N-CSR 1 bondindex_final.htm BOND INDEX DEC 2009 ANNUAL REPORT bondindex_final.htm - Generated by SEC Publisher for SEC Filing

     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:  811-4681 
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:  Heidi Stam, Esquire 
  P.O. Box 876 
  Valley Forge, PA 19482 
Registrant’s telephone number, including area code:  (610) 669-1000 
Date of fiscal year end:  December 31 
Date of reporting period:  January 1, 2009 – December 31, 2009 
Item 1:  Reports to Shareholders 


Vanguard Bond Index Funds Annual Report


Vanguard Total Bond Market Index Fund

Vanguard Short-Term Bond Index Fund

Vanguard Intermediate-Term Bond Index Fund

Vanguard Long-Term Bond Index Fund


  • Investors began to embrace risk again in early 2009, helping to fuel a rally in the corporate bond market.
  • For the fiscal year ended December 31, 2009, the Vanguard Bond Index Funds’ returns for Investor Shares ranged from 1.76% for the Long-Term Bond Index Fund to 6.79% for the Intermediate-Term Bond Index Fund. The returns of all four funds were in line with their target indexes.
  • As lower-quality, riskier bonds became some of the year’s best performers, the funds’ results lagged the average returns of their peers.
Contents   
 
Your Fund’s Total Returns..........................  1 
Chairman’s Letter.......................................  4 
Results of Proxy Voting..............................  10 
Total Bond Market Index Fund...................  12 
Short-Term Bond Index Fund....................  32 
Intermediate-Term Bond Index Fund.........  49 
Long-Term Bond Index Fund.....................  68 
About Your Fund’s Expenses......................  85 
Glossary.....................................................  88 

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.

Cover photograph: Veronica Coia.


Your Fund’s Total Returns       
 
 
 
 
Fiscal Year Ended December 31, 2009       
  Ticker  Total  
  Symbol  Returns  
Vanguard Total Bond Market Index Fund       
Investor Shares  VBMFX  5.93 % 
Admiral™ Shares1  VBTLX  6.04  
Signal® Shares2  VBTSX  6.04  
Institutional Shares3  VBTIX  6.09  
ETF Shares4  BND     
Market Price    3.46  
Net Asset Value    6.03  
Barclays Capital U.S. Aggregate Bond Index    5.93  
Intermediate-Term Investment Grade Debt Funds Average5    12.49  
 
Vanguard Short-Term Bond Index Fund       
Investor Shares  VBISX  4.28 % 
Admiral Shares1  VBIRX  4.38  
Signal Shares2  VBSSX  4.38  
ETF Shares4  BSV     
Market Price    1.58  
Net Asset Value    4.44  
Barclays Capital U.S. 1–5 Year Government/Credit Bond Index    4.62  
1–5 Year Investment Grade Debt Funds Average5    9.78  

1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.

2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.

3 This class of shares also carries low expenses and is available for a minimum investment of $5 million.

4 These Vanguard ETF® Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.

5 Derived from data provided by Lipper Inc.

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Your Fund’s Total Returns       
 
 
 
 
Fiscal Year Ended December 31, 2009       
  Ticker  Total  
  Symbol  Returns  
Vanguard Intermediate-Term Bond Index Fund       
Investor Shares  VBIIX  6.79 % 
Admiral Shares1  VBILX  6.89  
Signal Shares2  VIBSX  6.89  
Institutional Shares3  VBIMX  6.95  
ETF Shares4  BIV     
Market Price    4.12  
Net Asset Value    6.82  
Barclays Capital U.S. 5–10 Year Government/Credit Bond Index    6.50  
Intermediate-Term Investment Grade Debt Funds Average5    12.49  
 
Vanguard Long-Term Bond Index Fund       
Investor Shares  VBLTX  1.76 % 
Institutional Shares3  VBLLX  1.91  
ETF Shares4  BLV     
Market Price    0.39  
Net Asset Value    1.79  
Barclays Capital U.S. Long Government/Credit Bond Index    1.92  
Corporate A-Rated Debt Funds Average5    14.69  

1 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.

2 Signal Shares also carry lower costs and are available to certain institutional shareholders who meet specific administrative, service, and account-size criteria.

3 This class of shares also carries low expenses and is available for a minimum investment of $25 million.

4 These Vanguard ETF Shares are traded on the NYSE Arca exchange and are available only through brokers. The table shows ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.

5 Derived from data provided by Lipper Inc.

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Your Fund’s Performance at a Glance             
 
 
 
 
December 31, 2008–December 31, 2009                     
               
    Starting    Ending    Distributions Per Share  30 -Day 
    Share    Share    Income    Capital  SEC  
Index Fund    Price    Price    Dividends    Gains  Yield  
Total Bond Market                     
Investor Shares  $ 10.18  $ 10.35  $ 0.421  $ 0.000  3.33 % 
Admiral Shares    10.18    10.35    0.432    0.000  3.45  
Signal Shares    10.18    10.35    0.432    0.000  3.46  
Institutional Shares    10.18    10.35    0.437    0.000  3.49  
ETF Shares    76.93    78.31    3.163    0.000  3.45  
Short-Term Bond                     
Investor Shares  $ 10.28  $ 10.42  $ 0.293  $ 0.001  1.45 % 
Admiral Shares    10.28    10.42    0.303    0.001  1.58  
Signal Shares    10.28    10.42    0.303    0.001  1.58  
ETF Shares    78.13    79.35    2.196    0.008  1.57  
Intermediate-Term Bond                     
Investor Shares  $ 10.50  $ 10.72  $ 0.474  $ 0.000  3.85 % 
Admiral Shares    10.50    10.72    0.485    0.000  3.99  
Signal Shares    10.50    10.72    0.485    0.000  3.98  
Institutional Shares    10.50    10.72    0.490    0.000  4.02  
ETF Shares    77.19    78.85    3.474    0.000  3.98  
Long-Term Bond                     
Investor Shares  $ 11.98  $ 11.56  $ 0.608  $ 0.000  5.21 % 
Institutional Shares    11.98    11.56    0.625    0.000  5.37  
ETF Shares    78.66    75.91    4.005    0.000  5.32  

3


 

Chairman’s Letter

Dear Shareholder,

As credit markets stabilized and investors regained their appetite for risk, corporate bonds enjoyed a strong rally in 2009, partly at the expense of ultra-safe U.S. Treasury bonds. These broad bond market dynamics were muted within the four Vanguard Bond Index Funds, because their diversified portfolios have significant holdings in Treasuries.

The best performer was the Intermediate-Term Bond Index Fund, with a 6.79% return for Investor Shares, followed by 5.93% for the Total Bond Market Index Fund, 4.28% for the Short-Term Bond Index Fund, and 1.76% for the Long-Term Bond Index Fund. Each fund’s return was in line with that of its target index. Unlike in 2008, however, the funds’ focus on higher-quality securities held back performance compared with their peer groups.

Please note: For ETF Shares of the four funds, we calculate returns based on both the market price and the net asset value (NAV) of the shares. Historically, the two returns have been similar. However, in 2008, as we noted in last year’s annual report, the returns diverged—reflecting the extraordinary conditions in the fixed income markets. Because the market price of the ETF Shares was significantly higher than their NAVs at year-end 2008, market-price returns were notably higher than NAV returns. In 2009, with credit markets becoming more normal, the return

4


differentials reversed: Market-price returns were lower than NAV returns. At year-end 2009, although market price was above NAV, the premium was more in line with historical relationships. For more information on the history of ETF premiums and discounts, please visit Vanguard.com, select your ETF, and then select the Performance tab.

I would also like to call to your attention two changes effective after the close of the year. As of January 1, 2010, each fund adopted a new float-adjusted version of its former benchmark index. In announcing this change last autumn, we noted that float-adjusted indexes better represent the liquidity in the marketplace by including only those bonds that are actually available to investors. The Federal Reserve Board’s extraordinary efforts to stabilize the credit markets included plans to purchase more than $1 trillion in U.S. agency mortgage-backed securities, effectively removing these bonds from the investable universe. Barclays Capital updates its float-adjusted indexes as such bonds are taken out of the public supply, and then again when they are sold back.

Also, in early February, the previously announced merger of Vanguard Institutional Total Bond Market Index Fund into Vanguard Total Bond Market Index Fund was completed. As a result, the Total Bond Market Index Fund now offers investors six share classes, including new Institutional Plus Shares.

Market Barometer             
      Average Annual Total Returns  
      Periods Ended December 31, 2009  
  One Year   Three Years   Five Years  
Bonds             
Barclays Capital U.S. Aggregate Bond Index (Broad taxable market)  5.93 %  6.04 %  4.97 % 
Barclays Capital Municipal Bond Index  12.91   4.41   4.32  
Citigroup 3-Month Treasury Bill Index  0.16   2.22   2.88  
 
Stocks             
Russell 1000 Index (Large-caps)  28.43 %  –5.36 %  0.79 % 
Russell 2000 Index (Small-caps)  27.17   –6.07   0.51  
Dow Jones U.S. Total Stock Market Index  29.35   –5.01   1.09  
MSCI All Country World Index ex USA (International)  42.14   –3.04   6.30  
 
CPI             
Consumer Price Index  2.72 %  2.28 %  2.56 % 

5


Bond markets calmed down, money market funds endured

Compared with the final months of 2008, when credit markets seized up and investors fled to the safety of U.S. Treasuries, 2009 represented a return to normalcy for bonds. Investors’ appetite for risk returned, and the demand for corporate bonds increased, raising their prices and bringing down their yields. For the 12 months ended December 31, the broad taxable bond market returned about 6%, while municipal bonds returned about 13%.

Meanwhile, money market funds and other short-term savings vehicles did poorly in 2009. Interest rates at the shortest end of the maturity spectrum remained at historic lows, a casualty of the Federal Reserve Board’s efforts to revive the economy. The Fed kept its target for the federal funds rate between 0% and 0.25% for the entire year.

Impressive stock returns masked lingering uncertainties

For the 12 months, the broad U.S. stock market returned more than 29%, its highest calendar-year return since 2003. The year began with the market searching for a bottom, and it finally hit a low point in early March. From there, stocks mounted one of their strongest rallies ever in both magnitude and duration, resulting in a check mark-shaped stock chart for 2009.

The market’s outsized result came against a backdrop of economic uncertainty. The economy, which struggled to regain its

Yields and Returns                     
              Components of Total Returns  
  Yields at Year-End       Year Ended December 31, 2009  
Index Fund (Investor Shares)  2008   2009   Capital   Income   Total  
Total Bond Market  4.25 %  3.33 %  1.67 %  4.26 %  5.93 % 
Short-Term Bond  2.60   1.45   1.37   2.91   4.28  
Intermediate-Term Bond  4.46   3.85   2.10   4.69   6.79  
Long-Term Bond  4.88   5.21   –3.51   5.27   1.76  

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footing as the financial crisis abated, began to show signs of growth in the second half of the year, even as unemployment climbed to levels not seen since 1983.

Stock markets outside the United States fared even better during 2009, especially many emerging markets, which weathered the financial crisis in relatively better fiscal and economic shape than their developed-market counterparts.

Corporate bonds rallied as confidence returned

Judging by the returns of the Total Bond Market Index Fund in 2008 and 2009, it might appear on the surface that not much happened in the bond markets. But nothing could be farther from the truth. Relatively similar returns for Investor shares—5.05% in 2008 and 5.93% in 2009—masked significant differences in performance across sectors, qualities, and maturities.

In 2009, corporate bonds stole the spotlight from Treasuries, which were the star performers in an otherwise dismal 2008. Instead of seeking safety and capital preservation, investors sought risk and rewards in the form of the higher yields offered by corporate bonds—the riskier the better, or so it seemed. After returning –4.94% in 2008, the worst annual return for this component of the Barclays Capital U.S. Aggregate Bond Index since 1974, corporate bonds enjoyed double-digit gains in 2009. In contrast, the Treasury

Total Returns             
Ten Years Ended December 31, 2009             
      Comparable      
  Vanguard   Funds   Target  
Index Fund (Investor Shares)  Fund   Average1   Index  
Total Bond Market  6.06 %  5.10 %  6.33 % 
Short-Term Bond  5.09   3.90   5.36  
Intermediate-Term Bond  6.83   5.10   6.98  
Long-Term Bond  7.71   5.29   7.68  

The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) 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.

1 Derived from data provided by Lipper Inc.

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component of this target index finished 2009 in negative territory. These dynamics played out in varying degrees in each fund.

Investors’ desire for higher returns than the rock-bottom rates offered by money market funds and some other short-term investments led them to favor intermediate-term bonds, bidding up their prices. As a result, the Intermediate-Term Bond Index Fund was the best performer of the four funds in this report. At the other end of the spectrum, the Long-Term Bond Index Fund had the lowest return in the group, as long-term bond yields rose (and prices fell), reflecting, in part, investors’ concerns about potential future inflation.

These relationships are apparent in the Yields and Returns table on page 6. While the year-end 30-day SEC yield of the Long-Term Bond Index Fund Investor Shares rose from 4.88% in 2008 to 5.21% in 2009, yields of the other three funds declined year-over-year. This translated into lower income returns for each fund (including the Long-Term Bond Index Fund), compared with this component in 2008. Capital returns were positive for all of the funds, however, except the Long-Term Bond Index Fund.

Diversification and indexing can help smooth the ride

For the ten years ended December 31, 2009, the Long-Term Bond Index Fund was the highest performer, with an average annual return of 7.71% for Investor Shares

Expense Ratios1                         
Your Fund Compared With Its Peer Group                      
  Investor   Admiral   Signal   Institutional   ETF   Peer  
Index Fund  Shares   Shares   Shares   Shares   Shares   Group2  
Total Bond Market  0.22 %  0.14 %  0.14 %  0.08 %  0.14 %  0.94 % 
Short-Term Bond  0.22   0.14   0.14   —   0.14   0.90  
Intermediate-Term Bond  0.22   0.14   0.14   0.09   0.14   0.94  
Long-Term Bond  0.22   —   —   0.09   0.14   1.10  

1 The fund expense ratios shown are from the prospectuses dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the Total Bond Market Index Fund’s expense ratios were 0.22% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares. The Short-Term Bond Index Fund’s expense ratios were 0.22% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, and 0.12% for ETF Shares. The Intermediate-Term Bond Index Fund’s expense ratios were 0.22% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares. The Long-Term Bond Index Fund’s expense ratios were 0.22% for Investor Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares.

2 Peer groups are: for the Total Bond Market Index Fund and Intermediate-Term Bond Index Fund, the Intermediate-Term Investment Grade Debt Funds; for the Short-Term Bond Index Fund, the 1–5 Year Investment Grade Debt Funds; and for the Long-Term Bond Index Fund, the Corporate A-Rated Debt Funds. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2008.

8


(see the ten-year returns table on page 7). And even the Short-Term Bond Index Fund’s average annual return of 5.09% was well ahead of the loss sustained by the broad U.S. stock market in a disappointing decade.

The funds’ ability to track their respective benchmark indexes over time and to outperform the average results of their peer groups (shown also in the ten-year table) is a tribute to the skill and low costs of the fund’s advisor, Vanguard Fixed Income Group. The group’s seasoned team of portfolio managers, traders, risk managers, and credit analysts are supported by state-of-the-art technology. These resources are critical to the day-today management of the funds and to the effort to capture the key characteristics—such as credit quality, duration, and yield to maturity—and returns of a benchmark without owning all of the index’s bonds.

Most investors with stock and bond holdings have been taken on a roller-coaster ride over the last two years. In 2008, when virtually all asset classes except Treasuries experienced significant losses, having a balanced and diversified portfolio helped cushion some of the shock. And when both stocks and corporate bonds came roaring back in 2009, diversification admittedly trimmed some of the potential gains. History has taught us, however, that trying to anticipate any market’s ups and downs can be a costly, and futile, exercise.

Instead, we encourage investors to maintain a portfolio that is diversified both across and within asset classes. The importance of diversification is underscored by bonds’ considerable edge over stocks in the last decade. And by choosing a low-cost, well-managed index fund—such as those among the Vanguard Bond Index Funds—investors have the ability to earn returns consistent with those of the target benchmark.

On another matter, I would like to inform you that on January 1, 2010, we completed a leadership transition that began in March 2008. I succeeded Jack Brennan as chairman of Vanguard and each of the funds. Jack has agreed to serve as chairman emeritus and senior advisor. Under Jack’s leadership, Vanguard has grown to become a preeminent firm in the mutual fund industry. Jack’s energy, his relentless pursuit of perfection, and his unwavering focus on always doing the right thing for our clients are evident in every facet of Vanguard policy today.

Thank you for entrusting your assets to Vanguard.


F. William McNabb III

Chairman and Chief Executive Officer

February 8, 2010

9


Results of Proxy Voting

At a special meeting of shareholders on July 2, 2009, fund shareholders approved the following two proposals:

Proposal 1—Elect trustees for each fund.*

The individuals listed in the table below were elected as trustees for each fund. All trustees with the exception of Messrs. McNabb and Volanakis (both of whom already served as directors of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.

Total Bond Market Index Fund, Short-Term Bond Index Fund, Intermediate-Term Bond Index Fund, Long-Term Bond Index Fund

      Percentage  
Trustee  For  Withheld  For  
John J. Brennan  7,480,563,019  132,452,355  98.3 % 
Charles D. Ellis  7,406,205,129  206,810,245  97.3 % 
Emerson U. Fullwood  7,486,175,684  126,839,690  98.3 % 
Rajiv L. Gupta  7,475,619,448  137,395,926  98.2 % 
Amy Gutmann  7,494,805,274  118,210,101  98.4 % 
JoAnn Heffernan Heisen  7,478,861,968  134,153,407  98.2 % 
F. William McNabb III  7,490,714,832  122,300,542  98.4 % 
André F. Perold  7,470,382,148  142,633,227  98.1 % 
Alfred M. Rankin, Jr.  7,478,299,969  134,715,405  98.2 % 
Peter F. Volanakis  7,496,308,685  116,706,689  98.5 % 
* Results are for all funds within the same trust.         

Proposal 2—Update and standardize the funds’ fundamental policies regarding:

(a)      Purchasing and selling real estate.
(b)      Issuing senior securities.
(c)      Borrowing money.
(d)      Making loans.
(e)      Purchasing and selling commodities.
(f)      Concentrating investments in a particular industry or group of industries.
(g)      Eliminating outdated fundamental investment policies not required by law.

The revised fundamental policies are clearly stated and simple, yet comprehensive, making oversight and compliance more efficient than under the former policies. The revised fundamental policies will allow the funds to respond more quickly to regulatory and market changes, while avoiding the costs and delays associated with successive shareholder meetings.

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          Broker  Percentage  
Vanguard Fund   For  Abstain  Against  Non-Votes  For  
Total Bond Market Index Fund              
2a  3,346,382,865  61,620,042  75,437,129  188,087,531  91.1 % 
2b  3,337,161,663  68,364,463  77,913,910  188,087,531  90.9 % 
2c  3,293,514,604  65,498,043  124,427,388  188,087,533  89.7 % 
2d  3,327,171,353  65,799,525  90,469,156  188,087,533  90.6 % 
2e  3,304,666,744  64,198,612  114,574,682  188,087,530  90.0 % 
2f  3,325,859,928  72,046,430  85,533,679  188,087,531  90.6 % 
2g  3,348,249,550  63,346,822  71,843,662  188,087,533  91.2 % 
 
Short-Term Bond Index Fund              
2a  496,826,289  6,859,206  13,045,093  77,279,948  83.6 % 
2b   496,710,026  7,373,810  12,646,747  77,279,953  83.6 % 
2c  490,972,136  7,505,032  18,253,408  77,279,960  82.7 % 
2d  494,674,572  7,295,207  14,760,800  77,279,956  83.3 % 
2e  493,671,090  7,257,175  15,802,315  77,279,956  83.1 % 
2f  495,949,410  7,186,931  13,594,240  77,279,955  83.5 % 
2g  490,453,131  7,533,637  18,743,822  77,279,946  82.6 % 
 
Intermediate-Term Bond Index Fund           
2a   500,535,808  5,635,451  15,078,945  51,044,265  87.5 % 
2b  499,891,010  6,699,475  14,659,719  51,044,265  87.3 % 
2c  501,242,163  6,330,949  13,677,089  51,044,268  87.6 % 
2d   497,411,098  6,312,459  17,526,645  51,044,267  86.9 % 
2e  495,200,473  6,320,518  19,729,211  51,044,267  86.5 % 
2f  499,045,475  6,133,922  16,070,807  51,044,265  87.2 % 
2g  503,389,279  6,653,607  11,207,317  51,044,266  88.0 % 
 
Long-Term Bond Index Fund              
2a  158,187,217  2,137,206  3,465,791  8,431,031  91.9 % 
2b  157,944,559  2,533,747  3,311,906  8,431,033  91.7 % 
2c  157,014,764  2,270,183  4,505,264  8,431,034  91.2 % 
2d  154,013,905  2,275,979  7,500,328  8,431,032  89.4 % 
2e  157,045,070  2,261,953  4,483,188  8,431,034  91.2 % 
2f  154,340,610  5,795,947  3,653,655  8,431,032  89.6 % 
2g  159,009,679  2,268,560  2,511,975  8,431,031  92.3 % 

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Total Bond Market Index Fund

Fund Profile
As of December 31, 2009

Financial Attributes         
      Target  
  Fund   Index1  
Number of Issues  3,362   8,413  
Yield2      3.7 % 
Investor Shares  3.3 %     
Admiral Shares  3.5 %     
Signal Shares  3.5 %     
Institutional Shares  3.5 %     
ETF Shares  3.5 %     
Yield to Maturity  3.6 %3  3.7 % 
Average Coupon  4.9 %  4.7 % 
Average Effective Maturity  6.7 years   6.8 years  
Average Quality4  Aa1 /Aa2  Aa1 /Aa2 
Average Duration  4.5 years   4.6 years  
Expense Ratio5      —  
Investor Shares  0.22 %     
Admiral Shares  0.14 %     
Signal Shares  0.14 %     
Institutional Shares  0.08 %     
ETF Shares  0.14 %     
Short-Term Reserves  0.8 %  —  
 
 
Sector Diversification6 (% of portfolio)      
 
Asset-Backed/Commercial Mortgage-Backed   3.7 % 
Finance      7.2  
Foreign      4.1  
Government Mortgage-Backed      33.2  
Industrial      10.7  
Treasury/Agency      38.0  
Utilities      2.3  
Other      0.8  

Volatility Measures7

  Fund Versus 
  Target Index1 
R-Squared  0.99 
Beta  1.00 

Distribution by Maturity (% of portfolio)

Under 1 Year  2.4 % 
1–5 Years  47.5  
5–10 Years  37.8  
10–20 Years  5.6  
20–30 Years  6.6  
Over 30 Years  0.1  

Distribution by Credit Quality4 (% of portfolio)

Aaa  76.9 % 
Aa  4.0  
A  10.3  
Baa  8.8  

Investment Focus


1 Barclays Capital U.S. Aggregate Bond Index.

2 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary.

3 Before expenses.

4 Moody’s Investors Service.

5 The expense ratios shown are from the prospectuses dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the expense ratios for the Total Bond Market Index Fund were 0.22% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares.

6 The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.

7 For an explanation of R-squared, beta, and other terms used here, see the Glossary.

12


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 www.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.


      Average Annual Total Returns     Final Value 
  Periods Ended December 31, 2009     of a $10,000 
  One Year   Five Years   Ten Years     Investment 
Total Bond Market Index Fund                 
Investor Shares1  5.93 %  4.90 %  6.06 %  $ 18,003 
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   6.33     18,475 
Intermediate-Term Investment Grade                 
Debt Funds Average2  12.49   3.48   5.10     16,450 

                Final Value 
          Since     of a $100,000 
  One Year   Five Years   Inception3     Investment 
Total Bond Market Index Fund Admiral Shares  6.04 %  5.00 %  4.86 %  $ 147,062 
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   5.07     149,477 
 
                Final Value of 
          Since   a $1,000,000 
  One Year       Inception3     Investment 
Total Bond Market Index Fund Signal Shares  6.04 %      6.13 %  $ 1,219,171 
Barclays Capital U.S. Aggregate Bond Index  5.93       6.07     1,217,018 

1 Total return figures do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.

2 Derived from data provided by Lipper Inc.; based on average returns for Intermediate U.S. Government Funds through December 31, 2001, and average returns for Intermediate Investment Grade Debt Funds thereafter.

3 Performance for the fund and its comparative standards is calculated since the following inception dates: November 12, 2001, for the Admiral Shares, and September 1, 2006, for the Signal Shares.

See Financial Highlights for dividend and capital gains information.

13


Total Bond Market Index Fund                   
 
 
 
 
                Final Value of  
              a $5,000,000  
  One Year   Five Years   Ten Years     Investment  
Total Bond Market Index Fund Institutional Shares  6.09 %  5.04 %  6.19 %  $ 9,115,097  
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   6.33     9,237,386  
 
                Final Value  
          Since   of a $10,000  
  One Year       Inception2     Investment  
Total Bond Market Index Fund                   
ETF Shares Net Asset Value1  6.03 %      6.08 %  $ 11,760  
Barclays Capital U.S. Aggregate Bond Index  5.93       6.05     11,750  
 
 
Cumulative Returns: ETF Shares, April 3, 2007—December 31, 2009            
                Since  
  One Year             Inception2  
Total Bond Market Index Fund ETF Shares                   
Market Price  3.46 %            17.87 % 
Total Bond Market Index Fund ETF Shares                   
Net Asset Value  6.03             17.60  
Barclays Capital U.S. Aggregate Bond Index  5.93             17.50  
 
 
Fiscal-Year Total Returns (%): December 31, 1999—December 31, 2009            
 
          Investor Shares     Barclays3  
Fiscal  Capital   Income   Total     Total  
Year  Return   Return   Return     Return  
2000  4.2 %  7.2 %  11.4 %    11.6 % 
2001  1.9   6.5   8.4     8.4  
2002  2.4   5.9   8.3     10.3  
2003  –0.7   4.7   4.0     4.1  
2004  –0.2   4.4   4.2     4.3  
2005  –2.0   4.4   2.4     2.4  
2006  –0.7   5.0   4.3     4.3  
2007  1.7   5.2   6.9     7.0  
2008  0.2   4.9   5.1     5.2  
2009  1.7   4.2   5.9     5.9  

1 For more information about how the ETF Shares’ market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

2 Performance for the fund and its comparative standards is calculated since the ETF Shares’ inception on April 3, 2007.

3 Barclays Capital U.S. Aggregate Bond Index.

14


Total Bond Market Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2009

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 reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

          Face     Market   Percentage  
      Maturity    Amount     Value•   of Net  
  Coupon   Date  ($ 000 )  ($ 000 )  Assets  
U.S. Government and Agency Obligations                    
U.S. Government Securities                       
United States Treasury Inflation                       
Indexed Bonds  3.500 %  1/15/11    62,575     80,613   0.1 % 
United States Treasury Note/Bond  5.125 %  6/30/11    759,035     806,475   1.2 % 
United States Treasury Note/Bond  0.875 %  2/28/11    725,950     727,649   1.1 % 
United States Treasury Note/Bond  3.375 %  11/15/19    656,389     631,669   0.9 % 
United States Treasury Note/Bond  3.125 %  9/30/13    605,510     629,446   0.9 % 
United States Treasury Note/Bond  2.750 %  10/31/13    552,108     565,568   0.8 % 
United States Treasury Note/Bond  4.375 %  12/15/10    495,025     513,123   0.8 % 
United States Treasury Note/Bond  2.125 %  11/30/14    487,509     476,160   0.7 % 
United States Treasury Note/Bond  1.125 %  12/15/12    475,550     468,046   0.7 % 
United States Treasury Note/Bond  8.750 %  5/15/17    315,790     427,055   0.6 % 
United States Treasury Note/Bond  4.750 %  2/15/37    394,150     403,081   0.6 % 
United States Treasury Note/Bond  3.875 %  5/15/18    396,016     402,265   0.6 % 
United States Treasury Note/Bond  1.750 %  3/31/14    402,775     393,274   0.6 % 
United States Treasury Note/Bond  6.250 %  8/15/23    314,920     376,279   0.6 % 
United States Treasury Note/Bond  1.375 %  5/15/12    357,050     357,107   0.5 % 
United States Treasury Note/Bond  9.875 %  11/15/15    256,225     352,069   0.5 % 
United States Treasury Note/Bond  4.750 %  8/15/17    322,525     350,091   0.5 % 
United States Treasury Note/Bond  4.750 %  5/31/12    315,390     340,621   0.5 % 
United States Treasury Note/Bond  8.750 %  8/15/20    230,025     325,485   0.5 % 
United States Treasury Note/Bond  4.500 %  4/30/12    298,290     319,824   0.5 % 
United States Treasury Note/Bond  1.375 %  4/15/12    312,714     313,055   0.5 % 
United States Treasury Note/Bond  1.125 %  6/30/11    303,950     305,138   0.4 % 
United States Treasury Note/Bond  4.875 %  2/15/12    276,345     297,331   0.4 % 
United States Treasury Note/Bond  1.500 %  12/31/13    293,000     285,356   0.4 % 
United States Treasury Note/Bond  7.875 %  2/15/21    199,237     267,912   0.4 % 
United States Treasury Note/Bond  4.875 %  4/30/11    248,755     261,971   0.4 % 
United States Treasury Note/Bond  3.875 %  2/15/13    239,975     255,648   0.4 % 
United States Treasury Note/Bond  4.500 %  8/15/39    257,472     251,880   0.4 % 
United States Treasury Note/Bond  2.375 %  10/31/14    254,190     251,491   0.4 % 

15


Total Bond Market Index Fund                         
 
 
 
              Face     Market   Percentage  
          Maturity    Amount     Value•   of Net  
      Coupon   Date  ($ 000 )  ($ 000 )  Assets  
  United States Treasury Note/Bond  3.250 %  6/30/16    247,645     248,420   0.4 % 
  United States Treasury Note/Bond  4.250 %  11/15/17    236,010     247,478   0.4 % 
  United States Treasury Note/Bond  8.875 %  2/15/19    171,900     240,177   0.3 % 
  United States Treasury Note/Bond  6.750 %  8/15/26    186,530     235,406   0.3 % 
  United States Treasury Note/Bond  5.125 %  5/15/16    208,385     232,414   0.3 % 
  United States Treasury Note/Bond  1.875 %  4/30/14    214,825     210,428   0.3 % 
  United States Treasury Note/Bond  1.000 %  7/31/11    204,150     204,438   0.3 % 
  United States Treasury Note/Bond  0.750 %  11/30/11    196,269     194,981   0.3 % 
  United States Treasury Note/Bond  4.875 %  6/30/12    178,365     193,471   0.3 % 
  United States Treasury Note/Bond  8.125 %  8/15/21    131,140     179,928   0.3 % 
  United States Treasury Note/Bond  2.625 %  2/29/16    182,250     177,353   0.3 % 
  United States Treasury Note/Bond  4.250 %  1/15/11    170,475     176,868   0.3 % 
  United States Treasury Note/Bond  2.625 %  7/31/14    171,745     172,657   0.3 % 
  United States Treasury                         
  Note/Bond  0.875%–11.250 % 2/28/10–5/15/39    5,865,846     6,188,461   9.0 % 
                    20,338,162   30.0 % 
Agency Bonds and Notes                         
1  Federal Home Loan Bank of Chicago  5.625 %  6/13/16    3,555     3,588   0.0 % 
1,2  Federal Home Loan Banks  1.000%–5.625%   3/16/11–7/15/36    968,910     1,016,875   1.5 % 
1  Federal Home Loan                         
  Mortgage Corp.  0.000%–6.750%   1/18/11–7/15/32    1,209,797     1,287,269   1.9 % 
1  Federal National                         
  Mortgage Assn.  0.000%–8.200%   2/1/11–7/15/37    1,412,491     1,500,431   2.2 % 
  Agency Bonds and Notes—Other †                1,249,052   1.9 % 
                    5,057,215   7.5 % 
Conventional Mortgage-Backed Securities                    
1,2  Fannie Mae Pool    5.000 %  1/1/40    218,975     224,723   0.3 % 
1,2  Fannie Mae Pool    5.000 %  11/1/33    188,061     194,009   0.3 % 
1,2  Fannie Mae Pool    4.500 %  8/1/39    177,549     177,460   0.3 % 
1,2  Fannie Mae Pool  4.000%–11.000%   2/1/10–1/1/40    9,933,664     10,406,468   15.3 % 
1,2  Freddie Mac Gold Pool    5.500 %  1/1/40    257,125     269,338   0.4 % 
1,2  Freddie Mac Gold Pool    5.000 %  1/1/40    191,250     196,091   0.3 % 
1,2  Freddie Mac Gold Pool    4.000 %  1/1/25    173,175     174,257   0.3 % 
1,2  Freddie Mac Gold Pool  4.000%–10.000%   1/1/10–1/1/40    6,285,374     6,571,179   9.6 % 
1,2  Freddie Mac Non Gold Pool  8.000%–9.500%   7/1/16–3/1/20    69     75   0.0 % 
2  Ginnie Mae I Pool    5.000 %  1/1/40    511,300     525,841   0.8 % 
2  Ginnie Mae I Pool    4.500 %  1/1/40    391,800     392,047   0.6 % 
2  Ginnie Mae I Pool    5.500 %  1/1/40    312,325     327,257   0.5 % 
2  Ginnie Mae I Pool  4.000%–11.500%   5/15/10–1/1/40    1,458,175     1,521,860   2.2 % 
2  Ginnie Mae II Pool  4.500%–8.500%   8/20/30–1/1/40    799,140     837,995   1.2 % 
                    21,818,600   32.1 % 
Nonconventional Mortgage-Backed Securities                    
1,2  Fannie Mae Pool  2.701%–6.499%   11/1/33–8/1/38    588,241     615,028   0.9 % 
1,2  Freddie Mac Non Gold Pool  2.691%–6.480%   9/1/34–7/1/38    456,264     477,912   0.7 % 
2  Ginnie Mae I Pool    7.900 %  2/15/21    5     6   0.0 % 
2  Ginnie Mae II Pool    4.375 %  6/20/29    308     317   0.0 % 
                    1,093,263   1.6 % 
Total U.S. Government and Agency Obligations (Cost $47,396,630)          48,307,240   71.2 % 
3Asset-Backed/Commercial Mortgage-Backed Securities (Cost $ 2,546,454) †     2,543,213   3.7 % 

16


Total Bond Market Index Fund                   
 
 
 
            Market     Percentage  
            Value•     of Net  
    Coupon     ($ 000 )    Assets  
Corporate Bonds                   
Finance                   
3  Banking †          3,286,836     4.9 % 
3  Brokerage †          59,920     0.1 % 
  Finance Companies †          633,258     0.9 % 
3  Insurance †          675,544     1.0 % 
  Other Finance †          28,836     0.0 % 
  Real Estate Investment Trusts †          218,149     0.3 % 
            4,902,543     7.2 % 
Industrial                   
3  Basic Industry †          654,706     1.0 % 
3  Capital Goods †          679,618     1.0 % 
3  Communication †          1,615,665     2.4 % 
  Consumer Cyclical †          700,321     1.0 % 
3  Consumer Noncyclical †          1,705,744     2.5 % 
3  Energy †          949,350     1.4 % 
  Other Industrial †          2,454     0.0 % 
  Technology †          526,133     0.8 % 
  Transportation †          264,568     0.4 % 
            7,098,559     10.5 % 
Utilities                   
3  Electric †          1,108,242     1.6 % 
3  Natural Gas †          402,265     0.6 % 
  Other Utility †          136     0.0 % 
            1,510,643     2.2 % 
Total Corporate Bonds (Cost $12,991,944)       13,511,745     19.9 % 
3Sovereign Bonds (U.S. Dollar-Denominated) (Cost $2,495,676) †       2,550,497     3.8 % 
Taxable Municipal Bonds (Cost $285,733) †       277,962     0.4 % 
 
        Shares             
Temporary Cash Investment                   
Money Market Fund                   
4,5  Vanguard Market Liquidity Fund                   
  (Cost $2,934,013)  0.187 %  2,934,012,346    2,934,013     4.3 % 
^Total Investments (Cost $68,650,450)       70,124,670     103.3 % 
Other Assets and Liabilities                   
Other Assets          2,545,425     3.8 % 
Liabilities5          (4,798,861 )    (7.1 %) 
            (2,253,436 )    (3.3 %) 
Net Assets          67,871,234     100.0 % 
 
 
At December 31, 2009, net assets consisted of:                
                  Amount  
                ($ 000 ) 
Paid-in Capital                66,506,510  
Undistributed Net Investment Income             —  
Accumulated Net Realized Losses                (109,496 ) 
Unrealized Appreciation (Depreciation)             1,474,220  
Net Assets                67,871,234  

17


Total Bond Market Index Fund       
 
 
 
    Amount  
  ($ 000 ) 
Investor Shares—Net Assets       
Applicable to 1,888,935,947 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    19,554,934  
Net Asset Value Per Share—Investor Shares  $ 10.35  
 
Admiral Shares—Net Assets       
Applicable to 1,732,202,215 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    17,932,187  
Net Asset Value Per Share—Admiral Shares  $ 10.35  
 
Signal Shares—Net Assets       
Applicable to 816,261,876 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    8,450,127  
Net Asset Value Per Share—Signal Shares  $ 10.35  
 
Institutional Shares—Net Assets       
Applicable to 1,515,875,898 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    15,692,469  
Net Asset Value Per Share—Institutional Shares  $ 10.35  
 
ETF Shares—Net Assets       
Applicable to 79,700,000 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    6,241,517  
Net Asset Value Per Share—ETF Shares  $ 78.31  

18


Total Bond Market Index Fund       
 
 
 
As of December 31, 2009       
    Market  
    Value•  
  ($ 000 ) 
Statement of Assets and Liabilities       
Assets       
Investments in Securities, at Value    70,124,670  
Receivables for Investment Securities Sold    1,618,510  
Receivables for Capital Shares Issued    345,194  
Other Assets    581,721  
Total Assets    72,670,095  
Liabilities       
Payables for Investment Securities Purchased    4,355,115  
Payables for Capital Shares Redeemed    242,247  
Other Liabilities    201,499  
Total Liabilities    4,798,861  
Net Assets    67,871,234  

• See Note A in Notes to Financial Statements.

^ The total value of securities on loan is $11,303,000.

† 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 operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.

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 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, 2009, the aggregate value of these securities was $363,669,000, representing 0.5% of net assets.

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.

5 Includes $11,372,000 of collateral received for securities on loan.

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

19


Total Bond Market Index Fund       
 
 
Statement of Operations       
 
    Year Ended  
    December 31, 2009  
  ($ 000 ) 
Investment Income       
Income       
Interest1    2,571,915  
Security Lending    187  
Total Income    2,572,102  
Expenses       
The Vanguard Group—Note B       
Investment Advisory Services    5,291  
Management and Administrative—Investor Shares    31,696  
Management and Administrative—Admiral Shares    13,260  
Management and Administrative—Signal Shares    6,076  
Management and Administrative—Institutional Shares    3,561  
Management and Administrative—ETF Shares    3,427  
Marketing and Distribution—Investor Shares    6,552  
Marketing and Distribution—Admiral Shares    2,913  
Marketing and Distribution—Signal Shares    2,179  
Marketing and Distribution—Institutional Shares    4,049  
Marketing and Distribution—ETF Shares    1,257  
Custodian Fees    642  
Auditing Fees    37  
Shareholders’ Reports and Proxies—Investor Shares    885  
Shareholders’ Reports and Proxies—Admiral Shares    122  
Shareholders’ Reports and Proxies—Signal Shares    99  
Shareholders’ Reports and Proxies—Institutional Shares    160  
Shareholders’ Reports and Proxies—ETF Shares    210  
Trustees’ Fees and Expenses    105  
Total Expenses    82,521  
Net Investment Income    2,489,581  
Realized Net Gain (Loss)       
Investment Securities Sold    362,102  
Swap Contracts    (9,929 ) 
Realized Net Gain (Loss)    352,173  
Change in Unrealized Appreciation (Depreciation)       
Investment Securities    529,306  
Swap Contracts    13,697  
Change in Unrealized Appreciation (Depreciation)    543,003  
Net Increase (Decrease) in Net Assets Resulting from Operations    3,384,757  

1      Interest income from an affiliated company of the fund was $6,439,000.
  See accompanying Notes, which are an integral part of the Financial Statements.

20


Total Bond Market Index Fund             
 
 
Statement of Changes in Net Assets             
 
    Year Ended December 31,  
    2009     2008  
  ($ 000 )  ($ 000 ) 
Increase (Decrease) in Net Assets             
Operations             
Net Investment Income    2,489,581     2,965,075  
Realized Net Gain (Loss)    352,173     (10,506 ) 
Change in Unrealized Appreciation (Depreciation)    543,003     112,158  
Net Increase (Decrease) in Net Assets Resulting from Operations    3,384,757     3,066,727  
Distributions             
Net Investment Income             
Investor Shares    (770,305 )    (1,452,546 ) 
Admiral Shares    (632,712 )    (571,976 ) 
Signal Shares    (327,633 )    (309,319 ) 
Institutional Shares    (572,912 )    (539,801 ) 
ETF Shares    (189,300 )    (92,422 ) 
Realized Capital Gain             
Investor Shares    —     —  
Admiral Shares    —     —  
Signal Shares    —     —  
Institutional Shares    —     —  
ETF Shares    —     —  
Total Distributions    (2,492,862 )    (2,966,064 ) 
Capital Share Transactions             
Investor Shares    (10,335,988 )    172,304  
Admiral Shares    4,698,656     2,713,715  
Signal Shares    946,785     1,929,964  
Institutional Shares    3,044,080     2,908,936  
ETF Shares    3,210,839     1,823,393  
Net Increase (Decrease) from Capital Share Transactions    1,564,372     9,548,312  
Total Increase (Decrease)    2,456,267     9,648,975  
Net Assets             
Beginning of Period    65,414,967     55,765,992  
End of Period    67,871,234     65,414,967  

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

21


Total Bond Market Index Fund                               
 
 
Financial Highlights                               
 
 
Investor Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.18   $ 10.16   $ 9.99   $ 10.06   $ 10.27  
Investment Operations                               
Net Investment Income    .421     .477     .501     .485     .446  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .170     .020     .170     (.070 )    (.205 ) 
Total from Investment Operations    .591     .497     .671     .415     .241  
Distributions                               
Dividends from Net Investment Income    (.421 )    (.477 )    (.501 )    (.485 )    (.449 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.002 ) 
Total Distributions    (.421 )    (.477 )    (.501 )    (.485 )    (.451 ) 
Net Asset Value, End of Period  $ 10.35   $ 10.18   $ 10.16   $ 9.99   $ 10.06  
 
Total Return1    5.93 %    5.05 %    6.92 %    4.27 %    2.40 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 19,555   $ 29,687   $ 29,532   $ 23,769   $ 21,643  
Ratio of Total Expenses to                               
Average Net Assets    0.22 %    0.20 %    0.19 %    0.20 %    0.20 % 
Ratio of Net Investment Income to                               
Average Net Assets    4.09 %    4.73 %    5.02 %    4.88 %    4.40 % 
Portfolio Turnover Rate2    80 %    61 %    54 %    63 %    59 % 

1      Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.

22


Total Bond Market Index Fund                               
 
 
Financial Highlights                               
 
 
Admiral Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.18   $ 10.16   $ 9.99   $ 10.06   $ 10.27  
Investment Operations                               
Net Investment Income    .432     .486     .510     .494     .455  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .170     .020     .170     (.070 )    (.205 ) 
Total from Investment Operations    .602     .506     .680     .424     .250  
Distributions                               
Dividends from Net Investment Income    (.432 )    (.486 )    (.510 )    (.494 )    (.458 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.002 ) 
Total Distributions    (.432 )    (.486 )    (.510 )    (.494 )    (.460 ) 
Net Asset Value, End of Period  $ 10.35   $ 10.18   $ 10.16   $ 9.99   $ 10.06  
 
Total Return    6.04 %    5.15 %    7.02 %    4.36 %    2.49 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 17,932   $ 12,978   $ 10,232   $ 7,900   $ 4,529  
Ratio of Total Expenses to                               
Average Net Assets    0.12 %    0.11 %    0.10 %    0.11 %    0.11 % 
Ratio of Net Investment Income to                               
Average Net Assets    4.19 %    4.82 %    5.11 %    4.97 %    4.49 % 
Portfolio Turnover Rate1    80 %    61 %    54 %    63 %    59 % 

1      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.

23


Total Bond Market Index Fund                         
 
 
Financial Highlights                         
 
 
Signal Shares                         
                      Sept. 1,  
                      20061 to 
    Year Ended December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007     2006  
Net Asset Value, Beginning of Period  $ 10.18   $ 10.16   $ 9.99   $ 9.94  
Investment Operations                         
Net Investment Income    .432     .486     .510     .166  
Net Realized and Unrealized Gain (Loss) on Investments    .170     .020     .170     .050  
Total from Investment Operations    .602     .506     .680     .216  
Distributions                         
Dividends from Net Investment Income    (.432 )    (.486 )    (.510 )    (.166 ) 
Distributions from Realized Capital Gains    —     —     —     —  
Total Distributions    (.432 )    (.486 )    (.510 )    (.166 ) 
Net Asset Value, End of Period  $ 10.35   $ 10.18   $ 10.16   $ 9.99  
 
Total Return    6.04 %    5.15 %    7.02 %    2.18 % 
 
Ratios/Supplemental Data                         
Net Assets, End of Period (Millions)  $ 8,450   $ 7,372   $ 5,414   $ 632  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.11 %    0.10 %    0.11 %2 
Ratio of Net Investment Income to Average Net Assets    4.19 %    4.82 %    5.11 %    4.97 %2 
Portfolio Turnover Rate3    80 %    61 %    54 %    63 % 

1      Inception.
2      Annualized.
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.

24


Total Bond Market Index Fund                               
 
 
Financial Highlights                               
 
 
Institutional Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.18   $ 10.16   $ 9.99   $ 10.06   $ 10.27  
Investment Operations                               
Net Investment Income    .437     .490     .513     .498     .459  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .170     .020     .170     (.070 )    (.205 ) 
Total from Investment Operations    .607     .510     .683     .428     .254  
Distributions                               
Dividends from Net Investment Income    (.437 )    (.490 )    (.513 )    (.498 )    (.462 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.002 ) 
Total Distributions    (.437 )    (.490 )    (.513 )    (.498 )    (.464 ) 
Net Asset Value, End of Period  $ 10.35   $ 10.18   $ 10.16   $ 9.99   $ 10.06  
 
Total Return    6.09 %    5.19 %    7.05 %    4.40 %    2.53 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 15,692   $ 12,431   $ 9,492   $ 8,257   $ 7,325  
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    4.24 %    4.86 %    5.14 %    5.01 %    4.53 % 
Portfolio Turnover Rate1    80 %    61 %    54 %    63 %    59 % 

1      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.

25


Total Bond Market Index Fund                   
 
 
Financial Highlights                   
 
 
ETF Shares                   
                April 3,  
    Year Ended     20071 to 
    December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007  
Net Asset Value, Beginning of Period  $ 76.93   $ 76.61   $ 74.95  
Investment Operations                   
Net Investment Income    3.163     3.525     2.351  
Net Realized and Unrealized Gain (Loss) on Investments    1.380     .320     1.660  
Total from Investment Operations    4.543     3.845     4.011  
Distributions                   
Dividends from Net Investment Income    (3.163 )    (3.525 )    (2.351 ) 
Distributions from Realized Capital Gains    —     —     —  
Total Distributions    (3.163 )    (3.525 )    (2.351 ) 
Net Asset Value, End of Period  $ 78.31   $ 76.93   $ 76.61  
 
Total Return    6.03 %    5.18 %    5.45 % 
 
Ratios/Supplemental Data                   
Net Assets, End of Period (Millions)  $ 6,242   $ 2,946   $ 1,095  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.10 %    0.11 %2 
Ratio of Net Investment Income to Average Net Assets    4.19 %    4.83 %    5.10 %2 
Portfolio Turnover Rate3    80 %    61 %    54 % 

1      Inception.
2      Annualized.
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.

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 five classes of shares: Investor Shares, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

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

1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Other temporary cash investments are valued at amortized cost, which approximates market 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. Swap Contracts: The fund is subject to credit risk through its investment in swap transactions to earn the total return on the Commercial Mortgage-Backed Securities (CMBS) Index. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on the CMBS Index, applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. A primary risk for all types of swaps is that a counterparty will default on its obligation to pay net amounts due to the fund. The fund’s maximum risk of loss from counterparty credit risk is the amount of unrealized appreciation on the swap contract. This risk is mitigated by entering into swaps only with highly rated counterparties, by a master netting arrangement between the fund and the counterparty, and by the posting of collateral by the counterparty. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has posted. Any securities posted as collateral for open contracts are noted in the Statement of Net Assets.

3. Mortgage Dollar Rolls: The fund has entered 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

27


Total Bond Market Index Fund

transactions are invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities, and is compensated by interest earned on the proceeds of the initial sale and by a lower price on the securities to be repurchased. 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 Assets and Liabilities. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations to deliver purchased securities.

4. 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, 2006–2009), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

5. 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.

6. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.

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

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

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2009, the fund had contributed capital of $13,623,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 5.45% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.

28


Total Bond Market Index Fund

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).

The following table summarizes the fund’s investments as of December 31, 2009, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments  ($ 000 )  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations    —     48,307,240     —  
Asset-Backed/Commercial Mortgage-Backed Securities    —     2,543,213     —  
Corporate Bonds    —     13,511,688     57  
Sovereign Bonds    —     2,550,497     —  
Taxable Municipal Bonds    —     277,962     —  
Temporary Cash Investments    2,934,013     —     —  
Total    2,934,013     67,190,600     57  

The following table summarizes changes in investments valued based on Level 3 inputs during the year ended December 31, 2009:

    Investments in  
    Corporate Bonds  
Amount Valued Based on Level 3 Inputs  ($ 000 ) 
Balance as of December 31, 2008    —  
Transfers into Level 3    91  
Change in unrealized appreciation (depreciation)    (34 ) 
Balance as of December 31, 2009    57  

29


Total Bond Market Index Fund

D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.

During the year ended December 31, 2009, the fund realized $248,154,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $95,769,000 to offset future net capital gains of $83,811,000 through December 31, 2014, and $11,958,000 through December 31, 2016.

Certain of the fund’s U.S. Treasury Inflation-Indexed securities experienced deflation adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction was deferred for tax purposes until it was used to offset future inflation adjustments that increased taxable income. The difference became permanent when securities were sold. During the year ended December 31, 2009, the fund realized gains of $3,281,000 that were included in ordinary income for tax purposes as a result of deferred deflation adjustments; accordingly, such gains have been reclassified from accumulated net realized gains to undistributed net investment income.

At December 31, 2009, the cost of investment securities for tax purposes was $68,663,264,000. Net unrealized appreciation of investment securities for tax purposes was $1,461,406,000, consisting of unrealized gains of $1,952,730,000 on securities that had risen in value since their purchase and $491,324,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2009, the fund purchased $6,510,753,000 of investment securities and sold $5,908,420,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $55,867,591,000 and $54,986,418,000, respectively.

30


Total Bond Market Index Fund

F. Capital share transactions for each class of shares were:                
              Year Ended December 31,  
        2009         2008  
    Amount   Shares     Amount   Shares  
  ($ 000 )  (000 )  ($ 000 )  (000 ) 
Investor Shares                     
Issued    7,982,568   779,356     12,149,716   1,208,131  
Issued in Lieu of Cash Distributions    687,168   67,060     1,412,821   140,609  
Redeemed    (19,005,724 )  (1,873,272 )    (13,390,233) (1,340,352)  
Net Increase (Decrease)—Investor Shares    (10,335,988 )  (1,026,856 )    172,304   8,388  
Admiral Shares                     
Issued    6,429,050   626,833     4,380,267   434,463  
Issued in Lieu of Cash Distributions    565,799   55,172     515,178   51,308  
Redeemed    (2,296,193 )  (224,500 )    (2,181,730 )  (218,412 ) 
Net Increase (Decrease)—Admiral Shares    4,698,656   457,505     2,713,715   267,359  
Signal Shares                     
Issued    3,291,701   321,384     3,626,167   360,870  
Issued in Lieu of Cash Distributions    290,553   28,363     281,653   28,052  
Redeemed    (2,635,469 )  (257,541 )    (1,977,856 )  (197,842 ) 
Net Increase (Decrease)—Signal Shares    946,785   92,206     1,929,964   191,080  
Institutional Shares                     
Issued    6,850,147   668,591     6,316,289   627,668  
Issued in Lieu of Cash Distributions    530,609   51,771     502,440   50,060  
Redeemed    (4,336,676 )  (425,444 )    (3,909,793 )  (391,276 ) 
Net Increase (Decrease)—Institutional Shares    3,044,080   294,918     2,908,936   286,452  
ETF Shares                     
Issued    3,210,839   41,400     1,854,223   24,400  
Issued in Lieu of Cash Distributions    —   —     —   —  
Redeemed    —   —     (30,830 )  (400 ) 
Net Increase (Decrease)—ETF Shares    3,210,839   41,400     1,823,393   24,000  

G. In preparing the financial statements as of December 31, 2009, management considered the impact of subsequent events occurring through February 12, 2010, for potential recognition or disclosure in these financial statements.

As of the close of business on February 5, 2010, the fund acquired all the net assets of Vanguard Institutional Total Bond Market Index Fund pursuant to a plan of reorganization approved by the funds’ board of trustees. The acquisition was accomplished by a tax-free exchange of 403,613,000 shares of the fund for 80,272,000 shares of Institutional Total Bond Market Index Fund outstanding as of the close of business on February 5, 2010. Shares of Institutional Total Bond Market Index Fund were exchanged for new Institutional Plus Shares of the fund. The Institutional Total Bond Market Index Fund’s net assets as of the close of business on February 5, 2010, of $4,235,240,000, including $134,921,000 of unrealized appreciation, were combined with the fund’s net assets. The net assets of the fund immediately before the acquisition were $70,363,886,000. The net assets of the fund immediately following the acquisition were $74,599,126,000.

31


Short-Term Bond Index Fund

Fund Profile
As of December 31, 2009

Financial Attributes          
      Target   Broad  
  Fund   Index1   Index2  
Number of Issues  1,223   2,139   8,413  
Yield3      2.0 %  3.7 % 
Investor Shares  1.5 %         
Admiral Shares  1.6 %         
Signal Shares  1.6 %         
ETF Shares  1.6 %         
Yield to Maturity  1.9 %4  2.0 %  3.7 % 
Average Coupon  3.5 %  3.3 %  4.7 % 
Average Effective             
Maturity  2.7 years   2.8 years   6.8 years  
Average Quality5  Aa1/Aa2  Aa1/Aa2  Aa1/Aa2 
Average Duration  2.6 years   2.6 years   4.6 years  
Expense Ratio6      —   —  
Investor Shares  0.22 %         
Admiral Shares  0.14 %         
Signal Shares  0.14 %         
ETF Shares  0.14 %         
Short-Term Reserves  0.5 %  —   —  
 
 
Sector Diversification7 (% of portfolio)      
 
Finance          9.5 % 
Foreign          6.6  
Government Mortgage-Backed       0.1  
Industrial          10.8  
Treasury/Agency          70.9  
Utilities          1.6  
Other          0.5  

Volatility Measures8   
  Fund Versus  Fund Versus 
  Target Index1  Broad Index2 
R-Squared  0.99  0.74 
Beta  1.03  0.54 

Distribution by Maturity (% of portfolio)

Under 1 Year  6.0 % 
1–3 Years  57.0  
3–5 Years  36.8  
Over 5 Years  0.2  

Distribution by Credit Quality5 (% of portfolio)

Aaa  76.0 % 
Aa  5.7  
A  10.8  
Baa  7.5  

Investment Focus


1 Barclays Capital U.S. 1–5 Year Government/Credit Bond Index.

2 Barclays Capital U.S. Aggregate Bond Index.

3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary.

4 Before expenses.

5 Moody’s Investors Service.

6 The expense ratios shown are from the prospectuses dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the expense ratios for the Short-Term Bond Index Fund were 0.22% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, and 0.12% for ETF Shares.

7 The agency sector may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.

8 For an explanation of R-squared, beta, and other terms used here, see the Glossary.

32


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 www.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.


        Average Annual Total Returns     Final Value 
    Periods Ended December 31, 2009   of a $10,000 
   One Year   Five Years   Ten Years     Investment 
Short-Term Bond Index Fund Investor Shares1  4.28 %  4.45 %  5.09 %  $ 16,430 
  Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   6.33     18,475 
  Barclays Capital U.S. 1–5 Year                 
  Government/Credit Bond Index  4.62   4.52   5.36     16,854 
  1–5 Year Investment Grade Debt Funds Average2  9.78   2.74   3.90     14,659 

                Final Value 
          Since   of a $100,000 
  One Year   Five Years   Inception3     Investment 
Short-Term Bond Index Fund Admiral Shares  4.38 %  4.53 %  4.03 %  $ 137,938 
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   5.15     152,886 
Barclays Capital U.S. 1–5 Year                 
Government/Credit Bond Index  4.62   4.52   4.27     140,477 
 
                Final Value of 
          Since   a $1,000,000 
  One Year       Inception3     Investment 
Short-Term Bond Index Fund Signal Shares  4.38 %      5.66 %  $ 1,163,757 
Barclays Capital U.S. Aggregate Bond Index  5.93       6.02     1,174,816 
Barclays Capital U.S. 1–5 Year                 
Government/Credit Bond Index  4.62       5.59     1,161,675 

1 Total return figures do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.

2 Derived from data provided by Lipper Inc.; based on average returns for 1–5 Year U.S. Government Funds through December 31, 2001, and average returns for 1–5 Year Investment Grade Debt Funds thereafter.

3 Performance for the fund and its comparative standards is calculated since the following inception dates: November 12, 2001, for the Admiral Shares, and March 30, 2007, for the Signal Shares.

See Financial Highlights for dividend and capital gains information.

33


  Short-Term Bond Index Fund                   
 
 
 
 
                  Final Value  
            Since   of a $10,000  
        One Year   Inception2     Investment  
Short-Term Bond Index Fund ETF Shares Net Asset Value1      4.44 %  5.69 %  $ 11,640  
  Barclays Capital U.S. Aggregate Bond Index      5.93   6.05     11,750  
  Barclays Capital U.S. 1–5 Year Government/Credit Bond Index   4.62   5.62     11,621  
 
 
  Cumulative Returns: ETF Shares, April 3, 2007—December 31, 2009            
                  Since  
        One Year         Inception2  
  Short-Term Bond Market Index Fund ETF Shares Market Price   1.58 %        16.62 % 
  Short-Term Bond Market Index Fund ETF Shares Net Asset Value   4.44         16.40  
  Barclays Capital U.S. 1–5 Year Government/Credit Bond Index   4.62         16.21  
 
 
  Fiscal-Year Total Returns (%): December 31, 1999—December 31, 2009            
 
            Investor Shares     Barclays3  
  Fiscal  Capital   Income   Total     Total  
  Year  Return   Return   Return     Return  
  2000  2.4 %  6.4 %  8.8 %    8.9 % 
  2001  3.0   5.9   8.9     9.0  
  2002  1.5   4.6   6.1     8.1  
  2003  0.1   3.3   3.4     3.4  
  2004  –1.3   3.0   1.7     1.8  
  2005  –2.2   3.5   1.3     1.4  
  2006  –0.3   4.4   4.1     4.2  
  2007  2.4   4.8   7.2     7.3  
  2008  1.5   3.9   5.4     5.1  
  2009  1.4   2.9   4.3     4.6  

1 For more information about how the ETF Shares’ market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

2 Performance for the fund and its comparative standards is calculated since the ETF Shares’ inception on April 3, 2007.

3 Barclays Capital U.S. 1–5 Year Government/Credit Bond Index.

34


Short-Term Bond Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2009

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 reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

          Face     Market   Percentage  
      Maturity    Amount     Value•   of Net  
  Coupon   Date  ($ 000 )  ($ 000 )  Assets  
U.S. Government and Agency Obligations                    
U.S. Government Securities                       
United States Treasury Inflation                       
Indexed Bonds  3.500 %  1/15/11    9,125     11,755   0.1 % 
United States Treasury Note/Bond  0.875 %  2/28/11    300,325     301,028   1.9 % 
United States Treasury Note/Bond  1.125 %  12/15/12    274,725     270,390   1.7 % 
United States Treasury Note/Bond  1.750 %  8/15/12    245,745     247,357   1.5 % 
United States Treasury Note/Bond  0.875 %  12/31/10    237,160     238,011   1.5 % 
United States Treasury Note/Bond  1.125 %  1/15/12    234,695     234,474   1.5 % 
United States Treasury Note/Bond  2.625 %  7/31/14    232,160     233,393   1.5 % 
United States Treasury Note/Bond  2.750 %  10/31/13    221,900     227,310   1.4 % 
United States Treasury Note/Bond  3.125 %  9/30/13    216,375     224,928   1.4 % 
United States Treasury Note/Bond  2.625 %  6/30/14    213,730     215,333   1.3 % 
United States Treasury Note/Bond  1.875 %  4/30/14    219,600     215,105   1.3 % 
United States Treasury Note/Bond  1.375 %  5/15/12    209,750     209,784   1.3 % 
United States Treasury Note/Bond  1.250 %  11/30/10    207,175     208,665   1.3 % 
United States Treasury Note/Bond  4.375 %  12/15/10    191,530     198,532   1.2 % 
United States Treasury Note/Bond  2.125 %  11/30/14    202,055     197,351   1.2 % 
United States Treasury Note/Bond  2.250 %  5/31/14    188,835     187,566   1.2 % 
United States Treasury Note/Bond  1.000 %  12/31/11    186,000     185,477   1.2 % 
United States Treasury Note/Bond  1.875 %  2/28/14    187,085     184,045   1.1 % 
United States Treasury Note/Bond  4.500 %  9/30/11    168,490     178,599   1.1 % 
United States Treasury Note/Bond  5.125 %  6/30/11    167,480     177,948   1.1 % 
United States Treasury Note/Bond  1.375 %  11/15/12    177,917     176,695   1.1 % 
United States Treasury Note/Bond  3.500 %  5/31/13    146,110     154,009   1.0 % 
United States Treasury Note/Bond  1.875 %  6/15/12    149,925     151,565   0.9 % 
United States Treasury Note/Bond  2.375 %  10/31/14    145,485     143,940   0.9 % 
United States Treasury Note/Bond  4.500 %  3/31/12    132,385     141,693   0.9 % 
United States Treasury Note/Bond  4.875 %  4/30/11    133,885     140,998   0.9 % 
United States Treasury Note/Bond  1.125 %  6/30/11    138,750     139,293   0.9 % 
United States Treasury Note/Bond  4.625 %  10/31/11    127,550     135,820   0.8 % 
United States Treasury Note/Bond  2.625 %  12/31/14    136,000     135,309   0.8 % 

35


Short-Term Bond Index Fund                         
 
 
 
              Face     Market   Percentage  
          Maturity    Amount     Value•   of Net  
      Coupon   Date  ($ 000 )  ($ 000 )  Assets  
  United States Treasury Note/Bond  1.750 %  1/31/14    128,645     126,233   0.8 % 
  United States Treasury Note/Bond  4.625 %  7/31/12    116,340     125,666   0.8 % 
  United States Treasury Note/Bond  1.750 %  3/31/14    127,915     124,898   0.8 % 
  United States Treasury Note/Bond  0.875 %  4/30/11    121,250     121,402   0.8 % 
  United States Treasury Note/Bond  4.875 %  6/30/12    111,070     120,477   0.8 % 
  United States Treasury Note/Bond  4.500 %  11/30/11    104,975     111,766   0.7 % 
  United States Treasury Note/Bond  4.750 %  5/31/12    102,840     111,067   0.7 % 
  United States Treasury Note/Bond  3.125 %  8/31/13    105,330     109,494   0.7 % 
  United States Treasury Note/Bond  4.500 %  2/28/11    95,410     99,584   0.6 % 
  United States Treasury Note/Bond  3.875 %  2/15/13    90,205     96,096   0.6 % 
  United States Treasury Note/Bond  4.500 %  4/30/12    82,335     88,279   0.6 % 
  United States Treasury Note/Bond  3.875 %  10/31/12    82,080     87,351   0.5 % 
  United States Treasury Note/Bond  1.000 %  10/31/11    85,180     85,100   0.5 % 
  United States Treasury Note/Bond  4.750 %  3/31/11    79,675     83,572   0.5 % 
  United States Treasury Note/Bond  2.000 %  11/30/13    82,815     82,388   0.5 % 
  United States Treasury Note/Bond  4.750 %  5/15/14    73,625     81,034   0.5 % 
  United States Treasury Note/Bond  4.625 %  8/31/11    73,975     78,436   0.5 % 
  United States Treasury Note/Bond  1.375 %  2/15/12    72,300     72,503   0.5 % 
  United States Treasury Note/Bond  1.500 %  12/31/13    70,950     69,099   0.4 % 
  United States Treasury                         
  Note/Bond  0.875%–5.750%   2/15/10–9/30/14    1,070,019     1,102,182   6.9 % 
                    8,443,000   52.7 % 
Agency Bonds and Notes                         
1  Bank of America Corp.  2.100%–3.125%   4/30/12–6/22/12    71,975     73,838   0.5 % 
1  Bank of America NA    1.700 %  12/23/10    7,500     7,575   0.0 % 
1  Citibank NA  1.250%–1.875%   3/30/11–12/28/12    36,575     36,626   0.2 % 
1  Citigroup Funding Inc.  1.375%–2.250%   5/5/11–12/10/12    47,387     47,697   0.3 % 
1  Citigroup Inc.  2.125%–2.875%   12/9/11–4/30/12    59,345     60,463   0.4 % 
2  Federal Home Loan Banks    1.625 %  7/27/11    79,875     80,643   0.5 % 
2,3  Federal Home Loan Banks  1.000%–5.500%   3/11/11–8/13/14    587,595     610,399   3.8 % 
2  Federal Home Loan Mortgage Corp.  4.500 %  7/15/13    69,000     74,444   0.5 % 
2,3  Federal Home Loan                         
  Mortgage Corp.  1.125%–6.000%   1/18/11–7/28/14    584,395     605,748   3.8 % 
2  Federal National Mortgage Assn.  6.000 %  5/15/11    94,275     100,799   0.6 % 
2  Federal National                         
  Mortgage Assn.  1.000%–5.500%   2/15/11–11/20/14    657,925     681,905   4.3 % 
1  General Electric Capital Corp. 1.625%–3.000%   1/7/11–12/28/12    130,250     132,011   0.8 % 
1  JPMorgan Chase & Co.  1.650%–3.125%   2/23/11–12/26/12    70,325     71,772   0.5 % 
  Agency Bonds and Notes—Other †                310,361   1.9 % 
                    2,894,281   18.1 % 
Total U.S. Government and Agency Obligations (Cost $11,251,896)          11,337,281   70.8 % 
4Asset-Backed/Commercial Mortgage-Backed Securities (Cost $ 8,575) †     8,771   0.1 % 
Corporate Bonds                         
Finance                         
  Banking                         
  Bank of America Corp.  4.250%–7.375%   10/1/10–11/15/14    57,600     60,975   0.4 % 
  Bank One Corp.    5.900 %  11/15/11    1,500     1,603   0.0 % 
  Bear Stearns Cos. LLC  4.500%–6.950%   10/28/10–11/15/14     14,200     15,126   0.1 % 
  Citigroup Inc.  5.000%–6.500%   1/18/11–1/15/15    121,150     124,830   0.8 % 
  Countrywide Financial Corp.    5.800 %  6/7/12    3,850     4,089   0.0 % 
  Countrywide Home Loans Inc.  4.000 %  3/22/11    1,925     1,976   0.0 % 

36


Short-Term Bond Index Fund                       
 
 
 
            Face     Market   Percentage  
        Maturity    Amount     Value•   of Net  
    Coupon   Date  ($ 000 )  ($ 000 )  Assets  
  FIA Card Services NA  6.625 %  6/15/12    1,000     1,062   0.0 % 
  JPMorgan Chase & Co.  4.650%–6.750%   2/1/11–5/1/15    89,425     95,894   0.6 % 
  MBNA Corp.  6.125%–7.500%   3/15/12–3/1/13    3,075     3,339   0.0 % 
  Merrill Lynch & Co. Inc.  5.000%–6.150%   7/25/11–1/15/15    44,850     47,784   0.3 % 
4  Banking—Other †                674,420   4.2 % 
  Brokerage †                14,536   0.1 % 
  Finance Companies                       
  General Electric Capital Corp.  3.500%–6.125%   9/13/10–11/14/14    145,210     152,818   1.0 % 
  Finance Companies—Other †                98,176   0.6 % 
4  Insurance †                160,407   1.0 % 
  Other Finance †                14,171   0.1 % 
  Real Estate Investment Trusts †             49,607   0.3 % 
                  1,520,813   9.5 % 
Industrial                       
4  Basic Industry †                140,641   0.9 % 
  Capital Goods                       
  General Electric Co.  5.000 %  2/1/13    18,500     19,593   0.1 % 
  Capital Goods—Other †                158,376   1.0 % 
4  Communication †                401,829   2.5 % 
  Consumer Cyclical †                189,029   1.2 % 
4  Consumer Noncyclical †                425,662   2.7 % 
4  Energy †                192,218   1.2 % 
  Other Industrial †                1,818   0.0 % 
  Technology †                156,687   1.0 % 
  Transportation †                38,751   0.2 % 
                  1,724,604   10.8 % 
Utilities                       
4  Electric †                187,820   1.1 % 
  Natural Gas †                60,204   0.4 % 
                  248,024   1.5 % 
Total Corporate Bonds (Cost $3,339,144)             3,493,441   21.8 % 
Sovereign Bonds (U.S. Dollar-Denominated)                    
  European Investment Bank  1.750%–5.250%   2/15/11–6/4/14    212,825     217,698   1.4 % 
  Kreditanstalt                       
  fuer Wiederaufbau  1.875%–4.750%     11/15/10–10/21/14    176,450     180,506   1.1 % 
  Landwirtschaftliche                       
  Rentenbank  1.875%–5.250%   2/14/11–3/15/13    44,675     45,767   0.3 % 
  Sovereign Bonds (U.S. Dollar-Denominated)—Other †          598,493   3.7 % 
Total Sovereign Bonds (Cost $1,020,084)             1,042,464   6.5 % 
Taxable Municipal Bonds (Cost $ 6,764) †             6,911   0.1 % 
 
            Shares            
Temporary Cash Investment                       
Money Market Fund                       
5,6  Vanguard Market Liquidity Fund                    
  (Cost $191,629)  0.187 %      191,629,464     191,629   1.2 % 
^Total Investments (Cost $15,818,092)             16,080,497   100.5 % 
Other Assets and Liabilities                       
Other Assets                590,205   3.7 % 
Liabilities6                (665,135 )  (4.2 %) 
                  (74,930 )  (0.5 %) 
Net Assets                16,005,567   100.0 % 

37


Short-Term Bond Index Fund       
 
 
At December 31, 2009, net assets consisted of:       
    Amount  
  ($ 000 ) 
Paid-in Capital    15,732,474  
Undistributed Net Investment Income    —  
Accumulated Net Realized Gains    10,688  
Unrealized Appreciation (Depreciation)    262,405  
Net Assets    16,005,567  
 
Investor Shares—Net Assets       
Applicable to 506,758,280 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    5,282,855  
Net Asset Value Per Share—Investor Shares  $ 10.42  
 
Admiral Shares—Net Assets       
Applicable to 188,088,166 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    1,960,773  
Net Asset Value Per Share—Admiral Shares  $ 10.42  
 
Signal Shares—Net Assets       
Applicable to 487,298,127 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    5,079,987  
Net Asset Value Per Share—Signal Shares  $ 10.42  
 
ETF Shares—Net Assets       
Applicable to 46,400,000 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    3,681,952  
Net Asset Value Per Share—ETF Shares  $ 79.35  

• See Note A in Notes to Financial Statements.

^ The total value of securities on loan is $925,000.

† 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 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.

2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.

3 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 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, 2009, the aggregate value of these securities was $67,126,000, representing 0.4% of net assets.

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.

6 Includes $990,000 of collateral received for securities on loan.

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

38


Short-Term Bond Index Fund       
 
 
Statement of Operations       
 
    Year Ended  
    December 31, 2009  
  ($ 000 ) 
Investment Income       
Income       
Interest1    363,907  
Security Lending    114  
Total Income    364,021  
Expenses       
The Vanguard Group—Note B       
Investment Advisory Services    1,089  
Management and Administrative—Investor Shares    7,620  
Management and Administrative—Admiral Shares    1,473  
Management and Administrative—Signal Shares    3,019  
Management and Administrative—ETF Shares    1,556  
Marketing and Distribution—Investor Shares    1,257  
Marketing and Distribution—Admiral Shares    384  
Marketing and Distribution—Signal Shares    1,156  
Marketing and Distribution—ETF Shares    534  
Custodian Fees    115  
Auditing Fees    32  
Shareholders’ Reports and Proxies—Investor Shares    226  
Shareholders’ Reports and Proxies—Admiral Shares    18  
Shareholders’ Reports and Proxies—Signal Shares    42  
Shareholders’ Reports and Proxies—ETF Shares    83  
Trustees’ Fees and Expenses    20  
Total Expenses    18,624  
Net Investment Income    345,397  
Realized Net Gain (Loss) on Investment Securities Sold    75,989  
Change in Unrealized Appreciation (Depreciation) of Investment Securities    84,295  
Net Increase (Decrease) in Net Assets Resulting from Operations    505,681  
1 Interest income from an affiliated company of the fund was $365,000.       
 
 
 
 
See accompanying Notes, which are an integral part of the Financial Statements.       

39


Short-Term Bond Index Fund             
 
 
Statement of Changes in Net Assets             
 
    Year Ended December 31,  
    2009     2008  
  ($ 000 )  ($ 000 ) 
Increase (Decrease) in Net Assets             
Operations             
Net Investment Income    345,397     308,519  
Realized Net Gain (Loss)    75,989     47,739  
Change in Unrealized Appreciation (Depreciation)    84,295     74,389  
Net Increase (Decrease) in Net Assets Resulting from Operations    505,681     430,647  
Distributions             
Net Investment Income             
Investor Shares    (121,171 )    (122,056 ) 
Admiral Shares    (51,150 )    (61,985 ) 
Signal Shares    (113,924 )    (94,644 ) 
ETF Shares    (59,509 )    (29,834 ) 
Realized Capital Gain             
Investor Shares    (504 )    —  
Admiral Shares    (190 )    —  
Signal Shares    (480 )    —  
ETF Shares    (363 )    —  
Total Distributions    (347,291 )    (308,519 ) 
Capital Share Transactions             
Investor Shares    1,545,538     858,062  
Admiral Shares    305,117     108,610  
Signal Shares    1,815,238     1,320,260  
ETF Shares    2,508,830     729,327  
Net Increase (Decrease) from Capital Share Transactions    6,174,723     3,016,259  
Total Increase (Decrease)    6,333,113     3,138,387  
Net Assets             
Beginning of Period    9,672,454     6,534,067  
End of Period    16,005,567     9,672,454  

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

40


Short-Term Bond Index Fund                               
 
 
Financial Highlights                               
 
 
Investor Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.28   $ 10.13   $ 9.89   $ 9.92   $ 10.14  
Investment Operations                               
Net Investment Income    .293     .389     .456     .426     .350  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .141     .150     .240     (.030 )    (.220 ) 
Total from Investment Operations    .434     .539     .696     .396     .130  
Distributions                               
Dividends from Net Investment Income    (.293 )    (.389 )    (.456 )    (.426 )    (.350 ) 
Distributions from Realized Capital Gains    (.001 )    —     —     —     —  
Total Distributions    (.294 )    (.389 )    (.456 )    (.426 )    (.350 ) 
Net Asset Value, End of Period  $ 10.42   $ 10.28   $ 10.13   $ 9.89   $ 9.92  
 
Total Return1    4.28 %    5.43 %    7.22 %    4.09 %    1.31 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 5,283   $ 3,680   $ 2,773   $ 2,731   $ 2,951  
Ratio of Total Expenses to                               
Average Net Assets    0.22 %    0.19 %    0.18 %    0.18 %    0.18 % 
Ratio of Net Investment Income to                               
Average Net Assets    2.78 %    3.79 %    4.58 %    4.32 %    3.50 % 
Portfolio Turnover Rate2    77 %    101 %    79 %    106 %    106 % 

1      Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.

41


Short-Term Bond Index Fund                               
 
 
Financial Highlights                               
 
 
Admiral Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.28   $ 10.13   $ 9.89   $ 9.92   $ 10.14  
Investment Operations                               
Net Investment Income    .303     .397     .464     .433     .357  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .141     .150     .240     (.030 )    (.220 ) 
Total from Investment Operations    .444     .547     .704     .403     .137  
Distributions                               
Dividends from Net Investment Income    (.303 )    (.397 )    (.464 )    (.433 )    (.357 ) 
Distributions from Realized Capital Gains    (.001 )    —     —     —     —  
Total Distributions    (.304 )    (.397 )    (.464 )    (.433 )    (.357 ) 
Net Asset Value, End of Period  $ 10.42   $ 10.28   $ 10.13   $ 9.89   $ 9.92  
 
Total Return    4.38 %    5.51 %    7.31 %    4.16 %    1.38 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 1,961   $ 1,632   $ 1,502   $ 2,528   $ 2,326  
Ratio of Total Expenses to                               
Average Net Assets    0.12 %    0.11 %    0.10 %    0.11 %    0.11 % 
Ratio of Net Investment Income to                               
Average Net Assets    2.88 %    3.87 %    4.66 %    4.39 %    3.57 % 
Portfolio Turnover Rate1    77 %    101 %    79 %    106 %    106 % 

1      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.

42


Short-Term Bond Index Fund                   
 
 
Financial Highlights                   
 
 
Signal Shares                   
                Mar. 30,  
    Year Ended     20071 to 
    December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007  
Net Asset Value, Beginning of Period  $ 10.28   $ 10.13   $ 9.93  
Investment Operations                   
Net Investment Income    .303     .397     .352  
Net Realized and Unrealized Gain (Loss) on Investments    .141     .150     .200  
Total from Investment Operations    .444     .547     .552  
Distributions                   
Dividends from Net Investment Income    (.303 )    (.397 )    (.352 ) 
Distributions from Realized Capital Gains    (.001 )    —     —  
Total Distributions    (.304 )    (.397 )    (.352 ) 
Net Asset Value, End of Period  $ 10.42   $ 10.28   $ 10.13  
 
Total Return    4.38 %    5.51 %    5.67 % 
 
Ratios/Supplemental Data                   
Net Assets, End of Period (Millions)  $ 5,080   $ 3,212   $ 1,851  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.11 %    0.10 %2 
Ratio of Net Investment Income to Average Net Assets    2.88 %    3.87 %    4.66 %2 
Portfolio Turnover Rate3    77 %    101 %    79 % 

1      Inception.
2      Annualized.
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.

43


Short-Term Bond Index Fund                   
 
 
Financial Highlights                   
 
 
ETF Shares                   
                Apr. 3,  
    Year Ended     20071 to 
    December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007  
Net Asset Value, Beginning of Period  $ 78.13   $ 76.88   $ 74.95  
Investment Operations                   
Net Investment Income    2.196     2.886     2.249  
Net Realized and Unrealized Gain (Loss) on Investments    1.228     1.250     1.930  
Total from Investment Operations    3.424     4.136     4.179  
Distributions                   
Dividends from Net Investment Income    (2.196 )    (2.886 )    (2.249 ) 
Distributions from Realized Capital Gains    (.008 )    —     —  
Total Distributions    (2.204 )    (2.886 )    (2.249 ) 
Net Asset Value, End of Period  $ 79.35   $ 78.13   $ 76.88  
 
Total Return    4.44 %    5.48 %    5.67 % 
 
Ratios/Supplemental Data                   
Net Assets, End of Period (Millions)  $ 3,682   $ 1,149   $ 407  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.10 %    0.11 %2 
Ratio of Net Investment Income to Average Net Assets    2.88 %    3.88 %    4.65 %2 
Portfolio Turnover Rate3    77 %    101 %    79 % 

1      Inception.
2      Annualized.
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.

44


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 four classes of shares: Investor Shares, Admiral Shares, Signal Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Signal Shares are designed for institutional investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

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

1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Other temporary cash investments are valued at amortized cost, which approximates market 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, 2006–2009), 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.

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and proxies. Marketing and

45


Short-Term Bond Index Fund

distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2009, the fund had contributed capital of $3,122,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 1.25% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers 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).

The following table summarizes the fund’s investments as of December 31, 2009, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments  ($ 000 )  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations    —     11,337,281     —  
Asset-Backed/Commercial Mortgage-Backed Securities    —     8,771     —  
Corporate Bonds    —     3,493,431     10  
Sovereign Bonds    —     1,042,464     —  
Taxable Municipal Bonds    —     6,911     —  
Temporary Cash Investments    191,629     —     —  
Total    191,629     15,888,858     10  

46


Short-Term Bond Index Fund

The following table summarizes changes in investments valued based on Level 3 inputs during the year ended December 31, 2009:

    Investments in  
    Corporate Bonds  
Amount Valued Based on Level 3 Inputs  ($ 000 ) 
Balance as of December 31, 2008    —  
Transfers in and/or out of Level 3    16  
Change in unrealized appreciation (depreciation)    (6 ) 
Balance as of December 31, 2009    10  

D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.

The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $849,000 from accumulated net realized gains to paid-in capital.

For tax purposes, at December 31, 2009, the fund had short-term and long-term capital gains of $5,112,000 and $6,213,000, respectively, available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

Certain of the fund’s U.S. Treasury Inflation-Indexed securities experienced deflation adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction was deferred for tax purposes until it was used to offset future inflation adjustments that increase taxable income. The difference became permanent when the securities were sold. During the year ended December 31, 2009, the fund realized gains of $357,000 that were included in ordinary income for tax purposes as a result of deferred deflation adjustments; accordingly such gains have been reclassified from accumulated net realized gains to undistributed net investment income.

At December 31, 2009, the cost of investment securities for tax purposes was $15,818,583,000. Net unrealized appreciation of investment securities for tax purposes was $261,914,000, consisting of unrealized gains of $298,704,000 on securities that had risen in value since their purchase and $36,790,000 in unrealized losses on securities that had fallen in value since their purchase.

47


Short-Term Bond Index Fund

E. During the year ended December 31, 2009, the fund purchased $2,277,504,000 of investment securities and sold $921,652,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $12,966,537,000 and $8,261,870,000, respectively.

F. Capital share transactions for each class of shares were:                
 
              Year Ended December 31,  
        2009         2008  
    Amount   Shares     Amount   Shares  
  ($ 000 )  (000 )  ($ 000 )  (000 ) 
Investor Shares                     
Issued    3,417,628   329,509     2,042,093   200,868  
Issued in Lieu of Cash Distributions    104,748   10,107     110,107   10,827  
Redeemed    (1,976,838 )  (190,885 )    (1,294,138 )  (127,426 ) 
Net Increase (Decrease)—Investor Shares    1,545,538   148,731     858,062   84,269  
Admiral Shares                     
Issued    1,167,345   112,451     660,329   64,940  
Issued in Lieu of Cash Distributions    44,207   4,267     54,719   5,378  
Redeemed    (906,435 )  (87,457 )    (606,438 )  (59,784 ) 
Net Increase (Decrease)—Admiral Shares    305,117   29,261     108,610   10,534  
Signal Shares                     
Issued    2,766,402   266,663     2,041,854   200,877  
Issued in Lieu of Cash Distributions    101,450   9,784     86,207   8,482  
Redeemed    (1,052,614 )  (101,661 )    (807,801 )  (79,607 ) 
Net Increase (Decrease)—Signal Shares    1,815,238   174,786     1,320,260   129,752  
ETF Shares                     
Issued    2,508,830   31,700     790,243   10,200  
Issued in Lieu of Cash Distributions    —   —     —   —  
Redeemed    —   —     (60,916 )  (800 ) 
Net Increase (Decrease)—ETF Shares    2,508,830   31,700     729,327   9,400  

G. In preparing the financial statements as of December 31, 2009, management considered the impact of subsequent events occurring through February 12, 2010, for potential recognition or disclosure in these financial statements.

48


Intermediate-Term Bond Index Fund

Fund Profile          
As of December 31, 2009          
 
Financial Attributes             
        Target   Broad  
    Fund   Index1   Index2  
Number of Issues    1,037   1,514   8,413  
Yield3        4.2 %  3.7 % 
Investor Shares    3.9 %         
Admiral Shares    4.0 %         
Signal Shares    4.0 %         
Institutional Shares  4.0 %         
ETF Shares    4.0 %         
Yield to Maturity    4.2 %4  4.2 %  3.7 % 
Average Coupon    5.3 %  5.0 %  4.7 % 
Average Effective               
Maturity  7.5 years   7.6 years   6.8 years  
Average Quality5    Aa2/Aa3  Aa2/Aa3  Aa1/Aa2 
Average Duration  6.3 years   6.3 years   4.6 years  
Expense Ratio6        —   —  
Investor Shares    0.22 %         
Admiral Shares    0.14 %         
Signal Shares    0.14 %         
Institutional Shares  0.09 %         
ETF Shares    0.14 %         
Short-Term Reserves    0.0 %  —   —  
 
 
Sector Diversification7 (% of portfolio)      
 
Finance            15.9 % 
Foreign            6.5  
Government Mortgage-Backed       0.1  
Industrial            21.6  
Treasury/Agency            51.5  
Utilities            4.4  

Volatility Measures8   
  Fund Versus  Fund Versus 
  Target Index1  Broad Index2 
R-Squared  0.99  0.97 
Beta  1.02  1.64 

Distribution by Maturity (% of portfolio)

Under 1 Year  0.1 % 
1–5 Years  0.6  
5–10 Years  99.2  
10–20 Years  0.1  

Distribution by Credit Quality5 (% of portfolio)

Aaa  54.0 % 
Aa  6.4  
A  20.7  
Baa  18.9  

Investment Focus


1 Barclays Capital U.S. 5-10 Year Government/Credit Bond Index.

2 Barclays Capital U.S. Aggregate Bond Index.

3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary.

4 Before expenses.

5 Moody’s Investors Service.

6 The expense ratios shown are from the prospectuses dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the expense ratios for the Intermediate-Term Bond Index Fund were 0.22% for Investor Shares, 0.12% for Admiral Shares, 0.12% for Signal Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares.

7 The agency sector may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.

8 For an explanation of R-squared, beta, and other terms used here, see the Glossary.

49


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 www.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, 1999—December 31, 2009

Initial Investment of $10,000


      Average Annual Total Returns     Final Value 
  Periods Ended December 31, 2009   of a $10,000 
  One Year   Five Years   Ten Years     Investment 
Intermediate-Term Bond Index Fund                 
Investor Shares1  6.79 %  4.98 %  6.83 %  $ 19,362 
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   6.33     18,475 
Barclays Capital U.S. 5–10 Year                 
Government/Credit Bond Index  6.50   4.93   6.98     19,631 
Intermediate Investment Grade                 
Debt Funds Average2  12.49   3.48   5.10     16,450 

                Final Value 
          Since   of a $100,000 
  One Year   Five Years   Inception3     Investment 
Intermediate-Term Bond Index Fund Admiral Shares  6.89 %  5.06 %  5.43 %  $ 153,771 
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   5.02     152,886 
Barclays Capital U.S. 5–10 Year                 
Government/Credit Bond Index  6.50   4.93   5.60     155,784 

1 Total return figures do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.

2 Derived from data provided by Lipper Inc.; based on average returns for Intermediate U.S. Government Funds through December 31, 2001, and average returns for Intermediate Investment Grade Debt Funds thereafter.

3 Performance for the fund’s Admiral Shares and comparative standards is calculated since the Admiral Shares’ inception on November 12, 2001.

See Financial Highlights for dividend and capital gains information.

50


Intermediate-Term Bond Index Fund               
 
 
 
 
            Final Value of  
      Since   a $ 1,000,000  
  One Year   Inception2     Investment  
Intermediate-Term Bond Index Fund Signal Shares  6.89 %  7.29 %  $ 1,198,644  
Barclays Capital U.S. Aggregate Bond Index  5.93   6.60     1,178,898  
Barclays Capital U.S. 5–10 Year Government/Credit Bond Index  6.50   7.10     1,193,138  
 
            Final Value of  
      Since   a $ 25,000,000  
  One Year   Inception2     Investment  
Intermediate-Term Bond Index Fund Institutional Shares  6.95 %  6.13 %  $ 31,577,124  
Barclays Capital U.S. Aggregate Bond Index  5.93   5.73     31,122,903  
Barclays Capital U.S. 5–10 Year Government/Credit Bond Index  6.50   5.91     31,327,787  
 
            Final Value  
      Since   of a $ 10,000  
  One Year   Inception2     Investment  
Intermediate-Term Bond Index Fund ETF Shares Net Asset Value1  6.82 %  6.55 %  $ 11,904  
Barclays Capital U.S. Aggregate Bond Index  5.93   6.05     11,750  
Barclays Capital U.S. 5–10 Year Government/Credit Bond Index  6.50   6.37     11,848  
 
 
Cumulative Returns: ETF Shares, April 3, 2007—December 31, 2009            
            Since  
  One Year         Inception2  
Intermediate-Term Bond Market Index Fund ETF Shares               
Market Price  4.12 %        19.33 % 
Intermediate-Term Bond Market Index Fund ETF Shares               
Net Asset Value  6.82         19.04  
Barclays Capital U.S. 5–10 Year Government/Credit Bond Index  6.50         18.48  

1 For more information about how the ETF Shares’ market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

2 Performance for the fund and its comparative standards is calculated since the following inception dates: June 4, 2007, for the Signal Shares; January 26, 2006, for the Institutional Shares; and April 3, 2007, for the ETF Shares.

51


Intermediate-Term Bond Index Fund                 
 
 
 
 
Fiscal-Year Total Returns (%): December 31, 1999—December 31, 2009          
 
          Investor Shares   Barclays1  
Fiscal  Capital   Income   Total   Total  
Year  Return   Return   Return   Return  
2000  5.4 %  7.4 %  12.8 %  12.4 % 
2001  2.6   6.7   9.3   8.8  
2002  4.7   6.2   10.9   13.0  
2003  0.6   5.0   5.6   6.0  
2004  0.4   4.8   5.2   5.3  
2005  –2.9   4.7   1.8   1.8  
2006  –1.1   5.0   3.9   3.8  
2007  2.4   5.2   7.6   7.6  
2008  0.0   4.9   4.9   5.1  
2009  2.1   4.7   6.8   6.5  

1 Barclays Capital U.S. 5–10 Year Government/Credit Bond Index.

52


Intermediate-Term Bond Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2009

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 reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

          Face     Market   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  3.750 %  11/15/18    324,860     324,912   3.4 % 
United States Treasury Note/Bond  2.750 %  2/15/19    263,520     242,726   2.5 % 
United States Treasury Note/Bond  3.375 %  11/15/19    251,790     242,308   2.5 % 
United States Treasury Note/Bond  4.000 %  8/15/18    222,975     227,818   2.4 % 
United States Treasury Note/Bond  4.000 %  2/15/15    206,450     219,450   2.3 % 
United States Treasury Note/Bond  3.125 %  5/15/19    219,905     208,325   2.2 % 
United States Treasury Note/Bond  3.625 %  8/15/19    203,115     199,751   2.1 % 
United States Treasury Note/Bond  3.875 %  5/15/18    192,025     195,055   2.0 % 
United States Treasury Note/Bond  3.500 %  2/15/18    155,600     154,385   1.6 % 
United States Treasury Note/Bond  4.500 %  5/15/17    130,095     139,121   1.4 % 
United States Treasury Note/Bond  7.500 %  11/15/16    105,645     133,145   1.4 % 
United States Treasury Note/Bond  8.750 %  5/15/17    98,070     132,624   1.4 % 
United States Treasury Note/Bond  4.625 %  2/15/17    118,290     127,772   1.3 % 
United States Treasury Note/Bond  4.750 %  8/15/17    117,075     127,081   1.3 % 
United States Treasury Note/Bond  5.125 %  5/15/16    107,370     119,751   1.2 % 
United States Treasury Note/Bond  3.250 %  5/31/16    115,725     116,249   1.2 % 
United States Treasury Note/Bond  4.250 %  8/15/15    95,250     101,962   1.1 % 
United States Treasury Note/Bond  8.875 %  8/15/17    71,285     97,204   1.0 % 
United States Treasury Note/Bond  4.875 %  8/15/16    75,595     83,142   0.9 % 
United States Treasury Note/Bond  9.875 %  11/15/15    60,200     82,718   0.9 % 
United States Treasury Note/Bond  2.750 %  11/30/16    85,750     82,575   0.8 % 
United States Treasury Note/Bond  4.125 %  5/15/15    74,070     78,989   0.8 % 
United States Treasury Note/Bond  3.250 %  12/31/16    79,225     78,458   0.8 % 
United States Treasury Note/Bond  8.875 %  2/15/19    51,850     72,444   0.7 % 
United States Treasury Note/Bond  11.250 %  2/15/15    50,615     71,415   0.7 % 
United States Treasury Note/Bond  2.625 %  2/29/16    73,200     71,233   0.7 % 
United States Treasury Note/Bond  10.625 %  8/15/15    46,685     65,578   0.7 % 
United States Treasury Note/Bond  7.250 %  5/15/16    51,450     63,709   0.7 % 
United States Treasury Note/Bond  4.500 %  2/15/16    56,165     60,597   0.6 % 
United States Treasury Note/Bond  9.250 %  2/15/16    41,620     56,057   0.6 % 

53


Intermediate-Term Bond Index Fund                       
 
 
 
            Face     Market   Percentage  
        Maturity    Amount     Value•   of Net  
    Coupon   Date  ($ 000 )  ($ 000 )  Assets  
United States Treasury Note/Bond  3.250 %  6/30/16    54,815     54,987   0.6 % 
United States Treasury Note/Bond  3.125 %  10/31/16    53,400     52,741   0.5 % 
United States Treasury Note/Bond  4.625 %  11/15/16    45,530     49,251   0.5 % 
United States Treasury Note/Bond  4.250 %  11/15/17    44,405     46,563   0.5 % 
United States Treasury Note/Bond  9.125 %  5/15/18    27,995     39,307   0.4 % 
United States Treasury Note/Bond  2.375 %  3/31/16    40,650     38,897   0.4 % 
United States Treasury Note/Bond  4.500 %  11/15/15    24,825     26,889   0.3 % 
United States Treasury Note/Bond  2.625 %  4/30/16    1,200     1,163   0.0 % 
                  4,286,352   44.4 % 
Agency Bonds and Notes                         
1 Federal Home Loan Bank of Chicago  5.625 %  6/13/16    4,325     4,365   0.0 % 
1 Federal Home Loan Banks    5.000 %  11/17/17    32,225     34,733   0.4 % 
1 Federal Home Loan Banks    4.750 %  12/16/16    26,750     28,602   0.3 % 
1 Federal Home Loan Banks    4.875 %  5/17/17    24,225     26,023   0.3 % 
1 Federal Home Loan Banks  5.125%–5.375%   6/18/14–8/15/19    25,895     28,197   0.3 % 
1 Federal Home Loan Mortgage Corp.  5.500 %  7/18/16    52,000     58,050   0.6 % 
1 Federal Home Loan Mortgage Corp.  4.500 %  1/15/15    27,950     30,035   0.3 % 
1 Federal Home Loan Mortgage Corp.  4.750 %  1/19/16    23,925     25,805   0.3 % 
1 Federal Home Loan                         
Mortgage Corp.  3.750%–5.250%   1/26/15–3/27/19    68,150     71,700   0.7 % 
1 Federal National Mortgage Assn.  4.875 %  12/15/16    44,900     48,493   0.5 % 
1 Federal National Mortgage Assn.  5.000 %  2/13/17    37,175     40,330   0.4 % 
1 Federal National Mortgage Assn.  5.375 %  6/12/17    25,000     27,660   0.3 % 
1 Federal National Mortgage Assn.  5.000 %  4/15/15    25,000     27,417   0.3 % 
1 Federal National                         
Mortgage Assn.  0.000%–5.250%   10/15/15–10/9/19    63,400     63,250   0.7 % 
Agency Bonds and Notes—Other †                99,614   1.0 % 
                  614,274   6.4 % 
Total U.S. Government and Agency Obligations (Cost $4,860,857)          4,900,626   50.8 % 
2Asset-Backed/Commercial Mortgage-Backed Securities (Cost $ 2,788) †          2,887   0.0 % 
Corporate Bonds                         
Finance                         
Banking                         
Bank of America Corp.  5.250%–7.750%   8/15/15–6/1/19    87,900     91,079   0.9 % 
Bank of America NA  5.300%–6.100%   3/15/17–6/15/17    16,050     15,706   0.2 % 
Bank One Corp.    4.900 %  4/30/15    6,150     6,343   0.1 % 
Bear Stearns Cos. LLC  5.300%–7.250%   10/30/15–2/1/18    44,150     48,149   0.5 % 
Countrywide Financial Corp.    6.250 %  5/15/16    3,775     3,848   0.0 % 
Goldman Sachs Group Inc.  5.125%–7.500%   1/15/15–2/15/19    98,700     105,096   1.1 % 
JPMorgan Chase & Co.  4.750%–6.300%   3/1/15–4/23/19    57,450     61,805   0.6 % 
JPMorgan Chase Bank NA  5.875%–6.000%   6/13/16–10/1/17    8,900     9,378   0.1 % 
MBNA Corp.    5.000 %  6/15/15    1,300     1,297   0.0 % 
Merrill Lynch & Co. Inc.    6.875 %  4/25/18    34,850     37,604   0.4 % 
Merrill Lynch & Co. Inc.  5.000%–6.500%   1/15/15–7/15/18    34,550     35,269   0.4 % 
Morgan Stanley  5.375%–7.300%   4/28/15–9/23/19    118,675     124,395   1.3 % 
2 Banking—Other †                  505,883   5.2 % 
Brokerage †                  26,538   0.3 % 
Finance Companies                         
General Electric Capital Corp.    5.625 %  5/1/18    27,925     28,552   0.3 % 
3 General Electric Capital Corp. 4.375%–6.375%   9/21/15–11/15/67    48,850     47,546   0.5 % 
Finance Companies—Other †                  41,625   0.4 % 
Insurance †                  236,723   2.5 % 
Other Finance †                  1,625   0.0 % 

54


Intermediate-Term Bond Index Fund                       
 
 
 
            Face     Market   Percentage  
        Maturity    Amount     Value•   of Net  
    Coupon   Date  ($ 000 )  ($ 000 )  Assets  
  Real Estate Investment Trusts                       
  Arden Realty LP  5.250 %  3/1/15    1,250     1,287   0.0 % 
  Real Estate Investment Trusts—Other †             99,328   1.0 % 
                  1,529,076   15.8 % 
Industrial                       
2  Basic Industry †                237,878   2.5 % 
  Capital Goods                       
  General Electric Co.  5.250 %  12/6/17    20,475     20,890   0.2 % 
2  Capital Goods—Other †                200,315   2.1 % 
2  Communication †                376,508   3.9 % 
  Consumer Cyclical †                164,217   1.7 % 
2  Consumer Noncyclical †                533,444   5.5 % 
2  Energy †                270,905   2.8 % 
  Other Industrial †                1,387   0.0 % 
  Technology †                174,297   1.8 % 
  Transportation †                76,364   0.8 % 
                  2,056,205   21.3 % 
Utilities                       
  Electric †                287,552   3.0 % 
2  Natural Gas †                131,655   1.4 % 
  Other Utility †                3,704   0.0 % 
                  422,911   4.4 % 
Total Corporate Bonds (Cost $3,784,644)             4,008,192   41.5 % 
Sovereign Bonds (U.S. Dollar-Denominated)                    
  Italian Republic  5.250 %  9/20/16    25,700     27,377   0.3 % 
2  Sovereign Bonds (U.S. Dollar-Denominated)—Other †             585,622   6.0 % 
Total Sovereign Bonds (Cost $582,711)             612,999   6.3 % 
Taxable Municipal Bonds (Cost $15,949) †             16,100   0.2 % 
 
            Shares            
Temporary Cash Investment                       
Money Market Fund                       
4,5  Vanguard Market                       
  Liquidity Fund (Cost $56,243)  0.187 %      56,242,980     56,243   0.6 % 
^Total Investments (Cost $9,303,192)                9,597,047   99.4 % 
Other Assets and Liabilities                       
Other Assets                266,986   2.8 % 
Liabilities5                (207,797 )  (2.2 %) 
                  59,189   0.6 % 
Net Assets                9,656,236   100.0 % 

55


Intermediate-Term Bond Index Fund       
 
 
At December 31, 2009, net assets consisted of:       
    Amount  
  ($ 000 ) 
Paid-in Capital    9,430,649  
Undistributed Net Investment Income    —  
Accumulated Net Realized Losses    (68,268 ) 
Unrealized Appreciation (Depreciation)    293,855  
Net Assets    9,656,236  
 
Investor Shares—Net Assets       
Applicable to 324,599,385 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    3,478,806  
Net Asset Value Per Share—Investor Shares  $ 10.72  
 
Admiral Shares—Net Assets       
Applicable to 234,049,217 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    2,508,355  
Net Asset Value Per Share—Admiral Shares  $ 10.72  
 
Signal Shares—Net Assets       
Applicable to 178,918,245 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    1,917,503  
Net Asset Value Per Share—Signal Shares  $ 10.72  
 
Institutional Shares—Net Assets       
Applicable to 48,667,867 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    521,586  
Net Asset Value Per Share—Institutional Shares  $ 10.72  
 
ETF Shares—Net Assets       
Applicable to 15,600,000 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    1,229,986  
Net Asset Value Per Share—ETF Shares  $ 78.85  

• See Note A in Notes to Financial Statements.

^ The total value of securities on loan is $2,386,000.

† 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 operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.

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, 2009, the aggregate value of these securities was $72,647,000, representing 0.8% of net assets.

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

5 Includes $2,472,000 of collateral received for securities on loan.

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

56


Intermediate-Term Bond Index Fund       
 
 
Statement of Operations       
 
    Year Ended  
    December 31, 2009  
  ($ 000 ) 
Investment Income       
Income       
Interest1    421,323  
Security Lending    177  
Total Income    421,500  
Expenses       
The Vanguard Group—Note B       
Investment Advisory Services    820  
Management and Administrative—Investor Shares    5,901  
Management and Administrative—Admiral Shares    2,032  
Management and Administrative—Signal Shares    1,356  
Management and Administrative—Institutional Shares    135  
Management and Administrative—ETF Shares    637  
Marketing and Distribution—Investor Shares    909  
Marketing and Distribution—Admiral Shares    516  
Marketing and Distribution—Signal Shares    517  
Marketing and Distribution—Institutional Shares    148  
Marketing and Distribution—ETF Shares    249  
Custodian Fees    94  
Auditing Fees    44  
Shareholders’ Reports and Proxies—Investor Shares    206  
Shareholders’ Reports and Proxies—Admiral Shares    26  
Shareholders’ Reports and Proxies—Signal Shares    9  
Shareholders’ Reports and Proxies—Institutional Shares    —  
Shareholders’ Reports and Proxies—ETF Shares    52  
Trustees’ Fees and Expenses    16  
Total Expenses    13,667  
Net Investment Income    407,833  
Realized Net Gain (Loss) on Investment Securities Sold    35,773  
Change in Unrealized Appreciation (Depreciation) of Investment Securities    136,972  
Net Increase (Decrease) in Net Assets Resulting from Operations    580,578  
1 Interest income from an affiliated company of the fund was $414,000.       
 
 
 
 
See accompanying Notes, which are an integral part of the Financial Statements.       

57


Intermediate-Term Bond Index Fund             
 
 
Statement of Changes in Net Assets             
 
    Year Ended December 31,  
    2009     2008  
  ($ 000 )  ($ 000 ) 
Increase (Decrease) in Net Assets             
Operations             
Net Investment Income    407,833     390,193  
Realized Net Gain (Loss)    35,773     (3,055 ) 
Change in Unrealized Appreciation (Depreciation)    136,972     (1,555 ) 
Net Increase (Decrease) in Net Assets Resulting from Operations    580,578     385,583  
Distributions             
Net Investment Income             
Investor Shares    (150,877 )    (153,431 ) 
Admiral Shares    (111,757 )    (117,970 ) 
Signal Shares    (80,944 )    (78,791 ) 
Institutional Shares    (22,620 )    (21,395 ) 
ETF Shares    (41,635 )    (18,606 ) 
Realized Capital Gain             
Investor Shares    —     —  
Admiral Shares    —     —  
Signal Shares    —     —  
Institutional Shares    —     —  
ETF Shares    —     —  
Total Distributions    (407,833 )    (390,193 ) 
Capital Share Transactions             
Investor Shares    93,898     300,687  
Admiral Shares    6,039     153,622  
Signal Shares    164,663     277,805  
Institutional Shares    5,641     238,476  
ETF Shares    591,961     444,484  
Net Increase (Decrease) from Capital Share Transactions    862,202     1,415,074  
Total Increase (Decrease)    1,034,947     1,410,464  
Net Assets             
Beginning of Period    8,621,289     7,210,825  
End of Period    9,656,236     8,621,289  

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

58


Intermediate-Term Bond Index Fund                               
 
 
Financial Highlights                               
 
 
Investor Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.50   $ 10.50   $ 10.25   $ 10.36   $ 10.68  
Investment Operations                               
Net Investment Income    .474     .498     .507     .499     .492  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .220     —     .250     (.110 )    (.309 ) 
Total from Investment Operations    .694     .498     .757     .389     .183  
Distributions                               
Dividends from Net Investment Income    (.474 )    (.498 )    (.507 )    (.499 )    (.492 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.011 ) 
Total Distributions    (.474 )    (.498 )    (.507 )    (.499 )    (.503 ) 
Net Asset Value, End of Period  $ 10.72   $ 10.50   $ 10.50   $ 10.25   $ 10.36  
 
Total Return1    6.79 %    4.93 %    7.61 %    3.91 %    1.75 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 3,479   $ 3,318   $ 3,020   $ 2,929   $ 3,009  
Ratio of Total Expenses to                               
Average Net Assets    0.22 %    0.19 %    0.18 %    0.18 %    0.18 % 
Ratio of Net Investment Income to                               
Average Net Assets    4.50 %    4.81 %    4.74 %    4.91 %    4.68 % 
Portfolio Turnover Rate2    72 %    89 %    72 %    86 %    76 % 

1      Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.

59


Intermediate-Term Bond Index Fund                               
 
 
Financial Highlights                               
 
 
Admiral Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 10.50   $ 10.50   $ 10.25   $ 10.36   $ 10.68  
Investment Operations                               
Net Investment Income    .485     .506     .515     .506     .499  
Net Realized and Unrealized Gain (Loss)                               
on Investments    .220     —     .250     (.110 )    (.309 ) 
Total from Investment Operations    .705     .506     .765     .396     .190  
Distributions                               
Dividends from Net Investment Income    (.485 )    (.506 )    (.515 )    (.506 )    (.499 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.011 ) 
Total Distributions    (.485 )    (.506 )    (.515 )    (.506 )    (.510 ) 
Net Asset Value, End of Period  $ 10.72   $ 10.50   $ 10.50   $ 10.25   $ 10.36  
 
Total Return    6.89 %    5.01 %    7.70 %    3.98 %    1.82 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 2,508   $ 2,458   $ 2,308   $ 3,118   $ 2,949  
Ratio of Total Expenses to                               
Average Net Assets    0.12 %    0.11 %    0.10 %    0.11 %    0.11 % 
Ratio of Net Investment Income to                               
Average Net Assets    4.60 %    4.89 %    4.82 %    4.98 %    4.75 % 
Portfolio Turnover Rate1    72 %    89 %    72 %    86 %    76 % 

1      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


Intermediate-Term Bond Index Fund                   
 
 
Financial Highlights                   
 
 
Signal Shares                   
                June 4,  
    Year Ended     20071 to 
    December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007  
Net Asset Value, Beginning of Period  $ 10.50   $ 10.50   $ 10.12  
Investment Operations                   
Net Investment Income    .485     .506     .297  
Net Realized and Unrealized Gain (Loss) on Investments    .220     —     .380  
Total from Investment Operations    .705     .506     .677  
Distributions                   
Dividends from Net Investment Income    (.485 )    (.506 )    (.297 ) 
Distributions from Realized Capital Gains    —     —     —  
Total Distributions    (.485 )    (.506 )    (.297 ) 
Net Asset Value, End of Period  $ 10.72   $ 10.50   $ 10.50  
 
Total Return    6.89 %    5.01 %    6.77 % 
 
Ratios/Supplemental Data                   
Net Assets, End of Period (Millions)  $ 1,918   $ 1,720   $ 1,443  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.11 %    0.10 %2 
Ratio of Net Investment Income to Average Net Assets    4.60 %    4.89 %    4.82 %2 
Portfolio Turnover Rate3    72 %    89 %    72 % 

1      Inception.
2      Annualized.
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


Intermediate-Term Bond Index Fund                         
 
 
Financial Highlights                         
 
 
Institutional Shares                         
                      Jan. 26,  
                      20061 to  
    Year Ended December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007     2006  
Net Asset Value, Beginning of Period  $ 10.50   $ 10.50   $ 10.25   $ 10.29  
Investment Operations                         
Net Investment Income    .490     .510     .518     .473  
Net Realized and Unrealized Gain (Loss) on Investments    .220     —     .250     (.040 ) 
Total from Investment Operations    .710     .510     .768     .433  
Distributions                         
Dividends from Net Investment Income    (.490 )    (.510 )    (.518 )    (.473 ) 
Distributions from Realized Capital Gains    —     —     —     —  
Total Distributions    (.490 )    (.510 )    (.518 )    (.473 ) 
Net Asset Value, End of Period  $ 10.72   $ 10.50   $ 10.50   $ 10.25  
 
Total Return    6.95 %    5.05 %    7.73 %    4.36 % 
 
Ratios/Supplemental Data                         
Net Assets, End of Period (Millions)  $ 522   $ 508   $ 271   $ 181  
Ratio of Total Expenses to Average Net Assets    0.07 %    0.07 %    0.07 %    0.08 %2 
Ratio of Net Investment Income to Average Net Assets    4.65 %    4.93 %    4.85 %    5.01 %2 
Portfolio Turnover Rate3    72 %    89 %    72 %    86 % 

1      Inception.
2      Annualized.
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.

62


Intermediate-Term Bond Index Fund                   
 
 
Financial Highlights                   
 
 
ETF Shares                   
                April 3,  
    Year Ended     20071 to  
    December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007  
Net Asset Value, Beginning of Period  $ 77.19   $ 76.96   $ 74.90  
Investment Operations                   
Net Investment Income    3.474     3.537     2.389  
Net Realized and Unrealized Gain (Loss) on Investments    1.660     .230     2.060  
Total from Investment Operations    5.134     3.767     4.449  
Distributions                   
Dividends from Net Investment Income    (3.474 )    (3.537 )    (2.389 ) 
Distributions from Realized Capital Gains    —     —     —  
Total Distributions    (3.474 )    (3.537 )    (2.389 ) 
Net Asset Value, End of Period  $ 78.85   $ 77.19   $ 76.96  
 
Total Return    6.82 %    5.07 %    6.06 % 
 
Ratios/Supplemental Data                   
Net Assets, End of Period (Millions)  $ 1,230   $ 617   $ 169  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.10 %    0.11 %2 
Ratio of Net Investment Income to Average Net Assets    4.60 %    4.90 %    4.81 %2 
Portfolio Turnover Rate3    72 %    89 %    72 % 

1      Inception.
2      Annualized.
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.

63


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, Admiral Shares, Signal Shares, Institutional Shares, and ETF Shares. Investor Shares are
available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are
designed for investors who meet certain administrative, service, tenure, and account-size criteria.
Signal Shares are designed for institutional investors who meet certain administrative, service, and
account-size criteria. Institutional Shares are designed for investors who meet certain administrative
and service criteria and invest a minimum of $25 million. ETF Shares are listed for trading on the NYSE
Arca, Inc.; they can be purchased and sold through a broker.

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

1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, 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.
Other temporary cash investments are valued at amortized cost, which approximates market 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, 2006–2009), 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.

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn
additional income. Security loans are required to be secured at all times by collateral at least equal to
the market value of securities loaned. The fund invests cash collateral received in Vanguard Market
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are
on loan. Security lending income represents the income earned on investing cash collateral, less
expenses associated with the loan.

64


Intermediate-Term Bond Index Fund

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

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

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2009, the fund had contributed capital of $1,989,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.80% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers 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).

The following table summarizes the fund’s investments as of December 31, 2009, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments  ($ 000 )  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations    —     4,900,626     —  
Asset-Backed/Commercial Mortgage-Backed Securities    —     2,887     —  
Corporate Bonds    —     4,008,192     —  
Sovereign Bonds    —     612,999     —  
Taxable Municipal Bonds    —     16,100     —  
Temporary Cash Investments    56,243     —     —  
Total    56,243     9,540,804     —  

65


Intermediate-Term Bond Index Fund

D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.

During the year ended December 31, 2009, the fund realized $3,608,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2009, the fund had available realized losses of $66,039,000 to offset future net capital gains of $52,216,000 through December 31, 2014, and $13,823,000 through December 31, 2015.

At December 31, 2009, the cost of investment securities for tax purposes was $9,305,285,000. Net unrealized appreciation of investment securities for tax purposes was $291,762,000, consisting of unrealized gains of $391,855,000 on securities that had risen in value since their purchase and $100,093,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2009, the fund purchased $1,664,523,000 of investment securities and sold $1,426,462,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $5,663,764,000 and $4,896,005,000, respectively.

66


Intermediate-Term Bond Index Fund

F. Capital share transactions for each class of shares were:                
              Year Ended December 31,  
        2009         2008  
    Amount   Shares     Amount   Shares  
  ($ 000 )  (000 )  ($ 000 )  (000 ) 
Investor Shares                     
Issued    1,225,673   116,217     1,230,796   118,492  
Issued in Lieu of Cash Distributions    133,436   12,655     136,232   13,198  
Redeemed    (1,265,211 )  (120,211 )    (1,066,341 )  (103,456 ) 
Net Increase (Decrease)—Investor Shares    93,898   8,661     300,687   28,234  
Admiral Shares                     
Issued    671,113   63,370     668,252   64,244  
Issued in Lieu of Cash Distributions    93,288   8,851     101,648   9,843  
Redeemed    (758,362 )  (72,161 )    (616,278 )  (60,024 ) 
Net Increase (Decrease)—Admiral Shares    6,039   60     153,622   14,063  
Signal Shares                     
Issued    752,037   71,224     753,648   72,597  
Issued in Lieu of Cash Distributions    58,442   5,540     56,772   5,502  
Redeemed    (645,816 )  (61,600 )    (532,615 )  (51,782 ) 
Net Increase (Decrease)—Signal Shares    164,663   15,164     277,805   26,317  
Institutional Shares                     
Issued    166,484   15,686     326,022   31,113  
Issued in Lieu of Cash Distributions    18,218   1,729     18,455   1,795  
Redeemed    (179,061 )  (17,140 )    (106,001 )  (10,288 ) 
Net Increase (Decrease)—Institutional Shares    5,641   275     238,476   22,620  
ETF Shares                     
Issued    637,998   8,200     451,599   5,900  
Issued in Lieu of Cash Distributions    —   —     —   —  
Redeemed    (46,037 )  (600 )    (7,115 )  (100 ) 
Net Increase (Decrease)—ETF Shares    591,961   7,600     444,484   5,800  

G. In preparing the financial statements as of December 31, 2009, management considered the impact of subsequent events occurring through February 12, 2010, for potential recognition or disclosure in these financial statements.

67


Long-Term Bond Index Fund

Fund Profile
As of December 31, 2009

Financial Attributes             
        Target   Broad  
    Fund   Index1   Index2  
Number of Issues    891   1,241   8,413  
Yield3        5.5 %  3.7 % 
Investor Shares    5.2 %         
Institutional Shares  5.4 %         
ETF Shares    5.3 %         
Yield to Maturity    5.4 %4  5.5 %  3.7 % 
Average Coupon    6.2 %  6.2 %  4.7 % 
Average Effective               
Maturity  22.2 years   22.6 years   6.8 years  
Average Quality5    Aa3/A1  Aa3 /A1  Aa1/Aa2 
Average Duration  12.1 years   12.1 years   4.6 years  
Expense Ratio6        —   —  
Investor Shares    0.22 %         
Institutional Shares  0.09 %         
ETF Shares    0.14 %         
Short-Term Reserves  0.4 %  —   —  
 
 
Sector Diversification7 (% of portfolio)      
 
Asset-Backed/Commercial Mortgage-Backed   0.1 % 
Finance            10.2  
Foreign            9.2  
Industrial            28.7  
Treasury/Agency            43.4  
Utilities            8.0  
Other            0.4  

Volatility Measures8   
  Fund Versus  Fund Versus 
  Target Index1  Broad Index2 
R-Squared  1.00  0.88 
Beta  1.01  2.68 

Distribution by Maturity (% of portfolio)

Under 1 Year  0.4 % 
1–5 Years  0.2  
5–10 Years  2.3  
10–20 Years  34.4  
20–30 Years  61.0  
Over 30 Years  1.7  

Distribution by Credit Quality5 (% of portfolio)

Aaa  44.9 % 
Aa  8.3  
A  22.9  
Baa  23.9  

Investment Focus


1 Barclays Capital U.S. Long Government/Credit Bond Index.

2 Barclays Capital U.S. Aggregate Bond Index.

3 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible dates. See the Glossary.

4 Before expenses.

5 Moody’s Investors Service.

6 The expense ratios shown are from the prospectuses dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the expense ratios for the Long-Term Bond Index Fund were 0.22% for Investor Shares, 0.07% for Institutional Shares, and 0.12% for ETF Shares.

7 The agency sector may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.

8 For an explanation of R-squared, beta, and other terms used here, see the Glossary.

68


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 www.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.


      Average Annual Total Returns     Final Value 
  Periods Ended December 31, 2009   of a $10,000 
  One Year   Five Years   Ten Years     Investment 
Long-Term Bond Index Fund Investor Shares1  1.76 %  4.97 %  7.71 %  $ 21,024 
Barclays Capital U.S. Aggregate Bond Index  5.93   4.97   6.33     18,475 
Barclays Capital U.S. Long                 
Government/Credit Bond Index  1.92   4.97   7.68     20,960 
Corporate A-Rated Debt Funds Average2  14.69   3.57   5.29     16,739 

            Final Value of 
      Since   a $25,000,000 
  One Year   Inception3     Investment 
Long-Term Bond Index Fund Institutional Shares  1.91 %  5.40 %  $ 30,712,364 
Barclays Capital U.S. Aggregate Bond Index  5.93   5.79     31,148,853 
Barclays Capital U.S. Long             
Government/Credit Bond Index  1.92   5.27     30,560,906 

1 Total return figures do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.

2 Derived from data provided by Lipper Inc.; based on average returns for General Government Funds through December 31,2001, and the average returns for Corporate A-Rated Debt Funds thereafter.

3 Performance for the fund’s Institutional Shares and its comparative standards is calculated since the Institutional Shares’ inception on February 2, 2006.

See Financial Highlights for dividend and capital gains information.

69


  Long-Term Bond Index Fund                   
 
 
 
 
                  Final Value  
            Since   of a $10,000  
        One Year   Inception2     Investment  
Long-Term Bond Index Fund ETF Shares Net Asset Value1      1.79 %  5.90 %  $ 11,704  
  Barclays Capital U.S. Aggregate Bond Index      5.93   6.05     11,750  
  Barclays Capital U.S. Long Government/Credit Bond Index      1.92   5.78     11,667  
 
 
  Cumulative Returns: ETF Shares, April 3, 2007—December 31, 2009            
                  Since  
        One Year         Inception2  
  Long-Term Bond Market Index Fund ETF Shares Market Price   0.39 %        17.19 % 
  Long-Term Bond Market Index Fund ETF Shares Net Asset Value   1.79         17.04  
  Barclays Capital U.S. Long Government/Credit Bond Index      1.92         16.67  
 
 
  Fiscal-Year Total Returns (%): December 31, 1999—December 31, 2009            
 
            Investor Shares     Barclays3  
  Fiscal  Capital   Income   Total     Total  
  Year  Return   Return   Return     Return  
  2000  9.1 %  7.5 %  16.6 %    16.2 % 
  2001  1.6   6.6   8.2     7.3  
  2002  7.8   6.6   14.4     14.8  
  2003  0.0   5.5   5.5     5.9  
  2004  2.8   5.6   8.4     8.6  
  2005  0.2   5.1   5.3     5.3  
  2006  –2.6   5.3   2.7     2.7  
  2007  1.0   5.6   6.6     6.6  
  2008  2.8   5.8   8.6     8.4  
  2009  –3.5   5.3   1.8     1.9  

1 For more information about how the ETF Shares’ market prices have compared with their net asset value, visit www.vanguard.com, select your ETF, and then select the Performance tab. The Premium/Discount table there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

2 Performance for the fund’s ETF Shares and its comparative standards is calculated since the ETF Shares’ inception on April 3, 2007.

