N-CSR/A 1 bondindexfinal.htm VANGUARD BOND INDEX FUND bondindexfinal.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.

1


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.

2


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  

6


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.

7


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.

10


          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 % 

11


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.

82


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.

89


This page intentionally left blank.


This page intentionally left blank.


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, 2009

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
 
U.S. Government and Agency Obligations (71.2%)        
U.S. Government Securities (30.0%)        
United States Treasury Inflation Indexed Bonds 3.500% 1/15/11 62,575 80,613
United States Treasury Note/Bond 2.000% 2/28/10 14,500 14,541
United States Treasury Note/Bond 4.000% 3/15/10 21,000 21,157
United States Treasury Note/Bond 1.750% 3/31/10 26,900 27,001
United States Treasury Note/Bond 4.000% 4/15/10 2,995 3,027
United States Treasury Note/Bond 2.625% 5/31/10 40,400 40,798
United States Treasury Note/Bond 4.125% 8/15/10 32,386 33,145
United States Treasury Note/Bond 5.750% 8/15/10 49,090 50,724
United States Treasury Note/Bond 2.375% 8/31/10 20,470 20,739
United States Treasury Note/Bond 2.000% 9/30/10 39,460 39,922
United States Treasury Note/Bond 4.375% 12/15/10 495,025 513,123
United States Treasury Note/Bond 0.875% 12/31/10 350 351
United States Treasury Note/Bond 4.250% 1/15/11 170,475 176,868
United States Treasury Note/Bond 0.875% 1/31/11 111,615 111,946
United States Treasury Note/Bond 5.000% 2/15/11 9,975 10,454
United States Treasury Note/Bond 0.875% 2/28/11 725,950 727,649
United States Treasury Note/Bond 4.500% 2/28/11 80,090 83,594
United States Treasury Note/Bond 0.875% 3/31/11 9,025 9,041
United States Treasury Note/Bond 0.875% 4/30/11 3,575 3,579
United States Treasury Note/Bond 4.875% 4/30/11 248,755 261,971
United States Treasury Note/Bond 0.875% 5/31/11 19,715 19,736
United States Treasury Note/Bond 1.125% 6/30/11 303,950 305,138
United States Treasury Note/Bond 5.125% 6/30/11 759,035 806,475
United States Treasury Note/Bond 1.000% 7/31/11 204,150 204,438
United States Treasury Note/Bond 5.000% 8/15/11 7,105 7,575
United States Treasury Note/Bond 1.000% 8/31/11 129,573 129,613
United States Treasury Note/Bond 4.625% 8/31/11 44,225 46,892
United States Treasury Note/Bond 1.000% 9/30/11 6,650 6,647
United States Treasury Note/Bond 4.500% 9/30/11 125,007 132,507
United States Treasury Note/Bond 1.000% 10/31/11 570 569
United States Treasury Note/Bond 4.625% 10/31/11 133,965 142,651
United States Treasury Note/Bond 1.750% 11/15/11 500 506
United States Treasury Note/Bond 0.750% 11/30/11 196,269 194,981
United States Treasury Note/Bond 4.500% 11/30/11 16,925 18,020
United States Treasury Note/Bond 1.125% 12/15/11 158,890 158,939
United States Treasury Note/Bond 4.625% 12/31/11 200 214
United States Treasury Note/Bond 1.125% 1/15/12 47,500 47,455
United States Treasury Note/Bond 4.750% 1/31/12 28,265 30,336
United States Treasury Note/Bond 1.375% 2/15/12 152,250 152,678
United States Treasury Note/Bond 4.875% 2/15/12 276,345 297,331
United States Treasury Note/Bond 4.625% 2/29/12 81,415 87,279
United States Treasury Note/Bond 4.500% 3/31/12 89,285 95,563
United States Treasury Note/Bond 1.375% 4/15/12 312,714 313,055
United States Treasury Note/Bond 4.500% 4/30/12 298,290 319,824
United States Treasury Note/Bond 1.375% 5/15/12 357,050 357,107
United States Treasury Note/Bond 4.750% 5/31/12 315,390 340,621
United States Treasury Note/Bond 1.875% 6/15/12 135,175 136,654
United States Treasury Note/Bond 4.875% 6/30/12 178,365 193,471
United States Treasury Note/Bond 1.500% 7/15/12 75,550 75,680
United States Treasury Note/Bond 4.625% 7/31/12 46,950 50,714
United States Treasury Note/Bond 1.750% 8/15/12 85,850 86,413
United States Treasury Note/Bond 4.125% 8/31/12 5,446 5,823
United States Treasury Note/Bond 1.375% 9/15/12 49,843 49,625
United States Treasury Note/Bond 4.250% 9/30/12 24,590 26,396
United States Treasury Note/Bond 1.375% 10/15/12 50,950 50,679
United States Treasury Note/Bond 3.875% 10/31/12 43,650 46,453
United States Treasury Note/Bond 1.375% 11/15/12 395 392
United States Treasury Note/Bond 4.000% 11/15/12 12,650 13,516
United States Treasury Note/Bond 1.125% 12/15/12 475,550 468,046
United States Treasury Note/Bond 3.875% 2/15/13 239,975 255,648
United States Treasury Note/Bond 2.750% 2/28/13 32,545 33,542

1


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
United States Treasury Note/Bond 3.625% 5/15/13 51,245 54,272
United States Treasury Note/Bond 3.500% 5/31/13 21,505 22,668
United States Treasury Note/Bond 3.375% 6/30/13 8,515 8,939
United States Treasury Note/Bond 3.375% 7/31/13 10,150 10,657
United States Treasury Note/Bond 4.250% 8/15/13 30,150 32,543
United States Treasury Note/Bond 3.125% 8/31/13 40,770 42,382
United States Treasury Note/Bond 3.125% 9/30/13 605,510 629,446
United States Treasury Note/Bond 2.750% 10/31/13 552,108 565,568
United States Treasury Note/Bond 4.250% 11/15/13 6,560 7,088
United States Treasury Note/Bond 2.000% 11/30/13 55,985 55,696
United States Treasury Note/Bond 1.500% 12/31/13 293,000 285,356
United States Treasury Note/Bond 1.750% 1/31/14 153,500 150,622
United States Treasury Note/Bond 4.000% 2/15/14 43,075 46,070
United States Treasury Note/Bond 1.875% 2/28/14 125,350 123,313
United States Treasury Note/Bond 1.750% 3/31/14 402,775 393,274
United States Treasury Note/Bond 1.875% 4/30/14 214,825 210,428
United States Treasury Note/Bond 4.750% 5/15/14 40,698 44,793
United States Treasury Note/Bond 2.250% 5/31/14 172,940 171,778
United States Treasury Note/Bond 2.625% 6/30/14 70,100 70,626
United States Treasury Note/Bond 2.625% 7/31/14 171,745 172,657
United States Treasury Note/Bond 4.250% 8/15/14 6,000 6,474
United States Treasury Note/Bond 2.375% 8/31/14 157,705 156,571
United States Treasury Note/Bond 2.375% 9/30/14 111,860 110,934
United States Treasury Note/Bond 2.375% 10/31/14 254,190 251,491
United States Treasury Note/Bond 2.125% 11/30/14 487,509 476,160
United States Treasury Note/Bond 2.625% 12/31/14 145,100 144,363
United States Treasury Note/Bond 4.000% 2/15/15 87,835 93,366
United States Treasury Note/Bond 11.250% 2/15/15 49,325 69,595
United States Treasury Note/Bond 4.125% 5/15/15 147,995 157,823
United States Treasury Note/Bond 4.250% 8/15/15 32,805 35,117
United States Treasury Note/Bond 10.625% 8/15/15 5,775 8,112
United States Treasury Note/Bond 4.500% 11/15/15 13,070 14,157
United States Treasury Note/Bond 9.875% 11/15/15 256,225 352,069
United States Treasury Note/Bond 4.500% 2/15/16 4,895 5,281
United States Treasury Note/Bond 9.250% 2/15/16 6,625 8,923
United States Treasury Note/Bond 2.625% 2/29/16 182,250 177,353
United States Treasury Note/Bond 2.375% 3/31/16 1,225 1,172
United States Treasury Note/Bond 2.625% 4/30/16 10,925 10,589
United States Treasury Note/Bond 5.125% 5/15/16 208,385 232,414
United States Treasury Note/Bond 7.250% 5/15/16 48,065 59,518
United States Treasury Note/Bond 3.250% 5/31/16 47,875 48,092
United States Treasury Note/Bond 3.250% 6/30/16 247,645 248,420
United States Treasury Note/Bond 4.875% 8/15/16 89,810 98,777
United States Treasury Note/Bond 3.000% 9/30/16 1,650 1,620
United States Treasury Note/Bond 3.125% 10/31/16 63,735 62,949
United States Treasury Note/Bond 4.625% 11/15/16 15,096 16,330
United States Treasury Note/Bond 7.500% 11/15/16 83,602 105,364
United States Treasury Note/Bond 2.750% 11/30/16 10,775 10,376
United States Treasury Note/Bond 4.625% 2/15/17 225 243
United States Treasury Note/Bond 4.500% 5/15/17 14,620 15,634
United States Treasury Note/Bond 8.750% 5/15/17 315,790 427,055
United States Treasury Note/Bond 4.750% 8/15/17 322,525 350,091
United States Treasury Note/Bond 8.875% 8/15/17 25,860 35,262
United States Treasury Note/Bond 4.250% 11/15/17 236,010 247,478
United States Treasury Note/Bond 3.500% 2/15/18 117,525 116,607
United States Treasury Note/Bond 3.875% 5/15/18 396,016 402,265
United States Treasury Note/Bond 9.125% 5/15/18 3,260 4,577
United States Treasury Note/Bond 4.000% 8/15/18 193,300 197,498
United States Treasury Note/Bond 3.750% 11/15/18 11,960 11,962
United States Treasury Note/Bond 8.875% 2/15/19 171,900 240,177
United States Treasury Note/Bond 3.125% 5/15/19 117,350 111,170
United States Treasury Note/Bond 3.625% 8/15/19 81,090 79,747
United States Treasury Note/Bond 8.125% 8/15/19 65,605 88,331
United States Treasury Note/Bond 3.375% 11/15/19 656,389 631,669

2


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
United States Treasury Note/Bond 8.500% 2/15/20 1,740 2,412
United States Treasury Note/Bond 8.750% 8/15/20 230,025 325,485
United States Treasury Note/Bond 7.875% 2/15/21 199,237 267,912
United States Treasury Note/Bond 8.125% 5/15/21 11,850 16,218
United States Treasury Note/Bond 8.125% 8/15/21 131,140 179,928
United States Treasury Note/Bond 8.000% 11/15/21 58,695 79,954
United States Treasury Note/Bond 7.250% 8/15/22 335 434
United States Treasury Note/Bond 7.625% 11/15/22 60,080 80,160
United States Treasury Note/Bond 7.125% 2/15/23 85,210 109,336
United States Treasury Note/Bond 6.250% 8/15/23 314,920 376,279
United States Treasury Note/Bond 7.625% 2/15/25 612 827
United States Treasury Note/Bond 6.875% 8/15/25 40,350 51,219
United States Treasury Note/Bond 6.000% 2/15/26 970 1,135
United States Treasury Note/Bond 6.750% 8/15/26 186,530 235,406
United States Treasury Note/Bond 6.500% 11/15/26 4,630 5,710
United States Treasury Note/Bond 6.625% 2/15/27 48,410 60,475
United States Treasury Note/Bond 6.375% 8/15/27 25,270 30,865
United States Treasury Note/Bond 6.125% 11/15/27 4,905 5,845
United States Treasury Note/Bond 5.500% 8/15/28 25,590 28,529
United States Treasury Note/Bond 5.250% 11/15/28 7,550 8,185
United States Treasury Note/Bond 5.250% 2/15/29 89,315 96,809
United States Treasury Note/Bond 6.125% 8/15/29 103,975 124,883
United States Treasury Note/Bond 6.250% 5/15/30 57,988 70,881
United States Treasury Note/Bond 5.375% 2/15/31 45,799 50,637
United States Treasury Note/Bond 4.500% 2/15/36 103,470 101,983
United States Treasury Note/Bond 4.750% 2/15/37 394,150 403,081
United States Treasury Note/Bond 5.000% 5/15/37 98,869 105,079
United States Treasury Note/Bond 4.375% 2/15/38 57,234 54,989
United States Treasury Note/Bond 4.500% 5/15/38 108,302 106,153
United States Treasury Note/Bond 3.500% 2/15/39 238 195
United States Treasury Note/Bond 4.250% 5/15/39 153,908 144,481
United States Treasury Note/Bond 4.500% 8/15/39 257,472 251,880
        20,338,162
Agency Bonds and Notes (7.5%)        
1 American Express Bank FSB 3.150% 12/9/11 19,550 20,228
1 Bank of America Corp. 2.100% 4/30/12 48,025 48,573
1 Bank of America Corp. 3.125% 6/15/12 35,600 36,950
1 Bank of America Corp. 2.375% 6/22/12 23,850 24,302
1 Bank of America NA 1.700% 12/23/10 11,675 11,791
1 Bank of the West 2.150% 3/27/12 10,750 10,896
1 Citibank NA 1.625% 3/30/11 8,350 8,423
1 Citibank NA 1.500% 7/12/11 6,750 6,789
1 Citibank NA 1.375% 8/10/11 9,000 9,036
1 Citibank NA 1.250% 9/22/11 5,250 5,254
1 Citibank NA 1.875% 5/7/12 22,260 22,422
1 Citibank NA 1.750% 12/28/12 20,100 19,980
1 Citigroup Funding Inc. 1.375% 5/5/11 25,400 25,543
1 Citigroup Funding Inc. 2.000% 3/30/12 8,350 8,424
1 Citigroup Funding Inc. 2.125% 7/12/12 10,550 10,653
1 Citigroup Funding Inc. 1.875% 10/22/12 16,775 16,747
1 Citigroup Funding Inc. 2.250% 12/10/12 4,500 4,537
1 Citigroup Inc. 2.875% 12/9/11 17,375 17,880
1 Citigroup Inc. 2.125% 4/30/12 45,770 46,338
Egypt Government AID Bonds 4.450% 9/15/15 11,875 12,387
2 Federal Farm Credit Bank 4.875% 2/18/11 23,450 24,522
2 Federal Farm Credit Bank 2.625% 4/21/11 11,475 11,744
2 Federal Farm Credit Bank 5.375% 7/18/11 22,525 23,989
2 Federal Farm Credit Bank 3.875% 8/25/11 11,925 12,455
2 Federal Farm Credit Bank 2.000% 1/17/12 15,675 15,878
2 Federal Farm Credit Bank 2.250% 4/24/12 5,925 6,022
2 Federal Farm Credit Bank 2.125% 6/18/12 13,825 13,998
2 Federal Farm Credit Bank 4.500% 10/17/12 11,050 11,833
2 Federal Farm Credit Bank 1.875% 12/7/12 8,850 8,822
2 Federal Farm Credit Bank 3.875% 10/7/13 37,075 39,006

3


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
2 Federal Farm Credit Bank 2.625% 4/17/14 10,150 10,125
2 Federal Farm Credit Bank 3.000% 9/22/14 10,600 10,686
2 Federal Farm Credit Bank 4.875% 12/16/15 1,275 1,367
2 Federal Farm Credit Bank 5.125% 8/25/16 8,100 8,772
2 Federal Farm Credit Bank 4.875% 1/17/17 7,400 7,876
2 Federal Farm Credit Bank 5.150% 11/15/19 15,675 16,130
2 Federal Home Loan Bank of Chicago 5.625% 6/13/16 3,555 3,588
2 Federal Home Loan Banks 1.625% 3/16/11 16,275 16,446
2 Federal Home Loan Banks 1.375% 5/16/11 39,575 39,833
2 Federal Home Loan Banks 3.125% 6/10/11 7,775 8,004
2 Federal Home Loan Banks 3.625% 7/1/11 18,125 18,827
2 Federal Home Loan Banks 1.625% 7/27/11 61,450 62,041
2 Federal Home Loan Banks 5.375% 8/19/11 63,725 68,171
2 Federal Home Loan Banks 3.750% 9/9/11 4,600 4,795
2 Federal Home Loan Banks 3.625% 9/16/11 9,250 9,643
2 Federal Home Loan Banks 4.875% 11/18/11 20,490 21,894
2 Federal Home Loan Banks 1.000% 12/28/11 19,700 19,622
2 Federal Home Loan Banks 1.875% 6/20/12 33,700 34,001
2 Federal Home Loan Banks 1.750% 8/22/12 47,675 47,728
2 Federal Home Loan Banks 1.625% 9/26/12 14,000 13,944
2,3 Federal Home Loan Banks 2.000% 10/5/12 34,920 34,877
2,3 Federal Home Loan Banks 2.000% 11/9/12 68,600 68,262
2 Federal Home Loan Banks 1.750% 12/14/12 15,900 15,793
2 Federal Home Loan Banks 1.500% 1/16/13 29,875 29,492
2 Federal Home Loan Banks 3.375% 2/27/13 9,750 10,158
2 Federal Home Loan Banks 3.875% 6/14/13 23,975 25,409
2 Federal Home Loan Banks 5.375% 6/14/13 11,725 12,951
2 Federal Home Loan Banks 5.125% 8/14/13 4,325 4,758
2 Federal Home Loan Banks 4.000% 9/6/13 14,125 14,983
2 Federal Home Loan Banks 5.250% 9/13/13 7,125 7,839
2 Federal Home Loan Banks 4.500% 9/16/13 31,325 33,759
2 Federal Home Loan Banks 3.625% 10/18/13 22,750 23,832
2 Federal Home Loan Banks 4.875% 11/27/13 18,975 20,752
2 Federal Home Loan Banks 5.500% 8/13/14 134,950 151,244
2 Federal Home Loan Banks 5.375% 5/18/16 38,950 43,148
2 Federal Home Loan Banks 5.125% 10/19/16 15,625 16,995
2 Federal Home Loan Banks 4.750% 12/16/16 47,660 50,960
2 Federal Home Loan Banks 4.875% 5/17/17 23,175 24,895
2 Federal Home Loan Banks 5.000% 11/17/17 17,675 19,050
2 Federal Home Loan Banks 5.375% 5/15/19 2,765 2,986
2 Federal Home Loan Banks 5.250% 12/11/20 4,175 4,459
2 Federal Home Loan Banks 5.625% 6/11/21 1,050 1,150
2 Federal Home Loan Banks 5.375% 8/15/24 24,600 25,375
2 Federal Home Loan Banks 5.500% 7/15/36 8,575 8,799
2 Federal Home Loan Mortgage Corp. 4.750% 1/18/11 70,850 73,669
2 Federal Home Loan Mortgage Corp. 3.250% 2/25/11 15,200 15,639
2 Federal Home Loan Mortgage Corp. 5.625% 3/15/11 39,125 41,353
2 Federal Home Loan Mortgage Corp. 5.125% 4/18/11 46,925 49,489
2 Federal Home Loan Mortgage Corp. 1.625% 4/26/11 23,400 23,647
2 Federal Home Loan Mortgage Corp. 6.000% 6/15/11 26,425 28,361
2 Federal Home Loan Mortgage Corp. 3.875% 6/29/11 8,800 9,179
2 Federal Home Loan Mortgage Corp. 5.250% 7/18/11 89,900 95,729
2 Federal Home Loan Mortgage Corp. 5.750% 1/15/12 64,075 69,820
2 Federal Home Loan Mortgage Corp. 2.125% 3/23/12 54,170 55,057
2 Federal Home Loan Mortgage Corp. 1.750% 6/15/12 28,600 28,776
2 Federal Home Loan Mortgage Corp. 4.750% 6/28/12 2,000 2,154
2 Federal Home Loan Mortgage Corp. 5.500% 8/20/12 39,125 42,954
2 Federal Home Loan Mortgage Corp. 2.125% 9/21/12 20,375 20,573
2 Federal Home Loan Mortgage Corp. 4.625% 10/25/12 30,400 32,735
2 Federal Home Loan Mortgage Corp. 4.125% 12/21/12 14,050 14,923
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/13 31,970 34,381
2 Federal Home Loan Mortgage Corp. 3.750% 6/28/13 29,690 31,290
2 Federal Home Loan Mortgage Corp. 4.500% 7/15/13 17,575 18,962
2 Federal Home Loan Mortgage Corp. 4.125% 9/27/13 7,025 7,482

4


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
2 Federal Home Loan Mortgage Corp. 4.875% 11/15/13 89,825 98,235
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/14 23,300 25,117
2 Federal Home Loan Mortgage Corp. 2.500% 4/23/14 23,500 23,418
2 Federal Home Loan Mortgage Corp. 5.000% 7/15/14 44,925 49,312
2 Federal Home Loan Mortgage Corp. 3.000% 7/28/14 74,050 74,948
2 Federal Home Loan Mortgage Corp. 0.000% 11/24/14 7,400 6,265
2 Federal Home Loan Mortgage Corp. 4.750% 1/19/16 250 270
2 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 48,375 53,390
2 Federal Home Loan Mortgage Corp. 5.500% 7/18/16 27,825 31,062
2 Federal Home Loan Mortgage Corp. 5.125% 10/18/16 14,900 16,300
2 Federal Home Loan Mortgage Corp. 5.000% 2/16/17 23,450 25,457
2 Federal Home Loan Mortgage Corp. 5.000% 4/18/17 7,800 8,461
2 Federal Home Loan Mortgage Corp. 5.500% 8/23/17 31,250 34,864
2 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 395 430
2 Federal Home Loan Mortgage Corp. 4.875% 6/13/18 21,400 22,909
2 Federal Home Loan Mortgage Corp. 3.750% 3/27/19 63,825 62,568
2 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 10,950 13,155
2 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 36,525 44,735
2 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 172 200
2 Federal National Mortgage Assn. 6.250% 2/1/11 14,745 15,449
2 Federal National Mortgage Assn. 1.750% 3/23/11 29,075 29,373
2 Federal National Mortgage Assn. 5.125% 4/15/11 29,675 31,282
2 Federal National Mortgage Assn. 1.375% 4/28/11 57,450 57,841
2 Federal National Mortgage Assn. 6.000% 5/15/11 34,880 37,294
2 Federal National Mortgage Assn. 3.375% 5/19/11 42,525 43,958
2 Federal National Mortgage Assn. 5.000% 10/15/11 67,950 72,555
2 Federal National Mortgage Assn. 1.000% 11/23/11 14,200 14,152
2 Federal National Mortgage Assn. 2.000% 1/9/12 118,100 119,872
2 Federal National Mortgage Assn. 0.875% 1/12/12 22,000 21,847
2 Federal National Mortgage Assn. 5.000% 2/16/12 39,125 42,134
2 Federal National Mortgage Assn. 6.125% 3/15/12 68,630 75,694
2 Federal National Mortgage Assn. 1.875% 4/20/12 61,800 62,399
2 Federal National Mortgage Assn. 4.875% 5/18/12 28,550 30,791
2 Federal National Mortgage Assn. 5.250% 8/1/12 7,100 7,597
2 Federal National Mortgage Assn. 1.750% 8/10/12 19,000 19,031
2 Federal National Mortgage Assn. 4.375% 9/15/12 84,200 90,005
2 Federal National Mortgage Assn. 3.625% 2/12/13 14,175 14,875
2 Federal National Mortgage Assn. 4.750% 2/21/13 7,150 7,726
2 Federal National Mortgage Assn. 4.375% 3/15/13 11,865 12,731
2 Federal National Mortgage Assn. 4.625% 5/1/13 21,844 22,961
2 Federal National Mortgage Assn. 4.625% 10/15/13 47,575 51,563
2 Federal National Mortgage Assn. 2.875% 12/11/13 33,925 34,595
2 Federal National Mortgage Assn. 5.125% 1/2/14 3,075 3,238
2 Federal National Mortgage Assn. 2.750% 2/5/14 20,700 20,879
2 Federal National Mortgage Assn. 2.750% 3/13/14 23,325 23,513
2 Federal National Mortgage Assn. 4.125% 4/15/14 42,875 45,550
2 Federal National Mortgage Assn. 2.500% 5/15/14 39,050 38,881
2 Federal National Mortgage Assn. 3.000% 9/16/14 16,050 16,221
2 Federal National Mortgage Assn. 4.625% 10/15/14 39,125 42,270
2 Federal National Mortgage Assn. 2.625% 11/20/14 14,750 14,603
2 Federal National Mortgage Assn. 5.000% 4/15/15 15,935 17,475
2 Federal National Mortgage Assn. 4.375% 10/15/15 15,675 16,626
2 Federal National Mortgage Assn. 8.200% 3/10/16 50 63
2 Federal National Mortgage Assn. 5.375% 7/15/16 15,675 17,383
2 Federal National Mortgage Assn. 5.250% 9/15/16 42,950 47,309
2 Federal National Mortgage Assn. 4.875% 12/15/16 5,100 5,508
2 Federal National Mortgage Assn. 5.000% 2/13/17 73,075 79,276
2 Federal National Mortgage Assn. 5.000% 5/11/17 79,401 86,021
2 Federal National Mortgage Assn. 5.375% 6/12/17 1,550 1,715
2 Federal National Mortgage Assn. 0.000% 10/9/19 2,375 1,310
2 Federal National Mortgage Assn. 6.250% 5/15/29 1,050 1,209
2 Federal National Mortgage Assn. 7.125% 1/15/30 24,055 30,422
2 Federal National Mortgage Assn. 7.250% 5/15/30 43,076 55,203
2 Federal National Mortgage Assn. 6.625% 11/15/30 6,795 8,190

5


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
2 Federal National Mortgage Assn. 5.625% 7/15/37 11,240 11,841
  Financing Corp. Fico 9.800% 4/6/18 1,325 1,810
  Financing Corp. Fico 10.350% 8/3/18 4,900 7,057
  Financing Corp. Fico 9.650% 11/2/18 10,010 14,008
  Financing Corp. Fico 9.700% 4/5/19 1,575 2,219
1 General Electric Capital Corp. 1.625% 1/7/11 23,975 24,194
1 General Electric Capital Corp. 1.800% 3/11/11 26,530 26,838
1 General Electric Capital Corp. 3.000% 12/9/11 41,375 42,668
1 General Electric Capital Corp. 2.250% 3/12/12 20,875 21,221
1 General Electric Capital Corp. 2.200% 6/8/12 41,000 41,556
1 General Electric Capital Corp. 2.125% 12/21/12 18,425 18,519
1 General Electric Capital Corp. 2.625% 12/28/12 12,375 12,613
1 GMAC Inc. 2.200% 12/19/12 2,950 2,971
1 Goldman Sachs Group Inc. 1.700% 3/15/11 10,550 10,662
1 Goldman Sachs Group Inc. 1.625% 7/15/11 10,325 10,418
1 Goldman Sachs Group Inc. 2.150% 3/15/12 6,500 6,597
1 Goldman Sachs Group Inc. 3.250% 6/15/12 21,925 22,806
1 HSBC USA Inc. 3.125% 12/16/11 14,150 14,650
  Israel Government AID Bond 5.500% 9/18/23 4,350 4,636
  Israel Government AID Bond 5.500% 12/4/23 3,050 3,239
  Israel Government AID Bond 5.500% 4/26/24 11,400 12,106
1 JPMorgan Chase & Co. 1.650% 2/23/11 20,000 20,214
1 JPMorgan Chase & Co. 3.125% 12/1/11 22,900 23,670
1 JPMorgan Chase & Co. 2.200% 6/15/12 19,800 20,099
1 JPMorgan Chase & Co. 2.125% 6/22/12 13,000 13,190
1 JPMorgan Chase & Co. 2.125% 12/26/12 30,125 30,306
1 Morgan Stanley 2.900% 12/1/10 10,700 10,922
1 Morgan Stanley 3.250% 12/1/11 28,350 29,408
1 Morgan Stanley 1.950% 6/20/12 24,700 24,921
1 PNC Funding Corp. 2.300% 6/22/12 5,050 5,134
  Private Export Funding Corp. 3.550% 4/15/13 2,275 2,367
  Private Export Funding Corp. 3.050% 10/15/14 4,000 3,976
  Private Export Funding Corp. 4.375% 3/15/19 8,325 8,224
  Private Export Funding Corp. 4.300% 12/15/21 2,525 2,366
1 Regions Bank 2.750% 12/10/10 8,275 8,445
1 Regions Bank 3.250% 12/9/11 350 363
  Resolution Funding Corp. 8.125% 10/15/19 450 576
  Resolution Funding Corp. 8.875% 7/15/20 180 242
  Resolution Funding Corp. 8.625% 1/15/30 110 154
  Small Business Administration Variable Rate Interest        
  Only Custodial Receipts (U.S. Government        
  Guaranteed) 2.719% 7/15/17 4,449 222
1 Sovereign Bank 2.750% 1/17/12 6,525 6,699
1 State Street Corp. 2.150% 4/30/12 11,150 11,285
2 Tennessee Valley Authority 5.625% 1/18/11 175 184
2 Tennessee Valley Authority 5.500% 7/18/17 15,475 17,011
2 Tennessee Valley Authority 4.500% 4/1/18 5,950 6,116
2 Tennessee Valley Authority 6.750% 11/1/25 1,700 1,950
2 Tennessee Valley Authority 7.125% 5/1/30 25,550 31,361
2 Tennessee Valley Authority 4.650% 6/15/35 3,450 3,053
2 Tennessee Valley Authority 5.500% 6/15/38 2,400 2,388
2 Tennessee Valley Authority 5.250% 9/15/39 5,050 4,971
2 Tennessee Valley Authority 4.875% 1/15/48 6,700 6,001
2 Tennessee Valley Authority 5.375% 4/1/56 5,575 5,499
1 US Central Federal Credit Union 1.900% 10/19/12 8,750 8,756
1 Wells Fargo & Co. 3.000% 12/9/11 26,425 27,246
1 Wells Fargo & Co. 2.125% 6/15/12 15,950 16,166
1 Western Corporate Federal Credit Union 1.750% 11/2/12 4,425 4,401
          5,057,215
Conventional Mortgage-Backed Securities (32.1%)        
2,3 Fannie Mae Pool 4.000% 9/1/10-1/1/40 575,171 572,632
2,3 Fannie Mae Pool 4.500% 2/1/10-1/1/40 1,386,438 1,417,491
2,3 Fannie Mae Pool 5.000% 4/1/10-1/1/40 2,551,942 2,644,087
2,3 Fannie Mae Pool 5.500% 11/1/16-1/1/40 3,060,906 3,219,731

6


Vanguard® Total Bond Market Index Fund
Schedule of Investments
December 31, 2009

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
2,3 Fannie Mae Pool 6.000% 9/1/10-1/1/40 2,086,761 2,221,806
2,3 Fannie Mae Pool 6.500% 9/1/10-1/1/39 619,524 666,252
2,3 Fannie Mae Pool 7.000% 9/1/10-11/1/38 220,517 241,859
2,3 Fannie Mae Pool 7.500% 5/1/10-12/1/32 11,306 12,482
2,3 Fannie Mae Pool 8.000% 4/1/10-9/1/31 3,463 3,832
2,3 Fannie Mae Pool 8.500% 7/1/10-5/1/32 1,392 1,558
2,3 Fannie Mae Pool 9.000% 2/1/17-8/1/30 334 375
2,3 Fannie Mae Pool 9.500% 8/1/16-11/1/25 415 465
2,3 Fannie Mae Pool 10.000% 10/1/14-11/1/19 74 82
2,3 Fannie Mae Pool 10.500% 3/1/11-8/1/20 2 3
2,3 Fannie Mae Pool 11.000% 9/1/19 4 5
2,3 Freddie Mac Gold Pool 4.000% 1/1/10-1/1/40 396,097 395,465
2,3 Freddie Mac Gold Pool 4.500% 3/1/10-1/1/40 1,024,557 1,044,346
2,3 Freddie Mac Gold Pool 5.000% 4/1/10-1/1/40 1,744,481 1,803,879
2,3 Freddie Mac Gold Pool 5.500% 3/1/11-1/1/40 1,919,597 2,018,830
2,3 Freddie Mac Gold Pool 6.000% 8/1/10-1/1/40 1,316,589 1,402,490
2,3 Freddie Mac Gold Pool 6.500% 7/1/10-11/1/39 427,486 460,380
2,3 Freddie Mac Gold Pool 7.000% 8/1/10-12/1/37 62,850 68,703
2,3 Freddie Mac Gold Pool 7.500% 2/1/10-2/1/32 7,536 8,245
2,3 Freddie Mac Gold Pool 8.000% 4/1/10-1/1/32 5,866 6,459
2,3 Freddie Mac Gold Pool 8.500% 4/1/10-7/1/31 928 1,028
2,3 Freddie Mac Gold Pool 9.000% 7/1/20-3/1/31 723 805
2,3 Freddie Mac Gold Pool 9.500% 4/1/16-6/1/25 162 178
2,3 Freddie Mac Gold Pool 10.000% 10/1/16-4/1/25 52 57
2,3 Freddie Mac Non Gold Pool 8.000% 4/1/17-6/1/17 16 17
2,3 Freddie Mac Non Gold Pool 8.500% 6/1/18 48 53
2,3 Freddie Mac Non Gold Pool 9.000% 7/1/16 1 1
2,3 Freddie Mac Non Gold Pool 9.500% 10/1/18-3/1/20 4 4
3 Ginnie Mae I Pool 4.000% 8/15/18-8/15/39 67,426 65,281
3 Ginnie Mae I Pool 4.500% 6/15/18-1/1/40 621,745 622,823
3 Ginnie Mae I Pool 5.000% 11/15/17-1/1/40 715,853 737,821
3 Ginnie Mae I Pool 5.500% 3/15/15-1/1/40 705,448 741,007
3 Ginnie Mae I Pool 6.000% 4/15/11-1/1/40 402,397 426,669
3 Ginnie Mae I Pool 6.500% 10/15/10-1/15/39 125,322 134,427
3 Ginnie Mae I Pool 7.000% 10/15/10-9/15/36 18,073 19,915
3 Ginnie Mae I Pool 7.250% 9/15/25 47 52
3 Ginnie Mae I Pool 7.500% 7/15/10-6/15/32 7,694 8,460
3 Ginnie Mae I Pool 7.750% 2/15/30 4 4
3 Ginnie Mae I Pool 8.000% 5/15/10-12/15/30 5,304 5,824
3 Ginnie Mae I Pool 8.500% 5/15/10-3/15/31 1,153 1,275
3 Ginnie Mae I Pool 9.000% 5/15/16-2/15/31 2,127 2,344
3 Ginnie Mae I Pool 9.500% 5/15/16-9/15/25 546 598
3 Ginnie Mae I Pool 10.000% 2/15/18-2/15/25 231 254
3 Ginnie Mae I Pool 10.500% 7/15/15-4/15/25 189 207
3 Ginnie Mae I Pool 11.000% 9/15/15-11/15/15 18 20
3 Ginnie Mae I Pool 11.500% 3/15/13-4/15/16 23 24
3 Ginnie Mae II Pool 4.500% 1/20/35-12/20/39 45,611 45,723
3 Ginnie Mae II Pool 5.000% 12/20/32-1/1/40 141,747 145,981
3 Ginnie Mae II Pool 5.500% 11/20/34-9/20/39 262,661 275,704
3 Ginnie Mae II Pool 6.000% 3/20/31-10/20/38 259,003 274,376
3 Ginnie Mae II Pool 6.500% 3/20/31-12/20/37 86,935 92,719
3 Ginnie Mae II Pool 7.000% 3/20/28-4/20/38 3,149 3,453
3 Ginnie Mae II Pool 7.500% 8/20/30 13 14
3 Ginnie Mae II Pool 8.500% 10/20/30 21 25
          21,818,600
Nonconventional Mortgage-Backed Securities (1.6%)        
2,3 Fannie Mae Pool 2.701% 12/1/34 10,651 10,815
2,3 Fannie Mae Pool 2.799% 10/1/34 7,995 8,185
2,3 Fannie Mae Pool 2.808% 11/1/34 6,911 7,027
2,3 Fannie Mae Pool 3.126% 9/1/34 2,327 2,382
2,3 Fannie Mae Pool 3.973% 7/1/35 6,145 6,331
2,3 Fannie Mae Pool 4.132% 5/1/34 4,431 4,588
2,3 Fannie Mae Pool 4.413% 8/1/35 15,042 15,545
2,3 Fannie Mae Pool 4.421% 7/1/35 6,138 6,341

7


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
2,3 Fannie Mae Pool 4.485% 4/1/37 8,285 8,626
2,3 Fannie Mae Pool 4.498% 1/1/35 4,826 4,931
2,3 Fannie Mae Pool 4.505% 10/1/36 4,245 4,393
2,3 Fannie Mae Pool 4.508% 4/1/36 8,445 8,723
2,3 Fannie Mae Pool 4.549% 11/1/34 14,993 15,606
2,3 Fannie Mae Pool 4.605% 12/1/35 13,024 13,577
2,3 Fannie Mae Pool 4.610% 8/1/35 10,960 11,398
2,3 Fannie Mae Pool 4.613% 11/1/33 5,251 5,438
2,3 Fannie Mae Pool 4.629% 9/1/34 4,440 4,615
2,3 Fannie Mae Pool 4.721% 8/1/35 6,423 6,722
2,3 Fannie Mae Pool 4.766% 5/1/35 3,674 3,810
2,3 Fannie Mae Pool 4.784% 6/1/34 5,448 5,669
2,3 Fannie Mae Pool 4.852% 9/1/35 8,503 8,904
2,3 Fannie Mae Pool 4.866% 7/1/35 9,698 10,017
2,3 Fannie Mae Pool 4.938% 7/1/38 4,555 4,764
2,3 Fannie Mae Pool 4.952% 11/1/34 2,777 2,896
2,3 Fannie Mae Pool 4.959% 7/1/35 3,855 4,014
2,3 Fannie Mae Pool 4.966% 10/1/35 16,287 17,003
2,3 Fannie Mae Pool 4.992% 11/1/33 2,565 2,687
2,3 Fannie Mae Pool 5.015% 12/1/33 3,270 3,430
2,3 Fannie Mae Pool 5.035% 2/1/36 7,519 7,840
2,3 Fannie Mae Pool 5.039% 11/1/35 17,483 18,187
2,3 Fannie Mae Pool 5.062% 8/1/37 26,475 27,702
2,3 Fannie Mae Pool 5.075% 12/1/35 17,327 18,183
2,3 Fannie Mae Pool 5.109% 1/1/36 7,017 7,332
2,3 Fannie Mae Pool 5.128% 12/1/35 21,044 22,018
2,3 Fannie Mae Pool 5.142% 3/1/38 11,564 12,070
2,3 Fannie Mae Pool 5.186% 3/1/37 10,064 10,543
2,3 Fannie Mae Pool 5.204% 8/1/38 798 828
2,3 Fannie Mae Pool 5.301% 7/1/38 1,233 1,283
2,3 Fannie Mae Pool 5.347% 12/1/35 5,511 5,755
2,3 Fannie Mae Pool 5.396% 2/1/36 4,691 4,895
2,3 Fannie Mae Pool 5.450% 2/1/36 11,820 12,351
2,3 Fannie Mae Pool 5.495% 5/1/37 4,303 4,423
2,3 Fannie Mae Pool 5.509% 4/1/37 1,114 1,173
2,3 Fannie Mae Pool 5.547% 1/1/37 9,798 10,322
2,3 Fannie Mae Pool 5.614% 5/1/36 3,954 4,163
2,3 Fannie Mae Pool 5.617% 7/1/36 7,412 7,741
2,3 Fannie Mae Pool 5.645% 3/1/37 8,368 8,816
2,3 Fannie Mae Pool 5.647% 6/1/37 6,882 7,207
2,3 Fannie Mae Pool 5.665% 6/1/36 10,390 10,967
2,3 Fannie Mae Pool 5.675% 3/1/37 6,918 7,292
2,3 Fannie Mae Pool 5.676% 2/1/37 8,888 9,326
2,3 Fannie Mae Pool 5.686% 2/1/37 16,757 17,685
2,3 Fannie Mae Pool 5.710% 9/1/36 6,152 6,454
2,3 Fannie Mae Pool 5.729% 3/1/37 21,411 22,617
2,3 Fannie Mae Pool 5.756% 1/1/36 5,210 5,524
2,3 Fannie Mae Pool 5.756% 4/1/37 6,667 6,996
2,3 Fannie Mae Pool 5.756% 12/1/37 22,025 23,192
2,3 Fannie Mae Pool 5.764% 4/1/36 9,940 10,496
2,3 Fannie Mae Pool 5.793% 4/1/37 13,957 14,717
2,3 Fannie Mae Pool 5.838% 9/1/36 9,284 9,753
2,3 Fannie Mae Pool 5.893% 11/1/36 10,175 10,763
2,3 Fannie Mae Pool 5.999% 10/1/37 17,071 18,033
2,3 Fannie Mae Pool 6.011% 4/1/36 9,202 9,729
2,3 Fannie Mae Pool 6.045% 6/1/36 1,795 1,901
2,3 Fannie Mae Pool 6.062% 8/1/37 11,768 12,305
2,3 Fannie Mae Pool 6.499% 9/1/37 15,090 16,009
2,3 Freddie Mac Non Gold Pool 2.691% 12/1/34 10,701 10,876
2,3 Freddie Mac Non Gold Pool 3.072% 9/1/34 5,866 6,041
2,3 Freddie Mac Non Gold Pool 3.160% 12/1/34 4,903 5,075
2,3 Freddie Mac Non Gold Pool 3.448% 12/1/36 6,116 6,316
2,3 Freddie Mac Non Gold Pool 4.168% 4/1/35 440 449
2,3 Freddie Mac Non Gold Pool 4.358% 1/1/35 589 604

8


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
2,3 Freddie Mac Non Gold Pool 4.590% 4/1/35 5,959 6,126
2,3 Freddie Mac Non Gold Pool 4.594% 11/1/34 8,286 8,612
2,3 Freddie Mac Non Gold Pool 4.660% 7/1/35 7,594 7,868
2,3 Freddie Mac Non Gold Pool 4.688% 12/1/35 8,256 8,613
2,3 Freddie Mac Non Gold Pool 4.693% 6/1/37 5,019 5,195
2,3 Freddie Mac Non Gold Pool 4.738% 3/1/36 11,450 11,811
2,3 Freddie Mac Non Gold Pool 4.766% 1/1/37 5,347 5,585
2,3 Freddie Mac Non Gold Pool 4.789% 7/1/35 12,338 12,774
2,3 Freddie Mac Non Gold Pool 5.024% 5/1/35 10,115 10,527
2,3 Freddie Mac Non Gold Pool 5.044% 7/1/38 9,910 10,374
2,3 Freddie Mac Non Gold Pool 5.260% 3/1/37 7,052 7,206
2,3 Freddie Mac Non Gold Pool 5.287% 3/1/36 11,276 11,796
2,3 Freddie Mac Non Gold Pool 5.291% 3/1/38 13,591 14,211
2,3 Freddie Mac Non Gold Pool 5.329% 12/1/35 7,082 7,426
2,3 Freddie Mac Non Gold Pool 5.428% 3/1/37 6,888 7,240
2,3 Freddie Mac Non Gold Pool 5.435% 4/1/37 13,837 14,545
2,3 Freddie Mac Non Gold Pool 5.502% 2/1/36 8,592 8,953
2,3 Freddie Mac Non Gold Pool 5.568% 5/1/36 14,627 15,285
2,3 Freddie Mac Non Gold Pool 5.582% 4/1/37 11,078 11,610
2,3 Freddie Mac Non Gold Pool 5.598% 7/1/36 8,281 8,681
2,3 Freddie Mac Non Gold Pool 5.656% 12/1/36 10,800 11,379
2,3 Freddie Mac Non Gold Pool 5.683% 3/1/37 19,982 21,087
2,3 Freddie Mac Non Gold Pool 5.711% 11/1/36 5,045 5,289
2,3 Freddie Mac Non Gold Pool 5.714% 9/1/36 24,340 25,685
2,3 Freddie Mac Non Gold Pool 5.749% 4/1/37 24,160 25,191
2,3 Freddie Mac Non Gold Pool 5.763% 4/1/37 157 166
2,3 Freddie Mac Non Gold Pool 5.770% 5/1/36 11,727 12,284
2,3 Freddie Mac Non Gold Pool 5.772% 3/1/37 4,777 5,044
2,3 Freddie Mac Non Gold Pool 5.796% 6/1/37 18,001 19,006
2,3 Freddie Mac Non Gold Pool 5.797% 3/1/37 1,146 1,203
2,3 Freddie Mac Non Gold Pool 5.824% 10/1/37 20,970 22,096
2,3 Freddie Mac Non Gold Pool 5.861% 6/1/37 12,928 13,672
2,3 Freddie Mac Non Gold Pool 5.878% 12/1/36 6,319 6,687
2,3 Freddie Mac Non Gold Pool 5.892% 5/1/37 18,618 19,641
2,3 Freddie Mac Non Gold Pool 5.934% 1/1/37 5,753 6,097
2,3 Freddie Mac Non Gold Pool 5.973% 10/1/37 3,417 3,623
2,3 Freddie Mac Non Gold Pool 6.055% 3/1/37 690 731
2,3 Freddie Mac Non Gold Pool 6.064% 8/1/37 15,886 16,791
2,3 Freddie Mac Non Gold Pool 6.097% 12/1/36 12,128 12,836
2,3 Freddie Mac Non Gold Pool 6.102% 3/1/37 544 569
2,3 Freddie Mac Non Gold Pool 6.105% 8/1/37 4,766 5,042
2,3 Freddie Mac Non Gold Pool 6.201% 6/1/37 10,562 11,075
2,3 Freddie Mac Non Gold Pool 6.480% 2/1/37 8,355 8,919
3 Ginnie Mae I Pool 7.900% 2/15/21 5 6
3 Ginnie Mae II Pool 4.375% 6/20/29 308 317
          1,093,263
 
Total U.S. Government and Agency Obligations (Cost $47,396,630)       48,307,240
 
Asset-Backed/Commercial Mortgage-Backed Securities (3.7%)        
4 BA Covered Bond Issuer 5.500% 6/14/12 17,750 18,586
3 BA Credit Card Trust 4.720% 5/15/13 8,275 8,502
  Banc of America Commercial Mortgage Inc. 5.787% 5/11/35 13,730 13,943
3 Banc of America Commercial Mortgage Inc. 6.503% 4/15/36 5,035 5,207
3 Banc of America Commercial Mortgage Inc. 3.878% 9/11/36 718 727
3 Banc of America Commercial Mortgage Inc. 4.050% 11/10/38 5,951 5,915
3 Banc of America Commercial Mortgage Inc. 4.153% 11/10/38 3,950 3,865
3,5 Banc of America Commercial Mortgage Inc. 5.398% 6/10/39 10,040 10,060
3 Banc of America Commercial Mortgage Inc. 4.877% 7/10/42 27,685 26,384
3,5 Banc of America Commercial Mortgage Inc. 5.142% 11/10/42 1,420 1,430
3 Banc of America Commercial Mortgage Inc. 4.727% 7/10/43 7,500 6,258
3 Banc of America Commercial Mortgage Inc. 5.118% 7/11/43 14,555 14,980
3 Banc of America Commercial Mortgage Inc. 5.372% 9/10/45 17,105 16,154
3,5 Banc of America Commercial Mortgage Inc. 5.421% 9/10/45 160 123

9


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
3 Banc of America Commercial Mortgage Inc. 5.115% 10/10/45 15,226 14,686
3,5 Banc of America Commercial Mortgage Inc. 5.176% 10/10/45 392 325
3 Banc of America Commercial Mortgage Inc. 5.634% 7/10/46 19,725 18,344
3 Banc of America Commercial Mortgage Inc. 5.675% 7/10/46 5,410 4,255
3,5 Banc of America Commercial Mortgage Inc. 5.179% 9/10/47 1,404 1,237
3 Banc of America Commercial Mortgage Inc. 5.414% 9/10/47 9,475 8,822
3 Banc of America Commercial Mortgage Inc. 5.448% 9/10/47 2,050 1,634
3,5 Banc of America Commercial Mortgage Inc. 6.166% 2/10/51 22,675 20,315
3 Bear Stearns Commercial Mortgage Securities 5.610% 11/15/33 10,750 11,117
3 Bear Stearns Commercial Mortgage Securities 5.462% 4/12/38 20,300 20,172
3,5 Bear Stearns Commercial Mortgage Securities 5.463% 4/12/38 4,275 3,259
3,5 Bear Stearns Commercial Mortgage Securities 5.463% 4/12/38 1,200 1,207
3 Bear Stearns Commercial Mortgage Securities 4.830% 8/15/38 15,675 16,099
3,5 Bear Stearns Commercial Mortgage Securities 5.758% 9/11/38 4,950 3,964
3 Bear Stearns Commercial Mortgage Securities 5.455% 3/11/39 37,700 36,643
3 Bear Stearns Commercial Mortgage Securities 4.680% 8/13/39 11,225 11,153
3 Bear Stearns Commercial Mortgage Securities 4.740% 3/13/40 7,000 7,196
3 Bear Stearns Commercial Mortgage Securities 5.666% 6/11/40 29,150 29,393
3 Bear Stearns Commercial Mortgage Securities 5.405% 12/11/40 1,443 1,394
3 Bear Stearns Commercial Mortgage Securities 5.582% 9/11/41 3,275 2,625
3 Bear Stearns Commercial Mortgage Securities 4.521% 11/11/41 3,900 3,909
3 Bear Stearns Commercial Mortgage Securities 5.742% 9/11/42 13,650 12,943
3 Bear Stearns Commercial Mortgage Securities 5.793% 9/11/42 5,150 4,896
3 Bear Stearns Commercial Mortgage Securities 5.127% 10/12/42 9,600 9,592
3,5 Bear Stearns Commercial Mortgage Securities 5.513% 1/12/45 6,060 4,903
3 Bear Stearns Commercial Mortgage Securities 5.613% 6/11/50 9,225 9,203
3 Bear Stearns Commercial Mortgage Securities 5.694% 6/11/50 41,925 35,587
3 Bear Stearns Commercial Mortgage Securities 5.700% 6/11/50 7,715 6,585
3,5 Bear Stearns Commercial Mortgage Securities 5.915% 6/11/50 7,318 5,347
3 Capital Auto Receivables Asset Trust 4.680% 10/15/12 16,750 17,308
3 Capital One Multi-Asset Execution Trust 5.300% 2/18/14 5,750 6,013
3 Capital One Multi-Asset Execution Trust 5.050% 12/17/18 33,950 35,231
3 Capital One Multi-Asset Execution Trust 5.750% 7/15/20 3,600 3,908
3 CDC Commercial Mortgage Trust 5.676% 11/15/30 19,525 20,124
3 Chase Commercial Mortgage Securities Corp. 7.757% 4/15/32 363 363
3 Chase Issuance Trust 4.650% 12/17/12 30,675 31,526
3 Chase Issuance Trust 4.650% 3/15/15 30,075 31,945
3 Chase Issuance Trust 5.400% 7/15/15 9,600 10,441
3 CIT Group Home Equity Loan Trust 6.200% 2/25/30 875 782
3 Citibank Credit Card Issuance Trust 5.450% 5/10/13 3,650 3,842
3 Citibank Credit Card Issuance Trust 4.900% 6/23/16 19,275 20,772
3 Citibank Credit Card Issuance Trust 4.150% 7/7/17 3,200 3,229
3 Citibank Credit Card Issuance Trust 5.650% 9/20/19 4,575 4,936
3 Citigroup Commercial Mortgage Trust 4.623% 10/15/41 3,250 3,254
3 Citigroup Commercial Mortgage Trust 4.830% 5/15/43 970 831
3,5 Citigroup Commercial Mortgage Trust 5.725% 3/15/49 13,375 12,719
3,5 Citigroup Commercial Mortgage Trust 5.700% 12/10/49 8,850 7,618
3,5 Citigroup Commercial Mortgage Trust 5.700% 12/10/49 4,875 3,278
3,5 Citigroup Commercial Mortgage Trust 6.092% 12/10/49 3,185 2,424
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.224% 7/15/44 29,726 29,621
3,5 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.224% 7/15/44 6,500 5,631
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.886% 11/15/44 17,250 15,224
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.648% 10/15/48 8,725 6,675
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.205% 12/11/49 23,735 23,793
3 Citigroup/Deutsche Bank Commercial Mortgage Trust 5.322% 12/11/49 15,700 13,449
3,4 Commercial Mortgage Lease-Backed Certificates 6.746% 6/20/31 9,490 9,958
3 Commercial Mortgage Pass Through Certificates 4.084% 6/10/38 6,600 6,523
3 Commercial Mortgage Pass Through Certificates 5.116% 6/10/44 23,900 22,669
3 Commercial Mortgage Pass Through Certificates 5.767% 6/10/46 15,275 15,039
3 Commercial Mortgage Pass Through Certificates 5.248% 12/10/46 3,173 3,192
3,5 Commercial Mortgage Pass Through Certificates 5.816% 12/10/49 16,248 14,755
3,5 Countrywide Home Loan Mortgage Pass Through Trust 4.065% 5/25/33 3,833 3,298
3 Credit Suisse First Boston Mortgage Securities Corp. 6.380% 12/18/35 3,233 3,306
3,5 Credit Suisse First Boston Mortgage Securities Corp. 4.750% 1/15/37 15,595 15,131

