc.	4.000%	11/15/47	12,077		13,119
Sunoco Logistics Partners Operations LP	4.400%	4/1/21	4,450		4,557
Sunoco Logistics Partners Operations LP	3.450%	1/15/23	2,965		3,025
Sunoco Logistics Partners Operations LP	4.250%	4/1/24	5,975		6,269
Sunoco Logistics Partners Operations LP	5.950%	12/1/25	3,375		3,875
Sunoco Logistics Partners Operations LP	3.900%	7/15/26	4,975		5,153
Sunoco Logistics Partners Operations LP	4.000%	10/1/27	8,100		8,346
Sunoco Logistics Partners Operations LP	6.100%	2/15/42	2,500		2,742
Sunoco Logistics Partners Operations LP	4.950%	1/15/43	6,675		6,622
Sunoco Logistics Partners Operations LP	5.300%	4/1/44	10,575		11,144
Sunoco Logistics Partners Operations LP	5.350%	5/15/45	7,225		7,701
Sunoco Logistics Partners Operations LP	5.400%	10/1/47	4,450		4,806
TC PipeLines LP	3.900%	5/25/27	2,600		2,713
TechnipFMC plc	3.450%	10/1/22	4,770		4,853
Tennessee Gas Pipeline Co. LLC	7.000%	3/15/27	825		1,017
Tennessee Gas Pipeline Co. LLC	7.625%	4/1/37	200		265
Texas Eastern Transmission LP	7.000%	7/15/32	3,205		4,297
Total Capital Canada Ltd.	2.750%	7/15/23	11,342		11,606
Total Capital International SA	2.750%	6/19/21	22,825		23,120
Total Capital International SA	2.218%	7/12/21	7,000		7,033
Total Capital International SA	2.875%	2/17/22	11,175		11,401
Total Capital International SA	2.700%	1/25/23	11,290		11,533
Total Capital International SA	3.700%	1/15/24	17,666		18,747
Total Capital International SA	3.750%	4/10/24	1,791		1,912
Total Capital International SA	2.434%	1/10/25	8,500		8,595
Total Capital International SA	3.455%	2/19/29	11,775		12,715
Total Capital International SA	2.829%	1/10/30	14,000		14,352
Total Capital International SA	3.461%	7/12/49	8,000		8,411
Total Capital SA	4.125%	1/28/21	3,055		3,124
Total Capital SA	3.883%	10/11/28	2,600		2,899

125

Total Bond Market II Index Fund            

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
TransCanada PipeLines Ltd.	2.500%	8/1/22	6,105		6,133
TransCanada PipeLines Ltd.	3.750%	10/16/23	4,575		4,795
TransCanada PipeLines Ltd.	4.875%	1/15/26	4,971		5,555
TransCanada PipeLines Ltd.	4.250%	5/15/28	10,100		11,173
TransCanada PipeLines Ltd.	4.625%	3/1/34	13,731		15,690
TransCanada PipeLines Ltd.	5.600%	3/31/34	3,115		3,769
TransCanada PipeLines Ltd.	5.850%	3/15/36	3,025		3,663
TransCanada PipeLines Ltd.	6.200%	10/15/37	16,575		21,483
TransCanada PipeLines Ltd.	4.750%	5/15/38	6,600		7,536
TransCanada PipeLines Ltd.	6.100%	6/1/40	16,280		21,129
TransCanada PipeLines Ltd.	5.000%	10/16/43	6,400		7,420
TransCanada PipeLines Ltd.	4.875%	5/15/48	16,925		19,881
TransCanada PipeLines Ltd.	5.100%	3/15/49	8,375		10,135
Transcontinental Gas Pipe Line Co. LLC	7.850%	2/1/26	10,000		12,739
Transcontinental Gas Pipe Line Co. LLC	4.000%	3/15/28	4,200		4,466
Transcontinental Gas Pipe Line Co. LLC	5.400%	8/15/41	500		580
Transcontinental Gas Pipe Line Co. LLC	4.450%	8/1/42	2,323		2,439
Transcontinental Gas Pipe Line Co. LLC	4.600%	3/15/48	3,250		3,464
Valero Energy Corp.	3.650%	3/15/25	100		106
Valero Energy Corp.	3.400%	9/15/26	15,300		16,033
Valero Energy Corp.	4.350%	6/1/28	15,768		17,306
Valero Energy Corp.	4.000%	4/1/29	8,000		8,604
Valero Energy Corp.	7.500%	4/15/32	6,981		9,692
Valero Energy Corp.	6.625%	6/15/37	12,055		15,953
Valero Energy Corp.	4.900%	3/15/45	3,900		4,502
Valero Energy Partners LP	4.375%	12/15/26	5,800		6,315
Valero Energy Partners LP	4.500%	3/15/28	3,090		3,384
Western Midstream Operating LP	5.375%	6/1/21	6,625		6,804
Western Midstream Operating LP	3.950%	6/1/25	4,400		4,401
Western Midstream Operating LP	4.650%	7/1/26	4,350		4,464
Western Midstream Operating LP	4.500%	3/1/28	850		815
Western Midstream Operating LP	4.750%	8/15/28	2,800		2,777
Western Midstream Operating LP	5.450%	4/1/44	15,170		13,206
Western Midstream Operating LP	5.300%	3/1/48	2,825		2,425
Williams Cos. Inc.	4.000%	11/15/21	4,500		4,626
Williams Cos. Inc.	3.600%	3/15/22	10,530		10,820
Williams Cos. Inc.	3.350%	8/15/22	6,300		6,456
Williams Cos. Inc.	3.700%	1/15/23	6,950		7,173
Williams Cos. Inc.	4.500%	11/15/23	3,650		3,896
Williams Cos. Inc.	4.300%	3/4/24	4,400		4,674
Williams Cos. Inc.	4.550%	6/24/24	12,050		12,993
Williams Cos. Inc.	3.900%	1/15/25	14,518		15,202
Williams Cos. Inc.	4.000%	9/15/25	7,275		7,701
Williams Cos. Inc.	3.750%	6/15/27	17,900		18,598
Williams Cos. Inc.	7.500%	1/15/31	550		724
Williams Cos. Inc.	6.300%	4/15/40	5,320		6,594
Williams Cos. Inc.	5.800%	11/15/43	10,825		12,892
Williams Cos. Inc.	5.400%	3/4/44	5,000		5,607
Williams Cos. Inc.	5.750%	6/24/44	5,800		6,838
Williams Cos. Inc.	4.900%	1/15/45	1,650		1,780
Williams Cos. Inc.	5.100%	9/15/45	9,688		10,771
Williams Cos. Inc.	4.850%	3/1/48	9,470		10,386

126

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Other Industrial (0.1%)
4	American University	3.672%	4/1/49	3,500		3,742
4	Boston University	4.061%	10/1/48	2,335		2,677
	California Institute of Technology	4.321%	8/1/45	1,025		1,223
	California Institute of Technology	4.700%	11/1/11	5,575		6,770
	California Institute of Technology	3.650%	9/1/19	2,275		2,199
	CBRE Services Inc.	5.250%	3/15/25	4,950		5,542
	CBRE Services Inc.	4.875%	3/1/26	9,533		10,657
	Cintas Corp. No. 2	2.900%	4/1/22	3,600		3,672
	Cintas Corp. No. 2	3.250%	6/1/22	1,025		1,055
	Cintas Corp. No. 2	3.700%	4/1/27	8,475		9,178
	Cintas Corp. No. 2	6.150%	8/15/36	259		344
	Fluor Corp.	3.500%	12/15/24	13,622		13,882
	Fluor Corp.	4.250%	9/15/28	5,465		5,514
	Georgetown University	4.315%	4/1/49	2,959		3,548
	Georgetown University	5.215%	10/1/18	2,589		3,328
	Hillenbrand Inc.	4.500%	9/15/26	3,025		3,138
4	Johns Hopkins University	4.083%	7/1/53	5,275		6,092
	Leland Stanford Junior University	3.647%	5/1/48	8,730		9,757
4	Massachusetts Institute of Technology	3.959%	7/1/38	145		162
	Massachusetts Institute of Technology	2.989%	7/1/50	3,080		3,050
	Massachusetts Institute of Technology	5.600%	7/1/11	6,400		9,772
	Massachusetts Institute of Technology	4.678%	7/1/14	13,775		17,763
	Massachusetts Institute of Technology	3.885%	7/1/16	6,700		7,294
4	Northwestern University	4.643%	12/1/44	4,775		5,933
4	Northwestern University	3.662%	12/1/57	2,100		2,316
	President & Fellows of Harvard College	3.619%	10/1/37	2,700		2,871
	President & Fellows of Harvard College	4.875%	10/15/40	3,680		4,682
	President & Fellows of Harvard College	3.150%	7/15/46	3,800		3,855
	President & Fellows of Harvard College	3.300%	7/15/56	300		308
	Steelcase Inc.	5.125%	1/18/29	3,700		4,172
4	Trustees of Boston College	3.129%	7/1/52	3,500		3,399
4	University of Chicago	4.003%	10/1/53	5,300		6,032
4	University of Notre Dame du Lac	3.438%	2/15/45	7,925		8,426
	University of Notre Dame du Lac	3.394%	2/15/48	2,700		2,870
	University of Pennsylvania	4.674%	9/1/12	5,175		6,770
	University of Pennsylvania	3.610%	2/15/19	4,000		4,089
4	University of Southern California	3.028%	10/1/39	7,751		7,782
4	University of Southern California	3.841%	10/1/47	9,550		10,610
4	William Marsh Rice University	3.574%	5/15/45	20,700		22,078
	Technology (2.2%)
	Adobe Inc.	3.250%	2/1/25	10,958		11,557
	Alphabet Inc.	3.625%	5/19/21	3,075		3,152
	Alphabet Inc.	1.998%	8/15/26	12,650		12,585
	Altera Corp.	4.100%	11/15/23	6,000		6,461
	Amphenol Corp.	2.800%	2/15/30	13,405		13,199
	Analog Devices Inc.	2.500%	12/5/21	6,025		6,072
	Analog Devices Inc.	2.875%	6/1/23	6,700		6,830
	Analog Devices Inc.	3.125%	12/5/23	7,475		7,711
	Analog Devices Inc.	3.500%	12/5/26	9,965		10,448
	Analog Devices Inc.	5.300%	12/15/45	100		122
	Apple Inc.	2.000%	11/13/20	8,875		8,897
	Apple Inc.	2.250%	2/23/21	37,645		37,832

127

Total Bond Market II Index Fund  

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Apple Inc.	2.850%	5/6/21	31,010		31,484
Apple Inc.	1.550%	8/4/21	100		100
Apple Inc.	2.150%	2/9/22	11,115		11,209
Apple Inc.	2.500%	2/9/22	12,935		13,128
Apple Inc.	2.300%	5/11/22	13,450		13,616
Apple Inc.	2.700%	5/13/22	16,055		16,397
Apple Inc.	2.400%	1/13/23	8,371		8,493
Apple Inc.	2.850%	2/23/23	19,392		19,912
Apple Inc.	2.400%	5/3/23	39,823		40,470
Apple Inc.	3.000%	2/9/24	15,735		16,285
Apple Inc.	2.850%	5/11/24	37,641		38,899
Apple Inc.	1.800%	9/11/24	3,000		2,973
Apple Inc.	2.750%	1/13/25	20,273		20,924
Apple Inc.	2.500%	2/9/25	17,788		18,132
Apple Inc.	3.200%	5/13/25	9,694		10,233
Apple Inc.	3.250%	2/23/26	36,175		38,260
Apple Inc.	2.450%	8/4/26	22,100		22,404
Apple Inc.	2.050%	9/11/26	8,000		7,912
Apple Inc.	3.350%	2/9/27	21,601		22,985
Apple Inc.	3.200%	5/11/27	26,000		27,386
Apple Inc.	2.900%	9/12/27	25,470		26,482
Apple Inc.	2.200%	9/11/29	34,900		34,231
Apple Inc.	4.500%	2/23/36	11,875		14,399
Apple Inc.	3.850%	5/4/43	22,248		24,852
Apple Inc.	4.450%	5/6/44	8,400		10,267
Apple Inc.	3.450%	2/9/45	6,300		6,615
Apple Inc.	4.375%	5/13/45	23,135		27,849
Apple Inc.	4.650%	2/23/46	37,850		47,269
Apple Inc.	3.850%	8/4/46	19,600		21,997
Apple Inc.	4.250%	2/9/47	7,300		8,658
Apple Inc.	3.750%	9/12/47	10,324		11,384
Apple Inc.	3.750%	11/13/47	10,000		11,084
Apple Inc.	2.950%	9/11/49	28,360		27,560
Applied Materials Inc.	4.300%	6/15/21	5,100		5,273
Applied Materials Inc.	3.900%	10/1/25	13,905		15,137
Applied Materials Inc.	3.300%	4/1/27	9,200		9,761
Applied Materials Inc.	5.100%	10/1/35	4,875		6,144
Applied Materials Inc.	5.850%	6/15/41	5,905		8,053
Applied Materials Inc.	4.350%	4/1/47	6,300		7,600
Arrow Electronics Inc.	3.500%	4/1/22	2,500		2,558
Arrow Electronics Inc.	4.500%	3/1/23	3,350		3,509
Arrow Electronics Inc.	3.250%	9/8/24	7,315		7,505
Arrow Electronics Inc.	4.000%	4/1/25	3,070		3,179
Arrow Electronics Inc.	3.875%	1/12/28	3,525		3,615
Autodesk Inc.	3.600%	12/15/22	825		852
Autodesk Inc.	4.375%	6/15/25	2,600		2,830
Autodesk Inc.	3.500%	6/15/27	4,450		4,656
Avnet Inc.	3.750%	12/1/21	2,025		2,069
Avnet Inc.	4.875%	12/1/22	3,845		4,073
Avnet Inc.	4.625%	4/15/26	4,625		4,901
Baidu Inc.	2.875%	7/6/22	14,875		15,010
Baidu Inc.	3.500%	11/28/22	7,325		7,529
Baidu Inc.	3.875%	9/29/23	8,400		8,759
Baidu Inc.	4.375%	5/14/24	7,300		7,778

128

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Baidu Inc.	4.125%	6/30/25	100		106
	Baidu Inc.	3.625%	7/6/27	5,375		5,541
	Baidu Inc.	4.375%	3/29/28	4,025		4,362
	Baidu Inc.	4.875%	11/14/28	3,900		4,386
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21	6,150		6,142
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22	29,625		30,091
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23	11,425		11,481
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.625%	1/15/24	22,790		23,596
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.125%	1/15/25	16,100		16,290
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.875%	1/15/27	57,957		60,114
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.500%	1/15/28	8,100		8,180
7	Broadcom Inc.	3.125%	4/15/21	17,200		17,404
7	Broadcom Inc.	3.125%	10/15/22	12,900		13,124
7	Broadcom Inc.	3.625%	10/15/24	25,520		26,447
7	Broadcom Inc.	4.250%	4/15/26	22,000		23,354
7	Broadcom Inc.	4.750%	4/15/29	35,480		38,734
	Broadridge Financial Solutions Inc.	3.400%	6/27/26	2,725		2,837
	Broadridge Financial Solutions Inc.	2.900%	12/1/29	4,200		4,192
	Cadence Design Systems Inc.	4.375%	10/15/24	3,263		3,498
	Cisco Systems Inc.	2.200%	2/28/21	27,400		27,517
	Cisco Systems Inc.	1.850%	9/20/21	6,275		6,281
	Cisco Systems Inc.	2.600%	2/28/23	5,250		5,364
	Cisco Systems Inc.	2.200%	9/20/23	5,000		5,044
	Cisco Systems Inc.	3.625%	3/4/24	8,482		9,063
	Cisco Systems Inc.	2.950%	2/28/26	12,290		12,901
	Cisco Systems Inc.	2.500%	9/20/26	3,225		3,288
	Cisco Systems Inc.	5.900%	2/15/39	12,100		16,962
	Cisco Systems Inc.	5.500%	1/15/40	21,242		28,927
	Citrix Systems Inc.	4.500%	12/1/27	5,000		5,400
	Corning Inc.	2.900%	5/15/22	4,675		4,770
	Corning Inc.	4.700%	3/15/37	4,475		4,928
	Corning Inc.	5.750%	8/15/40	7,460		9,291
	Corning Inc.	4.750%	3/15/42	4,000		4,512
	Corning Inc.	4.375%	11/15/57	6,250		6,293
	Corning Inc.	5.450%	11/15/79	5,000		5,480
7	Dell International LLC / EMC Corp.	5.450%	6/15/23	30,700		33,259
7	Dell International LLC / EMC Corp.	4.000%	7/15/24	5,000		5,231
7	Dell International LLC / EMC Corp.	6.020%	6/15/26	67,417		77,592
7	Dell International LLC / EMC Corp.	4.900%	10/1/26	10,000		11,002
7	Dell International LLC / EMC Corp.	5.300%	10/1/29	10,200		11,469
7	Dell International LLC / EMC Corp.	8.100%	7/15/36	14,450		18,951
7	Dell International LLC / EMC Corp.	8.350%	7/15/46	18,236		24,992
7	Dell International LLC / EMC Corp.	4.420%	6/15/21	36,350		37,361
	DXC Technology Co.	4.250%	4/15/24	14,375		15,211
	DXC Technology Co.	4.750%	4/15/27	2,170		2,337
	Equifax Inc.	2.300%	6/1/21	9,550		9,578
	Equifax Inc.	3.600%	8/15/21	1,300		1,328

129

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Equifax Inc.	3.950%	6/15/23	2,000		2,103
Equifax Inc.	2.600%	12/1/24	2,200		2,210
Equinix Inc.	2.625%	11/18/24	8,750		8,784
Equinix Inc.	2.900%	11/18/26	10,000		10,012
Equinix Inc.	3.200%	11/18/29	11,000		11,033
Fidelity National Information Services Inc.	3.500%	4/15/23	6,551		6,818
Fidelity National Information Services Inc.	3.875%	6/5/24	2,820		2,993
Fidelity National Information Services Inc.	3.000%	8/15/26	11,005		11,363
Fidelity National Information Services Inc.	3.750%	5/21/29	10,000		10,917
Fiserv Inc.	3.800%	10/1/23	13,483		14,213
Fiserv Inc.	2.750%	7/1/24	18,000		18,310
Fiserv Inc.	3.850%	6/1/25	10,994		11,696
Fiserv Inc.	3.200%	7/1/26	13,000		13,459
Fiserv Inc.	4.200%	10/1/28	5,000		5,512
Fiserv Inc.	3.500%	7/1/29	34,932		36,724
Fiserv Inc.	4.400%	7/1/49	23,075		26,162
Flex Ltd.	5.000%	2/15/23	2,730		2,912
Flex Ltd.	4.750%	6/15/25	75		81
Flex Ltd.	4.875%	6/15/29	6,500		7,056
FLIR Systems Inc.	3.125%	6/15/21	1,500		1,511
Global Payments Inc.	2.650%	2/15/25	14,475		14,548
Global Payments Inc.	3.200%	8/15/29	10,975		11,171
Global Payments Inc.	4.150%	8/15/49	6,775		7,232
Hewlett Packard Enterprise Co.	3.600%	10/15/20	44,344		44,826
Hewlett Packard Enterprise Co.	3.500%	10/5/21	260		266
Hewlett Packard Enterprise Co.	4.400%	10/15/22	17,850		18,840
Hewlett Packard Enterprise Co.	2.250%	4/1/23	2,000		1,999
Hewlett Packard Enterprise Co.	4.900%	10/15/25	22,195		24,603
Hewlett Packard Enterprise Co.	6.200%	10/15/35	7,192		8,609
Hewlett Packard Enterprise Co.	6.350%	10/15/45	13,300		16,027
HP Inc.	3.750%	12/1/20	1,984		2,015
HP Inc.	6.000%	9/15/41	7,820		8,621
IBM Credit LLC	3.450%	11/30/20	4,375		4,442
IBM Credit LLC	2.200%	9/8/22	6,500		6,545
IBM Credit LLC	3.000%	2/6/23	6,875		7,071
Intel Corp.	1.700%	5/19/21	10,225		10,206
Intel Corp.	3.300%	10/1/21	12,600		12,924
Intel Corp.	3.100%	7/29/22	6,100		6,293
Intel Corp.	2.700%	12/15/22	18,407		18,854
Intel Corp.	2.875%	5/11/24	26,646		27,636
Intel Corp.	3.700%	7/29/25	28,275		30,547
Intel Corp.	2.600%	5/19/26	10,890		11,136
Intel Corp.	2.450%	11/15/29	10,000		9,942
Intel Corp.	4.000%	12/15/32	9,370		10,851
Intel Corp.	4.800%	10/1/41	7,072		8,751
Intel Corp.	4.100%	5/19/46	11,225		12,904
Intel Corp.	4.100%	5/11/47	8,100		9,279
Intel Corp.	3.734%	12/8/47	28,050		30,652
Intel Corp.	3.250%	11/15/49	12,300		12,317
International Business Machines Corp.	2.250%	2/19/21	175		176
International Business Machines Corp.	2.800%	5/13/21	13,000		13,171
International Business Machines Corp.	2.900%	11/1/21	5,000		5,092
International Business Machines Corp.	2.500%	1/27/22	6,575		6,653
International Business Machines Corp.	2.850%	5/13/22	24,350		24,876

130

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
International Business Machines Corp.	1.875%	8/1/22	11,160		11,163
International Business Machines Corp.	2.875%	11/9/22	33,085		33,930
International Business Machines Corp.	3.375%	8/1/23	18,075		18,906
International Business Machines Corp.	3.625%	2/12/24	21,085		22,312
International Business Machines Corp.	3.000%	5/15/24	27,200		28,164
International Business Machines Corp.	7.000%	10/30/25	2,850		3,556
International Business Machines Corp.	3.450%	2/19/26	15,464		16,453
International Business Machines Corp.	3.300%	5/15/26	27,800		29,286
International Business Machines Corp.	6.220%	8/1/27	1,975		2,460
International Business Machines Corp.	6.500%	1/15/28	50		63
International Business Machines Corp.	3.500%	5/15/29	30,800		33,057
International Business Machines Corp.	5.875%	11/29/32	5,075		6,698
International Business Machines Corp.	4.150%	5/15/39	21,200		23,810
International Business Machines Corp.	5.600%	11/30/39	7,423		9,668
International Business Machines Corp.	4.000%	6/20/42	17,500		19,291
International Business Machines Corp.	4.250%	5/15/49	34,606		39,356
Jabil Inc.	5.625%	12/15/20	1,375		1,415
Jabil Inc.	4.700%	9/15/22	1,500		1,588
Jabil Inc.	3.950%	1/12/28	4,000		4,104
Juniper Networks Inc.	4.350%	6/15/25	6,020		6,406
Juniper Networks Inc.	3.750%	8/15/29	5,000		5,201
Juniper Networks Inc.	5.950%	3/15/41	3,605		4,056
Keysight Technologies Inc.	4.550%	10/30/24	9,145		9,935
Keysight Technologies Inc.	4.600%	4/6/27	9,400		10,420
Keysight Technologies Inc.	3.000%	10/30/29	750		752
KLA Corp.	4.125%	11/1/21	9,250		9,561
KLA Corp.	4.650%	11/1/24	11,975		13,125
KLA Corp.	4.100%	3/15/29	13,000		14,233
KLA Corp.	5.000%	3/15/49	4,325		5,290
Lam Research Corp.	2.800%	6/15/21	7,400		7,481
Lam Research Corp.	3.800%	3/15/25	4,901		5,213
Lam Research Corp.	3.750%	3/15/26	11,500		12,317
Lam Research Corp.	4.000%	3/15/29	8,675		9,535
Lam Research Corp.	4.875%	3/15/49	11,700		14,594
Marvell Technology Group Ltd.	4.200%	6/22/23	4,950		5,198
Marvell Technology Group Ltd.	4.875%	6/22/28	3,758		4,143
Maxim Integrated Products Inc.	3.375%	3/15/23	4,275		4,386
Maxim Integrated Products Inc.	3.450%	6/15/27	4,325		4,456
Microchip Technology Inc.	3.922%	6/1/21	10,000		10,217
Microchip Technology Inc.	4.333%	6/1/23	5,000		5,283
Micron Technology Inc.	4.640%	2/6/24	3,000		3,244
Micron Technology Inc.	4.975%	2/6/26	4,175		4,624
Micron Technology Inc.	4.185%	2/15/27	8,000		8,540
Micron Technology Inc.	5.327%	2/6/29	5,950		6,790
Micron Technology Inc.	4.663%	2/15/30	3,500		3,850
Microsoft Corp.	2.000%	11/3/20	7,850		7,866
Microsoft Corp.	4.000%	2/8/21	3,725		3,820
Microsoft Corp.	1.550%	8/8/21	16,250		16,218
Microsoft Corp.	2.400%	2/6/22	29,359		29,776
Microsoft Corp.	2.375%	2/12/22	12,700		12,872
Microsoft Corp.	2.650%	11/3/22	25,986		26,595
Microsoft Corp.	2.375%	5/1/23	1,225		1,246
Microsoft Corp.	2.000%	8/8/23	18,050		18,150
Microsoft Corp.	2.875%	2/6/24	28,780		29,840

131

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Microsoft Corp.	2.700%	2/12/25	6,425		6,641
	Microsoft Corp.	3.125%	11/3/25	25,450		26,899
	Microsoft Corp.	2.400%	8/8/26	54,407		54,953
	Microsoft Corp.	3.300%	2/6/27	28,717		30,654
	Microsoft Corp.	3.500%	2/12/35	17,825		19,607
	Microsoft Corp.	4.200%	11/3/35	13,335		15,729
	Microsoft Corp.	3.450%	8/8/36	34,963		38,224
	Microsoft Corp.	4.100%	2/6/37	26,931		31,725
	Microsoft Corp.	4.500%	10/1/40	16,426		20,350
	Microsoft Corp.	3.500%	11/15/42	12,195		13,242
	Microsoft Corp.	3.750%	5/1/43	3,840		4,243
	Microsoft Corp.	4.875%	12/15/43	12,950		16,894
	Microsoft Corp.	3.750%	2/12/45	21,295		24,166
	Microsoft Corp.	4.450%	11/3/45	25,800		32,138
	Microsoft Corp.	3.700%	8/8/46	47,675		53,797
	Microsoft Corp.	4.250%	2/6/47	23,550		28,741
	Microsoft Corp.	4.000%	2/12/55	28,317		33,468
	Microsoft Corp.	3.950%	8/8/56	18,949		22,413
	Microsoft Corp.	4.500%	2/6/57	14,000		18,121
	Motorola Solutions Inc.	3.750%	5/15/22	3,611		3,729
	Motorola Solutions Inc.	3.500%	3/1/23	7,715		7,954
	Motorola Solutions Inc.	4.000%	9/1/24	9,894		10,465
	Motorola Solutions Inc.	4.600%	2/23/28	6,000		6,490
	Motorola Solutions Inc.	4.600%	5/23/29	7,000		7,686
	Motorola Solutions Inc.	5.500%	9/1/44	2,995		3,287
	NetApp Inc.	3.375%	6/15/21	4,350		4,417
	NetApp Inc.	3.300%	9/29/24	4,475		4,627
	NVIDIA Corp.	2.200%	9/16/21	8,550		8,585
	NVIDIA Corp.	3.200%	9/16/26	8,080		8,448
7	NXP BV / NXP Funding LLC	4.875%	3/1/24	9,250		10,048
7	NXP BV / NXP Funding LLC	5.350%	3/1/26	10,506		11,793
7	NXP BV / NXP Funding LLC	5.550%	12/1/28	7,300		8,532
7	NXP BV / NXP Funding LLC / NXP USA Inc.	3.875%	6/18/26	2,000		2,115
7	NXP BV / NXP Funding LLC / NXP USA Inc.	4.300%	6/18/29	18,000		19,440
	Oracle Corp.	2.800%	7/8/21	12,635		12,816
	Oracle Corp.	1.900%	9/15/21	53,473		53,540
	Oracle Corp.	2.500%	5/15/22	9,350		9,483
	Oracle Corp.	2.500%	10/15/22	22,810		23,188
	Oracle Corp.	2.625%	2/15/23	8,000		8,155
	Oracle Corp.	2.400%	9/15/23	15,575		15,825
	Oracle Corp.	3.400%	7/8/24	17,000		17,934
	Oracle Corp.	2.950%	11/15/24	32,430		33,621
	Oracle Corp.	2.950%	5/15/25	21,357		22,198
	Oracle Corp.	2.650%	7/15/26	42,460		43,343
	Oracle Corp.	3.250%	11/15/27	5,000		5,286
	Oracle Corp.	3.250%	5/15/30	3,572		3,790
	Oracle Corp.	4.300%	7/8/34	16,640		19,428
	Oracle Corp.	3.900%	5/15/35	2,900		3,226
	Oracle Corp.	3.850%	7/15/36	24,625		26,954
	Oracle Corp.	3.800%	11/15/37	10,000		10,890
	Oracle Corp.	6.125%	7/8/39	5,000		6,989
	Oracle Corp.	5.375%	7/15/40	24,102		31,235
	Oracle Corp.	4.500%	7/8/44	13,000		15,331
	Oracle Corp.	4.125%	5/15/45	20,075		22,560

132

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Oracle Corp.	4.000%	7/15/46	25,911		28,736
Oracle Corp.	4.000%	11/15/47	21,765		24,306
Oracle Corp.	4.375%	5/15/55	9,550		11,292
PayPal Holdings Inc.	2.200%	9/26/22	9,000		9,051
PayPal Holdings Inc.	2.400%	10/1/24	11,500		11,612
PayPal Holdings Inc.	2.650%	10/1/26	12,800		12,969
PayPal Holdings Inc.	2.850%	10/1/29	18,160		18,197
QUALCOMM Inc.	3.000%	5/20/22	17,225		17,642
QUALCOMM Inc.	2.600%	1/30/23	13,025		13,253
QUALCOMM Inc.	2.900%	5/20/24	29,415		30,309
QUALCOMM Inc.	3.450%	5/20/25	11,400		12,017
QUALCOMM Inc.	3.250%	5/20/27	12,500		13,087
QUALCOMM Inc.	4.650%	5/20/35	9,700		11,477
QUALCOMM Inc.	4.800%	5/20/45	12,000		14,670
QUALCOMM Inc.	4.300%	5/20/47	13,491		15,476
salesforce.com Inc.	3.250%	4/11/23	8,625		8,955
salesforce.com Inc.	3.700%	4/11/28	12,050		13,212
Seagate HDD Cayman	4.250%	3/1/22	3,103		3,204
Seagate HDD Cayman	4.750%	6/1/23	1,688		1,787
Seagate HDD Cayman	4.875%	3/1/24	7,350		7,819
Seagate HDD Cayman	4.750%	1/1/25	4,934		5,236
Seagate HDD Cayman	4.875%	6/1/27	4,600		4,876
Seagate HDD Cayman	5.750%	12/1/34	3,825		4,026
Tech Data Corp.	3.700%	2/15/22	4,350		4,439
Tech Data Corp.	4.950%	2/15/27	3,900		4,015
Texas Instruments Inc.	2.750%	3/12/21	4,000		4,044
Texas Instruments Inc.	1.850%	5/15/22	4,400		4,405
Texas Instruments Inc.	2.625%	5/15/24	4,222		4,326
Texas Instruments Inc.	2.900%	11/3/27	4,425		4,621
Texas Instruments Inc.	2.250%	9/4/29	7,500		7,385
Texas Instruments Inc.	3.875%	3/15/39	7,000		7,869
Texas Instruments Inc.	4.150%	5/15/48	12,640		14,936
Total System Services Inc.	3.800%	4/1/21	6,530		6,652
Total System Services Inc.	3.750%	6/1/23	5,450		5,688
Total System Services Inc.	4.000%	6/1/23	4,595		4,836
Total System Services Inc.	4.800%	4/1/26	6,500		7,223
Total System Services Inc.	4.450%	6/1/28	2,000		2,178
Trimble Inc.	4.150%	6/15/23	1,025		1,081
Trimble Inc.	4.750%	12/1/24	3,826		4,145
Trimble Inc.	4.900%	6/15/28	4,000		4,361
Tyco Electronics Group SA	4.875%	1/15/21	3,750		3,854
Tyco Electronics Group SA	3.500%	2/3/22	3,900		4,013
Tyco Electronics Group SA	3.450%	8/1/24	1,425		1,485
Tyco Electronics Group SA	3.700%	2/15/26	3,100		3,270
Tyco Electronics Group SA	3.125%	8/15/27	2,950		3,024
Tyco Electronics Group SA	7.125%	10/1/37	7,145		10,499
Verisk Analytics Inc.	5.800%	5/1/21	4,410		4,617
Verisk Analytics Inc.	4.125%	9/12/22	8,500		8,886
Verisk Analytics Inc.	4.000%	6/15/25	4,950		5,323
Verisk Analytics Inc.	4.125%	3/15/29	7,090		7,736
Verisk Analytics Inc.	5.500%	6/15/45	3,500		4,312
VMware Inc.	2.950%	8/21/22	22,375		22,789
VMware Inc.	3.900%	8/21/27	13,225		13,795
Xilinx Inc.	3.000%	3/15/21	9,450		9,558
Xilinx Inc.	2.950%	6/1/24	6,483		6,654

133

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Transportation (0.7%)
4	American Airlines 2011-1 Class A Pass Through Trust	5.250%	7/31/22	2,876		2,948
4	American Airlines 2013-1 Class A Pass Through Trust	4.000%	1/15/27	676		711
4	American Airlines 2013-2 Class A Pass Through Trust	4.950%	7/15/24	3,054		3,194
4	American Airlines 2014-1 Class A Pass Through Trust	3.700%	4/1/28	1,508		1,575
4	American Airlines 2015-1 Class A Pass Through Trust	3.375%	11/1/28	5,229		5,362
4	American Airlines 2015-1 Class B Pass Through Trust	3.700%	11/1/24	1,016		1,028
4	American Airlines 2015-2 Class AA Pass Through Trust	3.600%	9/22/27	876		919
4	American Airlines 2016-1 Class A Pass Through Trust	4.100%	1/15/28	1,799		1,900
4	American Airlines 2016-1 Class AA Pass Through Trust	3.575%	1/15/28	2,699		2,830
4	American Airlines 2016-2 Class A Pass Through Trust	3.650%	6/15/28	3,696		3,813
4	American Airlines 2016-2 Class AA Pass Through Trust	3.200%	12/15/29	4,580		4,719
4	American Airlines 2016-3 Class A Pass Through Trust	3.250%	4/15/30	1,940		1,989
4	American Airlines 2016-3 Class AA Pass Through Trust	3.000%	10/15/28	6,112		6,217
4	American Airlines 2017-1 Class AA Pass Through Trust	3.650%	8/15/30	2,454		2,570
4	American Airlines 2017-1B Class B Pass Through Trust	4.950%	2/15/25	1,180		1,241
4	American Airlines 2017-2 Class AA Pass Through Trust	3.350%	10/15/29	5,053		5,150
4	American Airlines 2019-1 Class AA Pass Through Trust	3.150%	8/15/33	2,000		2,030
	Burlington Northern Santa Fe LLC	3.450%	9/15/21	2,540		2,598
	Burlington Northern Santa Fe LLC	3.050%	3/15/22	1,025		1,048
	Burlington Northern Santa Fe LLC	3.050%	9/1/22	6,360		6,525
	Burlington Northern Santa Fe LLC	3.000%	3/15/23	6,190		6,361
	Burlington Northern Santa Fe LLC	3.850%	9/1/23	9,785		10,390
	Burlington Northern Santa Fe LLC	3.750%	4/1/24	5,983		6,387
	Burlington Northern Santa Fe LLC	3.400%	9/1/24	8,460		8,943
	Burlington Northern Santa Fe LLC	3.000%	4/1/25	12,300		12,798
	Burlington Northern Santa Fe LLC	3.650%	9/1/25	200		215
	Burlington Northern Santa Fe LLC	3.250%	6/15/27	13,550		14,474
	Burlington Northern Santa Fe LLC	6.200%	8/15/36	1,650		2,281
	Burlington Northern Santa Fe LLC	5.750%	5/1/40	14,075		19,008
	Burlington Northern Santa Fe LLC	5.050%	3/1/41	4,425		5,496
	Burlington Northern Santa Fe LLC	5.400%	6/1/41	4,025		5,187
	Burlington Northern Santa Fe LLC	4.950%	9/15/41	3,680		4,502
	Burlington Northern Santa Fe LLC	4.400%	3/15/42	5,604		6,473
	Burlington Northern Santa Fe LLC	4.375%	9/1/42	9,591		11,138
	Burlington Northern Santa Fe LLC	4.450%	3/15/43	10,840		12,617
	Burlington Northern Santa Fe LLC	5.150%	9/1/43	6,200		7,903

134

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Burlington Northern Santa Fe LLC	4.900%	4/1/44	7,380		9,132
	Burlington Northern Santa Fe LLC	4.550%	9/1/44	3,305		3,940
	Burlington Northern Santa Fe LLC	4.150%	4/1/45	5,790		6,654
	Burlington Northern Santa Fe LLC	4.700%	9/1/45	4,800		5,847
	Burlington Northern Santa Fe LLC	3.900%	8/1/46	8,700		9,522
	Burlington Northern Santa Fe LLC	4.125%	6/15/47	13,150		14,857
	Burlington Northern Santa Fe LLC	4.050%	6/15/48	5,915		6,665
	Burlington Northern Santa Fe LLC	4.150%	12/15/48	6,070		6,928
	Burlington Northern Santa Fe LLC	3.550%	2/15/50	8,685		9,006
	Canadian National Railway Co.	2.850%	12/15/21	13,385		13,568
	Canadian National Railway Co.	2.950%	11/21/24	1,319		1,353
	Canadian National Railway Co.	2.750%	3/1/26	1,800		1,837
	Canadian National Railway Co.	6.900%	7/15/28	300		397
	Canadian National Railway Co.	6.250%	8/1/34	370		511
	Canadian National Railway Co.	6.200%	6/1/36	5,425		7,491
	Canadian National Railway Co.	6.375%	11/15/37	145		207
	Canadian National Railway Co.	3.200%	8/2/46	4,850		4,929
	Canadian National Railway Co.	3.650%	2/3/48	7,560		8,248
	Canadian Pacific Railway Co.	4.500%	1/15/22	3,291		3,446
	Canadian Pacific Railway Co.	4.450%	3/15/23	4,630		4,911
	Canadian Pacific Railway Co.	2.900%	2/1/25	5,625		5,761
	Canadian Pacific Railway Co.	7.125%	10/15/31	2,031		2,816
	Canadian Pacific Railway Co.	5.750%	3/15/33	100		125
	Canadian Pacific Railway Co.	5.950%	5/15/37	11,110		14,717
	Canadian Pacific Railway Co.	4.800%	8/1/45	100		125
	Canadian Pacific Railway Co.	6.125%	9/15/15	4,706		6,855
	CH Robinson Worldwide Inc.	4.200%	4/15/28	4,175		4,558
4	Continental Airlines 2010-1 Class A Pass Through Trust	4.750%	7/12/22	2,247		2,295
4	Continental Airlines 2012-1 Class A Pass Through Trust	4.150%	10/11/25	5,297		5,539
4	Continental Airlines 2012-2 Class A Pass Through Trust	4.000%	4/29/26	962		1,014
	CSX Corp.	4.250%	6/1/21	7,340		7,527
	CSX Corp.	3.700%	11/1/23	2,800		2,959
	CSX Corp.	3.350%	11/1/25	3,650		3,862
	CSX Corp.	2.600%	11/1/26	3,400		3,450
	CSX Corp.	3.250%	6/1/27	12,250		12,849
	CSX Corp.	3.800%	3/1/28	13,350		14,522
	CSX Corp.	4.250%	3/15/29	12,000		13,473
	CSX Corp.	2.400%	2/15/30	8,500		8,298
	CSX Corp.	6.000%	10/1/36	150		195
	CSX Corp.	6.150%	5/1/37	4,500		5,960
	CSX Corp.	6.220%	4/30/40	7,279		9,874
	CSX Corp.	5.500%	4/15/41	4,900		6,152
	CSX Corp.	4.750%	5/30/42	2,290		2,681
	CSX Corp.	4.100%	3/15/44	4,625		5,020
	CSX Corp.	3.800%	11/1/46	2,550		2,643
	CSX Corp.	4.300%	3/1/48	9,975		11,212
	CSX Corp.	4.750%	11/15/48	3,000		3,626
	CSX Corp.	4.500%	3/15/49	8,450		9,791
	CSX Corp.	3.350%	9/15/49	10,000		9,839
	CSX Corp.	3.950%	5/1/50	10,930		11,793
	CSX Corp.	4.500%	8/1/54	235		269

135

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	CSX Corp.	4.250%	11/1/66	5,875		6,279
	CSX Corp.	4.650%	3/1/68	5,720		6,521
4	Delta Air Lines 2007-1 Class A Pass Through Trust	6.821%	2/10/24	5,261		5,729
4	Delta Air Lines 2015-1 Class AA Pass Through Trust	3.625%	7/30/27	868		916
4	Delta Air Lines 2019-1 Class AA Pass Through Trust	3.204%	4/25/24	4,000		4,155
	Delta Air Lines Inc.	2.600%	12/4/20	5,400		5,416
	Delta Air Lines Inc.	3.400%	4/19/21	4,945		5,004
	Delta Air Lines Inc.	3.625%	3/15/22	6,900		7,068
	Delta Air Lines Inc.	3.800%	4/19/23	7,275		7,546
	Delta Air Lines Inc.	2.900%	10/28/24	7,000		7,017
	Delta Air Lines Inc.	4.375%	4/19/28	6,100		6,397
	Delta Air Lines Inc.	3.750%	10/28/29	2,990		2,977
	FedEx Corp.	2.625%	8/1/22	4,083		4,142
	FedEx Corp.	4.000%	1/15/24	3,250		3,474
	FedEx Corp.	3.200%	2/1/25	3,350		3,471
	FedEx Corp.	3.250%	4/1/26	3,637		3,770
	FedEx Corp.	3.300%	3/15/27	3,550		3,647
	FedEx Corp.	3.400%	2/15/28	10,000		10,161
	FedEx Corp.	4.900%	1/15/34	1,700		1,922
	FedEx Corp.	3.900%	2/1/35	4,100		4,140
	FedEx Corp.	3.875%	8/1/42	275		264
	FedEx Corp.	4.100%	4/15/43	2,275		2,224
	FedEx Corp.	5.100%	1/15/44	7,502		8,210
	FedEx Corp.	4.750%	11/15/45	11,725		12,342
	FedEx Corp.	4.550%	4/1/46	9,610		9,821
	FedEx Corp.	4.400%	1/15/47	8,400		8,442
	FedEx Corp.	4.050%	2/15/48	17,800		17,083
	FedEx Corp.	4.950%	10/17/48	6,400		6,955
	FedEx Corp.	4.500%	2/1/65	785		707
	JB Hunt Transport Services Inc.	3.300%	8/15/22	6,000		6,172
	JB Hunt Transport Services Inc.	3.875%	3/1/26	5,500		5,874
4	JetBlue 2019-1 Class AA Pass Through Trust	2.750%	5/15/32	10,000		10,077
	Kansas City Southern	3.000%	5/15/23	13,874		14,176
	Kansas City Southern	2.875%	11/15/29	4,000		3,984
	Kansas City Southern	4.300%	5/15/43	4,140		4,502
	Kansas City Southern	4.950%	8/15/45	10,525		12,340
	Kansas City Southern	4.700%	5/1/48	6,500		7,516
	Kirby Corp.	4.200%	3/1/28	14,217		14,986
4	Latam Airlines 2015-1 Pass Through Trust A	4.200%	8/15/29	2,557		2,637
	Norfolk Southern Corp.	3.250%	12/1/21	4,000		4,088
	Norfolk Southern Corp.	3.000%	4/1/22	5,180		5,293
	Norfolk Southern Corp.	2.903%	2/15/23	9,053		9,249
	Norfolk Southern Corp.	3.850%	1/15/24	4,420		4,683
	Norfolk Southern Corp.	3.650%	8/1/25	1,400		1,493
	Norfolk Southern Corp.	2.900%	6/15/26	250		257
	Norfolk Southern Corp.	7.800%	5/15/27	1,345		1,766
	Norfolk Southern Corp.	3.150%	6/1/27	6,000		6,249
	Norfolk Southern Corp.	3.800%	8/1/28	7,630		8,372
	Norfolk Southern Corp.	2.550%	11/1/29	1,840		1,827
	Norfolk Southern Corp.	7.050%	5/1/37	800		1,119
	Norfolk Southern Corp.	4.837%	10/1/41	11,598		13,728

136

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Norfolk Southern Corp.	3.950%	10/1/42	2,125		2,251
	Norfolk Southern Corp.	4.450%	6/15/45	5,320		6,097
	Norfolk Southern Corp.	4.650%	1/15/46	4,400		5,181
	Norfolk Southern Corp.	3.942%	11/1/47	2,623		2,810
	Norfolk Southern Corp.	4.150%	2/28/48	2,625		2,962
	Norfolk Southern Corp.	4.100%	5/15/49	3,550		3,901
	Norfolk Southern Corp.	3.400%	11/1/49	1,500		1,483
	Norfolk Southern Corp.	4.050%	8/15/52	12,849		14,097
	Norfolk Southern Corp.	6.000%	3/15/05	1,513		1,995
	Norfolk Southern Corp.	5.100%	8/1/18	6,975		8,206
	Ryder System Inc.	3.500%	6/1/21	5,000		5,096
	Ryder System Inc.	2.250%	9/1/21	350		350
	Ryder System Inc.	2.875%	6/1/22	2,500		2,544
	Ryder System Inc.	3.400%	3/1/23	5,400		5,566
	Ryder System Inc.	3.750%	6/9/23	12,000		12,523
	Ryder System Inc.	3.650%	3/18/24	7,775		8,162
	Ryder System Inc.	2.500%	9/1/24	3,475		3,489
	Ryder System Inc.	2.900%	12/1/26	2,000		2,012
	Southwest Airlines Co.	2.750%	11/16/22	1,000		1,014
	Southwest Airlines Co.	3.000%	11/15/26	3,475		3,550
	Southwest Airlines Co.	3.450%	11/16/27	2,650		2,774
4	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24	1,833		1,929
4	Spirit Airlines Class A Pass Through Certificates Series 2015-1	4.100%	10/1/29	1,989		2,072
	Union Pacific Corp.	4.000%	2/1/21	4,325		4,398
	Union Pacific Corp.	3.200%	6/8/21	5,350		5,441
	Union Pacific Corp.	2.950%	3/1/22	2,700		2,758
	Union Pacific Corp.	4.163%	7/15/22	9,996		10,503
	Union Pacific Corp.	2.750%	4/15/23	7,240		7,371
	Union Pacific Corp.	3.500%	6/8/23	10,025		10,490
	Union Pacific Corp.	3.646%	2/15/24	6,303		6,634
	Union Pacific Corp.	3.150%	3/1/24	4,300		4,466
	Union Pacific Corp.	3.250%	1/15/25	4,200		4,378
	Union Pacific Corp.	3.750%	7/15/25	5,950		6,372
	Union Pacific Corp.	3.250%	8/15/25	4,200		4,421
	Union Pacific Corp.	2.750%	3/1/26	6,929		7,076
	Union Pacific Corp.	3.000%	4/15/27	2,275		2,371
	Union Pacific Corp.	3.950%	9/10/28	12,310		13,566
	Union Pacific Corp.	3.700%	3/1/29	8,275		9,010
	Union Pacific Corp.	3.375%	2/1/35	4,400		4,536
	Union Pacific Corp.	3.600%	9/15/37	8,815		9,185
	Union Pacific Corp.	4.375%	9/10/38	4,500		5,133
	Union Pacific Corp.	4.300%	6/15/42	600		668
	Union Pacific Corp.	4.250%	4/15/43	525		582
	Union Pacific Corp.	4.150%	1/15/45	350		384
	Union Pacific Corp.	4.050%	11/15/45	7,225		7,798
	Union Pacific Corp.	4.050%	3/1/46	3,320		3,615
	Union Pacific Corp.	3.350%	8/15/46	6,900		6,740
	Union Pacific Corp.	4.300%	3/1/49	6,500		7,436
	Union Pacific Corp.	3.799%	10/1/51	16,224		17,207
	Union Pacific Corp.	3.875%	2/1/55	6,335		6,629
	Union Pacific Corp.	3.950%	8/15/59	1,800		1,885
7	Union Pacific Corp.	3.839%	3/20/60	21,427		21,436

137

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Union Pacific Corp.	4.375%	11/15/65	10,960		12,018
	Union Pacific Corp.	4.100%	9/15/67	6,045		6,227
4	Union Pacific Railroad Co. 2007-3 Pass Through Trust	6.176%	1/2/31	340		398
4	United Airlines 2013-1 Class A Pass Through Trust	4.300%	2/15/27	1,976		2,117
4	United Airlines 2014-1 Class A Pass Through Trust	4.000%	10/11/27	4,187		4,427
4	United Airlines 2014-2 Class A Pass Through Trust	3.750%	3/3/28	2,011		2,113
4	United Airlines 2015-1 Class A Pass Through Trust	3.700%	6/1/24	1,750		1,790
4	United Airlines 2015-1 Class AA Pass Through Trust	3.450%	12/1/27	3,468		3,577
4	United Airlines 2016-1 Class A Pass Through Trust	3.450%	1/7/30	2,236		2,295
4	United Airlines 2016-1 Class AA Pass Through Trust	3.100%	7/7/28	21,132		21,584
4	United Airlines 2016-2 Class A Pass Through Trust	3.100%	10/7/28	1,140		1,153
4	United Airlines 2016-2 Class AA Pass Through Trust	2.875%	10/7/28	3,953		4,003
4	United Airlines 2018-1 Class AA Pass Through Trust	3.500%	3/1/30	311		321
4	United Airlines 2019-1 Class AA Pass Through Trust	4.150%	8/25/31	6,000		6,476
4	United Airlines 2019-2 Class AA Pass Through Trust	2.700%	11/1/33	4,500		4,497
	United Parcel Service Inc.	3.125%	1/15/21	7,400		7,495
	United Parcel Service Inc.	2.050%	4/1/21	11,900		11,930
	United Parcel Service Inc.	2.350%	5/16/22	6,000		6,067
	United Parcel Service Inc.	2.450%	10/1/22	14,776		15,006
	United Parcel Service Inc.	2.500%	4/1/23	13,975		14,195
	United Parcel Service Inc.	2.800%	11/15/24	14,050		14,489
	United Parcel Service Inc.	2.400%	11/15/26	10,550		10,638
	United Parcel Service Inc.	3.050%	11/15/27	9,000		9,448
	United Parcel Service Inc.	3.400%	3/15/29	5,050		5,407
	United Parcel Service Inc.	2.500%	9/1/29	4,450		4,439
	United Parcel Service Inc.	6.200%	1/15/38	9,675		13,576
	United Parcel Service Inc.	4.875%	11/15/40	3,825		4,647
	United Parcel Service Inc.	3.625%	10/1/42	2,400		2,481
	United Parcel Service Inc.	3.400%	11/15/46	2,825		2,823
	United Parcel Service Inc.	3.750%	11/15/47	9,105		9,763
	United Parcel Service Inc.	4.250%	3/15/49	7,345		8,495
	United Parcel Service of America Inc.	8.375%	4/1/30	500		705
						31,677,172
Utilities (1.9%)
	Electric (1.7%)
	AEP Texas Inc.	2.400%	10/1/22	2,400		2,417
	AEP Texas Inc.	3.950%	6/1/28	4,275		4,655
	AEP Texas Inc.	3.800%	10/1/47	3,000		3,138
	AEP Texas Inc.	3.450%	1/15/50	6,635		6,629
	AEP Transmission Co. LLC	4.000%	12/1/46	3,721		4,106
	AEP Transmission Co. LLC	3.750%	12/1/47	12,250		13,127

138

Total Bond Market II Index Fund 

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
AEP Transmission Co. LLC	4.250%	9/15/48	4,350		4,988
AEP Transmission Co. LLC	3.800%	6/15/49	2,925		3,131
AEP Transmission Co. LLC	3.150%	9/15/49	2,985		2,891
Alabama Power Co.	2.450%	3/30/22	6,500		6,581
Alabama Power Co.	3.550%	12/1/23	8,800		9,270
Alabama Power Co.	6.125%	5/15/38	900		1,214
Alabama Power Co.	6.000%	3/1/39	2,290		3,176
Alabama Power Co.	3.850%	12/1/42	1,850		1,967
Alabama Power Co.	4.150%	8/15/44	4,900		5,444
Alabama Power Co.	3.750%	3/1/45	6,115		6,413
Alabama Power Co.	4.300%	1/2/46	9,950		11,324
Alabama Power Co.	3.700%	12/1/47	4,475		4,688
Alabama Power Co.	4.300%	7/15/48	5,425		6,250
Alabama Power Co.	3.450%	10/1/49	3,000		3,070
Ameren Corp.	3.650%	2/15/26	2,775		2,901
Ameren Illinois Co.	2.700%	9/1/22	3,170		3,225
Ameren Illinois Co.	3.250%	3/1/25	2,020		2,112
Ameren Illinois Co.	3.800%	5/15/28	4,850		5,285
Ameren Illinois Co.	4.150%	3/15/46	775		881
Ameren Illinois Co.	3.700%	12/1/47	7,675		8,132
Ameren Illinois Co.	4.500%	3/15/49	4,000		4,912
Ameren Illinois Co.	3.250%	3/15/50	3,155		3,186
American Electric Power Co. Inc.	3.650%	12/1/21	3,000		3,092
American Electric Power Co. Inc.	3.200%	11/13/27	4,350		4,456
American Electric Power Co. Inc.	4.300%	12/1/28	5,000		5,541
Appalachian Power Co.	4.600%	3/30/21	13,750		14,112
Appalachian Power Co.	7.000%	4/1/38	1,880		2,633
Appalachian Power Co.	4.400%	5/15/44	6,295		7,076
Appalachian Power Co.	4.450%	6/1/45	2,100		2,402
Appalachian Power Co.	4.500%	3/1/49	8,420		9,765
Arizona Public Service Co.	3.150%	5/15/25	2,265		2,348
Arizona Public Service Co.	2.950%	9/15/27	5,300		5,425
Arizona Public Service Co.	4.500%	4/1/42	4,875		5,608
Arizona Public Service Co.	4.350%	11/15/45	1,600		1,814
Arizona Public Service Co.	3.750%	5/15/46	7,350		7,643
Arizona Public Service Co.	4.200%	8/15/48	2,000		2,223
Arizona Public Service Co.	4.250%	3/1/49	3,000		3,386
Arizona Public Service Co.	3.500%	12/1/49	2,760		2,766
Avangrid Inc.	3.150%	12/1/24	5,495		5,664
Avangrid Inc.	3.800%	6/1/29	9,400		9,942
Avista Corp.	4.350%	6/1/48	3,200		3,619
Baltimore Gas & Electric Co.	3.500%	11/15/21	4,825		4,953
Baltimore Gas & Electric Co.	3.350%	7/1/23	3,150		3,267
Baltimore Gas & Electric Co.	2.400%	8/15/26	8,600		8,626
Baltimore Gas & Electric Co.	6.350%	10/1/36	1,551		2,137
Baltimore Gas & Electric Co.	3.500%	8/15/46	4,000		4,084
Baltimore Gas & Electric Co.	3.750%	8/15/47	2,325		2,479
Baltimore Gas & Electric Co.	4.250%	9/15/48	4,450		5,151
Baltimore Gas & Electric Co.	3.200%	9/15/49	3,420		3,346
Berkshire Hathaway Energy Co.	2.375%	1/15/21	5,975		5,994
Berkshire Hathaway Energy Co.	2.800%	1/15/23	6,725		6,858
Berkshire Hathaway Energy Co.	3.750%	11/15/23	7,161		7,558
Berkshire Hathaway Energy Co.	3.500%	2/1/25	7,975		8,411
Berkshire Hathaway Energy Co.	3.250%	4/15/28	775		809

139

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Berkshire Hathaway Energy Co.	6.125%	4/1/36	12,525		17,238
Berkshire Hathaway Energy Co.	5.950%	5/15/37	3,292		4,447
Berkshire Hathaway Energy Co.	6.500%	9/15/37	7,055		9,774
Berkshire Hathaway Energy Co.	5.150%	11/15/43	7,275		9,141
Berkshire Hathaway Energy Co.	4.500%	2/1/45	6,175		7,268
Berkshire Hathaway Energy Co.	3.800%	7/15/48	3,360		3,561
Berkshire Hathaway Energy Co.	4.450%	1/15/49	6,975		8,175
Black Hills Corp.	4.250%	11/30/23	2,140		2,270
Black Hills Corp.	3.950%	1/15/26	4,300		4,531
Black Hills Corp.	3.150%	1/15/27	3,375		3,403
Black Hills Corp.	3.050%	10/15/29	2,905		2,903
Black Hills Corp.	4.350%	5/1/33	4,745		5,198
Black Hills Corp.	4.200%	9/15/46	3,200		3,329
Black Hills Corp.	3.875%	10/15/49	1,865		1,864
CenterPoint Energy Houston Electric LLC	1.850%	6/1/21	5,800		5,800
CenterPoint Energy Houston Electric LLC	2.250%	8/1/22	700		703
CenterPoint Energy Houston Electric LLC	2.400%	9/1/26	9,900		9,754
CenterPoint Energy Houston Electric LLC	3.000%	2/1/27	2,000		2,037
CenterPoint Energy Houston Electric LLC	6.950%	3/15/33	100		141
CenterPoint Energy Houston Electric LLC	3.550%	8/1/42	4,950		5,104
CenterPoint Energy Houston Electric LLC	4.500%	4/1/44	450		532
CenterPoint Energy Houston Electric LLC	3.950%	3/1/48	3,775		4,187
CenterPoint Energy Houston Electric LLC	4.250%	2/1/49	3,050		3,572
CenterPoint Energy Inc.	3.600%	11/1/21	2,400		2,457
CenterPoint Energy Inc.	2.500%	9/1/22	8,525		8,587
CenterPoint Energy Inc.	3.850%	2/1/24	11,850		12,440
CenterPoint Energy Inc.	2.500%	9/1/24	2,500		2,502
CenterPoint Energy Inc.	4.250%	11/1/28	3,700		3,982
CenterPoint Energy Inc.	2.950%	3/1/30	2,980		2,930
CenterPoint Energy Inc.	3.700%	9/1/49	2,075		2,044
Cleco Corporate Holdings LLC	3.743%	5/1/26	6,100		6,299
Cleco Corporate Holdings LLC	4.973%	5/1/46	2,975		3,296
Cleveland Electric Illuminating Co.	5.500%	8/15/24	2,275		2,595
Cleveland Electric Illuminating Co.	5.950%	12/15/36	3,270		4,082
CMS Energy Corp.	5.050%	3/15/22	50		53
CMS Energy Corp.	3.000%	5/15/26	6,550		6,656
CMS Energy Corp.	3.450%	8/15/27	2,975		3,105
CMS Energy Corp.	4.875%	3/1/44	6,955		8,279
Commonwealth Edison Co.	3.400%	9/1/21	2,100		2,148
Commonwealth Edison Co.	2.550%	6/15/26	2,625		2,646
Commonwealth Edison Co.	2.950%	8/15/27	3,000		3,083
Commonwealth Edison Co.	3.700%	8/15/28	11,073		12,014
Commonwealth Edison Co.	5.900%	3/15/36	3,895		5,159
Commonwealth Edison Co.	6.450%	1/15/38	3,770		5,356
Commonwealth Edison Co.	3.800%	10/1/42	4,450		4,773
Commonwealth Edison Co.	4.600%	8/15/43	2,500		2,970
Commonwealth Edison Co.	3.700%	3/1/45	4,650		4,942
Commonwealth Edison Co.	4.350%	11/15/45	2,925		3,396
Commonwealth Edison Co.	3.650%	6/15/46	8,525		8,942
Commonwealth Edison Co.	3.750%	8/15/47	4,800		5,181
Commonwealth Edison Co.	4.000%	3/1/49	5,900		6,635
Commonwealth Edison Co.	3.200%	11/15/49	7,525		7,469
Connecticut Light & Power Co.	2.500%	1/15/23	10,748		10,879
Connecticut Light & Power Co.	3.200%	3/15/27	5,200		5,455

140

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Connecticut Light & Power Co.	4.300%	4/15/44	5,130		6,022
	Connecticut Light & Power Co.	4.150%	6/1/45	2,650		3,061
	Connecticut Light & Power Co.	4.000%	4/1/48	8,355		9,573
	Consolidated Edison Co. of New York Inc.	3.125%	11/15/27	3,175		3,297
	Consolidated Edison Co. of New York Inc.	5.300%	3/1/35	2,100		2,575
	Consolidated Edison Co. of New York Inc.	5.850%	3/15/36	9,690		12,601
	Consolidated Edison Co. of New York Inc.	6.200%	6/15/36	1,653		2,221
	Consolidated Edison Co. of New York Inc.	6.300%	8/15/37	740		1,018
	Consolidated Edison Co. of New York Inc.	6.750%	4/1/38	525		750
	Consolidated Edison Co. of New York Inc.	5.500%	12/1/39	4,525		5,861
	Consolidated Edison Co. of New York Inc.	5.700%	6/15/40	5,460		7,149
	Consolidated Edison Co. of New York Inc.	4.200%	3/15/42	118		131
	Consolidated Edison Co. of New York Inc.	3.950%	3/1/43	5,548		5,996
	Consolidated Edison Co. of New York Inc.	4.450%	3/15/44	15,120		17,408
	Consolidated Edison Co. of New York Inc.	4.500%	12/1/45	3,232		3,770
	Consolidated Edison Co. of New York Inc.	3.850%	6/15/46	7,500		8,046
	Consolidated Edison Co. of New York Inc.	3.875%	6/15/47	10,025		10,816
	Consolidated Edison Co. of New York Inc.	4.125%	5/15/49	6,000		6,783
	Consolidated Edison Co. of New York Inc.	4.300%	12/1/56	7,430		8,358
	Consolidated Edison Co. of New York Inc.	4.000%	11/15/57	2,800		2,953
	Consolidated Edison Co. of New York Inc.	4.500%	5/15/58	6,875		7,952
	Consolidated Edison Co. of New York Inc.	3.700%	11/15/59	1,500		1,545
	Consolidated Edison Inc.	2.000%	5/15/21	7,675		7,672
	Consumers Energy Co.	2.850%	5/15/22	3,441		3,514
	Consumers Energy Co.	3.375%	8/15/23	925		965
	Consumers Energy Co.	3.800%	11/15/28	3,000		3,309
	Consumers Energy Co.	3.950%	5/15/43	4,150		4,595
	Consumers Energy Co.	3.250%	8/15/46	3,275		3,253
	Consumers Energy Co.	3.950%	7/15/47	2,900		3,257
	Consumers Energy Co.	4.050%	5/15/48	4,870		5,575
	Consumers Energy Co.	4.350%	4/15/49	2,400		2,898
	Consumers Energy Co.	3.100%	8/15/50	3,300		3,307
	Delmarva Power & Light Co.	3.500%	11/15/23	2,175		2,278
	Delmarva Power & Light Co.	4.150%	5/15/45	5,625		6,284
	Dominion Energy Inc.	2.000%	8/15/21	5,100		5,093
	Dominion Energy Inc.	2.715%	8/15/21	2,000		2,015
	Dominion Energy Inc.	2.750%	1/15/22	3,825		3,872
	Dominion Energy Inc.	2.750%	9/15/22	450		455
	Dominion Energy Inc.	3.071%	8/15/24	2,000		2,034
	Dominion Energy Inc.	3.900%	10/1/25	3,550		3,778
	Dominion Energy Inc.	2.850%	8/15/26	5,650		5,694
	Dominion Energy Inc.	4.250%	6/1/28	3,850		4,239
	Dominion Energy Inc.	6.300%	3/15/33	2,675		3,478
	Dominion Energy Inc.	5.950%	6/15/35	6,275		7,916
	Dominion Energy Inc.	7.000%	6/15/38	3,550		4,907
	Dominion Energy Inc.	4.900%	8/1/41	5,935		6,891
	Dominion Energy Inc.	4.050%	9/15/42	3,947		4,133
	Dominion Energy Inc.	4.700%	12/1/44	2,375		2,729
	Dominion Energy Inc.	4.600%	3/15/49	9,000		10,448
4	Dominion Energy Inc.	5.750%	10/1/54	625		673
	Dominion Energy South Carolina Inc.	6.625%	2/1/32	2,525		3,404
	Dominion Energy South Carolina Inc.	6.050%	1/15/38	7,692		10,347
	Dominion Energy South Carolina Inc.	5.450%	2/1/41	1,525		1,966
	Dominion Energy South Carolina Inc.	4.600%	6/15/43	5,458		6,434

141

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Dominion Energy South Carolina Inc.	5.100%	6/1/65	3,800		4,936
DTE Electric Co.	3.650%	3/15/24	5,485		5,791
DTE Electric Co.	3.375%	3/1/25	150		158
DTE Electric Co.	4.000%	4/1/43	1,971		2,194
DTE Electric Co.	3.700%	3/15/45	4,250		4,562
DTE Electric Co.	3.700%	6/1/46	4,500		4,833
DTE Electric Co.	3.750%	8/15/47	5,650		6,145
DTE Electric Co.	3.950%	3/1/49	8,800		10,052
DTE Energy Co.	2.600%	6/15/22	2,000		2,010
DTE Energy Co.	3.300%	6/15/22	3,100		3,170
DTE Energy Co.	2.250%	11/1/22	3,290		3,291
DTE Energy Co.	3.700%	8/1/23	5,325		5,543
DTE Energy Co.	3.500%	6/1/24	13,900		14,480
DTE Energy Co.	2.850%	10/1/26	22,200		22,229
DTE Energy Co.	3.800%	3/15/27	15,450		16,286
DTE Energy Co.	3.400%	6/15/29	2,000		2,039
DTE Energy Co.	2.950%	3/1/30	2,625		2,597
DTE Energy Co.	6.375%	4/15/33	975		1,271
Duke Energy Carolinas LLC	3.900%	6/15/21	8,718		8,933
Duke Energy Carolinas LLC	2.500%	3/15/23	225		228
Duke Energy Carolinas LLC	3.050%	3/15/23	9,000		9,266
Duke Energy Carolinas LLC	2.950%	12/1/26	625		644
Duke Energy Carolinas LLC	6.000%	12/1/28	3,694		4,598
Duke Energy Carolinas LLC	2.450%	8/15/29	925		917
Duke Energy Carolinas LLC	6.450%	10/15/32	6,575		8,969
Duke Energy Carolinas LLC	6.100%	6/1/37	5,525		7,483
Duke Energy Carolinas LLC	6.000%	1/15/38	3,975		5,335
Duke Energy Carolinas LLC	6.050%	4/15/38	3,675		5,042
Duke Energy Carolinas LLC	5.300%	2/15/40	7,515		9,674
Duke Energy Carolinas LLC	4.250%	12/15/41	6,825		7,772
Duke Energy Carolinas LLC	4.000%	9/30/42	5,970		6,575
Duke Energy Carolinas LLC	3.750%	6/1/45	7,140		7,621
Duke Energy Carolinas LLC	3.875%	3/15/46	7,524		8,336
Duke Energy Carolinas LLC	3.700%	12/1/47	8,055		8,620
Duke Energy Carolinas LLC	3.950%	3/15/48	3,100		3,426
Duke Energy Carolinas LLC	3.200%	8/15/49	505		498
Duke Energy Corp.	3.550%	9/15/21	100		102
Duke Energy Corp.	2.400%	8/15/22	11,385		11,469
Duke Energy Corp.	3.050%	8/15/22	5,090		5,204
Duke Energy Corp.	3.950%	10/15/23	3,850		4,070
Duke Energy Corp.	3.750%	4/15/24	7,025		7,444
Duke Energy Corp.	2.650%	9/1/26	13,230		13,228
Duke Energy Corp.	3.150%	8/15/27	9,875		10,135
Duke Energy Corp.	4.800%	12/15/45	6,466		7,635
Duke Energy Corp.	3.750%	9/1/46	14,762		15,078
Duke Energy Corp.	4.200%	6/15/49	1,390		1,520
Duke Energy Florida LLC	3.200%	1/15/27	10,425		10,845
Duke Energy Florida LLC	3.800%	7/15/28	4,825		5,250
Duke Energy Florida LLC	2.500%	12/1/29	7,000		6,981
Duke Energy Florida LLC	6.350%	9/15/37	775		1,075
Duke Energy Florida LLC	6.400%	6/15/38	4,975		7,077
Duke Energy Florida LLC	5.650%	4/1/40	4,100		5,386
Duke Energy Florida LLC	3.400%	10/1/46	5,465		5,533
Duke Energy Florida LLC	4.200%	7/15/48	3,550		4,082

142

Total Bond Market II Index Fund        

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Duke Energy Florida Project Finance LLC	1.731%	9/1/22	1,800		1,789
4	Duke Energy Florida Project Finance LLC	2.538%	9/1/29	3,591		3,570
	Duke Energy Indiana LLC	6.120%	10/15/35	2,740		3,609
	Duke Energy Indiana LLC	6.350%	8/15/38	3,725		5,232
	Duke Energy Indiana LLC	6.450%	4/1/39	200		284
	Duke Energy Indiana LLC	4.900%	7/15/43	3,060		3,783
	Duke Energy Indiana LLC	3.750%	5/15/46	14,840		15,802
	Duke Energy Indiana LLC	3.250%	10/1/49	5,500		5,514
	Duke Energy Ohio Inc.	3.800%	9/1/23	100		106
	Duke Energy Ohio Inc.	3.650%	2/1/29	9,475		10,280
	Duke Energy Ohio Inc.	3.700%	6/15/46	3,275		3,452
	Duke Energy Ohio Inc.	4.300%	2/1/49	4,000		4,666
	Duke Energy Progress LLC	3.000%	9/15/21	5,706		5,810
	Duke Energy Progress LLC	2.800%	5/15/22	10,695		10,892
	Duke Energy Progress LLC	3.375%	9/1/23	1,625		1,697
	Duke Energy Progress LLC	3.250%	8/15/25	3,050		3,201
	Duke Energy Progress LLC	3.700%	9/1/28	5,625		6,136
	Duke Energy Progress LLC	3.450%	3/15/29	13,275		14,215
	Duke Energy Progress LLC	6.300%	4/1/38	4,220		5,825
	Duke Energy Progress LLC	4.100%	5/15/42	3,925		4,360
	Duke Energy Progress LLC	4.100%	3/15/43	4,970		5,534
	Duke Energy Progress LLC	4.375%	3/30/44	10,150		11,777
	Duke Energy Progress LLC	4.150%	12/1/44	5,425		6,077
	Duke Energy Progress LLC	4.200%	8/15/45	2,350		2,657
	Duke Energy Progress LLC	3.700%	10/15/46	3,500		3,686
	Duke Energy Progress LLC	3.600%	9/15/47	1,025		1,067
	Edison International	2.400%	9/15/22	6,200		6,154
	Edison International	2.950%	3/15/23	7,875		7,865
	Edison International	5.750%	6/15/27	1,000		1,120
	El Paso Electric Co.	6.000%	5/15/35	800		979
	El Paso Electric Co.	5.000%	12/1/44	3,200		3,747
	Emera US Finance LP	2.700%	6/15/21	4,975		5,013
	Emera US Finance LP	3.550%	6/15/26	11,555		11,980
	Emera US Finance LP	4.750%	6/15/46	11,075		12,783
	Enel Americas SA	4.000%	10/25/26	4,115		4,253
	Enel Chile SA	4.875%	6/12/28	7,075		7,841
	Entergy Arkansas Inc.	3.750%	2/15/21	3,350		3,405
	Entergy Arkansas Inc.	3.700%	6/1/24	100		106
	Entergy Arkansas Inc.	3.500%	4/1/26	4,125		4,337
	Entergy Corp.	4.000%	7/15/22	6,075		6,324
	Entergy Corp.	2.950%	9/1/26	6,850		6,946
	Entergy Gulf States Louisiana LLC	5.590%	10/1/24	2,130		2,441
	Entergy Louisiana LLC	4.050%	9/1/23	5,650		6,008
	Entergy Louisiana LLC	5.400%	11/1/24	3,077		3,514
	Entergy Louisiana LLC	2.400%	10/1/26	5,625		5,584
	Entergy Louisiana LLC	3.120%	9/1/27	4,600		4,754
	Entergy Louisiana LLC	3.250%	4/1/28	3,700		3,865
	Entergy Louisiana LLC	3.050%	6/1/31	13,505		13,807
	Entergy Louisiana LLC	4.000%	3/15/33	9,845		11,051
	Entergy Louisiana LLC	4.950%	1/15/45	5,250		5,655
	Entergy Louisiana LLC	4.200%	9/1/48	3,875		4,470
	Entergy Louisiana LLC	4.200%	4/1/50	5,550		6,444
	Entergy Mississippi LLC	2.850%	6/1/28	8,225		8,344
	Entergy Mississippi LLC	3.850%	6/1/49	4,450		4,831

143

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Entergy Texas Inc.	3.550%	9/30/49	7,585		7,731
Evergy Inc.	2.900%	9/15/29	4,500		4,472
Eversource Energy	2.500%	3/15/21	2,000		2,011
Eversource Energy	2.750%	3/15/22	3,425		3,471
Eversource Energy	3.800%	12/1/23	3,500		3,661
Eversource Energy	2.900%	10/1/24	4,151		4,233
Eversource Energy	3.300%	1/15/28	8,750		9,020
Eversource Energy	4.250%	4/1/29	8,105		8,951
Exelon Corp.	5.150%	12/1/20	4,405		4,493
Exelon Corp.	2.450%	4/15/21	1,000		1,005
Exelon Corp.	3.497%	6/1/22	7,925		8,130
Exelon Corp.	3.950%	6/15/25	18,790		20,203
Exelon Corp.	3.400%	4/15/26	7,075		7,377
Exelon Corp.	4.950%	6/15/35	5,700		6,570
Exelon Corp.	5.625%	6/15/35	3,775		4,659
Exelon Corp.	5.100%	6/15/45	1,925		2,304
Exelon Corp.	4.450%	4/15/46	7,025		7,925
Exelon Generation Co. LLC	3.400%	3/15/22	6,400		6,552
Exelon Generation Co. LLC	4.250%	6/15/22	4,225		4,416
Exelon Generation Co. LLC	6.250%	10/1/39	4,780		5,773
Exelon Generation Co. LLC	5.750%	10/1/41	7,500		8,629
Exelon Generation Co. LLC	5.600%	6/15/42	9,448		10,542
FirstEnergy Corp.	2.850%	7/15/22	5,476		5,558
FirstEnergy Corp.	4.250%	3/15/23	4,450		4,691
FirstEnergy Corp.	3.900%	7/15/27	15,075		16,087
FirstEnergy Corp.	7.375%	11/15/31	14,122		19,860
FirstEnergy Corp.	4.850%	7/15/47	15,784		18,737
Florida Power & Light Co.	2.750%	6/1/23	2,400		2,453
Florida Power & Light Co.	3.250%	6/1/24	2,800		2,922
Florida Power & Light Co.	5.625%	4/1/34	1,450		1,901
Florida Power & Light Co.	5.650%	2/1/37	3,379		4,512
Florida Power & Light Co.	5.950%	2/1/38	3,250		4,448
Florida Power & Light Co.	5.960%	4/1/39	9,900		13,929
Florida Power & Light Co.	5.250%	2/1/41	975		1,258
Florida Power & Light Co.	4.125%	2/1/42	5,425		6,158
Florida Power & Light Co.	4.050%	6/1/42	4,600		5,179
Florida Power & Light Co.	3.800%	12/15/42	5,335		5,863
Florida Power & Light Co.	4.050%	10/1/44	2,973		3,403
Florida Power & Light Co.	3.950%	3/1/48	7,745		8,757
Florida Power & Light Co.	4.125%	6/1/48	10,000		11,605
Florida Power & Light Co.	3.990%	3/1/49	7,155		8,159
Florida Power & Light Co.	3.150%	10/1/49	7,425		7,398
Fortis Inc.	3.055%	10/4/26	17,673		18,015
Georgia Power Co.	2.400%	4/1/21	2,150		2,158
Georgia Power Co.	2.850%	5/15/22	1,900		1,933
Georgia Power Co.	3.250%	4/1/26	8,250		8,529
Georgia Power Co.	3.250%	3/30/27	3,500		3,599
Georgia Power Co.	4.750%	9/1/40	4,625		5,236
Georgia Power Co.	4.300%	3/15/42	9,115		9,867
Georgia Power Co.	4.300%	3/15/43	6,480		6,988
Gulf Power Co.	3.300%	5/30/27	2,325		2,428
Iberdrola International BV	6.750%	7/15/36	3,735		5,163
Indiana Michigan Power Co.	3.850%	5/15/28	3,000		3,248
Indiana Michigan Power Co.	6.050%	3/15/37	3,135		4,119

144

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Indiana Michigan Power Co.	4.550%	3/15/46	2,995		3,487
	Indiana Michigan Power Co.	3.750%	7/1/47	5,100		5,330
	Indiana Michigan Power Co.	4.250%	8/15/48	5,725		6,509
	Interstate Power & Light Co.	3.250%	12/1/24	5,730		5,972
	Interstate Power & Light Co.	4.100%	9/26/28	4,570		4,990
	Interstate Power & Light Co.	3.600%	4/1/29	8,774		9,320
	Interstate Power & Light Co.	6.250%	7/15/39	2,475		3,253
	Interstate Power & Light Co.	3.700%	9/15/46	2,925		2,983
	ITC Holdings Corp.	2.700%	11/15/22	4,445		4,499
	ITC Holdings Corp.	3.650%	6/15/24	3,589		3,749
	ITC Holdings Corp.	3.250%	6/30/26	1,865		1,921
	ITC Holdings Corp.	3.350%	11/15/27	6,485		6,745
	ITC Holdings Corp.	5.300%	7/1/43	5,431		6,623
4	John Sevier Combined Cycle Generation LLC	4.626%	1/15/42	2,772		3,224
	Kansas City Power & Light Co.	3.150%	3/15/23	2,600		2,671
	Kansas City Power & Light Co.	5.300%	10/1/41	4,795		6,051
	Kansas City Power & Light Co.	4.200%	6/15/47	5,500		6,311
	Kansas City Power & Light Co.	4.200%	3/15/48	5,025		5,770
	Kentucky Utilities Co.	3.250%	11/1/20	4,895		4,928
	Kentucky Utilities Co.	5.125%	11/1/40	4,680		5,822
	Kentucky Utilities Co.	4.375%	10/1/45	4,900		5,670
	LG&E & KU Energy LLC	3.750%	11/15/20	1,600		1,615
	Louisville Gas & Electric Co.	3.300%	10/1/25	2,400		2,509
	Louisville Gas & Electric Co.	4.250%	4/1/49	14,500		16,526
	MidAmerican Energy Co.	3.500%	10/15/24	10,000		10,608
	MidAmerican Energy Co.	3.100%	5/1/27	3,050		3,168
	MidAmerican Energy Co.	3.650%	4/15/29	6,100		6,650
	MidAmerican Energy Co.	6.750%	12/30/31	4,050		5,640
	MidAmerican Energy Co.	5.750%	11/1/35	1,575		2,069
	MidAmerican Energy Co.	5.800%	10/15/36	2,925		3,849
	MidAmerican Energy Co.	4.800%	9/15/43	2,385		2,915
	MidAmerican Energy Co.	4.400%	10/15/44	3,550		4,168
	MidAmerican Energy Co.	4.250%	5/1/46	3,605		4,257
	MidAmerican Energy Co.	3.950%	8/1/47	1,500		1,663
	MidAmerican Energy Co.	3.650%	8/1/48	6,575		7,089
	MidAmerican Energy Co.	4.250%	7/15/49	6,405		7,678
	Mississippi Power Co.	4.250%	3/15/42	4,400		4,689
	National Rural Utilities Cooperative Finance Corp.	2.300%	11/1/20	4,004		4,016
	National Rural Utilities Cooperative Finance Corp.	2.900%	3/15/21	2,475		2,503
	National Rural Utilities Cooperative Finance Corp.	3.050%	2/15/22	6,510		6,644
	National Rural Utilities Cooperative Finance Corp.	2.400%	4/25/22	8,500		8,590
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23	3,050		3,109
	National Rural Utilities Cooperative Finance Corp.	3.400%	11/15/23	3,350		3,522
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24	6,200		6,394
	National Rural Utilities Cooperative Finance Corp.	2.850%	1/27/25	4,500		4,630

145

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	National Rural Utilities Cooperative Finance Corp.	3.050%	4/25/27	2,150		2,225
	National Rural Utilities Cooperative Finance Corp.	3.400%	2/7/28	6,175		6,556
	National Rural Utilities Cooperative Finance Corp.	3.900%	11/1/28	3,000		3,265
	National Rural Utilities Cooperative Finance Corp.	3.700%	3/15/29	5,730		6,250
	National Rural Utilities Cooperative Finance Corp.	8.000%	3/1/32	1,513		2,233
	National Rural Utilities Cooperative Finance Corp.	4.023%	11/1/32	10,452		11,780
4	National Rural Utilities Cooperative Finance Corp.	4.750%	4/30/43	50		52
4	National Rural Utilities Cooperative Finance Corp.	5.250%	4/20/46	2,900		3,072
	National Rural Utilities Cooperative Finance Corp.	4.400%	11/1/48	8,666		10,317
	National Rural Utilities Cooperative Finance Corp.	4.300%	3/15/49	5,200		6,169
	Nevada Power Co.	3.700%	5/1/29	5,575		6,017
	Nevada Power Co.	6.650%	4/1/36	965		1,322
	Nevada Power Co.	6.750%	7/1/37	1,475		2,082
	NextEra Energy Capital Holdings Inc.	4.500%	6/1/21	1,835		1,885
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22	3,500		3,557
	NextEra Energy Capital Holdings Inc.	2.800%	1/15/23	12,780		12,969
	NextEra Energy Capital Holdings Inc.	3.150%	4/1/24	2,935		3,026
	NextEra Energy Capital Holdings Inc.	3.250%	4/1/26	1,100		1,144
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27	11,735		12,434
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29	18,195		19,239
	NextEra Energy Capital Holdings Inc.	2.750%	11/1/29	4,000		3,995
4	NextEra Energy Capital Holdings Inc.	4.800%	12/1/77	4,940		5,051
4	NextEra Energy Capital Holdings Inc.	5.650%	5/1/79	3,100		3,445
	Northern States Power Co.	2.150%	8/15/22	75		75
	Northern States Power Co.	2.600%	5/15/23	1,280		1,299
	Northern States Power Co.	6.250%	6/1/36	840		1,153
	Northern States Power Co.	6.200%	7/1/37	2,205		3,050
	Northern States Power Co.	5.350%	11/1/39	3,295		4,290
	Northern States Power Co.	3.400%	8/15/42	2,645		2,748
	Northern States Power Co.	4.000%	8/15/45	1,200		1,331
	Northern States Power Co.	3.600%	5/15/46	3,075		3,244
	Northern States Power Co.	3.600%	9/15/47	1,000		1,056
	Northern States Power Co.	2.900%	3/1/50	2,225		2,122
	NorthWestern Corp.	4.176%	11/15/44	2,425		2,666
	NSTAR Electric Co.	2.375%	10/15/22	5,475		5,528
	NSTAR Electric Co.	3.200%	5/15/27	6,000		6,265
	NSTAR Electric Co.	3.250%	5/15/29	1,430		1,492
	NSTAR Electric Co.	5.500%	3/15/40	4,605		5,877
	NV Energy Inc.	6.250%	11/15/20	9,310		9,644
	Oglethorpe Power Corp.	5.950%	11/1/39	500		624
	Oglethorpe Power Corp.	5.375%	11/1/40	6,720		8,104
	Oglethorpe Power Corp.	5.250%	9/1/50	2,355		2,821
	Ohio Edison Co.	6.875%	7/15/36	4,180		5,832
	Ohio Power Co.	5.375%	10/1/21	5,975		6,329

146

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Ohio Power Co.	4.000%	6/1/49	4,118		4,626
Oklahoma Gas & Electric Co.	3.800%	8/15/28	3,500		3,779
Oklahoma Gas & Electric Co.	4.150%	4/1/47	2,215		2,394
Oklahoma Gas & Electric Co.	3.850%	8/15/47	3,475		3,602
Oncor Electric Delivery Co. LLC	4.100%	6/1/22	3,615		3,772
Oncor Electric Delivery Co. LLC	2.750%	6/1/24	5,000		5,080
Oncor Electric Delivery Co. LLC	2.950%	4/1/25	2,975		3,071
Oncor Electric Delivery Co. LLC	3.700%	11/15/28	1,000		1,091
Oncor Electric Delivery Co. LLC	5.750%	3/15/29	2,560		3,195
Oncor Electric Delivery Co. LLC	7.000%	5/1/32	4,420		6,277
Oncor Electric Delivery Co. LLC	7.250%	1/15/33	150		218
Oncor Electric Delivery Co. LLC	7.500%	9/1/38	2,780		4,356
Oncor Electric Delivery Co. LLC	5.250%	9/30/40	3,500		4,465
Oncor Electric Delivery Co. LLC	4.550%	12/1/41	7,725		9,104
Oncor Electric Delivery Co. LLC	5.300%	6/1/42	3,825		4,959
Oncor Electric Delivery Co. LLC	3.750%	4/1/45	4,893		5,320
Oncor Electric Delivery Co. LLC	3.800%	9/30/47	2,650		2,916
Oncor Electric Delivery Co. LLC	4.100%	11/15/48	4,185		4,852
Oncor Electric Delivery Co. LLC	3.800%	6/1/49	7,545		8,253
Oncor Electric Delivery Co. LLC	3.100%	9/15/49	5,000		4,947
PacifiCorp	2.950%	2/1/22	5,875		5,986
PacifiCorp	2.950%	6/1/23	4,807		4,925
PacifiCorp	3.600%	4/1/24	4,910		5,172
PacifiCorp	3.500%	6/15/29	6,500		7,000
PacifiCorp	7.700%	11/15/31	985		1,448
PacifiCorp	5.250%	6/15/35	2,875		3,542
PacifiCorp	6.100%	8/1/36	2,800		3,761
PacifiCorp	5.750%	4/1/37	5,100		6,662
PacifiCorp	6.250%	10/15/37	3,485		4,880
PacifiCorp	6.350%	7/15/38	2,650		3,719
PacifiCorp	6.000%	1/15/39	360		490
PacifiCorp	4.100%	2/1/42	10,445		11,579
PacifiCorp	4.125%	1/15/49	21,136		24,081
PacifiCorp	4.150%	2/15/50	22,750		26,095
PECO Energy Co.	2.375%	9/15/22	6,354		6,425
PECO Energy Co.	5.950%	10/1/36	3,900		5,264
PECO Energy Co.	4.150%	10/1/44	2,040		2,291
PECO Energy Co.	3.900%	3/1/48	4,050		4,486
PECO Energy Co.	3.000%	9/15/49	5,040		4,796
Pinnacle West Capital Corp.	2.250%	11/30/20	3,200		3,208
PNM Resources Inc.	3.250%	3/9/21	2,290		2,317
Potomac Electric Power Co.	3.600%	3/15/24	6,983		7,347
Potomac Electric Power Co.	6.500%	11/15/37	4,118		5,817
Potomac Electric Power Co.	4.150%	3/15/43	4,200		4,711
PPL Capital Funding Inc.	4.200%	6/15/22	6,646		6,928
PPL Capital Funding Inc.	3.500%	12/1/22	415		428
PPL Capital Funding Inc.	3.400%	6/1/23	11,120		11,424
PPL Capital Funding Inc.	3.950%	3/15/24	275		289
PPL Capital Funding Inc.	3.100%	5/15/26	6,500		6,616
PPL Capital Funding Inc.	4.700%	6/1/43	10,630		11,775
PPL Capital Funding Inc.	5.000%	3/15/44	5,749		6,596
PPL Capital Funding Inc.	4.000%	9/15/47	4,725		4,806
PPL Electric Utilities Corp.	3.000%	9/15/21	3,055		3,107
PPL Electric Utilities Corp.	6.250%	5/15/39	2,275		3,176

147

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
PPL Electric Utilities Corp.	4.125%	6/15/44	1,825		2,040
PPL Electric Utilities Corp.	4.150%	10/1/45	3,530		3,969
PPL Electric Utilities Corp.	3.950%	6/1/47	4,450		4,877
PPL Electric Utilities Corp.	4.150%	6/15/48	2,795		3,194
Progress Energy Inc.	4.400%	1/15/21	7,617		7,746
Progress Energy Inc.	3.150%	4/1/22	12,800		13,056
Progress Energy Inc.	7.750%	3/1/31	250		349
Progress Energy Inc.	7.000%	10/30/31	3,650		4,921
Progress Energy Inc.	6.000%	12/1/39	6,382		8,279
PSEG Power LLC	3.000%	6/15/21	1,675		1,695
PSEG Power LLC	3.850%	6/1/23	11,050		11,572
PSEG Power LLC	8.625%	4/15/31	3,295		4,587
Public Service Co. of Colorado	3.200%	11/15/20	6,175		6,203
Public Service Co. of Colorado	3.700%	6/15/28	4,245		4,607
Public Service Co. of Colorado	6.500%	8/1/38	75		108
Public Service Co. of Colorado	3.600%	9/15/42	1,116		1,172
Public Service Co. of Colorado	4.300%	3/15/44	5,475		6,374
Public Service Co. of Colorado	4.100%	6/15/48	3,695		4,202
Public Service Co. of Colorado	4.050%	9/15/49	4,000		4,558
Public Service Co. of Colorado	3.200%	3/1/50	3,800		3,753
Public Service Co. of New Hampshire	3.500%	11/1/23	875		917
Public Service Co. of New Hampshire	3.600%	7/1/49	2,900		3,063
Public Service Electric & Gas Co.	1.900%	3/15/21	6,575		6,588
Public Service Electric & Gas Co.	2.375%	5/15/23	3,175		3,210
Public Service Electric & Gas Co.	3.000%	5/15/25	1,170		1,213
Public Service Electric & Gas Co.	2.250%	9/15/26	3,055		3,014
Public Service Electric & Gas Co.	3.000%	5/15/27	3,000		3,097
Public Service Electric & Gas Co.	3.200%	5/15/29	7,230		7,630
Public Service Electric & Gas Co.	5.800%	5/1/37	875		1,157
Public Service Electric & Gas Co.	3.950%	5/1/42	4,295		4,742
Public Service Electric & Gas Co.	3.650%	9/1/42	650		687
Public Service Electric & Gas Co.	3.800%	3/1/46	9,100		9,911
Public Service Electric & Gas Co.	3.600%	12/1/47	2,175		2,331
Public Service Electric & Gas Co.	3.850%	5/1/49	6,000		6,672
Public Service Enterprise Group Inc.	2.650%	11/15/22	4,775		4,848
Public Service Enterprise Group Inc.	2.875%	6/15/24	3,000		3,056
Puget Energy Inc.	6.500%	12/15/20	5,369		5,589
Puget Energy Inc.	6.000%	9/1/21	3,825		4,054
Puget Energy Inc.	5.625%	7/15/22	9,501		10,189
Puget Energy Inc.	3.650%	5/15/25	6,730		6,977
Puget Sound Energy Inc.	6.274%	3/15/37	3,840		5,184
Puget Sound Energy Inc.	5.757%	10/1/39	5,540		7,341
Puget Sound Energy Inc.	5.795%	3/15/40	1,510		2,014
Puget Sound Energy Inc.	5.638%	4/15/41	925		1,197
Puget Sound Energy Inc.	4.300%	5/20/45	7,605		8,771
Puget Sound Energy Inc.	4.223%	6/15/48	5,225		5,927
Puget Sound Energy Inc.	3.250%	9/15/49	2,720		2,712
San Diego Gas & Electric Co.	3.000%	8/15/21	1,335		1,353
San Diego Gas & Electric Co.	6.000%	6/1/39	2,461		3,153
San Diego Gas & Electric Co.	4.500%	8/15/40	3,970		4,395
San Diego Gas & Electric Co.	3.750%	6/1/47	10,000		10,205
San Diego Gas & Electric Co.	4.150%	5/15/48	5,150		5,637
Sierra Pacific Power Co.	2.600%	5/1/26	3,175		3,192
Southern California Edison Co.	2.900%	3/1/21	10,000		10,105

148

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Southern California Edison Co.	3.875%	6/1/21	3,814		3,894
4	Southern California Edison Co.	1.845%	2/1/22	1,250		1,234
	Southern California Edison Co.	2.400%	2/1/22	2,650		2,663
	Southern California Edison Co.	3.400%	6/1/23	6,250		6,444
	Southern California Edison Co.	3.500%	10/1/23	10,600		11,025
	Southern California Edison Co.	3.700%	8/1/25	2,075		2,193
	Southern California Edison Co.	3.650%	3/1/28	3,875		4,152
	Southern California Edison Co.	4.200%	3/1/29	8,000		8,833
	Southern California Edison Co.	6.650%	4/1/29	850		1,020
	Southern California Edison Co.	2.850%	8/1/29	3,505		3,496
	Southern California Edison Co.	6.000%	1/15/34	3,655		4,534
	Southern California Edison Co.	5.750%	4/1/35	800		972
	Southern California Edison Co.	5.350%	7/15/35	4,585		5,437
	Southern California Edison Co.	5.550%	1/15/36	500		597
	Southern California Edison Co.	5.625%	2/1/36	2,445		2,965
	Southern California Edison Co.	5.950%	2/1/38	2,800		3,561
	Southern California Edison Co.	6.050%	3/15/39	1,460		1,903
	Southern California Edison Co.	5.500%	3/15/40	5,472		6,651
	Southern California Edison Co.	4.500%	9/1/40	6,882		7,523
	Southern California Edison Co.	4.050%	3/15/42	15,939		16,438
	Southern California Edison Co.	3.900%	3/15/43	2,975		3,026
	Southern California Edison Co.	4.650%	10/1/43	5,575		6,251
	Southern California Edison Co.	3.600%	2/1/45	1,400		1,364
	Southern California Edison Co.	4.000%	4/1/47	13,581		14,187
	Southern California Edison Co.	4.125%	3/1/48	13,570		14,355
	Southern California Edison Co.	4.875%	3/1/49	6,400		7,540
	Southern Co.	2.350%	7/1/21	11,100		11,138
	Southern Co.	2.950%	7/1/23	3,200		3,258
	Southern Co.	3.250%	7/1/26	13,355		13,838
	Southern Co.	4.250%	7/1/36	4,245		4,567
	Southern Co.	4.400%	7/1/46	17,255		19,067
4	Southern Co.	5.500%	3/15/57	1,400		1,463
	Southern Power Co.	2.500%	12/15/21	5,125		5,164
	Southern Power Co.	4.150%	12/1/25	4,525		4,903
	Southern Power Co.	5.150%	9/15/41	6,290		7,148
	Southern Power Co.	5.250%	7/15/43	5,835		6,614
	Southern Power Co.	4.950%	12/15/46	3,425		3,769
	Southwestern Electric Power Co.	2.750%	10/1/26	4,800		4,771
	Southwestern Electric Power Co.	4.100%	9/15/28	10,650		11,596
	Southwestern Electric Power Co.	6.200%	3/15/40	3,025		3,992
	Southwestern Electric Power Co.	3.900%	4/1/45	3,491		3,604
	Southwestern Electric Power Co.	3.850%	2/1/48	7,024		7,221
	Southwestern Public Service Co.	3.300%	6/15/24	200		208
	Southwestern Public Service Co.	4.500%	8/15/41	4,164		4,857
	Southwestern Public Service Co.	3.400%	8/15/46	14,300		14,253
	Southwestern Public Service Co.	3.700%	8/15/47	10,075		10,541
	Southwestern Public Service Co.	4.400%	11/15/48	610		712
	Southwestern Public Service Co.	3.750%	6/15/49	5,000		5,325
	Tampa Electric Co.	4.100%	6/15/42	1,950		2,122
	Tampa Electric Co.	4.350%	5/15/44	4,500		5,092
	Tampa Electric Co.	4.300%	6/15/48	4,065		4,708
	Tampa Electric Co.	4.450%	6/15/49	5,500		6,514
	Tampa Electric Co.	3.625%	6/15/50	2,000		2,117
	Toledo Edison Co.	6.150%	5/15/37	2,769		3,740

149

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Tucson Electric Power Co.	3.050%	3/15/25	2,000		2,062
Union Electric Co.	3.500%	4/15/24	4,990		5,242
Union Electric Co.	2.950%	6/15/27	15,375		15,738
Union Electric Co.	3.500%	3/15/29	3,650		3,908
Union Electric Co.	5.300%	8/1/37	3,244		4,035
Union Electric Co.	8.450%	3/15/39	2,300		3,749
Union Electric Co.	3.900%	9/15/42	175		189
Union Electric Co.	3.650%	4/15/45	1,825		1,911
Union Electric Co.	4.000%	4/1/48	3,500		3,920
Union Electric Co.	3.250%	10/1/49	2,840		2,826
Virginia Electric & Power Co.	2.950%	1/15/22	2,025		2,058
Virginia Electric & Power Co.	3.450%	9/1/22	14,234		14,715
Virginia Electric & Power Co.	2.750%	3/15/23	6,075		6,172
Virginia Electric & Power Co.	3.450%	2/15/24	5,390		5,625
Virginia Electric & Power Co.	3.100%	5/15/25	3,450		3,578
Virginia Electric & Power Co.	3.150%	1/15/26	8,145		8,501
Virginia Electric & Power Co.	2.950%	11/15/26	3,532		3,625
Virginia Electric & Power Co.	3.500%	3/15/27	6,550		6,951
Virginia Electric & Power Co.	3.800%	4/1/28	13,000		14,048
Virginia Electric & Power Co.	2.875%	7/15/29	1,225		1,248
Virginia Electric & Power Co.	6.000%	1/15/36	2,940		3,841
Virginia Electric & Power Co.	6.000%	5/15/37	4,835		6,406
Virginia Electric & Power Co.	6.350%	11/30/37	3,150		4,358
Virginia Electric & Power Co.	8.875%	11/15/38	570		960
Virginia Electric & Power Co.	4.000%	1/15/43	14,075		15,302
Virginia Electric & Power Co.	4.650%	8/15/43	4,855		5,827
Virginia Electric & Power Co.	4.450%	2/15/44	5,925		6,864
Virginia Electric & Power Co.	4.200%	5/15/45	3,550		4,044
Virginia Electric & Power Co.	4.000%	11/15/46	7,500		8,235
Virginia Electric & Power Co.	3.800%	9/15/47	6,604		7,140
Virginia Electric & Power Co.	4.600%	12/1/48	7,875		9,557
Virginia Electric & Power Co.	3.300%	12/1/49	9,630		9,703
WEC Energy Group Inc.	3.375%	6/15/21	4,250		4,328
WEC Energy Group Inc.	3.550%	6/15/25	2,900		3,065
Westar Energy Inc.	2.550%	7/1/26	6,250		6,265
Westar Energy Inc.	3.100%	4/1/27	4,500		4,647
Westar Energy Inc.	4.125%	3/1/42	5,160		5,749
Westar Energy Inc.	4.100%	4/1/43	3,455		3,845
Westar Energy Inc.	4.250%	12/1/45	3,010		3,426
Westar Energy Inc.	3.250%	9/1/49	2,700		2,637
Wisconsin Electric Power Co.	2.050%	12/15/24	2,000		1,998
Wisconsin Electric Power Co.	5.625%	5/15/33	150		192
Wisconsin Electric Power Co.	5.700%	12/1/36	100		130
Wisconsin Electric Power Co.	4.300%	10/15/48	2,725		3,142
Wisconsin Power & Light Co.	3.050%	10/15/27	2,300		2,376
Wisconsin Power & Light Co.	6.375%	8/15/37	2,150		2,927
Wisconsin Public Service Corp.	3.350%	11/21/21	3,500		3,600
Wisconsin Public Service Corp.	3.671%	12/1/42	2,650		2,768
Wisconsin Public Service Corp.	4.752%	11/1/44	4,375		5,336
Xcel Energy Inc.	2.400%	3/15/21	3,325		3,341
Xcel Energy Inc.	2.600%	3/15/22	4,250		4,298
Xcel Energy Inc.	3.300%	6/1/25	9,900		10,317
Xcel Energy Inc.	3.350%	12/1/26	3,325		3,467
Xcel Energy Inc.	4.000%	6/15/28	7,400		8,076

150

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Xcel Energy Inc.	2.600%	12/1/29	10,005		9,893
Xcel Energy Inc.	6.500%	7/1/36	986		1,344
Xcel Energy Inc.	3.500%	12/1/49	4,440		4,519
Natural Gas (0.2%)
Atmos Energy Corp.	3.000%	6/15/27	5,800		5,988
Atmos Energy Corp.	2.625%	9/15/29	1,500		1,506
Atmos Energy Corp.	5.500%	6/15/41	4,110		5,285
Atmos Energy Corp.	4.150%	1/15/43	3,435		3,845
Atmos Energy Corp.	4.125%	10/15/44	5,675		6,363
Atmos Energy Corp.	4.125%	3/15/49	7,938		9,121
Atmos Energy Corp.	3.375%	9/15/49	3,440		3,472
CenterPoint Energy Resources Corp.	4.500%	1/15/21	5,061		5,151
CenterPoint Energy Resources Corp.	3.550%	4/1/23	2,500		2,584
CenterPoint Energy Resources Corp.	4.000%	4/1/28	7,040		7,551
CenterPoint Energy Resources Corp.	5.850%	1/15/41	2,775		3,501
CenterPoint Energy Resources Corp.	4.100%	9/1/47	2,525		2,641
KeySpan Corp.	5.803%	4/1/35	2,817		3,407
NiSource Finance Corp.	3.490%	5/15/27	7,350		7,712
NiSource Finance Corp.	5.950%	6/15/41	10,447		13,346
NiSource Finance Corp.	5.250%	2/15/43	3,120		3,777
NiSource Finance Corp.	4.800%	2/15/44	3,300		3,784
NiSource Finance Corp.	5.650%	2/1/45	767		980
NiSource Finance Corp.	4.375%	5/15/47	7,375		8,227
NiSource Inc.	2.650%	11/17/22	4,775		4,834
NiSource Inc.	3.650%	6/15/23	3,455		3,602
NiSource Inc.	2.950%	9/1/29	2,020		2,009
ONE Gas Inc.	4.658%	2/1/44	4,525		5,395
ONE Gas Inc.	4.500%	11/1/48	6,925		8,248
Piedmont Natural Gas Co. Inc.	3.500%	6/1/29	5,075		5,403
Piedmont Natural Gas Co. Inc.	4.650%	8/1/43	1,225		1,382
Piedmont Natural Gas Co. Inc.	3.640%	11/1/46	4,595		4,541
Sempra Energy	2.850%	11/15/20	4,165		4,190
Sempra Energy	2.900%	2/1/23	2,625		2,663
Sempra Energy	4.050%	12/1/23	11,835		12,526
Sempra Energy	3.750%	11/15/25	12,905		13,602
Sempra Energy	3.250%	6/15/27	7,595		7,777
Sempra Energy	3.400%	2/1/28	8,700		8,981
Sempra Energy	3.800%	2/1/38	10,875		11,321
Sempra Energy	6.000%	10/15/39	8,000		10,389
Sempra Energy	4.000%	2/1/48	8,730		9,065
Southern California Gas Co.	3.150%	9/15/24	4,200		4,369
Southern California Gas Co.	3.200%	6/15/25	560		579
Southern California Gas Co.	2.600%	6/15/26	11,376		11,364
Southern California Gas Co.	3.750%	9/15/42	2,975		3,105
Southern California Gas Co.	4.125%	6/1/48	5,000		5,522
Southern California Gas Co.	4.300%	1/15/49	4,500		5,092
Southern California Gas Co.	3.950%	2/15/50	3,100		3,471
Southern Co. Gas Capital Corp.	3.500%	9/15/21	630		643
Southern Co. Gas Capital Corp.	3.250%	6/15/26	2,775		2,850
Southern Co. Gas Capital Corp.	5.875%	3/15/41	6,325		7,968
Southern Co. Gas Capital Corp.	4.400%	6/1/43	1,000		1,085
Southern Co. Gas Capital Corp.	3.950%	10/1/46	4,425		4,522
Southern Co. Gas Capital Corp.	4.400%	5/30/47	18,045		19,719

151

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Southwest Gas Corp.	3.700%	4/1/28	2,500		2,647
	Southwest Gas Corp.	3.800%	9/29/46	2,600		2,662
	Southwest Gas Corp.	4.150%	6/1/49	2,300		2,516
	Washington Gas Light Co.	3.796%	9/15/46	3,550		3,694
	Washington Gas Light Co.	3.650%	9/15/49	1,285		1,292
	Other Utility (0.0%)
	American Water Capital Corp.	3.850%	3/1/24	5,075		5,358
	American Water Capital Corp.	3.400%	3/1/25	4,500		4,711
	American Water Capital Corp.	2.950%	9/1/27	11,000		11,209
	American Water Capital Corp.	3.450%	6/1/29	4,120		4,339
	American Water Capital Corp.	6.593%	10/15/37	6,650		9,439
	American Water Capital Corp.	4.300%	9/1/45	1,025		1,164
	American Water Capital Corp.	4.000%	12/1/46	600		649
	American Water Capital Corp.	3.750%	9/1/47	9,825		10,331
	American Water Capital Corp.	4.200%	9/1/48	8,000		9,018
	American Water Capital Corp.	4.150%	6/1/49	4,800		5,376
	Aqua America Inc.	3.566%	5/1/29	3,000		3,161
	Aqua America Inc.	4.276%	5/1/49	4,000		4,437
	United Utilities plc	6.875%	8/15/28	75		91
	Veolia Environnement SA	6.750%	6/1/38	1,643		2,265
						3,813,638
Total Corporate Bonds (Cost $48,392,654)						51,681,809
Sovereign Bonds (3.9%)
	African Development Bank	2.625%	3/22/21	7,375		7,453
	African Development Bank	1.250%	7/26/21	10,750		10,679
	African Development Bank	2.375%	9/23/21	13,500		13,657
	African Development Bank	1.625%	9/16/22	14,500		14,476
	African Development Bank	2.125%	11/16/22	31,950		32,330
	African Development Bank	3.000%	9/20/23	12,900		13,492
	Asian Development Bank	2.250%	1/20/21	22,400		22,518
	Asian Development Bank	1.625%	3/16/21	8,300		8,290
	Asian Development Bank	1.750%	6/8/21	25,000		25,018
	Asian Development Bank	2.000%	2/16/22	61,525		61,972
	Asian Development Bank	1.875%	2/18/22	17,415		17,500
	Asian Development Bank	1.875%	7/19/22	43,920		44,112
	Asian Development Bank	1.875%	8/10/22	6,000		6,019
	Asian Development Bank	1.750%	9/13/22	26,015		26,057
	Asian Development Bank	2.750%	3/17/23	50,000		51,617
	Asian Development Bank	2.625%	1/30/24	16,550		17,114
	Asian Development Bank	1.500%	10/18/24	35,500		35,086
	Asian Development Bank	2.000%	1/22/25	10,750		10,867
	Asian Development Bank	2.000%	4/24/26	1,700		1,709
	Asian Development Bank	2.625%	1/12/27	7,250		7,577
	Asian Development Bank	2.375%	8/10/27	5,265		5,420
	Asian Development Bank	6.220%	8/15/27	2,175		2,760
	Asian Development Bank	2.500%	11/2/27	46,115		47,961
	Asian Development Bank	2.750%	1/19/28	450		477
	Asian Development Bank	3.125%	9/26/28	15,188		16,577
	Asian Development Bank	1.750%	9/19/29	6,040		5,902
	Asian Infrastructure Investment Bank	2.250%	5/16/24	12,785		13,029
	Canada	2.625%	1/25/22	11,000		11,210
	Canada	2.000%	11/15/22	25,890		26,136

152

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	CNOOC Finance 2013 Ltd.	3.000%	5/9/23	15,380		15,672
	CNOOC Finance 2013 Ltd.	2.875%	9/30/29	8,600		8,589
	CNOOC Finance 2013 Ltd.	4.250%	5/9/43	500		554
	CNOOC Finance 2013 Ltd.	3.300%	9/30/49	8,500		8,038
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25	22,100		23,103
	CNOOC Finance 2015 USA LLC	4.375%	5/2/28	30,000		33,218
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24	19,075		20,373
	CNOOC Nexen Finance 2014 ULC	4.875%	4/30/44	8,865		10,835
	Corp. Andina de Fomento	3.250%	2/11/22	2,000		2,036
	Corp. Andina de Fomento	3.750%	11/23/23	9,500		9,937
	Corp. Andina de Fomento	4.375%	6/15/22	23,269		24,362
	Corp. Andina de Fomento	2.750%	1/6/23	11,350		11,449
	Council Of Europe Development Bank	1.625%	3/16/21	4,600		4,591
	Council Of Europe Development Bank	1.750%	9/26/22	8,300		8,311
	Council Of Europe Development Bank	2.625%	2/13/23	18,475		18,986
	Council Of Europe Development Bank	2.500%	2/27/24	1,825		1,877
	Ecopetrol SA	5.875%	9/18/23	15,725		17,455
	Ecopetrol SA	4.125%	1/16/25	16,775		17,635
	Ecopetrol SA	5.375%	6/26/26	15,000		16,819
	Ecopetrol SA	7.375%	9/18/43	5,200		7,020
	Ecopetrol SA	5.875%	5/28/45	17,775		20,886
	Equinor ASA	2.750%	11/10/21	10,400		10,571
	Equinor ASA	3.150%	1/23/22	4,475		4,589
	Equinor ASA	2.450%	1/17/23	17,667		17,935
	Equinor ASA	2.650%	1/15/24	18,747		19,177
	Equinor ASA	3.700%	3/1/24	9,856		10,497
	Equinor ASA	3.250%	11/10/24	10,194		10,733
	Equinor ASA	7.250%	9/23/27	4,350		5,765
	Equinor ASA	3.625%	9/10/28	9,652		10,641
7	Equinor ASA	6.500%	12/1/28	225		294
	Equinor ASA	5.100%	8/17/40	11,100		14,145
	Equinor ASA	4.250%	11/23/41	3,100		3,587
	Equinor ASA	3.950%	5/15/43	2,550		2,842
	Equinor ASA	4.800%	11/8/43	12,295		15,493
	Equinor ASA	3.250%	11/18/49	5,000		5,020
	European Bank for Reconstruction & Development	2.000%	2/1/21	35,000		35,086
	European Bank for Reconstruction & Development	1.875%	7/15/21	5,200		5,212
	European Bank for Reconstruction & Development	1.500%	11/2/21	11,000		10,967
	European Bank for Reconstruction & Development	1.875%	2/23/22	14,300		14,361
	European Bank for Reconstruction & Development	2.750%	3/7/23	24,750		25,551
	European Bank for Reconstruction & Development	1.625%	9/27/24	2,000		1,985
	European Investment Bank	4.000%	2/16/21	29,060		29,775
	European Investment Bank	2.000%	3/15/21	52,850		53,019
	European Investment Bank	2.500%	4/15/21	28,700		28,976
	European Investment Bank	2.375%	5/13/21	21,500		21,683
	European Investment Bank	1.625%	6/15/21	13,000		12,979
	European Investment Bank	1.375%	9/15/21	2,000		1,991
	European Investment Bank	2.125%	10/15/21	26,125		26,333

153

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
European Investment Bank	2.875%	12/15/21	31,890		32,618
European Investment Bank	2.250%	3/15/22	71,575		72,484
European Investment Bank	2.625%	5/20/22	22,000		22,494
European Investment Bank	2.375%	6/15/22	44,995		45,732
European Investment Bank	2.250%	8/15/22	14,470		14,677
European Investment Bank	1.375%	9/6/22	33,000		32,739
European Investment Bank	2.000%	12/15/22	867		875
European Investment Bank	2.500%	3/15/23	63,300		64,893
European Investment Bank	2.875%	8/15/23	32,200		33,534
European Investment Bank	3.125%	12/14/23	12,000		12,641
European Investment Bank	3.250%	1/29/24	59,480		62,985
European Investment Bank	2.625%	3/15/24	52,370		54,229
European Investment Bank	2.250%	6/24/24	28,195		28,806
European Investment Bank	2.500%	10/15/24	9,922		10,260
European Investment Bank	1.875%	2/10/25	15,100		15,188
European Investment Bank	2.125%	4/13/26	26,000		26,381
European Investment Bank	2.375%	5/24/27	8,000		8,257
European Investment Bank	1.625%	10/9/29	3,060		2,961
European Investment Bank	4.875%	2/15/36	14,460		19,406
Export Development Canada	1.500%	5/26/21	17,900		17,831
Export Development Canada	1.375%	10/21/21	18,040		17,924
Export Development Canada	1.750%	7/18/22	10,525		10,564
Export Development Canada	2.500%	1/24/23	5,250		5,372
Export Development Canada	2.750%	3/15/23	8,850		9,135
Export Development Canada	2.625%	2/21/24	5,000		5,159
Export-Import Bank of Korea	4.000%	1/29/21	3,400		3,466
Export-Import Bank of Korea	2.500%	5/10/21	6,000		6,031
Export-Import Bank of Korea	4.375%	9/15/21	4,000		4,157
Export-Import Bank of Korea	1.875%	10/21/21	13,450		13,415
Export-Import Bank of Korea	3.500%	11/27/21	5,000		5,136
Export-Import Bank of Korea	2.750%	1/25/22	14,500		14,724
Export-Import Bank of Korea	5.000%	4/11/22	3,300		3,516
Export-Import Bank of Korea	3.000%	11/1/22	8,000		8,207
Export-Import Bank of Korea	3.625%	11/27/23	10,000		10,528
Export-Import Bank of Korea	4.000%	1/14/24	17,850		19,080
Export-Import Bank of Korea	2.875%	1/21/25	3,000		3,085
Export-Import Bank of Korea	3.250%	11/10/25	6,200		6,512
Export-Import Bank of Korea	2.625%	5/26/26	6,000		6,045
Export-Import Bank of Korea	3.250%	8/12/26	425		444
FMS Wertmanagement AoeR	2.000%	8/1/22	46,500		46,852
Hydro-Quebec	8.400%	1/15/22	4,215		4,734
Hydro-Quebec	8.050%	7/7/24	7,240		9,019
Hydro-Quebec	8.500%	12/1/29	3,940		5,982
Industrial & Commercial Bank of China Ltd.	2.635%	5/26/21	5,200		5,217
Industrial & Commercial Bank of China Ltd.	2.957%	11/8/22	6,250		6,341
Industrial & Commercial Bank of China Ltd.	3.538%	11/8/27	10,212		10,549
Inter-American Development Bank	1.875%	3/15/21	3,400		3,405
Inter-American Development Bank	2.625%	4/19/21	24,089		24,354
Inter-American Development Bank	1.875%	7/23/21	5,000		5,016
Inter-American Development Bank	2.125%	1/18/22	51,750		52,221
Inter-American Development Bank	1.750%	4/14/22	25,600		25,646
Inter-American Development Bank	1.750%	9/14/22	30,850		30,908
Inter-American Development Bank	3.000%	9/26/22	24,000		24,778
Inter-American Development Bank	2.500%	1/18/23	57,275		58,647

154

Total Bond Market II Index Fund

			Face		Market
		Maturity	Amount		Value·
	Coupon	Date	($000	)	($000	)
Inter-American Development Bank	3.000%	10/4/23	34,050		35,679
Inter-American Development Bank	2.625%	1/16/24	10,000		10,334
Inter-American Development Bank	3.000%	2/21/24	13,000		13,616
Inter-American Development Bank	2.125%	1/15/25	21,000		21,323
Inter-American Development Bank	7.000%	6/15/25	4,575		5,704
Inter-American Development Bank	2.000%	6/2/26	27,625		27,781
Inter-American Development Bank	2.000%	7/23/26	5,600		5,632
Inter-American Development Bank	2.375%	7/7/27	28,500		29,411
Inter-American Development Bank	3.125%	9/18/28	25,000		27,281
Inter-American Development Bank	2.250%	6/18/29	5,300		5,405
Inter-American Development Bank	3.875%	10/28/41	350		429
Inter-American Development Bank	3.200%	8/7/42	3,375		3,769
Inter-American Development Bank	4.375%	1/24/44	4,600		6,084
International Bank for Reconstruction & Development	1.625%	3/9/21	27,125		27,092
International Bank for Reconstruction & Development	1.375%	5/24/21	35,300		35,129
International Bank for Reconstruction & Development	2.250%	6/24/21	10,250		10,327
International Bank for Reconstruction & Development	2.750%	7/23/21	49,669		50,490
International Bank for Reconstruction & Development	1.375%	9/20/21	34,810		34,644
International Bank for Reconstruction & Development	2.125%	12/13/21	15,270		15,391
International Bank for Reconstruction & Development	2.000%	1/26/22	79,250		79,779
International Bank for Reconstruction & Development	1.625%	2/10/22	60,885		60,843
International Bank for Reconstruction & Development	2.125%	7/1/22	35,225		35,608
International Bank for Reconstruction & Development	7.625%	1/19/23	19,955		23,430
International Bank for Reconstruction & Development	1.750%	4/19/23	6,020		6,026
International Bank for Reconstruction & Development	1.875%	6/19/23	64,975		65,293
International Bank for Reconstruction & Development	3.000%	9/27/23	41,368		43,292
International Bank for Reconstruction & Development	2.500%	3/19/24	34,720		35,780
International Bank for Reconstruction & Development	1.500%	8/28/24	40,640		40,180
International Bank for Reconstruction & Development	2.500%	11/25/24	47,197		48,796
International Bank for Reconstruction & Development	2.500%	7/29/25	47,450		49,218
International Bank for Reconstruction & Development	3.125%	11/20/25	19,620		21,048
International Bank for Reconstruction & Development	8.875%	3/1/26	450		617
International Bank for Reconstruction & Development	2.500%	11/22/27	15,000		15,627

155

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	International Bank for Reconstruction & Development	1.750%	10/23/29	12,680		12,377
	International Bank for Reconstruction & Development	4.750%	2/15/35	2,500		3,260
	International Finance Corp.	2.250%	1/25/21	36,995		37,189
	International Finance Corp.	2.000%	10/24/22	9,604		9,686
	International Finance Corp.	2.875%	7/31/23	13,914		14,474
	International Finance Corp.	1.375%	10/16/24	12,260		12,025
	International Finance Corp.	2.125%	4/7/26	15,290		15,525
8	Japan Bank for International Cooperation	1.875%	4/20/21	6,600		6,599
8	Japan Bank for International Cooperation	3.125%	7/20/21	7,225		7,369
8	Japan Bank for International Cooperation	1.500%	7/21/21	18,100		18,015
8	Japan Bank for International Cooperation	2.000%	11/4/21	8,250		8,271
8	Japan Bank for International Cooperation	2.500%	6/1/22	7,502		7,606
8	Japan Bank for International Cooperation	2.375%	7/21/22	9,340		9,446
8	Japan Bank for International Cooperation	1.625%	10/17/22	5,900		5,845
8	Japan Bank for International Cooperation	2.375%	11/16/22	22,180		22,454
8	Japan Bank for International Cooperation	3.250%	7/20/23	7,675		7,970
8	Japan Bank for International Cooperation	3.375%	7/31/23	225		236
8	Japan Bank for International Cooperation	3.375%	10/31/23	18,900		19,882
8	Japan Bank for International Cooperation	2.500%	5/23/24	15,000		15,273
8	Japan Bank for International Cooperation	3.000%	5/29/24	16,250		16,873
8	Japan Bank for International Cooperation	1.750%	10/17/24	7,600		7,481
8	Japan Bank for International Cooperation	2.125%	2/10/25	14,500		14,528
8	Japan Bank for International Cooperation	2.375%	4/20/26	1,600		1,616
8	Japan Bank for International Cooperation	2.250%	11/4/26	18,000		18,050
8	Japan Bank for International Cooperation	2.875%	6/1/27	12,000		12,546
8	Japan Bank for International Cooperation	2.875%	7/21/27	12,700		13,261
8	Japan Bank for International Cooperation	2.750%	11/16/27	35,350		36,744
8	Japan Bank for International Cooperation	3.250%	7/20/28	12,150		13,081
8	Japan Bank for International Cooperation	3.500%	10/31/28	16,150		17,731
8	Japan Bank for International Cooperation	2.000%	10/17/29	7,000		6,823
8	Japan International Cooperation Agency	2.750%	4/27/27	8,400		8,667
8	Japan International Cooperation Agency	3.375%	6/12/28	4,500		4,887
9	KFW	1.625%	3/15/21	1,100		1,099
9	KFW	2.375%	3/24/21	41,000		41,299
9	KFW	2.625%	4/12/21	45,000		45,528
9	KFW	1.500%	6/15/21	50,400		50,314
9	KFW	2.375%	8/25/21	19,590		19,816
9	KFW	1.750%	9/15/21	33,300		33,350
9	KFW	2.000%	11/30/21	14,715		14,809
9	KFW	3.125%	12/15/21	54,665		56,185
9	KFW	2.625%	1/25/22	32,500		33,133
9	KFW	2.500%	2/15/22	58,700		59,661
9	KFW	2.125%	3/7/22	70,000		70,635
9	KFW	2.125%	6/15/22	52,200		52,744
9	KFW	1.750%	8/22/22	10,000		10,018
9	KFW	2.000%	10/4/22	24,875		25,082
9	KFW	2.375%	12/29/22	49,000		50,005
9	KFW	2.125%	1/17/23	23,700		24,047
9	KFW	2.625%	2/28/24	30,000		31,029
9	KFW	1.375%	8/5/24	5,200		5,102
9	KFW	2.500%	11/20/24	49,500		51,125
9	KFW	2.000%	5/2/25	16,640		16,813

156

Total Bond Market II Index Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
9	KFW	2.875%	4/3/28	18,635		19,958
9	KFW	1.750%	9/14/29	7,225		7,072
9	KFW	0.000%	4/18/36	9,385		6,405
9	KFW	0.000%	6/29/37	23,742		15,808
	Korea Development Bank	2.500%	1/13/21	5,000		5,017
	Korea Development Bank	4.625%	11/16/21	9,800		10,239
	Korea Development Bank	2.625%	2/27/22	14,000		14,184
	Korea Development Bank	3.000%	9/14/22	30,650		31,387
	Korea Development Bank	3.375%	3/12/23	24,200		25,103
	Korea Development Bank	2.750%	3/19/23	3,100		3,154
	Korea Development Bank	3.750%	1/22/24	14,400		15,264
	Korea Development Bank	3.250%	2/19/24	1,000		1,040
	Korea Development Bank	2.125%	10/1/24	4,300		4,283
	Korea Development Bank	3.000%	1/13/26	1,500		1,540
9	Landwirtschaftliche Rentenbank	1.750%	9/24/21	8,000		8,012
9	Landwirtschaftliche Rentenbank	2.250%	10/1/21	18,885		19,056
9	Landwirtschaftliche Rentenbank	2.000%	12/6/21	3,345		3,363
9	Landwirtschaftliche Rentenbank	3.125%	11/14/23	5,000		5,265
9	Landwirtschaftliche Rentenbank	2.000%	1/13/25	16,300		16,453
9	Landwirtschaftliche Rentenbank	2.375%	6/10/25	14,575		14,988
9	Landwirtschaftliche Rentenbank	1.750%	7/27/26	9,095		9,012
9	Landwirtschaftliche Rentenbank	2.500%	11/15/27	23,105		24,118
	Nexen Energy ULC	7.875%	3/15/32	4,075		5,876
	Nexen Energy ULC	5.875%	3/10/35	690		877
	Nexen Energy ULC	6.400%	5/15/37	10,400		14,307
	Nexen Energy ULC	7.500%	7/30/39	4,275		6,645
	Nordic Investment Bank	2.250%	2/1/21	16,500		16,577
	Nordic Investment Bank	1.250%	8/2/21	5,000		4,967
	Nordic Investment Bank	2.125%	2/1/22	9,000		9,080
	Nordic Investment Bank	1.375%	10/17/22	6,100		6,046
	Nordic Investment Bank	2.875%	7/19/23	8,750		9,095
	Nordic Investment Bank	2.250%	5/21/24	6,300		6,410
	North American Development Bank	2.400%	10/26/22	3,450		3,464
10	Oesterreichische Kontrollbank AG	1.875%	1/20/21	10,900		10,916
10	Oesterreichische Kontrollbank AG	2.875%	9/7/21	3,957		4,032
10	Oesterreichische Kontrollbank AG	2.375%	10/1/21	6,450		6,517
10	Oesterreichische Kontrollbank AG	2.625%	1/31/22	5,000		5,089
10	Oesterreichische Kontrollbank AG	1.625%	9/17/22	1,000		998
10	Oesterreichische Kontrollbank AG	2.875%	3/13/23	6,000		6,212
10	Oesterreichische Kontrollbank AG	3.125%	11/7/23	5,000		5,251
4	Oriental Republic of Uruguay	8.000%	11/18/22	3,155		3,518
4	Oriental Republic of Uruguay	4.500%	8/14/24	10,193		11,020
4	Oriental Republic of Uruguay	4.375%	10/27/27	9,995		11,032
4	Oriental Republic of Uruguay	4.375%	1/23/31	18,104		20,254
4	Oriental Republic of Uruguay	7.875%	1/15/33	200		297
4	Oriental Republic of Uruguay	7.625%	3/21/36	5,233		7,745
4	Oriental Republic of Uruguay	4.125%	11/20/45	6,579		7,064
4	Oriental Republic of Uruguay	5.100%	6/18/50	26,410		31,758
4	Oriental Republic of Uruguay	4.975%	4/20/55	27,782		32,713
	Petroleos Mexicanos	5.500%	1/21/21	7,410		7,610
	Petroleos Mexicanos	6.375%	2/4/21	1,883		1,917
	Petroleos Mexicanos	4.875%	1/24/22	9,107		9,462
	Petroleos Mexicanos	5.375%	3/13/22	6,466		6,772
	Petroleos Mexicanos	3.500%	1/30/23	4,660		4,707

157

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Petroleos Mexicanos	4.625%	9/21/23	6,582		6,864
	Petroleos Mexicanos	4.875%	1/18/24	5,232		5,486
4	Petroleos Mexicanos	2.290%	2/15/24	675		680
	Petroleos Mexicanos	4.250%	1/15/25	2,210		2,233
	Petroleos Mexicanos	2.378%	4/15/25	1,045		1,055
	Petroleos Mexicanos	4.500%	1/23/26	4,240		4,209
	Petroleos Mexicanos	6.875%	8/4/26	26,433		29,008
7	Petroleos Mexicanos	6.490%	1/23/27	24,631		26,143
	Petroleos Mexicanos	6.500%	3/13/27	50,799		53,754
	Petroleos Mexicanos	5.350%	2/12/28	28,972		28,772
	Petroleos Mexicanos	6.500%	1/23/29	18,575		19,478
7	Petroleos Mexicanos	6.840%	1/23/30	40,272		43,122
	Petroleos Mexicanos	6.625%	6/15/35	22,000		22,358
	Petroleos Mexicanos	6.625%	6/15/38	5,940		5,813
	Petroleos Mexicanos	6.500%	6/2/41	8,915		8,853
	Petroleos Mexicanos	5.500%	6/27/44	4,165		3,719
	Petroleos Mexicanos	6.375%	1/23/45	13,850		13,370
	Petroleos Mexicanos	5.625%	1/23/46	13,486		12,132
	Petroleos Mexicanos	6.750%	9/21/47	60,084		60,124
	Petroleos Mexicanos	6.350%	2/12/48	37,204		35,892
7	Petroleos Mexicanos	7.690%	1/23/50	74,044		80,826
	Province of Alberta	2.200%	7/26/22	20,105		20,273
	Province of Alberta	3.350%	11/1/23	17,910		18,861
	Province of Alberta	2.950%	1/23/24	12,350		12,819
	Province of Alberta	1.875%	11/13/24	15,000		14,952
	Province of Alberta	3.300%	3/15/28	14,000		15,111
	Province of British Columbia	2.650%	9/22/21	13,150		13,345
	Province of British Columbia	2.000%	10/23/22	17,150		17,251
	Province of British Columbia	2.250%	6/2/26	1,150		1,161
	Province of British Columbia	7.250%	9/1/36	2,681		4,200
	Province of Manitoba	2.100%	9/6/22	7,100		7,142
	Province of Manitoba	2.600%	4/16/24	9,700		9,960
	Province of Manitoba	3.050%	5/14/24	4,800		5,008
	Province of Manitoba	2.125%	6/22/26	9,782		9,756
	Province of New Brunswick	2.500%	12/12/22	4,005		4,069
	Province of New Brunswick	3.625%	2/24/28	5,300		5,790
	Province of Nova Scotia	9.125%	5/1/21	1,280		1,393
	Province of Ontario	2.550%	2/12/21	40,000		40,324
	Province of Ontario	2.500%	9/10/21	16,000		16,177
	Province of Ontario	2.400%	2/8/22	16,000		16,195
	Province of Ontario	2.550%	4/25/22	17,100		17,383
	Province of Ontario	2.250%	5/18/22	27,900		28,168
	Province of Ontario	2.450%	6/29/22	1,525		1,547
	Province of Ontario	2.200%	10/3/22	16,725		16,884
	Province of Ontario	3.400%	10/17/23	35,765		37,757
	Province of Ontario	3.050%	1/29/24	20,050		20,893
	Province of Ontario	3.200%	5/16/24	10,000		10,510
	Province of Ontario	2.500%	4/27/26	8,000		8,189
	Province of Ontario	2.300%	6/15/26	20,000		20,245
	Province of Ontario	2.000%	10/2/29	17,000		16,704
	Province of Quebec	2.750%	8/25/21	13,725		13,947
	Province of Quebec	2.375%	1/31/22	8,000		8,087
	Province of Quebec	2.625%	2/13/23	34,919		35,771
	Province of Quebec	7.125%	2/9/24	8,675		10,373

158

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Province of Quebec	2.875%	10/16/24	9,400		9,791
	Province of Quebec	2.500%	4/20/26	500		512
	Province of Quebec	2.750%	4/12/27	43,050		44,753
	Province of Quebec	7.500%	9/15/29	11,407		16,427
	Province of Saskatchewan	8.500%	7/15/22	2,707		3,128
	Republic of Chile	3.250%	9/14/21	5,395		5,496
	Republic of Chile	2.250%	10/30/22	1,000		1,003
	Republic of Chile	3.125%	3/27/25	7,330		7,637
	Republic of Chile	3.125%	1/21/26	8,894		9,307
4	Republic of Chile	3.240%	2/6/28	18,410		19,295
	Republic of Chile	3.625%	10/30/42	1,100		1,184
	Republic of Chile	3.860%	6/21/47	13,000		14,427
4	Republic of Chile	3.500%	1/25/50	8,900		9,222
	Republic of Colombia	4.375%	7/12/21	10,885		11,234
4	Republic of Colombia	2.625%	3/15/23	22,050		22,191
	Republic of Colombia	4.000%	2/26/24	23,633		24,897
	Republic of Colombia	8.125%	5/21/24	1,800		2,209
4	Republic of Colombia	4.500%	1/28/26	22,717		24,706
4	Republic of Colombia	3.875%	4/25/27	13,450		14,206
4	Republic of Colombia	4.500%	3/15/29	16,300		18,031
	Republic of Colombia	10.375%	1/28/33	3,850		6,189
	Republic of Colombia	7.375%	9/18/37	9,600		13,662
	Republic of Colombia	6.125%	1/18/41	21,000		27,020
4	Republic of Colombia	5.625%	2/26/44	23,750		29,290
4	Republic of Colombia	5.000%	6/15/45	46,620		53,815
	Republic of Colombia	5.200%	5/15/49	18,300		21,833
	Republic of Finland	6.950%	2/15/26	1,000		1,221
	Republic of Hungary	6.375%	3/29/21	50,045		52,798
	Republic of Hungary	5.375%	2/21/23	36,900		40,449
	Republic of Hungary	5.750%	11/22/23	175		197
	Republic of Hungary	5.375%	3/25/24	10,000		11,269
	Republic of Hungary	7.625%	3/29/41	12,715		20,823
	Republic of Indonesia	2.950%	1/11/23	2,475		2,516
	Republic of Indonesia	4.450%	2/11/24	2,400		2,586
	Republic of Indonesia	3.500%	1/11/28	19,400		20,215
	Republic of Indonesia	4.100%	4/24/28	7,850		8,528
	Republic of Indonesia	4.750%	2/11/29	11,150		12,767
	Republic of Indonesia	3.400%	9/18/29	3,250		3,375
7	Republic of Indonesia	4.750%	7/18/47	4,400		5,071
	Republic of Indonesia	4.350%	1/11/48	15,745		17,418
	Republic of Indonesia	5.350%	2/11/49	6,300		8,120
	Republic of Indonesia	3.700%	10/30/49	9,125		9,259
	Republic of Italy	6.875%	9/27/23	24,693		28,067
	Republic of Italy	2.375%	10/17/24	24,000		23,478
	Republic of Italy	2.875%	10/17/29	10,100		9,541
	Republic of Italy	5.375%	6/15/33	21,495		24,620
	Republic of Italy	4.000%	10/17/49	21,600		20,485
	Republic of Korea	3.875%	9/11/23	1,200		1,278
	Republic of Korea	5.625%	11/3/25	575		681
	Republic of Korea	2.750%	1/19/27	33,400		34,111
	Republic of Korea	4.125%	6/10/44	5,635		6,850
	Republic of Korea	3.875%	9/20/48	5,693		6,783
4	Republic of Panama	4.000%	9/22/24	14,467		15,462
4	Republic of Panama	3.750%	3/16/25	12,200		12,947

159

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Republic of Panama	7.125%	1/29/26	7,622		9,547
	Republic of Panama	8.875%	9/30/27	4,246		6,056
4	Republic of Panama	3.875%	3/17/28	11,190		12,169
	Republic of Panama	9.375%	4/1/29	8,380		12,769
4	Republic of Panama	3.160%	1/23/30	1,800		1,854
4	Republic of Panama	6.700%	1/26/36	20,973		29,388
4	Republic of Panama	4.500%	5/15/47	11,543		13,736
4	Republic of Panama	4.500%	4/16/50	15,318		18,152
4	Republic of Panama	4.300%	4/29/53	13,850		16,153
4	Republic of Panama	3.870%	7/23/60	3,000		3,225
	Republic of Peru	7.350%	7/21/25	900		1,137
	Republic of Peru	4.125%	8/25/27	2,300		2,572
	Republic of Peru	2.844%	6/20/30	8,050		8,327
	Republic of Peru	8.750%	11/21/33	27,093		44,678
4	Republic of Peru	6.550%	3/14/37	10,180		14,871
	Republic of Peru	5.625%	11/18/50	24,583		35,666
	Republic of Poland	5.125%	4/21/21	14,650		15,253
	Republic of Poland	5.000%	3/23/22	19,385		20,688
	Republic of Poland	3.000%	3/17/23	24,675		25,407
	Republic of Poland	4.000%	1/22/24	17,000		18,296
	Republic of Poland	3.250%	4/6/26	14,350		15,192
	Republic of the Philippines	4.000%	1/15/21	22,275		22,690
	Republic of the Philippines	4.200%	1/21/24	8,200		8,831
	Republic of the Philippines	9.500%	10/21/24	2,170		2,891
	Republic of the Philippines	10.625%	3/16/25	8,525		12,031
	Republic of the Philippines	5.500%	3/30/26	9,350		11,091
	Republic of the Philippines	3.000%	2/1/28	28,000		29,082
	Republic of the Philippines	3.750%	1/14/29	14,000		15,443
	Republic of the Philippines	9.500%	2/2/30	16,750		26,716
	Republic of the Philippines	7.750%	1/14/31	13,300		19,651
	Republic of the Philippines	6.375%	1/15/32	10,004		13,618
	Republic of the Philippines	6.375%	10/23/34	16,540		23,487
	Republic of the Philippines	5.000%	1/13/37	8,950		11,422
	Republic of the Philippines	3.950%	1/20/40	27,399		31,259
	Republic of the Philippines	3.700%	3/1/41	17,608		19,941
	Republic of the Philippines	3.700%	2/2/42	16,288		18,348
7	Sinopec Group Overseas Development 2012 Ltd.	4.875%	5/17/42	450		539
	State of Israel	4.000%	6/30/22	8,200		8,619
	State of Israel	3.150%	6/30/23	2,400		2,496
	State of Israel	2.875%	3/16/26	30,400		31,691
	State of Israel	3.250%	1/17/28	11,800		12,649
	State of Israel	4.500%	1/30/43	8,980		10,694
	State of Israel	4.125%	1/17/48	10,825		12,351
	Svensk Exportkredit AB	1.750%	3/10/21	15,500		15,498
	Svensk Exportkredit AB	2.375%	4/9/21	3,700		3,729
	Svensk Exportkredit AB	2.875%	5/22/21	2,200		2,234
	Svensk Exportkredit AB	1.625%	9/12/21	20,900		20,871
	Svensk Exportkredit AB	3.125%	11/8/21	3,950		4,050
	Svensk Exportkredit AB	2.000%	8/30/22	18,520		18,643
	Svensk Exportkredit AB	1.625%	11/14/22	8,800		8,780
	Svensk Exportkredit AB	2.875%	3/14/23	8,395		8,696
	Syngenta Finance NV	3.125%	3/28/22	9,895		9,972
	United Mexican States	3.625%	3/15/22	42,212		43,480

160

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	United Mexican States	8.000%	9/24/22	360		419
	United Mexican States	4.000%	10/2/23	15,073		15,879
	United Mexican States	3.600%	1/30/25	23,936		25,009
	United Mexican States	4.125%	1/21/26	25,790		27,453
	United Mexican States	4.150%	3/28/27	34,155		36,501
	United Mexican States	3.750%	1/11/28	29,400		30,473
	United Mexican States	4.500%	4/22/29	23,100		25,314
	United Mexican States	8.300%	8/15/31	4,390		6,496
	United Mexican States	7.500%	4/8/33	4,100		5,780
	United Mexican States	6.750%	9/27/34	6,810		9,299
	United Mexican States	6.050%	1/11/40	26,002		33,688
	United Mexican States	4.750%	3/8/44	55,133		60,699
	United Mexican States	5.550%	1/21/45	12,525		15,347
	United Mexican States	4.600%	1/23/46	22,691		24,461
	United Mexican States	4.350%	1/15/47	22,860		23,933
	United Mexican States	4.600%	2/10/48	18,596		20,179
4	United Mexican States	4.500%	1/31/50	14,200		15,358
	United Mexican States	5.750%	10/12/10	31,437		36,977
Total Sovereign Bonds (Cost $7,453,418)						7,787,129
Taxable Municipal Bonds (0.6%)
	Alabama Economic Settlement Authority BP Settlement Revenue	3.163%	9/15/25	2,195		2,246
	Alameda County CA Joint Powers Authority Lease Revenue	7.046%	12/1/44	2,105		3,310
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.834%	2/15/41	3,625		5,673
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.053%	2/15/43	400		555
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	5.939%	2/15/47	6,245		8,616
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.270%	2/15/50	1,230		1,643
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.499%	2/15/50	750		1,158
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	8.084%	2/15/50	2,850		4,879
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.918%	4/1/40	1,785		2,614
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49	13,008		19,869
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	7.043%	4/1/50	2,525		4,099
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.907%	10/1/50	6,940		11,200
	California Department of Water Resources Power Supply Revenue	2.000%	5/1/22	8,975		9,024
	California GO	2.800%	4/1/21	8,000		8,104
	California GO	5.700%	11/1/21	14,805		15,847
	California GO	2.367%	4/1/22	9,245		9,374
	California GO	3.375%	4/1/25	4,225		4,487
	California GO	2.650%	4/1/26	5,000		5,115
	California GO	3.500%	4/1/28	5,500		5,922
	California GO	4.500%	4/1/33	8,800		9,899

161

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	California GO	7.500%	4/1/34	14,855		22,369
	California GO	4.600%	4/1/38	11,425		12,659
	California GO	7.550%	4/1/39	17,345		27,822
	California GO	7.300%	10/1/39	11,735		17,920
	California GO	7.350%	11/1/39	11,190		17,189
	California GO	7.625%	3/1/40	14,230		22,785
	California GO	7.600%	11/1/40	20,015		33,039
	California State University Systemwide Revenue	3.899%	11/1/47	2,325		2,544
	Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue	5.491%	11/1/39	660		868
	Chicago IL GO	7.045%	1/1/29	4,950		5,433
	Chicago IL GO	7.375%	1/1/33	2,050		2,456
	Chicago IL GO	5.432%	1/1/42	2,500		2,581
	Chicago IL GO	6.314%	1/1/44	2,400		2,728
	Chicago IL Metropolitan Water Reclamation District GO	5.720%	12/1/38	5,110		6,685
	Chicago IL O’Hare International Airport Revenue	6.395%	1/1/40	1,570		2,257
	Chicago IL O’Hare International Airport Revenue	4.472%	1/1/49	6,655		8,030
	Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40	2,475		3,239
	Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40	4,835		6,532
	Clark County NV Airport System Revenue	6.820%	7/1/45	3,375		5,318
	Commonwealth Financing Authority Pennsylvania Revenue	3.807%	6/1/41	2,500		2,663
	Commonwealth Financing Authority Pennsylvania Revenue	3.864%	6/1/38	5,050		5,418
	Connecticut GO	5.632%	12/1/29	1,610		1,955
	Connecticut GO	5.090%	10/1/30	800		920
	Connecticut GO	5.850%	3/15/32	9,890		12,736
	Cook County IL GO	6.229%	11/15/34	2,695		3,527
	Dallas County TX Hospital District Revenue	5.621%	8/15/44	850		1,120
	Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44	1,850		2,636
	Dallas TX Area Rapid Transit Revenue	5.022%	12/1/48	2,960		3,914
	Dallas TX Convention Center Hotel Development Corp. Hotel Revenue	7.088%	1/1/42	6,950		9,646
	Dallas TX Independent School District GO	6.450%	2/15/35	1,500		1,575
	Dallas-Fort Worth TX International Airport Revenue	2.994%	11/1/38	2,500		2,467
	Dallas-Fort Worth TX International Airport Revenue	3.144%	11/1/45	3,575		3,538
	District of Columbia Income Tax Revenue	5.591%	12/1/34	10,090		12,497
	District of Columbia Water & Sewer Authority Public Utility Revenue	4.814%	10/1/14	8,750		11,496
	East Bay CA Municipal Utility District Water System Revenue	5.874%	6/1/40	2,390		3,280
	Florida Board of Administration Finance Corp. Revenue	2.638%	7/1/21	5,000		5,060
	George Washington University	4.300%	9/15/44	1,575		1,822
	George Washington University	4.868%	9/15/45	39		49
	George Washington University	4.126%	9/15/48	8,046		9,270

162

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57	7,223		9,726
	Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57	6,644		9,151
	Georgia Municipal Electric Power Authority Revenue	7.055%	4/1/57	5,072		6,856
	Houston TX GO	6.290%	3/1/32	11,795		14,222
	Illinois GO	4.950%	6/1/23	1,855		1,935
	Illinois GO	5.100%	6/1/33	54,770		59,044
	Illinois GO	6.630%	2/1/35	5,475		6,420
	Illinois GO	6.725%	4/1/35	3,550		4,167
	Illinois GO	7.350%	7/1/35	5,800		7,040
	Illinois Toll Highway Authority Revenue	6.184%	1/1/34	4,220		5,602
	JobsOhio Beverage System Statewide Liquor Profits Revenue	3.985%	1/1/29	5,090		5,527
	JobsOhio Beverage System Statewide Liquor Profits Revenue	4.532%	1/1/35	2,285		2,678
	Kansas Department of Transportation Highway Revenue	4.596%	9/1/35	2,750		3,249
	Kansas Development Finance Authority Revenue	4.927%	4/15/45	135		169
11	Kansas Development Finance Authority Revenue (Public Employees Retirement System)	5.501%	5/1/34	2,025		2,516
	Los Angeles CA Community College District GO	6.750%	8/1/49	4,605		7,560
	Los Angeles CA Department of Water & Power Revenue	5.716%	7/1/39	1,650		2,220
	Los Angeles CA Department of Water & Power Revenue	6.166%	7/1/40	600		613
	Los Angeles CA Department of Water & Power Revenue	6.574%	7/1/45	6,555		10,247
	Los Angeles CA Department of Water & Power Revenue	6.603%	7/1/50	735		1,180
	Los Angeles CA Unified School District GO	5.755%	7/1/29	5,195		6,299
	Los Angeles CA Unified School District GO	5.750%	7/1/34	14,920		19,107
	Los Angeles CA Unified School District GO	6.758%	7/1/34	3,225		4,446
	Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue	5.735%	6/1/39	6,375		8,231
	Los Angeles County CA Public Works Financing Authority Lease Revenue	7.618%	8/1/40	895		1,387
	Maryland Transportation Authority Facilities Projects Revenue	5.888%	7/1/43	840		1,121
	Massachusetts GO	4.200%	12/1/21	8,085		8,329
	Massachusetts GO	4.500%	8/1/31	350		406
	Massachusetts GO	5.456%	12/1/39	5,250		6,814
	Massachusetts GO	2.813%	9/1/43	7,000		6,663
	Massachusetts GO	2.900%	9/1/49	3,425		3,233
	Massachusetts School Building Authority Dedicated Sales Tax Revenue	5.715%	8/15/39	2,780		3,670
	Massachusetts School Building Authority Dedicated Sales Tax Revenue	3.395%	10/15/40	2,800		2,799
	Massachusetts Transportation Fund Revenue	5.731%	6/1/40	3,375		4,407

163

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue	6.731%	7/1/43	1,540		2,200
	Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue	7.462%	10/1/46	4,625		7,452
	Miami-Dade County FL Aviation Revenue (Miami International Airport)	4.280%	10/1/41	6,155		6,590
	Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.084%	12/1/34	3,150		3,138
	Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.384%	12/1/40	7,000		6,984
	Michigan State University Revenue	4.496%	8/15/48	2,025		2,223
	Mississippi GO	5.245%	11/1/34	2,020		2,507
	Missouri Health & Educational Facilities Authority Revenue (Washington University)	3.652%	8/15/57	3,500		3,678
12	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	10,800		13,540
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.081%	6/15/39	3,385		3,371
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.131%	6/15/42	5,370		5,327
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	5.754%	12/15/28	7,680		8,829
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.104%	12/15/28	3,680		3,823
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.561%	12/15/40	3,550		4,686
	New Jersey Turnpike Authority Revenue	7.414%	1/1/40	11,010		17,271
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41	16,751		25,546
	New York City NY GO	6.646%	12/1/31	100		104
	New York City NY GO	6.246%	6/1/35	950		965
	New York City NY GO	5.517%	10/1/37	3,225		4,143
	New York City NY GO	6.271%	12/1/37	5,425		7,527
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.750%	6/15/41	580		812
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.724%	6/15/42	795		1,121
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.952%	6/15/42	1,000		1,442
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.011%	6/15/42	350		507
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.282%	6/15/42	2,275		2,362
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.440%	6/15/43	9,580		13,169
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44	13,990		20,373
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.790%	6/15/41	800		814
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.790%	6/15/41	3,200		3,251
	New York City NY Transitional Finance Authority Future Tax Revenue	5.767%	8/1/36	2,925		3,634
	New York City NY Transitional Finance Authority Future Tax Revenue	5.508%	8/1/37	3,800		4,821

164

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	New York City NY Transitional Finance Authority Future Tax Revenue	5.572%	11/1/38	1,080		1,364
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39	9,600		15,020
	New York Metropolitan Transportation Authority Revenue (Transit Revenue)	5.871%	11/15/39	975		1,255
	New York Metropolitan Transportation Authority Revenue (Transit Revenue)	6.668%	11/15/39	6,360		9,027
	New York State Dormitory Authority Revenue	3.142%	7/1/43	2,085		2,067
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.110%	2/15/39	2,100		2,101
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.628%	3/15/39	1,150		1,415
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.600%	3/15/40	3,085		3,905
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.190%	2/15/43	2,100		2,108
	New York State Thruway Authority	2.900%	1/1/35	2,050		2,043
	New York State Thruway Authority	3.500%	1/1/42	1,500		1,494
	New York State Urban Development Corp. Revenue (Personal Income Tax)	3.900%	3/15/33	3,040		3,267
	New York State Urban Development Corp. Revenue (Personal Income Tax)	5.770%	3/15/39	2,375		2,880
	North Texas Tollway Authority System Revenue	6.718%	1/1/49	7,225		11,335
	NYU Langone Hospitals	5.750%	7/1/43	3,100		4,116
	Ohio State University General Receipts Revenue	4.910%	6/1/40	1,575		2,007
	Ohio State University General Receipts Revenue	3.798%	12/1/46	4,500		4,995
	Ohio State University General Receipts Revenue	4.800%	6/1/11	5,431		6,884
	Ohio Water Development Authority Water Pollution Control Loan Fund Revenue	4.879%	12/1/34	1,100		1,284
	Oregon Department of Transportation Highway User Tax Revenue	5.834%	11/15/34	2,100		2,798
	Oregon GO	5.762%	6/1/23	507		545
	Oregon GO	5.892%	6/1/27	8,130		9,635
11	Oregon School Boards Association GO	5.528%	6/30/28	375		442
	Pennsylvania Public School Building Authority Lease Revenue (School District of Philadelphia)	5.000%	9/15/27	1,947		2,247
	Pennsylvania Turnpike Commission Revenue	5.511%	12/1/45	3,050		4,028
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29	2,060		2,653
	Port Authority of New York & New Jersey Revenue	5.647%	11/1/40	4,900		6,541
	Port Authority of New York & New Jersey Revenue	5.647%	11/1/40	3,080		4,111
	Port Authority of New York & New Jersey Revenue	4.960%	8/1/46	5,025		6,491
	Port Authority of New York & New Jersey Revenue	5.310%	8/1/46	3,370		3,731
	Port Authority of New York & New Jersey Revenue	4.031%	9/1/48	1,800		2,033

165

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	Port Authority of New York & New Jersey Revenue	4.926%	10/1/51	5,560		7,203
	Port Authority of New York & New Jersey Revenue	4.458%	10/1/62	18,410		22,563
	Port Authority of New York & New Jersey Revenue	4.810%	10/15/65	7,385		9,303
	Port Authority of New York & New Jersey Revenue	3.287%	8/1/69	4,300		4,089
	Port of Morrow OR Transmission Facilities Revenue (Bonneville Cooperation Project)	2.987%	9/1/36	105		104
	Princeton University	5.700%	3/1/39	6,600		9,157
	Regents of the University of California Revenue	3.063%	7/1/25	9,060		9,487
	Regional Transportation District of Colorado Sales Tax Revenue	5.844%	11/1/50	1,500		2,176
	Rutgers State University New Jersey Revenue	5.665%	5/1/40	2,900		3,782
	Rutgers State University New Jersey Revenue	3.915%	5/1/19	2,395		2,357
	Rutgers The State University of New Jersey	3.270%	5/1/43	1,050		1,039
	Sales Tax Securitization Corp. Illinois Revenue	3.587%	1/1/43	8,400		8,282
	Sales Tax Securitization Corp. Illinois Revenue	3.820%	1/1/48	3,000		3,022
	Salt River Project Arizona Agricultural Improvement & Power District Revenue	4.839%	1/1/41	3,235		4,024
	San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39	1,650		2,271
	San Antonio TX Electric & Gas Systems Revenue	5.808%	2/1/41	7,000		9,626
	San Antonio TX Electric & Gas Systems Revenue	4.427%	2/1/42	1,410		1,634
	San Diego County CA Regional Transportation Commission Sales Tax Revenue	5.911%	4/1/48	1,760		2,540
	San Diego County CA Water Authority Revenue	6.138%	5/1/49	6,180		8,770
	San Francisco CA City & County Public Utilities Commission Water Revenue	6.950%	11/1/50	5,795		8,810
	San Jose California Redevelopment Agency Successor Agency Tax Allocation	3.375%	8/1/34	3,600		3,700
	Santa Clara Valley CA Transportation Authority Sales Tax Revenue	5.876%	4/1/32	3,390		4,146
	South Carolina Public Service Authority Revenue	2.388%	12/1/23	2,760		2,766
	South Carolina Public Service Authority Revenue	6.454%	1/1/50	7,000		10,294
	Texas A&M University System Revenue Financing System Revenue	3.100%	7/1/49	2,825		2,751
	Texas GO	5.517%	4/1/39	7,690		10,381
	Texas GO	3.211%	4/1/44	4,370		4,414
	Texas Private Activity Surface Transportation Corp. Revenue	3.922%	12/31/49	6,075		6,107
	Texas Transportation Commission Revenue	5.178%	4/1/30	4,350		5,237
	Texas Transportation Commission Revenue	4.681%	4/1/40	1,645		2,014
	University of California Regents Medical Center Revenue	6.548%	5/15/48	4,925		7,112
	University of California Regents Medical Center Revenue	6.583%	5/15/49	1,180		1,699
	University of California Revenue	4.601%	5/15/31	8,330		9,519

166

Total Bond Market II Index Fund
				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	University of California Revenue	5.770%	5/15/43	5,790		7,674
	University of California Revenue	5.946%	5/15/45	5,510		7,386
	University of California Revenue	4.858%	5/15/12	8,768		10,809
	University of California Revenue	4.767%	5/15/15	2,975		3,594
	University of Nebraska Student Fee Revenue	3.037%	10/1/49	1,740		1,682
	University of North Carolina University System Revenue	3.327%	12/1/36	90		95
	University of Pittsburgh-of the Commonwealth System of Higher Education	3.555%	9/15/19	11,425		11,078
	University of Southern California	5.250%	10/1/11	1,840		2,591
	University of Texas Permanent University Fund Revenue	3.376%	7/1/47	4,400		4,636
	University of Texas Revenue	3.354%	8/15/47	2,375		2,474
	University of Texas System Revenue Financing System Revenue	4.794%	8/15/46	1,700		2,108
	University of Virginia Revenue	4.179%	9/1/17	2,100		2,480
	Utah GO	4.554%	7/1/24	7,680		8,131
	Utah GO	3.539%	7/1/25	4,400		4,620
	Washington GO	5.140%	8/1/40	3,320		4,238
	Wisconsin Annual Appropriation Revenue	3.954%	5/1/36	9,400		10,050
	Wisconsin General Fund Annual Appropriation Revenue	3.154%	5/1/27	3,050		3,166
11	Wisconsin GO	5.700%	5/1/26	2,780		3,122
Total Taxable Municipal Bonds (Cost $1,097,423)						1,255,056
				Shares
Temporary Cash Investment (2.3%)
Money Market Fund (2.3%)
13	Vanguard Market Liquidity Fund (Cost $4,591,301)	1.816%		45,909,736		4,591,433
Total Investments (101.9%) (Cost $195,270,879)						202,284,884
						Amount
						($000	)
Other Assets and Liabilities (-1.9%)
Other Assets
Investment in Vanguard						8,658
Receivables for Investment Securities Sold						523,755
Receivables for Accrued Income						1,168,575
Receivables for Capital Shares Issued						1,442,502
Total Other Assets						3,143,490
Liabilities
Payables for Investment Securities Purchased						(6,860,903	)
Payables for Capital Shares Redeemed						(76,878	)
Payables to Vanguard						(27,822	)
Other Liabilities						(28,407	)
Total Liabilities						(6,994,010	)
Net Assets (100%)						198,434,364

167

Total Bond Market II Index Fund
At December 31, 2019, net assets consisted of:
	Amount
	($000	)
Paid-in Capital	191,877,605
Total Distributable Earnings (Loss)	6,556,759
Net Assets	198,434,364
Investor Shares—Net Assets
Applicable to 10,584,140,458 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	116,505,049
Net Asset Value Per Share—Investor Shares	$11.01
Institutional Shares—Net Assets
Applicable to 7,443,098,238 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	81,929,315
Net Asset Value Per Share—Institutional Shares	$11.01

·	See Note A in Notes to Financial Statements.
1	Securities with a value of $10,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2	U.S. government-guaranteed.
3	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5	Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2019.
6	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $1,721,893,000, representing 0.9% of net assets.
8	Guaranteed by the Government of Japan.
9	Guaranteed by the Federal Republic of Germany.
10	Guaranteed by the Republic of Austria.
11	Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
12	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
13	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

CMT—Constant Maturing Treasury Rate. 

GO—General Obligation Bond. 

LIBOR—London Interbank Offered Rate. 

REIT—Real Estate Investment Trust. 

TBA—To Be Announced. 

UMBS—Uniform Mortgage-Backed Securities.

See accompanying Notes, which are an integral part of the Financial Statements.

168

Total Bond Market II Index Fund

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Interest1	5,105,617
Total Income	5,105,617
Expenses
The Vanguard Group—Note B
Investment Advisory Services	6,121
Management and Administrative—Investor Shares	76,667
Management and Administrative—Institutional Shares	9,049
Marketing and Distribution—Investor Shares	13,235
Marketing and Distribution—Institutional Shares	2,960
Custodian Fees	430
Auditing Fees	217
Shareholders’ Reports—Investor Shares	914
Shareholders’ Reports—Institutional Shares	—
Trustees’ Fees and Expenses	83
Total Expenses	109,676
Net Investment Income	4,995,941
Realized Net Gain (Loss)
Investment Securities Sold1	564,657
Futures Contracts	64
Realized Net Gain (Loss)	564,721
Change in Unrealized Appreciation (Depreciation) of Investment Securities1	9,216,254
Net Increase (Decrease) in Net Assets Resulting from Operations	14,776,916

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $72,786,000, ($155,000), and $116,000, respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

169

Total Bond Market II Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2019			2018
	($000		)	($000		)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		4,995,941			4,326,729
Realized Net Gain (Loss)		564,721			(1,013,441	)
Change in Unrealized Appreciation (Depreciation)		9,216,254			(3,386,639	)
Net Increase (Decrease) in Net Assets Resulting from Operations		14,776,916			(73,351	)
Distributions
Net Investment Income
Investor Shares		(2,917,920	)		(2,561,096	)
Institutional Shares		(2,080,517	)		(1,765,020	)
Realized Capital Gain1
Investor Shares		—			(702	)
Institutional Shares		—			(468	)
Total Distributions		(4,998,437	)		(4,327,286	)
Capital Share Transactions
Investor Shares		19,065,128			5,111,918
Institutional Shares		15,483,598			4,913,765
Net Increase (Decrease) from Capital Share Transactions		34,548,726			10,025,683
Total Increase (Decrease)		44,327,205			5,625,046
Net Assets
Beginning of Period		154,107,159			148,482,113
End of Period		198,434,364			154,107,159

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

170

Total Bond Market II Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding				Year Ended December 31,
Throughout Each Period	2019	2018		2017	2016	2015
Net Asset Value, Beginning of Period	$10.42	$10.72		$10.61	$10.60	$10.84
Investment Operations
Net Investment Income	.2991	.2851		.2591	.251	.248
Net Realized and Unrealized Gain (Loss) on Investments	.590	(.301)		.112	.022	(.216)
Total from Investment Operations	.889	(.016)		.371	.273	.032
Distributions
Dividends from Net Investment Income	(.299)	(.284)		(.259)	(.252)	(.248)
Distributions from Realized Capital Gains	—	(.000)	2	(.002)	(.011)	(.024)
Total Distributions	(.299)	(.284)		(.261)	(.263)	(.272)
Net Asset Value, End of Period	$11.01	$10.42		$10.72	$10.61	$10.60
Total Return3	8.62%	-0.10%		3.53%	2.55%	0.28%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$116,505	$91,653		$89,183	$68,381	$55,392
Ratio of Total Expenses to Average Net Assets	0.09%	0.09%		0.09%	0.09%	0.09%
Ratio of Net Investment Income to Average Net Assets	2.76%	2.74%		2.42%	2.31%	2.30%
Portfolio Turnover Rate4	66%	90%		80%	88%	116%

1	Calculated based on average shares outstanding.
2	Distribution was less than $.001 per share.
3	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4	Includes 12%, 22%, 26%, 24%, and 46% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

171

Total Bond Market II Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding				Year Ended December 31,
Throughout Each Period	2019	2018		2017	2016	2015
Net Asset Value, Beginning of Period	$10.42	$10.72		$10.61	$10.60	$10.84
Investment Operations
Net Investment Income	.3061	.2921		.2671	.259	.256
Net Realized and Unrealized Gain (Loss) on Investments	.591	(.300)		.112	.022	(.216)
Total from Investment Operations	.897	(.008)		.379	.281	.040
Distributions
Dividends from Net Investment Income	(.307)	(.292)		(.267)	(.260)	(.256)
Distributions from Realized Capital Gains	—	(.000)	2	(.002)	(.011)	(.024)
Total Distributions	(.307)	(.292)		(.269)	(.271)	(.280)
Net Asset Value, End of Period	$11.01	$10.42		$10.72	$10.61	$10.60
Total Return	8.69%	-0.03%		3.60%	2.62%	0.35%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$81,929	$62,455		$59,299	$45,632	$36,760
Ratio of Total Expenses to Average Net Assets	0.02%	0.02%		0.02%	0.02%	0.02%
Ratio of Net Investment Income to Average Net Assets	2.83%	2.81%		2.49%	2.38%	2.37%
Portfolio Turnover Rate3	66%	90%		80%	88%	116%

1	Calculated based on average shares outstanding.
2	Distribution was less than $.001 per share.
3	Includes 12%, 22%, 26%, 24%, and 46% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

172

Total Bond Market II Index Fund

Notes to Financial Statements

Vanguard Total Bond Market II Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund has been established by Vanguard as an investment vehicle for Vanguard funds of funds as well as certain similar trusts and accounts (“eligible investors”). The fund is not available to other investors. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. “Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts each represented 0% of net assets, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at December 31, 2019.

173

Total Bond Market II Index Fund

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

At December 31, 2019, counterparties had deposited in segregated accounts securities with a value of $290,000 and cash of $538,000 in connection with TBA transactions.

4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

174

Total Bond Market II Index Fund

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $8,658,000, representing less than 0.01% of the fund’s net assets and 3.46% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

175

Total Bond Market II Index Fund

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	132,054,986	—
Asset-Backed/Commercial Mortgage-Backed Securities	—	4,914,471	—
Corporate Bonds	—	51,681,809	—
Sovereign Bonds	—	7,787,129	—
Taxable Municipal Bonds	—	1,255,056	—
Temporary Cash Investments	4,591,433	—	—
Total	4,591,433	197,693,451	—

D.     Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	14,845
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(450,502)
Net Unrealized Gains (Losses)	7,014,005

*The fund used capital loss carryforwards of $564,721,000 to offset taxable capital gains realized during the year ended December 31, 2019.

176

Total Bond Market II Index Fund

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	195,270,879
Gross Unrealized Appreciation	7,378,338
Gross Unrealized Depreciation	(364,333)
Net Unrealized Appreciation (Depreciation)	7,014,005

E.     During the year ended December 31, 2019, the fund purchased $18,042,432,000 of investment securities and sold $11,481,660,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $134,598,096,000 and $105,562,238,000, respectively. Total purchases and sales include $188,897,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

F.     Capital share transactions for each class of shares were:

			Year Ended December 31,
		2019		2018
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	29,630,647	2,753,458	23,426,764	2,241,968
Issued in Lieu of Cash Distributions	2,917,920	269,056	2,561,333	246,590
Redeemed	(13,483,439)	(1,237,620)	(20,876,179)	(2,009,410)
Net Increase (Decrease)—Investor Shares	19,065,128	1,784,894	5,111,918	479,148
Institutional Shares
Issued	22,527,089	2,091,754	17,616,748	1,688,890
Issued in Lieu of Cash Distributions	2,080,517	191,787	1,765,457	169,972
Redeemed	(9,124,008)	(836,386)	(14,468,440)	(1,395,053)
Net Increase (Decrease)—Institutional Shares	15,483,598	1,447,155	4,913,765	463,809

G.    Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

177

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Total Bond Market II Index Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Vanguard Total Bond Market II Index Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 13, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

178

Special 2019 tax information (unaudited) for Vanguard Total Bond Market II Index Fund

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 87.1% of income dividends are interest-related dividends.