3 Barclays Capital U.S. Long Government/Credit Bond Index.

70


Long-Term Bond Index Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of December 31, 2009

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 reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on Vanguard.com and on the Securities and Exchange Commission’s website (www.sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

              Face     Market   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  8.000 %  11/15/21    90,495     123,271   4.3 % 
  United States Treasury Note/Bond  6.250 %  8/15/23    81,805     97,744   3.4 % 
  United States Treasury Note/Bond  4.250 %  5/15/39    101,853     95,614   3.3 % 
  United States Treasury Note/Bond  4.500 %  8/15/39    87,821     85,914   3.0 % 
  United States Treasury Note/Bond  7.125 %  2/15/23    60,935     78,187   2.7 % 
  United States Treasury Note/Bond  4.500 %  5/15/38    69,685     68,302   2.4 % 
  United States Treasury Note/Bond  5.000 %  5/15/37    52,325     55,612   1.9 % 
  United States Treasury Note/Bond  3.500 %  2/15/39    65,783     53,942   1.9 % 
  United States Treasury Note/Bond  4.375 %  2/15/38    55,848     53,657   1.9 % 
  United States Treasury Note/Bond  5.375 %  2/15/31    47,370     52,374   1.8 % 
  United States Treasury Note/Bond  7.625 %  11/15/22    37,240     49,686   1.7 % 
  United States Treasury Note/Bond  6.375 %  8/15/27    39,085     47,739   1.7 % 
  United States Treasury Note/Bond  6.125 %  8/15/29    37,805     45,407   1.6 % 
  United States Treasury Note/Bond  6.625 %  2/15/27    31,355     39,169   1.4 % 
  United States Treasury Note/Bond  7.500 %  11/15/24    25,350     33,906   1.2 % 
  United States Treasury Note/Bond  3.375 %  11/15/19    23,236     22,361   0.8 % 
  United States Treasury Note/Bond  8.125 %  8/15/21    15,885     21,795   0.8 % 
  United States Treasury Note/Bond  5.500 %  8/15/28    12,755     14,220   0.5 % 
  United States Treasury Note/Bond  6.125 %  11/15/27    10,450     12,452   0.4 % 
  United States Treasury Note/Bond  8.750 %  8/15/20    7,205     10,195   0.3 % 
  United States Treasury                         
  Note/Bond  1.125%–8.500%   2/15/10–11/15/39    23,985     26,172   0.9 % 
                    1,087,719   37.9 % 
Agency Bonds and Notes                         
1  Federal Home Loan Mortgage Corp.  6.750 %  3/15/31    12,125     14,850   0.5 % 
1  Federal Home Loan Mortgage Corp.  6.750 %  9/15/29    7,700     9,250   0.3 % 
1  Federal Home Loan Mortgage Corp.  6.250 %  7/15/32    4,525     5,267   0.2 % 
1  Federal National Mortgage Assn.  7.125 %  1/15/30    12,075     15,271   0.5 % 
1  Federal National Mortgage Assn.  6.250 %  5/15/29    8,300     9,560   0.3 % 
1  Federal National Mortgage Assn.  7.250 %  5/15/30    6,635     8,503   0.3 % 

71


Long-Term Bond Index Fund                       
 
 
 
            Face     Market   Percentage  
        Maturity    Amount     Value•   of Net  
    Coupon   Date  ($ 000 )  ($ 000 )  Assets  
1 Federal National Mortgage Assn.  5.625 %  7/15/37    7,325     7,717   0.3 % 
1 Federal National                         
Mortgage Assn.  6.210%–6.625 % 11/15/30–8/6/38    4,300     5,097   0.2 % 
Agency Bonds and Notes—Other †                43,564   1.5 % 
                  119,079   4.1 % 
Total U.S. Government and Agency Obligations (Cost $1,221,654)          1,206,798   42.0 % 
Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,500) †          2,905   0.1 % 
Corporate Bonds                         
Finance                         
Banking                         
Goldman Sachs Group Inc.  6.750 %  10/1/37    11,025     11,255   0.4 % 
2 Banking—Other †                  162,738   5.7 % 
Brokerage †                  2,371   0.1 % 
Finance Companies                         
General Electric Capital Corp.  6.750 %  3/15/32    19,675     20,048   0.7 % 
General Electric Capital Corp.  5.875 %  1/14/38    9,925     9,207   0.3 % 
General Electric Capital Corp. 6.150%–6.875 % 8/7/37–1/10/39    11,125     11,006   0.3 % 
Finance Companies—Other †                1,483   0.1 % 
Insurance †                  72,918   2.5 % 
                  291,026   10.1 % 
Industrial                         
Basic Industry †                  54,221   1.9 % 
2 Capital Goods †                  57,832   2.0 % 
Communication                         
Alltel Corp.    7.875 %  7/1/32    3,025     3,641   0.1 % 
Ameritech Capital Funding Corp.  6.550 %  1/15/28    1,000     971   0.0 % 
AT&T Corp.    8.000 %  11/15/31    4,350     5,319   0.2 % 
AT&T Inc.    6.450 %  6/15/34    7,750     7,957   0.3 % 
AT&T Inc.    6.550 %  2/15/39    6,600     6,969   0.2 % 
AT&T Inc.  6.300%–6.500%   9/1/37–5/15/38    10,225     10,483   0.4 % 
AT&T Mobility LLC    7.125 %  12/15/31    2,425     2,728   0.1 % 
Bellsouth Capital Funding Corp.  7.875 %  2/15/30    4,250     4,830   0.2 % 
BellSouth Corp.  6.000%–6.875 %  10/15/31–11/15/34     4,230     4,230   0.2 % 
BellSouth Telecommunications Inc.  6.375 %  6/1/28    4,140     4,113   0.1 % 
Comcast Corp.    6.500 %  11/15/35    7,025     7,262   0.3 % 
Deutsche Telekom                         
International Finance BV  8.750 %  6/15/30    8,825     11,442   0.4 % 
France Telecom SA    8.500 %  3/1/31    5,550     7,374   0.3 % 
GTE Corp.  6.940%–8.750 % 11/1/21–4/15/28    3,175     3,477   0.1 % 
New Cingular Wireless Services Inc.  8.750 %  3/1/31    4,875     6,304   0.2 % 
Pacific Bell Telephone Co.  7.125 %  3/15/26    550     605   0.0 % 
Verizon Communications Inc. 5.850%–8.950  % 9/15/35–4/1/39    15,950     17,433   0.6 % 
Verizon Global Funding Corp.  7.750 %  12/1/30    6,825     8,068   0.3 % 
Verizon Maryland Inc.    5.125 %  6/15/33    500     390   0.0 % 
Verizon New England Inc.  7.875 %  11/15/29    400     436   0.0 % 
Verizon New York Inc.    7.375 %  4/1/32    650     686   0.0 % 
2 Communication—Other †                108,781   3.8 % 
Consumer Cyclical                         
Historic TW Inc.    6.625 %  5/15/29    6,975     7,318   0.2 % 
Consumer Cyclical—Other †                85,378   3.0 % 
Consumer Noncyclical                         
AstraZeneca PLC    6.450 %  9/15/37    6,750     7,567   0.2 % 
Pfizer Inc.    7.200 %  3/15/39    6,275     7,725   0.3 % 
2 Consumer Noncyclical—Other †                163,129   5.7 % 

72


Long-Term Bond Index Fund                       
 
 
 
            Face     Market   Percentage  
        Maturity    Amount     Value•   of Net  
    Coupon   Date  ($ 000 )  ($ 000 )  Assets  
Energy                         
Tosco Corp.    8.125 %  2/15/30    7,500     9,111   0.3 % 
2 Energy—Other †                  125,536   4.4 % 
Technology †                  38,419   1.4 % 
Transportation †                  40,549   1.4 % 
                  820,284   28.6 % 
Utilities                         
Electric                         
Midamerican Energy Holdings Co.  6.125 %  4/1/36    7,475     7,612   0.3 % 
Pacific Gas & Electric Co.  6.050 %  3/1/34    7,875     8,249   0.3 % 
2 Electric—Other †                  153,678   5.3 % 
Natural Gas †                  56,888   2.0 % 
Other Utility †                  1,904   0.1 % 
                  228,331   8.0 % 
Total Corporate Bonds (Cost $1,305,019)             1,339,641   46.7 % 
Sovereign Bonds (U.S. Dollar-Denominated)                    
Brazilian Government                         
International Bond    11.000 %  8/17/40    9,900     13,192   0.5 % 
Brazilian Government                         
International Bond    8.750 %  2/4/25    8,500     10,965   0.4 % 
Brazilian Government                         
International Bond    10.125 %  5/15/27    6,700     9,832   0.3 % 
Brazilian Government                         
International Bond    7.125 %  1/20/37    6,850     7,842   0.3 % 
Brazilian Government                         
International Bond    8.250 %  1/20/34    5,675     7,221   0.2 % 
Brazilian Government                         
International Bond  5.625%–8.875 % 4/15/24–1/7/41    5,150     5,901   0.2 % 
Italian Republic    6.875 %  9/27/23    6,600     7,451   0.3 % 
Mexico Government                         
International Bond    6.750 %  9/27/34    12,500     13,247   0.5 % 
Mexico Government                         
International Bond    8.125 %  12/30/19    5,750     7,026   0.2 % 
Mexico Government                         
International Bond    8.300 %  8/15/31    1,325     1,639   0.1 % 
Pemex Project Funding Master Trust  6.625 %  6/15/35–6/15/38    5,275     4,979   0.2 % 
Petrobras International                         
Finance Co.  5.750%–6.875 % 1/20/20–1/20/40    8,425     8,540   0.3 % 
United Mexican States    6.050 %  1/11/40    4,400     4,230   0.1 % 
Sovereign Bonds (U.S. Dollar-Denominated)—Other †          63,455   2.2 % 
Total Sovereign Bonds (Cost $165,505)                165,520   5.8 % 
Taxable Municipal Bonds                         
Illinois GO    5.100 %  6/1/33    18,125     15,150   0.5 % 
Taxable Municipal Bonds—Other †                94,119   3.3 % 
Total Taxable Municipal Bonds (Cost $113,728)             109,269   3.8 % 

73


Long-Term Bond Index Fund                   
 
 
          Market     Percentage  
          Value•     of Net  
  Coupon   Shares  ($ 000 )    Assets  
Temporary Cash Investment                   
Money Market Fund                   
3 Vanguard Market                   
Liquidity Fund (Cost $32,005)  0.187 %  32,005,393    32,005     1.1 % 
Total Investments (Cost $2,840,411)          2,856,138     99.5 % 
Other Assets and Liabilities                   
Other Assets          51,525     1.8 % 
Liabilities          (37,885 )    (1.3 %) 
          13,640     0.5 % 
Net Assets          2,869,778     100.0 % 
 
At December 31, 2009, net assets consisted of:                
                Amount  
              ($ 000 ) 
Paid-in Capital                2,860,566  
Undistributed Net Investment Income             —  
Accumulated Net Realized Losses                (6,515 ) 
Unrealized Appreciation (Depreciation)             15,727  
Net Assets                2,869,778  
 
Investor Shares—Net Assets                   
Applicable to 177,314,400 outstanding $.001 par value shares of                
beneficial interest (unlimited authorization)             2,049,139  
Net Asset Value Per Share—Investor Shares           $ 11.56  
 
Institutional Shares—Net Assets                   
Applicable to 44,080,814 outstanding $.001 par value shares of                
beneficial interest (unlimited authorization)             509,421  
Net Asset Value Per Share—Institutional Shares           $ 11.56  
 
ETF Shares—Net Assets                   
Applicable to 4,100,000 outstanding $.001 par value shares of                
beneficial interest (unlimited authorization)             311,218  
Net Asset Value Per Share—ETF Shares           $ 75.91  

• 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 operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.

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, 2009, the aggregate value of these securities was $18,926,000, representing 0.7% 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.

GO—General Obligation Bond.

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

74


Long-Term Bond Index Fund       
 
 
Statement of Operations       
 
    Year Ended  
    December 31, 2009  
  ($ 000 ) 
Investment Income       
Income       
Interest1    154,697  
Security Lending    4  
Total Income    154,701  
Expenses       
The Vanguard Group—Note B       
Investment Advisory Services    257  
Management and Administrative—Investor Shares    3,814  
Management and Administrative—Institutional Shares    128  
Management and Administrative—ETF Shares    128  
Marketing and Distribution—Investor Shares    566  
Marketing and Distribution—Institutional Shares    113  
Marketing and Distribution—ETF Shares    47  
Custodian Fees    65  
Auditing Fees    20  
Shareholders' Reports and Proxies—Investor Shares    146  
Shareholders' Reports and Proxies—Institutional Shares    —  
Shareholders' Reports and Proxies—ETF Shares    14  
Trustees' Fees and Expenses    5  
Total Expenses    5,303  
Net Investment Income    149,398  
Realized Net Gain (Loss) on Investment Securities Sold    10,368  
Change in Unrealized Appreciation (Depreciation) of Investment Securities    (134,448 ) 
Net Increase (Decrease) in Net Assets Resulting from Operations    25,318  
1 Interest income from an affiliated company of the fund was $123,000.       
 
 
 
 
See accompanying Notes, which are an integral part of the Financial Statements.       

75


Long-Term Bond Index Fund             
 
 
Statement of Changes in Net Assets             
 
    Year Ended December 31,  
    2009     2008  
  ($ 000 )  ($ 000 ) 
Increase (Decrease) in Net Assets             
Operations             
Net Investment Income    149,398     154,878  
Realized Net Gain (Loss)    10,368     911  
Change in Unrealized Appreciation (Depreciation)    (134,448 )    80,786  
Net Increase (Decrease) in Net Assets Resulting from Operations    25,318     236,575  
Distributions             
Net Investment Income             
Investor Shares    (116,480 )    (126,834 ) 
Institutional Shares    (23,007 )    (22,249 ) 
ETF Shares    (9,911 )    (5,795 ) 
Realized Capital Gain             
Investor Shares    —     —  
Institutional Shares    —     —  
ETF Shares    —     —  
Total Distributions    (149,398 )    (154,878 ) 
Capital Share Transactions             
Investor Shares    (368,882 )    171,319  
Institutional Shares    133,570     (32,056 ) 
ETF Shares    173,643     58,839  
Net Increase (Decrease) from Capital Share Transactions    (61,669 )    198,102  
Total Increase (Decrease)    (185,749 )    279,799  
Net Assets             
Beginning of Period    3,055,527     2,775,728  
End of Period    2,869,778     3,055,527  

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

76


Long-Term Bond Index Fund                               
 
 
Financial Highlights                               
 
 
Investor Shares                               
 
For a Share Outstanding                Year Ended December 31,  
Throughout Each Period    2009     2008     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 11.98   $ 11.65   $ 11.53   $ 11.84   $ 11.82  
Investment Operations                               
Net Investment Income    .608     .618     .613     .603     .601  
Net Realized and Unrealized Gain (Loss)                               
on Investments    (.420 )    .330     .120     (.310 )    .020  
Total from Investment Operations    .188     .948     .733     .293     .621  
Distributions                               
Dividends from Net Investment Income    (.608 )    (.618 )    (.613 )    (.603 )    (.601 ) 
Distributions from Realized Capital Gains    —     —     —     —     —  
Total Distributions    (.608 )    (.618 )    (.613 )    (.603 )    (.601 ) 
Net Asset Value, End of Period  $ 11.56   $ 11.98   $ 11.65   $ 11.53   $ 11.84  
 
Total Return1    1.76 %    8.64 %    6.59 %    2.67 %    5.32 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 2,049   $ 2,518   $ 2,277   $ 1,898   $ 1,893  
Ratio of Total Expenses                               
to Average Net Assets    0.22 %    0.19 %    0.18 %    0.18 %    0.18 % 
Ratio of Net Investment Income to                               
Average Net Assets    5.33 %    5.49 %    5.34 %    5.30 %    5.03 % 
Portfolio Turnover Rate2    69 %    67 %    62 %    55 %    52 % 

1      Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.

77


Long-Term Bond Index Fund                         
 
 
Financial Highlights                         
 
 
Institutional Shares                         
                      Feb. 2,  
                      20061 to  
    Year Ended December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007     2006  
Net Asset Value, Beginning of Period  $ 11.98   $ 11.65   $ 11.53   $ 11.66  
Investment Operations                         
Net Investment Income    .625     .632     .626     .559  
Net Realized and Unrealized Gain (Loss) on Investments    (.420 )    .330     .120     (.130 ) 
Total from Investment Operations    .205     .962     .746     .429  
Distributions                         
Dividends from Net Investment Income    (.625 )    (.632 )    (.626 )    (.559 ) 
Distributions from Realized Capital Gains    —     —     —     —  
Total Distributions    (.625 )    (.632 )    (.626 )    (.559 ) 
Net Asset Value, End of Period  $ 11.56   $ 11.98   $ 11.65   $ 11.53  
 
Total Return    1.91 %    8.77 %    6.71 %    3.86 % 
 
Ratios/Supplemental Data                         
Net Assets, End of Period (Millions)  $ 509   $ 388   $ 415   $ 309  
Ratio of Total Expenses to Average Net Assets    0.07 %    0.07 %    0.07 %    0.08 %2 
Ratio of Net Investment Income to Average Net Assets    5.48 %    5.61 %    5.45 %    5.40 %2 
Portfolio Turnover Rate3    69 %    67 %    62 %    55 % 

1      Inception.
2      Annualized.
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.

78


Long-Term Bond Index Fund                   
 
 
Financial Highlights                   
 
 
ETF Shares                   
                April 3,  
    Year Ended     20071 to  
    December 31,     Dec. 31,  
For a Share Outstanding Throughout Each Period    2009     2008     2007  
Net Asset Value, Beginning of Period  $ 78.66   $ 76.38   $ 74.90  
Investment Operations                   
Net Investment Income    4.005     4.004     2.740  
Net Realized and Unrealized Gain (Loss) on Investments    (2.750 )    2.280     1.480  
Total from Investment Operations    1.255     6.284     4.220  
Distributions                   
Dividends from Net Investment Income    (4.005 )    (4.004 )    (2.740 ) 
Distributions from Realized Capital Gains    —     —     —  
Total Distributions    (4.005 )    (4.004 )    (2.740 ) 
Net Asset Value, End of Period  $ 75.91   $ 78.66   $ 76.38  
 
Total Return    1.79 %    8.70 %    5.77 % 
 
Ratios/Supplemental Data                   
Net Assets, End of Period (Millions)  $ 311   $ 149   $ 84  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.10 %    0.11 %2 
Ratio of Net Investment Income to Average Net Assets    5.43 %    5.58 %    5.41 %2 
Portfolio Turnover Rate3    69 %    67 %    62 % 

1      Inception.
2      Annualized.
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.

79


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 three classes of shares: Investor Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $25 million. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.

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

1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Other temporary cash investments are valued at amortized cost, which approximates market 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, 2006–2009), 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.

4. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents the income earned on investing cash collateral, less expenses associated with the loan.

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

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and proxies. 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.

80


Long-Term Bond Index Fund

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2009, the fund had contributed capital of $594,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.24% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers 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).

The following table summarizes the fund’s investments as of December 31, 2009, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments  ($ 000 )  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations    —     1,206,798     —  
Asset-Backed/Commercial Mortgage-Backed Securities    —     2,905     —  
Corporate Bonds    —     1,339,641     —  
Sovereign Bonds    —     165,520     —  
Taxable Municipal Bonds    —     109,269     —  
Temporary Cash Investments    32,005     —     —  
Total    32,005     2,824,133     —  

D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.

During the year ended December 31, 2009, the fund realized $3,913,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

For tax purposes, at December 31, 2009, the fund had available capital loss carryforwards totaling $5,703,000 to offset future net capital gains through December 31, 2014.

81


Long-Term Bond Index Fund

At December 31, 2009, the cost of investment securities for tax purposes was $2,841,223,000. Net unrealized appreciation of investment securities for tax purposes was $14,915,000, consisting of unrealized gains of $93,157,000 on securities that had risen in value since their purchase and $78,242,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the year ended December 31, 2009, the fund purchased $588,540,000 of investment securities and sold $505,713,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,476,290,000 and $1,581,974,000, respectively.

F. Capital share transactions for each class of shares were:                
              Year Ended December 31,  
        2009         2008  
    Amount   Shares     Amount   Shares  
  ($ 000 )  (000 )  ($ 000 )  (000 ) 
Investor Shares                     
Issued    472,981   41,195     695,857   61,565  
Issued in Lieu of Cash Distributions    99,551   8,728     111,322   9,918  
Redeemed    (941,414 )  (82,720 )    (635,860 )  (56,733 ) 
Net Increase (Decrease)—Investor Shares    (368,882 )  (32,797 )    171,319   14,750  
Institutional Shares                     
Issued    178,284   15,672     159,587   13,869  
Issued in Lieu of Cash Distributions    18,631   1,625     20,843   1,854  
Redeemed    (63,345 )  (5,589 )    (212,486 )  (18,950 ) 
Net Increase (Decrease)—Institutional Shares    133,570   11,708     (32,056 )  (3,227 ) 
ETF Shares                     
Issued    203,678   2,600     58,839   800  
Issued in Lieu of Cash Distributions    —   —     —   —  
Redeemed    (30,035 )  (400 )    —   —  
Net Increase (Decrease)—ETF Shares    173,643   2,200     58,839   800  

G. In preparing the financial statements as of December 31, 2009, management considered the impact of subsequent events occurring through February 12, 2010, for potential recognition or disclosure in these financial statements.

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Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statements of net assets–investments summary, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Bond Market Index Fund, Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (constituting separate portfolios of Vanguard Bond Index Funds, hereafter referred to as the “Funds”) at December 31, 2009, 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 for the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation.

We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 12, 2010

83


 

Special 2009 tax information (unaudited) for Vanguard Total Bond Market Index Fund

This information for the fiscal year ended December 31, 2009, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 92.0% of income dividends are interest-related dividends.

Special 2009 tax information (unaudited) for Vanguard Short-Term Bond Index Fund

This information for the fiscal year ended December 31, 2009, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $2,046,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year.

For nonresident alien shareholders, 85.6% of income dividends are interest-related dividends.

Special 2009 tax information (unaudited) for Vanguard Intermediate-Term Bond Index Fund

This information for the fiscal year ended December 31, 2009, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 86.1% of income dividends are interest-related dividends.

Special 2009 tax information (unaudited) for Vanguard Long-Term Bond Index Fund

This information for the fiscal year ended December 31, 2009, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 81.7% of income dividends are interest-related dividends.

 

84


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 tables illustrate your fund’s costs in two ways:

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

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

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

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”

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

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

85


Six Months Ended December 31, 2009             
    Beginning    Ending    Expenses 
    Account Value    Account Value    Paid During 
Index Fund    6/30/2009    12/31/2009    Period1 
Based on Actual Fund Return             
Total Bond Market             
Investor Shares  $ 1,000.00  $ 1,037.48  $ 1.13 
Admiral Shares    1,000.00    1,038.11    0.51 
Signal Shares    1,000.00    1,038.13    0.46 
Institutional Shares    1,000.00    1,038.33    0.26 
ETF Shares    1,000.00    1,038.65    0.51 
Short-Term Bond             
Investor Shares  $ 1,000.00  $ 1,022.93  $ 1.12 
Admiral Shares    1,000.00    1,023.57    0.46 
Signal Shares    1,000.00    1,023.55    0.51 
ETF Shares    1,000.00    1,023.67    0.51 
Intermediate-Term Bond             
Investor Shares  $ 1,000.00  $ 1,053.53  $ 1.14 
Admiral Shares    1,000.00    1,054.20    0.47 
Signal Shares    1,000.00    1,054.18    0.52 
Institutional Shares    1,000.00    1,054.42    0.26 
ETF Shares    1,000.00    1,053.64    0.52 
Long-Term Bond             
Investor Shares  $ 1,000.00  $ 1,054.33  $ 1.14 
Institutional Shares    1,000.00    1,055.20    0.26 
ETF Shares    1,000.00    1,054.66    0.52 

1 These 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 Total Bond Market Index Fund, 0.22% for Investor Shares, 0.10% for Admiral Shares, 0.09% for Signal Shares, 0.05% for Institutional Shares, 0.10% for ETF Shares; for the Short-Term Bond Index Fund, 0.22% for Investor Shares, 0.09% for Admiral Shares, 0.10% for Signal Shares, 0.10% for ETF Shares; for the Intermediate-Term Bond Index Fund, 0.22% for Investor Shares, 0.09% for Admiral Shares, 0.10% for Signal Shares, 0.05% for Institutional Shares, 0.10% for ETF Shares; and for the Long-Term Bond Index Fund, 0.22% for Investor Shares, 0.05% for Institutional Shares, 0.10% for ETF 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.

86


Six Months Ended December 31, 2009             
    Beginning    Ending    Expenses 
    Account Value    Account Value    Paid During 
Index Fund    6/30/2009    12/31/2009    Period1 
Based on Hypothetical 5% Yearly Return             
Total Bond Market             
Investor Shares  $ 1,000.00  $ 1,024.10  $ 1.12 
Admiral Shares    1,000.00    1,024.70    0.51 
Signal Shares    1,000.00    1,024.75    0.46 
Institutional Shares    1,000.00    1,024.95    0.26 
ETF Shares    1,000.00    1,024.70    0.51 
Short-Term Bond             
Investor Shares  $ 1,000.00  $ 1,024.10  $ 1.12 
Admiral Shares    1,000.00    1,024.75    0.46 
Signal Shares    1,000.00    1,024.70    0.51 
ETF Shares    1,000.00    1,024.70    0.51 
Intermediate-Term Bond             
Investor Shares  $ 1,000.00  $ 1,024.10  $ 1.12 
Admiral Shares    1,000.00    1,024.75    0.46 
Signal Shares    1,000.00    1,024.70    0.51 
Institutional Shares    1,000.00    1,024.95    0.26 
ETF Shares    1,000.00    1,024.70    0.51 
Long -Term Bond             
Investor Shares  $ 1,000.00  $ 1,024.10  $ 1.12 
Institutional Shares    1,000.00    1,024.95    0.26 
ETF Shares    1,000.00    1,024.70    0.51 

1 These 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 Total Bond Market Index Fund, 0.22% for Investor Shares, 0.10% for Admiral Shares, 0.09% for Signal Shares, 0.05% for Institutional Shares, 0.10% for ETF Shares; for the Short-Term Bond Index Fund, 0.22% for Investor Shares, 0.09% for Admiral Shares, 0.10% for Signal Shares, 0.10% for ETF Shares; for the Intermediate-Term Bond Index Fund, 0.22% for Investor Shares, 0.09% for Admiral Shares, 0.10% for Signal Shares, 0.05% for Institutional Shares, 0.10% for ETF Shares; and for the Long-Term Bond Index Fund, 0.22% for Investor Shares, 0.05% for Institutional Shares, 0.10% for ETF 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.

87


Glossary

Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.

Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.

Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.

Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.

Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.

Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.

R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

88


Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.

Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.

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The People Who Govern Your Fund

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

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 163 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at www.vanguard.com.

Interested Trustee1

F. William McNabb III

Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).

Independent Trustees

Emerson U. Fullwood

Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, the Boy Scouts of America, Amerigroup Corporation (direct health and medical insurance carriers), and Monroe Community College Foundation.

Rajiv L. Gupta

Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Board Member of American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services) and Hewlett-Packard Co. (electronic computer manufacturing); Trustee of The Conference Board.

Amy Gutmann

Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science in the School of Arts and Sciences with secondary appointments at the Annenberg School for Communication and the Graduate School of Education of the University of Pennsylvania; Director of Carnegie Corporation of New York, Schuylkill River Development Corporation, and Greater Philadelphia Chamber of Commerce; Trustee of the National Constitution Center.


JoAnn Heffernan Heisen

Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Corporate Vice President and Chief Global Diversity Officer since 2006 (retired 2008) and Member of the Executive Committee (retired 2008) of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer of Johnson & Johnson (1997–2005); Director of the University Medical Center at Princeton and Women’s Research and Education Institute; Member of the Advisory Board of the Maxwell School of Citizenship and Public Affairs at Syracuse University.

F. Joseph Loughrey

Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years: President and Chief Operating Officer since 2005 (retired 2009) and Vice Chairman of the Board (2008–2009) of Cummins Inc. (industrial machinery); Director of SKF AB (industrial machinery), Hillenbrand, Inc. (specialized consumer services), Sauer-Danfoss Inc. (machinery), the Lumina Foundation for Education, and the Columbus Community Education Coalition; Chairman of the Advisory Council for the College of Arts and Letters at the University of Notre Dame.

André F. Perold

Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Harvard Business School; Chair of the Investment Committee of HighVista Strategies LLC (private investment firm).

Alfred M. Rankin, Jr.

Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/ aircraft systems and services); Deputy Chairman of the Federal Reserve Bank of Cleveland; Trustee of University Hospitals of Cleveland, The Cleveland Museum of Art, and Case Western Reserve University.

Peter F. Volanakis

Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years: President since 2007 and Chief Operating Officer since 2005 of Corning Incorporated (communications equipment); President of Corning Technologies (2001–2005); Director of Corning Incorporated and Dow Corning; Trustee of the Corning Incorporated Foundation and the Corning Museum of Glass; Overseer of the Amos Tuck School of Business Administration at Dartmouth College.

Executive Officers

Thomas J. Higgins

Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).

Kathryn J. Hyatt

Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companies served by The Vanguard Group (1988–2008).

Heidi Stam

Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).

Vanguard Senior Management Team

R. Gregory Barton
Mortimer J. Buckley
Kathleen C. Gubanich
Paul A. Heller

Michael S. Miller
James M. Norris
Glenn W. Reed
George U. Sauter

Chairman Emeritus and Senior Advisor

John J. Brennan

Chairman, 1996–2009

Chief Executive Officer and President, 1996–2008

Founder

John C. Bogle

Chairman and Chief Executive Officer, 1974–1996

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

2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.


P.O. Box 2600
Valley Forge, PA 19482-2600

Connect with Vanguard® > www.vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People

With Hearing Impairment > 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.

Vanguard ETFs® are not sponsored, endorsed, sold, or promoted by Barclays Capital. Barclays Capital makes no representation or warranty, express or implied, to the owners of Vanguard ETFs or any member of the public regarding the advisability of investing in securities generally or in Vanguard ETFs particularly or the ability of the Barclays Capital Index to track general bond market performance. Barclays Capital hereby expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect to the Barclays Capital Index and any data included therein. Barclays Capital’s only relationship to Vanguard and Vanguard ETFs is the licensing of the Barclays Capital Index which is determined, composed, and calculated by Barclays Capital without regard to Vanguard or the Vanguard ETFs. Barclays Capital is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of Vanguard ETFs to be issued. Source of index data: Barclays Capital Global Family of Indices. Copyright 2009, Barclays Capital. All rights reserved.

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

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting our website, www.vanguard.com, and searching for “proxy voting guidelines,” 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 www.vanguard.com or www.sec.gov.

You can review and copy information about your fund at the SEC’s Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 202-551-8090. Information about your fund is also available on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request in either of two ways: via e-mail addressed to publicinfo@sec.gov or via regular mail addressed to the Public Reference Section, Securities and Exchange Commission, Washington, DC 20549-0102.

© 2010 The Vanguard Group, Inc. All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q840 022010


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations (73.2%)                   
 
U.S. Government Securities (25.6%)                   
U.S. Treasury Bond  13.250 %  5/15/14    7,000     7,317  
U.S. Treasury Bond  11.250 %  2/15/15    77,200     117,224  
U.S. Treasury Bond  10.625 %  8/15/15    7,350     11,127  
U.S. Treasury Bond  9.875 %  11/15/15    327,600     488,533  
U.S. Treasury Bond  9.250 %  2/15/16    8,525     12,448  
U.S. Treasury Bond  7.250 %  5/15/16    114,640     153,599  
U.S. Treasury Bond  7.500 %  11/15/16    112,144     153,304  
U.S. Treasury Bond  8.750 %  5/15/17    470,440     693,311  
U.S. Treasury Bond  8.875 %  8/15/17    33,135     49,413  
U.S. Treasury Bond  9.125 %  5/15/18    5,710     8,843  
U.S. Treasury Bond  8.875 %  2/15/19    219,875     338,572  
U.S. Treasury Bond  8.125 %  8/15/19    79,795     118,147  
U.S. Treasury Bond  8.500 %  2/15/20    2,165     3,304  
U.S. Treasury Bond  8.750 %  8/15/20    294,125     459,938  
U.S. Treasury Bond  7.875 %  2/15/21    269,607     401,294  
U.S. Treasury Bond  8.125 %  5/15/21    15,125     22,995  
U.S. Treasury Bond  8.125 %  8/15/21    192,215     292,978  
U.S. Treasury Bond  8.000 %  11/15/21    81,920     124,493  
U.S. Treasury Bond  7.250 %  8/15/22    435     634  
U.S. Treasury Bond  7.625 %  11/15/22    76,855     115,943  
U.S. Treasury Bond  7.125 %  2/15/23    93,785     136,325  
U.S. Treasury Bond  6.250 %  8/15/23    80,505     110,066  
U.S. Treasury Bond  6.875 %  8/15/25    650     988  
U.S. Treasury Bond  6.000 %  2/15/26    3,275     4,571  
U.S. Treasury Bond  6.750 %  8/15/26    379,255     572,914  
U.S. Treasury Bond  6.500 %  11/15/26    775     1,144  
U.S. Treasury Bond  6.625 %  2/15/27    17,835     26,711  
U.S. Treasury Bond  6.375 %  8/15/27    32,345     47,411  
U.S. Treasury Bond  6.125 %  11/15/27    4,635     6,656  
U.S. Treasury Bond  5.250 %  11/15/28    5,410     7,154  
U.S. Treasury Bond  5.250 %  2/15/29    139,990     185,880  
U.S. Treasury Bond  6.125 %  8/15/29    118,040     173,555  
U.S. Treasury Bond  6.250 %  5/15/30    73,885     111,289  
U.S. Treasury Bond  5.375 %  2/15/31    3,869     5,327  
U.S. Treasury Bond  4.500 %  2/15/36    145     193  
U.S. Treasury Bond  4.750 %  2/15/37    66,400     92,753  
U.S. Treasury Bond  5.000 %  5/15/37    75,857     110,206  
U.S. Treasury Bond  4.375 %  2/15/38    143,018     192,135  
U.S. Treasury Bond  4.500 %  5/15/38    223,310     305,517  
U.S. Treasury Inflation-Indexed Note  3.500 %  1/15/11    145,075     177,110  
U.S. Treasury Inflation-Indexed Note  2.375 %  4/15/11    113,675     121,242  
U.S. Treasury Note  4.750 %  2/28/09    840     846  
U.S. Treasury Note  4.625 %  7/31/09    2,805     2,874  
U.S. Treasury Note  6.000 %  8/15/09    37,330     38,619  
U.S. Treasury Note  4.000 %  8/31/09    1,135     1,162  
U.S. Treasury Note  4.625 %  11/15/09    49,585     51,382  
U.S. Treasury Note  3.250 %  12/31/09    387,800     398,829  
U.S. Treasury Note  2.125 %  1/31/10    118,575     120,743  
U.S. Treasury Note  3.500 %  2/15/10    29,270     30,304  
U.S. Treasury Note  4.750 %  2/15/10    468,875     491,222  
U.S. Treasury Note  6.500 %  2/15/10    828,815     883,981  
U.S. Treasury Note  2.000 %  2/28/10    18,500     18,832  
U.S. Treasury Note  1.750 %  3/31/10    366,360     372,372  
U.S. Treasury Note  4.000 %  4/15/10    1,290     1,352  
U.S. Treasury Note  2.625 %  5/31/10    263,565     271,514  
U.S. Treasury Note  2.875 %  6/30/10    671,575     695,503  
U.S. Treasury Note  3.875 %  7/15/10    6,395     6,745  
U.S. Treasury Note  2.750 %  7/31/10    309,700     320,831  
U.S. Treasury Note  4.125 %  8/15/10    11,841     12,542  
U.S. Treasury Note  5.750 %  8/15/10    45,350     49,240  
U.S. Treasury Note  2.375 %  8/31/10    388,675     400,456  
U.S. Treasury Note  2.000 %  9/30/10    23,625     24,223  
U.S. Treasury Note  1.500 %  10/31/10    71,450     72,510  

Page 1


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Treasury Note  1.250 %  11/30/10    493,650     498,972  
U.S. Treasury Note  0.875 %  12/31/10    140,460     140,768  
U.S. Treasury Note  5.000 %  2/15/11    66,950     73,195  
U.S. Treasury Note  4.500 %  2/28/11    47,615     51,491  
U.S. Treasury Note  4.750 %  3/31/11    1,000     1,089  
U.S. Treasury Note  4.875 %  4/30/11    1,950     2,138  
U.S. Treasury Note  4.625 %  8/31/11    4,600     5,056  
U.S. Treasury Note  4.500 %  9/30/11    1,845     2,024  
U.S. Treasury Note  1.750 %  11/15/11    4,000     4,089  
U.S. Treasury Note  4.500 %  11/30/11    68,855     75,816  
U.S. Treasury Note  4.625 %  12/31/11    200     221  
U.S. Treasury Note  4.625 %  2/29/12    49,080     54,502  
U.S. Treasury Note  4.500 %  3/31/12    29,050     32,114  
U.S. Treasury Note  4.500 %  4/30/12    203,210     225,151  
U.S. Treasury Note  4.750 %  5/31/12    742,605     831,599  
U.S. Treasury Note  4.875 %  6/30/12    265,525     298,509  
U.S. Treasury Note  4.625 %  7/31/12    432,850     485,264  
U.S. Treasury Note  4.125 %  8/31/12    3,471     3,839  
U.S. Treasury Note  4.250 %  9/30/12    2,735     3,054  
U.S. Treasury Note  3.875 %  10/31/12    9,925     10,986  
U.S. Treasury Note  3.375 %  11/30/12    1,725     1,880  
U.S. Treasury Note  2.750 %  2/28/13    8,820     9,425  
U.S. Treasury Note  3.500 %  5/31/13    256,980     281,473  
U.S. Treasury Note  3.375 %  6/30/13    10,150     11,065  
U.S. Treasury Note  3.375 %  7/31/13    12,675     13,843  
U.S. Treasury Note  3.125 %  8/31/13    132,470     142,799  
U.S. Treasury Note  3.125 %  9/30/13    484,710     522,881  
U.S. Treasury Note  2.750 %  10/31/13    730,183     776,279  
U.S. Treasury Note  4.250 %  11/15/13    6,265     7,149  
U.S. Treasury Note  2.000 %  11/30/13    296,550     304,287  
U.S. Treasury Note  1.500 %  12/31/13    399,425     398,426  
U.S. Treasury Note  4.750 %  5/15/14    9,675     11,383  
U.S. Treasury Note  4.250 %  8/15/14    900     1,035  
U.S. Treasury Note  4.000 %  2/15/15    136,275     155,269  
U.S. Treasury Note  4.125 %  5/15/15    36,395     41,741  
U.S. Treasury Note  4.250 %  8/15/15    19,925     23,153  
U.S. Treasury Note  4.500 %  11/15/15    9,710     11,521  
U.S. Treasury Note  4.500 %  2/15/16    1,925     2,267  
U.S. Treasury Note  5.125 %  5/15/16    265,300     321,345  
U.S. Treasury Note  4.875 %  8/15/16    71,080     84,941  
U.S. Treasury Note  4.625 %  11/15/16    4,051     4,788  
U.S. Treasury Note  4.625 %  2/15/17    225     267  
U.S. Treasury Note  4.500 %  5/15/17    5,050     5,936  
U.S. Treasury Note  4.750 %  8/15/17    248,750     297,955  
U.S. Treasury Note  4.250 %  11/15/17    615     718  
U.S. Treasury Note  3.500 %  2/15/18    600     666  
U.S. Treasury Note  3.875 %  5/15/18    3,416     3,903  
U.S. Treasury Note  4.000 %  8/15/18    100,035     115,759  
U.S. Treasury Note  3.750 %  11/15/18    126,600     143,592  
                16,724,269  
Agency Bonds and Notes (7.8%)                   
Agency for International Development - Egypt                   
(U.S. Government Guaranteed)  4.450 %  9/15/15    15,150     16,579  
1 Federal Farm Credit Bank  5.250 %  9/13/10    5,200     5,535  
1 Federal Farm Credit Bank  3.750 %  12/6/10    14,625     15,272  
1 Federal Farm Credit Bank  4.875 %  2/18/11    30,000     32,044  
1 Federal Farm Credit Bank  2.625 %  4/21/11    14,750     15,089  
1 Federal Farm Credit Bank  5.375 %  7/18/11    28,750     31,310  
1 Federal Farm Credit Bank  3.875 %  8/25/11    15,200     15,927  
1 Federal Farm Credit Bank  4.500 %  10/17/12    14,100     15,327  
1 Federal Farm Credit Bank  3.875 %  10/7/13    9,600     10,144  
1 Federal Farm Credit Bank  4.875 %  12/16/15    1,575     1,748  
1 Federal Farm Credit Bank  5.125 %  8/25/16    10,325     11,718  
1 Federal Farm Credit Bank  4.875 %  1/17/17    9,500     10,537  
1 Federal Farm Credit Bank  5.150 %  11/15/19    20,000     23,203  

Page 2


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
1 Federal Home Loan Bank  5.790 %  4/27/09    900     916  
1 Federal Home Loan Bank  3.750 %  1/8/10    1,650     1,695  
1 Federal Home Loan Bank  3.875 %  1/15/10    86,700     89,204  
1 Federal Home Loan Bank  2.750 %  3/12/10    15,100     15,383  
1 Federal Home Loan Bank  4.375 %  3/17/10    95,000     98,776  
1 Federal Home Loan Bank  4.875 %  5/14/10    24,400     25,610  
1 Federal Home Loan Bank  7.625 %  5/14/10    71,925     78,072  
1 Federal Home Loan Bank  2.750 %  6/18/10    14,850     15,166  
1 Federal Home Loan Bank  3.500 %  7/16/10    63,750     65,955  
1 Federal Home Loan Bank  3.375 %  10/20/10    43,200     44,825  
1 Federal Home Loan Bank  4.750 %  12/10/10    5,300     5,630  
1 Federal Home Loan Bank  3.625 %  12/17/10    10,800     11,266  
1 Federal Home Loan Bank  3.125 %  6/10/11    9,875     10,223  
1 Federal Home Loan Bank  3.375 %  6/24/11    75,000     78,343  
1 Federal Home Loan Bank  3.625 %  7/1/11    23,175     24,244  
1 Federal Home Loan Bank  5.375 %  8/19/11    81,550     89,272  
1 Federal Home Loan Bank  3.750 %  9/9/11    5,875     6,177  
1 Federal Home Loan Bank  3.625 %  9/16/11    11,775     12,394  
1 Federal Home Loan Bank  4.875 %  11/18/11    25,750     28,021  
1 Federal Home Loan Bank  4.625 %  10/10/12    41,875     45,849  
1 Federal Home Loan Bank  3.375 %  2/27/13    12,500     13,048  
1 Federal Home Loan Bank  3.875 %  6/14/13    30,625     32,531  
1 Federal Home Loan Bank  5.375 %  6/14/13    15,000     16,804  
1 Federal Home Loan Bank  5.125 %  8/14/13    12,100     13,498  
1 Federal Home Loan Bank  4.000 %  9/6/13    18,025     19,226  
1 Federal Home Loan Bank  5.250 %  9/13/13    2,500     2,793  
1 Federal Home Loan Bank  4.500 %  9/16/13    64,325     70,173  
1 Federal Home Loan Bank  3.625 %  10/18/13    29,075     30,567  
1 Federal Home Loan Bank  5.500 %  8/13/14    81,325     93,101  
1 Federal Home Loan Bank  5.375 %  5/18/16    49,850     56,880  
1 Federal Home Loan Bank  5.625 %  6/13/16    2,950     3,140  
1 Federal Home Loan Bank  5.125 %  10/19/16    12,600     14,162  
1 Federal Home Loan Bank  4.750 %  12/16/16    86,575     95,824  
1 Federal Home Loan Bank  4.875 %  5/17/17    29,600     33,223  
1 Federal Home Loan Bank  5.000 %  11/17/17    5,900     6,716  
1 Federal Home Loan Bank  5.250 %  12/11/20    16,150     18,842  
1 Federal Home Loan Bank  5.625 %  6/11/21    1,375     1,630  
1 Federal Home Loan Bank  5.500 %  7/15/36    11,000     14,129  
1 Federal Home Loan Mortgage Corp.  3.750 %  5/12/09    3,130     3,168  
1 Federal Home Loan Mortgage Corp.  7.000 %  3/15/10    81,425     87,164  
1 Federal Home Loan Mortgage Corp.  2.875 %  4/30/10    22,200     22,723  
1 Federal Home Loan Mortgage Corp.  2.875 %  6/28/10    11,600     11,880  
1 Federal Home Loan Mortgage Corp.  4.125 %  7/12/10    127,947     133,468  
1 Federal Home Loan Mortgage Corp.  3.250 %  7/16/10    11,800     12,161  
1 Federal Home Loan Mortgage Corp.  5.125 %  8/23/10    75,000     79,651  
1 Federal Home Loan Mortgage Corp.  6.875 %  9/15/10    38,683     42,293  
1 Federal Home Loan Mortgage Corp.  5.000 %  10/18/10    6,200     6,591  
1 Federal Home Loan Mortgage Corp.  3.125 %  10/25/10    12,400     12,833  
1 Federal Home Loan Mortgage Corp.  4.750 %  1/18/11    69,500     74,141  
1 Federal Home Loan Mortgage Corp.  3.250 %  2/25/11    18,500     19,192  
1 Federal Home Loan Mortgage Corp.  5.625 %  3/15/11    50,000     54,413  
1 Federal Home Loan Mortgage Corp.  5.875 %  3/21/11    750     785  
1 Federal Home Loan Mortgage Corp.  5.125 %  4/18/11    60,000     64,838  
1 Federal Home Loan Mortgage Corp.  6.000 %  6/15/11    33,800     37,445  
1 Federal Home Loan Mortgage Corp.  3.875 %  6/29/11    11,225     11,893  
1 Federal Home Loan Mortgage Corp.  5.250 %  7/18/11    115,000     125,245  
1 Federal Home Loan Mortgage Corp.  5.750 %  1/15/12    82,000     91,529  
1 Federal Home Loan Mortgage Corp.  5.500 %  8/20/12    50,000     56,271  
1 Federal Home Loan Mortgage Corp.  4.625 %  10/25/12    38,850     42,576  
1 Federal Home Loan Mortgage Corp.  4.125 %  12/21/12    17,950     19,377  
1 Federal Home Loan Mortgage Corp.  4.500 %  1/15/13    81,325     88,634  
1 Federal Home Loan Mortgage Corp.  4.500 %  7/15/13    22,525     24,625  
1 Federal Home Loan Mortgage Corp.  4.875 %  11/15/13    114,925     127,797  
1 Federal Home Loan Mortgage Corp.  5.000 %  7/15/14    90,650     101,838  
1 Federal Home Loan Mortgage Corp.  0.000 %  11/24/14    9,500     8,039  
1 Federal Home Loan Mortgage Corp.  4.750 %  1/19/16    42,900     47,544  

Page 3


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
1 Federal Home Loan Mortgage Corp.  5.250 %  4/18/16    97,500     111,072  
1 Federal Home Loan Mortgage Corp.  5.000 %  2/16/17    30,000     34,071  
1 Federal Home Loan Mortgage Corp.  5.000 %  4/18/17    10,000     11,374  
1 Federal Home Loan Mortgage Corp.  5.500 %  8/23/17    40,000     47,170  
1 Federal Home Loan Mortgage Corp.  4.875 %  6/13/18    24,050     27,592  
1 Federal Home Loan Mortgage Corp.  5.000 %  12/14/18    29,521     28,871  
1 Federal Home Loan Mortgage Corp.  6.750 %  9/15/29    14,000     20,058  
1 Federal Home Loan Mortgage Corp.  6.750 %  3/15/31    46,750     68,384  
1 Federal National Mortgage Assn.  7.250 %  1/15/10    89,090     94,629  
1 Federal National Mortgage Assn.  3.250 %  2/10/10    21,800     22,332  
1 Federal National Mortgage Assn.  3.875 %  2/15/10    40,100     41,405  
1 Federal National Mortgage Assn.  4.750 %  3/12/10    34,350     35,832  
1 Federal National Mortgage Assn.  4.125 %  5/15/10    38,400     39,929  
1 Federal National Mortgage Assn.  7.125 %  6/15/10    25     27  
1 Federal National Mortgage Assn.  3.000 %  7/12/10    61,000     62,672  
1 Federal National Mortgage Assn.  2.875 %  10/12/10    17,450     17,958  
1 Federal National Mortgage Assn.  6.625 %  11/15/10    57,175     62,786  
1 Federal National Mortgage Assn.  4.750 %  12/15/10    91,100     96,914  
1 Federal National Mortgage Assn.  6.250 %  2/1/11    16,665     17,582  
1 Federal National Mortgage Assn.  5.125 %  4/15/11    37,900     40,954  
1 Federal National Mortgage Assn.  6.000 %  5/15/11    44,580     49,150  
1 Federal National Mortgage Assn.  3.375 %  5/19/11    50,000     52,167  
1 Federal National Mortgage Assn.  5.000 %  10/15/11    86,925     94,623  
1 Federal National Mortgage Assn.  5.000 %  2/16/12    50,000     54,837  
1 Federal National Mortgage Assn.  6.125 %  3/15/12    87,705     99,399  
1 Federal National Mortgage Assn.  4.875 %  5/18/12    36,450     39,969  
1 Federal National Mortgage Assn.  5.250 %  8/1/12    9,100     9,335  
1 Federal National Mortgage Assn.  4.375 %  9/15/12    49,325     53,541  
1 Federal National Mortgage Assn.  3.625 %  2/12/13    22,225     23,506  
1 Federal National Mortgage Assn.  4.750 %  2/21/13    5,000     5,445  
1 Federal National Mortgage Assn.  4.375 %  3/15/13    15,240     16,543  
1 Federal National Mortgage Assn.  4.625 %  5/1/13    27,969     28,498  
1 Federal National Mortgage Assn.  4.625 %  10/15/13    60,850     66,987  
1 Federal National Mortgage Assn.  2.875 %  12/11/13    11,700     11,978  
1 Federal National Mortgage Assn.  5.125 %  1/2/14    3,925     3,972  
1 Federal National Mortgage Assn.  4.125 %  4/15/14    37,500     40,514  
1 Federal National Mortgage Assn.  4.625 %  10/15/14    50,000     55,257  
1 Federal National Mortgage Assn.  5.000 %  4/15/15    20,000     22,529  
1 Federal National Mortgage Assn.  4.375 %  10/15/15    20,000     21,815  
1 Federal National Mortgage Assn.  8.200 %  3/10/16    50     66  
1 Federal National Mortgage Assn.  5.375 %  7/15/16    20,000     23,041  
1 Federal National Mortgage Assn.  5.250 %  9/15/16    54,975     62,947  
1 Federal National Mortgage Assn.  4.875 %  12/15/16    6,475     7,262  
1 Federal National Mortgage Assn.  5.000 %  2/13/17    93,425     106,020  
1 Federal National Mortgage Assn.  5.000 %  5/11/17    50,000     56,957  
1 Federal National Mortgage Assn.  0.000 %  10/9/19    3,000     1,752  
1 Federal National Mortgage Assn.  6.250 %  5/15/29    1,375     1,873  
1 Federal National Mortgage Assn.  7.125 %  1/15/30    30,805     46,010  
1 Federal National Mortgage Assn.  7.250 %  5/15/30    54,601     83,365  
1 Federal National Mortgage Assn.  6.625 %  11/15/30    17,460     25,168  
1 Federal National Mortgage Assn.  5.625 %  7/15/37    5,650     7,214  
1 Financing Corp.  9.800 %  4/6/18    1,650     2,515  
1 Financing Corp.  9.700 %  4/5/19    2,000     3,099  
Resolution Funding Corp. (U.S. Government Guaranteed)  8.125 %  10/15/19    550     790  
Resolution Funding Corp. (U.S. Government Guaranteed)  8.875 %  7/15/20    280     426  
Resolution Funding Corp. (U.S. Government Guaranteed)  8.625 %  1/15/30    110     184  
Small Business Administration Variable Rate Interest Only                   
Custodial Receipts (U.S. Government Guaranteed)  2.719 %  7/15/17    4,449     222  
State of Israel (U.S. Government Guaranteed)  5.500 %  9/18/23    5,525     6,729  
State of Israel (U.S. Government Guaranteed)  5.500 %  12/4/23    3,900     4,759  
State of Israel (U.S. Government Guaranteed)  5.500 %  4/26/24    14,575     17,850  
1 Tennessee Valley Auth.  5.625 %  1/18/11    275     298  
1 Tennessee Valley Auth.  5.500 %  7/18/17    19,800     22,977  
1 Tennessee Valley Auth.  4.500 %  4/1/18    5,850     6,451  
1 Tennessee Valley Auth.  6.750 %  11/1/25    2,125     2,942  
1 Tennessee Valley Auth.  7.125 %  5/1/30    32,625     47,577  

Page 4


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
1  Tennessee Valley Auth.  4.650 %  6/15/35    4,400     4,871  
1  Tennessee Valley Auth.  5.500 %  6/15/38    3,025     3,799  
1  Tennessee Valley Auth.  4.875 %  1/15/48    8,600     10,060  
1  Tennessee Valley Auth.  5.375 %  4/1/56    7,150     9,190  
                  5,093,946  
Conventional Mortgage-Backed Securities (36.8%)                   
1,2  Federal Home Loan Mortgage Corp.  4.000 %  1/1/09–2/1/21    150,257     152,930  
1,2  Federal Home Loan Mortgage Corp.  4.500 %  3/1/09–5/1/38    670,883     687,777  
1,2  Federal Home Loan Mortgage Corp.  5.000 %  7/1/09–7/1/38    2,211,952     2,265,028  
1,2  Federal Home Loan Mortgage Corp.  5.500 %  6/1/09–1/1/38    2,987,400     3,066,684  
1,2  Federal Home Loan Mortgage Corp.  6.000 %  1/1/09–7/1/38    1,864,237     1,924,834  
1,2  Federal Home Loan Mortgage Corp.  6.500 %  1/1/09–9/1/38    384,567     400,111  
1,2  Federal Home Loan Mortgage Corp.  7.000 %  1/1/09–1/1/37    45,881     48,061  
1,2  Federal Home Loan Mortgage Corp.  7.500 %  10/1/09–2/1/32    9,753     10,226  
1,2  Federal Home Loan Mortgage Corp.  8.000 %  11/1/09–1/1/32    7,335     7,815  
1,2  Federal Home Loan Mortgage Corp.  8.500 %  4/1/10–7/1/31    1,289     1,383  
1,2  Federal Home Loan Mortgage Corp.  9.000 %  7/1/16–3/1/31    843     907  
1,2  Federal Home Loan Mortgage Corp.  9.500 %  4/1/16–6/1/25    187     202  
1,2  Federal Home Loan Mortgage Corp.  10.000 %  7/1/09–4/1/25    60     62  
1,2  Federal National Mortgage Assn.  4.000 %  9/1/10–6/1/19    85,447     87,219  
1,2  Federal National Mortgage Assn.  4.500 %  2/1/10–9/1/38    973,939     999,948  
1,2  Federal National Mortgage Assn.  5.000 %  9/1/09–4/1/37    3,001,527     3,079,987  
1,2  Federal National Mortgage Assn.  5.500 %  3/1/09–9/1/38    4,072,142     4,187,815  
1,2  Federal National Mortgage Assn.  6.000 %  1/1/09–12/1/38    2,728,798     2,817,169  
1,2  Federal National Mortgage Assn.  6.500 %  1/1/09–7/1/38    994,026     1,034,477  
1,2  Federal National Mortgage Assn.  7.000 %  5/1/09–11/1/38    297,872     310,988  
1,2  Federal National Mortgage Assn.  7.500 %  5/1/10–12/1/32    13,749     14,491  
1,2  Federal National Mortgage Assn.  8.000 %  1/1/10–9/1/31    4,108     4,383  
1,2  Federal National Mortgage Assn.  8.500 %  7/1/10–5/1/32    1,586     1,703  
1,2  Federal National Mortgage Assn.  9.000 %  2/1/17–8/1/30    368     397  
1,2  Federal National Mortgage Assn.  9.500 %  7/1/10–11/1/25    487     526  
1,2  Federal National Mortgage Assn.  10.000 %  10/1/14–11/1/19    102     108  
1,2  Federal National Mortgage Assn.  10.500 %  3/1/11–8/1/20    5     5  
1,2  Federal National Mortgage Assn.  11.000 %  9/1/19    6     6  
2  Government National Mortgage Assn.  4.000 %  8/15/18–9/15/18    1,649     1,691  
2  Government National Mortgage Assn.  4.500 %  6/15/18–2/1/37    46,568     47,603  
2  Government National Mortgage Assn.  5.000 %  11/15/17–1/1/39    461,828     474,733  
2  Government National Mortgage Assn.  5.500 %  3/15/15–1/1/39    1,041,675     1,074,113  
2  Government National Mortgage Assn.  6.000 %  3/15/09–12/15/38    954,356     985,122  
2  Government National Mortgage Assn.  6.500 %  2/15/09–9/15/38    327,988     340,812  
2  Government National Mortgage Assn.  7.000 %  2/15/09–9/15/36    25,323     26,555  
2  Government National Mortgage Assn.  7.250 %  9/15/25    50     53  
2  Government National Mortgage Assn.  7.500 %  9/15/09–6/15/32    9,503     10,041  
2  Government National Mortgage Assn.  7.750 %  2/15/30    6     6  
2  Government National Mortgage Assn.  8.000 %  7/15/09–12/15/30    6,354     6,777  
2  Government National Mortgage Assn.  8.500 %  5/15/10–3/15/31    1,397     1,501  
2  Government National Mortgage Assn.  9.000 %  6/15/09–2/15/31    2,861     3,056  
2  Government National Mortgage Assn.  9.500 %  5/15/16–9/15/25    671     723  
2  Government National Mortgage Assn.  10.000 %  2/15/18–2/15/25    270     293  
2  Government National Mortgage Assn.  10.500 %  7/15/15–4/15/25    209     231  
2  Government National Mortgage Assn.  11.000 %  1/15/10–11/15/15    25     28  
2  Government National Mortgage Assn.  11.500 %  3/15/10–4/15/16    31     32  
                  24,078,612  
Nonconventional Mortgage-Backed Securities (3.0%)                   
1,2  Federal Home Loan Mortgage Corp.  4.098 %  4/1/35    984     989  
1,2  Federal Home Loan Mortgage Corp.  4.379 %  1/1/35    1,014     1,025  
1,2  Federal Home Loan Mortgage Corp.  4.381 %  12/1/34    19,715     19,521  
1,2  Federal Home Loan Mortgage Corp.  4.580 %  9/1/34    10,041     9,885  
1,2  Federal Home Loan Mortgage Corp.  4.596 %  11/1/34    15,066     15,134  
1,2  Federal Home Loan Mortgage Corp.  4.599 %  4/1/35    10,475     10,517  
1,2  Federal Home Loan Mortgage Corp.  4.630 %  12/1/35    13,627     13,688  
1,2  Federal Home Loan Mortgage Corp.  4.653 %  7/1/35    13,339     13,403  
1,2  Federal Home Loan Mortgage Corp.  4.676 %  12/1/34    7,167     7,213  
1,2  Federal Home Loan Mortgage Corp.  4.796 %  7/1/35    24,979     25,173  

Page 5


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
1,2  Federal Home Loan Mortgage Corp.  4.804 %  3/1/36    23,027     23,215  
1,2  Federal Home Loan Mortgage Corp.  4.999 %  5/1/35    17,006     17,197  
1,2  Federal Home Loan Mortgage Corp.  5.033 %  7/1/38    13,377     13,486  
1,2  Federal Home Loan Mortgage Corp.  5.239 %  3/1/37    12,409     12,558  
1,2  Federal Home Loan Mortgage Corp.  5.262 %  3/1/36    18,482     18,760  
1,2  Federal Home Loan Mortgage Corp.  5.276 %  12/1/36    11,678     11,774  
1,2  Federal Home Loan Mortgage Corp.  5.293 %  3/1/38    19,779     19,908  
1,2  Federal Home Loan Mortgage Corp.  5.327 %  12/1/35    11,332     11,535  
1,2  Federal Home Loan Mortgage Corp.  5.423 %  3/1/37    11,650     11,860  
1,2  Federal Home Loan Mortgage Corp.  5.431 %  4/1/37    22,200     22,602  
1,2  Federal Home Loan Mortgage Corp.  5.485 %  2/1/36    15,504     15,775  
1,2  Federal Home Loan Mortgage Corp.  5.549 %  7/1/36    13,715     13,965  
1,2  Federal Home Loan Mortgage Corp.  5.565 %  1/1/37    8,721     8,778  
1,2  Federal Home Loan Mortgage Corp.  5.568 %  6/1/37    8,411     8,546  
1,2  Federal Home Loan Mortgage Corp.  5.576 %  5/1/36    22,155     22,571  
1,2  Federal Home Loan Mortgage Corp.  5.599 %  4/1/37    16,624     16,973  
1,2  Federal Home Loan Mortgage Corp.  5.676 %  12/1/36    22,882     23,344  
1,2  Federal Home Loan Mortgage Corp.  5.689 %  3/1/37    30,264     30,892  
1,2  Federal Home Loan Mortgage Corp.  5.703 %  9/1/36    46,102     47,145  
1,2  Federal Home Loan Mortgage Corp.  5.716 %  11/1/36    9,933     10,165  
1,2  Federal Home Loan Mortgage Corp.  5.770 %  5/1/36    18,885     19,347  
1,2  Federal Home Loan Mortgage Corp.  5.777 %  4/1/37    169     172  
1,2  Federal Home Loan Mortgage Corp.  5.785 %  3/1/37    7,245     7,418  
1,2  Federal Home Loan Mortgage Corp.  5.820 %  10/1/37    30,471     31,226  
1,2  Federal Home Loan Mortgage Corp.  5.828 %  4/1/37    40,567     41,488  
1,2  Federal Home Loan Mortgage Corp.  5.830 %  6/1/37    12,282     12,589  
1,2  Federal Home Loan Mortgage Corp.  5.857 %  3/1/37    1,682     1,725  
1,2  Federal Home Loan Mortgage Corp.  5.864 %  6/1/37    18,619     19,101  
1,2  Federal Home Loan Mortgage Corp.  5.874 %  12/1/36    9,190     9,416  
1,2  Federal Home Loan Mortgage Corp.  5.881 %  5/1/37    27,062     27,683  
1,2  Federal Home Loan Mortgage Corp.  5.939 %  1/1/37    8,652     8,878  
1,2  Federal Home Loan Mortgage Corp.  5.967 %  10/1/37    4,695     4,826  
1,2  Federal Home Loan Mortgage Corp.  6.056 %  3/1/37    1,228     1,260  
1,2  Federal Home Loan Mortgage Corp.  6.061 %  3/1/37    932     957  
1,2  Federal Home Loan Mortgage Corp.  6.091 %  8/1/37    22,783     23,418  
1,2  Federal Home Loan Mortgage Corp.  6.109 %  12/1/36    18,614     19,188  
1,2  Federal Home Loan Mortgage Corp.  6.128 %  8/1/37    7,719     7,932  
1,2  Federal Home Loan Mortgage Corp.  6.390 %  6/1/37    18,839     19,467  
1,2  Federal Home Loan Mortgage Corp.  6.511 %  2/1/37    14,394     14,942  
1,2  Federal National Mortgage Assn.  4.008 %  7/1/35    11,199     11,102  
1,2  Federal National Mortgage Assn.  4.135 %  5/1/34    10,339     10,321  
1,2  Federal National Mortgage Assn.  4.417 %  8/1/35    30,387     30,465  
1,2  Federal National Mortgage Assn.  4.425 %  7/1/35    10,109     10,140  
1,2  Federal National Mortgage Assn.  4.574 %  1/1/35    11,911     11,914  
1,2  Federal National Mortgage Assn.  4.579 %  11/1/34    26,533     26,559  
1,2  Federal National Mortgage Assn.  4.582 %  12/1/34    16,283     16,149  
1,2  Federal National Mortgage Assn.  4.618 %  8/1/35    17,633     17,714  
1,2  Federal National Mortgage Assn.  4.621 %  10/1/36    8,630     8,680  
1,2  Federal National Mortgage Assn.  4.629 %  11/1/33    9,117     9,169  
1,2  Federal National Mortgage Assn.  4.633 %  9/1/34    7,104     7,142  
1,2  Federal National Mortgage Assn.  4.677 %  10/1/34    11,772     11,679  
1,2  Federal National Mortgage Assn.  4.691 %  11/1/34    14,354     14,170  
1,2  Federal National Mortgage Assn.  4.725 %  8/1/35    10,036     10,035  
1,2  Federal National Mortgage Assn.  4.740 %  9/1/34    5,040     5,067  
1,2  Federal National Mortgage Assn.  4.751 %  6/1/34    9,785     9,861  
1,2  Federal National Mortgage Assn.  4.756 %  10/1/34    16,766     16,698  
1,2  Federal National Mortgage Assn.  4.769 %  5/1/35    5,957     6,038  
1,2  Federal National Mortgage Assn.  4.771 %  4/1/36    33,090     33,694  
1,2  Federal National Mortgage Assn.  4.794 %  9/1/35    12,228     12,326  
1,2  Federal National Mortgage Assn.  4.818 %  12/1/35    23,379     23,570  
1,2  Federal National Mortgage Assn.  4.835 %  4/1/37    12,672     12,820  
1,2  Federal National Mortgage Assn.  4.850 %  11/1/35    35,652     35,961  
1,2  Federal National Mortgage Assn.  4.865 %  7/1/35    15,322     15,458  
1,2  Federal National Mortgage Assn.  4.937 %  7/1/35    7,083     7,154  
1,2  Federal National Mortgage Assn.  4.964 %  11/1/34    5,201     5,262  
1,2  Federal National Mortgage Assn.  4.965 %  11/1/33    4,761     4,812  

Page 6


  Vanguard® Total Bond Market Index Fund                   
  Schedule of Investments                   
  December 31, 2008                   
              Face     Market  
          Maturity    Amount     Value  
      Coupon   Date  ($ 000 )  ($ 000 ) 
  1,2  Federal National Mortgage Assn.  4.968 %  10/1/35    24,418     24,676  
  1,2  Federal National Mortgage Assn.  4.981 %  5/1/37    26,718     27,026  
  1,2  Federal National Mortgage Assn.  5.020 %  7/1/38    9,698     9,778  
  1,2  Federal National Mortgage Assn.  5.026 %  12/1/33    6,197     6,270  
  1,2  Federal National Mortgage Assn.  5.030 %  8/1/37    44,704     45,273  
  1,2  Federal National Mortgage Assn.  5.049 %  11/1/35    24,458     24,747  
  1,2  Federal National Mortgage Assn.  5.059 %  2/1/36    11,578     11,714  
  1,2  Federal National Mortgage Assn.  5.074 %  12/1/35    28,691     29,039  
  1,2  Federal National Mortgage Assn.  5.108 %  1/1/36    13,558     13,725  
  1,2  Federal National Mortgage Assn.  5.129 %  12/1/35    29,842     30,223  
  1,2  Federal National Mortgage Assn.  5.171 %  8/1/38    1,759     1,776  
  1,2  Federal National Mortgage Assn.  5.178 %  3/1/38    18,863     18,935  
  1,2  Federal National Mortgage Assn.  5.254 %  3/1/37    16,901     17,184  
  1,2  Federal National Mortgage Assn.  5.317 %  7/1/38    1,675     1,698  
  1,2  Federal National Mortgage Assn.  5.322 %  12/1/35    8,954     9,108  
  1,2  Federal National Mortgage Assn.  5.382 %  2/1/36    16,673     16,932  
  1,2  Federal National Mortgage Assn.  5.456 %  2/1/36    18,806     19,114  
  1,2  Federal National Mortgage Assn.  5.470 %  5/1/37    6,989     7,104  
  1,2  Federal National Mortgage Assn.  5.482 %  4/1/37    1,862     1,896  
  1,2  Federal National Mortgage Assn.  5.575 %  1/1/37    15,336     15,634  
  1,2  Federal National Mortgage Assn.  5.593 %  7/1/36    12,341     12,573  
  1,2  Federal National Mortgage Assn.  5.621 %  5/1/36    6,875     7,010  
  1,2  Federal National Mortgage Assn.  5.627 %  3/1/37    13,907     14,193  
  1,2  Federal National Mortgage Assn.  5.658 %  6/1/36    16,288     16,594  
  1,2  Federal National Mortgage Assn.  5.673 %  6/1/37    10,134     10,359  
  1,2  Federal National Mortgage Assn.  5.676 %  3/1/37    43,894     44,831  
  1,2  Federal National Mortgage Assn.  5.687 %  2/1/37    17,074     17,443  
  1,2  Federal National Mortgage Assn.  5.695 %  2/1/37    32,728     33,409  
  1,2  Federal National Mortgage Assn.  5.710 %  9/1/36    12,719     12,980  
  1,2  Federal National Mortgage Assn.  5.728 %  3/1/37    32,358     33,063  
  1,2  Federal National Mortgage Assn.  5.741 %  12/1/36    48,953     49,976  
  1,2  Federal National Mortgage Assn.  5.754 %  12/1/37    33,919     34,514  
  1,2  Federal National Mortgage Assn.  5.756 %  4/1/36    13,707     13,985  
  1,2  Federal National Mortgage Assn.  5.777 %  1/1/36    7,526     7,626  
  1,2  Federal National Mortgage Assn.  5.780 %  4/1/37    11,995     12,262  
  1,2  Federal National Mortgage Assn.  5.799 %  4/1/37    20,969     21,414  
  1,2  Federal National Mortgage Assn.  5.822 %  6/1/37    29,424     30,106  
  1,2  Federal National Mortgage Assn.  5.888 %  9/1/36    15,033     15,369  
  1,2  Federal National Mortgage Assn.  5.947 %  11/1/36    14,496     14,884  
  1,2  Federal National Mortgage Assn.  6.007 %  10/1/37    23,748     24,303  
  1,2  Federal National Mortgage Assn.  6.049 %  4/1/36    13,898     14,278  
  1,2  Federal National Mortgage Assn.  6.055 %  8/1/37    18,987     19,531  
  1,2  Federal National Mortgage Assn.  6.130 %  6/1/36    3,259     3,355  
  1,2  Federal National Mortgage Assn.  6.611 %  9/1/37    25,913     26,825  
  2  Government National Mortgage Assn.  5.375 %  6/20/29    482     485  
  2  Government National Mortgage Assn.  7.900 %  2/15/21    6     7  
                    1,955,817  
 
  Total U.S. Government and Agency Obligations (Cost $45,348,204)                47,852,644  
 
  Corporate Bonds (22.8%)                   
 
Asset-Backed/Commercial Mortgage-Backed Securities (4.7%)                   
  2,3,4 American Express Credit Account Master Trust  1.185 %  8/15/11    17,350     17,332  
  2,4  American Express Credit Account Master Trust  1.275 %  9/15/11    40,000     39,779  
  3  BA Covered Bond Issuer  5.500 %  6/14/12    22,700     23,311  
  2  Banc of America Commercial Mortgage, Inc.  5.787 %  5/11/35    18,210     15,957  
  2  Banc of America Commercial Mortgage, Inc.  6.503 %  4/15/36    7,391     6,792  
  2  Banc of America Commercial Mortgage, Inc.  4.050 %  11/10/38    7,950     7,434  
  2  Banc of America Commercial Mortgage, Inc.  4.153 %  11/10/38    5,000     4,325  
  2,4  Banc of America Commercial Mortgage, Inc.  5.319 %  6/10/39    12,500     10,667  
  2  Banc of America Commercial Mortgage, Inc.  4.877 %  7/10/42    33,400     26,480  
  2  Banc of America Commercial Mortgage, Inc.  5.118 %  7/11/43    18,555     18,165  
  2  Banc of America Commercial Mortgage, Inc.  5.372 %  9/10/45    21,855     16,657  
  2  Banc of America Commercial Mortgage, Inc.  5.115 %  10/10/45    17,525     13,579  
  2  Banc of America Commercial Mortgage, Inc.  5.634 %  7/10/46    23,375     18,224  
  2  Banc of America Commercial Mortgage, Inc.  5.414 %  9/10/47    10,900     8,398  

Page 7


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
2,4  Banc of America Commercial Mortgage, Inc.  6.158 %  2/10/51    32,900     24,590  
2,4  Bank of America Credit Card Trust  1.415 %  4/16/12    23,886     22,735  
2  Bank of America Credit Card Trust  4.720 %  5/15/13    10,600     9,955  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.610 %  11/15/33    9,900     8,803  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.463 %  4/12/38    26,000     20,030  
2,4  Bear Stearns Commercial Mortgage Securities, Inc.  5.464 %  4/12/38    1,525     1,436  
2,4  Bear Stearns Commercial Mortgage Securities, Inc.  5.464 %  4/12/38    4,025     2,145  
2  Bear Stearns Commercial Mortgage Securities, Inc.  4.830 %  8/15/38    20,000     17,637  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.456 %  3/11/39    48,250     37,115  
2  Bear Stearns Commercial Mortgage Securities, Inc.  4.680 %  8/13/39    10,800     8,756  
2  Bear Stearns Commercial Mortgage Securities, Inc.  4.740 %  3/13/40    9,000     7,411  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.660 %  6/11/40    32,425     25,101  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.405 %  12/11/40    1,168     919  
2  Bear Stearns Commercial Mortgage Securities, Inc.  4.521 %  11/11/41    4,950     4,154  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.742 %  9/11/42    16,125     11,132  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.793 %  9/11/42    6,525     5,307  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.127 %  10/12/42    12,250     11,518  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.613 %  6/11/50    11,750     8,673  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.694 %  6/11/50    55,550     38,298  
2  Bear Stearns Commercial Mortgage Securities, Inc.  5.700 %  6/11/50    9,915     6,806  
2,4  Bear Stearns Commercial Mortgage Securities, Inc.  5.915 %  6/11/50    8,118     3,450  
2,3,4 BMW Floorplan Master Owner Trust  0.961 %  9/17/11    28,000     24,336  
2  Capital Auto Receivables Asset Trust  4.680 %  10/15/12    21,400     19,870  
2,4  Capital One Multi-Asset Execution Trust  1.285 %  1/17/12    50,000     49,638  
2  Capital One Multi-Asset Execution Trust  5.300 %  2/18/14    7,325     6,765  
2  Capital One Multi-Asset Execution Trust  5.050 %  12/17/18    43,450     32,892  
2  Capital One Multi-Asset Execution Trust  5.750 %  7/15/20    3,950     3,105  
2,4  Capital One Prime Auto Receivables Trust  1.215 %  4/15/11    16,575     16,126  
2  CDC Commercial Mortgage Trust  5.676 %  11/15/30    25,000     22,683  
2  Chase Commercial Mortgage Securities Corp.  7.757 %  4/15/32    1,893     1,821  
2,4  Chase Credit Card Master Trust  1.365 %  9/15/11    7,000     6,874  
2,4  Chase Issuance Trust  1.215 %  11/15/11    30,820     29,476  
2,4  Chase Issuance Trust  1.215 %  2/15/12    23,678     23,140  
2  Chase Issuance Trust  4.650 %  12/17/12    39,225     37,881  
2  Chase Issuance Trust  4.650 %  3/15/15    38,500     34,742  
2  Chase Issuance Trust  5.400 %  7/15/15    12,350     11,350  
2  CIT Group Home Equity Loan Trust  6.200 %  2/25/30    1,345     1,146  
2  Citibank Credit Card Issuance Trust  4.850 %  2/10/11    775     774  
2  Citibank Credit Card Issuance Trust  4.150 %  7/7/17    4,150     3,298  
2  Citibank Credit Card Issuance Trust  5.650 %  9/20/19    4,150     3,446  
2  Citibank Credit Card Master Trust  5.875 %  3/10/11    1,250     1,246  
2  Citigroup Commercial Mortgage Trust  4.623 %  10/15/41    4,100     2,792  
2,4  Citigroup Commercial Mortgage Trust  5.724 %  3/15/49    17,175     13,658  
2,4  Citigroup Commercial Mortgage Trust  5.700 %  12/10/49    12,825     8,961  
2,4  Citigroup/Deutsche Bank Commercial Mortgage Trust  5.225 %  7/15/44    8,300     4,782  
2  Citigroup/Deutsche Bank Commercial Mortgage Trust  5.225 %  7/15/44    38,051     29,832  
2  Citigroup/Deutsche Bank Commercial Mortgage Trust  5.886 %  11/15/44    22,000     15,365  
2  Citigroup/Deutsche Bank Commercial Mortgage Trust  5.205 %  12/11/49    40,075     30,318  
2  Citigroup/Deutsche Bank Commercial Mortgage Trust  5.322 %  12/11/49    23,825     16,359  
2,3  Commercial Mortgage Lease-Backed Certificates  6.746 %  6/20/31    13,627     14,275  
2  Commercial Mortgage Pass Through Certificates  4.084 %  6/10/38    8,500     6,745  
2  Commercial Mortgage Pass Through Certificates  5.116 %  6/10/44    30,550     23,781  
2  Commercial Mortgage Pass-Through Certificates  5.767 %  6/10/46    19,500     15,520  
2  Commercial Mortgage Pass-Through Certificates  5.248 %  12/10/46    4,023     3,638  
2,4  Commercial Mortgage Pass-Through Certificates  5.816 %  12/10/49    35,098     24,667  
2  Countrywide Home Loans  4.783 %  5/25/33    5,908     5,519  
2  Credit Suisse First Boston Mortgage Securities Corp.  6.380 %  12/18/35    4,416     4,058  
2,4  Credit Suisse First Boston Mortgage Securities Corp.  4.750 %  1/15/37    19,920     12,554  
2,4  Credit Suisse First Boston Mortgage Securities Corp.  5.014 %  2/15/38    17,300     13,701  
2  Credit Suisse First Boston Mortgage Securities Corp.  3.936 %  5/15/38    13,530     10,723  
2,4  Credit Suisse First Boston Mortgage Securities Corp.  5.100 %  8/15/38    725     438  
2  Credit Suisse First Boston Mortgage Securities Corp.  5.100 %  8/15/38    39,700     30,884  
2  Credit Suisse First Boston Mortgage Securities Corp.  7.290 %  9/15/41    10,882     10,668  
2  Credit Suisse Mortgage Capital Certificates  5.826 %  6/15/38    31,533     25,165  
2  Credit Suisse Mortgage Capital Certificates  5.551 %  2/15/39    55,600     42,838  
2,4  Credit Suisse Mortgage Capital Certificates  5.723 %  6/15/39    39,285     27,524  

Page 8


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
2  Credit Suisse Mortgage Capital Certificates  5.311 %  12/15/39    34,760     26,255  
2  Credit Suisse Mortgage Capital Certificates  5.383 %  2/15/40    7,575     5,221  
2,4  CWCapital Cobalt  5.820 %  5/15/46    31,925     22,419  
2,4  CWCapital Cobalt  5.484 %  4/15/47    2,200     1,511  
2  DaimlerChrysler Auto Trust  4.200 %  7/8/10    3,672     3,660  
2  DaimlerChrysler Auto Trust  5.330 %  8/8/10    7,806     7,799  
2  DaimlerChrysler Auto Trust  3.700 %  6/8/12    9,500     8,281  
2  Discover Card Master Trust  5.100 %  10/15/13    1,200     1,103  
2  Discover Card Master Trust  5.650 %  12/15/15    27,800     23,773  
2  Discover Card Master Trust  5.650 %  3/16/20    3,850     2,866  
1,2  Federal Housing Administration  7.430 %  10/1/20    4     5  
2  Fifth Third Auto Trust  4.070 %  1/17/12    24,000     21,965  
2  First Union National Bank Commercial Mortgage Trust  6.223 %  12/12/33    12,550     11,286  
2,4  First Union National Bank Commercial Mortgage Trust  6.618 %  10/15/35    15,876     14,683  
2  Ford Credit Auto Owner Trust  4.370 %  10/15/12    18,800     13,213  
2  GE Capital Commercial Mortgage Corp.  6.531 %  5/15/33    17,000     15,722  
2  GE Capital Commercial Mortgage Corp.  6.290 %  8/11/33    3,000     2,738  
2  GE Capital Commercial Mortgage Corp.  5.994 %  12/10/35    1,576     1,498  
2  GE Capital Commercial Mortgage Corp.  6.269 %  12/10/35    14,200     12,886  
2  GE Capital Commercial Mortgage Corp.  5.145 %  7/10/37    1,340     1,110  
2  GE Capital Commercial Mortgage Corp.  4.996 %  12/10/37    20,000     16,977  
2,4  GE Capital Commercial Mortgage Corp.  5.338 %  3/10/44    38,290     29,201  
2  GE Capital Credit Card Master Note Trust  5.080 %  9/15/12    43,350     41,866  
2  GMAC Commercial Mortgage Securities, Inc.  7.455 %  8/16/33    13,352     12,676  
2  GMAC Commercial Mortgage Securities, Inc.  6.465 %  4/15/34    13,518     12,710  
2  GMAC Commercial Mortgage Securities, Inc.  6.700 %  4/15/34    17,050     15,723  
2  GMAC Commercial Mortgage Securities, Inc.  4.908 %  3/10/38    2,000     1,604  
2  GMAC Commercial Mortgage Securities, Inc.  4.646 %  4/10/40    4,900     4,372  
2  GMAC Commercial Mortgage Securities, Inc.  4.864 %  12/10/41    2,250     1,785  
2  Greenwich Capital Commercial Funding Corp.  4.948 %  1/11/35    8,250     6,995  
2  Greenwich Capital Commercial Funding Corp.  4.533 %  1/5/36    4,325     3,834  
2  Greenwich Capital Commercial Funding Corp.  4.915 %  1/5/36    15,250     12,337  
2  Greenwich Capital Commercial Funding Corp.  5.317 %  6/10/36    17,395     14,845  
2  Greenwich Capital Commercial Funding Corp.  5.117 %  4/10/37    7,471     7,005  
2  Greenwich Capital Commercial Funding Corp.  5.224 %  4/10/37    29,872     23,322  
2  Greenwich Capital Commercial Funding Corp.  4.799 %  8/10/42    23,080     17,714  
2  GS Mortgage Securities Corp. II  5.506 %  4/10/38    17,375     16,327  
2,4  GS Mortgage Securities Corp. II  5.553 %  4/10/38    11,900     9,170  
2  GS Mortgage Securities Corp. II  5.396 %  8/10/38    31,360     25,498  
2  GS Mortgage Securities Corp. II  4.608 %  1/10/40    20,000     16,468  
2  GS Mortgage Securities Corp. II  5.799 %  8/10/45    13,245     9,346  
2  Honda Auto Receivables Owner Trust  5.300 %  7/21/10    3,263     3,257  
2  Honda Auto Receivables Owner Trust  5.120 %  10/15/10    21,308     21,154  
2  Honda Auto Receivables Owner Trust  4.880 %  9/18/14    9,375     8,720  
2  JPMorgan Chase Commercial Mortgage Securities  6.260 %  3/15/33    18,974     18,017  
2  JPMorgan Chase Commercial Mortgage Securities  5.050 %  12/12/34    11,800     9,995  
2  JPMorgan Chase Commercial Mortgage Securities  4.985 %  1/12/37    15,000     12,561  
2  JPMorgan Chase Commercial Mortgage Securities  5.255 %  7/12/37    1,790     1,554  
2  JPMorgan Chase Commercial Mortgage Securities  5.376 %  7/12/37    12,780     11,159  
2  JPMorgan Chase Commercial Mortgage Securities  4.824 %  9/12/37    3,450     3,101  
2,4  JPMorgan Chase Commercial Mortgage Securities  4.948 %  9/12/37    975     588  
2  JPMorgan Chase Commercial Mortgage Securities  4.404 %  1/12/39    13,195     10,308  
2,4  JPMorgan Chase Commercial Mortgage Securities  5.371 %  6/12/41    20,050     16,405  
2  JPMorgan Chase Commercial Mortgage Securities  5.160 %  4/15/43    28,761     27,704  
2,4  JPMorgan Chase Commercial Mortgage Securities  5.475 %  4/15/43    4,252     3,309  
2  JPMorgan Chase Commercial Mortgage Securities  5.875 %  4/15/45    32,300     25,859  
2  JPMorgan Chase Commercial Mortgage Securities  5.447 %  5/15/45    7,075     5,936  
2  JPMorgan Chase Commercial Mortgage Securities  5.803 %  6/15/49    44,150     34,280  
2  JPMorgan Chase Commercial Mortgage Securities  5.818 %  6/15/49    21,630     15,250  
2  JPMorgan Chase Commercial Mortgage Securities  5.794 %  2/12/51    42,405     29,415  
2  JPMorgan Chase Commercial Mortgage Securities  5.855 %  2/12/51    10,650     7,934  
2  JPMorgan Chase Commercial Mortgage Securities  5.716 %  2/15/51    12,341     8,454  
2,4  JPMorgan Chase Commercial Mortgage Securities  5.882 %  2/15/51    26,620     18,625  
2  LB Commerical Conduit Mortgage Trust  6.780 %  6/15/31    18,811     18,635  
2  LB-UBS Commercial Mortgage Trust  5.386 %  6/15/26    3,500     3,267  
2  LB-UBS Commercial Mortgage Trust  7.370 %  8/15/26    21,168     20,159  

Page 9


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
2  LB-UBS Commercial Mortgage Trust  4.786 %  10/15/29    16,155     12,607  
2  LB-UBS Commercial Mortgage Trust  4.742 %  2/15/30    9,345     7,160  
2  LB-UBS Commercial Mortgage Trust  4.553 %  7/15/30    1,584     1,504  
2  LB-UBS Commercial Mortgage Trust  5.197 %  11/15/30    21,475     16,843  
2  LB-UBS Commercial Mortgage Trust  6.133 %  12/15/30    8,190     7,327  
2  LB-UBS Commercial Mortgage Trust  4.853 %  9/15/31    20,575     17,465  
2  LB-UBS Commercial Mortgage Trust  4.166 %  5/15/32    6,600     5,251  
2  LB-UBS Commercial Mortgage Trust  4.931 %  9/15/35    27,000     22,134  
2,4  LB-UBS Commercial Mortgage Trust  5.661 %  3/15/39    29,421     22,766  
2  LB-UBS Commercial Mortgage Trust  5.424 %  2/15/40    600     413  
2  LB-UBS Commercial Mortgage Trust  5.430 %  2/15/40    18,200     12,495  
2,4  LB-UBS Commercial Mortgage Trust  6.149 %  4/15/41    30,150     22,404  
2  LB-UBS Commercial Mortgage Trust  5.866 %  9/15/45    41,900     29,169  
2  LB-UBS Commerical Mortgage Trust  4.960 %  12/15/31    4,500     3,768  
2,4  LB-UBS Commerical Mortgage Trust  5.936 %  7/15/44    8,275     3,593  
2,4  MBNA Credit Card Master Note Trust  4.969 %  12/15/11    4,500     4,377  
2,4  MBNA Credit Card Master Note Trust  1.275 %  3/15/12    50,000     48,141  
2  MBNA Master Credit Card Trust  7.000 %  2/15/12    62,983     62,454  
2  MBNA Master Credit Card Trust  7.800 %  10/15/12    1,000     995  
2  Merrill Lynch Mortgage Trust  5.236 %  11/12/35    7,375     6,005  
2  Merrill Lynch Mortgage Trust  5.657 %  5/12/39    12,200     9,676  
2,4  Merrill Lynch Mortgage Trust  5.291 %  1/12/44    25,650     19,966  
2,4  Merrill Lynch Mortgage Trust  5.829 %  6/12/50    34,618     24,358  
2  Merrill Lynch Mortgage Trust  5.425 %  2/12/51    4,200     3,104  
2  Merrill Lynch Mortgage Trust  5.690 %  2/12/51    15,670     11,186  
2  Merrill Lynch/Countrywide Commercial Mortgage Trust  5.700 %  9/12/17    35,300     24,356  
2  Merrill Lynch/Countrywide Commercial Mortgage Trust  5.909 %  6/12/46    41,100     32,957  
2  Merrill Lynch/Countrywide Commercial Mortgage Trust  5.378 %  8/12/48    23,995     16,455  
2  Merrill Lynch/Countrywide Commercial Mortgage Trust  5.590 %  9/12/49    12,350     9,367  
2,4  Morgan Stanley Capital I  5.110 %  6/15/40    19,000     15,217  
2  Morgan Stanley Capital I  5.030 %  6/13/41    1,822     1,360  
2  Morgan Stanley Capital I  5.270 %  6/13/41    2,800     2,260  
2  Morgan Stanley Capital I  5.328 %  11/12/41    4,250     3,226  
2  Morgan Stanley Capital I  4.970 %  12/15/41    10,800     6,981  
2  Morgan Stanley Capital I  5.168 %  1/14/42    4,650     3,653  
2,4  Morgan Stanley Capital I  5.650 %  6/13/42    17,900     12,434  
2  Morgan Stanley Capital I  4.989 %  8/13/42    28,000     21,766  
2  Morgan Stanley Capital I  5.230 %  9/15/42    28,650     22,494  
2  Morgan Stanley Capital I  5.771 %  10/15/42    9,775     7,644  
2,4  Morgan Stanley Capital I  5.208 %  11/14/42    19,850     15,547  
2  Morgan Stanley Capital I  6.280 %  1/11/43    20,150     15,061  
2  Morgan Stanley Capital I  5.332 %  12/15/43    6,300     4,751  
2,4  Morgan Stanley Capital I  5.387 %  3/12/44    36,666     28,183  
2,4  Morgan Stanley Capital I  5.691 %  4/15/49    375     160  
2,4  Morgan Stanley Capital I  5.881 %  6/11/49    4,000     1,717  
2  Morgan Stanley Capital I  5.809 %  12/12/49    18,800     13,032  
2  Morgan Stanley Capital I  5.090 %  10/12/52    9,300     8,707  
2  Morgan Stanley Dean Witter Capital I  6.660 %  2/15/33    4,675     4,433  
2  Morgan Stanley Dean Witter Capital I  6.390 %  7/15/33    4,747     4,216  
2  Morgan Stanley Dean Witter Capital I  4.920 %  3/12/35    20,000     16,630  
2  Morgan Stanley Dean Witter Capital I  6.390 %  10/15/35    5,340     4,823  
2  Morgan Stanley Dean Witter Capital I  4.740 %  11/13/36    26,900     22,466  
2  Nissan Auto Receivables Owner Trust  4.460 %  4/16/12    1,160     1,129  
2  Nissan Auto Receivables Owner Trust  5.050 %  11/17/14    7,875     7,385  
2  Oncor Electric Delivery Transition Bond Co.  4.030 %  2/15/12    1,318     1,319  
2  PG&E Energy Recovery Funding LLC  4.140 %  9/25/12    8,625     8,569  
2  PG&E Energy Recovery Funding LLC  5.030 %  3/25/14    13,650     13,465  
2  PNC Mortgage Acceptance Corp.  7.300 %  10/12/33    814     766  
2  Prudential Securities Secured Financing  7.193 %  6/16/31    1,830     1,811  
2  PSE&G Transition Funding LLC  6.890 %  12/15/17    19,800     19,967  
2  Residential Asset Securities Corp.  6.489 %  10/25/30    386     365  
2  Salomon Brothers Mortgage Securities VII  5.561 %  9/25/33    17,438     15,973  
2  USAA Auto Owner Trust  5.360 %  2/15/11    6,724     6,715  
2  USAA Auto Owner Trust  4.710 %  2/18/14    16,075     14,481  
2  Wachovia Bank Commercial Mortgage Trust  4.440 %  11/15/34    1,916     1,717  
2  Wachovia Bank Commercial Mortgage Trust  4.980 %  11/15/34    900     761  

Page 10


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
2  Wachovia Bank Commercial Mortgage Trust  4.867 %  2/15/35    900     748  
2,4  Wachovia Bank Commercial Mortgage Trust  5.125 %  8/15/35    3,600     2,966  
2  Wachovia Bank Commercial Mortgage Trust  4.719 %  1/15/41    4,100     3,687  
2  Wachovia Bank Commercial Mortgage Trust  4.748 %  2/15/41    25,955     20,171  
2  Wachovia Bank Commercial Mortgage Trust  5.001 %  7/15/41    8,950     8,521  
2,4  Wachovia Bank Commercial Mortgage Trust  5.232 %  7/15/41    27,995     22,787  
2  Wachovia Bank Commercial Mortgage Trust  4.803 %  10/15/41    23,800     18,466  
2,4  Wachovia Bank Commercial Mortgage Trust  5.083 %  3/15/42    17,775     14,029  
2  Wachovia Bank Commercial Mortgage Trust  5.118 %  7/15/42    7,525     5,856  
2,4  Wachovia Bank Commercial Mortgage Trust  5.740 %  5/15/43    16,200     12,904  
2  Wachovia Bank Commercial Mortgage Trust  4.699 %  5/15/44    17,104     13,036  
2,4  Wachovia Bank Commercial Mortgage Trust  5.209 %  10/15/44    17,435     13,905  
2,4  Wachovia Bank Commercial Mortgage Trust  5.265 %  12/15/44    37,450     29,234  
2,4  Wachovia Bank Commercial Mortgage Trust  5.765 %  7/15/45    13,500     10,589  
2  Wachovia Bank Commercial Mortgage Trust  5.313 %  11/15/48    20,250     16,628  
2  World Omni Auto Receivables Trust  3.940 %  10/15/12    19,200     17,574  
                  3,062,441  
Finance (7.7%)                   
  Banking (4.9%)                   
  Abbey National PLC  7.950 %  10/26/29    14,415     12,493  
  ABN AMRO Bank NV  4.650 %  6/4/18    325     261  
  American Exoress Co.  7.000 %  3/19/18    12,775     13,010  
  American Express Bank, FSB  5.550 %  10/17/12    4,225     4,005  
  American Express Bank, FSB  5.500 %  4/16/13    10,000     9,526  
  American Express Bank, FSB  6.000 %  9/13/17    5,200     4,621  
  American Express Centurion Bank  5.200 %  11/26/10    1,975     1,915  
  American Express Centurion Bank  5.550 %  10/17/12    3,100     2,952  
  American Express Centurion Bank  5.950 %  6/12/17    2,175     2,020  
  American Express Centurion Bank  6.000 %  9/13/17    4,650     4,369  
  American Express Co.  4.875 %  7/15/13    7,300     6,924  
  American Express Co.  5.500 %  9/12/16    3,600     3,328  
  American Express Co.  6.150 %  8/28/17    6,450     6,291  
  American Express Co.  8.150 %  3/19/38    2,500     2,918  
2  American Express Co.  6.800 %  9/1/66    7,565     4,150  
  American Express Credit Corp.  5.000 %  12/2/10    6,075     5,794  
  American Express Credit Corp.  5.875 %  5/2/13    17,850     17,416  
  American Express Credit Corp.  7.300 %  8/20/13    2,625     2,702  
3  American Express Travel  5.250 %  11/21/11    7,750     7,364  
  AmSouth Bank NA  5.200 %  4/1/15    6,200     4,716  
  Associates Corp. of North America  6.950 %  11/1/18    350     355  
  BAC Capital Trust XI  6.625 %  5/23/36    1,675     1,595  
  Banc One Corp.  7.625 %  10/15/26    1,475     1,645  
3  Banco Bilbao Vizcaya ARG  5.750 %  7/20/17    23,425     23,460  
2  Bank of America Capital Trust XIV  5.630 %  12/31/49    7,880     2,994  
  Bank of America Corp.  4.500 %  8/1/10    9,850     9,921  
  Bank of America Corp.  4.250 %  10/1/10    9,625     9,602  
  Bank of America Corp.  4.375 %  12/1/10    2,500     2,501  
5  Bank of America Corp.  1.700 %  12/23/10    14,950     15,002  
  Bank of America Corp.  5.375 %  8/15/11    3,100     3,175  
  Bank of America Corp.  6.250 %  4/15/12    5,925     6,211  
5  Bank of America Corp.  3.125 %  6/15/12    35,325     37,003  
  Bank of America Corp.  5.375 %  9/11/12    1,800     1,822  
  Bank of America Corp.  4.875 %  9/15/12    4,525     4,459  
  Bank of America Corp.  4.875 %  1/15/13    6,600     6,624  
  Bank of America Corp.  4.900 %  5/1/13    24,890     25,069  
  Bank of America Corp.  5.375 %  6/15/14    3,750     3,741  
  Bank of America Corp.  5.125 %  11/15/14    24,500     23,631  
  Bank of America Corp.  5.250 %  12/1/15    4,900     4,445  
  Bank of America Corp.  5.750 %  8/15/16    13,925     13,148  
  Bank of America Corp.  5.625 %  10/14/16    8,100     7,998  
  Bank of America Corp.  5.300 %  3/15/17    30,225     29,025  
  Bank of America Corp.  5.420 %  3/15/17    19,550     17,392  
  Bank of America Corp.  6.100 %  6/15/17    6,650     6,638  
  Bank of America Corp.  6.000 %  9/1/17    1,225     1,247  
  Bank of America Corp.  5.750 %  12/1/17    5,100     5,175  

Page 11


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Bank of America Corp.  5.650 %  5/1/18    12,850     12,888  
  Bank of America Corp.  5.625 %  3/8/35    12,350     10,297  
  Bank of America Corp.  6.000 %  10/15/36    17,000     18,276  
  Bank of America Corp.  6.500 %  9/15/37    2,950     3,015  
  Bank of New York Mellon  4.950 %  1/14/11    2,550     2,575  
  Bank of New York Mellon  6.375 %  4/1/12    400     421  
  Bank of New York Mellon  4.950 %  11/1/12    23,400     23,935  
  Bank of New York Mellon  4.500 %  4/1/13    2,650     2,668  
  Bank of New York Mellon  5.125 %  8/27/13    4,475     4,624  
  Bank of New York Mellon  4.950 %  3/15/15    7,400     7,216  
  Bank of Tokyo-Mitsubishi  8.400 %  4/15/10    8,525     8,741  
  Bank One Corp.  7.875 %  8/1/10    21,180     22,231  
  Bank One Corp.  5.250 %  1/30/13    4,725     4,650  
  Bank One Corp.  4.900 %  4/30/15    2,475     2,313  
  BankAmerica Capital II  8.000 %  12/15/26    100     78  
  Barclays Bank PLC  5.450 %  9/12/12    5,950     6,130  
2  Barclays Bank PLC  6.278 %  12/29/49    3,295     2,099  
  BB&T Capital Trust II  6.750 %  6/7/36    9,475     7,187  
2  BB&T Capital Trust IV  6.820 %  6/12/57    4,825     2,935  
  BB&T Corp.  6.500 %  8/1/11    3,030     3,086  
  BB&T Corp.  4.750 %  10/1/12    7,025     6,795  
  BB&T Corp.  5.200 %  12/23/15    5,550     5,292  
  BB&T Corp.  5.625 %  9/15/16    6,950     7,035  
  BB&T Corp.  4.900 %  6/30/17    625     571  
  BB&T Corp.  5.250 %  11/1/19    3,175     2,841  
  Bear Stearns Co., Inc.  4.550 %  6/23/10    7,850     7,794  
  Bear Stearns Co., Inc.  4.500 %  10/28/10    3,120     3,104  
  Bear Stearns Co., Inc.  5.350 %  2/1/12    28,975     28,698  
  Bear Stearns Co., Inc.  6.950 %  8/10/12    10,000     10,459  
  Bear Stearns Co., Inc.  5.700 %  11/15/14    18,240     17,930  
  Bear Stearns Co., Inc.  5.300 %  10/30/15    7,715     7,548  
  Bear Stearns Co., Inc.  5.550 %  1/22/17    5,150     4,839  
  Bear Stearns Co., Inc.  6.400 %  10/2/17    4,975     5,171  
  Bear Stearns Co., Inc.  7.250 %  2/1/18    13,450     14,753  
  Bear Stearns Co., Inc.  4.650 %  7/2/18    2,075     1,915  
  Capital One Bank  5.750 %  9/15/10    2,025     1,968  
  Capital One Bank  6.500 %  6/13/13    5,500     4,933  
  Capital One Capital III  7.686 %  8/15/36    7,650     3,213  
  Capital One Capital IV  6.745 %  2/17/37    3,100     1,426  
  Capital One Financial Corp.  5.700 %  9/15/11    4,025     3,747  
  Capital One Financial Corp.  4.800 %  2/21/12    2,125     1,921  
  Capital One Financial Corp.  5.500 %  6/1/15    6,075     5,128  
  Capital One Financial Corp.  6.150 %  9/1/16    6,525     4,468  
  Capital One Financial Corp.  5.250 %  2/21/17    1,775     1,556  
  Capital One Financial Corp.  6.750 %  9/15/17    7,225     6,982  
  Charter One Bank N.A.  5.500 %  4/26/11    13,150     12,482  
2,3  Citicorp Lease Pass-Through Trust  8.040 %  12/15/19    18,025     17,581  
2  Citigroup Capital XXI  8.300 %  12/21/57    19,325     14,899  
  Citigroup, Inc.  4.125 %  2/22/10    4,175     4,083  
  Citigroup, Inc.  4.625 %  8/3/10    7,900     7,747  
  Citigroup, Inc.  6.500 %  1/18/11    15,895     16,021  
  Citigroup, Inc.  5.125 %  2/14/11    4,475     4,391  
  Citigroup, Inc.  5.100 %  9/29/11    39,500     38,565  
5  Citigroup, Inc.  2.875 %  12/9/11    22,225     23,013  
  Citigroup, Inc.  6.000 %  2/21/12    9,075     8,955  
  Citigroup, Inc.  5.250 %  2/27/12    12,475     12,126  
  Citigroup, Inc.  5.500 %  8/27/12    2,925     2,889  
  Citigroup, Inc.  5.625 %  8/27/12    8,140     7,650  
  Citigroup, Inc.  5.300 %  10/17/12    27,300     26,642  
  Citigroup, Inc.  5.500 %  4/11/13    32,890     32,164  
  Citigroup, Inc.  6.500 %  8/19/13    25,425     25,682  
  Citigroup, Inc.  5.125 %  5/5/14    1,675     1,587  
  Citigroup, Inc.  5.000 %  9/15/14    21,368     18,575  
  Citigroup, Inc.  4.700 %  5/29/15    4,075     3,517  
  Citigroup, Inc.  5.300 %  1/7/16    24,600     23,321  
  Citigroup, Inc.  5.500 %  2/15/17    4,000     3,604  

Page 12


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Citigroup, Inc.  6.000 %  8/15/17    15,150     15,082  
Citigroup, Inc.  6.125 %  11/21/17    12,975     13,051  
Citigroup, Inc.  6.625 %  6/15/32    1,525     1,482  
Citigroup, Inc.  5.875 %  2/22/33    15,300     13,117  
Citigroup, Inc.  6.000 %  10/31/33    2,575     2,254  
Citigroup, Inc.  5.850 %  12/11/34    2,000     1,953  
Citigroup, Inc.  6.125 %  8/25/36    9,575     8,773  
Citigroup, Inc.  5.875 %  5/29/37    7,050     7,103  
Citigroup, Inc.  6.875 %  3/5/38    20,000     23,097  
Colonial Bank NA  6.375 %  12/1/15    1,425     931  
Comerica Bank  5.750 %  11/21/16    12,700     9,521  
Comerica Bank  5.200 %  8/22/17    5,450     4,117  
2 Comerica Capital Trust II  6.576 %  2/20/37    4,350     1,805  
Compass Bank  6.400 %  10/1/17    2,700     2,302  
Compass Bank  5.900 %  4/1/26    2,400     1,720  
Countrywide Financial Corp.  5.800 %  6/7/12    8,175     8,001  
Countrywide Financial Corp.  6.250 %  5/15/16    3,525     3,362  
Countrywide Home Loan  5.625 %  7/15/09    340     340  
Countrywide Home Loan  4.125 %  9/15/09    8,310     8,217  
Countrywide Home Loan  4.000 %  3/22/11    4,950     4,709  
Credit Suisse First Boston USA, Inc.  4.700 %  6/1/09    15     15  
Credit Suisse First Boston USA, Inc.  4.125 %  1/15/10    6,975     6,943  
Credit Suisse First Boston USA, Inc.  4.875 %  8/15/10    24,600     24,597  
Credit Suisse First Boston USA, Inc.  5.250 %  3/2/11    9,275     9,306  
Credit Suisse First Boston USA, Inc.  5.500 %  8/16/11    10,125     10,142  
Credit Suisse First Boston USA, Inc.  6.125 %  11/15/11    11,825     12,118  
Credit Suisse First Boston USA, Inc.  6.500 %  1/15/12    3,675     3,744  
Credit Suisse First Boston USA, Inc.  5.500 %  8/15/13    12,110     12,069  
Credit Suisse First Boston USA, Inc.  4.875 %  1/15/15    19,700     18,472  
Credit Suisse First Boston USA, Inc.  5.125 %  8/15/15    14,815     13,557  
Credit Suisse First Boston USA, Inc.  5.375 %  3/2/16    1,175     1,079  
Credit Suisse First Boston USA, Inc.  7.125 %  7/15/32    2,825     3,116  
2 Credit Suisse First Boston USA, Inc.  5.860 %  5/15/49    9,250     4,623  
Credit Suisse New York  5.000 %  5/15/13    15,175     14,605  
Credit Suisse New York  6.000 %  2/15/18    5,200     5,118  
Dean Witter, Discover & Co.  6.750 %  10/15/13    800     716  
Deutsche Bank AG London  5.375 %  10/12/12    15,875     16,132  
Deutsche Bank AG London  4.875 %  5/20/13    13,200     13,374  
Deutsche Bank AG London  6.000 %  9/1/17    29,000     30,770  
Deutsche Bank Financial LLC  5.375 %  3/2/15    5,400     4,885  
Fifth Third Bancorp.  4.200 %  2/23/10    4,275     4,206  
Fifth Third Bancorp.  6.250 %  5/1/13    5,950     5,639  
Fifth Third Bancorp.  4.750 %  2/1/15    10,950     9,384  
Fifth Third Bancorp.  4.500 %  6/1/18    1,550     1,136  
Fifth Third Bancorp.  8.250 %  3/1/38    5,450     4,415  
2 Fifth Third Capital Trust IV  6.500 %  4/15/67    4,350     2,219  
First Tennessee Bank  5.050 %  1/15/15    1,825     1,178  
First Union Institutional Capital I  8.040 %  12/1/26    1,825     1,519  
Fleet Capital Trust II  7.920 %  12/11/26    2,315     1,904  
Golden West Financial Corp.  4.750 %  10/1/12    3,315     3,147  
2 Goldman Sachs Capital II  5.793 %  12/29/49    8,625     3,404  
Goldman Sachs Group, Inc.  4.500 %  6/15/10    5,945     5,869  
Goldman Sachs Group, Inc.  6.875 %  1/15/11    6,250     6,343  
Goldman Sachs Group, Inc.  6.600 %  1/15/12    33,200     32,831  
5 Goldman Sachs Group, Inc.  3.250 %  6/15/12    37,350     39,088  
Goldman Sachs Group, Inc.  5.450 %  11/1/12    12,375     11,811  
Goldman Sachs Group, Inc.  5.250 %  4/1/13    12,415     11,675  
Goldman Sachs Group, Inc.  4.750 %  7/15/13    11,050     10,143  
Goldman Sachs Group, Inc.  5.250 %  10/15/13    16,550     15,268  
Goldman Sachs Group, Inc.  5.150 %  1/15/14    2,740     2,510  
Goldman Sachs Group, Inc.  5.000 %  10/1/14    15,550     13,453  
Goldman Sachs Group, Inc.  5.125 %  1/15/15    14,735     13,370  
Goldman Sachs Group, Inc.  5.350 %  1/15/16    18,900     17,146  
Goldman Sachs Group, Inc.  5.750 %  10/1/16    5,600     5,165  
Goldman Sachs Group, Inc.  5.625 %  1/15/17    14,750     12,298  
Goldman Sachs Group, Inc.  6.250 %  9/1/17    33,125     31,330  

Page 13


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Goldman Sachs Group, Inc.  5.950 %  1/18/18    29,650     27,558  
Goldman Sachs Group, Inc.  6.150 %  4/1/18    12,175     11,700  
Goldman Sachs Group, Inc.  5.950 %  1/15/27    11,250     8,337  
Goldman Sachs Group, Inc.  6.125 %  2/15/33    10,650     9,897  
Goldman Sachs Group, Inc.  6.345 %  2/15/34    19,890     14,632  
Goldman Sachs Group, Inc.  6.450 %  5/1/36    3,200     2,442  
Goldman Sachs Group, Inc.  6.750 %  10/1/37    44,350     36,488  
3 HBOS Treasury Services PLC  5.250 %  2/21/17    21,125     20,880  
3 HBOS Treasury Services PLC  6.750 %  5/21/18    7,250     6,344  
HSBC Bank PLC  6.950 %  3/15/11    11,350     11,498  
HSBC Bank USA  4.625 %  4/1/14    125     119  
HSBC Bank USA  5.875 %  11/1/34    2,475     2,406  
HSBC Bank USA  5.625 %  8/15/35    4,825     4,483  
HSBC Holdings PLC  7.625 %  5/17/32    1,250     1,359  
HSBC Holdings PLC  7.350 %  11/27/32    2,515     2,655  
HSBC Holdings PLC  6.500 %  5/2/36    22,100     22,610  
HSBC Holdings PLC  6.500 %  9/15/37    16,575     17,488  
HSBC Holdings PLC  6.800 %  6/1/38    7,200     7,770  
3 ICICI Bank Ltd.  6.625 %  10/3/12    6,425     5,076  
JPM Capital Trust  6.550 %  9/29/36    8,725     7,389  
JPMorgan Capital Trust  5.875 %  3/15/35    5,205     4,059  
JPMorgan Chase & Co.  7.875 %  6/15/10    450     468  
JPMorgan Chase & Co.  6.750 %  2/1/11    14,862     15,317  
JPMorgan Chase & Co.  5.600 %  6/1/11    35,250     36,219  
JPMorgan Chase & Co.  4.850 %  6/16/11    11,200     11,305  
JPMorgan Chase & Co.  3.125 %  12/1/11    21,500     22,459  
JPMorgan Chase & Co.  4.500 %  1/15/12    9,400     9,344  
JPMorgan Chase & Co.  6.625 %  3/15/12    12,575     12,875  
JPMorgan Chase & Co.  5.375 %  10/1/12    26,725     27,295  
JPMorgan Chase & Co.  5.750 %  1/2/13    7,150     7,202  
JPMorgan Chase & Co.  4.750 %  5/1/13    8,775     8,818  
JPMorgan Chase & Co.  5.375 %  1/15/14    1,825     1,817  
JPMorgan Chase & Co.  4.875 %  3/15/14    19,540     18,888  
JPMorgan Chase & Co.  5.125 %  9/15/14    13,085     12,678  
JPMorgan Chase & Co.  4.750 %  3/1/15    3,550     3,443  
JPMorgan Chase & Co.  5.250 %  5/1/15    9,725     9,278  
JPMorgan Chase & Co.  5.150 %  10/1/15    3,860     3,722  
JPMorgan Chase & Co.  5.875 %  6/13/16    5,075     5,098  
JPMorgan Chase & Co.  6.125 %  6/27/17    14,825     14,871  
JPMorgan Chase & Co.  6.000 %  10/1/17    2,950     2,944  
JPMorgan Chase & Co.  6.000 %  1/15/18    4,275     4,520  
JPMorgan Chase & Co.  5.850 %  8/1/35    825     671  
JPMorgan Chase & Co.  6.400 %  5/15/38    10,000     11,949  
JPMorgan Chase Capital XXII  6.450 %  2/2/37    12,275     9,850  
JPMorgan Chase Capital XXV  6.800 %  10/1/37    9,650     8,835  
KeyBank NA  7.000 %  2/1/11    725     716  
KeyBank NA  5.500 %  9/17/12    6,800     6,392  
KeyBank NA  5.800 %  7/1/14    3,675     3,289  
KeyBank NA  4.950 %  9/15/15    7,175     5,597  
KeyBank NA  5.450 %  3/3/16    7,175     5,812  
KeyCorp  6.500 %  5/14/13    6,750     6,261  
Manufacturers & Traders Trust Co.  6.625 %  12/4/17    8,350     7,764  
2 Manufacturers & Traders Trust Co.  5.585 %  12/28/20    550     407  
Marshall & Ilsley Bank  5.250 %  9/4/12    1,150     1,012  
Marshall & Ilsley Bank  4.850 %  6/16/15    700     532  
Marshall & Ilsley Bank  5.000 %  1/17/17    250     194  
MBNA America Bank NA  6.625 %  6/15/12    3,465     3,494  
MBNA Corp.  7.500 %  3/15/12    3,245     3,336  
MBNA Corp.  6.125 %  3/1/13    4,900     4,797  
MBNA Corp.  5.000 %  6/15/15    4,375     4,004  
Mellon Bank NA  4.750 %  12/15/14    3,650     3,580  
2 Mellon Capital IV  6.244 %  6/29/49    200     118  
Mellon Funding Corp.  6.400 %  5/14/11    450     470  
Mellon Funding Corp.  5.000 %  12/1/14    1,100     1,009  
Morgan Stanley Dean Witter  4.000 %  1/15/10    19,250     18,891  
Morgan Stanley Dean Witter  4.250 %  5/15/10    15,155     14,540  

Page 14


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
5  Morgan Stanley Dean Witter  2.900 %  12/1/10    13,650     14,010  
  Morgan Stanley Dean Witter  5.050 %  1/21/11    2,700     2,624  
  Morgan Stanley Dean Witter  6.750 %  4/15/11    21,140     20,635  
5  Morgan Stanley Dean Witter  3.250 %  12/1/11    14,600     15,286  
  Morgan Stanley Dean Witter  5.625 %  1/9/12    6,525     6,083  
  Morgan Stanley Dean Witter  6.600 %  4/1/12    14,510     13,815  
  Morgan Stanley Dean Witter  5.750 %  8/31/12    9,400     8,745  
  Morgan Stanley Dean Witter  5.300 %  3/1/13    21,950     19,908  
  Morgan Stanley Dean Witter  4.750 %  4/1/14    26,882     21,183  
  Morgan Stanley Dean Witter  6.000 %  4/28/15    15,575     13,682  
  Morgan Stanley Dean Witter  5.375 %  10/15/15    7,100     5,965  
  Morgan Stanley Dean Witter  5.750 %  10/18/16    18,500     15,432  
  Morgan Stanley Dean Witter  5.450 %  1/9/17    11,125     9,327  
  Morgan Stanley Dean Witter  5.550 %  4/27/17    3,725     3,113  
  Morgan Stanley Dean Witter  5.950 %  12/28/17    20,575     17,513  
  Morgan Stanley Dean Witter  6.625 %  4/1/18    20,650     18,572  
  Morgan Stanley Dean Witter  6.250 %  8/9/26    18,625     15,497  
  Morgan Stanley Dean Witter  7.250 %  4/1/32    9,415     8,194  
  National City Bank  4.500 %  3/15/10    7,525     7,332  
  National City Bank  6.250 %  3/15/11    575     544  
  National City Bank  4.625 %  5/1/13    3,225     2,673  
  National City Corp.  4.900 %  1/15/15    1,725     1,477  
  National City Corp.  6.875 %  5/15/19    850     689  
2  National City Preferred Capital Trust I  12.000 %  12/31/49    7,025     6,603  
  NationsBank Corp.  6.800 %  3/15/28    725     690  
3  Nationwide Building Society  5.500 %  7/18/12    24,775     23,482  
  NB Capital Trust II  7.830 %  12/15/26    5,000     3,826  
  NB Capital Trust IV  8.250 %  4/15/27    3,400     2,709  
  North Fork Bancorp., Inc.  5.875 %  8/15/12    250     199  
3  Northern Rock PLC  5.625 %  6/22/17    47,600     46,652  
  Northern Trust Co.  5.500 %  8/15/13    1,575     1,626  
  Northern Trust Co.  6.500 %  8/15/18    1,400     1,504  
  Paribas NY  6.950 %  7/22/13    1,225     1,287  
  PNC Bank NA  4.875 %  9/21/17    9,750     8,972  
  PNC Bank NA  6.000 %  12/7/17    1,425     1,418  
  PNC Bank NA  6.875 %  4/1/18    175     184  
  PNC Funding Corp.  4.500 %  3/10/10    500     499  
  PNC Funding Corp.  5.125 %  12/14/10    5,750     5,828  
  PNC Funding Corp.  5.250 %  11/15/15    10,275     9,787  
  PNC Funding Corp.  5.625 %  2/1/17    1,075     1,034  
  Regions Bank  7.500 %  5/15/18    1,400     1,250  
  Regions Financial Corp.  4.375 %  12/1/10    1,000     933  
  Regions Financial Corp.  6.375 %  5/15/12    15,925     14,811  
  Regions Financial Corp.  7.375 %  12/10/37    4,950     3,878  
2  Regions Financial Corp.  6.625 %  5/15/47    5,075     2,779  
  Royal Bank of Canada  4.125 %  1/26/10    13,450     13,405  
  Royal Bank of Scotland Group PLC  6.375 %  2/1/11    1,675     1,687  
  Royal Bank of Scotland Group PLC  5.000 %  11/12/13    13,125     11,713  
  Royal Bank of Scotland Group PLC  5.050 %  1/8/15    8,225     7,006  
2  Royal Bank of Scotland Group PLC  7.640 %  3/31/49    4,975     1,990  
2  Royal Bank of Scotland Group PLC  7.648 %  8/29/49    23,895     11,885  
2  Royal Bank of Scotland Group PLC  5.512 %  9/29/49    6,774     2,894  
  Santander Central Hispano Issuances Ltd.  7.625 %  9/14/10    12,500     12,487  
  Santander Financial Issuances  6.375 %  2/15/11    1,400     1,329  
  Sanwa Bank Ltd.  7.400 %  6/15/11    11,800     12,213  
  Southtrust Corp.  5.800 %  6/15/14    3,075     2,846  
  Sovereign Bancorp, Inc.  4.800 %  9/1/10    8,275     7,490  
  Sovereign Bancorp, Inc.  8.750 %  5/30/18    1,650     1,510  
  Sovereign Bank  5.125 %  3/15/13    2,900     2,429  
2,3  Standard Chartered PLC  6.409 %  12/31/49    7,100     2,969  
  State Street Capital Trust  5.300 %  1/15/16    3,425     3,392  
  Sumitomo Mitsui Banking Corp.  8.000 %  6/15/12    16,075     16,763  
  SunTrust Banks, Inc.  6.375 %  4/1/11    8,455     8,520  
  SunTrust Banks, Inc.  5.250 %  11/5/12    8,150     7,808  
  SunTrust Banks, Inc.  5.000 %  9/1/15    350     329  
  SunTrust Banks, Inc.  6.000 %  9/11/17    3,725     3,525  

Page 15


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
SunTrust Banks, Inc.  5.450 %  12/1/17    500     470  
SunTrust Banks, Inc.  7.250 %  3/15/18    1,100     1,146  
SunTrust Banks, Inc.  6.000 %  2/15/26    3,925     3,389  
SunTrust Capital VIII  6.100 %  12/15/36    3,635     2,388  
2 SunTrust Preferred Capital I  5.853 %  12/31/49    2,875     1,157  
Swiss Bank Corp.  7.000 %  10/15/15    2,825     2,825  
Swiss Bank Corp.  7.375 %  6/15/17    4,175     4,287  
Synovus Financial Corp.  4.875 %  2/15/13    1,000     850  
Synovus Financial Corp.  5.125 %  6/15/17    4,925     3,767  
UBS AG  5.875 %  7/15/16    2,800     2,595  
UBS AG  5.875 %  12/20/17    32,534     29,829  
UBS AG  5.750 %  4/25/18    10,975     10,000  
UFJ Finance Aruba AEC  6.750 %  7/15/13    27,325     27,306  
Union Bank of California NA  5.950 %  5/11/16    4,700     3,780  
Union Planters Corp.  7.750 %  3/1/11    7,525     7,197  
UnionBanCal Corp.  5.250 %  12/16/13    2,680     2,330  
US Bank NA  6.375 %  8/1/11    6,975     7,277  
US Bank NA  6.300 %  2/4/14    9,150     9,846  
US Bank NA  4.950 %  10/30/14    10,225     10,160  
2 USB Capital IX  6.189 %  4/15/49    10,040     4,518  
Wachovia Bank NA  4.800 %  11/1/14    1,825     1,685  
Wachovia Bank NA  4.875 %  2/1/15    17,300     15,845  
Wachovia Bank NA  5.000 %  8/15/15    1,110     977  
Wachovia Bank NA  6.000 %  11/15/17    9,825     9,570  
Wachovia Bank NA  5.850 %  2/1/37    18,225     17,567  
Wachovia Bank NA  6.600 %  1/15/38    14,625     15,675  
2 Wachovia Capital Trust III  5.800 %  3/15/11    12,925     7,690  
Wachovia Corp.  7.875 %  2/15/10    3,700     3,746  
Wachovia Corp.  4.375 %  6/1/10    6,875     6,842  
Wachovia Corp.  7.800 %  8/18/10    12,905     13,122  
Wachovia Corp.  5.300 %  10/15/11    17,775     17,438  
Wachovia Corp.  4.875 %  2/15/14    6,150     5,623  
Wachovia Corp.  5.250 %  8/1/14    1,120     1,036  
Wachovia Corp.  5.625 %  10/15/16    4,900     4,439  
Wachovia Corp.  5.750 %  6/15/17    31,175     30,811  
Wachovia Corp.  5.750 %  2/1/18    1,650     1,662  
Wachovia Corp.  6.605 %  10/1/25    275     256  
3 Wachovia Corp.  8.000 %  12/15/26    5,125     4,049  
Wachovia Corp.  7.500 %  4/15/35    1,100     1,064  
Wachovia Corp.  5.500 %  8/1/35    3,600     2,919  
Wachovia Corp.  6.550 %  10/15/35    775     665  
Wells Fargo & Co.  4.200 %  1/15/10    28,879     29,320  
Wells Fargo & Co.  4.875 %  1/12/11    15,575     15,976  
Wells Fargo & Co.  6.375 %  8/1/11    2,000     2,085  
Wells Fargo & Co.  5.300 %  8/26/11    4,800     4,888  
5 Wells Fargo & Co.  3.000 %  12/9/11    19,200     19,994  
Wells Fargo & Co.  5.125 %  9/1/12    4,000     4,023  
Wells Fargo & Co.  5.250 %  10/23/12    19,850     20,354  
Wells Fargo & Co.  4.375 %  1/31/13    9,175     9,043  
Wells Fargo & Co.  4.950 %  10/16/13    6,975     6,834  
Wells Fargo & Co.  4.625 %  4/15/14    275     267  
Wells Fargo & Co.  5.625 %  12/11/17    37,625     38,953  
Wells Fargo & Co.  5.375 %  2/7/35    5,625     5,400  
Wells Fargo Bank NA  6.450 %  2/1/11    15,800     16,472  
Wells Fargo Bank NA  4.750 %  2/9/15    12,875     12,427  
Wells Fargo Bank NA  5.750 %  5/16/16    7,925     8,126  
Wells Fargo Bank NA  5.950 %  8/26/36    10,275     10,673  
Wells Fargo Capital X  5.950 %  12/15/36    3,075     2,568  
2 Wells Fargo Capital XIII  7.700 %  12/29/49    8,050     6,621  
2 Wells Fargo Capital XV  9.750 %  12/29/49    5,925     6,043  
Wells Fargo Financial  5.500 %  8/1/12    3,975     4,050  
Zions Bancorp.  5.500 %  11/16/15    6,950     5,191  