10


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
3 Credit Suisse First Boston Mortgage Securities Corp. 4.877% 4/15/37 875 642
3,5 Credit Suisse First Boston Mortgage Securities Corp. 5.014% 2/15/38 13,900 13,725
3 Credit Suisse First Boston Mortgage Securities Corp. 3.936% 5/15/38 10,580 10,429
3,5 Credit Suisse First Boston Mortgage Securities Corp. 5.100% 8/15/38 1,900 1,595
3 Credit Suisse First Boston Mortgage Securities Corp. 5.100% 8/15/38 33,950 32,690
3 Credit Suisse Mortgage Capital Certificates 5.825% 6/15/38 1,083 851
3 Credit Suisse Mortgage Capital Certificates 5.825% 6/15/38 24,683 21,295
3,5 Credit Suisse Mortgage Capital Certificates 5.548% 2/15/39 7,300 5,966
3 Credit Suisse Mortgage Capital Certificates 5.548% 2/15/39 40,275 39,194
3,5 Credit Suisse Mortgage Capital Certificates 5.723% 6/15/39 30,735 24,640
3 Credit Suisse Mortgage Capital Certificates 5.509% 9/15/39 1,625 897
3 Credit Suisse Mortgage Capital Certificates 5.311% 12/15/39 31,560 26,018
3 Credit Suisse Mortgage Capital Certificates 5.343% 12/15/39 2,016 1,406
3 Credit Suisse Mortgage Capital Certificates 5.383% 2/15/40 5,996 4,952
3,5 CW Capital Cobalt Ltd. 5.820% 5/15/46 22,300 17,572
3,5 CW Capital Cobalt Ltd. 5.484% 4/15/47 1,675 1,333
3 Daimler Chrysler Auto Trust 3.700% 6/8/12 5,993 6,072
3 Discover Card Master Trust 5.100% 10/15/13 975 1,017
3 Discover Card Master Trust 5.650% 12/15/15 21,775 23,592
3 Discover Card Master Trust 5.650% 3/16/20 6,950 7,407
2 Federal Housing Administration 7.430% 10/1/20 3 4
3 Fifth Third Auto Trust 4.070% 1/17/12 18,725 18,952
3,5 First Union Commercial Mortgage Trust 6.638% 10/15/35 8,779 8,848
3 First Union National Bank Commercial Mortgage 7.202% 10/15/32 1,061 1,082
3 First Union National Bank Commercial Mortgage 6.223% 12/12/33 9,800 10,244
3 Ford Credit Auto Owner Trust 4.370% 10/15/12 14,700 15,236
3 Ford Credit Auto Owner Trust 2.420% 11/15/14 4,375 4,297
3 GE Capital Commercial Mortgage Corp. 6.531% 5/15/33 13,300 13,785
3 GE Capital Commercial Mortgage Corp. 6.290% 8/11/33 2,375 2,467
3 GE Capital Commercial Mortgage Corp. 5.994% 12/10/35 333 338
3 GE Capital Commercial Mortgage Corp. 6.269% 12/10/35 11,150 11,846
3 GE Capital Commercial Mortgage Corp. 5.145% 7/10/37 1,015 1,034
3 GE Capital Commercial Mortgage Corp. 4.996% 12/10/37 17,395 17,792
3,5 GE Capital Commercial Mortgage Corp. 5.336% 3/10/44 31,415 29,747
3 GE Capital Commercial Mortgage Corp. 4.974% 7/10/45 1,425 1,370
3,5 GE Capital Commercial Mortgage Corp. 5.334% 11/10/45 6,928 5,717
3 GMAC Commercial Mortgage Securities Inc. 7.455% 8/16/33 6,657 6,761
3 GMAC Commercial Mortgage Securities Inc. 6.465% 4/15/34 11,727 12,081
3 GMAC Commercial Mortgage Securities Inc. 6.700% 4/15/34 12,782 13,281
3 GMAC Commercial Mortgage Securities Inc. 4.908% 3/10/38 1,575 1,537
3 GMAC Commercial Mortgage Securities Inc. 4.646% 4/10/40 3,850 3,907
3,5 GMAC Commercial Mortgage Securities Inc. 5.485% 5/10/40 1,695 1,751
3 GMAC Commercial Mortgage Securities Inc. 4.864% 12/10/41 1,725 1,692
3 GMAC Commercial Mortgage Securities Inc. 4.754% 5/10/43 1,550 1,345
3 Greenwich Capital Commercial Funding Corp. 4.948% 1/11/35 6,450 6,608
3 Greenwich Capital Commercial Funding Corp. 4.533% 1/5/36 3,375 3,410
3 Greenwich Capital Commercial Funding Corp. 4.915% 1/5/36 11,875 11,945
3 Greenwich Capital Commercial Funding Corp. 5.317% 6/10/36 13,595 13,791
3 Greenwich Capital Commercial Funding Corp. 5.117% 4/10/37 5,896 5,935
3 Greenwich Capital Commercial Funding Corp. 5.224% 4/10/37 20,597 19,277
3,5 Greenwich Capital Commercial Funding Corp. 5.277% 4/10/37 5,025 4,230
3,5 Greenwich Capital Commercial Funding Corp. 5.918% 7/10/38 2,575 2,058
3 Greenwich Capital Commercial Funding Corp. 5.475% 3/10/39 1,525 1,089
3 Greenwich Capital Commercial Funding Corp. 4.799% 8/10/42 18,030 16,705
3 GS Mortgage Securities Corp. II 5.506% 4/10/38 13,575 13,725
3,5 GS Mortgage Securities Corp. II 5.553% 4/10/38 9,275 8,452
3,5 GS Mortgage Securities Corp. II 5.622% 4/10/38 4,475 3,570
3 GS Mortgage Securities Corp. II 5.396% 8/10/38 25,010 23,670
3 GS Mortgage Securities Corp. II 4.608% 1/10/40 15,675 15,648
3 Honda Auto Receivables Owner Trust 4.880% 9/18/14 7,375 7,765
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 6.260% 3/15/33 14,150 14,438
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.050% 12/12/34 9,275 9,520

11


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.654% 1/12/37 1,440 1,415
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.985% 1/12/37 11,725 12,054
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.255% 7/12/37 1,365 1,406
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.376% 7/12/37 10,030 10,305
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.824% 9/12/37 4,975 5,003
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.948% 9/12/37 775 614
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.404% 1/12/39 10,345 9,839
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.377% 6/12/41 16,275 16,385
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.697% 7/15/42 1,500 1,496
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 4.780% 7/15/42 2,825 2,208
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.321% 1/12/43 160 123
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.160% 4/15/43 11,498 11,556
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.475% 4/15/43 3,302 3,168
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.444% 12/12/44 3,100 2,390
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.221% 12/15/44 3,235 2,821
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.874% 4/15/45 25,225 24,031
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.875% 4/15/45 1,665 1,280
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.593% 5/12/45 6,340 5,176
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.440% 5/15/45 4,160 3,428
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.447% 5/15/45 5,500 5,499
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.803% 6/15/49 9,400 9,434
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.818% 6/15/49 5,550 4,935
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.794% 2/12/51 26,000 22,073
3 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.855% 2/12/51 8,325 8,296
3,5 JP Morgan Chase Commercial Mortgage Securities        
  Corp. 5.882% 2/15/51 20,820 17,836
3,5 LB Commercial Conduit Mortgage Trust 5.950% 7/15/44 9,605 6,537
3 LB-UBS Commercial Mortgage Trust 5.386% 6/15/26 1,687 1,733
3 LB-UBS Commercial Mortgage Trust 7.370% 8/15/26 10,664 10,818
3 LB-UBS Commercial Mortgage Trust 4.786% 10/15/29 12,680 12,233
3 LB-UBS Commercial Mortgage Trust 4.742% 2/15/30 7,345 7,129
3 LB-UBS Commercial Mortgage Trust 4.553% 7/15/30 1,053 1,059
3 LB-UBS Commercial Mortgage Trust 5.197% 11/15/30 16,825 16,358
3 LB-UBS Commercial Mortgage Trust 6.133% 12/15/30 6,390 6,666
3 LB-UBS Commercial Mortgage Trust 5.217% 2/15/31 2,400 2,019
3 LB-UBS Commercial Mortgage Trust 4.853% 9/15/31 16,050 16,344
3 LB-UBS Commercial Mortgage Trust 4.960% 12/15/31 3,550 3,614
3 LB-UBS Commercial Mortgage Trust 4.166% 5/15/32 5,125 5,070
3 LB-UBS Commercial Mortgage Trust 4.931% 9/15/35 21,100 21,354
3,5 LB-UBS Commercial Mortgage Trust 5.661% 3/15/39 22,996 21,774

12


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
3 LB-UBS Commercial Mortgage Trust 5.413% 9/15/39 1,075 816
3 LB-UBS Commercial Mortgage Trust 5.424% 2/15/40 3,275 2,724
3 LB-UBS Commercial Mortgage Trust 5.430% 2/15/40 14,200 12,115
3 LB-UBS Commercial Mortgage Trust 5.455% 2/15/40 4,600 3,037
3,5 LB-UBS Commercial Mortgage Trust 5.493% 2/15/40 3,432 2,335
3,5 LB-UBS Commercial Mortgage Trust 5.263% 11/15/40 635 556
3,5 LB-UBS Commercial Mortgage Trust 6.149% 4/15/41 4,715 3,455
3,5 LB-UBS Commercial Mortgage Trust 6.149% 4/15/41 23,600 22,668
3 LB-UBS Commercial Mortgage Trust 5.866% 9/15/45 26,700 22,732
3 MBNA Master Credit Card Trust 7.800% 10/15/12 800 819
3 Merrill Lynch Mortgage Trust 5.236% 11/12/35 6,225 6,237
3 Merrill Lynch Mortgage Trust 5.107% 7/12/38 875 727
3 Merrill Lynch Mortgage Trust 5.655% 5/12/39 9,550 8,991
3,5 Merrill Lynch Mortgage Trust 5.656% 5/12/39 1,725 1,330
3 Merrill Lynch Mortgage Trust 5.782% 8/12/43 4,500 3,655
3,5 Merrill Lynch Mortgage Trust 5.291% 1/12/44 20,050 19,327
3,5 Merrill Lynch Mortgage Trust 5.828% 6/12/50 3,075 2,019
3,5 Merrill Lynch Mortgage Trust 5.828% 6/12/50 28,018 22,895
3 Merrill Lynch Mortgage Trust 5.425% 2/12/51 3,250 3,170
3 Merrill Lynch Mortgage Trust 5.690% 2/12/51 12,270 10,599
3,5 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.517% 2/12/39 625 330
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.909% 6/12/46 32,125 31,585
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.456% 7/12/46 3,500 2,382
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.378% 8/12/48 18,720 14,229
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.590% 9/12/49 9,600 9,505
3 Merrill Lynch/Countrywide Commercial Mortgage Trust 5.700% 9/12/49 23,050 18,786
3 Morgan Stanley Capital I 4.970% 4/14/40 3,350 3,338
3,5 Morgan Stanley Capital I 5.110% 6/15/40 14,875 14,738
3 Morgan Stanley Capital I 5.030% 6/13/41 1,397 1,399
3 Morgan Stanley Capital I 5.270% 6/13/41 3,775 3,718
3,5 Morgan Stanley Capital I 5.810% 8/12/41 2,050 1,642
3 Morgan Stanley Capital I 5.328% 11/12/41 3,300 3,147
3 Morgan Stanley Capital I 5.360% 11/12/41 7,000 5,197
3 Morgan Stanley Capital I 4.970% 12/15/41 8,475 8,456
3 Morgan Stanley Capital I 5.168% 1/14/42 3,600 3,613
3,5 Morgan Stanley Capital I 5.649% 6/11/42 500 357
3,5 Morgan Stanley Capital I 5.649% 6/11/42 14,000 13,555
3 Morgan Stanley Capital I 4.989% 8/13/42 21,875 21,415
3 Morgan Stanley Capital I 5.230% 9/15/42 22,425 21,906
3 Morgan Stanley Capital I 5.769% 10/15/42 7,675 7,445
3,5 Morgan Stanley Capital I 5.774% 10/15/42 340 275
3,5 Morgan Stanley Capital I 5.207% 11/14/42 15,525 15,612
3,5 Morgan Stanley Capital I 5.207% 11/14/42 450 391
3 Morgan Stanley Capital I 6.280% 1/11/43 15,725 14,609
3 Morgan Stanley Capital I 5.332% 12/15/43 6,225 5,704
3,5 Morgan Stanley Capital I 5.385% 3/12/44 28,666 27,379
3,5 Morgan Stanley Capital I 5.773% 7/12/44 4,125 3,282
3 Morgan Stanley Capital I 4.660% 9/13/45 2,300 2,213
3,5 Morgan Stanley Capital I 5.654% 4/15/49 1,850 1,787
3,5 Morgan Stanley Capital I 5.691% 4/15/49 4,450 2,635
3,5 Morgan Stanley Capital I 5.544% 11/12/49 6,875 5,023
3 Morgan Stanley Capital I 5.809% 12/12/49 10,545 8,921
3 Morgan Stanley Capital I 5.090% 10/12/52 7,300 7,377
3,5 Morgan Stanley Capital I 5.204% 10/12/52 5,085 3,997
3 Morgan Stanley Capital I 4.770% 7/15/56 3,195 2,380
3 Morgan Stanley Dean Witter Capital I 6.660% 2/15/33 3,473 3,566
3 Morgan Stanley Dean Witter Capital I 6.390% 7/15/33 3,582 3,718
3 Morgan Stanley Dean Witter Capital I 4.920% 3/12/35 15,675 15,802
3 Morgan Stanley Dean Witter Capital I 6.390% 10/15/35 4,025 4,248
3 Morgan Stanley Dean Witter Capital I 4.740% 11/13/36 21,000 20,576
3 Nissan Auto Receivables Owner Trust 4.460% 4/16/12 935 957
3 Nissan Auto Receivables Owner Trust 5.050% 11/17/14 6,175 6,549
3 Oncor Electric Delivery Transition Bond Co. LLC 4.030% 2/15/12 247 248
3 PG&E Energy Recovery Funding LLC 4.140% 9/25/12 3,855 3,914

13


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
3 PG&E Energy Recovery Funding LLC 5.030% 3/25/14 8,091 8,442
3 PNC Mortgage Acceptance Corp. 7.300% 10/12/33 524 535
3 PSE&G Transition Funding LLC 6.890% 12/15/17 20,100 23,352
3 Residential Asset Securities Corp. 6.489% 10/25/30 227 188
3,5 Salomon Brothers Mortgage Securities VII Inc. 3.688% 9/25/33 8,692 8,301
3 Salomon Brothers Mortgage Securities VII Inc. 4.467% 3/18/36 553 551
3 USAA Auto Owner Trust 4.710% 2/18/14 12,600 13,290
3 Wachovia Bank Commercial Mortgage Trust 4.440% 11/15/34 706 715
3 Wachovia Bank Commercial Mortgage Trust 4.980% 11/15/34 700 717
3 Wachovia Bank Commercial Mortgage Trust 4.867% 2/15/35 700 709
3,5 Wachovia Bank Commercial Mortgage Trust 5.125% 8/15/35 2,850 2,910
3 Wachovia Bank Commercial Mortgage Trust 4.719% 1/15/41 3,250 3,263
3 Wachovia Bank Commercial Mortgage Trust 4.748% 2/15/41 20,255 19,927
3 Wachovia Bank Commercial Mortgage Trust 5.001% 7/15/41 5,463 5,502
3,5 Wachovia Bank Commercial Mortgage Trust 5.237% 7/15/41 21,870 21,908
3 Wachovia Bank Commercial Mortgage Trust 4.803% 10/15/41 18,625 17,872
3,5 Wachovia Bank Commercial Mortgage Trust 5.083% 3/15/42 13,875 13,734
3 Wachovia Bank Commercial Mortgage Trust 5.118% 7/15/42 5,850 5,647
3,5 Wachovia Bank Commercial Mortgage Trust 5.740% 5/15/43 6,625 5,154
3,5 Wachovia Bank Commercial Mortgage Trust 5.740% 5/15/43 13,125 12,712
3 Wachovia Bank Commercial Mortgage Trust 4.699% 5/15/44 13,404 12,789
3,5 Wachovia Bank Commercial Mortgage Trust 5.209% 10/15/44 16,635 16,430
3,5 Wachovia Bank Commercial Mortgage Trust 5.265% 12/15/44 29,325 29,309
3,5 Wachovia Bank Commercial Mortgage Trust 5.315% 12/15/44 155 133
3,5 Wachovia Bank Commercial Mortgage Trust 5.956% 6/15/45 1,215 941
3,5 Wachovia Bank Commercial Mortgage Trust 5.765% 7/15/45 8,000 7,250
3,5 Wachovia Bank Commercial Mortgage Trust 5.818% 5/15/46 4,975 3,296
3 Wachovia Bank Commercial Mortgage Trust 5.313% 11/15/48 15,825 14,998
3 Wachovia Bank Commercial Mortgage Trust 5.339% 11/15/48 10,395 7,788
3 World Omni Auto Receivables Trust 3.940% 10/15/12 14,975 15,268
 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,546,454)     2,543,213
 
Corporate Bonds (19.9%)        
Finance (7.2%)        
  Banking (4.9%)        
  Abbey National PLC 7.950% 10/26/29 13,865 15,446
  ABN Amro Bank NV 4.650% 6/4/18 225 180
  American Express Bank FSB 5.550% 10/17/12 3,275 3,484
  American Express Bank FSB 5.500% 4/16/13 7,800 8,285
  American Express Bank FSB 6.000% 9/13/17 4,050 4,179
  American Express Centurion Bank 5.550% 10/17/12 2,475 2,640
  American Express Centurion Bank 5.950% 6/12/17 1,750 1,815
  American Express Centurion Bank 6.000% 9/13/17 21,625 22,449
  American Express Co. 4.875% 7/15/13 5,821 6,056
  American Express Co. 7.250% 5/20/14 725 817
  American Express Co. 5.500% 9/12/16 2,850 2,934
  American Express Co. 6.150% 8/28/17 5,075 5,295
  American Express Co. 7.000% 3/19/18 29,200 32,206
  American Express Co. 8.150% 3/19/38 1,475 1,827
3 American Express Co. 6.800% 9/1/66 5,930 5,132
  American Express Credit Corp. 5.000% 12/2/10 4,700 4,851
  American Express Credit Corp. 5.875% 5/2/13 16,700 17,877
  American Express Credit Corp. 7.300% 8/20/13 16,825 18,918
  American Express Credit Corp. 5.125% 8/25/14 4,100 4,323
4 American Express Travel Related Services Co. Inc. 5.250% 11/21/11 6,075 6,338
  Amsouth Bank 5.200% 4/1/15 4,825 4,154
  Associates Corp. of North America 6.950% 11/1/18 250 252
4 Banco Bilbao Vizcaya Argentaria SA 5.750% 7/20/17 2,200 2,360
  Banco Santander Chile 2.875% 11/13/12 4,450 4,477
  Bank of America Corp. 4.250% 10/1/10 7,525 7,718
  Bank of America Corp. 4.375% 12/1/10 1,975 2,036
  Bank of America Corp. 5.375% 8/15/11 1,275 1,345
  Bank of America Corp. 5.375% 9/11/12 4,650 4,933

14


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Bank of America Corp. 4.875% 9/15/12 12,375 12,952
Bank of America Corp. 4.875% 1/15/13 7,631 7,957
Bank of America Corp. 4.900% 5/1/13 12,790 13,254
Bank of America Corp. 7.375% 5/15/14 5,125 5,812
Bank of America Corp. 5.375% 6/15/14 2,900 3,021
Bank of America Corp. 5.125% 11/15/14 22,425 23,203
Bank of America Corp. 5.250% 12/1/15 3,850 3,880
Bank of America Corp. 6.500% 8/1/16 20,850 22,477
Bank of America Corp. 5.750% 8/15/16 10,875 10,971
Bank of America Corp. 5.625% 10/14/16 5,925 6,020
Bank of America Corp. 5.420% 3/15/17 15,325 15,192
Bank of America Corp. 6.000% 9/1/17 1,010 1,055
Bank of America Corp. 5.750% 12/1/17 5,950 6,126
Bank of America Corp. 5.650% 5/1/18 48,150 48,986
Bank of America Corp. 7.625% 6/1/19 8,175 9,458
Bank of America Corp. 6.800% 3/15/28 625 611
Bank of America Corp. 6.500% 9/15/37 2,325 2,259
Bank of America NA 5.300% 3/15/17 23,575 23,041
Bank of America NA 6.100% 6/15/17 5,175 5,262
Bank of America NA 6.000% 10/15/36 13,100 12,667
Bank of New York Mellon Corp. 4.950% 1/14/11 2,025 2,100
Bank of New York Mellon Corp. 6.375% 4/1/12 300 326
Bank of New York Mellon Corp. 4.950% 11/1/12 22,525 24,262
Bank of New York Mellon Corp. 4.500% 4/1/13 2,125 2,240
Bank of New York Mellon Corp. 5.125% 8/27/13 3,525 3,802
Bank of New York Mellon Corp. 4.300% 5/15/14 5,695 5,990
Bank of New York Mellon Corp. 4.950% 3/15/15 5,825 6,139
Bank of New York Mellon Corp. 5.450% 5/15/19 5,890 6,177
4 Bank of Scotland PLC 5.250% 2/21/17 11,325 11,267
Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400% 6/15/11 9,050 9,785
Bank One Corp. 5.900% 11/15/11 2,075 2,218
Bank One Corp. 5.250% 1/30/13 3,675 3,890
Bank One Corp. 4.900% 4/30/15 1,950 2,011
Bank One Corp. 7.625% 10/15/26 1,150 1,307
Banque Paribas 6.950% 7/22/13 900 989
Barclays Bank PLC 5.450% 9/12/12 6,575 7,109
Barclays Bank PLC 2.500% 1/23/13 6,900 6,894
Barclays Bank PLC 5.200% 7/10/14 8,700 9,262
Barclays Bank PLC 5.000% 9/22/16 8,875 9,087
Barclays Bank PLC 6.750% 5/22/19 8,275 9,291
BB&T Capital Trust II 6.750% 6/7/36 8,275 7,712
3 BB&T Capital Trust IV 6.820% 6/12/57 3,775 3,403
BB&T Corp. 6.500% 8/1/11 2,405 2,562
BB&T Corp. 3.850% 7/27/12 3,575 3,705
BB&T Corp. 4.750% 10/1/12 5,450 5,686
BB&T Corp. 5.700% 4/30/14 4,050 4,373
BB&T Corp. 5.200% 12/23/15 4,387 4,571
BB&T Corp. 4.900% 6/30/17 525 511
BB&T Corp. 6.850% 4/30/19 5,779 6,550
BB&T Corp. 5.250% 11/1/19 5,450 5,353
Bear Stearns Cos. LLC 4.500% 10/28/10 2,495 2,575
Bear Stearns Cos. LLC 5.350% 2/1/12 22,525 23,953
Bear Stearns Cos. LLC 6.950% 8/10/12 7,832 8,749
Bear Stearns Cos. LLC 5.700% 11/15/14 14,240 15,572
Bear Stearns Cos. LLC 5.300% 10/30/15 6,040 6,426
Bear Stearns Cos. LLC 5.550% 1/22/17 4,000 4,085
Bear Stearns Cos. LLC 6.400% 10/2/17 7,425 8,166
Bear Stearns Cos. LLC 7.250% 2/1/18 10,528 12,125
Bear Stearns Cos. LLC 4.650% 7/2/18 1,650 1,590
BNP Paribas US Medium-Term Note Program LLC 2.125% 12/21/12 725 726
BNY Mellon NA 4.750% 12/15/14 2,800 2,948
Branch Banking & Trust Co. 5.625% 9/15/16 5,475 5,411
Capital One Bank USA NA 6.500% 6/13/13 4,350 4,663
Capital One Bank USA NA 8.800% 7/15/19 11,150 13,250

15


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Capital One Capital III 7.686% 8/15/36 5,975 5,258
  Capital One Capital IV 6.745% 2/17/37 2,475 2,054
  Capital One Capital V 10.250% 8/15/39 1,625 1,894
  Capital One Capital VI 8.875% 5/15/40 1,625 1,731
  Capital One Financial Corp. 5.700% 9/15/11 3,175 3,348
  Capital One Financial Corp. 4.800% 2/21/12 1,700 1,766
  Capital One Financial Corp. 7.375% 5/23/14 3,425 3,880
  Capital One Financial Corp. 5.500% 6/1/15 6,375 6,648
  Capital One Financial Corp. 6.150% 9/1/16 5,246 5,292
  Capital One Financial Corp. 5.250% 2/21/17 1,350 1,327
  Capital One Financial Corp. 6.750% 9/15/17 5,650 6,063
  Charter One Bank NA 5.500% 4/26/11 10,300 10,547
3,4 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 14,125 13,792
  Citigroup Inc. 6.500% 1/18/11 9,395 9,820
  Citigroup Inc. 5.125% 2/14/11 7,700 7,940
  Citigroup Inc. 5.100% 9/29/11 23,425 24,276
  Citigroup Inc. 6.000% 2/21/12 5,074 5,358
  Citigroup Inc. 5.250% 2/27/12 9,725 10,114
  Citigroup Inc. 5.500% 8/27/12 2,300 2,390
  Citigroup Inc. 5.625% 8/27/12 6,340 6,527
  Citigroup Inc. 5.300% 10/17/12 21,400 22,378
  Citigroup Inc. 5.500% 4/11/13 28,815 29,921
  Citigroup Inc. 6.500% 8/19/13 15,025 16,026
  Citigroup Inc. 5.125% 5/5/14 7,200 7,239
  Citigroup Inc. 6.375% 8/12/14 6,275 6,564
  Citigroup Inc. 5.000% 9/15/14 33,787 32,642
  Citigroup Inc. 5.500% 10/15/14 14,200 14,404
  Citigroup Inc. 6.010% 1/15/15 7,500 7,704
  Citigroup Inc. 4.700% 5/29/15 3,225 3,115
  Citigroup Inc. 5.300% 1/7/16 19,225 18,804
  Citigroup Inc. 5.500% 2/15/17 3,150 2,992
  Citigroup Inc. 6.000% 8/15/17 13,875 13,877
  Citigroup Inc. 6.125% 11/21/17 9,800 9,951
  Citigroup Inc. 6.125% 5/15/18 7,750 7,768
  Citigroup Inc. 8.500% 5/22/19 6,850 7,937
  Citigroup Inc. 6.625% 6/15/32 1,200 1,113
  Citigroup Inc. 5.875% 2/22/33 11,125 9,338
  Citigroup Inc. 6.000% 10/31/33 7,775 6,575
  Citigroup Inc. 5.850% 12/11/34 1,575 1,357
  Citigroup Inc. 6.125% 8/25/36 8,375 7,143
  Citigroup Inc. 5.875% 5/29/37 7,025 6,257
  Citigroup Inc. 6.875% 3/5/38 14,725 14,706
  Citigroup Inc. 8.125% 7/15/39 13,875 15,840
  Comerica Bank 5.750% 11/21/16 9,950 9,601
  Comerica Bank 5.200% 8/22/17 2,900 2,704
3 Comerica Capital Trust II 6.576% 2/20/37 3,400 2,720
  Comerica Inc. 4.800% 5/1/15 3,400 3,144
  Compass Bank 6.400% 10/1/17 2,075 2,076
  Compass Bank 5.900% 4/1/26 1,875 1,552
4 Corestates Capital I 8.000% 12/15/26 3,975 3,935
  Countrywide Financial Corp. 5.800% 6/7/12 6,375 6,771
  Countrywide Financial Corp. 6.250% 5/15/16 1,675 1,708
  Countrywide Home Loans Inc. 4.000% 3/22/11 2,706 2,777
  Credit Suisse 5.000% 5/15/13 12,775 13,616
  Credit Suisse 5.500% 5/1/14 9,925 10,774
  Credit Suisse 6.000% 2/15/18 9,825 10,315
  Credit Suisse 5.300% 8/13/19 15,075 15,606
3 Credit Suisse 5.860% 5/15/49 8,130 7,215
  Credit Suisse USA Inc. 4.875% 8/15/10 19,225 19,736
  Credit Suisse USA Inc. 5.250% 3/2/11 7,275 7,625
  Credit Suisse USA Inc. 5.500% 8/16/11 4,300 4,569
  Credit Suisse USA Inc. 6.125% 11/15/11 12,525 13,571
  Credit Suisse USA Inc. 6.500% 1/15/12 1,950 2,124
  Credit Suisse USA Inc. 5.500% 8/15/13 9,485 10,241

16


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Credit Suisse USA Inc. 5.125% 1/15/14 2,075 2,218
Credit Suisse USA Inc. 4.875% 1/15/15 15,490 16,249
Credit Suisse USA Inc. 5.125% 8/15/15 8,625 9,182
Credit Suisse USA Inc. 7.125% 7/15/32 3,471 4,082
Deutsche Bank AG 5.375% 10/12/12 12,575 13,582
Deutsche Bank AG 4.875% 5/20/13 22,425 23,849
Deutsche Bank AG 6.000% 9/1/17 19,006 20,722
Deutsche Bank Financial LLC 5.375% 3/2/15 4,250 4,420
Discover Bank 8.700% 11/18/19 5,000 5,363
FIA Card Services NA 6.625% 6/15/12 2,715 2,884
Fifth Third Bancorp 6.250% 5/1/13 4,650 4,829
Fifth Third Bancorp 5.450% 1/15/17 4,900 4,362
Fifth Third Bancorp 4.500% 6/1/18 1,225 996
Fifth Third Bancorp 8.250% 3/1/38 4,300 4,039
Fifth Third Bank 4.750% 2/1/15 8,525 8,131
3 Fifth Third Capital Trust IV 6.500% 4/15/67 3,400 2,482
First Tennessee Bank NA 5.050% 1/15/15 1,400 1,237
First Union Institutional Capital I 8.040% 12/1/26 1,400 1,397
Golden West Financial Corp. 4.750% 10/1/12 2,590 2,713
Goldman Sachs Capital I 6.345% 2/15/34 15,565 14,512
3 Goldman Sachs Capital II 5.793% 12/29/49 8,850 6,812
Goldman Sachs Group Inc. 4.500% 6/15/10 4,670 4,754
Goldman Sachs Group Inc. 6.875% 1/15/11 2,850 3,026
Goldman Sachs Group Inc. 6.600% 1/15/12 24,710 26,775
Goldman Sachs Group Inc. 5.300% 2/14/12 725 769
Goldman Sachs Group Inc. 3.625% 8/1/12 3,850 3,959
Goldman Sachs Group Inc. 5.700% 9/1/12 650 701
Goldman Sachs Group Inc. 5.450% 11/1/12 9,625 10,359
Goldman Sachs Group Inc. 5.250% 4/1/13 8,790 9,282
Goldman Sachs Group Inc. 4.750% 7/15/13 10,200 10,670
Goldman Sachs Group Inc. 5.250% 10/15/13 15,445 16,401
Goldman Sachs Group Inc. 5.150% 1/15/14 2,115 2,241
Goldman Sachs Group Inc. 6.000% 5/1/14 34,950 38,299
Goldman Sachs Group Inc. 5.000% 10/1/14 24,427 25,703
Goldman Sachs Group Inc. 5.125% 1/15/15 14,235 14,961
Goldman Sachs Group Inc. 5.350% 1/15/16 17,150 17,832
Goldman Sachs Group Inc. 5.750% 10/1/16 9,075 9,589
Goldman Sachs Group Inc. 5.625% 1/15/17 11,475 11,802
Goldman Sachs Group Inc. 6.250% 9/1/17 24,550 26,339
Goldman Sachs Group Inc. 5.950% 1/18/18 22,725 23,990
Goldman Sachs Group Inc. 6.150% 4/1/18 12,375 13,250
Goldman Sachs Group Inc. 7.500% 2/15/19 7,165 8,358
Goldman Sachs Group Inc. 5.950% 1/15/27 8,825 8,500
Goldman Sachs Group Inc. 6.125% 2/15/33 11,325 11,592
Goldman Sachs Group Inc. 6.450% 5/1/36 5,000 4,928
Goldman Sachs Group Inc. 6.750% 10/1/37 31,611 32,271
4 HBOS PLC 6.750% 5/21/18 5,675 5,252
HSBC Bank PLC 6.950% 3/15/11 8,925 9,329
HSBC Bank USA NA 4.625% 4/1/14 5,175 5,403
HSBC Bank USA NA 5.875% 11/1/34 1,950 1,883
HSBC Bank USA NA 5.625% 8/15/35 1,675 1,535
HSBC Holdings PLC 7.625% 5/17/32 925 1,002
HSBC Holdings PLC 7.350% 11/27/32 1,990 2,168
HSBC Holdings PLC 6.500% 5/2/36 17,850 18,693
HSBC Holdings PLC 6.500% 9/15/37 14,400 15,054
HSBC Holdings PLC 6.800% 6/1/38 3,250 3,516
4 ICICI Bank Ltd. 6.625% 10/3/12 5,650 5,947
JP Morgan Chase Capital XV 5.875% 3/15/35 4,055 3,590
JP Morgan Chase Capital XVII 5.850% 8/1/35 625 541
JP Morgan Chase Capital XX 6.550% 9/29/36 5,925 5,480
JP Morgan Chase Capital XXII 6.450% 2/2/37 9,625 8,838
JP Morgan Chase Capital XXV 6.800% 10/1/37 9,875 9,770
JPMorgan Chase & Co. 6.750% 2/1/11 11,562 12,246
JPMorgan Chase & Co. 5.600% 6/1/11 14,700 15,555

17


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
JPMorgan Chase & Co. 4.850% 6/16/11 8,775 9,206
JPMorgan Chase & Co. 4.500% 1/15/12 4,925 5,183
JPMorgan Chase & Co. 6.625% 3/15/12 9,825 10,739
JPMorgan Chase & Co. 5.375% 10/1/12 18,350 19,900
JPMorgan Chase & Co. 5.750% 1/2/13 5,671 6,101
JPMorgan Chase & Co. 4.750% 5/1/13 13,950 14,726
JPMorgan Chase & Co. 5.375% 1/15/14 3,475 3,718
JPMorgan Chase & Co. 4.875% 3/15/14 17,215 17,949
JPMorgan Chase & Co. 5.125% 9/15/14 20,837 22,036
JPMorgan Chase & Co. 4.750% 3/1/15 2,575 2,695
JPMorgan Chase & Co. 5.250% 5/1/15 5,100 5,305
JPMorgan Chase & Co. 5.150% 10/1/15 5,535 5,745
JPMorgan Chase & Co. 6.125% 6/27/17 11,550 12,178
JPMorgan Chase & Co. 6.000% 1/15/18 3,325 3,598
JPMorgan Chase & Co. 6.300% 4/23/19 7,550 8,351
JPMorgan Chase & Co. 6.400% 5/15/38 55,169 60,768
JPMorgan Chase Bank NA 5.875% 6/13/16 4,121 4,320
JPMorgan Chase Bank NA 6.000% 7/5/17 825 871
JPMorgan Chase Bank NA 6.000% 10/1/17 1,925 2,055
JPMorgan Chase Capital XXVII 7.000% 11/1/39 2,325 2,361
KeyBank NA 7.000% 2/1/11 625 650
KeyBank NA 5.500% 9/17/12 5,325 5,530
KeyBank NA 5.800% 7/1/14 2,825 2,769
KeyBank NA 4.950% 9/15/15 5,600 5,234
KeyBank NA 5.450% 3/3/16 5,600 5,154
KeyBank NA 6.950% 2/1/28 1,925 1,673
KeyCorp 6.500% 5/14/13 5,275 5,436
M&I Marshall & Ilsley Bank 5.250% 9/4/12 925 832
M&I Marshall & Ilsley Bank 4.850% 6/16/15 600 469
M&I Marshall & Ilsley Bank 5.000% 1/17/17 150 117
Manufacturers & Traders Trust Co. 6.625% 12/4/17 6,550 6,690
3 Manufacturers & Traders Trust Co. 5.585% 12/28/20 450 372
MBNA Corp. 7.500% 3/15/12 2,520 2,759
MBNA Corp. 6.125% 3/1/13 3,850 4,063
MBNA Corp. 5.000% 6/15/15 3,425 3,418
3 Mellon Capital IV 6.244% 6/29/49 200 160
Mellon Funding Corp. 6.400% 5/14/11 350 372
Mellon Funding Corp. 5.000% 12/1/14 875 932
Merrill Lynch & Co. Inc. 5.770% 7/25/11 6,750 7,143
Merrill Lynch & Co. Inc. 6.050% 8/15/12 10,000 10,747
Merrill Lynch & Co. Inc. 5.450% 2/5/13 14,550 15,316
Merrill Lynch & Co. Inc. 6.150% 4/25/13 19,975 21,692
Merrill Lynch & Co. Inc. 5.000% 2/3/14 11,325 11,612
Merrill Lynch & Co. Inc. 5.450% 7/15/14 2,250 2,366
Merrill Lynch & Co. Inc. 5.000% 1/15/15 16,454 16,780
Merrill Lynch & Co. Inc. 6.050% 5/16/16 3,925 3,969
Merrill Lynch & Co. Inc. 5.700% 5/2/17 16,075 15,785
Merrill Lynch & Co. Inc. 6.400% 8/28/17 13,850 14,498
Merrill Lynch & Co. Inc. 6.875% 4/25/18 33,386 36,025
Merrill Lynch & Co. Inc. 6.500% 7/15/18 325 335
Merrill Lynch & Co. Inc. 6.220% 9/15/26 14,925 14,188
Merrill Lynch & Co. Inc. 6.110% 1/29/37 4,350 3,983
Merrill Lynch & Co. Inc. 7.750% 5/14/38 10,560 11,634
Morgan Stanley 4.000% 1/15/10 8,150 8,157
Morgan Stanley 5.050% 1/21/11 3,116 3,232
Morgan Stanley 6.750% 4/15/11 18,265 19,375
Morgan Stanley 5.625% 1/9/12 7,150 7,578
Morgan Stanley 6.600% 4/1/12 11,335 12,303
Morgan Stanley 5.750% 8/31/12 7,400 7,978
Morgan Stanley 5.300% 3/1/13 16,486 17,426
Morgan Stanley 6.750% 10/15/13 600 657
Morgan Stanley 4.750% 4/1/14 24,957 25,113
Morgan Stanley 6.000% 5/13/14 20,085 21,563
Morgan Stanley 4.200% 11/20/14 11,700 11,687

18


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Morgan Stanley 6.000% 4/28/15 39,675 42,275
  Morgan Stanley 5.375% 10/15/15 5,525 5,758
  Morgan Stanley 5.750% 10/18/16 14,500 15,121
  Morgan Stanley 5.450% 1/9/17 9,325 9,462
  Morgan Stanley 5.550% 4/27/17 2,875 2,922
  Morgan Stanley 6.250% 8/28/17 510 538
  Morgan Stanley 5.950% 12/28/17 16,050 16,652
  Morgan Stanley 6.625% 4/1/18 29,300 31,786
  Morgan Stanley 7.300% 5/13/19 1,810 2,033
  Morgan Stanley 5.625% 9/23/19 20,050 20,195
  Morgan Stanley 6.250% 8/9/26 14,525 14,925
  Morgan Stanley 7.250% 4/1/32 9,815 11,342
  National City Bank 6.250% 3/15/11 475 495
  National City Bank 4.625% 5/1/13 2,500 2,537
  National City Corp. 4.900% 1/15/15 1,100 1,128
  National City Corp. 6.875% 5/15/19 650 701
3 National City Preferred Capital Trust I 12.000% 12/31/49 5,450 6,240
4 Nationwide Building Society 4.250% 2/1/10 85 85
4 Nationwide Building Society 5.500% 7/18/12 22,025 23,510
  North Fork Bancorporation Inc. 5.875% 8/15/12 150 156
4 Northern Rock PLC 5.625% 6/22/17 37,275 35,715
  Northern Trust Co. 6.500% 8/15/18 1,075 1,188
  Northern Trust Corp. 5.500% 8/15/13 1,250 1,356
  Northern Trust Corp. 4.625% 5/1/14 3,975 4,241
  PNC Bank NA 4.875% 9/21/17 7,825 7,409
  PNC Bank NA 6.000% 12/7/17 1,100 1,115
  PNC Funding Corp. 5.125% 12/14/10 4,475 4,647
  PNC Funding Corp. 5.400% 6/10/14 379 409
  PNC Funding Corp. 4.250% 9/21/15 3,675 3,751
  PNC Funding Corp. 5.250% 11/15/15 8,050 8,256
  PNC Funding Corp. 5.625% 2/1/17 875 877
  PNC Funding Corp. 6.700% 6/10/19 2,259 2,517
  Regions Bank 7.500% 5/15/18 2,050 1,879
  Regions Financial Corp. 6.375% 5/15/12 2,775 2,650
  Regions Financial Corp. 7.750% 11/10/14 2,775 2,782
  Regions Financial Corp. 7.375% 12/10/37 3,700 3,030
  Royal Bank of Canada 4.125% 1/26/10 3,600 3,607
  Royal Bank of Scotland Group PLC 6.375% 2/1/11 1,350 1,364
  Royal Bank of Scotland Group PLC 5.000% 10/1/14 96 84
  Royal Bank of Scotland Group PLC 5.050% 1/8/15 6,425 5,564
  Royal Bank of Scotland Group PLC 6.400% 10/21/19 23,775 23,539
4 Royal Bank of Scotland PLC 4.875% 8/25/14 1,000 1,004
  Santander Financial Issuances Ltd. 6.375% 2/15/11 2,050 2,136
  SouthTrust Corp. 5.800% 6/15/14 2,450 2,557
  Sovereign Bank 5.125% 3/15/13 2,275 2,312
  Sovereign Bank 8.750% 5/30/18 1,325 1,526
3,4 Standard Chartered PLC 6.409% 12/31/49 5,525 4,475
  State Street Bank and Trust Co. 5.300% 1/15/16 2,675 2,718
  State Street Corp. 4.300% 5/30/14 3,500 3,640
  Sumitomo Mitsui Banking Corp. 8.000% 6/15/12 12,600 14,083
  SunTrust Bank 6.375% 4/1/11 6,230 6,479
  SunTrust Bank 5.000% 9/1/15 250 241
  SunTrust Bank 5.450% 12/1/17 400 384
  SunTrust Bank 7.250% 3/15/18 875 908
  SunTrust Banks Inc. 5.250% 11/5/12 6,350 6,581
  SunTrust Banks Inc. 6.000% 9/11/17 2,883 2,859
  SunTrust Banks Inc. 6.000% 2/15/26 3,075 2,491
  SunTrust Capital VIII 6.100% 12/15/36 1,830 1,270
  UBS AG 7.000% 10/15/15 2,200 2,334
  UBS AG 5.875% 7/15/16 2,175 2,206
  UBS AG 7.375% 6/15/17 3,225 3,382
  UBS AG 5.875% 12/20/17 28,224 29,050
  UBS AG 5.750% 4/25/18 11,100 11,329
3 UBS Preferred Funding Trust II 7.247% 6/29/49 8 7

19


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
UFJ Finance Aruba AEC 6.750% 7/15/13 19,300 21,193
Union Bank NA 5.950% 5/11/16 3,650 3,652
Union Planters Corp. 4.375% 12/1/10 800 800
Union Planters Corp. 7.750% 3/1/11 9,650 9,461
UnionBanCal Corp. 5.250% 12/16/13 2,055 2,093
US Bancorp 4.200% 5/15/14 775 808
US Bank NA 6.375% 8/1/11 5,500 5,914
US Bank NA 6.300% 2/4/14 7,875 8,698
US Bank NA 4.950% 10/30/14 11,121 11,838
3 USB Capital IX 6.189% 4/15/49 7,815 6,291
USB Capital XIII Trust 6.625% 12/15/39 700 704
Wachovia Bank NA 4.800% 11/1/14 1,400 1,424
Wachovia Bank NA 4.875% 2/1/15 13,500 13,804
Wachovia Bank NA 5.000% 8/15/15 885 899
Wachovia Bank NA 6.000% 11/15/17 7,725 8,100
Wachovia Bank NA 5.850% 2/1/37 14,800 14,302
Wachovia Bank NA 6.600% 1/15/38 11,900 12,553
3 Wachovia Capital Trust III 5.800% 3/15/11 10,075 7,657
Wachovia Corp. 5.300% 10/15/11 13,875 14,745
Wachovia Corp. 4.875% 2/15/14 9,250 9,415
Wachovia Corp. 5.250% 8/1/14 4,862 5,032
Wachovia Corp. 5.625% 10/15/16 12,350 12,584
Wachovia Corp. 5.750% 6/15/17 24,425 25,433
Wachovia Corp. 5.750% 2/1/18 1,325 1,377
Wachovia Corp. 6.605% 10/1/25 175 168
Wachovia Corp. 7.500% 4/15/35 875 912
Wachovia Corp. 5.500% 8/1/35 2,850 2,550
Wachovia Corp. 6.550% 10/15/35 575 537
Wells Fargo & Co. 4.875% 1/12/11 10,821 11,233
Wells Fargo & Co. 6.375% 8/1/11 1,575 1,681
Wells Fargo & Co. 5.300% 8/26/11 8,675 9,178
Wells Fargo & Co. 5.125% 9/1/12 3,150 3,317
Wells Fargo & Co. 5.250% 10/23/12 32,250 34,489
Wells Fargo & Co. 4.375% 1/31/13 9,675 10,025
Wells Fargo & Co. 4.950% 10/16/13 3,725 3,875
Wells Fargo & Co. 5.000% 11/15/14 96 99
Wells Fargo & Co. 5.625% 12/11/17 31,050 32,210
Wells Fargo & Co. 5.375% 2/7/35 4,350 4,045
Wells Fargo Bank NA 6.450% 2/1/11 12,325 12,936
Wells Fargo Bank NA 4.750% 2/9/15 12,075 12,346
Wells Fargo Bank NA 5.750% 5/16/16 6,225 6,375
Wells Fargo Bank NA 5.950% 8/26/36 10,025 9,655
Wells Fargo Capital X 5.950% 12/15/36 2,450 2,132
3 Wells Fargo Capital XIII 7.700% 12/29/49 9,525 9,239
3 Wells Fargo Capital XV 9.750% 12/29/49 4,650 5,022
Wells Fargo Financial Inc. 5.500% 8/1/12 3,125 3,347
Westpac Banking Corp. 2.250% 11/19/12 7,825 7,800
Westpac Banking Corp. 4.200% 2/27/15 13,500 13,715
Westpac Banking Corp. 4.875% 11/19/19 10,300 10,171
Brokerage (0.1%)        
Ameriprise Financial Inc. 5.650% 11/15/15 3,875 4,109
Ameriprise Financial Inc. 7.300% 6/28/19 400 447
3 Ameriprise Financial Inc. 7.518% 6/1/66 925 800
BlackRock Inc. 2.250% 12/10/12 5,000 4,977
BlackRock Inc. 3.500% 12/10/14 4,075 4,034
BlackRock Inc. 6.250% 9/15/17 3,150 3,393
BlackRock Inc. 5.000% 12/10/19 550 543
Charles Schwab Corp. 4.950% 6/1/14 10,150 10,731
4 FMR LLC 7.490% 6/15/19 800 896
Jefferies Group Inc. 8.500% 7/15/19 900 964
Jefferies Group Inc. 6.450% 6/8/27 13,025 10,945
Jefferies Group Inc. 6.250% 1/15/36 6,625 5,253
Lazard Group LLC 6.850% 6/15/17 6,075 6,114

20


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
TD Ameritrade Holding Corp. 2.950% 12/1/12 1,925 1,910
TD Ameritrade Holding Corp. 4.150% 12/1/14 2,550 2,519
TD Ameritrade Holding Corp. 5.600% 12/1/19 2,300 2,285
Finance Companies (0.9%)        
Block Financial LLC 7.875% 1/15/13 1,575 1,752
Discover Financial Services 6.450% 6/12/17 925 869
GATX Corp. 4.750% 10/1/12 2,500 2,566
General Electric Capital Corp. 4.250% 9/13/10 3,700 3,785
General Electric Capital Corp. 5.000% 12/1/10 2,125 2,207
General Electric Capital Corp. 5.200% 2/1/11 1,550 1,613
General Electric Capital Corp. 6.125% 2/22/11 10,055 10,617
General Electric Capital Corp. 5.500% 4/28/11 5,950 6,264
General Electric Capital Corp. 5.000% 11/15/11 11,880 12,561
General Electric Capital Corp. 4.375% 11/21/11 1,450 1,508
General Electric Capital Corp. 5.875% 2/15/12 14,811 15,872
General Electric Capital Corp. 4.375% 3/3/12 11,775 12,230
General Electric Capital Corp. 5.000% 4/10/12 150 158
General Electric Capital Corp. 6.000% 6/15/12 22,542 24,331
General Electric Capital Corp. 3.500% 8/13/12 16,200 16,514
General Electric Capital Corp. 5.250% 10/19/12 45,200 48,132
General Electric Capital Corp. 5.450% 1/15/13 8,150 8,694
General Electric Capital Corp. 4.800% 5/1/13 21,525 22,549
General Electric Capital Corp. 5.900% 5/13/14 7,850 8,553
General Electric Capital Corp. 5.500% 6/4/14 13,075 13,891
General Electric Capital Corp. 5.650% 6/9/14 8,650 9,258
General Electric Capital Corp. 3.750% 11/14/14 24,225 24,061
General Electric Capital Corp. 4.375% 9/21/15 2,900 2,947
General Electric Capital Corp. 5.400% 2/15/17 26,725 27,138
General Electric Capital Corp. 5.625% 9/15/17 4,675 4,701
General Electric Capital Corp. 5.625% 5/1/18 26,500 27,095
General Electric Capital Corp. 6.000% 8/7/19 9,650 10,015
General Electric Capital Corp. 6.750% 3/15/32 35,581 36,255
General Electric Capital Corp. 6.150% 8/7/37 14,475 13,730
General Electric Capital Corp. 5.875% 1/14/38 35,250 32,700
General Electric Capital Corp. 6.875% 1/10/39 18,050 18,604
3 General Electric Capital Corp. 6.375% 11/15/67 11,225 9,766
3 HSBC Finance Capital Trust IX 5.911% 11/30/35 2,075 1,696
HSBC Finance Corp. 5.250% 1/14/11 12,050 12,539
HSBC Finance Corp. 5.700% 6/1/11 17,225 18,002
HSBC Finance Corp. 6.375% 10/15/11 2,525 2,691
HSBC Finance Corp. 7.000% 5/15/12 12,125 13,189
HSBC Finance Corp. 5.900% 6/19/12 2,800 2,983
HSBC Finance Corp. 6.375% 11/27/12 17,932 19,642
HSBC Finance Corp. 4.750% 7/15/13 1,425 1,486
HSBC Finance Corp. 5.250% 1/15/14 6,850 7,180
HSBC Finance Corp. 5.000% 6/30/15 20,325 21,090
HSBC Finance Corp. 5.500% 1/19/16 1,521 1,585
International Lease Finance Corp. 4.950% 2/1/11 10,400 9,672
International Lease Finance Corp. 5.450% 3/24/11 4,875 4,485
International Lease Finance Corp. 5.750% 6/15/11 10,671 9,764
International Lease Finance Corp. 5.300% 5/1/12 4,700 3,995
International Lease Finance Corp. 5.000% 9/15/12 7,350 6,174
International Lease Finance Corp. 6.375% 3/25/13 8,000 6,640
International Lease Finance Corp. 5.625% 9/20/13 11,195 8,760
International Lease Finance Corp. 5.650% 6/1/14 4,600 3,496
SLM Corp. 5.400% 10/25/11 16,800 16,787
SLM Corp. 5.375% 1/15/13 4,175 3,971
SLM Corp. 5.000% 10/1/13 4,200 3,854
SLM Corp. 5.375% 5/15/14 40 36
SLM Corp. 5.050% 11/14/14 1,875 1,692
SLM Corp. 8.450% 6/15/18 17,500 17,244
SLM Corp. 5.625% 8/1/33 4,825 3,669

21


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Insurance (1.0%)        
ACE Capital Trust II 9.700% 4/1/30 1,675 1,914
ACE INA Holdings Inc. 5.875% 6/15/14 900 980
ACE INA Holdings Inc. 5.600% 5/15/15 5,800 6,362
ACE INA Holdings Inc. 5.700% 2/15/17 2,425 2,573
ACE INA Holdings Inc. 5.800% 3/15/18 1,700 1,817
ACE INA Holdings Inc. 5.900% 6/15/19 1,950 2,107
AEGON Funding Co. LLC 5.750% 12/15/20 1,025 952
Aegon NV 4.750% 6/1/13 1,700 1,731
Aetna Inc. 7.875% 3/1/11 1,275 1,357
Aetna Inc. 5.750% 6/15/11 1,075 1,130
Aetna Inc. 6.000% 6/15/16 9,975 10,447
Aetna Inc. 6.500% 9/15/18 1,900 2,040
Aetna Inc. 6.625% 6/15/36 2,550 2,566
Aetna Inc. 6.750% 12/15/37 625 655
Aflac Inc. 8.500% 5/15/19 500 572
Aflac Inc. 6.900% 12/17/39 750 738
Allied World Assurance Co. Holdings Ltd. 7.500% 8/1/16 14,443 14,942
Allstate Corp. 6.125% 2/15/12 2,365 2,562
Allstate Corp. 5.000% 8/15/14 5,550 5,854
Allstate Corp. 6.125% 12/15/32 2,225 2,209
Allstate Corp. 5.350% 6/1/33 895 841
Allstate Corp. 5.550% 5/9/35 1,336 1,262
3 Allstate Corp. 6.125% 5/15/37 2,681 2,354
3 Allstate Corp. 6.500% 5/15/57 5,150 4,309
Allstate Life Global Funding Trusts 5.375% 4/30/13 3,600 3,845
American Financial Group Inc. 9.875% 6/15/19 2,100 2,346
American International Group Inc. 5.375% 10/18/11 3,250 3,262
American International Group Inc. 4.950% 3/20/12 5,855 5,679
American International Group Inc. 4.250% 5/15/13 625 581
American International Group Inc. 5.050% 10/1/15 2,175 1,808
American International Group Inc. 5.600% 10/18/16 1,450 1,189
American International Group Inc. 5.450% 5/18/17 7,425 6,098
American International Group Inc. 5.850% 1/16/18 12,525 10,271
American International Group Inc. 8.250% 8/15/18 2,775 2,591
American International Group Inc. 6.250% 5/1/36 12,800 9,392
AON Corp. 8.205% 1/1/27 975 977
Arch Capital Group Ltd. 7.350% 5/1/34 2,525 2,443
Assurant Inc. 5.625% 2/15/14 3,000 3,042
Assurant Inc. 6.750% 2/15/34 3,250 2,905
AXA SA 8.600% 12/15/30 9,525 10,814
Axis Capital Holdings Ltd. 5.750% 12/1/14 2,075 2,111
Berkshire Hathaway Finance Corp. 4.200% 12/15/10 1,900 1,964
Berkshire Hathaway Finance Corp. 4.000% 4/15/12 1,900 1,983
Berkshire Hathaway Finance Corp. 4.600% 5/15/13 9,958 10,587
Berkshire Hathaway Finance Corp. 5.000% 8/15/13 17,250 18,499
Berkshire Hathaway Finance Corp. 4.850% 1/15/15 3,830 4,093
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 10,300 10,730
Chubb Corp. 5.200% 4/1/13 1,575 1,676
Chubb Corp. 5.750% 5/15/18 5,875 6,286
Chubb Corp. 6.000% 5/11/37 5,700 5,899
Chubb Corp. 6.500% 5/15/38 1,775 1,940
3 Chubb Corp. 6.375% 3/29/67 5,750 5,353
CIGNA Corp. 6.350% 3/15/18 1,125 1,127
CIGNA Corp. 7.875% 5/15/27 975 975
CIGNA Corp. 6.150% 11/15/36 5,200 4,541
Cincinnati Financial Corp. 6.920% 5/15/28 450 421
Cincinnati Financial Corp. 6.125% 11/1/34 3,350 2,969
CNA Financial Corp. 6.000% 8/15/11 6,000 6,109
CNA Financial Corp. 5.850% 12/15/14 3,275 3,228
CNA Financial Corp. 6.500% 8/15/16 5,475 5,310
CNA Financial Corp. 7.350% 11/15/19 100 101
Commerce Group Inc. 5.950% 12/9/13 1,325 1,323