179

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Total Bond Market II Index Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Total Bond Market II Index Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Total Bond Market II Index Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Total Bond Market II Index Fund or the owners of the Total Bond Market II Index Fund.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Total Bond Market II Index Fund. Investors acquire the Total Bond Market II Index Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Total Bond Market II Index Fund. The Total Bond Market II Index Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Total Bond Market II Index Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Total Bond Market II Index Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Total Bond Market II Index Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Total Bond Market II Index Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Total Bond Market II Index Fund.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Total Bond Market II Index Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Total Bond Market II Index Fund, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE TOTAL BOND MARKET II INDEX FUND.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

180

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team
Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

P.O. Box 2600

Valley Forge, PA 19482-2600

Connect with Vanguard^® > vanguard.com

Fund Information > 800-662-7447

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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q6350 022020

 

Annual Report | December 31, 2019

Vanguard Inflation-Protected Securities Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
Advisor’s Report	3
About Your Fund’s Expenses	6
Performance Summary	8
Financial Statements	11

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

A Note From Our Chairman

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

Sincerely,

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

1

Your Fund’s Performance at a Glance

•    For the 12 months ended December 31, 2019, Vanguard Inflation-Protected Securities Fund returned 8.06% for Investor Shares, 8.16% for Admiral Shares, and 8.18% for Institutional Shares. Those results were weaker than the 8.43% return of the fund’s benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index.

•    Despite global and domestic central bank easing during 2019, U.S. inflation readings declined. Monthly figures for year-on-year change in the U.S. Core Personal Consumption Expenditures Price Index moved up and down during the period, finishing the period at 1.6% compared with 1.9% a year earlier.

•    Yields of both nominal Treasuries and Treasury Inflation-Protected Securities (TIPS) fell across the maturity spectrum, pushing up prices and contributing to strong returns for both types of bonds. The real yield of 10-year TIPS, for example, declined from 0.97% to 0.13%, while the comparable yield for its 30-year counterpart fell from 1.21% to 0.57%.

•    Much of the fund’s underperformance stemmed from unexpected shifts in inflation expectations and the yield curve in early 2019, and from tactical allocation decisions that did not pay off.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

2

Advisor’s Report

For the 12 months ended December 31, 2019, falling bond yields and rising prices led to strong returns across the fixed income market, including Treasury Inflation-Protected Securities (TIPS).

Investor Shares of Vanguard Inflation-Protected Securities Fund returned 8.06%, while lower-cost Admiral Shares returned 8.16% and Institutional Shares returned 8.18%. The fund lagged its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index, which returned 8.43%.

The broad investment-grade bond market returned 8.87%, and “nominal” Treasury securities, which don’t include an automatic adjustment for inflation, returned 6.86%, according to the Bloomberg Barclays U.S. Aggregate Float Adjusted Index.

The 30-day SEC yield for all three share classes declined more than 80 basis points. (A basis point is one-hundredth of a percentage point.)

Investment environment

The financial markets were driven largely by shifts in the outlook for global growth and monetary policy during the period. At the start of 2019, further signs of a global slowdown and tepid inflation led to a shift toward lower inflation expectations. This in turn caused the major central banks to adopt a more accommodative monetary stance.

For the first quarter of 2019, gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3% after adjusting for inflation. Its pace of growth then slowed amid weaker business confidence, trade disputes, and lessening effects from tax cuts. The unemployment rate ended the period at a half-century low of 3.5%, a trend that helped keep consumers spending, but the pace of job gains softened. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) remained at or a little above 2%.

After raising rates four times in 2018, the Federal Reserve began to reverse gears in March with an announcement that it would end its balance-sheet drawdown. It went on to lower the federal funds rate in August, September, and October. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to

Yields of U.S. Treasury Inflation-Protected Securities
(Real Yields)
	December 31,	December 31,
Maturity	2018	2019
5 Years	0.99%	–0.02%
10 Years	0.97	0.13
30 Years	1.21	0.57
Source: Bloomberg.

3

cushion the effects of trade policies and prolong an economic expansion already in its 11th year.

Rate cuts and slowing growth contributed to declines in yields across the maturity spectrum. The U.S. Treasury yield curve was inverted for part of the period—yields of shorter-term bonds were higher than those of longer-term bonds—but finished the year displaying a more typical upward slope.

The real yield of 10-year TIPS fell from 0.97% to 0.13% in 2019. Over the same period, the 10-year breakeven inflation rate edged higher, from 1.72% to 1.79%, implying an equivalent modest uptick in the market’s inflation expectation for the coming decade.

The market structure improved. With the U.S. fiscal deficit rising, the Treasury Department increased TIPS issuance, helping to make this segment of the market more liquid. The additional supply was easily absorbed by demand from TIPS mutual funds and, late in the year, the Fed’s renewed balance-sheet expansion.

Management of the portfolio

In the early part of the year, we increased our allocation to short-term TIPS. We were of the view that the Fed would call an end to its hiking cycle early in 2019 and that the yield curve would steepen. Our call about the Fed was right, but yields of longer-dated TIPS fell more quickly than the yields of our overweight position, and the yield curve inverted further amid escalating concern about the risk of a global recession.

Another move we made early in the period was to reduce our exposure to nominal Treasury bonds, securities we hold when they appear to offer relative value compared with TIPS. Global growth appeared to be slowing but was still decent, and there seemed to be enough easing in financial conditions that we expected to see some stabilization in both inflation and inflation expectations, which would benefit TIPS. While inflation did stabilize, the Fed was slow to begin cutting rates, and along with a rise in fears of a global recession, inflation expectations actually fell, which caused TIPS to underperform nominal Treasuries for the first part of the year.

Security selection was modestly positive. Some micro dislocations went through the market, providing us with opportunities to buy certain securities and sell others in order to capture a little excess return for the fund.

The duration of the fund (a measure in years of a portfolio’s sensitivity to changes in interest rates) is structurally longer than that of its benchmark. Given the decline in interest rates that occurred during the period, this difference helped the fund’s performance relative to its benchmark.

4

Outlook

Global growth is set to keep softening, owing in part to trade tensions and policy uncertainty. The U.S. economy may fall below 2% trend growth in 2020, according to our economists in Vanguard Investment Strategy Group.

Other major economies are likely to see a deceleration as well. China, the world’s second-largest economy, is expected to grow at a pace around 6%—and possibly lower than that without further stimulus. In the euro area, growth may stay weak at about 1%.

This backdrop, along with modest wage gains and structural factors like technology advancements and globalization, is unlikely to support a sustained rebound in inflation, although we could see a cyclical upswing in the first half of this year.

Inflation expectations should rebound as a result. They will likely trend closer to the Fed’s preferred objective of 2.0%, but— given the structural forces still in play—not much higher.

Going forward, we may see bouts of volatility related to inflation and interest rate expectations, but it’s worth restating that investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a low-yield bond environment, TIPS can play a useful role as a diversifier, as they provide a hedge against an unexpected increase in inflation. And even if inflation remains low, there is the potential for principal appreciation if yields fall.

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek out opportunities to add to the fund’s performance.

Gemma Wright-Casparius, Principal

Vanguard Fixed Income Group

January 23, 2020

5

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

•   Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

6

Six Months Ended December 31, 2019
		Beginning	Ending	Expenses
		Account Value	Account Value	Paid During
Inflation-Protected Securities Fund		6/30/2019	12/31/2019	Period
Based on Actual Fund Return
	Investor Shares	$1,000.00	$1,018.85	$1.02
	Admiral™ Shares	1,000.00	1,019.39	0.51
	Institutional Shares	1,000.00	1,019.72	0.36
Based on Hypothetical 5% Yearly Return
	Investor Shares	$1,000.00	$1,024.20	$1.02
	Admiral Shares	1,000.00	1,024.70	0.51
	Institutional Shares	1,000.00	1,024.85	0.36

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

7

Inflation-Protected Securities Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Inflation-Protected Securities Fund Investor Shares	8.06%	2.35%	3.15%	$13,633
	Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index	8.43	2.62	3.36	13,919
	Bloomberg Barclays U.S. Aggregate Bond Index	8.72	3.05	3.75	14,445

				Final Value
	One	Five	Ten	of a $50,000
	Year	Years	Years	Investment
Inflation-Protected Securities Fund Admiral Shares	8.16%	2.45%	3.25%	$68,863
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index	8.43	2.62	3.36	69,596
Bloomberg Barclays U.S. Aggregate Bond Index	8.72	3.05	3.75	72,224

See Financial Highlights for dividend and capital gains information.

8

Inflation-Protected Securities Fund

	Average Annual Total Returns
	Periods Ended December 31, 2019
				Final Value
	One	Five	Ten	of a $5,000,000
	Year	Years	Years	Investment
Inflation-Protected Securities Fund Institutional Shares	8.18%	2.48%	3.28%	$6,907,572
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index	8.43	2.62	3.36	6,959,641
Bloomberg Barclays U.S. Aggregate Bond Index	8.72	3.05	3.75	7,222,447

9

Inflation-Protected Securities Fund

Sector Diversification

As of December 31, 2019

Treasury/Agency 100.0%

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

10

Inflation-Protected Securities Fund

Financial Statements

Statement of Net Assets

As of December 31, 2019

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
U.S. Government and Agency Obligations (97.4%)
U.S. Government Securities (97.4%)
	United States Treasury Inflation Indexed Bonds	1.125%	1/15/21	455,499	540,889
	United States Treasury Inflation Indexed Bonds	0.125%	4/15/21	803,500	870,546
	United States Treasury Inflation Indexed Bonds	0.625%	7/15/21	732,801	846,132
	United States Treasury Inflation Indexed Bonds	0.125%	1/15/22	827,671	940,495
	United States Treasury Inflation Indexed Bonds	0.125%	4/15/22	940,000	993,296
	United States Treasury Inflation Indexed Bonds	0.125%	7/15/22	792,019	890,073
	United States Treasury Inflation Indexed Bonds	0.125%	1/15/23	872,330	972,570
	United States Treasury Inflation Indexed Bonds	0.625%	4/15/23	960,000	1,010,144
	United States Treasury Inflation Indexed Bonds	0.375%	7/15/23	877,936	984,498
	United States Treasury Inflation Indexed Bonds	0.625%	1/15/24	871,256	981,499
	United States Treasury Inflation Indexed Bonds	0.500%	4/15/24	665,000	689,573
	United States Treasury Inflation Indexed Bonds	0.125%	7/15/24	878,771	958,374
	United States Treasury Inflation Indexed Bonds	0.125%	10/15/24	450,000	453,905
	United States Treasury Inflation Indexed Bonds	0.250%	1/15/25	895,300	981,575
	United States Treasury Inflation Indexed Bonds	2.375%	1/15/25	461,651	702,649
	United States Treasury Inflation Indexed Bonds	0.375%	7/15/25	839,844	930,183
1	United States Treasury Inflation Indexed Bonds	0.625%	1/15/26	779,522	870,248
	United States Treasury Inflation Indexed Bonds	2.000%	1/15/26	339,727	489,702
	United States Treasury Inflation Indexed Bonds	0.125%	7/15/26	736,304	793,341
	United States Treasury Inflation Indexed Bonds	0.375%	1/15/27	724,439	783,720
	United States Treasury Inflation Indexed Bonds	2.375%	1/15/27	292,047	430,100
	United States Treasury Inflation Indexed Bonds	0.375%	7/15/27	715,000	767,599
	United States Treasury Inflation Indexed Bonds	0.500%	1/15/28	754,000	807,172
	United States Treasury Inflation Indexed Bonds	1.750%	1/15/28	308,866	426,245
	United States Treasury Inflation Indexed Bonds	3.625%	4/15/28	197,575	402,090
	United States Treasury Inflation Indexed Bonds	0.750%	7/15/28	701,000	756,525
	United States Treasury Inflation Indexed Bonds	0.875%	1/15/29	570,000	617,241
	United States Treasury Inflation Indexed Bonds	2.500%	1/15/29	307,170	443,661
	United States Treasury Inflation Indexed Bonds	3.875%	4/15/29	228,242	476,770
	United States Treasury Inflation Indexed Bonds	0.250%	7/15/29	660,000	670,958
	United States Treasury Inflation Indexed Bonds	3.375%	4/15/32	108,029	215,383
	United States Treasury Inflation Indexed Bonds	2.125%	2/15/40	169,656	264,273
	United States Treasury Inflation Indexed Bonds	2.125%	2/15/41	231,258	358,341
	United States Treasury Inflation Indexed Bonds	0.750%	2/15/42	403,145	477,723
	United States Treasury Inflation Indexed Bonds	0.625%	2/15/43	296,755	336,631
	United States Treasury Inflation Indexed Bonds	1.375%	2/15/44	456,735	595,822
	United States Treasury Inflation Indexed Bonds	0.750%	2/15/45	512,400	581,939
	United States Treasury Inflation Indexed Bonds	1.000%	2/15/46	319,302	381,962
	United States Treasury Inflation Indexed Bonds	0.875%	2/15/47	344,100	393,782
	United States Treasury Inflation Indexed Bonds	1.000%	2/15/48	366,000	423,430

11

Inflation-Protected Securities Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	United States Treasury Inflation Indexed Bonds	1.000%	2/15/49	307,000	349,337
	United States Treasury Note/Bond	2.625%	1/31/26	35,000	36,684
	United States Treasury Note/Bond	2.375%	4/30/26	160,000	165,501
	United States Treasury Note/Bond	2.125%	5/31/26	35,000	35,673
	United States Treasury Note/Bond	1.875%	7/31/26	20,000	20,069
	United States Treasury Note/Bond	1.375%	8/31/26	125,000	121,485
Total U.S. Government and Agency Obligations (Cost $25,980,576)					27,239,808

			Shares
Temporary Cash Investment (2.4%)
Money Market Fund (2.4%)
2	Vanguard Market Liquidity Fund
	(Cost $653,610)	1.816%	6,535,456	653,611
Total Investments (99.8%) (Cost $26,634,186)				27,893,419

	Amount
	($000)
Other Assets and Liabilities (0.2%)
Other Assets
Investment in Vanguard	1,266
Receivables for Investment Securities Sold	449,504
Receivables for Accrued Income	79,527
Receivables for Capital Shares Issued	30,845
Variation Margin Receivable—Futures Contracts	435
Other Assets	447
Total Other Assets	562,024
Liabilities
Payables for Investment Securities Purchased	(102,506)
Payables for Capital Shares Redeemed	(375,040)
Payables to Vanguard	(14,866)
Variation Margin Payable—Futures Contracts	(352)
Options Written, at Value3	(401)
Total Liabilities	(493,165)
Net Assets (100%)	27,962,278

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	26,923,001
Total Distributable Earnings (Loss)	1,039,277
Net Assets	27,962,278
Investor Shares—Net Assets
Applicable to 258,127,902 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,401,995
Net Asset Value Per Share—Investor Shares	$13.18

12

Inflation-Protected Securities Fund

	Amount
	($000)
Admiral Shares—Net Assets
Applicable to 553,047,766 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	14,310,452
Net Asset Value Per Share—Admiral Shares	$25.88
Institutional Shares—Net Assets
Applicable to 972,382,884 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	10,249,831
Net Asset Value Per Share—Institutional Shares	$10.54

• See Note A in Notes to Financial Statements.

1 Securities with a value of $5,412,000 have been segregated as initial margin for open futures contracts.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Includes premiums received of $944,000.

Derivative Financial Instruments Outstanding as of Period End
Options Written
				Notional	Market
	Expiration		Exercise	Amount	Value
	Date	Contracts	Price	($000)	($000)
Exchange-Traded Options
Put Options
2-Year U.S. Treasury Note Futures Contracts	1/30/20	2,334	$107.750	502,977	(401)
Total Options Written (Premiums Received $944)					(401)

Futures Contracts
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Short Futures Contracts
10-Year U.S. Treasury Note	March 2020	3,006	386,036	376
2-Year U.S. Treasury Note	March 2020	1,423	306,657	(190)
				186

  See accompanying Notes, which are an integral part of the Financial Statements.

13

Inflation-Protected Securities Fund

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Interest1	677,803
Total Income	677,803
Expenses
The Vanguard Group—Note B
Investment Advisory Services	3,758
Management and Administrative—Investor Shares	6,020
Management and Administrative—Admiral Shares	11,047
Management and Administrative—Institutional Shares	5,225
Marketing and Distribution—Investor Shares	348
Marketing and Distribution—Admiral Shares	864
Marketing and Distribution—Institutional Shares	388
Custodian Fees	25
Auditing Fees	38
Shareholders’ Reports—Investor Shares	94
Shareholders’ Reports—Admiral Shares	168
Shareholders’ Reports—Institutional Shares	138
Trustees’ Fees and Expenses	15
Total Expenses	28,128
Net Investment Income	649,675
Realized Net Gain (Loss)
Investment Securities Sold1	12,995
Futures Contracts	(49,907)
Options Purchased	(2,252)
Options Written	4,008
Realized Net Gain (Loss)	(35,156)
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	1,535,251
Futures Contracts	7,480
Options Purchased	355
Options Written	1,611
Change in Unrealized Appreciation (Depreciation)	1,544,697
Net Increase (Decrease) in Net Assets Resulting from Operations	2,159,216

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,771,000, ($85,000), and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.

  See accompanying Notes, which are an integral part of the Financial Statements.

14

Inflation-Protected Securities Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	649,675	854,804
Realized Net Gain (Loss)	(35,156)	(151,047)
Change in Unrealized Appreciation (Depreciation)	1,544,697	(1,096,820)
Net Increase (Decrease) in Net Assets Resulting from Operations	2,159,216	(393,063)
Distributions
Net Investment Income
Investor Shares	(75,706)	(110,279)
Admiral Shares	(324,071)	(431,576)
Institutional Shares	(241,760)	(308,354)
Realized Capital Gain
Investor Shares	—	—
Admiral Shares	—	—
Institutional Shares	—	—
Total Distributions	(641,537)	(850,209)
Capital Share Transactions
Investor Shares	(317,944)	(441,433)
Admiral Shares	(119,658)	375,009
Institutional Shares	104,464	523,950
Net Increase (Decrease) from Capital Share Transactions	(333,138)	457,526
Total Increase (Decrease)	1,184,541	(785,746)
Net Assets
Beginning of Period	26,777,737	27,563,483
End of Period	27,962,278	26,777,737

  See accompanying Notes, which are an integral part of the Financial Statements.

15

Inflation-Protected Securities Fund

Financial Highlights

Investor Shares

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$12.47	$13.04	$12.98	$12.84	$13.18
Investment Operations
Net Investment Income	.2901	.3791	.3101	.263	.098
Net Realized and Unrealized Gain (Loss) on Investments	.713	(.572)	.053	.315	(.339)
Total from Investment Operations	1.003	(.193)	.363	.578	(.241)
Distributions
Dividends from Net Investment Income	(.293)	(.377)	(.303)	(.266)	(.098)
Distributions from Realized Capital Gains	—	—	—	(.017)	(.001)
Return of Capital	—	—	—	(.155)	—
Total Distributions	(.293)	(.377)	(.303)	(.438)	(.099)
Net Asset Value, End of Period	$13.18	$12.47	$13.04	$12.98	$12.84
Total Return2	8.06%	-1.49%	2.81%	4.52%	-1.83%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,402	$3,526	$4,139	$4,496	$4,746
Ratio of Total Expenses to Average Net Assets	0.20%	0.20%	0.20%	0.20%	0.20%
Ratio of Net Investment Income to Average Net Assets	2.24%	2.96%	2.38%	1.99%	0.72%
Portfolio Turnover Rate	26%	27%	22%	27%3	43%3

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

  See accompanying Notes, which are an integral part of the Financial Statements.

16

Inflation-Protected Securities Fund

Financial Highlights

Admiral Shares
For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$24.48	$25.60	$25.48	$25.21	$25.87
Investment Operations
Net Investment Income	.6001	.7671	.6401	.544	.221
Net Realized and Unrealized Gain (Loss) on Investments	1.394	(1.122)	.097	.615	(.658)
Total from Investment Operations	1.994	(.355)	.737	1.159	(.437)
Distributions
Dividends from Net Investment Income	(.594)	(.765)	(.617)	(.541)	(.220)
Distributions from Realized Capital Gains	—	—	—	(.034)	(.003)
Return of Capital	—	—	—	(.314)	—
Total Distributions	(.594)	(.765)	(.617)	(.889)	(.223)
Net Asset Value, End of Period	$25.88	$24.48	$25.60	$25.48	$25.21
Total Return2	8.16%	-1.39%	2.91%	4.62%	-1.69%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$14,310	$13,661	$13,917	$12,205	$10,533
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%	0.10%	0.10%	0.10%
Ratio of Net Investment Income to Average Net Assets	2.34%	3.06%	2.48%	2.09%	0.82%
Portfolio Turnover Rate	26%	27%	22%	27%3	43%3

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

  See accompanying Notes, which are an integral part of the Financial Statements.

17

Inflation-Protected Securities Fund

Financial Highlights

Institutional Shares
For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$9.97	$10.43	$10.38	$10.27	$10.54
Investment Operations
Net Investment Income	.2491	.3171	.2631	.224	.093
Net Realized and Unrealized Gain (Loss) on Investments	.565	(.462)	.043	.250	(.269)
Total from Investment Operations	.814	(.145)	.306	.474	(.176)
Distributions
Dividends from Net Investment Income	(.244)	(.315)	(.256)	(.221)	(.093)
Distributions from Realized Capital Gains	—	—	—	(.014)	(.001)
Return of Capital	—	—	—	(.129)	—
Total Distributions	(.244)	(.315)	(.256)	(.364)	(.094)
Net Asset Value, End of Period	$10.54	$9.97	$10.43	$10.38	$10.27
Total Return	8.18%	-1.40%	2.97%	4.63%	-1.67%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$10,250	$9,591	$9,508	$8,637	$7,471
Ratio of Total Expenses to Average Net Assets	0.07%	0.07%	0.07%	0.07%	0.07%
Ratio of Net Investment Income to Average Net Assets	2.37%	3.09%	2.51%	2.12%	0.85%
Portfolio Turnover Rate	26%	27%	22%	27%2	43%2

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

  See accompanying Notes, which are an integral part of the Financial Statements.

18

Inflation-Protected Securities Fund

Notes to Financial Statements

Vanguard Inflation-Protected Securities Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts represented 8% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

19

Inflation-Protected Securities Fund

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended December 31, 2019, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities which are amortized to the earliest call date. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

20

Inflation-Protected Securities Fund

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $1,266,000, representing less than 0.01% of the fund’s net assets and 0.51% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	27,239,808	—
Temporary Cash Investments	653,611	—	—
Liability for Options Written	(401)	—	—
Futures Contracts—Assets1	435	—	—
Futures Contracts—Liabilities1	(352)	—	—
Total	653,293	27,239,808	—
1 Represents variation margin on the last day of the reporting period.

21

Inflation-Protected Securities Fund

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts and options. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	10,373
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)	(216,946)
Net Unrealized Gains (Losses)	1,259,233

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	26,634,186
Gross Unrealized Appreciation	1,293,820
Gross Unrealized Depreciation	(34,587)
Net Unrealized Appreciation (Depreciation)	1,259,233

E.  During the year ended December 31, 2019, the fund purchased $7,054,232,000 of investment securities and sold $8,388,590,000 of investment securities, other than temporary cash investments.

22

Inflation-Protected Securities Fund

F.  Capital share transactions for each class of shares were:

			Year Ended December 31,
		2019		2018
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	400,022	30,638	575,868	44,981
Issued in Lieu of Cash Distributions	70,691	5,362	102,571	8,120
Redeemed	(788,657)	(60,620)	(1,119,872)	(87,692)
Net Increase (Decrease)—Investor Shares	(317,944)	(24,620)	(441,433)	(34,591)
Admiral Shares
Issued	2,738,947	107,139	3,640,083	144,971
Issued in Lieu of Cash Distributions	287,999	11,127	381,317	15,388
Redeemed	(3,146,604)	(123,356)	(3,646,391)	(145,853)
Net Increase (Decrease)—Admiral Shares	(119,658)	(5,090)	375,009	14,506
Institutional Shares
Issued	2,209,384	212,420	2,770,435	270,952
Issued in Lieu of Cash Distributions	227,791	21,598	291,852	28,912
Redeemed	(2,332,711)	(223,645)	(2,538,337)	(249,678)
Net Increase (Decrease)—Institutional Shares	104,464	10,373	523,950	50,186

G.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

23

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Inflation-Protected Securities Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Vanguard Inflation-Protected Securities Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

24

Special 2019 tax information (unaudited) for Vanguard Inflation-Protected Securities Fund

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 97.9% of income dividends are interest-related dividends.

25

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Inflation-Protected Securities Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Inflation-Protected Securities Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Inflation-Protected Securities Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Inflation-Protected Securities Fund or the owners of the Inflation-Protected Securities Fund.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Inflation-Protected Securities Fund. Investors acquire the Inflation-Protected Securities Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Inflation-Protected Securities Fund. The Inflation-Protected Securities Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Inflation-Protected Securities Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Inflation-Protected Securities Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Inflation-Protected Securities Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Inflation-Protected Securities Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Inflation-Protected Securities Fund.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Inflation-Protected Securities Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Inflation-Protected Securities Fund, investors or other third parties.

26

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE INFLATION-PROTECTED SECURITIES FUND.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

27

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

P.O. Box 2600

Valley Forge, PA 19482-2600

Connect with Vanguard^® > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q1190 022020

Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.

Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

Item 4: Principal Accountant Fees and Services.

(a)       Audit Fees.

Audit Fees of the Registrant.

Fiscal Year Ended December 31, 2019: $446,000
Fiscal Year Ended December 31, 2018: $450,000

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

Fiscal Year Ended December 31, 2019: $9,568,215
Fiscal Year Ended December 31, 2018: $9,734,277

Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(b)        Audit-Related Fees.

Fiscal Year Ended December 31, 2019: $3,012,031
Fiscal Year Ended December 31, 2018: $5,581,336

Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(c)       Tax Fees.

Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(d)       All Other Fees.

Fiscal Year Ended December 31, 2019: $0
Fiscal Year Ended December 31, 2018: $0

Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(e)        (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.

(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)       For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.

(g)       Aggregate Non-Audit Fees.

Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985

Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(h)       For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.

Item 5: Audit Committee of Listed Registrants.

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

Item 6: Investments.

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
U.S. Government and Agency Obligations (67.5%)
U.S. Government Securities (65.5%)
	United States Treasury Note/Bond	8.750%	5/15/20		65,535			67,204
	United States Treasury Note/Bond	2.000%	11/30/20		8,760			8,787
	United States Treasury Note/Bond	2.750%	11/30/20		32,852			33,175
	United States Treasury Note/Bond	2.375%	12/31/20		5,070			5,106
	United States Treasury Note/Bond	2.500%	12/31/20		127,365			128,399
	United States Treasury Note/Bond	2.000%	1/15/21		454,286			455,917
	United States Treasury Note/Bond	1.375%	1/31/21		85,899			85,644
	United States Treasury Note/Bond	2.125%	1/31/21		32,250			32,411
	United States Treasury Note/Bond	2.500%	1/31/21		160,232			161,684
	United States Treasury Note/Bond	2.250%	2/15/21		126,197			127,025
	United States Treasury Note/Bond	3.625%	2/15/21		25,493			26,047
	United States Treasury Note/Bond	7.875%	2/15/21		250			267
	United States Treasury Note/Bond	1.125%	2/28/21		354,402			352,297
	United States Treasury Note/Bond	2.000%	2/28/21		85,350			85,710
	United States Treasury Note/Bond	2.500%	2/28/21		200,096			202,065
	United States Treasury Note/Bond	2.375%	3/15/21		198,759			200,437
	United States Treasury Note/Bond	1.250%	3/31/21		1,253,591			1,247,712
	United States Treasury Note/Bond	2.250%	3/31/21		166,928			168,180
	United States Treasury Note/Bond	2.375%	4/15/21		54,041			54,556
	United States Treasury Note/Bond	1.375%	4/30/21		188,407			187,819
	United States Treasury Note/Bond	2.250%	4/30/21		218,231			220,038
	United States Treasury Note/Bond	2.625%	5/15/21		266,914			270,541
	United States Treasury Note/Bond	3.125%	5/15/21		1,380			1,408
	United States Treasury Note/Bond	8.125%	5/15/21		190			207
	United States Treasury Note/Bond	1.375%	5/31/21		514,165			512,479
	United States Treasury Note/Bond	2.000%	5/31/21		25,783			25,920
	United States Treasury Note/Bond	2.125%	5/31/21		190,108			191,444
	United States Treasury Note/Bond	2.625%	6/15/21		196,577			199,404
	United States Treasury Note/Bond	1.125%	6/30/21		377,817			375,161
	United States Treasury Note/Bond	1.625%	6/30/21		201,817			201,849
	United States Treasury Note/Bond	2.125%	6/30/21		1,150			1,159
	United States Treasury Note/Bond	2.625%	7/15/21		75,555			76,712
	United States Treasury Note/Bond	1.125%	7/31/21		103,255			102,464
	United States Treasury Note/Bond	1.750%	7/31/21		244,955			245,491
	United States Treasury Note/Bond	2.250%	7/31/21		1,350			1,363
	United States Treasury Note/Bond	2.125%	8/15/21		120,173			121,149
	United States Treasury Note/Bond	2.750%	8/15/21		170,710			173,778
	United States Treasury Note/Bond	1.125%	8/31/21		618,413			613,484
	United States Treasury Note/Bond	1.500%	8/31/21		75,605			75,475
	United States Treasury Note/Bond	2.000%	8/31/21		48,289			48,599
	United States Treasury Note/Bond	2.750%	9/15/21		128,762			131,216
	United States Treasury Note/Bond	1.125%	9/30/21		548,868			544,323
	United States Treasury Note/Bond	1.500%	9/30/21		157,844			157,573
	United States Treasury Note/Bond	2.125%	9/30/21		31,400			31,675
	United States Treasury Note/Bond	2.875%	10/15/21		181,199			185,220
	United States Treasury Note/Bond	1.250%	10/31/21		864,836			859,431
	United States Treasury Note/Bond	1.500%	10/31/21		543,029			542,182
	United States Treasury Note/Bond	2.000%	10/31/21		38,630			38,908
	United States Treasury Note/Bond	2.000%	11/15/21		21,575			21,740
	United States Treasury Note/Bond	2.875%	11/15/21		265,152			271,367
	United States Treasury Note/Bond	1.500%	11/30/21		46,280			46,208
	United States Treasury Note/Bond	1.750%	11/30/21		306,779			307,641
	United States Treasury Note/Bond	1.875%	11/30/21		26,069			26,212
	United States Treasury Note/Bond	2.625%	12/15/21		200,180			204,090
	United States Treasury Note/Bond	1.625%	12/31/21		239,360			239,621
	United States Treasury Note/Bond	2.000%	12/31/21		214,378			216,052
	United States Treasury Note/Bond	2.125%	12/31/21		1,450			1,465
	United States Treasury Note/Bond	2.500%	1/15/22		248,720			253,112
	United States Treasury Note/Bond	1.500%	1/31/22		89,500			89,346

1

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
United States Treasury Note/Bond	1.875%	1/31/22		530,340			533,321
United States Treasury Note/Bond	2.000%	2/15/22		161,663			162,951
United States Treasury Note/Bond	2.500%	2/15/22		195,407			199,071
United States Treasury Note/Bond	1.750%	2/28/22		176,961			177,541
United States Treasury Note/Bond	1.875%	2/28/22		79,660			80,133
United States Treasury Note/Bond	2.375%	3/15/22		177,562			180,559
United States Treasury Note/Bond	1.750%	3/31/22		254,242			255,117
United States Treasury Note/Bond	1.875%	3/31/22		394,170			396,570
United States Treasury Note/Bond	2.250%	4/15/22		181,635			184,247
United States Treasury Note/Bond	1.750%	4/30/22		379,134			380,438
United States Treasury Note/Bond	1.875%	4/30/22		160,194			161,195
United States Treasury Note/Bond	1.750%	5/15/22		222,660			223,390
United States Treasury Note/Bond	2.125%	5/15/22		260,496			263,630
United States Treasury Note/Bond	1.750%	5/31/22		314,855			315,985
United States Treasury Note/Bond	1.875%	5/31/22		15,000			15,098
United States Treasury Note/Bond	1.750%	6/15/22		150,771			151,312
United States Treasury Note/Bond	1.750%	6/30/22		69,830			70,092
United States Treasury Note/Bond	2.125%	6/30/22		54,730			55,431
United States Treasury Note/Bond	1.750%	7/15/22		96,605			96,937
United States Treasury Note/Bond	1.875%	7/31/22		229,394			230,899
United States Treasury Note/Bond	2.000%	7/31/22		212,520			214,611
United States Treasury Note/Bond	1.500%	8/15/22		217,455			216,876
United States Treasury Note/Bond	1.625%	8/15/22		131,447			131,509
United States Treasury Note/Bond	1.625%	8/31/22		475,501			475,648
United States Treasury Note/Bond	1.875%	8/31/22		228,867			230,442
United States Treasury Note/Bond	1.500%	9/15/22		233,725			233,068
United States Treasury Note/Bond	1.750%	9/30/22		103,585			103,957
United States Treasury Note/Bond	1.875%	9/30/22		193,712			195,105
United States Treasury Note/Bond	1.375%	10/15/22		486,110			482,921
United States Treasury Note/Bond	1.875%	10/31/22		10,915			10,990
United States Treasury Note/Bond	2.000%	10/31/22		203,144			205,271
United States Treasury Note/Bond	1.625%	11/15/22		310,263			310,359
United States Treasury Note/Bond	2.000%	11/30/22		422,160			426,643
United States Treasury Note/Bond	1.625%	12/15/22		198,675			198,768
United States Treasury Note/Bond	2.125%	12/31/22		431,477			437,815
United States Treasury Note/Bond	1.750%	1/31/23		39,330			39,477
United States Treasury Note/Bond	2.375%	1/31/23		454,278			464,499
United States Treasury Note/Bond	2.000%	2/15/23		35,000			35,388
United States Treasury Note/Bond	1.500%	2/28/23		366,606			365,118
United States Treasury Note/Bond	2.625%	2/28/23		551,203			567,998
United States Treasury Note/Bond	1.500%	3/31/23		176,205			175,490
United States Treasury Note/Bond	2.500%	3/31/23		281,875			289,539
United States Treasury Note/Bond	1.625%	4/30/23		79,135			79,086
United States Treasury Note/Bond	2.750%	4/30/23		30,990			32,099
United States Treasury Note/Bond	1.750%	5/15/23		382,650			383,905
United States Treasury Note/Bond	1.625%	5/31/23		220,100			219,997
United States Treasury Note/Bond	2.750%	5/31/23		213,123			220,849
United States Treasury Note/Bond	1.375%	6/30/23		90,000			89,185
United States Treasury Note/Bond	2.625%	6/30/23		341,252			352,609
United States Treasury Note/Bond	1.250%	7/31/23		69,648			68,669
United States Treasury Note/Bond	2.750%	7/31/23		165,108			171,377
United States Treasury Note/Bond	2.500%	8/15/23		389,900			401,414
United States Treasury Note/Bond	1.375%	8/31/23		204,880			202,895
United States Treasury Note/Bond	2.750%	8/31/23		244,140			253,561
United States Treasury Note/Bond	1.375%	9/30/23		118,075			116,858
United States Treasury Note/Bond	2.875%	9/30/23		421,764			440,284
United States Treasury Note/Bond	1.625%	10/31/23		10,000			9,984
United States Treasury Note/Bond	2.875%	10/31/23		150,867			157,585
United States Treasury Note/Bond	2.750%	11/15/23		465,537			484,233
United States Treasury Note/Bond	2.125%	11/30/23		230,360			234,320
United States Treasury Note/Bond	2.875%	11/30/23		117,469			122,792
United States Treasury Note/Bond	2.250%	12/31/23		53,392			54,585
United States Treasury Note/Bond	2.625%	12/31/23		167,648			173,804
United States Treasury Note/Bond	2.250%	1/31/24		154,680			158,160

2

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	United States Treasury Note/Bond	2.500%	1/31/24		319,655			330,043
	United States Treasury Note/Bond	2.750%	2/15/24		299,077			311,787
	United States Treasury Note/Bond	2.125%	2/29/24		303,995			309,409
	United States Treasury Note/Bond	2.375%	2/29/24		333,228			342,495
	United States Treasury Note/Bond	2.125%	3/31/24		536,754			546,480
	United States Treasury Note/Bond	2.000%	4/30/24		95,635			96,890
	United States Treasury Note/Bond	2.250%	4/30/24		318,585			326,053
	United States Treasury Note/Bond	2.500%	5/15/24		430,309			444,965
	United States Treasury Note/Bond	2.000%	5/31/24		478,278			484,553
	United States Treasury Note/Bond	1.750%	6/30/24		163,738			164,147
	United States Treasury Note/Bond	2.000%	6/30/24		227,460			230,444
	United States Treasury Note/Bond	1.750%	7/31/24		237,309			237,940
	United States Treasury Note/Bond	2.125%	7/31/24		192,650			196,262
	United States Treasury Note/Bond	2.375%	8/15/24		460,333			474,069
	United States Treasury Note/Bond	1.250%	8/31/24		215,108			210,873
	United States Treasury Note/Bond	1.875%	8/31/24		160,978			162,261
	United States Treasury Note/Bond	1.500%	9/30/24		220,815			218,883
	United States Treasury Note/Bond	2.125%	9/30/24		356,595			363,506
	United States Treasury Note/Bond	1.500%	10/31/24		257,844			255,588
	United States Treasury Note/Bond	2.250%	10/31/24		373,255			382,818
	United States Treasury Note/Bond	2.250%	11/15/24		447,300			458,693
	United States Treasury Note/Bond	1.500%	11/30/24		149,822			148,535
	United States Treasury Note/Bond	1.750%	12/31/24		319,570			320,420
	United States Treasury Note/Bond	2.250%	12/31/24		120,000			123,131
	United States Treasury Note/Bond	2.500%	1/31/25		75,325			78,220
								32,848,074
Agency Bonds and Notes (2.0%)
1	AID-Iraq	2.149%	1/18/22		9,755			9,828
1	AID-Israel	5.500%	9/18/23		4,300			4,874
1	AID-Israel	5.500%	12/4/23		8,000			9,114
1	AID-Israel	5.500%	4/26/24		12,058			13,883
1	AID-Jordan	2.578%	6/30/22		3,200			3,256
1	AID-Tunisia	2.452%	7/24/21		2,175			2,197
1	AID-Tunisia	1.416%	8/5/21		4,885			4,860
1	AID-Ukraine	1.471%	9/29/21		10,305			10,256
	Federal Farm Credit Banks	2.550%	3/11/21		11,275			11,400
	Federal Farm Credit Banks	2.230%	4/5/21		11,000			11,082
	Federal Farm Credit Banks	3.050%	11/15/21		5,175			5,310
	Federal Farm Credit Banks	2.600%	1/18/22		5,000			5,097
	Federal Farm Credit Banks	1.770%	6/26/23		4,600			4,618
	Federal Farm Credit Banks	3.500%	12/20/23		4,250			4,542
	Federal Farm Credit Banks	1.600%	12/28/21		6,455			6,451
	Federal Home Loan Banks	1.375%	2/18/21		18,000			17,955
	Federal Home Loan Banks	5.625%	6/11/21		13,465			14,228
	Federal Home Loan Banks	1.875%	7/7/21		27,090			27,189
	Federal Home Loan Banks	1.125%	7/14/21		18,400			18,260
	Federal Home Loan Banks	3.000%	10/12/21		50,000			51,196
	Federal Home Loan Banks	1.625%	11/19/21		19,020			19,019
	Federal Home Loan Banks	1.875%	11/29/21		52,600			52,842
	Federal Home Loan Banks	1.625%	12/20/21		6,700			6,700
	Federal Home Loan Banks	2.125%	6/10/22		5,650			5,714
	Federal Home Loan Banks	2.125%	3/10/23		8,950			9,080
	Federal Home Loan Banks	2.500%	2/13/24		34,710			35,775
	Federal Home Loan Banks	2.875%	6/14/24		20,000			20,964
	Federal Home Loan Banks	1.500%	8/15/24		9,970			9,858
	Federal Home Loan Banks	5.375%	8/15/24		100			116
	Federal Home Loan Banks	2.875%	9/13/24		20,000			21,006
2	Federal Home Loan Mortgage Corp.	2.375%	2/16/21		35,000			35,301
2	Federal Home Loan Mortgage Corp.	1.125%	8/12/21		19,000			18,848
2	Federal Home Loan Mortgage Corp.	2.375%	1/13/22		91,915			93,280
2	Federal Home Loan Mortgage Corp.	2.750%	6/19/23		20,000			20,735
2	Federal National Mortgage Assn.	1.375%	2/26/21		21,400			21,345
2	Federal National Mortgage Assn.	2.500%	4/13/21		20,000			20,220
2	Federal National Mortgage Assn.	1.250%	5/6/21		250			249

3

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
2	Federal National Mortgage Assn.	2.750%	6/22/21		8,906			9,051
2	Federal National Mortgage Assn.	1.250%	8/17/21		30,485			30,300
2	Federal National Mortgage Assn.	1.375%	10/7/21		40,100			39,924
2	Federal National Mortgage Assn.	2.000%	1/5/22		40,815			41,113
2	Federal National Mortgage Assn.	2.625%	1/11/22		10,798			11,011
2	Federal National Mortgage Assn.	1.875%	4/5/22		1,070			1,076
2	Federal National Mortgage Assn.	2.250%	4/12/22		28,571			28,966
2	Federal National Mortgage Assn.	1.375%	9/6/22		10,875			10,797
2	Federal National Mortgage Assn.	2.000%	10/5/22		26,250			26,498
2	Federal National Mortgage Assn.	2.375%	1/19/23		19,149			19,557
2	Federal National Mortgage Assn.	2.875%	9/12/23		4,590			4,788
2	Federal National Mortgage Assn.	2.500%	2/5/24		14,133			14,564
2	Federal National Mortgage Assn.	1.750%	7/2/24		15,414			15,418
2	Federal National Mortgage Assn.	2.625%	9/6/24		83,865			87,206
	Private Export Funding Corp.	4.300%	12/15/21		9,940			10,438
	Private Export Funding Corp.	2.800%	5/15/22		3,725			3,812
	Private Export Funding Corp.	2.050%	11/15/22		10,276			10,326
	Private Export Funding Corp.	3.550%	1/15/24		3,500			3,715
	Private Export Funding Corp.	2.450%	7/15/24		3,350			3,419
	Private Export Funding Corp.	1.750%	11/15/24		2,130			2,118
	Resolution Funding Corp.	8.625%	1/15/21		850			910
	Tennessee Valley Authority	3.875%	2/15/21		6,100			6,240
	Tennessee Valley Authority	1.875%	8/15/22		8,175			8,193
	Tennessee Valley Authority	2.875%	9/15/24		7,875			8,228
								1,024,316
Total U.S. Government and Agency Obligations (Cost $33,536,781)								33,872,390
Corporate Bonds (25.1%)
Finance (10.5%)
	Banking (8.6%)
	Ally Financial Inc.	4.125%	2/13/22		4,800			4,950
	Ally Financial Inc.	3.875%	5/21/24		3,700			3,867
	Ally Financial Inc.	5.125%	9/30/24		4,230			4,658
	American Express Co.	3.000%	2/22/21		6,200			6,264
	American Express Co.	3.375%	5/17/21		13,974			14,229
	American Express Co.	3.700%	11/5/21		12,350			12,719
	American Express Co.	2.750%	5/20/22		2,700			2,745
	American Express Co.	2.500%	8/1/22		7,111			7,190
	American Express Co.	2.650%	12/2/22		5,048			5,142
	American Express Co.	3.400%	2/27/23		7,753			8,032
	American Express Co.	3.700%	8/3/23		5,825			6,130
	American Express Co.	3.400%	2/22/24		11,000			11,490
	American Express Co.	2.500%	7/30/24		6,000			6,062
	American Express Co.	3.000%	10/30/24		10,741			11,085
	American Express Co.	3.625%	12/5/24		2,460			2,594
	American Express Credit Corp.	2.250%	5/5/21		15,799			15,872
	American Express Credit Corp.	2.700%	3/3/22		13,526			13,740
	Associated Bank NA	3.500%	8/13/21		3,000			3,053
	Australia & New Zealand Banking Group Ltd.	2.300%	6/1/21		6,175			6,197
	Australia & New Zealand Banking Group Ltd.	2.550%	11/23/21		6,050			6,114
	Australia & New Zealand Banking Group Ltd.	2.625%	5/19/22		2,290			2,323
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22		9,085			9,248
	Banco Santander SA	3.500%	4/11/22		3,243			3,325
	Banco Santander SA	3.125%	2/23/23		6,275			6,402
	Banco Santander SA	3.848%	4/12/23		9,830			10,224
	Banco Santander SA	2.706%	6/27/24		4,053			4,105
	Bancolombia SA	5.950%	6/3/21		6,575			6,904
	Bank of America Corp.	2.625%	4/19/21		15,398			15,533
	Bank of America Corp.	5.000%	5/13/21		75			78
3	Bank of America Corp.	2.738%	1/23/22		4,990			5,026
3	Bank of America Corp.	3.499%	5/17/22		19,098			19,455
	Bank of America Corp.	2.503%	10/21/22		22,004			22,188
	Bank of America Corp.	3.300%	1/11/23		31,452			32,527

4

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3	Bank of America Corp.	3.124%	1/20/23		14,861			15,120
3	Bank of America Corp.	2.881%	4/24/23		16,075			16,297
3	Bank of America Corp.	2.816%	7/21/23		18,320			18,572
	Bank of America Corp.	4.100%	7/24/23		11,100			11,820
	Bank of America Corp.	3.004%	12/20/23		60,865			62,194
	Bank of America Corp.	4.125%	1/22/24		2,000			2,151
3	Bank of America Corp.	3.550%	3/5/24		33,905			35,071
	Bank of America Corp.	4.000%	4/1/24		4,210			4,506
3	Bank of America Corp.	3.864%	7/23/24		14,000			14,730
	Bank of America Corp.	4.200%	8/26/24		21,657			23,233
3	Bank of America Corp.	3.093%	10/1/25		25,000			25,751
3	Bank of America Corp.	2.456%	10/22/25		15,000			15,049
	Bank of Montreal	3.100%	4/13/21		18,400			18,666
	Bank of Montreal	1.900%	8/27/21		15,566			15,585
	Bank of Montreal	2.900%	3/26/22		8,800			8,960
	Bank of Montreal	3.300%	2/5/24		8,000			8,329
	Bank of Montreal	2.500%	6/28/24		6,850			6,907
3	Bank of Montreal	4.338%	10/5/28		5,395			5,692
3	Bank of Montreal	4.800%	12/31/49		117			120
	Bank of New York Mellon Corp.	4.150%	2/1/21		1,348			1,377
	Bank of New York Mellon Corp.	2.500%	4/15/21		1,827			1,837
	Bank of New York Mellon Corp.	2.050%	5/3/21		9,829			9,854
	Bank of New York Mellon Corp.	3.550%	9/23/21		285			293
	Bank of New York Mellon Corp.	2.600%	2/7/22		13,121			13,305
	Bank of New York Mellon Corp.	1.950%	8/23/22		2,725			2,729
	Bank of New York Mellon Corp.	2.950%	1/29/23		8,902			9,137
	Bank of New York Mellon Corp.	3.500%	4/28/23		3,025			3,171
3	Bank of New York Mellon Corp.	2.661%	5/16/23		8,675			8,802
	Bank of New York Mellon Corp.	3.450%	8/11/23		3,775			3,955
	Bank of New York Mellon Corp.	2.200%	8/16/23		7,870			7,958
	Bank of New York Mellon Corp.	3.400%	5/15/24		3,040			3,202
	Bank of New York Mellon Corp.	3.250%	9/11/24		11,124			11,672
	Bank of Nova Scotia	2.500%	1/8/21		1,680			1,688
	Bank of Nova Scotia	4.375%	1/13/21		3,176			3,253
	Bank of Nova Scotia	3.125%	4/20/21		4,400			4,464
	Bank of Nova Scotia	2.800%	7/21/21		805			816
	Bank of Nova Scotia	2.700%	3/7/22		22,984			23,360
	Bank of Nova Scotia	2.450%	9/19/22		2,146			2,173
	Bank of Nova Scotia	2.000%	11/15/22		3,700			3,704
	Bank of Nova Scotia	2.375%	1/18/23		2,700			2,728
	Bank of Nova Scotia	3.400%	2/11/24		7,800			8,151
	Barclays Bank plc	2.650%	1/11/21		17,500			17,598
	Barclays plc	3.250%	1/12/21		8,855			8,917
	Barclays plc	3.200%	8/10/21		9,860			9,976
	Barclays plc	3.684%	1/10/23		6,740			6,901
3	Barclays plc	4.338%	5/16/24		10,000			10,488
3	Barclays plc	3.932%	5/7/25		5,650			5,935
	BBVA USA	3.500%	6/11/21		7,750			7,876
	BBVA USA	2.875%	6/29/22		8,880			8,999
	BNP Paribas SA	5.000%	1/15/21		7,181			7,391
	BNP Paribas SA	3.250%	3/3/23		5,299			5,491
	BNP Paribas SA	4.250%	10/15/24		7,745			8,249
	BPCE SA	2.650%	2/3/21		5,796			5,831
	BPCE SA	2.750%	12/2/21		7,350			7,456
4	BPCE SA	3.000%	5/22/22		6,000			6,102
	BPCE SA	4.000%	4/15/24		6,076			6,501
	Canadian Imperial Bank of Commerce	2.700%	2/2/21		2,598			2,617
	Canadian Imperial Bank of Commerce	2.550%	6/16/22		7,525			7,616
3	Canadian Imperial Bank of Commerce	2.606%	7/22/23		1,000			1,009
	Canadian Imperial Bank of Commerce	3.500%	9/13/23		7,150			7,505
	Canadian Imperial Bank of Commerce	3.100%	4/2/24		8,180			8,422
	Capital One Bank USA NA	3.375%	2/15/23		11,650			12,001
	Capital One Financial Corp.	3.450%	4/30/21		9,474			9,639
	Capital One Financial Corp.	4.750%	7/15/21		9,188			9,551

5

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Capital One Financial Corp.	3.050%	3/9/22		7,777			7,934
	Capital One Financial Corp.	3.500%	6/15/23		3,080			3,197
	Capital One Financial Corp.	3.900%	1/29/24		1,750			1,856
	Capital One Financial Corp.	3.750%	4/24/24		3,786			3,972
	Capital One Financial Corp.	3.300%	10/30/24		10,010			10,327
	Capital One NA	2.950%	7/23/21		10,905			11,057
	Capital One NA	2.250%	9/13/21		11,558			11,594
	Capital One NA	2.650%	8/8/22		6,183			6,274
	Capital One NA	2.150%	9/6/22		1,140			1,141
	Citibank NA	2.850%	2/12/21		11,565			11,658
	Citibank NA	3.400%	7/23/21		7,100			7,242
3	Citibank NA	3.165%	2/19/22		3,300			3,341
3	Citibank NA	2.844%	5/20/22		7,845			7,941
	Citibank NA	3.650%	1/23/24		5,000			5,279
	Citigroup Inc.	2.700%	3/30/21		12,914			13,007
	Citigroup Inc.	2.350%	8/2/21		14,920			14,994
	Citigroup Inc.	2.900%	12/8/21		29,027			29,459
	Citigroup Inc.	4.500%	1/14/22		17,618			18,454
	Citigroup Inc.	2.750%	4/25/22		20,914			21,251
	Citigroup Inc.	4.050%	7/30/22		5,580			5,829
	Citigroup Inc.	2.700%	10/27/22		7,835			7,960
3	Citigroup Inc.	2.312%	11/4/22		5,525			5,539
3	Citigroup Inc.	3.142%	1/24/23		4,315			4,388
	Citigroup Inc.	3.500%	5/15/23		12,707			13,170
3	Citigroup Inc.	2.876%	7/24/23		14,105			14,344
	Citigroup Inc.	3.875%	10/25/23		12,585			13,363
3	Citigroup Inc.	4.044%	6/1/24		12,735			13,479
	Citigroup Inc.	3.750%	6/16/24		8,741			9,281
3	Citigroup Inc.	3.352%	4/24/25		11,125			11,570
	Citizens Bank NA	2.550%	5/13/21		7,821			7,870
	Citizens Bank NA	3.250%	2/14/22		6,705			6,863
	Citizens Bank NA	2.650%	5/26/22		3,944			3,999
	Citizens Bank NA	3.700%	3/29/23		3,700			3,866
	Citizens Financial Group Inc.	2.375%	7/28/21		2,750			2,756
	Comerica Bank	2.500%	7/23/24		1,780			1,800
	Comerica Inc.	3.700%	7/31/23		11,425			11,992
	Commonwealth Bank of Australia	2.550%	3/15/21		6,355			6,393
4	Commonwealth Bank of Australia	3.350%	6/4/24		5,000			5,226
	Cooperatieve Rabobank UA	4.500%	1/11/21		1,291			1,322
	Cooperatieve Rabobank UA	2.500%	1/19/21		24,993			25,109
	Cooperatieve Rabobank UA	2.750%	1/10/22		8,103			8,218
	Cooperatieve Rabobank UA	3.875%	2/8/22		15,756			16,407
	Cooperatieve Rabobank UA	3.950%	11/9/22		8,720			9,096
	Cooperatieve Rabobank UA	2.750%	1/10/23		1,700			1,727
	Cooperatieve Rabobank UA	4.625%	12/1/23		19,777			21,441
	Credit Suisse AG	3.000%	10/29/21		14,100			14,361
	Credit Suisse AG	2.100%	11/12/21		3,150			3,157
	Credit Suisse AG	3.625%	9/9/24		25,344			26,906
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20		8,777			8,855
	Credit Suisse Group Funding Guernsey Ltd.	3.450%	4/16/21		10,490			10,646
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	9/15/22		10,664			11,084
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	6/9/23		7,805			8,165
	Deutsche Bank AG	3.125%	1/13/21		10,025			10,047
	Deutsche Bank AG	3.150%	1/22/21		8,725			8,760
	Deutsche Bank AG	4.250%	2/4/21		2,175			2,204
	Deutsche Bank AG	3.375%	5/12/21		3,340			3,361
	Deutsche Bank AG	4.250%	10/14/21		12,400			12,747
	Deutsche Bank AG	5.000%	2/14/22		6,850			7,151
	Deutsche Bank AG	3.300%	11/16/22		8,426			8,508
	Deutsche Bank AG	3.950%	2/27/23		11,480			11,737
	Deutsche Bank AG	3.700%	5/30/24		10,030			10,238
	Discover Bank	3.200%	8/9/21		2,711			2,754
	Discover Bank	3.350%	2/6/23		2,000			2,059
	Discover Bank	4.200%	8/8/23		11,083			11,773

6

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Discover Bank	2.450%	9/12/24		6,225			6,192
3	Discover Bank	4.682%	8/9/28		3,300			3,443
	Discover Financial Services	3.850%	11/21/22		6,074			6,344
	Discover Financial Services	3.950%	11/6/24		636			674
	Fifth Third Bancorp	3.500%	3/15/22		4,072			4,195
	Fifth Third Bancorp	4.300%	1/16/24		7,048			7,560
	Fifth Third Bancorp	3.650%	1/25/24		11,870			12,486
	Fifth Third Bank	2.250%	6/14/21		10,068			10,107
	Fifth Third Bank	3.350%	7/26/21		6,250			6,380
	Fifth Third Bank	2.875%	10/1/21		3,941			3,999
	First Horizon National Corp.	3.500%	12/15/20		5,558			5,616
	First Republic Bank	2.500%	6/6/22		7,625			7,694
	Goldman Sachs Group Inc.	2.600%	12/27/20		2,720			2,725
	Goldman Sachs Group Inc.	2.875%	2/25/21		9,478			9,567
	Goldman Sachs Group Inc.	2.625%	4/25/21		13,731			13,826
	Goldman Sachs Group Inc.	5.250%	7/27/21		31,282			32,794
	Goldman Sachs Group Inc.	2.350%	11/15/21		9,624			9,657
	Goldman Sachs Group Inc.	5.750%	1/24/22		28,441			30,436
	Goldman Sachs Group Inc.	3.000%	4/26/22		17,881			18,116
3	Goldman Sachs Group Inc.	2.876%	10/31/22		16,213			16,409
	Goldman Sachs Group Inc.	3.625%	1/22/23		4,980			5,170
	Goldman Sachs Group Inc.	3.200%	2/23/23		861			885
3	Goldman Sachs Group Inc.	2.908%	6/5/23		7,006			7,115
3	Goldman Sachs Group Inc.	2.905%	7/24/23		16,031			16,279
	Goldman Sachs Group Inc.	3.625%	2/20/24		16,250			17,056
	Goldman Sachs Group Inc.	4.000%	3/3/24		26,314			27,941
	Goldman Sachs Group Inc.	3.850%	7/8/24		10,050			10,598
3	Goldman Sachs Group Inc.	3.272%	9/29/25		30,020			30,981
	HSBC Holdings plc	3.400%	3/8/21		4,622			4,691
	HSBC Holdings plc	5.100%	4/5/21		7,622			7,896
	HSBC Holdings plc	2.950%	5/25/21		20,413			20,660
	HSBC Holdings plc	2.650%	1/5/22		19,345			19,556
	HSBC Holdings plc	4.875%	1/14/22		3,744			3,946
	HSBC Holdings plc	4.000%	3/30/22		5,336			5,552
3	HSBC Holdings plc	3.262%	3/13/23		20,320			20,762
	HSBC Holdings plc	3.600%	5/25/23		15,855			16,489
3	HSBC Holdings plc	3.033%	11/22/23		14,950			15,256
	HSBC Holdings plc	4.250%	3/14/24		1,484			1,575
3	HSBC Holdings plc	3.950%	5/18/24		17,350			18,194
3	HSBC Holdings plc	3.803%	3/11/25		24,275			25,476
3	HSBC Holdings plc	2.633%	11/7/25		21,725			21,674
	HSBC USA Inc.	3.500%	6/23/24		5,395			5,708
	Huntington Bancshares Inc.	7.000%	12/15/20		1,250			1,305
	Huntington Bancshares Inc.	3.150%	3/14/21		7,719			7,801
	Huntington Bancshares Inc.	2.300%	1/14/22		2,270			2,279
	Huntington Bancshares Inc.	2.625%	8/6/24		6,285			6,371
	Huntington National Bank	3.250%	5/14/21		5,450			5,539
	Huntington National Bank	3.125%	4/1/22		3,500			3,569
	Huntington National Bank	2.500%	8/7/22		8,750			8,848
	Huntington National Bank	3.550%	10/6/23		500			523
	ING Groep NV	3.150%	3/29/22		6,517			6,652
	ING Groep NV	4.100%	10/2/23		13,650			14,470
	ING Groep NV	3.550%	4/9/24		5,890			6,166
	JPMorgan Chase & Co.	2.550%	3/1/21		20,140			20,253
	JPMorgan Chase & Co.	4.625%	5/10/21		12,850			13,307
	JPMorgan Chase & Co.	2.400%	6/7/21		8,436			8,489
	JPMorgan Chase & Co.	2.295%	8/15/21		11,534			11,554
	JPMorgan Chase & Co.	4.350%	8/15/21		18,064			18,735
	JPMorgan Chase & Co.	4.500%	1/24/22		18,879			19,798
3	JPMorgan Chase & Co.	3.514%	6/18/22		11,000			11,233
	JPMorgan Chase & Co.	3.250%	9/23/22		17,255			17,833
	JPMorgan Chase & Co.	2.972%	1/15/23		12,525			12,769
	JPMorgan Chase & Co.	3.200%	1/25/23		15,947			16,448
3	JPMorgan Chase & Co.	3.207%	4/1/23		16,739			17,103

7

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3	JPMorgan Chase & Co.	2.776%	4/25/23		10,340			10,462
	JPMorgan Chase & Co.	3.375%	5/1/23		16,054			16,666
	JPMorgan Chase & Co.	2.700%	5/18/23		14,863			15,137
	JPMorgan Chase & Co.	3.875%	2/1/24		13,200			14,118
3	JPMorgan Chase & Co.	3.559%	4/23/24		23,030			24,002
	JPMorgan Chase & Co.	3.625%	5/13/24		21,388			22,605
3	JPMorgan Chase & Co.	3.797%	7/23/24		13,935			14,682
	JPMorgan Chase & Co.	3.875%	9/10/24		11,398			12,190
3	JPMorgan Chase & Co.	3.220%	3/1/25		14,450			14,927
3	JPMorgan Chase & Co.	2.301%	10/15/25		25,725			25,693
	KeyBank NA	3.350%	6/15/21		3,565			3,639
	KeyBank NA	2.500%	11/22/21		5,910			5,975
	KeyBank NA	2.400%	6/9/22		7,490			7,571
	KeyBank NA	2.300%	9/14/22		4,420			4,463
	KeyBank NA	3.375%	3/7/23		2,850			2,962
3	KeyBank NA	3.180%	10/15/27		2,125			2,168
	KeyCorp	5.100%	3/24/21		6,844			7,098
	Lloyds Bank plc	6.375%	1/21/21		2,942			3,061
	Lloyds Bank plc	3.300%	5/7/21		8,091			8,219
	Lloyds Bank plc	2.250%	8/14/22		2,000			2,008
	Lloyds Banking Group plc	3.100%	7/6/21		75			76
	Lloyds Banking Group plc	3.000%	1/11/22		15,050			15,279
3	Lloyds Banking Group plc	2.858%	3/17/23		7,775			7,849
	Lloyds Banking Group plc	4.050%	8/16/23		13,050			13,770
3	Lloyds Banking Group plc	2.907%	11/7/23		10,500			10,652
	Lloyds Banking Group plc	4.500%	11/4/24		5,047			5,381
	M&T Bank Corp.	3.550%	7/26/23		7,000			7,356
	Manufacturers & Traders Trust Co.	2.625%	1/25/21		8,670			8,708
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21		8,985			9,073
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21		6,500			6,645
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21		7,025			7,035
	Mitsubishi UFJ Financial Group Inc.	2.998%	2/22/22		9,700			9,878
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22		6,550			6,703
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22		11,075			11,218
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22		16,943			17,185
	Mitsubishi UFJ Financial Group Inc.	3.455%	3/2/23		9,803			10,157
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23		13,100			13,760
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23		3,700			3,724
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24		6,575			6,855
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24		7,225			7,357
	Mizuho Financial Group Inc.	2.273%	9/13/21		1,900			1,905
	Mizuho Financial Group Inc.	2.953%	2/28/22		8,650			8,798
	Mizuho Financial Group Inc.	3.549%	3/5/23		8,940			9,309
3	Mizuho Financial Group Inc.	2.721%	7/16/23		8,400			8,481
3	Mizuho Financial Group Inc.	3.922%	9/11/24		6,075			6,370
3	Mizuho Financial Group Inc.	2.839%	7/16/25		10,500			10,589
3	Mizuho Financial Group Inc.	2.555%	9/13/25		3,100			3,092
	Morgan Stanley	5.750%	1/25/21		11,427			11,847
	Morgan Stanley	2.500%	4/21/21		17,179			17,254
	Morgan Stanley	5.500%	7/28/21		17,984			18,931
	Morgan Stanley	2.625%	11/17/21		21,007			21,243
	Morgan Stanley	2.750%	5/19/22		16,143			16,425
	Morgan Stanley	4.875%	11/1/22		13,667			14,635
	Morgan Stanley	3.125%	1/23/23		8,164			8,385
	Morgan Stanley	3.750%	2/25/23		24,714			25,811
	Morgan Stanley	4.100%	5/22/23		16,058			16,899
3	Morgan Stanley	3.737%	4/24/24		13,505			14,063
	Morgan Stanley	3.875%	4/29/24		30,100			31,930
	Morgan Stanley	3.700%	10/23/24		21,665			22,949
3	Morgan Stanley	2.720%	7/22/25		1,500			1,514
	Morgan Stanley	4.000%	7/23/25		3,290			3,558
	MUFG Americas Holdings Corp.	3.500%	6/18/22		3,500			3,622
	MUFG Union Bank NA	3.150%	4/1/22		18,442			18,856
	MUFG Union Bank NA	2.100%	12/9/22		1,590			1,593

8

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	National Australia Bank Ltd.	2.625%	1/14/21		4,881			4,909
	National Australia Bank Ltd.	1.875%	7/12/21		5,540			5,533
	National Australia Bank Ltd.	3.375%	9/20/21		5,000			5,120
	National Australia Bank Ltd.	3.700%	11/4/21		8,500			8,770
	National Australia Bank Ltd.	2.800%	1/10/22		6,000			6,095
	National Australia Bank Ltd.	2.500%	5/22/22		5,265			5,328
	National Australia Bank Ltd.	3.000%	1/20/23		5,031			5,152
	National Australia Bank Ltd.	3.625%	6/20/23		5,000			5,231
	Northern Trust Corp.	3.375%	8/23/21		3,271			3,348
	Northern Trust Corp.	2.375%	8/2/22		1,845			1,861
	People's United Bank NA	4.000%	7/15/24		100			104
	People's United Financial Inc.	3.650%	12/6/22		3,700			3,843
	PNC Bank NA	2.500%	1/22/21		3,250			3,264
	PNC Bank NA	2.150%	4/29/21		3,381			3,388
	PNC Bank NA	2.550%	12/9/21		7,985			8,051
	PNC Bank NA	2.625%	2/17/22		16,185			16,352
3	PNC Bank NA	2.232%	7/22/22		4,500			4,509
	PNC Bank NA	2.700%	11/1/22		5,741			5,796
3	PNC Bank NA	2.028%	12/9/22		7,420			7,426
	PNC Bank NA	2.950%	1/30/23		8,525			8,697
	PNC Bank NA	3.500%	6/8/23		4,000			4,165
	PNC Bank NA	3.800%	7/25/23		1,000			1,047
	PNC Bank NA	3.300%	10/30/24		14,033			14,593
	PNC Financial Services Group Inc.	2.854%	11/9/22		4,520			4,599
	PNC Financial Services Group Inc.	3.500%	1/23/24		7,029			7,377
	PNC Financial Services Group Inc.	3.900%	4/29/24		8,500			8,933
	Regions Bank	2.750%	4/1/21		6,690			6,736
3	Regions Bank	3.374%	8/13/21		4,500			4,534
	Regions Financial Corp.	2.750%	8/14/22		7,657			7,788
	Regions Financial Corp.	3.800%	8/14/23		4,250			4,481
	Royal Bank of Canada	2.500%	1/19/21		7,467			7,499
	Royal Bank of Canada	3.200%	4/30/21		11,978			12,190
	Royal Bank of Canada	2.750%	2/1/22		10,000			10,166
	Royal Bank of Canada	2.800%	4/29/22		7,200			7,336
	Royal Bank of Canada	3.700%	10/5/23		6,100			6,432
	Royal Bank of Canada	2.550%	7/16/24		6,725			6,825
	Royal Bank of Canada	2.250%	11/1/24		15,200			15,270
	Royal Bank of Scotland Group plc	6.125%	12/15/22		7,485			8,188
3	Royal Bank of Scotland Group plc	3.498%	5/15/23		9,755			9,961
	Royal Bank of Scotland Group plc	6.100%	6/10/23		10,974			12,058
	Royal Bank of Scotland Group plc	3.875%	9/12/23		18,851			19,705
	Royal Bank of Scotland Group plc	6.000%	12/19/23		11,697			13,001
	Royal Bank of Scotland Group plc	5.125%	5/28/24		14,550			15,754
3	Royal Bank of Scotland Group plc	4.519%	6/25/24		15,700			16,640
3	Royal Bank of Scotland Group plc	4.269%	3/22/25		2,367			2,511
	Santander Holdings USA Inc.	4.450%	12/3/21		2,100			2,177
	Santander Holdings USA Inc.	3.400%	1/18/23		9,825			10,070
	Santander Holdings USA Inc.	3.500%	6/7/24		7,000			7,194
4	Santander Holdings USA Inc.	3.244%	10/5/26		11,149			11,200
	Santander UK Group Holdings plc	3.125%	1/8/21		10,245			10,329
	Santander UK Group Holdings plc	2.875%	8/5/21		4,380			4,422
3	Santander UK Group Holdings plc	3.373%	1/5/24		12,500			12,764
3	Santander UK Group Holdings plc	4.796%	11/15/24		10,950			11,807
	Santander UK plc	3.400%	6/1/21		9,285			9,471
	Santander UK plc	3.750%	11/15/21		6,850			7,058
	Santander UK plc	4.000%	3/13/24		6,641			7,073
	Santander UK plc	2.875%	6/18/24		6,745			6,884
	Skandinaviska Enskilda Banken AB	2.625%	3/15/21		7,695			7,745
	Skandinaviska Enskilda Banken AB	1.875%	9/13/21		9,600			9,566
	Skandinaviska Enskilda Banken AB	2.800%	3/11/22		4,840			4,910
	State Street Corp.	4.375%	3/7/21		7,292			7,502
	State Street Corp.	1.950%	5/19/21		425			425
3	State Street Corp.	2.653%	5/15/23		9,095			9,234
	State Street Corp.	3.100%	5/15/23		3,260			3,348

9

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	State Street Corp.	3.700%	11/20/23		5,550			5,899
3	State Street Corp.	3.776%	12/3/24		4,100			4,322
	State Street Corp.	3.300%	12/16/24		9,658			10,184
3	State Street Corp.	2.354%	11/1/25		5,000			5,006
	Sumitomo Mitsui Banking Corp.	3.200%	7/18/22		2,360			2,424
	Sumitomo Mitsui Financial Group Inc.	2.934%	3/9/21		11,632			11,767
	Sumitomo Mitsui Financial Group Inc.	2.058%	7/14/21		10,347			10,359
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21		10,596			10,667
	Sumitomo Mitsui Financial Group Inc.	2.846%	1/11/22		2,379			2,413
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22		7,487			7,614
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22		6,386			6,484
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23		14,250			14,574
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23		5,300			5,553
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23		8,269			8,745
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24		12,675			12,846
	Sumitomo Mitsui Financial Group Inc.	2.448%	9/27/24		3,400			3,405
	Svenska Handelsbanken AB	2.450%	3/30/21		16,433			16,528
	Svenska Handelsbanken AB	3.350%	5/24/21		5,840			5,948
	Svenska Handelsbanken AB	1.875%	9/7/21		3,932			3,923
	Svenska Handelsbanken AB	3.900%	11/20/23		5,118			5,478
	Synchrony Bank	3.650%	5/24/21		4,830			4,925
	Synchrony Bank	3.000%	6/15/22		955			973
	Synchrony Financial	3.750%	8/15/21		2,511			2,567
	Synchrony Financial	2.850%	7/25/22		2,350			2,381
	Synchrony Financial	4.375%	3/19/24		4,000			4,252
	Synchrony Financial	4.250%	8/15/24		9,740			10,392
	Synovus Financial Corp.	3.125%	11/1/22		2,200			2,227
	Toronto-Dominion Bank	2.500%	12/14/20		9,915			9,970
	Toronto-Dominion Bank	2.550%	1/25/21		8,050			8,096
	Toronto-Dominion Bank	2.125%	4/7/21		13,010			13,056
	Toronto-Dominion Bank	3.250%	6/11/21		4,481			4,574
	Toronto-Dominion Bank	1.800%	7/13/21		15,013			15,008
	Toronto-Dominion Bank	1.900%	12/1/22		7,200			7,201
	Toronto-Dominion Bank	3.500%	7/19/23		12,633			13,300
	Toronto-Dominion Bank	3.250%	3/11/24		4,600			4,800
	Toronto-Dominion Bank	2.650%	6/12/24		9,100			9,276
	Truist Bank	2.850%	4/1/21		2,425			2,449
3	Truist Bank	3.525%	10/26/21		125			126
	Truist Bank	2.625%	1/15/22		7,135			7,223
	Truist Bank	2.800%	5/17/22		6,665			6,782
	Truist Bank	2.450%	8/1/22		12,618			12,746
3	Truist Bank	3.502%	8/2/22		6,420			6,556
	Truist Bank	3.000%	2/2/23		5,135			5,258
	Truist Bank	2.750%	5/1/23		1,375			1,395
	Truist Bank	3.200%	4/1/24		13,275			13,781
3	Truist Bank	3.689%	8/2/24		12,813			13,422
	Truist Bank	2.150%	12/6/24		5,500			5,489
	Truist Financial Corp	2.900%	3/3/21		6,976			7,034
	Truist Financial Corp.	2.150%	2/1/21		5,444			5,454
	Truist Financial Corp.	2.050%	5/10/21		7,202			7,207
	Truist Financial Corp.	3.200%	9/3/21		4,645			4,738
	Truist Financial Corp.	2.700%	1/27/22		2,202			2,232
	Truist Financial Corp.	3.950%	3/22/22		6,500			6,733
	Truist Financial Corp.	2.750%	4/1/22		7,515			7,646
	Truist Financial Corp.	3.050%	6/20/22		9,850			10,048
	Truist Financial Corp.	3.750%	12/6/23		4,100			4,333
	Truist Financial Corp.	2.500%	8/1/24		2,345			2,373
	Truist Financial Corp.	2.850%	10/26/24		11,847			12,242
	US Bancorp	2.350%	1/29/21		8,735			8,773
	US Bancorp	4.125%	5/24/21		2,793			2,873
	US Bancorp	2.625%	1/24/22		12,255			12,438
	US Bancorp	3.000%	3/15/22		7,080			7,241
	US Bancorp	2.950%	7/15/22		9,976			10,229
	US Bancorp	3.700%	1/30/24		6,585			6,998

10

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	US Bancorp	3.375%	2/5/24		7,600			7,954
	US Bancorp	2.400%	7/30/24		6,825			6,908
	US Bancorp	3.600%	9/11/24		842			893
	US Bank NA	3.150%	4/26/21		2,000			2,030
	US Bank NA	3.450%	11/16/21		4,000			4,114
	US Bank NA	2.650%	5/23/22		7,550			7,681
	US Bank NA	1.950%	1/9/23		9,470			9,479
	US Bank NA	2.850%	1/23/23		6,485			6,655
	US Bank NA	3.400%	7/24/23		6,100			6,380
	Wells Fargo & Co.	2.550%	12/7/20		14,381			14,444
	Wells Fargo & Co.	3.000%	1/22/21		12,042			12,178
	Wells Fargo & Co.	2.500%	3/4/21		6,942			6,990
	Wells Fargo & Co.	4.600%	4/1/21		20,194			20,811
	Wells Fargo & Co.	2.100%	7/26/21		19,583			19,615
	Wells Fargo & Co.	3.500%	3/8/22		6,486			6,685
	Wells Fargo & Co.	2.625%	7/22/22		22,651			22,955
	Wells Fargo & Co.	3.069%	1/24/23		34,916			35,514
	Wells Fargo & Co.	3.450%	2/13/23		2,735			2,829
	Wells Fargo & Co.	4.125%	8/15/23		8,069			8,555
	Wells Fargo & Co.	3.750%	1/24/24		8,750			9,216
	Wells Fargo & Co.	3.000%	2/19/25		15,000			15,470
3	Wells Fargo & Co.	2.406%	10/30/25		39,100			39,002
	Wells Fargo Bank NA	2.600%	1/15/21		5,206			5,235
3	Wells Fargo Bank NA	3.325%	7/23/21		14,900			14,998
	Wells Fargo Bank NA	3.625%	10/22/21		19,800			20,370
3	Wells Fargo Bank NA	2.897%	5/27/22		5,165			5,221
3	Wells Fargo Bank NA	2.082%	9/9/22		8,150			8,150
	Wells Fargo Bank NA	3.550%	8/14/23		18,006			18,810
	Westpac Banking Corp.	2.650%	1/25/21		4,425			4,454
	Westpac Banking Corp.	2.100%	5/13/21		8,527			8,535
	Westpac Banking Corp.	2.000%	8/19/21		10,950			10,951
	Westpac Banking Corp.	2.800%	1/11/22		5,250			5,337
	Westpac Banking Corp.	2.500%	6/28/22		9,250			9,348
	Westpac Banking Corp.	2.750%	1/11/23		4,750			4,829
	Westpac Banking Corp.	3.650%	5/15/23		7,203			7,551
	Westpac Banking Corp.	3.300%	2/26/24		8,840			9,195
	Westpac Banking Corp.	2.350%	2/19/25		6,275			6,287
	Zions Bancorp NA	3.500%	8/27/21		5,750			5,858
	Brokerage (0.2%)
	Affiliated Managers Group Inc.	4.250%	2/15/24		2,550			2,715
	Ameriprise Financial Inc.	3.000%	3/22/22		2,212			2,261
	Ameriprise Financial Inc.	4.000%	10/15/23		5,424			5,787
	Ameriprise Financial Inc.	3.700%	10/15/24		3,847			4,108
	BGC Partners Inc.	5.125%	5/27/21		1,675			1,727
	BGC Partners Inc.	5.375%	7/24/23		3,914			4,187
	BGC Partners Inc.	3.750%	10/1/24		400			399
	BlackRock Inc.	4.250%	5/24/21		6,600			6,818
	BlackRock Inc.	3.375%	6/1/22		2,825			2,925
	BlackRock Inc.	3.500%	3/18/24		3,800			4,034
	Brookfield Finance LLC	4.000%	4/1/24		4,086			4,382
	Charles Schwab Corp.	3.250%	5/21/21		7,869			8,013
	Charles Schwab Corp.	3.225%	9/1/22		2,550			2,630
	Charles Schwab Corp.	2.650%	1/25/23		6,657			6,794
	Charles Schwab Corp.	3.550%	2/1/24		1,925			2,030
	E*TRADE Financial Corp.	2.950%	8/24/22		4,450			4,517
	Eaton Vance Corp.	3.625%	6/15/23		2,350			2,458
	Franklin Resources Inc.	2.800%	9/15/22		150			154
	Intercontinental Exchange Inc.	2.750%	12/1/20		4,991			5,022
	Intercontinental Exchange Inc.	2.350%	9/15/22		1,175			1,187
	Intercontinental Exchange Inc.	3.450%	9/21/23		4,150			4,345
	Intercontinental Exchange Inc.	4.000%	10/15/23		4,955			5,284
	Invesco Finance plc	3.125%	11/30/22		7,825			8,041
	Invesco Finance plc	4.000%	1/30/24		5,575			5,905

11

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Jefferies Financial Group Inc.	5.500%	10/18/23		8,629			9,390
Jefferies Group LLC	6.875%	4/15/21		6,197			6,545
Nasdaq Inc.	4.250%	6/1/24		150			162
Stifel Financial Corp.	3.500%	12/1/20		3,545			3,583
Stifel Financial Corp.	4.250%	7/18/24		1,475			1,554
TD Ameritrade Holding Corp.	2.950%	4/1/22		7,008			7,158
TD Ameritrade Holding Corp.	3.750%	4/1/24		2,500			2,630
Finance Companies (0.3%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.500%	5/15/21		4,007			4,132
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	5.000%	10/1/21		6,098			6,388
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	12/16/21		5,345			5,559
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.950%	2/1/22		3,674			3,793
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	5/26/22		3,400			3,489
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.625%	7/1/22		3,455			3,649
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.300%	1/23/23		3,880			3,972
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.125%	7/3/23		2,600			2,737
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.875%	1/16/24		3,605			3,907
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	2.875%	8/14/24		3,750			3,783
Air Lease Corp.	2.500%	3/1/21		4,475			4,492
Air Lease Corp.	3.875%	4/1/21		4,178			4,260
Air Lease Corp.	3.375%	6/1/21		2,340			2,375
Air Lease Corp.	3.500%	1/15/22		4,250			4,357
Air Lease Corp.	3.750%	2/1/22		4,471			4,600
Air Lease Corp.	2.625%	7/1/22		3,034			3,061
Air Lease Corp.	2.750%	1/15/23		5,685			5,756
Air Lease Corp.	3.875%	7/3/23		7,720			8,110
Air Lease Corp.	3.000%	9/15/23		4,689			4,798
Air Lease Corp.	4.250%	2/1/24		7,015			7,513
Air Lease Corp.	4.250%	9/15/24		2,015			2,158
Aircastle Ltd.	5.125%	3/15/21		4,040			4,171
Aircastle Ltd.	5.500%	2/15/22		2,260			2,400
Aircastle Ltd.	5.000%	4/1/23		5,232			5,603
Aircastle Ltd.	4.400%	9/25/23		6,900			7,312
Ares Capital Corp.	3.625%	1/19/22		3,780			3,846
Ares Capital Corp.	3.500%	2/10/23		3,290			3,344
Ares Capital Corp.	4.200%	6/10/24		6,925			7,273
FS KKR Capital Corp.	4.750%	5/15/22		2,650			2,720
FS KKR Capital Corp.	4.625%	7/15/24		2,600			2,695
GATX Corp.	3.900%	3/30/23		2,825			2,940
International Lease Finance Corp.	8.250%	12/15/20		3,911			4,128
International Lease Finance Corp.	4.625%	4/15/21		3,182			3,276
International Lease Finance Corp.	8.625%	1/15/22		5,273			5,929
International Lease Finance Corp.	5.875%	8/15/22		7,420			8,084
Owl Rock Capital Corp.	5.250%	4/15/24		2,230			2,358
Prospect Capital Corp.	5.875%	3/15/23		1,000			1,058
TPG Specialty Lending Inc.	3.875%	11/1/24		701			705
Insurance (0.8%)
AEGON Funding Co. LLC	5.750%	12/15/20		3,543			3,662
Aetna Inc.	2.750%	11/15/22		6,388			6,487
Aetna Inc.	2.800%	6/15/23		5,738			5,828
Aflac Inc.	4.000%	2/15/22		1,907			1,989
Aflac Inc.	3.625%	6/15/23		4,700			4,942
Aflac Inc.	3.625%	11/15/24		2,163			2,312

12

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Alleghany Corp.	4.950%	6/27/22		4,038			4,290
3	Allstate Corp.	5.750%	8/15/53		6,710			7,196
	American International Group Inc.	6.400%	12/15/20		4,900			5,099
	American International Group Inc.	3.300%	3/1/21		6,380			6,463
	American International Group Inc.	4.875%	6/1/22		5,090			5,433
	American International Group Inc.	4.125%	2/15/24		7,726			8,273
	Anthem Inc.	3.700%	8/15/21		3,920			4,008
	Anthem Inc.	3.125%	5/15/22		3,896			3,993
	Anthem Inc.	2.950%	12/1/22		7,305			7,483
	Anthem Inc.	3.300%	1/15/23		11,412			11,803
	Anthem Inc.	3.500%	8/15/24		8,019			8,398
	Anthem Inc.	3.350%	12/1/24		2,279			2,378
	Aon plc	2.800%	3/15/21		3,078			3,106
	Aon plc	4.000%	11/27/23		5,980			6,340
	Aon plc	3.500%	6/14/24		5,720			5,971
	Aspen Insurance Holdings Ltd.	4.650%	11/15/23		2,100			2,248
	Assurant Inc.	4.000%	3/15/23		3,600			3,754
	Assurant Inc.	4.200%	9/27/23		1,500			1,570
	Assured Guaranty US Holdings Inc.	5.000%	7/1/24		3,700			4,114
	AXA Equitable Holdings Inc.	3.900%	4/20/23		6,137			6,427
	Berkshire Hathaway Finance Corp.	4.250%	1/15/21		6,918			7,085
	Berkshire Hathaway Finance Corp.	3.000%	5/15/22		3,865			3,972
	Berkshire Hathaway Inc.	2.200%	3/15/21		9,497			9,541
	Berkshire Hathaway Inc.	3.750%	8/15/21		4,885			5,035
	Berkshire Hathaway Inc.	3.400%	1/31/22		4,077			4,220
	Berkshire Hathaway Inc.	3.000%	2/11/23		2,175			2,251
	Berkshire Hathaway Inc.	2.750%	3/15/23		8,415			8,640
	Brown & Brown Inc.	4.200%	9/15/24		5,261			5,558
	Chubb INA Holdings Inc.	2.875%	11/3/22		2,650			2,718
	Chubb INA Holdings Inc.	2.700%	3/13/23		5,709			5,836
	Cigna Holding Co.	4.375%	12/15/20		1,675			1,702
	CNA Financial Corp.	5.750%	8/15/21		2,890			3,054
	CNA Financial Corp.	3.950%	5/15/24		3,432			3,664
	Enstar Group Ltd.	4.500%	3/10/22		2,225			2,300
	Fidelity National Financial Inc.	5.500%	9/1/22		2,035			2,186
	First American Financial Corp.	4.600%	11/15/24		1,228			1,304
	Humana Inc.	2.900%	12/15/22		5,231			5,331
	Humana Inc.	3.850%	10/1/24		6,091			6,468
	Lincoln National Corp.	4.000%	9/1/23		2,332			2,470
	Loews Corp.	2.625%	5/15/23		6,835			6,966
	Markel Corp.	4.900%	7/1/22		1,650			1,757
	Marsh & McLennan Cos. Inc.	4.800%	7/15/21		3,263			3,383
	Marsh & McLennan Cos. Inc.	2.750%	1/30/22		2,388			2,426
	Marsh & McLennan Cos. Inc.	3.300%	3/14/23		3,050			3,148
	Marsh & McLennan Cos. Inc.	3.875%	3/15/24		8,500			9,043
	Marsh & McLennan Cos. Inc.	3.500%	6/3/24		2,890			3,030
	MetLife Inc.	3.048%	12/15/22		4,782			4,948
	MetLife Inc.	4.368%	9/15/23		4,351			4,706
	MetLife Inc.	3.600%	4/10/24		6,318			6,729
	Old Republic International Corp.	4.875%	10/1/24		2,830			3,096
	Primerica Inc.	4.750%	7/15/22		2,700			2,847
	Principal Financial Group Inc.	3.300%	9/15/22		1,200			1,236
	Principal Financial Group Inc.	3.125%	5/15/23		3,275			3,363
	Progressive Corp.	3.750%	8/23/21		5,954			6,133
	Prudential Financial Inc.	4.500%	11/16/21		6,760			7,109
	Prudential Financial Inc.	3.500%	5/15/24		4,600			4,889
3	Prudential Financial Inc.	5.875%	9/15/42		7,483			8,054
3	Prudential Financial Inc.	5.625%	6/15/43		7,410			7,966
	Reinsurance Group of America Inc.	5.000%	6/1/21		3,037			3,152
	Reinsurance Group of America Inc.	4.700%	9/15/23		3,670			3,981
	Trinity Acquisition plc	3.500%	9/15/21		1,150			1,170
	UnitedHealth Group Inc.	4.700%	2/15/21		3,200			3,276
	UnitedHealth Group Inc.	2.125%	3/15/21		9,336			9,349
	UnitedHealth Group Inc.	3.150%	6/15/21		5,841			5,942

13

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	UnitedHealth Group Inc.	2.875%	12/15/21		7,340			7,482
	UnitedHealth Group Inc.	2.875%	3/15/22		7,003			7,134
	UnitedHealth Group Inc.	3.350%	7/15/22		4,231			4,370
	UnitedHealth Group Inc.	2.375%	10/15/22		6,319			6,391
	UnitedHealth Group Inc.	2.750%	2/15/23		5,226			5,323
	UnitedHealth Group Inc.	2.875%	3/15/23		4,725			4,834
	UnitedHealth Group Inc.	3.500%	6/15/23		5,250			5,493
	UnitedHealth Group Inc.	3.500%	2/15/24		1,205			1,269
	Unum Group	4.000%	3/15/24		2,275			2,401
3	Voya Financial Inc.	5.650%	5/15/53		6,000			6,330
	Willis North America Inc.	3.600%	5/15/24		5,605			5,851
	Willis Towers Watson plc	5.750%	3/15/21		3,146			3,275
	Other Finance (0.0%)
	ORIX Corp.	2.900%	7/18/22		3,445			3,502
	ORIX Corp.	3.250%	12/4/24		975			1,011
	Real Estate Investment Trusts (0.6%)
	Alexandria Real Estate Equities Inc.	3.900%	6/15/23		5,500			5,773
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24		3,475			3,695
	American Campus Communities Operating Partnership LP	3.750%	4/15/23		2,384			2,482
	American Campus Communities Operating Partnership LP	4.125%	7/1/24		2,700			2,878
	AvalonBay Communities Inc.	3.950%	1/15/21		1,125			1,145
	AvalonBay Communities Inc.	2.950%	9/15/22		1,714			1,752
	AvalonBay Communities Inc.	4.200%	12/15/23		2,600			2,791
	Boston Properties LP	4.125%	5/15/21		6,674			6,829
	Boston Properties LP	3.850%	2/1/23		5,421			5,677
	Boston Properties LP	3.125%	9/1/23		3,275			3,373
	Brandywine Operating Partnership LP	3.950%	2/15/23		2,775			2,882
	Brandywine Operating Partnership LP	4.100%	10/1/24		420			442
	Brixmor Operating Partnership LP	3.875%	8/15/22		5,975			6,221
	Brixmor Operating Partnership LP	3.250%	9/15/23		3,300			3,399
	Camden Property Trust	2.950%	12/15/22		3,775			3,848
	Corporate Office Properties LP	3.700%	6/15/21		1,970			1,992
	Corporate Office Properties LP	3.600%	5/15/23		2,650			2,719
	CubeSmart LP	4.375%	12/15/23		1,925			2,047
	CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24		3,755			3,770
	Digital Realty Trust LP	3.950%	7/1/22		4,746			4,941
	Digital Realty Trust LP	3.625%	10/1/22		4,795			4,955
	Digital Realty Trust LP	2.750%	2/1/23		1,275			1,288
	Duke Realty LP	3.875%	10/15/22		1,250			1,301
	Duke Realty LP	3.625%	4/15/23		1,907			1,981
	Duke Realty LP	3.750%	12/1/24		855			905
	ERP Operating LP	4.625%	12/15/21		5,351			5,585
	ERP Operating LP	3.000%	4/15/23		3,873			3,984
	Essex Portfolio LP	5.200%	3/15/21		1,850			1,905
	Essex Portfolio LP	3.250%	5/1/23		2,426			2,492
	Essex Portfolio LP	3.875%	5/1/24		4,231			4,467
	Healthcare Trust of America Holdings LP	3.700%	4/15/23		1,900			1,963
	Healthpeak Properties Inc.	3.150%	8/1/22		3,203			3,260
	Healthpeak Properties Inc.	4.250%	11/15/23		2,535			2,705
	Healthpeak Properties Inc.	4.200%	3/1/24		1,500			1,600
	Healthpeak Properties Inc.	3.875%	8/15/24		1,914			2,033
	Highwoods Realty LP	3.200%	6/15/21		2,000			2,025
	Host Hotels & Resorts LP	4.750%	3/1/23		1,297			1,383
	Host Hotels & Resorts LP	3.750%	10/15/23		4,875			5,077
	Host Hotels & Resorts LP	3.875%	4/1/24		1,475			1,555
	Kilroy Realty LP	3.450%	12/15/24		1,553			1,613
	Kimco Realty Corp.	3.200%	5/1/21		4,919			4,987
	Kimco Realty Corp.	3.400%	11/1/22		2,220			2,291
	Kimco Realty Corp.	3.125%	6/1/23		1,700			1,738
	Liberty Property LP	4.125%	6/15/22		2,168			2,264
	Liberty Property LP	3.375%	6/15/23		2,304			2,392

14

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Liberty Property LP	4.400%	2/15/24		200			216
	Mid-America Apartments LP	4.300%	10/15/23		2,625			2,798
	Mid-America Apartments LP	3.750%	6/15/24		700			738
	National Retail Properties Inc.	3.800%	10/15/22		1,000			1,039
	National Retail Properties Inc.	3.300%	4/15/23		4,210			4,324
	National Retail Properties Inc.	3.900%	6/15/24		3,675			3,880
	Office Properties Income Trust	4.000%	7/15/22		5,000			5,113
	Omega Healthcare Investors Inc.	4.375%	8/1/23		5,100			5,418
	Omega Healthcare Investors Inc.	4.950%	4/1/24		3,805			4,162
	Piedmont Operating Partnership LP	3.400%	6/1/23		1,105			1,129
	Piedmont Operating Partnership LP	4.450%	3/15/24		1,050			1,115
	Prologis LP	4.250%	8/15/23		6,600			7,050
	Public Storage	2.370%	9/15/22		4,250			4,292
	Realty Income Corp.	3.250%	10/15/22		12,947			13,334
	Realty Income Corp.	4.650%	8/1/23		2,325			2,513
	Realty Income Corp.	3.875%	7/15/24		725			772
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24		1,000			1,064
	Select Income REIT	4.250%	5/15/24		3,450			3,583
	Service Properties Trust	4.250%	2/15/21		3,305			3,346
	Service Properties Trust	5.000%	8/15/22		3,857			4,032
	Service Properties Trust	4.500%	6/15/23		2,866			2,966
	Service Properties Trust	4.350%	10/1/24		5,716			5,862
	Simon Property Group LP	2.500%	7/15/21		2,950			2,971
	Simon Property Group LP	2.350%	1/30/22		4,724			4,758
	Simon Property Group LP	2.625%	6/15/22		5,125			5,201
	Simon Property Group LP	2.750%	6/1/23		8,080			8,248
	Simon Property Group LP	2.000%	9/13/24		4,820			4,751
	Simon Property Group LP	3.375%	10/1/24		6,656			6,987
	SITE Centers Corp.	4.625%	7/15/22		2,145			2,239
	SL Green Operating Partnership LP	3.250%	10/15/22		2,350			2,402
	SL Green Realty Corp.	4.500%	12/1/22		1,225			1,291
	Ventas Realty LP	3.100%	1/15/23		1,760			1,801
	Ventas Realty LP	3.125%	6/15/23		3,863			3,953
	Ventas Realty LP	3.500%	4/15/24		3,000			3,130
	Ventas Realty LP	3.750%	5/1/24		925			971
	Ventas Realty LP / Ventas Capital Corp.	3.250%	8/15/22		3,130			3,204
	VEREIT Operating Partnership LP	4.600%	2/6/24		6,766			7,287
	Weingarten Realty Investors	3.500%	4/15/23		1,250			1,283
	Weingarten Realty Investors	3.850%	6/1/25		3,500			3,638
	Welltower Inc.	3.750%	3/15/23		3,975			4,137
	Welltower Inc.	3.950%	9/1/23		3,770			3,976
	Welltower Inc.	3.625%	3/15/24		7,050			7,381
	WP Carey Inc.	4.600%	4/1/24		1,333			1,428
								5,279,633
Industrial (13.5%)
	Basic Industry (0.6%)
	Air Products & Chemicals Inc.	3.000%	11/3/21		2,350			2,398
	Air Products & Chemicals Inc.	3.350%	7/31/24		3,760			3,957
	Airgas Inc.	3.650%	7/15/24		1,800			1,909
	Albemarle Corp.	4.150%	12/1/24		3,098			3,305
	ArcelorMittal	6.250%	2/25/22		6,500			7,004
	ArcelorMittal	3.600%	7/16/24		3,500			3,583
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22		5,000			5,090
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23		4,875			5,187
	Braskem Finance Ltd.	6.450%	2/3/24		5,050			5,623
	Cabot Corp.	3.700%	7/15/22		2,840			2,923
	Celanese US Holdings LLC	5.875%	6/15/21		6,182			6,485
	Celanese US Holdings LLC	3.500%	5/8/24		2,000			2,066
	Celulosa Arauco y Constitucion SA	4.500%	8/1/24		3,300			3,473
	Dow Chemical Co.	3.000%	11/15/22		15,471			15,832
	Dow Chemical Co.	3.500%	10/1/24		1,004			1,051
	DuPont de Nemours Inc.	4.205%	11/15/23		6,670			7,130
	Eastman Chemical Co.	3.500%	12/1/21		5,239			5,374

15

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Eastman Chemical Co.	3.600%	8/15/22		4,744			4,908
	Ecolab Inc.	4.350%	12/8/21		6,602			6,907
	Ecolab Inc.	2.375%	8/10/22		5,800			5,853
	Ecolab Inc.	3.250%	1/14/23		1,750			1,807
	Fibria Overseas Finance Ltd.	5.250%	5/12/24		4,000			4,330
	FMC Corp.	3.950%	2/1/22		3,235			3,333
	Goldcorp Inc.	3.625%	6/9/21		100			101
	International Paper Co.	7.500%	8/15/21		4,731			5,131
	International Paper Co.	3.650%	6/15/24		4,160			4,375
	Kinross Gold Corp.	5.125%	9/1/21		3,440			3,578
	Kinross Gold Corp.	5.950%	3/15/24		1,425			1,585
	LyondellBasell Industries NV	6.000%	11/15/21		15,041			15,985
	LyondellBasell Industries NV	5.750%	4/15/24		6,500			7,321
	Methanex Corp.	4.250%	12/1/24		735			755
	Mosaic Co.	3.750%	11/15/21		3,870			3,961
	Mosaic Co.	3.250%	11/15/22		5,785			5,932
	Mosaic Co.	4.250%	11/15/23		7,300			7,779
	NewMarket Corp.	4.100%	12/15/22		1,875			1,970
	Newmont Corp.	3.625%	6/9/21		5,400			5,507
	Newmont Corp.	3.500%	3/15/22		3,596			3,691
	Newmont Corp.	3.700%	3/15/23		5,326			5,568
	Nucor Corp.	4.125%	9/15/22		3,760			3,942
	Nucor Corp.	4.000%	8/1/23		7,264			7,685
	Nutrien Ltd.	3.150%	10/1/22		4,791			4,888
	Nutrien Ltd.	3.500%	6/1/23		7,198			7,425
	Packaging Corp. of America	4.500%	11/1/23		5,582			6,005
	PPG Industries Inc.	2.400%	8/15/24		2,000			2,015
	Praxair Inc.	4.050%	3/15/21		2,665			2,736
	Praxair Inc.	3.000%	9/1/21		3,495			3,559
	Praxair Inc.	2.450%	2/15/22		4,059			4,107
	Praxair Inc.	2.200%	8/15/22		4,295			4,325
	Praxair Inc.	2.700%	2/21/23		2,310			2,357
	Rayonier Inc.	3.750%	4/1/22		1,550			1,567
	Sasol Financing International Ltd.	4.500%	11/14/22		6,800			7,023
	SASOL Financing USA LLC	5.875%	3/27/24		9,950			10,783
	Sherwin-Williams Co.	4.200%	1/15/22		100			104
	Sherwin-Williams Co.	2.750%	6/1/22		5,818			5,916
	Sherwin-Williams Co.	3.125%	6/1/24		5,250			5,421
	Southern Copper Corp.	3.500%	11/8/22		2,025			2,091
	Steel Dynamics Inc.	2.800%	12/15/24		5,500			5,541
	WestRock RKT Co.	4.900%	3/1/22		165			174
	Weyerhaeuser Co.	4.700%	3/15/21		5,158			5,290
	Capital Goods (1.3%)
	3M Co.	1.625%	9/19/21		3,485			3,475
	3M Co.	2.750%	3/1/22		5,425			5,526
	3M Co.	2.000%	6/26/22		3,090			3,108
	3M Co.	1.750%	2/14/23		3,100			3,082
	3M Co.	2.250%	3/15/23		5,250			5,295
	3M Co.	3.250%	2/14/24		2,900			3,032
	ABB Finance USA Inc.	2.875%	5/8/22		7,768			7,926
	Allegion US Holding Co. Inc.	3.200%	10/1/24		1,949			2,000
4	Bemis Co. Inc.	4.500%	10/15/21		3,050			3,140
	Boeing Co.	2.300%	8/1/21		1,265			1,272
	Boeing Co.	8.750%	8/15/21		1,000			1,106
	Boeing Co.	2.350%	10/30/21		5,150			5,190
	Boeing Co.	2.125%	3/1/22		3,010			3,015
	Boeing Co.	2.700%	5/1/22		3,300			3,346
	Boeing Co.	2.800%	3/1/23		2,500			2,546
	Boeing Co.	1.875%	6/15/23		5,010			4,973
	Boeing Co.	2.850%	10/30/24		2,500			2,559
	Carlisle Cos. Inc.	3.750%	11/15/22		2,650			2,733
	Carlisle Cos. Inc.	3.500%	12/1/24		1,022			1,061
	Caterpillar Financial Services Corp.	3.350%	12/7/20		700			709

16

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Caterpillar Financial Services Corp.	2.650%	5/17/21		2,950			2,980
	Caterpillar Financial Services Corp.	1.700%	8/9/21		8,100			8,072
	Caterpillar Financial Services Corp.	3.150%	9/7/21		2,000			2,040
	Caterpillar Financial Services Corp.	1.931%	10/1/21		6,438			6,446
	Caterpillar Financial Services Corp.	2.950%	2/26/22		5,600			5,722
	Caterpillar Financial Services Corp.	2.850%	6/1/22		5,670			5,788
	Caterpillar Financial Services Corp.	2.400%	6/6/22		3,700			3,740
	Caterpillar Financial Services Corp.	2.550%	11/29/22		5,525			5,626
	Caterpillar Financial Services Corp.	3.450%	5/15/23		5,000			5,230
	Caterpillar Financial Services Corp.	3.750%	11/24/23		5,215			5,557
	Caterpillar Financial Services Corp.	3.650%	12/7/23		3,525			3,736
	Caterpillar Financial Services Corp.	2.850%	5/17/24		3,500			3,613
	Caterpillar Financial Services Corp.	3.300%	6/9/24		2,475			2,603
	Caterpillar Financial Services Corp.	2.150%	11/8/24		4,200			4,210
	Caterpillar Financial Services Corp.	3.250%	12/1/24		7,123			7,511
	Caterpillar Inc.	3.900%	5/27/21		5,620			5,769
	Caterpillar Inc.	2.600%	6/26/22		5,286			5,365
	Caterpillar Inc.	3.400%	5/15/24		2,646			2,796
	CNH Industrial Capital LLC	4.875%	4/1/21		6,420			6,624
	CNH Industrial Capital LLC	3.875%	10/15/21		2,295			2,356
	CNH Industrial Capital LLC	4.375%	4/5/22		5,560			5,800
	CNH Industrial Capital LLC	4.200%	1/15/24		3,650			3,864
	CNH Industrial NV	4.500%	8/15/23		5,770			6,148
	Crane Co.	4.450%	12/15/23		2,500			2,661
	Deere & Co.	2.600%	6/8/22		8,558			8,696
	Eaton Corp.	2.750%	11/2/22		6,902			7,041
4	Embraer Overseas Ltd.	5.696%	9/16/23		1,400			1,534
	Emerson Electric Co.	2.625%	12/1/21		5,980			6,080
	Emerson Electric Co.	2.625%	2/15/23		1,525			1,559
	Flowserve Corp.	3.500%	9/15/22		4,625			4,675
	Fortive Corp.	2.350%	6/15/21		4,650			4,662
	Fortune Brands Home & Security Inc.	4.000%	9/21/23		3,700			3,908
	General Dynamics Corp.	3.000%	5/11/21		9,705			9,860
	General Dynamics Corp.	3.875%	7/15/21		3,955			4,067
	General Dynamics Corp.	2.250%	11/15/22		1,273			1,286
	General Dynamics Corp.	3.375%	5/15/23		8,459			8,831
	General Dynamics Corp.	1.875%	8/15/23		5,856			5,861
	General Dynamics Corp.	2.375%	11/15/24		5,000			5,083
	General Electric Co.	4.625%	1/7/21		9,036			9,243
	General Electric Co.	5.300%	2/11/21		8,587			8,861
	General Electric Co.	4.650%	10/17/21		8,902			9,274
	General Electric Co.	2.700%	10/9/22		9,166			9,290
	General Electric Co.	3.100%	1/9/23		8,325			8,498
	General Electric Co.	3.375%	3/11/24		12,855			13,302
	General Electric Co.	3.450%	5/15/24		5,800			6,016
	Honeywell International Inc.	4.250%	3/1/21		5,392			5,554
	Honeywell International Inc.	1.850%	11/1/21		7,190			7,203
	Honeywell International Inc.	2.150%	8/8/22		3,150			3,180
	Honeywell International Inc.	2.300%	8/15/24		6,450			6,536
	Illinois Tool Works Inc.	3.375%	9/15/21		4,450			4,549
	Illinois Tool Works Inc.	3.500%	3/1/24		8,565			9,065
	Ingersoll-Rand Global Holding Co. Ltd.	4.250%	6/15/23		8,701			9,295
	John Deere Capital Corp.	2.550%	1/8/21		2,250			2,262
	John Deere Capital Corp.	2.800%	3/4/21		3,000			3,032
	John Deere Capital Corp.	2.875%	3/12/21		3,825			3,867
	John Deere Capital Corp.	3.900%	7/12/21		3,585			3,695
	John Deere Capital Corp.	3.125%	9/10/21		1,345			1,374
	John Deere Capital Corp.	3.150%	10/15/21		2,615			2,674
	John Deere Capital Corp.	2.650%	1/6/22		4,702			4,778
	John Deere Capital Corp.	2.950%	4/1/22		3,650			3,735
	John Deere Capital Corp.	1.950%	6/13/22		2,900			2,902
	John Deere Capital Corp.	2.150%	9/8/22		5,820			5,857
	John Deere Capital Corp.	2.700%	1/6/23		6,950			7,101
	John Deere Capital Corp.	2.800%	1/27/23		5,800			5,941

17

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	John Deere Capital Corp.	2.800%	3/6/23		6,873			7,049
	John Deere Capital Corp.	3.450%	6/7/23		4,515			4,723
	John Deere Capital Corp.	3.650%	10/12/23		3,700			3,920
	John Deere Capital Corp.	3.450%	1/10/24		1,675			1,764
	John Deere Capital Corp.	2.600%	3/7/24		3,200			3,269
	John Deere Capital Corp.	2.650%	6/24/24		6,250			6,399
4	L3Harris Technologies Inc.	4.950%	2/15/21		5,516			5,650
4	L3Harris Technologies Inc.	3.850%	6/15/23		7,208			7,586
4	L3Harris Technologies Inc.	3.950%	5/28/24		3,075			3,261
	Leggett & Platt Inc.	3.800%	11/15/24		1,007			1,053
	Lennox International Inc.	3.000%	11/15/23		2,000			2,033
	Lockheed Martin Corp.	3.350%	9/15/21		6,116			6,270
	Lockheed Martin Corp.	3.100%	1/15/23		3,019			3,120
	Martin Marietta Materials Inc.	4.250%	7/2/24		1,500			1,605
	Masco Corp.	3.500%	4/1/21		3,040			3,079
	Mohawk Industries Inc.	3.850%	2/1/23		4,325			4,503
	Northrop Grumman Corp.	3.500%	3/15/21		5,951			6,061
	Northrop Grumman Corp.	2.550%	10/15/22		2,358			2,393
	Northrop Grumman Corp.	3.250%	8/1/23		7,383			7,674
	Nvent Finance Sarl	3.950%	4/15/23		1,137			1,153
	Owens Corning	4.200%	12/1/24		1,691			1,791
	Parker-Hannifin Corp.	2.700%	6/14/24		5,450			5,523
	Parker-Hannifin Corp.	3.300%	11/21/24		5,481			5,729
	Precision Castparts Corp.	2.500%	1/15/23		9,135			9,295
	Raytheon Co.	2.500%	12/15/22		2,363			2,410
	Republic Services Inc.	5.250%	11/15/21		2,729			2,894
	Republic Services Inc.	3.550%	6/1/22		9,319			9,628
	Republic Services Inc.	4.750%	5/15/23		2,513			2,706
	Rockwell Collins Inc.	2.800%	3/15/22		8,112			8,251
	Rockwell Collins Inc.	3.700%	12/15/23		2,210			2,327
	Rockwell Collins Inc.	3.200%	3/15/24		7,475			7,779
	Roper Technologies Inc.	3.000%	12/15/20		4,387			4,427
	Roper Technologies Inc.	2.800%	12/15/21		4,651			4,717
	Roper Technologies Inc.	3.125%	11/15/22		4,412			4,529
	Roper Technologies Inc.	2.350%	9/15/24		5,825			5,856
	Spirit AeroSystems Inc.	3.950%	6/15/23		7,945			8,177
	Stanley Black & Decker Inc.	3.400%	12/1/21		4,000			4,086
	Stanley Black & Decker Inc.	2.900%	11/1/22		4,130			4,229
	Textron Inc.	4.300%	3/1/24		1,000			1,068
	Timken Co.	3.875%	9/1/24		275			287
	United Technologies Corp.	3.350%	8/16/21		7,314			7,484
	United Technologies Corp.	1.950%	11/1/21		7,029			7,038
	United Technologies Corp.	2.300%	5/4/22		1,200			1,209
	United Technologies Corp.	3.100%	6/1/22		10,496			10,776
	United Technologies Corp.	3.650%	8/16/23		19,435			20,473
	United Technologies Corp.	2.800%	5/4/24		4,200			4,316
	Wabtec Corp.	4.400%	3/15/24		4,875			5,167
	Waste Management Inc.	4.600%	3/1/21		2,678			2,746
	Waste Management Inc.	2.900%	9/15/22		5,787			5,918
	Waste Management Inc.	2.400%	5/15/23		4,304			4,343
	Waste Management Inc.	2.950%	6/15/24		4,725			4,873
	Xylem Inc.	4.875%	10/1/21		5,384			5,640
	Communication (1.4%)
	Activision Blizzard Inc.	2.300%	9/15/21		7,000			7,031
	America Movil SAB de CV	3.125%	7/16/22		10,263			10,467
	American Tower Corp.	3.300%	2/15/21		3,500			3,543
	American Tower Corp.	3.450%	9/15/21		4,954			5,073
	American Tower Corp.	5.900%	11/1/21		6,279			6,708
	American Tower Corp.	2.250%	1/15/22		3,660			3,671
	American Tower Corp.	4.700%	3/15/22		3,635			3,828
	American Tower Corp.	3.500%	1/31/23		7,407			7,673
	American Tower Corp.	3.000%	6/15/23		4,250			4,346
	American Tower Corp.	5.000%	2/15/24		4,841			5,326

18

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	American Tower Corp.	3.375%	5/15/24		4,900			5,079
	AT&T Inc.	4.600%	2/15/21		4,100			4,194
	AT&T Inc.	2.800%	2/17/21		16,063			16,193
	AT&T Inc.	4.450%	5/15/21		8,285			8,566
	AT&T Inc.	3.875%	8/15/21		10,361			10,667
	AT&T Inc.	3.000%	2/15/22		8,446			8,605
	AT&T Inc.	3.200%	3/1/22		9,605			9,838
	AT&T Inc.	3.800%	3/15/22		6,021			6,247
	AT&T Inc.	3.400%	6/15/22		4,100			4,222
	AT&T Inc.	3.000%	6/30/22		8,168			8,348
	AT&T Inc.	3.600%	2/17/23		7,700			8,034
	AT&T Inc.	4.050%	12/15/23		3,600			3,849
	AT&T Inc.	3.800%	3/1/24		5,376			5,676
	AT&T Inc.	4.450%	4/1/24		8,113			8,784
	AT&T Inc.	3.550%	6/1/24		11,719			12,319
	British Telecommunications plc	4.500%	12/4/23		4,700			5,061
	CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23		12,635			13,226
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22		6,929			7,283
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24		9,049			9,734
	Comcast Cable Communications Holdings Inc.	9.455%	11/15/22		7,639			9,227
	Comcast Corp.	3.450%	10/1/21		15,258			15,689
	Comcast Corp.	1.625%	1/15/22		4,956			4,941
	Comcast Corp.	3.125%	7/15/22		4,724			4,870
	Comcast Corp.	2.750%	3/1/23		7,650			7,818
	Comcast Corp.	3.000%	2/1/24		6,250			6,476
	Comcast Corp.	3.600%	3/1/24		6,523			6,907
	Comcast Corp.	3.700%	4/15/24		15,195			16,165
	Crown Castle International Corp.	3.400%	2/15/21		5,960			6,048
	Crown Castle International Corp.	2.250%	9/1/21		6,121			6,127
	Crown Castle International Corp.	4.875%	4/15/22		6,091			6,441
	Crown Castle International Corp.	5.250%	1/15/23		9,584			10,389
	Crown Castle International Corp.	3.200%	9/1/24		7,050			7,258
	Discovery Communications LLC	4.375%	6/15/21		2,753			2,835
	Discovery Communications LLC	3.300%	5/15/22		4,628			4,747
	Discovery Communications LLC	3.500%	6/15/22		6,807			6,983
	Discovery Communications LLC	2.950%	3/20/23		10,000			10,185
	Discovery Communications LLC	3.250%	4/1/23		1,950			2,004
	Discovery Communications LLC	3.800%	3/13/24		1,100			1,158
	Discovery Communications LLC	3.900%	11/15/24		3,000			3,182
	Electronic Arts Inc.	3.700%	3/1/21		4,600			4,680
4	Fox Corp.	3.666%	1/25/22		3,920			4,048
4	Fox Corp.	4.030%	1/25/24		8,600			9,159
	Interpublic Group of Cos. Inc.	3.750%	10/1/21		4,912			5,038
	Interpublic Group of Cos. Inc.	3.750%	2/15/23		5,700			5,953
	Interpublic Group of Cos. Inc.	4.200%	4/15/24		7,025			7,546
	Moody's Corp.	3.250%	6/7/21		4,320			4,392
	Moody's Corp.	2.750%	12/15/21		3,991			4,048
	Moody's Corp.	2.625%	1/15/23		2,473			2,509
	Moody's Corp.	4.875%	2/15/24		225			247
	NBCUniversal Media LLC	4.375%	4/1/21		12,858			13,258
	NBCUniversal Media LLC	2.875%	1/15/23		8,679			8,907
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22		8,875			9,178
	Omnicom Group Inc. / Omnicom Capital Inc.	3.650%	11/1/24		8,563			9,006
	Orange SA	4.125%	9/14/21		9,928			10,291
	RELX Capital Inc.	3.125%	10/15/22		4,007			4,143
	RELX Capital Inc.	3.500%	3/16/23		4,688			4,866
	Rogers Communications Inc.	3.000%	3/15/23		650			666
	Rogers Communications Inc.	4.100%	10/1/23		7,600			8,098
	Telefonica Emisiones SAU	5.462%	2/16/21		11,029			11,443
	Telefonica Emisiones SAU	4.570%	4/27/23		2,250			2,418
	Thomson Reuters Corp.	4.300%	11/23/23		4,200			4,506
	Time Warner Cable LLC	4.125%	2/15/21		5,495			5,581

19

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Time Warner Cable LLC	4.000%	9/1/21		7,029			7,196
Time Warner Entertainment Co. LP	8.375%	3/15/23		4,051			4,785
Verizon Communications Inc.	3.450%	3/15/21		10,315			10,513
Verizon Communications Inc.	4.600%	4/1/21		8,857			9,154
Verizon Communications Inc.	2.946%	3/15/22		1,200			1,225
Verizon Communications Inc.	3.125%	3/16/22		12,953			13,277
Verizon Communications Inc.	2.450%	11/1/22		9,125			9,239
Verizon Communications Inc.	5.150%	9/15/23		23,577			26,137
Verizon Communications Inc.	4.150%	3/15/24		1,023			1,101
Verizon Communications Inc.	3.500%	11/1/24		6,786			7,182
ViacomCBS Inc.	3.875%	12/15/21		4,141			4,283
ViacomCBS Inc.	3.375%	3/1/22		2,620			2,680
ViacomCBS Inc.	2.500%	2/15/23		3,300			3,334
ViacomCBS Inc.	2.900%	6/1/23		2,725			2,773
ViacomCBS Inc.	4.250%	9/1/23		8,310			8,845
ViacomCBS Inc.	3.875%	4/1/24		4,259			4,505
ViacomCBS Inc.	3.700%	8/15/24		2,625			2,768
Vodafone Group plc	3.750%	1/16/24		12,156			12,820
Walt Disney Co.	2.300%	2/12/21		5,000			5,026
Walt Disney Co.	4.500%	2/15/21		7,810			8,036
Walt Disney Co.	3.750%	6/1/21		3,941			4,045
Walt Disney Co.	2.750%	8/16/21		5,725			5,806
Walt Disney Co.	2.550%	2/15/22		1,850			1,878
Walt Disney Co.	2.450%	3/4/22		4,330			4,395
Walt Disney Co.	3.000%	9/15/22		6,425			6,616
Walt Disney Co.	1.750%	8/30/24		5,000			4,944
Walt Disney Co.	3.700%	9/15/24		3,500			3,740
Weibo Corp.	3.500%	7/5/24		4,900			4,995
WPP Finance 2010	3.625%	9/7/22		3,283			3,395
WPP Finance 2010	3.750%	9/19/24		4,598			4,836
Consumer Cyclical (2.2%)
Advance Auto Parts Inc.	4.500%	12/1/23		2,821			3,025
Alibaba Group Holding Ltd.	3.125%	11/28/21		9,200			9,379
Alibaba Group Holding Ltd.	2.800%	6/6/23		2,000			2,031
Alibaba Group Holding Ltd.	3.600%	11/28/24		15,000			15,756
Amazon.com Inc.	3.300%	12/5/21		8,330			8,564
Amazon.com Inc.	2.500%	11/29/22		6,346			6,467
Amazon.com Inc.	2.400%	2/22/23		5,285			5,362
Amazon.com Inc.	2.800%	8/22/24		12,100			12,522
Amazon.com Inc.	3.800%	12/5/24		4,440			4,798
American Honda Finance Corp.	3.150%	1/8/21		2,889			2,924
American Honda Finance Corp.	2.650%	2/12/21		4,978			5,024
American Honda Finance Corp.	1.650%	7/12/21		9,219			9,190
American Honda Finance Corp.	1.700%	9/9/21		7,153			7,134
American Honda Finance Corp.	3.375%	12/10/21		3,070			3,162
American Honda Finance Corp.	1.950%	5/20/22		1,500			1,505
American Honda Finance Corp.	2.600%	11/16/22		7,050			7,185
American Honda Finance Corp.	2.050%	1/10/23		4,349			4,362
American Honda Finance Corp.	3.450%	7/14/23		4,237			4,432
American Honda Finance Corp.	3.625%	10/10/23		2,520			2,658
American Honda Finance Corp.	2.900%	2/16/24		7,415			7,629
American Honda Finance Corp.	2.400%	6/27/24		4,440			4,492
American Honda Finance Corp.	2.150%	9/10/24		3,800			3,801
Aptiv Corp.	4.150%	3/15/24		2,392			2,530
AutoNation Inc.	3.350%	1/15/21		5,650			5,699
AutoNation Inc.	3.500%	11/15/24		1,372			1,413
AutoZone Inc.	3.700%	4/15/22		1,591			1,641
AutoZone Inc.	2.875%	1/15/23		6,600			6,716
AutoZone Inc.	3.125%	4/18/24		4,000			4,154
Best Buy Co. Inc.	5.500%	3/15/21		1,650			1,701
Block Financial LLC	5.500%	11/1/22		2,500			2,675
Booking Holdings Inc.	2.750%	3/15/23		8,678			8,855
Choice Hotels International Inc.	5.750%	7/1/22		2,750			2,966

20

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Costco Wholesale Corp.	2.150%	5/18/21		8,145			8,183
Costco Wholesale Corp.	2.250%	2/15/22		2,883			2,912
Costco Wholesale Corp.	2.300%	5/18/22		6,756			6,838
Costco Wholesale Corp.	2.750%	5/18/24		3,852			3,972
Cummins Inc.	3.650%	10/1/23		3,391			3,586
Dollar General Corp.	3.250%	4/15/23		5,310			5,482
Dollar Tree Inc.	3.700%	5/15/23		8,087			8,416
DR Horton Inc.	2.550%	12/1/20		7,283			7,316
DR Horton Inc.	4.375%	9/15/22		1,119			1,173
DR Horton Inc.	4.750%	2/15/23		3,325			3,538
DR Horton Inc.	2.500%	10/15/24		3,150			3,150
eBay Inc.	2.875%	8/1/21		5,075			5,134
eBay Inc.	3.800%	3/9/22		5,502			5,686
eBay Inc.	2.600%	7/15/22		5,603			5,652
eBay Inc.	2.750%	1/30/23		4,634			4,699
eBay Inc.	3.450%	8/1/24		4,000			4,167
Expedia Group Inc.	4.500%	8/15/24		3,110			3,326
Ford Motor Credit Co. LLC	2.343%	11/2/20		10,100			10,079
Ford Motor Credit Co. LLC	3.200%	1/15/21		6,615			6,638
Ford Motor Credit Co. LLC	5.750%	2/1/21		9,525			9,819
Ford Motor Credit Co. LLC	3.336%	3/18/21		9,790			9,861
Ford Motor Credit Co. LLC	5.875%	8/2/21		9,950			10,404
Ford Motor Credit Co. LLC	3.813%	10/12/21		9,025			9,175
Ford Motor Credit Co. LLC	5.596%	1/7/22		9,202			9,683
Ford Motor Credit Co. LLC	3.219%	1/9/22		4,066			4,090
Ford Motor Credit Co. LLC	3.339%	3/28/22		9,650			9,732
Ford Motor Credit Co. LLC	2.979%	8/3/22		9,425			9,428
Ford Motor Credit Co. LLC	4.250%	9/20/22		9,985			10,313
Ford Motor Credit Co. LLC	3.350%	11/1/22		8,250			8,326
Ford Motor Credit Co. LLC	3.096%	5/4/23		2,135			2,127
Ford Motor Credit Co. LLC	4.375%	8/6/23		6,100			6,323
Ford Motor Credit Co. LLC	3.810%	1/9/24		4,650			4,716
Ford Motor Credit Co. LLC	5.584%	3/18/24		3,630			3,915
Ford Motor Credit Co. LLC	3.664%	9/8/24		2,455			2,457
Ford Motor Credit Co. LLC	4.063%	11/1/24		13,673			13,944
General Motors Co.	4.875%	10/2/23		4,704			5,049
General Motors Financial Co. Inc.	4.200%	3/1/21		10,014			10,224
General Motors Financial Co. Inc.	3.550%	4/9/21		7,590			7,708
General Motors Financial Co. Inc.	3.200%	7/6/21		12,724			12,878
General Motors Financial Co. Inc.	4.375%	9/25/21		7,719			7,993
General Motors Financial Co. Inc.	4.200%	11/6/21		5,200			5,377
General Motors Financial Co. Inc.	3.450%	1/14/22		12,936			13,236
General Motors Financial Co. Inc.	3.450%	4/10/22		13,567			13,876
General Motors Financial Co. Inc.	3.150%	6/30/22		5,563			5,665
General Motors Financial Co. Inc.	3.550%	7/8/22		7,000			7,202
General Motors Financial Co. Inc.	3.250%	1/5/23		2,775			2,830
General Motors Financial Co. Inc.	3.700%	5/9/23		8,215			8,469
General Motors Financial Co. Inc.	4.250%	5/15/23		6,421			6,759
General Motors Financial Co. Inc.	4.150%	6/19/23		21,575			22,677
General Motors Financial Co. Inc.	5.100%	1/17/24		7,315			7,937
General Motors Financial Co. Inc.	3.500%	11/7/24		5,235			5,387
GLP Capital LP / GLP Financing II Inc.	4.375%	4/15/21		2,150			2,189
GLP Capital LP / GLP Financing II Inc.	3.350%	9/1/24		1,560			1,593
Home Depot Inc.	2.000%	4/1/21		9,493			9,517
Home Depot Inc.	4.400%	4/1/21		9,033			9,263
Home Depot Inc.	3.250%	3/1/22		5,120			5,288
Home Depot Inc.	2.625%	6/1/22		9,735			9,927
Home Depot Inc.	2.700%	4/1/23		7,084			7,254
Home Depot Inc.	3.750%	2/15/24		2,746			2,934
IHS Markit Ltd.	4.125%	8/1/23		1,565			1,659
IHS Markit Ltd.	3.625%	5/1/24		2,000			2,075
JD.com Inc.	3.125%	4/29/21		3,700			3,718
Kohl's Corp.	3.250%	2/1/23		1,490			1,515
Las Vegas Sands Corp.	3.200%	8/8/24		10,500			10,832

21

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Lowe's Cos. Inc.	3.750%	4/15/21		2,908			2,958
Lowe's Cos. Inc.	3.800%	11/15/21		3,232			3,326
Lowe's Cos. Inc.	3.120%	4/15/22		2,803			2,869
Lowe's Cos. Inc.	3.875%	9/15/23		6,100			6,456
Lowe's Cos. Inc.	3.125%	9/15/24		3,641			3,781
Macy's Retail Holdings Inc.	3.450%	1/15/21		3,050			3,076
Macy's Retail Holdings Inc.	3.875%	1/15/22		460			469
Macy's Retail Holdings Inc.	2.875%	2/15/23		9,425			9,382
Magna International Inc.	3.625%	6/15/24		6,350			6,671
Marriott International Inc.	2.875%	3/1/21		1,625			1,641
Marriott International Inc.	3.125%	10/15/21		4,125			4,191
Marriott International Inc.	2.300%	1/15/22		4,763			4,782
Marriott International Inc.	3.250%	9/15/22		3,804			3,903
Marriott International Inc.	2.125%	10/3/22		2,100			2,099
Marriott International Inc.	3.600%	4/15/24		4,200			4,414
Mastercard Inc.	2.000%	11/21/21		7,725			7,762
Mastercard Inc.	3.375%	4/1/24		4,293			4,550
McDonald's Corp.	2.750%	12/9/20		5,125			5,157
McDonald's Corp.	3.625%	5/20/21		7,063			7,223
McDonald's Corp.	2.625%	1/15/22		9,592			9,722
McDonald's Corp.	3.350%	4/1/23		2,517			2,621
Nordstrom Inc.	4.000%	10/15/21		3,054			3,133
NVR Inc.	3.950%	9/15/22		3,907			4,072
O'Reilly Automotive Inc.	4.875%	1/14/21		3,510			3,587
O'Reilly Automotive Inc.	4.625%	9/15/21		2,285			2,367
O'Reilly Automotive Inc.	3.850%	6/15/23		6,633			6,934
PACCAR Financial Corp.	2.050%	11/13/20		1,000			1,001
PACCAR Financial Corp.	2.250%	2/25/21		2,725			2,736
PACCAR Financial Corp.	2.800%	3/1/21		3,068			3,102
PACCAR Financial Corp.	3.150%	8/9/21		3,485			3,554
PACCAR Financial Corp.	2.850%	3/1/22		2,655			2,710
PACCAR Financial Corp.	2.650%	5/10/22		3,400			3,463
PACCAR Financial Corp.	2.000%	9/26/22		825			829
PACCAR Financial Corp.	3.400%	8/9/23		2,927			3,055
PACCAR Financial Corp.	2.150%	8/15/24		1,200			1,197
QVC Inc.	4.375%	3/15/23		7,844			8,082
QVC Inc.	4.850%	4/1/24		3,950			4,146
Royal Caribbean Cruises Ltd.	5.250%	11/15/22		4,750			5,124
Sands China Ltd.	4.600%	8/8/23		9,325			9,803
Starbucks Corp.	2.100%	2/4/21		5,220			5,227
Starbucks Corp.	2.700%	6/15/22		2,746			2,798
Starbucks Corp.	3.100%	3/1/23		8,325			8,589
Starbucks Corp.	3.850%	10/1/23		6,575			6,965
Tapestry Inc.	3.000%	7/15/22		2,800			2,835
Target Corp.	2.900%	1/15/22		7,803			7,983
Target Corp.	3.500%	7/1/24		550			589
TJX Cos. Inc.	2.750%	6/15/21		7,412			7,504
TJX Cos. Inc.	2.500%	5/15/23		4,680			4,768
Toyota Motor Corp.	3.183%	7/20/21		10,980			11,202
Toyota Motor Corp.	2.157%	7/2/22		3,900			3,930
Toyota Motor Corp.	3.419%	7/20/23		9,000			9,433
Toyota Motor Corp.	2.358%	7/2/24		3,310			3,363
Toyota Motor Credit Corp.	4.250%	1/11/21		3,135			3,210
Toyota Motor Credit Corp.	1.900%	4/8/21		8,245			8,251
Toyota Motor Credit Corp.	2.950%	4/13/21		8,280			8,398
Toyota Motor Credit Corp.	2.750%	5/17/21		5,010			5,069
Toyota Motor Credit Corp.	3.400%	9/15/21		9,015			9,240
Toyota Motor Credit Corp.	1.800%	10/7/21		2,400			2,397
Toyota Motor Credit Corp.	2.600%	1/11/22		10,165			10,317
Toyota Motor Credit Corp.	3.300%	1/12/22		3,851			3,958
Toyota Motor Credit Corp.	2.650%	4/12/22		5,375			5,463
Toyota Motor Credit Corp.	2.150%	9/8/22		10,125			10,204
Toyota Motor Credit Corp.	2.625%	1/10/23		1,676			1,708
Toyota Motor Credit Corp.	2.700%	1/11/23		6,082			6,205

22

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Toyota Motor Credit Corp.	3.450%	9/20/23		440			463
	Toyota Motor Credit Corp.	2.250%	10/18/23		3,982			4,013
	Toyota Motor Credit Corp.	2.900%	4/17/24		2,800			2,897
	VF Corp.	3.500%	9/1/21		2,000			2,045
	Visa Inc.	2.200%	12/14/20		16,056			16,114
	Visa Inc.	2.150%	9/15/22		6,334			6,403
	Visa Inc.	2.800%	12/14/22		15,452			15,877
	Walgreen Co.	3.100%	9/15/22		1,311			1,337
	Walgreens Boots Alliance Inc.	3.300%	11/18/21		15,114			15,396
	Walgreens Boots Alliance Inc.	3.800%	11/18/24		12,000			12,486
	Walmart Inc.	1.900%	12/15/20		15,549			15,569
	Walmart Inc.	3.125%	6/23/21		5,945			6,068
	Walmart Inc.	2.350%	12/15/22		9,103			9,257
	Walmart Inc.	2.550%	4/11/23		8,106			8,270
	Walmart Inc.	3.400%	6/26/23		8,066			8,470
	Walmart Inc.	3.300%	4/22/24		10,739			11,274
	Walmart Inc.	2.850%	7/8/24		8,346			8,636
	Walmart Inc.	2.650%	12/15/24		11,100			11,440
	Western Union Co.	3.600%	3/15/22		3,850			3,972
	Western Union Co.	4.250%	6/9/23		1,050			1,105
	Consumer Noncyclical (3.4%)
	Abbott Laboratories	2.550%	3/15/22		6,061			6,159
	Abbott Laboratories	3.400%	11/30/23		8,172			8,582
	AbbVie Inc.	2.300%	5/14/21		10,660			10,691
	AbbVie Inc.	3.375%	11/14/21		8,300			8,506
4	AbbVie Inc.	2.150%	11/19/21		11,000			11,028
	AbbVie Inc.	2.900%	11/6/22		14,604			14,893
	AbbVie Inc.	3.200%	11/6/22		11,072			11,383
4	AbbVie Inc.	2.300%	11/21/22		18,575			18,644
	AbbVie Inc.	2.850%	5/14/23		8,443			8,605
	AbbVie Inc.	3.750%	11/14/23		8,250			8,679
4	AbbVie Inc.	2.600%	11/21/24		20,750			20,890
	Actavis Inc.	3.250%	10/1/22		15,915			16,263
	Agilent Technologies Inc.	3.200%	10/1/22		4,339			4,439
	Agilent Technologies Inc.	3.875%	7/15/23		1,820			1,908
	Allergan Funding SCS	3.450%	3/15/22		10,861			11,110
	Allergan Funding SCS	3.850%	6/15/24		7,247			7,592
	Altria Group Inc.	4.750%	5/5/21		7,279			7,531
	Altria Group Inc.	3.490%	2/14/22		7,225			7,433
	Altria Group Inc.	2.850%	8/9/22		3,693			3,761
	Altria Group Inc.	4.000%	1/31/24		8,745			9,263
	Altria Group Inc.	3.800%	2/14/24		7,317			7,692
	AmerisourceBergen Corp.	3.500%	11/15/21		5,245			5,372
	AmerisourceBergen Corp.	3.400%	5/15/24		5,801			6,012
	Amgen Inc.	4.100%	6/15/21		7,680			7,875
	Amgen Inc.	1.850%	8/19/21		5,905			5,894
	Amgen Inc.	3.875%	11/15/21		8,680			8,954
	Amgen Inc.	2.700%	5/1/22		3,300			3,344
	Amgen Inc.	2.650%	5/11/22		1,103			1,119
	Amgen Inc.	3.625%	5/15/22		5,840			6,039
	Amgen Inc.	2.250%	8/19/23		5,760			5,809
	Amgen Inc.	3.625%	5/22/24		6,940			7,326
	Anheuser-Busch InBev Finance Inc.	2.625%	1/17/23		3,862			3,926
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23		27,974			28,941
	Anheuser-Busch InBev Finance Inc.	3.700%	2/1/24		5,962			6,318
	Anheuser-Busch InBev Worldwide Inc.	4.375%	2/15/21		4,293			4,391
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22		4,475			4,551
	Anheuser-Busch InBev Worldwide Inc.	3.500%	1/12/24		4,075			4,292
	Archer-Daniels-Midland Co.	4.479%	3/1/21		3,229			3,323
	Archer-Daniels-Midland Co.	3.375%	3/15/22		3,000			3,087
	AstraZeneca plc	2.375%	11/16/20		7,082			7,107
	AstraZeneca plc	2.375%	6/12/22		6,000			6,048
	AstraZeneca plc	3.500%	8/17/23		4,350			4,546

23

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	BAT Capital Corp.	2.764%	8/15/22		757			767
	BAT Capital Corp.	3.222%	8/15/24		15,649			15,986
	BAT Capital Corp.	2.789%	9/6/24		11,475			11,537
	Baxalta Inc.	3.600%	6/23/22		1,146			1,175
	Baxter International Inc.	1.700%	8/15/21		2,805			2,800
	Beam Suntory Inc.	3.250%	5/15/22		151			154
	Becton Dickinson & Co.	3.125%	11/8/21		10,862			11,069
	Becton Dickinson & Co.	2.894%	6/6/22		12,000			12,192
	Becton Dickinson & Co.	3.363%	6/6/24		13,276			13,799
	Becton Dickinson & Co.	3.734%	12/15/24		3,674			3,893
	Bio-Rad Laboratories Inc.	4.875%	12/15/20		3,075			3,148
	Biogen Inc.	3.625%	9/15/22		7,588			7,894
	Boston Scientific Corp.	3.375%	5/15/22		3,525			3,638
	Boston Scientific Corp.	3.450%	3/1/24		7,983			8,344
4	Bristol-Myers Squibb Co.	2.875%	2/19/21		2,705			2,733
4	Bristol-Myers Squibb Co.	2.550%	5/14/21		7,000			7,068
4	Bristol-Myers Squibb Co.	2.250%	8/15/21		2,590			2,605
4	Bristol-Myers Squibb Co.	2.600%	5/16/22		9,500			9,651
	Bristol-Myers Squibb Co.	2.000%	8/1/22		4,885			4,916
4	Bristol-Myers Squibb Co.	3.250%	8/15/22		4,901			5,051
4	Bristol-Myers Squibb Co.	3.550%	8/15/22		7,460			7,708
4	Bristol-Myers Squibb Co.	2.750%	2/15/23		6,435			6,538
4	Bristol-Myers Squibb Co.	3.250%	2/20/23		5,075			5,214
4	Bristol-Myers Squibb Co.	4.000%	8/15/23		5,816			6,198
	Bristol-Myers Squibb Co.	3.250%	11/1/23		1,425			1,489
4	Bristol-Myers Squibb Co.	3.625%	5/15/24		5,805			6,109
4	Bristol-Myers Squibb Co.	2.900%	7/26/24		20,530			21,157
	Bunge Ltd. Finance Corp.	3.000%	9/25/22		2,925			2,966
	Bunge Ltd. Finance Corp.	4.350%	3/15/24		3,750			3,938
	Campbell Soup Co.	3.300%	3/15/21		8,006			8,116
	Campbell Soup Co.	3.650%	3/15/23		8,026			8,359
	Cardinal Health Inc.	4.625%	12/15/20		3,315			3,399
	Cardinal Health Inc.	2.616%	6/15/22		4,686			4,732
	Cardinal Health Inc.	3.200%	3/15/23		5,594			5,735
	Cardinal Health Inc.	3.079%	6/15/24		6,076			6,244
	Church & Dwight Co. Inc.	2.450%	8/1/22		1,970			1,988
4	Cigna Corp.	3.300%	2/25/21		3,900			3,949
	Cigna Corp.	3.400%	9/17/21		8,485			8,676
4	Cigna Corp.	4.750%	11/15/21		7,386			7,743
4	Cigna Corp.	3.900%	2/15/22		9,710			10,022
4	Cigna Corp.	4.000%	2/15/22		1,300			1,340
4	Cigna Corp.	3.050%	11/30/22		5,400			5,494
4	Cigna Corp.	3.000%	7/15/23		8,772			8,893
	Cigna Corp.	3.750%	7/15/23		6,735			7,027
4	Cigna Corp.	3.500%	6/15/24		7,706			8,021
	Clorox Co.	3.050%	9/15/22		4,625			4,734
	Clorox Co.	3.500%	12/15/24		3,052			3,226
	Coca-Cola Co.	1.550%	9/1/21		6,540			6,529
	Coca-Cola Co.	3.300%	9/1/21		7,331			7,507
	Coca-Cola Co.	2.200%	5/25/22		3,775			3,811
	Coca-Cola Co.	2.500%	4/1/23		5,051			5,154
	Coca-Cola Co.	3.200%	11/1/23		8,059			8,459
	Coca-Cola Co.	1.750%	9/6/24		4,500			4,485
	Coca-Cola Femsa SAB de CV	3.875%	11/26/23		1,525			1,611
	Colgate-Palmolive Co.	2.450%	11/15/21		2,265			2,294
	Colgate-Palmolive Co.	2.300%	5/3/22		3,488			3,539
	Colgate-Palmolive Co.	2.250%	11/15/22		7,254			7,352
	Colgate-Palmolive Co.	2.100%	5/1/23		2,901			2,923
	Colgate-Palmolive Co.	3.250%	3/15/24		3,500			3,700
	CommonSpirit Health	2.950%	11/1/22		2,000			2,033
	CommonSpirit Health	2.760%	10/1/24		2,127			2,140
	Conagra Brands Inc.	3.800%	10/22/21		8,550			8,810
	Conagra Brands Inc.	3.250%	9/15/22		4,000			4,090
	Conagra Brands Inc.	4.300%	5/1/24		8,062			8,658

24

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Constellation Brands Inc.	3.750%	5/1/21		4,888			4,992
Constellation Brands Inc.	2.650%	11/7/22		1,323			1,341
Constellation Brands Inc.	3.200%	2/15/23		4,150			4,258
Constellation Brands Inc.	4.250%	5/1/23		6,696			7,093
Constellation Brands Inc.	4.750%	11/15/24		2,661			2,938
Covidien International Finance SA	3.200%	6/15/22		6,204			6,353
CVS Health Corp.	3.350%	3/9/21		14,981			15,202
CVS Health Corp.	2.125%	6/1/21		15,014			15,019
CVS Health Corp.	3.500%	7/20/22		6,026			6,220
CVS Health Corp.	2.750%	12/1/22		9,216			9,361
CVS Health Corp.	4.750%	12/1/22		2,620			2,788
CVS Health Corp.	3.700%	3/9/23		47,319			49,245
CVS Health Corp.	3.375%	8/12/24		4,990			5,195
CVS Health Corp.	2.625%	8/15/24		1,200			1,211
DH Europe Finance II Sarl	2.050%	11/15/22		5,500			5,494
DH Europe Finance II Sarl	2.200%	11/15/24		4,385			4,371
Diageo Capital plc	2.625%	4/29/23		9,453			9,610
Diageo Capital plc	2.125%	10/24/24		8,000			7,987
Diageo Investment Corp.	2.875%	5/11/22		844			860
Dignity Health	3.125%	11/1/22		320			326
Eli Lilly & Co.	2.350%	5/15/22		2,605			2,638
Estee Lauder Cos. Inc.	1.700%	5/10/21		3,475			3,467
Estee Lauder Cos. Inc.	2.000%	12/1/24		202			202
Flowers Foods Inc.	4.375%	4/1/22		1,450			1,510
Fomento Economico Mexicano SAB de CV	2.875%	5/10/23		1,970			1,995
General Mills Inc.	3.200%	4/16/21		5,275			5,356
General Mills Inc.	3.150%	12/15/21		9,982			10,193
General Mills Inc.	2.600%	10/12/22		5,683			5,764
General Mills Inc.	3.700%	10/17/23		5,900			6,214
Gilead Sciences Inc.	4.500%	4/1/21		6,262			6,419
Gilead Sciences Inc.	4.400%	12/1/21		7,214			7,521
Gilead Sciences Inc.	1.950%	3/1/22		1,000			1,001
Gilead Sciences Inc.	3.250%	9/1/22		8,649			8,935
Gilead Sciences Inc.	2.500%	9/1/23		7,900			8,018
Gilead Sciences Inc.	3.700%	4/1/24		13,090			13,896
GlaxoSmithKline Capital Inc.	2.800%	3/18/23		6,940			7,104
GlaxoSmithKline Capital Inc.	3.375%	5/15/23		10,400			10,830
GlaxoSmithKline Capital plc	3.125%	5/14/21		11,711			11,898
GlaxoSmithKline Capital plc	2.850%	5/8/22		8,160			8,336
GlaxoSmithKline Capital plc	2.875%	6/1/22		8,600			8,783
GlaxoSmithKline Capital plc	3.000%	6/1/24		1,900			1,970
Hasbro Inc.	3.150%	5/15/21		2,040			2,061
HCA Inc.	4.750%	5/1/23		10,424			11,154
HCA Inc.	5.000%	3/15/24		9,155			9,990
Hershey Co.	4.125%	12/1/20		1,590			1,622
Hershey Co.	3.100%	5/15/21		2,570			2,611
Hershey Co.	2.625%	5/1/23		1,250			1,272
Hershey Co.	3.375%	5/15/23		3,367			3,529
Hershey Co.	2.050%	11/15/24		3,757			3,753
JM Smucker Co.	3.000%	3/15/22		3,280			3,343
Johnson & Johnson	1.950%	11/10/20		3,800			3,801
Johnson & Johnson	1.650%	3/1/21		9,060			9,039
Johnson & Johnson	3.550%	5/15/21		3,450			3,527
Johnson & Johnson	2.450%	12/5/21		1,245			1,261
Johnson & Johnson	2.250%	3/3/22		3,360			3,396
Johnson & Johnson	2.050%	3/1/23		3,830			3,852
Johnson & Johnson	3.375%	12/5/23		6,650			7,050
Kaiser Foundation Hospitals	3.500%	4/1/22		1,905			1,968
Kellogg Co.	4.000%	12/15/20		594			604
Kellogg Co.	3.125%	5/17/22		200			204
Kellogg Co.	2.650%	12/1/23		884			900
Keurig Dr Pepper Inc.	3.551%	5/25/21		8,583			8,759
Keurig Dr Pepper Inc.	4.057%	5/25/23		10,519			11,088
Keurig Dr Pepper Inc.	3.130%	12/15/23		5,900			6,059

25

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Kimberly-Clark Corp.	3.875%	3/1/21		2,195			2,242
	Kimberly-Clark Corp.	2.400%	6/1/23		1,675			1,708
	Kraft Foods Group Inc.	3.500%	6/6/22		5,013			5,170
	Kraft Heinz Foods Co.	3.375%	6/15/21		1,925			1,955
	Kraft Heinz Foods Co.	3.500%	7/15/22		3,548			3,654
	Kraft Heinz Foods Co.	4.000%	6/15/23		5,229			5,495
	Kroger Co.	3.300%	1/15/21		4,213			4,258
	Kroger Co.	2.600%	2/1/21		2,420			2,434
	Kroger Co.	2.950%	11/1/21		1,600			1,624
	Kroger Co.	3.400%	4/15/22		2,000			2,056
	Kroger Co.	2.800%	8/1/22		3,975			4,049
	Kroger Co.	3.850%	8/1/23		5,250			5,538
	Kroger Co.	4.000%	2/1/24		2,400			2,548
	Laboratory Corp. of America Holdings	3.200%	2/1/22		3,774			3,852
	Laboratory Corp. of America Holdings	3.750%	8/23/22		6,587			6,829
	Laboratory Corp. of America Holdings	4.000%	11/1/23		2,000			2,106
	Laboratory Corp. of America Holdings	3.250%	9/1/24		3,218			3,341
	Laboratory Corp. of America Holdings	2.300%	12/1/24		2,794			2,781
	McCormick & Co. Inc.	2.700%	8/15/22		3,156			3,205
	McCormick & Co. Inc.	3.150%	8/15/24		4,860			5,038
	McKesson Corp.	2.700%	12/15/22		2,000			2,023
	McKesson Corp.	2.850%	3/15/23		3,630			3,682
	McKesson Corp.	3.796%	3/15/24		4,730			4,972
	Mead Johnson Nutrition Co.	3.000%	11/15/20		7,688			7,756
	Medtronic Inc.	3.150%	3/15/22		7,272			7,476
	Medtronic Inc.	2.750%	4/1/23		3,650			3,731
	Medtronic Inc.	3.625%	3/15/24		1,065			1,128
	Merck & Co. Inc.	2.350%	2/10/22		8,688			8,795
	Merck & Co. Inc.	2.400%	9/15/22		8,742			8,864
	Merck & Co. Inc.	2.800%	5/18/23		8,135			8,382
	Merck & Co. Inc.	2.900%	3/7/24		5,500			5,723
	Molson Coors Beverage Co.	2.100%	7/15/21		5,925			5,924
	Molson Coors Beverage Co.	3.500%	5/1/22		3,428			3,515
4	Mondelez International Holdings Netherlands BV	2.125%	9/19/22		9,500			9,492
	Mylan Inc.	4.200%	11/29/23		5,625			5,935
	Mylan NV	3.750%	12/15/20		124			125
	Mylan NV	3.150%	6/15/21		5,459			5,515
	Novartis Capital Corp.	2.400%	5/17/22		5,982			6,062
	Novartis Capital Corp.	2.400%	9/21/22		8,057			8,181
	Novartis Capital Corp.	3.400%	5/6/24		12,808			13,553
	PepsiCo Inc.	2.000%	4/15/21		8,270			8,286
	PepsiCo Inc.	3.000%	8/25/21		6,050			6,164
	PepsiCo Inc.	1.700%	10/6/21		7,973			7,964
	PepsiCo Inc.	2.750%	3/5/22		6,800			6,937
	PepsiCo Inc.	2.250%	5/2/22		6,091			6,151
	PepsiCo Inc.	3.100%	7/17/22		3,215			3,311
	PepsiCo Inc.	2.750%	3/1/23		7,500			7,701
	PepsiCo Inc.	3.600%	3/1/24		125			133
	Perrigo Finance Unlimited Co.	3.500%	3/15/21		1,896			1,894
	Perrigo Finance Unlimited Co.	3.500%	12/15/21		2,144			2,169
	Perrigo Finance Unlimited Co.	3.900%	12/15/24		4,375			4,499
	Pfizer Inc.	1.950%	6/3/21		2,780			2,787
	Pfizer Inc.	3.000%	9/15/21		5,000			5,096
	Pfizer Inc.	2.200%	12/15/21		8,949			9,017
	Pfizer Inc.	2.800%	3/11/22		5,736			5,846
	Pfizer Inc.	3.000%	6/15/23		8,697			9,029
	Pfizer Inc.	3.200%	9/15/23		4,450			4,639
	Pfizer Inc.	2.950%	3/15/24		5,000			5,189
	Pfizer Inc.	3.400%	5/15/24		6,343			6,705
	Philip Morris International Inc.	1.875%	2/25/21		7,397			7,389
	Philip Morris International Inc.	4.125%	5/17/21		3,687			3,793
	Philip Morris International Inc.	2.900%	11/15/21		5,194			5,293
	Philip Morris International Inc.	2.625%	2/18/22		4,548			4,603
	Philip Morris International Inc.	2.375%	8/17/22		6,229			6,281

26

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Philip Morris International Inc.	2.500%	8/22/22		6,199			6,257
	Philip Morris International Inc.	2.500%	11/2/22		6,634			6,734
	Philip Morris International Inc.	2.125%	5/10/23		2,050			2,049
	Philip Morris International Inc.	3.600%	11/15/23		3,225			3,390
	Philip Morris International Inc.	2.875%	5/1/24		3,575			3,673
3	Procter & Gamble - Esop	9.360%	1/1/21		1,716			1,798
	Procter & Gamble Co.	1.850%	2/2/21		2,175			2,177
	Procter & Gamble Co.	1.700%	11/3/21		7,610			7,632
	Procter & Gamble Co.	2.300%	2/6/22		6,697			6,784
	Procter & Gamble Co.	2.150%	8/11/22		500			506
	Procter & Gamble Co.	3.100%	8/15/23		5,969			6,240
	Reynolds American Inc.	4.000%	6/12/22		6,663			6,931
	Reynolds American Inc.	4.850%	9/15/23		3,175			3,437
	Sanofi	4.000%	3/29/21		7,945			8,150
	Sanofi	3.375%	6/19/23		9,455			9,907
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21		20,634			20,737
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23		20,738			21,111
	SSM Health Care Corp.	3.688%	6/1/23		3,800			3,953
	Stryker Corp.	2.625%	3/15/21		5,455			5,491
	Stryker Corp.	3.375%	5/15/24		4,500			4,715
	Sysco Corp.	2.500%	7/15/21		4,315			4,349
	Sysco Corp.	2.600%	6/12/22		3,525			3,577
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21		8,540			8,821
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23		10,955			11,747
	Thermo Fisher Scientific Inc.	3.000%	4/15/23		8,879			9,126
	Thermo Fisher Scientific Inc.	4.150%	2/1/24		2,850			3,054
	Tyson Foods Inc.	2.250%	8/23/21		9,022			9,057
	Tyson Foods Inc.	4.500%	6/15/22		6,335			6,665
	Tyson Foods Inc.	3.900%	9/28/23		1,600			1,696
	Tyson Foods Inc.	3.950%	8/15/24		14,014			14,977
	Unilever Capital Corp.	4.250%	2/10/21		6,897			7,081
	Unilever Capital Corp.	2.750%	3/22/21		1,695			1,713
	Unilever Capital Corp.	1.375%	7/28/21		8,675			8,610
	Unilever Capital Corp.	3.000%	3/7/22		5,550			5,680
	Unilever Capital Corp.	2.200%	5/5/22		4,258			4,286
	Unilever Capital Corp.	3.125%	3/22/23		3,215			3,325
	Unilever Capital Corp.	3.250%	3/7/24		2,740			2,868
	Unilever Capital Corp.	2.600%	5/5/24		3,750			3,833
	Whirlpool Corp.	4.850%	6/15/21		1,190			1,235
	Whirlpool Corp.	4.700%	6/1/22		2,248			2,378
	Whirlpool Corp.	4.000%	3/1/24		2,175			2,300
	Wyeth LLC	7.250%	3/1/23		1,000			1,155
	Wyeth LLC	6.450%	2/1/24		3,364			3,920
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22		6,477			6,613
	Zimmer Biomet Holdings Inc.	3.700%	3/19/23		3,390			3,530
	Zoetis Inc.	3.450%	11/13/20		3,225			3,258
	Zoetis Inc.	3.250%	8/20/21		2,050			2,083
	Zoetis Inc.	3.250%	2/1/23		10,613			10,947
	Energy (1.9%)
	Apache Corp.	3.625%	2/1/21		1,354			1,367
	Apache Corp.	3.250%	4/15/22		3,759			3,815
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22		8,600			8,767
	Boardwalk Pipelines LP	3.375%	2/1/23		3,178			3,237
	Boardwalk Pipelines LP	4.950%	12/15/24		2,427			2,620
	BP Capital Markets America Inc.	4.742%	3/11/21		7,250			7,493
	BP Capital Markets America Inc.	2.112%	9/16/21		9,175			9,211
	BP Capital Markets America Inc.	3.245%	5/6/22		13,847			14,292
	BP Capital Markets America Inc.	2.520%	9/19/22		3,400			3,452
	BP Capital Markets America Inc.	2.750%	5/10/23		9,824			10,041
	BP Capital Markets America Inc.	3.216%	11/28/23		6,850			7,118
	BP Capital Markets America Inc.	3.790%	2/6/24		1,000			1,063
	BP Capital Markets America Inc.	3.224%	4/14/24		6,215			6,481

27

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	BP Capital Markets plc	3.062%	3/17/22		13,105			13,438
	BP Capital Markets plc	2.500%	11/6/22		14,750			15,011
	BP Capital Markets plc	3.994%	9/26/23		1,100			1,173
	BP Capital Markets plc	3.535%	11/4/24		9,414			10,018
	Canadian Natural Resources Ltd.	3.450%	11/15/21		3,000			3,064
	Canadian Natural Resources Ltd.	2.950%	1/15/23		8,596			8,755
	Canadian Natural Resources Ltd.	3.800%	4/15/24		350			366
	Cenovus Energy Inc.	3.000%	8/15/22		2,717			2,749
	Cenovus Energy Inc.	3.800%	9/15/23		1,740			1,802
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24		8,100			9,335
	Chevron Corp.	2.100%	5/16/21		8,341			8,378
	Chevron Corp.	2.498%	3/3/22		3,485			3,543
	Chevron Corp.	2.355%	12/5/22		12,910			13,081
	Chevron Corp.	2.566%	5/16/23		5,467			5,576
	Chevron Corp.	3.191%	6/24/23		9,764			10,155
	Chevron Corp.	2.895%	3/3/24		12,834			13,275
	Cimarex Energy Co.	4.375%	6/1/24		6,065			6,387
	Continental Resources Inc.	4.500%	4/15/23		9,505			9,957
	Continental Resources Inc.	3.800%	6/1/24		8,605			8,895
	Diamondback Energy Inc.	2.875%	12/1/24		6,000			6,056
	Dominion Energy Gas Holdings LLC	3.550%	11/1/23		2,741			2,836
	Dominion Energy Gas Holdings LLC	2.500%	11/15/24		3,000			3,012
	Enable Midstream Partners LP	3.900%	5/15/24		4,450			4,526
	Enbridge Energy Partners LP	4.200%	9/15/21		4,320			4,451
	Enbridge Inc.	2.900%	7/15/22		5,220			5,312
	Enbridge Inc.	4.000%	10/1/23		2,267			2,393
	Enbridge Inc.	3.500%	6/10/24		3,150			3,285
	Encana Corp.	3.900%	11/15/21		4,606			4,710
	Energy Transfer Operating LP	4.650%	6/1/21		3,045			3,123
	Energy Transfer Operating LP	5.200%	2/1/22		6,975			7,310
	Energy Transfer Operating LP	3.600%	2/1/23		8,728			8,938
	Energy Transfer Operating LP	4.250%	3/15/23		1,575			1,645
	Energy Transfer Operating LP	5.875%	1/15/24		7,500			8,299
	Energy Transfer Operating LP	4.900%	2/1/24		2,890			3,086
	Energy Transfer Operating LP	4.500%	4/15/24		4,020			4,267
	Enterprise Products Operating LLC	2.800%	2/15/21		8,534			8,612
	Enterprise Products Operating LLC	2.850%	4/15/21		8,585			8,669
	Enterprise Products Operating LLC	3.500%	2/1/22		4,450			4,582
	Enterprise Products Operating LLC	4.050%	2/15/22		2,732			2,848
	Enterprise Products Operating LLC	3.350%	3/15/23		7,960			8,226
	Enterprise Products Operating LLC	3.900%	2/15/24		5,600			5,948
3	Enterprise Products Operating LLC	4.875%	8/16/77		1,400			1,381
	EOG Resources Inc.	4.100%	2/1/21		8,890			9,096
	EOG Resources Inc.	2.625%	3/15/23		8,063			8,204
	EQM Midstream Partners LP	4.750%	7/15/23		7,000			7,017
	EQM Midstream Partners LP	4.000%	8/1/24		3,000			2,916
	EQT Corp.	4.875%	11/15/21		7,175			7,369
	EQT Corp.	3.000%	10/1/22		6,405			6,261
	Exxon Mobil Corp.	2.222%	3/1/21		7,297			7,337
	Exxon Mobil Corp.	2.397%	3/6/22		6,054			6,132
	Exxon Mobil Corp.	1.902%	8/16/22		5,180			5,213
	Exxon Mobil Corp.	2.726%	3/1/23		13,125			13,435
	Exxon Mobil Corp.	2.019%	8/16/24		4,000			4,010
	Halliburton Co.	3.250%	11/15/21		2,906			2,959
	Halliburton Co.	3.500%	8/1/23		5,900			6,130
	Hess Corp.	3.500%	7/15/24		2,000			2,051
	Husky Energy Inc.	3.950%	4/15/22		3,600			3,722
	Husky Energy Inc.	4.000%	4/15/24		4,870			5,121
	Kinder Morgan Energy Partners LP	3.500%	3/1/21		8,760			8,880
	Kinder Morgan Energy Partners LP	5.800%	3/1/21		2,575			2,682
	Kinder Morgan Energy Partners LP	5.000%	10/1/21		8,149			8,493
	Kinder Morgan Energy Partners LP	3.450%	2/15/23		7,432			7,652
	Kinder Morgan Energy Partners LP	3.500%	9/1/23		2,685			2,781
	Kinder Morgan Energy Partners LP	4.150%	2/1/24		4,825			5,133

28

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Kinder Morgan Energy Partners LP	4.300%	5/1/24		7,376			7,881
	Kinder Morgan Energy Partners LP	4.250%	9/1/24		4,000			4,278
	Kinder Morgan Inc.	3.150%	1/15/23		3,489			3,567
	Marathon Oil Corp.	2.800%	11/1/22		6,762			6,864
	Marathon Petroleum Corp.	3.400%	12/15/20		8,269			8,358
	Marathon Petroleum Corp.	5.125%	3/1/21		7,404			7,657
	Marathon Petroleum Corp.	4.750%	12/15/23		6,675			7,244
	Marathon Petroleum Corp.	3.625%	9/15/24		3,656			3,834
4	MPLX LP	3.500%	12/1/22		3,875			3,991
	MPLX LP	3.375%	3/15/23		5,103			5,237
	MPLX LP	4.500%	7/15/23		7,966			8,455
	MPLX LP	4.875%	12/1/24		6,500			7,049
	National Fuel Gas Co.	4.900%	12/1/21		2,125			2,215
	National Fuel Gas Co.	3.750%	3/1/23		3,066			3,149
	National Oilwell Varco Inc.	2.600%	12/1/22		3,091			3,121
	Newfield Exploration Co.	5.750%	1/30/22		5,285			5,615
	Newfield Exploration Co.	5.625%	7/1/24		4,496			4,946
	Noble Energy Inc.	3.900%	11/15/24		3,105			3,280
	Occidental Petroleum Corp.	4.100%	2/1/21		7,978			8,101
	Occidental Petroleum Corp.	4.850%	3/15/21		4,575			4,708
	Occidental Petroleum Corp.	2.600%	8/13/21		9,375			9,431
	Occidental Petroleum Corp.	3.125%	2/15/22		6,756			6,868
	Occidental Petroleum Corp.	2.600%	4/15/22		2,983			3,003
	Occidental Petroleum Corp.	2.700%	8/15/22		11,167			11,289
	Occidental Petroleum Corp.	2.700%	2/15/23		4,175			4,207
	Occidental Petroleum Corp.	6.950%	7/1/24		4,500			5,276
	Occidental Petroleum Corp.	2.900%	8/15/24		18,450			18,740
	ONEOK Inc.	4.250%	2/1/22		8,000			8,301
	ONEOK Inc.	7.500%	9/1/23		1,615			1,879
	ONEOK Inc.	2.750%	9/1/24		2,158			2,169
	ONEOK Partners LP	3.375%	10/1/22		3,987			4,102
	ONEOK Partners LP	5.000%	9/15/23		3,440			3,727
	Phillips 66	4.300%	4/1/22		9,635			10,106
	Phillips 66 Partners LP	2.450%	12/15/24		2,000			1,995
	Pioneer Natural Resources Co.	3.450%	1/15/21		4,135			4,182
	Pioneer Natural Resources Co.	3.950%	7/15/22		3,815			3,968
	Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21		5,750			5,878
	Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22		2,309			2,369
	Plains All American Pipeline LP / PAA Finance Corp.	2.850%	1/31/23		3,850			3,892
	Plains All American Pipeline LP / PAA Finance Corp.	3.850%	10/15/23		3,471			3,597
	Plains All American Pipeline LP / PAA Finance Corp.	3.600%	11/1/24		2,298			2,357
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22		9,169			9,738
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22		4,750			5,029
	Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23		5,500			5,816
	Sabine Pass Liquefaction LLC	5.625%	2/1/21		2,320			2,385
	Sabine Pass Liquefaction LLC	6.250%	3/15/22		6,944			7,462
	Sabine Pass Liquefaction LLC	5.625%	4/15/23		9,965			10,837
	Sabine Pass Liquefaction LLC	5.750%	5/15/24		11,794			13,156
	Schlumberger Investment SA	3.650%	12/1/23		10,450			11,003
	Shell International Finance BV	1.875%	5/10/21		9,538			9,534
	Shell International Finance BV	1.750%	9/12/21		8,100			8,090
	Shell International Finance BV	2.375%	8/21/22		9,674			9,798
	Shell International Finance BV	2.250%	1/6/23		3,135			3,160
	Shell International Finance BV	3.400%	8/12/23		7,504			7,862
	Shell International Finance BV	2.000%	11/7/24		12,900			12,879
	Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.	4.400%	6/15/21		2,100			2,154
	Spectra Energy Partners LP	4.750%	3/15/24		7,550			8,207
	Suncor Energy Inc.	3.600%	12/1/24		4,243			4,494
	Sunoco Logistics Partners Operations LP	4.400%	4/1/21		9,060			9,277
	Sunoco Logistics Partners Operations LP	3.450%	1/15/23		1,194			1,218