Page 16


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Brokerage (0.4%)                   
Ameriprise Financial Inc.  5.350 %  11/15/10    5,900     5,291  
Ameriprise Financial Inc.  5.650 %  11/15/15    4,925     4,186  
2 Ameriprise Financial Inc.  7.518 %  6/1/66    1,250     689  
BlackRock, Inc.  6.250 %  9/15/17    4,000     3,775  
3 Fidelity Investments  7.490 %  6/15/19    1,000     983  
Janus Capital Group  5.875 %  9/15/11    3,375     2,459  
Janus Capital Group  6.700 %  6/15/17    2,575     1,286  
Jefferies Group Inc.  6.450 %  6/8/27    14,325     8,842  
Jefferies Group Inc.  6.250 %  1/15/36    8,425     5,039  
Lazard Group  6.850 %  6/15/17    7,775     4,918  
Merrill Lynch & Co., Inc.  4.125 %  9/10/09    7,750     7,670  
Merrill Lynch & Co., Inc.  4.250 %  2/8/10    12,880     12,624  
Merrill Lynch & Co., Inc.  5.770 %  7/25/11    4,325     4,385  
Merrill Lynch & Co., Inc.  6.050 %  8/15/12    12,850     12,869  
Merrill Lynch & Co., Inc.  5.450 %  2/5/13    18,650     17,961  
Merrill Lynch & Co., Inc.  6.150 %  4/25/13    25,800     25,422  
Merrill Lynch & Co., Inc.  5.000 %  2/3/14    7,100     6,756  
Merrill Lynch & Co., Inc.  5.450 %  7/15/14    2,875     2,768  
Merrill Lynch & Co., Inc.  5.000 %  1/15/15    19,150     18,261  
Merrill Lynch & Co., Inc.  6.050 %  5/16/16    3,550     3,274  
Merrill Lynch & Co., Inc.  5.700 %  5/2/17    20,600     18,454  
Merrill Lynch & Co., Inc.  6.400 %  8/28/17    13,750     13,842  
Merrill Lynch & Co., Inc.  6.875 %  4/25/18    15,350     16,153  
Merrill Lynch & Co., Inc.  6.500 %  7/15/18    425     425  
Merrill Lynch & Co., Inc.  6.875 %  11/15/18    19     20  
Merrill Lynch & Co., Inc.  6.220 %  9/15/26    19,050     17,661  
Merrill Lynch & Co., Inc.  6.110 %  1/29/37    5,625     5,076  
Merrill Lynch & Co., Inc.  7.750 %  5/14/38    13,510     14,727  
2 Schwab Capital Trust I  7.500 %  11/15/37    2,150     1,118  
 
Finance Companies (1.2%)                   
Allied Capital Corp.  6.000 %  4/1/12    3,125     2,148  
American General Finance Corp.  3.875 %  10/1/09    4,000     2,920  
American General Finance Corp.  4.875 %  5/15/10    5,100     3,009  
American General Finance Corp.  5.625 %  8/17/11    7,625     3,660  
American General Finance Corp.  4.875 %  7/15/12    1,650     710  
American General Finance Corp.  5.375 %  10/1/12    1,000     470  
American General Finance Corp.  5.850 %  6/1/13    19,820     8,225  
American General Finance Corp.  5.750 %  9/15/16    4,925     1,872  
American General Finance Corp.  6.900 %  12/15/17    13,800     5,520  
Block Financial LLC  7.875 %  1/15/13    2,000     1,878  
Capmark Financial Group  5.875 %  5/10/12    1,775     612  
Capmark Financial Group  6.300 %  5/10/17    3,625     1,015  
CIT Group Funding Co. of Canada  4.650 %  7/1/10    7,550     6,625  
CIT Group Funding Co. of Canada  5.600 %  11/2/11    5,300     4,134  
CIT Group Funding Co. of Canada  5.200 %  6/1/15    8,575     6,002  
CIT Group, Inc.  4.250 %  2/1/10    3,475     3,227  
CIT Group, Inc.  5.200 %  11/3/10    4,300     3,741  
CIT Group, Inc.  4.750 %  12/15/10    3,650     3,212  
CIT Group, Inc.  5.600 %  4/27/11    6,375     5,339  
CIT Group, Inc.  5.800 %  7/28/11    5,325     4,420  
CIT Group, Inc.  7.625 %  11/30/12    7,325     6,226  
CIT Group, Inc.  5.400 %  3/7/13    7,450     5,513  
CIT Group, Inc.  5.000 %  2/13/14    125     89  
CIT Group, Inc.  5.125 %  9/30/14    5,625     4,050  
CIT Group, Inc.  5.000 %  2/1/15    4,175     2,797  
CIT Group, Inc.  5.400 %  1/30/16    2,750     1,925  
CIT Group, Inc.  5.850 %  9/15/16    6,450     4,579  
CIT Group, Inc.  5.650 %  2/13/17    8,825     6,177  
CIT Group, Inc.  6.000 %  4/1/36    2,150     1,355  
2 CIT Group, Inc.  6.100 %  3/15/67    225     68  
Discover Financial Services  6.450 %  6/12/17    1,250     864  
General Electric Capital Corp.  8.300 %  9/20/09    275     283  
General Electric Capital Corp.  4.250 %  9/13/10    5,250     5,247  

Page 17


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
General Electric Capital Corp.  4.875 %  10/21/10    11,450     11,674  
General Electric Capital Corp.  5.000 %  12/1/10    2,650     2,704  
General Electric Capital Corp.  6.125 %  2/22/11    12,580     13,072  
General Electric Capital Corp.  5.500 %  4/28/11    11,475     11,792  
5 General Electric Capital Corp.  3.000 %  12/9/11    20,800     21,563  
General Electric Capital Corp.  5.875 %  2/15/12    31,390     32,263  
General Electric Capital Corp.  4.375 %  3/3/12    11,200     11,030  
General Electric Capital Corp.  5.000 %  4/10/12    250     250  
General Electric Capital Corp.  6.000 %  6/15/12    20,175     20,794  
General Electric Capital Corp.  5.250 %  10/19/12    50,550     50,982  
General Electric Capital Corp.  5.450 %  1/15/13    10,475     10,589  
General Electric Capital Corp.  4.800 %  5/1/13    17,150     17,019  
General Electric Capital Corp.  5.500 %  6/4/14    15,725     15,763  
General Electric Capital Corp.  5.650 %  6/9/14    9,200     9,278  
General Electric Capital Corp.  5.375 %  10/20/16    4,450     4,366  
General Electric Capital Corp.  5.400 %  2/15/17    24,400     23,964  
General Electric Capital Corp.  5.625 %  9/15/17    8,500     8,418  
General Electric Capital Corp.  5.625 %  5/1/18    35,025     35,269  
General Electric Capital Corp.  6.750 %  3/15/32    38,685     41,926  
General Electric Capital Corp.  6.150 %  8/7/37    11,775     11,664  
General Electric Capital Corp.  5.875 %  1/14/38    42,975     42,704  
2 General Electric Capital Corp.  6.375 %  11/15/67    12,800     8,138  
2 HSBC Finance Capital Trust IX  5.911 %  11/30/35    2,700     1,548  
HSBC Finance Corp.  4.625 %  9/15/10    24,500     24,222  
HSBC Finance Corp.  5.250 %  1/14/11    15,425     15,314  
HSBC Finance Corp.  5.700 %  6/1/11    18,725     18,437  
HSBC Finance Corp.  6.375 %  10/15/11    8,000     8,035  
HSBC Finance Corp.  7.000 %  5/15/12    10,375     10,451  
HSBC Finance Corp.  5.900 %  6/19/12    3,650     3,690  
HSBC Finance Corp.  6.375 %  11/27/12    27,815     27,510  
HSBC Finance Corp.  4.750 %  7/15/13    1,850     1,715  
HSBC Finance Corp.  5.250 %  1/15/14    5,600     5,379  
HSBC Finance Corp.  5.000 %  6/30/15    33,350     30,363  
HSBC Finance Corp.  5.500 %  1/19/16    1,850     1,769  
International Lease Finance Corp.  4.875 %  9/1/10    1,625     1,300  
International Lease Finance Corp.  5.125 %  11/1/10    1,850     1,406  
International Lease Finance Corp.  4.950 %  2/1/11    13,350     9,812  
International Lease Finance Corp.  5.450 %  3/24/11    6,250     4,562  
International Lease Finance Corp.  5.750 %  6/15/11    20,900     15,257  
International Lease Finance Corp.  5.300 %  5/1/12    6,075     4,252  
International Lease Finance Corp.  5.000 %  9/15/12    9,350     6,451  
International Lease Finance Corp.  6.375 %  3/25/13    10,225     7,157  
International Lease Finance Corp.  5.625 %  9/20/13    14,345     9,504  
International Lease Finance Corp.  5.650 %  6/1/14    5,875     3,877  
PHH Corp.  7.125 %  3/1/13    1,150     541  
SLM Corp.  4.500 %  7/26/10    3,175     2,837  
SLM Corp.  5.400 %  10/25/11    21,550     17,381  
SLM Corp.  5.375 %  1/15/13    5,325     3,834  
SLM Corp.  5.000 %  10/1/13    5,350     3,878  
SLM Corp.  5.050 %  11/14/14    2,400     1,609  
SLM Corp.  8.450 %  6/15/18    22,875     18,218  
SLM Corp.  5.625 %  8/1/33    6,200     3,736  
 
Insurance (0.9%)                   
ACE Capital Trust II  9.700 %  4/1/30    2,200     1,721  
ACE INA Holdings, Inc.  5.600 %  5/15/15    7,375     6,789  
ACE INA Holdings, Inc.  5.700 %  2/15/17    3,150     2,867  
ACE INA Holdings, Inc.  5.800 %  3/15/18    2,125     1,930  
AEGON Funding Corp.  5.750 %  12/15/20    1,350     1,168  
AEGON NV  4.750 %  6/1/13    2,225     1,867  
Aetna, Inc.  7.875 %  3/1/11    1,700     1,711  
Aetna, Inc.  5.750 %  6/15/11    1,400     1,384  
Aetna, Inc.  6.000 %  6/15/16    11,150     10,312  
Aetna, Inc.  6.500 %  9/15/18    2,425     2,352  
Aetna, Inc.  6.625 %  6/15/36    9,200     7,567  

Page 18


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Aetna, Inc.  6.750 %  12/15/37    225     190  
  Allied World Assurance  7.500 %  8/1/16    6,100     5,383  
  Allstate Corp.  7.200 %  12/1/09    8,740     9,006  
  Allstate Corp.  6.125 %  2/15/12    2,990     2,902  
  Allstate Corp.  5.000 %  8/15/14    2,600     2,439  
  Allstate Corp.  6.125 %  12/15/32    2,850     2,618  
  Allstate Corp.  5.350 %  6/1/33    1,120     925  
  Allstate Corp.  5.550 %  5/9/35    1,625     1,374  
2  Allstate Corp.  6.125 %  5/15/37    2,700     1,737  
2  Allstate Corp.  6.500 %  5/15/57    6,525     3,700  
  Allstate Life Global Funding  5.375 %  4/30/13    4,550     4,589  
  Ambac, Inc.  5.950 %  12/5/35    9,000     2,768  
  American General Capital II  8.500 %  7/1/30    8,590     3,694  
  American International Group, Inc.  4.700 %  10/1/10    1,450     1,289  
  American International Group, Inc.  5.375 %  10/18/11    4,200     3,412  
  American International Group, Inc.  4.950 %  3/20/12    7,430     5,786  
  American International Group, Inc.  4.250 %  5/15/13    825     593  
  American International Group, Inc.  5.050 %  10/1/15    2,800     1,876  
  American International Group, Inc.  5.600 %  10/18/16    1,875     1,252  
  American International Group, Inc.  5.450 %  5/18/17    9,525     6,227  
  American International Group, Inc.  5.850 %  1/16/18    14,900     9,964  
  American International Group, Inc.  6.250 %  5/1/36    10,775     6,021  
  American International Group, Inc.  6.250 %  3/15/37    935     351  
2,3  American International Group, Inc.  8.175 %  5/15/58    24,500     9,279  
  Aon Capital Trust  8.205 %  1/1/27    1,200     665  
  Arch Capital Group Ltd.  7.350 %  5/1/34    3,250     2,684  
  Aspen Insurance Holdings Ltd.  6.000 %  8/15/14    3,300     2,225  
  Assurant, Inc.  5.625 %  2/15/14    1,450     1,076  
  Assurant, Inc.  6.750 %  2/15/34    4,100     2,526  
  AXA Financial, Inc.  7.750 %  8/1/10    1,075     1,077  
  AXA SA  8.600 %  12/15/30    10,550     7,534  
  Axis Capital Holdings Ltd.  5.750 %  12/1/14    2,700     1,813  
  Berkshire Hathaway Finance Corp.  4.125 %  1/15/10    5,250     5,322  
  Berkshire Hathaway Finance Corp.  4.200 %  12/15/10    6,800     6,963  
  Berkshire Hathaway Finance Corp.  4.600 %  5/15/13    11,350     11,689  
  Berkshire Hathaway Finance Corp.  5.000 %  8/15/13    22,100     23,023  
  Berkshire Hathaway Finance Corp.  5.100 %  7/15/14    550     580  
  Berkshire Hathaway Finance Corp.  4.850 %  1/15/15    6,880     7,173  
  Berkshire Hathaway Finance Corp.  5.400 %  5/15/18    9,975     10,325  
  Chubb Corp.  5.200 %  4/1/13    2,000     1,985  
  Chubb Corp.  5.750 %  5/15/18    2,450     2,410  
  Chubb Corp.  6.000 %  5/11/37    8,600     7,769  
  Chubb Corp.  6.500 %  5/15/38    3,150     3,003  
2  Chubb Corp.  6.375 %  3/29/67    7,000     4,386  
  CIGNA Corp.  6.350 %  3/15/18    1,450     1,256  
  CIGNA Corp.  7.875 %  5/15/27    1,300     1,152  
  CIGNA Corp.  6.150 %  11/15/36    7,100     4,953  
  Cincinnati Financial Corp.  6.920 %  5/15/28    550     476  
  Cincinnati Financial Corp.  6.125 %  11/1/34    4,300     3,303  
  CNA Financial Corp.  6.000 %  8/15/11    3,225     2,339  
  CNA Financial Corp.  5.850 %  12/15/14    4,225     3,110  
  CNA Financial Corp.  6.500 %  8/15/16    6,950     4,918  
  Commerce Group, Inc.  5.950 %  12/9/13    1,750     1,498  
  Coventry Health Care Inc.  6.300 %  8/15/14    4,995     3,185  
2  Everest Reinsurance Holdings, Inc.  6.600 %  5/15/37    2,775     1,158  
  Fidelity National Financial, Inc.  7.300 %  8/15/11    4,850     4,822  
  Fund American Cos., Inc.  5.875 %  5/15/13    2,200     1,614  
  GE Global Insurance Holdings Corp.  6.450 %  3/1/19    1,425     1,327  
  GE Global Insurance Holdings Corp.  7.000 %  2/15/26    4,200     3,859  
  GE Global Insurance Holdings Corp.  7.750 %  6/15/30    1,650     1,588  
  Genworth Financial, Inc.  5.125 %  3/15/11    750     525  
  Genworth Financial, Inc.  5.650 %  6/15/12    5,000     2,081  
  Genworth Financial, Inc.  5.750 %  6/15/14    1,025     379  
  Genworth Financial, Inc.  4.950 %  10/1/15    1,225     459  
  Genworth Financial, Inc.  6.500 %  6/15/34    3,975     1,193  
2  Genworth Financial, Inc.  6.150 %  11/15/66    3,505     351  

Page 19


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Hartford Financial Services Group, Inc.  5.250 %  10/15/11    4,675     4,102  
Hartford Financial Services Group, Inc.  4.625 %  7/15/13    3,000     2,292  
Hartford Financial Services Group, Inc.  5.500 %  10/15/16    3,250     2,449  
Hartford Financial Services Group, Inc.  5.375 %  3/15/17    3,200     2,261  
Hartford Financial Services Group, Inc.  6.300 %  3/15/18    350     257  
Hartford Financial Services Group, Inc.  6.000 %  1/15/19    1,550     1,114  
Hartford Financial Services Group, Inc.  5.950 %  10/15/36    3,600     2,291  
2 Hartford Financial Services Group, Inc.  8.125 %  6/15/38    2,200     1,019  
Hartford Financial Services Group, Inc.  6.100 %  10/1/41    4,075     2,638  
Humana Inc.  6.450 %  6/1/16    6,025     4,809  
Humana Inc.  7.200 %  6/15/18    7,850     6,330  
Humana Inc.  6.300 %  8/1/18    250     187  
Humana Inc.  8.150 %  6/15/38    9,650     7,210  
ING Capital Funding Trust III  8.439 %  12/31/10    600     303  
2 ING Capital Funding Trust III  5.775 %  12/8/49    12,700     5,700  
ING USA Global  4.500 %  10/1/10    13,000     12,644  
Liberty Mutual Group  4.875 %  2/1/10    1,250     1,197  
Lincoln National Corp.  6.200 %  12/15/11    1,225     1,116  
Lincoln National Corp.  5.650 %  8/27/12    3,975     3,252  
Lincoln National Corp.  6.150 %  4/7/36    7,250     4,530  
2 Lincoln National Corp.  7.000 %  5/17/66    1,410     620  
2 Lincoln National Corp.  6.050 %  4/20/67    7,150     2,574  
Loews Corp.  5.250 %  3/15/16    4,150     3,793  
Loews Corp.  6.000 %  2/1/35    650     488  
Marsh & McLennan Cos., Inc.  5.150 %  9/15/10    3,075     3,001  
Marsh & McLennan Cos., Inc.  6.250 %  3/15/12    6,225     5,832  
Marsh & McLennan Cos., Inc.  5.375 %  7/15/14    550     487  
Marsh & McLennan Cos., Inc.  5.750 %  9/15/15    8,850     7,779  
Marsh & McLennan Cos., Inc.  5.875 %  8/1/33    400     297  
MetLife, Inc.  6.125 %  12/1/11    850     843  
MetLife, Inc.  5.375 %  12/15/12    7,475     7,135  
MetLife, Inc.  5.000 %  11/24/13    5,175     4,733  
MetLife, Inc.  5.000 %  6/15/15    3,375     3,116  
MetLife, Inc.  6.500 %  12/15/32    3,450     2,927  
MetLife, Inc.  6.375 %  6/15/34    2,250     1,872  
MetLife, Inc.  5.700 %  6/15/35    975     782  
MetLife, Inc.  6.400 %  12/15/36    8,415     5,072  
Nationwide Financial Services  6.750 %  5/15/37    750     307  
Principal Financial Group, Inc.  6.050 %  10/15/36    3,000     2,054  
Principal Life Income Funding  5.125 %  3/1/11    4,675     4,529  
Principal Life Income Funding  5.300 %  12/14/12    6,675     6,390  
Principal Life Income Funding  5.300 %  4/24/13    6,750     6,438  
Principal Life Income Funding  5.100 %  4/15/14    4,825     4,440  
Progressive Corp.  6.375 %  1/15/12    1,950     1,946  
Progressive Corp.  6.625 %  3/1/29    5,175     4,773  
Progressive Corp.  6.250 %  12/1/32    325     281  
2 Progressive Corp.  6.700 %  6/15/37    8,500     3,961  
Protective Life Secured Trust  4.850 %  8/16/10    2,225     1,956  
Prudential Financial, Inc.  5.100 %  12/14/11    450     390  
Prudential Financial, Inc.  5.800 %  6/15/12    2,400     2,084  
Prudential Financial, Inc.  5.150 %  1/15/13    2,325     1,928  
Prudential Financial, Inc.  4.500 %  7/15/13    7,825     6,180  
Prudential Financial, Inc.  4.750 %  4/1/14    2,125     1,662  
Prudential Financial, Inc.  5.100 %  9/20/14    8,675     6,692  
Prudential Financial, Inc.  5.500 %  3/15/16    725     527  
Prudential Financial, Inc.  6.100 %  6/15/17    1,200     875  
Prudential Financial, Inc.  6.000 %  12/1/17    4,475     3,587  
Prudential Financial, Inc.  5.750 %  7/15/33    1,800     1,160  
Prudential Financial, Inc.  5.400 %  6/13/35    2,300     1,390  
Prudential Financial, Inc.  5.900 %  3/17/36    4,400     2,859  
Prudential Financial, Inc.  5.700 %  12/14/36    23,700     14,895  
Torchmark Corp.  6.375 %  6/15/16    4,225     3,298  
Travelers Cos. Inc.  5.375 %  6/15/12    300     301  
Travelers Cos. Inc.  5.750 %  12/15/17    4,450     4,291  
Travelers Cos. Inc.  5.800 %  5/15/18    250     241  
2 Travelers Cos. Inc.  6.250 %  3/15/37    2,975     1,873  

Page 20


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Travelers Cos. Inc.  6.250 %  6/15/37    14,550     14,134  
Travelers Cos., Inc.  5.500 %  12/1/15    1,700     1,622  
Travelers Cos., Inc.  6.250 %  6/20/16    2,875     2,862  
Travelers Property Casualty Corp.  6.375 %  3/15/33    425     398  
UnitedHealth Group, Inc.  5.250 %  3/15/11    225     216  
UnitedHealth Group, Inc.  5.500 %  11/15/12    11,375     10,417  
UnitedHealth Group, Inc.  4.875 %  2/15/13    2,700     2,529  
UnitedHealth Group, Inc.  4.875 %  4/1/13    2,725     2,540  
UnitedHealth Group, Inc.  5.000 %  8/15/14    4,925     4,605  
UnitedHealth Group, Inc.  4.875 %  3/15/15    2,500     2,164  
UnitedHealth Group, Inc.  6.000 %  6/15/17    8,975     7,935  
UnitedHealth Group, Inc.  6.000 %  11/15/17    1,250     1,110  
UnitedHealth Group, Inc.  6.000 %  2/15/18    19,805     18,326  
UnitedHealth Group, Inc.  5.800 %  3/15/36    1,500     1,137  
UnitedHealth Group, Inc.  6.500 %  6/15/37    2,125     1,640  
UnitedHealth Group, Inc.  6.625 %  11/15/37    4,725     4,006  
UnitedHealth Group, Inc.  6.875 %  2/15/38    5,625     4,976  
WellPoint Inc.  5.000 %  1/15/11    5,700     5,554  
WellPoint Inc.  6.375 %  1/15/12    3,815     3,761  
WellPoint Inc.  6.800 %  8/1/12    2,710     2,672  
WellPoint Inc.  5.000 %  12/15/14    3,525     3,135  
WellPoint Inc.  5.250 %  1/15/16    750     658  
WellPoint Inc.  5.875 %  6/15/17    5,200     4,950  
WellPoint Inc.  5.950 %  12/15/34    7,000     5,822  
WellPoint Inc.  5.850 %  1/15/36    6,710     5,693  
WellPoint Inc.  6.375 %  6/15/37    1,355     1,188  
Willis North America Inc.  5.125 %  7/15/10    1,100     912  
Willis North America Inc.  5.625 %  7/15/15    4,550     3,258  
Willis North America Inc.  6.200 %  3/28/17    2,750     1,874  
XL Capital Ltd.  5.250 %  9/15/14    5,300     2,920  
XL Capital Ltd.  6.375 %  11/15/24    575     298  
XL Capital Ltd.  6.250 %  5/15/27    8,625     3,856  
2 XL Capital Ltd.  6.500 %  12/15/49    5,150     1,127  
 
Other Finance (0.0%)                   
Chicago Mercantile Exchange Group Inc.  5.400 %  8/1/13    10,175     10,137  
Orix Corp.  5.480 %  11/22/11    6,125     4,612  
XTRA Finance Corp.  5.150 %  4/1/17    15,400     15,178  
 
Real Estate Investment Trusts (0.3%)                   
AMB Property LP  6.300 %  6/1/13    3,925     2,443  
Arden Realty LP  5.250 %  3/1/15    1,075     935  
AvalonBay Communities, Inc.  5.500 %  1/15/12    2,450     1,981  
AvalonBay Communities, Inc.  6.125 %  11/1/12    1,000     788  
AvalonBay Communities, Inc.  5.750 %  9/15/16    975     647  
Boston Properties, Inc.  6.250 %  1/15/13    4,890     3,698  
Boston Properties, Inc.  5.625 %  4/15/15    5,250     3,414  
Brandywine Operating Partnership  5.625 %  12/15/10    2,925     2,502  
Brandywine Operating Partnership  5.750 %  4/1/12    6,208     4,723  
Brandywine Operating Partnership  5.400 %  11/1/14    1,175     739  
Brandywine Operating Partnership  5.700 %  5/1/17    75     41  
Camden Property Trust  5.700 %  5/15/17    7,700     4,025  
Colonial Realty LP  5.500 %  10/1/15    5,465     3,160  
Developers Diversified Realty Corp.  5.250 %  4/15/11    500     282  
Developers Diversified Realty Corp.  5.375 %  10/15/12    4,675     1,897  
Duke Realty LP  5.625 %  8/15/11    2,000     1,564  
Duke Realty LP  5.950 %  2/15/17    5,250     2,734  
ERP Operating LP  6.625 %  3/15/12    5,020     4,119  
ERP Operating LP  5.500 %  10/1/12    3,500     2,691  
ERP Operating LP  5.250 %  9/15/14    725     499  
ERP Operating LP  5.125 %  3/15/16    3,200     2,253  
ERP Operating LP  5.375 %  8/1/16    3,725     2,686  
ERP Operating LP  5.750 %  6/15/17    1,375     986  
HCP Inc.  6.700 %  1/30/18    6,650     3,023  
Health Care Property Investors, Inc.  6.450 %  6/25/12    4,800     3,492  

Page 21


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Health Care Property Investors, Inc.  5.650 %  12/15/13    9,750     5,971  
Health Care Property Investors, Inc.  6.300 %  9/15/16    3,200     1,564  
Health Care Property Investors, Inc.  6.000 %  1/30/17    2,125     1,003  
Health Care Property Investors, Inc.  5.625 %  5/1/17    100     47  
Health Care REIT, Inc.  6.000 %  11/15/13    2,350     1,594  
Health Care REIT, Inc.  6.200 %  6/1/16    10,675     6,315  
Hospitality Properties  5.125 %  2/15/15    6,245     3,100  
HRPT Properties Trust  6.250 %  8/15/16    1,750     948  
HRPT Properties Trust  6.250 %  6/15/17    6,175     3,194  
Kimco Realty Corp.  5.783 %  3/15/16    1,350     865  
Liberty Property LP  5.125 %  3/2/15    9,625     6,409  
Liberty Property LP  5.500 %  12/15/16    2,425     1,520  
National Retail Properties  6.875 %  10/15/17    11,275     7,273  
Nationwide Health Properties, Inc.  6.250 %  2/1/13    4,900     3,886  
ProLogis  5.500 %  3/1/13    2,575     1,159  
ProLogis  5.625 %  11/15/15    3,525     1,798  
ProLogis  5.750 %  4/1/16    3,225     1,677  
ProLogis  5.625 %  11/15/16    3,925     1,884  
Realty Income Corp.  6.750 %  8/15/19    6,925     5,029  
Regency Centers LP  6.750 %  1/15/12    7,225     5,877  
Regency Centers LP  5.250 %  8/1/15    2,800     1,762  
Simon Property Group Inc.  4.875 %  8/15/10    7,850     6,941  
Simon Property Group Inc.  5.600 %  9/1/11    3,250     2,721  
Simon Property Group Inc.  5.000 %  3/1/12    3,975     2,904  
Simon Property Group Inc.  6.350 %  8/28/12    55     43  
Simon Property Group Inc.  5.300 %  5/30/13    2,725     1,961  
Simon Property Group Inc.  5.625 %  8/15/14    150     100  
Simon Property Group Inc.  5.750 %  12/1/15    16,025     10,542  
Simon Property Group Inc.  5.250 %  12/1/16    16,200     11,379  
Simon Property Group Inc.  5.875 %  3/1/17    3,675     2,405  
Simon Property Group Inc.  6.125 %  5/30/18    5,250     3,555  
Tanger Factory Outlet Centers, Inc.  6.150 %  11/15/15    4,250     3,073  
Vornado Realty  5.600 %  2/15/11    4,000     3,634  
                5,040,152  
Industrial (8.6%)                   
Basic Industry (0.7%)                   
Agrium Inc.  6.750 %  1/15/19    16,475     15,797  
Alcan, Inc.  6.450 %  3/15/11    950     838  
Alcan, Inc.  4.875 %  9/15/12    1,050     791  
Alcan, Inc.  4.500 %  5/15/13    7,225     5,143  
Alcan, Inc.  5.200 %  1/15/14    875     636  
Alcan, Inc.  5.000 %  6/1/15    1,050     757  
Alcan, Inc.  6.125 %  12/15/33    8,000     4,846  
Alcoa, Inc.  6.000 %  1/15/12    4,225     3,960  
Alcoa, Inc.  5.375 %  1/15/13    5,160     4,621  
Alcoa, Inc.  6.000 %  7/15/13    14,025     12,733  
Alcoa, Inc.  6.750 %  7/15/18    300     251  
Alcoa, Inc.  5.720 %  2/23/19    5,773     4,363  
Alcoa, Inc.  5.870 %  2/23/22    1,577     1,135  
Alcoa, Inc.  5.900 %  2/1/27    6,200     4,301  
Aluminum Co. of America  6.750 %  1/15/28    750     569  
ArcelorMittal  5.375 %  6/1/13    13,650     10,684  
ArcelorMittal  6.125 %  6/1/18    11,600     7,854  
Barrick Gold Finance Inc.  6.125 %  9/15/13    9,650     9,122  
Barrick Gold Finance Inc.  4.875 %  11/15/14    3,325     2,996  
Barrick North America Finance LLC  6.800 %  9/15/18    6,475     6,154  
Barrick North America Finance LLC  7.500 %  9/15/38    7,875     7,690  
BHP Billiton Finance Ltd.  5.125 %  3/29/12    4,300     4,255  
BHP Billiton Finance Ltd.  5.400 %  3/29/17    940     873  
BHP Finance USA  5.250 %  12/15/15    5,150     4,667  
BHP Finance USA Ltd.  4.800 %  4/15/13    9,090     8,651  
Celulosa Arauco Constitution SA  8.625 %  8/15/10    7,825     8,079  
Celulosa Arauco Constitution SA  5.125 %  7/9/13    1,500     1,447  
Celulosa Arauco Constitution SA  5.625 %  4/20/15    2,625     2,481  
Commercial Metals Co.  6.500 %  7/15/17    2,750     2,136  

Page 22


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Commercial Metals Co.  7.350 %  8/15/18    6,850     5,534  
Dow Chemical Co.  6.125 %  2/1/11    12,500     12,426  
Dow Chemical Co.  6.000 %  10/1/12    2,055     1,947  
Dow Chemical Co.  5.700 %  5/15/18    10,240     8,781  
Dow Chemical Co.  7.375 %  11/1/29    3,900     3,502  
E.I. du Pont de Nemours & Co.  4.125 %  4/30/10    5,350     5,449  
E.I. du Pont de Nemours & Co.  4.750 %  11/15/12    3,745     3,759  
E.I. du Pont de Nemours & Co.  5.000 %  1/15/13    4,725     4,778  
E.I. du Pont de Nemours & Co.  4.125 %  3/6/13    350     342  
E.I. du Pont de Nemours & Co.  5.000 %  7/15/13    7,850     7,947  
E.I. du Pont de Nemours & Co.  5.875 %  1/15/14    4,850     5,027  
E.I. du Pont de Nemours & Co.  5.250 %  12/15/16    800     798  
E.I. du Pont de Nemours & Co.  6.000 %  7/15/18    12,725     13,307  
E.I. du Pont de Nemours & Co.  6.500 %  1/15/28    2,050     2,125  
Eastman Chemical Co.  7.250 %  1/15/24    675     570  
Eastman Chemical Co.  7.600 %  2/1/27    2,563     2,315  
Falconbridge Ltd.  7.350 %  6/5/12    1,275     1,007  
Falconbridge Ltd.  5.375 %  6/1/15    450     287  
Freeport-McMoRan Copper & Gold Inc.  8.250 %  4/1/15    11,375     9,782  
Freeport-McMoRan Copper & Gold Inc.  8.375 %  4/1/17    16,950     13,941  
ICI Wilmington  5.625 %  12/1/13    900     880  
Inco Ltd.  7.750 %  5/15/12    60     59  
Inco Ltd.  5.700 %  10/15/15    4,300     3,615  
Inco Ltd.  7.200 %  9/15/32    1,500     1,152  
International Paper Co.  4.000 %  4/1/10    500     484  
International Paper Co.  5.850 %  10/30/12    2,893     2,499  
International Paper Co.  5.300 %  4/1/15    5,650     3,850  
International Paper Co.  7.950 %  6/15/18    14,950     11,561  
Lubrizol Corp.  5.500 %  10/1/14    9,650     8,730  
Lubrizol Corp.  6.500 %  10/1/34    4,835     3,780  
Monsanto Co.  7.375 %  8/15/12    1,025     1,157  
Monsanto Co.  5.125 %  4/15/18    3,950     4,164  
3 Mosaic Co.  7.375 %  12/1/14    6,800     6,086  
Newmont Mining  5.875 %  4/1/35    3,125     1,783  
Noranda, Inc.  7.250 %  7/15/12    3,750     2,961  
Noranda, Inc.  6.000 %  10/15/15    1,450     1,021  
Noranda, Inc.  5.500 %  6/15/17    6,650     4,234  
Nucor Corp.  5.000 %  12/1/12    1,000     982  
Nucor Corp.  5.000 %  6/1/13    300     298  
Nucor Corp.  5.750 %  12/1/17    1,325     1,322  
Nucor Corp.  5.850 %  6/1/18    5,750     5,569  
Nucor Corp.  6.400 %  12/1/37    4,300     4,125  
Placer Dome, Inc.  6.450 %  10/15/35    2,275     1,801  
Plum Creek Timber Co.  5.875 %  11/15/15    4,275     3,511  
Potash Corp. of Saskatchewan  7.750 %  5/31/11    10,425     10,806  
Potash Corp. of Saskatchewan  4.875 %  3/1/13    5,000     4,755  
Potash Corp. of Saskatchewan  5.875 %  12/1/36    975     862  
PPG Industries, Inc.  5.750 %  3/15/13    4,900     4,836  
PPG Industries, Inc.  6.650 %  3/15/18    4,350     4,289  
Praxair, Inc.  6.375 %  4/1/12    2,250     2,372  
Praxair, Inc.  3.950 %  6/1/13    975     953  
Praxair, Inc.  5.250 %  11/15/14    7,200     7,405  
Praxair, Inc.  4.625 %  3/30/15    425     402  
Praxair, Inc.  5.200 %  3/15/17    1,400     1,357  
Reliance Steel & Aluminum  6.200 %  11/15/16    350     287  
Reliance Steel & Aluminum  6.850 %  11/15/36    650     526  
Rio Tinto Finance USA Ltd.  5.875 %  7/15/13    16,185     12,974  
Rio Tinto Finance USA Ltd.  6.500 %  7/15/18    11,650     8,342  
Rio Tinto Finance USA Ltd.  7.125 %  7/15/28    5,425     3,839  
Rohm & Haas Co.  5.600 %  3/15/13    150     147  
Rohm & Haas Co.  6.000 %  9/15/17    5,025     4,512  
2 Rohm & Haas Co.  9.800 %  4/15/20    2,282     2,616  
Rohm & Haas Co.  7.850 %  7/15/29    2,425     2,372  
Southern Copper Corp.  7.500 %  7/27/35    9,050     6,923  
US Steel Corp.  6.050 %  6/1/17    4,775     2,796  
US Steel Corp.  7.000 %  2/1/18    2,900     1,965  

Page 23


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  US Steel Corp.  6.650 %  6/1/37    275     146  
  Vale Overseas Ltd.  6.250 %  1/11/16    2,525     2,430  
  Vale Overseas Ltd.  6.250 %  1/23/17    5,500     5,197  
  Vale Overseas Ltd.  8.250 %  1/17/34    2,925     3,086  
  Vale Overseas Ltd.  6.875 %  11/21/36    16,237     14,979  
  Weyerhaeuser Co.  7.375 %  3/15/32    8,755     5,934  
 
  Capital Goods (0.9%)                   
  3M Co.  5.125 %  11/6/09    1,650     1,684  
  3M Co.  5.700 %  3/15/37    3,650     4,004  
2,3  BAE Systems Asset Trust  7.156 %  12/15/11    1,865     1,927  
3  BAE Systems Holdings Inc.  5.200 %  8/15/15    700     654  
  Bemis Co. Inc.  4.875 %  4/1/12    1,500     1,393  
  Black & Decker Corp.  7.125 %  6/1/11    500     495  
  Black & Decker Corp.  5.750 %  11/15/16    2,950     2,454  
  Boeing Capital Corp.  7.375 %  9/27/10    3,250     3,457  
  Boeing Capital Corp.  6.500 %  2/15/12    15,175     16,069  
  Boeing Capital Corp.  5.800 %  1/15/13    6,540     6,814  
  Boeing Co.  8.750 %  8/15/21    1,000     1,223  
  Boeing Co.  7.250 %  6/15/25    2,275     2,590  
  Boeing Co.  8.750 %  9/15/31    975     1,265  
  Boeing Co.  6.125 %  2/15/33    950     1,000  
  Boeing Co.  6.625 %  2/15/38    2,345     2,508  
  Caterpillar Financial Services Corp.  4.150 %  1/15/10    10,000     9,902  
  Caterpillar Financial Services Corp.  4.300 %  6/1/10    7,625     7,495  
  Caterpillar Financial Services Corp.  5.125 %  10/12/11    700     700  
  Caterpillar Financial Services Corp.  4.850 %  12/7/12    400     395  
  Caterpillar Financial Services Corp.  4.250 %  2/8/13    4,725     4,553  
  Caterpillar Financial Services Corp.  4.750 %  2/17/15    5,775     5,444  
  Caterpillar Financial Services Corp.  4.625 %  6/1/15    3,125     2,918  
  Caterpillar, Inc.  7.000 %  12/15/13    2,000     2,151  
  Caterpillar, Inc.  6.625 %  7/15/28    850     855  
  Caterpillar, Inc.  7.300 %  5/1/31    700     751  
  Caterpillar, Inc.  6.050 %  8/15/36    19,300     19,638  
  Caterpillar, Inc.  8.250 %  12/15/38    1,000     1,226  
  Caterpillar, Inc.  6.950 %  5/1/42    1,275     1,280  
  Caterpillar, Inc.  7.375 %  3/1/97    6,150     6,324  
  Cooper Industries, Inc.  5.250 %  11/15/12    4,425     4,441  
  Cooper Industries, Inc.  5.450 %  4/1/15    2,450     2,395  
  CRH America Inc.  5.625 %  9/30/11    4,375     3,634  
  CRH America Inc.  6.950 %  3/15/12    6,210     5,188  
  CRH America Inc.  5.300 %  10/15/13    875     622  
  CRH America Inc.  6.000 %  9/30/16    15,375     9,736  
  CRH America Inc.  8.125 %  7/15/18    15,025     10,940  
  CRH America Inc.  6.400 %  10/15/33    2,120     1,230  
  Danaher Corp.  5.625 %  1/15/18    2,850     2,941  
  Deere & Co.  6.950 %  4/25/14    6,595     6,973  
  Deere & Co.  8.100 %  5/15/30    3,755     4,245  
  Deere & Co.  7.125 %  3/3/31    725     755  
  Dover Corp.  5.450 %  3/15/18    8,100     8,378  
  Dover Corp.  5.375 %  10/15/35    650     624  
  Dover Corp.  6.600 %  3/15/38    3,275     3,784  
  Eaton Corp.  4.900 %  5/15/13    3,850     3,700  
  Eaton Corp.  5.600 %  5/15/18    2,700     2,590  
  Embraer Overseas Ltd.  6.375 %  1/24/17    5,775     4,158  
  Emerson Electric Co.  7.125 %  8/15/10    3,600     3,780  
  Emerson Electric Co.  4.625 %  10/15/12    8,425     8,492  
  Emerson Electric Co.  4.500 %  5/1/13    4,900     4,901  
  Emerson Electric Co.  5.250 %  10/15/18    7,925     8,089  
  General Dynamics Corp.  4.500 %  8/15/10    25     25  
  General Dynamics Corp.  4.250 %  5/15/13    8,615     8,533  
  General Dynamics Corp.  5.250 %  2/1/14    3,650     3,757  
  General Electric Co.  5.000 %  2/1/13    35,815     36,350  
  General Electric Co.  5.250 %  12/6/17    8,275     8,345  
  Harsco Corp.  5.750 %  5/15/18    6,125     6,222  

Page 24


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Honeywell International, Inc.  7.500 %  3/1/10    1,500     1,566  
Honeywell International, Inc.  6.125 %  11/1/11    3,125     3,296  
Honeywell International, Inc.  5.625 %  8/1/12    4,200     4,376  
Honeywell International, Inc.  4.250 %  3/1/13    1,400     1,393  
Honeywell International, Inc.  5.400 %  3/15/16    2,075     2,121  
Honeywell International, Inc.  5.300 %  3/15/17    6,475     6,569  
Honeywell International, Inc.  5.300 %  3/1/18    700     711  
Honeywell International, Inc.  5.700 %  3/15/36    2,775     2,786  
Ingersoll-Rand GL Holding Company  6.000 %  8/15/13    5,100     4,991  
Ingersoll-Rand GL Holding Company  6.875 %  8/15/18    7,200     6,811  
John Deere Capital Corp  4.950 %  12/17/12    4,350     4,366  
John Deere Capital Corp.  5.400 %  10/17/11    5,675     5,704  
John Deere Capital Corp.  5.350 %  1/17/12    4,400     4,480  
John Deere Capital Corp.  7.000 %  3/15/12    13,245     14,219  
John Deere Capital Corp.  4.900 %  9/9/13    10,450     10,386  
John Deere Capital Corp.  5.750 %  9/10/18    5,850     5,694  
Joy Global, Inc.  6.000 %  11/15/16    2,175     1,848  
Lafarge SA  6.150 %  7/15/11    675     579  
Lafarge SA  6.500 %  7/15/16    7,925     5,354  
Lafarge SA  7.125 %  7/15/36    14,925     8,497  
Lockheed Martin Corp.  4.121 %  3/14/13    2,875     2,824  
Lockheed Martin Corp.  7.650 %  5/1/16    5,325     6,108  
Lockheed Martin Corp.  7.750 %  5/1/26    600     743  
Lockheed Martin Corp.  6.150 %  9/1/36    11,950     13,045  
Martin Marietta Material  6.600 %  4/15/18    6,450     4,758  
Masco Corp.  5.875 %  7/15/12    3,185     2,598  
Masco Corp.  4.800 %  6/15/15    7,650     5,027  
Masco Corp.  6.125 %  10/3/16    2,600     1,786  
Masco Corp.  7.750 %  8/1/29    450     300  
Masco Corp.  6.500 %  8/15/32    2,450     1,279  
Minnesota Mining & Manufacturing Corp.  6.375 %  2/15/28    4,325     4,987  
Mohawk Industries Inc.  5.750 %  1/15/11    7,275     6,717  
Mohawk Industries Inc.  6.125 %  1/15/16    13,975     10,488  
Northrop Grumman Corp.  7.125 %  2/15/11    10,700     11,256  
Northrop Grumman Corp.  7.750 %  3/1/16    700     793  
Northrop Grumman Corp.  7.875 %  3/1/26    2,600     3,108  
Parker-Hannifin Corp.  5.500 %  5/15/18    1,600     1,557  
Parker-Hannifin Corp.  6.250 %  5/15/38    1,950     1,947  
Raytheon Co.  4.850 %  1/15/11    250     252  
Raytheon Co.  5.500 %  11/15/12    2,600     2,655  
Raytheon Co.  6.400 %  12/15/18    500     544  
Raytheon Co.  7.200 %  8/15/27    4,550     5,151  
Republic Services, Inc.  6.750 %  8/15/11    1,875     1,842  
Republic Services, Inc.  6.086 %  3/15/35    2,850     2,010  
Rockwell Automation  5.650 %  12/1/17    2,100     2,193  
Rockwell Automation  6.700 %  1/15/28    1,275     1,443  
Rockwell Automation  6.250 %  12/1/37    4,700     5,192  
Roper Industries Inc.  6.625 %  8/15/13    11,325     11,547  
Textron Financial Corp.  4.600 %  5/3/10    4,200     3,788  
Textron Financial Corp.  5.125 %  11/1/10    12,925     11,426  
Textron Financial Corp.  5.400 %  4/28/13    5,955     4,306  
Textron, Inc.  6.500 %  6/1/12    8,125     7,006  
Textron, Inc.  5.600 %  12/1/17    1,300     938  
TRW, Inc.  7.750 %  6/1/29    5,325     6,123  
Tyco International Group SA  6.750 %  2/15/11    9,850     9,441  
Tyco International Group SA  6.375 %  10/15/11    12,725     11,934  
Tyco International Group SA  6.000 %  11/15/13    5,850     5,182  
Tyco International Group SA  7.000 %  12/15/19    2,350     1,960  
United Technologies Corp.  4.375 %  5/1/10    1,275     1,286  
United Technologies Corp.  7.125 %  11/15/10    250     266  
United Technologies Corp.  6.350 %  3/1/11    8,175     8,538  
United Technologies Corp.  5.375 %  12/15/17    15,150     15,525  
United Technologies Corp.  8.875 %  11/15/19    3,150     4,093  
United Technologies Corp.  6.700 %  8/1/28    1,642     1,822  
United Technologies Corp.  7.500 %  9/15/29    2,800     3,388  
United Technologies Corp.  5.400 %  5/1/35    4,150     3,970  

Page 25


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
United Technologies Corp.  6.050 %  6/1/36    10,850     11,512  
United Technologies Corp.  6.125 %  7/15/38    2,750     2,991  
Vulcan Materials Co.  6.300 %  6/15/13    3,200     2,939  
Vulcan Materials Co.  7.000 %  6/15/18    5,550     4,283  
Waste Management, Inc.  7.375 %  8/1/10    875     887  
Waste Management, Inc.  6.375 %  11/15/12    800     761  
Waste Management, Inc.  5.000 %  3/15/14    500     435  
Waste Management, Inc.  7.750 %  5/15/32    525     465  
WMX Technologies Inc.  7.100 %  8/1/26    1,375     1,160  
 
Communication (2.0%)                   
America Movil SA de C.V.  5.500 %  3/1/14    2,575     2,369  
America Movil SA de C.V.  5.750 %  1/15/15    2,625     2,418  
America Movil SA de C.V.  6.375 %  3/1/35    10,125     8,682  
America Movil SA de C.V.  6.125 %  11/15/37    5,125     4,177  
AT&T Inc.  5.300 %  11/15/10    4,550     4,619  
AT&T Inc.  6.250 %  3/15/11    14,990     15,357  
AT&T Inc.  7.300 %  11/15/11    6,275     6,690  
AT&T Inc.  5.875 %  2/1/12    6,730     6,906  
AT&T Inc.  5.875 %  8/15/12    5,495     5,662  
AT&T Inc.  4.950 %  1/15/13    9,000     9,068  
AT&T Inc.  6.700 %  11/15/13    1,450     1,549  
AT&T Inc.  5.100 %  9/15/14    11,525     11,500  
AT&T Inc.  5.625 %  6/15/16    42,175     42,270  
AT&T Inc.  5.500 %  2/1/18    4,865     4,855  
AT&T Inc.  5.600 %  5/15/18    5,100     5,258  
AT&T Inc.  8.000 %  11/15/31    23,755     30,793  
AT&T Inc.  6.450 %  6/15/34    6,675     7,419  
AT&T Inc.  6.800 %  5/15/36    1,675     1,949  
AT&T Inc.  6.500 %  9/1/37    21,125     23,546  
AT&T Inc.  6.300 %  1/15/38    11,900     13,050  
AT&T Wireless  7.875 %  3/1/11    15,200     16,007  
AT&T Wireless  8.125 %  5/1/12    14,155     15,181  
AT&T Wireless  8.750 %  3/1/31    4,855     5,949  
BellSouth Capital Funding Corp.  7.875 %  2/15/30    12,950     14,007  
BellSouth Corp.  4.750 %  11/15/12    2,065     2,026  
BellSouth Corp.  5.200 %  12/15/16    7,200     7,027  
BellSouth Corp.  6.875 %  10/15/31    6,275     6,461  
BellSouth Corp.  6.550 %  6/15/34    6,800     6,741  
BellSouth Corp.  6.000 %  11/15/34    3,835     3,412  
BellSouth Telecommunications Inc.  6.375 %  6/1/28    8,365     8,186  
Belo Corp.  7.250 %  9/15/27    340     161  
British Telecommunications PLC  8.625 %  12/15/10    8,735     9,033  
British Telecommunications PLC  5.150 %  1/15/13    2,000     1,836  
British Telecommunications PLC  5.950 %  1/15/18    7,100     6,084  
British Telecommunications PLC  9.125 %  12/15/30    13,135     14,025  
CBS Corp.  7.700 %  7/30/10    5,375     5,261  
CBS Corp.  6.625 %  5/15/11    2,760     2,437  
CBS Corp.  5.625 %  8/15/12    3,700     3,054  
CBS Corp.  4.625 %  5/15/18    500     318  
CBS Corp.  7.875 %  7/30/30    575     364  
CBS Corp.  5.500 %  5/15/33    675     350  
CenturyTel Enterprises  6.875 %  1/15/28    925     582  
CenturyTel, Inc.  7.875 %  8/15/12    2,375     2,082  
CenturyTel, Inc.  6.000 %  4/1/17    425     307  
Cingular Wireless LLC  6.500 %  12/15/11    2,850     2,911  
Cingular Wireless LLC  7.125 %  12/15/31    12,370     12,445  
Comcast Cable Communications Holdings Inc.  8.375 %  3/15/13    6,960     7,227  
Comcast Cable Communications Holdings Inc.  9.455 %  11/15/22    8,861     9,986  
Comcast Cable Communications, Inc.  6.750 %  1/30/11    15,865     16,037  
Comcast Cable Communications, Inc.  8.875 %  5/1/17    2,825     3,029  
Comcast Corp.  5.850 %  1/15/10    1,925     1,942  
Comcast Corp.  5.500 %  3/15/11    1,925     1,906  
Comcast Corp.  5.300 %  1/15/14    4,455     4,295  
Comcast Corp.  6.500 %  1/15/15    5,640     5,590  

Page 26


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Comcast Corp.  5.850 %  11/15/15    1,000     958  
Comcast Corp.  5.900 %  3/15/16    13,200     12,691  
Comcast Corp.  6.300 %  11/15/17    31,800     31,417  
Comcast Corp.  5.875 %  2/15/18    17,350     16,751  
Comcast Corp.  6.500 %  11/15/35    11,600     11,496  
Comcast Corp.  6.450 %  3/15/37    1,875     1,858  
Comcast Corp.  6.950 %  8/15/37    9,325     9,840  
Comcast Corp.  6.400 %  5/15/38    1,850     1,821  
Cox Communications, Inc.  4.625 %  1/15/10    1,300     1,257  
Cox Communications, Inc.  6.750 %  3/15/11    20,075     19,217  
Cox Communications, Inc.  7.125 %  10/1/12    5,800     5,479  
Cox Communications, Inc.  5.450 %  12/15/14    11,825     10,329  
Cox Communications, Inc.  5.500 %  10/1/15    725     643  
Deutsche Telekom International Finance  8.500 %  6/15/10    24,335     25,322  
Deutsche Telekom International Finance  5.875 %  8/20/13    450     452  
Deutsche Telekom International Finance  5.750 %  3/23/16    9,225     8,796  
Deutsche Telekom International Finance  6.750 %  8/20/18    425     432  
Deutsche Telekom International Finance  8.750 %  6/15/30    21,580     26,544  
Embarq Corp.  6.738 %  6/1/13    650     531  
Embarq Corp.  7.082 %  6/1/16    20,625     15,839  
Embarq Corp.  7.995 %  6/1/36    3,990     2,543  
France Telecom  7.750 %  3/1/11    15,475     16,284  
France Telecom  8.500 %  3/1/31    17,000     20,570  
Gannett Co., Inc.  6.375 %  4/1/12    5,025     3,280  
Grupo Televisa SA  6.625 %  3/18/25    4,125     3,527  
Grupo Televisa SA  8.500 %  3/11/32    750     686  
GTE Corp.  8.750 %  11/1/21    3,835     4,124  
GTE Corp.  6.940 %  4/15/28    4,620     4,394  
Koninklijke KPN NV  8.000 %  10/1/10    780     785  
Koninklijke KPN NV  8.375 %  10/1/30    5,615     5,876  
McGraw-Hill Cos. Inc.  5.375 %  11/15/12    1,550     1,387  
McGraw-Hill Cos. Inc.  5.900 %  11/15/17    5,975     5,041  
McGraw-Hill Cos. Inc.  6.550 %  11/15/37    7,125     5,105  
New England Telephone & Telegraph Co.  7.875 %  11/15/29    775     699  
News America Holdings, Inc.  9.250 %  2/1/13    151     163  
News America Holdings, Inc.  8.000 %  10/17/16    4,425     4,668  
News America Holdings, Inc.  7.700 %  10/30/25    900     926  
News America Holdings, Inc.  8.150 %  10/17/36    2,625     2,855  
News America Holdings, Inc.  7.750 %  12/1/45    1,775     1,692  
News America Inc.  5.300 %  12/15/14    1,300     1,184  
News America Inc.  7.250 %  5/18/18    150     152  
News America Inc.  6.550 %  3/15/33    275     246  
News America Inc.  6.200 %  12/15/34    17,435     15,380  
News America Inc.  6.400 %  12/15/35    16,210     15,722  
News America Inc.  6.650 %  11/15/37    1,050     1,016  
Omnicom Group Inc.  5.900 %  4/15/16    925     753  
Pacific Bell  7.125 %  3/15/26    1,700     1,778  
Qwest Communications International Inc.  7.875 %  9/1/11    5,250     4,673  
Qwest Communications International Inc.  8.875 %  3/15/12    5,800     5,336  
Qwest Communications International Inc.  7.500 %  10/1/14    10,125     8,277  
Qwest Communications International Inc.  6.500 %  6/1/17    3,875     2,868  
R.R. Donnelley & Sons Co.  4.950 %  5/15/10    3,400     3,150  
R.R. Donnelley & Sons Co.  5.625 %  1/15/12    1,850     1,648  
R.R. Donnelley & Sons Co.  4.950 %  4/1/14    1,275     1,025  
R.R. Donnelley & Sons Co.  5.500 %  5/15/15    1,585     1,110  
R.R. Donnelley & Sons Co.  6.125 %  1/15/17    225     155  
Reed Elsevier Capital  4.625 %  6/15/12    1,375     1,313  
Rogers Communications Inc.  7.250 %  12/15/12    3,940     3,846  
Rogers Communications Inc.  6.375 %  3/1/14    11,700     11,276  
Rogers Communications Inc.  5.500 %  3/15/14    750     699  
Rogers Communications Inc.  6.800 %  8/15/18    15,075     15,263  
Rogers Communications Inc.  7.500 %  8/15/38    600     660  
TCI Communications, Inc.  8.750 %  8/1/15    17,480     18,386  
TCI Communications, Inc.  7.875 %  2/15/26    425     425  
Tele-Communications, Inc.  7.875 %  8/1/13    19,826     20,266  
Telecom Italia Capital  4.000 %  1/15/10    4,300     4,047  

Page 27


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Telecom Italia Capital  4.875 %  10/1/10    3,400     3,115  
Telecom Italia Capital  6.200 %  7/18/11    9,600     8,490  
Telecom Italia Capital  5.250 %  11/15/13    7,663     6,174  
Telecom Italia Capital  4.950 %  9/30/14    4,210     3,188  
Telecom Italia Capital  5.250 %  10/1/15    9,355     7,126  
Telecom Italia Capital  6.999 %  6/4/18    740     648  
Telecom Italia Capital  6.375 %  11/15/33    5,920     4,199  
Telecom Italia Capital  6.000 %  9/30/34    1,000     684  
Telecom Italia Capital  7.200 %  7/18/36    3,285     2,572  
Telecom Italia Capital  7.721 %  6/4/38    1,525     1,268  
Telefonica Emisiones SAU  5.984 %  6/20/11    9,825     9,776  
Telefonica Emisiones SAU  5.855 %  2/4/13    2,500     2,362  
Telefonica Emisiones SAU  6.421 %  6/20/16    17,275     17,228  
Telefonica Emisiones SAU  7.045 %  6/20/36    7,425     8,279  
Telefonica Europe BV  7.750 %  9/15/10    12,775     12,988  
Telefonica Europe BV  8.250 %  9/15/30    5,775     6,702  
Telefonos de Mexico SA  4.750 %  1/27/10    2,850     2,861  
Telefonos de Mexico SA  5.500 %  1/27/15    18,725     16,946  
Telus Corp.  8.000 %  6/1/11    10,000     9,910  
Thomson Corp.  6.200 %  1/5/12    5,725     5,522  
Thomson Corp.  5.700 %  10/1/14    10,025     9,010  
Thomson Corp.  6.500 %  7/15/18    775     720  
Thomson Corp.  5.500 %  8/15/35    6,400     4,770  
Thomson Reuters Corp.  5.950 %  7/15/13    2,325     2,165  
Time Warner Cable Inc.  5.400 %  7/2/12    7,050     6,667  
Time Warner Cable Inc.  6.200 %  7/1/13    8,225     7,900  
Time Warner Cable Inc.  8.250 %  2/14/14    4,675     4,773  
Time Warner Cable Inc.  5.850 %  5/1/17    21,620     19,592  
Time Warner Cable Inc.  6.750 %  7/1/18    15,350     14,752  
Time Warner Cable Inc.  8.750 %  2/14/19    7,300     7,871  
Time Warner Cable Inc.  6.550 %  5/1/37    2,900     2,767  
Time Warner Cable Inc.  7.300 %  7/1/38    4,470     4,688  
Time Warner Entertainment  10.150 %  5/1/12    1,075     1,098  
Time Warner Entertainment  8.875 %  10/1/12    850     846  
Time Warner Entertainment  8.375 %  3/15/23    2,815     2,823  
Time Warner Entertainment  8.375 %  7/15/33    8,735     8,766  
US Cellular  6.700 %  12/15/33    3,800     2,771  
US West Communications Group  7.500 %  6/15/23    4,575     3,180  
US West Communications Group  6.875 %  9/15/33    6,325     3,763  
Verizon Communications Corp.  5.350 %  2/15/11    7,950     8,101  
Verizon Communications Corp.  4.350 %  2/15/13    50     48  
Verizon Communications Corp.  5.250 %  4/15/13    5,525     5,443  
Verizon Communications Corp.  5.550 %  2/15/16    11,325     11,144  
Verizon Communications Corp.  5.500 %  2/15/18    21,650     21,379  
Verizon Communications Corp.  8.750 %  11/1/18    2,975     3,532  
Verizon Communications Corp.  6.250 %  4/1/37    2,575     2,654  
Verizon Communications Corp.  6.400 %  2/15/38    6,925     7,433  
Verizon Communications Corp.  6.900 %  4/15/38    7,375     8,430  
Verizon Communications Corp.  8.950 %  3/1/39    12,700     16,644  
Verizon Global Funding Corp.  7.250 %  12/1/10    8,050     8,573  
Verizon Global Funding Corp.  6.875 %  6/15/12    17,400     18,227  
Verizon Global Funding Corp.  7.375 %  9/1/12    7,975     8,506  
Verizon Global Funding Corp.  4.375 %  6/1/13    1,060     1,018  
Verizon Global Funding Corp.  7.750 %  12/1/30    7,340     8,154  
Verizon Global Funding Corp.  5.850 %  9/15/35    17,300     16,797  
Verizon Maryland, Inc.  6.125 %  3/1/12    500     486  
Verizon Maryland, Inc.  5.125 %  6/15/33    450     330  
Verizon New England, Inc.  6.500 %  9/15/11    4,670     4,722  
Verizon New Jersey, Inc.  5.875 %  1/17/12    7,815     7,694  
Verizon New York, Inc.  6.875 %  4/1/12    3,350     3,348  
Verizon New York, Inc.  7.375 %  4/1/32    2,625     2,196  
Verizon Pennsylvania, Inc.  5.650 %  11/15/11    11,125     10,729  
Verizon Virginia, Inc.  4.625 %  3/15/13    7,325     6,629  
3 Verizon Wireless Inc.  7.375 %  11/15/13    7,025     7,398  
3 Verizon Wireless Inc.  8.500 %  11/15/18    5,425     6,258  
Vodafone AirTouch PLC  7.750 %  2/15/10    1,955     1,997  

Page 28


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Vodafone AirTouch PLC  7.875 %  2/15/30    4,900     5,415  
Vodafone Group PLC  5.350 %  2/27/12    1,575     1,560  
Vodafone Group PLC  5.000 %  12/16/13    1,475     1,425  
Vodafone Group PLC  5.375 %  1/30/15    4,675     4,484  
Vodafone Group PLC  5.000 %  9/15/15    2,025     1,894  
Vodafone Group PLC  5.750 %  3/15/16    7,025     6,676  
Vodafone Group PLC  5.625 %  2/27/17    16,275     15,655  
Vodafone Group PLC  6.250 %  11/30/32    9,225     8,732  
Vodafone Group PLC  6.150 %  2/27/37    4,275     4,291  
WPP Finance USA Corp.  5.875 %  6/15/14    3,875     3,481  
 
Consumer Cyclical (1.1%)                   
3 Best Buy Co.  6.750 %  7/15/13    12,100     11,151  
Brinker International Inc.  5.750 %  6/1/14    1,925     1,429  
Costco Wholesale Corp.  5.500 %  3/15/17    16,850     17,958  
CVS Caremark Corp.  5.750 %  8/15/11    2,025     2,006  
CVS Caremark Corp.  4.875 %  9/15/14    2,750     2,500  
CVS Caremark Corp.  5.750 %  6/1/17    2,555     2,407  
CVS Caremark Corp.  6.250 %  6/1/27    20,975     19,522  
2 CVS Caremark Corp.  6.302 %  6/1/37    5,325     2,297  
DaimlerChrysler North America Holding Corp.  4.875 %  6/15/10    1,700     1,538  
DaimlerChrysler North America Holding Corp.  8.000 %  6/15/10    1,300     1,222  
DaimlerChrysler North America Holding Corp.  5.875 %  3/15/11    11,035     9,490  
DaimlerChrysler North America Holding Corp.  5.750 %  9/8/11    13,895     11,811  
DaimlerChrysler North America Holding Corp.  7.300 %  1/15/12    22,870     19,554  
DaimlerChrysler North America Holding Corp.  6.500 %  11/15/13    16,300     13,040  
DaimlerChrysler North America Holding Corp.  8.500 %  1/18/31    9,130     6,660  
Darden Restaurants Inc.  5.625 %  10/15/12    5,700     5,003  
Darden Restaurants Inc.  6.200 %  10/15/17    9,575     7,513  
Darden Restaurants Inc.  6.800 %  10/15/37    3,300     2,269  
Federated Retail Holding  5.350 %  3/15/12    3,850     2,882  
Federated Retail Holding  5.900 %  12/1/16    12,875     7,881  
Federated Retail Holding  6.375 %  3/15/37    2,775     1,581  
Home Depot Inc.  4.625 %  8/15/10    9,800     9,434  
Home Depot Inc.  5.200 %  3/1/11    1,675     1,637  
Home Depot Inc.  5.250 %  12/16/13    12,025     11,090  
Home Depot Inc.  5.400 %  3/1/16    3,950     3,511  
Home Depot Inc.  5.875 %  12/16/36    9,250     7,270  
ITT Corp.  7.375 %  11/15/15    12,800     8,135  
J.C. Penney Co., Inc.  8.000 %  3/1/10    6,625     6,211  
J.C. Penney Co., Inc.  7.950 %  4/1/17    4,950     3,721  
J.C. Penney Co., Inc.  5.750 %  2/15/18    700     471  
J.C. Penney Co., Inc.  6.375 %  10/15/36    7,850     4,837  
J.C. Penney Co., Inc.  7.400 %  4/1/37    3,275     2,220  
Johnson Controls, Inc.  5.250 %  1/15/11    3,875     3,501  
Johnson Controls, Inc.  6.000 %  1/15/36    1,025     649  
Kohl’s Corp.  6.250 %  12/15/17    2,775     2,243  
Kohl’s Corp.  6.000 %  1/15/33    825     528  
Kohl’s Corp.  6.875 %  12/15/37    2,450     1,743  
Lowe’s Cos., Inc.  8.250 %  6/1/10    1,000     1,055  
Lowe’s Cos., Inc.  5.600 %  9/15/12    3,500     3,527  
Lowe’s Cos., Inc.  5.400 %  10/15/16    13,325     12,755  
Lowe’s Cos., Inc.  6.100 %  9/15/17    2,675     2,586  
Lowe’s Cos., Inc.  6.875 %  2/15/28    460     452  
Lowe’s Cos., Inc.  6.500 %  3/15/29    4,726     4,362  
Lowe’s Cos., Inc.  5.500 %  10/15/35    200     162  
Lowe’s Cos., Inc.  5.800 %  10/15/36    7,825     6,540  
Macy’s Retail Holdings Inc.  5.750 %  7/15/14    4,325     2,744  
Macy’s Retail Holdings Inc.  6.650 %  7/15/24    2,600     1,431  
Macy’s Retail Holdings Inc.  6.790 %  7/15/27    2,805     1,480  
Macy’s Retail Holdings Inc.  7.000 %  2/15/28    1,625     875  
Macys Retail Holdings Inc.  6.625 %  4/1/11    3,225     2,740  
Macys Retail Holdings Inc.  6.900 %  4/1/29    7,200     3,878  
Marriott International  4.625 %  6/15/12    3,925     2,974  
Marriott International  5.625 %  2/15/13    2,825     2,139  

Page 29


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Marriott International  6.200 %  6/15/16    1,650     1,148  
Marriott International  6.375 %  6/15/17    2,000     1,383  
McDonald’s Corp.  6.000 %  4/15/11    3,385     3,592  
McDonald’s Corp.  5.300 %  3/15/17    1,000     1,028  
McDonald’s Corp.  5.800 %  10/15/17    6,725     7,173  
McDonald’s Corp.  5.350 %  3/1/18    6,275     6,520  
McDonald’s Corp.  6.300 %  10/15/37    2,475     2,691  
McDonald’s Corp.  6.300 %  3/1/38    1,975     2,178  
MDC Holdings Inc.  5.500 %  5/15/13    3,625     2,826  
Nordstrom, Inc.  6.250 %  1/15/18    1,825     1,284  
Nordstrom, Inc.  6.950 %  3/15/28    1,325     868  
Nordstrom, Inc.  7.000 %  1/15/38    1,250     761  
Starwood Hotel Resorts  7.875 %  5/1/12    3,875     2,985  
Starwood Hotel Resorts  6.250 %  2/15/13    4,300     2,969  
Target Corp.  7.500 %  8/15/10    1,700     1,772  
Target Corp.  6.350 %  1/15/11    2,645     2,729  
Target Corp.  5.875 %  3/1/12    6,200     6,397  
Target Corp.  5.125 %  1/15/13    7,100     7,064  
Target Corp.  4.000 %  6/15/13    1,945     1,848  
Target Corp.  5.875 %  7/15/16    20,100     19,739  
Target Corp.  5.375 %  5/1/17    4,950     4,679  
Target Corp.  6.000 %  1/15/18    12,400     12,083  
Target Corp.  7.000 %  7/15/31    3,035     2,788  
Target Corp.  6.350 %  11/1/32    7,425     6,294  
Target Corp.  6.500 %  10/15/37    7,550     6,647  
Target Corp.  7.000 %  1/15/38    5,475     5,122  
The Walt Disney Co.  5.700 %  7/15/11    17,375     18,322  
The Walt Disney Co.  6.375 %  3/1/12    1,250     1,329  
The Walt Disney Co.  4.700 %  12/1/12    675     693  
The Walt Disney Co.  4.500 %  12/15/13    8,825     8,888  
The Walt Disney Co.  5.625 %  9/15/16    7,500     7,763  
The Walt Disney Co.  5.875 %  12/15/17    6,325     6,642  
The Walt Disney Co.  7.000 %  3/1/32    1,350     1,582  
Time Warner, Inc.  6.750 %  4/15/11    9,100     8,943  
Time Warner, Inc.  5.500 %  11/15/11    6,825     6,363  
Time Warner, Inc.  6.875 %  5/1/12    6,975     6,773  
Time Warner, Inc.  9.125 %  1/15/13    825     829  
Time Warner, Inc.  5.875 %  11/15/16    11,125     10,054  
Time Warner, Inc.  9.150 %  2/1/23    11,825     13,079  
Time Warner, Inc.  7.570 %  2/1/24    1,500     1,435  
Time Warner, Inc.  6.625 %  5/15/29    9,400     8,255  
Time Warner, Inc.  7.625 %  4/15/31    10,675     10,543  
Time Warner, Inc.  7.700 %  5/1/32    4,745     4,708  
Time Warner, Inc.  6.500 %  11/15/36    8,650     7,717  
Toll Brothers, Inc.  6.875 %  11/15/12    750     640  
Toll Brothers, Inc.  5.150 %  5/15/15    3,900     2,808  
Toyota Motor Credit Corp.  4.250 %  3/15/10    16,875     16,971  
Toyota Motor Credit Corp.  4.350 %  12/15/10    5,475     5,553  
Toyota Motor Credit Corp.  5.450 %  5/18/11    3,675     3,807  
VF Corp.  5.950 %  11/1/17    3,125     2,787  
VF Corp.  6.450 %  11/1/37    2,850     2,328  
Viacom Inc.  5.750 %  4/30/11    2,175     1,962  
Viacom Inc.  6.250 %  4/30/16    7,275     6,068  
Viacom Inc.  6.125 %  10/5/17    2,300     1,882  
Viacom Inc.  6.875 %  4/30/36    590     474  
Wal-Mart Stores, Inc.  4.125 %  7/1/10    12,125     12,313  
Wal-Mart Stores, Inc.  4.750 %  8/15/10    6,575     6,837  
Wal-Mart Stores, Inc.  4.125 %  2/15/11    25,025     25,896  
Wal-Mart Stores, Inc.  4.250 %  4/15/13    1,950     2,019  
Wal-Mart Stores, Inc.  4.550 %  5/1/13    1,700     1,771  
Wal-Mart Stores, Inc.  7.250 %  6/1/13    800     914  
Wal-Mart Stores, Inc.  4.500 %  7/1/15    1,050     1,062  
Wal-Mart Stores, Inc.  5.375 %  4/5/17    2,450     2,625  
Wal-Mart Stores, Inc.  5.800 %  2/15/18    3,775     4,145  
Wal-Mart Stores, Inc.  5.875 %  4/5/27    21,675     23,197  
Wal-Mart Stores, Inc.  7.550 %  2/15/30    14,420     17,689  

Page 30


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Wal-Mart Stores, Inc.  5.250 %  9/1/35    5,600     5,623  
Wal-Mart Stores, Inc.  6.500 %  8/15/37    14,125     16,913  
Wal-Mart Stores, Inc.  6.200 %  4/15/38    2,625     2,936  
Walgreen Co.  4.875 %  8/1/13    14,700     15,252  
Western Union Co.  5.400 %  11/17/11    4,925     4,706  
Western Union Co.  5.930 %  10/1/16    6,750     5,878  
Western Union Co.  6.200 %  11/17/36    3,375     2,636  
Wyndham Worldwide  6.000 %  12/1/16    7,895     3,197  
Yum! Brands, Inc.  8.875 %  4/15/11    3,475     3,498  
Yum! Brands, Inc.  7.700 %  7/1/12    3,050     3,011  
Yum! Brands, Inc.  6.250 %  4/15/16    4,525     3,869  
Yum! Brands, Inc.  6.250 %  3/15/18    3,400     2,960  
Yum! Brands, Inc.  6.875 %  11/15/37    10,075     8,123  
 
Consumer Noncyclical (2.0%)                   
Abbott Laboratories  3.750 %  3/15/11    6,450     6,582  
Abbott Laboratories  5.600 %  5/15/11    9,000     9,541  
Abbott Laboratories  5.150 %  11/30/12    3,475     3,729  
Abbott Laboratories  4.350 %  3/15/14    925     943  
Abbott Laboratories  5.875 %  5/15/16    19,650     21,545  
Abbott Laboratories  5.600 %  11/30/17    4,500     4,849  
Abbott Laboratories  6.150 %  11/30/37    4,400     5,191  
Allergan Inc.  5.750 %  4/1/16    1,375     1,325  
Altria Group, Inc.  8.500 %  11/10/13    8,575     8,972  
Altria Group, Inc.  9.700 %  11/10/18    3,600     3,901  
Altria Group, Inc.  9.950 %  11/10/38    6,300     6,901  
AmerisourceBergen Corp.  5.625 %  9/15/12    1,275     1,184  
AmerisourceBergen Corp.  5.875 %  9/15/15    7,300     6,462  
Amgen Inc.  4.850 %  11/18/14    5,975     5,873  
Amgen Inc.  5.850 %  6/1/17    10,800     11,139  
Amgen Inc.  6.375 %  6/1/37    4,500     4,779  
Amgen Inc.  6.900 %  6/1/38    1,250     1,429  
Anheuser-Busch Cos., Inc.  6.000 %  4/15/11    1,500     1,514  
Anheuser-Busch Cos., Inc.  4.375 %  1/15/13    5,325     4,913  
Anheuser-Busch Cos., Inc.  5.600 %  3/1/17    6,375     5,928  
Anheuser-Busch Cos., Inc.  5.500 %  1/15/18    13,325     12,146  
Anheuser-Busch Cos., Inc.  6.800 %  8/20/32    2,600     2,408  
Anheuser-Busch Cos., Inc.  5.750 %  4/1/36    5,475     4,438  
Archer-Daniels-Midland Co.  8.375 %  4/15/17    625     730  
Archer-Daniels-Midland Co.  5.450 %  3/15/18    10,725     10,663  
Archer-Daniels-Midland Co.  7.000 %  2/1/31    3,900     4,070  
Archer-Daniels-Midland Co.  5.935 %  10/1/32    4,725     4,420  
Archer-Daniels-Midland Co.  5.375 %  9/15/35    7,775     6,743  
Archer-Daniels-Midland Co.  6.450 %  1/15/38    1,950     1,983  
AstraZeneca PLC  5.400 %  9/15/12    20,375     21,597  
AstraZeneca PLC  5.400 %  6/1/14    3,750     3,923  
AstraZeneca PLC  5.900 %  9/15/17    15,350     16,406  
AstraZeneca PLC  6.450 %  9/15/37    18,150     20,736  
Baxter Finco, BV  4.750 %  10/15/10    6,875     6,887  
Baxter International, Inc.  5.900 %  9/1/16    2,575     2,775  
Baxter International, Inc.  6.250 %  12/1/37    4,375     4,971  
Biogen Idec Inc.  6.000 %  3/1/13    9,775     9,902  
Biogen Idec Inc.  6.875 %  3/1/18    14,925     14,869  
Bottling Group LLC  4.625 %  11/15/12    16,685     16,879  
Bottling Group LLC  5.000 %  11/15/13    2,525     2,510  
Bottling Group LLC  5.500 %  4/1/16    7,325     7,333  
Bristol-Myers Squibb Co.  5.250 %  8/15/13    350     374  
Bristol-Myers Squibb Co.  5.450 %  5/1/18    2,725     2,819  
Bristol-Myers Squibb Co.  7.150 %  6/15/23    500     591  
Bristol-Myers Squibb Co.  6.800 %  11/15/26    250     288  
Bristol-Myers Squibb Co.  5.875 %  11/15/36    17,450     18,713  
Bristol-Myers Squibb Co.  6.125 %  5/1/38    2,925     3,249  
Bristol-Myers Squibb Co.  6.875 %  8/1/97    1,125     1,305  
Bunge Ltd. Finance Corp.  5.100 %  7/15/15    1,950     1,444  
C.R. Bard, Inc.  6.700 %  12/1/26    6,300     6,286  

Page 31


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Campbell Soup Co.  6.750 %  2/15/11    6,500     6,859  
Cardinal Health, Inc.  5.650 %  6/15/12    700     675  
Cardinal Health, Inc.  4.000 %  6/15/15    650     548  
Cardinal Health, Inc.  5.800 %  10/15/16    2,150     1,963  
Cardinal Health, Inc.  5.850 %  12/15/17    1,730     1,548  
Cia. Brasil de Bebidas AmBev  10.500 %  12/15/11    4,055     4,440  
Cia. Brasil de Bebidas AmBev  8.750 %  9/15/13    4,850     5,093  
Clorox Co.  4.200 %  1/15/10    2,050     2,028  
Clorox Co.  5.000 %  1/15/15    2,250     2,129  
Coca-Cola Co.  5.350 %  11/15/17    13,175     14,205  
Coca-Cola Enterprises Inc.  4.250 %  9/15/10    340     342  
Coca-Cola Enterprises Inc.  5.000 %  8/15/13    10,800     10,737  
Coca-Cola Enterprises Inc.  7.375 %  3/3/14    4,400     4,851  
Coca-Cola Enterprises Inc.  8.500 %  2/1/22    13,675     15,953  
Coca-Cola Enterprises Inc.  8.000 %  9/15/22    1,550     1,746  
Coca-Cola Enterprises Inc.  7.000 %  10/1/26    4,100     4,282  
Coca-Cola Enterprises Inc.  6.950 %  11/15/26    3,345     3,477  
Coca-Cola Enterprises Inc.  6.750 %  9/15/28    1,575     1,606  
Coca-Cola HBC Finance BV  5.125 %  9/17/13    1,270     1,253  
ConAgra Foods, Inc.  7.875 %  9/15/10    5,816     5,928  
ConAgra Foods, Inc.  6.750 %  9/15/11    895     900  
ConAgra Foods, Inc.  5.819 %  6/15/17    1,176     1,104  
ConAgra Foods, Inc.  9.750 %  3/1/21    129     153  
ConAgra Foods, Inc.  7.125 %  10/1/26    1,000     957  
ConAgra Foods, Inc.  7.000 %  10/1/28    875     837  
ConAgra Foods, Inc.  8.250 %  9/15/30    1,420     1,506  
Covidien International  5.450 %  10/15/12    3,325     3,249  
Covidien International  6.000 %  10/15/17    3,775     3,700  
Covidien International  6.550 %  10/15/37    5,125     5,046  
Delhaize America Inc.  9.000 %  4/15/31    2,800     2,834  
Diageo Capital PLC  7.250 %  11/1/09    450     457  
Diageo Capital PLC  4.375 %  5/3/10    1,530     1,537  
Diageo Capital PLC  5.200 %  1/30/13    10,350     10,351  
Diageo Capital PLC  5.500 %  9/30/16    1,700     1,605  
Diageo Capital PLC  5.750 %  10/23/17    8,525     8,280  
Diageo Capital PLC  5.875 %  9/30/36    1,075     1,015  
Diageo Finance BV  5.300 %  10/28/15    7,975     7,811  
3 Dr. Pepper Snapple Group  6.120 %  5/1/13    2,100     2,051  
3 Dr. Pepper Snapple Group  6.820 %  5/1/18    5,850     5,708  
3 Dr. Pepper Snapple Group  7.450 %  5/1/38    1,225     1,215  
Eli Lilly & Co.  6.000 %  3/15/12    3,825     4,124  
Eli Lilly & Co.  5.200 %  3/15/17    11,900     12,154  
Eli Lilly & Co.  5.500 %  3/15/27    6,725     6,864  
Eli Lilly & Co.  5.550 %  3/15/37    1,050     1,085  
Estee Lauder Ace Trust I  6.000 %  5/15/37    925     869  
Fortune Brands Inc.  5.125 %  1/15/11    3,725     3,597  
Fortune Brands Inc.  5.375 %  1/15/16    13,950     11,824  
Fortune Brands Inc.  5.875 %  1/15/36    3,625     2,659  
Genentech Inc.  4.400 %  7/15/10    1,350     1,359  
Genentech Inc.  4.750 %  7/15/15    2,620     2,594  
Genentech Inc.  5.250 %  7/15/35    4,100     3,946  
General Mills, Inc.  6.000 %  2/15/12    10,907     11,203  
General Mills, Inc.  5.650 %  9/10/12    2,975     3,038  
General Mills, Inc.  5.250 %  8/15/13    4,675     4,705  
General Mills, Inc.  5.200 %  3/17/15    900     857  
General Mills, Inc.  5.700 %  2/15/17    15,375     15,296  
GlaxoSmithKline Capital Inc.  4.850 %  5/15/13    12,850     13,206  
GlaxoSmithKline Capital Inc.  4.375 %  4/15/14    3,750     3,749  
GlaxoSmithKline Capital Inc.  5.650 %  5/15/18    18,350     19,306  
GlaxoSmithKline Capital Inc.  5.375 %  4/15/34    4,450     4,422  
GlaxoSmithKline Capital Inc.  6.375 %  5/15/38    19,425     22,290  
Grand Metropolitan Investment Corp.  9.000 %  8/15/11    500     539  
Grand Metropolitan Investment Corp.  7.450 %  4/15/35    1,075     1,110  
H.J. Heinz Co.  6.625 %  7/15/11    7,200     7,415  
H.J. Heinz Co.  5.350 %  7/15/13    2,700     2,690  
H.J. Heinz Co.  6.750 %  3/15/32    3,800     3,415  

Page 32


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Hasbro Inc.  6.300 %  9/15/17    7,025     6,544  
Hershey Foods Corp.  5.450 %  9/1/16    1,550     1,552  
Hospira, Inc.  5.900 %  6/15/14    1,925     1,659  
Hospira, Inc.  6.050 %  3/30/17    250     204  
Johnson & Johnson  5.150 %  8/15/12    10,250     11,206  
Johnson & Johnson  3.800 %  5/15/13    4,715     4,938  
Johnson & Johnson  5.550 %  8/15/17    6,025     6,850  
Johnson & Johnson  5.150 %  7/15/18    2,000     2,192  
Johnson & Johnson  6.950 %  9/1/29    5,625     7,268  
Johnson & Johnson  4.950 %  5/15/33    6,100     6,301  
Johnson & Johnson  5.950 %  8/15/37    6,500     7,923  
Johnson & Johnson  5.850 %  7/15/38    5,650     6,712  
Kellogg Co.  6.600 %  4/1/11    13,325     13,991  
Kellogg Co.  5.125 %  12/3/12    6,910     7,056  
Kellogg Co.  4.250 %  3/6/13    5,200     5,190  
Kellogg Co.  7.450 %  4/1/31    240     298  
Kimberly-Clark Corp.  5.625 %  2/15/12    3,150     3,274  
Kimberly-Clark Corp.  4.875 %  8/15/15    6,250     6,135  
Kimberly-Clark Corp.  6.125 %  8/1/17    10,450     11,084  
Kimberly-Clark Corp.  6.250 %  7/15/18    175     188  
Kimberly-Clark Corp.  6.625 %  8/1/37    1,050     1,193  
Kraft Foods, Inc.  5.625 %  11/1/11    46,725     47,570  
Kraft Foods, Inc.  6.250 %  6/1/12    5,540     5,695  
Kraft Foods, Inc.  5.250 %  10/1/13    275     267  
Kraft Foods, Inc.  6.500 %  8/11/17    15,725     15,604  
Kraft Foods, Inc.  6.125 %  2/1/18    400     392  
Kraft Foods, Inc.  6.125 %  8/23/18    8,475     8,435  
Kraft Foods, Inc.  6.500 %  11/1/31    9,575     9,275  
Kraft Foods, Inc.  7.000 %  8/11/37    13,700     13,816  
Kraft Foods, Inc.  6.875 %  1/26/39    3,225     3,297  
Kroger Co.  6.800 %  4/1/11    2,600     2,630  
Kroger Co.  6.750 %  4/15/12    10,575     10,845  
Kroger Co.  6.200 %  6/15/12    7,625     7,700  
Kroger Co.  5.500 %  2/1/13    2,075     2,060  
Kroger Co.  5.000 %  4/15/13    4,750     4,625  
Kroger Co.  4.950 %  1/15/15    3,675     3,371  
Kroger Co.  6.400 %  8/15/17    1,030     1,035  
Kroger Co.  6.800 %  12/15/18    4,025     4,179  
Kroger Co.  6.150 %  1/15/20    4,550     4,451  
Kroger Co.  7.700 %  6/1/29    9,200     9,987  
Kroger Co.  8.000 %  9/15/29    1,250     1,399  
Kroger Co.  7.500 %  4/1/31    3,020     3,319  
Kroger Co.  6.900 %  4/15/38    2,925     3,093  
Laboratory Corp. of America  5.500 %  2/1/13    1,965     1,890  
Laboratory Corp. of America  5.625 %  12/15/15    2,975     2,546  
McKesson Corp.  7.750 %  2/1/12    750     767  
McKesson Corp.  5.250 %  3/1/13    12,200     11,367  
Medco Health Solutions  6.125 %  3/15/13    550     513  
Medco Health Solutions  7.250 %  8/15/13    575     549  
Medco Health Solutions  7.125 %  3/15/18    10,325     9,414  
Medtronic Inc.  4.375 %  9/15/10    2,775     2,767  
Medtronic Inc.  4.750 %  9/15/15    4,750     4,561  
Merck & Co.  5.125 %  11/15/11    3,150     3,345  
Merck & Co.  4.375 %  2/15/13    4,725     5,129  
Merck & Co.  4.750 %  3/1/15    11,925     11,914  
Merck & Co.  6.400 %  3/1/28    4,005     4,373  
Merck & Co.  5.950 %  12/1/28    2,675     2,780  
Merck & Co.  5.750 %  11/15/36    1,300     1,346  
Molson Coors Capital Finance  4.850 %  9/22/10    1,975     1,944  
Newell Rubbermaid, Inc.  4.000 %  5/1/10    2,300     2,163  
Pepsi Bottling Group, Inc.  7.000 %  3/1/29    2,200     2,387  
PepsiAmericas Inc.  5.750 %  7/31/12    3,225     3,202  
PepsiAmericas Inc.  4.875 %  1/15/15    375     344  
PepsiAmericas Inc.  5.000 %  5/15/17    4,600     4,161  
Pepsico, Inc.  5.150 %  5/15/12    2,650     2,794  
Pepsico, Inc.  4.650 %  2/15/13    17,350     18,217  

Page 33


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Pepsico, Inc.  5.000 %  6/1/18    11,525     11,814  
Pharmacia Corp.  6.500 %  12/1/18    750     881  
Pharmacia Corp.  6.600 %  12/1/28    775     867  
Philip Morris International Inc  5.650 %  5/16/18    12,100     12,041  
Philip Morris International Inc.  4.875 %  5/16/13    10,625     10,761  
Philip Morris International Inc.  6.875 %  3/17/14    8,325     8,730  
Philip Morris International Inc.  6.375 %  5/16/38    9,150     9,685  
Philips Electronics NV  4.625 %  3/11/13    4,750     4,505  
Philips Electronics NV  5.750 %  3/11/18    12,275     11,462  
Philips Electronics NV  6.875 %  3/11/38    5,900     5,618  
Procter & Gamble Co.  4.600 %  1/15/14    5,975     6,181  
Procter & Gamble Co.  4.950 %  8/15/14    1,600     1,653  
Procter & Gamble Co.  6.450 %  1/15/26    1,825     2,087  
Procter & Gamble Co.  5.550 %  3/5/37    13,475     15,115  
2 Procter & Gamble Co. ESOP  9.360 %  1/1/21    12,790     15,328  
Quest Diagnostic, Inc.  5.450 %  11/1/15    8,175     7,205  
Quest Diagnostic, Inc.  6.400 %  7/1/17    675     620  
Quest Diagnostic, Inc.  6.950 %  7/1/37    2,950     2,540  
Reynolds American Inc.  6.500 %  7/15/10    2,525     2,449  
Reynolds American Inc.  7.250 %  6/1/12    4,075     3,775  
Reynolds American Inc.  7.250 %  6/1/13    7,350     6,578  
Reynolds American Inc.  7.625 %  6/1/16    4,000     3,295  
Reynolds American Inc.  6.750 %  6/15/17    5,800     4,365  
Reynolds American Inc.  7.250 %  6/15/37    4,700     3,337  
Safeway, Inc.  4.950 %  8/16/10    3,125     3,112  
Safeway, Inc.  6.500 %  3/1/11    7,575     7,600  
Safeway, Inc.  5.800 %  8/15/12    3,650     3,637  
Safeway, Inc.  6.250 %  3/15/14    600     607  
Safeway, Inc.  6.350 %  8/15/17    800     806  
Safeway, Inc.  7.250 %  2/1/31    5,700     6,572  
Sara Lee Corp.  6.125 %  11/1/32    375     311  
Schering-Plough Corp.  5.550 %  12/1/13    19,100     19,150  
Schering-Plough Corp.  6.000 %  9/15/17    1,025     1,003  
Schering-Plough Corp.  6.750 %  12/1/33    9,075     9,443  
Schering-Plough Corp.  6.550 %  9/15/37    2,350     2,389  
Sysco Corp.  4.200 %  2/12/13    2,225     2,235  
Sysco Corp.  5.250 %  2/12/18    1,800     1,830  
Sysco Corp.  5.375 %  9/21/35    4,725     4,502  
Teva Pharmaceutical Finance LLC  5.550 %  2/1/16    550     538  
Teva Pharmaceutical Finance LLC  6.150 %  2/1/36    11,100     10,730  
Unilever Capital Corp.  7.125 %  11/1/10    10,950     11,719  
Unilever Capital Corp.  5.900 %  11/15/32    25     25  
UST, Inc.  6.625 %  7/15/12    800     769  
UST, Inc.  5.750 %  3/1/18    3,200     2,661  
Whirlpool Corp.  5.500 %  3/1/13    14,250     11,371  
Wyeth  6.950 %  3/15/11    2,450     2,595  
Wyeth  5.500 %  3/15/13    20,150     20,588  
Wyeth  5.500 %  2/1/14    5,875     5,974  
Wyeth  5.500 %  2/15/16    5,750     5,893  
Wyeth  5.450 %  4/1/17    3,875     3,945  
Wyeth  6.450 %  2/1/24    1,850     2,085  
Wyeth  6.500 %  2/1/34    1,975     2,198  
Wyeth  6.000 %  2/15/36    6,125     6,644  
Wyeth  5.950 %  4/1/37    14,020     15,257  
 
Energy (0.9%)                   
Alberta Energy Co. Ltd.  7.375 %  11/1/31    975     872  
Amerada Hess Corp.  6.650 %  8/15/11    7,450     7,355  
Amerada Hess Corp.  7.875 %  10/1/29    6,250     6,066  
Amerada Hess Corp.  7.125 %  3/15/33    6,050     5,386  
Anadarko Finance Co.  6.750 %  5/1/11    3,225     3,181  
Anadarko Finance Co.  7.500 %  5/1/31    985     872  
Anadarko Petroleum Corp.  5.950 %  9/15/16    6,700     5,876  
Anadarko Petroleum Corp.  6.450 %  9/15/36    9,670     7,636  
Apache Corp.  6.250 %  4/15/12    1,700     1,787  

Page 34


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Apache Corp.  5.250 %  4/15/13    1,000     1,023  
Apache Corp.  6.000 %  9/15/13    7,275     7,609  
Apache Corp.  5.625 %  1/15/17    1,050     1,053  
Apache Corp.  6.900 %  9/15/18    6,350     6,921  
Apache Corp.  6.000 %  1/15/37    6,500     6,228  
Apache Finance Canada Corp.  7.750 %  12/15/29    1,350     1,484  
Baker Hughes, Inc.  6.875 %  1/15/29    825     839  
BJ Services Co.  6.000 %  6/1/18    3,525     3,133  
BP Capital Markets PLC  5.250 %  11/7/13    14,925     15,705  
Burlington Resources, Inc.  6.680 %  2/15/11    4,300     4,428  
Burlington Resources, Inc.  6.500 %  12/1/11    3,975     4,072  
Burlington Resources, Inc.  7.200 %  8/15/31    850     862  
Burlington Resources, Inc.  7.400 %  12/1/31    4,575     4,755  
Cameron International Corp.  6.375 %  7/15/18    1,200     1,048  
Cameron International Corp.  7.000 %  7/15/38    625     498  
Canadian Natural Resources  5.450 %  10/1/12    5,425     5,110  
Canadian Natural Resources  5.150 %  2/1/13    1,875     1,720  
Canadian Natural Resources  4.900 %  12/1/14    5,575     4,779  
Canadian Natural Resources  6.000 %  8/15/16    5,375     4,777  
Canadian Natural Resources  7.200 %  1/15/32    5,375     4,787  
Canadian Natural Resources  6.450 %  6/30/33    6,915     5,602  
Canadian Natural Resources  6.500 %  2/15/37    9,175     7,513  
Canadian Natural Resources  6.250 %  3/15/38    1,825     1,437  
Canadian Natural Resources  6.750 %  2/1/39    1,125     936  
Conoco Funding Co.  6.350 %  10/15/11    16,085     16,898  
Conoco Funding Co.  7.250 %  10/15/31    350     374  
Conoco, Inc.  6.950 %  4/15/29    1,230     1,332  
ConocoPhillips  8.750 %  5/25/10    1,250     1,338  
ConocoPhillips  5.900 %  10/15/32    1,950     1,945  
ConocoPhillips Canada  5.300 %  4/15/12    5,025     5,072  
ConocoPhillips Canada  5.625 %  10/15/16    20,825     21,522  
ConocoPhillips Canada  5.950 %  10/15/36    3,475     3,373  
Devon Energy Corp.  7.950 %  4/15/32    5,975     6,643  
Devon Financing Corp.  6.875 %  9/30/11    10,185     10,291  
Devon Financing Corp.  7.875 %  9/30/31    8,725     9,564  
Diamond Offshore Drilling  4.875 %  7/1/15    775     722  
Encana Corp.  5.900 %  12/1/17    9,550     7,995  
Encana Corp.  6.500 %  8/15/34    10,150     8,114  
Encana Corp.  6.625 %  8/15/37    2,050     1,654  
Encana Holdings Finance Corp.  5.800 %  5/1/14    2,100     1,977  
EOG Resources Inc.  6.125 %  10/1/13    400     419  
EOG Resources Inc.  5.875 %  9/15/17    8,825     9,032  
Global Marine, Inc.  7.000 %  6/1/28    4,000     3,513  
Halliburton Co.  5.500 %  10/15/10    4,100     4,255  
Halliburton Co.  5.900 %  9/15/18    2,150     2,275  
Halliburton Co.  6.700 %  9/15/38    8,775     9,403  
Husky Energy Inc.  6.250 %  6/15/12    2,875     2,853  
Husky Energy Inc.  6.150 %  6/15/19    1,000     873  
Husky Energy Inc.  6.800 %  9/15/37    2,400     1,866  
Kerr McGee Corp.  6.875 %  9/15/11    6,850     6,774  
Kerr McGee Corp.  6.950 %  7/1/24    11,770     10,160  
Kerr McGee Corp.  7.875 %  9/15/31    1,700     1,563  
Lasmo Inc.  7.300 %  11/15/27    400     434  
Marathon Oil Corp.  6.125 %  3/15/12    9,470     9,223  
Marathon Oil Corp.  6.000 %  7/1/12    3,400     3,353  
Marathon Oil Corp.  6.000 %  10/1/17    17,225     15,070  
Marathon Oil Corp.  5.900 %  3/15/18    15,650     12,890  
Marathon Oil Corp.  6.600 %  10/1/37    10,315     7,666  
Nabors Industries Inc.  6.150 %  2/15/18    11,825     10,340  
Nexen, Inc.  5.050 %  11/20/13    6,700     6,184  
Nexen, Inc.  5.650 %  5/15/17    2,325     1,961  
Nexen, Inc.  7.875 %  3/15/32    1,100     1,044  
Nexen, Inc.  5.875 %  3/10/35    400     295  
Nexen, Inc.  6.400 %  5/15/37    12,950     10,152  
Noble Energy Inc.  8.000 %  4/1/27    175     171  
Norsk Hydro  7.250 %  9/23/27    2,125     2,355  

Page 35


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Norsk Hydro  7.150 %  1/15/29    3,475     3,783  
Occidental Petroleum  6.750 %  1/15/12    6,725     7,085  
PanCanadian Energy Corp.  7.200 %  11/1/31    7,050     6,182  
Petro-Canada  4.000 %  7/15/13    5,475     4,714  
Petro-Canada  7.875 %  6/15/26    1,675     1,563  
Petro-Canada  7.000 %  11/15/28    1,375     1,165  
Petro-Canada  5.350 %  7/15/33    5,975     3,972  
Petro-Canada  5.950 %  5/15/35    8,475     5,846  
Petro-Canada  6.800 %  5/15/38    2,400     1,804  
Petro-Canada Financial Partnership  5.000 %  11/15/14    1,600     1,333  
Petro-Canada Financial Partnership  6.050 %  5/15/18    2,400     2,029  
Questar Market Resources  6.050 %  9/1/16    3,575     3,291  
Shell International Finance BV  5.625 %  6/27/11    1,000     1,053  
Shell International Finance BV  4.950 %  3/22/12    3,450     3,567  
Shell International Finance BV  5.200 %  3/22/17    3,525     3,664  
Shell International Finance BV  6.375 %  12/15/38    15,800     17,994  
3 Statoilhydro ASA  6.500 %  12/1/28    1,200     1,231  
Suncor Energy, Inc.  6.100 %  6/1/18    3,800     3,277  
Suncor Energy, Inc.  7.150 %  2/1/32    1,700     1,444  
Suncor Energy, Inc.  5.950 %  12/1/34    150     108  
Suncor Energy, Inc.  6.500 %  6/15/38    9,875     7,514  
Sunoco, Inc.  4.875 %  10/15/14    1,700     1,419  
Sunoco, Inc.  5.750 %  1/15/17    2,300     1,939  
Talisman Energy, Inc.  5.125 %  5/15/15    1,400     1,242  
Talisman Energy, Inc.  7.250 %  10/15/27    1,050     794  
Talisman Energy, Inc.  5.850 %  2/1/37    5,500     3,812  
Tosco Corp.  8.125 %  2/15/30    18,775     22,080  
Transocean Inc.  5.250 %  3/15/13    4,200     3,895  
Transocean Inc.  6.000 %  3/15/18    6,325     5,715  
Transocean Inc.  7.500 %  4/15/31    2,650     2,370  
Transocean Inc.  6.800 %  3/15/38    6,050     5,325  
Valero Energy Corp.  6.875 %  4/15/12    17,725     17,886  
Valero Energy Corp.  4.750 %  6/15/13    340     317  
Valero Energy Corp.  7.500 %  4/15/32    5,265     4,193  
Valero Energy Corp.  6.625 %  6/15/37    5,715     4,207  
Weatherford International Inc.  5.950 %  6/15/12    750     699  
Weatherford International Inc.  5.150 %  3/15/13    1,550     1,365  
Weatherford International Inc.  6.350 %  6/15/17    5,350     4,659  
Weatherford International Inc.  6.000 %  3/15/18    2,250     1,892  
Weatherford International Inc.  6.500 %  8/1/36    10,125     7,464  
Weatherford International Inc.  6.800 %  6/15/37    1,875     1,415  
Weatherford International Inc.  7.000 %  3/15/38    2,125     1,650  
XTO Energy, Inc.  5.000 %  8/1/10    1,000     986  
XTO Energy, Inc.  5.900 %  8/1/12    6,025     5,940  
XTO Energy, Inc.  6.250 %  4/15/13    8,575     8,543  
XTO Energy, Inc.  5.750 %  12/15/13    5,875     5,682  
XTO Energy, Inc.  4.900 %  2/1/14    525     471  
XTO Energy, Inc.  5.000 %  1/31/15    1,725     1,523  
XTO Energy, Inc.  6.250 %  8/1/17    10,650     10,222  
XTO Energy, Inc.  6.500 %  12/15/18    7,675     7,506  
XTO Energy, Inc.  6.100 %  4/1/36    1,300     1,060  
XTO Energy, Inc.  6.750 %  8/1/37    8,725     8,181  
XTO Energy, Inc.  6.375 %  6/15/38    1,875     1,604  
 
Other Industrial (0.0%)                   
Cintas Corp.  6.125 %  12/1/17    2,925     2,724  
 
Technology (0.6%)                   
Agilent Technologies Inc.  6.500 %  11/1/17    9,300     6,393  
Arrow Electronics, Inc.  6.875 %  7/1/13    200     183  
BMC Software Inc.  7.250 %  6/1/18    2,775     2,599  
Cisco Systems Inc.  5.250 %  2/22/11    40,400     42,004  
Cisco Systems Inc.  5.500 %  2/22/16    3,915     4,132  
Computer Sciences Corp.  5.000 %  2/15/13    4,575     4,044  
3 Computer Sciences Corp.  5.500 %  3/15/13    2,075     1,866  

Page 36


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
3 Computer Sciences Corp.  6.500 %  3/15/18    400     334  
Corning Inc.  7.250 %  8/15/36    400     300  
Dell Inc.  4.700 %  4/15/13    7,100     6,593  
Dell Inc.  5.650 %  4/15/18    3,875     3,359  
Dell Inc.  6.500 %  4/15/38    3,800     3,133  
Dun & Bradstreet Corp.  6.000 %  4/1/13    6,000     5,700  
Electronic Data Systems  6.000 %  8/1/13    6,275     6,491  
Equifax Inc.  6.300 %  7/1/17    1,300     930  
Equifax Inc.  7.000 %  7/1/37    1,900     1,206  
Fiserv, Inc.  6.125 %  11/20/12    11,075     10,379  
Fiserv, Inc.  6.800 %  11/20/17    7,075     6,067  
Harris Corp.  5.000 %  10/1/15    4,400     3,716  
Harris Corp.  5.950 %  12/1/17    225     194  
Hewlett-Packard Co.  6.500 %  7/1/12    1,835     1,990  
Hewlett-Packard Co.  4.500 %  3/1/13    15,825     16,129  
Hewlett-Packard Co.  5.400 %  3/1/17    2,035     2,071  
Hewlett-Packard Co.  5.500 %  3/1/18    4,275     4,373  
IBM International Group Capital  5.050 %  10/22/12    25,525     26,782  
International Business Machines Corp.  4.950 %  3/22/11    3,225     3,338  
International Business Machines Corp.  7.500 %  6/15/13    3,575     4,026  
International Business Machines Corp.  5.700 %  9/14/17    26,975     28,623  
International Business Machines Corp.  7.000 %  10/30/25    720     819  
International Business Machines Corp.  6.220 %  8/1/27    6,250     6,604  
International Business Machines Corp.  6.500 %  1/15/28    700     763  
International Business Machines Corp.  5.875 %  11/29/32    500     513  
International Business Machines Corp.  8.000 %  10/15/38    500     666  
International Business Machines Corp.  7.125 %  12/1/96    6,735     7,771  
Intuit Inc.  5.400 %  3/15/12    2,475     2,271  
Intuit Inc.  5.750 %  3/15/17    2,925     2,118  
Lexmark International Inc.  5.900 %  6/1/13    3,450     2,961  
Lexmark International Inc.  6.650 %  6/1/18    5,575     4,089  
Motorola, Inc.  7.625 %  11/15/10    619     546  
Motorola, Inc.  8.000 %  11/1/11    725     616  
Motorola, Inc.  5.375 %  11/15/12    6,125     4,573  
Motorola, Inc.  6.000 %  11/15/17    1,675     1,028  
Motorola, Inc.  7.500 %  5/15/25    1,000     538  
Motorola, Inc.  6.500 %  9/1/25    1,550     803  
Motorola, Inc.  6.500 %  11/15/28    500     259  
Motorola, Inc.  6.625 %  11/15/37    2,450     1,159  
National Semiconductor  6.150 %  6/15/12    750     591  
National Semiconductor  6.600 %  6/15/17    7,400     5,372  
Oracle Corp.  5.000 %  1/15/11    6,150     6,295  
Oracle Corp.  4.950 %  4/15/13    6,350     6,547  
Oracle Corp.  5.250 %  1/15/16    9,990     10,269  
Oracle Corp.  5.750 %  4/15/18    17,010     17,643  
Oracle Corp.  6.500 %  4/15/38    7,200     8,319  
Pitney Bowes, Inc.  4.625 %  10/1/12    4,050     3,979  
Pitney Bowes, Inc.  3.875 %  6/15/13    5,050     4,796  
Pitney Bowes, Inc.  4.875 %  8/15/14    350     337  
Pitney Bowes, Inc.  4.750 %  1/15/16    13,750     13,012  
Pitney Bowes, Inc.  5.750 %  9/15/17    4,450     4,388  
Pitney Bowes, Inc.  4.750 %  5/15/18    375     348  
Pitney Bowes, Inc.  5.250 %  1/15/37    550     508  
Science Applications International Corp.  6.250 %  7/1/12    1,275     1,306  
Science Applications International Corp.  5.500 %  7/1/33    1,775     1,330  
Tyco Electronics Group  6.000 %  10/1/12    2,450     1,982  
Tyco Electronics Group  6.550 %  10/1/17    9,325     7,843  
Tyco Electronics Group  7.125 %  10/1/37    750     560  
Xerox Capital Trust I  8.000 %  2/1/27    5,750     3,867  
Xerox Corp.  7.125 %  6/15/10    4,000     3,756  
Xerox Corp.  6.875 %  8/15/11    2,425     2,116  
Xerox Corp.  5.500 %  5/15/12    3,200     2,507  
Xerox Corp.  7.625 %  6/15/13    4,425     3,693  
Xerox Corp.  6.400 %  3/15/16    5,125     3,822  
Xerox Corp.  6.750 %  2/1/17    3,700     2,644  
Xerox Corp.  6.350 %  5/15/18    13,325     10,352  

Page 37


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Transportation (0.4%)                   
Burlington Northern Santa Fe Corp.  7.125 %  12/15/10    500     516  
Burlington Northern Santa Fe Corp.  6.750 %  7/15/11    3,720     3,820  
Burlington Northern Santa Fe Corp.  5.900 %  7/1/12    3,375     3,386  
Burlington Northern Santa Fe Corp.  5.650 %  5/1/17    3,025     2,950  
Burlington Northern Santa Fe Corp.  5.750 %  3/15/18    4,100     4,006  
Burlington Northern Santa Fe Corp.  7.000 %  12/15/25    6,400     6,418  
Burlington Northern Santa Fe Corp.  6.200 %  8/15/36    3,975     3,670  
Burlington Northern Santa Fe Corp.  6.150 %  5/1/37    75     70  
Canadian National Railway Co.  6.375 %  10/15/11    1,075     1,100  
Canadian National Railway Co.  4.400 %  3/15/13    3,175     3,129  
Canadian National Railway Co.  4.950 %  1/15/14    700     684  
Canadian National Railway Co.  5.800 %  6/1/16    950     963  
Canadian National Railway Co.  5.850 %  11/15/17    1,425     1,452  
Canadian National Railway Co.  6.800 %  7/15/18    11,025     12,011  
Canadian National Railway Co.  6.900 %  7/15/28    700     766  
Canadian National Railway Co.  6.250 %  8/1/34    1,925     1,944  
Canadian National Railway Co.  6.200 %  6/1/36    3,025     3,077  
Canadian Pacific Railway Co.  6.250 %  10/15/11    10,950     10,642  
Canadian Pacific Railway Co.  7.125 %  10/15/31    550     440  
Canadian Pacific Railway Co.  5.950 %  5/15/37    1,200     834  
CNF, Inc.  6.700 %  5/1/34    4,150     2,991  
Continental Airlines, Inc.  6.563 %  2/15/12    2,450     1,954  
2 Continental Airlines, Inc.  6.648 %  9/15/17    8,362     6,376  
2 Continental Airlines, Inc.  6.900 %  1/2/18    4,647     3,637  
2 Continental Airlines, Inc.  6.545 %  2/2/19    519     413  
2 Continental Airlines, Inc.  5.983 %  4/19/22    750     503  
CSX Corp.  6.750 %  3/15/11    2,450     2,451  
CSX Corp.  6.300 %  3/15/12    1,775     1,745  
CSX Corp.  5.750 %  3/15/13    125     119  
CSX Corp.  6.250 %  4/1/15    2,750     2,704  
CSX Corp.  5.600 %  5/1/17    1,875     1,681  
CSX Corp.  6.250 %  3/15/18    300     277  
CSX Corp.  7.950 %  5/1/27    325     331  
CSX Corp.  6.000 %  10/1/36    7,550     6,108  
CSX Corp.  6.150 %  5/1/37    2,875     2,372  
CSX Corp.  7.450 %  4/1/38    2,350     2,290  
Delta Air Lines Enhanced Equipment Trust Certificates  6.417 %  7/2/12    4,100     2,962  
2 Delta Air Lines Enhanced Equipment Trust Certificates  6.718 %  1/2/23    3,814     2,446  
Delta Air Lines, Inc.  7.111 %  9/18/11    4,100     3,157  
2 Delta Air Lines, Inc.  6.821 %  8/10/22    5,610     3,338  
Norfolk Southern Corp.  6.750 %  2/15/11    6,000     6,100  
Norfolk Southern Corp.  5.257 %  9/17/14    45     43  
Norfolk Southern Corp.  7.700 %  5/15/17    6,375     6,901  
Norfolk Southern Corp.  5.750 %  4/1/18    1,750     1,704  
Norfolk Southern Corp.  9.750 %  6/15/20    1,696     1,967  
Norfolk Southern Corp.  5.590 %  5/17/25    634     582  
Norfolk Southern Corp.  7.800 %  5/15/27    2,495     2,759  
Norfolk Southern Corp.  5.640 %  5/17/29    2,205     2,070  
Norfolk Southern Corp.  7.050 %  5/1/37    12,995     13,549  
Norfolk Southern Corp.  7.900 %  5/15/97    2,075     2,331  
Ryder System Inc.  5.950 %  5/2/11    3,375     3,028  
Ryder System Inc.  5.850 %  3/1/14    2,000     1,556  
Ryder System Inc.  7.200 %  9/1/15    4,375     3,259  
Ryder System Inc.  5.850 %  11/1/16    1,950     1,613  
Southwest Airlines Co.  6.500 %  3/1/12    7,950     7,487  
Southwest Airlines Co.  5.250 %  10/1/14    275     210  
Southwest Airlines Co.  5.750 %  12/15/16    3,950     2,703  
Southwest Airlines Co.  5.125 %  3/1/17    850     597  
2 Southwest Airlines Co.  6.150 %  8/1/22    2,030     1,584  
Union Pacific Corp.  3.625 %  6/1/10    2,040     2,004  
Union Pacific Corp.  6.650 %  1/15/11    6,005     6,049  
Union Pacific Corp.  6.125 %  1/15/12    200     202  
Union Pacific Corp.  6.500 %  4/15/12    2,383     2,441  
Union Pacific Corp.  5.450 %  1/31/13    2,750     2,681  
Union Pacific Corp.  7.000 %  2/1/16    450     471  

Page 38


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Union Pacific Corp.  5.650 %  5/1/17    5,200     4,958  
Union Pacific Corp.  5.750 %  11/15/17    8,525     8,150  
Union Pacific Corp.  5.700 %  8/15/18    8,650     8,384  
Union Pacific Corp.  6.625 %  2/1/29    1,950     1,847  
2 Union Pacific Railroad Co.  6.176 %  1/2/31    1,562     1,531  
United Parcel Service of America  4.500 %  1/15/13    2,750     2,880  
United Parcel Service of America  5.500 %  1/15/18    4,185     4,452  
United Parcel Service of America  6.200 %  1/15/38    4,875     5,374  
                5,610,658  
Utilities (1.8%)                   
Electric (1.4%)                   
AEP Texas Central Co.  6.650 %  2/15/33    2,775     2,536  
Alabama Power Co.  4.850 %  12/15/12    2,400     2,390  
Alabama Power Co.  5.500 %  10/15/17    3,975     3,927  
American Electric Power Co., Inc.  5.375 %  3/15/10    925     927  
American Electric Power Co., Inc.  5.250 %  6/1/15    875     798  
American Water Capital Corp.  6.085 %  10/15/17    8,800     7,692  
American Water Capital Corp.  6.593 %  10/15/37    6,300     4,814  
Appalachian Power Co.  7.000 %  4/1/38    6,900     6,594  
Arizona Public Service Co.  6.375 %  10/15/11    800     751  
Arizona Public Service Co.  5.800 %  6/30/14    725     602  
Arizona Public Service Co.  4.650 %  5/15/15    925     712  
Arizona Public Service Co.  5.500 %  9/1/35    700     402  
Baltimore Gas & Electric Co.  5.900 %  10/1/16    4,250     3,849  
Baltimore Gas & Electric Co.  6.350 %  10/1/36    625     501  
Carolina Power & Light Co.  6.500 %  7/15/12    1,250     1,274  
Carolina Power & Light Co.  5.125 %  9/15/13    6,400     6,528  
Carolina Power & Light Co.  6.300 %  4/1/38    2,750     2,995  
CenterPoint Energy Houston  5.700 %  3/15/13    16,860     15,702  
CenterPoint Energy Houston  5.750 %  1/15/14    500     476  
CenterPoint Energy Houston  6.950 %  3/15/33    400     368  
Cincinnati Gas & Electric Co.  5.700 %  9/15/12    4,925     4,842  
Cleveland Electric Illumination Co.  7.880 %  11/1/17    1,375     1,410  
Columbus Southern Power  5.850 %  10/1/35    6,700     5,867  
Commonwealth Edison Co.  6.150 %  3/15/12    2,025     1,997  
Commonwealth Edison Co.  5.950 %  8/15/16    10,855     10,204  
Commonwealth Edison Co.  6.150 %  9/15/17    15,025     14,130  
Commonwealth Edison Co.  5.800 %  3/15/18    3,675     3,304  
Commonwealth Edison Co.  5.875 %  2/1/33    590     503  
Commonwealth Edison Co.  5.900 %  3/15/36    800     665  
Commonwealth Edison Co.  6.450 %  1/15/38    3,875     3,536  
Connecticut Light & Power Co.  6.350 %  6/1/36    6,975     7,139  
Consolidated Edison Co. of New York  4.875 %  2/1/13    3,715     3,639  
Consolidated Edison Co. of New York  5.375 %  12/15/15    1,600     1,568  
Consolidated Edison Co. of New York  5.500 %  9/15/16    6,200     6,075  
Consolidated Edison Co. of New York  5.300 %  3/1/35    2,450     2,104  
Consolidated Edison Co. of New York  5.850 %  3/15/36    2,325     2,155  
Consolidated Edison Co. of New York  6.200 %  6/15/36    3,575     3,474  
Consolidated Edison Co. of New York  6.300 %  8/15/37    7,000     6,890  
Consolidated Edison Co. of New York  6.750 %  4/1/38    2,700     2,816  
Constellation Energy Group, Inc.  6.125 %  9/1/09    875     869  
Constellation Energy Group, Inc.  7.000 %  4/1/12    1,275     1,150  
Constellation Energy Group, Inc.  4.550 %  6/15/15    18,050     13,725  
Constellation Energy Group, Inc.  7.600 %  4/1/32    2,390     2,033  
Consumers Energy Co.  5.000 %  2/15/12    2,500     2,427  
Consumers Energy Co.  5.375 %  4/15/13    5,175     5,080  
Consumers Energy Co.  5.500 %  8/15/16    1,925     1,824  
Consumers Energy Co.  5.650 %  4/15/20    1,000     934  
Detroit Edison Co.  6.125 %  10/1/10    2,730     2,783  
Detroit Edison Co.  5.700 %  10/1/37    1,000     912  
Dominion Resources, Inc.  4.750 %  12/15/10    2,225     2,160  
Dominion Resources, Inc.  6.250 %  6/30/12    2,790     2,748  
Dominion Resources, Inc.  5.700 %  9/17/12    850     842  
Dominion Resources, Inc.  5.150 %  7/15/15    19,050     18,012  
Dominion Resources, Inc.  6.000 %  11/30/17    5,300     5,079  

Page 39


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Dominion Resources, Inc.  6.300 %  3/15/33    1,675     1,424  
Dominion Resources, Inc.  5.250 %  8/1/33    3,225     2,919  
Dominion Resources, Inc.  5.950 %  6/15/35    9,825     8,675  
Dominion Resources, Inc.  7.000 %  6/15/38    1,275     1,233  
2 Dominion Resources, Inc.  7.500 %  6/30/66    4,325     2,223  
2 Dominion Resources, Inc.  6.300 %  9/30/66    2,750     1,278  
DTE Energy Co.  7.050 %  6/1/11    6,640     6,582  
DTE Energy Co.  6.375 %  4/15/33    275     217  
3 Duke Energy Carolinas LLC  5.750 %  11/15/13    500     523  
Duke Energy Carolinas LLC  6.100 %  6/1/37    10,725     10,767  
Duke Energy Carolinas LLC  6.000 %  1/15/38    475     474  
Duke Energy Carolinas LLC  6.050 %  4/15/38    3,425     3,438  
Duke Energy Corp.  6.250 %  1/15/12    8,707     9,030  
Duke Energy Corp.  6.000 %  12/1/28    1,900     1,929  
Duke Energy Corp.  6.450 %  10/15/32    1,500     1,610  
Duke Energy Indiana Inc.  6.350 %  8/15/38    9,925     10,589  
El Paso Electric Co.  6.000 %  5/15/35    2,200     1,503  
Empresa Nacional Electric  8.350 %  8/1/13    2,900     3,125  
Energy East Corp.  6.750 %  6/15/12    6,050     6,051  
Energy East Corp.  6.750 %  7/15/36    4,275     3,614  
3 Entergy Gulf States, Inc.  6.000 %  5/1/18    10,525     9,130  
Entergy Louisiana LLC  6.500 %  9/1/18    1,575     1,445  
Exelon Corp.  6.750 %  5/1/11    500     494  
Exelon Corp.  4.900 %  6/15/15    5,200     4,477  
Exelon Corp.  5.625 %  6/15/35    935     624  
FirstEnergy Corp.  6.450 %  11/15/11    52,330     51,074  
FirstEnergy Corp.  7.375 %  11/15/31    8,190     7,762  
Florida Power & Light Co.  4.850 %  2/1/13    3,000     3,006  
Florida Power & Light Co.  5.550 %  11/1/17    2,275     2,375  
Florida Power & Light Co.  5.950 %  10/1/33    50     54  
Florida Power & Light Co.  5.625 %  4/1/34    4,450     4,574  
Florida Power & Light Co.  5.400 %  9/1/35    2,075     2,069  
Florida Power & Light Co.  6.200 %  6/1/36    4,700     5,219  
Florida Power & Light Co.  5.650 %  2/1/37    4,725     4,908  
Florida Power & Light Co.  5.850 %  5/1/37    2,450     2,620  
Florida Power & Light Co.  5.950 %  2/1/38    9,975     10,820  
Florida Power Corp.  4.500 %  6/1/10    3,825     3,800  
Florida Power Corp.  4.800 %  3/1/13    12,175     11,777  
Florida Power Corp.  5.650 %  6/15/18    3,725     3,841  
Florida Power Corp.  6.350 %  9/15/37    5,300     5,847  
Florida Power Corp.  6.400 %  6/15/38    4,200     4,802  
FPL Group Capital, Inc.  5.625 %  9/1/11    3,975     4,115  
FPL Group Capital, Inc.  5.350 %  6/15/13    5,625     5,648  
2 FPL Group Capital, Inc.  6.350 %  10/1/66    2,600     1,291  
2 FPL Group Capital, Inc.  6.650 %  6/15/67    3,200     1,602  
Georgia Power Co.  5.700 %  6/1/17    2,340     2,367  
Georgia Power Co.  5.650 %  3/1/37    425     404  
Illinois Power  6.125 %  11/15/17    1,475     1,304  
Illinois Power  6.250 %  4/1/18    5,700     4,980  
Indiana Michigan Power Co.  6.050 %  3/15/37    7,475     6,084  
2 Integrys Energy Group  6.110 %  12/1/66    5,150     2,557  
Jersey Central Power & Light  5.625 %  5/1/16    3,575     3,301  
Jersey Central Power & Light  5.650 %  6/1/17    2,250     2,076  
Kansas City Power & Light  6.050 %  11/15/35    2,075     1,655  
MidAmerican Energy Co.  5.650 %  7/15/12    3,200     3,206  
MidAmerican Energy Co.  5.125 %  1/15/13    7,875     7,730  
MidAmerican Energy Co.  5.950 %  7/15/17    1,675     1,746  
MidAmerican Energy Co.  5.300 %  3/15/18    550     543  
MidAmerican Energy Co.  6.750 %  12/30/31    5,475     5,526  
MidAmerican Energy Co.  5.750 %  11/1/35    1,700     1,506  
MidAmerican Energy Holdings Co.  5.875 %  10/1/12    7,020     6,957  
MidAmerican Energy Holdings Co.  5.000 %  2/15/14    1,425     1,360  
MidAmerican Energy Holdings Co.  5.750 %  4/1/18    5,925     5,892  
MidAmerican Energy Holdings Co.  8.480 %  9/15/28    700     742  
MidAmerican Energy Holdings Co.  6.125 %  4/1/36    22,975     21,273  
MidAmerican Energy Holdings Co.  5.950 %  5/15/37    8,625     7,837  