22


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Coventry Health Care Inc. 6.300% 8/15/14 8,815 8,631
Fidelity National Financial Inc. 7.300% 8/15/11 2,100 2,172
Genworth Financial Inc. 5.650% 6/15/12 3,950 3,940
Genworth Financial Inc. 5.750% 6/15/14 1,846 1,768
Genworth Financial Inc. 4.950% 10/1/15 900 819
Genworth Financial Inc. 8.625% 12/15/16 975 1,018
Genworth Financial Inc. 6.500% 6/15/34 3,125 2,539
Genworth Global Funding Trusts 5.125% 3/15/11 550 558
Hartford Financial Services Group Inc. 5.250% 10/15/11 3,625 3,739
Hartford Financial Services Group Inc. 4.625% 7/15/13 2,375 2,377
Hartford Financial Services Group Inc. 5.500% 10/15/16 2,900 2,762
Hartford Financial Services Group Inc. 5.375% 3/15/17 2,475 2,389
Hartford Financial Services Group Inc. 6.300% 3/15/18 900 893
Hartford Financial Services Group Inc. 6.000% 1/15/19 1,225 1,190
Hartford Financial Services Group Inc. 5.950% 10/15/36 2,200 1,814
Hartford Financial Services Group Inc. 6.100% 10/1/41 4,150 3,275
HCC Insurance Holdings Inc. 6.300% 11/15/19 4,000 4,041
Humana Inc. 7.200% 6/15/18 6,075 6,238
Humana Inc. 6.300% 8/1/18 150 144
Humana Inc. 8.150% 6/15/38 7,550 7,186
Jefferson-Pilot Corp. 4.750% 1/30/14 1,600 1,589
4 Liberty Mutual Group Inc. 4.875% 2/1/10 925 924
Lincoln National Corp. 6.200% 12/15/11 900 949
Lincoln National Corp. 5.650% 8/27/12 3,125 3,244
Lincoln National Corp. 6.150% 4/7/36 5,675 4,991
Loews Corp. 5.250% 3/15/16 3,200 3,246
Loews Corp. 6.000% 2/1/35 550 518
Markel Corp. 7.125% 9/30/19 6,500 6,682
Marsh & McLennan Cos. Inc. 5.150% 9/15/10 2,450 2,505
Marsh & McLennan Cos. Inc. 5.375% 7/15/14 450 464
Marsh & McLennan Cos. Inc. 5.750% 9/15/15 7,046 7,360
Marsh & McLennan Cos. Inc. 9.250% 4/15/19 3,000 3,679
Marsh & McLennan Cos. Inc. 5.875% 8/1/33 300 262
MetLife Inc. 6.125% 12/1/11 650 700
MetLife Inc. 5.375% 12/15/12 5,900 6,298
MetLife Inc. 5.000% 11/24/13 4,025 4,243
MetLife Inc. 5.000% 6/15/15 2,721 2,878
MetLife Inc. 7.717% 2/15/19 2,100 2,458
MetLife Inc. 6.500% 12/15/32 2,700 2,858
MetLife Inc. 6.375% 6/15/34 2,025 2,169
MetLife Inc. 5.700% 6/15/35 1,250 1,238
MetLife Inc. 6.400% 12/15/36 8,000 7,001
4 Metropolitan Life Global Funding I 2.875% 9/17/12 14,600 14,718
4 Metropolitan Life Global Funding I 5.125% 6/10/14 2,700 2,856
Nationwide Financial Services 6.750% 5/15/37 550 427
OneBeacon US Holdings Inc. 5.875% 5/15/13 1,675 1,656
Principal Financial Group Inc. 7.875% 5/15/14 200 224
Principal Financial Group Inc. 8.875% 5/15/19 4 5
Principal Financial Group Inc. 6.050% 10/15/36 2,375 2,097
Principal Life Income Funding Trusts 5.125% 3/1/11 3,275 3,360
Principal Life Income Funding Trusts 5.300% 12/14/12 4,300 4,625
Principal Life Income Funding Trusts 5.300% 4/24/13 5,275 5,574
Principal Life Income Funding Trusts 5.100% 4/15/14 3,775 3,870
Progressive Corp. 6.375% 1/15/12 1,525 1,642
Progressive Corp. 6.625% 3/1/29 4,700 4,797
Progressive Corp. 6.250% 12/1/32 225 227
3 Progressive Corp. 6.700% 6/15/37 6,600 5,845
Protective Life Corp. 7.375% 10/15/19 2,100 2,107
Protective Life Corp. 8.450% 10/15/39 5,025 4,852
Protective Life Secured Trusts 4.850% 8/16/10 1,700 1,737
Prudential Financial Inc. 5.100% 12/14/11 350 366
Prudential Financial Inc. 5.800% 6/15/12 1,875 1,990
Prudential Financial Inc. 3.625% 9/17/12 7,250 7,430
Prudential Financial Inc. 5.150% 1/15/13 1,800 1,901

23


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Prudential Financial Inc. 4.500% 7/15/13 6,125 6,156
Prudential Financial Inc. 4.750% 4/1/14 1,700 1,746
Prudential Financial Inc. 5.100% 9/20/14 8,266 8,618
Prudential Financial Inc. 6.200% 1/15/15 4,525 4,848
Prudential Financial Inc. 4.750% 9/17/15 400 407
Prudential Financial Inc. 5.500% 3/15/16 625 639
Prudential Financial Inc. 6.100% 6/15/17 975 1,006
Prudential Financial Inc. 6.000% 12/1/17 3,525 3,619
Prudential Financial Inc. 5.750% 7/15/33 1,375 1,240
Prudential Financial Inc. 5.400% 6/13/35 1,775 1,519
Prudential Financial Inc. 5.900% 3/17/36 3,450 3,201
Prudential Financial Inc. 5.700% 12/14/36 20,125 18,147
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 1,100 1,097
Swiss Re Solutions Holding Corp. 7.000% 2/15/26 3,250 3,208
Swiss Re Solutions Holding Corp. 7.750% 6/15/30 5,825 5,917
Torchmark Corp. 6.375% 6/15/16 3,275 3,283
Transatlantic Holdings Inc. 8.000% 11/30/39 5,850 5,865
Travelers Cos. Inc. 5.375% 6/15/12 200 213
Travelers Cos. Inc. 5.500% 12/1/15 1,275 1,379
Travelers Cos. Inc. 6.250% 6/20/16 2,250 2,453
Travelers Cos. Inc. 5.750% 12/15/17 3,500 3,692
Travelers Cos. Inc. 5.800% 5/15/18 150 159
Travelers Cos. Inc. 5.900% 6/2/19 10,725 11,671
3 Travelers Cos. Inc. 6.250% 3/15/37 2,374 2,153
Travelers Cos. Inc. 6.250% 6/15/37 11,375 11,952
Travelers Property Casualty Corp. 6.375% 3/15/33 325 343
UnitedHealth Group Inc. 5.250% 3/15/11 225 234
UnitedHealth Group Inc. 5.500% 11/15/12 7,550 8,097
UnitedHealth Group Inc. 4.875% 2/15/13 2,075 2,181
UnitedHealth Group Inc. 4.875% 4/1/13 2,100 2,211
UnitedHealth Group Inc. 5.000% 8/15/14 3,875 4,061
UnitedHealth Group Inc. 4.875% 3/15/15 2,031 2,103
UnitedHealth Group Inc. 6.000% 6/15/17 6,975 7,269
UnitedHealth Group Inc. 6.000% 11/15/17 925 966
UnitedHealth Group Inc. 6.000% 2/15/18 42,355 44,125
UnitedHealth Group Inc. 5.800% 3/15/36 1,175 1,050
UnitedHealth Group Inc. 6.500% 6/15/37 1,700 1,665
UnitedHealth Group Inc. 6.625% 11/15/37 3,675 3,731
UnitedHealth Group Inc. 6.875% 2/15/38 5,850 6,065
Unum Group 7.125% 9/30/16 3,225 3,330
WellPoint Health Networks Inc. 6.375% 1/15/12 2,965 3,205
WellPoint Inc. 5.000% 1/15/11 4,425 4,589
WellPoint Inc. 6.800% 8/1/12 2,085 2,301
WellPoint Inc. 6.000% 2/15/14 2,600 2,826
WellPoint Inc. 5.000% 12/15/14 3,300 3,432
WellPoint Inc. 5.250% 1/15/16 1,786 1,802
WellPoint Inc. 5.875% 6/15/17 225 233
WellPoint Inc. 5.950% 12/15/34 5,525 5,233
WellPoint Inc. 5.850% 1/15/36 5,235 4,894
WellPoint Inc. 6.375% 6/15/37 1,030 1,043
Willis North America Inc. 5.625% 7/15/15 3,600 3,538
Willis North America Inc. 6.200% 3/28/17 2,125 2,037
Willis North America Inc. 7.000% 9/29/19 1,500 1,507
XL Capital Ltd. 5.250% 9/15/14 4,150 4,135
XL Capital Ltd. 6.375% 11/15/24 475 430
XL Capital Ltd. 6.250% 5/15/27 7,625 6,888
3 XL Capital Ltd. 6.500% 12/15/49 4,000 3,035
Other Finance (0.0%)        
CME Group Inc. 5.400% 8/1/13 7,950 8,526
CME Group Inc. 5.750% 2/15/14 3,050 3,330
ORIX Corp. 5.480% 11/22/11 4,750 4,765
XTRA Finance Corp. 5.150% 4/1/17 12,025 12,215

24


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Real Estate Investment Trusts (0.3%)        
AMB Property LP 6.625% 12/1/19 1,600 1,570
Arden Realty LP 5.250% 3/1/15 875 901
AvalonBay Communities Inc. 5.500% 1/15/12 1,015 1,061
AvalonBay Communities Inc. 6.125% 11/1/12 422 450
AvalonBay Communities Inc. 5.750% 9/15/16 775 795
Boston Properties LP 6.250% 1/15/13 3,936 4,197
Boston Properties LP 5.625% 4/15/15 4,100 4,206
Brandywine Operating Partnership LP 5.750% 4/1/12 1,344 1,349
Brandywine Operating Partnership LP 5.400% 11/1/14 950 888
Brandywine Operating Partnership LP 7.500% 5/15/15 3,950 4,012
Brandywine Operating Partnership LP 5.700% 5/1/17 75 67
Camden Property Trust 5.700% 5/15/17 4,800 4,595
Duke Realty LP 6.250% 5/15/13 400 409
Duke Realty LP 7.375% 2/15/15 4,550 4,835
Duke Realty LP 5.950% 2/15/17 4,425 4,124
Duke Realty LP 8.250% 8/15/19 3,475 3,647
ERP Operating LP 6.625% 3/15/12 3,970 4,238
ERP Operating LP 5.500% 10/1/12 2,750 2,892
ERP Operating LP 5.250% 9/15/14 1,700 1,728
ERP Operating LP 5.125% 3/15/16 350 341
ERP Operating LP 5.375% 8/1/16 2,875 2,814
ERP Operating LP 5.750% 6/15/17 1,050 1,051
HCP Inc. 6.450% 6/25/12 3,750 3,902
HCP Inc. 5.650% 12/15/13 9,550 9,563
HCP Inc. 6.300% 9/15/16 2,475 2,421
HCP Inc. 6.000% 1/30/17 1,700 1,621
HCP Inc. 5.625% 5/1/17 100 92
HCP Inc. 6.700% 1/30/18 6,025 5,865
Health Care REIT Inc. 6.000% 11/15/13 2,175 2,205
Health Care REIT Inc. 6.200% 6/1/16 8,350 8,170
Healthcare Realty Trust Inc. 5.125% 4/1/14 1,525 1,475
Healthcare Realty Trust Inc. 6.500% 1/17/17 2,550 2,493
Hospitality Properties Trust 7.875% 8/15/14 3,350 3,465
Hospitality Properties Trust 5.125% 2/15/15 4,870 4,401
HRPT Properties Trust 6.250% 8/15/16 1,325 1,260
HRPT Properties Trust 6.250% 6/15/17 4,800 4,334
Kimco Realty Corp. 5.783% 3/15/16 1,025 1,013
Kimco Realty Corp. 6.875% 10/1/19 2,300 2,340
Liberty Property LP 5.125% 3/2/15 7,525 7,149
Liberty Property LP 5.500% 12/15/16 1,900 1,736
Mack-Cali Realty LP 7.750% 8/15/19 2,075 2,153
National Retail Properties Inc. 6.875% 10/15/17 10,800 10,426
Nationwide Health Properties Inc. 6.250% 2/1/13 3,850 3,936
ProLogis 5.500% 4/1/12 100 101
ProLogis 7.625% 8/15/14 600 634
ProLogis 5.625% 11/15/15 2,775 2,639
ProLogis 5.750% 4/1/16 2,500 2,347
ProLogis 5.625% 11/15/16 3,075 2,839
ProLogis 7.375% 10/30/19 5,000 4,951
Realty Income Corp. 6.750% 8/15/19 5,450 5,330
Regency Centers LP 6.750% 1/15/12 5,650 5,934
Regency Centers LP 5.250% 8/1/15 2,175 2,082
Simon Property Group LP 4.875% 8/15/10 6,150 6,251
Simon Property Group LP 5.600% 9/1/11 2,525 2,650
Simon Property Group LP 5.000% 3/1/12 3,125 3,230
Simon Property Group LP 6.350% 8/28/12 55 59
Simon Property Group LP 5.300% 5/30/13 2,100 2,167
Simon Property Group LP 6.750% 5/15/14 11,605 12,365
Simon Property Group LP 5.625% 8/15/14 150 154
Simon Property Group LP 5.100% 6/15/15 36 35
Simon Property Group LP 5.750% 12/1/15 15,175 15,475
Simon Property Group LP 5.250% 12/1/16 8,600 8,469

25


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Simon Property Group LP 5.875% 3/1/17 2,825 2,851
Simon Property Group LP 6.125% 5/30/18 4,100 4,166
Tanger Properties LP 6.150% 11/15/15 3,300 3,230
        4,902,543
Industrial (10.5%)        
Basic Industry (1.0%)        
Agrium Inc. 6.750% 1/15/19 7,000 7,489
Airgas Inc. 4.500% 9/15/14 2,200 2,239
Alcoa Inc. 6.000% 1/15/12 3,331 3,486
Alcoa Inc. 5.375% 1/15/13 4,010 4,157
Alcoa Inc. 6.000% 7/15/13 10,975 11,603
Alcoa Inc. 6.750% 7/15/18 200 203
Alcoa Inc. 5.720% 2/23/19 4,498 4,353
Alcoa Inc. 5.870% 2/23/22 1,252 1,163
Alcoa Inc. 5.900% 2/1/27 4,825 4,307
Alcoa Inc. 6.750% 1/15/28 550 529
Alcoa Inc. 5.950% 2/1/37 6,500 5,616
Allegheny Technologies Inc. 9.375% 6/1/19 25 28
ArcelorMittal 5.375% 6/1/13 10,700 11,225
ArcelorMittal 9.000% 2/15/15 13,200 15,370
ArcelorMittal 6.125% 6/1/18 8,925 9,129
ArcelorMittal 9.850% 6/1/19 4,175 5,374
Barrick Australian Finance Pty Ltd. 5.950% 10/15/39 2,075 2,025
Barrick Gold Finance Co. 4.875% 11/15/14 2,600 2,736
Barrick Gold Financeco LLC 6.125% 9/15/13 13,025 14,325
Barrick North America Finance LLC 6.800% 9/15/18 5,100 5,688
Barrick North America Finance LLC 7.500% 9/15/38 6,175 7,120
BHP Billiton Finance USA Ltd. 5.125% 3/29/12 3,350 3,577
BHP Billiton Finance USA Ltd. 4.800% 4/15/13 7,126 7,561
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 8,100 8,888
BHP Billiton Finance USA Ltd. 5.250% 12/15/15 4,000 4,329
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 740 791
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 19,050 21,907
Celulosa Arauco y Constitucion SA 5.125% 7/9/13 1,175 1,235
Celulosa Arauco y Constitucion SA 5.625% 4/20/15 2,100 2,203
Commercial Metals Co. 6.500% 7/15/17 2,125 2,158
Commercial Metals Co. 7.350% 8/15/18 5,375 5,732
Cytec Industries Inc. 8.950% 7/1/17 1,475 1,752
Dow Chemical Co. 6.125% 2/1/11 9,750 10,177
Dow Chemical Co. 4.850% 8/15/12 16,080 16,894
Dow Chemical Co. 6.000% 10/1/12 1,630 1,754
Dow Chemical Co. 7.600% 5/15/14 11,825 13,459
Dow Chemical Co. 5.900% 2/15/15 24,225 26,060
Dow Chemical Co. 8.550% 5/15/19 8,237 9,820
Dow Chemical Co. 7.375% 11/1/29 3,050 3,314
Dow Chemical Co. 9.400% 5/15/39 2,000 2,665
Eastman Chemical Co. 5.500% 11/15/19 2,200 2,194
Eastman Chemical Co. 7.250% 1/15/24 700 759
Eastman Chemical Co. 7.600% 2/1/27 2,038 2,237
EI du Pont de Nemours & Co. 4.750% 11/15/12 2,895 3,117
EI du Pont de Nemours & Co. 5.000% 1/15/13 18,950 20,373
EI du Pont de Nemours & Co. 5.000% 7/15/13 6,150 6,663
EI du Pont de Nemours & Co. 5.875% 1/15/14 8,900 9,830
EI du Pont de Nemours & Co. 5.250% 12/15/16 636 675
EI du Pont de Nemours & Co. 6.000% 7/15/18 5,450 5,960
EI du Pont de Nemours & Co. 4.625% 1/15/20 900 882
EI du Pont de Nemours & Co. 6.500% 1/15/28 1,625 1,765
Freeport-McMoRan Copper & Gold Inc. 8.250% 4/1/15 8,850 9,580
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 18,170 19,873
ICI Wilmington Inc. 5.625% 12/1/13 700 731
International Paper Co. 5.300% 4/1/15 4,375 4,499
International Paper Co. 7.950% 6/15/18 11,675 13,426
International Paper Co. 9.375% 5/15/19 4,100 5,092

26


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
International Paper Co. 7.500% 8/15/21 20,875 23,303
International Paper Co. 7.300% 11/15/39 300 318
Lubrizol Corp. 5.500% 10/1/14 10,125 10,781
Lubrizol Corp. 6.500% 10/1/34 7,735 7,941
Monsanto Co. 7.375% 8/15/12 825 934
Monsanto Co. 5.125% 4/15/18 3,100 3,224
Monsanto Co. 5.875% 4/15/38 700 729
4 Mosaic Co. 7.375% 12/1/14 5,200 5,551
Newmont Mining Corp. 5.125% 10/1/19 650 652
Newmont Mining Corp. 5.875% 4/1/35 2,500 2,386
Newmont Mining Corp. 6.250% 10/1/39 9,950 9,968
Nucor Corp. 5.000% 12/1/12 800 864
Nucor Corp. 5.000% 6/1/13 200 213
Nucor Corp. 5.750% 12/1/17 1,000 1,074
Nucor Corp. 5.850% 6/1/18 4,475 4,817
Nucor Corp. 6.400% 12/1/37 3,350 3,619
Placer Dome Inc. 6.450% 10/15/35 1,750 1,753
Plum Creek Timberlands LP 5.875% 11/15/15 3,325 3,405
Potash Corp. of Saskatchewan Inc. 7.750% 5/31/11 8,100 8,782
Potash Corp. of Saskatchewan Inc. 4.875% 3/1/13 3,950 4,156
Potash Corp. of Saskatchewan Inc. 5.250% 5/15/14 775 833
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 5,050 5,041
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 6,750 6,610
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 775 764
PPG Industries Inc. 5.750% 3/15/13 3,850 4,110
PPG Industries Inc. 6.650% 3/15/18 7,975 8,678
Praxair Inc. 6.375% 4/1/12 1,725 1,892
Praxair Inc. 1.750% 11/15/12 2,275 2,261
Praxair Inc. 3.950% 6/1/13 775 809
Praxair Inc. 4.375% 3/31/14 2,400 2,532
Praxair Inc. 5.250% 11/15/14 6,525 7,127
Praxair Inc. 4.625% 3/30/15 325 347
Praxair Inc. 3.250% 9/15/15 800 801
Praxair Inc. 5.200% 3/15/17 1,075 1,132
Praxair Inc. 4.500% 8/15/19 2,375 2,396
Reliance Steel & Aluminum Co. 6.200% 11/15/16 250 251
Reliance Steel & Aluminum Co. 6.850% 11/15/36 550 471
Rio Tinto Alcan Inc. 6.450% 3/15/11 750 786
Rio Tinto Alcan Inc. 4.875% 9/15/12 850 897
Rio Tinto Alcan Inc. 4.500% 5/15/13 5,650 5,791
Rio Tinto Alcan Inc. 5.200% 1/15/14 675 714
Rio Tinto Alcan Inc. 5.000% 6/1/15 850 863
Rio Tinto Alcan Inc. 6.125% 12/15/33 9,925 9,912
Rio Tinto Finance USA Ltd. 5.875% 7/15/13 11,610 12,543
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 13,000 15,566
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 9,125 9,975
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 10,736 13,593
Rio Tinto Finance USA Ltd. 7.125% 7/15/28 4,275 4,790
3 Rohm & Haas Holdings Ltd. 9.800% 4/15/20 1,604 1,789
Rohm and Haas Co. 5.600% 3/15/13 150 158
Rohm and Haas Co. 6.000% 9/15/17 8,475 8,717
Sherwin-Williams Co. 3.125% 12/15/14 3,025 3,005
Southern Copper Corp. 7.500% 7/27/35 7,825 7,555
Vale Inco Ltd. 7.750% 5/15/12 60 65
Vale Inco Ltd. 5.700% 10/15/15 3,350 3,385
Vale Inco Ltd. 7.200% 9/15/32 1,175 1,177
Vale Overseas Ltd. 6.250% 1/11/16 2,000 2,104
Vale Overseas Ltd. 6.250% 1/23/17 4,350 4,562
Vale Overseas Ltd. 5.625% 9/15/19 3,600 3,596
Vale Overseas Ltd. 8.250% 1/17/34 2,300 2,649
Vale Overseas Ltd. 6.875% 11/21/36 12,548 12,653
Vale Overseas Ltd. 6.875% 11/10/39 5,375 5,395
Valspar Corp. 7.250% 6/15/19 1,050 1,137
Xstrata Canada Corp. 7.350% 6/5/12 950 1,026

27


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Xstrata Canada Corp. 7.250% 7/15/12 2,900 3,134
Xstrata Canada Corp. 5.375% 6/1/15 350 365
Xstrata Canada Corp. 6.000% 10/15/15 1,125 1,187
Xstrata Canada Corp. 5.500% 6/15/17 5,175 4,995
Capital Goods (1.0%)        
3M Co. 6.375% 2/15/28 3,375 3,737
3M Co. 5.700% 3/15/37 5,000 5,245
4 Acuity Brands Lighting Inc. 6.000% 12/15/19 2,050 1,970
Allied Waste North America Inc. 7.125% 5/15/16 3,175 3,381
4 BAE Systems Holdings Inc. 5.200% 8/15/15 600 627
Bemis Co. Inc. 4.875% 4/1/12 1,175 1,217
Bemis Co. Inc. 5.650% 8/1/14 2,575 2,747
Black & Decker Corp. 7.125% 6/1/11 400 426
Black & Decker Corp. 8.950% 4/15/14 1,000 1,180
Black & Decker Corp. 5.750% 11/15/16 2,325 2,390
Boeing Capital Corp. 6.500% 2/15/12 11,900 13,008
Boeing Capital Corp. 5.800% 1/15/13 336 367
Boeing Co. 1.875% 11/20/12 6,585 6,555
Boeing Co. 3.500% 2/15/15 11,350 11,400
Boeing Co. 6.000% 3/15/19 25 27
Boeing Co. 4.875% 2/15/20 3,050 3,061
Boeing Co. 8.750% 8/15/21 800 1,035
Boeing Co. 7.250% 6/15/25 1,750 1,956
Boeing Co. 8.750% 9/15/31 775 1,030
Boeing Co. 6.125% 2/15/33 750 778
Boeing Co. 6.625% 2/15/38 1,820 2,020
Boeing Co. 6.875% 3/15/39 3,475 4,066
Boeing Co. 5.875% 2/15/40 2,500 2,590
Caterpillar Financial Services Corp. 5.125% 10/12/11 600 637
Caterpillar Financial Services Corp. 4.850% 12/7/12 300 324
Caterpillar Financial Services Corp. 1.900% 12/17/12 750 745
Caterpillar Financial Services Corp. 4.250% 2/8/13 3,675 3,804
Caterpillar Financial Services Corp. 6.125% 2/17/14 16,200 18,076
Caterpillar Financial Services Corp. 4.750% 2/17/15 4,500 4,717
Caterpillar Financial Services Corp. 4.625% 6/1/15 2,500 2,578
Caterpillar Financial Services Corp. 7.150% 2/15/19 30,400 35,045
Caterpillar Inc. 7.000% 12/15/13 1,575 1,834
Caterpillar Inc. 6.625% 7/15/28 650 723
Caterpillar Inc. 7.300% 5/1/31 600 713
Caterpillar Inc. 6.050% 8/15/36 17,625 18,701
Caterpillar Inc. 8.250% 12/15/38 800 1,066
Caterpillar Inc. 6.950% 5/1/42 950 1,041
Caterpillar Inc. 7.375% 3/1/97 4,775 5,062
Cooper US Inc. 5.250% 11/15/12 4,025 4,326
Cooper US Inc. 5.450% 4/1/15 1,925 2,075
CRH America Inc. 5.625% 9/30/11 3,425 3,596
CRH America Inc. 6.950% 3/15/12 4,835 5,220
CRH America Inc. 5.300% 10/15/13 675 704
CRH America Inc. 6.000% 9/30/16 12,036 12,523
CRH America Inc. 8.125% 7/15/18 11,750 13,716
Danaher Corp. 5.625% 1/15/18 2,225 2,386
Danaher Corp. 5.400% 3/1/19 1,700 1,796
Deere & Co. 6.950% 4/25/14 5,795 6,704
Deere & Co. 4.375% 10/16/19 4,425 4,438
Deere & Co. 5.375% 10/16/29 4,025 4,020
Deere & Co. 8.100% 5/15/30 2,905 3,703
Deere & Co. 7.125% 3/3/31 625 739
Dover Corp. 5.450% 3/15/18 6,300 6,645
Dover Corp. 5.375% 10/15/35 550 538
Dover Corp. 6.600% 3/15/38 2,550 2,895
Eaton Corp. 4.900% 5/15/13 4,250 4,480
Eaton Corp. 5.600% 5/15/18 2,075 2,183
Embraer Overseas Ltd. 6.375% 1/24/17 4,500 4,550

28


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Embraer Overseas Ltd. 6.375% 1/15/20 625 623
Emerson Electric Co. 7.125% 8/15/10 2,850 2,962
Emerson Electric Co. 4.625% 10/15/12 6,625 7,079
Emerson Electric Co. 4.500% 5/1/13 3,850 4,076
Emerson Electric Co. 5.250% 10/15/18 6,225 6,575
Emerson Electric Co. 4.875% 10/15/19 1,300 1,340
Emerson Electric Co. 4.250% 11/15/20 400 388
Emerson Electric Co. 6.125% 4/15/39 1,575 1,694
Emerson Electric Co. 5.250% 11/15/39 3,675 3,548
General Dynamics Corp. 4.250% 5/15/13 6,715 7,101
General Dynamics Corp. 5.250% 2/1/14 6,950 7,619
General Electric Co. 5.000% 2/1/13 28,665 30,358
General Electric Co. 5.250% 12/6/17 28,317 28,891
Goodrich Corp. 4.875% 3/1/20 3,900 3,880
Harsco Corp. 5.750% 5/15/18 4,750 4,676
Honeywell International Inc. 6.125% 11/1/11 2,500 2,728
Honeywell International Inc. 5.625% 8/1/12 3,250 3,559
Honeywell International Inc. 4.250% 3/1/13 1,075 1,133
Honeywell International Inc. 5.400% 3/15/16 1,650 1,791
Honeywell International Inc. 5.300% 3/15/17 5,100 5,352
Honeywell International Inc. 5.300% 3/1/18 600 635
Honeywell International Inc. 5.000% 2/15/19 1,500 1,557
Honeywell International Inc. 5.700% 3/15/36 1,975 2,033
Honeywell International Inc. 5.700% 3/15/37 4,125 4,220
Illinois Tool Works Inc. 5.150% 4/1/14 4,500 4,904
Illinois Tool Works Inc. 6.250% 4/1/19 7,200 8,081
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 3,950 4,256
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 13,225 15,892
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 5,625 6,257
John Deere Capital Corp. 5.400% 10/17/11 4,400 4,692
John Deere Capital Corp. 5.350% 1/17/12 3,450 3,689
John Deere Capital Corp. 7.000% 3/15/12 12,116 13,485
John Deere Capital Corp. 5.250% 10/1/12 300 323
John Deere Capital Corp. 4.950% 12/17/12 3,400 3,673
John Deere Capital Corp. 4.900% 9/9/13 8,125 8,730
John Deere Capital Corp. 5.750% 9/10/18 4,575 4,962
Joy Global Inc. 6.000% 11/15/16 1,750 1,791
4 L-3 Communications Corp. 5.200% 10/15/19 3,525 3,521
Lafarge SA 6.150% 7/15/11 825 861
Lafarge SA 6.500% 7/15/16 6,225 6,584
Lafarge SA 7.125% 7/15/36 13,775 14,522
Lockheed Martin Corp. 4.121% 3/14/13 2,250 2,359
Lockheed Martin Corp. 7.650% 5/1/16 4,175 5,009
Lockheed Martin Corp. 4.250% 11/15/19 575 558
Lockheed Martin Corp. 7.750% 5/1/26 500 600
Lockheed Martin Corp. 6.150% 9/1/36 9,325 9,915
Lockheed Martin Corp. 5.500% 11/15/39 1,800 1,778
Martin Marietta Materials Inc. 6.600% 4/15/18 5,075 5,225
Northrop Grumman Systems Corp. 7.125% 2/15/11 8,375 8,886
Northrop Grumman Systems Corp. 7.750% 3/1/16 600 713
Northrop Grumman Systems Corp. 7.875% 3/1/26 2,075 2,514
Northrop Grumman Systems Corp. 7.750% 2/15/31 31 38
Parker Hannifin Corp. 5.500% 5/15/18 1,275 1,353
Parker Hannifin Corp. 6.250% 5/15/38 1,525 1,641
Raytheon Co. 5.500% 11/15/12 2,075 2,274
Raytheon Co. 6.400% 12/15/18 400 456
Raytheon Co. 4.400% 2/15/20 2,500 2,472
Raytheon Co. 7.200% 8/15/27 3,350 3,972
Republic Services Inc. 6.750% 8/15/11 1,450 1,524
4 Republic Services Inc. 5.500% 9/15/19 13,750 13,969
4 Republic Services Inc. 5.250% 11/15/21 11,435 11,201
Republic Services Inc. 6.086% 3/15/35 2,225 2,115
Rockwell Automation Inc. 5.650% 12/1/17 1,025 1,090
Rockwell Automation Inc. 6.700% 1/15/28 950 1,008

29


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Rockwell Automation Inc. 6.250% 12/1/37 3,650 3,780
  Rockwell Collins Inc. 5.250% 7/15/19 800 841
  Roper Industries Inc. 6.625% 8/15/13 8,900 9,714
  Roper Industries Inc. 6.250% 9/1/19 2,300 2,395
3,4 Systems 2001 AT LLC 7.156% 12/15/11 1,057 1,100
  Textron Inc. 5.600% 12/1/17 975 943
  Tyco International Finance SA 6.750% 2/15/11 7,750 8,144
  Tyco International Finance SA 6.375% 10/15/11 9,975 10,687
  Tyco International Finance SA 6.000% 11/15/13 4,575 5,004
  Tyco International Ltd. / Tyco International Finance SA 7.000% 12/15/19 2,475 2,789
  United Technologies Corp. 6.350% 3/1/11 6,375 6,763
  United Technologies Corp. 5.375% 12/15/17 11,875 12,720
  United Technologies Corp. 6.125% 2/1/19 8 9
  United Technologies Corp. 6.700% 8/1/28 1,317 1,482
  United Technologies Corp. 7.500% 9/15/29 2,175 2,648
  United Technologies Corp. 5.400% 5/1/35 6,150 6,120
  United Technologies Corp. 6.050% 6/1/36 5,575 5,938
  United Technologies Corp. 6.125% 7/15/38 2,133 2,296
  Vulcan Materials Co. 6.300% 6/15/13 2,475 2,633
  Vulcan Materials Co. 7.000% 6/15/18 4,375 4,741
  Waste Management Inc. 6.375% 11/15/12 600 661
  Waste Management Inc. 5.000% 3/15/14 400 423
  Waste Management Inc. 6.375% 3/11/15 3,250 3,612
  Waste Management Inc. 7.375% 3/11/19 2,025 2,353
  Waste Management Inc. 7.100% 8/1/26 1,050 1,137
  Waste Management Inc. 7.750% 5/15/32 425 499
  Waste Management Inc. 6.125% 11/30/39 6,325 6,359
  Communication (2.4%)        
  Alltel Corp. 7.000% 3/15/16 5,000 5,658
  Alltel Corp. 7.875% 7/1/32 2,800 3,370
  America Movil SAB de CV 5.500% 3/1/14 2,050 2,184
  America Movil SAB de CV 5.750% 1/15/15 2,100 2,223
  America Movil SAB de CV 6.375% 3/1/35 7,900 8,211
  America Movil SAB de CV 6.125% 11/15/37 3,975 3,980
4 American Tower Corp. 4.625% 4/1/15 1,000 1,009
  AT&T Corp. 7.300% 11/15/11 6,025 6,642
  AT&T Corp. 8.000% 11/15/31 18,330 22,412
  AT&T Inc. 6.250% 3/15/11 10,815 11,449
  AT&T Inc. 5.875% 2/1/12 5,351 5,795
  AT&T Inc. 5.875% 8/15/12 4,345 4,762
  AT&T Inc. 4.950% 1/15/13 16,225 17,339
  AT&T Inc. 6.700% 11/15/13 1,125 1,273
  AT&T Inc. 4.850% 2/15/14 7,425 7,933
  AT&T Inc. 5.100% 9/15/14 10,175 10,999
  AT&T Inc. 5.625% 6/15/16 33,000 35,366
  AT&T Inc. 5.500% 2/1/18 3,815 4,008
  AT&T Inc. 5.600% 5/15/18 3,950 4,169
  AT&T Inc. 5.800% 2/15/19 11,975 12,816
  AT&T Inc. 6.450% 6/15/34 5,200 5,339
  AT&T Inc. 6.500% 9/1/37 21,100 21,860
  AT&T Inc. 6.300% 1/15/38 14,109 14,361
  AT&T Inc. 6.400% 5/15/38 4,845 5,016
  AT&T Inc. 6.550% 2/15/39 19,825 20,933
  AT&T Mobility LLC 6.500% 12/15/11 2,225 2,422
  AT&T Mobility LLC 7.125% 12/15/31 9,620 10,822
  Bellsouth Capital Funding Corp. 7.875% 2/15/30 10,100 11,478
  BellSouth Corp. 5.200% 9/15/14 1,625 1,742
  BellSouth Corp. 5.200% 12/15/16 5,625 5,794
  BellSouth Corp. 6.875% 10/15/31 4,900 5,091
  BellSouth Corp. 6.550% 6/15/34 5,325 5,334
  BellSouth Corp. 6.000% 11/15/34 3,081 2,971
  BellSouth Telecommunications Inc. 6.375% 6/1/28 6,565 6,522
  British Telecommunications PLC 9.125% 12/15/10 6,835 7,320

30


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
British Telecommunications PLC 5.150% 1/15/13 8,033 8,379
British Telecommunications PLC 5.950% 1/15/18 11,525 11,718
British Telecommunications PLC 9.625% 12/15/30 10,010 12,828
CBS Corp. 6.625% 5/15/11 2,610 2,733
CBS Corp. 5.625% 8/15/12 2,850 2,966
CBS Corp. 4.625% 5/15/18 400 366
CBS Corp. 8.875% 5/15/19 4,575 5,474
CBS Corp. 7.875% 7/30/30 1,361 1,469
CBS Corp. 5.500% 5/15/33 575 480
Cellco Partnership / Verizon Wireless Capital LLC 3.750% 5/20/11 12,950 13,357
Cellco Partnership / Verizon Wireless Capital LLC 5.250% 2/1/12 8,425 8,928
Cellco Partnership / Verizon Wireless Capital LLC 7.375% 11/15/13 20,275 23,312
Cellco Partnership / Verizon Wireless Capital LLC 5.550% 2/1/14 16,942 18,460
Cellco Partnership / Verizon Wireless Capital LLC 8.500% 11/15/18 10,825 13,520
CenturyTel Inc. 6.000% 4/1/17 325 330
CenturyTel Inc. 6.150% 9/15/19 2,500 2,580
CenturyTel Inc. 6.875% 1/15/28 725 675
CenturyTel Inc. 7.600% 9/15/39 4,600 4,746
Comcast Cable Communications Holdings Inc. 8.375% 3/15/13 2,562 2,950
Comcast Cable Communications Holdings Inc. 9.455% 11/15/22 6,961 9,067
Comcast Cable Communications LLC 6.750% 1/30/11 9,090 9,598
Comcast Cable Communications LLC 8.875% 5/1/17 2,200 2,651
Comcast Corp. 5.500% 3/15/11 1,500 1,567
Comcast Corp. 5.300% 1/15/14 3,505 3,749
Comcast Corp. 6.500% 1/15/15 1,765 1,981
Comcast Corp. 5.900% 3/15/16 10,350 11,105
Comcast Corp. 6.500% 1/15/17 225 249
Comcast Corp. 6.300% 11/15/17 37,825 41,413
Comcast Corp. 5.875% 2/15/18 13,550 14,437
Comcast Corp. 5.700% 7/1/19 700 732
Comcast Corp. 6.500% 11/15/35 12,200 12,611
Comcast Corp. 6.450% 3/15/37 1,661 1,707
Comcast Corp. 6.950% 8/15/37 6,650 7,272
Comcast Corp. 6.400% 5/15/38 1,425 1,462
COX Communications Inc. 6.750% 3/15/11 11,750 12,361
COX Communications Inc. 7.125% 10/1/12 8,425 9,326
COX Communications Inc. 5.450% 12/15/14 9,300 9,971
COX Communications Inc. 5.500% 10/1/15 625 667
Deutsche Telekom International Finance BV 5.875% 8/20/13 10,700 11,548
Deutsche Telekom International Finance BV 4.875% 7/8/14 4,600 4,835
Deutsche Telekom International Finance BV 5.750% 3/23/16 7,225 7,715
Deutsche Telekom International Finance BV 6.750% 8/20/18 325 361
Deutsche Telekom International Finance BV 6.000% 7/8/19 6,600 7,024
Deutsche Telekom International Finance BV 8.750% 6/15/30 16,866 21,868
4 DirecTV Holdings LLC / DirecTV Financing Co. Inc. 4.750% 10/1/14 5,350 5,444
DirecTV Holdings LLC / DirecTV Financing Co. Inc. 7.625% 5/15/16 1,900 2,071
4 DirecTV Holdings LLC / DirecTV Financing Co. Inc. 5.875% 10/1/19 27,925 28,206
Embarq Corp. 7.082% 6/1/16 16,156 17,678
Embarq Corp. 7.995% 6/1/36 3,140 3,419
France Telecom SA 7.750% 3/1/11 17,510 18,829
France Telecom SA 4.375% 7/8/14 5,325 5,578
France Telecom SA 8.500% 3/1/31 16,125 21,425
Grupo Televisa SA 6.625% 3/18/25 3,175 3,138
Grupo Televisa SA 8.500% 3/11/32 550 644
4 Grupo Televisa SA 6.625% 1/15/40 2,175 2,133
GTE Corp. 8.750% 11/1/21 2,985 3,705
GTE Corp. 6.940% 4/15/28 3,570 3,703
Koninklijke KPN NV 8.375% 10/1/30 4,340 5,471
McGraw-Hill Cos. Inc. 5.375% 11/15/12 1,225 1,293
McGraw-Hill Cos. Inc. 5.900% 11/15/17 4,700 4,807
McGraw-Hill Cos. Inc. 6.550% 11/15/37 6,650 6,495
New Cingular Wireless Services Inc. 7.875% 3/1/11 11,969 12,870
New Cingular Wireless Services Inc. 8.125% 5/1/12 15,004 16,946
New Cingular Wireless Services Inc. 8.750% 3/1/31 3,805 4,920

31


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
News America Holdings Inc. 9.250% 2/1/13 151 175
News America Holdings Inc. 8.000% 10/17/16 3,475 4,115
News America Holdings Inc. 7.700% 10/30/25 700 754
News America Holdings Inc. 8.150% 10/17/36 2,100 2,353
News America Holdings Inc. 7.750% 12/1/45 1,350 1,524
News America Inc. 5.300% 12/15/14 4,075 4,418
News America Inc. 7.250% 5/18/18 150 169
News America Inc. 6.900% 3/1/19 2,500 2,799
News America Inc. 6.550% 3/15/33 11,340 11,773
News America Inc. 6.200% 12/15/34 14,041 13,978
News America Inc. 6.400% 12/15/35 14,085 14,473
4 News America Inc. 6.900% 8/15/39 4,900 5,337
Omnicom Group Inc. 5.900% 4/15/16 725 768
Pacific Bell Telephone Co. 7.125% 3/15/26 1,275 1,403
Qwest Corp. 7.875% 9/1/11 4,725 4,944
Qwest Corp. 8.875% 3/15/12 4,561 4,914
Qwest Corp. 7.500% 10/1/14 7,900 8,176
Qwest Corp. 6.500% 6/1/17 3,025 2,949
Qwest Corp. 7.500% 6/15/23 3,625 3,407
Qwest Corp. 6.875% 9/15/33 4,950 4,282
Reed Elsevier Capital Inc. 4.625% 6/15/12 1,050 1,085
Reed Elsevier Capital Inc. 7.750% 1/15/14 3,600 4,067
Reed Elsevier Capital Inc. 8.625% 1/15/19 3,550 4,349
Rogers Communications Inc. 7.250% 12/15/12 3,090 3,479
Rogers Communications Inc. 6.375% 3/1/14 11,825 13,073
Rogers Communications Inc. 5.500% 3/15/14 1,050 1,134
Rogers Communications Inc. 6.800% 8/15/18 31,100 34,775
Rogers Communications Inc. 7.500% 8/15/38 225 264
RR Donnelley & Sons Co. 4.950% 4/1/14 950 939
RR Donnelley & Sons Co. 5.500% 5/15/15 1,260 1,248
RR Donnelley & Sons Co. 8.600% 8/15/16 9,200 9,954
RR Donnelley & Sons Co. 6.125% 1/15/17 5,225 5,094
RR Donnelley & Sons Co. 11.250% 2/1/19 1,000 1,235
TCI Communications Inc. 8.750% 8/1/15 13,680 16,393
TCI Communications Inc. 7.875% 2/15/26 425 481
Telecom Italia Capital SA 4.875% 10/1/10 2,650 2,711
Telecom Italia Capital SA 6.200% 7/18/11 9,925 10,520
Telecom Italia Capital SA 5.250% 11/15/13 6,813 7,183
Telecom Italia Capital SA 6.175% 6/18/14 3,475 3,797
Telecom Italia Capital SA 4.950% 9/30/14 4,635 4,816
Telecom Italia Capital SA 5.250% 10/1/15 17,230 18,067
Telecom Italia Capital SA 6.999% 6/4/18 540 592
Telecom Italia Capital SA 7.175% 6/18/19 22,175 24,819
Telecom Italia Capital SA 6.375% 11/15/33 5,270 5,199
Telecom Italia Capital SA 6.000% 9/30/34 1,300 1,223
Telecom Italia Capital SA 7.200% 7/18/36 2,560 2,756
Telecom Italia Capital SA 7.721% 6/4/38 1,399 1,612
Telefonica Emisiones SAU 5.984% 6/20/11 7,483 7,936
Telefonica Emisiones SAU 5.855% 2/4/13 1,975 2,141
Telefonica Emisiones SAU 4.949% 1/15/15 7,350 7,913
Telefonica Emisiones SAU 6.421% 6/20/16 14,660 16,320
Telefonica Emisiones SAU 5.877% 7/15/19 5,150 5,514
Telefonica Emisiones SAU 7.045% 6/20/36 6,104 6,957
Telefonica Europe BV 7.750% 9/15/10 150 157
Telefonica Europe BV 8.250% 9/15/30 4,500 5,637
Telefonos de Mexico SAB de CV 5.500% 1/27/15 14,625 15,139
TELUS Corp. 8.000% 6/1/11 5,458 5,915
Thomson Reuters Corp. 6.200% 1/5/12 4,450 4,805
Thomson Reuters Corp. 5.950% 7/15/13 1,800 1,974
Thomson Reuters Corp. 5.700% 10/1/14 8,425 9,252
Thomson Reuters Corp. 6.500% 7/15/18 575 650
Thomson Reuters Corp. 4.700% 10/15/19 1,550 1,533
Thomson Reuters Corp. 5.500% 8/15/35 5,025 4,802
Time Warner Cable Inc. 5.400% 7/2/12 5,475 5,846

32


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Time Warner Cable Inc. 6.200% 7/1/13 7,150 7,819
Time Warner Cable Inc. 8.250% 2/14/14 3,625 4,228
Time Warner Cable Inc. 7.500% 4/1/14 17,050 19,651
Time Warner Cable Inc. 3.500% 2/1/15 2,475 2,443
Time Warner Cable Inc. 5.850% 5/1/17 16,870 17,700
Time Warner Cable Inc. 6.750% 7/1/18 18,755 20,679
Time Warner Cable Inc. 8.750% 2/14/19 5,925 7,224
Time Warner Cable Inc. 8.250% 4/1/19 8,525 10,145
Time Warner Cable Inc. 5.000% 2/1/20 5,150 5,008
Time Warner Cable Inc. 6.550% 5/1/37 7,011 7,159
Time Warner Cable Inc. 7.300% 7/1/38 95 105
Time Warner Cable Inc. 6.750% 6/15/39 15,775 16,534
Time Warner Entertainment Co. LP 10.150% 5/1/12 875 1,001
Time Warner Entertainment Co. LP 8.875% 10/1/12 650 747
Time Warner Entertainment Co. LP 8.375% 3/15/23 2,190 2,618
Time Warner Entertainment Co. LP 8.375% 7/15/33 6,835 8,149
United States Cellular Corp. 6.700% 12/15/33 2,950 2,886
Verizon Communications Inc. 5.350% 2/15/11 6,250 6,533
Verizon Communications Inc. 4.350% 2/15/13 1,350 1,417
Verizon Communications Inc. 5.250% 4/15/13 5,900 6,395
Verizon Communications Inc. 5.550% 2/15/16 8,900 9,523
Verizon Communications Inc. 5.500% 2/15/18 16,900 17,586
Verizon Communications Inc. 8.750% 11/1/18 2,350 2,975
Verizon Communications Inc. 6.350% 4/1/19 41,175 45,606
Verizon Communications Inc. 5.850% 9/15/35 13,500 13,123
Verizon Communications Inc. 6.250% 4/1/37 2,050 2,094
Verizon Communications Inc. 6.400% 2/15/38 1,100 1,162
Verizon Communications Inc. 6.900% 4/15/38 7,175 7,958
Verizon Communications Inc. 8.950% 3/1/39 10,225 13,932
Verizon Communications Inc. 7.350% 4/1/39 14,675 17,082
Verizon Global Funding Corp. 7.250% 12/1/10 6,250 6,612
Verizon Global Funding Corp. 6.875% 6/15/12 14,575 16,195
Verizon Global Funding Corp. 7.375% 9/1/12 6,275 7,085
Verizon Global Funding Corp. 4.375% 6/1/13 860 908
Verizon Global Funding Corp. 7.750% 12/1/30 5,561 6,573
Verizon Maryland Inc. 6.125% 3/1/12 400 426
Verizon Maryland Inc. 5.125% 6/15/33 350 273
Verizon New England Inc. 6.500% 9/15/11 3,620 3,888
Verizon New England Inc. 7.875% 11/15/29 575 626
Verizon New Jersey Inc. 5.875% 1/17/12 6,115 6,528
Verizon New York Inc. 6.875% 4/1/12 2,600 2,826
Verizon New York Inc. 7.375% 4/1/32 2,100 2,216
Verizon Pennsylvania Inc. 5.650% 11/15/11 8,700 9,245
Verizon Virginia Inc. 4.625% 3/15/13 5,875 6,113
Vodafone Group PLC 5.350% 2/27/12 1,250 1,335
Vodafone Group PLC 5.000% 12/16/13 7,350 7,777
Vodafone Group PLC 4.150% 6/10/14 1,400 1,447
Vodafone Group PLC 5.375% 1/30/15 3,625 3,897
Vodafone Group PLC 5.000% 9/15/15 1,600 1,688
Vodafone Group PLC 5.750% 3/15/16 5,450 5,880
Vodafone Group PLC 5.625% 2/27/17 12,756 13,610
Vodafone Group PLC 5.450% 6/10/19 19,375 20,043
Vodafone Group PLC 7.875% 2/15/30 3,850 4,617
Vodafone Group PLC 6.250% 11/30/32 7,225 7,272
Vodafone Group PLC 6.150% 2/27/37 3,125 3,236
Washington Post Co. 7.250% 2/1/19 2,425 2,664
WPP Finance UK 5.875% 6/15/14 6,700 6,797
WPP Finance UK 8.000% 9/15/14 2,150 2,413
Consumer Cyclical (1.0%)        
AutoZone Inc. 5.750% 1/15/15 6,000 6,436
Best Buy Co. Inc. 6.750% 7/15/13 9,475 10,411
Costco Wholesale Corp. 5.500% 3/15/17 11,175 12,006
CVS Caremark Corp. 5.750% 8/15/11 1,600 1,702

33


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
CVS Caremark Corp. 4.875% 9/15/14 2,125 2,252
CVS Caremark Corp. 6.125% 8/15/16 2,125 2,291
CVS Caremark Corp. 5.750% 6/1/17 2,030 2,138
CVS Caremark Corp. 6.600% 3/15/19 11,700 12,762
CVS Caremark Corp. 6.250% 6/1/27 23,475 23,885
3 CVS Caremark Corp. 6.302% 6/1/37 4,175 3,588
CVS Caremark Corp. 6.125% 9/15/39 2,375 2,339
Daimler Finance North America LLC 5.875% 3/15/11 11,185 11,669
Daimler Finance North America LLC 5.750% 9/8/11 10,845 11,464
Daimler Finance North America LLC 7.300% 1/15/12 18,016 19,574
Daimler Finance North America LLC 6.500% 11/15/13 10,600 11,632
Daimler Finance North America LLC 8.500% 1/18/31 4,480 5,449
Darden Restaurants Inc. 5.625% 10/15/12 3,375 3,602
Darden Restaurants Inc. 6.200% 10/15/17 8,605 9,100
Darden Restaurants Inc. 6.800% 10/15/37 2,575 2,661
Historic TW Inc. 9.125% 1/15/13 625 727
Historic TW Inc. 9.150% 2/1/23 9,425 11,519
Historic TW Inc. 6.625% 5/15/29 7,400 7,764
Home Depot Inc. 4.625% 8/15/10 7,700 7,883
Home Depot Inc. 5.200% 3/1/11 1,350 1,410
Home Depot Inc. 5.250% 12/16/13 10,225 10,943
Home Depot Inc. 5.400% 3/1/16 3,196 3,334
Home Depot Inc. 5.875% 12/16/36 7,250 7,002
Johnson Controls Inc. 5.250% 1/15/11 3,025 3,154
Johnson Controls Inc. 6.000% 1/15/36 825 708
Kohl's Corp. 6.250% 12/15/17 2,150 2,371
Kohl's Corp. 6.000% 1/15/33 625 634
Kohl's Corp. 6.875% 12/15/37 1,925 2,185
Lowe's Cos. Inc. 5.600% 9/15/12 2,750 3,010
Lowe's Cos. Inc. 5.400% 10/15/16 11,925 12,806
Lowe's Cos. Inc. 6.100% 9/15/17 2,050 2,270
Lowe's Cos. Inc. 6.875% 2/15/28 360 404
Lowe's Cos. Inc. 6.500% 3/15/29 3,676 4,046
Lowe's Cos. Inc. 5.800% 10/15/36 6,125 6,263
Marriott International Inc 4.625% 6/15/12 3,075 3,111
Marriott International Inc. 5.625% 2/15/13 2,200 2,266
Marriott International Inc. 6.200% 6/15/16 1,325 1,347
Marriott International Inc. 6.375% 6/15/17 1,575 1,625
McDonald's Corp. 6.000% 4/15/11 2,635 2,797
McDonald's Corp. 5.300% 3/15/17 800 862
McDonald's Corp. 5.800% 10/15/17 5,250 5,825
McDonald's Corp. 5.350% 3/1/18 4,900 5,272
McDonald's Corp. 5.000% 2/1/19 3,000 3,175
McDonald's Corp. 6.300% 10/15/37 1,950 2,136
McDonald's Corp. 6.300% 3/1/38 5,250 5,787
McDonald's Corp. 5.700% 2/1/39 2,200 2,258
MDC Holdings Inc. 5.500% 5/15/13 2,875 2,887
Nordstrom Inc. 6.750% 6/1/14 1,675 1,857
Nordstrom Inc. 6.250% 1/15/18 1,875 2,036
Nordstrom Inc. 6.950% 3/15/28 1,000 1,083
Nordstrom Inc. 7.000% 1/15/38 925 1,025
PACCAR Financial Corp. 1.950% 12/17/12 4,925 4,866
PACCAR Inc. 6.875% 2/15/14 3,375 3,830
Staples Inc. 7.750% 4/1/11 4,125 4,432
Staples Inc. 9.750% 1/15/14 18,050 22,021
Target Corp. 6.350% 1/15/11 2,120 2,239
Target Corp. 5.875% 3/1/12 4,825 5,233
Target Corp. 4.000% 6/15/13 1,520 1,580
Target Corp. 5.875% 7/15/16 11,850 13,017
Target Corp. 5.375% 5/1/17 6,475 6,976
Target Corp. 6.000% 1/15/18 7,150 7,872
Target Corp. 7.000% 7/15/31 2,675 3,054
Target Corp. 6.350% 11/1/32 5,850 6,265
Target Corp. 6.500% 10/15/37 6,275 6,937