29

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Sunoco Logistics Partners Operations LP	4.250%	4/1/24		1,470			1,542
	Total Capital Canada Ltd.	2.750%	7/15/23		11,453			11,720
	Total Capital International SA	2.750%	6/19/21		3,150			3,191
	Total Capital International SA	2.218%	7/12/21		2,000			2,009
	Total Capital International SA	2.875%	2/17/22		6,785			6,922
	Total Capital International SA	2.700%	1/25/23		6,625			6,768
	Total Capital International SA	3.700%	1/15/24		6,427			6,820
	Total Capital International SA	3.750%	4/10/24		6,034			6,442
	Total Capital SA	4.125%	1/28/21		2,975			3,042
	Total Capital SA	4.250%	12/15/21		6,930			7,242
	TransCanada PipeLines Ltd.	2.500%	8/1/22		6,375			6,404
	TransCanada PipeLines Ltd.	3.750%	10/16/23		9,307			9,754
	Western Midstream Operating LP	5.375%	6/1/21		3,282			3,371
	Western Midstream Operating LP	4.000%	7/1/22		4,722			4,821
	Williams Cos. Inc.	4.000%	11/15/21		5,415			5,567
	Williams Cos. Inc.	3.600%	3/15/22		6,355			6,530
	Williams Cos. Inc.	3.350%	8/15/22		7,109			7,286
	Williams Cos. Inc.	3.700%	1/15/23		3,278			3,383
	Williams Cos. Inc.	4.500%	11/15/23		2,336			2,493
	Williams Cos. Inc.	4.300%	3/4/24		7,239			7,690
	Williams Cos. Inc.	4.550%	6/24/24		7,007			7,555
	Other Industrial (0.0%)
	Cintas Corp. No. 2	2.900%	4/1/22		5,200			5,304
	Fluor Corp.	3.500%	12/15/24		2,842			2,896
	Technology (2.3%)
	Alphabet Inc.	3.625%	5/19/21		4,572			4,687
	Alphabet Inc.	3.375%	2/25/24		5,000			5,315
	Altera Corp.	4.100%	11/15/23		3,000			3,231
	Amphenol Corp.	3.200%	4/1/24		3,030			3,136
	Analog Devices Inc.	2.500%	12/5/21		3,350			3,376
	Analog Devices Inc.	2.875%	6/1/23		3,750			3,823
	Analog Devices Inc.	3.125%	12/5/23		4,717			4,866
	Apple Inc.	2.250%	2/23/21		13,531			13,598
	Apple Inc.	2.850%	5/6/21		10,661			10,824
	Apple Inc.	1.550%	8/4/21		8,556			8,537
	Apple Inc.	2.150%	2/9/22		14,592			14,715
	Apple Inc.	2.500%	2/9/22		14,210			14,421
	Apple Inc.	2.300%	5/11/22		18,298			18,524
	Apple Inc.	2.700%	5/13/22		9,881			10,091
	Apple Inc.	2.850%	2/23/23		9,846			10,110
	Apple Inc.	2.400%	5/3/23		35,312			35,885
	Apple Inc.	3.000%	2/9/24		9,221			9,544
	Apple Inc.	3.450%	5/6/24		15,205			16,157
	Apple Inc.	2.850%	5/11/24		8,330			8,608
	Apple Inc.	1.800%	9/11/24		4,100			4,062
	Arrow Electronics Inc.	3.500%	4/1/22		2,575			2,635
	Arrow Electronics Inc.	4.500%	3/1/23		1,249			1,308
	Arrow Electronics Inc.	3.250%	9/8/24		3,759			3,857
	Avnet Inc.	3.750%	12/1/21		4,300			4,393
	Avnet Inc.	4.875%	12/1/22		2,825			2,993
	Baidu Inc.	2.875%	7/6/22		4,675			4,718
	Baidu Inc.	3.500%	11/28/22		5,780			5,941
	Baidu Inc.	3.875%	9/29/23		4,900			5,110
	Baidu Inc.	4.375%	5/14/24		5,000			5,327
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21		8,460			8,449
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22		8,410			8,542
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23		5,933			5,962
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.625%	1/15/24		13,025			13,485
4	Broadcom Inc.	3.125%	4/15/21		10,000			10,118
4	Broadcom Inc.	3.125%	10/15/22		25,000			25,434
4	Broadcom Inc.	3.625%	10/15/24		15,410			15,970
	CA Inc.	3.600%	8/15/22		3,075			3,145
	Cadence Design Systems Inc.	4.375%	10/15/24		2,126			2,279

30

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Cisco Systems Inc.	2.200%	2/28/21		7,634			7,667
	Cisco Systems Inc.	2.900%	3/4/21		4,265			4,317
	Cisco Systems Inc.	1.850%	9/20/21		12,269			12,281
	Cisco Systems Inc.	3.000%	6/15/22		6,524			6,712
	Cisco Systems Inc.	2.600%	2/28/23		7,945			8,118
	Cisco Systems Inc.	3.625%	3/4/24		6,000			6,411
	Corning Inc.	2.900%	5/15/22		4,000			4,082
4	Dell International LLC / EMC Corp.	4.420%	6/15/21		21,688			22,291
4	Dell International LLC / EMC Corp.	5.450%	6/15/23		21,825			23,644
4	Dell International LLC / EMC Corp.	4.000%	7/15/24		6,015			6,293
	DXC Technology Co.	4.250%	4/15/24		3,030			3,206
	Equifax Inc.	3.600%	8/15/21		2,500			2,554
	Equifax Inc.	3.300%	12/15/22		3,480			3,581
	Equifax Inc.	2.600%	12/1/24		750			753
	Equinix Inc.	2.625%	11/18/24		7,000			7,027
	Fidelity National Information Services Inc.	3.500%	4/15/23		7,962			8,287
	Fidelity National Information Services Inc.	3.875%	6/5/24		2,000			2,123
	Fiserv Inc.	4.750%	6/15/21		750			779
	Fiserv Inc.	3.500%	10/1/22		8,363			8,663
	Fiserv Inc.	3.800%	10/1/23		8,875			9,355
	Fiserv Inc.	2.750%	7/1/24		12,500			12,715
	Flex Ltd.	5.000%	2/15/23		3,613			3,854
	FLIR Systems Inc.	3.125%	6/15/21		2,625			2,644
	Hewlett Packard Enterprise Co.	3.600%	10/15/20		25,014			25,286
	Hewlett Packard Enterprise Co.	3.500%	10/5/21		3,600			3,684
	Hewlett Packard Enterprise Co.	4.400%	10/15/22		7,556			7,975
	Hewlett Packard Enterprise Co.	2.250%	4/1/23		2,750			2,749
	HP Inc.	4.375%	9/15/21		11,300			11,686
	HP Inc.	4.050%	9/15/22		3,881			4,053
	IBM Credit LLC	3.450%	11/30/20		4,975			5,051
	IBM Credit LLC	1.800%	1/20/21		8,225			8,213
	IBM Credit LLC	2.650%	2/5/21		7,024			7,077
	IBM Credit LLC	3.600%	11/30/21		3,875			4,002
	IBM Credit LLC	2.200%	9/8/22		6,100			6,142
	IBM Credit LLC	3.000%	2/6/23		8,100			8,331
	Intel Corp.	1.700%	5/19/21		6,050			6,039
	Intel Corp.	3.300%	10/1/21		14,011			14,371
	Intel Corp.	2.350%	5/11/22		7,050			7,132
	Intel Corp.	3.100%	7/29/22		8,365			8,629
	Intel Corp.	2.700%	12/15/22		8,306			8,508
	Intel Corp.	2.875%	5/11/24		3,050			3,163
	International Business Machines Corp.	2.250%	2/19/21		8,769			8,807
	International Business Machines Corp.	2.800%	5/13/21		11,050			11,196
	International Business Machines Corp.	2.500%	1/27/22		8,675			8,777
	International Business Machines Corp.	2.850%	5/13/22		20,250			20,687
	International Business Machines Corp.	1.875%	8/1/22		5,035			5,036
	International Business Machines Corp.	2.875%	11/9/22		5,705			5,851
	International Business Machines Corp.	3.375%	8/1/23		10,064			10,527
	International Business Machines Corp.	3.625%	2/12/24		10,650			11,270
	International Business Machines Corp.	3.000%	5/15/24		20,775			21,511
	Jabil Inc.	5.625%	12/15/20		3,456			3,555
	Juniper Networks Inc.	4.500%	3/15/24		2,970			3,211
	Keysight Technologies Inc.	4.550%	10/30/24		3,959			4,301
	KLA Corp.	4.125%	11/1/21		3,375			3,489
	KLA Corp.	4.650%	11/1/24		8,116			8,895
	Lam Research Corp.	2.800%	6/15/21		5,735			5,798
	Marvell Technology Group Ltd.	4.200%	6/22/23		4,000			4,200
	Maxim Integrated Products Inc.	3.375%	3/15/23		3,599			3,693
	Microchip Technology Inc.	3.922%	6/1/21		4,800			4,904
	Microchip Technology Inc.	4.333%	6/1/23		5,100			5,388
	Micron Technology Inc.	4.640%	2/6/24		3,900			4,217
	Microsoft Corp.	1.550%	8/8/21		17,671			17,636
	Microsoft Corp.	2.400%	2/6/22		14,224			14,426
	Microsoft Corp.	2.375%	2/12/22		11,359			11,513

31

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Microsoft Corp.	2.650%	11/3/22		13,014			13,319
	Microsoft Corp.	2.125%	11/15/22		3,556			3,593
	Microsoft Corp.	2.375%	5/1/23		10,009			10,179
	Microsoft Corp.	2.000%	8/8/23		12,785			12,856
	Microsoft Corp.	3.625%	12/15/23		500			532
	Microsoft Corp.	2.875%	2/6/24		16,716			17,332
	Motorola Solutions Inc.	3.750%	5/15/22		3,855			3,981
	Motorola Solutions Inc.	3.500%	3/1/23		5,031			5,187
	Motorola Solutions Inc.	4.000%	9/1/24		1,244			1,316
	NetApp Inc.	3.375%	6/15/21		2,300			2,335
	NetApp Inc.	3.300%	9/29/24		2,500			2,585
	NVIDIA Corp.	2.200%	9/16/21		7,020			7,048
4	NXP BV / NXP Funding LLC	4.875%	3/1/24		6,600			7,169
	Oracle Corp.	1.900%	9/15/21		22,591			22,619
	Oracle Corp.	2.500%	5/15/22		21,139			21,440
	Oracle Corp.	2.500%	10/15/22		19,381			19,703
	Oracle Corp.	3.625%	7/15/23		2,071			2,188
	Oracle Corp.	2.400%	9/15/23		16,868			17,139
	Oracle Corp.	3.400%	7/8/24		13,175			13,899
	Oracle Corp.	2.950%	11/15/24		12,579			13,041
	PayPal Holdings Inc.	2.200%	9/26/22		6,400			6,436
	PayPal Holdings Inc.	2.400%	10/1/24		7,526			7,599
	QUALCOMM Inc.	3.000%	5/20/22		10,568			10,824
	QUALCOMM Inc.	2.600%	1/30/23		12,325			12,540
	QUALCOMM Inc.	2.900%	5/20/24		6,806			7,013
	salesforce.com Inc.	3.250%	4/11/23		7,275			7,553
	Seagate HDD Cayman	4.250%	3/1/22		1,606			1,658
	Seagate HDD Cayman	4.750%	6/1/23		1,437			1,521
	Seagate HDD Cayman	4.875%	3/1/24		3,335			3,548
	Texas Instruments Inc.	2.750%	3/12/21		5,018			5,073
	Texas Instruments Inc.	1.850%	5/15/22		4,110			4,115
	Texas Instruments Inc.	2.625%	5/15/24		1,700			1,742
	Total System Services Inc.	3.800%	4/1/21		4,825			4,915
	Total System Services Inc.	3.750%	6/1/23		5,120			5,344
	Total System Services Inc.	4.000%	6/1/23		5,450			5,736
	Trimble Inc.	4.150%	6/15/23		1,950			2,057
	Trimble Inc.	4.750%	12/1/24		1,682			1,822
	Tyco Electronics Group SA	4.875%	1/15/21		5,727			5,886
	Tyco Electronics Group SA	3.500%	2/3/22		1,650			1,698
	Tyco Electronics Group SA	3.450%	8/1/24		2,000			2,085
	Verisk Analytics Inc.	5.800%	5/1/21		3,365			3,523
	Verisk Analytics Inc.	4.125%	9/12/22		3,025			3,163
	VMware Inc.	2.950%	8/21/22		10,420			10,613
	Xilinx Inc.	3.000%	3/15/21		2,190			2,215
	Xilinx Inc.	2.950%	6/1/24		5,000			5,132
	Transportation (0.4%)
3	American Airlines 2013-2 Class A Pass Through Trust	4.950%	7/15/24		4,954			5,180
	Burlington Northern Santa Fe LLC	3.450%	9/15/21		6,075			6,215
	Burlington Northern Santa Fe LLC	3.050%	3/15/22		3,925			4,011
	Burlington Northern Santa Fe LLC	3.050%	9/1/22		4,849			4,975
	Burlington Northern Santa Fe LLC	3.000%	3/15/23		8,637			8,875
	Burlington Northern Santa Fe LLC	3.850%	9/1/23		1,300			1,380
	Burlington Northern Santa Fe LLC	3.750%	4/1/24		3,275			3,496
	Canadian National Railway Co.	2.850%	12/15/21		2,710			2,747
	Canadian Pacific Railway Co.	9.450%	8/1/21		1,200			1,329
3	Continental Airlines 2007-1 Class A Pass Through Trust	5.983%	10/19/23		1,634			1,720
3	Continental Airlines 2010-1 Class A Pass Through Trust	4.750%	7/12/22		985			1,006
3	Continental Airlines 2012-1 Class A Pass Through Trust	4.150%	10/11/25		3,927			4,107
	CSX Corp.	4.250%	6/1/21		3,770			3,866
	CSX Corp.	3.700%	11/1/23		1,816			1,919

32

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	CSX Corp.	3.400%	8/1/24		3,341			3,517
3	Delta Air Lines 2007-1 Class A Pass Through Trust	6.821%	2/10/24		2,044			2,226
	Delta Air Lines 2019-1 Class AA Pass Through Trust	3.204%	4/25/24		2,900			3,012
	Delta Air Lines Inc.	2.600%	12/4/20		2,000			2,006
	Delta Air Lines Inc.	3.400%	4/19/21		4,400			4,453
	Delta Air Lines Inc.	3.625%	3/15/22		9,000			9,219
	Delta Air Lines Inc.	3.800%	4/19/23		5,900			6,120
	Delta Air Lines Inc.	2.900%	10/28/24		4,275			4,285
	FedEx Corp.	3.400%	1/14/22		350			359
	FedEx Corp.	2.625%	8/1/22		3,895			3,952
	FedEx Corp.	4.000%	1/15/24		300			321
	Kansas City Southern	3.000%	5/15/23		2,485			2,539
	Norfolk Southern Corp.	3.250%	12/1/21		5,418			5,537
	Norfolk Southern Corp.	3.000%	4/1/22		5,842			5,970
	Norfolk Southern Corp.	2.903%	2/15/23		5,191			5,303
	Norfolk Southern Corp.	3.850%	1/15/24		1,936			2,051
	Ryder System Inc.	3.500%	6/1/21		2,600			2,650
	Ryder System Inc.	2.250%	9/1/21		1,910			1,912
	Ryder System Inc.	2.800%	3/1/22		1,550			1,574
	Ryder System Inc.	3.400%	3/1/23		9,682			9,979
	Ryder System Inc.	3.750%	6/9/23		7,020			7,326
	Ryder System Inc.	3.650%	3/18/24		675			709
	Southwest Airlines Co.	2.750%	11/16/22		2,400			2,434
	Union Pacific Corp.	4.000%	2/1/21		3,695			3,757
	Union Pacific Corp.	3.200%	6/8/21		2,800			2,848
	Union Pacific Corp.	2.950%	3/1/22		3,800			3,881
	Union Pacific Corp.	4.163%	7/15/22		2,292			2,408
	Union Pacific Corp.	2.950%	1/15/23		1,375			1,409
	Union Pacific Corp.	2.750%	4/15/23		250			255
	Union Pacific Corp.	3.500%	6/8/23		1,150			1,203
	Union Pacific Corp.	3.646%	2/15/24		1,750			1,842
	Union Pacific Corp.	3.150%	3/1/24		4,005			4,160
	Union Pacific Corp.	3.750%	3/15/24		1,745			1,846
	United Parcel Service Inc.	3.125%	1/15/21		7,354			7,448
	United Parcel Service Inc.	2.050%	4/1/21		8,900			8,923
	United Parcel Service Inc.	2.350%	5/16/22		6,947			7,024
	United Parcel Service Inc.	2.450%	10/1/22		7,390			7,505
	United Parcel Service Inc.	2.500%	4/1/23		1,991			2,022
	United Parcel Service Inc.	2.200%	9/1/24		100			101
	United Parcel Service Inc.	2.800%	11/15/24		1,050			1,083
								6,748,098
Utilities (1.1%)
	Electric (1.0%)
	AEP Texas Inc.	2.400%	10/1/22		2,300			2,316
	Alabama Power Co.	2.450%	3/30/22		5,568			5,637
	Alabama Power Co.	3.550%	12/1/23		2,200			2,318
	Ameren Corp.	2.500%	9/15/24		625			630
	American Electric Power Co. Inc.	3.650%	12/1/21		4,600			4,741
	American Electric Power Co. Inc.	2.950%	12/15/22		1,985			2,027
	Appalachian Power Co.	4.600%	3/30/21		3,117			3,199
	Avangrid Inc.	3.150%	12/1/24		4,425			4,561
	Baltimore Gas & Electric Co.	3.500%	11/15/21		2,400			2,464
	Baltimore Gas & Electric Co.	3.350%	7/1/23		2,874			2,981
	Berkshire Hathaway Energy Co.	2.375%	1/15/21		1,100			1,103
	Berkshire Hathaway Energy Co.	2.800%	1/15/23		3,026			3,086
	Berkshire Hathaway Energy Co.	3.750%	11/15/23		4,930			5,203
	CenterPoint Energy Houston Electric LLC	1.850%	6/1/21		2,365			2,365
	CenterPoint Energy Houston Electric LLC	2.250%	8/1/22		1,131			1,137
	CenterPoint Energy Inc.	3.600%	11/1/21		2,075			2,124
	CenterPoint Energy Inc.	2.500%	9/1/22		3,750			3,777
	CenterPoint Energy Inc.	3.850%	2/1/24		5,375			5,643
	CenterPoint Energy Inc.	2.500%	9/1/24		3,000			3,003
	CMS Energy Corp.	5.050%	3/15/22		3,915			4,129

33

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Commonwealth Edison Co.	3.400%	9/1/21		2,200			2,251
Consolidated Edison Inc.	2.000%	5/15/21		4,281			4,279
Consumers Energy Co.	2.850%	5/15/22		1,400			1,430
Consumers Energy Co.	3.375%	8/15/23		2,425			2,530
Delmarva Power & Light Co.	3.500%	11/15/23		3,675			3,849
Dominion Energy Inc.	2.715%	8/15/21		5,136			5,174
Dominion Energy Inc.	2.750%	1/15/22		2,700			2,733
Dominion Energy Inc.	2.750%	9/15/22		6,328			6,401
DTE Electric Co.	3.650%	3/15/24		2,434			2,570
DTE Energy Co.	2.600%	6/15/22		1,500			1,507
DTE Energy Co.	3.300%	6/15/22		2,935			3,001
DTE Energy Co.	2.250%	11/1/22		1,500			1,500
DTE Energy Co.	3.700%	8/1/23		4,750			4,945
DTE Energy Co.	3.850%	12/1/23		3,000			3,147
DTE Energy Co.	3.500%	6/1/24		4,233			4,410
DTE Energy Co.	2.529%	10/1/24		1,029			1,031
Duke Energy Carolinas LLC	3.900%	6/15/21		3,112			3,189
Duke Energy Carolinas LLC	3.350%	5/15/22		3,200			3,299
Duke Energy Carolinas LLC	2.500%	3/15/23		1,751			1,775
Duke Energy Carolinas LLC	3.050%	3/15/23		5,175			5,328
Duke Energy Corp.	1.800%	9/1/21		4,905			4,892
Duke Energy Corp.	3.550%	9/15/21		2,350			2,403
Duke Energy Corp.	2.400%	8/15/22		2,700			2,720
Duke Energy Corp.	3.050%	8/15/22		3,446			3,523
Duke Energy Corp.	3.950%	10/15/23		3,612			3,818
Duke Energy Corp.	3.750%	4/15/24		5,127			5,433
Duke Energy Florida LLC	3.100%	8/15/21		4,993			5,073
Duke Energy Ohio Inc.	3.800%	9/1/23		3,195			3,374
Duke Energy Progress LLC	3.000%	9/15/21		4,505			4,587
Duke Energy Progress LLC	2.800%	5/15/22		3,026			3,082
Duke Energy Progress LLC	3.375%	9/1/23		2,000			2,089
Edison International	2.400%	9/15/22		4,125			4,094
Edison International	3.125%	11/15/22		410			415
Edison International	2.950%	3/15/23		2,911			2,907
Edison International	3.550%	11/15/24		8,105			8,302
Emera US Finance LP	2.700%	6/15/21		7,716			7,775
Entergy Arkansas Inc.	3.750%	2/15/21		2,715			2,759
Entergy Arkansas Inc.	3.700%	6/1/24		3,275			3,470
Entergy Corp.	4.000%	7/15/22		5,807			6,045
Entergy Gulf States Louisiana LLC	5.590%	10/1/24		2,617			2,999
Entergy Louisiana LLC	4.050%	9/1/23		2,300			2,446
Entergy Louisiana LLC	5.400%	11/1/24		150			171
Evergy Inc.	2.450%	9/15/24		4,130			4,150
Eversource Energy	2.500%	3/15/21		4,100			4,123
Eversource Energy	2.750%	3/15/22		3,681			3,731
Eversource Energy	3.800%	12/1/23		6,112			6,394
Eversource Energy	2.900%	10/1/24		7,249			7,393
Exelon Corp.	5.150%	12/1/20		2,674			2,727
Exelon Corp.	2.450%	4/15/21		3,998			4,019
Exelon Corp.	3.497%	6/1/22		6,516			6,684
Exelon Generation Co. LLC	3.400%	3/15/22		3,250			3,327
Exelon Generation Co. LLC	4.250%	6/15/22		5,186			5,420
FirstEnergy Corp.	2.850%	7/15/22		3,603			3,657
FirstEnergy Corp.	4.250%	3/15/23		6,334			6,677
Florida Power & Light Co.	2.750%	6/1/23		4,320			4,416
Florida Power & Light Co.	3.250%	6/1/24		2,700			2,817
Georgia Power Co.	2.400%	4/1/21		6,450			6,474
Georgia Power Co.	2.850%	5/15/22		1,100			1,119
Georgia Power Co.	2.200%	9/15/24		4,465			4,387
Great Plains Energy Inc.	4.850%	6/1/21		3,175			3,274
Interstate Power & Light Co.	3.250%	12/1/24		3,210			3,346
ITC Holdings Corp.	2.700%	11/15/22		6,767			6,849
Kansas City Power & Light Co.	3.150%	3/15/23		1,825			1,875
MidAmerican Energy Co.	3.500%	10/15/24		5,857			6,213

34

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	National Rural Utilities Cooperative Finance Corp.	2.900%	3/15/21		4,750			4,804
	National Rural Utilities Cooperative Finance Corp.	3.050%	2/15/22		8,139			8,307
	National Rural Utilities Cooperative Finance Corp.	2.400%	4/25/22		471			476
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23		2,608			2,658
	National Rural Utilities Cooperative Finance Corp.	3.400%	11/15/23		2,372			2,494
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24		5,780			5,961
	NextEra Energy Capital Holdings Inc.	4.500%	6/1/21		3,440			3,533
	NextEra Energy Capital Holdings Inc.	2.403%	9/1/21		8,000			8,039
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22		5,604			5,696
	NextEra Energy Capital Holdings Inc.	2.800%	1/15/23		5,280			5,358
	NextEra Energy Capital Holdings Inc.	3.150%	4/1/24		5,850			6,032
	Northern States Power Co.	2.600%	5/15/23		1,800			1,826
	Ohio Power Co.	5.375%	10/1/21		100			106
	Oncor Electric Delivery Co. LLC	4.100%	6/1/22		1,525			1,591
	Oncor Electric Delivery Co. LLC	2.750%	6/1/24		4,850			4,928
	PacifiCorp	3.850%	6/15/21		2,710			2,773
	PacifiCorp	2.950%	2/1/22		4,619			4,707
	PacifiCorp	3.600%	4/1/24		2,700			2,844
	PECO Energy Co.	1.700%	9/15/21		3,160			3,154
	Pinnacle West Capital Corp.	2.250%	11/30/20		2,800			2,807
	PNM Resources Inc.	3.250%	3/9/21		2,200			2,226
	PPL Capital Funding Inc.	4.200%	6/15/22		3,060			3,190
	PPL Capital Funding Inc.	3.400%	6/1/23		7,114			7,308
	PPL Capital Funding Inc.	3.950%	3/15/24		150			158
	PPL Electric Utilities Corp.	3.000%	9/15/21		350			356
	Progress Energy Inc.	4.400%	1/15/21		2,422			2,463
	Progress Energy Inc.	3.150%	4/1/22		1,000			1,020
	PSEG Power LLC	3.000%	6/15/21		2,500			2,529
	PSEG Power LLC	3.850%	6/1/23		5,670			5,938
	Public Service Electric & Gas Co.	1.900%	3/15/21		3,031			3,037
	Public Service Electric & Gas Co.	2.375%	5/15/23		4,000			4,044
	Public Service Enterprise Group Inc.	2.000%	11/15/21		600			599
	Public Service Enterprise Group Inc.	2.650%	11/15/22		5,000			5,077
	Public Service Enterprise Group Inc.	2.875%	6/15/24		4,550			4,634
	Puget Energy Inc.	6.500%	12/15/20		4,075			4,242
	Puget Energy Inc.	6.000%	9/1/21		3,609			3,825
	Puget Energy Inc.	5.625%	7/15/22		3,315			3,555
	San Diego Gas & Electric Co.	3.000%	8/15/21		3,247			3,292
	San Diego Gas & Electric Co.	3.600%	9/1/23		1,248			1,302
	Southern California Edison Co.	2.900%	3/1/21		2,175			2,198
	Southern California Edison Co.	3.875%	6/1/21		1,790			1,828
3	Southern California Edison Co.	1.845%	2/1/22		1,448			1,430
	Southern California Edison Co.	2.400%	2/1/22		1,200			1,206
	Southern California Edison Co.	3.400%	6/1/23		2,500			2,577
	Southern California Edison Co.	3.500%	10/1/23		2,659			2,766
	Southern Co.	2.350%	7/1/21		4,559			4,575
	Southern Co.	2.950%	7/1/23		2,600			2,647
3	Southern Co.	5.500%	3/15/57		2,150			2,247
	Southern Power Co.	2.500%	12/15/21		3,500			3,527
	Southwestern Public Service Co.	3.300%	6/15/24		3,078			3,198
	Union Electric Co.	3.500%	4/15/24		2,600			2,731
	Virginia Electric & Power Co.	2.950%	1/15/22		6,395			6,498
	Virginia Electric & Power Co.	2.750%	3/15/23		10,900			11,074
	WEC Energy Group Inc.	3.375%	6/15/21		3,725			3,793
	Wisconsin Electric Power Co.	2.950%	9/15/21		1,075			1,091
	Wisconsin Electric Power Co.	2.050%	12/15/24		700			699
	Wisconsin Public Service Corp.	3.350%	11/21/21		4,413			4,539
	Xcel Energy Inc.	2.400%	3/15/21		5,450			5,476
	Xcel Energy Inc.	2.600%	3/15/22		2,075			2,099
	Natural Gas (0.1%)
	CenterPoint Energy Resources Corp.	4.500%	1/15/21		2,726			2,775
	CenterPoint Energy Resources Corp.	3.550%	4/1/23		2,775			2,868
	NiSource Inc.	2.650%	11/17/22		2,775			2,809

35

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	NiSource Inc.	3.650%	6/15/23		2,750			2,867
	ONE Gas Inc.	3.610%	2/1/24		1,895			1,985
	Sempra Energy	2.875%	10/1/22		3,491			3,550
	Sempra Energy	2.900%	2/1/23		4,125			4,185
	Sempra Energy	4.050%	12/1/23		3,281			3,472
	Southern Co. Gas Capital Corp.	3.500%	9/15/21		2,427			2,478
	Southern Co. Gas Capital Corp.	2.450%	10/1/23		4,050			4,058
	Other Utility (0.0%)
	American Water Capital Corp.	3.850%	3/1/24		3,525			3,722
								546,099
Total Corporate Bonds (Cost $12,327,319)								12,573,830
Sovereign Bonds (6.6%)
	African Development Bank	2.625%	3/22/21		18,715			18,912
	African Development Bank	1.250%	7/26/21		9,984			9,918
	African Development Bank	2.375%	9/23/21		12,035			12,175
	African Development Bank	1.625%	9/16/22		12,200			12,180
	African Development Bank	2.125%	11/16/22		19,525			19,757
	African Development Bank	3.000%	9/20/23		8,850			9,256
	Asian Development Bank	2.250%	1/20/21		8,700			8,746
	Asian Development Bank	1.625%	3/16/21		24,097			24,067
	Asian Development Bank	1.750%	6/8/21		21,705			21,720
	Asian Development Bank	2.125%	11/24/21		7,400			7,460
	Asian Development Bank	2.000%	2/16/22		26,305			26,496
	Asian Development Bank	1.875%	2/18/22		25,720			25,846
	Asian Development Bank	1.875%	7/19/22		19,671			19,757
	Asian Development Bank	1.875%	8/10/22		11,535			11,572
	Asian Development Bank	1.750%	9/13/22		31,137			31,187
	Asian Development Bank	2.750%	3/17/23		15,810			16,321
	Asian Development Bank	2.625%	1/30/24		9,300			9,617
	Asian Development Bank	1.500%	10/18/24		11,315			11,183
	Asian Infrastructure Investment Bank	2.250%	5/16/24		15,500			15,795
	Canada	2.625%	1/25/22		14,700			14,981
	Canada	2.000%	11/15/22		20,065			20,256
	CNOOC Finance 2013 Ltd.	3.000%	5/9/23		22,156			22,577
	CNOOC Finance 2015 USA LLC	3.750%	5/2/23		200			208
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24		12,365			13,207
	Corp Andina de Fomento	3.250%	2/11/22		8,000			8,142
	Corp Andina de Fomento	3.750%	11/23/23		7,015			7,338
	Corp. Andina de Fomento	2.125%	9/27/21		6,610			6,593
	Corp. Andina de Fomento	4.375%	6/15/22		6,251			6,545
	Corp. Andina de Fomento	2.750%	1/6/23		7,750			7,817
	Council Of Europe Development Bank	1.625%	3/16/21		4,750			4,741
	Council Of Europe Development Bank	1.750%	9/26/22		6,180			6,188
	Council Of Europe Development Bank	2.625%	2/13/23		9,762			10,032
	Ecopetrol SA	5.875%	9/18/23		12,515			13,892
	Equinor ASA	2.750%	11/10/21		3,000			3,049
	Equinor ASA	3.150%	1/23/22		15,084			15,468
	Equinor ASA	2.450%	1/17/23		7,965			8,086
	Equinor ASA	2.650%	1/15/24		10,125			10,357
	Equinor ASA	3.700%	3/1/24		3,048			3,246
	Equinor ASA	3.250%	11/10/24		1,753			1,846
	European Bank for Reconstruction & Development	2.000%	2/1/21		8,542			8,563
	European Bank for Reconstruction & Development	2.750%	4/26/21		5,300			5,367
	European Bank for Reconstruction & Development	1.875%	7/15/21		14,600			14,634
	European Bank for Reconstruction & Development	1.500%	11/2/21		4,904			4,889
	European Bank for Reconstruction & Development	1.875%	2/23/22		9,561			9,602
	European Bank for Reconstruction & Development	2.750%	3/7/23		14,520			14,990
	European Investment Bank	4.000%	2/16/21		14,595			14,954
	European Investment Bank	2.000%	3/15/21		39,292			39,418
	European Investment Bank	2.500%	4/15/21		22,115			22,327
	European Investment Bank	2.375%	5/13/21		25,290			25,505
	European Investment Bank	1.625%	6/15/21		33,259			33,205

36

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
European Investment Bank	1.375%	9/15/21		19,285			19,193
European Investment Bank	2.125%	10/15/21		20,610			20,774
European Investment Bank	2.875%	12/15/21		24,620			25,182
European Investment Bank	2.250%	3/15/22		29,150			29,520
European Investment Bank	2.625%	5/20/22		5,381			5,502
European Investment Bank	2.375%	6/15/22		17,110			17,390
European Investment Bank	2.250%	8/15/22		20,065			20,352
European Investment Bank	1.375%	9/6/22		18,700			18,552
European Investment Bank	2.000%	12/15/22		21,880			22,075
European Investment Bank	2.500%	3/15/23		36,794			37,720
European Investment Bank	2.875%	8/15/23		23,465			24,437
European Investment Bank	3.125%	12/14/23		22,303			23,495
European Investment Bank	3.250%	1/29/24		31,488			33,344
European Investment Bank	2.625%	3/15/24		18,465			19,121
European Investment Bank	2.250%	6/24/24		4,066			4,154
Export Development Canada	1.500%	5/26/21		6,650			6,625
Export Development Canada	1.375%	10/21/21		8,250			8,197
Export Development Canada	1.750%	7/18/22		6,200			6,223
Export Development Canada	2.500%	1/24/23		6,550			6,703
Export Development Canada	2.750%	3/15/23		9,000			9,290
Export Development Canada	2.625%	2/21/24		4,650			4,798
Export-Import Bank of Korea	2.625%	12/30/20		6,550			6,584
Export-Import Bank of Korea	4.000%	1/29/21		13,244			13,501
Export-Import Bank of Korea	2.125%	2/11/21		6,850			6,851
Export-Import Bank of Korea	2.500%	5/10/21		4,100			4,121
Export-Import Bank of Korea	4.375%	9/15/21		6,920			7,192
Export-Import Bank of Korea	1.875%	10/21/21		2,575			2,568
Export-Import Bank of Korea	2.750%	1/25/22		1,100			1,117
Export-Import Bank of Korea	5.000%	4/11/22		7,550			8,043
Export-Import Bank of Korea	3.000%	11/1/22		7,885			8,089
Export-Import Bank of Korea	3.625%	11/27/23		3,120			3,285
Export-Import Bank of Korea	4.000%	1/14/24		5,100			5,451
FMS Wertmanagement AoeR	2.750%	3/6/23		10,450			10,781
FMS Wertmanagement AoeR	1.375%	6/8/21		4,040			4,021
FMS Wertmanagement AoeR	2.000%	8/1/22		20,235			20,388
Hydro-Quebec	9.400%	2/1/21		2,225			2,400
Hydro-Quebec	8.400%	1/15/22		5,825			6,542
Hydro-Quebec	8.050%	7/7/24		5,150			6,415
Industrial & Commercial Bank of China Ltd.	2.635%	5/26/21		5,850			5,870
Industrial & Commercial Bank of China Ltd.	2.452%	10/20/21		3,000			3,004
Industrial & Commercial Bank of China Ltd.	2.957%	11/8/22		5,950			6,037
Inter-American Development Bank	1.875%	3/15/21		14,606			14,626
Inter-American Development Bank	2.625%	4/19/21		25,988			26,274
Inter-American Development Bank	1.875%	7/23/21		5,450			5,467
Inter-American Development Bank	1.250%	9/14/21		1,500			1,490
Inter-American Development Bank	2.125%	1/18/22		24,450			24,673
Inter-American Development Bank	1.750%	4/14/22		14,030			14,055
Inter-American Development Bank	1.750%	9/14/22		16,300			16,330
Inter-American Development Bank	3.000%	9/26/22		6,000			6,194
Inter-American Development Bank	2.500%	1/18/23		26,633			27,271
Inter-American Development Bank	3.000%	10/4/23		9,980			10,458
Inter-American Development Bank	2.625%	1/16/24		20,650			21,339
Inter-American Development Bank	3.000%	2/21/24		25,200			26,394
International Bank for Reconstruction & Development	1.625%	3/9/21		19,223			19,200
International Bank for Reconstruction & Development	1.375%	5/24/21		28,880			28,740
International Bank for Reconstruction & Development	2.250%	6/24/21		23,210			23,385
International Bank for Reconstruction & Development	2.750%	7/23/21		45,659			46,413
International Bank for Reconstruction & Development	1.375%	9/20/21		34,720			34,554
International Bank for Reconstruction & Development	2.125%	12/13/21		8,065			8,129
International Bank for Reconstruction & Development	2.000%	1/26/22		30,340			30,543
International Bank for Reconstruction & Development	1.625%	2/10/22		16,625			16,614
International Bank for Reconstruction & Development	2.125%	7/1/22		33,650			34,015
International Bank for Reconstruction & Development	1.875%	10/7/22		3,894			3,913
International Bank for Reconstruction & Development	7.625%	1/19/23		10,196			11,971

37

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	International Bank for Reconstruction & Development	1.750%	4/19/23		6,375			6,381
	International Bank for Reconstruction & Development	1.875%	6/19/23		38,375			38,563
	International Bank for Reconstruction & Development	3.000%	9/27/23		30,475			31,892
	International Bank for Reconstruction & Development	2.500%	3/19/24		16,800			17,313
	International Bank for Reconstruction & Development	1.500%	8/28/24		23,650			23,382
	International Bank for Reconstruction & Development	2.500%	11/25/24		26,803			27,711
	International Finance Corp.	2.250%	1/25/21		19,025			19,125
	International Finance Corp.	1.125%	7/20/21		5,540			5,495
	International Finance Corp.	2.875%	7/31/23		10,500			10,922
	International Finance Corp.	1.375%	10/16/24		17,000			16,674
5	Japan Bank for International Cooperation	3.125%	7/20/21		6,820			6,956
5	Japan Bank for International Cooperation	1.500%	7/21/21		7,300			7,266
5	Japan Bank for International Cooperation	2.000%	11/4/21		13,475			13,509
5	Japan Bank for International Cooperation	2.500%	6/1/22		6,305			6,392
5	Japan Bank for International Cooperation	2.375%	7/21/22		9,500			9,607
5	Japan Bank for International Cooperation	1.625%	10/17/22		1,750			1,734
5	Japan Bank for International Cooperation	2.375%	11/16/22		11,410			11,551
5	Japan Bank for International Cooperation	3.250%	7/20/23		19,125			19,861
5	Japan Bank for International Cooperation	3.375%	7/31/23		1,475			1,547
5	Japan Bank for International Cooperation	3.375%	10/31/23		10,000			10,519
5	Japan Bank for International Cooperation	2.500%	5/23/24		11,700			11,913
5	Japan Bank for International Cooperation	3.000%	5/29/24		10,865			11,282
5	Japan Bank for International Cooperation	1.750%	10/17/24		2,500			2,461
6	KFW	1.625%	3/15/21		27,275			27,251
6	KFW	2.375%	3/24/21		25,600			25,787
6	KFW	2.625%	4/12/21		35,000			35,411
6	KFW	1.500%	6/15/21		30,700			30,648
6	KFW	2.375%	8/25/21		19,500			19,725
6	KFW	1.750%	9/15/21		19,600			19,630
6	KFW	2.000%	11/30/21		26,115			26,281
6	KFW	3.125%	12/15/21		38,480			39,550
6	KFW	2.625%	1/25/22		13,055			13,309
6	KFW	2.500%	2/15/22		21,090			21,435
6	KFW	2.125%	3/7/22		33,410			33,713
6	KFW	2.125%	6/15/22		12,901			13,036
6	KFW	1.750%	8/22/22		5,200			5,210
6	KFW	2.000%	10/4/22		30,140			30,391
6	KFW	2.375%	12/29/22		15,046			15,355
6	KFW	2.125%	1/17/23		29,580			30,014
6	KFW	2.625%	2/28/24		18,000			18,618
6	KFW	1.375%	8/5/24		24,235			23,779
6	KFW	2.500%	11/20/24		31,550			32,586
	Korea Development Bank	2.500%	1/13/21		9,940			9,974
	Korea Development Bank	4.625%	11/16/21		8,155			8,521
	Korea Development Bank	2.625%	2/27/22		3,008			3,048
	Korea Development Bank	3.000%	3/19/22		3,350			3,437
	Korea Development Bank	3.000%	9/14/22		3,060			3,134
	Korea Development Bank	3.375%	3/12/23		2,000			2,075
	Korea Development Bank	2.750%	3/19/23		4,700			4,781
	Korea Development Bank	3.750%	1/22/24		4,750			5,035
	Korea Development Bank	3.250%	2/19/24		1,500			1,560
	Korea Development Bank	2.125%	10/1/24		3,000			2,988
6	Landwirtschaftliche Rentenbank	1.750%	9/24/21		3,500			3,505
6	Landwirtschaftliche Rentenbank	2.250%	10/1/21		6,690			6,751
6	Landwirtschaftliche Rentenbank	2.000%	12/6/21		12,730			12,800
6	Landwirtschaftliche Rentenbank	3.125%	11/14/23		7,430			7,823
	Nordic Investment Bank	2.250%	2/1/21		10,014			10,061
	Nordic Investment Bank	1.250%	8/2/21		7,850			7,798
	Nordic Investment Bank	2.250%	9/30/21		3,550			3,582
	Nordic Investment Bank	2.125%	2/1/22		9,380			9,463
	Nordic Investment Bank	1.375%	10/17/22		5,000			4,956
	Nordic Investment Bank	2.875%	7/19/23		5,500			5,717
	Nordic Investment Bank	2.250%	5/21/24		667			679
	North American Development Bank	2.400%	10/26/22		2,500			2,510

38

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
7	Oesterreichische Kontrollbank AG	1.875%	1/20/21		8,725			8,738
7	Oesterreichische Kontrollbank AG	2.875%	9/7/21		7,300			7,439
7	Oesterreichische Kontrollbank AG	2.375%	10/1/21		1,800			1,819
7	Oesterreichische Kontrollbank AG	2.625%	1/31/22		6,925			7,048
7	Oesterreichische Kontrollbank AG	1.625%	9/17/22		2,315			2,309
7	Oesterreichische Kontrollbank AG	2.875%	3/13/23		9,865			10,213
7	Oesterreichische Kontrollbank AG	3.125%	11/7/23		5,250			5,514
3	Oriental Republic of Uruguay	8.000%	11/18/22		3,900			4,348
3	Oriental Republic of Uruguay	4.500%	8/14/24		4,051			4,380
	Petroleos Mexicanos	5.500%	1/21/21		7,220			7,415
	Petroleos Mexicanos	6.375%	2/4/21		5,180			5,273
	Petroleos Mexicanos	4.875%	1/24/22		4,887			5,077
	Petroleos Mexicanos	5.375%	3/13/22		3,200			3,352
	Petroleos Mexicanos	3.500%	1/30/23		9,255			9,349
	Petroleos Mexicanos	4.625%	9/21/23		4,600			4,797
	Petroleos Mexicanos	4.875%	1/18/24		4,580			4,802
3	Petroleos Mexicanos	2.290%	2/15/24		855			861
	Province of Alberta	2.200%	7/26/22		10,710			10,800
	Province of Alberta	3.350%	11/1/23		10,925			11,505
	Province of Alberta	2.950%	1/23/24		11,500			11,937
	Province of Alberta	1.875%	11/13/24		18,300			18,241
	Province of British Columbia	2.650%	9/22/21		5,058			5,133
	Province of British Columbia	2.000%	10/23/22		5,999			6,034
	Province of British Columbia	1.750%	9/27/24		5,400			5,343
	Province of Manitoba	2.050%	11/30/20		9,700			9,713
	Province of Manitoba	2.125%	5/4/22		2,361			2,378
	Province of Manitoba	2.100%	9/6/22		3,475			3,495
	Province of Manitoba	2.600%	4/16/24		6,750			6,931
	Province of Manitoba	3.050%	5/14/24		7,140			7,450
	Province of New Brunswick	2.500%	12/12/22		4,000			4,064
	Province of Ontario	2.550%	2/12/21		17,840			17,984
	Province of Ontario	2.500%	9/10/21		17,735			17,932
	Province of Ontario	2.400%	2/8/22		12,810			12,966
	Province of Ontario	2.550%	4/25/22		11,000			11,182
	Province of Ontario	2.250%	5/18/22		22,045			22,257
	Province of Ontario	2.450%	6/29/22		14,350			14,561
	Province of Ontario	2.200%	10/3/22		5,383			5,434
	Province of Ontario	3.400%	10/17/23		20,000			21,114
	Province of Ontario	3.050%	1/29/24		8,100			8,440
	Province of Ontario	3.200%	5/16/24		9,000			9,459
	Province of Quebec	2.750%	8/25/21		18,308			18,604
	Province of Quebec	2.375%	1/31/22		20,960			21,188
	Province of Quebec	2.625%	2/13/23		1,875			1,921
	Province of Quebec	2.500%	4/9/24		10,700			10,960
	Province of Saskatchewan	8.500%	7/15/22		1,848			2,136
	Republic of Chile	3.250%	9/14/21		8,209			8,362
	Republic of Chile	2.250%	10/30/22		2,460			2,467
	Republic of Colombia	4.375%	7/12/21		20,666			21,329
	Republic of Colombia	4.000%	2/26/24		18,870			19,879
	Republic of Colombia	8.125%	5/21/24		6,140			7,534
	Republic of Hungary	6.375%	3/29/21		23,121			24,393
	Republic of Hungary	5.375%	2/21/23		11,655			12,776
	Republic of Hungary	5.750%	11/22/23		9,075			10,231
	Republic of Hungary	5.375%	3/25/24		14,516			16,357
	Republic of Indonesia	2.950%	1/11/23		7,620			7,745
	Republic of Indonesia	4.450%	2/11/24		1,800			1,939
	Republic of Italy	6.875%	9/27/23		23,572			26,792
	Republic of Italy	2.375%	10/17/24		14,750			14,429
	Republic of Korea	3.875%	9/11/23		8,700			9,263
3	Republic of Panama	4.000%	9/22/24		10,413			11,129
	Republic of Poland	5.125%	4/21/21		13,515			14,071
	Republic of Poland	5.000%	3/23/22		10,778			11,503
	Republic of Poland	3.000%	3/17/23		13,714			14,121
	Republic of Poland	4.000%	1/22/24		10,267			11,050

39

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Republic of the Philippines	4.000%	1/15/21		8,477			8,635
	Republic of the Philippines	4.200%	1/21/24		7,380			7,948
	Republic of the Philippines	9.500%	10/21/24		3,251			4,331
	State of Israel	4.000%	6/30/22		9,575			10,065
	State of Israel	3.150%	6/30/23		6,800			7,072
	Svensk Exportkredit AB	1.750%	3/10/21		8,400			8,399
	Svensk Exportkredit AB	2.375%	4/9/21		5,300			5,341
	Svensk Exportkredit AB	2.875%	5/22/21		7,450			7,566
	Svensk Exportkredit AB	1.625%	9/12/21		2,750			2,746
	Svensk Exportkredit AB	3.125%	11/8/21		6,750			6,922
	Svensk Exportkredit AB	2.375%	3/9/22		6,300			6,385
	Svensk Exportkredit AB	2.000%	8/30/22		6,900			6,946
	Svensk Exportkredit AB	1.625%	11/14/22		8,000			7,981
	Svensk Exportkredit AB	2.875%	3/14/23		9,300			9,633
	Syngenta Finance NV	3.125%	3/28/22		3,615			3,643
	United Mexican States	3.625%	3/15/22		19,625			20,214
	United Mexican States	4.000%	10/2/23		19,385			20,422
Total Sovereign Bonds (Cost $3,264,526)								3,312,441
Taxable Municipal Bonds (0.1%)
	California Department of Water Resources Power Supply Revenue	2.000%	5/1/22		2,195			2,207
	California GO	2.800%	4/1/21		3,150			3,191
	California GO	5.700%	11/1/21		5,330			5,705
	California GO	2.367%	4/1/22		1,080			1,095
	Florida Board of Administration Finance Corp Revenue	2.638%	7/1/21		4,500			4,554
	Illinois GO	4.950%	6/1/23		7,889			8,233
	Massachusetts GO	4.200%	12/1/21		2,250			2,318
8	New Jersey Economic Development Authority Lease Revenue	0.000%	2/15/22		5,000			4,770
	New York State Urban Development Corp. Revenue	2.100%	3/15/22		970			972
	Oregon GO	5.762%	6/1/23		1,319			1,417
	Utah GO	4.554%	7/1/24		9,895			10,476
Total Taxable Municipal Bonds (Cost $44,429)								44,938

			Shares
Temporary Cash Investment (1.3%)
Money Market Fund (1.3%)
9	Vanguard Market Liquidity Fund (Cost $646,228)	1.816%	6,461,660	646,230
Total Investments (100.6%) (Cost $49,819,283)				50,449,829
Other Assets and Liabilities—Net (-0.6%)				(305,389	)
Net Assets (100%)				50,144,440

1	U.S. government-guaranteed.
2	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $357,364,000, representing 0.7% of net assets.
5	Guaranteed by the Government of Japan.
6	Guaranteed by the Federal Republic of Germany.
7	Guaranteed by the Republic of Austria.
8	Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
	GO—General Obligation Bond.

40

Vanguard^® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

REIT—Real Estate Investment Trust.

41

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
U.S. Government and Agency Obligations (54.2%)
U.S. Government Securities (53.9%)
	United States Treasury Note/Bond	1.625%	11/15/22		64,605			64,625
	United States Treasury Note/Bond	2.250%	11/15/24		64,624			66,270
	United States Treasury Note/Bond	2.125%	11/30/24		362,230			369,362
	United States Treasury Note/Bond	1.750%	12/31/24		57,840			57,994
	United States Treasury Note/Bond	2.250%	12/31/24		161,315			165,524
	United States Treasury Note/Bond	2.500%	1/31/25		256,600			266,464
	United States Treasury Note/Bond	2.000%	2/15/25		554,796			562,596
	United States Treasury Note/Bond	2.750%	2/28/25		381,626			401,066
	United States Treasury Note/Bond	2.625%	3/31/25		182,031			190,252
	United States Treasury Note/Bond	2.875%	4/30/25		126,566			133,922
	United States Treasury Note/Bond	2.125%	5/15/25		567,500			578,674
	United States Treasury Note/Bond	2.875%	5/31/25		359,635			380,652
	United States Treasury Note/Bond	2.750%	6/30/25		87,750			92,371
	United States Treasury Note/Bond	2.875%	7/31/25		102,915			109,058
	United States Treasury Note/Bond	2.000%	8/15/25		486,122			492,349
	United States Treasury Note/Bond	6.875%	8/15/25		47,479			60,462
	United States Treasury Note/Bond	2.750%	8/31/25		204,830			215,776
	United States Treasury Note/Bond	3.000%	9/30/25		168,116			179,464
	United States Treasury Note/Bond	3.000%	10/31/25		126,522			135,122
	United States Treasury Note/Bond	2.250%	11/15/25		270,522			277,666
	United States Treasury Note/Bond	2.875%	11/30/25		201,505			213,910
	United States Treasury Note/Bond	2.625%	12/31/25		239,685			251,183
	United States Treasury Note/Bond	2.625%	1/31/26		201,235			210,918
	United States Treasury Note/Bond	1.625%	2/15/26		768,664			760,977
	United States Treasury Note/Bond	6.000%	2/15/26		12,240			15,223
	United States Treasury Note/Bond	2.500%	2/28/26		366,000			381,039
	United States Treasury Note/Bond	2.250%	3/31/26		219,650			225,554
	United States Treasury Note/Bond	2.375%	4/30/26		251,875			260,534
	United States Treasury Note/Bond	1.625%	5/15/26		652,268			645,034
	United States Treasury Note/Bond	2.125%	5/31/26		332,456			338,846
	United States Treasury Note/Bond	1.875%	6/30/26		177,205			177,898
	United States Treasury Note/Bond	1.875%	7/31/26		187,095			187,739
	United States Treasury Note/Bond	1.500%	8/15/26		771,261			755,597
	United States Treasury Note/Bond	1.375%	8/31/26		432,825			420,654
	United States Treasury Note/Bond	1.625%	9/30/26		178,950			176,684
	United States Treasury Note/Bond	1.625%	10/31/26		175,245			172,890
	United States Treasury Note/Bond	2.000%	11/15/26		555,297			561,194
	United States Treasury Note/Bond	1.625%	11/30/26		448,479			442,451
	United States Treasury Note/Bond	1.750%	12/31/26		149,065			148,227
	United States Treasury Note/Bond	2.250%	2/15/27		649,065			666,713
	United States Treasury Note/Bond	2.375%	5/15/27		603,742			625,724
	United States Treasury Note/Bond	2.250%	8/15/27		575,586			591,414
	United States Treasury Note/Bond	2.250%	11/15/27		550,965			566,288
	United States Treasury Note/Bond	2.750%	2/15/28		539,955			575,387
	United States Treasury Note/Bond	2.875%	5/15/28		553,253			595,439
	United States Treasury Note/Bond	2.875%	8/15/28		588,945			634,682
	United States Treasury Note/Bond	5.500%	8/15/28		9,960			12,813
	United States Treasury Note/Bond	3.125%	11/15/28		773,703			850,594
	United States Treasury Note/Bond	5.250%	11/15/28		10,000			12,727
	United States Treasury Note/Bond	2.625%	2/15/29		636,111			674,080
	United States Treasury Note/Bond	5.250%	2/15/29		15,235			19,477
	United States Treasury Note/Bond	2.375%	5/15/29		762,496			792,524
	United States Treasury Note/Bond	1.625%	8/15/29		649,430			632,584
	United States Treasury Note/Bond	1.750%	11/15/29		608,744			599,515
								18,996,182
Agency Bonds and Notes (0.3%)
1	AID-Jordan	3.000%	6/30/25		4,675			4,863
	Federal Home Loan Banks	3.250%	11/16/28		7,855			8,590
2	Federal Home Loan Mortgage Corp.	6.750%	9/15/29		1,930			2,704
2	Federal National Mortgage Assn.	2.125%	4/24/26		23,500			23,818
2	Federal National Mortgage Assn.	1.875%	9/24/26		30,220			30,142

42

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
2	Federal National Mortgage Assn.	6.250%	5/15/29		6,004			8,101
	Private Export Funding Corp.	3.250%	6/15/25		1,675			1,779
	Tennessee Valley Authority	6.750%	11/1/25		6,830			8,639
	Tennessee Valley Authority	2.875%	2/1/27		12,000			12,579
								101,215
Total U.S. Government and Agency Obligations (Cost $18,638,420)								19,097,397
Corporate Bonds (40.4%)
Finance (14.5%)
	Banking (9.9%)
	Ally Financial Inc.	4.625%	3/30/25		6,899			7,460
	American Express Co.	4.200%	11/6/25		1,250			1,376
	American Express Co.	3.125%	5/20/26		4,121			4,276
	American Express Credit Corp.	3.300%	5/3/27		19,337			20,573
	Australia & New Zealand Banking Group Ltd.	3.700%	11/16/25		5,175			5,560
	Banco Santander SA	5.179%	11/19/25		8,792			9,774
	Banco Santander SA	4.250%	4/11/27		11,618			12,494
	Banco Santander SA	3.800%	2/23/28		10,000			10,486
	Banco Santander SA	4.379%	4/12/28		14,350			15,659
	Banco Santander SA	3.306%	6/27/29		3,150			3,242
	Bank of America Corp.	4.000%	1/22/25		21,966			23,351
	Bank of America Corp.	3.950%	4/21/25		21,203			22,572
3	Bank of America Corp.	3.093%	10/1/25		17,825			18,361
3	Bank of America Corp.	3.366%	1/23/26		23,311			24,310
	Bank of America Corp.	4.450%	3/3/26		22,115			24,226
	Bank of America Corp.	3.500%	4/19/26		25,046			26,501
	Bank of America Corp.	4.250%	10/22/26		20,677			22,465
3	Bank of America Corp.	3.559%	4/23/27		15,400			16,234
	Bank of America Corp.	3.248%	10/21/27		21,455			22,262
	Bank of America Corp.	4.183%	11/25/27		20,258			21,923
3	Bank of America Corp.	3.824%	1/20/28		25,375			27,201
3	Bank of America Corp.	3.705%	4/24/28		11,191			11,943
3	Bank of America Corp.	3.593%	7/21/28		23,742			25,213
3	Bank of America Corp.	3.419%	12/20/28		72,016			75,425
3	Bank of America Corp.	3.970%	3/5/29		22,375			24,328
3	Bank of America Corp.	4.271%	7/23/29		32,800			36,325
3	Bank of America Corp.	3.974%	2/7/30		13,700			14,911
3	Bank of America Corp.	2.884%	10/22/30		8,000			8,079
3	Bank of Montreal	3.803%	12/15/32		10,400			10,855
	Bank of New York Mellon Corp.	3.000%	2/24/25		8,878			9,225
	Bank of New York Mellon Corp.	2.800%	5/4/26		6,540			6,709
	Bank of New York Mellon Corp.	2.450%	8/17/26		9,730			9,760
	Bank of New York Mellon Corp.	3.250%	5/16/27		9,510			9,989
	Bank of New York Mellon Corp.	3.400%	1/29/28		10,175			10,812
3	Bank of New York Mellon Corp.	3.442%	2/7/28		7,200			7,603
	Bank of Nova Scotia	4.500%	12/16/25		12,787			13,990
	Bank of Nova Scotia	2.700%	8/3/26		7,480			7,600
	Bank One Corp.	7.750%	7/15/25		1,750			2,162
	Bank One Corp.	8.000%	4/29/27		6,910			9,131
	BankUnited Inc.	4.875%	11/17/25		2,000			2,182
	Barclays plc	3.650%	3/16/25		10,675			11,111
	Barclays plc	4.375%	1/12/26		22,914			24,809
	Barclays plc	4.337%	1/10/28		12,000			12,857
3	Barclays plc	4.972%	5/16/29		12,345			13,872
	BBVA USA	3.875%	4/10/25		3,650			3,818
	BPCE SA	3.375%	12/2/26		3,450			3,616
	Capital One Financial Corp.	3.200%	2/5/25		8,811			9,078
	Capital One Financial Corp.	4.250%	4/30/25		6,315			6,870
	Capital One Financial Corp.	4.200%	10/29/25		10,907			11,722
	Capital One Financial Corp.	3.750%	7/28/26		15,327			16,067
	Capital One Financial Corp.	3.750%	3/9/27		9,194			9,758
	Capital One Financial Corp.	3.800%	1/31/28		10,880			11,687
	Citigroup Inc.	3.875%	3/26/25		10,895			11,482

43

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Citigroup Inc.	3.300%	4/27/25		5,696			5,977
	Citigroup Inc.	4.400%	6/10/25		21,751			23,626
	Citigroup Inc.	5.500%	9/13/25		5,520			6,302
	Citigroup Inc.	3.700%	1/12/26		25,298			26,913
	Citigroup Inc.	4.600%	3/9/26		15,010			16,533
	Citigroup Inc.	3.400%	5/1/26		5,872			6,134
	Citigroup Inc.	3.200%	10/21/26		36,259			37,509
	Citigroup Inc.	4.300%	11/20/26		9,400			10,215
	Citigroup Inc.	4.450%	9/29/27		37,501			41,236
3	Citigroup Inc.	3.887%	1/10/28		26,679			28,592
	Citigroup Inc.	6.625%	1/15/28		2,875			3,600
3	Citigroup Inc.	3.668%	7/24/28		31,867			33,840
	Citigroup Inc.	4.125%	7/25/28		3,400			3,689
3	Citigroup Inc.	3.520%	10/27/28		23,356			24,525
3	Citigroup Inc.	4.075%	4/23/29		4,390			4,800
3	Citigroup Inc.	3.980%	3/20/30		37,350			40,803
3	Citigroup Inc.	2.976%	11/5/30		2,450			2,488
	Citizens Bank NA	3.750%	2/18/26		6,000			6,408
	Citizens Financial Group Inc.	4.300%	12/3/25		7,469			8,017
	Citizens Financial Group Inc.	2.850%	7/27/26		6,605			6,710
	Comerica Bank	4.000%	7/27/25		1,925			2,059
	Cooperatieve Rabobank UA	3.375%	5/21/25		9,320			9,848
	Cooperatieve Rabobank UA	4.375%	8/4/25		12,357			13,366
	Cooperatieve Rabobank UA	3.750%	7/21/26		6,615			6,886
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25		17,897			18,914
	Credit Suisse Group Funding Guernsey Ltd.	4.550%	4/17/26		7,075			7,846
	Deutsche Bank AG	4.100%	1/13/26		500			510
	Deutsche Bank AG	4.100%	1/13/26		7,179			7,322
	Discover Bank	4.250%	3/13/26		2,390			2,582
	Discover Bank	3.450%	7/27/26		5,914			6,134
	Discover Bank	4.650%	9/13/28		7,950			8,911
	Discover Financial Services	3.950%	11/6/24		3			3
	Discover Financial Services	3.750%	3/4/25		6,613			6,980
	Discover Financial Services	4.500%	1/30/26		6,725			7,355
	Discover Financial Services	4.100%	2/9/27		11,760			12,605
	Fifth Third Bancorp	2.375%	1/28/25		6,150			6,146
	Fifth Third Bancorp	3.950%	3/14/28		5,726			6,288
	Fifth Third Bank	3.950%	7/28/25		7,125			7,726
	Fifth Third Bank	3.850%	3/15/26		5,990			6,363
	FirstMerit Bank NA	4.270%	11/25/26		1,225			1,312
	Goldman Sachs Group Inc.	3.500%	1/23/25		21,253			22,309
	Goldman Sachs Group Inc.	3.750%	5/22/25		9,510			10,065
	Goldman Sachs Group Inc.	4.250%	10/21/25		9,255			10,035
	Goldman Sachs Group Inc.	3.750%	2/25/26		23,103			24,473
	Goldman Sachs Group Inc.	3.500%	11/16/26		20,833			21,729
	Goldman Sachs Group Inc.	5.950%	1/15/27		5,700			6,803
	Goldman Sachs Group Inc.	3.850%	1/26/27		36,330			38,620
3	Goldman Sachs Group Inc.	3.691%	6/5/28		24,950			26,464
3	Goldman Sachs Group Inc.	3.814%	4/23/29		34,260			36,651
3	Goldman Sachs Group Inc.	4.223%	5/1/29		13,267			14,574
	HSBC Holdings plc	4.250%	8/18/25		12,512			13,383
	HSBC Holdings plc	4.300%	3/8/26		29,382			31,923
	HSBC Holdings plc	3.900%	5/25/26		18,561			19,761
3	HSBC Holdings plc	4.292%	9/12/26		20,250			21,748
	HSBC Holdings plc	4.375%	11/23/26		15,175			16,409
3	HSBC Holdings plc	4.041%	3/13/28		16,435			17,535
3	HSBC Holdings plc	4.583%	6/19/29		19,925			22,229
3	HSBC Holdings plc	3.973%	5/22/30		29,617			31,814
	Huntington Bancshares Inc.	4.000%	5/15/25		2,500			2,692
	ING Groep NV	3.950%	3/29/27		16,495			17,736
	ING Groep NV	4.550%	10/2/28		9,115			10,334
	ING Groep NV	4.050%	4/9/29		6,350			6,962
	JPMorgan Chase & Co.	3.125%	1/23/25		24,146			25,187
	JPMorgan Chase & Co.	3.900%	7/15/25		26,142			28,201

44

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	JPMorgan Chase & Co.	3.300%	4/1/26		31,664			33,189
	JPMorgan Chase & Co.	3.200%	6/15/26		19,995			20,815
	JPMorgan Chase & Co.	2.950%	10/1/26		29,207			30,020
	JPMorgan Chase & Co.	4.125%	12/15/26		24,854			27,193
3	JPMorgan Chase & Co.	3.960%	1/29/27		8,407			9,097
	JPMorgan Chase & Co.	4.250%	10/1/27		6,903			7,632
3	JPMorgan Chase & Co.	3.782%	2/1/28		18,428			19,791
3	JPMorgan Chase & Co.	3.540%	5/1/28		11,952			12,659
3	JPMorgan Chase & Co.	3.509%	1/23/29		15,080			15,983
3	JPMorgan Chase & Co.	4.005%	4/23/29		32,030			35,060
3	JPMorgan Chase & Co.	4.203%	7/23/29		23,450			26,109
3	JPMorgan Chase & Co.	4.452%	12/5/29		13,815			15,716
3	JPMorgan Chase & Co.	3.702%	5/6/30		18,512			19,935
3	JPMorgan Chase & Co.	2.739%	10/15/30		40,346			40,346
	KeyBank NA	3.300%	6/1/25		3,000			3,159
	KeyBank NA	3.400%	5/20/26		7,450			7,730
	KeyCorp	4.150%	10/29/25		7,950			8,701
	KeyCorp	4.100%	4/30/28		5,000			5,456
	KeyCorp	2.550%	10/1/29		11,500			11,245
	Lloyds Banking Group plc	4.500%	11/4/24		1			1
	Lloyds Banking Group plc	4.450%	5/8/25		5,500			5,993
	Lloyds Banking Group plc	4.582%	12/10/25		23,939			25,834
	Lloyds Banking Group plc	4.650%	3/24/26		3,890			4,210
	Lloyds Banking Group plc	3.750%	1/11/27		7,335			7,695
	Lloyds Banking Group plc	4.375%	3/22/28		23,425			25,788
	Lloyds Banking Group plc	4.550%	8/16/28		6,000			6,700
3	Lloyds Banking Group plc	3.574%	11/7/28		16,320			16,973
	Manufacturers & Traders Trust Co.	2.900%	2/6/25		6,250			6,422
	Manufacturers & Traders Trust Co.	3.400%	8/17/27		8,200			8,677
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25		7,835			8,326
	Mitsubishi UFJ Financial Group Inc.	3.850%	3/1/26		18,121			19,438
	Mitsubishi UFJ Financial Group Inc.	2.757%	9/13/26		9,350			9,409
	Mitsubishi UFJ Financial Group Inc.	3.677%	2/22/27		8,464			8,983
	Mitsubishi UFJ Financial Group Inc.	3.287%	7/25/27		16,700			17,305
	Mitsubishi UFJ Financial Group Inc.	3.961%	3/2/28		11,000			11,943
	Mitsubishi UFJ Financial Group Inc.	4.050%	9/11/28		5,300			5,843
	Mitsubishi UFJ Financial Group Inc.	3.741%	3/7/29		9,960			10,698
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29		22,000			22,746
	Mizuho Financial Group Inc.	2.839%	9/13/26		7,000			7,057
	Mizuho Financial Group Inc.	3.663%	2/28/27		2,750			2,908
	Mizuho Financial Group Inc.	3.170%	9/11/27		11,000			11,280
	Mizuho Financial Group Inc.	4.018%	3/5/28		12,025			13,088
3	Mizuho Financial Group Inc.	4.254%	9/11/29		4,000			4,428
3	Mizuho Financial Group Inc.	3.153%	7/16/30		11,300			11,539
3	Mizuho Financial Group Inc.	2.869%	9/13/30		4,610			4,639
	Morgan Stanley	4.000%	7/23/25		37,106			40,128
	Morgan Stanley	5.000%	11/24/25		10,817			12,146
	Morgan Stanley	3.875%	1/27/26		17,931			19,233
	Morgan Stanley	3.125%	7/27/26		28,241			29,069
	Morgan Stanley	6.250%	8/9/26		1,793			2,177
	Morgan Stanley	4.350%	9/8/26		22,633			24,708
	Morgan Stanley	3.625%	1/20/27		31,730			33,691
	Morgan Stanley	3.950%	4/23/27		11,960			12,785
3	Morgan Stanley	3.591%	7/22/28		30,439			32,247
3	Morgan Stanley	3.772%	1/24/29		23,650			25,405
3	Morgan Stanley	4.431%	1/23/30		18,055			20,375
	MUFG Americas Holdings Corp.	3.000%	2/10/25		4,165			4,231
	National Australia Bank Ltd.	3.375%	1/14/26		3,150			3,300
	National Australia Bank Ltd.	2.500%	7/12/26		11,630			11,675
	Northern Trust Corp.	3.950%	10/30/25		5,218			5,617
	Northern Trust Corp.	3.650%	8/3/28		4,000			4,321
	Northern Trust Corp.	3.150%	5/3/29		5,500			5,789
3	Northern Trust Corp.	3.375%	5/8/32		3,050			3,091
	PNC Bank NA	2.950%	2/23/25		4,541			4,644

45

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	PNC Bank NA	3.250%	6/1/25		8,890			9,311
	PNC Bank NA	4.200%	11/1/25		4,700			5,108
	PNC Bank NA	3.100%	10/25/27		10,850			11,317
	PNC Bank NA	3.250%	1/22/28		3,650			3,832
	PNC Bank NA	4.050%	7/26/28		11,750			12,898
	PNC Bank NA	2.700%	10/22/29		8,500			8,449
	PNC Financial Services Group Inc.	3.150%	5/19/27		6,114			6,318
	PNC Financial Services Group Inc.	3.450%	4/23/29		13,800			14,664
	Royal Bank of Canada	4.650%	1/27/26		18,074			20,061
	Royal Bank of Scotland Group plc	4.800%	4/5/26		8,964			9,930
3	Royal Bank of Scotland Group plc	4.892%	5/18/29		19,300			21,757
3	Royal Bank of Scotland Group plc	5.076%	1/27/30		13,225			15,171
3	Royal Bank of Scotland Group plc	4.445%	5/8/30		9,000			9,906
	Santander Holdings USA Inc.	4.500%	7/17/25		15,130			16,268
4	Santander Holdings USA Inc.	3.244%	10/5/26		3,200			3,215
	Santander Holdings USA Inc.	4.400%	7/13/27		22,857			24,627
3	Santander UK Group Holdings plc	3.823%	11/3/28		8,400			8,821
	State Street Corp.	3.550%	8/18/25		10,313			11,083
	State Street Corp.	2.650%	5/19/26		9,240			9,380
3	State Street Corp.	4.141%	12/3/29		2,600			2,902
	Sumitomo Mitsui Banking Corp.	3.650%	7/23/25		1,400			1,489
	Sumitomo Mitsui Financial Group Inc.	3.784%	3/9/26		9,330			9,936
	Sumitomo Mitsui Financial Group Inc.	2.632%	7/14/26		16,707			16,731
	Sumitomo Mitsui Financial Group Inc.	3.010%	10/19/26		14,311			14,576
	Sumitomo Mitsui Financial Group Inc.	3.446%	1/11/27		18,025			18,860
	Sumitomo Mitsui Financial Group Inc.	3.364%	7/12/27		11,296			11,763
	Sumitomo Mitsui Financial Group Inc.	3.544%	1/17/28		7,775			8,207
	Sumitomo Mitsui Financial Group Inc.	3.944%	7/19/28		6,775			7,385
	Sumitomo Mitsui Financial Group Inc.	4.306%	10/16/28		1,505			1,678
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29		20,025			20,390
	Sumitomo Mitsui Financial Group Inc.	3.202%	9/17/29		6,200			6,259
	Sumitomo Mitsui Financial Group Inc.	2.724%	9/27/29		8,750			8,650
	SVB Financial Group	3.500%	1/29/25		4,000			4,178
	Synchrony Financial	4.500%	7/23/25		7,713			8,332
	Synchrony Financial	3.700%	8/4/26		4,944			5,095
	Synchrony Financial	3.950%	12/1/27		2,506			2,631
	Synchrony Financial	5.150%	3/19/29		7,000			7,949
3	Toronto-Dominion Bank	3.625%	9/15/31		9,500			9,927
	Truist Bank	3.625%	9/16/25		20,468			21,771
	Truist Bank	4.050%	11/3/25		1,750			1,915
	Truist Financial Corp.	4.000%	5/1/25		7,020			7,594
	Truist Financial Corp.	3.700%	6/5/25		8,600			9,263
	Truist Financial Corp.	3.875%	3/19/29		3,100			3,337
	US Bancorp	3.950%	11/17/25		9,258			10,180
	US Bancorp	3.100%	4/27/26		10,070			10,482
	US Bancorp	2.375%	7/22/26		8,899			8,921
	US Bancorp	3.150%	4/27/27		10,775			11,273
	US Bancorp	3.900%	4/26/28		4,670			5,238
	US Bancorp	3.000%	7/30/29		3,850			3,940
	US Bank NA	2.800%	1/27/25		8,105			8,353
	Webster Financial Corp.	4.100%	3/25/29		2,500			2,647
	Wells Fargo & Co.	3.000%	2/19/25		19,839			20,460
	Wells Fargo & Co.	3.550%	9/29/25		19,824			20,944
	Wells Fargo & Co.	3.000%	4/22/26		38,999			40,112
	Wells Fargo & Co.	4.100%	6/3/26		26,711			28,712
	Wells Fargo & Co.	3.000%	10/23/26		25,342			25,902
3	Wells Fargo & Co.	3.196%	6/17/27		12,715			13,161
	Wells Fargo & Co.	4.300%	7/22/27		21,249			23,190
3	Wells Fargo & Co.	3.584%	5/22/28		23,006			24,393
	Wells Fargo & Co.	4.150%	1/24/29		21,000			23,333
3	Wells Fargo & Co.	2.879%	10/30/30		54,500			54,823
	Westpac Banking Corp.	2.350%	2/19/25		8,425			8,440
	Westpac Banking Corp.	2.850%	5/13/26		11,500			11,741
	Westpac Banking Corp.	2.700%	8/19/26		9,340			9,443

46

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Westpac Banking Corp.	3.350%	3/8/27		10,690			11,303
3	Westpac Banking Corp.	4.322%	11/23/31		17,500			18,462
	Westpac Banking Corp.	4.110%	7/24/34		5,500			5,727
	Zions Bancorp NA	3.250%	10/29/29		3,280			3,218
	Brokerage (0.6%)
	Affiliated Managers Group Inc.	3.500%	8/1/25		3,125			3,263
	Ameriprise Financial Inc.	2.875%	9/15/26		4,175			4,265
	BGC Partners Inc.	3.750%	10/1/24		1			1
	BlackRock Inc.	3.200%	3/15/27		2,117			2,237
	BlackRock Inc.	3.250%	4/30/29		8,350			8,917
	Brookfield Asset Management Inc.	4.000%	1/15/25		5,910			6,339
	Brookfield Finance Inc.	4.250%	6/2/26		2,700			2,928
	Brookfield Finance Inc.	3.900%	1/25/28		5,800			6,226
	Brookfield Finance Inc.	4.850%	3/29/29		8,050			9,223
	Cboe Global Markets Inc.	3.650%	1/12/27		6,023			6,459
	Charles Schwab Corp.	3.000%	3/10/25		1,000			1,037
	Charles Schwab Corp.	3.850%	5/21/25		4,635			5,013
	Charles Schwab Corp.	3.450%	2/13/26		4,755			5,018
	Charles Schwab Corp.	3.200%	3/2/27		5,625			5,903
	Charles Schwab Corp.	3.200%	1/25/28		5,610			5,863
	Charles Schwab Corp.	4.000%	2/1/29		8,215			9,092
	Charles Schwab Corp.	3.250%	5/22/29		5,600			5,908
	CME Group Inc.	3.000%	3/15/25		4,232			4,379
	CME Group Inc.	3.750%	6/15/28		4,275			4,719
	E*TRADE Financial Corp.	3.800%	8/24/27		5,625			5,870
	E*TRADE Financial Corp.	4.500%	6/20/28		2,050			2,231
	Eaton Vance Corp.	3.500%	4/6/27		3,620			3,822
	Franklin Resources Inc.	2.850%	3/30/25		4,015			4,133
	Intercontinental Exchange Inc.	3.750%	12/1/25		6,005			6,463
	Intercontinental Exchange Inc.	3.100%	9/15/27		3,550			3,717
	Intercontinental Exchange Inc.	3.750%	9/21/28		1,825			1,991
	Invesco Finance plc	3.750%	1/15/26		6,450			6,851
	Janus Capital Group Inc.	4.875%	8/1/25		2,660			2,860
	Jefferies Group LLC	4.850%	1/15/27		11,419			12,638
	Jefferies Group LLC	6.450%	6/8/27		100			116
	Lazard Group LLC	3.750%	2/13/25		2,975			3,133
	Lazard Group LLC	3.625%	3/1/27		3,995			4,085
	Lazard Group LLC	4.500%	9/19/28		4,200			4,661
	Lazard Group LLC	4.375%	3/11/29		4,000			4,375
	Legg Mason Inc.	4.750%	3/15/26		5,145			5,635
	Nasdaq Inc.	3.850%	6/30/26		5,560			5,949
	Raymond James Financial Inc.	3.625%	9/15/26		4,226			4,463
	TD Ameritrade Holding Corp.	3.625%	4/1/25		3,050			3,236
	TD Ameritrade Holding Corp.	3.300%	4/1/27		7,767			8,112
	TD Ameritrade Holding Corp.	2.750%	10/1/29		4,100			4,126
	Finance Companies (0.3%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	1/15/25		7,200			7,413
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	10/1/25		3,425			3,682
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	4/3/26		3,550			3,803
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.650%	7/21/27		8,192			8,397
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.875%	1/23/28		6,900			7,142
	Air Lease Corp.	3.250%	3/1/25		11,164			11,482
	Air Lease Corp.	3.750%	6/1/26		300			313
	Air Lease Corp.	3.625%	4/1/27		4,975			5,163
	Air Lease Corp.	3.625%	12/1/27		5,700			5,894
	Air Lease Corp.	4.625%	10/1/28		1,875			2,069
	Air Lease Corp.	3.250%	10/1/29		5,200			5,170
	Aircastle Ltd.	4.250%	6/15/26		4,700			4,957

47

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Ares Capital Corp.	4.250%	3/1/25		5,350			5,584
	FS KKR Capital Corp.	4.125%	2/1/25		2,500			2,533
	GATX Corp.	3.250%	3/30/25		2,675			2,749
	GATX Corp.	3.250%	9/15/26		2,050			2,077
	GATX Corp.	3.850%	3/30/27		4,000			4,177
	GATX Corp.	3.500%	3/15/28		7,328			7,461
	GE Capital International Funding Co. Unlimited Co.	3.373%	11/15/25		15,886			16,472
	Owl Rock Capital Corp.	4.000%	3/30/25		3,500			3,510
	Insurance (1.6%)
3	Aegon NV	5.500%	4/11/48		8,045			8,739
	Aflac Inc.	3.250%	3/17/25		4,465			4,686
	Aflac Inc.	2.875%	10/15/26		2,975			3,061
	Allied World Assurance Co. Holdings Ltd.	4.350%	10/29/25		4,848			5,034
	Allstate Corp.	3.280%	12/15/26		4,605			4,858
	American Financial Group Inc.	3.500%	8/15/26		4,200			4,308
	American International Group Inc.	3.750%	7/10/25		8,969			9,593
	American International Group Inc.	3.900%	4/1/26		9,409			10,068
	American International Group Inc.	4.200%	4/1/28		8,595			9,420
	American International Group Inc.	4.250%	3/15/29		5,085			5,648
3	American International Group Inc.	5.750%	4/1/48		4,765			5,160
	Anthem Inc.	2.375%	1/15/25		3,500			3,498
	Anthem Inc.	3.650%	12/1/27		13,625			14,369
	Anthem Inc.	4.101%	3/1/28		11,158			12,089
	Anthem Inc.	2.875%	9/15/29		10,850			10,785
	Aon Corp.	3.750%	5/2/29		7,205			7,697
	Aon plc	3.875%	12/15/25		11,040			11,841
	Arch Capital Finance LLC	4.011%	12/15/26		4,640			5,110
	Assurant Inc.	4.900%	3/27/28		3,500			3,842
	Athene Holding Ltd.	4.125%	1/12/28		8,575			8,857
	AXA Equitable Holdings Inc.	7.000%	4/1/28		2,250			2,731
	AXA Equitable Holdings Inc.	4.350%	4/20/28		18,450			20,014
	AXIS Specialty Finance LLC	3.900%	7/15/29		2,450			2,568
3	AXIS Specialty Finance LLC	4.900%	1/15/40		3,000			3,045
	AXIS Specialty Finance plc	4.000%	12/6/27		3,075			3,244
	Berkshire Hathaway Inc.	3.125%	3/15/26		28,417			29,978
	Brighthouse Financial Inc.	3.700%	6/22/27		9,045			8,991
	Brown & Brown Inc.	4.500%	3/15/29		2,800			3,055
	Chubb INA Holdings Inc.	3.150%	3/15/25		10,018			10,518
	Chubb INA Holdings Inc.	3.350%	5/3/26		12,021			12,760
	Cincinnati Financial Corp.	6.920%	5/15/28		3,200			4,131
	CNA Financial Corp.	4.500%	3/1/26		6,129			6,719
	CNA Financial Corp.	3.450%	8/15/27		2,753			2,867
	CNA Financial Corp.	3.900%	5/1/29		4,220			4,536
	CNO Financial Group Inc.	5.250%	5/30/29		4,050			4,526
	Enstar Group Ltd.	4.950%	6/1/29		14,756			15,796
	Fairfax Financial Holdings Ltd.	4.850%	4/17/28		5,500			5,988
	First American Financial Corp.	4.600%	11/15/24		1			1
	Globe Life Inc.	4.550%	9/15/28		4,225			4,685
	Hanover Insurance Group Inc.	4.500%	4/15/26		4,700			5,071
	Hartford Financial Services Group Inc.	2.800%	8/19/29		4,000			4,046
	Humana Inc.	3.950%	3/15/27		5,175			5,548
	Humana Inc.	3.125%	8/15/29		5,200			5,280
	Kemper Corp.	4.350%	2/15/25		2,500			2,655
	Lincoln National Corp.	3.350%	3/9/25		2,197			2,284
	Lincoln National Corp.	3.625%	12/12/26		6,808			7,177
	Manulife Financial Corp.	4.150%	3/4/26		11,757			12,839
3	Manulife Financial Corp.	4.061%	2/24/32		5,135			5,273
	Markel Corp.	3.500%	11/1/27		2,500			2,554
	Markel Corp.	3.350%	9/17/29		2,500			2,551
	Marsh & McLennan Cos. Inc.	4.050%	10/15/23		2,000			2,117
	Marsh & McLennan Cos. Inc.	3.500%	3/10/25		3,700			3,892
	Marsh & McLennan Cos. Inc.	3.750%	3/14/26		5,952			6,378
	Marsh & McLennan Cos. Inc.	4.375%	3/15/29		12,000			13,668

48

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Mercury General Corp.	4.400%	3/15/27		3,465			3,644
	MetLife Inc.	3.000%	3/1/25		3,471			3,612
	MetLife Inc.	3.600%	11/13/25		3,865			4,145
	Old Republic International Corp.	3.875%	8/26/26		4,625			4,895
	PartnerRe Finance B LLC	3.700%	7/2/29		6,000			6,232
	Principal Financial Group Inc.	3.400%	5/15/25		5,266			5,511
	Principal Financial Group Inc.	3.100%	11/15/26		1,935			2,002
	Principal Financial Group Inc.	3.700%	5/15/29		4,596			4,998
	Progressive Corp.	2.450%	1/15/27		5,590			5,621
	Prudential Financial Inc.	3.878%	3/27/28		3,500			3,828
3	Prudential Financial Inc.	5.200%	3/15/44		5,525			5,877
3	Prudential Financial Inc.	5.375%	5/15/45		9,150			9,731
3	Prudential Financial Inc.	4.500%	9/15/47		7,125			7,361
3	Prudential Financial Inc.	5.700%	9/15/48		8,300			9,436
	Reinsurance Group of America Inc.	3.950%	9/15/26		2,200			2,332
	Reinsurance Group of America Inc.	3.900%	5/15/29		4,450			4,742
	RenaissanceRe Finance Inc.	3.700%	4/1/25		3,000			3,119
	RenaissanceRe Finance Inc.	3.450%	7/1/27		1,800			1,862
	RenaissanceRe Holdings Ltd.	3.600%	4/15/29		1,250			1,311
	Trinity Acquisition plc	4.400%	3/15/26		5,430			5,873
	UnitedHealth Group Inc.	3.750%	7/15/25		18,456			19,924
	UnitedHealth Group Inc.	3.700%	12/15/25		2,315			2,496
	UnitedHealth Group Inc.	3.100%	3/15/26		10,917			11,387
	UnitedHealth Group Inc.	3.450%	1/15/27		3,379			3,622
	UnitedHealth Group Inc.	3.375%	4/15/27		7,115			7,559
	UnitedHealth Group Inc.	2.950%	10/15/27		8,815			9,108
	UnitedHealth Group Inc.	3.850%	6/15/28		8,215			8,996
	UnitedHealth Group Inc.	3.875%	12/15/28		6,850			7,554
	UnitedHealth Group Inc.	2.875%	8/15/29		7,040			7,201
	Unum Group	4.000%	6/15/29		2,000			2,109
	Voya Financial Inc.	3.650%	6/15/26		3,639			3,835
3	Voya Financial Inc.	4.700%	1/23/48		2,000			1,988
	Willis North America Inc.	4.500%	9/15/28		5,731			6,286
	Willis North America Inc.	2.950%	9/15/29		9,665			9,593
	XLIT Ltd.	4.450%	3/31/25		4,171			4,515
	Other Finance (0.0%)
	ORIX Corp.	3.700%	7/18/27		4,000			4,224
	Real Estate Investment Trusts (2.1%)
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25		6,300			6,604
	Alexandria Real Estate Equities Inc.	4.300%	1/15/26		2,600			2,848
	Alexandria Real Estate Equities Inc.	3.800%	4/15/26		4,620			4,938
	Alexandria Real Estate Equities Inc.	3.950%	1/15/28		6,925			7,434
	Alexandria Real Estate Equities Inc.	4.500%	7/30/29		1,216			1,372
	Alexandria Real Estate Equities Inc.	2.750%	12/15/29		1,043			1,028
	American Campus Communities Operating Partnership LP	3.300%	7/15/26		5,725			5,916
	American Homes 4 Rent LP	4.250%	2/15/28		2,375			2,519
	American Homes 4 Rent LP	4.900%	2/15/29		5,875			6,582
	AvalonBay Communities Inc.	3.450%	6/1/25		6,317			6,660
	AvalonBay Communities Inc.	3.500%	11/15/25		4,700			4,985
	AvalonBay Communities Inc.	2.950%	5/11/26		6,663			6,838
	AvalonBay Communities Inc.	3.350%	5/15/27		4,635			4,880
	AvalonBay Communities Inc.	3.200%	1/15/28		700			730
	AvalonBay Communities Inc.	3.300%	6/1/29		2,000			2,111
	Boston Properties Inc.	3.400%	6/21/29		2,900			3,020
	Boston Properties LP	3.200%	1/15/25		6,958			7,208
	Boston Properties LP	3.650%	2/1/26		7,985			8,450
	Boston Properties LP	2.750%	10/1/26		8,464			8,538
	Boston Properties LP	4.500%	12/1/28		7,750			8,724
	Brandywine Operating Partnership LP	3.950%	11/15/27		6,650			6,966
	Brandywine Operating Partnership LP	4.550%	10/1/29		410			446
	Brixmor Operating Partnership LP	3.850%	2/1/25		6,933			7,267

49

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Brixmor Operating Partnership LP	4.125%	6/15/26		6,450			6,846
Brixmor Operating Partnership LP	3.900%	3/15/27		3,575			3,733
Brixmor Operating Partnership LP	4.125%	5/15/29		8,450			9,049
Camden Property Trust	4.100%	10/15/28		2,000			2,221
Camden Property Trust	3.150%	7/1/29		11,140			11,591
Columbia Property Trust Operating Partnership LP	4.150%	4/1/25		3,700			3,879
Columbia Property Trust Operating Partnership LP	3.650%	8/15/26		6,575			6,699
CubeSmart LP	3.125%	9/1/26		4,600			4,670
CubeSmart LP	4.375%	2/15/29		1,378			1,509
CyrusOne LP / CyrusOne Finance Corp.	3.450%	11/15/29		5,085			5,088
Digital Realty Trust LP	4.750%	10/1/25		5,450			6,047
Digital Realty Trust LP	3.700%	8/15/27		8,737			9,184
Digital Realty Trust LP	4.450%	7/15/28		7,235			7,995
Digital Realty Trust LP	3.600%	7/1/29		4,950			5,167
Duke Realty LP	3.250%	6/30/26		1,750			1,805
Duke Realty LP	3.375%	12/15/27		6,405			6,698
Duke Realty LP	4.000%	9/15/28		1,725			1,861
Duke Realty LP	2.875%	11/15/29		2,000			1,996
EPR Properties	4.500%	4/1/25		3,486			3,694
EPR Properties	4.750%	12/15/26		3,800			4,112
EPR Properties	4.500%	6/1/27		3,900			4,179
EPR Properties	4.950%	4/15/28		3,635			3,955
EPR Properties	3.750%	8/15/29		5,000			5,040
ERP Operating LP	3.375%	6/1/25		2,300			2,417
ERP Operating LP	2.850%	11/1/26		4,125			4,213
ERP Operating LP	3.250%	8/1/27		2,150			2,252
ERP Operating LP	3.500%	3/1/28		7,450			7,928
ERP Operating LP	3.000%	7/1/29		7,630			7,869
Essex Portfolio LP	3.500%	4/1/25		6,900			7,242
Essex Portfolio LP	3.375%	4/15/26		4,250			4,415
Essex Portfolio LP	3.625%	5/1/27		375			397
Essex Portfolio LP	4.000%	3/1/29		4,020			4,385
Federal Realty Investment Trust	3.250%	7/15/27		5,085			5,276
Federal Realty Investment Trust	3.200%	6/15/29		4,750			4,896
Healthcare Realty Trust Inc.	3.625%	1/15/28		6,206			6,414
Healthcare Trust of America Holdings LP	3.500%	8/1/26		5,700			5,944
Healthcare Trust of America Holdings LP	3.750%	7/1/27		4,500			4,740
Healthpeak Properties Inc.	3.400%	2/1/25		6,669			6,934
Healthpeak Properties Inc.	4.000%	6/1/25		3,603			3,868
Healthpeak Properties Inc.	3.250%	7/15/26		5,000			5,173
Healthpeak Properties Inc.	3.500%	7/15/29		6,200			6,450
Highwoods Realty LP	3.875%	3/1/27		2,625			2,738
Highwoods Realty LP	4.125%	3/15/28		3,700			3,907
Highwoods Realty LP	4.200%	4/15/29		1,650			1,774
Host Hotels & Resorts LP	4.000%	6/15/25		5,160			5,513
Host Hotels & Resorts LP	3.375%	12/15/29		2,750			2,772
Hudson Pacific Properties LP	3.950%	11/1/27		1,550			1,624
Kilroy Realty LP	4.375%	10/1/25		3,614			3,919
Kilroy Realty LP	4.750%	12/15/28		1,525			1,719
Kilroy Realty LP	4.250%	8/15/29		3,974			4,317
Kimco Realty Corp.	3.300%	2/1/25		6,710			6,975
Kimco Realty Corp.	2.800%	10/1/26		4,050			4,040
Kite Realty Group LP	4.000%	10/1/26		2,750			2,723
Liberty Property LP	3.750%	4/1/25		4,250			4,541
Liberty Property LP	3.250%	10/1/26		2,000			2,085
Liberty Property LP	4.375%	2/1/29		600			676
Life Storage LP	3.500%	7/1/26		4,075			4,183
Life Storage LP	3.875%	12/15/27		2,945			3,092
Life Storage LP	4.000%	6/15/29		3,250			3,461
Mid-America Apartments LP	4.000%	11/15/25		4,225			4,565
Mid-America Apartments LP	3.600%	6/1/27		5,820			6,178
Mid-America Apartments LP	3.950%	3/15/29		3,180			3,464
National Retail Properties Inc.	4.000%	11/15/25		1,300			1,389
National Retail Properties Inc.	3.600%	12/15/26		3,730			3,917

50

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
National Retail Properties Inc.	4.300%	10/15/28		3,025			3,334
Omega Healthcare Investors Inc.	4.500%	1/15/25		5,038			5,381
Omega Healthcare Investors Inc.	5.250%	1/15/26		7,106			7,909
Omega Healthcare Investors Inc.	4.500%	4/1/27		8,616			9,300
Omega Healthcare Investors Inc.	4.750%	1/15/28		3,405			3,704
Omega Healthcare Investors Inc.	3.625%	10/1/29		5,863			5,886
Physicians Realty LP	4.300%	3/15/27		3,800			4,014
Physicians Realty LP	3.950%	1/15/28		1,707			1,767
Prologis LP	3.750%	11/1/25		6,165			6,662
Prologis LP	3.875%	9/15/28		3,350			3,675
Public Storage	3.094%	9/15/27		4,650			4,836
Public Storage	3.385%	5/1/29		1,500			1,586
Realty Income Corp.	3.875%	4/15/25		3,872			4,165
Realty Income Corp.	4.125%	10/15/26		6,365			6,952
Realty Income Corp.	3.000%	1/15/27		4,690			4,831
Realty Income Corp.	3.650%	1/15/28		4,539			4,862
Realty Income Corp.	3.250%	6/15/29		15,350			16,261
Regency Centers LP	3.600%	2/1/27		3,925			4,102
Regency Centers LP	4.125%	3/15/28		2,800			3,032
Regency Centers LP	2.950%	9/15/29		3,000			2,995
Sabra Health Care LP	5.125%	8/15/26		3,725			4,028
Sabra Health Care LP	3.900%	10/15/29		3,130			3,126
Select Income REIT	4.500%	2/1/25		3,183			3,305
Service Properties Trust	4.500%	3/15/25		3,025			3,098
Service Properties Trust	5.250%	2/15/26		5,230			5,502
Service Properties Trust	4.750%	10/1/26		2,810			2,882
Service Properties Trust	4.950%	2/15/27		2,435			2,507
Service Properties Trust	3.950%	1/15/28		2,100			2,051
Service Properties Trust	4.950%	10/1/29		3,000			3,016
Service Properties Trust	4.375%	2/15/30		500			490
Simon Property Group LP	3.500%	9/1/25		7,000			7,434
Simon Property Group LP	3.300%	1/15/26		6,725			7,036
Simon Property Group LP	3.250%	11/30/26		6,180			6,472
Simon Property Group LP	3.375%	6/15/27		5,690			6,007
Simon Property Group LP	3.375%	12/1/27		6,180			6,534
Simon Property Group LP	2.450%	9/13/29		10,725			10,522
SITE Centers Corp.	3.625%	2/1/25		4,150			4,272
SITE Centers Corp.	4.250%	2/1/26		2,831			2,975
SITE Centers Corp.	4.700%	6/1/27		7,900			8,541
Spirit Realty LP	3.200%	1/15/27		3,310			3,309
Spirit Realty LP	4.000%	7/15/29		2,213			2,311
STORE Capital Corp.	4.500%	3/15/28		3,225			3,510
Tanger Properties LP	3.750%	12/1/24		1,550			1,585
Tanger Properties LP	3.125%	9/1/26		1,775			1,762
Tanger Properties LP	3.875%	7/15/27		1,975			2,017
UDR Inc.	4.000%	10/1/25		5,003			5,376
UDR Inc.	2.950%	9/1/26		5,425			5,494
UDR Inc.	3.500%	1/15/28		1,500			1,573
UDR Inc.	3.200%	1/15/30		2,000			2,040
Ventas Realty LP	2.650%	1/15/25		3,400			3,426
Ventas Realty LP	3.500%	2/1/25		5,690			5,936
Ventas Realty LP	4.125%	1/15/26		3,661			3,918
Ventas Realty LP	3.250%	10/15/26		7,095			7,246
Ventas Realty LP	4.000%	3/1/28		4,750			5,078
Ventas Realty LP	4.400%	1/15/29		3,363			3,698
VEREIT Operating Partnership LP	4.625%	11/1/25		3,350			3,657
VEREIT Operating Partnership LP	4.875%	6/1/26		5,033			5,538
VEREIT Operating Partnership LP	3.950%	8/15/27		9,366			9,825
VEREIT Operating Partnership LP	3.100%	12/15/29		2,000			1,964
Vornado Realty LP	3.500%	1/15/25		3,400			3,539
Welltower Inc.	4.000%	6/1/25		5,863			6,298
Welltower Inc.	4.250%	4/1/26		6,100			6,616
Welltower Inc.	2.700%	2/15/27		4,000			4,015
Welltower Inc.	4.250%	4/15/28		5,975			6,540

51

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Welltower Inc.	4.125%	3/15/29		8,055			8,760
	WP Carey Inc.	4.000%	2/1/25		1,990			2,088
	WP Carey Inc.	4.250%	10/1/26		1,175			1,257
	WP Carey Inc.	3.850%	7/15/29		3,200			3,387
								5,105,993
Industrial (23.8%)
	Basic Industry (1.2%)
4	Albemarle Wodgina Pty Ltd.	3.450%	11/15/29		1,500			1,498
	ArcelorMittal	6.125%	6/1/25		7,770			8,939
	ArcelorMittal	4.550%	3/11/26		7,120			7,551
	ArcelorMittal	4.250%	7/16/29		4,425			4,619
	Cabot Corp.	4.000%	7/1/29		2,900			3,039
	Celulosa Arauco y Constitucion SA	3.875%	11/2/27		7,580			7,649
	Dow Chemical Co.	4.550%	11/30/25		3,050			3,357
	Dow Chemical Co.	3.625%	5/15/26		3,625			3,810
	Dow Chemical Co.	4.800%	11/30/28		5,400			6,123
	DuPont de Nemours Inc.	4.493%	11/15/25		19,675			21,627
	DuPont de Nemours Inc.	4.725%	11/15/28		26,484			30,045
	Eastman Chemical Co.	3.800%	3/15/25		10,274			10,834
	Ecolab Inc.	2.700%	11/1/26		10,790			11,077
	Ecolab Inc.	3.250%	12/1/27		1,660			1,747
	Fibria Overseas Finance Ltd.	4.000%	1/14/25		5,435			5,632
	Fibria Overseas Finance Ltd.	5.500%	1/17/27		5,925			6,503
	FMC Corp.	3.200%	10/1/26		3,650			3,738
	FMC Corp.	3.450%	10/1/29		7,250			7,488
	Georgia-Pacific LLC	7.375%	12/1/25		1,679			2,109
	Huntsman International LLC	4.500%	5/1/29		4,123			4,384
	International Flavors & Fragrances Inc.	4.450%	9/26/28		2,000			2,185
	International Paper Co.	3.800%	1/15/26		7,621			8,115
	International Paper Co.	3.000%	2/15/27		2,015			2,061
	Kinross Gold Corp.	4.500%	7/15/27		6,617			6,915
	LYB International Finance II BV	3.500%	3/2/27		8,397			8,786
	Mosaic Co.	4.050%	11/15/27		8,712			9,026
	Newmont Corp.	2.800%	10/1/29		7,250			7,175
	Nucor Corp.	3.950%	5/1/28		4,210			4,566
	Nutrien Ltd.	3.375%	3/15/25		5,285			5,478
	Nutrien Ltd.	3.000%	4/1/25		4,111			4,184
	Nutrien Ltd.	4.000%	12/15/26		6,655			7,081
	Nutrien Ltd.	4.200%	4/1/29		3,575			3,930
	Packaging Corp. of America	3.400%	12/15/27		3,295			3,430
	Packaging Corp. of America	3.000%	12/15/29		140			140
	PPG Industries Inc.	2.800%	8/15/29		200			201
	Praxair Inc.	2.650%	2/5/25		2,216			2,273
	Praxair Inc.	3.200%	1/30/26		5,762			6,038
	Rio Tinto Finance USA Ltd.	3.750%	6/15/25		12,232			13,125
	Rio Tinto Finance USA Ltd.	7.125%	7/15/28		1,000			1,332
	Rohm & Haas Co.	7.850%	7/15/29		8,675			11,529
	RPM International Inc.	3.750%	3/15/27		4,080			4,195
	RPM International Inc.	4.550%	3/1/29		3,865			4,178
	SASOL Financing USA LLC	6.500%	9/27/28		6,325			7,037
	Sherwin-Williams Co.	3.450%	8/1/25		4,300			4,513
	Sherwin-Williams Co.	3.950%	1/15/26		3,466			3,704
	Sherwin-Williams Co.	3.450%	6/1/27		16,000			16,868
	Sherwin-Williams Co.	2.950%	8/15/29		7,100			7,184
	Southern Copper Corp.	3.875%	4/23/25		6,225			6,532
	Steel Dynamics Inc.	4.125%	9/15/25		3,000			3,086
	Steel Dynamics Inc.	3.450%	4/15/30		1,500			1,517
	Suzano Austria GmbH	6.000%	1/15/29		14,900			16,821
	Vale Overseas Ltd.	6.250%	8/10/26		14,150			16,591
	Westlake Chemical Corp.	3.600%	8/15/26		7,153			7,381
	Weyerhaeuser Co.	6.950%	10/1/27		350			443
	Weyerhaeuser Co.	4.000%	11/15/29		2,500			2,710
	WRKCo Inc.	3.750%	3/15/25		8,275			8,717

52

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	WRKCo Inc.	4.650%	3/15/26		8,001			8,845
	WRKCo Inc.	3.375%	9/15/27		4,596			4,697
	WRKCo Inc.	4.000%	3/15/28		5,975			6,357
	WRKCo Inc.	3.900%	6/1/28		2,850			3,014
	WRKCo Inc.	4.900%	3/15/29		15,225			17,311
	Yamana Gold Inc.	4.625%	12/15/27		875			913
	Capital Goods (2.0%)
	3M Co.	2.000%	2/14/25		6,400			6,344
	3M Co.	3.000%	8/7/25		2,750			2,867
	3M Co.	2.250%	9/19/26		5,150			5,137
	3M Co.	2.875%	10/15/27		6,900			7,185
	3M Co.	3.625%	9/14/28		4,630			5,039
	3M Co.	3.375%	3/1/29		6,500			6,891
	3M Co.	2.375%	8/26/29		9,200			9,032
	ABB Finance USA Inc.	3.800%	4/3/28		6,160			6,725
	Allegion plc	3.500%	10/1/29		3,350			3,416
	Allegion US Holding Co. Inc.	3.550%	10/1/27		3,200			3,298
	Avery Dennison Corp.	4.875%	12/6/28		4,000			4,541
4	Bemis Co. Inc.	3.100%	9/15/26		2,700			2,639
	Boeing Co.	2.500%	3/1/25		1,092			1,094
	Boeing Co.	2.600%	10/30/25		2,200			2,216
	Boeing Co.	3.100%	5/1/26		5,200			5,361
	Boeing Co.	2.250%	6/15/26		4,395			4,329
	Boeing Co.	2.700%	2/1/27		4,615			4,651
	Boeing Co.	2.800%	3/1/27		3,472			3,517
	Boeing Co.	3.250%	3/1/28		2,450			2,543
	Boeing Co.	3.450%	11/1/28		4,436			4,671
	Boeing Co.	3.200%	3/1/29		8,600			8,962
	Carlisle Cos. Inc.	3.750%	12/1/27		4,825			5,045
	Caterpillar Financial Services Corp.	2.400%	8/9/26		3,535			3,554
	Caterpillar Inc.	2.600%	9/19/29		1,900			1,913
	CNH Industrial NV	3.850%	11/15/27		4,475			4,659
	Deere & Co.	5.375%	10/16/29		1,458			1,803
	Dover Corp.	3.150%	11/15/25		4,014			4,157
	Dover Corp.	2.950%	11/4/29		1,300			1,303
	Eagle Materials Inc.	4.500%	8/1/26		2,300			2,384
	Eaton Corp.	3.103%	9/15/27		6,200			6,429
	Embraer Netherlands Finance BV	5.050%	6/15/25		4,123			4,533
	Embraer Netherlands Finance BV	5.400%	2/1/27		8,388			9,430
	Emerson Electric Co.	3.150%	6/1/25		3,300			3,452
	Fortive Corp.	3.150%	6/15/26		7,806			7,987
	Fortune Brands Home & Security Inc.	4.000%	6/15/25		4,250			4,541
	Fortune Brands Home & Security Inc.	3.250%	9/15/29		5,725			5,781
	General Dynamics Corp.	2.375%	11/15/24		2			2
	General Dynamics Corp.	3.500%	5/15/25		7,860			8,414
	General Dynamics Corp.	2.125%	8/15/26		7,209			7,129
	General Dynamics Corp.	2.625%	11/15/27		6,235			6,377
	General Dynamics Corp.	3.750%	5/15/28		6,580			7,247
	General Electric Co.	3.450%	5/15/24		3,191			3,310
	General Electric Co.	5.550%	1/5/26		575			653
	Hexcel Corp.	4.700%	8/15/25		1,500			1,622
	Hexcel Corp.	3.950%	2/15/27		3,995			4,165
	Honeywell International Inc.	2.500%	11/1/26		9,018			9,160
	Honeywell International Inc.	2.700%	8/15/29		7,230			7,417
	Hubbell Inc.	3.350%	3/1/26		3,380			3,457
	Hubbell Inc.	3.150%	8/15/27		2,700			2,692
	Hubbell Inc.	3.500%	2/15/28		3,650			3,770
	Huntington Ingalls Industries Inc.	3.483%	12/1/27		6,620			6,901
	Illinois Tool Works Inc.	2.650%	11/15/26		8,885			9,131
	Ingersoll-Rand Luxembourg Finance SA	3.550%	11/1/24		1			1
	Ingersoll-Rand Luxembourg Finance SA	3.500%	3/21/26		3,175			3,320
	Ingersoll-Rand Luxembourg Finance SA	3.800%	3/21/29		7,450			7,977
	John Deere Capital Corp.	3.450%	3/13/25		2,750			2,919

53

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	John Deere Capital Corp.	3.400%	9/11/25		2,300			2,436
	John Deere Capital Corp.	2.650%	6/10/26		5,264			5,362
	John Deere Capital Corp.	2.250%	9/14/26		5,000			4,998
	John Deere Capital Corp.	2.800%	9/8/27		7,050			7,238
	John Deere Capital Corp.	3.050%	1/6/28		7,185			7,483
	John Deere Capital Corp.	3.450%	3/7/29		2,400			2,608
	John Deere Capital Corp.	2.800%	7/18/29		4,600			4,709
	Johnson Controls International plc	3.900%	2/14/26		3,161			3,356
	Kennametal Inc.	4.625%	6/15/28		3,875			4,133
	L3Harris Technologies Inc.	3.832%	4/27/25		7,284			7,749
4	L3Harris Technologies Inc.	3.850%	12/15/26		6,503			6,987
	L3Harris Technologies Inc.	4.400%	6/15/28		2,225			2,477
4	L3Harris Technologies Inc.	4.400%	6/15/28		9,715			10,822
	L3Harris Technologies Inc.	2.900%	12/15/29		1,939			1,963
	Leggett & Platt Inc.	3.500%	11/15/27		4,000			4,103
	Leggett & Platt Inc.	4.400%	3/15/29		4,000			4,370
	Legrand France SA	8.500%	2/15/25		3,295			4,249
	Lockheed Martin Corp.	2.900%	3/1/25		10,541			10,952
	Lockheed Martin Corp.	3.550%	1/15/26		14,833			15,885
	Martin Marietta Materials Inc.	3.450%	6/1/27		3,975			4,106
	Martin Marietta Materials Inc.	3.500%	12/15/27		2,775			2,886
	Masco Corp.	4.450%	4/1/25		4,234			4,610
	Masco Corp.	4.375%	4/1/26		6,064			6,543
	Masco Corp.	3.500%	11/15/27		3,500			3,620
	Northrop Grumman Corp.	2.930%	1/15/25		12,850			13,239
	Northrop Grumman Corp.	3.200%	2/1/27		3,600			3,744
	Northrop Grumman Corp.	3.250%	1/15/28		12,413			12,933
	Nvent Finance Sarl	4.550%	4/15/28		3,685			3,819
	Oshkosh Corp.	4.600%	5/15/28		3,100			3,317
	Owens Corning	3.400%	8/15/26		6,260			6,340
	Owens Corning	3.950%	8/15/29		1,000			1,037
	Parker-Hannifin Corp.	3.300%	11/21/24		2			2
	Parker-Hannifin Corp.	3.250%	3/1/27		8,927			9,259
	Parker-Hannifin Corp.	3.250%	6/14/29		9,300			9,662
	Precision Castparts Corp.	3.250%	6/15/25		7,993			8,421
	Republic Services Inc.	3.200%	3/15/25		7,876			8,178
	Republic Services Inc.	2.900%	7/1/26		4,108			4,185
	Republic Services Inc.	3.375%	11/15/27		5,991			6,320
	Rockwell Automation Inc.	3.500%	3/1/29		4,525			4,863
	Rockwell Collins Inc.	3.500%	3/15/27		11,406			12,132
	Roper Technologies Inc.	3.850%	12/15/25		2,375			2,552
	Roper Technologies Inc.	3.800%	12/15/26		8,178			8,789
	Roper Technologies Inc.	4.200%	9/15/28		7,250			7,928
	Roper Technologies Inc.	2.950%	9/15/29		3,250			3,267
	Snap-on Inc.	3.250%	3/1/27		2,575			2,684
	Spirit AeroSystems Inc.	3.850%	6/15/26		2,850			2,922
	Spirit AeroSystems Inc.	4.600%	6/15/28		5,915			6,219
	Stanley Black & Decker Inc.	3.400%	3/1/26		3,210			3,385
	Stanley Black & Decker Inc.	4.250%	11/15/28		4,885			5,495
	Textron Inc.	3.875%	3/1/25		2,320			2,457
	Textron Inc.	4.000%	3/15/26		3,770			4,025
	Textron Inc.	3.650%	3/15/27		4,518			4,724
	Textron Inc.	3.375%	3/1/28		1,250			1,284
	Textron Inc.	3.900%	9/17/29		2,100			2,240
	Timken Co.	4.500%	12/15/28		3,000			3,230
	United Technologies Corp.	3.950%	8/16/25		15,957			17,372
	United Technologies Corp.	2.650%	11/1/26		10,075			10,308
	United Technologies Corp.	3.125%	5/4/27		10,000			10,466
	United Technologies Corp.	4.125%	11/16/28		30,730			34,551
	United Technologies Corp.	7.500%	9/15/29		2,500			3,515
	Vulcan Materials Co.	4.500%	4/1/25		4,004			4,332
	Wabtec Corp.	3.450%	11/15/26		8,006			8,041
	Wabtec Corp.	4.950%	9/15/28		8,800			9,673
	Waste Connections Inc.	3.500%	5/1/29		8,650			9,115

54

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Waste Management Inc.	3.125%	3/1/25		7,556			7,895
	Waste Management Inc.	3.200%	6/15/26		6,845			7,171
	Waste Management Inc.	3.150%	11/15/27		9,519			9,946
	Waste Management Inc.	3.450%	6/15/29		5,764			6,156
	Xylem Inc.	3.250%	11/1/26		4,685			4,857
	Communication (2.8%)
	Activision Blizzard Inc.	3.400%	9/15/26		8,235			8,630
	Activision Blizzard Inc.	3.400%	6/15/27		3,099			3,228
	America Movil SAB de CV	3.625%	4/22/29		6,750			7,156
	American Tower Corp.	2.950%	1/15/25		1,050			1,076
	American Tower Corp.	4.000%	6/1/25		5,669			6,056
	American Tower Corp.	4.400%	2/15/26		2,550			2,789
	American Tower Corp.	3.375%	10/15/26		12,550			13,035
	American Tower Corp.	3.125%	1/15/27		8,252			8,412
	American Tower Corp.	3.550%	7/15/27		6,275			6,560
	American Tower Corp.	3.600%	1/15/28		5,000			5,235
	American Tower Corp.	3.950%	3/15/29		5,800			6,240
	American Tower Corp.	3.800%	8/15/29		16,798			17,945
	AT&T Inc.	3.950%	1/15/25		10,000			10,712
	AT&T Inc.	3.400%	5/15/25		39,774			41,681
	AT&T Inc.	3.600%	7/15/25		12,193			12,867
	AT&T Inc.	3.875%	1/15/26		9,725			10,414
	AT&T Inc.	4.125%	2/17/26		20,712			22,444
	AT&T Inc.	2.950%	7/15/26		2,475			2,512
	AT&T Inc.	3.800%	2/15/27		12,102			12,902
	AT&T Inc.	4.250%	3/1/27		10,320			11,312
	AT&T Inc.	4.100%	2/15/28		16,900			18,345
	AT&T Inc.	4.350%	3/1/29		29,425			32,633
	British Telecommunications plc	5.125%	12/4/28		5,000			5,746
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.908%	7/23/25		35,525			39,083
	Charter Communications Operating LLC / Charter Communications Operating Capital	3.750%	2/15/28		17,245			17,824
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.200%	3/15/28		200			213
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.050%	3/30/29		14,210			16,067
	Comcast Corp.	3.375%	2/15/25		8,565			9,023
	Comcast Corp.	3.375%	8/15/25		18,294			19,405
	Comcast Corp.	3.950%	10/15/25		16,990			18,515
	Comcast Corp.	3.150%	3/1/26		21,086			22,033
	Comcast Corp.	2.350%	1/15/27		25,375			25,299
	Comcast Corp.	3.300%	2/1/27		12,325			13,026
	Comcast Corp.	3.150%	2/15/28		12,580			13,167
	Comcast Corp.	4.150%	10/15/28		34,500			38,827
	Crown Castle International Corp.	4.450%	2/15/26		7,713			8,417
	Crown Castle International Corp.	3.700%	6/15/26		12,493			13,205
	Crown Castle International Corp.	4.000%	3/1/27		4,085			4,396
	Crown Castle International Corp.	3.650%	9/1/27		9,459			9,966
	Crown Castle International Corp.	3.800%	2/15/28		10,700			11,369
	Crown Castle International Corp.	4.300%	2/15/29		1,500			1,655
	Crown Castle International Corp.	3.100%	11/15/29		5,000			5,030
	Discovery Communications LLC	3.450%	3/15/25		3,046			3,152
	Discovery Communications LLC	3.950%	6/15/25		6,120			6,492
	Discovery Communications LLC	4.900%	3/11/26		6,284			7,018
	Discovery Communications LLC	3.950%	3/20/28		15,684			16,730
	Discovery Communications LLC	4.125%	5/15/29		7,255			7,789
	Electronic Arts Inc.	4.800%	3/1/26		4,750			5,346
4	Fox Corp.	4.709%	1/25/29		19,960			22,688
	Grupo Televisa SAB	6.625%	3/18/25		3,860			4,528
	Grupo Televisa SAB	4.625%	1/30/26		2,635			2,836
	Interpublic Group of Cos. Inc.	4.650%	10/1/28		6,190			6,954
	Moody's Corp.	4.250%	2/1/29		1,100			1,242

55

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Omnicom Group Inc./ Omnicom Capital Inc.	3.600%	4/15/26		12,526			13,170
RELX Capital Inc.	4.000%	3/18/29		7,000			7,582
Rogers Communications Inc.	3.625%	12/15/25		5,551			5,876
Rogers Communications Inc.	2.900%	11/15/26		4,625			4,697
S&P Global Inc.	4.000%	6/15/25		7,272			7,872
S&P Global Inc.	4.400%	2/15/26		6,415			7,127
S&P Global Inc.	2.950%	1/22/27		4,265			4,403
S&P Global Inc.	2.500%	12/1/29		1,750			1,753
Telefonica Emisiones SAU	4.103%	3/8/27		13,100			14,150
TELUS Corp.	2.800%	2/16/27		5,600			5,604
TELUS Corp.	3.700%	9/15/27		1,355			1,424
Thomson Reuters Corp.	3.350%	5/15/26		5,250			5,393
Verizon Communications Inc.	3.376%	2/15/25		23,102			24,422
Verizon Communications Inc.	2.625%	8/15/26		22,884			23,197
Verizon Communications Inc.	4.125%	3/16/27		29,436			32,546
Verizon Communications Inc.	4.329%	9/21/28		38,803			43,985
Verizon Communications Inc.	4.016%	12/3/29		16,820			18,724
ViacomCBS Inc.	3.500%	1/15/25		5,500			5,754
ViacomCBS Inc.	4.000%	1/15/26		5,603			5,999
ViacomCBS Inc.	2.900%	1/15/27		5,740			5,736
ViacomCBS Inc.	3.375%	2/15/28		4,800			4,943
ViacomCBS Inc.	3.700%	6/1/28		4,500			4,693
Vodafone Group plc	4.125%	5/30/25		14,961			16,165
Vodafone Group plc	4.375%	5/30/28		27,850			30,792
Walt Disney Co.	3.150%	9/17/25		8,000			8,499
Walt Disney Co.	3.700%	10/15/25		3,140			3,396
Walt Disney Co.	3.000%	2/13/26		8,785			9,241
Walt Disney Co.	1.850%	7/30/26		12,352			12,115
Walt Disney Co.	3.375%	11/15/26		5,450			5,830
Walt Disney Co.	2.000%	9/1/29		16,300			15,798
Consumer Cyclical (2.9%)
Alibaba Group Holding Ltd.	3.400%	12/6/27		21,475			22,380
Amazon.com Inc.	5.200%	12/3/25		8,259			9,586
Amazon.com Inc.	3.150%	8/22/27		21,374			22,583
American Honda Finance Corp.	2.300%	9/9/26		2,890			2,881
American Honda Finance Corp.	3.500%	2/15/28		5,600			6,022
Aptiv plc	4.250%	1/15/26		5,400			5,815
Aptiv plc	4.350%	3/15/29		1,300			1,409
Automatic Data Processing Inc.	3.375%	9/15/25		9,717			10,314
AutoNation Inc.	3.500%	11/15/24		4			4
AutoNation Inc.	4.500%	10/1/25		5,040			5,415
AutoNation Inc.	3.800%	11/15/27		3,750			3,782
AutoZone Inc.	3.250%	4/15/25		4,470			4,653
AutoZone Inc.	3.125%	4/21/26		4,600			4,737
AutoZone Inc.	3.750%	6/1/27		6,647			7,087
AutoZone Inc.	3.750%	4/18/29		3,750			4,008
Best Buy Co. Inc.	4.450%	10/1/28		2,685			2,938
Block Financial LLC	5.250%	10/1/25		3,025			3,310
Booking Holdings Inc.	3.650%	3/15/25		4,250			4,535
Booking Holdings Inc.	3.600%	6/1/26		14,430			15,415
Booking Holdings Inc.	3.550%	3/15/28		4,110			4,372
BorgWarner Inc.	3.375%	3/15/25		4,150			4,330
Costco Wholesale Corp.	3.000%	5/18/27		8,518			8,988
Cummins Inc.	7.125%	3/1/28		775			1,030
Darden Restaurants Inc.	3.850%	5/1/27		4,125			4,318
Dollar General Corp.	4.150%	11/1/25		6,312			6,857
Dollar General Corp.	3.875%	4/15/27		5,750			6,162
Dollar General Corp.	4.125%	5/1/28		2,825			3,091
Dollar Tree Inc.	4.000%	5/15/25		9,000			9,619
Dollar Tree Inc.	4.200%	5/15/28		9,450			10,123
eBay Inc.	3.600%	6/5/27		6,750			7,045
Expedia Group Inc.	5.000%	2/15/26		6,320			6,933
Expedia Group Inc.	3.800%	2/15/28		8,644			8,811

56

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Ford Motor Co.	4.346%	12/8/26		8,575			8,832
Ford Motor Co.	6.625%	10/1/28		5,614			6,187
Ford Motor Co.	6.375%	2/1/29		1,181			1,265
Ford Motor Credit Co. LLC	4.687%	6/9/25		7,700			7,980
Ford Motor Credit Co. LLC	4.134%	8/4/25		11,048			11,186
Ford Motor Credit Co. LLC	4.389%	1/8/26		11,939			12,129
Ford Motor Credit Co. LLC	4.542%	8/1/26		2,000			2,044
Ford Motor Credit Co. LLC	3.815%	11/2/27		7,550			7,292
Ford Motor Credit Co. LLC	5.113%	5/3/29		12,700			13,048
General Motors Co.	4.000%	4/1/25		2,283			2,377
General Motors Co.	5.000%	10/1/28		8,892			9,633
General Motors Financial Co. Inc.	3.500%	11/7/24		1			1
General Motors Financial Co. Inc.	4.000%	1/15/25		7,843			8,241
General Motors Financial Co. Inc.	4.350%	4/9/25		6,925			7,410
General Motors Financial Co. Inc.	4.300%	7/13/25		7,041			7,513
General Motors Financial Co. Inc.	5.250%	3/1/26		9,200			10,200
General Motors Financial Co. Inc.	4.000%	10/6/26		6,667			6,972
General Motors Financial Co. Inc.	4.350%	1/17/27		9,792			10,309
General Motors Financial Co. Inc.	3.850%	1/5/28		7,100			7,213
General Motors Financial Co. Inc.	5.650%	1/17/29		7,750			8,792
GLP Capital LP / GLP Financing II Inc.	5.250%	6/1/25		7,500			8,176
GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26		8,075			8,826
GLP Capital LP / GLP Financing II Inc.	5.750%	6/1/28		5,275			5,960
GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29		6,000			6,685
Harley-Davidson Inc.	3.500%	7/28/25		5,070			5,255
Harman International Industries Inc.	4.150%	5/15/25		3,200			3,403
Home Depot Inc.	3.350%	9/15/25		11,320			12,089
Home Depot Inc.	3.000%	4/1/26		13,677			14,279
Home Depot Inc.	2.125%	9/15/26		8,028			8,005
Home Depot Inc.	2.800%	9/14/27		8,452			8,760
Home Depot Inc.	3.900%	12/6/28		6,075			6,778
Home Depot Inc.	2.950%	6/15/29		7,400			7,685
Hyatt Hotels Corp.	4.850%	3/15/26		3,643			4,032
Hyatt Hotels Corp.	4.375%	9/15/28		4,000			4,341
IHS Markit Ltd.	4.750%	8/1/28		7,500			8,344
IHS Markit Ltd.	4.250%	5/1/29		6,235			6,718
JD.com Inc.	3.875%	4/29/26		4,825			5,001
Kohl's Corp.	4.250%	7/17/25		5,250			5,583
Las Vegas Sands Corp.	2.900%	6/25/25		4,000			4,040
Las Vegas Sands Corp.	3.500%	8/18/26		8,100			8,328
Las Vegas Sands Corp.	3.900%	8/8/29		6,198			6,466
Lear Corp.	5.250%	1/15/25		6,365			6,552
Lear Corp.	3.800%	9/15/27		6,549			6,621
Lear Corp.	4.250%	5/15/29		3,000			3,093
Lowe's Cos. Inc.	3.375%	9/15/25		6,283			6,603
Lowe's Cos. Inc.	2.500%	4/15/26		9,373			9,438
Lowe's Cos. Inc.	3.100%	5/3/27		19,456			20,083
Lowe's Cos. Inc.	3.650%	4/5/29		12,300			13,131
Magna International Inc.	4.150%	10/1/25		5,500			5,913
Marriott International Inc.	3.750%	3/15/25		2,500			2,640
Marriott International Inc.	3.750%	10/1/25		3,220			3,418
Marriott International Inc.	3.125%	6/15/26		7,655			7,921
Marriott International Inc.	4.000%	4/15/28		5,250			5,659
Mastercard Inc.	2.000%	3/3/25		6,725			6,688
Mastercard Inc.	2.950%	11/21/26		11,250			11,733
Mastercard Inc.	3.500%	2/26/28		5,130			5,550
Mastercard Inc.	2.950%	6/1/29		9,160			9,548
McDonald's Corp.	3.375%	5/26/25		11,176			11,795
McDonald's Corp.	3.700%	1/30/26		10,700			11,482
McDonald's Corp.	3.500%	3/1/27		12,050			12,839
McDonald's Corp.	3.800%	4/1/28		9,635			10,449
McDonald's Corp.	2.625%	9/1/29		7,500			7,482
NIKE Inc.	2.375%	11/1/26		12,150			12,348
Nordstrom Inc.	4.000%	3/15/27		3,125			3,239

57

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Nordstrom Inc.	4.375%	4/1/30		875			891
	O'Reilly Automotive Inc.	3.550%	3/15/26		4,112			4,328
	O'Reilly Automotive Inc.	3.600%	9/1/27		13,350			14,253
	O'Reilly Automotive Inc.	3.900%	6/1/29		3,720			4,042
	QVC Inc.	4.450%	2/15/25		1,987			2,051
	Ralph Lauren Corp.	3.750%	9/15/25		3,250			3,492
	Royal Caribbean Cruises Ltd.	3.700%	3/15/28		6,090			6,296
	Sands China Ltd.	5.125%	8/8/25		14,400			15,858
	Sands China Ltd.	5.400%	8/8/28		12,435			13,989
	Starbucks Corp.	3.800%	8/15/25		18,198			19,599
	Starbucks Corp.	2.450%	6/15/26		4,800			4,847
	Starbucks Corp.	3.500%	3/1/28		4,300			4,592
	Starbucks Corp.	4.000%	11/15/28		2,250			2,489
	Starbucks Corp.	3.550%	8/15/29		7,225			7,831
	Tapestry Inc.	4.250%	4/1/25		5,450			5,738
	Tapestry Inc.	4.125%	7/15/27		4,850			4,938
	Target Corp.	2.500%	4/15/26		7,912			8,094
	Target Corp.	3.375%	4/15/29		6,000			6,510
	TJX Cos. Inc.	2.250%	9/15/26		11,764			11,764
	Toyota Motor Corp.	3.669%	7/20/28		1,678			1,843
	Toyota Motor Corp.	2.760%	7/2/29		4,075			4,197
	Toyota Motor Credit Corp.	3.400%	4/14/25		5,810			6,179
	Toyota Motor Credit Corp.	3.200%	1/11/27		8,220			8,690
	Toyota Motor Credit Corp.	3.050%	1/11/28		5,450			5,716
	Toyota Motor Credit Corp.	3.650%	1/8/29		4,535			4,986
	Visa Inc.	3.150%	12/14/25		32,186			33,983
	Visa Inc.	2.750%	9/15/27		5,925			6,181
	Walgreens Boots Alliance Inc.	3.450%	6/1/26		16,010			16,248
	Walmart Inc.	3.550%	6/26/25		20,320			21,742
	Walmart Inc.	3.050%	7/8/26		10,100			10,606
	Walmart Inc.	5.875%	4/5/27		100			123
	Walmart Inc.	3.700%	6/26/28		19,815			21,814
	Walmart Inc.	3.250%	7/8/29		10,750			11,526
	Walmart Inc.	2.375%	9/24/29		9,050			9,059
	Western Union Co.	2.850%	1/10/25		4,300			4,312
	Consumer Noncyclical (6.6%)
	Abbott Laboratories	2.950%	3/15/25		6,395			6,632
	Abbott Laboratories	3.875%	9/15/25		3,865			4,207
	Abbott Laboratories	3.750%	11/30/26		13,867			15,132
	AbbVie Inc.	3.600%	5/14/25		31,829			33,593
	AbbVie Inc.	3.200%	5/14/26		16,045			16,595
4	AbbVie Inc.	2.950%	11/21/26		32,600			33,054
	AbbVie Inc.	4.250%	11/14/28		14,510			16,039
4	AbbVie Inc.	3.200%	11/21/29		48,725			49,604
	Adventist Health System	2.952%	3/1/29		3,000			2,960
	Advocate Health & Hospitals Corp.	3.829%	8/15/28		2,600			2,814
	Agilent Technologies Inc.	3.050%	9/22/26		3,650			3,721
	Agilent Technologies Inc.	2.750%	9/15/29		3,500			3,462
	Allergan Funding SCS	3.800%	3/15/25		24,823			26,003
	Altria Group Inc.	4.400%	2/14/26		9,850			10,697
	Altria Group Inc.	2.625%	9/16/26		4,360			4,308
	Altria Group Inc.	4.800%	2/14/29		26,475			29,399
	AmerisourceBergen Corp.	3.250%	3/1/25		6,483			6,699
	AmerisourceBergen Corp.	3.450%	12/15/27		8,225			8,529
	Amgen Inc.	3.125%	5/1/25		7,166			7,481
	Amgen Inc.	2.600%	8/19/26		10,560			10,671
	Amgen Inc.	3.200%	11/2/27		7,090			7,431
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	3.650%	2/1/26		40,076			42,663
	Anheuser-Busch InBev Finance Inc.	3.650%	2/1/26		3,015			3,221
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25		22,735			24,733
	Anheuser-Busch InBev Worldwide Inc.	4.000%	4/13/28		21,920			24,070
	Anheuser-Busch InBev Worldwide Inc.	4.750%	1/23/29		49,950			57,845

58

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Archer-Daniels-Midland Co.	2.500%	8/11/26		8,803			8,937
	Ascension Health	2.532%	11/15/29		1,900			1,876
	AstraZeneca plc	3.375%	11/16/25		17,391			18,427
	AstraZeneca plc	3.125%	6/12/27		7,875			8,191
	AstraZeneca plc	4.000%	1/17/29		7,915			8,776
	BAT Capital Corp.	3.215%	9/6/26		8,600			8,642
	BAT Capital Corp.	3.557%	8/15/27		26,270			26,745
	BAT Capital Corp.	3.462%	9/6/29		6,575			6,662
	Baxalta Inc.	4.000%	6/23/25		8,030			8,616
	Baxter International Inc.	2.600%	8/15/26		6,167			6,208
	Becton Dickinson & Co.	3.700%	6/6/27		16,700			17,754
	Biogen Inc.	4.050%	9/15/25		13,373			14,527
	Boston Scientific Corp.	3.850%	5/15/25		3,662			3,927
	Boston Scientific Corp.	3.750%	3/1/26		7,750			8,299
	Boston Scientific Corp.	4.000%	3/1/29		10,245			11,309
4	Bristol-Myers Squibb Co.	3.875%	8/15/25		23,775			25,675
4	Bristol-Myers Squibb Co.	3.200%	6/15/26		20,100			21,057
4	Bristol-Myers Squibb Co.	3.450%	11/15/27		7,347			7,813
4	Bristol-Myers Squibb Co.	3.900%	2/20/28		15,775			17,194
4	Bristol-Myers Squibb Co.	3.400%	7/26/29		35,435			37,854
	Brown-Forman Corp.	3.500%	4/15/25		2,950			3,142
	Bunge Ltd. Finance Corp.	3.250%	8/15/26		5,562			5,540
	Bunge Ltd. Finance Corp.	3.750%	9/25/27		5,250			5,396
	Campbell Soup Co.	3.950%	3/15/25		7,325			7,771
	Campbell Soup Co.	3.300%	3/19/25		3,260			3,351
	Campbell Soup Co.	4.150%	3/15/28		8,100			8,761
	Cardinal Health Inc.	3.079%	6/15/24		1,528			1,570
	Cardinal Health Inc.	3.750%	9/15/25		4,525			4,790
	Cardinal Health Inc.	3.410%	6/15/27		11,905			12,168
	CHRISTUS Health	4.341%	7/1/28		3,000			3,304
	Church & Dwight Co. Inc.	3.150%	8/1/27		3,375			3,508
4	Cigna Corp.	3.250%	4/15/25		7,950			8,178
	Cigna Corp.	4.125%	11/15/25		13,250			14,338
4	Cigna Corp.	4.500%	2/25/26		14,796			16,012
4	Cigna Corp.	3.400%	3/1/27		14,434			14,934
4	Cigna Corp.	3.050%	10/15/27		3,885			3,901
	Cigna Corp.	4.375%	10/15/28		32,250			35,695
	Clorox Co.	3.100%	10/1/27		3,550			3,685
	Clorox Co.	3.900%	5/15/28		4,225			4,635
	Coca-Cola Co.	2.875%	10/27/25		12,510			13,033
	Coca-Cola Co.	2.550%	6/1/26		2,325			2,379
	Coca-Cola Co.	2.250%	9/1/26		13,590			13,674
	Coca-Cola Co.	2.900%	5/25/27		2,500			2,616
	Coca-Cola Co.	2.125%	9/6/29		5,500			5,347
	Coca-Cola Consolidated Inc.	3.800%	11/25/25		3,570			3,739
	CommonSpirit Health	3.347%	10/1/29		6,725			6,765
	Conagra Brands Inc.	4.600%	11/1/25		11,986			13,205
	Conagra Brands Inc.	4.850%	11/1/28		12,950			14,780
	Constellation Brands Inc.	4.400%	11/15/25		3,000			3,269
	Constellation Brands Inc.	4.750%	12/1/25		3,417			3,801
	Constellation Brands Inc.	3.700%	12/6/26		6,610			7,017
	Constellation Brands Inc.	3.500%	5/9/27		4,250			4,426
	Constellation Brands Inc.	3.600%	2/15/28		5,300			5,566
	Constellation Brands Inc.	4.650%	11/15/28		3,775			4,235
	Constellation Brands Inc.	3.150%	8/1/29		7,525			7,603
	CVS Health Corp.	4.100%	3/25/25		41,151			44,105
	CVS Health Corp.	3.875%	7/20/25		31,388			33,436
	CVS Health Corp.	2.875%	6/1/26		20,247			20,528
	CVS Health Corp.	3.000%	8/15/26		2,450			2,497
	CVS Health Corp.	6.250%	6/1/27		150			181
	CVS Health Corp.	4.300%	3/25/28		73,986			80,634
	CVS Health Corp.	3.250%	8/15/29		20,850			21,164
	Danaher Corp.	3.350%	9/15/25		4,825			5,120
	DH Europe Finance II Sarl	2.200%	11/15/24		997			994

59

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
DH Europe Finance II Sarl	2.600%	11/15/29		6,000			5,974
Diageo Capital plc	3.875%	5/18/28		3,978			4,339
Diageo Capital plc	2.375%	10/24/29		6,000			5,901
Edwards Lifesciences Corp.	4.300%	6/15/28		5,110			5,664
Eli Lilly & Co.	2.750%	6/1/25		3,274			3,373
Eli Lilly & Co.	3.375%	3/15/29		9,507			10,231
Estee Lauder Cos. Inc.	3.150%	3/15/27		5,350			5,659
Estee Lauder Cos. Inc.	2.375%	12/1/29		3,840			3,835
Flowers Foods Inc.	3.500%	10/1/26		1,650			1,694
General Mills Inc.	4.000%	4/17/25		4,033			4,363
General Mills Inc.	3.200%	2/10/27		8,600			9,020
General Mills Inc.	4.200%	4/17/28		14,628			16,269
Gilead Sciences Inc.	3.500%	2/1/25		18,579			19,708
Gilead Sciences Inc.	3.650%	3/1/26		25,470			27,379
Gilead Sciences Inc.	2.950%	3/1/27		10,667			11,063
GlaxoSmithKline Capital Inc.	3.625%	5/15/25		13,500			14,445
GlaxoSmithKline Capital Inc.	3.875%	5/15/28		14,800			16,297
GlaxoSmithKline Capital plc	3.375%	6/1/29		6,711			7,180
Hasbro Inc.	3.550%	11/19/26		2,900			2,918
Hasbro Inc.	3.500%	9/15/27		3,525			3,513
Hasbro Inc.	3.900%	11/19/29		7,500			7,546
HCA Inc.	5.250%	4/15/25		15,428			17,241
HCA Inc.	5.250%	6/15/26		13,680			15,322
HCA Inc.	4.500%	2/15/27		11,625			12,540
HCA Inc.	4.125%	6/15/29		11,550			12,243
Hershey Co.	3.200%	8/21/25		2,625			2,749
Hershey Co.	2.300%	8/15/26		4,483			4,521
Hershey Co.	2.450%	11/15/29		1,505			1,506
Ingredion Inc.	3.200%	10/1/26		3,830			3,883
JM Smucker Co.	3.500%	3/15/25		7,696			8,071
JM Smucker Co.	3.375%	12/15/27		3,300			3,442
Johnson & Johnson	2.625%	1/15/25		10,768			11,092
Johnson & Johnson	2.450%	3/1/26		10,235			10,393
Johnson & Johnson	2.950%	3/3/27		10,910			11,430
Johnson & Johnson	2.900%	1/15/28		15,115			15,763
Johnson & Johnson	6.950%	9/1/29		1,650			2,310
Kaiser Foundation Hospitals	3.150%	5/1/27		4,425			4,610
Kellogg Co.	3.250%	4/1/26		4,875			5,060
Kellogg Co.	3.400%	11/15/27		5,295			5,537
Kellogg Co.	4.300%	5/15/28		4,430			4,938
Keurig Dr Pepper Inc.	4.417%	5/25/25		9,945			10,854
Keurig Dr Pepper Inc.	3.400%	11/15/25		1,950			2,023
Keurig Dr Pepper Inc.	2.550%	9/15/26		3,600			3,578
Keurig Dr Pepper Inc.	3.430%	6/15/27		3,425			3,576
Keurig Dr Pepper Inc.	4.597%	5/25/28		17,450			19,594
Kimberly-Clark Corp.	3.050%	8/15/25		2,650			2,781
Kimberly-Clark Corp.	2.750%	2/15/26		5,137			5,266
Kimberly-Clark Corp.	3.950%	11/1/28		3,987			4,443
Kimberly-Clark Corp.	3.200%	4/25/29		5,000			5,325
Kraft Heinz Foods Co.	3.950%	7/15/25		18,804			19,883
Kraft Heinz Foods Co.	3.000%	6/1/26		16,101			16,091
Kraft Heinz Foods Co.	4.625%	1/30/29		8,025			8,775
Kroger Co.	3.500%	2/1/26		1,575			1,648
Kroger Co.	2.650%	10/15/26		7,822			7,831
Kroger Co.	3.700%	8/1/27		5,095			5,429
Kroger Co.	4.500%	1/15/29		4,775			5,358
Kroger Co.	7.700%	6/1/29		1,000			1,335
Laboratory Corp. of America Holdings	3.600%	2/1/25		7,572			7,964
Laboratory Corp. of America Holdings	3.600%	9/1/27		4,775			5,030
Laboratory Corp. of America Holdings	2.950%	12/1/29		5,475			5,484
McCormick & Co. Inc.	3.400%	8/15/27		8,425			8,772
McKesson Corp.	3.950%	2/16/28		6,275			6,637
McKesson Corp.	4.750%	5/30/29		3,075			3,446
Mead Johnson Nutrition Co.	4.125%	11/15/25		7,367			8,059

60

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Medtronic Global Holdings SCA	3.350%	4/1/27		500			530
Medtronic Inc.	3.500%	3/15/25		15,786			16,907
Merck & Co. Inc.	2.750%	2/10/25		21,152			21,851
Merck & Co. Inc.	3.400%	3/7/29		15,475			16,712
Mercy Health	4.302%	7/1/28		2,290			2,531
Molson Coors Beverage Co.	3.000%	7/15/26		16,906			17,081
Mondelez International Inc.	3.625%	2/13/26		5,000			5,351
Mylan Inc.	4.550%	4/15/28		6,375			6,849
Mylan NV	3.950%	6/15/26		16,545			17,166
Novartis Capital Corp.	3.000%	11/20/25		16,366			17,149
Novartis Capital Corp.	3.100%	5/17/27		9,854			10,353
PepsiCo Inc.	2.750%	4/30/25		8,637			8,933
PepsiCo Inc.	3.500%	7/17/25		7,145			7,659
PepsiCo Inc.	2.850%	2/24/26		4,064			4,230
PepsiCo Inc.	2.375%	10/6/26		7,758			7,864
PepsiCo Inc.	3.000%	10/15/27		12,680			13,377
PepsiCo Inc.	2.625%	7/29/29		13,825			14,074
PerkinElmer Inc.	3.300%	9/15/29		7,100			7,225
Perrigo Finance Unlimited Co.	4.375%	3/15/26		5,365			5,528
Pfizer Inc.	2.750%	6/3/26		16,841			17,371
Pfizer Inc.	3.000%	12/15/26		14,900			15,622
Pfizer Inc.	3.600%	9/15/28		7,800			8,518
Pfizer Inc.	3.450%	3/15/29		14,850			15,970
Pharmacia LLC	6.600%	12/1/28		1,850			2,430
Philip Morris International Inc.	3.250%	11/10/24		2			2
Philip Morris International Inc.	3.375%	8/11/25		6,820			7,166
Philip Morris International Inc.	2.750%	2/25/26		10,475			10,589
Philip Morris International Inc.	3.125%	8/17/27		2,665			2,754
Philip Morris International Inc.	3.125%	3/2/28		3,325			3,409
Philip Morris International Inc.	3.375%	8/15/29		6,900			7,223
Procter & Gamble Co.	2.700%	2/2/26		6,093			6,328
Procter & Gamble Co.	2.450%	11/3/26		12,875			13,243
Providence St. Joseph Health Obligated Group	2.746%	10/1/26		1,675			1,691
Providence St. Joseph Health Obligated Group	2.532%	10/1/29		3,941			3,858
Quest Diagnostics Inc.	3.500%	3/30/25		1,950			2,051
Quest Diagnostics Inc.	3.450%	6/1/26		9,207			9,661
Quest Diagnostics Inc.	4.200%	6/30/29		3,550			3,916
Reynolds American Inc.	4.450%	6/12/25		21,447			23,057
Sanofi	3.625%	6/19/28		9,000			9,985
Shire Acquisitions Investments Ireland DAC	3.200%	9/23/26		27,179			27,982
SSM Health Care Corp.	3.823%	6/1/27		2,900			3,066
Stryker Corp.	3.375%	11/1/25		6,658			7,005
Stryker Corp.	3.500%	3/15/26		6,780			7,203
Stryker Corp.	3.650%	3/7/28		5,575			5,986
Sutter Health	3.695%	8/15/28		3,000			3,214
Sysco Corp.	3.750%	10/1/25		4,800			5,151
Sysco Corp.	3.300%	7/15/26		9,755			10,279
Sysco Corp.	3.250%	7/15/27		9,550			9,986
Takeda Pharmaceutical Co. Ltd.	5.000%	11/26/28		18,105			21,068
Thermo Fisher Scientific Inc.	3.650%	12/15/25		3,900			4,166
Thermo Fisher Scientific Inc.	2.950%	9/19/26		9,807			10,083
Thermo Fisher Scientific Inc.	3.200%	8/15/27		6,500			6,790
Thermo Fisher Scientific Inc.	2.600%	10/1/29		6,600			6,521
Tyson Foods Inc.	4.000%	3/1/26		2,300			2,490
Tyson Foods Inc.	3.550%	6/2/27		12,783			13,558
Tyson Foods Inc.	4.350%	3/1/29		13,500			15,274
Unilever Capital Corp.	3.375%	3/22/25		3,000			3,171
Unilever Capital Corp.	3.100%	7/30/25		4,175			4,364
Unilever Capital Corp.	2.000%	7/28/26		6,200			6,142
Unilever Capital Corp.	2.900%	5/5/27		7,320			7,646
Unilever Capital Corp.	3.500%	3/22/28		9,475			10,243
Unilever Capital Corp.	2.125%	9/6/29		11,840			11,470
Whirlpool Corp.	3.700%	5/1/25		1,525			1,603
Whirlpool Corp.	4.750%	2/26/29		6,490			7,218

61

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Zimmer Biomet Holdings Inc.	3.550%	4/1/25		14,642			15,392
	Zoetis Inc.	4.500%	11/13/25		3,640			4,028
	Zoetis Inc.	3.000%	9/12/27		9,541			9,755
	Zoetis Inc.	3.900%	8/20/28		4,016			4,346
	Energy (3.6%)
	Apache Corp.	4.375%	10/15/28		9,237			9,628
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.337%	12/15/27		11,558			12,040
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.138%	11/7/29		4,500			4,612
	Boardwalk Pipelines LP	5.950%	6/1/26		7,590			8,490
	Boardwalk Pipelines LP	4.450%	7/15/27		3,912			4,022
	Boardwalk Pipelines LP	4.800%	5/3/29		2,800			2,980
	BP Capital Markets America Inc.	3.796%	9/21/25		5,750			6,217
	BP Capital Markets America Inc.	3.410%	2/11/26		4,000			4,247
	BP Capital Markets America Inc.	3.119%	5/4/26		12,096			12,604
	BP Capital Markets America Inc.	3.017%	1/16/27		9,143			9,452
	BP Capital Markets America Inc.	3.588%	4/14/27		9,829			10,417
	BP Capital Markets America Inc.	3.937%	9/21/28		7,950			8,770
	BP Capital Markets America Inc.	4.234%	11/6/28		18,250			20,572
	BP Capital Markets plc	3.506%	3/17/25		5,202			5,536
	BP Capital Markets plc	3.279%	9/19/27		14,414			15,154
	BP Capital Markets plc	3.723%	11/28/28		3,134			3,406
	Canadian Natural Resources Ltd.	3.900%	2/1/25		2,570			2,707
	Canadian Natural Resources Ltd.	3.850%	6/1/27		10,065			10,712
	Cenovus Energy Inc.	4.250%	4/15/27		11,510			12,140
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25		13,060			14,692
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27		17,650			19,547
4	Cheniere Corpus Christi Holdings LLC	3.700%	11/15/29		10,100			10,327
	Chevron Corp.	3.326%	11/17/25		7,969			8,488
	Chevron Corp.	2.954%	5/16/26		18,180			18,990
	Cimarex Energy Co.	3.900%	5/15/27		7,150			7,392
	Cimarex Energy Co.	4.375%	3/15/29		5,300			5,594
	Columbia Pipeline Group Inc.	4.500%	6/1/25		10,883			11,883
	Concho Resources Inc.	4.375%	1/15/25		1,650			1,705
	Concho Resources Inc.	3.750%	10/1/27		11,587			12,152
	Concho Resources Inc.	4.300%	8/15/28		9,745			10,610
	ConocoPhillips Co.	3.350%	11/15/24		4,373			4,605
	ConocoPhillips Co.	4.950%	3/15/26		13,194			15,146
	ConocoPhillips Holding Co.	6.950%	4/15/29		3,983			5,403
	Continental Resources Inc.	4.375%	1/15/28		11,150			11,847
	Devon Energy Corp.	5.850%	12/15/25		6,470			7,657
	Diamondback Energy Inc.	3.250%	12/1/26		5,425			5,485
	Diamondback Energy Inc.	3.500%	12/1/29		9,000			9,139
	Dominion Energy Gas Holdings LLC	3.000%	11/15/29		5,000			4,963
	Enable Midstream Partners LP	4.400%	3/15/27		8,732			8,577
	Enable Midstream Partners LP	4.950%	5/15/28		8,700			8,789
	Enable Midstream Partners LP	4.150%	9/15/29		2,530			2,391
	Enbridge Energy Partners LP	5.875%	10/15/25		6,025			7,018
	Enbridge Inc.	2.500%	1/15/25		4,000			4,027
	Enbridge Inc.	4.250%	12/1/26		5,600			6,151
	Enbridge Inc.	3.700%	7/15/27		5,920			6,226
	Enbridge Inc.	3.125%	11/15/29		5,400			5,449
	Energy Transfer Operating LP	4.050%	3/15/25		7,650			8,021
	Energy Transfer Operating LP	4.750%	1/15/26		3,881			4,180
	Energy Transfer Operating LP	4.200%	4/15/27		4,000			4,184
	Energy Transfer Operating LP	5.500%	6/1/27		10,140			11,387
	Energy Transfer Operating LP	5.250%	4/15/29		10,000			11,210
	Energy Transfer Partners LP	4.950%	6/15/28		14,150			15,472
4	Eni SPA	4.250%	5/9/29		3,000			3,285
	Eni USA Inc.	7.300%	11/15/27		300			382
	Enterprise Products Operating LLC	3.750%	2/15/25		10,387			11,058
	Enterprise Products Operating LLC	3.700%	2/15/26		8,567			9,129

62

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Enterprise Products Operating LLC	4.150%	10/16/28		7,750			8,543
	Enterprise Products Operating LLC	3.125%	7/31/29		16,000			16,423
3	Enterprise Products Operating LLC	5.250%	8/16/77		4,650			4,643
3	Enterprise Products Operating LLC	5.375%	2/15/78		8,300			8,197
	EOG Resources Inc.	3.150%	4/1/25		6,745			7,064
	EOG Resources Inc.	4.150%	1/15/26		6,740			7,413
	EQM Midstream Partners LP	4.125%	12/1/26		3,050			2,858
	EQM Midstream Partners LP	5.500%	7/15/28		7,000			6,862
	EQT Corp.	3.900%	10/1/27		10,398			9,665
	Exxon Mobil Corp.	2.709%	3/6/25		14,300			14,776
	Exxon Mobil Corp.	3.043%	3/1/26		16,530			17,341
	Exxon Mobil Corp.	2.275%	8/16/26		13,300			13,333
	Exxon Mobil Corp.	2.440%	8/16/29		7,008			7,042
	Halliburton Co.	3.800%	11/15/25		11,604			12,381
	Helmerich & Payne Inc.	4.650%	3/15/25		4,360			4,746
	Hess Corp.	4.300%	4/1/27		11,614			12,370
	HollyFrontier Corp.	5.875%	4/1/26		8,100			9,096
	Husky Energy Inc.	4.400%	4/15/29		7,300			7,857
	Kinder Morgan Inc.	4.300%	6/1/25		12,970			14,053
	Kinder Morgan Inc.	4.300%	3/1/28		16,075			17,492
	Magellan Midstream Partners LP	5.000%	3/1/26		5,000			5,634
	Marathon Oil Corp.	3.850%	6/1/25		7,800			8,235
	Marathon Oil Corp.	4.400%	7/15/27		8,505			9,230
	Marathon Petroleum Corp.	5.125%	12/15/26		4,155			4,693
	Marathon Petroleum Corp.	3.800%	4/1/28		5,500			5,749
4	MPLX LP	5.250%	1/15/25		8,003			8,393
	MPLX LP	4.000%	2/15/25		4,905			5,116
	MPLX LP	4.875%	6/1/25		9,528			10,402
	MPLX LP	4.125%	3/1/27		10,522			11,009
4	MPLX LP	4.250%	12/1/27		8,310			8,718
	MPLX LP	4.000%	3/15/28		8,695			9,007
	MPLX LP	4.800%	2/15/29		7,125			7,798
	National Fuel Gas Co.	5.200%	7/15/25		2,337			2,543
	National Fuel Gas Co.	3.950%	9/15/27		2,250			2,276
	National Fuel Gas Co.	4.750%	9/1/28		1,990			2,116
	Newfield Exploration Co.	5.375%	1/1/26		12,100			13,113
	Noble Energy Inc.	3.850%	1/15/28		4,200			4,417
	Noble Energy Inc.	3.250%	10/15/29		5,000			5,038
	Occidental Petroleum Corp.	3.500%	6/15/25		4,877			5,028
	Occidental Petroleum Corp.	5.550%	3/15/26		9,300			10,537
	Occidental Petroleum Corp.	3.400%	4/15/26		15,872			16,226
	Occidental Petroleum Corp.	3.200%	8/15/26		6,900			6,975
	Occidental Petroleum Corp.	3.500%	8/15/29		14,650			14,938
	ONEOK Inc.	4.000%	7/13/27		4,900			5,173
	ONEOK Inc.	4.550%	7/15/28		3,000			3,290
	ONEOK Inc.	4.350%	3/15/29		1,980			2,139
	ONEOK Inc.	3.400%	9/1/29		13,560			13,712
	ONEOK Partners LP	4.900%	3/15/25		4,950			5,436
	Patterson-UTI Energy Inc.	3.950%	2/1/28		4,704			4,540
	Patterson-UTI Energy Inc.	5.150%	11/15/29		2,500			2,552
	Phillips 66	3.900%	3/15/28		3,329			3,618
	Phillips 66 Partners LP	3.605%	2/15/25		4,925			5,138
	Phillips 66 Partners LP	3.550%	10/1/26		5,500			5,752
	Phillips 66 Partners LP	3.750%	3/1/28		3,300			3,430
	Phillips 66 Partners LP	3.150%	12/15/29		3,400			3,376
	Pioneer Natural Resources Co.	4.450%	1/15/26		4,350			4,772
	Plains All American Pipeline LP / PAA Finance Corp.	4.650%	10/15/25		6,780			7,252
	Plains All American Pipeline LP / PAA Finance Corp.	4.500%	12/15/26		6,132			6,509
	Plains All American Pipeline LP / PAA Finance Corp.	3.550%	12/15/29		6,250			6,142
	Sabine Pass Liquefaction LLC	5.625%	3/1/25		17,011			19,116
	Sabine Pass Liquefaction LLC	5.875%	6/30/26		13,035			14,974
	Sabine Pass Liquefaction LLC	5.000%	3/15/27		10,875			11,976
	Sabine Pass Liquefaction LLC	4.200%	3/15/28		11,150			11,806
	Shell International Finance BV	3.250%	5/11/25		16,661			17,605

63

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Shell International Finance BV	2.875%	5/10/26		16,847			17,467
	Shell International Finance BV	2.500%	9/12/26		17,986			18,247
	Shell International Finance BV	3.875%	11/13/28		7,200			7,976
	Shell International Finance BV	2.375%	11/7/29		12,500			12,373
	Spectra Energy Partners LP	3.500%	3/15/25		3,955			4,131
	Spectra Energy Partners LP	3.375%	10/15/26		4,899			5,069
	Sunoco Logistics Partners Operations LP	5.950%	12/1/25		5,700			6,545
	Sunoco Logistics Partners Operations LP	3.900%	7/15/26		5,660			5,862
	Sunoco Logistics Partners Operations LP	4.000%	10/1/27		4,375			4,508
	TC PipeLines LP	3.900%	5/25/27		6,820			7,117
	Total Capital International SA	2.434%	1/10/25		5,000			5,056
	Total Capital International SA	3.455%	2/19/29		9,425			10,177
	Total Capital International SA	2.829%	1/10/30		4,200			4,306
	Total Capital SA	3.883%	10/11/28		9,172			10,227
	TransCanada PipeLines Ltd.	4.875%	1/15/26		9,151			10,226
	TransCanada PipeLines Ltd.	4.250%	5/15/28		10,275			11,366
3	Transcanada Trust	5.500%	9/15/79		9,250			9,610
	Transcontinental Gas Pipe Line Co. LLC	7.850%	2/1/26		1,635			2,083
	Transcontinental Gas Pipe Line Co. LLC	4.000%	3/15/28		2,675			2,844
	Valero Energy Corp.	3.650%	3/15/25		5,113			5,438
	Valero Energy Corp.	3.400%	9/15/26		9,928			10,404
	Valero Energy Corp.	4.350%	6/1/28		9,325			10,235
	Valero Energy Corp.	4.000%	4/1/29		8,334			8,964
	Valero Energy Partners LP	4.375%	12/15/26		5,450			5,934
	Valero Energy Partners LP	4.500%	3/15/28		3,550			3,888
	Western Midstream Operating LP	3.950%	6/1/25		7,125			7,127
	Western Midstream Operating LP	4.650%	7/1/26		7,214			7,403
	Western Midstream Operating LP	4.750%	8/15/28		1,900			1,884
	Williams Cos. Inc.	3.900%	1/15/25		8,928			9,349
	Williams Cos. Inc.	4.000%	9/15/25		11,861			12,555
	Williams Cos. Inc.	3.750%	6/15/27		17,337			18,013
	Other Industrial (0.1%)
	CBRE Services Inc.	5.250%	3/15/25		3,375			3,779
	CBRE Services Inc.	4.875%	3/1/26		5,660			6,327
	Cintas Corp. No. 2	3.700%	4/1/27		8,075			8,745
	Fluor Corp.	4.250%	9/15/28		5,875			5,928
	Hillenbrand Inc.	4.500%	9/15/26		2,500			2,593
	Steelcase Inc.	5.125%	1/18/29		3,950			4,454
	Technology (3.7%)
	Adobe Inc.	3.250%	2/1/25		8,030			8,469
	Alphabet Inc.	1.998%	8/15/26		10,835			10,779
	Amphenol Corp.	2.800%	2/15/30		5,000			4,923
	Analog Devices Inc.	3.900%	12/15/25		3,584			3,836
	Analog Devices Inc.	3.500%	12/5/26		5,003			5,246
	Apple Inc.	2.750%	1/13/25		13,508			13,942
	Apple Inc.	2.500%	2/9/25		8,082			8,238
	Apple Inc.	3.200%	5/13/25		18,362			19,382
	Apple Inc.	3.250%	2/23/26		27,132			28,696
	Apple Inc.	2.450%	8/4/26		21,062			21,352
	Apple Inc.	2.050%	9/11/26		7,100			7,022
	Apple Inc.	3.350%	2/9/27		21,245			22,606
	Apple Inc.	3.200%	5/11/27		24,899			26,227
	Apple Inc.	3.000%	6/20/27		1,445			1,511
	Apple Inc.	2.900%	9/12/27		37,623			39,118
	Apple Inc.	3.000%	11/13/27		1,000			1,049
	Apple Inc.	2.200%	9/11/29		19,180			18,812
	Applied Materials Inc.	3.900%	10/1/25		6,900			7,511
	Applied Materials Inc.	3.300%	4/1/27		9,489			10,068
	Arrow Electronics Inc.	4.000%	4/1/25		3,184			3,297
	Arrow Electronics Inc.	3.875%	1/12/28		3,100			3,179
	Autodesk Inc.	4.375%	6/15/25		2,025			2,204
	Autodesk Inc.	3.500%	6/15/27		4,260			4,457
	Avnet Inc.	4.625%	4/15/26		4,500			4,769

64

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Baidu Inc.	4.125%	6/30/25		4,000			4,257
	Baidu Inc.	3.625%	7/6/27		3,725			3,840
	Baidu Inc.	4.375%	3/29/28		4,500			4,877
	Baidu Inc.	4.875%	11/14/28		3,750			4,217
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.125%	1/15/25		8,600			8,702
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.875%	1/15/27		50,017			51,878
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.500%	1/15/28		10,300			10,401
4	Broadcom Inc.	4.250%	4/15/26		23,200			24,628
4	Broadcom Inc.	4.750%	4/15/29		27,200			29,695
	Broadridge Financial Solutions Inc.	3.400%	6/27/26		4,120			4,289
	Broadridge Financial Solutions Inc.	2.900%	12/1/29		3,350			3,343
	CA Inc.	4.700%	3/15/27		3,225			3,450
	Cisco Systems Inc.	2.950%	2/28/26		6,635			6,965
	Cisco Systems Inc.	2.500%	9/20/26		13,353			13,613
	Citrix Systems Inc.	4.500%	12/1/27		6,000			6,480
4	Dell International LLC / EMC Corp.	6.020%	6/15/26		41,705			48,000
4	Dell International LLC / EMC Corp.	4.900%	10/1/26		11,525			12,680
4	Dell International LLC / EMC Corp.	5.300%	10/1/29		7,850			8,826
	DXC Technology Co.	4.750%	4/15/27		2,600			2,801
	Equinix Inc.	5.875%	1/15/26		10,000			10,625
	Equinix Inc.	2.900%	11/18/26		5,000			5,006
	Equinix Inc.	5.375%	5/15/27		13,000			14,089
	Equinix Inc.	3.200%	11/18/29		10,000			10,030
	Fidelity National Information Services Inc.	3.000%	8/15/26		15,706			16,217
	Fidelity National Information Services Inc.	3.750%	5/21/29		8,500			9,279
	Fiserv Inc.	3.850%	6/1/25		9,384			9,983
	Fiserv Inc.	3.200%	7/1/26		15,750			16,306
	Fiserv Inc.	4.200%	10/1/28		5,350			5,898
	Fiserv Inc.	3.500%	7/1/29		25,986			27,319
	Flex Ltd.	4.750%	6/15/25		4,500			4,876
	Flex Ltd.	4.875%	6/15/29		6,186			6,715
	Global Payments Inc.	2.650%	2/15/25		13,000			13,065
	Global Payments Inc.	3.200%	8/15/29		10,350			10,535
	Hewlett Packard Enterprise Co.	4.900%	10/15/25		21,675			24,026
	Intel Corp.	3.700%	7/29/25		28,954			31,281
	Intel Corp.	2.600%	5/19/26		5,748			5,878
	Intel Corp.	3.150%	5/11/27		1,800			1,904
	Intel Corp.	2.450%	11/15/29		8,000			7,954
	International Business Machines Corp.	3.450%	2/19/26		25,931			27,590
	International Business Machines Corp.	3.300%	5/15/26		28,700			30,234
	International Business Machines Corp.	6.220%	8/1/27		2,800			3,488
	International Business Machines Corp.	3.500%	5/15/29		27,150			29,140
	Jabil Inc.	3.950%	1/12/28		4,000			4,104
	Juniper Networks Inc.	4.350%	6/15/25		2,450			2,607
	Juniper Networks Inc.	3.750%	8/15/29		6,500			6,762
	Keysight Technologies Inc.	4.600%	4/6/27		6,025			6,678
	Keysight Technologies Inc.	3.000%	10/30/29		4,000			4,009
	KLA Corp.	4.100%	3/15/29		7,750			8,485
	Lam Research Corp.	3.800%	3/15/25		4,700			4,999
	Lam Research Corp.	3.750%	3/15/26		6,564			7,030
	Lam Research Corp.	4.000%	3/15/29		7,400			8,134
	Marvell Technology Group Ltd.	4.875%	6/22/28		4,000			4,410
	Maxim Integrated Products Inc.	3.450%	6/15/27		4,000			4,121
	Micron Technology Inc.	4.975%	2/6/26		4,100			4,541
	Micron Technology Inc.	4.185%	2/15/27		8,700			9,287
	Micron Technology Inc.	5.327%	2/6/29		5,800			6,619
	Microsoft Corp.	2.700%	2/12/25		20,863			21,563
	Microsoft Corp.	3.125%	11/3/25		25,101			26,530
	Microsoft Corp.	2.400%	8/8/26		34,495			34,841
	Microsoft Corp.	3.300%	2/6/27		34,764			37,108
	Motorola Solutions Inc.	4.600%	2/23/28		9,300			10,060
	Motorola Solutions Inc.	4.600%	5/23/29		500			549
	NVIDIA Corp.	3.200%	9/16/26		8,350			8,730
4	NXP BV / NXP Funding LLC	5.350%	3/1/26		10,655			11,960

65

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	NXP BV / NXP Funding LLC	5.550%	12/1/28		4,000			4,675
4	NXP BV / NXP Funding LLC / NXP USA Inc.	3.875%	6/18/26		8,660			9,158
4	NXP BV / NXP Funding LLC / NXP USA Inc.	4.300%	6/18/29		11,075			11,961
	Oracle Corp.	2.950%	5/15/25		19,213			19,969
	Oracle Corp.	2.650%	7/15/26		32,514			33,190
	Oracle Corp.	3.250%	11/15/27		13,721			14,507
	PayPal Holdings Inc.	2.650%	10/1/26		10,000			10,132
	PayPal Holdings Inc.	2.850%	10/1/29		17,300			17,335
	QUALCOMM Inc.	3.450%	5/20/25		20,814			21,941
	QUALCOMM Inc.	3.250%	5/20/27		19,153			20,053
	salesforce.com Inc.	3.700%	4/11/28		11,300			12,390
	Seagate HDD Cayman	4.750%	1/1/25		4,208			4,466
	Seagate HDD Cayman	4.875%	6/1/27		5,410			5,735
	Tech Data Corp.	4.950%	2/15/27		1,100			1,132
	Texas Instruments Inc.	2.900%	11/3/27		3,050			3,185
	Texas Instruments Inc.	2.250%	9/4/29		6,630			6,528
	Total System Services Inc.	4.800%	4/1/26		5,000			5,556
	Total System Services Inc.	4.450%	6/1/28		3,850			4,193
	Trimble Inc.	4.900%	6/15/28		2,500			2,726
	Tyco Electronics Group SA	3.700%	2/15/26		3,397			3,583
	Tyco Electronics Group SA	3.125%	8/15/27		5,000			5,126
	Verisk Analytics Inc.	4.000%	6/15/25		8,000			8,603
	Verisk Analytics Inc.	4.125%	3/15/29		6,575			7,174
	VMware Inc.	3.900%	8/21/27		7,976			8,319
	Transportation (0.9%)
3	American Airlines 2013-1 Class A Pass Through Trust	4.000%	1/15/27		2,283			2,401
3	American Airlines 2014-1 Class A Pass Through Trust	3.700%	4/1/28		2,260			2,360
3	American Airlines 2015-1 Class A Pass Through Trust	3.375%	11/1/28		6,677			6,847
3	American Airlines 2015-1 Class B Pass Through Trust	3.700%	11/1/24		1,883			1,904
3	American Airlines 2016-1 Class A Pass Through Trust	4.100%	1/15/28		1,242			1,312
3	American Airlines 2016-1 Class AA Pass Through Trust	3.575%	1/15/28		1,752			1,837
3	American Airlines 2016-2 Class AA Pass Through Trust	3.200%	12/15/29		4,273			4,402
	American Airlines 2016-3 Class AA Pass Through Trust	3.000%	10/15/28		65			67
3	American Airlines 2017-1 Class AA Pass Through Trust	3.650%	8/15/30		832			872
3	American Airlines 2017-1B Class B Pass Through Trust	4.950%	2/15/25		1,849			1,945
3	BNSF Funding Trust I	6.613%	12/15/55		100			110
	Burlington Northern Santa Fe LLC	3.000%	4/1/25		5,887			6,125
	Burlington Northern Santa Fe LLC	3.650%	9/1/25		5,775			6,206
	Burlington Northern Santa Fe LLC	7.000%	12/15/25		4,970			6,249
	Burlington Northern Santa Fe LLC	3.250%	6/15/27		4,576			4,888
	Canadian National Railway Co.	2.950%	11/21/24		2			2
	Canadian National Railway Co.	2.750%	3/1/26		2,595			2,648
	Canadian National Railway Co.	6.900%	7/15/28		3,250			4,298
	Canadian Pacific Railway Co.	2.900%	2/1/25		5,683			5,821
	Canadian Pacific Railway Co.	4.000%	6/1/28		5,070			5,519
	CH Robinson Worldwide Inc.	4.200%	4/15/28		6,000			6,551
3	Continental Airlines 2012-2 Class A Pass Through Trust	4.000%	4/29/26		4,334			4,570
	CSX Corp.	3.400%	8/1/24		4,462			4,697
	CSX Corp.	3.350%	11/1/25		6,200			6,560
	CSX Corp.	2.600%	11/1/26		4,900			4,972
	CSX Corp.	3.250%	6/1/27		6,880			7,217
	CSX Corp.	3.800%	3/1/28		11,406			12,407
	CSX Corp.	4.250%	3/15/29		2,000			2,245
3	Delta Air Lines 2015-1 Class AA Pass Through Trust	3.625%	7/30/27		951			1,004
	Delta Air Lines Inc.	4.375%	4/19/28		4,600			4,824
	Delta Air Lines Inc.	3.750%	10/28/29		2,800			2,788
	FedEx Corp.	3.200%	2/1/25		3,700			3,834
	FedEx Corp.	3.250%	4/1/26		6,500			6,737
	FedEx Corp.	3.300%	3/15/27		4,950			5,086
	FedEx Corp.	3.400%	2/15/28		7,173			7,288
	FedEx Corp.	4.200%	10/17/28		2,000			2,154
	FedEx Corp.	3.100%	8/5/29		6,000			5,950
	JB Hunt Transport Services Inc.	3.875%	3/1/26		6,450			6,888