Page 40


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
MidAmerican Energy Holdings Co.  6.500 %  9/15/37    1,050     1,014  
National Rural Utilities Cooperative Finance Corp.  7.250 %  3/1/12    18,810     20,030  
National Rural Utilities Cooperative Finance Corp.  5.500 %  7/1/13    6,125     5,788  
National Rural Utilities Cooperative Finance Corp.  4.750 %  3/1/14    2,140     1,963  
National Rural Utilities Cooperative Finance Corp.  5.450 %  4/10/17    275     253  
National Rural Utilities Cooperative Finance Corp.  5.450 %  2/1/18    4,960     4,535  
National Rural Utilities Cooperative Finance Corp.  8.000 %  3/1/32    4,000     3,888  
Nevada Power Co.  6.750 %  7/1/37    1,500     1,341  
NiSource Finance Corp.  7.875 %  11/15/10    6,660     6,133  
NiSource Finance Corp.  6.150 %  3/1/13    525     396  
NiSource Finance Corp.  5.400 %  7/15/14    1,350     911  
NiSource Finance Corp.  5.250 %  9/15/17    1,525     1,034  
NiSource Finance Corp.  6.400 %  3/15/18    850     551  
NiSource Finance Corp.  6.800 %  1/15/19    150     103  
NiSource Finance Corp.  5.450 %  9/15/20    1,675     1,018  
Northern States Power Co.  5.250 %  3/1/18    2,325     2,346  
Northern States Power Co.  5.250 %  7/15/35    425     403  
Northern States Power Co.  6.250 %  6/1/36    1,975     2,148  
Northern States Power Co.  6.200 %  7/1/37    3,600     3,895  
NStar Electric Co.  4.875 %  4/15/14    2,200     2,114  
NStar Electric Co.  5.625 %  11/15/17    5,650     5,365  
Ohio Edison  6.400 %  7/15/16    4,650     4,050  
Ohio Power Co.  5.750 %  9/1/13    8,525     8,391  
Ohio Power Co.  6.000 %  6/1/16    3,975     3,910  
Oncor Electric Delivery Co.  6.375 %  5/1/12    3,650     3,619  
Oncor Electric Delivery Co.  6.375 %  1/15/15    7,175     6,797  
Oncor Electric Delivery Co.  7.000 %  9/1/22    600     559  
Oncor Electric Delivery Co.  7.000 %  5/1/32    2,125     1,918  
Oncor Electric Delivery Co.  7.250 %  1/15/33    4,475     4,088  
Pacific Gas & Electric Co.  4.200 %  3/1/11    29,075     28,558  
Pacific Gas & Electric Co.  4.800 %  3/1/14    5,125     4,990  
Pacific Gas & Electric Co.  5.625 %  11/30/17    4,250     4,354  
Pacific Gas & Electric Co.  6.050 %  3/1/34    5,855     6,070  
Pacific Gas & Electric Co.  5.800 %  3/1/37    8,300     8,509  
PacifiCorp  6.900 %  11/15/11    7,600     8,002  
PacifiCorp  7.700 %  11/15/31    1,250     1,500  
PacifiCorp  5.250 %  6/15/35    50     45  
PacifiCorp  6.250 %  10/15/37    800     830  
PECO Energy Co.  5.350 %  3/1/18    2,000     1,926  
Pennsylvania Electric Co.  6.050 %  9/1/17    2,775     2,477  
Pepco Holdings, Inc.  6.450 %  8/15/12    8,075     7,559  
Pepco Holdings, Inc.  7.450 %  8/15/32    1,475     1,219  
Potomac Electric Power  6.500 %  11/15/37    1,000     978  
PPL Energy Supply LLC  6.400 %  11/1/11    12,350     11,860  
PPL Energy Supply LLC  6.300 %  7/15/13    3,700     3,473  
PPL Energy Supply LLC  5.400 %  8/15/14    1,000     856  
PPL Energy Supply LLC  6.200 %  5/15/16    3,825     3,041  
PPL Energy Supply LLC  6.500 %  5/1/18    2,550     2,093  
PPL Energy Supply LLC  6.000 %  12/15/36    2,050     1,437  
Progress Energy, Inc.  7.100 %  3/1/11    6,686     6,701  
Progress Energy, Inc.  6.850 %  4/15/12    2,200     2,226  
Progress Energy, Inc.  5.625 %  1/15/16    1,375     1,270  
Progress Energy, Inc.  7.750 %  3/1/31    1,800     1,815  
Progress Energy, Inc.  7.000 %  10/30/31    5,650     5,244  
PSE&G Power LLC  7.750 %  4/15/11    1,075     1,073  
PSE&G Power LLC  6.950 %  6/1/12    17,025     16,745  
PSE&G Power LLC  5.000 %  4/1/14    2,800     2,474  
PSE&G Power LLC  5.500 %  12/1/15    3,275     2,858  
PSE&G Power LLC  8.625 %  4/15/31    400     418  
PSI Energy Inc.  5.000 %  9/15/13    200     190  
PSI Energy Inc.  6.050 %  6/15/16    425     404  
PSI Energy Inc.  6.120 %  10/15/35    1,400     1,313  
Public Service Co. of Colorado  7.875 %  10/1/12    9,800     10,408  
Public Service Co. of Colorado  5.500 %  4/1/14    65     64  
Public Service Co. of Colorado  5.800 %  8/1/18    1,900     1,945  
Public Service Co. of Colorado  6.250 %  9/1/37    1,850     1,907  

Page 41


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Public Service Co. of Colorado  6.500 %  8/1/38    3,300     3,517  
Public Service Co. of Oklahoma  6.625 %  11/15/37    5,550     5,027  
Public Service Electric & Gas  5.250 %  7/1/35    325     282  
Public Service Electric & Gas  5.800 %  5/1/37    6,000     5,627  
Puget Sound Energy Inc.  5.483 %  6/1/35    950     761  
Puget Sound Energy Inc.  6.274 %  3/15/37    5,275     4,705  
SCANA Corp.  6.875 %  5/15/11    7,825     8,028  
Sierra Pacific Power Co.  6.000 %  5/15/16    2,925     2,754  
Sierra Pacific Power Co.  6.750 %  7/1/37    5,000     4,550  
South Carolina Electric & Gas Co.  6.500 %  11/1/18    1,900     2,099  
South Carolina Electric & Gas Co.  6.625 %  2/1/32    2,750     3,066  
South Carolina Electric & Gas Co.  5.300 %  5/15/33    220     208  
South Carolina Electric & Gas Co.  6.050 %  1/15/38    1,475     1,543  
Southern California Edison Co.  5.000 %  1/15/14    3,450     3,520  
Southern California Edison Co.  4.650 %  4/1/15    2,075     2,033  
Southern California Edison Co.  5.000 %  1/15/16    1,450     1,448  
Southern California Edison Co.  5.750 %  4/1/35    1,025     1,102  
Southern California Edison Co.  5.350 %  7/15/35    5,450     5,551  
Southern California Edison Co.  5.625 %  2/1/36    8,175     8,651  
Southern California Edison Co.  5.550 %  1/15/37    9,875     10,351  
Southern California Edison Co.  5.950 %  2/1/38    100     111  
Southern Co.  5.300 %  1/15/12    2,075     2,098  
Southern Power Co.  6.250 %  7/15/12    4,155     4,195  
Southern Power Co.  4.875 %  7/15/15    7,925     6,969  
Southwestern Electric Power  5.550 %  1/15/17    500     468  
Southwestern Electric Power  6.450 %  1/15/19    4,575     4,483  
Tampa Electric Co.  6.375 %  8/15/12    5,000     4,879  
Tampa Electric Co.  6.550 %  5/15/36    3,675     3,225  
Toledo Edison Co.  6.150 %  5/15/37    400     319  
TransAlta Corp.  6.650 %  5/15/18    1,550     1,391  
Union Electric Co.  5.400 %  2/1/16    3,950     3,427  
Virginia Electric & Power Co.  5.100 %  11/30/12    675     660  
Virginia Electric & Power Co.  5.400 %  1/15/16    1,100     1,079  
Virginia Electric & Power Co.  6.000 %  1/15/36    7,150     6,810  
Virginia Electric & Power Co.  6.000 %  5/15/37    3,125     3,054  
Virginia Electric & Power Co.  6.350 %  11/30/37    2,275     2,269  
Virginia Electric & Power Co.  8.875 %  11/15/38    275     349  
Wisconsin Electric Power Co.  6.000 %  4/1/14    475     510  
Wisconsin Electric Power Co.  5.625 %  5/15/33    1,175     1,123  
Wisconsin Electric Power Co.  5.700 %  12/1/36    1,025     988  
Wisconsin Energy Corp.  6.500 %  4/1/11    10,750     11,045  
2 Wisconsin Energy Corp.  6.250 %  5/15/67    16,950     8,404  
Wisconsin Power & Light Co.  6.375 %  8/15/37    5,050     4,860  
Xcel Energy, Inc.  5.613 %  4/1/17    736     663  
Xcel Energy, Inc.  6.500 %  7/1/36    3,600     3,312  
 
Natural Gas (0.4%)                   
AGL Capital Corp.  7.125 %  1/14/11    2,350     2,367  
AGL Capital Corp.  6.000 %  10/1/34    150     109  
Atmos Energy Corp.  4.000 %  10/15/09    5,175     5,024  
Atmos Energy Corp.  4.950 %  10/15/14    3,630     3,180  
Boardwalk Pipelines LLC  5.500 %  2/1/17    4,025     3,233  
British Transco Finance  6.625 %  6/1/18    2,050     1,869  
Buckeye Partners LP  6.050 %  1/15/18    450     390  
CenterPoint Energy Resources  7.875 %  4/1/13    4,030     3,998  
CenterPoint Energy Resources  6.150 %  5/1/16    1,375     1,196  
Consolidated Natural Gas  6.250 %  11/1/11    8,800     8,994  
Consolidated Natural Gas  5.000 %  12/1/14    5,625     5,218  
Duke Capital Corp.  6.250 %  2/15/13    1,375     1,334  
Duke Capital Corp.  5.500 %  3/1/14    3,825     3,406  
Duke Capital Corp.  5.668 %  8/15/14    250     223  
Duke Capital Corp.  6.750 %  2/15/32    2,800     2,154  
Duke Energy Field Services  7.875 %  8/16/10    4,600     4,609  
Duke Energy Field Services  8.125 %  8/16/30    225     203  
El Paso Natural Gas Co.  5.950 %  4/15/17    2,625     2,134  

Page 42


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Enbridge Energy Partners  6.500 %  4/15/18    2,850     2,372  
Enbridge Energy Partners  9.875 %  3/1/19    5,550     5,591  
Enbridge Energy Partners  7.500 %  4/15/38    6,625     5,403  
Enbridge Inc.  5.600 %  4/1/17    375     313  
Energy Transfer Partners LP  5.650 %  8/1/12    5,475     4,973  
Energy Transfer Partners LP  5.950 %  2/1/15    8,200     7,091  
Energy Transfer Partners LP  6.125 %  2/15/17    1,425     1,198  
Energy Transfer Partners LP  6.625 %  10/15/36    1,750     1,226  
Energy Transfer Partners LP  7.500 %  7/1/38    725     567  
6 Enron Corp.  7.625 %  9/10/04    2,000     10  
6 Enron Corp.  6.625 %  11/15/05    1,375     7  
6 Enron Corp.  7.125 %  5/15/07    8,646     43  
6 Enron Corp.  6.875 %  10/15/07    8,500     42  
6 Enron Corp.  6.750 %  8/1/09    6,445     32  
Enterprise Products Operating LP  4.950 %  6/1/10    4,475     4,327  
Enterprise Products Operating LP  5.650 %  4/1/13    4,425     3,963  
Enterprise Products Operating LP  5.600 %  10/15/14    4,600     3,916  
Enterprise Products Operating LP  6.300 %  9/15/17    11,150     9,619  
Enterprise Products Operating LP  6.500 %  1/31/19    3,525     2,942  
Enterprise Products Operating LP  6.875 %  3/1/33    1,775     1,381  
Enterprise Products Operating LP  6.650 %  10/15/34    150     113  
Equitable Resources Inc.  6.500 %  4/1/18    14,650     13,252  
6 HNG Internorth  9.625 %  3/15/06    4,680     23  
KeySpan Corp.  7.625 %  11/15/10    1,400     1,457  
Kinder Morgan Energy Partners LP  6.750 %  3/15/11    975     944  
Kinder Morgan Energy Partners LP  7.125 %  3/15/12    6,885     6,399  
Kinder Morgan Energy Partners LP  5.850 %  9/15/12    7,375     6,789  
Kinder Morgan Energy Partners LP  5.000 %  12/15/13    6,775     6,075  
Kinder Morgan Energy Partners LP  5.125 %  11/15/14    2,150     1,848  
Kinder Morgan Energy Partners LP  6.000 %  2/1/17    40     34  
Kinder Morgan Energy Partners LP  5.950 %  2/15/18    7,925     6,761  
Kinder Morgan Energy Partners LP  7.300 %  8/15/33    250     209  
Kinder Morgan Energy Partners LP  6.500 %  2/1/37    650     502  
Kinder Morgan Energy Partners LP  6.950 %  1/15/38    3,620     2,963  
Magellan Midstream Partners, LP  5.650 %  10/15/16    1,025     922  
National Grid PLC  6.300 %  8/1/16    9,800     8,428  
NuStar Energy LP  7.650 %  4/15/18    5,775     5,194  
ONEOK Inc.  5.200 %  6/15/15    3,500     2,901  
ONEOK Inc.  6.000 %  6/15/35    2,800     2,029  
ONEOK Partners, LP  5.900 %  4/1/12    3,325     3,134  
ONEOK Partners, LP  6.150 %  10/1/16    5,350     4,599  
ONEOK Partners, LP  6.650 %  10/1/36    14,700     11,661  
ONEOK Partners, LP  6.850 %  10/15/37    5,900     4,567  
Panhandle Eastern Pipeline  6.200 %  11/1/17    9,525     7,564  
Panhandle Eastern Pipeline  7.000 %  6/15/18    1,375     1,147  
Plains All American Pipeline LP  6.650 %  1/15/37    1,325     909  
Reliant Energy Resources  7.750 %  2/15/11    1,000     1,021  
San Diego Gas & Electric  5.300 %  11/15/15    2,525     2,528  
San Diego Gas & Electric  5.350 %  5/15/35    950     878  
San Diego Gas & Electric  6.125 %  9/15/37    325     334  
Sempra Energy  7.950 %  3/1/10    1,075     1,088  
Sempra Energy  6.000 %  2/1/13    900     867  
Sempra Energy  6.150 %  6/15/18    100     93  
Southern California Gas Co.  5.750 %  11/15/35    1,000     945  
3 Southern Natural Gas  5.900 %  4/1/17    8,435     6,454  
Southern Union Co.  7.600 %  2/1/24    1,000     711  
Spectra Energy Corp.  6.200 %  4/15/18    1,250     1,099  
Teppco Partners, LP  5.900 %  4/15/13    2,800     2,512  
Teppco Partners, LP  6.650 %  4/15/18    2,825     2,423  
Teppco Partners, LP  7.550 %  4/15/38    1,800     1,365  
Texas Eastern Transmission  7.000 %  7/15/32    300     264  
Texas Gas Transmission  4.600 %  6/1/15    3,175     2,652  
Trans-Canada Pipelines  4.000 %  6/15/13    4,250     3,817  
Trans-Canada Pipelines  6.500 %  8/15/18    4,850     4,732  
Trans-Canada Pipelines  5.600 %  3/31/34    3,230     2,563  
Trans-Canada Pipelines  5.850 %  3/15/36    10,250     8,471  

Page 43


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Trans-Canada Pipelines  6.200 %  10/15/37    3,450     3,082  
2 Trans-Canada Pipelines  6.350 %  5/15/67    13,805     6,301  
Transcontinental Gas Pipe Line Corp.  7.000 %  8/15/11    4,375     4,319  
Williams Cos., Inc.  7.125 %  9/1/11    7,650     6,961  
Williams Cos., Inc.  8.125 %  3/15/12    2,600     2,418  
Williams Cos., Inc.  7.625 %  7/15/19    11,650     9,203  
Williams Cos., Inc.  7.500 %  1/15/31    11,575     7,871  
Williams Cos., Inc.  7.750 %  6/15/31    2,825     1,949  
 
Other Utilities (0.0%)                   
Veolia Environnement  6.750 %  6/1/38    125     105  
                1,225,372  
 
Total Corporate Bonds (Cost $16,537,850)                14,938,623  
 
Sovereign Bonds (U.S. Dollar-Denominated) (2.9%)                   
Asian Development Bank  4.125 %  9/15/10    500     521  
Asian Development Bank  4.500 %  9/4/12    1,375     1,476  
Asian Development Bank  3.625 %  9/5/13    29,000     30,437  
Asian Development Bank  5.250 %  6/12/17    700     823  
Asian Development Bank  5.593 %  7/16/18    3,528     4,255  
Canada Mortgage & Housing Corp.  4.800 %  10/1/10    1,375     1,444  
China Development Bank  4.750 %  10/8/14    4,425     4,532  
China Development Bank  5.000 %  10/15/15    1,800     1,777  
Corp. Andina de Fomento  5.200 %  5/21/13    5,500     4,924  
Corp. Andina de Fomento  5.750 %  1/12/17    11,600     9,667  
Development Bank of Japan  4.250 %  6/9/15    2,500     2,610  
Eksportfinans  5.500 %  5/25/16    10,395     11,226  
Eksportfinans  5.500 %  6/26/17    7,975     8,691  
European Investment Bank  5.000 %  2/8/10    3,350     3,469  
European Investment Bank  4.000 %  3/3/10    25,925     26,544  
European Investment Bank  4.125 %  9/15/10    400     413  
European Investment Bank  4.625 %  9/15/10    10,975     11,473  
European Investment Bank  3.250 %  2/15/11    12,375     12,672  
European Investment Bank  2.625 %  5/16/11    6,000     6,075  
European Investment Bank  5.250 %  6/15/11    14,425     15,450  
European Investment Bank  3.125 %  7/15/11    4,225     4,317  
European Investment Bank  3.250 %  10/14/11    5,225     5,382  
European Investment Bank  2.625 %  11/15/11    4,225     4,297  
European Investment Bank  4.625 %  3/21/12    35,000     37,566  
European Investment Bank  2.875 %  3/15/13    9,600     9,669  
European Investment Bank  3.250 %  5/15/13    24,550     25,261  
European Investment Bank  4.250 %  7/15/13    39,700     42,439  
European Investment Bank  4.625 %  5/15/14    42,900     46,371  
European Investment Bank  4.875 %  2/16/16    625     692  
European Investment Bank  5.125 %  9/13/16    2,550     2,886  
European Investment Bank  4.875 %  1/17/17    24,625     28,088  
European Investment Bank  5.125 %  5/30/17    25,900     30,211  
European Investment Bank  4.875 %  2/15/36    400     490  
Export Development Canada  3.750 %  7/15/11    750     791  
Export Development Canada  2.625 %  11/15/11    6,550     6,722  
Export-Import Bank of Korea  4.625 %  3/16/10    2,450     2,325  
Export-Import Bank of Korea  5.125 %  2/14/11    11,900     11,164  
Export-Import Bank of Korea  5.500 %  10/17/12    9,725     9,049  
Export-Import Bank of Korea  5.125 %  3/16/15    1,075     871  
Federation of Malaysia  7.500 %  7/15/11    11,100     11,898  
Federative Republic of Brazil  9.250 %  10/22/10    4,700     5,135  
Federative Republic of Brazil  11.000 %  1/11/12    4,950     5,878  
Federative Republic of Brazil  7.875 %  3/7/15    8,100     9,173  
Federative Republic of Brazil  6.000 %  1/17/17    18,150     18,649  
2 Federative Republic of Brazil  8.000 %  1/15/18    28,150     31,429  
Federative Republic of Brazil  8.875 %  4/15/24    5,475     6,734  
Federative Republic of Brazil  8.750 %  2/4/25    14,800     18,056  
Federative Republic of Brazil  10.125 %  5/15/27    14,700     20,235  
Federative Republic of Brazil  8.250 %  1/20/34    17,675     21,519  
Federative Republic of Brazil  7.125 %  1/20/37    9,825     11,004  
Federative Republic of Brazil  11.000 %  8/17/40    29,200     37,960  

Page 44


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Financement Quebec  5.000 %  10/25/12    4,450     4,811  
Inter-American Development Bank  8.500 %  3/15/11    2,240     2,541  
Inter-American Development Bank  4.750 %  10/19/12    4,900     5,297  
Inter-American Development Bank  3.500 %  3/15/13    12,000     12,431  
Inter-American Development Bank  4.250 %  9/14/15    1,900     2,077  
Inter-American Development Bank  5.125 %  9/13/16    300     345  
Inter-American Development Bank  4.250 %  9/10/18    27,725     30,544  
Inter-American Development Bank  7.000 %  6/15/25    3,175     4,423  
International Bank for Reconstruction & Development  3.125 %  11/15/11    700     723  
International Bank for Reconstruction & Development  5.000 %  4/1/16    18,625     21,556  
International Bank for Reconstruction & Development  7.625 %  1/19/23    4,200     6,150  
International Bank for Reconstruction & Development  8.875 %  3/1/26    1,050     1,704  
International Bank for Reconstruction & Development  4.750 %  2/15/35    775     915  
Japan Bank International  4.750 %  5/25/11    2,275     2,404  
Japan Bank International  4.375 %  11/26/12    6,400     6,720  
Japan Bank International  4.250 %  6/18/13    28,575     29,537  
Japan Finance Corp.  5.875 %  3/14/11    425     454  
Japan Finance Corp.  4.625 %  4/21/15    8,400     8,724  
Japan Finance Corp.  5.000 %  5/16/17    5,000     5,342  
KFW International Finance Inc.  3.250 %  10/14/11    16,700     17,205  
Korea Development Bank  4.625 %  9/16/10    2,675     2,512  
Korea Development Bank  5.300 %  1/17/13    2,675     2,467  
Korea Development Bank  5.750 %  9/10/13    12,015     10,251  
Korea Electric Power  7.750 %  4/1/13    6,950     6,803  
Kreditanstalt fur Wiederaufbau  5.000 %  6/1/10    11,750     12,238  
Kreditanstalt fur Wiederaufbau  4.250 %  6/15/10    13,350     13,791  
Kreditanstalt fur Wiederaufbau  3.250 %  2/15/11    25,925     26,579  
Kreditanstalt fur Wiederaufbau  3.750 %  6/27/11    26,450     27,484  
Kreditanstalt fur Wiederaufbau  4.750 %  5/15/12    16,000     17,266  
Kreditanstalt fur Wiederaufbau  3.250 %  3/15/13    70,350     72,330  
Kreditanstalt fur Wiederaufbau  3.500 %  5/16/13    14,625     15,172  
Kreditanstalt fur Wiederaufbau  4.000 %  10/15/13    29,200     30,906  
Kreditanstalt fur Wiederaufbau  4.125 %  10/15/14    1,725     1,825  
Kreditanstalt fur Wiederaufbau  5.125 %  3/14/16    26,635     30,220  
Kreditanstalt fur Wiederaufbau  4.375 %  3/15/18    2,175     2,409  
Kreditanstalt fur Wiederaufbau  4.500 %  7/16/18    17,400     19,431  
Landeskreditbank Baden-Wuerttemberg - Foerderbank  4.250 %  9/15/10    1,925     2,009  
Landeskreditbank Baden-Wuerttemberg - Foerderbank  4.875 %  1/13/12    12,000     13,051  
Landwirtschaftliche Rentenbank  3.875 %  3/15/10    750     775  
Landwirtschaftliche Rentenbank  5.250 %  7/2/12    5,225     5,703  
Landwirtschaftliche Rentenbank  3.250 %  3/15/13    25,050     25,795  
Landwirtschaftliche Rentenbank  4.875 %  11/16/15    3,925     4,307  
Landwirtschaftliche Rentenbank  5.125 %  2/1/17    8,975     10,142  
Mass Transit Railway Corp.  7.500 %  11/8/10    425     459  
Nordic Investment Bank  3.875 %  6/15/10    750     774  
Nordic Investment Bank  4.500 %  9/13/10    4,000     4,176  
Nordic Investment Bank  4.875 %  3/15/11    500     531  
Nordic Investment Bank  5.000 %  2/1/17    5,350     6,163  
Oesterreichische Kontrollbank  4.250 %  10/6/10    400     420  
Oesterreichische Kontrollbank  2.875 %  3/15/11    12,000     12,323  
Oesterreichische Kontrollbank  4.750 %  11/8/11    3,250     3,459  
Oesterreichische Kontrollbank  4.750 %  10/16/12    5,275     5,679  
Oesterreichische Kontrollbank  5.000 %  4/25/17    16,675     18,942  
Ontario Hydro Electric  7.450 %  3/31/13    4,700     5,692  
Pemex Project Funding Master Trust  9.125 %  10/13/10    395     415  
3 Pemex Project Funding Master Trust  5.750 %  3/1/18    32,675     28,779  
Pemex Project Funding Master Trust  6.625 %  6/15/35    8,724     7,372  
3 Pemex Project Funding Master Trust  6.625 %  6/15/35    5,475     4,626  
3 Pemex Project Funding Master Trust  6.625 %  6/15/38    7,200     6,030  
People’s Republic of China  4.750 %  10/29/13    7,125     7,387  
Petrobras International Finance  6.125 %  10/6/16    16,325     15,823  
Petrobras International Finance  5.875 %  3/1/18    6,550     5,879  
Petrobras International Finance  8.375 %  12/10/18    4,000     4,105  
Province of Manitoba  7.500 %  2/22/10    5,075     5,386  
Province of Nova Scotia  5.750 %  2/27/12    1,975     2,128  
Province of Ontario  3.125 %  9/8/10    15,275     15,435  

Page 45


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Province of Ontario  2.750 %  2/22/11    3,000     3,017  
Province of Ontario  3.375 %  5/20/11    925     943  
Province of Ontario  5.000 %  10/18/11    19,825     20,774  
Province of Ontario  3.500 %  7/15/13    9,800     9,887  
Province of Ontario  4.750 %  1/19/16    2,200     2,373  
Province of Ontario  5.450 %  4/27/16    37,500     42,108  
Province of Quebec  6.125 %  1/22/11    8,135     8,719  
Province of Quebec  4.875 %  5/5/14    750     804  
Province of Quebec  4.600 %  5/26/15    9,575     9,881  
Province of Quebec  5.125 %  11/14/16    26,875     28,844  
Province of Quebec  4.625 %  5/14/18    7,450     7,794  
Province of Quebec  7.125 %  2/9/24    1,230     1,585  
Province of Quebec  7.500 %  9/15/29    7,280     10,236  
Province of Saskatchewan  7.375 %  7/15/13    1,600     1,987  
Quebec Hydro Electric  6.300 %  5/11/11    16,350     17,487  
Quebec Hydro Electric  8.000 %  2/1/13    12,700     15,016  
Quebec Hydro Electric  7.500 %  4/1/16    1,825     2,258  
Quebec Hydro Electric  8.400 %  1/15/22    950     1,405  
Quebec Hydro Electric  8.050 %  7/7/24    3,000     4,276  
Quebec Hydro Electric  8.500 %  12/1/29    500     790  
Region of Lombardy, Italy  5.804 %  10/25/32    2,750     3,376  
Republic of Chile  7.125 %  1/11/12    4,075     4,581  
Republic of Chile  5.500 %  1/15/13    3,240     3,534  
Republic of Hungary  4.750 %  2/3/15    8,150     7,207  
Republic of Italy  6.000 %  2/22/11    12,325     13,161  
Republic of Italy  3.500 %  7/15/11    8,850     9,127  
Republic of Italy  5.625 %  6/15/12    19,450     21,197  
Republic of Italy  4.500 %  1/21/15    18,350     18,900  
Republic of Italy  4.750 %  1/25/16    26,075     27,551  
Republic of Italy  5.250 %  9/20/16    14,025     15,347  
Republic of Italy  6.875 %  9/27/23    12,950     16,365  
Republic of Italy  5.375 %  6/15/33    19,525     22,454  
^ Republic of Korea  4.250 %  6/1/13    21,775     20,362  
Republic of Korea  5.625 %  11/3/25    1,750     1,508  
Republic of Peru  9.125 %  2/21/12    1,000     1,070  
Republic of Peru  9.875 %  2/6/15    7,150     8,187  
Republic of Peru  7.350 %  7/21/25    5,950     5,861  
2 Republic of Peru  6.550 %  3/14/37    13,000     11,570  
Republic of Poland  6.250 %  7/3/12    7,725     8,007  
Republic of Poland  5.250 %  1/15/14    770     757  
Republic of Poland  5.000 %  10/19/15    3,625     3,493  
Republic of South Africa  7.375 %  4/25/12    9,450     9,332  
Republic of South Africa  5.875 %  5/30/22    4,100     3,444  
State of Israel  4.625 %  6/15/13    2,900     3,039  
State of Israel  5.500 %  11/9/16    8,875     9,491  
Swedish Export Credit Corp.  4.875 %  1/19/10    2,500     2,568  
Swedish Export Credit Corp.  4.000 %  6/15/10    2,775     2,856  
Swedish Export Credit Corp.  4.500 %  9/27/10    18,725     19,388  
Swedish Export Credit Corp.  5.125 %  3/1/17    1,500     1,657  
United Mexican States  9.875 %  2/1/10    3,055     3,276  
United Mexican States  8.375 %  1/14/11    12,267     13,248  
United Mexican States  7.500 %  1/14/12    5,597     6,017  
United Mexican States  6.375 %  1/16/13    5,605     5,843  
United Mexican States  5.875 %  1/15/14    8,075     8,257  
United Mexican States  6.625 %  3/3/15    2,711     2,874  
United Mexican States  11.375 %  9/15/16    6,000     8,100  
United Mexican States  5.625 %  1/15/17    36,300     36,391  
United Mexican States  5.950 %  3/19/19    12,500     12,562  
United Mexican States  8.300 %  8/15/31    11,375     13,735  
United Mexican States  6.750 %  9/27/34    34,838     36,406  
United Mexican States  6.050 %  1/11/40    6,200     6,029  
 
Total Sovereign Bonds (Cost $1,873,091)                1,922,404  

Page 46


Vanguard® Total Bond Market Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Taxable Municipal Bonds (0.2%)                   
Chicago IL Transit Auth. Rev.  6.899 %  12/1/40    10,000     9,869  
Connecticut GO  5.850 %  3/15/32    9,900     9,476  
Illinois (Taxable Pension) GO  4.950 %  6/1/23    15,300     14,194  
Illinois (Taxable Pension) GO  5.100 %  6/1/33    47,850     41,916  
Kansas Dev. Finance Auth. Rev. (Public Employee                   
Retirement System)  5.501 %  5/1/34    5,500     5,040  
New Jersey Econ. Dev. Auth. State Pension Rev.  7.425 %  2/15/29    11,775     11,909  
New Jersey Turnpike Auth. Rev.  4.252 %  1/1/16    190     186  
New Jersey Turnpike Auth. Rev.  4.252 %  1/1/16    3,485     3,347  
Oregon (Taxable Pension) GO  5.762 %  6/1/23    2,375     2,341  
Oregon (Taxable Pension) GO  5.892 %  6/1/27    3,250     3,135  
Oregon School Board Assn.  4.759 %  6/30/28    2,475     2,082  
Oregon School Board Assn.  5.528 %  6/30/28    1,475     1,372  
Tobacco Settlement Finance Auth. Rev.  7.467 %  6/1/47    5,050     3,163  
Wisconsin Public Service Rev.  4.800 %  5/1/13    3,025     3,026  
Wisconsin Public Service Rev.  5.700 %  5/1/26    3,425     3,116  
 
Total Taxable Municipal Bonds (Cost $123,784)                114,172  
 
 
 
          Shares        
 
Temporary Cash Investments (1.5%)                   
7,8 Vanguard Market Liquidity Fund (Cost $1,008,837)  1.378 %      1,008,836,880     1,008,837  
 
Total Investments (100.6%) (Cost $64,891,766)                65,836,680  
 
Other Assets and Liabilities—Net (–0.6%)8                (421,713 ) 
 
Net Assets (100%)                65,414,967  

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $2,816,000.

1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

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, 2008, the aggregate value of these securities was $348,794,000, representing 0.5% of net assets.

4 Adjustable-rate security.

5 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.

6 Non-income-producing security--security in default.

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.

8 Includes $2,910,000 of collateral received for securities on loan.

GO—General Obligation Bond.

REIT—Real Estate Investment Trust.

Page 47


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations (68.3%)                   
 
U.S. Government Securities (49.3%)                   
U.S. Treasury Bond  13.250 %  5/15/14    35,000     36,586  
U.S. Treasury Inflation-Indexed Note  3.500 %  1/15/11    17,575     21,456  
U.S. Treasury Inflation-Indexed Note  2.375 %  4/15/11    16,450     17,545  
U.S. Treasury Note  3.500 %  8/15/09    6,230     6,352  
U.S. Treasury Note  3.500 %  11/15/09    7,690     7,897  
U.S. Treasury Note  3.125 %  11/30/09    132,880     136,202  
U.S. Treasury Note  3.250 %  12/31/09    81,215     83,525  
U.S. Treasury Note  2.125 %  1/31/10    102,895     104,776  
U.S. Treasury Note  3.500 %  2/15/10    34,645     35,868  
U.S. Treasury Note  4.750 %  2/15/10    124,075     129,988  
U.S. Treasury Note  6.500 %  2/15/10    155,840     166,213  
U.S. Treasury Note  2.000 %  2/28/10    79,300     80,725  
U.S. Treasury Note  1.750 %  3/31/10    170,875     173,679  
U.S. Treasury Note  4.500 %  5/15/10    66,250     69,945  
U.S. Treasury Note  2.625 %  5/31/10    154,725     159,392  
U.S. Treasury Note  2.875 %  6/30/10    178,225     184,575  
U.S. Treasury Note  2.750 %  7/31/10    141,800     146,896  
U.S. Treasury Note  4.125 %  8/15/10    60,150     63,712  
U.S. Treasury Note  5.750 %  8/15/10    3,350     3,637  
U.S. Treasury Note  2.375 %  8/31/10    241,435     248,753  
U.S. Treasury Note  2.000 %  9/30/10    140,090     143,636  
U.S. Treasury Note  1.500 %  10/31/10    157,030     159,360  
U.S. Treasury Note  4.500 %  11/15/10    300     322  
U.S. Treasury Note  1.250 %  11/30/10    129,050     130,441  
U.S. Treasury Note  4.375 %  12/15/10    7,505     8,062  
U.S. Treasury Note  0.875 %  12/31/10    66,395     66,540  
U.S. Treasury Note  5.000 %  2/15/11    1,625     1,777  
U.S. Treasury Note  4.750 %  3/31/11    16,500     17,972  
U.S. Treasury Note  4.875 %  4/30/11    215     236  
U.S. Treasury Note  5.125 %  6/30/11    815     902  
U.S. Treasury Note  4.875 %  7/31/11    9,965     11,000  
U.S. Treasury Note  4.625 %  8/31/11    25,850     28,415  
U.S. Treasury Note  4.500 %  9/30/11    40,955     44,935  
U.S. Treasury Note  1.750 %  11/15/11    42,375     43,322  
U.S. Treasury Note  4.500 %  11/30/11    84,230     92,745  
U.S. Treasury Note  1.125 %  12/15/11    66,000     66,279  
U.S. Treasury Note  4.625 %  12/31/11    12,620     13,971  
U.S. Treasury Note  4.750 %  1/31/12    75,790     84,304  
U.S. Treasury Note  4.625 %  2/29/12    27,410     30,438  
U.S. Treasury Note  4.500 %  3/31/12    103,940     114,903  
U.S. Treasury Note  4.500 %  4/30/12    100,165     110,980  
U.S. Treasury Note  4.750 %  5/31/12    176,580     197,741  
U.S. Treasury Note  4.875 %  6/30/12    114,750     129,004  
U.S. Treasury Note  4.625 %  7/31/12    164,050     183,915  
U.S. Treasury Note  4.375 %  8/15/12    25     28  
U.S. Treasury Note  4.125 %  8/31/12    63,335     70,054  
U.S. Treasury Note  3.875 %  10/31/12    107,025     118,464  
U.S. Treasury Note  3.375 %  11/30/12    700     763  
U.S. Treasury Note  2.750 %  2/28/13    25,475     27,222  
U.S. Treasury Note  3.625 %  5/15/13    1,355     1,489  
U.S. Treasury Note  3.500 %  5/31/13    101,210     110,856  
U.S. Treasury Note  3.375 %  6/30/13    108,925     118,746  
U.S. Treasury Note  3.375 %  7/31/13    6,075     6,635  
U.S. Treasury Note  3.125 %  8/31/13    105,330     113,543  
U.S. Treasury Note  3.125 %  9/30/13    139,450     150,432  
U.S. Treasury Note  2.750 %  10/31/13    91,650     97,436  
U.S. Treasury Note  4.250 %  11/15/13    8,170     9,323  
U.S. Treasury Note  2.000 %  11/30/13    172,590     177,093  
U.S. Treasury Note  1.500 %  12/31/13    202,625     202,118  
                4,763,124  

Page 48


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Agency Bonds and Notes (19.0%)                   
1 Federal Farm Credit Bank  5.250 %  9/13/10    2,325     2,475  
1 Federal Farm Credit Bank  3.750 %  12/6/10    24,200     25,271  
1 Federal Farm Credit Bank  4.875 %  2/18/11    7,000     7,477  
1 Federal Farm Credit Bank  2.625 %  4/21/11    6,750     6,905  
1 Federal Farm Credit Bank  5.375 %  7/18/11    2,100     2,287  
1 Federal Farm Credit Bank  3.875 %  8/25/11    6,300     6,601  
1 Federal Farm Credit Bank  4.500 %  10/17/12    4,200     4,565  
1 Federal Farm Credit Bank  3.875 %  10/7/13    2,500     2,642  
1 Federal Home Loan Bank  3.875 %  1/15/10    46,375     47,714  
1 Federal Home Loan Bank  2.750 %  3/12/10    6,575     6,698  
1 Federal Home Loan Bank  4.375 %  3/17/10    22,025     22,901  
1 Federal Home Loan Bank  4.875 %  5/14/10    43,950     46,129  
1 Federal Home Loan Bank  5.250 %  6/11/10    5,450     5,757  
1 Federal Home Loan Bank  2.750 %  6/18/10    46,650     47,643  
1 Federal Home Loan Bank  4.500 %  6/22/10    10,000     10,466  
1 Federal Home Loan Bank  3.500 %  7/16/10    17,800     18,416  
1 Federal Home Loan Bank  3.375 %  8/13/10    11,750     12,137  
1 Federal Home Loan Bank  4.125 %  8/13/10    9,050     9,444  
1 Federal Home Loan Bank  3.375 %  10/20/10    33,500     34,760  
1 Federal Home Loan Bank  4.750 %  12/10/10    2,325     2,470  
1 Federal Home Loan Bank  3.625 %  12/17/10    19,700     20,550  
1 Federal Home Loan Bank  3.250 %  3/11/11    5,000     5,176  
1 Federal Home Loan Bank  3.125 %  6/10/11    900     932  
1 Federal Home Loan Bank  3.375 %  6/24/11    30,000     31,337  
1 Federal Home Loan Bank  3.625 %  7/1/11    10,300     10,775  
1 Federal Home Loan Bank  5.375 %  8/19/11    37,350     40,887  
1 Federal Home Loan Bank  3.750 %  9/9/11    2,800     2,944  
1 Federal Home Loan Bank  3.625 %  9/16/11    5,575     5,868  
1 Federal Home Loan Bank  4.875 %  11/18/11    31,950     34,768  
1 Federal Home Loan Bank  5.750 %  5/15/12    14,000     15,688  
1 Federal Home Loan Bank  4.625 %  10/10/12    40,000     43,796  
1 Federal Home Loan Bank  4.500 %  11/15/12    30,000     32,838  
1 Federal Home Loan Bank  4.000 %  9/6/13    20,000     21,332  
1 Federal Home Loan Bank  4.500 %  9/16/13    7,800     8,509  
1 Federal Home Loan Bank  3.625 %  10/18/13    19,675     20,685  
1 Federal Home Loan Mortgage Corp.  5.000 %  6/11/09    30,000     30,608  
1 Federal Home Loan Mortgage Corp.  4.875 %  2/9/10    40,000     41,621  
1 Federal Home Loan Mortgage Corp.  2.875 %  4/30/10    31,000     31,730  
1 Federal Home Loan Mortgage Corp.  2.875 %  6/28/10    14,875     15,234  
1 Federal Home Loan Mortgage Corp.  4.125 %  7/12/10    45,600     47,568  
1 Federal Home Loan Mortgage Corp.  3.250 %  7/16/10    15,125     15,588  
1 Federal Home Loan Mortgage Corp.  5.125 %  8/23/10    50,000     53,101  
1 Federal Home Loan Mortgage Corp.  6.875 %  9/15/10    25,000     27,333  
1 Federal Home Loan Mortgage Corp.  5.000 %  10/18/10    2,000     2,126  
1 Federal Home Loan Mortgage Corp.  3.125 %  10/25/10    4,000     4,140  
1 Federal Home Loan Mortgage Corp.  4.750 %  1/18/11    12,000     12,801  
1 Federal Home Loan Mortgage Corp.  3.250 %  2/25/11    28,500     29,565  
1 Federal Home Loan Mortgage Corp.  5.625 %  3/15/11    20,000     21,765  
1 Federal Home Loan Mortgage Corp.  5.875 %  3/21/11    4,000     4,185  
1 Federal Home Loan Mortgage Corp.  5.125 %  4/18/11    26,000     28,096  
1 Federal Home Loan Mortgage Corp.  6.000 %  6/15/11    12,500     13,848  
1 Federal Home Loan Mortgage Corp.  3.875 %  6/29/11    4,475     4,741  
1 Federal Home Loan Mortgage Corp.  5.250 %  7/18/11    22,500     24,505  
1 Federal Home Loan Mortgage Corp.  4.500 %  11/15/11    9,000     9,682  
1 Federal Home Loan Mortgage Corp.  4.750 %  3/5/12    13,000     14,166  
1 Federal Home Loan Mortgage Corp.  5.125 %  7/15/12    10,000     11,087  
1 Federal Home Loan Mortgage Corp.  5.500 %  8/20/12    20,000     22,509  
1 Federal Home Loan Mortgage Corp.  4.625 %  10/25/12    36,300     39,782  
1 Federal Home Loan Mortgage Corp.  4.125 %  12/21/12    22,850     24,667  
1 Federal Home Loan Mortgage Corp.  4.500 %  7/15/13    36,200     39,575  
1 Federal Home Loan Mortgage Corp.  4.125 %  9/27/13    10,000     10,804  
1 Federal Home Loan Mortgage Corp.  4.500 %  1/15/14    15,000     16,477  
1 Federal Home Loan Mortgage Corp.  5.000 %  1/30/14    9,000     9,997  
1 Federal National Mortgage Assn.  7.250 %  1/15/10    60,250     63,996  
1 Federal National Mortgage Assn.  3.250 %  2/10/10    9,275     9,501  

Page 49


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
1 Federal National Mortgage Assn.  3.875 %  2/15/10    31,975     33,016  
1 Federal National Mortgage Assn.  4.750 %  3/12/10    35,575     37,109  
1 Federal National Mortgage Assn.  2.500 %  4/9/10    50,000     50,864  
1 Federal National Mortgage Assn.  3.000 %  7/12/10    6,675     6,858  
1 Federal National Mortgage Assn.  4.375 %  9/13/10    25,000     26,267  
1 Federal National Mortgage Assn.  2.875 %  10/12/10    8,500     8,747  
1 Federal National Mortgage Assn.  6.625 %  11/15/10    16,850     18,503  
1 Federal National Mortgage Assn.  4.750 %  12/15/10    10,750     11,436  
1 Federal National Mortgage Assn.  4.500 %  2/15/11    14,300     15,206  
1 Federal National Mortgage Assn.  5.500 %  3/15/11    5,000     5,429  
1 Federal National Mortgage Assn.  5.125 %  4/15/11    25,250     27,284  
1 Federal National Mortgage Assn.  6.000 %  5/15/11    74,100     81,697  
1 Federal National Mortgage Assn.  3.375 %  5/19/11    20,000     20,867  
1 Federal National Mortgage Assn.  5.000 %  10/15/11    25,000     27,214  
1 Federal National Mortgage Assn.  4.875 %  5/18/12    27,200     29,826  
1 Federal National Mortgage Assn.  5.250 %  8/1/12    4,300     4,411  
1 Federal National Mortgage Assn.  4.750 %  11/19/12    15,000     16,556  
1 Federal National Mortgage Assn.  3.625 %  2/12/13    40,350     42,675  
1 Federal National Mortgage Assn.  4.750 %  2/21/13    7,000     7,623  
1 Federal National Mortgage Assn.  4.625 %  5/1/13    10,550     10,750  
1 Federal National Mortgage Assn.  3.875 %  7/12/13    24,325     25,961  
1 Federal National Mortgage Assn.  4.625 %  10/15/13    15,000     16,513  
1 Federal National Mortgage Assn.  2.875 %  12/11/13    5,800     5,938  
1 Federal National Mortgage Assn.  4.125 %  4/15/14    10,000     10,804  
                1,841,195  
 
Total U.S. Government and Agency Obligations (Cost $6,348,479)                6,604,319  
 
Corporate Bonds (24.9%)                   
 
Asset-Backed/Commercial Mortgage-Backed Securities (0.2%)                   
2 BA Covered Bond Issuer  5.500 %  6/14/12    6,800     6,983  
3 Countrywide Home Loans  4.783 %  5/25/33    326     305  
3 DaimlerChrysler Auto Trust  5.330 %  8/8/10    1,301     1,300  
3 Honda Auto Receivables Owner Trust  5.300 %  7/21/10    2,108     2,104  
3 Salomon Brothers Mortgage Securities VII  5.561 %  9/25/33    2,329     2,133  
3 USAA Auto Owner Trust  5.360 %  2/15/11    2,372     2,369  
                15,194  
Finance (12.0%)                   
Banking (7.9%)                   
American Express Bank, FSB  5.550 %  10/17/12    12,650     11,991  
American Express Bank, FSB  5.500 %  4/16/13    2,000     1,905  
American Express Centurion Bank  5.200 %  11/26/10    2,150     2,085  
American Express Centurion Bank  5.550 %  10/17/12    550     524  
American Express Credit Corp.  5.875 %  5/2/13    7,300     7,122  
American Express Credit Corp.  7.300 %  8/20/13    3,475     3,578  
2 American Express Travel  5.250 %  11/21/11    2,325     2,209  
AmSouth Bank NA  4.850 %  4/1/13    1,500     1,252  
Banco Bradesco SA  8.750 %  10/24/13    1,500     1,669  
3 Bank of America Capital Trust XIV  5.630 %  12/31/49    2,150     817  
Bank of America Corp.  4.500 %  8/1/10    7,600     7,655  
Bank of America Corp.  4.250 %  10/1/10    10,500     10,475  
Bank of America Corp.  4.375 %  12/1/10    3,075     3,077  
4 Bank of America Corp.  1.700 %  12/23/10    7,500     7,526  
Bank of America Corp.  5.375 %  8/15/11    6,950     7,118  
Bank of America Corp.  6.250 %  4/15/12    3,225     3,381  
4 Bank of America Corp.  3.125 %  6/15/12    18,750     19,641  
Bank of America Corp.  5.375 %  9/11/12    2,175     2,201  
Bank of America Corp.  4.875 %  9/15/12    3,000     2,956  
Bank of America Corp.  4.875 %  1/15/13    2,025     2,033  
Bank of America Corp.  4.900 %  5/1/13    7,975     8,032  
Bank of New York Mellon  4.950 %  1/14/11    2,825     2,853  
Bank of New York Mellon  6.375 %  4/1/12    1,000     1,053  
Bank of New York Mellon  4.950 %  11/1/12    8,575     8,771  
Bank of New York Mellon  4.500 %  4/1/13    2,200     2,215  

Page 50


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Bank of New York Mellon  5.125 %  8/27/13    400     413  
Bank of Tokyo-Mitsubishi  8.400 %  4/15/10    7,500     7,690  
Bank One Corp.  5.900 %  11/15/11    1,500     1,536  
Barclays Bank PLC  5.450 %  9/12/12    5,375     5,538  
BB&T Corp.  6.500 %  8/1/11    4,050     4,125  
BB&T Corp.  4.750 %  10/1/12    1,500     1,451  
Bear Stearns Co., Inc.  4.550 %  6/23/10    4,800     4,766  
Bear Stearns Co., Inc.  4.500 %  10/28/10    9,000     8,953  
Bear Stearns Co., Inc.  5.350 %  2/1/12    8,750     8,666  
Bear Stearns Co., Inc.  6.950 %  8/10/12    1,500     1,569  
Capital One Bank  5.750 %  9/15/10    1,975     1,919  
Capital One Financial Corp.  5.700 %  9/15/11    4,750     4,421  
Capital One Financial Corp.  4.800 %  2/21/12    50     45  
Charter One Bank N.A.  5.500 %  4/26/11    3,550     3,370  
Citigroup, Inc.  4.125 %  2/22/10    8,050     7,872  
Citigroup, Inc.  4.625 %  8/3/10    7,275     7,134  
Citigroup, Inc.  6.500 %  1/18/11    8,475     8,542  
Citigroup, Inc.  5.125 %  2/14/11    4,600     4,514  
Citigroup, Inc.  5.100 %  9/29/11    5,200     5,077  
4 Citigroup, Inc.  2.875 %  12/9/11    10,900     11,287  
Citigroup, Inc.  6.000 %  2/21/12    5,700     5,624  
Citigroup, Inc.  5.250 %  2/27/12    8,800     8,554  
Citigroup, Inc.  5.625 %  8/27/12    3,500     3,289  
Citigroup, Inc.  5.300 %  10/17/12    7,050     6,880  
Citigroup, Inc.  5.500 %  4/11/13    11,625     11,368  
Citigroup, Inc.  6.500 %  8/19/13    8,225     8,308  
Countrywide Financial Corp.  5.800 %  6/7/12    3,850     3,768  
Countrywide Home Loan  4.125 %  9/15/09    4,625     4,573  
Countrywide Home Loan  4.000 %  3/22/11    1,600     1,522  
Credit Suisse First Boston USA, Inc.  4.125 %  1/15/10    2,025     2,016  
Credit Suisse First Boston USA, Inc.  4.875 %  8/15/10    925     925  
Credit Suisse First Boston USA, Inc.  5.250 %  3/2/11    4,150     4,164  
Credit Suisse First Boston USA, Inc.  6.125 %  11/15/11    8,400     8,608  
Credit Suisse First Boston USA, Inc.  6.500 %  1/15/12    21,050     21,446  
Credit Suisse First Boston USA, Inc.  5.500 %  8/15/13    1,700     1,694  
Credit Suisse New York  5.000 %  5/15/13    3,100     2,984  
Deutsche Bank AG London  5.375 %  10/12/12    16,150     16,411  
Deutsche Bank AG London  4.875 %  5/20/13    9,375     9,499  
Fifth Third Bancorp.  4.200 %  2/23/10    1,000     984  
Fifth Third Bancorp.  6.250 %  5/1/13    2,825     2,677  
Golden West Financial Corp.  4.750 %  10/1/12    3,575     3,394  
3 Goldman Sachs Capital II  5.793 %  12/29/49    6,250     2,466  
Goldman Sachs Group, Inc.  4.500 %  6/15/10    5,915     5,839  
Goldman Sachs Group, Inc.  6.875 %  1/15/11    4,950     5,024  
Goldman Sachs Group, Inc.  6.600 %  1/15/12    22,450     22,201  
Goldman Sachs Group, Inc.  5.300 %  2/14/12    5,500     5,201  
4 Goldman Sachs Group, Inc.  3.250 %  6/15/12    15,650     16,378  
Goldman Sachs Group, Inc.  5.450 %  11/1/12    3,050     2,911  
Goldman Sachs Group, Inc.  5.250 %  4/1/13    1,575     1,481  
Goldman Sachs Group, Inc.  4.750 %  7/15/13    9,525     8,743  
Goldman Sachs Group, Inc.  5.250 %  10/15/13    4,825     4,451  
HSBC Holdings PLC  5.250 %  12/12/12    6,500     6,523  
2 ICICI Bank Ltd.  6.625 %  10/3/12    4,775     3,772  
JPMorgan Chase & Co.  6.750 %  2/1/11    8,850     9,121  
JPMorgan Chase & Co.  5.600 %  6/1/11    12,300     12,638  
JPMorgan Chase & Co.  4.850 %  6/16/11    2,925     2,952  
4 JPMorgan Chase & Co.  3.125 %  12/1/11    13,500     14,102  
JPMorgan Chase & Co.  6.625 %  3/15/12    3,725     3,814  
JPMorgan Chase & Co.  5.375 %  10/1/12    13,325     13,609  
JPMorgan Chase & Co.  5.750 %  1/2/13    1,900     1,914  
JPMorgan Chase & Co.  4.750 %  5/1/13    5,325     5,351  
JPMorgan Chase & Co.  5.250 %  5/1/15    2,000     1,908  
KeyBank NA  7.000 %  2/1/11    975     963  
KeyBank NA  5.500 %  9/17/12    1,025     964  
KeyCorp  6.500 %  5/14/13    2,975     2,759  
Marshall & Ilsley Bank  6.375 %  9/1/11    1,500     1,344  

Page 51


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Marshall & Ilsley Bank  5.250 %  9/4/12    1,850     1,628  
  MBNA America Bank NA  6.625 %  6/15/12    1,000     1,008  
  MBNA Corp.  7.500 %  3/15/12    2,400     2,468  
  MBNA Corp.  6.125 %  3/1/13    675     661  
3  Mellon Capital IV  6.244 %  6/29/49    1,750     1,033  
  Mellon Financial Co.  6.375 %  2/15/10    1,000     1,026  
  Morgan Stanley Dean Witter  4.000 %  1/15/10    1,850     1,816  
  Morgan Stanley Dean Witter  4.250 %  5/15/10    7,550     7,244  
4  Morgan Stanley Dean Witter  2.900 %  12/1/10    6,500     6,671  
  Morgan Stanley Dean Witter  5.050 %  1/21/11    1,350     1,312  
  Morgan Stanley Dean Witter  6.750 %  4/15/11    8,150     7,955  
4  Morgan Stanley Dean Witter  3.250 %  12/1/11    7,250     7,590  
  Morgan Stanley Dean Witter  5.625 %  1/9/12    5,675     5,291  
  Morgan Stanley Dean Witter  6.600 %  4/1/12    6,415     6,108  
  Morgan Stanley Dean Witter  5.750 %  8/31/12    5,800     5,396  
  Morgan Stanley Dean Witter  5.250 %  11/2/12    11,925     10,846  
  Morgan Stanley Dean Witter  5.300 %  3/1/13    7,800     7,074  
  National Australia Bank  8.600 %  5/19/10    2,000     2,047  
  National City Bank  4.500 %  3/15/10    600     585  
  National City Bank  6.250 %  3/15/11    1,500     1,420  
  National City Bank  4.625 %  5/1/13    2,275     1,885  
3  National City Preferred Capital Trust I  12.000 %  12/31/49    2,225     2,092  
2  Nationwide Building Society  5.500 %  7/18/12    2,700     2,559  
  North Fork Bancorp., Inc.  5.875 %  8/15/12    600     479  
  Northern Trust Co.  5.500 %  8/15/13    1,875     1,936  
  Paribas NY  6.950 %  7/22/13    775     814  
  PNC Funding Corp.  7.500 %  11/1/09    1,875     1,886  
  PNC Funding Corp.  5.125 %  12/14/10    2,950     2,990  
  Regions Financial Corp.  4.375 %  12/1/10    500     467  
  Regions Financial Corp.  6.375 %  5/15/12    7,225     6,719  
  Royal Bank of Canada  4.125 %  1/26/10    5,400     5,382  
  Royal Bank of Scotland Group PLC  6.375 %  2/1/11    1,500     1,511  
  Royal Bank of Scotland Group PLC  5.000 %  11/12/13    3,025     2,700  
  Santander Central Hispano Issuances Ltd.  7.625 %  11/3/09    5,000     4,948  
  Santander Central Hispano Issuances Ltd.  7.625 %  9/14/10    1,650     1,648  
  Sanwa Bank Ltd.  7.400 %  6/15/11    3,825     3,959  
  Sovereign Bancorp, Inc.  4.800 %  9/1/10    2,600     2,353  
  Sovereign Bank  5.125 %  3/15/13    1,600     1,340  
3  State Street Capital Trust  8.250 %  12/29/49    2,500     1,919  
  Sumitomo Mitsui Banking Corp.  8.000 %  6/15/12    3,300     3,441  
  SunTrust Banks, Inc.  6.375 %  4/1/11    4,500     4,534  
  SunTrust Banks, Inc.  5.250 %  11/5/12    2,750     2,635  
3  SunTrust Preferred Capital I  5.853 %  12/31/49    2,125     855  
  Synovus Financial Corp.  4.875 %  2/15/13    1,000     850  
  UFJ Finance Aruba AEC  6.750 %  7/15/13    5,550     5,546  
2,3  Unicredit Luxembourg Finance  5.584 %  1/13/12    500     455  
  US Bank NA  6.375 %  8/1/11    8,700     9,076  
3  USB Capital IX  6.189 %  4/15/49    2,050     923  
3  Wachovia Capital Trust III  5.800 %  3/15/11    5,950     3,540  
  Wachovia Corp.  4.375 %  6/1/10    6,825     6,792  
  Wachovia Corp.  7.800 %  8/18/10    2,000     2,034  
  Wachovia Corp.  5.300 %  10/15/11    8,975     8,805  
  Wachovia Corp.  5.500 %  5/1/13    6,805     6,832  
  Wells Fargo & Co.  4.200 %  1/15/10    19,050     19,341  
  Wells Fargo & Co.  4.875 %  1/12/11    4,325     4,436  
  Wells Fargo & Co.  6.375 %  8/1/11    1,500     1,564  
  Wells Fargo & Co.  5.300 %  8/26/11    5,125     5,219  
  Wells Fargo & Co.  5.250 %  10/23/12    10,975     11,254  
  Wells Fargo & Co.  4.375 %  1/31/13    11,000     10,842  
  Wells Fargo & Co.  4.950 %  10/16/13    7,350     7,202  
3  Wells Fargo Capital XIII  7.700 %  12/29/49    8,325     6,847  
3  Wells Fargo Capital XV  9.750 %  12/29/49    4,125     4,208  

Page 52


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Brokerage (0.4%)                   
Ameriprise Financial Inc.  5.350 %  11/15/10    2,675     2,399  
Amvescap PLC  5.375 %  2/27/13    975     888  
Janus Capital Group  5.875 %  9/15/11    850     619  
Merrill Lynch & Co., Inc.  4.125 %  9/10/09    2,700     2,672  
Merrill Lynch & Co., Inc.  4.250 %  2/8/10    7,750     7,596  
Merrill Lynch & Co., Inc.  4.500 %  11/4/10    3,500     3,406  
Merrill Lynch & Co., Inc.  5.770 %  7/25/11    1,175     1,191  
Merrill Lynch & Co., Inc.  6.050 %  8/15/12    8,175     8,187  
Merrill Lynch & Co., Inc.  5.450 %  2/5/13    4,225     4,069  
Merrill Lynch & Co., Inc.  6.150 %  4/25/13    5,350     5,272  
 
Finance Companies (2.3%)                   
Allied Capital Corp.  6.000 %  4/1/12    1,150     791  
American General Finance Corp.  3.875 %  10/1/09    1,900     1,387  
American General Finance Corp.  4.625 %  9/1/10    1,000     520  
American General Finance Corp.  5.625 %  8/17/11    2,100     1,008  
American General Finance Corp.  4.875 %  7/15/12    1,125     484  
American General Finance Corp.  5.375 %  10/1/12    625     294  
American General Finance Corp.  5.850 %  6/1/13    5,325     2,210  
Block Financial LLC  7.875 %  1/15/13    800     751  
Capmark Financial Group  5.875 %  5/10/12    1,800     621  
CIT Group Funding Co. of Canada  4.650 %  7/1/10    3,150     2,764  
CIT Group Funding Co. of Canada  5.600 %  11/2/11    375     293  
CIT Group, Inc.  4.250 %  2/1/10    4,325     4,017  
CIT Group, Inc.  5.200 %  11/3/10    4,025     3,502  
CIT Group, Inc.  4.750 %  12/15/10    6,275     5,522  
CIT Group, Inc.  5.600 %  4/27/11    2,825     2,366  
CIT Group, Inc.  5.800 %  7/28/11    750     622  
CIT Group, Inc.  5.400 %  2/13/12    1,000     790  
CIT Group, Inc.  7.625 %  11/30/12    3,025     2,571  
General Electric Capital Corp.  4.250 %  9/13/10    4,575     4,572  
General Electric Capital Corp.  4.875 %  10/21/10    6,900     7,035  
General Electric Capital Corp.  5.000 %  12/1/10    2,275     2,321  
General Electric Capital Corp.  6.125 %  2/22/11    25,875     26,888  
General Electric Capital Corp.  5.500 %  4/28/11    1,150     1,182  
General Electric Capital Corp.  5.875 %  2/15/12    16,885     17,355  
General Electric Capital Corp.  4.375 %  3/3/12    2,325     2,290  
General Electric Capital Corp.  6.000 %  6/15/12    13,250     13,656  
General Electric Capital Corp.  5.250 %  10/19/12    18,750     18,910  
General Electric Capital Corp.  5.450 %  1/15/13    6,975     7,051  
General Electric Capital Corp.  4.800 %  5/1/13    11,000     10,916  
HSBC Finance Corp.  4.125 %  11/16/09    7,575     7,508  
HSBC Finance Corp.  4.625 %  9/15/10    6,150     6,080  
HSBC Finance Corp.  5.250 %  1/14/11    5,425     5,386  
HSBC Finance Corp.  5.700 %  6/1/11    12,425     12,234  
HSBC Finance Corp.  6.375 %  10/15/11    1,525     1,532  
HSBC Finance Corp.  7.000 %  5/15/12    4,400     4,432  
HSBC Finance Corp.  5.900 %  6/19/12    1,375     1,390  
HSBC Finance Corp.  6.375 %  11/27/12    3,650     3,610  
HSBC Finance Corp.  4.750 %  7/15/13    4,675     4,333  
International Lease Finance Corp.  4.875 %  9/1/10    1,200     960  
International Lease Finance Corp.  5.125 %  11/1/10    2,100     1,596  
International Lease Finance Corp.  4.950 %  2/1/11    2,300     1,690  
International Lease Finance Corp.  5.450 %  3/24/11    975     712  
International Lease Finance Corp.  5.750 %  6/15/11    7,450     5,438  
International Lease Finance Corp.  5.300 %  5/1/12    5,375     3,762  
International Lease Finance Corp.  5.000 %  9/15/12    4,665     3,219  
International Lease Finance Corp.  6.375 %  3/25/13    4,075     2,852  
International Lease Finance Corp.  5.625 %  9/20/13    3,900     2,584  
PHH Corp.  7.125 %  3/1/13    900     423  
SLM Corp.  4.500 %  7/26/10    3,550     3,172  
SLM Corp.  5.400 %  10/25/11    3,700     2,984  

Page 53


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
SLM Corp.  5.125 %  8/27/12    2,500     1,829  
SLM Corp.  5.375 %  1/15/13    2,400     1,728  
SLM Corp.  5.000 %  10/1/13    4,350     3,153  
 
Insurance (1.1%)                   
Aetna, Inc.  7.875 %  3/1/11    1,675     1,686  
Aetna, Inc.  5.750 %  6/15/11    1,575     1,557  
Allstate Corp.  6.125 %  2/15/12    1,450     1,407  
Allstate Life Global Funding  5.375 %  4/30/13    7,775     7,842  
American International Group, Inc.  4.700 %  10/1/10    2,100     1,866  
American International Group, Inc.  5.375 %  10/18/11    800     650  
American International Group, Inc.  4.950 %  3/20/12    1,475     1,149  
American International Group, Inc.  4.250 %  5/15/13    3,600     2,588  
AXA Financial, Inc.  7.750 %  8/1/10    2,276     2,280  
Berkshire Hathaway Finance Corp.  4.125 %  1/15/10    5,150     5,221  
Berkshire Hathaway Finance Corp.  4.200 %  12/15/10    5,150     5,273  
Berkshire Hathaway Finance Corp.  4.750 %  5/15/12    4,300     4,448  
Berkshire Hathaway Finance Corp.  4.600 %  5/15/13    4,250     4,377  
Berkshire Hathaway Finance Corp.  5.000 %  8/15/13    2,275     2,370  
Chubb Corp.  5.200 %  4/1/13    3,000     2,978  
CNA Financial Corp.  6.000 %  8/15/11    2,450     1,777  
Fund American Cos., Inc.  5.875 %  5/15/13    1,825     1,338  
Genworth Financial, Inc.  5.125 %  3/15/11    1,600     1,120  
Genworth Financial, Inc.  5.650 %  6/15/12    2,500     1,041  
Hartford Financial Services Group, Inc.  5.250 %  10/15/11    4,200     3,685  
ING Capital Funding Trust III  8.439 %  12/31/10    4,000     2,018  
ING USA Global  4.500 %  10/1/10    3,600     3,502  
Liberty Mutual Group  4.875 %  2/1/10    2,500     2,393  
Lincoln National Corp.  6.200 %  12/15/11    1,550     1,412  
Lincoln National Corp.  5.650 %  8/27/12    225     184  
Marsh & McLennan Cos., Inc.  5.150 %  9/15/10    50     49  
Marsh & McLennan Cos., Inc.  6.250 %  3/15/12    2,175     2,038  
MetLife, Inc.  5.375 %  12/15/12    2,850     2,720  
MetLife, Inc.  5.000 %  11/24/13    2,050     1,875  
Principal Life Income Funding  5.125 %  3/1/11    1,300     1,260  
Principal Life Income Funding  5.300 %  12/14/12    1,900     1,819  
Principal Life Income Funding  5.300 %  4/24/13    2,350     2,241  
Progressive Corp.  6.375 %  1/15/12    850     848  
Protective Life Secured Trust  4.850 %  8/16/10    2,075     1,824  
Protective Life Secured Trust  5.450 %  9/28/12    1,290     1,127  
Prudential Financial, Inc.  5.100 %  12/14/11    1,200     1,041  
Prudential Financial, Inc.  5.800 %  6/15/12    1,700     1,476  
Prudential Financial, Inc.  5.150 %  1/15/13    2,150     1,783  
Prudential Financial, Inc.  4.500 %  7/15/13    450     355  
Travelers Cos. Inc.  5.375 %  6/15/12    700     702  
Travelers Property Casualty Corp.  5.000 %  3/15/13    2,500     2,369  
UnitedHealth Group, Inc.  5.250 %  3/15/11    4,525     4,338  
UnitedHealth Group, Inc.  5.500 %  11/15/12    575     527  
UnitedHealth Group, Inc.  4.875 %  2/15/13    1,625     1,522  
UnitedHealth Group, Inc.  4.875 %  4/1/13    1,625     1,515  
WellPoint Inc.  5.000 %  1/15/11    1,950     1,900  
WellPoint Inc.  6.375 %  1/15/12    1,650     1,627  
WellPoint Inc.  6.800 %  8/1/12    1,150     1,134  
Willis North America Inc.  5.125 %  7/15/10    900     746  
XL Capital Ltd.  6.500 %  1/15/12    2,575     1,606  
 
Other Finance (0.0%)                   
Chicago Mercantile Exchange Group Inc.  5.400 %  8/1/13    2,400     2,391  
Orix Corp.  5.480 %  11/22/11    2,650     1,995  
 
Real Estate Investment Trusts (0.3%)                   
AMB Property LP  6.300 %  6/1/13    475     296  
AvalonBay Communities, Inc.  5.500 %  1/15/12    2,000     1,617  
Boston Properties, Inc.  6.250 %  1/15/13    2,100     1,588  
Brandywine Operating Partnership  5.750 %  4/1/12    2,750     2,092  

Page 54


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Developers Diversified Realty Corp.  5.250 %  4/15/11    1,500     845  
Duke Realty LP  5.625 %  8/15/11    575     450  
ERP Operating LP  6.625 %  3/15/12    1,350     1,108  
ERP Operating LP  5.500 %  10/1/12    2,000     1,538  
ERP Operating LP  5.200 %  4/1/13    1,000     742  
Health Care Property Investors, Inc.  5.950 %  9/15/11    625     474  
Health Care Property Investors, Inc.  6.450 %  6/25/12    750     546  
Health Care REIT, Inc.  6.000 %  11/15/13    2,775     1,883  
Nationwide Health Properties, Inc.  6.250 %  2/1/13    1,850     1,467  
ProLogis  5.500 %  4/1/12    965     496  
ProLogis  5.500 %  3/1/13    2,000     900  
Regency Centers LP  6.750 %  1/15/12    1,650     1,342  
Simon Property Group Inc.  4.600 %  6/15/10    175     154  
Simon Property Group Inc.  4.875 %  8/15/10    3,850     3,404  
Simon Property Group Inc.  5.600 %  9/1/11    1,250     1,047  
Simon Property Group Inc.  5.000 %  3/1/12    5,900     4,310  
Simon Property Group Inc.  5.300 %  5/30/13    2,925     2,105  
Vornado Realty  5.600 %  2/15/11    1,850     1,681  
                1,158,811  
Industrial (10.9%)                   
Basic Industry (0.7%)                   
Alcan, Inc.  6.450 %  3/15/11    3,150     2,778  
Alcan, Inc.  4.500 %  5/15/13    775     552  
Alcoa, Inc.  6.000 %  1/15/12    4,275     4,006  
Alcoa, Inc.  5.375 %  1/15/13    650     582  
Alcoa, Inc.  6.000 %  7/15/13    3,725     3,382  
ArcelorMittal  5.375 %  6/1/13    5,050     3,953  
Barrick Gold Finance Inc.  6.125 %  9/15/13    3,100     2,930  
BHP Billiton Finance Ltd.  5.000 %  12/15/10    1,000     990  
BHP Billiton Finance Ltd.  5.125 %  3/29/12    475     470  
BHP Finance USA Ltd.  4.800 %  4/15/13    3,000     2,855  
Celulosa Arauco Constitution SA  8.625 %  8/15/10    3,500     3,614  
Dow Chemical Co.  6.125 %  2/1/11    2,725     2,709  
Dow Chemical Co.  6.000 %  10/1/12    3,000     2,842  
E.I. du Pont de Nemours & Co.  4.125 %  4/30/10    1,175     1,197  
E.I. du Pont de Nemours & Co.  5.000 %  1/15/13    6,100     6,168  
E.I. du Pont de Nemours & Co.  4.125 %  3/6/13    1,000     979  
E.I. du Pont de Nemours & Co.  5.000 %  7/15/13    4,100     4,151  
Falconbridge Ltd.  7.350 %  6/5/12    1,000     789  
International Paper Co.  4.000 %  4/1/10    2,000     1,937  
Lubrizol Corp.  5.500 %  10/1/14    1,850     1,674  
Monsanto Co.  7.375 %  8/15/12    1,200     1,354  
Noranda, Inc.  7.250 %  7/15/12    1,500     1,184  
Nucor Corp.  5.000 %  12/1/12    925     908  
Nucor Corp.  5.000 %  6/1/13    1,200     1,191  
Potash Corp. of Saskatchewan  7.750 %  5/31/11    3,325     3,447  
PPG Industries, Inc.  5.750 %  3/15/13    1,875     1,850  
Praxair, Inc.  6.375 %  4/1/12    1,250     1,318  
Praxair, Inc.  3.950 %  6/1/13    825     806  
Rio Tinto Finance USA Ltd.  5.875 %  7/15/13    5,450     4,369  
US Steel Corp.  5.650 %  6/1/13    800     570  
Weyerhaeuser Co.  6.750 %  3/15/12    4,600     4,062  
WMC Finance USA  5.125 %  5/15/13    1,600     1,524  
 
Capital Goods (1.4%)                   
3M Co.  5.125 %  11/6/09    575     587  
3M Co.  4.375 %  8/15/13    2,000     2,114  
Bemis Co. Inc.  4.875 %  4/1/12    1,600     1,486  
Black & Decker Corp.  7.125 %  6/1/11    1,000     990  
Boeing Capital Corp.  6.100 %  3/1/11    4,850     5,050  
Boeing Capital Corp.  6.500 %  2/15/12    4,700     4,977  
Boeing Capital Corp.  5.800 %  1/15/13    2,750     2,865  
Caterpillar Financial Services Corp.  4.150 %  1/15/10    2,900     2,872  
Caterpillar Financial Services Corp.  4.300 %  6/1/10    8,975     8,822  

Page 55


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Caterpillar Financial Services Corp.  4.250 %  2/8/13    700     675  
Caterpillar Financial Services Corp.  6.200 %  9/30/13    2,150     2,226  
Cooper Industries, Inc.  5.250 %  11/15/12    1,400     1,405  
CRH America Inc.  5.625 %  9/30/11    2,500     2,076  
CRH America Inc.  6.950 %  3/15/12    2,000     1,671  
CRH America Inc.  5.300 %  10/15/13    2,075     1,475  
Eaton Corp.  4.900 %  5/15/13    1,050     1,009  
Emerson Electric Co.  7.125 %  8/15/10    500     525  
Emerson Electric Co.  4.625 %  10/15/12    3,200     3,225  
General Dynamics Corp.  4.500 %  8/15/10    875     892  
General Dynamics Corp.  4.250 %  5/15/13    3,800     3,764  
General Dynamics Corp.  5.250 %  2/1/14    925     952  
General Electric Co.  5.000 %  2/1/13    16,000     16,239  
Honeywell International, Inc.  7.500 %  3/1/10    1,000     1,044  
Honeywell International, Inc.  6.125 %  11/1/11    2,000     2,110  
Honeywell International, Inc.  5.625 %  8/1/12    775     807  
Honeywell International, Inc.  4.250 %  3/1/13    2,050     2,040  
Ingersoll-Rand GL Holding Company  6.000 %  8/15/13    1,800     1,761  
John Deere Capital Corp  4.950 %  12/17/12    2,300     2,308  
John Deere Capital Corp.  5.400 %  10/17/11    1,325     1,332  
John Deere Capital Corp.  7.000 %  3/15/12    14,750     15,835  
Lafarge SA  6.150 %  7/15/11    3,175     2,722  
Lockheed Martin Corp.  4.121 %  3/14/13    2,000     1,965  
Masco Corp.  5.875 %  7/15/12    2,500     2,039  
Mohawk Industries Inc.  5.750 %  1/15/11    3,000     2,770  
Northrop Grumman Corp.  7.125 %  2/15/11    4,250     4,471  
Raytheon Co.  4.850 %  1/15/11    2,000     2,014  
Republic Services, Inc.  6.750 %  8/15/11    1,000     983  
Roper Industries Inc.  6.625 %  8/15/13    1,650     1,682  
Textron Financial Corp.  6.000 %  11/20/09    800     745  
Textron Financial Corp.  4.600 %  5/3/10    2,300     2,074  
Textron Financial Corp.  5.125 %  11/1/10    2,275     2,011  
Textron Financial Corp.  5.400 %  4/28/13    1,350     976  
Textron, Inc.  6.500 %  6/1/12    2,700     2,328  
Tyco International Group SA  6.125 %  1/15/09    2,500     2,500  
Tyco International Group SA  6.750 %  2/15/11    1,950     1,869  
Tyco International Group SA  6.375 %  10/15/11    2,000     1,876  
United Technologies Corp.  4.375 %  5/1/10    2,625     2,647  
United Technologies Corp.  7.125 %  11/15/10    2,000     2,129  
United Technologies Corp.  6.350 %  3/1/11    1,225     1,279  
United Technologies Corp.  6.100 %  5/15/12    1,000     1,056  
Vulcan Materials Co.  6.300 %  6/15/13    1,250     1,148  
 
Communication (2.7%)                   
AT&T Inc.  5.300 %  11/15/10    2,400     2,436  
AT&T Inc.  6.250 %  3/15/11    13,675     14,010  
AT&T Inc.  7.300 %  11/15/11    8,925     9,515  
AT&T Inc.  5.875 %  2/1/12    4,725     4,849  
AT&T Inc.  5.875 %  8/15/12    1,825     1,881  
AT&T Inc.  4.950 %  1/15/13    3,075     3,098  
AT&T Inc.  6.700 %  11/15/13    2,225     2,377  
AT&T Wireless  7.875 %  3/1/11    12,250     12,901  
AT&T Wireless  8.125 %  5/1/12    3,900     4,183  
British Telecommunications PLC  8.625 %  12/15/10    7,325     7,575  
British Telecommunications PLC  5.150 %  1/15/13    2,000     1,836  
CBS Corp.  7.700 %  7/30/10    2,475     2,422  
CBS Corp.  6.625 %  5/15/11    2,000     1,766  
CBS Corp.  5.625 %  8/15/12    2,225     1,836  
CenturyTel, Inc.  7.875 %  8/15/12    1,000     877  
Cingular Wireless LLC  6.500 %  12/15/11    1,000     1,022  
Comcast Cable Communications Holdings Inc.  8.375 %  3/15/13    5,800     6,022  
Comcast Cable Communications, Inc.  6.750 %  1/30/11    17,350     17,538  
Comcast Corp.  5.850 %  1/15/10    75     76  
Comcast Corp.  5.500 %  3/15/11    2,575     2,550  
Cox Communications, Inc.  4.625 %  1/15/10    4,850     4,690  

Page 56


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Cox Communications, Inc.  6.750 %  3/15/11    2,175     2,082  
Cox Communications, Inc.  7.125 %  10/1/12    2,950     2,787  
Deutsche Telekom International Finance  8.500 %  6/15/10    9,375     9,755  
Deutsche Telekom International Finance  5.250 %  7/22/13    3,215     3,078  
Deutsche Telekom International Finance  5.875 %  8/20/13    1,025     1,030  
Embarq Corp.  6.738 %  6/1/13    3,000     2,450  
France Telecom  7.750 %  3/1/11    13,925     14,653  
Gannett Co., Inc.  6.375 %  4/1/12    1,175     767  
Koninklijke KPN NV  8.000 %  10/1/10    2,000     2,012  
McGraw-Hill Cos. Inc.  5.375 %  11/15/12    2,475     2,215  
News America Holdings, Inc.  9.250 %  2/1/13    2,825     3,053  
Qwest Communications International Inc.  7.875 %  9/1/11    2,375     2,114  
Qwest Communications International Inc.  8.875 %  3/15/12    3,875     3,565  
R.R. Donnelley & Sons Co.  4.950 %  5/15/10    900     834  
R.R. Donnelley & Sons Co.  5.625 %  1/15/12    600     534  
Rogers Communications Inc.  7.250 %  12/15/12    3,500     3,417  
Telecom Italia Capital  4.000 %  1/15/10    3,605     3,393  
Telecom Italia Capital  4.875 %  10/1/10    1,000     916  
Telecom Italia Capital  6.200 %  7/18/11    700     619  
Telecom Italia Capital  5.250 %  11/15/13    2,875     2,316  
Telefonica Emisiones SAU  5.984 %  6/20/11    6,200     6,169  
Telefonica Emisiones SAU  5.855 %  2/4/13    3,000     2,834  
Telefonica Europe BV  7.750 %  9/15/10    5,000     5,083  
Telefonos de Mexico SA  4.750 %  1/27/10    4,650     4,667  
Telus Corp.  8.000 %  6/1/11    5,000     4,955  
Thomson Corp.  6.200 %  1/5/12    1,500     1,447  
Thomson Reuters Corp.  5.950 %  7/15/13    3,925     3,654  
Time Warner Cable Inc.  5.400 %  7/2/12    7,300     6,904  
Time Warner Cable Inc.  6.200 %  7/1/13    4,250     4,082  
Time Warner Entertainment  8.875 %  10/1/12    1,000     995  
Verizon Communications Corp.  5.350 %  2/15/11    3,800     3,872  
Verizon Communications Corp.  4.350 %  2/15/13    2,950     2,814  
Verizon Communications Corp.  5.250 %  4/15/13    2,875     2,832  
Verizon Florida, Inc.  6.125 %  1/15/13    1,500     1,486  
Verizon Global Funding Corp.  7.250 %  12/1/10    6,800     7,242  
Verizon Global Funding Corp.  6.875 %  6/15/12    2,500     2,619  
Verizon Global Funding Corp.  7.375 %  9/1/12    4,300     4,586  
Verizon Global Funding Corp.  4.375 %  6/1/13    250     240  
Verizon New England, Inc.  6.500 %  9/15/11    2,500     2,528  
Verizon New Jersey, Inc.  5.875 %  1/17/12    3,700     3,643  
Verizon New York, Inc.  6.875 %  4/1/12    2,000     1,999  
Verizon Pennsylvania, Inc.  5.650 %  11/15/11    2,000     1,929  
Verizon Virginia, Inc.  4.625 %  3/15/13    3,600     3,258  
2 Verizon Wireless Inc.  7.375 %  11/15/13    3,675     3,870  
Vodafone AirTouch PLC  7.750 %  2/15/10    6,235     6,370  
Vodafone Group PLC  5.350 %  2/27/12    9,025     8,936  
 
Consumer Cyclical (1.6%)                   
2 Best Buy Co.  6.750 %  7/15/13    1,750     1,613  
Costco Wholesale Corp.  5.300 %  3/15/12    4,000     4,198  
CVS Caremark Corp.  5.750 %  8/15/11    1,800     1,783  
3 CVS Caremark Corp.  6.302 %  6/1/12    2,500     1,078  
DaimlerChrysler North America Holding Corp.  4.875 %  6/15/10    2,200     1,991  
DaimlerChrysler North America Holding Corp.  8.000 %  6/15/10    1,175     1,104  
DaimlerChrysler North America Holding Corp.  5.875 %  3/15/11    6,350     5,461  
DaimlerChrysler North America Holding Corp.  5.750 %  9/8/11    10,925     9,286  
DaimlerChrysler North America Holding Corp.  7.300 %  1/15/12    3,475     2,971  
DaimlerChrysler North America Holding Corp.  6.500 %  11/15/13    4,850     3,880  
Darden Restaurants Inc.  5.625 %  10/15/12    1,300     1,141  
Federated Retail Holding  5.350 %  3/15/12    6,100     4,566  
Home Depot Inc.  4.625 %  8/15/10    3,425     3,297  
Home Depot Inc.  5.200 %  3/1/11    1,325     1,295  
Home Depot Inc.  5.250 %  12/16/13    3,125     2,882  
J.C. Penney Co., Inc.  8.000 %  3/1/10    3,000     2,813  
Johnson Controls, Inc.  5.250 %  1/15/11    1,975     1,784  

Page 57


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Johnson Controls, Inc.  4.875 %  9/15/13    1,000     823  
Lowe’s Cos., Inc.  8.250 %  6/1/10    2,000     2,110  
Lowe’s Cos., Inc.  5.600 %  9/15/12    3,200     3,224  
Marriott International  4.625 %  6/15/12    1,175     890  
Marriott International  5.625 %  2/15/13    1,425     1,079  
McDonald’s Corp.  5.750 %  3/1/12    1,800     1,916  
McDonald’s Corp.  4.300 %  3/1/13    2,000     2,058  
Starwood Hotel Resorts  7.875 %  5/1/12    3,350     2,580  
Starwood Hotel Resorts  6.250 %  2/15/13    1,900     1,312  
Target Corp.  7.500 %  8/15/10    3,000     3,127  
Target Corp.  6.350 %  1/15/11    4,900     5,056  
Target Corp.  5.125 %  1/15/13    1,075     1,069  
Target Corp.  4.000 %  6/15/13    825     784  
The Walt Disney Co.  5.700 %  7/15/11    3,100     3,269  
The Walt Disney Co.  6.375 %  3/1/12    1,500     1,595  
The Walt Disney Co.  4.700 %  12/1/12    7,200     7,389  
The Walt Disney Co.  4.500 %  12/15/13    325     327  
Time Warner, Inc.  6.750 %  4/15/11    1,750     1,720  
Time Warner, Inc.  5.500 %  11/15/11    7,925     7,388  
Time Warner, Inc.  6.875 %  5/1/12    5,675     5,511  
Toll Brothers, Inc.  6.875 %  11/15/12    750     640  
Toll Brothers, Inc.  5.950 %  9/15/13    575     448  
Toyota Motor Credit Corp.  4.250 %  3/15/10    3,575     3,595  
Toyota Motor Credit Corp.  4.350 %  12/15/10    2,300     2,333  
Toyota Motor Credit Corp.  5.450 %  5/18/11    3,000     3,107  
Viacom Inc.  5.750 %  4/30/11    2,925     2,638  
Wal-Mart Stores, Inc.  4.125 %  7/1/10    5,300     5,382  
Wal-Mart Stores, Inc.  4.750 %  8/15/10    2,850     2,964  
Wal-Mart Stores, Inc.  4.125 %  2/15/11    6,475     6,700  
Wal-Mart Stores, Inc.  4.250 %  4/15/13    2,400     2,486  
Wal-Mart Stores, Inc.  4.550 %  5/1/13    3,250     3,386  
Wal-Mart Stores, Inc.  7.250 %  6/1/13    2,300     2,627  
Walgreen Co.  4.875 %  8/1/13    4,200     4,358  
Western Union Co.  5.400 %  11/17/11    1,925     1,840  
Yum! Brands, Inc.  8.875 %  4/15/11    6,600     6,643  
Yum! Brands, Inc.  7.700 %  7/1/12    1,600     1,580  
 
Consumer Noncyclical (2.3%)                   
Abbott Laboratories  3.750 %  3/15/11    2,275     2,322  
Abbott Laboratories  5.600 %  5/15/11    6,825     7,235  
Abbott Laboratories  5.150 %  11/30/12    3,325     3,568  
Altria Group, Inc.  8.500 %  11/10/13    4,100     4,290  
AmerisourceBergen Corp.  5.625 %  9/15/12    1,225     1,137  
Anheuser Busch Cos., Inc.  4.700 %  4/15/12    1,500     1,426  
Anheuser-Busch Cos., Inc.  6.000 %  4/15/11    800     808  
Anheuser-Busch Cos., Inc.  4.375 %  1/15/13    1,500     1,384  
AstraZeneca PLC  5.400 %  9/15/12    9,375     9,937  
Baxter Finco, BV  4.750 %  10/15/10    500     501  
Biogen Idec Inc.  6.000 %  3/1/13    2,700     2,735  
Bottling Group LLC  4.625 %  11/15/12    4,500     4,552  
Bottling Group LLC  5.000 %  11/15/13    1,500     1,491  
Bristol-Myers Squibb Co.  5.250 %  8/15/13    1,675     1,788  
Campbell Soup Co.  6.750 %  2/15/11    1,000     1,055  
Cardinal Health, Inc.  6.750 %  2/15/11    425     426  
Cardinal Health, Inc.  5.650 %  6/15/12    375     361  
Cia. Brasil de Bebidas AmBev  10.500 %  12/15/11    1,300     1,424  
Cia. Brasil de Bebidas AmBev  8.750 %  9/15/13    2,250     2,363  
Clorox Co.  4.200 %  1/15/10    2,650     2,622  
Coca-Cola Enterprises Inc.  5.000 %  8/15/13    2,300     2,287  
Coca-Cola HBC Finance BV  5.125 %  9/17/13    1,800     1,775  
Colgate-Palmolive Co.  5.980 %  4/25/12    1,250     1,348  
ConAgra Foods, Inc.  7.875 %  9/15/10    1,000     1,019  
ConAgra Foods, Inc.  6.750 %  9/15/11    387     389  
Covidien International  5.450 %  10/15/12    2,425     2,369  
Diageo Capital PLC  4.375 %  5/3/10    500     502  

Page 58


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Diageo Capital PLC  5.200 %  1/30/13    5,036     5,036  
Diageo Finance BV  3.875 %  4/1/11    3,500     3,436  
2 Dr. Pepper Snapple Group  6.120 %  5/1/13    325     318  
Eli Lilly & Co.  6.000 %  3/15/12    5,675     6,119  
Fortune Brands Inc.  5.125 %  1/15/11    3,150     3,042  
Genentech Inc.  4.400 %  7/15/10    850     856  
General Mills, Inc.  6.000 %  2/15/12    4,675     4,802  
General Mills, Inc.  5.650 %  9/10/12    3,050     3,114  
General Mills, Inc.  5.250 %  8/15/13    1,625     1,635  
GlaxoSmithKline Capital Inc.  4.850 %  5/15/13    9,250     9,506  
H.J. Heinz Co.  6.625 %  7/15/11    2,500     2,575  
H.J. Heinz Co.  6.000 %  3/15/12    1,500     1,525  
H.J. Heinz Co.  5.350 %  7/15/13    1,300     1,295  
Johnson & Johnson  5.150 %  8/15/12    2,975     3,253  
Johnson & Johnson  3.800 %  5/15/13    1,525     1,597  
Kellogg Co.  6.600 %  4/1/11    5,850     6,142  
Kellogg Co.  4.250 %  3/6/13    4,175     4,167  
Kimberly-Clark Corp.  5.625 %  2/15/12    2,075     2,157  
Kraft Foods, Inc.  4.125 %  11/12/09    2,300     2,337  
Kraft Foods, Inc.  5.625 %  11/1/11    5,150     5,243  
Kraft Foods, Inc.  6.250 %  6/1/12    7,525     7,736  
Kraft Foods, Inc.  5.250 %  10/1/13    3,200     3,107  
Kroger Co.  8.050 %  2/1/10    1,700     1,734  
Kroger Co.  6.800 %  4/1/11    1,000     1,011  
Kroger Co.  6.750 %  4/15/12    3,050     3,128  
Kroger Co.  6.200 %  6/15/12    2,525     2,550  
Kroger Co.  5.500 %  2/1/13    1,425     1,415  
Kroger Co.  5.000 %  4/15/13    1,550     1,509  
Laboratory Corp. of America  5.500 %  2/1/13    875     842  
McKesson Corp.  7.750 %  2/1/12    1,475     1,508  
McKesson Corp.  5.250 %  3/1/13    1,500     1,398  
Medco Health Solutions  6.125 %  3/15/13    1,450     1,352  
Medco Health Solutions  7.250 %  8/15/13    800     764  
Medtronic Inc.  4.375 %  9/15/10    1,625     1,620  
Merck & Co.  5.125 %  11/15/11    1,850     1,964  
Molson Coors Capital Finance  4.850 %  9/22/10    300     295  
Newell Rubbermaid, Inc.  4.000 %  5/1/10    1,000     940  
Newell Rubbermaid, Inc.  5.500 %  4/15/13    2,500     2,181  
PepsiAmericas Inc.  5.750 %  7/31/12    800     794  
Pepsico, Inc.  5.150 %  5/15/12    3,250     3,427  
Pepsico, Inc.  4.650 %  2/15/13    2,800     2,940  
Philip Morris International Inc.  4.875 %  5/16/13    5,525     5,596  
Philips Electronics NV  4.625 %  3/11/13    1,450     1,375  
Procter & Gamble Co.  4.600 %  1/15/14    2,000     2,069  
Quest Diagnostic, Inc.  5.125 %  11/1/10    3,500     3,417  
Reynolds American Inc.  6.500 %  7/15/10    1,350     1,310  
Reynolds American Inc.  7.250 %  6/1/12    3,850     3,566  
Reynolds American Inc.  7.250 %  6/1/13    1,500     1,343  
Safeway, Inc.  4.950 %  8/16/10    875     871  
Safeway, Inc.  6.500 %  3/1/11    1,625     1,630  
Safeway, Inc.  5.800 %  8/15/12    3,050     3,039  
Sara Lee Corp.  6.250 %  9/15/11    2,500     2,503  
Sysco Corp.  4.200 %  2/12/13    600     603  
Unilever Capital Corp.  7.125 %  11/1/10    4,550     4,870  
UST, Inc.  6.625 %  7/15/12    1,000     961  
Whirlpool Corp.  5.500 %  3/1/13    3,575     2,853  
Wyeth  6.950 %  3/15/11    5,300     5,613  
Wyeth  5.500 %  3/15/13    5,600     5,722  
 
Energy (1.0%)                   
Amerada Hess Corp.  6.650 %  8/15/11    2,500     2,468  
Anadarko Finance Co.  6.750 %  5/1/11    3,375     3,329  
Apache Corp.  6.250 %  4/15/12    1,000     1,051  
Apache Corp.  5.250 %  4/15/13    1,500     1,535  
Apache Corp.  6.000 %  9/15/13    1,675     1,752  

Page 59


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
BP Capital Markets PLC  4.875 %  3/15/10    2,000     2,066  
BP Capital Markets PLC  5.250 %  11/7/13    7,850     8,260  
Burlington Resources, Inc.  6.680 %  2/15/11    2,000     2,059  
Burlington Resources, Inc.  6.500 %  12/1/11    500     512  
Canadian Natural Resources  6.700 %  7/15/11    2,500     2,504  
Canadian Natural Resources  5.450 %  10/1/12    3,550     3,344  
Canadian Natural Resources  5.150 %  2/1/13    500     459  
Conoco Funding Co.  6.350 %  10/15/11    11,375     11,950  
ConocoPhillips  8.750 %  5/25/10    3,800     4,068  
ConocoPhillips Canada  5.300 %  4/15/12    1,700     1,716  
Devon Financing Corp.  6.875 %  9/30/11    9,800     9,902  
Encana Corp.  4.750 %  10/15/13    1,125     984  
EOG Resources Inc.  6.125 %  10/1/13    1,200     1,257  
Halliburton Co.  5.500 %  10/15/10    1,500     1,557  
Husky Energy Inc.  6.250 %  6/15/12    1,000     992  
Kerr McGee Corp.  6.875 %  9/15/11    3,475     3,436  
Marathon Oil Corp.  6.125 %  3/15/12    2,000     1,948  
Marathon Oil Corp.  6.000 %  7/1/12    3,100     3,057  
Occidental Petroleum  4.250 %  3/15/10    2,560     2,582  
PanCanadian Energy Corp.  6.300 %  11/1/11    1,500     1,476  
Petro-Canada  4.000 %  7/15/13    3,210     2,764  
Shell International Finance BV  5.625 %  6/27/11    1,950     2,053  
Shell International Finance BV  4.950 %  3/22/12    700     724  
Transocean Inc.  5.250 %  3/15/13    3,400     3,153  
Valero Energy Corp.  6.875 %  4/15/12    3,000     3,027  
Weatherford International Inc.  5.950 %  6/15/12    2,250     2,098  
Weatherford International Inc.  5.150 %  3/15/13    2,775     2,444  
XTO Energy, Inc.  5.000 %  8/1/10    1,000     986  
XTO Energy, Inc.  5.900 %  8/1/12    8,850     8,725  
 
Technology (0.9%)                   
Arrow Electronics, Inc.  6.875 %  7/1/13    800     734  
Cisco Systems Inc.  5.250 %  2/22/11    10,000     10,397  
Computer Sciences Corp.  5.000 %  2/15/13    1,775     1,569  
2 Computer Sciences Corp.  5.500 %  3/15/13    725     652  
Dell Inc.  4.700 %  4/15/13    1,550     1,439  
Dun & Bradstreet Corp.  6.000 %  4/1/13    1,700     1,615  
Electronic Data Systems  6.000 %  8/1/13    2,450     2,535  
Fiserv, Inc.  6.125 %  11/20/12    3,000     2,811  
Hewlett-Packard Co.  6.500 %  7/1/12    1,025     1,111  
Hewlett-Packard Co.  4.500 %  3/1/13    11,775     12,001  
IBM International Group Capital  5.050 %  10/22/12    14,400     15,109  
International Business Machines Corp.  4.950 %  3/22/11    2,325     2,406  
Intuit Inc.  5.400 %  3/15/12    950     872  
Lexmark International Inc.  5.900 %  6/1/13    1,050     901  
Motorola, Inc.  7.625 %  11/15/10    390     344  
Motorola, Inc.  8.000 %  11/1/11    925     785  
Motorola, Inc.  5.375 %  11/15/12    3,500     2,613  
National Semiconductor  6.150 %  6/15/12    1,250     985  
Oracle Corp.  5.000 %  1/15/11    6,150     6,295  
Oracle Corp.  4.950 %  4/15/13    3,400     3,506  
Pitney Bowes, Inc.  4.625 %  10/1/12    2,000     1,965  
Tyco Electronics Group  6.000 %  10/1/12    2,550     2,063  
Xerox Corp.  7.125 %  6/15/10    1,825     1,714  
Xerox Corp.  6.875 %  8/15/11    1,025     894  
Xerox Corp.  5.500 %  5/15/12    11,750     9,207  
 
Transportation (0.3%)                   
Burlington Northern Santa Fe Corp.  7.125 %  12/15/10    1,500     1,549  
Burlington Northern Santa Fe Corp.  6.750 %  7/15/11    2,500     2,567  
Burlington Northern Santa Fe Corp.  5.900 %  7/1/12    1,050     1,054  
Canadian Pacific Railway Co.  6.250 %  10/15/11    1,550     1,506  
Canadian Pacific Railway Co.  5.750 %  5/15/13    1,000     929  
CSX Corp.  6.300 %  3/15/12    2,000     1,966  
Delta Air Lines Enhanced Equipment Trust Certificates  6.417 %  7/2/12    2,000     1,445  

Page 60


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Delta Air Lines, Inc.  7.111 %  9/18/11    4,327     3,332  
Norfolk Southern Corp.  6.750 %  2/15/11    2,925     2,974  
Ryder System Inc.  5.950 %  5/2/11    850     763  
Ryder System Inc.  6.000 %  3/1/13    1,500     1,211  
Southwest Airlines Co.  6.500 %  3/1/12    2,000     1,884  
Union Pacific Corp.  6.650 %  1/15/11    2,000     2,015  
Union Pacific Corp.  6.500 %  4/15/12    4,750     4,866  
United Parcel Service of America  4.500 %  1/15/13    2,750     2,880  
                1,059,247  
Utilities (1.8%)                   
Electric (1.3%)                   
American Electric Power Co., Inc.  5.375 %  3/15/10    5,825     5,837  
Carolina Power & Light Co.  6.500 %  7/15/12    1,000     1,019  
CenterPoint Energy Houston  5.700 %  3/15/13    700     652  
Cincinnati Gas & Electric Co.  5.700 %  9/15/12    2,400     2,360  
Commonwealth Edison Co.  6.150 %  3/15/12    3,275     3,229  
Consolidated Edison Co. of New York  4.875 %  2/1/13    4,000     3,918  
Constellation Energy Group, Inc.  6.125 %  9/1/09    875     869  
Constellation Energy Group, Inc.  7.000 %  4/1/12    2,300     2,075  
Consumers Energy Co.  5.000 %  2/15/12    1,250     1,213  
Consumers Energy Co.  5.375 %  4/15/13    750     736  
Dayton Power & Light  5.125 %  10/1/13    1,875     1,905  
Detroit Edison Co.  6.125 %  10/1/10    1,000     1,020  
Dominion Resources, Inc.  4.750 %  12/15/10    2,125     2,063  
3 Dominion Resources, Inc.  6.300 %  9/30/11    3,400     1,580  
Dominion Resources, Inc.  5.000 %  3/15/13    1,500     1,473  
DTE Energy Co.  7.050 %  6/1/11    1,000     991  
2 Duke Energy Carolinas LLC  5.750 %  11/15/13    1,500     1,568  
Duke Energy Corp.  6.250 %  1/15/12    3,500     3,630  
Energy East Corp.  6.750 %  6/15/12    1,750     1,750  
Entergy Arkansas Inc.  5.400 %  8/1/13    1,000     942  
Exelon Corp.  6.750 %  5/1/11    1,000     989  
Exelon Generation Co. LLC  6.950 %  6/15/11    1,500     1,489  
FirstEnergy Corp.  6.450 %  11/15/11    6,875     6,710  
Florida Power & Light Co.  4.850 %  2/1/13    250     251  
Florida Power Corp.  4.500 %  6/1/10    1,150     1,143  
FPL Group Capital, Inc.  5.625 %  9/1/11    3,575     3,701  
FPL Group Capital, Inc.  5.350 %  6/15/13    400     402  
Georgia Power Co.  6.000 %  11/1/13    2,000     2,143  
MidAmerican Energy Co.  5.650 %  7/15/12    1,150     1,152  
MidAmerican Energy Co.  5.125 %  1/15/13    2,000     1,963  
National Rural Utilities Cooperative Finance Corp.  4.375 %  10/1/10    3,350     3,383  
National Rural Utilities Cooperative Finance Corp.  7.250 %  3/1/12    5,000     5,324  
National Rural Utilities Cooperative Finance Corp.  5.500 %  7/1/13    2,650     2,504  
NiSource Finance Corp.  7.875 %  11/15/10    2,800     2,578  
NiSource Finance Corp.  6.150 %  3/1/13    1,975     1,491  
NStar Electric Co.  4.875 %  10/15/12    1,925     1,927  
Ohio Power Co.  5.750 %  9/1/13    1,575     1,550  
Oncor Electric Delivery Co.  6.375 %  5/1/12    1,950     1,933  
Pacific Gas & Electric Co.  4.200 %  3/1/11    1,100     1,080  
PacifiCorp  6.900 %  11/15/11    3,650     3,843  
Pepco Holdings, Inc.  6.450 %  8/15/12    2,000     1,872  
PPL Energy Supply LLC  6.400 %  11/1/11    1,000     960  
PPL Energy Supply LLC  6.300 %  7/15/13    950     892  
Progress Energy, Inc.  7.100 %  3/1/11    9,918     9,940  
Progress Energy, Inc.  6.850 %  4/15/12    775     784  
PSE&G Power LLC  7.750 %  4/15/11    1,950     1,946  
PSE&G Power LLC  6.950 %  6/1/12    4,775     4,697  
PSI Energy Inc.  5.000 %  9/15/13    1,125     1,069  
Public Service Co. of Colorado  7.875 %  10/1/12    4,625     4,912  
Public Service Electric & Gas  5.375 %  9/1/13    2,000     1,938  
SCANA Corp.  6.875 %  5/15/11    1,500     1,539  
Southern Co.  5.300 %  1/15/12    2,550     2,579  
Southern Power Co.  6.250 %  7/15/12    1,000     1,010  
Tampa Electric Co.  6.875 %  6/15/12    1,000     992  

Page 61


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Tampa Electric Co.  6.375 %  8/15/12    2,000     1,952  
Virginia Electric & Power Co.  5.100 %  11/30/12    4,625     4,522  
Wisconsin Energy Corp.  6.500 %  4/1/11    4,595     4,721  
 
Natural Gas (0.5%)                   
AGL Capital Corp.  7.125 %  1/14/11    500     504  
CenterPoint Energy Resources  7.875 %  4/1/13    1,500     1,488  
Consolidated Natural Gas  6.250 %  11/1/11    1,000     1,022  
Duke Capital Corp.  6.250 %  2/15/13    3,325     3,226  
Duke Energy Field Services  7.875 %  8/16/10    4,000     4,008  
Energy Transfer Partners LP  5.650 %  8/1/12    1,250     1,135  
Energy Transfer Partners LP  6.000 %  7/1/13    1,500     1,350  
5 Enron Corp.  9.125 %  4/1/03    2,000     10  
5 Enron Corp.  7.625 %  9/10/04    1,000     5  
Enterprise Products Operating LP  4.950 %  6/1/10    7,175     6,937  
Enterprise Products Operating LP  5.650 %  4/1/13    2,200     1,970  
5 HNG Internorth  9.625 %  3/15/06    1,500     7  
KeySpan Corp.  7.625 %  11/15/10    1,500     1,561  
Kinder Morgan Energy Partners LP  6.750 %  3/15/11    1,225     1,186  
Kinder Morgan Energy Partners LP  7.125 %  3/15/12    550     511  
Kinder Morgan Energy Partners LP  5.850 %  9/15/12    3,000     2,762  
ONEOK Inc.  7.125 %  4/15/11    2,000     1,989  
ONEOK Partners, LP  5.900 %  4/1/12    3,400     3,205  
Reliant Energy Resources  7.750 %  2/15/11    2,500     2,551  
Sempra Energy  7.950 %  3/1/10    1,500     1,518  
Sempra Energy  6.000 %  2/1/13    2,525     2,433  
Teppco Partners, LP  5.900 %  4/15/13    1,150     1,032  
Trans-Canada Pipelines  4.000 %  6/15/13    1,650     1,482  
Transcontinental Gas Pipe Line Corp.  7.000 %  8/15/11    650     642  
Valero Logistics  6.050 %  3/15/13    2,000     1,790  
Williams Cos., Inc.  7.125 %  9/1/11    2,125     1,934  
Williams Cos., Inc.  8.125 %  3/15/12    2,100     1,953  
                178,922  
 
Total Corporate Bonds (Cost $2,507,862)                2,412,174  
 
Sovereign Bonds (U.S. Dollar-Denominated) (5.9%)                   
Asian Development Bank  4.500 %  9/4/12    5,000     5,367  
Asian Development Bank  3.625 %  9/5/13    5,850     6,140  
Canada Mortgage & Housing Corp.  4.800 %  10/1/10    1,500     1,576  
Canadian Mortgage & Housing Corp.  5.000 %  9/1/11    4,000     4,286  
Corp. Andina de Fomento  6.875 %  3/15/12    2,300     2,235  
Corp. Andina de Fomento  5.200 %  5/21/13    2,575     2,305  
Eksportfinans  5.125 %  10/26/11    6,000     6,290  
European Investment Bank  5.000 %  2/8/10    3,350     3,468  
European Investment Bank  4.000 %  3/3/10    2,925     2,995  
European Investment Bank  4.125 %  9/15/10    3,600     3,718  
European Investment Bank  4.625 %  9/15/10    19,750     20,646  
European Investment Bank  3.250 %  2/15/11    15,425     15,795  
European Investment Bank  2.625 %  5/16/11    3,800     3,847  
European Investment Bank  5.250 %  6/15/11    12,975     13,897  
European Investment Bank  3.125 %  7/15/11    16,425     16,782  
European Investment Bank  3.250 %  10/14/11    4,775     4,918  
European Investment Bank  2.625 %  11/15/11    10,450     10,627  
European Investment Bank  4.625 %  3/21/12    21,700     23,291  
European Investment Bank  4.250 %  7/15/13    16,950     18,120  
Export Development Canada  3.750 %  7/15/11    2,575     2,717  
Export Development Canada  2.625 %  11/15/11    3,300     3,387  
Export Development Canada  4.500 %  10/25/12    7,500     8,274  
Export-Import Bank of Korea  4.625 %  3/16/10    500     474  
Export-Import Bank of Korea  5.125 %  2/14/11    600     563  
Export-Import Bank of Korea  5.500 %  10/17/12    7,850     7,304  
Federation of Malaysia  7.500 %  7/15/11    2,875     3,082  
Federative Republic of Brazil  9.250 %  10/22/10    8,225     8,986  
Federative Republic of Brazil  11.000 %  1/11/12    3,875     4,602  
Financement Quebec  5.000 %  10/25/12    2,000     2,162  

Page 62


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Inter-American Development Bank  7.375 %  1/15/10    2,800     2,952  
Inter-American Development Bank  5.000 %  4/5/11    5,000     5,329  
Inter-American Development Bank  3.250 %  11/15/11    4,500     4,656  
Inter-American Development Bank  4.750 %  10/19/12    12,500     13,513  
Inter-American Development Bank  3.500 %  3/15/13    3,000     3,108  
International Bank for Reconstruction & Development  3.625 %  5/21/13    5,500     5,745  
International Finance Corp.  4.000 %  6/15/10    1,250     1,305  
International Finance Corp.  5.125 %  5/2/11    7,100     7,519  
Japan Bank International  4.750 %  5/25/11    2,150     2,271  
Japan Bank International  4.375 %  11/26/12    2,200     2,310  
Japan Bank International  4.250 %  6/18/13    6,150     6,357  
Japan Finance Corp.  5.875 %  3/14/11    2,000     2,135  
KFW International Finance Inc.  3.250 %  10/14/11    10,950     11,281  
Korea Development Bank  5.300 %  1/17/13    4,650     4,288  
Korea Development Bank  5.750 %  9/10/13    5,525     4,714  
Kreditanstalt fur Wiederaufbau  4.250 %  6/15/10    17,875     18,465  
Kreditanstalt fur Wiederaufbau  3.250 %  2/15/11    15,000     15,379  
Kreditanstalt fur Wiederaufbau  3.750 %  6/27/11    8,825     9,170  
Kreditanstalt fur Wiederaufbau  4.750 %  5/15/12    21,700     23,418  
Kreditanstalt fur Wiederaufbau  3.250 %  3/15/13    4,350     4,472  
Kreditanstalt fur Wiederaufbau  3.500 %  5/16/13    12,375     12,838  
Kreditanstalt fur Wiederaufbau  4.000 %  10/15/13    6,125     6,483  
Landeskreditbank Baden-Wuerttemberg - Foerderbank  4.250 %  9/15/10    3,500     3,652  
Landeskreditbank Baden-Wuerttemberg - Foerderbank  4.875 %  1/13/12    1,500     1,631  
Landwirtschaftliche Rentenbank  3.875 %  3/15/10    3,500     3,618  
Landwirtschaftliche Rentenbank  4.875 %  2/14/11    6,000     6,284  
Landwirtschaftliche Rentenbank  5.250 %  7/15/11    3,500     3,730  
Landwirtschaftliche Rentenbank  5.250 %  7/2/12    4,500     4,911  
Landwirtschaftliche Rentenbank  3.250 %  3/15/13    2,100     2,162  
Mass Transit Railway Corp.  7.500 %  11/8/10    1,500     1,621  
Nordic Investment Bank  3.875 %  6/15/10    3,750     3,868  
Nordic Investment Bank  4.500 %  9/13/10    5,000     5,220  
Nordic Investment Bank  3.125 %  2/15/11    6,000     6,147  
Oesterreichische Kontrollbank  4.250 %  10/6/10    3,375     3,548  
Oesterreichische Kontrollbank  2.875 %  3/15/11    1,000     1,027  
Oesterreichische Kontrollbank  3.125 %  10/14/11    450     468  
Oesterreichische Kontrollbank  4.750 %  11/8/11    13,500     14,370  
Oesterreichische Kontrollbank  4.750 %  10/16/12    4,725     5,087  
Ontario Hydro Electric  7.450 %  3/31/13    1,000     1,211  
Pemex Project Funding Master Trust  9.125 %  10/13/10    2,500     2,628  
Petrobras International Finance  9.125 %  7/2/13    2,500     2,759  
Province of Ontario  3.125 %  9/8/10    3,975     4,017  
Province of Ontario  2.750 %  2/22/11    3,900     3,922  
Province of Ontario  3.375 %  5/20/11    950     969  
Province of Ontario  5.000 %  10/18/11    12,450     13,046  
Province of Ontario  3.500 %  7/15/13    6,000     6,053  
Province of Quebec  6.125 %  1/22/11    4,200     4,501  
Province of Saskatchewan  7.375 %  7/15/13    1,000     1,242  
Quebec Hydro Electric  6.300 %  5/11/11    2,500     2,674  
Quebec Hydro Electric  8.000 %  2/1/13    2,000     2,365  
Republic of Chile  7.125 %  1/11/12    3,000     3,373  
Republic of Chile  5.500 %  1/15/13    3,200     3,490  
Republic of Italy  6.000 %  2/22/11    5,775     6,167  
Republic of Italy  3.500 %  7/15/11    2,925     3,016  
Republic of Italy  5.625 %  6/15/12    16,600     18,091  
Republic of Korea  4.250 %  6/1/13    3,225     3,016  
Republic of Peru  9.125 %  2/21/12    2,500     2,675  
Republic of Poland  6.250 %  7/3/12    2,600     2,695  
Republic of South Africa  7.375 %  4/25/12    2,500     2,469  
State of Israel  4.625 %  6/15/13    2,350     2,462  
Swedish Export Credit Corp.  4.875 %  1/19/10    2,500     2,568  
Swedish Export Credit Corp.  4.000 %  6/15/10    2,175     2,239  
Swedish Export Credit Corp.  4.500 %  9/27/10    8,350     8,646  
United Mexican States  9.875 %  2/1/10    475     509  

Page 63


Vanguard® Short-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
United Mexican States  8.375 %  1/14/11    11,600     12,528  
United Mexican States  7.500 %  1/14/12    2,100     2,257  
United Mexican States  6.375 %  1/16/13    2,450     2,554  
Total Sovereign Bonds (Cost $549,090)                567,048  
 
 
          Shares        
Temporary Cash Investments (2.2%)                   
6 Vanguard Market Liquidity Fund (Cost $209,993)  1.378 %  1/5/09    209,993,016     209,993  
Total Investments (101.3%) (Cost $9,615,424)                9,793,534  
Other Assets and Liabilities—Net (–1.3%)                (121,080 ) 
Net Assets (100%)                9,672,454  

1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

2 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, 2008, the aggregate value of these securities was $23,999,000, representing 0.2% of net assets.

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 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.

5 Non-Income Producing; Defaulted Bond.

6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard.

Rate shown is the 7-day yield.