34


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Target Corp. 7.000% 1/15/38 176 205
Time Warner Cos. Inc. 7.570% 2/1/24 1,490 1,623
Time Warner Inc. 6.750% 4/15/11 7,100 7,532
Time Warner Inc. 5.500% 11/15/11 5,850 6,211
Time Warner Inc. 6.875% 5/1/12 5,500 6,023
Time Warner Inc. 5.875% 11/15/16 9,225 9,945
Time Warner Inc. 7.625% 4/15/31 8,350 9,761
Time Warner Inc. 7.700% 5/1/32 3,926 4,587
Time Warner Inc. 6.500% 11/15/36 6,750 7,071
TJX Cos. Inc. 6.950% 4/15/19 8,260 9,551
Toll Brothers Finance Corp. 6.875% 11/15/12 43 45
Toll Brothers Finance Corp. 5.150% 5/15/15 3,050 2,907
Toll Brothers Finance Corp. 6.750% 11/1/19 4,025 3,874
Toyota Motor Credit Corp. 4.350% 12/15/10 4,325 4,476
Toyota Motor Credit Corp. 5.450% 5/18/11 2,825 2,984
VF Corp. 5.950% 11/1/17 2,500 2,696
VF Corp. 6.450% 11/1/37 2,225 2,333
Viacom Inc. 4.375% 9/15/14 6,275 6,446
Viacom Inc. 6.250% 4/30/16 823 902
Viacom Inc. 6.125% 10/5/17 1,775 1,915
Viacom Inc. 5.625% 9/15/19 13,110 13,592
Viacom Inc. 6.875% 4/30/36 490 520
Wal-Mart Stores Inc. 4.125% 2/15/11 19,250 19,988
Wal-Mart Stores Inc. 4.550% 5/1/13 7,621 8,102
Wal-Mart Stores Inc. 7.250% 6/1/13 600 690
Wal-Mart Stores Inc. 3.200% 5/15/14 19,725 20,043
Wal-Mart Stores Inc. 4.500% 7/1/15 850 907
Wal-Mart Stores Inc. 5.375% 4/5/17 1,925 2,083
Wal-Mart Stores Inc. 5.800% 2/15/18 16,875 18,939
Wal-Mart Stores Inc. 5.875% 4/5/27 16,925 18,244
Wal-Mart Stores Inc. 7.550% 2/15/30 11,270 14,082
Wal-Mart Stores Inc. 5.250% 9/1/35 4,350 4,328
Wal-Mart Stores Inc. 6.500% 8/15/37 16,711 19,212
Wal-Mart Stores Inc. 6.200% 4/15/38 3,350 3,718
Walgreen Co. 4.875% 8/1/13 11,525 12,330
Walgreen Co. 5.250% 1/15/19 3,225 3,431
Walt Disney Co. 5.700% 7/15/11 13,575 14,515
Walt Disney Co. 6.375% 3/1/12 925 1,016
Walt Disney Co. 4.700% 12/1/12 575 621
Walt Disney Co. 4.500% 12/15/13 7,800 8,284
Walt Disney Co. 5.625% 9/15/16 5,700 6,195
Walt Disney Co. 5.875% 12/15/17 4,950 5,340
Walt Disney Co. 5.500% 3/15/19 1,400 1,491
Walt Disney Co. 7.000% 3/1/32 1,025 1,192
Western Union Co. 5.400% 11/17/11 3,825 4,084
Western Union Co. 6.500% 2/26/14 2,225 2,496
Western Union Co. 5.930% 10/1/16 5,275 5,726
Western Union Co. 6.200% 11/17/36 2,625 2,644
Yum! Brands Inc. 8.875% 4/15/11 2,725 2,957
Yum! Brands Inc. 7.700% 7/1/12 2,425 2,718
Yum! Brands Inc. 6.250% 4/15/16 3,525 3,766
Yum! Brands Inc. 6.250% 3/15/18 125 135
Yum! Brands Inc. 6.875% 11/15/37 8,100 8,780
Consumer Noncyclical (2.5%)        
Abbott Laboratories 3.750% 3/15/11 5,075 5,237
Abbott Laboratories 5.600% 5/15/11 7,000 7,437
Abbott Laboratories 5.150% 11/30/12 2,725 2,984
Abbott Laboratories 4.350% 3/15/14 3,250 3,434
Abbott Laboratories 5.875% 5/15/16 15,361 17,039
Abbott Laboratories 5.600% 11/30/17 14,975 16,364
Abbott Laboratories 5.125% 4/1/19 2,520 2,640
Abbott Laboratories 6.150% 11/30/37 4,875 5,262
Abbott Laboratories 6.000% 4/1/39 1,850 1,971

35


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Allergan Inc. 5.750% 4/1/16 1,050 1,133
Altria Group Inc. 8.500% 11/10/13 44,775 51,844
Altria Group Inc. 9.700% 11/10/18 6,905 8,559
Altria Group Inc. 9.250% 8/6/19 11,600 14,130
Altria Group Inc. 9.950% 11/10/38 4,925 6,497
Altria Group Inc. 10.200% 2/6/39 14,100 18,863
AmerisourceBergen Corp. 5.625% 9/15/12 950 1,021
AmerisourceBergen Corp. 5.875% 9/15/15 5,781 6,308
AmerisourceBergen Corp. 4.875% 11/15/19 4,000 3,965
Amgen Inc. 4.850% 11/18/14 4,700 5,061
Amgen Inc. 5.850% 6/1/17 7,275 7,975
Amgen Inc. 5.700% 2/1/19 5,725 6,176
Amgen Inc. 6.375% 6/1/37 3,550 3,882
Amgen Inc. 6.900% 6/1/38 9,275 10,794
Amgen Inc. 6.400% 2/1/39 7,185 7,900
Anheuser-Busch Cos. Inc. 6.000% 4/15/11 1,175 1,241
Anheuser-Busch Cos. Inc. 4.375% 1/15/13 4,175 4,315
Anheuser-Busch Cos. Inc. 5.600% 3/1/17 5,000 5,173
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 10,375 10,621
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 2,075 2,224
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 5,420 5,183
Anheuser-Busch Cos. Inc. 6.450% 9/1/37 350 366
4 Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 6,500 6,553
4 Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 10,000 10,125
4 Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 18,000 18,298
4 Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 1,200 1,252
Archer-Daniels-Midland Co. 8.375% 4/15/17 525 642
Archer-Daniels-Midland Co. 5.450% 3/15/18 8,400 8,961
Archer-Daniels-Midland Co. 7.000% 2/1/31 3,050 3,518
Archer-Daniels-Midland Co. 5.935% 10/1/32 3,675 3,730
Archer-Daniels-Midland Co. 5.375% 9/15/35 4,125 3,991
Archer-Daniels-Midland Co. 6.450% 1/15/38 1,525 1,697
AstraZeneca PLC 5.400% 9/15/12 18,425 20,137
AstraZeneca PLC 5.400% 6/1/14 3,100 3,400
AstraZeneca PLC 5.900% 9/15/17 11,975 13,270
AstraZeneca PLC 6.450% 9/15/37 14,186 15,903
Baxter FinCo BV 4.750% 10/15/10 5,400 5,567
Baxter International Inc. 4.000% 3/1/14 1,350 1,403
Baxter International Inc. 5.900% 9/1/16 2,050 2,277
Baxter International Inc. 6.250% 12/1/37 10,925 11,863
Becton Dickinson and Co. 5.000% 5/15/19 1,075 1,113
Becton Dickinson and Co. 6.000% 5/15/39 1,000 1,067
Biogen Idec Inc. 6.000% 3/1/13 7,675 8,261
Biogen Idec Inc. 6.875% 3/1/18 11,650 12,425
Bottling Group LLC 4.625% 11/15/12 610 657
Bottling Group LLC 5.000% 11/15/13 10,000 10,805
Bottling Group LLC 6.950% 3/15/14 29,100 33,726
Bottling Group LLC 5.500% 4/1/16 8,750 9,459
Bristol-Myers Squibb Co. 5.250% 8/15/13 250 272
Bristol-Myers Squibb Co. 5.450% 5/1/18 2,100 2,265
Bristol-Myers Squibb Co. 7.150% 6/15/23 400 480
Bristol-Myers Squibb Co. 6.800% 11/15/26 150 171
Bristol-Myers Squibb Co. 5.875% 11/15/36 14,336 15,032
Bristol-Myers Squibb Co. 6.125% 5/1/38 2,200 2,398
Bristol-Myers Squibb Co. 6.875% 8/1/97 955 1,042
Bunge Ltd. Finance Corp. 5.350% 4/15/14 1,650 1,685
Bunge Ltd. Finance Corp. 5.100% 7/15/15 1,525 1,511
Bunge Ltd. Finance Corp. 8.500% 6/15/19 600 682
Campbell Soup Co. 6.750% 2/15/11 5,125 5,462
Cardinal Health Inc. 5.650% 6/15/12 51 54
Cardinal Health Inc. 4.000% 6/15/15 550 537
4 CareFusion Corp. 4.125% 8/1/12 925 957
4 CareFusion Corp. 5.125% 8/1/14 1,575 1,656
4 CareFusion Corp. 6.375% 8/1/19 4,140 4,475

36


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Cia de Bebidas das Americas 10.500% 12/15/11 3,205 3,694
Clorox Co. 4.200% 1/15/10 1,625 1,626
Clorox Co. 5.000% 1/15/15 1,725 1,828
Clorox Co. 3.550% 11/1/15 1,600 1,593
Clorox Co. 5.950% 10/15/17 3,000 3,244
Coca-Cola Co. 3.625% 3/15/14 5,675 5,872
Coca-Cola Co. 5.350% 11/15/17 7,150 7,761
Coca-Cola Co. 4.875% 3/15/19 12,025 12,575
Coca-Cola Enterprises Inc. 5.000% 8/15/13 8,475 9,146
Coca-Cola Enterprises Inc. 7.375% 3/3/14 10,725 12,503
Coca-Cola Enterprises Inc. 4.500% 8/15/19 450 452
Coca-Cola Enterprises Inc. 8.500% 2/1/22 11,661 14,924
Coca-Cola Enterprises Inc. 7.000% 10/1/26 2,900 3,373
Coca-Cola Enterprises Inc. 6.950% 11/15/26 2,595 2,945
Coca-Cola Enterprises Inc. 6.750% 9/15/28 1,250 1,417
Coca-Cola HBC Finance BV 5.125% 9/17/13 945 1,012
ConAgra Foods Inc. 6.750% 9/15/11 74 80
ConAgra Foods Inc. 5.875% 4/15/14 1,040 1,133
ConAgra Foods Inc. 5.819% 6/15/17 951 994
ConAgra Foods Inc. 7.000% 4/15/19 500 566
ConAgra Foods Inc. 9.750% 3/1/21 129 165
ConAgra Foods Inc. 7.125% 10/1/26 800 867
ConAgra Foods Inc. 7.000% 10/1/28 675 718
ConAgra Foods Inc. 8.250% 9/15/30 2,750 3,291
Covidien International Finance SA 5.450% 10/15/12 2,600 2,824
Covidien International Finance SA 6.000% 10/15/17 4,725 5,093
Covidien International Finance SA 6.550% 10/15/37 6,875 7,689
CR Bard Inc. 6.700% 12/1/26 4,925 5,242
Delhaize America Inc. 9.000% 4/15/31 2,175 2,786
Delhaize Group SA 5.875% 2/1/14 2,175 2,328
Diageo Capital PLC 5.200% 1/30/13 8,125 8,700
Diageo Capital PLC 5.500% 9/30/16 1,275 1,357
Diageo Capital PLC 5.750% 10/23/17 6,625 7,147
Diageo Capital PLC 5.875% 9/30/36 875 910
Diageo Finance BV 5.500% 4/1/13 3,800 4,087
Diageo Finance BV 3.250% 1/15/15 375 373
Diageo Finance BV 5.300% 10/28/15 6,331 6,837
Diageo Investment Corp. 9.000% 8/15/11 400 445
Diageo Investment Corp. 7.450% 4/15/35 875 1,047
Dr Pepper Snapple Group Inc. 1.700% 12/21/11 1,850 1,848
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 1,850 1,854
Dr Pepper Snapple Group Inc. 6.120% 5/1/13 1,675 1,833
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 5,575 6,292
Dr Pepper Snapple Group Inc. 7.450% 5/1/38 900 1,061
Eli Lilly & Co. 3.550% 3/6/12 3,725 3,877
Eli Lilly & Co. 6.000% 3/15/12 1,450 1,584
Eli Lilly & Co. 4.200% 3/6/14 2,125 2,237
Eli Lilly & Co. 5.200% 3/15/17 8,200 8,695
Eli Lilly & Co. 5.500% 3/15/27 5,250 5,305
Eli Lilly & Co. 5.550% 3/15/37 886 896
Eli Lilly & Co. 5.950% 11/15/37 2,425 2,574
Estee Lauder Cos. Inc. 6.000% 5/15/37 725 703
Express Scripts Inc. 5.250% 6/15/12 7,075 7,529
Express Scripts Inc. 6.250% 6/15/14 9,350 10,244
Express Scripts Inc. 7.250% 6/15/19 1,825 2,081
Fortune Brands Inc. 5.125% 1/15/11 2,875 2,960
Fortune Brands Inc. 3.000% 6/1/12 650 645
Fortune Brands Inc. 4.875% 12/1/13 1,000 1,025
Fortune Brands Inc. 6.375% 6/15/14 4,140 4,426
Fortune Brands Inc. 5.375% 1/15/16 8,650 8,690
Fortune Brands Inc. 5.875% 1/15/36 2,875 2,464
Genentech Inc. 4.750% 7/15/15 2,095 2,238
Genentech Inc. 5.250% 7/15/35 3,250 3,111
General Mills Inc. 6.000% 2/15/12 8,982 9,722

37


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
General Mills Inc. 5.650% 9/10/12 2,350 2,561
General Mills Inc. 5.250% 8/15/13 3,125 3,377
General Mills Inc. 5.200% 3/17/15 700 751
General Mills Inc. 5.700% 2/15/17 12,000 13,029
General Mills Inc. 5.650% 2/15/19 14,275 15,230
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 10,000 10,684
GlaxoSmithKline Capital Inc. 4.375% 4/15/14 9,400 9,921
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 16,400 17,669
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 3,500 3,358
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 16,700 18,565
Hasbro Inc. 6.300% 9/15/17 5,450 5,759
Hershey Co. 5.450% 9/1/16 1,225 1,286
HJ Heinz Co. 5.350% 7/15/13 2,075 2,236
HJ Heinz Finance Co. 6.625% 7/15/11 5,625 6,025
HJ Heinz Finance Co. 6.750% 3/15/32 2,950 3,091
Hospira Inc. 5.900% 6/15/14 1,500 1,627
Hospira Inc. 6.400% 5/15/15 775 860
Hospira Inc. 6.050% 3/30/17 150 157
Johnson & Johnson 5.550% 8/15/17 2,975 3,288
Johnson & Johnson 5.150% 7/15/18 1,575 1,693
Johnson & Johnson 6.950% 9/1/29 4,350 5,240
Johnson & Johnson 4.950% 5/15/33 5,325 5,191
Johnson & Johnson 5.950% 8/15/37 5,125 5,672
Johnson & Johnson 5.850% 7/15/38 1,500 1,624
Kellogg Co. 5.125% 12/3/12 5,435 5,933
Kellogg Co. 4.250% 3/6/13 4,050 4,282
Kellogg Co. 4.450% 5/30/16 1,025 1,063
Kellogg Co. 4.150% 11/15/19 5,500 5,375
Kellogg Co. 7.450% 4/1/31 3,840 4,674
Kimberly-Clark Corp. 5.625% 2/15/12 2,425 2,601
Kimberly-Clark Corp. 4.875% 8/15/15 4,875 5,256
Kimberly-Clark Corp. 6.125% 8/1/17 8,125 8,993
Kimberly-Clark Corp. 6.250% 7/15/18 175 197
Kimberly-Clark Corp. 6.625% 8/1/37 1,275 1,462
Koninklijke Philips Electronics NV 4.625% 3/11/13 3,700 3,877
Koninklijke Philips Electronics NV 5.750% 3/11/18 9,625 10,226
Koninklijke Philips Electronics NV 6.875% 3/11/38 3,800 4,314
Kraft Foods Inc. 5.625% 11/1/11 36,175 38,493
Kraft Foods Inc. 6.250% 6/1/12 4,365 4,706
Kraft Foods Inc. 5.250% 10/1/13 175 185
Kraft Foods Inc. 6.500% 8/11/17 11,673 12,663
Kraft Foods Inc. 6.125% 2/1/18 300 317
Kraft Foods Inc. 6.125% 8/23/18 6,825 7,241
Kraft Foods Inc. 6.500% 11/1/31 7,475 7,530
Kraft Foods Inc. 7.000% 8/11/37 9,300 9,910
Kraft Foods Inc. 6.875% 2/1/38 6,125 6,423
Kraft Foods Inc. 6.875% 1/26/39 1,150 1,208
Kroger Co. 6.800% 4/1/11 2,075 2,204
Kroger Co. 6.750% 4/15/12 8,275 9,063
Kroger Co. 6.200% 6/15/12 5,950 6,480
Kroger Co. 5.500% 2/1/13 1,686 1,800
Kroger Co. 5.000% 4/15/13 3,700 3,913
Kroger Co. 4.950% 1/15/15 1,725 1,816
Kroger Co. 6.400% 8/15/17 830 909
Kroger Co. 6.800% 12/15/18 2,175 2,432
Kroger Co. 6.150% 1/15/20 15,675 16,780
Kroger Co. 7.700% 6/1/29 7,200 8,422
Kroger Co. 8.000% 9/15/29 925 1,109
Kroger Co. 7.500% 4/1/31 2,395 2,780
Kroger Co. 6.900% 4/15/38 2,300 2,568
Laboratory Corp. of America Holdings 5.500% 2/1/13 1,540 1,603
Laboratory Corp. of America Holdings 5.625% 12/15/15 2,350 2,457
Lorillard Tobacco Co. 8.125% 6/23/19 15,600 17,154
McKesson Corp. 7.750% 2/1/12 550 608

38


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
McKesson Corp. 5.250% 3/1/13 9,550 10,141
McKesson Corp. 6.500% 2/15/14 1,650 1,836
4 Mead Johnson Nutrition Co. 3.500% 11/1/14 6,750 6,701
4 Mead Johnson Nutrition Co. 4.900% 11/1/19 2,775 2,718
4 Mead Johnson Nutrition Co. 5.900% 11/1/39 2,650 2,583
Medco Health Solutions Inc. 6.125% 3/15/13 6,450 6,918
Medco Health Solutions Inc. 7.250% 8/15/13 475 527
Medco Health Solutions Inc. 7.125% 3/15/18 8,000 9,001
Medtronic Inc. 4.500% 3/15/14 2,225 2,366
Medtronic Inc. 4.750% 9/15/15 3,700 3,989
Medtronic Inc. 5.600% 3/15/19 1,150 1,241
Medtronic Inc. 6.500% 3/15/39 2,050 2,302
Merck & Co. Inc. 1.875% 6/30/11 6,225 6,309
Merck & Co. Inc. 5.125% 11/15/11 2,425 2,613
Merck & Co. Inc. 4.375% 2/15/13 3,675 3,906
Merck & Co. Inc. 5.300% 12/1/13 13,100 14,426
Merck & Co. Inc. 4.750% 3/1/15 11,275 12,174
Merck & Co. Inc. 4.000% 6/30/15 1,900 1,992
Merck & Co. Inc. 6.000% 9/15/17 825 923
Merck & Co. Inc. 5.000% 6/30/19 3,725 3,907
Merck & Co. Inc. 6.400% 3/1/28 3,355 3,673
Merck & Co. Inc. 5.950% 12/1/28 2,050 2,184
Merck & Co. Inc. 6.500% 12/1/33 3,928 4,444
Merck & Co. Inc. 5.750% 11/15/36 975 1,014
Merck & Co. Inc. 6.550% 9/15/37 6,550 7,516
Merck & Co. Inc. 5.850% 6/30/39 1,850 1,973
Novant Health Inc. 5.850% 11/1/19 5,800 5,762
Novartis Capital Corp. 4.125% 2/10/14 16,675 17,488
Novartis Securities Investment Ltd. 5.125% 2/10/19 15,800 16,486
Pepsi Bottling Group Inc. 7.000% 3/1/29 99 115
PepsiAmericas Inc. 5.750% 7/31/12 2,500 2,723
PepsiAmericas Inc. 4.375% 2/15/14 775 810
PepsiAmericas Inc. 4.875% 1/15/15 275 292
PepsiAmericas Inc. 5.000% 5/15/17 3,550 3,731
PepsiCo Inc. 5.150% 5/15/12 2,125 2,294
PepsiCo Inc. 4.650% 2/15/13 11,750 12,591
PepsiCo Inc. 3.750% 3/1/14 8,000 8,301
PepsiCo Inc. 5.000% 6/1/18 15,500 16,183
PepsiCo Inc. 7.900% 11/1/18 5,150 6,313
Pfizer Inc. 4.450% 3/15/12 17,500 18,528
Pfizer Inc. 5.350% 3/15/15 32,350 35,454
Pfizer Inc. 6.200% 3/15/19 20,960 23,338
Pfizer Inc. 7.200% 3/15/39 23,275 28,654
Pharmacia Corp. 6.500% 12/1/18 550 621
Pharmacia Corp. 6.600% 12/1/28 1,425 1,584
Philip Morris International Inc. 4.875% 5/16/13 8,300 8,825
Philip Morris International Inc. 6.875% 3/17/14 10,550 12,001
Philip Morris International Inc. 5.650% 5/16/18 9,375 9,861
Philip Morris International Inc. 6.375% 5/16/38 7,150 7,734
3 Procter & Gamble - Esop 9.360% 1/1/21 9,545 11,928
Procter & Gamble Co. 4.600% 1/15/14 6,900 7,388
Procter & Gamble Co. 4.950% 8/15/14 1,275 1,387
Procter & Gamble Co. 3.500% 2/15/15 7,250 7,419
Procter & Gamble Co. 4.850% 12/15/15 1,250 1,368
Procter & Gamble Co. 4.700% 2/15/19 3,625 3,712
Procter & Gamble Co. 6.450% 1/15/26 2,875 3,247
Procter & Gamble Co. 5.550% 3/5/37 10,561 10,868
Quest Diagnostics Inc. 5.450% 11/1/15 6,375 6,901
Quest Diagnostics Inc. 6.400% 7/1/17 75 83
Quest Diagnostics Inc. 6.950% 7/1/37 3,175 3,539
Reynolds American Inc. 7.250% 6/1/12 3,225 3,507
Reynolds American Inc. 7.250% 6/1/13 6,575 7,200
Reynolds American Inc. 7.625% 6/1/16 3,150 3,426
Reynolds American Inc. 6.750% 6/15/17 4,561 4,698

39


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Reynolds American Inc. 7.250% 6/15/37 3,650 3,677
Safeway Inc. 6.500% 3/1/11 6,550 6,911
Safeway Inc. 5.800% 8/15/12 2,600 2,824
Safeway Inc. 6.250% 3/15/14 6,200 6,775
Safeway Inc. 6.350% 8/15/17 600 653
Safeway Inc. 5.000% 8/15/19 1,350 1,346
Safeway Inc. 7.250% 2/1/31 9,522 10,890
Sara Lee Corp. 6.250% 9/15/11 4,725 5,074
Sara Lee Corp. 6.125% 11/1/32 325 311
St. Jude Medical Inc. 3.750% 7/15/14 9,800 9,957
St. Jude Medical Inc. 4.875% 7/15/19 1,450 1,467
Sysco Corp. 4.200% 2/12/13 1,700 1,785
Sysco Corp. 5.250% 2/12/18 2,775 2,937
Sysco Corp. 5.375% 9/21/35 3,675 3,654
Teva Pharmaceutical Finance Co. LLC 5.550% 2/1/16 450 475
Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 9,325 9,526
4 Thermo Fisher Scientific Inc. 2.150% 12/28/12 2,200 2,187
4 Thermo Fisher Scientific Inc. 3.250% 11/18/14 3,575 3,538
Unilever Capital Corp. 7.125% 11/1/10 8,525 8,976
Unilever Capital Corp. 3.650% 2/15/14 5,300 5,456
Unilever Capital Corp. 4.800% 2/15/19 1,375 1,412
Unilever Capital Corp. 5.900% 11/15/32 73 77
UST Inc. 6.625% 7/15/12 600 650
UST Inc. 5.750% 3/1/18 2,475 2,430
Watson Pharmaceuticals Inc. 5.000% 8/15/14 4,000 4,093
Whirlpool Corp. 5.500% 3/1/13 11,200 11,551
Wyeth 6.950% 3/15/11 1,925 2,063
Wyeth 5.500% 3/15/13 15,725 17,076
Wyeth 5.500% 2/1/14 9,686 10,594
Wyeth 5.500% 2/15/16 2,400 2,585
Wyeth 5.450% 4/1/17 925 989
Wyeth 6.450% 2/1/24 1,425 1,592
Wyeth 6.500% 2/1/34 2,675 2,940
Wyeth 6.000% 2/15/36 4,625 4,802
Wyeth 5.950% 4/1/37 11,645 12,201
Zimmer Holdings Inc. 4.625% 11/30/19 1,075 1,078
Zimmer Holdings Inc. 5.750% 11/30/39 2,650 2,618
Energy (1.4%)        
Alberta Energy Co. Ltd. 7.375% 11/1/31 775 864
Anadarko Finance Co. 6.750% 5/1/11 2,500 2,654
Anadarko Finance Co. 7.500% 5/1/31 785 881
Anadarko Petroleum Corp. 7.625% 3/15/14 25,325 29,061
Anadarko Petroleum Corp. 5.750% 6/15/14 2,050 2,218
Anadarko Petroleum Corp. 5.950% 9/15/16 5,171 5,551
Anadarko Petroleum Corp. 6.950% 6/15/19 675 766
Anadarko Petroleum Corp. 6.450% 9/15/36 12,870 13,397
Anadarko Petroleum Corp. 7.950% 6/15/39 3,650 4,489
Apache Corp. 6.250% 4/15/12 1,275 1,393
Apache Corp. 5.250% 4/15/13 1,674 1,791
Apache Corp. 6.000% 9/15/13 5,700 6,265
Apache Corp. 5.625% 1/15/17 850 910
Apache Corp. 6.900% 9/15/18 6,575 7,706
Apache Corp. 6.000% 1/15/37 6,400 6,768
Apache Finance Canada Corp. 7.750% 12/15/29 1,025 1,246
Baker Hughes Inc. 7.500% 11/15/18 1,175 1,408
Baker Hughes Inc. 6.875% 1/15/29 625 695
BJ Services Co. 6.000% 6/1/18 2,775 2,996
BP Capital Markets PLC 1.550% 8/11/11 175 176
BP Capital Markets PLC 3.125% 3/10/12 13,025 13,414
BP Capital Markets PLC 5.250% 11/7/13 11,650 12,696
BP Capital Markets PLC 3.625% 5/8/14 4,225 4,319
BP Capital Markets PLC 3.875% 3/10/15 11,275 11,642
BP Capital Markets PLC 4.750% 3/10/19 4,725 4,817

40


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Burlington Resources Finance Co. 6.680% 2/15/11 3,350 3,557
Burlington Resources Finance Co. 6.500% 12/1/11 3,125 3,417
Burlington Resources Finance Co. 7.200% 8/15/31 650 731
Burlington Resources Finance Co. 7.400% 12/1/31 3,625 4,149
Cameron International Corp. 6.375% 7/15/18 975 1,027
Cameron International Corp. 7.000% 7/15/38 100 106
Canadian Natural Resources Ltd. 5.450% 10/1/12 4,800 5,128
Canadian Natural Resources Ltd. 5.150% 2/1/13 1,450 1,533
Canadian Natural Resources Ltd. 4.900% 12/1/14 4,325 4,549
Canadian Natural Resources Ltd. 6.000% 8/15/16 4,225 4,475
Canadian Natural Resources Ltd. 5.700% 5/15/17 301 321
Canadian Natural Resources Ltd. 7.200% 1/15/32 4,225 4,764
Canadian Natural Resources Ltd. 6.450% 6/30/33 5,440 5,651
Canadian Natural Resources Ltd. 6.500% 2/15/37 7,425 7,831
Canadian Natural Resources Ltd. 6.250% 3/15/38 1,400 1,446
Canadian Natural Resources Ltd. 6.750% 2/1/39 900 994
4 Cenovus Energy Inc. 4.500% 9/15/14 5,575 5,721
4 Cenovus Energy Inc. 5.700% 10/15/19 9,050 9,159
4 Cenovus Energy Inc. 6.750% 11/15/39 26,925 28,367
Chevron Corp. 3.450% 3/3/12 6,950 7,244
Chevron Corp. 3.950% 3/3/14 10,665 11,214
Chevron Corp. 4.950% 3/3/19 18,200 19,176
Conoco Funding Co. 6.350% 10/15/11 12,610 13,770
Conoco Funding Co. 7.250% 10/15/31 250 292
ConocoPhillips 4.750% 2/1/14 4,825 5,178
ConocoPhillips 4.600% 1/15/15 10,000 10,653
ConocoPhillips 5.750% 2/1/19 17,650 19,364
ConocoPhillips 6.000% 1/15/20 2,150 2,383
ConocoPhillips 5.900% 10/15/32 1,621 1,655
ConocoPhillips 6.500% 2/1/39 7,250 8,063
ConocoPhillips Canada Funding Co. I 5.300% 4/15/12 3,975 4,277
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 16,300 17,719
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 1,725 1,717
ConocoPhillips Holding Co. 6.950% 4/15/29 4,190 4,752
Devon Energy Corp. 5.625% 1/15/14 8,300 9,033
Devon Energy Corp. 7.950% 4/15/32 1,675 2,114
Devon Financing Corp. ULC 6.875% 9/30/11 9,160 9,932
Devon Financing Corp. ULC 7.875% 9/30/31 9,850 12,249
Diamond Offshore Drilling Inc. 4.875% 7/1/15 575 610
Diamond Offshore Drilling Inc. 5.875% 5/1/19 2,475 2,637
Diamond Offshore Drilling Inc. 5.700% 10/15/39 4,300 4,218
EnCana Corp. 5.900% 12/1/17 7,450 7,990
EnCana Corp. 6.500% 5/15/19 1,900 2,120
EnCana Corp. 7.200% 11/1/31 5,475 5,921
EnCana Corp. 6.500% 8/15/34 7,925 8,500
EnCana Corp. 6.625% 8/15/37 1,625 1,776
EnCana Holdings Finance Corp. 5.800% 5/1/14 4,575 5,006
EOG Resources Inc. 6.125% 10/1/13 300 331
EOG Resources Inc. 5.875% 9/15/17 6,925 7,615
Global Marine Inc. 7.000% 6/1/28 3,150 3,305
Halliburton Co. 6.150% 9/15/19 6,795 7,618
Halliburton Co. 6.700% 9/15/38 6,500 7,278
Halliburton Co. 7.450% 9/15/39 8,350 10,310
Hess Corp. 8.125% 2/15/19 725 875
Hess Corp. 7.875% 10/1/29 4,875 5,806
Hess Corp. 7.125% 3/15/33 4,675 5,212
Hess Corp. 6.000% 1/15/40 7,075 7,040
Husky Energy Inc. 6.250% 6/15/12 2,250 2,419
Husky Energy Inc. 5.900% 6/15/14 8,282 9,027
Husky Energy Inc. 6.150% 6/15/19 800 854
Husky Energy Inc. 7.250% 12/15/19 2,085 2,405
Husky Energy Inc. 6.800% 9/15/37 1,875 1,963
Kerr-McGee Corp. 6.875% 9/15/11 5,075 5,462
Kerr-McGee Corp. 6.950% 7/1/24 9,245 10,052

41


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Kerr-McGee Corp. 7.875% 9/15/31 1,275 1,455
Lasmo USA Inc. 7.300% 11/15/27 300 354
Marathon Global Funding Corp. 6.000% 7/1/12 2,375 2,570
Marathon Oil Corp. 6.125% 3/15/12 3,170 3,431
Marathon Oil Corp. 6.000% 10/1/17 10,475 11,114
Marathon Oil Corp. 5.900% 3/15/18 5,650 5,974
Marathon Oil Corp. 6.600% 10/1/37 90 96
Nabors Industries Inc. 6.150% 2/15/18 9,300 9,637
Nabors Industries Inc. 9.250% 1/15/19 2,425 2,980
Nexen Inc. 5.050% 11/20/13 5,225 5,509
Nexen Inc. 5.650% 5/15/17 1,800 1,873
Nexen Inc. 7.875% 3/15/32 875 1,011
Nexen Inc. 5.875% 3/10/35 300 283
Nexen Inc. 6.400% 5/15/37 9,850 9,804
Nexen Inc. 7.500% 7/30/39 6,425 7,222
Noble Energy Inc. 8.250% 3/1/19 2,500 2,992
Noble Energy Inc. 8.000% 4/1/27 175 195
Occidental Petroleum Corp. 6.750% 1/15/12 5,250 5,757
Occidental Petroleum Corp. 7.000% 11/1/13 2,375 2,717
PC Financial Partnership 5.000% 11/15/14 7,650 7,939
Petro-Canada 4.000% 7/15/13 5,500 5,676
Petro-Canada 6.050% 5/15/18 1,875 2,003
Petro-Canada 7.875% 6/15/26 1,350 1,560
Petro-Canada 7.000% 11/15/28 1,050 1,126
Petro-Canada 5.350% 7/15/33 4,700 4,243
Petro-Canada 5.950% 5/15/35 6,700 6,376
Petro-Canada 6.800% 5/15/38 1,875 2,068
Questar Market Resources Inc. 6.050% 9/1/16 2,825 2,881
Questar Market Resources Inc. 6.800% 3/1/20 2,000 2,091
Rowan Cos. Inc. 7.875% 8/1/19 2,350 2,615
Shell International Finance BV 5.625% 6/27/11 3,025 3,218
Shell International Finance BV 4.950% 3/22/12 2,700 2,895
Shell International Finance BV 4.000% 3/21/14 13,000 13,597
Shell International Finance BV 3.250% 9/22/15 8,925 8,932
Shell International Finance BV 5.200% 3/22/17 2,775 2,984
Shell International Finance BV 4.300% 9/22/19 21,150 20,922
Shell International Finance BV 6.375% 12/15/38 13,569 15,098
Smith International Inc. 9.750% 3/15/19 12,400 15,711
Statoil ASA 3.875% 4/15/14 6,675 6,939
Statoil ASA 2.900% 10/15/14 2,225 2,215
Statoil ASA 5.250% 4/15/19 10,900 11,567
Statoil ASA 7.250% 9/23/27 1,700 2,005
4 Statoil ASA 6.500% 12/1/28 975 1,065
Statoil ASA 7.150% 1/15/29 2,725 3,203
Suncor Energy Inc. 6.100% 6/1/18 2,950 3,173
Suncor Energy Inc. 7.150% 2/1/32 1,275 1,363
Suncor Energy Inc. 5.950% 12/1/34 150 148
Suncor Energy Inc. 6.500% 6/15/38 18,900 19,874
Sunoco Inc. 4.875% 10/15/14 1,275 1,285
Sunoco Inc. 5.750% 1/15/17 1,775 1,807
Talisman Energy Inc. 5.125% 5/15/15 1,075 1,115
Talisman Energy Inc. 7.750% 6/1/19 15,812 18,539
Talisman Energy Inc. 7.250% 10/15/27 850 926
Talisman Energy Inc. 5.850% 2/1/37 4,350 4,132
Tosco Corp. 8.125% 2/15/30 14,675 17,827
Total Capital SA 3.125% 10/2/15 750 740
Transocean Inc. 5.250% 3/15/13 3,250 3,479
Transocean Inc. 6.000% 3/15/18 4,950 5,283
Transocean Inc. 7.500% 4/15/31 2,125 2,467
Transocean Inc. 6.800% 3/15/38 4,250 4,718
Valero Energy Corp. 6.875% 4/15/12 13,825 14,876
Valero Energy Corp. 4.750% 6/15/13 240 245
Valero Energy Corp. 9.375% 3/15/19 7,166 8,553
Valero Energy Corp. 7.500% 4/15/32 5,615 5,746

42


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Valero Energy Corp. 6.625% 6/15/37 3,940 3,677
Weatherford International Inc. 5.950% 6/15/12 550 589
Weatherford International Inc. 6.350% 6/15/17 10,200 10,700
Weatherford International Inc. 6.800% 6/15/37 1,450 1,453
Weatherford International Ltd. 5.150% 3/15/13 1,225 1,285
Weatherford International Ltd. 6.000% 3/15/18 1,725 1,760
Weatherford International Ltd. 9.625% 3/1/19 8,400 10,495
Weatherford International Ltd. 6.500% 8/1/36 7,900 7,531
Weatherford International Ltd. 7.000% 3/15/38 2,350 2,383
XTO Energy Inc. 5.900% 8/1/12 4,750 5,178
XTO Energy Inc. 6.250% 4/15/13 7,235 8,062
XTO Energy Inc. 5.750% 12/15/13 4,600 5,115
XTO Energy Inc. 4.900% 2/1/14 2,500 2,687
XTO Energy Inc. 5.000% 1/31/15 1,300 1,406
XTO Energy Inc. 5.300% 6/30/15 1,050 1,158
XTO Energy Inc. 6.250% 8/1/17 8,325 9,458
XTO Energy Inc. 6.500% 12/15/18 5,585 6,405
XTO Energy Inc. 6.100% 4/1/36 975 1,058
XTO Energy Inc. 6.750% 8/1/37 7,599 8,932
XTO Energy Inc. 6.375% 6/15/38 1,450 1,635
Other Industrial (0.0%)        
Cintas Corp. 6.125% 12/1/17 2,300 2,454
 
Technology (0.8%)        
Agilent Technologies Inc. 4.450% 9/14/12 550 570
Agilent Technologies Inc. 5.500% 9/14/15 3,075 3,230
Agilent Technologies Inc. 6.500% 11/1/17 13,800 14,633
Amphenol Corp. 4.750% 11/15/14 3,700 3,702
Analog Devices Inc. 5.000% 7/1/14 3,175 3,333
Arrow Electronics Inc. 6.875% 7/1/13 200 218
BMC Software Inc. 7.250% 6/1/18 2,150 2,335
CA Inc. 5.375% 12/1/19 2,925 2,956
Cisco Systems Inc. 5.250% 2/22/11 30,886 32,426
Cisco Systems Inc. 2.900% 11/17/14 1,525 1,532
Cisco Systems Inc. 5.500% 2/22/16 3,065 3,380
Cisco Systems Inc. 4.950% 2/15/19 9,725 10,014
Cisco Systems Inc. 4.450% 1/15/20 1,275 1,253
Cisco Systems Inc. 5.900% 2/15/39 23,190 23,397
Cisco Systems Inc. 5.500% 1/15/40 6,250 5,997
Computer Sciences Corp. 5.500% 3/15/13 1,650 1,758
Computer Sciences Corp. 6.500% 3/15/18 2,200 2,368
Corning Inc. 6.625% 5/15/19 650 699
Corning Inc. 7.250% 8/15/36 300 306
Dell Inc. 3.375% 6/15/12 800 829
Dell Inc. 4.700% 4/15/13 5,525 5,822
Dell Inc. 5.650% 4/15/18 3,025 3,174
Dell Inc. 5.875% 6/15/19 3,725 3,977
Dell Inc. 6.500% 4/15/38 2,950 3,013
Dun & Bradstreet Corp. 6.000% 4/1/13 4,725 4,888
Electronic Data Systems LLC 6.000% 8/1/13 4,900 5,441
Equifax Inc. 4.450% 12/1/14 2,125 2,140
Equifax Inc. 6.300% 7/1/17 975 1,002
Equifax Inc. 7.000% 7/1/37 1,475 1,460
Fiserv Inc. 6.125% 11/20/12 10,325 11,259
Fiserv Inc. 6.800% 11/20/17 5,500 6,056
Harris Corp. 5.000% 10/1/15 3,450 3,574
Harris Corp. 5.950% 12/1/17 225 236
Hewlett-Packard Co. 2.250% 5/27/11 2,125 2,162
Hewlett-Packard Co. 4.250% 2/24/12 9,916 10,437
Hewlett-Packard Co. 6.500% 7/1/12 1,410 1,566
Hewlett-Packard Co. 4.500% 3/1/13 12,350 13,139
Hewlett-Packard Co. 6.125% 3/1/14 16,750 18,720
Hewlett-Packard Co. 4.750% 6/2/14 10,900 11,642

43


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Hewlett-Packard Co. 5.400% 3/1/17 1,610 1,714
Hewlett-Packard Co. 5.500% 3/1/18 5,600 5,944
IBM International Group Capital LLC 5.050% 10/22/12 19,950 21,572
International Business Machines Corp. 4.950% 3/22/11 2,500 2,618
International Business Machines Corp. 2.100% 5/6/13 1,000 999
International Business Machines Corp. 7.500% 6/15/13 2,825 3,283
International Business Machines Corp. 5.700% 9/14/17 31,501 34,453
International Business Machines Corp. 7.000% 10/30/25 620 716
International Business Machines Corp. 6.220% 8/1/27 4,875 5,179
International Business Machines Corp. 6.500% 1/15/28 600 662
International Business Machines Corp. 5.875% 11/29/32 400 414
International Business Machines Corp. 5.600% 11/30/39 18,328 18,499
International Game Technology 7.500% 6/15/19 1,500 1,628
Intuit Inc. 5.400% 3/15/12 1,950 2,074
Intuit Inc. 5.750% 3/15/17 1,800 1,866
Lexmark International Inc. 5.900% 6/1/13 2,700 2,772
Lexmark International Inc. 6.650% 6/1/18 4,325 4,260
Microsoft Corp. 2.950% 6/1/14 7,400 7,493
Microsoft Corp. 4.200% 6/1/19 8,450 8,524
Microsoft Corp. 5.200% 6/1/39 1,625 1,592
Motorola Inc. 8.000% 11/1/11 625 673
Motorola Inc. 5.375% 11/15/12 4,750 4,845
Motorola Inc. 6.000% 11/15/17 1,350 1,302
Motorola Inc. 7.500% 5/15/25 800 769
Motorola Inc. 6.500% 9/1/25 1,225 1,064
Motorola Inc. 6.500% 11/15/28 400 346
Motorola Inc. 6.625% 11/15/37 3,475 3,001
Nokia Oyj 5.375% 5/15/19 4,825 4,945
Nokia Oyj 6.625% 5/15/39 3,050 3,318
Oracle Corp. 5.000% 1/15/11 4,775 4,983
Oracle Corp. 4.950% 4/15/13 4,975 5,367
Oracle Corp. 3.750% 7/8/14 1,100 1,140
Oracle Corp. 5.250% 1/15/16 18,796 20,299
Oracle Corp. 5.750% 4/15/18 13,310 14,451
Oracle Corp. 5.000% 7/8/19 13,850 14,330
Oracle Corp. 6.500% 4/15/38 5,375 5,898
Oracle Corp. 6.125% 7/8/39 14,825 15,621
Pitney Bowes Inc. 4.625% 10/1/12 3,200 3,394
Pitney Bowes Inc. 3.875% 6/15/13 4,000 4,109
Pitney Bowes Inc. 4.875% 8/15/14 250 264
Pitney Bowes Inc. 4.750% 1/15/16 10,800 11,210
Pitney Bowes Inc. 5.750% 9/15/17 3,500 3,738
Pitney Bowes Inc. 4.750% 5/15/18 275 275
Pitney Bowes Inc. 5.250% 1/15/37 450 464
Science Applications International Corp. 6.250% 7/1/12 950 1,040
Science Applications International Corp. 5.500% 7/1/33 1,350 1,206
Tyco Electronics Group SA 6.000% 10/1/12 850 902
Xerox Capital Trust I 8.000% 2/1/27 4,475 4,419
Xerox Corp. 7.125% 6/15/10 3,150 3,236
Xerox Corp. 6.875% 8/15/11 1,900 2,030
Xerox Corp. 5.500% 5/15/12 2,475 2,619
Xerox Corp. 7.625% 6/15/13 3,475 3,562
Xerox Corp. 8.250% 5/15/14 6,125 7,068
Xerox Corp. 4.250% 2/15/15 2,675 2,664
Xerox Corp. 6.400% 3/15/16 3,975 4,206
Xerox Corp. 6.750% 2/1/17 2,850 3,067
Xerox Corp. 6.350% 5/15/18 11,475 12,053
Xerox Corp. 5.625% 12/15/19 1,300 1,299
Xerox Corp. 6.750% 12/15/39 50 50
Transportation (0.4%)        
3 American Airlines Pass Through Trust 2009-1A 10.375% 7/2/19 2,325 2,604
Burlington Northern Santa Fe Corp. 7.125% 12/15/10 400 423
Burlington Northern Santa Fe Corp. 6.750% 7/15/11 2,870 3,096

44


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Burlington Northern Santa Fe Corp. 5.900% 7/1/12 2,625 2,857
Burlington Northern Santa Fe Corp. 7.000% 2/1/14 500 570
Burlington Northern Santa Fe Corp. 5.650% 5/1/17 6,725 7,143
Burlington Northern Santa Fe Corp. 5.750% 3/15/18 3,250 3,483
Burlington Northern Santa Fe Corp. 7.000% 12/15/25 5,025 5,517
Burlington Northern Santa Fe Corp. 6.200% 8/15/36 3,125 3,300
Burlington Northern Santa Fe Corp. 6.150% 5/1/37 91 95
Canadian National Railway Co. 6.375% 10/15/11 875 951
Canadian National Railway Co. 4.400% 3/15/13 2,450 2,561
Canadian National Railway Co. 4.950% 1/15/14 1,875 1,999
Canadian National Railway Co. 5.800% 6/1/16 750 810
Canadian National Railway Co. 5.850% 11/15/17 1,100 1,195
Canadian National Railway Co. 6.900% 7/15/28 600 683
Canadian National Railway Co. 6.250% 8/1/34 1,500 1,622
Canadian National Railway Co. 6.200% 6/1/36 2,400 2,602
Canadian Pacific Railway Co. 7.125% 10/15/31 450 475
Canadian Pacific Railway Co. 5.950% 5/15/37 975 926
Con-way Inc. 6.700% 5/1/34 3,200 2,507
3 Continental Airlines Inc. 6.648% 9/15/17 6,040 5,768
3 Continental Airlines Inc. 6.900% 1/2/18 3,493 3,441
3 Continental Airlines Inc. 6.545% 2/2/19 337 332
Continental Airlines Inc. 7.250% 11/10/19 2,350 2,403
3 Continental Airlines Inc. 5.983% 4/19/22 550 529
CSX Corp. 6.750% 3/15/11 1,925 2,043
CSX Corp. 6.300% 3/15/12 1,350 1,460
CSX Corp. 5.750% 3/15/13 125 135
CSX Corp. 6.250% 4/1/15 5,125 5,669
CSX Corp. 5.600% 5/1/17 1,450 1,504
CSX Corp. 7.900% 5/1/17 5,600 6,478
CSX Corp. 6.250% 3/15/18 9,500 10,298
CSX Corp. 7.375% 2/1/19 18,000 20,680
CSX Corp. 7.950% 5/1/27 225 264
CSX Corp. 6.000% 10/1/36 5,931 5,788
CSX Corp. 6.150% 5/1/37 2,250 2,284
CSX Corp. 7.450% 4/1/38 1,825 2,145
3 Delta Air Lines Inc. 7.750% 12/17/19 5,800 5,974
3 Delta Air Lines Inc. 6.821% 8/10/22 8,720 8,371
Norfolk Southern Corp. 6.750% 2/15/11 4,725 4,986
Norfolk Southern Corp. 5.257% 9/17/14 45 48
Norfolk Southern Corp. 5.750% 1/15/16 1,400 1,485
Norfolk Southern Corp. 7.700% 5/15/17 5,000 5,860
Norfolk Southern Corp. 5.750% 4/1/18 2,500 2,653
Norfolk Southern Corp. 5.900% 6/15/19 5,925 6,375
Norfolk Southern Corp. 5.590% 5/17/25 534 521
Norfolk Southern Corp. 7.800% 5/15/27 3,245 3,915
Norfolk Southern Corp. 5.640% 5/17/29 1,680 1,642
Norfolk Southern Corp. 7.050% 5/1/37 10,145 11,973
Norfolk Southern Corp. 7.900% 5/15/97 1,650 1,920
Norfolk Southern Railway Co. 9.750% 6/15/20 1,271 1,691
Ryder System Inc. 5.950% 5/2/11 1,183 1,221
Ryder System Inc. 5.850% 3/1/14 1,575 1,653
Ryder System Inc. 7.200% 9/1/15 3,425 3,707
Ryder System Inc. 5.850% 11/1/16 1,525 1,529
Southwest Airlines Co. 6.500% 3/1/12 6,250 6,530
Southwest Airlines Co. 5.250% 10/1/14 175 177
Southwest Airlines Co. 5.750% 12/15/16 3,100 3,007
Southwest Airlines Co. 5.125% 3/1/17 650 616
3 Southwest Airlines Co. 2007-1 Pass Through Trust 3 6.150% 8/1/22 1,552 1,553
Union Pacific Corp. 6.650% 1/15/11 4,730 4,994
Union Pacific Corp. 6.125% 1/15/12 200 216
Union Pacific Corp. 6.500% 4/15/12 1,858 2,023
Union Pacific Corp. 5.450% 1/31/13 2,125 2,288
Union Pacific Corp. 7.000% 2/1/16 350 389
Union Pacific Corp. 5.650% 5/1/17 4,050 4,302

45


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Union Pacific Corp. 5.750% 11/15/17 6,625 7,038
Union Pacific Corp. 5.700% 8/15/18 21,260 22,309
Union Pacific Corp. 6.625% 2/1/29 1,525 1,644
3 Union Pacific Railroad Co. 2007-3 Pass Through Trust 6.176% 1/2/31 1,224 1,286
United Parcel Service Inc. 3.875% 4/1/14 10,500 10,933
United Parcel Service Inc. 5.500% 1/15/18 2,210 2,375
United Parcel Service Inc. 5.125% 4/1/19 5,625 5,981
United Parcel Service Inc. 6.200% 1/15/38 4,275 4,743
        7,098,559
Utilities (2.2%)        
Electric (1.6%)        
AEP Texas Central Co. 6.650% 2/15/33 2,150 2,205
Alabama Power Co. 4.850% 12/15/12 1,875 2,009
Alabama Power Co. 5.500% 10/15/17 3,125 3,289
Alabama Power Co. 6.000% 3/1/39 4,775 5,094
American Water Capital Corp. 6.085% 10/15/17 10,200 10,548
American Water Capital Corp. 6.593% 10/15/37 4,925 4,892
Appalachian Power Co. 5.650% 8/15/12 3,040 3,258
Appalachian Power Co. 5.800% 10/1/35 950 897
Appalachian Power Co. 7.000% 4/1/38 4,400 4,907
Arizona Public Service Co. 6.375% 10/15/11 600 639
Arizona Public Service Co. 5.800% 6/30/14 625 668
Arizona Public Service Co. 4.650% 5/15/15 725 730
Arizona Public Service Co. 5.500% 9/1/35 600 507
Baltimore Gas & Electric Co. 5.900% 10/1/16 3,300 3,515
Baltimore Gas & Electric Co. 6.350% 10/1/36 525 540
Carolina Power & Light Co. 6.500% 7/15/12 925 1,020
Carolina Power & Light Co. 5.125% 9/15/13 5,025 5,411
Carolina Power & Light Co. 5.300% 1/15/19 15,200 15,823
CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 13,160 14,036
CenterPoint Energy Houston Electric LLC 5.750% 1/15/14 400 433
CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 300 330
Cleveland Electric Illuminating Co. 5.650% 12/15/13 175 188
Cleveland Electric Illuminating Co. 7.880% 11/1/17 1,050 1,237
Columbus Southern Power Co. 5.850% 10/1/35 5,225 4,936
Commonwealth Edison Co. 6.150% 3/15/12 1,600 1,730
Commonwealth Edison Co. 5.950% 8/15/16 8,530 9,278
Commonwealth Edison Co. 6.150% 9/15/17 11,750 12,770
Commonwealth Edison Co. 5.800% 3/15/18 2,825 3,017
Commonwealth Edison Co. 5.875% 2/1/33 490 489
Commonwealth Edison Co. 5.900% 3/15/36 2,275 2,276
Commonwealth Edison Co. 6.450% 1/15/38 3,025 3,236
Connecticut Light & Power Co. 6.350% 6/1/36 4,500 4,874
Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 2,865 3,045
Consolidated Edison Co. of New York Inc. 5.375% 12/15/15 1,275 1,363
Consolidated Edison Co. of New York Inc. 5.500% 9/15/16 4,825 5,043
Consolidated Edison Co. of New York Inc. 5.850% 4/1/18 350 373
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 5,775 6,547
Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 1,925 1,839
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 1,800 1,852
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 2,825 3,023
Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 5,750 6,239
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 3,075 3,532
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 3,175 3,136
Consolidated Natural Gas Co. 6.250% 11/1/11 6,900 7,437
Consolidated Natural Gas Co. 5.000% 12/1/14 4,350 4,649
Constellation Energy Group Inc. 7.000% 4/1/12 950 1,031
Constellation Energy Group Inc. 4.550% 6/15/15 15,781 15,770
Constellation Energy Group Inc. 7.600% 4/1/32 1,865 2,015
Consumers Energy Co. 5.000% 2/15/12 1,975 2,085
Consumers Energy Co. 5.375% 4/15/13 4,025 4,298
Consumers Energy Co. 5.500% 8/15/16 1,500 1,606
Consumers Energy Co. 6.125% 3/15/19 550 598

46


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Consumers Energy Co. 6.700% 9/15/19 5,500 6,194
Consumers Energy Co. 5.650% 4/15/20 800 852
Detroit Edison Co. 6.125% 10/1/10 2,105 2,188
Detroit Edison Co. 5.700% 10/1/37 800 771
Dominion Resources Inc. 4.750% 12/15/10 1,700 1,759
Dominion Resources Inc. 6.250% 6/30/12 2,165 2,351
Dominion Resources Inc. 5.700% 9/17/12 650 703
Dominion Resources Inc. 5.150% 7/15/15 12,533 13,264
Dominion Resources Inc. 6.000% 11/30/17 4,150 4,492
Dominion Resources Inc. 6.300% 3/15/33 1,350 1,377
Dominion Resources Inc. 5.250% 8/1/33 2,500 2,596
Dominion Resources Inc. 5.950% 6/15/35 7,725 7,739
Dominion Resources Inc. 7.000% 6/15/38 825 939
3 Dominion Resources Inc. 7.500% 6/30/66 3,375 3,255
3 Dominion Resources Inc. 6.300% 9/30/66 2,125 1,880
DTE Energy Co. 7.050% 6/1/11 5,165 5,481
DTE Energy Co. 6.375% 4/15/33 175 167
Duke Energy Carolinas LLC 6.250% 1/15/12 6,807 7,375
Duke Energy Carolinas LLC 5.750% 11/15/13 400 439
Duke Energy Carolinas LLC 6.000% 12/1/28 1,475 1,486
Duke Energy Carolinas LLC 6.450% 10/15/32 1,175 1,275
Duke Energy Carolinas LLC 6.100% 6/1/37 8,400 8,941
Duke Energy Carolinas LLC 6.000% 1/15/38 375 397
Duke Energy Carolinas LLC 6.050% 4/15/38 3,950 4,180
Duke Energy Carolinas LLC 5.300% 2/15/40 2,725 2,631
Duke Energy Corp. 6.300% 2/1/14 4,420 4,857
Duke Energy Corp. 3.950% 9/15/14 4,925 5,017
Duke Energy Corp. 5.050% 9/15/19 1,800 1,802
Duke Energy Indiana Inc. 5.000% 9/15/13 200 209
Duke Energy Indiana Inc. 6.050% 6/15/16 325 348
Duke Energy Indiana Inc. 6.120% 10/15/35 1,075 1,087
Duke Energy Indiana Inc. 6.350% 8/15/38 7,725 8,446
Duke Energy Ohio Inc. 5.700% 9/15/12 3,875 4,219
Duke Energy Ohio Inc. 2.100% 6/15/13 3,375 3,335
Duke Energy Ohio Inc. 5.450% 4/1/19 8 8
El Paso Electric Co. 6.000% 5/15/35 1,675 1,498
Empresa Nacional de Electricidad SA 8.350% 8/1/13 2,275 2,640
Energy East Corp. 6.750% 6/15/12 4,675 5,099
Energy East Corp. 6.750% 7/15/36 3,325 3,709
Enersis SA 7.375% 1/15/14 2,500 2,796
Entergy Gulf States Louisiana LLC 6.000% 5/1/18 8,200 8,561
Entergy Louisiana LLC 6.500% 9/1/18 1,250 1,323
Entergy Louisiana LLC 5.400% 11/1/24 125 122
Exelon Corp. 4.900% 6/15/15 4,050 4,194
Exelon Corp. 5.625% 6/15/35 735 665
Exelon Generation Co. LLC 5.350% 1/15/14 48 51
Exelon Generation Co. LLC 5.200% 10/1/19 4,300 4,304
Exelon Generation Co. LLC 6.250% 10/1/39 5,425 5,509
FirstEnergy Corp. 6.450% 11/15/11 1,584 1,716
FirstEnergy Corp. 7.375% 11/15/31 6,446 7,070
FirstEnergy Solutions Corp. 4.800% 2/15/15 6,850 6,988
FirstEnergy Solutions Corp. 6.050% 8/15/21 75 76
FirstEnergy Solutions Corp. 6.800% 8/15/39 100 100
Florida Power & Light Co. 4.850% 2/1/13 2,375 2,531
Florida Power & Light Co. 5.550% 11/1/17 1,750 1,883
Florida Power & Light Co. 5.950% 10/1/33 50 52
Florida Power & Light Co. 5.625% 4/1/34 3,500 3,495
Florida Power & Light Co. 4.950% 6/1/35 475 431
Florida Power & Light Co. 5.400% 9/1/35 4,550 4,405
Florida Power & Light Co. 6.200% 6/1/36 3,650 3,921
Florida Power & Light Co. 5.650% 2/1/37 3,675 3,657
Florida Power & Light Co. 5.850% 5/1/37 1,450 1,503
Florida Power & Light Co. 5.950% 2/1/38 9,450 9,798
Florida Power & Light Co. 5.960% 4/1/39 2,350 2,476