66

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Kansas City Southern	2.875%	11/15/29		3,700			3,685
	Kirby Corp.	4.200%	3/1/28		5,070			5,344
3	Latam Airlines 2015-1 Pass Through Trust A	4.200%	8/15/29		1,397			1,441
	Norfolk Southern Corp.	5.590%	5/17/25		2,839			3,278
	Norfolk Southern Corp.	3.650%	8/1/25		2,100			2,239
	Norfolk Southern Corp.	2.900%	6/15/26		5,725			5,885
	Norfolk Southern Corp.	3.150%	6/1/27		3,985			4,151
	Norfolk Southern Corp.	3.800%	8/1/28		5,350			5,870
	Norfolk Southern Corp.	2.550%	11/1/29		3,500			3,475
	Ryder System Inc.	2.900%	12/1/26		2,300			2,314
	Southwest Airlines Co.	3.000%	11/15/26		5,570			5,690
	Southwest Airlines Co.	3.450%	11/16/27		2,800			2,931
3	Spirit Airlines Class A Pass Through Certificates Series 2015-1	4.100%	10/1/29		1,312			1,366
	Union Pacific Corp.	3.250%	1/15/25		5,728			5,971
	Union Pacific Corp.	3.750%	7/15/25		6,950			7,443
	Union Pacific Corp.	3.250%	8/15/25		6,480			6,822
	Union Pacific Corp.	2.750%	3/1/26		4,714			4,814
	Union Pacific Corp.	3.000%	4/15/27		1,631			1,700
	Union Pacific Corp.	3.950%	9/10/28		7,790			8,585
	Union Pacific Corp.	3.700%	3/1/29		11,350			12,358
3	United Airlines 2013-1 Class A Pass Through Trust	4.300%	2/15/27		4,019			4,307
3	United Airlines 2014-1 Class A Pass Through Trust	4.000%	10/11/27		3,830			4,050
3	United Airlines 2014-2 Class A Pass Through Trust	3.750%	3/3/28		5,616			5,899
3	United Airlines 2015-1 Class AA Pass Through Trust	3.450%	12/1/27		1,662			1,713
3	United Airlines 2016-1 Class A Pass Through Trust	3.450%	1/7/30		2,683			2,754
3	United Airlines 2016-1 Class AA Pass Through Trust	3.100%	7/7/28		2,773			2,832
3	United Airlines 2016-2 Class A Pass Through Trust	3.100%	10/7/28		738			746
3	United Airlines 2016-2 Class AA Pass Through Trust	2.875%	10/7/28		5,902			5,977
	United Parcel Service Inc.	2.800%	11/15/24		1			1
	United Parcel Service Inc.	2.400%	11/15/26		4,875			4,916
	United Parcel Service Inc.	3.050%	11/15/27		7,295			7,658
	United Parcel Service Inc.	3.400%	3/15/29		5,650			6,049
	United Parcel Service Inc.	2.500%	9/1/29		4,050			4,040
3	US Airways 2012-1 Class A Pass Through Trust	5.900%	4/1/26		333			368
3	US Airways 2012-2 Class A Pass Through Trust	4.625%	12/3/26		738			792
3	US Airways 2013-1 Class A Pass Through Trust	3.950%	5/15/27		2,740			2,867
								8,390,162
Utilities (2.1%)
	Electric (1.9%)
	AEP Texas Inc.	3.950%	6/1/28		3,450			3,756
	AEP Transmission Co. LLC	3.100%	12/1/26		3,370			3,474
	Ameren Corp.	3.650%	2/15/26		2,892			3,024
	Ameren Illinois Co.	3.250%	3/1/25		2,700			2,823
	Ameren Illinois Co.	3.800%	5/15/28		3,400			3,705
	American Electric Power Co. Inc.	3.200%	11/13/27		2,800			2,868
	American Electric Power Co. Inc.	4.300%	12/1/28		4,800			5,320
	Appalachian Power Co.	3.400%	6/1/25		2,750			2,880
	Arizona Public Service Co.	3.150%	5/15/25		2,335			2,421
	Arizona Public Service Co.	2.950%	9/15/27		2,725			2,789
	Arizona Public Service Co.	2.600%	8/15/29		2,000			1,979
	Avangrid Inc.	3.800%	6/1/29		5,900			6,240
	Baltimore Gas & Electric Co.	2.400%	8/15/26		3,500			3,511
	Berkshire Hathaway Energy Co.	3.500%	2/1/25		4,011			4,230
	Berkshire Hathaway Energy Co.	3.250%	4/15/28		5,900			6,156
	Black Hills Corp.	3.950%	1/15/26		3,400			3,583
	Black Hills Corp.	3.150%	1/15/27		3,700			3,731
	Black Hills Corp.	3.050%	10/15/29		1,070			1,069
	CenterPoint Energy Houston Electric LLC	2.400%	9/1/26		1,700			1,675
	CenterPoint Energy Houston Electric LLC	3.000%	2/1/27		2,350			2,394
	CenterPoint Energy Inc.	4.250%	11/1/28		3,770			4,057
	Cleco Corporate Holdings LLC	3.743%	5/1/26		4,780			4,936
4	Cleco Corporate Holdings LLC	3.375%	9/15/29		1,000			991

67

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
CMS Energy Corp.	3.000%	5/15/26		3,000			3,048
CMS Energy Corp.	3.450%	8/15/27		3,825			3,992
Commonwealth Edison Co.	2.550%	6/15/26		6,650			6,702
Commonwealth Edison Co.	2.950%	8/15/27		3,510			3,607
Commonwealth Edison Co.	3.700%	8/15/28		5,433			5,895
Connecticut Light & Power Co.	3.200%	3/15/27		5,100			5,350
Consolidated Edison Co. of New York Inc.	3.125%	11/15/27		5,425			5,634
Dominion Energy Inc.	3.900%	10/1/25		5,205			5,539
Dominion Energy Inc.	2.850%	8/15/26		3,850			3,880
Dominion Energy Inc.	4.250%	6/1/28		4,100			4,515
DTE Electric Co.	3.375%	3/1/25		1,825			1,920
DTE Energy Co.	2.850%	10/1/26		5,703			5,710
DTE Energy Co.	3.800%	3/15/27		6,675			7,036
DTE Energy Co.	3.400%	6/15/29		2,000			2,039
Duke Energy Carolinas LLC	2.950%	12/1/26		3,550			3,658
Duke Energy Carolinas LLC	3.950%	11/15/28		8,025			8,918
Duke Energy Carolinas LLC	6.000%	12/1/28		320			398
Duke Energy Carolinas LLC	2.450%	8/15/29		6,500			6,444
Duke Energy Corp.	2.650%	9/1/26		5,604			5,603
Duke Energy Corp.	3.150%	8/15/27		6,200			6,363
Duke Energy Corp.	3.400%	6/15/29		8,455			8,828
Duke Energy Florida LLC	3.200%	1/15/27		5,500			5,722
Duke Energy Florida LLC	3.800%	7/15/28		2,830			3,079
Duke Energy Florida LLC	2.500%	12/1/29		633			631
Duke Energy Ohio Inc.	3.650%	2/1/29		4,950			5,371
Duke Energy Progress LLC	3.250%	8/15/25		5,473			5,744
Duke Energy Progress LLC	3.700%	9/1/28		5,300			5,782
Duke Energy Progress LLC	3.450%	3/15/29		10,050			10,762
Edison International	5.750%	6/15/27		1,000			1,120
Edison International	4.125%	3/15/28		4,350			4,458
Emera US Finance LP	3.550%	6/15/26		7,090			7,351
Enel Americas SA	4.000%	10/25/26		3,000			3,101
Enel Chile SA	4.875%	6/12/28		8,300			9,199
Entergy Arkansas Inc.	3.500%	4/1/26		6,922			7,278
Entergy Corp.	2.950%	9/1/26		4,137			4,195
Entergy Louisiana LLC	2.400%	10/1/26		4,705			4,670
Entergy Louisiana LLC	3.120%	9/1/27		7,725			7,984
Entergy Louisiana LLC	3.250%	4/1/28		4,000			4,179
Entergy Mississippi LLC	2.850%	6/1/28		2,185			2,217
Evergy Inc.	2.900%	9/15/29		6,225			6,186
Eversource Energy	3.150%	1/15/25		2,335			2,404
Eversource Energy	3.300%	1/15/28		5,000			5,155
Eversource Energy	4.250%	4/1/29		5,000			5,522
Exelon Corp.	3.950%	6/15/25		6,783			7,293
Exelon Corp.	3.400%	4/15/26		7,461			7,779
FirstEnergy Corp.	3.900%	7/15/27		16,509			17,617
Florida Power & Light Co.	3.125%	12/1/25		4,850			5,081
Fortis Inc.	3.055%	10/4/26		8,251			8,410
Georgia Power Co.	3.250%	4/1/26		4,836			4,999
Georgia Power Co.	3.250%	3/30/27		3,039			3,125
Georgia Power Co.	2.650%	9/15/29		7,210			7,029
Gulf Power Co.	3.300%	5/30/27		3,075			3,211
Indiana Michigan Power Co.	3.850%	5/15/28		7,700			8,335
Interstate Power & Light Co.	4.100%	9/26/28		5,450			5,951
ITC Holdings Corp.	3.250%	6/30/26		2,210			2,277
ITC Holdings Corp.	3.350%	11/15/27		8,150			8,476
Louisville Gas & Electric Co.	3.300%	10/1/25		2,800			2,928
MidAmerican Energy Co.	3.650%	4/15/29		2,800			3,053
Mississippi Power Co.	3.950%	3/30/28		3,000			3,243
National Rural Utilities Cooperative Finance Corp.	2.850%	1/27/25		3,150			3,241
National Rural Utilities Cooperative Finance Corp.	3.250%	11/1/25		4,865			5,124
National Rural Utilities Cooperative Finance Corp.	3.050%	4/25/27		5,010			5,184
National Rural Utilities Cooperative Finance Corp.	3.400%	2/7/28		9,004			9,559
National Rural Utilities Cooperative Finance Corp.	3.900%	11/1/28		2,500			2,721

68

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	National Rural Utilities Cooperative Finance Corp.	3.700%	3/15/29		5,785			6,310
3	National Rural Utilities Cooperative Finance Corp.	5.250%	4/20/46		3,575			3,787
	Nevada Power Co.	3.700%	5/1/29		6,890			7,436
	NextEra Energy Capital Holdings Inc.	3.250%	4/1/26		5,124			5,329
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27		13,046			13,823
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29		4,425			4,679
	NextEra Energy Capital Holdings Inc.	2.750%	11/1/29		4,100			4,095
3	NextEra Energy Capital Holdings Inc.	4.800%	12/1/77		5,200			5,317
3	NextEra Energy Capital Holdings Inc.	5.650%	5/1/79		3,000			3,334
	NSTAR Electric Co.	3.200%	5/15/27		3,491			3,645
	NSTAR Electric Co.	3.250%	5/15/29		2,200			2,295
	Oklahoma Gas & Electric Co.	3.800%	8/15/28		3,475			3,752
	Oncor Electric Delivery Co. LLC	2.950%	4/1/25		3,085			3,184
	Oncor Electric Delivery Co. LLC	3.700%	11/15/28		5,660			6,173
	PacifiCorp	3.500%	6/15/29		6,375			6,866
	PPL Capital Funding Inc.	3.100%	5/15/26		6,911			7,034
	Public Service Co. of Colorado	3.700%	6/15/28		3,125			3,392
	Public Service Electric & Gas Co.	3.000%	5/15/25		3,815			3,957
	Public Service Electric & Gas Co.	2.250%	9/15/26		4,700			4,637
	Public Service Electric & Gas Co.	3.000%	5/15/27		2,850			2,943
	Public Service Electric & Gas Co.	3.700%	5/1/28		5,060			5,488
	Public Service Electric & Gas Co.	3.200%	5/15/29		2,500			2,638
	Puget Energy Inc.	3.650%	5/15/25		6,665			6,910
	San Diego Gas & Electric Co.	2.500%	5/15/26		1,800			1,782
	Sierra Pacific Power Co.	2.600%	5/1/26		6,480			6,514
	Southern California Edison Co.	3.700%	8/1/25		2,050			2,167
	Southern California Edison Co.	3.650%	3/1/28		5,250			5,625
	Southern California Edison Co.	4.200%	3/1/29		4,000			4,416
	Southern California Edison Co.	6.650%	4/1/29		4,925			5,913
	Southern California Edison Co.	2.850%	8/1/29		8,165			8,144
	Southern Co.	3.250%	7/1/26		6,670			6,911
	Southern Power Co.	4.150%	12/1/25		5,055			5,478
	Southwestern Electric Power Co.	2.750%	10/1/26		6,850			6,809
	Southwestern Electric Power Co.	4.100%	9/15/28		7,345			7,997
	Union Electric Co.	2.950%	6/15/27		3,500			3,583
	Union Electric Co.	3.500%	3/15/29		3,950			4,229
	Virginia Electric & Power Co.	3.100%	5/15/25		3,550			3,681
	Virginia Electric & Power Co.	3.150%	1/15/26		7,605			7,937
	Virginia Electric & Power Co.	2.950%	11/15/26		6,492			6,663
	Virginia Electric & Power Co.	3.500%	3/15/27		5,562			5,903
	Virginia Electric & Power Co.	3.800%	4/1/28		5,350			5,781
	Virginia Electric & Power Co.	2.875%	7/15/29		5,875			5,986
	WEC Energy Group Inc.	3.550%	6/15/25		4,182			4,420
	Westar Energy Inc.	2.550%	7/1/26		3,835			3,844
	Westar Energy Inc.	3.100%	4/1/27		4,187			4,323
	Wisconsin Power & Light Co.	3.050%	10/15/27		2,950			3,047
	Wisconsin Power & Light Co.	3.000%	7/1/29		200			205
	Xcel Energy Inc.	3.300%	6/1/25		2,800			2,918
	Xcel Energy Inc.	3.350%	12/1/26		4,775			4,979
	Xcel Energy Inc.	4.000%	6/15/28		5,250			5,730
	Natural Gas (0.1%)
	Atmos Energy Corp.	3.000%	6/15/27		4,725			4,878
	Atmos Energy Corp.	2.625%	9/15/29		3,000			3,012
	CenterPoint Energy Resources Corp.	4.000%	4/1/28		2,635			2,826
	NiSource Finance Corp.	3.490%	5/15/27		6,900			7,240
	NiSource Inc.	2.950%	9/1/29		2,300			2,288
	Piedmont Natural Gas Co. Inc.	3.500%	6/1/29		2,100			2,236
	Sempra Energy	3.750%	11/15/25		7,011			7,390
	Sempra Energy	3.250%	6/15/27		6,241			6,391
	Sempra Energy	3.400%	2/1/28		9,580			9,889
	Southern California Gas Co.	2.600%	6/15/26		11,000			10,988
	Southern Co. Gas Capital Corp.	3.250%	6/15/26		1,958			2,011
	Southwest Gas Corp.	3.700%	4/1/28		2,570			2,721

69

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Other Utility (0.1%)
	American Water Capital Corp.	3.400%	3/1/25		6,618			6,928
	American Water Capital Corp.	2.950%	9/1/27		5,650			5,757
	American Water Capital Corp.	3.750%	9/1/28		4,000			4,307
	Aqua America Inc.	3.566%	5/1/29		1,300			1,370
								751,678
Total Corporate Bonds (Cost $13,568,755)								14,247,833
Sovereign Bonds (4.4%)
	Asian Development Bank	2.000%	1/22/25		10,730			10,847
	Asian Development Bank	2.125%	3/19/25		3,325			3,378
	Asian Development Bank	2.000%	4/24/26		18,425			18,527
	Asian Development Bank	1.750%	8/14/26		8,800			8,693
	Asian Development Bank	2.625%	1/12/27		12,750			13,324
	Asian Development Bank	2.375%	8/10/27		2,800			2,882
	Asian Development Bank	2.500%	11/2/27		22,145			23,032
	Asian Development Bank	2.750%	1/19/28		8,042			8,521
	Asian Development Bank	5.820%	6/16/28		4,080			5,183
	Asian Development Bank	3.125%	9/26/28		8,500			9,277
	Asian Development Bank	1.750%	9/19/29		12,650			12,362
	CNOOC Finance 2013 Ltd.	2.875%	9/30/29		7,900			7,890
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25		11,775			12,310
	CNOOC Finance 2015 USA LLC	4.375%	5/2/28		12,225			13,537
	Ecopetrol SA	4.125%	1/16/25		10,698			11,246
	Ecopetrol SA	5.375%	6/26/26		10,191			11,427
	Equinor ASA	3.250%	11/10/24		6			6
	Equinor ASA	7.250%	9/23/27		6,925			9,177
	Equinor ASA	3.625%	9/10/28		4,600			5,072
	European Investment Bank	1.875%	2/10/25		29,240			29,411
	European Investment Bank	2.125%	4/13/26		9,575			9,715
	European Investment Bank	2.375%	5/24/27		17,615			18,182
	European Investment Bank	1.625%	10/9/29		3,800			3,678
	Export-Import Bank of Korea	2.875%	1/21/25		16,000			16,453
	Export-Import Bank of Korea	3.250%	11/10/25		8,375			8,796
	Export-Import Bank of Korea	2.625%	5/26/26		13,000			13,098
	Export-Import Bank of Korea	3.250%	8/12/26		5,550			5,799
	Hydro-Quebec	8.500%	12/1/29		900			1,366
	Industrial & Commercial Bank of China Ltd.	3.538%	11/8/27		4,900			5,062
	Inter-American Development Bank	2.125%	1/15/25		24,250			24,623
	Inter-American Development Bank	7.000%	6/15/25		4,365			5,442
	Inter-American Development Bank	2.000%	6/2/26		6,815			6,853
	Inter-American Development Bank	2.000%	7/23/26		8,975			9,027
	Inter-American Development Bank	2.375%	7/7/27		27,153			28,021
	Inter-American Development Bank	3.125%	9/18/28		18,875			20,597
	Inter-American Development Bank	2.250%	6/18/29		20,500			20,905
	International Bank for Reconstruction & Development	2.125%	3/3/25		3,020			3,069
	International Bank for Reconstruction & Development	2.500%	7/29/25		26,835			27,835
	International Bank for Reconstruction & Development	3.125%	11/20/25		7,500			8,046
	International Bank for Reconstruction & Development	8.875%	3/1/26		1,000			1,372
	International Bank for Reconstruction & Development	1.875%	10/27/26		15,550			15,530
	International Bank for Reconstruction & Development	2.500%	11/22/27		19,795			20,622
	International Bank for Reconstruction & Development	1.750%	10/23/29		26,500			25,868
	International Finance Corp.	2.125%	4/7/26		8,505			8,635
5	Japan Bank for International Cooperation	2.125%	2/10/25		19,575			19,613
5	Japan Bank for International Cooperation	2.500%	5/28/25		5,350			5,460
5	Japan Bank for International Cooperation	2.750%	1/21/26		13,000			13,421
5	Japan Bank for International Cooperation	2.375%	4/20/26		6,250			6,312
5	Japan Bank for International Cooperation	1.875%	7/21/26		750			735
5	Japan Bank for International Cooperation	2.250%	11/4/26		14,325			14,365
5	Japan Bank for International Cooperation	2.875%	6/1/27		16,360			17,104
5	Japan Bank for International Cooperation	2.875%	7/21/27		8,900			9,293
5	Japan Bank for International Cooperation	2.750%	11/16/27		7,740			8,045
5	Japan Bank for International Cooperation	3.250%	7/20/28		10,650			11,466

70

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
5	Japan Bank for International Cooperation	3.500%	10/31/28		11,325			12,434
5	Japan Bank for International Cooperation	2.000%	10/17/29		5,300			5,166
5	Japan International Cooperation Agency	2.750%	4/27/27		7,460			7,697
5	Japan International Cooperation Agency	3.375%	6/12/28		4,700			5,105
6	KFW	2.000%	5/2/25		17,675			17,859
6	KFW	2.875%	4/3/28		14,565			15,599
6	KFW	1.750%	9/14/29		20,250			19,821
	Korea Development Bank	3.000%	1/13/26		10,000			10,267
	Korea Development Bank	2.000%	9/12/26		8,750			8,474
6	Landwirtschaftliche Rentenbank	2.000%	1/13/25		12,255			12,370
6	Landwirtschaftliche Rentenbank	2.375%	6/10/25		12,800			13,163
6	Landwirtschaftliche Rentenbank	1.750%	7/27/26		14,925			14,788
6	Landwirtschaftliche Rentenbank	2.500%	11/15/27		11,640			12,150
3	Oriental Republic of Uruguay	4.375%	10/27/27		11,490			12,682
	Petroleos Mexicanos	4.250%	1/15/25		6,540			6,607
	Petroleos Mexicanos	4.500%	1/23/26		10,050			9,978
	Petroleos Mexicanos	6.875%	8/4/26		21,750			23,869
4	Petroleos Mexicanos	6.490%	1/23/27		23,046			24,460
	Petroleos Mexicanos	6.500%	3/13/27		44,040			46,602
	Petroleos Mexicanos	5.350%	2/12/28		25,727			25,550
	Petroleos Mexicanos	6.500%	1/23/29		16,500			17,302
	Province of Alberta	3.300%	3/15/28		14,705			15,872
	Province of British Columbia	6.500%	1/15/26		1,935			2,379
	Province of British Columbia	2.250%	6/2/26		6,415			6,477
	Province of Manitoba	2.125%	6/22/26		4,100			4,089
	Province of New Brunswick	3.625%	2/24/28		4,700			5,135
	Province of Ontario	2.500%	4/27/26		9,075			9,289
	Province of Ontario	2.300%	6/15/26		24,200			24,496
	Province of Ontario	2.000%	10/2/29		13,520			13,285
	Province of Quebec	2.875%	10/16/24		11,445			11,921
	Province of Quebec	2.500%	4/20/26		11,000			11,259
	Province of Quebec	2.750%	4/12/27		16,500			17,153
	Province of Quebec	7.500%	9/15/29		6,535			9,411
	Republic of Chile	3.125%	3/27/25		3,050			3,178
	Republic of Chile	3.125%	1/21/26		10,938			11,445
3	Republic of Chile	3.240%	2/6/28		14,625			15,328
3	Republic of Colombia	4.500%	1/28/26		16,161			17,576
3	Republic of Colombia	3.875%	4/25/27		23,243			24,549
3	Republic of Colombia	4.500%	3/15/29		18,950			20,963
	Republic of Indonesia	3.500%	1/11/28		14,250			14,848
	Republic of Indonesia	4.100%	4/24/28		10,550			11,461
	Republic of Indonesia	4.750%	2/11/29		6,353			7,274
	Republic of Indonesia	3.400%	9/18/29		2,250			2,337
	Republic of Italy	2.875%	10/17/29		16,850			15,917
	Republic of Korea	5.625%	11/3/25		1,875			2,219
	Republic of Korea	2.750%	1/19/27		18,550			18,945
	Republic of Korea	2.500%	6/19/29		1,890			1,898
3	Republic of Panama	3.750%	3/16/25		12,895			13,685
	Republic of Panama	7.125%	1/29/26		10,854			13,595
	Republic of Panama	8.875%	9/30/27		8,920			12,722
3	Republic of Panama	3.875%	3/17/28		5,700			6,199
	Republic of Panama	9.375%	4/1/29		5,835			8,891
	Republic of Peru	7.350%	7/21/25		14,315			18,087
	Republic of Peru	4.125%	8/25/27		8,860			9,909
	Republic of Poland	3.250%	4/6/26		11,539			12,216
	Republic of the Philippines	10.625%	3/16/25		10,245			14,458
	Republic of the Philippines	5.500%	3/30/26		20,075			23,814
	Republic of the Philippines	3.000%	2/1/28		15,510			16,109
	Republic of the Philippines	3.750%	1/14/29		9,350			10,314
	State of Israel	2.875%	3/16/26		9,200			9,591
	State of Israel	3.250%	1/17/28		9,500			10,183
	United Mexican States	3.600%	1/30/25		22,680			23,697
	United Mexican States	4.125%	1/21/26		21,360			22,737
	United Mexican States	4.150%	3/28/27		24,475			26,156

71

Vanguard^® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	United Mexican States	3.750%	1/11/28		21,630			22,420
	United Mexican States	4.500%	4/22/29		25,800			28,272
Total Sovereign Bonds (Cost $1,499,724)								1,554,212
Taxable Municipal Bonds (0.2%)
	Alabama Economic Settlement Authority BP Settlement Revenue	3.163%	9/15/25		1,800			1,842
	California GO	6.650%	3/1/22		3,500			3,774
	California GO	3.375%	4/1/25		4,575			4,858
	California GO	3.500%	4/1/28		3,600			3,876
	Energy Northwest Washington Electric Revenue (Columbia Generating Station)	2.814%	7/1/24		190			194
	Los Angeles CA Unified School District GO	5.755%	7/1/29		1,165			1,413
	Metropolitan Government of Nashville & Davidson County TN Health & Educational Facilities Board Revenue (Vanderbilt University Medical Center)	4.053%	7/1/26		1,095			1,189
7	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29		17,750			22,254
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	5.754%	12/15/28		1,925			2,213
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.104%	12/15/28		1,660			1,725
	Oregon GO	5.892%	6/1/27		13,900			16,474
8	Oregon School Boards Association GO	5.528%	6/30/28		1,500			1,769
7	Oregon School Boards Association GO	5.550%	6/30/28		875			1,035
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29		1,260			1,622
	Regents of the University of California Revenue	3.063%	7/1/25		9,500			9,948
	Utah GO	3.539%	7/1/25		65			68
	Wisconsin General Fund Annual Appropriation Revenue	3.154%	5/1/27		3,300			3,426
8	Wisconsin GO	5.700%	5/1/26		2,990			3,357
Total Taxable Municipal Bonds (Cost $79,065)								81,037
					Shares
Temporary Cash Investment (0.5%)
Money Market Fund (0.5%)
9	Vanguard Market Liquidity Fund (Cost $192,687)	1.816%			1,926,694			192,689
Total Investments (99.7%) (Cost $33,978,651)								35,173,168
Other Assets and Liabilities—Net (0.3%)								101,932
Net Assets (100%)								35,275,100

1	U.S. government-guaranteed.
2	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $500,882,000, representing 1.4% of net assets.
5	Guaranteed by the Government of Japan.
6	Guaranteed by the Federal Republic of Germany.
7	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
8	Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

GO—General Obligation Bond.

REIT—Real Estate Investment Trust.

72

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
U.S. Government and Agency Obligations (42.4%)
U.S. Government Securities (41.0%)
	United States Treasury Note/Bond	1.750%	11/15/29		4,300			4,235
	United States Treasury Note/Bond	6.250%	5/15/30		36,845			51,790
	United States Treasury Note/Bond	5.375%	2/15/31		27,060			36,303
	United States Treasury Note/Bond	4.500%	2/15/36		39,455			52,334
	United States Treasury Note/Bond	5.000%	5/15/37		4			6
	United States Treasury Note/Bond	4.375%	2/15/38		21,148			28,126
	United States Treasury Note/Bond	4.500%	5/15/38		18,060			24,404
	United States Treasury Note/Bond	3.500%	2/15/39		37,527			44,980
	United States Treasury Note/Bond	4.250%	5/15/39		36,392			47,889
	United States Treasury Note/Bond	4.500%	8/15/39		39,671			53,841
	United States Treasury Note/Bond	4.375%	11/15/39		41,100			54,997
	United States Treasury Note/Bond	4.625%	2/15/40		64,061			88,575
	United States Treasury Note/Bond	4.375%	5/15/40		54,098			72,635
	United States Treasury Note/Bond	3.875%	8/15/40		41,265			52,013
	United States Treasury Note/Bond	4.250%	11/15/40		50,200			66,460
	United States Treasury Note/Bond	4.750%	2/15/41		51,180			72,212
	United States Treasury Note/Bond	4.375%	5/15/41		42,045			56,688
	United States Treasury Note/Bond	3.750%	8/15/41		44,470			55,212
	United States Treasury Note/Bond	3.125%	11/15/41		44,477			50,461
	United States Treasury Note/Bond	3.125%	2/15/42		55,952			63,479
	United States Treasury Note/Bond	3.000%	5/15/42		47,225			52,552
	United States Treasury Note/Bond	2.750%	8/15/42		63,163			67,456
	United States Treasury Note/Bond	2.750%	11/15/42		86,703			92,555
	United States Treasury Note/Bond	3.125%	2/15/43		89,415			101,431
	United States Treasury Note/Bond	2.875%	5/15/43		124,375			135,569
	United States Treasury Note/Bond	3.625%	8/15/43		104,785			128,542
	United States Treasury Note/Bond	3.750%	11/15/43		105,915			132,509
	United States Treasury Note/Bond	3.625%	2/15/44		126,564			155,634
	United States Treasury Note/Bond	3.375%	5/15/44		118,037			139,745
	United States Treasury Note/Bond	3.125%	8/15/44		178,003			202,589
	United States Treasury Note/Bond	3.000%	11/15/44		109,496			122,122
	United States Treasury Note/Bond	2.500%	2/15/45		116,042			118,489
	United States Treasury Note/Bond	3.000%	5/15/45		137,460			153,569
	United States Treasury Note/Bond	2.875%	8/15/45		128,362			140,356
	United States Treasury Note/Bond	3.000%	11/15/45		97,150			108,687
	United States Treasury Note/Bond	2.500%	2/15/46		73,547			75,110
	United States Treasury Note/Bond	2.500%	5/15/46		106,406			108,650
	United States Treasury Note/Bond	2.250%	8/15/46		113,624			110,445
	United States Treasury Note/Bond	2.875%	11/15/46		136,964			150,254
	United States Treasury Note/Bond	3.000%	2/15/47		123,644			138,945
	United States Treasury Note/Bond	3.000%	5/15/47		104,486			117,384
	United States Treasury Note/Bond	2.750%	8/15/47		132,996			142,638
	United States Treasury Note/Bond	2.750%	11/15/47		123,746			132,697
	United States Treasury Note/Bond	3.000%	2/15/48		125,720			141,317
	United States Treasury Note/Bond	3.125%	5/15/48		113,086			130,191
	United States Treasury Note/Bond	3.000%	8/15/48		165,935			186,910
	United States Treasury Note/Bond	3.375%	11/15/48		151,671			182,977
	United States Treasury Note/Bond	3.000%	2/15/49		176,486			199,097
	United States Treasury Note/Bond	2.875%	5/15/49		149,270			164,594
	United States Treasury Note/Bond	2.250%	8/15/49		158,873			154,181
	United States Treasury Note/Bond	2.375%	11/15/49		127,325			126,947
								5,090,782
Agency Bonds and Notes (1.4%)
	Federal Home Loan Banks	5.625%	3/14/36		1,000			1,393
	Federal Home Loan Banks	5.500%	7/15/36		4,055			5,695
1	Federal Home Loan Mortgage Corp.	6.750%	3/15/31		9,514			13,757
1	Federal Home Loan Mortgage Corp.	6.250%	7/15/32		21,052			30,236
1	Federal Home Loan Mortgage Corp.	0.000%	11/15/38		40			23
1	Federal National Mortgage Assn.	7.125%	1/15/30		9,275			13,390
1	Federal National Mortgage Assn.	7.250%	5/15/30		13,160			19,323
1	Federal National Mortgage Assn.	6.625%	11/15/30		9,200			13,095

73

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
1	Federal National Mortgage Assn.	5.625%	7/15/37		8,385			12,058
1	Federal National Mortgage Assn.	6.210%	8/6/38		770			1,163
	Tennessee Valley Authority	7.125%	5/1/30		3,970			5,723
	Tennessee Valley Authority	4.650%	6/15/35		4,510			5,571
	Tennessee Valley Authority	5.880%	4/1/36		4,535			6,378
	Tennessee Valley Authority	5.980%	4/1/36		1,000			1,415
	Tennessee Valley Authority	6.150%	1/15/38		2,450			3,611
	Tennessee Valley Authority	5.500%	6/15/38		1,175			1,628
	Tennessee Valley Authority	5.250%	9/15/39		18,865			25,831
	Tennessee Valley Authority	4.875%	1/15/48		2,650			3,625
	Tennessee Valley Authority	5.375%	4/1/56		1,950			2,958
	Tennessee Valley Authority	4.625%	9/15/60		1,400			1,917
	Tennessee Valley Authority	4.250%	9/15/65		3,500			4,533
								173,323
Total U.S. Government and Agency Obligations (Cost $4,783,996)								5,264,105
Corporate Bonds (49.2%)
Finance (8.4%)
	Banking (4.3%)
	Ally Financial Inc.	8.000%	11/1/31		6,000			8,287
	Ally Financial Inc.	8.000%	11/1/31		500			689
	American Express Co.	4.050%	12/3/42		2,091			2,451
	Bank of America Corp.	6.110%	1/29/37		6,100			8,219
2	Bank of America Corp.	4.244%	4/24/38		8,530			9,786
	Bank of America Corp.	7.750%	5/14/38		5,473			8,605
2	Bank of America Corp.	4.078%	4/23/40		6,975			7,911
	Bank of America Corp.	5.875%	2/7/42		3,465			4,915
	Bank of America Corp.	5.000%	1/21/44		4,816			6,289
	Bank of America Corp.	4.875%	4/1/44		1,218			1,556
	Bank of America Corp.	4.750%	4/21/45		1,590			1,933
2	Bank of America Corp.	4.443%	1/20/48		5,635			6,858
2	Bank of America Corp.	3.946%	1/23/49		3,955			4,482
2	Bank of America Corp.	4.330%	3/15/50		8,225			9,864
	Bank of America NA	6.000%	10/15/36		5,549			7,641
	Barclays plc	5.250%	8/17/45		4,375			5,271
	Barclays plc	4.950%	1/10/47		3,205			3,750
	Citigroup Inc.	6.625%	6/15/32		4,513			6,046
	Citigroup Inc.	5.875%	2/22/33		1,675			2,052
	Citigroup Inc.	6.000%	10/31/33		1,966			2,528
	Citigroup Inc.	6.125%	8/25/36		2,108			2,727
2	Citigroup Inc.	3.878%	1/24/39		3,925			4,294
	Citigroup Inc.	8.125%	7/15/39		5,254			8,770
	Citigroup Inc.	5.875%	1/30/42		3,350			4,724
	Citigroup Inc.	6.675%	9/13/43		2,869			4,188
	Citigroup Inc.	5.300%	5/6/44		2,825			3,581
	Citigroup Inc.	4.650%	7/30/45		2,549			3,131
	Citigroup Inc.	4.750%	5/18/46		5,325			6,375
2	Citigroup Inc.	4.281%	4/24/48		3,250			3,819
	Citigroup Inc.	4.650%	7/23/48		5,925			7,387
	Cooperatieve Rabobank UA	5.250%	5/24/41		2,950			4,015
	Cooperatieve Rabobank UA	5.750%	12/1/43		2,505			3,296
	Cooperatieve Rabobank UA	5.250%	8/4/45		6,666			8,371
	Credit Suisse Group Funding Guernsey Ltd.	4.875%	5/15/45		4,745			5,961
	Credit Suisse USA Inc.	7.125%	7/15/32		3,100			4,545
	Fifth Third Bancorp	8.250%	3/1/38		3,008			4,624
	First Republic Bank	4.375%	8/1/46		1,350			1,462
	First Republic Bank	4.625%	2/13/47		1,275			1,472
	Goldman Sachs Capital I	6.345%	2/15/34		3,975			5,162
	Goldman Sachs Group Inc.	6.450%	5/1/36		2,192			2,900
	Goldman Sachs Group Inc.	6.750%	10/1/37		17,772			24,634
2	Goldman Sachs Group Inc.	4.017%	10/31/38		9,270			10,025
2	Goldman Sachs Group Inc.	4.411%	4/23/39		5,225			5,929
	Goldman Sachs Group Inc.	6.250%	2/1/41		8,318			11,610

74

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Goldman Sachs Group Inc.	4.800%	7/8/44		5,250			6,354
	Goldman Sachs Group Inc.	5.150%	5/22/45		6,525			7,987
	Goldman Sachs Group Inc.	4.750%	10/21/45		1,996			2,432
	HSBC Bank USA NA	7.000%	1/15/39		2,425			3,535
	HSBC Holdings plc	7.625%	5/17/32		2,049			2,832
	HSBC Holdings plc	6.500%	5/2/36		6,353			8,637
	HSBC Holdings plc	6.500%	9/15/37		8,045			10,972
	HSBC Holdings plc	6.800%	6/1/38		4,665			6,634
	HSBC Holdings plc	6.100%	1/14/42		2,120			3,007
	HSBC Holdings plc	5.250%	3/14/44		3,602			4,559
	JPMorgan Chase & Co.	8.750%	9/1/30		575			839
	JPMorgan Chase & Co.	6.400%	5/15/38		8,149			11,750
2	JPMorgan Chase & Co.	3.882%	7/24/38		7,270			8,039
	JPMorgan Chase & Co.	5.500%	10/15/40		5,650			7,553
	JPMorgan Chase & Co.	5.600%	7/15/41		4,800			6,571
	JPMorgan Chase & Co.	5.400%	1/6/42		4,918			6,652
	JPMorgan Chase & Co.	5.625%	8/16/43		4,700			6,303
	JPMorgan Chase & Co.	4.850%	2/1/44		3,300			4,220
	JPMorgan Chase & Co.	4.950%	6/1/45		5,714			7,197
2	JPMorgan Chase & Co.	4.260%	2/22/48		5,020			5,883
2	JPMorgan Chase & Co.	4.032%	7/24/48		5,455			6,178
2	JPMorgan Chase & Co.	3.964%	11/15/48		9,137			10,245
2	JPMorgan Chase & Co.	3.897%	1/23/49		5,450			6,096
	Lloyds Banking Group plc	5.300%	12/1/45		1,755			2,132
	Lloyds Banking Group plc	4.344%	1/9/48		5,890			6,363
	Mitsubishi UFJ Financial Group Inc.	4.286%	7/26/38		2,500			2,876
	Mitsubishi UFJ Financial Group Inc.	4.153%	3/7/39		2,295			2,590
	Mitsubishi UFJ Financial Group Inc.	3.751%	7/18/39		4,150			4,546
	Morgan Stanley	7.250%	4/1/32		2,711			3,891
2	Morgan Stanley	3.971%	7/22/38		7,200			7,985
2	Morgan Stanley	4.457%	4/22/39		2,122			2,497
	Morgan Stanley	6.375%	7/24/42		5,910			8,701
	Morgan Stanley	4.300%	1/27/45		9,075			10,657
	Morgan Stanley	4.375%	1/22/47		4,520			5,400
	Regions Bank	6.450%	6/26/37		1,650			2,119
	Regions Financial Corp.	7.375%	12/10/37		1,000			1,413
2	Royal Bank of Scotland Group plc	3.754%	11/1/29		800			816
	Wachovia Corp.	7.500%	4/15/35		1,490			2,086
	Wachovia Corp.	5.500%	8/1/35		2,369			2,999
	Wells Fargo & Co.	5.375%	2/7/35		1,255			1,618
	Wells Fargo & Co.	5.375%	11/2/43		5,560			7,004
	Wells Fargo & Co.	5.606%	1/15/44		7,295			9,647
	Wells Fargo & Co.	4.650%	11/4/44		6,428			7,529
	Wells Fargo & Co.	3.900%	5/1/45		4,995			5,671
	Wells Fargo & Co.	4.900%	11/17/45		5,791			7,068
	Wells Fargo & Co.	4.400%	6/14/46		6,671			7,653
	Wells Fargo & Co.	4.750%	12/7/46		6,300			7,504
	Wells Fargo Bank NA	5.950%	8/26/36		1,055			1,398
	Wells Fargo Bank NA	5.850%	2/1/37		2,236			2,966
	Wells Fargo Bank NA	6.600%	1/15/38		3,439			4,946
2	Wells Fargo Capital X	5.950%	12/1/86		3,225			3,959
	Westpac Banking Corp.	4.421%	7/24/39		1,650			1,809
	Brokerage (0.2%)
	Brookfield Finance Inc.	4.700%	9/20/47		2,725			3,120
	CME Group Inc.	5.300%	9/15/43		2,515			3,365
	CME Group Inc.	4.150%	6/15/48		1,900			2,269
	Intercontinental Exchange Inc.	4.250%	9/21/48		3,325			3,927
	Invesco Finance plc	5.375%	11/30/43		1,320			1,591
	Jefferies Group LLC	6.250%	1/15/36		1,475			1,752
	Jefferies Group LLC	6.500%	1/20/43		1,405			1,671
	Jefferies Group LLC / Jefferies Group Capital Finance Inc.	4.150%	1/23/30		3,360			3,540
	Legg Mason Inc.	5.625%	1/15/44		1,800			2,043

75

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Raymond James Financial Inc.	4.950%	7/15/46		2,325			2,756
	Finance Companies (0.3%)
	GATX Corp.	5.200%	3/15/44		865			1,007
	GE Capital International Funding Co. Unlimited Co.	4.418%	11/15/35		34,106			36,230
	Insurance (3.0%)
	ACE Capital Trust II	9.700%	4/1/30		1,175			1,762
	Aetna Inc.	6.625%	6/15/36		2,364			3,160
	Aetna Inc.	6.750%	12/15/37		1,760			2,363
	Aetna Inc.	4.500%	5/15/42		1,725			1,841
	Aetna Inc.	4.125%	11/15/42		1,800			1,842
	Aetna Inc.	4.750%	3/15/44		1,115			1,205
	Aetna Inc.	3.875%	8/15/47		1,675			1,693
	Aflac Inc.	4.000%	10/15/46		1,325			1,440
	Aflac Inc.	4.750%	1/15/49		1,595			1,899
	Alleghany Corp.	4.900%	9/15/44		975			1,137
	Allstate Corp.	5.550%	5/9/35		1,540			1,943
	Allstate Corp.	5.950%	4/1/36		1,400			1,892
	Allstate Corp.	4.500%	6/15/43		1,750			2,090
	Allstate Corp.	4.200%	12/15/46		2,546			2,931
	Allstate Corp.	3.850%	8/10/49		1,250			1,389
2	Allstate Corp.	6.500%	5/15/67		1,730			2,137
	American Financial Group Inc.	4.500%	6/15/47		1,970			2,126
	American International Group Inc.	3.875%	1/15/35		3,011			3,196
	American International Group Inc.	4.700%	7/10/35		2,100			2,424
	American International Group Inc.	6.250%	5/1/36		3,341			4,461
	American International Group Inc.	4.500%	7/16/44		5,564			6,377
	American International Group Inc.	4.800%	7/10/45		1,488			1,781
	American International Group Inc.	4.750%	4/1/48		1,135			1,358
	American International Group Inc.	4.375%	1/15/55		4,000			4,370
2	American International Group Inc.	8.175%	5/15/68		1,475			2,004
	Anthem Inc.	5.850%	1/15/36		1,300			1,585
	Anthem Inc.	6.375%	6/15/37		1,350			1,748
	Anthem Inc.	4.625%	5/15/42		2,852			3,199
	Anthem Inc.	4.650%	1/15/43		2,596			2,923
	Anthem Inc.	5.100%	1/15/44		2,920			3,452
	Anthem Inc.	4.650%	8/15/44		2,800			3,110
	Anthem Inc.	4.375%	12/1/47		5,410			5,931
	Anthem Inc.	4.550%	3/1/48		1,864			2,089
	Anthem Inc.	3.700%	9/15/49		2,050			2,027
	Anthem Inc.	4.850%	8/15/54		500			541
	Aon Corp.	6.250%	9/30/40		1,230			1,680
	Aon plc	4.600%	6/14/44		1,650			1,873
	Aon plc	4.750%	5/15/45		1,729			2,021
	Arch Capital Finance LLC	5.031%	12/15/46		1,450			1,810
	Arch Capital Group Ltd.	7.350%	5/1/34		975			1,377
	Arch Capital Group US Inc.	5.144%	11/1/43		1,205			1,464
	Assurant Inc.	6.750%	2/15/34		214			255
	AXA Equitable Holdings Inc.	5.000%	4/20/48		5,225			5,583
	AXA SA	8.600%	12/15/30		4,320			6,313
	Berkshire Hathaway Finance Corp.	5.750%	1/15/40		2,483			3,408
	Berkshire Hathaway Finance Corp.	4.400%	5/15/42		3,955			4,671
	Berkshire Hathaway Finance Corp.	4.300%	5/15/43		1,705			1,951
	Berkshire Hathaway Finance Corp.	4.200%	8/15/48		8,500			9,950
	Berkshire Hathaway Finance Corp.	4.250%	1/15/49		6,235			7,365
	Berkshire Hathaway Inc.	4.500%	2/11/43		2,110			2,565
	Brighthouse Financial Inc.	4.700%	6/22/47		3,225			2,985
	Chubb Corp.	6.000%	5/11/37		2,623			3,598
	Chubb Corp.	6.500%	5/15/38		1,745			2,552
	Chubb INA Holdings Inc.	6.700%	5/15/36		1,910			2,739
	Chubb INA Holdings Inc.	4.150%	3/13/43		1,452			1,685
	Chubb INA Holdings Inc.	4.350%	11/3/45		3,486			4,186
	Cincinnati Financial Corp.	6.125%	11/1/34		1,350			1,790
	Everest Reinsurance Holdings Inc.	4.868%	6/1/44		1,050			1,163

76

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Hartford Financial Services Group Inc.	5.950%	10/15/36		2,070			2,694
	Hartford Financial Services Group Inc.	6.100%	10/1/41		1,462			1,997
	Hartford Financial Services Group Inc.	4.300%	4/15/43		1,275			1,418
	Hartford Financial Services Group Inc.	3.600%	8/19/49		2,175			2,233
	Humana Inc.	4.625%	12/1/42		1,856			2,021
	Humana Inc.	4.950%	10/1/44		3,082			3,642
	Humana Inc.	4.800%	3/15/47		1,200			1,392
	Humana Inc.	3.950%	8/15/49		150			157
	Lincoln National Corp.	3.050%	1/15/30		1,575			1,565
	Lincoln National Corp.	6.300%	10/9/37		730			949
	Lincoln National Corp.	7.000%	6/15/40		2,105			2,987
	Lincoln National Corp.	4.350%	3/1/48		1,475			1,622
	Loews Corp.	6.000%	2/1/35		1,125			1,449
	Loews Corp.	4.125%	5/15/43		1,590			1,746
	Manulife Financial Corp.	5.375%	3/4/46		2,446			3,212
	Markel Corp.	5.000%	4/5/46		1,590			1,802
	Markel Corp.	4.300%	11/1/47		515			537
	Markel Corp.	5.000%	5/20/49		315			364
	Markel Corp.	4.150%	9/17/50		1,250			1,286
	Marsh & McLennan Cos. Inc.	5.875%	8/1/33		645			826
	Marsh & McLennan Cos. Inc.	4.750%	3/15/39		2,670			3,237
	Marsh & McLennan Cos. Inc.	4.350%	1/30/47		1,850			2,093
	Marsh & McLennan Cos. Inc.	4.200%	3/1/48		660			744
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49		3,500			4,427
	MetLife Inc.	6.500%	12/15/32		2,175			3,008
	MetLife Inc.	6.375%	6/15/34		2,847			4,061
	MetLife Inc.	5.700%	6/15/35		3,200			4,293
	MetLife Inc.	5.875%	2/6/41		2,298			3,111
	MetLife Inc.	4.125%	8/13/42		4,157			4,708
	MetLife Inc.	4.875%	11/13/43		3,686			4,561
	MetLife Inc.	4.721%	12/15/44		1,650			2,000
	MetLife Inc.	4.050%	3/1/45		2,766			3,176
	MetLife Inc.	4.600%	5/13/46		1,160			1,418
2	MetLife Inc.	6.400%	12/15/66		3,345			4,077
2	MetLife Inc.	10.750%	8/1/69		840			1,365
2	Nationwide Financial Services Inc.	6.750%	5/15/87		875			1,015
	Principal Financial Group Inc.	4.625%	9/15/42		1,175			1,339
	Principal Financial Group Inc.	4.350%	5/15/43		2,245			2,534
	Principal Financial Group Inc.	4.300%	11/15/46		1,230			1,388
	Progressive Corp.	4.350%	4/25/44		2,455			2,875
	Progressive Corp.	4.125%	4/15/47		3,300			3,848
	Progressive Corp.	4.200%	3/15/48		1,335			1,531
	Prudential Financial Inc.	5.750%	7/15/33		350			446
	Prudential Financial Inc.	5.700%	12/14/36		3,215			4,367
	Prudential Financial Inc.	6.625%	12/1/37		818			1,130
	Prudential Financial Inc.	6.625%	6/21/40		1,314			1,848
	Prudential Financial Inc.	6.200%	11/15/40		960			1,282
	Prudential Financial Inc.	5.100%	8/15/43		1,195			1,412
	Prudential Financial Inc.	4.600%	5/15/44		1,453			1,713
	Prudential Financial Inc.	3.905%	12/7/47		2,311			2,467
	Prudential Financial Inc.	3.935%	12/7/49		3,218			3,507
	Prudential Financial Inc.	4.350%	2/25/50		2,825			3,251
	Prudential Financial Inc.	3.700%	3/13/51		4,600			4,818
	Selective Insurance Group Inc.	5.375%	3/1/49		800			942
	Transatlantic Holdings Inc.	8.000%	11/30/39		1,045			1,533
	Travelers Cos. Inc.	6.750%	6/20/36		1,050			1,514
	Travelers Cos. Inc.	6.250%	6/15/37		2,240			3,096
	Travelers Cos. Inc.	5.350%	11/1/40		2,848			3,699
	Travelers Cos. Inc.	4.600%	8/1/43		1,850			2,239
	Travelers Cos. Inc.	4.300%	8/25/45		925			1,082
	Travelers Cos. Inc.	3.750%	5/15/46		1,480			1,593
	Travelers Cos. Inc.	4.000%	5/30/47		2,000			2,243
	Travelers Cos. Inc.	4.050%	3/7/48		1,250			1,390
	Travelers Cos. Inc.	4.100%	3/4/49		1,500			1,737

77

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Travelers Property Casualty Corp.	6.375%	3/15/33		1,670			2,307
UnitedHealth Group Inc.	4.625%	7/15/35		3,636			4,397
UnitedHealth Group Inc.	5.800%	3/15/36		1,820			2,412
UnitedHealth Group Inc.	6.500%	6/15/37		1,315			1,866
UnitedHealth Group Inc.	6.625%	11/15/37		2,125			3,027
UnitedHealth Group Inc.	6.875%	2/15/38		2,716			4,027
UnitedHealth Group Inc.	3.500%	8/15/39		4,005			4,186
UnitedHealth Group Inc.	5.950%	2/15/41		1,075			1,460
UnitedHealth Group Inc.	4.625%	11/15/41		1,850			2,194
UnitedHealth Group Inc.	4.375%	3/15/42		1,885			2,167
UnitedHealth Group Inc.	3.950%	10/15/42		2,530			2,755
UnitedHealth Group Inc.	4.250%	3/15/43		2,658			3,021
UnitedHealth Group Inc.	4.750%	7/15/45		5,930			7,241
UnitedHealth Group Inc.	4.200%	1/15/47		2,329			2,669
UnitedHealth Group Inc.	4.250%	4/15/47		2,177			2,506
UnitedHealth Group Inc.	3.750%	10/15/47		2,840			3,027
UnitedHealth Group Inc.	4.250%	6/15/48		4,024			4,668
UnitedHealth Group Inc.	4.450%	12/15/48		3,350			3,983
UnitedHealth Group Inc.	3.700%	8/15/49		2,835			3,018
UnitedHealth Group Inc.	3.875%	8/15/59		4,670			5,012
Unum Group	5.750%	8/15/42		1,925			2,122
Unum Group	4.500%	12/15/49		750			731
Voya Financial Inc.	5.700%	7/15/43		1,400			1,773
Voya Financial Inc.	4.800%	6/15/46		1,300			1,483
Willis North America Inc.	5.050%	9/15/48		1,185			1,385
Willis North America Inc.	3.875%	9/15/49		1,950			1,944
WR Berkley Corp.	4.750%	8/1/44		1,205			1,346
XLIT Ltd.	5.250%	12/15/43		950			1,213
XLIT Ltd.	5.500%	3/31/45		1,500			1,891
Real Estate Investment Trusts (0.6%)
Alexandria Real Estate Equities Inc.	4.700%	7/1/30		1,275			1,463
Alexandria Real Estate Equities Inc.	3.375%	8/15/31		2,015			2,097
Alexandria Real Estate Equities Inc.	4.850%	4/15/49		800			970
Alexandria Real Estate Equities Inc.	4.000%	2/1/50		1,750			1,917
AvalonBay Communities Inc.	3.900%	10/15/46		1,240			1,358
AvalonBay Communities Inc.	4.150%	7/1/47		775			875
AvalonBay Communities Inc.	4.350%	4/15/48		360			423
Boston Properties LP	2.900%	3/15/30		1,320			1,314
Camden Property Trust	3.350%	11/1/49		700			700
CubeSmart LP	3.000%	2/15/30		1,075			1,062
ERP Operating LP	2.500%	2/15/30		1,050			1,039
ERP Operating LP	4.500%	7/1/44		1,825			2,151
ERP Operating LP	4.500%	6/1/45		1,175			1,390
ERP Operating LP	4.000%	8/1/47		1,375			1,517
Essex Portfolio LP	3.000%	1/15/30		1,475			1,491
Essex Portfolio LP	4.500%	3/15/48		1,130			1,288
Federal Realty Investment Trust	4.500%	12/1/44		1,935			2,213
Healthcare Trust of America Holdings LP	3.100%	2/15/30		1,750			1,736
Healthpeak Properties Inc.	3.000%	1/15/30		2,115			2,112
Healthpeak Properties Inc.	6.750%	2/1/41		1,200			1,664
Highwoods Realty LP	3.050%	2/15/30		200			196
Hudson Pacific Properties LP	3.250%	1/15/30		1,135			1,120
Kilroy Realty LP	3.050%	2/15/30		2,050			2,023
Kimco Realty Corp.	4.250%	4/1/45		1,725			1,819
Kimco Realty Corp.	4.125%	12/1/46		1,300			1,351
Kimco Realty Corp.	4.450%	9/1/47		1,425			1,555
Kimco Realty Corp.	3.700%	10/1/49		75			73
Mid-America Apartments LP	2.750%	3/15/30		1,105			1,097
National Retail Properties Inc.	4.800%	10/15/48		1,000			1,203
Omega Healthcare Investors Inc.	3.625%	10/1/29		1			1
Prologis LP	4.375%	9/15/48		1,000			1,194
Realty Income Corp.	4.650%	3/15/47		2,231			2,685
Regency Centers LP	4.400%	2/1/47		1,450			1,631

78

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Regency Centers LP	4.650%	3/15/49		975			1,152
	Service Properties Trust	4.375%	2/15/30		1,425			1,398
	Simon Property Group LP	6.750%	2/1/40		1,385			2,025
	Simon Property Group LP	4.750%	3/15/42		1,700			2,032
	Simon Property Group LP	4.250%	10/1/44		1,545			1,742
	Simon Property Group LP	4.250%	11/30/46		1,850			2,105
	Simon Property Group LP	3.250%	9/13/49		4,030			3,892
	Spirit Realty LP	3.400%	1/15/30		1,500			1,504
	UDR Inc.	3.000%	8/15/31		1,300			1,301
	UDR Inc.	3.100%	11/1/34		845			843
	Ventas Realty LP	3.000%	1/15/30		1,000			991
	Ventas Realty LP	5.700%	9/30/43		1,070			1,339
	Ventas Realty LP	4.375%	2/1/45		1,175			1,262
	Ventas Realty LP	4.875%	4/15/49		1,000			1,173
	Welltower Inc.	3.100%	1/15/30		1,575			1,592
	Welltower Inc.	6.500%	3/15/41		2,052			2,742
	Welltower Inc.	4.950%	9/1/48		1,275			1,527
								1,049,330
Industrial (34.8%)
	Basic Industry (2.0%)
	Albemarle Corp.	5.450%	12/1/44		1,125			1,282
	ArcelorMittal	7.000%	10/15/39		2,300			2,798
	ArcelorMittal	6.750%	3/1/41		1,350			1,609
	Barrick Gold Corp.	6.450%	10/15/35		845			1,082
	Barrick Gold Corp.	5.250%	4/1/42		1,604			1,908
	Barrick North America Finance LLC	5.700%	5/30/41		2,740			3,291
	Barrick North America Finance LLC	5.750%	5/1/43		3,216			4,107
	Barrick PD Australia Finance Pty Ltd.	5.950%	10/15/39		2,157			2,722
	BHP Billiton Finance USA Ltd.	4.125%	2/24/42		2,350			2,658
	BHP Billiton Finance USA Ltd.	5.000%	9/30/43		7,271			9,273
	Celulosa Arauco y Constitucion SA	5.500%	11/2/47		1,500			1,553
	Dow Chemical Co.	4.250%	10/1/34		2,115			2,324
	Dow Chemical Co.	9.400%	5/15/39		2,516			4,124
	Dow Chemical Co.	5.250%	11/15/41		2,439			2,826
	Dow Chemical Co.	4.375%	11/15/42		3,049			3,252
	Dow Chemical Co.	4.625%	10/1/44		1,000			1,100
	Dow Chemical Co.	5.550%	11/30/48		2,600			3,237
	Dow Chemical Co.	4.800%	5/15/49		2,500			2,884
	DuPont de Nemours Inc.	5.319%	11/15/38		6,300			7,485
	DuPont de Nemours Inc.	5.419%	11/15/48		6,744			8,304
	Eastman Chemical Co.	4.800%	9/1/42		2,165			2,355
	Eastman Chemical Co.	4.650%	10/15/44		2,920			3,165
	Ecolab Inc.	3.950%	12/1/47		3,889			4,363
	FMC Corp.	4.500%	10/1/49		1,100			1,207
	Georgia-Pacific LLC	7.750%	11/15/29		1			1
	Georgia-Pacific LLC	8.875%	5/15/31		1,394			2,164
	International Flavors & Fragrances Inc.	4.375%	6/1/47		1,555			1,593
	International Flavors & Fragrances Inc.	5.000%	9/26/48		2,850			3,191
	International Paper Co.	5.000%	9/15/35		2,159			2,532
	International Paper Co.	7.300%	11/15/39		2,635			3,648
	International Paper Co.	6.000%	11/15/41		1,545			1,919
	International Paper Co.	4.800%	6/15/44		1,517			1,663
	International Paper Co.	5.150%	5/15/46		2,150			2,472
	International Paper Co.	4.400%	8/15/47		3,235			3,430
	International Paper Co.	4.350%	8/15/48		3,440			3,654
	Lubrizol Corp.	6.500%	10/1/34		675			941
	LYB International Finance BV	5.250%	7/15/43		1,905			2,237
	LYB International Finance BV	4.875%	3/15/44		3,542			3,985
	LYB International Finance III LLC	4.200%	10/15/49		370			384
	LyondellBasell Industries NV	4.625%	2/26/55		3,175			3,350
	Meadwestvaco Corp.	7.950%	2/15/31		916			1,236
	Methanex Corp.	5.650%	12/1/44		1,740			1,668
	Mosaic Co.	5.450%	11/15/33		1,330			1,509

79

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Mosaic Co.	4.875%	11/15/41		1,150			1,195
Mosaic Co.	5.625%	11/15/43		2,050			2,425
Newmont Goldcorp Corp.	5.875%	4/1/35		1,160			1,479
Newmont Goldcorp Corp.	6.250%	10/1/39		3,115			4,117
Newmont Goldcorp Corp.	4.875%	3/15/42		3,362			3,919
Newmont Goldcorp Corp.	5.450%	6/9/44		1,536			1,901
Nucor Corp.	6.400%	12/1/37		2,100			2,838
Nucor Corp.	5.200%	8/1/43		1,475			1,832
Nucor Corp.	4.400%	5/1/48		1,600			1,813
Nutrien Ltd.	4.125%	3/15/35		1,400			1,461
Nutrien Ltd.	5.875%	12/1/36		1,090			1,307
Nutrien Ltd.	5.625%	12/1/40		1,505			1,760
Nutrien Ltd.	6.125%	1/15/41		1,185			1,476
Nutrien Ltd.	4.900%	6/1/43		1,675			1,873
Nutrien Ltd.	5.250%	1/15/45		1,390			1,637
Nutrien Ltd.	5.000%	4/1/49		2,150			2,538
Packaging Corp. of America	4.050%	12/15/49		1,205			1,250
Praxair Inc.	3.550%	11/7/42		1,868			1,948
Rio Tinto Alcan Inc.	7.250%	3/15/31		1,292			1,799
Rio Tinto Alcan Inc.	6.125%	12/15/33		150			203
Rio Tinto Alcan Inc.	5.750%	6/1/35		2,650			3,323
Rio Tinto Finance USA Ltd.	5.200%	11/2/40		3,101			4,046
Rio Tinto Finance USA plc	4.750%	3/22/42		1,550			1,891
Rio Tinto Finance USA plc	4.125%	8/21/42		2,436			2,789
RPM International Inc.	5.250%	6/1/45		1,000			1,105
RPM International Inc.	4.250%	1/15/48		960			931
Sherwin-Williams Co.	4.000%	12/15/42		500			513
Sherwin-Williams Co.	4.550%	8/1/45		1,535			1,690
Sherwin-Williams Co.	4.500%	6/1/47		4,166			4,730
Sherwin-Williams Co.	3.800%	8/15/49		1,000			1,017
Southern Copper Corp.	7.500%	7/27/35		2,175			2,994
Southern Copper Corp.	6.750%	4/16/40		3,443			4,580
Southern Copper Corp.	5.250%	11/8/42		3,118			3,569
Southern Copper Corp.	5.875%	4/23/45		5,505			6,842
Steel Dynamics Inc.	3.450%	4/15/30		1,000			1,011
Suzano Austria GmbH	5.000%	1/15/30		3,150			3,305
Teck Resources Ltd.	6.125%	10/1/35		2,775			3,232
Teck Resources Ltd.	6.000%	8/15/40		1,950			2,172
Teck Resources Ltd.	6.250%	7/15/41		2,920			3,335
Teck Resources Ltd.	5.400%	2/1/43		250			263
Vale Overseas Ltd.	8.250%	1/17/34		1,908			2,674
Vale Overseas Ltd.	6.875%	11/21/36		6,296			8,169
Vale Overseas Ltd.	6.875%	11/10/39		3,100			4,022
Vale SA	5.625%	9/11/42		1,485			1,738
Westlake Chemical Corp.	5.000%	8/15/46		2,408			2,554
Westlake Chemical Corp.	4.375%	11/15/47		1,810			1,820
Westrock MWV LLC	8.200%	1/15/30		590			806
Weyerhaeuser Co.	7.375%	3/15/32		3,273			4,536
Weyerhaeuser Co.	6.875%	12/15/33		300			395
WRKCO Inc.	4.200%	6/1/32		3,250			3,553
Capital Goods (2.5%)
3M Co.	5.700%	3/15/37		1,000			1,333
3M Co.	3.875%	6/15/44		520			551
3M Co.	3.125%	9/19/46		2,250			2,155
3M Co.	3.625%	10/15/47		3,040			3,129
3M Co.	4.000%	9/14/48		2,675			2,935
3M Co.	3.250%	8/26/49		2,250			2,189
ABB Finance USA Inc.	4.375%	5/8/42		2,451			2,941
Boeing Co.	2.950%	2/1/30		2,500			2,554
Boeing Co.	6.125%	2/15/33		1,170			1,527
Boeing Co.	3.600%	5/1/34		3,075			3,279
Boeing Co.	3.250%	2/1/35		2,350			2,394
Boeing Co.	6.625%	2/15/38		925			1,286

80

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Boeing Co.	3.550%	3/1/38		550			571
Boeing Co.	3.500%	3/1/39		1,275			1,309
Boeing Co.	6.875%	3/15/39		1,638			2,393
Boeing Co.	5.875%	2/15/40		1,865			2,468
Boeing Co.	3.375%	6/15/46		1,320			1,278
Boeing Co.	3.650%	3/1/47		1,400			1,419
Boeing Co.	3.625%	3/1/48		1,300			1,328
Boeing Co.	3.850%	11/1/48		1,220			1,280
Boeing Co.	3.900%	5/1/49		950			1,017
Boeing Co.	3.750%	2/1/50		2,150			2,265
Boeing Co.	3.825%	3/1/59		3,925			4,076
Boeing Co.	3.950%	8/1/59		550			587
Caterpillar Inc.	5.300%	9/15/35		1,100			1,362
Caterpillar Inc.	6.050%	8/15/36		1,915			2,606
Caterpillar Inc.	5.200%	5/27/41		2,362			3,048
Caterpillar Inc.	3.803%	8/15/42		4,683			5,236
Caterpillar Inc.	3.250%	9/19/49		3,500			3,492
Caterpillar Inc.	4.750%	5/15/64		1,900			2,376
Crane Co.	4.200%	3/15/48		1,150			1,151
Deere & Co.	3.900%	6/9/42		2,906			3,267
Deere & Co.	2.875%	9/7/49		2,900			2,719
Dover Corp.	5.375%	10/15/35		875			1,044
Dover Corp.	5.375%	3/1/41		900			1,094
Eaton Corp.	4.000%	11/2/32		2,140			2,423
Eaton Corp.	4.150%	11/2/42		2,881			3,197
Eaton Corp.	3.915%	9/15/47		1,175			1,251
Fortive Corp.	4.300%	6/15/46		1,231			1,267
General Dynamics Corp.	3.600%	11/15/42		1,955			2,212
General Electric Co.	6.750%	3/15/32		7,852			10,059
General Electric Co.	6.150%	8/7/37		3,714			4,585
General Electric Co.	5.875%	1/14/38		7,388			8,905
General Electric Co.	6.875%	1/10/39		6,095			8,123
General Electric Co.	4.125%	10/9/42		3,110			3,219
General Electric Co.	4.500%	3/11/44		3,051			3,326
Honeywell International Inc.	5.700%	3/15/36		1,335			1,778
Honeywell International Inc.	5.700%	3/15/37		1,165			1,579
Honeywell International Inc.	5.375%	3/1/41		1,345			1,811
Honeywell International Inc.	3.812%	11/21/47		1,300			1,469
Illinois Tool Works Inc.	4.875%	9/15/41		2,533			3,185
Illinois Tool Works Inc.	3.900%	9/1/42		3,378			3,893
Ingersoll-Rand Global Holding Co. Ltd.	5.750%	6/15/43		1,565			1,970
Ingersoll-Rand Global Holding Co. Ltd.	4.300%	2/21/48		700			758
Ingersoll-Rand Luxembourg Finance SA	4.650%	11/1/44		825			930
Ingersoll-Rand Luxembourg Finance SA	4.500%	3/21/49		700			782
Johnson Controls International plc	6.000%	1/15/36		859			1,054
Johnson Controls International plc	4.625%	7/2/44		2,800			3,053
Johnson Controls International plc	5.125%	9/14/45		303			352
Johnson Controls International plc	4.500%	2/15/47		1,425			1,533
Johnson Controls International plc	4.950%	7/2/64		1,415			1,465
L3Harris Technologies Inc.	4.854%	4/27/35		1,300			1,530
L3Harris Technologies Inc.	6.150%	12/15/40		1,045			1,418
L3Harris Technologies Inc.	5.054%	4/27/45		1,820			2,259
Lockheed Martin Corp.	3.600%	3/1/35		1,175			1,287
Lockheed Martin Corp.	4.500%	5/15/36		1,625			1,924
Lockheed Martin Corp.	6.150%	9/1/36		2,609			3,541
Lockheed Martin Corp.	5.720%	6/1/40		1,914			2,583
Lockheed Martin Corp.	4.070%	12/15/42		3,730			4,268
Lockheed Martin Corp.	3.800%	3/1/45		3,457			3,813
Lockheed Martin Corp.	4.700%	5/15/46		3,855			4,867
Lockheed Martin Corp.	4.090%	9/15/52		5,881			6,874
Martin Marietta Materials Inc.	4.250%	12/15/47		2,150			2,251
Masco Corp.	6.500%	8/15/32		160			196
Masco Corp.	4.500%	5/15/47		1,049			1,068
Northrop Grumman Corp.	5.050%	11/15/40		1,300			1,584

81

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Northrop Grumman Corp.	4.750%	6/1/43		2,182			2,606
Northrop Grumman Corp.	3.850%	4/15/45		2,466			2,639
Northrop Grumman Corp.	4.030%	10/15/47		5,325			5,919
Northrop Grumman Systems Corp.	7.750%	2/15/31		965			1,384
Owens Corning	7.000%	12/1/36		505			617
Owens Corning	4.300%	7/15/47		2,375			2,253
Owens Corning	4.400%	1/30/48		1,100			1,063
Parker-Hannifin Corp.	4.200%	11/21/34		1,875			2,073
Parker-Hannifin Corp.	6.250%	5/15/38		1,095			1,452
Parker-Hannifin Corp.	4.450%	11/21/44		1,555			1,728
Parker-Hannifin Corp.	4.100%	3/1/47		2,472			2,676
Parker-Hannifin Corp.	4.000%	6/14/49		1,800			1,947
Precision Castparts Corp.	3.900%	1/15/43		600			649
Precision Castparts Corp.	4.375%	6/15/45		1,774			2,051
Raytheon Co.	4.875%	10/15/40		1,875			2,346
Raytheon Co.	4.700%	12/15/41		1,850			2,300
Republic Services Inc.	6.200%	3/1/40		1,060			1,443
Republic Services Inc.	5.700%	5/15/41		1,280			1,664
Rockwell Automation Inc.	4.200%	3/1/49		1,850			2,151
Rockwell Collins Inc.	4.800%	12/15/43		1,075			1,314
Rockwell Collins Inc.	4.350%	4/15/47		3,230			3,776
Snap-on Inc.	4.100%	3/1/48		1,320			1,475
Sonoco Products Co.	5.750%	11/1/40		1,950			2,389
Stanley Black & Decker Inc.	5.200%	9/1/40		1,300			1,611
Stanley Black & Decker Inc.	4.850%	11/15/48		1,800			2,223
United Technologies Corp.	6.050%	6/1/36		2,150			2,895
United Technologies Corp.	6.125%	7/15/38		2,675			3,700
United Technologies Corp.	4.450%	11/16/38		3,170			3,722
United Technologies Corp.	5.700%	4/15/40		5,829			7,797
United Technologies Corp.	4.500%	6/1/42		10,470			12,538
United Technologies Corp.	4.150%	5/15/45		4,674			5,354
United Technologies Corp.	3.750%	11/1/46		1,700			1,852
United Technologies Corp.	4.050%	5/4/47		2,075			2,355
United Technologies Corp.	4.625%	11/16/48		4,800			5,974
Valmont Industries Inc.	5.000%	10/1/44		1,475			1,507
Valmont Industries Inc.	5.250%	10/1/54		1,050			1,065
Vulcan Materials Co.	4.500%	6/15/47		3,710			4,063
Waste Management Inc.	3.900%	3/1/35		1,840			2,035
Waste Management Inc.	4.000%	7/15/39		1,975			2,206
Waste Management Inc.	4.100%	3/1/45		1,845			2,070
Waste Management Inc.	4.150%	7/15/49		2,500			2,847
WW Grainger Inc.	4.600%	6/15/45		2,445			2,894
WW Grainger Inc.	3.750%	5/15/46		1,035			1,070
WW Grainger Inc.	4.200%	5/15/47		1,220			1,358
Xylem Inc.	4.375%	11/1/46		1,225			1,337
Communication (6.9%)
Activision Blizzard Inc.	4.500%	6/15/47		1,550			1,761
America Movil SAB de CV	6.375%	3/1/35		3,385			4,542
America Movil SAB de CV	6.125%	11/15/37		1,375			1,793
America Movil SAB de CV	6.125%	3/30/40		6,190			8,294
America Movil SAB de CV	4.375%	7/16/42		4,432			4,934
America Movil SAB de CV	4.375%	4/22/49		3,550			4,068
American Tower Corp.	3.700%	10/15/49		2,000			1,982
AT&T Inc.	4.300%	2/15/30		8,981			9,981
AT&T Inc.	4.500%	5/15/35		9,059			10,073
AT&T Inc.	5.250%	3/1/37		10,150			12,121
AT&T Inc.	4.900%	8/15/37		4,500			5,162
AT&T Inc.	4.850%	3/1/39		5,400			6,203
AT&T Inc.	6.350%	3/15/40		1,960			2,552
AT&T Inc.	6.100%	7/15/40		215			273
AT&T Inc.	6.000%	8/15/40		4,873			6,183
AT&T Inc.	5.350%	9/1/40		5,400			6,458
AT&T Inc.	6.375%	3/1/41		3,425			4,515

82

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
AT&T Inc.	5.550%	8/15/41		3,898			4,774
AT&T Inc.	5.375%	10/15/41		2,635			3,099
AT&T Inc.	5.150%	3/15/42		4,565			5,318
AT&T Inc.	4.900%	6/15/42		3,640			4,094
AT&T Inc.	4.300%	12/15/42		5,751			6,147
AT&T Inc.	5.350%	12/15/43		1,820			2,181
AT&T Inc.	4.650%	6/1/44		3,100			3,417
AT&T Inc.	4.800%	6/15/44		7,075			8,038
AT&T Inc.	4.350%	6/15/45		7,667			8,201
AT&T Inc.	4.750%	5/15/46		9,361			10,510
AT&T Inc.	5.150%	11/15/46		8,230			9,797
AT&T Inc.	5.450%	3/1/47		8,095			9,989
AT&T Inc.	4.500%	3/9/48		14,812			16,271
AT&T Inc.	4.550%	3/9/49		7,654			8,486
AT&T Inc.	5.150%	2/15/50		5,850			7,046
AT&T Inc.	5.700%	3/1/57		3,750			4,892
AT&T Inc.	5.300%	8/15/58		2,175			2,679
Bell Canada Inc.	4.300%	7/29/49		4,490			5,022
British Telecommunications plc	9.625%	12/15/30		7,640			11,758
Charter Communications Operating LLC / Charter Communications Operating Capital	6.384%	10/23/35		6,134			7,712
Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	4/1/38		2,400			2,720
Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45		10,222			12,740
Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	5/1/47		7,023			7,872
Charter Communications Operating LLC / Charter Communications Operating Capital	5.750%	4/1/48		7,450			8,693
Charter Communications Operating LLC / Charter Communications Operating Capital	5.125%	7/1/49		4,450			4,829
Charter Communications Operating LLC / Charter Communications Operating Capital	4.800%	3/1/50		7,964			8,337
Charter Communications Operating LLC / Charter Communications Operating Capital	6.834%	10/23/55		1,860			2,342
Comcast Corp.	2.650%	2/1/30		4,500			4,504
Comcast Corp.	4.250%	10/15/30		4,661			5,299
Comcast Corp.	4.250%	1/15/33		4,638			5,316
Comcast Corp.	7.050%	3/15/33		1,555			2,223
Comcast Corp.	4.200%	8/15/34		2,503			2,855
Comcast Corp.	5.650%	6/15/35		1,950			2,559
Comcast Corp.	4.400%	8/15/35		1,500			1,755
Comcast Corp.	6.500%	11/15/35		4,145			5,839
Comcast Corp.	3.200%	7/15/36		3,010			3,063
Comcast Corp.	6.450%	3/15/37		3,025			4,222
Comcast Corp.	6.950%	8/15/37		2,450			3,587
Comcast Corp.	3.900%	3/1/38		3,750			4,138
Comcast Corp.	6.400%	5/15/38		1,831			2,543
Comcast Corp.	4.600%	10/15/38		9,400			11,153
Comcast Corp.	3.250%	11/1/39		4,000			4,023
Comcast Corp.	6.400%	3/1/40		1,406			1,970
Comcast Corp.	4.650%	7/15/42		3,780			4,493
Comcast Corp.	4.500%	1/15/43		1,570			1,832
Comcast Corp.	4.750%	3/1/44		3,251			3,945
Comcast Corp.	4.600%	8/15/45		6,000			7,156
Comcast Corp.	3.400%	7/15/46		4,635			4,654
Comcast Corp.	4.000%	8/15/47		3,075			3,365
Comcast Corp.	3.969%	11/1/47		9,060			9,886
Comcast Corp.	4.000%	3/1/48		300			330
Comcast Corp.	4.700%	10/15/48		10,875			13,385
Comcast Corp.	3.999%	11/1/49		7,647			8,449
Comcast Corp.	3.450%	2/1/50		5,500			5,608
Comcast Corp.	4.049%	11/1/52		3,560			4,013
Comcast Corp.	4.950%	10/15/58		7,680			9,986

83

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Crown Castle International Corp.	4.750%	5/15/47		1,725			1,987
	Crown Castle International Corp.	5.200%	2/15/49		2,125			2,602
	Deutsche Telekom International Finance BV	8.750%	6/15/30		12,440			18,253
	Discovery Communications LLC	5.000%	9/20/37		3,602			4,065
	Discovery Communications LLC	6.350%	6/1/40		2,740			3,456
	Discovery Communications LLC	4.950%	5/15/42		1,308			1,431
	Discovery Communications LLC	4.875%	4/1/43		3,240			3,514
	Discovery Communications LLC	5.200%	9/20/47		3,355			3,885
	Discovery Communications LLC	5.300%	5/15/49		2,289			2,708
3	Fox Corp.	5.476%	1/25/39		4,425			5,380
3	Fox Corp.	5.576%	1/25/49		4,900			6,167
	Grupo Televisa SAB	8.500%	3/11/32		1,085			1,470
	Grupo Televisa SAB	6.625%	1/15/40		1,328			1,668
	Grupo Televisa SAB	5.000%	5/13/45		3,385			3,569
	Grupo Televisa SAB	6.125%	1/31/46		2,650			3,214
	Grupo Televisa SAB	5.250%	5/24/49		1,400			1,513
	Interpublic Group of Cos. Inc.	5.400%	10/1/48		2,070			2,534
	Koninklijke KPN NV	8.375%	10/1/30		2,000			2,775
	Moody's Corp.	5.250%	7/15/44		1,800			2,291
	NBCUniversal Media LLC	6.400%	4/30/40		2,220			3,103
	NBCUniversal Media LLC	5.950%	4/1/41		3,000			4,124
	NBCUniversal Media LLC	4.450%	1/15/43		3,450			4,001
	Orange SA	9.000%	3/1/31		8,514			13,171
	Orange SA	5.375%	1/13/42		2,800			3,587
	Orange SA	5.500%	2/6/44		1,941			2,574
	Rogers Communications Inc.	7.500%	8/15/38		1,250			1,821
	Rogers Communications Inc.	4.500%	3/15/43		2,575			2,822
	Rogers Communications Inc.	5.000%	3/15/44		4,124			4,992
	Rogers Communications Inc.	4.350%	5/1/49		5,343			5,936
	Rogers Communications Inc.	3.700%	11/15/49		2,300			2,313
	S&P Global Inc.	4.500%	5/15/48		1,650			2,000
	S&P Global Inc.	3.250%	12/1/49		3,000			3,063
	Telefonica Emisiones SAU	7.045%	6/20/36		6,100			8,581
	Telefonica Emisiones SAU	4.665%	3/6/38		2,831			3,194
	Telefonica Emisiones SAU	5.213%	3/8/47		8,122			9,641
	Telefonica Emisiones SAU	4.895%	3/6/48		4,035			4,620
	Telefonica Emisiones SAU	5.520%	3/1/49		3,750			4,691
	Telefonica Europe BV	8.250%	9/15/30		3,769			5,418
	TELUS Corp.	4.600%	11/16/48		2,175			2,532
	TELUS Corp.	4.300%	6/15/49		1,550			1,710
	Thomson Reuters Corp.	5.500%	8/15/35		1,790			2,001
	Thomson Reuters Corp.	5.850%	4/15/40		1,365			1,630
	Thomson Reuters Corp.	5.650%	11/23/43		600			707
	Time Warner Cable LLC	6.550%	5/1/37		3,875			4,749
	Time Warner Cable LLC	7.300%	7/1/38		4,298			5,623
	Time Warner Cable LLC	6.750%	6/15/39		3,959			4,997
	Time Warner Cable LLC	5.875%	11/15/40		3,738			4,282
	Time Warner Cable LLC	5.500%	9/1/41		4,723			5,270
	Time Warner Cable LLC	4.500%	9/15/42		4,775			4,838
	Time Warner Entertainment Co. LP	8.375%	7/15/33		1,836			2,577
	Verizon Communications Inc.	4.500%	8/10/33		9,923			11,519
	Verizon Communications Inc.	4.400%	11/1/34		9,600			11,104
	Verizon Communications Inc.	4.272%	1/15/36		8,800			9,916
	Verizon Communications Inc.	5.250%	3/16/37		9,425			11,826
	Verizon Communications Inc.	4.812%	3/15/39		4,875			5,895
	Verizon Communications Inc.	4.750%	11/1/41		2,860			3,456
	Verizon Communications Inc.	3.850%	11/1/42		3,110			3,329
	Verizon Communications Inc.	4.125%	8/15/46		4,000			4,508
	Verizon Communications Inc.	4.862%	8/21/46		15,400			19,066
	Verizon Communications Inc.	4.522%	9/15/48		12,267			14,646
	Verizon Communications Inc.	5.012%	4/15/49		7,910			10,115
	Verizon Communications Inc.	4.672%	3/15/55		10,000			12,270
	Viacom Inc.	6.875%	4/30/36		4,655			6,231
	Viacom Inc.	4.375%	3/15/43		4,582			4,850

84

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Viacom Inc.	5.850%	9/1/43		3,314			4,152
	ViacomCBS Inc.	7.875%	7/30/30		2,303			3,189
	ViacomCBS Inc.	5.500%	5/15/33		1,000			1,193
	ViacomCBS Inc.	5.900%	10/15/40		875			1,059
	ViacomCBS Inc.	4.850%	7/1/42		1,486			1,641
	ViacomCBS Inc.	4.900%	8/15/44		2,450			2,770
	ViacomCBS Inc.	4.600%	1/15/45		800			882
	Vodafone Group plc	7.875%	2/15/30		2,475			3,428
	Vodafone Group plc	6.250%	11/30/32		1,750			2,215
	Vodafone Group plc	6.150%	2/27/37		1,935			2,487
	Vodafone Group plc	5.000%	5/30/38		6,440			7,503
	Vodafone Group plc	4.375%	2/19/43		5,075			5,455
	Vodafone Group plc	5.250%	5/30/48		8,960			10,825
	Vodafone Group plc	4.875%	6/19/49		5,600			6,444
	Vodafone Group plc	4.250%	9/17/50		4,225			4,389
	Vodafone Group plc	5.125%	6/19/59		1,250			1,467
	Walt Disney Co.	7.000%	3/1/32		2,140			3,100
	Walt Disney Co.	6.550%	3/15/33		1,946			2,741
	Walt Disney Co.	6.200%	12/15/34		4,115			5,739
	Walt Disney Co.	6.400%	12/15/35		3,052			4,363
	Walt Disney Co.	6.150%	3/1/37		7,073			9,842
	Walt Disney Co.	4.375%	8/16/41		1,275			1,520
	Walt Disney Co.	4.125%	12/1/41		1,805			2,081
	Walt Disney Co.	3.700%	12/1/42		2,977			3,242
	Walt Disney Co.	5.400%	10/1/43		3,785			5,128
	Walt Disney Co.	4.750%	9/15/44		3,465			4,365
	Walt Disney Co.	2.750%	9/1/49		6,000			5,638
	Consumer Cyclical (3.0%)
	Alibaba Group Holding Ltd.	4.500%	11/28/34		1,500			1,698
	Alibaba Group Holding Ltd.	4.000%	12/6/37		2,800			3,008
	Alibaba Group Holding Ltd.	4.200%	12/6/47		4,825			5,351
	Alibaba Group Holding Ltd.	4.400%	12/6/57		3,950			4,512
	Amazon.com Inc.	4.800%	12/5/34		3,590			4,523
	Amazon.com Inc.	3.875%	8/22/37		7,659			8,701
	Amazon.com Inc.	4.950%	12/5/44		5,600			7,326
	Amazon.com Inc.	4.050%	8/22/47		8,925			10,454
	Amazon.com Inc.	4.250%	8/22/57		7,845			9,534
	Aptiv plc	4.400%	10/1/46		275			263
	Aptiv plc	5.400%	3/15/49		1,175			1,324
	BorgWarner Inc.	4.375%	3/15/45		1,600			1,628
	Cummins Inc.	4.875%	10/1/43		1,575			1,921
	Daimler Finance North America LLC	8.500%	1/18/31		4,188			6,228
	Darden Restaurants Inc.	4.550%	2/15/48		1,000			1,013
	eBay Inc.	4.000%	7/15/42		1,545			1,523
3	Expedia Group Inc.	3.250%	2/15/30		3,750			3,605
	Ford Holdings LLC	9.300%	3/1/30		1,030			1,297
	Ford Motor Co.	7.450%	7/16/31		3,582			4,227
	Ford Motor Co.	4.750%	1/15/43		4,405			3,903
	Ford Motor Co.	7.400%	11/1/46		1,825			2,047
	Ford Motor Co.	5.291%	12/8/46		4,366			4,128
	General Motors Co.	5.000%	4/1/35		2,405			2,479
	General Motors Co.	6.600%	4/1/36		3,456			4,068
	General Motors Co.	5.150%	4/1/38		2,178			2,231
	General Motors Co.	6.250%	10/2/43		4,741			5,300
	General Motors Co.	5.200%	4/1/45		4,075			4,088
	General Motors Co.	6.750%	4/1/46		3,041			3,562
	General Motors Co.	5.400%	4/1/48		2,170			2,234
	General Motors Co.	5.950%	4/1/49		2,767			3,062
	GLP Capital LP / GLP Financing II Inc.	4.000%	1/15/30		1,450			1,476
	Harley-Davidson Inc.	4.625%	7/28/45		1,005			1,033
	Home Depot Inc.	5.875%	12/16/36		9,375			12,905
	Home Depot Inc.	5.400%	9/15/40		1,255			1,643
	Home Depot Inc.	5.950%	4/1/41		3,936			5,532

85

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Home Depot Inc.	4.200%	4/1/43		3,630			4,216
Home Depot Inc.	4.875%	2/15/44		3,123			3,954
Home Depot Inc.	4.400%	3/15/45		3,157			3,758
Home Depot Inc.	4.250%	4/1/46		1,838			2,165
Home Depot Inc.	3.900%	6/15/47		3,903			4,399
Home Depot Inc.	4.500%	12/6/48		5,025			6,190
Home Depot Inc.	3.500%	9/15/56		4,308			4,511
Kohl's Corp.	5.550%	7/17/45		1,537			1,565
Lear Corp.	5.250%	5/15/49		1,100			1,143
Lowe's Cos. Inc.	4.650%	4/15/42		4,043			4,600
Lowe's Cos. Inc.	4.250%	9/15/44		1,077			1,161
Lowe's Cos. Inc.	4.375%	9/15/45		2,761			3,020
Lowe's Cos. Inc.	3.700%	4/15/46		2,329			2,367
Lowe's Cos. Inc.	4.050%	5/3/47		5,005			5,397
Lowe's Cos. Inc.	4.550%	4/5/49		4,000			4,667
Macy's Retail Holdings Inc.	4.500%	12/15/34		941			893
Mastercard Inc.	3.800%	11/21/46		2,250			2,519
Mastercard Inc.	3.950%	2/26/48		1,950			2,250
Mastercard Inc.	3.650%	6/1/49		3,500			3,857
McDonald's Corp.	4.700%	12/9/35		3,114			3,701
McDonald's Corp.	6.300%	10/15/37		2,032			2,759
McDonald's Corp.	6.300%	3/1/38		2,571			3,498
McDonald's Corp.	5.700%	2/1/39		1,600			2,033
McDonald's Corp.	4.875%	7/15/40		150			177
McDonald's Corp.	3.700%	2/15/42		2,419			2,466
McDonald's Corp.	3.625%	5/1/43		1,650			1,652
McDonald's Corp.	4.600%	5/26/45		2,590			2,970
McDonald's Corp.	4.875%	12/9/45		4,271			5,151
McDonald's Corp.	4.450%	3/1/47		3,084			3,534
McDonald's Corp.	4.450%	9/1/48		1,820			2,073
McDonald's Corp.	3.625%	9/1/49		2,250			2,284
NIKE Inc.	3.625%	5/1/43		1,700			1,853
NIKE Inc.	3.875%	11/1/45		3,316			3,773
NIKE Inc.	3.375%	11/1/46		2,200			2,320
Nordstrom Inc.	4.375%	4/1/30		1,400			1,426
Nordstrom Inc.	5.000%	1/15/44		2,924			2,837
QVC Inc.	5.450%	8/15/34		1,300			1,242
Starbucks Corp.	4.300%	6/15/45		1,585			1,753
Starbucks Corp.	3.750%	12/1/47		1,425			1,459
Starbucks Corp.	4.500%	11/15/48		3,350			3,846
Starbucks Corp.	4.450%	8/15/49		2,400			2,767
Target Corp.	6.350%	11/1/32		1,119			1,564
Target Corp.	6.500%	10/15/37		1,162			1,720
Target Corp.	7.000%	1/15/38		2,194			3,406
Target Corp.	4.000%	7/1/42		3,908			4,471
Target Corp.	3.625%	4/15/46		3,025			3,307
Target Corp.	3.900%	11/15/47		2,850			3,271
VF Corp.	6.450%	11/1/37		1,140			1,584
Visa Inc.	4.150%	12/14/35		4,768			5,620
Visa Inc.	4.300%	12/14/45		11,414			14,055
Visa Inc.	3.650%	9/15/47		2,423			2,717
Walgreen Co.	4.400%	9/15/42		1,639			1,627
Walgreens Boots Alliance Inc.	4.500%	11/18/34		1,750			1,801
Walgreens Boots Alliance Inc.	4.800%	11/18/44		4,575			4,655
Walgreens Boots Alliance Inc.	4.650%	6/1/46		1,265			1,268
Walmart Inc.	7.550%	2/15/30		2,299			3,327
Walmart Inc.	5.250%	9/1/35		6,531			8,562
Walmart Inc.	6.200%	4/15/38		5,852			8,521
Walmart Inc.	3.950%	6/28/38		3,278			3,806
Walmart Inc.	5.625%	4/1/40		2,243			3,112
Walmart Inc.	4.875%	7/8/40		1,590			2,011
Walmart Inc.	5.000%	10/25/40		2,015			2,622
Walmart Inc.	5.625%	4/15/41		2,785			3,969
Walmart Inc.	4.000%	4/11/43		1,776			2,044

86

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Walmart Inc.	4.300%	4/22/44		1,769			2,114
	Walmart Inc.	3.625%	12/15/47		3,280			3,630
	Walmart Inc.	4.050%	6/29/48		9,740			11,469
	Walmart Inc.	2.950%	9/24/49		1,800			1,762
	Western Union Co.	6.200%	11/17/36		1,675			1,899
	Consumer Noncyclical (9.6%)
	Abbott Laboratories	4.750%	11/30/36		7,070			8,810
	Abbott Laboratories	6.150%	11/30/37		2,078			2,910
	Abbott Laboratories	6.000%	4/1/39		1,845			2,624
	Abbott Laboratories	5.300%	5/27/40		968			1,263
	Abbott Laboratories	4.750%	4/15/43		1,925			2,418
	Abbott Laboratories	4.900%	11/30/46		9,009			11,763
	AbbVie Inc.	4.500%	5/14/35		7,235			8,133
	AbbVie Inc.	4.300%	5/14/36		3,531			3,876
3	AbbVie Inc.	4.050%	11/21/39		7,000			7,314
	AbbVie Inc.	4.400%	11/6/42		9,503			10,245
	AbbVie Inc.	4.700%	5/14/45		11,815			13,189
	AbbVie Inc.	4.450%	5/14/46		6,710			7,223
	AbbVie Inc.	4.875%	11/14/48		6,150			7,061
3	AbbVie Inc.	4.250%	11/21/49		15,000			15,790
	Adventist Health System	3.630%	3/1/49		925			900
	Advocate Health & Hospitals Corp.	4.272%	8/15/48		1,450			1,650
	Advocate Health & Hospitals Corp.	3.387%	10/15/49		1,100			1,096
	AHS Hospital Corp.	5.024%	7/1/45		1,450			1,798
	Allergan Finance LLC	4.625%	10/1/42		4,325			4,501
	Allergan Funding SCS	4.550%	3/15/35		4,832			5,131
	Allergan Funding SCS	4.850%	6/15/44		3,400			3,775
	Allergan Funding SCS	4.750%	3/15/45		225			245
	Allina Health System	3.887%	4/15/49		1,000			1,064
	Altria Group Inc.	5.800%	2/14/39		5,575			6,519
	Altria Group Inc.	4.250%	8/9/42		1,786			1,776
	Altria Group Inc.	4.500%	5/2/43		2,807			2,849
	Altria Group Inc.	5.375%	1/31/44		4,690			5,281
	Altria Group Inc.	3.875%	9/16/46		5,431			5,044
	Altria Group Inc.	5.950%	2/14/49		7,700			9,310
	Altria Group Inc.	6.200%	2/14/59		1,635			1,932
	AmerisourceBergen Corp.	4.250%	3/1/45		1,510			1,534
	AmerisourceBergen Corp.	4.300%	12/15/47		1,620			1,661
	Amgen Inc.	6.400%	2/1/39		1,575			2,091
	Amgen Inc.	4.950%	10/1/41		2,645			3,141
	Amgen Inc.	5.150%	11/15/41		4,760			5,757
	Amgen Inc.	4.400%	5/1/45		8,511			9,540
	Amgen Inc.	4.563%	6/15/48		3,927			4,530
	Amgen Inc.	4.663%	6/15/51		10,003			11,762
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev World wide Inc.	4.900%	2/1/46		29,444			34,866
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36		19,289			22,245
	Anheuser-Busch InBev Finance Inc.	4.700%	2/1/36		2,746			3,168
	Anheuser-Busch InBev Finance Inc.	4.000%	1/17/43		3,003			3,167
	Anheuser-Busch InBev Finance Inc.	4.625%	2/1/44		5,175			5,829
	Anheuser-Busch InBev Finance Inc.	4.900%	2/1/46		7,165			8,450
	Anheuser-Busch InBev Worldwide Inc.	4.900%	1/23/31		1,450			1,725
	Anheuser-Busch InBev Worldwide Inc.	5.875%	6/15/35		850			1,053
	Anheuser-Busch InBev Worldwide Inc.	4.375%	4/15/38		4,500			5,046
	Anheuser-Busch InBev Worldwide Inc.	8.200%	1/15/39		1,280			2,006
	Anheuser-Busch InBev Worldwide Inc.	5.450%	1/23/39		3,470			4,363
	Anheuser-Busch InBev Worldwide Inc.	8.000%	11/15/39		2,684			4,171
	Anheuser-Busch InBev Worldwide Inc.	4.950%	1/15/42		7,206			8,492
	Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42		3,620			3,664
	Anheuser-Busch InBev Worldwide Inc.	4.600%	4/15/48		8,500			9,660
	Anheuser-Busch InBev Worldwide Inc.	4.439%	10/6/48		6,577			7,349
	Anheuser-Busch InBev Worldwide Inc.	5.550%	1/23/49		10,064			13,044

87

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Anheuser-Busch InBev Worldwide Inc.	4.750%	4/15/58		4,465			5,212
	Anheuser-Busch InBev Worldwide Inc.	5.800%	1/23/59		2,450			3,339
	Archer-Daniels-Midland Co.	5.935%	10/1/32		1,265			1,655
	Archer-Daniels-Midland Co.	5.375%	9/15/35		1,640			2,072
	Archer-Daniels-Midland Co.	4.535%	3/26/42		1,215			1,442
	Archer-Daniels-Midland Co.	4.016%	4/16/43		2,110			2,337
	Archer-Daniels-Midland Co.	3.750%	9/15/47		2,200			2,396
	Archer-Daniels-Midland Co.	4.500%	3/15/49		1,625			1,982
	Ascension Health	2.532%	11/15/29		13			13
	Ascension Health	3.106%	11/15/39		900			885
	Ascension Health	3.945%	11/15/46		3,790			4,189
2	Ascension Health	4.847%	11/15/53		1,379			1,736
	AstraZeneca plc	6.450%	9/15/37		7,982			11,174
	AstraZeneca plc	4.000%	9/18/42		4,225			4,660
	AstraZeneca plc	4.375%	11/16/45		2,152			2,520
	AstraZeneca plc	4.375%	8/17/48		2,000			2,380
	BAT Capital Corp.	4.390%	8/15/37		7,920			8,028
	BAT Capital Corp.	4.540%	8/15/47		5,650			5,649
	BAT Capital Corp.	4.758%	9/6/49		2,750			2,837
	Baxalta Inc.	5.250%	6/23/45		1,550			1,975
	Baxter International Inc.	3.500%	8/15/46		1,500			1,449
	Baylor Scott & White Holdings	4.185%	11/15/45		1,545			1,725
	Baylor Scott & White Holdings	3.967%	11/15/46		1,285			1,390
	Becton Dickinson & Co.	4.685%	12/15/44		3,212			3,727
	Becton Dickinson & Co.	4.669%	6/6/47		4,005			4,741
	Biogen Inc.	5.200%	9/15/45		4,636			5,575
	Boston Scientific Corp.	7.000%	11/15/35		1,405			1,961
	Boston Scientific Corp.	4.550%	3/1/39		3,000			3,519
	Boston Scientific Corp.	7.375%	1/15/40		605			922
	Boston Scientific Corp.	4.700%	3/1/49		3,325			4,024
3	Bristol-Myers Squibb Co.	4.125%	6/15/39		5,890			6,792
	Bristol-Myers Squibb Co.	3.250%	8/1/42		415			417
3	Bristol-Myers Squibb Co.	5.250%	8/15/43		3,875			4,937
	Bristol-Myers Squibb Co.	4.500%	3/1/44		1,639			1,925
3	Bristol-Myers Squibb Co.	4.625%	5/15/44		2,656			3,195
3	Bristol-Myers Squibb Co.	5.000%	8/15/45		6,362			8,036
3	Bristol-Myers Squibb Co.	4.350%	11/15/47		4,484			5,334
3	Bristol-Myers Squibb Co.	4.550%	2/20/48		4,448			5,461
3	Bristol-Myers Squibb Co.	4.250%	10/26/49		11,170			13,165
	Brown-Forman Corp.	4.500%	7/15/45		1,750			2,151
	Campbell Soup Co.	3.800%	8/2/42		1,000			979
	Campbell Soup Co.	4.800%	3/15/48		1,350			1,560
	Cardinal Health Inc.	4.600%	3/15/43		1,135			1,133
	Cardinal Health Inc.	4.500%	11/15/44		1,950			1,918
	Cardinal Health Inc.	4.900%	9/15/45		1,291			1,337
	Cardinal Health Inc.	4.368%	6/15/47		857			848
	Children's Hospital Corp.	4.115%	1/1/47		1,000			1,136
	Children's Hospital Medical Center	4.268%	5/15/44		975			1,094
	Church & Dwight Co. Inc.	3.950%	8/1/47		1,325			1,443
	Cigna Corp.	4.800%	8/15/38		8,050			9,264
3	Cigna Corp.	6.125%	11/15/41		1,220			1,539
3	Cigna Corp.	4.800%	7/15/46		6,590			7,583
3	Cigna Corp.	3.875%	10/15/47		1,330			1,336
	Cigna Corp.	4.900%	12/15/48		5,085			6,029
	City of Hope	5.623%	11/15/43		1,125			1,488
	City of Hope	4.378%	8/15/48		1,005			1,154
	Cleveland Clinic Foundation	4.858%	1/1/14		1,315			1,634
	Coca-Cola Femsa SAB de CV	5.250%	11/26/43		2,075			2,553
	Colgate-Palmolive Co.	4.000%	8/15/45		1,095			1,303
	Colgate-Palmolive Co.	3.700%	8/1/47		1,760			2,024
2	CommonSpirit Health	4.350%	11/1/42		2,525			2,593
	CommonSpirit Health	3.817%	10/1/49		1,000			971
	CommonSpirit Health	4.187%	10/1/49		2,350			2,343
	Conagra Brands Inc.	8.250%	9/15/30		1,055			1,450

88

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Conagra Brands Inc.	5.300%	11/1/38		3,587			4,253
Conagra Brands Inc.	5.400%	11/1/48		3,000			3,652
Constellation Brands Inc.	4.500%	5/9/47		1,100			1,181
Constellation Brands Inc.	4.100%	2/15/48		1,850			1,932
Constellation Brands Inc.	5.250%	11/15/48		1,600			1,942
CVS Health Corp.	4.875%	7/20/35		1,400			1,595
CVS Health Corp.	4.780%	3/25/38		14,048			15,883
CVS Health Corp.	6.125%	9/15/39		2,925			3,752
CVS Health Corp.	5.300%	12/5/43		3,725			4,415
CVS Health Corp.	5.125%	7/20/45		12,525			14,748
CVS Health Corp.	5.050%	3/25/48		23,550			27,850
Danaher Corp.	4.375%	9/15/45		1,350			1,587
Dartmouth-Hitchcock Health	4.178%	8/1/48		1,025			1,134
DH Europe Finance II Sarl	3.250%	11/15/39		2,500			2,520
DH Europe Finance II Sarl	3.400%	11/15/49		3,000			3,066
Diageo Capital plc	5.875%	9/30/36		1,925			2,619
Diageo Capital plc	3.875%	4/29/43		750			826
Diageo Investment Corp.	7.450%	4/15/35		1,350			2,020
Diageo Investment Corp.	4.250%	5/11/42		1,702			1,962
Dignity Health	4.500%	11/1/42		1,050			1,092
Dignity Health	5.267%	11/1/64		950			1,085
Duke University Health System Inc.	3.920%	6/1/47		1,995			2,222
Eli Lilly & Co.	3.950%	3/15/49		5,425			6,247
Eli Lilly & Co.	4.150%	3/15/59		3,055			3,583
Estee Lauder Cos. Inc.	6.000%	5/15/37		1,100			1,511
Estee Lauder Cos. Inc.	4.375%	6/15/45		1,550			1,838
Estee Lauder Cos. Inc.	4.150%	3/15/47		1,350			1,570
Estee Lauder Cos. Inc.	3.125%	12/1/49		2,000			1,994
Fomento Economico Mexicano SAB de CV	4.375%	5/10/43		2,225			2,477
General Mills Inc.	4.550%	4/17/38		760			882
General Mills Inc.	5.400%	6/15/40		1,600			1,965
General Mills Inc.	4.150%	2/15/43		1,850			1,987
General Mills Inc.	4.700%	4/17/48		2,125			2,530
Gilead Sciences Inc.	4.600%	9/1/35		3,689			4,411
Gilead Sciences Inc.	4.000%	9/1/36		2,508			2,783
Gilead Sciences Inc.	5.650%	12/1/41		3,170			4,161
Gilead Sciences Inc.	4.800%	4/1/44		5,259			6,289
Gilead Sciences Inc.	4.500%	2/1/45		6,555			7,566
Gilead Sciences Inc.	4.750%	3/1/46		8,002			9,557
Gilead Sciences Inc.	4.150%	3/1/47		3,823			4,229
GlaxoSmithKline Capital Inc.	5.375%	4/15/34		1,625			2,072
GlaxoSmithKline Capital Inc.	6.375%	5/15/38		8,452			12,085
GlaxoSmithKline Capital Inc.	4.200%	3/18/43		1,487			1,725
Hackensack Meridian Health Inc.	4.211%	7/1/48		1,070			1,201
Hackensack Meridian Health Inc.	4.500%	7/1/57		1,000			1,176
Hasbro Inc.	6.350%	3/15/40		1,479			1,728
Hasbro Inc.	5.100%	5/15/44		925			920
HCA Inc.	5.125%	6/15/39		4,250			4,707
HCA Inc.	5.500%	6/15/47		5,725			6,612
HCA Inc.	5.250%	6/15/49		5,325			5,991
Hershey Co.	3.125%	11/15/49		1,550			1,528
Indiana University Health Inc. Obligated Group	3.970%	11/1/48		1,220			1,369
JM Smucker Co.	4.250%	3/15/35		1,525			1,654
JM Smucker Co.	4.375%	3/15/45		1,425			1,547
Johns Hopkins Health System Corp.	3.837%	5/15/46		1,225			1,339
Johnson & Johnson	4.950%	5/15/33		750			936
Johnson & Johnson	4.375%	12/5/33		2,602			3,093
Johnson & Johnson	3.550%	3/1/36		2,459			2,692
Johnson & Johnson	3.625%	3/3/37		4,379			4,829
Johnson & Johnson	5.950%	8/15/37		4,285			6,095
Johnson & Johnson	3.400%	1/15/38		3,008			3,218
Johnson & Johnson	5.850%	7/15/38		2,215			3,134
Johnson & Johnson	4.500%	9/1/40		1,404			1,706
Johnson & Johnson	4.850%	5/15/41		950			1,210

89

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Johnson & Johnson	4.500%	12/5/43		1,554			1,910
	Johnson & Johnson	3.700%	3/1/46		6,001			6,770
	Johnson & Johnson	3.750%	3/3/47		3,565			4,057
	Johnson & Johnson	3.500%	1/15/48		2,491			2,689
	Kaiser Foundation Hospitals	4.875%	4/1/42		2,141			2,624
	Kaiser Foundation Hospitals	4.150%	5/1/47		4,262			4,859
	Kaiser Foundation Hospitals	3.266%	11/1/49		2,900			2,909
	Kellogg Co.	7.450%	4/1/31		780			1,093
	Kellogg Co.	4.500%	4/1/46		3,484			3,880
	Keurig Dr Pepper Inc.	4.985%	5/25/38		1,775			2,092
	Keurig Dr Pepper Inc.	4.500%	11/15/45		3,120			3,404
	Keurig Dr Pepper Inc.	4.420%	12/15/46		1,175			1,268
	Kimberly-Clark Corp.	6.625%	8/1/37		1,425			2,099
	Kimberly-Clark Corp.	5.300%	3/1/41		1,619			2,128
	Kimberly-Clark Corp.	3.700%	6/1/43		980			1,014
	Kimberly-Clark Corp.	3.200%	7/30/46		2,175			2,193
	Koninklijke Ahold Delhaize NV	5.700%	10/1/40		824			1,006
	Koninklijke Philips NV	6.875%	3/11/38		2,325			3,258
	Koninklijke Philips NV	5.000%	3/15/42		1,560			1,865
	Kraft Foods Group Inc.	6.875%	1/26/39		3,636			4,546
	Kraft Foods Group Inc.	6.500%	2/9/40		4,198			5,087
3	Kraft Heinz Foods Co.	3.750%	4/1/30		3,075			3,159
	Kraft Heinz Foods Co.	5.000%	7/15/35		4,935			5,482
3	Kraft Heinz Foods Co.	4.625%	10/1/39		1,525			1,582
	Kraft Heinz Foods Co.	5.200%	7/15/45		6,475			6,992
	Kraft Heinz Foods Co.	4.375%	6/1/46		9,480			9,333
3	Kraft Heinz Foods Co.	4.875%	10/1/49		5,100			5,310
	Kroger Co.	8.000%	9/15/29		775			1,061
	Kroger Co.	7.500%	4/1/31		670			921
	Kroger Co.	6.900%	4/15/38		550			735
	Kroger Co.	5.400%	7/15/40		1,130			1,306
	Kroger Co.	5.000%	4/15/42		1,550			1,721
	Kroger Co.	5.150%	8/1/43		1,250			1,404
	Kroger Co.	3.875%	10/15/46		900			876
	Kroger Co.	4.450%	2/1/47		2,275			2,409
	Kroger Co.	4.650%	1/15/48		2,325			2,531
	Kroger Co.	5.400%	1/15/49		1,075			1,305
	Laboratory Corp. of America Holdings	4.700%	2/1/45		2,749			3,082
2	Mayo Clinic	3.774%	11/15/43		900			968
2	Mayo Clinic	4.000%	11/15/47		1,200			1,333
2	Mayo Clinic	4.128%	11/15/52		1,000			1,123
	McCormick & Co. Inc.	4.200%	8/15/47		925			1,011
	Mead Johnson Nutrition Co.	5.900%	11/1/39		1,580			2,117
	Mead Johnson Nutrition Co.	4.600%	6/1/44		1,721			2,066
	Medtronic Inc.	4.375%	3/15/35		6,958			8,211
	Medtronic Inc.	4.625%	3/15/45		5,714			7,156
	Memorial Health Services	3.447%	11/1/49		1,000			982
	Memorial Sloan-Kettering Cancer Center	5.000%	7/1/42		850			1,071
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52		1,270			1,464
	Memorial Sloan-Kettering Cancer Center	4.200%	7/1/55		2,025			2,350
	Merck & Co. Inc.	6.500%	12/1/33		3,245			4,570
	Merck & Co. Inc.	6.550%	9/15/37		1,100			1,591
	Merck & Co. Inc.	3.900%	3/7/39		3,350			3,824
	Merck & Co. Inc.	3.600%	9/15/42		2,329			2,512
	Merck & Co. Inc.	4.150%	5/18/43		2,309			2,728
	Merck & Co. Inc.	3.700%	2/10/45		6,055			6,691
	Merck & Co. Inc.	4.000%	3/7/49		4,650			5,412
	Molson Coors Brewing Co.	5.000%	5/1/42		3,318			3,612
	Molson Coors Brewing Co.	4.200%	7/15/46		5,537			5,510
	Mondelez International Inc.	4.625%	5/7/48		900			1,043
2	Montefiore Obligated Group	5.246%	11/1/48		1,650			1,851
2	Mount Sinai Hospitals Group Inc.	3.981%	7/1/48		1,050			1,082
2	Mount Sinai Hospitals Group Inc.	3.737%	7/1/49		1,450			1,437
	Mylan Inc.	5.400%	11/29/43		1,850			2,010

90

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Mylan Inc.	5.200%	4/15/48		1,675			1,854
	Mylan NV	5.250%	6/15/46		3,165			3,530
	New York & Presbyterian Hospital	4.024%	8/1/45		2,380			2,647
	New York & Presbyterian Hospital	4.063%	8/1/56		1,075			1,162
	New York & Presbyterian Hospital	3.954%	8/1/19		1,600			1,598
	Northwell Healthcare Inc.	3.979%	11/1/46		1,750			1,782
	Northwell Healthcare Inc.	4.260%	11/1/47		2,750			2,941
	Northwell Healthcare Inc.	3.809%	11/1/49		1,025			1,029
	Novartis Capital Corp.	3.700%	9/21/42		1,225			1,347
	Novartis Capital Corp.	4.400%	5/6/44		4,133			5,016
	Novartis Capital Corp.	4.000%	11/20/45		5,016			5,816
	NYU Hospitals Center	4.784%	7/1/44		1,150			1,377
2	NYU Hospitals Center	4.368%	7/1/47		1,200			1,340
	Orlando Health Obligated Group	4.089%	10/1/48		1,050			1,147
	Partners Healthcare System Inc.	4.117%	7/1/55		950			1,054
	PeaceHealth Obligated Group	4.787%	11/15/48		1,150			1,407
	PepsiCo Inc.	4.000%	3/5/42		3,528			4,014
	PepsiCo Inc.	3.600%	8/13/42		1,625			1,738
	PepsiCo Inc.	4.250%	10/22/44		2,708			3,184
	PepsiCo Inc.	4.600%	7/17/45		2,924			3,613
	PepsiCo Inc.	4.450%	4/14/46		4,680			5,751
	PepsiCo Inc.	3.450%	10/6/46		2,675			2,824
	PepsiCo Inc.	4.000%	5/2/47		3,220			3,717
	PepsiCo Inc.	3.375%	7/29/49		2,795			2,926
	PepsiCo Inc.	2.875%	10/15/49		2,950			2,823
	Perrigo Finance Unlimited Co.	4.900%	12/15/44		936			861
	Pfizer Inc.	4.000%	12/15/36		4,567			5,202
	Pfizer Inc.	4.100%	9/15/38		2,980			3,404
	Pfizer Inc.	3.900%	3/15/39		3,900			4,390
	Pfizer Inc.	7.200%	3/15/39		7,558			11,841
	Pfizer Inc.	4.300%	6/15/43		1,882			2,214
	Pfizer Inc.	4.400%	5/15/44		1,850			2,208
	Pfizer Inc.	4.125%	12/15/46		3,575			4,124
	Pfizer Inc.	4.200%	9/15/48		3,600			4,215
	Pfizer Inc.	4.000%	3/15/49		3,625			4,192
	Philip Morris International Inc.	6.375%	5/16/38		3,128			4,345
	Philip Morris International Inc.	4.375%	11/15/41		3,118			3,452
	Philip Morris International Inc.	4.500%	3/20/42		2,415			2,710
	Philip Morris International Inc.	3.875%	8/21/42		2,490			2,585
	Philip Morris International Inc.	4.125%	3/4/43		4,106			4,425
	Philip Morris International Inc.	4.875%	11/15/43		1,823			2,146
	Philip Morris International Inc.	4.250%	11/10/44		2,429			2,677
	Procter & Gamble Co.	5.500%	2/1/34		950			1,273
	Procter & Gamble Co.	5.800%	8/15/34		700			976
	Procter & Gamble Co.	3.500%	10/25/47		3,172			3,562
2	Providence St. Joseph Health Obligated Group	3.744%	10/1/47		1,395			1,455
2	Providence St. Joseph Health Obligated Group	3.930%	10/1/48		1,000			1,070
	Quest Diagnostics Inc.	2.950%	6/30/30		2,400			2,403
	Quest Diagnostics Inc.	4.700%	3/30/45		1,180			1,308
	Reynolds American Inc.	5.700%	8/15/35		2,452			2,828
	Reynolds American Inc.	7.250%	6/15/37		3,025			3,881
	Reynolds American Inc.	6.150%	9/15/43		2,000			2,328
	Reynolds American Inc.	5.850%	8/15/45		6,975			7,986
	RWJ Barnabas Health Inc.	3.949%	7/1/46		1,475			1,560
	RWJ Barnabas Health Inc.	3.477%	7/1/49		650			640
	Spectrum Health System Obligated Group	3.487%	7/15/49		1,075			1,074
	Stanford Health Care	3.795%	11/15/48		1,550			1,668
	Stryker Corp.	4.100%	4/1/43		1,320			1,421
	Stryker Corp.	4.375%	5/15/44		1,100			1,243
	Stryker Corp.	4.625%	3/15/46		3,425			4,115
	Sutter Health	4.091%	8/15/48		1,325			1,474
	Sysco Corp.	4.850%	10/1/45		1,525			1,831
	Sysco Corp.	4.500%	4/1/46		2,160			2,475
	Sysco Corp.	4.450%	3/15/48		1,700			1,940

91

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
2	Texas Health Resources	4.330%	11/15/55		1,000			1,170
	Thermo Fisher Scientific Inc.	5.300%	2/1/44		1,500			1,897
	Toledo Hospital	5.750%	11/15/38		2,600			2,975
	Trinity Health Corp.	4.125%	12/1/45		1,175			1,291
	Tyson Foods Inc.	4.875%	8/15/34		2,400			2,807
	Tyson Foods Inc.	5.150%	8/15/44		2,323			2,810
	Tyson Foods Inc.	4.550%	6/2/47		2,283			2,588
	Tyson Foods Inc.	5.100%	9/28/48		4,420			5,563
	Unilever Capital Corp.	5.900%	11/15/32		2,658			3,602
	Whirlpool Corp.	4.500%	6/1/46		800			827
2	Willis-Knighton Medical Center	4.813%	9/1/48		925			1,104
	Wyeth LLC	6.500%	2/1/34		2,616			3,653
	Wyeth LLC	6.000%	2/15/36		790			1,051
	Wyeth LLC	5.950%	4/1/37		5,480			7,462
	Zimmer Biomet Holdings Inc.	4.250%	8/15/35		413			413
	Zimmer Biomet Holdings Inc.	5.750%	11/30/39		870			1,032
	Zimmer Biomet Holdings Inc.	4.450%	8/15/45		975			1,021
	Zoetis Inc.	4.700%	2/1/43		3,866			4,586
	Zoetis Inc.	3.950%	9/12/47		1,371			1,487
	Zoetis Inc.	4.450%	8/20/48		950			1,109
	Energy (5.2%)
	Apache Corp.	7.750%	12/15/29		450			573
	Apache Corp.	5.100%	9/1/40		6,025			6,115
	Apache Corp.	5.250%	2/1/42		3,290			3,414
	Apache Corp.	4.750%	4/15/43		3,530			3,376
	Apache Corp.	4.250%	1/15/44		2,610			2,408
	Baker Hughes a GE Co. LLC	5.125%	9/15/40		3,071			3,618
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	4.080%	12/15/47		3,400			3,481
	Burlington Resources Finance Co.	7.200%	8/15/31		2,110			2,974
	Burlington Resources Finance Co.	7.400%	12/1/31		1,550			2,206
	Canadian Natural Resources Ltd.	7.200%	1/15/32		1,250			1,692
	Canadian Natural Resources Ltd.	6.450%	6/30/33		1,365			1,743
	Canadian Natural Resources Ltd.	5.850%	2/1/35		700			861
	Canadian Natural Resources Ltd.	6.500%	2/15/37		1,400			1,825
	Canadian Natural Resources Ltd.	6.250%	3/15/38		3,300			4,271
	Canadian Natural Resources Ltd.	6.750%	2/1/39		1,290			1,738
	Canadian Natural Resources Ltd.	4.950%	6/1/47		2,250			2,729
	Cenovus Energy Inc.	5.250%	6/15/37		3,125			3,435
	Cenovus Energy Inc.	6.750%	11/15/39		3,950			5,025
	Cenovus Energy Inc.	5.400%	6/15/47		3,075			3,590
	Columbia Pipeline Group Inc.	5.800%	6/1/45		1,700			2,154
	Concho Resources Inc.	4.875%	10/1/47		3,265			3,804
	Concho Resources Inc.	4.850%	8/15/48		2,350			2,720
	Conoco Funding Co.	7.250%	10/15/31		1,830			2,569
	ConocoPhillips	5.900%	10/15/32		1,770			2,312
	ConocoPhillips	5.900%	5/15/38		2,600			3,530
	ConocoPhillips	6.500%	2/1/39		8,085			11,715
	ConocoPhillips Canada Funding Co. I	5.950%	10/15/36		1,695			2,272
	ConocoPhillips Co.	4.300%	11/15/44		2,580			3,018
	ConocoPhillips Co.	5.950%	3/15/46		1,275			1,816
	Continental Resources Inc.	4.900%	6/1/44		2,375			2,532
	Devon Energy Corp.	7.950%	4/15/32		1,100			1,557
	Devon Energy Corp.	5.600%	7/15/41		3,429			4,164
	Devon Energy Corp.	4.750%	5/15/42		3,552			3,975
	Devon Energy Corp.	5.000%	6/15/45		2,092			2,411
	Devon Financing Co. LLC	7.875%	9/30/31		2,041			2,806
	Dominion Energy Gas Holdings LLC	4.800%	11/1/43		1,325			1,470
	Dominion Energy Gas Holdings LLC	4.600%	12/15/44		1,150			1,248
	Enable Midstream Partners LP	5.000%	5/15/44		1,600			1,438
	Enbridge Energy Partners LP	7.500%	4/15/38		1,181			1,687
	Enbridge Energy Partners LP	5.500%	9/15/40		1,675			1,978
	Enbridge Energy Partners LP	7.375%	10/15/45		2,195			3,261

92

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Enbridge Inc.	4.500%	6/10/44		1,575			1,728
Enbridge Inc.	4.000%	11/15/49		1,000			1,041
Encana Corp.	8.125%	9/15/30		1,329			1,672
Encana Corp.	7.375%	11/1/31		2,440			2,981
Encana Corp.	6.500%	8/15/34		2,665			3,127
Encana Corp.	6.625%	8/15/37		1,400			1,657
Encana Corp.	6.500%	2/1/38		1,500			1,761
Energy Transfer Operating LP	6.250%	4/15/49		4,600			5,536
Energy Transfer Partners LP	4.900%	3/15/35		1,852			1,934
Energy Transfer Partners LP	6.625%	10/15/36		1,226			1,456
Energy Transfer Partners LP	5.800%	6/15/38		1,800			2,031
Energy Transfer Partners LP	7.500%	7/1/38		1,505			1,917
Energy Transfer Partners LP	6.050%	6/1/41		2,400			2,692
Energy Transfer Partners LP	6.500%	2/1/42		3,305			3,927
Energy Transfer Partners LP	5.150%	2/1/43		1,299			1,335
Energy Transfer Partners LP	5.950%	10/1/43		1,500			1,662
Energy Transfer Partners LP	5.150%	3/15/45		1,766			1,856
Energy Transfer Partners LP	6.125%	12/15/45		3,500			4,048
Energy Transfer Partners LP	5.300%	4/15/47		2,945			3,145
Energy Transfer Partners LP	6.000%	6/15/48		4,500			5,221
Enterprise Products Operating LLC	6.875%	3/1/33		1,500			2,044
Enterprise Products Operating LLC	6.650%	10/15/34		1,245			1,689
Enterprise Products Operating LLC	7.550%	4/15/38		1,175			1,690
Enterprise Products Operating LLC	6.125%	10/15/39		2,185			2,839
Enterprise Products Operating LLC	5.950%	2/1/41		2,953			3,801
Enterprise Products Operating LLC	5.700%	2/15/42		2,525			3,221
Enterprise Products Operating LLC	4.850%	8/15/42		2,380			2,742
Enterprise Products Operating LLC	4.450%	2/15/43		3,645			3,983
Enterprise Products Operating LLC	4.850%	3/15/44		3,063			3,545
Enterprise Products Operating LLC	5.100%	2/15/45		4,370			5,231
Enterprise Products Operating LLC	4.900%	5/15/46		2,400			2,812
Enterprise Products Operating LLC	4.250%	2/15/48		5,400			5,823
Enterprise Products Operating LLC	4.800%	2/1/49		2,640			3,096
Enterprise Products Operating LLC	4.200%	1/31/50		3,805			4,082
Enterprise Products Operating LLC	4.950%	10/15/54		1,867			2,160
EOG Resources Inc.	3.900%	4/1/35		2,487			2,761
EQM Midstream Partners LP	6.500%	7/15/48		1,660			1,560
Exxon Mobil Corp.	2.995%	8/16/39		2,600			2,605
Exxon Mobil Corp.	3.567%	3/6/45		3,200			3,424
Exxon Mobil Corp.	4.114%	3/1/46		5,781			6,766
Exxon Mobil Corp.	3.095%	8/16/49		6,075			6,024
Halliburton Co.	4.850%	11/15/35		3,200			3,610
Halliburton Co.	6.700%	9/15/38		4,449			5,868
Halliburton Co.	4.500%	11/15/41		1,575			1,682
Halliburton Co.	4.750%	8/1/43		3,395			3,731
Halliburton Co.	5.000%	11/15/45		6,115			6,961
Hess Corp.	7.300%	8/15/31		795			1,005
Hess Corp.	7.125%	3/15/33		1,850			2,343
Hess Corp.	6.000%	1/15/40		2,522			2,971
Hess Corp.	5.600%	2/15/41		3,975			4,643
Hess Corp.	5.800%	4/1/47		1,600			1,948
Husky Energy Inc.	6.800%	9/15/37		1,250			1,638
Kinder Morgan Energy Partners LP	7.400%	3/15/31		475			621
Kinder Morgan Energy Partners LP	7.750%	3/15/32		500			681
Kinder Morgan Energy Partners LP	7.300%	8/15/33		1,749			2,310
Kinder Morgan Energy Partners LP	5.800%	3/15/35		1,500			1,776
Kinder Morgan Energy Partners LP	6.500%	2/1/37		1,690			2,106
Kinder Morgan Energy Partners LP	6.950%	1/15/38		4,194			5,540
Kinder Morgan Energy Partners LP	6.500%	9/1/39		1,870			2,363
Kinder Morgan Energy Partners LP	6.550%	9/15/40		1,300			1,650
Kinder Morgan Energy Partners LP	6.375%	3/1/41		1,915			2,375
Kinder Morgan Energy Partners LP	5.625%	9/1/41		1,400			1,615
Kinder Morgan Energy Partners LP	5.000%	8/15/42		2,075			2,249
Kinder Morgan Energy Partners LP	4.700%	11/1/42		1,750			1,850

93

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Kinder Morgan Energy Partners LP	5.000%	3/1/43		1,425			1,558
	Kinder Morgan Energy Partners LP	5.500%	3/1/44		2,463			2,837
	Kinder Morgan Energy Partners LP	5.400%	9/1/44		1,945			2,214
	Kinder Morgan Inc.	7.800%	8/1/31		1,875			2,564
	Kinder Morgan Inc.	7.750%	1/15/32		2,725			3,734
	Kinder Morgan Inc.	5.300%	12/1/34		2,496			2,942
	Kinder Morgan Inc.	5.550%	6/1/45		3,680			4,403
	Kinder Morgan Inc.	5.050%	2/15/46		2,640			2,953
	Kinder Morgan Inc.	5.200%	3/1/48		2,785			3,209
	Magellan Midstream Partners LP	5.150%	10/15/43		2,665			3,103
	Magellan Midstream Partners LP	4.250%	9/15/46		1,675			1,773
	Magellan Midstream Partners LP	4.200%	10/3/47		2,505			2,636
	Magellan Midstream Partners LP	3.950%	3/1/50		1,000			1,026
	Marathon Oil Corp.	6.800%	3/15/32		1,900			2,409
	Marathon Oil Corp.	6.600%	10/1/37		2,690			3,420
	Marathon Oil Corp.	5.200%	6/1/45		1,500			1,739
	Marathon Petroleum Corp.	6.500%	3/1/41		3,063			3,965
	Marathon Petroleum Corp.	4.750%	9/15/44		2,555			2,779
	Marathon Petroleum Corp.	4.500%	4/1/48		2,100			2,214
	Marathon Petroleum Corp.	5.000%	9/15/54		2,000			2,153
	MPLX LP	4.500%	4/15/38		7,030			7,149
	MPLX LP	5.200%	3/1/47		2,440			2,620
3	MPLX LP	5.200%	12/1/47		1,725			1,811
	MPLX LP	4.700%	4/15/48		3,885			3,917
	MPLX LP	5.500%	2/15/49		4,500			5,098
	MPLX LP	4.900%	4/15/58		2,025			2,060
	National Oilwell Varco Inc.	3.950%	12/1/42		3,375			3,168
	Noble Energy Inc.	6.000%	3/1/41		2,575			3,080
	Noble Energy Inc.	5.250%	11/15/43		2,905			3,273
	Noble Energy Inc.	5.050%	11/15/44		3,316			3,655
	Noble Energy Inc.	4.950%	8/15/47		1,725			1,915
	Noble Energy Inc.	4.200%	10/15/49		125			126
	Occidental Petroleum Corp.	7.500%	5/1/31		2,281			2,960
	Occidental Petroleum Corp.	7.875%	9/15/31		2,750			3,643
	Occidental Petroleum Corp.	6.450%	9/15/36		3,540			4,311
	Occidental Petroleum Corp.	7.950%	6/15/39		1,050			1,442
	Occidental Petroleum Corp.	4.300%	8/15/39		500			507
	Occidental Petroleum Corp.	6.200%	3/15/40		2,600			3,093
	Occidental Petroleum Corp.	4.500%	7/15/44		1,250			1,249
	Occidental Petroleum Corp.	4.625%	6/15/45		2,750			2,812
	Occidental Petroleum Corp.	6.600%	3/15/46		3,617			4,690
	Occidental Petroleum Corp.	4.400%	4/15/46		3,800			3,838
	Occidental Petroleum Corp.	4.100%	2/15/47		3,122			3,025
	Occidental Petroleum Corp.	4.200%	3/15/48		2,825			2,795
	Occidental Petroleum Corp.	4.400%	8/15/49		1,950			2,007
	ONEOK Inc.	6.000%	6/15/35		1,335			1,555
	ONEOK Inc.	4.950%	7/13/47		2,100			2,298
	ONEOK Inc.	5.200%	7/15/48		2,275			2,577
	ONEOK Inc.	4.450%	9/1/49		2,050			2,105
	ONEOK Partners LP	6.650%	10/1/36		2,550			3,218
	ONEOK Partners LP	6.850%	10/15/37		950			1,219
	ONEOK Partners LP	6.125%	2/1/41		2,100			2,520
	ONEOK Partners LP	6.200%	9/15/43		1,325			1,597
	Petro-Canada	5.350%	7/15/33		1,450			1,788
	Petro-Canada	5.950%	5/15/35		2,000			2,597
	Petro-Canada	6.800%	5/15/38		3,860			5,499
	Phillips 66	4.650%	11/15/34		3,031			3,536
	Phillips 66	5.875%	5/1/42		3,180			4,294
	Phillips 66	4.875%	11/15/44		4,850			5,842
	Phillips 66 Partners LP	4.680%	2/15/45		1,640			1,766
	Phillips 66 Partners LP	4.900%	10/1/46		2,000			2,235
	Plains All American Pipeline LP / PAA Finance Corp.	6.650%	1/15/37		2,300			2,706
	Plains All American Pipeline LP / PAA Finance Corp.	5.150%	6/1/42		1,111			1,112
	Plains All American Pipeline LP / PAA Finance Corp.	4.300%	1/31/43		1,055			962

94

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Plains All American Pipeline LP / PAA Finance Corp.	4.700%	6/15/44		2,400			2,331
	Plains All American Pipeline LP / PAA Finance Corp.	4.900%	2/15/45		1,677			1,663
	Shell International Finance BV	4.125%	5/11/35		4,667			5,447
	Shell International Finance BV	6.375%	12/15/38		8,704			12,700
	Shell International Finance BV	5.500%	3/25/40		2,245			3,039
	Shell International Finance BV	3.625%	8/21/42		2,257			2,411
	Shell International Finance BV	4.550%	8/12/43		4,340			5,238
	Shell International Finance BV	4.375%	5/11/45		8,177			9,737
	Shell International Finance BV	4.000%	5/10/46		7,451			8,487
	Shell International Finance BV	3.750%	9/12/46		3,014			3,296
	Shell International Finance BV	3.125%	11/7/49		3,100			3,056
	Spectra Energy Partners LP	5.950%	9/25/43		1,357			1,688
	Spectra Energy Partners LP	4.500%	3/15/45		2,250			2,473
	Suncor Energy Inc.	7.150%	2/1/32		880			1,229
	Suncor Energy Inc.	5.950%	12/1/34		1,506			1,962
	Suncor Energy Inc.	6.500%	6/15/38		2,255			3,131
	Suncor Energy Inc.	6.850%	6/1/39		2,760			3,989
	Suncor Energy Inc.	4.000%	11/15/47		1,500			1,629
	Sunoco Logistics Partners Operations LP	6.100%	2/15/42		1,240			1,360
	Sunoco Logistics Partners Operations LP	4.950%	1/15/43		1,050			1,042
	Sunoco Logistics Partners Operations LP	5.300%	4/1/44		2,717			2,863
	Sunoco Logistics Partners Operations LP	5.350%	5/15/45		2,495			2,659
	Sunoco Logistics Partners Operations LP	5.400%	10/1/47		2,782			3,004
	Tennessee Gas Pipeline Co. LLC	7.625%	4/1/37		1,085			1,436
	Texas Eastern Transmission LP	7.000%	7/15/32		1,425			1,910
	Total Capital International SA	2.829%	1/10/30		3,775			3,870
	Total Capital International SA	3.461%	7/12/49		3,190			3,354
	TransCanada PipeLines Ltd.	4.625%	3/1/34		4,772			5,453
	TransCanada PipeLines Ltd.	5.600%	3/31/34		700			847
	TransCanada PipeLines Ltd.	5.850%	3/15/36		1,250			1,514
	TransCanada PipeLines Ltd.	6.200%	10/15/37		2,313			2,998
	TransCanada PipeLines Ltd.	4.750%	5/15/38		2,725			3,111
	TransCanada PipeLines Ltd.	7.625%	1/15/39		2,905			4,314
	TransCanada PipeLines Ltd.	6.100%	6/1/40		4,075			5,289
	TransCanada PipeLines Ltd.	5.000%	10/16/43		2,222			2,576
	TransCanada PipeLines Ltd.	4.875%	5/15/48		4,050			4,757
	TransCanada PipeLines Ltd.	5.100%	3/15/49		2,925			3,540
	Transcontinental Gas Pipe Line Co. LLC	5.400%	8/15/41		1,475			1,712
	Transcontinental Gas Pipe Line Co. LLC	4.450%	8/1/42		1,245			1,307
	Transcontinental Gas Pipe Line Co. LLC	4.600%	3/15/48		1,300			1,385
	Valero Energy Corp.	7.500%	4/15/32		2,000			2,777
	Valero Energy Corp.	6.625%	6/15/37		4,900			6,484
	Valero Energy Corp.	4.900%	3/15/45		2,075			2,395
	Western Midstream Operating LP	5.450%	4/1/44		2,750			2,394
	Western Midstream Operating LP	5.300%	3/1/48		1,200			1,030
	Western Midstream Operating LP	5.500%	8/15/48		1,040			927
	Williams Cos. Inc.	7.500%	1/15/31		1,120			1,475
	Williams Cos. Inc.	6.300%	4/15/40		4,565			5,658
	Williams Cos. Inc.	5.800%	11/15/43		1,225			1,459
	Williams Cos. Inc.	5.400%	3/4/44		1,654			1,855
	Williams Cos. Inc.	5.750%	6/24/44		2,125			2,505
	Williams Cos. Inc.	4.900%	1/15/45		1,950			2,103
	Williams Cos. Inc.	5.100%	9/15/45		3,150			3,502
	Williams Cos. Inc.	4.850%	3/1/48		1,230			1,349
	Other Industrial (0.3%)
2	American University	3.672%	4/1/49		1,375			1,470
2	Boston University	4.061%	10/1/48		875			1,003
	California Institute of Technology	4.321%	8/1/45		1,100			1,312
	California Institute of Technology	4.700%	11/1/11		1,355			1,645
	California Institute of Technology	3.650%	9/1/19		1,350			1,305
2	Johns Hopkins University	4.083%	7/1/53		1,225			1,415
	Leland Stanford Junior University	3.647%	5/1/48		1,925			2,151
2	Massachusetts Institute of Technology	3.959%	7/1/38		1,250			1,400

95

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Massachusetts Institute of Technology	2.989%	7/1/50		1,025			1,015
	Massachusetts Institute of Technology	5.600%	7/1/11		3,000			4,581
	Massachusetts Institute of Technology	4.678%	7/1/14		1,050			1,354
	Massachusetts Institute of Technology	3.885%	7/1/16		1,160			1,263
2	Northwestern University	4.643%	12/1/44		1,875			2,330
2	Northwestern University	3.662%	12/1/57		570			629
	President & Fellows of Harvard College	3.619%	10/1/37		900			957
	President & Fellows of Harvard College	4.875%	10/15/40		1,115			1,419
	President & Fellows of Harvard College	3.150%	7/15/46		2,550			2,587
2	Trustees of Boston College	3.129%	7/1/52		1,200			1,165
2	University of Chicago	4.003%	10/1/53		1,250			1,422
2	University of Notre Dame du Lac	3.438%	2/15/45		1,400			1,488
	University of Notre Dame du Lac	3.394%	2/15/48		1,400			1,488
	University of Pennsylvania	4.674%	9/1/12		1,050			1,374
	University of Pennsylvania	3.610%	2/15/19		1,200			1,227
2	University of Southern California	3.028%	10/1/39		2,995			3,007
2	William Marsh Rice University	3.574%	5/15/45		2,540			2,709
	Technology (3.5%)
	Amphenol Corp.	2.800%	2/15/30		2,350			2,314
	Analog Devices Inc.	5.300%	12/15/45		1,040			1,266
	Apple Inc.	4.500%	2/23/36		3,700			4,487
	Apple Inc.	3.850%	5/4/43		8,831			9,865
	Apple Inc.	4.450%	5/6/44		3,850			4,706
	Apple Inc.	3.450%	2/9/45		6,050			6,352
	Apple Inc.	4.375%	5/13/45		6,707			8,074
	Apple Inc.	4.650%	2/23/46		10,944			13,668
	Apple Inc.	3.850%	8/4/46		6,782			7,611
	Apple Inc.	4.250%	2/9/47		3,695			4,382
	Apple Inc.	3.750%	9/12/47		3,349			3,693
	Apple Inc.	3.750%	11/13/47		2,828			3,134
	Apple Inc.	2.950%	9/11/49		4,600			4,470
	Applied Materials Inc.	5.100%	10/1/35		1,600			2,017
	Applied Materials Inc.	5.850%	6/15/41		2,300			3,136
	Applied Materials Inc.	4.350%	4/1/47		2,900			3,498
	Cisco Systems Inc.	5.900%	2/15/39		6,024			8,445
	Cisco Systems Inc.	5.500%	1/15/40		4,550			6,196
	Corning Inc.	4.700%	3/15/37		1,700			1,872
	Corning Inc.	5.750%	8/15/40		1,663			2,071
	Corning Inc.	5.350%	11/15/48		2,200			2,742
	Corning Inc.	4.375%	11/15/57		3,370			3,393
	Corning Inc.	5.450%	11/15/79		3,100			3,398
3	Dell International LLC / EMC Corp.	8.100%	7/15/36		4,125			5,410
3	Dell International LLC / EMC Corp.	8.350%	7/15/46		6,400			8,771
	Fiserv Inc.	4.400%	7/1/49		6,150			6,973
	Global Payments Inc.	4.150%	8/15/49		500			534
	Hewlett Packard Enterprise Co.	6.200%	10/15/35		1,067			1,277
	Hewlett Packard Enterprise Co.	6.350%	10/15/45		6,405			7,718
	HP Inc.	6.000%	9/15/41		3,825			4,217
	Intel Corp.	4.000%	12/15/32		2,647			3,065
	Intel Corp.	4.800%	10/1/41		3,000			3,712
	Intel Corp.	4.250%	12/15/42		725			844
	Intel Corp.	4.900%	7/29/45		1,400			1,790
	Intel Corp.	4.100%	5/19/46		5,238			6,021
	Intel Corp.	4.100%	5/11/47		4,775			5,470
	Intel Corp.	3.734%	12/8/47		6,230			6,808
	Intel Corp.	3.250%	11/15/49		3,000			3,004
	International Business Machines Corp.	5.875%	11/29/32		2,150			2,838
	International Business Machines Corp.	4.150%	5/15/39		7,905			8,878
	International Business Machines Corp.	5.600%	11/30/39		2,300			2,996
	International Business Machines Corp.	4.000%	6/20/42		5,152			5,679
	International Business Machines Corp.	4.250%	5/15/49		10,908			12,405
	Juniper Networks Inc.	5.950%	3/15/41		1,280			1,440
	KLA Corp.	5.000%	3/15/49		575			703

96

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Lam Research Corp.	4.875%	3/15/49		3,155			3,935
	Micron Technology Inc.	4.663%	2/15/30		2,300			2,530
	Microsoft Corp.	3.500%	2/12/35		4,914			5,405
	Microsoft Corp.	4.200%	11/3/35		4,009			4,729
	Microsoft Corp.	3.450%	8/8/36		7,050			7,708
	Microsoft Corp.	4.100%	2/6/37		7,599			8,952
	Microsoft Corp.	4.500%	10/1/40		5,450			6,752
	Microsoft Corp.	3.500%	11/15/42		4,975			5,402
	Microsoft Corp.	3.750%	5/1/43		1,693			1,871
	Microsoft Corp.	4.875%	12/15/43		1,575			2,055
	Microsoft Corp.	3.750%	2/12/45		5,239			5,945
	Microsoft Corp.	4.450%	11/3/45		9,074			11,303
	Microsoft Corp.	3.700%	8/8/46		14,315			16,153
	Microsoft Corp.	4.250%	2/6/47		6,919			8,444
	Microsoft Corp.	4.000%	2/12/55		10,594			12,521
	Microsoft Corp.	4.750%	11/3/55		775			1,037
	Microsoft Corp.	3.950%	8/8/56		7,193			8,508
	Microsoft Corp.	4.500%	2/6/57		5,725			7,410
	Motorola Solutions Inc.	5.500%	9/1/44		1,275			1,399
	Oracle Corp.	3.250%	5/15/30		1,304			1,384
	Oracle Corp.	4.300%	7/8/34		5,949			6,946
	Oracle Corp.	3.900%	5/15/35		4,366			4,856
	Oracle Corp.	3.850%	7/15/36		2,415			2,643
	Oracle Corp.	3.800%	11/15/37		3,741			4,074
	Oracle Corp.	6.125%	7/8/39		5,000			6,989
	Oracle Corp.	5.375%	7/15/40		9,747			12,632
	Oracle Corp.	4.500%	7/8/44		2,550			3,007
	Oracle Corp.	4.125%	5/15/45		6,600			7,417
	Oracle Corp.	4.000%	7/15/46		9,245			10,253
	Oracle Corp.	4.000%	11/15/47		7,050			7,873
	Oracle Corp.	4.375%	5/15/55		3,315			3,920
	QUALCOMM Inc.	4.650%	5/20/35		3,645			4,313
	QUALCOMM Inc.	4.800%	5/20/45		5,281			6,456
	QUALCOMM Inc.	4.300%	5/20/47		3,750			4,302
	Seagate HDD Cayman	5.750%	12/1/34		1,800			1,894
	Texas Instruments Inc.	3.875%	3/15/39		3,100			3,485
	Texas Instruments Inc.	4.150%	5/15/48		5,000			5,908
	Tyco Electronics Group SA	7.125%	10/1/37		1,500			2,204
	Verisk Analytics Inc.	5.500%	6/15/45		1,175			1,448
	Transportation (1.8%)
2	American Airlines 2019-1 Class AA Pass Through Trust	3.150%	8/15/33		1,000			1,015
	Burlington Northern Santa Fe LLC	6.200%	8/15/36		1,090			1,507
	Burlington Northern Santa Fe LLC	6.150%	5/1/37		1,670			2,345
	Burlington Northern Santa Fe LLC	5.750%	5/1/40		2,257			3,048
	Burlington Northern Santa Fe LLC	5.050%	3/1/41		2,112			2,623
	Burlington Northern Santa Fe LLC	5.400%	6/1/41		1,307			1,684
	Burlington Northern Santa Fe LLC	4.950%	9/15/41		1,375			1,682
	Burlington Northern Santa Fe LLC	4.400%	3/15/42		3,085			3,564
	Burlington Northern Santa Fe LLC	4.375%	9/1/42		2,480			2,880
	Burlington Northern Santa Fe LLC	4.450%	3/15/43		3,166			3,685
	Burlington Northern Santa Fe LLC	5.150%	9/1/43		2,010			2,562
	Burlington Northern Santa Fe LLC	4.900%	4/1/44		1,575			1,949
	Burlington Northern Santa Fe LLC	4.550%	9/1/44		2,893			3,449
	Burlington Northern Santa Fe LLC	4.150%	4/1/45		3,630			4,172
	Burlington Northern Santa Fe LLC	4.700%	9/1/45		1,867			2,274
	Burlington Northern Santa Fe LLC	3.900%	8/1/46		2,936			3,213
	Burlington Northern Santa Fe LLC	4.125%	6/15/47		2,943			3,325
	Burlington Northern Santa Fe LLC	4.050%	6/15/48		1,000			1,127
	Burlington Northern Santa Fe LLC	4.150%	12/15/48		2,015			2,300
	Burlington Northern Santa Fe LLC	3.550%	2/15/50		1,975			2,048
	Canadian National Railway Co.	6.250%	8/1/34		2,170			2,995
	Canadian National Railway Co.	6.200%	6/1/36		1,332			1,839
	Canadian National Railway Co.	6.375%	11/15/37		515			735

97

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Canadian National Railway Co.	3.200%	8/2/46		2,575			2,617
	Canadian National Railway Co.	3.650%	2/3/48		2,500			2,727
	Canadian Pacific Railway Co.	7.125%	10/15/31		1,015			1,407
	Canadian Pacific Railway Co.	5.750%	3/15/33		1,075			1,347
	Canadian Pacific Railway Co.	4.800%	9/15/35		1,119			1,333
	Canadian Pacific Railway Co.	5.950%	5/15/37		250			331
	Canadian Pacific Railway Co.	4.800%	8/1/45		1,345			1,679
	Canadian Pacific Railway Co.	6.125%	9/15/15		2,875			4,188
	CSX Corp.	2.400%	2/15/30		1,500			1,464
	CSX Corp.	6.000%	10/1/36		1,370			1,780
	CSX Corp.	6.150%	5/1/37		2,630			3,483
	CSX Corp.	6.220%	4/30/40		2,230			3,025
	CSX Corp.	5.500%	4/15/41		2,010			2,524
	CSX Corp.	4.750%	5/30/42		1,867			2,186
	CSX Corp.	4.400%	3/1/43		1,275			1,422
	CSX Corp.	4.100%	3/15/44		2,600			2,822
	CSX Corp.	3.800%	11/1/46		2,000			2,073
	CSX Corp.	4.300%	3/1/48		2,925			3,288
	CSX Corp.	4.750%	11/15/48		2,456			2,969
	CSX Corp.	4.500%	3/15/49		600			695
	CSX Corp.	3.950%	5/1/50		1,775			1,915
	CSX Corp.	4.500%	8/1/54		1,700			1,949
	CSX Corp.	4.250%	11/1/66		2,060			2,202
	CSX Corp.	4.650%	3/1/68		1,155			1,317
	FedEx Corp.	4.900%	1/15/34		2,125			2,403
	FedEx Corp.	3.900%	2/1/35		1,495			1,510
	FedEx Corp.	3.875%	8/1/42		1,430			1,375
	FedEx Corp.	4.100%	4/15/43		2,200			2,150
	FedEx Corp.	5.100%	1/15/44		1,598			1,749
	FedEx Corp.	4.100%	2/1/45		1,745			1,678
	FedEx Corp.	4.750%	11/15/45		3,983			4,193
	FedEx Corp.	4.550%	4/1/46		2,628			2,686
	FedEx Corp.	4.400%	1/15/47		2,184			2,195
	FedEx Corp.	4.050%	2/15/48		3,825			3,671
	FedEx Corp.	4.950%	10/17/48		2,850			3,097
2	JetBlue 2019-1 Class AA Pass Through Trust	2.750%	5/15/32		2,000			2,015
	Kansas City Southern	4.300%	5/15/43		1,615			1,756
	Kansas City Southern	4.950%	8/15/45		2,060			2,415
	Kansas City Southern	4.700%	5/1/48		1,545			1,786
	Kansas City Southern	4.200%	11/15/69		650			663
	Norfolk Southern Corp.	2.550%	11/1/29		1			1
	Norfolk Southern Corp.	7.050%	5/1/37		345			483
	Norfolk Southern Corp.	4.837%	10/1/41		2,048			2,424
	Norfolk Southern Corp.	3.950%	10/1/42		1,635			1,732
	Norfolk Southern Corp.	4.450%	6/15/45		1,990			2,281
	Norfolk Southern Corp.	4.650%	1/15/46		1,910			2,249
	Norfolk Southern Corp.	3.942%	11/1/47		743			796
	Norfolk Southern Corp.	4.150%	2/28/48		2,545			2,871
	Norfolk Southern Corp.	4.100%	5/15/49		1,715			1,884
	Norfolk Southern Corp.	3.400%	11/1/49		1,000			989
	Norfolk Southern Corp.	4.050%	8/15/52		2,071			2,272
	Norfolk Southern Corp.	6.000%	3/15/05		1,305			1,721
	Norfolk Southern Corp.	5.100%	8/1/18		925			1,088
	Union Pacific Corp.	3.375%	2/1/35		675			696
	Union Pacific Corp.	3.600%	9/15/37		3,528			3,676
	Union Pacific Corp.	4.375%	9/10/38		1,970			2,247
	Union Pacific Corp.	3.550%	8/15/39		100			104
	Union Pacific Corp.	4.300%	6/15/42		150			167
	Union Pacific Corp.	4.250%	4/15/43		1,700			1,883
	Union Pacific Corp.	4.150%	1/15/45		1,425			1,561
	Union Pacific Corp.	4.050%	11/15/45		2,240			2,418
	Union Pacific Corp.	4.050%	3/1/46		1,300			1,416
	Union Pacific Corp.	3.350%	8/15/46		1,800			1,758
	Union Pacific Corp.	4.000%	4/15/47		2,100			2,291

98

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Union Pacific Corp.	4.300%	3/1/49		2,900			3,318
	Union Pacific Corp.	3.799%	10/1/51		3,471			3,681
	Union Pacific Corp.	3.875%	2/1/55		1,685			1,763
	Union Pacific Corp.	4.800%	9/10/58		100			117
3	Union Pacific Corp.	3.839%	3/20/60		4,857			4,859
	Union Pacific Corp.	4.375%	11/15/65		1,950			2,138
	Union Pacific Corp.	4.100%	9/15/67		2,500			2,575
2	Union Pacific Railroad Co. 2007-3 Pass Through Trust	6.176%	1/2/31		474			554
2	United Airlines 2018-1 Class AA Pass Through Trust	3.500%	3/1/30		2,586			2,669
2	United Airlines 2019-1 Class AA Pass Through Trust	4.150%	8/25/31		2,200			2,374
2	United Airlines 2019-2 Class AA Pass Through Trust	2.700%	11/1/33		1,250			1,249
	United Parcel Service Inc.	6.200%	1/15/38		1,097			1,539
	United Parcel Service Inc.	4.875%	11/15/40		3,145			3,821
	United Parcel Service Inc.	3.625%	10/1/42		2,972			3,072
	United Parcel Service Inc.	3.400%	11/15/46		1,660			1,659
	United Parcel Service Inc.	3.750%	11/15/47		2,794			2,996
	United Parcel Service Inc.	4.250%	3/15/49		3,495			4,042
	United Parcel Service Inc.	3.400%	9/1/49		1,625			1,646
	United Parcel Service of America Inc.	8.375%	4/1/30		550			776
								4,315,122
Utilities (6.0%)
	Electric (5.4%)
	AEP Texas Inc.	3.800%	10/1/47		1,000			1,046
	AEP Texas Inc.	4.150%	5/1/49		500			554
	AEP Texas Inc.	3.450%	1/15/50		1,365			1,364
	AEP Transmission Co. LLC	4.000%	12/1/46		1,250			1,379
	AEP Transmission Co. LLC	3.750%	12/1/47		1,595			1,709
	AEP Transmission Co. LLC	4.250%	9/15/48		1,085			1,244
	AEP Transmission Co. LLC	3.800%	6/15/49		1,000			1,070
	AEP Transmission Co. LLC	3.150%	9/15/49		1,080			1,046
	Alabama Power Co.	6.125%	5/15/38		1,710			2,306
	Alabama Power Co.	6.000%	3/1/39		1,563			2,168
	Alabama Power Co.	3.850%	12/1/42		1,344			1,429
	Alabama Power Co.	4.150%	8/15/44		1,830			2,033
	Alabama Power Co.	3.750%	3/1/45		1,742			1,827
	Alabama Power Co.	4.300%	1/2/46		1,675			1,906
	Alabama Power Co.	3.700%	12/1/47		1,845			1,933
	Alabama Power Co.	4.300%	7/15/48		1,825			2,102
	Ameren Illinois Co.	4.150%	3/15/46		1,752			1,993
	Ameren Illinois Co.	3.700%	12/1/47		2,570			2,723
	Ameren Illinois Co.	4.500%	3/15/49		880			1,081
	Ameren Illinois Co.	3.250%	3/15/50		315			318
	Appalachian Power Co.	7.000%	4/1/38		1,468			2,056
	Appalachian Power Co.	4.400%	5/15/44		1,460			1,641
	Appalachian Power Co.	4.450%	6/1/45		1,208			1,381
	Appalachian Power Co.	4.500%	3/1/49		1,075			1,247
	Arizona Public Service Co.	5.050%	9/1/41		1,380			1,679
	Arizona Public Service Co.	4.500%	4/1/42		1,740			2,001
	Arizona Public Service Co.	4.350%	11/15/45		875			992
	Arizona Public Service Co.	3.750%	5/15/46		1,445			1,503
	Arizona Public Service Co.	4.200%	8/15/48		1,350			1,500
	Arizona Public Service Co.	4.250%	3/1/49		750			846
	Avista Corp.	4.350%	6/1/48		1,300			1,470
	Baltimore Gas & Electric Co.	3.500%	8/15/46		1,775			1,812
	Baltimore Gas & Electric Co.	3.750%	8/15/47		2,475			2,639
	Baltimore Gas & Electric Co.	4.250%	9/15/48		1,175			1,360
	Baltimore Gas & Electric Co.	3.200%	9/15/49		1,875			1,834
	Berkshire Hathaway Energy Co.	6.125%	4/1/36		5,335			7,343
	Berkshire Hathaway Energy Co.	5.950%	5/15/37		2,875			3,884
	Berkshire Hathaway Energy Co.	5.150%	11/15/43		1,315			1,652
	Berkshire Hathaway Energy Co.	4.500%	2/1/45		2,151			2,532
	Berkshire Hathaway Energy Co.	3.800%	7/15/48		1,975			2,093
	Berkshire Hathaway Energy Co.	4.450%	1/15/49		3,325			3,897

99

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Black Hills Corp.	4.350%	5/1/33		1,900			2,082
Black Hills Corp.	4.200%	9/15/46		1,045			1,087
CenterPoint Energy Houston Electric LLC	6.950%	3/15/33		955			1,346
CenterPoint Energy Houston Electric LLC	3.550%	8/1/42		1,825			1,882
CenterPoint Energy Houston Electric LLC	4.500%	4/1/44		1,225			1,447
CenterPoint Energy Houston Electric LLC	3.950%	3/1/48		2,125			2,357
CenterPoint Energy Houston Electric LLC	4.250%	2/1/49		1,036			1,213
CenterPoint Energy Inc.	2.950%	3/1/30		1,350			1,327
CenterPoint Energy Inc.	3.700%	9/1/49		200			197
Cleco Corporate Holdings LLC	4.973%	5/1/46		1,175			1,302
Cleveland Electric Illuminating Co.	5.950%	12/15/36		1,219			1,522
CMS Energy Corp.	4.875%	3/1/44		1,604			1,909
Commonwealth Edison Co.	5.900%	3/15/36		1,970			2,609
Commonwealth Edison Co.	6.450%	1/15/38		1,705			2,422
Commonwealth Edison Co.	3.800%	10/1/42		1,550			1,662
Commonwealth Edison Co.	4.600%	8/15/43		1,165			1,384
Commonwealth Edison Co.	4.700%	1/15/44		1,450			1,749
Commonwealth Edison Co.	3.700%	3/1/45		1,360			1,446
Commonwealth Edison Co.	4.350%	11/15/45		2,345			2,722
Commonwealth Edison Co.	3.650%	6/15/46		2,450			2,570
Commonwealth Edison Co.	3.750%	8/15/47		2,175			2,348
Commonwealth Edison Co.	4.000%	3/1/48		3,300			3,673
Commonwealth Edison Co.	4.000%	3/1/49		845			950
Commonwealth Edison Co.	3.200%	11/15/49		500			496
Connecticut Light & Power Co.	4.300%	4/15/44		2,600			3,052
Connecticut Light & Power Co.	4.000%	4/1/48		2,445			2,801
Consolidated Edison Co. of New York Inc.	5.300%	3/1/35		995			1,220
Consolidated Edison Co. of New York Inc.	5.850%	3/15/36		870			1,131
Consolidated Edison Co. of New York Inc.	6.200%	6/15/36		1,320			1,774
Consolidated Edison Co. of New York Inc.	6.300%	8/15/37		1,805			2,483
Consolidated Edison Co. of New York Inc.	6.750%	4/1/38		2,275			3,252
Consolidated Edison Co. of New York Inc.	5.500%	12/1/39		1,550			2,008
Consolidated Edison Co. of New York Inc.	5.700%	6/15/40		1,080			1,414
Consolidated Edison Co. of New York Inc.	4.200%	3/15/42		1,135			1,259
Consolidated Edison Co. of New York Inc.	3.950%	3/1/43		2,000			2,161
Consolidated Edison Co. of New York Inc.	4.450%	3/15/44		3,649			4,201
Consolidated Edison Co. of New York Inc.	4.500%	12/1/45		2,000			2,333
Consolidated Edison Co. of New York Inc.	3.850%	6/15/46		2,725			2,923
Consolidated Edison Co. of New York Inc.	3.875%	6/15/47		1,750			1,888
Consolidated Edison Co. of New York Inc.	4.650%	12/1/48		1,505			1,829
Consolidated Edison Co. of New York Inc.	4.125%	5/15/49		285			322
Consolidated Edison Co. of New York Inc.	4.625%	12/1/54		2,151			2,571
Consolidated Edison Co. of New York Inc.	4.300%	12/1/56		1,900			2,137
Consolidated Edison Co. of New York Inc.	4.000%	11/15/57		1,275			1,345
Consolidated Edison Co. of New York Inc.	4.500%	5/15/58		2,275			2,631
Consumers Energy Co.	3.950%	5/15/43		1,405			1,556
Consumers Energy Co.	3.250%	8/15/46		1,850			1,837
Consumers Energy Co.	3.950%	7/15/47		1,135			1,275
Consumers Energy Co.	4.050%	5/15/48		1,314			1,504
Consumers Energy Co.	4.350%	4/15/49		2,225			2,686
Consumers Energy Co.	3.750%	2/15/50		50			55
Consumers Energy Co.	3.100%	8/15/50		800			802
Delmarva Power & Light Co.	4.150%	5/15/45		1,300			1,452
Dominion Energy Inc.	6.300%	3/15/33		1,000			1,300
Dominion Energy Inc.	5.250%	8/1/33		2,010			2,413
Dominion Energy Inc.	5.950%	6/15/35		1,240			1,564
Dominion Energy Inc.	4.900%	8/1/41		1,925			2,235
Dominion Energy Inc.	4.050%	9/15/42		820			859
Dominion Energy Inc.	4.700%	12/1/44		1,620			1,861
Dominion Energy Inc.	4.600%	3/15/49		1,605			1,863
Dominion Energy South Carolina Inc.	6.625%	2/1/32		1,000			1,348
Dominion Energy South Carolina Inc.	5.300%	5/15/33		1,000			1,241
Dominion Energy South Carolina Inc.	6.050%	1/15/38		1,775			2,388
Dominion Energy South Carolina Inc.	5.450%	2/1/41		1,065			1,373

100

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Dominion Energy South Carolina Inc.	4.600%	6/15/43		1,330			1,568
Dominion Energy South Carolina Inc.	5.100%	6/1/65		1,215			1,578
DTE Electric Co.	4.000%	4/1/43		1,510			1,681
DTE Electric Co.	3.700%	3/15/45		2,850			3,060
DTE Electric Co.	3.700%	6/1/46		2,050			2,202
DTE Electric Co.	3.750%	8/15/47		1,450			1,577
DTE Electric Co.	4.050%	5/15/48		2,400			2,752
DTE Electric Co.	3.950%	3/1/49		200			228
DTE Energy Co.	2.950%	3/1/30		920			910
DTE Energy Co.	6.375%	4/15/33		1,005			1,310
Duke Energy Carolinas LLC	6.450%	10/15/32		1,078			1,471
Duke Energy Carolinas LLC	6.100%	6/1/37		1,756			2,378
Duke Energy Carolinas LLC	6.050%	4/15/38		1,205			1,653
Duke Energy Carolinas LLC	5.300%	2/15/40		3,165			4,074
Duke Energy Carolinas LLC	4.250%	12/15/41		2,020			2,300
Duke Energy Carolinas LLC	4.000%	9/30/42		2,475			2,726
Duke Energy Carolinas LLC	3.750%	6/1/45		1,700			1,814
Duke Energy Carolinas LLC	3.875%	3/15/46		1,650			1,828
Duke Energy Carolinas LLC	3.700%	12/1/47		1,950			2,087
Duke Energy Carolinas LLC	3.950%	3/15/48		2,000			2,210
Duke Energy Carolinas LLC	3.200%	8/15/49		800			789
Duke Energy Corp.	4.800%	12/15/45		1,875			2,214
Duke Energy Corp.	3.750%	9/1/46		5,599			5,719
Duke Energy Corp.	4.200%	6/15/49		2,000			2,186
Duke Energy Florida LLC	6.350%	9/15/37		1,530			2,123
Duke Energy Florida LLC	6.400%	6/15/38		829			1,179
Duke Energy Florida LLC	5.650%	4/1/40		1,400			1,839
Duke Energy Florida LLC	3.850%	11/15/42		1,805			1,941
Duke Energy Florida LLC	3.400%	10/1/46		2,175			2,202
Duke Energy Florida LLC	4.200%	7/15/48		1,600			1,840
Duke Energy Indiana LLC	6.120%	10/15/35		1,206			1,589
Duke Energy Indiana LLC	6.350%	8/15/38		1,915			2,690
Duke Energy Indiana LLC	6.450%	4/1/39		950			1,350
Duke Energy Indiana LLC	4.900%	7/15/43		1,680			2,077
Duke Energy Indiana LLC	3.750%	5/15/46		1,900			2,023
Duke Energy Indiana LLC	3.250%	10/1/49		500			501
Duke Energy Ohio Inc.	3.700%	6/15/46		1,275			1,344
Duke Energy Ohio Inc.	4.300%	2/1/49		1,375			1,604
Duke Energy Progress LLC	6.300%	4/1/38		1,055			1,456
Duke Energy Progress LLC	4.100%	5/15/42		1,625			1,805
Duke Energy Progress LLC	4.100%	3/15/43		1,245			1,386
Duke Energy Progress LLC	4.375%	3/30/44		925			1,073
Duke Energy Progress LLC	4.150%	12/1/44		1,914			2,144
Duke Energy Progress LLC	4.200%	8/15/45		2,739			3,097
Duke Energy Progress LLC	3.700%	10/15/46		1,681			1,770
Duke Energy Progress LLC	3.600%	9/15/47		1,700			1,770
El Paso Electric Co.	6.000%	5/15/35		725			887
El Paso Electric Co.	5.000%	12/1/44		1,424			1,667
Emera US Finance LP	4.750%	6/15/46		2,943			3,397
Entergy Arkansas LLC	4.200%	4/1/49		50			58
Entergy Louisiana LLC	3.050%	6/1/31		1,105			1,130
Entergy Louisiana LLC	4.000%	3/15/33		2,703			3,034
Entergy Louisiana LLC	4.950%	1/15/45		1,491			1,606
Entergy Louisiana LLC	4.200%	9/1/48		2,100			2,423
Entergy Louisiana LLC	4.200%	4/1/50		645			749
Entergy Mississippi LLC	3.850%	6/1/49		1,400			1,520
Entergy Texas Inc.	4.500%	3/30/39		500			571
Entergy Texas Inc.	3.550%	9/30/49		1,850			1,886
Exelon Corp.	4.950%	6/15/35		1,035			1,193
Exelon Corp.	5.625%	6/15/35		1,993			2,460
Exelon Corp.	5.100%	6/15/45		1,617			1,936
Exelon Corp.	4.450%	4/15/46		2,182			2,461
Exelon Generation Co. LLC	6.250%	10/1/39		306			370
Exelon Generation Co. LLC	5.600%	6/15/42		3,353			3,741