Page 64


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations (52.2%)                   
 
U.S. Government Securities (41.0%)                   
  U.S. Treasury Bond  11.250 %  2/15/15    85,615     130,001  
  U.S. Treasury Bond  10.625 %  8/15/15    98,410     148,984  
  U.S. Treasury Bond  9.875 %  11/15/15    102,200     152,406  
  U.S. Treasury Bond  9.250 %  2/15/16    106,370     155,317  
  U.S. Treasury Bond  7.250 %  5/15/16    100,325     134,419  
  U.S. Treasury Bond  7.500 %  11/15/16    164,345     224,665  
  U.S. Treasury Bond  8.750 %  5/15/17    146,870     216,450  
  U.S. Treasury Bond  8.875 %  8/15/17    113,285     168,936  
  U.S. Treasury Bond  9.125 %  5/15/18    104,495     161,837  
  U.S. Treasury Bond  8.875 %  2/15/19    21,850     33,646  
  U.S. Treasury Note  3.125 %  11/30/09    780     800  
  U.S. Treasury Note  2.125 %  1/31/10    3,800     3,869  
  U.S. Treasury Note  2.625 %  5/31/10    2,560     2,637  
  U.S. Treasury Note  4.875 %  6/30/12    8,350     9,387  
  U.S. Treasury Note  3.875 %  10/31/12    14,125     15,635  
  U.S. Treasury Note  3.375 %  6/30/13    2,975     3,243  
  U.S. Treasury Note  3.375 %  7/31/13    36,775     40,165  
  U.S. Treasury Note  3.125 %  8/31/13    16,745     18,051  
  U.S. Treasury Note  3.125 %  9/30/13    32,825     35,410  
  U.S. Treasury Note  2.750 %  10/31/13    96,175     102,247  
  U.S. Treasury Note  4.250 %  11/15/13    22,345     25,498  
  U.S. Treasury Note  2.000 %  11/30/13    93,575     96,016  
  U.S. Treasury Note  1.500 %  12/31/13    43,875     43,765  
  U.S. Treasury Note  4.000 %  2/15/14    13,160     14,920  
  U.S. Treasury Note  4.750 %  5/15/14    3,180     3,741  
  U.S. Treasury Note  4.250 %  8/15/14    1,745     2,006  
  U.S. Treasury Note  4.000 %  2/15/15    23,175     26,405  
  U.S. Treasury Note  4.125 %  5/15/15    49,470     56,736  
  U.S. Treasury Note  4.250 %  8/15/15    71,450     83,027  
  U.S. Treasury Note  4.500 %  11/15/15    7,000     8,306  
  U.S. Treasury Note  4.500 %  2/15/16    15,450     18,195  
  U.S. Treasury Note  5.125 %  5/15/16    102,800     124,517  
  U.S. Treasury Note  4.875 %  8/15/16    127,380     152,219  
  U.S. Treasury Note  4.625 %  11/15/16    35,400     41,844  
  U.S. Treasury Note  4.625 %  2/15/17    160,290     189,894  
  U.S. Treasury Note  4.500 %  5/15/17    221,720     260,625  
  U.S. Treasury Note  4.750 %  8/15/17    173,475     207,790  
  U.S. Treasury Note  4.250 %  11/15/17    11,405     13,315  
  U.S. Treasury Note  3.500 %  2/15/18    30,100     33,388  
  U.S. Treasury Note  4.000 %  8/15/18    93,875     108,631  
  U.S. Treasury Note  3.750 %  11/15/18    230,535     261,477  
                  3,530,420  
Agency Bonds and Notes (11.2%)                   
  Agency for International Development - Egypt                   
  (U.S. Government Guaranteed)  4.450 %  9/15/15    6,825     7,469  
1  Federal Farm Credit Bank  4.875 %  12/16/15    2,450     2,720  
1  Federal Farm Credit Bank  5.125 %  8/25/16    11,300     12,825  
1  Federal Farm Credit Bank  4.875 %  1/17/17    5,750     6,378  
1  Federal Home Loan Bank  5.250 %  6/18/14    150     170  
1  Federal Home Loan Bank  5.500 %  8/13/14    54,425     62,306  
1  Federal Home Loan Bank  5.000 %  12/21/15    11,660     13,068  
1  Federal Home Loan Bank  5.375 %  5/18/16    27,850     31,778  
1  Federal Home Loan Bank  5.625 %  6/13/16    4,325     4,604  
1  Federal Home Loan Bank  5.125 %  10/19/16    3,800     4,271  
1  Federal Home Loan Bank  4.750 %  12/16/16    30,500     33,758  
1  Federal Home Loan Bank  4.875 %  5/17/17    24,225     27,190  
1  Federal Home Loan Bank  5.000 %  11/17/17    25,700     29,255  
1  Federal Home Loan Bank  5.375 %  8/15/18    6,000     7,004  
1  Federal Home Loan Mortgage Corp.  4.500 %  1/15/14    12,300     13,511  
1  Federal Home Loan Mortgage Corp.  5.000 %  7/15/14    58,525     65,748  
1  Federal Home Loan Mortgage Corp.  4.500 %  1/15/15    23,050     25,316  
1  Federal Home Loan Mortgage Corp.  5.050 %  1/26/15    4,700     5,272  
1  Federal Home Loan Mortgage Corp.  4.750 %  1/19/16    27,925     30,948  
1  Federal Home Loan Mortgage Corp.  5.250 %  4/18/16    49,000     55,821  

Page 65


  Vanguard® Intermediate-Term Bond Index Fund                   
  Schedule of Investments                   
  December 31, 2008                   
              Face     Market  
          Maturity    Amount     Value  
      Coupon   Date  ($ 000 )  ($ 000 ) 
  1  Federal Home Loan Mortgage Corp.  5.500 %  7/18/16    42,500     49,323  
  1  Federal Home Loan Mortgage Corp.  5.125 %  10/18/16    12,100     13,778  
  1  Federal Home Loan Mortgage Corp.  5.000 %  2/16/17    17,000     19,307  
  1  Federal Home Loan Mortgage Corp.  5.125 %  11/17/17    39,500     45,640  
  1  Federal Home Loan Mortgage Corp.  4.875 %  6/13/18    27,100     31,092  
  1  Federal Home Loan Mortgage Corp.  5.000 %  12/14/18    11,900     11,638  
  1  Federal National Mortgage Assn.  3.250 %  2/15/09    10,000     10,036  
  1  Federal National Mortgage Assn.  5.125 %  1/2/14    9,550     9,664  
  1  Federal National Mortgage Assn.  4.125 %  4/15/14    25,600     27,657  
  1  Federal National Mortgage Assn.  4.625 %  10/15/14    32,225     35,613  
  1  Federal National Mortgage Assn.  5.000 %  4/15/15    25,000     28,161  
  1  Federal National Mortgage Assn.  4.375 %  10/15/15    22,100     24,105  
  1  Federal National Mortgage Assn.  5.000 %  3/15/16    13,000     14,590  
  1  Federal National Mortgage Assn.  5.250 %  9/15/16    32,925     37,699  
  1  Federal National Mortgage Assn.  4.875 %  12/15/16    29,900     33,532  
  1  Federal National Mortgage Assn.  5.000 %  2/13/17    35,825     40,655  
  1  Federal National Mortgage Assn.  5.000 %  5/11/17    26,000     29,618  
  1  Federal National Mortgage Assn.  5.375 %  6/12/17    25,000     29,243  
  1  Financing Corp.  10.350 %  8/3/18    1,700     2,694  
  1  Financing Corp.  9.650 %  11/2/18    2,090     3,217  
  1  Tennessee Valley Auth.  6.000 %  3/15/13    6,000     6,871  
  1  Tennessee Valley Auth.  4.750 %  8/1/13    4,000     4,396  
  1  Tennessee Valley Auth.  4.375 %  6/15/15    7,000     7,581  
  1  Tennessee Valley Auth.  5.500 %  7/18/17    6,200     7,195  
  1  Tennessee Valley Auth.  6.250 %  12/15/17    2,600     3,211  
  1  Tennessee Valley Auth.  4.500 %  4/1/18    2,375     2,619  
                    968,547  
 
  Total U.S. Government and Agency Obligations (Cost $4,038,039)                4,498,967  
 
  Corporate Bonds (38.5%)                   
 
Asset -Backed/Commercial Mortgage-Backed Securities (0.0%)                   
  2  Bear Stearns Commercial Mortgage Securities, Inc.  5.610 %  11/15/33    2,500     2,223  
  2,3  Commercial Mortgage Lease-Backed Certificates  6.746 %  6/20/31    323     338  
                    2,561  
  Finance (17.0%)                   
    Banking (10.8%)                   
    ABN AMRO Bank NV  4.650 %  6/4/18    1,925     1,546  
    American Exoress Co.  7.000 %  3/19/18    11,100     11,304  
    American Express Bank, FSB  6.000 %  9/13/17    3,325     2,955  
    American Express Centurion Bank  5.950 %  6/12/17    3,275     3,041  
    American Express Centurion Bank  6.000 %  9/13/17    4,125     3,875  
    American Express Co.  5.500 %  9/12/16    1,400     1,294  
    American Express Co.  6.150 %  8/28/17    9,750     9,509  
  2  American Express Co.  6.800 %  9/1/66    3,525     1,934  
    American Express Credit Corp.  5.300 %  12/2/15    2,000     1,749  
    AmSouth Bank NA  5.200 %  4/1/15    2,650     2,016  
    Associates Corp. of North America  6.950 %  11/1/18    1,150     1,168  
  3  Banco Bilbao Vizcaya ARG  5.750 %  7/20/17    3,125     3,130  
    Bank of America Corp.  5.375 %  6/15/14    3,425     3,417  
    Bank of America Corp.  5.125 %  11/15/14    4,550     4,389  
    Bank of America Corp.  5.250 %  12/1/15    1,900     1,723  
    Bank of America Corp.  5.750 %  8/15/16    3,900     3,682  
    Bank of America Corp.  5.625 %  10/14/16    17,150     16,934  
    Bank of America Corp.  5.300 %  3/15/17    15,550     14,933  
    Bank of America Corp.  5.420 %  3/15/17    10,200     9,074  
    Bank of America Corp.  6.100 %  6/15/17    2,100     2,096  
    Bank of America Corp.  6.000 %  9/1/17    4,150     4,226  
    Bank of America Corp.  5.750 %  12/1/17    7,975     8,093  
    Bank of America Corp.  5.650 %  5/1/18    24,900     24,974  
    Bank of New York Mellon  4.950 %  3/15/15    6,125     5,973  
    Bank One Corp.  4.900 %  4/30/15    6,150     5,747  
    BB&T Corp.  5.200 %  12/23/15    10,825     10,322  
    BB&T Corp.  5.625 %  9/15/16    50     51  
    Bear Stearns Co., Inc.  5.700 %  11/15/14    8,150     8,011  
    Bear Stearns Co., Inc.  5.300 %  10/30/15    1,100     1,076  

Page 66


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Bear Stearns Co., Inc.  5.550 %  1/22/17    12,300     11,557  
  Bear Stearns Co., Inc.  6.400 %  10/2/17    18,700     19,436  
  Bear Stearns Co., Inc.  7.250 %  2/1/18    11,550     12,669  
  Capital One Financial Corp.  5.500 %  6/1/15    3,750     3,165  
  Capital One Financial Corp.  6.150 %  9/1/16    6,325     4,331  
  Capital One Financial Corp.  6.750 %  9/15/17    5,050     4,880  
2,3  Citicorp Lease Pass-Through Trust  8.040 %  12/15/19    2,100     2,048  
  Citigroup, Inc.  5.125 %  5/5/14    3,125     2,962  
  Citigroup, Inc.  5.000 %  9/15/14    29,394     25,552  
  Citigroup, Inc.  4.700 %  5/29/15    2,600     2,244  
  Citigroup, Inc.  5.300 %  1/7/16    10,825     10,262  
  Citigroup, Inc.  5.500 %  2/15/17    7,650     6,893  
  Citigroup, Inc.  6.000 %  8/15/17    9,750     9,706  
  Citigroup, Inc.  6.125 %  11/21/17    25,375     25,524  
  Citigroup, Inc.  6.125 %  5/15/18    6,950     7,077  
  Colonial Bank NA  6.375 %  12/1/15    1,250     816  
  Comerica Bank  5.750 %  11/21/16    5,025     3,767  
  Comerica Bank  5.200 %  8/22/17    3,025     2,285  
  Comerica Inc.  4.800 %  5/1/15    1,500     1,133  
  Compass Bank  6.400 %  10/1/17    1,600     1,364  
  Countrywide Financial Corp.  6.250 %  5/15/16    6,250     5,961  
  Credit Suisse First Boston USA, Inc.  4.875 %  1/15/15    5,550     5,204  
  Credit Suisse First Boston USA, Inc.  5.125 %  8/15/15    12,275     11,233  
  Credit Suisse First Boston USA, Inc.  5.375 %  3/2/16    1,125     1,033  
  Credit Suisse First Boston USA, Inc.  5.850 %  8/16/16    3,250     3,138  
2  Credit Suisse First Boston USA, Inc.  5.860 %  5/15/49    6,200     3,099  
  Credit Suisse New York  6.000 %  2/15/18    18,250     17,964  
  Deutsche Bank AG London  6.000 %  9/1/17    17,275     18,330  
  Deutsche Bank Financial LLC  5.375 %  3/2/15    4,050     3,664  
  Fifth Third Bancorp.  4.750 %  2/1/15    2,800     2,400  
  Fifth Third Bancorp.  5.450 %  1/15/17    3,000     2,430  
  Fifth Third Bancorp.  4.500 %  6/1/18    1,550     1,136  
2  Fifth Third Capital Trust IV  6.500 %  4/15/67    5,750     2,933  
  First Tennessee Bank  5.050 %  1/15/15    2,800     1,807  
  Goldman Sachs Group, Inc.  5.000 %  10/1/14    14,075     12,177  
  Goldman Sachs Group, Inc.  5.125 %  1/15/15    9,650     8,756  
  Goldman Sachs Group, Inc.  5.350 %  1/15/16    13,275     12,043  
  Goldman Sachs Group, Inc.  5.750 %  10/1/16    5,625     5,189  
  Goldman Sachs Group, Inc.  5.625 %  1/15/17    11,725     9,776  
  Goldman Sachs Group, Inc.  6.250 %  9/1/17    14,225     13,454  
  Goldman Sachs Group, Inc.  5.950 %  1/18/18    23,675     22,005  
  Goldman Sachs Group, Inc.  6.150 %  4/1/18    16,350     15,712  
3  HBOS Treasury Services PLC  5.250 %  2/21/17    3,225     3,188  
3  HBOS Treasury Services PLC  6.750 %  5/21/18    925     809  
  HSBC Bank USA  4.625 %  4/1/14    8,000     7,612  
  Huntington National Bank  5.500 %  2/15/16    2,500     2,049  
  JPMorgan Chase & Co.  5.375 %  1/15/14    2,100     2,091  
  JPMorgan Chase & Co.  4.875 %  3/15/14    7,100     6,863  
  JPMorgan Chase & Co.  5.125 %  9/15/14    8,765     8,492  
  JPMorgan Chase & Co.  4.750 %  3/1/15    9,875     9,579  
  JPMorgan Chase & Co.  5.250 %  5/1/15    2,975     2,838  
  JPMorgan Chase & Co.  5.150 %  10/1/15    9,100     8,775  
  JPMorgan Chase & Co.  5.875 %  6/13/16    6,400     6,430  
  JPMorgan Chase & Co.  6.125 %  6/27/17    4,325     4,338  
  JPMorgan Chase & Co.  6.000 %  10/1/17    9,275     9,257  
  JPMorgan Chase & Co.  6.000 %  1/15/18    11,450     12,105  
  KeyBank NA  5.800 %  7/1/14    6,300     5,639  
  KeyBank NA  4.950 %  9/15/15    1,000     780  
  KeyBank NA  5.450 %  3/3/16    3,025     2,450  
  Manufacturers & Traders Trust Co.  6.625 %  12/4/17    5,425     5,044  
2  Manufacturers & Traders Trust Co.  5.585 %  12/28/20    2,400     1,777  
  Marshall & Ilsley Bank  4.850 %  6/16/15    700     532  
  Marshall & Ilsley Bank  5.000 %  1/17/17    1,950     1,511  
  MBNA Corp.  5.000 %  6/15/15    1,300     1,190  
  Mellon Bank NA  4.750 %  12/15/14    3,800     3,727  
  Morgan Stanley Dean Witter  4.750 %  4/1/14    14,500     11,426  
  Morgan Stanley Dean Witter  6.000 %  4/28/15    10,800     9,487  

Page 67


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Morgan Stanley Dean Witter  5.375 %  10/15/15    7,050     5,923  
  Morgan Stanley Dean Witter  5.750 %  10/18/16    7,750     6,465  
  Morgan Stanley Dean Witter  5.450 %  1/9/17    19,325     16,202  
  Morgan Stanley Dean Witter  5.550 %  4/27/17    9,225     7,709  
  Morgan Stanley Dean Witter  6.250 %  8/28/17    12,000     10,166  
  Morgan Stanley Dean Witter  5.950 %  12/28/17    18,725     15,938  
  Morgan Stanley Dean Witter  6.625 %  4/1/18    16,825     15,132  
  National City Bank  5.800 %  6/7/17    4,000     3,418  
  National City Corp.  4.900 %  1/15/15    1,800     1,541  
  NationsBank Corp.  7.750 %  8/15/15    1,000     1,041  
3  Northern Rock PLC  5.625 %  6/22/17    6,325     6,199  
  Northern Trust Co.  6.500 %  8/15/18    1,275     1,370  
  PNC Bank NA  4.875 %  9/21/17    1,450     1,334  
  PNC Bank NA  6.000 %  12/7/17    1,125     1,120  
  PNC Bank NA  6.875 %  4/1/18    1,500     1,578  
  PNC Funding Corp.  5.250 %  11/15/15    3,575     3,405  
  PNC Funding Corp.  5.625 %  2/1/17    7,625     7,337  
  Regions Bank  7.500 %  5/15/18    3,600     3,215  
  Royal Bank of Scotland Group PLC  5.050 %  1/8/15    9,400     8,007  
  Royal Bank of Scotland Group PLC  4.700 %  7/3/18    800     555  
2  Royal Bank of Scotland Group PLC  7.640 %  3/31/49    8,175     3,270  
2  Royal Bank of Scotland Group PLC  5.512 %  9/29/49    6,550     2,798  
  Southtrust Corp.  5.800 %  6/15/14    1,350     1,249  
  Sovereign Bancorp, Inc.  8.750 %  5/30/18    2,825     2,585  
2,3  Standard Chartered PLC  6.409 %  12/31/49    1,500     627  
  State Street Capital Trust  5.300 %  1/15/16    1,825     1,807  
  State Street Capital Trust  5.250 %  10/15/18    1,000     984  
  SunTrust Banks, Inc.  5.000 %  9/1/15    3,550     3,341  
  SunTrust Banks, Inc.  5.200 %  1/17/17    150     136  
  SunTrust Banks, Inc.  6.000 %  9/11/17    1,925     1,822  
  SunTrust Banks, Inc.  5.450 %  12/1/17    2,350     2,211  
  SunTrust Banks, Inc.  7.250 %  3/15/18    3,550     3,700  
  Synovus Financial Corp.  5.125 %  6/15/17    750     574  
  UBS AG  5.875 %  7/15/16    4,800     4,449  
  UBS AG  5.875 %  12/20/17    16,875     15,472  
  UBS AG  5.750 %  4/25/18    14,625     13,326  
  Union Bank of California NA  5.950 %  5/11/16    4,100     3,298  
  US Bank NA  6.300 %  2/4/14    2,600     2,798  
  US Bank NA  4.950 %  10/30/14    9,625     9,563  
  US Bank NA  4.800 %  4/15/15    1,000     1,017  
  Wachovia Bank NA  4.800 %  11/1/14    4,425     4,087  
  Wachovia Bank NA  4.875 %  2/1/15    4,475     4,099  
  Wachovia Bank NA  6.000 %  11/15/17    5,275     5,138  
  Wachovia Corp.  4.875 %  2/15/14    13,800     12,617  
  Wachovia Corp.  5.625 %  10/15/16    10,900     9,874  
  Wachovia Corp.  5.750 %  6/15/17    11,475     11,341  
  Wachovia Corp.  5.750 %  2/1/18    10,450     10,525  
  Wells Fargo & Co.  4.625 %  4/15/14    6,650     6,467  
  Wells Fargo & Co.  5.625 %  12/11/17    18,175     18,816  
  Wells Fargo Bank NA  4.750 %  2/9/15    10,450     10,087  
  Wells Fargo Bank NA  5.750 %  5/16/16    5,300     5,435  
  Zions Bancorp.  5.650 %  5/15/14    1,200     899  
  Zions Bancorp.  5.500 %  11/16/15    6,850     5,116  
 
  Brokerage (1.2%)                   
  Ameriprise Financial Inc.  5.650 %  11/15/15    3,450     2,933  
2  Ameriprise Financial Inc.  7.518 %  6/1/66    2,000     1,102  
  BlackRock, Inc.  6.250 %  9/15/17    2,950     2,784  
  Janus Capital Group  6.700 %  6/15/17    1,700     849  
  Jefferies Group Inc.  5.500 %  3/15/16    4,500     3,434  
  Lazard Group  6.850 %  6/15/17    5,525     3,494  
  Merrill Lynch & Co., Inc.  5.000 %  2/3/14    9,225     8,779  
  Merrill Lynch & Co., Inc.  5.450 %  7/15/14    3,950     3,803  
  Merrill Lynch & Co., Inc.  5.000 %  1/15/15    15,325     14,614  
  Merrill Lynch & Co., Inc.  6.050 %  5/16/16    4,725     4,358  
  Merrill Lynch & Co., Inc.  5.700 %  5/2/17    5,550     4,972  

Page 68


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Merrill Lynch & Co., Inc.  6.400 %  8/28/17    9,750     9,815  
Merrill Lynch & Co., Inc.  6.875 %  4/25/18    33,125     34,858  
Merrill Lynch & Co., Inc.  6.500 %  7/15/18    4,125     4,120  
Merrill Lynch & Co., Inc.  6.875 %  11/15/18    4,075     4,270  
2 Schwab Capital Trust I  7.500 %  11/15/37    1,850     962  
 
Finance Companies (1.9%)                   
American General Finance Corp.  5.750 %  9/15/16    5,725     2,175  
American General Finance Corp.  6.900 %  12/15/17    16,100     6,440  
Capmark Financial Group  6.300 %  5/10/17    1,625     455  
CIT Group Funding Co. of Canada  5.200 %  6/1/15    5,775     4,042  
CIT Group, Inc.  5.400 %  3/7/13    2,150     1,591  
CIT Group, Inc.  5.000 %  2/13/14    875     621  
CIT Group, Inc.  5.125 %  9/30/14    4,525     3,258  
CIT Group, Inc.  5.000 %  2/1/15    3,400     2,278  
CIT Group, Inc.  5.400 %  1/30/16    2,250     1,575  
CIT Group, Inc.  5.850 %  9/15/16    2,750     1,953  
CIT Group, Inc.  5.650 %  2/13/17    3,150     2,205  
2 CIT Group, Inc.  6.100 %  3/15/67    3,200     960  
Discover Financial Services  6.450 %  6/12/17    1,500     1,036  
General Electric Capital Corp.  5.500 %  6/4/14    5,350     5,363  
General Electric Capital Corp.  5.650 %  6/9/14    9,275     9,353  
General Electric Capital Corp.  5.375 %  10/20/16    925     908  
General Electric Capital Corp.  5.400 %  2/15/17    18,750     18,415  
General Electric Capital Corp.  5.625 %  9/15/17    11,350     11,240  
General Electric Capital Corp.  5.625 %  5/1/18    27,800     27,994  
2 General Electric Capital Corp.  6.375 %  11/15/67    14,675     9,330  
2 HSBC Finance Capital Trust IX  5.911 %  11/30/35    3,925     2,251  
HSBC Finance Corp.  5.250 %  1/15/14    2,550     2,449  
HSBC Finance Corp.  5.000 %  6/30/15    30,550     27,814  
International Lease Finance Corp.  5.650 %  6/1/14    8,150     5,379  
SLM Corp.  5.375 %  5/15/14    4,750     3,236  
SLM Corp.  5.050 %  11/14/14    1,400     939  
SLM Corp.  8.450 %  6/15/18    15,325     12,205  
 
Insurance (2.3%)                   
ACE INA Holdings, Inc.  5.875 %  6/15/14    2,000     1,888  
ACE INA Holdings, Inc.  5.600 %  5/15/15    2,050     1,887  
ACE INA Holdings, Inc.  5.700 %  2/15/17    2,400     2,185  
ACE INA Holdings, Inc.  5.800 %  3/15/18    1,850     1,680  
Aetna, Inc.  6.000 %  6/15/16    5,250     4,855  
Aetna, Inc.  6.500 %  9/15/18    1,450     1,407  
Allied World Assurance  7.500 %  8/1/16    3,275     2,890  
Allstate Corp.  5.000 %  8/15/14    6,225     5,840  
2 Allstate Corp.  6.125 %  5/15/37    2,575     1,656  
American International Group, Inc.  5.050 %  10/1/15    9,675     6,482  
American International Group, Inc.  5.600 %  10/18/16    875     584  
American International Group, Inc.  5.450 %  5/18/17    6,425     4,200  
American International Group, Inc.  5.850 %  1/16/18    12,925     8,644  
3 American International Group, Inc.  8.250 %  8/15/18    12,120     9,075  
Aspen Insurance Holdings Ltd.  6.000 %  8/15/14    1,100     742  
Assurant, Inc.  5.625 %  2/15/14    2,825     2,096  
Axis Capital Holdings Ltd.  5.750 %  12/1/14    1,800     1,209  
Berkshire Hathaway Finance Corp.  5.100 %  7/15/14    1,850     1,949  
Berkshire Hathaway Finance Corp.  4.850 %  1/15/15    5,325     5,552  
Berkshire Hathaway Finance Corp.  5.400 %  5/15/18    6,900     7,142  
Chubb Corp.  5.750 %  5/15/18    3,700     3,640  
2 Chubb Corp.  6.375 %  3/29/67    5,225     3,274  
CIGNA Corp.  6.350 %  3/15/18    4,050     3,507  
CNA Financial Corp.  5.850 %  12/15/14    2,100     1,546  
CNA Financial Corp.  6.500 %  8/15/16    3,400     2,406  
Commerce Group, Inc.  5.950 %  12/9/13    900     770  
Coventry Health Care Inc.  6.300 %  8/15/14    1,000     638  
Coventry Health Care Inc.  5.950 %  3/15/17    3,000     1,546  
2 Everest Reinsurance Holdings, Inc.  6.600 %  5/15/37    1,450     605  
Genworth Financial, Inc.  5.750 %  6/15/14    4,250     1,572  

Page 69


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Genworth Financial, Inc.  4.950 %  10/1/15    1,450     544  
2 Genworth Financial, Inc.  6.150 %  11/15/66    3,025     302  
Hartford Financial Services Group, Inc.  5.500 %  10/15/16    1,975     1,488  
Hartford Financial Services Group, Inc.  5.375 %  3/15/17    2,200     1,554  
Hartford Financial Services Group, Inc.  6.300 %  3/15/18    2,200     1,618  
2 Hartford Financial Services Group, Inc.  8.125 %  6/15/38    2,250     1,042  
Humana Inc.  6.450 %  6/1/16    3,775     3,013  
Humana Inc.  7.200 %  6/15/18    3,975     3,205  
Humana Inc.  6.300 %  8/1/18    750     560  
2 ING Capital Funding Trust III  5.775 %  12/8/49    4,325     1,941  
Jefferson Pilot Corp.  4.750 %  1/30/14    4,000     3,084  
2 Lincoln National Corp.  7.000 %  5/17/66    1,780     783  
2 Lincoln National Corp.  6.050 %  4/20/67    4,375     1,575  
Loews Corp.  5.250 %  3/15/16    1,850     1,691  
Marsh & McLennan Cos., Inc.  5.375 %  7/15/14    1,500     1,328  
Marsh & McLennan Cos., Inc.  5.750 %  9/15/15    5,550     4,879  
MetLife, Inc.  5.000 %  6/15/15    7,450     6,878  
MetLife, Inc.  6.817 %  8/15/18    5,500     5,254  
Principal Life Income Funding  5.100 %  4/15/14    4,250     3,911  
2 Progressive Corp.  6.700 %  6/15/37    5,975     2,785  
Prudential Financial, Inc.  4.750 %  4/1/14    1,750     1,368  
Prudential Financial, Inc.  5.100 %  9/20/14    8,700     6,711  
Prudential Financial, Inc.  5.500 %  3/15/16    575     418  
Prudential Financial, Inc.  6.100 %  6/15/17    500     365  
Prudential Financial, Inc.  6.000 %  12/1/17    4,450     3,567  
Torchmark Corp.  6.375 %  6/15/16    1,750     1,366  
Transatlantic Holdings  5.750 %  12/14/15    4,000     2,421  
Travelers Cos. Inc.  5.750 %  12/15/17    3,550     3,423  
Travelers Cos. Inc.  5.800 %  5/15/18    1,975     1,902  
2 Travelers Cos. Inc.  6.250 %  3/15/37    3,950     2,487  
Travelers Cos., Inc.  5.500 %  12/1/15    1,350     1,288  
Travelers Cos., Inc.  6.250 %  6/20/16    2,025     2,016  
UnitedHealth Group, Inc.  5.000 %  8/15/14    5,400     5,049  
UnitedHealth Group, Inc.  4.875 %  3/15/15    3,825     3,311  
UnitedHealth Group, Inc.  6.000 %  6/15/17    5,325     4,708  
UnitedHealth Group, Inc.  6.000 %  11/15/17    2,400     2,132  
UnitedHealth Group, Inc.  6.000 %  2/15/18    3,050     2,822  
WellPoint Inc.  5.000 %  12/15/14    4,550     4,047  
WellPoint Inc.  5.250 %  1/15/16    3,900     3,422  
WellPoint Inc.  5.875 %  6/15/17    3,700     3,522  
Willis North America Inc.  5.625 %  7/15/15    3,150     2,256  
Willis North America Inc.  6.200 %  3/28/17    1,625     1,107  
XL Capital Ltd.  5.250 %  9/15/14    4,025     2,217  
2 XL Capital Ltd.  6.500 %  12/15/49    3,950     865  
 
Other Finance (0.0%)                   
XTRA Finance Corp.  5.150 %  4/1/17    1,600     1,577  
 
Real Estate Investment Trusts (0.8%)                   
Arden Realty LP  5.250 %  3/1/15    1,250     1,087  
AvalonBay Communities, Inc.  5.750 %  9/15/16    1,750     1,162  
Boston Properties, Inc.  5.625 %  4/15/15    1,925     1,252  
Brandywine Operating Partnership  5.400 %  11/1/14    2,250     1,416  
Brandywine Operating Partnership  5.700 %  5/1/17    1,925     1,045  
Camden Property Trust  5.700 %  5/15/17    3,300     1,725  
Colonial Realty LP  5.500 %  10/1/15    4,200     2,429  
Duke Realty LP  5.950 %  2/15/17    4,975     2,591  
ERP Operating LP  5.250 %  9/15/14    4,025     2,768  
ERP Operating LP  5.125 %  3/15/16    5,000     3,520  
ERP Operating LP  5.375 %  8/1/16    475     342  
ERP Operating LP  5.750 %  6/15/17    1,675     1,201  
HCP Inc.  6.700 %  1/30/18    4,500     2,046  
Health Care Property Investors, Inc.  5.650 %  12/15/13    2,250     1,378  
Health Care Property Investors, Inc.  6.300 %  9/15/16    275     134  
Health Care Property Investors, Inc.  6.000 %  1/30/17    3,750     1,770  
Health Care REIT, Inc.  6.200 %  6/1/16    925     547  

Page 70


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
HealthCare Realty Trust  5.125 %  4/1/14    2,925     1,826  
Hospitality Properties  5.125 %  2/15/15    4,150     2,060  
Hospitality Properties  5.625 %  3/15/17    2,500     1,095  
HRPT Properties Trust  6.250 %  8/15/16    5,150     2,791  
HRPT Properties Trust  6.250 %  6/15/17    3,200     1,655  
Kimco Realty Corp.  5.783 %  3/15/16    1,350     865  
Liberty Property LP  5.125 %  3/2/15    5,475     3,646  
National Retail Properties  6.875 %  10/15/17    3,000     1,935  
ProLogis  5.625 %  11/15/15    2,800     1,428  
ProLogis  5.750 %  4/1/16    3,000     1,560  
ProLogis  5.625 %  11/15/16    1,925     924  
Realty Income Corp.  5.950 %  9/15/16    1,000     730  
Regency Centers LP  5.250 %  8/1/15    1,000     629  
Regency Centers LP  5.875 %  6/15/17    3,000     1,790  
Simon Property Group Inc.  5.625 %  8/15/14    2,350     1,572  
Simon Property Group Inc.  5.100 %  6/15/15    1,800     1,112  
Simon Property Group Inc.  5.750 %  12/1/15    4,600     3,026  
Simon Property Group Inc.  6.100 %  5/1/16    1,800     1,187  
Simon Property Group Inc.  5.250 %  12/1/16    8,675     6,093  
Simon Property Group Inc.  6.125 %  5/30/18    3,225     2,184  
Tanger Factory Outlet Centers, Inc.  6.150 %  11/15/15    1,725     1,247  
                1,470,178  
Industrial (17.5%)                   
Basic Industry (1.8%)                   
Alcan, Inc.  5.200 %  1/15/14    1,500     1,090  
Alcan, Inc.  5.000 %  6/1/15    1,575     1,135  
Alcoa, Inc.  5.550 %  2/1/17    1,900     1,504  
Alcoa, Inc.  6.750 %  7/15/18    4,700     3,933  
Arcelormittal  6.500 %  4/15/14    5,000     3,554  
ArcelorMittal  6.125 %  6/1/18    10,275     6,957  
Barrick Gold Finance Inc.  4.875 %  11/15/14    2,050     1,847  
Barrick North America Finance LLC  6.800 %  9/15/18    4,150     3,944  
BHP Billiton Finance Ltd.  5.400 %  3/29/17    2,300     2,135  
BHP Finance USA  5.250 %  12/15/15    2,725     2,469  
Celulosa Arauco Constitution SA  5.625 %  4/20/15    5,150     4,867  
Commercial Metals Co.  6.500 %  7/15/17    1,650     1,282  
Commercial Metals Co.  7.350 %  8/15/18    1,675     1,353  
Dow Chemical Co.  5.700 %  5/15/18    3,300     2,830  
E.I. du Pont de Nemours & Co.  5.875 %  1/15/14    5,175     5,364  
E.I. du Pont de Nemours & Co.  5.250 %  12/15/16    5,925     5,914  
E.I. du Pont de Nemours & Co.  6.000 %  7/15/18    5,275     5,516  
Freeport-McMoRan Copper & Gold Inc.  8.250 %  4/1/15    10,000     8,600  
Freeport-McMoRan Copper & Gold Inc.  8.375 %  4/1/17    18,750     15,422  
ICI Wilmington  5.625 %  12/1/13    1,600     1,564  
Inco Ltd.  5.700 %  10/15/15    1,675     1,408  
International Paper Co.  7.400 %  6/15/14    6,500     5,027  
International Paper Co.  5.300 %  4/1/15    175     119  
International Paper Co.  5.250 %  4/1/16    2,950     2,012  
International Paper Co.  7.950 %  6/15/18    8,200     6,341  
Lubrizol Corp.  5.500 %  10/1/14    2,575     2,330  
Monsanto Co.  5.125 %  4/15/18    925     975  
3 Mosaic Co.  7.375 %  12/1/14    2,500     2,238  
3 Mosaic Co.  7.625 %  12/1/16    4,000     3,400  
Noranda, Inc.  6.000 %  10/15/15    2,525     1,777  
Nucor Corp.  5.750 %  12/1/17    825     823  
Nucor Corp.  5.850 %  6/1/18    3,275     3,172  
Plum Creek Timber Co.  5.875 %  11/15/15    1,650     1,355  
PPG Industries, Inc.  6.650 %  3/15/18    3,425     3,377  
Praxair, Inc.  5.250 %  11/15/14    1,850     1,903  
Praxair, Inc.  4.625 %  3/30/15    2,575     2,439  
Praxair, Inc.  5.375 %  11/1/16    700     687  
Praxair, Inc.  5.200 %  3/15/17    1,500     1,454  
Reliance Steel & Aluminum  6.200 %  11/15/16    650     534  
Rio Tinto Finance USA Ltd.  6.500 %  7/15/18    10,450     7,483  
Rohm & Haas Co.  6.000 %  9/15/17    9,700     8,709  
US Steel Corp.  6.050 %  6/1/17    3,325     1,947  

Page 71


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  US Steel Corp.  7.000 %  2/1/18    1,300     881  
  Vale Overseas Ltd.  6.250 %  1/11/16    5,825     5,607  
  Vale Overseas Ltd.  6.250 %  1/23/17    4,575     4,323  
 
  Capital Goods (1.8%)                   
2,3  BAE Systems Asset Trust  7.156 %  12/15/11    366     378  
  Black & Decker Corp.  5.750 %  11/15/16    1,925     1,602  
  Brascan Corp.  7.125 %  6/15/12    1,000     599  
  Caterpillar Financial Services Corp.  4.750 %  2/17/15    7,625     7,189  
  Caterpillar Financial Services Corp.  4.625 %  6/1/15    1,200     1,121  
  Caterpillar Financial Services Corp.  5.450 %  4/15/18    5,300     4,995  
  Caterpillar, Inc.  7.900 %  12/15/18    7,000     8,255  
  Cooper Industries, Inc.  5.450 %  4/1/15    1,375     1,344  
  CRH America Inc.  6.000 %  9/30/16    8,375     5,303  
  CRH America Inc.  8.125 %  7/15/18    4,425     3,222  
  Danaher Corp.  5.625 %  1/15/18    1,200     1,238  
  Deere & Co.  6.950 %  4/25/14    6,230     6,587  
  Dover Corp.  4.875 %  10/15/15    2,400     2,406  
  Dover Corp.  5.450 %  3/15/18    900     931  
  Eaton Corp.  5.600 %  5/15/18    1,825     1,751  
  Embraer Overseas Ltd.  6.375 %  1/24/17    700     504  
  Emerson Electric Co.  5.125 %  12/1/16    2,500     2,540  
  Emerson Electric Co.  5.375 %  10/15/17    5,000     5,157  
  Emerson Electric Co.  5.250 %  10/15/18    850     868  
  Fisher Scientific International Inc.  6.125 %  7/1/15    4,000     3,514  
  General Dynamics Corp.  5.250 %  2/1/14    6,050     6,227  
  General Electric Co.  5.250 %  12/6/17    22,225     22,413  
  Harsco Corp.  5.750 %  5/15/18    2,550     2,590  
  Honeywell International, Inc.  5.400 %  3/15/16    1,825     1,865  
  Honeywell International, Inc.  5.300 %  3/15/17    1,000     1,015  
  Honeywell International, Inc.  5.300 %  3/1/18    4,025     4,089  
  Ingersoll-Rand GL Holding Company  6.875 %  8/15/18    6,100     5,770  
  John Deere Capital Corp.  5.500 %  4/13/17    2,300     2,222  
  John Deere Capital Corp.  5.750 %  9/10/18    2,875     2,798  
  Joy Global, Inc.  6.000 %  11/15/16    1,275     1,083  
  Lafarge SA  6.500 %  7/15/16    6,500     4,391  
  Lockheed Martin Corp.  7.650 %  5/1/16    3,000     3,441  
  Martin Marietta Material  6.600 %  4/15/18    2,050     1,512  
  Masco Corp.  4.800 %  6/15/15    4,875     3,203  
  Masco Corp.  6.125 %  10/3/16    4,275     2,937  
  Mohawk Industries Inc.  6.125 %  1/15/16    7,350     5,516  
  Northrop Grumman Corp.  7.750 %  3/1/16    2,900     3,284  
  Parker-Hannifin Corp.  5.500 %  5/15/18    2,000     1,946  
  Rockwell Automation  5.650 %  12/1/17    1,550     1,619  
  Textron, Inc.  5.600 %  12/1/17    3,700     2,671  
  United Technologies Corp.  4.875 %  5/1/15    2,950     2,915  
  United Technologies Corp.  5.375 %  12/15/17    5,100     5,226  
  United Technologies Corp.  6.125 %  2/1/19    2,250     2,395  
  Vulcan Materials Co.  7.000 %  6/15/18    3,275     2,527  
  Waste Management, Inc.  6.375 %  11/15/12    1,000     951  
  Waste Management, Inc.  5.000 %  3/15/14    625     544  
 
  Communication (3.6%)                   
  America Movil SA de C.V.  5.500 %  3/1/14    5,650     5,198  
  America Movil SA de C.V.  5.750 %  1/15/15    1,525     1,405  
  AT&T Inc.  5.100 %  9/15/14    24,450     24,397  
  AT&T Inc.  5.625 %  6/15/16    4,975     4,986  
  AT&T Inc.  5.500 %  2/1/18    13,900     13,873  
  AT&T Inc.  5.600 %  5/15/18    2,475     2,552  
  BellSouth Corp.  5.200 %  9/15/14    200     199  
  BellSouth Corp.  5.200 %  12/15/16    1,025     1,000  
  British Telecommunications PLC  5.950 %  1/15/18    3,875     3,321  
  CenturyTel, Inc.  5.000 %  2/15/15    1,000     728  
  CenturyTel, Inc.  6.000 %  4/1/17    2,475     1,786  
  Comcast Cable Communications, Inc.  8.875 %  5/1/17    1,700     1,823  
  Comcast Corp.  5.300 %  1/15/14    6,640     6,401  

Page 72


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Comcast Corp.  6.500 %  1/15/15    3,825     3,791  
Comcast Corp.  5.850 %  11/15/15    2,300     2,202  
Comcast Corp.  5.900 %  3/15/16    12,050     11,585  
Comcast Corp.  4.950 %  6/15/16    2,175     1,981  
Comcast Corp.  6.500 %  1/15/17    1,575     1,577  
Comcast Corp.  6.300 %  11/15/17    7,125     7,039  
Comcast Corp.  5.875 %  2/15/18    5,375     5,189  
Comcast Corp.  5.700 %  5/15/18    1,000     953  
Cox Communications, Inc.  5.450 %  12/15/14    6,725     5,874  
Cox Communications, Inc.  5.500 %  10/1/15    1,250     1,109  
Deutsche Telekom International Finance  5.750 %  3/23/16    2,725     2,598  
Deutsche Telekom International Finance  6.750 %  8/20/18    4,550     4,628  
Embarq Corp.  7.082 %  6/1/16    9,275     7,123  
GTE Corp.  6.840 %  4/15/18    1,000     994  
McGraw-Hill Cos. Inc.  5.900 %  11/15/17    2,950     2,489  
News America Inc.  5.300 %  12/15/14    9,250     8,426  
Omnicom Group Inc.  5.900 %  4/15/16    6,400     5,209  
Qwest Communications International Inc.  7.500 %  10/1/14    3,475     2,841  
Qwest Communications International Inc.  6.500 %  6/1/17    4,000     2,960  
R.R. Donnelley & Sons Co.  4.950 %  4/1/14    2,550     2,050  
R.R. Donnelley & Sons Co.  5.500 %  5/15/15    2,365     1,656  
R.R. Donnelley & Sons Co.  6.125 %  1/15/17    1,750     1,207  
Rogers Communications Inc.  6.375 %  3/1/14    8,000     7,710  
Rogers Communications Inc.  5.500 %  3/15/14    5,000     4,663  
Rogers Communications Inc.  6.800 %  8/15/18    5,500     5,569  
TCI Communications, Inc.  8.750 %  8/1/15    3,895     4,097  
Telecom Italia Capital  4.950 %  9/30/14    11,100     8,404  
Telecom Italia Capital  5.250 %  10/1/15    5,100     3,885  
Telecom Italia Capital  6.999 %  6/4/18    2,625     2,299  
Telefonica Emisiones SAU  6.421 %  6/20/16    11,075     11,045  
Telefonos de Mexico SA  5.500 %  1/27/15    6,050     5,475  
Thomson Corp.  5.700 %  10/1/14    5,550     4,988  
Thomson Corp.  6.500 %  7/15/18    3,950     3,667  
Time Warner Cable Inc.  5.850 %  5/1/17    12,925     11,712  
Time Warner Cable Inc.  6.750 %  7/1/18    11,900     11,436  
Verizon Communications Corp.  5.550 %  2/15/16    12,150     11,956  
Verizon Communications Corp.  5.500 %  2/15/18    13,075     12,911  
Verizon Communications Corp.  8.750 %  11/1/18    11,075     13,148  
Verizon Global Funding Corp.  4.900 %  9/15/15    2,000     1,856  
3 Verizon Wireless Inc.  8.500 %  11/15/18    8,000     9,228  
Vodafone Group PLC  5.375 %  1/30/15    8,475     8,129  
Vodafone Group PLC  5.000 %  9/15/15    1,250     1,169  
Vodafone Group PLC  5.750 %  3/15/16    5,350     5,084  
Vodafone Group PLC  5.625 %  2/27/17    7,425     7,142  
WPP Finance USA Corp.  5.875 %  6/15/14    2,150     1,932  
 
Consumer Cyclical (1.8%)                   
Autozone, Inc.  6.500 %  1/15/14    2,000     1,772  
Brinker International Inc.  5.750 %  6/1/14    1,700     1,263  
Costco Wholesale Corp.  5.500 %  3/15/17    6,475     6,901  
CVS Caremark Corp.  4.875 %  9/15/14    1,675     1,523  
CVS Caremark Corp.  5.750 %  6/1/17    12,675     11,941  
Darden Restaurants Inc.  6.200 %  10/15/17    4,025     3,158  
Federated Retail Holding  5.900 %  12/1/16    8,800     5,386  
Home Depot Inc.  5.400 %  3/1/16    15,050     13,377  
ITT Corp.  7.375 %  11/15/15    5,600     3,559  
J.C. Penney Co., Inc.  7.950 %  4/1/17    1,650     1,241  
J.C. Penney Co., Inc.  5.750 %  2/15/18    2,650     1,785  
Johnson Controls, Inc.  5.500 %  1/15/16    3,000     2,352  
Kohl’s Corp.  6.250 %  12/15/17    4,000     3,233  
Lowe’s Cos., Inc.  5.000 %  10/15/15    4,275     4,075  
Lowe’s Cos., Inc.  5.400 %  10/15/16    4,525     4,332  
Lowe’s Cos., Inc.  6.100 %  9/15/17    600     580  
Macy’s Retail Holdings Inc.  5.750 %  7/15/14    3,600     2,284  
Marriott International  6.200 %  6/15/16    2,600     1,809  
Marriott International  6.375 %  6/15/17    2,450     1,695  

Page 73


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
McDonald’s Corp.  5.300 %  3/15/17    750     771  
McDonald’s Corp.  5.800 %  10/15/17    3,950     4,213  
McDonald’s Corp.  5.350 %  3/1/18    4,775     4,961  
Nordstrom, Inc.  6.250 %  1/15/18    1,800     1,267  
Target Corp.  5.875 %  7/15/16    6,600     6,481  
Target Corp.  5.375 %  5/1/17    550     520  
Target Corp.  6.000 %  1/15/18    8,600     8,380  
The Walt Disney Co.  5.625 %  9/15/16    7,700     7,970  
The Walt Disney Co.  5.875 %  12/15/17    2,600     2,730  
Time Warner, Inc.  5.875 %  11/15/16    9,600     8,676  
Toll Brothers, Inc.  5.150 %  5/15/15    2,150     1,548  
VF Corp.  5.950 %  11/1/17    1,125     1,003  
Viacom Inc.  6.250 %  4/30/16    6,800     5,672  
Viacom Inc.  6.125 %  10/5/17    50     41  
Wal-Mart Stores, Inc.  4.500 %  7/1/15    7,025     7,105  
Wal-Mart Stores, Inc.  5.375 %  4/5/17    2,575     2,759  
Wal-Mart Stores, Inc.  5.800 %  2/15/18    5,025     5,518  
Western Union Co.  5.930 %  10/1/16    3,800     3,309  
Wyndham Worldwide  6.000 %  12/1/16    3,825     1,549  
Yum! Brands, Inc.  6.250 %  4/15/16    2,750     2,351  
Yum! Brands, Inc.  6.250 %  3/15/18    2,625     2,285  
 
Consumer Noncyclical (4.9%)                   
Abbott Laboratories  4.350 %  3/15/14    4,350     4,435  
Abbott Laboratories  5.875 %  5/15/16    11,000     12,061  
Abbott Laboratories  5.600 %  11/30/17    5,000     5,388  
Allergan Inc.  5.750 %  4/1/16    3,300     3,181  
Altria Group, Inc.  9.700 %  11/10/18    15,100     16,363  
AmerisourceBergen Corp.  5.875 %  9/15/15    4,425     3,917  
Amgen Inc.  4.850 %  11/18/14    4,125     4,055  
Amgen Inc.  5.850 %  6/1/17    7,975     8,225  
Anheuser-Busch Cos., Inc.  5.600 %  3/1/17    4,100     3,813  
Anheuser-Busch Cos., Inc.  5.500 %  1/15/18    4,450     4,056  
Archer-Daniels-Midland Co.  8.375 %  4/15/17    1,375     1,607  
Archer-Daniels-Midland Co.  5.450 %  3/15/18    4,050     4,027  
AstraZeneca PLC  5.400 %  6/1/14    3,400     3,557  
AstraZeneca PLC  5.900 %  9/15/17    10,925     11,676  
Baxter International, Inc.  4.625 %  3/15/15    3,150     3,166  
Baxter International, Inc.  5.900 %  9/1/16    2,600     2,802  
Baxter International, Inc.  5.375 %  6/1/18    3,500     3,629  
Biogen Idec Inc.  6.875 %  3/1/18    4,950     4,931  
Bottling Group LLC  6.950 %  3/15/14    3,500     3,801  
Bottling Group LLC  5.500 %  4/1/16    6,050     6,057  
Bristol-Myers Squibb Co.  5.450 %  5/1/18    3,125     3,233  
Bunge Ltd. Finance Corp.  5.350 %  4/15/14    2,900     2,073  
Bunge Ltd. Finance Corp.  5.100 %  7/15/15    1,925     1,426  
Cardinal Health, Inc.  4.000 %  6/15/15    2,200     1,854  
Cardinal Health, Inc.  5.800 %  10/15/16    1,250     1,141  
Cardinal Health, Inc.  6.000 %  6/15/17    900     818  
Cardinal Health, Inc.  5.850 %  12/15/17    1,900     1,701  
Clorox Co.  5.000 %  1/15/15    3,700     3,501  
Coca-Cola Co.  5.350 %  11/15/17    8,900     9,596  
Coca-Cola Enterprises Inc.  7.375 %  3/3/14    5,000     5,512  
ConAgra Foods, Inc.  5.819 %  6/15/17    1,500     1,408  
Covidien International  6.000 %  10/15/17    8,125     7,963  
Delhaize America Inc.  6.500 %  6/15/17    2,800     2,536  
Diageo Capital PLC  7.375 %  1/15/14    2,800     3,099  
Diageo Capital PLC  5.500 %  9/30/16    6,300     5,948  
Diageo Capital PLC  5.750 %  10/23/17    4,800     4,662  
Diageo Finance BV  5.300 %  10/28/15    2,675     2,620  
3 Dr. Pepper Snapple Group  6.820 %  5/1/18    6,075     5,928  
Eli Lilly & Co.  5.200 %  3/15/17    4,925     5,030  
Fortune Brands Inc.  5.375 %  1/15/16    6,175     5,234  
Genentech Inc.  4.750 %  7/15/15    3,250     3,218  
General Mills, Inc.  5.200 %  3/17/15    1,100     1,048  
General Mills, Inc.  5.700 %  2/15/17    7,850     7,809  

Page 74


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
GlaxoSmithKline Capital Inc.  4.375 %  4/15/14    8,075     8,074  
GlaxoSmithKline Capital Inc.  5.650 %  5/15/18    14,250     14,992  
Hasbro Inc.  6.300 %  9/15/17    2,175     2,026  
Hershey Foods Corp.  5.450 %  9/1/16    2,100     2,102  
Hospira, Inc.  5.900 %  6/15/14    675     582  
Hospira, Inc.  6.050 %  3/30/17    2,000     1,628  
Johnson & Johnson  5.550 %  8/15/17    4,600     5,230  
Johnson & Johnson  5.150 %  7/15/18    5,825     6,385  
Kimberly-Clark Corp.  4.875 %  8/15/15    1,025     1,006  
Kimberly-Clark Corp.  6.125 %  8/1/17    7,000     7,424  
Kimberly-Clark Corp.  6.250 %  7/15/18    675     726  
Kraft Foods, Inc.  6.750 %  2/19/14    450     465  
Kraft Foods, Inc.  6.500 %  8/11/17    15,575     15,456  
Kraft Foods, Inc.  6.125 %  2/1/18    5,750     5,632  
Kraft Foods, Inc.  6.125 %  8/23/18    6,700     6,669  
Kroger Co.  4.950 %  1/15/15    6,825     6,261  
Kroger Co.  6.400 %  8/15/17    1,950     1,959  
Laboratory Corp. of America  5.625 %  12/15/15    1,250     1,070  
McKesson Corp.  5.700 %  3/1/17    1,000     896  
Medco Health Solutions  7.125 %  3/15/18    4,100     3,738  
Medtronic Inc.  4.750 %  9/15/15    3,200     3,073  
Merck & Co.  4.750 %  3/1/15    5,425     5,420  
PepsiAmericas Inc.  4.875 %  1/15/15    2,875     2,640  
PepsiAmericas Inc.  5.000 %  5/15/17    750     678  
Pepsico, Inc.  5.000 %  6/1/18    9,200     9,431  
Pepsico, Inc.  7.900 %  11/1/18    8,000     9,875  
Pfizer, Inc.  4.500 %  2/15/14    2,575     2,697  
Philip Morris International Inc  5.650 %  5/16/18    11,975     11,916  
Philip Morris International Inc.  6.875 %  3/17/14    6,075     6,371  
Philips Electronics NV  5.750 %  3/11/18    7,100     6,630  
Procter & Gamble Co.  4.600 %  1/15/14    6,800     7,035  
Procter & Gamble Co.  4.950 %  8/15/14    10,025     10,358  
Quest Diagnostic, Inc.  5.450 %  11/1/15    4,900     4,319  
Quest Diagnostic, Inc.  6.400 %  7/1/17    1,325     1,218  
Reynolds American Inc.  7.625 %  6/1/16    1,000     824  
Reynolds American Inc.  6.750 %  6/15/17    6,000     4,515  
Safeway, Inc.  6.250 %  3/15/14    2,250     2,275  
Safeway, Inc.  6.350 %  8/15/17    3,875     3,906  
Schering-Plough Corp.  5.550 %  12/1/13    5,750     5,765  
Schering-Plough Corp.  6.000 %  9/15/17    7,700     7,538  
Sysco Corp.  5.250 %  2/12/18    2,500     2,542  
Teva Pharmaceutical Finance LLC  5.550 %  2/1/16    2,675     2,617  
UST, Inc.  5.750 %  3/1/18    975     811  
Wyeth  5.500 %  2/1/14    7,875     8,008  
Wyeth  5.500 %  2/15/16    9,050     9,275  
Wyeth  5.450 %  4/1/17    1,725     1,756  
 
Energy (1.5%)                   
Anadarko Petroleum Corp.  5.950 %  9/15/16    10,200     8,945  
Apache Corp.  5.625 %  1/15/17    3,625     3,635  
Apache Corp.  6.900 %  9/15/18    2,800     3,052  
Baker Hughes, Inc.  7.500 %  11/15/18    3,000     3,317  
BJ Services Co.  6.000 %  6/1/18    1,225     1,089  
Cameron International Corp.  6.375 %  7/15/18    1,600     1,397  
Canadian Natural Resources  4.900 %  12/1/14    3,300     2,829  
Canadian Natural Resources  6.000 %  8/15/16    4,000     3,555  
Canadian Natural Resources  5.700 %  5/15/17    3,625     3,168  
ConocoPhillips Canada  5.625 %  10/15/16    9,825     10,154  
Diamond Offshore Drilling  4.875 %  7/1/15    2,050     1,909  
Encana Corp.  5.900 %  12/1/17    4,225     3,537  
Encana Holdings Finance Corp.  5.800 %  5/1/14    7,750     7,297  
EOG Resources Inc.  5.875 %  9/15/17    3,300     3,378  
EOG Resources Inc.  6.875 %  10/1/18    2,000     2,184  
Halliburton Co.  5.900 %  9/15/18    2,800     2,963  
Marathon Oil Corp.  6.000 %  10/1/17    8,875     7,764  
Marathon Oil Corp.  5.900 %  3/15/18    4,175     3,439  

Page 75


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Nabors Industries Inc.  6.150 %  2/15/18    5,475     4,787  
Nexen, Inc.  5.650 %  5/15/17    1,850     1,561  
Petro-Canada Financial Partnership  5.000 %  11/15/14    3,375     2,813  
Petro-Canada Financial Partnership  6.050 %  5/15/18    2,225     1,881  
Questar Market Resources  6.050 %  9/1/16    600     552  
Questar Market Resources  6.800 %  4/1/18    2,000     1,917  
Shell International Finance BV  5.200 %  3/22/17    2,775     2,884  
Suncor Energy, Inc.  6.100 %  6/1/18    5,200     4,485  
Sunoco, Inc.  4.875 %  10/15/14    950     793  
Sunoco, Inc.  5.750 %  1/15/17    2,075     1,749  
Talisman Energy, Inc.  5.125 %  5/15/15    2,150     1,908  
Transocean Inc.  6.000 %  3/15/18    4,750     4,292  
Valero Energy Corp.  6.125 %  6/15/17    6,000     5,109  
Weatherford International Inc.  5.500 %  2/15/16    3,000     2,496  
Weatherford International Inc.  6.350 %  6/15/17    2,600     2,264  
Weatherford International Inc.  6.000 %  3/15/18    2,575     2,166  
XTO Energy, Inc.  4.900 %  2/1/14    2,750     2,465  
XTO Energy, Inc.  5.000 %  1/31/15    400     353  
XTO Energy, Inc.  6.250 %  8/1/17    6,125     5,879  
XTO Energy, Inc.  5.500 %  6/15/18    5,000     4,540  
XTO Energy, Inc.  6.500 %  12/15/18    1,975     1,932  
 
Other Industrial (0.0%)                   
Cintas Corp.  6.125 %  12/1/17    1,300     1,211  
 
Technology (1.5%)                   
Agilent Technologies Inc.  6.500 %  11/1/17    3,325     2,286  
Avnet Inc.  6.625 %  9/15/16    3,000     2,306  
BMC Software Inc.  7.250 %  6/1/18    1,550     1,452  
Cisco Systems Inc.  5.500 %  2/22/16    16,775     17,704  
3 Computer Sciences Corp.  6.500 %  3/15/18    4,800     4,012  
Dell Inc.  5.650 %  4/15/18    2,500     2,167  
Equifax Inc.  6.300 %  7/1/17    1,300     930  
Fiserv, Inc.  6.800 %  11/20/17    3,150     2,701  
Harris Corp.  5.000 %  10/1/15    1,425     1,204  
Harris Corp.  5.950 %  12/1/17    775     667  
Hewlett-Packard Co.  6.125 %  3/1/14    4,775     5,141  
Hewlett-Packard Co.  5.400 %  3/1/17    2,750     2,799  
Hewlett-Packard Co.  5.500 %  3/1/18    5,375     5,499  
International Business Machines Corp.  5.700 %  9/14/17    23,375     24,803  
Intuit Inc.  5.750 %  3/15/17    2,025     1,466  
Lexmark International Inc.  6.650 %  6/1/18    2,975     2,182  
Motorola, Inc.  6.000 %  11/15/17    725     445  
National Semiconductor  6.600 %  6/15/17    2,325     1,688  
Oracle Corp.  5.250 %  1/15/16    16,725     17,192  
Oracle Corp.  5.750 %  4/15/18    8,000     8,298  
Pitney Bowes, Inc.  4.875 %  8/15/14    2,025     1,952  
Pitney Bowes, Inc.  4.750 %  1/15/16    6,175     5,844  
Pitney Bowes, Inc.  5.750 %  9/15/17    2,400     2,366  
Pitney Bowes, Inc.  4.750 %  5/15/18    1,625     1,508  
Tyco Electronics Group  6.550 %  10/1/17    4,025     3,385  
Xerox Corp.  6.400 %  3/15/16    5,700     4,250  
Xerox Corp.  6.750 %  2/1/17    1,850     1,322  
Xerox Corp.  6.350 %  5/15/18    5,575     4,331  
 
Transportation (0.6%)                   
Burlington Northern Santa Fe Corp.  5.650 %  5/1/17    9,050     8,827  
Burlington Northern Santa Fe Corp.  5.750 %  3/15/18    900     879  
Canadian National Railway Co.  4.950 %  1/15/14    1,300     1,270  
Canadian National Railway Co.  5.800 %  6/1/16    1,950     1,976  
Canadian National Railway Co.  5.850 %  11/15/17    500     509  
Canadian National Railway Co.  5.550 %  5/15/18    900     898  
Canadian National Railway Co.  6.800 %  7/15/18    750     817  
Con-Way Inc.  7.250 %  1/15/18    2,000     1,659  
Continental Airlines, Inc.  6.563 %  2/15/12    500     399  
2 Continental Airlines, Inc.  6.648 %  9/15/17    992     757  

Page 76


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
2 Continental Airlines, Inc.  6.900 %  1/2/18    1,557     1,218  
CSX Corp.  6.250 %  4/1/15    4,000     3,933  
CSX Corp.  5.600 %  5/1/17    3,850     3,451  
Norfolk Southern Corp.  5.257 %  9/17/14    3,095     2,954  
Norfolk Southern Corp.  7.700 %  5/15/17    2,400     2,598  
Norfolk Southern Corp.  5.750 %  4/1/18    3,000     2,921  
Ryder System Inc.  5.850 %  3/1/14    1,350     1,051  
Ryder System Inc.  7.200 %  9/1/15    1,775     1,322  
Ryder System Inc.  5.850 %  11/1/16    1,000     827  
Southwest Airlines Co.  5.250 %  10/1/14    2,000     1,527  
Southwest Airlines Co.  5.750 %  12/15/16    1,300     890  
Southwest Airlines Co.  5.125 %  3/1/17    650     457  
Union Pacific Corp.  5.375 %  5/1/14    2,000     1,913  
Union Pacific Corp.  7.000 %  2/1/16    550     576  
Union Pacific Corp.  5.650 %  5/1/17    3,300     3,147  
Union Pacific Corp.  5.750 %  11/15/17    4,675     4,469  
Union Pacific Corp.  5.700 %  8/15/18    2,325     2,254  
United Parcel Service of America  5.500 %  1/15/18    1,600     1,702  
                1,504,954  
Utilities (4.0%)                   
Electric (2.8%)                   
Alabama Power Co.  5.500 %  10/15/17    2,100     2,074  
American Electric Power Co., Inc.  5.250 %  6/1/15    1,850     1,687  
American Water Capital Corp.  6.085 %  10/15/17    3,025     2,644  
Arizona Public Service Co.  5.800 %  6/30/14    500     415  
Arizona Public Service Co.  4.650 %  5/15/15    3,825     2,942  
Baltimore Gas & Electric Co.  5.900 %  10/1/16    2,250     2,038  
Carolina Power & Light Co.  5.250 %  12/15/15    3,000     3,039  
CenterPoint Energy Houston  5.750 %  1/15/14    500     476  
CenterPoint Energy Inc.  6.500 %  5/1/18    4,500     3,682  
Cleveland Electric Illumination Co.  5.650 %  12/15/13    500     458  
Cleveland Electric Illumination Co.  7.880 %  11/1/17    250     256  
Commonwealth Edison Co.  4.700 %  4/15/15    700     628  
Commonwealth Edison Co.  5.950 %  8/15/16    1,975     1,857  
Commonwealth Edison Co.  6.150 %  9/15/17    4,250     3,997  
Commonwealth Edison Co.  5.800 %  3/15/18    650     584  
Connecticut Light & Power Co.  5.650 %  5/1/18    3,000     3,070  
Consolidated Edison Co. of New York  5.500 %  9/15/16    3,350     3,283  
Consolidated Edison Co. of New York  5.850 %  4/1/18    5,000     4,990  
Consolidated Edison Co. of New York  7.125 %  12/1/18    2,000     2,170  
Constellation Energy Group, Inc.  4.550 %  6/15/15    3,750     2,851  
Consumers Energy Co.  5.500 %  8/15/16    3,850     3,649  
Dominion Resources, Inc.  5.150 %  7/15/15    7,925     7,493  
Dominion Resources, Inc.  6.000 %  11/30/17    5,750     5,510  
2 Dominion Resources, Inc.  7.500 %  6/30/66    500     257  
Duke Energy Carolinas LLC  5.250 %  1/15/18    3,000     3,059  
Duke Energy Carolinas LLC  5.100 %  4/15/18    5,750     5,802  
Enersis SA  7.375 %  1/15/14    3,500     3,640  
3 Entergy Gulf States, Inc.  6.000 %  5/1/18    2,600     2,255  
Entergy Louisiana LLC  6.500 %  9/1/18    3,075     2,821  
Exelon Corp.  4.900 %  6/15/15    4,825     4,154  
Exelon Generation Co. LLC  5.350 %  1/15/14    1,000     849  
Exelon Generation Co. LLC  6.200 %  10/1/17    3,500     3,175  
Florida Power & Light Co.  5.550 %  11/1/17    3,950     4,124  
Florida Power Corp.  5.650 %  6/15/18    2,100     2,165  
2 FPL Group Capital, Inc.  6.350 %  10/1/66    1,825     906  
2 FPL Group Capital, Inc.  6.650 %  6/15/67    1,700     851  
2 FPL Group Capital, Inc.  7.300 %  9/1/67    1,000     576  
Georgia Power Co.  5.700 %  6/1/17    7,000     7,080  
Illinois Power  6.125 %  11/15/17    3,100     2,740  
Illinois Power  6.250 %  4/1/18    2,000     1,747  
3 Illinois Power  9.750 %  11/15/18    3,300     3,519  
2 Integrys Energy Group  6.110 %  12/1/66    1,500     745  
Jersey Central Power & Light  5.625 %  5/1/16    5,675     5,240  
Jersey Central Power & Light  5.650 %  6/1/17    5,475     5,051  

Page 77


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Metropolitan Edison  4.875 %  4/1/14    1,000     910  
MidAmerican Energy Co.  5.950 %  7/15/17    925     964  
MidAmerican Energy Co.  5.300 %  3/15/18    4,900     4,838  
MidAmerican Energy Holdings Co.  5.000 %  2/15/14    600     573  
MidAmerican Energy Holdings Co.  5.750 %  4/1/18    4,350     4,326  
National Rural Utilities Cooperative Finance Corp.  4.750 %  3/1/14    3,500     3,210  
National Rural Utilities Cooperative Finance Corp.  5.450 %  4/10/17    8,250     7,590  
National Rural Utilities Cooperative Finance Corp.  5.450 %  2/1/18    3,575     3,269  
National Rural Utilities Cooperative Finance Corp.  10.375 %  11/1/18    2,525     2,941  
Nevada Power Co.  6.500 %  5/15/18    2,675     2,567  
Nevada Power Co.  6.500 %  8/1/18    3,575     3,469  
NiSource Finance Corp.  5.400 %  7/15/14    1,025     692  
NiSource Finance Corp.  6.400 %  3/15/18    5,350     3,470  
Northern States Power Co.  5.250 %  3/1/18    5,350     5,397  
NStar Electric Co.  4.875 %  4/15/14    2,350     2,258  
NStar Electric Co.  5.625 %  11/15/17    625     593  
Ohio Edison  6.400 %  7/15/16    1,200     1,045  
Ohio Power Co.  6.000 %  6/1/16    2,425     2,386  
Oncor Electric Delivery Co.  6.375 %  1/15/15    3,025     2,866  
Pacific Gas & Electric Co.  4.800 %  3/1/14    9,100     8,859  
Pacific Gas & Electric Co.  5.625 %  11/30/17    4,850     4,968  
Pacific Gas & Electric Co.  8.250 %  10/15/18    1,325     1,572  
PacifiCorp  5.650 %  7/15/18    2,575     2,589  
PECO Energy Co.  5.350 %  3/1/18    2,475     2,383  
Pennsylvania Electric Co.  6.050 %  9/1/17    800     714  
PPL Energy Supply LLC  6.200 %  5/15/16    7,900     6,281  
PPL Energy Supply LLC  6.500 %  5/1/18    750     616  
Progress Energy, Inc.  5.625 %  1/15/16    1,425     1,316  
PSE&G Power LLC  5.000 %  4/1/14    2,650     2,342  
PSE&G Power LLC  5.500 %  12/1/15    3,125     2,727  
PSI Energy Inc.  6.050 %  6/15/16    1,500     1,424  
Public Service Co. of Colorado  5.500 %  4/1/14    1,000     978  
Sierra Pacific Power Co.  6.000 %  5/15/16    2,400     2,260  
South Carolina Electric & Gas Co.  6.500 %  11/1/18    800     884  
Southern California Edison Co.  5.000 %  1/15/14    2,000     2,041  
Southern California Edison Co.  5.750 %  3/15/14    2,000     2,125  
Southern California Edison Co.  4.650 %  4/1/15    2,875     2,817  
Southern California Edison Co.  5.000 %  1/15/16    675     674  
Southern Power Co.  4.875 %  7/15/15    1,125     989  
Southwestern Electric Power  5.550 %  1/15/17    3,500     3,279  
Southwestern Electric Power  6.450 %  1/15/19    1,900     1,862  
TransAlta Corp.  6.750 %  7/15/12    125     124  
TransAlta Corp.  6.650 %  5/15/18    2,975     2,671  
Union Electric Co.  5.400 %  2/1/16    300     260  
Virginia Electric & Power Co.  5.400 %  1/15/16    4,450     4,367  
Westar Energy Inc.  8.625 %  12/1/18    2,000     2,164  
Wisconsin Electric Power Co.  6.000 %  4/1/14    1,200     1,289  
2 Wisconsin Energy Corp.  6.250 %  5/15/67    5,275     2,615  
 
Natural Gas (1.2%)                   
Atmos Energy Corp.  4.950 %  10/15/14    3,400     2,979  
Boardwalk Pipelines LLC  5.500 %  2/1/17    3,725     2,992  
Buckeye Partners LP  6.050 %  1/15/18    4,550     3,940  
CenterPoint Energy Resources  6.150 %  5/1/16    1,350     1,174  
CenterPoint Energy Resources  6.000 %  5/15/18    5,000     4,182  
Consolidated Natural Gas  5.000 %  12/1/14    3,125     2,899  
Duke Capital Corp.  5.500 %  3/1/14    1,000     891  
Duke Capital Corp.  5.668 %  8/15/14    1,000     890  
El Paso Natural Gas Co.  5.950 %  4/15/17    1,700     1,382  
Enbridge Energy Partners  6.500 %  4/15/18    3,075     2,559  
Enbridge Inc.  5.600 %  4/1/17    4,050     3,379  
Energy Transfer Partners LP  5.950 %  2/1/15    5,250     4,540  
Energy Transfer Partners LP  6.125 %  2/15/17    4,850     4,076  
Enterprise Products Operating LP  5.600 %  10/15/14    6,250     5,321  
Enterprise Products Operating LP  6.300 %  9/15/17    2,525     2,178  

Page 78


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Equitable Resources Inc.  6.500 %  4/1/18    3,800     3,437  
Kinder Morgan Energy Partners LP  5.125 %  11/15/14    10,800     9,281  
Kinder Morgan Energy Partners LP  6.000 %  2/1/17    1,000     863  
Kinder Morgan Energy Partners LP  5.950 %  2/15/18    250     213  
Magellan Midstream Partners, LP  5.650 %  10/15/16    650     584  
National Grid PLC  6.300 %  8/1/16    6,200     5,332  
NuStar Energy LP  7.650 %  4/15/18    2,900     2,609  
ONEOK Inc.  5.200 %  6/15/15    3,100     2,570  
ONEOK Partners, LP  6.150 %  10/1/16    5,125     4,405  
Panhandle Eastern Pipeline  6.200 %  11/1/17    2,000     1,588  
Panhandle Eastern Pipeline  7.000 %  6/15/18    2,525     2,106  
Plains All American Pipeline LP  6.125 %  1/15/17    2,500     1,995  
Plains All American Pipeline LP  6.500 %  5/1/18    2,675     2,189  
San Diego Gas & Electric  5.300 %  11/15/15    300     300  
Sempra Energy  6.150 %  6/15/18    2,800     2,596  
3 Southern Natural Gas  5.900 %  4/1/17    6,525     4,992  
Spectra Energy Corp.  6.200 %  4/15/18    1,700     1,494  
Teppco Partners, LP  6.650 %  4/15/18    550     472  
Texas Gas Transmission  4.600 %  6/1/15    500     418  
Trans-Canada Pipelines  6.500 %  8/15/18    5,000     4,879  
2 Trans-Canada Pipelines  6.350 %  5/15/67    6,475     2,955  
Transcontinental Gas Pipe Line Corp.  6.050 %  6/15/18    2,500     2,173  
 
Other Utility (0.0%)                   
Veolia Environnement  6.000 %  6/1/18    3,500     3,088  
                345,024  
 
Total Corporate Bonds (Cost $3,658,016)                3,322,717  
 
Sovereign Bonds (U.S. Dollar-Denominated) (6.7%)                   
Asian Development Bank  6.640 %  5/27/14    521     607  
Asian Development Bank  5.500 %  6/27/16    6,900     8,205  
Asian Development Bank  5.250 %  6/12/17    2,300     2,706  
Asian Development Bank  5.593 %  7/16/18    7,800     9,408  
China Development Bank  4.750 %  10/8/14    2,700     2,765  
China Development Bank  5.000 %  10/15/15    3,450     3,406  
Corp. Andina de Fomento  5.750 %  1/12/17    3,950     3,292  
Development Bank of Japan  4.250 %  6/9/15    2,325     2,428  
Development Bank of Japan  5.125 %  2/1/17    3,700     3,964  
Eksportfinans  5.500 %  5/25/16    3,125     3,375  
Eksportfinans  5.500 %  6/26/17    4,600     5,013  
European Bank for Reconstruction & Development  5.000 %  5/19/14    3,400     3,865  
European Investment Bank  4.625 %  5/15/14    12,350     13,349  
European Investment Bank  4.875 %  2/16/16    9,250     10,241  
European Investment Bank  5.125 %  9/13/16    14,550     16,466  
European Investment Bank  4.875 %  1/17/17    14,975     17,081  
European Investment Bank  5.125 %  5/30/17    12,600     14,697  
Export-Import Bank of Korea  5.125 %  3/16/15    4,800     3,888  
Federative Republic of Brazil  7.875 %  3/7/15    10,000     11,325  
Federative Republic of Brazil  6.000 %  1/17/17    18,000     18,495  
2 Federative Republic of Brazil  8.000 %  1/15/18    16,000     17,864  
Inter-American Development Bank  4.500 %  9/15/14    3,000     3,311  
Inter-American Development Bank  4.250 %  9/14/15    9,420     10,296  
Inter-American Development Bank  5.125 %  9/13/16    6,700     7,696  
International Bank for Reconstruction & Development  5.000 %  4/1/16    9,375     10,850  
Japan Finance Corp.  4.625 %  4/21/15    5,600     5,816  
Japan Finance Corp.  5.000 %  5/16/17    3,800     4,060  
Kreditanstalt fur Wiederaufbau  4.125 %  10/15/14    6,475     6,849  
Kreditanstalt fur Wiederaufbau  5.125 %  3/14/16    35,975     40,817  
^ Kreditanstalt fur Wiederaufbau  4.375 %  3/15/18    17,700     19,601  
Kreditanstalt fur Wiederaufbau  4.500 %  7/16/18    10,900     12,172  
Landwirtschaftliche Rentenbank  4.875 %  11/16/15    6,525     7,161  
Landwirtschaftliche Rentenbank  5.125 %  2/1/17    8,775     9,916  
Nordic Investment Bank  5.000 %  2/1/17    7,650     8,812  

Page 79


Vanguard® Intermediate-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Oesterreichische Kontrollbank  4.500 %  3/9/15    2,600     2,853  
  Oesterreichische Kontrollbank  4.875 %  2/16/16    5,000     5,704  
  Oesterreichische Kontrollbank  5.000 %  4/25/17    6,425     7,299  
  Pemex Project Funding Master Trust  7.375 %  12/15/14    2,500     2,566  
3  Pemex Project Funding Master Trust  5.750 %  3/1/18    14,400     12,683  
  Petrobras International Finance  6.125 %  10/6/16    8,475     8,214  
  Petrobras International Finance  5.875 %  3/1/18    6,325     5,677  
  Province of Manitoba  7.500 %  2/22/10    1,000     1,061  
  Province of Manitoba  4.900 %  12/6/16    500     552  
  Province of Ontario  4.750 %  1/19/16    16,725     18,043  
  Province of Ontario  5.450 %  4/27/16    7,100     7,972  
  Province of Quebec  4.875 %  5/5/14    6,000     6,432  
  Province of Quebec  4.600 %  5/26/15    4,800     4,953  
  Province of Quebec  5.000 %  3/1/16    2,000     2,120  
  Province of Quebec  5.125 %  11/14/16    10,975     11,779  
  Province of Quebec  4.625 %  5/14/18    5,900     6,172  
  Quebec Hydro Electric  7.500 %  4/1/16    2,500     3,093  
  Republic of Hungary  4.750 %  2/3/15    7,350     6,500  
  Republic of Italy  4.500 %  1/21/15    5,650     5,820  
  Republic of Italy  4.750 %  1/25/16    13,275     14,026  
  Republic of Italy  5.250 %  9/20/16    30,800     33,704  
  Republic of Italy  5.375 %  6/12/17    425     472  
^  Republic of Korea  4.875 %  9/22/14    6,750     6,404  
  Republic of Peru  9.875 %  2/6/15    8,075     9,246  
  Republic of Peru  8.375 %  5/3/16    2,000     2,155  
  Republic of Poland  5.250 %  1/15/14    4,700     4,622  
  Republic of Poland  5.000 %  10/19/15    4,500     4,336  
  Republic of South Africa  6.500 %  6/2/14    5,725     5,410  
  State of Israel  5.125 %  3/1/14    2,000     2,080  
  State of Israel (U.S. Government Guaranteed)  5.500 %  11/9/16    4,025     4,304  
  Swedish Export Credit Corp.  5.125 %  3/1/17    6,250     6,905  
  United Mexican States  5.875 %  1/15/14    9,325     9,535  
  United Mexican States  6.625 %  3/3/15    14,200     15,052  
  United Mexican States  11.375 %  9/15/16    1,725     2,329  
  United Mexican States  5.625 %  1/15/17    18,000     18,045  
 
Total Sovereign Bonds (Cost $546,663)                577,915  
 
Taxable Municipal Bond (0.0%)                   
  Wisconsin Public Service Rev. (Cost $1,348)  4.800 %  5/1/13    1,350     1,350  
 
 
            Shares        
 
Temporary Cash Investments (1.9%)                   
4,5  Vanguard Market Liquidity Fund (Cost $161,988)  1.378 %      161,987,990     161,988  
 
Total Investments (99.3%) (Cost $8,406,054)                8,562,937  
 
Other Assets and Liabilities—Net (0.7%)5                58,352  
 
Net Assets (100%)                8,621,289  

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $19,443,000.

1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

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, 2008, the aggregate value of these securities was $74,047,000, representing 0.9% of net assets.

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.

5 Includes $19,929,000 of collateral received for securities on loan.

Page 80


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations (51.3%)                   
 
U.S. Government Securities (45.4%)                   
  U.S. Treasury Bond  8.750 %  5/15/17    1,540     2,270  
  U.S. Treasury Bond  9.125 %  5/15/18    1,050     1,626  
  U.S. Treasury Bond  9.000 %  11/15/18    840     1,299  
  U.S. Treasury Bond  8.875 %  2/15/19    1,390     2,140  
  U.S. Treasury Bond  8.125 %  8/15/19    300     444  
  U.S. Treasury Bond  8.500 %  2/15/20    10     15  
  U.S. Treasury Bond  8.750 %  5/15/20    28,730     44,774  
  U.S. Treasury Bond  8.750 %  8/15/20    60,475     94,568  
  U.S. Treasury Bond  7.875 %  2/15/21    39,280     58,466  
  U.S. Treasury Bond  8.125 %  5/15/21    15     23  
  U.S. Treasury Bond  8.125 %  8/15/21    44,985     68,567  
  U.S. Treasury Bond  8.000 %  11/15/21    95,645     145,351  
  U.S. Treasury Bond  7.250 %  8/15/22    11,695     17,049  
  U.S. Treasury Bond  7.625 %  11/15/22    36,745     55,433  
  U.S. Treasury Bond  7.125 %  2/15/23    42,610     61,937  
  U.S. Treasury Bond  6.250 %  8/15/23    40,045     54,749  
  U.S. Treasury Bond  7.500 %  11/15/24    50     80  
  U.S. Treasury Bond  7.625 %  2/15/25    75     122  
  U.S. Treasury Bond  6.000 %  2/15/26    51,825     72,329  
  U.S. Treasury Bond  6.750 %  8/15/26    50,165     75,781  
  U.S. Treasury Bond  6.500 %  11/15/26    800     1,181  
  U.S. Treasury Bond  6.625 %  2/15/27    22,305     33,405  
  U.S. Treasury Bond  6.375 %  8/15/27    43,105     63,182  
  U.S. Treasury Bond  6.125 %  11/15/27    13,850     19,890  
  U.S. Treasury Bond  5.500 %  8/15/28    62,455     84,568  
  U.S. Treasury Bond  5.250 %  11/15/28    9,670     12,787  
  U.S. Treasury Bond  5.250 %  2/15/29    16,600     22,042  
  U.S. Treasury Bond  6.125 %  8/15/29    25,105     36,912  
  U.S. Treasury Bond  6.250 %  5/15/30    4,855     7,313  
  U.S. Treasury Bond  5.375 %  2/15/31    15,810     21,766  
  U.S. Treasury Bond  4.500 %  2/15/36    42,605     56,745  
  U.S. Treasury Bond  4.750 %  2/15/37    41,350     57,761  
  U.S. Treasury Bond  5.000 %  5/15/37    39,200     56,950  
  U.S. Treasury Bond  4.375 %  2/15/38    42,228     56,730  
  U.S. Treasury Bond  4.500 %  5/15/38    54,885     75,090  
  U.S. Treasury Note  3.250 %  1/15/09    800     801  
  U.S. Treasury Note  4.500 %  2/15/09    800     804  
  U.S. Treasury Note  4.750 %  2/28/09    1,425     1,435  
  U.S. Treasury Note  4.750 %  2/15/10    660     691  
  U.S. Treasury Note  6.500 %  2/15/10    2,550     2,720  
  U.S. Treasury Note  3.750 %  11/15/18    15,100     17,127  
                  1,386,923  
Agency Bonds and Notes (5.9%)                   
1  Federal Farm Credit Bank  5.150 %  11/15/19    1,000     1,160  
1  Federal Home Loan Bank  5.375 %  5/15/19    5,250     6,151  
1  Federal Home Loan Bank  5.125 %  8/15/19    5,220     6,028  
1  Federal Home Loan Bank  5.250 %  12/11/20    6,000     7,000  
1  Federal Home Loan Bank  5.625 %  6/11/21    2,500     2,963  
1  Federal Home Loan Bank  5.625 %  3/14/36    1,000     1,283  
1  Federal Home Loan Bank  5.500 %  7/15/36    1,600     2,055  
1  Federal Home Loan Mortgage Corp.  4.875 %  6/13/18    3,000     3,442  
1  Federal Home Loan Mortgage Corp.  6.750 %  9/15/29    7,700     11,032  
1  Federal Home Loan Mortgage Corp.  6.750 %  3/15/31    8,400     12,287  
1  Federal Home Loan Mortgage Corp.  6.250 %  7/15/32    8,175     11,544  
1  Federal National Mortgage Assn.  0.000 %  10/9/19    10,300     6,015  
1  Federal National Mortgage Assn.  6.250 %  5/15/29    7,625     10,388  
1  Federal National Mortgage Assn.  7.125 %  1/15/30    12,075     18,035  
1  Federal National Mortgage Assn.  7.250 %  5/15/30    12,435     18,986  
1  Federal National Mortgage Assn.  6.625 %  11/15/30    9,800     14,127  
1  Federal National Mortgage Assn.  5.625 %  7/15/37    2,325     2,969  
1  Federal National Mortgage Assn.  6.210 %  8/6/38    1,000     1,383  
  Financing Corp.  8.600 %  9/26/19    1,275     1,877  

Page 81


  Vanguard® Long-Term Bond Index Fund                   
  Schedule of Investments                   
  December 31, 2008                   
              Face     Market  
          Maturity    Amount     Value  
      Coupon   Date  ($ 000 )  ($ 000 ) 
    Resolution Funding Corp. (U.S. Government Guaranteed)  8.625 %  1/15/21    850     1,283  
    State of Israel (U.S. Government Guaranteed)  5.500 %  9/18/23    1,375     1,675  
    State of Israel (U.S. Government Guaranteed)  5.500 %  12/4/23    5,325     6,498  
    State of Israel (U.S. Government Guaranteed)  5.500 %  4/26/24    2,900     3,552  
  1  Tennessee Valley Auth.  4.500 %  4/1/18    2,475     2,729  
  1  Tennessee Valley Auth.  6.750 %  11/1/25    4,500     6,231  
  1  Tennessee Valley Auth.  7.125 %  5/1/30    3,250     4,739  
  1  Tennessee Valley Auth.  4.650 %  6/15/35    2,825     3,128  
  1  Tennessee Valley Auth.  5.880 %  4/1/36    1,000     1,284  
  1  Tennessee Valley Auth.  6.150 %  1/15/38    2,450     3,339  
  1  Tennessee Valley Auth.  5.500 %  6/15/38    1,175     1,476  
  1  Tennessee Valley Auth.  4.875 %  1/15/48    2,500     2,924  
  1  Tennessee Valley Auth.  5.375 %  4/1/56    1,850     2,378  
                    179,961  
 
  Total U.S. Government and Agency Obligations (Cost $1,284,749)                1,566,884  
 
  Corporate Bonds (39.0%)                   
 
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)                   
  2  PSE&G Transition Funding LLC  6.890 %  12/15/17    2,500     2,521  
 
  Finance (9.5%)                   
    Banking (5.7%)                   
    Abbey National PLC  7.950 %  10/26/29    4,725     4,095  
    American Express Co.  8.150 %  3/19/38    2,350     2,743  
    BAC Capital Trust XI  6.625 %  5/23/36    225     214  
    Banc One Corp.  7.750 %  7/15/25    2,000     2,214  
    Banc One Corp.  7.625 %  10/15/26    4,350     4,851  
    Bank of America Corp.  4.500 %  8/1/10    150     151  
    Bank of America Corp.  4.250 %  10/1/10    450     449  
    Bank of America Corp.  4.375 %  12/1/10    300     300  
    Bank of America Corp.  5.375 %  8/15/11    1,150     1,178  
    Bank of America Corp.  5.375 %  9/11/12    650     658  
    Bank of America Corp.  5.375 %  6/15/14    400     399  
    Bank of America Corp.  5.625 %  3/8/35    5,575     4,648  
    Bank of America Corp.  6.000 %  10/15/36    4,675     5,026  
    Bank of America Corp.  6.500 %  9/15/37    1,600     1,635  
  2  Barclays Bank PLC  6.278 %  12/29/49    750     478  
    BB&T Capital Trust II  6.750 %  6/7/36    4,225     3,205  
  2  BB&T Capital Trust IV  6.820 %  6/12/37    650     395  
    BB&T Corp.  5.250 %  11/1/19    1,000     895  
    Capital One Capital III  7.686 %  8/15/36    1,700     714  
    Capital One Capital IV  6.745 %  2/17/37    1,100     506  
  2,3  Citicorp Lease Pass-Through Trust  8.040 %  12/15/19    450     439  
  2  Citigroup Capital XXI  8.300 %  12/21/37    8,375     6,457  
    Citigroup, Inc.  6.625 %  6/15/32    2,750     2,672  
    Citigroup, Inc.  5.875 %  2/22/33    2,750     2,358  
    Citigroup, Inc.  6.000 %  10/31/33    1,700     1,488  
    Citigroup, Inc.  5.850 %  12/11/34    2,300     2,246  
    Citigroup, Inc.  6.125 %  8/25/36    6,725     6,162  
    Citigroup, Inc.  5.875 %  5/29/37    1,575     1,587  
    Citigroup, Inc.  6.875 %  3/5/38    5,525     6,381  
  2  Comerica Capital Trust II  6.576 %  2/20/32    1,500     623  
    Compass Bank  5.900 %  4/1/26    1,075     770  
    Credit Suisse First Boston USA, Inc.  7.125 %  7/15/32    2,100     2,316  
    Fifth Third Bancorp.  8.250 %  3/1/38    2,825     2,288  
    First Union Institutional Capital I  8.040 %  12/1/26    500     416  
    Fleet Capital Trust II  7.920 %  12/11/26    1,150     946  
    Fleet Financial Group, Inc.  6.875 %  1/15/28    400     401  
    Goldman Sachs Group, Inc.  5.950 %  1/15/27    5,950     4,409  
    Goldman Sachs Group, Inc.  6.125 %  2/15/33    6,650     6,180  
    Goldman Sachs Group, Inc.  6.345 %  2/15/34    7,350     5,407  
    Goldman Sachs Group, Inc.  6.750 %  10/1/37    10,875     8,947  
    HSBC Bank USA  5.875 %  11/1/34    4,100     3,985  
    HSBC Bank USA  5.625 %  8/15/35    5,300     4,924  

Page 82


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
            Face     Market  
        Maturity    Amount     Value  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  HSBC Holdings PLC  7.625 %  5/17/32    1,050     1,141  
  HSBC Holdings PLC  7.350 %  11/27/32    200     211  
  HSBC Holdings PLC  6.500 %  5/2/36    3,525     3,606  
  HSBC Holdings PLC  6.500 %  9/15/37    5,500     5,803  
  HSBC Holdings PLC  6.800 %  6/1/38    2,950     3,183  
  JPM Capital Trust  6.550 %  9/29/36    3,375     2,858  
  JPMorgan Capital Trust  5.875 %  3/15/35    2,350     1,833  
  JPMorgan Chase & Co.  5.850 %  8/1/35    425     346  
  JPMorgan Chase & Co.  6.400 %  5/15/38    5,025     6,004  
  JPMorgan Chase Capital XXII  6.450 %  2/2/37    3,075     2,467  
  JPMorgan Chase Capital XXV  6.800 %  10/1/37    3,750     3,433  
  KeyBank NA  6.950 %  2/1/28    2,068     1,567  
  Morgan Stanley Dean Witter  6.250 %  8/9/26    3,125     2,600  
  Morgan Stanley Dean Witter  7.250 %  4/1/32    1,150     1,001  
  National City Corp.  6.875 %  5/15/19    1,700     1,377  
  NationsBank Corp.  6.800 %  3/15/28    375     357  
  NB Capital Trust IV  8.250 %  4/15/27    400     319  
  Regions Bank  6.450 %  6/26/37    2,000     1,389  
2  Regions Financial Corp.  6.625 %  5/15/27    1,800     986  
  Regions Financial Corp.  7.375 %  12/10/37    800     627  
2  Royal Bank of Scotland Group PLC  7.648 %  8/29/49    4,975     2,475  
  SunTrust Capital VIII  6.100 %  12/15/36    3,050     2,004  
  Swiss Bank Corp.  7.000 %  10/15/15    1,000     1,000  
  Swiss Bank Corp.  7.375 %  6/15/17    550     565  
  Wachovia Bank NA  5.850 %  2/1/37    4,175     4,024  
  Wachovia Bank NA  6.600 %  1/15/38    4,675     5,011  
  Wachovia Corp.  6.605 %  10/1/25    725     675  
3  Wachovia Corp.  8.000 %  12/15/26    2,300     1,817  
  Wachovia Corp.  7.500 %  4/15/35    150     145  
  Wachovia Corp.  5.500 %  8/1/35    4,000     3,243  
  Wachovia Corp.  6.550 %  10/15/35    125     107  
  Wells Fargo & Co.  5.375 %  2/7/35    2,450     2,352  
  Wells Fargo Bank NA  5.950 %  8/26/36    1,475     1,532  
  Wells Fargo Capital X  5.950 %  12/15/36    1,650     1,378  
 
  Brokerage (0.4%)                   
  Jefferies Group Inc.  6.450 %  6/8/27    1,500     926  
  Jefferies Group Inc.  6.250 %  1/15/36    1,400     837  
  Merrill Lynch & Co., Inc.  6.220 %  9/15/26    4,775     4,427  
  Merrill Lynch & Co., Inc.  6.110 %  1/29/37    3,500     3,159  
  Merrill Lynch & Co., Inc.  7.750 %  5/14/38    3,000     3,270  
 
  Finance Companies (1.3%)                   
  CIT Group, Inc.  6.000 %  4/1/36    2,800     1,764  
  General Electric Capital Corp.  6.750 %  3/15/32    16,350     17,720  
  General Electric Capital Corp.  6.150 %  8/7/37    4,925     4,878  
  General Electric Capital Corp.  5.875 %  1/14/38    14,100     14,011  
  SLM Corp.  5.625 %  8/1/33    1,950     1,175  
 
  Insurance (2.1%)                   
  ACE Capital Trust II  9.700 %  4/1/30    850     665  
  AEGON Funding Corp.  5.750 %  12/15/20    1,000     865  
  Aetna, Inc.  6.625 %  6/15/36    1,850     1,522  
  Aetna, Inc.  6.750 %  12/15/37    1,350     1,138  
  Allstate Corp.  6.125 %  12/15/32    1,250     1,148  
  Allstate Corp.  5.350 %  6/1/33    1,950     1,611  
  Allstate Corp.  5.550 %  5/9/35    1,700     1,437  
  Allstate Corp.  5.950 %  4/1/36    925     826  
2  Allstate Corp.  6.500 %  5/15/37    1,500     851  
  Ambac, Inc.  5.950 %  12/5/35    1,050     323  
  American General Capital II  8.500 %  7/1/30    850     366  
  American International Group, Inc.  6.250 %  5/1/36    875     489  
  American International Group, Inc.  6.250 %  3/15/37    2,425     909  
2,3  American International Group, Inc.  8.175 %  5/15/38    9,900     3,750  
  Aon Capital Trust  8.205 %  1/1/27    1,175     651  

Page 83


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Arch Capital Group Ltd.  7.350 %  5/1/34    625     516  
Assurant, Inc.  6.750 %  2/15/34    1,200     739  
AXA SA  8.600 %  12/15/30    3,700     2,642  
Chubb Corp.  6.000 %  5/11/37    1,725     1,558  
Chubb Corp.  6.500 %  5/15/38    1,925     1,835  
CIGNA Corp.  7.875 %  5/15/27    500     443  
CIGNA Corp.  6.150 %  11/15/36    2,000     1,395  
Cincinnati Financial Corp.  6.920 %  5/15/28    1,000     866  
Cincinnati Financial Corp.  6.125 %  11/1/34    850     653  
Endurance Specialty Holdings  7.000 %  7/15/34    700     455  
GE Global Insurance Holdings Corp.  6.450 %  3/1/19    400     372  
GE Global Insurance Holdings Corp.  7.000 %  2/15/26    1,850     1,700  
GE Global Insurance Holdings Corp.  7.750 %  6/15/30    400     385  
Genworth Financial, Inc.  6.500 %  6/15/34    825     248  
Hartford Financial Services Group, Inc.  6.000 %  1/15/19    1,125     809  
Hartford Financial Services Group, Inc.  5.950 %  10/15/36    650     414  
Hartford Financial Services Group, Inc.  6.100 %  10/1/41    1,200     777  
Humana Inc.  8.150 %  6/15/38    1,150     859  
Lincoln National Corp.  6.150 %  4/7/36    1,475     922  
Loews Corp.  6.000 %  2/1/35    800     600  
MBIA, Inc.  5.700 %  12/1/34    1,000     410  
MetLife, Inc.  6.500 %  12/15/32    3,000     2,546  
MetLife, Inc.  6.375 %  6/15/34    2,925     2,433  
MetLife, Inc.  6.400 %  12/15/36    2,700     1,627  
Nationwide Financial Services  6.750 %  5/15/37    1,000     410  
Principal Financial Group, Inc.  6.050 %  10/15/36    1,700     1,164  
Progressive Corp.  6.625 %  3/1/29    1,625     1,499  
Prudential Financial, Inc.  5.750 %  7/15/33    1,000     644  
Prudential Financial, Inc.  5.400 %  6/13/35    1,000     604  
Prudential Financial, Inc.  5.900 %  3/17/36    1,500     975  
Prudential Financial, Inc.  5.700 %  12/14/36    3,675     2,310  
Travelers Cos. Inc.  6.250 %  6/15/37    2,400     2,331  
Travelers Cos., Inc.  6.750 %  6/20/36    1,000     1,023  
Travelers Property Casualty Corp.  6.375 %  3/15/33    1,500     1,404  
UnitedHealth Group, Inc.  5.800 %  3/15/36    1,300     986  
UnitedHealth Group, Inc.  6.500 %  6/15/37    1,200     926  
UnitedHealth Group, Inc.  6.625 %  11/15/37    1,075     911  
UnitedHealth Group, Inc.  6.875 %  2/15/38    3,925     3,473  
WellPoint Inc.  5.950 %  12/15/34    1,300     1,081  
WellPoint Inc.  5.850 %  1/15/36    2,475     2,100  
WellPoint Inc.  6.375 %  6/15/37    800     701  
XL Capital Ltd.  6.375 %  11/15/24    1,150     596  
XL Capital Ltd.  6.250 %  5/15/27    700     313  
 
Real Estate Investment Trusts (0.0%)                   
Realty Income Corp.  6.750 %  8/15/19    1,350     980  
                291,945  
Industrial (23.4%)                   
Basic Industry (1.4%)                   
Agrium Inc.  6.750 %  1/15/19    2,625     2,517  
Alcan, Inc.  6.125 %  12/15/33    3,050     1,848  
Alcan, Inc.  5.750 %  6/1/35    1,250     710  
Alcoa, Inc.  5.870 %  2/23/22    1,250     900  
Alcoa, Inc.  5.900 %  2/1/27    4,925     3,417  
Aluminum Co. of America  6.750 %  1/15/28    850     645  
Barrick North America Finance LLC  7.500 %  9/15/38    1,225     1,196  
BHP Billiton Finance Ltd.  6.420 %  3/1/26    500     454  
Dow Chemical Co.  7.375 %  11/1/29    2,925     2,627  
E.I. du Pont de Nemours & Co.  6.500 %  1/15/28    1,175     1,218  
Eastman Chemical Co.  7.250 %  1/15/24    1,300     1,098  
Eastman Chemical Co.  7.600 %  2/1/27    300     271  
Inco Ltd.  7.200 %  9/15/32    1,050     806  
Lubrizol Corp.  6.500 %  10/1/34    900     704  
Monsanto Co.  5.500 %  8/15/25    1,350     1,354  

Page 84


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Newmont Mining  5.875 %  4/1/35    1,250     713  
Nucor Corp.  6.400 %  12/1/37    1,800     1,727  
Placer Dome, Inc.  6.450 %  10/15/35    700     554  
Potash Corp. of Saskatchewan  5.875 %  12/1/36    1,750     1,547  
Reliance Steel & Aluminum  6.850 %  11/15/36    350     283  
Rio Tinto Finance USA Ltd.  7.125 %  7/15/28    1,775     1,256  
2 Rohm & Haas Co.  9.800 %  4/15/20    316     363  
Rohm & Haas Co.  7.850 %  7/15/29    2,350     2,298  
Southern Copper Corp.  7.500 %  7/27/35    2,500     1,913  
US Steel Corp.  6.650 %  6/1/37    725     385  
Vale Overseas Ltd.  8.250 %  1/17/34    1,225     1,292  
Vale Overseas Ltd.  6.875 %  11/21/36    6,475     5,973  
Weyerhaeuser Co.  8.500 %  1/15/25    1,100     943  
Weyerhaeuser Co.  7.375 %  3/15/32    3,875     2,626  
 
Capital Goods (1.8%)                   
3M Co.  5.700 %  3/15/37    1,975     2,167  
Boeing Co.  8.750 %  8/15/21    300     367  
Boeing Co.  8.750 %  9/15/31    850     1,103  
Boeing Co.  6.125 %  2/15/33    925     974  
Boeing Co.  6.625 %  2/15/38    1,050     1,123  
Caterpillar, Inc.  6.625 %  7/15/28    1,575     1,584  
Caterpillar, Inc.  7.300 %  5/1/31    1,200     1,287  
Caterpillar, Inc.  6.050 %  8/15/36    1,625     1,653  
Caterpillar, Inc.  6.950 %  5/1/42    1,425     1,430  
CRH America Inc.  6.400 %  10/15/33    1,500     871  
Deere & Co.  8.100 %  5/15/30    1,000     1,130  
Deere & Co.  7.125 %  3/3/31    700     729  
Dover Corp.  5.375 %  10/15/35    350     336  
Dover Corp.  6.600 %  3/15/38    1,200     1,387  
Emerson Electric Co.  6.000 %  8/15/32    400     422  
Goodrich Corp.  6.800 %  7/1/36    1,000     1,049  
Honeywell International, Inc.  5.700 %  3/15/36    1,600     1,606  
Honeywell International, Inc.  5.700 %  3/15/37    1,000     1,018  
Lafarge SA  7.125 %  7/15/36    2,225     1,267  
Lockheed Martin Corp.  7.750 %  5/1/26    150     186  
Lockheed Martin Corp.  6.150 %  9/1/36    4,575     4,994  
Masco Corp.  7.750 %  8/1/29    150     100  
Masco Corp.  6.500 %  8/15/32    1,275     666  
Minnesota Mining & Manufacturing Corp.  6.375 %  2/15/28    500     577  
Northrop Grumman Corp.  7.750 %  2/15/31    2,790     3,475  
PACTIV Corp.  7.950 %  12/15/25    1,000     901  
Parker-Hannifin Corp.  6.250 %  5/15/38    725     724  
Raytheon Co.  6.400 %  12/15/18    500     544  
Raytheon Co.  7.200 %  8/15/27    400     453  
Raytheon Co.  7.000 %  11/1/28    1,000     1,126  
Republic Services, Inc.  6.086 %  3/15/35    225     159  
Rockwell Automation  6.700 %  1/15/28    300     339  
Rockwell Automation  6.250 %  12/1/37    1,100     1,215  
TRW, Inc.  7.750 %  6/1/29    1,475     1,696  
Tyco International Group SA  7.000 %  12/15/19    2,675     2,231  
United Technologies Corp.  6.125 %  2/1/19    1,750     1,863  
United Technologies Corp.  8.875 %  11/15/19    545     708  
United Technologies Corp.  6.700 %  8/1/28    250     277  
United Technologies Corp.  7.500 %  9/15/29    1,875     2,269  
United Technologies Corp.  5.400 %  5/1/35    2,400     2,296  
United Technologies Corp.  6.050 %  6/1/36    2,725     2,891  
United Technologies Corp.  6.125 %  7/15/38    1,250     1,359  
USA Waste Services, Inc.  7.000 %  7/15/28    2,000     1,641  
Waste Management, Inc.  7.750 %  5/15/32    875     776  
WMX Technologies Inc.  7.100 %  8/1/26    800     675  
 
Communication (6.6%)                   
America Movil SA de C.V.  6.375 %  3/1/35    1,975     1,694  
America Movil SA de C.V.  6.125 %  11/15/37    1,200     978  

Page 85


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Ameritech Capital Funding  6.550 %  1/15/28    1,000     903  
AT&T Inc.  8.000 %  11/15/31    6,000     7,777  
AT&T Inc.  6.450 %  6/15/34    7,750     8,614  
AT&T Inc.  6.800 %  5/15/36    1,175     1,367  
AT&T Inc.  6.500 %  9/1/37    4,700     5,239  
AT&T Inc.  6.300 %  1/15/38    7,175     7,869  
AT&T Wireless  8.750 %  3/1/31    5,850     7,168  
BellSouth Capital Funding Corp.  7.875 %  2/15/30    4,250     4,597  
BellSouth Corp.  6.875 %  10/15/31    1,275     1,313  
BellSouth Corp.  6.550 %  6/15/34    2,475     2,453  
BellSouth Corp.  6.000 %  11/15/34    1,480     1,317  
BellSouth Telecommunications Inc.  6.375 %  6/1/28    4,140     4,052  
British Telecommunications PLC  9.125 %  12/15/30    5,475     5,846  
CBS Corp.  7.875 %  7/30/30    2,815     1,782  
CBS Corp.  5.500 %  5/15/33    1,025     531  
CenturyTel Enterprises  6.875 %  1/15/28    550     346  
Cingular Wireless LLC  7.125 %  12/15/31    2,425     2,440  
Comcast Cable Communications Holdings Inc.  9.455 %  11/15/22    3,198     3,604  
Comcast Corp.  5.650 %  6/15/35    1,000     908  
Comcast Corp.  6.500 %  11/15/35    6,000     5,946  
Comcast Corp.  6.450 %  3/15/37    3,525     3,493  
Comcast Corp.  6.950 %  8/15/37    2,700     2,849  
Comcast Corp.  6.400 %  5/15/38    3,625     3,568  
Deutsche Telekom International Finance  8.750 %  6/15/30    8,825     10,855  
Embarq Corp.  7.995 %  6/1/36    3,000     1,912  
France Telecom  8.500 %  3/1/31    6,625     8,016  
Grupo Televisa SA  6.625 %  3/18/25    1,600     1,368  
Grupo Televisa SA  8.500 %  3/11/32    250     229  
GTE Corp.  8.750 %  11/1/21    900     968  
GTE Corp.  6.940 %  4/15/28    2,275     2,163  
Koninklijke KPN NV  8.375 %  10/1/30    1,825     1,910  
McGraw-Hill Cos. Inc.  6.550 %  11/15/37    1,150     824  
Michigan Bell Telephone Co.  7.850 %  1/15/22    1,522     1,501  
New England Telephone & Telegraph Co.  7.875 %  11/15/29    400     361  
News America Holdings, Inc.  8.150 %  10/17/36    1,225     1,332  
News America Holdings, Inc.  7.750 %  12/1/45    1,225     1,168  
News America Inc.  6.550 %  3/15/33    225     201  
News America Inc.  6.200 %  12/15/34    9,350     8,248  
News America Inc.  6.400 %  12/15/35    3,075     2,982  
Pacific Bell  7.125 %  3/15/26    550     575  
Rogers Communications Inc.  7.500 %  8/15/38    1,400     1,540  
TCI Communications, Inc.  7.875 %  2/15/26    2,200     2,201  
Telecom Italia Capital  6.375 %  11/15/33    4,025     2,855  
Telecom Italia Capital  6.000 %  9/30/34    1,400     958  
Telecom Italia Capital  7.200 %  7/18/36    1,625     1,272  
Telecom Italia Capital  7.721 %  6/4/38    1,375     1,143  
Telefonica Emisiones SAU  7.045 %  6/20/36    5,725     6,383  
Telefonica Europe BV  8.250 %  9/15/30    2,500     2,901  
Thomson Corp.  5.500 %  8/15/35    900     671  
Time Warner Cable Inc.  8.750 %  2/14/19    1,775     1,914  
Time Warner Cable Inc.  6.550 %  5/1/37    3,800     3,626  
Time Warner Cable Inc.  7.300 %  7/1/38    4,675     4,903  
Time Warner Entertainment  8.375 %  3/15/23    2,733     2,741  
Time Warner Entertainment  8.375 %  7/15/33    1,950     1,957  
US Cellular  6.700 %  12/15/33    950     693  
US West Communications Group  7.500 %  6/15/23    2,300     1,598  
US West Communications Group  6.875 %  9/15/33    4,200     2,499  
Verizon Communications Corp.  6.250 %  4/1/37    2,425     2,500  
Verizon Communications Corp.  6.400 %  2/15/38    3,900     4,186  
Verizon Communications Corp.  6.900 %  4/15/38    2,200     2,515  
Verizon Communications Corp.  8.950 %  3/1/39    2,775     3,637  
Verizon Global Funding Corp.  7.750 %  12/1/30    7,525     8,360  
Verizon Global Funding Corp.  5.850 %  9/15/35    2,775     2,694  
Verizon Maryland, Inc.  5.125 %  6/15/33    500     367  
Verizon New York, Inc.  7.375 %  4/1/32    650     544  
Vodafone AirTouch PLC  7.875 %  2/15/30    1,000     1,105  

Page 86


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Vodafone Group PLC  6.250 %  11/30/32    200     189  
Vodafone Group PLC  6.150 %  2/27/37    5,575     5,596  
 
Consumer Cyclical (2.9%)                   
CVS Caremark Corp.  6.250 %  6/1/27    2,550     2,373  
DaimlerChrysler North America Holding Corp.  8.500 %  1/18/31    5,275     3,848  
Darden Restaurants Inc.  6.800 %  10/15/37    850     584  
Federated Retail Holding  6.375 %  3/15/37    2,700     1,538  
Home Depot Inc.  5.875 %  12/16/36    6,325     4,971  
J.C. Penney Co., Inc.  7.125 %  11/15/23    1,000     699  
J.C. Penney Co., Inc.  6.375 %  10/15/36    2,850     1,756  
J.C. Penney Co., Inc.  7.400 %  4/1/37    750     508  
Johnson Controls, Inc.  6.000 %  1/15/36    475     301  
Kohl’s Corp.  6.000 %  1/15/33    400     256  
Kohl’s Corp.  6.875 %  12/15/37    1,000     712  
Lowe’s Cos., Inc.  6.875 %  2/15/28    550     541  
Lowe’s Cos., Inc.  6.500 %  3/15/29    1,800     1,661  
Lowe’s Cos., Inc.  5.500 %  10/15/35    800     650  
Lowe’s Cos., Inc.  5.800 %  10/15/36    2,250     1,881  
Macy’s Retail Holdings Inc.  6.650 %  7/15/24    1,450     798  
Macy’s Retail Holdings Inc.  6.790 %  7/15/27    800     422  
Macy’s Retail Holdings Inc.  7.000 %  2/15/28    1,100     592  
Macys Retail Holdings Inc.  6.900 %  4/1/29    150     81  
McDonald’s Corp.  6.300 %  10/15/37    1,750     1,903  
McDonald’s Corp.  6.300 %  3/1/38    2,025     2,233  
Nordstrom, Inc.  6.950 %  3/15/28    300     197  
Nordstrom, Inc.  7.000 %  1/15/38    1,200     731  
Target Corp.  7.000 %  7/15/31    550     505  
Target Corp.  6.350 %  11/1/32    3,000     2,543  
Target Corp.  6.500 %  10/15/37    3,300     2,905  
Target Corp.  7.000 %  1/15/38    4,700     4,397  
The Walt Disney Co.  7.000 %  3/1/32    1,150     1,347  
Time Warner, Inc.  9.150 %  2/1/23    1,980     2,190  
Time Warner, Inc.  7.570 %  2/1/24    500     478  
Time Warner, Inc.  6.950 %  1/15/28    1,000     903  
Time Warner, Inc.  6.625 %  5/15/29    6,975     6,125  
Time Warner, Inc.  7.625 %  4/15/31    5,185     5,121  
Time Warner, Inc.  7.700 %  5/1/32    1,040     1,032  
Time Warner, Inc.  6.500 %  11/15/36    875     781  
VF Corp.  6.450 %  11/1/37    1,500     1,225  
Viacom Inc.  6.875 %  4/30/36    3,850     3,090  
Wal-Mart Stores, Inc.  5.875 %  4/5/27    4,025     4,308  
Wal-Mart Stores, Inc.  7.550 %  2/15/30    4,425     5,428  
Wal-Mart Stores, Inc.  5.250 %  9/1/35    4,900     4,920  
Wal-Mart Stores, Inc.  6.500 %  8/15/37    5,525     6,615  
Wal-Mart Stores, Inc.  6.200 %  4/15/38    2,100     2,349  
Western Union Co.  6.200 %  11/17/36    1,350     1,054  
Yum! Brands, Inc.  6.875 %  11/15/37    1,950     1,572  
 
Consumer Noncyclical (5.2%)                   
Abbott Laboratories  6.150 %  11/30/37    2,375     2,802  
Altria Group, Inc.  9.950 %  11/10/38    3,500     3,834  
Amgen Inc.  6.375 %  6/1/37    2,125     2,257  
Amgen Inc.  6.900 %  6/1/38    1,750     2,001  
Anheuser-Busch Cos., Inc.  6.800 %  8/20/32    3,125     2,894  
Anheuser-Busch Cos., Inc.  5.950 %  1/15/33    650     540  
Anheuser-Busch Cos., Inc.  5.750 %  4/1/36    975     790  
Archer-Daniels-Midland Co.  6.625 %  5/1/29    250     250  
Archer-Daniels-Midland Co.  7.000 %  2/1/31    2,975     3,105  
Archer-Daniels-Midland Co.  5.935 %  10/1/32    255     238  
Archer-Daniels-Midland Co.  5.375 %  9/15/35    2,750     2,385  
Archer-Daniels-Midland Co.  6.450 %  1/15/38    675     687  
AstraZeneca PLC  6.450 %  9/15/37    7,275     8,311  
Baxter International, Inc.  6.250 %  12/1/37    800     909  
Bristol-Myers Squibb Co.  7.150 %  6/15/23    1,300     1,538  

Page 87


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Bristol-Myers Squibb Co.  6.800 %  11/15/26    889     1,023  
Bristol-Myers Squibb Co.  5.875 %  11/15/36    2,700     2,895  
Bristol-Myers Squibb Co.  6.125 %  5/1/38    2,275     2,527  
Bristol-Myers Squibb Co.  6.875 %  8/1/97    200     232  
C.R. Bard, Inc.  6.700 %  12/1/26    500     499  
Coca-Cola Enterprises Inc.  8.500 %  2/1/22    2,000     2,333  
Coca-Cola Enterprises Inc.  8.000 %  9/15/22    500     563  
Coca-Cola Enterprises Inc.  7.000 %  10/1/26    1,175     1,227  
Coca-Cola Enterprises Inc.  6.950 %  11/15/26    3,475     3,612  
Coca-Cola Enterprises Inc.  6.750 %  9/15/28    1,675     1,708  
ConAgra Foods, Inc.  9.750 %  3/1/21    129     153  
ConAgra Foods, Inc.  7.125 %  10/1/26    1,150     1,100  
ConAgra Foods, Inc.  7.000 %  10/1/28    175     167  
ConAgra Foods, Inc.  8.250 %  9/15/30    950     1,008  
Covidien International  6.550 %  10/15/37    2,325     2,289  
Delhaize America Inc.  9.000 %  4/15/31    2,000     2,024  
Diageo Capital PLC  5.875 %  9/30/36    500     472  
3 Dr. Pepper Snapple Group  7.450 %  5/1/38    600     595  
Eli Lilly & Co.  7.125 %  6/1/25    1,000     1,172  
Eli Lilly & Co.  5.500 %  3/15/27    4,300     4,389  
Estee Lauder Ace Trust I  6.000 %  5/15/37    1,025     963  
Fortune Brands Inc.  5.875 %  1/15/36    925     678  
Genentech Inc.  5.250 %  7/15/35    1,025     987  
GlaxoSmithKline Capital Inc.  5.375 %  4/15/34    1,850     1,838  
GlaxoSmithKline Capital Inc.  6.375 %  5/15/38    6,475     7,430  
Grand Metropolitan Investment Corp.  7.450 %  4/15/35    1,750     1,807  
H.J. Heinz Co.  6.750 %  3/15/32    1,625     1,461  
Johnson & Johnson  6.950 %  9/1/29    2,125     2,745  
Johnson & Johnson  4.950 %  5/15/33    1,325     1,369  
Johnson & Johnson  5.950 %  8/15/37    975     1,188  
Johnson & Johnson  5.850 %  7/15/38    2,600     3,089  
Kellogg Co.  7.450 %  4/1/31    2,600     3,226  
Kimberly-Clark Corp.  6.625 %  8/1/37    1,400     1,590  
Kraft Foods, Inc.  6.500 %  11/1/31    1,650     1,598  
Kraft Foods, Inc.  7.000 %  8/11/37    4,800     4,841  
Kraft Foods, Inc.  6.875 %  1/26/39    1,850     1,891  
Kroger Co.  6.150 %  1/15/20    2,400     2,348  
Kroger Co.  7.700 %  6/1/29    375     407  
Kroger Co.  8.000 %  9/15/29    1,925     2,154  
Kroger Co.  7.500 %  4/1/31    1,350     1,484  
Merck & Co.  6.300 %  1/1/26    500     540  
Merck & Co.  6.400 %  3/1/28    2,200     2,402  
Merck & Co.  5.950 %  12/1/28    1,050     1,091  
Merck & Co.  5.750 %  11/15/36    300     311  
Pepsi Bottling Group, Inc.  7.000 %  3/1/29    2,925     3,174  
Pharmacia Corp.  6.600 %  12/1/28    1,925     2,154  
Philip Morris International Inc.  6.375 %  5/16/38    3,600     3,810  
Philips Electronics NV  6.875 %  3/11/38    3,125     2,976  
Procter & Gamble Co.  6.450 %  1/15/26    1,600     1,830  
Procter & Gamble Co.  5.800 %  8/15/34    100     107  
Procter & Gamble Co.  5.550 %  3/5/37    4,650     5,216  
2 Procter & Gamble Co. ESOP  9.360 %  1/1/21    2,178     2,610  
Quest Diagnostic, Inc.  6.950 %  7/1/37    925     796  
Reynolds American Inc.  7.250 %  6/15/37    600     426  
Safeway, Inc.  7.250 %  2/1/31    1,756     2,025  
Sara Lee Corp.  6.125 %  11/1/32    625     518  
Schering-Plough Corp.  6.750 %  12/1/33    2,825     2,940  
Schering-Plough Corp.  6.550 %  9/15/37    1,675     1,703  
Sysco Corp.  5.375 %  9/21/35    1,000     953  
Teva Pharmaceutical Finance LLC  6.150 %  2/1/36    2,400     2,320  
Unilever Capital Corp.  5.900 %  11/15/32    3,925     3,934  
Wyeth  6.450 %  2/1/24    2,225     2,508  
Wyeth  6.500 %  2/1/34    1,125     1,252  
Wyeth  6.000 %  2/15/36    3,075     3,336  
Wyeth  5.950 %  4/1/37    3,800     4,135  

Page 88


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Energy (3.4%)                   
Alberta Energy Co. Ltd.  7.375 %  11/1/31    1,000     895  
Amerada Hess Corp.  7.875 %  10/1/29    3,850     3,736  
Amerada Hess Corp.  7.125 %  3/15/33    925     824  
Anadarko Finance Co.  7.500 %  5/1/31    1,500     1,328  
Anadarko Petroleum Corp.  6.450 %  9/15/36    5,725     4,521  
Apache Corp.  6.000 %  1/15/37    1,950     1,868  
Apache Finance Canada Corp.  7.750 %  12/15/29    650     715  
Baker Hughes, Inc.  6.875 %  1/15/29    1,000     1,017  
Burlington Resources, Inc.  7.200 %  8/15/31    1,050     1,065  
Burlington Resources, Inc.  7.400 %  12/1/31    1,675     1,741  
Cameron International Corp.  7.000 %  7/15/38    1,200     956  
Canadian Natural Resources  7.200 %  1/15/32    1,400     1,247  
Canadian Natural Resources  6.450 %  6/30/33    1,175     952  
Canadian Natural Resources  6.500 %  2/15/37    1,975     1,617  
Canadian Natural Resources  6.250 %  3/15/38    1,750     1,378  
Canadian Natural Resources  6.750 %  2/1/39    800     666  
Conoco Funding Co.  7.250 %  10/15/31    400     427  
Conoco, Inc.  6.950 %  4/15/29    450     488  
ConocoPhillips  5.900 %  10/15/32    1,050     1,047  
ConocoPhillips Canada  5.950 %  10/15/36    950     922  
Devon Energy Corp.  7.950 %  4/15/32    860     956  
Devon Financing Corp.  7.875 %  9/30/31    4,400     4,823  
Encana Corp.  6.500 %  8/15/34    4,825     3,857  
Encana Corp.  6.625 %  8/15/37    1,400     1,130  
Global Marine, Inc.  7.000 %  6/1/28    800     703  
Halliburton Co.  6.700 %  9/15/38    1,300     1,393  
Husky Energy Inc.  6.150 %  6/15/19    510     445  
Husky Energy Inc.  6.800 %  9/15/37    1,225     952  
Kerr McGee Corp.  6.950 %  7/1/24    2,000     1,726  
Kerr McGee Corp.  7.875 %  9/15/31    500     460  
Lasmo Inc.  7.300 %  11/15/27    600     650  
Marathon Oil Corp.  6.600 %  10/1/37    4,575     3,400  
Nexen, Inc.  7.875 %  3/15/32    550     522  
Nexen, Inc.  5.875 %  3/10/35    1,850     1,363  
Nexen, Inc.  6.400 %  5/15/37    3,300     2,587  
Noble Energy Inc.  8.000 %  4/1/27    775     759  
Norsk Hydro  7.250 %  9/23/27    3,150     3,490  
Norsk Hydro  7.150 %  1/15/29    1,000     1,089  
Petro-Canada  7.875 %  6/15/26    150     140  
Petro-Canada  7.000 %  11/15/28    250     212  
Petro-Canada  5.350 %  7/15/33    1,650     1,097  
Petro-Canada  5.950 %  5/15/35    2,500     1,724  
Petro-Canada  6.800 %  5/15/38    2,275     1,710  
Shell International Finance BV  6.375 %  12/15/38    6,225     7,090  
Suncor Energy, Inc.  7.150 %  2/1/32    800     679  
Suncor Energy, Inc.  5.950 %  12/1/34    875     631  
Suncor Energy, Inc.  6.500 %  6/15/38    4,825     3,671  
Talisman Energy, Inc.  7.250 %  10/15/27    450     340  
Talisman Energy, Inc.  5.850 %  2/1/37    2,700     1,871  
Tosco Corp.  8.125 %  2/15/30    7,500     8,820  
Transocean Inc.  7.500 %  4/15/31    1,525     1,364  
Transocean Inc.  6.800 %  3/15/38    2,300     2,024  
Valero Energy Corp.  7.500 %  4/15/32    2,450     1,951  
Valero Energy Corp.  6.625 %  6/15/37    2,725     2,006  
Weatherford International Inc.  6.500 %  8/1/36    1,500     1,106  
Weatherford International Inc.  6.800 %  6/15/37    700     528  
Weatherford International Inc.  7.000 %  3/15/38    1,100     854  
XTO Energy, Inc.  6.100 %  4/1/36    1,125     918  
XTO Energy, Inc.  6.750 %  8/1/37    4,150     3,891  
XTO Energy, Inc.  6.375 %  6/15/38    2,125     1,818  
 
Technology (0.8%)                   
Corning Inc.  7.250 %  8/15/36    600     450  
Dell Inc.  7.100 %  4/15/28    500     435  

Page 89


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Dell Inc.  6.500 %  4/15/38    1,400     1,154  
Electronic Data Systems  7.450 %  10/15/29    375     397  
Equifax Inc.  7.000 %  7/1/37    600     381  
International Business Machines Corp.  7.000 %  10/30/25    1,050     1,194  
International Business Machines Corp.  6.220 %  8/1/27    4,600     4,861  
International Business Machines Corp.  6.500 %  1/15/28    3,725     4,059  
International Business Machines Corp.  5.875 %  11/29/32    950     975  
International Business Machines Corp.  8.000 %  10/15/38    1,500     1,999  
International Business Machines Corp.  7.125 %  12/1/96    400     462  
Motorola, Inc.  7.500 %  5/15/25    225     121  
Motorola, Inc.  6.500 %  9/1/25    1,300     673  
Motorola, Inc.  6.500 %  11/15/28    975     505  
Motorola, Inc.  6.625 %  11/15/37    2,425     1,147  
Oracle Corp.  6.500 %  4/15/38    3,125     3,611  
Pitney Bowes, Inc.  5.250 %  1/15/37    450     415  
Science Applications International Corp.  5.500 %  7/1/33    500     375  
Tyco Electronics Group  7.125 %  10/1/37    1,250     933  
Xerox Capital Trust I  8.000 %  2/1/27    1,050     706  
 
Transportation (1.3%)                   
Burlington Northern Santa Fe Corp.  7.000 %  12/15/25    700     702  
Burlington Northern Santa Fe Corp.  7.950 %  8/15/30    1,300     1,441  
Burlington Northern Santa Fe Corp.  6.200 %  8/15/36    775     715  
Burlington Northern Santa Fe Corp.  6.150 %  5/1/37    1,325     1,230  
Canadian National Railway Co.  6.250 %  8/1/34    2,450     2,475  
Canadian National Railway Co.  6.200 %  6/1/36    1,325     1,348  
Canadian Pacific Railway Co.  7.125 %  10/15/31    2,075     1,660  
CNF, Inc.  6.700 %  5/1/34    1,825     1,315  
2 Continental Airlines, Inc.  6.545 %  2/2/19    955     759  
2 Continental Airlines, Inc.  5.983 %  4/19/22    3,500     2,345  
CSX Corp.  7.950 %  5/1/27    675     687  
CSX Corp.  6.000 %  10/1/36    175     142  
CSX Corp.  6.150 %  5/1/37    2,025     1,671  
CSX Corp.  7.450 %  4/1/38    1,600     1,559  
2 Delta Air Lines Enhanced Equipment Trust Certificates  6.718 %  1/2/23    901     578  
2 Delta Air Lines, Inc.  6.821 %  8/10/22    2,057     1,224  
Federal Express Corp.  7.600 %  7/1/97    1,000     852  
Norfolk Southern Corp.  9.750 %  6/15/20    411     477  
Norfolk Southern Corp.  5.590 %  5/17/25    716     658  
Norfolk Southern Corp.  7.800 %  5/15/27    2,802     3,099  
Norfolk Southern Corp.  5.640 %  5/17/29    1,898     1,782  
Norfolk Southern Corp.  7.050 %  5/1/37    2,225     2,320  
Norfolk Southern Corp.  7.900 %  5/15/97    450     505  
2 Southwest Airlines Co.  6.150 %  8/1/22    822     641  
Union Pacific Corp.  7.125 %  2/1/28    600     608  
Union Pacific Corp.  6.625 %  2/1/29    2,625     2,487  
Union Pacific Corp.  6.150 %  5/1/37    1,000     926  
2 Union Pacific Railroad Co.  6.176 %  1/2/31    942     923  
United Parcel Service of America  8.375 %  4/1/20    500     646  
United Parcel Service of America  8.375 %  4/1/30    500     642  
United Parcel Service of America  6.200 %  1/15/38    3,600     3,969  
                714,310  
Utilities (6.0%)                   
Electric (4.5%)                   
AEP Texas Central Co.  6.650 %  2/15/33    1,950     1,782  
AmerenEnergy Generating  7.950 %  6/1/32    1,750     1,545  
American Water Capital Corp.  6.593 %  10/15/37    2,025     1,548  
Appalachian Power Co.  5.800 %  10/1/35    350     286  
Appalachian Power Co.  7.000 %  4/1/38    850     812  
Baltimore Gas & Electric Co.  6.350 %  10/1/36    1,075     861  
Carolina Power & Light Co.  6.300 %  4/1/38    250     272  
CenterPoint Energy Houston  6.950 %  3/15/33    925     852  
Cleveland Electric Illumination Co.  5.950 %  12/15/36    1,000     760  
Columbus Southern Power  5.850 %  10/1/35    800     701  

Page 90


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Commonwealth Edison Co.  5.875 %  2/1/33    250     213  
Commonwealth Edison Co.  5.900 %  3/15/36    2,000     1,663  
Commonwealth Edison Co.  6.450 %  1/15/38    400     365  
Connecticut Light & Power Co.  6.350 %  6/1/36    750     768  
Consolidated Edison Co. of New York  5.300 %  3/1/35    1,125     966  
Consolidated Edison Co. of New York  5.850 %  3/15/36    1,875     1,738  
Consolidated Edison Co. of New York  6.200 %  6/15/36    550     534  
Consolidated Edison Co. of New York  6.300 %  8/15/37    1,450     1,427  
Consolidated Edison Co. of New York  6.750 %  4/1/38    1,000     1,043  
Constellation Energy Group, Inc.  7.600 %  4/1/32    1,800     1,531  
Consumers Energy Co.  5.650 %  4/15/20    1,250     1,168  
Detroit Edison Co.  5.700 %  10/1/37    500     456  
Dominion Resources, Inc.  8.875 %  1/15/19    1,475     1,587  
Dominion Resources, Inc.  6.300 %  3/15/33    2,150     1,828  
Dominion Resources, Inc.  5.950 %  6/15/35    1,150     1,015  
Dominion Resources, Inc.  7.000 %  6/15/38    1,600     1,548  
DTE Energy Co.  6.375 %  4/15/33    800     632  
Duke Energy Carolinas LLC  6.100 %  6/1/37    825     828  
Duke Energy Carolinas LLC  6.000 %  1/15/38    875     873  
Duke Energy Carolinas LLC  6.050 %  4/15/38    2,000     2,008  
Duke Energy Corp.  6.000 %  12/1/28    1,000     1,015  
Duke Energy Corp.  6.450 %  10/15/32    1,050     1,127  
Duke Energy Indiana Inc.  6.350 %  8/15/38    1,000     1,067  
El Paso Electric Co.  6.000 %  5/15/35    1,400     956  
Energy East Corp.  6.750 %  7/15/36    1,425     1,205  
Exelon Corp.  5.625 %  6/15/35    1,975     1,318  
FirstEnergy Corp.  7.375 %  11/15/31    4,800     4,549  
Florida Power & Light Co.  5.950 %  10/1/33    950     1,018  
Florida Power & Light Co.  5.625 %  4/1/34    1,174     1,207  
Florida Power & Light Co.  5.400 %  9/1/35    1,875     1,869  
Florida Power & Light Co.  6.200 %  6/1/36    150     167  
Florida Power & Light Co.  5.650 %  2/1/37    2,150     2,233  
Florida Power & Light Co.  5.850 %  5/1/37    625     668  
Florida Power & Light Co.  5.950 %  2/1/38    350     380  
Florida Power Corp.  6.350 %  9/15/37    2,225     2,455  
Florida Power Corp.  6.400 %  6/15/38    2,575     2,944  
Georgia Power Co.  5.650 %  3/1/37    2,075     1,971  
Indiana Michigan Power Co.  6.050 %  3/15/37    3,075     2,503  
Kansas City Power & Light  6.050 %  11/15/35    500     399  
MidAmerican Energy Co.  6.750 %  12/30/31    1,800     1,817  
MidAmerican Energy Co.  5.750 %  11/1/35    850     753  
MidAmerican Energy Co.  5.800 %  10/15/36    875     788  
MidAmerican Energy Holdings Co.  8.480 %  9/15/28    300     318  
MidAmerican Energy Holdings Co.  6.125 %  4/1/36    6,925     6,412  
MidAmerican Energy Holdings Co.  5.950 %  5/15/37    4,275     3,885  
MidAmerican Energy Holdings Co.  6.500 %  9/15/37    700     676  
National Rural Utilities Cooperative Finance Corp.  8.000 %  3/1/32    2,400     2,333  
Nevada Power Co.  6.750 %  7/1/37    2,500     2,235  
NiSource Finance Corp.  6.800 %  1/15/19    850     584  
NiSource Finance Corp.  5.450 %  9/15/20    725     441  
Northern States Power Co.  5.250 %  7/15/35    1,175     1,115  
Northern States Power Co.  6.250 %  6/1/36    525     571  
Northern States Power Co.  6.200 %  7/1/37    1,050     1,136  
Ohio Power Co.  6.600 %  2/15/33    400     374  
Oncor Electric Delivery Co.  7.000 %  9/1/22    1,675     1,561  
Oncor Electric Delivery Co.  7.000 %  5/1/32    2,025     1,828  
Oncor Electric Delivery Co.  7.250 %  1/15/33    325     297  
Pacific Gas & Electric Co.  6.050 %  3/1/34    8,800     9,123  
Pacific Gas & Electric Co.  5.800 %  3/1/37    2,075     2,127  
PacifiCorp  7.700 %  11/15/31    400     480  
PacifiCorp  5.250 %  6/15/35    1,150     1,040  
PacifiCorp  5.750 %  4/1/37    1,000     970  
PacifiCorp  6.250 %  10/15/37    1,200     1,246  
Pepco Holdings, Inc.  7.450 %  8/15/32    300     248  
Potomac Electric Power  6.500 %  11/15/37    1,500     1,467  
PPL Energy Supply LLC  6.000 %  12/15/36    1,350     946  

Page 91


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Progress Energy, Inc.  7.750 %  3/1/31    1,725     1,739  
Progress Energy, Inc.  7.000 %  10/30/31    925     859  
PSE&G Power LLC  8.625 %  4/15/31    400     418  
PSI Energy Inc.  6.120 %  10/15/35    600     562  
Public Service Co. of Colorado  6.250 %  9/1/37    1,025     1,057  
Public Service Co. of Colorado  6.500 %  8/1/38    500     533  
Public Service Co. of Oklahoma  6.625 %  11/15/37    300     272  
Public Service Electric & Gas  5.250 %  7/1/35    675     587  
Public Service Electric & Gas  5.800 %  5/1/37    2,925     2,743  
Puget Sound Energy Inc.  5.483 %  6/1/35    825     661  
Puget Sound Energy Inc.  6.274 %  3/15/37    1,425     1,271  
South Carolina Electric & Gas Co.  6.625 %  2/1/32    500     558  
South Carolina Electric & Gas Co.  5.300 %  5/15/33    1,850     1,748  
South Carolina Electric & Gas Co.  6.050 %  1/15/38    1,225     1,282  
Southern California Edison Co.  6.650 %  4/1/29    700     734  
Southern California Edison Co.  5.750 %  4/1/35    400     430  
Southern California Edison Co.  5.350 %  7/15/35    3,175     3,234  
Southern California Edison Co.  5.625 %  2/1/36    1,100     1,164  
Southern California Edison Co.  5.550 %  1/15/37    600     629  
Southern California Edison Co.  5.950 %  2/1/38    975     1,081  
Southwestern Electric Power  6.450 %  1/15/19    175     171  
Tampa Electric Co.  6.550 %  5/15/36    450     395  
Toledo Edison Co.  6.150 %  5/15/37    600     478  
United Utilities PLC  5.375 %  2/1/19    1,000     853  
United Utilities PLC  6.875 %  8/15/28    375     312  
Virginia Electric & Power Co.  6.000 %  1/15/36    1,725     1,643  
Virginia Electric & Power Co.  6.000 %  5/15/37    825     806  
Virginia Electric & Power Co.  6.350 %  11/30/37    1,000     997  
Virginia Electric & Power Co.  8.875 %  11/15/38    1,700     2,156  
Wisconsin Electric Power Co.  5.625 %  5/15/33    450     430  
Wisconsin Electric Power Co.  5.700 %  12/1/36    1,675     1,614  
Wisconsin Power & Light Co.  6.375 %  8/15/37    950     914  
Xcel Energy, Inc.  6.500 %  7/1/36    650     598  
 
Natural Gas (1.4%)                   
AGL Capital Corp.  6.000 %  10/1/34    850     618  
Duke Capital Corp.  8.000 %  10/1/19    425     406  
Duke Capital Corp.  6.750 %  2/15/32    1,705     1,311  
Duke Energy Field Services  8.125 %  8/16/30    500     451  
El Paso Natural Gas Co.  8.375 %  6/15/32    1,350     1,135  
Enbridge Energy Partners  9.875 %  3/1/19    1,700     1,713  
Enbridge Energy Partners  7.500 %  4/15/38    525     428  
Energy Transfer Partners LP  6.625 %  10/15/36    1,125     788  
Energy Transfer Partners LP  7.500 %  7/1/38    775     606  
Enterprise Products Operating LP  6.500 %  1/31/19    2,300     1,920  
Enterprise Products Operating LP  6.875 %  3/1/33    875     681  
Enterprise Products Operating LP  6.650 %  10/15/34    900     677  
KeySpan Corp.  8.000 %  11/15/30    1,175     1,160  
Kinder Morgan Energy Partners LP  7.750 %  3/15/32    500     441  
Kinder Morgan Energy Partners LP  7.300 %  8/15/33    1,000     835  
Kinder Morgan Energy Partners LP  5.800 %  3/15/35    1,675     1,142  
Kinder Morgan Energy Partners LP  6.500 %  2/1/37    1,350     1,043  
Kinder Morgan Energy Partners LP  6.950 %  1/15/38    3,425     2,803  
ONEOK Inc.  6.000 %  6/15/35    975     706  
ONEOK Partners, LP  6.650 %  10/1/36    3,425     2,717  
ONEOK Partners, LP  6.850 %  10/15/37    1,200     929  
Plains All American Pipeline LP  6.650 %  1/15/37    1,175     806  
San Diego Gas & Electric  5.350 %  5/15/35    1,775     1,641  
San Diego Gas & Electric  6.125 %  9/15/37    625     642  
Southern California Gas Co.  5.750 %  11/15/35    75     71  
Southern Union Co.  7.600 %  2/1/24    500     356  
Southern Union Co.  8.250 %  11/15/29    1,000     765  
Tennessee Gas Pipeline  7.000 %  10/15/28    2,650     1,975  
Teppco Partners, LP  7.550 %  4/15/38    1,125     853  
Texas Eastern Transmission  7.000 %  7/15/32    700     615  

Page 92


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Trans-Canada Pipelines  5.600 %  3/31/34    1,725     1,369  
Trans-Canada Pipelines  5.850 %  3/15/36    2,575     2,128  
Trans-Canada Pipelines  6.200 %  10/15/37    2,000     1,787  
Trans-Canada Pipelines  7.250 %  8/15/38    1,700     1,696  
Williams Cos., Inc.  7.500 %  1/15/31    5,850     3,978  
Williams Cos., Inc.  7.750 %  6/15/31    2,750     1,897  
 
Other Utility (0.1%)                   
Veolia Environnement  6.750 %  6/1/38    1,750     1,474  
                182,924  
 
Total Corporate Bonds (Cost $1,321,700)                1,191,700  
 
Sovereign Bonds (U.S. Dollar-Denominated) (5.7%)                   
Asian Development Bank  5.593 %  7/16/18    4,000     4,825  
European Investment Bank  4.875 %  2/15/36    2,400     2,941  
Federative Republic of Brazil  8.875 %  4/15/24    3,000     3,690  
Federative Republic of Brazil  8.750 %  2/4/25    8,500     10,370  
Federative Republic of Brazil  10.125 %  5/15/27    6,700     9,223  
Federative Republic of Brazil  8.250 %  1/20/34    6,500     7,914  
Federative Republic of Brazil  7.125 %  1/20/37    7,500     8,400  
Federative Republic of Brazil  11.000 %  8/17/40    13,000     16,900  
Inter-American Development Bank  7.000 %  6/15/25    750     1,045  
International Bank for Reconstruction & Development  7.625 %  1/19/23    1,807     2,646  
International Bank for Reconstruction & Development  8.875 %  3/1/26    1,000     1,623  
International Bank for Reconstruction & Development  4.750 %  2/15/35    2,225     2,626  
Korea Electric Power  7.000 %  2/1/27    750     634  
Kreditanstalt fur Wiederaufbau  0.000 %  4/18/36    6,200     2,178  
Kreditanstalt fur Wiederaufbau  0.000 %  6/29/37    6,275     2,019  
Pemex Project Funding Master Trust  6.625 %  6/15/35    4,900     4,140  
3 Pemex Project Funding Master Trust  6.625 %  6/15/38    1,375     1,152  
Petrobras International Finance  8.375 %  12/10/18    1,500     1,539  
Province of British Columbia  6.500 %  1/15/26    1,500     2,034  
Province of Manitoba  9.250 %  4/1/20    1,500     2,309  
Province of Nova Scotia  9.125 %  5/1/21    1,280     2,021  
Province of Quebec  7.500 %  7/15/23    600     827  
Province of Quebec  7.125 %  2/9/24    3,800     4,898  
Province of Quebec  7.500 %  9/15/29    3,625     5,097  
Province of Saskatchewan  7.375 %  7/15/13    600     745  
Quebec Hydro Electric  9.400 %  2/1/21    1,480     2,290  
Quebec Hydro Electric  8.400 %  1/15/22    775     1,146  
Quebec Hydro Electric  8.050 %  7/7/24    5,000     7,127  
Quebec Hydro Electric  8.500 %  12/1/29    1,200     1,897  
Region of Lombardy, Italy  5.804 %  10/25/32    2,375     2,916  
Republic of Finland  6.950 %  2/15/26    195     292  
Republic of Italy  6.875 %  9/27/23    6,600     8,341  
Republic of Italy  5.375 %  6/15/33    5,750     6,613  
Republic of Korea  5.625 %  11/3/25    900     776  
Republic of Peru  7.350 %  7/21/25    3,000     2,955  
2 Republic of Peru  6.550 %  3/14/37    5,000     4,450  
Republic of South Africa  5.875 %  5/30/22    3,000     2,520  
United Mexican States  5.950 %  3/19/19    3,500     3,517  
United Mexican States  8.125 %  12/30/19    5,750     6,713  
United Mexican States  8.300 %  8/15/31    2,275     2,747  
United Mexican States  6.750 %  9/27/34    15,625     16,328  
United Mexican States  6.050 %  1/11/40    3,700     3,598  
 
Total Sovereign Bonds (Cost $173,101)                176,022  
 
Taxable Municipal Bonds (1.5%)                   
Chicago IL Transit Auth. Rev.  6.899 %  12/1/40    5,500     5,428  
Connecticut GO  5.850 %  3/15/32    4,200     4,020  
Illinois (Taxable Pension) GO  4.950 %  6/1/23    1,700     1,577  
Illinois (Taxable Pension) GO  5.100 %  6/1/33    22,125     19,381  
Kansas Dev. Finance Auth. Rev.                   
(Public Employee Retirement System)  5.501 %  5/1/34    500     458  

Page 93


Vanguard® Long-Term Bond Index Fund                   
Schedule of Investments                   
December 31, 2008                   
          Face     Market  
      Maturity    Amount     Value  
  Coupon   Date  ($ 000 )  ($ 000 ) 
New Jersey Econ. Dev. Auth. State Pension Rev.  7.425 %  2/15/29    5,250     5,310  
New Jersey Turnpike Auth. Rev.  4.252 %  1/1/16    30     29  
New Jersey Turnpike Auth. Rev.  4.252 %  1/1/16    570     547  
Oregon (Taxable Pension) GO  5.762 %  6/1/23    600     592  
Oregon (Taxable Pension) GO  5.892 %  6/1/27    1,850     1,785  
Oregon School Board Assn.  4.759 %  6/30/28    1,850     1,557  
Oregon School Board Assn.  5.528 %  6/30/28    1,500     1,395  
Tobacco Settlement Finance Auth. Rev.  7.467 %  6/1/47    3,840     2,405  
Wisconsin Public Service Rev.  5.700 %  5/1/26    900     819  
 
Total Taxable Municipal Bonds (Cost $50,184)                45,303  
 
 
 
          Shares        
 
Temporary Cash Investments (1.7%)                   
4 Vanguard Market Liquidity Fund (Cost $50,700)  1.378 %      50,699,568     50,700  
 
Total Investments (99.2%) (Cost $2,880,434)                3,030,609  
 
Other Assets and Liabilities—Net (0.8%)                24,918  
 
Net Assets (100%)                3,055,527  

1 The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government.

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, 2008, the aggregate value of these securities was $7,753,000, representing 0.3% of net assets.