47


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Florida Power Corp. 4.800% 3/1/13 9,550 10,133
Florida Power Corp. 5.650% 6/15/18 2,875 3,087
Florida Power Corp. 6.350% 9/15/37 5,775 6,222
Florida Power Corp. 6.400% 6/15/38 4,550 5,006
FPL Group Capital Inc. 5.625% 9/1/11 1,100 1,177
FPL Group Capital Inc. 5.350% 6/15/13 2,300 2,473
FPL Group Capital Inc. 6.000% 3/1/19 25,000 26,845
3 FPL Group Capital Inc. 6.350% 10/1/66 2,075 1,917
3 FPL Group Capital Inc. 6.650% 6/15/67 2,475 2,292
Georgia Power Co. 5.700% 6/1/17 9,340 10,077
Georgia Power Co. 5.650% 3/1/37 325 327
Georgia Power Co. 5.950% 2/1/39 750 784
Illinois Power Co. 6.125% 11/15/17 1,150 1,215
Illinois Power Co. 6.250% 4/1/18 4,425 4,721
Indiana Michigan Power Co. 7.000% 3/15/19 275 307
Indiana Michigan Power Co. 6.050% 3/15/37 7,175 7,047
3 Integrys Energy Group Inc. 6.110% 12/1/66 4,000 3,319
Interstate Power & Light Co. 6.250% 7/15/39 2,450 2,539
Jersey Central Power & Light Co. 5.625% 5/1/16 2,825 2,942
Jersey Central Power & Light Co. 5.650% 6/1/17 1,725 1,773
Kansas City Power & Light Co. 6.050% 11/15/35 1,650 1,531
3 Kansas Gas & Electric 5.647% 3/29/21 171 168
MidAmerican Energy Co. 5.650% 7/15/12 2,475 2,672
MidAmerican Energy Co. 5.125% 1/15/13 6,175 6,605
MidAmerican Energy Co. 5.950% 7/15/17 1,350 1,424
MidAmerican Energy Co. 5.300% 3/15/18 450 467
MidAmerican Energy Co. 6.750% 12/30/31 4,325 4,840
MidAmerican Energy Co. 5.750% 11/1/35 1,275 1,260
Midamerican Energy Holdings Co. 5.875% 10/1/12 5,445 5,937
Midamerican Energy Holdings Co. 5.000% 2/15/14 1,100 1,158
Midamerican Energy Holdings Co. 5.750% 4/1/18 4,650 4,919
Midamerican Energy Holdings Co. 8.480% 9/15/28 600 725
Midamerican Energy Holdings Co. 6.125% 4/1/36 25,351 25,814
Midamerican Energy Holdings Co. 5.950% 5/15/37 6,725 6,783
Midamerican Energy Holdings Co. 6.500% 9/15/37 850 903
National Rural Utilities Cooperative Finance Corp. 7.250% 3/1/12 13,791 15,194
National Rural Utilities Cooperative Finance Corp. 2.625% 9/16/12 2,500 2,527
National Rural Utilities Cooperative Finance Corp. 5.500% 7/1/13 5,550 6,036
National Rural Utilities Cooperative Finance Corp. 4.750% 3/1/14 1,715 1,825
National Rural Utilities Cooperative Finance Corp. 5.450% 4/10/17 4,600 4,814
National Rural Utilities Cooperative Finance Corp. 5.450% 2/1/18 11,285 11,712
National Rural Utilities Cooperative Finance Corp. 10.375% 11/1/18 4,380 5,846
National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/32 3,150 3,731
Nevada Power Co. 7.125% 3/15/19 13,675 15,368
Nevada Power Co. 6.750% 7/1/37 1,175 1,254
Nisource Finance Corp. 6.150% 3/1/13 425 451
Nisource Finance Corp. 5.400% 7/15/14 2,050 2,128
Nisource Finance Corp. 5.250% 9/15/17 1,200 1,182
Nisource Finance Corp. 6.400% 3/15/18 650 680
Nisource Finance Corp. 6.800% 1/15/19 150 161
Nisource Finance Corp. 5.450% 9/15/20 1,350 1,309
Nisource Finance Corp. 6.125% 3/1/22 2,375 2,424
Northern States Power Co. 5.250% 3/1/18 1,800 1,887
Northern States Power Co. 5.250% 7/15/35 325 310
Northern States Power Co. 6.250% 6/1/36 1,550 1,691
Northern States Power Co. 6.200% 7/1/37 2,850 3,095
Northern States Power Co. 5.350% 11/1/39 2,800 2,705
NSTAR 4.500% 11/15/19 1,575 1,552
NSTAR Electric Co. 4.875% 4/15/14 2,525 2,691
NSTAR Electric Co. 5.625% 11/15/17 4,900 5,216
4 Oglethorpe Power Corp. 5.950% 11/1/39 1,600 1,581
Ohio Edison Co. 6.400% 7/15/16 3,600 3,887
Ohio Power Co. 5.750% 9/1/13 6,625 7,046
Ohio Power Co. 6.000% 6/1/16 3,125 3,361

48


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Oncor Electric Delivery Co. LLC 6.375% 5/1/12 2,700 2,914
Oncor Electric Delivery Co. LLC 5.950% 9/1/13 4,225 4,545
Oncor Electric Delivery Co. LLC 6.375% 1/15/15 5,600 6,124
Oncor Electric Delivery Co. LLC 7.000% 9/1/22 4,171 4,640
Oncor Electric Delivery Co. LLC 7.000% 5/1/32 1,700 1,877
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 3,525 4,054
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 1,805 2,135
Pacific Gas & Electric Co. 4.200% 3/1/11 22,750 23,521
Pacific Gas & Electric Co. 4.800% 3/1/14 15,850 16,915
Pacific Gas & Electric Co. 5.625% 11/30/17 3,300 3,513
Pacific Gas & Electric Co. 6.050% 3/1/34 11,403 11,945
Pacific Gas & Electric Co. 5.800% 3/1/37 9,425 9,560
Pacific Gas & Electric Co. 6.250% 3/1/39 3,675 3,914
PacifiCorp 6.900% 11/15/11 5,925 6,517
PacifiCorp 7.700% 11/15/31 925 1,136
PacifiCorp 5.250% 6/15/35 50 47
PacifiCorp 6.250% 10/15/37 5,875 6,335
Peco Energy Co. 5.350% 3/1/18 2,575 2,725
Pennsylvania Electric Co. 6.050% 9/1/17 2,150 2,259
Pennsylvania Electric Co. 5.200% 4/1/20 10,275 10,164
Pennsylvania Electric Co. 6.150% 10/1/38 10,275 9,957
Pepco Holdings Inc. 6.450% 8/15/12 6,275 6,744
Pepco Holdings Inc. 7.450% 8/15/32 1,150 1,210
Potomac Electric Power Co. 6.500% 11/15/37 800 885
PPL Electric Utilities Corp. 6.250% 5/15/39 4,075 4,281
PPL Energy Supply LLC 6.400% 11/1/11 9,600 10,346
PPL Energy Supply LLC 6.300% 7/15/13 2,850 3,038
PPL Energy Supply LLC 5.400% 8/15/14 800 838
PPL Energy Supply LLC 6.200% 5/15/16 1,319 1,386
PPL Energy Supply LLC 6.500% 5/1/18 2,025 2,112
Progress Energy Inc. 7.100% 3/1/11 5,307 5,618
Progress Energy Inc. 6.850% 4/15/12 1,675 1,834
Progress Energy Inc. 6.050% 3/15/14 575 627
Progress Energy Inc. 5.625% 1/15/16 1,050 1,117
Progress Energy Inc. 7.050% 3/15/19 1,325 1,483
Progress Energy Inc. 4.875% 12/1/19 7,100 6,956
Progress Energy Inc. 7.750% 3/1/31 1,375 1,625
Progress Energy Inc. 7.000% 10/30/31 4,375 4,770
Progress Energy Inc. 6.000% 12/1/39 6,700 6,667
PSEG Power LLC 7.750% 4/15/11 875 937
PSEG Power LLC 6.950% 6/1/12 15,325 16,745
PSEG Power LLC 5.000% 4/1/14 2,975 3,118
PSEG Power LLC 5.500% 12/1/15 9,375 9,899
PSEG Power LLC 8.625% 4/15/31 300 388
Public Service Co. of Colorado 7.875% 10/1/12 7,700 8,837
Public Service Co. of Colorado 5.500% 4/1/14 65 70
Public Service Co. of Colorado 5.800% 8/1/18 1,475 1,606
Public Service Co. of Colorado 5.125% 6/1/19 8,025 8,314
Public Service Co. of Colorado 6.250% 9/1/37 2,275 2,483
Public Service Co. of Colorado 6.500% 8/1/38 2,575 2,905
Public Service Co. of Oklahoma 6.625% 11/15/37 4,375 4,539
Public Service Electric & Gas Co. 5.250% 7/1/35 475 450
Public Service Electric & Gas Co. 5.800% 5/1/37 4,600 4,705
Puget Sound Energy Inc. 5.483% 6/1/35 750 715
Puget Sound Energy Inc. 6.274% 3/15/37 4,875 5,164
Puget Sound Energy Inc. 5.757% 10/1/39 2,525 2,497
San Diego Gas & Electric Co. 5.300% 11/15/15 2,000 2,193
San Diego Gas & Electric Co. 5.350% 5/15/35 750 726
San Diego Gas & Electric Co. 6.125% 9/15/37 225 242
San Diego Gas & Electric Co. 6.000% 6/1/39 850 907
SCANA Corp. 6.875% 5/15/11 4,700 4,997
Sierra Pacific Power Co. 6.000% 5/15/16 3,550 3,820
Sierra Pacific Power Co. 6.750% 7/1/37 3,950 4,189
South Carolina Electric & Gas Co. 6.500% 11/1/18 1,475 1,661

49


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
South Carolina Electric & Gas Co. 6.625% 2/1/32 2,125 2,374
South Carolina Electric & Gas Co. 5.300% 5/15/33 220 209
South Carolina Electric & Gas Co. 6.050% 1/15/38 4,250 4,466
Southern California Edison Co. 5.000% 1/15/14 2,700 2,921
Southern California Edison Co. 4.650% 4/1/15 1,650 1,751
Southern California Edison Co. 5.000% 1/15/16 1,125 1,184
Southern California Edison Co. 6.000% 1/15/34 6,875 7,156
Southern California Edison Co. 5.750% 4/1/35 825 832
Southern California Edison Co. 5.350% 7/15/35 4,300 4,107
Southern California Edison Co. 5.550% 1/15/36 1,300 1,294
Southern California Edison Co. 5.625% 2/1/36 6,225 6,174
Southern California Edison Co. 5.550% 1/15/37 6,475 6,488
Southern California Edison Co. 5.950% 2/1/38 410 431
Southern Co. 5.300% 1/15/12 1,650 1,763
Southern Co. 4.150% 5/15/14 3,550 3,662
Southern Power Co. 6.250% 7/15/12 3,205 3,507
Southern Power Co. 4.875% 7/15/15 6,225 6,520
Southwestern Electric Power Co. 5.550% 1/15/17 400 402
Southwestern Electric Power Co. 6.450% 1/15/19 3,625 3,829
Tampa Electric Co. 6.375% 8/15/12 3,950 4,295
Tampa Electric Co. 6.550% 5/15/36 2,825 2,939
Toledo Edison Co. 6.150% 5/15/37 6,400 6,361
TransAlta Corp. 4.750% 1/15/15 875 883
TransAlta Corp. 6.650% 5/15/18 1,225 1,282
Union Electric Co. 5.400% 2/1/16 3,100 3,163
Union Electric Co. 6.700% 2/1/19 4,300 4,733
Union Electric Co. 8.450% 3/15/39 3,225 4,233
United Utilities PLC 5.375% 2/1/19 4,600 4,580
Virginia Electric and Power Co. 5.100% 11/30/12 575 623
Virginia Electric and Power Co. 5.400% 1/15/16 875 914
Virginia Electric and Power Co. 5.000% 6/30/19 2,700 2,723
Virginia Electric and Power Co. 6.000% 1/15/36 5,575 5,851
Virginia Electric and Power Co. 6.000% 5/15/37 3,125 3,283
Virginia Electric and Power Co. 6.350% 11/30/37 3,350 3,684
Virginia Electric and Power Co. 8.875% 11/15/38 675 953
Wisconsin Electric Power Co. 6.000% 4/1/14 375 420
Wisconsin Electric Power Co. 4.250% 12/15/19 4,575 4,543
Wisconsin Electric Power Co. 5.625% 5/15/33 950 937
Wisconsin Electric Power Co. 5.700% 12/1/36 825 821
Wisconsin Energy Corp. 6.500% 4/1/11 8,425 8,909
3 Wisconsin Energy Corp. 6.250% 5/15/67 13,250 11,684
Wisconsin Power & Light Co. 5.000% 7/15/19 1,100 1,103
Wisconsin Power & Light Co. 6.375% 8/15/37 4,000 4,265
Xcel Energy Inc. 5.613% 4/1/17 536 556
Xcel Energy Inc. 6.500% 7/1/36 2,850 3,024
Natural Gas (0.6%)        
AGL Capital Corp. 7.125% 1/14/11 1,825 1,916
AGL Capital Corp. 5.250% 8/15/19 1,100 1,113
AGL Capital Corp. 6.000% 10/1/34 150 141
Atmos Energy Corp. 4.950% 10/15/14 2,780 2,904
Atmos Energy Corp. 8.500% 3/15/19 2,175 2,634
Boardwalk Pipelines LP 5.500% 2/1/17 3,175 3,168
British Transco Finance Inc. 6.625% 6/1/18 1,625 1,742
Buckeye Partners LP 6.050% 1/15/18 350 360
CenterPoint Energy Resources Corp. 7.750% 2/15/11 800 846
CenterPoint Energy Resources Corp. 7.875% 4/1/13 3,180 3,559
CenterPoint Energy Resources Corp. 6.150% 5/1/16 1,050 1,086
DCP Midstream LLC 8.125% 8/16/30 225 246
El Paso Natural Gas Co. 5.950% 4/15/17 15,805 16,228
Enbridge Energy Partners LP 6.500% 4/15/18 2,225 2,381
Enbridge Energy Partners LP 9.875% 3/1/19 4,375 5,542
Enbridge Energy Partners LP 7.500% 4/15/38 5,150 5,859
Enbridge Inc. 5.600% 4/1/17 275 288

50


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Energy Transfer Partners LP 5.650% 8/1/12 4,325 4,648
Energy Transfer Partners LP 8.500% 4/15/14 8,325 9,647
Energy Transfer Partners LP 5.950% 2/1/15 8,400 8,933
Energy Transfer Partners LP 6.125% 2/15/17 1,100 1,141
Energy Transfer Partners LP 9.000% 4/15/19 7,225 8,670
Energy Transfer Partners LP 6.625% 10/15/36 1,825 1,822
Energy Transfer Partners LP 7.500% 7/1/38 625 689
6 Enron Corp. 7.625% 9/10/04 1,600 4
6 Enron Corp. 6.625% 11/15/05 1,075 2
6 Enron Corp. 7.125% 5/15/07 6,846 16
6 Enron Corp. 6.875% 10/15/07 6,700 15
6 Enron Corp. 6.750% 8/1/09 5,145 12
Enterprise Products Operating LLC 4.950% 6/1/10 3,525 3,582
Enterprise Products Operating LLC 4.600% 8/1/12 17,100 17,957
Enterprise Products Operating LLC 5.650% 4/1/13 3,475 3,692
Enterprise Products Operating LLC 5.900% 4/15/13 2,175 2,329
Enterprise Products Operating LLC 9.750% 1/31/14 16,175 19,306
Enterprise Products Operating LLC 5.600% 10/15/14 3,626 3,878
Enterprise Products Operating LLC 6.300% 9/15/17 8,725 9,420
Enterprise Products Operating LLC 6.650% 4/15/18 2,200 2,399
Enterprise Products Operating LLC 6.500% 1/31/19 2,775 3,004
Enterprise Products Operating LLC 6.875% 3/1/33 1,900 2,000
Enterprise Products Operating LLC 6.650% 10/15/34 150 154
Enterprise Products Operating LLC 7.550% 4/15/38 1,375 1,554
EQT Corp. 6.500% 4/1/18 11,475 12,004
6 HNG Internorth 9.625% 3/15/06 3,680 8
Kinder Morgan Energy Partners LP 6.750% 3/15/11 811 856
Kinder Morgan Energy Partners LP 7.125% 3/15/12 5,410 5,889
Kinder Morgan Energy Partners LP 5.850% 9/15/12 6,175 6,614
Kinder Morgan Energy Partners LP 5.000% 12/15/13 10,650 11,104
Kinder Morgan Energy Partners LP 5.125% 11/15/14 1,725 1,793
Kinder Morgan Energy Partners LP 6.000% 2/1/17 40 43
Kinder Morgan Energy Partners LP 5.950% 2/15/18 10,200 10,848
Kinder Morgan Energy Partners LP 6.850% 2/15/20 1,675 1,871
Kinder Morgan Energy Partners LP 7.300% 8/15/33 150 164
Kinder Morgan Energy Partners LP 6.500% 2/1/37 550 555
Kinder Morgan Energy Partners LP 6.500% 9/1/39 5,250 5,294
Magellan Midstream Partners LP 5.650% 10/15/16 825 842
Magellan Midstream Partners LP 6.550% 7/15/19 4,275 4,642
National Grid PLC 6.300% 8/1/16 8,300 9,040
NuStar Logistics LP 7.650% 4/15/18 4,500 4,890
Oneok Inc. 5.200% 6/15/15 2,750 2,853
Oneok Inc. 6.000% 6/15/35 2,175 2,044
ONEOK Partners LP 5.900% 4/1/12 2,600 2,740
ONEOK Partners LP 6.150% 10/1/16 4,200 4,379
ONEOK Partners LP 8.625% 3/1/19 16,250 19,683
ONEOK Partners LP 6.650% 10/1/36 11,525 11,689
ONEOK Partners LP 6.850% 10/15/37 4,625 4,840
Panhandle Eastern Pipeline Co. LP 6.200% 11/1/17 7,425 7,805
Panhandle Eastern Pipeline Co. LP 7.000% 6/15/18 1,050 1,152
Plains All American Pipeline LP / PAA Finance Corp. 4.250% 9/1/12 2,250 2,329
Plains All American Pipeline LP / PAA Finance Corp. 6.500% 5/1/18 850 910
Plains All American Pipeline LP / PAA Finance Corp. 8.750% 5/1/19 2,350 2,781
Plains All American Pipeline LP / PAA Finance Corp. 6.650% 1/15/37 1,000 1,021
Sempra Energy 6.000% 2/1/13 700 758
Sempra Energy 6.150% 6/15/18 100 107
Southern California Gas Co. 5.750% 11/15/35 800 823
4 Southern Natural Gas Co. 5.900% 4/1/17 6,635 6,757
Southern Natural Gas Co. 8.000% 3/1/32 5,300 6,133
Southern Union Co. 7.600% 2/1/24 800 866
Spectra Energy Capital LLC 6.250% 2/15/13 1,146 1,235
Spectra Energy Capital LLC 5.500% 3/1/14 2,975 3,056
Spectra Energy Capital LLC 5.668% 8/15/14 150 162
Spectra Energy Capital LLC 6.200% 4/15/18 925 987

51


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Spectra Energy Capital LLC 6.750% 2/15/32 2,175 2,204
Texas Eastern Transmission LP 7.000% 7/15/32 200 225
Texas Gas Transmission LLC 4.600% 6/1/15 2,450 2,495
TransCanada PipeLines Ltd. 4.000% 6/15/13 3,300 3,376
TransCanada PipeLines Ltd. 6.500% 8/15/18 3,800 4,269
TransCanada PipeLines Ltd. 7.125% 1/15/19 4,475 5,242
TransCanada PipeLines Ltd. 5.600% 3/31/34 2,505 2,413
TransCanada PipeLines Ltd. 5.850% 3/15/36 13,025 12,963
TransCanada PipeLines Ltd. 6.200% 10/15/37 4,550 4,809
TransCanada PipeLines Ltd. 7.250% 8/15/38 1,500 1,782
TransCanada PipeLines Ltd. 7.625% 1/15/39 1,229 1,505
3 TransCanada PipeLines Ltd. 6.350% 5/15/67 10,755 9,928
Transcontinental Gas Pipe Line Co. LLC 7.000% 8/15/11 3,425 3,695
Williams Cos. Inc. 7.125% 9/1/11 5,975 6,352
Williams Cos. Inc. 8.125% 3/15/12 2,075 2,245
Williams Cos. Inc. 7.625% 7/15/19 9,125 10,128
Williams Cos. Inc. 7.500% 1/15/31 9,050 9,769
Williams Cos. Inc. 7.750% 6/15/31 2,200 2,411
Other Utility (0.0%)        
Veolia Environnement 6.750% 6/1/38 125 136
 
        1,510,643
 
Total Corporate Bonds (Cost $12,991,944)       13,511,745
 
Sovereign Bonds (U.S. Dollar-Denominated) (3.8%)        
African Development Bank 1.000% 11/23/11 5,275 5,241
African Development Bank 1.750% 10/1/12 4,200 4,179
African Development Bank 3.000% 5/27/14 16,625 16,541
Asian Development Bank 2.125% 3/15/12 4,425 4,499
Asian Development Bank 4.500% 9/4/12 1,050 1,117
Asian Development Bank 3.625% 9/5/13 22,675 23,875
Asian Development Bank 2.750% 5/21/14 17,345 17,321
Asian Development Bank 5.500% 6/27/16 1,125 1,245
Asian Development Bank 5.250% 6/12/17 600 656
Asian Development Bank 5.593% 7/16/18 2,778 3,004
Brazilian Government International Bond 11.000% 1/11/12 3,900 4,602
Brazilian Government International Bond 10.250% 6/17/13 2,050 2,529
Brazilian Government International Bond 7.875% 3/7/15 6,300 7,351
Brazilian Government International Bond 6.000% 1/17/17 23,275 24,904
3 Brazilian Government International Bond 8.000% 1/15/18 21,704 24,743
Brazilian Government International Bond 5.875% 1/15/19 20,175 21,436
Brazilian Government International Bond 8.875% 10/14/19 10,950 14,084
Brazilian Government International Bond 8.875% 4/15/24 4,325 5,601
Brazilian Government International Bond 8.750% 2/4/25 11,525 14,867
Brazilian Government International Bond 10.125% 5/15/27 11,525 16,913
Brazilian Government International Bond 8.250% 1/20/34 18,525 23,573
Brazilian Government International Bond 7.125% 1/20/37 14,731 16,864
Brazilian Government International Bond 11.000% 8/17/40 24,275 32,346
Brazilian Government International Bond 5.625% 1/7/41 17,325 16,242
Canada Government International Bond 2.375% 9/10/14 4,175 4,115
Canada Mortgage & Housing Corp. 4.800% 10/1/10 1,050 1,073
Chile Government International Bond 7.125% 1/11/12 2,875 3,202
Chile Government International Bond 5.500% 1/15/13 2,840 3,140
China Development Bank Corp. 4.750% 10/8/14 3,475 3,561
China Development Bank Corp. 5.000% 10/15/15 1,375 1,483
China Government International Bond 4.750% 10/29/13 5,550 5,890
Corp Andina de Fomento 8.125% 6/4/19 10,300 11,763
Corp. Andina de Fomento 5.200% 5/21/13 4,350 4,587
Corp. Andina de Fomento 5.750% 1/12/17 15,825 15,799
Development Bank of Japan 4.250% 6/9/15 1,975 2,045
Eksportfinans ASA 3.000% 11/17/14 6,650 6,548
Eksportfinans ASA 5.500% 5/25/16 8,170 8,789
Eksportfinans ASA 5.500% 6/26/17 7,125 7,556

52


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
European Bank for Reconstruction & Development 1.250% 6/10/11 1,000 1,001
European Investment Bank 3.250% 2/15/11 9,625 9,817
European Investment Bank 2.625% 5/16/11 4,725 4,801
European Investment Bank 5.250% 6/15/11 11,275 11,887
European Investment Bank 3.125% 7/15/11 3,275 3,379
European Investment Bank 3.250% 10/14/11 14,625 15,089
European Investment Bank 2.625% 11/15/11 3,275 3,347
European Investment Bank 2.000% 2/10/12 61,975 62,660
European Investment Bank 4.625% 3/21/12 27,400 29,021
European Investment Bank 1.750% 9/14/12 10,600 10,560
European Investment Bank 2.875% 3/15/13 7,500 7,550
European Investment Bank 3.250% 5/15/13 19,175 19,540
European Investment Bank 4.250% 7/15/13 31,050 32,707
^ European Investment Bank 2.375% 3/14/14 24,750 24,738
European Investment Bank 4.625% 5/15/14 33,717 36,247
European Investment Bank 3.125% 6/4/14 44,725 45,353
European Investment Bank 4.875% 2/16/16 13,800 14,777
European Investment Bank 5.125% 9/13/16 2,025 2,216
European Investment Bank 4.875% 1/17/17 19,500 20,861
European Investment Bank 5.125% 5/30/17 26,950 29,185
European Investment Bank 4.875% 2/15/36 300 286
Export Development Canada 2.625% 3/15/11 16 16
Export Development Canada 3.750% 7/15/11 550 571
Export Development Canada 2.625% 11/15/11 5,075 5,201
Export Development Canada 2.375% 3/19/12 9,625 9,809
Export Development Canada 1.750% 9/24/12 19,875 19,809
Export-Import Bank of Korea 5.125% 2/14/11 9,275 9,525
Export-Import Bank of Korea 5.500% 10/17/12 7,625 7,954
Export-Import Bank of Korea 8.125% 1/21/14 16,575 19,264
Export-Import Bank of Korea 5.875% 1/14/15 6,450 6,935
Export-Import Bank of Korea 5.125% 3/16/15 875 897
Financement-Quebec 5.000% 10/25/12 3,500 3,740
Hungary Government International Bond 4.750% 2/3/15 3,100 3,047
Hydro Quebec 6.300% 5/11/11 15,775 16,836
Hydro Quebec 8.000% 2/1/13 9,675 11,266
Hydro Quebec 7.500% 4/1/16 1,400 1,657
Hydro Quebec 8.400% 1/15/22 2,675 3,465
Hydro Quebec 8.050% 7/7/24 2,375 2,909
Hydro Quebec 8.500% 12/1/29 400 530
Inter-American Development Bank 8.500% 3/15/11 1,715 1,854
Inter-American Development Bank 1.500% 6/23/11 2,000 2,016
Inter-American Development Bank 4.375% 9/20/12 80 85
Inter-American Development Bank 4.750% 10/19/12 3,850 4,127
Inter-American Development Bank 3.500% 3/15/13 9,375 9,752
Inter-American Development Bank 3.000% 4/22/14 23,900 24,040
Inter-American Development Bank 4.250% 9/14/15 6,475 6,779
Inter-American Development Bank 5.125% 9/13/16 200 218
Inter-American Development Bank 4.250% 9/10/18 16,725 17,143
Inter-American Development Bank 3.875% 9/17/19 42,725 42,328
Inter-American Development Bank 7.000% 6/15/25 2,450 2,907
International Bank for Reconstruction & Development 3.125% 11/15/11 600 617
International Bank for Reconstruction & Development 2.000% 4/2/12 35,215 35,599
International Bank for Reconstruction & Development 3.500% 10/8/13 21,450 22,358
International Bank for Reconstruction & Development 5.000% 4/1/16 14,525 15,672
International Bank for Reconstruction & Development 7.625% 1/19/23 3,250 4,155
International Bank for Reconstruction & Development 8.875% 3/1/26 850 1,172
International Bank for Reconstruction & Development 4.750% 2/15/35 1,575 1,467
International Finance Corp. 3.500% 5/15/13 6,700 6,833
International Finance Corp. 3.000% 4/22/14 25,512 25,487
Israel Government International Bond 4.625% 6/15/13 2,275 2,412
Israel Government International Bond 5.125% 3/1/14 800 858
Israel Government International Bond 5.500% 11/9/16 6,975 7,488
Israel Government International Bond 5.125% 3/26/19 17,800 18,084
Italian Republic 6.000% 2/22/11 12,846 13,542

53


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Italian Republic 3.500% 7/15/11 6,950 7,164
Italian Republic 5.625% 6/15/12 11,425 12,445
Italian Republic 2.125% 10/5/12 9,850 9,839
Italian Republic 4.375% 6/15/13 125 133
Italian Republic 4.500% 1/21/15 14,350 15,247
Italian Republic 4.750% 1/25/16 20,375 21,161
Italian Republic 5.250% 9/20/16 29,801 31,746
Italian Republic 6.875% 9/27/23 10,100 11,403
Italian Republic 5.375% 6/15/33 15,300 14,980
Japan Bank for International Cooperation 4.750% 5/25/11 1,750 1,837
Japan Bank for International Cooperation 2.125% 11/5/12 11,050 11,007
Japan Bank for International Cooperation 4.375% 11/26/12 5,025 5,327
Japan Bank for International Cooperation 4.250% 6/18/13 19,725 20,848
Japan Finance Corp. 2.000% 6/24/11 1,210 1,226
Japan Finance Organization for Municipalities 5.875% 3/14/11 325 343
Japan Finance Organization for Municipalities 4.625% 4/21/15 6,600 6,915
Japan Finance Organization for Municipalities 5.000% 5/16/17 3,950 4,152
Korea Development Bank 5.300% 1/17/13 2,050 2,141
Korea Development Bank 5.750% 9/10/13 9,390 9,853
Korea Development Bank 8.000% 1/23/14 10,400 11,843
Korea Electric Power Corp. 7.750% 4/1/13 5,475 6,042
Kreditanstalt fuer Wiederaufbau 3.125% 11/15/10 3,575 3,654
Kreditanstalt fuer Wiederaufbau 3.250% 2/15/11 20,225 20,732
Kreditanstalt fuer Wiederaufbau 1.875% 3/15/11 4,475 4,525
Kreditanstalt fuer Wiederaufbau 3.750% 6/27/11 20,650 21,421
Kreditanstalt fuer Wiederaufbau 3.250% 10/14/11 13,257 13,704
Kreditanstalt fuer Wiederaufbau 2.000% 1/17/12 34,625 35,061
Kreditanstalt fuer Wiederaufbau 2.250% 4/16/12 9,650 9,743
Kreditanstalt fuer Wiederaufbau 4.750% 5/15/12 12,525 13,324
Kreditanstalt fuer Wiederaufbau 3.250% 3/15/13 77,075 78,116
Kreditanstalt fuer Wiederaufbau 3.500% 5/16/13 11,450 11,685
Kreditanstalt fuer Wiederaufbau 4.000% 10/15/13 22,875 23,806
Kreditanstalt fuer Wiederaufbau 3.500% 3/10/14 21,825 22,289
Kreditanstalt fuer Wiederaufbau 4.125% 10/15/14 1,300 1,377
Kreditanstalt fuer Wiederaufbau 2.750% 10/21/14 14,800 14,657
Kreditanstalt fuer Wiederaufbau 5.125% 3/14/16 27,085 29,537
Kreditanstalt fuer Wiederaufbau 4.375% 3/15/18 13,525 13,746
Kreditanstalt fuer Wiederaufbau 4.500% 7/16/18 13,725 14,080
Kreditanstalt fuer Wiederaufbau 4.875% 6/17/19 20,300 21,478
Landeskreditbank Baden-Wuerttemberg Foerderbank 4.875% 1/13/12 9,375 9,770
Landwirtschaftliche Rentenbank 5.250% 7/2/12 6,825 7,331
Landwirtschaftliche Rentenbank 1.875% 9/24/12 17,525 17,478
Landwirtschaftliche Rentenbank 3.250% 3/15/13 19,575 19,911
Landwirtschaftliche Rentenbank 4.125% 7/15/13 6,925 7,247
Landwirtschaftliche Rentenbank 4.875% 11/16/15 9,125 9,772
Landwirtschaftliche Rentenbank 5.000% 11/8/16 76 82
Landwirtschaftliche Rentenbank 5.125% 2/1/17 6,975 7,416
Malaysia Government International Bond 7.500% 7/15/11 8,675 9,404
Mexico Government International Bond 8.375% 1/14/11 3,767 4,050
Mexico Government International Bond 7.500% 1/14/12 2,372 2,627
Mexico Government International Bond 6.375% 1/16/13 7,411 8,143
Mexico Government International Bond 5.875% 1/15/14 12,125 13,216
Mexico Government International Bond 6.625% 3/3/15 2,086 2,319
Mexico Government International Bond 11.375% 9/15/16 4,725 6,525
Mexico Government International Bond 5.625% 1/15/17 40,596 42,573
Mexico Government International Bond 8.300% 8/15/31 9,800 12,123
Mexico Government International Bond 6.750% 9/27/34 50,299 53,306
Nordic Investment Bank 3.875% 6/15/10 550 553
Nordic Investment Bank 4.875% 3/15/11 400 419
Nordic Investment Bank 2.625% 10/6/14 9,375 9,268
Nordic Investment Bank 5.000% 2/1/17 4,200 4,492
Oesterreichische Kontrollbank AG 2.875% 3/15/11 9,375 9,492
^ Oesterreichische Kontrollbank AG 3.125% 10/14/11 4,645 4,751
Oesterreichische Kontrollbank AG 4.750% 11/8/11 2,525 2,667

54


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Oesterreichische Kontrollbank AG 1.875% 3/21/12 16,200 16,203
Oesterreichische Kontrollbank AG 4.750% 10/16/12 4,975 5,361
Oesterreichische Kontrollbank AG 5.000% 4/25/17 13,075 13,623
Ontario Electricity Financial Corp. 7.450% 3/31/13 3,650 4,143
Pemex Project Funding Master Trust 9.125% 10/13/10 295 311
Pemex Project Funding Master Trust 5.750% 3/1/18 30,500 30,719
Pemex Project Funding Master Trust 6.625% 6/15/35 11,149 10,580
Pemex Project Funding Master Trust 6.625% 6/15/38 5,625 5,230
Peruvian Government International Bond 9.125% 2/21/12 800 925
Peruvian Government International Bond 9.875% 2/6/15 5,575 7,038
Peruvian Government International Bond 8.375% 5/3/16 275 333
Peruvian Government International Bond 7.125% 3/30/19 17,150 19,723
Peruvian Government International Bond 7.350% 7/21/25 8,275 9,475
3 Peruvian Government International Bond 6.550% 3/14/37 11,200 11,648
Petrobras International Finance Co. 6.125% 10/6/16 12,750 13,685
Petrobras International Finance Co. 5.875% 3/1/18 11,625 11,767
Petrobras International Finance Co. 8.375% 12/10/18 9,600 11,364
Petrobras International Finance Co. 7.875% 3/15/19 18,758 21,651
Petrobras International Finance Co. 5.750% 1/20/20 5,300 5,359
Petrobras International Finance Co. 6.875% 1/20/40 5,500 5,599
4 Petroleos Mexicanos 4.875% 3/15/15 6,600 6,543
Petroleos Mexicanos 8.000% 5/3/19 5,075 5,861
4 Petronas Capital Ltd. 5.250% 8/12/19 1,000 997
Poland Government International Bond 6.250% 7/3/12 8,125 8,785
Poland Government International Bond 5.250% 1/15/14 1,270 1,359
Poland Government International Bond 5.000% 10/19/15 2,875 3,019
Poland Government International Bond 6.375% 7/15/19 36,950 40,183
Province of Manitoba Canada 4.900% 12/6/16 2,750 2,883
Province of Nova Scotia Canada 5.750% 2/27/12 1,550 1,657
Province of Ontario Canada 2.750% 2/22/11 8,425 8,574
Province of Ontario Canada 3.375% 5/20/11 725 746
Province of Ontario Canada 5.000% 10/18/11 15,500 16,474
Province of Ontario Canada 1.875% 11/19/12 19,050 18,928
Province of Ontario Canada 4.100% 6/16/14 26,770 27,891
Province of Ontario Canada 4.750% 1/19/16 1,675 1,753
Province of Ontario Canada 5.450% 4/27/16 29,275 31,832
Province of Ontario Canada 4.000% 10/7/19 18,775 17,915
Province of Quebec Canada 4.875% 5/5/14 3,825 4,062
Province of Quebec Canada 4.600% 5/26/15 7,475 7,803
Province of Quebec Canada 5.125% 11/14/16 16,975 18,273
Province of Quebec Canada 4.625% 5/14/18 7,275 7,369
Province of Quebec Canada 7.125% 2/9/24 905 1,058
Province of Quebec Canada 7.500% 9/15/29 7,001 8,774
Province of Saskatchewan Canada 7.375% 7/15/13 1,275 1,453
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III 5.500% 9/30/14 350 369
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III 6.750% 9/30/19 350 381
Region of Lombardy Italy 5.804% 10/25/32 6,070 5,933
Republic of Korea 4.250% 6/1/13 18,625 19,169
Republic of Korea 5.750% 4/16/14 7,800 8,480
Republic of Korea 4.875% 9/22/14 425 450
Republic of Korea 7.125% 4/16/19 7,500 8,619
Republic of Korea 5.625% 11/3/25 1,325 1,344
South Africa Government International Bond 7.375% 4/25/12 7,350 8,076
South Africa Government International Bond 6.500% 6/2/14 2,425 2,668
South Africa Government International Bond 6.875% 5/27/19 14,300 16,052
South Africa Government International Bond 5.875% 5/30/22 4,125 4,228
Svensk Exportkredit AB 4.000% 6/15/10 2,150 2,185
Svensk Exportkredit AB 3.250% 9/16/14 7,000 6,999
Svensk Exportkredit AB 5.125% 3/1/17 1,175 1,242
United Mexican States 5.875% 2/17/14 4,175 4,540
United Mexican States 5.950% 3/19/19 21,550 22,789
United Mexican States 6.050% 1/11/40 6,025 5,792
Total Sovereign Bonds (Cost $2,495,676)       2,550,497

55


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
 
Taxable Municipal Bonds (0.4%)        
American Muni. Power Ohio Inc. 6.053% 2/15/43 900 851
Bay Area Toll Auth. CA Toll Bridge Rev. 6.263% 4/1/49 5,925 5,682
Board of Trustees of The Leland Stanford Junior        
University 3.625% 5/1/14 7,100 7,306
Board of Trustees of The Leland Stanford Junior        
University 4.250% 5/1/16 2,100 2,148
California GO 5.250% 4/1/14 3,200 3,241
California GO 6.200% 10/1/19 10,500 10,222
California GO 7.500% 4/1/34 22,500 22,005
California GO 5.650% 4/1/39 3,550 3,671
California GO 7.300% 10/1/39 3,075 2,906
California GO 7.350% 11/1/39 20,700 20,161
Central Puget Sound WA Regional Transit Auth. Sales        
& Use Tax Rev. 5.491% 11/1/39 1,400 1,356
Chicago IL Board of Educ. GO 6.138% 12/1/39 600 605
Chicago IL Metro. Water Reclamation Dist. GO 5.720% 12/1/38 2,850 2,858
Chicago IL Transit Auth. Rev. 6.899% 12/1/40 7,800 8,145
Clark County NV Airport Improvement Rev. 6.881% 7/1/42 1,400 1,375
Commonwealth Financing Auth. Pennsylvania Rev. 6.218% 6/1/39 6,025 6,007
Connecticut GO 5.850% 3/15/32 4,550 4,605
Dallas County Hosp. Dist. GO 5.621% 8/15/44 2,000 1,962
Dallas TX Area Rapid Transit Rev. 5.999% 12/1/44 1,050 1,078
Dartmouth College 4.750% 6/1/19 650 658
Denver CO City & County School Dist. 5.664% 12/1/33 1,250 1,223
District of Columbia Income Tax Rev. 5.591% 12/1/34 1,050 1,023
Georgia GO 4.503% 11/1/25 5,750 5,519
Howard Hughes Medical Institute 3.450% 9/1/14 3,825 3,877
Illinois GO 4.950% 6/1/23 11,925 11,157
Illinois GO 5.100% 6/1/33 39,524 33,037
Illinois State Tollway Highway Auth. Toll Highway Rev. 6.184% 1/1/34 880 893
Illinois State Tollway Highway Auth. Toll Highway Rev. 5.851% 12/1/34 1,550 1,507
Johns Hopkins University 5.250% 7/1/19 7,525 7,777
Kansas Dev. Finance Auth. Rev. (Public Employee        
Retirement System) 5.501% 5/1/34 4,350 4,142
Las Vegas Valley Water Dist. Nevada GO 7.013% 6/1/39 1,600 1,689
Los Angeles CA Dept. of Water & Power Rev. 6.008% 7/1/39 6,000 5,877
Los Angeles CA USD GO 5.750% 7/1/34 4,125 3,800
Maryland Transp. Auth. Rev. 5.888% 7/1/43 2,000 2,011
Massachusetts GO 5.456% 12/1/39 5,000 4,819
Massachusetts School Building Auth. Dedicated Sales        
Tax Rev. 5.715% 8/15/39 2,400 2,374
Metro. New York Transp. Auth. Rev. 5.871% 11/15/39 2,050 1,947
Metro. Washington DC Airports Auth. Rev. 7.462% 10/1/46 1,300 1,319
Missouri Highways & Transp. Comm. State Road Rev. 5.445% 5/1/33 1,550 1,484
New Jersey Econ. Dev. Auth. 7.425% 2/15/29 9,250 9,961
New Jersey Turnpike Auth. Rev. 4.252% 1/1/16 190 198
New Jersey Turnpike Auth. Rev. 4.252% 1/1/16 2,735 2,760
New Jersey Turnpike Auth. Rev. 7.414% 1/1/40 11,225 12,653
New York City NY GO 5.985% 12/1/36 1,550 1,521
New York City NY Muni. Water Finance Auth. Water &        
Sewer System Rev. 5.750% 6/15/41 1,300 1,267
New York City NY Transitional Finance Auth. Rev. 5.767% 8/1/36 2,000 1,938
New York Metro. Transp. Auth. Rev. 7.336% 11/15/39 2,100 2,345
New York State Urban Dev. Corp. Rev. 5.770% 3/15/39 5,350 5,297
North Texas Tollway Auth. Rev. 6.718% 1/1/49 3,350 3,523
Oregon (Taxable Pension) GO 5.762% 6/1/23 1,850 1,877
Oregon (Taxable Pension) GO 5.892% 6/1/27 2,525 2,536
Oregon GO 4.759% 6/30/28 1,950 1,609
Oregon GO 5.528% 6/30/28 1,150 1,106
Pennsylvania Turnpike Comm. Rev. 6.105% 12/1/39 400 410
Port Auth. of New York & New Jersey Rev. 6.040% 12/1/29 2,375 2,361
Princeton University 5.700% 3/1/39 3,500 3,608

56


Vanguard® Total Bond Market Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
San Antonio TX Electric & Gas Rev. 5.985% 2/1/39 4,075 4,148
Tobacco Settlement Finance Auth. Rev. 7.467% 6/1/47 3,895 3,074
Univ. of California Regents 6.583% 5/15/49 2,425 2,422
Univ. of Texas Permanent Univ. Fund Rev. 5.262% 7/1/39 1,550 1,488
Univ. of Texas Permanent Univ. Fund Rev. 6.276% 8/15/41 1,425 1,438
Utah GO 4.554% 7/1/24 2,275 2,227
Washington GO 5.481% 8/1/39 720 697
Wisconsin GO 4.800% 5/1/13 2,400 2,586
Wisconsin GO 5.700% 5/1/26 2,675 2,595
 
Total Taxable Municipal Bonds (Cost $285,733)       277,962
 
 
      Shares  
 
Temporary Cash Investment (4.3%)        
Money Market Fund (4.3%)        
7,8 Vanguard Market Liquidity Fund (Cost $2,934,013) 0.187%   2,934,012,346 2,934,013
 
 
Total Investments (103.3%) (Cost $68,650,450)       70,124,670
Other Assets and Liabilities—Net (-3.3%)8       (2,253,436)
Net Assets (100%)       67,871,234

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $11,303,000.
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 $363,669,000, representing 0.5% 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.
8 Includes $11,372,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
USD—United School District.

57


Vanguard® Short-Term Bond Index Fund
Schedule of Investments
December 31, 2009

      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
 
U.S. Government and Agency Obligations (70.8%)        
U.S. Government Securities (52.7%)        
United States Treasury Inflation Indexed Bonds 3.500% 1/15/11 9,125 11,755
United States Treasury Note/Bond 4.750% 2/15/10 4,075 4,096
United States Treasury Note/Bond 2.000% 2/28/10 4,425 4,437
United States Treasury Note/Bond 4.500% 5/15/10 23,120 23,481
United States Treasury Note/Bond 2.625% 5/31/10 27,325 27,594
United States Treasury Note/Bond 5.750% 8/15/10 5,920 6,117
United States Treasury Note/Bond 2.000% 9/30/10 54,775 55,417
United States Treasury Note/Bond 4.500% 11/15/10 27,265 28,211
United States Treasury Note/Bond 1.250% 11/30/10 207,175 208,665
United States Treasury Note/Bond 4.375% 12/15/10 191,530 198,532
United States Treasury Note/Bond 0.875% 12/31/10 237,160 238,011
United States Treasury Note/Bond 5.000% 2/15/11 56,290 58,990
United States Treasury Note/Bond 0.875% 2/28/11 300,325 301,028
United States Treasury Note/Bond 4.500% 2/28/11 95,410 99,584
United States Treasury Note/Bond 0.875% 3/31/11 40,275 40,344
United States Treasury Note/Bond 4.750% 3/31/11 79,675 83,572
United States Treasury Note/Bond 0.875% 4/30/11 121,250 121,402
United States Treasury Note/Bond 4.875% 4/30/11 133,885 140,998
United States Treasury Note/Bond 0.875% 5/31/11 1,795 1,797
United States Treasury Note/Bond 1.125% 6/30/11 138,750 139,293
United States Treasury Note/Bond 5.125% 6/30/11 167,480 177,948
United States Treasury Note/Bond 1.000% 7/31/11 46,125 46,190
United States Treasury Note/Bond 4.875% 7/31/11 39,025 41,440
United States Treasury Note/Bond 1.000% 8/31/11 36,769 36,781
United States Treasury Note/Bond 4.625% 8/31/11 73,975 78,436
United States Treasury Note/Bond 1.000% 9/30/11 16,525 16,517
United States Treasury Note/Bond 4.500% 9/30/11 168,490 178,599
United States Treasury Note/Bond 1.000% 10/31/11 85,180 85,100
United States Treasury Note/Bond 4.625% 10/31/11 127,550 135,820
United States Treasury Note/Bond 1.750% 11/15/11 42,375 42,911
United States Treasury Note/Bond 4.500% 11/30/11 104,975 111,766
United States Treasury Note/Bond 1.125% 12/15/11 62,355 62,374
United States Treasury Note/Bond 1.000% 12/31/11 186,000 185,477
United States Treasury Note/Bond 4.625% 12/31/11 25,025 26,738
United States Treasury Note/Bond 1.125% 1/15/12 234,695 234,474
United States Treasury Note/Bond 4.750% 1/31/12 53,240 57,141
United States Treasury Note/Bond 1.375% 2/15/12 72,300 72,503
United States Treasury Note/Bond 4.625% 2/29/12 50,805 54,465
United States Treasury Note/Bond 1.375% 3/15/12 9,600 9,622
United States Treasury Note/Bond 4.500% 3/31/12 132,385 141,693
United States Treasury Note/Bond 1.375% 4/15/12 20,525 20,547
United States Treasury Note/Bond 4.500% 4/30/12 82,335 88,279
United States Treasury Note/Bond 1.375% 5/15/12 209,750 209,784
United States Treasury Note/Bond 4.750% 5/31/12 102,840 111,067
United States Treasury Note/Bond 1.875% 6/15/12 149,925 151,565
United States Treasury Note/Bond 4.875% 6/30/12 111,070 120,477
United States Treasury Note/Bond 1.500% 7/15/12 12,400 12,421
United States Treasury Note/Bond 4.625% 7/31/12 116,340 125,666
United States Treasury Note/Bond 1.750% 8/15/12 245,745 247,357
United States Treasury Note/Bond 4.375% 8/15/12 3,230 3,475
United States Treasury Note/Bond 4.125% 8/31/12 36,625 39,160
United States Treasury Note/Bond 1.375% 9/15/12 61,500 61,232
United States Treasury Note/Bond 1.375% 10/15/12 49,800 49,536
United States Treasury Note/Bond 3.875% 10/31/12 82,080 87,351
United States Treasury Note/Bond 1.375% 11/15/12 177,917 176,695
United States Treasury Note/Bond 4.000% 11/15/12 15,180 16,219
United States Treasury Note/Bond 3.375% 11/30/12 26,490 27,823
United States Treasury Note/Bond 1.125% 12/15/12 274,725 270,390
United States Treasury Note/Bond 3.875% 2/15/13 90,205 96,096
United States Treasury Note/Bond 2.750% 2/28/13 37,450 38,597
United States Treasury Note/Bond 3.625% 5/15/13 12,505 13,244

58


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
United States Treasury Note/Bond 3.500% 5/31/13 146,110 154,009
United States Treasury Note/Bond 3.375% 6/30/13 26,575 27,900
United States Treasury Note/Bond 3.375% 7/31/13 600 630
United States Treasury Note/Bond 4.250% 8/15/13 51,525 55,615
United States Treasury Note/Bond 3.125% 8/31/13 105,330 109,494
United States Treasury Note/Bond 3.125% 9/30/13 216,375 224,928
United States Treasury Note/Bond 2.750% 10/31/13 221,900 227,310
United States Treasury Note/Bond 4.250% 11/15/13 35,680 38,551
United States Treasury Note/Bond 2.000% 11/30/13 82,815 82,388
United States Treasury Note/Bond 1.500% 12/31/13 70,950 69,099
United States Treasury Note/Bond 1.750% 1/31/14 128,645 126,233
United States Treasury Note/Bond 4.000% 2/15/14 1,700 1,818
United States Treasury Note/Bond 1.875% 2/28/14 187,085 184,045
United States Treasury Note/Bond 1.750% 3/31/14 127,915 124,898
United States Treasury Note/Bond 1.875% 4/30/14 219,600 215,105
United States Treasury Note/Bond 4.750% 5/15/14 73,625 81,034
United States Treasury Note/Bond 2.250% 5/31/14 188,835 187,566
United States Treasury Note/Bond 2.625% 6/30/14 213,730 215,333
United States Treasury Note/Bond 2.625% 7/31/14 232,160 233,393
United States Treasury Note/Bond 2.375% 8/31/14 45,025 44,701
United States Treasury Note/Bond 2.375% 9/30/14 6,100 6,050
United States Treasury Note/Bond 2.375% 10/31/14 145,485 143,940
United States Treasury Note/Bond 2.125% 11/30/14 202,055 197,351
United States Treasury Note/Bond 2.625% 12/31/14 136,000 135,309
        8,443,000
Agency Bonds and Notes (18.1%)        
1 American Express Bank FSB 3.150% 12/9/11 15,675 16,219
1 Bank of America Corp. 2.100% 4/30/12 27,175 27,485
1 Bank of America Corp. 3.125% 6/15/12 37,125 38,533
1 Bank of America Corp. 2.375% 6/22/12 7,675 7,820
1 Bank of America NA 1.700% 12/23/10 7,500 7,575
1 Bank of the West 2.150% 3/27/12 4,050 4,105
1 Citibank NA 1.625% 3/30/11 3,550 3,581
1 Citibank NA 1.500% 7/12/11 4,400 4,425
1 Citibank NA 1.375% 8/10/11 6,000 6,024
1 Citibank NA 1.250% 9/22/11 1,875 1,877
1 Citibank NA 1.875% 5/7/12 7,050 7,101
1 Citibank NA 1.750% 12/28/12 13,700 13,618
1 Citigroup Funding Inc. 1.375% 5/5/11 10,500 10,559
1 Citigroup Funding Inc. 2.000% 3/30/12 3,550 3,581
1 Citigroup Funding Inc. 2.125% 7/12/12 21,425 21,635
1 Citigroup Funding Inc. 1.875% 10/22/12 8,912 8,897
1 Citigroup Funding Inc. 2.250% 12/10/12 3,000 3,025
1 Citigroup Inc. 2.875% 12/9/11 22,820 23,484
1 Citigroup Inc. 2.125% 4/30/12 36,525 36,979
2 Federal Farm Credit Bank 4.875% 2/18/11 7,000 7,320
2 Federal Farm Credit Bank 2.625% 4/21/11 6,750 6,908
2 Federal Farm Credit Bank 5.375% 7/18/11 2,100 2,236
2 Federal Farm Credit Bank 3.875% 8/25/11 6,300 6,580
2 Federal Farm Credit Bank 2.000% 1/17/12 5,000 5,065
2 Federal Farm Credit Bank 2.250% 4/24/12 3,800 3,862
2 Federal Farm Credit Bank 2.125% 6/18/12 8,700 8,809
2 Federal Farm Credit Bank 4.500% 10/17/12 24,200 25,915
2 Federal Farm Credit Bank 1.875% 12/7/12 6,200 6,180
2 Federal Farm Credit Bank 3.875% 10/7/13 17,500 18,411
2 Federal Farm Credit Bank 2.625% 4/17/14 5,500 5,486
2 Federal Farm Credit Bank 3.000% 9/22/14 3,500 3,528
2 Federal Home Loan Banks 3.250% 3/11/11 16,000 16,473
2 Federal Home Loan Banks 1.625% 3/16/11 45,300 45,776
2 Federal Home Loan Banks 1.375% 5/16/11 24,025 24,182
2 Federal Home Loan Banks 3.125% 6/10/11 900 926
2 Federal Home Loan Banks 3.375% 6/24/11 25,000 25,883
2 Federal Home Loan Banks 3.625% 7/1/11 10,300 10,699
2 Federal Home Loan Banks 1.625% 7/27/11 79,875 80,643