101

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	FirstEnergy Corp.	7.375%	11/15/31		4,786			6,731
	FirstEnergy Corp.	4.850%	7/15/47		4,106			4,874
	Florida Power & Light Co.	5.625%	4/1/34		1,779			2,332
	Florida Power & Light Co.	4.950%	6/1/35		1,005			1,230
	Florida Power & Light Co.	5.650%	2/1/37		1,343			1,793
	Florida Power & Light Co.	5.950%	2/1/38		2,140			2,929
	Florida Power & Light Co.	5.960%	4/1/39		1,830			2,575
	Florida Power & Light Co.	5.690%	3/1/40		1,415			1,913
	Florida Power & Light Co.	5.250%	2/1/41		1,650			2,129
	Florida Power & Light Co.	4.125%	2/1/42		1,975			2,242
	Florida Power & Light Co.	4.050%	6/1/42		2,067			2,327
	Florida Power & Light Co.	3.800%	12/15/42		1,705			1,874
	Florida Power & Light Co.	4.050%	10/1/44		1,582			1,811
	Florida Power & Light Co.	3.700%	12/1/47		1,200			1,321
	Florida Power & Light Co.	3.950%	3/1/48		2,235			2,527
	Florida Power & Light Co.	4.125%	6/1/48		2,100			2,437
	Florida Power & Light Co.	3.990%	3/1/49		1,000			1,140
	Florida Power & Light Co.	3.150%	10/1/49		2,250			2,242
	Georgia Power Co.	4.750%	9/1/40		2,570			2,910
	Georgia Power Co.	4.300%	3/15/42		2,385			2,582
	Georgia Power Co.	4.300%	3/15/43		1,210			1,305
	Iberdrola International BV	6.750%	7/15/36		1,565			2,163
	Indiana Michigan Power Co.	6.050%	3/15/37		1,590			2,089
	Indiana Michigan Power Co.	4.550%	3/15/46		1,830			2,130
	Indiana Michigan Power Co.	3.750%	7/1/47		1,915			2,001
	Indiana Michigan Power Co.	4.250%	8/15/48		825			938
	Interstate Power & Light Co.	6.250%	7/15/39		1,764			2,319
	Interstate Power & Light Co.	3.700%	9/15/46		650			663
	ITC Holdings Corp.	5.300%	7/1/43		1,425			1,738
2	John Sevier Combined Cycle Generation LLC	4.626%	1/15/42		2,520			2,931
	Kansas City Power & Light Co.	5.300%	10/1/41		1,275			1,609
	Kansas City Power & Light Co.	4.200%	6/15/47		810			929
	Kansas City Power & Light Co.	4.200%	3/15/48		1,300			1,493
	Kansas City Power & Light Co.	4.125%	4/1/49		1,175			1,347
	Kentucky Utilities Co.	5.125%	11/1/40		2,565			3,191
	Kentucky Utilities Co.	4.375%	10/1/45		1,425			1,649
	Louisville Gas & Electric Co.	4.250%	4/1/49		2,455			2,798
	MidAmerican Energy Co.	6.750%	12/30/31		865			1,205
	MidAmerican Energy Co.	5.750%	11/1/35		955			1,254
	MidAmerican Energy Co.	5.800%	10/15/36		655			862
	MidAmerican Energy Co.	4.800%	9/15/43		1,415			1,729
	MidAmerican Energy Co.	4.400%	10/15/44		1,320			1,550
	MidAmerican Energy Co.	4.250%	5/1/46		1,569			1,853
	MidAmerican Energy Co.	3.950%	8/1/47		1,625			1,801
	MidAmerican Energy Co.	3.650%	8/1/48		2,274			2,452
	MidAmerican Energy Co.	4.250%	7/15/49		2,296			2,752
	Mississippi Power Co.	4.250%	3/15/42		1,325			1,412
	National Rural Utilities Cooperative Finance Corp.	8.000%	3/1/32		1,125			1,660
	National Rural Utilities Cooperative Finance Corp.	4.023%	11/1/32		2,950			3,325
	National Rural Utilities Cooperative Finance Corp.	4.400%	11/1/48		1,500			1,786
	National Rural Utilities Cooperative Finance Corp.	4.300%	3/15/49		2,000			2,373
	Nevada Power Co.	6.650%	4/1/36		775			1,062
	Nevada Power Co.	6.750%	7/1/37		970			1,369
	Northern States Power Co.	6.250%	6/1/36		900			1,235
	Northern States Power Co.	6.200%	7/1/37		1,250			1,729
	Northern States Power Co.	5.350%	11/1/39		1,150			1,497
	Northern States Power Co.	4.125%	5/15/44		1,100			1,267
	Northern States Power Co.	4.000%	8/15/45		1,910			2,119
	Northern States Power Co.	3.600%	5/15/46		1,475			1,556
	Northern States Power Co.	2.900%	3/1/50		2,050			1,955
	NorthWestern Corp.	4.176%	11/15/44		1,480			1,627
	NSTAR Electric Co.	5.500%	3/15/40		1,290			1,646
	NSTAR Electric Co.	4.400%	3/1/44		810			933
	Oglethorpe Power Corp.	5.950%	11/1/39		1,165			1,453

102

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Oglethorpe Power Corp.	5.375%	11/1/40		1,830			2,207
Oglethorpe Power Corp.	5.250%	9/1/50		440			527
Ohio Edison Co.	6.875%	7/15/36		1,360			1,898
Ohio Power Co.	4.150%	4/1/48		1,410			1,607
Ohio Power Co.	4.000%	6/1/49		1,525			1,713
Oklahoma Gas & Electric Co.	4.150%	4/1/47		1,000			1,081
Oklahoma Gas & Electric Co.	3.850%	8/15/47		1,220			1,265
Oncor Electric Delivery Co. LLC	7.000%	5/1/32		1,570			2,230
Oncor Electric Delivery Co. LLC	7.250%	1/15/33		1,140			1,657
Oncor Electric Delivery Co. LLC	7.500%	9/1/38		1,023			1,603
Oncor Electric Delivery Co. LLC	5.250%	9/30/40		1,440			1,837
Oncor Electric Delivery Co. LLC	4.550%	12/1/41		1,270			1,497
Oncor Electric Delivery Co. LLC	5.300%	6/1/42		1,665			2,159
Oncor Electric Delivery Co. LLC	3.750%	4/1/45		1,870			2,033
Oncor Electric Delivery Co. LLC	3.800%	9/30/47		1,080			1,188
Oncor Electric Delivery Co. LLC	4.100%	11/15/48		1,500			1,739
Oncor Electric Delivery Co. LLC	3.800%	6/1/49		1,625			1,778
Oncor Electric Delivery Co. LLC	3.100%	9/15/49		1,250			1,237
PacifiCorp	7.700%	11/15/31		1,000			1,470
PacifiCorp	5.250%	6/15/35		1,240			1,528
PacifiCorp	6.100%	8/1/36		670			900
PacifiCorp	5.750%	4/1/37		2,028			2,649
PacifiCorp	6.250%	10/15/37		1,649			2,309
PacifiCorp	6.350%	7/15/38		1,165			1,635
PacifiCorp	6.000%	1/15/39		2,400			3,270
PacifiCorp	4.100%	2/1/42		960			1,064
PacifiCorp	4.125%	1/15/49		2,115			2,410
PacifiCorp	4.150%	2/15/50		2,000			2,294
PECO Energy Co.	5.950%	10/1/36		1,140			1,539
PECO Energy Co.	3.700%	9/15/47		150			160
PECO Energy Co.	3.900%	3/1/48		1,400			1,551
PECO Energy Co.	3.000%	9/15/49		500			476
Potomac Electric Power Co.	6.500%	11/15/37		2,120			2,995
Potomac Electric Power Co.	4.150%	3/15/43		2,540			2,849
PPL Capital Funding Inc.	4.700%	6/1/43		1,281			1,419
PPL Capital Funding Inc.	5.000%	3/15/44		1,049			1,204
PPL Capital Funding Inc.	4.000%	9/15/47		1,050			1,068
PPL Electric Utilities Corp.	6.250%	5/15/39		565			789
PPL Electric Utilities Corp.	4.750%	7/15/43		150			180
PPL Electric Utilities Corp.	4.125%	6/15/44		870			972
PPL Electric Utilities Corp.	4.150%	10/1/45		1,525			1,715
PPL Electric Utilities Corp.	3.950%	6/1/47		2,100			2,301
PPL Electric Utilities Corp.	4.150%	6/15/48		1,800			2,057
Progress Energy Inc.	7.750%	3/1/31		2,315			3,236
Progress Energy Inc.	7.000%	10/30/31		125			169
Progress Energy Inc.	6.000%	12/1/39		1,725			2,238
PSEG Power LLC	8.625%	4/15/31		1,840			2,562
Public Service Co. of Colorado	6.500%	8/1/38		500			718
Public Service Co. of Colorado	3.600%	9/15/42		1,980			2,080
Public Service Co. of Colorado	4.300%	3/15/44		1,075			1,251
Public Service Co. of Colorado	3.800%	6/15/47		2,150			2,363
Public Service Co. of Colorado	4.100%	6/15/48		2,075			2,359
Public Service Co. of Colorado	4.050%	9/15/49		1,880			2,142
Public Service Co. of New Hampshire	3.600%	7/1/49		1,000			1,056
Public Service Electric & Gas Co.	5.800%	5/1/37		1,648			2,178
Public Service Electric & Gas Co.	3.950%	5/1/42		1,485			1,639
Public Service Electric & Gas Co.	3.650%	9/1/42		1,870			1,977
Public Service Electric & Gas Co.	3.800%	3/1/46		2,272			2,475
Public Service Electric & Gas Co.	3.600%	12/1/47		1,235			1,324
Public Service Electric & Gas Co.	4.050%	5/1/48		1,000			1,155
Public Service Electric & Gas Co.	3.850%	5/1/49		1,500			1,668
Puget Sound Energy Inc.	6.274%	3/15/37		995			1,343
Puget Sound Energy Inc.	5.757%	10/1/39		1,111			1,472
Puget Sound Energy Inc.	5.795%	3/15/40		800			1,067

103

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Puget Sound Energy Inc.	5.638%	4/15/41		1,015			1,314
Puget Sound Energy Inc.	4.300%	5/20/45		1,685			1,943
Puget Sound Energy Inc.	4.223%	6/15/48		2,025			2,297
Puget Sound Energy Inc.	3.250%	9/15/49		1,300			1,296
San Diego Gas & Electric Co.	6.000%	6/1/39		560			717
San Diego Gas & Electric Co.	4.500%	8/15/40		1,810			2,004
San Diego Gas & Electric Co.	3.750%	6/1/47		1,910			1,949
San Diego Gas & Electric Co.	4.150%	5/15/48		1,350			1,478
Southern California Edison Co.	6.000%	1/15/34		1,185			1,470
Southern California Edison Co.	5.750%	4/1/35		1,070			1,300
Southern California Edison Co.	5.350%	7/15/35		1,095			1,299
Southern California Edison Co.	5.625%	2/1/36		2,015			2,444
Southern California Edison Co.	5.550%	1/15/37		690			829
Southern California Edison Co.	5.950%	2/1/38		1,240			1,577
Southern California Edison Co.	6.050%	3/15/39		1,475			1,922
Southern California Edison Co.	5.500%	3/15/40		330			401
Southern California Edison Co.	4.500%	9/1/40		1,605			1,754
Southern California Edison Co.	4.050%	3/15/42		3,240			3,341
Southern California Edison Co.	3.900%	3/15/43		1,825			1,856
Southern California Edison Co.	4.650%	10/1/43		1,840			2,063
Southern California Edison Co.	3.600%	2/1/45		1,815			1,768
Southern California Edison Co.	4.000%	4/1/47		4,320			4,513
Southern California Edison Co.	4.125%	3/1/48		4,240			4,485
Southern California Edison Co.	4.875%	3/1/49		2,325			2,739
Southern Co.	4.250%	7/1/36		1,725			1,856
Southern Co.	4.400%	7/1/46		3,101			3,427
Southern Power Co.	5.150%	9/15/41		1,145			1,301
Southern Power Co.	5.250%	7/15/43		1,055			1,196
Southern Power Co.	4.950%	12/15/46		1,400			1,541
Southwestern Electric Power Co.	6.200%	3/15/40		810			1,069
Southwestern Electric Power Co.	3.900%	4/1/45		1,290			1,332
Southwestern Electric Power Co.	3.850%	2/1/48		1,355			1,393
Southwestern Public Service Co.	4.500%	8/15/41		1,196			1,395
Southwestern Public Service Co.	3.400%	8/15/46		2,400			2,392
Southwestern Public Service Co.	3.700%	8/15/47		1,025			1,072
Southwestern Public Service Co.	4.400%	11/15/48		1,650			1,925
Southwestern Public Service Co.	3.750%	6/15/49		825			879
Tampa Electric Co.	4.100%	6/15/42		1,325			1,442
Tampa Electric Co.	4.350%	5/15/44		685			775
Tampa Electric Co.	4.300%	6/15/48		1,500			1,737
Tampa Electric Co.	4.450%	6/15/49		575			681
Tampa Electric Co.	3.625%	6/15/50		900			953
Toledo Edison Co.	6.150%	5/15/37		685			925
Tucson Electric Power Co.	4.850%	12/1/48		1,205			1,470
Union Electric Co.	5.300%	8/1/37		1,490			1,853
Union Electric Co.	8.450%	3/15/39		1,240			2,021
Union Electric Co.	3.900%	9/15/42		1,600			1,731
Union Electric Co.	3.650%	4/15/45		1,035			1,084
Union Electric Co.	4.000%	4/1/48		1,200			1,344
Virginia Electric & Power Co.	6.000%	1/15/36		1,635			2,136
Virginia Electric & Power Co.	6.000%	5/15/37		2,280			3,021
Virginia Electric & Power Co.	6.350%	11/30/37		1,525			2,110
Virginia Electric & Power Co.	8.875%	11/15/38		1,845			3,109
Virginia Electric & Power Co.	4.000%	1/15/43		2,425			2,636
Virginia Electric & Power Co.	4.650%	8/15/43		1,510			1,812
Virginia Electric & Power Co.	4.450%	2/15/44		2,051			2,376
Virginia Electric & Power Co.	4.200%	5/15/45		1,023			1,165
Virginia Electric & Power Co.	4.000%	11/15/46		1,849			2,030
Virginia Electric & Power Co.	3.800%	9/15/47		1,825			1,973
Virginia Electric & Power Co.	4.600%	12/1/48		2,050			2,488
Virginia Electric & Power Co.	3.300%	12/1/49		1,665			1,678
Westar Energy Inc.	4.125%	3/1/42		1,305			1,454
Westar Energy Inc.	4.100%	4/1/43		1,865			2,076
Westar Energy Inc.	4.250%	12/1/45		1,530			1,742

104

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Wisconsin Electric Power Co.	5.625%	5/15/33		605			773
	Wisconsin Electric Power Co.	5.700%	12/1/36		725			945
	Wisconsin Electric Power Co.	4.300%	10/15/48		1,050			1,211
	Wisconsin Power & Light Co.	6.375%	8/15/37		890			1,212
	Wisconsin Public Service Corp.	3.671%	12/1/42		1,415			1,478
	Wisconsin Public Service Corp.	4.752%	11/1/44		1,619			1,975
	Xcel Energy Inc.	6.500%	7/1/36		500			682
	Xcel Energy Inc.	3.500%	12/1/49		425			433
	Natural Gas (0.5%)
	Atmos Energy Corp.	5.500%	6/15/41		1,425			1,832
	Atmos Energy Corp.	4.150%	1/15/43		2,010			2,250
	Atmos Energy Corp.	4.125%	10/15/44		4,255			4,770
	Atmos Energy Corp.	4.125%	3/15/49		900			1,034
	Atmos Energy Corp.	3.375%	9/15/49		500			505
	CenterPoint Energy Resources Corp.	5.850%	1/15/41		969			1,222
	CenterPoint Energy Resources Corp.	4.100%	9/1/47		1,100			1,151
	KeySpan Corp.	5.803%	4/1/35		1,000			1,209
	NiSource Finance Corp.	5.950%	6/15/41		1,535			1,961
	NiSource Finance Corp.	5.250%	2/15/43		2,250			2,724
	NiSource Finance Corp.	4.800%	2/15/44		2,175			2,494
	NiSource Finance Corp.	5.650%	2/1/45		1,050			1,341
	NiSource Finance Corp.	4.375%	5/15/47		3,555			3,966
	NiSource Finance Corp.	3.950%	3/30/48		1,352			1,420
	ONE Gas Inc.	4.658%	2/1/44		2,000			2,385
	ONE Gas Inc.	4.500%	11/1/48		900			1,072
	Piedmont Natural Gas Co. Inc.	4.650%	8/1/43		850			959
	Piedmont Natural Gas Co. Inc.	3.640%	11/1/46		1,075			1,062
	Sempra Energy	3.800%	2/1/38		3,055			3,180
	Sempra Energy	6.000%	10/15/39		2,626			3,410
	Sempra Energy	4.000%	2/1/48		3,135			3,255
	Southern California Gas Co.	5.125%	11/15/40		225			271
	Southern California Gas Co.	3.750%	9/15/42		1,550			1,618
	Southern California Gas Co.	4.125%	6/1/48		1,450			1,601
	Southern California Gas Co.	4.300%	1/15/49		600			679
	Southern California Gas Co.	3.950%	2/15/50		1,100			1,232
	Southern Co. Gas Capital Corp.	5.875%	3/15/41		2,420			3,049
	Southern Co. Gas Capital Corp.	4.400%	6/1/43		1,580			1,714
	Southern Co. Gas Capital Corp.	3.950%	10/1/46		975			996
	Southern Co. Gas Capital Corp.	4.400%	5/30/47		1,450			1,585
	Southwest Gas Corp.	3.800%	9/29/46		1,000			1,024
	Southwest Gas Corp.	4.150%	6/1/49		875			957
	Washington Gas Light Co.	3.796%	9/15/46		1,000			1,041
	Washington Gas Light Co.	3.650%	9/15/49		550			553
	Other Utility (0.1%)
	American Water Capital Corp.	6.593%	10/15/37		1,953			2,772
	American Water Capital Corp.	4.300%	12/1/42		1,300			1,456
	American Water Capital Corp.	4.300%	9/1/45		1,150			1,306
	American Water Capital Corp.	4.000%	12/1/46		425			460
	American Water Capital Corp.	3.750%	9/1/47		2,176			2,288
	American Water Capital Corp.	4.200%	9/1/48		2,850			3,213
	American Water Capital Corp.	4.150%	6/1/49		1,730			1,938
	Aqua America Inc.	4.276%	5/1/49		1,400			1,553
	Veolia Environnement SA	6.750%	6/1/38		522			719
								745,350
Total Corporate Bonds (Cost $5,415,623)								6,109,802
Sovereign Bonds (4.2%)
	CNOOC Finance 2013 Ltd.	4.250%	5/9/43		2,575			2,855
	CNOOC Finance 2013 Ltd.	3.300%	9/30/49		1,250			1,182
	CNOOC Finance 2015 Australia Pty Ltd.	4.200%	5/5/45		500			556
	CNOOC Nexen Finance 2014 ULC	4.875%	4/30/44		1,945			2,377
	Ecopetrol SA	7.375%	9/18/43		2,525			3,409

105

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Ecopetrol SA	5.875%	5/28/45		6,799			7,989
	Equinor ASA	5.100%	8/17/40		4,319			5,504
	Equinor ASA	4.250%	11/23/41		2,275			2,633
	Equinor ASA	3.950%	5/15/43		3,520			3,923
	Equinor ASA	4.800%	11/8/43		2,940			3,705
	Equinor ASA	3.250%	11/18/49		1,500			1,506
	European Investment Bank	4.875%	2/15/36		3,390			4,549
	Hydro-Quebec	9.375%	4/15/30		1,322			2,054
	Inter-American Development Bank	3.875%	10/28/41		1,580			1,938
	Inter-American Development Bank	3.200%	8/7/42		1,536			1,715
	Inter-American Development Bank	4.375%	1/24/44		958			1,267
	International Bank for Reconstruction & Development	4.750%	2/15/35		1,225			1,597
4	KFW	0.000%	4/18/36		4,595			3,136
4	KFW	0.000%	6/29/37		3,690			2,457
	Nexen Energy ULC	7.875%	3/15/32		1,550			2,235
	Nexen Energy ULC	5.875%	3/10/35		2,069			2,629
	Nexen Energy ULC	6.400%	5/15/37		1,630			2,242
	Nexen Energy ULC	7.500%	7/30/39		3,039			4,724
2	Oriental Republic of Uruguay	4.375%	1/23/31		1,950			2,182
2	Oriental Republic of Uruguay	7.625%	3/21/36		3,690			5,461
2	Oriental Republic of Uruguay	4.125%	11/20/45		2,750			2,953
2	Oriental Republic of Uruguay	5.100%	6/18/50		11,770			14,153
2	Oriental Republic of Uruguay	4.975%	4/20/55		7,540			8,878
3	Petroleos Mexicanos	6.840%	1/23/30		12,461			13,343
	Petroleos Mexicanos	6.625%	6/15/35		8,417			8,554
	Petroleos Mexicanos	6.625%	6/15/38		2,450			2,397
	Petroleos Mexicanos	6.500%	6/2/41		4,246			4,216
	Petroleos Mexicanos	5.500%	6/27/44		2,725			2,433
	Petroleos Mexicanos	6.375%	1/23/45		5,685			5,488
	Petroleos Mexicanos	5.625%	1/23/46		5,931			5,336
	Petroleos Mexicanos	6.750%	9/21/47		18,512			18,524
	Petroleos Mexicanos	6.350%	2/12/48		9,405			9,073
3	Petroleos Mexicanos	7.690%	1/23/50		22,753			24,837
	Province of British Columbia	7.250%	9/1/36		990			1,551
	Republic of Chile	3.625%	10/30/42		3,200			3,444
	Republic of Chile	3.860%	6/21/47		3,145			3,490
2	Republic of Chile	3.500%	1/25/50		3,150			3,264
	Republic of Colombia	10.375%	1/28/33		2,000			3,215
	Republic of Colombia	7.375%	9/18/37		4,602			6,549
	Republic of Colombia	6.125%	1/18/41		8,625			11,098
2	Republic of Colombia	5.625%	2/26/44		8,565			10,563
2	Republic of Colombia	5.000%	6/15/45		14,085			16,259
	Republic of Colombia	5.200%	5/15/49		3,050			3,639
	Republic of Hungary	7.625%	3/29/41		3,928			6,433
	Republic of Indonesia	4.350%	1/11/48		6,530			7,224
	Republic of Indonesia	5.350%	2/11/49		3,450			4,447
	Republic of Indonesia	3.700%	10/30/49		2,700			2,740
	Republic of Italy	5.375%	6/15/33		4,003			4,585
	Republic of Italy	4.000%	10/17/49		8,050			7,635
	Republic of Korea	4.125%	6/10/44		4,138			5,030
	Republic of Korea	3.875%	9/20/48		1,499			1,786
2	Republic of Panama	3.160%	1/23/30		500			515
2	Republic of Panama	6.700%	1/26/36		6,461			9,053
2	Republic of Panama	4.500%	5/15/47		5,010			5,962
2	Republic of Panama	4.500%	4/16/50		5,157			6,111
2	Republic of Panama	4.300%	4/29/53		5,250			6,123
2	Republic of Panama	3.870%	7/23/60		1,950			2,096
	Republic of Peru	2.844%	6/20/30		1,925			1,991
	Republic of Peru	8.750%	11/21/33		6,225			10,265
2	Republic of Peru	6.550%	3/14/37		4,492			6,562
	Republic of Peru	5.625%	11/18/50		7,516			10,904
	Republic of the Philippines	9.500%	2/2/30		5,692			9,079
	Republic of the Philippines	7.750%	1/14/31		5,875			8,680
	Republic of the Philippines	6.375%	1/15/32		3,375			4,594

106

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Republic of the Philippines	6.375%	10/23/34		6,383			9,064
	Republic of the Philippines	5.000%	1/13/37		3,875			4,945
	Republic of the Philippines	3.950%	1/20/40		6,077			6,933
	Republic of the Philippines	3.700%	3/1/41		4,722			5,348
	Republic of the Philippines	3.700%	2/2/42		6,315			7,114
	State of Israel	4.500%	1/30/43		5,520			6,574
	State of Israel	4.125%	1/17/48		3,125			3,566
	United Mexican States	8.300%	8/15/31		2,950			4,365
	United Mexican States	7.500%	4/8/33		2,407			3,393
	United Mexican States	6.750%	9/27/34		7,447			10,169
	United Mexican States	6.050%	1/11/40		9,549			12,372
	United Mexican States	4.750%	3/8/44		20,106			22,136
	United Mexican States	5.550%	1/21/45		4,845			5,937
	United Mexican States	4.600%	1/23/46		9,601			10,350
	United Mexican States	4.350%	1/15/47		4,578			4,793
	United Mexican States	4.600%	2/10/48		7,482			8,119
2	United Mexican States	4.500%	1/31/50		3,600			3,894
	United Mexican States	5.750%	10/12/10		5,570			6,551
Total Sovereign Bonds (Cost $467,009)								514,520
Taxable Municipal Bonds (3.3%)
	Alameda County CA Joint Powers Authority Lease Revenue	7.046%	12/1/44		1,025			1,612
	American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects)	6.449%	2/15/44		755			1,051
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.834%	2/15/41		645			1,009
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.053%	2/15/43		550			763
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	5.939%	2/15/47		1,760			2,428
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.270%	2/15/50		450			601
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	8.084%	2/15/50		2,070			3,544
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.918%	4/1/40		1,095			1,603
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49		3,675			5,613
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	7.043%	4/1/50		2,790			4,529
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.907%	10/1/50		1,715			2,768
	California GO	7.700%	11/1/30		1,260			1,320
	California GO	4.500%	4/1/33		2,575			2,896
	California GO	7.500%	4/1/34		7,080			10,661
	California GO	7.950%	3/1/36		1,450			1,464
	California GO	4.600%	4/1/38		1,925			2,133
	California GO	7.550%	4/1/39		6,495			10,418
	California GO	7.300%	10/1/39		5,405			8,254
	California GO	7.350%	11/1/39		1,700			2,611
	California GO	7.625%	3/1/40		4,165			6,669
	California GO	7.600%	11/1/40		9,585			15,822
	California State University Systemwide Revenue	3.899%	11/1/47		1,000			1,094
	Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue	5.491%	11/1/39		800			1,052
	Chicago IL GO	7.045%	1/1/29		800			878
	Chicago IL GO	7.375%	1/1/33		1,000			1,198
	Chicago IL GO	5.432%	1/1/42		900			929
	Chicago IL GO	6.314%	1/1/44		1,200			1,364
	Chicago IL Metropolitan Water Reclamation District GO	5.720%	12/1/38		2,045			2,676
	Chicago IL O'Hare International Airport Revenue	6.395%	1/1/40		950			1,366
	Chicago IL O'Hare International Airport Revenue	4.472%	1/1/49		300			362

107

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40		1,450			1,898
Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40		5,150			6,957
Clark County NV Airport System Revenue	6.820%	7/1/45		1,450			2,285
Commonwealth Financing Authority Pennsylvania Revenue	4.014%	6/1/33		1,300			1,434
Commonwealth Financing Authority Pennsylvania Revenue	3.864%	6/1/38		1,000			1,073
Commonwealth Financing Authority Pennsylvania Revenue	3.807%	6/1/41		975			1,039
Connecticut GO	5.632%	12/1/29		1,500			1,821
Connecticut GO	5.090%	10/1/30		750			863
Connecticut GO	5.850%	3/15/32		2,550			3,284
Cook County IL GO	6.229%	11/15/34		1,050			1,374
Dallas County TX Hospital District Revenue	5.621%	8/15/44		850			1,120
Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44		1,445			2,059
Dallas TX Area Rapid Transit Revenue	5.022%	12/1/48		1,515			2,003
Dallas TX Convention Center Hotel Development Corp. Hotel Revenue	7.088%	1/1/42		1,665			2,311
Dallas TX Independent School District GO	6.450%	2/15/35		1,495			1,570
Dallas-Fort Worth TX International Airport Revenue	2.994%	11/1/38		950			938
Dallas-Fort Worth TX International Airport Revenue	3.144%	11/1/45		1,375			1,361
District of Columbia Income Tax Revenue	5.591%	12/1/34		1,000			1,239
District of Columbia Water & Sewer Authority Public Utility Revenue	4.814%	10/1/14		1,275			1,675
East Bay CA Municipal Utility District Water System Revenue	5.874%	6/1/40		1,325			1,818
George Washington University	4.300%	9/15/44		2,265			2,621
George Washington University	4.868%	9/15/45		200			250
George Washington University	4.126%	9/15/48		2,525			2,909
Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57		3,855			5,191
Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57		3,148			4,336
Georgia Municipal Electric Power Authority Revenue	7.055%	4/1/57		845			1,142
Grand Parkway Transportation Corp. Texas System Toll Revenue	5.184%	10/1/42		875			1,121
Houston TX GO	6.290%	3/1/32		2,570			3,099
Houston TX GO	3.961%	3/1/47		950			1,050
Illinois GO	5.100%	6/1/33		24,365			26,266
Illinois GO	6.630%	2/1/35		1,770			2,075
Illinois GO	6.725%	4/1/35		1,500			1,761
Illinois GO	7.350%	7/1/35		855			1,038
Illinois Toll Highway Authority Revenue	6.184%	1/1/34		1,670			2,217
JobsOhio Beverage System Statewide Liquor Profits Revenue	4.532%	1/1/35		1,050			1,231
Kansas Department of Transportation Highway Revenue	4.596%	9/1/35		1,075			1,270
Los Angeles CA Community College District GO	6.750%	8/1/49		2,140			3,513
Los Angeles CA Department of Water & Power Revenue	5.716%	7/1/39		1,025			1,379
Los Angeles CA Department of Water & Power Revenue	6.166%	7/1/40		625			638
Los Angeles CA Department of Water & Power Revenue	6.574%	7/1/45		1,575			2,462
Los Angeles CA Department of Water & Power Revenue	6.603%	7/1/50		1,625			2,608
Los Angeles CA Unified School District GO	5.750%	7/1/34		4,120			5,276
Los Angeles CA Unified School District GO	6.758%	7/1/34		3,065			4,225
Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue	5.735%	6/1/39		1,800			2,324
Los Angeles County CA Public Works Financing Authority Lease Revenue	7.618%	8/1/40		700			1,085
Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue	6.250%	5/15/43		895			1,293

108

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Maryland Transportation Authority Facilities Projects Revenue	5.888%	7/1/43		850			1,134
Massachusetts GO	4.500%	8/1/31		1,200			1,391
Massachusetts GO	5.456%	12/1/39		3,035			3,939
Massachusetts GO	2.813%	9/1/43		1,320			1,256
Massachusetts GO	2.900%	9/1/49		1,250			1,180
Massachusetts School Building Authority Dedicated Sales Tax Revenue	5.715%	8/15/39		1,405			1,855
Massachusetts School Building Authority Dedicated Sales Tax Revenue	3.395%	10/15/40		950			950
Massachusetts Transportation Fund Revenue	5.731%	6/1/40		1,240			1,619
Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue	6.731%	7/1/43		1,000			1,429
Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue	7.462%	10/1/46		1,330			2,143
Miami-Dade County FL Aviation Revenue (Miami International Airport)	4.280%	10/1/41		1,605			1,718
Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.084%	12/1/34		925			921
Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.384%	12/1/40		1,650			1,646
Mississippi GO	5.245%	11/1/34		1,100			1,365
Missouri Health & Educational Facilities Authority Revenue (Washington University)	3.652%	8/15/57		1,400			1,471
New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.081%	6/15/39		2,275			2,266
New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.131%	6/15/42		1,450			1,438
New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.561%	12/15/40		1,910			2,521
New Jersey Turnpike Authority Revenue	7.414%	1/1/40		2,464			3,865
New Jersey Turnpike Authority Revenue	7.102%	1/1/41		6,260			9,547
New York City NY GO	5.206%	10/1/31		1,070			1,268
New York City NY GO	6.646%	12/1/31		400			417
New York City NY GO	6.246%	6/1/35		1,075			1,092
New York City NY GO	5.517%	10/1/37		1,175			1,509
New York City NY GO	6.271%	12/1/37		1,450			2,012
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.750%	6/15/41		975			1,366
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.790%	6/15/41		170			173
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.790%	6/15/41		680			691
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.724%	6/15/42		1,030			1,452
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.952%	6/15/42		800			1,154
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.011%	6/15/42		1,480			2,145
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.440%	6/15/43		1,460			2,007
New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44		1,645			2,396
New York City NY Transitional Finance Authority Future Tax Revenue	5.267%	5/1/27		20			24
New York City NY Transitional Finance Authority Future Tax Revenue	5.767%	8/1/36		1,525			1,895
New York City NY Transitional Finance Authority Future Tax Revenue	5.508%	8/1/37		1,715			2,176
New York City NY Transitional Finance Authority Future Tax Revenue	5.572%	11/1/38		1,150			1,452
New York Metropolitan Transportation Authority Revenue	6.814%	11/15/40		540			767

109

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39		2,150			3,364
New York Metropolitan Transportation Authority Revenue (Transit Revenue)	5.871%	11/15/39		700			901
New York Metropolitan Transportation Authority Revenue (Transit Revenue)	6.668%	11/15/39		2,615			3,711
New York State Dormitory Authority Revenue	3.142%	7/1/43		350			347
New York State Dormitory Authority Revenue (Personal Income Tax)	5.427%	3/15/39		500			610
New York State Dormitory Authority Revenue (Personal Income Tax)	5.628%	3/15/39		1,830			2,251
New York State Dormitory Authority Revenue (Personal Income Tax)	5.600%	3/15/40		1,320			1,671
New York State Thruway Authority	2.900%	1/1/35		900			897
New York State Thruway Authority	3.500%	1/1/42		1,100			1,096
New York State Urban Development Corp. Revenue (Personal Income Tax)	3.900%	3/15/33		1,275			1,370
New York State Urban Development Corp. Revenue (Personal Income Tax)	5.770%	3/15/39		1,675			2,031
North Texas Tollway Authority System Revenue	6.718%	1/1/49		2,835			4,448
NYU Langone Hospitals	5.750%	7/1/43		925			1,228
Ohio State University General Receipts Revenue	4.910%	6/1/40		2,175			2,772
Ohio State University General Receipts Revenue	3.798%	12/1/46		1,150			1,276
Ohio State University General Receipts Revenue	4.800%	6/1/11		1,782			2,259
Ohio Water Development Authority Water Pollution Control Loan Fund Revenue	4.879%	12/1/34		1,125			1,313
Oregon Department of Transportation Highway User Tax Revenue	5.834%	11/15/34		1,180			1,572
Pennsylvania Turnpike Commission Revenue	5.511%	12/1/45		1,110			1,466
Port Authority of New York & New Jersey Revenue	5.647%	11/1/40		1,695			2,263
Port Authority of New York & New Jersey Revenue	5.647%	11/1/40		1,625			2,169
Port Authority of New York & New Jersey Revenue	4.960%	8/1/46		2,375			3,068
Port Authority of New York & New Jersey Revenue	5.310%	8/1/46		875			969
Port Authority of New York & New Jersey Revenue	4.031%	9/1/48		675			762
Port Authority of New York & New Jersey Revenue	4.926%	10/1/51		1,220			1,580
Port Authority of New York & New Jersey Revenue	4.458%	10/1/62		7,095			8,696
Port Authority of New York & New Jersey Revenue	4.810%	10/15/65		1,575			1,984
Port Authority of New York & New Jersey Revenue	3.287%	8/1/69		1,635			1,555
Princeton University	5.700%	3/1/39		2,215			3,073
Regional Transportation District of Colorado Sales Tax Revenue	5.844%	11/1/50		1,010			1,465
Rutgers State University New Jersey Revenue	5.665%	5/1/40		1,185			1,545
Rutgers State University New Jersey Revenue	3.915%	5/1/19		700			689
Rutgers The State University of New Jersey	3.270%	5/1/43		400			396
Sales Tax Securitization Corp. Illinois Revenue	3.587%	1/1/43		2,190			2,159
Sales Tax Securitization Corp. Illinois Revenue	3.820%	1/1/48		1,050			1,058
Sales Tax Securitization Corp. Illinois Revenue	4.787%	1/1/48		1,650			1,917
Salt River Project Arizona Agricultural Improvement & Power District Revenue	4.839%	1/1/41		1,520			1,891
San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39		850			1,170
San Antonio TX Electric & Gas Systems Revenue	5.808%	2/1/41		1,450			1,994
San Antonio TX Electric & Gas Systems Revenue	4.427%	2/1/42		1,225			1,420
San Diego County CA Regional Transportation Commission Sales Tax Revenue	5.911%	4/1/48		1,015			1,465
San Diego County CA Water Authority Revenue	6.138%	5/1/49		2,000			2,838
San Francisco CA City & County Public Utilities Commission Water Revenue	6.950%	11/1/50		1,440			2,189
San Jose California Redevelopment Agency Successor Agency Tax Allocation	3.375%	8/1/34		1,350			1,388
Santa Clara Valley CA Transportation Authority Sales Tax Revenue	5.876%	4/1/32		1,500			1,834
South Carolina Public Service Authority Revenue	6.454%	1/1/50		1,300			1,912
Texas GO	5.517%	4/1/39		3,290			4,441
Texas GO	3.211%	4/1/44		1,300			1,313

110

Vanguard^® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Texas Transportation Commission Revenue	5.178%	4/1/30		3,800			4,575
	Texas Transportation Commission Revenue	4.681%	4/1/40		950			1,163
	University of California Regents Medical Center Revenue	6.548%	5/15/48		1,350			1,949
	University of California Regents Medical Center Revenue	6.583%	5/15/49		1,075			1,548
	University of California Revenue	4.601%	5/15/31		1,000			1,143
	University of California Revenue	5.770%	5/15/43		2,890			3,830
	University of California Revenue	4.131%	5/15/45		1,500			1,649
	University of California Revenue	5.946%	5/15/45		1,275			1,709
	University of California Revenue	4.858%	5/15/12		2,675			3,298
	University of Nebraska Student Fee Revenue	3.037%	10/1/49		600			580
	University of Pittsburgh-of the Commonwealth System of Higher Education	3.555%	9/15/19		1,475			1,430
	University of Southern California	5.250%	10/1/11		1,000			1,408
	University of Texas Permanent University Fund Revenue	3.376%	7/1/47		1,190			1,254
	University of Texas Revenue	3.354%	8/15/47		1,000			1,042
	University of Texas System Revenue Financing System Revenue	4.794%	8/15/46		1,075			1,333
	University of Virginia Revenue	4.179%	9/1/17		1,025			1,211
	Washington GO	5.140%	8/1/40		1,285			1,640
	Wisconsin Annual Appropriation Revenue	3.954%	5/1/36		1,650			1,764
Total Taxable Municipal Bonds (Cost $339,452)								413,152
					Shares
Temporary Cash Investment (0.2%)
Money Market Fund (0.2%)
5	Vanguard Market Liquidity Fund (Cost $25,308)	1.816%			253,053			25,308
Total Investments (99.3%) (Cost $11,031,388)								12,326,887
Other Assets and Liabilities—Net (0.7%)								85,050
Net Assets (100%)								12,411,937

1	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
2	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $164,716,000, representing 1.3% of net assets.
4	Guaranteed by the Federal Republic of Germany.
5	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
	GO—General Obligation Bond.

111

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

SNA3140 022020

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
U.S. Government and Agency Obligations (65.5%)
U.S. Government Securities (42.0%)
	United States Treasury Note/Bond	8.500%	2/15/20		15,275			15,390
	United States Treasury Note/Bond	8.750%	5/15/20		70			72
	United States Treasury Note/Bond	1.500%	8/15/20		4			4
	United States Treasury Note/Bond	8.750%	8/15/20		192,190			200,327
	United States Treasury Note/Bond	2.625%	8/31/20		3			3
	United States Treasury Note/Bond	2.750%	9/30/20		41			41
	United States Treasury Note/Bond	1.625%	10/15/20		2			2
	United States Treasury Note/Bond	1.375%	10/31/20		2			2
	United States Treasury Note/Bond	1.750%	10/31/20		2			2
	United States Treasury Note/Bond	2.875%	10/31/20		43			43
	United States Treasury Note/Bond	2.625%	11/15/20		4			4
	United States Treasury Note/Bond	2.750%	11/30/20		11			11
	United States Treasury Note/Bond	1.875%	12/15/20		97,985			98,200
	United States Treasury Note/Bond	2.500%	12/31/20		5			5
	United States Treasury Note/Bond	2.000%	1/15/21		601,018			603,176
	United States Treasury Note/Bond	1.375%	1/31/21		467,607			466,218
	United States Treasury Note/Bond	2.125%	1/31/21		114,586			115,159
	United States Treasury Note/Bond	2.500%	1/31/21		277,518			280,032
	United States Treasury Note/Bond	2.250%	2/15/21		482,194			485,357
	United States Treasury Note/Bond	3.625%	2/15/21		470,391			480,608
	United States Treasury Note/Bond	7.875%	2/15/21		209,734			223,990
	United States Treasury Note/Bond	1.125%	2/28/21		148,979			148,094
	United States Treasury Note/Bond	2.000%	2/28/21		420,083			421,855
	United States Treasury Note/Bond	2.500%	2/28/21		223,389			225,587
	United States Treasury Note/Bond	2.375%	3/15/21		608,208			613,341
	United States Treasury Note/Bond	1.250%	3/31/21		751,288			747,764
	United States Treasury Note/Bond	2.250%	3/31/21		553,069			557,217
	United States Treasury Note/Bond	2.375%	4/15/21		445,074			449,315
	United States Treasury Note/Bond	1.375%	4/30/21		192,710			192,109
	United States Treasury Note/Bond	2.250%	4/30/21		469,139			473,023
	United States Treasury Note/Bond	2.625%	5/15/21		524,973			532,107
	United States Treasury Note/Bond	3.125%	5/15/21		396,010			403,994
	United States Treasury Note/Bond	8.125%	5/15/21		110			120
	United States Treasury Note/Bond	1.375%	5/31/21		725,253			722,874
	United States Treasury Note/Bond	2.000%	5/31/21		263,914			265,315
	United States Treasury Note/Bond	2.125%	5/31/21		223,443			225,014
	United States Treasury Note/Bond	2.625%	6/15/21		361,111			366,304
	United States Treasury Note/Bond	1.125%	6/30/21		363,189			360,636
	United States Treasury Note/Bond	1.625%	6/30/21		270,938			270,981
	United States Treasury Note/Bond	2.125%	6/30/21		344,450			347,088
	United States Treasury Note/Bond	2.625%	7/15/21		321,986			326,916
	United States Treasury Note/Bond	1.125%	7/31/21		557,810			553,537
	United States Treasury Note/Bond	1.750%	7/31/21		372,818			373,634
	United States Treasury Note/Bond	2.250%	7/31/21		249,925			252,384
1	United States Treasury Note/Bond	2.125%	8/15/21		113,948			114,873
	United States Treasury Note/Bond	2.750%	8/15/21		741,294			754,615
	United States Treasury Note/Bond	8.125%	8/15/21		35,690			39,376
	United States Treasury Note/Bond	1.125%	8/31/21		227,781			225,965
	United States Treasury Note/Bond	1.500%	8/31/21		97,350			97,183
	United States Treasury Note/Bond	2.000%	8/31/21		408,715			411,335
	United States Treasury Note/Bond	2.750%	9/15/21		524,387			534,382
	United States Treasury Note/Bond	1.125%	9/30/21		627,836			622,638
	United States Treasury Note/Bond	1.500%	9/30/21		174,676			174,376
	United States Treasury Note/Bond	2.125%	9/30/21		365,066			368,260
	United States Treasury Note/Bond	2.875%	10/15/21		284,148			290,453
	United States Treasury Note/Bond	1.250%	10/31/21		607,894			604,095
	United States Treasury Note/Bond	1.500%	10/31/21		505,672			504,883
	United States Treasury Note/Bond	2.000%	10/31/21		278,940			280,946
	United States Treasury Note/Bond	2.000%	11/15/21		331,482			334,021
	United States Treasury Note/Bond	2.875%	11/15/21		771,193			789,270
	United States Treasury Note/Bond	1.500%	11/30/21		66,686			66,582

1

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
United States Treasury Note/Bond	1.750%	11/30/21		132,807			133,180
United States Treasury Note/Bond	1.875%	11/30/21		207,760			208,896
United States Treasury Note/Bond	2.625%	12/15/21		254,123			259,086
United States Treasury Note/Bond	1.625%	12/31/21		164,145			164,324
United States Treasury Note/Bond	2.000%	12/31/21		12,380			12,477
United States Treasury Note/Bond	2.125%	12/31/21		193,135			195,097
United States Treasury Note/Bond	2.500%	1/15/22		553,972			563,755
United States Treasury Note/Bond	1.500%	1/31/22		228,760			228,367
United States Treasury Note/Bond	1.875%	1/31/22		435,482			437,929
United States Treasury Note/Bond	2.000%	2/15/22		273,916			276,099
United States Treasury Note/Bond	2.500%	2/15/22		626,278			638,021
United States Treasury Note/Bond	1.750%	2/28/22		964,382			967,545
United States Treasury Note/Bond	1.875%	2/28/22		531,386			534,543
United States Treasury Note/Bond	2.375%	3/15/22		878,400			893,227
United States Treasury Note/Bond	1.750%	3/31/22		215,000			215,740
United States Treasury Note/Bond	1.875%	3/31/22		474,650			477,541
United States Treasury Note/Bond	2.250%	4/15/22		783,400			794,665
United States Treasury Note/Bond	1.750%	4/30/22		240,880			241,709
United States Treasury Note/Bond	1.875%	4/30/22		372,882			375,213
United States Treasury Note/Bond	1.750%	5/15/22		25,000			25,082
United States Treasury Note/Bond	2.125%	5/15/22		630,008			637,587
United States Treasury Note/Bond	1.750%	5/31/22		982,325			985,852
United States Treasury Note/Bond	1.875%	5/31/22		207,115			208,474
United States Treasury Note/Bond	1.750%	6/15/22		668,810			671,211
United States Treasury Note/Bond	1.750%	6/30/22		295,289			296,396
United States Treasury Note/Bond	2.125%	6/30/22		227,735			230,652
United States Treasury Note/Bond	1.750%	7/15/22		264,747			265,658
United States Treasury Note/Bond	1.875%	7/31/22		507,257			510,585
United States Treasury Note/Bond	2.000%	7/31/22		227,600			229,840
United States Treasury Note/Bond	1.500%	8/15/22		755,098			753,090
United States Treasury Note/Bond	1.625%	8/15/22		261,980			262,103
United States Treasury Note/Bond	7.250%	8/15/22		3,014			3,447
United States Treasury Note/Bond	1.625%	8/31/22		416,750			416,879
United States Treasury Note/Bond	1.875%	8/31/22		293,813			295,834
United States Treasury Note/Bond	1.500%	9/15/22		206,742			206,161
United States Treasury Note/Bond	1.750%	9/30/22		363,140			364,444
United States Treasury Note/Bond	1.875%	9/30/22		459,345			462,648
United States Treasury Note/Bond	1.375%	10/15/22		862,560			856,902
United States Treasury Note/Bond	1.875%	10/31/22		354,240			356,677
United States Treasury Note/Bond	2.000%	10/31/22		604,025			610,349
United States Treasury Note/Bond	1.625%	11/15/22		808,480			808,731
United States Treasury Note/Bond	2.000%	11/30/22		665,725			672,795
United States Treasury Note/Bond	1.625%	12/15/22		689,585			689,909
United States Treasury Note/Bond	2.125%	12/31/22		807,125			818,982
United States Treasury Note/Bond	1.750%	1/31/23		302,602			303,737
United States Treasury Note/Bond	2.375%	1/31/23		472,400			483,029
United States Treasury Note/Bond	2.000%	2/15/23		70,831			71,617
United States Treasury Note/Bond	7.125%	2/15/23		163,535			190,953
United States Treasury Note/Bond	1.500%	2/28/23		322,416			321,107
United States Treasury Note/Bond	2.625%	2/28/23		319,461			329,195
United States Treasury Note/Bond	1.500%	3/31/23		485,850			483,877
United States Treasury Note/Bond	2.500%	3/31/23		485,701			498,907
United States Treasury Note/Bond	1.625%	4/30/23		108,332			108,265
United States Treasury Note/Bond	2.750%	4/30/23		234,973			243,380
United States Treasury Note/Bond	1.750%	5/15/23		763,728			766,233
United States Treasury Note/Bond	1.625%	5/31/23		367,450			367,277
United States Treasury Note/Bond	2.750%	5/31/23		186,365			193,121
United States Treasury Note/Bond	1.375%	6/30/23		275,345			272,850
United States Treasury Note/Bond	2.625%	6/30/23		254,388			262,854
United States Treasury Note/Bond	1.250%	7/31/23		165,261			162,937
United States Treasury Note/Bond	2.750%	7/31/23		355,760			369,268
United States Treasury Note/Bond	2.500%	8/15/23		511,760			526,872
United States Treasury Note/Bond	6.250%	8/15/23		208,228			241,707
United States Treasury Note/Bond	1.375%	8/31/23		278,085			275,390

2

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
United States Treasury Note/Bond	2.750%	8/31/23		625,966			650,122
United States Treasury Note/Bond	1.375%	9/30/23		327,230			323,856
United States Treasury Note/Bond	2.875%	9/30/23		390,104			407,233
United States Treasury Note/Bond	1.625%	10/31/23		202,790			202,474
United States Treasury Note/Bond	2.875%	10/31/23		390,246			407,624
United States Treasury Note/Bond	2.750%	11/15/23		275,962			287,045
United States Treasury Note/Bond	2.125%	11/30/23		393,035			399,791
United States Treasury Note/Bond	2.875%	11/30/23		261,591			273,444
United States Treasury Note/Bond	2.250%	12/31/23		110,858			113,335
United States Treasury Note/Bond	2.625%	12/31/23		132,471			137,335
United States Treasury Note/Bond	2.250%	1/31/24		194,225			198,595
United States Treasury Note/Bond	2.500%	1/31/24		778,645			803,951
United States Treasury Note/Bond	2.750%	2/15/24		589,749			614,813
United States Treasury Note/Bond	2.125%	2/29/24		583,624			594,018
United States Treasury Note/Bond	2.375%	2/29/24		510,641			524,842
United States Treasury Note/Bond	2.125%	3/31/24		962,029			979,461
United States Treasury Note/Bond	2.000%	4/30/24		300,822			304,769
United States Treasury Note/Bond	2.250%	4/30/24		666,576			682,201
United States Treasury Note/Bond	2.500%	5/15/24		672,918			695,838
United States Treasury Note/Bond	2.000%	5/31/24		1,092,454			1,106,787
United States Treasury Note/Bond	1.750%	6/30/24		391,554			392,533
United States Treasury Note/Bond	2.000%	6/30/24		419,533			425,037
United States Treasury Note/Bond	1.750%	7/31/24		270,514			271,234
United States Treasury Note/Bond	2.125%	7/31/24		254,475			259,246
United States Treasury Note/Bond	2.375%	8/15/24		491,390			506,053
United States Treasury Note/Bond	1.250%	8/31/24		478,544			469,121
United States Treasury Note/Bond	1.875%	8/31/24		306,793			309,238
United States Treasury Note/Bond	1.500%	9/30/24		208,503			206,679
United States Treasury Note/Bond	2.125%	9/30/24		482,058			491,400
United States Treasury Note/Bond	1.500%	10/31/24		575,721			570,683
United States Treasury Note/Bond	2.250%	10/31/24		282,595			289,835
United States Treasury Note/Bond	2.250%	11/15/24		606,889			622,346
United States Treasury Note/Bond	7.500%	11/15/24		1,325			1,681
United States Treasury Note/Bond	1.500%	11/30/24		980,256			971,836
United States Treasury Note/Bond	2.125%	11/30/24		610,580			622,602
United States Treasury Note/Bond	1.750%	12/31/24		450,730			451,929
United States Treasury Note/Bond	2.250%	12/31/24		487,345			500,060
United States Treasury Note/Bond	2.500%	1/31/25		212,880			221,063
United States Treasury Note/Bond	2.000%	2/15/25		339,129			343,897
United States Treasury Note/Bond	7.625%	2/15/25		2,112			2,721
United States Treasury Note/Bond	2.750%	2/28/25		278,661			292,856
United States Treasury Note/Bond	2.625%	3/31/25		335,621			350,778
United States Treasury Note/Bond	2.875%	4/30/25		208,494			220,611
United States Treasury Note/Bond	2.125%	5/15/25		975,222			994,424
United States Treasury Note/Bond	2.875%	5/31/25		255,590			270,527
United States Treasury Note/Bond	2.750%	6/30/25		251,462			264,704
United States Treasury Note/Bond	2.875%	7/31/25		293,610			311,136
United States Treasury Note/Bond	2.000%	8/15/25		680,570			689,288
United States Treasury Note/Bond	6.875%	8/15/25		48,414			61,652
United States Treasury Note/Bond	2.750%	8/31/25		350,365			369,089
United States Treasury Note/Bond	3.000%	9/30/25		359,032			383,267
United States Treasury Note/Bond	3.000%	10/31/25		204,006			217,872
United States Treasury Note/Bond	2.250%	11/15/25		742,427			762,034
United States Treasury Note/Bond	2.875%	11/30/25		275,005			291,934
United States Treasury Note/Bond	2.625%	12/31/25		360,095			377,369
United States Treasury Note/Bond	2.625%	1/31/26		539,960			565,943
United States Treasury Note/Bond	1.625%	2/15/26		776,005			768,245
United States Treasury Note/Bond	2.500%	2/28/26		351,250			365,683
United States Treasury Note/Bond	2.250%	3/31/26		463,185			475,635
United States Treasury Note/Bond	2.375%	4/30/26		354,170			366,346
United States Treasury Note/Bond	1.625%	5/15/26		1,024,825			1,013,459
United States Treasury Note/Bond	2.125%	5/31/26		322,175			328,367
United States Treasury Note/Bond	1.875%	6/30/26		323,405			324,670
United States Treasury Note/Bond	1.875%	7/31/26		302,795			303,837

3

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	United States Treasury Note/Bond	1.500%	8/15/26		637,414			624,468
	United States Treasury Note/Bond	6.750%	8/15/26		32,360			42,346
	United States Treasury Note/Bond	1.375%	8/31/26		465,567			452,475
	United States Treasury Note/Bond	1.625%	9/30/26		436,425			430,900
	United States Treasury Note/Bond	1.625%	10/31/26		215,019			212,129
	United States Treasury Note/Bond	2.000%	11/15/26		522,821			528,373
	United States Treasury Note/Bond	6.500%	11/15/26		50,779			66,148
	United States Treasury Note/Bond	1.625%	11/30/26		607,440			599,276
	United States Treasury Note/Bond	1.750%	12/31/26		206,585			205,424
	United States Treasury Note/Bond	2.250%	2/15/27		748,740			769,098
	United States Treasury Note/Bond	2.375%	5/15/27		452,574			469,052
	United States Treasury Note/Bond	2.250%	8/15/27		508,974			522,971
	United States Treasury Note/Bond	6.375%	8/15/27		33,585			44,395
	United States Treasury Note/Bond	2.250%	11/15/27		813,084			835,696
	United States Treasury Note/Bond	2.750%	2/15/28		667,601			711,409
	United States Treasury Note/Bond	2.875%	5/15/28		755,131			812,710
	United States Treasury Note/Bond	2.875%	8/15/28		940,238			1,013,257
	United States Treasury Note/Bond	5.500%	8/15/28		39,225			50,459
	United States Treasury Note/Bond	3.125%	11/15/28		866,900			953,053
	United States Treasury Note/Bond	5.250%	11/15/28		45,485			57,887
	United States Treasury Note/Bond	2.625%	2/15/29		697,211			738,828
	United States Treasury Note/Bond	5.250%	2/15/29		51,485			65,820
	United States Treasury Note/Bond	2.375%	5/15/29		787,767			818,789
	United States Treasury Note/Bond	1.625%	8/15/29		829,659			808,137
	United States Treasury Note/Bond	6.125%	8/15/29		75,855			103,921
	United States Treasury Note/Bond	1.750%	11/15/29		648,146			638,320
	United States Treasury Note/Bond	6.250%	5/15/30		131,653			185,054
	United States Treasury Note/Bond	5.375%	2/15/31		387,305			519,593
	United States Treasury Note/Bond	4.500%	2/15/36		219,911			291,692
	United States Treasury Note/Bond	4.750%	2/15/37		35,000			48,158
	United States Treasury Note/Bond	5.000%	5/15/37		59,400			84,079
	United States Treasury Note/Bond	4.375%	2/15/38		55,118			73,307
	United States Treasury Note/Bond	4.500%	5/15/38		5,613			7,585
	United States Treasury Note/Bond	3.500%	2/15/39		147,956			177,338
	United States Treasury Note/Bond	4.250%	5/15/39		109,385			143,943
	United States Treasury Note/Bond	4.500%	8/15/39		120,862			164,033
	United States Treasury Note/Bond	4.375%	11/15/39		186,056			248,965
	United States Treasury Note/Bond	4.625%	2/15/40		260,527			360,220
	United States Treasury Note/Bond	4.375%	5/15/40		209,735			281,603
	United States Treasury Note/Bond	3.875%	8/15/40		172,672			217,648
	United States Treasury Note/Bond	4.250%	11/15/40		319,132			422,502
	United States Treasury Note/Bond	4.750%	2/15/41		208,930			294,788
	United States Treasury Note/Bond	4.375%	5/15/41		183,418			247,299
	United States Treasury Note/Bond	3.750%	8/15/41		54,325			67,448
	United States Treasury Note/Bond	3.125%	11/15/41		78,330			88,868
	United States Treasury Note/Bond	3.125%	2/15/42		190,872			216,550
	United States Treasury Note/Bond	3.000%	5/15/42		183,799			204,533
	United States Treasury Note/Bond	2.750%	8/15/42		515,324			550,351
	United States Treasury Note/Bond	2.750%	11/15/42		648,150			691,900
	United States Treasury Note/Bond	3.125%	2/15/43		324,938			368,603
	United States Treasury Note/Bond	2.875%	5/15/43		512,230			558,331
	United States Treasury Note/Bond	3.625%	8/15/43		394,910			484,443
	United States Treasury Note/Bond	3.750%	11/15/43		388,181			485,649
	United States Treasury Note/Bond	3.625%	2/15/44		554,922			682,382
	United States Treasury Note/Bond	3.375%	5/15/44		384,981			455,783
	United States Treasury Note/Bond	3.125%	8/15/44		529,475			602,606
	United States Treasury Note/Bond	3.000%	11/15/44		375,027			418,271
	United States Treasury Note/Bond	2.500%	2/15/45		450,359			459,857
	United States Treasury Note/Bond	3.000%	5/15/45		559,279			624,820
1	United States Treasury Note/Bond	2.875%	8/15/45		403,828			441,562
	United States Treasury Note/Bond	3.000%	11/15/45		176,185			197,107
	United States Treasury Note/Bond	2.500%	2/15/46		429,975			439,112
	United States Treasury Note/Bond	2.500%	5/15/46		776,992			793,379
	United States Treasury Note/Bond	2.250%	8/15/46		445,311			432,855

4

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	United States Treasury Note/Bond	2.875%	11/15/46		656,620			720,332
	United States Treasury Note/Bond	3.000%	2/15/47		117,835			132,417
	United States Treasury Note/Bond	3.000%	5/15/47		192,429			216,182
	United States Treasury Note/Bond	2.750%	8/15/47		413,136			443,088
	United States Treasury Note/Bond	2.750%	11/15/47		460,604			493,924
	United States Treasury Note/Bond	3.000%	2/15/48		667,611			750,435
	United States Treasury Note/Bond	3.125%	5/15/48		558,044			642,448
	United States Treasury Note/Bond	3.000%	8/15/48		561,717			632,724
	United States Treasury Note/Bond	3.375%	11/15/48		368,844			444,977
	United States Treasury Note/Bond	3.000%	2/15/49		577,056			650,988
	United States Treasury Note/Bond	2.875%	5/15/49		710,393			783,322
	United States Treasury Note/Bond	2.250%	8/15/49		574,414			557,451
	United States Treasury Note/Bond	2.375%	11/15/49		576,400			574,688
								104,398,374
Agency Bonds and Notes (1.1%)
2	AID-Iraq	2.149%	1/18/22		10,900			10,982
2	AID-Israel	5.500%	9/18/23		542			614
2	AID-Israel	5.500%	12/4/23		4,768			5,432
2	AID-Israel	5.500%	4/26/24		20,405			23,493
2	AID-Jordan	2.578%	6/30/22		3,400			3,460
2	AID-Jordan	3.000%	6/30/25		5,200			5,409
2	AID-Tunisia	2.452%	7/24/21		3,275			3,308
2	AID-Tunisia	1.416%	8/5/21		3,860			3,841
2	AID-Ukraine	1.471%	9/29/21		10,100			10,052
	Federal Farm Credit Banks	2.550%	3/11/21		19,925			20,145
	Federal Farm Credit Banks	2.230%	4/5/21		19,900			20,048
	Federal Farm Credit Banks	3.050%	11/15/21		7,650			7,849
	Federal Farm Credit Banks	1.600%	12/28/21		13,500			13,492
	Federal Farm Credit Banks	2.600%	1/18/22		6,000			6,117
	Federal Farm Credit Banks	1.770%	6/26/23		8,000			8,031
	Federal Farm Credit Banks	3.500%	12/20/23		5,000			5,343
	Federal Home Loan Banks	1.375%	2/18/21		24,475			24,414
	Federal Home Loan Banks	2.250%	6/11/21		30,750			31,021
	Federal Home Loan Banks	5.625%	6/11/21		19,450			20,553
	Federal Home Loan Banks	1.875%	7/7/21		45,140			45,305
	Federal Home Loan Banks	1.125%	7/14/21		61,790			61,320
	Federal Home Loan Banks	3.000%	10/12/21		77,000			78,842
	Federal Home Loan Banks	1.625%	11/19/21		38,030			38,027
	Federal Home Loan Banks	1.875%	11/29/21		73,000			73,336
	Federal Home Loan Banks	1.625%	12/20/21		50,200			50,196
	Federal Home Loan Banks	2.125%	6/10/22		9,900			10,012
	Federal Home Loan Banks	2.000%	9/9/22		12,975			13,094
	Federal Home Loan Banks	2.125%	3/10/23		27,720			28,123
	Federal Home Loan Banks	2.500%	2/13/24		57,095			58,846
	Federal Home Loan Banks	2.875%	6/14/24		40,400			42,347
	Federal Home Loan Banks	1.500%	8/15/24		19,950			19,726
	Federal Home Loan Banks	5.375%	8/15/24		24,750			28,709
	Federal Home Loan Banks	2.875%	9/13/24		14,985			15,739
	Federal Home Loan Banks	3.250%	11/16/28		83,325			91,119
	Federal Home Loan Banks	5.500%	7/15/36		19,780			27,780
3	Federal Home Loan Mortgage Corp.	2.375%	2/16/21		62,000			62,533
3	Federal Home Loan Mortgage Corp.	1.125%	8/12/21		25,000			24,800
3	Federal Home Loan Mortgage Corp.	2.375%	1/13/22		200,749			203,730
3	Federal Home Loan Mortgage Corp.	2.750%	6/19/23		50,000			51,837
3	Federal Home Loan Mortgage Corp.	6.750%	9/15/29		39,781			55,731
3	Federal Home Loan Mortgage Corp.	6.750%	3/15/31		90,654			131,079
3	Federal Home Loan Mortgage Corp.	6.250%	7/15/32		9,129			13,112
3	Federal National Mortgage Assn.	1.375%	2/26/21		32,145			32,063
3	Federal National Mortgage Assn.	2.500%	4/13/21		44,150			44,635
3	Federal National Mortgage Assn.	2.750%	6/22/21		29,488			29,967
3	Federal National Mortgage Assn.	1.250%	8/17/21		129,945			129,158
3	Federal National Mortgage Assn.	1.375%	10/7/21		60,000			59,736
3	Federal National Mortgage Assn.	2.000%	1/5/22		103,000			103,753
3	Federal National Mortgage Assn.	2.625%	1/11/22		35,992			36,704

5

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3	Federal National Mortgage Assn.	1.875%	4/5/22		22,275			22,396
3	Federal National Mortgage Assn.	2.250%	4/12/22		23,810			24,139
3	Federal National Mortgage Assn.	1.375%	9/6/22		20,300			20,155
3	Federal National Mortgage Assn.	2.000%	10/5/22		18,525			18,700
3	Federal National Mortgage Assn.	2.375%	1/19/23		33,510			34,225
3	Federal National Mortgage Assn.	2.875%	9/12/23		23,000			23,993
3	Federal National Mortgage Assn.	2.500%	2/5/24		90,320			93,076
3	Federal National Mortgage Assn.	1.750%	7/2/24		26,717			26,724
3	Federal National Mortgage Assn.	2.625%	9/6/24		121,385			126,221
3	Federal National Mortgage Assn.	1.625%	10/15/24		29,170			28,984
3	Federal National Mortgage Assn.	2.125%	4/24/26		34,025			34,486
3	Federal National Mortgage Assn.	1.875%	9/24/26		48,275			48,150
3	Federal National Mortgage Assn.	6.250%	5/15/29		4,745			6,403
3	Federal National Mortgage Assn.	7.125%	1/15/30		26,389			38,097
3	Federal National Mortgage Assn.	7.250%	5/15/30		47,677			70,006
3	Federal National Mortgage Assn.	6.625%	11/15/30		24,700			35,158
3	Federal National Mortgage Assn.	5.625%	7/15/37		7,765			11,167
	Private Export Funding Corp.	4.300%	12/15/21		10,975			11,524
	Private Export Funding Corp.	2.800%	5/15/22		2,625			2,686
	Private Export Funding Corp.	2.050%	11/15/22		8,335			8,376
	Private Export Funding Corp.	3.550%	1/15/24		4,200			4,458
	Private Export Funding Corp.	2.450%	7/15/24		8,300			8,470
	Private Export Funding Corp.	1.750%	11/15/24		4,050			4,028
	Private Export Funding Corp.	3.250%	6/15/25		2,475			2,629
	Resolution Funding Corp.	8.625%	1/15/30		110			172
	Tennessee Valley Authority	3.875%	2/15/21		12,915			13,211
	Tennessee Valley Authority	1.875%	8/15/22		7,300			7,316
	Tennessee Valley Authority	2.875%	9/15/24		9,637			10,069
	Tennessee Valley Authority	6.750%	11/1/25		17,306			21,889
	Tennessee Valley Authority	2.875%	2/1/27		30,250			31,711
	Tennessee Valley Authority	7.125%	5/1/30		27,165			39,157
	Tennessee Valley Authority	4.700%	7/15/33		7,950			9,959
	Tennessee Valley Authority	4.650%	6/15/35		15,169			18,736
	Tennessee Valley Authority	5.880%	4/1/36		10,200			14,345
	Tennessee Valley Authority	6.150%	1/15/38		920			1,356
	Tennessee Valley Authority	5.500%	6/15/38		2,550			3,533
	Tennessee Valley Authority	5.250%	9/15/39		17,590			24,085
	Tennessee Valley Authority	4.875%	1/15/48		6,951			9,509
	Tennessee Valley Authority	5.375%	4/1/56		6,250			9,481
	Tennessee Valley Authority	4.625%	9/15/60		7,468			10,223
	Tennessee Valley Authority	4.250%	9/15/65		14,725			19,070
								2,833,036
Conventional Mortgage-Backed Securities (22.3%)
3,4	Fannie Mae Pool	2.000%	11/1/27–11/1/34		109,135			108,817
3,4,5	Fannie Mae Pool	2.500%	11/1/26–1/1/50		1,535,277			1,546,413
3,4,5	Fannie Mae Pool	3.000%	9/1/20–12/1/49		5,457,491			5,591,192
3,4,5	Fannie Mae Pool	3.500%	4/1/20–2/1/50		6,023,470			6,271,869
3,4	Fannie Mae Pool	4.000%	1/1/20–11/1/49		5,002,997			5,262,663
3,4,5	Fannie Mae Pool	4.500%	1/1/20–1/1/50		2,018,167			2,156,609
3,4,5	Fannie Mae Pool	5.000%	1/1/20–1/1/50		602,733			659,000
3,4	Fannie Mae Pool	5.500%	1/1/20–2/1/42		312,011			350,545
3,4	Fannie Mae Pool	6.000%	1/1/20–5/1/41		201,704			229,928
3,4	Fannie Mae Pool	6.500%	10/1/21–10/1/39		53,909			61,828
3,4	Fannie Mae Pool	7.000%	10/1/22–11/1/38		15,438			17,525
3,4	Fannie Mae Pool	7.500%	11/1/22–12/1/32		1,367			1,546
3,4	Fannie Mae Pool	8.000%	3/1/22–9/1/31		475			528
3,4	Fannie Mae Pool	8.500%	1/1/22–5/1/32		209			229
3,4	Fannie Mae Pool	9.000%	12/1/20–8/1/30		42			44
3,4	Fannie Mae Pool	9.500%	2/1/21–11/1/25		58			65
3,4	Freddie Mac Gold Pool	2.000%	1/1/28–12/1/31		51,656			51,541
3,4	Freddie Mac Gold Pool	2.500%	6/1/22–3/1/43		787,637			798,307
3,4	Freddie Mac Gold Pool	3.000%	3/1/21–12/1/47		2,761,822			2,839,224
3,4	Freddie Mac Gold Pool	3.500%	9/1/20–7/1/48		3,381,257			3,529,014
3,4	Freddie Mac Gold Pool	4.000%	1/1/20–2/1/49		2,516,131			2,654,982

6

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4	Freddie Mac Gold Pool	4.500%	4/1/20–1/1/49		1,071,647			1,147,408
3,4	Freddie Mac Gold Pool	5.000%	1/1/20–11/1/48		298,820			326,528
3,4	Freddie Mac Gold Pool	5.500%	1/1/20–6/1/41		157,392			175,322
3,4	Freddie Mac Gold Pool	6.000%	8/1/20–5/1/40		80,032			91,121
3,4	Freddie Mac Gold Pool	6.500%	3/1/22–9/1/39		26,552			30,175
3,4	Freddie Mac Gold Pool	7.000%	10/1/20–12/1/38		9,515			10,738
3,4	Freddie Mac Gold Pool	7.500%	9/1/22–2/1/32		700			779
3,4	Freddie Mac Gold Pool	8.000%	7/1/20–12/1/31		836			936
3,4	Freddie Mac Gold Pool	8.500%	3/1/21–7/1/31		149			164
3,4	Freddie Mac Gold Pool	9.000%	11/1/20–3/1/31		128			143
3,4	Freddie Mac Gold Pool	9.500%	8/1/20–6/1/25		1			1
3,4	Freddie Mac Gold Pool	10.000%	3/1/21–4/1/25		1			1
3,4	Freddie Mac Pool	4.000%	1/1/49–5/1/49		59,925			62,796
3,4	Freddie Mac Pool	4.500%	4/1/49		65,983			70,625
4	Ginnie Mae I Pool	3.000%	1/15/26–3/15/45		152,141			156,504
4	Ginnie Mae I Pool	3.500%	11/15/25–9/1/49		181,645			189,756
4	Ginnie Mae I Pool	4.000%	6/15/24–7/1/49		223,959			236,888
4,5	Ginnie Mae I Pool	4.500%	3/15/20–12/1/49		235,805			254,323
4	Ginnie Mae I Pool	4.750%	8/15/33		11			13
4	Ginnie Mae I Pool	5.000%	3/15/20–4/15/41		116,913			127,780
4	Ginnie Mae I Pool	5.500%	10/15/20–2/15/41		66,265			73,706
4	Ginnie Mae I Pool	6.000%	11/15/22–6/15/41		52,301			58,941
4	Ginnie Mae I Pool	6.500%	9/15/23–1/15/39		12,161			13,407
4	Ginnie Mae I Pool	7.000%	9/15/22–9/15/36		3,160			3,559
4	Ginnie Mae I Pool	7.500%	9/15/22–6/15/32		1,410			1,554
4	Ginnie Mae I Pool	7.750%	2/15/30		1			1
4	Ginnie Mae I Pool	8.000%	1/15/22–12/15/30		902			1,006
4	Ginnie Mae I Pool	8.250%	6/15/27		1			1
4	Ginnie Mae I Pool	8.500%	5/15/21–3/15/31		182			195
4	Ginnie Mae I Pool	9.000%	6/15/20–1/15/31		178			192
4	Ginnie Mae I Pool	9.500%	5/15/20–9/15/25		13			13
4	Ginnie Mae I Pool	10.500%	1/15/21–2/15/25		1			1
4,5	Ginnie Mae II Pool	2.500%	6/20/27–1/1/50		510,057			512,095
4,5	Ginnie Mae II Pool	3.000%	10/20/26–1/1/50		3,614,084			3,727,158
4,5	Ginnie Mae II Pool	3.500%	9/20/25–9/20/49		5,340,298			5,556,719
4,5	Ginnie Mae II Pool	4.000%	9/20/25–1/1/50		3,358,849			3,514,357
4	Ginnie Mae II Pool	4.500%	12/20/20–1/1/50		1,654,947			1,758,716
4	Ginnie Mae II Pool	5.000%	12/20/32–7/1/49		587,493			630,812
4	Ginnie Mae II Pool	5.500%	8/20/23–1/20/49		101,744			112,506
4	Ginnie Mae II Pool	6.000%	7/20/23–12/20/41		31,225			35,569
4	Ginnie Mae II Pool	6.500%	3/20/31–9/20/40		13,342			15,443
4	Ginnie Mae II Pool	7.000%	3/20/28–11/20/38		1,866			2,206
4	Ginnie Mae II Pool	7.500%	8/20/30		3			3
4	Ginnie Mae II Pool	8.500%	10/20/30		6			7
3,4	UMBS Pool	2.000%	1/1/32		11,730			11,608
3,4	UMBS Pool	2.500%	11/1/34–12/1/49		240,474			238,970
3,4,5	UMBS Pool	3.000%	4/1/29–1/1/50		1,623,998			1,650,390
3,4,5	UMBS Pool	3.500%	1/1/34–1/1/50		1,302,918			1,346,625
3,4,5	UMBS Pool	4.000%	11/1/33–1/1/50		519,655			551,919
3,4	UMBS Pool	4.500%	8/1/48–8/1/49		270,837			288,938
3,4	UMBS Pool	5.000%	2/1/49–3/1/49		98,722			108,167
3,4	UMBS TBA	2.000%	1/1/35		2,000			1,973
3,4,5	UMBS TBA	2.500%	7/1/34–1/1/50		186,725			184,654
3,4,5	UMBS TBA	4.000%	1/1/35–8/1/49		32,250			33,611
								55,448,892
Nonconventional Mortgage-Backed Securities (0.1%)
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.290%	4.034%	12/1/41		1,046			1,078
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.310%	3.592%	9/1/37		1,331			1,368
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.353%	4.441%	1/1/35		71			74
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.392%	3.811%	10/1/37		575			592
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.460%	4.572%	2/1/37		2			2
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.509%	4.082%	7/1/36		288			300

7

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.553%	2.443%	9/1/43		600			600
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.555%	3.564%	10/1/34		5			5
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.560%	2.272%	7/1/43		6,104			6,119
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.607%	3.607%	11/1/33		125			133
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.609%	3.642%	12/1/33		233			246
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.615%	4.643%	4/1/37		50			53
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.623%	4.748%	2/1/36		500			509
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.625%	4.135%	8/1/35		648			688
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.627%	4.752%	3/1/38		109			112
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.633%	4.633%	1/1/35		1			1
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.635%	3.510%	11/1/36		68			71
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.643%	4.476%	1/1/37		217			231
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.658%	4.283%	7/1/35		390			410
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.660%	3.910%	9/1/40		285			301
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.660%	4.722%	4/1/36		252			263
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.665%	4.415%	6/1/36		39			41
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.679%	3.992%	1/1/42		985			1,017
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.682%	4.167%	10/1/37		688			710
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.687%	4.498%	6/1/42		1,474			1,536
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.706%	10/1/39		528			549
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.972%	9/1/42		1,508			1,574
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.690%	4.622%	5/1/40		483			506
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.695%	4.320%	7/1/39		188			196
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.698%	4.161%	8/1/40		419			440
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.700%	4.364%	12/1/40		437			460
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.701%	3.965%	10/1/42		1,099			1,164
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.705%	3.809%	11/1/39		275			291
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.711%	4.056%	4/1/36		60			62
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.726%	3.956%	9/1/34		285			293
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.734%	3.997%	11/1/39		627			655
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.746%	4.506%	7/1/41		1,640			1,732
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.748%	4.778%	5/1/35		229			240
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.213%	10/1/40		321			339
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.875%	2/1/36		254			270
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.767%	4.648%	6/1/41		262			277
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.771%	4.709%	5/1/42		155			161
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.774%	4.683%	4/1/37		66			71
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.780%	4.905%	2/1/41		271			285
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.793%	3.391%	8/1/42		2,312			2,309
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.795%	4.839%	3/1/42		971			1,023
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.798%	4.358%	3/1/42		431			463
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.804%	3.943%	12/1/39		538			560
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.805%	3.773%	11/1/41		1,070			1,140
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.685%	10/1/40		826			867
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.935%	11/1/33–11/1/39		805			852
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.810%	4.060%	9/1/33		7			7
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.810%	4.810%	12/1/40		410			430
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.813%	3.978%	11/1/41		623			658
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.813%	4.435%	1/1/42		850			894
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.690%	11/1/40		232			244
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.809%	12/1/40		303			319
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.970%	12/1/41		705			746
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.815%	4.693%	5/1/41		799			842
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.815%	4.940%	2/1/41		669			706
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.819%	4.759%	3/1/41		994			1,046
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.820%	4.168%	12/1/40		314			329
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.822%	4.310%	9/1/40		1,171			1,234
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.823%	4.902%	2/1/41		503			507
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.825%	4.825%	3/1/41		719			766
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.826%	4.576%	7/1/38		289			296
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.830%	3.451%	4/1/41		1,033			1,037
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.830%	4.580%	6/1/41		789			834

8

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.835%	4.723%	1/1/40		655			681
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.840%	4.403%	8/1/39		483			510
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.861%	4.745%	5/1/40		240			248
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.880%	4.406%	11/1/34		380			405
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.884%	3.899%	10/1/37		54			57
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.909%	4.784%	4/1/37		326			343
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.912%	4.787%	5/1/36		80			80
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.965%	5.009%	4/1/37		22			23
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 1.989%	4.632%	1/1/37		33			35
3,4,6	Fannie Mae Pool, 12M USD LIBOR + 2.130%	4.667%	10/1/36		222			238
3,4,6	Fannie Mae Pool, 1Y CMT + 2.155%	4.780%	12/1/37		637			658
3,4,6	Fannie Mae Pool, 1Y CMT + 2.185%	4.721%	5/1/36		45			48
3,4,6	Fannie Mae Pool, 1Y CMT + 2.189%	3.939%	12/1/35		3			4
3,4,6	Fannie Mae Pool, 1Y CMT + 2.190%	4.450%	12/1/36		10			10
3,4,6	Fannie Mae Pool, 1Y CMT + 2.238%	4.613%	7/1/38		223			236
3,4,6	Fannie Mae Pool, 1Y CMT + 2.268%	4.268%	9/1/33		3			3
3,4,6	Fannie Mae Pool, 1Y CMT + 2.268%	4.415%	12/1/35		208			220
3,4,6	Fannie Mae Pool, 1Y CMT + 2.268%	4.893%	5/1/33		3			3
3,4,6	Fannie Mae Pool, 1Y CMT + 2.275%	4.025%	11/1/32		8			9
3,4,6	Fannie Mae Pool, 1Y CMT + 2.313%	4.845%	1/1/35		228			243
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.026%	3.206%	4/1/37		808			835
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.413%	3.691%	7/1/34		135			143
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.476%	2.242%	3/1/43		4,288			4,290
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.530%	3.662%	12/1/43		1,057			1,126
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.582%	2.743%	6/1/43		2,822			2,838
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.638%	4.339%	8/1/39		1,192			1,222
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.657%	4.260%	10/1/42		937			943
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.700%	4.531%	7/1/37		292			311
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.710%	3.371%	9/1/43		2,542			2,602
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.723%	4.720%	5/1/42		2,052			2,143
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.789%	4.572%	7/1/42		740			797
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.840%	4.157%	8/1/37		561			589
3,4,6	Fannie Mae Pool, 6M USD LIBOR + 1.851%	4.434%	2/1/42		1,337			1,431
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 0.985%	3.235%	10/1/37		53			54
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.245%	4.098%	8/1/37		51			51
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.550%	4.675%	4/1/37		1			1
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.564%	4.420%	3/1/37		79			81
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.570%	4.695%	3/1/37		31			32
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.588%	3.921%	9/1/37		290			296
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.625%	4.625%	1/1/38		80			85
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	3.807%	11/1/43		536			553
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	3.830%	12/1/36		294			311
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	4.515%	5/1/42		183			184
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660%	3.711%	10/1/37		535			557
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695%	4.767%	2/1/37		190			202
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.727%	4.738%	1/1/35		60			64
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.743%	3.865%	12/1/36		427			439
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745%	4.713%	12/1/40		1,109			1,151

9

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.625%	5/1/38		65			68
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.750%	4/1/33		2			2
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.799%	3/1/36		11			11
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%	3.730%	12/1/36		151			161
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%	4.765%	4/1/35		1			2
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.770%	3.925%	12/1/34		7			7
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.780%	3.977%	3/1/36		4			4
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796%	3.871%	12/1/34		300			305
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798%	4.529%	6/1/37		609			650
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798%	4.761%	5/1/33		16			16
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.833%	4.190%	3/1/42		796			840
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.834%	4.220%	12/1/35		369			389
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840%	4.590%	6/1/37		71			75
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.842%	4.466%	6/1/41		43			45
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.851%	4.716%	1/1/37		258			273
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.864%	4.595%	2/1/42		296			311
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.865%	4.348%	8/1/37		231			240
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.870%	4.038%	12/1/39		157			166
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.005%	11/1/40		67			70
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.630%	6/1/40		469			484
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.713%	6/1/41		302			315
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.755%	5/1/40		387			400
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.756%	6/1/40		337			354
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.880%	12/1/40		89			92
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.979%	1/1/41		957			1,001
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	5.005%	3/1/41		261			277
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.885%	4.510%	7/1/38		224			229
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889%	4.956%	2/1/42		584			586
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895%	4.323%	9/1/40		745			784
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	3.846%	11/1/40		514			530
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	4.705%	6/1/40		564			584
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	4.825%	1/1/41		148			156

10

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	5.035%	2/1/41		944			1,003
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977%	4.783%	5/1/37		943			975
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.995%	5.120%	3/1/37		414			439
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.000%	4.750%	7/1/35		64			67
3,4,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085%	5.210%	3/1/38		76			80
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.125%	4.625%	6/1/35		2			2
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.006%	11/1/34		765			800
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.325%	8/1/34		1			1
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.397%	11/1/36		136			140
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.713%	6/1/34		2			2
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.750%	5/1/36		443			466
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.991%	2/1/36		231			241
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.273%	4.773%	6/1/36		8			8
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.315%	4.315%	12/1/34		25			26
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.409%	4.159%	11/1/33		2			2
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.409%	4.964%	10/1/36		505			536
3,4,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.549%	5.173%	3/1/37		91			91
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%	3.438%	6/1/37		311			318
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%	3.548%	5/1/37		33			34
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.570%	3.859%	3/1/37		126			131
3,4,6	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.665%	3.982%	1/1/37		660			694
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.250%	7/20/38–8/20/41		1,883			1,941
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.875%	6/20/29–6/20/43		5,001			5,165
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.000%	1/20/41–1/20/44		8,990			9,234
4,6	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.125%	10/20/38–12/20/43		7,016			7,249
4,6	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.375%	5/20/41		511			525
4,6	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.625%	11/20/40		60			62
								111,178
Total U.S. Government and Agency Obligations (Cost $158,880,382)								162,791,480
Asset-Backed/Commercial Mortgage-Backed Securities (2.6%)
4	Ally Auto Receivables Trust 2017-4	1.750%	12/15/21		4,047			4,044
4	Ally Auto Receivables Trust 2017-4	1.960%	7/15/22		3,128			3,127
4	Ally Auto Receivables Trust 2018-1	2.350%	6/15/22		4,385			4,392
4	Ally Auto Receivables Trust 2018-1	2.530%	2/15/23		1,825			1,838
4	Ally Auto Receivables Trust 2018-3	3.000%	1/17/23		1,750			1,763
4	Ally Auto Receivables Trust 2018-3	3.120%	7/17/23		2,375			2,420
4	Ally Auto Receivables Trust 2018-A4	3.090%	6/15/23		2,230			2,264
4	Ally Auto Receivables Trust 2019-2	2.230%	1/16/24		15,900			15,952
4	Ally Auto Receivables Trust 2019-2	2.260%	8/15/24		1,875			1,889
4	Ally Auto Receivables Trust 2019-4	1.840%	6/17/24		13,355			13,342
4	Ally Auto Receivables Trust 2019-4	1.920%	1/15/25		1,600			1,595
4	Ally Master Owner Trust Series 2018-1	2.700%	1/17/23		23,500			23,664
4	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23		6,275			6,381
4	American Express Credit Account Master Trust 2017-1	1.930%	9/15/22		14,900			14,897
4	American Express Credit Account Master Trust 2017-3	1.770%	11/15/22		8,500			8,497
4	American Express Credit Account Master Trust 2017-6	2.040%	5/15/23		21,800			21,831
4	American Express Credit Account Master Trust 2017-7	2.350%	5/15/25		13,300			13,470
4	American Express Credit Account Master Trust 2018-1	2.670%	10/17/22		15,725			15,749
4	American Express Credit Account Master Trust 2018-2	3.010%	10/15/25		14,150			14,629
4	American Express Credit Account Master Trust 2018-4	2.990%	12/15/23		18,000			18,269
4	American Express Credit Account Master Trust 2018-8	3.180%	4/15/24		2,200			2,249
4	American Express Credit Account Master Trust 2019-1	2.870%	10/15/24		845			863
4	AmeriCredit Automobile Receivables Trust 2017-3	1.900%	3/18/22		2,145			2,143
4	AmeriCredit Automobile Receivables Trust 2018-1	3.070%	12/19/22		5,250			5,282
4	AmeriCredit Automobile Receivables Trust 2018-1	3.260%	1/18/24		3,150			3,202
4	AmeriCredit Automobile Receivables Trust 2018-1	3.500%	1/18/24		2,100			2,154
4	AmeriCredit Automobile Receivables Trust 2019-1	2.970%	11/20/23		5,025			5,084

11

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	BA Credit Card Trust 2017-A1	1.950%	8/15/22		14,500			14,501
4	BA Credit Card Trust 2018-A1	2.700%	7/17/23		26,500			26,758
4	BA Credit Card Trust 2019-A1	1.740%	1/15/25		10,750			10,722
4	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%	9/15/48		2,350			2,439
4	Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%	9/15/48		4,100			4,362
4	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50		9,108			9,731
4	Banc of America Commercial Mortgage Trust 2017-BNK3	3.748%	2/15/50		3,542			3,712
4	BANK 2017 - BNK5	3.390%	6/15/60		9,750			10,314
4	BANK 2017 - BNK5	3.624%	6/15/60		4,450			4,653
4	BANK 2017 - BNK6	3.518%	7/15/60		3,388			3,612
4	BANK 2017 - BNK6	3.741%	7/15/60		3,388			3,616
4	BANK 2017 - BNK7	3.175%	9/15/60		5,925			6,143
4	BANK 2017 - BNK7	3.435%	9/15/60		3,675			3,897
4	BANK 2017 - BNK7	3.748%	9/15/60		4,100			4,342
4	BANK 2017 - BNK8	3.488%	11/15/50		8,000			8,512
4	BANK 2017 - BNK8	3.731%	11/15/50		1,325			1,399
4	BANK 2017 - BNK9	3.279%	11/15/54		8,000			8,377
4	BANK 2017 - BNK9	3.538%	11/15/54		8,000			8,537
4	BANK 2018 - BN10	3.641%	2/15/61		1,802			1,916
4	BANK 2018 - BN10	3.688%	2/15/61		13,650			14,721
4	BANK 2018 - BN10	3.898%	2/15/61		2,100			2,253
4	BANK 2018 - BN11	4.046%	3/15/61		5,550			6,126
4	BANK 2018 - BN12	4.255%	5/15/61		6,550			7,332
4	BANK 2018 - BN12	4.359%	5/15/61		2,100			2,367
4	BANK 2018 - BN13	4.217%	8/15/61		2,200			2,462
4	BANK 2018 - BN14	4.128%	9/15/60		3,425			3,636
4	BANK 2018 - BN14	4.231%	9/15/60		5,750			6,438
4	BANK 2018 - BN14	4.481%	9/15/60		1,550			1,722
4	BANK 2018 - BN15	4.407%	11/15/61		7,690			8,741
4	BANK 2019 - BN16	4.005%	2/15/52		6,625			7,328
4	BANK 2019 - BN17	3.714%	4/15/52		7,350			7,972
4	BANK 2019 - BN17	3.976%	4/15/52		1,750			1,875
4	BANK 2019 - BN18	3.584%	5/15/62		21,125			22,721
4	BANK 2019 - BN18	3.826%	5/15/62		2,575			2,747
4	BANK 2019 - BN19	3.183%	8/15/61		15,850			16,541
4	BANK 2019 - BN20	3.011%	9/15/61		10,250			10,550
4	BANK 2019 - BN21	2.851%	10/17/52		21,600			21,940
4	BANK 2019 - BN21	3.093%	10/17/52		4,325			4,342
4	BANK 2019 - BN22	2.978%	11/15/62		16,943			17,391
4	BANK 2019 - BN23	2.920%	12/15/52		10,705			10,935
4	BANK 2019 - BN23	3.203%	12/15/52		4,000			4,045
4	BANK 2019 - BN24	2.960%	11/15/62		8,050			8,250
4	BANK 2019 - BN24	3.283%	11/15/62		3,750			3,818
4	Bank Of America Credit Card Trust 2018-A2	3.000%	9/15/23		23,450			23,782
	Bank of Nova Scotia	1.875%	4/26/21		8,800			8,798
4	BBCMS Mortgage Trust 2017-C1	3.674%	2/15/50		17,475			18,756
4	BBCMS Mortgage Trust 2017-C1	3.898%	2/15/50		4,675			4,982
4	BBCMS Mortgage Trust 2018-C2	4.314%	12/15/51		8,350			9,395
4	BBCMS Mortgage Trust 2019-C3	3.583%	5/15/52		21,595			22,945
4	BBCMS Mortgage Trust 2019-C4	2.919%	8/15/52		15,870			16,120
4	BBCMS Mortgage Trust 2019-C4	3.171%	8/15/52		1,325			1,338
4	BBCMS Mortgage Trust 2019-C5	3.063%	11/15/52		8,975			9,185
4	BBCMS Mortgage Trust 2019-C5	3.366%	11/15/52		5,375			5,492
4	Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26	5.450%	1/12/45		937			939
4	BENCHMARK 2018-B1 Mortgage Trust	3.666%	1/15/51		7,960			8,573
4	BENCHMARK 2018-B1 Mortgage Trust	3.878%	1/15/51		2,600			2,772
4	BENCHMARK 2018-B2 Mortgage Trust	3.662%	2/15/51		6,050			6,274
4	BENCHMARK 2018-B2 Mortgage Trust	3.882%	2/15/51		17,575			19,066
4	BENCHMARK 2018-B2 Mortgage Trust	4.084%	2/15/51		8,225			8,934

12

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	BENCHMARK 2018-B3 Mortgage Trust	3.848%	4/10/51		5,000			5,215
4	BENCHMARK 2018-B3 Mortgage Trust	4.025%	4/10/51		13,150			14,505
4	BENCHMARK 2018-B4 Mortgage Trust	4.121%	7/15/51		18,625			20,674
4	BENCHMARK 2018-B4 Mortgage Trust	4.311%	7/15/51		3,250			3,570
4	BENCHMARK 2018-B5 Mortgage Trust	4.208%	7/15/51		8,850			9,868
4	BENCHMARK 2018-B5 Mortgage Trust	4.419%	7/15/51		1,750			1,928
4	BENCHMARK 2018-B6 Mortgage Trust	4.203%	10/10/51		3,325			3,533
4	BENCHMARK 2018-B6 Mortgage Trust	4.261%	10/10/51		4,025			4,509
4	BENCHMARK 2018-B6 Mortgage Trust	4.441%	10/10/51		1,250			1,384
4	BENCHMARK 2018-B7 Mortgage Trust	4.510%	5/15/53		12,400			14,178
4	BENCHMARK 2018-B8 Mortgage Trust	4.232%	1/15/52		10,690			12,014
4	BENCHMARK 2018-B8 Mortgage Trust	4.532%	1/15/52		3,400			3,803
4	BENCHMARK 2019-B9 Mortgage Trust	4.016%	3/15/52		6,281			6,954
4	BENCHMARK 2019-B10 Mortgage Trust	3.717%	3/15/62		6,100			6,636
4	BENCHMARK 2019-B10 Mortgage Trust	3.979%	3/15/62		2,600			2,789
4	BENCHMARK 2019-B11 Mortgage Trust	3.542%	5/15/52		15,840			17,005
4	BENCHMARK 2019-B11 Mortgage Trust	3.784%	5/15/52		4,225			4,528
4	BENCHMARK 2019-B13 Mortgage Trust	2.952%	8/15/57		16,175			16,513
4	BENCHMARK 2019-B14 Mortgage Trust	3.049%	12/15/62		13,650			14,094
4	BENCHMARK 2019-B15 Mortgage Trust	2.928%	12/15/72		13,355			13,513
4	BMW Vehicle Lease Trust 2017-2	2.070%	10/20/20		1,121			1,121
4	BMW Vehicle Owner Trust 2018-A	2.350%	4/25/22		7,505			7,524
4	BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24		1,850			1,864
4	Cantor Commercial Real Estate Lending 2019-CF1	3.786%	5/15/52		4,025			4,342
4	Cantor Commercial Real Estate Lending 2019-CF2	2.874%	11/15/52		8,100			8,141
4	Cantor Commercial Real Estate Lending 2019-CF3	3.006%	1/15/53		8,000			8,154
4	Cantor Commercial Real Estate Lending 2019-CF3	3.298%	1/15/53		3,434			3,442
4	Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23		6,330			6,381
4	Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24		2,125			2,155
4	Capital One Multi-Asset Execution Trust 2015-A2	2.080%	3/15/23		12,000			12,008
4	Capital One Multi-Asset Execution Trust 2015-A8	2.050%	8/15/23		8,200			8,213
4	Capital One Multi-Asset Execution Trust 2017-A1	2.000%	1/17/23		9,475			9,476
4	Capital One Multi-Asset Execution Trust 2017-A3	2.430%	1/15/25		9,850			9,939
4	Capital One Multi-Asset Execution Trust 2017-A4	1.990%	7/17/23		15,200			15,217
4	Capital One Multi-Asset Execution Trust 2017-A6	2.290%	7/15/25		12,800			12,948
4	Capital One Multi-Asset Execution Trust 2018-A1	3.010%	2/15/24		6,775			6,868
4	Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24		4,250			4,338
4	CarMax Auto Owner Trust 2016-3	1.390%	5/17/21		457			457
4	CarMax Auto Owner Trust 2016-3	1.600%	1/18/22		1,685			1,681
4	CarMax Auto Owner Trust 2017-2	2.410%	12/15/22		3,325			3,341
4	CarMax Auto Owner Trust 2017-4	2.110%	10/17/22		3,798			3,802
4	CarMax Auto Owner Trust 2017-4	2.330%	5/15/23		3,200			3,214
4	CarMax Auto Owner Trust 2018-1	2.480%	11/15/22		4,775			4,794
4	CarMax Auto Owner Trust 2018-1	2.640%	6/15/23		1,200			1,214
4	CarMax Auto Owner Trust 2018-2	2.980%	1/17/23		4,200			4,240
4	CarMax Auto Owner Trust 2018-2	3.160%	7/17/23		2,625			2,678
4	CarMax Auto Owner Trust 2019-4	2.020%	11/15/24		10,750			10,766
4	CarMax Auto Owner Trust 2019-4	2.130%	7/15/25		1,350			1,353
4	CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49		9,075			9,167
4	CD 2016-CD2 Commercial Mortgage Trust	3.526%	11/10/49		7,300			7,772
4	CD 2017-CD3 Commercial Mortgage Trust	3.453%	2/10/50		1,285			1,339
4	CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50		9,773			10,467
4	CD 2017-CD3 Commercial Mortgage Trust	3.833%	2/10/50		2,542			2,684
4	CD 2017-CD4 Commercial Mortgage Trust	3.514%	5/10/50		5,133			5,442
4	CD 2017-CD4 Commercial Mortgage Trust	3.747%	5/10/50		3,000			3,177
4	CD 2017-CD5 Commercial Mortgage Trust	3.431%	8/15/50		3,500			3,687
4	CD 2017-CD6 Commercial Mortgage Trust	3.332%	11/13/50		3,300			3,454
4	CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50		6,575			6,924
4	CD 2017-CD6 Commercial Mortgage Trust	3.709%	11/13/50		3,825			4,034
4	CD 2018-CD7 Commercial Mortgage Trust	4.279%	8/15/51		7,375			8,287
4	CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57		10,580			10,793
4	CenterPoint Energy Transition Bond Co. IV LLC 2012-1	3.028%	10/15/25		9,483			9,710
4	CFCRE Commercial Mortgage Trust 2016-C3	3.865%	1/10/48		5,800			6,180
4	CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58		8,250			8,547

13

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	CFCRE Commercial Mortgage Trust 2016-C4	3.691%	5/10/58		5,900			6,140
4	CFCRE Commercial Mortgage Trust 2016-C6	3.217%	11/10/49		14,200			14,672
4	CFCRE Commercial Mortgage Trust 2017-C8	3.572%	6/15/50		3,650			3,876
4	Chase Issuance Trust 2012-A7	2.160%	9/15/24		20,440			20,574
4	Chase Issuance Trust 2014-A2	2.770%	3/15/23		11,150			11,273
4	Chase Issuance Trust 2015-A4	1.840%	4/15/22		8,400			8,396
4	Chase Issuance Trust 2016-A4	1.490%	7/15/22		9,850			9,829
4	Citibank Credit Card Issuance Trust 2014-A1	2.880%	1/23/23		10,460			10,565
4	Citibank Credit Card Issuance Trust 2014-A5	2.680%	6/7/23		14,767			14,949
4	Citibank Credit Card Issuance Trust 2016-A2	2.190%	11/20/23		11,325			11,390
4	Citibank Credit Card Issuance Trust 2018-A1	2.490%	1/20/23		27,800			27,982
4	Citibank Credit Card Issuance Trust 2018-A3	3.290%	5/23/25		26,125			27,251
4	Citigroup Commercial Mortgage Trust 2012-GC8	3.024%	9/10/45		5,211			5,314
4	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46		3,165			3,243
4	Citigroup Commercial Mortgage Trust 2013-GC11	3.422%	4/10/46		2,000			2,061
4	Citigroup Commercial Mortgage Trust 2013-GC15	3.942%	9/10/46		913			942
4	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46		1,975			2,110
4	Citigroup Commercial Mortgage Trust 2013-GC15	4.649%	9/10/46		2,875			3,077
4	Citigroup Commercial Mortgage Trust 2013-GC17	3.675%	11/10/46		694			712
4	Citigroup Commercial Mortgage Trust 2013-GC17	4.131%	11/10/46		3,150			3,347
4	Citigroup Commercial Mortgage Trust 2013-GC17	4.544%	11/10/46		1,150			1,239
4	Citigroup Commercial Mortgage Trust 2013-GC17	5.095%	11/10/46		1,150			1,248
4	Citigroup Commercial Mortgage Trust 2014-GC19	3.552%	3/10/47		990			1,019
4	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47		1,700			1,807
4	Citigroup Commercial Mortgage Trust 2014-GC19	4.345%	3/10/47		1,425			1,521
4	Citigroup Commercial Mortgage Trust 2014-GC21	3.477%	5/10/47		554			569
4	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47		3,025			3,199
4	Citigroup Commercial Mortgage Trust 2014-GC21	4.328%	5/10/47		2,450			2,581
4	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47		3,875			4,095
4	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47		8,525			8,979
4	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48		11,450			11,849
4	Citigroup Commercial Mortgage Trust 2015-GC27	3.571%	2/10/48		4,550			4,721
4	Citigroup Commercial Mortgage Trust 2015-GC29	2.674%	4/10/48		1,961			1,963
4	Citigroup Commercial Mortgage Trust 2015-GC29	3.192%	4/10/48		9,075			9,422
4	Citigroup Commercial Mortgage Trust 2015-GC29	3.758%	4/10/48		4,365			4,499
4	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48		4,625			4,923
4	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58		5,725			6,107
4	Citigroup Commercial Mortgage Trust 2016-C1	3.003%	5/10/49		3,400			3,490
4	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49		6,500			6,755
4	Citigroup Commercial Mortgage Trust 2016-C2	2.832%	8/10/49		3,500			3,556
4	Citigroup Commercial Mortgage Trust 2016-GC36	3.616%	2/10/49		11,425			12,125
4	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49		3,825			3,906
4	Citigroup Commercial Mortgage Trust 2017-B1	3.458%	8/15/50		13,430			14,166
4	Citigroup Commercial Mortgage Trust 2017-B1	3.711%	8/15/50		2,675			2,808
4	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50		8,000			8,513
4	Citigroup Commercial Mortgage Trust 2017-C4	3.764%	10/12/50		2,125			2,258
4	Citigroup Commercial Mortgage Trust 2018-B2	3.788%	3/10/51		2,950			3,080
4	Citigroup Commercial Mortgage Trust 2018-B2	4.009%	3/10/51		15,825			17,296
4	Citigroup Commercial Mortgage Trust 2019-GC41	2.869%	8/10/56		13,210			13,400
4	Citigroup Commercial Mortgage Trust 2019-GC43	3.038%	11/10/52		16,100			16,533
4	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45		2,580			2,634
4	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45		2,950			3,026
4	COMM 2012-CCRE3 Mortgage Trust	2.822%	10/15/45		4,889			4,942
4,7	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45		3,548			3,609
4	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45		5,119			5,180
4	COMM 2012-CCRE5 Mortgage Trust	2.771%	12/10/45		1,500			1,521
4	COMM 2013-CCRE10 Mortgage Trust	4.210%	8/10/46		1,120			1,191
4	COMM 2013-CCRE11 Mortgage Trust	3.660%	8/10/50		1,159			1,189
4	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50		1,909			2,013
4	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50		6,600			7,057
4	COMM 2013-CCRE11 Mortgage Trust	4.715%	8/10/50		1,430			1,540
4	COMM 2013-CCRE12 Mortgage Trust	2.904%	10/10/46		72			72
4	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46		1,340			1,378
4	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46		2,275			2,340

14

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46		1,700			1,801
4	COMM 2013-CCRE12 Mortgage Trust	4.300%	10/10/46		1,150			1,219
4	COMM 2013-CCRE12 Mortgage Trust	4.762%	10/10/46		575			597
4	COMM 2013-CCRE13 Mortgage Trust	3.706%	11/10/46		470			484
4	COMM 2013-CCRE13 Mortgage Trust	4.194%	11/10/46		5,850			6,239
4	COMM 2013-CCRE13 Mortgage Trust	4.449%	11/10/46		1,750			1,871
4	COMM 2013-CCRE6 Mortgage Trust	3.101%	3/10/46		2,908			2,964
4	COMM 2013-CCRE7 Mortgage Trust	3.213%	3/10/46		1,706			1,750
4	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46		3,262			3,391
4	COMM 2013-CCRE9 Mortgage Trust	4.222%	7/10/45		4,060			4,301
4	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46		1,680			1,793
4	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46		5,246			5,343
4	COMM 2013-LC6 Mortgage Trust	3.282%	1/10/46		2,547			2,605
4	COMM 2014-CCRE14 Mortgage Trust	3.147%	2/10/47		800			800
4	COMM 2014-CCRE14 Mortgage Trust	4.236%	2/10/47		1,775			1,895
4	COMM 2014-CCRE14 Mortgage Trust	4.526%	2/10/47		1,950			2,091
4	COMM 2014-CCRE14 Mortgage Trust	4.638%	2/10/47		1,175			1,275
4	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47		1,217			1,217
4	COMM 2014-CCRE15 Mortgage Trust	3.595%	2/10/47		1,206			1,239
4	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47		2,641			2,818
4	COMM 2014-CCRE15 Mortgage Trust	4.697%	2/10/47		1,320			1,429
4	COMM 2014-CCRE16 Mortgage Trust	3.653%	4/10/47		1,931			1,986
4	COMM 2014-CCRE16 Mortgage Trust	4.278%	4/10/47		2,950			3,119
4	COMM 2014-CCRE17 Mortgage Trust	3.598%	5/10/47		1,238			1,274
4	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47		2,225			2,364
4	COMM 2014-CCRE17 Mortgage Trust	4.377%	5/10/47		1,375			1,441
4	COMM 2014-CCRE18 Mortgage Trust	3.452%	7/15/47		3,734			3,818
4	COMM 2014-CCRE18 Mortgage Trust	3.828%	7/15/47		1,400			1,480
4	COMM 2014-CCRE18 Mortgage Trust	4.103%	7/15/47		1,845			1,957
4	COMM 2014-CCRE19 Mortgage Trust	3.796%	8/10/47		8,400			8,914
4	COMM 2014-CCRE19 Mortgage Trust	4.080%	8/10/47		2,250			2,386
4	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47		2,375			2,507
4	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47		8,012			8,393
4	COMM 2014-LC15 Mortgage Trust	4.006%	4/10/47		8,215			8,735
4	COMM 2014-LC17 Mortgage Trust	3.164%	10/10/47		561			562
4	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47		2,225			2,376
4	COMM 2014-UBS2 Mortgage Trust	2.820%	3/10/47		225			225
4	COMM 2014-UBS2 Mortgage Trust	3.472%	3/10/47		824			846
4	COMM 2014-UBS2 Mortgage Trust	3.961%	3/10/47		2,533			2,679
4	COMM 2014-UBS2 Mortgage Trust	4.199%	3/10/47		709			751
4	COMM 2014-UBS2 Mortgage Trust	4.701%	3/10/47		449			478
4	COMM 2014-UBS3 Mortgage Trust	3.819%	6/10/47		4,475			4,732
4	COMM 2014-UBS4 Mortgage Trust	3.694%	8/10/47		5,575			5,865
4	COMM 2014-UBS4 Mortgage Trust	3.968%	8/10/47		2,144			2,247
4	COMM 2014-UBS5 Mortgage Trust	3.838%	9/10/47		6,650			7,045
4	COMM 2014-UBS6 Mortgage Trust	2.935%	12/10/47		1,066			1,066
4	COMM 2014-UBS6 Mortgage Trust	3.387%	12/10/47		5,600			5,746
4	COMM 2014-UBS6 Mortgage Trust	3.644%	12/10/47		10,725			11,265
4	COMM 2014-UBS6 Mortgage Trust	4.048%	12/10/47		2,800			2,959
4	COMM 2015-CCRE22 Mortgage Trust	2.856%	3/10/48		1,105			1,105
4	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48		7,950			8,298
4	COMM 2015-CCRE22 Mortgage Trust	3.603%	3/10/48		2,850			2,964
4	COMM 2015-CCRE23 Mortgage Trust	3.257%	5/10/48		3,475			3,570
4	COMM 2015-CCRE23 Mortgage Trust	3.497%	5/10/48		5,219			5,490
4	COMM 2015-CCRE23 Mortgage Trust	3.801%	5/10/48		2,325			2,450
4	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48		5,725			6,110
4	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48		11,600			12,272
4	COMM 2015-CCRE27 Mortgage Trust	3.404%	10/10/48		5,900			6,096
4	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48		5,900			6,243
4	COMM 2015-LC19 Mortgage Trust	3.040%	2/10/48		1,150			1,173
4	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48		5,894			6,114
4	COMM 2015-LC19 Mortgage Trust	3.527%	2/10/48		2,687			2,798
4	COMM 2016-CCRE28 Mortgage Trust	3.762%	2/10/49		8,575			9,149
4	COMM 2016-DC2 Mortgage Trust	3.550%	2/10/49		7,000			7,282

15

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	COMM Mortgage Trust 2019-G44	2.950%	8/15/57		6,400			6,526
4	CSAIL 2015-C1 Commercial Mortgage Trust	3.505%	4/15/50		5,550			5,837
4	CSAIL 2015-C1 Commercial Mortgage Trust	3.791%	4/15/50		2,825			2,971
4	CSAIL 2015-C1 Commercial Mortgage Trust	4.044%	4/15/50		2,250			2,354
4	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57		7,400			7,742
4	CSAIL 2015-C2 Commercial Mortgage Trust	3.849%	6/15/57		2,900			3,032
4	CSAIL 2015-C3 Commercial Mortgage Trust	3.448%	8/15/48		4,443			4,583
4	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48		5,700			6,021
4	CSAIL 2015-C3 Commercial Mortgage Trust	4.104%	8/15/48		2,625			2,734
4	CSAIL 2015-C4 Commercial Mortgage Trust	3.617%	11/15/48		3,550			3,682
4	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48		4,600			4,920
4	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49		11,675			12,251
4	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50		10,250			10,830
4	CSAIL 2017-CX10 Commercial Mortgage Trust	3.458%	11/15/50		8,000			8,422
4	CSAIL 2017-CX9 Commercial Mortgage Trust	3.446%	9/15/50		3,275			3,435
4	CSAIL 2018-CX11 Commercial Mortgage Trust	4.033%	4/15/51		15,825			17,363
4	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51		2,975			3,265
4	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52		13,200			14,512
4	CSAIL 2019-C16 Commercial Mortgage Trust	3.329%	6/15/52		15,960			16,736
4	DBJPM 16-C1 Mortgage Trust	3.276%	5/10/49		4,275			4,464
4	DBJPM 16-C3 Mortgage Trust	2.890%	8/10/49		5,000			5,112
4	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50		7,900			8,258
4	DBJPM 17-C6 Mortgage Trust	3.561%	6/10/50		2,174			2,268
4	Discover Card Execution Note Trust 2015-A2	1.900%	10/17/22		14,494			14,495
4	Discover Card Execution Note Trust 2015-A4	2.190%	4/17/23		11,500			11,531
4	Discover Card Execution Note Trust 2017-A2	2.390%	7/15/24		6,250			6,314
4	Discover Card Execution Note Trust 2018-A1	3.030%	8/15/25		13,150			13,504
4	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24		15,740			15,723
4	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24		5,982			6,013
3,4	Fannie Mae-Aces 2011-M2	3.764%	4/25/21		5,635			5,728
3,4	Fannie Mae-Aces 2011-M4	3.726%	6/25/21		9,380			9,542
3,4	Fannie Mae-Aces 2012-M5	2.715%	2/25/22		4,920			4,961
3,4	Fannie Mae-Aces 2013-M12	2.406%	3/25/23		9,153			9,237
3,4	Fannie Mae-Aces 2013-M14	2.651%	4/25/23		4,271			4,315
3,4	Fannie Mae-Aces 2013-M14	3.329%	10/25/23		15,132			15,770
3,4	Fannie Mae-Aces 2013-M4	2.608%	3/25/22		108			108
3,4	Fannie Mae-Aces 2013-M7	2.280%	12/27/22		3,699			3,725
3,4	Fannie Mae-Aces 2014-M1	3.188%	7/25/23		17,420			18,028
3,4	Fannie Mae-Aces 2014-M12	2.614%	10/25/21		12,937			13,036
3,4	Fannie Mae-Aces 2014-M13	2.566%	8/25/24		487			488
3,4	Fannie Mae-Aces 2014-M13	3.021%	8/25/24		10,418			10,704
3,4	Fannie Mae-Aces 2014-M2	3.513%	12/25/23		14,391			15,089
3,4	Fannie Mae-Aces 2014-M3	3.480%	1/25/24		6,059			6,318
3,4	Fannie Mae-Aces 2014-M4	3.346%	3/25/24		8,175			8,522
3,4	Fannie Mae-Aces 2014-M6	2.679%	5/25/21		11,087			11,175
3,4	Fannie Mae-Aces 2014-M7	3.275%	6/25/24		12,537			13,178
3,4	Fannie Mae-Aces 2014-M8	2.346%	6/25/24		1,011			1,015
3,4	Fannie Mae-Aces 2014-M8	3.056%	6/25/24		8,325			8,622
3,4	Fannie Mae-Aces 2014-M9	3.103%	7/25/24		10,459			10,844
3,4	Fannie Mae-Aces 2015-M1	2.532%	9/25/24		15,000			15,153
3,4	Fannie Mae-Aces 2015-M10	3.092%	4/25/27		4,600			4,812
3,4	Fannie Mae-Aces 2015-M11	2.829%	4/25/25		3,000			3,100
3,4	Fannie Mae-Aces 2015-M12	2.796%	5/25/25		11,600			11,891
3,4	Fannie Mae-Aces 2015-M15	2.923%	10/25/25		14,400			14,885
3,4	Fannie Mae-Aces 2015-M2	2.620%	12/25/24		9,739			9,980
3,4	Fannie Mae-Aces 2015-M3	2.723%	10/25/24		5,650			5,769
3,4	Fannie Mae-Aces 2015-M4	2.509%	7/25/22		5,123			5,156
3,4	Fannie Mae-Aces 2015-M7	2.590%	12/25/24		10,028			10,196
3,4	Fannie Mae-Aces 2015-M8	2.344%	1/25/25		3,706			3,733
3,4	Fannie Mae-Aces 2015-M8	2.900%	1/25/25		5,700			5,855
3,4	Fannie Mae-Aces 2016-M11	2.369%	7/25/26		17,000			17,099
3,4	Fannie Mae-Aces 2016-M12	2.308%	10/25/23		1,000			1,005
3,4	Fannie Mae-Aces 2016-M12	2.444%	9/25/26		17,200			17,441
3,4	Fannie Mae-Aces 2016-M13	2.483%	9/25/26		2,000			2,009

16

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4	Fannie Mae-Aces 2016-M2	2.152%	1/25/23		9,362			9,370
3,4	Fannie Mae-Aces 2016-M3	2.702%	2/25/26		5,800			5,941
3,4	Fannie Mae-Aces 2016-M4	2.576%	3/25/26		5,775			5,866
3,4	Fannie Mae-Aces 2016-M5	2.469%	4/25/26		12,400			12,436
3,4	Fannie Mae-Aces 2016-M6	2.488%	5/25/26		10,500			10,653
3,4	Fannie Mae-Aces 2016-M7	2.157%	10/25/23		2,746			2,748
3,4	Fannie Mae-Aces 2016-M7	2.499%	9/25/26		5,625			5,648
3,4	Fannie Mae-Aces 2016-M9	2.292%	6/25/26		18,939			18,787
3,4	Fannie Mae-Aces 2017-M1	2.417%	10/25/26		12,988			13,121
3,4	Fannie Mae-Aces 2017-M10	2.561%	7/25/24		5,910			6,022
3,4	Fannie Mae-Aces 2017-M11	2.980%	8/25/29		4,000			4,164
3,4	Fannie Mae-Aces 2017-M12	3.079%	6/25/27		19,650			20,403
3,4	Fannie Mae-Aces 2017-M13	2.939%	9/25/27		1,500			1,547
3,4	Fannie Mae-Aces 2017-M15	3.136%	11/25/27		15,725			16,363
3,4	Fannie Mae-Aces 2017-M2	2.801%	2/25/27		7,600			7,853
3,4	Fannie Mae-Aces 2017-M3	2.483%	12/25/26		10,730			10,901
3,4	Fannie Mae-Aces 2017-M4	2.586%	12/25/26		16,000			16,156
3,4	Fannie Mae-Aces 2017-M7	2.961%	2/25/27		12,125			12,578
3,4	Fannie Mae-Aces 2017-M8	3.061%	5/25/27		15,200			15,913
3,4	Fannie Mae-Aces 2018-M1	2.985%	12/25/27		2,000			2,088
3,4	Fannie Mae-Aces 2018-M12	3.640%	8/25/30		2,530			2,771
3,4	Fannie Mae-Aces 2018-M14	3.578%	8/25/28		6,200			6,711
3,4	Fannie Mae-Aces 2018-M18	2.469%	8/25/29		14,145			14,147
3,4	Fannie Mae-Aces 2018-M2	2.902%	1/25/28		26,525			27,326
3,4	Fannie Mae-Aces 2018-M4	3.045%	3/25/28		12,018			12,481
3,4	Fannie Mae-Aces 2018-M7	3.052%	3/25/28		7,275			7,600
3,4	Fannie Mae-Aces 2018-M8	3.325%	6/25/28		5,663			6,021
3,4	Fannie Mae-Aces 2018-M8	3.610%	2/25/31		17,675			19,142
3,4	Fannie Mae-Aces 2019-M1	3.555%	9/25/28		7,925			8,584
3,4	Fannie Mae-Aces 2019-M2	3.631%	11/25/28		11,675			12,724
3,4	Fannie Mae-Aces 2019-M22	2.522%	8/25/29		21,180			21,237
3,4	Fannie Mae-Aces 2019-M5	3.273%	1/25/29		10,525			11,159
3,4	Fannie Mae-Aces 2019-M7	3.143%	4/25/29		13,200			13,860
3,4	Fannie Mae-Aces 2019-M9	2.937%	4/25/29		18,875			19,557
3,4	Federal Housing Administration	7.430%	10/1/20		1			—
3,4	FHLMC Multifamily Structured Pass Through Certificates K011	4.084%	11/25/20		13,006			13,190
3,4	FHLMC Multifamily Structured Pass Through Certificates K012	4.185%	12/25/20		1,025			1,041
3,4	FHLMC Multifamily Structured Pass Through Certificates K014	3.871%	4/25/21		6,575			6,696
3,4	FHLMC Multifamily Structured Pass Through Certificates K017	2.873%	12/25/21		17,392			17,635
3,4	FHLMC Multifamily Structured Pass Through Certificates K018	2.789%	1/25/22		9,974			10,078
3,4	FHLMC Multifamily Structured Pass Through Certificates K019	2.272%	3/25/22		7,808			7,845
3,4	FHLMC Multifamily Structured Pass Through Certificates K020	2.373%	5/25/22		20,750			20,914
3,4	FHLMC Multifamily Structured Pass Through Certificates K021	2.396%	6/25/22		11,840			11,917
3,4	FHLMC Multifamily Structured Pass Through Certificates K022	2.355%	7/25/22		870			876
3,4	FHLMC Multifamily Structured Pass Through Certificates K023	2.307%	8/25/22		10,000			10,068
3,4	FHLMC Multifamily Structured Pass Through Certificates K026	2.510%	11/25/22		16,600			16,813
3,4	FHLMC Multifamily Structured Pass Through Certificates K027	2.637%	1/25/23		16,625			16,897
3,4	FHLMC Multifamily Structured Pass Through Certificates K028	3.111%	2/25/23		26,300			27,102
3,4	FHLMC Multifamily Structured Pass Through Certificates K029	2.839%	10/25/22		4,010			4,049

17

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4	FHLMC Multifamily Structured Pass Through Certificates K029	3.320%	2/25/23		16,425			17,026
3,4	FHLMC Multifamily Structured Pass Through Certificates K030	2.779%	9/25/22		6,551			6,608
3,4	FHLMC Multifamily Structured Pass Through Certificates K030	3.250%	4/25/23		17,675			18,283
3,4	FHLMC Multifamily Structured Pass Through Certificates K031	3.300%	4/25/23		16,452			17,091
3,4	FHLMC Multifamily Structured Pass Through Certificates K032	3.016%	2/25/23		7,079			7,198
3,4	FHLMC Multifamily Structured Pass Through Certificates K032	3.310%	5/25/23		17,660			18,332
3,4	FHLMC Multifamily Structured Pass Through Certificates K033	2.871%	2/25/23		8,420			8,531
3,4	FHLMC Multifamily Structured Pass Through Certificates K033	3.060%	7/25/23		19,075			19,710
3,4	FHLMC Multifamily Structured Pass Through Certificates K034	3.531%	7/25/23		15,354			16,097
3,4	FHLMC Multifamily Structured Pass Through Certificates K035	3.458%	8/25/23		19,775			20,707
3,4	FHLMC Multifamily Structured Pass Through Certificates K036	3.527%	10/25/23		17,403			18,245
3,4	FHLMC Multifamily Structured Pass Through Certificates K037	3.490%	1/25/24		6,475			6,806
3,4	FHLMC Multifamily Structured Pass Through Certificates K038	2.604%	10/25/23		2,213			2,226
3,4	FHLMC Multifamily Structured Pass Through Certificates K038	3.389%	3/25/24		19,450			20,337
3,4	FHLMC Multifamily Structured Pass Through Certificates K039	2.683%	12/25/23		1,971			1,994
3,4	FHLMC Multifamily Structured Pass Through Certificates K039	3.303%	7/25/24		10,850			11,397
3,4	FHLMC Multifamily Structured Pass Through Certificates K040	2.768%	4/25/24		4,146			4,210
3,4	FHLMC Multifamily Structured Pass Through Certificates K040	3.241%	9/25/24		14,400			15,113
3,4	FHLMC Multifamily Structured Pass Through Certificates K041	3.171%	10/25/24		14,025			14,661
3,4	FHLMC Multifamily Structured Pass Through Certificates K042	2.267%	6/25/24		2,032			2,037
3,4	FHLMC Multifamily Structured Pass Through Certificates K042	2.670%	12/25/24		6,450			6,602
3,4	FHLMC Multifamily Structured Pass Through Certificates K043	2.532%	10/25/23		2,031			2,048
3,4	FHLMC Multifamily Structured Pass Through Certificates K043	3.062%	12/25/24		10,900			11,369
3,4	FHLMC Multifamily Structured Pass Through Certificates K044	2.811%	1/25/25		3,000			3,085
3,4	FHLMC Multifamily Structured Pass Through Certificates K045	2.493%	11/25/24		4,491			4,529
3,4	FHLMC Multifamily Structured Pass Through Certificates K045	3.023%	1/25/25		9,050			9,398
3,4	FHLMC Multifamily Structured Pass Through Certificates K046	3.205%	3/25/25		9,175			9,623
3,4	FHLMC Multifamily Structured Pass Through Certificates K047	2.827%	12/25/24		2,171			2,209
3,4	FHLMC Multifamily Structured Pass Through Certificates K047	3.329%	5/25/25		6,850			7,235
3,4	FHLMC Multifamily Structured Pass Through Certificates K048	3.284%	6/25/25		11,600			12,246
3,4	FHLMC Multifamily Structured Pass Through Certificates K049	3.010%	7/25/25		9,350			9,736
3,4	FHLMC Multifamily Structured Pass Through Certificates K050	3.334%	8/25/25		10,325			10,913

18

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4	FHLMC Multifamily Structured Pass Through Certificates K052	3.151%	11/25/25		7,025			7,371
3,4	FHLMC Multifamily Structured Pass Through Certificates K053	2.995%	12/25/25		4,050			4,218
3,4	FHLMC Multifamily Structured Pass Through Certificates K054	2.745%	1/25/26		15,825			16,279
3,4	FHLMC Multifamily Structured Pass Through Certificates K055	2.263%	4/25/25		335			336
3,4	FHLMC Multifamily Structured Pass Through Certificates K055	2.673%	3/25/26		14,200			14,534
3,4	FHLMC Multifamily Structured Pass Through Certificates K056	2.525%	5/25/26		11,625			11,817
3,4	FHLMC Multifamily Structured Pass Through Certificates K057	2.570%	7/25/26		18,025			18,331
3,4	FHLMC Multifamily Structured Pass Through Certificates K058	2.653%	8/25/26		10,475			10,729
3,4	FHLMC Multifamily Structured Pass Through Certificates K059	3.120%	9/25/26		6,500			6,827
3,4	FHLMC Multifamily Structured Pass Through Certificates K060	3.300%	10/25/26		4,321			4,585
3,4	FHLMC Multifamily Structured Pass Through Certificates K061	3.347%	11/25/26		12,800			13,624
3,4	FHLMC Multifamily Structured Pass Through Certificates K062	3.413%	12/25/26		12,850			13,759
3,4	FHLMC Multifamily Structured Pass Through Certificates K063	3.430%	1/25/27		28,950			31,024
3,4	FHLMC Multifamily Structured Pass Through Certificates K064	3.224%	3/25/27		14,200			15,026
3,4	FHLMC Multifamily Structured Pass Through Certificates K065	3.243%	4/25/27		3,000			3,176
3,4	FHLMC Multifamily Structured Pass Through Certificates K066	3.117%	6/25/27		10,060			10,593
3,4	FHLMC Multifamily Structured Pass Through Certificates K067	3.194%	7/25/27		3,000			3,174
3,4	FHLMC Multifamily Structured Pass Through Certificates K068	3.244%	8/25/27		7,675			8,138
3,4	FHLMC Multifamily Structured Pass Through Certificates K069	3.187%	9/25/27		14,000			14,706
3,4	FHLMC Multifamily Structured Pass Through Certificates K070	3.303%	11/25/27		4,875			5,179
3,4	FHLMC Multifamily Structured Pass Through Certificates K071	3.286%	11/25/27		6,325			6,704
3,4	FHLMC Multifamily Structured Pass Through Certificates K072	3.444%	12/25/27		7,300			7,837
3,4	FHLMC Multifamily Structured Pass Through Certificates K075	3.650%	2/25/28		10,950			11,900
3,4	FHLMC Multifamily Structured Pass Through Certificates K076	3.900%	4/25/28		24,000			26,523
3,4	FHLMC Multifamily Structured Pass Through Certificates K081	3.900%	8/25/28		6,700			7,396
3,4	FHLMC Multifamily Structured Pass Through Certificates K082	3.920%	9/25/28		3,725			4,128
3,4	FHLMC Multifamily Structured Pass Through Certificates K084	3.780%	10/25/28		16,500			18,013
3,4	FHLMC Multifamily Structured Pass Through Certificates K085	4.060%	10/25/28		8,275			9,264
3,4	FHLMC Multifamily Structured Pass Through Certificates K087	3.591%	10/25/27		1,752			1,857
3,4	FHLMC Multifamily Structured Pass Through Certificates K088	3.690%	1/25/29		16,080			17,599
3,4	FHLMC Multifamily Structured Pass Through Certificates K089	3.563%	1/25/29		9,000			9,754
3,4	FHLMC Multifamily Structured Pass Through Certificates K092	3.298%	4/25/29		13,215			14,108

19

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4	FHLMC Multifamily Structured Pass Through Certificates K094	2.903%	6/25/29		15,725			16,309
3,4	FHLMC Multifamily Structured Pass Through Certificates K095	2.785%	6/25/29		15,850			16,296
3,4	FHLMC Multifamily Structured Pass Through Certificates K096	2.519%	7/25/29		13,750			13,889
3,4	FHLMC Multifamily Structured Pass Through Certificates K098	2.425%	8/25/29		26,450			26,437
3,4	FHLMC Multifamily Structured Pass Through Certificates K099	2.595%	9/25/29		12,180			12,254
3,4	FHLMC Multifamily Structured Pass Through Certificates K103	2.651%	12/25/51		16,700			16,978
3,4	FHLMC Multifamily Structured Pass Through Certificates K1511	3.470%	3/25/31		5,225			5,655
3,4	FHLMC Multifamily Structured Pass Through Certificates K1511	3.542%	3/25/34		13,170			14,261
3,4	FHLMC Multifamily Structured Pass Through Certificates K1513	2.797%	8/25/34		11,900			12,009
3,4	FHLMC Multifamily Structured Pass Through Certificates K152	3.080%	1/25/31		5,800			5,975
3,4	FHLMC Multifamily Structured Pass Through Certificates K153	3.294%	3/25/29		10,000			10,699
3,4	FHLMC Multifamily Structured Pass Through Certificates K153	3.117%	10/25/31		8,700			8,998
3,4	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	11/25/32		5,202			5,715
3,4	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	4/25/33		11,212			12,391
3,4	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	5/25/33		3,600			4,026
3,4	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	8/25/33		4,625			5,234
3,4	FHLMC Multifamily Structured Pass Through Certificates K504	2.566%	9/25/20		2,179			2,181
3,4	FHLMC Multifamily Structured Pass Through Certificates K713	2.313%	3/25/20		11,365			11,352
3,4	FHLMC Multifamily Structured Pass Through Certificates K714	3.034%	10/25/20		22,788			22,873
3,4	FHLMC Multifamily Structured Pass Through Certificates K716	2.413%	1/25/21		164			164
3,4	FHLMC Multifamily Structured Pass Through Certificates K716	3.130%	6/25/21		18,645			18,850
3,4	FHLMC Multifamily Structured Pass Through Certificates K717	2.991%	9/25/21		11,179			11,306
3,4	FHLMC Multifamily Structured Pass Through Certificates K718	2.375%	9/25/21		4,584			4,600
3,4	FHLMC Multifamily Structured Pass Through Certificates K718	2.791%	1/25/22		10,825			10,975
3,4	FHLMC Multifamily Structured Pass Through Certificates K722	2.183%	5/25/22		2,999			3,001
3,4	FHLMC Multifamily Structured Pass Through Certificates K722	2.406%	3/25/23		2,000			2,019
3,4	FHLMC Multifamily Structured Pass Through Certificates K731	3.600%	2/25/25		13,200			13,986
3,4	FHLMC Multifamily Structured Pass Through Certificates K734	3.208%	2/25/26		21,100			22,162
3,4	FHLMC Multifamily Structured Pass Through Certificates KS03	3.161%	5/25/25		7,100			7,393
3,4	FHLMC Multifamily Structured Pass Through Certificates KW01	2.853%	1/25/26		11,600			11,971
3,4	FHLMC Multifamily Structures Pass Through Certificates K073	3.350%	1/25/28		8,675			9,258
3,4	FHLMC Multifamily Structures Pass Through Certificates K074	3.600%	1/25/28		16,150			17,520

20

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
3,4	FHLMC Multifamily Structures Pass Through Certificates K077	3.850%	5/25/28		1,000			1,098
3,4	FHLMC Multifamily Structures Pass Through Certificates K078	3.854%	6/25/28		6,500			7,153
3,4	FHLMC Multifamily Structures Pass Through Certificates K079	3.926%	6/25/28		2,457			2,722
3,4	FHLMC Multifamily Structures Pass Through Certificates K080	3.736%	4/25/28		973			1,045
3,4	FHLMC Multifamily Structures Pass Through Certificates K080	3.926%	7/25/28		6,775			7,510
3,4	FHLMC Multifamily Structures Pass Through Certificates K087	3.771%	12/25/28		12,150			13,317
3,4	FHLMC Multifamily Structures Pass Through Certificates K087	2.537%	10/25/29		19,195			19,428
3,4	FHLMC Multifamily Structures Pass Through Certificates K090	3.422%	2/25/29		12,175			13,061
3,4	FHLMC Multifamily Structures Pass Through Certificates K101	2.524%	10/25/29		21,365			21,525
3,4	FHLMC Multifamily Structures Pass Through Certificates K15-14	2.859%	10/25/34		13,375			13,528
3,4	FHLMC Multifamily Structures Pass Through Certificates K1504	3.424%	4/25/32		2,100			2,253
3,4	FHLMC Multifamily Structures Pass Through Certificates K1504	3.459%	11/25/32		2,475			2,668
3,4	FHLMC Multifamily Structures Pass Through Certificates K1510	3.718%	1/25/31		4,175			4,593
3,4	FHLMC Multifamily Structures Pass Through Certificates K1510	3.794%	1/25/34		6,775			7,514
3,4	FHLMC Multifamily Structures Pass Through Certificates K715	2.856%	1/25/21		6,033			6,064
3,4	FHLMC Multifamily Structures Pass Through Certificates K720	2.716%	6/25/22		7,525			7,624
3,4	FHLMC Multifamily Structures Pass Through Certificates K723	2.454%	8/25/23		10,425			10,553
3,4	FHLMC Multifamily Structures Pass Through Certificates K724	3.062%	11/25/23		9,500			9,816
3,4	FHLMC Multifamily Structures Pass Through Certificates K725	3.002%	1/25/24		26,090			26,895
3,4	FHLMC Multifamily Structures Pass Through Certificates K725	2.946%	7/25/24		12,500			12,888
3,4	FHLMC Multifamily Structures Pass Through Certificates K726	2.905%	4/25/24		13,000			13,299
3,4	FHLMC Multifamily Structures Pass Through Certificates K728	3.064%	8/25/24		16,000			16,592
3,4	FHLMC Multifamily Structures Pass Through Certificates K730	3.452%	9/25/24		1,196			1,230
3,4	FHLMC Multifamily Structures Pass Through Certificates K730	3.590%	1/25/25		15,975			16,910
3,4	FHLMC Multifamily Structures Pass Through Certificates K732	3.700%	5/25/25		13,200			14,020
3,4	FHLMC Multifamily Structures Pass Through Certificates K735	2.862%	5/25/26		20,000			20,632
3,4	FHLMC Multifamily Structures Pass Through Certificates KC02	3.370%	7/25/25		10,225			10,661
3,4	FHLMC Multifamily Structures Pass Through Certificates KC02	3.505%	3/25/29		20,400			22,042
3,4	FHLMC Multifamily Structures Pass Through Certificates KC02	2.982%	5/25/29		23,400			24,377
3,4	FHLMC Multifamily Structures Pass Through Certificates KS02	2.720%	7/25/26		10,806			11,088
4	Fifth Third Auto Trust 2019-1	2.640%	12/15/23		7,400			7,457
4	Fifth Third Auto Trust 2019-1	2.690%	11/16/26		2,375			2,410
4	Ford Credit Auto Lease Trust 2018-A	2.930%	6/15/21		7,350			7,367
4	Ford Credit Auto Lease Trust 2018-A	3.050%	8/15/21		775			780

21

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22		3,450			3,482
4	Ford Credit Auto Lease Trust 2019-A	2.980%	6/15/22		1,600			1,620
4	Ford Credit Auto Owner Trust 2017-A	1.670%	6/15/21		1,472			1,471
4	Ford Credit Auto Owner Trust 2017-A	1.920%	4/15/22		3,975			3,974
4	Ford Credit Auto Owner Trust 2017-B	1.690%	11/15/21		3,834			3,830
4	Ford Credit Auto Owner Trust 2017-B	1.870%	9/15/22		1,065			1,065
4	Ford Credit Auto Owner Trust 2017-C	2.010%	3/15/22		14,212			14,220
4	Ford Credit Auto Owner Trust 2019-A	2.780%	9/15/23		9,225			9,350
4	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24		3,700			3,776
4	Ford Credit Floorplan Master Owner Trust A Series 2017-2	2.160%	9/15/22		9,470			9,481
4	Ford Credit Floorplan Master Owner Trust A Series 2017-3	2.480%	9/15/24		9,800			9,888
4	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23		13,125			13,277
4	Ford Credit Floorplan Master Owner Trust A Series 2018-2	3.170%	3/15/25		11,925			12,261
4	GM Financial Automobile Leasing Trust 2018-1	2.610%	1/20/21		3,751			3,755
4	GM Financial Automobile Leasing Trust 2018-1	2.680%	12/20/21		1,575			1,579
4	GM Financial Automobile Leasing Trust 2018-2	3.060%	6/21/21		2,369			2,376
4	GM Financial Automobile Leasing Trust 2018-2	3.160%	4/20/22		1,050			1,058
4	GM Financial Automobile Leasing Trust 2019-2	2.670%	3/21/22		3,700			3,726
4	GM Financial Automobile Leasing Trust 2019-2	2.720%	3/20/23		1,725			1,739
4	GM Financial Consumer Automobile 2018-2	2.810%	12/16/22		6,300			6,349
4	GM Financial Consumer Automobile 2018-2	3.020%	12/18/23		5,250			5,347
4	GS Mortgage Securities Corporation II 2013-GC10	2.943%	2/10/46		4,077			4,147
4	GS Mortgage Securities Trust 2011-GC5	3.707%	8/10/44		3,220			3,275
4	GS Mortgage Securities Trust 2012-GC6	3.482%	1/10/45		12,627			12,860
4	GS Mortgage Securities Trust 2012-GCJ7	3.377%	5/10/45		5,977			6,065
4	GS Mortgage Securities Trust 2012-GCJ9	2.773%	11/10/45		5,462			5,533
4	GS Mortgage Securities Trust 2013-GC10	3.279%	2/10/46		1,529			1,564
4	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46		5,682			5,824
4	GS Mortgage Securities Trust 2013-GCJ12	3.375%	6/10/46		1,792			1,839
4	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46		1,066			1,096
4	GS Mortgage Securities Trust 2013-GCJ14	4.243%	8/10/46		7,350			7,821
4	GS Mortgage Securities Trust 2013-GCJ16	3.813%	11/10/46		894			922
4	GS Mortgage Securities Trust 2013-GCJ16	4.271%	11/10/46		1,525			1,627
4	GS Mortgage Securities Trust 2014-GC18	4.074%	1/10/47		10,725			11,404
4	GS Mortgage Securities Trust 2014-GC18	4.383%	1/10/47		1,975			2,088
4	GS Mortgage Securities Trust 2014-GC22	3.467%	6/10/47		1,982			2,029
4	GS Mortgage Securities Trust 2014-GC22	3.516%	6/10/47		306			310
4	GS Mortgage Securities Trust 2014-GC22	3.862%	6/10/47		1,950			2,070
4	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47		7,125			7,602
4	GS Mortgage Securities Trust 2014-GC24	4.511%	9/10/47		1,675			1,746
4	GS Mortgage Securities Trust 2014-GC26	3.365%	11/10/47		3,290			3,380
4	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47		11,450			12,101
4	GS Mortgage Securities Trust 2014-GC26	3.964%	11/10/47		2,000			2,118
4	GS Mortgage Securities Trust 2014-GC26	4.215%	11/10/47		1,700			1,780
4	GS Mortgage Securities Trust 2015-GC28	3.396%	2/10/48		6,200			6,489
4	GS Mortgage Securities Trust 2015-GC30	2.726%	5/10/50		3,476			3,477
4	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50		5,700			5,971
4	GS Mortgage Securities Trust 2015-GC32	3.513%	7/10/48		5,775			5,987
4	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48		2,275			2,428
4	GS Mortgage Securities Trust 2015-GC34	3.278%	10/10/48		5,900			6,084
4	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48		5,600			5,891
4	GS Mortgage Securities Trust 2016-GS2	3.050%	5/10/49		4,425			4,572
4	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49		11,450			11,703
4	GS Mortgage Securities Trust 2016-GS4	3.442%	11/10/49		3,950			4,173
4	GS Mortgage Securities Trust 2016-GS4	3.645%	11/10/49		2,925			3,055
4	GS Mortgage Securities Trust 2017-GS5	3.674%	3/10/50		8,350			8,950
4	GS Mortgage Securities Trust 2017-GS5	3.826%	3/10/50		3,350			3,550
4	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50		8,250			8,722
4	GS Mortgage Securities Trust 2017-GS7	3.430%	8/10/50		13,194			13,847
4	GS Mortgage Securities Trust 2017-GS7	3.663%	8/10/50		3,519			3,713

22

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	GS Mortgage Securities Trust 2019-GC39	3.567%	5/10/52		5,275			5,644
4	GS Mortgage Securities Trust 2019-GC4	3.212%	9/1/52		3,775			3,845
4	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52		7,970			8,285
4	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52		16,200			16,584
4	GS Mortgage Securities Trust 2019-GSA1	3.048%	11/10/52		7,164			7,332
4	Honda Auto Receivables 2017-2 Owner Trust	1.680%	8/16/21		3,420			3,417
4	Honda Auto Receivables 2017-2 Owner Trust	1.870%	9/15/23		1,864			1,863
4	Honda Auto Receivables 2017-4 Owner Trust	2.050%	11/22/21		3,255			3,257
4	Honda Auto Receivables 2018-1 Owner Trust	2.640%	2/15/22		10,974			11,020
4	Honda Auto Receivables 2018-1 Owner Trust	2.830%	5/15/24		3,575			3,618
4	Honda Auto Receivables 2018-2 Owner Trust	3.010%	5/18/22		3,650			3,683
4	Honda Auto Receivables 2018-2 Owner Trust	3.160%	8/19/24		2,600			2,651
4	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23		8,975			9,057
4	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25		1,720			1,745
4	Hyundai Auto Receivables Trust 2016-B	1.290%	4/15/21		521			521
4	Hyundai Auto Receivables Trust 2016-B	1.450%	11/15/22		3,625			3,614
4	Hyundai Auto Receivables Trust 2018-A	2.790%	7/15/22		3,425			3,449
4	Hyundai Auto Receivables Trust 2018-A	2.940%	6/17/24		4,200			4,266
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45		6,623			6,808
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45		5,147			5,222
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	3.483%	6/15/45		7,223			7,367
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9	2.840%	12/15/47		2,982			3,026
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.143%	12/15/47		2,278			2,338
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.372%	12/15/47		1,735			1,781
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.674%	12/15/46		1,200			1,232
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.881%	12/15/46		2,300			2,428
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46		9,174			9,803
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.517%	12/15/46		1,600			1,718
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.962%	12/15/46		1,600			1,732
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46		11,478			11,740
4	JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20	3.805%	7/15/47		850			899
4	JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1	3.914%	1/15/49		4,600			4,946
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49		14,325			14,601
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49		5,800			6,174
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.870%	12/15/49		4,650			4,934
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.050%	7/15/50		2,026			2,041
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.490%	7/15/50		3,000			3,167
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.744%	7/15/50		4,500			4,746
4	JP Morgan Chase Commercial Mortgage Securities Trust 2019-COR4	4.029%	3/10/52		13,000			14,374
4	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45		1,776			1,858
4	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.039%	7/15/45		1,184			1,241

23

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46		1,211			1,246
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46		4,470			4,736
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.409%	8/15/46		1,260			1,331
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45		314			322
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.131%	11/15/45		2,940			3,135
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.420%	11/15/45		1,680			1,787
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	3.705%	1/15/47		1,329			1,371
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.199%	1/15/47		5,500			5,892
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.458%	1/15/47		1,100			1,175
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.892%	1/15/47		1,650			1,781
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47		6,590			7,033
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47		1,173			1,250
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.810%	2/15/47		1,422			1,515
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.046%	4/15/47		20			20
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.669%	4/15/47		2,800			2,845
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47		2,800			2,982
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	4.243%	4/15/47		2,225			2,372
4	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.428%	8/15/47		1,246			1,280
4	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.775%	8/15/47		1,375			1,457
4	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.997%	8/15/47		1,670			1,757
4	JPMBB Commercial Mortgage Securities Trust 2014-C22	3.801%	9/15/47		8,325			8,850
4	JPMBB Commercial Mortgage Securities Trust 2014-C22	4.110%	9/15/47		2,225			2,355
4	JPMBB Commercial Mortgage Securities Trust 2014-C23	3.934%	9/15/47		4,175			4,452
4	JPMBB Commercial Mortgage Securities Trust 2014-C23	4.202%	9/15/47		2,462			2,632
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	2.940%	11/15/47		709			709
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47		2,275			2,402
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.914%	11/15/47		4,125			4,330
4	JPMBB Commercial Mortgage Securities Trust 2014-C25	3.672%	11/15/47		9,975			10,531
4	JPMBB Commercial Mortgage Securities Trust 2014-C25	4.065%	11/15/47		2,775			2,934
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.019%	1/15/48		379			379
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48		17,150			17,976
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.800%	1/15/48		2,875			3,018

24

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.951%	1/15/48		2,875			2,999
4	JPMBB Commercial Mortgage Securities Trust 2015-C27	2.734%	2/15/48		591			591
4	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.017%	2/15/48		5,715			5,822
4	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.179%	2/15/48		3,048			3,152
4	JPMBB Commercial Mortgage Securities Trust 2015-C28	2.773%	10/15/48		2,225			2,226
4	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.227%	10/15/48		6,775			7,031
4	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.532%	10/15/48		1,725			1,783
4	JPMBB Commercial Mortgage Securities Trust 2015-C29	2.921%	5/15/48		3,383			3,387
4	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.304%	5/15/48		2,963			3,047
4	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.611%	5/15/48		4,650			4,921
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.559%	7/15/48		5,775			5,961
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48		5,675			6,053
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48		2,900			3,103
4	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.540%	8/15/48		2,772			2,874
4	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48		2,960			3,155
4	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.358%	11/15/48		5,875			6,058
4	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48		5,875			6,210
4	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48		4,230			4,525
4	JPMBB Commercial Mortgage Securities Trust 2016-C1	3.316%	3/15/49		4,675			4,825
4	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50		17,175			18,451
4	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.876%	3/15/50		3,200			3,401
4	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.386%	6/13/52		11,975			12,543
4	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.669%	6/13/52		1,075			1,130
4	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.144%	6/15/49		4,400			4,547
4	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.484%	6/15/49		2,050			2,121
4	JPMDB Commercial Mortgage Securities Trust 2017-C5	3.694%	3/15/50		14,250			15,279
4	JPMDB Commercial Mortgage Securities Trust 2017-C5	3.858%	3/15/50		5,600			5,927
4	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50		3,850			4,068
4	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.713%	10/15/50		2,400			2,529
4	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51		13,125			14,516
4	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.421%	6/15/51		1,575			1,734
4	JPMDB Commercial Mortgage Securities Trust 2019-COR6	3.057%	11/13/52		10,695			10,878

25

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Mercedes-Benz Auto Lease Trust 2018-A	2.410%	2/16/21		2,494			2,496
4	Mercedes-Benz Auto Lease Trust 2018-A	2.510%	10/16/23		800			801
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45		3,025			3,088
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45		2,506			2,541
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.081%	7/15/46		8,000			8,459
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.153%	8/15/46		1,680			1,780
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.353%	8/15/46		840			886
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46		3,915			4,165
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	2.936%	11/15/46		17			17
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46		3,500			3,702
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.755%	11/15/46		1,750			1,866
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46		3,011			3,060
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46		599			609
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.134%	12/15/48		3,475			3,556
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.376%	12/15/48		1,800			1,842
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46		3,475			3,559
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.456%	5/15/46		2,150			2,216
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	3.669%	2/15/47		3,239			3,272
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47		4,475			4,758
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.745%	2/15/47		1,600			1,719
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.477%	6/15/47		1,010			1,035
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47		4,200			4,443
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.337%	6/15/47		1,675			1,772
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.194%	10/15/47		246			246
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47		1,400			1,487
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	4.478%	10/15/47		1,675			1,777
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47		3,924			4,024
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47		5,050			5,290
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48		2,875			2,936
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48		10,125			10,484
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21	3.338%	3/15/48		2,500			2,596
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.040%	4/15/48		5,725			5,843
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.306%	4/15/48		4,500			4,686

26

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.883%	4/15/48		2,875			2,975
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	2.982%	7/15/50		2,859			2,862
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.398%	7/15/50		1,750			1,798
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50		5,775			6,124
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.383%	10/15/48		6,550			6,775
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48		3,475			3,676
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.323%	10/15/48		3,825			3,943
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.531%	10/15/48		4,325			4,546
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.557%	12/15/47		2,950			3,049
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.753%	12/15/47		3,500			3,727
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.288%	1/15/49		4,175			4,311
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.544%	1/15/49		11,975			12,681
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.140%	5/15/49		2,200			2,263
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.325%	5/15/49		1,250			1,300
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30	2.860%	9/15/49		11,700			11,875
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31	3.102%	11/15/49		14,200			14,653
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49		11,600			12,371
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.994%	12/15/49		4,625			4,931
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.599%	5/15/50		8,150			8,678
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.852%	5/15/50		5,200			5,520
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.276%	11/15/52		5,725			5,948
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52		8,325			8,835
4	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45		7,000			7,112
4	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45		2,900			2,974
4	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48		4,100			4,387
4	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49		5,850			6,059
4	Morgan Stanley Capital I Trust 2016-BNK2	3.282%	11/15/49		4,707			4,858
4	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49		11,700			11,827
4	Morgan Stanley Capital I Trust 2016-UB12	3.778%	12/15/49		5,000			5,299
4	Morgan Stanley Capital I Trust 2016-UBS12	3.596%	12/15/49		11,625			12,397
4	Morgan Stanley Capital I Trust 2017-H1	3.530%	6/15/50		7,500			7,925
4	Morgan Stanley Capital I Trust 2018-H4	4.310%	12/15/51		10,000			11,184
4	Morgan Stanley Capital I Trust 2019-H6	3.417%	6/15/52		14,885			15,704
4	Morgan Stanley Capital I Trust 2019-H6	3.700%	6/15/52		1,875			1,964
4	Morgan Stanley Capital I Trust 2019-L2	4.071%	3/15/52		8,435			9,371
4	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/29		10,950			11,304
7	National Australia Bank Ltd.	2.250%	3/16/21		16,000			16,068
4	Nissan Auto Lease Trust 2017-B	2.050%	9/15/20		432			432
4	Nissan Auto Lease Trust 2017-B	2.170%	12/15/21		1,000			1,000
4	Nissan Auto Receivables 2015-B Owner Trust	1.790%	1/17/22		190			190
4	Nissan Auto Receivables 2015-C Owner Trust	1.670%	2/15/22		826			825
4	Nissan Auto Receivables 2016-B Owner Trust	1.540%	10/17/22		2,500			2,496

27

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Nissan Auto Receivables 2016-C Owner Trust	1.180%	1/15/21		324			324
4	Nissan Auto Receivables 2016-C Owner Trust	1.380%	1/17/23		4,250			4,240
4	Nissan Auto Receivables 2017-B Owner Trust	1.750%	10/15/21		4,496			4,493
4	Nissan Auto Receivables 2017-B Owner Trust	1.950%	10/16/23		3,469			3,468
4	Nissan Auto Receivables 2018-A Owner Trust	2.650%	5/16/22		6,901			6,928
4	Nissan Auto Receivables 2018-A Owner Trust	2.890%	6/17/24		5,300			5,386
4	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23		7,400			7,476
4	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25		1,850			1,877
4	Nissan Auto Receivables 2019-C	1.930%	7/15/24		9,130			9,133
4	Nissan Auto Receivables 2019-C	1.950%	5/15/26		2,150			2,141
4	Public Service New Hampshire Funding LLC 2018-1	3.094%	2/1/26		1,887			1,923
4	Public Service New Hampshire Funding LLC 2018-1	3.506%	8/1/28		1,175			1,240
4	Public Service New Hampshire Funding LLC 2018-1	3.814%	2/1/35		2,825			3,073
	Royal Bank of Canada	2.100%	10/14/20		57,900			57,927
	Royal Bank of Canada	2.300%	3/22/21		8,900			8,945
4	Santander Drive Auto Receivables Trust 2018-2	3.030%	9/15/22		2,445			2,449
4	Santander Drive Auto Receivables Trust 2018-2	3.350%	7/17/23		3,150			3,180
4	Santander Drive Auto Receivables Trust 2018-3	3.030%	2/15/22		26			26
4	Santander Drive Auto Receivables Trust 2018-3	3.290%	10/17/22		1,850			1,853
4	Santander Drive Auto Receivables Trust 2018-3	3.510%	8/15/23		3,450			3,487
4	SG Commercial Mortgage Securities Trust 2016-C5	3.055%	10/10/48		9,000			9,243
4	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24		15,275			15,624
4	Synchrony Credit Card Master Note Trust 2016-2	2.210%	5/15/24		21,306			21,391
4	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25		9,050			9,187
4	Synchrony Credit Card Master Note Trust 2018-1	2.970%	3/15/24		15,750			15,933
4	Synchrony Credit Card Master Note Trust 2018-2	3.470%	5/15/26		15,675			16,368
4	TIAA Seasoned Commercial Mortgage Trust 2007-C4	5.503%	8/15/39		2			2
7	Toronto-Dominion Bank	2.250%	3/15/21		13,400			13,443
7	Toronto-Dominion Bank	2.500%	1/18/22		15,000			15,186
4	Toyota Auto Receivables 2016-B Owner Trust	1.520%	8/16/21		1,325			1,325
4	Toyota Auto Receivables 2016-C Owner Trust	1.320%	11/15/21		1,901			1,898
4	Toyota Auto Receivables 2017-D Owner Trust	1.930%	1/18/22		10,117			10,116
4	Toyota Auto Receivables 2018-A Owner Trust	2.350%	5/16/22		6,916			6,934
4	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23		2,350			2,369
4	Toyota Auto Receivables 2018-B Owner Trust	2.960%	9/15/22		6,500			6,564
4	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23		1,175			1,199
4	UBS Commercial Mortgage Trust 2017-C1	3.460%	6/15/50		10,100			10,714
4	UBS Commercial Mortgage Trust 2017-C1	3.724%	6/15/50		4,800			5,037
4	UBS Commercial Mortgage Trust 2017-C2	3.487%	8/15/50		8,050			8,488
4	UBS Commercial Mortgage Trust 2017-C2	3.740%	8/15/50		2,150			2,242
4	UBS Commercial Mortgage Trust 2017-C3	3.426%	8/15/50		9,700			10,210
4	UBS Commercial Mortgage Trust 2017-C3	3.739%	8/15/50		4,050			4,263
4	UBS Commercial Mortgage Trust 2017-C4	3.301%	10/15/50		6,450			6,770
4	UBS Commercial Mortgage Trust 2017-C4	3.563%	10/15/50		8,050			8,592
4	UBS Commercial Mortgage Trust 2017-C4	3.836%	10/15/50		3,562			3,756
4	UBS Commercial Mortgage Trust 2017-C5	3.474%	11/15/50		5,325			5,652
4	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50		8,225			8,814
4	UBS Commercial Mortgage Trust 2017-C7	4.061%	12/15/50		4,375			4,689
4	UBS Commercial Mortgage Trust 2018-C11	4.241%	6/15/51		7,375			8,180
4	UBS Commercial Mortgage Trust 2018-C12	4.296%	8/15/51		5,975			6,726
4	UBS Commercial Mortgage Trust 2018-C12	4.587%	8/15/51		4,000			4,462
4	UBS Commercial Mortgage Trust 2018-C13	4.208%	10/15/51		1,700			1,799
4	UBS Commercial Mortgage Trust 2018-C13	4.334%	10/15/51		5,825			6,578
4	UBS Commercial Mortgage Trust 2018-C13	4.585%	10/15/51		1,075			1,200
4	UBS Commercial Mortgage Trust 2018-C14	4.448%	12/15/51		12,950			14,754
4	UBS Commercial Mortgage Trust 2018-C15	4.341%	12/15/51		8,975			10,041
4	UBS Commercial Mortgage Trust 2018-C8	3.720%	2/15/51		7,900			8,525
4	UBS Commercial Mortgage Trust 2018-C8	3.983%	2/15/51		15,850			17,393
4	UBS Commercial Mortgage Trust 2018-C8	4.215%	2/15/51		4,225			4,534
4	UBS Commercial Mortgage Trust 2019-C16	3.605%	4/15/52		5,250			5,590
4	UBS Commercial Mortgage Trust 2019-C17	2.921%	10/15/52		6,475			6,560
4	UBS Commercial Mortgage Trust 2019-C18	3.378%	12/15/52		2,300			2,341
4	UBS-Barclays Commercial Mortgage Trust 2013-C5	3.185%	3/10/46		4,636			4,757
4	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46		7,716			7,922

28

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46		1,150			1,186
4	UBS-Barclays Commercial Mortgage Trust 2018-C10	4.313%	5/15/51		10,475			11,670
4	UBS-Barclays Commercial Mortgage Trust 2018-C9	4.117%	3/15/51		15,800			17,517
4	UBS-Barclays Commercial Mortgage Trust 2019-C16	3.887%	4/15/52		1,575			1,683
4	UBS-Barclays Commercial Mortgage Trust 2019-C18	3.035%	12/15/52		3,800			3,891
4	Volkswagen Auto Loan Enhanced Trust 2018-1	3.020%	11/21/22		2,900			2,934
4	Volkswagen Auto Loan Enhanced Trust 2018-1	3.150%	7/22/24		1,050			1,073
4	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45		9,139			9,294
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	2.819%	8/15/50		31			31
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.477%	8/15/50		1,002			1,029
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50		9,925			10,518
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.020%	8/15/50		550			578
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	2.954%	12/15/47		1,393			1,392
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.244%	12/15/47		1,961			2,008
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.271%	12/15/47		4,000			4,037
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47		5,650			5,918
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.808%	12/15/47		2,850			2,975
4	Wells Fargo Commercial Mortgage Trust 2015-C26	2.991%	2/15/48		5,725			5,835
4	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48		3,150			3,266
4	Wells Fargo Commercial Mortgage Trust 2015-C26	3.580%	2/15/48		2,275			2,369
4	Wells Fargo Commercial Mortgage Trust 2015-C27	3.190%	2/15/48		12,569			12,953
4	Wells Fargo Commercial Mortgage Trust 2015-C28	3.540%	5/15/48		8,500			8,979
4	Wells Fargo Commercial Mortgage Trust 2015-C28	3.872%	5/15/48		1,619			1,692
4	Wells Fargo Commercial Mortgage Trust 2015-C29	3.400%	6/15/48		5,800			5,983
4	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%	6/15/48		8,500			9,027
4	Wells Fargo Commercial Mortgage Trust 2015-LC20	2.978%	4/15/50		1,536			1,566
4	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.184%	4/15/50		14,401			14,954
4	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.719%	4/15/50		2,850			2,929
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.571%	9/15/58		2,350			2,441
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58		3,425			3,676
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58		2,925			3,133
4	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.632%	5/15/48		944			944
4	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.934%	5/15/48		4,200			4,266
4	Wells Fargo Commercial Mortgage Trust 2015-NXS1	3.148%	5/15/48		2,275			2,360
4	Wells Fargo Commercial Mortgage Trust 2015-P2	3.656%	12/15/48		4,700			4,912
4	Wells Fargo Commercial Mortgage Trust 2015-P2	3.809%	12/15/48		2,950			3,165
4	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48		10,375			11,068
4	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49		7,850			7,912
4	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.814%	8/15/49		1,800			1,787
4	Wells Fargo Commercial Mortgage Trust 2016-C32	3.324%	1/15/59		3,084			3,190
4	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59		6,700			7,097
4	Wells Fargo Commercial Mortgage Trust 2016-C33	3.426%	3/15/59		2,350			2,474
4	Wells Fargo Commercial Mortgage Trust 2016-C34	3.096%	6/15/49		4,700			4,836
4	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49		4,675			5,050
4	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.825%	10/15/49		5,275			5,376
4	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.942%	10/15/49		9,053			9,293
4	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50		11,445			12,135
4	Wells Fargo Commercial Mortgage Trust 2017-C38	3.665%	7/15/50		3,243			3,400
4	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50		9,675			10,223
4	Wells Fargo Commercial Mortgage Trust 2017-C39	3.702%	9/15/50		5,375			5,653
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.317%	10/15/50		5,350			5,572
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50		8,025			8,569
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.854%	10/15/50		2,150			2,271
4	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50		13,300			14,100
4	Wells Fargo Commercial Mortgage Trust 2017-RB1	3.635%	3/15/50		8,600			9,203
4	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60		8,500			9,089
4	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%	3/15/51		15,825			17,364
4	Wells Fargo Commercial Mortgage Trust 2018-C43	4.152%	3/15/51		2,742			2,961
4	Wells Fargo Commercial Mortgage Trust 2018-C44	4.212%	5/15/51		10,550			11,741
4	Wells Fargo Commercial Mortgage Trust 2018-C45	4.184%	6/15/51		10,125			11,260
4	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51		6,100			6,771
4	Wells Fargo Commercial Mortgage Trust 2018-C47	4.442%	9/15/61		10,600			12,017
4	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52		13,225			14,605
4	Wells Fargo Commercial Mortgage Trust 2019-C50	3.729%	5/15/52		7,650			8,289