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.

GO—General Obligation Bond.

Page 94


Report of Independent Registered Public Accounting Firm

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

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements (not presented herein) of Vanguard Total Bond Market Index Fund, Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (constituting separate portfolios of Vanguard Bond Index Funds, hereafter referred to as the “Funds”) as of December 31, 2008, and for the year then ended and have issued our unqualified report thereon dated February 23, 2009. Our audits included audits of the Funds’ schedules of investments as of December 31, 2008. These schedules of investments are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these schedules of investments based on our audits.

In our opinion, the accompanying schedules of investments referred to above, when read in conjunction with the finan-cial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

PricewaterhouseCoopers LLP
Philadelphia, PA
February 23, 2009

Page 95


© 2009 Vanguard Group. Inc. All rights reserved.

Vanguard Marketing Corporation, Distributor.

SNAQ840 022009


Vanguard Inflation-Protected Securities Fund Annual Report



  • The various share classes of Vanguard Inflation-Protected Securities Fund returned about 11% for the year as rising expectations of future inflation pushed up prices of inflation-adjusted securities.
  • The fund modestly trailed its benchmark index but slightly outpaced its peers.
  • Because 2008 ended with deflation and inflation was negligible for most of 2009, the fund made only a small dividend payment in the first quarter of 2009 and no dividend payment in the second and third quarters.
Contents   
Your Fund’s Total Returns...............  1 
Chairman’s Letter...........................  2 
Advisor’s Report.............................  9 
Results of Proxy Voting.................  11 
Fund Profile.................................  12 
Performance Summary................  13 
Financial Statements.................  15 
About Your Fund’s Expenses..........  27 
Glossary.........................................  29 

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.

See the Glossary for definitions of investment terms used in this report.

Cover photograph: Veronica Coia.


Your Fund’s Total Returns                 
 
 
 
 
Fiscal Year Ended December 31, 2009                 
 
  30-Day SEC   Income   Capital   Total  
  Yields   Returns   Returns   Returns  
Vanguard Inflation-Protected Securities Fund                 
Investor Shares  0.74 %  1.76 %  9.04 %  10.80 % 
Admiral™ Shares  0.87   1.94   9.02   10.96  
Institutional Shares  0.90   2.02   9.01   11.03  
Barclays Capital U.S. Treasury Inflation                 
Protected Securities Index              11.41  
Treasury Inflation-Protected Securities Funds                 
Average              10.79  
Treasury Inflation-Protected Securities Funds Average: Derived from data provided by Lipper Inc.          

Admiral Shares are a lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. Institutional Shares are available for a minimum initial investment of $5 million.

Your Fund’s Performance at a Glance                 
December 31, 2008 , Through December 31, 2009                 
            Distributions Per Share 
    Starting    Ending    Income    Capital 
    Share Price    Share Price    Dividends    Gains 
Vanguard Inflation-Protected Securities Fund                 
Investor Shares  $ 11.52  $ 12.55  $ 0.214  $ 0.000 
Admiral Shares    22.62    24.65    0.448    0.000 
Institutional Shares    9.21    10.04    0.185    0.000 

1



Chairman’s Letter

Dear Shareholder,

Vanguard Inflation-Protected Securities Fund returned about 11% for the year ended December 31, 2009. At the start of the year, the difference in yields between 10-year U.S. Treasury inflation-protected securities and conventional Treasuries was negligible, suggesting that investors were expecting very little inflation for the next ten years. But as winter turned to spring and the markets became more optimistic about future economic growth, the difference between the yields of inflation-protected and conventional Treasuries grew, indicating a belief that modest inflation was more likely. The change in sentiment helped to spark a rally in inflation-protected Treasuries.

However, declines in the Consumer Price Index (CPI), largely a result of sharply falling energy prices in late 2008 and early 2009, led to a downward adjustment in the fund’s income distributions. In fact, the fund paid only a small dividend in the first quarter ($0.005 per share for Investor Shares) and no dividend in the second or third quarter. As the CPI stayed mostly in positive territory in 2009, the fund’s Investor Shares were able to pay $0.209 per share in the fourth quarter.

For more on how the fund adjusts for inflation and deflation, see “Investment insight” on page 6.

2


Bond markets calmed down, money market funds endured

Compared with the last months of 2008, when credit markets seized up and investors fled to the safety of conventional U.S. Treasuries, 2009 represented a return to normalcy for bonds. Investors’ appetite for risk returned, and the demand for corporate bonds increased, raising their prices and bringing down their yields.

For the 12 months ended December 31, the broad taxable bond market returned about 6%, while municipal bonds returned about 13%.

Meanwhile, money market funds and other short-term savings vehicles did poorly in 2009. Interest rates at the shortest end of the maturity spectrum remained at historic lows, a casualty of the Federal Reserve Board’s efforts to revive the economy. The Fed kept its target for the federal funds rate between 0% and 0.25% for the entire year.

Impressive stock returns masked lingering uncertainties

For the 12 months, the broad U.S. stock market returned more than 29%, its highest calendar-year return since 2003. The year began with the market searching for a bottom, and it finally hit a low point in early March. From there, stocks mounted one of their strongest rallies ever—in magnitude and duration—resulting in a check mark-shaped stock chart for 2009.

The market’s outsized result came against a backdrop of economic uncertainty. The economy, which struggled to regain its

Market Barometer             
      Average Annual Total Returns  
      Periods Ended December 31, 2009  
  One   Three   Five  
  Year   Years   Years  
Bonds             
Barclays Capital U.S. Aggregate Bond Index (Broad             
taxable market)  5.93 %  6.04 %  4.97 % 
Barclays Capital Municipal Bond Index  12.91   4.41   4.32  
Citigroup Three-Month U.S. Treasury Bill Index  0.16   2.22   2.88  
 
Stocks             
Russell 1000 Index (Large-caps)  28.43 %  -5.36 %  0.79 % 
Russell 2000 Index (Small-caps)  27.17   -6.07   0.51  
Dow Jones U.S. Total Stock Market Index  29.35   -5.01   1.09  
MSCI All Country World Index ex USA (International)  42.14   -3.04   6.30  
 
CPI             
Consumer Price Index  2.72 %  2.28 %  2.56 % 

3


footing as the financial crisis abated, began to show signs of growth in the second half of the year, even as unemployment climbed to levels not seen since 1983.

Stock markets outside the United States fared even better during 2009, especially many emerging markets, which weathered the financial crisis in relatively better fiscal and economic shape than their developed-market counterparts.

The fund benefited as deflation fears subsided

Early in 2009, fears of a shrinking economy and accompanying deflation loomed over the market. Consumer prices fell by 2.5% between November 2008 and January 2009, and the gap between 5-year inflation-protected Treasuries and their conventional counterparts reflected expectations of sustained deflation for the next five years—a scenario not seen in the United States since the 1930s.

But as the financial crisis eased and the economy seemed to stabilize, expectations resurfaced for at least mild inflation in the future, which spurred the buying of inflation-indexed bonds. For the first time since 2003, the Inflation-Protected Securities Fund posted positive returns in each of the year’s four quarters. As its share price rose, its yield fell, ending the year at 0.74% for Investor Shares.

This rally was similar to what occurred in 2002 when the economy began recovering from the previous recession. Then, as in 2009, inflation-indexed Treasury bonds

Expense Ratios                 
Your Fund Compared With Its Peer Group                 
  Investor   Admiral   Institutional   Peer Group  
  Shares   Shares   Shares   Average  
Inflation-Protected Securities Fund  0.25 %  0.12 %  0.09 %  0.84 % 

The fund expense ratios shown are from the prospectus dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the fund’s expense ratios were 0.25% for Investor Shares, 0.12% for Admiral Shares, and 0.09% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2008.

Peer group: Treasury Inflation-Protected Securities Funds.

4


rose in value as investors reset their inflation expectations upward. The strong performance of inflation-indexed Treasury bonds this past year stood in contrast to that of conventional Treasuries, which had done so well in 2008 as investors fled to their perceived safety. (Inflation-protected Treasury securities are equally credit-worthy, but have not functioned as a similar haven for investors in times of stress.) With investors regaining their appetite for risk as 2009 unfolded, they sold conventional intermediate- and long-term Treasuries and sought higher-yielding alternatives, such as corporate bonds.

This willingness to venture beyond conventional Treasuries was evident in the steadily widening “break-even inflation rate,” a term for the difference in yields between conventional and inflation-protected Treasuries. At year-end 2008, the break-even rate for 10-year bonds reflected the expectation that annual inflation would be less than 1% for the subsequent ten years. By the end of 2009, investors were pricing in inflation of 2.4% per year over the next 10 years.

The change in outlook could be attributed to an economy that resumed growing in the third quarter (according to estimates of the output of U.S. goods and services), the Federal Reserve Board’s historic efforts at stimulating the economy, and the federal government’s increased spending, which will require heavy borrowing.

Total Returns     
Inception Through December 31, 2009     
  Average  
  Annual Return  
Inflation-Protected Securities Fund Investor Shares (Returns since inception: 6/29/2000)  7.14 % 
Barclays Capital U.S. Treasury Inflation Protected Securities Index  7.38  
Treasury Inflation-Protected Securities Funds Average  6.58  
Treasury Inflation-Protected Securities Funds Average: Derived from data provided by Lipper Inc.     

The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com/performance.) 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.

5


The returns of the Inflation-Protection Securities Fund for 2009 modestly trailed the return of its benchmark index, in part because the index is not an investment and, unlike a mutual fund, has no operating expenses and in part because the fund did not hold some of the index’s better-performing shorter-term securities. The fund’s returns were just slightly ahead of the average return of peer-group funds.

Investment insight

Why the fund withheld dividends

The income distributions from Vanguard Inflation-Protected Securities Fund are based on the sum of two factors. One is the real yield at which the fund securities were purchased (the “real purchased yield”). The other is the inflation adjustment to the value of these holdings, which is based on monthly changes in the Consumer Price Index. A rise in the index (inflation) increases the principal value of those holdings. Together with the “real purchased yield,” this upward adjustment is distributed as income, as required by the Internal Revenue Service. A decline (deflation) reduces the principal value, partially or fully offsetting the real yield.

As the chart shows, the latter half of 2008 was a period of significantly falling prices, or deflation. Mild inflation reemerged in 2009, but the CPI turned slightly negative during two separate months. The inflation-related adjustments to the value of inflation-indexed securities are made with a two-month lag, so the deflation experienced in late 2008 offset enough of the “real purchased yield” accrued by the fund in 2009 that the fund distributed no income in the second and third quarters. The fund accrued sufficient income to pay a dividend in December.

Consumer Price Index: Monthly inflation and deflation, July 2008–December 2009


6


The fund’s long-term record is impressive from several perspectives

Since its June 2000 inception, the Inflation-Protected Securities Fund has returned an average of 7.14% a year for Investor Shares, outdistancing the returns of both the broad bond market and the stock market. The past decade, of course, began and ended with two historic periods of tumult in the financial markets, times in which government debt securities often get a boost. The fund has captured most of the return available from the growing market for inflation-protected securities, trailing its benchmark index by an amount nearly consistent with its costs, and outperforming its peers.

These results are a tribute to the fund’s advisor, Vanguard’s Fixed Income Group. As the size of the inflation-protected securities market has increased substantially in recent years, the fund has benefited from the Fixed Income Group’s experience and disciplined approach. The fund’s results also reflect the importance of low costs, which help investors receive a higher percentage of a fund’s gross returns. Your fund’s operating expenses are a small fraction of the costs incurred by funds of its type.

Fluctuations in yields don’t require strategy changes

As deflation fears subsided and longer-term interest rates rose in 2009, the U.S. Treasury yield curve returned to a more typical shape, with yields of long-term

Yields and Returns                     
              Components of Total Returns  
      30-Day SEC   12 Months Ended December 31, 2009  
  Yields on December 31,   Income   Capital   Total  
Inflation-Protected Securities Fund  2008   2009   Return   Return   Return  
Investor Shares  3.17 %  0.74 %  1.76 %  9.04 %  10.80 % 
Admiral Shares  3.27   0.87   1.94   9.02   10.96  
Institutional Shares  3.32   0.90   2.02   9.01   11.03  

7


bonds becoming more generous than those of short-term bonds. However, this shift in interest rates does not mean you need to make changes to your own bond portfolio. No one knows with certainty what interest rates and bond prices will do in 2010. Vanguard Inflation-Protected Securities Fund offers a reliable cushion against inflation, which makes it a valuable addition to a well-rounded portfolio. In addition, as we saw in 2009, the fund’s securities can behave differently than conventional bonds, providing an added element of diversification in a portfolio that also holds conventional bond and stock funds.

However, like any bond, the top-rated inflation-protected securities held by your fund can still decline in market value—a reality that might be easy to forget after a year of rising prices. So we urge our clients to view the Inflation-Protected Securities Fund as one component of a well-diversified portfolio.

On another matter, I would like to inform you that on January 1, 2010, we completed a leadership transition that began in March 2008. I succeeded Jack Brennan as chairman of Vanguard and each of the funds. Jack has agreed to serve as chairman emeritus and senior advisor.

Under Jack’s leadership, Vanguard has grown to become a preeminent firm in the mutual fund industry. Jack’s energy, his relentless pursuit of perfection, and his unwavering focus on always doing the right thing for our clients are evident in every facet of Vanguard policy today.

As always, thank you for entrusting your assets to Vanguard.


F. William McNabb III

Chairman and Chief Executive Officer

January 15, 2010

8


Advisor’s Report

For the fiscal year ended December 31, 2009, the various share classes of Vanguard Inflation-Protected Securities Fund returned about 11%. These returns were a bit below the return of the Barclays Capital U.S. Treasury Inflation Protected Securities Index and just above the average return of the fund’s peer group.

The investment environment

At the start of the year, fears of deflation had lowered demand for Treasury Inflation-Protected Securities (TIPS) to the point that the difference in yields between TIPS and conventional Treasuries was minimal. This spread—called the break-even inflation rate because it essentially reflects the market’s estimate for future inflation—was only 0.12% for 10-year notes, a historic low. The figure meant that TIPS were valued with an expectation that inflation would be roughly zero over the next 10 years.

There were three main factors underlying this valuation. First, the financial crisis and steep recession lowered expectations for long-term economic growth and inflation. Second, the price of energy commodities fell by more than 50% during the second half of 2008, leading to negative adjustments to income from TIPS and putting downward pressure on their valuations. (Note the steady fall in the Consumer Price Index during the latter part of 2008, as shown in the chart on page 6.) Finally, while TIPS have the same credit quality as conventional Treasuries, they were left behind by the flight-to-quality rally in Treasuries in the second half of 2008.

Aided by aggressive government policies, the nation’s credit markets slowly but steadily returned to some sense of normalcy during 2009. The Federal Reserve kept its target for short-term interest rates near 0% and continued its unprecedented purchase of Treasury and mortgage-backed securities in an attempt to drive down longer-term interest rates. Meanwhile, the federal government tried to reverse a steep recession with nearly $800 billion worth of stimulus programs. These developments eased deflationary fears, causing TIPS valuations to increase smartly. By the same token, the 2008 bull market in conventional Treasuries—considered the safest and most liquid of investments—quickly switched into reverse as investors sought higher yields from corporate bonds.

The market’s turnaround in inflation expectations is encapsulated in the break-even inflation rate at the end of 2009. As of December 31, the yield of the 10-year inflation-indexed note stood at 1.4%, compared with a conventional 10-year Treasury yield of 3.8%. The spread suggested that investors expected prices to rise at an average rate of 2.4% a year over the next decade, up from a break-even inflation rate of 0.12% just 12 months earlier.

Management of the fund

The resurgence in interest in TIPS fueled a strong performance for the fund, with its share price rising about 9% by the end of the year. Inflation at various points in 2009 was quite low as the major sell-off in energy commodities depressed prices

9


overall. Consequently, the fund did not issue distributions for several quarters. Income distributions contributed only about 2% or less (depending on the share class) toward the fund’s return. At year’s end, the fund’s yield stood at 0.74% for Investor Shares.

Our strategies this year were generally successful; we were able to take advantage of periodic increases in the supply of TIPS to select securities that we found most attractive. The fund’s return trailed that of its market benchmark, the Barclays Capital U.S. Treasury Inflation Protected Securities Index. Besides operating expenses, the lag was due in part to our decision not to purchase some of the shorter-maturity issues that the Treasury offered at its quarterly auctions; many of those issues did well during the year.

Investment outlook

We believe that over the past year the market has reset the break-even inflation rate to a reasonable level, and that the fund faces a low risk of a downward shift in inflation expectations, which would lower TIPS prices. Indeed, given the unprecedented level of fiscal and monetary stimulus that has been delivered, we expect inflation rates to move higher as the recovery continues, albeit slowly.

John W. Hollyer, CFA, Principal

Kenneth E. Volpert, CFA, Principal

Vanguard Fixed Income Group

January 21, 2010

Yields of U.S. Treasury Bonds         
  December 31,   December 31,  
Maturity  2008   2009  
2 years  0.77 %  1.14 % 
3 years  0.97   1.67  
5 years  1.55   2.68  
10 years  2.21   3.84  
30 years  2.68   4.63  
Source: Vanguard         

10


Results of Proxy Voting

At a special meeting of shareholders on July 2, 2009, fund shareholders approved the following two proposals:

Proposal 1—Elect trustees for each fund.*

The individuals listed in the table below were elected as trustees for each fund. All trustees with the exception of Messrs. McNabb and Volanakis (both of whom already served as directors of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.

      Percentage  
Trustee  For  Withheld  For  
John J. Brennan  7,480,563,019  132,452,355  98.3 % 
Charles D. Ellis  7,406,205,129  206,810,245  97.3 % 
Emerson U. Fullwood  7,486,175,684  126,839,690  98.3 % 
Rajiv L. Gupta  7,475,619,448  137,395,926  98.2 % 
Amy Gutmann  7,494,805,274  118,210,101  98.4 % 
JoAnn Heffernan Heisen  7,478,861,968  134,153,407  98.2 % 
F. William McNabb III  7,490,714,832  122,300,542  98.4 % 
André F. Perold  7,470,382,148  142,633,227  98.1 % 
Alfred M. Rankin, Jr.  7,478,299,969  134,715,405  98.2 % 
Peter F. Volanakis  7,496,308,685  116,706,689  98.5 % 
* Results are for all funds within the same trust.         
 
Proposal 2—Update and standardize the funds’ fundamental policies regarding:     
(a) Purchasing and selling real estate.         
(b) Issuing senior securities.         
(c) Borrowing money.         
(d) Making loans.         
(e) Purchasing and selling commodities.         
(f) Concentrating investments in a particular industry or group of industries.       
(g) Eliminating outdated fundamental investment policies not required by law.     

The revised fundamental policies are clearly stated and simple, yet comprehensive, making oversight and compliance more efficient than under the former policies. The revised fundamental policies will allow the funds to respond more quickly to regulatory and market changes, while avoiding the costs and delays associated with successive shareholder meetings.

          Broker  Percentage  
Vanguard Fund   For  Abstain  Against  Non-Votes  For  
Inflation-Protected Securities Fund              
2a  852,446,552  16,748,464  28,673,341  119,936,425  83.8 % 
2b   851,351,822  18,023,950  28,492,580  119,936,430  83.6 % 
2c  838,426,792  17,737,653  41,703,915  119,936,422  82.4 % 
2d   844,713,973  17,779,197  35,375,190  119,936,423  83.0 % 
2e   844,319,059  17,254,526  36,294,779  119,936,418  83.0 % 
2f  851,020,785  19,187,601  27,659,973  119,936,423  83.6 % 
2g  852,215,680  17,714,102  27,938,569  119,936,431  83.7 % 

11


Inflation-Protected Securities Fund

Fund Profile          
As of December 31, 2009          
 
Share-Class Characteristics          
  Investor   Admiral   Institutional   
  Shares   Shares   Shares  
Ticker Symbol  VIPSX   VAIPX   VIPIX  
Expense Ratio1  0.25 %  0.12 %  0.09 % 
30-Day SEC             
Yield2  0.74 %  0.87 %  0.90 % 
 
Financial Attributes          
      Barclays   Barclays   
      Inflation   U.S.  
      Protected   Aggregate   
      Securities   Bond  
  Fund   Index   Index  
Number of Bonds  28   28   8,413  
Average Quality  Aaa   Aaa/Aaa   Aa1/Aa2 
Yield to Maturity             
(before expenses)  1.0 %  0.9 %  3.7 % 
Average Coupon  2.2 %  2.3 %  4.7 % 
Average Duration  5.0 years   4.9 years   4.6 years  
Average Effective             
Maturity  8.6 years   8.8 years   6.8 years  
Short-Term             
Reserves  1.9 %  —   —  
Average quality: Moody’s Investors Service.      
 
 
Sector Diversification (% of portfolio)      
Treasury/Agency          98.1 % 
Other          1.9  

The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.

Volatility Measures     
  Barclays   
  Inflation  Barclays 
  Protected  U.S. 
  Securities  Aggregate 
  Index  Bond Index 
R-Squared  0.99  0.55 
Beta  1.00  1.58 

These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.

Distribution by Maturity (% of portfolio)

Under 1 Year  1.9 % 
1 - 3 Years  10.7  
3 - 5 Years  23.2  
5 - 10 Years  34.7  
10 - 20 Years  29.5  

Distribution by Credit Quality (% of portfolio)

Aaa  100.0 % 
Ratings: Moody’s Investors Service.     

Investment Focus


1 The expense ratios shown are from the prospectus dated April 24, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal year ended December 31, 2009, the expense ratios were 0.25% for Investor Shares, 0.12% for Admiral Shares, and 0.09% for Institutional Shares.

2 Yields of inflation-protected securities tend to be lower than those of bonds, because the former do not incorporate market expectations about inflation. The principal amounts—and thus the interest payments—of inflation-protected securities are adjusted over time to reflect inflation. See the Glossary.

12


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 www.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: June 29, 2000, Through December 31, 2009

Initial Investment of $10,000


  Average Annual Total Returns      
  Periods Ended December 31, 2009      
                Final Value 
  One   Five   Since   of a $10,000 
  Year   Years   Inception     Investment 
Inflation-Protected Securities Fund                 
Investor Shares  10.80 %  4.36 %  7.14 %  $ 19,255 
Barclays Capital U.S. Aggregate Bond                 
Index  5.93   4.97   6.25     17,790 
Barclays Capital U.S. Treasury Inflation                 
Protected Securities Index  11.41   4.63   7.38     19,681 
Treasury Inflation-Protected Securities                 
Funds Average  10.79   3.49   6.58     18,331 

Treasury Inflation-Protected Securities Funds Average: Derived from data provided by Lipper Inc.

Performance for the fund’s Investor Shares and comparative standards is calculated since the Investor Shares’ inception.

 

 

Vanguard fund total returns do not include any transaction or account fees that applied in the periods shown. Fund prospectuses provide information about current fees.

See Financial Highlights for dividend and capital gains information.

13


Inflation-Protected Securities Fund             
 
 
 
 
      Since     Final Value 
  One   Inception   of a $100,000 
  Year   (6/10/2005 )    Investment 
Inflation-Protected Securities Fund             
Admiral Shares  10.96 %  4.49 %  $ 122,194 
Barclays Capital U.S. Aggregate             
Bond Index  5.93   5.04     125,133 
Barclays Capital U.S. Treasury             
Inflation Protected Securities Index  11.41   4.68     123,167 

Performance for the fund’s Admiral Shares and comparative standards is calculated since the Admiral Shares’ inception.

          Since     Final Value 
  One   Five   Inception   of a $5,000,000 
  Year   Years   (12/12/2003 )    Investment 
Inflation-Protected Securities Fund                 
Institutional Shares  11.03 %  4.49 %  5.02 %  $ 6,723,628 
Barclays Capital U.S. Aggregate                 
Bond Index  5.93   4.97   4.87     6,667,186 
Barclays Capital U.S. Treasury                 
Inflation Protected Securities Index  11.41   4.63   5.17     6,783,795 

Performance for the fund’s Institutional Shares and comparative standards is calculated since the Institutional Shares’ inception.

Fiscal-Year Total Returns (%): June 29, 2000, Through December 31, 2009      
              Barclays Capital U.S  
              Treasury Inflation  
              Protected Securities  
          Investor Shares   Index  
Fiscal Year  Income Returns   Capital Returns   Total Returns   Total Returns  
2000  2.73 %  3.29 %  6.02 %  6.13 % 
2001  4.32   3.29   7.61   7.89  
2002  4.55   12.06   16.61   16.57  
2003  3.86   4.14   8.00   8.40  
2004  4.79   3.48   8.27   8.46  
2005  5.44   -2.85   2.59   2.84  
2006  3.40   -2.97   0.43   0.41  
2007  5.90   5.69   11.59   11.63  
2008  4.62   -7.47   -2.85   -2.35  
2009  1.76   9.04   10.80   11.41  

Vanguard fund total returns do not include any transaction or account fees that applied in the periods shown. Fund prospectuses provide information about current fees.

14


Inflation-Protected Securities Fund

Financial Statements

Statement of Net Assets

As of December 31, 2009

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms

N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations (98.3%)                   
U.S. Government Securities (98.3%)                   
1  United States Treasury Inflation Indexed Bonds  3.500 %  1/15/11    284,500     366,511  
  United States Treasury Inflation Indexed Bonds  2.375 %  4/15/11    685,050     768,141  
  United States Treasury Inflation Indexed Bonds  3.375 %  1/15/12    325,640     424,082  
  United States Treasury Inflation Indexed Bonds  3.000 %  7/15/12    1,230,775     1,591,465  
  United States Treasury Inflation Indexed Bonds  0.625 %  4/15/13    360,000     374,409  
  United States Treasury Inflation Indexed Bonds  1.875 %  7/15/13    1,301,875     1,614,451  
  United States Treasury Inflation Indexed Bonds  2.000 %  1/15/14    1,564,100     1,935,139  
  United States Treasury Inflation Indexed Bonds  1.250 %  4/15/14    625,000     659,863  
  United States Treasury Inflation Indexed Bonds  2.000 %  7/15/14    747,845     909,126  
  United States Treasury Inflation Indexed Bonds  1.625 %  1/15/15    1,179,015     1,388,416  
  United States Treasury Inflation Indexed Bonds  1.875 %  7/15/15    926,225     1,084,892  
  United States Treasury Inflation Indexed Bonds  2.000 %  1/15/16    913,050     1,050,415  
  United States Treasury Inflation Indexed Bonds  2.500 %  7/15/16    656,525     765,359  
  United States Treasury Inflation Indexed Bonds  2.375 %  1/15/17    834,025     965,708  
  United States Treasury Inflation Indexed Bonds  2.625 %  7/15/17    1,199,650     1,376,411  
  United States Treasury Inflation Indexed Bonds  1.625 %  1/15/18    685,600     724,485  
  United States Treasury Inflation Indexed Bonds  1.375 %  7/15/18    527,200     529,670  
  United States Treasury Inflation Indexed Bonds  2.125 %  1/15/19    472,600     504,774  
  United States Treasury Inflation Indexed Bonds  1.875 %  7/15/19    1,113,450     1,170,646  
  United States Treasury Inflation Indexed Bonds  2.375 %  1/15/25    1,665,270     2,017,548  
  United States Treasury Inflation Indexed Bonds  2.000 %  1/15/26    1,395,298     1,527,329  
  United States Treasury Inflation Indexed Bonds  2.375 %  1/15/27    1,299,989     1,467,575  
  United States Treasury Inflation Indexed Bonds  1.750 %  1/15/28    839,625     831,476  
  United States Treasury Inflation Indexed Bonds  3.625 %  4/15/28    523,125     864,706  
  United States Treasury Inflation Indexed Bonds  2.500 %  1/15/29    736,200     795,815  
  United States Treasury Inflation Indexed Bonds  3.875 %  4/15/29    302,150     511,622  
  United States Treasury Note/Bond  2.375 %  10/31/14    470,000     465,009  
  United States Treasury Note/Bond  2.125 %  11/30/14    455,000     444,408  
Total U.S. Government and Agency Obligations (Cost $26,086,893)             27,129,451  
 
            Shares        
Temporary Cash Investment (0.9%)                   
Money Market Fund (0.9%)                   
2  Vanguard Market                   
  Liquidity Fund (Cost $259,686)  0.187 %      259,686,006     259,686  
Total Investments (99.2%) (Cost $26,346,579)                27,389,137  

15


Inflation-Protected Securities Fund       
 
 
    Market  
    Value•  
  ($ 000 ) 
Other Assets and Liabilities (0.8%)       
Other Assets    316,824  
Liabilities    (106,588 ) 
    210,236  
Net Assets (100%)    27,599,373  
 
 
At December 31, 2009, net assets consisted of:       
    Amount  
  ($ 000 ) 
Paid-in Capital    27,016,644  
Overdistributed Net Investment Income    (24,998 ) 
Accumulated Net Realized Losses    (421,475 ) 
Unrealized Appreciation (Depreciation)       
Investment Securities    1,042,558  
Futures Contracts    (13,356 ) 
Net Assets    27,599,373  
 
Investor Shares—Net Assets       
Applicable to 1,031,461,395 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    12,945,588  
Net Asset Value Per Share—Investor Shares  $ 12.55  
 
Admiral Shares—Net Assets       
Applicable to 353,872,485 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    8,723,232  
Net Asset Value Per Share—Admiral Shares  $ 24.65  
 
Institutional Shares—Net Assets       
Applicable to 590,644,999 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    5,930,553  
Net Asset Value Per Share—Institutional Shares  $ 10.04  

• See Note A in Notes to Financial Statements.

1 Securities with a value of $25,100,000 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.

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

16


Inflation-Protected Securities Fund       
 
 
Statement of Operations       
 
    Year Ended  
    December 31, 2009  
  ($ 000 ) 
Investment Income       
Income       
Interest1,2    497,172  
Total Income    497,172  
Expenses       
The Vanguard Group—Note B       
Investment Advisory Services    2,692  
Management and Administrative—Investor Shares    21,607  
Management and Administrative—Admiral Shares    5,521  
Management and Administrative—Institutional Shares    2,027  
Marketing and Distribution—Investor Shares    2,952  
Marketing and Distribution—Admiral Shares    1,596  
Marketing and Distribution—Institutional Shares    1,290  
Custodian Fees    77  
Auditing Fees    29  
Shareholders’ Reports and Proxies—Investor Shares    685  
Shareholders’ Reports and Proxies—Admiral Shares    52  
Shareholders’ Reports and Proxies—Institutional Shares    31  
Trustees’ Fees and Expenses    38  
Total Expenses    38,597  
Net Investment Income    458,575  
Realized Net Gain (Loss)       
Investment Securities Sold    5,584  
Futures Contracts    (31,288 ) 
Realized Net Gain (Loss)    (25,704 ) 
Change in Unrealized Appreciation (Depreciation)       
Investment Securities    1,810,019  
Futures Contracts    1,210  
Change in Unrealized Appreciation (Depreciation)    1,811,229  
Net Increase (Decrease) in Net Assets Resulting from Operations    2,244,100  

1      Interest income from an affiliated company of the fund was $920,000.
2      Includes inflation (deflation) adjustments to income totaling $80,868,000.

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

17


Inflation-Protected Securities Fund             
 
 
Statement of Changes in Net Assets             
 
    Year Ended December 31,  
    2009     2008  
  ($ 000 )  ($ 000 ) 
Increase (Decrease) in Net Assets             
Operations             
Net Investment Income    458,575     816,809  
Realized Net Gain (Loss)    (25,704 )    (193,744 ) 
Change in Unrealized Appreciation (Depreciation)    1,811,229     (1,359,588 ) 
Net Increase (Decrease) in Net Assets Resulting from Operations    2,244,100     (736,523 ) 
Distributions             
Net Investment Income             
Investor Shares    (215,661 )    (437,788 ) 
Admiral Shares    (154,428 )    (232,295 ) 
Institutional Shares    (105,449 )    (151,469 ) 
Realized Capital Gain             
Investor Shares    —     —  
Admiral Shares    —     —  
Institutional Shares    —     —  
Total Distributions    (475,538 )    (821,552 ) 
Capital Share Transactions             
Investor Shares    3,475,278     2,768,454  
Admiral Shares    3,466,647     1,674,728  
Institutional Shares    2,320,303     1,285,999  
Net Increase (Decrease) from Capital Share Transactions    9,262,228     5,729,181  
Total Increase (Decrease)    11,030,790     4,171,106  
Net Assets             
Beginning of Period    16,568,583     12,397,477  
End of Period1    27,599,373     16,568,583  

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($24,998,000) and ($15,411,000).

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

18


Inflation-Protected Securities Fund                                     
 
 
Financial Highlights                                     
 
 
Investor Shares                                     
                                   
        Feb. 1,                  
    Year Ended      2007, to       
For a Share Outstanding    December 31,     Dec. 31,     Year Ended January 31,  
Throughout Each Period    2009     2008     20071     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 11.52   $ 12.45   $ 11.80   $ 12.18   $ 12.57   $ 12.36  
Investment Operations                                     
Net Investment Income (Loss)    .210     .614     .651     .483     .573     .596  
Net Realized and Unrealized Gain (Loss)                                     
on Investments    1.034     (.930 )    .646     (.437 )    (.230 )    .244  
Total from Investment Operations    1.244     (.316 )    1.297     .046     .343     .840  
Distributions                                     
Dividends from Net Investment Income    (.214 )    (.614 )    (.647 )    (.407 )    (.681 )    (.565 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.052 )    (.065 ) 
Return of Capital    —     —     —     (.019 )    —     —  
Total Distributions    (.214 )    (.614 )    (.647 )    (.426 )    (.733 )    (.630 ) 
Net Asset Value, End of Period  $ 12.55   $ 11.52   $ 12.45   $ 11.80   $ 12.18   $ 12.57  
 
Total Return2    10.80 %    -2.85 %    11.40 %    0.43 %    2.76 %    6.96 % 
Ratios/Supplemental Data                                     
Net Assets, End of Period (Millions)  $ 12,946   $ 8,593   $ 6,662   $ 5,361   $ 6,227   $ 7,530  
Ratio of Total Expenses to                                     
Average Net Assets    0.25 %    0.20 %    0.20 %3    0.20 %    0.20 %    0.17 % 
Ratio of Net Investment Income to                                     
Average Net Assets    2.00 %    5.02 %    5.92 %3    3.87 %    4.83 %    4.83 % 
Portfolio Turnover Rate    14 %    28 %    21 %    53 %    47 %    73 % 

1 The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.

2 Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000 3 Annualized.

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

19


Inflation-Protected Securities Fund                               
 
 
Financial Highlights                               
 
 
Admiral Shares                               
                Feb. 1,     Year     June 10,  
    Year Ended     2007, to    Ended     20052 to  
    December 31,     Dec. 31,     Jan. 31,     Jan.31,  
For a Share Outstanding Throughout Each Period    2009     2008     20071     2007     2006  
Net Asset Value, Beginning of Period  $ 22.62   $ 24.45   $ 23.17   $ 23.91   $ 25.00  
Investment Operations                               
Net Investment Income (Loss)    .441     1.226     1.299     .971     .683  
Net Realized and Unrealized Gain (Loss)                               
on Investments    2.037     (1.829 )    1.278     (.858 )    (.432 ) 
Total from Investment Operations    2.478     (.603 )    2.577     .113     .251  
Distributions                               
Dividends from Net Investment Income    (.448 )    (1.227 )    (1.297 )    (.815 )    (1.315 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.026 ) 
Return of Capital    —     —     —     (.038 )    —  
Total Distributions    (.448 )    (1.227 )    (1.297 )    (.853 )    (1.341 ) 
Net Asset Value, End of Period  $ 24.65   $ 22.62   $ 24.45   $ 23.17   $ 23.91  
 
Total Return    10.96 %    -2.78 %    11.54 %    0.53 %    1.02 % 
 
Ratios/Supplemental Data                               
Net Assets, End of Period (Millions)  $ 8,723   $ 4,726   $ 3,487   $ 2,523   $ 2,474  
Ratio of Total Expenses to Average Net Assets    0.12 %    0.11 %    0.11 %3    0.11 %    0.11 %3 
Ratio of Net Investment Income (Loss)                               
to Average Net Assets    2.13 %    5.11 %    6.01 %3    3.96 %    4.92 %3 
Portfolio Turnover Rate    14 %    28 %    21 %    53 %    47 % 

1      The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
2      Inception.
3      Annualized.

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

20


Inflation-Protected Securities Fund                                     
 
 
Financial Highlights                                     
 
 
Institutional Shares                                     
                                   
        Feb. 1,                    
    Year Ended      2007, to      
For a Share Outstanding    December 31,     Dec. 31,     Year Ended January 31,  
Throughout Each Period    2009     2008     20071     2007     2006     2005  
Net Asset Value, Beginning of Period  $ 9.21   $ 9.96   $ 9.44   $ 9.74   $ 10.06   $ 9.88  
Investment Operations                                     
Net Investment Income (Loss)    .181     .502     .532     .398     .471     .483  
Net Realized and Unrealized Gain (Loss)                                     
on Investments    .834     (.751 )    .521     (.348 )    (.194 )    .207  
Total from Investment Operations    1.015     (.249 )    1.053     .050     .277     .690  
Distributions                                     
Dividends from Net Investment Income    (.185 )    (.501 )    (.533 )    (.335 )    (.556 )    (.458 ) 
Distributions from Realized Capital Gains    —     —     —     —     (.041 )    (.052 ) 
Return of Capital    —     —     —     (.015 )    —     —  
Total Distributions    (.185 )    (.501 )    (.533 )    (.350 )    (.597 )    (.510 ) 
Net Asset Value, End of Period  $ 10.04   $ 9.21   $ 9.96   $ 9.44   $ 9.74   $ 10.06  
 
Total Return    11.03 %    -2.81 %    11.58 %    0.57 %    2.79 %    7.15 % 
 
Ratios/Supplemental Data                                     
Net Assets, End of Period (Millions)  $ 5,931   $ 3,250   $ 2,248   $ 1,673   $ 1,238   $ 601  
Ratio of Total Expenses to                                     
Average Net Assets    0.09 %    0.08 %    0.08 %2    0.08 %    0.08 %    0.11 % 
Ratio of Net Investment Income (Loss)                                     
to Average Net Assets    2.16 %    5.14 %    6.04 %2    3.99 %    4.95 %    4.93 % 
Portfolio Turnover Rate    14 %    28 %    21 %    53 %    47 %    73 % 

1      The fund’s fiscal year-end changed from January 31 to December 31, effective December 31, 2007.
2      Annualized.

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

21


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. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and service criteria and invest a minimum of $5 million.

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

1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Other temporary cash investments are valued at amortized cost, which approximates market 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.

Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal 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).

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, 2006–2009), 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.

5. Other: Interest income includes income distributions received from Vanguard Market Liquidity

Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Inflation (deflation) adjustments to the face amount of inflation-indexed securities are recorded as increases (decreases) to 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.

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), shareholder reporting, and proxies. Marketing and

22


Inflation-Protected Securities Fund

distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2009, the fund had contributed capital of $5,549,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 2.22% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers 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).

The following table summarizes the fund’s investments as of December 31, 2009, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments  ($ 000 )  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations    —     27,129,451     —  
Temporary Cash Investments    259,686     —     —  
Futures Contracts—Assets1    2,317     —     —  
Futures Contracts—Liabilities1    (4,166 )    —     —  
Total    257,837     27,129,451     —  

1      Represents variation margin on the last day of the reporting period.
D.      At December 31, 2009, the aggregate settlement value of open futures contracts and the related

unrealized appreciation (depreciation) were:

          ($ 000 ) 
    Number of   Aggregate    Unrealized  
    Long (Short)   Settlement    Appreciation  
Futures Contracts  Expiration  Contracts   Value    (Depreciation)  
2-Year United States Treasury Note  March 2010  (8,731 )  1,888,215    9,835  
10-Year United States Treasury Note  March 2010  10,665   1,231,308    (28,900 ) 
5-Year United States Treasury Note  March 2010  (900 )  102,945    1,596  
30-Year United States Treasury Bond  March 2010  (839 )  96,800    4,113  

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

23


Inflation-Protected Securities Fund

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

Certain of the fund’s U.S. Treasury Inflation-Indexed securities experienced deflation adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction will be deferred for tax purposes until it is used to offset future inflation adjustments that increase taxable income. The difference becomes permanent if the securities are sold. During the year ended December 31, 2009, the fund realized gains of $7,376,000 that were included in ordinary income for tax purposes as a result of deferred deflation adjustments; accordingly such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Deferred inflation adjustments to securities held at December 31, 2009, totaling $104,000 are reflected as a reduction of the amount of tax-basis unrealized appreciation of investment securities.

The fund had realized losses totaling $44,252,000 through December 31, 2009, which are deferred for tax purposes and reduce the amount of tax-basis unrealized appreciation on investment securities.

For tax purposes, at December 31, 2009, the fund had $3,801,000 of ordinary income available for distribution. The fund had available capital loss carryforwards totaling $353,240,000 to offset future net capital gains of $152,319,000 through December 31, 2014, $32,494,000 through December 31, 2015, $13,094,000 through December 31, 2016, and $155,333,000 through December 31, 2017. In addition, the fund realized losses of $37,339,000 during the period from November 1, 2009, through December 31, 2009, which are deferred and will be treated as realized for tax purposes in fiscal 2010.

At December 31, 2009, the cost of investment securities for tax purposes was $26,390,935,000. Net unrealized appreciation of investment securities for tax purposes was $998,202,000, consisting of unrealized gains of $1,016,956,000 on securities that had risen in value since their purchase and $18,754,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the year ended December 31, 2009, the fund purchased $12,110,557,000 of investment securities and sold $3,063,522,000 of investment securities, other than temporary cash investments.

24


Inflation-Protected Securities Fund

G. Capital share transactions for each class of shares were:                
              Year Ended Decemer 31,  
        2009         2008  
    Amount   Shares     Amount   Shares  
  ($ 000 )  (000 )  ($ 000 )  (000 ) 
Investor Shares                     
Issued    6,327,634   520,171     6,078,445   485,209  
Issued in Lieu of Cash Distributions    194,362   15,508     393,510   31,553  
Redeemed    (3,046,718 )  (250,224 )    (3,703,501 )  (305,814 ) 
Net Increase (Decrease)—Investor Shares    3,475,278   285,455     2,768,454   210,948  
Admiral Shares                     
Issued    4,974,531   207,932     3,508,867   144,106  
Issued in Lieu of Cash Distributions    138,172   5,613     209,091   8,542  
Redeemed    (1,646,056 )  (68,620 )    (2,043,230 )  (86,333 ) 
Net Increase (Decrease)—Admiral Shares    3,466,647   144,925     1,674,728   66,315  
Institutional Shares                     
Issued    3,246,284   332,331     2,165,117   218,461  
Issued in Lieu of Cash Distributions    98,456   9,822     143,131   14,364  
Redeemed    (1,024,437 )  (104,255 )    (1,022,249 )  (105,857 ) 
Net Increase (Decrease)—Institutional Shares    2,320,303   237,898     1,285,999   126,968  

H. In preparing the financial statements as of December 31, 2009, management considered the impact of subsequent events occurring through February 16, 2010, for potential recognition or disclosure in these financial statements.

25


Report of Independent Registered Public Accounting Firm

To the Trustees of Vanguard Bond Index Funds and the Shareholders of Vanguard Inflation-Protected

Securities Fund:

In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Inflation-Protected Securities Fund (constituting a separate portfolio of Vanguard Bond Index Funds, hereafter referred to as the “Fund”) at December 31, 2009, and 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 then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 16, 2010

 

 

Special 2009 tax information (unaudited) for Vanguard Inflation-Protected Securities Fund

This information for the fiscal year ended December 31, 2009, is included pursuant to provisions of the

Internal Revenue Code.

For nonresident alien shareholders, 100% of income dividends are interest-related dividends.

26


About Your Fund’s Expenses

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

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

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

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

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

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

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.” The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

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

27


Six Months Ended December 31, 2009             
    Beginning    Ending    Expenses 
    Account Value    Account Value    Paid During 
Inflation-Protected Securities Fund    6/30/2009    12/31/2009    Period 
Based on Actual Fund Return             
Investor Shares  $ 1,000.00  $ 1,050.14  $ 1.29 
Admiral Shares    1,000.00    1,050.56    0.62 
Institutional Shares    1,000.00    1,050.38    0.47 
Based on Hypothetical 5% Yearly Return             
Investor Shares  $ 1,000.00  $ 1,023.95  $ 1.28 
Admiral Shares    1,000.00    1,024.60    0.61 
Institutional Shares    1,000.00    1,024.75    0.46 

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 0.25% for Investor Shares, 0.12% for Admiral Shares, and 0.09% 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.

28


Glossary

30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.

Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.

Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.

Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.

Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.

Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.

Distribution by Coupon. A breakdown of the securities in a fund according to coupon rate—the interest rate that an issuer promises to pay, expressed as an annual percentage of face value. Securities with unusually high coupon rates may be subject to call risk, the possibility that they will be redeemed (or “called”) early by the issuer.

Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

29


Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.

R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.

30


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The People Who Govern Your Fund

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

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 163 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at www.vanguard.com.

Interested Trustee1

F. William McNabb III

Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).

Independent Trustees

Emerson U. Fullwood

Born 1948. Trustee Since January 2008. Principal

Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, the Boy Scouts of America, Amerigroup Corporation (direct health and medical insurance carriers), and Monroe Community College Foundation.

Rajiv L. Gupta

Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Board Member of American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services) and Hewlett-Packard Co. (electronic computer manufacturing); Trustee of The Conference Board.

Amy Gutmann

Born 1949. Trustee Since June 2006. Principal

Occupation(s) During the Past Five Years: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science in the School of Arts and Sciences with secondary appointments at the Annenberg School for Communication and the Graduate School of Education of the University of Pennsylvania; Director of Carnegie Corporation of New York, Schuylkill River Development Corporation, and Greater Philadelphia Chamber of Commerce; Trustee of the National Constitution Center.


JoAnn Heffernan Heisen

Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Corporate Vice President and Chief Global Diversity Officer since 2006 (retired 2008) and Member of the Executive Committee (retired 2008) of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer of Johnson & Johnson (1997–2005); Director of the University Medical Center at Princeton and Women’s Research and Education Institute; Member of the Advisory Board of the Maxwell School of Citizenship and Public Affairs at Syracuse University.

F. Joseph Loughrey

Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years: President and Chief Operating Officer since 2005 (retired 2009) and Vice Chairman of the Board (2008–2009) of Cummins Inc. (industrial machinery); Director of SKF AB (industrial machinery), Hillenbrand, Inc. (specialized consumer services), Sauer-Danfoss Inc. (machinery), the Lumina Foundation for Education, and the Columbus Community Education Coalition; Chairman of the Advisory Council for the College of Arts and Letters at the University of Notre Dame.

André F. Perold

Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Harvard Business School; Chair of the Investment Committee of HighVista Strategies LLC (private investment firm).

Alfred M. Rankin, Jr.

Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/ aircraft systems and services); Deputy Chairman of the Federal Reserve Bank of Cleveland; Trustee of University Hospitals of Cleveland, The Cleveland Museum of Art, and Case Western Reserve University.

Peter F. Volanakis

Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years: President since 2007 and Chief Operating Officer since 2005 of Corning Incorporated (communications equipment); President of Corning Technologies (2001–2005); Director of Corning Incorporated and Dow Corning; Trustee of the Corning Incorporated Foundation and the Corning Museum of Glass; Overseer of the Amos Tuck School of Business Administration at Dartmouth College.

Executive Officers

Thomas J. Higgins

Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).

Kathryn J. Hyatt

Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companiesserved by The Vanguard Group (1988–2008).

Heidi Stam

Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).

Vanguard Senior Management Team

R. Gregory Barton
Mortimer J. Buckley
Kathleen C. Gubanich
Paul A. Heller

Michael S. Miller
James M. Norris
Glenn W. Reed
George U. Sauter

Chairman Emeritus and Senior Advisor

John J. Brennan

Chairman, 1996–2009

Chief Executive Officer and President, 1996–2008

Founder

John C. Bogle

Chairman and Chief Executive Officer, 1974–1996

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

2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.


P.O. Box 2600
Valley Forge, PA 19482-2600

Connect with Vanguard® > www.vanguard.com

Fund Information > 800-662-7447

CFA® is a trademark owned by CFA Institute.

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People
With Hearing Impairment > 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 Lipper Inc. or
Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting
guidelines by visiting our website, www.vanguard.com,
and searching for “proxy voting guidelines,” 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
www.vanguard.com or www.sec.gov.

You can review and copy information about your fund at
the SEC’s Public Reference Room in Washington, D.C. To
find out more about this public service, call the SEC at
202-551-8090. Information about your fund is also
available on the SEC’s website, and you can receive
copies of this information, for a fee, by sending a
request in either of two ways: via e-mail addressed to
publicinfo@sec.gov or via regular mail addressed to the
Public Reference Section, Securities and Exchange
Commission, Washington, DC 20549-1520.



Vanguard Total Bond Market II

Index Fund Annual Report



  • Investors began to regain their appetite for risk and reward in early 2009, helping to fuel a rally in the corporate bond market.
  • Vanguard Total Bond Market II Index Fund returned about 6% for both Investor and Institutional Shares, from their respective inception dates in early 2009 through the end of the year.
  • The returns of both share classes closely tracked those of the target benchmark, the Barclays Capital U.S. Aggregate Bond Index.
Contents   
 
Your Fund’s Total Returns...................  1 
Chairman’s Letter...............................  2 
Results of Proxy Voting......................  6 
Fund Profile......................................  7 
Performance Summary.....................  8 
Financial Statements.......................  9 
About Your Fund’s Expenses...............  81 
Glossary.............................................  83 

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.

Cover photograph: Veronica Coia.


Your Fund’s Total Returns               
 
 
 
 
Fiscal Year Ended December 31, 2009                   
                Return  
                Since  
            Ticker    Share-Class  
            Symbol    Inception  
 
Vanguard Total Bond Market II Index Fund Investor Shares (Inception 1/26/2009)    VTBIX    6.28 % 
Barclays Capital U.S. Aggregate Bond Index                6.39  
Intermediate Investment-Grade Debt Funds Average1            12.31  
 
Vanguard Total Bond Market II Index Fund Institutional Shares (Inception 2/17/2009)    VTBNX    5.80 % 
Barclays Capital U.S. Aggregate Bond Index                5.91  
Intermediate Investment-Grade Debt Funds Average1            12.89  
 
 
Your Fund’s Performance at a Glance                   
Inception Through December 31, 2009                   
            Distributions Per Share  
    Starting    Ending    Income    Capital  
    Share Price    Share Price    Dividends    Gains  
Vanguard Total Bond Market II Index Fund                   
Investor Shares  $ 10.00  $ 10.26  $ 0.358  $ 0.000  
Institutional Shares    10.03    10.26    0.338    0.000  

1 Derived from data provided by Lipper Inc.

1


 

Chairman’s Letter

Dear Shareholder,

I am pleased to provide this first annual report for Vanguard Total Bond Market II Index Fund. We launched this fund on January 26 (with Investor Shares) as an investment vehicle for use only as an underlying fund in “funds of funds” sponsored by Vanguard—such as the Vanguard Target Retirement Funds—and those managed by third parties. The fund’s investment objective is identical to that of the widely available Vanguard Total Bond Market Index Fund: to track the performance of a broad, market-weighted U.S. bond index.

For the abbreviated fiscal year, the fund’s Investor Shares returned 6.28%, closely tracking the 6.39% return of the Barclays Capital U.S. Aggregate Bond Index. The Institutional Shares (which were launched on February 17) returned 5.80%, tracking the index’s 5.91% return since the shares’ inception. Amid a low-quality bond rally, however, the fund’s high-quality portfolio trailed the average return of peer funds.

On December 31, the 30-day SEC yield of the fund’s Investor Shares was 3.33%. The Institutional Shares yielded a bit less.

Please note that as of January 1, 2010, the fund adopted a new float-adjusted version of its former benchmark index. In announcing this change last autumn, we noted that float-adjusted indexes better represent the liquidity in the marketplace by including only those bonds that are actually available to investors. The Federal Reserve Board’s extraordinary efforts to stabilize the credit markets included plans

2


to purchase more than $1 trillion in U.S. agency mortgage-backed securities, effectively removing these bonds from the investable universe. Barclays Capital updates its float-adjusted indexes as such bonds are taken out of the public supply, and then again when they are sold back.

Bond markets calmed down, money market funds endured

Compared with the last months of 2008, when credit markets seized up and investors fled to the safety of U.S. Treasuries, 2009 represented a return to normalcy for bonds. Investors’ appetite for risk returned, and the demand for corporate bonds increased, raising their prices and bringing down their yields. For the 12 months ended December 31, the broad taxable bond market returned about 6%, while municipal bonds returned about 13%.

Meanwhile, money market funds and other short-term savings vehicles did poorly in 2009. Interest rates at the shortest end of the maturity spectrum remained at historic lows, a casualty of the Federal Reserve Board’s efforts to revive the economy. The Fed kept its target for the federal funds rate between 0% and 0.25% for the entire year.

Impressive stock returns masked lingering uncertainties

For the 12 months, the broad U.S. stock market returned more than 29%, its highest calendar-year return since 2003. The year began with the market searching for a bottom, and it finally hit a low point

Market Barometer             
      Average Annual Total Returns  
      Periods Ended December 31, 2009  
  One Year   Three Years   Five Years  
Bonds             
Barclays Capital U.S. Aggregate Bond Index             
(Broad taxable market)  5.93 %  6.04 %  4.97 % 
Barclays Capital Municipal Bond Index  12.91   4.41   4.32  
Citigroup 3-Month Treasury Bill Index  0.16   2.22   2.88  
 
Stocks             
Russell 1000 Index (Large-caps)  28.43 %  –5.36 %  0.79  
Russell 2000 Index (Small-caps)  27.17   –6.07   0.51  
Dow Jones U.S. Total Stock Market Index  29.35   –5.01   1.09  
MSCI All Country World Index ex USA (International)  42.14   –3.04   6.30  
 
CPI             
Consumer Price Index  2.72 %  2.28 %  2.56 % 

3


in early March. From there, stocks mounted one of their strongest rallies ever—in magnitude and duration—resulting in a check mark-shaped stock chart for 2009.

The market’s outsized result came against a backdrop of economic uncertainty. The economy, which struggled to regain its footing as the financial crisis abated, began to show signs of growth in the second half of the year, even as unemployment climbed to levels not seen since 1983.

Stock markets outside the United States fared even better during 2009, especially many emerging markets, which weathered the financial crisis in relatively better fiscal and economic shape than their developed-market counterparts.

Corporate bonds rallied as confidence returned

In the bond market, as in the stock market, 2009 stood in sharp contrast to 2008. In 2008, investors’ customary desire to earn a return on capital was trumped by a panic to preserve it. Strong demand pushed Treasury yields down (and prices up) to near-record lows, boosting returns to exceptional levels.

But by early 2009, as government rescue programs started to take hold, investors began to seek rewards again, favoring return “on” capital in the form of the higher yields offered by corporate bonds. In this generally more normal environment, Treasuries lagged while the riskiest, lowest-quality bonds significantly outperformed. (Another factor that pushed down Treasury prices was the government’s sale of a

Expense Ratios1

Your Portfolio Compared With Its Peer Group

          Intermediate  
          Investment-  
  Investor   Institutional   Grade Debt  
  Shares   Shares   Funds Average  
Total Bond Market II Index Fund  0.19 %  0.07 %  0.94 % 

1 The fund expense ratios shown are from the prospectuses dated January 26, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal period ended December 31, 2009, the annualized expense ratios were 0.11% for Investor Shares and 0.07% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2008.

4


record $2.1 trillion of new securities.) When the dust settled, the broad U.S. bond market (as reflected in the Barclays Capital U.S. Aggregate Bond Index) returned 5.93% for all of 2009—similar to its 5.24% return in 2008 but masking significant differences.

Because Treasury bonds represent a substantial portion of the broad U.S. bond market, they can have a significant influence on its return. The Treasury component of the benchmark index fell into negative territory for the full year in 2009, pulling down the index’s return. In contrast, in 2008, Treasuries’ double-digit gain helped lift the index into positive territory in a mostly dismal year.

Corporate bonds—a smaller slice of the fixed income market—experienced a dramatic turnaround. After returning –4.94% in 2008—the worst annual return for this component of the benchmark since 1974—corporate bonds enjoyed double-digit gains in 2009. Some of the best performers were bonds considered more risky, because of their lower credit ratings, somewhat longer maturities, or both.

Diversification and indexing can help smooth the ride

Most investors with stock and bond investments have been taken on a roller-coaster ride over the last two years. In 2008, when virtually all asset classes except Treasuries experienced significant losses, holding a balanced and diversified portfolio helped cushion some of the shock. And when both stocks and corporate bonds came roaring back in 2009, diversification admittedly trimmed some of the potential gains. History has taught us, however, that trying to anticipate any market’s ups and downs can be a costly, and futile, exercise.

Instead, we encourage investors to maintain a portfolio that is diversified across and within asset classes. And by choosing a low-cost, well-managed index fund, investors have the ability to earn returns consistent with those of the target benchmark. That’s why the Total Bond Market II Index Fund plays a role, in many funds-of-funds portfolios, in providing broad exposure to U.S. bonds.

On another matter, I would like to inform you that on January 1, 2010, we completed a leadership transition that began in March 2008. I succeeded Jack Brennan as chairman of Vanguard and each of the funds. Jack has agreed to serve as chairman emeritus and senior advisor. Under Jack’s leadership, Vanguard has grown to become a preeminent firm in the mutual fund industry. Jack’s energy, his relentless pursuit of perfection, and his unwavering focus on always doing the right thing for our clients are evident in every facet of Vanguard policy today.

Thank you for entrusting your assets to Vanguard.

Sincerely,

F. William McNabb III

Chairman and Chief Executive Officer

January 20, 2010

5


Results of Proxy Voting

At a special meeting of shareholders on July 2, 2009, fund shareholders approved the following two proposals:

Proposal 1—Elect trustees for each fund.*

The individuals listed in the table below were elected as trustees for each fund. All trustees with the exception of Messrs. McNabb and Volanakis (both of whom already served as directors of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.

      Percentage  
Trustee  For  Withheld  For  
John J. Brennan  7,480,563,019  132,452,355  98.3 % 
Charles D. Ellis  7,406,205,129  206,810,245  97.3 % 
Emerson U. Fullwood  7,486,175,684  126,839,690  98.3 % 
Rajiv L. Gupta  7,475,619,448  137,395,926  98.2 % 
Amy Gutmann  7,494,805,274  118,210,101  98.4 % 
JoAnn Heffernan Heisen  7,478,861,968  134,153,407  98.2 % 
F. William McNabb III  7,490,714,832  122,300,542  98.4 % 
André F. Perold  7,470,382,148  142,633,227  98.1 % 
Alfred M. Rankin, Jr.  7,478,299,969  134,715,405  98.2 % 
Peter F. Volanakis  7,496,308,685  116,706,689  98.5 % 
* Results are for all funds within the same trust.         

Proposal 2—Update and standardize the funds’ fundamental policies regarding:

(a) Purchasing and selling real estate.

(b) Issuing senior securities.

(c) Borrowing money.

(d) Making loans.

(e) Purchasing and selling commodities.

(f) Concentrating investments in a particular industry or group of industries.

(g) Eliminating outdated fundamental investment policies not required by law.

The revised fundamental policies are clearly stated and simple, yet comprehensive, making oversight and compliance more efficient than under the former policies. The revised fundamental policies will allow the funds to respond more quickly to regulatory and market changes, while avoiding the costs and delays associated with successive shareholder meetings.

          Broker  Percentage  
Vanguard Fund   For  Abstain  Against  Non-Votes  For  
Total Bond Market II Index Fund              
2a  1,585,156,775  0  0  0  100.0 % 
2b  1,585,156,775  0  0  0  100.0 % 
2c  1,585,156,775  0  0  0  100.0 % 
2d  1,585,156,775  0  0  0  100.0 % 
2e  1,585,156,775  0  0  0  100.0 % 
2f  1,585,156,775  0  0  0  100.0 % 
2g   1,585,156,775  0  0  0  100.0 % 

6


Total Bond Market II Index Fund

Fund Profile         
As of December 31, 2009         
 
Financial Attributes         
      Target  
  Fund   Index1  
Number of Issues  3,284   8,413  
Yield2      3.7 % 
Investor Shares  3.3 %     
Institutional Shares  3.3 %     
Yield to Maturity  3.5 %3  3.7 % 
Average Coupon  4.8 %  4.7 % 
Average Effective Maturity  6.7 years   6.8 years  
Average Quality4  Aa1 /Aa2  Aa1 /Aa2 
Average Duration  4.5 years   4.6 years  
Expense Ratio5      —  
Investor Shares  0.19 %     
Institutional Shares  0.07 %     
Short-Term Reserves  0.2 %  —  
 
 
Sector Diversification6 (% of portfolio)      
 
Asset-Backed/Commercial Mortgage-Backed   3.4 % 
Finance      7.0  
Foreign      4.0  
Government Mortgage-Backed      32.6  
Industrial      10.5  
Treasury/Agency      40.1  
Utilities      2.2  
Other      0.2  

Distribution by Maturity (% of portfolio)

Under 1 Year  2.6 % 
1–5 Years  46.8  
5–10 Years  38.4  
10–20 Years  5.6  
20–30 Years  6.5  
Over 30 Years  0.1  

Distribution by Credit Quality4 (% of portfolio)

Aaa  77.4 % 
Aa  3.9  
A  10.0  
Baa  8.7  

Investment Focus


1 Barclays Capital U.S. Aggregate Bond Index.

2 30-day SEC yield for the fund; index yield assumes that all bonds are called or prepaid at the earliest possible date. See the Glossary. 3 Before expenses.

4 Moody’s Investors Service.

5 The expense ratios shown are from the prospectuses dated January 26, 2009, and represent estimated costs for the current fiscal year based on the fund’s net assets as of the prospectus date. For the fiscal period ended December 31, 2009, the annualized expense ratios were 0.11% for Investor Shares and 0.07% for Institutional Shares.

6 The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.

7


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 www.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.


      Total Returns      
  Periods Ended December 31, 2009     Final Value 
      Since   of a $10,000 
      Inception1     Investment 
Total Bond Market II Index Fund Investor Shares2      6.28 %  $ 10,628 
Barclays Capital U.S. Aggregate Bond Index      6.39     10,639 
Intermediate Investment-Grade Debt Funds Average3    12.31     11,231 
 
            Final Value of 
      Since   a $5,000,000 
      Inception1     Investment 
Total Bond Market II Index Fund Institutional Shares      5.80 %  $ 5,290,090 
Barclays Capital U.S. Aggregate Bond Index      5.91     5,295,336 
 
 
Fiscal-Period Total Returns (%): January 26, 2009–December 31, 2009         
            Barclays 
      Investor Shares     Capital4 
Fiscal  Capital  Income  Total     Total 
Period  Return  Return  Return     Return 
2009  2.6  3.7  6.3     6.4 

1 Performance for the fund and its comparative standards is calculated since the following inception dates: January 26, 2009, for the Investor Shares, and February 17, 2009, for the Institutional Shares.

2 Total returns do not reflect the account service fee that may be applicable to certain accounts with balances below $10,000.

3 Derived from data provided by Lipper Inc.

4 Barclays Capital U.S. Aggregate Bond Index.

See Financial Highlights for dividend and capital gains information.

8


Total Bond Market II Index Fund

Financial Statements

Statement of Net Assets
As of December 31, 2009

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations (72.3%)                   
U.S. Government Securities (31.7%)                   
United States Treasury Inflation Indexed Bonds  3.500 %  1/15/11    19,000     24,477  
United States Treasury Note/Bond  2.000 %  2/28/10    375     376  
United States Treasury Note/Bond  4.000 %  4/15/10    30,350     30,677  
United States Treasury Note/Bond  3.875 %  7/15/10    300     306  
United States Treasury Note/Bond  2.750 %  7/31/10    3,250     3,296  
United States Treasury Note/Bond  4.125 %  8/15/10    5,225     5,347  
United States Treasury Note/Bond  5.750 %  8/15/10    2,600     2,687  
United States Treasury Note/Bond  2.375 %  8/31/10    14,475     14,665  
United States Treasury Note/Bond  2.000 %  9/30/10    5,850     5,919  
United States Treasury Note/Bond  1.500 %  10/31/10    59,850     60,364  
United States Treasury Note/Bond  1.250 %  11/30/10    95,675     96,363  
United States Treasury Note/Bond  4.375 %  12/15/10    119,100     123,454  
United States Treasury Note/Bond  0.875 %  12/31/10    189,125     189,804  
United States Treasury Note/Bond  4.250 %  1/15/11    25,000     25,937  
United States Treasury Note/Bond  0.875 %  1/31/11    77,775     78,006  
United States Treasury Note/Bond  5.000 %  2/15/11    1,725     1,808  
United States Treasury Note/Bond  0.875 %  2/28/11    201,395     201,866  
United States Treasury Note/Bond  4.500 %  2/28/11    6,775     7,071  
United States Treasury Note/Bond  0.875 %  3/31/11    14,625     14,650  
United States Treasury Note/Bond  0.875 %  4/30/11    8,125     8,135  
United States Treasury Note/Bond  4.875 %  4/30/11    43,050     45,337  
United States Treasury Note/Bond  0.875 %  5/31/11    350     350  
United States Treasury Note/Bond  1.125 %  6/30/11    142,825     143,383  
United States Treasury Note/Bond  5.125 %  6/30/11    338,350     359,497  
United States Treasury Note/Bond  1.000 %  7/31/11    6,775     6,785  
United States Treasury Note/Bond  4.875 %  7/31/11    1,600     1,699  
United States Treasury Note/Bond  1.000 %  8/31/11    178,680     178,735  
United States Treasury Note/Bond  4.625 %  8/31/11    138,075     146,402  
United States Treasury Note/Bond  1.000 %  9/30/11    2,975     2,974  
United States Treasury Note/Bond  4.500 %  9/30/11    169,333     179,493  
United States Treasury Note/Bond  4.625 %  10/31/11    50,000     53,242  
United States Treasury Note/Bond  1.750 %  11/15/11    99,750     101,013  
United States Treasury Note/Bond  0.750 %  11/30/11    90,448     89,855  
United States Treasury Note/Bond  4.500 %  11/30/11    4,525     4,818  
United States Treasury Note/Bond  1.125 %  12/15/11    25,200     25,208  
United States Treasury Note/Bond  4.625 %  12/31/11    2,300     2,457  
United States Treasury Note/Bond  1.125 %  1/15/12    28,875     28,848  
United States Treasury Note/Bond  4.750 %  1/31/12    5,825     6,252  
United States Treasury Note/Bond  1.375 %  2/15/12    70,650     70,849  

9


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
United States Treasury Note/Bond  4.875 %  2/15/12    35,000     37,658  
United States Treasury Note/Bond  4.625 %  2/29/12    4,375     4,690  
United States Treasury Note/Bond  1.375 %  3/15/12    103,125     103,366  
United States Treasury Note/Bond  4.500 %  3/31/12    193,625     207,239  
United States Treasury Note/Bond  1.375 %  4/15/12    3,075     3,078  
United States Treasury Note/Bond  4.500 %  4/30/12    81,725     87,625  
United States Treasury Note/Bond  1.375 %  5/15/12    44,625     44,632  
United States Treasury Note/Bond  4.750 %  5/31/12    28,325     30,591  
United States Treasury Note/Bond  1.875 %  6/15/12    117,575     118,861  
United States Treasury Note/Bond  4.875 %  6/30/12    53,850     58,411  
United States Treasury Note/Bond  4.625 %  7/31/12    9,900     10,694  
United States Treasury Note/Bond  1.750 %  8/15/12    29,125     29,316  
United States Treasury Note/Bond  4.125 %  8/31/12    500     535  
United States Treasury Note/Bond  4.250 %  9/30/12    1,400     1,503  
United States Treasury Note/Bond  1.375 %  10/15/12    8,540     8,495  
United States Treasury Note/Bond  3.875 %  10/31/12    31,419     33,437  
United States Treasury Note/Bond  1.375 %  11/15/12    120,735     119,906  
United States Treasury Note/Bond  4.000 %  11/15/12    4,025     4,300  
United States Treasury Note/Bond  3.375 %  11/30/12    9,020     9,474  
United States Treasury Note/Bond  1.125 %  12/15/12    32,400     31,889  
United States Treasury Note/Bond  3.625 %  12/31/12    194,400     205,578  
United States Treasury Note/Bond  3.875 %  2/15/13    176,250     187,761  
United States Treasury Note/Bond  2.750 %  2/28/13    1,900     1,958  
United States Treasury Note/Bond  3.625 %  5/15/13    68,925     72,996  
United States Treasury Note/Bond  3.500 %  5/31/13    155,500     163,906  
United States Treasury Note/Bond  3.375 %  6/30/13    3,200     3,359  
United States Treasury Note/Bond  3.375 %  7/31/13    4,225     4,436  
United States Treasury Note/Bond  4.250 %  8/15/13    115,500     124,668  
United States Treasury Note/Bond  3.125 %  8/31/13    44,350     46,103  
United States Treasury Note/Bond  3.125 %  9/30/13    144,600     150,316  
United States Treasury Note/Bond  2.750 %  10/31/13    66,550     68,172  
United States Treasury Note/Bond  4.250 %  11/15/13    90,250     97,512  
United States Treasury Note/Bond  2.000 %  11/30/13    42,000     41,783  
United States Treasury Note/Bond  1.500 %  12/31/13    2,525     2,459  
United States Treasury Note/Bond  1.750 %  1/31/14    325     319  
United States Treasury Note/Bond  1.875 %  2/28/14    51,225     50,393  
United States Treasury Note/Bond  1.750 %  3/31/14    12,325     12,034  
United States Treasury Note/Bond  1.875 %  4/30/14    49,750     48,732  
United States Treasury Note/Bond  4.750 %  5/15/14    117,125     128,911  
United States Treasury Note/Bond  2.250 %  5/31/14    66,425     65,979  
United States Treasury Note/Bond  2.625 %  6/30/14    68,350     68,863  
United States Treasury Note/Bond  2.625 %  7/31/14    22,250     22,368  
United States Treasury Note/Bond  2.375 %  9/30/14    13,300     13,190  
United States Treasury Note/Bond  2.375 %  10/31/14    128,240     126,878  
United States Treasury Note/Bond  2.125 %  11/30/14    106,200     103,728  
United States Treasury Note/Bond  2.625 %  12/31/14    117,400     116,804  
United States Treasury Note/Bond  4.000 %  2/15/15    69,300     73,664  
United States Treasury Note/Bond  11.250 %  2/15/15    15,075     21,270  
United States Treasury Note/Bond  4.125 %  5/15/15    84,375     89,978  
United States Treasury Note/Bond  4.250 %  8/15/15    10,400     11,133  
United States Treasury Note/Bond  10.625 %  8/15/15    1,775     2,493  
United States Treasury Note/Bond  4.500 %  11/15/15    22,900     24,804  
United States Treasury Note/Bond  9.875 %  11/15/15    79,875     109,753  
United States Treasury Note/Bond  4.500 %  2/15/16    1,000     1,079  
United States Treasury Note/Bond  9.250 %  2/15/16    2,000     2,694  
United States Treasury Note/Bond  2.625 %  2/29/16    212,850     207,131  
United States Treasury Note/Bond  2.375 %  3/31/16    93,475     89,444  

10


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
United States Treasury Note/Bond  2.625 %  4/30/16    55,300     53,598  
United States Treasury Note/Bond  5.125 %  5/15/16    112,175     125,110  
United States Treasury Note/Bond  7.250 %  5/15/16    3,075     3,808  
United States Treasury Note/Bond  3.250 %  5/31/16    70,175     70,493  
United States Treasury Note/Bond  3.250 %  6/30/16    55,425     55,598  
United States Treasury Note/Bond  4.875 %  8/15/16    20,625     22,684  
United States Treasury Note/Bond  3.000 %  9/30/16    50,600     49,675  
United States Treasury Note/Bond  3.125 %  10/31/16    25,000     24,691  
United States Treasury Note/Bond  4.625 %  11/15/16    850     919  
United States Treasury Note/Bond  7.500 %  11/15/16    17,950     22,623  
United States Treasury Note/Bond  2.750 %  11/30/16    1,125     1,083  
United States Treasury Note/Bond  4.625 %  2/15/17    125     135  
United States Treasury Note/Bond  4.500 %  5/15/17    1,250     1,337  
United States Treasury Note/Bond  8.750 %  5/15/17    99,925     135,133  
United States Treasury Note/Bond  4.750 %  8/15/17    10,725     11,642  
United States Treasury Note/Bond  8.875 %  8/15/17    41,325     56,350  
United States Treasury Note/Bond  4.250 %  11/15/17    4,275     4,483  
United States Treasury Note/Bond  3.500 %  2/15/18    28,900     28,674  
United States Treasury Note/Bond  3.875 %  5/15/18    346,750     352,222  
United States Treasury Note/Bond  9.125 %  5/15/18    1,625     2,282  
United States Treasury Note/Bond  4.000 %  8/15/18    145,975     149,146  
United States Treasury Note/Bond  8.875 %  2/15/19    53,775     75,134  
United States Treasury Note/Bond  3.625 %  8/15/19    23,000     22,619  
United States Treasury Note/Bond  8.125 %  8/15/19    17,450     23,495  
United States Treasury Note/Bond  3.375 %  11/15/19    182,363     175,495  
United States Treasury Note/Bond  8.500 %  2/15/20    425     589  
United States Treasury Note/Bond  8.750 %  8/15/20    81,655     115,542  
United States Treasury Note/Bond  7.875 %  2/15/21    70,550     94,868  
United States Treasury Note/Bond  8.125 %  5/15/21    3,350     4,585  
United States Treasury Note/Bond  8.125 %  8/15/21    42,550     58,380  
United States Treasury Note/Bond  8.000 %  11/15/21    3,700     5,040  
United States Treasury Note/Bond  7.250 %  8/15/22    4,450     5,768  
United States Treasury Note/Bond  7.625 %  11/15/22    16,900     22,548  
United States Treasury Note/Bond  7.125 %  2/15/23    25,675     32,944  
United States Treasury Note/Bond  6.250 %  8/15/23    224,850     268,660  
United States Treasury Note/Bond  6.875 %  8/15/25    50,650     64,294  
United States Treasury Note/Bond  6.000 %  2/15/26    1,175     1,375  
United States Treasury Note/Bond  6.750 %  8/15/26    375     473  
United States Treasury Note/Bond  6.500 %  11/15/26    8,425     10,390  
United States Treasury Note/Bond  6.625 %  2/15/27    79,150     98,876  
United States Treasury Note/Bond  6.375 %  8/15/27    9,600     11,726  
United States Treasury Note/Bond  6.125 %  11/15/27    6,050     7,209  
United States Treasury Note/Bond  5.500 %  8/15/28    4,775     5,323  
United States Treasury Note/Bond  5.250 %  11/15/28    650     705  
United States Treasury Note/Bond  5.250 %  2/15/29    25,175     27,287  
United States Treasury Note/Bond  6.125 %  8/15/29    37,250     44,741  
United States Treasury Note/Bond  6.250 %  5/15/30    25,450     31,109  
United States Treasury Note/Bond  5.375 %  2/15/31    31,975     35,352  
United States Treasury Note/Bond  4.500 %  2/15/36    35,675     35,162  
United States Treasury Note/Bond  4.750 %  2/15/37    204,100     208,725  
United States Treasury Note/Bond  5.000 %  5/15/37    44,600     47,401  
United States Treasury Note/Bond  4.375 %  2/15/38    32,475     31,201  
United States Treasury Note/Bond  4.250 %  5/15/39    76,550     71,861  
United States Treasury Note/Bond  4.500 %  8/15/39    76,326     74,668  
                8,735,985  

11


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
Agency Bonds and Notes (7.4%)                   
1  American Express Bank FSB  3.150 %  12/9/11    5,625     5,820  
1  Bank of America Corp.  2.100 %  4/30/12    17,050     17,244  
1  Bank of America Corp.  3.125 %  6/15/12    8,950     9,289  
1  Bank of America Corp.  2.375 %  6/22/12    1,725     1,758  
1  Bank of America NA  1.700 %  12/23/10    4,225     4,267  
1  Bank of the West  2.150 %  3/27/12    3,500     3,548  
1  Citibank NA  1.625 %  3/30/11    2,125     2,144  
1  Citibank NA  1.500 %  7/12/11    2,500     2,514  
1  Citibank NA  1.375 %  8/10/11    3,500     3,514  
1  Citibank NA  1.250 %  9/22/11    2,025     2,027  
1  Citibank NA  1.875 %  5/7/12    6,375     6,421  
1  Citibank NA  1.750 %  12/28/12    15,950     15,855  
1  Citigroup Funding Inc.  1.375 %  5/5/11    9,875     9,930  
1  Citigroup Funding Inc.  2.000 %  3/30/12    2,125     2,144  
1  Citigroup Funding Inc.  2.125 %  7/12/12    3,800     3,837  
1  Citigroup Funding Inc.  1.875 %  10/22/12    6,563     6,552  
1  Citigroup Funding Inc.  2.250 %  12/10/12    1,750     1,765  
1  Citigroup Inc.  2.875 %  12/9/11    6,300     6,483  
1  Citigroup Inc.  2.125 %  4/30/12    14,975     15,161  
  Egypt Government AID Bonds  4.450 %  9/15/15    3,725     3,885  
2  Federal Farm Credit Bank  4.875 %  2/18/11    6,550     6,850  
2  Federal Farm Credit Bank  2.625 %  4/21/11    4,350     4,452  
2  Federal Farm Credit Bank  5.375 %  7/18/11    7,650     8,147  
2  Federal Farm Credit Bank  3.875 %  8/25/11    4,300     4,491  
2  Federal Farm Credit Bank  2.000 %  1/17/12    6,000     6,078  
2  Federal Farm Credit Bank  2.250 %  4/24/12    2,075     2,109  
2  Federal Farm Credit Bank  2.125 %  6/18/12    15,225     15,415  
2  Federal Farm Credit Bank  4.500 %  10/17/12    4,725     5,060  
2  Federal Farm Credit Bank  1.875 %  12/7/12    3,525     3,514  
2  Federal Farm Credit Bank  3.875 %  10/7/13    3,250     3,419  
2  Federal Farm Credit Bank  2.625 %  4/17/14    3,675     3,666  
2  Federal Farm Credit Bank  3.000 %  9/22/14    4,150     4,183  
2  Federal Farm Credit Bank  4.875 %  12/16/15    425     456  
2  Federal Farm Credit Bank  5.125 %  8/25/16    3,475     3,763  
2  Federal Farm Credit Bank  4.875 %  1/17/17    2,750     2,927  
2  Federal Farm Credit Bank  5.150 %  11/15/19    5,325     5,480  
2  Federal Home Loan Bank of Chicago  5.625 %  6/13/16    825     833  
2  Federal Home Loan Banks  2.625 %  3/11/11    5,625     5,743  
2  Federal Home Loan Banks  1.625 %  3/16/11    5,475     5,533  
2  Federal Home Loan Banks  1.375 %  5/16/11    4,975     5,007  
2  Federal Home Loan Banks  3.125 %  6/10/11    3,625     3,732  
2  Federal Home Loan Banks  3.625 %  7/1/11    5,050     5,246  
2  Federal Home Loan Banks  1.625 %  7/27/11    17,025     17,189  
2  Federal Home Loan Banks  5.375 %  8/19/11    30,500     32,628  
2  Federal Home Loan Banks  3.750 %  9/9/11    1,675     1,746  
2  Federal Home Loan Banks  3.625 %  9/16/11    46,725     48,711  
2  Federal Home Loan Banks  4.875 %  11/18/11    5,600     5,984  
2  Federal Home Loan Banks  1.000 %  12/28/11    6,350     6,325  
2  Federal Home Loan Banks  1.875 %  6/20/12    5,425     5,474  
2  Federal Home Loan Banks  1.750 %  8/22/12    22,825     22,850  
2  Federal Home Loan Banks  1.625 %  9/26/12    5,300     5,279  
2,3  Federal Home Loan Banks  2.000 %  10/5/12    11,430     11,416  
2,3  Federal Home Loan Banks  2.000 %  11/9/12    19,600     19,503  
2  Federal Home Loan Banks  1.750 %  12/14/12    6,200     6,158  
2  Federal Home Loan Banks  1.500 %  1/16/13    26,375     26,037  
2  Federal Home Loan Banks  3.375 %  2/27/13    3,175     3,308  

12


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
2 Federal Home Loan Banks  3.875 %  6/14/13    6,650     7,048  
2 Federal Home Loan Banks  5.375 %  6/14/13    3,850     4,252  
2 Federal Home Loan Banks  5.125 %  8/14/13    3,400     3,740  
2 Federal Home Loan Banks  4.000 %  9/6/13    5,075     5,383  
2 Federal Home Loan Banks  5.250 %  9/13/13    4,450     4,896  
2 Federal Home Loan Banks  4.500 %  9/16/13    10,675     11,505  
2 Federal Home Loan Banks  3.625 %  10/18/13    7,950     8,328  
2 Federal Home Loan Banks  4.875 %  11/27/13    6,475     7,081  
2 Federal Home Loan Banks  5.500 %  8/13/14    22,075     24,740  
2 Federal Home Loan Banks  5.375 %  5/18/16    17,850     19,774  
2 Federal Home Loan Banks  5.125 %  10/19/16    9,725     10,578  
2 Federal Home Loan Banks  4.750 %  12/16/16    14,525     15,531  
2 Federal Home Loan Banks  4.875 %  5/17/17    6,775     7,278  
2 Federal Home Loan Banks  5.000 %  11/17/17    20,675     22,284  
2 Federal Home Loan Banks  5.250 %  12/11/20    5,000     5,340  
2 Federal Home Loan Banks  5.625 %  6/11/21    425     466  
2 Federal Home Loan Banks  5.375 %  8/15/24    400     413  
2 Federal Home Loan Banks  5.500 %  7/15/36    4,100     4,207  
2 Federal Home Loan Mortgage Corp.  4.750 %  1/18/11    17,950     18,664  
2 Federal Home Loan Mortgage Corp.  3.250 %  2/25/11    5,425     5,582  
2 Federal Home Loan Mortgage Corp.  5.625 %  3/15/11    10,875     11,494  
2 Federal Home Loan Mortgage Corp.  5.125 %  4/18/11    13,075     13,789  
2 Federal Home Loan Mortgage Corp.  1.625 %  4/26/11    8,075     8,160  
2 Federal Home Loan Mortgage Corp.  6.000 %  6/15/11    13,725     14,730  
2 Federal Home Loan Mortgage Corp.  3.875 %  6/29/11    2,625     2,738  
2 Federal Home Loan Mortgage Corp.  5.250 %  7/18/11    32,400     34,501  
2 Federal Home Loan Mortgage Corp.  5.750 %  1/15/12    25,225     27,487  
2 Federal Home Loan Mortgage Corp.  2.125 %  3/23/12    9,775     9,935  
2 Federal Home Loan Mortgage Corp.  1.750 %  6/15/12    30,775     30,964  
2 Federal Home Loan Mortgage Corp.  5.500 %  8/20/12    35,675     39,167  
2 Federal Home Loan Mortgage Corp.  2.125 %  9/21/12    8,500     8,583  
2 Federal Home Loan Mortgage Corp.  4.625 %  10/25/12    10,400     11,199  
2 Federal Home Loan Mortgage Corp.  4.125 %  12/21/12    5,275     5,603  
2 Federal Home Loan Mortgage Corp.  4.500 %  1/15/13    9,200     9,894  
2 Federal Home Loan Mortgage Corp.  3.750 %  6/28/13    13,325     14,043  
2 Federal Home Loan Mortgage Corp.  4.500 %  7/15/13    5,475     5,907  
2 Federal Home Loan Mortgage Corp.  4.125 %  9/27/13    6,300     6,709  
2 Federal Home Loan Mortgage Corp.  4.875 %  11/15/13    30,900     33,793  
2 Federal Home Loan Mortgage Corp.  4.500 %  1/15/14    19,275     20,778  
2 Federal Home Loan Mortgage Corp.  2.500 %  4/23/14    16,375     16,318  
2 Federal Home Loan Mortgage Corp.  5.000 %  7/15/14    16,275     17,864  
2 Federal Home Loan Mortgage Corp.  3.000 %  7/28/14    23,075     23,355  
2 Federal Home Loan Mortgage Corp.  0.000 %  11/24/14    2,100     1,778  
2 Federal Home Loan Mortgage Corp.  4.500 %  1/15/15    3,500     3,761  
2 Federal Home Loan Mortgage Corp.  5.050 %  1/26/15    700     767  
2 Federal Home Loan Mortgage Corp.  4.750 %  1/19/16    6,575     7,092  
2 Federal Home Loan Mortgage Corp.  5.250 %  4/18/16    1,400     1,545  
2 Federal Home Loan Mortgage Corp.  5.500 %  7/18/16    775     865  
2 Federal Home Loan Mortgage Corp.  5.125 %  10/18/16    20,700     22,645  
2 Federal Home Loan Mortgage Corp.  5.000 %  2/16/17    27,175     29,501  
2 Federal Home Loan Mortgage Corp.  5.000 %  4/18/17    5,000     5,424  
2 Federal Home Loan Mortgage Corp.  5.500 %  8/23/17    11,550     12,886  
2 Federal Home Loan Mortgage Corp.  4.875 %  6/13/18    7,025     7,520  
2 Federal Home Loan Mortgage Corp.  3.750 %  3/27/19    26,750     26,223  
2 Federal Home Loan Mortgage Corp.  6.750 %  9/15/29    3,625     4,355  
2 Federal Home Loan Mortgage Corp.  6.750 %  3/15/31    13,000     15,922  
2 Federal Home Loan Mortgage Corp.  6.250 %  7/15/32    6,700     7,799  

13


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
2 Federal National Mortgage Assn.  6.250 %  2/1/11    3,850     4,034  
2 Federal National Mortgage Assn.  1.750 %  3/23/11    6,950     7,021  
2 Federal National Mortgage Assn.  2.750 %  4/11/11    12,350     12,642  
2 Federal National Mortgage Assn.  5.125 %  4/15/11    9,975     10,515  
2 Federal National Mortgage Assn.  1.375 %  4/28/11    83,800     84,371  
2 Federal National Mortgage Assn.  6.000 %  5/15/11    12,500     13,365  
2 Federal National Mortgage Assn.  3.375 %  5/19/11    10,875     11,241  
2 Federal National Mortgage Assn.  5.000 %  10/15/11    20,000     21,355  
2 Federal National Mortgage Assn.  1.000 %  11/23/11    1,775     1,769  
2 Federal National Mortgage Assn.  2.000 %  1/9/12    11,400     11,571  
2 Federal National Mortgage Assn.  0.875 %  1/12/12    8,900     8,838  
2 Federal National Mortgage Assn.  5.000 %  2/16/12    10,875     11,711  
2 Federal National Mortgage Assn.  6.125 %  3/15/12    19,075     21,038  
2 Federal National Mortgage Assn.  1.875 %  4/20/12    32,275     32,588  
2 Federal National Mortgage Assn.  4.875 %  5/18/12    10,225     11,028  
2 Federal National Mortgage Assn.  5.250 %  8/1/12    2,425     2,595  
2 Federal National Mortgage Assn.  1.750 %  8/10/12    39,075     39,138  
2 Federal National Mortgage Assn.  4.375 %  9/15/12    11,975     12,801  
2 Federal National Mortgage Assn.  3.625 %  2/12/13    5,350     5,614  
2 Federal National Mortgage Assn.  4.750 %  2/21/13    2,525     2,729  
2 Federal National Mortgage Assn.  4.375 %  3/15/13    4,200     4,506  
2 Federal National Mortgage Assn.  4.625 %  5/1/13    8,650     9,092  
2 Federal National Mortgage Assn.  3.875 %  7/12/13    6,050     6,397  
2 Federal National Mortgage Assn.  4.625 %  10/15/13    19,225     20,837  
2 Federal National Mortgage Assn.  2.875 %  12/11/13    28,075     28,630  
2 Federal National Mortgage Assn.  5.125 %  1/2/14    1,175     1,237  
2 Federal National Mortgage Assn.  2.750 %  2/5/14    6,550     6,607  
2 Federal National Mortgage Assn.  2.750 %  3/13/14    7,475     7,535  
2 Federal National Mortgage Assn.  4.125 %  4/15/14    8,225     8,738  
2 Federal National Mortgage Assn.  2.500 %  5/15/14    28,825     28,700  
2 Federal National Mortgage Assn.  3.000 %  9/16/14    6,200     6,266  
2 Federal National Mortgage Assn.  4.625 %  10/15/14    22,100     23,876  
2 Federal National Mortgage Assn.  2.625 %  11/20/14    18,775     18,587  
2 Federal National Mortgage Assn.  5.000 %  4/15/15    5,450     5,977  
2 Federal National Mortgage Assn.  4.375 %  10/15/15    4,325     4,587  
2 Federal National Mortgage Assn.  5.375 %  7/15/16    4,325     4,796  
2 Federal National Mortgage Assn.  5.250 %  9/15/16    25,775     28,391  
2 Federal National Mortgage Assn.  4.875 %  12/15/16    4,000     4,320  
2 Federal National Mortgage Assn.  5.000 %  2/13/17    28,600     31,027  
2 Federal National Mortgage Assn.  5.000 %  5/11/17    11,275     12,215  
2 Federal National Mortgage Assn.  5.375 %  6/12/17    2,800     3,098  
2 Federal National Mortgage Assn.  0.000 %  10/9/19    625     345  
2 Federal National Mortgage Assn.  6.250 %  5/15/29    5,550     6,392  
2 Federal National Mortgage Assn.  7.125 %  1/15/30    7,925     10,023  
2 Federal National Mortgage Assn.  7.250 %  5/15/30    10,200     13,072  
2 Federal National Mortgage Assn.  6.625 %  11/15/30    1,900     2,290  
2 Federal National Mortgage Assn.  5.625 %  7/15/37    3,625     3,819  
2 Financing Corp. Fico  9.800 %  4/6/18    850     1,161  
2 Financing Corp. Fico  10.350 %  8/3/18    100     144  
2 Financing Corp. Fico  9.650 %  11/2/18    2,375     3,324  
2 Financing Corp. Fico  9.700 %  4/5/19    425     599  
1 General Electric Capital Corp.  1.625 %  1/7/11    8,300     8,376  
1 General Electric Capital Corp.  1.800 %  3/11/11    300     303  
1 General Electric Capital Corp.  3.000 %  12/9/11    15,625     16,113  
1 General Electric Capital Corp.  2.250 %  3/12/12    15,125     15,375  
1 General Electric Capital Corp.  2.200 %  6/8/12    11,275     11,428  
1 General Electric Capital Corp.  2.125 %  12/21/12    5,975     6,006  

14


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
1  General Electric Capital Corp.  2.625 %  12/28/12    4,450     4,536  
1  GMAC Inc.  2.200 %  12/19/12    5,725     5,766  
1  Goldman Sachs Group Inc.  1.700 %  3/15/11    1,950     1,971  
1  Goldman Sachs Group Inc.  1.625 %  7/15/11    3,675     3,708  
1  Goldman Sachs Group Inc.  2.150 %  3/15/12    2,525     2,563  
1  Goldman Sachs Group Inc.  3.250 %  6/15/12    7,925     8,243  
1  HSBC USA Inc.  3.125 %  12/16/11    5,650     5,850  
  Israel Government AID Bond  5.500 %  9/18/23    1,425     1,519  
  Israel Government AID Bond  5.500 %  12/4/23    1,050     1,115  
  Israel Government AID Bond  5.500 %  4/26/24    4,450     4,726  
1  JPMorgan Chase & Co.  1.650 %  2/23/11    7,025     7,100  
1  JPMorgan Chase & Co.  3.125 %  12/1/11    9,175     9,483  
1  JPMorgan Chase & Co.  2.200 %  6/15/12    6,200     6,294  
1  JPMorgan Chase & Co.  2.125 %  6/22/12    5,150     5,225  
1  JPMorgan Chase & Co.  2.125 %  12/26/12    9,000     9,054  
1  Morgan Stanley  2.900 %  12/1/10    3,825     3,904  
1  Morgan Stanley  3.250 %  12/1/11    10,050     10,425  
1  Morgan Stanley  2.250 %  3/13/12    7,600     7,726  
1  Morgan Stanley  1.950 %  6/20/12    8,900     8,980  
1  PNC Funding Corp.  2.300 %  6/22/12    5,850     5,948  
  Private Export Funding Corp.  3.050 %  10/15/14    4,000     3,976  
  Private Export Funding Corp.  4.375 %  3/15/19    2,100     2,075  
  Private Export Funding Corp.  4.300 %  12/15/21    1,000     937  
1  Regions Bank  2.750 %  12/10/10    100     102  
1  Regions Bank  3.250 %  12/9/11    27,150     28,143  
  Resolution Funding Corp.  8.125 %  10/15/19    100     128  
  Resolution Funding Corp.  8.875 %  7/15/20    100     134  
1  Sovereign Bank  2.750 %  1/17/12    2,600     2,669  
1  State Street Corp.  2.150 %  4/30/12    200     202  
2  Tennessee Valley Authority  5.625 %  1/18/11    2,350     2,470  
2  Tennessee Valley Authority  5.500 %  7/18/17    6,400     7,035  
2  Tennessee Valley Authority  4.500 %  4/1/18    2,050     2,107  
2  Tennessee Valley Authority  6.750 %  11/1/25    550     631  
2  Tennessee Valley Authority  7.125 %  5/1/30    8,975     11,016  
2  Tennessee Valley Authority  4.650 %  6/15/35    1,425     1,261  
2  Tennessee Valley Authority  5.500 %  6/15/38    850     846  
2  Tennessee Valley Authority  5.250 %  9/15/39    1,950     1,920  
2  Tennessee Valley Authority  4.875 %  1/15/48    2,075     1,859  
2  Tennessee Valley Authority  5.375 %  4/1/56    2,475     2,441  
1  US Central Federal Credit Union  1.900 %  10/19/12    3,450     3,452  
1  Wells Fargo & Co.  3.000 %  12/9/11    9,625     9,924  
1  Wells Fargo & Co.  2.125 %  6/15/12    2,925     2,965  
1  Western Corporate Federal Credit Union  1.750 %  11/2/12    1,750     1,741  
                  2,037,377  
Conventional Mortgage-Backed Securities (31.8%)                   
2,3  Fannie Mae Pool  4.000 %  9/1/10–1/1/40    229,840     228,713  
2,3  Fannie Mae Pool  4.500 %  2/1/10–1/1/40    559,285     571,776  
2,3  Fannie Mae Pool  5.000 %  4/1/10–1/1/40    1,053,267     1,091,295  
2,3  Fannie Mae Pool  5.500 %  11/1/16–1/1/40    1,255,099     1,320,154  
2,3  Fannie Mae Pool  6.000 %  2/1/14–1/1/40    835,017     888,981  
2,3  Fannie Mae Pool  6.500 %  4/1/16–1/1/39    226,724     243,760  
2,3  Fannie Mae Pool  7.000 %  11/1/18–12/1/38    88,303     96,877  
2,3  Fannie Mae Pool  7.500 %  1/1/31–12/1/32    893     986  
2,3  Fannie Mae Pool  8.000 %  12/1/29    86     96  
2,3  Freddie Mac Gold Pool  4.000 %  1/1/10–1/1/40    147,193     147,206  
2,3  Freddie Mac Gold Pool  4.500 %  3/1/10–1/1/40    406,879     414,489  
2,3  Freddie Mac Gold Pool  5.000 %  4/1/11–1/1/40    684,739     707,886  

15


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
2,3  Freddie Mac Gold Pool  5.500 %  12/1/13–1/1/40    752,473     791,108  
2,3  Freddie Mac Gold Pool  6.000 %  4/1/13–1/1/40    521,453     555,223  
2,3  Freddie Mac Gold Pool  6.500 %  6/1/13–4/1/39    196,118     211,244  
2,3  Freddie Mac Gold Pool  7.000 %  6/1/15–12/1/37    29,069     31,790  
2,3  Freddie Mac Gold Pool  7.500 %  6/1/27–2/1/32    363     400  
2,3  Freddie Mac Gold Pool  8.000 %  1/1/27–11/1/31    466     513  
2,3  Freddie Mac Gold Pool  8.500 %  6/1/25    82     91  
3  Ginnie Mae I Pool  4.000 %  8/15/18–8/15/39    25,712     24,893  
3  Ginnie Mae I Pool  4.500 %  6/15/18–1/1/40    241,040     241,486  
3  Ginnie Mae I Pool  5.000 %  12/15/17–1/1/40    273,982     282,401  
3  Ginnie Mae I Pool  5.500 %  4/15/17–1/1/40    259,779     272,866  
3  Ginnie Mae I Pool  6.000 %  4/15/17–1/1/40    206,281     218,555  
3  Ginnie Mae I Pool  6.500 %  7/15/24–12/15/38    55,841     59,734  
3  Ginnie Mae I Pool  7.000 %  7/15/23–9/15/36    2,772     3,044  
3  Ginnie Mae I Pool  7.500 %  12/15/23    87     96  
3  Ginnie Mae I Pool  8.000 %  6/15/25–1/15/27    176     193  
3  Ginnie Mae I Pool  9.000% 11/15/17–12/15/17    240     261  
3  Ginnie Mae II Pool  4.500 %  1/20/35–12/20/39    23,043     23,096  
3  Ginnie Mae II Pool  5.000 %  12/20/32–1/1/40    58,562     60,277  
3  Ginnie Mae II Pool  5.500 %  11/20/34–8/20/39    105,769     111,019  
3  Ginnie Mae II Pool  6.000 %  3/20/31–1/20/39    101,564     107,581  
3  Ginnie Mae II Pool  6.500 %  3/20/31–12/20/37    31,342     33,431  
3  Ginnie Mae II Pool  7.000 %  8/20/34–4/20/38    1,155     1,267  
                  8,742,788  
Nonconventional Mortgage-Backed Securities (1.4%)                   
2,3  Fannie Mae Pool  2.701 %  12/1/34    3,743     3,801  
2,3  Fannie Mae Pool  2.799 %  10/1/34    3,153     3,228  
2,3  Fannie Mae Pool  2.808 %  11/1/34    2,310     2,349  
2,3  Fannie Mae Pool  3.126 %  9/1/34    935     957  
2,3  Fannie Mae Pool  3.973 %  7/1/35    3,614     3,723  
2,3  Fannie Mae Pool  4.132 %  5/1/34    1,809     1,873  
2,3  Fannie Mae Pool  4.413 %  8/1/35    5,746     5,939  
2,3  Fannie Mae Pool  4.421 %  7/1/35    1,961     2,026  
2,3  Fannie Mae Pool  4.485 %  4/1/37    5,047     5,254  
2,3  Fannie Mae Pool  4.498 %  1/1/35    2,520     2,575  
2,3  Fannie Mae Pool  4.505 %  10/1/36    2,583     2,673  
2,3  Fannie Mae Pool  4.508 %  4/1/36    6,906     7,133  
2,3  Fannie Mae Pool  4.549 %  11/1/34    5,991     6,236  
2,3  Fannie Mae Pool  4.605 %  12/1/35    4,324     4,508  
2,3  Fannie Mae Pool  4.610 %  8/1/35    3,795     3,946  
2,3  Fannie Mae Pool  4.613 %  11/1/33    1,749     1,811  
2,3  Fannie Mae Pool  4.629 %  9/1/34    1,691     1,758  
2,3  Fannie Mae Pool  4.721 %  8/1/35    2,237     2,341  
2,3  Fannie Mae Pool  4.766 %  5/1/35    2,101     2,179  
2,3  Fannie Mae Pool  4.784 %  6/1/34    2,134     2,221  
2,3  Fannie Mae Pool  4.852 %  9/1/35    3,249     3,402  
2,3  Fannie Mae Pool  4.866 %  7/1/35    3,783     3,907  
2,3  Fannie Mae Pool  4.938 %  7/1/38    1,271     1,330  
2,3  Fannie Mae Pool  4.952 %  11/1/34    805     839  
2,3  Fannie Mae Pool  4.959 %  7/1/35    1,562     1,626  
2,3  Fannie Mae Pool  4.966 %  10/1/35    5,874     6,132  
2,3  Fannie Mae Pool  4.992 %  11/1/33    962     1,008  
2,3  Fannie Mae Pool  5.015 %  12/1/33    1,236     1,297  
2,3  Fannie Mae Pool  5.035 %  2/1/36    2,344     2,444  
2,3  Fannie Mae Pool  5.039 %  11/1/35    6,514     6,776  
2,3  Fannie Mae Pool  5.062 %  8/1/37    8,141     8,518  
2,3  Fannie Mae Pool  5.075 %  12/1/35    3,512     3,686  

16


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
2,3  Fannie Mae Pool  5.109 %  1/1/36    2,715     2,837  
2,3  Fannie Mae Pool  5.128 %  12/1/35    6,667     6,976  
2,3  Fannie Mae Pool  5.142 %  3/1/38    3,226     3,367  
2,3  Fannie Mae Pool  5.186 %  3/1/37    3,699     3,875  
2,3  Fannie Mae Pool  5.204 %  8/1/38    333     346  
2,3  Fannie Mae Pool  5.301 %  7/1/38    457     475  
2,3  Fannie Mae Pool  5.347 %  12/1/35    2,516     2,627  
2,3  Fannie Mae Pool  5.396 %  2/1/36    2,935     3,062  
2,3  Fannie Mae Pool  5.450 %  2/1/36    4,450     4,650  
2,3  Fannie Mae Pool  5.495 %  5/1/37    1,856     1,908  
2,3  Fannie Mae Pool  5.509 %  4/1/37    330     347  
2,3  Fannie Mae Pool  5.547 %  1/1/37    3,753     3,954  
2,3  Fannie Mae Pool  5.614 %  5/1/36    1,087     1,144  
2,3  Fannie Mae Pool  5.617 %  7/1/36    2,629     2,746  
2,3  Fannie Mae Pool  5.645 %  3/1/37    3,199     3,370  
2,3  Fannie Mae Pool  5.647 %  6/1/37    1,913     2,003  
2,3  Fannie Mae Pool  5.665 %  6/1/36    3,308     3,492  
2,3  Fannie Mae Pool  5.675 %  3/1/37    3,028     3,191  
2,3  Fannie Mae Pool  5.676 %  2/1/37    3,112     3,266  
2,3  Fannie Mae Pool  5.686 %  2/1/37    5,708     6,024  
2,3  Fannie Mae Pool  5.710 %  9/1/36    1,700     1,783  
2,3  Fannie Mae Pool  5.729 %  3/1/37    10,224     10,799  
2,3  Fannie Mae Pool  5.756 %  1/1/36    2,040     2,162  
2,3  Fannie Mae Pool  5.756 %  4/1/37    6,536     6,858  
2,3  Fannie Mae Pool  5.756 %  12/1/37    6,183     6,510  
2,3  Fannie Mae Pool  5.764 %  4/1/36    3,835     4,050  
2,3  Fannie Mae Pool  5.793 %  4/1/37    5,211     5,495  
2,3  Fannie Mae Pool  5.838 %  9/1/36    3,071     3,226  
2,3  Fannie Mae Pool  5.893 %  11/1/36    3,504     3,707  
2,3  Fannie Mae Pool  5.999 %  10/1/37    4,762     5,030  
2,3  Fannie Mae Pool  6.011 %  4/1/36    2,602     2,751  
2,3  Fannie Mae Pool  6.045 %  6/1/36    604     640  
2,3  Fannie Mae Pool  6.062 %  8/1/37    3,747     3,918  
2,3  Fannie Mae Pool  6.499 %  9/1/37    5,004     5,309  
2,3  Freddie Mac Non Gold Pool  2.691 %  12/1/34    3,510     3,567  
2,3  Freddie Mac Non Gold Pool  3.072 %  9/1/34    1,878     1,935  
2,3  Freddie Mac Non Gold Pool  3.160 %  12/1/34    1,911     1,978  
2,3  Freddie Mac Non Gold Pool  3.448 %  12/1/36    2,179     2,250  
2,3  Freddie Mac Non Gold Pool  4.168 %  4/1/35    116     118  
2,3  Freddie Mac Non Gold Pool  4.358 %  1/1/35    213     219  
2,3  Freddie Mac Non Gold Pool  4.590 %  4/1/35    2,688     2,764  
2,3  Freddie Mac Non Gold Pool  4.594 %  11/1/34    3,138     3,261  
2,3  Freddie Mac Non Gold Pool  4.660 %  7/1/35    2,560     2,653  
2,3  Freddie Mac Non Gold Pool  4.688 %  12/1/35    3,381     3,527  
2,3  Freddie Mac Non Gold Pool  4.693 %  6/1/37    2,630     2,722  
2,3  Freddie Mac Non Gold Pool  4.738 %  3/1/36    3,754     3,872  
2,3  Freddie Mac Non Gold Pool  4.766 %  1/1/37    2,057     2,148  
2,3  Freddie Mac Non Gold Pool  4.789 %  7/1/35    6,073     6,288  
2,3  Freddie Mac Non Gold Pool  5.024 %  5/1/35    3,388     3,525  
2,3  Freddie Mac Non Gold Pool  5.044 %  7/1/38    2,805     2,936  
2,3  Freddie Mac Non Gold Pool  5.260 %  3/1/37    2,516     2,571  
2,3  Freddie Mac Non Gold Pool  5.287 %  3/1/36    4,264     4,461  
2,3  Freddie Mac Non Gold Pool  5.291 %  3/1/38    3,807     3,981  
2,3  Freddie Mac Non Gold Pool  5.329 %  12/1/35    3,026     3,173  
2,3  Freddie Mac Non Gold Pool  5.428 %  3/1/37    2,484     2,611  
2,3  Freddie Mac Non Gold Pool  5.435 %  4/1/37    5,284     5,554  
2,3  Freddie Mac Non Gold Pool  5.502 %  2/1/36    2,850     2,970  

17


  Total Bond Market II Index Fund                   
 
 
 
              Face     Market  
          Maturity    Amount     Value•  
      Coupon   Date  ($ 000 )  ($ 000 ) 
  2,3  Freddie Mac Non Gold Pool  5.568 %  5/1/36    5,239     5,474  
  2,3  Freddie Mac Non Gold Pool  5.582 %  4/1/37    4,140     4,339  
  2,3  Freddie Mac Non Gold Pool  5.598 %  7/1/36    2,274     2,384  
  2,3  Freddie Mac Non Gold Pool  5.656 %  12/1/36    4,182     4,406  
  2,3  Freddie Mac Non Gold Pool  5.683 %  3/1/37    253     267  
  2,3  Freddie Mac Non Gold Pool  5.711 %  11/1/36    1,861     1,951  
  2,3  Freddie Mac Non Gold Pool  5.714 %  9/1/36    7,646     8,069  
  2,3  Freddie Mac Non Gold Pool  5.749 %  4/1/37    8,865     9,244  
  2,3  Freddie Mac Non Gold Pool  5.770 %  5/1/36    3,868     4,051  
  2,3  Freddie Mac Non Gold Pool  5.772 %  3/1/37    1,780     1,880  
  2,3  Freddie Mac Non Gold Pool  5.796 %  6/1/37    5,837     6,163  
  2,3  Freddie Mac Non Gold Pool  5.797 %  3/1/37    600     630  
  2,3  Freddie Mac Non Gold Pool  5.824 %  10/1/37    5,904     6,221  
  2,3  Freddie Mac Non Gold Pool  5.861 %  6/1/37    3,651     3,862  
  2,3  Freddie Mac Non Gold Pool  5.878 %  12/1/36    2,722     2,881  
  2,3  Freddie Mac Non Gold Pool  5.892 %  5/1/37    7,069     7,458  
  2,3  Freddie Mac Non Gold Pool  5.934 %  1/1/37    1,624     1,721  
  2,3  Freddie Mac Non Gold Pool  5.973 %  10/1/37    1,516     1,608  
  2,3  Freddie Mac Non Gold Pool  6.055 %  3/1/37    228     242  
  2,3  Freddie Mac Non Gold Pool  6.064 %  8/1/37    5,115     5,406  
  2,3  Freddie Mac Non Gold Pool  6.097 %  12/1/36    3,323     3,518  
  2,3  Freddie Mac Non Gold Pool  6.102 %  3/1/37    152     159  
  2,3  Freddie Mac Non Gold Pool  6.105 %  8/1/37    1,760     1,862  
  2,3  Freddie Mac Non Gold Pool  6.201 %  6/1/37    3,071     3,220  
  2,3  Freddie Mac Non Gold Pool  6.480 %  2/1/37    3,839     4,099  
  3  Ginnie Mae II Pool  4.375 %  6/20/29    81     83  
                    389,676  
  Total U.S. Government and Agency Obligations (Cost $19,923,812)             19,905,826  
Asset-Backed/Commercial Mortgage-Backed Securities (3.5%)                
  4  BA Covered Bond Issuer  5.500 %  6/14/12    4,950     5,183  
  3  BA Credit Card Trust  4.720 %  5/15/13    2,325     2,389  
  3  Banc of America Commercial Mortgage Inc.  5.787 %  5/11/35    3,878     3,938  
  3  Banc of America Commercial Mortgage Inc.  6.503 %  4/15/36    2,984     3,086  
  3  Banc of America Commercial Mortgage Inc.  4.050 %  11/10/38    1,928     1,917  
  3  Banc of America Commercial Mortgage Inc.  4.153 %  11/10/38    1,400     1,370  
  3,5  Banc of America Commercial Mortgage Inc.  5.398 %  6/10/39    8,617     8,634  
  3  Banc of America Commercial Mortgage Inc.  4.877 %  7/10/42    15,200     14,486  
  3,5  Banc of America Commercial Mortgage Inc.  5.142 %  11/10/42    720     725  
  3  Banc of America Commercial Mortgage Inc.  4.727 %  7/10/43    2,825     2,357  
  3  Banc of America Commercial Mortgage Inc.  5.118 %  7/11/43    4,000     4,117  
  3  Banc of America Commercial Mortgage Inc.  5.372 %  9/10/45    6,800     6,422  
  3,5  Banc of America Commercial Mortgage Inc.  5.421 %  9/10/45    40     31  
  3  Banc of America Commercial Mortgage Inc.  5.115 %  10/10/45    6,425     6,197  
  3,5  Banc of America Commercial Mortgage Inc.  5.120 %  10/10/45    1,125     1,100  
  3,5  Banc of America Commercial Mortgage Inc.  5.176 %  10/10/45    120     99  
  3  Banc of America Commercial Mortgage Inc.  5.634 %  7/10/46    6,725     6,254  
  3  Banc of America Commercial Mortgage Inc.  5.675 %  7/10/46    2,110     1,660  
  3,5  Banc of America Commercial Mortgage Inc.  5.179 %  9/10/47    500     440  
  3  Banc of America Commercial Mortgage Inc.  5.414 %  9/10/47    4,955     4,614  
  3  Banc of America Commercial Mortgage Inc.  5.448 %  9/10/47    775     618  
  3,5  Banc of America Commercial Mortgage Inc.  6.166 %  2/10/51    8,375     7,503  
  3  Bear Stearns Commercial Mortgage Securities  5.610 %  11/15/33    3,650     3,774  
  3  Bear Stearns Commercial Mortgage Securities  5.462 %  4/12/38    6,600     6,558  
  3,5  Bear Stearns Commercial Mortgage Securities  5.463 %  4/12/38    325     327  
  3,5  Bear Stearns Commercial Mortgage Securities  5.463 %  4/12/38    1,500     1,144  
  3  Bear Stearns Commercial Mortgage Securities  4.830 %  8/15/38    4,500     4,622  