59


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
2 Federal Home Loan Banks 5.375% 8/19/11 37,350 39,956
2 Federal Home Loan Banks 3.750% 9/9/11 52,800 55,039
2 Federal Home Loan Banks 3.625% 9/16/11 20,575 21,450
2 Federal Home Loan Banks 4.875% 11/18/11 46,750 49,954
2 Federal Home Loan Banks 1.000% 12/28/11 20,850 20,767
2 Federal Home Loan Banks 1.875% 6/20/12 17,500 17,656
2 Federal Home Loan Banks 1.750% 8/22/12 14,425 14,441
2 Federal Home Loan Banks 1.625% 9/26/12 21,000 20,916
2,3 Federal Home Loan Banks 2.000% 10/5/12 42,720 42,667
2,3 Federal Home Loan Banks 2.000% 11/9/12 10,300 10,249
2 Federal Home Loan Banks 4.500% 11/15/12 30,000 32,227
2 Federal Home Loan Banks 1.750% 12/14/12 10,600 10,528
2 Federal Home Loan Banks 1.500% 1/16/13 14,725 14,536
2 Federal Home Loan Banks 5.125% 8/14/13 24,575 27,033
2 Federal Home Loan Banks 4.000% 9/6/13 20,000 21,215
2 Federal Home Loan Banks 5.250% 9/13/13 5,425 5,969
2 Federal Home Loan Banks 4.500% 9/16/13 4,850 5,227
2 Federal Home Loan Banks 3.625% 10/18/13 48,675 50,989
2 Federal Home Loan Banks 4.875% 11/27/13 2,950 3,226
2 Federal Home Loan Banks 5.500% 8/13/14 20,000 22,415
2 Federal Home Loan Mortgage Corp. 4.750% 1/18/11 24,000 24,955
2 Federal Home Loan Mortgage Corp. 3.250% 2/25/11 28,500 29,324
2 Federal Home Loan Mortgage Corp. 5.625% 3/15/11 20,000 21,139
2 Federal Home Loan Mortgage Corp. 5.125% 4/18/11 26,000 27,420
2 Federal Home Loan Mortgage Corp. 1.625% 4/26/11 9,700 9,802
2 Federal Home Loan Mortgage Corp. 6.000% 6/15/11 12,500 13,416
2 Federal Home Loan Mortgage Corp. 3.875% 6/29/11 4,475 4,667
2 Federal Home Loan Mortgage Corp. 5.250% 7/18/11 22,500 23,959
2,3 Federal Home Loan Mortgage Corp. 4.500% 11/15/11 9,000 9,538
2 Federal Home Loan Mortgage Corp. 1.125% 12/15/11 45,000 44,932
2 Federal Home Loan Mortgage Corp. 4.750% 3/5/12 13,000 13,935
2 Federal Home Loan Mortgage Corp. 2.125% 3/23/12 36,375 36,970
2 Federal Home Loan Mortgage Corp. 1.750% 6/15/12 42,000 42,258
2 Federal Home Loan Mortgage Corp. 5.500% 8/20/12 30,000 32,936
2 Federal Home Loan Mortgage Corp. 2.125% 9/21/12 63,670 64,288
2 Federal Home Loan Mortgage Corp. 4.625% 10/25/12 36,300 39,089
2 Federal Home Loan Mortgage Corp. 4.125% 12/21/12 22,850 24,270
2 Federal Home Loan Mortgage Corp. 4.500% 7/15/13 69,000 74,444
2 Federal Home Loan Mortgage Corp. 4.125% 9/27/13 14,075 14,990
2 Federal Home Loan Mortgage Corp. 2.500% 1/7/14 30,000 30,028
2 Federal Home Loan Mortgage Corp. 4.500% 1/15/14 15,000 16,170
2 Federal Home Loan Mortgage Corp. 5.000% 1/30/14 9,000 9,842
2 Federal Home Loan Mortgage Corp. 2.500% 4/23/14 19,000 18,934
2 Federal Home Loan Mortgage Corp. 5.000% 7/15/14 9,500 10,428
2 Federal Home Loan Mortgage Corp. 3.000% 7/28/14 41,950 42,458
2 Federal National Mortgage Assn. 4.500% 2/15/11 14,300 14,885
2 Federal National Mortgage Assn. 5.500% 3/15/11 45,000 47,502
2 Federal National Mortgage Assn. 1.750% 3/23/11 29,175 29,474
2 Federal National Mortgage Assn. 2.750% 4/11/11 8,950 9,161
2 Federal National Mortgage Assn. 5.125% 4/15/11 25,250 26,617
2 Federal National Mortgage Assn. 1.375% 4/28/11 55,800 56,180
2 Federal National Mortgage Assn. 6.000% 5/15/11 94,275 100,799
2 Federal National Mortgage Assn. 3.375% 5/19/11 31,250 32,303
2 Federal National Mortgage Assn. 3.625% 8/15/11 40,000 41,642
2 Federal National Mortgage Assn. 5.000% 10/15/11 25,000 26,694
2 Federal National Mortgage Assn. 1.000% 11/23/11 27,200 27,107
2 Federal National Mortgage Assn. 1.875% 4/20/12 6,925 6,992
2 Federal National Mortgage Assn. 4.875% 5/18/12 42,200 45,513
2 Federal National Mortgage Assn. 5.250% 8/1/12 4,300 4,601
2 Federal National Mortgage Assn. 1.750% 8/10/12 36,000 36,058
2 Federal National Mortgage Assn. 4.750% 11/19/12 15,000 16,218
2 Federal National Mortgage Assn. 3.625% 2/12/13 39,825 41,793
2 Federal National Mortgage Assn. 4.750% 2/21/13 14,925 16,128
2 Federal National Mortgage Assn. 4.625% 5/1/13 10,550 11,090

60


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
2 Federal National Mortgage Assn. 4.625% 10/15/13 15,000 16,257
2 Federal National Mortgage Assn. 5.125% 1/2/14 9,550 10,056
2 Federal National Mortgage Assn. 2.750% 3/13/14 39,675 39,995
2 Federal National Mortgage Assn. 4.125% 4/15/14 22,000 23,373
2 Federal National Mortgage Assn. 2.500% 5/15/14 32,550 32,409
2 Federal National Mortgage Assn. 3.000% 9/16/14 37,375 37,774
2 Federal National Mortgage Assn. 4.625% 10/15/14 25,000 27,009
2 Federal National Mortgage Assn. 2.625% 11/20/14 5,125 5,074
1 General Electric Capital Corp. 1.625% 1/7/11 14,625 14,759
1 General Electric Capital Corp. 1.800% 3/11/11 14,700 14,871
1 General Electric Capital Corp. 3.000% 12/9/11 10,850 11,189
1 General Electric Capital Corp. 2.250% 3/12/12 8,450 8,590
1 General Electric Capital Corp. 2.200% 6/8/12 21,925 22,223
1 General Electric Capital Corp. 2.000% 9/28/12 28,000 28,114
1 General Electric Capital Corp. 2.125% 12/21/12 3,200 3,216
1 General Electric Capital Corp. 2.625% 12/28/12 28,500 29,049
1 GMAC Inc. 1.750% 10/30/12 7,300 7,271
1 GMAC Inc. 2.200% 12/19/12 10,150 10,223
1 Goldman Sachs Group Inc. 1.700% 3/15/11 6,950 7,024
1 Goldman Sachs Group Inc. 1.625% 7/15/11 9,125 9,207
1 Goldman Sachs Group Inc. 2.150% 3/15/12 10,000 10,149
1 Goldman Sachs Group Inc. 3.250% 6/15/12 11,750 12,222
1 HSBC USA Inc. 3.125% 12/16/11 8,225 8,516
1 John Deere Capital Corp. 2.875% 6/19/12 4,000 4,130
1 JPMorgan Chase & Co. 1.650% 2/23/11 14,000 14,150
1 JPMorgan Chase & Co. 3.125% 12/1/11 27,175 28,089
1 JPMorgan Chase & Co. 2.200% 6/15/12 22,900 23,246
1 JPMorgan Chase & Co. 2.125% 12/26/12 6,250 6,287
1 Morgan Stanley 2.900% 12/1/10 11,500 11,739
1 Morgan Stanley 3.250% 12/1/11 11,850 12,292
1 Morgan Stanley 2.250% 3/13/12 7,400 7,523
1 Morgan Stanley 1.950% 6/20/12 12,475 12,587
1 PNC Funding Corp. 2.300% 6/22/12 8,025 8,159
Private Export Funding Corp. 3.050% 10/15/14 900 895
1 Regions Bank 2.750% 12/10/10 8,900 9,083
1 Regions Bank 3.250% 12/9/11 10,000 10,366
1 Sovereign Bank 2.750% 1/17/12 2,950 3,028
1 State Street Corp. 2.150% 4/30/12 5,150 5,212
1 US Bancorp 2.250% 3/13/12 4,500 4,574
1 US Central Federal Credit Union 1.900% 10/19/12 6,375 6,379
1 Wells Fargo & Co. 3.000% 12/9/11 15,975 16,471
1 Wells Fargo & Co. 2.125% 6/15/12 9,475 9,604
1 Western Corporate Federal Credit Union 1.750% 11/2/12 3,100 3,083
        2,894,281
 
Total U.S. Government and Agency Obligations (Cost $11,251,896)       11,337,281
 
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)        
4 BA Covered Bond Issuer 5.500% 6/14/12 6,800 7,120
3 Countrywide Home Loan Mortgage Pass Through Trust 4.065% 5/25/33 270 232
3 Salomon Brothers Mortgage Securities VII Inc. 3.688% 9/25/33 1,485 1,419
 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $8,575)     8,771
 
Corporate Bonds (21.8%)        
Finance (9.5%)        
Banking (6.4%)        
American Express Bank FSB 5.550% 10/17/12 13,150 13,988
American Express Bank FSB 5.500% 4/16/13 2,000 2,124
American Express Centurion Bank 5.550% 10/17/12 550 587
American Express Credit Corp. 5.875% 5/2/13 7,750 8,296
American Express Credit Corp. 7.300% 8/20/13 5,475 6,156
American Express Credit Corp. 5.125% 8/25/14 14,500 15,288
4 American Express Travel Related Services Co. Inc. 5.250% 11/21/11 2,325 2,426

61


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Amsouth Bank 4.850% 4/1/13 1,500 1,353
Banco Bradesco SA 8.750% 10/24/13 1,500 1,751
Banco Santander Chile 2.875% 11/13/12 1,850 1,861
Bank of America Corp. 4.250% 10/1/10 10,500 10,769
Bank of America Corp. 4.375% 12/1/10 3,075 3,171
Bank of America Corp. 5.375% 8/15/11 3,875 4,087
Bank of America Corp. 5.375% 9/11/12 6,175 6,550
Bank of America Corp. 4.875% 9/15/12 6,550 6,855
Bank of America Corp. 4.875% 1/15/13 1,500 1,564
Bank of America Corp. 4.900% 5/1/13 5,300 5,492
Bank of America Corp. 7.375% 5/15/14 11,300 12,814
Bank of America Corp. 5.375% 6/15/14 3,425 3,568
Bank of America Corp. 5.125% 11/15/14 5,900 6,105
Bank of New York Mellon Corp. 4.950% 1/14/11 2,825 2,929
Bank of New York Mellon Corp. 6.375% 4/1/12 1,000 1,085
Bank of New York Mellon Corp. 4.950% 11/1/12 12,400 13,356
Bank of New York Mellon Corp. 4.500% 4/1/13 2,200 2,319
Bank of New York Mellon Corp. 5.125% 8/27/13 400 432
Bank of New York Mellon Corp. 4.300% 5/15/14 4,225 4,443
Bank of Tokyo-Mitsubishi UFJ Ltd. 7.400% 6/15/11 3,825 4,136
Bank One Corp. 5.900% 11/15/11 1,500 1,603
Banque Paribas 6.950% 7/22/13 775 852
Barclays Bank PLC 5.450% 9/12/12 5,375 5,811
Barclays Bank PLC 2.500% 1/23/13 4,950 4,946
Barclays Bank PLC 5.200% 7/10/14 8,825 9,395
BB&T Corp. 6.500% 8/1/11 4,050 4,314
BB&T Corp. 3.850% 7/27/12 2,825 2,928
BB&T Corp. 4.750% 10/1/12 1,500 1,565
BB&T Corp. 3.375% 9/25/13 3,275 3,302
BB&T Corp. 5.700% 4/30/14 1,700 1,836
Bear Stearns Cos. LLC 4.500% 10/28/10 4,500 4,645
Bear Stearns Cos. LLC 5.350% 2/1/12 5,375 5,716
Bear Stearns Cos. LLC 6.950% 8/10/12 1,500 1,676
Bear Stearns Cos. LLC 5.700% 11/15/14 2,825 3,089
BNP Paribas US Medium-Term Note Program LLC 2.125% 12/21/12 2,975 2,979
BNY Mellon NA 4.750% 12/15/14 1,300 1,369
Capital One Financial Corp. 5.700% 9/15/11 5,750 6,063
Capital One Financial Corp. 4.800% 2/21/12 50 52
Capital One Financial Corp. 7.375% 5/23/14 13,325 15,096
Charter One Bank NA 5.500% 4/26/11 3,550 3,635
Citigroup Inc. 6.500% 1/18/11 6,400 6,690
Citigroup Inc. 5.125% 2/14/11 6,150 6,342
Citigroup Inc. 5.100% 9/29/11 10,925 11,322
Citigroup Inc. 6.000% 2/21/12 3,900 4,118
Citigroup Inc. 5.250% 2/27/12 8,800 9,152
Citigroup Inc. 5.625% 8/27/12 3,500 3,603
Citigroup Inc. 5.300% 10/17/12 7,050 7,372
Citigroup Inc. 5.500% 4/11/13 28,000 29,075
Citigroup Inc. 6.500% 8/19/13 7,700 8,213
Citigroup Inc. 5.125% 5/5/14 2,525 2,539
Citigroup Inc. 6.375% 8/12/14 10,550 11,036
Citigroup Inc. 5.000% 9/15/14 14,275 13,791
Citigroup Inc. 5.500% 10/15/14 8,375 8,495
Citigroup Inc. 6.010% 1/15/15 3,000 3,082
Countrywide Financial Corp. 5.800% 6/7/12 3,850 4,089
Countrywide Home Loans Inc. 4.000% 3/22/11 1,925 1,976
Credit Suisse 5.000% 5/15/13 9,575 10,205
Credit Suisse 5.500% 5/1/14 16,450 17,858
Credit Suisse USA Inc. 4.125% 1/15/10 2,025 2,025
Credit Suisse USA Inc. 5.250% 3/2/11 4,150 4,350
Credit Suisse USA Inc. 6.125% 11/15/11 8,400 9,101
Credit Suisse USA Inc. 6.500% 1/15/12 14,575 15,877
Credit Suisse USA Inc. 5.500% 8/15/13 1,700 1,836
Deutsche Bank AG 5.375% 10/12/12 19,650 21,224

62


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Deutsche Bank AG 4.875% 5/20/13 5,175 5,504
Deutsche Bank AG 3.875% 8/18/14 800 817
FIA Card Services NA 6.625% 6/15/12 1,000 1,062
Fifth Third Bancorp 6.250% 5/1/13 1,150 1,194
Golden West Financial Corp. 4.750% 10/1/12 4,425 4,636
3 Goldman Sachs Capital II 5.793% 12/29/49 6,250 4,811
Goldman Sachs Group Inc. 4.500% 6/15/10 5,915 6,021
Goldman Sachs Group Inc. 6.875% 1/15/11 2,800 2,973
Goldman Sachs Group Inc. 6.600% 1/15/12 24,000 26,006
Goldman Sachs Group Inc. 5.300% 2/14/12 3,725 3,949
Goldman Sachs Group Inc. 5.700% 9/1/12 3,250 3,505
Goldman Sachs Group Inc. 5.450% 11/1/12 3,050 3,282
Goldman Sachs Group Inc. 5.250% 4/1/13 1,850 1,954
Goldman Sachs Group Inc. 4.750% 7/15/13 10,750 11,245
Goldman Sachs Group Inc. 5.250% 10/15/13 5,125 5,442
Goldman Sachs Group Inc. 6.000% 5/1/14 32,800 35,943
HSBC Bank USA NA 4.625% 4/1/14 1,125 1,175
HSBC Holdings PLC 5.250% 12/12/12 6,500 6,884
4 ICICI Bank Ltd. 6.625% 10/3/12 6,275 6,604
JPMorgan Chase & Co. 6.750% 2/1/11 8,850 9,373
JPMorgan Chase & Co. 5.600% 6/1/11 9,300 9,841
JPMorgan Chase & Co. 4.850% 6/16/11 2,925 3,069
JPMorgan Chase & Co. 6.625% 3/15/12 3,725 4,072
JPMorgan Chase & Co. 5.375% 10/1/12 45,125 48,937
JPMorgan Chase & Co. 5.750% 1/2/13 1,900 2,044
JPMorgan Chase & Co. 4.750% 5/1/13 5,325 5,621
JPMorgan Chase & Co. 4.650% 6/1/14 5,000 5,278
JPMorgan Chase & Co. 5.125% 9/15/14 5,275 5,579
JPMorgan Chase & Co. 5.250% 5/1/15 2,000 2,080
KeyBank NA 7.000% 2/1/11 975 1,013
KeyBank NA 5.500% 9/17/12 1,025 1,065
KeyBank NA 5.800% 7/1/14 3,000 2,941
KeyCorp 6.500% 5/14/13 2,975 3,066
M&I Marshall & Ilsley Bank 6.375% 9/1/11 1,500 1,438
M&I Marshall & Ilsley Bank 5.250% 9/4/12 1,850 1,664
M&T Bank Corp. 5.375% 5/24/12 300 312
MBNA Corp. 7.500% 3/15/12 2,400 2,627
MBNA Corp. 6.125% 3/1/13 675 712
3 Mellon Capital IV 6.244% 6/29/49 1,750 1,400
Mellon Funding Corp. 6.375% 2/15/10 1,000 1,007
Merrill Lynch & Co. Inc. 5.770% 7/25/11 850 899
Merrill Lynch & Co. Inc. 6.050% 8/15/12 21,275 22,865
Merrill Lynch & Co. Inc. 5.450% 2/5/13 9,725 10,237
Merrill Lynch & Co. Inc. 6.150% 4/25/13 6,050 6,570
Merrill Lynch & Co. Inc. 5.450% 7/15/14 3,950 4,154
Merrill Lynch & Co. Inc. 5.000% 1/15/15 3,000 3,059
Morgan Stanley 5.050% 1/21/11 1,350 1,400
Morgan Stanley 6.750% 4/15/11 17,105 18,145
Morgan Stanley 5.625% 1/9/12 7,875 8,346
Morgan Stanley 6.600% 4/1/12 6,415 6,963
Morgan Stanley 5.750% 8/31/12 5,800 6,253
Morgan Stanley 5.250% 11/2/12 14,175 15,080
Morgan Stanley 5.300% 3/1/13 7,100 7,505
Morgan Stanley 4.750% 4/1/14 7,650 7,698
Morgan Stanley 6.000% 5/13/14 11,975 12,856
Morgan Stanley 4.200% 11/20/14 11,175 11,163
National City Bank 6.250% 3/15/11 1,500 1,564
National City Bank 4.625% 5/1/13 2,275 2,308
3 National City Preferred Capital Trust I 12.000% 12/31/49 2,825 3,235
4 Nationwide Building Society 5.500% 7/18/12 2,700 2,882
North Fork Bancorporation Inc. 5.875% 8/15/12 600 623
Northern Trust Corp. 5.500% 8/15/13 1,875 2,035
Northern Trust Corp. 4.625% 5/1/14 2,200 2,347
PNC Funding Corp. 5.125% 12/14/10 2,950 3,063

63


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Regions Financial Corp. 6.375% 5/15/12 5,100 4,869
  Regions Financial Corp. 7.750% 11/10/14 2,700 2,707
  Royal Bank of Canada 4.125% 1/26/10 2,400 2,405
  Royal Bank of Scotland Group PLC 6.375% 2/1/11 1,500 1,516
4 Royal Bank of Scotland PLC 4.875% 8/25/14 4,000 4,016
  SouthTrust Corp. 5.800% 6/15/14 1,350 1,409
  Sovereign Bank 5.125% 3/15/13 1,600 1,626
3 State Street Capital Trust III 8.250% 3/15/42 2,500 2,544
  State Street Corp. 4.300% 5/30/14 1,000 1,040
  Sumitomo Mitsui Banking Corp. 8.000% 6/15/12 3,300 3,688
  SunTrust Bank 6.375% 4/1/11 1,125 1,170
  SunTrust Banks Inc. 5.250% 11/5/12 2,750 2,850
  UFJ Finance Aruba AEC 6.750% 7/15/13 5,550 6,094
3,4 Unicredit Luxembourg Finance SA 5.584% 1/13/17 500 481
  Union Planters Corp. 4.375% 12/1/10 500 500
  US Bancorp 4.200% 5/15/14 4,600 4,798
  US Bank NA 6.375% 8/1/11 8,700 9,355
  US Bank NA 6.300% 2/4/14 1,850 2,043
  US Bank NA 4.950% 10/30/14 1,350 1,437
3 USB Capital IX 6.189% 4/15/49 5,550 4,468
  Wachovia Bank NA 7.800% 8/18/10 2,000 2,090
  Wachovia Bank NA 4.800% 11/1/14 4,425 4,502
3 Wachovia Capital Trust III 5.800% 3/15/11 5,950 4,522
  Wachovia Corp. 5.300% 10/15/11 6,975 7,412
  Wachovia Corp. 5.500% 5/1/13 9,330 9,977
  Wachovia Corp. 5.250% 8/1/14 4,150 4,296
  Wells Fargo & Co. 4.200% 1/15/10 7,700 7,707
  Wells Fargo & Co. 4.875% 1/12/11 3,800 3,945
  Wells Fargo & Co. 6.375% 8/1/11 1,700 1,814
  Wells Fargo & Co. 5.300% 8/26/11 7,450 7,882
  Wells Fargo & Co. 5.250% 10/23/12 20,225 21,629
  Wells Fargo & Co. 4.375% 1/31/13 13,500 13,988
  Wells Fargo & Co. 4.950% 10/16/13 4,975 5,175
  Wells Fargo & Co. 3.750% 10/1/14 6,600 6,590
  Wells Fargo Bank NA 4.750% 2/9/15 2,375 2,428
3 Wells Fargo Capital XIII 7.700% 12/29/49 9,825 9,530
3 Wells Fargo Capital XV 9.750% 12/29/49 4,125 4,455
  Westpac Banking Corp. 2.250% 11/19/12 9,025 8,996
  Brokerage (0.1%)        
  BlackRock Inc. 2.250% 12/10/12 1,500 1,493
  BlackRock Inc. 3.500% 12/10/14 3,300 3,267
  Charles Schwab Corp. 4.950% 6/1/14 5,684 6,009
  Invesco Ltd. 5.375% 2/27/13 975 971
  TD Ameritrade Holding Corp. 2.950% 12/1/12 1,050 1,042
  TD Ameritrade Holding Corp. 4.150% 12/1/14 1,775 1,754
  Finance Companies (1.6%)        
  Block Financial LLC 7.875% 1/15/13 800 890
  GATX Corp. 4.750% 10/1/12 800 821
  GATX Corp. 8.750% 5/15/14 1,000 1,129
  General Electric Capital Corp. 4.250% 9/13/10 4,125 4,220
  General Electric Capital Corp. 5.000% 12/1/10 2,275 2,363
  General Electric Capital Corp. 5.200% 2/1/11 1,225 1,275
  General Electric Capital Corp. 6.125% 2/22/11 19,125 20,195
  General Electric Capital Corp. 5.500% 4/28/11 775 816
  General Electric Capital Corp. 5.000% 11/15/11 6,250 6,608
  General Electric Capital Corp. 4.375% 11/21/11 2,750 2,859
  General Electric Capital Corp. 5.875% 2/15/12 6,060 6,494
  General Electric Capital Corp. 4.375% 3/3/12 4,325 4,492
  General Electric Capital Corp. 6.000% 6/15/12 15,575 16,811
  General Electric Capital Corp. 3.500% 8/13/12 24,475 24,950
  General Electric Capital Corp. 5.250% 10/19/12 18,750 19,966
  General Electric Capital Corp. 5.450% 1/15/13 6,975 7,440
  General Electric Capital Corp. 4.800% 5/1/13 16,925 17,730

64


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
General Electric Capital Corp. 5.900% 5/13/14 4,625 5,039
General Electric Capital Corp. 5.500% 6/4/14 4,525 4,807
General Electric Capital Corp. 5.650% 6/9/14 4,500 4,816
General Electric Capital Corp. 3.750% 11/14/14 1,950 1,937
HSBC Finance Corp. 5.250% 1/14/11 5,425 5,645
HSBC Finance Corp. 5.700% 6/1/11 22,150 23,149
HSBC Finance Corp. 6.375% 10/15/11 800 853
HSBC Finance Corp. 7.000% 5/15/12 5,050 5,493
HSBC Finance Corp. 5.900% 6/19/12 4,875 5,194
HSBC Finance Corp. 6.375% 11/27/12 3,000 3,286
HSBC Finance Corp. 4.750% 7/15/13 4,675 4,876
International Lease Finance Corp. 5.125% 11/1/10 2,100 2,027
International Lease Finance Corp. 4.950% 2/1/11 2,300 2,139
International Lease Finance Corp. 5.450% 3/24/11 975 897
International Lease Finance Corp. 5.750% 6/15/11 8,375 7,663
International Lease Finance Corp. 5.300% 5/1/12 5,375 4,569
International Lease Finance Corp. 5.000% 9/15/12 4,665 3,919
International Lease Finance Corp. 6.375% 3/25/13 4,075 3,382
International Lease Finance Corp. 5.625% 9/20/13 3,900 3,052
International Lease Finance Corp. 5.650% 6/1/14 3,150 2,394
SLM Corp. 5.400% 10/25/11 5,200 5,196
SLM Corp. 5.125% 8/27/12 2,500 2,379
SLM Corp. 5.375% 1/15/13 2,400 2,283
SLM Corp. 5.000% 10/1/13 4,350 3,991
SLM Corp. 5.375% 5/15/14 1,850 1,686
SLM Corp. 5.050% 11/14/14 1,400 1,263
Insurance (1.0%)        
ACE INA Holdings Inc. 5.875% 6/15/14 1,100 1,198
Aegon NV 4.750% 6/1/13 2,500 2,546
Aetna Inc. 7.875% 3/1/11 1,675 1,783
Aetna Inc. 5.750% 6/15/11 1,575 1,655
Allstate Corp. 6.125% 2/15/12 1,450 1,571
Allstate Life Global Funding Trusts 5.375% 4/30/13 11,075 11,829
American International Group Inc. 5.375% 10/18/11 800 803
American International Group Inc. 4.950% 3/20/12 1,475 1,431
American International Group Inc. 4.250% 5/15/13 3,600 3,348
Assurant Inc. 5.625% 2/15/14 925 938
Axis Capital Holdings Ltd. 5.750% 12/1/14 1,800 1,831
Berkshire Hathaway Finance Corp. 4.200% 12/15/10 1,850 1,913
Berkshire Hathaway Finance Corp. 4.000% 4/15/12 12,250 12,786
Berkshire Hathaway Finance Corp. 4.600% 5/15/13 4,850 5,156
Berkshire Hathaway Finance Corp. 5.000% 8/15/13 4,875 5,228
Chubb Corp. 5.200% 4/1/13 3,000 3,193
CNA Financial Corp. 6.000% 8/15/11 3,450 3,513
CNA Financial Corp. 5.850% 12/15/14 1,575 1,552
Commerce Group Inc. 5.950% 12/9/13 900 899
Coventry Health Care Inc. 6.300% 8/15/14 4,500 4,406
Genworth Financial Inc. 5.650% 6/15/12 2,500 2,494
Genworth Financial Inc. 5.750% 6/15/14 3,325 3,184
Genworth Global Funding Trusts 5.125% 3/15/11 1,600 1,622
Hartford Financial Services Group Inc. 5.250% 10/15/11 4,200 4,332
Jefferson-Pilot Corp. 4.750% 1/30/14 2,400 2,383
4 Liberty Mutual Group Inc. 4.875% 2/1/10 2,500 2,498
Lincoln National Corp. 6.200% 12/15/11 1,550 1,635
Lincoln National Corp. 5.650% 8/27/12 225 234
Marsh & McLennan Cos. Inc. 5.150% 9/15/10 50 51
Marsh & McLennan Cos. Inc. 6.250% 3/15/12 2,175 2,302
Marsh & McLennan Cos. Inc. 5.375% 7/15/14 1,500 1,547
MetLife Inc. 5.375% 12/15/12 2,850 3,042
MetLife Inc. 5.000% 11/24/13 2,050 2,161
4 Metropolitan Life Global Funding I 2.875% 9/17/12 2,575 2,596
OneBeacon US Holdings Inc. 5.875% 5/15/13 1,825 1,805
Principal Financial Group Inc. 7.875% 5/15/14 2,600 2,911

65


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Principal Life Income Funding Trusts 5.125% 3/1/11 1,300 1,334
Principal Life Income Funding Trusts 5.300% 12/14/12 1,900 2,044
Principal Life Income Funding Trusts 5.300% 4/24/13 2,350 2,483
Progressive Corp. 6.375% 1/15/12 850 915
Protective Life Secured Trusts 4.850% 8/16/10 2,075 2,120
Protective Life Secured Trusts 5.450% 9/28/12 1,290 1,368
Prudential Financial Inc. 5.100% 12/14/11 1,200 1,256
Prudential Financial Inc. 5.800% 6/15/12 1,700 1,805
Prudential Financial Inc. 3.625% 9/17/12 300 307
Prudential Financial Inc. 5.150% 1/15/13 10,050 10,612
Prudential Financial Inc. 4.500% 7/15/13 450 452
Prudential Financial Inc. 4.750% 4/1/14 1,475 1,515
Prudential Financial Inc. 5.100% 9/20/14 1,325 1,381
Travelers Cos. Inc. 5.375% 6/15/12 700 745
Travelers Property Casualty Corp. 5.000% 3/15/13 2,500 2,648
UnitedHealth Group Inc. 5.250% 3/15/11 4,525 4,708
UnitedHealth Group Inc. 5.500% 11/15/12 5,000 5,362
UnitedHealth Group Inc. 4.875% 2/15/13 1,625 1,708
UnitedHealth Group Inc. 4.875% 4/1/13 1,625 1,711
UnitedHealth Group Inc. 5.000% 8/15/14 1,000 1,048
WellPoint Health Networks Inc. 6.375% 1/15/12 1,650 1,784
WellPoint Inc. 5.000% 1/15/11 1,950 2,022
WellPoint Inc. 6.800% 8/1/12 1,150 1,269
WellPoint Inc. 6.000% 2/15/14 1,700 1,848
WellPoint Inc. 5.000% 12/15/14 1,475 1,534
XL Capital Finance Europe PLC 6.500% 1/15/12 2,575 2,657
XL Capital Ltd. 5.250% 9/15/14 1,400 1,395
Other Finance (0.1%)        
CME Group Inc. 5.400% 8/1/13 4,400 4,719
CME Group Inc. 5.750% 2/15/14 2,000 2,184
NYSE Euronext 4.800% 6/28/13 2,700 2,829
ORIX Corp. 5.480% 11/22/11 4,425 4,439
Real Estate Investment Trusts (0.3%)        
AvalonBay Communities Inc. 5.500% 1/15/12 1,054 1,101
Boston Properties LP 6.250% 1/15/13 5,600 5,971
Brandywine Operating Partnership LP 5.750% 4/1/12 765 768
Brandywine Operating Partnership LP 5.400% 11/1/14 1,650 1,541
Duke Realty LP 6.250% 5/15/13 1,500 1,535
ERP Operating LP 6.625% 3/15/12 1,350 1,441
ERP Operating LP 5.500% 10/1/12 2,000 2,104
ERP Operating LP 5.200% 4/1/13 1,000 1,025
ERP Operating LP 5.250% 9/15/14 1,350 1,372
HCP Inc. 5.950% 9/15/11 625 644
HCP Inc. 6.450% 6/25/12 750 780
HCP Inc. 5.650% 12/15/13 2,250 2,253
Health Care REIT Inc. 6.000% 11/15/13 2,775 2,813
Healthcare Realty Trust Inc. 5.125% 4/1/14 1,400 1,354
Hospitality Properties Trust 7.875% 8/15/14 1,775 1,836
Nationwide Health Properties Inc. 6.250% 2/1/13 1,850 1,892
ProLogis 7.625% 8/15/14 1,400 1,480
Regency Centers LP 6.750% 1/15/12 2,300 2,416
Simon Property Group LP 4.875% 8/15/10 3,850 3,913
Simon Property Group LP 5.600% 9/1/11 1,250 1,312
Simon Property Group LP 5.000% 3/1/12 5,900 6,098
Simon Property Group LP 5.300% 5/30/13 2,925 3,018
Simon Property Group LP 6.750% 5/15/14 500 533
Simon Property Group LP 5.625% 8/15/14 2,350 2,407
        1,520,813
Industrial (10.8%)        
Basic Industry (0.9%)        
Airgas Inc. 4.500% 9/15/14 1,525 1,552
Alcoa Inc. 6.000% 1/15/12 4,275 4,474
Alcoa Inc. 5.375% 1/15/13 650 674

66


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Alcoa Inc. 6.000% 7/15/13 3,725 3,938
ArcelorMittal 5.375% 6/1/13 5,050 5,298
ArcelorMittal USA Inc. 6.500% 4/15/14 2,500 2,674
Barrick Gold Financeco LLC 6.125% 9/15/13 5,450 5,994
BHP Billiton Finance USA Ltd. 5.000% 12/15/10 1,000 1,041
BHP Billiton Finance USA Ltd. 5.125% 3/29/12 475 507
BHP Billiton Finance USA Ltd. 4.800% 4/15/13 3,000 3,183
BHP Billiton Finance USA Ltd. 5.500% 4/1/14 17,450 19,148
Dow Chemical Co. 6.125% 2/1/11 2,725 2,844
Dow Chemical Co. 4.850% 8/15/12 6,175 6,488
Dow Chemical Co. 6.000% 10/1/12 3,000 3,229
Dow Chemical Co. 7.600% 5/15/14 5,975 6,800
EI du Pont de Nemours & Co. 5.000% 1/15/13 6,800 7,310
EI du Pont de Nemours & Co. 5.000% 7/15/13 4,100 4,442
EI du Pont de Nemours & Co. 5.875% 1/15/14 800 884
ICI Wilmington Inc. 5.625% 12/1/13 1,600 1,670
International Paper Co. 7.400% 6/15/14 3,000 3,349
Lubrizol Corp. 5.500% 10/1/14 1,850 1,970
Monsanto Co. 7.375% 8/15/12 1,200 1,359
4 Mosaic Co. 7.375% 12/1/14 775 827
Nucor Corp. 5.000% 12/1/12 925 1,000
Nucor Corp. 5.000% 6/1/13 1,200 1,278
Potash Corp. of Saskatchewan Inc. 7.750% 5/31/11 3,325 3,605
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 3,000 2,995
PPG Industries Inc. 5.750% 3/15/13 1,875 2,002
Praxair Inc. 6.375% 4/1/12 1,250 1,371
Praxair Inc. 1.750% 11/15/12 1,150 1,143
Praxair Inc. 3.950% 6/1/13 825 861
Praxair Inc. 4.375% 3/31/14 1,125 1,187
Praxair Inc. 5.250% 11/15/14 2,750 3,004
Rio Tinto Alcan Inc. 6.450% 3/15/11 3,150 3,301
Rio Tinto Alcan Inc. 4.500% 5/15/13 775 794
Rio Tinto Alcan Inc. 5.200% 1/15/14 1,500 1,587
Rio Tinto Finance USA Ltd. 5.875% 7/15/13 11,325 12,235
Rio Tinto Finance USA Ltd. 8.950% 5/1/14 6,950 8,322
Sherwin-Williams Co. 3.125% 12/15/14 1,900 1,887
WMC Finance USA Ltd. 5.125% 5/15/13 1,600 1,714
Xstrata Canada Corp. 7.350% 6/5/12 1,000 1,079
Xstrata Canada Corp. 7.250% 7/15/12 1,500 1,621
Capital Goods (1.1%)        
3M Co. 4.500% 11/1/11 3,000 3,178
3M Co. 4.375% 8/15/13 2,000 2,140
Bemis Co. Inc. 4.875% 4/1/12 1,600 1,658
Bemis Co. Inc. 5.650% 8/1/14 2,875 3,067
Black & Decker Corp. 7.125% 6/1/11 1,000 1,065
Black & Decker Corp. 4.750% 11/1/14 1,025 1,055
Boeing Capital Corp. 6.100% 3/1/11 4,850 5,117
Boeing Capital Corp. 6.500% 2/15/12 4,700 5,137
Boeing Capital Corp. 5.800% 1/15/13 750 819
Boeing Capital Corp. 3.250% 10/27/14 2,725 2,700
Boeing Co. 1.875% 11/20/12 2,750 2,737
Caterpillar Financial Services Corp. 4.250% 2/8/13 700 724
Caterpillar Financial Services Corp. 6.200% 9/30/13 2,350 2,622
Caterpillar Financial Services Corp. 6.125% 2/17/14 19,900 22,204
Cooper US Inc. 5.250% 11/15/12 5,250 5,642
CRH America Inc. 5.625% 9/30/11 2,500 2,625
CRH America Inc. 6.950% 3/15/12 2,000 2,159
CRH America Inc. 5.300% 10/15/13 2,075 2,165
Deere & Co. 6.950% 4/25/14 1,325 1,533
Eaton Corp. 4.900% 5/15/13 2,050 2,161
Emerson Electric Co. 7.125% 8/15/10 500 520
Emerson Electric Co. 4.625% 10/15/12 3,200 3,419
General Dynamics Corp. 4.250% 5/15/13 3,800 4,019

67


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
General Dynamics Corp. 5.250% 2/1/14 2,775 3,042
General Electric Co. 5.000% 2/1/13 18,500 19,593
Honeywell International Inc. 6.125% 11/1/11 2,000 2,182
Honeywell International Inc. 5.625% 8/1/12 775 849
Honeywell International Inc. 4.250% 3/1/13 2,050 2,160
Honeywell International Inc. 3.875% 2/15/14 1,200 1,250
Illinois Tool Works Inc. 5.150% 4/1/14 2,150 2,343
Ingersoll-Rand Global Holding Co. Ltd. 6.000% 8/15/13 1,800 1,940
Ingersoll-Rand Global Holding Co. Ltd. 9.500% 4/15/14 6,700 8,051
John Deere Capital Corp. 5.400% 10/17/11 1,325 1,413
John Deere Capital Corp. 7.000% 3/15/12 19,650 21,871
John Deere Capital Corp. 5.250% 10/1/12 575 619
John Deere Capital Corp. 4.950% 12/17/12 2,300 2,485
Lafarge SA 6.150% 7/15/11 3,175 3,313
Lockheed Martin Corp. 4.121% 3/14/13 6,500 6,814
Northrop Grumman Systems Corp. 7.125% 2/15/11 4,250 4,509
Republic Services Inc. 6.750% 8/15/11 1,000 1,051
Roper Industries Inc. 6.625% 8/15/13 1,650 1,801
Tyco International Finance SA 6.750% 2/15/11 1,950 2,049
Tyco International Finance SA 6.375% 10/15/11 2,000 2,143
Tyco International Finance SA 4.125% 10/15/14 4,000 4,103
United Technologies Corp. 6.350% 3/1/11 1,225 1,300
United Technologies Corp. 6.100% 5/15/12 1,000 1,097
Vulcan Materials Co. 6.300% 6/15/13 1,250 1,330
Waste Management Inc. 5.000% 3/15/14 2,075 2,195
Communication (2.5%)        
AT&T Corp. 7.300% 11/15/11 12,700 14,001
AT&T Inc. 6.250% 3/15/11 12,075 12,783
AT&T Inc. 5.875% 2/1/12 4,725 5,117
AT&T Inc. 5.875% 8/15/12 1,825 2,000
AT&T Inc. 4.950% 1/15/13 7,375 7,881
AT&T Inc. 6.700% 11/15/13 2,225 2,517
AT&T Inc. 4.850% 2/15/14 2,525 2,698
AT&T Inc. 5.100% 9/15/14 13,800 14,918
AT&T Mobility LLC 6.500% 12/15/11 1,000 1,089
BellSouth Corp. 5.200% 9/15/14 200 214
British Telecommunications PLC 9.125% 12/15/10 9,125 9,773
British Telecommunications PLC 5.150% 1/15/13 4,675 4,876
CBS Corp. 6.625% 5/15/11 2,000 2,094
CBS Corp. 5.625% 8/15/12 2,225 2,315
CBS Corp. 8.200% 5/15/14 3,500 3,958
Cellco Partnership / Verizon Wireless Capital LLC 3.750% 5/20/11 6,875 7,091
Cellco Partnership / Verizon Wireless Capital LLC 5.250% 2/1/12 2,000 2,119
Cellco Partnership / Verizon Wireless Capital LLC 7.375% 11/15/13 5,675 6,525
Cellco Partnership / Verizon Wireless Capital LLC 5.550% 2/1/14 15,900 17,325
Comcast Cable Communications Holdings Inc. 8.375% 3/15/13 2,115 2,436
Comcast Cable Communications LLC 6.750% 1/30/11 14,675 15,495
Comcast Corp. 5.500% 3/15/11 5,275 5,510
COX Communications Inc. 4.625% 1/15/10 2,850 2,853
COX Communications Inc. 6.750% 3/15/11 1,625 1,709
COX Communications Inc. 7.125% 10/1/12 4,000 4,428
COX Communications Inc. 5.450% 12/15/14 1,450 1,555
Deutsche Telekom International Finance BV 5.250% 7/22/13 4,015 4,266
Deutsche Telekom International Finance BV 5.875% 8/20/13 4,525 4,884
Deutsche Telekom International Finance BV 4.875% 7/8/14 1,100 1,156
4 DirecTV Holdings LLC / DirecTV Financing Co. Inc. 4.750% 10/1/14 3,125 3,180
France Telecom SA 7.750% 3/1/11 12,950 13,926
France Telecom SA 4.375% 7/8/14 2,075 2,173
McGraw-Hill Cos. Inc. 5.375% 11/15/12 2,475 2,612
New Cingular Wireless Services Inc. 7.875% 3/1/11 12,250 13,172
New Cingular Wireless Services Inc. 8.125% 5/1/12 8,175 9,233
News America Holdings Inc. 9.250% 2/1/13 2,825 3,283
News America Inc. 5.300% 12/15/14 1,450 1,572

68


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Qwest Corp. 7.875% 9/1/11 3,875 4,054
Qwest Corp. 8.875% 3/15/12 6,375 6,869
Reed Elsevier Capital Inc. 7.750% 1/15/14 3,900 4,406
Rogers Communications Inc. 7.250% 12/15/12 6,500 7,318
Rogers Communications Inc. 6.375% 3/1/14 3,000 3,317
Rogers Communications Inc. 5.500% 3/15/14 2,150 2,322
RR Donnelley & Sons Co. 4.950% 4/1/14 2,550 2,521
Telecom Italia Capital SA 4.000% 1/15/10 2,600 2,602
Telecom Italia Capital SA 4.875% 10/1/10 1,000 1,023
Telecom Italia Capital SA 6.200% 7/18/11 700 742
Telecom Italia Capital SA 5.250% 11/15/13 6,675 7,038
Telecom Italia Capital SA 6.175% 6/18/14 7,450 8,141
Telecom Italia Capital SA 4.950% 9/30/14 4,250 4,416
Telefonica Emisiones SAU 5.984% 6/20/11 6,200 6,576
Telefonica Emisiones SAU 5.855% 2/4/13 3,000 3,251
TELUS Corp. 8.000% 6/1/11 3,499 3,792
Thomson Reuters Corp. 6.200% 1/5/12 1,500 1,620
Thomson Reuters Corp. 5.950% 7/15/13 3,925 4,305
Thomson Reuters Corp. 5.700% 10/1/14 2,650 2,910
Time Warner Cable Inc. 5.400% 7/2/12 9,300 9,930
Time Warner Cable Inc. 6.200% 7/1/13 7,750 8,475
Time Warner Cable Inc. 7.500% 4/1/14 7,700 8,875
Time Warner Cable Inc. 3.500% 2/1/15 1,125 1,110
Time Warner Entertainment Co. LP 8.875% 10/1/12 1,000 1,149
Verizon Communications Inc. 5.350% 2/15/11 3,800 3,972
Verizon Communications Inc. 4.350% 2/15/13 6,025 6,324
Verizon Communications Inc. 5.250% 4/15/13 22,400 24,278
Verizon Florida LLC 6.125% 1/15/13 1,500 1,604
Verizon Global Funding Corp. 7.250% 12/1/10 800 846
Verizon Global Funding Corp. 6.875% 6/15/12 2,500 2,778
Verizon Global Funding Corp. 7.375% 9/1/12 4,450 5,025
Verizon Global Funding Corp. 4.375% 6/1/13 250 264
Verizon New England Inc. 6.500% 9/15/11 2,500 2,685
Verizon New Jersey Inc. 5.875% 1/17/12 3,700 3,950
Verizon New York Inc. 6.875% 4/1/12 2,000 2,174
Verizon Pennsylvania Inc. 5.650% 11/15/11 2,000 2,125
Verizon Virginia Inc. 4.625% 3/15/13 3,600 3,746
Vodafone Group PLC 5.350% 2/27/12 9,025 9,640
Vodafone Group PLC 4.150% 6/10/14 6,400 6,616
WPP Finance UK 5.875% 6/15/14 3,475 3,525
WPP Finance UK 8.000% 9/15/14 2,475 2,778
Consumer Cyclical (1.2%)        
AutoZone Inc. 6.500% 1/15/14 2,000 2,197
Best Buy Co. Inc. 6.750% 7/15/13 3,350 3,681
Costco Wholesale Corp. 5.300% 3/15/12 4,000 4,306
CVS Caremark Corp. 5.750% 8/15/11 1,800 1,915
CVS Caremark Corp. 4.875% 9/15/14 7,675 8,133
3 CVS Caremark Corp. 6.302% 6/1/37 2,500 2,149
Daimler Finance North America LLC 5.875% 3/15/11 6,350 6,624
Daimler Finance North America LLC 5.750% 9/8/11 11,725 12,394
Daimler Finance North America LLC 7.300% 1/15/12 3,475 3,776
Daimler Finance North America LLC 6.500% 11/15/13 4,850 5,322
Darden Restaurants Inc. 5.625% 10/15/12 1,300 1,388
Home Depot Inc. 5.200% 3/1/11 1,325 1,384
Home Depot Inc. 5.250% 12/16/13 4,625 4,950
Johnson Controls Inc. 5.250% 1/15/11 1,975 2,059
Johnson Controls Inc. 4.875% 9/15/13 1,000 1,027
Lowe's Cos. Inc. 5.600% 9/15/12 3,200 3,503
Marriott International Inc 4.625% 6/15/12 1,175 1,189
Marriott International Inc. 5.625% 2/15/13 1,425 1,468
McDonald's Corp. 5.750% 3/1/12 1,800 1,947
McDonald's Corp. 4.300% 3/1/13 2,000 2,123
Nordstrom Inc. 6.750% 6/1/14 1,150 1,275

69


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
PACCAR Financial Corp. 1.950% 12/17/12 2,150 2,124
PACCAR Inc. 6.875% 2/15/14 2,150 2,440
Staples Inc. 7.750% 4/1/11 400 430
Staples Inc. 9.750% 1/15/14 12,425 15,158
Target Corp. 6.350% 1/15/11 4,900 5,174
Target Corp. 5.125% 1/15/13 1,075 1,169
Target Corp. 4.000% 6/15/13 825 858
Time Warner Inc. 6.750% 4/15/11 1,750 1,856
Time Warner Inc. 5.500% 11/15/11 3,425 3,636
Time Warner Inc. 6.875% 5/1/12 14,675 16,070
Toll Brothers Finance Corp. 6.875% 11/15/12 59 62
Toll Brothers Finance Corp. 5.950% 9/15/13 45 45
Toyota Motor Credit Corp. 4.350% 12/15/10 2,300 2,380
Toyota Motor Credit Corp. 5.450% 5/18/11 3,000 3,169
Wal-Mart Stores Inc. 4.125% 2/15/11 6,475 6,723
Wal-Mart Stores Inc. 4.550% 5/1/13 7,575 8,053
Wal-Mart Stores Inc. 7.250% 6/1/13 2,300 2,647
Wal-Mart Stores Inc. 3.200% 5/15/14 7,269 7,386
Walgreen Co. 4.875% 8/1/13 8,500 9,094
Walt Disney Co. 5.700% 7/15/11 2,400 2,566
Walt Disney Co. 6.375% 3/1/12 1,500 1,647
Walt Disney Co. 4.700% 12/1/12 7,200 7,777
Walt Disney Co. 4.500% 12/15/13 325 345
Walt Disney Co. 6.200% 6/20/14 3,000 3,355
Western Union Co. 5.400% 11/17/11 1,925 2,055
Western Union Co. 6.500% 2/26/14 3,350 3,758
Yum! Brands Inc. 8.875% 4/15/11 4,100 4,449
Yum! Brands Inc. 7.700% 7/1/12 1,600 1,793
Consumer Noncyclical (2.7%)        
Abbott Laboratories 3.750% 3/15/11 2,275 2,348
Abbott Laboratories 5.600% 5/15/11 6,825 7,252
Abbott Laboratories 5.150% 11/30/12 3,325 3,641
Altria Group Inc. 8.500% 11/10/13 5,100 5,905
Altria Group Inc. 7.750% 2/6/14 9,500 10,790
AmerisourceBergen Corp. 5.625% 9/15/12 2,725 2,929
Amgen Inc. 4.850% 11/18/14 6,625 7,134
Anheuser-Busch Cos. Inc. 6.000% 4/15/11 800 845
Anheuser-Busch Cos. Inc. 4.700% 4/15/12 1,500 1,571
Anheuser-Busch Cos. Inc. 4.375% 1/15/13 1,500 1,550
4 Anheuser-Busch InBev Worldwide Inc. 3.000% 10/15/12 6,875 6,931
AstraZeneca PLC 5.400% 9/15/12 9,375 10,246
Baxter FinCo BV 4.750% 10/15/10 500 515
Baxter International Inc. 4.000% 3/1/14 1,650 1,715
Biogen Idec Inc. 6.000% 3/1/13 4,725 5,086
Bottling Group LLC 4.625% 11/15/12 4,500 4,843
Bottling Group LLC 5.000% 11/15/13 1,500 1,621
Bottling Group LLC 6.950% 3/15/14 9,300 10,778
Bristol-Myers Squibb Co. 5.250% 8/15/13 1,675 1,824
Bunge Ltd. Finance Corp. 5.350% 4/15/14 5,350 5,463
Campbell Soup Co. 6.750% 2/15/11 1,000 1,066
Cardinal Health Inc. 5.650% 6/15/12 32 34
4 CareFusion Corp. 4.125% 8/1/12 600 621
4 CareFusion Corp. 5.125% 8/1/14 5,975 6,283
Cia de Bebidas das Americas 10.500% 12/15/11 1,300 1,498
Cia de Bebidas das Americas 8.750% 9/15/13 1,050 1,221
Clorox Co. 4.200% 1/15/10 2,650 2,652
Clorox Co. 5.450% 10/15/12 1,200 1,296
Coca-Cola Co. 3.625% 3/15/14 3,075 3,182
Coca-Cola Enterprises Inc. 3.750% 3/1/12 2,000 2,090
Coca-Cola Enterprises Inc. 5.000% 8/15/13 2,300 2,482
Coca-Cola Enterprises Inc. 7.375% 3/3/14 5,375 6,266
Coca-Cola HBC Finance BV 5.125% 9/17/13 1,800 1,927
Coca-Cola HBC Finance BV 5.500% 9/17/15 2,000 2,174

70


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Colgate-Palmolive Co. 5.980% 4/25/12 1,250 1,358
ConAgra Foods Inc. 6.750% 9/15/11 41 45
ConAgra Foods Inc. 5.875% 4/15/14 450 490
Covidien International Finance SA 5.450% 10/15/12 2,425 2,634
Delhaize Group SA 5.875% 2/1/14 400 428
Diageo Capital PLC 5.200% 1/30/13 5,036 5,392
Diageo Capital PLC 7.375% 1/15/14 3,000 3,465
Diageo Finance BV 3.875% 4/1/11 3,500 3,615
Diageo Finance BV 5.500% 4/1/13 1,500 1,613
Dr Pepper Snapple Group Inc. 1.700% 12/21/11 1,625 1,623
Dr Pepper Snapple Group Inc. 2.350% 12/21/12 1,600 1,604
Dr Pepper Snapple Group Inc. 6.120% 5/1/13 325 356
Eli Lilly & Co. 3.550% 3/6/12 3,400 3,538
Eli Lilly & Co. 6.000% 3/15/12 2,775 3,032
Eli Lilly & Co. 4.200% 3/6/14 2,425 2,552
Express Scripts Inc. 5.250% 6/15/12 3,950 4,204
Express Scripts Inc. 6.250% 6/15/14 10,550 11,559
Fortune Brands Inc. 5.125% 1/15/11 3,150 3,243
Fortune Brands Inc. 3.000% 6/1/12 25 25
Fortune Brands Inc. 4.875% 12/1/13 1,000 1,025
Fortune Brands Inc. 6.375% 6/15/14 3,375 3,608
General Mills Inc. 6.000% 2/15/12 1,300 1,407
General Mills Inc. 5.650% 9/10/12 3,050 3,324
General Mills Inc. 5.250% 8/15/13 7,325 7,915
General Mills Inc. 5.200% 3/17/15 1,700 1,825
GlaxoSmithKline Capital Inc. 4.850% 5/15/13 12,250 13,088
GlaxoSmithKline Capital Inc. 4.375% 4/15/14 2,100 2,216
HJ Heinz Co. 5.350% 7/15/13 1,300 1,401
HJ Heinz Finance Co. 6.625% 7/15/11 2,500 2,678
HJ Heinz Finance Co. 6.000% 3/15/12 1,500 1,614
Hospira Inc. 5.900% 6/15/14 675 732
Johnson & Johnson 5.150% 8/15/12 1,650 1,803
Kellogg Co. 5.125% 12/3/12 350 382
Kellogg Co. 4.250% 3/6/13 4,175 4,414
Kimberly-Clark Corp. 5.625% 2/15/12 2,075 2,226
Koninklijke Philips Electronics NV 4.625% 3/11/13 1,450 1,519
Kraft Foods Inc. 5.625% 11/1/11 5,150 5,480
Kraft Foods Inc. 6.250% 6/1/12 7,525 8,113
Kraft Foods Inc. 5.250% 10/1/13 3,200 3,386
Kraft Foods Inc. 6.750% 2/19/14 2,350 2,610
Kroger Co. 8.050% 2/1/10 1,700 1,709
Kroger Co. 6.800% 4/1/11 1,000 1,062
Kroger Co. 6.750% 4/15/12 3,050 3,340
Kroger Co. 6.200% 6/15/12 2,525 2,750
Kroger Co. 5.500% 2/1/13 1,425 1,521
Kroger Co. 5.000% 4/15/13 1,550 1,639
Kroger Co. 7.500% 1/15/14 2,000 2,279
Laboratory Corp. of America Holdings 5.500% 2/1/13 875 911
McKesson Corp. 7.750% 2/1/12 1,475 1,630
McKesson Corp. 5.250% 3/1/13 2,025 2,150
4 Mead Johnson Nutrition Co. 3.500% 11/1/14 5,225 5,187
Medco Health Solutions Inc. 6.125% 3/15/13 4,125 4,424
Medco Health Solutions Inc. 7.250% 8/15/13 800 888
Medtronic Inc. 4.500% 3/15/14 1,975 2,100
Merck & Co. Inc. 1.875% 6/30/11 6,000 6,081
Merck & Co. Inc. 5.125% 11/15/11 1,850 1,993
Merck & Co. Inc. 5.300% 12/1/13 2,875 3,166
Newell Rubbermaid Inc. 5.500% 4/15/13 2,500 2,600
Novartis Capital Corp. 4.125% 2/10/14 7,450 7,813
PepsiAmericas Inc. 5.750% 7/31/12 800 871
PepsiAmericas Inc. 4.375% 2/15/14 1,675 1,751
PepsiCo Inc. 5.150% 5/15/12 3,250 3,508
PepsiCo Inc. 4.650% 2/15/13 3,025 3,242
PepsiCo Inc. 3.750% 3/1/14 3,075 3,191