29

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Wells Fargo Commercial Mortgage Trust 2019-C51	3.311%	6/15/52		11,175			11,733
4	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52		15,875			16,128
4	Wells Fargo Commercial Mortgage Trust 2019-C52	3.143%	8/15/52		4,750			4,766
4	Wells Fargo Commercial Mortgage Trust 2019-C53	3.040%	10/15/52		10,700			11,003
4	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52		6,405			6,639
4	WFRBS Commercial Mortgage Trust 2012-C10	2.875%	12/15/45		10,900			11,080
4	WFRBS Commercial Mortgage Trust 2012-C6	3.440%	4/15/45		7,425			7,551
4	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45		4,975			5,102
4	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45		4,400			4,548
4	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45		3,100			3,154
4	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45		5,346			5,431
4	WFRBS Commercial Mortgage Trust 2013-C11	3.071%	3/15/45		4,148			4,243
4	WFRBS Commercial Mortgage Trust 2013-C12	3.198%	3/15/48		1,733			1,781
4	WFRBS Commercial Mortgage Trust 2013-C12	3.560%	3/15/48		820			844
4	WFRBS Commercial Mortgage Trust 2013-C13	3.001%	5/15/45		3,436			3,513
4	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45		673			692
4	WFRBS Commercial Mortgage Trust 2013-C14	3.337%	6/15/46		6,000			6,200
4	WFRBS Commercial Mortgage Trust 2013-C14	3.488%	6/15/46		3,000			3,092
4	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46		869			891
4	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46		4,470			4,735
4	WFRBS Commercial Mortgage Trust 2013-C15	4.358%	8/15/46		1,120			1,183
4	WFRBS Commercial Mortgage Trust 2013-C16	3.963%	9/15/46		957			990
4	WFRBS Commercial Mortgage Trust 2013-C16	4.415%	9/15/46		1,250			1,339
4	WFRBS Commercial Mortgage Trust 2013-C16	4.668%	9/15/46		2,100			2,244
4	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46		912			937
4	WFRBS Commercial Mortgage Trust 2013-C17	4.023%	12/15/46		1,450			1,538
4	WFRBS Commercial Mortgage Trust 2013-C17	4.255%	12/15/46		1,150			1,227
4	WFRBS Commercial Mortgage Trust 2013-C17	4.788%	12/15/46		1,150			1,236
4	WFRBS Commercial Mortgage Trust 2013-C18	3.027%	12/15/46		7			7
4	WFRBS Commercial Mortgage Trust 2013-C18	3.651%	12/15/46		2,300			2,312
4	WFRBS Commercial Mortgage Trust 2013-C18	4.162%	12/15/46		5,010			5,353
4	WFRBS Commercial Mortgage Trust 2013-C18	4.387%	12/15/46		575			615
4	WFRBS Commercial Mortgage Trust 2013-C18	4.692%	12/15/46		862			932
4	WFRBS Commercial Mortgage Trust 2013-UBS1	2.927%	3/15/46		27			28
4	WFRBS Commercial Mortgage Trust 2013-UBS1	3.591%	3/15/46		1,750			1,768
4	WFRBS Commercial Mortgage Trust 2013-UBS1	4.079%	3/15/46		2,350			2,495
4	WFRBS Commercial Mortgage Trust 2013-UBS1	4.739%	3/15/46		575			623
4	WFRBS Commercial Mortgage Trust 2014-C19	3.618%	3/15/47		814			837
4	WFRBS Commercial Mortgage Trust 2014-C19	3.660%	3/15/47		1,064			1,077
4	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47		2,825			3,020
4	WFRBS Commercial Mortgage Trust 2014-C19	4.723%	3/15/47		950			1,011
4	WFRBS Commercial Mortgage Trust 2014-C20	3.638%	5/15/47		974			1,002
4	WFRBS Commercial Mortgage Trust 2014-C20	3.723%	5/15/47		3,500			3,657
4	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47		1,675			1,785
4	WFRBS Commercial Mortgage Trust 2014-C20	4.176%	5/15/47		1,675			1,772
4	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47		4,000			4,223
4	WFRBS Commercial Mortgage Trust 2014-C22	3.752%	9/15/57		8,200			8,681
4	WFRBS Commercial Mortgage Trust 2014-C22	4.371%	9/15/57		1,675			1,769
4	WFRBS Commercial Mortgage Trust 2014-C23	3.636%	10/15/57		3,043			3,141
4	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57		1,675			1,788
4	WFRBS Commercial Mortgage Trust 2014-C23	4.210%	10/15/57		1,125			1,205
4	WFRBS Commercial Mortgage Trust 2014-C24	3.428%	11/15/47		1,705			1,738
4	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47		2,860			3,017
4	WFRBS Commercial Mortgage Trust 2014-LC14	2.862%	3/15/47		28			28
4	WFRBS Commercial Mortgage Trust 2014-LC14	3.522%	3/15/47		2,335			2,392
4	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47		6,720			7,153
4	WFRBS Commercial Mortgage Trust 2014-LC14	4.351%	3/15/47		2,800			2,964
4	World Financial Network Credit Card Master Note Trust Series 2017-C	2.310%	8/15/24		8,600			8,614
4	World Financial Network Credit Card Master Note Trust Series 2018-A	3.070%	12/16/24		10,625			10,739
4	World Omni Auto Receivables Trust 2019-C	1.960%	12/16/24		6,850			6,848

30

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	World Omni Auto Receivables Trust 2019-C	2.030%	12/15/25		1,705			1,703
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,341,423)								6,498,454
Corporate Bonds (26.6%)
Finance (8.3%)
	Banking (6.0%)
	Ally Financial Inc.	4.125%	2/13/22		7,435			7,667
	Ally Financial Inc.	3.875%	5/21/24		4,000			4,180
	Ally Financial Inc.	5.125%	9/30/24		7,850			8,645
	Ally Financial Inc.	8.000%	11/1/31		19,995			27,618
	American Express Co.	3.000%	2/22/21		9,600			9,698
	American Express Co.	3.375%	5/17/21		5,263			5,359
	American Express Co.	3.700%	11/5/21		10,875			11,200
	American Express Co.	2.750%	5/20/22		6,320			6,424
	American Express Co.	2.500%	8/1/22		8,811			8,909
	American Express Co.	2.650%	12/2/22		11,315			11,527
	American Express Co.	3.400%	2/27/23		16,485			17,078
	American Express Co.	3.700%	8/3/23		16,575			17,444
	American Express Co.	3.400%	2/22/24		13,065			13,647
	American Express Co.	2.500%	7/30/24		5,820			5,880
	American Express Co.	3.000%	10/30/24		47,552			49,076
	American Express Co.	3.625%	12/5/24		17,765			18,729
	American Express Co.	4.200%	11/6/25		5,000			5,503
	American Express Co.	3.125%	5/20/26		4,645			4,819
	American Express Co.	4.050%	12/3/42		3,399			3,984
	American Express Credit Corp.	2.250%	5/5/21		25,164			25,280
	American Express Credit Corp.	2.700%	3/3/22		38,765			39,378
	American Express Credit Corp.	3.300%	5/3/27		23,874			25,400
	Associated Bank NA	3.500%	8/13/21		3,350			3,409
	Australia & New Zealand Banking Group Ltd.	2.300%	6/1/21		6,660			6,683
	Australia & New Zealand Banking Group Ltd.	2.550%	11/23/21		8,000			8,084
	Australia & New Zealand Banking Group Ltd.	2.625%	5/19/22		10,540			10,691
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22		15,800			16,083
	Australia & New Zealand Banking Group Ltd.	3.700%	11/16/25		12,350			13,268
	Banco Santander SA	3.500%	4/11/22		650			666
	Banco Santander SA	3.125%	2/23/23		11,000			11,223
	Banco Santander SA	3.848%	4/12/23		9,050			9,413
	Banco Santander SA	2.706%	6/27/24		7,000			7,091
	Banco Santander SA	5.179%	11/19/25		24,258			26,966
	Banco Santander SA	4.250%	4/11/27		6,250			6,721
	Banco Santander SA	3.800%	2/23/28		5,006			5,249
	Banco Santander SA	3.306%	6/27/29		10,100			10,395
	Bancolombia SA	5.950%	6/3/21		9,724			10,210
	Bank of America Corp.	5.875%	1/5/21		350			363
	Bank of America Corp.	2.625%	4/19/21		13,810			13,931
	Bank of America Corp.	5.000%	5/13/21		1,000			1,040
4	Bank of America Corp.	2.369%	7/21/21		22,795			22,843
4	Bank of America Corp.	2.328%	10/1/21		34,250			34,292
4	Bank of America Corp.	2.738%	1/23/22		24,493			24,669
	Bank of America Corp.	5.700%	1/24/22		575			617
4	Bank of America Corp.	3.499%	5/17/22		15,630			15,922
	Bank of America Corp.	2.503%	10/21/22		23,933			24,134
	Bank of America Corp.	3.300%	1/11/23		52,043			53,821
4	Bank of America Corp.	3.124%	1/20/23		8,828			8,982
4	Bank of America Corp.	2.881%	4/24/23		34,025			34,496
4	Bank of America Corp.	2.816%	7/21/23		46,403			47,041
	Bank of America Corp.	4.100%	7/24/23		13,677			14,564
	Bank of America Corp.	3.004%	12/20/23		146,881			150,089
	Bank of America Corp.	4.125%	1/22/24		33,483			36,016
4	Bank of America Corp.	3.550%	3/5/24		16,220			16,778
	Bank of America Corp.	4.000%	4/1/24		11,986			12,829
4	Bank of America Corp.	3.864%	7/23/24		14,810			15,582
	Bank of America Corp.	4.200%	8/26/24		60,322			64,712

31

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Bank of America Corp.	4.000%	1/22/25		50,103			53,261
4	Bank of America Corp.	3.458%	3/15/25		27,035			28,141
	Bank of America Corp.	3.950%	4/21/25		43,164			45,951
	Bank of America Corp.	3.875%	8/1/25		1,000			1,072
4	Bank of America Corp.	3.093%	10/1/25		43,588			44,898
4	Bank of America Corp.	2.456%	10/22/25		15,000			15,049
4	Bank of America Corp.	3.366%	1/23/26		15,970			16,655
	Bank of America Corp.	4.450%	3/3/26		27,457			30,078
	Bank of America Corp.	3.500%	4/19/26		20,320			21,500
	Bank of America Corp.	4.250%	10/22/26		22,068			23,976
4	Bank of America Corp.	3.559%	4/23/27		31,300			32,995
	Bank of America Corp.	3.248%	10/21/27		31,554			32,741
	Bank of America Corp.	4.183%	11/25/27		19,600			21,211
4	Bank of America Corp.	3.824%	1/20/28		28,315			30,353
4	Bank of America Corp.	3.705%	4/24/28		17,577			18,757
4	Bank of America Corp.	3.593%	7/21/28		48,003			50,977
4	Bank of America Corp.	3.419%	12/20/28		98,236			102,886
4	Bank of America Corp.	3.970%	3/5/29		20,307			22,080
4	Bank of America Corp.	4.271%	7/23/29		58,225			64,482
4	Bank of America Corp.	3.974%	2/7/30		5,700			6,204
4	Bank of America Corp.	3.194%	7/23/30		10,000			10,342
4	Bank of America Corp.	2.884%	10/22/30		11,740			11,856
	Bank of America Corp.	6.110%	1/29/37		15,014			20,231
4	Bank of America Corp.	4.244%	4/24/38		26,883			30,841
	Bank of America Corp.	7.750%	5/14/38		20,866			32,809
4	Bank of America Corp.	4.078%	4/23/40		29,340			33,277
	Bank of America Corp.	5.875%	2/7/42		21,433			30,403
	Bank of America Corp.	5.000%	1/21/44		21,501			28,078
	Bank of America Corp.	4.875%	4/1/44		11,351			14,502
	Bank of America Corp.	4.750%	4/21/45		2,350			2,857
4	Bank of America Corp.	4.443%	1/20/48		5,475			6,664
4	Bank of America Corp.	3.946%	1/23/49		14,750			16,715
4	Bank of America Corp.	4.330%	3/15/50		26,110			31,313
	Bank of America NA	6.000%	10/15/36		8,555			11,780
	Bank of Montreal	3.100%	4/13/21		18,205			18,468
	Bank of Montreal	1.900%	8/27/21		15,525			15,544
	Bank of Montreal	2.900%	3/26/22		29,600			30,139
	Bank of Montreal	2.350%	9/11/22		10,086			10,176
	Bank of Montreal	2.050%	11/1/22		1,500			1,501
	Bank of Montreal	2.550%	11/6/22		12,561			12,763
	Bank of Montreal	3.300%	2/5/24		16,000			16,658
	Bank of Montreal	2.500%	6/28/24		11,225			11,319
4	Bank of Montreal	4.338%	10/5/28		5,000			5,275
4	Bank of Montreal	3.803%	12/15/32		24,340			25,405
	Bank of New York Mellon Corp.	2.500%	4/15/21		14,614			14,697
	Bank of New York Mellon Corp.	2.050%	5/3/21		26,668			26,736
	Bank of New York Mellon Corp.	3.550%	9/23/21		2,611			2,682
	Bank of New York Mellon Corp.	2.600%	2/7/22		10,146			10,288
	Bank of New York Mellon Corp.	1.950%	8/23/22		16,200			16,222
	Bank of New York Mellon Corp.	2.950%	1/29/23		9,775			10,033
	Bank of New York Mellon Corp.	3.500%	4/28/23		5,233			5,485
4	Bank of New York Mellon Corp.	2.661%	5/16/23		14,585			14,798
	Bank of New York Mellon Corp.	3.450%	8/11/23		4,325			4,531
	Bank of New York Mellon Corp.	2.200%	8/16/23		10,549			10,667
	Bank of New York Mellon Corp.	3.650%	2/4/24		8,385			8,883
	Bank of New York Mellon Corp.	3.400%	5/15/24		1,245			1,311
	Bank of New York Mellon Corp.	3.250%	9/11/24		16,540			17,354
	Bank of New York Mellon Corp.	2.100%	10/24/24		11,775			11,766
	Bank of New York Mellon Corp.	3.000%	2/24/25		6,253			6,498
	Bank of New York Mellon Corp.	2.800%	5/4/26		9,171			9,407
	Bank of New York Mellon Corp.	2.450%	8/17/26		7,381			7,404
	Bank of New York Mellon Corp.	3.250%	5/16/27		24,448			25,680
	Bank of New York Mellon Corp.	3.400%	1/29/28		4,495			4,776
4	Bank of New York Mellon Corp.	3.442%	2/7/28		12,925			13,649

32

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Bank of New York Mellon Corp.	3.000%	10/30/28		5,190			5,331
	Bank of New York Mellon Corp.	3.300%	8/23/29		4,550			4,743
	Bank of Nova Scotia	4.375%	1/13/21		2,031			2,080
	Bank of Nova Scotia	3.125%	4/20/21		50			51
	Bank of Nova Scotia	2.800%	7/21/21		38,235			38,768
	Bank of Nova Scotia	2.700%	3/7/22		13,415			13,634
	Bank of Nova Scotia	2.450%	9/19/22		1,905			1,929
	Bank of Nova Scotia	2.000%	11/15/22		7,150			7,158
	Bank of Nova Scotia	2.375%	1/18/23		10,500			10,610
	Bank of Nova Scotia	3.400%	2/11/24		8,500			8,882
	Bank of Nova Scotia	4.500%	12/16/25		33,155			36,274
	Bank of Nova Scotia	2.700%	8/3/26		15,225			15,470
	Bank One Corp.	7.625%	10/15/26		4,910			6,304
	Bank One Corp.	8.000%	4/29/27		1,500			1,982
	Barclays Bank plc	2.650%	1/11/21		7,674			7,717
	Barclays plc	3.250%	1/12/21		21,565			21,715
	Barclays plc	3.200%	8/10/21		6,000			6,071
	Barclays plc	3.684%	1/10/23		16,770			17,171
4	Barclays plc	4.610%	2/15/23		14,059			14,656
4	Barclays plc	4.338%	5/16/24		19,000			19,928
	Barclays plc	3.650%	3/16/25		32,290			33,610
4	Barclays plc	3.932%	5/7/25		9,600			10,084
	Barclays plc	4.375%	1/12/26		25,386			27,485
	Barclays plc	4.337%	1/10/28		11,612			12,441
4	Barclays plc	4.972%	5/16/29		13,600			15,282
	Barclays plc	5.250%	8/17/45		12,980			15,638
	Barclays plc	4.950%	1/10/47		9,113			10,662
	BBVA USA	3.500%	6/11/21		10,150			10,314
	BBVA USA	2.875%	6/29/22		20,185			20,456
	BBVA USA	2.500%	8/27/24		1,220			1,210
	BNP Paribas SA	5.000%	1/15/21		36,021			37,076
	BNP Paribas SA	3.250%	3/3/23		21,210			21,978
	BNP Paribas SA	4.250%	10/15/24		2,500			2,663
	BPCE SA	2.650%	2/3/21		8,057			8,105
	BPCE SA	2.750%	12/2/21		9,148			9,280
7	BPCE SA	3.000%	5/22/22		5,500			5,593
	BPCE SA	4.000%	4/15/24		21,067			22,542
	BPCE SA	3.375%	12/2/26		4,750			4,979
	Canadian Imperial Bank of Commerce	2.700%	2/2/21		9,500			9,570
	Canadian Imperial Bank of Commerce	2.550%	6/16/22		20,132			20,374
	Canadian Imperial Bank of Commerce	3.500%	9/13/23		12,350			12,963
	Canadian Imperial Bank of Commerce	3.100%	4/2/24		11,200			11,532
	Capital One Bank USA NA	3.375%	2/15/23		27,653			28,486
	Capital One Financial Corp.	3.450%	4/30/21		16,450			16,737
	Capital One Financial Corp.	4.750%	7/15/21		5,064			5,264
	Capital One Financial Corp.	3.050%	3/9/22		2,085			2,127
	Capital One Financial Corp.	3.200%	1/30/23		15,395			15,829
	Capital One Financial Corp.	3.500%	6/15/23		4,728			4,907
	Capital One Financial Corp.	3.900%	1/29/24		6,400			6,789
	Capital One Financial Corp.	3.750%	4/24/24		8,784			9,217
	Capital One Financial Corp.	3.300%	10/30/24		10,100			10,420
	Capital One Financial Corp.	3.200%	2/5/25		4,435			4,569
	Capital One Financial Corp.	4.250%	4/30/25		6,850			7,452
	Capital One Financial Corp.	4.200%	10/29/25		13,435			14,439
	Capital One Financial Corp.	3.750%	7/28/26		18,200			19,079
	Capital One Financial Corp.	3.750%	3/9/27		8,493			9,014
	Capital One Financial Corp.	3.800%	1/31/28		16,811			18,058
	Capital One NA	2.950%	7/23/21		10,781			10,932
	Capital One NA	2.250%	9/13/21		17,700			17,755
	Capital One NA	2.650%	8/8/22		15,050			15,272
	Capital One NA	2.150%	9/6/22		16,875			16,893
	Citibank NA	2.850%	2/12/21		13,640			13,750
	Citibank NA	3.400%	7/23/21		17,100			17,443
4	Citibank NA	3.165%	2/19/22		22,400			22,677

33

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Citibank NA	2.844%	5/20/22		30,200			30,570
	Citigroup Inc.	2.700%	3/30/21		42,460			42,767
	Citigroup Inc.	2.350%	8/2/21		8,877			8,921
	Citigroup Inc.	2.900%	12/8/21		54,553			55,364
	Citigroup Inc.	4.500%	1/14/22		36,033			37,743
	Citigroup Inc.	2.750%	4/25/22		4,483			4,555
	Citigroup Inc.	4.050%	7/30/22		10,570			11,042
	Citigroup Inc.	2.700%	10/27/22		10,570			10,739
4	Citigroup Inc.	2.312%	11/4/22		8,850			8,873
4	Citigroup Inc.	3.142%	1/24/23		23,300			23,693
	Citigroup Inc.	3.375%	3/1/23		6,300			6,517
	Citigroup Inc.	3.500%	5/15/23		15,073			15,623
4	Citigroup Inc.	2.876%	7/24/23		16,645			16,927
	Citigroup Inc.	3.875%	10/25/23		14,485			15,381
4	Citigroup Inc.	4.044%	6/1/24		15,963			16,895
	Citigroup Inc.	3.750%	6/16/24		20,932			22,226
	Citigroup Inc.	4.000%	8/5/24		16,899			18,023
	Citigroup Inc.	3.875%	3/26/25		11,188			11,791
4	Citigroup Inc.	3.352%	4/24/25		21,225			22,075
	Citigroup Inc.	3.300%	4/27/25		3,207			3,365
	Citigroup Inc.	4.400%	6/10/25		55,869			60,685
	Citigroup Inc.	5.500%	9/13/25		11,968			13,663
	Citigroup Inc.	3.700%	1/12/26		21,610			22,989
	Citigroup Inc.	4.600%	3/9/26		23,267			25,628
	Citigroup Inc.	3.400%	5/1/26		13,289			13,882
	Citigroup Inc.	3.200%	10/21/26		44,897			46,445
	Citigroup Inc.	4.450%	9/29/27		51,523			56,655
4	Citigroup Inc.	3.887%	1/10/28		15,806			16,939
4	Citigroup Inc.	3.668%	7/24/28		41,104			43,649
	Citigroup Inc.	4.125%	7/25/28		5,700			6,185
4	Citigroup Inc.	3.520%	10/27/28		43,950			46,149
4	Citigroup Inc.	4.075%	4/23/29		15,440			16,883
4	Citigroup Inc.	3.980%	3/20/30		16,100			17,588
4	Citigroup Inc.	2.976%	11/5/30		10,000			10,155
	Citigroup Inc.	6.625%	6/15/32		4,670			6,256
	Citigroup Inc.	5.875%	2/22/33		2,175			2,665
	Citigroup Inc.	6.000%	10/31/33		10,556			13,573
	Citigroup Inc.	6.125%	8/25/36		13,964			18,063
4	Citigroup Inc.	3.878%	1/24/39		24,650			26,969
	Citigroup Inc.	8.125%	7/15/39		26,330			43,948
	Citigroup Inc.	5.875%	1/30/42		14,718			20,753
	Citigroup Inc.	6.675%	9/13/43		6,619			9,662
	Citigroup Inc.	4.950%	11/7/43		5,019			5,511
	Citigroup Inc.	5.300%	5/6/44		10,969			13,906
	Citigroup Inc.	4.650%	7/30/45		13,978			17,170
	Citigroup Inc.	4.750%	5/18/46		26,337			31,533
4	Citigroup Inc.	4.281%	4/24/48		12,708			14,932
	Citigroup Inc.	4.650%	7/23/48		21,725			27,084
	Citizens Bank NA	2.550%	5/13/21		7,355			7,401
	Citizens Bank NA	2.650%	5/26/22		9,175			9,302
	Citizens Bank NA	3.700%	3/29/23		5,065			5,292
	Citizens Financial Group Inc.	2.375%	7/28/21		1,750			1,754
	Citizens Financial Group Inc.	4.300%	12/3/25		6,003			6,443
	Citizens Financial Group Inc.	2.850%	7/27/26		25,950			26,362
	Comerica Bank	2.500%	7/23/24		1,000			1,011
	Comerica Bank	4.000%	7/27/25		50			53
	Comerica Inc.	3.700%	7/31/23		12,135			12,737
	Commonwealth Bank of Australia	2.550%	3/15/21		10,795			10,860
7	Commonwealth Bank of Australia	2.750%	3/10/22		15,000			15,253
7	Commonwealth Bank of Australia	3.350%	6/4/24		45,950			48,025
7	Commonwealth Bank of Australia	3.900%	7/12/47		50			54
	Cooperatieve Rabobank UA	4.500%	1/11/21		150			154
	Cooperatieve Rabobank UA	2.500%	1/19/21		48,950			49,177
	Cooperatieve Rabobank UA	3.125%	4/26/21		530			538

34

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Cooperatieve Rabobank UA	2.750%	1/10/22		12,823			13,005
	Cooperatieve Rabobank UA	3.875%	2/8/22		41,863			43,592
	Cooperatieve Rabobank UA	3.950%	11/9/22		40,748			42,506
	Cooperatieve Rabobank UA	4.625%	12/1/23		17,740			19,232
	Cooperatieve Rabobank UA	3.375%	5/21/25		19,409			20,508
	Cooperatieve Rabobank UA	4.375%	8/4/25		15,053			16,282
	Cooperatieve Rabobank UA	3.750%	7/21/26		12,005			12,497
	Cooperatieve Rabobank UA	5.250%	5/24/41		10,848			14,764
	Cooperatieve Rabobank UA	5.750%	12/1/43		11,625			15,294
	Cooperatieve Rabobank UA	5.250%	8/4/45		11,920			14,969
	Credit Suisse AG	3.000%	10/29/21		30,094			30,651
	Credit Suisse AG	2.100%	11/12/21		5,725			5,738
	Credit Suisse AG	3.625%	9/9/24		29,329			31,137
7	Credit Suisse Group AG	3.574%	1/9/23		7,525			7,722
7	Credit Suisse Group AG	4.282%	1/9/28		25,500			27,614
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20		12,900			13,014
	Credit Suisse Group Funding Guernsey Ltd.	3.450%	4/16/21		37,145			37,698
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	9/15/22		19,750			20,527
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	6/9/23		13,460			14,081
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25		32,493			34,339
	Credit Suisse Group Funding Guernsey Ltd.	4.550%	4/17/26		1,250			1,386
	Credit Suisse Group Funding Guernsey Ltd.	4.875%	5/15/45		19,258			24,192
	Credit Suisse USA Inc.	7.125%	7/15/32		11,179			16,391
	Deutsche Bank AG	3.125%	1/13/21		11,907			11,933
	Deutsche Bank AG	3.150%	1/22/21		12,390			12,440
	Deutsche Bank AG	4.250%	2/4/21		3,975			4,028
	Deutsche Bank AG	3.375%	5/12/21		10,979			11,048
	Deutsche Bank AG	4.250%	10/14/21		23,226			23,876
	Deutsche Bank AG	5.000%	2/14/22		4,850			5,063
	Deutsche Bank AG	3.300%	11/16/22		27,156			27,421
	Deutsche Bank AG	3.950%	2/27/23		25,000			25,559
	Deutsche Bank AG	3.700%	5/30/24		40,960			41,807
	Deutsche Bank AG	4.100%	1/13/26		8,410			8,578
	Discover Bank	3.200%	8/9/21		4,701			4,776
	Discover Bank	3.350%	2/6/23		10,365			10,671
	Discover Bank	4.200%	8/8/23		19,274			20,474
	Discover Bank	2.450%	9/12/24		8,040			7,997
	Discover Bank	4.250%	3/13/26		2,675			2,889
	Discover Bank	3.450%	7/27/26		9,740			10,102
4	Discover Bank	4.682%	8/9/28		4,450			4,643
	Discover Bank	4.650%	9/13/28		10,075			11,293
	Discover Financial Services	5.200%	4/27/22		3,817			4,068
	Discover Financial Services	3.850%	11/21/22		10,640			11,114
	Discover Financial Services	3.950%	11/6/24		6,950			7,365
	Discover Financial Services	3.750%	3/4/25		7,320			7,726
	Discover Financial Services	4.500%	1/30/26		6,800			7,437
	Discover Financial Services	4.100%	2/9/27		9,300			9,969
	Fifth Third Bancorp	3.500%	3/15/22		5,403			5,566
	Fifth Third Bancorp	4.300%	1/16/24		11,774			12,630
	Fifth Third Bancorp	3.650%	1/25/24		14,940			15,716
	Fifth Third Bancorp	2.375%	1/28/25		5,225			5,221
	Fifth Third Bancorp	3.950%	3/14/28		8,110			8,907
	Fifth Third Bancorp	8.250%	3/1/38		11,167			17,167
	Fifth Third Bank	2.250%	6/14/21		25,729			25,830
	Fifth Third Bank	3.350%	7/26/21		6,550			6,686
	Fifth Third Bank	2.875%	10/1/21		7,604			7,716
	Fifth Third Bank	3.950%	7/28/25		9,450			10,248
	Fifth Third Bank	3.850%	3/15/26		9,932			10,551
	First Horizon National Corp.	3.500%	12/15/20		5,513			5,570
	First Republic Bank	2.500%	6/6/22		11,850			11,958
	First Republic Bank	4.375%	8/1/46		2,425			2,626
	First Republic Bank	4.625%	2/13/47		2,975			3,435
	FirstMerit Bank NA	4.270%	11/25/26		5,750			6,159
	Goldman Sachs Capital I	6.345%	2/15/34		13,025			16,916

35

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Goldman Sachs Group Inc.	2.600%	12/27/20		1,850			1,853
	Goldman Sachs Group Inc.	2.875%	2/25/21		17,207			17,369
	Goldman Sachs Group Inc.	2.625%	4/25/21		22,662			22,819
	Goldman Sachs Group Inc.	5.250%	7/27/21		25,019			26,228
	Goldman Sachs Group Inc.	2.350%	11/15/21		23,550			23,631
	Goldman Sachs Group Inc.	5.750%	1/24/22		60,973			65,250
	Goldman Sachs Group Inc.	3.000%	4/26/22		36,919			37,404
4	Goldman Sachs Group Inc.	2.876%	10/31/22		80,615			81,587
	Goldman Sachs Group Inc.	3.625%	1/22/23		31,359			32,555
	Goldman Sachs Group Inc.	3.200%	2/23/23		16,955			17,432
4	Goldman Sachs Group Inc.	2.908%	6/5/23		25,891			26,294
4	Goldman Sachs Group Inc.	2.905%	7/24/23		30,807			31,284
	Goldman Sachs Group Inc.	3.625%	2/20/24		16,700			17,528
	Goldman Sachs Group Inc.	4.000%	3/3/24		61,846			65,671
	Goldman Sachs Group Inc.	3.850%	7/8/24		14,607			15,403
	Goldman Sachs Group Inc.	3.500%	1/23/25		36,819			38,649
	Goldman Sachs Group Inc.	3.750%	5/22/25		2,648			2,803
4	Goldman Sachs Group Inc.	3.272%	9/29/25		59,303			61,202
	Goldman Sachs Group Inc.	4.250%	10/21/25		14,020			15,201
	Goldman Sachs Group Inc.	3.750%	2/25/26		32,209			34,119
	Goldman Sachs Group Inc.	3.500%	11/16/26		40,295			42,027
	Goldman Sachs Group Inc.	5.950%	1/15/27		9,878			11,790
	Goldman Sachs Group Inc.	3.850%	1/26/27		36,623			38,931
4	Goldman Sachs Group Inc.	3.691%	6/5/28		30,665			32,526
4	Goldman Sachs Group Inc.	3.814%	4/23/29		57,860			61,899
4	Goldman Sachs Group Inc.	4.223%	5/1/29		16,820			18,477
	Goldman Sachs Group Inc.	6.125%	2/15/33		300			405
	Goldman Sachs Group Inc.	6.450%	5/1/36		19,324			25,564
	Goldman Sachs Group Inc.	6.750%	10/1/37		42,962			59,550
4	Goldman Sachs Group Inc.	4.017%	10/31/38		28,584			30,912
4	Goldman Sachs Group Inc.	4.411%	4/23/39		35,355			40,122
	Goldman Sachs Group Inc.	6.250%	2/1/41		31,437			43,879
	Goldman Sachs Group Inc.	4.800%	7/8/44		31,328			37,917
	Goldman Sachs Group Inc.	5.150%	5/22/45		29,619			36,255
	Goldman Sachs Group Inc.	4.750%	10/21/45		179			218
	HSBC Bank USA NA	7.000%	1/15/39		8,759			12,768
	HSBC Holdings plc	3.400%	3/8/21		51,785			52,554
	HSBC Holdings plc	5.100%	4/5/21		29,395			30,453
	HSBC Holdings plc	2.950%	5/25/21		51,596			52,219
	HSBC Holdings plc	2.650%	1/5/22		34,588			34,965
	HSBC Holdings plc	4.875%	1/14/22		3,760			3,963
	HSBC Holdings plc	4.000%	3/30/22		7,301			7,597
4	HSBC Holdings plc	3.262%	3/13/23		28,357			28,974
	HSBC Holdings plc	3.600%	5/25/23		25,575			26,597
4	HSBC Holdings plc	3.033%	11/22/23		6,939			7,081
	HSBC Holdings plc	4.250%	3/14/24		32,413			34,398
4	HSBC Holdings plc	3.950%	5/18/24		23,250			24,381
4	HSBC Holdings plc	3.803%	3/11/25		30,816			32,340
	HSBC Holdings plc	4.250%	8/18/25		5,607			5,997
4	HSBC Holdings plc	2.633%	11/7/25		9,175			9,153
	HSBC Holdings plc	4.300%	3/8/26		39,815			43,258
	HSBC Holdings plc	3.900%	5/25/26		46,460			49,464
4	HSBC Holdings plc	4.292%	9/12/26		50,727			54,479
	HSBC Holdings plc	4.375%	11/23/26		17,141			18,535
4	HSBC Holdings plc	4.041%	3/13/28		32,403			34,571
4	HSBC Holdings plc	4.583%	6/19/29		20,500			22,870
4	HSBC Holdings plc	3.973%	5/22/30		15,300			16,435
	HSBC Holdings plc	7.625%	5/17/32		5,320			7,352
	HSBC Holdings plc	7.350%	11/27/32		2,040			2,830
	HSBC Holdings plc	6.500%	5/2/36		16,629			22,608
	HSBC Holdings plc	6.500%	9/15/37		42,595			58,094
	HSBC Holdings plc	6.800%	6/1/38		6,219			8,844
	HSBC Holdings plc	6.100%	1/14/42		3,198			4,536
	HSBC Holdings plc	5.250%	3/14/44		26,403			33,420

36

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	HSBC USA Inc.	3.500%	6/23/24		12,402			13,122
	Huntington Bancshares Inc.	7.000%	12/15/20		4,200			4,386
	Huntington Bancshares Inc.	3.150%	3/14/21		4,275			4,320
	Huntington Bancshares Inc.	2.300%	1/14/22		10,218			10,256
	Huntington Bancshares Inc.	2.625%	8/6/24		2,250			2,281
	Huntington Bancshares Inc.	4.000%	5/15/25		6,132			6,604
	Huntington National Bank	3.250%	5/14/21		9,500			9,654
	Huntington National Bank	3.125%	4/1/22		5,350			5,455
	Huntington National Bank	2.500%	8/7/22		13,900			14,056
	Huntington National Bank	3.550%	10/6/23		6,470			6,773
	ING Groep NV	3.150%	3/29/22		7,607			7,764
	ING Groep NV	4.100%	10/2/23		15,950			16,909
	ING Groep NV	3.550%	4/9/24		16,610			17,388
	ING Groep NV	3.950%	3/29/27		14,067			15,126
	ING Groep NV	4.550%	10/2/28		12,425			14,087
	ING Groep NV	4.050%	4/9/29		11,570			12,685
7	Intesa Sanpaolo SPA	6.500%	2/24/21		100			104
	JPMorgan Chase & Co.	2.550%	3/1/21		22,303			22,428
	JPMorgan Chase & Co.	4.625%	5/10/21		7,736			8,011
	JPMorgan Chase & Co.	2.400%	6/7/21		13,520			13,604
	JPMorgan Chase & Co.	2.295%	8/15/21		58,480			58,583
	JPMorgan Chase & Co.	4.350%	8/15/21		26,088			27,057
	JPMorgan Chase & Co.	4.500%	1/24/22		39,768			41,704
4	JPMorgan Chase & Co.	3.514%	6/18/22		16,625			16,977
	JPMorgan Chase & Co.	3.250%	9/23/22		22,197			22,941
	JPMorgan Chase & Co.	2.972%	1/15/23		48,046			48,983
	JPMorgan Chase & Co.	3.200%	1/25/23		50,978			52,581
4	JPMorgan Chase & Co.	3.207%	4/1/23		17,605			17,988
4	JPMorgan Chase & Co.	2.776%	4/25/23		21,615			21,871
	JPMorgan Chase & Co.	3.375%	5/1/23		31,599			32,804
	JPMorgan Chase & Co.	2.700%	5/18/23		5,016			5,108
	JPMorgan Chase & Co.	3.875%	2/1/24		20,752			22,196
4	JPMorgan Chase & Co.	3.559%	4/23/24		31,603			32,937
	JPMorgan Chase & Co.	3.625%	5/13/24		43,367			45,834
4	JPMorgan Chase & Co.	3.797%	7/23/24		14,750			15,541
	JPMorgan Chase & Co.	3.875%	9/10/24		34,622			37,028
4	JPMorgan Chase & Co.	4.023%	12/5/24		22,250			23,706
	JPMorgan Chase & Co.	3.125%	1/23/25		29,012			30,263
4	JPMorgan Chase & Co.	3.220%	3/1/25		31,236			32,267
	JPMorgan Chase & Co.	3.900%	7/15/25		33,618			36,266
4	JPMorgan Chase & Co.	2.301%	10/15/25		24,065			24,035
	JPMorgan Chase & Co.	3.300%	4/1/26		60,462			63,373
	JPMorgan Chase & Co.	3.200%	6/15/26		30,580			31,834
	JPMorgan Chase & Co.	2.950%	10/1/26		33,607			34,543
	JPMorgan Chase & Co.	4.125%	12/15/26		23,505			25,717
4	JPMorgan Chase & Co.	3.960%	1/29/27		28,320			30,645
	JPMorgan Chase & Co.	4.250%	10/1/27		12,337			13,640
	JPMorgan Chase & Co.	3.625%	12/1/27		11,318			11,884
4	JPMorgan Chase & Co.	3.782%	2/1/28		42,266			45,392
4	JPMorgan Chase & Co.	3.540%	5/1/28		34,391			36,427
4	JPMorgan Chase & Co.	3.509%	1/23/29		39,125			41,467
4	JPMorgan Chase & Co.	4.005%	4/23/29		13,095			14,334
4	JPMorgan Chase & Co.	4.203%	7/23/29		10,913			12,151
4	JPMorgan Chase & Co.	4.452%	12/5/29		3,375			3,839
4	JPMorgan Chase & Co.	3.702%	5/6/30		16,200			17,445
	JPMorgan Chase & Co.	8.750%	9/1/30		1,100			1,605
4	JPMorgan Chase & Co.	2.739%	10/15/30		44,150			44,150
	JPMorgan Chase & Co.	6.400%	5/15/38		18,237			26,297
4	JPMorgan Chase & Co.	3.882%	7/24/38		31,978			35,361
	JPMorgan Chase & Co.	5.500%	10/15/40		37,850			50,598
	JPMorgan Chase & Co.	5.600%	7/15/41		6,810			9,322
	JPMorgan Chase & Co.	5.400%	1/6/42		10,131			13,702
	JPMorgan Chase & Co.	5.625%	8/16/43		8,097			10,859
	JPMorgan Chase & Co.	4.850%	2/1/44		3,964			5,069

37

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	JPMorgan Chase & Co.	4.950%	6/1/45		10,788			13,587
4	JPMorgan Chase & Co.	4.260%	2/22/48		22,558			26,437
4	JPMorgan Chase & Co.	4.032%	7/24/48		25,002			28,315
4	JPMorgan Chase & Co.	3.964%	11/15/48		78,711			88,256
4	JPMorgan Chase & Co.	3.897%	1/23/49		30,300			33,890
	KeyBank NA	3.350%	6/15/21		5,560			5,675
	KeyBank NA	2.500%	11/22/21		3,619			3,659
	KeyBank NA	2.400%	6/9/22		3,145			3,179
	KeyBank NA	2.300%	9/14/22		10,100			10,198
	KeyBank NA	3.375%	3/7/23		7,425			7,717
	KeyBank NA	3.300%	6/1/25		7,726			8,137
	KeyBank NA	3.400%	5/20/26		12,750			13,230
4	KeyBank NA	3.180%	10/15/27		4,525			4,616
	KeyBank NA	6.950%	2/1/28		1,740			2,196
	KeyCorp	5.100%	3/24/21		10,297			10,679
	KeyCorp	4.150%	10/29/25		7,000			7,661
	KeyCorp	4.100%	4/30/28		15,050			16,421
	KeyCorp	2.550%	10/1/29		14,125			13,811
	Lloyds Bank plc	6.375%	1/21/21		11,075			11,522
	Lloyds Bank plc	3.300%	5/7/21		5,600			5,689
	Lloyds Bank plc	3.500%	5/14/25		1,100			1,155
	Lloyds Banking Group plc	3.100%	7/6/21		210			213
	Lloyds Banking Group plc	3.000%	1/11/22		4,456			4,524
4	Lloyds Banking Group plc	2.858%	3/17/23		14,275			14,411
	Lloyds Banking Group plc	4.050%	8/16/23		34,900			36,826
4	Lloyds Banking Group plc	2.907%	11/7/23		21,230			21,537
	Lloyds Banking Group plc	3.900%	3/12/24		11,050			11,643
	Lloyds Banking Group plc	4.500%	11/4/24		15,361			16,378
	Lloyds Banking Group plc	4.450%	5/8/25		7,000			7,628
	Lloyds Banking Group plc	4.582%	12/10/25		38,255			41,283
	Lloyds Banking Group plc	4.650%	3/24/26		12,532			13,563
	Lloyds Banking Group plc	3.750%	1/11/27		9,032			9,476
	Lloyds Banking Group plc	4.375%	3/22/28		34,195			37,645
	Lloyds Banking Group plc	4.550%	8/16/28		16,275			18,174
4	Lloyds Banking Group plc	3.574%	11/7/28		20,800			21,633
	Lloyds Banking Group plc	5.300%	12/1/45		5,919			7,190
	Lloyds Banking Group plc	4.344%	1/9/48		17,835			19,268
	M&T Bank Corp.	3.550%	7/26/23		7,250			7,618
	Manufacturers & Traders Trust Co.	2.625%	1/25/21		3,925			3,942
	Manufacturers & Traders Trust Co.	2.500%	5/18/22		2,145			2,169
	Manufacturers & Traders Trust Co.	2.900%	2/6/25		9,151			9,403
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21		21,903			22,118
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21		7,950			8,128
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21		31,790			31,836
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22		13,800			14,122
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22		13,300			13,471
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22		25,475			25,839
	Mitsubishi UFJ Financial Group Inc.	3.455%	3/2/23		12,500			12,952
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23		24,065			25,278
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23		3,350			3,372
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24		25,720			26,817
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24		12,575			12,805
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25		14,000			14,877
	Mitsubishi UFJ Financial Group Inc.	3.850%	3/1/26		34,185			36,670
	Mitsubishi UFJ Financial Group Inc.	2.757%	9/13/26		9,525			9,585
	Mitsubishi UFJ Financial Group Inc.	3.677%	2/22/27		52,881			56,124
	Mitsubishi UFJ Financial Group Inc.	3.287%	7/25/27		26,011			26,954
	Mitsubishi UFJ Financial Group Inc.	3.961%	3/2/28		15,350			16,665
	Mitsubishi UFJ Financial Group Inc.	4.050%	9/11/28		5,150			5,678
	Mitsubishi UFJ Financial Group Inc.	3.741%	3/7/29		16,590			17,818
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29		20,000			20,678
	Mitsubishi UFJ Financial Group Inc.	4.286%	7/26/38		3,000			3,451
	Mitsubishi UFJ Financial Group Inc.	4.153%	3/7/39		1,550			1,749
	Mitsubishi UFJ Financial Group Inc.	3.751%	7/18/39		12,000			13,145

38

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Mizuho Financial Group Inc.	2.273%	9/13/21		550			551
	Mizuho Financial Group Inc.	2.953%	2/28/22		500			509
	Mizuho Financial Group Inc.	2.601%	9/11/22		500			506
	Mizuho Financial Group Inc.	3.549%	3/5/23		13,200			13,744
4	Mizuho Financial Group Inc.	2.721%	7/16/23		25,900			26,149
4	Mizuho Financial Group Inc.	3.922%	9/11/24		11,060			11,596
4	Mizuho Financial Group Inc.	2.839%	7/16/25		26,800			27,028
4	Mizuho Financial Group Inc.	2.555%	9/13/25		15,525			15,484
	Mizuho Financial Group Inc.	3.663%	2/28/27		2,100			2,221
	Mizuho Financial Group Inc.	4.018%	3/5/28		20,525			22,339
4	Mizuho Financial Group Inc.	4.254%	9/11/29		15,000			16,605
4	Mizuho Financial Group Inc.	3.153%	7/16/30		30,205			30,844
4	Mizuho Financial Group Inc.	2.869%	9/13/30		9,435			9,495
	Morgan Stanley	5.750%	1/25/21		23,535			24,399
	Morgan Stanley	2.500%	4/21/21		5,924			5,950
	Morgan Stanley	5.500%	7/28/21		13,616			14,333
	Morgan Stanley	2.625%	11/17/21		35,817			36,219
	Morgan Stanley	2.750%	5/19/22		33,941			34,533
	Morgan Stanley	4.875%	11/1/22		22,638			24,241
	Morgan Stanley	3.125%	1/23/23		13,885			14,261
	Morgan Stanley	3.750%	2/25/23		66,535			69,489
	Morgan Stanley	4.100%	5/22/23		22,036			23,190
4	Morgan Stanley	3.737%	4/24/24		22,100			23,013
	Morgan Stanley	3.875%	4/29/24		38,463			40,801
	Morgan Stanley	3.700%	10/23/24		49,444			52,375
	Morgan Stanley	4.000%	7/23/25		52,943			57,255
	Morgan Stanley	5.000%	11/24/25		22,714			25,505
	Morgan Stanley	3.875%	1/27/26		41,091			44,075
	Morgan Stanley	3.125%	7/27/26		34,300			35,305
	Morgan Stanley	6.250%	8/9/26		12,332			14,972
	Morgan Stanley	4.350%	9/8/26		28,900			31,549
	Morgan Stanley	3.625%	1/20/27		23,560			25,016
	Morgan Stanley	3.950%	4/23/27		14,404			15,398
4	Morgan Stanley	3.591%	7/22/28		46,005			48,737
4	Morgan Stanley	3.772%	1/24/29		10,920			11,730
4	Morgan Stanley	4.431%	1/23/30		13,175			14,868
	Morgan Stanley	7.250%	4/1/32		8,587			12,326
4	Morgan Stanley	3.971%	7/22/38		21,907			24,295
4	Morgan Stanley	4.457%	4/22/39		22,750			26,775
	Morgan Stanley	6.375%	7/24/42		35,237			51,878
	Morgan Stanley	4.300%	1/27/45		42,196			49,551
	Morgan Stanley	4.375%	1/22/47		3,785			4,522
	MUFG Americas Holdings Corp.	3.500%	6/18/22		16,668			17,249
	MUFG Americas Holdings Corp.	3.000%	2/10/25		7,100			7,212
	MUFG Union Bank NA	3.150%	4/1/22		39,471			40,356
	MUFG Union Bank NA	2.100%	12/9/22		13,900			13,928
	National Australia Bank Ltd.	2.625%	1/14/21		8,647			8,697
	National Australia Bank Ltd.	1.875%	7/12/21		9,684			9,671
	National Australia Bank Ltd.	3.375%	9/20/21		20,000			20,481
	National Australia Bank Ltd.	3.700%	11/4/21		11,030			11,380
	National Australia Bank Ltd.	2.800%	1/10/22		6,004			6,099
	National Australia Bank Ltd.	2.500%	5/22/22		8,774			8,879
	National Australia Bank Ltd.	3.000%	1/20/23		1,050			1,075
	National Australia Bank Ltd.	2.875%	4/12/23		1,750			1,788
	National Australia Bank Ltd.	3.625%	6/20/23		12,000			12,555
	National Australia Bank Ltd.	3.375%	1/14/26		6,752			7,074
	National Australia Bank Ltd.	2.500%	7/12/26		20,034			20,112
	Northern Trust Corp.	3.375%	8/23/21		1,993			2,040
	Northern Trust Corp.	2.375%	8/2/22		5,710			5,759
	Northern Trust Corp.	3.950%	10/30/25		8,975			9,661
	Northern Trust Corp.	3.650%	8/3/28		5,500			5,941
	Northern Trust Corp.	3.150%	5/3/29		8,950			9,421
4	Northern Trust Corp.	3.375%	5/8/32		3,850			3,901
	People's United Bank NA	4.000%	7/15/24		3,850			4,007

39

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	People's United Financial Inc.	3.650%	12/6/22		6,175			6,413
	PNC Bank NA	2.150%	4/29/21		31,086			31,149
	PNC Bank NA	2.550%	12/9/21		6,050			6,100
	PNC Bank NA	2.625%	2/17/22		19,500			19,702
4	PNC Bank NA	2.232%	7/22/22		5,000			5,010
	PNC Bank NA	2.450%	7/28/22		2,500			2,523
	PNC Bank NA	2.700%	11/1/22		9,584			9,676
4	PNC Bank NA	2.028%	12/9/22		3,285			3,288
	PNC Bank NA	2.950%	1/30/23		10,277			10,484
	PNC Bank NA	3.800%	7/25/23		16,478			17,253
	PNC Bank NA	3.300%	10/30/24		6,303			6,555
	PNC Bank NA	2.950%	2/23/25		9,710			9,929
	PNC Bank NA	3.250%	6/1/25		17,751			18,591
	PNC Bank NA	3.100%	10/25/27		10,265			10,707
	PNC Bank NA	3.250%	1/22/28		5,050			5,302
	PNC Bank NA	4.050%	7/26/28		8,250			9,056
	PNC Bank NA	2.700%	10/22/29		3,300			3,280
	PNC Financial Services Group Inc.	2.854%	11/9/22		16,055			16,335
	PNC Financial Services Group Inc.	3.500%	1/23/24		23,445			24,607
	PNC Financial Services Group Inc.	3.900%	4/29/24		21,232			22,313
	PNC Financial Services Group Inc.	3.150%	5/19/27		10,409			10,756
	PNC Financial Services Group Inc.	3.450%	4/23/29		28,765			30,566
	PNC Funding Corp.	3.300%	3/8/22		8,184			8,406
	Regions Bank	2.750%	4/1/21		5,054			5,089
4	Regions Bank	3.374%	8/13/21		5,500			5,541
	Regions Bank	6.450%	6/26/37		4,491			5,767
	Regions Financial Corp.	2.750%	8/14/22		5,479			5,573
	Regions Financial Corp.	3.800%	8/14/23		11,075			11,676
	Regions Financial Corp.	7.375%	12/10/37		3,950			5,581
	Royal Bank of Canada	2.500%	1/19/21		13,542			13,601
	Royal Bank of Canada	3.200%	4/30/21		21,950			22,339
	Royal Bank of Canada	2.750%	2/1/22		13,991			14,223
	Royal Bank of Canada	2.800%	4/29/22		19,620			19,991
	Royal Bank of Canada	3.700%	10/5/23		8,520			8,984
	Royal Bank of Canada	2.550%	7/16/24		9,165			9,301
	Royal Bank of Canada	2.250%	11/1/24		33,700			33,856
	Royal Bank of Canada	4.650%	1/27/26		11,818			13,117
	Royal Bank of Scotland Group plc	6.125%	12/15/22		5,642			6,172
4	Royal Bank of Scotland Group plc	3.498%	5/15/23		13,990			14,286
	Royal Bank of Scotland Group plc	6.100%	6/10/23		10,000			10,988
	Royal Bank of Scotland Group plc	3.875%	9/12/23		44,254			46,259
	Royal Bank of Scotland Group plc	6.000%	12/19/23		8,125			9,031
	Royal Bank of Scotland Group plc	5.125%	5/28/24		29,803			32,269
4	Royal Bank of Scotland Group plc	4.519%	6/25/24		21,820			23,126
4	Royal Bank of Scotland Group plc	4.269%	3/22/25		4,050			4,296
	Royal Bank of Scotland Group plc	4.800%	4/5/26		4,731			5,241
4	Royal Bank of Scotland Group plc	4.892%	5/18/29		35,600			40,133
4	Royal Bank of Scotland Group plc	3.754%	11/1/29		2,750			2,805
4	Royal Bank of Scotland Group plc	5.076%	1/27/30		40,500			46,460
4	Royal Bank of Scotland Group plc	4.445%	5/8/30		10,050			11,061
	Santander Holdings USA Inc.	3.400%	1/18/23		12,900			13,222
	Santander Holdings USA Inc.	3.500%	6/7/24		5,000			5,139
	Santander Holdings USA Inc.	4.500%	7/17/25		9,475			10,188
7	Santander Holdings USA Inc.	3.244%	10/5/26		42,500			42,696
	Santander Holdings USA Inc.	4.400%	7/13/27		16,844			18,149
	Santander UK Group Holdings plc	3.125%	1/8/21		18,025			18,173
	Santander UK Group Holdings plc	2.875%	8/5/21		11,549			11,661
	Santander UK Group Holdings plc	3.571%	1/10/23		8,361			8,551
4	Santander UK Group Holdings plc	4.796%	11/15/24		9,550			10,297
4	Santander UK Group Holdings plc	3.823%	11/3/28		7,273			7,637
	Santander UK plc	3.400%	6/1/21		15,700			16,014
	Santander UK plc	3.750%	11/15/21		6,525			6,723
	Santander UK plc	4.000%	3/13/24		23,128			24,633
	Santander UK plc	2.875%	6/18/24		13,800			14,084

40

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Skandinaviska Enskilda Banken AB	2.625%	3/15/21		13,140			13,226
	Skandinaviska Enskilda Banken AB	1.875%	9/13/21		31,400			31,289
	Skandinaviska Enskilda Banken AB	2.800%	3/11/22		8,650			8,776
	State Street Corp.	4.375%	3/7/21		2,255			2,320
	State Street Corp.	1.950%	5/19/21		10,145			10,152
4	State Street Corp.	2.653%	5/15/23		9,320			9,463
	State Street Corp.	3.100%	5/15/23		9,503			9,758
	State Street Corp.	3.700%	11/20/23		8,158			8,671
4	State Street Corp.	3.776%	12/3/24		10,800			11,384
	State Street Corp.	3.300%	12/16/24		15,300			16,133
	State Street Corp.	3.550%	8/18/25		19,466			20,919
4	State Street Corp.	2.354%	11/1/25		8,225			8,235
	State Street Corp.	2.650%	5/19/26		9,965			10,116
4	State Street Corp.	4.141%	12/3/29		4,055			4,527
4	State Street Corp.	3.031%	11/1/34		17,400			17,355
	Sumitomo Mitsui Banking Corp.	3.200%	7/18/22		5,837			5,996
	Sumitomo Mitsui Banking Corp.	3.000%	1/18/23		550			560
	Sumitomo Mitsui Banking Corp.	3.950%	7/19/23		9,998			10,562
	Sumitomo Mitsui Banking Corp.	3.950%	1/10/24		9,850			10,422
	Sumitomo Mitsui Banking Corp.	3.400%	7/11/24		7,050			7,361
	Sumitomo Mitsui Banking Corp.	3.650%	7/23/25		3,100			3,296
	Sumitomo Mitsui Financial Group Inc.	2.934%	3/9/21		7,338			7,423
	Sumitomo Mitsui Financial Group Inc.	2.058%	7/14/21		5,325			5,331
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21		10,729			10,801
	Sumitomo Mitsui Financial Group Inc.	2.846%	1/11/22		10,244			10,392
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22		19,458			19,787
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22		9,804			9,954
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23		15,385			15,735
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23		9,850			10,321
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23		13,500			14,278
7	Sumitomo Mitsui Financial Group Inc.	4.436%	4/2/24		50			53
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24		26,900			27,263
	Sumitomo Mitsui Financial Group Inc.	2.448%	9/27/24		40,000			40,061
	Sumitomo Mitsui Financial Group Inc.	3.784%	3/9/26		21,118			22,489
	Sumitomo Mitsui Financial Group Inc.	2.632%	7/14/26		13,394			13,413
	Sumitomo Mitsui Financial Group Inc.	3.010%	10/19/26		11,600			11,815
	Sumitomo Mitsui Financial Group Inc.	3.446%	1/11/27		11,105			11,619
	Sumitomo Mitsui Financial Group Inc.	3.364%	7/12/27		16,308			16,983
	Sumitomo Mitsui Financial Group Inc.	3.544%	1/17/28		15,350			16,204
	Sumitomo Mitsui Financial Group Inc.	3.944%	7/19/28		29,850			32,537
	Sumitomo Mitsui Financial Group Inc.	4.306%	10/16/28		6,210			6,926
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29		17,800			18,124
	Sumitomo Mitsui Financial Group Inc.	3.202%	9/17/29		12,550			12,669
	Sumitomo Mitsui Financial Group Inc.	2.724%	9/27/29		13,200			13,049
	SVB Financial Group	3.500%	1/29/25		4,475			4,674
	Svenska Handelsbanken AB	2.450%	3/30/21		19,351			19,462
	Svenska Handelsbanken AB	3.350%	5/24/21		21,675			22,076
	Svenska Handelsbanken AB	1.875%	9/7/21		9,013			8,993
	Synchrony Bank	3.650%	5/24/21		8,370			8,535
	Synchrony Bank	3.000%	6/15/22		5,197			5,293
	Synchrony Financial	3.750%	8/15/21		6,438			6,582
	Synchrony Financial	2.850%	7/25/22		4,175			4,230
	Synchrony Financial	4.375%	3/19/24		1,000			1,063
	Synchrony Financial	4.250%	8/15/24		7,351			7,843
	Synchrony Financial	4.500%	7/23/25		17,744			19,168
	Synchrony Financial	3.700%	8/4/26		9,725			10,022
	Synchrony Financial	3.950%	12/1/27		11,725			12,308
	Synchrony Financial	5.150%	3/19/29		1,750			1,987
	Synovus Financial Corp.	3.125%	11/1/22		3,257			3,298
	Toronto-Dominion Bank	2.500%	12/14/20		11,941			12,007
	Toronto-Dominion Bank	2.550%	1/25/21		30,700			30,873
	Toronto-Dominion Bank	2.125%	4/7/21		22,937			23,019
	Toronto-Dominion Bank	3.250%	6/11/21		6,000			6,124
	Toronto-Dominion Bank	1.800%	7/13/21		16,632			16,626

41

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Toronto-Dominion Bank	1.900%	12/1/22		18,075			18,076
	Toronto-Dominion Bank	3.500%	7/19/23		5,200			5,475
	Toronto-Dominion Bank	3.250%	3/11/24		53,200			55,508
	Toronto-Dominion Bank	2.650%	6/12/24		8,365			8,527
4	Toronto-Dominion Bank	3.625%	9/15/31		6,415			6,704
	Truist Bank	2.850%	4/1/21		385			389
4	Truist Bank	3.525%	10/26/21		2,750			2,781
	Truist Bank	2.625%	1/15/22		15,250			15,439
	Truist Bank	2.800%	5/17/22		22,255			22,647
4	Truist Bank	3.502%	8/2/22		9,810			10,018
	Truist Bank	3.000%	2/2/23		6,166			6,313
	Truist Bank	2.750%	5/1/23		6,225			6,315
	Truist Bank	3.200%	4/1/24		35,100			36,438
4	Truist Bank	3.689%	8/2/24		20,239			21,201
	Truist Bank	2.150%	12/6/24		5,000			4,990
	Truist Bank	3.625%	9/16/25		23,853			25,371
	Truist Bank	3.300%	5/15/26		7,025			7,303
	Truist Bank	3.800%	10/30/26		3,355			3,596
	Truist Financial Corp	2.900%	3/3/21		7,007			7,066
	Truist Financial Corp.	2.150%	2/1/21		9,675			9,693
	Truist Financial Corp.	2.050%	5/10/21		13,011			13,020
	Truist Financial Corp.	3.200%	9/3/21		9,225			9,410
	Truist Financial Corp.	2.700%	1/27/22		14,119			14,312
	Truist Financial Corp.	2.750%	4/1/22		6,730			6,848
	Truist Financial Corp.	3.050%	6/20/22		35,190			35,896
	Truist Financial Corp.	3.750%	12/6/23		10,100			10,674
	Truist Financial Corp.	2.850%	10/26/24		8,732			9,023
	Truist Financial Corp.	4.000%	5/1/25		6,548			7,083
	Truist Financial Corp.	3.700%	6/5/25		10,450			11,255
	Truist Financial Corp.	3.875%	3/19/29		15,150			16,310
7	UBS AG	2.450%	12/1/20		22,580			22,652
	US Bancorp	2.350%	1/29/21		10,834			10,881
	US Bancorp	4.125%	5/24/21		9,157			9,420
	US Bancorp	2.625%	1/24/22		13,239			13,437
	US Bancorp	3.000%	3/15/22		3,864			3,952
	US Bancorp	2.950%	7/15/22		17,278			17,715
	US Bancorp	3.700%	1/30/24		3,380			3,592
	US Bancorp	3.375%	2/5/24		32,000			33,492
	US Bancorp	2.400%	7/30/24		11,650			11,792
	US Bancorp	3.600%	9/11/24		2,605			2,763
	US Bancorp	3.950%	11/17/25		1,612			1,772
	US Bancorp	3.100%	4/27/26		6,795			7,073
	US Bancorp	2.375%	7/22/26		11,800			11,829
	US Bancorp	3.150%	4/27/27		30,750			32,172
	US Bancorp	3.900%	4/26/28		2,975			3,337
	US Bancorp	3.000%	7/30/29		4,000			4,094
	US Bank NA	3.000%	2/4/21		2,700			2,729
	US Bank NA	3.150%	4/26/21		1,650			1,674
	US Bank NA	3.450%	11/16/21		4,560			4,690
	US Bank NA	2.650%	5/23/22		15,850			16,124
	US Bank NA	1.950%	1/9/23		17,260			17,276
	US Bank NA	2.850%	1/23/23		8,555			8,779
	US Bank NA	3.400%	7/24/23		7,475			7,818
	US Bank NA	2.800%	1/27/25		25,464			26,243
	Wachovia Corp.	6.605%	10/1/25		3,175			3,748
	Wachovia Corp.	5.500%	8/1/35		14,027			17,755
	Wachovia Corp.	6.550%	10/15/35		7,625			9,751
	Wells Fargo & Co.	2.550%	12/7/20		14,741			14,806
	Wells Fargo & Co.	3.000%	1/22/21		18,027			18,231
	Wells Fargo & Co.	2.500%	3/4/21		38,688			38,956
	Wells Fargo & Co.	4.600%	4/1/21		22,927			23,628
	Wells Fargo & Co.	2.100%	7/26/21		54,966			55,056
	Wells Fargo & Co.	3.500%	3/8/22		26,465			27,277
	Wells Fargo & Co.	2.625%	7/22/22		44,100			44,692

42

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Wells Fargo & Co.	3.069%	1/24/23		86,292			87,771
	Wells Fargo & Co.	3.450%	2/13/23		20,948			21,668
	Wells Fargo & Co.	4.125%	8/15/23		17,134			18,166
	Wells Fargo & Co.	4.480%	1/16/24		11,285			12,155
	Wells Fargo & Co.	3.300%	9/9/24		28,831			30,178
	Wells Fargo & Co.	3.000%	2/19/25		29,449			30,371
	Wells Fargo & Co.	3.550%	9/29/25		27,470			29,022
4	Wells Fargo & Co.	2.406%	10/30/25		50,000			49,875
	Wells Fargo & Co.	3.000%	4/22/26		39,112			40,229
	Wells Fargo & Co.	4.100%	6/3/26		44,473			47,805
	Wells Fargo & Co.	3.000%	10/23/26		37,500			38,329
4	Wells Fargo & Co.	3.196%	6/17/27		16,400			16,976
	Wells Fargo & Co.	4.300%	7/22/27		25,005			27,289
4	Wells Fargo & Co.	3.584%	5/22/28		32,130			34,066
4	Wells Fargo & Co.	2.879%	10/30/30		45,240			45,508
	Wells Fargo & Co.	5.375%	2/7/35		10,269			13,240
	Wells Fargo & Co.	5.375%	11/2/43		34,188			43,070
	Wells Fargo & Co.	5.606%	1/15/44		17,899			23,669
	Wells Fargo & Co.	4.650%	11/4/44		26,385			30,903
	Wells Fargo & Co.	3.900%	5/1/45		22,850			25,944
	Wells Fargo & Co.	4.900%	11/17/45		22,332			27,256
	Wells Fargo & Co.	4.400%	6/14/46		17,852			20,479
	Wells Fargo & Co.	4.750%	12/7/46		9,200			10,958
	Wells Fargo Bank NA	2.600%	1/15/21		15,150			15,235
4	Wells Fargo Bank NA	3.325%	7/23/21		18,175			18,294
	Wells Fargo Bank NA	3.625%	10/22/21		35,910			36,943
4	Wells Fargo Bank NA	2.897%	5/27/22		12,200			12,332
4	Wells Fargo Bank NA	2.082%	9/9/22		43,250			43,250
	Wells Fargo Bank NA	3.550%	8/14/23		14,245			14,881
	Wells Fargo Bank NA	5.950%	8/26/36		6,753			8,950
	Wells Fargo Bank NA	5.850%	2/1/37		15,144			20,087
	Wells Fargo Bank NA	6.600%	1/15/38		10,894			15,667
4	Wells Fargo Capital X	5.950%	12/1/86		5,067			6,220
	Westpac Banking Corp.	2.650%	1/25/21		2,816			2,834
	Westpac Banking Corp.	2.100%	5/13/21		40,650			40,690
	Westpac Banking Corp.	2.000%	8/19/21		17,600			17,602
	Westpac Banking Corp.	2.800%	1/11/22		15,400			15,655
	Westpac Banking Corp.	2.500%	6/28/22		25,400			25,669
	Westpac Banking Corp.	2.750%	1/11/23		7,750			7,878
	Westpac Banking Corp.	3.650%	5/15/23		5,450			5,713
	Westpac Banking Corp.	3.300%	2/26/24		13,590			14,136
	Westpac Banking Corp.	2.350%	2/19/25		20,875			20,913
	Westpac Banking Corp.	2.850%	5/13/26		23,225			23,712
	Westpac Banking Corp.	2.700%	8/19/26		18,925			19,134
	Westpac Banking Corp.	3.350%	3/8/27		16,125			17,049
4	Westpac Banking Corp.	4.322%	11/23/31		29,000			30,595
	Westpac Banking Corp.	4.110%	7/24/34		2,050			2,135
	Westpac Banking Corp.	4.421%	7/24/39		5,010			5,492
	Zions Bancorp NA	3.500%	8/27/21		12,725			12,964
	Zions Bancorp NA	3.250%	10/29/29		4,440			4,356
	Brokerage (0.2%)
	Affiliated Managers Group Inc.	4.250%	2/15/24		8,525			9,077
	Affiliated Managers Group Inc.	3.500%	8/1/25		11,145			11,637
	Ameriprise Financial Inc.	3.000%	3/22/22		2,650			2,709
	Ameriprise Financial Inc.	4.000%	10/15/23		14,166			15,113
	Ameriprise Financial Inc.	3.700%	10/15/24		11,830			12,631
	Ameriprise Financial Inc.	2.875%	9/15/26		200			204
7	Apollo Management Holdings LP	4.400%	5/27/26		150			160
	BGC Partners Inc.	5.125%	5/27/21		2,625			2,707
	BGC Partners Inc.	3.750%	10/1/24		6,335			6,322
	BlackRock Inc.	4.250%	5/24/21		7,855			8,114
	BlackRock Inc.	3.375%	6/1/22		12,035			12,461
	BlackRock Inc.	3.500%	3/18/24		17,325			18,391

43

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
BlackRock Inc.	3.200%	3/15/27		1,350			1,427
BlackRock Inc.	3.250%	4/30/29		6,750			7,208
Brookfield Asset Management Inc.	4.000%	1/15/25		5,745			6,162
Brookfield Finance Inc.	4.250%	6/2/26		2,350			2,549
Brookfield Finance Inc.	3.900%	1/25/28		6,400			6,870
Brookfield Finance Inc.	4.850%	3/29/29		10,100			11,572
Brookfield Finance Inc.	4.700%	9/20/47		9,750			11,162
Brookfield Finance LLC	4.000%	4/1/24		11,750			12,600
Cboe Global Markets Inc.	3.650%	1/12/27		6,836			7,331
Charles Schwab Corp.	3.250%	5/21/21		7,850			7,993
Charles Schwab Corp.	3.225%	9/1/22		3,955			4,079
Charles Schwab Corp.	2.650%	1/25/23		5,529			5,643
Charles Schwab Corp.	3.550%	2/1/24		8,775			9,252
Charles Schwab Corp.	3.000%	3/10/25		280			290
Charles Schwab Corp.	3.850%	5/21/25		3,000			3,245
Charles Schwab Corp.	3.450%	2/13/26		3,445			3,636
Charles Schwab Corp.	3.200%	3/2/27		12,950			13,591
Charles Schwab Corp.	3.200%	1/25/28		5,875			6,140
Charles Schwab Corp.	4.000%	2/1/29		7,990			8,843
Charles Schwab Corp.	3.250%	5/22/29		6,750			7,122
CME Group Inc.	3.000%	9/15/22		8,187			8,419
CME Group Inc.	3.000%	3/15/25		6,129			6,341
CME Group Inc.	5.300%	9/15/43		8,479			11,346
CME Group Inc.	4.150%	6/15/48		7,525			8,987
E*TRADE Financial Corp.	2.950%	8/24/22		1,119			1,136
E*TRADE Financial Corp.	3.800%	8/24/27		6,250			6,522
E*TRADE Financial Corp.	4.500%	6/20/28		2,910			3,166
Eaton Vance Corp.	3.625%	6/15/23		3,350			3,504
Eaton Vance Corp.	3.500%	4/6/27		4,530			4,783
Franklin Resources Inc.	2.800%	9/15/22		10,700			10,977
Franklin Resources Inc.	2.850%	3/30/25		5,410			5,569
Intercontinental Exchange Inc.	2.750%	12/1/20		11,900			11,975
Intercontinental Exchange Inc.	3.450%	9/21/23		4,500			4,711
Intercontinental Exchange Inc.	4.000%	10/15/23		13,771			14,687
Intercontinental Exchange Inc.	3.750%	12/1/25		13,010			14,003
Intercontinental Exchange Inc.	3.100%	9/15/27		2,246			2,352
Intercontinental Exchange Inc.	3.750%	9/21/28		4,850			5,292
Intercontinental Exchange Inc.	4.250%	9/21/48		8,950			10,572
Invesco Finance plc	3.125%	11/30/22		7,392			7,596
Invesco Finance plc	4.000%	1/30/24		14,599			15,463
Invesco Finance plc	3.750%	1/15/26		2,279			2,421
Invesco Finance plc	5.375%	11/30/43		11,762			14,177
Janus Capital Group Inc.	4.875%	8/1/25		3,950			4,246
Jefferies Financial Group Inc.	5.500%	10/18/23		8,650			9,413
Jefferies Group LLC	6.875%	4/15/21		12,942			13,670
Jefferies Group LLC	5.125%	1/20/23		1,630			1,756
Jefferies Group LLC	4.850%	1/15/27		15,177			16,797
Jefferies Group LLC	6.450%	6/8/27		675			785
Jefferies Group LLC	6.250%	1/15/36		3,825			4,543
Jefferies Group LLC	6.500%	1/20/43		5,140			6,111
Jefferies Group LLC / Jefferies Group Capital Finance Inc.	4.150%	1/23/30		16,210			17,077
Lazard Group LLC	3.750%	2/13/25		1,215			1,280
Lazard Group LLC	3.625%	3/1/27		8,770			8,968
Lazard Group LLC	4.500%	9/19/28		5,775			6,408
Lazard Group LLC	4.375%	3/11/29		50			55
Legg Mason Inc.	4.750%	3/15/26		4,960			5,433
Legg Mason Inc.	5.625%	1/15/44		7,295			8,281
Nasdaq Inc.	4.250%	6/1/24		4,218			4,543
Nasdaq Inc.	3.850%	6/30/26		6,064			6,488
Raymond James Financial Inc.	3.625%	9/15/26		2,601			2,747
Raymond James Financial Inc.	4.950%	7/15/46		14,395			17,062
Stifel Financial Corp.	3.500%	12/1/20		250			253
Stifel Financial Corp.	4.250%	7/18/24		10,125			10,665

44

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
TD Ameritrade Holding Corp.	2.950%	4/1/22		17,920			18,304
TD Ameritrade Holding Corp.	3.625%	4/1/25		6,225			6,605
TD Ameritrade Holding Corp.	3.300%	4/1/27		9,727			10,158
TD Ameritrade Holding Corp.	2.750%	10/1/29		5,400			5,434
Finance Companies (0.2%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.500%	5/15/21		11,138			11,486
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	5.000%	10/1/21		17,405			18,232
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	12/16/21		1,840			1,914
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.950%	2/1/22		14,227			14,689
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	5/26/22		2,900			2,976
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.625%	7/1/22		6,739			7,118
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.300%	1/23/23		6,395			6,547
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.875%	1/16/24		1,020			1,105
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	2.875%	8/14/24		200			202
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	1/15/25		630			649
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	10/1/25		7,200			7,740
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.650%	7/21/27		11,156			11,435
AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.875%	1/23/28		11,900			12,317
Air Lease Corp.	2.500%	3/1/21		6,997			7,024
Air Lease Corp.	3.875%	4/1/21		6,285			6,409
Air Lease Corp.	3.375%	6/1/21		830			842
Air Lease Corp.	3.500%	1/15/22		3,850			3,947
Air Lease Corp.	3.750%	2/1/22		4,675			4,810
Air Lease Corp.	2.625%	7/1/22		6,869			6,930
Air Lease Corp.	2.250%	1/15/23		5,430			5,428
Air Lease Corp.	2.750%	1/15/23		5,475			5,544
Air Lease Corp.	3.875%	7/3/23		23,125			24,292
Air Lease Corp.	3.000%	9/15/23		4,253			4,352
Air Lease Corp.	4.250%	2/1/24		7,600			8,139
Air Lease Corp.	4.250%	9/15/24		2,952			3,162
Air Lease Corp.	3.250%	3/1/25		11,580			11,910
Air Lease Corp.	3.625%	4/1/27		4,575			4,748
Air Lease Corp.	3.625%	12/1/27		4,700			4,860
Air Lease Corp.	4.625%	10/1/28		6,000			6,620
Air Lease Corp.	3.250%	10/1/29		11,250			11,186
Aircastle Ltd.	4.400%	9/25/23		10,125			10,729
Aircastle Ltd.	4.125%	5/1/24		650			682
Aircastle Ltd.	4.250%	6/15/26		7,180			7,573
Ares Capital Corp.	3.500%	2/10/23		17,235			17,516
Ares Capital Corp.	4.200%	6/10/24		8,367			8,787
Ares Capital Corp.	4.250%	3/1/25		6,780			7,076
FS KKR Capital Corp.	4.750%	5/15/22		4,399			4,515
FS KKR Capital Corp.	4.625%	7/15/24		3,200			3,317
FS KKR Capital Corp.	4.125%	2/1/25		3,000			3,040
GATX Corp.	4.850%	6/1/21		100			104
GATX Corp.	3.250%	3/30/25		4,970			5,108
GATX Corp.	3.250%	9/15/26		3,100			3,140
GATX Corp.	3.850%	3/30/27		8,850			9,241
GATX Corp.	3.500%	3/15/28		5,575			5,676
GATX Corp.	4.550%	11/7/28		9,000			9,829

45

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	GATX Corp.	4.700%	4/1/29		3,725			4,151
	GATX Corp.	5.200%	3/15/44		1,255			1,461
	GATX Corp.	4.500%	3/30/45		1,952			2,018
	GE Capital International Funding Co. Unlimited Co.	3.373%	11/15/25		22,190			23,009
	GE Capital International Funding Co. Unlimited Co.	4.418%	11/15/35		127,543			135,485
	International Lease Finance Corp.	8.250%	12/15/20		13,998			14,774
	International Lease Finance Corp.	4.625%	4/15/21		5,795			5,966
	International Lease Finance Corp.	8.625%	1/15/22		13,210			14,853
	International Lease Finance Corp.	5.875%	8/15/22		10,234			11,150
	Owl Rock Capital Corp.	5.250%	4/15/24		1,500			1,586
	Owl Rock Capital Corp.	4.000%	3/30/25		3,540			3,550
	Prospect Capital Corp.	5.875%	3/15/23		1,610			1,704
	TPG Specialty Lending Inc.	3.875%	11/1/24		3,435			3,455
	Insurance (1.2%)
	ACE Capital Trust II	9.700%	4/1/30		1,529			2,294
	AEGON Funding Co. LLC	5.750%	12/15/20		9,425			9,741
4	AEGON NV	5.500%	4/11/48		7,800			8,473
	Aetna Inc.	2.750%	11/15/22		9,750			9,901
	Aetna Inc.	2.800%	6/15/23		13,025			13,229
	Aetna Inc.	3.500%	11/15/24		11,303			11,803
	Aetna Inc.	6.625%	6/15/36		8,456			11,303
	Aetna Inc.	6.750%	12/15/37		3,877			5,206
	Aetna Inc.	4.500%	5/15/42		5,167			5,515
	Aetna Inc.	4.125%	11/15/42		2,503			2,561
	Aetna Inc.	4.750%	3/15/44		3,575			3,864
	Aetna Inc.	3.875%	8/15/47		12,600			12,732
	Aflac Inc.	4.000%	2/15/22		1,250			1,304
	Aflac Inc.	3.625%	6/15/23		8,610			9,052
	Aflac Inc.	3.625%	11/15/24		8,265			8,834
	Aflac Inc.	3.250%	3/17/25		6,047			6,346
	Aflac Inc.	2.875%	10/15/26		1,090			1,122
	Aflac Inc.	4.000%	10/15/46		4,650			5,053
	Aflac Inc.	4.750%	1/15/49		7,390			8,800
	Alleghany Corp.	4.950%	6/27/22		2,295			2,438
	Alleghany Corp.	4.900%	9/15/44		8,027			9,364
	Allied World Assurance Co. Holdings Ltd.	4.350%	10/29/25		10,461			10,862
	Allstate Corp.	3.150%	6/15/23		10,500			10,896
	Allstate Corp.	3.280%	12/15/26		5,250			5,539
	Allstate Corp.	5.350%	6/1/33		1,679			2,097
	Allstate Corp.	5.550%	5/9/35		2,906			3,667
	Allstate Corp.	5.950%	4/1/36		413			558
	Allstate Corp.	4.500%	6/15/43		7,687			9,180
	Allstate Corp.	4.200%	12/15/46		7,895			9,088
	Allstate Corp.	3.850%	8/10/49		5,410			6,010
4	Allstate Corp.	5.750%	8/15/53		7,865			8,435
4	Allstate Corp.	6.500%	5/15/67		4,240			5,236
	American Financial Group Inc.	3.500%	8/15/26		4,210			4,318
	American Financial Group Inc.	4.500%	6/15/47		7,015			7,569
	American International Group Inc.	6.400%	12/15/20		28,138			29,283
	American International Group Inc.	3.300%	3/1/21		2,675			2,710
	American International Group Inc.	4.875%	6/1/22		17,533			18,714
	American International Group Inc.	4.125%	2/15/24		7,551			8,086
	American International Group Inc.	3.750%	7/10/25		4,140			4,428
	American International Group Inc.	3.900%	4/1/26		10,340			11,064
	American International Group Inc.	4.200%	4/1/28		10,672			11,697
	American International Group Inc.	4.250%	3/15/29		3,625			4,027
	American International Group Inc.	3.875%	1/15/35		11,398			12,099
	American International Group Inc.	4.700%	7/10/35		6,305			7,279
	American International Group Inc.	6.250%	5/1/36		12,713			16,976
	American International Group Inc.	4.500%	7/16/44		31,138			35,685
	American International Group Inc.	4.800%	7/10/45		10,980			13,143
	American International Group Inc.	4.750%	4/1/48		10,850			12,979
4	American International Group Inc.	5.750%	4/1/48		8,472			9,174

46

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	American International Group Inc.	4.375%	1/15/55		11,430			12,488
4	American International Group Inc.	8.175%	5/15/68		4,725			6,420
	Anthem Inc.	3.700%	8/15/21		6,874			7,027
	Anthem Inc.	3.125%	5/15/22		12,040			12,339
	Anthem Inc.	2.950%	12/1/22		8,625			8,835
	Anthem Inc.	3.300%	1/15/23		13,347			13,804
	Anthem Inc.	3.500%	8/15/24		9,894			10,361
	Anthem Inc.	3.350%	12/1/24		19,009			19,834
	Anthem Inc.	2.375%	1/15/25		6,990			6,986
	Anthem Inc.	3.650%	12/1/27		23,345			24,619
	Anthem Inc.	4.101%	3/1/28		30,526			33,073
	Anthem Inc.	2.875%	9/15/29		2,000			1,988
	Anthem Inc.	5.950%	12/15/34		401			514
	Anthem Inc.	5.850%	1/15/36		3,708			4,522
	Anthem Inc.	6.375%	6/15/37		4,250			5,503
	Anthem Inc.	4.625%	5/15/42		15,912			17,847
	Anthem Inc.	4.650%	1/15/43		10,121			11,394
	Anthem Inc.	5.100%	1/15/44		13,835			16,357
	Anthem Inc.	4.650%	8/15/44		8,365			9,292
	Anthem Inc.	4.375%	12/1/47		15,726			17,241
	Anthem Inc.	4.550%	3/1/48		2,795			3,133
	Anthem Inc.	3.700%	9/15/49		7,490			7,406
	Anthem Inc.	4.850%	8/15/54		4,325			4,682
	Aon Corp.	8.205%	1/1/27		619			786
	Aon Corp.	4.500%	12/15/28		8,250			9,246
	Aon Corp.	3.750%	5/2/29		6,365			6,800
	Aon Corp.	6.250%	9/30/40		4,680			6,393
	Aon plc	2.800%	3/15/21		14,115			14,243
	Aon plc	4.000%	11/27/23		625			663
	Aon plc	3.500%	6/14/24		9,065			9,463
	Aon plc	3.875%	12/15/25		13,775			14,775
	Aon plc	4.600%	6/14/44		9,042			10,262
	Aon plc	4.750%	5/15/45		1,802			2,106
	Arch Capital Finance LLC	4.011%	12/15/26		10,220			11,255
	Arch Capital Finance LLC	5.031%	12/15/46		7,707			9,622
	Arch Capital Group Ltd.	7.350%	5/1/34		4,510			6,372
	Arch Capital Group US Inc.	5.144%	11/1/43		940			1,142
	Aspen Insurance Holdings Ltd.	4.650%	11/15/23		10,990			11,766
	Assurant Inc.	4.000%	3/15/23		8,175			8,525
	Assurant Inc.	4.200%	9/27/23		2,120			2,219
	Assurant Inc.	4.900%	3/27/28		6,400			7,025
	Assurant Inc.	3.700%	2/22/30		4,800			4,860
	Assurant Inc.	6.750%	2/15/34		1,103			1,317
	Assured Guaranty US Holdings Inc.	5.000%	7/1/24		5,548			6,169
	Athene Holding Ltd.	4.125%	1/12/28		11,850			12,239
	AXA Equitable Holdings Inc.	3.900%	4/20/23		3,985			4,173
	AXA Equitable Holdings Inc.	7.000%	4/1/28		4,150			5,036
	AXA Equitable Holdings Inc.	4.350%	4/20/28		50,851			55,163
	AXA Equitable Holdings Inc.	5.000%	4/20/48		22,085			23,598
	AXA SA	8.600%	12/15/30		13,416			19,604
	AXIS Specialty Finance LLC	3.900%	7/15/29		3,000			3,144
4	AXIS Specialty Finance LLC	4.900%	1/15/40		3,210			3,258
	AXIS Specialty Finance plc	4.000%	12/6/27		15,014			15,839
	Berkshire Hathaway Finance Corp.	4.250%	1/15/21		3,732			3,822
	Berkshire Hathaway Finance Corp.	3.000%	5/15/22		22,225			22,841
	Berkshire Hathaway Finance Corp.	5.750%	1/15/40		4,540			6,231
	Berkshire Hathaway Finance Corp.	4.400%	5/15/42		10,665			12,595
	Berkshire Hathaway Finance Corp.	4.300%	5/15/43		10,250			11,730
	Berkshire Hathaway Finance Corp.	4.200%	8/15/48		35,460			41,509
	Berkshire Hathaway Finance Corp.	4.250%	1/15/49		34,600			40,873
	Berkshire Hathaway Inc.	2.200%	3/15/21		6,186			6,215
	Berkshire Hathaway Inc.	3.750%	8/15/21		3,452			3,558
	Berkshire Hathaway Inc.	3.400%	1/31/22		2,555			2,645
	Berkshire Hathaway Inc.	3.000%	2/11/23		2,306			2,386

47

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Berkshire Hathaway Inc.	2.750%	3/15/23		11,414			11,720
	Berkshire Hathaway Inc.	3.125%	3/15/26		39,001			41,143
	Berkshire Hathaway Inc.	4.500%	2/11/43		11,479			13,953
	Brighthouse Financial Inc.	3.700%	6/22/27		15,435			15,343
	Brighthouse Financial Inc.	4.700%	6/22/47		11,100			10,275
	Brown & Brown Inc.	4.200%	9/15/24		5,390			5,694
	Brown & Brown Inc.	4.500%	3/15/29		3,800			4,146
	Chubb Corp.	6.000%	5/11/37		5,045			6,920
	Chubb Corp.	6.500%	5/15/38		2,141			3,131
	Chubb INA Holdings Inc.	2.875%	11/3/22		21,373			21,919
	Chubb INA Holdings Inc.	2.700%	3/13/23		12,433			12,709
	Chubb INA Holdings Inc.	3.350%	5/15/24		5,499			5,779
	Chubb INA Holdings Inc.	3.150%	3/15/25		9,106			9,561
	Chubb INA Holdings Inc.	3.350%	5/3/26		18,560			19,701
	Chubb INA Holdings Inc.	6.700%	5/15/36		1,155			1,657
	Chubb INA Holdings Inc.	4.150%	3/13/43		4,908			5,695
	Chubb INA Holdings Inc.	4.350%	11/3/45		20,960			25,170
	Cigna Holding Co.	4.375%	12/15/20		8,571			8,711
	Cincinnati Financial Corp.	6.920%	5/15/28		4,256			5,495
	Cincinnati Financial Corp.	6.125%	11/1/34		2,070			2,745
	CNA Financial Corp.	5.750%	8/15/21		4,168			4,404
	CNA Financial Corp.	3.950%	5/15/24		4,990			5,327
	CNA Financial Corp.	4.500%	3/1/26		2,070			2,269
	CNA Financial Corp.	3.450%	8/15/27		6,685			6,963
	CNA Financial Corp.	3.900%	5/1/29		11,260			12,103
	CNO Financial Group Inc.	5.250%	5/30/29		3,010			3,364
	Enstar Group Ltd.	4.500%	3/10/22		2,382			2,462
	Enstar Group Ltd.	4.950%	6/1/29		9,800			10,491
	Everest Reinsurance Holdings Inc.	4.868%	6/1/44		4,500			4,984
	Fairfax Financial Holdings Ltd.	4.850%	4/17/28		5,575			6,069
	Fidelity National Financial Inc.	5.500%	9/1/22		4,300			4,620
	First American Financial Corp.	4.600%	11/15/24		5,110			5,424
	Globe Life Inc.	3.800%	9/15/22		110			113
	Globe Life Inc.	4.550%	9/15/28		4,947			5,486
	Hanover Insurance Group Inc.	4.500%	4/15/26		5,000			5,394
	Hartford Financial Services Group Inc.	2.800%	8/19/29		5,520			5,584
	Hartford Financial Services Group Inc.	5.950%	10/15/36		3,745			4,873
	Hartford Financial Services Group Inc.	6.100%	10/1/41		5,601			7,650
	Hartford Financial Services Group Inc.	4.300%	4/15/43		6,715			7,469
	Hartford Financial Services Group Inc.	3.600%	8/19/49		12,305			12,633
	Humana Inc.	3.150%	12/1/22		6,360			6,522
	Humana Inc.	2.900%	12/15/22		7,470			7,612
	Humana Inc.	3.850%	10/1/24		10,427			11,072
	Humana Inc.	3.950%	3/15/27		9,035			9,687
	Humana Inc.	4.625%	12/1/42		7,178			7,818
	Humana Inc.	4.950%	10/1/44		8,053			9,517
	Humana Inc.	4.800%	3/15/47		4,890			5,674
	Humana Inc.	3.950%	8/15/49		900			945
	Kemper Corp.	4.350%	2/15/25		1,950			2,071
	Lincoln National Corp.	4.200%	3/15/22		6,315			6,582
	Lincoln National Corp.	4.000%	9/1/23		6,905			7,314
	Lincoln National Corp.	3.350%	3/9/25		3,297			3,428
	Lincoln National Corp.	3.625%	12/12/26		6,555			6,910
	Lincoln National Corp.	3.800%	3/1/28		11,025			11,720
	Lincoln National Corp.	3.050%	1/15/30		6,613			6,569
	Lincoln National Corp.	6.300%	10/9/37		4,563			5,930
	Lincoln National Corp.	7.000%	6/15/40		6,080			8,627
	Lincoln National Corp.	4.350%	3/1/48		746			820
	Loews Corp.	2.625%	5/15/23		11,705			11,929
	Loews Corp.	3.750%	4/1/26		110			118
	Loews Corp.	6.000%	2/1/35		2,143			2,761
	Loews Corp.	4.125%	5/15/43		7,262			7,974
	Manulife Financial Corp.	4.150%	3/4/26		8,716			9,518
4	Manulife Financial Corp.	4.061%	2/24/32		10,262			10,537

48

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Manulife Financial Corp.	5.375%	3/4/46		8,867			11,642
	Markel Corp.	4.900%	7/1/22		1,000			1,065
	Markel Corp.	3.500%	11/1/27		4,945			5,053
	Markel Corp.	3.350%	9/17/29		3,500			3,571
	Markel Corp.	5.000%	4/5/46		5,653			6,408
	Markel Corp.	4.300%	11/1/47		4,000			4,171
	Markel Corp.	5.000%	5/20/49		3,185			3,681
	Markel Corp.	4.150%	9/17/50		6,345			6,527
	Marsh & McLennan Cos. Inc.	4.800%	7/15/21		2,849			2,954
	Marsh & McLennan Cos. Inc.	2.750%	1/30/22		7,390			7,507
	Marsh & McLennan Cos. Inc.	4.050%	10/15/23		6,068			6,424
	Marsh & McLennan Cos. Inc.	3.875%	3/15/24		23,800			25,319
	Marsh & McLennan Cos. Inc.	3.500%	6/3/24		4,697			4,924
	Marsh & McLennan Cos. Inc.	3.500%	3/10/25		11,818			12,430
	Marsh & McLennan Cos. Inc.	3.750%	3/14/26		6,580			7,051
	Marsh & McLennan Cos. Inc.	4.375%	3/15/29		11,920			13,577
	Marsh & McLennan Cos. Inc.	5.875%	8/1/33		2,789			3,571
	Marsh & McLennan Cos. Inc.	4.750%	3/15/39		3,705			4,492
	Marsh & McLennan Cos. Inc.	4.350%	1/30/47		5,551			6,281
	Marsh & McLennan Cos. Inc.	4.200%	3/1/48		4,905			5,528
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49		12,755			16,132
	Mercury General Corp.	4.400%	3/15/27		4,185			4,401
	MetLife Inc.	3.048%	12/15/22		6,500			6,726
	MetLife Inc.	4.368%	9/15/23		8,864			9,588
	MetLife Inc.	3.600%	4/10/24		14,220			15,146
	MetLife Inc.	3.000%	3/1/25		14,675			15,272
	MetLife Inc.	3.600%	11/13/25		7,900			8,471
	MetLife Inc.	6.500%	12/15/32		2,905			4,018
	MetLife Inc.	6.375%	6/15/34		3,323			4,740
	MetLife Inc.	5.700%	6/15/35		5,393			7,234
	MetLife Inc.	5.875%	2/6/41		20,083			27,185
	MetLife Inc.	4.125%	8/13/42		12,534			14,195
	MetLife Inc.	4.875%	11/13/43		5,832			7,216
	MetLife Inc.	4.721%	12/15/44		6,405			7,764
	MetLife Inc.	4.050%	3/1/45		9,171			10,531
	MetLife Inc.	4.600%	5/13/46		3,620			4,426
4	MetLife Inc.	6.400%	12/15/66		19,610			23,900
4	MetLife Inc.	10.750%	8/1/69		685			1,113
	Munich Re America Corp.	7.450%	12/15/26		2,350			2,971
4	Nationwide Financial Services Inc.	6.750%	5/15/87		396			459
	Old Republic International Corp.	4.875%	10/1/24		6,830			7,472
	Old Republic International Corp.	3.875%	8/26/26		5,893			6,237
	PartnerRe Finance B LLC	3.700%	7/2/29		7,500			7,790
	Primerica Inc.	4.750%	7/15/22		2,000			2,109
	Principal Financial Group Inc.	3.300%	9/15/22		2,875			2,961
	Principal Financial Group Inc.	3.125%	5/15/23		3,661			3,759
	Principal Financial Group Inc.	3.400%	5/15/25		6,553			6,858
	Principal Financial Group Inc.	3.100%	11/15/26		5,502			5,693
	Principal Financial Group Inc.	4.625%	9/15/42		2,033			2,316
	Principal Financial Group Inc.	4.350%	5/15/43		3,043			3,434
	Principal Financial Group Inc.	4.300%	11/15/46		5,540			6,253
	Progressive Corp.	3.750%	8/23/21		10,283			10,592
	Progressive Corp.	2.450%	1/15/27		5,360			5,390
	Progressive Corp.	4.000%	3/1/29		7,805			8,724
	Progressive Corp.	6.625%	3/1/29		4,820			6,258
	Progressive Corp.	6.250%	12/1/32		325			444
	Progressive Corp.	4.350%	4/25/44		3,660			4,286
	Progressive Corp.	4.125%	4/15/47		19,035			22,199
	Progressive Corp.	4.200%	3/15/48		4,750			5,447
	Prudential Financial Inc.	4.500%	11/16/21		5,020			5,279
	Prudential Financial Inc.	3.500%	5/15/24		10,182			10,822
	Prudential Financial Inc.	3.878%	3/27/28		2,500			2,735
	Prudential Financial Inc.	5.750%	7/15/33		620			790
	Prudential Financial Inc.	5.700%	12/14/36		12,463			16,929

49

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Prudential Financial Inc.	6.625%	12/1/37		4,352			6,009
	Prudential Financial Inc.	6.625%	6/21/40		4,325			6,082
	Prudential Financial Inc.	6.200%	11/15/40		3,325			4,440
4	Prudential Financial Inc.	5.875%	9/15/42		12,320			13,259
4	Prudential Financial Inc.	5.625%	6/15/43		11,514			12,378
	Prudential Financial Inc.	5.100%	8/15/43		3,450			4,078
4	Prudential Financial Inc.	5.200%	3/15/44		2,945			3,133
	Prudential Financial Inc.	4.600%	5/15/44		5,440			6,414
4	Prudential Financial Inc.	5.375%	5/15/45		14,430			15,347
4	Prudential Financial Inc.	4.500%	9/15/47		7,747			8,004
	Prudential Financial Inc.	3.905%	12/7/47		13,698			14,622
4	Prudential Financial Inc.	5.700%	9/15/48		14,001			15,918
	Prudential Financial Inc.	3.935%	12/7/49		9,828			10,709
	Prudential Financial Inc.	4.350%	2/25/50		14,400			16,571
	Prudential Financial Inc.	3.700%	3/13/51		17,291			18,109
	Reinsurance Group of America Inc.	5.000%	6/1/21		1,290			1,339
	Reinsurance Group of America Inc.	4.700%	9/15/23		3,475			3,769
	Reinsurance Group of America Inc.	3.950%	9/15/26		4,589			4,864
	Reinsurance Group of America Inc.	3.900%	5/15/29		4,060			4,327
	RenaissanceRe Finance Inc.	3.700%	4/1/25		3,300			3,431
	RenaissanceRe Finance Inc.	3.450%	7/1/27		4,200			4,344
	RenaissanceRe Holdings Ltd.	3.600%	4/15/29		1,700			1,783
	Selective Insurance Group Inc.	5.375%	3/1/49		2,900			3,414
	Sompo International Holdings Ltd.	4.700%	10/15/22		3,250			3,449
	Swiss Re Solutions Holding Corp.	7.000%	2/15/26		1,309			1,631
	Transatlantic Holdings Inc.	8.000%	11/30/39		4,488			6,582
	Travelers Cos. Inc.	6.750%	6/20/36		85			123
	Travelers Cos. Inc.	6.250%	6/15/37		7,452			10,300
	Travelers Cos. Inc.	5.350%	11/1/40		3,300			4,286
	Travelers Cos. Inc.	4.600%	8/1/43		15,160			18,348
	Travelers Cos. Inc.	3.750%	5/15/46		5,320			5,727
	Travelers Cos. Inc.	4.000%	5/30/47		10,110			11,337
	Travelers Cos. Inc.	4.100%	3/4/49		5,100			5,905
	Travelers Property Casualty Corp.	6.375%	3/15/33		715			988
	Trinity Acquisition plc	4.400%	3/15/26		6,125			6,625
	UnitedHealth Group Inc.	4.700%	2/15/21		4,925			5,042
	UnitedHealth Group Inc.	2.125%	3/15/21		7,555			7,566
	UnitedHealth Group Inc.	3.150%	6/15/21		6,100			6,206
	UnitedHealth Group Inc.	3.375%	11/15/21		2,550			2,610
	UnitedHealth Group Inc.	2.875%	12/15/21		11,731			11,958
	UnitedHealth Group Inc.	2.875%	3/15/22		4,046			4,122
	UnitedHealth Group Inc.	3.350%	7/15/22		19,483			20,125
	UnitedHealth Group Inc.	2.375%	10/15/22		8,400			8,496
	UnitedHealth Group Inc.	2.750%	2/15/23		10,080			10,267
	UnitedHealth Group Inc.	2.875%	3/15/23		3,736			3,822
	UnitedHealth Group Inc.	3.500%	6/15/23		8,250			8,633
	UnitedHealth Group Inc.	3.500%	2/15/24		5,805			6,112
	UnitedHealth Group Inc.	2.375%	8/15/24		4,500			4,559
	UnitedHealth Group Inc.	3.750%	7/15/25		12,119			13,083
	UnitedHealth Group Inc.	3.700%	12/15/25		2,550			2,750
	UnitedHealth Group Inc.	3.100%	3/15/26		9,205			9,601
	UnitedHealth Group Inc.	3.450%	1/15/27		4,871			5,221
	UnitedHealth Group Inc.	3.375%	4/15/27		27,310			29,013
	UnitedHealth Group Inc.	2.950%	10/15/27		11,838			12,232
	UnitedHealth Group Inc.	3.850%	6/15/28		9,350			10,239
	UnitedHealth Group Inc.	3.875%	12/15/28		7,225			7,968
	UnitedHealth Group Inc.	2.875%	8/15/29		13,672			13,985
	UnitedHealth Group Inc.	4.625%	7/15/35		11,501			13,908
	UnitedHealth Group Inc.	5.800%	3/15/36		4,769			6,319
	UnitedHealth Group Inc.	6.500%	6/15/37		1,805			2,561
	UnitedHealth Group Inc.	6.625%	11/15/37		9,625			13,710
	UnitedHealth Group Inc.	6.875%	2/15/38		19,121			28,352
	UnitedHealth Group Inc.	3.500%	8/15/39		21,000			21,949
	UnitedHealth Group Inc.	5.700%	10/15/40		675			896

50

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	UnitedHealth Group Inc.	5.950%	2/15/41		5,380			7,305
	UnitedHealth Group Inc.	4.625%	11/15/41		9,916			11,760
	UnitedHealth Group Inc.	4.375%	3/15/42		491			565
	UnitedHealth Group Inc.	3.950%	10/15/42		16,001			17,421
	UnitedHealth Group Inc.	4.250%	3/15/43		6,781			7,708
	UnitedHealth Group Inc.	4.750%	7/15/45		17,312			21,141
	UnitedHealth Group Inc.	4.200%	1/15/47		9,654			11,062
	UnitedHealth Group Inc.	4.250%	4/15/47		14,720			16,943
	UnitedHealth Group Inc.	3.750%	10/15/47		8,910			9,497
	UnitedHealth Group Inc.	4.250%	6/15/48		15,800			18,329
	UnitedHealth Group Inc.	4.450%	12/15/48		6,000			7,134
	UnitedHealth Group Inc.	3.700%	8/15/49		15,285			16,269
	UnitedHealth Group Inc.	3.875%	8/15/59		11,610			12,461
	Unum Group	4.000%	3/15/24		3,145			3,320
	Unum Group	3.875%	11/5/25		175			183
	Unum Group	4.000%	6/15/29		3,000			3,163
	Unum Group	5.750%	8/15/42		4,573			5,041
	Unum Group	4.500%	12/15/49		7,050			6,872
	Voya Financial Inc.	3.125%	7/15/24		7,235			7,431
	Voya Financial Inc.	3.650%	6/15/26		2,440			2,571
	Voya Financial Inc.	5.700%	7/15/43		9,730			12,323
	Voya Financial Inc.	4.800%	6/15/46		2,285			2,607
4	Voya Financial Inc.	4.700%	1/23/48		2,307			2,294
	Willis North America Inc.	3.600%	5/15/24		7,100			7,411
	Willis North America Inc.	4.500%	9/15/28		6,650			7,294
	Willis North America Inc.	2.950%	9/15/29		8,125			8,064
	Willis North America Inc.	5.050%	9/15/48		3,350			3,915
	Willis North America Inc.	3.875%	9/15/49		18,520			18,461
	Willis Towers Watson plc	5.750%	3/15/21		9,351			9,736
	WR Berkley Corp.	4.625%	3/15/22		3,700			3,899
	WR Berkley Corp.	4.750%	8/1/44		4,088			4,566
	XLIT Ltd.	4.450%	3/31/25		2,650			2,868
	XLIT Ltd.	5.250%	12/15/43		7,000			8,937
	XLIT Ltd.	5.500%	3/31/45		5,529			6,972
	Other Finance (0.0%)
	Jones Lang LaSalle Inc.	4.400%	11/15/22		2,050			2,136
	ORIX Corp.	2.900%	7/18/22		2,850			2,897
	ORIX Corp.	3.250%	12/4/24		3,725			3,865
	ORIX Corp.	3.700%	7/18/27		9,650			10,190
	Real Estate Investment Trusts (0.7%)
	Alexandria Real Estate Equities Inc.	3.900%	6/15/23		969			1,017
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24		5,240			5,572
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25		9,535			9,995
	Alexandria Real Estate Equities Inc.	4.300%	1/15/26		500			548
	Alexandria Real Estate Equities Inc.	3.800%	4/15/26		10,304			11,013
	Alexandria Real Estate Equities Inc.	3.950%	1/15/27		4,077			4,358
	Alexandria Real Estate Equities Inc.	3.950%	1/15/28		5,175			5,556
	Alexandria Real Estate Equities Inc.	4.500%	7/30/29		3,530			3,984
	Alexandria Real Estate Equities Inc.	2.750%	12/15/29		5,475			5,394
	Alexandria Real Estate Equities Inc.	4.700%	7/1/30		6,325			7,257
	Alexandria Real Estate Equities Inc.	3.375%	8/15/31		9,400			9,782
	Alexandria Real Estate Equities Inc.	4.850%	4/15/49		3,420			4,148
	Alexandria Real Estate Equities Inc.	4.000%	2/1/50		6,950			7,614
	American Campus Communities Operating Partnership LP	3.750%	4/15/23		1,530			1,593
	American Campus Communities Operating Partnership LP	4.125%	7/1/24		4,683			4,991
	American Campus Communities Operating Partnership LP	3.300%	7/15/26		4,550			4,702
	American Campus Communities Operating Partnership LP	3.625%	11/15/27		4,375			4,550
	American Homes 4 Rent LP	4.250%	2/15/28		1,745			1,851
	American Homes 4 Rent LP	4.900%	2/15/29		4,730			5,299

51

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
AvalonBay Communities Inc.	2.850%	3/15/23		6,264			6,396
AvalonBay Communities Inc.	4.200%	12/15/23		1,355			1,455
AvalonBay Communities Inc.	3.500%	11/15/24		3,325			3,502
AvalonBay Communities Inc.	3.450%	6/1/25		6,395			6,742
AvalonBay Communities Inc.	3.500%	11/15/25		2,650			2,811
AvalonBay Communities Inc.	2.950%	5/11/26		10,420			10,694
AvalonBay Communities Inc.	2.900%	10/15/26		1,625			1,665
AvalonBay Communities Inc.	3.350%	5/15/27		7,441			7,834
AvalonBay Communities Inc.	3.200%	1/15/28		6,290			6,558
AvalonBay Communities Inc.	3.300%	6/1/29		2,970			3,135
AvalonBay Communities Inc.	4.150%	7/1/47		150			169
AvalonBay Communities Inc.	4.350%	4/15/48		3,475			4,086
Boston Properties LP	4.125%	5/15/21		4,395			4,497
Boston Properties LP	3.850%	2/1/23		7,848			8,218
Boston Properties LP	3.125%	9/1/23		4,540			4,676
Boston Properties LP	3.800%	2/1/24		4,525			4,778
Boston Properties LP	3.200%	1/15/25		7,325			7,588
Boston Properties LP	3.650%	2/1/26		6,275			6,640
Boston Properties LP	2.750%	10/1/26		7,574			7,640
Boston Properties LP	3.400%	6/21/29		3,500			3,645
Boston Properties LP	2.900%	3/15/30		6,085			6,057
Brandywine Operating Partnership LP	3.950%	2/15/23		5,430			5,639
Brandywine Operating Partnership LP	3.950%	11/15/27		23,150			24,251
Brixmor Operating Partnership LP	3.875%	8/15/22		6,285			6,543
Brixmor Operating Partnership LP	3.250%	9/15/23		4,425			4,557
Brixmor Operating Partnership LP	3.650%	6/15/24		2,225			2,314
Brixmor Operating Partnership LP	3.850%	2/1/25		15,660			16,415
Brixmor Operating Partnership LP	4.125%	6/15/26		5,765			6,119
Brixmor Operating Partnership LP	3.900%	3/15/27		2,675			2,793
Brixmor Operating Partnership LP	4.125%	5/15/29		6,753			7,232
Camden Property Trust	2.950%	12/15/22		4,900			4,995
Camden Property Trust	4.100%	10/15/28		4,400			4,887
Camden Property Trust	3.150%	7/1/29		6,450			6,711
Camden Property Trust	3.350%	11/1/49		2,025			2,026
Columbia Property Trust Operating Partnership LP	4.150%	4/1/25		3,125			3,276
Columbia Property Trust Operating Partnership LP	3.650%	8/15/26		13,175			13,423
Corporate Office Properties LP	3.700%	6/15/21		3,725			3,767
Corporate Office Properties LP	3.600%	5/15/23		7,931			8,137
CubeSmart LP	4.375%	12/15/23		7,400			7,869
CubeSmart LP	4.000%	11/15/25		2,265			2,406
CubeSmart LP	3.125%	9/1/26		2,575			2,614
CubeSmart LP	4.375%	2/15/29		2,750			3,011
CubeSmart LP	3.000%	2/15/30		4,400			4,347
CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24		6,000			6,024
CyrusOne LP / CyrusOne Finance Corp.	3.450%	11/15/29		11,500			11,506
Digital Realty Trust LP	3.950%	7/1/22		12,000			12,493
Digital Realty Trust LP	3.625%	10/1/22		415			429
Digital Realty Trust LP	2.750%	2/1/23		2,750			2,777
Digital Realty Trust LP	4.750%	10/1/25		5,625			6,241
Digital Realty Trust LP	3.700%	8/15/27		8,635			9,077
Digital Realty Trust LP	4.450%	7/15/28		12,250			13,537
Digital Realty Trust LP	3.600%	7/1/29		21,850			22,807
Duke Realty LP	4.375%	6/15/22		255			267
Duke Realty LP	3.875%	10/15/22		1,223			1,273
Duke Realty LP	3.625%	4/15/23		748			777
Duke Realty LP	3.750%	12/1/24		3,405			3,603
Duke Realty LP	3.250%	6/30/26		6,184			6,378
Duke Realty LP	3.375%	12/15/27		5,964			6,236
Duke Realty LP	4.000%	9/15/28		2,500			2,697
Duke Realty LP	2.875%	11/15/29		1,390			1,387
EPR Properties	5.250%	7/15/23		1,575			1,689
EPR Properties	4.500%	4/1/25		7,025			7,443
EPR Properties	4.750%	12/15/26		4,000			4,328
EPR Properties	4.500%	6/1/27		150			161

52

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
EPR Properties	4.950%	4/15/28		8,600			9,358
EPR Properties	3.750%	8/15/29		8,000			8,064
ERP Operating LP	4.625%	12/15/21		6,936			7,239
ERP Operating LP	3.000%	4/15/23		2,603			2,677
ERP Operating LP	3.375%	6/1/25		1,120			1,177
ERP Operating LP	2.850%	11/1/26		5,575			5,693
ERP Operating LP	3.250%	8/1/27		3,450			3,613
ERP Operating LP	3.500%	3/1/28		12,306			13,096
ERP Operating LP	4.150%	12/1/28		2,380			2,664
ERP Operating LP	3.000%	7/1/29		5,350			5,518
ERP Operating LP	2.500%	2/15/30		7,000			6,927
ERP Operating LP	4.500%	7/1/44		7,595			8,950
ERP Operating LP	4.500%	6/1/45		1,375			1,626
ERP Operating LP	4.000%	8/1/47		4,001			4,414
Essex Portfolio LP	5.200%	3/15/21		5,525			5,689
Essex Portfolio LP	3.250%	5/1/23		3,505			3,601
Essex Portfolio LP	3.500%	4/1/25		10,937			11,480
Essex Portfolio LP	3.375%	4/15/26		6,450			6,700
Essex Portfolio LP	4.000%	3/1/29		5,470			5,966
Essex Portfolio LP	3.000%	1/15/30		8,635			8,730
Essex Portfolio LP	4.500%	3/15/48		7,090			8,079
Federal Realty Investment Trust	2.750%	6/1/23		5,237			5,320
Federal Realty Investment Trust	3.250%	7/15/27		9,100			9,441
Federal Realty Investment Trust	3.200%	6/15/29		6,035			6,220
Federal Realty Investment Trust	4.500%	12/1/44		13,140			15,030
Healthcare Realty Trust Inc.	3.625%	1/15/28		4,067			4,203
Healthcare Trust of America Holdings LP	3.700%	4/15/23		1,500			1,550
Healthcare Trust of America Holdings LP	3.500%	8/1/26		8,150			8,499
Healthcare Trust of America Holdings LP	3.750%	7/1/27		5,500			5,794
Healthcare Trust of America Holdings LP	3.100%	2/15/30		3,775			3,745
Healthpeak Properties Inc.	3.150%	8/1/22		6,915			7,037
Healthpeak Properties Inc.	4.250%	11/15/23		7,213			7,696
Healthpeak Properties Inc.	4.200%	3/1/24		3,950			4,213
Healthpeak Properties Inc.	3.875%	8/15/24		5,276			5,605
Healthpeak Properties Inc.	3.400%	2/1/25		2,980			3,098
Healthpeak Properties Inc.	4.000%	6/1/25		1,093			1,173
Healthpeak Properties Inc.	3.250%	7/15/26		3,366			3,482
Healthpeak Properties Inc.	3.500%	7/15/29		10,098			10,506
Healthpeak Properties Inc.	3.000%	1/15/30		11,850			11,834
Healthpeak Properties Inc.	6.750%	2/1/41		1,320			1,831
Highwoods Realty LP	3.200%	6/15/21		13,850			14,021
Highwoods Realty LP	3.625%	1/15/23		100			103
Highwoods Realty LP	3.875%	3/1/27		6,629			6,913
Highwoods Realty LP	4.125%	3/15/28		2,943			3,108
Highwoods Realty LP	4.200%	4/15/29		4,181			4,494
Host Hotels & Resorts LP	4.750%	3/1/23		1,427			1,521
Host Hotels & Resorts LP	3.750%	10/15/23		6,350			6,613
Host Hotels & Resorts LP	3.875%	4/1/24		4,850			5,114
Host Hotels & Resorts LP	4.000%	6/15/25		1,450			1,549
Host Hotels & Resorts LP	3.375%	12/15/29		6,915			6,970
Hudson Pacific Properties LP	3.950%	11/1/27		3,400			3,563
Hudson Pacific Properties LP	4.650%	4/1/29		2,360			2,590
Hudson Pacific Properties LP	3.250%	1/15/30		3,560			3,514
Kilroy Realty LP	3.800%	1/15/23		3,450			3,583
Kilroy Realty LP	3.450%	12/15/24		5,915			6,143
Kilroy Realty LP	4.375%	10/1/25		5,025			5,449
Kilroy Realty LP	4.750%	12/15/28		6,500			7,328
Kilroy Realty LP	4.250%	8/15/29		1,208			1,312
Kilroy Realty LP	3.050%	2/15/30		20,590			20,323
Kimco Realty Corp.	3.200%	5/1/21		3,790			3,842
Kimco Realty Corp.	3.400%	11/1/22		4,334			4,473
Kimco Realty Corp.	3.125%	6/1/23		3,300			3,373
Kimco Realty Corp.	2.700%	3/1/24		150			151
Kimco Realty Corp.	3.300%	2/1/25		2,160			2,245

53

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Kimco Realty Corp.	2.800%	10/1/26		4,565			4,554
Kimco Realty Corp.	3.800%	4/1/27		5,100			5,393
Kimco Realty Corp.	4.125%	12/1/46		635			660
Kimco Realty Corp.	4.450%	9/1/47		5,120			5,586
Kimco Realty Corp.	3.700%	10/1/49		350			341
Kite Realty Group LP	4.000%	10/1/26		10,700			10,594
Liberty Property LP	3.375%	6/15/23		1,250			1,298
Liberty Property LP	4.400%	2/15/24		10,780			11,639
Liberty Property LP	3.750%	4/1/25		6,400			6,837
Liberty Property LP	3.250%	10/1/26		1,875			1,955
Liberty Property LP	4.375%	2/1/29		900			1,015
Life Storage LP	3.500%	7/1/26		18,900			19,399
Life Storage LP	3.875%	12/15/27		1,000			1,050
Life Storage LP	4.000%	6/15/29		2,000			2,130
Mid-America Apartments LP	4.300%	10/15/23		8,424			8,979
Mid-America Apartments LP	3.750%	6/15/24		4,505			4,750
Mid-America Apartments LP	3.600%	6/1/27		8,500			9,023
Mid-America Apartments LP	3.950%	3/15/29		330			359
Mid-America Apartments LP	2.750%	3/15/30		12,505			12,409
National Retail Properties Inc.	3.800%	10/15/22		3,400			3,531
National Retail Properties Inc.	3.300%	4/15/23		2,999			3,080
National Retail Properties Inc.	3.900%	6/15/24		3,875			4,091
National Retail Properties Inc.	3.600%	12/15/26		2,425			2,547
National Retail Properties Inc.	3.500%	10/15/27		13,000			13,568
National Retail Properties Inc.	4.300%	10/15/28		2,950			3,251
National Retail Properties Inc.	4.800%	10/15/48		2,550			3,067
Office Properties Income Trust	4.000%	7/15/22		5,000			5,113
Omega Healthcare Investors Inc.	4.375%	8/1/23		22,415			23,812
Omega Healthcare Investors Inc.	4.950%	4/1/24		4,300			4,703
Omega Healthcare Investors Inc.	4.500%	1/15/25		3,400			3,632
Omega Healthcare Investors Inc.	5.250%	1/15/26		8,654			9,631
Omega Healthcare Investors Inc.	4.500%	4/1/27		17,350			18,728
Omega Healthcare Investors Inc.	4.750%	1/15/28		5,825			6,336
Omega Healthcare Investors Inc.	3.625%	10/1/29		6,963			6,991
Physicians Realty LP	4.300%	3/15/27		5,885			6,217
Physicians Realty LP	3.950%	1/15/28		5,750			5,950
Piedmont Operating Partnership LP	3.400%	6/1/23		4,507			4,607
Piedmont Operating Partnership LP	4.450%	3/15/24		7,025			7,461
Prologis LP	4.250%	8/15/23		5,660			6,046
Prologis LP	3.875%	9/15/28		3,925			4,306
Prologis LP	4.375%	9/15/48		4,425			5,285
Public Storage	2.370%	9/15/22		5,398			5,452
Public Storage	3.094%	9/15/27		4,650			4,836
Public Storage	3.385%	5/1/29		7,700			8,143
Realty Income Corp.	3.250%	10/15/22		6,795			6,998
Realty Income Corp.	3.875%	7/15/24		3,800			4,045
Realty Income Corp.	3.875%	4/15/25		8,505			9,148
Realty Income Corp.	4.125%	10/15/26		15,293			16,703
Realty Income Corp.	3.000%	1/15/27		5,011			5,162
Realty Income Corp.	3.650%	1/15/28		6,578			7,047
Realty Income Corp.	3.250%	6/15/29		12,140			12,861
Realty Income Corp.	4.650%	3/15/47		11,400			13,719
Regency Centers Corp.	3.750%	11/15/22		1,850			1,919
Regency Centers LP	3.600%	2/1/27		3,950			4,128
Regency Centers LP	4.125%	3/15/28		3,450			3,736
Regency Centers LP	2.950%	9/15/29		8,940			8,925
Regency Centers LP	4.400%	2/1/47		5,750			6,468
Regency Centers LP	4.650%	3/15/49		4,310			5,094
Sabra Health Care LP	5.125%	8/15/26		1,138			1,231
Sabra Health Care LP	3.900%	10/15/29		9,280			9,268
Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24		1,300			1,383
Select Income REIT	4.150%	2/1/22		4,050			4,147
Select Income REIT	4.250%	5/15/24		375			389
Select Income REIT	4.500%	2/1/25		9,900			10,280

54

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Service Properties Trust	5.000%	8/15/22		2,430			2,540
Service Properties Trust	4.500%	6/15/23		5,422			5,612
Service Properties Trust	4.650%	3/15/24		3,441			3,572
Service Properties Trust	4.350%	10/1/24		12,000			12,307
Service Properties Trust	4.500%	3/15/25		753			771
Service Properties Trust	5.250%	2/15/26		2,740			2,882
Service Properties Trust	4.750%	10/1/26		3,500			3,589
Service Properties Trust	4.950%	2/15/27		3,625			3,732
Service Properties Trust	3.950%	1/15/28		4,900			4,785
Service Properties Trust	4.950%	10/1/29		12,085			12,150
Service Properties Trust	4.375%	2/15/30		13,565			13,303
Simon Property Group LP	2.500%	7/15/21		6,915			6,965
Simon Property Group LP	2.350%	1/30/22		6,450			6,497
Simon Property Group LP	2.625%	6/15/22		8,080			8,201
Simon Property Group LP	2.750%	2/1/23		6,790			6,923
Simon Property Group LP	2.750%	6/1/23		9,560			9,759
Simon Property Group LP	3.750%	2/1/24		6,214			6,584
Simon Property Group LP	2.000%	9/13/24		8,460			8,340
Simon Property Group LP	3.375%	10/1/24		1,301			1,366
Simon Property Group LP	3.500%	9/1/25		3,740			3,972
Simon Property Group LP	3.300%	1/15/26		10,324			10,802
Simon Property Group LP	3.250%	11/30/26		4,975			5,210
Simon Property Group LP	3.375%	6/15/27		14,363			15,163
Simon Property Group LP	3.375%	12/1/27		9,175			9,701
Simon Property Group LP	2.450%	9/13/29		13,510			13,255
Simon Property Group LP	6.750%	2/1/40		11,793			17,246
Simon Property Group LP	4.750%	3/15/42		2,221			2,655
Simon Property Group LP	4.250%	10/1/44		760			857
Simon Property Group LP	4.250%	11/30/46		6,250			7,111
Simon Property Group LP	3.250%	9/13/49		6,850			6,615
SITE Centers Corp.	4.625%	7/15/22		2,977			3,107
SITE Centers Corp.	3.900%	8/15/24		1,000			1,034
SITE Centers Corp.	3.625%	2/1/25		7,367			7,584
SITE Centers Corp.	4.250%	2/1/26		2,940			3,089
SITE Centers Corp.	4.700%	6/1/27		14,840			16,044
SL Green Operating Partnership LP	3.250%	10/15/22		4,400			4,498
SL Green Realty Corp.	4.500%	12/1/22		375			395
Spirit Realty LP	4.450%	9/15/26		220			236
Spirit Realty LP	3.200%	1/15/27		2,825			2,824
Spirit Realty LP	4.000%	7/15/29		3,400			3,551
Spirit Realty LP	3.400%	1/15/30		4,470			4,482
STORE Capital Corp.	4.500%	3/15/28		4,800			5,225
STORE Capital Corp.	4.625%	3/15/29		3,850			4,249
Tanger Properties LP	3.750%	12/1/24		1,325			1,355
Tanger Properties LP	3.125%	9/1/26		6,100			6,055
Tanger Properties LP	3.875%	7/15/27		3,300			3,370
UDR Inc.	2.950%	9/1/26		8,830			8,942
UDR Inc.	3.500%	7/1/27		3,150			3,296
UDR Inc.	3.500%	1/15/28		6,670			6,994
UDR Inc.	3.200%	1/15/30		2,500			2,550
UDR Inc.	3.000%	8/15/31		3,600			3,603
UDR Inc.	3.100%	11/1/34		4,505			4,495
Ventas Realty LP	3.100%	1/15/23		8,064			8,254
Ventas Realty LP	3.125%	6/15/23		7,655			7,834
Ventas Realty LP	3.500%	4/15/24		3,225			3,365
Ventas Realty LP	3.750%	5/1/24		2,300			2,415
Ventas Realty LP	2.650%	1/15/25		4,500			4,534
Ventas Realty LP	3.500%	2/1/25		3,225			3,365
Ventas Realty LP	4.125%	1/15/26		1,015			1,086
Ventas Realty LP	3.250%	10/15/26		1,050			1,072
Ventas Realty LP	3.850%	4/1/27		4,075			4,310
Ventas Realty LP	4.000%	3/1/28		13,705			14,650
Ventas Realty LP	4.400%	1/15/29		5,775			6,350
Ventas Realty LP	3.000%	1/15/30		5,350			5,300

55

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Ventas Realty LP	5.700%	9/30/43		3,600			4,504
	Ventas Realty LP	4.375%	2/1/45		6,030			6,477
	Ventas Realty LP	4.875%	4/15/49		2,375			2,786
	Ventas Realty LP / Ventas Capital Corp.	3.250%	8/15/22		10,703			10,957
	VEREIT Operating Partnership LP	4.600%	2/6/24		6,060			6,526
	VEREIT Operating Partnership LP	4.625%	11/1/25		5,000			5,458
	VEREIT Operating Partnership LP	4.875%	6/1/26		4,720			5,194
	VEREIT Operating Partnership LP	3.950%	8/15/27		19,578			20,537
	VEREIT Operating Partnership LP	3.100%	12/15/29		6,250			6,136
	Vornado Realty LP	3.500%	1/15/25		5,050			5,257
	Washington REIT	3.950%	10/15/22		2,200			2,274
	Weingarten Realty Investors	3.375%	10/15/22		1,275			1,303
	Weingarten Realty Investors	3.500%	4/15/23		5,250			5,387
	Weingarten Realty Investors	4.450%	1/15/24		1,175			1,244
	Weingarten Realty Investors	3.850%	6/1/25		600			624
	Welltower Inc.	3.750%	3/15/23		7,440			7,744
	Welltower Inc.	3.950%	9/1/23		5,925			6,250
	Welltower Inc.	4.500%	1/15/24		125			134
	Welltower Inc.	3.625%	3/15/24		8,400			8,795
	Welltower Inc.	4.000%	6/1/25		10,697			11,491
	Welltower Inc.	4.250%	4/1/26		7,224			7,836
	Welltower Inc.	2.700%	2/15/27		5,900			5,922
	Welltower Inc.	4.250%	4/15/28		2,075			2,271
	Welltower Inc.	4.125%	3/15/29		14,200			15,442
	Welltower Inc.	3.100%	1/15/30		10,105			10,216
	Welltower Inc.	6.500%	3/15/41		5,257			7,025
	Welltower Inc.	5.125%	3/15/43		1,260			1,438
	Welltower Inc.	4.950%	9/1/48		5,640			6,756
	WP Carey Inc.	4.600%	4/1/24		8,701			9,318
	WP Carey Inc.	4.000%	2/1/25		1,800			1,889
	WP Carey Inc.	4.250%	10/1/26		3,500			3,743
	WP Carey Inc.	3.850%	7/15/29		3,195			3,382
								20,753,336
Industrial (16.3%)
	Basic Industry (0.8%)
	Air Products & Chemicals Inc.	3.000%	11/3/21		4,525			4,617
	Air Products & Chemicals Inc.	2.750%	2/3/23		7,144			7,299
	Air Products & Chemicals Inc.	3.350%	7/31/24		9,900			10,419
	Airgas Inc.	3.650%	7/15/24		9,125			9,677
	Albemarle Corp.	4.150%	12/1/24		5,965			6,364
	Albemarle Corp.	5.450%	12/1/44		7,410			8,443
7	Albemarle Wodgina Pty Ltd.	3.450%	11/15/29		2,200			2,198
	ArcelorMittal	3.600%	7/16/24		6,075			6,220
	ArcelorMittal	6.125%	6/1/25		5,205			5,988
	ArcelorMittal	4.550%	3/11/26		30,315			32,150
	ArcelorMittal	4.250%	7/16/29		4,627			4,830
	ArcelorMittal	7.000%	10/15/39		7,180			8,735
	ArcelorMittal	6.750%	3/1/41		2,300			2,741
	Barrick Gold Corp.	6.450%	10/15/35		2,275			2,913
	Barrick Gold Corp.	5.250%	4/1/42		8,997			10,702
	Barrick North America Finance LLC	5.700%	5/30/41		14,177			17,027
	Barrick North America Finance LLC	5.750%	5/1/43		10,244			13,082
	Barrick PD Australia Finance Pty Ltd.	5.950%	10/15/39		18,123			22,866
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22		12,208			12,427
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23		2,396			2,549
	BHP Billiton Finance USA Ltd.	4.125%	2/24/42		11,841			13,392
	BHP Billiton Finance USA Ltd.	5.000%	9/30/43		26,868			34,267
	Braskem Finance Ltd.	6.450%	2/3/24		1,110			1,236
	Cabot Corp.	3.700%	7/15/22		1,765			1,817
	Cabot Corp.	4.000%	7/1/29		3,735			3,914
	Celanese US Holdings LLC	4.625%	11/15/22		490			518
	Celanese US Holdings LLC	3.500%	5/8/24		2,750			2,841
	Celulosa Arauco y Constitucion SA	4.500%	8/1/24		1,775			1,868

56

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Celulosa Arauco y Constitucion SA	3.875%	11/2/27		11,800			11,907
Celulosa Arauco y Constitucion SA	5.500%	11/2/47		11,600			12,006
Dow Chemical Co.	3.000%	11/15/22		30,384			31,093
Dow Chemical Co.	3.150%	5/15/24		7,020			7,242
Dow Chemical Co.	3.500%	10/1/24		5,466			5,724
Dow Chemical Co.	4.550%	11/30/25		12,625			13,896
Dow Chemical Co.	3.625%	5/15/26		4,250			4,467
Dow Chemical Co.	4.800%	11/30/28		3,350			3,798
Dow Chemical Co.	7.375%	11/1/29		4,424			5,826
Dow Chemical Co.	4.250%	10/1/34		10,471			11,504
Dow Chemical Co.	9.400%	5/15/39		14,114			23,135
Dow Chemical Co.	5.250%	11/15/41		10,038			11,630
Dow Chemical Co.	4.375%	11/15/42		10,439			11,134
Dow Chemical Co.	4.625%	10/1/44		2,115			2,326
Dow Chemical Co.	5.550%	11/30/48		12,130			15,103
Dow Chemical Co.	4.800%	5/15/49		7,459			8,604
DuPont de Nemours Inc.	4.205%	11/15/23		32,179			34,398
DuPont de Nemours Inc.	4.493%	11/15/25		23,835			26,199
DuPont de Nemours Inc.	4.725%	11/15/28		24,275			27,539
DuPont de Nemours Inc.	5.319%	11/15/38		19,620			23,311
DuPont de Nemours Inc.	5.419%	11/15/48		28,930			35,620
Eastman Chemical Co.	3.500%	12/1/21		7,550			7,745
Eastman Chemical Co.	3.600%	8/15/22		7,763			8,031
Eastman Chemical Co.	3.800%	3/15/25		3,574			3,769
Eastman Chemical Co.	4.800%	9/1/42		7,539			8,199
Eastman Chemical Co.	4.650%	10/15/44		5,400			5,852
Ecolab Inc.	4.350%	12/8/21		4,891			5,117
Ecolab Inc.	2.375%	8/10/22		11,795			11,903
Ecolab Inc.	3.250%	1/14/23		5,615			5,798
Ecolab Inc.	2.700%	11/1/26		8,076			8,291
Ecolab Inc.	3.250%	12/1/27		7,750			8,158
Ecolab Inc.	5.500%	12/8/41		1,833			2,391
Ecolab Inc.	3.950%	12/1/47		12,175			13,659
Fibria Overseas Finance Ltd.	5.250%	5/12/24		9,440			10,219
Fibria Overseas Finance Ltd.	4.000%	1/14/25		5,995			6,212
Fibria Overseas Finance Ltd.	5.500%	1/17/27		7,350			8,067
FMC Corp.	3.950%	2/1/22		1,795			1,849
FMC Corp.	4.100%	2/1/24		11,210			11,802
FMC Corp.	3.200%	10/1/26		2,000			2,048
FMC Corp.	3.450%	10/1/29		4,000			4,131
FMC Corp.	4.500%	10/1/49		4,000			4,387
Georgia-Pacific LLC	8.000%	1/15/24		6,204			7,530
Georgia-Pacific LLC	7.375%	12/1/25		5,750			7,221
Georgia-Pacific LLC	7.750%	11/15/29		3,818			5,408
Georgia-Pacific LLC	8.875%	5/15/31		4,665			7,242
Huntsman International LLC	5.125%	11/15/22		1,000			1,065
Huntsman International LLC	4.500%	5/1/29		5,500			5,848
International Flavors & Fragrances Inc.	3.200%	5/1/23		2,160			2,186
International Flavors & Fragrances Inc.	4.450%	9/26/28		2,500			2,732
International Flavors & Fragrances Inc.	4.375%	6/1/47		4,850			4,969
International Flavors & Fragrances Inc.	5.000%	9/26/48		5,100			5,710
International Paper Co.	7.500%	8/15/21		9,915			10,753
International Paper Co.	3.650%	6/15/24		10,098			10,619
International Paper Co.	3.800%	1/15/26		1,940			2,066
International Paper Co.	3.000%	2/15/27		16,064			16,433
International Paper Co.	5.000%	9/15/35		4,610			5,407
International Paper Co.	7.300%	11/15/39		5,385			7,456
International Paper Co.	6.000%	11/15/41		2,110			2,621
International Paper Co.	4.800%	6/15/44		17,621			19,322
International Paper Co.	5.150%	5/15/46		13,597			15,633
International Paper Co.	4.400%	8/15/47		13,184			13,978
International Paper Co.	4.350%	8/15/48		11,140			11,833
Kinross Gold Corp.	5.125%	9/1/21		515			536
Kinross Gold Corp.	5.950%	3/15/24		4,157			4,625

57

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Lubrizol Corp.	6.500%	10/1/34		5,350			7,460
LYB International Finance BV	4.000%	7/15/23		3,949			4,210
LYB International Finance BV	5.250%	7/15/43		2,337			2,745
LYB International Finance BV	4.875%	3/15/44		14,705			16,543
LYB International Finance II BV	3.500%	3/2/27		11,285			11,808
LYB International Finance III LLC	4.200%	10/15/49		6,220			6,458
LyondellBasell Industries NV	6.000%	11/15/21		19,200			20,405
LyondellBasell Industries NV	5.750%	4/15/24		7,980			8,987
LyondellBasell Industries NV	4.625%	2/26/55		12,762			13,464
Meadwestvaco Corp.	7.950%	2/15/31		5,758			7,772
Methanex Corp.	4.250%	12/1/24		2,314			2,378
Methanex Corp.	5.650%	12/1/44		7,155			6,859
Mosaic Co.	3.750%	11/15/21		6,485			6,638
Mosaic Co.	3.250%	11/15/22		10,190			10,448
Mosaic Co.	4.250%	11/15/23		17,332			18,470
Mosaic Co.	4.050%	11/15/27		11,600			12,019
Mosaic Co.	5.450%	11/15/33		6,117			6,942
Mosaic Co.	4.875%	11/15/41		2,743			2,850
Mosaic Co.	5.625%	11/15/43		1,261			1,492
Newmont Corp.	3.625%	6/9/21		2,465			2,514
Newmont Corp.	3.500%	3/15/22		716			735
Newmont Corp.	3.700%	3/15/23		10,810			11,302
Newmont Corp.	2.800%	10/1/29		6,615			6,547
Newmont Corp.	5.875%	4/1/35		2,505			3,194
Newmont Corp.	6.250%	10/1/39		12,738			16,835
Newmont Corp.	4.875%	3/15/42		9,308			10,850
Newmont Corp.	5.450%	6/9/44		11,715			14,497
Nucor Corp.	4.125%	9/15/22		1,092			1,145
Nucor Corp.	4.000%	8/1/23		11,695			12,373
Nucor Corp.	3.950%	5/1/28		200			217
Nucor Corp.	6.400%	12/1/37		10,458			14,135
Nucor Corp.	5.200%	8/1/43		14,800			18,378
Nucor Corp.	4.400%	5/1/48		6,950			7,873
Nutrien Ltd.	3.150%	10/1/22		3,571			3,643
Nutrien Ltd.	3.500%	6/1/23		15,735			16,232
Nutrien Ltd.	3.625%	3/15/24		5,525			5,762
Nutrien Ltd.	3.375%	3/15/25		7,365			7,634
Nutrien Ltd.	3.000%	4/1/25		9,096			9,259
Nutrien Ltd.	4.000%	12/15/26		5,100			5,427
Nutrien Ltd.	4.200%	4/1/29		3,625			3,985
Nutrien Ltd.	4.125%	3/15/35		6,550			6,837
Nutrien Ltd.	5.875%	12/1/36		825			989
Nutrien Ltd.	5.625%	12/1/40		4,663			5,453
Nutrien Ltd.	6.125%	1/15/41		7,281			9,072
Nutrien Ltd.	4.900%	6/1/43		5,075			5,676
Nutrien Ltd.	5.250%	1/15/45		22,021			25,940
Nutrien Ltd.	5.000%	4/1/49		6,870			8,108
Packaging Corp. of America	4.500%	11/1/23		18,907			20,341
Packaging Corp. of America	3.650%	9/15/24		4,882			5,114
Packaging Corp. of America	3.400%	12/15/27		4,250			4,424
Packaging Corp. of America	3.000%	12/15/29		3,800			3,814
Packaging Corp. of America	4.050%	12/15/49		2,595			2,693
PPG Industries Inc.	3.200%	3/15/23		667			688
PPG Industries Inc.	2.400%	8/15/24		14,600			14,707
Praxair Inc.	3.000%	9/1/21		5,795			5,901
Praxair Inc.	2.450%	2/15/22		20,965			21,211
Praxair Inc.	2.200%	8/15/22		5,769			5,809
Praxair Inc.	2.700%	2/21/23		3,200			3,265
Praxair Inc.	2.650%	2/5/25		6,850			7,026
Praxair Inc.	3.200%	1/30/26		5,900			6,183
Praxair Inc.	3.550%	11/7/42		2,250			2,346
Rayonier Inc.	3.750%	4/1/22		2,875			2,906
Reliance Steel & Aluminum Co.	4.500%	4/15/23		5,370			5,652
Rio Tinto Alcan Inc.	7.250%	3/15/31		475			661

58

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Rio Tinto Alcan Inc.	5.750%	6/1/35		9,224			11,567
Rio Tinto Finance USA Ltd.	3.750%	6/15/25		13,765			14,769
Rio Tinto Finance USA Ltd.	7.125%	7/15/28		7,409			9,872
Rio Tinto Finance USA Ltd.	5.200%	11/2/40		13,216			17,243
Rio Tinto Finance USA plc	4.750%	3/22/42		7,893			9,629
Rio Tinto Finance USA plc	4.125%	8/21/42		9,425			10,790
Rohm & Haas Co.	7.850%	7/15/29		5,265			6,997
RPM International Inc.	3.450%	11/15/22		4,560			4,675
RPM International Inc.	3.750%	3/15/27		5,601			5,758
RPM International Inc.	4.550%	3/1/29		3,100			3,351
RPM International Inc.	5.250%	6/1/45		3,942			4,357
RPM International Inc.	4.250%	1/15/48		8,200			7,952
Sasol Financing International Ltd.	4.500%	11/14/22		11,200			11,568
SASOL Financing USA LLC	5.875%	3/27/24		16,375			17,746
SASOL Financing USA LLC	6.500%	9/27/28		8,200			9,122
Sherwin-Williams Co.	4.200%	1/15/22		1,775			1,841
Sherwin-Williams Co.	2.750%	6/1/22		6,512			6,622
Sherwin-Williams Co.	3.125%	6/1/24		8,004			8,264
Sherwin-Williams Co.	3.450%	8/1/25		9,664			10,143
Sherwin-Williams Co.	3.950%	1/15/26		8,650			9,245
Sherwin-Williams Co.	3.450%	6/1/27		17,035			17,959
Sherwin-Williams Co.	2.950%	8/15/29		12,100			12,244
Sherwin-Williams Co.	4.000%	12/15/42		2,100			2,156
Sherwin-Williams Co.	4.550%	8/1/45		3,134			3,450
Sherwin-Williams Co.	4.500%	6/1/47		3,900			4,428
Sherwin-Williams Co.	3.800%	8/15/49		10,000			10,173
Southern Copper Corp.	3.500%	11/8/22		8,080			8,342
Southern Copper Corp.	3.875%	4/23/25		1,233			1,294
Southern Copper Corp.	7.500%	7/27/35		5,269			7,253
Southern Copper Corp.	6.750%	4/16/40		2,612			3,475
Southern Copper Corp.	5.250%	11/8/42		16,380			18,748
Southern Copper Corp.	5.875%	4/23/45		32,540			40,443
Steel Dynamics Inc.	2.800%	12/15/24		2,250			2,267
Steel Dynamics Inc.	4.125%	9/15/25		555			571
Steel Dynamics Inc.	5.000%	12/15/26		250			266
Steel Dynamics Inc.	3.450%	4/15/30		6,500			6,573
Suzano Austria GmbH	6.000%	1/15/29		25,200			28,448
Suzano Austria GmbH	5.000%	1/15/30		8,400			8,813
Teck Resources Ltd.	6.125%	10/1/35		7,200			8,385
Teck Resources Ltd.	6.000%	8/15/40		6,120			6,818
Teck Resources Ltd.	6.250%	7/15/41		14,010			16,003
Vale Canada Ltd.	7.200%	9/15/32		1,475			1,814
Vale Overseas Ltd.	6.250%	8/10/26		13,550			15,887
Vale Overseas Ltd.	8.250%	1/17/34		2,712			3,800
Vale Overseas Ltd.	6.875%	11/21/36		25,871			33,568
Vale Overseas Ltd.	6.875%	11/10/39		15,594			20,233
Vale SA	5.625%	9/11/42		8,278			9,685
Westlake Chemical Corp.	3.600%	8/15/26		21,295			21,974
Westlake Chemical Corp.	5.000%	8/15/46		15,728			16,683
Westrock MWV LLC	8.200%	1/15/30		5,703			7,792
WestRock RKT Co.	4.900%	3/1/22		3,690			3,889
Weyerhaeuser Co.	4.700%	3/15/21		3,605			3,697
Weyerhaeuser Co.	3.250%	3/15/23		150			154
Weyerhaeuser Co.	4.625%	9/15/23		5,815			6,265
Weyerhaeuser Co.	8.500%	1/15/25		2,400			3,032
Weyerhaeuser Co.	4.000%	11/15/29		10,100			10,947
Weyerhaeuser Co.	7.375%	3/15/32		9,455			13,103
Weyerhaeuser Co.	6.875%	12/15/33		3,275			4,312
WRKCo Inc.	3.000%	9/15/24		4,500			4,592
WRKCo Inc.	3.750%	3/15/25		8,715			9,180
WRKCo Inc.	4.650%	3/15/26		3,400			3,759
WRKCo Inc.	3.375%	9/15/27		4,575			4,675
WRKCo Inc.	4.000%	3/15/28		8,700			9,257
WRKCo Inc.	3.900%	6/1/28		3,250			3,437

59

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	WRKCo Inc.	4.900%	3/15/29		11,285			12,831
	WRKCo Inc.	4.200%	6/1/32		3,000			3,279
	Yamana Gold Inc.	4.625%	12/15/27		3,800			3,966
	Capital Goods (1.4%)
	3M Co.	1.625%	9/19/21		2,650			2,642
	3M Co.	2.750%	3/1/22		7,335			7,471
	3M Co.	2.000%	6/26/22		1,600			1,609
	3M Co.	1.750%	2/14/23		8,000			7,954
	3M Co.	2.250%	3/15/23		5,442			5,489
	3M Co.	3.250%	2/14/24		4,675			4,888
	3M Co.	2.000%	2/14/25		9,450			9,367
	3M Co.	3.000%	8/7/25		7,880			8,214
	3M Co.	2.250%	9/19/26		10,545			10,518
	3M Co.	2.875%	10/15/27		12,110			12,610
	3M Co.	3.625%	9/14/28		1,000			1,088
	3M Co.	3.375%	3/1/29		11,400			12,086
	3M Co.	2.375%	8/26/29		11,200			10,995
	3M Co.	3.875%	6/15/44		1,351			1,432
	3M Co.	3.125%	9/19/46		6,030			5,776
	3M Co.	3.625%	10/15/47		8,175			8,414
	3M Co.	4.000%	9/14/48		13,950			15,304
	3M Co.	3.250%	8/26/49		5,725			5,570
	ABB Finance USA Inc.	2.875%	5/8/22		3,668			3,743
	ABB Finance USA Inc.	3.375%	4/3/23		780			811
	ABB Finance USA Inc.	3.800%	4/3/28		10,685			11,666
	ABB Finance USA Inc.	4.375%	5/8/42		8,858			10,628
	Allegion plc	3.500%	10/1/29		4,475			4,562
	Allegion US Holding Co. Inc.	3.200%	10/1/24		1,550			1,591
	Allegion US Holding Co. Inc.	3.550%	10/1/27		5,119			5,275
	Avery Dennison Corp.	4.875%	12/6/28		2,950			3,349
7	Bemis Co. Inc.	3.100%	9/15/26		3,803			3,717
	Boeing Co.	2.300%	8/1/21		5,120			5,146
	Boeing Co.	8.750%	8/15/21		1,285			1,421
	Boeing Co.	2.350%	10/30/21		9,945			10,021
	Boeing Co.	2.125%	3/1/22		4,012			4,019
	Boeing Co.	2.700%	5/1/22		5,450			5,526
	Boeing Co.	2.800%	3/1/23		7,820			7,964
	Boeing Co.	1.875%	6/15/23		6,030			5,986
	Boeing Co.	2.800%	3/1/24		1,800			1,837
	Boeing Co.	2.850%	10/30/24		6,983			7,149
	Boeing Co.	2.500%	3/1/25		2,831			2,835
	Boeing Co.	7.250%	6/15/25		675			834
	Boeing Co.	2.600%	10/30/25		3,050			3,073
	Boeing Co.	3.100%	5/1/26		7,500			7,732
	Boeing Co.	2.250%	6/15/26		1,854			1,826
	Boeing Co.	2.700%	2/1/27		8,290			8,355
	Boeing Co.	2.800%	3/1/27		4,250			4,305
	Boeing Co.	3.250%	3/1/28		4,780			4,961
	Boeing Co.	3.450%	11/1/28		3,925			4,133
	Boeing Co.	3.200%	3/1/29		10,375			10,811
	Boeing Co.	2.950%	2/1/30		8,565			8,750
	Boeing Co.	6.125%	2/15/33		5,175			6,755
	Boeing Co.	3.600%	5/1/34		10,400			11,091
	Boeing Co.	3.250%	2/1/35		8,950			9,119
	Boeing Co.	6.625%	2/15/38		2,905			4,038
	Boeing Co.	3.550%	3/1/38		3,715			3,855
	Boeing Co.	3.500%	3/1/39		4,400			4,519
	Boeing Co.	6.875%	3/15/39		9,458			13,818
	Boeing Co.	5.875%	2/15/40		4,262			5,640
	Boeing Co.	3.375%	6/15/46		9,064			8,777
	Boeing Co.	3.650%	3/1/47		5,685			5,761
	Boeing Co.	3.625%	3/1/48		4,275			4,367
	Boeing Co.	3.850%	11/1/48		3,466			3,636

60

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Boeing Co.	3.900%	5/1/49		8,650			9,259
Boeing Co.	3.750%	2/1/50		5,500			5,795
Boeing Co.	3.825%	3/1/59		10,300			10,696
Boeing Co.	3.950%	8/1/59		5,000			5,339
Carlisle Cos. Inc.	3.750%	11/15/22		3,380			3,486
Carlisle Cos. Inc.	3.500%	12/1/24		3,042			3,157
Carlisle Cos. Inc.	3.750%	12/1/27		4,025			4,208
Caterpillar Financial Services Corp.	1.850%	9/4/20		16,070			16,058
Caterpillar Financial Services Corp.	2.900%	3/15/21		6,670			6,752
Caterpillar Financial Services Corp.	2.650%	5/17/21		4,815			4,864
Caterpillar Financial Services Corp.	1.700%	8/9/21		22,996			22,918
Caterpillar Financial Services Corp.	2.750%	8/20/21		3,400			3,443
Caterpillar Financial Services Corp.	3.150%	9/7/21		13,401			13,672
Caterpillar Financial Services Corp.	1.931%	10/1/21		3,937			3,942
Caterpillar Financial Services Corp.	2.950%	2/26/22		9,095			9,293
Caterpillar Financial Services Corp.	2.850%	6/1/22		1,659			1,693
Caterpillar Financial Services Corp.	2.400%	6/6/22		8,350			8,441
Caterpillar Financial Services Corp.	2.550%	11/29/22		8,885			9,047
Caterpillar Financial Services Corp.	2.625%	3/1/23		2,000			2,040
Caterpillar Financial Services Corp.	3.450%	5/15/23		6,260			6,548
Caterpillar Financial Services Corp.	3.750%	11/24/23		9,350			9,963
Caterpillar Financial Services Corp.	3.650%	12/7/23		4,182			4,432
Caterpillar Financial Services Corp.	2.850%	5/17/24		6,080			6,277
Caterpillar Financial Services Corp.	3.300%	6/9/24		5,975			6,283
Caterpillar Financial Services Corp.	2.150%	11/8/24		3,750			3,759
Caterpillar Financial Services Corp.	3.250%	12/1/24		13,387			14,117
Caterpillar Financial Services Corp.	2.400%	8/9/26		5,565			5,595
Caterpillar Inc.	3.900%	5/27/21		15,566			15,978
Caterpillar Inc.	2.600%	6/26/22		10,300			10,453
Caterpillar Inc.	3.400%	5/15/24		13,141			13,887
Caterpillar Inc.	2.600%	9/19/29		5,000			5,034
Caterpillar Inc.	5.300%	9/15/35		3,000			3,714
Caterpillar Inc.	6.050%	8/15/36		9,427			12,829
Caterpillar Inc.	5.200%	5/27/41		8,410			10,853
Caterpillar Inc.	3.803%	8/15/42		23,538			26,317
Caterpillar Inc.	4.300%	5/15/44		3,535			4,092
Caterpillar Inc.	3.250%	9/19/49		10,930			10,906
Caterpillar Inc.	4.750%	5/15/64		4,175			5,222
CNH Industrial Capital LLC	4.875%	4/1/21		750			774
CNH Industrial Capital LLC	3.875%	10/15/21		2,450			2,515
CNH Industrial Capital LLC	4.375%	4/5/22		5,250			5,476
CNH Industrial Capital LLC	4.200%	1/15/24		26,190			27,724
CNH Industrial NV	4.500%	8/15/23		1,565			1,667
CNH Industrial NV	3.850%	11/15/27		7,840			8,162
Crane Co.	4.450%	12/15/23		6,450			6,865
Crane Co.	4.200%	3/15/48		7,000			7,006
CRH America Inc.	5.750%	1/15/21		2,975			3,080
Deere & Co.	2.600%	6/8/22		34,398			34,953
Deere & Co.	5.375%	10/16/29		9,962			12,318
Deere & Co.	7.125%	3/3/31		405			572
Deere & Co.	3.900%	6/9/42		6,710			7,544
Dover Corp.	3.150%	11/15/25		8,640			8,949
Dover Corp.	2.950%	11/4/29		3,315			3,324
Dover Corp.	5.375%	10/15/35		2,350			2,805
Dover Corp.	6.600%	3/15/38		3,115			4,152
Dover Corp.	5.375%	3/1/41		4,109			4,996
Eagle Materials Inc.	4.500%	8/1/26		3,880			4,022
Eaton Corp.	2.750%	11/2/22		15,254			15,560
Eaton Corp.	3.103%	9/15/27		14,295			14,823
Eaton Corp.	4.000%	11/2/32		8,304			9,403
Eaton Corp.	4.150%	11/2/42		2,087			2,316
Eaton Corp.	3.915%	9/15/47		5,715			6,083
Embraer Netherlands Finance BV	5.050%	6/15/25		9,055			9,956
Embraer Netherlands Finance BV	5.400%	2/1/27		11,295			12,698

61

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
7	Embraer Overseas Ltd.	5.696%	9/16/23		9,130			10,005
	Embraer SA	5.150%	6/15/22		1,200			1,266
	Emerson Electric Co.	2.625%	12/1/21		18,650			18,961
	Emerson Electric Co.	2.625%	2/15/23		4,200			4,293
	Emerson Electric Co.	3.150%	6/1/25		6,150			6,433
	Flowserve Corp.	3.500%	9/15/22		16,830			17,011
	Flowserve Corp.	4.000%	11/15/23		4,225			4,323
	Fortive Corp.	2.350%	6/15/21		10,395			10,423
	Fortive Corp.	3.150%	6/15/26		6,329			6,476
	Fortive Corp.	4.300%	6/15/46		7,500			7,717
	Fortune Brands Home & Security Inc.	4.000%	9/21/23		12,373			13,068
	Fortune Brands Home & Security Inc.	4.000%	6/15/25		8,825			9,429
	Fortune Brands Home & Security Inc.	3.250%	9/15/29		700			707
	General Dynamics Corp.	3.000%	5/11/21		7,525			7,646
	General Dynamics Corp.	3.875%	7/15/21		4,919			5,058
	General Dynamics Corp.	2.250%	11/15/22		9,415			9,513
	General Dynamics Corp.	3.375%	5/15/23		20,455			21,354
	General Dynamics Corp.	1.875%	8/15/23		23,790			23,811
	General Dynamics Corp.	2.375%	11/15/24		9,650			9,811
	General Dynamics Corp.	3.500%	5/15/25		13,585			14,543
	General Dynamics Corp.	2.125%	8/15/26		5,800			5,736
	General Dynamics Corp.	2.625%	11/15/27		13,629			13,940
	General Dynamics Corp.	3.750%	5/15/28		17,940			19,757
	General Dynamics Corp.	3.600%	11/15/42		3,968			4,490
	General Electric Co.	4.625%	1/7/21		15,664			16,023
	General Electric Co.	5.300%	2/11/21		18,728			19,326
	General Electric Co.	4.650%	10/17/21		15,410			16,054
	General Electric Co.	3.150%	9/7/22		4,694			4,795
	General Electric Co.	2.700%	10/9/22		14,078			14,268
	General Electric Co.	3.100%	1/9/23		11,432			11,670
	General Electric Co.	3.375%	3/11/24		23,296			24,106
	General Electric Co.	3.450%	5/15/24		5,675			5,887
	General Electric Co.	6.750%	3/15/32		30,702			39,330
	General Electric Co.	7.500%	8/21/35		100			130
	General Electric Co.	6.150%	8/7/37		10,048			12,405
	General Electric Co.	5.875%	1/14/38		33,653			40,564
	General Electric Co.	6.875%	1/10/39		22,999			30,653
	General Electric Co.	4.125%	10/9/42		12,530			12,967
	General Electric Co.	4.500%	3/11/44		12,061			13,148
	Hexcel Corp.	4.700%	8/15/25		1,400			1,514
	Honeywell International Inc.	4.250%	3/1/21		8,075			8,318
	Honeywell International Inc.	1.850%	11/1/21		20,900			20,937
	Honeywell International Inc.	2.150%	8/8/22		5,350			5,401
	Honeywell International Inc.	3.350%	12/1/23		5,160			5,422
	Honeywell International Inc.	2.300%	8/15/24		11,800			11,958
	Honeywell International Inc.	2.500%	11/1/26		13,485			13,697
	Honeywell International Inc.	2.700%	8/15/29		5,975			6,129
	Honeywell International Inc.	5.700%	3/15/36		5,449			7,259
	Honeywell International Inc.	5.700%	3/15/37		8,596			11,652
	Honeywell International Inc.	5.375%	3/1/41		6,675			8,988
	Honeywell International Inc.	3.812%	11/21/47		735			831
	Hubbell Inc.	3.350%	3/1/26		4,851			4,962
	Hubbell Inc.	3.150%	8/15/27		3,200			3,191
	Hubbell Inc.	3.500%	2/15/28		12,120			12,517
	Huntington Ingalls Industries Inc.	3.483%	12/1/27		12,811			13,355
	Illinois Tool Works Inc.	3.375%	9/15/21		765			782
	Illinois Tool Works Inc.	3.500%	3/1/24		2,802			2,966
	Illinois Tool Works Inc.	2.650%	11/15/26		12,565			12,913
	Illinois Tool Works Inc.	4.875%	9/15/41		4,670			5,871
	Illinois Tool Works Inc.	3.900%	9/1/42		16,959			19,544
	Ingersoll-Rand Global Holding Co. Ltd.	2.900%	2/21/21		2,519			2,543
	Ingersoll-Rand Global Holding Co. Ltd.	4.250%	6/15/23		9,300			9,935
	Ingersoll-Rand Global Holding Co. Ltd.	5.750%	6/15/43		4,840			6,093
	Ingersoll-Rand Global Holding Co. Ltd.	4.300%	2/21/48		1,300			1,407

62

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Ingersoll-Rand Luxembourg Finance SA	3.550%	11/1/24		7,960			8,342
	Ingersoll-Rand Luxembourg Finance SA	3.500%	3/21/26		4,325			4,522
	Ingersoll-Rand Luxembourg Finance SA	3.800%	3/21/29		10,450			11,189
	Ingersoll-Rand Luxembourg Finance SA	4.650%	11/1/44		3,245			3,659
	Ingersoll-Rand Luxembourg Finance SA	4.500%	3/21/49		3,700			4,134
	John Deere Capital Corp.	1.700%	1/15/20		1,000			1,000
	John Deere Capital Corp.	2.350%	1/8/21		2,100			2,108
	John Deere Capital Corp.	2.550%	1/8/21		300			302
	John Deere Capital Corp.	2.800%	3/4/21		6,800			6,872
	John Deere Capital Corp.	2.875%	3/12/21		5,545			5,607
	John Deere Capital Corp.	3.900%	7/12/21		5,953			6,136
	John Deere Capital Corp.	3.125%	9/10/21		8,571			8,756
	John Deere Capital Corp.	3.150%	10/15/21		7,974			8,153
	John Deere Capital Corp.	2.650%	1/6/22		4,300			4,370
	John Deere Capital Corp.	2.750%	3/15/22		2,445			2,490
	John Deere Capital Corp.	1.950%	6/13/22		3,240			3,242
	John Deere Capital Corp.	2.150%	9/8/22		14,650			14,742
	John Deere Capital Corp.	2.700%	1/6/23		1,150			1,175
	John Deere Capital Corp.	2.800%	1/27/23		2,510			2,571
	John Deere Capital Corp.	2.800%	3/6/23		13,198			13,536
	John Deere Capital Corp.	3.450%	6/7/23		5,500			5,753
	John Deere Capital Corp.	3.650%	10/12/23		3,180			3,369
	John Deere Capital Corp.	2.600%	3/7/24		4,250			4,342
	John Deere Capital Corp.	3.350%	6/12/24		20,630			21,727
	John Deere Capital Corp.	2.650%	6/24/24		3,300			3,378
	John Deere Capital Corp.	3.450%	3/13/25		16,515			17,531
	John Deere Capital Corp.	3.400%	9/11/25		3,710			3,929
	John Deere Capital Corp.	2.650%	6/10/26		3,294			3,355
	John Deere Capital Corp.	2.250%	9/14/26		3,150			3,149
	John Deere Capital Corp.	2.800%	9/8/27		8,650			8,881
	John Deere Capital Corp.	3.050%	1/6/28		12,900			13,435
	John Deere Capital Corp.	3.450%	3/7/29		5,670			6,162
	John Deere Capital Corp.	2.800%	7/18/29		6,650			6,808
	Johnson Controls International plc	3.625%	7/2/24		2,300			2,386
	Johnson Controls International plc	3.900%	2/14/26		5,764			6,120
	Johnson Controls International plc	6.000%	1/15/36		1,046			1,283
	Johnson Controls International plc	4.625%	7/2/44		10,902			11,888
	Johnson Controls International plc	5.125%	9/14/45		1,163			1,351
	Johnson Controls International plc	4.500%	2/15/47		12,573			13,522
	Johnson Controls International plc	4.950%	7/2/64		4,487			4,644
	Kennametal Inc.	3.875%	2/15/22		2,575			2,648
	Kennametal Inc.	4.625%	6/15/28		8,800			9,386
7	L3Harris Technologies Inc.	4.950%	2/15/21		14,579			14,934
7	L3Harris Technologies Inc.	3.850%	6/15/23		5,175			5,447
7	L3Harris Technologies Inc.	3.950%	5/28/24		4,767			5,055
	L3Harris Technologies Inc.	3.832%	4/27/25		9,780			10,404
7	L3Harris Technologies Inc.	3.850%	12/15/26		5,410			5,813
	L3Harris Technologies Inc.	4.400%	6/15/28		500			556
7	L3Harris Technologies Inc.	4.400%	6/15/28		6,960			7,753
	L3Harris Technologies Inc.	2.900%	12/15/29		6,034			6,109
	L3Harris Technologies Inc.	4.854%	4/27/35		2,725			3,207
	L3Harris Technologies Inc.	6.150%	12/15/40		6,103			8,281
	L3Harris Technologies Inc.	5.054%	4/27/45		2,056			2,552
	Leggett & Platt Inc.	3.800%	11/15/24		4,600			4,810
	Leggett & Platt Inc.	3.500%	11/15/27		15,075			15,464
	Leggett & Platt Inc.	4.400%	3/15/29		5,400			5,900
	Legrand France SA	8.500%	2/15/25		4,645			5,990
	Lennox International Inc.	3.000%	11/15/23		1,075			1,093
	Lockheed Martin Corp.	3.350%	9/15/21		26,978			27,657
	Lockheed Martin Corp.	3.100%	1/15/23		11,215			11,592
	Lockheed Martin Corp.	2.900%	3/1/25		5,252			5,457
	Lockheed Martin Corp.	3.550%	1/15/26		4,158			4,453
	Lockheed Martin Corp.	3.600%	3/1/35		7,990			8,749
	Lockheed Martin Corp.	4.500%	5/15/36		5,680			6,725

63

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Lockheed Martin Corp.	6.150%	9/1/36		14,489			19,665
Lockheed Martin Corp.	5.720%	6/1/40		5,260			7,097
Lockheed Martin Corp.	4.070%	12/15/42		19,270			22,050
Lockheed Martin Corp.	3.800%	3/1/45		3,607			3,979
Lockheed Martin Corp.	4.700%	5/15/46		14,410			18,193
Lockheed Martin Corp.	4.090%	9/15/52		14,321			16,739
Martin Marietta Materials Inc.	4.250%	7/2/24		2,000			2,140
Martin Marietta Materials Inc.	3.450%	6/1/27		6,400			6,610
Martin Marietta Materials Inc.	3.500%	12/15/27		7,800			8,111
Martin Marietta Materials Inc.	4.250%	12/15/47		10,110			10,585
Masco Corp.	4.450%	4/1/25		7,432			8,092
Masco Corp.	4.375%	4/1/26		2,923			3,154
Masco Corp.	3.500%	11/15/27		7,960			8,233
Masco Corp.	6.500%	8/15/32		27			33
Masco Corp.	4.500%	5/15/47		8,150			8,295
Mohawk Industries Inc.	3.850%	2/1/23		12,690			13,213
Northrop Grumman Corp.	3.500%	3/15/21		9,153			9,323
Northrop Grumman Corp.	2.550%	10/15/22		4,955			5,028
Northrop Grumman Corp.	3.250%	8/1/23		2,208			2,295
Northrop Grumman Corp.	2.930%	1/15/25		7,225			7,444
Northrop Grumman Corp.	3.200%	2/1/27		6,275			6,525
Northrop Grumman Corp.	3.250%	1/15/28		31,370			32,683
Northrop Grumman Corp.	5.050%	11/15/40		5,825			7,098
Northrop Grumman Corp.	4.750%	6/1/43		8,279			9,889
Northrop Grumman Corp.	3.850%	4/15/45		2,004			2,145
Northrop Grumman Corp.	4.030%	10/15/47		5,330			5,924
Northrop Grumman Systems Corp.	7.750%	2/15/31		5,216			7,481
Nvent Finance Sarl	3.950%	4/15/23		2,280			2,311
Nvent Finance Sarl	4.550%	4/15/28		6,870			7,119
Oshkosh Corp.	4.600%	5/15/28		9,000			9,630
Owens Corning	4.200%	12/1/24		10,215			10,817
Owens Corning	3.400%	8/15/26		5,350			5,418
Owens Corning	3.950%	8/15/29		4,850			5,028
Owens Corning	7.000%	12/1/36		409			500
Owens Corning	4.300%	7/15/47		7,825			7,423
Owens Corning	4.400%	1/30/48		4,250			4,108
Parker-Hannifin Corp.	3.500%	9/15/22		1,850			1,914
Parker-Hannifin Corp.	2.700%	6/14/24		6,950			7,043
Parker-Hannifin Corp.	3.300%	11/21/24		12,721			13,296
Parker-Hannifin Corp.	3.250%	3/1/27		20,521			21,284
Parker-Hannifin Corp.	3.250%	6/14/29		4,875			5,065
Parker-Hannifin Corp.	4.200%	11/21/34		5,828			6,444
Parker-Hannifin Corp.	6.250%	5/15/38		5,632			7,467
Parker-Hannifin Corp.	4.450%	11/21/44		5,590			6,213
Parker-Hannifin Corp.	4.100%	3/1/47		6,355			6,879
Parker-Hannifin Corp.	4.000%	6/14/49		7,800			8,436
Pentair Finance Sarl	4.500%	7/1/29		3,000			3,164
Precision Castparts Corp.	2.500%	1/15/23		18,264			18,584
Precision Castparts Corp.	3.250%	6/15/25		12,717			13,398
Precision Castparts Corp.	3.900%	1/15/43		6,950			7,520
Precision Castparts Corp.	4.375%	6/15/45		6,867			7,938
Raytheon Co.	2.500%	12/15/22		13,078			13,337
Raytheon Co.	3.150%	12/15/24		6,300			6,618
Raytheon Co.	7.200%	8/15/27		2,810			3,674
Raytheon Co.	4.875%	10/15/40		1,710			2,139
Raytheon Co.	4.700%	12/15/41		8,700			10,816
Raytheon Co.	4.200%	12/15/44		2,600			3,048
Republic Services Inc.	5.250%	11/15/21		11,497			12,193
Republic Services Inc.	3.550%	6/1/22		9,348			9,658
Republic Services Inc.	4.750%	5/15/23		4,375			4,711
Republic Services Inc.	2.500%	8/15/24		5,100			5,167
Republic Services Inc.	3.200%	3/15/25		3,820			3,967
Republic Services Inc.	2.900%	7/1/26		1,579			1,609
Republic Services Inc.	3.375%	11/15/27		285			301