18


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
3,5  Bear Stearns Commercial Mortgage Securities  5.758 %  9/11/38    1,000     801  
3  Bear Stearns Commercial Mortgage Securities  5.455 %  3/11/39    12,725     12,368  
3  Bear Stearns Commercial Mortgage Securities  4.680 %  8/13/39    8,650     8,595  
3  Bear Stearns Commercial Mortgage Securities  4.740 %  3/13/40    2,275     2,339  
3  Bear Stearns Commercial Mortgage Securities  5.666 %  6/11/40    10,125     10,209  
3  Bear Stearns Commercial Mortgage Securities  5.405 %  12/11/40    645     623  
3  Bear Stearns Commercial Mortgage Securities  5.582 %  9/11/41    1,125     902  
3  Bear Stearns Commercial Mortgage Securities  4.521 %  11/11/41    1,400     1,403  
3  Bear Stearns Commercial Mortgage Securities  5.742 %  9/11/42    7,295     6,917  
3  Bear Stearns Commercial Mortgage Securities  5.793 %  9/11/42    1,825     1,735  
3  Bear Stearns Commercial Mortgage Securities  5.127 %  10/12/42    3,375     3,372  
3  Bear Stearns Commercial Mortgage Securities  5.149 %  10/12/42    725     719  
3,5  Bear Stearns Commercial Mortgage Securities  5.513 %  1/12/45    2,475     2,003  
3  Bear Stearns Commercial Mortgage Securities  5.613 %  6/11/50    3,450     3,442  
3  Bear Stearns Commercial Mortgage Securities  5.694 %  6/11/50    17,325     14,706  
3  Bear Stearns Commercial Mortgage Securities  5.700 %  6/11/50    4,340     3,704  
3,5  Bear Stearns Commercial Mortgage Securities  5.915 %  6/11/50    2,625     1,918  
3  Capital Auto Receivables Asset Trust  4.680 %  10/15/12    6,125     6,329  
3  Capital One Multi-Asset Execution Trust  5.300 %  2/18/14    2,150     2,248  
3  Capital One Multi-Asset Execution Trust  5.050 %  12/17/18    12,975     13,465  
3  Capital One Multi-Asset Execution Trust  5.750 %  7/15/20    1,640     1,780  
3  CDC Commercial Mortgage Trust  5.676 %  11/15/30    6,225     6,416  
3  Chase Commercial Mortgage Securities Corp.  7.757 %  4/15/32    106     106  
3  Chase Issuance Trust  4.650 %  12/17/12    9,275     9,532  
3  Chase Issuance Trust  4.650 %  3/15/15    11,375     12,082  
3  Chase Issuance Trust  5.400 %  7/15/15    3,325     3,616  
3  CIT Group Home Equity Loan Trust  6.200 %  2/25/30    279     250  
3  Citibank Credit Card Issuance Trust  5.450 %  5/10/13    1,225     1,290  
3  Citibank Credit Card Issuance Trust  4.900 %  6/23/16    7,575     8,163  
3  Citibank Credit Card Issuance Trust  4.850 %  3/10/17    1,155     1,219  
3  Citibank Credit Card Issuance Trust  4.150 %  7/7/17    1,225     1,236  
3  Citibank Credit Card Issuance Trust  5.650 %  9/20/19    1,200     1,295  
3  Citigroup Commercial Mortgage Trust  4.623 %  10/15/41    1,125     1,126  
3  Citigroup Commercial Mortgage Trust  4.830 %  5/15/43    375     321  
3,5  Citigroup Commercial Mortgage Trust  5.725 %  3/15/49    5,112     4,861  
3,5  Citigroup Commercial Mortgage Trust  5.700 %  12/10/49    1,875     1,261  
3,5  Citigroup Commercial Mortgage Trust  5.700 %  12/10/49    3,225     2,776  
3,5  Citigroup Commercial Mortgage Trust  6.092 %  12/10/49    1,335     1,016  
3,5  Citigroup/Deutsche Bank                   
  Commercial Mortgage Trust  5.224 %  7/15/44    2,475     2,144  
3  Citigroup/Deutsche Bank                   
  Commercial Mortgage Trust  5.224 %  7/15/44    10,175     10,139  
3  Citigroup/Deutsche Bank                   
  Commercial Mortgage Trust  5.886 %  11/15/44    6,780     5,984  
3  Citigroup/Deutsche Bank                   
  Commercial Mortgage Trust  5.648 %  10/15/48    3,150     2,410  
3  Citigroup/Deutsche Bank                   
  Commercial Mortgage Trust  5.205 %  12/11/49    7,925     7,944  
3  Citigroup/Deutsche Bank                   
  Commercial Mortgage Trust  5.322 %  12/11/49    5,650     4,840  
3,4  Commercial Mortgage Lease-Backed Certificates  6.746 %  6/20/31    3,065     3,216  
3  Commercial Mortgage Pass Through Certificates  4.084 %  6/10/38    1,900     1,878  
3  Commercial Mortgage Pass Through Certificates  5.116 %  6/10/44    8,075     7,659  
3  Commercial Mortgage Pass Through Certificates  5.767 %  6/10/46    6,400     6,301  
3  Commercial Mortgage Pass Through Certificates  5.248 %  12/10/46    1,075     1,081  
3,5  Commercial Mortgage Pass Through Certificates  5.816 %  12/10/49    5,925     5,381  

19


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
3,5  Countrywide Home Loan                   
  Mortgage Pass Through Trust  4.065 %  5/25/33    1,143     983  
3  Credit Suisse First Boston                   
  Mortgage Securities Corp.  6.380 %  12/18/35    889     909  
3,5  Credit Suisse First Boston                   
  Mortgage Securities Corp.  4.750 %  1/15/37    5,180     5,026  
3  Credit Suisse First Boston                   
  Mortgage Securities Corp.  4.877 %  4/15/37    325     239  
3,5  Credit Suisse First Boston                   
  Mortgage Securities Corp.  5.014 %  2/15/38    3,800     3,752  
3  Credit Suisse First Boston                   
  Mortgage Securities Corp.  3.936 %  5/15/38    3,975     3,918  
3,5  Credit Suisse First Boston                   
  Mortgage Securities Corp.  5.100 %  8/15/38    670     563  
3  Credit Suisse First Boston                   
  Mortgage Securities Corp.  5.100 %  8/15/38    11,325     10,905  
3  Credit Suisse Mortgage Capital Certificates  5.825 %  6/15/38    8,550     7,376  
3  Credit Suisse Mortgage Capital Certificates  5.825 %  6/15/38    350     275  
3  Credit Suisse Mortgage Capital Certificates  5.548 %  2/15/39    15,575     15,157  
3,5  Credit Suisse Mortgage Capital Certificates  5.548 %  2/15/39    2,800     2,288  
3,5  Credit Suisse Mortgage Capital Certificates  5.723 %  6/15/39    11,150     8,939  
3  Credit Suisse Mortgage Capital Certificates  5.509 %  9/15/39    550     304  
3  Credit Suisse Mortgage Capital Certificates  5.311 %  12/15/39    12,575     10,367  
3  Credit Suisse Mortgage Capital Certificates  5.343 %  12/15/39    930     648  
3  Credit Suisse Mortgage Capital Certificates  5.383 %  2/15/40    2,250     1,858  
3,5  CW Capital Cobalt Ltd.  5.820 %  5/15/46    8,100     6,383  
3,5  CW Capital Cobalt Ltd.  5.484 %  4/15/47    525     418  
3  Daimler Chrysler Auto Trust  3.700 %  6/8/12    2,855     2,892  
3  Discover Card Master Trust  5.100 %  10/15/13    225     235  
3  Discover Card Master Trust  5.650 %  12/15/15    7,975     8,640  
3  Discover Card Master Trust  5.650 %  3/16/20    2,500     2,664  
3  Fifth Third Auto Trust  4.070 %  1/17/12    5,275     5,339  
3,5  First Union Commercial Mortgage Trust  6.638 %  10/15/35    2,940     2,963  
3  First Union National Bank Commercial Mortgage  6.223 %  12/12/33    4,350     4,547  
3  Ford Credit Auto Owner Trust  4.370 %  10/15/12    5,525     5,726  
3  Ford Credit Auto Owner Trust  2.420 %  11/15/14    1,875     1,842  
3  GE Capital Commercial Mortgage Corp.  6.531 %  5/15/33    3,700     3,835  
3  GE Capital Commercial Mortgage Corp.  6.290 %  8/11/33    625     649  
3  GE Capital Commercial Mortgage Corp.  5.994 %  12/10/35    136     137  
3  GE Capital Commercial Mortgage Corp.  6.269 %  12/10/35    3,050     3,240  
3  GE Capital Commercial Mortgage Corp.  5.145 %  7/10/37    325     331  
3  GE Capital Commercial Mortgage Corp.  4.996 %  12/10/37    4,325     4,424  
3,5  GE Capital Commercial Mortgage Corp.  5.336 %  3/10/44    10,975     10,392  
3,5  GE Capital Commercial Mortgage Corp.  5.334 %  11/10/45    2,725     2,248  
3  GMAC Commercial Mortgage Securities Inc.  7.455 %  8/16/33    2,104     2,137  
3  GMAC Commercial Mortgage Securities Inc.  6.465 %  4/15/34    2,875     2,962  
3  GMAC Commercial Mortgage Securities Inc.  6.700 %  4/15/34    3,543     3,682  
3  GMAC Commercial Mortgage Securities Inc.  4.908 %  3/10/38    525     512  
3  GMAC Commercial Mortgage Securities Inc.  4.646 %  4/10/40    1,525     1,548  
3  GMAC Commercial Mortgage Securities Inc.  4.864 %  12/10/41    1,825     1,790  
3  GMAC Commercial Mortgage Securities Inc.  4.754 %  5/10/43    575     499  
3  Greenwich Capital Commercial Funding Corp.  4.948 %  1/11/35    2,375     2,433  
3  Greenwich Capital Commercial Funding Corp.  4.533 %  1/5/36    950     960  
3  Greenwich Capital Commercial Funding Corp.  4.915 %  1/5/36    3,375     3,395  
3  Greenwich Capital Commercial Funding Corp.  5.317 %  6/10/36    4,875     4,945  
3  Greenwich Capital Commercial Funding Corp.  5.117 %  4/10/37    2,025     2,039  
3  Greenwich Capital Commercial Funding Corp.  5.224 %  4/10/37    8,540     7,993  

20


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
3,5  Greenwich Capital Commercial Funding Corp.  5.277 %  4/10/37    1,900     1,599  
3,5  Greenwich Capital Commercial Funding Corp.  5.918 %  7/10/38    1,175     939  
3  Greenwich Capital Commercial Funding Corp.  5.475 %  3/10/39    575     410  
3  Greenwich Capital Commercial Funding Corp.  4.799 %  8/10/42    7,650     7,088  
3  GS Mortgage Securities Corp. II  5.506 %  4/10/38    5,525     5,586  
3,5  GS Mortgage Securities Corp. II  5.553 %  4/10/38    3,025     2,757  
3,5  GS Mortgage Securities Corp. II  5.622 %  4/10/38    1,725     1,376  
3  GS Mortgage Securities Corp. II  5.396 %  8/10/38    10,375     9,819  
3  GS Mortgage Securities Corp. II  4.608 %  1/10/40    4,325     4,318  
3  Harley-Davidson Motorcycle Trust  5.210 %  6/17/13    3,625     3,732  
3  Honda Auto Receivables Owner Trust  4.880 %  9/18/14    2,675     2,816  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  6.260 %  3/15/33    4,203     4,288  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.050 %  12/12/34    2,875     2,951  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  4.985 %  1/12/37    3,275     3,367  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.255 %  7/12/37    425     438  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.376 %  7/12/37    2,750     2,826  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  4.824 %  9/12/37    4,750     4,777  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  4.948 %  9/12/37    275     218  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  4.404 %  1/12/39    4,275     4,066  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.377 %  6/12/41    7,750     7,802  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  4.780 %  7/15/42    1,075     840  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.321 %  1/12/43    40     31  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.160 %  4/15/43    3,873     3,893  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.475 %  4/15/43    1,295     1,243  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.444 %  12/12/44    1,100     848  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.221 %  12/15/44    1,095     955  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.874 %  4/15/45    9,075     8,645  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.875 %  4/15/45    635     488  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.593 %  5/12/45    2,500     2,041  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.440 %  5/15/45    1,720     1,417  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.447 %  5/15/45    2,025     2,024  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.803 %  6/15/49    3,850     3,864  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.818 %  6/15/49    5,075     4,512  
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.794 %  2/12/51    9,300     7,896  

21


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
3  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.855 %  2/12/51    3,075     3,064  
3,5  JP Morgan Chase Commercial                   
  Mortgage Securities Corp.  5.882 %  2/15/51    7,600     6,511  
3,5  LB Commercial Conduit Mortgage Trust  5.950 %  7/15/44    3,495     2,379  
3  LB-UBS Commercial Mortgage Trust  5.386 %  6/15/26    446     458  
3  LB-UBS Commercial Mortgage Trust  7.370 %  8/15/26    3,363     3,412  
3  LB-UBS Commercial Mortgage Trust  4.786 %  10/15/29    6,195     5,977  
3  LB-UBS Commercial Mortgage Trust  4.742 %  2/15/30    2,850     2,766  
3  LB-UBS Commercial Mortgage Trust  4.553 %  7/15/30    366     368  
3  LB-UBS Commercial Mortgage Trust  5.197 %  11/15/30    5,705     5,547  
3  LB-UBS Commercial Mortgage Trust  6.133 %  12/15/30    1,800     1,878  
3  LB-UBS Commercial Mortgage Trust  5.217 %  2/15/31    925     778  
3  LB-UBS Commercial Mortgage Trust  4.853 %  9/15/31    5,950     6,059  
3  LB-UBS Commercial Mortgage Trust  4.960 %  12/15/31    2,375     2,418  
3  LB-UBS Commercial Mortgage Trust  4.166 %  5/15/32    2,605     2,577  
3  LB-UBS Commercial Mortgage Trust  4.931 %  9/15/35    5,900     5,971  
3,5  LB-UBS Commercial Mortgage Trust  5.661 %  3/15/39    8,600     8,143  
3  LB-UBS Commercial Mortgage Trust  5.413 %  9/15/39    425     323  
3  LB-UBS Commercial Mortgage Trust  5.424 %  2/15/40    1,200     998  
3  LB-UBS Commercial Mortgage Trust  5.430 %  2/15/40    6,000     5,119  
3  LB-UBS Commercial Mortgage Trust  5.455 %  2/15/40    1,700     1,122  
3,5  LB-UBS Commercial Mortgage Trust  5.493 %  2/15/40    1,305     888  
3,5  LB-UBS Commercial Mortgage Trust  5.263 %  11/15/40    245     214  
3,5  LB-UBS Commercial Mortgage Trust  6.149 %  4/15/41    1,970     1,443  
3,5  LB-UBS Commercial Mortgage Trust  6.149 %  4/15/41    8,650     8,308  
3  LB-UBS Commercial Mortgage Trust  5.866 %  9/15/45    8,490     7,228  
3  MBNA Master Credit Card Trust  7.800 %  10/15/12    200     205  
3  Merrill Lynch Mortgage Trust  5.236 %  11/12/35    4,150     4,158  
3  Merrill Lynch Mortgage Trust  5.107 %  7/12/38    50     42  
3  Merrill Lynch Mortgage Trust  5.655 %  5/12/39    4,100     3,860  
3,5  Merrill Lynch Mortgage Trust  5.656 %  5/12/39    625     482  
3  Merrill Lynch Mortgage Trust  5.782 %  8/12/43    1,965     1,596  
3,5  Merrill Lynch Mortgage Trust  5.291 %  1/12/44    6,675     6,434  
3,5  Merrill Lynch Mortgage Trust  5.828 %  6/12/50    14,600     11,930  
3,5  Merrill Lynch Mortgage Trust  5.828 %  6/12/50    1,175     771  
3  Merrill Lynch Mortgage Trust  5.425 %  2/12/51    1,275     1,244  
3  Merrill Lynch Mortgage Trust  5.690 %  2/12/51    3,250     2,807  
3,5  Merrill Lynch/Countrywide                   
  Commercial Mortgage Trust  5.517 %  2/12/39    275     145  
3  Merrill Lynch/Countrywide                   
  Commercial Mortgage Trust  5.909 %  6/12/46    14,950     14,699  
3  Merrill Lynch/Countrywide                   
  Commercial Mortgage Trust  5.456 %  7/12/46    300     204  
3  Merrill Lynch/Countrywide                   
  Commercial Mortgage Trust  5.378 %  8/12/48    6,975     5,302  
3  Merrill Lynch/Countrywide                   
  Commercial Mortgage Trust  5.590 %  9/12/49    3,810     3,772  
3  Merrill Lynch/Countrywide                   
  Commercial Mortgage Trust  5.700 %  9/12/49    9,770     7,962  
3  Morgan Stanley Capital I  4.970 %  4/14/40    1,625     1,619  
3,5  Morgan Stanley Capital I  5.110 %  6/15/40    4,775     4,731  
3  Morgan Stanley Capital I  5.030 %  6/13/41    425     426  
3  Morgan Stanley Capital I  5.270 %  6/13/41    2,185     2,152  
3,5  Morgan Stanley Capital I  5.810 %  8/12/41    775     621  
3  Morgan Stanley Capital I  5.328 %  11/12/41    950     906  
3  Morgan Stanley Capital I  5.360 %  11/12/41    2,626     1,950  

22


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
3  Morgan Stanley Capital I  4.970 %  12/15/41    4,450     4,440  
3  Morgan Stanley Capital I  5.168 %  1/14/42    1,500     1,506  
3,5  Morgan Stanley Capital I  5.649 %  6/11/42    4,625     4,478  
3,5  Morgan Stanley Capital I  5.649 %  6/11/42    175     125  
3  Morgan Stanley Capital I  4.989 %  8/13/42    7,250     7,097  
3  Morgan Stanley Capital I  5.230 %  9/15/42    9,800     9,573  
3  Morgan Stanley Capital I  5.769 %  10/15/42    2,700     2,619  
3,5  Morgan Stanley Capital I  5.774 %  10/15/42    75     61  
3,5  Morgan Stanley Capital I  5.207 %  11/14/42    170     148  
3,5  Morgan Stanley Capital I  5.207 %  11/14/42    5,750     5,782  
3  Morgan Stanley Capital I  6.280 %  1/11/43    6,525     6,062  
3  Morgan Stanley Capital I  5.332 %  12/15/43    2,100     1,924  
3,5  Morgan Stanley Capital I  5.385 %  3/12/44    10,375     9,909  
3,5  Morgan Stanley Capital I  5.773 %  7/12/44    1,575     1,253  
3  Morgan Stanley Capital I  4.660 %  9/13/45    2,150     2,069  
3,5  Morgan Stanley Capital I  5.691 %  4/15/49    1,600     948  
3,5  Morgan Stanley Capital I  5.544 %  11/12/49    2,500     1,827  
3  Morgan Stanley Capital I  5.809 %  12/12/49    3,425     2,897  
3  Morgan Stanley Capital I  5.090 %  10/12/52    2,650     2,678  
3,5  Morgan Stanley Capital I  5.204 %  10/12/52    1,725     1,356  
3  Morgan Stanley Capital I  4.770 %  7/15/56    1,345     1,002  
3  Morgan Stanley Dean Witter Capital I  6.660 %  2/15/33    1,274     1,308  
3  Morgan Stanley Dean Witter Capital I  6.390 %  7/15/33    1,363     1,415  
3  Morgan Stanley Dean Witter Capital I  4.920 %  3/12/35    4,325     4,360  
3  Morgan Stanley Dean Witter Capital I  6.390 %  10/15/35    2,280     2,407  
3  Morgan Stanley Dean Witter Capital I  4.740 %  11/13/36    6,505     6,374  
3  Morgan Stanley Dean Witter Capital I  5.980 %  1/15/39    3,625     3,716  
3  Nissan Auto Receivables Owner Trust  4.460 %  4/16/12    225     230  
3  Nissan Auto Receivables Owner Trust  5.050 %  11/17/14    2,275     2,413  
3  Oncor Electric Delivery Transition Bond Co. LLC  4.030 %  2/15/12    73     73  
3  PG&E Energy Recovery Funding LLC  4.140 %  9/25/12    1,032     1,048  
3  PG&E Energy Recovery Funding LLC  5.030 %  3/25/14    2,552     2,663  
3  PNC Mortgage Acceptance Corp.  7.300 %  10/12/33    178     182  
3  PSE&G Transition Funding LLC  6.890 %  12/15/17    6,975     8,104  
3  Public Service New Hampshire Funding LLC  6.480 %  5/1/15    319     344  
3  Residential Asset Securities Corp.  6.489 %  10/25/30    79     66  
3,5  Salomon Brothers Mortgage Securities VII Inc.  3.688 %  9/25/33    2,628     2,510  
3  USAA Auto Owner Trust  4.710 %  2/18/14    4,550     4,799  
3  Wachovia Bank Commercial Mortgage Trust  4.440 %  11/15/34    205     207  
3  Wachovia Bank Commercial Mortgage Trust  4.980 %  11/15/34    200     205  
3  Wachovia Bank Commercial Mortgage Trust  4.867 %  2/15/35    200     203  
3,5  Wachovia Bank Commercial Mortgage Trust  5.125 %  8/15/35    1,100     1,123  
3  Wachovia Bank Commercial Mortgage Trust  4.719 %  1/15/41    1,125     1,130  
3  Wachovia Bank Commercial Mortgage Trust  4.748 %  2/15/41    8,075     7,944  
3  Wachovia Bank Commercial Mortgage Trust  5.001 %  7/15/41    2,162     2,177  
3,5  Wachovia Bank Commercial Mortgage Trust  5.237 %  7/15/41    9,475     9,492  
3  Wachovia Bank Commercial Mortgage Trust  4.803 %  10/15/41    10,025     9,620  
3,5  Wachovia Bank Commercial Mortgage Trust  5.083 %  3/15/42    5,425     5,370  
3  Wachovia Bank Commercial Mortgage Trust  5.118 %  7/15/42    2,825     2,727  
3,5  Wachovia Bank Commercial Mortgage Trust  5.740 %  5/15/43    7,250     7,022  
3,5  Wachovia Bank Commercial Mortgage Trust  5.740 %  5/15/43    2,075     1,614  
3  Wachovia Bank Commercial Mortgage Trust  4.699 %  5/15/44    4,900     4,675  
3,5  Wachovia Bank Commercial Mortgage Trust  5.209 %  10/15/44    6,475     6,395  
3,5  Wachovia Bank Commercial Mortgage Trust  5.265 %  12/15/44    10,950     10,944  
3,5  Wachovia Bank Commercial Mortgage Trust  5.315 %  12/15/44    60     51  
3,5  Wachovia Bank Commercial Mortgage Trust  5.956 %  6/15/45    475     368  
3,5  Wachovia Bank Commercial Mortgage Trust  5.765 %  7/15/45    2,950     2,673  

23


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
3,5  Wachovia Bank Commercial Mortgage Trust  5.818 %  5/15/46    1,540     1,020  
3  Wachovia Bank Commercial Mortgage Trust  5.313 %  11/15/48    5,275     4,999  
3  Wachovia Bank Commercial Mortgage Trust  5.339 %  11/15/48    3,850     2,885  
3  World Omni Auto Receivables Trust  3.940 %  10/15/12    5,650     5,761  
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $833,148)          960,201  
Corporate Bonds (19.5%)                   
Finance (7.0%)                   
  Banking (4.7%)                   
3  Abbey National Capital Trust I  8.963 %  12/29/49    500     492  
  Abbey National PLC  7.950 %  10/26/29    2,575     2,869  
  ABN Amro Bank NV  4.650 %  6/4/18    100     80  
  American Express Bank FSB  5.550 %  10/17/12    1,300     1,383  
  American Express Bank FSB  5.500 %  4/16/13    3,275     3,478  
  American Express Bank FSB  6.000 %  9/13/17    1,500     1,548  
  American Express Centurion Bank  5.550 %  10/17/12    1,025     1,093  
  American Express Centurion Bank  5.950 %  6/12/17    650     674  
  American Express Centurion Bank  6.000 %  9/13/17    9,450     9,810  
  American Express Co.  4.875 %  7/15/13    1,575     1,639  
  American Express Co.  7.250 %  5/20/14    1,250     1,409  
  American Express Co.  5.500 %  9/12/16    1,025     1,055  
  American Express Co.  6.150 %  8/28/17    2,025     2,113  
  American Express Co.  7.000 %  3/19/18    12,050     13,290  
  American Express Co.  8.125 %  5/20/19    1,625     1,930  
  American Express Co.  8.150 %  3/19/38    525     650  
3  American Express Co.  6.800 %  9/1/66    2,125     1,839  
  American Express Credit Corp.  5.000 %  12/2/10    1,925     1,987  
  American Express Credit Corp.  5.875 %  5/2/13    3,175     3,399  
  American Express Credit Corp.  7.300 %  8/20/13    6,300     7,084  
  American Express Credit Corp.  5.125 %  8/25/14    2,900     3,057  
4  American Express Travel Related Services Co. Inc.  5.250 %  11/21/11    2,400     2,504  
  Amsouth Bank  5.200 %  4/1/15    1,825     1,571  
  Associates Corp. of North America  6.950 %  11/1/18    100     101  
  Banco Santander Chile  2.875 %  11/13/12    2,000     2,012  
  Bank of America Corp.  4.250 %  10/1/10    1,000     1,026  
  Bank of America Corp.  4.375 %  12/1/10    1,425     1,469  
  Bank of America Corp.  5.375 %  8/15/11    1,100     1,160  
  Bank of America Corp.  5.375 %  9/11/12    2,175     2,307  
  Bank of America Corp.  4.875 %  9/15/12    5,100     5,338  
  Bank of America Corp.  4.875 %  1/15/13    2,825     2,946  
  Bank of America Corp.  4.900 %  5/1/13    6,925     7,176  
  Bank of America Corp.  7.375 %  5/15/14    9,650     10,943  
  Bank of America Corp.  5.375 %  6/15/14    1,075     1,120  
  Bank of America Corp.  5.125 %  11/15/14    6,350     6,570  
  Bank of America Corp.  4.750 %  8/1/15    275     279  
  Bank of America Corp.  5.250 %  12/1/15    1,225     1,235  
  Bank of America Corp.  6.500 %  8/1/16    10,100     10,888  
  Bank of America Corp.  5.750 %  8/15/16    3,250     3,279  
  Bank of America Corp.  5.625 %  10/14/16    2,325     2,362  
  Bank of America Corp.  5.420 %  3/15/17    5,375     5,328  
  Bank of America Corp.  6.000 %  9/1/17    400     418  
  Bank of America Corp.  5.750 %  12/1/17    1,575     1,622  
  Bank of America Corp.  5.650 %  5/1/18    14,850     15,108  
  Bank of America Corp.  7.625 %  6/1/19    4,025     4,657  
  Bank of America Corp.  6.800 %  3/15/28    600     586  
  Bank of America Corp.  6.500 %  9/15/37    875     850  
  Bank of America NA  5.300 %  3/15/17    6,650     6,499  

24


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Bank of America NA  6.100 %  6/15/17    1,975     2,008  
Bank of America NA  6.000 %  10/15/36    4,225     4,085  
Bank of New York Mellon Corp.  4.950 %  1/14/11    1,125     1,167  
Bank of New York Mellon Corp.  6.375 %  4/1/12    100     109  
Bank of New York Mellon Corp.  4.950 %  11/1/12    9,500     10,233  
Bank of New York Mellon Corp.  4.500 %  4/1/13    525     553  
Bank of New York Mellon Corp.  5.125 %  8/27/13    1,000     1,079  
Bank of New York Mellon Corp.  4.300 %  5/15/14    2,000     2,103  
Bank of New York Mellon Corp.  4.950 %  3/15/15    2,325     2,450  
Bank of New York Mellon Corp.  5.450 %  5/15/19    3,645     3,823  
4 Bank of Scotland PLC  5.250 %  2/21/17    4,300     4,278  
Bank of Tokyo-Mitsubishi UFJ Ltd.  7.400 %  6/15/11    450     487  
Bank One Corp.  5.900 %  11/15/11    1,150     1,229  
Bank One Corp.  5.250 %  1/30/13    1,450     1,535  
Bank One Corp.  4.900 %  4/30/15    975     1,006  
Bank One Corp.  7.625 %  10/15/26    425     483  
Banque Paribas  6.950 %  7/22/13    325     357  
Barclays Bank PLC  5.450 %  9/12/12    1,450     1,568  
Barclays Bank PLC  2.500 %  1/23/13    2,325     2,323  
Barclays Bank PLC  5.200 %  7/10/14    5,800     6,175  
Barclays Bank PLC  5.000 %  9/22/16    2,450     2,508  
Barclays Bank PLC  6.750 %  5/22/19    2,175     2,442  
BB&T Capital Trust II  6.750 %  6/7/36    2,675     2,493  
3 BB&T Capital Trust IV  6.820 %  6/12/57    1,050     947  
BB&T Corp.  6.500 %  8/1/11    675     719  
BB&T Corp.  3.850 %  7/27/12    2,375     2,461  
BB&T Corp.  4.750 %  10/1/12    1,675     1,747  
BB&T Corp.  3.375 %  9/25/13    2,725     2,748  
BB&T Corp.  5.700 %  4/30/14    1,750     1,889  
BB&T Corp.  5.200 %  12/23/15    1,575     1,641  
BB&T Corp.  4.900 %  6/30/17    100     97  
BB&T Corp.  6.850 %  4/30/19    1,750     1,983  
BB&T Corp.  5.250 %  11/1/19    4,350     4,272  
Bear Stearns Cos. LLC  4.500 %  10/28/10    850     877  
Bear Stearns Cos. LLC  5.350 %  2/1/12    6,600     7,018  
Bear Stearns Cos. LLC  6.950 %  8/10/12    2,475     2,765  
Bear Stearns Cos. LLC  5.700 %  11/15/14    4,825     5,276  
Bear Stearns Cos. LLC  5.300 %  10/30/15    1,900     2,021  
Bear Stearns Cos. LLC  5.550 %  1/22/17    1,850     1,889  
Bear Stearns Cos. LLC  6.400 %  10/2/17    2,025     2,227  
Bear Stearns Cos. LLC  7.250 %  2/1/18    3,975     4,578  
Bear Stearns Cos. LLC  4.650 %  7/2/18    425     409  
BNP Paribas US Medium-Term Note Program LLC  2.125 %  12/21/12    350     350  
BNY Mellon NA  4.750 %  12/15/14    3,350     3,527  
Branch Banking & Trust Co.  5.625 %  9/15/16    1,875     1,853  
Capital One Bank USA NA  6.500 %  6/13/13    1,150     1,233  
Capital One Bank USA NA  8.800 %  7/15/19    7,200     8,556  
Capital One Capital III  7.686 %  8/15/36    2,025     1,782  
Capital One Capital IV  6.745 %  2/17/37    850     705  
Capital One Capital V  10.250 %  8/15/39    625     728  
Capital One Capital VI  8.875 %  5/15/40    700     745  
Capital One Financial Corp.  5.700 %  9/15/11    1,075     1,133  
Capital One Financial Corp.  4.800 %  2/21/12    525     545  
Capital One Financial Corp.  7.375 %  5/23/14    2,500     2,832  
Capital One Financial Corp.  5.500 %  6/1/15    2,800     2,920  
Capital One Financial Corp.  6.150 %  9/1/16    1,875     1,891  
Capital One Financial Corp.  5.250 %  2/21/17    1,075     1,057  

25


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Capital One Financial Corp.  6.750 %  9/15/17    1,575     1,690  
  Charter One Bank NA  5.500 %  4/26/11    3,425     3,507  
3,4  Citicorp Lease Pass-Through Trust 1999-1  8.040 %  12/15/19    4,025     3,930  
  Citigroup Inc.  6.500 %  1/18/11    3,400     3,554  
  Citigroup Inc.  5.125 %  2/14/11    1,800     1,856  
  Citigroup Inc.  5.100 %  9/29/11    5,450     5,648  
  Citigroup Inc.  6.000 %  2/21/12    1,525     1,610  
  Citigroup Inc.  5.250 %  2/27/12    3,875     4,030  
  Citigroup Inc.  5.500 %  8/27/12    1,050     1,091  
  Citigroup Inc.  5.625 %  8/27/12    2,900     2,986  
  Citigroup Inc.  5.300 %  10/17/12    12,725     13,307  
  Citigroup Inc.  5.500 %  4/11/13    8,325     8,645  
  Citigroup Inc.  6.500 %  8/19/13    6,450     6,880  
  Citigroup Inc.  5.125 %  5/5/14    825     829  
  Citigroup Inc.  6.375 %  8/12/14    6,125     6,407  
  Citigroup Inc.  5.000 %  9/15/14    10,150     9,806  
  Citigroup Inc.  5.500 %  10/15/14    4,850     4,920  
  Citigroup Inc.  6.010 %  1/15/15    3,250     3,339  
  Citigroup Inc.  4.700 %  5/29/15    1,000     966  
  Citigroup Inc.  5.300 %  1/7/16    5,550     5,428  
  Citigroup Inc.  5.500 %  2/15/17    850     807  
  Citigroup Inc.  6.000 %  8/15/17    4,325     4,326  
  Citigroup Inc.  6.125 %  11/21/17    9,625     9,773  
  Citigroup Inc.  6.125 %  5/15/18    8,633     8,654  
  Citigroup Inc.  8.500 %  5/22/19    8,875     10,284  
  Citigroup Inc.  6.625 %  6/15/32    1,925     1,785  
  Citigroup Inc.  5.875 %  2/22/33    3,250     2,728  
  Citigroup Inc.  6.000 %  10/31/33    2,525     2,135  
  Citigroup Inc.  5.850 %  12/11/34    650     560  
  Citigroup Inc.  6.125 %  8/25/36    2,100     1,791  
  Citigroup Inc.  5.875 %  5/29/37    4,550     4,053  
  Citigroup Inc.  6.875 %  3/5/38    4,500     4,494  
  Citigroup Inc.  8.125 %  7/15/39    2,700     3,082  
  Comerica Bank  5.750 %  11/21/16    3,775     3,643  
  Comerica Bank  5.200 %  8/22/17    2,800     2,611  
3  Comerica Capital Trust II  6.576 %  2/20/37    950     760  
  Comerica Inc.  4.800 %  5/1/15    2,600     2,404  
  Compass Bank  6.400 %  10/1/17    900     901  
  Compass Bank  5.900 %  4/1/26    650     538  
4  Corestates Capital I  8.000 %  12/15/26    1,600     1,584  
  Countrywide Financial Corp.  5.800 %  6/7/12    1,800     1,912  
  Countrywide Financial Corp.  6.250 %  5/15/16    450     459  
  Countrywide Home Loans Inc.  4.000 %  3/22/11    800     821  
  Credit Suisse  5.000 %  5/15/13    3,975     4,237  
  Credit Suisse  5.500 %  5/1/14    7,200     7,816  
  Credit Suisse  6.000 %  2/15/18    6,150     6,456  
  Credit Suisse  5.300 %  8/13/19    8,025     8,307  
3  Credit Suisse  5.860 %  5/15/49    2,450     2,174  
  Credit Suisse USA Inc.  4.875 %  8/15/10    5,725     5,877  
  Credit Suisse USA Inc.  5.250 %  3/2/11    2,500     2,620  
  Credit Suisse USA Inc.  5.500 %  8/16/11    1,475     1,567  
  Credit Suisse USA Inc.  6.125 %  11/15/11    3,825     4,144  
  Credit Suisse USA Inc.  6.500 %  1/15/12    975     1,062  
  Credit Suisse USA Inc.  5.500 %  8/15/13    4,500     4,859  
  Credit Suisse USA Inc.  5.125 %  1/15/14    625     668  
  Credit Suisse USA Inc.  4.875 %  1/15/15    5,435     5,701  
  Credit Suisse USA Inc.  5.125 %  8/15/15    3,665     3,902  

26


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Credit Suisse USA Inc.  7.125 %  7/15/32    1,425     1,676  
Deutsche Bank AG  5.375 %  10/12/12    5,850     6,318  
Deutsche Bank AG  4.875 %  5/20/13    5,500     5,849  
Deutsche Bank AG  6.000 %  9/1/17    9,375     10,221  
Deutsche Bank Financial LLC  5.375 %  3/2/15    1,800     1,872  
FIA Card Services NA  6.625 %  6/15/12    1,100     1,168  
Fifth Third Bancorp  6.250 %  5/1/13    100     104  
Fifth Third Bancorp  4.500 %  6/1/18    725     590  
Fifth Third Bancorp  8.250 %  3/1/38    2,725     2,560  
Fifth Third Bank/Ohio  4.750 %  2/1/15    2,800     2,671  
3 Fifth Third Capital Trust IV  6.500 %  4/15/67    950     693  
First Tennessee Bank NA  5.050 %  1/15/15    500     442  
First Union Institutional Capital I  8.040 %  12/1/26    525     524  
Golden West Financial Corp.  4.750 %  10/1/12    975     1,021  
Goldman Sachs Capital I  6.345 %  2/15/34    4,975     4,638  
3 Goldman Sachs Capital II  5.793 %  12/29/49    2,550     1,963  
Goldman Sachs Group Inc.  4.500 %  6/15/10    2,350     2,392  
Goldman Sachs Group Inc.  6.875 %  1/15/11    3,175     3,372  
Goldman Sachs Group Inc.  6.600 %  1/15/12    6,750     7,314  
Goldman Sachs Group Inc.  5.300 %  2/14/12    325     345  
Goldman Sachs Group Inc.  5.700 %  9/1/12    275     297  
Goldman Sachs Group Inc.  5.450 %  11/1/12    3,550     3,821  
Goldman Sachs Group Inc.  5.250 %  4/1/13    3,150     3,326  
Goldman Sachs Group Inc.  4.750 %  7/15/13    4,275     4,472  
Goldman Sachs Group Inc.  5.250 %  10/15/13    5,100     5,416  
Goldman Sachs Group Inc.  5.150 %  1/15/14    2,050     2,172  
Goldman Sachs Group Inc.  6.000 %  5/1/14    17,425     19,095  
Goldman Sachs Group Inc.  5.000 %  10/1/14    11,175     11,759  
Goldman Sachs Group Inc.  5.125 %  1/15/15    6,525     6,858  
Goldman Sachs Group Inc.  5.350 %  1/15/16    6,200     6,447  
Goldman Sachs Group Inc.  5.750 %  10/1/16    2,000     2,113  
Goldman Sachs Group Inc.  5.625 %  1/15/17    4,275     4,397  
Goldman Sachs Group Inc.  6.250 %  9/1/17    8,625     9,254  
Goldman Sachs Group Inc.  5.950 %  1/18/18    5,775     6,096  
Goldman Sachs Group Inc.  6.150 %  4/1/18    10,125     10,841  
Goldman Sachs Group Inc.  7.500 %  2/15/19    4,000     4,666  
Goldman Sachs Group Inc.  5.950 %  1/15/27    4,650     4,479  
Goldman Sachs Group Inc.  6.125 %  2/15/33    4,900     5,016  
Goldman Sachs Group Inc.  6.450 %  5/1/36    2,175     2,144  
Goldman Sachs Group Inc.  6.750 %  10/1/37    11,025     11,255  
4 HBOS PLC  6.750 %  5/21/18    2,075     1,920  
HSBC Bank PLC  6.950 %  3/15/11    2,625     2,744  
HSBC Bank USA NA  4.625 %  4/1/14    3,975     4,150  
HSBC Bank USA NA  5.875 %  11/1/34    1,200     1,159  
HSBC Bank USA NA  5.625 %  8/15/35    1,225     1,123  
HSBC Holdings PLC  7.625 %  5/17/32    325     352  
HSBC Holdings PLC  7.350 %  11/27/32    600     654  
HSBC Holdings PLC  6.500 %  5/2/36    5,000     5,236  
HSBC Holdings PLC  6.500 %  9/15/37    5,850     6,116  
HSBC Holdings PLC  6.800 %  6/1/38    1,325     1,433  
4 ICICI Bank Ltd.  6.625 %  10/3/12    4,525     4,763  
JP Morgan Chase Capital XV  5.875 %  3/15/35    2,125     1,881  
JP Morgan Chase Capital XVII  5.850 %  8/1/35    250     216  
JP Morgan Chase Capital XX  6.550 %  9/29/36    2,250     2,081  
JP Morgan Chase Capital XXII  6.450 %  2/2/37    4,175     3,834  
JP Morgan Chase Capital XXV  6.800 %  10/1/37    2,775     2,745  
JPMorgan Chase & Co.  6.750 %  2/1/11    950     1,006  

27


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
JPMorgan Chase & Co.  5.600 %  6/1/11    200     212  
JPMorgan Chase & Co.  4.850 %  6/16/11    2,425     2,544  
JPMorgan Chase & Co.  4.500 %  1/15/12    3,075     3,236  
JPMorgan Chase & Co.  6.625 %  3/15/12    2,975     3,252  
JPMorgan Chase & Co.  5.375 %  10/1/12    5,950     6,453  
JPMorgan Chase & Co.  5.750 %  1/2/13    2,175     2,340  
JPMorgan Chase & Co.  4.750 %  5/1/13    4,450     4,698  
JPMorgan Chase & Co.  5.375 %  1/15/14    450     482  
JPMorgan Chase & Co.  4.875 %  3/15/14    8,800     9,175  
JPMorgan Chase & Co.  4.650 %  6/1/14    4,600     4,856  
JPMorgan Chase & Co.  5.125 %  9/15/14    15,215     16,090  
JPMorgan Chase & Co.  4.750 %  3/1/15    6,975     7,301  
JPMorgan Chase & Co.  5.250 %  5/1/15    2,025     2,106  
JPMorgan Chase & Co.  5.150 %  10/1/15    2,525     2,621  
JPMorgan Chase & Co.  6.125 %  6/27/17    3,675     3,875  
JPMorgan Chase & Co.  6.000 %  1/15/18    950     1,028  
JPMorgan Chase & Co.  6.300 %  4/23/19    17,600     19,467  
JPMorgan Chase & Co.  6.400 %  5/15/38    10,650     11,731  
JPMorgan Chase Bank NA  5.875 %  6/13/16    1,350     1,415  
JPMorgan Chase Capital XXVII  7.000 %  11/1/39    975     990  
KeyBank NA  7.000 %  2/1/11    275     286  
KeyBank NA  5.500 %  9/17/12    2,000     2,077  
KeyBank NA  5.800 %  7/1/14    850     833  
KeyBank NA  4.950 %  9/15/15    2,025     1,893  
KeyBank NA  5.450 %  3/3/16    2,500     2,301  
KeyCorp  6.500 %  5/14/13    1,500     1,546  
M&I Marshall & Ilsley Bank  5.250 %  9/4/12    225     202  
M&I Marshall & Ilsley Bank  4.850 %  6/16/15    350     273  
M&I Marshall & Ilsley Bank  5.000 %  1/17/17    100     78  
Manufacturers & Traders Trust Co.  6.625 %  12/4/17    2,475     2,528  
3 Manufacturers & Traders Trust Co.  5.585 %  12/28/20    100     83  
MBNA Corp.  7.500 %  3/15/12    1,125     1,232  
MBNA Corp.  6.125 %  3/1/13    1,375     1,451  
MBNA Corp.  5.000 %  6/15/15    1,425     1,422  
Mellon Funding Corp.  6.400 %  5/14/11    100     106  
Mellon Funding Corp.  5.000 %  12/1/14    425     453  
Merrill Lynch & Co. Inc.  4.790 %  8/4/10    525     536  
Merrill Lynch & Co. Inc.  5.770 %  7/25/11    1,075     1,137  
Merrill Lynch & Co. Inc.  6.050 %  8/15/12    3,475     3,735  
Merrill Lynch & Co. Inc.  5.450 %  2/5/13    3,225     3,395  
Merrill Lynch & Co. Inc.  6.150 %  4/25/13    7,200     7,819  
Merrill Lynch & Co. Inc.  5.000 %  2/3/14    5,325     5,460  
Merrill Lynch & Co. Inc.  5.450 %  7/15/14    850     894  
Merrill Lynch & Co. Inc.  5.000 %  1/15/15    11,281     11,505  
Merrill Lynch & Co. Inc.  6.050 %  5/16/16    1,025     1,036  
Merrill Lynch & Co. Inc.  5.700 %  5/2/17    5,825     5,720  
Merrill Lynch & Co. Inc.  6.400 %  8/28/17    5,425     5,679  
Merrill Lynch & Co. Inc.  6.875 %  4/25/18    16,925     18,263  
Merrill Lynch & Co. Inc.  6.500 %  7/15/18    100     103  
Merrill Lynch & Co. Inc.  6.220 %  9/15/26    4,525     4,301  
Merrill Lynch & Co. Inc.  6.110 %  1/29/37    2,375     2,175  
Merrill Lynch & Co. Inc.  7.750 %  5/14/38    4,200     4,627  
Morgan Stanley  4.000 %  1/15/10    800     801  
Morgan Stanley  5.050 %  1/21/11    3,925     4,071  
Morgan Stanley  6.750 %  4/15/11    2,000     2,122  
Morgan Stanley  5.625 %  1/9/12    9,020     9,560  
Morgan Stanley  6.600 %  4/1/12    3,400     3,690  

28


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Morgan Stanley  5.750 %  8/31/12    2,350     2,534  
  Morgan Stanley  5.300 %  3/1/13    4,500     4,757  
  Morgan Stanley  6.750 %  10/15/13    200     219  
  Morgan Stanley  4.750 %  4/1/14    13,900     13,987  
  Morgan Stanley  6.000 %  5/13/14    12,050     12,937  
  Morgan Stanley  4.200 %  11/20/14    5,825     5,819  
  Morgan Stanley  6.000 %  4/28/15    5,975     6,366  
  Morgan Stanley  5.375 %  10/15/15    2,100     2,189  
  Morgan Stanley  5.750 %  10/18/16    4,700     4,901  
  Morgan Stanley  5.450 %  1/9/17    3,225     3,272  
  Morgan Stanley  5.550 %  4/27/17    1,375     1,397  
  Morgan Stanley  5.950 %  12/28/17    5,100     5,291  
  Morgan Stanley  6.625 %  4/1/18    11,275     12,232  
  Morgan Stanley  7.300 %  5/13/19    9,300     10,448  
  Morgan Stanley  5.625 %  9/23/19    9,000     9,065  
  Morgan Stanley  6.250 %  8/9/26    5,425     5,574  
  Morgan Stanley  7.250 %  4/1/32    750     867  
  National City Bank  6.250 %  3/15/11    625     652  
  National City Bank  4.625 %  5/1/13    725     736  
  National City Corp.  4.900 %  1/15/15    850     871  
  National City Corp.  6.875 %  5/15/19    525     567  
3  National City Preferred Capital Trust I  12.000 %  12/31/49    1,575     1,803  
4  Nationwide Building Society  5.500 %  7/18/12    7,275     7,766  
  North Fork Bancorporation Inc.  5.875 %  8/15/12    100     104  
4  Northern Rock PLC  5.625 %  6/22/17    14,075     13,486  
  Northern Trust Co.  6.500 %  8/15/18    425     470  
  Northern Trust Corp.  5.500 %  8/15/13    425     461  
  Northern Trust Corp.  4.625 %  5/1/14    1,025     1,093  
  PNC Bank NA  4.875 %  9/21/17    3,575     3,385  
  PNC Bank NA  6.000 %  12/7/17    325     329  
  PNC Funding Corp.  5.125 %  12/14/10    1,450     1,506  
  PNC Funding Corp.  5.400 %  6/10/14    475     512  
  PNC Funding Corp.  4.250 %  9/21/15    650     663  
  PNC Funding Corp.  5.250 %  11/15/15    2,825     2,897  
  PNC Funding Corp.  5.625 %  2/1/17    325     326  
  PNC Funding Corp.  6.700 %  6/10/19    1,075     1,198  
  Regions Bank  7.500 %  5/15/18    325     298  
  Regions Financial Corp.  6.375 %  5/15/12    1,100     1,050  
  Regions Financial Corp.  7.750 %  11/10/14    1,625     1,629  
  Regions Financial Corp.  7.375 %  12/10/37    1,050     860  
  Royal Bank of Canada  4.125 %  1/26/10    1,000     1,002  
  Royal Bank of Scotland Group PLC  6.375 %  2/1/11    325     328  
  Royal Bank of Scotland Group PLC  5.050 %  1/8/15    1,800     1,559  
  Royal Bank of Scotland Group PLC  6.400 %  10/21/19    10,150     10,049  
4  Royal Bank of Scotland PLC  4.875 %  8/25/14    1,800     1,807  
  Santander Financial Issuances Ltd.  6.375 %  2/15/11    600     625  
  SouthTrust Corp.  5.800 %  6/15/14    750     783  
  Sovereign Bank  5.125 %  3/15/13    625     635  
  Sovereign Bank  8.750 %  5/30/18    675     777  
3,4  Standard Chartered PLC  6.409 %  12/31/49    1,975     1,600  
  State Street Bank and Trust Co.  5.300 %  1/15/16    900     914  
  State Street Corp.  4.300 %  5/30/14    1,600     1,664  
  Sumitomo Mitsui Banking Corp.  8.000 %  6/15/12    4,075     4,555  
  SunTrust Bank  6.375 %  4/1/11    1,900     1,976  
  SunTrust Bank  5.000 %  9/1/15    100     96  
  SunTrust Bank  5.450 %  12/1/17    100     96  
  SunTrust Bank  7.250 %  3/15/18    375     389  

29


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
SunTrust Banks Inc.  5.250 %  11/5/12    1,800     1,866  
SunTrust Banks Inc.  6.000 %  9/11/17    1,300     1,289  
SunTrust Banks Inc.  6.000 %  2/15/26    1,450     1,175  
SunTrust Capital VIII  6.100 %  12/15/36    657     456  
UBS AG  7.000 %  10/15/15    1,000     1,061  
UBS AG  5.875 %  7/15/16    2,325     2,359  
UBS AG  7.375 %  6/15/17    1,050     1,101  
UBS AG  5.875 %  12/20/17    6,525     6,716  
UBS AG  5.750 %  4/25/18    3,000     3,062  
UFJ Finance Aruba AEC  6.750 %  7/15/13    9,750     10,706  
Union Bank NA  5.950 %  5/11/16    1,375     1,376  
Union Planters Corp.  4.375 %  12/1/10    200     200  
Union Planters Corp.  7.750 %  3/1/11    2,350     2,304  
UnionBanCal Corp.  5.250 %  12/16/13    700     713  
US Bank NA  6.375 %  8/1/11    2,200     2,366  
US Bank NA  6.300 %  2/4/14    3,150     3,479  
US Bank NA  4.950 %  10/30/14    4,800     5,109  
3 USB Capital IX  6.189 %  4/15/49    2,625     2,113  
USB Capital XIII Trust  6.625 %  12/15/39    675     678  
Wachovia Bank NA  7.800 %  8/18/10    2,850     2,979  
Wachovia Bank NA  4.800 %  11/1/14    425     432  
Wachovia Bank NA  4.875 %  2/1/15    6,050     6,186  
Wachovia Bank NA  5.000 %  8/15/15    325     330  
Wachovia Bank NA  6.000 %  11/15/17    2,500     2,621  
Wachovia Bank NA  5.850 %  2/1/37    5,775     5,581  
Wachovia Bank NA  6.600 %  1/15/38    4,225     4,457  
3 Wachovia Capital Trust III  5.800 %  3/15/11    4,100     3,116  
Wachovia Corp.  5.300 %  10/15/11    4,125     4,384  
Wachovia Corp.  5.500 %  5/1/13    4,740     5,069  
Wachovia Corp.  4.875 %  2/15/14    5,275     5,369  
Wachovia Corp.  5.250 %  8/1/14    1,900     1,967  
Wachovia Corp.  5.625 %  10/15/16    3,800     3,872  
Wachovia Corp.  5.750 %  6/15/17    5,425     5,649  
Wachovia Corp.  5.750 %  2/1/18    325     338  
Wachovia Corp.  6.605 %  10/1/25    100     96  
Wachovia Corp.  7.500 %  4/15/35    275     287  
Wachovia Corp.  5.500 %  8/1/35    1,325     1,186  
Wachovia Corp.  6.550 %  10/15/35    250     234  
Wells Fargo & Co.  4.200 %  1/15/10    1,025     1,026  
Wells Fargo & Co.  4.875 %  1/12/11    3,425     3,555  
Wells Fargo & Co.  6.375 %  8/1/11    425     454  
Wells Fargo & Co.  5.300 %  8/26/11    9,575     10,130  
Wells Fargo & Co.  5.125 %  9/1/12    1,200     1,264  
Wells Fargo & Co.  5.250 %  10/23/12    11,575     12,379  
Wells Fargo & Co.  4.375 %  1/31/13    5,100     5,284  
Wells Fargo & Co.  4.950 %  10/16/13    1,150     1,196  
Wells Fargo & Co.  3.750 %  10/1/14    2,050     2,047  
Wells Fargo & Co.  5.625 %  12/11/17    6,725     6,976  
Wells Fargo & Co.  5.375 %  2/7/35    4,700     4,370  
Wells Fargo Bank NA  6.450 %  2/1/11    4,150     4,356  
Wells Fargo Bank NA  4.750 %  2/9/15    4,925     5,036  
Wells Fargo Bank NA  5.750 %  5/16/16    3,600     3,687  
Wells Fargo Bank NA  5.950 %  8/26/36    700     674  
Wells Fargo Capital X  5.950 %  12/15/36    725     631  
3 Wells Fargo Capital XIII  7.700 %  12/29/49    2,325     2,255  
3 Wells Fargo Capital XV  9.750 %  12/29/49    3,650     3,942  
Wells Fargo Financial Inc.  5.500 %  8/1/12    1,225     1,312  

30


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Westpac Banking Corp.  2.250 %  11/19/12    3,725     3,713  
Westpac Banking Corp.  4.200 %  2/27/15    5,325     5,410  
Westpac Banking Corp.  4.875 %  11/19/19    3,725     3,678  
 
Brokerage (0.1%)                   
Ameriprise Financial Inc.  5.650 %  11/15/15    1,550     1,644  
3 Ameriprise Financial Inc.  7.518 %  6/1/66    325     281  
BlackRock Inc.  2.250 %  12/10/12    2,300     2,289  
BlackRock Inc.  3.500 %  12/10/14    1,700     1,683  
BlackRock Inc.  6.250 %  9/15/17    1,150     1,239  
BlackRock Inc.  5.000 %  12/10/19    100     98  
Charles Schwab Corp.  4.950 %  6/1/14    3,925     4,150  
4 FMR LLC  7.490 %  6/15/19    200     224  
Jefferies Group Inc.  8.500 %  7/15/19    1,775     1,902  
Jefferies Group Inc.  6.450 %  6/8/27    3,800     3,193  
Jefferies Group Inc.  6.250 %  1/15/36    4,225     3,350  
Lazard Group LLC  6.850 %  6/15/17    2,675     2,692  
TD Ameritrade Holding Corp.  2.950 %  12/1/12    775     769  
TD Ameritrade Holding Corp.  4.150 %  12/1/14    1,025     1,013  
TD Ameritrade Holding Corp.  5.600 %  12/1/19    925     919  
 
Finance Companies (0.9%)                   
Block Financial LLC  7.875 %  1/15/13    525     584  
Discover Financial Services  6.450 %  6/12/17    325     305  
GATX Corp.  4.750 %  10/1/12    1,000     1,026  
General Electric Capital Corp.  4.250 %  9/13/10    1,025     1,049  
General Electric Capital Corp.  5.000 %  12/1/10    525     545  
General Electric Capital Corp.  5.200 %  2/1/11    600     624  
General Electric Capital Corp.  6.125 %  2/22/11    3,700     3,907  
General Electric Capital Corp.  5.500 %  4/28/11    2,075     2,184  
General Electric Capital Corp.  5.000 %  11/15/11    4,225     4,467  
General Electric Capital Corp.  4.375 %  11/21/11    550     572  
General Electric Capital Corp.  5.875 %  2/15/12    3,950     4,233  
General Electric Capital Corp.  4.375 %  3/3/12    4,000     4,155  
General Electric Capital Corp.  5.000 %  4/10/12    100     105  
General Electric Capital Corp.  6.000 %  6/15/12    15,175     16,380  
General Electric Capital Corp.  3.500 %  8/13/12    3,775     3,848  
General Electric Capital Corp.  5.250 %  10/19/12    19,100     20,339  
General Electric Capital Corp.  5.450 %  1/15/13    2,975     3,173  
General Electric Capital Corp.  4.800 %  5/1/13    3,425     3,588  
General Electric Capital Corp.  5.900 %  5/13/14    8,625     9,398  
General Electric Capital Corp.  5.500 %  6/4/14    5,150     5,471  
General Electric Capital Corp.  5.650 %  6/9/14    5,800     6,208  
General Electric Capital Corp.  3.750 %  11/14/14    7,350     7,300  
General Electric Capital Corp.  5.400 %  2/15/17    8,875     9,012  
General Electric Capital Corp.  5.625 %  9/15/17    1,775     1,785  
General Electric Capital Corp.  5.625 %  5/1/18    14,275     14,595  
General Electric Capital Corp.  6.000 %  8/7/19    10,675     11,078  
General Electric Capital Corp.  6.750 %  3/15/32    9,150     9,323  
General Electric Capital Corp.  6.150 %  8/7/37    5,350     5,075  
General Electric Capital Corp.  5.875 %  1/14/38    12,200     11,318  
General Electric Capital Corp.  6.875 %  1/10/39    6,125     6,313  
3 General Electric Capital Corp.  6.375 %  11/15/67    3,675     3,197  
3 HSBC Finance Capital Trust IX  5.911 %  11/30/35    675     552  
HSBC Finance Corp.  5.250 %  1/14/11    4,300     4,475  
HSBC Finance Corp.  5.700 %  6/1/11    3,075     3,214  
HSBC Finance Corp.  6.375 %  10/15/11    1,775     1,892  

31


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
HSBC Finance Corp.  7.000 %  5/15/12    4,225     4,596  
HSBC Finance Corp.  5.900 %  6/19/12    1,250     1,332  
HSBC Finance Corp.  6.375 %  11/27/12    5,350     5,860  
HSBC Finance Corp.  4.750 %  7/15/13    625     652  
HSBC Finance Corp.  5.250 %  1/15/14    1,800     1,887  
HSBC Finance Corp.  5.000 %  6/30/15    9,900     10,272  
HSBC Finance Corp.  5.500 %  1/19/16    425     443  
International Lease Finance Corp.  4.950 %  2/1/11    4,025     3,743  
International Lease Finance Corp.  5.450 %  3/24/11    1,550     1,426  
International Lease Finance Corp.  5.750 %  6/15/11    2,000     1,830  
International Lease Finance Corp.  5.300 %  5/1/12    1,650     1,402  
International Lease Finance Corp.  5.000 %  9/15/12    2,000     1,680  
International Lease Finance Corp.  6.375 %  3/25/13    2,225     1,847  
International Lease Finance Corp.  5.625 %  9/20/13    3,450     2,700  
International Lease Finance Corp.  5.650 %  6/1/14    1,675     1,273  
SLM Corp.  5.400 %  10/25/11    7,050     7,044  
SLM Corp.  5.375 %  1/15/13    1,150     1,094  
SLM Corp.  5.000 %  10/1/13    1,250     1,147  
SLM Corp.  5.375 %  5/15/14    150     137  
SLM Corp.  5.050 %  11/14/14    975     880  
SLM Corp.  8.450 %  6/15/18    4,950     4,877  
SLM Corp.  5.625 %  8/1/33    2,000     1,521  
 
Insurance (1.0%)                   
ACE Capital Trust II  9.700 %  4/1/30    1,000     1,143  
ACE INA Holdings Inc.  5.600 %  5/15/15    1,725     1,892  
ACE INA Holdings Inc.  5.700 %  2/15/17    1,400     1,486  
ACE INA Holdings Inc.  5.800 %  3/15/18    425     454  
ACE INA Holdings Inc.  5.900 %  6/15/19    550     594  
ACE INA Holdings Inc.  6.700 %  5/15/36    900     1,011  
AEGON Funding Co. LLC  5.750 %  12/15/20    375     348  
Aegon NV  4.750 %  6/1/13    800     815  
Aetna Inc.  7.875 %  3/1/11    525     559  
Aetna Inc.  5.750 %  6/15/11    500     525  
Aetna Inc.  6.000 %  6/15/16    1,200     1,257  
Aetna Inc.  6.500 %  9/15/18    875     939  
Aetna Inc.  6.625 %  6/15/36    3,075     3,094  
Aflac Inc.  8.500 %  5/15/19    1,100     1,258  
Allied World Assurance Co. Holdings Ltd.  7.500 %  8/1/16    5,375     5,561  
Allstate Corp.  6.125 %  2/15/12    900     975  
Allstate Corp.  5.000 %  8/15/14    3,325     3,507  
Allstate Corp.  6.125 %  12/15/32    950     943  
Allstate Corp.  5.350 %  6/1/33    225     211  
Allstate Corp.  5.550 %  5/9/35    475     449  
Allstate Corp.  5.950 %  4/1/36    1,000     1,011  
3 Allstate Corp.  6.125 %  5/15/37    850     746  
3 Allstate Corp.  6.500 %  5/15/57    1,625     1,360  
Allstate Life Global Funding Trusts  5.375 %  4/30/13    1,425     1,522  
American Financial Group Inc.  9.875 %  6/15/19    775     866  
American International Group Inc.  5.375 %  10/18/11    1,225     1,230  
American International Group Inc.  4.950 %  3/20/12    1,875     1,819  
American International Group Inc.  4.250 %  5/15/13    1,000     930  
American International Group Inc.  5.050 %  10/1/15    1,950     1,621  
American International Group Inc.  5.600 %  10/18/16    1,150     943  
American International Group Inc.  5.450 %  5/18/17    2,100     1,725  
American International Group Inc.  5.850 %  1/16/18    3,300     2,706  
American International Group Inc.  8.250 %  8/15/18    950     887  

32


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
American International Group Inc.  6.250 %  5/1/36    11,200     8,218  
AON Corp.  8.205 %  1/1/27    325     326  
Arch Capital Group Ltd.  7.350 %  5/1/34    1,175     1,137  
Assurant Inc.  5.625 %  2/15/14    625     634  
Assurant Inc.  6.750 %  2/15/34    1,425     1,274  
AXA SA  8.600 %  12/15/30    3,325     3,775  
Axis Capital Holdings Ltd.  5.750 %  12/1/14    725     738  
Berkshire Hathaway Finance Corp.  4.200 %  12/15/10    675     698  
Berkshire Hathaway Finance Corp.  4.000 %  4/15/12    675     704  
Berkshire Hathaway Finance Corp.  4.600 %  5/15/13    100     106  
Berkshire Hathaway Finance Corp.  5.000 %  8/15/13    5,850     6,274  
Berkshire Hathaway Finance Corp.  4.850 %  1/15/15    1,050     1,122  
Berkshire Hathaway Finance Corp.  5.400 %  5/15/18    4,775     4,974  
Chubb Corp.  5.200 %  4/1/13    425     452  
Chubb Corp.  5.750 %  5/15/18    750     802  
Chubb Corp.  6.000 %  5/11/37    2,800     2,897  
Chubb Corp.  6.500 %  5/15/38    700     765  
3 Chubb Corp.  6.375 %  3/29/67    1,650     1,536  
CIGNA Corp.  6.350 %  3/15/18    325     325  
CIGNA Corp.  7.875 %  5/15/27    425     425  
CIGNA Corp.  6.150 %  11/15/36    2,150     1,877  
Cincinnati Financial Corp.  6.920 %  5/15/28    325     304  
Cincinnati Financial Corp.  6.125 %  11/1/34    1,175     1,041  
CNA Financial Corp.  6.000 %  8/15/11    825     840  
CNA Financial Corp.  5.850 %  12/15/14    2,000     1,971  
CNA Financial Corp.  6.500 %  8/15/16    1,750     1,697  
CNA Financial Corp.  7.350 %  11/15/19    1,650     1,658  
Commerce Group Inc.  5.950 %  12/9/13    500     499  
Coventry Health Care Inc.  6.300 %  8/15/14    3,850     3,769  
Fidelity National Financial Inc.  7.300 %  8/15/11    1,150     1,189  
Genworth Financial Inc.  5.650 %  6/15/12    1,050     1,047  
Genworth Financial Inc.  5.750 %  6/15/14    300     287  
Genworth Financial Inc.  4.950 %  10/1/15    375     341  
Genworth Financial Inc.  8.625 %  12/15/16    1,125     1,174  
Genworth Financial Inc.  6.500 %  6/15/34    1,075     873  
Genworth Global Funding Trusts  5.125 %  3/15/11    550     558  
Hartford Financial Services Group Inc.  5.250 %  10/15/11    1,400     1,444  
Hartford Financial Services Group Inc.  4.625 %  7/15/13    625     626  
Hartford Financial Services Group Inc.  5.500 %  10/15/16    975     928  
Hartford Financial Services Group Inc.  5.375 %  3/15/17    900     869  
Hartford Financial Services Group Inc.  6.000 %  1/15/19    425     413  
Hartford Financial Services Group Inc.  5.950 %  10/15/36    550     453  
Hartford Financial Services Group Inc.  6.100 %  10/1/41    1,775     1,401  
HCC Insurance Holdings Inc.  6.300 %  11/15/19    1,600     1,617  
Humana Inc.  6.450 %  6/1/16    1,500     1,513  
Humana Inc.  7.200 %  6/15/18    100     103  
Humana Inc.  6.300 %  8/1/18    150     144  
Humana Inc.  8.150 %  6/15/38    2,500     2,380  
4 Liberty Mutual Group Inc.  4.875 %  2/1/10    475     474  
Lincoln National Corp.  6.200 %  12/15/11    325     343  
Lincoln National Corp.  5.650 %  8/27/12    950     986  
Lincoln National Corp.  8.750 %  7/1/19    900     1,030  
Lincoln National Corp.  6.150 %  4/7/36    2,475     2,177  
Loews Corp.  5.250 %  3/15/16    950     964  
Loews Corp.  6.000 %  2/1/35    200     188  
Markel Corp.  7.125 %  9/30/19    825     848  
Marsh & McLennan Cos. Inc.  5.150 %  9/15/10    700     716  

33


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Marsh & McLennan Cos. Inc.  6.250 %  3/15/12    1,900     2,011  
Marsh & McLennan Cos. Inc.  5.375 %  7/15/14    100     103  
Marsh & McLennan Cos. Inc.  5.750 %  9/15/15    2,300     2,402  
Marsh & McLennan Cos. Inc.  9.250 %  4/15/19    825     1,012  
Marsh & McLennan Cos. Inc.  5.875 %  8/1/33    100     87  
4 Massachusetts Mutual Life Insurance Co.  8.875 %  6/1/39    575     698  
MetLife Inc.  6.125 %  12/1/11    200     215  
MetLife Inc.  5.375 %  12/15/12    1,775     1,895  
MetLife Inc.  5.000 %  11/24/13    1,275     1,344  
MetLife Inc.  5.000 %  6/15/15    1,350     1,428  
MetLife Inc.  7.717 %  2/15/19    825     966  
MetLife Inc.  6.500 %  12/15/32    750     794  
MetLife Inc.  6.375 %  6/15/34    975     1,044  
MetLife Inc.  5.700 %  6/15/35    375     371  
MetLife Inc.  6.400 %  12/15/36    3,650     3,194  
4 Metropolitan Life Global Funding I  2.875 %  9/17/12    2,200     2,218  
4 Metropolitan Life Global Funding I  5.125 %  6/10/14    5,225     5,528  
Nationwide Financial Services  6.750 %  5/15/37    200     155  
OneBeacon US Holdings Inc.  5.875 %  5/15/13    675     667  
Principal Financial Group Inc.  7.875 %  5/15/14    1,525     1,708  
Principal Financial Group Inc.  6.050 %  10/15/36    950     839  
Principal Life Income Funding Trusts  5.300 %  12/14/12    1,450     1,560  
Principal Life Income Funding Trusts  5.300 %  4/24/13    1,825     1,929  
Principal Life Income Funding Trusts  5.100 %  4/15/14    1,250     1,281  
Progressive Corp.  6.375 %  1/15/12    700     754  
Progressive Corp.  6.625 %  3/1/29    1,300     1,327  
Progressive Corp.  6.250 %  12/1/32    100     101  
3 Progressive Corp.  6.700 %  6/15/37    2,300     2,037  
Protective Life Corp.  7.375 %  10/15/19    950     953  
Protective Life Corp.  8.450 %  10/15/39    900     869  
Protective Life Secured Trusts  4.850 %  8/16/10    800     817  
Prudential Financial Inc.  5.100 %  12/14/11    125     131  
Prudential Financial Inc.  5.800 %  6/15/12    975     1,035  
Prudential Financial Inc.  3.625 %  9/17/12    775     794  
Prudential Financial Inc.  5.150 %  1/15/13    975     1,030  
Prudential Financial Inc.  4.500 %  7/15/13    1,825     1,834  
Prudential Financial Inc.  4.750 %  4/1/14    650     668  
Prudential Financial Inc.  5.100 %  9/20/14    8,000     8,341  
Prudential Financial Inc.  6.200 %  1/15/15    2,750     2,946  
Prudential Financial Inc.  5.500 %  3/15/16    175     179  
Prudential Financial Inc.  6.100 %  6/15/17    325     335  
Prudential Financial Inc.  6.000 %  12/1/17    1,225     1,258  
Prudential Financial Inc.  5.750 %  7/15/33    675     609  
Prudential Financial Inc.  5.400 %  6/13/35    775     663  
Prudential Financial Inc.  5.900 %  3/17/36    1,300     1,206  
Prudential Financial Inc.  5.700 %  12/14/36    5,475     4,937  
Swiss Re Solutions Holding Corp.  6.450 %  3/1/19    675     673  
Swiss Re Solutions Holding Corp.  7.000 %  2/15/26    1,225     1,209  
Swiss Re Solutions Holding Corp.  7.750 %  6/15/30    525     533  
Torchmark Corp.  6.375 %  6/15/16    1,225     1,228  
Transatlantic Holdings Inc.  8.000 %  11/30/39    2,500     2,507  
Travelers Cos. Inc.  5.375 %  6/15/12    100     106  
Travelers Cos. Inc.  5.500 %  12/1/15    625     676  
Travelers Cos. Inc.  6.250 %  6/20/16    1,100     1,199  
Travelers Cos. Inc.  5.750 %  12/15/17    1,375     1,450  
Travelers Cos. Inc.  5.800 %  5/15/18    100     106  
Travelers Cos. Inc.  5.900 %  6/2/19    1,275     1,387  

34


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
3 Travelers Cos. Inc.  6.250 %  3/15/37    800     725  
Travelers Cos. Inc.  6.250 %  6/15/37    4,100     4,308  
Travelers Property Casualty Corp.  6.375 %  3/15/33    100     106  
UnitedHealth Group Inc.  5.500 %  11/15/12    1,925     2,064  
UnitedHealth Group Inc.  4.875 %  2/15/13    975     1,025  
UnitedHealth Group Inc.  4.875 %  4/1/13    975     1,027  
UnitedHealth Group Inc.  5.000 %  8/15/14    4,900     5,135  
UnitedHealth Group Inc.  4.875 %  3/15/15    875     906  
UnitedHealth Group Inc.  6.000 %  6/15/17    1,825     1,902  
UnitedHealth Group Inc.  6.000 %  11/15/17    425     444  
UnitedHealth Group Inc.  6.000 %  2/15/18    4,750     4,948  
UnitedHealth Group Inc.  5.800 %  3/15/36    4,525     4,043  
UnitedHealth Group Inc.  6.500 %  6/15/37    625     612  
UnitedHealth Group Inc.  6.625 %  11/15/37    1,425     1,447  
UnitedHealth Group Inc.  6.875 %  2/15/38    1,675     1,737  
Unum Group  7.125 %  9/30/16    1,250     1,291  
WellPoint Health Networks Inc.  6.375 %  1/15/12    1,000     1,081  
WellPoint Inc.  5.000 %  1/15/11    1,875     1,945  
WellPoint Inc.  6.800 %  8/1/12    625     690  
WellPoint Inc.  6.000 %  2/15/14    550     598  
WellPoint Inc.  5.000 %  12/15/14    4,650     4,837  
WellPoint Inc.  5.250 %  1/15/16    550     555  
WellPoint Inc.  5.875 %  6/15/17    900     933  
WellPoint Inc.  5.950 %  12/15/34    2,200     2,084  
WellPoint Inc.  5.850 %  1/15/36    2,400     2,244  
WellPoint Inc.  6.375 %  6/15/37    325     329  
Willis North America Inc.  5.625 %  7/15/15    1,225     1,204  
Willis North America Inc.  6.200 %  3/28/17    1,125     1,078  
Willis North America Inc.  7.000 %  9/29/19    8,150     8,191  
XL Capital Ltd.  5.250 %  9/15/14    4,350     4,335  
XL Capital Ltd.  6.375 %  11/15/24    175     158  
XL Capital Ltd.  6.250 %  5/15/27    2,425     2,191  
3 XL Capital Ltd.  6.500 %  12/15/49    1,475     1,119  
 
Other Finance (0.0%)                   
CME Group Inc.  5.400 %  8/1/13    2,900     3,110  
CME Group Inc.  5.750 %  2/15/14    1,075     1,174  
ORIX Corp.  5.480 %  11/22/11    1,800     1,806  
XTRA Finance Corp.  5.150 %  4/1/17    4,525     4,596  
 
Real Estate Investment Trusts (0.3%)                   
AMB Property LP  6.625 %  12/1/19    850     834  
Arden Realty LP  5.250 %  3/1/15    250     257  
AvalonBay Communities Inc.  5.500 %  1/15/12    356     372  
AvalonBay Communities Inc.  6.125 %  11/1/12    106     113  
AvalonBay Communities Inc.  5.750 %  9/15/16    275     282  
Boston Properties LP  6.250 %  1/15/13    1,400     1,493  
Boston Properties LP  5.625 %  4/15/15    1,375     1,410  
Brandywine Operating Partnership LP  5.750 %  4/1/12    550     552  
Brandywine Operating Partnership LP  5.400 %  11/1/14    875     817  
Brandywine Operating Partnership LP  7.500 %  5/15/15    1,400     1,422  
Brandywine Operating Partnership LP  5.700 %  5/1/17    275     247  
Duke Realty LP  6.250 %  5/15/13    2,350     2,405  
Duke Realty LP  7.375 %  2/15/15    925     983  
Duke Realty LP  5.950 %  2/15/17    1,300     1,212  
Duke Realty LP  8.250 %  8/15/19    875     918  
ERP Operating LP  6.625 %  3/15/12    1,150     1,228  

35


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
ERP Operating LP  5.500 %  10/1/12    1,100     1,157  
ERP Operating LP  5.250 %  9/15/14    1,350     1,372  
ERP Operating LP  5.125 %  3/15/16    600     584  
ERP Operating LP  5.375 %  8/1/16    975     954  
ERP Operating LP  5.750 %  6/15/17    550     551  
HCP Inc.  6.450 %  6/25/12    2,075     2,159  
HCP Inc.  5.650 %  12/15/13    2,225     2,228  
HCP Inc.  6.300 %  9/15/16    950     929  
HCP Inc.  6.000 %  1/30/17    425     405  
HCP Inc.  6.700 %  1/30/18    1,700     1,655  
Health Care REIT Inc.  6.000 %  11/15/13    525     532  
Health Care REIT Inc.  6.200 %  6/1/16    3,250     3,180  
Healthcare Realty Trust Inc.  6.500 %  1/17/17    1,600     1,564  
Hospitality Properties Trust  7.875 %  8/15/14    1,375     1,422  
Hospitality Properties Trust  5.125 %  2/15/15    1,775     1,604  
HRPT Properties Trust  6.250 %  8/15/16    575     547  
HRPT Properties Trust  6.250 %  6/15/17    1,725     1,557  
Kimco Realty Corp.  5.783 %  3/15/16    400     395  
Kimco Realty Corp.  6.875 %  10/1/19    875     890  
Liberty Property LP  5.125 %  3/2/15    3,200     3,040  
Liberty Property LP  5.500 %  12/15/16    625     571  
Mack-Cali Realty LP  7.750 %  8/15/19    675     701  
National Retail Properties Inc.  6.875 %  10/15/17    2,700     2,607  
Nationwide Health Properties Inc.  6.250 %  2/1/13    1,400     1,432  
ProLogis  5.625 %  11/15/15    1,200     1,141  
ProLogis  5.750 %  4/1/16    1,025     962  
ProLogis  5.625 %  11/15/16    1,200     1,108  
ProLogis  7.375 %  10/30/19    2,075     2,055  
Realty Income Corp.  6.750 %  8/15/19    2,575     2,519  
Regency Centers LP  6.750 %  1/15/12    2,350     2,468  
Regency Centers LP  5.250 %  8/1/15    625     598  
Simon Property Group LP  4.875 %  8/15/10    1,875     1,906  
Simon Property Group LP  5.600 %  9/1/11    1,000     1,050  
Simon Property Group LP  5.000 %  3/1/12    1,050     1,085  
Simon Property Group LP  5.300 %  5/30/13    2,175     2,244  
Simon Property Group LP  6.750 %  5/15/14    6,350     6,766  
Simon Property Group LP  5.750 %  12/1/15    1,375     1,402  
Simon Property Group LP  6.100 %  5/1/16    150     153  
Simon Property Group LP  5.250 %  12/1/16    3,525     3,471  
Simon Property Group LP  5.875 %  3/1/17    1,375     1,388  
Simon Property Group LP  6.125 %  5/30/18    1,700     1,728  
Tanger Properties LP  6.150 %  11/15/15    1,250     1,224  
                1,925,300  
Industrial (10.3%)                   
Basic Industry (0.9%)                   
Agrium Inc.  6.750 %  1/15/19    1,500     1,605  
Airgas Inc.  4.500 %  9/15/14    800     814  
Alcoa Inc.  6.000 %  1/15/12    950     994  
Alcoa Inc.  5.375 %  1/15/13    1,150     1,192  
Alcoa Inc.  6.000 %  7/15/13    3,050     3,225  
Alcoa Inc.  6.750 %  7/15/18    100     102  
Alcoa Inc.  5.720 %  2/23/19    2,300     2,226  
Alcoa Inc.  5.870 %  2/23/22    550     511  
Alcoa Inc.  5.900 %  2/1/27    1,950     1,741  
Alcoa Inc.  6.750 %  1/15/28    200     192  
Alcoa Inc.  5.950 %  2/1/37    5,000     4,320  
Allegheny Technologies Inc.  9.375 %  6/1/19    2,975     3,391  

36


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
ArcelorMittal  5.375 %  6/1/13    4,025     4,222  
ArcelorMittal  9.000 %  2/15/15    1,350     1,572  
ArcelorMittal  6.125 %  6/1/18    3,000     3,069  
ArcelorMittal  9.850 %  6/1/19    1,700     2,188  
ArcelorMittal  7.000 %  10/15/39    2,400     2,532  
Barrick Australian Finance Pty Ltd.  5.950 %  10/15/39    1,550     1,513  
Barrick Gold Corp.  6.950 %  4/1/19    2,200     2,490  
Barrick Gold Finance Co.  4.875 %  11/15/14    2,900     3,052  
Barrick Gold Financeco LLC  6.125 %  9/15/13    2,275     2,502  
Barrick North America Finance LLC  6.800 %  9/15/18    1,650     1,840  
Barrick North America Finance LLC  7.500 %  9/15/38    2,100     2,421  
BHP Billiton Finance USA Ltd.  5.125 %  3/29/12    950     1,014  
BHP Billiton Finance USA Ltd.  8.500 %  12/1/12    175     205  
BHP Billiton Finance USA Ltd.  4.800 %  4/15/13    2,450     2,599  
BHP Billiton Finance USA Ltd.  5.500 %  4/1/14    5,125     5,624  
BHP Billiton Finance USA Ltd.  5.250 %  12/15/15    1,550     1,678  
BHP Billiton Finance USA Ltd.  5.400 %  3/29/17    350     374  
BHP Billiton Finance USA Ltd.  6.500 %  4/1/19    4,900     5,635  
Celulosa Arauco y Constitucion SA  5.125 %  7/9/13    325     342  
Celulosa Arauco y Constitucion SA  5.625 %  4/20/15    1,000     1,049  
Commercial Metals Co.  6.500 %  7/15/17    800     812  
Commercial Metals Co.  7.350 %  8/15/18    1,925     2,053  
Cytec Industries Inc.  8.950 %  7/1/17    550     653  
Dow Chemical Co.  6.125 %  2/1/11    3,650     3,810  
Dow Chemical Co.  4.850 %  8/15/12    5,050     5,306  
Dow Chemical Co.  6.000 %  10/1/12    500     538  
Dow Chemical Co.  7.600 %  5/15/14    4,375     4,979  
Dow Chemical Co.  5.900 %  2/15/15    12,300     13,232  
Dow Chemical Co.  8.550 %  5/15/19    4,175     4,977  
Dow Chemical Co.  7.375 %  11/1/29    1,500     1,630  
Dow Chemical Co.  9.400 %  5/15/39    725     966  
Eastman Chemical Co.  7.250 %  1/15/24    3,025     3,279  
Eastman Chemical Co.  7.600 %  2/1/27    675     741  
EI du Pont de Nemours & Co.  4.750 %  11/15/12    1,400     1,508  
EI du Pont de Nemours & Co.  5.000 %  1/15/13    4,525     4,865  
EI du Pont de Nemours & Co.  5.000 %  7/15/13    2,375     2,573  
EI du Pont de Nemours & Co.  5.875 %  1/15/14    4,055     4,479  
EI du Pont de Nemours & Co.  5.250 %  12/15/16    225     239  
EI du Pont de Nemours & Co.  6.000 %  7/15/18    7,275     7,956  
EI du Pont de Nemours & Co.  6.500 %  1/15/28    525     570  
Freeport-McMoRan Copper & Gold Inc.  8.250 %  4/1/15    3,550     3,843  
Freeport-McMoRan Copper & Gold Inc.  8.375 %  4/1/17    4,800     5,250  
ICI Wilmington Inc.  5.625 %  12/1/13    200     209  
International Paper Co.  5.300 %  4/1/15    1,600     1,645  
International Paper Co.  7.950 %  6/15/18    3,275     3,766  
International Paper Co.  9.375 %  5/15/19    4,800     5,962  
International Paper Co.  7.500 %  8/15/21    4,600     5,135  
International Paper Co.  7.300 %  11/15/39    2,225     2,356  
Lubrizol Corp.  5.500 %  10/1/14    2,100     2,236  
Lubrizol Corp.  8.875 %  2/1/19    1,075     1,324  
Lubrizol Corp.  6.500 %  10/1/34    4,000     4,107  
Monsanto Co.  7.375 %  8/15/12    475     538  
Monsanto Co.  5.125 %  4/15/18    850     884  
Monsanto Co.  5.875 %  4/15/38    4,300     4,476  
4 Mosaic Co.  7.375 %  12/1/14    1,475     1,575  
4 Mosaic Co.  7.625 %  12/1/16    3,349     3,608  
Newmont Mining Corp.  5.125 %  10/1/19    1,000     1,003  

37


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Newmont Mining Corp.  5.875 %  4/1/35    750     716  
Newmont Mining Corp.  6.250 %  10/1/39    3,150     3,156  
Nucor Corp.  5.000 %  12/1/12    200     216  
Nucor Corp.  5.000 %  6/1/13    100     106  
Nucor Corp.  5.750 %  12/1/17    425     457  
Nucor Corp.  5.850 %  6/1/18    1,725     1,857  
Nucor Corp.  6.400 %  12/1/37    1,225     1,323  
Placer Dome Inc.  6.450 %  10/15/35    1,050     1,052  
Plum Creek Timberlands LP  5.875 %  11/15/15    1,250     1,280  
Potash Corp. of Saskatchewan Inc.  7.750 %  5/31/11    3,325     3,605  
Potash Corp. of Saskatchewan Inc.  4.875 %  3/1/13    1,050     1,105  
Potash Corp. of Saskatchewan Inc.  3.750 %  9/30/15    2,000     1,996  
Potash Corp. of Saskatchewan Inc.  4.875 %  3/30/20    2,550     2,497  
Potash Corp. of Saskatchewan Inc.  5.875 %  12/1/36    200     197  
PPG Industries Inc.  5.750 %  3/15/13    1,050     1,121  
PPG Industries Inc.  6.650 %  3/15/18    950     1,034  
Praxair Inc.  6.375 %  4/1/12    525     576  
Praxair Inc.  1.750 %  11/15/12    1,050     1,044  
Praxair Inc.  3.950 %  6/1/13    200     209  
Praxair Inc.  4.375 %  3/31/14    825     870  
Praxair Inc.  5.250 %  11/15/14    2,000     2,185  
Praxair Inc.  4.625 %  3/30/15    100     107  
Praxair Inc.  5.200 %  3/15/17    325     342  
Praxair Inc.  4.500 %  8/15/19    1,600     1,614  
Reliance Steel & Aluminum Co.  6.200 %  11/15/16    100     100  
Reliance Steel & Aluminum Co.  6.850 %  11/15/36    100     86  
Rio Tinto Alcan Inc.  6.450 %  3/15/11    550     576  
Rio Tinto Alcan Inc.  4.875 %  9/15/12    600     633  
Rio Tinto Alcan Inc.  4.500 %  5/15/13    1,850     1,896  
Rio Tinto Alcan Inc.  5.200 %  1/15/14    200     212  
Rio Tinto Alcan Inc.  5.000 %  6/1/15    250     254  
Rio Tinto Alcan Inc.  6.125 %  12/15/33    2,725     2,721  
Rio Tinto Finance USA Ltd.  5.875 %  7/15/13    6,175     6,671  
Rio Tinto Finance USA Ltd.  8.950 %  5/1/14    4,625     5,538  
Rio Tinto Finance USA Ltd.  6.500 %  7/15/18    3,000     3,279  
Rio Tinto Finance USA Ltd.  9.000 %  5/1/19    3,700     4,685  
Rio Tinto Finance USA Ltd.  7.125 %  7/15/28    1,375     1,541  
3 Rohm & Haas Holdings Ltd.  9.800 %  4/15/20    619     691  
Rohm and Haas Co.  6.000 %  9/15/17    2,325     2,391  
Sherwin-Williams Co.  3.125 %  12/15/14    1,350     1,341  
Southern Copper Corp.  7.500 %  7/27/35    2,500     2,414  
Vale Inco Ltd.  7.750 %  5/15/12    175     191  
Vale Inco Ltd.  5.700 %  10/15/15    1,200     1,212  
Vale Inco Ltd.  7.200 %  9/15/32    325     325  
Vale Overseas Ltd.  6.250 %  1/11/16    625     658  
Vale Overseas Ltd.  6.250 %  1/23/17    1,425     1,494  
Vale Overseas Ltd.  5.625 %  9/15/19    1,525     1,523  
Vale Overseas Ltd.  8.250 %  1/17/34    800     921  
Vale Overseas Ltd.  6.875 %  11/21/36    5,325     5,370  
Vale Overseas Ltd.  6.875 %  11/10/39    2,275     2,283  
Valspar Corp.  7.250 %  6/15/19    400     433  
WMC Finance USA Ltd.  5.125 %  5/15/13    575     616  
Xstrata Canada Corp.  7.350 %  6/5/12    475     513  
Xstrata Canada Corp.  7.250 %  7/15/12    1,375     1,486  
Xstrata Canada Corp.  5.375 %  6/1/15    100     104  
Xstrata Canada Corp.  6.000 %  10/15/15    325     343  
Xstrata Canada Corp.  5.500 %  6/15/17    1,975     1,906  

38


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Capital Goods (1.0%)                   
3M Co.  4.500 %  11/1/11    575     609  
3M Co.  6.375 %  2/15/28    1,300     1,440  
3M Co.  5.700 %  3/15/37    1,450     1,521  
4 Acuity Brands Lighting Inc.  6.000 %  12/15/19    800     769  
Allied Waste North America Inc.  7.125 %  5/15/16    6,550     6,976  
4 BAE Systems Holdings Inc.  5.200 %  8/15/15    100     105  
Bemis Co. Inc.  4.875 %  4/1/12    575     596  
Bemis Co. Inc.  5.650 %  8/1/14    7,225     7,708  
Black & Decker Corp.  7.125 %  6/1/11    375     399  
Black & Decker Corp.  5.750 %  11/15/16    625     643  
Boeing Capital Corp.  6.500 %  2/15/12    4,425     4,837  
Boeing Capital Corp.  5.800 %  1/15/13    1,475     1,610  
Boeing Capital Corp.  3.250 %  10/27/14    1,000     991  
Boeing Co.  1.875 %  11/20/12    2,050     2,040  
Boeing Co.  5.000 %  3/15/14    100     108  
Boeing Co.  3.500 %  2/15/15    3,250     3,264  
Boeing Co.  6.000 %  3/15/19    725     787  
Boeing Co.  4.875 %  2/15/20    950     954  
Boeing Co.  8.750 %  8/15/21    200     259  
Boeing Co.  7.250 %  6/15/25    1,025     1,146  
Boeing Co.  8.750 %  9/15/31    300     399  
Boeing Co.  6.125 %  2/15/33    225     233  
Boeing Co.  6.625 %  2/15/38    525     583  
Boeing Co.  5.875 %  2/15/40    1,075     1,114  
Caterpillar Financial Services Corp.  5.125 %  10/12/11    100     106  
Caterpillar Financial Services Corp.  4.850 %  12/7/12    100     108  
Caterpillar Financial Services Corp.  4.250 %  2/8/13    1,725     1,785  
Caterpillar Financial Services Corp.  6.125 %  2/17/14    9,400     10,488  
Caterpillar Financial Services Corp.  4.750 %  2/17/15    1,350     1,415  
Caterpillar Financial Services Corp.  4.625 %  6/1/15    775     799  
Caterpillar Financial Services Corp.  7.150 %  2/15/19    10,525     12,133  
Caterpillar Inc.  7.000 %  12/15/13    425     495  
Caterpillar Inc.  6.625 %  7/15/28    200     223  
Caterpillar Inc.  7.300 %  5/1/31    675     802  
Caterpillar Inc.  6.050 %  8/15/36    1,075     1,141  
Caterpillar Inc.  8.250 %  12/15/38    200     266  
Caterpillar Inc.  6.950 %  5/1/42    325     356  
Caterpillar Inc.  7.375 %  3/1/97    1,825     1,935  
Cooper US Inc.  5.250 %  11/15/12    1,275     1,370  
Cooper US Inc.  5.450 %  4/1/15    525     566  
CRH America Inc.  5.625 %  9/30/11    1,250     1,312  
CRH America Inc.  6.950 %  3/15/12    1,825     1,970  
CRH America Inc.  5.300 %  10/15/13    450     470  
CRH America Inc.  6.000 %  9/30/16    4,750     4,942  
CRH America Inc.  8.125 %  7/15/18    3,275     3,823  
Danaher Corp.  5.625 %  1/15/18    850     912  
Deere & Co.  6.950 %  4/25/14    3,925     4,540  
Deere & Co.  4.375 %  10/16/19    3,225     3,235  
Deere & Co.  5.375 %  10/16/29    1,800     1,798  
Deere & Co.  8.100 %  5/15/30    1,525     1,944  
Deere & Co.  7.125 %  3/3/31    975     1,153  
Dover Corp.  5.450 %  3/15/18    2,250     2,373  
Dover Corp.  5.375 %  10/15/35    100     98  
Dover Corp.  6.600 %  3/15/38    975     1,107  
Eaton Corp.  4.900 %  5/15/13    850     896  
Eaton Corp.  5.600 %  5/15/18    1,755     1,846  

39


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Embraer Overseas Ltd.  6.375 %  1/24/17    1,450     1,466  
Embraer Overseas Ltd.  6.375 %  1/15/20    575     573  
Emerson Electric Co.  7.125 %  8/15/10    1,225     1,273  
Emerson Electric Co.  4.625 %  10/15/12    1,800     1,923  
Emerson Electric Co.  4.500 %  5/1/13    1,275     1,350  
Emerson Electric Co.  5.250 %  10/15/18    2,200     2,324  
Emerson Electric Co.  4.875 %  10/15/19    900     927  
Emerson Electric Co.  4.250 %  11/15/20    950     922  
Emerson Electric Co.  5.250 %  11/15/39    2,875     2,776  
General Dynamics Corp.  4.250 %  5/15/13    2,850     3,014  
General Dynamics Corp.  5.250 %  2/1/14    900     987  
General Electric Co.  5.000 %  2/1/13    9,475     10,035  
General Electric Co.  5.250 %  12/6/17    16,775     17,115  
Goodrich Corp.  6.125 %  3/1/19    3,600     3,934  
Harsco Corp.  5.750 %  5/15/18    1,800     1,772  
Honeywell International Inc.  6.125 %  11/1/11    825     900  
Honeywell International Inc.  5.625 %  8/1/12    1,300     1,424  
Honeywell International Inc.  4.250 %  3/1/13    475     500  
Honeywell International Inc.  3.875 %  2/15/14    575     599  
Honeywell International Inc.  5.400 %  3/15/16    425     461  
Honeywell International Inc.  5.300 %  3/15/17    1,375     1,443  
Honeywell International Inc.  5.300 %  3/1/18    175     185  
Honeywell International Inc.  5.000 %  2/15/19    2,375     2,465  
Honeywell International Inc.  5.700 %  3/15/36    700     721  
Honeywell International Inc.  5.700 %  3/15/37    350     358  
Illinois Tool Works Inc.  5.150 %  4/1/14    1,950     2,125  
Illinois Tool Works Inc.  6.250 %  4/1/19    2,650     2,974  
Ingersoll-Rand Global Holding Co. Ltd.  6.000 %  8/15/13    1,425     1,535  
Ingersoll-Rand Global Holding Co. Ltd.  9.500 %  4/15/14    5,175     6,219  
Ingersoll-Rand Global Holding Co. Ltd.  6.875 %  8/15/18    1,850     2,058  
John Deere Capital Corp.  5.400 %  10/17/11    2,075     2,213  
John Deere Capital Corp.  5.350 %  1/17/12    1,200     1,283  
John Deere Capital Corp.  7.000 %  3/15/12    2,525     2,810  
John Deere Capital Corp.  5.250 %  10/1/12    1,000     1,076  
John Deere Capital Corp.  4.950 %  12/17/12    975     1,053  
John Deere Capital Corp.  4.900 %  9/9/13    2,925     3,143  
John Deere Capital Corp.  5.500 %  4/13/17    150     158  
John Deere Capital Corp.  5.750 %  9/10/18    1,275     1,383  
Joy Global Inc.  6.000 %  11/15/16    575     588  
4 L-3 Communications Corp.  5.200 %  10/15/19    1,375     1,373  
Lafarge SA  6.150 %  7/15/11    225     235  
Lafarge SA  6.500 %  7/15/16    2,200     2,327  
Lafarge SA  7.125 %  7/15/36    3,725     3,927  
Lockheed Martin Corp.  4.121 %  3/14/13    625     655  
Lockheed Martin Corp.  7.650 %  5/1/16    1,950     2,339  
Lockheed Martin Corp.  4.250 %  11/15/19    900     873  
Lockheed Martin Corp.  7.750 %  5/1/26    100     120  
Lockheed Martin Corp.  6.150 %  9/1/36    3,075     3,270  
Lockheed Martin Corp.  5.500 %  11/15/39    900     889  
Martin Marietta Materials Inc.  6.600 %  4/15/18    1,850     1,905  
Northrop Grumman Systems Corp.  7.125 %  2/15/11    2,500     2,653  
Northrop Grumman Systems Corp.  7.750 %  3/1/16    250     297  
Northrop Grumman Systems Corp.  7.875 %  3/1/26    525     636  
Northrop Grumman Systems Corp.  7.750 %  2/15/31    150     185  
Parker Hannifin Corp.  5.500 %  5/15/18    450     478  
Parker Hannifin Corp.  6.250 %  5/15/38    550     592  
Raytheon Co.  5.500 %  11/15/12    925     1,014  

40


Total Bond Market II Index Fund                   
 
 
 
            Face     Market  
        Maturity    Amount     Value•  
    Coupon   Date  ($ 000 )  ($ 000 ) 
  Raytheon Co.  6.400 %  12/15/18    100     114  
  Raytheon Co.  4.400 %  2/15/20    500     494  
  Raytheon Co.  7.200 %  8/15/27    1,225     1,452  
  Republic Services Inc.  6.750 %  8/15/11    625     657  
4  Republic Services Inc.  5.500 %  9/15/19    1,000     1,016  
4  Republic Services Inc.  5.250 %  11/15/21    3,375     3,306  
  Republic Services Inc.  6.086 %  3/15/35    825     784  
  Rockwell Automation Inc.  5.650 %  12/1/17    600     638  
  Rockwell Automation Inc.  6.700 %  1/15/28    425     451  
  Rockwell Automation Inc.  6.250 %  12/1/37    1,500     1,553  
  Rockwell Collins Inc.  5.250 %  7/15/19    275     289  
  Roper Industries Inc.  6.625 %  8/15/13    3,175     3,465  
  Roper Industries Inc.  6.250 %  9/1/19    1,500     1,562  
3,4  Systems 2001 AT LLC  7.156 %  12/15/11    333     346  
  Textron Inc.  5.600 %  12/1/17    325     314  
  Tyco International Finance SA  6.750 %  2/15/11    3,625     3,809  
  Tyco International Finance SA  6.375 %  10/15/11    2,750     2,946  
  Tyco International Finance SA  6.000 %  11/15/13    1,275     1,395  
  Tyco International Ltd./                   
  Tyco International Finance SA  7.000 %  12/15/19    2,375     2,677  
  United Technologies Corp.  6.350 %  3/1/11    2,534     2,688  
  United Technologies Corp.  6.100 %  5/15/12    175     192  
  United Technologies Corp.  4.875 %  5/1/15    200     216  
  United Technologies Corp.  5.375 %  12/15/17    3,675     3,937  
  United Technologies Corp.  6.125 %  2/1/19    2,350     2,603  
  United Technologies Corp.  6.700 %  8/1/28    325     366  
  United Technologies Corp.  7.500 %  9/15/29    825     1,004  
  United Technologies Corp.  5.400 %  5/1/35    2,025     2,015  
  United Technologies Corp.  6.050 %  6/1/36    1,525     1,624  
  United Technologies Corp.  6.125 %  7/15/38    625     673  
  Vulcan Materials Co.  6.300 %  6/15/13    950     1,011  
  Vulcan Materials Co.  7.000 %  6/15/18    1,550     1,679  
  Waste Management Inc.  6.375 %  11/15/12    325     358  
  Waste Management Inc.  5.000 %  3/15/14    350     370  
  Waste Management Inc.  6.375 %  3/11/15    225     250  
  Waste Management Inc.  7.375 %  3/11/19    3,750     4,358  
  Waste Management Inc.  7.100 %  8/1/26    325     352  
  Waste Management Inc.  7.750 %  5/15/32    100     117  
  Waste Management Inc.  6.125 %  11/30/39    175     176  
 
  Communication (2.4%)                   
  America Movil SAB de CV  5.500 %  3/1/14    650     692  
  America Movil SAB de CV  5.750 %  1/15/15    1,375     1,456  
  America Movil SAB de CV  6.375 %  3/1/35    2,275     2,365  
  America Movil SAB de CV  6.125 %  11/15/37    1,575     1,577  
4  American Tower Corp.  4.625 %  4/1/15    475     479  
  AT&T Corp.  7.300 %  11/15/11    3,425     3,776  
  AT&T Corp.  8.000 %  11/15/31    7,075     8,651  
  AT&T Inc.  6.250 %  3/15/11    3,500     3,705  
  AT&T Inc.  5.875 %  2/1/12    1,975     2,139  
  AT&T Inc.  5.875 %  8/15/12    1,925     2,110  
  AT&T Inc.  4.950 %  1/15/13    4,450     4,755  
  AT&T Inc.  6.700 %  11/15/13    5,325     6,024  
  AT&T Inc.  4.850 %  2/15/14    4,200     4,487  
  AT&T Inc.  5.100 %  9/15/14    7,025     7,594  
  AT&T Inc.  5.625 %  6/15/16    5,225     5,600  
  AT&T Inc.  5.500 %  2/1/18    1,600     1,681  

41


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
AT&T Inc.  5.600 %  5/15/18    1,150     1,214  
AT&T Inc.  5.800 %  2/15/19    7,775     8,321  
AT&T Inc.  6.450 %  6/15/34    2,025     2,079  
AT&T Inc.  6.500 %  9/1/37    11,200     11,604  
AT&T Inc.  6.300 %  1/15/38    4,575     4,657  
AT&T Inc.  6.400 %  5/15/38    2,675     2,769  
AT&T Inc.  6.550 %  2/15/39    6,700     7,074  
AT&T Mobility LLC  6.500 %  12/15/11    1,875     2,041  
AT&T Mobility LLC  7.125 %  12/15/31    3,575     4,022  
Bellsouth Capital Funding Corp.  7.875 %  2/15/30    3,200     3,637  
BellSouth Corp.  5.200 %  9/15/14    425     456  
BellSouth Corp.  5.200 %  12/15/16    1,875     1,931  
BellSouth Corp.  6.875 %  10/15/31    1,625     1,688  
BellSouth Corp.  6.550 %  6/15/34    1,750     1,753  
BellSouth Corp.  6.000 %  11/15/34    1,175     1,133  
BellSouth Telecommunications Inc.  6.375 %  6/1/28    2,750     2,732  
British Telecommunications PLC  9.125 %  12/15/10    2,750     2,945  
British Telecommunications PLC  5.150 %  1/15/13    825     861  
British Telecommunications PLC  5.950 %  1/15/18    4,525     4,601  
British Telecommunications PLC  9.625 %  12/15/30    4,725     6,055  
CBS Corp.  6.625 %  5/15/11    1,375     1,440  
CBS Corp.  5.625 %  8/15/12    1,100     1,145  
CBS Corp.  4.625 %  5/15/18    100     91  
CBS Corp.  8.875 %  5/15/19    1,100     1,316  
CBS Corp.  7.875 %  7/30/30    450     486  
CBS Corp.  5.500 %  5/15/33    200     167  
Cellco Partnership/Verizon Wireless Capital LLC  3.750 %  5/20/11    3,625     3,739  
Cellco Partnership/Verizon Wireless Capital LLC  5.250 %  2/1/12    3,050     3,232  
Cellco Partnership/Verizon Wireless Capital LLC  7.375 %  11/15/13    9,275     10,664  
Cellco Partnership/Verizon Wireless Capital LLC  5.550 %  2/1/14    7,694     8,384  
Cellco Partnership/Verizon Wireless Capital LLC  8.500 %  11/15/18    8,950     11,179  
CenturyTel Inc.  6.000 %  4/1/17    100     102  
CenturyTel Inc.  6.150 %  9/15/19    1,675     1,728  
CenturyTel Inc.  6.875 %  1/15/28    300     279  
CenturyTel Inc.  7.600 %  9/15/39    1,800     1,857  
Comcast Cable Communications Holdings Inc.  8.375 %  3/15/13    55     63  
Comcast Cable Communications Holdings Inc.  9.455 %  11/15/22    2,000     2,605  
Comcast Cable Communications LLC  6.750 %  1/30/11    5,325     5,623  
Comcast Cable Communications LLC  8.875 %  5/1/17    975     1,175  
Comcast Corp.  5.500 %  3/15/11    850     888  
Comcast Corp.  5.300 %  1/15/14    1,850     1,979  
Comcast Corp.  6.500 %  1/15/15    1,350     1,515  
Comcast Corp.  5.900 %  3/15/16    6,650     7,135  
Comcast Corp.  6.500 %  1/15/17    150     166  
Comcast Corp.  6.300 %  11/15/17    3,475     3,805  
Comcast Corp.  5.875 %  2/15/18    3,800     4,049  
Comcast Corp.  5.700 %  5/15/18    1,875     1,978  
Comcast Corp.  5.700 %  7/1/19    1,275     1,333  
Comcast Corp.  6.500 %  11/15/35    7,425     7,675  
Comcast Corp.  6.950 %  8/15/37    2,000     2,187  
Comcast Corp.  6.400 %  5/15/38    1,975     2,026  
COX Communications Inc.  6.750 %  3/15/11    3,325     3,498  
COX Communications Inc.  7.125 %  10/1/12    2,625     2,906  
COX Communications Inc.  5.450 %  12/15/14    8,200     8,791  
COX Communications Inc.  5.500 %  10/1/15    100     107  
Deutsche Telekom International Finance BV  5.875 %  8/20/13    5,400     5,828  
Deutsche Telekom International Finance BV  4.875 %  7/8/14    1,775     1,866  

42


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Deutsche Telekom International Finance BV  5.750 %  3/23/16    2,500     2,669  
Deutsche Telekom International Finance BV  6.750 %  8/20/18    100     111  
Deutsche Telekom International Finance BV  6.000 %  7/8/19    2,525     2,687  
Deutsche Telekom International Finance BV  8.750 %  6/15/30    5,950     7,715  
4 DirecTV Holdings LLC/DirecTV Financing Co. Inc.  4.750 %  10/1/14    2,575     2,620  
DirecTV Holdings LLC/DirecTV Financing Co. Inc.  7.625 %  5/15/16    750     818  
4 DirecTV Holdings LLC/DirecTV Financing Co. Inc.  5.875 %  10/1/19    12,975     13,106  
Embarq Corp.  7.082 %  6/1/16    6,050     6,620  
Embarq Corp.  7.995 %  6/1/36    2,869     3,124  
France Telecom SA  7.750 %  3/1/11    7,800     8,388  
France Telecom SA  4.375 %  7/8/14    1,850     1,938  
France Telecom SA  5.375 %  7/8/19    1,725     1,821  
France Telecom SA  8.500 %  3/1/31    5,175     6,876  
Grupo Televisa SA  6.625 %  3/18/25    1,300     1,285  
Grupo Televisa SA  8.500 %  3/11/32    200     234  
4 Grupo Televisa SA  6.625 %  1/15/40    850     834  
GTE Corp.  8.750 %  11/1/21    950     1,179  
GTE Corp.  6.940 %  4/15/28    1,050     1,089  
Koninklijke KPN NV  8.375 %  10/1/30    1,550     1,954  
McGraw-Hill Cos. Inc.  5.375 %  11/15/12    750     792  
McGraw-Hill Cos. Inc.  5.900 %  11/15/17    1,750     1,790  
McGraw-Hill Cos. Inc.  6.550 %  11/15/37    1,600     1,563  
New Cingular Wireless Services Inc.  7.875 %  3/1/11    5,675     6,102  
New Cingular Wireless Services Inc.  8.125 %  5/1/12    4,175     4,715  
New Cingular Wireless Services Inc.  8.750 %  3/1/31    2,600     3,362  
News America Holdings Inc.  8.000 %  10/17/16    1,450     1,717  
News America Holdings Inc.  7.700 %  10/30/25    200     216  
News America Holdings Inc.  8.150 %  10/17/36    625     700  
News America Holdings Inc.  7.750 %  12/1/45    425     480  
News America Inc.  5.300 %  12/15/14    4,650     5,041  
News America Inc.  6.550 %  3/15/33    4,500     4,672  
News America Inc.  6.200 %  12/15/34    5,500     5,475  
News America Inc.  6.400 %  12/15/35    7,100     7,295  
4 News America Inc.  6.900 %  8/15/39    1,850     2,015  
Omnicom Group Inc.  5.900 %  4/15/16    225     238  
Pacific Bell Telephone Co.  7.125 %  3/15/26    425     468  
Qwest Corp.  7.875 %  9/1/11    4,200     4,394  
Qwest Corp.  8.875 %  3/15/12    1,725     1,859  
Qwest Corp.  7.500 %  10/1/14    2,625     2,717  
Qwest Corp.  6.500 %  6/1/17    1,125     1,097  
Qwest Corp.  7.500 %  6/15/23    1,325     1,245  
Qwest Corp.  6.875 %  9/15/33    2,900     2,508  
Reed Elsevier Capital Inc.  4.625 %  6/15/12    375     388  
Reed Elsevier Capital Inc.  7.750 %  1/15/14    1,300     1,469  
Reed Elsevier Capital Inc.  8.625 %  1/15/19    1,275     1,562  
Rogers Communications Inc.  7.250 %  12/15/12    850     957  
Rogers Communications Inc.  6.375 %  3/1/14    5,325     5,887  
Rogers Communications Inc.  5.500 %  3/15/14    1,750     1,890  
Rogers Communications Inc.  6.800 %  8/15/18    10,400     11,629  
Rogers Communications Inc.  7.500 %  8/15/38    100     117  
RR Donnelley & Sons Co.  4.950 %  4/1/14    400     395  
RR Donnelley & Sons Co.  5.500 %  5/15/15    425     421  
RR Donnelley & Sons Co.  8.600 %  8/15/16    4,000     4,328  
RR Donnelley & Sons Co.  6.125 %  1/15/17    2,000     1,950  
TCI Communications Inc.  8.750 %  8/1/15    4,175     5,003  
TCI Communications Inc.  7.875 %  2/15/26    300     340  
Telecom Italia Capital SA  4.875 %  10/1/10    750     767  

43


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Telecom Italia Capital SA  6.200 %  7/18/11    5,525     5,856  
Telecom Italia Capital SA  5.250 %  11/15/13    6,750     7,117  
Telecom Italia Capital SA  6.175 %  6/18/14    1,475     1,612  
Telecom Italia Capital SA  4.950 %  9/30/14    7,475     7,767  
Telecom Italia Capital SA  5.250 %  10/1/15    3,500     3,670  
Telecom Italia Capital SA  6.999 %  6/4/18    200     219  
Telecom Italia Capital SA  7.175 %  6/18/19    4,150     4,645  
Telecom Italia Capital SA  6.375 %  11/15/33    2,875     2,836  
Telecom Italia Capital SA  6.000 %  9/30/34    200     188  
Telecom Italia Capital SA  7.200 %  7/18/36    1,100     1,184  
Telecom Italia Capital SA  7.721 %  6/4/38    325     374  
Telefonica Emisiones SAU  5.984 %  6/20/11    2,625     2,784  
Telefonica Emisiones SAU  5.855 %  2/4/13    525     569  
Telefonica Emisiones SAU  4.949 %  1/15/15    3,775     4,064  
Telefonica Emisiones SAU  6.421 %  6/20/16    4,975     5,538  
Telefonica Emisiones SAU  5.877 %  7/15/19    7,375     7,897  
Telefonica Emisiones SAU  7.045 %  6/20/36    2,175     2,479  
Telefonica Europe BV  8.250 %  9/15/30    1,500     1,879  
Telefonos de Mexico SAB de CV  5.500 %  1/27/15    5,725     5,926  
TELUS Corp.  8.000 %  6/1/11    1,137     1,232  
Thomson Reuters Corp.  6.200 %  1/5/12    1,525     1,647  
Thomson Reuters Corp.  5.950 %  7/15/13    725     795  
Thomson Reuters Corp.  5.700 %  10/1/14    5,075     5,573  
Thomson Reuters Corp.  6.500 %  7/15/18    250     282  
Thomson Reuters Corp.  4.700 %  10/15/19    1,625     1,608  
Thomson Reuters Corp.  5.500 %  8/15/35    1,500     1,433  
Time Warner Cable Inc.  5.400 %  7/2/12    1,925     2,055  
Time Warner Cable Inc.  6.200 %  7/1/13    2,775     3,035  
Time Warner Cable Inc.  8.250 %  2/14/14    1,225     1,429  
Time Warner Cable Inc.  7.500 %  4/1/14    2,475     2,853  
Time Warner Cable Inc.  3.500 %  2/1/15    925     913  
Time Warner Cable Inc.  5.850 %  5/1/17    7,600     7,974  
Time Warner Cable Inc.  6.750 %  7/1/18    9,250     10,199  
Time Warner Cable Inc.  8.750 %  2/14/19    3,100     3,780  
Time Warner Cable Inc.  8.250 %  4/1/19    11,050     13,149  
Time Warner Cable Inc.  5.000 %  2/1/20    1,900     1,847  
Time Warner Cable Inc.  6.550 %  5/1/37    975     996  
Time Warner Cable Inc.  6.750 %  6/15/39    2,365     2,479  
Time Warner Entertainment Co. LP  10.150 %  5/1/12    375     429  
Time Warner Entertainment Co. LP  8.875 %  10/1/12    550     632  
Time Warner Entertainment Co. LP  8.375 %  3/15/23    800     956  
Time Warner Entertainment Co. LP  8.375 %  7/15/33    2,975     3,547  
United States Cellular Corp.  6.700 %  12/15/33    1,025     1,003  
Verizon Communications Inc.  5.350 %  2/15/11    1,800     1,881  
Verizon Communications Inc.  4.350 %  2/15/13    200     210  
Verizon Communications Inc.  5.250 %  4/15/13    4,575     4,958  
Verizon Communications Inc.  4.900 %  9/15/15    575     617  
Verizon Communications Inc.  5.550 %  2/15/16    3,675     3,932  
Verizon Communications Inc.  5.500 %  2/15/18    17,750     18,470  
Verizon Communications Inc.  6.100 %  4/15/18    3,000     3,266  
Verizon Communications Inc.  8.750 %  11/1/18    1,775     2,247  
Verizon Communications Inc.  6.350 %  4/1/19    3,950     4,375  
Verizon Communications Inc.  5.850 %  9/15/35    5,150     5,006  
Verizon Communications Inc.  6.250 %  4/1/37    525     536  
Verizon Communications Inc.  6.400 %  2/15/38    2,075     2,191  
Verizon Communications Inc.  6.900 %  4/15/38    150     166  
Verizon Communications Inc.  8.950 %  3/1/39    4,300     5,859  

44


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Verizon Communications Inc.  7.350 %  4/1/39    5,425     6,315  
Verizon Global Funding Corp.  7.250 %  12/1/10    175     185  
Verizon Global Funding Corp.  6.875 %  6/15/12    5,750     6,389  
Verizon Global Funding Corp.  7.375 %  9/1/12    1,700     1,919  
Verizon Global Funding Corp.  4.375 %  6/1/13    200     211  
Verizon Global Funding Corp.  7.750 %  12/1/30    2,375     2,807  
Verizon Maryland Inc.  6.125 %  3/1/12    100     107  
Verizon Maryland Inc.  5.125 %  6/15/33    175     136  
Verizon New England Inc.  6.500 %  9/15/11    1,450     1,557  
Verizon New England Inc.  7.875 %  11/15/29    1,225     1,334  
Verizon New Jersey Inc.  5.875 %  1/17/12    1,700     1,815  
Verizon New York Inc.  6.875 %  4/1/12    900     978  
Verizon New York Inc.  7.375 %  4/1/32    650     686  
Verizon Pennsylvania Inc.  5.650 %  11/15/11    2,900     3,082  
Verizon Virginia Inc.  4.625 %  3/15/13    1,725     1,795  
Vodafone Group PLC  5.350 %  2/27/12    1,375     1,469  
Vodafone Group PLC  5.000 %  12/16/13    475     503  
Vodafone Group PLC  5.375 %  1/30/15    1,500     1,613  
Vodafone Group PLC  5.000 %  9/15/15    425     448  
Vodafone Group PLC  5.750 %  3/15/16    1,825     1,969  
Vodafone Group PLC  5.625 %  2/27/17    4,150     4,428  
Vodafone Group PLC  5.450 %  6/10/19    3,100     3,207  
Vodafone Group PLC  7.875 %  2/15/30    1,525     1,829  
Vodafone Group PLC  6.250 %  11/30/32    2,675     2,693  
Vodafone Group PLC  6.150 %  2/27/37    2,625     2,718  
Washington Post Co.  7.250 %  2/1/19    875     961  
WPP Finance UK  5.875 %  6/15/14    6,125     6,213  
WPP Finance UK  8.000 %  9/15/14    625     702  
 
Consumer Cyclical (1.0%)                   
AutoZone Inc.  5.750 %  1/15/15    2,400     2,574  
Best Buy Co. Inc.  6.750 %  7/15/13    2,875     3,159  
Costco Wholesale Corp.  5.500 %  3/15/17    3,500     3,760  
CVS Caremark Corp.  5.750 %  8/15/11    875     931  
CVS Caremark Corp.  4.875 %  9/15/14    2,750     2,914  
CVS Caremark Corp.  6.125 %  8/15/16    2,375     2,560  
CVS Caremark Corp.  5.750 %  6/1/17    750     790  
CVS Caremark Corp.  6.600 %  3/15/19    4,525     4,936  
CVS Caremark Corp.  6.250 %  6/1/27    5,150     5,240  
3 CVS Caremark Corp.  6.302 %  6/1/37    1,550     1,332  
Daimler Finance North America LLC  5.875 %  3/15/11    200     209  
Daimler Finance North America LLC  5.750 %  9/8/11    3,050     3,224  
Daimler Finance North America LLC  7.300 %  1/15/12    7,050     7,660  
Daimler Finance North America LLC  6.500 %  11/15/13    7,100     7,791  
Daimler Finance North America LLC  8.500 %  1/18/31    4,700     5,717  
Darden Restaurants Inc.  5.625 %  10/15/12    2,675     2,855  
Darden Restaurants Inc.  6.200 %  10/15/17    1,850     1,956  
Darden Restaurants Inc.  6.800 %  10/15/37    950     982  
Historic TW Inc.  9.125 %  1/15/13    1,475     1,715  
Historic TW Inc.  9.150 %  2/1/23    3,425     4,186  
Historic TW Inc.  6.625 %  5/15/29    2,925     3,069  
Home Depot Inc.  5.200 %  3/1/11    325     339  
Home Depot Inc.  5.250 %  12/16/13    6,050     6,475  
Home Depot Inc.  5.400 %  3/1/16    6,900     7,198  
Home Depot Inc.  5.875 %  12/16/36    2,000     1,932  
Johnson Controls Inc.  5.250 %  1/15/11    1,000     1,043  
Johnson Controls Inc.  6.000 %  1/15/36    350     300  

45


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Kohl’s Corp.  6.250 %  12/15/17    850     937  
Kohl’s Corp.  6.000 %  1/15/33    300     304  
Kohl’s Corp.  6.875 %  12/15/37    700     794  
Lowe’s Cos. Inc.  5.600 %  9/15/12    850     930  
Lowe’s Cos. Inc.  5.400 %  10/15/16    1,925     2,067  
Lowe’s Cos. Inc.  6.100 %  9/15/17    875     969  
Lowe’s Cos. Inc.  6.875 %  2/15/28    350     392  
Lowe’s Cos. Inc.  6.500 %  3/15/29    1,050     1,156  
Lowe’s Cos. Inc.  5.800 %  10/15/36    2,175     2,224  
Marriott International Inc.  4.625 %  6/15/12    1,000     1,012  
Marriott International Inc.  5.625 %  2/15/13    850     876  
Marriott International Inc.  6.200 %  6/15/16    550     559  
Marriott International Inc.  6.375 %  6/15/17    650     671  
McDonald’s Corp.  6.000 %  4/15/11    975     1,035  
McDonald’s Corp.  5.300 %  3/15/17    300     323  
McDonald’s Corp.  5.800 %  10/15/17    1,825     2,025  
McDonald’s Corp.  5.350 %  3/1/18    1,875     2,017  
McDonald’s Corp.  5.000 %  2/1/19    1,025     1,085  
McDonald’s Corp.  6.300 %  10/15/37    750     822  
McDonald’s Corp.  6.300 %  3/1/38    1,825     2,012  
McDonald’s Corp.  5.700 %  2/1/39    850     873  
MDC Holdings Inc.  5.500 %  5/15/13    750     753  
Nordstrom Inc.  6.750 %  6/1/14    175     194  
Nordstrom Inc.  6.250 %  1/15/18    525     570  
Nordstrom Inc.  6.950 %  3/15/28    425     460  
Nordstrom Inc.  7.000 %  1/15/38    475     526  
PACCAR Financial Corp.  1.950 %  12/17/12    2,150     2,124  
PACCAR Inc.  6.875 %  2/15/14    1,200     1,362  
Staples Inc.  7.750 %  4/1/11    5,800     6,231  
Staples Inc.  9.750 %  1/15/14    6,800     8,296  
Target Corp.  6.350 %  1/15/11    675     713  
Target Corp.  5.875 %  3/1/12    1,825     1,979  
Target Corp.  5.125 %  1/15/13    625     680  
Target Corp.  4.000 %  6/15/13    600     624  
Target Corp.  5.875 %  7/15/16    3,575     3,927  
Target Corp.  5.375 %  5/1/17    100     108  
Target Corp.  6.000 %  1/15/18    2,825     3,110  
Target Corp.  7.000 %  7/15/31    1,425     1,627  
Target Corp.  6.350 %  11/1/32    1,650     1,767  
Target Corp.  6.500 %  10/15/37    1,875     2,073  
Target Corp.  7.000 %  1/15/38    5,300     6,180  
Time Warner Cos. Inc.  7.570 %  2/1/24    325     354  
Time Warner Cos. Inc.  6.950 %  1/15/28    150     161  
Time Warner Inc.  6.750 %  4/15/11    2,450     2,599  
Time Warner Inc.  5.500 %  11/15/11    3,850     4,087  
Time Warner Inc.  6.875 %  5/1/12    1,825     1,998  
Time Warner Inc.  5.875 %  11/15/16    2,525     2,722  
Time Warner Inc.  7.625 %  4/15/31    3,100     3,624  
Time Warner Inc.  7.700 %  5/1/32    2,050     2,395  
Time Warner Inc.  6.500 %  11/15/36    1,900     1,990  
TJX Cos. Inc.  6.950 %  4/15/19    5,075     5,868  
Toll Brothers Finance Corp.  6.875 %  11/15/12    16     17  
Toll Brothers Finance Corp.  5.950 %  9/15/13    18     18  
Toll Brothers Finance Corp.  5.150 %  5/15/15    1,000     953  
Toll Brothers Finance Corp.  6.750 %  11/1/19    1,350     1,299  
Toyota Motor Credit Corp.  4.350 %  12/15/10    1,425     1,475  
Toyota Motor Credit Corp.  5.450 %  5/18/11    1,025     1,083  