71


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Pfizer Inc. 4.450% 3/15/12 27,300 28,904
Pfizer Inc. 4.500% 2/15/14 925 980
Philip Morris International Inc. 4.875% 5/16/13 5,525 5,875
Philip Morris International Inc. 6.875% 3/17/14 3,825 4,351
Procter & Gamble Co. 4.600% 1/15/14 10,675 11,429
Reynolds American Inc. 7.250% 6/1/12 3,850 4,187
Reynolds American Inc. 7.250% 6/1/13 1,500 1,643
Safeway Inc. 6.500% 3/1/11 2,625 2,770
Safeway Inc. 5.800% 8/15/12 3,050 3,313
Safeway Inc. 6.250% 3/15/14 6,000 6,556
Sara Lee Corp. 6.250% 9/15/11 3,850 4,134
St. Jude Medical Inc. 3.750% 7/15/14 2,950 2,997
Sysco Corp. 4.200% 2/12/13 600 630
4 Thermo Fisher Scientific Inc. 2.150% 12/28/12 1,300 1,292
4 Thermo Fisher Scientific Inc. 3.250% 11/18/14 1,275 1,262
Unilever Capital Corp. 7.125% 11/1/10 4,550 4,791
Unilever Capital Corp. 3.650% 2/15/14 1,350 1,390
UST Inc. 6.625% 7/15/12 1,000 1,083
Watson Pharmaceuticals Inc. 5.000% 8/15/14 4,000 4,093
Whirlpool Corp. 5.500% 3/1/13 4,225 4,357
Whirlpool Corp. 8.600% 5/1/14 1,100 1,246
Wyeth 6.950% 3/15/11 5,750 6,163
Wyeth 5.500% 3/15/13 5,600 6,081
Wyeth 5.500% 2/1/14 2,750 3,008
Energy (1.2%)        
Anadarko Finance Co. 6.750% 5/1/11 3,375 3,583
Anadarko Petroleum Corp. 7.625% 3/15/14 4,750 5,451
Anadarko Petroleum Corp. 5.750% 6/15/14 900 974
Apache Corp. 6.250% 4/15/12 1,000 1,092
Apache Corp. 5.250% 4/15/13 1,500 1,605
Apache Corp. 6.000% 9/15/13 1,675 1,841
BP Capital Markets PLC 1.550% 8/11/11 2,825 2,845
BP Capital Markets PLC 3.125% 3/10/12 5,275 5,432
BP Capital Markets PLC 5.250% 11/7/13 11,350 12,369
BP Capital Markets PLC 3.625% 5/8/14 5,500 5,622
Burlington Resources Finance Co. 6.680% 2/15/11 2,000 2,123
Burlington Resources Finance Co. 6.500% 12/1/11 500 547
Canadian Natural Resources Ltd. 6.700% 7/15/11 2,500 2,680
Canadian Natural Resources Ltd. 5.450% 10/1/12 3,550 3,793
Canadian Natural Resources Ltd. 5.150% 2/1/13 500 528
4 Cenovus Energy Inc. 4.500% 9/15/14 8,950 9,184
Chevron Corp. 3.450% 3/3/12 4,400 4,586
Chevron Corp. 3.950% 3/3/14 6,050 6,361
Conoco Funding Co. 6.350% 10/15/11 11,375 12,422
ConocoPhillips 4.750% 2/1/14 4,200 4,507
ConocoPhillips Canada Funding Co. I 5.300% 4/15/12 1,700 1,829
Devon Financing Corp. ULC 6.875% 9/30/11 9,400 10,192
EnCana Corp. 6.300% 11/1/11 1,500 1,611
EnCana Corp. 4.750% 10/15/13 1,125 1,181
EnCana Holdings Finance Corp. 5.800% 5/1/14 3,250 3,556
EOG Resources Inc. 6.125% 10/1/13 1,200 1,326
Husky Energy Inc. 6.250% 6/15/12 1,000 1,075
Husky Energy Inc. 5.900% 6/15/14 7,100 7,739
Kerr-McGee Corp. 6.875% 9/15/11 2,275 2,449
Marathon Global Funding Corp. 6.000% 7/1/12 900 974
Marathon Oil Corp. 6.125% 3/15/12 700 758
Nexen Inc. 5.050% 11/20/13 5,175 5,456
Occidental Petroleum Corp. 4.250% 3/15/10 2,560 2,580
Occidental Petroleum Corp. 7.000% 11/1/13 2,500 2,860
PC Financial Partnership 5.000% 11/15/14 2,000 2,075
Petro-Canada 4.000% 7/15/13 3,210 3,313
Shell International Finance BV 5.625% 6/27/11 4,950 5,266
Shell International Finance BV 4.950% 3/22/12 700 751

72


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Shell International Finance BV 4.000% 3/21/14 13,325 13,937
Statoil ASA 3.875% 4/15/14 1,150 1,195
Statoil ASA 2.900% 10/15/14 3,500 3,484
Sunoco Inc. 4.875% 10/15/14 950 958
Transocean Inc. 5.250% 3/15/13 3,400 3,639
Valero Energy Corp. 6.875% 4/15/12 3,000 3,228
Valero Energy Corp. 4.750% 6/15/13 3,000 3,059
Weatherford International Inc. 6.625% 11/15/11 1,000 1,071
Weatherford International Inc. 5.950% 6/15/12 4,750 5,086
Weatherford International Ltd. 5.150% 3/15/13 4,175 4,378
XTO Energy Inc. 5.900% 8/1/12 8,850 9,647
Other Industrial (0.0%)        
Yale University 2.900% 10/15/14 1,825 1,818
 
Technology (1.0%)        
Agilent Technologies Inc. 4.450% 9/14/12 1,700 1,762
Amphenol Corp. 4.750% 11/15/14 2,775 2,777
Analog Devices Inc. 5.000% 7/1/14 850 892
Arrow Electronics Inc. 6.875% 7/1/13 800 872
Cisco Systems Inc. 5.250% 2/22/11 10,000 10,499
Cisco Systems Inc. 2.900% 11/17/14 900 904
Computer Sciences Corp. 5.500% 3/15/13 725 772
Dell Inc. 3.375% 6/15/12 2,900 3,004
Dell Inc. 4.700% 4/15/13 1,550 1,633
Dun & Bradstreet Corp. 6.000% 4/1/13 1,700 1,759
Electronic Data Systems LLC 6.000% 8/1/13 2,450 2,720
Equifax Inc. 4.450% 12/1/14 1,000 1,007
Fiserv Inc. 6.125% 11/20/12 8,000 8,724
Hewlett-Packard Co. 2.250% 5/27/11 200 204
Hewlett-Packard Co. 6.500% 7/1/12 1,025 1,138
Hewlett-Packard Co. 4.500% 3/1/13 29,175 31,038
Hewlett-Packard Co. 6.125% 3/1/14 3,950 4,415
Hewlett-Packard Co. 4.750% 6/2/14 3,300 3,525
IBM International Group Capital LLC 5.050% 10/22/12 16,600 17,949
International Business Machines Corp. 4.950% 3/22/11 2,325 2,434
International Business Machines Corp. 2.100% 5/6/13 4,700 4,697
Intuit Inc. 5.400% 3/15/12 950 1,011
Lexmark International Inc. 5.900% 6/1/13 1,050 1,078
Microsoft Corp. 2.950% 6/1/14 5,775 5,848
Motorola Inc. 8.000% 11/1/11 925 996
Motorola Inc. 5.375% 11/15/12 3,500 3,570
Oracle Corp. 5.000% 1/15/11 6,150 6,418
Oracle Corp. 4.950% 4/15/13 3,400 3,668
Oracle Corp. 3.750% 7/8/14 9,600 9,949
Pitney Bowes Inc. 4.625% 10/1/12 2,000 2,121
Pitney Bowes Inc. 4.875% 8/15/14 2,025 2,140
Tyco Electronics Group SA 6.000% 10/1/12 950 1,008
Xerox Corp. 6.875% 8/15/11 1,025 1,095
Xerox Corp. 5.500% 5/15/12 11,750 12,435
Xerox Corp. 8.250% 5/15/14 2,275 2,625
Transportation (0.2%)        
Burlington Northern Santa Fe Corp. 7.125% 12/15/10 1,500 1,587
Burlington Northern Santa Fe Corp. 6.750% 7/15/11 2,500 2,697
Burlington Northern Santa Fe Corp. 5.900% 7/1/12 1,050 1,143
CSX Corp. 6.300% 3/15/12 2,000 2,163
CSX Corp. 5.500% 8/1/13 6,100 6,509
Norfolk Southern Corp. 6.750% 2/15/11 2,925 3,086
Norfolk Southern Corp. 5.257% 9/17/14 1,250 1,340
Ryder System Inc. 5.950% 5/2/11 383 395
Ryder System Inc. 6.000% 3/1/13 1,500 1,564
Ryder System Inc. 5.850% 3/1/14 1,350 1,416
Southwest Airlines Co. 6.500% 3/1/12 3,225 3,369
Union Pacific Corp. 6.650% 1/15/11 2,000 2,112

73


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Union Pacific Corp. 6.500% 4/15/12 4,750 5,171
Union Pacific Corp. 5.450% 1/31/13 190 205
Union Pacific Corp. 5.375% 5/1/14 1,100 1,178
United Parcel Service Inc. 3.875% 4/1/14 4,625 4,816
        1,724,604
Utilities (1.5%)        
Electric (1.1%)        
4 Allegheny Energy Supply Co. LLC 8.250% 4/15/12 3,500 3,736
Appalachian Power Co. 5.650% 8/15/12 3,875 4,153
Arizona Public Service Co. 5.800% 6/30/14 500 534
Carolina Power & Light Co. 6.500% 7/15/12 1,000 1,103
CenterPoint Energy Houston Electric LLC 5.700% 3/15/13 700 747
CenterPoint Energy Houston Electric LLC 5.750% 1/15/14 500 541
CenterPoint Energy Houston Electric LLC 7.000% 3/1/14 2,725 3,112
Commonwealth Edison Co. 6.150% 3/15/12 3,275 3,541
Consolidated Edison Co. of New York Inc. 4.875% 2/1/13 4,000 4,251
Consolidated Natural Gas Co. 6.250% 11/1/11 1,000 1,078
Constellation Energy Group Inc. 7.000% 4/1/12 2,300 2,495
Consumers Energy Co. 5.000% 2/15/12 1,250 1,320
Consumers Energy Co. 5.375% 4/15/13 750 801
Dayton Power & Light Co. 5.125% 10/1/13 1,875 2,010
Detroit Edison Co. 6.125% 10/1/10 1,000 1,039
Dominion Resources Inc. 4.750% 12/15/10 2,125 2,199
3 Dominion Resources Inc. 6.300% 9/30/66 3,400 3,008
Dominion Resources Inc./VA 5.000% 3/15/13 1,500 1,588
DTE Energy Co. 7.050% 6/1/11 1,000 1,061
Duke Energy Carolinas LLC 6.250% 1/15/12 3,500 3,792
Duke Energy Carolinas LLC 5.750% 11/15/13 1,500 1,646
Duke Energy Corp. 6.300% 2/1/14 5,825 6,400
Duke Energy Indiana Inc. 5.000% 9/15/13 1,125 1,177
Duke Energy Ohio Inc. 5.700% 9/15/12 2,400 2,613
Energy East Corp. 6.750% 6/15/12 1,750 1,909
Enersis SA 7.375% 1/15/14 1,000 1,118
Entergy Arkansas Inc. 5.400% 8/1/13 1,000 1,076
Exelon Generation Co. LLC 5.350% 1/15/14 1,000 1,059
FirstEnergy Corp. 6.450% 11/15/11 306 331
Florida Power & Light Co. 4.850% 2/1/13 250 266
FPL Group Capital Inc. 5.625% 9/1/11 3,575 3,825
FPL Group Capital Inc. 5.350% 6/15/13 400 430
Georgia Power Co. 6.000% 11/1/13 2,000 2,228
Metropolitan Edison Co. 4.875% 4/1/14 1,000 1,033
MidAmerican Energy Co. 5.650% 7/15/12 1,150 1,242
MidAmerican Energy Co. 5.125% 1/15/13 2,000 2,139
Midamerican Energy Holdings Co. 5.000% 2/15/14 600 631
National Rural Utilities Cooperative Finance Corp. 4.375% 10/1/10 3,350 3,434
National Rural Utilities Cooperative Finance Corp. 7.250% 3/1/12 975 1,074
National Rural Utilities Cooperative Finance Corp. 2.625% 9/16/12 975 985
National Rural Utilities Cooperative Finance Corp. 5.500% 7/1/13 10,250 11,147
Nisource Finance Corp. 6.150% 3/1/13 1,975 2,095
NSTAR Electric Co. 4.875% 10/15/12 1,925 2,064
NSTAR Electric Co. 4.875% 4/15/14 1,500 1,599
Ohio Power Co. 5.750% 9/1/13 1,575 1,675
Oncor Electric Delivery Co. LLC 6.375% 5/1/12 3,300 3,561
Oncor Electric Delivery Co. LLC 5.950% 9/1/13 2,650 2,851
Pacific Gas & Electric Co. 4.200% 3/1/11 1,100 1,137
Pacific Gas & Electric Co. 4.800% 3/1/14 16,000 17,075
PacifiCorp 6.900% 11/15/11 3,650 4,015
Pepco Holdings Inc. 6.450% 8/15/12 2,000 2,150
PPL Energy Supply LLC 6.400% 11/1/11 1,000 1,078
PPL Energy Supply LLC 6.300% 7/15/13 2,175 2,318
Progress Energy Inc. 7.100% 3/1/11 11,118 11,770
Progress Energy Inc. 6.850% 4/15/12 775 849
PSEG Power LLC 7.750% 4/15/11 1,950 2,087

74


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
PSEG Power LLC 6.950% 6/1/12 4,775 5,217
PSEG Power LLC 5.500% 12/1/15 3,000 3,168
Public Service Co. of Colorado 7.875% 10/1/12 4,625 5,308
Public Service Co. of Colorado 5.500% 4/1/14 1,000 1,084
Public Service Electric & Gas Co. 5.375% 9/1/13 2,000 2,138
SCANA Corp. 6.875% 5/15/11 1,500 1,595
Southern California Edison Co. 5.000% 1/15/14 2,000 2,164
Southern Co. 5.300% 1/15/12 4,450 4,754
Southern Co. 4.150% 5/15/14 800 825
Southern Power Co. 6.250% 7/15/12 1,000 1,094
Tampa Electric Co. 6.875% 6/15/12 1,000 1,094
Tampa Electric Co. 6.375% 8/15/12 2,000 2,175
Virginia Electric and Power Co. 5.100% 11/30/12 6,825 7,393
Wisconsin Electric Power Co. 6.000% 4/1/14 675 756
Wisconsin Energy Corp. 6.500% 4/1/11 4,595 4,859
Natural Gas (0.4%)        
AGL Capital Corp. 7.125% 1/14/11 500 525
Atmos Energy Corp. 4.950% 10/15/14 4,400 4,596
CenterPoint Energy Resources Corp. 7.750% 2/15/11 2,500 2,643
CenterPoint Energy Resources Corp. 7.875% 4/1/13 1,500 1,679
Energy Transfer Partners LP 5.650% 8/1/12 1,250 1,343
Energy Transfer Partners LP 6.000% 7/1/13 1,500 1,600
Energy Transfer Partners LP 8.500% 4/15/14 3,000 3,476
5 Enron Corp. 9.125% 4/1/03 2,000 5
5 Enron Corp. 7.625% 9/10/04 1,000 2
Enterprise Products Operating LLC 4.950% 6/1/10 5,325 5,411
Enterprise Products Operating LLC 4.600% 8/1/12 750 788
Enterprise Products Operating LLC 5.650% 4/1/13 2,200 2,338
Enterprise Products Operating LLC 5.900% 4/15/13 1,150 1,231
Enterprise Products Operating LLC 9.750% 1/31/14 2,000 2,387
Enterprise Products Operating LLC 5.600% 10/15/14 1,350 1,444
5 HNG Internorth 9.625% 3/15/06 1,500 3
Kinder Morgan Energy Partners LP 6.750% 3/15/11 1,225 1,293
Kinder Morgan Energy Partners LP 7.125% 3/15/12 550 599
Kinder Morgan Energy Partners LP 5.850% 9/15/12 4,325 4,632
NuStar Logistics LP 6.050% 3/15/13 2,000 2,108
Oneok Inc. 7.125% 4/15/11 2,000 2,128
ONEOK Partners LP 5.900% 4/1/12 3,400 3,583
Plains All American Pipeline LP / PAA Finance Corp. 4.250% 9/1/12 2,000 2,070
Sempra Energy 6.000% 2/1/13 2,525 2,736
Spectra Energy Capital LLC 6.250% 2/15/13 3,325 3,584
Spectra Energy Capital LLC 5.668% 8/15/14 1,000 1,080
TransCanada PipeLines Ltd. 4.000% 6/15/13 1,650 1,688
Transcontinental Gas Pipe Line Co. LLC 7.000% 8/15/11 650 701
Williams Cos. Inc. 7.125% 9/1/11 2,125 2,259
Williams Cos. Inc. 8.125% 3/15/12 2,100 2,272
        248,024
 
Total Corporate Bonds (Cost $3,339,144)       3,493,441
 
Sovereign Bonds (U.S. Dollar-Denominated) (6.5%)        
African Development Bank 1.000% 11/23/11 4,050 4,024
African Development Bank 1.750% 10/1/12 875 871
African Development Bank 3.000% 5/27/14 11,575 11,516
Asian Development Bank 2.125% 3/15/12 3,350 3,406
Asian Development Bank 4.500% 9/4/12 5,000 5,320
Asian Development Bank 3.625% 9/5/13 5,850 6,159
Asian Development Bank 2.750% 5/21/14 14,550 14,530
Brazilian Government International Bond 11.000% 1/11/12 3,875 4,573
Brazilian Government International Bond 10.250% 6/17/13 4,600 5,675
Brazilian Government International Bond 10.500% 7/14/14 5,725 7,299
Canada Government International Bond 2.375% 9/10/14 7,725 7,614
Canada Mortgage & Housing Corp. 4.800% 10/1/10 1,500 1,533
Canada Mortgage & Housing Corp. 5.000% 9/1/11 4,000 4,208

75


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Chile Government International Bond 7.125% 1/11/12 2,650 2,952
Chile Government International Bond 5.500% 1/15/13 3,550 3,925
China Development Bank Corp. 4.750% 10/8/14 1,375 1,409
Corp Andina de Fomento 6.875% 3/15/12 2,300 2,465
Corp. Andina de Fomento 5.200% 5/21/13 5,575 5,878
Eksportfinans ASA 5.125% 10/26/11 6,000 6,380
Eksportfinans ASA 3.000% 11/17/14 4,825 4,751
European Bank for Reconstruction & Development 1.250% 6/10/11 3,200 3,205
European Bank for Reconstruction & Development 3.625% 6/17/13 3,000 3,129
European Bank for Reconstruction & Development 5.000% 5/19/14 3,400 3,687
European Investment Bank 3.250% 2/15/11 15,425 15,733
European Investment Bank 2.625% 5/16/11 3,800 3,861
European Investment Bank 5.250% 6/15/11 12,975 13,680
European Investment Bank 3.125% 7/15/11 16,425 16,947
European Investment Bank 3.250% 10/14/11 4,775 4,927
European Investment Bank 2.625% 11/15/11 10,450 10,678
European Investment Bank 2.000% 2/10/12 51,800 52,373
European Investment Bank 4.625% 3/21/12 8,700 9,215
European Investment Bank 1.750% 9/14/12 15,000 14,944
European Investment Bank 3.250% 5/15/13 1,050 1,070
European Investment Bank 4.250% 7/15/13 16,950 17,855
European Investment Bank 2.375% 3/14/14 4,175 4,173
European Investment Bank 3.000% 4/8/14 8,000 8,069
European Investment Bank 4.625% 5/15/14 4,350 4,676
European Investment Bank 3.125% 6/4/14 38,950 39,497
Export Development Canada 3.750% 7/15/11 2,575 2,671
Export Development Canada 2.625% 11/15/11 3,300 3,382
Export Development Canada 2.375% 3/19/12 6,875 7,006
Export Development Canada 4.500% 10/25/12 7,500 8,005
Export Development Canada 3.125% 4/24/14 8,050 8,180
Export-Import Bank of Korea 5.125% 2/14/11 600 616
Export-Import Bank of Korea 5.500% 10/17/12 7,850 8,189
Export-Import Bank of Korea 8.125% 1/21/14 10,800 12,552
Export-Import Bank of Korea 5.875% 1/14/15 2,800 3,011
Financement-Quebec 5.000% 10/25/12 2,000 2,137
Hydro Quebec 6.300% 5/11/11 2,500 2,668
Hydro Quebec 8.000% 2/1/13 2,000 2,329
Inter-American Development Bank 5.000% 4/5/11 5,000 5,217
Inter-American Development Bank 1.500% 6/23/11 3,000 3,024
Inter-American Development Bank 3.250% 11/15/11 4,500 4,641
Inter-American Development Bank 4.750% 10/19/12 15,500 16,616
Inter-American Development Bank 1.750% 10/22/12 6,000 5,977
Inter-American Development Bank 3.500% 3/15/13 3,000 3,121
Inter-American Development Bank 3.000% 4/22/14 10,550 10,612
Inter-American Development Bank 4.500% 9/15/14 3,000 3,195
International Bank for Reconstruction & Development 2.000% 4/2/12 26,600 26,890
International Bank for Reconstruction & Development 3.625% 5/21/13 5,500 5,778
International Bank for Reconstruction & Development 3.500% 10/8/13 5,490 5,722
International Finance Corp. 5.125% 5/2/11 7,100 7,476
International Finance Corp. 3.000% 4/22/14 15,525 15,510
Israel Government International Bond 4.625% 6/15/13 2,350 2,491
Israel Government International Bond 5.125% 3/1/14 2,000 2,146
Italian Republic 6.000% 2/22/11 5,775 6,088
Italian Republic 3.500% 7/15/11 2,925 3,015
Italian Republic 5.625% 6/15/12 13,350 14,542
Italian Republic 2.125% 10/5/12 18,925 18,904
Japan Bank for International Cooperation 4.750% 5/25/11 2,150 2,257
Japan Bank for International Cooperation 2.125% 11/5/12 14,000 13,946
Japan Bank for International Cooperation 4.375% 11/26/12 2,200 2,332
Japan Bank for International Cooperation 4.250% 6/18/13 6,150 6,500
Japan Finance Corp. 2.000% 6/24/11 8,100 8,206
Japan Finance Organization for Municipalities 5.875% 3/14/11 2,000 2,111
Korea Development Bank 5.300% 1/17/13 4,650 4,857
Korea Development Bank 5.750% 9/10/13 5,525 5,798

76


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Korea Development Bank 8.000% 1/23/14 5,000 5,694
Kreditanstalt fuer Wiederaufbau 3.125% 11/15/10 6,050 6,183
Kreditanstalt fuer Wiederaufbau 3.250% 2/15/11 15,000 15,376
Kreditanstalt fuer Wiederaufbau 1.875% 3/15/11 7,950 8,039
Kreditanstalt fuer Wiederaufbau 3.750% 6/27/11 8,825 9,154
Kreditanstalt fuer Wiederaufbau 3.250% 10/14/11 10,950 11,319
Kreditanstalt fuer Wiederaufbau 2.000% 1/17/12 7,850 7,949
Kreditanstalt fuer Wiederaufbau 2.250% 4/16/12 8,575 8,658
Kreditanstalt fuer Wiederaufbau 4.750% 5/15/12 24,700 26,276
Kreditanstalt fuer Wiederaufbau 3.250% 3/15/13 39,300 39,831
Kreditanstalt fuer Wiederaufbau 3.500% 5/16/13 12,375 12,629
Kreditanstalt fuer Wiederaufbau 4.000% 10/15/13 6,125 6,374
Kreditanstalt fuer Wiederaufbau 3.500% 3/10/14 7,925 8,094
Kreditanstalt fuer Wiederaufbau 2.750% 10/21/14 20,825 20,624
Landeskreditbank Baden-Wuerttemberg Foerderbank 4.250% 9/15/10 3,500 3,572
Landeskreditbank Baden-Wuerttemberg Foerderbank 4.875% 1/13/12 1,500 1,563
Landwirtschaftliche Rentenbank 4.875% 2/14/11 6,000 6,215
Landwirtschaftliche Rentenbank 5.250% 7/15/11 3,500 3,693
Landwirtschaftliche Rentenbank 5.250% 7/2/12 9,600 10,311
Landwirtschaftliche Rentenbank 1.875% 9/24/12 23,475 23,412
Landwirtschaftliche Rentenbank 3.250% 3/15/13 2,100 2,136
Malaysia Government International Bond 7.500% 7/15/11 4,825 5,231
Mexico Government International Bond 6.375% 1/16/13 5,400 5,933
Mexico Government International Bond 5.875% 1/15/14 2,825 3,079
Nordic Investment Bank 3.875% 6/15/10 3,750 3,773
Nordic Investment Bank 3.125% 2/15/11 6,000 6,141
Nordic Investment Bank 2.625% 10/6/14 6,700 6,623
Oesterreichische Kontrollbank AG 2.875% 3/15/11 1,000 1,013
Oesterreichische Kontrollbank AG 3.125% 10/14/11 4,825 4,935
Oesterreichische Kontrollbank AG 4.750% 11/8/11 13,500 14,257
Oesterreichische Kontrollbank AG 1.875% 3/21/12 2,000 2,000
Oesterreichische Kontrollbank AG 4.750% 10/16/12 7,725 8,325
Ontario Electricity Financial Corp. 7.450% 3/31/13 1,000 1,135
Pemex Project Funding Master Trust 9.125% 10/13/10 2,500 2,633
Peruvian Government International Bond 9.125% 2/21/12 2,500 2,891
^ Petrobras International Finance Co. 9.125% 7/2/13 2,500 2,940
Poland Government International Bond 6.250% 7/3/12 9,125 9,866
Poland Government International Bond 5.250% 1/15/14 3,975 4,253
Province of Ontario Canada 2.750% 2/22/11 3,900 3,969
Province of Ontario Canada 3.375% 5/20/11 950 978
Province of Ontario Canada 5.000% 10/18/11 12,450 13,232
Province of Ontario Canada 2.625% 1/20/12 5,700 5,810
Province of Ontario Canada 1.875% 11/19/12 12,100 12,022
Province of Ontario Canada 4.100% 6/16/14 22,400 23,338
Province of Quebec Canada 6.125% 1/22/11 3,935 4,133
Province of Quebec Canada 4.875% 5/5/14 2,100 2,230
Province of Saskatchewan Canada 7.375% 7/15/13 1,000 1,139
Republic of Korea 4.250% 6/1/13 3,225 3,319
Republic of Korea 5.750% 4/16/14 6,350 6,904
Republic of Korea 4.875% 9/22/14 3,925 4,151
South Africa Government International Bond 7.375% 4/25/12 2,500 2,747
South Africa Government International Bond 6.500% 6/2/14 3,300 3,630
Svensk Exportkredit AB 4.000% 6/15/10 2,175 2,211
Svensk Exportkredit AB 3.250% 9/16/14 4,850 4,849
United Mexican States 5.875% 2/17/14 23,675 25,747
 
Total Sovereign Bonds (Cost $1,020,084)       1,042,464
 
Taxable Municipal Bonds (0.1%)        
Board of Trustees of The Leland Stanford Junior        
University 3.625% 5/1/14 1,600 1,646
California GO 5.250% 4/1/14 1,800 1,823
California GO 5.650% 4/1/39 2,250 2,327

77


Vanguard® Short-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Howard Hughes Medical Institute 3.450% 9/1/14 1,100 1,115
Total Taxable Municipal Bonds (Cost $6,764)       6,911
 
      Shares  
Temporary Cash Investment (1.2%)        
Money Market Fund (1.2%)        
6,7 Vanguard Market Liquidity Fund (Cost $191,629) 0.187%   191,629,464 191,629
 
Total Investments (100.5%) (Cost $15,818,092)       16,080,497
Other Assets and Liabilities—Net (-0.5%)7       (74,930)
Net Assets (100%)       16,005,567

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $925,000.
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 $67,126,000, representing 0.4% of net assets.
5 Non-income-producing security--security in default.
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.
7 Includes $990,000 of collateral received for securities on loan.
GO—General Obligation Bond.

78


Vanguard® Intermediate-Term Bond Index Fund
Schedule of Investments
December 31, 2009

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
 
U.S. Government and Agency Obligations (50.8%)        
U.S. Government Securities (44.4%)        
  United States Treasury Note/Bond 4.000% 2/15/15 206,450 219,450
  United States Treasury Note/Bond 11.250% 2/15/15 50,615 71,415
  United States Treasury Note/Bond 4.125% 5/15/15 74,070 78,989
  United States Treasury Note/Bond 4.250% 8/15/15 95,250 101,962
  United States Treasury Note/Bond 10.625% 8/15/15 46,685 65,578
  United States Treasury Note/Bond 4.500% 11/15/15 24,825 26,889
  United States Treasury Note/Bond 9.875% 11/15/15 60,200 82,718
  United States Treasury Note/Bond 4.500% 2/15/16 56,165 60,597
  United States Treasury Note/Bond 9.250% 2/15/16 41,620 56,057
  United States Treasury Note/Bond 2.625% 2/29/16 73,200 71,233
  United States Treasury Note/Bond 2.375% 3/31/16 40,650 38,897
  United States Treasury Note/Bond 2.625% 4/30/16 1,200 1,163
  United States Treasury Note/Bond 5.125% 5/15/16 107,370 119,751
  United States Treasury Note/Bond 7.250% 5/15/16 51,450 63,709
  United States Treasury Note/Bond 3.250% 5/31/16 115,725 116,249
  United States Treasury Note/Bond 3.250% 6/30/16 54,815 54,987
  United States Treasury Note/Bond 4.875% 8/15/16 75,595 83,142
  United States Treasury Note/Bond 3.125% 10/31/16 53,400 52,741
  United States Treasury Note/Bond 4.625% 11/15/16 45,530 49,251
  United States Treasury Note/Bond 7.500% 11/15/16 105,645 133,145
  United States Treasury Note/Bond 2.750% 11/30/16 85,750 82,575
  United States Treasury Note/Bond 3.250% 12/31/16 79,225 78,458
  United States Treasury Note/Bond 4.625% 2/15/17 118,290 127,772
  United States Treasury Note/Bond 4.500% 5/15/17 130,095 139,121
  United States Treasury Note/Bond 8.750% 5/15/17 98,070 132,624
  United States Treasury Note/Bond 4.750% 8/15/17 117,075 127,081
  United States Treasury Note/Bond 8.875% 8/15/17 71,285 97,204
  United States Treasury Note/Bond 4.250% 11/15/17 44,405 46,563
  United States Treasury Note/Bond 3.500% 2/15/18 155,600 154,385
  United States Treasury Note/Bond 3.875% 5/15/18 192,025 195,055
  United States Treasury Note/Bond 9.125% 5/15/18 27,995 39,307
  United States Treasury Note/Bond 4.000% 8/15/18 222,975 227,818
  United States Treasury Note/Bond 3.750% 11/15/18 324,860 324,912
  United States Treasury Note/Bond 2.750% 2/15/19 263,520 242,726
  United States Treasury Note/Bond 8.875% 2/15/19 51,850 72,444
  United States Treasury Note/Bond 3.125% 5/15/19 219,905 208,325
  United States Treasury Note/Bond 3.625% 8/15/19 203,115 199,751
  United States Treasury Note/Bond 3.375% 11/15/19 251,790 242,308
          4,286,352
Agency Bonds and Notes (6.4%)        
  Egypt Government AID Bonds 4.450% 9/15/15 6,825 7,119
1 Federal Farm Credit Bank 4.875% 12/16/15 12,450 13,352
1 Federal Farm Credit Bank 5.125% 8/25/16 13,700 14,836
1 Federal Farm Credit Bank 4.875% 1/17/17 5,750 6,120
1 Federal Home Loan Bank of Chicago 5.625% 6/13/16 4,325 4,365
1 Federal Home Loan Banks 5.250% 6/18/14 150 166
1 Federal Home Loan Banks 5.375% 5/18/16 9,275 10,275
1 Federal Home Loan Banks 4.750% 12/16/16 26,750 28,602
1 Federal Home Loan Banks 4.875% 5/17/17 24,225 26,023
1 Federal Home Loan Banks 5.000% 11/17/17 32,225 34,733
1 Federal Home Loan Banks 5.375% 8/15/18 6,000 6,529
1 Federal Home Loan Banks 5.375% 5/15/19 5,250 5,670
1 Federal Home Loan Banks 5.125% 8/15/19 5,220 5,557
1 Federal Home Loan Mortgage Corp. 4.500% 1/15/15 27,950 30,035
1 Federal Home Loan Mortgage Corp. 5.050% 1/26/15 4,700 5,150
1 Federal Home Loan Mortgage Corp. 4.750% 1/19/16 23,925 25,805
1 Federal Home Loan Mortgage Corp. 5.250% 4/18/16 16,500 18,210
1 Federal Home Loan Mortgage Corp. 5.500% 7/18/16 52,000 58,050
1 Federal Home Loan Mortgage Corp. 5.000% 2/16/17 7,000 7,599
1 Federal Home Loan Mortgage Corp. 5.125% 11/17/17 14,500 15,792
1 Federal Home Loan Mortgage Corp. 3.750% 3/27/19 25,450 24,949

79


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
1 Federal National Mortgage Assn. 5.000% 4/15/15 25,000 27,417
1 Federal National Mortgage Assn. 4.375% 10/15/15 19,175 20,339
1 Federal National Mortgage Assn. 5.000% 3/15/16 13,000 14,180
1 Federal National Mortgage Assn. 5.250% 9/15/16 20,925 23,049
1 Federal National Mortgage Assn. 4.875% 12/15/16 44,900 48,493
1 Federal National Mortgage Assn. 5.000% 2/13/17 37,175 40,330
1 Federal National Mortgage Assn. 5.375% 6/12/17 25,000 27,660
1 Federal National Mortgage Assn. 0.000% 10/9/19 10,300 5,682
1 Financing Corp. Fico 9.400% 2/8/18 1,475 1,989
1 Financing Corp. Fico 10.350% 8/3/18 2,170 3,125
1 Financing Corp. Fico 9.650% 11/2/18 10,145 14,197
1 Financing Corp. Fico 8.600% 9/26/19 1,275 1,707
  Private Export Funding Corp. 4.375% 3/15/19 3,500 3,458
1 Tennessee Valley Authority 6.000% 3/15/13 6,000 6,716
1 Tennessee Valley Authority 4.750% 8/1/13 4,000 4,306
1 Tennessee Valley Authority 4.375% 6/15/15 7,000 7,420
1 Tennessee Valley Authority 5.500% 7/18/17 6,200 6,815
1 Tennessee Valley Authority 6.250% 12/15/17 2,600 3,006
1 Tennessee Valley Authority 4.500% 4/1/18 5,300 5,448
          614,274
 
Total U.S. Government and Agency Obligations (Cost $4,860,857)       4,900,626
 
Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)        
2 Bear Stearns Commercial Mortgage Securities 5.610% 11/15/33 2,500 2,585
2,3 Commercial Mortgage Lease-Backed Certificates 6.746% 6/20/31 287 302
 
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,788)     2,887
 
Corporate Bonds (41.5%)        
Finance (15.8%)        
  Banking (10.8%)        
  ABN Amro Bank NV 4.650% 6/4/18 1,925 1,540
  American Express Bank FSB 6.000% 9/13/17 3,325 3,431
  American Express Centurion Bank 5.950% 6/12/17 3,275 3,397
  American Express Centurion Bank 6.000% 9/13/17 4,525 4,697
2 American Express Co. 6.800% 9/1/66 3,525 3,051
  American Express Co. 5.500% 9/12/16 1,400 1,441
  American Express Co. 6.150% 8/28/17 9,750 10,173
  American Express Co. 7.000% 3/19/18 10,100 11,140
  American Express Co. 8.125% 5/20/19 5,675 6,742
  American Express Credit Corp. 5.300% 12/2/15 2,000 2,092
  Amsouth Bank 5.200% 4/1/15 2,650 2,282
  Associates Corp. of North America 6.950% 11/1/18 1,150 1,159
3 Banco Bilbao Vizcaya Argentaria SA 5.750% 7/20/17 225 241
  Bank of America Corp. 7.750% 8/15/15 1,000 1,097
  Bank of America Corp. 5.250% 12/1/15 1,900 1,915
  Bank of America Corp. 6.500% 8/1/16 11,475 12,370
  Bank of America Corp. 5.750% 8/15/16 3,900 3,935
  Bank of America Corp. 5.625% 10/14/16 17,150 17,426
  Bank of America Corp. 5.420% 3/15/17 10,200 10,111
  Bank of America Corp. 6.000% 9/1/17 4,150 4,334
  Bank of America Corp. 5.750% 12/1/17 6,325 6,512
  Bank of America Corp. 5.650% 5/1/18 24,450 24,875
  Bank of America Corp. 7.625% 6/1/19 7,350 8,504
  Bank of America NA 5.300% 3/15/17 15,550 15,198
  Bank of America NA 6.100% 6/15/17 500 508
  Bank of New York Mellon Corp. 4.950% 3/15/15 6,125 6,455
  Bank of New York Mellon Corp. 5.450% 5/15/19 3,760 3,943
3 Bank of Scotland PLC 5.250% 2/21/17 2,225 2,214
  Bank One Corp. 4.900% 4/30/15 6,150 6,343
  Barclays Bank PLC 5.000% 9/22/16 7,400 7,576
  Barclays Bank PLC 6.750% 5/22/19 7,500 8,421
  BB&T Corp. 5.200% 12/23/15 10,825 11,278

80


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  BB&T Corp. 6.850% 4/30/19 3,575 4,052
  Bear Stearns Cos. LLC 5.300% 10/30/15 1,100 1,170
  Bear Stearns Cos. LLC 5.550% 1/22/17 12,300 12,560
  Bear Stearns Cos. LLC 6.400% 10/2/17 19,200 21,117
  Bear Stearns Cos. LLC 7.250% 2/1/18 11,550 13,302
  Branch Banking & Trust Co. 5.625% 9/15/16 50 49
  Capital One Bank USA NA 8.800% 7/15/19 4,725 5,615
  Capital One Financial Corp. 5.500% 6/1/15 875 913
  Capital One Financial Corp. 6.150% 9/1/16 6,325 6,380
  Capital One Financial Corp. 6.750% 9/15/17 6,550 7,029
2,3 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 2,100 2,050
  Citigroup Inc. 6.010% 1/15/15 3,700 3,801
  Citigroup Inc. 4.700% 5/29/15 2,600 2,512
  Citigroup Inc. 5.300% 1/7/16 10,825 10,588
  Citigroup Inc. 5.500% 2/15/17 7,650 7,267
  Citigroup Inc. 6.000% 8/15/17 12,750 12,752
  Citigroup Inc. 6.125% 11/21/17 20,975 21,298
  Citigroup Inc. 6.125% 5/15/18 12,800 12,830
  Citigroup Inc. 8.500% 5/22/19 10,775 12,486
  Comerica Bank 5.750% 11/21/16 5,025 4,849
  Comerica Bank 5.200% 8/22/17 3,025 2,821
  Comerica Inc. 4.800% 5/1/15 1,500 1,387
  Compass Bank 6.400% 10/1/17 1,600 1,601
  Countrywide Financial Corp. 6.250% 5/15/16 3,775 3,848
  Credit Suisse 6.000% 2/15/18 12,075 12,677
  Credit Suisse 5.300% 8/13/19 4,575 4,736
2 Credit Suisse 5.860% 5/15/49 6,200 5,502
  Credit Suisse USA Inc. 4.875% 1/15/15 6,255 6,562
  Credit Suisse USA Inc. 5.125% 8/15/15 16,170 17,214
  Credit Suisse USA Inc. 5.850% 8/16/16 3,250 3,468
  Deutsche Bank AG 6.000% 9/1/17 13,300 14,501
  Deutsche Bank Financial LLC 5.375% 3/2/15 4,050 4,212
  Discover Bank 8.700% 11/18/19 2,500 2,681
  Fifth Third Bancorp 5.450% 1/15/17 3,000 2,671
  Fifth Third Bancorp 4.500% 6/1/18 1,550 1,261
  Fifth Third Bank 4.750% 2/1/15 2,800 2,671
2 Fifth Third Capital Trust IV 6.500% 4/15/67 5,750 4,197
  First Tennessee Bank NA 5.050% 1/15/15 2,800 2,475
  Goldman Sachs Group Inc. 5.125% 1/15/15 7,700 8,093
  Goldman Sachs Group Inc. 5.350% 1/15/16 15,050 15,649
  Goldman Sachs Group Inc. 5.750% 10/1/16 2,950 3,117
  Goldman Sachs Group Inc. 5.625% 1/15/17 11,725 12,059
  Goldman Sachs Group Inc. 6.250% 9/1/17 14,825 15,906
  Goldman Sachs Group Inc. 5.950% 1/18/18 21,875 23,092
  Goldman Sachs Group Inc. 6.150% 4/1/18 15,525 16,623
  Goldman Sachs Group Inc. 7.500% 2/15/19 9,050 10,557
3 HBOS PLC 6.750% 5/21/18 925 856
  JPMorgan Chase & Co. 4.750% 3/1/15 3,825 4,004
  JPMorgan Chase & Co. 5.250% 5/1/15 1,975 2,054
  JPMorgan Chase & Co. 5.150% 10/1/15 10,100 10,483
  JPMorgan Chase & Co. 6.125% 6/27/17 4,325 4,560
  JPMorgan Chase & Co. 6.000% 1/15/18 19,575 21,182
  JPMorgan Chase & Co. 6.300% 4/23/19 17,650 19,522
  JPMorgan Chase Bank NA 5.875% 6/13/16 6,400 6,709
  JPMorgan Chase Bank NA 6.000% 10/1/17 2,500 2,669
  KeyBank NA 4.950% 9/15/15 1,000 935
  KeyBank NA 5.450% 3/3/16 3,025 2,784
  M&I Marshall & Ilsley Bank 4.850% 6/16/15 700 547
  M&I Marshall & Ilsley Bank 5.000% 1/17/17 1,950 1,517
2 Manufacturers & Traders Trust Co. 5.585% 12/28/20 2,400 1,986
  Manufacturers & Traders Trust Co. 6.625% 12/4/17 5,425 5,541
  MBNA Corp. 5.000% 6/15/15 1,300 1,297
  Merrill Lynch & Co. Inc. 5.000% 1/15/15 7,925 8,082
  Merrill Lynch & Co. Inc. 6.050% 5/16/16 7,200 7,280

81


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Merrill Lynch & Co. Inc. 5.700% 5/2/17 5,550 5,450
  Merrill Lynch & Co. Inc. 6.400% 8/28/17 9,750 10,206
  Merrill Lynch & Co. Inc. 6.875% 4/25/18 34,850 37,604
  Merrill Lynch & Co. Inc. 6.500% 7/15/18 4,125 4,251
  Morgan Stanley 6.000% 4/28/15 10,800 11,508
  Morgan Stanley 5.375% 10/15/15 7,050 7,348
  Morgan Stanley 5.750% 10/18/16 7,750 8,082
  Morgan Stanley 5.450% 1/9/17 10,825 10,984
  Morgan Stanley 5.550% 4/27/17 16,825 17,099
  Morgan Stanley 6.250% 8/28/17 12,000 12,664
  Morgan Stanley 5.950% 12/28/17 18,725 19,427
  Morgan Stanley 6.625% 4/1/18 13,325 14,455
  Morgan Stanley 7.300% 5/13/19 11,175 12,554
  Morgan Stanley 5.625% 9/23/19 10,200 10,274
  National City Bank 5.800% 6/7/17 4,000 4,020
  National City Corp. 6.875% 5/15/19 1,700 1,835
3 Northern Rock PLC 5.625% 6/22/17 6,325 6,060
  Northern Trust Co. 6.500% 8/15/18 1,275 1,409
  PNC Bank NA 4.875% 9/21/17 2,950 2,793
  PNC Bank NA 6.000% 12/7/17 1,125 1,140
  PNC Funding Corp. 4.250% 9/21/15 1,675 1,709
  PNC Funding Corp. 5.250% 11/15/15 3,575 3,666
  PNC Funding Corp. 5.625% 2/1/17 7,625 7,641
  PNC Funding Corp. 6.700% 6/10/19 2,575 2,869
  Regions Bank 7.500% 5/15/18 1,100 1,008
  Royal Bank of Scotland Group PLC 5.050% 1/8/15 9,400 8,140
  Royal Bank of Scotland Group PLC 4.700% 7/3/18 800 619
  Royal Bank of Scotland Group PLC 6.400% 10/21/19 4,750 4,703
  Sovereign Bank 8.750% 5/30/18 2,825 3,254
2,3 Standard Chartered PLC 6.409% 12/31/49 1,500 1,215
  State Street Bank and Trust Co. 5.300% 1/15/16 1,825 1,854
  State Street Bank and Trust Co. 5.250% 10/15/18 1,000 1,009
  SunTrust Bank 5.000% 9/1/15 1,650 1,592
  SunTrust Bank 5.200% 1/17/17 150 142
  SunTrust Bank 5.450% 12/1/17 2,350 2,257
  SunTrust Bank 7.250% 3/15/18 3,550 3,685
  SunTrust Banks Inc. 6.000% 9/11/17 1,925 1,909
  UBS AG 5.875% 7/15/16 4,800 4,869
  UBS AG 5.875% 12/20/17 15,375 15,825
  UBS AG 5.750% 4/25/18 12,975 13,242
  Union Bank NA 5.950% 5/11/16 4,100 4,102
  US Bank NA 4.800% 4/15/15 1,000 1,048
  Wachovia Bank NA 4.875% 2/1/15 4,475 4,576
  Wachovia Bank NA 6.000% 11/15/17 5,275 5,531
  Wachovia Corp. 5.750% 6/15/17 11,475 11,948
  Wachovia Corp. 5.750% 2/1/18 10,450 10,862
  Wells Fargo & Co. 5.625% 12/11/17 17,275 17,920
  Wells Fargo Bank NA 4.750% 2/9/15 17,100 17,484
  Wells Fargo Bank NA 5.750% 5/16/16 5,300 5,428
  Westpac Banking Corp. 4.200% 2/27/15 8,675 8,813
  Westpac Banking Corp. 4.875% 11/19/19 9,275 9,159
  Brokerage (0.3%)        
  Ameriprise Financial Inc. 5.650% 11/15/15 3,450 3,659
2 Ameriprise Financial Inc. 7.518% 6/1/66 2,000 1,728
  Ameriprise Financial Inc. 7.300% 6/28/19 600 671
  BlackRock Inc. 6.250% 9/15/17 2,950 3,177
  BlackRock Inc. 5.000% 12/10/19 3,900 3,847
  Jefferies Group Inc. 5.500% 3/15/16 4,500 4,265
  Jefferies Group Inc. 8.500% 7/15/19 1,325 1,420
  Lazard Group LLC 6.850% 6/15/17 5,525 5,561
  TD Ameritrade Holding Corp. 5.600% 12/1/19 2,225 2,210
  Finance Companies (1.2%)        
  Discover Financial Services 6.450% 6/12/17 1,500 1,408

82


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
General Electric Capital Corp. 4.375% 9/21/15 1,900 1,931
General Electric Capital Corp. 5.400% 2/15/17 23,600 23,965
General Electric Capital Corp. 5.625% 9/15/17 4,500 4,525
2 General Electric Capital Corp. 6.375% 11/15/67 14,525 12,637
General Electric Capital Corp. 5.625% 5/1/18 27,925 28,552
General Electric Capital Corp. 6.000% 8/7/19 4,325 4,488
2 HSBC Finance Capital Trust IX 5.911% 11/30/35 3,925 3,209
HSBC Finance Corp. 5.000% 6/30/15 22,300 23,139
SLM Corp. 8.450% 6/15/18 14,075 13,869
Insurance (2.5%)        
ACE INA Holdings Inc. 5.600% 5/15/15 2,050 2,249
ACE INA Holdings Inc. 5.700% 2/15/17 2,400 2,547
ACE INA Holdings Inc. 5.800% 3/15/18 1,850 1,977
ACE INA Holdings Inc. 5.900% 6/15/19 1,925 2,080
Aetna Inc. 6.000% 6/15/16 5,250 5,499
Aetna Inc. 6.500% 9/15/18 1,450 1,557
Aflac Inc. 8.500% 5/15/19 3,400 3,890
Allied World Assurance Co. Holdings Ltd. 7.500% 8/1/16 4,575 4,733
2 Allstate Corp. 6.125% 5/15/37 2,575 2,261
American Financial Group Inc. 9.875% 6/15/19 1,625 1,815
American International Group Inc. 5.050% 10/1/15 9,675 8,042
American International Group Inc. 5.600% 10/18/16 875 717
American International Group Inc. 5.450% 5/18/17 6,425 5,277
American International Group Inc. 5.850% 1/16/18 12,925 10,598
American International Group Inc. 8.250% 8/15/18 8,620 8,049
Berkshire Hathaway Finance Corp. 4.850% 1/15/15 5,325 5,691
Berkshire Hathaway Finance Corp. 5.400% 5/15/18 5,400 5,626
2 Chubb Corp. 6.375% 3/29/67 5,225 4,864
Chubb Corp. 5.750% 5/15/18 5,600 5,991
CIGNA Corp. 6.350% 3/15/18 4,050 4,055
CNA Financial Corp. 6.500% 8/15/16 3,400 3,298
CNA Financial Corp. 7.350% 11/15/19 875 879
Coventry Health Care Inc. 5.950% 3/15/17 3,000 2,747
Genworth Financial Inc. 4.950% 10/1/15 1,450 1,319
Genworth Financial Inc. 8.625% 12/15/16 2,550 2,661
Hartford Financial Services Group Inc. 5.500% 10/15/16 4,525 4,309
Hartford Financial Services Group Inc. 5.375% 3/15/17 2,200 2,123
Hartford Financial Services Group Inc. 6.000% 1/15/19 1,125 1,092
HCC Insurance Holdings Inc. 6.300% 11/15/19 1,600 1,617
Humana Inc. 6.450% 6/1/16 875 883
Humana Inc. 7.200% 6/15/18 5,150 5,288
Humana Inc. 6.300% 8/1/18 750 720
Lincoln National Corp. 8.750% 7/1/19 2,325 2,660
Loews Corp. 5.250% 3/15/16 1,850 1,876
Markel Corp. 7.125% 9/30/19 1,575 1,619
Marsh & McLennan Cos. Inc. 5.750% 9/15/15 5,550 5,797
Marsh & McLennan Cos. Inc. 9.250% 4/15/19 1,350 1,655
MetLife Inc. 5.000% 6/15/15 7,450 7,880
MetLife Inc. 6.750% 6/1/16 3,750 4,220
MetLife Inc. 6.817% 8/15/18 5,500 6,120
MetLife Inc. 7.717% 2/15/19 1,850 2,166
Principal Financial Group Inc. 8.875% 5/15/19 4,500 5,180
2 Progressive Corp. 6.700% 6/15/37 5,900 5,225
Protective Life Corp. 7.375% 10/15/19 1,600 1,605
Prudential Financial Inc. 6.200% 1/15/15 675 723
Prudential Financial Inc. 4.750% 9/17/15 5,600 5,699
Prudential Financial Inc. 5.500% 3/15/16 575 588
Prudential Financial Inc. 6.100% 6/15/17 500 516
Prudential Financial Inc. 6.000% 12/1/17 5,650 5,801
Prudential Financial Inc. 7.375% 6/15/19 7,825 8,816
Swiss Re Solutions Holding Corp. 6.450% 3/1/19 400 399
Torchmark Corp. 6.375% 6/15/16 1,750 1,754
Transatlantic Holdings Inc. 5.750% 12/14/15 4,000 3,913

83


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Travelers Cos. Inc. 5.500% 12/1/15 1,350 1,460
Travelers Cos. Inc. 6.250% 6/20/16 2,025 2,208
2 Travelers Cos. Inc. 6.250% 3/15/37 3,950 3,581
Travelers Cos. Inc. 5.750% 12/15/17 3,550 3,745
Travelers Cos. Inc. 5.800% 5/15/18 1,975 2,099
Travelers Cos. Inc. 5.900% 6/2/19 1,075 1,170
UnitedHealth Group Inc. 4.875% 3/15/15 3,825 3,961
UnitedHealth Group Inc. 6.000% 6/15/17 2,775 2,892
UnitedHealth Group Inc. 6.000% 11/15/17 2,400 2,506
UnitedHealth Group Inc. 6.000% 2/15/18 3,050 3,177
Unum Group 7.125% 9/30/16 1,800 1,859
WellPoint Inc. 5.250% 1/15/16 5,300 5,347
WellPoint Inc. 5.875% 6/15/17 3,025 3,135
Willis North America Inc. 5.625% 7/15/15 3,150 3,096
Willis North America Inc. 6.200% 3/28/17 1,625 1,558
Willis North America Inc. 7.000% 9/29/19 3,250 3,266
2 XL Capital Ltd. 6.500% 12/15/49 3,950 2,997
Other Finance (0.0%)        
XTRA Finance Corp. 5.150% 4/1/17 1,600 1,625
 