64

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Republic Services Inc.	6.200%	3/1/40		6,078			8,276
Republic Services Inc.	5.700%	5/15/41		13,998			18,192
Rockwell Automation Inc.	3.500%	3/1/29		9,050			9,726
Rockwell Automation Inc.	4.200%	3/1/49		6,075			7,062
Rockwell Collins Inc.	3.100%	11/15/21		2,350			2,390
Rockwell Collins Inc.	2.800%	3/15/22		4,800			4,882
Rockwell Collins Inc.	3.700%	12/15/23		1,000			1,053
Rockwell Collins Inc.	3.200%	3/15/24		16,875			17,560
Rockwell Collins Inc.	3.500%	3/15/27		10,350			11,009
Rockwell Collins Inc.	4.800%	12/15/43		4,916			6,008
Rockwell Collins Inc.	4.350%	4/15/47		13,200			15,430
Roper Technologies Inc.	3.000%	12/15/20		5,550			5,601
Roper Technologies Inc.	2.800%	12/15/21		14,821			15,032
Roper Technologies Inc.	3.125%	11/15/22		4,193			4,304
Roper Technologies Inc.	2.350%	9/15/24		2,000			2,010
Roper Technologies Inc.	3.850%	12/15/25		2,275			2,444
Roper Technologies Inc.	3.800%	12/15/26		16,610			17,851
Roper Technologies Inc.	4.200%	9/15/28		8,997			9,838
Roper Technologies Inc.	2.950%	9/15/29		5,000			5,026
Snap-on Inc.	6.125%	9/1/21		3,700			3,954
Snap-on Inc.	3.250%	3/1/27		1,200			1,251
Snap-on Inc.	4.100%	3/1/48		3,700			4,134
Sonoco Products Co.	5.750%	11/1/40		6,100			7,474
Spirit AeroSystems Inc.	3.950%	6/15/23		15,285			15,732
Spirit AeroSystems Inc.	3.850%	6/15/26		5,525			5,665
Spirit AeroSystems Inc.	4.600%	6/15/28		8,920			9,379
Stanley Black & Decker Inc.	3.400%	12/1/21		3,125			3,192
Stanley Black & Decker Inc.	2.900%	11/1/22		5,231			5,357
Stanley Black & Decker Inc.	3.400%	3/1/26		5,616			5,922
Stanley Black & Decker Inc.	5.200%	9/1/40		6,283			7,784
Stanley Black & Decker Inc.	4.850%	11/15/48		5,575			6,886
Textron Inc.	4.300%	3/1/24		3,725			3,978
Textron Inc.	3.875%	3/1/25		13,545			14,342
Textron Inc.	4.000%	3/15/26		11,700			12,490
Textron Inc.	3.650%	3/15/27		28,640			29,944
Textron Inc.	3.375%	3/1/28		4,629			4,756
Textron Inc.	3.900%	9/17/29		7,150			7,628
Timken Co.	3.875%	9/1/24		1,000			1,043
Timken Co.	4.500%	12/15/28		10,000			10,768
United Technologies Corp.	3.350%	8/16/21		2,570			2,630
United Technologies Corp.	1.950%	11/1/21		4,000			4,005
United Technologies Corp.	2.300%	5/4/22		1,000			1,008
United Technologies Corp.	3.100%	6/1/22		24,697			25,356
United Technologies Corp.	3.650%	8/16/23		32,988			34,751
United Technologies Corp.	2.800%	5/4/24		19,105			19,631
United Technologies Corp.	3.950%	8/16/25		21,622			23,540
United Technologies Corp.	2.650%	11/1/26		4,600			4,707
United Technologies Corp.	3.125%	5/4/27		3,351			3,507
United Technologies Corp.	6.700%	8/1/28		2,397			3,106
United Technologies Corp.	4.125%	11/16/28		45,310			50,944
United Technologies Corp.	7.500%	9/15/29		8,296			11,666
United Technologies Corp.	5.400%	5/1/35		5,612			7,179
United Technologies Corp.	6.050%	6/1/36		8,512			11,460
United Technologies Corp.	6.125%	7/15/38		6,186			8,556
United Technologies Corp.	4.450%	11/16/38		10,698			12,560
United Technologies Corp.	5.700%	4/15/40		11,965			16,005
United Technologies Corp.	4.500%	6/1/42		35,334			42,313
United Technologies Corp.	4.150%	5/15/45		15,926			18,242
United Technologies Corp.	3.750%	11/1/46		14,295			15,574
United Technologies Corp.	4.050%	5/4/47		7,525			8,540
United Technologies Corp.	4.625%	11/16/48		19,475			24,240
Valmont Industries Inc.	5.000%	10/1/44		9,050			9,245
Valmont Industries Inc.	5.250%	10/1/54		4,600			4,667
Vulcan Materials Co.	4.500%	4/1/25		3,910			4,230

65

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Vulcan Materials Co.	3.900%	4/1/27		550			582
Vulcan Materials Co.	4.500%	6/15/47		10,525			11,526
Wabtec Corp.	4.400%	3/15/24		10,840			11,489
Wabtec Corp.	3.450%	11/15/26		9,767			9,810
Wabtec Corp.	4.950%	9/15/28		10,900			11,981
Waste Connections Inc.	3.500%	5/1/29		11,850			12,487
Waste Management Inc.	4.600%	3/1/21		9,560			9,801
Waste Management Inc.	2.900%	9/15/22		1,130			1,156
Waste Management Inc.	2.400%	5/15/23		12,800			12,916
Waste Management Inc.	3.500%	5/15/24		4,134			4,340
Waste Management Inc.	2.950%	6/15/24		8,265			8,524
Waste Management Inc.	3.125%	3/1/25		7,645			7,988
Waste Management Inc.	3.200%	6/15/26		8,469			8,872
Waste Management Inc.	3.150%	11/15/27		13,883			14,506
Waste Management Inc.	3.450%	6/15/29		11,275			12,042
Waste Management Inc.	3.900%	3/1/35		4,000			4,424
Waste Management Inc.	4.000%	7/15/39		6,250			6,980
Waste Management Inc.	4.100%	3/1/45		7,789			8,739
Waste Management Inc.	4.150%	7/15/49		11,275			12,841
WW Grainger Inc.	4.600%	6/15/45		13,443			15,913
WW Grainger Inc.	3.750%	5/15/46		5,362			5,541
WW Grainger Inc.	4.200%	5/15/47		1,950			2,171
Xylem Inc.	4.875%	10/1/21		110			115
Xylem Inc.	3.250%	11/1/26		3,461			3,588
Xylem Inc.	4.375%	11/1/46		6,310			6,889
Communication (2.4%)
Activision Blizzard Inc.	2.300%	9/15/21		17,549			17,626
Activision Blizzard Inc.	3.400%	9/15/26		12,563			13,165
Activision Blizzard Inc.	3.400%	6/15/27		3,257			3,392
Activision Blizzard Inc.	4.500%	6/15/47		4,220			4,794
America Movil SAB de CV	3.125%	7/16/22		36,650			37,380
America Movil SAB de CV	3.625%	4/22/29		5,500			5,831
America Movil SAB de CV	6.375%	3/1/35		15,818			21,222
America Movil SAB de CV	6.125%	11/15/37		4,283			5,586
America Movil SAB de CV	6.125%	3/30/40		14,500			19,428
America Movil SAB de CV	4.375%	7/16/42		12,590			14,015
America Movil SAB de CV	4.375%	4/22/49		14,500			16,614
American Tower Corp.	3.300%	2/15/21		13,364			13,528
American Tower Corp.	3.450%	9/15/21		14,400			14,746
American Tower Corp.	5.900%	11/1/21		8,029			8,578
American Tower Corp.	2.250%	1/15/22		8,465			8,491
American Tower Corp.	3.500%	1/31/23		17,414			18,040
American Tower Corp.	5.000%	2/15/24		11,946			13,143
American Tower Corp.	3.375%	5/15/24		9,000			9,329
American Tower Corp.	2.950%	1/15/25		3,650			3,739
American Tower Corp.	4.000%	6/1/25		6,840			7,307
American Tower Corp.	4.400%	2/15/26		2,215			2,423
American Tower Corp.	3.375%	10/15/26		17,576			18,255
American Tower Corp.	3.125%	1/15/27		6,795			6,927
American Tower Corp.	3.550%	7/15/27		10,723			11,210
American Tower Corp.	3.950%	3/15/29		6,800			7,316
American Tower Corp.	3.800%	8/15/29		28,649			30,605
American Tower Corp.	3.700%	10/15/49		6,565			6,507
AT&T Inc.	4.600%	2/15/21		14,677			15,014
AT&T Inc.	2.800%	2/17/21		4,677			4,715
AT&T Inc.	4.450%	5/15/21		6,973			7,210
AT&T Inc.	3.875%	8/15/21		2,000			2,059
AT&T Inc.	4.000%	1/15/22		3,600			3,734
AT&T Inc.	3.000%	2/15/22		3,265			3,327
AT&T Inc.	3.200%	3/1/22		8,269			8,470
AT&T Inc.	3.800%	3/15/22		7,760			8,051
AT&T Inc.	3.400%	6/15/22		7,995			8,232
AT&T Inc.	3.000%	6/30/22		35,067			35,838

66

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
AT&T Inc.	2.625%	12/1/22		1,000			1,015
AT&T Inc.	3.600%	2/17/23		20,465			21,352
AT&T Inc.	4.050%	12/15/23		6,400			6,842
AT&T Inc.	3.800%	3/1/24		6,425			6,783
AT&T Inc.	3.900%	3/11/24		5,350			5,670
AT&T Inc.	4.450%	4/1/24		20,228			21,900
AT&T Inc.	3.550%	6/1/24		7,750			8,147
AT&T Inc.	3.950%	1/15/25		10,000			10,713
AT&T Inc.	3.400%	5/15/25		57,781			60,552
AT&T Inc.	3.600%	7/15/25		24,718			26,085
AT&T Inc.	3.875%	1/15/26		24,980			26,751
AT&T Inc.	4.125%	2/17/26		18,800			20,372
AT&T Inc.	3.800%	2/15/27		15,794			16,838
AT&T Inc.	4.250%	3/1/27		10,000			10,961
AT&T Inc.	4.100%	2/15/28		28,547			30,988
AT&T Inc.	4.350%	3/1/29		37,980			42,121
AT&T Inc.	4.300%	2/15/30		49,831			55,377
AT&T Inc.	4.500%	5/15/35		21,296			23,680
AT&T Inc.	5.250%	3/1/37		25,496			30,448
AT&T Inc.	4.900%	8/15/37		16,010			18,365
AT&T Inc.	4.850%	3/1/39		21,119			24,259
AT&T Inc.	6.200%	3/15/40		3,800			4,751
AT&T Inc.	6.350%	3/15/40		11,000			14,325
AT&T Inc.	6.100%	7/15/40		4,490			5,707
AT&T Inc.	6.000%	8/15/40		11,887			15,083
AT&T Inc.	5.350%	9/1/40		35,350			42,277
AT&T Inc.	6.375%	3/1/41		11,368			14,986
AT&T Inc.	5.550%	8/15/41		11,089			13,580
AT&T Inc.	5.375%	10/15/41		9,224			10,850
AT&T Inc.	5.150%	3/15/42		14,044			16,362
AT&T Inc.	4.900%	6/15/42		8,094			9,103
AT&T Inc.	4.300%	12/15/42		19,775			21,137
AT&T Inc.	5.350%	12/15/43		15,714			18,830
AT&T Inc.	4.650%	6/1/44		17,555			19,349
AT&T Inc.	4.800%	6/15/44		34,540			39,240
AT&T Inc.	4.350%	6/15/45		29,500			31,555
AT&T Inc.	4.850%	7/15/45		200			226
AT&T Inc.	4.750%	5/15/46		37,210			41,778
AT&T Inc.	5.150%	11/15/46		71,298			84,872
AT&T Inc.	5.650%	2/15/47		6,350			8,081
AT&T Inc.	5.450%	3/1/47		6,100			7,527
AT&T Inc.	4.500%	3/9/48		28,239			31,020
AT&T Inc.	4.550%	3/9/49		29,167			32,339
AT&T Inc.	5.150%	2/15/50		19,699			23,726
AT&T Inc.	5.700%	3/1/57		3,380			4,409
AT&T Inc.	5.300%	8/15/58		9,987			12,302
Bell Canada Inc.	4.300%	7/29/49		6,600			7,382
British Telecommunications plc	4.500%	12/4/23		7,450			8,022
British Telecommunications plc	5.125%	12/4/28		8,000			9,194
British Telecommunications plc	9.625%	12/15/30		28,703			44,172
CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23		11,452			11,987
Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22		47,309			49,723
Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24		10,164			10,933
Charter Communications Operating LLC / Charter Communications Operating Capital	4.908%	7/23/25		53,149			58,473
Charter Communications Operating LLC / Charter Communications Operating Capital	3.750%	2/15/28		26,165			27,043
Charter Communications Operating LLC / Charter Communications Operating Capital	4.200%	3/15/28		5,125			5,449
Charter Communications Operating LLC / Charter Communications Operating Capital	5.050%	3/30/29		23,875			26,995

67

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Charter Communications Operating LLC / Charter Communications Operating Capital	6.384%	10/23/35		30,935			38,891
Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	4/1/38		8,680			9,838
Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45		32,250			40,193
Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	5/1/47		29,084			32,601
Charter Communications Operating LLC / Charter Communications Operating Capital	5.750%	4/1/48		34,155			39,854
Charter Communications Operating LLC / Charter Communications Operating Capital	5.125%	7/1/49		11,200			12,153
Charter Communications Operating LLC / Charter Communications Operating Capital	4.800%	3/1/50		14,423			15,099
Charter Communications Operating LLC / Charter Communications Operating Capital	6.834%	10/23/55		6,174			7,775
Comcast Cable Communications Holdings Inc.	9.455%	11/15/22		7,560			9,131
Comcast Corp.	3.450%	10/1/21		19,925			20,488
Comcast Corp.	3.125%	7/15/22		16,182			16,680
Comcast Corp.	2.750%	3/1/23		19,264			19,688
Comcast Corp.	3.000%	2/1/24		46,159			47,825
Comcast Corp.	3.600%	3/1/24		5,126			5,428
Comcast Corp.	3.700%	4/15/24		15,250			16,223
Comcast Corp.	3.375%	2/15/25		12,719			13,399
Comcast Corp.	3.375%	8/15/25		28,769			30,517
Comcast Corp.	3.950%	10/15/25		24,562			26,766
Comcast Corp.	3.150%	3/1/26		27,325			28,552
Comcast Corp.	2.350%	1/15/27		27,347			27,266
Comcast Corp.	3.300%	2/1/27		21,599			22,828
Comcast Corp.	3.150%	2/15/28		18,180			19,029
Comcast Corp.	3.550%	5/1/28		1,250			1,345
Comcast Corp.	4.150%	10/15/28		65,173			73,347
Comcast Corp.	2.650%	2/1/30		19,000			19,015
Comcast Corp.	4.250%	10/15/30		10,000			11,369
Comcast Corp.	4.250%	1/15/33		18,769			21,514
Comcast Corp.	7.050%	3/15/33		4,217			6,028
Comcast Corp.	4.200%	8/15/34		15,389			17,553
Comcast Corp.	5.650%	6/15/35		4,446			5,834
Comcast Corp.	4.400%	8/15/35		13,991			16,370
Comcast Corp.	6.500%	11/15/35		17,665			24,886
Comcast Corp.	3.200%	7/15/36		10,845			11,037
Comcast Corp.	6.450%	3/15/37		12,029			16,789
Comcast Corp.	6.950%	8/15/37		14,839			21,724
Comcast Corp.	3.900%	3/1/38		5,700			6,290
Comcast Corp.	6.400%	5/15/38		9,747			13,536
Comcast Corp.	4.600%	10/15/38		33,953			40,286
Comcast Corp.	3.250%	11/1/39		15,525			15,615
Comcast Corp.	6.400%	3/1/40		970			1,359
Comcast Corp.	4.650%	7/15/42		18,697			22,225
Comcast Corp.	4.500%	1/15/43		7,076			8,256
Comcast Corp.	4.600%	8/15/45		24,005			28,628
Comcast Corp.	3.400%	7/15/46		30,064			30,186
Comcast Corp.	4.000%	8/15/47		9,363			10,247
Comcast Corp.	3.969%	11/1/47		29,650			32,354
Comcast Corp.	4.000%	3/1/48		6,396			7,031
Comcast Corp.	4.700%	10/15/48		30,640			37,712
Comcast Corp.	3.999%	11/1/49		27,070			29,910
Comcast Corp.	3.450%	2/1/50		26,000			26,511
Comcast Corp.	4.049%	11/1/52		17,300			19,503
Comcast Corp.	4.950%	10/15/58		29,702			38,619
Crown Castle International Corp.	3.400%	2/15/21		14,805			15,023
Crown Castle International Corp.	2.250%	9/1/21		8,230			8,238
Crown Castle International Corp.	4.875%	4/15/22		8,513			9,002
Crown Castle International Corp.	5.250%	1/15/23		12,829			13,907

68

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Crown Castle International Corp.	3.150%	7/15/23		6,920			7,098
	Crown Castle International Corp.	3.200%	9/1/24		8,075			8,313
	Crown Castle International Corp.	4.450%	2/15/26		22,715			24,789
	Crown Castle International Corp.	3.700%	6/15/26		17,075			18,048
	Crown Castle International Corp.	4.000%	3/1/27		3,730			4,014
	Crown Castle International Corp.	3.650%	9/1/27		19,953			21,022
	Crown Castle International Corp.	3.800%	2/15/28		29,231			31,059
	Crown Castle International Corp.	4.750%	5/15/47		4,325			4,981
	Crown Castle International Corp.	5.200%	2/15/49		5,699			6,979
	Deutsche Telekom International Finance BV	8.750%	6/15/30		43,808			64,279
	Discovery Communications LLC	4.375%	6/15/21		4,875			5,021
	Discovery Communications LLC	3.300%	5/15/22		2,588			2,654
	Discovery Communications LLC	3.500%	6/15/22		8,030			8,237
	Discovery Communications LLC	2.950%	3/20/23		12,157			12,382
	Discovery Communications LLC	3.250%	4/1/23		3,000			3,083
	Discovery Communications LLC	3.800%	3/13/24		5,319			5,598
	Discovery Communications LLC	3.900%	11/15/24		12,667			13,438
	Discovery Communications LLC	3.450%	3/15/25		7,192			7,441
	Discovery Communications LLC	3.950%	6/15/25		6,250			6,630
	Discovery Communications LLC	4.900%	3/11/26		5,625			6,282
	Discovery Communications LLC	3.950%	3/20/28		23,195			24,742
	Discovery Communications LLC	4.125%	5/15/29		5,450			5,852
	Discovery Communications LLC	5.000%	9/20/37		16,910			19,085
	Discovery Communications LLC	6.350%	6/1/40		10,651			13,434
	Discovery Communications LLC	4.950%	5/15/42		8,507			9,304
	Discovery Communications LLC	4.875%	4/1/43		12,062			13,083
	Discovery Communications LLC	5.200%	9/20/47		14,310			16,571
	Discovery Communications LLC	5.300%	5/15/49		3,145			3,721
	Electronic Arts Inc.	3.700%	3/1/21		10,090			10,266
	Electronic Arts Inc.	4.800%	3/1/26		5,040			5,672
7	Fox Corp.	3.666%	1/25/22		3,475			3,589
7	Fox Corp.	4.030%	1/25/24		14,590			15,538
7	Fox Corp.	4.709%	1/25/29		26,150			29,724
7	Fox Corp.	5.476%	1/25/39		12,400			15,076
7	Fox Corp.	5.576%	1/25/49		29,000			36,496
	Grupo Televisa SAB	6.625%	3/18/25		4,064			4,767
	Grupo Televisa SAB	4.625%	1/30/26		2,825			3,041
	Grupo Televisa SAB	8.500%	3/11/32		460			623
	Grupo Televisa SAB	6.625%	1/15/40		6,543			8,217
	Grupo Televisa SAB	5.000%	5/13/45		20,316			21,420
	Grupo Televisa SAB	6.125%	1/31/46		8,328			10,100
	Grupo Televisa SAB	5.250%	5/24/49		2,950			3,188
	Interpublic Group of Cos. Inc.	3.750%	10/1/21		4,268			4,378
	Interpublic Group of Cos. Inc.	3.750%	2/15/23		9,525			9,948
	Interpublic Group of Cos. Inc.	4.200%	4/15/24		7,155			7,685
	Interpublic Group of Cos. Inc.	4.650%	10/1/28		6,120			6,875
	Interpublic Group of Cos. Inc.	5.400%	10/1/48		11,885			14,552
	Koninklijke KPN NV	8.375%	10/1/30		5,000			6,938
	Moody's Corp.	3.250%	6/7/21		3,000			3,050
	Moody's Corp.	2.750%	12/15/21		5,915			6,000
	Moody's Corp.	4.500%	9/1/22		11,260			11,906
	Moody's Corp.	4.875%	2/15/24		7,160			7,876
	Moody's Corp.	4.250%	2/1/29		1,500			1,694
	Moody's Corp.	5.250%	7/15/44		7,325			9,323
	NBCUniversal Media LLC	4.375%	4/1/21		17,565			18,111
	NBCUniversal Media LLC	2.875%	1/15/23		17,369			17,825
	NBCUniversal Media LLC	6.400%	4/30/40		10,415			14,557
	NBCUniversal Media LLC	5.950%	4/1/41		5,480			7,532
	NBCUniversal Media LLC	4.450%	1/15/43		11,222			13,014
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22		13,418			13,877
	Omnicom Group Inc. / Omnicom Capital Inc.	3.650%	11/1/24		10,006			10,524
	Omnicom Group Inc. / Omnicom Capital Inc.	3.600%	4/15/26		15,226			16,008
	Orange SA	4.125%	9/14/21		25,616			26,552
	Orange SA	9.000%	3/1/31		23,435			36,252

69

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Orange SA	5.375%	1/13/42		17,000			21,778
Orange SA	5.500%	2/6/44		881			1,168
RELX Capital Inc.	3.125%	10/15/22		13,043			13,486
RELX Capital Inc.	3.500%	3/16/23		6,592			6,842
RELX Capital Inc.	4.000%	3/18/29		5,050			5,470
Rogers Communications Inc.	3.000%	3/15/23		5,269			5,398
Rogers Communications Inc.	4.100%	10/1/23		6,060			6,457
Rogers Communications Inc.	3.625%	12/15/25		5,540			5,864
Rogers Communications Inc.	2.900%	11/15/26		7,055			7,165
Rogers Communications Inc.	7.500%	8/15/38		1,698			2,473
Rogers Communications Inc.	4.500%	3/15/43		8,038			8,810
Rogers Communications Inc.	5.000%	3/15/44		5,000			6,052
Rogers Communications Inc.	4.300%	2/15/48		6,000			6,561
Rogers Communications Inc.	4.350%	5/1/49		25,136			27,927
Rogers Communications Inc.	3.700%	11/15/49		8,200			8,247
S&P Global Inc.	4.000%	6/15/25		9,389			10,163
S&P Global Inc.	4.400%	2/15/26		10,030			11,143
S&P Global Inc.	2.950%	1/22/27		1,000			1,032
S&P Global Inc.	2.500%	12/1/29		5,500			5,511
S&P Global Inc.	4.500%	5/15/48		5,635			6,831
S&P Global Inc.	3.250%	12/1/49		8,800			8,983
TCI Communications Inc.	7.875%	2/15/26		5,443			7,062
TCI Communications Inc.	7.125%	2/15/28		2,972			3,930
Telefonica Emisiones SAU	5.462%	2/16/21		27,749			28,791
Telefonica Emisiones SAU	4.570%	4/27/23		8,757			9,410
Telefonica Emisiones SAU	4.103%	3/8/27		19,185			20,723
Telefonica Emisiones SAU	7.045%	6/20/36		20,222			28,448
Telefonica Emisiones SAU	4.665%	3/6/38		14,422			16,274
Telefonica Emisiones SAU	5.213%	3/8/47		34,110			40,490
Telefonica Emisiones SAU	4.895%	3/6/48		13,150			15,057
Telefonica Emisiones SAU	5.520%	3/1/49		13,725			17,168
Telefonica Europe BV	8.250%	9/15/30		7,027			10,102
TELUS Corp.	2.800%	2/16/27		9,635			9,641
TELUS Corp.	3.700%	9/15/27		805			846
TELUS Corp.	4.300%	6/15/49		11,840			13,062
Thomson Reuters Corp.	4.300%	11/23/23		9,483			10,175
Thomson Reuters Corp.	3.350%	5/15/26		5,200			5,341
Thomson Reuters Corp.	5.500%	8/15/35		8,250			9,223
Thomson Reuters Corp.	5.850%	4/15/40		3,795			4,533
Thomson Reuters Corp.	5.650%	11/23/43		4,525			5,332
Time Warner Cable LLC	4.125%	2/15/21		3,117			3,166
Time Warner Cable LLC	4.000%	9/1/21		15,622			15,993
Time Warner Cable LLC	6.550%	5/1/37		14,323			17,552
Time Warner Cable LLC	7.300%	7/1/38		16,748			21,912
Time Warner Cable LLC	6.750%	6/15/39		23,167			29,238
Time Warner Cable LLC	5.875%	11/15/40		18,908			21,661
Time Warner Cable LLC	5.500%	9/1/41		14,963			16,695
Time Warner Cable LLC	4.500%	9/15/42		24,545			24,870
Time Warner Entertainment Co. LP	8.375%	3/15/23		1,000			1,181
Time Warner Entertainment Co. LP	8.375%	7/15/33		7,193			10,097
Verizon Communications Inc.	3.450%	3/15/21		10,845			11,053
Verizon Communications Inc.	4.600%	4/1/21		10,950			11,317
Verizon Communications Inc.	2.946%	3/15/22		10,500			10,715
Verizon Communications Inc.	3.125%	3/16/22		13,953			14,302
Verizon Communications Inc.	2.450%	11/1/22		13,925			14,099
Verizon Communications Inc.	5.150%	9/15/23		44,283			49,092
Verizon Communications Inc.	4.150%	3/15/24		7,845			8,444
Verizon Communications Inc.	3.500%	11/1/24		21,930			23,211
Verizon Communications Inc.	3.376%	2/15/25		40,089			42,379
Verizon Communications Inc.	2.625%	8/15/26		33,430			33,888
Verizon Communications Inc.	4.125%	3/16/27		34,602			38,257
Verizon Communications Inc.	4.329%	9/21/28		56,949			64,555
Verizon Communications Inc.	3.875%	2/8/29		1,100			1,211
Verizon Communications Inc.	4.016%	12/3/29		49,965			55,622

70

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Verizon Communications Inc.	4.500%	8/10/33		44,934			52,159
Verizon Communications Inc.	4.400%	11/1/34		32,909			38,066
Verizon Communications Inc.	4.272%	1/15/36		39,004			43,949
Verizon Communications Inc.	5.250%	3/16/37		39,722			49,841
Verizon Communications Inc.	4.812%	3/15/39		18,910			22,866
Verizon Communications Inc.	4.750%	11/1/41		14,140			17,088
Verizon Communications Inc.	3.850%	11/1/42		9,617			10,294
Verizon Communications Inc.	4.125%	8/15/46		19,807			22,321
Verizon Communications Inc.	4.862%	8/21/46		70,458			87,231
Verizon Communications Inc.	4.522%	9/15/48		33,890			40,463
Verizon Communications Inc.	5.012%	4/15/49		29,414			37,613
Verizon Communications Inc.	4.672%	3/15/55		35,000			42,945
ViacomCBS Inc.	4.300%	2/15/21		5,630			5,733
ViacomCBS Inc.	3.875%	12/15/21		9,908			10,249
ViacomCBS Inc.	3.375%	3/1/22		7,037			7,199
ViacomCBS Inc.	2.500%	2/15/23		11,025			11,139
ViacomCBS Inc.	2.900%	6/1/23		4,475			4,553
ViacomCBS Inc.	4.250%	9/1/23		13,768			14,655
ViacomCBS Inc.	3.875%	4/1/24		10,430			11,033
ViacomCBS Inc.	3.700%	8/15/24		6,775			7,144
ViacomCBS Inc.	3.500%	1/15/25		3,853			4,031
ViacomCBS Inc.	4.000%	1/15/26		8,574			9,180
ViacomCBS Inc.	2.900%	1/15/27		11,770			11,762
ViacomCBS Inc.	3.375%	2/15/28		5,525			5,690
ViacomCBS Inc.	3.700%	6/1/28		9,285			9,683
ViacomCBS Inc.	7.875%	7/30/30		2,339			3,239
ViacomCBS Inc.	5.500%	5/15/33		3,065			3,657
ViacomCBS Inc.	6.875%	4/30/36		10,012			13,402
ViacomCBS Inc.	5.900%	10/15/40		3,150			3,811
ViacomCBS Inc.	4.850%	7/1/42		8,636			9,535
ViacomCBS Inc.	4.375%	3/15/43		26,403			27,950
ViacomCBS Inc.	5.850%	9/1/43		11,315			14,177
ViacomCBS Inc.	4.900%	8/15/44		10,454			11,818
ViacomCBS Inc.	4.600%	1/15/45		6,340			6,992
Vodafone Group plc	3.750%	1/16/24		41,050			43,293
Vodafone Group plc	4.125%	5/30/25		18,446			19,930
Vodafone Group plc	4.375%	5/30/28		42,615			47,117
Vodafone Group plc	7.875%	2/15/30		2,878			3,986
Vodafone Group plc	6.250%	11/30/32		8,100			10,253
Vodafone Group plc	6.150%	2/27/37		4,118			5,293
Vodafone Group plc	5.000%	5/30/38		24,024			27,991
Vodafone Group plc	4.375%	2/19/43		15,624			16,794
Vodafone Group plc	5.250%	5/30/48		42,757			51,659
Vodafone Group plc	4.875%	6/19/49		16,900			19,447
Vodafone Group plc	4.250%	9/17/50		20,950			21,761
Walt Disney Co.	2.300%	2/12/21		10,000			10,052
Walt Disney Co.	4.500%	2/15/21		14,410			14,826
Walt Disney Co.	3.750%	6/1/21		2,000			2,053
Walt Disney Co.	2.750%	8/16/21		5,000			5,071
Walt Disney Co.	2.550%	2/15/22		4,081			4,143
Walt Disney Co.	2.450%	3/4/22		3,375			3,426
Walt Disney Co.	1.650%	9/1/22		5,000			4,983
Walt Disney Co.	3.000%	9/15/22		16,810			17,310
Walt Disney Co.	2.350%	12/1/22		4,386			4,449
Walt Disney Co.	1.750%	8/30/24		8,000			7,910
Walt Disney Co.	3.700%	9/15/24		4,785			5,113
Walt Disney Co.	3.150%	9/17/25		8,280			8,796
Walt Disney Co.	3.700%	10/15/25		6,890			7,451
Walt Disney Co.	3.000%	2/13/26		9,875			10,388
Walt Disney Co.	1.850%	7/30/26		27,930			27,395
Walt Disney Co.	3.375%	11/15/26		7,880			8,429
Walt Disney Co.	2.000%	9/1/29		22,200			21,516
Walt Disney Co.	7.000%	3/1/32		2,843			4,118
Walt Disney Co.	6.550%	3/15/33		13,190			18,580

71

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Walt Disney Co.	6.200%	12/15/34		15,716			21,918
Walt Disney Co.	6.400%	12/15/35		15,745			22,511
Walt Disney Co.	6.150%	3/1/37		12,250			17,046
Walt Disney Co.	6.650%	11/15/37		4,000			5,943
Walt Disney Co.	4.375%	8/16/41		8,350			9,952
Walt Disney Co.	4.125%	12/1/41		11,524			13,288
Walt Disney Co.	3.700%	12/1/42		9,067			9,874
Walt Disney Co.	5.400%	10/1/43		10,480			14,198
Walt Disney Co.	4.750%	9/15/44		12,400			15,621
Walt Disney Co.	3.000%	7/30/46		2,195			2,154
Walt Disney Co.	2.750%	9/1/49		16,750			15,739
Weibo Corp.	3.500%	7/5/24		8,900			9,073
WPP Finance 2010	3.625%	9/7/22		9,506			9,829
WPP Finance 2010	3.750%	9/19/24		5,115			5,380
Consumer Cyclical (1.9%)
Advance Auto Parts Inc.	4.500%	1/15/22		2,730			2,834
Advance Auto Parts Inc.	4.500%	12/1/23		5,176			5,550
Alibaba Group Holding Ltd.	3.125%	11/28/21		16,440			16,760
Alibaba Group Holding Ltd.	2.800%	6/6/23		8,200			8,327
Alibaba Group Holding Ltd.	3.600%	11/28/24		19,819			20,818
Alibaba Group Holding Ltd.	3.400%	12/6/27		28,190			29,378
Alibaba Group Holding Ltd.	4.500%	11/28/34		7,010			7,934
Alibaba Group Holding Ltd.	4.000%	12/6/37		10,725			11,521
Alibaba Group Holding Ltd.	4.200%	12/6/47		18,750			20,794
Alibaba Group Holding Ltd.	4.400%	12/6/57		11,550			13,194
Amazon.com Inc.	3.300%	12/5/21		23,674			24,338
Amazon.com Inc.	2.500%	11/29/22		7,143			7,280
Amazon.com Inc.	2.400%	2/22/23		15,730			15,959
Amazon.com Inc.	2.800%	8/22/24		28,410			29,401
Amazon.com Inc.	3.800%	12/5/24		7,241			7,826
Amazon.com Inc.	5.200%	12/3/25		17,230			19,999
Amazon.com Inc.	3.150%	8/22/27		16,655			17,597
Amazon.com Inc.	4.800%	12/5/34		19,729			24,854
Amazon.com Inc.	3.875%	8/22/37		30,310			34,435
Amazon.com Inc.	4.950%	12/5/44		17,536			22,941
Amazon.com Inc.	4.050%	8/22/47		22,192			25,993
Amazon.com Inc.	4.250%	8/22/57		32,745			39,794
American Honda Finance Corp.	3.150%	1/8/21		9,675			9,793
American Honda Finance Corp.	2.650%	2/12/21		12,280			12,393
American Honda Finance Corp.	1.650%	7/12/21		11,005			10,970
American Honda Finance Corp.	1.700%	9/9/21		25,950			25,883
American Honda Finance Corp.	3.375%	12/10/21		3,250			3,348
American Honda Finance Corp.	2.200%	6/27/22		8,135			8,191
American Honda Finance Corp.	2.600%	11/16/22		6,100			6,216
American Honda Finance Corp.	2.050%	1/10/23		6,495			6,514
American Honda Finance Corp.	3.450%	7/14/23		5,150			5,388
American Honda Finance Corp.	3.625%	10/10/23		1,100			1,160
American Honda Finance Corp.	2.900%	2/16/24		12,325			12,681
American Honda Finance Corp.	2.400%	6/27/24		7,150			7,233
American Honda Finance Corp.	2.150%	9/10/24		18,895			18,899
American Honda Finance Corp.	2.300%	9/9/26		5,850			5,831
American Honda Finance Corp.	3.500%	2/15/28		5,550			5,969
Aptiv Corp.	4.150%	3/15/24		7,520			7,952
Aptiv plc	4.250%	1/15/26		9,325			10,042
Aptiv plc	4.350%	3/15/29		1,900			2,060
Aptiv plc	4.400%	10/1/46		4,220			4,038
Aptiv plc	5.400%	3/15/49		4,200			4,733
Automatic Data Processing Inc.	3.375%	9/15/25		11,430			12,133
AutoNation Inc.	3.350%	1/15/21		5,255			5,301
AutoNation Inc.	3.500%	11/15/24		5,163			5,318
AutoNation Inc.	4.500%	10/1/25		10,875			11,685
AutoNation Inc.	3.800%	11/15/27		6,865			6,924
AutoZone Inc.	2.500%	4/15/21		3,605			3,622

72

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	AutoZone Inc.	3.700%	4/15/22		9,361			9,658
	AutoZone Inc.	2.875%	1/15/23		5,891			5,994
	AutoZone Inc.	3.125%	7/15/23		660			678
	AutoZone Inc.	3.125%	4/18/24		2,400			2,493
	AutoZone Inc.	3.250%	4/15/25		10,625			11,059
	AutoZone Inc.	3.125%	4/21/26		8,980			9,248
	AutoZone Inc.	3.750%	6/1/27		5,425			5,784
	AutoZone Inc.	3.750%	4/18/29		7,225			7,722
	Best Buy Co. Inc.	5.500%	3/15/21		2,911			3,000
	Best Buy Co. Inc.	4.450%	10/1/28		10,000			10,942
	Block Financial LLC	5.500%	11/1/22		2,865			3,065
	Block Financial LLC	5.250%	10/1/25		12,310			13,469
	Booking Holdings Inc.	2.750%	3/15/23		6,427			6,558
	Booking Holdings Inc.	3.650%	3/15/25		4,325			4,615
	Booking Holdings Inc.	3.600%	6/1/26		23,685			25,302
	Booking Holdings Inc.	3.550%	3/15/28		7,510			7,988
	BorgWarner Inc.	3.375%	3/15/25		1,720			1,794
	BorgWarner Inc.	4.375%	3/15/45		6,815			6,934
	Choice Hotels International Inc.	5.750%	7/1/22		1,050			1,133
	Costco Wholesale Corp.	2.150%	5/18/21		7,135			7,168
	Costco Wholesale Corp.	2.250%	2/15/22		4,298			4,341
	Costco Wholesale Corp.	2.300%	5/18/22		11,626			11,767
	Costco Wholesale Corp.	2.750%	5/18/24		15,509			15,993
	Costco Wholesale Corp.	3.000%	5/18/27		12,363			13,046
	Cummins Inc.	3.650%	10/1/23		2,200			2,327
	Cummins Inc.	7.125%	3/1/28		1,750			2,326
	Cummins Inc.	4.875%	10/1/43		8,520			10,390
	Daimler Finance North America LLC	8.500%	1/18/31		12,712			18,902
	Darden Restaurants Inc.	3.850%	5/1/27		5,550			5,810
	Darden Restaurants Inc.	4.550%	2/15/48		5,270			5,339
	Dollar General Corp.	3.250%	4/15/23		12,970			13,389
	Dollar General Corp.	4.150%	11/1/25		7,248			7,873
	Dollar General Corp.	3.875%	4/15/27		5,042			5,403
	Dollar General Corp.	4.125%	5/1/28		8,074			8,835
	Dollar Tree Inc.	3.700%	5/15/23		7,300			7,597
	Dollar Tree Inc.	4.000%	5/15/25		17,380			18,576
	Dollar Tree Inc.	4.200%	5/15/28		13,075			14,006
	DR Horton Inc.	2.550%	12/1/20		2,730			2,742
	DR Horton Inc.	4.375%	9/15/22		6,030			6,321
	DR Horton Inc.	4.750%	2/15/23		3,193			3,397
	DR Horton Inc.	5.750%	8/15/23		6,845			7,566
	DR Horton Inc.	2.500%	10/15/24		8,000			8,001
	eBay Inc.	2.875%	8/1/21		7,685			7,774
	eBay Inc.	3.800%	3/9/22		6,032			6,234
	eBay Inc.	2.600%	7/15/22		8,305			8,377
	eBay Inc.	2.750%	1/30/23		8,315			8,431
	eBay Inc.	3.450%	8/1/24		8,596			8,955
	eBay Inc.	3.600%	6/5/27		8,725			9,106
	eBay Inc.	4.000%	7/15/42		10,284			10,136
	Expedia Group Inc.	4.500%	8/15/24		11,255			12,038
	Expedia Group Inc.	5.000%	2/15/26		9,123			10,008
	Expedia Group Inc.	3.800%	2/15/28		11,985			12,217
7	Expedia Group Inc.	3.250%	2/15/30		10,175			9,782
	Ford Holdings LLC	9.300%	3/1/30		4,325			5,448
	Ford Motor Co.	4.346%	12/8/26		15,858			16,333
	Ford Motor Co.	6.625%	10/1/28		8,571			9,445
	Ford Motor Co.	6.375%	2/1/29		6,944			7,435
	Ford Motor Co.	7.450%	7/16/31		14,306			16,882
	Ford Motor Co.	4.750%	1/15/43		9,583			8,492
	Ford Motor Co.	7.400%	11/1/46		7,710			8,650
	Ford Motor Co.	5.291%	12/8/46		15,070			14,248
	Ford Motor Credit Co. LLC	2.343%	11/2/20		16,582			16,548
	Ford Motor Credit Co. LLC	3.200%	1/15/21		14,578			14,629
	Ford Motor Credit Co. LLC	5.750%	2/1/21		17,200			17,731

73

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Ford Motor Credit Co. LLC	3.336%	3/18/21		15,921			16,036
Ford Motor Credit Co. LLC	3.470%	4/5/21		310			313
Ford Motor Credit Co. LLC	5.875%	8/2/21		26,941			28,170
Ford Motor Credit Co. LLC	3.813%	10/12/21		12,000			12,200
Ford Motor Credit Co. LLC	5.596%	1/7/22		5,991			6,304
Ford Motor Credit Co. LLC	3.219%	1/9/22		12,067			12,139
Ford Motor Credit Co. LLC	3.339%	3/28/22		11,742			11,842
Ford Motor Credit Co. LLC	2.979%	8/3/22		23,850			23,858
Ford Motor Credit Co. LLC	4.250%	9/20/22		7,990			8,252
Ford Motor Credit Co. LLC	3.350%	11/1/22		18,000			18,166
Ford Motor Credit Co. LLC	3.096%	5/4/23		4,150			4,135
Ford Motor Credit Co. LLC	4.375%	8/6/23		13,410			13,901
Ford Motor Credit Co. LLC	3.810%	1/9/24		10,071			10,213
Ford Motor Credit Co. LLC	5.584%	3/18/24		13,422			14,476
Ford Motor Credit Co. LLC	3.664%	9/8/24		5,795			5,799
Ford Motor Credit Co. LLC	4.063%	11/1/24		10,000			10,198
Ford Motor Credit Co. LLC	4.687%	6/9/25		7,130			7,389
Ford Motor Credit Co. LLC	4.134%	8/4/25		17,913			18,137
Ford Motor Credit Co. LLC	4.389%	1/8/26		14,952			15,190
Ford Motor Credit Co. LLC	4.542%	8/1/26		8,500			8,688
Ford Motor Credit Co. LLC	3.815%	11/2/27		7,133			6,889
Ford Motor Credit Co. LLC	5.113%	5/3/29		12,350			12,688
General Motors Co.	4.875%	10/2/23		18,778			20,155
General Motors Co.	4.000%	4/1/25		5,381			5,602
General Motors Co.	4.200%	10/1/27		1,288			1,317
General Motors Co.	5.000%	10/1/28		8,433			9,136
General Motors Co.	5.000%	4/1/35		15,169			15,637
General Motors Co.	6.600%	4/1/36		12,842			15,114
General Motors Co.	5.150%	4/1/38		7,783			7,971
General Motors Co.	6.250%	10/2/43		17,143			19,164
General Motors Co.	5.200%	4/1/45		17,012			17,067
General Motors Co.	6.750%	4/1/46		13,368			15,659
General Motors Co.	5.400%	4/1/48		15,246			15,692
General Motors Co.	5.950%	4/1/49		8,629			9,548
General Motors Financial Co. Inc.	4.200%	3/1/21		15,688			16,017
General Motors Financial Co. Inc.	3.550%	4/9/21		7,760			7,881
General Motors Financial Co. Inc.	3.200%	7/6/21		11,731			11,873
General Motors Financial Co. Inc.	4.375%	9/25/21		6,900			7,145
General Motors Financial Co. Inc.	4.200%	11/6/21		4,800			4,963
General Motors Financial Co. Inc.	3.450%	1/14/22		6,389			6,537
General Motors Financial Co. Inc.	3.450%	4/10/22		15,710			16,068
General Motors Financial Co. Inc.	3.150%	6/30/22		8,815			8,977
General Motors Financial Co. Inc.	3.550%	7/8/22		6,350			6,533
General Motors Financial Co. Inc.	3.250%	1/5/23		3,895			3,972
General Motors Financial Co. Inc.	3.700%	5/9/23		13,060			13,464
General Motors Financial Co. Inc.	4.250%	5/15/23		13,292			13,992
General Motors Financial Co. Inc.	4.150%	6/19/23		8,700			9,144
General Motors Financial Co. Inc.	5.100%	1/17/24		16,650			18,067
General Motors Financial Co. Inc.	3.950%	4/13/24		14,911			15,585
General Motors Financial Co. Inc.	3.500%	11/7/24		18,702			19,244
General Motors Financial Co. Inc.	4.000%	1/15/25		11,201			11,770
General Motors Financial Co. Inc.	4.350%	4/9/25		10,565			11,304
General Motors Financial Co. Inc.	4.300%	7/13/25		10,334			11,026
General Motors Financial Co. Inc.	5.250%	3/1/26		9,925			11,004
General Motors Financial Co. Inc.	4.000%	10/6/26		10,971			11,472
General Motors Financial Co. Inc.	4.350%	1/17/27		19,380			20,403
General Motors Financial Co. Inc.	3.850%	1/5/28		7,550			7,671
General Motors Financial Co. Inc.	5.650%	1/17/29		8,225			9,331
GLP Capital LP / GLP Financing II Inc.	4.375%	4/15/21		1,000			1,018
GLP Capital LP / GLP Financing II Inc.	5.375%	11/1/23		5,700			6,195
GLP Capital LP / GLP Financing II Inc.	5.250%	6/1/25		10,275			11,202
GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26		10,020			10,952
GLP Capital LP / GLP Financing II Inc.	5.750%	6/1/28		1,050			1,186
GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29		3,975			4,428

74

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
GLP Capital LP / GLP Financing II Inc.	4.000%	1/15/30		7,800			7,941
Harley-Davidson Inc.	3.500%	7/28/25		9,360			9,702
Harley-Davidson Inc.	4.625%	7/28/45		7,540			7,751
Harman International Industries Inc.	4.150%	5/15/25		4,325			4,599
Home Depot Inc.	2.000%	4/1/21		12,534			12,565
Home Depot Inc.	4.400%	4/1/21		35,273			36,170
Home Depot Inc.	3.250%	3/1/22		5,565			5,747
Home Depot Inc.	2.625%	6/1/22		18,610			18,977
Home Depot Inc.	2.700%	4/1/23		5,130			5,253
Home Depot Inc.	3.750%	2/15/24		12,323			13,168
Home Depot Inc.	3.350%	9/15/25		5,665			6,050
Home Depot Inc.	3.000%	4/1/26		15,275			15,948
Home Depot Inc.	2.125%	9/15/26		12,675			12,639
Home Depot Inc.	2.800%	9/14/27		14,600			15,132
Home Depot Inc.	3.900%	12/6/28		6,500			7,252
Home Depot Inc.	2.950%	6/15/29		13,800			14,331
Home Depot Inc.	5.875%	12/16/36		33,228			45,739
Home Depot Inc.	5.400%	9/15/40		7,373			9,653
Home Depot Inc.	5.950%	4/1/41		12,878			18,100
Home Depot Inc.	4.200%	4/1/43		19,227			22,333
Home Depot Inc.	4.875%	2/15/44		10,693			13,537
Home Depot Inc.	4.400%	3/15/45		9,911			11,798
Home Depot Inc.	4.250%	4/1/46		13,943			16,425
Home Depot Inc.	3.900%	6/15/47		10,100			11,382
Home Depot Inc.	4.500%	12/6/48		10,930			13,463
Home Depot Inc.	3.500%	9/15/56		12,931			13,541
Hyatt Hotels Corp.	5.375%	8/15/21		1,347			1,405
Hyatt Hotels Corp.	3.375%	7/15/23		3,601			3,699
Hyatt Hotels Corp.	4.850%	3/15/26		1,275			1,411
Hyatt Hotels Corp.	4.375%	9/15/28		7,005			7,603
IHS Markit Ltd.	3.625%	5/1/24		5,170			5,364
IHS Markit Ltd.	4.750%	8/1/28		8,735			9,718
IHS Markit Ltd.	4.250%	5/1/29		7,395			7,968
JD.com Inc.	3.875%	4/29/26		5,420			5,617
Kohl's Corp.	3.250%	2/1/23		1,108			1,127
Kohl's Corp.	4.750%	12/15/23		584			622
Kohl's Corp.	4.250%	7/17/25		6,240			6,636
Kohl's Corp.	5.550%	7/17/45		5,465			5,566
Las Vegas Sands Corp.	3.200%	8/8/24		6,250			6,447
Las Vegas Sands Corp.	2.900%	6/25/25		7,500			7,575
Las Vegas Sands Corp.	3.500%	8/18/26		5,400			5,552
Las Vegas Sands Corp.	3.900%	8/8/29		4,050			4,225
Lear Corp.	5.250%	1/15/25		7,062			7,269
Lear Corp.	3.800%	9/15/27		4,825			4,878
Lear Corp.	4.250%	5/15/29		7,950			8,195
Lear Corp.	5.250%	5/15/49		8,030			8,344
Lowe's Cos. Inc.	3.750%	4/15/21		2,097			2,133
Lowe's Cos. Inc.	3.800%	11/15/21		2,300			2,367
Lowe's Cos. Inc.	3.120%	4/15/22		8,893			9,102
Lowe's Cos. Inc.	3.875%	9/15/23		14,594			15,445
Lowe's Cos. Inc.	3.125%	9/15/24		15,508			16,106
Lowe's Cos. Inc.	3.375%	9/15/25		15,075			15,842
Lowe's Cos. Inc.	2.500%	4/15/26		18,062			18,187
Lowe's Cos. Inc.	3.100%	5/3/27		18,303			18,893
Lowe's Cos. Inc.	6.500%	3/15/29		1,214			1,540
Lowe's Cos. Inc.	3.650%	4/5/29		15,200			16,227
Lowe's Cos. Inc.	4.650%	4/15/42		9,174			10,438
Lowe's Cos. Inc.	4.250%	9/15/44		3,855			4,156
Lowe's Cos. Inc.	4.375%	9/15/45		10,795			11,809
Lowe's Cos. Inc.	3.700%	4/15/46		16,236			16,502
Lowe's Cos. Inc.	4.050%	5/3/47		18,150			19,571
Lowe's Cos. Inc.	4.550%	4/5/49		12,000			14,002
Macy's Retail Holdings Inc.	3.450%	1/15/21		2,535			2,557
Macy's Retail Holdings Inc.	3.875%	1/15/22		623			635

75

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Macy's Retail Holdings Inc.	2.875%	2/15/23		13,725			13,663
Macy's Retail Holdings Inc.	3.625%	6/1/24		5,475			5,523
Macy's Retail Holdings Inc.	4.500%	12/15/34		4,559			4,327
Magna International Inc.	3.625%	6/15/24		13,927			14,631
Magna International Inc.	4.150%	10/1/25		1,708			1,836
Marriott International Inc.	2.875%	3/1/21		5,125			5,175
Marriott International Inc.	3.125%	10/15/21		4,202			4,269
Marriott International Inc.	2.300%	1/15/22		4,850			4,869
Marriott International Inc.	3.250%	9/15/22		4,500			4,618
Marriott International Inc.	2.125%	10/3/22		5,800			5,798
Marriott International Inc.	3.600%	4/15/24		2,900			3,047
Marriott International Inc.	3.750%	3/15/25		5,005			5,284
Marriott International Inc.	3.750%	10/1/25		4,510			4,788
Marriott International Inc.	3.125%	6/15/26		7,639			7,904
Marriott International Inc.	4.000%	4/15/28		8,642			9,315
Mastercard Inc.	2.000%	11/21/21		6,200			6,230
Mastercard Inc.	3.375%	4/1/24		10,137			10,744
Mastercard Inc.	2.000%	3/3/25		16,080			15,991
Mastercard Inc.	2.950%	11/21/26		12,190			12,713
Mastercard Inc.	3.500%	2/26/28		5,545			5,999
Mastercard Inc.	2.950%	6/1/29		12,000			12,509
Mastercard Inc.	3.800%	11/21/46		5,988			6,704
Mastercard Inc.	3.950%	2/26/48		6,840			7,890
Mastercard Inc.	3.650%	6/1/49		14,900			16,421
McDonald's Corp.	2.750%	12/9/20		10,406			10,472
McDonald's Corp.	3.625%	5/20/21		3,332			3,407
McDonald's Corp.	2.625%	1/15/22		16,462			16,684
McDonald's Corp.	3.350%	4/1/23		13,835			14,405
McDonald's Corp.	3.250%	6/10/24		2,735			2,864
McDonald's Corp.	3.375%	5/26/25		14,540			15,346
McDonald's Corp.	3.700%	1/30/26		18,474			19,824
McDonald's Corp.	3.500%	3/1/27		12,414			13,226
McDonald's Corp.	3.800%	4/1/28		22,200			24,077
McDonald's Corp.	2.625%	9/1/29		11,350			11,322
McDonald's Corp.	4.700%	12/9/35		11,607			13,794
McDonald's Corp.	6.300%	10/15/37		4,413			5,991
McDonald's Corp.	6.300%	3/1/38		11,731			15,962
McDonald's Corp.	5.700%	2/1/39		11,152			14,170
McDonald's Corp.	3.700%	2/15/42		7,379			7,523
McDonald's Corp.	3.625%	5/1/43		5,608			5,616
McDonald's Corp.	4.600%	5/26/45		7,296			8,366
McDonald's Corp.	4.875%	12/9/45		20,405			24,609
McDonald's Corp.	4.450%	3/1/47		9,117			10,447
McDonald's Corp.	4.450%	9/1/48		8,570			9,761
McDonald's Corp.	3.625%	9/1/49		11,655			11,829
NIKE Inc.	2.250%	5/1/23		2,240			2,277
NIKE Inc.	2.375%	11/1/26		18,230			18,527
NIKE Inc.	3.625%	5/1/43		8,079			8,807
NIKE Inc.	3.875%	11/1/45		14,504			16,502
NIKE Inc.	3.375%	11/1/46		8,120			8,562
Nordstrom Inc.	4.000%	10/15/21		9,606			9,855
Nordstrom Inc.	4.000%	3/15/27		4,290			4,446
Nordstrom Inc.	6.950%	3/15/28		760			918
Nordstrom Inc.	4.375%	4/1/30		4,500			4,584
Nordstrom Inc.	5.000%	1/15/44		10,622			10,305
NVR Inc.	3.950%	9/15/22		8,836			9,209
O'Reilly Automotive Inc.	4.875%	1/14/21		950			971
O'Reilly Automotive Inc.	4.625%	9/15/21		2,068			2,142
O'Reilly Automotive Inc.	3.800%	9/1/22		3,941			4,090
O'Reilly Automotive Inc.	3.850%	6/15/23		7,425			7,761
O'Reilly Automotive Inc.	3.550%	3/15/26		3,398			3,576
O'Reilly Automotive Inc.	3.600%	9/1/27		17,644			18,838
O'Reilly Automotive Inc.	4.350%	6/1/28		2,000			2,227
PACCAR Financial Corp.	2.050%	11/13/20		5,420			5,426

76

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
PACCAR Financial Corp.	2.250%	2/25/21		3,000			3,012
PACCAR Financial Corp.	2.800%	3/1/21		4,050			4,094
PACCAR Financial Corp.	3.150%	8/9/21		1,745			1,780
PACCAR Financial Corp.	2.850%	3/1/22		3,140			3,205
PACCAR Financial Corp.	2.650%	5/10/22		6,050			6,162
PACCAR Financial Corp.	2.300%	8/10/22		4,825			4,876
PACCAR Financial Corp.	2.000%	9/26/22		1,735			1,744
PACCAR Financial Corp.	3.400%	8/9/23		6,345			6,622
PACCAR Financial Corp.	2.150%	8/15/24		4,680			4,667
QVC Inc.	5.125%	7/2/22		4,306			4,535
QVC Inc.	4.375%	3/15/23		5,103			5,258
QVC Inc.	4.850%	4/1/24		7,558			7,934
QVC Inc.	4.450%	2/15/25		2,702			2,789
QVC Inc.	5.450%	8/15/34		7,309			6,982
QVC Inc.	5.950%	3/15/43		4,423			4,199
Ralph Lauren Corp.	3.750%	9/15/25		4,700			5,050
Royal Caribbean Cruises Ltd.	5.250%	11/15/22		4,650			5,016
Royal Caribbean Cruises Ltd.	3.700%	3/15/28		8,513			8,800
Sands China Ltd.	4.600%	8/8/23		19,445			20,442
Sands China Ltd.	5.125%	8/8/25		19,175			21,116
Sands China Ltd.	5.400%	8/8/28		20,375			22,922
Starbucks Corp.	2.100%	2/4/21		8,203			8,214
Starbucks Corp.	2.700%	6/15/22		4,075			4,152
Starbucks Corp.	3.100%	3/1/23		14,710			15,177
Starbucks Corp.	3.850%	10/1/23		7,520			7,966
Starbucks Corp.	3.800%	8/15/25		24,425			26,305
Starbucks Corp.	2.450%	6/15/26		11,586			11,698
Starbucks Corp.	3.500%	3/1/28		7,185			7,672
Starbucks Corp.	4.000%	11/15/28		7,725			8,547
Starbucks Corp.	3.550%	8/15/29		150			163
Starbucks Corp.	4.300%	6/15/45		4,131			4,568
Starbucks Corp.	3.750%	12/1/47		8,325			8,526
Starbucks Corp.	4.500%	11/15/48		10,727			12,315
Starbucks Corp.	4.450%	8/15/49		500			576
Tapestry Inc.	3.000%	7/15/22		3,764			3,811
Tapestry Inc.	4.250%	4/1/25		5,554			5,848
Tapestry Inc.	4.125%	7/15/27		8,540			8,695
Target Corp.	2.900%	1/15/22		13,417			13,726
Target Corp.	3.500%	7/1/24		15,242			16,322
Target Corp.	2.500%	4/15/26		10,568			10,811
Target Corp.	3.375%	4/15/29		11,525			12,505
Target Corp.	6.350%	11/1/32		5,291			7,395
Target Corp.	6.500%	10/15/37		5,137			7,601
Target Corp.	7.000%	1/15/38		5,545			8,609
Target Corp.	4.000%	7/1/42		21,677			24,802
Target Corp.	3.625%	4/15/46		11,175			12,216
Target Corp.	3.900%	11/15/47		5,625			6,455
TJX Cos. Inc.	2.750%	6/15/21		12,850			13,009
TJX Cos. Inc.	2.500%	5/15/23		10,068			10,258
TJX Cos. Inc.	2.250%	9/15/26		19,685			19,684
Toyota Motor Corp.	3.183%	7/20/21		11,105			11,330
Toyota Motor Corp.	2.157%	7/2/22		6,825			6,878
Toyota Motor Corp.	3.419%	7/20/23		13,875			14,543
Toyota Motor Corp.	2.358%	7/2/24		8,250			8,382
Toyota Motor Corp.	3.669%	7/20/28		5,900			6,481
Toyota Motor Corp.	2.760%	7/2/29		10,000			10,298
Toyota Motor Credit Corp.	3.050%	1/8/21		1,075			1,087
Toyota Motor Credit Corp.	4.250%	1/11/21		2,685			2,749
Toyota Motor Credit Corp.	1.900%	4/8/21		12,465			12,475
Toyota Motor Credit Corp.	2.950%	4/13/21		18,030			18,288
Toyota Motor Credit Corp.	2.750%	5/17/21		9,366			9,475
Toyota Motor Credit Corp.	3.400%	9/15/21		16,096			16,498
Toyota Motor Credit Corp.	1.800%	10/7/21		3,000			2,997
Toyota Motor Credit Corp.	2.600%	1/11/22		12,250			12,433

77

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Toyota Motor Credit Corp.	3.300%	1/12/22		17,136			17,612
Toyota Motor Credit Corp.	2.650%	4/12/22		15,100			15,346
Toyota Motor Credit Corp.	2.800%	7/13/22		3,883			3,970
Toyota Motor Credit Corp.	2.150%	9/8/22		16,385			16,512
Toyota Motor Credit Corp.	2.625%	1/10/23		9,305			9,485
Toyota Motor Credit Corp.	2.700%	1/11/23		8,290			8,458
Toyota Motor Credit Corp.	2.250%	10/18/23		5,803			5,849
Toyota Motor Credit Corp.	2.900%	4/17/24		11,700			12,104
Toyota Motor Credit Corp.	3.400%	4/14/25		12,715			13,523
Toyota Motor Credit Corp.	3.200%	1/11/27		9,105			9,625
Toyota Motor Credit Corp.	3.050%	1/11/28		11,951			12,535
Toyota Motor Credit Corp.	3.650%	1/8/29		4,870			5,354
VF Corp.	3.500%	9/1/21		5,550			5,675
VF Corp.	6.450%	11/1/37		5,194			7,217
Visa Inc.	2.200%	12/14/20		30,685			30,796
Visa Inc.	2.150%	9/15/22		6,009			6,074
Visa Inc.	2.800%	12/14/22		32,242			33,128
Visa Inc.	3.150%	12/14/25		65,357			69,005
Visa Inc.	2.750%	9/15/27		14,268			14,885
Visa Inc.	4.150%	12/14/35		20,427			24,078
Visa Inc.	4.300%	12/14/45		37,085			45,666
Visa Inc.	3.650%	9/15/47		7,700			8,634
Wal-Mart Stores Inc.	4.750%	10/2/43		11,932			15,151
Walgreen Co.	3.100%	9/15/22		12,647			12,898
Walgreen Co.	4.400%	9/15/42		8,399			8,338
Walgreens Boots Alliance Inc.	3.300%	11/18/21		12,535			12,769
Walgreens Boots Alliance Inc.	3.800%	11/18/24		20,266			21,086
Walgreens Boots Alliance Inc.	3.450%	6/1/26		20,555			20,860
Walgreens Boots Alliance Inc.	4.500%	11/18/34		3,370			3,469
Walgreens Boots Alliance Inc.	4.800%	11/18/44		15,574			15,847
Walgreens Boots Alliance Inc.	4.650%	6/1/46		6,681			6,696
Walmart Inc.	1.900%	12/15/20		33,107			33,150
Walmart Inc.	3.125%	6/23/21		12,150			12,400
Walmart Inc.	2.350%	12/15/22		27,712			28,181
Walmart Inc.	2.550%	4/11/23		24,210			24,700
Walmart Inc.	3.400%	6/26/23		12,750			13,388
Walmart Inc.	3.300%	4/22/24		22,273			23,383
Walmart Inc.	2.850%	7/8/24		8,450			8,743
Walmart Inc.	2.650%	12/15/24		18,905			19,483
Walmart Inc.	3.550%	6/26/25		23,175			24,797
Walmart Inc.	3.050%	7/8/26		14,500			15,227
Walmart Inc.	5.875%	4/5/27		13,915			17,135
Walmart Inc.	3.700%	6/26/28		25,155			27,693
Walmart Inc.	3.250%	7/8/29		11,500			12,330
Walmart Inc.	2.375%	9/24/29		6,550			6,557
Walmart Inc.	7.550%	2/15/30		6,755			9,777
Walmart Inc.	5.250%	9/1/35		20,867			27,357
Walmart Inc.	6.200%	4/15/38		9,629			14,020
Walmart Inc.	3.950%	6/28/38		10,548			12,248
Walmart Inc.	5.625%	4/1/40		7,070			9,810
Walmart Inc.	4.875%	7/8/40		6,215			7,861
Walmart Inc.	5.000%	10/25/40		3,315			4,314
Walmart Inc.	5.625%	4/15/41		6,542			9,324
Walmart Inc.	4.000%	4/11/43		12,897			14,843
Walmart Inc.	4.300%	4/22/44		7,303			8,727
Walmart Inc.	3.625%	12/15/47		7,065			7,820
Walmart Inc.	4.050%	6/29/48		28,075			33,059
Walmart Inc.	2.950%	9/24/49		7,645			7,484
Western Union Co.	3.600%	3/15/22		12,100			12,485
Western Union Co.	2.850%	1/10/25		5,700			5,716
Western Union Co.	6.200%	11/17/36		5,508			6,246
Western Union Co.	6.200%	6/21/40		3,400			3,748

78

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Consumer Noncyclical (4.4%)
	Abbott Laboratories	2.550%	3/15/22		8,950			9,095
	Abbott Laboratories	3.400%	11/30/23		22,043			23,150
	Abbott Laboratories	2.950%	3/15/25		7,835			8,125
	Abbott Laboratories	3.875%	9/15/25		6,245			6,798
	Abbott Laboratories	3.750%	11/30/26		22,152			24,173
	Abbott Laboratories	4.750%	11/30/36		27,975			34,859
	Abbott Laboratories	6.150%	11/30/37		6,141			8,601
	Abbott Laboratories	6.000%	4/1/39		2,050			2,916
	Abbott Laboratories	5.300%	5/27/40		3,564			4,651
	Abbott Laboratories	4.750%	4/15/43		8,775			11,022
	Abbott Laboratories	4.900%	11/30/46		37,410			48,846
	AbbVie Inc.	2.300%	5/14/21		22,736			22,803
	AbbVie Inc.	3.375%	11/14/21		10,000			10,248
7	AbbVie Inc.	2.150%	11/19/21		10,000			10,026
	AbbVie Inc.	2.900%	11/6/22		33,000			33,654
	AbbVie Inc.	3.200%	11/6/22		22,892			23,534
7	AbbVie Inc.	2.300%	11/21/22		33,475			33,600
	AbbVie Inc.	2.850%	5/14/23		15,825			16,128
	AbbVie Inc.	3.750%	11/14/23		14,000			14,727
7	AbbVie Inc.	2.600%	11/21/24		39,915			40,185
	AbbVie Inc.	3.600%	5/14/25		42,918			45,297
	AbbVie Inc.	3.200%	5/14/26		22,242			23,005
7	AbbVie Inc.	2.950%	11/21/26		43,280			43,882
	AbbVie Inc.	4.250%	11/14/28		18,725			20,698
7	AbbVie Inc.	3.200%	11/21/29		63,790			64,941
	AbbVie Inc.	4.500%	5/14/35		29,418			33,068
	AbbVie Inc.	4.300%	5/14/36		14,206			15,592
7	AbbVie Inc.	4.050%	11/21/39		43,600			45,555
	AbbVie Inc.	4.400%	11/6/42		29,816			32,145
	AbbVie Inc.	4.700%	5/14/45		33,942			37,889
	AbbVie Inc.	4.450%	5/14/46		26,422			28,443
	AbbVie Inc.	4.875%	11/14/48		19,725			22,647
7	AbbVie Inc.	4.250%	11/21/49		60,470			63,656
	Actavis Inc.	3.250%	10/1/22		22,592			23,086
	Adventist Health System	2.952%	3/1/29		6,875			6,784
	Adventist Health System	3.630%	3/1/49		4,750			4,624
	Advocate Health & Hospitals Corp.	3.829%	8/15/28		2,725			2,949
	Advocate Health & Hospitals Corp.	4.272%	8/15/48		4,925			5,603
	Advocate Health & Hospitals Corp.	3.387%	10/15/49		4,715			4,699
	Agilent Technologies Inc.	3.200%	10/1/22		6,175			6,317
	Agilent Technologies Inc.	3.875%	7/15/23		7,106			7,448
	Agilent Technologies Inc.	3.050%	9/22/26		5,775			5,888
	Ahold Finance USA LLC	6.875%	5/1/29		1,005			1,305
	AHS Hospital Corp.	5.024%	7/1/45		4,650			5,764
	Allergan Finance LLC	4.625%	10/1/42		9,274			9,651
	Allergan Funding SCS	3.450%	3/15/22		27,059			27,679
	Allergan Funding SCS	3.850%	6/15/24		13,471			14,113
	Allergan Funding SCS	3.800%	3/15/25		33,969			35,584
	Allergan Funding SCS	4.550%	3/15/35		17,490			18,573
	Allergan Funding SCS	4.850%	6/15/44		14,989			16,643
	Allergan Funding SCS	4.750%	3/15/45		5,365			5,831
	Allergan Inc.	2.800%	3/15/23		9,290			9,357
	Allina Health System	3.887%	4/15/49		4,725			5,028
	Altria Group Inc.	4.750%	5/5/21		10,697			11,067
	Altria Group Inc.	3.490%	2/14/22		12,150			12,500
	Altria Group Inc.	2.850%	8/9/22		15,220			15,499
	Altria Group Inc.	2.950%	5/2/23		12,540			12,680
	Altria Group Inc.	4.000%	1/31/24		14,955			15,841
	Altria Group Inc.	3.800%	2/14/24		9,407			9,889
	Altria Group Inc.	4.400%	2/14/26		17,305			18,793
	Altria Group Inc.	2.625%	9/16/26		4,285			4,234
	Altria Group Inc.	4.800%	2/14/29		30,095			33,418

79

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Altria Group Inc.	5.800%	2/14/39		30,400			35,548
Altria Group Inc.	4.250%	8/9/42		9,799			9,745
Altria Group Inc.	4.500%	5/2/43		11,067			11,234
Altria Group Inc.	5.375%	1/31/44		20,057			22,586
Altria Group Inc.	3.875%	9/16/46		10,320			9,584
Altria Group Inc.	5.950%	2/14/49		26,950			32,584
Altria Group Inc.	6.200%	2/14/59		6,183			7,308
AmerisourceBergen Corp.	3.500%	11/15/21		8,597			8,804
AmerisourceBergen Corp.	3.400%	5/15/24		6,762			7,008
AmerisourceBergen Corp.	3.250%	3/1/25		5,205			5,379
AmerisourceBergen Corp.	3.450%	12/15/27		9,350			9,695
AmerisourceBergen Corp.	4.250%	3/1/45		1,485			1,508
AmerisourceBergen Corp.	4.300%	12/15/47		12,940			13,266
Amgen Inc.	4.100%	6/15/21		13,330			13,669
Amgen Inc.	1.850%	8/19/21		8,341			8,325
Amgen Inc.	3.875%	11/15/21		8,830			9,108
Amgen Inc.	2.700%	5/1/22		6,522			6,608
Amgen Inc.	2.650%	5/11/22		16,011			16,241
Amgen Inc.	3.625%	5/15/22		17,254			17,843
Amgen Inc.	2.250%	8/19/23		15,000			15,128
Amgen Inc.	3.625%	5/22/24		20,855			22,014
Amgen Inc.	3.125%	5/1/25		11,672			12,184
Amgen Inc.	2.600%	8/19/26		24,312			24,568
Amgen Inc.	3.200%	11/2/27		9,290			9,737
Amgen Inc.	4.950%	10/1/41		11,363			13,494
Amgen Inc.	5.150%	11/15/41		7,290			8,817
Amgen Inc.	4.400%	5/1/45		30,237			33,892
Amgen Inc.	4.563%	6/15/48		19,991			23,062
Amgen Inc.	4.663%	6/15/51		42,483			49,953
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev World wide Inc.	4.900%	2/1/46		151,334			179,201
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	3.650%	2/1/26		47,434			50,496
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36		76,328			88,024
Anheuser-Busch InBev Finance Inc.	2.625%	1/17/23		11,685			11,880
Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23		31,750			32,847
Anheuser-Busch InBev Finance Inc.	3.700%	2/1/24		9,936			10,529
Anheuser-Busch InBev Finance Inc.	3.650%	2/1/26		9,405			10,046
Anheuser-Busch InBev Finance Inc.	4.700%	2/1/36		3,450			3,980
Anheuser-Busch InBev Finance Inc.	4.000%	1/17/43		16,219			17,107
Anheuser-Busch InBev Finance Inc.	4.625%	2/1/44		10,916			12,295
Anheuser-Busch InBev Finance Inc.	4.900%	2/1/46		8,410			9,918
Anheuser-Busch InBev Worldwide Inc.	4.375%	2/15/21		2,847			2,912
Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22		5,165			5,253
Anheuser-Busch InBev Worldwide Inc.	3.500%	1/12/24		8,125			8,558
Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25		27,035			29,411
Anheuser-Busch InBev Worldwide Inc.	4.000%	4/13/28		33,354			36,625
Anheuser-Busch InBev Worldwide Inc.	4.750%	1/23/29		56,145			65,019
Anheuser-Busch InBev Worldwide Inc.	4.900%	1/23/31		21,635			25,745
Anheuser-Busch InBev Worldwide Inc.	4.375%	4/15/38		18,135			20,335
Anheuser-Busch InBev Worldwide Inc.	8.200%	1/15/39		3,518			5,512
Anheuser-Busch InBev Worldwide Inc.	5.450%	1/23/39		5,425			6,821
Anheuser-Busch InBev Worldwide Inc.	4.950%	1/15/42		20,286			23,908
Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42		20,992			21,249
Anheuser-Busch InBev Worldwide Inc.	4.600%	4/15/48		25,530			29,013
Anheuser-Busch InBev Worldwide Inc.	4.439%	10/6/48		24,891			27,813
Anheuser-Busch InBev Worldwide Inc.	5.550%	1/23/49		43,983			57,009
Anheuser-Busch InBev Worldwide Inc.	4.750%	4/15/58		17,300			20,195
Anheuser-Busch InBev Worldwide Inc.	5.800%	1/23/59		12,075			16,457
Archer-Daniels-Midland Co.	4.479%	3/1/21		5,758			5,925
Archer-Daniels-Midland Co.	3.375%	3/15/22		7,000			7,203
Archer-Daniels-Midland Co.	2.500%	8/11/26		12,567			12,758
Archer-Daniels-Midland Co.	5.935%	10/1/32		3,305			4,324

80

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Archer-Daniels-Midland Co.	5.375%	9/15/35		1,863			2,354
	Archer-Daniels-Midland Co.	4.535%	3/26/42		11,000			13,051
	Archer-Daniels-Midland Co.	4.016%	4/16/43		7,769			8,604
	Archer-Daniels-Midland Co.	3.750%	9/15/47		6,375			6,942
	Archer-Daniels-Midland Co.	4.500%	3/15/49		6,725			8,204
	Ascension Health	2.532%	11/15/29		6,544			6,460
	Ascension Health	3.106%	11/15/39		5,000			4,917
	Ascension Health	3.945%	11/15/46		5,285			5,842
4	Ascension Health	4.847%	11/15/53		7,500			9,443
	AstraZeneca plc	2.375%	6/12/22		10,125			10,206
	AstraZeneca plc	3.500%	8/17/23		11,425			11,939
	AstraZeneca plc	3.375%	11/16/25		24,935			26,421
	AstraZeneca plc	3.125%	6/12/27		8,705			9,055
	AstraZeneca plc	4.000%	1/17/29		12,250			13,582
	AstraZeneca plc	6.450%	9/15/37		25,694			35,971
	AstraZeneca plc	4.000%	9/18/42		14,086			15,536
	AstraZeneca plc	4.375%	11/16/45		13,134			15,378
	AstraZeneca plc	4.375%	8/17/48		8,555			10,180
	BAT Capital Corp.	2.764%	8/15/22		19,575			19,844
	BAT Capital Corp.	3.222%	8/15/24		28,700			29,317
	BAT Capital Corp.	2.789%	9/6/24		11,875			11,939
	BAT Capital Corp.	3.215%	9/6/26		12,650			12,712
	BAT Capital Corp.	3.557%	8/15/27		39,365			40,077
	BAT Capital Corp.	3.462%	9/6/29		6,150			6,231
	BAT Capital Corp.	4.390%	8/15/37		29,695			30,101
	BAT Capital Corp.	4.540%	8/15/47		18,200			18,196
	BAT Capital Corp.	4.758%	9/6/49		12,165			12,549
	Baxalta Inc.	3.600%	6/23/22		1,627			1,669
	Baxalta Inc.	4.000%	6/23/25		8,830			9,474
	Baxalta Inc.	5.250%	6/23/45		3,411			4,347
	Baxter International Inc.	1.700%	8/15/21		7,800			7,786
	Baxter International Inc.	2.600%	8/15/26		5,125			5,159
	Baxter International Inc.	3.500%	8/15/46		5,350			5,168
	Baylor Scott & White Holdings	4.185%	11/15/45		6,860			7,659
	Baylor Scott & White Holdings	3.967%	11/15/46		795			860
	Beam Suntory Inc.	3.250%	5/15/22		2,300			2,344
	Beam Suntory Inc.	3.250%	6/15/23		1,050			1,067
	Becton Dickinson & Co.	3.125%	11/8/21		12,608			12,848
	Becton Dickinson & Co.	2.894%	6/6/22		19,255			19,563
	Becton Dickinson & Co.	3.300%	3/1/23		4,700			4,786
	Becton Dickinson & Co.	3.875%	5/15/24		100			105
	Becton Dickinson & Co.	3.363%	6/6/24		19,815			20,595
	Becton Dickinson & Co.	3.734%	12/15/24		14,946			15,835
	Becton Dickinson & Co.	6.700%	12/1/26		3,450			4,122
	Becton Dickinson & Co.	3.700%	6/6/27		24,256			25,788
	Becton Dickinson & Co.	4.875%	5/15/44		1,428			1,642
	Becton Dickinson & Co.	4.685%	12/15/44		11,607			13,466
	Becton Dickinson & Co.	4.669%	6/6/47		17,000			20,122
	Bestfoods	7.250%	12/15/26		250			324
	Bio-Rad Laboratories Inc.	4.875%	12/15/20		3,450			3,532
	Biogen Inc.	3.625%	9/15/22		12,379			12,879
	Biogen Inc.	4.050%	9/15/25		22,510			24,453
	Biogen Inc.	5.200%	9/15/45		20,275			24,383
	Boston Scientific Corp.	3.375%	5/15/22		4,047			4,177
	Boston Scientific Corp.	3.450%	3/1/24		5,600			5,854
	Boston Scientific Corp.	3.850%	5/15/25		6,471			6,938
	Boston Scientific Corp.	3.750%	3/1/26		6,505			6,966
	Boston Scientific Corp.	4.000%	3/1/29		9,708			10,716
	Boston Scientific Corp.	7.000%	11/15/35		6,095			8,508
	Boston Scientific Corp.	4.550%	3/1/39		8,945			10,493
	Boston Scientific Corp.	7.375%	1/15/40		1,415			2,156
	Boston Scientific Corp.	4.700%	3/1/49		12,320			14,910
7	Bristol-Myers Squibb Co.	2.875%	2/19/21		2,375			2,399
7	Bristol-Myers Squibb Co.	2.550%	5/14/21		14,100			14,238

81

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
7	Bristol-Myers Squibb Co.	2.250%	8/15/21		4,355			4,380
7	Bristol-Myers Squibb Co.	2.600%	5/16/22		16,450			16,711
	Bristol-Myers Squibb Co.	2.000%	8/1/22		10,515			10,582
7	Bristol-Myers Squibb Co.	3.250%	8/15/22		13,300			13,708
7	Bristol-Myers Squibb Co.	3.550%	8/15/22		6,555			6,773
7	Bristol-Myers Squibb Co.	2.750%	2/15/23		7,550			7,670
7	Bristol-Myers Squibb Co.	3.250%	2/20/23		7,355			7,557
	Bristol-Myers Squibb Co.	7.150%	6/15/23		400			466
7	Bristol-Myers Squibb Co.	4.000%	8/15/23		5,395			5,749
	Bristol-Myers Squibb Co.	3.250%	11/1/23		5,200			5,432
7	Bristol-Myers Squibb Co.	3.625%	5/15/24		17,418			18,331
7	Bristol-Myers Squibb Co.	2.900%	7/26/24		46,150			47,560
7	Bristol-Myers Squibb Co.	3.875%	8/15/25		31,693			34,226
7	Bristol-Myers Squibb Co.	3.200%	6/15/26		25,780			27,008
7	Bristol-Myers Squibb Co.	3.450%	11/15/27		8,687			9,238
7	Bristol-Myers Squibb Co.	3.900%	2/20/28		16,326			17,795
7	Bristol-Myers Squibb Co.	3.400%	7/26/29		48,830			52,163
7	Bristol-Myers Squibb Co.	4.125%	6/15/39		23,316			26,886
7	Bristol-Myers Squibb Co.	5.700%	10/15/40		4,725			6,284
	Bristol-Myers Squibb Co.	3.250%	8/1/42		7,021			7,063
7	Bristol-Myers Squibb Co.	5.250%	8/15/43		5,745			7,320
	Bristol-Myers Squibb Co.	4.500%	3/1/44		5,925			6,958
7	Bristol-Myers Squibb Co.	4.625%	5/15/44		9,939			11,957
7	Bristol-Myers Squibb Co.	5.000%	8/15/45		25,472			32,173
7	Bristol-Myers Squibb Co.	4.350%	11/15/47		17,133			20,381
7	Bristol-Myers Squibb Co.	4.550%	2/20/48		9,250			11,356
7	Bristol-Myers Squibb Co.	4.250%	10/26/49		42,685			50,308
	Brown-Forman Corp.	3.500%	4/15/25		4,310			4,591
	Brown-Forman Corp.	4.500%	7/15/45		5,778			7,103
	Bunge Ltd. Finance Corp.	3.000%	9/25/22		10,250			10,394
	Bunge Ltd. Finance Corp.	4.350%	3/15/24		7,000			7,351
	Bunge Ltd. Finance Corp.	3.250%	8/15/26		6,315			6,290
	Bunge Ltd. Finance Corp.	3.750%	9/25/27		7,000			7,194
	Campbell Soup Co.	3.300%	3/15/21		9,750			9,884
	Campbell Soup Co.	4.250%	4/15/21		1,641			1,693
	Campbell Soup Co.	2.500%	8/2/22		2,814			2,829
	Campbell Soup Co.	3.650%	3/15/23		12,990			13,529
	Campbell Soup Co.	3.950%	3/15/25		12,166			12,907
	Campbell Soup Co.	3.300%	3/19/25		7,225			7,427
	Campbell Soup Co.	4.150%	3/15/28		11,490			12,427
	Campbell Soup Co.	3.800%	8/2/42		3,628			3,551
	Campbell Soup Co.	4.800%	3/15/48		8,010			9,256
	Cardinal Health Inc.	4.625%	12/15/20		6,615			6,783
	Cardinal Health Inc.	2.616%	6/15/22		10,980			11,088
	Cardinal Health Inc.	3.200%	6/15/22		3,350			3,425
	Cardinal Health Inc.	3.200%	3/15/23		5,875			6,023
	Cardinal Health Inc.	3.079%	6/15/24		12,380			12,723
	Cardinal Health Inc.	3.500%	11/15/24		3,460			3,615
	Cardinal Health Inc.	3.750%	9/15/25		6,037			6,391
	Cardinal Health Inc.	3.410%	6/15/27		13,674			13,976
	Cardinal Health Inc.	4.600%	3/15/43		5,190			5,181
	Cardinal Health Inc.	4.500%	11/15/44		5,130			5,045
	Cardinal Health Inc.	4.900%	9/15/45		4,120			4,266
	Cardinal Health Inc.	4.368%	6/15/47		6,450			6,385
	Celgene Corp.	3.450%	11/15/27		275			293
	Children's Hospital Corp.	4.115%	1/1/47		2,300			2,612
	Children's Hospital Medical Center	4.268%	5/15/44		2,100			2,356
	CHRISTUS Health	4.341%	7/1/28		6,750			7,433
	Church & Dwight Co. Inc.	2.450%	8/1/22		2,080			2,099
	Church & Dwight Co. Inc.	3.150%	8/1/27		5,450			5,665
	Church & Dwight Co. Inc.	3.950%	8/1/47		4,125			4,494
7	Cigna Corp.	3.300%	2/25/21		21,600			21,870
	Cigna Corp.	3.400%	9/17/21		15,090			15,429
7	Cigna Corp.	4.750%	11/15/21		18,173			19,050

82

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
7	Cigna Corp.	3.900%	2/15/22		18,968			19,578
7	Cigna Corp.	4.000%	2/15/22		7,915			8,158
7	Cigna Corp.	3.050%	11/30/22		9,990			10,164
7	Cigna Corp.	3.000%	7/15/23		23,667			23,995
	Cigna Corp.	3.750%	7/15/23		12,370			12,906
7	Cigna Corp.	3.500%	6/15/24		10,587			11,020
7	Cigna Corp.	3.250%	4/15/25		14,795			15,219
	Cigna Corp.	4.125%	11/15/25		15,032			16,266
7	Cigna Corp.	4.500%	2/25/26		22,734			24,602
7	Cigna Corp.	3.400%	3/1/27		21,740			22,494
7	Cigna Corp.	7.875%	5/15/27		985			1,277
7	Cigna Corp.	3.050%	10/15/27		16,670			16,740
	Cigna Corp.	4.375%	10/15/28		34,300			37,964
	Cigna Corp.	4.800%	8/15/38		17,730			20,403
7	Cigna Corp.	6.125%	11/15/41		5,175			6,526
7	Cigna Corp.	5.375%	2/15/42		633			724
7	Cigna Corp.	4.800%	7/15/46		19,955			22,963
7	Cigna Corp.	3.875%	10/15/47		9,650			9,691
	Cigna Corp.	4.900%	12/15/48		33,855			40,143
	City of Hope	5.623%	11/15/43		2,040			2,698
	City of Hope	4.378%	8/15/48		9,600			11,025
	Cleveland Clinic Foundation	4.858%	1/1/14		4,285			5,326
	Clorox Co.	3.800%	11/15/21		1,780			1,838
	Clorox Co.	3.050%	9/15/22		6,422			6,573
	Clorox Co.	3.500%	12/15/24		6,250			6,605
	Clorox Co.	3.100%	10/1/27		6,097			6,330
	Clorox Co.	3.900%	5/15/28		6,400			7,021
	Coca-Cola Co.	1.875%	10/27/20		20,175			20,171
	Coca-Cola Co.	1.550%	9/1/21		10,575			10,558
	Coca-Cola Co.	3.300%	9/1/21		7,827			8,014
	Coca-Cola Co.	2.200%	5/25/22		5,347			5,398
	Coca-Cola Co.	2.500%	4/1/23		3,524			3,596
	Coca-Cola Co.	3.200%	11/1/23		15,959			16,751
	Coca-Cola Co.	1.750%	9/6/24		9,500			9,467
	Coca-Cola Co.	2.875%	10/27/25		15,265			15,904
	Coca-Cola Co.	2.550%	6/1/26		9,400			9,617
	Coca-Cola Co.	2.250%	9/1/26		21,030			21,160
	Coca-Cola Co.	2.900%	5/25/27		3,000			3,140
	Coca-Cola Co.	2.125%	9/6/29		7,000			6,805
	Coca-Cola Consolidated Inc.	3.800%	11/25/25		8,300			8,692
	Coca-Cola European Partners plc	3.250%	8/19/21		1,575			1,595
	Coca-Cola Femsa SAB de CV	3.875%	11/26/23		9,600			10,144
	Coca-Cola Femsa SAB de CV	5.250%	11/26/43		12,325			15,161
	Colgate-Palmolive Co.	2.450%	11/15/21		3,020			3,059
	Colgate-Palmolive Co.	2.300%	5/3/22		7,535			7,645
	Colgate-Palmolive Co.	2.250%	11/15/22		13,775			13,961
	Colgate-Palmolive Co.	1.950%	2/1/23		5,075			5,095
	Colgate-Palmolive Co.	2.100%	5/1/23		7,008			7,061
	Colgate-Palmolive Co.	3.250%	3/15/24		6,400			6,766
	Colgate-Palmolive Co.	4.000%	8/15/45		6,142			7,310
	Colgate-Palmolive Co.	3.700%	8/1/47		6,650			7,648
	CommonSpirit Health	2.950%	11/1/22		4,987			5,069
	CommonSpirit Health	2.760%	10/1/24		6,930			6,971
	CommonSpirit Health	3.347%	10/1/29		11,800			11,870
4	CommonSpirit Health	4.350%	11/1/42		10,750			11,040
	CommonSpirit Health	3.817%	10/1/49		3,000			2,914
	CommonSpirit Health	4.187%	10/1/49		11,560			11,528
	Conagra Brands Inc.	3.800%	10/22/21		11,950			12,313
	Conagra Brands Inc.	3.250%	9/15/22		9,012			9,216
	Conagra Brands Inc.	3.200%	1/25/23		8,728			8,991
	Conagra Brands Inc.	4.300%	5/1/24		13,125			14,096
	Conagra Brands Inc.	4.600%	11/1/25		8,340			9,188
	Conagra Brands Inc.	7.000%	10/1/28		1,070			1,324
	Conagra Brands Inc.	4.850%	11/1/28		16,195			18,484

83

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Conagra Brands Inc.	8.250%	9/15/30		5,707			7,845
Conagra Brands Inc.	5.300%	11/1/38		12,275			14,554
Conagra Brands Inc.	5.400%	11/1/48		11,310			13,768
Constellation Brands Inc.	3.750%	5/1/21		5,380			5,494
Constellation Brands Inc.	2.700%	5/9/22		8,350			8,453
Constellation Brands Inc.	2.650%	11/7/22		10,100			10,235
Constellation Brands Inc.	3.200%	2/15/23		8,250			8,465
Constellation Brands Inc.	4.250%	5/1/23		18,540			19,639
Constellation Brands Inc.	4.750%	11/15/24		8,143			8,991
Constellation Brands Inc.	4.400%	11/15/25		5,720			6,233
Constellation Brands Inc.	4.750%	12/1/25		4,030			4,483
Constellation Brands Inc.	3.700%	12/6/26		7,840			8,323
Constellation Brands Inc.	3.500%	5/9/27		5,400			5,624
Constellation Brands Inc.	3.600%	2/15/28		11,000			11,553
Constellation Brands Inc.	3.150%	8/1/29		10,500			10,608
Constellation Brands Inc.	4.500%	5/9/47		5,250			5,638
Constellation Brands Inc.	4.100%	2/15/48		6,280			6,557
Constellation Brands Inc.	5.250%	11/15/48		5,525			6,706
Covidien International Finance SA	3.200%	6/15/22		18,070			18,504
Covidien International Finance SA	2.950%	6/15/23		2,000			2,048
CVS Health Corp.	3.350%	3/9/21		22,348			22,678
CVS Health Corp.	2.125%	6/1/21		20,075			20,081
CVS Health Corp.	3.500%	7/20/22		12,500			12,902
CVS Health Corp.	2.750%	12/1/22		16,430			16,688
CVS Health Corp.	4.750%	12/1/22		5,000			5,321
CVS Health Corp.	3.700%	3/9/23		66,817			69,536
CVS Health Corp.	4.000%	12/5/23		13,511			14,291
CVS Health Corp.	3.375%	8/12/24		15,450			16,083
CVS Health Corp.	2.625%	8/15/24		1,000			1,009
CVS Health Corp.	4.100%	3/25/25		54,910			58,852
CVS Health Corp.	3.875%	7/20/25		42,433			45,202
CVS Health Corp.	2.875%	6/1/26		24,725			25,069
CVS Health Corp.	3.000%	8/15/26		2,550			2,599
CVS Health Corp.	6.250%	6/1/27		1,000			1,204
CVS Health Corp.	4.300%	3/25/28		101,915			111,073
CVS Health Corp.	3.250%	8/15/29		24,215			24,579
CVS Health Corp.	4.875%	7/20/35		2,525			2,877
CVS Health Corp.	4.780%	3/25/38		58,792			66,470
CVS Health Corp.	6.125%	9/15/39		4,857			6,230
CVS Health Corp.	5.300%	12/5/43		14,770			17,507
CVS Health Corp.	5.125%	7/20/45		45,745			53,864
CVS Health Corp.	5.050%	3/25/48		91,151			107,795
Danaher Corp.	3.350%	9/15/25		6,050			6,420
Danaher Corp.	4.375%	9/15/45		4,198			4,934
Dartmouth-Hitchcock Health	4.178%	8/1/48		4,600			5,088
Delhaize America LLC	9.000%	4/15/31		3,805			5,597
DH Europe Finance II Sarl	2.050%	11/15/22		11,000			10,988
DH Europe Finance II Sarl	2.200%	11/15/24		8,500			8,473
DH Europe Finance II Sarl	2.600%	11/15/29		9,045			9,006
DH Europe Finance II Sarl	3.250%	11/15/39		10,500			10,583
DH Europe Finance II Sarl	3.400%	11/15/49		10,275			10,501
Diageo Capital plc	2.625%	4/29/23		12,301			12,505
Diageo Capital plc	3.500%	9/18/23		270			283
Diageo Capital plc	2.125%	10/24/24		13,450			13,429
Diageo Capital plc	3.875%	5/18/28		3,500			3,818
Diageo Capital plc	2.375%	10/24/29		7,750			7,622
Diageo Capital plc	5.875%	9/30/36		2,872			3,907
Diageo Capital plc	3.875%	4/29/43		5,916			6,518
Diageo Investment Corp.	2.875%	5/11/22		16,825			17,143
Diageo Investment Corp.	7.450%	4/15/35		1,450			2,170
Diageo Investment Corp.	4.250%	5/11/42		4,747			5,473
Dignity Health	3.125%	11/1/22		2,000			2,038
Dignity Health	3.812%	11/1/24		4,675			4,899
Dignity Health	4.500%	11/1/42		6,025			6,266

84

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Dignity Health	5.267%	11/1/64		2,075			2,370
Duke University Health System Inc.	3.920%	6/1/47		6,005			6,689
Edwards Lifesciences Corp.	4.300%	6/15/28		5,025			5,569
Eli Lilly & Co.	2.350%	5/15/22		1,800			1,823
Eli Lilly & Co.	2.750%	6/1/25		6,901			7,110
Eli Lilly & Co.	3.375%	3/15/29		14,355			15,447
Eli Lilly & Co.	3.950%	3/15/49		21,650			24,930
Eli Lilly & Co.	4.150%	3/15/59		21,775			25,539
Estee Lauder Cos. Inc.	1.700%	5/10/21		6,195			6,181
Estee Lauder Cos. Inc.	3.150%	3/15/27		7,525			7,959
Estee Lauder Cos. Inc.	6.000%	5/15/37		3,212			4,411
Estee Lauder Cos. Inc.	4.375%	6/15/45		5,443			6,453
Estee Lauder Cos. Inc.	4.150%	3/15/47		7,625			8,868
Estee Lauder Cos. Inc.	3.125%	12/1/49		7,450			7,428
Flowers Foods Inc.	4.375%	4/1/22		3,637			3,788
Flowers Foods Inc.	3.500%	10/1/26		4,275			4,388
Fomento Economico Mexicano SAB de CV	2.875%	5/10/23		1,160			1,175
Fomento Economico Mexicano SAB de CV	4.375%	5/10/43		4,065			4,526
General Mills Inc.	3.150%	12/15/21		17,453			17,823
General Mills Inc.	2.600%	10/12/22		6,505			6,598
General Mills Inc.	3.700%	10/17/23		17,700			18,641
General Mills Inc.	3.650%	2/15/24		5,250			5,516
General Mills Inc.	4.000%	4/17/25		700			757
General Mills Inc.	3.200%	2/10/27		10,655			11,176
General Mills Inc.	4.200%	4/17/28		19,566			21,760
General Mills Inc.	4.550%	4/17/38		7,500			8,705
General Mills Inc.	5.400%	6/15/40		4,625			5,680
General Mills Inc.	4.150%	2/15/43		5,577			5,989
General Mills Inc.	4.700%	4/17/48		5,475			6,518
Gilead Sciences Inc.	4.500%	4/1/21		11,061			11,338
Gilead Sciences Inc.	4.400%	12/1/21		22,305			23,255
Gilead Sciences Inc.	3.250%	9/1/22		8,375			8,652
Gilead Sciences Inc.	2.500%	9/1/23		15,367			15,597
Gilead Sciences Inc.	3.700%	4/1/24		31,165			33,084
Gilead Sciences Inc.	3.500%	2/1/25		19,929			21,140
Gilead Sciences Inc.	3.650%	3/1/26		32,125			34,533
Gilead Sciences Inc.	2.950%	3/1/27		14,119			14,643
Gilead Sciences Inc.	4.600%	9/1/35		11,179			13,366
Gilead Sciences Inc.	4.000%	9/1/36		8,162			9,056
Gilead Sciences Inc.	5.650%	12/1/41		11,328			14,869
Gilead Sciences Inc.	4.800%	4/1/44		19,309			23,091
Gilead Sciences Inc.	4.500%	2/1/45		19,374			22,362
Gilead Sciences Inc.	4.750%	3/1/46		26,195			31,287
Gilead Sciences Inc.	4.150%	3/1/47		21,402			23,674
GlaxoSmithKline Capital Inc.	2.800%	3/18/23		10,745			10,998
GlaxoSmithKline Capital Inc.	3.375%	5/15/23		15,600			16,246
GlaxoSmithKline Capital Inc.	3.625%	5/15/25		18,725			20,035
GlaxoSmithKline Capital Inc.	3.875%	5/15/28		25,225			27,777
GlaxoSmithKline Capital Inc.	5.375%	4/15/34		4,861			6,197
GlaxoSmithKline Capital Inc.	6.375%	5/15/38		32,408			46,337
GlaxoSmithKline Capital Inc.	4.200%	3/18/43		3,330			3,863
GlaxoSmithKline Capital plc	3.125%	5/14/21		23,000			23,367
GlaxoSmithKline Capital plc	2.850%	5/8/22		11,931			12,188
GlaxoSmithKline Capital plc	2.875%	6/1/22		21,100			21,550
GlaxoSmithKline Capital plc	3.000%	6/1/24		11,780			12,211
GlaxoSmithKline Capital plc	3.375%	6/1/29		11,250			12,037
Hackensack Meridian Health Inc.	4.211%	7/1/48		6,225			6,989
Hackensack Meridian Health Inc.	4.500%	7/1/57		3,050			3,587
Hasbro Inc.	3.150%	5/15/21		1,660			1,677
Hasbro Inc.	3.500%	9/15/27		4,300			4,286
Hasbro Inc.	3.900%	11/19/29		4,350			4,377
Hasbro Inc.	6.350%	3/15/40		4,626			5,404
Hasbro Inc.	5.100%	5/15/44		7,002			6,964
HCA Inc.	4.750%	5/1/23		15,190			16,253

85

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
HCA Inc.	5.000%	3/15/24		24,539			26,778
HCA Inc.	5.250%	4/15/25		25,885			28,926
HCA Inc.	5.250%	6/15/26		17,285			19,359
HCA Inc.	4.500%	2/15/27		2,435			2,627
HCA Inc.	4.125%	6/15/29		25,082			26,587
HCA Inc.	5.125%	6/15/39		14,840			16,435
HCA Inc.	5.500%	6/15/47		17,760			20,513
HCA Inc.	5.250%	6/15/49		21,125			23,766
Hershey Co.	4.125%	12/1/20		6,295			6,421
Hershey Co.	3.100%	5/15/21		7,275			7,392
Hershey Co.	2.625%	5/1/23		7,400			7,530
Hershey Co.	3.375%	5/15/23		9,830			10,304
Hershey Co.	2.050%	11/15/24		1,150			1,149
Hershey Co.	3.200%	8/21/25		4,870			5,100
Hershey Co.	2.300%	8/15/26		8,575			8,647
Hershey Co.	2.450%	11/15/29		3,500			3,503
Hershey Co.	3.125%	11/15/49		9,000			8,871
Indiana University Health Inc. Obligated Group	3.970%	11/1/48		6,775			7,603
Ingredion Inc.	3.200%	10/1/26		5,485			5,561
JM Smucker Co.	3.500%	10/15/21		7,425			7,613
JM Smucker Co.	3.000%	3/15/22		3,870			3,944
JM Smucker Co.	3.500%	3/15/25		10,375			10,881
JM Smucker Co.	3.375%	12/15/27		12,600			13,142
JM Smucker Co.	4.250%	3/15/35		5,800			6,291
JM Smucker Co.	4.375%	3/15/45		7,025			7,625
Johns Hopkins Health System Corp.	3.837%	5/15/46		4,875			5,327
Johnson & Johnson	1.950%	11/10/20		3,150			3,151
Johnson & Johnson	1.650%	3/1/21		18,757			18,714
Johnson & Johnson	2.450%	12/5/21		8,050			8,153
Johnson & Johnson	2.250%	3/3/22		12,593			12,726
Johnson & Johnson	2.050%	3/1/23		6,500			6,537
Johnson & Johnson	3.375%	12/5/23		8,400			8,906
Johnson & Johnson	2.625%	1/15/25		11,480			11,826
Johnson & Johnson	2.450%	3/1/26		24,401			24,777
Johnson & Johnson	2.950%	3/3/27		12,350			12,938
Johnson & Johnson	2.900%	1/15/28		16,718			17,434
Johnson & Johnson	6.950%	9/1/29		3,195			4,474
Johnson & Johnson	4.950%	5/15/33		7,655			9,557
Johnson & Johnson	4.375%	12/5/33		13,574			16,136
Johnson & Johnson	3.550%	3/1/36		11,865			12,989
Johnson & Johnson	3.625%	3/3/37		17,785			19,613
Johnson & Johnson	5.950%	8/15/37		10,800			15,362
Johnson & Johnson	3.400%	1/15/38		11,297			12,086
Johnson & Johnson	5.850%	7/15/38		4,692			6,638
Johnson & Johnson	4.500%	9/1/40		6,371			7,743
Johnson & Johnson	4.850%	5/15/41		1,315			1,674
Johnson & Johnson	4.500%	12/5/43		8,423			10,350
Johnson & Johnson	3.700%	3/1/46		18,268			20,610
Johnson & Johnson	3.750%	3/3/47		19,445			22,127
Johnson & Johnson	3.500%	1/15/48		12,078			13,041
Kaiser Foundation Hospitals	3.500%	4/1/22		3,490			3,605
Kaiser Foundation Hospitals	3.150%	5/1/27		6,352			6,618
Kaiser Foundation Hospitals	4.875%	4/1/42		8,325			10,202
Kaiser Foundation Hospitals	4.150%	5/1/47		14,191			16,179
Kaiser Foundation Hospitals	3.266%	11/1/49		9,410			9,440
Kellogg Co.	4.000%	12/15/20		2,029			2,064
Kellogg Co.	2.650%	12/1/23		10,583			10,776
Kellogg Co.	3.250%	4/1/26		9,675			10,041
Kellogg Co.	3.400%	11/15/27		11,100			11,607
Kellogg Co.	4.300%	5/15/28		3,600			4,013
Kellogg Co.	7.450%	4/1/31		750			1,051
Kellogg Co.	4.500%	4/1/46		12,550			13,976
Keurig Dr Pepper Inc.	3.551%	5/25/21		12,200			12,450
Keurig Dr Pepper Inc.	2.700%	11/15/22		4,072			4,108

86

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Keurig Dr Pepper Inc.	4.057%	5/25/23		16,125			16,997
	Keurig Dr Pepper Inc.	3.130%	12/15/23		5,450			5,596
	Keurig Dr Pepper Inc.	4.417%	5/25/25		9,925			10,832
	Keurig Dr Pepper Inc.	3.400%	11/15/25		7,400			7,676
	Keurig Dr Pepper Inc.	2.550%	9/15/26		5,624			5,590
	Keurig Dr Pepper Inc.	3.430%	6/15/27		7,250			7,569
	Keurig Dr Pepper Inc.	4.597%	5/25/28		22,030			24,737
	Keurig Dr Pepper Inc.	7.450%	5/1/38		678			927
	Keurig Dr Pepper Inc.	4.985%	5/25/38		5,275			6,218
	Keurig Dr Pepper Inc.	4.500%	11/15/45		16,636			18,152
	Keurig Dr Pepper Inc.	4.420%	12/15/46		1,885			2,034
	Kimberly-Clark Corp.	3.875%	3/1/21		575			587
	Kimberly-Clark Corp.	2.400%	3/1/22		5,925			5,987
	Kimberly-Clark Corp.	2.400%	6/1/23		5,643			5,756
	Kimberly-Clark Corp.	3.050%	8/15/25		4,530			4,754
	Kimberly-Clark Corp.	2.750%	2/15/26		7,135			7,315
	Kimberly-Clark Corp.	3.950%	11/1/28		3,700			4,123
	Kimberly-Clark Corp.	3.200%	4/25/29		4,330			4,612
	Kimberly-Clark Corp.	6.625%	8/1/37		2,253			3,319
	Kimberly-Clark Corp.	5.300%	3/1/41		8,543			11,231
	Kimberly-Clark Corp.	3.700%	6/1/43		3,129			3,239
	Kimberly-Clark Corp.	3.200%	7/30/46		6,890			6,948
	Kimberly-Clark Corp.	3.900%	5/4/47		3,705			4,140
	Koninklijke Ahold Delhaize NV	5.700%	10/1/40		2,419			2,953
	Koninklijke Philips NV	6.875%	3/11/38		4,980			6,978
	Koninklijke Philips NV	5.000%	3/15/42		10,699			12,794
	Kraft Foods Group Inc.	6.875%	1/26/39		10,604			13,258
	Kraft Foods Group Inc.	6.500%	2/9/40		7,185			8,707
	Kraft Foods Group Inc.	5.000%	6/4/42		20,579			22,022
	Kraft Heinz Foods Co.	3.375%	6/15/21		4,000			4,061
	Kraft Heinz Foods Co.	3.500%	7/15/22		11,560			11,906
	Kraft Heinz Foods Co.	4.000%	6/15/23		18,679			19,630
	Kraft Heinz Foods Co.	3.950%	7/15/25		23,670			25,028
	Kraft Heinz Foods Co.	3.000%	6/1/26		25,075			25,059
	Kraft Heinz Foods Co.	4.625%	1/30/29		12,650			13,832
7	Kraft Heinz Foods Co.	3.750%	4/1/30		11,150			11,456
	Kraft Heinz Foods Co.	5.000%	7/15/35		11,150			12,385
7	Kraft Heinz Foods Co.	4.625%	10/1/39		5,525			5,732
	Kraft Heinz Foods Co.	5.200%	7/15/45		24,342			26,284
	Kraft Heinz Foods Co.	4.375%	6/1/46		34,317			33,783
7	Kraft Heinz Foods Co.	4.875%	10/1/49		16,515			17,196
	Kroger Co.	3.300%	1/15/21		4,607			4,656
	Kroger Co.	2.600%	2/1/21		4,693			4,720
	Kroger Co.	2.950%	11/1/21		7,384			7,494
	Kroger Co.	3.400%	4/15/22		3,683			3,787
	Kroger Co.	2.800%	8/1/22		2,375			2,419
	Kroger Co.	3.850%	8/1/23		7,090			7,480
	Kroger Co.	4.000%	2/1/24		5,186			5,505
	Kroger Co.	3.500%	2/1/26		4,800			5,024
	Kroger Co.	2.650%	10/15/26		12,900			12,915
	Kroger Co.	3.700%	8/1/27		5,200			5,541
	Kroger Co.	4.500%	1/15/29		1,275			1,431
	Kroger Co.	7.700%	6/1/29		5,250			7,010
	Kroger Co.	8.000%	9/15/29		4,085			5,595
	Kroger Co.	7.500%	4/1/31		4,820			6,627
	Kroger Co.	6.900%	4/15/38		5,519			7,374
	Kroger Co.	5.400%	7/15/40		3,937			4,550
	Kroger Co.	5.000%	4/15/42		5,075			5,634
	Kroger Co.	5.150%	8/1/43		2,255			2,533
	Kroger Co.	3.875%	10/15/46		5,965			5,809
	Kroger Co.	4.450%	2/1/47		11,289			11,953
	Kroger Co.	4.650%	1/15/48		9,015			9,815
	Kroger Co.	5.400%	1/15/49		225			273
	Laboratory Corp. of America Holdings	3.200%	2/1/22		7,330			7,482

87

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Laboratory Corp. of America Holdings	3.750%	8/23/22		1,585			1,643
	Laboratory Corp. of America Holdings	4.000%	11/1/23		2,800			2,949
	Laboratory Corp. of America Holdings	3.250%	9/1/24		9,315			9,671
	Laboratory Corp. of America Holdings	2.300%	12/1/24		5,650			5,623
	Laboratory Corp. of America Holdings	3.600%	2/1/25		12,557			13,208
	Laboratory Corp. of America Holdings	3.600%	9/1/27		6,600			6,952
	Laboratory Corp. of America Holdings	2.950%	12/1/29		7,425			7,437
	Laboratory Corp. of America Holdings	4.700%	2/1/45		11,945			13,390
4	Mayo Clinic	3.774%	11/15/43		6,102			6,560
4	Mayo Clinic	4.000%	11/15/47		3,275			3,639
4	Mayo Clinic	4.128%	11/15/52		1,975			2,218
	McCormick & Co. Inc.	3.900%	7/15/21		3,025			3,097
	McCormick & Co. Inc.	2.700%	8/15/22		1,330			1,351
	McCormick & Co. Inc.	3.150%	8/15/24		10,483			10,867
	McCormick & Co. Inc.	3.400%	8/15/27		9,869			10,275
	McCormick & Co. Inc.	4.200%	8/15/47		3,467			3,790
	McKesson Corp.	2.700%	12/15/22		5,800			5,867
	McKesson Corp.	2.850%	3/15/23		250			254
	McKesson Corp.	3.796%	3/15/24		12,080			12,698
	McKesson Corp.	3.950%	2/16/28		7,607			8,046
	McKesson Corp.	4.750%	5/30/29		2,300			2,578
	Mead Johnson Nutrition Co.	3.000%	11/15/20		5,794			5,845
	Mead Johnson Nutrition Co.	4.125%	11/15/25		11,407			12,478
	Mead Johnson Nutrition Co.	5.900%	11/1/39		6,850			9,179
	Mead Johnson Nutrition Co.	4.600%	6/1/44		12,790			15,355
	Medtronic Inc.	3.150%	3/15/22		18,873			19,403
	Medtronic Inc.	2.750%	4/1/23		950			971
	Medtronic Inc.	3.625%	3/15/24		1,000			1,059
	Medtronic Inc.	3.500%	3/15/25		19,726			21,126
	Medtronic Inc.	4.375%	3/15/35		28,127			33,191
	Medtronic Inc.	4.625%	3/15/45		22,390			28,039
	Memorial Health Services	3.447%	11/1/49		7,300			7,165
	Memorial Sloan-Kettering Cancer Center	5.000%	7/1/42		1,325			1,670
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52		8,805			10,152
	Memorial Sloan-Kettering Cancer Center	4.200%	7/1/55		1,225			1,421
	Merck & Co. Inc.	3.875%	1/15/21		12,657			12,873
	Merck & Co. Inc.	2.350%	2/10/22		15,943			16,140
	Merck & Co. Inc.	2.400%	9/15/22		10,804			10,954
	Merck & Co. Inc.	2.800%	5/18/23		23,774			24,497
	Merck & Co. Inc.	2.900%	3/7/24		4,895			5,094
	Merck & Co. Inc.	2.750%	2/10/25		30,265			31,265
	Merck & Co. Inc.	3.400%	3/7/29		18,950			20,464
	Merck & Co. Inc.	6.500%	12/1/33		7,400			10,421
	Merck & Co. Inc.	3.900%	3/7/39		11,050			12,612
	Merck & Co. Inc.	3.600%	9/15/42		9,972			10,754
	Merck & Co. Inc.	4.150%	5/18/43		13,797			16,299
	Merck & Co. Inc.	3.700%	2/10/45		25,631			28,323
	Merck & Co. Inc.	4.000%	3/7/49		22,125			25,753
	Mercy Health	4.302%	7/1/28		2,580			2,852
	Molson Coors Beverage Co.	2.100%	7/15/21		10,950			10,948
	Molson Coors Beverage Co.	3.500%	5/1/22		1,800			1,846
	Molson Coors Beverage Co.	3.000%	7/15/26		22,428			22,660
	Molson Coors Beverage Co.	5.000%	5/1/42		14,708			16,011
	Molson Coors Beverage Co.	4.200%	7/15/46		20,407			20,308
7	Mondelez International Holdings Netherlands BV	2.125%	9/19/22		5,000			4,996
	Mondelez International Inc.	4.000%	2/1/24		1,125			1,196
	Mondelez International Inc.	3.625%	2/13/26		4,500			4,816
	Mondelez International Inc.	4.125%	5/7/28		3,000			3,323
	Mondelez International Inc.	4.625%	5/7/48		100			116
4	Montefiore Obligated Group	5.246%	11/1/48		8,900			9,985
4	Mount Sinai Hospitals Group Inc.	3.981%	7/1/48		2,775			2,860
4	Mount Sinai Hospitals Group Inc.	3.737%	7/1/49		6,500			6,444
	Mylan Inc.	4.200%	11/29/23		13,670			14,424
	Mylan Inc.	4.550%	4/15/28		7,175			7,709

88

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Mylan Inc.	5.400%	11/29/43		7,424			8,064
	Mylan Inc.	5.200%	4/15/48		7,875			8,716
	Mylan NV	3.150%	6/15/21		13,010			13,144
	Mylan NV	3.950%	6/15/26		18,785			19,490
	Mylan NV	5.250%	6/15/46		11,125			12,410
	New York & Presbyterian Hospital	4.024%	8/1/45		7,346			8,172
	New York & Presbyterian Hospital	4.063%	8/1/56		4,675			5,054
	New York & Presbyterian Hospital	3.954%	8/1/19		6,600			6,592
	Northwell Healthcare Inc.	3.979%	11/1/46		9,625			9,800
	Northwell Healthcare Inc.	4.260%	11/1/47		10,000			10,696
	Northwell Healthcare Inc.	3.809%	11/1/49		4,000			4,016
	Novartis Capital Corp.	2.400%	5/17/22		22,180			22,475
	Novartis Capital Corp.	2.400%	9/21/22		9,694			9,843
	Novartis Capital Corp.	3.400%	5/6/24		17,545			18,566
	Novartis Capital Corp.	3.000%	11/20/25		22,377			23,447
	Novartis Capital Corp.	3.100%	5/17/27		13,755			14,451
	Novartis Capital Corp.	3.700%	9/21/42		7,513			8,263
	Novartis Capital Corp.	4.400%	5/6/44		22,125			26,852
	Novartis Capital Corp.	4.000%	11/20/45		14,493			16,804
	NYU Hospitals Center	4.784%	7/1/44		3,900			4,668
4	NYU Hospitals Center	4.368%	7/1/47		5,790			6,463
	Orlando Health Obligated Group	4.089%	10/1/48		3,350			3,659
	Partners Healthcare System Inc.	3.765%	7/1/48		875			918
	Partners Healthcare System Inc.	4.117%	7/1/55		3,125			3,468
	PeaceHealth Obligated Group	4.787%	11/15/48		4,175			5,107
	PepsiCo Inc.	2.000%	4/15/21		12,813			12,838
	PepsiCo Inc.	3.000%	8/25/21		13,962			14,225
	PepsiCo Inc.	1.700%	10/6/21		10,275			10,264
	PepsiCo Inc.	2.750%	3/5/22		13,520			13,793
	PepsiCo Inc.	2.250%	5/2/22		3,925			3,964
	PepsiCo Inc.	3.100%	7/17/22		6,125			6,309
	PepsiCo Inc.	2.750%	3/1/23		5,691			5,844
	PepsiCo Inc.	3.600%	3/1/24		8,213			8,735
	PepsiCo Inc.	2.750%	4/30/25		17,463			18,061
	PepsiCo Inc.	3.500%	7/17/25		11,170			11,974
	PepsiCo Inc.	2.850%	2/24/26		5,148			5,358
	PepsiCo Inc.	2.375%	10/6/26		15,440			15,651
	PepsiCo Inc.	3.000%	10/15/27		20,835			21,980
	PepsiCo Inc.	2.625%	7/29/29		19,559			19,912
	PepsiCo Inc.	4.000%	3/5/42		11,750			13,369
	PepsiCo Inc.	3.600%	8/13/42		7,403			7,918
	PepsiCo Inc.	4.250%	10/22/44		10,660			12,533
	PepsiCo Inc.	4.600%	7/17/45		6,470			7,994
	PepsiCo Inc.	4.450%	4/14/46		16,001			19,664
	PepsiCo Inc.	3.450%	10/6/46		16,725			17,655
	PepsiCo Inc.	4.000%	5/2/47		4,400			5,080
	PepsiCo Inc.	3.375%	7/29/49		11,295			11,824
	PepsiCo Inc.	2.875%	10/15/49		15,925			15,240
	PerkinElmer Inc.	3.300%	9/15/29		10,115			10,293
	Perrigo Finance Unlimited Co.	3.500%	3/15/21		4,626			4,622
	Perrigo Finance Unlimited Co.	3.500%	12/15/21		2,167			2,193
	Perrigo Finance Unlimited Co.	3.900%	12/15/24		10,300			10,592
	Perrigo Finance Unlimited Co.	4.375%	3/15/26		8,986			9,259
	Perrigo Finance Unlimited Co.	4.900%	12/15/44		3,787			3,484
	Pfizer Inc.	1.950%	6/3/21		20,025			20,072
	Pfizer Inc.	3.000%	9/15/21		8,285			8,444
	Pfizer Inc.	2.200%	12/15/21		6,404			6,453
	Pfizer Inc.	2.800%	3/11/22		9,705			9,892
	Pfizer Inc.	3.000%	6/15/23		10,910			11,326
	Pfizer Inc.	3.200%	9/15/23		7,150			7,454
	Pfizer Inc.	2.950%	3/15/24		9,000			9,340
	Pfizer Inc.	3.400%	5/15/24		7,009			7,409
	Pfizer Inc.	2.750%	6/3/26		17,160			17,700
	Pfizer Inc.	3.000%	12/15/26		21,198			22,225

89

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Pfizer Inc.	3.600%	9/15/28		15,600			17,037
	Pfizer Inc.	3.450%	3/15/29		22,085			23,750
	Pfizer Inc.	4.000%	12/15/36		12,450			14,181
	Pfizer Inc.	4.100%	9/15/38		9,800			11,194
	Pfizer Inc.	3.900%	3/15/39		16,150			18,177
	Pfizer Inc.	7.200%	3/15/39		14,664			22,974
	Pfizer Inc.	5.600%	9/15/40		1,600			2,112
	Pfizer Inc.	4.300%	6/15/43		11,146			13,110
	Pfizer Inc.	4.400%	5/15/44		14,825			17,696
	Pfizer Inc.	4.125%	12/15/46		10,829			12,491
	Pfizer Inc.	4.200%	9/15/48		13,955			16,340
	Pfizer Inc.	4.000%	3/15/49		17,235			19,931
	Pharmacia LLC	6.600%	12/1/28		6,640			8,720
	Philip Morris International Inc.	1.875%	2/25/21		5,631			5,625
	Philip Morris International Inc.	4.125%	5/17/21		3,527			3,628
	Philip Morris International Inc.	2.900%	11/15/21		3,940			4,015
	Philip Morris International Inc.	2.625%	2/18/22		2,000			2,024
	Philip Morris International Inc.	2.375%	8/17/22		8,660			8,732
	Philip Morris International Inc.	2.500%	8/22/22		2,020			2,039
	Philip Morris International Inc.	2.500%	11/2/22		8,325			8,450
	Philip Morris International Inc.	2.625%	3/6/23		6,340			6,443
	Philip Morris International Inc.	2.125%	5/10/23		7,750			7,746
	Philip Morris International Inc.	3.600%	11/15/23		11,859			12,466
	Philip Morris International Inc.	2.875%	5/1/24		17,605			18,090
	Philip Morris International Inc.	3.250%	11/10/24		13,170			13,785
	Philip Morris International Inc.	3.375%	8/11/25		7,624			8,011
	Philip Morris International Inc.	2.750%	2/25/26		15,266			15,432
	Philip Morris International Inc.	3.125%	8/17/27		1,885			1,948
	Philip Morris International Inc.	3.125%	3/2/28		6,100			6,254
	Philip Morris International Inc.	3.375%	8/15/29		8,425			8,820
	Philip Morris International Inc.	6.375%	5/16/38		13,842			19,226
	Philip Morris International Inc.	4.375%	11/15/41		11,912			13,190
	Philip Morris International Inc.	4.500%	3/20/42		8,336			9,354
	Philip Morris International Inc.	3.875%	8/21/42		7,140			7,414
	Philip Morris International Inc.	4.125%	3/4/43		10,635			11,461
	Philip Morris International Inc.	4.875%	11/15/43		9,823			11,562
	Philip Morris International Inc.	4.250%	11/10/44		13,955			15,382
4	Procter & Gamble - Esop	9.360%	1/1/21		1,080			1,132
	Procter & Gamble Co.	1.900%	10/23/20		5,000			5,003
	Procter & Gamble Co.	1.850%	2/2/21		7,419			7,426
	Procter & Gamble Co.	1.700%	11/3/21		11,581			11,615
	Procter & Gamble Co.	2.300%	2/6/22		9,985			10,115
	Procter & Gamble Co.	2.150%	8/11/22		2,640			2,670
	Procter & Gamble Co.	3.100%	8/15/23		14,392			15,044
	Procter & Gamble Co.	2.700%	2/2/26		8,514			8,842
	Procter & Gamble Co.	2.450%	11/3/26		12,350			12,703
	Procter & Gamble Co.	2.850%	8/11/27		4,085			4,319
	Procter & Gamble Co.	5.500%	2/1/34		1,400			1,875
	Procter & Gamble Co.	5.800%	8/15/34		2,000			2,790
	Procter & Gamble Co.	3.500%	10/25/47		9,865			11,077
	Providence St. Joseph Health Obligated Group	2.746%	10/1/26		2,075			2,095
	Providence St. Joseph Health Obligated Group	2.532%	10/1/29		8,645			8,463
4	Providence St. Joseph Health Obligated Group	3.744%	10/1/47		4,868			5,077
4	Providence St. Joseph Health Obligated Group	3.930%	10/1/48		3,775			4,040
	Quest Diagnostics Inc.	4.700%	4/1/21		2,800			2,889
	Quest Diagnostics Inc.	4.250%	4/1/24		4,565			4,895
	Quest Diagnostics Inc.	3.500%	3/30/25		6,420			6,752
	Quest Diagnostics Inc.	3.450%	6/1/26		7,129			7,481
	Quest Diagnostics Inc.	4.200%	6/30/29		3,475			3,833
	Quest Diagnostics Inc.	2.950%	6/30/30		10,070			10,082
	Quest Diagnostics Inc.	5.750%	1/30/40		1,368			1,512
	Quest Diagnostics Inc.	4.700%	3/30/45		1,882			2,087
	Reynolds American Inc.	4.000%	6/12/22		8,780			9,133
	Reynolds American Inc.	4.850%	9/15/23		3,425			3,707

90

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Reynolds American Inc.	4.450%	6/12/25		37,522			40,340
	Reynolds American Inc.	5.700%	8/15/35		13,703			15,803
	Reynolds American Inc.	7.250%	6/15/37		8,044			10,319
	Reynolds American Inc.	8.125%	5/1/40		2,569			3,336
	Reynolds American Inc.	7.000%	8/4/41		3,375			4,175
	Reynolds American Inc.	6.150%	9/15/43		5,220			6,077
	Reynolds American Inc.	5.850%	8/15/45		23,734			27,173
	RWJ Barnabas Health Inc.	3.949%	7/1/46		5,220			5,521
	RWJ Barnabas Health Inc.	3.477%	7/1/49		1,750			1,724
	Sanofi	4.000%	3/29/21		14,644			15,021
	Sanofi	3.375%	6/19/23		15,300			16,032
	Sanofi	3.625%	6/19/28		17,345			19,243
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21		39,818			40,017
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23		44,670			45,475
	Shire Acquisitions Investments Ireland DAC	3.200%	9/23/26		34,492			35,511
	Spectrum Health System Obligated Group	3.487%	7/15/49		3,500			3,495
	SSM Health Care Corp.	3.688%	6/1/23		8,575			8,921
	SSM Health Care Corp.	3.823%	6/1/27		5,200			5,497
	Stanford Health Care	3.795%	11/15/48		6,350			6,834
	Stryker Corp.	2.625%	3/15/21		18,605			18,729
	Stryker Corp.	3.375%	5/15/24		12,870			13,484
	Stryker Corp.	3.375%	11/1/25		9,375			9,863
	Stryker Corp.	3.500%	3/15/26		10,015			10,639
	Stryker Corp.	3.650%	3/7/28		7,295			7,832
	Stryker Corp.	4.100%	4/1/43		4,175			4,495
	Stryker Corp.	4.375%	5/15/44		3,875			4,380
	Stryker Corp.	4.625%	3/15/46		7,235			8,693
	Sutter Health	3.695%	8/15/28		3,700			3,964
	Sutter Health	4.091%	8/15/48		4,950			5,507
	Sysco Corp.	2.500%	7/15/21		5,050			5,090
	Sysco Corp.	2.600%	6/12/22		2,650			2,689
	Sysco Corp.	3.550%	3/15/25		5,190			5,522
	Sysco Corp.	3.750%	10/1/25		7,290			7,823
	Sysco Corp.	3.300%	7/15/26		9,910			10,442
	Sysco Corp.	3.250%	7/15/27		20,876			21,828
	Sysco Corp.	4.850%	10/1/45		4,635			5,566
	Sysco Corp.	4.500%	4/1/46		5,765			6,605
	Sysco Corp.	4.450%	3/15/48		6,475			7,390
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21		13,400			13,841
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23		14,725			15,789
	Takeda Pharmaceutical Co. Ltd.	5.000%	11/26/28		18,850			21,935
4	Texas Health Resources	4.330%	11/15/55		2,625			3,070
	Thermo Fisher Scientific Inc.	3.000%	4/15/23		12,300			12,642
	Thermo Fisher Scientific Inc.	4.150%	2/1/24		7,039			7,542
	Thermo Fisher Scientific Inc.	3.650%	12/15/25		9,725			10,389
	Thermo Fisher Scientific Inc.	2.950%	9/19/26		15,695			16,136
	Thermo Fisher Scientific Inc.	3.200%	8/15/27		12,305			12,854
	Thermo Fisher Scientific Inc.	2.600%	10/1/29		4,100			4,051
	Thermo Fisher Scientific Inc.	5.300%	2/1/44		6,101			7,715
	Thermo Fisher Scientific Inc.	4.100%	8/15/47		5,600			6,276
	Toledo Hospital	5.325%	11/15/28		3,425			3,676
	Toledo Hospital	5.750%	11/15/38		2,050			2,346
	Trinity Health Corp.	4.125%	12/1/45		6,615			7,269
	Tyson Foods Inc.	2.250%	8/23/21		2,250			2,259
	Tyson Foods Inc.	4.500%	6/15/22		16,533			17,395
	Tyson Foods Inc.	3.900%	9/28/23		2,950			3,128
	Tyson Foods Inc.	3.950%	8/15/24		19,141			20,456
	Tyson Foods Inc.	4.000%	3/1/26		2,125			2,301
	Tyson Foods Inc.	3.550%	6/2/27		15,240			16,164
	Tyson Foods Inc.	4.350%	3/1/29		17,143			19,395
	Tyson Foods Inc.	4.875%	8/15/34		8,254			9,652
	Tyson Foods Inc.	5.150%	8/15/44		5,675			6,865
	Tyson Foods Inc.	4.550%	6/2/47		9,425			10,684
	Tyson Foods Inc.	5.100%	9/28/48		16,505			20,772

91

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Unilever Capital Corp.	4.250%	2/10/21		14,435			14,819
	Unilever Capital Corp.	2.750%	3/22/21		4,006			4,049
	Unilever Capital Corp.	1.375%	7/28/21		10,405			10,327
	Unilever Capital Corp.	3.000%	3/7/22		6,000			6,140
	Unilever Capital Corp.	2.200%	5/5/22		800			805
	Unilever Capital Corp.	3.250%	3/7/24		13,600			14,236
	Unilever Capital Corp.	2.600%	5/5/24		24,225			24,759
	Unilever Capital Corp.	3.100%	7/30/25		8,700			9,093
	Unilever Capital Corp.	2.000%	7/28/26		10,625			10,526
	Unilever Capital Corp.	2.900%	5/5/27		4,050			4,230
	Unilever Capital Corp.	3.500%	3/22/28		12,875			13,919
	Unilever Capital Corp.	2.125%	9/6/29		9,525			9,227
	Unilever Capital Corp.	5.900%	11/15/32		7,250			9,824
	Whirlpool Corp.	4.850%	6/15/21		2,763			2,867
	Whirlpool Corp.	4.700%	6/1/22		4,380			4,633
	Whirlpool Corp.	4.000%	3/1/24		3,429			3,626
	Whirlpool Corp.	3.700%	5/1/25		2,705			2,843
	Whirlpool Corp.	4.750%	2/26/29		8,215			9,136
	Whirlpool Corp.	4.500%	6/1/46		6,407			6,626
4	Willis-Knighton Medical Center	4.813%	9/1/48		3,250			3,880
	Wyeth LLC	7.250%	3/1/23		2,400			2,772
	Wyeth LLC	6.450%	2/1/24		9,325			10,866
	Wyeth LLC	6.500%	2/1/34		8,300			11,589
	Wyeth LLC	6.000%	2/15/36		5,465			7,270
	Wyeth LLC	5.950%	4/1/37		23,213			31,609
	Zeneca Wilmington Inc.	7.000%	11/15/23		4,275			4,960
	Zimmer Biomet Holdings Inc.	3.375%	11/30/21		6,005			6,121
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22		8,925			9,112
	Zimmer Biomet Holdings Inc.	3.700%	3/19/23		2,550			2,655
	Zimmer Biomet Holdings Inc.	3.550%	4/1/25		21,280			22,370
	Zimmer Biomet Holdings Inc.	5.750%	11/30/39		1,650			1,956
	Zimmer Biomet Holdings Inc.	4.450%	8/15/45		9,970			10,445
	Zoetis Inc.	3.450%	11/13/20		5,000			5,051
	Zoetis Inc.	3.250%	8/20/21		3,300			3,353
	Zoetis Inc.	3.250%	2/1/23		14,745			15,209
	Zoetis Inc.	4.500%	11/13/25		4,200			4,648
	Zoetis Inc.	3.000%	9/12/27		10,004			10,229
	Zoetis Inc.	3.900%	8/20/28		5,700			6,168
	Zoetis Inc.	4.700%	2/1/43		13,403			15,898
	Zoetis Inc.	3.950%	9/12/47		6,400			6,940
	Zoetis Inc.	4.450%	8/20/48		4,025			4,698
	Energy (2.4%)
	Anadarko Petroleum Corp.	6.600%	3/15/46		100			124
	Apache Corp.	3.625%	2/1/21		1,545			1,559
	Apache Corp.	3.250%	4/15/22		3,020			3,065
	Apache Corp.	4.375%	10/15/28		9,680			10,090
	Apache Corp.	7.750%	12/15/29		1,070			1,362
	Apache Corp.	6.000%	1/15/37		100			110
	Apache Corp.	5.100%	9/1/40		17,786			18,052
	Apache Corp.	5.250%	2/1/42		7,984			8,286
	Apache Corp.	4.750%	4/15/43		15,390			14,720
	Apache Corp.	4.250%	1/15/44		14,191			13,091
	Apache Corp.	5.350%	7/1/49		2,500			2,610
	Baker Hughes a GE Co. LLC	5.125%	9/15/40		13,482			15,883
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22		14,440			14,721
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.337%	12/15/27		17,645			18,381
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.138%	11/7/29		6,000			6,150
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	4.080%	12/15/47		15,240			15,602
	Boardwalk Pipelines LP	3.375%	2/1/23		3,425			3,488

92

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Boardwalk Pipelines LP	4.950%	12/15/24		8,000			8,635
	Boardwalk Pipelines LP	5.950%	6/1/26		12,440			13,915
	Boardwalk Pipelines LP	4.450%	7/15/27		9,112			9,369
	Boardwalk Pipelines LP	4.800%	5/3/29		3,100			3,299
	BP Capital Markets America Inc.	4.742%	3/11/21		17,685			18,277
	BP Capital Markets America Inc.	2.112%	9/16/21		10,001			10,040
	BP Capital Markets America Inc.	3.245%	5/6/22		21,321			22,007
	BP Capital Markets America Inc.	2.520%	9/19/22		8,150			8,274
	BP Capital Markets America Inc.	2.750%	5/10/23		24,150			24,684
	BP Capital Markets America Inc.	3.216%	11/28/23		18,249			18,963
	BP Capital Markets America Inc.	3.790%	2/6/24		3,460			3,679
	BP Capital Markets America Inc.	3.224%	4/14/24		707			737
	BP Capital Markets America Inc.	3.796%	9/21/25		10,335			11,174
	BP Capital Markets America Inc.	3.410%	2/11/26		5,450			5,787
	BP Capital Markets America Inc.	3.119%	5/4/26		15,198			15,836
	BP Capital Markets America Inc.	3.017%	1/16/27		6,725			6,952
	BP Capital Markets America Inc.	3.588%	4/14/27		5,000			5,299
	BP Capital Markets America Inc.	3.937%	9/21/28		12,650			13,955
	BP Capital Markets America Inc.	4.234%	11/6/28		12,900			14,542
	BP Capital Markets plc	3.561%	11/1/21		15,470			15,939
	BP Capital Markets plc	3.062%	3/17/22		4,350			4,460
	BP Capital Markets plc	2.500%	11/6/22		14,587			14,845
	BP Capital Markets plc	3.994%	9/26/23		7,105			7,579
	BP Capital Markets plc	3.814%	2/10/24		6,831			7,289
	BP Capital Markets plc	3.535%	11/4/24		24,366			25,929
	BP Capital Markets plc	3.506%	3/17/25		14,471			15,400
	BP Capital Markets plc	3.279%	9/19/27		22,925			24,103
	BP Capital Markets plc	3.723%	11/28/28		8,634			9,385
	Burlington Resources Finance Co.	7.200%	8/15/31		3,425			4,827
	Burlington Resources Finance Co.	7.400%	12/1/31		5,765			8,204
	Canadian Natural Resources Ltd.	3.450%	11/15/21		5,563			5,682
	Canadian Natural Resources Ltd.	2.950%	1/15/23		14,445			14,713
	Canadian Natural Resources Ltd.	3.800%	4/15/24		5,923			6,191
	Canadian Natural Resources Ltd.	3.900%	2/1/25		140			147
	Canadian Natural Resources Ltd.	3.850%	6/1/27		16,628			17,697
	Canadian Natural Resources Ltd.	7.200%	1/15/32		5,018			6,793
	Canadian Natural Resources Ltd.	6.450%	6/30/33		6,815			8,704
	Canadian Natural Resources Ltd.	5.850%	2/1/35		3,725			4,580
	Canadian Natural Resources Ltd.	6.500%	2/15/37		7,022			9,152
	Canadian Natural Resources Ltd.	6.250%	3/15/38		11,249			14,558
	Canadian Natural Resources Ltd.	6.750%	2/1/39		4,829			6,507
	Canadian Natural Resources Ltd.	4.950%	6/1/47		7,650			9,280
	Cenovus Energy Inc.	3.000%	8/15/22		6,975			7,058
	Cenovus Energy Inc.	3.800%	9/15/23		17,500			18,126
	Cenovus Energy Inc.	4.250%	4/15/27		13,485			14,223
	Cenovus Energy Inc.	5.250%	6/15/37		17,177			18,878
	Cenovus Energy Inc.	6.750%	11/15/39		13,087			16,647
	Cenovus Energy Inc.	5.400%	6/15/47		10,390			12,130
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24		9,264			10,677
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25		10,600			11,925
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27		21,925			24,282
7	Cheniere Corpus Christi Holdings LLC	3.700%	11/15/29		17,584			17,980
	Chevron Corp.	2.100%	5/16/21		18,900			18,984
	Chevron Corp.	2.411%	3/3/22		4,935			5,001
	Chevron Corp.	2.498%	3/3/22		8,190			8,325
	Chevron Corp.	2.355%	12/5/22		21,477			21,761
	Chevron Corp.	2.566%	5/16/23		4,350			4,437
	Chevron Corp.	3.191%	6/24/23		21,340			22,194
	Chevron Corp.	2.895%	3/3/24		15,320			15,847
	Chevron Corp.	3.326%	11/17/25		3,933			4,189
	Chevron Corp.	2.954%	5/16/26		22,215			23,205
	Cimarex Energy Co.	4.375%	6/1/24		9,950			10,478
	Cimarex Energy Co.	3.900%	5/15/27		18,976			19,619
	Cimarex Energy Co.	4.375%	3/15/29		6,450			6,807

93

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Columbia Pipeline Group Inc.	4.500%	6/1/25		19,475			21,265
Columbia Pipeline Group Inc.	5.800%	6/1/45		5,450			6,907
Concho Resources Inc.	3.750%	10/1/27		27,986			29,350
Concho Resources Inc.	4.300%	8/15/28		5,475			5,961
Concho Resources Inc.	4.875%	10/1/47		12,480			14,539
Concho Resources Inc.	4.850%	8/15/48		7,770			8,994
ConocoPhillips	5.900%	10/15/32		13,376			17,473
ConocoPhillips	5.900%	5/15/38		7,112			9,657
ConocoPhillips	6.500%	2/1/39		19,922			28,867
ConocoPhillips Canada Funding Co. I	5.950%	10/15/36		7,500			10,055
ConocoPhillips Co.	3.350%	11/15/24		500			527
ConocoPhillips Co.	4.950%	3/15/26		26,079			29,937
ConocoPhillips Co.	4.300%	11/15/44		6,337			7,414
ConocoPhillips Co.	5.950%	3/15/46		10,299			14,671
ConocoPhillips Holding Co.	6.950%	4/15/29		11,359			15,408
Continental Resources Inc.	4.500%	4/15/23		4,092			4,286
Continental Resources Inc.	4.375%	1/15/28		18,885			20,065
Continental Resources Inc.	4.900%	6/1/44		10,250			10,929
Devon Energy Corp.	5.850%	12/15/25		6,651			7,871
Devon Energy Corp.	7.950%	4/15/32		5,300			7,503
Devon Energy Corp.	5.600%	7/15/41		11,043			13,409
Devon Energy Corp.	4.750%	5/15/42		8,169			9,143
Devon Energy Corp.	5.000%	6/15/45		9,163			10,561
Devon Financing Co. LLC	7.875%	9/30/31		12,287			16,891
Diamondback Energy Inc.	2.875%	12/1/24		12,000			12,112
Diamondback Energy Inc.	3.250%	12/1/26		9,400			9,504
Diamondback Energy Inc.	3.500%	12/1/29		14,000			14,215
Dominion Energy Gas Holdings LLC	3.550%	11/1/23		13,725			14,199
Dominion Energy Gas Holdings LLC	2.500%	11/15/24		5,500			5,523
Dominion Energy Gas Holdings LLC	3.600%	12/15/24		7,750			8,132
Dominion Energy Gas Holdings LLC	3.000%	11/15/29		4,000			3,970
Dominion Energy Gas Holdings LLC	4.800%	11/1/43		5,675			6,295
Dominion Energy Gas Holdings LLC	4.600%	12/15/44		5,035			5,464
Enable Midstream Partners LP	3.900%	5/15/24		10,644			10,826
Enable Midstream Partners LP	4.400%	3/15/27		12,490			12,269
Enable Midstream Partners LP	4.950%	5/15/28		15,785			15,946
Enable Midstream Partners LP	4.150%	9/15/29		5,300			5,010
Enable Midstream Partners LP	5.000%	5/15/44		925			831
Enbridge Energy Partners LP	4.200%	9/15/21		593			611
Enbridge Energy Partners LP	5.875%	10/15/25		4,585			5,341
Enbridge Energy Partners LP	7.500%	4/15/38		9,310			13,295
Enbridge Energy Partners LP	5.500%	9/15/40		2,645			3,124
Enbridge Energy Partners LP	7.375%	10/15/45		9,366			13,915
Enbridge Inc.	2.900%	7/15/22		7,305			7,434
Enbridge Inc.	4.000%	10/1/23		1,000			1,055
Enbridge Inc.	2.500%	1/15/25		5,500			5,537
Enbridge Inc.	4.250%	12/1/26		7,332			8,054
Enbridge Inc.	3.700%	7/15/27		25,850			27,188
Enbridge Inc.	3.125%	11/15/29		11,900			12,007
Enbridge Inc.	4.500%	6/10/44		7,295			8,003
Enbridge Inc.	4.000%	11/15/49		5,500			5,726
Encana Corp.	3.900%	11/15/21		6,447			6,593
Encana Corp.	8.125%	9/15/30		3,550			4,467
Encana Corp.	7.200%	11/1/31		435			531
Encana Corp.	7.375%	11/1/31		4,600			5,621
Encana Corp.	6.500%	8/15/34		10,160			11,923
Encana Corp.	6.625%	8/15/37		2,158			2,554
Encana Corp.	6.500%	2/1/38		10,850			12,740
Energy Transfer Operating LP	4.650%	6/1/21		7,990			8,196
Energy Transfer Operating LP	5.200%	2/1/22		8,754			9,175
Energy Transfer Operating LP	3.600%	2/1/23		21,086			21,594
Energy Transfer Operating LP	4.250%	3/15/23		22,090			23,069
Energy Transfer Operating LP	4.200%	9/15/23		3,690			3,869
Energy Transfer Operating LP	4.900%	2/1/24		2,029			2,167

94

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Energy Transfer Operating LP	4.500%	4/15/24		1,250			1,327
	Energy Transfer Operating LP	4.050%	3/15/25		13,125			13,761
	Energy Transfer Operating LP	4.750%	1/15/26		14,600			15,726
	Energy Transfer Operating LP	4.200%	4/15/27		9,520			9,957
	Energy Transfer Operating LP	5.500%	6/1/27		19,550			21,955
	Energy Transfer Operating LP	5.250%	4/15/29		8,040			9,013
	Energy Transfer Operating LP	6.250%	4/15/49		14,750			17,751
	Energy Transfer Partners LP	4.950%	6/15/28		16,150			17,659
	Energy Transfer Partners LP	4.900%	3/15/35		4,648			4,854
	Energy Transfer Partners LP	6.625%	10/15/36		3,980			4,728
	Energy Transfer Partners LP	5.800%	6/15/38		8,125			9,169
	Energy Transfer Partners LP	7.500%	7/1/38		5,882			7,492
	Energy Transfer Partners LP	6.050%	6/1/41		8,120			9,107
	Energy Transfer Partners LP	6.500%	2/1/42		10,008			11,893
	Energy Transfer Partners LP	5.150%	2/1/43		1,774			1,824
	Energy Transfer Partners LP	5.950%	10/1/43		4,772			5,288
	Energy Transfer Partners LP	5.150%	3/15/45		4,078			4,286
	Energy Transfer Partners LP	6.125%	12/15/45		17,770			20,552
	Energy Transfer Partners LP	5.300%	4/15/47		8,730			9,323
	Energy Transfer Partners LP	6.000%	6/15/48		14,485			16,806
	Enterprise Products Operating LLC	2.800%	2/15/21		10,270			10,364
	Enterprise Products Operating LLC	2.850%	4/15/21		1,985			2,004
	Enterprise Products Operating LLC	3.500%	2/1/22		8,075			8,315
	Enterprise Products Operating LLC	4.050%	2/15/22		475			495
	Enterprise Products Operating LLC	3.350%	3/15/23		20,288			20,967
	Enterprise Products Operating LLC	3.900%	2/15/24		14,040			14,913
	Enterprise Products Operating LLC	3.750%	2/15/25		17,160			18,269
	Enterprise Products Operating LLC	3.700%	2/15/26		8,452			9,006
	Enterprise Products Operating LLC	3.950%	2/15/27		1,247			1,347
	Enterprise Products Operating LLC	4.150%	10/16/28		5,000			5,511
	Enterprise Products Operating LLC	3.125%	7/31/29		20,825			21,376
	Enterprise Products Operating LLC	6.875%	3/1/33		5,643			7,690
	Enterprise Products Operating LLC	6.650%	10/15/34		1,660			2,251
	Enterprise Products Operating LLC	7.550%	4/15/38		3,344			4,809
	Enterprise Products Operating LLC	6.125%	10/15/39		13,086			17,005
	Enterprise Products Operating LLC	5.950%	2/1/41		8,216			10,576
	Enterprise Products Operating LLC	5.700%	2/15/42		6,395			8,158
	Enterprise Products Operating LLC	4.850%	8/15/42		8,390			9,665
	Enterprise Products Operating LLC	4.450%	2/15/43		15,433			16,865
	Enterprise Products Operating LLC	4.850%	3/15/44		24,885			28,797
	Enterprise Products Operating LLC	5.100%	2/15/45		4,407			5,275
	Enterprise Products Operating LLC	4.900%	5/15/46		20,533			24,058
	Enterprise Products Operating LLC	4.250%	2/15/48		23,540			25,385
	Enterprise Products Operating LLC	4.800%	2/1/49		8,350			9,792
	Enterprise Products Operating LLC	4.200%	1/31/50		14,000			15,019
	Enterprise Products Operating LLC	4.950%	10/15/54		5,530			6,398
4	Enterprise Products Operating LLC	4.875%	8/16/77		600			592
4	Enterprise Products Operating LLC	5.250%	8/16/77		3,975			3,969
4	Enterprise Products Operating LLC	5.375%	2/15/78		5,780			5,708
	EOG Resources Inc.	4.100%	2/1/21		9,540			9,761
	EOG Resources Inc.	2.625%	3/15/23		17,608			17,915
	EOG Resources Inc.	3.150%	4/1/25		8,281			8,673
	EOG Resources Inc.	4.150%	1/15/26		11,410			12,549
	EOG Resources Inc.	3.900%	4/1/35		5,026			5,579
	EQM Midstream Partners LP	4.750%	7/15/23		6,850			6,867
	EQM Midstream Partners LP	4.000%	8/1/24		10,549			10,252
	EQM Midstream Partners LP	4.125%	12/1/26		4,900			4,592
	EQM Midstream Partners LP	5.500%	7/15/28		8,500			8,333
	EQM Midstream Partners LP	6.500%	7/15/48		9,275			8,719
	EQT Corp.	4.875%	11/15/21		7,155			7,348
	EQT Corp.	3.000%	10/1/22		8,500			8,309
	EQT Corp.	3.900%	10/1/27		14,411			13,396
	Exxon Mobil Corp.	2.222%	3/1/21		16,870			16,961
	Exxon Mobil Corp.	2.397%	3/6/22		29,063			29,436

95

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Exxon Mobil Corp.	1.902%	8/16/22		4,380			4,408
	Exxon Mobil Corp.	2.726%	3/1/23		33,332			34,118
	Exxon Mobil Corp.	3.176%	3/15/24		3,000			3,142
	Exxon Mobil Corp.	2.019%	8/16/24		5,100			5,113
	Exxon Mobil Corp.	2.709%	3/6/25		21,645			22,365
	Exxon Mobil Corp.	3.043%	3/1/26		15,916			16,697
	Exxon Mobil Corp.	2.275%	8/16/26		7,500			7,518
	Exxon Mobil Corp.	2.440%	8/16/29		14,350			14,420
	Exxon Mobil Corp.	2.995%	8/16/39		10,300			10,319
	Exxon Mobil Corp.	3.567%	3/6/45		16,550			17,708
	Exxon Mobil Corp.	4.114%	3/1/46		16,550			19,369
	Exxon Mobil Corp.	3.095%	8/16/49		20,000			19,830
	Halliburton Co.	3.500%	8/1/23		4,549			4,727
	Halliburton Co.	3.800%	11/15/25		44,975			47,987
	Halliburton Co.	4.850%	11/15/35		14,928			16,839
	Halliburton Co.	6.700%	9/15/38		15,645			20,635
	Halliburton Co.	4.500%	11/15/41		2,000			2,135
	Halliburton Co.	4.750%	8/1/43		10,730			11,792
	Halliburton Co.	5.000%	11/15/45		21,267			24,208
	Helmerich & Payne Inc.	4.650%	3/15/25		5,000			5,442
	Hess Corp.	3.500%	7/15/24		3,100			3,179
	Hess Corp.	4.300%	4/1/27		7,240			7,711
	Hess Corp.	7.875%	10/1/29		7,343			9,554
	Hess Corp.	7.300%	8/15/31		4,873			6,162
	Hess Corp.	7.125%	3/15/33		4,642			5,878
	Hess Corp.	6.000%	1/15/40		16,010			18,858
	Hess Corp.	5.600%	2/15/41		14,718			17,189
	Hess Corp.	5.800%	4/1/47		2,953			3,594
	HollyFrontier Corp.	5.875%	4/1/26		2,520			2,830
	Husky Energy Inc.	3.950%	4/15/22		12,571			12,997
	Husky Energy Inc.	4.000%	4/15/24		15,898			16,719
	Husky Energy Inc.	4.400%	4/15/29		16,800			18,082
	Husky Energy Inc.	6.800%	9/15/37		2,966			3,885
	Kinder Morgan Energy Partners LP	3.500%	3/1/21		1,271			1,288
	Kinder Morgan Energy Partners LP	5.800%	3/1/21		6,435			6,704
	Kinder Morgan Energy Partners LP	5.000%	10/1/21		12,715			13,252
	Kinder Morgan Energy Partners LP	4.150%	3/1/22		6,214			6,463
	Kinder Morgan Energy Partners LP	3.950%	9/1/22		8,250			8,593
	Kinder Morgan Energy Partners LP	3.450%	2/15/23		10,394			10,702
	Kinder Morgan Energy Partners LP	3.500%	9/1/23		13,449			13,932
	Kinder Morgan Energy Partners LP	4.150%	2/1/24		450			479
	Kinder Morgan Energy Partners LP	4.300%	5/1/24		21,611			23,092
	Kinder Morgan Energy Partners LP	4.250%	9/1/24		2,328			2,490
	Kinder Morgan Energy Partners LP	7.400%	3/15/31		285			373
	Kinder Morgan Energy Partners LP	7.300%	8/15/33		3,490			4,609
	Kinder Morgan Energy Partners LP	5.800%	3/15/35		5,549			6,570
	Kinder Morgan Energy Partners LP	6.500%	2/1/37		22,586			28,149
	Kinder Morgan Energy Partners LP	6.950%	1/15/38		4,871			6,434
	Kinder Morgan Energy Partners LP	6.500%	9/1/39		6,945			8,777
	Kinder Morgan Energy Partners LP	6.550%	9/15/40		7,200			9,135
	Kinder Morgan Energy Partners LP	7.500%	11/15/40		6,575			8,921
	Kinder Morgan Energy Partners LP	6.375%	3/1/41		2,315			2,871
	Kinder Morgan Energy Partners LP	5.625%	9/1/41		12,027			13,870
	Kinder Morgan Energy Partners LP	5.000%	8/15/42		4,631			5,020
	Kinder Morgan Energy Partners LP	4.700%	11/1/42		12,174			12,870
	Kinder Morgan Energy Partners LP	5.000%	3/1/43		3,791			4,144
	Kinder Morgan Energy Partners LP	5.500%	3/1/44		15,427			17,772
	Kinder Morgan Energy Partners LP	5.400%	9/1/44		2,729			3,106
7	Kinder Morgan Inc.	5.000%	2/15/21		6,475			6,665
	Kinder Morgan Inc.	3.150%	1/15/23		10,749			10,989
	Kinder Morgan Inc.	4.300%	6/1/25		7,500			8,126
	Kinder Morgan Inc.	4.300%	3/1/28		14,394			15,663
	Kinder Morgan Inc.	7.800%	8/1/31		4,850			6,632
	Kinder Morgan Inc.	7.750%	1/15/32		10,653			14,599

96

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Kinder Morgan Inc.	5.300%	12/1/34		15,127			17,828
	Kinder Morgan Inc.	5.550%	6/1/45		21,396			25,601
	Kinder Morgan Inc.	5.050%	2/15/46		9,675			10,821
	Magellan Midstream Partners LP	4.250%	2/1/21		3,795			3,879
	Magellan Midstream Partners LP	5.000%	3/1/26		8,250			9,296
	Magellan Midstream Partners LP	5.150%	10/15/43		176			205
	Magellan Midstream Partners LP	4.250%	9/15/46		4,152			4,395
	Magellan Midstream Partners LP	4.200%	10/3/47		8,540			8,988
	Magellan Midstream Partners LP	4.850%	2/1/49		6,375			7,342
	Magellan Midstream Partners LP	3.950%	3/1/50		3,000			3,076
	Marathon Oil Corp.	2.800%	11/1/22		12,793			12,987
	Marathon Oil Corp.	3.850%	6/1/25		12,175			12,854
	Marathon Oil Corp.	4.400%	7/15/27		11,552			12,536
	Marathon Oil Corp.	6.800%	3/15/32		6,093			7,724
	Marathon Oil Corp.	6.600%	10/1/37		8,280			10,526
	Marathon Oil Corp.	5.200%	6/1/45		5,675			6,577
	Marathon Petroleum Corp.	3.400%	12/15/20		5,725			5,787
	Marathon Petroleum Corp.	5.125%	3/1/21		13,487			13,947
	Marathon Petroleum Corp.	5.375%	10/1/22		2,125			2,149
	Marathon Petroleum Corp.	4.750%	12/15/23		25,445			27,616
	Marathon Petroleum Corp.	5.125%	4/1/24		1,000			1,028
	Marathon Petroleum Corp.	3.625%	9/15/24		7,380			7,738
	Marathon Petroleum Corp.	5.125%	12/15/26		24,760			27,967
	Marathon Petroleum Corp.	3.800%	4/1/28		6,240			6,522
	Marathon Petroleum Corp.	6.500%	3/1/41		13,115			16,979
	Marathon Petroleum Corp.	4.750%	9/15/44		5,647			6,142
	Marathon Petroleum Corp.	5.850%	12/15/45		1,459			1,663
	Marathon Petroleum Corp.	4.500%	4/1/48		5,270			5,556
	Marathon Petroleum Corp.	5.000%	9/15/54		4,568			4,917
7	MPLX LP	3.500%	12/1/22		1,850			1,905
	MPLX LP	3.375%	3/15/23		4,865			4,992
	MPLX LP	4.500%	7/15/23		18,525			19,661
	MPLX LP	4.875%	12/1/24		32,426			35,165
7	MPLX LP	5.250%	1/15/25		750			787
	MPLX LP	4.000%	2/15/25		4,208			4,389
	MPLX LP	4.875%	6/1/25		4,363			4,763
	MPLX LP	4.125%	3/1/27		14,091			14,743
7	MPLX LP	4.250%	12/1/27		17,660			18,527
	MPLX LP	4.000%	3/15/28		13,325			13,803
	MPLX LP	4.500%	4/15/38		18,700			19,017
	MPLX LP	5.200%	3/1/47		17,745			19,054
7	MPLX LP	5.200%	12/1/47		10,200			10,705
	MPLX LP	4.700%	4/15/48		14,700			14,819
	MPLX LP	5.500%	2/15/49		17,775			20,136
	MPLX LP	4.900%	4/15/58		6,650			6,766
	National Fuel Gas Co.	4.900%	12/1/21		912			951
	National Fuel Gas Co.	3.750%	3/1/23		3,660			3,759
	National Fuel Gas Co.	5.200%	7/15/25		2,200			2,394
	National Fuel Gas Co.	3.950%	9/15/27		3,190			3,227
	National Fuel Gas Co.	4.750%	9/1/28		10,055			10,693
	National Oilwell Varco Inc.	2.600%	12/1/22		7,460			7,532
	National Oilwell Varco Inc.	3.600%	12/1/29		6,000			6,005
	National Oilwell Varco Inc.	3.950%	12/1/42		8,338			7,828
	Newfield Exploration Co.	5.750%	1/30/22		13,275			14,105
	Newfield Exploration Co.	5.625%	7/1/24		3,300			3,630
	Newfield Exploration Co.	5.375%	1/1/26		35,700			38,690
	Noble Energy Inc.	3.900%	11/15/24		5,475			5,784
	Noble Energy Inc.	3.850%	1/15/28		9,225			9,701
	Noble Energy Inc.	3.250%	10/15/29		4,050			4,081
	Noble Energy Inc.	6.000%	3/1/41		13,023			15,578
	Noble Energy Inc.	5.250%	11/15/43		10,987			12,379
	Noble Energy Inc.	5.050%	11/15/44		7,400			8,156
	Noble Energy Inc.	4.950%	8/15/47		6,055			6,723
	Noble Energy Inc.	4.200%	10/15/49		5,000			5,026

97

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Occidental Petroleum Corp.	4.100%	2/1/21		19,016			19,309
Occidental Petroleum Corp.	4.850%	3/15/21		3,377			3,475
Occidental Petroleum Corp.	2.600%	8/13/21		18,000			18,108
Occidental Petroleum Corp.	3.125%	2/15/22		9,215			9,367
Occidental Petroleum Corp.	2.600%	4/15/22		4,991			5,025
Occidental Petroleum Corp.	2.700%	8/15/22		20,000			20,218
Occidental Petroleum Corp.	2.700%	2/15/23		11,731			11,820
Occidental Petroleum Corp.	6.950%	7/1/24		9,687			11,358
Occidental Petroleum Corp.	2.900%	8/15/24		27,300			27,729
Occidental Petroleum Corp.	3.500%	6/15/25		5,652			5,827
Occidental Petroleum Corp.	5.550%	3/15/26		19,463			22,052
Occidental Petroleum Corp.	3.400%	4/15/26		15,384			15,727
Occidental Petroleum Corp.	3.200%	8/15/26		11,020			11,139
Occidental Petroleum Corp.	3.500%	8/15/29		17,400			17,742
Occidental Petroleum Corp.	7.500%	5/1/31		8,861			11,500
Occidental Petroleum Corp.	7.875%	9/15/31		4,029			5,338
Occidental Petroleum Corp.	6.450%	9/15/36		19,985			24,340
Occidental Petroleum Corp.	7.950%	6/15/39		3,480			4,780
Occidental Petroleum Corp.	4.300%	8/15/39		8,020			8,131
Occidental Petroleum Corp.	6.200%	3/15/40		16,118			19,173
Occidental Petroleum Corp.	4.500%	7/15/44		9,390			9,385
Occidental Petroleum Corp.	4.625%	6/15/45		10,331			10,565
Occidental Petroleum Corp.	6.600%	3/15/46		9,625			12,480
Occidental Petroleum Corp.	4.400%	4/15/46		22,978			23,207
Occidental Petroleum Corp.	4.100%	2/15/47		8,460			8,198
Occidental Petroleum Corp.	4.200%	3/15/48		5,275			5,220
Occidental Petroleum Corp.	4.400%	8/15/49		6,355			6,542
ONEOK Inc.	4.250%	2/1/22		12,375			12,841
ONEOK Inc.	7.500%	9/1/23		8,650			10,062
ONEOK Inc.	2.750%	9/1/24		5,300			5,327
ONEOK Inc.	4.000%	7/13/27		3,175			3,352
ONEOK Inc.	3.400%	9/1/29		20,485			20,714
ONEOK Inc.	6.000%	6/15/35		1,000			1,165
ONEOK Inc.	4.950%	7/13/47		11,675			12,775
ONEOK Inc.	5.200%	7/15/48		4,250			4,813
ONEOK Inc.	4.450%	9/1/49		8,300			8,521
ONEOK Partners LP	3.375%	10/1/22		13,532			13,921
ONEOK Partners LP	4.900%	3/15/25		7,219			7,928
ONEOK Partners LP	6.650%	10/1/36		14,814			18,695
ONEOK Partners LP	6.850%	10/15/37		7,155			9,182
ONEOK Partners LP	6.125%	2/1/41		5,045			6,054
Patterson-UTI Energy Inc.	3.950%	2/1/28		6,505			6,279
Patterson-UTI Energy Inc.	5.150%	11/15/29		4,000			4,084
Petro-Canada	5.350%	7/15/33		3,730			4,598
Petro-Canada	5.950%	5/15/35		7,830			10,168
Petro-Canada	6.800%	5/15/38		10,263			14,622
Phillips 66	4.300%	4/1/22		14,360			15,062
Phillips 66	3.900%	3/15/28		8,760			9,521
Phillips 66	4.650%	11/15/34		5,668			6,612
Phillips 66	5.875%	5/1/42		13,206			17,833
Phillips 66	4.875%	11/15/44		24,171			29,114
Phillips 66 Partners LP	2.450%	12/15/24		3,000			2,992
Phillips 66 Partners LP	3.605%	2/15/25		8,183			8,537
Phillips 66 Partners LP	3.550%	10/1/26		2,500			2,614
Phillips 66 Partners LP	3.750%	3/1/28		3,575			3,716
Phillips 66 Partners LP	3.150%	12/15/29		6,500			6,454
Phillips 66 Partners LP	4.680%	2/15/45		6,900			7,429
Phillips 66 Partners LP	4.900%	10/1/46		5,376			6,009
Pioneer Natural Resources Co.	3.450%	1/15/21		3,680			3,722
Pioneer Natural Resources Co.	3.950%	7/15/22		21,210			22,062
Pioneer Natural Resources Co.	4.450%	1/15/26		9,495			10,415
Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21		6,112			6,248
Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22		4,134			4,242
Plains All American Pipeline LP / PAA Finance Corp.	2.850%	1/31/23		14,938			15,099

98

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Plains All American Pipeline LP / PAA Finance Corp.	3.850%	10/15/23		4,009			4,154
Plains All American Pipeline LP / PAA Finance Corp.	3.600%	11/1/24		24,515			25,148
Plains All American Pipeline LP / PAA Finance Corp.	4.650%	10/15/25		7,908			8,458
Plains All American Pipeline LP / PAA Finance Corp.	4.500%	12/15/26		10,854			11,521
Plains All American Pipeline LP / PAA Finance Corp.	3.550%	12/15/29		10,000			9,827
Plains All American Pipeline LP / PAA Finance Corp.	6.650%	1/15/37		3,181			3,742
Plains All American Pipeline LP / PAA Finance Corp.	5.150%	6/1/42		6,925			6,930
Plains All American Pipeline LP / PAA Finance Corp.	4.300%	1/31/43		10,897			9,931
Plains All American Pipeline LP / PAA Finance Corp.	4.700%	6/15/44		5,535			5,377
Plains All American Pipeline LP / PAA Finance Corp.	4.900%	2/15/45		300			298
Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22		10,610			11,268
Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22		21,120			22,361
Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23		14,200			15,016
Sabine Pass Liquefaction LLC	5.625%	2/1/21		32,487			33,397
Sabine Pass Liquefaction LLC	6.250%	3/15/22		14,525			15,609
Sabine Pass Liquefaction LLC	5.625%	4/15/23		16,008			17,409
Sabine Pass Liquefaction LLC	5.750%	5/15/24		22,950			25,601
Sabine Pass Liquefaction LLC	5.625%	3/1/25		26,050			29,274
Sabine Pass Liquefaction LLC	5.875%	6/30/26		25,067			28,796
Sabine Pass Liquefaction LLC	5.000%	3/15/27		9,717			10,701
Sabine Pass Liquefaction LLC	4.200%	3/15/28		15,290			16,189
Schlumberger Investment SA	3.650%	12/1/23		18,205			19,169
Shell International Finance BV	1.875%	5/10/21		23,850			23,840
Shell International Finance BV	1.750%	9/12/21		13,475			13,458
Shell International Finance BV	2.375%	8/21/22		11,531			11,679
Shell International Finance BV	2.250%	1/6/23		12,378			12,477
Shell International Finance BV	3.400%	8/12/23		9,345			9,791
Shell International Finance BV	3.500%	11/13/23		7,500			7,885
Shell International Finance BV	2.000%	11/7/24		10,000			9,983
Shell International Finance BV	3.250%	5/11/25		26,415			27,911
Shell International Finance BV	2.875%	5/10/26		31,120			32,265
Shell International Finance BV	2.500%	9/12/26		19,685			19,970
Shell International Finance BV	3.875%	11/13/28		16,585			18,373
Shell International Finance BV	2.375%	11/7/29		17,250			17,075
Shell International Finance BV	4.125%	5/11/35		16,555			19,322
Shell International Finance BV	6.375%	12/15/38		26,932			39,296
Shell International Finance BV	5.500%	3/25/40		6,603			8,938
Shell International Finance BV	3.625%	8/21/42		8,944			9,554
Shell International Finance BV	4.550%	8/12/43		13,487			16,276
Shell International Finance BV	4.375%	5/11/45		30,524			36,347
Shell International Finance BV	4.000%	5/10/46		29,986			34,157
Shell International Finance BV	3.750%	9/12/46		6,680			7,305
Shell International Finance BV	3.125%	11/7/49		18,645			18,383
Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.	4.400%	6/15/21		6,418			6,584
Spectra Energy Partners LP	4.750%	3/15/24		6,460			7,022
Spectra Energy Partners LP	3.500%	3/15/25		13,980			14,602
Spectra Energy Partners LP	3.375%	10/15/26		6,098			6,310
Spectra Energy Partners LP	5.950%	9/25/43		951			1,183
Spectra Energy Partners LP	4.500%	3/15/45		13,775			15,142
Suncor Energy Inc.	3.600%	12/1/24		3,540			3,749
Suncor Energy Inc.	7.150%	2/1/32		5,003			6,987
Suncor Energy Inc.	5.950%	12/1/34		2,135			2,782
Suncor Energy Inc.	6.500%	6/15/38		19,738			27,403
Suncor Energy Inc.	6.850%	6/1/39		2,954			4,269
Suncor Energy Inc.	4.000%	11/15/47		9,550			10,374
Sunoco Logistics Partners Operations LP	4.400%	4/1/21		23,900			24,472
Sunoco Logistics Partners Operations LP	3.450%	1/15/23		1,789			1,825
Sunoco Logistics Partners Operations LP	4.250%	4/1/24		7,593			7,967
Sunoco Logistics Partners Operations LP	5.950%	12/1/25		4,275			4,909
Sunoco Logistics Partners Operations LP	3.900%	7/15/26		6,085			6,302