46


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
VF Corp.  5.950 %  11/1/17    850     917  
VF Corp.  6.450 %  11/1/37    850     891  
Viacom Inc.  4.375 %  9/15/14    375     385  
Viacom Inc.  6.250 %  4/30/16    1,625     1,781  
Viacom Inc.  6.125 %  10/5/17    1,250     1,349  
Viacom Inc.  5.625 %  9/15/19    9,270     9,611  
Viacom Inc.  6.875 %  4/30/36    100     106  
Wal-Mart Stores Inc.  4.125 %  2/15/11    5,475     5,685  
Wal-Mart Stores Inc.  4.250 %  4/15/13    25     26  
Wal-Mart Stores Inc.  4.550 %  5/1/13    2,250     2,392  
Wal-Mart Stores Inc.  7.250 %  6/1/13    550     633  
Wal-Mart Stores Inc.  3.200 %  5/15/14    1,800     1,829  
Wal-Mart Stores Inc.  4.500 %  7/1/15    2,225     2,374  
Wal-Mart Stores Inc.  5.375 %  4/5/17    625     676  
Wal-Mart Stores Inc.  5.800 %  2/15/18    5,625     6,313  
Wal-Mart Stores Inc.  5.875 %  4/5/27    8,150     8,785  
Wal-Mart Stores Inc.  7.550 %  2/15/30    3,650     4,561  
Wal-Mart Stores Inc.  5.250 %  9/1/35    1,425     1,418  
Wal-Mart Stores Inc.  6.500 %  8/15/37    5,250     6,036  
Wal-Mart Stores Inc.  6.200 %  4/15/38    5,025     5,576  
Walgreen Co.  4.875 %  8/1/13    3,575     3,825  
Walgreen Co.  5.250 %  1/15/19    1,675     1,782  
Walt Disney Co.  5.700 %  7/15/11    4,500     4,812  
Walt Disney Co.  6.375 %  3/1/12    700     769  
Walt Disney Co.  4.700 %  12/1/12    100     108  
Walt Disney Co.  4.500 %  12/15/13    2,300     2,443  
Walt Disney Co.  6.200 %  6/20/14    2,000     2,236  
Walt Disney Co.  5.625 %  9/15/16    2,425     2,635  
Walt Disney Co.  5.875 %  12/15/17    1,875     2,023  
Walt Disney Co.  7.000 %  3/1/32    325     378  
Western Union Co.  5.400 %  11/17/11    225     240  
Western Union Co.  6.500 %  2/26/14    3,275     3,674  
Western Union Co.  5.930 %  10/1/16    1,825     1,981  
Western Union Co.  6.200 %  11/17/36    950     957  
Yum! Brands Inc.  8.875 %  4/15/11    950     1,031  
Yum! Brands Inc.  7.700 %  7/1/12    775     868  
Yum! Brands Inc.  4.250 %  9/15/15    2,000     2,019  
Yum! Brands Inc.  6.250 %  4/15/16    100     107  
Yum! Brands Inc.  6.250 %  3/15/18    700     757  
Yum! Brands Inc.  6.875 %  11/15/37    1,350     1,463  
 
Consumer Noncyclical (2.5%)                   
Abbott Laboratories  3.750 %  3/15/11    1,725     1,780  
Abbott Laboratories  5.600 %  5/15/11    2,025     2,152  
Abbott Laboratories  5.150 %  11/30/12    1,100     1,205  
Abbott Laboratories  4.350 %  3/15/14    2,075     2,193  
Abbott Laboratories  5.875 %  5/15/16    4,900     5,435  
Abbott Laboratories  5.600 %  11/30/17    4,450     4,863  
Abbott Laboratories  5.125 %  4/1/19    925     969  
Abbott Laboratories  6.150 %  11/30/37    5,600     6,044  
Abbott Laboratories  6.000 %  4/1/39    575     613  
Allergan Inc./United States  5.750 %  4/1/16    400     432  
Altria Group Inc.  8.500 %  11/10/13    8,450     9,784  
Altria Group Inc.  7.750 %  2/6/14    4,600     5,224  
Altria Group Inc.  9.700 %  11/10/18    3,300     4,090  
Altria Group Inc.  9.250 %  8/6/19    75     91  
Altria Group Inc.  9.950 %  11/10/38    6,750     8,904  

47


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Altria Group Inc.  10.200 %  2/6/39    4,625     6,187  
AmerisourceBergen Corp.  5.625 %  9/15/12    425     457  
AmerisourceBergen Corp.  5.875 %  9/15/15    2,825     3,082  
AmerisourceBergen Corp.  4.875 %  11/15/19    975     967  
Amgen Inc.  4.850 %  11/18/14    3,575     3,850  
Amgen Inc.  5.850 %  6/1/17    5,750     6,303  
Amgen Inc.  5.700 %  2/1/19    1,350     1,456  
Amgen Inc.  6.375 %  6/1/37    1,350     1,476  
Amgen Inc.  6.400 %  2/1/39    4,225     4,645  
Anheuser-Busch Cos. Inc.  6.000 %  4/15/11    725     766  
Anheuser-Busch Cos. Inc.  4.375 %  1/15/13    1,150     1,189  
Anheuser-Busch Cos. Inc.  5.600 %  3/1/17    1,375     1,423  
Anheuser-Busch Cos. Inc.  5.500 %  1/15/18    2,950     3,020  
Anheuser-Busch Cos. Inc.  6.800 %  8/20/32    775     831  
Anheuser-Busch Cos. Inc.  5.750 %  4/1/36    2,905     2,778  
4 Anheuser-Busch InBev Worldwide Inc.  3.000 %  10/15/12    4,000     4,033  
4 Anheuser-Busch InBev Worldwide Inc.  4.125 %  1/15/15    4,000     4,050  
4 Anheuser-Busch InBev Worldwide Inc.  5.375 %  1/15/20    7,100     7,218  
4 Anheuser-Busch InBev Worldwide Inc.  6.375 %  1/15/40    375     391  
Archer-Daniels-Midland Co.  8.375 %  4/15/17    100     122  
Archer-Daniels-Midland Co.  5.450 %  3/15/18    2,975     3,174  
Archer-Daniels-Midland Co.  7.000 %  2/1/31    1,075     1,240  
Archer-Daniels-Midland Co.  5.935 %  10/1/32    1,775     1,801  
Archer-Daniels-Midland Co.  5.375 %  9/15/35    1,850     1,790  
Archer-Daniels-Midland Co.  6.450 %  1/15/38    650     723  
AstraZeneca PLC  5.400 %  9/15/12    3,150     3,443  
AstraZeneca PLC  5.400 %  6/1/14    2,925     3,208  
AstraZeneca PLC  5.900 %  9/15/17    5,125     5,679  
AstraZeneca PLC  6.450 %  9/15/37    5,325     5,970  
Baxter FinCo BV  4.750 %  10/15/10    1,950     2,010  
Baxter International Inc.  5.900 %  9/1/16    875     972  
Baxter International Inc.  6.250 %  12/1/37    3,675     3,991  
Becton Dickinson and Co.  5.000 %  5/15/19    450     466  
Biogen Idec Inc.  6.000 %  3/1/13    750     807  
Biogen Idec Inc.  6.875 %  3/1/18    4,300     4,586  
Bottling Group LLC  4.625 %  11/15/12    5,025     5,408  
Bottling Group LLC  5.000 %  11/15/13    2,700     2,917  
Bottling Group LLC  6.950 %  3/15/14    4,225     4,897  
Bottling Group LLC  5.500 %  4/1/16    1,925     2,081  
Bristol-Myers Squibb Co.  5.250 %  8/15/13    650     708  
Bristol-Myers Squibb Co.  5.450 %  5/1/18    800     863  
Bristol-Myers Squibb Co.  7.150 %  6/15/23    100     120  
Bristol-Myers Squibb Co.  6.800 %  11/15/26    100     114  
Bristol-Myers Squibb Co.  5.875 %  11/15/36    3,100     3,251  
Bristol-Myers Squibb Co.  6.125 %  5/1/38    625     681  
Bristol-Myers Squibb Co.  6.875 %  8/1/97    325     355  
Bunge Ltd. Finance Corp.  5.100 %  7/15/15    575     570  
Bunge Ltd. Finance Corp.  8.500 %  6/15/19    775     881  
Campbell Soup Co.  6.750 %  2/15/11    2,100     2,238  
Cardinal Health Inc.  5.650 %  6/15/12    17     18  
Cardinal Health Inc.  4.000 %  6/15/15    100     98  
4 CareFusion Corp.  4.125 %  8/1/12    350     362  
4 CareFusion Corp.  5.125 %  8/1/14    1,985     2,087  
4 CareFusion Corp.  6.375 %  8/1/19    4,850     5,242  
Cia de Bebidas das Americas  10.500 %  12/15/11    1,375     1,585  
Cia de Bebidas das Americas  8.750 %  9/15/13    1,450     1,686  
Clorox Co.  4.200 %  1/15/10    425     425  

48


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Clorox Co.  5.450 %  10/15/12    2,135     2,305  
Clorox Co.  5.000 %  1/15/15    525     556  
Clorox Co.  3.550 %  11/1/15    1,850     1,842  
Coca-Cola Co.  5.350 %  11/15/17    2,700     2,931  
Coca-Cola Co.  4.875 %  3/15/19    4,600     4,811  
Coca-Cola Enterprises Inc.  5.000 %  8/15/13    2,900     3,129  
Coca-Cola Enterprises Inc.  7.375 %  3/3/14    4,425     5,159  
Coca-Cola Enterprises Inc.  4.250 %  3/1/15    100     105  
Coca-Cola Enterprises Inc.  4.500 %  8/15/19    900     904  
Coca-Cola Enterprises Inc.  8.500 %  2/1/22    3,250     4,159  
Coca-Cola Enterprises Inc.  7.000 %  10/1/26    1,525     1,774  
Coca-Cola Enterprises Inc.  6.950 %  11/15/26    1,050     1,191  
Coca-Cola Enterprises Inc.  6.750 %  9/15/28    475     539  
Coca-Cola HBC Finance BV  5.125 %  9/17/13    325     348  
Coca-Cola HBC Finance BV  5.500 %  9/17/15    3,500     3,805  
ConAgra Foods Inc.  6.750 %  9/15/11    22     24  
ConAgra Foods Inc.  5.875 %  4/15/14    1,295     1,410  
ConAgra Foods Inc.  5.819 %  6/15/17    225     235  
ConAgra Foods Inc.  7.125 %  10/1/26    450     488  
ConAgra Foods Inc.  7.000 %  10/1/28    250     266  
ConAgra Foods Inc.  8.250 %  9/15/30    500     598  
Covidien International Finance SA  5.450 %  10/15/12    725     788  
Covidien International Finance SA  6.000 %  10/15/17    1,525     1,644  
Covidien International Finance SA  6.550 %  10/15/37    3,980     4,451  
CR Bard Inc.  6.700 %  12/1/26    1,800     1,916  
Delhaize America Inc.  9.000 %  4/15/31    625     801  
Delhaize Group SA  5.875 %  2/1/14    1,400     1,499  
Diageo Capital PLC  5.200 %  1/30/13    2,425     2,597  
Diageo Capital PLC  7.375 %  1/15/14    3,100     3,581  
Diageo Capital PLC  5.500 %  9/30/16    425     452  
Diageo Capital PLC  5.750 %  10/23/17    2,500     2,697  
Diageo Capital PLC  5.875 %  9/30/36    200     208  
Diageo Finance BV  5.300 %  10/28/15    1,800     1,944  
Diageo Investment Corp.  9.000 %  8/15/11    1,050     1,168  
Diageo Investment Corp.  7.450 %  4/15/35    200     239  
Dr Pepper Snapple Group Inc.  1.700 %  12/21/11    1,125     1,124  
Dr Pepper Snapple Group Inc.  2.350 %  12/21/12    1,125     1,128  
Dr Pepper Snapple Group Inc.  6.120 %  5/1/13    525     575  
Dr Pepper Snapple Group Inc.  6.820 %  5/1/18    1,600     1,806  
Dr Pepper Snapple Group Inc.  7.450 %  5/1/38    425     501  
Eli Lilly & Co.  3.550 %  3/6/12    3,100     3,226  
Eli Lilly & Co.  6.000 %  3/15/12    950     1,038  
Eli Lilly & Co.  4.200 %  3/6/14    2,200     2,315  
Eli Lilly & Co.  5.200 %  3/15/17    2,625     2,783  
Eli Lilly & Co.  5.500 %  3/15/27    2,150     2,172  
Eli Lilly & Co.  5.550 %  3/15/37    200     202  
Estee Lauder Cos. Inc.  6.000 %  5/15/37    200     194  
Express Scripts Inc.  5.250 %  6/15/12    1,625     1,729  
Express Scripts Inc.  6.250 %  6/15/14    4,700     5,150  
Express Scripts Inc.  7.250 %  6/15/19    650     741  
Fortune Brands Inc.  5.125 %  1/15/11    1,475     1,518  
Fortune Brands Inc.  3.000 %  6/1/12    3,200     3,174  
Fortune Brands Inc.  6.375 %  6/15/14    1,300     1,390  
Fortune Brands Inc.  5.375 %  1/15/16    1,500     1,507  
Fortune Brands Inc.  5.875 %  1/15/36    875     750  
Genentech Inc.  4.750 %  7/15/15    800     855  
Genentech Inc.  5.250 %  7/15/35    300     287  

49


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
General Mills Inc.  6.000 %  2/15/12    5,525     5,980  
General Mills Inc.  5.650 %  9/10/12    625     681  
General Mills Inc.  5.250 %  8/15/13    1,650     1,783  
General Mills Inc.  5.200 %  3/17/15    2,000     2,147  
General Mills Inc.  5.700 %  2/15/17    8,025     8,713  
General Mills Inc.  5.650 %  2/15/19    1,125     1,200  
GlaxoSmithKline Capital Inc.  4.850 %  5/15/13    4,125     4,407  
GlaxoSmithKline Capital Inc.  4.375 %  4/15/14    1,800     1,900  
GlaxoSmithKline Capital Inc.  5.650 %  5/15/18    4,850     5,225  
GlaxoSmithKline Capital Inc.  5.375 %  4/15/34    950     911  
GlaxoSmithKline Capital Inc.  6.375 %  5/15/38    10,680     11,873  
Hasbro Inc.  6.300 %  9/15/17    2,125     2,246  
Hershey Co.  5.450 %  9/1/16    425     446  
HJ Heinz Co.  5.350 %  7/15/13    625     673  
HJ Heinz Finance Co.  6.625 %  7/15/11    2,175     2,330  
HJ Heinz Finance Co.  6.750 %  3/15/32    1,325     1,388  
Hospira Inc.  5.900 %  6/15/14    500     542  
Hospira Inc.  6.400 %  5/15/15    275     305  
Hospira Inc.  6.050 %  3/30/17    100     105  
Johnson & Johnson  5.150 %  8/15/12    1,525     1,666  
Johnson & Johnson  5.550 %  8/15/17    1,950     2,155  
Johnson & Johnson  5.150 %  7/15/18    550     591  
Johnson & Johnson  6.950 %  9/1/29    1,300     1,566  
Johnson & Johnson  4.950 %  5/15/33    1,600     1,560  
Johnson & Johnson  5.950 %  8/15/37    800     885  
Johnson & Johnson  5.850 %  7/15/38    950     1,029  
Kellogg Co.  5.125 %  12/3/12    1,475     1,610  
Kellogg Co.  4.250 %  3/6/13    1,375     1,454  
Kellogg Co.  4.150 %  11/15/19    2,150     2,101  
Kellogg Co.  7.450 %  4/1/31    2,500     3,043  
Kimberly-Clark Corp.  5.625 %  2/15/12    1,075     1,153  
Kimberly-Clark Corp.  4.875 %  8/15/15    1,875     2,022  
Kimberly-Clark Corp.  6.125 %  8/1/17    2,475     2,739  
Kimberly-Clark Corp.  7.500 %  11/1/18    800     967  
Kimberly-Clark Corp.  6.625 %  8/1/37    200     229  
Koninklijke Philips Electronics NV  4.625 %  3/11/13    1,300     1,362  
Koninklijke Philips Electronics NV  5.750 %  3/11/18    3,250     3,453  
Koninklijke Philips Electronics NV  6.875 %  3/11/38    3,050     3,463  
Kraft Foods Inc.  5.625 %  11/1/11    7,450     7,927  
Kraft Foods Inc.  6.250 %  6/1/12    1,225     1,321  
Kraft Foods Inc.  6.000 %  2/11/13    2,950     3,163  
Kraft Foods Inc.  5.250 %  10/1/13    100     106  
Kraft Foods Inc.  6.750 %  2/19/14    200     222  
Kraft Foods Inc.  6.500 %  8/11/17    5,375     5,831  
Kraft Foods Inc.  6.125 %  2/1/18    100     106  
Kraft Foods Inc.  6.125 %  8/23/18    1,900     2,016  
Kraft Foods Inc.  6.500 %  11/1/31    3,275     3,299  
Kraft Foods Inc.  7.000 %  8/11/37    3,675     3,916  
Kraft Foods Inc.  6.875 %  2/1/38    4,975     5,217  
Kraft Foods Inc.  6.875 %  1/26/39    525     552  
Kroger Co.  6.800 %  4/1/11    1,225     1,301  
Kroger Co.  6.750 %  4/15/12    100     110  
Kroger Co.  6.200 %  6/15/12    1,950     2,124  
Kroger Co.  5.500 %  2/1/13    425     454  
Kroger Co.  5.000 %  4/15/13    1,050     1,110  
Kroger Co.  4.950 %  1/15/15    1,950     2,053  
Kroger Co.  6.400 %  8/15/17    200     219  

50


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Kroger Co.  6.800 %  12/15/18    2,400     2,683  
Kroger Co.  6.150 %  1/15/20    2,525     2,703  
Kroger Co.  7.700 %  6/1/29    2,800     3,275  
Kroger Co.  8.000 %  9/15/29    3,775     4,524  
Kroger Co.  7.500 %  4/1/31    625     725  
Kroger Co.  6.900 %  4/15/38    625     698  
Laboratory Corp. of America Holdings  5.500 %  2/1/13    425     442  
Laboratory Corp. of America Holdings  5.625 %  12/15/15    850     889  
Lorillard Tobacco Co.  8.125 %  6/23/19    7,550     8,302  
McKesson Corp.  7.750 %  2/1/12    450     497  
McKesson Corp.  5.250 %  3/1/13    3,450     3,663  
4 Mead Johnson Nutrition Co.  3.500 %  11/1/14    2,525     2,507  
4 Mead Johnson Nutrition Co.  4.900 %  11/1/19    2,850     2,792  
4 Mead Johnson Nutrition Co.  5.900 %  11/1/39    1,025     999  
Medco Health Solutions Inc.  6.125 %  3/15/13    1,425     1,528  
Medco Health Solutions Inc.  7.250 %  8/15/13    925     1,027  
Medco Health Solutions Inc.  7.125 %  3/15/18    4,785     5,383  
Medtronic Inc.  4.500 %  3/15/14    1,000     1,063  
Medtronic Inc.  4.750 %  9/15/15    1,775     1,914  
Medtronic Inc.  6.500 %  3/15/39    500     562  
Merck & Co. Inc.  1.875 %  6/30/11    3,000     3,040  
Merck & Co. Inc.  5.125 %  11/15/11    725     781  
Merck & Co. Inc.  4.375 %  2/15/13    1,225     1,302  
Merck & Co. Inc.  5.300 %  12/1/13    500     551  
Merck & Co. Inc.  4.750 %  3/1/15    1,200     1,296  
Merck & Co. Inc.  4.000 %  6/30/15    2,000     2,097  
Merck & Co. Inc.  6.000 %  9/15/17    2,300     2,573  
Merck & Co. Inc.  5.000 %  6/30/19    1,650     1,730  
Merck & Co. Inc.  6.400 %  3/1/28    1,525     1,669  
Merck & Co. Inc.  5.950 %  12/1/28    775     826  
Merck & Co. Inc.  6.500 %  12/1/33    4,675     5,289  
Merck & Co. Inc.  5.750 %  11/15/36    325     338  
Merck & Co. Inc.  6.550 %  9/15/37    4,425     5,078  
Merck & Co. Inc.  5.850 %  6/30/39    6,225     6,640  
Novant Health Inc.  5.850 %  11/1/19    2,125     2,111  
Novartis Capital Corp.  4.125 %  2/10/14    6,525     6,843  
Novartis Securities Investment Ltd.  5.125 %  2/10/19    4,825     5,034  
Pepsi Bottling Group Inc.  7.000 %  3/1/29    5,325     6,197  
PepsiAmericas Inc.  5.750 %  7/31/12    1,050     1,144  
PepsiAmericas Inc.  4.375 %  2/15/14    100     105  
PepsiAmericas Inc.  4.875 %  1/15/15    100     106  
PepsiAmericas Inc.  5.000 %  5/15/17    1,400     1,471  
PepsiCo Inc.  5.150 %  5/15/12    800     863  
PepsiCo Inc.  4.650 %  2/15/13    2,900     3,108  
PepsiCo Inc.  3.750 %  3/1/14    6,150     6,381  
PepsiCo Inc.  5.000 %  6/1/18    5,425     5,664  
PepsiCo Inc.  7.900 %  11/1/18    1,150     1,410  
Pfizer Inc.  4.450 %  3/15/12    12,650     13,393  
Pfizer Inc.  5.350 %  3/15/15    5,200     5,699  
Pfizer Inc.  6.200 %  3/15/19    6,850     7,627  
Pfizer Inc.  7.200 %  3/15/39    10,325     12,711  
Pharmacia Corp.  6.500 %  12/1/18    200     226  
Pharmacia Corp.  6.600 %  12/1/28    625     695  
Philip Morris International Inc.  4.875 %  5/16/13    3,150     3,349  
Philip Morris International Inc.  6.875 %  3/17/14    3,900     4,436  
Philip Morris International Inc.  5.650 %  5/16/18    2,950     3,103  
Philip Morris International Inc.  6.375 %  5/16/38    2,650     2,866  

51


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
3 Procter & Gamble-Esop  9.360 %  1/1/21    3,176     3,969  
Procter & Gamble Co.  4.600 %  1/15/14    1,300     1,392  
Procter & Gamble Co.  4.950 %  8/15/14    850     924  
Procter & Gamble Co.  3.500 %  2/15/15    4,500     4,605  
Procter & Gamble Co.  4.700 %  2/15/19    1,775     1,818  
Procter & Gamble Co.  6.450 %  1/15/26    2,750     3,106  
Procter & Gamble Co.  5.800 %  8/15/34    250     264  
Procter & Gamble Co.  5.550 %  3/5/37    2,950     3,036  
Quest Diagnostics Inc.  5.450 %  11/1/15    1,800     1,948  
Quest Diagnostics Inc.  6.400 %  7/1/17    175     193  
Quest Diagnostics Inc.  6.950 %  7/1/37    1,225     1,366  
Reynolds American Inc.  7.250 %  6/1/12    1,500     1,631  
Reynolds American Inc.  7.250 %  6/1/13    1,575     1,725  
Reynolds American Inc.  7.625 %  6/1/16    850     924  
Reynolds American Inc.  6.750 %  6/15/17    1,275     1,313  
Reynolds American Inc.  7.250 %  6/15/37    1,525     1,536  
Safeway Inc.  6.500 %  3/1/11    4,350     4,590  
Safeway Inc.  5.800 %  8/15/12    975     1,059  
Safeway Inc.  6.250 %  3/15/14    5,850     6,392  
Safeway Inc.  6.350 %  8/15/17    325     354  
Safeway Inc.  7.250 %  2/1/31    1,825     2,087  
Sara Lee Corp.  6.125 %  11/1/32    2,175     2,080  
St. Jude Medical Inc.  3.750 %  7/15/14    2,875     2,921  
St. Jude Medical Inc.  4.875 %  7/15/19    500     506  
Sysco Corp.  4.200 %  2/12/13    625     656  
Sysco Corp.  5.250 %  2/12/18    3,875     4,101  
Sysco Corp.  5.375 %  9/21/35    1,400     1,392  
Teva Pharmaceutical Finance Co. LLC  5.550 %  2/1/16    550     581  
Teva Pharmaceutical Finance Co. LLC  6.150 %  2/1/36    2,425     2,477  
4 Thermo Fisher Scientific Inc.  2.150 %  12/28/12    875     870  
4 Thermo Fisher Scientific Inc.  3.250 %  11/18/14    1,875     1,855  
Unilever Capital Corp.  7.125 %  11/1/10    3,400     3,580  
Unilever Capital Corp.  3.650 %  2/15/14    1,525     1,570  
Unilever Capital Corp.  4.800 %  2/15/19    700     719  
UST Inc.  6.625 %  7/15/12    200     217  
UST Inc.  5.750 %  3/1/18    1,000     982  
Watson Pharmaceuticals Inc.  5.000 %  8/15/14    1,250     1,279  
Whirlpool Corp.  5.500 %  3/1/13    4,075     4,203  
Whirlpool Corp.  8.600 %  5/1/14    900     1,019  
Wyeth  6.950 %  3/15/11    875     938  
Wyeth  5.500 %  3/15/13    2,750     2,986  
Wyeth  5.500 %  2/1/14    1,350     1,477  
Wyeth  5.500 %  2/15/16    7,500     8,077  
Wyeth  5.450 %  4/1/17    2,950     3,154  
Wyeth  6.450 %  2/1/24    525     587  
Wyeth  6.500 %  2/1/34    1,450     1,594  
Wyeth  6.000 %  2/15/36    2,025     2,103  
Wyeth  5.950 %  4/1/37    250     262  
Zimmer Holdings Inc.  4.625 %  11/30/19    700     702  
Zimmer Holdings Inc.  5.750 %  11/30/39    1,075     1,062  
 
Energy (1.4%)                   
Alberta Energy Co. Ltd.  7.375 %  11/1/31    425     474  
Anadarko Finance Co.  6.750 %  5/1/11    1,450     1,539  
Anadarko Finance Co.  7.500 %  5/1/31    200     224  
Anadarko Petroleum Corp.  7.625 %  3/15/14    1,950     2,238  
Anadarko Petroleum Corp.  5.750 %  6/15/14    800     865  

52


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Anadarko Petroleum Corp.  5.950 %  9/15/16    5,475     5,878  
Anadarko Petroleum Corp.  6.950 %  6/15/19    500     567  
Anadarko Petroleum Corp.  6.450 %  9/15/36    9,025     9,395  
Anadarko Petroleum Corp.  7.950 %  6/15/39    825     1,015  
Apache Corp.  6.250 %  4/15/12    875     956  
Apache Corp.  5.250 %  4/15/13    300     321  
Apache Corp.  6.000 %  9/15/13    1,925     2,116  
Apache Corp.  5.625 %  1/15/17    250     268  
Apache Corp.  6.900 %  9/15/18    3,450     4,043  
Apache Corp.  6.000 %  1/15/37    1,550     1,639  
Apache Finance Canada Corp.  7.750 %  12/15/29    400     486  
Baker Hughes Inc.  7.500 %  11/15/18    325     389  
Baker Hughes Inc.  6.875 %  1/15/29    300     334  
BJ Services Co.  6.000 %  6/1/18    850     918  
BP Capital Markets PLC  3.125 %  3/10/12    200     206  
BP Capital Markets PLC  5.250 %  11/7/13    4,225     4,604  
BP Capital Markets PLC  3.625 %  5/8/14    3,650     3,731  
BP Capital Markets PLC  3.875 %  3/10/15    3,675     3,795  
BP Capital Markets PLC  4.750 %  3/10/19    5,300     5,404  
Burlington Resources Finance Co.  6.680 %  2/15/11    1,400     1,486  
Burlington Resources Finance Co.  6.500 %  12/1/11    1,400     1,531  
Burlington Resources Finance Co.  7.200 %  8/15/31    300     338  
Burlington Resources Finance Co.  7.400 %  12/1/31    1,775     2,032  
Cameron International Corp.  6.375 %  7/15/18    225     237  
Cameron International Corp.  7.000 %  7/15/38    100     106  
Canadian Natural Resources Ltd.  5.450 %  10/1/12    1,175     1,255  
Canadian Natural Resources Ltd.  5.150 %  2/1/13    475     502  
Canadian Natural Resources Ltd.  4.900 %  12/1/14    4,225     4,444  
Canadian Natural Resources Ltd.  6.000 %  8/15/16    1,150     1,218  
Canadian Natural Resources Ltd.  7.200 %  1/15/32    1,875     2,114  
Canadian Natural Resources Ltd.  6.450 %  6/30/33    2,025     2,104  
Canadian Natural Resources Ltd.  6.500 %  2/15/37    2,350     2,478  
Canadian Natural Resources Ltd.  6.250 %  3/15/38    650     671  
Canadian Natural Resources Ltd.  6.750 %  2/1/39    250     276  
4 Cenovus Energy Inc.  4.500 %  9/15/14    1,875     1,924  
4 Cenovus Energy Inc.  5.700 %  10/15/19    7,050     7,135  
4 Cenovus Energy Inc.  6.750 %  11/15/39    7,575     7,981  
Chevron Corp.  3.450 %  3/3/12    1,825     1,902  
Chevron Corp.  3.950 %  3/3/14    2,775     2,918  
Chevron Corp.  4.950 %  3/3/19    4,000     4,214  
Conoco Funding Co.  6.350 %  10/15/11    4,200     4,587  
Conoco Funding Co.  7.250 %  10/15/31    200     233  
ConocoPhillips  4.750 %  2/1/14    1,650     1,771  
ConocoPhillips  4.600 %  1/15/15    1,100     1,172  
ConocoPhillips  5.750 %  2/1/19    7,775     8,530  
ConocoPhillips  6.000 %  1/15/20    875     970  
ConocoPhillips  5.900 %  10/15/32    425     434  
ConocoPhillips  6.500 %  2/1/39    2,200     2,447  
ConocoPhillips Canada Funding Co. I  5.300 %  4/15/12    1,975     2,125  
ConocoPhillips Canada Funding Co. I  5.625 %  10/15/16    4,525     4,919  
ConocoPhillips Canada Funding Co. I  5.950 %  10/15/36    1,325     1,319  
ConocoPhillips Holding Co.  6.950 %  4/15/29    1,350     1,531  
Devon Energy Corp.  5.625 %  1/15/14    1,475     1,605  
Devon Energy Corp.  7.950 %  4/15/32    550     694  
Devon Financing Corp. ULC  6.875 %  9/30/11    2,950     3,198  
Devon Financing Corp. ULC  7.875 %  9/30/31    3,275     4,073  
Diamond Offshore Drilling Inc.  4.875 %  7/1/15    225     239  

53


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Diamond Offshore Drilling Inc.  5.875 %  5/1/19    850     906  
Diamond Offshore Drilling Inc.  5.700 %  10/15/39    1,850     1,815  
EnCana Corp.  5.900 %  12/1/17    2,100     2,252  
EnCana Corp.  7.200 %  11/1/31    1,800     1,947  
EnCana Corp.  6.500 %  8/15/34    2,925     3,137  
EnCana Corp.  6.625 %  8/15/37    1,250     1,366  
EnCana Holdings Finance Corp.  5.800 %  5/1/14    4,350     4,760  
EOG Resources Inc.  6.125 %  10/1/13    575     635  
EOG Resources Inc.  5.875 %  9/15/17    1,900     2,089  
EOG Resources Inc.  5.625 %  6/1/19    3,350     3,587  
Global Marine Inc.  7.000 %  6/1/28    850     892  
Halliburton Co.  6.150 %  9/15/19    4,975     5,578  
Halliburton Co.  6.700 %  9/15/38    3,500     3,919  
Halliburton Co.  7.450 %  9/15/39    525     648  
Hess Corp.  8.125 %  2/15/19    3,900     4,707  
Hess Corp.  7.875 %  10/1/29    1,950     2,322  
Hess Corp.  7.125 %  3/15/33    1,375     1,533  
Husky Energy Inc.  6.250 %  6/15/12    725     779  
Husky Energy Inc.  5.900 %  6/15/14    7,025     7,657  
Husky Energy Inc.  6.150 %  6/15/19    200     213  
Husky Energy Inc.  7.250 %  12/15/19    1,225     1,413  
Husky Energy Inc.  6.800 %  9/15/37    875     916  
Kerr-McGee Corp.  6.875 %  9/15/11    1,950     2,099  
Kerr-McGee Corp.  6.950 %  7/1/24    3,300     3,588  
Kerr-McGee Corp.  7.875 %  9/15/31    875     999  
Lasmo USA Inc.  7.300 %  11/15/27    175     206  
Marathon Global Funding Corp.  6.000 %  7/1/12    1,000     1,082  
Marathon Oil Corp.  6.125 %  3/15/12    825     893  
Marathon Oil Corp.  6.000 %  10/1/17    3,750     3,979  
Marathon Oil Corp.  5.900 %  3/15/18    1,350     1,427  
Marathon Oil Corp.  6.600 %  10/1/37    200     212  
Nabors Industries Inc.  6.150 %  2/15/18    2,650     2,746  
Nabors Industries Inc.  9.250 %  1/15/19    1,375     1,690  
Nexen Inc.  5.050 %  11/20/13    5,516     5,816  
Nexen Inc.  5.650 %  5/15/17    850     884  
Nexen Inc.  7.875 %  3/15/32    325     376  
Nexen Inc.  5.875 %  3/10/35    100     94  
Nexen Inc.  6.400 %  5/15/37    2,850     2,837  
Nexen Inc.  7.500 %  7/30/39    3,400     3,822  
Noble Energy Inc.  8.250 %  3/1/19    3,000     3,590  
Noble Energy Inc.  8.000 %  4/1/27    275     307  
Occidental Petroleum Corp.  4.250 %  3/15/10    575     580  
Occidental Petroleum Corp.  6.750 %  1/15/12    1,675     1,837  
Occidental Petroleum Corp.  7.000 %  11/1/13    3,100     3,546  
PC Financial Partnership  5.000 %  11/15/14    900     934  
Petro-Canada  4.000 %  7/15/13    1,325     1,367  
Petro-Canada  6.050 %  5/15/18    1,050     1,122  
Petro-Canada  7.875 %  6/15/26    500     578  
Petro-Canada  7.000 %  11/15/28    475     509  
Petro-Canada  5.350 %  7/15/33    1,425     1,287  
Petro-Canada  5.950 %  5/15/35    2,100     1,998  
Petro-Canada  6.800 %  5/15/38    525     579  
Questar Market Resources Inc.  6.050 %  9/1/16    975     994  
Questar Market Resources Inc.  6.800 %  3/1/20    1,750     1,830  
Rowan Cos. Inc.  7.875 %  8/1/19    875     974  
Shell International Finance BV  5.625 %  6/27/11    3,150     3,351  
Shell International Finance BV  4.950 %  3/22/12    1,025     1,099  

54


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Shell International Finance BV  4.000 %  3/21/14    3,150     3,295  
Shell International Finance BV  3.250 %  9/22/15    3,750     3,753  
Shell International Finance BV  5.200 %  3/22/17    975     1,048  
Shell International Finance BV  4.300 %  9/22/19    4,500     4,452  
Shell International Finance BV  6.375 %  12/15/38    10,125     11,266  
Smith International Inc.  9.750 %  3/15/19    5,000     6,335  
Statoil ASA  3.875 %  4/15/14    1,250     1,299  
Statoil ASA  2.900 %  10/15/14    950     946  
Statoil ASA  5.250 %  4/15/19    4,625     4,908  
Statoil ASA  7.250 %  9/23/27    1,975     2,329  
4 Statoil ASA  6.500 %  12/1/28    225     246  
Statoil ASA  7.150 %  1/15/29    900     1,058  
Suncor Energy Inc.  6.100 %  6/1/18    1,100     1,183  
Suncor Energy Inc.  7.150 %  2/1/32    425     454  
Suncor Energy Inc.  5.950 %  12/1/34    175     173  
Suncor Energy Inc.  6.500 %  6/15/38    8,950     9,411  
Suncor Energy Inc.  6.850 %  6/1/39    3,700     4,112  
Sunoco Inc.  4.875 %  10/15/14    500     504  
Sunoco Inc.  5.750 %  1/15/17    725     738  
Talisman Energy Inc.  5.125 %  5/15/15    375     389  
Talisman Energy Inc.  7.750 %  6/1/19    3,125     3,664  
Talisman Energy Inc.  7.250 %  10/15/27    200     218  
Talisman Energy Inc.  5.850 %  2/1/37    1,975     1,876  
Tosco Corp.  8.125 %  2/15/30    4,950     6,013  
Total Capital SA  3.125 %  10/2/15    2,000     1,972  
Transocean Inc.  5.250 %  3/15/13    1,125     1,204  
Transocean Inc.  6.000 %  3/15/18    1,875     2,001  
Transocean Inc.  7.500 %  4/15/31    775     900  
Transocean Inc.  6.800 %  3/15/38    1,600     1,776  
Valero Energy Corp.  6.875 %  4/15/12    4,375     4,708  
Valero Energy Corp.  4.750 %  6/15/13    2,400     2,447  
Valero Energy Corp.  9.375 %  3/15/19    1,575     1,880  
Valero Energy Corp.  7.500 %  4/15/32    1,725     1,765  
Valero Energy Corp.  6.625 %  6/15/37    6,400     5,972  
Weatherford International Inc.  5.950 %  6/15/12    200     214  
Weatherford International Inc.  6.350 %  6/15/17    4,625     4,852  
Weatherford International Inc.  6.800 %  6/15/37    525     526  
Weatherford International Ltd.  5.150 %  3/15/13    325     341  
Weatherford International Ltd.  6.000 %  3/15/18    525     536  
Weatherford International Ltd.  9.625 %  3/1/19    4,600     5,747  
Weatherford International Ltd.  6.500 %  8/1/36    2,750     2,621  
Weatherford International Ltd.  7.000 %  3/15/38    425     431  
XTO Energy Inc.  5.900 %  8/1/12    1,525     1,662  
XTO Energy Inc.  6.250 %  4/15/13    2,175     2,424  
XTO Energy Inc.  5.750 %  12/15/13    2,200     2,446  
XTO Energy Inc.  4.900 %  2/1/14    600     645  
XTO Energy Inc.  5.000 %  1/31/15    500     541  
XTO Energy Inc.  6.250 %  8/1/17    3,250     3,692  
XTO Energy Inc.  6.500 %  12/15/18    2,075     2,380  
XTO Energy Inc.  6.100 %  4/1/36    350     380  
XTO Energy Inc.  6.750 %  8/1/37    2,775     3,262  
XTO Energy Inc.  6.375 %  6/15/38    425     479  
 
Other Industrial (0.0%)                   
Cintas Corp. No 2  6.125 %  12/1/17    850     907  

55


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Technology (0.7%)                   
Agilent Technologies Inc.  4.450 %  9/14/12    175     181  
Agilent Technologies Inc.  5.500 %  9/14/15    1,300     1,366  
Agilent Technologies Inc.  6.500 %  11/1/17    5,325     5,646  
Amphenol Corp.  4.750 %  11/15/14    2,475     2,477  
Analog Devices Inc.  5.000 %  7/1/14    1,200     1,260  
Avnet Inc.  6.625 %  9/15/16    225     230  
BMC Software Inc.  7.250 %  6/1/18    825     896  
CA Inc.  5.375 %  12/1/19    2,250     2,274  
Cisco Systems Inc.  5.250 %  2/22/11    10,450     10,971  
Cisco Systems Inc.  5.500 %  2/22/16    1,625     1,792  
Cisco Systems Inc.  4.950 %  2/15/19    5,675     5,844  
Cisco Systems Inc.  4.450 %  1/15/20    500     491  
Cisco Systems Inc.  5.900 %  2/15/39    5,800     5,852  
Cisco Systems Inc.  5.500 %  1/15/40    8,075     7,749  
Computer Sciences Corp.  5.500 %  3/15/13    425     453  
Computer Sciences Corp.  6.500 %  3/15/18    100     108  
Corning Inc.  6.625 %  5/15/19    275     296  
Corning Inc.  7.250 %  8/15/36    100     102  
Dell Inc.  3.375 %  6/15/12    475     492  
Dell Inc.  4.700 %  4/15/13    2,025     2,134  
Dell Inc.  5.650 %  4/15/18    1,100     1,154  
Dell Inc.  5.875 %  6/15/19    1,000     1,068  
Dell Inc.  6.500 %  4/15/38    1,200     1,226  
Dun & Bradstreet Corp.  6.000 %  4/1/13    1,275     1,319  
Electronic Data Systems LLC  6.000 %  8/1/13    1,775     1,971  
Equifax Inc.  4.450 %  12/1/14    775     781  
Equifax Inc.  6.300 %  7/1/17    425     437  
Equifax Inc.  7.000 %  7/1/37    600     594  
Fiserv Inc.  6.125 %  11/20/12    2,875     3,135  
Fiserv Inc.  6.800 %  11/20/17    2,150     2,367  
Harris Corp.  5.000 %  10/1/15    1,275     1,321  
Harris Corp.  6.375 %  6/15/19    250     265  
Hewlett-Packard Co.  2.250 %  5/27/11    1,800     1,831  
Hewlett-Packard Co.  4.250 %  2/24/12    475     500  
Hewlett-Packard Co.  6.500 %  7/1/12    425     472  
Hewlett-Packard Co.  4.500 %  3/1/13    3,925     4,176  
Hewlett-Packard Co.  6.125 %  3/1/14    7,875     8,801  
Hewlett-Packard Co.  4.750 %  6/2/14    725     774  
Hewlett-Packard Co.  5.400 %  3/1/17    975     1,038  
Hewlett-Packard Co.  5.500 %  3/1/18    7,325     7,775  
IBM International Group Capital LLC  5.050 %  10/22/12    5,175     5,596  
International Business Machines Corp.  4.950 %  3/22/11    925     969  
International Business Machines Corp.  2.100 %  5/6/13    850     849  
International Business Machines Corp.  7.500 %  6/15/13    1,200     1,394  
International Business Machines Corp.  6.500 %  10/15/13    2,875     3,286  
International Business Machines Corp.  5.700 %  9/14/17    14,600     15,968  
International Business Machines Corp.  7.000 %  10/30/25    350     404  
International Business Machines Corp.  6.220 %  8/1/27    1,975     2,098  
International Business Machines Corp.  6.500 %  1/15/28    100     110  
International Business Machines Corp.  5.875 %  11/29/32    225     233  
International Business Machines Corp.  5.600 %  11/30/39    6,110     6,167  
International Game Technology  7.500 %  6/15/19    875     950  
Intuit Inc.  5.400 %  3/15/12    750     798  
Intuit Inc.  5.750 %  3/15/17    575     596  
Lexmark International Inc.  5.900 %  6/1/13    925     950  

56


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Lexmark International Inc.  6.650 %  6/1/18    1,700     1,674  
Microsoft Corp.  2.950 %  6/1/14    2,550     2,582  
Microsoft Corp.  4.200 %  6/1/19    375     378  
Microsoft Corp.  5.200 %  6/1/39    3,175     3,111  
Motorola Inc.  8.000 %  11/1/11    100     108  
Motorola Inc.  5.375 %  11/15/12    1,650     1,683  
Motorola Inc.  6.000 %  11/15/17    325     313  
Motorola Inc.  7.500 %  5/15/25    300     288  
Motorola Inc.  6.500 %  9/1/25    350     304  
Motorola Inc.  6.500 %  11/15/28    225     195  
Motorola Inc.  6.625 %  11/15/37    875     756  
Nokia Oyj  5.375 %  5/15/19    4,050     4,151  
Nokia Oyj  6.625 %  5/15/39    750     816  
Oracle Corp.  5.000 %  1/15/11    2,050     2,139  
Oracle Corp.  4.950 %  4/15/13    3,625     3,910  
Oracle Corp.  3.750 %  7/8/14    3,050     3,161  
Oracle Corp.  5.250 %  1/15/16    4,925     5,319  
Oracle Corp.  5.750 %  4/15/18    4,975     5,401  
Oracle Corp.  5.000 %  7/8/19    2,800     2,897  
Oracle Corp.  6.500 %  4/15/38    1,575     1,728  
Oracle Corp.  6.125 %  7/8/39    7,575     7,981  
Pitney Bowes Inc.  4.625 %  10/1/12    150     159  
Pitney Bowes Inc.  3.875 %  6/15/13    1,325     1,361  
Pitney Bowes Inc.  4.875 %  8/15/14    100     106  
Pitney Bowes Inc.  4.750 %  1/15/16    4,475     4,645  
Pitney Bowes Inc.  5.750 %  9/15/17    950     1,015  
Pitney Bowes Inc.  4.750 %  5/15/18    100     100  
Pitney Bowes Inc.  5.250 %  1/15/37    100     103  
Science Applications International Corp.  6.250 %  7/1/12    375     410  
Science Applications International Corp.  5.500 %  7/1/33    475     424  
Xerox Capital Trust I  8.000 %  2/1/27    1,575     1,555  
Xerox Corp.  7.125 %  6/15/10    1,400     1,438  
Xerox Corp.  6.875 %  8/15/11    700     748  
Xerox Corp.  5.500 %  5/15/12    1,125     1,191  
Xerox Corp.  7.625 %  6/15/13    1,125     1,153  
Xerox Corp.  8.250 %  5/15/14    4,550     5,250  
Xerox Corp.  4.250 %  2/15/15    700     697  
Xerox Corp.  6.400 %  3/15/16    1,525     1,614  
Xerox Corp.  6.750 %  2/1/17    1,100     1,184  
Xerox Corp.  6.350 %  5/15/18    2,950     3,098  
Xerox Corp.  5.625 %  12/15/19    525     525  
 
Transportation (0.4%)                   
3 American Airlines Pass Through Trust 2009-1A  10.375 %  7/2/19    825     924  
Burlington Northern Santa Fe Corp.  7.125 %  12/15/10    100     106  
Burlington Northern Santa Fe Corp.  6.750 %  7/15/11    1,200     1,295  
Burlington Northern Santa Fe Corp.  5.900 %  7/1/12    750     816  
Burlington Northern Santa Fe Corp.  5.650 %  5/1/17    2,025     2,151  
Burlington Northern Santa Fe Corp.  5.750 %  3/15/18    850     911  
Burlington Northern Santa Fe Corp.  7.000 %  12/15/25    1,700     1,866  
Burlington Northern Santa Fe Corp.  6.200 %  8/15/36    1,300     1,373  
Canadian National Railway Co.  6.375 %  10/15/11    425     462  
Canadian National Railway Co.  4.400 %  3/15/13    875     915  
Canadian National Railway Co.  4.950 %  1/15/14    125     133  
Canadian National Railway Co.  5.800 %  6/1/16    200     216  
Canadian National Railway Co.  5.850 %  11/15/17    350     380  

57


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Canadian National Railway Co.  6.900 %  7/15/28    100     114  
Canadian National Railway Co.  6.250 %  8/1/34    575     622  
Canadian National Railway Co.  6.200 %  6/1/36    975     1,057  
Canadian Pacific Railway Co.  7.125 %  10/15/31    200     211  
Canadian Pacific Railway Co.  5.950 %  5/15/37    325     309  
Con-way Inc.  6.700 %  5/1/34    2,475     1,939  
3 Continental Airlines Inc.  6.648 %  9/15/17    2,505     2,392  
3 Continental Airlines Inc.  6.900 %  1/2/18    936     922  
3 Continental Airlines Inc.  6.545 %  2/2/19    80     79  
Continental Airlines Inc.  7.250 %  11/10/19    1,200     1,227  
3 Continental Airlines Inc.  5.983 %  4/19/22    325     313  
CSX Corp.  6.750 %  3/15/11    1,200     1,273  
CSX Corp.  6.300 %  3/15/12    700     757  
CSX Corp.  5.500 %  8/1/13    1,900     2,027  
CSX Corp.  6.250 %  4/1/15    625     691  
CSX Corp.  5.600 %  5/1/17    450     467  
CSX Corp.  7.900 %  5/1/17    2,125     2,458  
CSX Corp.  6.250 %  3/15/18    3,375     3,659  
CSX Corp.  7.375 %  2/1/19    7,550     8,674  
CSX Corp.  7.950 %  5/1/27    100     117  
CSX Corp.  6.000 %  10/1/36    1,675     1,635  
CSX Corp.  6.150 %  5/1/37    900     914  
CSX Corp.  7.450 %  4/1/38    525     617  
3 Delta Air Lines Inc.  7.750 %  12/17/19    2,500     2,575  
3 Delta Air Lines Inc.  6.821 %  8/10/22    3,416     3,279  
Norfolk Southern Corp.  6.750 %  2/15/11    2,400     2,532  
Norfolk Southern Corp.  5.257 %  9/17/14    1,845     1,977  
Norfolk Southern Corp.  5.750 %  1/15/16    775     822  
Norfolk Southern Corp.  7.700 %  5/15/17    1,525     1,787  
Norfolk Southern Corp.  5.750 %  4/1/18    875     929  
Norfolk Southern Corp.  5.900 %  6/15/19    2,175     2,340  
Norfolk Southern Corp.  5.590 %  5/17/25    100     98  
Norfolk Southern Corp.  7.800 %  5/15/27    1,280     1,544  
Norfolk Southern Corp.  5.640 %  5/17/29    525     513  
Norfolk Southern Corp.  7.050 %  5/1/37    2,900     3,423  
Norfolk Southern Corp.  7.900 %  5/15/97    600     698  
Norfolk Southern Railway Co.  9.750 %  6/15/20    775     1,031  
Ryder System Inc.  5.950 %  5/2/11    428     442  
Ryder System Inc.  5.850 %  3/1/14    600     630  
Ryder System Inc.  7.200 %  9/1/15    1,250     1,353  
Ryder System Inc.  5.850 %  11/1/16    525     526  
Southwest Airlines Co.  6.500 %  3/1/12    2,300     2,403  
Southwest Airlines Co.  5.250 %  10/1/14    100     101  
Southwest Airlines Co.  5.750 %  12/15/16    1,125     1,091  
Southwest Airlines Co.  5.125 %  3/1/17    250     237  
3 Southwest Airlines Co. 2007-1 Pass Through Trust  6.150 %  8/1/22    854     855  
Union Pacific Corp.  6.650 %  1/15/11    1,275     1,346  
Union Pacific Corp.  6.500 %  4/15/12    700     762  
Union Pacific Corp.  5.450 %  1/31/13    1,325     1,426  
Union Pacific Corp.  5.375 %  5/1/14    425     455  
Union Pacific Corp.  7.000 %  2/1/16    100     111  
Union Pacific Corp.  5.650 %  5/1/17    1,150     1,222  
Union Pacific Corp.  5.750 %  11/15/17    2,175     2,311  
Union Pacific Corp.  5.700 %  8/15/18    2,650     2,781  
Union Pacific Corp.  7.875 %  1/15/19    5,500     6,621  
Union Pacific Corp.  6.625 %  2/1/29    400     431  

58


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
3 Union Pacific Railroad Co.                   
2007-3 Pass Through Trust  6.176 %  1/2/31    450     473  
United Parcel Service Inc.  3.875 %  4/1/14    3,550     3,696  
United Parcel Service Inc.  5.500 %  1/15/18    2,200     2,364  
United Parcel Service Inc.  5.125 %  4/1/19    1,125     1,196  
United Parcel Service Inc.  6.200 %  1/15/38    1,450     1,609  
                2,827,573  
Utilities (2.2%)                   
Electric (1.6%)                   
AEP Texas Central Co.  6.650 %  2/15/33    800     820  
Alabama Power Co.  4.850 %  12/15/12    525     562  
Alabama Power Co.  5.500 %  10/15/17    1,325     1,394  
Alabama Power Co.  6.125 %  5/15/38    1,000     1,069  
Alabama Power Co.  6.000 %  3/1/39    1,000     1,067  
American Water Capital Corp.  6.085 %  10/15/17    2,425     2,508  
American Water Capital Corp.  6.593 %  10/15/37    1,875     1,862  
Appalachian Power Co.  5.800 %  10/1/35    250     236  
Appalachian Power Co.  7.000 %  4/1/38    3,075     3,429  
Arizona Public Service Co.  6.375 %  10/15/11    200     213  
Arizona Public Service Co.  5.800 %  6/30/14    100     107  
Arizona Public Service Co.  4.650 %  5/15/15    400     403  
Arizona Public Service Co.  5.500 %  9/1/35    100     84  
Baltimore Gas & Electric Co.  5.900 %  10/1/16    1,225     1,305  
Baltimore Gas & Electric Co.  6.350 %  10/1/36    200     206  
Carolina Power & Light Co.  6.500 %  7/15/12    1,175     1,296  
Carolina Power & Light Co.  5.125 %  9/15/13    1,825     1,965  
Carolina Power & Light Co.  5.300 %  1/15/19    375     390  
CenterPoint Energy Houston Electric LLC  5.700 %  3/15/13    4,275     4,560  
CenterPoint Energy Houston Electric LLC  5.750 %  1/15/14    100     108  
CenterPoint Energy Houston Electric LLC  7.000 %  3/1/14    1,350     1,542  
CenterPoint Energy Houston Electric LLC  6.950 %  3/15/33    100     110  
CenterPoint Energy Inc.  6.500 %  5/1/18    150     153  
Cleveland Electric Illuminating Co.  7.880 %  11/1/17    425     501  
Cleveland Electric Illuminating Co.  5.500 %  8/15/24    1,125     1,115  
Columbus Southern Power Co.  5.850 %  10/1/35    1,750     1,653  
Commonwealth Edison Co.  6.150 %  3/15/12    650     703  
Commonwealth Edison Co.  5.950 %  8/15/16    2,975     3,236  
Commonwealth Edison Co.  6.150 %  9/15/17    9,200     9,998  
Commonwealth Edison Co.  5.800 %  3/15/18    1,075     1,148  
Commonwealth Edison Co.  5.875 %  2/1/33    100     100  
Commonwealth Edison Co.  5.900 %  3/15/36    875     875  
Commonwealth Edison Co.  6.450 %  1/15/38    850     909  
Connecticut Light & Power Co.  6.350 %  6/1/36    2,225     2,410  
Consolidated Edison Co. of New York Inc.  4.875 %  2/1/13    950     1,010  
Consolidated Edison Co. of New York Inc.  5.375 %  12/15/15    475     508  
Consolidated Edison Co. of New York Inc.  5.500 %  9/15/16    2,225     2,325  
Consolidated Edison Co. of New York Inc.  6.650 %  4/1/19    5,000     5,668  
Consolidated Edison Co. of New York Inc.  5.300 %  3/1/35    550     525  
Consolidated Edison Co. of New York Inc.  5.850 %  3/15/36    700     720  
Consolidated Edison Co. of New York Inc.  6.200 %  6/15/36    975     1,043  
Consolidated Edison Co. of New York Inc.  6.300 %  8/15/37    2,000     2,170  
Consolidated Edison Co. of New York Inc.  6.750 %  4/1/38    625     718  
Consolidated Natural Gas Co.  6.250 %  11/1/11    2,675     2,883  
Consolidated Natural Gas Co.  5.000 %  12/1/14    4,660     4,980  
Constellation Energy Group Inc.  7.000 %  4/1/12    350     380  
Constellation Energy Group Inc.  4.550 %  6/15/15    4,750     4,747  
Constellation Energy Group Inc.  7.600 %  4/1/32    700     756  

59


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Consumers Energy Co.  5.000 %  2/15/12    725     765  
Consumers Energy Co.  5.375 %  4/15/13    1,250     1,335  
Consumers Energy Co.  5.500 %  8/15/16    800     857  
Consumers Energy Co.  6.125 %  3/15/19    125     136  
Consumers Energy Co.  6.700 %  9/15/19    1,225     1,380  
Consumers Energy Co.  5.650 %  4/15/20    200     213  
Detroit Edison Co.  6.125 %  10/1/10    775     805  
Detroit Edison Co.  5.700 %  10/1/37    425     410  
Dominion Resources Inc.  4.750 %  12/15/10    875     906  
Dominion Resources Inc.  6.250 %  6/30/12    725     787  
Dominion Resources Inc.  5.700 %  9/17/12    300     324  
Dominion Resources Inc.  5.150 %  7/15/15    2,725     2,884  
Dominion Resources Inc.  6.000 %  11/30/17    1,750     1,894  
Dominion Resources Inc.  6.400 %  6/15/18    300     330  
Dominion Resources Inc.  6.300 %  3/15/33    350     357  
Dominion Resources Inc.  5.250 %  8/1/33    825     857  
Dominion Resources Inc.  5.950 %  6/15/35    2,375     2,379  
3 Dominion Resources Inc.  7.500 %  6/30/66    950     916  
3 Dominion Resources Inc.  6.300 %  9/30/66    800     708  
DTE Energy Co.  7.050 %  6/1/11    1,575     1,671  
DTE Energy Co.  6.375 %  4/15/33    100     95  
Duke Energy Carolinas LLC  6.250 %  1/15/12    2,575     2,790  
Duke Energy Carolinas LLC  5.750 %  11/15/13    100     110  
Duke Energy Carolinas LLC  6.000 %  12/1/28    425     428  
Duke Energy Carolinas LLC  6.450 %  10/15/32    825     895  
Duke Energy Carolinas LLC  6.100 %  6/1/37    3,050     3,246  
Duke Energy Carolinas LLC  6.000 %  1/15/38    200     212  
Duke Energy Carolinas LLC  6.050 %  4/15/38    775     820  
Duke Energy Corp.  3.950 %  9/15/14    4,350     4,431  
Duke Energy Corp.  5.050 %  9/15/19    3,775     3,778  
Duke Energy Indiana Inc.  5.000 %  9/15/13    275     288  
Duke Energy Indiana Inc.  6.050 %  6/15/16    100     107  
Duke Energy Indiana Inc.  6.120 %  10/15/35    325     329  
Duke Energy Indiana Inc.  6.350 %  8/15/38    2,675     2,925  
Duke Energy Ohio Inc.  5.700 %  9/15/12    1,175     1,279  
Duke Energy Ohio Inc.  2.100 %  6/15/13    675     667  
El Paso Electric Co.  6.000 %  5/15/35    600     537  
Empresa Nacional de Electricidad SA  8.350 %  8/1/13    625     725  
Energy East Corp.  6.750 %  6/15/12    1,700     1,854  
Energy East Corp.  6.750 %  7/15/36    1,375     1,534  
Entergy Gulf States Louisiana LLC  6.000 %  5/1/18    2,900     3,028  
Entergy Louisiana LLC  6.500 %  9/1/18    425     450  
Entergy Louisiana LLC  5.400 %  11/1/24    450     439  
Exelon Corp.  4.900 %  6/15/15    1,500     1,553  
Exelon Corp.  5.625 %  6/15/35    200     181  
Exelon Generation Co. LLC  6.250 %  10/1/39    950     965  
FirstEnergy Corp.  6.450 %  11/15/11    489     530  
FirstEnergy Corp.  7.375 %  11/15/31    5,360     5,879  
FirstEnergy Solutions Corp.  4.800 %  2/15/15    5,025     5,126  
Florida Power & Light Co.  4.850 %  2/1/13    625     666  
Florida Power & Light Co.  5.550 %  11/1/17    675     726  
Florida Power & Light Co.  5.950 %  10/1/33    225     234  
Florida Power & Light Co.  5.625 %  4/1/34    1,400     1,398  
Florida Power & Light Co.  4.950 %  6/1/35    250     227  
Florida Power & Light Co.  5.400 %  9/1/35    425     412  
Florida Power & Light Co.  6.200 %  6/1/36    1,050     1,128  
Florida Power & Light Co.  5.650 %  2/1/37    1,425     1,418  

60


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Florida Power & Light Co.  5.850 %  5/1/37    675     700  
Florida Power & Light Co.  5.950 %  2/1/38    2,200     2,281  
Florida Power & Light Co.  5.960 %  4/1/39    7,000     7,375  
Florida Power Corp.  4.800 %  3/1/13    3,075     3,263  
Florida Power Corp.  5.650 %  6/15/18    1,175     1,262  
Florida Power Corp.  6.350 %  9/15/37    1,375     1,481  
Florida Power Corp.  6.400 %  6/15/38    6,050     6,656  
FPL Group Capital Inc.  5.625 %  9/1/11    3,025     3,237  
FPL Group Capital Inc.  5.350 %  6/15/13    3,725     4,006  
3 FPL Group Capital Inc.  6.350 %  10/1/66    675     624  
3 FPL Group Capital Inc.  6.650 %  6/15/67    1,075     995  
Georgia Power Co.  5.700 %  6/1/17    525     566  
Georgia Power Co.  5.650 %  3/1/37    100     101  
Georgia Power Co.  5.950 %  2/1/39    6,025     6,294  
Illinois Power Co.  6.125 %  11/15/17    550     581  
Illinois Power Co.  6.250 %  4/1/18    1,275     1,360  
Indiana Michigan Power Co.  7.000 %  3/15/19    550     614  
Indiana Michigan Power Co.  6.050 %  3/15/37    2,850     2,799  
3 Integrys Energy Group Inc.  6.110 %  12/1/66    1,600     1,328  
Interstate Power & Light Co.  6.250 %  7/15/39    925     959  
Jersey Central Power & Light Co.  5.625 %  5/1/16    1,025     1,067  
Jersey Central Power & Light Co.  5.650 %  6/1/17    775     797  
Kansas City Power & Light Co.  6.050 %  11/15/35    525     487  
3 Kansas Gas & Electric  5.647 %  3/29/21    95     93  
MidAmerican Energy Co.  5.650 %  7/15/12    925     999  
MidAmerican Energy Co.  5.125 %  1/15/13    1,700     1,818  
MidAmerican Energy Co.  5.950 %  7/15/17    900     949  
MidAmerican Energy Co.  5.300 %  3/15/18    100     104  
MidAmerican Energy Co.  6.750 %  12/30/31    1,550     1,735  
MidAmerican Energy Co.  5.750 %  11/1/35    575     568  
Midamerican Energy Holdings Co.  5.875 %  10/1/12    2,075     2,263  
Midamerican Energy Holdings Co.  5.000 %  2/15/14    425     447  
Midamerican Energy Holdings Co.  5.750 %  4/1/18    1,275     1,349  
Midamerican Energy Holdings Co.  8.480 %  9/15/28    100     121  
Midamerican Energy Holdings Co.  6.125 %  4/1/36    10,675     10,870  
Midamerican Energy Holdings Co.  5.950 %  5/15/37    4,369     4,407  
Midamerican Energy Holdings Co.  6.500 %  9/15/37    200     212  
National Rural Utilities Cooperative Finance Corp.  7.250 %  3/1/12    5,900     6,500  
National Rural Utilities Cooperative Finance Corp.  2.625 %  9/16/12    100     101  
National Rural Utilities Cooperative Finance Corp.  5.500 %  7/1/13    1,725     1,876  
National Rural Utilities Cooperative Finance Corp.  4.750 %  3/1/14    3,375     3,591  
National Rural Utilities Cooperative Finance Corp.  5.450 %  4/10/17    175     183  
National Rural Utilities Cooperative Finance Corp.  5.450 %  2/1/18    1,525     1,583  
National Rural Utilities Cooperative Finance Corp.  10.375 %  11/1/18    3,500     4,671  
National Rural Utilities Cooperative Finance Corp.  8.000 %  3/1/32    975     1,155  
Nevada Power Co.  7.125 %  3/15/19    2,800     3,147  
Nevada Power Co.  6.750 %  7/1/37    325     347  
4 Niagara Mohawk Power Corp.  4.881 %  8/15/19    2,600     2,589  
Nisource Finance Corp.  6.150 %  3/1/13    100     106  
Nisource Finance Corp.  5.400 %  7/15/14    425     441  
Nisource Finance Corp.  5.250 %  9/15/17    650     640  
Nisource Finance Corp.  6.400 %  3/15/18    200     209  
Nisource Finance Corp.  5.450 %  9/15/20    675     654  
Nisource Finance Corp.  6.125 %  3/1/22    1,300     1,327  
Northern States Power Co.  5.250 %  3/1/18    625     655  
Northern States Power Co.  5.250 %  7/15/35    100     95  
Northern States Power Co.  6.250 %  6/1/36    525     573  

61


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Northern States Power Co.  6.200 %  7/1/37    750     814  
Northern States Power Co.  5.350 %  11/1/39    1,325     1,280  
NSTAR  4.500 %  11/15/19    900     887  
NSTAR Electric Co.  4.875 %  4/15/14    625     666  
NSTAR Electric Co.  5.625 %  11/15/17    2,060     2,193  
4 Oglethorpe Power Corp.  5.950 %  11/1/39    825     815  
Ohio Edison Co.  6.400 %  7/15/16    1,275     1,377  
Ohio Power Co.  5.750 %  9/1/13    2,025     2,154  
Ohio Power Co.  6.000 %  6/1/16    1,050     1,129  
Ohio Power Co.  5.375 %  10/1/21    3,000     3,036  
Oncor Electric Delivery Co. LLC  6.375 %  5/1/12    1,225     1,322  
Oncor Electric Delivery Co. LLC  5.950 %  9/1/13    4,800     5,163  
Oncor Electric Delivery Co. LLC  6.375 %  1/15/15    2,150     2,351  
Oncor Electric Delivery Co. LLC  7.000 %  9/1/22    100     111  
Oncor Electric Delivery Co. LLC  7.000 %  5/1/32    1,000     1,104  
Oncor Electric Delivery Co. LLC  7.250 %  1/15/33    1,150     1,323  
Oncor Electric Delivery Co. LLC  7.500 %  9/1/38    1,800     2,129  
Pacific Gas & Electric Co.  4.200 %  3/1/11    6,450     6,669  
Pacific Gas & Electric Co.  4.800 %  3/1/14    4,375     4,669  
Pacific Gas & Electric Co.  5.625 %  11/30/17    1,125     1,198  
Pacific Gas & Electric Co.  8.250 %  10/15/18    3,250     3,970  
Pacific Gas & Electric Co.  6.050 %  3/1/34    6,575     6,887  
Pacific Gas & Electric Co.  5.800 %  3/1/37    2,225     2,257  
Pacific Gas & Electric Co.  6.250 %  3/1/39    1,325     1,411  
PacifiCorp  6.900 %  11/15/11    1,950     2,145  
PacifiCorp  7.700 %  11/15/31    475     584  
PacifiCorp  5.250 %  6/15/35    125     117  
PacifiCorp  6.250 %  10/15/37    2,700     2,911  
Peco Energy Co.  5.350 %  3/1/18    575     609  
Pennsylvania Electric Co.  6.050 %  9/1/17    750     788  
Pennsylvania Electric Co.  5.200 %  4/1/20    2,250     2,226  
Pennsylvania Electric Co.  6.150 %  10/1/38    2,250     2,180  
Pepco Holdings Inc.  6.450 %  8/15/12    2,275     2,445  
Pepco Holdings Inc.  7.450 %  8/15/32    425     447  
Potomac Electric Power Co.  6.500 %  11/15/37    1,800     1,990  
PPL Electric Utilities Corp.  6.250 %  5/15/39    2,550     2,679  
PPL Energy Supply LLC  6.400 %  11/1/11    3,475     3,745  
PPL Energy Supply LLC  6.300 %  7/15/13    1,000     1,066  
PPL Energy Supply LLC  5.400 %  8/15/14    200     209  
PPL Energy Supply LLC  6.200 %  5/15/16    674     708  
PPL Energy Supply LLC  6.500 %  5/1/18    525     548  
Progress Energy Inc.  7.100 %  3/1/11    2,275     2,408  
Progress Energy Inc.  6.850 %  4/15/12    525     575  
Progress Energy Inc.  6.050 %  3/15/14    625     681  
Progress Energy Inc.  5.625 %  1/15/16    600     638  
Progress Energy Inc.  7.050 %  3/15/19    425     476  
Progress Energy Inc.  4.875 %  12/1/19    4,000     3,919  
Progress Energy Inc.  7.750 %  3/1/31    625     739  
Progress Energy Inc.  7.000 %  10/30/31    1,300     1,418  
Progress Energy Inc.  6.000 %  12/1/39    3,450     3,433  
PSEG Power LLC  7.750 %  4/15/11    675     722  
PSEG Power LLC  6.950 %  6/1/12    3,075     3,360  
PSEG Power LLC  5.000 %  4/1/14    2,425     2,541  
PSEG Power LLC  5.500 %  12/1/15    2,000     2,112  
PSEG Power LLC  8.625 %  4/15/31    975     1,261  
Public Service Co. of Colorado  7.875 %  10/1/12    3,150     3,615  
Public Service Co. of Colorado  5.500 %  4/1/14    175     190  

62


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Public Service Co. of Colorado  5.800 %  8/1/18    425     463  
Public Service Co. of Colorado  5.125 %  6/1/19    3,925     4,067  
Public Service Co. of Colorado  6.250 %  9/1/37    475     518  
Public Service Co. of Colorado  6.500 %  8/1/38    725     818  
Public Service Co. of Oklahoma  5.150 %  12/1/19    650     651  
Public Service Co. of Oklahoma  6.625 %  11/15/37    1,550     1,608  
Public Service Electric & Gas Co.  5.250 %  7/1/35    100     95  
Public Service Electric & Gas Co.  5.800 %  5/1/37    1,275     1,304  
Puget Sound Energy Inc.  5.483 %  6/1/35    250     238  
Puget Sound Energy Inc.  6.274 %  3/15/37    1,525     1,616  
Puget Sound Energy Inc.  5.757 %  10/1/39    1,400     1,384  
San Diego Gas & Electric Co.  5.300 %  11/15/15    650     713  
San Diego Gas & Electric Co.  5.350 %  5/15/35    250     242  
San Diego Gas & Electric Co.  6.125 %  9/15/37    125     134  
San Diego Gas & Electric Co.  6.000 %  6/1/39    225     240  
SCANA Corp.  6.875 %  5/15/11    2,400     2,552  
Sierra Pacific Power Co.  6.000 %  5/15/16    4,050     4,358  
Sierra Pacific Power Co.  6.750 %  7/1/37    1,450     1,538  
South Carolina Electric & Gas Co.  6.500 %  11/1/18    525     591  
South Carolina Electric & Gas Co.  6.625 %  2/1/32    625     698  
South Carolina Electric & Gas Co.  6.050 %  1/15/38    1,550     1,629  
Southern California Edison Co.  5.000 %  1/15/14    2,725     2,948  
Southern California Edison Co.  5.750 %  3/15/14    700     780  
Southern California Edison Co.  4.650 %  4/1/15    425     451  
Southern California Edison Co.  5.000 %  1/15/16    350     368  
Southern California Edison Co.  6.650 %  4/1/29    150     163  
Southern California Edison Co.  6.000 %  1/15/34    1,000     1,041  
Southern California Edison Co.  5.750 %  4/1/35    325     328  
Southern California Edison Co.  5.350 %  7/15/35    1,275     1,218  
Southern California Edison Co.  5.550 %  1/15/36    500     498  
Southern California Edison Co.  5.625 %  2/1/36    1,875     1,860  
Southern California Edison Co.  5.550 %  1/15/37    2,400     2,405  
Southern Co.  5.300 %  1/15/12    1,200     1,282  
Southern Power Co.  6.250 %  7/15/12    1,050     1,149  
Southern Power Co.  4.875 %  7/15/15    2,125     2,226  
Southwestern Electric Power Co.  5.550 %  1/15/17    100     101  
Southwestern Electric Power Co.  6.450 %  1/15/19    950     1,003  
Tampa Electric Co.  6.375 %  8/15/12    1,050     1,142  
Tampa Electric Co.  6.100 %  5/15/18    475     506  
Tampa Electric Co.  6.550 %  5/15/36    1,075     1,118  
Toledo Edison Co.  6.150 %  5/15/37    275     273  
TransAlta Corp.  4.750 %  1/15/15    400     404  
TransAlta Corp.  6.650 %  5/15/18    425     445  
Union Electric Co.  5.400 %  2/1/16    1,025     1,046  
Union Electric Co.  8.450 %  3/15/39    2,500     3,281  
United Utilities PLC  5.375 %  2/1/19    4,400     4,381  
Virginia Electric and Power Co.  5.100 %  11/30/12    375     406  
Virginia Electric and Power Co.  5.400 %  1/15/16    800     835  
Virginia Electric and Power Co.  6.000 %  1/15/36    1,575     1,653  
Virginia Electric and Power Co.  6.000 %  5/15/37    1,850     1,943  
Virginia Electric and Power Co.  6.350 %  11/30/37    3,450     3,795  
Virginia Electric and Power Co.  8.875 %  11/15/38    500     706  
Wisconsin Electric Power Co.  6.000 %  4/1/14    825     924  
Wisconsin Electric Power Co.  4.250 %  12/15/19    2,650     2,632  
Wisconsin Electric Power Co.  5.625 %  5/15/33    325     320  
Wisconsin Electric Power Co.  5.700 %  12/1/36    200     199  
Wisconsin Energy Corp.  6.500 %  4/1/11    2,550     2,697  

63


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
3 Wisconsin Energy Corp.  6.250 %  5/15/67    4,675     4,122  
Wisconsin Power & Light Co.  5.000 %  7/15/19    475     476  
Wisconsin Power & Light Co.  6.375 %  8/15/37    1,400     1,493  
Xcel Energy Inc.  5.613 %  4/1/17    275     286  
Xcel Energy Inc.  6.500 %  7/1/36    975     1,035  
 
Natural Gas (0.6%)                   
AGL Capital Corp.  7.125 %  1/14/11    700     735  
AGL Capital Corp.  5.250 %  8/15/19    1,600     1,620  
Atmos Energy Corp.  4.950 %  10/15/14    2,125     2,220  
Atmos Energy Corp.  8.500 %  3/15/19    450     545  
Boardwalk Pipelines LP  5.500 %  2/1/17    925     923  
British Transco Finance Inc.  6.625 %  6/1/18    425     456  
Buckeye Partners LP  6.050 %  1/15/18    100     103  
CenterPoint Energy Resources Corp.  7.750 %  2/15/11    200     211  
CenterPoint Energy Resources Corp.  7.875 %  4/1/13    1,275     1,427  
CenterPoint Energy Resources Corp.  6.150 %  5/1/16    675     698  
DCP Midstream LLC  8.125 %  8/16/30    175     192  
El Paso Natural Gas Co.  5.950 %  4/15/17    8,800     9,036  
Enbridge Energy Partners LP  6.500 %  4/15/18    625     669  
Enbridge Energy Partners LP  9.875 %  3/1/19    1,975     2,502  
Enbridge Energy Partners LP  7.500 %  4/15/38    1,475     1,678  
Enbridge Inc.  5.600 %  4/1/17    100     105  
Energy Transfer Partners LP  5.650 %  8/1/12    1,875     2,015  
Energy Transfer Partners LP  8.500 %  4/15/14    5,000     5,794  
Energy Transfer Partners LP  5.950 %  2/1/15    4,900     5,211  
Energy Transfer Partners LP  6.125 %  2/15/17    500     519  
Energy Transfer Partners LP  9.000 %  4/15/19    2,425     2,910  
Energy Transfer Partners LP  6.625 %  10/15/36    750     749  
Energy Transfer Partners LP  7.500 %  7/1/38    100     110  
6 Enron Corp.  7.625 %  9/10/04    400     1  
6 Enron Corp.  6.625 %  11/15/05    300     1  
6 Enron Corp.  7.125 %  5/15/07    1,800     4  
6 Enron Corp.  6.875 %  10/15/07    1,800     4  
6 Enron Corp.  6.750 %  8/1/09    1,300     3  
Enterprise Products Operating LLC  4.950 %  6/1/10    200     203  
Enterprise Products Operating LLC  5.650 %  4/1/13    950     1,009  
Enterprise Products Operating LLC  5.900 %  4/15/13    625     669  
Enterprise Products Operating LLC  9.750 %  1/31/14    7,325     8,743  
Enterprise Products Operating LLC  5.600 %  10/15/14    5,725     6,123  
Enterprise Products Operating LLC  6.300 %  9/15/17    2,850     3,077  
Enterprise Products Operating LLC  6.650 %  4/15/18    975     1,063  
Enterprise Products Operating LLC  6.500 %  1/31/19    750     812  
Enterprise Products Operating LLC  6.875 %  3/1/33    2,100     2,210  
Enterprise Products Operating LLC  7.550 %  4/15/38    425     480  
EQT Corp.  6.500 %  4/1/18    3,175     3,321  
EQT Corp.  8.125 %  6/1/19    2,275     2,656  
6 HNG Internorth  9.625 %  3/15/06    1,000     2  
KeySpan Corp.  8.000 %  11/15/30    150     176  
Kinder Morgan Energy Partners LP  6.750 %  3/15/11    350     369  
Kinder Morgan Energy Partners LP  7.125 %  3/15/12    1,825     1,986  
Kinder Morgan Energy Partners LP  5.850 %  9/15/12    2,100     2,249  
Kinder Morgan Energy Partners LP  5.000 %  12/15/13    5,800     6,047  
Kinder Morgan Energy Partners LP  5.125 %  11/15/14    3,250     3,379  
Kinder Morgan Energy Partners LP  5.950 %  2/15/18    2,300     2,446  
Kinder Morgan Energy Partners LP  7.300 %  8/15/33    350     382  
Kinder Morgan Energy Partners LP  6.500 %  2/1/37    200     202  

64


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Kinder Morgan Energy Partners LP  6.500 %  9/1/39    3,275     3,303  
Magellan Midstream Partners LP  5.650 %  10/15/16    250     255  
Magellan Midstream Partners LP  6.550 %  7/15/19    1,750     1,900  
National Grid PLC  6.300 %  8/1/16    2,450     2,669  
NuStar Logistics LP  7.650 %  4/15/18    1,700     1,847  
Oneok Inc.  5.200 %  6/15/15    1,000     1,038  
Oneok Inc.  6.000 %  6/15/35    750     705  
ONEOK Partners LP  5.900 %  4/1/12    2,125     2,239  
ONEOK Partners LP  6.150 %  10/1/16    1,550     1,616  
ONEOK Partners LP  8.625 %  3/1/19    2,500     3,028  
ONEOK Partners LP  6.650 %  10/1/36    4,450     4,513  
ONEOK Partners LP  6.850 %  10/15/37    2,675     2,800  
Panhandle Eastern Pipeline Co. LP  6.200 %  11/1/17    2,900     3,049  
Panhandle Eastern Pipeline Co. LP  7.000 %  6/15/18    325     357  
Plains All American Pipeline LP/                   
PAA Finance Corp.  6.125 %  1/15/17    2,000     2,097  
Plains All American Pipeline LP/                   
PAA Finance Corp.  8.750 %  5/1/19    125     148  
Plains All American Pipeline LP/                   
PAA Finance Corp.  6.650 %  1/15/37    325     332  
Sempra Energy  6.000 %  2/1/13    200     217  
Sempra Energy  9.800 %  2/15/19    1,500     1,885  
Southern California Gas Co.  5.750 %  11/15/35    400     412  
4 Southern Natural Gas Co.  5.900 %  4/1/17    2,925     2,979  
Southern Union Co.  7.600 %  2/1/24    200     216  
Spectra Energy Capital LLC  6.250 %  2/15/13    325     350  
Spectra Energy Capital LLC  5.500 %  3/1/14    1,250     1,284  
Spectra Energy Capital LLC  5.668 %  8/15/14    100     108  
Spectra Energy Capital LLC  6.200 %  4/15/18    325     347  
Spectra Energy Capital LLC  6.750 %  2/15/32    725     734  
Tennessee Gas Pipeline Co.  7.625 %  4/1/37    1,940     2,154  
Texas Eastern Transmission LP  7.000 %  7/15/32    100     112  
Texas Gas Transmission LLC  4.600 %  6/1/15    1,275     1,299  
TransCanada PipeLines Ltd.  4.000 %  6/15/13    1,800     1,842  
TransCanada PipeLines Ltd.  6.500 %  8/15/18    4,840     5,437  
TransCanada PipeLines Ltd.  7.125 %  1/15/19    3,000     3,514  
TransCanada PipeLines Ltd.  5.600 %  3/31/34    1,400     1,348  
TransCanada PipeLines Ltd.  5.850 %  3/15/36    2,675     2,662  
TransCanada PipeLines Ltd.  6.200 %  10/15/37    3,450     3,646  
TransCanada PipeLines Ltd.  7.625 %  1/15/39    375     459  
3 TransCanada PipeLines Ltd.  6.350 %  5/15/67    4,100     3,785  
Transcontinental Gas Pipe Line Co. LLC  7.000 %  8/15/11    950     1,025  
Williams Cos. Inc.  7.125 %  9/1/11    2,075     2,206  
Williams Cos. Inc.  8.125 %  3/15/12    525     568  
Williams Cos. Inc.  7.625 %  7/15/19    3,325     3,691  
Williams Cos. Inc.  7.500 %  1/15/31    2,900     3,130  
Williams Cos. Inc.  7.750 %  6/15/31    850     932  
Williams Cos. Inc.  8.750 %  3/15/32    675     807  
                607,891  
Total Corporate Bonds (Cost $4,927,657)                5,360,764  
Sovereign Bonds (U.S. Dollar-Denominated) (3.7%)                   
African Development Bank  1.000 %  11/23/11    2,100     2,086  
African Development Bank  1.750 %  10/1/12    1,150     1,144  
African Development Bank  3.000 %  5/27/14    7,175     7,139  
Asian Development Bank  2.125 %  3/15/12    1,575     1,601  

65


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Asian Development Bank  4.500 %  9/4/12    325     346  
Asian Development Bank  3.625 %  9/5/13    7,400     7,791  
Asian Development Bank  2.750 %  5/21/14    8,875     8,862  
Asian Development Bank  5.500 %  6/27/16    1,850     2,047  
Asian Development Bank  5.250 %  6/12/17    100     109  
Asian Development Bank  5.593 %  7/16/18    1,700     1,838  
Brazilian Government International Bond  11.000 %  1/11/12    1,400     1,652  
Brazilian Government International Bond  10.250 %  6/17/13    800     987  
Brazilian Government International Bond  10.500 %  7/14/14    1,275     1,626  
Brazilian Government International Bond  7.875 %  3/7/15    2,375     2,771  
Brazilian Government International Bond  6.000 %  1/17/17    7,675     8,212  
3 Brazilian Government International Bond  8.000 %  1/15/18    9,421     10,740  
Brazilian Government International Bond  5.875 %  1/15/19    14,250     15,141  
Brazilian Government International Bond  8.875 %  10/14/19    3,600     4,631  
Brazilian Government International Bond  8.875 %  4/15/24    1,525     1,975  
Brazilian Government International Bond  8.750 %  2/4/25    4,200     5,418  
Brazilian Government International Bond  10.125 %  5/15/27    4,200     6,164  
Brazilian Government International Bond  8.250 %  1/20/34    2,775     3,531  
Brazilian Government International Bond  7.125 %  1/20/37    11,425     13,079  
Brazilian Government International Bond  11.000 %  8/17/40    9,900     13,192  
Brazilian Government International Bond  5.625 %  1/7/41    3,525     3,305  
Canada Mortgage & Housing Corp.  4.800 %  10/1/10    325     332  
Chile Government International Bond  7.125 %  1/11/12    1,225     1,364  
Chile Government International Bond  5.500 %  1/15/13    1,000     1,106  
China Development Bank Corp.  4.750 %  10/8/14    2,625     2,690  
China Development Bank Corp.  5.000 %  10/15/15    525     566  
China Government International Bond  4.750 %  10/29/13    1,800     1,910  
Corp. Andina de Fomento  8.125 %  6/4/19    5,775     6,596  
Corp. Andina de Fomento  5.200 %  5/21/13    1,375     1,450  
Corp. Andina de Fomento  5.750 %  1/12/17    4,700     4,692  
Development Bank of Japan  4.250 %  6/9/15    625     647  
Eksportfinans ASA  3.000 %  11/17/14    1,675     1,649  
Eksportfinans ASA  5.500 %  5/25/16    2,700     2,905  
Eksportfinans ASA  5.500 %  6/26/17    4,175     4,427  
European Bank for Reconstruction & Development  1.250 %  6/10/11    300     300  
European Investment Bank  4.625 %  9/15/10    3,525     3,620  
European Investment Bank  3.250 %  2/15/11    12,125     12,367  
European Investment Bank  2.625 %  5/16/11    1,275     1,295  
European Investment Bank  5.250 %  6/15/11    5,625     5,931  
European Investment Bank  3.125 %  7/15/11    2,125     2,192  
European Investment Bank  3.250 %  10/14/11    1,150     1,187  
European Investment Bank  2.625 %  11/15/11    950     971  
European Investment Bank  2.000 %  2/10/12    24,100     24,367  
European Investment Bank  4.625 %  3/21/12    7,600     8,050  
European Investment Bank  1.750 %  9/14/12    8,000     7,970  
European Investment Bank  2.875 %  3/15/13    2,825     2,844  
European Investment Bank  3.250 %  5/15/13    6,900     7,031  
European Investment Bank  4.250 %  7/15/13    11,900     12,535  
European Investment Bank  2.375 %  3/14/14    7,400     7,396  
European Investment Bank  4.625 %  5/15/14    11,075     11,906  
European Investment Bank  3.125 %  6/4/14    20,425     20,712  
European Investment Bank  4.875 %  2/16/16    4,500     4,818  
European Investment Bank  5.125 %  9/13/16    700     766  
European Investment Bank  4.875 %  1/17/17    6,325     6,766  
European Investment Bank  5.125 %  5/30/17    9,150     9,909  

66


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
European Investment Bank  4.875 %  2/15/36    100     95  
Export Development Canada  3.750 %  7/15/11    200     207  
Export Development Canada  2.625 %  11/15/11    1,475     1,512  
Export Development Canada  2.375 %  3/19/12    3,825     3,898  
Export Development Canada  1.750 %  9/24/12    7,575     7,550  
Export Development Canada  3.125 %  4/24/14    175     178  
Export-Import Bank of Korea  5.125 %  2/14/11    3,450     3,543  
Export-Import Bank of Korea  5.500 %  10/17/12    3,025     3,156  
Export-Import Bank of Korea  8.125 %  1/21/14    6,700     7,787  
Export-Import Bank of Korea  5.875 %  1/14/15    1,750     1,882  
Export-Import Bank of Korea  5.125 %  3/16/15    425     436  
Financement-Quebec  5.000 %  10/25/12    1,275     1,362  
Hungary Government International Bond  4.750 %  2/3/15    1,050     1,032  
Hydro Quebec  6.300 %  5/11/11    2,825     3,015  
Hydro Quebec  8.000 %  2/1/13    2,750     3,202  
Hydro Quebec  7.500 %  4/1/16    1,150     1,361  
Hydro Quebec  8.400 %  1/15/22    2,450     3,173  
Hydro Quebec  8.050 %  7/7/24    1,350     1,653  
Hydro Quebec  8.500 %  12/1/29    100     132  
Inter-American Development Bank  8.500 %  3/15/11    875     946  
Inter-American Development Bank  1.500 %  6/23/11    2,450     2,470  
Inter-American Development Bank  4.750 %  10/19/12    3,975     4,261  
Inter-American Development Bank  3.500 %  3/15/13    2,625     2,731  
Inter-American Development Bank  3.000 %  4/22/14    11,725     11,793  
Inter-American Development Bank  4.250 %  9/14/15    450     471  
Inter-American Development Bank  5.125 %  9/13/16    100     109  
Inter-American Development Bank  4.250 %  9/10/18    7,875     8,072  
Inter-American Development Bank  3.875 %  9/17/19    12,500     12,384  
Inter-American Development Bank  7.000 %  6/15/25    1,125     1,335  
International Bank for                   
Reconstruction & Development  3.125 %  11/15/11    375     386  
International Bank for                   
Reconstruction & Development  2.000 %  4/2/12    16,225     16,402  
International Bank for                   
Reconstruction & Development  3.500 %  10/8/13    4,410     4,597  
International Bank for                   
Reconstruction & Development  5.000 %  4/1/16    4,100     4,424  
International Bank for                   
Reconstruction & Development  7.625 %  1/19/23    950     1,215  
International Bank for                   
Reconstruction & Development  8.875 %  3/1/26    450     620  
International Bank for                   
Reconstruction & Development  4.750 %  2/15/35    5,525     5,145  
International Finance Corp.  3.500 %  5/15/13    2,350     2,397  
International Finance Corp.  3.000 %  4/22/14    11,675     11,664  
Israel Government International Bond  4.625 %  6/15/13    750     795  
Israel Government International Bond  5.125 %  3/1/14    200     215  
Israel Government International Bond  5.500 %  11/9/16    2,800     3,006  
Israel Government International Bond  5.125 %  3/26/19    5,350     5,435  
Italian Republic  6.000 %  2/22/11    5,175     5,455  
Italian Republic  3.500 %  7/15/11    2,475     2,551  
Italian Republic  5.625 %  6/15/12    1,875     2,042  
Italian Republic  2.125 %  10/5/12    3,450     3,446  
Italian Republic  4.375 %  6/15/13    4,350     4,637  
Italian Republic  4.500 %  1/21/15    4,000     4,250  

67


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Italian Republic  4.750 %  1/25/16    8,075     8,387  
Italian Republic  5.250 %  9/20/16    13,275     14,141  
Italian Republic  6.875 %  9/27/23    4,600     5,193  
Italian Republic  5.375 %  6/15/33    5,650     5,532  
Japan Bank for International Cooperation  4.750 %  5/25/11    650     682  
Japan Bank for International Cooperation  2.125 %  11/5/12    8,000     7,969  
Japan Bank for International Cooperation  4.375 %  11/26/12    1,950     2,067  
Japan Bank for International Cooperation  4.250 %  6/18/13    4,800     5,073  
Japan Finance Organization for Municipalities  5.875 %  3/14/11    1,025     1,082  
Japan Finance Organization for Municipalities  4.625 %  4/21/15    2,150     2,253  
Japan Finance Organization for Municipalities  5.000 %  5/16/17    1,100     1,156  
Korea Development Bank  5.300 %  1/17/13    1,200     1,253  
Korea Development Bank  5.750 %  9/10/13    3,300     3,463  
Korea Development Bank  8.000 %  1/23/14    3,150     3,587  
Korea Electric Power Corp.  7.750 %  4/1/13    2,200     2,428  
Kreditanstalt fuer Wiederaufbau  3.125 %  11/15/10    1,425     1,456  
Kreditanstalt fuer Wiederaufbau  4.625 %  1/20/11    275     285  
Kreditanstalt fuer Wiederaufbau  3.250 %  2/15/11    12,600     12,916  
Kreditanstalt fuer Wiederaufbau  1.875 %  3/15/11    900     910  
Kreditanstalt fuer Wiederaufbau  3.750 %  6/27/11    7,550     7,832  
Kreditanstalt fuer Wiederaufbau  3.250 %  10/14/11    4,775     4,936  
Kreditanstalt fuer Wiederaufbau  2.000 %  1/17/12    5,125     5,190  
Kreditanstalt fuer Wiederaufbau  2.250 %  4/16/12    9,925     10,020  
Kreditanstalt fuer Wiederaufbau  4.750 %  5/15/12    4,425     4,707  
Kreditanstalt fuer Wiederaufbau  3.250 %  3/15/13    19,600     19,865  
Kreditanstalt fuer Wiederaufbau  3.500 %  5/16/13    4,000     4,082  
Kreditanstalt fuer Wiederaufbau  4.000 %  10/15/13    7,500     7,805  
Kreditanstalt fuer Wiederaufbau  3.500 %  3/10/14    300     306  
Kreditanstalt fuer Wiederaufbau  4.125 %  10/15/14    575     609  
Kreditanstalt fuer Wiederaufbau  2.750 %  10/21/14    10,250     10,151  
Kreditanstalt fuer Wiederaufbau  5.125 %  3/14/16    14,000     15,268  
Kreditanstalt fuer Wiederaufbau  4.375 %  3/15/18    4,600     4,675  
Kreditanstalt fuer Wiederaufbau  4.500 %  7/16/18    6,425     6,591  
Kreditanstalt fuer Wiederaufbau  4.875 %  6/17/19    19,300     20,420  
Kreditanstalt fuer Wiederaufbau  0.000 %  6/29/37    5,450     1,300  
Landeskreditbank Baden-                   
Wuerttemberg Foerderbank  4.875 %  1/13/12    2,625     2,736  
Landwirtschaftliche Rentenbank  5.250 %  7/2/12    2,675     2,873  
Landwirtschaftliche Rentenbank  1.875 %  9/24/12    9,150     9,125  
Landwirtschaftliche Rentenbank  3.250 %  3/15/13    7,000     7,120  
Landwirtschaftliche Rentenbank  4.125 %  7/15/13    2,500     2,616  
Landwirtschaftliche Rentenbank  4.875 %  11/16/15    4,125     4,417  
Landwirtschaftliche Rentenbank  5.125 %  2/1/17    2,000     2,126  
Malaysia Government International Bond  7.500 %  7/15/11    3,575     3,876  
Mexico Government International Bond  8.375 %  1/14/11    3,700     3,978  
Mexico Government International Bond  7.500 %  1/14/12    3,325     3,682  
Mexico Government International Bond  6.375 %  1/16/13    4,250     4,670  
Mexico Government International Bond  5.875 %  1/15/14    1,875     2,044  
Mexico Government International Bond  6.625 %  3/3/15    2,550     2,835  
Mexico Government International Bond  11.375 %  9/15/16    1,325     1,830  
Mexico Government International Bond  5.625 %  1/15/17    16,375     17,173  
Mexico Government International Bond  8.125 %  12/30/19    200     244  
Mexico Government International Bond  8.300 %  8/15/31    3,125     3,866  
Mexico Government International Bond  6.750 %  9/27/34    11,800     12,506  

68


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Nordic Investment Bank  3.875 %  6/15/10    200     201  
Nordic Investment Bank  4.875 %  3/15/11    100     105  
Nordic Investment Bank  2.625 %  10/6/14    4,000     3,954  
Nordic Investment Bank  5.000 %  2/1/17    1,150     1,230  
Oesterreichische Kontrollbank AG  2.875 %  3/15/11    6,425     6,505  
Oesterreichische Kontrollbank AG  3.125 %  10/14/11    4,725     4,833  
Oesterreichische Kontrollbank AG  4.750 %  11/8/11    725     766  
Oesterreichische Kontrollbank AG  1.875 %  3/21/12    2,275     2,275  
Oesterreichische Kontrollbank AG  4.750 %  10/16/12    2,025     2,182  
Oesterreichische Kontrollbank AG  5.000 %  4/25/17    4,025     4,194  
Ontario Electricity Financial Corp.  7.450 %  3/31/13    1,450     1,646  
Pemex Project Funding Master Trust  9.125 %  10/13/10    175     184  
Pemex Project Funding Master Trust  7.375 %  12/15/14    2,500     2,776  
Pemex Project Funding Master Trust  5.750 %  3/1/18    8,925     8,989  
Pemex Project Funding Master Trust  6.625 %  6/15/35    4,600     4,365  
Pemex Project Funding Master Trust  6.625 %  6/15/38    2,025     1,883  
Peruvian Government International Bond  9.125 %  2/21/12    200     231  
Peruvian Government International Bond  9.875 %  2/6/15    2,150     2,714  
Peruvian Government International Bond  8.375 %  5/3/16    1,525     1,847  
Peruvian Government International Bond  7.125 %  3/30/19    7,350     8,453  
Peruvian Government International Bond  7.350 %  7/21/25    1,525     1,746  
3 Peruvian Government International Bond  6.550 %  3/14/37    5,200     5,408  
Petrobras International Finance Co.  6.125 %  10/6/16    4,850     5,206  
Petrobras International Finance Co.  5.875 %  3/1/18    4,075     4,125  
Petrobras International Finance Co.  8.375 %  12/10/18    3,700     4,380  
Petrobras International Finance Co.  7.875 %  3/15/19    7,575     8,743  
Petrobras International Finance Co.  5.750 %  1/20/20    2,850     2,882  
Petrobras International Finance Co.  6.875 %  1/20/40    1,975     2,010  
4 Petroleos Mexicanos  4.875 %  3/15/15    4,450     4,411  
Petroleos Mexicanos  8.000 %  5/3/19    1,675     1,934  
Poland Government International Bond  6.250 %  7/3/12    2,425     2,622  
Poland Government International Bond  5.250 %  1/15/14    800     856  
Poland Government International Bond  5.000 %  10/19/15    750     788  
Poland Government International Bond  6.375 %  7/15/19    15,275     16,612  
Province of Manitoba Canada  4.900 %  12/6/16    5,475     5,741  
Province of Nova Scotia Canada  5.750 %  2/27/12    550     588  
Province of Ontario Canada  2.750 %  2/22/11    3,500     3,562  
Province of Ontario Canada  3.375 %  5/20/11    5,575     5,740  
Province of Ontario Canada  5.000 %  10/18/11    4,625     4,916  
Province of Ontario Canada  1.875 %  11/19/12    8,450     8,396  
Province of Ontario Canada  4.100 %  6/16/14    13,250     13,805  
Province of Ontario Canada  4.750 %  1/19/16    1,025     1,073  
Province of Ontario Canada  5.450 %  4/27/16    5,675     6,171  
Province of Ontario Canada  4.000 %  10/7/19    7,750     7,395  
Province of Quebec Canada  4.875 %  5/5/14    275     292  
Province of Quebec Canada  4.600 %  5/26/15    2,250     2,349  
Province of Quebec Canada  5.125 %  11/14/16    7,275     7,831  
Province of Quebec Canada  4.625 %  5/14/18    3,975     4,027  
Province of Quebec Canada  7.125 %  2/9/24    325     380  
Province of Quebec Canada  7.500 %  9/15/29    2,575     3,227  
Province of Saskatchewan Canada  7.375 %  7/15/13    425     484  
Region of Lombardy Italy  5.804 %  10/25/32    1,050     1,026  
Republic of Korea  4.250 %  6/1/13    5,700     5,867  

69


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Republic of Korea  5.750 %  4/16/14    3,175     3,452  
Republic of Korea  4.875 %  9/22/14    2,400     2,538  
Republic of Korea  7.125 %  4/16/19    3,175     3,649  
Republic of Korea  5.625 %  11/3/25    575     583  
South Africa Government International Bond  7.375 %  4/25/12    2,650     2,912  
South Africa Government International Bond  6.875 %  5/27/19    7,375     8,278  
South Africa Government International Bond  5.875 %  5/30/22    1,075     1,102  
Svensk Exportkredit AB  4.000 %  6/15/10    875     889  
Svensk Exportkredit AB  3.250 %  9/16/14    5,050     5,049  
Svensk Exportkredit AB  5.125 %  3/1/17    550     582  
United Mexican States  5.875 %  2/17/14    6,150     6,688  
United Mexican States  5.950 %  3/19/19    5,975     6,319  
United Mexican States  6.050 %  1/11/40    1,375     1,322  
Total Sovereign Bonds (Cost $995,496)                1,015,678  
Taxable Municipal Bonds (0.4%)                   
American Muni. Power Ohio Inc.  6.053 %  2/15/43    400     378  
Bay Area Toll Auth. CA Toll Bridge Rev.  6.263 %  4/1/49    2,325     2,230  
Board of Trustees of The Leland Stanford                   
Junior University  3.625 %  5/1/14    2,250     2,315  
Board of Trustees of The Leland Stanford                   
Junior University  4.250 %  5/1/16    750     767  
California GO  5.250 %  4/1/14    1,175     1,190  
California GO  6.200 %  10/1/19    3,925     3,821  
California GO  7.500 %  4/1/34    9,225     9,022  
California GO  5.650 %  4/1/39    1,225     1,267  
California GO  7.300 %  10/1/39    1,200     1,134  
California GO  7.350 %  11/1/39    8,200     7,986  
Central Puget Sound WA Regional Transit                   
Auth. Sales & Use Tax Rev.  5.491 %  11/1/39    550     533  
Chicago IL Board of Educ. GO  6.138 %  12/1/39    400     403  
Chicago IL Metro. Water Reclamation Dist. GO  5.720 %  12/1/38    1,000     1,003  
Chicago IL Transit Auth. Rev.  6.899 %  12/1/40    2,625     2,741  
Clark County NV Airport Improvement Rev.  6.881 %  7/1/42    550     540  
Commonwealth Financing Auth. Pennsylvania Rev.  6.218 %  6/1/39    2,350     2,343  
Connecticut GO  5.850 %  3/15/32    2,675     2,707  
Dallas County Hosp. Dist. GO  5.621 %  8/15/44    750     736  
Dallas TX Area Rapid Transit Rev.  5.999 %  12/1/44    1,500     1,540  
Dartmouth College  4.750 %  6/1/19    275     278  
Denver CO City & County School Dist.  5.664 %  12/1/33    525     514  
District of Columbia Income Tax Rev.  5.591 %  12/1/34    450     438  
Georgia GO  4.503 %  11/1/25    2,300     2,207  
Howard Hughes Medical Institute  3.450 %  9/1/14    1,450     1,470  
Illinois GO  4.950 %  6/1/23    5,125     4,795  
Illinois GO  5.100 %  6/1/33    13,500     11,284  
Illinois State Tollway Highway Auth.                   
Toll Highway Rev.  5.851 %  12/1/34    625     608  
Johns Hopkins University  5.250 %  7/1/19    2,275     2,351  
Kansas Dev. Finance Auth. Rev.                   
(Public Employee Retirement System)  5.501 %  5/1/34    1,525     1,452  
Las Vegas Valley Water Dist. Nevada GO  7.013 %  6/1/39    650     686  
Los Angeles CA Dept. of Water & Power Rev.  6.008 %  7/1/39    2,400     2,351  
Los Angeles CA USD GO  5.750 %  7/1/34    1,800     1,658  
Maryland Transp. Auth. Rev.  5.888 %  7/1/43    700     704  

70


Total Bond Market II Index Fund                   
 
 
 
          Face     Market  
      Maturity    Amount     Value•  
  Coupon   Date  ($ 000 )  ($ 000 ) 
Massachusetts GO  5.456 %  12/1/39    2,000     1,927  
Massachusetts School Building Auth.                   
Dedicated Sales Tax Rev.  5.715 %  8/15/39    950     940  
Metro. New York Transp. Auth. Rev.  5.871 %  11/15/39    800     760  
Metro. Washington DC Airports Auth. Rev.  7.462 %  10/1/46    525     533  
Missouri Highways & Transp.                   
Comm. State Road Rev.  5.445 %  5/1/33    600     574  
New Jersey Econ. Dev. Auth.  7.425 %  2/15/29    3,175     3,419  
New Jersey Turnpike Auth. Rev.  4.252 %  1/1/16    900     908  
New Jersey Turnpike Auth. Rev.  7.414 %  1/1/40    3,850     4,340  
New York City NY GO  5.985 %  12/1/36    600     589  
New York City NY Muni. Water Finance Auth.                   
Water & Sewer System Rev.  5.750 %  6/15/41    500     487  
New York City NY Transitional Finance Auth. Rev.  5.767 %  8/1/36    750     727  
New York Metro. Transp. Auth. Rev.  7.336 %  11/15/39    625     698  
New York State Urban Dev. Corp. Rev.  5.770 %  3/15/39    2,175     2,154  
North Texas Tollway Auth. Rev.  6.718 %  1/1/49    1,250     1,315  
Oregon (Taxable Pension) GO  5.762 %  6/1/23    650     660  
Oregon (Taxable Pension) GO  5.892 %  6/1/27    975     979  
Oregon GO  4.759 %  6/30/28    700     578  
Oregon GO  5.528 %  6/30/28    375     361  
Port Auth. of New York & New Jersey Rev.  6.040 %  12/1/29    850     845  
Princeton University  5.700 %  3/1/39    1,500     1,546  
San Antonio TX Electric & Gas Rev.  5.985 %  2/1/39    1,500     1,527  
Tobacco Settlement Finance Auth. Rev.  7.467 %  6/1/47    1,415     1,117  
Univ. of California Regents  6.583 %  5/15/49    975     974  
Univ. of Texas Permanent Univ. Fund Rev.  5.262 %  7/1/39    650     624  
Univ. of Texas Permanent Univ. Fund Rev.  6.276 %  8/15/41    525     530  
Utah GO  4.554 %  7/1/24    1,000     979  
Washington GO  5.481 %  8/1/39    270     261  
Wisconsin GO  4.800 %  5/1/13    775     835  
Wisconsin GO  5.700 %  5/1/26    900     873  
Total Taxable Municipal Bonds (Cost $105,031)                105,512  
 
          Shares        
Temporary Cash Investment (4.9%)                   
Money Market Fund (4.9%)                   
7 Vanguard Market Liquidity Fund                   
(Cost $1,334,381)  0.187 %      1,334,381,082     1,334,381  
Total Investments (104.3%) (Cost $28,119,525)                28,682,362  
Other Assets and Liabilities (–4.3%)                   
Other Assets                888,889  
Liabilities                (2,063,434 ) 
                (1,174,545 ) 
Net Assets (100%)                27,507,817  

71


Total Bond Market II Index Fund       
 
 
At December 31, 2009, net assets consisted of:       
    Amount  
  ($ 000 ) 
Paid-in Capital    26,950,968  
Undistributed Net Investment Income    —  
Accumulated Net Realized Losses    (5,988 ) 
Unrealized Appreciation (Depreciation)    562,837  
Net Assets    27,507,817  
 
Investor Shares—Net Assets       
Applicable to 1,992,071,074 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    20,431,798  
Net Asset Value Per Share—Investor Shares  $ 10.26  
 
Institutional Shares—Net Assets       
Applicable to 689,904,313 outstanding $.001 par value shares of       
beneficial interest (unlimited authorization)    7,076,019  
Net Asset Value Per Share—Institutional Shares  $ 10.26  

• See Note A in Notes to Financial Statements.

1 Guaranteed by the Federal Deposit Insurance Corporation (FDIC) as part of the Temporary Liquidity Guarantee Program.

2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.

3 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, 2009, the aggregate value of these securities was $152,817,000, representing 0.6% of net assets.

5 Adjustable-rate security.

6 Non-income-producing security—security in default.

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.

GO—General Obligation Bond.

USD—United School District.

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

72


Total Bond Market II Index Fund       
 
 
Statement of Operations       
 
    January 26, 20091 to  
    December 31, 2009  
  ($ 000 ) 
Investment Income       
Income       
Interest2    757,601  
Total Income    757,601  
Expenses       
The Vanguard Group—Note B       
Investment Advisory Services    1,220  
Management and Administrative—Investor Shares    13,714  
Management and Administrative—Institutional Shares    2,097  
Marketing and Distribution—Investor Shares    2,469  
Marketing and Distribution—Institutional Shares    511  
Custodian Fees    240  
Auditing Fees    33  
Shareholders’ Reports and Proxies—Investor Shares    4  
Shareholders’ Reports and Proxies—Institutional Shares    2  
Trustees’ Fees and Expenses    38  
Total Expenses    20,328  
Net Investment Income    737,273  
Realized Net Gain (Loss) on Investment Securities Sold    (5,942 ) 
Change in Unrealized Appreciation (Depreciation) of Investment Securities    562,837  
Net Increase (Decrease) in Net Assets Resulting from Operations    1,294,168  

1      Inception.
2      Interest income from an affiliated company of the fund was $2,805,000.

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

73


Total Bond Market II Index Fund       
 
 
Statement of Changes in Net Assets       
 
    January 26, 20091 to  
    December 31, 2009  
  ($ 000 ) 
Increase (Decrease) in Net Assets       
Operations       
Net Investment Income    737,273  
Realized Net Gain (Loss)    (5,942 ) 
Change in Unrealized Appreciation (Depreciation)    562,837  
Net Increase (Decrease) in Net Assets Resulting from Operations    1,294,168  
Distributions       
Net Investment Income       
Investor Shares    (577,735 ) 
Institutional Shares    (159,584 ) 
Realized Capital Gain       
Investor Shares    —  
Institutional Shares    —  
Total Distributions    (737,319 ) 
Capital Share Transactions       
Investor Shares    20,011,458  
Institutional Shares    6,939,510  
Net Increase (Decrease) from Capital Share Transactions    26,950,968  
Total Increase (Decrease)    27,507,817  
Net Assets       
Beginning of Period    —  
End of Period    27,507,817  
1 Inception.       

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

74


Total Bond Market II Index Fund       
 
 
Financial Highlights       
 
 
Investor Shares       
    January 26, 20091 to  
For a Share Outstanding Throughout the Period    December 31, 2009  
Net Asset Value, Beginning of Period  $ 10.00  
Investment Operations       
Net Investment Income    .358  
Net Realized and Unrealized Gain (Loss)       
on Investments    .260  
Total from Investment Operations    .618  
Distributions       
Dividends from Net Investment Income    (.358 ) 
Distributions from Realized Capital Gains    —  
Total Distributions    (.358 ) 
Net Asset Value, End of Period  $ 10.26  
 
Total Return2    6.28 % 
 
Ratios/Supplemental Data       
Net Assets, End of Period (Millions)  $ 20,432  
Ratio of Total Expenses to       
Average Net Assets    0.11 %3 
Ratio of Net Investment Income to       
Average Net Assets    3.76 %3 
Portfolio Turnover Rate4    110 % 

1      Inception.
2      Total returns do not include the account service fee that may be applicable to certain accounts with balances below $10,000.
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.

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

75


Total Bond Market II Index Fund       
 
 
Financial Highlights       
 
 
Institutional Shares       
    February 17, 20091 to  
For a Share Outstanding Throughout the Period    December 31, 2009  
Net Asset Value, Beginning of Period  $ 10.03  
Investment Operations       
Net Investment Income    .338  
Net Realized and Unrealized Gain (Loss)       
on Investments    .230  
Total from Investment Operations    .568  
Distributions       
Dividends from Net Investment Income    (.338 ) 
Distributions from Realized Capital Gains    —  
Total Distributions    (.338 ) 
Net Asset Value, End of Period  $ 10.26  
 
Total Return    5.80 % 
 
Ratios/Supplemental Data       
Net Assets, End of Period (Millions)  $ 7,076  
Ratio of Total Expenses to       
Average Net Assets    0.07 %2 
Ratio of Net Investment Income to       
Average Net Assets    3.80 %2 
Portfolio Turnover Rate3    110 % 

1      Inception.
2      Annualized.
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.

76


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. Investor Shares were first issued on January 26, 2009, and are available to eligible investors who meet the fund’s minimum purchase requirements. Institutional Shares were first issued on February 17, 2009, and are available to eligible investors who generally do not require special employee benefit plan services and invest a minimum of $5 million.

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

1. Security Valuation: Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Other temporary cash investments are valued at amortized cost, which approximates market 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. Mortgage Dollar Rolls: The fund has entered 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 invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities, and is compensated by interest earned on the proceeds of the initial sale and by a lower price on the securities to be repurchased. 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 (Other Assets) or Payables for Investment Securities Purchased (Liabilities) in the Statement of Net Assets. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations to deliver purchased securities.

3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period from inception to December 31, 2009, 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 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.

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

77


Total Bond Market II Index 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), shareholder reporting, and proxies. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2009, the fund had contributed capital of $5,429,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 2.17% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers 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).

The following table summarizes the fund’s investments as of December 31, 2009, based on the inputs used to value them:

    Level 1     Level 2     Level 3  
Investments  ($ 000 )  ($ 000 )  ($ 000 ) 
U.S. Government and Agency Obligations    —     19,905,826     —  
Asset-Backed/Commercial Mortgage-Backed Securities    —     960,201     —  
Corporate Bonds    —     5,360,749     15  
Sovereign Bonds    —     1,015,678     —  
Taxable Municipal Bonds    —     105,512     —  
Temporary Cash Investments    1,334,381     —     —  
Total    1,334,381     27,347,966     15  

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended December 31, 2009:

    Investments in  
    Corporate Bonds  
Amount Valued Based on Level 3 Inputs  ($ 000 ) 
Balance as of Inception Date    —  
Transfers into Level 3    24  
Change in Unrealized Appreciation (Depreciation)    (9 ) 
Balance as of December 31, 2009    15  

78


Total Bond Market II Index Fund

D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.

For tax purposes, at December 31, 2009, the fund had short-term capital gains of $5,578,000 available for distribution. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

Certain of the fund’s U.S. Treasury Inflation-Indexed securities experienced deflation adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction will be deferred for tax purposes until it is used to offset future inflation adjustments that increase taxable income. The difference becomes permanent if the securities are sold. During the period ended December 31, 2009, the fund realized gains of $46,000 that were included in ordinary income for tax purposes as a result of deferred deflation adjustments; accordingly such gains have been reclassified from accumulated net realized losses to undistributed net investment income.

At December 31, 2009, the cost of investment securities for tax purposes was $28,131,090,000. Net unrealized appreciation of investment securities for tax purposes was $551,272,000, consisting of unrealized gains of $724,916,000 on securities that had risen in value since their purchase and $173,644,000 in unrealized losses on securities that had fallen in value since their purchase.

E. During the period ended December 31, 2009, the fund purchased $7,125,331,000 of investment securities and sold $490,576,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $41,780,113,000 and $21,835,287,000 respectively.

F. Capital share transactions for each class of shares were:           
    January 26, 20091 to  
    December 31, 2009  
    Amount   Shares  
  ($ 000 )  (000 ) 
Investor Shares           
Issued    22,626,096   2,252,203  
Issued in Lieu of Cash Distributions    577,730   56,763  
Redeemed    (3,192,368 )  (316,895 ) 
Net Increase (Decrease)—Investor Shares    20,011,458   1,992,071  
Institutional Shares           
Issued    7,305,053   726,011  
Issued in Lieu of Cash Distributions    159,584   15,596  
Redeemed    (525,127 )  (51,703 ) 
Net Increase (Decrease)—Institutional Shares    6,939,510   689,904  
1 Inception.           

G. In preparing the financial statements as of December 31, 2009, management considered the impact of subsequent events occurring through February 16, 2010, for potential recognition or disclosure in these financial statements.

79


Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Bond Market II Index Fund (constituting a separate portfolio of Vanguard Bond Index Funds, hereafter referred to as the “Fund”) at December 31, 2009, and the results of its operations, the changes in its net assets and the financial highlights for the period January 26, 2009 (commencement of operations) through December 31, 2009, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania

February 16, 2010

 

Special 2009 tax information (unaudited) for Vanguard Total Bond Market II Index Fund

This information for the fiscal year ended December 31, 2009, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 91.5% of income dividends are interest-related dividends.

80


About Your Fund’s Expenses

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

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

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

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

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

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

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include the account service fee described in the prospectus. If such a fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a “sales load.”

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

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

81


Six Months Ended December 31, 2009             
    Beginning    Ending    Expenses 
    Account Value    Account Value    Paid During 
Total Bond Market II Index Fund    6/30/2009    12/31/2009    Period1 
Based on Actual Fund Return             
Investor Shares  $ 1,000.00  $ 1,038.87  $ 0.31 
Institutional Shares    1,000.00    1,038.87    0.36 
Based on Hypothetical 5% Yearly Return             
Investor Shares  $ 1,000.00  $ 1,024.90  $ 0.31 
Institutional Shares    1,000.00    1,024.85    0.36 

1 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 0.06% for Investor 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.

82


Glossary

30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.

Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.

Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.

Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.

Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.

Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.

Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.

Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.

83


The People Who Govern Your Fund

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

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 163 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at www.vanguard.com.

Interested Trustee1

F. William McNabb III

Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).

Independent Trustees

Emerson U. Fullwood

Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (photocopiers and printers); Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, the Boy Scouts of America, Amerigroup Corporation (direct health and medical insurance carriers), and Monroe Community College Foundation.

Rajiv L. Gupta

Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Board Member of American Chemistry Council; Director of Tyco International, Ltd. (diversified manufacturing and services) and Hewlett-Packard Co. (electronic computer manufacturing); Trustee of The Conference Board.

Amy Gutmann

Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science in the School of Arts and Sciences with secondary appointments at the Annenberg School for Communication and the Graduate School of Education of the University of Pennsylvania; Director of Carnegie Corporation of New York, Schuylkill River Development Corporation, and Greater Philadelphia Chamber of Commerce; Trustee of the National Constitution Center.


JoAnn Heffernan Heisen

Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Corporate Vice President and Chief Global Diversity Officer since 2006 (retired 2008) and Member of the Executive Committee (retired 2008) of Johnson & Johnson (pharmaceuticals/consumer products); Vice President and Chief Information Officer of Johnson & Johnson (1997–2005); Director of the University Medical Center at Princeton and Women’s Research and Education Institute; Member of the Advisory Board of the Maxwell School of Citizenship and Public Affairs at Syracuse University.

F. Joseph Loughrey

Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years: President and Chief Operating Officer since 2005 (retired 2009) and Vice Chairman of the Board (2008–2009) of Cummins Inc. (industrial machinery); Director of SKF AB (industrial machinery), Hillenbrand, Inc. (specialized consumer services), Sauer-Danfoss Inc. (machinery), the Lumina Foundation for Education, and the Columbus Community Education Coalition; Chairman of the Advisory Council for the College of Arts and Letters at the University of Notre Dame.

André F. Perold

Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Harvard Business School; Chair of the Investment Committee of HighVista Strategies LLC (private investment firm).

Alfred M. Rankin, Jr.

Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/ aircraft systems and services); Deputy Chairman of the Federal Reserve Bank of Cleveland; Trustee of University Hospitals of Cleveland, The Cleveland Museum of Art, and Case Western Reserve University.

Peter F. Volanakis

Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years: President since 2007 and Chief Operating Officer since 2005 of Corning Incorporated (communications equipment); President of Corning Technologies (2001–2005); Director of Corning Incorporated and Dow Corning; Trustee of the Corning Incorporated Foundation and the Corning Museum of Glass; Overseer of the Amos Tuck School of Business Administration at Dartmouth College.

Executive Officers

Thomas J. Higgins

Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group since 2008; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).

Kathryn J. Hyatt

Born 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group since 2008; Assistant Treasurer of each of the investment companies served by The Vanguard Group (1988–2008).

Heidi Stam

Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group since 2005; Director and Senior Vice President of Vanguard Marketing Corporation since 2005; Principal of The Vanguard Group (1997–2006).

Vanguard Senior Management Team

R. Gregory Barton
Mortimer J. Buckley
Kathleen C. Gubanich
Paul A. Heller

Michael S. Miller
James M. Norris
Glenn W. Reed
George U. Sauter

Chairman Emeritus and Senior Advisor

John J. Brennan

Chairman, 1996–2009

Chief Executive Officer and President, 1996–2008

Founder

John C. Bogle

Chairman and Chief Executive Officer, 1974–1996

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

2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.


P.O. Box 2600
Valley Forge, PA 19482-2600

Connect with Vanguard® > www.vanguard.com

Fund Information > 800-662-7447

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With Hearing Impairment > 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 Lipper Inc. or Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting our website, www.vanguard.com, and searching for “proxy voting guidelines,” 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 www.vanguard.com or www.sec.gov.

You can review and copy information about your fund at the SEC’s Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 202-551-8090. Information about your fund is also available on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request in either of two ways: via e-mail addressed to publicinfo@sec.gov or via regular mail addressed to the Public Reference Section, Securities and Exchange Commission, Washington, DC 20549-1520.


© 2010 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

Q6350 022010


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. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, André F. Perold, and Alfred M. Rankin, Jr.

Item 4: Principal Accountant Fees and Services.

(a) Audit Fees.

Audit Fees of the Registrant

Fiscal Year Ended December 31, 2009: $195,000 Fiscal Year Ended December 31, 2008: $166,000

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

Fiscal Year Ended December 31, 2009: $3,354,640
Fiscal Year Ended December 31, 2008: $3,055,590

(b) Audit-Related Fees.

Fiscal Year Ended December 31, 2009: $876,210
Fiscal Year Ended December 31, 2008: $626,240

Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.

(c) Tax Fees.

Fiscal Year Ended December 31, 2009: $423,070
Fiscal Year Ended December 31, 2008: $230,400

Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.

(d) All Other Fees.

Fiscal Year Ended December 31, 2009: $0
Fiscal Year Ended December 31, 2008: $0

Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.

(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: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. 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

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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: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.

     (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, 2009: $423,070
Fiscal Year Ended December 31, 2008: $230,400

Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.

(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: Not Applicable.

Item 6: Not Applicable.

Item 7: Not Applicable.

Item 8: Not Applicable.

Item 9: Not Applicable.

Item 10: Not Applicable.

Item 11: Controls and Procedures.

     (a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

     (b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Exhibits.

(a)      Code of Ethics.
(b)      Certifications.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

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  VANGUARD BOND INDEX FUNDS 
 
 
BY:  /s/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date:  February 22, 2010 

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/ F. WILLIAM MCNABB III* 
  F. WILLIAM MCNABB III 
  CHIEF EXECUTIVE OFFICER 
 
Date:  February 22, 2010 

 

 

  VANGUARD BOND INDEX FUNDS 
 
 
BY:  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date:  February 22, 2010 

 


* By: /s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on July 24, 2009, see file Number 2-88373, and a Power of Attorney filed on October 16, 2009, see File Number 2-52698, both Incorporated by Reference.

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