99

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Sunoco Logistics Partners Operations LP	4.000%	10/1/27		9,940			10,242
	Sunoco Logistics Partners Operations LP	6.100%	2/15/42		9,115			9,998
	Sunoco Logistics Partners Operations LP	4.950%	1/15/43		1,075			1,066
	Sunoco Logistics Partners Operations LP	5.300%	4/1/44		12,878			13,571
	Sunoco Logistics Partners Operations LP	5.350%	5/15/45		15,427			16,444
	Sunoco Logistics Partners Operations LP	5.400%	10/1/47		9,945			10,740
	TC PipeLines LP	3.900%	5/25/27		6,500			6,783
	TechnipFMC plc	3.450%	10/1/22		5,322			5,415
	Tennessee Gas Pipeline Co. LLC	7.000%	3/15/27		1,580			1,947
	Tennessee Gas Pipeline Co. LLC	7.000%	10/15/28		2,520			3,211
	Tennessee Gas Pipeline Co. LLC	7.625%	4/1/37		1,792			2,371
7	Texas Eastern Transmission LP	2.800%	10/15/22		165			167
	Texas Eastern Transmission LP	7.000%	7/15/32		5,860			7,856
	Total Capital Canada Ltd.	2.750%	7/15/23		24,340			24,907
	Total Capital International SA	2.750%	6/19/21		27,828			28,188
	Total Capital International SA	2.218%	7/12/21		9,000			9,042
	Total Capital International SA	2.875%	2/17/22		6,765			6,902
	Total Capital International SA	2.700%	1/25/23		11,050			11,288
	Total Capital International SA	3.700%	1/15/24		24,850			26,371
	Total Capital International SA	3.750%	4/10/24		290			310
	Total Capital International SA	2.434%	1/10/25		10,000			10,112
	Total Capital International SA	3.455%	2/19/29		13,700			14,794
	Total Capital International SA	2.829%	1/10/30		15,700			16,095
	Total Capital International SA	3.461%	7/12/49		9,200			9,673
	Total Capital SA	4.125%	1/28/21		8,556			8,749
	Total Capital SA	3.883%	10/11/28		8,400			9,366
	TransCanada PipeLines Ltd.	2.500%	8/1/22		15,487			15,558
	TransCanada PipeLines Ltd.	3.750%	10/16/23		4,607			4,828
	TransCanada PipeLines Ltd.	4.875%	1/15/26		19,432			21,714
	TransCanada PipeLines Ltd.	4.250%	5/15/28		12,350			13,662
	TransCanada PipeLines Ltd.	4.625%	3/1/34		15,225			17,397
	TransCanada PipeLines Ltd.	5.600%	3/31/34		2,755			3,334
	TransCanada PipeLines Ltd.	5.850%	3/15/36		14,615			17,700
	TransCanada PipeLines Ltd.	6.200%	10/15/37		19,565			25,359
	TransCanada PipeLines Ltd.	4.750%	5/15/38		9,895			11,298
	TransCanada PipeLines Ltd.	6.100%	6/1/40		10,260			13,316
	TransCanada PipeLines Ltd.	5.000%	10/16/43		20,825			24,145
	TransCanada PipeLines Ltd.	4.875%	5/15/48		14,450			16,974
	TransCanada PipeLines Ltd.	5.100%	3/15/49		10,800			13,070
	Transcontinental Gas Pipe Line Co. LLC	7.850%	2/1/26		7,523			9,584
	Transcontinental Gas Pipe Line Co. LLC	4.000%	3/15/28		5,500			5,848
	Transcontinental Gas Pipe Line Co. LLC	5.400%	8/15/41		618			717
	Transcontinental Gas Pipe Line Co. LLC	4.450%	8/1/42		1,050			1,102
	Transcontinental Gas Pipe Line Co. LLC	4.600%	3/15/48		4,000			4,263
	Valero Energy Corp.	3.400%	9/15/26		16,129			16,902
	Valero Energy Corp.	4.350%	6/1/28		16,185			17,764
	Valero Energy Corp.	4.000%	4/1/29		8,945			9,621
	Valero Energy Corp.	7.500%	4/15/32		8,816			12,240
	Valero Energy Corp.	6.625%	6/15/37		10,913			14,441
	Valero Energy Corp.	4.900%	3/15/45		11,200			12,928
	Valero Energy Partners LP	4.375%	12/15/26		5,692			6,198
	Valero Energy Partners LP	4.500%	3/15/28		5,800			6,352
	Western Midstream Operating LP	5.375%	6/1/21		4,957			5,091
	Western Midstream Operating LP	4.000%	7/1/22		4,045			4,130
	Western Midstream Operating LP	3.950%	6/1/25		3,700			3,701
	Western Midstream Operating LP	4.650%	7/1/26		6,441			6,610
	Western Midstream Operating LP	4.500%	3/1/28		2,480			2,378
	Western Midstream Operating LP	4.750%	8/15/28		1,595			1,582
	Western Midstream Operating LP	5.450%	4/1/44		10,773			9,378
	Western Midstream Operating LP	5.300%	3/1/48		9,950			8,542
	Williams Cos. Inc.	4.000%	11/15/21		7,494			7,705
	Williams Cos. Inc.	3.600%	3/15/22		14,570			14,971
	Williams Cos. Inc.	3.350%	8/15/22		10,525			10,786
	Williams Cos. Inc.	3.700%	1/15/23		14,125			14,579

100

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Williams Cos. Inc.	4.500%	11/15/23		5,800			6,190
	Williams Cos. Inc.	4.300%	3/4/24		15,533			16,500
	Williams Cos. Inc.	4.550%	6/24/24		26,513			28,588
	Williams Cos. Inc.	3.900%	1/15/25		16,476			17,253
	Williams Cos. Inc.	4.000%	9/15/25		8,525			9,024
	Williams Cos. Inc.	3.750%	6/15/27		20,694			21,501
	Williams Cos. Inc.	7.500%	1/15/31		250			329
	Williams Cos. Inc.	6.300%	4/15/40		4,380			5,429
	Williams Cos. Inc.	5.800%	11/15/43		14,705			17,512
	Williams Cos. Inc.	5.400%	3/4/44		5,450			6,112
	Williams Cos. Inc.	5.750%	6/24/44		6,251			7,370
	Williams Cos. Inc.	4.900%	1/15/45		2,020			2,179
	Williams Cos. Inc.	5.100%	9/15/45		15,075			16,761
	Williams Cos. Inc.	4.850%	3/1/48		9,525			10,446
	Other Industrial (0.1%)
4	American University	3.672%	4/1/49		4,500			4,812
4	Boston University	4.061%	10/1/48		3,055			3,503
	California Institute of Technology	4.321%	8/1/45		475			567
	California Institute of Technology	4.700%	11/1/11		10,860			13,189
	California Institute of Technology	3.650%	9/1/19		2,900			2,803
	CBRE Services Inc.	5.250%	3/15/25		5,043			5,646
	CBRE Services Inc.	4.875%	3/1/26		14,015			15,667
	Cintas Corp. No. 2	2.900%	4/1/22		4,675			4,768
	Cintas Corp. No. 2	3.250%	6/1/22		4,915			5,057
	Cintas Corp. No. 2	3.700%	4/1/27		11,705			12,676
	Fluor Corp.	3.500%	12/15/24		15,079			15,366
	Fluor Corp.	4.250%	9/15/28		7,060			7,123
	Georgetown University	4.315%	4/1/49		3,900			4,676
	Georgetown University	5.215%	10/1/18		3,412			4,386
	Hillenbrand Inc.	4.500%	9/15/26		4,125			4,279
4	Johns Hopkins University	4.083%	7/1/53		3,900			4,504
	Leland Stanford Junior University	3.647%	5/1/48		6,574			7,347
4	Massachusetts Institute of Technology	3.959%	7/1/38		7,775			8,707
	Massachusetts Institute of Technology	2.989%	7/1/50		4,000			3,960
	Massachusetts Institute of Technology	5.600%	7/1/11		9,921			15,148
	Massachusetts Institute of Technology	4.678%	7/1/14		5,680			7,325
	Massachusetts Institute of Technology	3.885%	7/1/16		8,060			8,774
4	Northwestern University	4.643%	12/1/44		6,125			7,611
4	Northwestern University	3.662%	12/1/57		4,294			4,736
	President & Fellows of Harvard College	3.619%	10/1/37		2,500			2,659
7	President & Fellows of Harvard College	6.500%	1/15/39		100			148
	President & Fellows of Harvard College	4.875%	10/15/40		6,100			7,762
	President & Fellows of Harvard College	3.150%	7/15/46		5,337			5,414
	President & Fellows of Harvard College	3.300%	7/15/56		2,660			2,735
	Steelcase Inc.	5.125%	1/18/29		4,730			5,333
4	Trustees of Boston College	3.129%	7/1/52		4,560			4,429
4	University of Chicago	4.003%	10/1/53		6,610			7,522
4	University of Notre Dame du Lac	3.438%	2/15/45		7,000			7,442
	University of Notre Dame du Lac	3.394%	2/15/48		4,275			4,544
	University of Pennsylvania	4.674%	9/1/12		10,175			13,312
	University of Pennsylvania	3.610%	2/15/19		4,985			5,096
4	University of Southern California	3.028%	10/1/39		9,125			9,161
4	University of Southern California	3.841%	10/1/47		13,625			15,137
4	William Marsh Rice University	3.574%	5/15/45		14,660			15,636
	Technology (2.2%)
	Adobe Inc.	3.250%	2/1/25		13,407			14,140
	Alphabet Inc.	3.625%	5/19/21		13,553			13,893
	Alphabet Inc.	3.375%	2/25/24		2,000			2,126
	Alphabet Inc.	1.998%	8/15/26		1,394			1,387
	Altera Corp.	4.100%	11/15/23		7,030			7,571
	Amphenol Corp.	3.200%	4/1/24		3,650			3,778
	Amphenol Corp.	2.800%	2/15/30		15,350			15,114
	Analog Devices Inc.	2.950%	1/12/21		325			328

101

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Analog Devices Inc.	2.500%	12/5/21		5,475			5,518
Analog Devices Inc.	2.875%	6/1/23		14,050			14,323
Analog Devices Inc.	3.125%	12/5/23		10,124			10,444
Analog Devices Inc.	3.900%	12/15/25		164			176
Analog Devices Inc.	3.500%	12/5/26		10,915			11,444
Analog Devices Inc.	5.300%	12/15/45		850			1,035
Apple Inc.	2.000%	11/13/20		13,400			13,434
Apple Inc.	2.250%	2/23/21		35,506			35,682
Apple Inc.	2.850%	5/6/21		35,110			35,647
Apple Inc.	1.550%	8/4/21		20,941			20,895
Apple Inc.	2.150%	2/9/22		29,524			29,773
Apple Inc.	2.500%	2/9/22		17,325			17,583
Apple Inc.	2.300%	5/11/22		15,795			15,990
Apple Inc.	2.700%	5/13/22		20,159			20,588
Apple Inc.	2.100%	9/12/22		5,130			5,171
Apple Inc.	2.400%	1/13/23		16,217			16,454
Apple Inc.	2.850%	2/23/23		20,095			20,634
Apple Inc.	2.400%	5/3/23		39,713			40,358
Apple Inc.	3.000%	2/9/24		14,841			15,360
Apple Inc.	3.450%	5/6/24		18,207			19,347
Apple Inc.	2.850%	5/11/24		23,032			23,802
Apple Inc.	1.800%	9/11/24		5,150			5,103
Apple Inc.	2.750%	1/13/25		19,363			19,985
Apple Inc.	2.500%	2/9/25		17,374			17,710
Apple Inc.	3.200%	5/13/25		14,960			15,791
Apple Inc.	3.250%	2/23/26		54,668			57,819
Apple Inc.	2.450%	8/4/26		30,008			30,421
Apple Inc.	2.050%	9/11/26		11,050			10,929
Apple Inc.	3.350%	2/9/27		20,027			21,310
Apple Inc.	3.200%	5/11/27		30,239			31,851
Apple Inc.	2.900%	9/12/27		38,473			40,002
Apple Inc.	3.000%	11/13/27		5,282			5,541
Apple Inc.	2.200%	9/11/29		24,000			23,540
Apple Inc.	4.500%	2/23/36		14,560			17,655
Apple Inc.	3.850%	5/4/43		29,994			33,505
Apple Inc.	4.450%	5/6/44		5,072			6,199
Apple Inc.	3.450%	2/9/45		16,266			17,079
Apple Inc.	4.375%	5/13/45		22,175			26,693
Apple Inc.	4.650%	2/23/46		50,326			62,850
Apple Inc.	3.850%	8/4/46		28,205			31,655
Apple Inc.	4.250%	2/9/47		11,275			13,373
Apple Inc.	3.750%	9/12/47		14,494			15,982
Apple Inc.	3.750%	11/13/47		10,000			11,084
Apple Inc.	2.950%	9/11/49		29,973			29,127
Applied Materials Inc.	4.300%	6/15/21		5,050			5,221
Applied Materials Inc.	3.900%	10/1/25		7,900			8,600
Applied Materials Inc.	3.300%	4/1/27		13,350			14,164
Applied Materials Inc.	5.100%	10/1/35		5,278			6,652
Applied Materials Inc.	5.850%	6/15/41		7,366			10,045
Applied Materials Inc.	4.350%	4/1/47		11,225			13,541
Arrow Electronics Inc.	3.500%	4/1/22		4,350			4,451
Arrow Electronics Inc.	4.500%	3/1/23		2,154			2,256
Arrow Electronics Inc.	3.250%	9/8/24		9,054			9,290
Arrow Electronics Inc.	4.000%	4/1/25		3,785			3,919
Arrow Electronics Inc.	3.875%	1/12/28		6,300			6,460
Autodesk Inc.	3.600%	12/15/22		1,725			1,782
Autodesk Inc.	4.375%	6/15/25		3,363			3,661
Autodesk Inc.	3.500%	6/15/27		5,110			5,346
Avnet Inc.	3.750%	12/1/21		1,950			1,992
Avnet Inc.	4.875%	12/1/22		6,870			7,278
Avnet Inc.	4.625%	4/15/26		5,855			6,204
Baidu Inc.	2.875%	7/6/22		10,200			10,293
Baidu Inc.	3.500%	11/28/22		8,525			8,763
Baidu Inc.	3.875%	9/29/23		10,550			11,001

102

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Baidu Inc.	4.375%	5/14/24		9,100			9,696
	Baidu Inc.	3.625%	7/6/27		8,950			9,227
	Baidu Inc.	4.375%	3/29/28		5,000			5,419
	Baidu Inc.	4.875%	11/14/28		7,400			8,321
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21		9,375			9,363
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22		37,715			38,309
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23		14,500			14,571
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.625%	1/15/24		27,140			28,099
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.125%	1/15/25		15,750			15,936
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.875%	1/15/27		72,243			74,931
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.500%	1/15/28		6,865			6,932
7	Broadcom Inc.	3.125%	4/15/21		16,200			16,392
7	Broadcom Inc.	3.125%	10/15/22		16,000			16,278
7	Broadcom Inc.	3.625%	10/15/24		36,716			38,050
7	Broadcom Inc.	4.250%	4/15/26		28,150			29,882
7	Broadcom Inc.	4.750%	4/15/29		34,500			37,664
	Broadridge Financial Solutions Inc.	3.400%	6/27/26		4,400			4,581
	Broadridge Financial Solutions Inc.	2.900%	12/1/29		5,000			4,990
	Cadence Design Systems Inc.	4.375%	10/15/24		3,992			4,279
	Cisco Systems Inc.	2.200%	2/28/21		54,600			54,834
	Cisco Systems Inc.	2.900%	3/4/21		1,500			1,518
	Cisco Systems Inc.	1.850%	9/20/21		8,675			8,683
	Cisco Systems Inc.	3.000%	6/15/22		357			367
	Cisco Systems Inc.	2.600%	2/28/23		2,650			2,708
	Cisco Systems Inc.	2.200%	9/20/23		9,600			9,685
	Cisco Systems Inc.	3.625%	3/4/24		11,595			12,389
	Cisco Systems Inc.	3.500%	6/15/25		1,000			1,074
	Cisco Systems Inc.	2.950%	2/28/26		3,655			3,837
	Cisco Systems Inc.	2.500%	9/20/26		5,525			5,633
	Cisco Systems Inc.	5.900%	2/15/39		13,808			19,356
	Cisco Systems Inc.	5.500%	1/15/40		28,878			39,325
	Citrix Systems Inc.	4.500%	12/1/27		8,000			8,640
	Corning Inc.	2.900%	5/15/22		4,775			4,872
	Corning Inc.	4.700%	3/15/37		5,511			6,069
	Corning Inc.	5.750%	8/15/40		10,031			12,493
	Corning Inc.	4.750%	3/15/42		4,600			5,189
	Corning Inc.	5.350%	11/15/48		1,150			1,433
	Corning Inc.	4.375%	11/15/57		8,950			9,011
	Corning Inc.	5.850%	11/15/68		1,445			1,685
7	Dell International LLC / EMC Corp.	4.420%	6/15/21		47,824			49,154
7	Dell International LLC / EMC Corp.	5.450%	6/15/23		40,075			43,415
7	Dell International LLC / EMC Corp.	4.000%	7/15/24		11,950			12,503
7	Dell International LLC / EMC Corp.	6.020%	6/15/26		69,480			79,967
7	Dell International LLC / EMC Corp.	4.900%	10/1/26		10,000			11,002
7	Dell International LLC / EMC Corp.	5.300%	10/1/29		14,175			15,938
7	Dell International LLC / EMC Corp.	8.100%	7/15/36		17,125			22,459
7	Dell International LLC / EMC Corp.	8.350%	7/15/46		23,500			32,207
	DXC Technology Co.	4.250%	4/15/24		17,301			18,307
	DXC Technology Co.	4.750%	4/15/27		2,500			2,693
	Equifax Inc.	2.300%	6/1/21		10,450			10,481
	Equifax Inc.	3.600%	8/15/21		1,550			1,583
	Equifax Inc.	3.300%	12/15/22		2,200			2,264
	Equifax Inc.	3.950%	6/15/23		2,930			3,080
	Equifax Inc.	2.600%	12/1/24		2,725			2,738
	Equinix Inc.	2.625%	11/18/24		11,000			11,042
	Equinix Inc.	2.900%	11/18/26		6,000			6,007
	Equinix Inc.	3.200%	11/18/29		11,188			11,221
	Fidelity National Information Services Inc.	3.500%	4/15/23		8,411			8,754
	Fidelity National Information Services Inc.	3.875%	6/5/24		2,043			2,168
	Fidelity National Information Services Inc.	3.000%	8/15/26		26,160			27,011
	Fidelity National Information Services Inc.	3.750%	5/21/29		8,348			9,113
	Fiserv Inc.	4.750%	6/15/21		550			571
	Fiserv Inc.	3.500%	10/1/22		7,367			7,631
	Fiserv Inc.	3.800%	10/1/23		14,302			15,076

103

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Fiserv Inc.	2.750%	7/1/24		25,200			25,634
Fiserv Inc.	3.850%	6/1/25		14,794			15,738
Fiserv Inc.	3.200%	7/1/26		17,000			17,600
Fiserv Inc.	4.200%	10/1/28		5,285			5,826
Fiserv Inc.	3.500%	7/1/29		44,045			46,305
Fiserv Inc.	4.400%	7/1/49		25,275			28,656
Flex Ltd.	5.000%	2/15/23		8,320			8,874
Flex Ltd.	4.875%	6/15/29		7,600			8,250
FLIR Systems Inc.	3.125%	6/15/21		1,590			1,602
Global Payments Inc.	2.650%	2/15/25		19,981			20,081
Global Payments Inc.	3.200%	8/15/29		13,811			14,057
Global Payments Inc.	4.150%	8/15/49		8,500			9,073
Hewlett Packard Enterprise Co.	3.600%	10/15/20		44,503			44,987
Hewlett Packard Enterprise Co.	3.500%	10/5/21		3,220			3,295
Hewlett Packard Enterprise Co.	4.400%	10/15/22		23,155			24,439
Hewlett Packard Enterprise Co.	2.250%	4/1/23		4,900			4,898
Hewlett Packard Enterprise Co.	4.900%	10/15/25		29,125			32,284
Hewlett Packard Enterprise Co.	6.200%	10/15/35		8,718			10,436
Hewlett Packard Enterprise Co.	6.350%	10/15/45		17,450			21,028
HP Inc.	3.750%	12/1/20		1,389			1,411
HP Inc.	4.300%	6/1/21		8,000			8,230
HP Inc.	4.050%	9/15/22		1,875			1,958
HP Inc.	6.000%	9/15/41		10,304			11,359
IBM Credit LLC	3.450%	11/30/20		5,625			5,711
IBM Credit LLC	1.800%	1/20/21		7,620			7,609
IBM Credit LLC	2.650%	2/5/21		20,100			20,252
IBM Credit LLC	3.600%	11/30/21		9,965			10,292
IBM Credit LLC	2.200%	9/8/22		8,450			8,508
IBM Credit LLC	3.000%	2/6/23		10,460			10,759
Intel Corp.	1.700%	5/19/21		10,575			10,555
Intel Corp.	3.300%	10/1/21		17,717			18,173
Intel Corp.	3.100%	7/29/22		14,871			15,340
Intel Corp.	2.700%	12/15/22		23,852			24,432
Intel Corp.	2.875%	5/11/24		14,690			15,236
Intel Corp.	3.700%	7/29/25		44,721			48,315
Intel Corp.	2.600%	5/19/26		8,863			9,064
Intel Corp.	2.450%	11/15/29		16,000			15,908
Intel Corp.	4.000%	12/15/32		6,275			7,267
Intel Corp.	4.800%	10/1/41		9,681			11,979
Intel Corp.	4.900%	7/29/45		1,143			1,461
Intel Corp.	4.100%	5/19/46		14,025			16,123
Intel Corp.	4.100%	5/11/47		13,061			14,962
Intel Corp.	3.734%	12/8/47		38,909			42,518
Intel Corp.	3.250%	11/15/49		15,450			15,471
International Business Machines Corp.	2.250%	2/19/21		16,325			16,395
International Business Machines Corp.	2.800%	5/13/21		16,950			17,173
International Business Machines Corp.	2.900%	11/1/21		3,960			4,033
International Business Machines Corp.	2.500%	1/27/22		11,060			11,191
International Business Machines Corp.	2.850%	5/13/22		30,450			31,107
International Business Machines Corp.	1.875%	8/1/22		3,953			3,954
International Business Machines Corp.	2.875%	11/9/22		22,685			23,265
International Business Machines Corp.	3.375%	8/1/23		19,255			20,140
International Business Machines Corp.	3.625%	2/12/24		22,975			24,312
International Business Machines Corp.	3.000%	5/15/24		38,250			39,606
International Business Machines Corp.	7.000%	10/30/25		5,815			7,255
International Business Machines Corp.	3.450%	2/19/26		12,567			13,371
International Business Machines Corp.	3.300%	5/15/26		45,000			47,406
International Business Machines Corp.	3.300%	1/27/27		1,500			1,588
International Business Machines Corp.	6.220%	8/1/27		5,550			6,913
International Business Machines Corp.	6.500%	1/15/28		1,520			1,923
International Business Machines Corp.	3.500%	5/15/29		40,100			43,039
International Business Machines Corp.	5.875%	11/29/32		6,026			7,953
International Business Machines Corp.	4.150%	5/15/39		25,250			28,359
International Business Machines Corp.	5.600%	11/30/39		9,685			12,614

104

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
International Business Machines Corp.	4.000%	6/20/42		22,765			25,095
International Business Machines Corp.	4.250%	5/15/49		42,165			47,952
Jabil Inc.	5.625%	12/15/20		2,300			2,366
Jabil Inc.	4.700%	9/15/22		500			529
Jabil Inc.	3.950%	1/12/28		5,190			5,325
Juniper Networks Inc.	4.350%	6/15/25		10,000			10,641
Juniper Networks Inc.	3.750%	8/15/29		8,575			8,920
Juniper Networks Inc.	5.950%	3/15/41		5,051			5,682
Keysight Technologies Inc.	4.550%	10/30/24		12,352			13,419
Keysight Technologies Inc.	4.600%	4/6/27		7,300			8,092
Keysight Technologies Inc.	3.000%	10/30/29		1,500			1,503
KLA Corp.	4.125%	11/1/21		10,535			10,889
KLA Corp.	4.650%	11/1/24		17,405			19,076
KLA Corp.	4.100%	3/15/29		18,510			20,265
KLA Corp.	5.000%	3/15/49		5,310			6,495
Lam Research Corp.	2.800%	6/15/21		8,350			8,442
Lam Research Corp.	3.800%	3/15/25		5,500			5,850
Lam Research Corp.	3.750%	3/15/26		12,925			13,843
Lam Research Corp.	4.000%	3/15/29		11,150			12,256
Lam Research Corp.	4.875%	3/15/49		14,175			17,681
Marvell Technology Group Ltd.	4.200%	6/22/23		5,750			6,038
Marvell Technology Group Ltd.	4.875%	6/22/28		5,525			6,091
Maxim Integrated Products Inc.	3.375%	3/15/23		5,200			5,335
Maxim Integrated Products Inc.	3.450%	6/15/27		5,400			5,564
Microchip Technology Inc.	3.922%	6/1/21		6,000			6,130
Microchip Technology Inc.	4.333%	6/1/23		5,000			5,283
Micron Technology Inc.	4.640%	2/6/24		4,800			5,190
Micron Technology Inc.	4.975%	2/6/26		6,650			7,365
Micron Technology Inc.	4.185%	2/15/27		10,930			11,668
Micron Technology Inc.	5.327%	2/6/29		9,425			10,756
Micron Technology Inc.	4.663%	2/15/30		4,300			4,730
Microsoft Corp.	2.000%	11/3/20		52,013			52,118
Microsoft Corp.	4.000%	2/8/21		6,025			6,178
Microsoft Corp.	1.550%	8/8/21		30,395			30,335
Microsoft Corp.	2.400%	2/6/22		31,721			32,172
Microsoft Corp.	2.375%	2/12/22		19,292			19,554
Microsoft Corp.	2.650%	11/3/22		11,530			11,800
Microsoft Corp.	2.375%	5/1/23		12,848			13,067
Microsoft Corp.	2.000%	8/8/23		23,472			23,602
Microsoft Corp.	3.625%	12/15/23		2,000			2,128
Microsoft Corp.	2.875%	2/6/24		26,200			27,165
Microsoft Corp.	2.700%	2/12/25		13,916			14,383
Microsoft Corp.	3.125%	11/3/25		32,217			34,052
Microsoft Corp.	2.400%	8/8/26		48,869			49,360
Microsoft Corp.	3.300%	2/6/27		24,515			26,168
Microsoft Corp.	3.500%	2/12/35		19,543			21,497
Microsoft Corp.	4.200%	11/3/35		15,985			18,855
Microsoft Corp.	3.450%	8/8/36		36,676			40,097
Microsoft Corp.	4.100%	2/6/37		26,625			31,365
Microsoft Corp.	4.500%	10/1/40		15,397			19,075
Microsoft Corp.	3.500%	11/15/42		29,340			31,858
Microsoft Corp.	3.750%	5/1/43		7,006			7,742
Microsoft Corp.	4.875%	12/15/43		13,757			17,946
Microsoft Corp.	3.750%	2/12/45		29,275			33,222
Microsoft Corp.	4.450%	11/3/45		47,045			58,602
Microsoft Corp.	3.700%	8/8/46		52,862			59,649
Microsoft Corp.	4.250%	2/6/47		35,300			43,081
Microsoft Corp.	4.000%	2/12/55		33,008			39,012
Microsoft Corp.	4.750%	11/3/55		775			1,037
Microsoft Corp.	3.950%	8/8/56		15,375			18,186
Microsoft Corp.	4.500%	2/6/57		20,899			27,051
Motorola Solutions Inc.	3.750%	5/15/22		4,698			4,852
Motorola Solutions Inc.	3.500%	3/1/23		11,265			11,614
Motorola Solutions Inc.	4.000%	9/1/24		11,035			11,672

105

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Motorola Solutions Inc.	4.600%	2/23/28		8,550			9,248
	Motorola Solutions Inc.	5.500%	9/1/44		4,550			4,994
	NetApp Inc.	3.300%	9/29/24		4,450			4,601
	NVIDIA Corp.	2.200%	9/16/21		11,850			11,898
	NVIDIA Corp.	3.200%	9/16/26		10,790			11,281
7	NXP BV / NXP Funding LLC	4.875%	3/1/24		11,400			12,383
7	NXP BV / NXP Funding LLC	5.350%	3/1/26		12,941			14,526
7	NXP BV / NXP Funding LLC	5.550%	12/1/28		10,550			12,330
7	NXP BV / NXP Funding LLC / NXP USA Inc.	3.875%	6/18/26		2,900			3,067
7	NXP BV / NXP Funding LLC / NXP USA Inc.	4.300%	6/18/29		22,800			24,624
	Oracle Corp.	2.800%	7/8/21		11,643			11,810
	Oracle Corp.	1.900%	9/15/21		62,638			62,717
	Oracle Corp.	2.500%	5/15/22		19,453			19,730
	Oracle Corp.	2.500%	10/15/22		13,669			13,896
	Oracle Corp.	2.625%	2/15/23		12,661			12,906
	Oracle Corp.	2.400%	9/15/23		28,266			28,720
	Oracle Corp.	3.400%	7/8/24		37,835			39,914
	Oracle Corp.	2.950%	11/15/24		24,920			25,835
	Oracle Corp.	2.950%	5/15/25		33,437			34,753
	Oracle Corp.	2.650%	7/15/26		62,448			63,746
	Oracle Corp.	3.250%	11/15/27		5,000			5,286
	Oracle Corp.	3.250%	5/15/30		5,170			5,486
	Oracle Corp.	4.300%	7/8/34		20,495			23,929
	Oracle Corp.	3.900%	5/15/35		6,647			7,393
	Oracle Corp.	3.850%	7/15/36		23,705			25,947
	Oracle Corp.	3.800%	11/15/37		18,974			20,662
	Oracle Corp.	6.125%	7/8/39		5,000			6,989
	Oracle Corp.	5.375%	7/15/40		37,455			48,540
	Oracle Corp.	4.500%	7/8/44		20,538			24,221
	Oracle Corp.	4.125%	5/15/45		24,825			27,898
	Oracle Corp.	4.000%	7/15/46		27,710			30,732
	Oracle Corp.	4.000%	11/15/47		25,050			27,975
	Oracle Corp.	4.375%	5/15/55		13,477			15,935
	PayPal Holdings Inc.	2.200%	9/26/22		11,150			11,213
	PayPal Holdings Inc.	2.400%	10/1/24		14,000			14,136
	PayPal Holdings Inc.	2.650%	10/1/26		14,350			14,539
	PayPal Holdings Inc.	2.850%	10/1/29		18,540			18,578
	QUALCOMM Inc.	3.000%	5/20/22		22,225			22,763
	QUALCOMM Inc.	2.600%	1/30/23		22,075			22,461
	QUALCOMM Inc.	2.900%	5/20/24		17,320			17,847
	QUALCOMM Inc.	3.450%	5/20/25		26,800			28,251
	QUALCOMM Inc.	3.250%	5/20/27		19,400			20,312
	QUALCOMM Inc.	4.650%	5/20/35		9,826			11,626
	QUALCOMM Inc.	4.800%	5/20/45		15,637			19,116
	QUALCOMM Inc.	4.300%	5/20/47		17,365			19,920
	salesforce.com Inc.	3.250%	4/11/23		13,250			13,756
	salesforce.com Inc.	3.700%	4/11/28		16,000			17,543
	Seagate HDD Cayman	4.250%	3/1/22		1,133			1,170
	Seagate HDD Cayman	4.750%	6/1/23		2,503			2,650
	Seagate HDD Cayman	4.875%	3/1/24		9,125			9,707
	Seagate HDD Cayman	4.750%	1/1/25		6,348			6,737
	Seagate HDD Cayman	4.875%	6/1/27		7,045			7,468
	Seagate HDD Cayman	5.750%	12/1/34		7,105			7,478
	Tech Data Corp.	3.700%	2/15/22		7,735			7,893
	Tech Data Corp.	4.950%	2/15/27		5,000			5,148
	Texas Instruments Inc.	2.750%	3/12/21		8,025			8,112
	Texas Instruments Inc.	1.850%	5/15/22		5,700			5,706
	Texas Instruments Inc.	2.625%	5/15/24		3,550			3,638
	Texas Instruments Inc.	2.900%	11/3/27		7,125			7,440
	Texas Instruments Inc.	2.250%	9/4/29		9,500			9,355
	Texas Instruments Inc.	3.875%	3/15/39		8,850			9,948
	Texas Instruments Inc.	4.150%	5/15/48		15,650			18,493
	Total System Services Inc.	3.800%	4/1/21		9,645			9,824
	Total System Services Inc.	3.750%	6/1/23		4,448			4,642

106

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Total System Services Inc.	4.000%	6/1/23		7,638			8,039
	Total System Services Inc.	4.800%	4/1/26		8,098			8,999
	Total System Services Inc.	4.450%	6/1/28		3,000			3,267
	Trimble Inc.	4.150%	6/15/23		1,400			1,477
	Trimble Inc.	4.750%	12/1/24		5,796			6,279
	Trimble Inc.	4.900%	6/15/28		4,000			4,361
	Tyco Electronics Group SA	3.500%	2/3/22		2,200			2,264
	Tyco Electronics Group SA	3.450%	8/1/24		5,050			5,264
	Tyco Electronics Group SA	3.700%	2/15/26		1,000			1,055
	Tyco Electronics Group SA	3.125%	8/15/27		12,120			12,426
	Tyco Electronics Group SA	7.125%	10/1/37		7,700			11,315
	Verisk Analytics Inc.	5.800%	5/1/21		4,650			4,869
	Verisk Analytics Inc.	4.125%	9/12/22		6,015			6,288
	Verisk Analytics Inc.	4.000%	6/15/25		10,327			11,106
	Verisk Analytics Inc.	4.125%	3/15/29		7,960			8,686
	Verisk Analytics Inc.	5.500%	6/15/45		9,650			11,889
	VMware Inc.	2.300%	8/21/20		13,025			13,042
	VMware Inc.	2.950%	8/21/22		25,865			26,344
	VMware Inc.	3.900%	8/21/27		13,249			13,820
	Xilinx Inc.	3.000%	3/15/21		10,700			10,823
	Xilinx Inc.	2.950%	6/1/24		8,225			8,441
	Transportation (0.7%)
4	American Airlines 2011-1 Class A Pass Through Trust	5.250%	7/31/22		559			573
4	American Airlines 2013-1 Class A Pass Through Trust	4.000%	1/15/27		708			744
4	American Airlines 2013-2 Class A Pass Through Trust	4.950%	7/15/24		4,941			5,167
4	American Airlines 2014-1 Class A Pass Through Trust	3.700%	4/1/28		2,652			2,770
4	American Airlines 2015-1 Class A Pass Through Trust	3.375%	11/1/28		2,274			2,332
4	American Airlines 2015-1 Class B Pass Through Trust	3.700%	11/1/24		1,554			1,572
4	American Airlines 2015-2 Class AA Pass Through Trust	3.600%	9/22/27		893			937
4	American Airlines 2016-1 Class A Pass Through Trust	4.100%	1/15/28		2,892			3,054
4	American Airlines 2016-1 Class AA Pass Through Trust	3.575%	1/15/28		3,063			3,211
4	American Airlines 2016-2 Class A Pass Through Trust	3.650%	6/15/28		5,725			5,907
4	American Airlines 2016-2 Class AA Pass Through Trust	3.200%	12/15/29		8,887			9,157
4	American Airlines 2016-3 Class A Pass Through Trust	3.250%	4/15/30		2,005			2,056
4	American Airlines 2016-3 Class AA Pass Through Trust	3.000%	10/15/28		5,231			5,321
4	American Airlines 2017-1 Class AA Pass Through Trust	3.650%	8/15/30		2,234			2,341
4	American Airlines 2017-1B Class B Pass Through Trust	4.950%	2/15/25		1,180			1,241
4	American Airlines 2017-2 Class AA Pass Through Trust	3.350%	10/15/29		1,838			1,873
4	American Airlines 2019-1 Class AA Pass Through Trust	3.150%	8/15/33		5,250			5,329
	Burlington Northern Santa Fe LLC	4.100%	6/1/21		700			719
	Burlington Northern Santa Fe LLC	3.450%	9/15/21		9,950			10,178
	Burlington Northern Santa Fe LLC	3.050%	3/15/22		5,445			5,565
	Burlington Northern Santa Fe LLC	3.050%	9/1/22		7,041			7,224
	Burlington Northern Santa Fe LLC	3.000%	3/15/23		9,306			9,562
	Burlington Northern Santa Fe LLC	3.850%	9/1/23		7,701			8,177
	Burlington Northern Santa Fe LLC	3.750%	4/1/24		9,442			10,080
	Burlington Northern Santa Fe LLC	3.400%	9/1/24		10,903			11,525
	Burlington Northern Santa Fe LLC	3.000%	4/1/25		11,585			12,054
	Burlington Northern Santa Fe LLC	3.650%	9/1/25		6,403			6,880
	Burlington Northern Santa Fe LLC	7.000%	12/15/25		1,131			1,422
	Burlington Northern Santa Fe LLC	3.250%	6/15/27		8,755			9,352
	Burlington Northern Santa Fe LLC	6.200%	8/15/36		3,300			4,563
	Burlington Northern Santa Fe LLC	6.150%	5/1/37		3,211			4,509
	Burlington Northern Santa Fe LLC	5.750%	5/1/40		9,310			12,573
	Burlington Northern Santa Fe LLC	5.050%	3/1/41		7,300			9,067
	Burlington Northern Santa Fe LLC	5.400%	6/1/41		10,805			13,925
	Burlington Northern Santa Fe LLC	4.950%	9/15/41		4,350			5,321
	Burlington Northern Santa Fe LLC	4.400%	3/15/42		6,956			8,035
	Burlington Northern Santa Fe LLC	4.375%	9/1/42		11,196			13,002
	Burlington Northern Santa Fe LLC	4.450%	3/15/43		14,960			17,412
	Burlington Northern Santa Fe LLC	5.150%	9/1/43		4,650			5,927
	Burlington Northern Santa Fe LLC	4.900%	4/1/44		8,131			10,062
	Burlington Northern Santa Fe LLC	4.550%	9/1/44		10,702			12,758

107

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Burlington Northern Santa Fe LLC	4.150%	4/1/45		9,484			10,899
	Burlington Northern Santa Fe LLC	4.700%	9/1/45		7,540			9,184
	Burlington Northern Santa Fe LLC	3.900%	8/1/46		12,208			13,361
	Burlington Northern Santa Fe LLC	4.125%	6/15/47		12,940			14,620
	Burlington Northern Santa Fe LLC	4.050%	6/15/48		6,975			7,860
	Burlington Northern Santa Fe LLC	4.150%	12/15/48		8,225			9,388
	Burlington Northern Santa Fe LLC	3.550%	2/15/50		12,075			12,521
	Canadian National Railway Co.	2.850%	12/15/21		2,410			2,443
	Canadian National Railway Co.	2.950%	11/21/24		9,219			9,456
	Canadian National Railway Co.	2.750%	3/1/26		6,967			7,110
	Canadian National Railway Co.	6.900%	7/15/28		2,050			2,711
	Canadian National Railway Co.	6.250%	8/1/34		1,420			1,960
	Canadian National Railway Co.	6.200%	6/1/36		4,418			6,101
	Canadian National Railway Co.	6.375%	11/15/37		2,568			3,663
	Canadian National Railway Co.	3.200%	8/2/46		2,300			2,338
	Canadian National Railway Co.	3.650%	2/3/48		11,685			12,748
	Canadian National Railway Co.	4.450%	1/20/49		100			123
	Canadian Pacific Railway Co.	9.450%	8/1/21		1,000			1,108
	Canadian Pacific Railway Co.	4.500%	1/15/22		5,500			5,760
	Canadian Pacific Railway Co.	4.450%	3/15/23		6,303			6,686
	Canadian Pacific Railway Co.	2.900%	2/1/25		7,022			7,192
	Canadian Pacific Railway Co.	7.125%	10/15/31		2,910			4,034
	Canadian Pacific Railway Co.	5.750%	3/15/33		375			470
	Canadian Pacific Railway Co.	4.800%	9/15/35		2,464			2,934
	Canadian Pacific Railway Co.	5.950%	5/15/37		14,454			19,147
	Canadian Pacific Railway Co.	5.750%	1/15/42		13,745			18,262
	Canadian Pacific Railway Co.	4.800%	8/1/45		500			624
	Canadian Pacific Railway Co.	6.125%	9/15/15		3,350			4,880
	CH Robinson Worldwide Inc.	4.200%	4/15/28		4,192			4,577
4	Continental Airlines 2007-1 Class A Pass Through Trust	5.983%	10/19/23		2,485			2,615
4	Continental Airlines 2010-1 Class A Pass Through Trust	4.750%	7/12/22		2,754			2,813
4	Continental Airlines 2012-1 Class A Pass Through Trust	4.150%	10/11/25		5,366			5,612
4	Continental Airlines 2012-2 Class A Pass Through Trust	4.000%	4/29/26		943			994
	CSX Corp.	4.250%	6/1/21		4,465			4,579
	CSX Corp.	3.700%	11/1/23		5,600			5,919
	CSX Corp.	3.400%	8/1/24		3,500			3,684
	CSX Corp.	3.350%	11/1/25		10,090			10,675
	CSX Corp.	2.600%	11/1/26		6,490			6,585
	CSX Corp.	3.250%	6/1/27		9,589			10,058
	CSX Corp.	3.800%	3/1/28		10,585			11,514
	CSX Corp.	4.250%	3/15/29		16,808			18,871
	CSX Corp.	2.400%	2/15/30		4,500			4,393
	CSX Corp.	6.000%	10/1/36		6,794			8,829
	CSX Corp.	6.150%	5/1/37		3,867			5,121
	CSX Corp.	6.220%	4/30/40		7,850			10,649
	CSX Corp.	5.500%	4/15/41		8,687			10,907
	CSX Corp.	4.750%	5/30/42		6,755			7,907
	CSX Corp.	4.400%	3/1/43		313			349
	CSX Corp.	4.100%	3/15/44		7,150			7,761
	CSX Corp.	3.800%	11/1/46		4,800			4,975
	CSX Corp.	4.300%	3/1/48		8,850			9,947
	CSX Corp.	4.750%	11/15/48		5,175			6,255
	CSX Corp.	4.500%	3/15/49		11,550			13,383
	CSX Corp.	3.350%	9/15/49		7,150			7,035
	CSX Corp.	3.950%	5/1/50		6,160			6,646
	CSX Corp.	4.500%	8/1/54		275			315
	CSX Corp.	4.250%	11/1/66		8,695			9,292
	CSX Corp.	4.650%	3/1/68		9,075			10,346
4	Delta Air Lines 2007-1 Class A Pass Through Trust	6.821%	2/10/24		3,461			3,770
4	Delta Air Lines 2015-1 Class AA Pass Through Trust	3.625%	7/30/27		3,266			3,447
4	Delta Air Lines 2019-1 Class AA Pass Through Trust	3.204%	4/25/24		6,000			6,232
	Delta Air Lines Inc.	2.600%	12/4/20		6,775			6,795
	Delta Air Lines Inc.	3.400%	4/19/21		6,450			6,527
	Delta Air Lines Inc.	3.625%	3/15/22		9,975			10,217

108

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Delta Air Lines Inc.	3.800%	4/19/23		7,725			8,013
	Delta Air Lines Inc.	2.900%	10/28/24		7,000			7,017
	Delta Air Lines Inc.	4.375%	4/19/28		6,975			7,315
	Delta Air Lines Inc.	3.750%	10/28/29		5,000			4,978
	FedEx Corp.	3.400%	1/14/22		1,000			1,027
	FedEx Corp.	2.625%	8/1/22		5,865			5,950
	FedEx Corp.	4.000%	1/15/24		6,126			6,548
	FedEx Corp.	3.200%	2/1/25		7,364			7,631
	FedEx Corp.	3.250%	4/1/26		7,585			7,862
	FedEx Corp.	3.300%	3/15/27		5,950			6,113
	FedEx Corp.	3.400%	2/15/28		7,590			7,712
	FedEx Corp.	4.900%	1/15/34		1,762			1,992
	FedEx Corp.	3.900%	2/1/35		8,016			8,095
	FedEx Corp.	3.875%	8/1/42		3,420			3,287
	FedEx Corp.	4.100%	4/15/43		5,870			5,738
	FedEx Corp.	5.100%	1/15/44		6,795			7,437
	FedEx Corp.	4.100%	2/1/45		1,700			1,635
	FedEx Corp.	4.750%	11/15/45		18,965			19,962
	FedEx Corp.	4.550%	4/1/46		10,930			11,170
	FedEx Corp.	4.400%	1/15/47		8,830			8,874
	FedEx Corp.	4.050%	2/15/48		21,410			20,548
	FedEx Corp.	4.950%	10/17/48		8,250			8,965
	FedEx Corp.	4.500%	2/1/65		1,124			1,012
	JB Hunt Transport Services Inc.	3.300%	8/15/22		4,100			4,218
	JB Hunt Transport Services Inc.	3.875%	3/1/26		3,875			4,138
4	JetBlue 2019-1 Class AA Pass Through Trust	2.750%	5/15/32		10,260			10,339
	Kansas City Southern	3.000%	5/15/23		7,866			8,037
	Kansas City Southern	2.875%	11/15/29		5,735			5,712
	Kansas City Southern	4.300%	5/15/43		5,390			5,862
	Kansas City Southern	4.950%	8/15/45		9,025			10,582
	Kansas City Southern	4.700%	5/1/48		12,600			14,569
	Kirby Corp.	4.200%	3/1/28		22,676			23,903
4	Latam Airlines 2015-1 Pass Through Trust A	4.200%	8/15/29		2,326			2,399
	Norfolk Southern Corp.	3.250%	12/1/21		5,400			5,519
	Norfolk Southern Corp.	3.000%	4/1/22		10,073			10,293
	Norfolk Southern Corp.	2.903%	2/15/23		6,903			7,052
	Norfolk Southern Corp.	3.850%	1/15/24		3,575			3,788
	Norfolk Southern Corp.	5.590%	5/17/25		2,302			2,658
	Norfolk Southern Corp.	3.650%	8/1/25		1,775			1,893
	Norfolk Southern Corp.	2.900%	6/15/26		2,405			2,472
	Norfolk Southern Corp.	7.800%	5/15/27		2,800			3,677
	Norfolk Southern Corp.	3.150%	6/1/27		6,070			6,322
	Norfolk Southern Corp.	3.800%	8/1/28		8,290			9,096
	Norfolk Southern Corp.	2.550%	11/1/29		9,200			9,134
	Norfolk Southern Corp.	7.050%	5/1/37		2,000			2,797
	Norfolk Southern Corp.	4.837%	10/1/41		20,661			24,456
	Norfolk Southern Corp.	3.950%	10/1/42		478			506
	Norfolk Southern Corp.	4.450%	6/15/45		5,515			6,321
	Norfolk Southern Corp.	4.650%	1/15/46		6,910			8,137
	Norfolk Southern Corp.	3.942%	11/1/47		2,050			2,196
	Norfolk Southern Corp.	4.150%	2/28/48		2,810			3,170
	Norfolk Southern Corp.	4.100%	5/15/49		4,550			4,999
	Norfolk Southern Corp.	3.400%	11/1/49		2,955			2,921
	Norfolk Southern Corp.	4.050%	8/15/52		19,253			21,124
	Norfolk Southern Corp.	6.000%	3/15/05		972			1,282
	Norfolk Southern Corp.	5.100%	8/1/18		6,893			8,110
	Ryder System Inc.	3.500%	6/1/21		6,640			6,768
	Ryder System Inc.	2.875%	6/1/22		3,000			3,053
	Ryder System Inc.	2.500%	9/1/22		400			402
	Ryder System Inc.	3.400%	3/1/23		4,505			4,643
	Ryder System Inc.	3.750%	6/9/23		13,715			14,313
	Ryder System Inc.	3.650%	3/18/24		12,000			12,597
	Ryder System Inc.	2.500%	9/1/24		5,000			5,021
	Ryder System Inc.	2.900%	12/1/26		2,000			2,012

109

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Southwest Airlines Co.	2.750%	11/16/22		950			963
	Southwest Airlines Co.	3.000%	11/15/26		5,350			5,465
	Southwest Airlines Co.	3.450%	11/16/27		3,460			3,621
4	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24		743			782
4	Spirit Airlines Class A Pass Through Certificates Series 2015-1	4.100%	10/1/29		1,530			1,594
	Union Pacific Corp.	4.000%	2/1/21		6,303			6,409
	Union Pacific Corp.	3.200%	6/8/21		14,025			14,265
	Union Pacific Corp.	2.950%	3/1/22		5,750			5,873
	Union Pacific Corp.	4.163%	7/15/22		13,508			14,193
	Union Pacific Corp.	2.750%	4/15/23		1,930			1,965
	Union Pacific Corp.	3.500%	6/8/23		13,100			13,708
	Union Pacific Corp.	3.646%	2/15/24		6,620			6,968
	Union Pacific Corp.	3.150%	3/1/24		2,300			2,389
	Union Pacific Corp.	3.750%	3/15/24		2,538			2,684
	Union Pacific Corp.	3.250%	1/15/25		3,129			3,261
	Union Pacific Corp.	3.750%	7/15/25		9,900			10,602
	Union Pacific Corp.	3.250%	8/15/25		12,580			13,243
	Union Pacific Corp.	2.750%	3/1/26		15,085			15,404
	Union Pacific Corp.	3.000%	4/15/27		1,000			1,042
	Union Pacific Corp.	3.950%	9/10/28		19,505			21,495
	Union Pacific Corp.	3.700%	3/1/29		7,700			8,384
	Union Pacific Corp.	3.375%	2/1/35		7,200			7,423
	Union Pacific Corp.	3.600%	9/15/37		14,300			14,900
	Union Pacific Corp.	4.375%	9/10/38		7,205			8,219
	Union Pacific Corp.	4.250%	4/15/43		1,831			2,028
	Union Pacific Corp.	4.150%	1/15/45		1,550			1,698
	Union Pacific Corp.	4.050%	11/15/45		5,182			5,593
	Union Pacific Corp.	4.050%	3/1/46		2,900			3,158
	Union Pacific Corp.	3.350%	8/15/46		6,015			5,875
	Union Pacific Corp.	4.300%	3/1/49		9,150			10,467
	Union Pacific Corp.	3.799%	10/1/51		18,667			19,798
	Union Pacific Corp.	3.875%	2/1/55		9,700			10,150
	Union Pacific Corp.	3.950%	8/15/59		2,250			2,356
7	Union Pacific Corp.	3.839%	3/20/60		15,414			15,421
	Union Pacific Corp.	4.375%	11/15/65		10,616			11,640
	Union Pacific Corp.	4.100%	9/15/67		6,915			7,123
4	Union Pacific Railroad Co. 2007-3 Pass Through Trust	6.176%	1/2/31		682			798
4	United Airlines 2013-1 Class A Pass Through Trust	4.300%	2/15/27		2,070			2,218
4	United Airlines 2014-1 Class A Pass Through Trust	4.000%	10/11/27		3,159			3,340
4	United Airlines 2014-2 Class A Pass Through Trust	3.750%	3/3/28		1,141			1,199
4	United Airlines 2015-1 Class A Pass Through Trust	3.700%	6/1/24		2,940			3,008
4	United Airlines 2015-1 Class AA Pass Through Trust	3.450%	12/1/27		3,842			3,962
4	United Airlines 2016-1 Class A Pass Through Trust	3.450%	1/7/30		3,095			3,177
4	United Airlines 2016-1 Class AA Pass Through Trust	3.100%	7/7/28		27,250			27,833
4	United Airlines 2016-2 Class A Pass Through Trust	3.100%	10/7/28		2,526			2,556
4	United Airlines 2016-2 Class AA Pass Through Trust	2.875%	10/7/28		4,494			4,551
4	United Airlines 2019-1 Class AA Pass Through Trust	4.150%	8/25/31		9,325			10,064
4	United Airlines 2019-2 Class AA Pass Through Trust	2.700%	11/1/33		6,200			6,195
	United Parcel Service Inc.	3.125%	1/15/21		9,599			9,723
	United Parcel Service Inc.	2.050%	4/1/21		8,175			8,196
	United Parcel Service Inc.	2.350%	5/16/22		5,672			5,735
	United Parcel Service Inc.	2.450%	10/1/22		9,408			9,555
	United Parcel Service Inc.	2.500%	4/1/23		8,354			8,485
	United Parcel Service Inc.	2.800%	11/15/24		9,955			10,266
	United Parcel Service Inc.	2.400%	11/15/26		7,475			7,537
	United Parcel Service Inc.	3.050%	11/15/27		20,025			21,023
	United Parcel Service Inc.	3.400%	3/15/29		5,300			5,674
	United Parcel Service Inc.	2.500%	9/1/29		5,000			4,988
	United Parcel Service Inc.	6.200%	1/15/38		16,821			23,603
	United Parcel Service Inc.	4.875%	11/15/40		5,267			6,399
	United Parcel Service Inc.	3.625%	10/1/42		4,555			4,708
	United Parcel Service Inc.	3.400%	11/15/46		4,240			4,237
	United Parcel Service Inc.	3.750%	11/15/47		12,950			13,886

110

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	United Parcel Service Inc.	4.250%	3/15/49		7,450			8,616
	United Parcel Service Inc.	3.400%	9/1/49		8,050			8,154
	United Parcel Service of America Inc.	8.375%	4/1/30		1,563			2,204
4	US Airways 2012-1 Class A Pass Through Trust	5.900%	4/1/26		878			969
4	US Airways 2012-2 Class A Pass Through Trust	4.625%	12/3/26		531			570
4	US Airways 2013-1 Class A Pass Through Trust	3.950%	5/15/27		538			563
								40,658,989
Utilities (2.0%)
	Electric (1.8%)
	AEP Texas Inc.	2.400%	10/1/22		4,060			4,089
	AEP Texas Inc.	3.950%	6/1/28		10,450			11,378
	AEP Texas Inc.	3.800%	10/1/47		4,450			4,654
	AEP Texas Inc.	3.450%	1/15/50		5,000			4,995
	AEP Transmission Co. LLC	3.100%	12/1/26		3,265			3,365
	AEP Transmission Co. LLC	4.000%	12/1/46		5,490			6,058
	AEP Transmission Co. LLC	3.750%	12/1/47		6,500			6,965
	AEP Transmission Co. LLC	4.250%	9/15/48		3,575			4,099
	AEP Transmission Co. LLC	3.800%	6/15/49		5,000			5,352
	AEP Transmission Co. LLC	3.150%	9/15/49		4,690			4,543
	Alabama Power Co.	2.450%	3/30/22		7,950			8,049
	Alabama Power Co.	3.550%	12/1/23		9,021			9,503
	Alabama Power Co.	6.125%	5/15/38		775			1,045
	Alabama Power Co.	6.000%	3/1/39		658			913
	Alabama Power Co.	3.850%	12/1/42		2,795			2,972
	Alabama Power Co.	4.150%	8/15/44		4,750			5,277
	Alabama Power Co.	3.750%	3/1/45		3,970			4,163
	Alabama Power Co.	4.300%	1/2/46		14,654			16,677
	Alabama Power Co.	3.700%	12/1/47		6,200			6,496
	Alabama Power Co.	4.300%	7/15/48		6,975			8,035
	Alabama Power Co.	3.450%	10/1/49		7,450			7,623
	Ameren Corp.	3.650%	2/15/26		4,140			4,328
	Ameren Illinois Co.	2.700%	9/1/22		13,076			13,303
	Ameren Illinois Co.	3.250%	3/1/25		2,335			2,442
	Ameren Illinois Co.	3.800%	5/15/28		6,020			6,560
	Ameren Illinois Co.	4.150%	3/15/46		2,875			3,270
	Ameren Illinois Co.	3.700%	12/1/47		7,165			7,592
	Ameren Illinois Co.	4.500%	3/15/49		5,950			7,307
	American Electric Power Co. Inc.	3.650%	12/1/21		4,675			4,818
	American Electric Power Co. Inc.	2.950%	12/15/22		5,431			5,545
	American Electric Power Co. Inc.	3.200%	11/13/27		250			256
	American Electric Power Co. Inc.	4.300%	12/1/28		6,250			6,927
	Appalachian Power Co.	4.600%	3/30/21		5,822			5,975
	Appalachian Power Co.	3.400%	6/1/25		3,350			3,508
	Appalachian Power Co.	3.300%	6/1/27		5,325			5,517
	Appalachian Power Co.	7.000%	4/1/38		585			819
	Appalachian Power Co.	4.400%	5/15/44		1,625			1,826
	Appalachian Power Co.	4.450%	6/1/45		6,025			6,890
	Appalachian Power Co.	4.500%	3/1/49		12,670			14,694
	Arizona Public Service Co.	3.150%	5/15/25		5,050			5,236
	Arizona Public Service Co.	2.950%	9/15/27		1,000			1,024
	Arizona Public Service Co.	5.050%	9/1/41		85			103
	Arizona Public Service Co.	4.500%	4/1/42		8,888			10,224
	Arizona Public Service Co.	4.350%	11/15/45		1,150			1,304
	Arizona Public Service Co.	3.750%	5/15/46		10,550			10,970
	Arizona Public Service Co.	4.200%	8/15/48		500			556
	Arizona Public Service Co.	4.250%	3/1/49		5,800			6,546
	Arizona Public Service Co.	3.500%	12/1/49		3,430			3,437
	Avangrid Inc.	3.150%	12/1/24		8,658			8,925
	Avangrid Inc.	3.800%	6/1/29		10,115			10,698
	Avista Corp.	4.350%	6/1/48		4,195			4,744
	Baltimore Gas & Electric Co.	3.500%	11/15/21		2,738			2,811
	Baltimore Gas & Electric Co.	3.350%	7/1/23		7,030			7,292
	Baltimore Gas & Electric Co.	2.400%	8/15/26		3,790			3,802

111

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Baltimore Gas & Electric Co.	6.350%	10/1/36		683			941
Baltimore Gas & Electric Co.	3.500%	8/15/46		7,765			7,929
Baltimore Gas & Electric Co.	3.750%	8/15/47		5,500			5,864
Baltimore Gas & Electric Co.	4.250%	9/15/48		3,350			3,878
Baltimore Gas & Electric Co.	3.200%	9/15/49		6,645			6,501
Berkshire Hathaway Energy Co.	2.375%	1/15/21		6,100			6,120
Berkshire Hathaway Energy Co.	2.800%	1/15/23		5,575			5,685
Berkshire Hathaway Energy Co.	3.750%	11/15/23		8,169			8,622
Berkshire Hathaway Energy Co.	3.500%	2/1/25		7,161			7,553
Berkshire Hathaway Energy Co.	3.250%	4/15/28		4,075			4,251
Berkshire Hathaway Energy Co.	6.125%	4/1/36		11,726			16,139
Berkshire Hathaway Energy Co.	5.950%	5/15/37		11,500			15,536
Berkshire Hathaway Energy Co.	6.500%	9/15/37		4,969			6,884
Berkshire Hathaway Energy Co.	5.150%	11/15/43		8,347			10,488
Berkshire Hathaway Energy Co.	4.500%	2/1/45		7,875			9,269
Berkshire Hathaway Energy Co.	3.800%	7/15/48		5,330			5,649
Berkshire Hathaway Energy Co.	4.450%	1/15/49		12,045			14,117
Black Hills Corp.	4.250%	11/30/23		4,000			4,243
Black Hills Corp.	3.950%	1/15/26		2,700			2,845
Black Hills Corp.	3.150%	1/15/27		4,850			4,890
Black Hills Corp.	3.050%	10/15/29		3,915			3,912
Black Hills Corp.	4.350%	5/1/33		5,260			5,763
Black Hills Corp.	4.200%	9/15/46		3,780			3,932
Black Hills Corp.	3.875%	10/15/49		3,910			3,907
CenterPoint Energy Houston Electric LLC	1.850%	6/1/21		2,575			2,575
CenterPoint Energy Houston Electric LLC	2.250%	8/1/22		8,300			8,341
CenterPoint Energy Houston Electric LLC	2.400%	9/1/26		2,000			1,971
CenterPoint Energy Houston Electric LLC	3.000%	2/1/27		1,650			1,681
CenterPoint Energy Houston Electric LLC	6.950%	3/15/33		100			141
CenterPoint Energy Houston Electric LLC	3.550%	8/1/42		11,272			11,624
CenterPoint Energy Houston Electric LLC	4.500%	4/1/44		1,275			1,506
CenterPoint Energy Houston Electric LLC	3.950%	3/1/48		5,600			6,210
CenterPoint Energy Houston Electric LLC	4.250%	2/1/49		6,250			7,319
CenterPoint Energy Inc.	3.600%	11/1/21		3,000			3,071
CenterPoint Energy Inc.	2.500%	9/1/22		6,675			6,723
CenterPoint Energy Inc.	3.850%	2/1/24		9,325			9,789
CenterPoint Energy Inc.	2.500%	9/1/24		2,000			2,002
CenterPoint Energy Inc.	4.250%	11/1/28		4,775			5,139
CenterPoint Energy Inc.	2.950%	3/1/30		6,000			5,900
CenterPoint Energy Inc.	3.700%	9/1/49		6,000			5,910
Cleco Corporate Holdings LLC	3.743%	5/1/26		6,126			6,326
Cleco Corporate Holdings LLC	4.973%	5/1/46		5,450			6,037
Cleveland Electric Illuminating Co.	5.500%	8/15/24		5,515			6,292
Cleveland Electric Illuminating Co.	5.950%	12/15/36		5,960			7,440
CMS Energy Corp.	5.050%	3/15/22		1,280			1,350
CMS Energy Corp.	3.000%	5/15/26		6,275			6,376
CMS Energy Corp.	3.450%	8/15/27		1,675			1,748
CMS Energy Corp.	4.875%	3/1/44		5,750			6,844
Commonwealth Edison Co.	3.400%	9/1/21		4,660			4,767
Commonwealth Edison Co.	2.550%	6/15/26		10,800			10,885
Commonwealth Edison Co.	2.950%	8/15/27		4,700			4,830
Commonwealth Edison Co.	5.900%	3/15/36		3,144			4,164
Commonwealth Edison Co.	6.450%	1/15/38		8,098			11,504
Commonwealth Edison Co.	3.800%	10/1/42		3,549			3,807
Commonwealth Edison Co.	4.600%	8/15/43		3,990			4,740
Commonwealth Edison Co.	4.700%	1/15/44		5,527			6,665
Commonwealth Edison Co.	3.700%	3/1/45		8,850			9,406
Commonwealth Edison Co.	4.350%	11/15/45		6,625			7,691
Commonwealth Edison Co.	3.650%	6/15/46		11,792			12,369
Commonwealth Edison Co.	3.750%	8/15/47		6,695			7,227
Commonwealth Edison Co.	4.000%	3/1/48		9,890			11,007
Commonwealth Edison Co.	4.000%	3/1/49		7,550			8,491
Commonwealth Edison Co.	3.200%	11/15/49		3,000			2,978
Connecticut Light & Power Co.	2.500%	1/15/23		8,110			8,209

112

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Connecticut Light & Power Co.	3.200%	3/15/27		6,835			7,170
	Connecticut Light & Power Co.	4.300%	4/15/44		5,500			6,456
	Connecticut Light & Power Co.	4.150%	6/1/45		4,500			5,198
	Connecticut Light & Power Co.	4.000%	4/1/48		10,050			11,515
	Consolidated Edison Co. of New York Inc.	3.125%	11/15/27		1,675			1,739
	Consolidated Edison Co. of New York Inc.	3.800%	5/15/28		1,000			1,086
	Consolidated Edison Co. of New York Inc.	4.000%	12/1/28		1,350			1,495
	Consolidated Edison Co. of New York Inc.	5.300%	3/1/35		6,475			7,941
	Consolidated Edison Co. of New York Inc.	5.850%	3/15/36		4,744			6,169
	Consolidated Edison Co. of New York Inc.	6.200%	6/15/36		3,095			4,159
	Consolidated Edison Co. of New York Inc.	6.300%	8/15/37		500			688
	Consolidated Edison Co. of New York Inc.	6.750%	4/1/38		1,850			2,644
	Consolidated Edison Co. of New York Inc.	5.500%	12/1/39		5,987			7,755
	Consolidated Edison Co. of New York Inc.	5.700%	6/15/40		7,800			10,213
	Consolidated Edison Co. of New York Inc.	3.950%	3/1/43		2,795			3,021
	Consolidated Edison Co. of New York Inc.	4.450%	3/15/44		21,389			24,626
	Consolidated Edison Co. of New York Inc.	4.500%	12/1/45		10,750			12,539
	Consolidated Edison Co. of New York Inc.	3.850%	6/15/46		9,985			10,712
	Consolidated Edison Co. of New York Inc.	3.875%	6/15/47		7,750			8,362
	Consolidated Edison Co. of New York Inc.	4.125%	5/15/49		16,952			19,164
	Consolidated Edison Co. of New York Inc.	4.625%	12/1/54		4,782			5,715
	Consolidated Edison Co. of New York Inc.	4.300%	12/1/56		3,355			3,774
	Consolidated Edison Co. of New York Inc.	4.000%	11/15/57		3,675			3,876
	Consolidated Edison Co. of New York Inc.	4.500%	5/15/58		7,410			8,571
	Consolidated Edison Co. of New York Inc.	3.700%	11/15/59		5,753			5,925
	Consolidated Edison Inc.	2.000%	5/15/21		5,300			5,298
	Consumers Energy Co.	2.850%	5/15/22		11,725			11,975
	Consumers Energy Co.	3.375%	8/15/23		7,210			7,522
	Consumers Energy Co.	3.800%	11/15/28		6,935			7,648
	Consumers Energy Co.	3.950%	5/15/43		4,343			4,809
	Consumers Energy Co.	3.250%	8/15/46		4,900			4,867
	Consumers Energy Co.	3.950%	7/15/47		3,975			4,464
	Consumers Energy Co.	4.050%	5/15/48		6,000			6,868
	Consumers Energy Co.	4.350%	4/15/49		6,775			8,180
	Consumers Energy Co.	3.100%	8/15/50		4,585			4,595
	Delmarva Power & Light Co.	3.500%	11/15/23		4,525			4,739
	Delmarva Power & Light Co.	4.150%	5/15/45		7,400			8,266
	Dominion Energy Inc.	2.715%	8/15/21		2,000			2,015
	Dominion Energy Inc.	2.750%	1/15/22		5,825			5,897
	Dominion Energy Inc.	2.750%	9/15/22		600			607
	Dominion Energy Inc.	3.071%	8/15/24		3,160			3,213
	Dominion Energy Inc.	3.900%	10/1/25		8,915			9,487
	Dominion Energy Inc.	2.850%	8/15/26		3,204			3,229
	Dominion Energy Inc.	4.250%	6/1/28		4,095			4,509
	Dominion Energy Inc.	6.300%	3/15/33		6,200			8,061
	Dominion Energy Inc.	5.250%	8/1/33		1,134			1,361
	Dominion Energy Inc.	5.950%	6/15/35		9,169			11,567
	Dominion Energy Inc.	7.000%	6/15/38		4,752			6,568
	Dominion Energy Inc.	4.900%	8/1/41		8,360			9,707
	Dominion Energy Inc.	4.050%	9/15/42		7,881			8,251
	Dominion Energy Inc.	4.700%	12/1/44		3,226			3,706
	Dominion Energy Inc.	4.600%	3/15/49		5,900			6,850
4	Dominion Energy Inc.	5.750%	10/1/54		4,381			4,717
	Dominion Energy South Carolina Inc.	6.625%	2/1/32		5,529			7,454
	Dominion Energy South Carolina Inc.	6.050%	1/15/38		5,710			7,681
	Dominion Energy South Carolina Inc.	5.450%	2/1/41		3,345			4,312
	Dominion Energy South Carolina Inc.	4.600%	6/15/43		4,610			5,434
	Dominion Energy South Carolina Inc.	5.100%	6/1/65		4,775			6,203
	DTE Electric Co.	3.650%	3/15/24		9,250			9,766
	DTE Electric Co.	3.375%	3/1/25		7,750			8,152
	DTE Electric Co.	4.000%	4/1/43		6,425			7,152
	DTE Electric Co.	3.700%	3/15/45		5,739			6,161
	DTE Electric Co.	3.700%	6/1/46		2,225			2,390
	DTE Electric Co.	3.750%	8/15/47		6,070			6,602

113

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	DTE Electric Co.	4.050%	5/15/48		3,075			3,526
	DTE Electric Co.	3.950%	3/1/49		5,000			5,711
	DTE Energy Co.	2.600%	6/15/22		3,000			3,015
	DTE Energy Co.	2.250%	11/1/22		2,500			2,500
	DTE Energy Co.	3.700%	8/1/23		6,250			6,506
	DTE Energy Co.	3.850%	12/1/23		950			996
	DTE Energy Co.	3.500%	6/1/24		7,006			7,298
	DTE Energy Co.	2.529%	10/1/24		3,250			3,255
	DTE Energy Co.	2.850%	10/1/26		26,200			26,234
	DTE Energy Co.	3.800%	3/15/27		26,125			27,539
	DTE Energy Co.	3.400%	6/15/29		3,500			3,569
	DTE Energy Co.	2.950%	3/1/30		3,210			3,175
	DTE Energy Co.	6.375%	4/15/33		4,945			6,445
	Duke Energy Carolinas LLC	3.900%	6/15/21		1,195			1,224
	Duke Energy Carolinas LLC	3.350%	5/15/22		1,800			1,856
	Duke Energy Carolinas LLC	2.500%	3/15/23		8,800			8,919
	Duke Energy Carolinas LLC	3.050%	3/15/23		9,125			9,395
	Duke Energy Carolinas LLC	2.950%	12/1/26		7,165			7,383
	Duke Energy Carolinas LLC	3.950%	11/15/28		8,350			9,279
	Duke Energy Carolinas LLC	6.000%	12/1/28		5,690			7,082
	Duke Energy Carolinas LLC	2.450%	8/15/29		4,050			4,015
	Duke Energy Carolinas LLC	6.450%	10/15/32		4,390			5,988
	Duke Energy Carolinas LLC	6.100%	6/1/37		10,276			13,917
	Duke Energy Carolinas LLC	6.000%	1/15/38		5,820			7,811
	Duke Energy Carolinas LLC	6.050%	4/15/38		4,361			5,983
	Duke Energy Carolinas LLC	5.300%	2/15/40		8,951			11,523
	Duke Energy Carolinas LLC	4.250%	12/15/41		5,690			6,480
	Duke Energy Carolinas LLC	4.000%	9/30/42		7,529			8,292
	Duke Energy Carolinas LLC	3.750%	6/1/45		5,550			5,924
	Duke Energy Carolinas LLC	3.875%	3/15/46		10,300			11,412
	Duke Energy Carolinas LLC	3.700%	12/1/47		6,425			6,875
	Duke Energy Carolinas LLC	3.950%	3/15/48		1,500			1,658
	Duke Energy Carolinas LLC	3.200%	8/15/49		5,060			4,990
	Duke Energy Corp.	1.800%	9/1/21		280			279
	Duke Energy Corp.	3.550%	9/15/21		7,314			7,478
	Duke Energy Corp.	2.400%	8/15/22		10,855			10,935
	Duke Energy Corp.	3.050%	8/15/22		13,015			13,306
	Duke Energy Corp.	3.950%	10/15/23		4,500			4,757
	Duke Energy Corp.	2.650%	9/1/26		11,449			11,447
	Duke Energy Corp.	3.150%	8/15/27		19,279			19,786
	Duke Energy Corp.	4.800%	12/15/45		7,470			8,821
	Duke Energy Corp.	3.750%	9/1/46		18,282			18,674
	Duke Energy Corp.	4.200%	6/15/49		3,300			3,607
	Duke Energy Florida LLC	3.100%	8/15/21		970			986
	Duke Energy Florida LLC	3.200%	1/15/27		3,300			3,433
	Duke Energy Florida LLC	3.800%	7/15/28		5,575			6,066
	Duke Energy Florida LLC	2.500%	12/1/29		13,150			13,115
	Duke Energy Florida LLC	6.350%	9/15/37		9,715			13,482
	Duke Energy Florida LLC	6.400%	6/15/38		9,221			13,117
	Duke Energy Florida LLC	5.650%	4/1/40		350			460
	Duke Energy Florida LLC	3.850%	11/15/42		125			134
	Duke Energy Florida LLC	3.400%	10/1/46		7,285			7,376
	Duke Energy Florida LLC	4.200%	7/15/48		3,600			4,139
4	Duke Energy Florida Project Finance LLC	1.731%	9/1/22		2,950			2,932
4	Duke Energy Florida Project Finance LLC	2.538%	9/1/29		4,000			3,976
	Duke Energy Indiana LLC	6.120%	10/15/35		5,798			7,637
	Duke Energy Indiana LLC	6.350%	8/15/38		8,504			11,945
	Duke Energy Indiana LLC	6.450%	4/1/39		500			711
	Duke Energy Indiana LLC	4.900%	7/15/43		2,200			2,720
	Duke Energy Indiana LLC	3.750%	5/15/46		18,845			20,066
	Duke Energy Indiana LLC	3.250%	10/1/49		6,980			6,998
	Duke Energy Ohio Inc.	3.800%	9/1/23		1,200			1,267
	Duke Energy Ohio Inc.	3.650%	2/1/29		13,100			14,213
	Duke Energy Ohio Inc.	3.700%	6/15/46		5,700			6,008

114

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Duke Energy Ohio Inc.	4.300%	2/1/49		1,100			1,283
Duke Energy Progress LLC	3.000%	9/15/21		8,417			8,571
Duke Energy Progress LLC	2.800%	5/15/22		3,145			3,203
Duke Energy Progress LLC	3.375%	9/1/23		2,284			2,385
Duke Energy Progress LLC	3.250%	8/15/25		7,800			8,186
Duke Energy Progress LLC	3.700%	9/1/28		7,805			8,515
Duke Energy Progress LLC	3.450%	3/15/29		9,911			10,613
Duke Energy Progress LLC	6.300%	4/1/38		6,919			9,550
Duke Energy Progress LLC	4.100%	5/15/42		871			968
Duke Energy Progress LLC	4.100%	3/15/43		1,550			1,726
Duke Energy Progress LLC	4.375%	3/30/44		9,365			10,866
Duke Energy Progress LLC	4.150%	12/1/44		6,684			7,487
Duke Energy Progress LLC	4.200%	8/15/45		5,827			6,589
Duke Energy Progress LLC	3.700%	10/15/46		6,625			6,977
Duke Energy Progress LLC	3.600%	9/15/47		6,500			6,769
Edison International	2.400%	9/15/22		5,145			5,107
Edison International	2.950%	3/15/23		950			949
Edison International	5.750%	6/15/27		1,000			1,120
Edison International	4.125%	3/15/28		3,425			3,510
El Paso Electric Co.	6.000%	5/15/35		2,875			3,519
El Paso Electric Co.	5.000%	12/1/44		4,500			5,269
Emera US Finance LP	2.700%	6/15/21		8,020			8,081
Emera US Finance LP	3.550%	6/15/26		9,083			9,417
Emera US Finance LP	4.750%	6/15/46		17,269			19,932
Enel Americas SA	4.000%	10/25/26		4,000			4,134
Enel Chile SA	4.875%	6/12/28		10,670			11,825
Entergy Arkansas Inc.	3.750%	2/15/21		8,625			8,766
Entergy Arkansas Inc.	3.500%	4/1/26		5,903			6,207
Entergy Corp.	4.000%	7/15/22		7,441			7,747
Entergy Corp.	2.950%	9/1/26		8,321			8,437
Entergy Gulf States Louisiana LLC	5.590%	10/1/24		4,146			4,751
Entergy Louisiana LLC	4.050%	9/1/23		6,525			6,938
Entergy Louisiana LLC	5.400%	11/1/24		3,325			3,797
Entergy Louisiana LLC	2.400%	10/1/26		5,347			5,308
Entergy Louisiana LLC	3.120%	9/1/27		6,000			6,201
Entergy Louisiana LLC	3.250%	4/1/28		4,625			4,832
Entergy Louisiana LLC	3.050%	6/1/31		17,239			17,625
Entergy Louisiana LLC	4.000%	3/15/33		12,300			13,807
Entergy Louisiana LLC	4.950%	1/15/45		10,760			11,590
Entergy Louisiana LLC	4.200%	9/1/48		6,520			7,522
Entergy Louisiana LLC	4.200%	4/1/50		5,000			5,805
Entergy Mississippi LLC	2.850%	6/1/28		11,959			12,132
Entergy Mississippi LLC	3.850%	6/1/49		3,550			3,854
Entergy Texas Inc.	4.500%	3/30/39		400			457
Entergy Texas Inc.	3.550%	9/30/49		3,870			3,944
Evergy Inc.	2.900%	9/15/29		5,405			5,371
Eversource Energy	2.500%	3/15/21		6,650			6,687
Eversource Energy	2.750%	3/15/22		4,425			4,485
Eversource Energy	3.800%	12/1/23		6,150			6,433
Eversource Energy	2.900%	10/1/24		3,825			3,901
Eversource Energy	3.150%	1/15/25		5,547			5,710
Eversource Energy	3.300%	1/15/28		6,700			6,907
Eversource Energy	4.250%	4/1/29		8,500			9,387
Exelon Corp.	5.150%	12/1/20		9,053			9,234
Exelon Corp.	2.450%	4/15/21		3,115			3,131
Exelon Corp.	3.497%	6/1/22		2,150			2,206
Exelon Corp.	3.950%	6/15/25		20,995			22,574
Exelon Corp.	3.400%	4/15/26		10,830			11,292
Exelon Corp.	4.950%	6/15/35		7,380			8,506
Exelon Corp.	5.625%	6/15/35		5,875			7,251
Exelon Corp.	5.100%	6/15/45		4,337			5,192
Exelon Corp.	4.450%	4/15/46		11,893			13,416
Exelon Generation Co. LLC	3.400%	3/15/22		13,835			14,163
Exelon Generation Co. LLC	4.250%	6/15/22		7,020			7,337

115

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Exelon Generation Co. LLC	6.250%	10/1/39		10,992			13,275
	Exelon Generation Co. LLC	5.750%	10/1/41		3,593			4,134
	Exelon Generation Co. LLC	5.600%	6/15/42		11,628			12,975
	FirstEnergy Corp.	2.850%	7/15/22		7,300			7,409
	FirstEnergy Corp.	4.250%	3/15/23		6,299			6,640
	FirstEnergy Corp.	3.900%	7/15/27		19,107			20,389
	FirstEnergy Corp.	7.375%	11/15/31		17,330			24,371
	FirstEnergy Corp.	4.850%	7/15/47		15,638			18,563
	Florida Power & Light Co.	2.750%	6/1/23		11,475			11,729
	Florida Power & Light Co.	3.250%	6/1/24		11,015			11,494
	Florida Power & Light Co.	3.125%	12/1/25		15,355			16,087
	Florida Power & Light Co.	5.625%	4/1/34		3,125			4,096
	Florida Power & Light Co.	4.950%	6/1/35		645			790
	Florida Power & Light Co.	5.650%	2/1/37		3,396			4,534
	Florida Power & Light Co.	5.950%	2/1/38		8,235			11,272
	Florida Power & Light Co.	5.960%	4/1/39		600			844
	Florida Power & Light Co.	5.690%	3/1/40		100			135
	Florida Power & Light Co.	5.250%	2/1/41		500			645
	Florida Power & Light Co.	4.125%	2/1/42		16,098			18,273
	Florida Power & Light Co.	4.050%	6/1/42		6,140			6,913
	Florida Power & Light Co.	3.800%	12/15/42		5,095			5,599
	Florida Power & Light Co.	4.050%	10/1/44		4,300			4,922
	Florida Power & Light Co.	3.700%	12/1/47		7,525			8,285
	Florida Power & Light Co.	3.950%	3/1/48		10,860			12,279
	Florida Power & Light Co.	4.125%	6/1/48		6,272			7,279
	Florida Power & Light Co.	3.990%	3/1/49		5,450			6,215
	Florida Power & Light Co.	3.150%	10/1/49		5,005			4,987
	Fortis Inc.	3.055%	10/4/26		26,910			27,430
	Georgia Power Co.	2.400%	4/1/21		7,845			7,874
	Georgia Power Co.	2.850%	5/15/22		9,375			9,537
	Georgia Power Co.	3.250%	4/1/26		6,800			7,030
	Georgia Power Co.	3.250%	3/30/27		7,375			7,585
	Georgia Power Co.	2.650%	9/15/29		1,200			1,170
	Georgia Power Co.	4.750%	9/1/40		8,442			9,558
	Georgia Power Co.	4.300%	3/15/42		9,375			10,148
	Georgia Power Co.	4.300%	3/15/43		5,190			5,597
	Great Plains Energy Inc.	4.850%	6/1/21		1,983			2,045
	Gulf Power Co.	3.300%	5/30/27		3,400			3,550
	Iberdrola International BV	6.750%	7/15/36		3,450			4,769
	Indiana Michigan Power Co.	3.850%	5/15/28		11,120			12,038
	Indiana Michigan Power Co.	6.050%	3/15/37		7,350			9,656
	Indiana Michigan Power Co.	4.550%	3/15/46		1,780			2,072
	Indiana Michigan Power Co.	3.750%	7/1/47		9,005			9,412
	Indiana Michigan Power Co.	4.250%	8/15/48		5,375			6,111
	Interstate Power & Light Co.	3.250%	12/1/24		12,625			13,158
	Interstate Power & Light Co.	4.100%	9/26/28		5,600			6,115
	Interstate Power & Light Co.	3.600%	4/1/29		5,200			5,524
	Interstate Power & Light Co.	6.250%	7/15/39		3,345			4,397
	Interstate Power & Light Co.	3.700%	9/15/46		2,650			2,702
	Interstate Power & Light Co.	3.500%	9/30/49		250			245
	IPALCO Enterprises Inc.	3.700%	9/1/24		200			206
	ITC Holdings Corp.	2.700%	11/15/22		5,275			5,339
	ITC Holdings Corp.	3.650%	6/15/24		3,740			3,907
	ITC Holdings Corp.	3.250%	6/30/26		4,230			4,358
	ITC Holdings Corp.	3.350%	11/15/27		6,743			7,013
	ITC Holdings Corp.	5.300%	7/1/43		12,615			15,385
4	John Sevier Combined Cycle Generation LLC	4.626%	1/15/42		2,414			2,807
	Kansas City Power & Light Co.	3.150%	3/15/23		2,500			2,568
	Kansas City Power & Light Co.	5.300%	10/1/41		7,110			8,973
	Kansas City Power & Light Co.	4.200%	6/15/47		3,425			3,930
	Kansas City Power & Light Co.	4.200%	3/15/48		5,550			6,373
	Kentucky Utilities Co.	5.125%	11/1/40		3,656			4,548
	Kentucky Utilities Co.	4.375%	10/1/45		6,000			6,942
	Louisville Gas & Electric Co.	3.300%	10/1/25		4,250			4,444

116

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Louisville Gas & Electric Co.	4.250%	4/1/49		11,000			12,537
	MidAmerican Energy Co.	3.500%	10/15/24		10,128			10,744
	MidAmerican Energy Co.	3.100%	5/1/27		4,625			4,804
	MidAmerican Energy Co.	3.650%	4/15/29		7,000			7,631
	MidAmerican Energy Co.	6.750%	12/30/31		9,264			12,901
	MidAmerican Energy Co.	5.750%	11/1/35		2,100			2,758
	MidAmerican Energy Co.	5.800%	10/15/36		2,980			3,921
	MidAmerican Energy Co.	4.800%	9/15/43		2,769			3,384
	MidAmerican Energy Co.	4.250%	5/1/46		1,405			1,659
	MidAmerican Energy Co.	3.950%	8/1/47		3,400			3,768
	MidAmerican Energy Co.	3.650%	8/1/48		7,905			8,523
	MidAmerican Energy Co.	4.250%	7/15/49		5,150			6,174
	Mississippi Power Co.	3.950%	3/30/28		1,750			1,892
	Mississippi Power Co.	4.250%	3/15/42		7,775			8,285
	National Rural Utilities Cooperative Finance Corp.	2.900%	3/15/21		3,300			3,337
	National Rural Utilities Cooperative Finance Corp.	3.050%	2/15/22		2,412			2,462
	National Rural Utilities Cooperative Finance Corp.	2.400%	4/25/22		6,175			6,240
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23		12,435			12,675
	National Rural Utilities Cooperative Finance Corp.	3.400%	11/15/23		5,575			5,861
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24		11,000			11,345
	National Rural Utilities Cooperative Finance Corp.	2.850%	1/27/25		7,320			7,532
	National Rural Utilities Cooperative Finance Corp.	3.250%	11/1/25		1,345			1,417
	National Rural Utilities Cooperative Finance Corp.	3.050%	4/25/27		5,285			5,469
	National Rural Utilities Cooperative Finance Corp.	3.900%	11/1/28		5,440			5,920
	National Rural Utilities Cooperative Finance Corp.	3.700%	3/15/29		6,166			6,726
	National Rural Utilities Cooperative Finance Corp.	8.000%	3/1/32		600			886
	National Rural Utilities Cooperative Finance Corp.	4.023%	11/1/32		11,712			13,200
4	National Rural Utilities Cooperative Finance Corp.	4.750%	4/30/43		2,897			3,013
4	National Rural Utilities Cooperative Finance Corp.	5.250%	4/20/46		5,415			5,736
	National Rural Utilities Cooperative Finance Corp.	4.400%	11/1/48		6,900			8,215
	National Rural Utilities Cooperative Finance Corp.	4.300%	3/15/49		7,045			8,358
	Nevada Power Co.	3.700%	5/1/29		11,000			11,872
	Nevada Power Co.	6.650%	4/1/36		5,650			7,739
	Nevada Power Co.	6.750%	7/1/37		7,597			10,722
	NextEra Energy Capital Holdings Inc.	2.403%	9/1/21		10,000			10,049
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22		9,140			9,289
	NextEra Energy Capital Holdings Inc.	2.800%	1/15/23		6,005			6,094
	NextEra Energy Capital Holdings Inc.	3.150%	4/1/24		6,000			6,187
	NextEra Energy Capital Holdings Inc.	3.250%	4/1/26		2,750			2,860
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27		15,352			16,267
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29		9,000			9,516
	NextEra Energy Capital Holdings Inc.	2.750%	11/1/29		2,000			1,997
4	NextEra Energy Capital Holdings Inc.	4.800%	12/1/77		8,000			8,180
4	NextEra Energy Capital Holdings Inc.	5.650%	5/1/79		4,000			4,445
	Northern States Power Co.	2.600%	5/15/23		2,000			2,029
	Northern States Power Co.	6.250%	6/1/36		3,670			5,037
	Northern States Power Co.	6.200%	7/1/37		4,643			6,423
	Northern States Power Co.	5.350%	11/1/39		8,146			10,605
	Northern States Power Co.	3.400%	8/15/42		4,083			4,241
	Northern States Power Co.	4.000%	8/15/45		3,120			3,462
	Northern States Power Co.	3.600%	9/15/47		110			116
	Northern States Power Co.	2.900%	3/1/50		3,930			3,748
	NorthWestern Corp.	4.176%	11/15/44		4,475			4,920
	NSTAR Electric Co.	2.375%	10/15/22		8,975			9,063
	NSTAR Electric Co.	3.200%	5/15/27		9,100			9,501
	NSTAR Electric Co.	3.250%	5/15/29		4,300			4,486
	NSTAR Electric Co.	5.500%	3/15/40		4,996			6,376
	Oglethorpe Power Corp.	5.950%	11/1/39		1,450			1,809
	Oglethorpe Power Corp.	5.375%	11/1/40		8,050			9,708
	Oglethorpe Power Corp.	5.250%	9/1/50		568			680
	Ohio Edison Co.	6.875%	7/15/36		1,870			2,609
	Ohio Power Co.	5.375%	10/1/21		6,266			6,638
	Ohio Power Co.	4.150%	4/1/48		4,295			4,895
	Ohio Power Co.	4.000%	6/1/49		4,780			5,370

117

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Oklahoma Gas & Electric Co.	3.800%	8/15/28		5,725			6,182
Oklahoma Gas & Electric Co.	4.150%	4/1/47		2,975			3,216
Oklahoma Gas & Electric Co.	3.850%	8/15/47		3,750			3,887
Oncor Electric Delivery Co. LLC	4.100%	6/1/22		350			365
Oncor Electric Delivery Co. LLC	2.750%	6/1/24		6,000			6,096
Oncor Electric Delivery Co. LLC	2.950%	4/1/25		6,500			6,709
Oncor Electric Delivery Co. LLC	3.700%	11/15/28		2,100			2,290
Oncor Electric Delivery Co. LLC	5.750%	3/15/29		1,600			1,997
Oncor Electric Delivery Co. LLC	7.000%	5/1/32		5,440			7,726
Oncor Electric Delivery Co. LLC	7.250%	1/15/33		2,930			4,260
Oncor Electric Delivery Co. LLC	7.500%	9/1/38		1,771			2,775
Oncor Electric Delivery Co. LLC	5.250%	9/30/40		5,780			7,373
Oncor Electric Delivery Co. LLC	4.550%	12/1/41		4,494			5,296
Oncor Electric Delivery Co. LLC	5.300%	6/1/42		4,975			6,450
Oncor Electric Delivery Co. LLC	3.750%	4/1/45		10,394			11,302
Oncor Electric Delivery Co. LLC	3.800%	9/30/47		3,865			4,252
Oncor Electric Delivery Co. LLC	4.100%	11/15/48		2,700			3,130
Oncor Electric Delivery Co. LLC	3.800%	6/1/49		8,000			8,751
Oncor Electric Delivery Co. LLC	3.100%	9/15/49		14,025			13,877
PacifiCorp	2.950%	2/1/22		9,975			10,164
PacifiCorp	2.950%	6/1/23		5,215			5,343
PacifiCorp	3.600%	4/1/24		7,214			7,599
PacifiCorp	3.500%	6/15/29		11,450			12,331
PacifiCorp	7.700%	11/15/31		1,349			1,983
PacifiCorp	5.250%	6/15/35		1,510			1,860
PacifiCorp	6.100%	8/1/36		4,598			6,176
PacifiCorp	5.750%	4/1/37		9,001			11,759
PacifiCorp	6.250%	10/15/37		8,731			12,225
PacifiCorp	6.350%	7/15/38		3,350			4,701
PacifiCorp	6.000%	1/15/39		4,271			5,819
PacifiCorp	4.100%	2/1/42		4,965			5,504
PacifiCorp	4.125%	1/15/49		10,562			12,034
PacifiCorp	4.150%	2/15/50		25,000			28,676
PECO Energy Co.	2.375%	9/15/22		3,135			3,170
PECO Energy Co.	3.150%	10/15/25		2,350			2,456
PECO Energy Co.	3.900%	3/1/48		3,600			3,988
PECO Energy Co.	3.000%	9/15/49		3,000			2,855
Pinnacle West Capital Corp.	2.250%	11/30/20		3,400			3,409
PNM Resources Inc.	3.250%	3/9/21		3,000			3,036
Potomac Electric Power Co.	3.600%	3/15/24		3,537			3,721
Potomac Electric Power Co.	6.500%	11/15/37		7,732			10,923
Potomac Electric Power Co.	4.150%	3/15/43		4,675			5,243
PPL Capital Funding Inc.	4.200%	6/15/22		2,565			2,674
PPL Capital Funding Inc.	3.500%	12/1/22		1,745			1,801
PPL Capital Funding Inc.	3.400%	6/1/23		3,870			3,976
PPL Capital Funding Inc.	3.950%	3/15/24		815			857
PPL Capital Funding Inc.	3.100%	5/15/26		8,776			8,933
PPL Capital Funding Inc.	4.700%	6/1/43		6,830			7,566
PPL Capital Funding Inc.	5.000%	3/15/44		12,156			13,947
PPL Capital Funding Inc.	4.000%	9/15/47		4,625			4,704
PPL Electric Utilities Corp.	3.000%	9/15/21		5,495			5,588
PPL Electric Utilities Corp.	6.250%	5/15/39		5,467			7,633
PPL Electric Utilities Corp.	4.125%	6/15/44		3,100			3,465
PPL Electric Utilities Corp.	4.150%	10/1/45		4,405			4,953
PPL Electric Utilities Corp.	3.950%	6/1/47		5,275			5,781
PPL Electric Utilities Corp.	4.150%	6/15/48		3,400			3,886
Progress Energy Inc.	4.400%	1/15/21		6,847			6,963
Progress Energy Inc.	3.150%	4/1/22		17,265			17,611
Progress Energy Inc.	7.750%	3/1/31		2,960			4,137
Progress Energy Inc.	7.000%	10/30/31		3,025			4,078
Progress Energy Inc.	6.000%	12/1/39		7,724			10,020
PSEG Power LLC	3.000%	6/15/21		4,210			4,260
PSEG Power LLC	3.850%	6/1/23		7,925			8,300
PSEG Power LLC	8.625%	4/15/31		1,638			2,280

118

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Public Service Co. of Colorado	2.250%	9/15/22		5,600			5,641
	Public Service Co. of Colorado	3.700%	6/15/28		4,850			5,264
	Public Service Co. of Colorado	3.600%	9/15/42		10,575			11,107
	Public Service Co. of Colorado	4.300%	3/15/44		295			343
	Public Service Co. of Colorado	3.800%	6/15/47		750			824
	Public Service Co. of Colorado	4.100%	6/15/48		4,375			4,975
	Public Service Co. of Colorado	4.050%	9/15/49		5,305			6,045
	Public Service Co. of New Hampshire	3.500%	11/1/23		4,054			4,250
	Public Service Co. of New Hampshire	3.600%	7/1/49		3,370			3,560
	Public Service Electric & Gas Co.	1.900%	3/15/21		3,150			3,156
	Public Service Electric & Gas Co.	2.375%	5/15/23		5,225			5,283
	Public Service Electric & Gas Co.	3.250%	9/1/23		25			26
	Public Service Electric & Gas Co.	3.000%	5/15/25		5,510			5,715
	Public Service Electric & Gas Co.	2.250%	9/15/26		2,100			2,072
	Public Service Electric & Gas Co.	3.000%	5/15/27		6,050			6,246
	Public Service Electric & Gas Co.	3.700%	5/1/28		1,000			1,085
	Public Service Electric & Gas Co.	3.200%	5/15/29		3,600			3,799
	Public Service Electric & Gas Co.	5.800%	5/1/37		1,766			2,334
	Public Service Electric & Gas Co.	3.950%	5/1/42		14,730			16,262
	Public Service Electric & Gas Co.	3.650%	9/1/42		800			846
	Public Service Electric & Gas Co.	3.800%	3/1/46		16,730			18,222
	Public Service Electric & Gas Co.	3.600%	12/1/47		3,900			4,180
	Public Service Electric & Gas Co.	3.850%	5/1/49		5,805			6,455
	Public Service Enterprise Group Inc.	2.650%	11/15/22		7,660			7,778
	Public Service Enterprise Group Inc.	2.875%	6/15/24		4,645			4,731
	Puget Energy Inc.	6.500%	12/15/20		16,100			16,760
	Puget Energy Inc.	6.000%	9/1/21		5,494			5,823
	Puget Energy Inc.	5.625%	7/15/22		2,050			2,198
	Puget Energy Inc.	3.650%	5/15/25		7,630			7,910
	Puget Sound Energy Inc.	6.274%	3/15/37		3,525			4,759
	Puget Sound Energy Inc.	5.757%	10/1/39		6,910			9,156
	Puget Sound Energy Inc.	5.795%	3/15/40		1,824			2,433
	Puget Sound Energy Inc.	5.638%	4/15/41		3,068			3,971
	Puget Sound Energy Inc.	4.300%	5/20/45		8,150			9,400
	Puget Sound Energy Inc.	4.223%	6/15/48		6,220			7,056
	Puget Sound Energy Inc.	3.250%	9/15/49		5,425			5,409
	San Diego Gas & Electric Co.	3.000%	8/15/21		4,925			4,993
	San Diego Gas & Electric Co.	3.600%	9/1/23		7,335			7,652
	San Diego Gas & Electric Co.	2.500%	5/15/26		1,075			1,064
	San Diego Gas & Electric Co.	6.000%	6/1/39		1,929			2,471
	San Diego Gas & Electric Co.	4.500%	8/15/40		5,645			6,250
	San Diego Gas & Electric Co.	3.750%	6/1/47		4,350			4,439
	San Diego Gas & Electric Co.	4.150%	5/15/48		7,070			7,739
	Sierra Pacific Power Co.	2.600%	5/1/26		13,550			13,621
	Southern California Edison Co.	2.900%	3/1/21		6,000			6,063
	Southern California Edison Co.	3.875%	6/1/21		18,875			19,272
4	Southern California Edison Co.	1.845%	2/1/22		1,946			1,922
	Southern California Edison Co.	2.400%	2/1/22		7,400			7,436
	Southern California Edison Co.	3.400%	6/1/23		8,345			8,603
	Southern California Edison Co.	3.500%	10/1/23		2,025			2,106
	Southern California Edison Co.	3.700%	8/1/25		2,425			2,563
	Southern California Edison Co.	3.650%	3/1/28		9,725			10,420
	Southern California Edison Co.	4.200%	3/1/29		5,005			5,526
	Southern California Edison Co.	6.650%	4/1/29		2,106			2,528
	Southern California Edison Co.	2.850%	8/1/29		4,500			4,488
	Southern California Edison Co.	6.000%	1/15/34		5,535			6,866
	Southern California Edison Co.	5.750%	4/1/35		2,913			3,539
	Southern California Edison Co.	5.350%	7/15/35		8,928			10,588
	Southern California Edison Co.	5.550%	1/15/36		1,280			1,529
	Southern California Edison Co.	5.625%	2/1/36		5,650			6,852
	Southern California Edison Co.	5.550%	1/15/37		6,025			7,238
	Southern California Edison Co.	5.950%	2/1/38		5,713			7,266
	Southern California Edison Co.	6.050%	3/15/39		1,085			1,414
	Southern California Edison Co.	5.500%	3/15/40		5,148			6,258

119

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Southern California Edison Co.	4.500%	9/1/40		4,650			5,083
Southern California Edison Co.	4.050%	3/15/42		12,662			13,058
Southern California Edison Co.	3.900%	3/15/43		5,340			5,431
Southern California Edison Co.	4.650%	10/1/43		2,992			3,355
Southern California Edison Co.	3.600%	2/1/45		7,845			7,644
Southern California Edison Co.	4.000%	4/1/47		21,925			22,903
Southern California Edison Co.	4.125%	3/1/48		8,680			9,182
Southern California Edison Co.	4.875%	3/1/49		6,810			8,023
Southern Co.	2.350%	7/1/21		16,275			16,331
Southern Co.	2.950%	7/1/23		7,825			7,968
Southern Co.	3.250%	7/1/26		20,515			21,257
Southern Co.	4.250%	7/1/36		6,400			6,885
Southern Co.	4.400%	7/1/46		7,530			8,321
Southern Power Co.	2.500%	12/15/21		9,800			9,875
Southern Power Co.	4.150%	12/1/25		5,850			6,339
Southern Power Co.	5.150%	9/15/41		11,181			12,705
Southern Power Co.	5.250%	7/15/43		475			538
Southern Power Co.	4.950%	12/15/46		4,380			4,821
Southwestern Electric Power Co.	2.750%	10/1/26		4,800			4,771
Southwestern Electric Power Co.	4.100%	9/15/28		11,945			13,006
Southwestern Electric Power Co.	6.200%	3/15/40		4,890			6,453
Southwestern Electric Power Co.	3.900%	4/1/45		14,817			15,299
Southwestern Electric Power Co.	3.850%	2/1/48		6,150			6,322
Southwestern Public Service Co.	3.300%	6/15/24		2,990			3,107
Southwestern Public Service Co.	4.500%	8/15/41		6,248			7,288
Southwestern Public Service Co.	3.400%	8/15/46		21,590			21,519
Southwestern Public Service Co.	3.700%	8/15/47		6,195			6,482
Southwestern Public Service Co.	4.400%	11/15/48		10,670			12,451
Southwestern Public Service Co.	3.750%	6/15/49		3,450			3,674
Tampa Electric Co.	4.100%	6/15/42		602			655
Tampa Electric Co.	4.350%	5/15/44		5,935			6,716
Tampa Electric Co.	4.300%	6/15/48		4,420			5,119
Tampa Electric Co.	4.450%	6/15/49		6,800			8,054
Tampa Electric Co.	3.625%	6/15/50		4,020			4,255
Toledo Edison Co.	6.150%	5/15/37		3,530			4,768
Tucson Electric Power Co.	3.050%	3/15/25		2,484			2,561
Tucson Electric Power Co.	4.850%	12/1/48		185			226
Union Electric Co.	3.500%	4/15/24		8,630			9,066
Union Electric Co.	2.950%	6/15/27		6,275			6,423
Union Electric Co.	3.500%	3/15/29		4,000			4,283
Union Electric Co.	5.300%	8/1/37		3,570			4,441
Union Electric Co.	8.450%	3/15/39		1,775			2,893
Union Electric Co.	3.900%	9/15/42		2,840			3,073
Union Electric Co.	3.650%	4/15/45		4,900			5,131
Union Electric Co.	4.000%	4/1/48		5,000			5,599
Union Electric Co.	3.250%	10/1/49		3,750			3,731
Virginia Electric & Power Co.	2.950%	1/15/22		4,070			4,135
Virginia Electric & Power Co.	3.450%	9/1/22		5,490			5,676
Virginia Electric & Power Co.	2.750%	3/15/23		6,400			6,502
Virginia Electric & Power Co.	3.450%	2/15/24		6,320			6,595
Virginia Electric & Power Co.	3.100%	5/15/25		5,205			5,398
Virginia Electric & Power Co.	3.150%	1/15/26		9,290			9,696
Virginia Electric & Power Co.	2.950%	11/15/26		4,720			4,844
Virginia Electric & Power Co.	3.500%	3/15/27		30,203			32,054
Virginia Electric & Power Co.	3.800%	4/1/28		8,935			9,655
Virginia Electric & Power Co.	2.875%	7/15/29		2,000			2,038
Virginia Electric & Power Co.	6.000%	1/15/36		6,250			8,165
Virginia Electric & Power Co.	6.000%	5/15/37		4,925			6,525
Virginia Electric & Power Co.	6.350%	11/30/37		5,030			6,959
Virginia Electric & Power Co.	4.000%	1/15/43		8,823			9,592
Virginia Electric & Power Co.	4.650%	8/15/43		8,230			9,877
Virginia Electric & Power Co.	4.450%	2/15/44		10,930			12,662
Virginia Electric & Power Co.	4.200%	5/15/45		6,425			7,319
Virginia Electric & Power Co.	4.000%	11/15/46		5,734			6,296

120

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Virginia Electric & Power Co.	3.800%	9/15/47		5,874			6,351
Virginia Electric & Power Co.	4.600%	12/1/48		18,645			22,627
Virginia Electric & Power Co.	3.300%	12/1/49		6,550			6,600
WEC Energy Group Inc.	3.375%	6/15/21		5,125			5,219
WEC Energy Group Inc.	3.550%	6/15/25		4,160			4,397
Westar Energy Inc.	2.550%	7/1/26		7,875			7,894
Westar Energy Inc.	3.100%	4/1/27		13,010			13,434
Westar Energy Inc.	4.125%	3/1/42		8,362			9,317
Westar Energy Inc.	4.100%	4/1/43		5,225			5,815
Westar Energy Inc.	4.250%	12/1/45		2,465			2,806
Westar Energy Inc.	3.250%	9/1/49		4,050			3,956
Wisconsin Electric Power Co.	2.950%	9/15/21		2,515			2,552
Wisconsin Electric Power Co.	2.050%	12/15/24		1,550			1,548
Wisconsin Electric Power Co.	5.625%	5/15/33		775			990
Wisconsin Electric Power Co.	5.700%	12/1/36		1,050			1,368
Wisconsin Electric Power Co.	4.300%	10/15/48		3,475			4,006
Wisconsin Power & Light Co.	3.050%	10/15/27		2,200			2,273
Wisconsin Power & Light Co.	6.375%	8/15/37		4,225			5,752
Wisconsin Public Service Corp.	3.350%	11/21/21		5,505			5,662
Wisconsin Public Service Corp.	3.671%	12/1/42		3,375			3,526
Wisconsin Public Service Corp.	4.752%	11/1/44		5,000			6,098
Xcel Energy Inc.	2.400%	3/15/21		4,390			4,411
Xcel Energy Inc.	2.600%	3/15/22		5,225			5,284
Xcel Energy Inc.	3.300%	6/1/25		5,050			5,262
Xcel Energy Inc.	3.350%	12/1/26		3,825			3,988
Xcel Energy Inc.	4.000%	6/15/28		5,306			5,791
Xcel Energy Inc.	2.600%	12/1/29		5,200			5,142
Xcel Energy Inc.	6.500%	7/1/36		7,956			10,844
Xcel Energy Inc.	3.500%	12/1/49		4,340			4,417
Natural Gas (0.2%)
Atmos Energy Corp.	3.000%	6/15/27		7,000			7,227
Atmos Energy Corp.	2.625%	9/15/29		1,005			1,009
Atmos Energy Corp.	5.500%	6/15/41		10,110			13,001
Atmos Energy Corp.	4.150%	1/15/43		5,550			6,212
Atmos Energy Corp.	4.125%	10/15/44		2,800			3,139
Atmos Energy Corp.	3.375%	9/15/49		4,460			4,502
CenterPoint Energy Resources Corp.	4.500%	1/15/21		16,567			16,862
CenterPoint Energy Resources Corp.	3.550%	4/1/23		3,000			3,100
CenterPoint Energy Resources Corp.	4.000%	4/1/28		3,350			3,593
CenterPoint Energy Resources Corp.	5.850%	1/15/41		6,750			8,516
CenterPoint Energy Resources Corp.	4.100%	9/1/47		3,200			3,347
KeySpan Corp.	5.803%	4/1/35		2,715			3,284
NiSource Finance Corp.	3.490%	5/15/27		10,951			11,490
NiSource Finance Corp.	5.950%	6/15/41		9,065			11,581
NiSource Finance Corp.	5.250%	2/15/43		1,200			1,453
NiSource Finance Corp.	4.800%	2/15/44		2,242			2,571
NiSource Finance Corp.	5.650%	2/1/45		2,500			3,193
NiSource Finance Corp.	4.375%	5/15/47		19,832			22,122
NiSource Finance Corp.	3.950%	3/30/48		275			289
NiSource Inc.	2.650%	11/17/22		4,005			4,054
NiSource Inc.	3.650%	6/15/23		3,950			4,118
NiSource Inc.	2.950%	9/1/29		4,700			4,675
ONE Gas Inc.	4.658%	2/1/44		4,325			5,157
ONE Gas Inc.	4.500%	11/1/48		7,575			9,022
Piedmont Natural Gas Co. Inc.	3.500%	6/1/29		5,750			6,122
Piedmont Natural Gas Co. Inc.	4.650%	8/1/43		2,450			2,764
Piedmont Natural Gas Co. Inc.	3.640%	11/1/46		4,215			4,166
Sempra Energy	2.875%	10/1/22		6,125			6,228
Sempra Energy	2.900%	2/1/23		6,325			6,417
Sempra Energy	4.050%	12/1/23		11,435			12,103
Sempra Energy	3.550%	6/15/24		1,250			1,309
Sempra Energy	3.750%	11/15/25		5,450			5,744
Sempra Energy	3.250%	6/15/27		9,605			9,835

121

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Sempra Energy	3.400%	2/1/28		10,880			11,232
	Sempra Energy	3.800%	2/1/38		12,540			13,054
	Sempra Energy	6.000%	10/15/39		22,478			29,191
	Sempra Energy	4.000%	2/1/48		9,754			10,128
	Southern California Gas Co.	3.150%	9/15/24		4,045			4,208
	Southern California Gas Co.	3.200%	6/15/25		1,520			1,573
	Southern California Gas Co.	2.600%	6/15/26		13,950			13,935
	Southern California Gas Co.	3.750%	9/15/42		3,770			3,934
	Southern California Gas Co.	4.125%	6/1/48		5,075			5,605
	Southern California Gas Co.	4.300%	1/15/49		500			566
	Southern California Gas Co.	3.950%	2/15/50		3,925			4,394
	Southern Co. Gas Capital Corp.	3.500%	9/15/21		2,975			3,037
	Southern Co. Gas Capital Corp.	2.450%	10/1/23		1,101			1,103
	Southern Co. Gas Capital Corp.	3.250%	6/15/26		5,105			5,243
	Southern Co. Gas Capital Corp.	5.875%	3/15/41		4,295			5,411
	Southern Co. Gas Capital Corp.	4.400%	6/1/43		4,626			5,017
	Southern Co. Gas Capital Corp.	3.950%	10/1/46		5,950			6,080
	Southern Co. Gas Capital Corp.	4.400%	5/30/47		18,560			20,282
	Southwest Gas Corp.	3.700%	4/1/28		7,425			7,862
	Southwest Gas Corp.	3.800%	9/29/46		885			906
	Southwest Gas Corp.	4.150%	6/1/49		3,475			3,801
	Washington Gas Light Co.	3.796%	9/15/46		4,675			4,865
	Washington Gas Light Co.	3.650%	9/15/49		6,000			6,034
	Other Utility (0.0%)
	American Water Capital Corp.	3.850%	3/1/24		4,450			4,698
	American Water Capital Corp.	3.400%	3/1/25		5,860			6,135
	American Water Capital Corp.	2.950%	9/1/27		7,450			7,591
	American Water Capital Corp.	3.750%	9/1/28		6,500			6,999
	American Water Capital Corp.	3.450%	6/1/29		7,175			7,556
	American Water Capital Corp.	6.593%	10/15/37		8,141			11,555
	American Water Capital Corp.	4.300%	12/1/42		60			67
	American Water Capital Corp.	4.300%	9/1/45		5,472			6,213
	American Water Capital Corp.	4.000%	12/1/46		1,265			1,370
	American Water Capital Corp.	3.750%	9/1/47		11,775			12,381
	American Water Capital Corp.	4.200%	9/1/48		7,500			8,454
	American Water Capital Corp.	4.150%	6/1/49		6,890			7,718
	Aqua America Inc.	3.566%	5/1/29		3,655			3,852
	Aqua America Inc.	4.276%	5/1/49		4,820			5,347
	United Utilities plc	6.875%	8/15/28		960			1,171
	Veolia Environnement SA	6.750%	6/1/38		1,690			2,329
								4,881,932
Total Corporate Bonds (Cost $62,029,801)								66,294,257
Sovereign Bonds (4.0%)
	African Development Bank	2.625%	3/22/21		14,122			14,270
	African Development Bank	1.250%	7/26/21		7,670			7,619
	African Development Bank	2.375%	9/23/21		28,100			28,426
	African Development Bank	1.625%	9/16/22		30,730			30,678
	African Development Bank	2.125%	11/16/22		46,810			47,367
	African Development Bank	3.000%	9/20/23		15,560			16,274
	Asian Development Bank	2.250%	1/20/21		17,000			17,090
	Asian Development Bank	1.625%	3/16/21		44,000			43,945
	Asian Development Bank	1.750%	6/8/21		37,720			37,747
	Asian Development Bank	2.125%	11/24/21		13,000			13,105
	Asian Development Bank	2.000%	2/16/22		90,676			91,335
	Asian Development Bank	1.875%	2/18/22		29,550			29,695
	Asian Development Bank	1.875%	7/19/22		52,000			52,227
	Asian Development Bank	1.875%	8/10/22		1,000			1,003
	Asian Development Bank	1.750%	9/13/22		17,205			17,233
	Asian Development Bank	2.750%	3/17/23		40,486			41,795
	Asian Development Bank	2.625%	1/30/24		1,200			1,241
	Asian Development Bank	1.500%	10/18/24		39,830			39,366
	Asian Development Bank	2.000%	1/22/25		16,465			16,644

122

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Asian Development Bank	2.000%	4/24/26		11,350			11,413
	Asian Development Bank	1.750%	8/14/26		125			123
	Asian Development Bank	2.625%	1/12/27		21,100			22,050
	Asian Development Bank	6.220%	8/15/27		475			603
	Asian Development Bank	2.500%	11/2/27		41,947			43,627
	Asian Development Bank	2.750%	1/19/28		23,142			24,521
	Asian Development Bank	5.820%	6/16/28		2,240			2,845
	Asian Development Bank	3.125%	9/26/28		6,000			6,549
	Asian Development Bank	1.750%	9/19/29		21,900			21,401
	Asian Infrastructure Investment Bank	2.250%	5/16/24		16,010			16,315
	Canada	2.625%	1/25/22		17,455			17,788
	Canada	2.000%	11/15/22		34,410			34,737
	CNOOC Curtis Funding No 1 Pty Ltd.	4.500%	10/3/23		5,000			5,358
	CNOOC Finance 2013 Ltd.	3.000%	5/9/23		10,760			10,965
	CNOOC Finance 2013 Ltd.	2.875%	9/30/29		11,850			11,835
	CNOOC Finance 2013 Ltd.	4.250%	5/9/43		800			887
	CNOOC Finance 2013 Ltd.	3.300%	9/30/49		9,350			8,842
	CNOOC Finance 2015 Australia Pty Ltd.	4.200%	5/5/45		4,500			5,000
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25		31,660			33,097
	CNOOC Finance 2015 USA LLC	4.375%	5/2/28		13,000			14,395
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24		37,190			39,721
	CNOOC Nexen Finance 2014 ULC	4.875%	4/30/44		6,385			7,804
	Corp. Andina de Fomento	3.250%	2/11/22		1,647			1,676
	Corp. Andina de Fomento	4.375%	6/15/22		17,910			18,751
	Corp. Andina de Fomento	2.750%	1/6/23		21,879			22,069
	Corp. Andina de Fomento	3.750%	11/23/23		13,343			13,957
	Council Of Europe Development Bank	1.625%	3/16/21		8,700			8,683
	Council Of Europe Development Bank	1.750%	9/26/22		9,300			9,313
	Council Of Europe Development Bank	2.625%	2/13/23		23,255			23,898
	Council Of Europe Development Bank	2.500%	2/27/24		2,800			2,880
	Ecopetrol SA	5.875%	9/18/23		11,765			13,059
	Ecopetrol SA	4.125%	1/16/25		22,815			23,984
	Ecopetrol SA	5.375%	6/26/26		20,829			23,354
	Ecopetrol SA	7.375%	9/18/43		6,283			8,482
	Ecopetrol SA	5.875%	5/28/45		22,961			26,979
	Equinor ASA	2.750%	11/10/21		18,460			18,764
	Equinor ASA	3.150%	1/23/22		11,117			11,400
	Equinor ASA	2.450%	1/17/23		20,974			21,292
	Equinor ASA	7.750%	6/15/23		25			30
	Equinor ASA	2.650%	1/15/24		23,021			23,549
	Equinor ASA	3.700%	3/1/24		12,737			13,566
	Equinor ASA	3.250%	11/10/24		13,180			13,876
	Equinor ASA	7.250%	9/23/27		7,375			9,774
	Equinor ASA	3.625%	9/10/28		6,075			6,698
7	Equinor ASA	6.500%	12/1/28		975			1,274
	Equinor ASA	5.100%	8/17/40		4,761			6,067
	Equinor ASA	4.250%	11/23/41		8,784			10,164
	Equinor ASA	3.950%	5/15/43		10,562			11,772
	Equinor ASA	4.800%	11/8/43		10,252			12,919
	Equinor ASA	3.250%	11/18/49		7,425			7,455
	European Bank for Reconstruction & Development	2.000%	2/1/21		53,350			53,481
	European Bank for Reconstruction & Development	1.875%	7/15/21		6,375			6,390
	European Bank for Reconstruction & Development	1.500%	11/2/21		12,300			12,263
	European Bank for Reconstruction & Development	1.875%	2/23/22		14,800			14,864
	European Bank for Reconstruction & Development	2.125%	3/7/22		1,040			1,050
	European Bank for Reconstruction & Development	2.750%	3/7/23		24,094			24,874
	European Bank for Reconstruction & Development	1.625%	9/27/24		6,590			6,540
	European Investment Bank	4.000%	2/16/21		51,916			53,194
	European Investment Bank	2.000%	3/15/21		34,881			34,993
	European Investment Bank	2.500%	4/15/21		41,260			41,656
	European Investment Bank	2.375%	5/13/21		102,350			103,221
	European Investment Bank	1.625%	6/15/21		14,050			14,027
	European Investment Bank	1.375%	9/15/21		6,200			6,171
	European Investment Bank	2.125%	10/15/21		20,690			20,855

123

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

	Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
European Investment Bank	2.875%	12/15/21		64,182			65,648
European Investment Bank	2.250%	3/15/22		57,460			58,190
European Investment Bank	2.625%	5/20/22		11,300			11,554
European Investment Bank	2.375%	6/15/22		69,580			70,720
European Investment Bank	2.250%	8/15/22		24,615			24,967
European Investment Bank	1.375%	9/6/22		24,240			24,048
European Investment Bank	2.000%	12/15/22		6,575			6,634
European Investment Bank	2.500%	3/15/23		28,403			29,118
European Investment Bank	2.875%	8/15/23		45,204			47,077
European Investment Bank	3.125%	12/14/23		37,500			39,504
European Investment Bank	3.250%	1/29/24		47,240			50,024
European Investment Bank	2.625%	3/15/24		31,606			32,728
European Investment Bank	2.250%	6/24/24		40,365			41,240
European Investment Bank	2.500%	10/15/24		24,860			25,707
European Investment Bank	1.875%	2/10/25		50,760			51,057
European Investment Bank	2.125%	4/13/26		51,845			52,606
European Investment Bank	2.375%	5/24/27		11,460			11,829
European Investment Bank	1.625%	10/9/29		5,250			5,081
European Investment Bank	4.875%	2/15/36		14,815			19,882
Export Development Canada	1.500%	5/26/21		26,750			26,648
Export Development Canada	1.375%	10/21/21		14,300			14,208
Export Development Canada	2.000%	5/17/22		1,500			1,511
Export Development Canada	1.750%	7/18/22		11,200			11,242
Export Development Canada	2.500%	1/24/23		11,895			12,172
Export Development Canada	2.750%	3/15/23		8,990			9,279
Export Development Canada	2.625%	2/21/24		10,625			10,962
Export-Import Bank of Korea	2.625%	12/30/20		2,450			2,463
Export-Import Bank of Korea	4.000%	1/29/21		8,374			8,537
Export-Import Bank of Korea	2.125%	2/11/21		1,950			1,950
Export-Import Bank of Korea	2.500%	5/10/21		6,050			6,081
Export-Import Bank of Korea	4.375%	9/15/21		4,745			4,931
Export-Import Bank of Korea	1.875%	10/21/21		12,325			12,293
Export-Import Bank of Korea	3.500%	11/27/21		8,900			9,143
Export-Import Bank of Korea	2.750%	1/25/22		22,960			23,314
Export-Import Bank of Korea	5.000%	4/11/22		5,600			5,966
Export-Import Bank of Korea	3.000%	11/1/22		8,464			8,683
Export-Import Bank of Korea	3.625%	11/27/23		13,664			14,385
Export-Import Bank of Korea	4.000%	1/14/24		48,500			51,841
Export-Import Bank of Korea	3.250%	11/10/25		6,480			6,806
Export-Import Bank of Korea	2.625%	5/26/26		12,975			13,073
Export-Import Bank of Korea	3.250%	8/12/26		725			758
FMS Wertmanagement AoeR	2.000%	8/1/22		54,160			54,570
Hydro-Quebec	8.400%	1/15/22		8,195			9,204
Hydro-Quebec	8.050%	7/7/24		9,060			11,286
Hydro-Quebec	8.500%	12/1/29		1,396			2,119
Industrial & Commercial Bank of China Ltd.	2.635%	5/26/21		10,750			10,786
Industrial & Commercial Bank of China Ltd.	2.452%	10/20/21		1,000			1,001
Industrial & Commercial Bank of China Ltd.	2.957%	11/8/22		7,810			7,924
Industrial & Commercial Bank of China Ltd.	3.538%	11/8/27		8,350			8,626
Inter-American Development Bank	1.875%	3/15/21		18,290			18,315
Inter-American Development Bank	2.625%	4/19/21		28,164			28,474
Inter-American Development Bank	1.875%	7/23/21		12,495			12,534
Inter-American Development Bank	2.125%	1/18/22		74,400			75,078
Inter-American Development Bank	1.750%	4/14/22		30,140			30,194
Inter-American Development Bank	1.750%	9/14/22		19,078			19,114
Inter-American Development Bank	3.000%	9/26/22		27,796			28,697
Inter-American Development Bank	2.500%	1/18/23		58,970			60,382
Inter-American Development Bank	3.000%	10/4/23		8,225			8,619
Inter-American Development Bank	2.625%	1/16/24		15,545			16,064
Inter-American Development Bank	3.000%	2/21/24		28,257			29,596
Inter-American Development Bank	2.125%	1/15/25		29,620			30,075
Inter-American Development Bank	7.000%	6/15/25		2,950			3,678
Inter-American Development Bank	2.000%	6/2/26		32,570			32,754
Inter-American Development Bank	2.000%	7/23/26		23,765			23,902

124

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Inter-American Development Bank	2.375%	7/7/27		47,050			48,554
	Inter-American Development Bank	3.125%	9/18/28		34,842			38,020
	Inter-American Development Bank	2.250%	6/18/29		17,300			17,642
	Inter-American Development Bank	3.875%	10/28/41		1,345			1,650
	Inter-American Development Bank	3.200%	8/7/42		7,052			7,876
	Inter-American Development Bank	4.375%	1/24/44		8,725			11,540
	International Bank for Reconstruction & Development	1.625%	3/9/21		25,935			25,904
	International Bank for Reconstruction & Development	1.375%	5/24/21		66,505			66,183
	International Bank for Reconstruction & Development	2.250%	6/24/21		23,390			23,567
	International Bank for Reconstruction & Development	2.750%	7/23/21		78,546			79,844
	International Bank for Reconstruction & Development	1.375%	9/20/21		62,570			62,272
	International Bank for Reconstruction & Development	2.125%	12/13/21		14,155			14,267
	International Bank for Reconstruction & Development	2.000%	1/26/22		57,905			58,292
	International Bank for Reconstruction & Development	1.625%	2/10/22		61,735			61,692
	International Bank for Reconstruction & Development	2.125%	7/1/22		44,922			45,410
	International Bank for Reconstruction & Development	1.875%	10/7/22		3,900			3,919
	International Bank for Reconstruction & Development	7.625%	1/19/23		14,100			16,555
	International Bank for Reconstruction & Development	1.750%	4/19/23		10,215			10,225
	International Bank for Reconstruction & Development	1.875%	6/19/23		83,000			83,407
	International Bank for Reconstruction & Development	3.000%	9/27/23		64,300			67,290
	International Bank for Reconstruction & Development	2.500%	3/19/24		41,850			43,128
	International Bank for Reconstruction & Development	1.500%	8/28/24		49,995			49,429
	International Bank for Reconstruction & Development	2.500%	11/25/24		72,238			74,685
	International Bank for Reconstruction & Development	2.125%	3/3/25		1,770			1,799
	International Bank for Reconstruction & Development	2.500%	7/29/25		41,450			42,994
	International Bank for Reconstruction & Development	3.125%	11/20/25		25,280			27,120
	International Bank for Reconstruction & Development	8.875%	3/1/26		1,050			1,440
	International Bank for Reconstruction & Development	1.875%	10/27/26		6,650			6,641
	International Bank for Reconstruction & Development	2.500%	11/22/27		13,780			14,356
	International Bank for Reconstruction & Development	1.750%	10/23/29		13,500			13,178
	International Bank for Reconstruction & Development	4.750%	2/15/35		9,708			12,659
	International Finance Corp.	2.250%	1/25/21		39,803			40,012
	International Finance Corp.	1.125%	7/20/21		3,150			3,124
	International Finance Corp.	2.875%	7/31/23		16,500			17,164
	International Finance Corp.	1.375%	10/16/24		18,815			18,454
	International Finance Corp.	2.125%	4/7/26		23,800			24,165
8	Japan Bank for International Cooperation	1.875%	4/20/21		9,300			9,298
8	Japan Bank for International Cooperation	3.125%	7/20/21		8,375			8,542
8	Japan Bank for International Cooperation	1.500%	7/21/21		24,125			24,011
8	Japan Bank for International Cooperation	2.000%	11/4/21		6,480			6,496
8	Japan Bank for International Cooperation	2.500%	6/1/22		9,200			9,327
8	Japan Bank for International Cooperation	2.375%	7/21/22		11,000			11,124
8	Japan Bank for International Cooperation	1.625%	10/17/22		11,000			10,898
8	Japan Bank for International Cooperation	2.375%	11/16/22		34,280			34,703
8	Japan Bank for International Cooperation	3.250%	7/20/23		4,565			4,741
8	Japan Bank for International Cooperation	3.375%	7/31/23		1,400			1,469
8	Japan Bank for International Cooperation	3.375%	10/31/23		24,400			25,667
8	Japan Bank for International Cooperation	2.500%	5/23/24		4,000			4,073
8	Japan Bank for International Cooperation	3.000%	5/29/24		19,690			20,445
8	Japan Bank for International Cooperation	1.750%	10/17/24		13,000			12,797
8	Japan Bank for International Cooperation	2.125%	2/10/25		19,240			19,278
8	Japan Bank for International Cooperation	2.750%	1/21/26		5,720			5,905
8	Japan Bank for International Cooperation	2.375%	4/20/26		2,110			2,131
8	Japan Bank for International Cooperation	2.250%	11/4/26		30,750			30,835
8	Japan Bank for International Cooperation	2.875%	6/1/27		40,695			42,546
8	Japan Bank for International Cooperation	2.875%	7/21/27		9,250			9,658
8	Japan Bank for International Cooperation	2.750%	11/16/27		25,720			26,734
8	Japan Bank for International Cooperation	3.250%	7/20/28		14,935			16,079
8	Japan Bank for International Cooperation	3.500%	10/31/28		20,625			22,644
8	Japan Bank for International Cooperation	2.000%	10/17/29		12,000			11,697
8	Japan International Cooperation Agency	2.750%	4/27/27		11,600			11,968
8	Japan International Cooperation Agency	3.375%	6/12/28		5,250			5,702
9	KFW	1.625%	3/15/21		48,900			48,857
9	KFW	2.375%	3/24/21		51,700			52,077

125

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
9	KFW	2.625%	4/12/21		53,134			53,758
9	KFW	1.500%	6/15/21		84,685			84,541
9	KFW	2.375%	8/25/21		14,075			14,238
9	KFW	1.750%	9/15/21		65,700			65,799
9	KFW	2.000%	11/30/21		21,990			22,130
9	KFW	3.125%	12/15/21		63,435			65,199
9	KFW	2.625%	1/25/22		20,690			21,093
9	KFW	2.500%	2/15/22		53,050			53,918
9	KFW	2.125%	3/7/22		56,050			56,558
9	KFW	2.125%	6/15/22		64,090			64,758
9	KFW	1.750%	8/22/22		39,655			39,728
9	KFW	2.000%	9/29/22		7,190			7,252
9	KFW	2.000%	10/4/22		25,300			25,511
9	KFW	2.375%	12/29/22		55,900			57,046
9	KFW	2.125%	1/17/23		41,585			42,195
9	KFW	2.625%	2/28/24		20,100			20,790
9	KFW	1.375%	8/5/24		31,405			30,814
9	KFW	2.500%	11/20/24		52,896			54,633
9	KFW	2.000%	5/2/25		10,690			10,801
9	KFW	2.875%	4/3/28		2,575			2,758
9	KFW	1.750%	9/14/29		15,540			15,211
9	KFW	0.000%	4/18/36		16,942			11,562
9	KFW	0.000%	6/29/37		29,675			19,758
	Korea Development Bank	2.250%	5/18/20		100			100
	Korea Development Bank	2.500%	1/13/21		1,590			1,595
	Korea Development Bank	4.625%	11/16/21		6,975			7,288
	Korea Development Bank	2.625%	2/27/22		20,000			20,263
	Korea Development Bank	3.000%	3/19/22		2,000			2,052
	Korea Development Bank	3.000%	9/14/22		17,400			17,818
	Korea Development Bank	3.375%	3/12/23		37,000			38,380
	Korea Development Bank	2.750%	3/19/23		9,600			9,766
	Korea Development Bank	3.750%	1/22/24		23,490			24,899
	Korea Development Bank	3.250%	2/19/24		3,000			3,120
	Korea Development Bank	2.125%	10/1/24		5,700			5,677
	Korea Development Bank	2.000%	9/12/26		1,500			1,453
	Landesbank Baden-Wuerttemberg	7.625%	2/1/23		1,580			1,819
9	Landwirtschaftliche Rentenbank	1.750%	9/24/21		11,160			11,177
9	Landwirtschaftliche Rentenbank	3.125%	11/14/23		12,350			13,003
9	Landwirtschaftliche Rentenbank	2.000%	1/13/25		43,150			43,554
9	Landwirtschaftliche Rentenbank	2.375%	6/10/25		24,600			25,298
9	Landwirtschaftliche Rentenbank	1.750%	7/27/26		17,675			17,513
9	Landwirtschaftliche Rentenbank	2.500%	11/15/27		19,024			19,858
	Nexen Energy ULC	7.875%	3/15/32		12,815			18,479
	Nexen Energy ULC	5.875%	3/10/35		5,024			6,383
	Nexen Energy ULC	6.400%	5/15/37		12,469			17,154
	Nexen Energy ULC	7.500%	7/30/39		7,748			12,043
	Nordic Investment Bank	2.250%	2/1/21		17,930			18,014
	Nordic Investment Bank	1.250%	8/2/21		7,450			7,400
	Nordic Investment Bank	2.125%	2/1/22		3,815			3,849
	Nordic Investment Bank	1.375%	10/17/22		11,800			11,696
	Nordic Investment Bank	2.875%	7/19/23		13,500			14,032
	Nordic Investment Bank	2.250%	5/21/24		12,000			12,209
	North American Development Bank	2.400%	10/26/22		5,915			5,939
10	Oesterreichische Kontrollbank AG	1.875%	1/20/21		8,050			8,062
10	Oesterreichische Kontrollbank AG	2.875%	9/7/21		2,000			2,038
10	Oesterreichische Kontrollbank AG	2.375%	10/1/21		10,450			10,558
10	Oesterreichische Kontrollbank AG	2.625%	1/31/22		6,635			6,753
10	Oesterreichische Kontrollbank AG	1.625%	9/17/22		5,300			5,287
10	Oesterreichische Kontrollbank AG	2.875%	3/13/23		12,595			13,039
10	Oesterreichische Kontrollbank AG	3.125%	11/7/23		11,471			12,048
4	Oriental Republic of Uruguay	8.000%	11/18/22		3,900			4,348
4	Oriental Republic of Uruguay	4.500%	8/14/24		17,345			18,752
4	Oriental Republic of Uruguay	4.375%	10/27/27		27,244			30,071
4	Oriental Republic of Uruguay	4.375%	1/23/31		20,884			23,364

126

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Oriental Republic of Uruguay	7.625%	3/21/36		5,006			7,409
4	Oriental Republic of Uruguay	4.125%	11/20/45		12,825			13,771
4	Oriental Republic of Uruguay	5.100%	6/18/50		34,316			41,265
4	Oriental Republic of Uruguay	4.975%	4/20/55		27,436			32,306
	Petroleos Mexicanos	5.500%	1/21/21		14,584			14,977
	Petroleos Mexicanos	6.375%	2/4/21		6,130			6,240
	Petroleos Mexicanos	4.875%	1/24/22		7,170			7,449
	Petroleos Mexicanos	5.375%	3/13/22		6,875			7,201
	Petroleos Mexicanos	3.500%	1/30/23		7,386			7,461
	Petroleos Mexicanos	4.625%	9/21/23		12,642			13,183
	Petroleos Mexicanos	4.875%	1/18/24		7,948			8,334
4	Petroleos Mexicanos	2.290%	2/15/24		1,069			1,076
	Petroleos Mexicanos	4.250%	1/15/25		4,390			4,435
	Petroleos Mexicanos	2.378%	4/15/25		1,554			1,569
	Petroleos Mexicanos	4.500%	1/23/26		6,985			6,935
	Petroleos Mexicanos	6.875%	8/4/26		33,401			36,655
7	Petroleos Mexicanos	6.490%	1/23/27		30,759			32,647
	Petroleos Mexicanos	6.500%	3/13/27		68,570			72,559
	Petroleos Mexicanos	5.350%	2/12/28		37,955			37,693
	Petroleos Mexicanos	6.500%	1/23/29		21,315			22,351
7	Petroleos Mexicanos	6.840%	1/23/30		45,016			48,202
	Petroleos Mexicanos	6.625%	6/15/35		33,024			33,562
	Petroleos Mexicanos	6.625%	6/15/38		6,819			6,673
	Petroleos Mexicanos	6.500%	6/2/41		14,781			14,678
	Petroleos Mexicanos	5.500%	6/27/44		7,527			6,722
	Petroleos Mexicanos	6.375%	1/23/45		18,174			17,544
	Petroleos Mexicanos	5.625%	1/23/46		13,399			12,054
	Petroleos Mexicanos	6.750%	9/21/47		76,602			76,653
	Petroleos Mexicanos	6.350%	2/12/48		37,712			36,382
7	Petroleos Mexicanos	7.690%	1/23/50		94,862			103,551
	Province of Alberta	2.200%	7/26/22		24,870			25,078
	Province of Alberta	3.350%	11/1/23		24,515			25,817
	Province of Alberta	2.950%	1/23/24		14,235			14,776
	Province of Alberta	1.875%	11/13/24		24,635			24,556
	Province of Alberta	3.300%	3/15/28		13,990			15,101
	Province of British Columbia	2.650%	9/22/21		19,010			19,292
	Province of British Columbia	2.000%	10/23/22		9,031			9,084
	Province of British Columbia	1.750%	9/27/24		7,775			7,692
	Province of British Columbia	6.500%	1/15/26		266			327
	Province of British Columbia	2.250%	6/2/26		8,075			8,153
	Province of Manitoba	2.050%	11/30/20		1,750			1,752
	Province of Manitoba	2.125%	5/4/22		750			755
	Province of Manitoba	2.100%	9/6/22		11,570			11,638
	Province of Manitoba	2.600%	4/16/24		18,500			18,996
	Province of Manitoba	3.050%	5/14/24		1,900			1,982
	Province of Manitoba	2.125%	6/22/26		5,675			5,660
	Province of New Brunswick	2.500%	12/12/22		1,675			1,702
	Province of New Brunswick	3.625%	2/24/28		8,500			9,286
	Province of Ontario	2.550%	2/12/21		32,035			32,294
	Province of Ontario	2.500%	9/10/21		33,820			34,195
	Province of Ontario	2.400%	2/8/22		17,707			17,923
	Province of Ontario	2.550%	4/25/22		34,760			35,335
	Province of Ontario	2.250%	5/18/22		38,825			39,198
	Province of Ontario	2.450%	6/29/22		11,808			11,981
	Province of Ontario	2.200%	10/3/22		2,500			2,524
	Province of Ontario	3.400%	10/17/23		51,220			54,073
	Province of Ontario	3.050%	1/29/24		16,915			17,626
	Province of Ontario	3.200%	5/16/24		4,550			4,782
	Province of Ontario	2.500%	4/27/26		16,500			16,889
	Province of Ontario	2.300%	6/15/26		42,375			42,894
	Province of Ontario	2.000%	10/2/29		30,310			29,782
	Province of Quebec	2.750%	8/25/21		17,555			17,838
	Province of Quebec	2.375%	1/31/22		17,350			17,539
	Province of Quebec	2.625%	2/13/23		26,460			27,106

127

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Province of Quebec	7.500%	7/15/23		300			355
	Province of Quebec	7.125%	2/9/24		11,172			13,358
	Province of Quebec	2.875%	10/16/24		16,375			17,057
	Province of Quebec	2.500%	4/20/26		18,800			19,242
	Province of Quebec	2.750%	4/12/27		45,500			47,300
	Province of Quebec	7.500%	9/15/29		17,395			25,051
	Province of Saskatchewan	8.500%	7/15/22		3,374			3,899
	Republic of Chile	3.250%	9/14/21		5,743			5,850
	Republic of Chile	2.250%	10/30/22		2,385			2,392
	Republic of Chile	3.125%	3/27/25		6,870			7,158
	Republic of Chile	3.125%	1/21/26		11,468			12,000
4	Republic of Chile	3.240%	2/6/28		33,514			35,125
	Republic of Chile	3.625%	10/30/42		300			323
	Republic of Chile	3.860%	6/21/47		11,497			12,759
4	Republic of Chile	3.500%	1/25/50		13,756			14,254
	Republic of Colombia	4.375%	7/12/21		14,430			14,893
4	Republic of Colombia	2.625%	3/15/23		20,485			20,616
	Republic of Colombia	4.000%	2/26/24		26,225			27,627
	Republic of Colombia	8.125%	5/21/24		6,362			7,806
4	Republic of Colombia	4.500%	1/28/26		24,763			26,931
4	Republic of Colombia	3.875%	4/25/27		37,235			39,328
4	Republic of Colombia	4.500%	3/15/29		20,125			22,263
	Republic of Colombia	10.375%	1/28/33		5,750			9,243
	Republic of Colombia	7.375%	9/18/37		20,452			29,105
	Republic of Colombia	6.125%	1/18/41		22,750			29,272
4	Republic of Colombia	5.625%	2/26/44		20,332			25,075
4	Republic of Colombia	5.000%	6/15/45		70,289			81,137
	Republic of Colombia	5.200%	5/15/49		16,800			20,044
	Republic of Finland	6.950%	2/15/26		1,905			2,326
	Republic of Hungary	6.375%	3/29/21		71,811			75,762
	Republic of Hungary	5.375%	2/21/23		23,077			25,296
	Republic of Hungary	5.750%	11/22/23		4,691			5,289
	Republic of Hungary	5.375%	3/25/24		20,168			22,726
	Republic of Hungary	7.625%	3/29/41		16,965			27,783
	Republic of Indonesia	2.950%	1/11/23		3,150			3,202
	Republic of Indonesia	4.450%	2/11/24		3,300			3,556
	Republic of Indonesia	3.500%	1/11/28		15,800			16,463
	Republic of Indonesia	4.100%	4/24/28		13,780			14,969
	Republic of Indonesia	4.750%	2/11/29		18,615			21,315
	Republic of Indonesia	3.400%	9/18/29		3,650			3,791
7	Republic of Indonesia	4.750%	7/18/47		6,315			7,278
	Republic of Indonesia	4.350%	1/11/48		24,445			27,043
	Republic of Indonesia	5.350%	2/11/49		12,200			15,724
	Republic of Indonesia	3.700%	10/30/49		4,500			4,566
	Republic of Italy	6.875%	9/27/23		32,550			36,997
	Republic of Italy	2.375%	10/17/24		28,200			27,586
	Republic of Italy	2.875%	10/17/29		13,600			12,847
	Republic of Italy	5.375%	6/15/33		28,320			32,437
	Republic of Italy	4.000%	10/17/49		28,100			26,650
	Republic of Korea	5.625%	11/3/25		525			621
	Republic of Korea	2.750%	1/19/27		46,040			47,021
	Republic of Korea	4.125%	6/10/44		4,937			6,001
	Republic of Korea	3.875%	9/20/48		6,513			7,760
4	Republic of Panama	4.000%	9/22/24		13,514			14,443
4	Republic of Panama	3.750%	3/16/25		17,075			18,121
	Republic of Panama	7.125%	1/29/26		9,968			12,485
	Republic of Panama	8.875%	9/30/27		7,179			10,239
4	Republic of Panama	3.875%	3/17/28		14,960			16,269
	Republic of Panama	9.375%	4/1/29		10,920			16,639
4	Republic of Panama	3.160%	1/23/30		2,200			2,266
4	Republic of Panama	6.700%	1/26/36		23,254			32,585
4	Republic of Panama	4.500%	5/15/47		7,420			8,830
4	Republic of Panama	4.500%	4/16/50		30,978			36,709
4	Republic of Panama	4.300%	4/29/53		16,450			19,185

128

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
4	Republic of Panama	3.870%	7/23/60		4,600			4,945
	Republic of Peru	7.350%	7/21/25		7,040			8,895
	Republic of Peru	4.125%	8/25/27		1,468			1,642
	Republic of Peru	2.844%	6/20/30		4,000			4,137
	Republic of Peru	8.750%	11/21/33		34,914			57,575
4	Republic of Peru	6.550%	3/14/37		14,941			21,826
	Republic of Peru	5.625%	11/18/50		33,183			48,143
	Republic of Poland	5.125%	4/21/21		22,985			23,931
	Republic of Poland	5.000%	3/23/22		23,876			25,481
	Republic of Poland	3.000%	3/17/23		23,036			23,719
	Republic of Poland	4.000%	1/22/24		15,114			16,266
	Republic of Poland	3.250%	4/6/26		24,835			26,293
	Republic of the Philippines	4.000%	1/15/21		22,110			22,521
	Republic of the Philippines	4.200%	1/21/24		1,000			1,077
	Republic of the Philippines	9.500%	10/21/24		1,150			1,532
	Republic of the Philippines	10.625%	3/16/25		19,600			27,660
	Republic of the Philippines	5.500%	3/30/26		23,675			28,084
	Republic of the Philippines	3.000%	2/1/28		19,300			20,046
	Republic of the Philippines	3.750%	1/14/29		19,100			21,069
	Republic of the Philippines	9.500%	2/2/30		21,428			34,178
	Republic of the Philippines	7.750%	1/14/31		24,220			35,785
	Republic of the Philippines	6.375%	1/15/32		7,900			10,754
	Republic of the Philippines	6.375%	10/23/34		38,315			54,407
	Republic of the Philippines	5.000%	1/13/37		1,645			2,099
	Republic of the Philippines	3.950%	1/20/40		37,050			42,270
	Republic of the Philippines	3.700%	3/1/41		14,075			15,940
	Republic of the Philippines	3.700%	2/2/42		22,320			25,143
	State of Israel	4.000%	6/30/22		16,130			16,955
	State of Israel	3.150%	6/30/23		11,100			11,543
	State of Israel	2.875%	3/16/26		25,400			26,479
	State of Israel	3.250%	1/17/28		5,000			5,360
	State of Israel	4.500%	1/30/43		14,100			16,791
	State of Israel	4.125%	1/17/48		12,100			13,806
	Svensk Exportkredit AB	1.750%	3/10/21		17,950			17,948
	Svensk Exportkredit AB	2.375%	4/9/21		6,900			6,954
	Svensk Exportkredit AB	2.875%	5/22/21		9,125			9,268
	Svensk Exportkredit AB	1.625%	9/12/21		17,700			17,675
	Svensk Exportkredit AB	3.125%	11/8/21		12,000			12,305
	Svensk Exportkredit AB	2.000%	8/30/22		16,500			16,610
	Svensk Exportkredit AB	1.625%	11/14/22		14,000			13,967
	Svensk Exportkredit AB	2.875%	3/14/23		12,700			13,155
	Syngenta Finance NV	3.125%	3/28/22		6,535			6,586
	United Mexican States	3.625%	3/15/22		44,240			45,569
	United Mexican States	4.000%	10/2/23		22,606			23,816
	United Mexican States	3.600%	1/30/25		30,467			31,833
	United Mexican States	4.125%	1/21/26		32,285			34,367
	United Mexican States	4.150%	3/28/27		45,290			48,400
	United Mexican States	3.750%	1/11/28		22,440			23,259
	United Mexican States	4.500%	4/22/29		29,850			32,711
	United Mexican States	8.300%	8/15/31		3,680			5,446
	United Mexican States	7.500%	4/8/33		14,715			20,745
	United Mexican States	6.750%	9/27/34		10,838			14,799
	United Mexican States	6.050%	1/11/40		34,244			44,367
	United Mexican States	4.750%	3/8/44		62,749			69,084
	United Mexican States	5.550%	1/21/45		12,795			15,678
	United Mexican States	4.600%	1/23/46		30,379			32,749
	United Mexican States	4.350%	1/15/47		33,740			35,323
	United Mexican States	4.600%	2/10/48		21,112			22,909
4	United Mexican States	4.500%	1/31/50		15,900			17,197
	United Mexican States	5.750%	10/12/10		43,460			51,118
Total Sovereign Bonds (Cost $9,621,564)								10,031,009

129

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
Taxable Municipal Bonds (0.7%)
	Alabama Economic Settlement Authority BP Settlement Revenue	3.163%	9/15/25		3,520			3,602
	Alameda County CA Joint Powers Authority Lease Revenue	7.046%	12/1/44		2,050			3,224
	American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects)	6.449%	2/15/44		50			70
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.834%	2/15/41		2,300			3,599
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.053%	2/15/43		1,000			1,388
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	5.939%	2/15/47		8,475			11,693
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.270%	2/15/50		2,175			2,906
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.499%	2/15/50		1,550			2,394
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	8.084%	2/15/50		8,225			14,082
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.918%	4/1/40		4,075			5,967
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49		16,845			25,730
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	7.043%	4/1/50		2,900			4,708
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.907%	10/1/50		10,230			16,510
	California Department of Water Resources Power Supply Revenue	2.000%	5/1/22		12,550			12,618
	California GO	2.800%	4/1/21		10,000			10,130
	California GO	5.700%	11/1/21		24,125			25,823
	California GO	2.367%	4/1/22		2,000			2,028
	California GO	3.375%	4/1/25		5,450			5,787
	California GO	2.650%	4/1/26		5,000			5,115
	California GO	3.500%	4/1/28		7,635			8,221
	California GO	4.500%	4/1/33		11,590			13,037
	California GO	7.500%	4/1/34		35,650			53,683
	California GO	7.950%	3/1/36		550			555
	California GO	4.600%	4/1/38		17,500			19,390
	California GO	7.550%	4/1/39		35,035			56,197
	California GO	7.300%	10/1/39		6,571			10,034
	California GO	7.350%	11/1/39		27,395			42,082
	California GO	7.625%	3/1/40		15,125			24,219
	California GO	7.600%	11/1/40		15,670			25,867
	California State University Systemwide Revenue	3.899%	11/1/47		3,220			3,523
	Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue	5.491%	11/1/39		1,410			1,855
	Chicago IL GO	7.045%	1/1/29		3,000			3,293
	Chicago IL GO	7.375%	1/1/33		1,850			2,216
	Chicago IL GO	5.432%	1/1/42		2,500			2,581
	Chicago IL GO	6.314%	1/1/44		5,700			6,479
	Chicago IL Metropolitan Water Reclamation District GO	5.720%	12/1/38		7,450			9,747
	Chicago IL O'Hare International Airport Revenue	6.395%	1/1/40		1,745			2,509
	Chicago IL O'Hare International Airport Revenue	4.472%	1/1/49		4,375			5,279
	Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40		2,525			3,305
	Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40		7,135			9,639
	Clark County NV Airport System Revenue	6.820%	7/1/45		3,745			5,901
	Commonwealth Financing Authority Pennsylvania Revenue	3.807%	6/1/41		3,150			3,356

130

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Commonwealth Financing Authority Pennsylvania Revenue	3.864%	6/1/38		7,000			7,510
	Connecticut GO	5.090%	10/1/30		8,770			10,086
	Connecticut GO	5.850%	3/15/32		6,410			8,254
	Cook County IL GO	6.229%	11/15/34		4,625			6,053
	Dallas County TX Hospital District Revenue	5.621%	8/15/44		2,100			2,768
	Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44		2,065			2,942
	Dallas TX Area Rapid Transit Revenue	5.022%	12/1/48		4,000			5,289
	Dallas TX Convention Center Hotel Development Corp. Hotel Revenue	7.088%	1/1/42		9,740			13,518
	Dallas TX Independent School District GO	6.450%	2/15/35		3,750			3,937
	Dallas-Fort Worth TX International Airport Revenue	2.994%	11/1/38		3,150			3,109
	Dallas-Fort Worth TX International Airport Revenue	3.144%	11/1/45		4,500			4,454
	District of Columbia Income Tax Revenue	5.591%	12/1/34		1,175			1,455
	District of Columbia Water & Sewer Authority Public Utility Revenue	4.814%	10/1/14		11,500			15,109
	East Bay CA Municipal Utility District Water System Revenue	5.874%	6/1/40		4,280			5,874
	Energy Northwest Washington Electric Revenue (Columbia Generating Station)	2.814%	7/1/24		95			97
	Florida Board of Administration Finance Corp Revenue	2.638%	7/1/21		7,330			7,418
	George Washington University DC	4.300%	9/15/44		5,500			6,364
	George Washington University DC	4.868%	9/15/45		200			250
	George Washington University DC	4.126%	9/15/48		7,586			8,740
	Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57		13,122			17,669
	Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57		6,673			9,191
	Georgia Municipal Electric Power Authority Revenue	7.055%	4/1/57		3,680			4,975
	Houston TX GO	6.290%	3/1/32		14,465			17,441
	Illinois GO	4.950%	6/1/23		13,025			13,593
	Illinois GO	5.100%	6/1/33		61,604			66,411
	Illinois GO	6.630%	2/1/35		8,155			9,562
	Illinois GO	6.725%	4/1/35		5,990			7,030
	Illinois GO	7.350%	7/1/35		8,700			10,560
	Illinois Toll Highway Authority Revenue	6.184%	1/1/34		4,980			6,611
	JobsOhio Beverage System Statewide Liquor Profits Revenue	3.985%	1/1/29		6,300			6,841
	JobsOhio Beverage System Statewide Liquor Profits Revenue	4.532%	1/1/35		4,100			4,805
	Kansas Department of Transportation Highway Revenue	4.596%	9/1/35		1,900			2,245
	Kansas Development Finance Authority Revenue	4.927%	4/15/45		400			500
11	Kansas Development Finance Authority Revenue (Public Employees Retirement System)	5.501%	5/1/34		4,300			5,343
	Los Angeles CA Community College District GO	6.750%	8/1/49		3,025			4,966
	Los Angeles CA Department of Water & Power Revenue	5.716%	7/1/39		3,840			5,166
	Los Angeles CA Department of Water & Power Revenue	6.166%	7/1/40		1,550			1,583
	Los Angeles CA Department of Water & Power Revenue	6.574%	7/1/45		2,700			4,221
	Los Angeles CA Department of Water & Power Revenue	6.603%	7/1/50		5,060			8,121
	Los Angeles CA Unified School District GO	5.755%	7/1/29		350			424
	Los Angeles CA Unified School District GO	5.750%	7/1/34		10,200			13,062
	Los Angeles CA Unified School District GO	6.758%	7/1/34		14,910			20,555
	Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue	5.735%	6/1/39		8,110			10,471
	Los Angeles County CA Public Works Financing Authority Lease Revenue	7.618%	8/1/40		2,200			3,409
	Maryland Transportation Authority Facilities Projects Revenue	5.888%	7/1/43		2,330			3,110
	Massachusetts GO	4.200%	12/1/21		4,520			4,657
	Massachusetts GO	4.500%	8/1/31		400			464
	Massachusetts GO	5.456%	12/1/39		5,350			6,944

131

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	Massachusetts GO	2.813%	9/1/43		10,415			9,914
	Massachusetts GO	2.900%	9/1/49		4,745			4,479
	Massachusetts School Building Authority Dedicated Sales Tax Revenue	5.715%	8/15/39		3,100			4,092
	Massachusetts School Building Authority Dedicated Sales Tax Revenue	3.395%	10/15/40		5,695			5,693
	Massachusetts Transportation Fund Revenue	5.731%	6/1/40		4,275			5,582
	Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue	6.731%	7/1/43		2,260			3,229
	Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue	7.462%	10/1/46		6,325			10,192
	Miami-Dade County FL Aviation Revenue (Miami International Airport)	4.280%	10/1/41		6,205			6,643
	Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.084%	12/1/34		4,490			4,473
	Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.384%	12/1/40		8,740			8,720
	Michigan State University Revenue	4.496%	8/15/48		2,600			2,854
	Mississippi GO	5.245%	11/1/34		1,375			1,707
	Missouri Health & Educational Facilities Authority Revenue (Washington University)	3.652%	8/15/57		5,750			6,042
12	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29		15,525			19,464
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.081%	6/15/39		3,165			3,152
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.131%	6/15/42		5,410			5,366
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	5.754%	12/15/28		12,050			13,853
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.104%	12/15/28		7,805			8,109
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.561%	12/15/40		8,105			10,698
	New Jersey Turnpike Authority Revenue	7.414%	1/1/40		16,050			25,177
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41		15,750			24,019
	New York City NY GO	6.246%	6/1/35		2,150			2,185
	New York City NY GO	5.517%	10/1/37		7,150			9,185
	New York City NY GO	6.271%	12/1/37		2,175			3,018
	New York City NY Housing Development Corp. Multi-Family Mortgage Revenue (8 Spruce Street)	3.709%	2/15/48		150			158
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.750%	6/15/41		1,435			2,010
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.724%	6/15/42		395			557
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.952%	6/15/42		2,900			4,182
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.011%	6/15/42		1,050			1,522
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.440%	6/15/43		4,400			6,048
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44		19,200			27,961
	New York City NY Transitional Finance Authority Future Tax Revenue	5.767%	8/1/36		4,675			5,808
	New York City NY Transitional Finance Authority Future Tax Revenue	5.508%	8/1/37		8,550			10,847
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39		20,105			31,455
	New York Metropolitan Transportation Authority Revenue (Transit Revenue)	5.871%	11/15/39		1,950			2,510
	New York Metropolitan Transportation Authority Revenue (Transit Revenue)	6.668%	11/15/39		200			284
	New York State Dormitory Authority Revenue	3.142%	7/1/43		3,700			3,668

132

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.110%	2/15/39		2,650			2,651
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.628%	3/15/39		2,170			2,669
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.600%	3/15/40		865			1,095
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.190%	2/15/43		2,650			2,660
	New York State Thruway Authority	2.900%	1/1/35		2,675			2,666
	New York State Thruway Authority	3.500%	1/1/42		2,000			1,992
	New York State Urban Development Corp. Revenue (Personal Income Tax)	3.900%	3/15/33		4,000			4,298
	New York State Urban Development Corp. Revenue (Personal Income Tax)	5.770%	3/15/39		5,775			7,004
	North Texas Tollway Authority System Revenue	6.718%	1/1/49		8,855			13,893
	NYU Langone Hospitals	5.750%	7/1/43		4,780			6,346
	Ohio State University General Receipts Revenue	4.910%	6/1/40		9,260			11,801
	Ohio State University General Receipts Revenue	3.798%	12/1/46		2,860			3,174
	Ohio State University General Receipts Revenue	4.800%	6/1/11		3,250			4,120
	Ohio Water Development Authority Water Pollution Control Loan Fund Revenue	4.879%	12/1/34		2,550			2,976
	Oregon Department of Transportation Highway User Tax Revenue	5.834%	11/15/34		6,040			8,048
	Oregon GO	5.892%	6/1/27		5,230			6,198
11	Oregon School Boards Association GO	5.528%	6/30/28		1,200			1,415
12	Oregon School Boards Association GO	5.680%	6/30/28		1,575			1,888
	Pennsylvania Public School Building Authority Lease Revenue (School District of Philadelphia)	5.000%	9/15/27		2,617			3,020
	Pennsylvania Turnpike Commission Revenue	5.511%	12/1/45		2,195			2,899
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29		2,560			3,296
	Port Authority of New York & New Jersey Revenue	5.647%	11/1/40		12,025			16,052
	Port Authority of New York & New Jersey Revenue	5.647%	11/1/40		6,355			8,483
	Port Authority of New York & New Jersey Revenue	4.960%	8/1/46		6,300			8,137
	Port Authority of New York & New Jersey Revenue	5.310%	8/1/46		4,625			5,121
	Port Authority of New York & New Jersey Revenue	4.031%	9/1/48		2,205			2,490
	Port Authority of New York & New Jersey Revenue	4.926%	10/1/51		5,800			7,514
	Port Authority of New York & New Jersey Revenue	4.458%	10/1/62		21,900			26,841
	Port Authority of New York & New Jersey Revenue	4.810%	10/15/65		5,400			6,802
	Port Authority of New York & New Jersey Revenue	3.287%	8/1/69		5,400			5,135
	Princeton University	5.700%	3/1/39		9,115			12,646
	Regents of the University of California Revenue	3.063%	7/1/25		10,500			10,995
	Regional Transportation District of Colorado Sales Tax Revenue	5.844%	11/1/50		3,200			4,641
	Rutgers State University New Jersey Revenue	5.665%	5/1/40		3,275			4,271
	Rutgers State University New Jersey Revenue	3.915%	5/1/19		3,900			3,838
	Rutgers The State University of New Jersey	3.270%	5/1/43		1,325			1,311
	Sales Tax Securitization Corp. Illinois Revenue	3.587%	1/1/43		8,700			8,577
	Sales Tax Securitization Corp. Illinois Revenue	3.820%	1/1/48		3,525			3,550
	Sales Tax Securitization Corp. Illinois Revenue	4.787%	1/1/48		1,625			1,888
	Salt River Project Arizona Agricultural Improvement & Power District Revenue	4.839%	1/1/41		3,880			4,826
	San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39		4,085			5,622
	San Antonio TX Electric & Gas Systems Revenue	5.808%	2/1/41		6,750			9,283
	San Antonio TX Electric & Gas Systems Revenue	4.427%	2/1/42		5,150			5,970
	San Diego County CA Regional Transportation Commission Sales Tax Revenue	5.911%	4/1/48		2,225			3,212
	San Diego County CA Water Authority Revenue	6.138%	5/1/49		11,670			16,560
	San Francisco CA City & County Public Utilities Commission Water Revenue	6.950%	11/1/50		4,950			7,526
	San Jose CA Redevelopment Agency Successor Agency Tax Allocation	3.375%	8/1/34		5,940			6,106
	Santa Clara Valley CA Transportation Authority Sales Tax Revenue	5.876%	4/1/32		8,775			10,732
	South Carolina Public Service Authority Revenue	2.388%	12/1/23		2,300			2,305

133

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

		Coupon	Maturity Date	Face Amount ($000		)	Market Value ($000		)
	South Carolina Public Service Authority Revenue	6.454%	1/1/50		8,650			12,721
	Texas A&M University System Revenue Financing System Revenue	3.100%	7/1/49		3,650			3,555
	Texas GO	5.517%	4/1/39		8,265			11,157
	Texas GO	3.211%	4/1/44		6,000			6,060
	Texas Private Activity Surface Transportation Corp. Revenue	3.922%	12/31/49		7,720			7,760
	Texas Transportation Commission Revenue	5.178%	4/1/30		5,035			6,061
	Texas Transportation Commission Revenue	4.681%	4/1/40		2,850			3,489
	University of California Regents Medical Center Revenue	6.548%	5/15/48		3,950			5,704
	University of California Regents Medical Center Revenue	6.583%	5/15/49		2,575			3,708
	University of California Revenue	4.601%	5/15/31		4,500			5,142
	University of California Revenue	5.770%	5/15/43		1,120			1,484
	University of California Revenue	5.946%	5/15/45		13,025			17,460
	University of California Revenue	4.858%	5/15/12		16,990			20,946
	University of California Revenue	4.767%	5/15/15		6,825			8,244
	University of Nebraska Student Fee Revenue	3.037%	10/1/49		2,250			2,174
	University of Pittsburgh PA-of the Commonwealth System of Higher Education	3.555%	9/15/19		14,580			14,137
	University of Southern California	5.250%	10/1/11		3,325			4,683
	University of Texas Permanent University Fund Revenue	3.376%	7/1/47		5,800			6,111
	University of Texas Revenue	3.354%	8/15/47		3,200			3,333
	University of Texas System Revenue Financing System Revenue	4.794%	8/15/46		1,710			2,121
	University of Virginia Revenue	4.179%	9/1/17		3,425			4,045
	University of Virginia Revenue	3.227%	9/1/19		935			867
	Utah GO	4.554%	7/1/24		2,425			2,567
	Utah GO	3.539%	7/1/25		8,410			8,832
	Washington GO	5.140%	8/1/40		4,410			5,630
	Wisconsin Annual Appropriation Revenue	3.954%	5/1/36		17,970			19,212
	Wisconsin General Fund Annual Appropriation Revenue	3.154%	5/1/27		3,100			3,218
11	Wisconsin GO	5.700%	5/1/26		1,265			1,420
Total Taxable Municipal Bonds (Cost $1,408,682)								1,644,739
					Shares
Temporary Cash Investment (2.0%)
Money Market Fund (2.0%)
13	Vanguard Market Liquidity Fund (Cost $4,826,526)	1.816%			48,263,387			4,826,822
Total Investments (101.4%) (Cost $243,108,378)								252,086,761
Other Assets and Liabilities—Net (-1.4%)								(3,429,542	)
Net Assets (100%)								248,657,219

1	Securities with a value of $374,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2	U.S. government-guaranteed.
3	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5	Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2019.
6	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $2,147,924,000, representing 0.9% of net assets.

134

Vanguard^® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

8	Guaranteed by the Government of Japan.
9	Guaranteed by the Federal Republic of Germany.
10	Guaranteed by the Republic of Austria.
11	Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
12	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
13	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
	CMT—Constant Maturing Treasury Rate.
	GO—General Obligation Bond.
	LIBOR—London Interbank Offered Rate.
	REIT—Real Estate Investment Trust.
	TBA—To Be Announced.
	UMBS—Uniform Mortgage-Backed Securities.

135

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

SNA840 022020

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund

Opinions on the Financial Statements

We have audited the accompanying statements of net assets—investments summary of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (three of the funds constituting Vanguard Bond Index Funds, hereafter collectively referred to as the "Funds") as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

February 13, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Total Bond Market Index Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets—investments summary of Vanguard Total Bond Market Index Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the "Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

February 13, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11: Controls and Procedures.

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13: Exhibits.

(a) Code of Ethics.

(b) Certifications.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

VANGUARD BOND INDEX FUNDS

BY:	/s/ MORTIMER J. BUCKLEY*
	___________________________
	MORTIMER J. BUCKLEY
	CHIEF EXECUTIVE OFFICER

Date: February 19, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

VANGUARD BOND INDEX FUNDS

BY:	/s/ MORTIMER J. BUCKLEY*
	___________________________
	MORTIMER J. BUCKLEY
	CHIEF EXECUTIVE OFFICER

Date: February 19, 2020

VANGUARD BOND INDEX FUNDS

BY:	/s/ JOHN BENDL*
	___________________________
	JOHN BENDL
	CHIEF FINANCIAL OFFICER

Date: February 19, 2020

*By: /s/ Anne E. Robinson 

Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.