Real Estate Investment Trusts (1.0%)        
AMB Property LP 6.625% 12/1/19 2,225 2,183
Arden Realty LP 5.250% 3/1/15 1,250 1,287
AvalonBay Communities Inc. 5.750% 9/15/16 1,750 1,795
Boston Properties LP 5.625% 4/15/15 1,925 1,975
Boston Properties LP 5.875% 10/15/19 1,850 1,860
Brandywine Operating Partnership LP 7.500% 5/15/15 450 457
Brandywine Operating Partnership LP 5.700% 5/1/17 1,925 1,729
Camden Property Trust 5.700% 5/15/17 1,800 1,723
Duke Realty LP 7.375% 2/15/15 1,000 1,063
Duke Realty LP 5.950% 2/15/17 4,975 4,637
Duke Realty LP 8.250% 8/15/19 1,125 1,181
ERP Operating LP 5.125% 3/15/16 5,000 4,867
ERP Operating LP 5.375% 8/1/16 475 465
ERP Operating LP 5.750% 6/15/17 1,675 1,676
HCP Inc. 6.300% 9/15/16 275 269
HCP Inc. 6.000% 1/30/17 3,750 3,576
HCP Inc. 6.700% 1/30/18 4,500 4,381
Health Care REIT Inc. 6.200% 6/1/16 925 905
Healthcare Realty Trust Inc. 6.500% 1/17/17 1,200 1,173
Hospitality Properties Trust 5.125% 2/15/15 4,150 3,751
Hospitality Properties Trust 5.625% 3/15/17 2,500 2,158
HRPT Properties Trust 6.250% 8/15/16 5,150 4,897
HRPT Properties Trust 6.250% 6/15/17 3,200 2,889
Kimco Realty Corp. 5.783% 3/15/16 1,350 1,335
Kimco Realty Corp. 6.875% 10/1/19 1,575 1,603
Liberty Property LP 5.125% 3/2/15 5,475 5,202
Mack-Cali Realty LP 7.750% 8/15/19 975 1,012
National Retail Properties Inc. 6.875% 10/15/17 3,000 2,896
ProLogis 5.625% 11/15/15 2,800 2,663
ProLogis 5.750% 4/1/16 3,000 2,816
ProLogis 5.625% 11/15/16 1,925 1,777
ProLogis 7.375% 10/30/19 2,600 2,574
Realty Income Corp. 5.950% 9/15/16 1,000 977
Realty Income Corp. 6.750% 8/15/19 1,350 1,320
Regency Centers LP 5.250% 8/1/15 1,000 957
Regency Centers LP 5.875% 6/15/17 3,000 2,778
Simon Property Group LP 5.100% 6/15/15 1,800 1,774
Simon Property Group LP 5.750% 12/1/15 4,600 4,691
Simon Property Group LP 6.100% 5/1/16 1,800 1,835
Simon Property Group LP 5.250% 12/1/16 8,675 8,543

84


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
 Simon Property Group LP  6.125%  5/30/18  3,225  3,277
Tanger Properties LP  6.150% 11/15/15 1,725 1,688
        1,529,076
Industrial (21.3%)        
Basic Industry (2.5%)        
Agrium Inc. 6.750% 1/15/19 1,750 1,872
Alcoa Inc. 5.550% 2/1/17 1,900 1,888
Alcoa Inc. 6.750% 7/15/18 5,500 5,594
ArcelorMittal 9.000% 2/15/15 4,300 5,007
ArcelorMittal 6.125% 6/1/18 6,925 7,083
ArcelorMittal 9.850% 6/1/19 5,250 6,758
Barrick Gold Corp. 6.950% 4/1/19 2,075 2,349
Barrick North America Finance LLC 6.800% 9/15/18 4,150 4,629
BHP Billiton Finance USA Ltd. 5.250% 12/15/15 2,725 2,949
BHP Billiton Finance USA Ltd. 5.400% 3/29/17 2,300 2,458
BHP Billiton Finance USA Ltd. 6.500% 4/1/19 12,650 14,547
Celulosa Arauco y Constitucion SA 5.625% 4/20/15 5,150 5,403
Commercial Metals Co. 6.500% 7/15/17 1,650 1,676
Commercial Metals Co. 7.350% 8/15/18 1,675 1,786
Cytec Industries Inc. 8.950% 7/1/17 1,750 2,079
Dow Chemical Co. 5.900% 2/15/15 5,500 5,917
Dow Chemical Co. 8.550% 5/15/19 13,550 16,154
Eastman Chemical Co. 5.500% 11/15/19 650 648
EI du Pont de Nemours & Co. 5.250% 12/15/16 5,925 6,286
EI du Pont de Nemours & Co. 6.000% 7/15/18 5,975 6,534
EI du Pont de Nemours & Co. 4.625% 1/15/20 4,450 4,361
Freeport-McMoRan Copper & Gold Inc. 8.250% 4/1/15 10,000 10,825
Freeport-McMoRan Copper & Gold Inc. 8.375% 4/1/17 13,800 15,094
International Paper Co. 5.300% 4/1/15 175 180
International Paper Co. 5.250% 4/1/16 2,950 2,975
International Paper Co. 7.950% 6/15/18 8,200 9,430
International Paper Co. 9.375% 5/15/19 3,775 4,689
Lubrizol Corp. 8.875% 2/1/19 3,850 4,741
Monsanto Co. 5.125% 4/15/18 925 962
3 Mosaic Co. 7.625% 12/1/16 4,000 4,310
Newmont Mining Corp. 5.125% 10/1/19 6,025 6,042
Nucor Corp. 5.750% 12/1/17 825 886
Nucor Corp. 5.850% 6/1/18 3,275 3,525
Plum Creek Timberlands LP 5.875% 11/15/15 1,650 1,690
Potash Corp. of Saskatchewan Inc. 3.750% 9/30/15 7,500 7,487
PPG Industries Inc. 6.650% 3/15/18 3,425 3,727
Praxair Inc. 4.625% 3/30/15 2,575 2,746
Praxair Inc. 3.250% 9/15/15 3,000 3,002
Praxair Inc. 5.375% 11/1/16 700 747
Praxair Inc. 5.200% 3/15/17 1,500 1,579
Praxair Inc. 4.500% 8/15/19 2,550 2,572
Reliance Steel & Aluminum Co. 6.200% 11/15/16 650 653
Rio Tinto Alcan Inc. 5.000% 6/1/15 1,575 1,598
Rio Tinto Finance USA Ltd. 6.500% 7/15/18 12,650 13,828
Rio Tinto Finance USA Ltd. 9.000% 5/1/19 3,125 3,957
Rohm and Haas Co. 6.000% 9/15/17 5,825 5,992
Vale Inco Ltd. 5.700% 10/15/15 1,675 1,692
Vale Overseas Ltd. 6.250% 1/11/16 5,825 6,129
Vale Overseas Ltd. 6.250% 1/23/17 4,575 4,798
Vale Overseas Ltd. 5.625% 9/15/19 2,000 1,998
Valspar Corp. 7.250% 6/15/19 1,275 1,381
Xstrata Canada Corp. 6.000% 10/15/15 2,525 2,665
Capital Goods (2.3%)        
3 Acuity Brands Lighting Inc. 6.000% 12/15/19 1,675 1,610
Allied Waste North America Inc. 7.125% 5/15/16 4,200 4,473
Allied Waste North America Inc. 6.875% 6/1/17 5,000 5,325
Bemis Co. Inc. 6.800% 8/1/19 2,300 2,522

85


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Black & Decker Corp. 5.750% 11/15/16 1,925 1,979
  Boeing Co. 3.500% 2/15/15 5,750 5,776
  Boeing Co. 6.000% 3/15/19 2,075 2,254
  Brookfield Asset Management Inc. 7.125% 6/15/12 1,000 1,035
  Caterpillar Financial Services Corp. 4.750% 2/17/15 7,625 7,993
  Caterpillar Financial Services Corp. 4.625% 6/1/15 1,200 1,238
  Caterpillar Financial Services Corp. 5.450% 4/15/18 7,550 7,810
  Caterpillar Financial Services Corp. 7.150% 2/15/19 7,675 8,848
  Cooper US Inc. 5.450% 4/1/15 1,375 1,482
  CRH America Inc. 6.000% 9/30/16 8,375 8,714
  CRH America Inc. 8.125% 7/15/18 4,425 5,165
  Danaher Corp. 5.625% 1/15/18 1,200 1,287
  Danaher Corp. 5.400% 3/1/19 1,300 1,373
  Deere & Co. 4.375% 10/16/19 700 702
  Dover Corp. 4.875% 10/15/15 2,400 2,586
  Dover Corp. 5.450% 3/15/18 900 949
  Eaton Corp. 5.600% 5/15/18 3,825 4,023
  Embraer Overseas Ltd. 6.375% 1/24/17 1,550 1,567
  Emerson Electric Co. 5.125% 12/1/16 2,500 2,622
  Emerson Electric Co. 5.375% 10/15/17 5,000 5,339
  Emerson Electric Co. 5.250% 10/15/18 850 898
  Emerson Electric Co. 4.875% 10/15/19 1,450 1,494
  General Electric Co. 5.250% 12/6/17 20,475 20,890
  Goodrich Corp. 6.125% 3/1/19 3,472 3,794
  Harsco Corp. 5.750% 5/15/18 2,550 2,510
  Honeywell International Inc. 5.400% 3/15/16 1,825 1,981
  Honeywell International Inc. 5.300% 3/15/17 1,000 1,049
  Honeywell International Inc. 5.300% 3/1/18 4,025 4,260
  Honeywell International Inc. 5.000% 2/15/19 3,650 3,789
  Illinois Tool Works Inc. 6.250% 4/1/19 5,900 6,622
  Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18 6,100 6,785
  John Deere Capital Corp. 5.500% 4/13/17 2,300 2,417
  John Deere Capital Corp. 5.750% 9/10/18 9,125 9,897
  Joy Global Inc. 6.000% 11/15/16 1,275 1,305
3 L-3 Communications Corp. 5.200% 10/15/19 4,075 4,070
  Lafarge SA 6.500% 7/15/16 6,500 6,875
  Lockheed Martin Corp. 7.650% 5/1/16 3,000 3,599
  Lockheed Martin Corp. 4.250% 11/15/19 2,450 2,376
  Martin Marietta Materials Inc. 6.600% 4/15/18 2,050 2,111
  Northrop Grumman Systems Corp. 7.750% 3/1/16 2,900 3,447
  Parker Hannifin Corp. 5.500% 5/15/18 2,000 2,123
  Raytheon Co. 6.400% 12/15/18 500 570
3 Republic Services Inc. 5.500% 9/15/19 1,825 1,854
3 Republic Services Inc. 5.250% 11/15/21 875 857
  Rockwell Collins Inc. 5.250% 7/15/19 650 683
  Roper Industries Inc. 6.250% 9/1/19 2,900 3,020
2,3 Systems 2001 AT LLC 7.156% 12/15/11 269 280
  Textron Inc. 5.600% 12/1/17 3,700 3,577
  Tyco International Finance SA 8.500% 1/15/19 3,650 4,425
  Tyco International Ltd. / Tyco International Finance SA 7.000% 12/15/19 850 958
  United Technologies Corp. 4.875% 5/1/15 1,950 2,108
  United Technologies Corp. 5.375% 12/15/17 5,100 5,463
  United Technologies Corp. 6.125% 2/1/19 8,000 8,860
  Vulcan Materials Co. 7.000% 6/15/18 3,275 3,549
  Waste Management Inc. 6.375% 11/15/12 1,000 1,101
  Waste Management Inc. 6.375% 3/11/15 2,925 3,251
  Waste Management Inc. 7.375% 3/11/19 1,450 1,685
  Communication (3.9%)        
  America Movil SAB de CV 5.750% 1/15/15 1,525 1,614
3 America Movil SAB de CV 5.000% 10/16/19 4,500 4,405
3 American Tower Corp. 4.625% 4/1/15 4,850 4,893
  AT&T Inc. 5.625% 6/15/16 4,975 5,332
  AT&T Inc. 5.500% 2/1/18 12,350 12,975

86


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
AT&T Inc. 5.600% 5/15/18 2,475 2,612
AT&T Inc. 5.800% 2/15/19 13,425 14,368
BellSouth Corp. 5.200% 12/15/16 1,025 1,056
British Telecommunications PLC 5.950% 1/15/18 4,875 4,957
CBS Corp. 8.875% 5/15/19 2,150 2,573
Cellco Partnership / Verizon Wireless Capital LLC 8.500% 11/15/18 11,700 14,613
CenturyTel Inc. 5.000% 2/15/15 1,000 1,020
CenturyTel Inc. 6.000% 4/1/17 2,475 2,516
CenturyTel Inc. 6.150% 9/15/19 500 516
Comcast Cable Communications LLC 8.875% 5/1/17 1,700 2,049
Comcast Corp. 6.500% 1/15/15 2,825 3,170
Comcast Corp. 5.900% 3/15/16 16,125 17,301
Comcast Corp. 4.950% 6/15/16 2,175 2,225
Comcast Corp. 6.500% 1/15/17 1,575 1,744
Comcast Corp. 6.300% 11/15/17 7,125 7,801
Comcast Corp. 5.875% 2/15/18 5,375 5,727
Comcast Corp. 5.700% 5/15/18 1,000 1,055
Comcast Corp. 5.700% 7/1/19 1,075 1,124
COX Communications Inc. 5.500% 10/1/15 1,250 1,333
Deutsche Telekom International Finance BV 5.750% 3/23/16 2,725 2,910
Deutsche Telekom International Finance BV 6.750% 8/20/18 4,550 5,056
Deutsche Telekom International Finance BV 6.000% 7/8/19 4,125 4,390
DirecTV Holdings LLC / DirecTV Financing Co. Inc. 6.375% 6/15/15 6,500 6,727
DirecTV Holdings LLC / DirecTV Financing Co. Inc. 7.625% 5/15/16 1,900 2,071
3 DirecTV Holdings LLC / DirecTV Financing Co. Inc. 5.875% 10/1/19 4,150 4,192
Embarq Corp. 7.082% 6/1/16 9,275 10,149
France Telecom SA 5.375% 7/8/19 2,625 2,770
GTE Corp. 6.840% 4/15/18 1,000 1,075
McGraw-Hill Cos. Inc. 5.900% 11/15/17 2,950 3,017
News America Inc. 6.900% 3/1/19 2,500 2,799
Omnicom Group Inc. 5.900% 4/15/16 6,400 6,782
Qwest Corp. 6.500% 6/1/17 4,000 3,900
Reed Elsevier Capital Inc. 8.625% 1/15/19 4,100 5,023
Rogers Communications Inc. 6.800% 8/15/18 11,740 13,127
RR Donnelley & Sons Co. 5.500% 5/15/15 2,365 2,343
RR Donnelley & Sons Co. 8.600% 8/15/16 525 568
RR Donnelley & Sons Co. 6.125% 1/15/17 2,650 2,583
^ RR Donnelley & Sons Co. 11.250% 2/1/19 3,250 4,013
TCI Communications Inc. 8.750% 8/1/15 3,895 4,668
Telecom Italia Capital SA 5.250% 10/1/15 6,625 6,947
Telecom Italia Capital SA 6.999% 6/4/18 2,625 2,880
Telecom Italia Capital SA 7.175% 6/18/19 8,400 9,402
Telefonica Emisiones SAU 4.949% 1/15/15 3,950 4,252
Telefonica Emisiones SAU 6.421% 6/20/16 12,975 14,445
Telefonica Emisiones SAU 5.877% 7/15/19 1,900 2,034
Telefonos de Mexico SAB de CV 5.500% 1/27/15 6,050 6,263
Thomson Reuters Corp. 6.500% 7/15/18 3,950 4,463
Thomson Reuters Corp. 4.700% 10/15/19 1,000 989
Time Warner Cable Inc. 3.500% 2/1/15 1,400 1,382
Time Warner Cable Inc. 5.850% 5/1/17 18,625 19,541
Time Warner Cable Inc. 6.750% 7/1/18 11,900 13,121
Time Warner Cable Inc. 8.750% 2/14/19 1,575 1,920
Time Warner Cable Inc. 8.250% 4/1/19 5,475 6,515
Time Warner Cable Inc. 5.000% 2/1/20 1,625 1,580
Verizon Communications Inc. 4.900% 9/15/15 2,000 2,147
Verizon Communications Inc. 5.550% 2/15/16 12,150 13,000
Verizon Communications Inc. 5.500% 2/15/18 9,575 9,964
Verizon Communications Inc. 6.100% 4/15/18 800 871
Verizon Communications Inc. 8.750% 11/1/18 11,075 14,018
Verizon Communications Inc. 6.350% 4/1/19 8,950 9,913
Vodafone Group PLC 5.375% 1/30/15 8,475 9,111
Vodafone Group PLC 5.000% 9/15/15 1,250 1,319
Vodafone Group PLC 5.750% 3/15/16 5,350 5,772
Vodafone Group PLC 5.625% 2/27/17 7,425 7,922

87


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Vodafone Group PLC 5.450% 6/10/19 400 414
Washington Post Co. 7.250% 2/1/19 1,075 1,181
Consumer Cyclical (1.7%)        
AutoZone Inc. 5.750% 1/15/15 4,400 4,720
Costco Wholesale Corp. 5.500% 3/15/17 7,125 7,655
CVS Caremark Corp. 5.750% 6/1/17 12,675 13,347
CVS Caremark Corp. 6.600% 3/15/19 4,100 4,472
Darden Restaurants Inc. 6.200% 10/15/17 4,025 4,256
Home Depot Inc. 5.400% 3/1/16 12,550 13,093
Johnson Controls Inc. 5.500% 1/15/16 3,000 3,056
Kohl's Corp. 6.250% 12/15/17 4,000 4,411
Lowe's Cos. Inc. 5.000% 10/15/15 25 27
Lowe's Cos. Inc. 5.400% 10/15/16 4,525 4,859
Lowe's Cos. Inc. 6.100% 9/15/17 600 664
Marriott International Inc. 6.200% 6/15/16 2,600 2,643
Marriott International Inc. 6.375% 6/15/17 2,450 2,529
McDonald's Corp. 5.300% 3/15/17 750 809
McDonald's Corp. 5.800% 10/15/17 3,950 4,383
McDonald's Corp. 5.350% 3/1/18 4,775 5,138
McDonald's Corp. 5.000% 2/1/19 725 767
Nordstrom Inc. 6.250% 1/15/18 1,800 1,955
Target Corp. 5.875% 7/15/16 5,375 5,904
Target Corp. 6.000% 1/15/18 6,750 7,432
Time Warner Inc. 5.875% 11/15/16 9,600 10,349
TJX Cos. Inc. 6.950% 4/15/19 2,950 3,411
Toll Brothers Finance Corp. 5.150% 5/15/15 2,150 2,049
Toll Brothers Finance Corp. 6.750% 11/1/19 1,425 1,372
VF Corp. 5.950% 11/1/17 1,125 1,213
Viacom Inc. 6.250% 4/30/16 8,800 9,645
Viacom Inc. 6.125% 10/5/17 50 54
Viacom Inc. 5.625% 9/15/19 2,175 2,255
Wal-Mart Stores Inc. 4.500% 7/1/15 7,025 7,494
Wal-Mart Stores Inc. 5.375% 4/5/17 2,575 2,786
Wal-Mart Stores Inc. 5.800% 2/15/18 6,525 7,323
Walgreen Co. 5.250% 1/15/19 5,600 5,957
Walt Disney Co. 5.625% 9/15/16 3,500 3,804
Walt Disney Co. 5.875% 12/15/17 2,600 2,805
Walt Disney Co. 5.500% 3/15/19 1,575 1,677
Western Union Co. 5.930% 10/1/16 3,800 4,125
Yum! Brands Inc. 6.250% 4/15/16 2,750 2,938
Yum! Brands Inc. 6.250% 3/15/18 2,625 2,840
Consumer Noncyclical (5.5%)        
Abbott Laboratories 5.875% 5/15/16 11,000 12,201
Abbott Laboratories 5.600% 11/30/17 5,000 5,464
Abbott Laboratories 5.125% 4/1/19 5,200 5,448
Allergan Inc. 5.750% 4/1/16 3,300 3,562
Altria Group Inc. 9.700% 11/10/18 20,300 25,162
Altria Group Inc. 9.250% 8/6/19 3,800 4,629
AmerisourceBergen Corp. 5.875% 9/15/15 4,425 4,828
Amgen Inc. 5.850% 6/1/17 6,075 6,660
Amgen Inc. 5.700% 2/1/19 10,550 11,380
Anheuser-Busch Cos. Inc. 5.600% 3/1/17 4,100 4,242
Anheuser-Busch Cos. Inc. 5.500% 1/15/18 4,450 4,555
3 Anheuser-Busch InBev Worldwide Inc. 4.125% 1/15/15 8,500 8,607
Archer-Daniels-Midland Co. 8.375% 4/15/17 1,375 1,681
Archer-Daniels-Midland Co. 5.450% 3/15/18 4,050 4,320
AstraZeneca PLC 5.900% 9/15/17 10,925 12,106
Baxter International Inc. 4.625% 3/15/15 3,150 3,366
Baxter International Inc. 5.900% 9/1/16 2,600 2,888
Baxter International Inc. 5.375% 6/1/18 3,500 3,715
Becton Dickinson and Co. 5.000% 5/15/19 2,975 3,079
Biogen Idec Inc. 6.875% 3/1/18 4,950 5,279
Bottling Group LLC 5.500% 4/1/16 2,550 2,757

88


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Bottling Group LLC 5.125% 1/15/19 9,600 10,065
Bristol-Myers Squibb Co. 5.450% 5/1/18 3,125 3,370
Bunge Ltd. Finance Corp. 5.100% 7/15/15 1,925 1,907
Bunge Ltd. Finance Corp. 8.500% 6/15/19 2,600 2,957
Cardinal Health Inc. 4.000% 6/15/15 2,200 2,149
3 CareFusion Corp. 6.375% 8/1/19 2,750 2,972
Clorox Co. 5.000% 1/15/15 3,700 3,921
Clorox Co. 5.950% 10/15/17 1,000 1,081
Coca-Cola Co. 5.350% 11/15/17 6,150 6,676
Coca-Cola Co. 4.875% 3/15/19 7,750 8,105
Coca-Cola Enterprises Inc. 4.250% 3/1/15 4,200 4,421
Coca-Cola Enterprises Inc. 4.500% 8/15/19 900 904
ConAgra Foods Inc. 5.819% 6/15/17 1,500 1,567
ConAgra Foods Inc. 7.000% 4/15/19 500 566
Covidien International Finance SA 6.000% 10/15/17 8,125 8,758
Delhaize Group SA 6.500% 6/15/17 2,800 3,043
Diageo Capital PLC 5.500% 9/30/16 4,500 4,789
Diageo Capital PLC 5.750% 10/23/17 4,800 5,178
Diageo Finance BV 5.300% 10/28/15 2,675 2,889
Dr Pepper Snapple Group Inc. 6.820% 5/1/18 6,075 6,856
Eli Lilly & Co. 5.200% 3/15/17 4,925 5,222
Express Scripts Inc. 7.250% 6/15/19 2,050 2,338
Fisher Scientific International Inc. 6.125% 7/1/15 4,000 4,167
Fortune Brands Inc. 5.375% 1/15/16 3,325 3,340
Genentech Inc. 4.750% 7/15/15 3,250 3,472
General Mills Inc. 5.200% 3/17/15 1,100 1,181
General Mills Inc. 5.700% 2/15/17 7,850 8,523
General Mills Inc. 5.650% 2/15/19 6,875 7,335
GlaxoSmithKline Capital Inc. 5.650% 5/15/18 14,250 15,353
Hasbro Inc. 6.300% 9/15/17 2,175 2,299
Hershey Co. 5.450% 9/1/16 2,100 2,204
Hospira Inc. 6.400% 5/15/15 1,875 2,080
Hospira Inc. 6.050% 3/30/17 2,000 2,094
Johnson & Johnson 5.550% 8/15/17 550 608
Johnson & Johnson 5.150% 7/15/18 7,325 7,875
Kellogg Co. 4.150% 11/15/19 5,600 5,473
Kimberly-Clark Corp. 4.875% 8/15/15 1,025 1,105
Kimberly-Clark Corp. 6.125% 8/1/17 7,000 7,748
Kimberly-Clark Corp. 6.250% 7/15/18 675 759
Koninklijke Philips Electronics NV 5.750% 3/11/18 7,100 7,543
Kraft Foods Inc. 6.500% 8/11/17 16,450 17,845
Kraft Foods Inc. 6.125% 2/1/18 5,750 6,082
Kraft Foods Inc. 6.125% 8/23/18 700 743
Kroger Co. 4.950% 1/15/15 6,825 7,186
Kroger Co. 3.900% 10/1/15 800 807
Kroger Co. 6.400% 8/15/17 1,950 2,136
Laboratory Corp. of America Holdings 5.625% 12/15/15 1,250 1,307
Lorillard Tobacco Co. 8.125% 6/23/19 4,900 5,388
McKesson Corp. 5.700% 3/1/17 1,000 1,055
McKesson Corp. 7.500% 2/15/19 1,825 2,135
3 Mead Johnson Nutrition Co. 4.900% 11/1/19 2,475 2,424
Medco Health Solutions Inc. 7.125% 3/15/18 4,100 4,613
Medtronic Inc. 4.750% 9/15/15 3,200 3,450
Medtronic Inc. 5.600% 3/15/19 1,525 1,646
Merck & Co. Inc. 4.750% 3/1/15 5,425 5,858
Merck & Co. Inc. 4.000% 6/30/15 7,150 7,496
Merck & Co. Inc. 6.000% 9/15/17 5,775 6,461
Merck & Co. Inc. 5.000% 6/30/19 5,650 5,925
Novant Health Inc. 5.850% 11/1/19 1,300 1,292
Novartis Securities Investment Ltd. 5.125% 2/10/19 15,875 16,564
PepsiAmericas Inc. 4.875% 1/15/15 2,875 3,050
PepsiAmericas Inc. 5.000% 5/15/17 750 788
PepsiCo Inc. 5.000% 6/1/18 9,200 9,606
PepsiCo Inc. 7.900% 11/1/18 8,700 10,664

89


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Pfizer Inc. 5.350% 3/15/15 15,200 16,659
Pfizer Inc. 6.200% 3/15/19 16,200 18,038
Philip Morris International Inc. 5.650% 5/16/18 11,975 12,595
Procter & Gamble Co. 3.500% 2/15/15 3,525 3,607
Procter & Gamble Co. 4.850% 12/15/15 5,000 5,470
Procter & Gamble Co. 4.700% 2/15/19 3,350 3,430
Quest Diagnostics Inc. 5.450% 11/1/15 1,900 2,057
Quest Diagnostics Inc. 6.400% 7/1/17 1,325 1,461
Reynolds American Inc. 7.625% 6/1/16 1,000 1,088
Reynolds American Inc. 6.750% 6/15/17 6,500 6,695
Safeway Inc. 6.350% 8/15/17 3,875 4,219
Safeway Inc. 5.000% 8/15/19 2,725 2,717
St. Jude Medical Inc. 4.875% 7/15/19 2,650 2,682
Sysco Corp. 5.250% 2/12/18 2,500 2,646
Teva Pharmaceutical Finance Co. LLC 5.550% 2/1/16 2,675 2,825
Unilever Capital Corp. 4.800% 2/15/19 2,475 2,542
UST Inc. 5.750% 3/1/18 975 957
Wyeth 5.500% 2/15/16 5,000 5,385
Wyeth 5.450% 4/1/17 1,725 1,844
Zimmer Holdings Inc. 4.625% 11/30/19 3,175 3,184
Energy (2.8%)        
Anadarko Petroleum Corp. 5.950% 9/15/16 11,200 12,024
Anadarko Petroleum Corp. 6.950% 6/15/19 2,700 3,063
Apache Corp. 5.625% 1/15/17 3,625 3,882
Apache Corp. 6.900% 9/15/18 2,800 3,282
Baker Hughes Inc. 7.500% 11/15/18 3,000 3,594
BJ Services Co. 6.000% 6/1/18 1,225 1,322
BP Capital Markets PLC 3.875% 3/10/15 8,425 8,699
BP Capital Markets PLC 4.750% 3/10/19 3,975 4,053
Cameron International Corp. 6.375% 7/15/18 1,600 1,685
Canadian Natural Resources Ltd. 6.000% 8/15/16 4,000 4,237
Canadian Natural Resources Ltd. 5.700% 5/15/17 3,625 3,863
3 Cenovus Energy Inc. 5.700% 10/15/19 7,200 7,287
Chevron Corp. 4.950% 3/3/19 6,300 6,638
ConocoPhillips 4.600% 1/15/15 5,300 5,646
ConocoPhillips 5.750% 2/1/19 10,875 11,931
ConocoPhillips Canada Funding Co. I 5.625% 10/15/16 9,825 10,681
Devon Energy Corp. 6.300% 1/15/19 3,575 3,981
Diamond Offshore Drilling Inc. 4.875% 7/1/15 2,050 2,175
Diamond Offshore Drilling Inc. 5.875% 5/1/19 1,050 1,119
EnCana Corp. 5.900% 12/1/17 4,225 4,531
EnCana Corp. 6.500% 5/15/19 1,100 1,228
EOG Resources Inc. 5.875% 9/15/17 3,300 3,629
EOG Resources Inc. 6.875% 10/1/18 4,525 5,281
Halliburton Co. 6.150% 9/15/19 4,300 4,821
Hess Corp. 8.125% 2/15/19 4,200 5,069
Husky Energy Inc. 6.150% 6/15/19 510 544
Husky Energy Inc. 7.250% 12/15/19 2,295 2,647
Marathon Oil Corp. 6.000% 10/1/17 14,475 15,358
Marathon Oil Corp. 5.900% 3/15/18 150 159
Nabors Industries Inc. 6.150% 2/15/18 5,475 5,673
Nabors Industries Inc. 9.250% 1/15/19 4,800 5,899
Nexen Inc. 5.650% 5/15/17 1,850 1,925
Nexen Inc. 6.200% 7/30/19 2,000 2,120
Noble Energy Inc. 8.250% 3/1/19 4,000 4,787
Petro-Canada 6.050% 5/15/18 2,225 2,377
Questar Market Resources Inc. 6.050% 9/1/16 600 612
Questar Market Resources Inc. 6.800% 4/1/18 2,000 2,078
Rowan Cos. Inc. 7.875% 8/1/19 2,150 2,393
Shell International Finance BV 3.250% 9/22/15 3,750 3,753
Shell International Finance BV 5.200% 3/22/17 2,775 2,984
Shell International Finance BV 4.300% 9/22/19 9,000 8,903
Smith International Inc. 9.750% 3/15/19 4,500 5,701

90


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Statoil ASA 5.250% 4/15/19 7,825 8,304
Suncor Energy Inc. 6.100% 6/1/18 5,200 5,593
Sunoco Inc. 5.750% 1/15/17 2,075 2,112
Talisman Energy Inc. 5.125% 5/15/15 2,150 2,230
Talisman Energy Inc. 7.750% 6/1/19 3,875 4,543
Total Capital SA 3.125% 10/2/15 4,750 4,684
Transocean Inc. 6.000% 3/15/18 4,750 5,070
Valero Energy Corp. 6.125% 6/15/17 6,000 6,157
Valero Energy Corp. 9.375% 3/15/19 4,000 4,774
Weatherford International Inc. 6.350% 6/15/17 3,535 3,708
Weatherford International Ltd. 5.500% 2/15/16 3,000 3,049
Weatherford International Ltd. 6.000% 3/15/18 2,575 2,627
Weatherford International Ltd. 9.625% 3/1/19 6,925 8,652
XTO Energy Inc. 5.000% 1/31/15 400 433
XTO Energy Inc. 5.300% 6/30/15 275 303
XTO Energy Inc. 6.250% 8/1/17 6,125 6,959
XTO Energy Inc. 5.500% 6/15/18 5,000 5,371
XTO Energy Inc. 6.500% 12/15/18 4,100 4,702
Other Industrial (0.0%)        
Cintas Corp. 6.125% 12/1/17 1,300 1,387
 
Technology (1.8%)        
Agilent Technologies Inc. 5.500% 9/14/15 1,400 1,471
Agilent Technologies Inc. 6.500% 11/1/17 4,025 4,268
Avnet Inc. 6.625% 9/15/16 3,000 3,063
BMC Software Inc. 7.250% 6/1/18 1,550 1,683
CA Inc. 5.375% 12/1/19 3,450 3,486
Cisco Systems Inc. 5.500% 2/22/16 16,775 18,500
Cisco Systems Inc. 4.950% 2/15/19 7,350 7,569
Computer Sciences Corp. 6.500% 3/15/18 4,800 5,166
Corning Inc. 6.625% 5/15/19 950 1,021
Dell Inc. 5.650% 4/15/18 2,500 2,623
Dell Inc. 5.875% 6/15/19 2,325 2,483
Equifax Inc. 6.300% 7/1/17 1,300 1,336
Fiserv Inc. 6.800% 11/20/17 3,150 3,468
Harris Corp. 5.000% 10/1/15 1,425 1,476
Harris Corp. 5.950% 12/1/17 775 813
Harris Corp. 6.375% 6/15/19 1,425 1,512
Hewlett-Packard Co. 5.400% 3/1/17 2,750 2,928
Hewlett-Packard Co. 5.500% 3/1/18 5,375 5,705
International Business Machines Corp. 5.700% 9/14/17 23,375 25,566
International Game Technology 7.500% 6/15/19 2,100 2,279
Intuit Inc. 5.750% 3/15/17 1,025 1,062
Lexmark International Inc. 6.650% 6/1/18 2,975 2,930
Microsoft Corp. 4.200% 6/1/19 7,375 7,439
Motorola Inc. 6.000% 11/15/17 725 699
Nokia Oyj 5.375% 5/15/19 4,825 4,945
Oracle Corp. 5.250% 1/15/16 18,775 20,277
Oracle Corp. 5.750% 4/15/18 8,000 8,686
Oracle Corp. 5.000% 7/8/19 1,750 1,811
Pitney Bowes Inc. 4.750% 1/15/16 6,175 6,409
Pitney Bowes Inc. 5.750% 9/15/17 2,400 2,563
Pitney Bowes Inc. 4.750% 5/15/18 1,625 1,626
Tyco Electronics Group SA 6.550% 10/1/17 1,250 1,289
Xerox Corp. 4.250% 2/15/15 1,500 1,494
Xerox Corp. 6.400% 3/15/16 5,700 6,032
Xerox Corp. 6.750% 2/1/17 1,850 1,991
Xerox Corp. 6.350% 5/15/18 5,575 5,856
Xerox Corp. 5.625% 12/15/19 2,775 2,772
Transportation (0.8%)        
2 American Airlines Pass Through Trust 2009-1A 10.375% 7/2/19 1,200 1,344
Burlington Northern Santa Fe Corp. 5.650% 5/1/17 5,150 5,470
Burlington Northern Santa Fe Corp. 5.750% 3/15/18 4,600 4,929

91


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Canadian National Railway Co. 5.800% 6/1/16 1,950 2,107
Canadian National Railway Co. 5.850% 11/15/17 500 543
Canadian National Railway Co. 5.550% 5/15/18 900 959
Canadian Pacific Railway Co. 7.250% 5/15/19 1,500 1,697
Con-way Inc. 7.250% 1/15/18 2,000 2,032
2 Continental Airlines Inc. 6.648% 9/15/17 1,536 1,467
2 Continental Airlines Inc. 6.900% 1/2/18 1,484 1,462
2 Continental Airlines Inc. 6.545% 2/2/19 767 755
Continental Airlines Inc. 7.250% 11/10/19 700 716
CSX Corp. 6.250% 4/1/15 3,000 3,318
CSX Corp. 5.600% 5/1/17 3,850 3,993
CSX Corp. 7.900% 5/1/17 675 781
CSX Corp. 6.250% 3/15/18 5,125 5,556
CSX Corp. 7.375% 2/1/19 1,500 1,723
2 Delta Air Lines Inc. 7.750% 12/17/19 1,025 1,056
FedEx Corp. 8.000% 1/15/19 1,000 1,209
Norfolk Southern Corp. 5.750% 1/15/16 2,050 2,175
Norfolk Southern Corp. 7.700% 5/15/17 2,400 2,813
Norfolk Southern Corp. 5.750% 4/1/18 3,175 3,370
Norfolk Southern Corp. 5.900% 6/15/19 2,600 2,797
Ryder System Inc. 7.200% 9/1/15 1,775 1,921
Ryder System Inc. 5.850% 11/1/16 1,000 1,002
Southwest Airlines Co. 5.750% 12/15/16 1,300 1,261
Southwest Airlines Co. 5.125% 3/1/17 650 616
Union Pacific Corp. 7.000% 2/1/16 550 612
Union Pacific Corp. 5.650% 5/1/17 3,300 3,505
Union Pacific Corp. 5.750% 11/15/17 4,675 4,967
Union Pacific Corp. 5.700% 8/15/18 4,325 4,538
United Parcel Service Inc. 5.500% 1/15/18 3,100 3,331
United Parcel Service Inc. 5.125% 4/1/19 2,200 2,339
        2,056,205
Utilities (4.4%)        
Electric (3.0%)        
Alabama Power Co. 5.500% 10/15/17 2,100 2,210
American Water Capital Corp. 6.085% 10/15/17 3,025 3,128
Arizona Public Service Co. 4.650% 5/15/15 3,825 3,851
Baltimore Gas & Electric Co. 5.900% 10/1/16 2,250 2,397
Carolina Power & Light Co. 5.250% 12/15/15 3,000 3,285
Carolina Power & Light Co. 5.300% 1/15/19 7,125 7,417
CenterPoint Energy Inc. 6.500% 5/1/18 4,500 4,575
Cleveland Electric Illuminating Co. 7.880% 11/1/17 250 295
Commonwealth Edison Co. 4.700% 4/15/15 700 723
Commonwealth Edison Co. 5.950% 8/15/16 1,975 2,148
Commonwealth Edison Co. 6.150% 9/15/17 4,250 4,619
Commonwealth Edison Co. 5.800% 3/15/18 650 694
Connecticut Light & Power Co. 5.650% 5/1/18 3,000 3,186
Consolidated Edison Co. of New York Inc. 5.500% 9/15/16 3,350 3,501
Consolidated Edison Co. of New York Inc. 5.850% 4/1/18 5,000 5,323
Consolidated Edison Co. of New York Inc. 7.125% 12/1/18 2,000 2,328
Consolidated Edison Co. of New York Inc. 6.650% 4/1/19 1,200 1,360
Constellation Energy Group Inc. 4.550% 6/15/15 3,750 3,747
Consumers Energy Co. 5.500% 8/15/16 3,850 4,123
Consumers Energy Co. 6.125% 3/15/19 300 326
Consumers Energy Co. 6.700% 9/15/19 2,900 3,266
Dominion Resources Inc. 5.150% 7/15/15 7,925 8,387
2 Dominion Resources Inc. 7.500% 6/30/66 500 482
Dominion Resources Inc. 6.000% 11/30/17 5,750 6,224
Dominion Resources Inc./VA 8.875% 1/15/19 1,475 1,827
Duke Energy Carolinas LLC 5.100% 4/15/18 8,750 9,086
Duke Energy Corp. 5.050% 9/15/19 3,800 3,803
Duke Energy Indiana Inc. 6.050% 6/15/16 1,500 1,607
Entergy Gulf States Louisiana LLC 6.000% 5/1/18 2,600 2,714
Entergy Louisiana LLC 6.500% 9/1/18 3,075 3,254

92


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Exelon Corp. 4.900% 6/15/15 6,025 6,239
Exelon Generation Co. LLC 6.200% 10/1/17 3,500 3,746
FirstEnergy Solutions Corp. 4.800% 2/15/15 1,675 1,709
Florida Power & Light Co. 5.550% 11/1/17 3,950 4,251
Florida Power Corp. 5.650% 6/15/18 2,100 2,255
2 FPL Group Capital Inc. 6.350% 10/1/66 1,825 1,686
2 FPL Group Capital Inc. 6.650% 6/15/67 1,700 1,574
2 FPL Group Capital Inc. 7.300% 9/1/67 1,000 978
FPL Group Capital Inc. 6.000% 3/1/19 2,500 2,685
Georgia Power Co. 5.700% 6/1/17 7,000 7,552
Illinois Power Co. 6.125% 11/15/17 3,100 3,275
Illinois Power Co. 6.250% 4/1/18 2,000 2,134
Illinois Power Co. 9.750% 11/15/18 3,300 4,105
Indiana Michigan Power Co. 7.000% 3/15/19 2,497 2,786
2 Integrys Energy Group Inc. 6.110% 12/1/66 1,500 1,245
Jersey Central Power & Light Co. 5.625% 5/1/16 5,675 5,910
Jersey Central Power & Light Co. 5.650% 6/1/17 5,475 5,629
MidAmerican Energy Co. 5.950% 7/15/17 925 976
MidAmerican Energy Co. 5.300% 3/15/18 4,900 5,085
Midamerican Energy Holdings Co. 5.750% 4/1/18 4,350 4,602
National Rural Utilities Cooperative Finance Corp. 5.450% 4/10/17 250 262
National Rural Utilities Cooperative Finance Corp. 5.450% 2/1/18 12,025 12,480
National Rural Utilities Cooperative Finance Corp. 10.375% 11/1/18 2,525 3,370
Nevada Power Co. 6.500% 5/15/18 2,675 2,864
Nevada Power Co. 6.500% 8/1/18 3,575 3,832
Nisource Finance Corp. 10.750% 3/15/16 1,000 1,237
Nisource Finance Corp. 5.250% 9/15/17 500 492
Nisource Finance Corp. 6.400% 3/15/18 5,350 5,597
Nisource Finance Corp. 6.800% 1/15/19 850 911
Northern States Power Co. 5.250% 3/1/18 5,350 5,607
NSTAR 4.500% 11/15/19 2,500 2,463
NSTAR Electric Co. 5.625% 11/15/17 975 1,038
Ohio Edison Co. 6.400% 7/15/16 1,200 1,296
Ohio Power Co. 6.000% 6/1/16 2,425 2,608
Oncor Electric Delivery Co. LLC 6.375% 1/15/15 4,055 4,435
Pacific Gas & Electric Co. 5.625% 11/30/17 4,850 5,164
Pacific Gas & Electric Co. 8.250% 10/15/18 1,325 1,619
PacifiCorp 5.650% 7/15/18 2,575 2,766
Peco Energy Co. 5.350% 3/1/18 2,475 2,619
Pennsylvania Electric Co. 6.050% 9/1/17 800 840
PPL Energy Supply LLC 6.200% 5/15/16 3,575 3,755
PPL Energy Supply LLC 6.500% 5/1/18 750 782
Progress Energy Inc. 5.625% 1/15/16 1,425 1,516
Progress Energy Inc. 7.050% 3/15/19 1,800 2,015
PSEG Power LLC 5.500% 12/1/15 3,125 3,300
Public Service Co. of Colorado 5.125% 6/1/19 2,300 2,383
Public Service Co. of Oklahoma 5.150% 12/1/19 650 651
San Diego Gas & Electric Co. 5.300% 11/15/15 300 329
Sierra Pacific Power Co. 6.000% 5/15/16 2,525 2,717
South Carolina Electric & Gas Co. 6.500% 11/1/18 2,400 2,702
Southern California Edison Co. 4.650% 4/1/15 2,875 3,051
Southern California Edison Co. 5.000% 1/15/16 675 711
Southern Power Co. 4.875% 7/15/15 1,125 1,178
Southwestern Electric Power Co. 5.550% 1/15/17 3,500 3,521
Southwestern Electric Power Co. 6.450% 1/15/19 2,075 2,192
Tampa Electric Co. 6.100% 5/15/18 2,150 2,289
TransAlta Corp. 6.750% 7/15/12 125 134
TransAlta Corp. 4.750% 1/15/15 200 202
TransAlta Corp. 6.650% 5/15/18 2,975 3,113
Union Electric Co. 5.400% 2/1/16 300 306
Union Electric Co. 6.700% 2/1/19 4,000 4,403
United Utilities PLC 5.375% 2/1/19 1,000 996
Virginia Electric and Power Co. 5.400% 1/15/16 4,450 4,646
Westar Energy Inc. 8.625% 12/1/18 2,000 2,406

93


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Wisconsin Electric Power Co. 4.250% 12/15/19 1,525 1,514
2 Wisconsin Energy Corp. 6.250% 5/15/67 5,275 4,651
Wisconsin Power & Light Co. 5.000% 7/15/19 2,275 2,281
Natural Gas (1.4%)        
AGL Capital Corp. 5.250% 8/15/19 2,300 2,328
Atmos Energy Corp. 8.500% 3/15/19 600 727
Boardwalk Pipelines LP 5.500% 2/1/17 3,725 3,717
Buckeye Partners LP 6.050% 1/15/18 4,550 4,685
CenterPoint Energy Resources Corp. 6.150% 5/1/16 1,350 1,396
CenterPoint Energy Resources Corp. 6.000% 5/15/18 5,000 5,066
El Paso Natural Gas Co. 5.950% 4/15/17 1,700 1,746
Enbridge Energy Partners LP 6.500% 4/15/18 3,075 3,290
Enbridge Energy Partners LP 9.875% 3/1/19 1,700 2,153
Enbridge Inc. 5.600% 4/1/17 3,550 3,713
Energy Transfer Partners LP 5.950% 2/1/15 5,250 5,583
Energy Transfer Partners LP 6.125% 2/15/17 4,850 5,030
Energy Transfer Partners LP 9.000% 4/15/19 3,200 3,840
Enterprise Products Operating LLC 6.300% 9/15/17 2,525 2,726
Enterprise Products Operating LLC 6.650% 4/15/18 550 600
Enterprise Products Operating LLC 6.500% 1/31/19 2,300 2,490
EQT Corp. 6.500% 4/1/18 3,800 3,975
EQT Corp. 8.125% 6/1/19 1,000 1,168
Kinder Morgan Energy Partners LP 5.625% 2/15/15 1,300 1,399
Kinder Morgan Energy Partners LP 6.000% 2/1/17 1,000 1,078
Kinder Morgan Energy Partners LP 5.950% 2/15/18 250 266
Magellan Midstream Partners LP 5.650% 10/15/16 650 663
Magellan Midstream Partners LP 6.550% 7/15/19 3,475 3,773
National Grid PLC 6.300% 8/1/16 6,200 6,753
NuStar Logistics LP 7.650% 4/15/18 2,900 3,152
Oneok Inc. 5.200% 6/15/15 3,100 3,217
ONEOK Partners LP 6.150% 10/1/16 5,125 5,343
ONEOK Partners LP 8.625% 3/1/19 5,000 6,056
Panhandle Eastern Pipeline Co. LP 6.200% 11/1/17 2,000 2,103
Panhandle Eastern Pipeline Co. LP 7.000% 6/15/18 2,525 2,771
Plains All American Pipeline LP / PAA Finance Corp. 6.125% 1/15/17 2,500 2,622
Plains All American Pipeline LP / PAA Finance Corp. 6.500% 5/1/18 2,675 2,863
Plains All American Pipeline LP / PAA Finance Corp. 8.750% 5/1/19 200 237
Sempra Energy 6.150% 6/15/18 2,800 2,992
Sempra Energy 9.800% 2/15/19 4,370 5,491
3 Southern Natural Gas Co. 5.900% 4/1/17 6,525 6,645
Spectra Energy Capital LLC 6.200% 4/15/18 1,700 1,813
Spectra Energy Capital LLC 8.000% 10/1/19 425 499
Texas Gas Transmission LLC 4.600% 6/1/15 500 509
2 TransCanada PipeLines Ltd. 6.350% 5/15/67 6,475 5,977
TransCanada PipeLines Ltd. 6.500% 8/15/18 5,000 5,617
TransCanada PipeLines Ltd. 7.125% 1/15/19 2,500 2,928
Transcontinental Gas Pipe Line Co. LLC 6.050% 6/15/18 2,500 2,655
Other Utility (0.0%)        
Veolia Environnement 6.000% 6/1/18 3,500 3,704
 
        422,911
 
Total Corporate Bonds (Cost $3,784,644)       4,008,192
 
Sovereign Bonds (U.S. Dollar-Denominated) (6.3%)        
Asian Development Bank 5.500% 6/27/16 6,900 7,636
Asian Development Bank 5.250% 6/12/17 2,300 2,513
Asian Development Bank 5.593% 7/16/18 1,975 2,136
Brazilian Government International Bond 7.875% 3/7/15 10,000 11,669
Brazilian Government International Bond 6.000% 1/17/17 23,575 25,225
2 Brazilian Government International Bond 8.000% 1/15/18 14,450 16,473
Brazilian Government International Bond 5.875% 1/15/19 2,450 2,603
China Development Bank Corp. 5.000% 10/15/15 3,450 3,721
Corp Andina de Fomento 8.125% 6/4/19 5,500 6,281

94


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Corp. Andina de Fomento 5.750% 1/12/17 5,025 5,017
Development Bank of Japan 4.250% 6/9/15 2,325 2,408
Development Bank of Japan 5.125% 2/1/17 3,700 3,969
Eksportfinans ASA 5.500% 5/25/16 3,125 3,362
Eksportfinans ASA 5.500% 6/26/17 4,600 4,878
European Investment Bank 4.875% 2/16/16 9,250 9,905
European Investment Bank 5.125% 9/13/16 11,550 12,642
European Investment Bank 4.875% 1/17/17 14,975 16,020
European Investment Bank 5.125% 5/30/17 21,650 23,446
Export-Import Bank of Korea 5.875% 1/14/15 3,300 3,548
Export-Import Bank of Korea 5.125% 3/16/15 6,000 6,148
Hungary Government International Bond 4.750% 2/3/15 5,350 5,258
Hydro Quebec 7.500% 4/1/16 2,500 2,958
Inter-American Development Bank 4.250% 9/14/15 9,420 9,863
Inter-American Development Bank 5.125% 9/13/16 6,700 7,312
Inter-American Development Bank 3.875% 9/17/19 4,400 4,359
International Bank for Reconstruction & Development 5.000% 4/1/16 9,375 10,115
Israel Government International Bond 5.500% 11/9/16 4,025 4,321
Israel Government International Bond 5.125% 3/26/19 9,200 9,347
Italian Republic 4.500% 1/21/15 5,650 6,003
Italian Republic 4.750% 1/25/16 13,275 13,787
Italian Republic 5.250% 9/20/16 25,700 27,377
Italian Republic 5.375% 6/12/17 425 456
Japan Finance Organization for Municipalities 4.625% 4/21/15 5,600 5,867
Japan Finance Organization for Municipalities 5.000% 5/16/17 3,800 3,994
Kreditanstalt fuer Wiederaufbau 5.125% 3/14/16 19,375 21,129
Kreditanstalt fuer Wiederaufbau 4.875% 1/17/17 3,000 3,162
^ Kreditanstalt fuer Wiederaufbau 4.375% 3/15/18 17,700 17,989
Kreditanstalt fuer Wiederaufbau 4.500% 7/16/18 18,175 18,645
Kreditanstalt fuer Wiederaufbau 4.875% 6/17/19 7,150 7,565
Landwirtschaftliche Rentenbank 4.875% 11/16/15 6,525 6,988
Landwirtschaftliche Rentenbank 5.125% 2/1/17 8,775 9,329
Mexico Government International Bond 6.625% 3/3/15 11,825 13,148
Mexico Government International Bond 11.375% 9/15/16 1,725 2,382
Mexico Government International Bond 5.625% 1/15/17 20,800 21,813
Nordic Investment Bank 5.000% 2/1/17 7,650 8,182
Oesterreichische Kontrollbank AG 4.500% 3/9/15 2,600 2,706
Oesterreichische Kontrollbank AG 4.875% 2/16/16 5,000 5,283
Oesterreichische Kontrollbank AG 5.000% 4/25/17 6,425 6,694
Pemex Project Funding Master Trust 5.750% 3/1/18 14,400 14,504
Peruvian Government International Bond 9.875% 2/6/15 8,075 10,195
Peruvian Government International Bond 8.375% 5/3/16 2,000 2,423
Peruvian Government International Bond 7.125% 3/30/19 3,400 3,910
Petrobras International Finance Co. 6.125% 10/6/16 8,475 9,097
Petrobras International Finance Co. 5.875% 3/1/18 6,325 6,402
Petrobras International Finance Co. 8.375% 12/10/18 1,500 1,776
Petrobras International Finance Co. 7.875% 3/15/19 11,950 13,793
3 Petroleos Mexicanos 4.875% 3/15/15 5,350 5,303
Petroleos Mexicanos 8.000% 5/3/19 7,875 9,095
Poland Government International Bond 5.000% 10/19/15 4,500 4,725
Poland Government International Bond 6.375% 7/15/19 17,050 18,542
Province of Manitoba Canada 4.900% 12/6/16 4,000 4,194
Province of Ontario Canada 4.750% 1/19/16 12,725 13,319
Province of Ontario Canada 5.450% 4/27/16 7,100 7,720
Province of Ontario Canada 4.000% 10/7/19 5,400 5,153
Province of Quebec Canada 4.600% 5/26/15 4,800 5,010
Province of Quebec Canada 5.125% 11/14/16 8,975 9,661
Province of Quebec Canada 4.625% 5/14/18 5,900 5,977
Republic of Korea 7.125% 4/16/19 6,550 7,527
South Africa Government International Bond 6.875% 5/27/19 9,150 10,271
Svensk Exportkredit AB 5.125% 3/1/17 6,250 6,609
United Mexican States 5.950% 3/19/19 11,500 12,161
Total Sovereign Bonds (Cost $582,711)       612,999

95


Vanguard® Intermediate-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
 
Taxable Municipal Bonds (0.2%)        
Board of Trustees of The Leland Stanford Junior        
  University 3.625% 5/1/14 2,500 2,573
Board of Trustees of The Leland Stanford Junior        
  University 4.250% 5/1/16 800 818
Board of Trustees of The Leland Stanford Junior        
  University 4.750% 5/1/19 800 810
California GO 5.950% 4/1/16 2,800 2,824
California GO 6.200% 10/1/19 3,925 3,821
Dartmouth College 4.750% 6/1/19 1,000 1,012
Howard Hughes Medical Institute 3.450% 9/1/14 2,750 2,787
Wisconsin GO 4.800% 5/1/13 1,350 1,455
 
Total Taxable Municipal Bonds (Cost $15,949)       16,100
 
 
      Shares  
 
Temporary Cash Investment (0.6%)        
Money Market Fund (0.6%)        
4,5 Vanguard Market Liquidity Fund (Cost $56,243) 0.187%   56,242,980 56,243
 
 
Total Investments (99.4%) (Cost $9,303,192)       9,597,047
Other Assets and Liabilities—Net (0.6%)5       59,189
Net Assets (100%)       9,656,236

^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $2,386,000.
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 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 $72,647,000, representing 0.8% 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 $2,472,000 of collateral received for securities on loan.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.

96


Vanguard® Long-Term Bond Index Fund
Schedule of Investments
December 31, 2009

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
 
U.S. Government and Agency Obligations (42.0%)        
U.S. Government Securities (37.9%)        
  United States Treasury Note/Bond 4.750% 2/15/10 210 211
  United States Treasury Note/Bond 2.625% 5/31/10 825 833
  United States Treasury Note/Bond 1.250% 11/30/10 1,050 1,058
  United States Treasury Note/Bond 1.125% 6/30/11 3,500 3,514
  United States Treasury Note/Bond 2.250% 5/31/14 110 109
  United States Treasury Note/Bond 2.375% 10/31/14 95 94
  United States Treasury Note/Bond 2.750% 2/15/19 1,375 1,266
  United States Treasury Note/Bond 3.625% 8/15/19 325 320
  United States Treasury Note/Bond 3.375% 11/15/19 23,236 22,361
  United States Treasury Note/Bond 8.500% 2/15/20 10 14
  United States Treasury Note/Bond 8.750% 8/15/20 7,205 10,195
  United States Treasury Note/Bond 8.125% 5/15/21 15 20
  United States Treasury Note/Bond 8.125% 8/15/21 15,885 21,795
  United States Treasury Note/Bond 8.000% 11/15/21 90,495 123,271
  United States Treasury Note/Bond 7.250% 8/15/22 395 512
  United States Treasury Note/Bond 7.625% 11/15/22 37,240 49,686
  United States Treasury Note/Bond 7.125% 2/15/23 60,935 78,187
  United States Treasury Note/Bond 6.250% 8/15/23 81,805 97,744
  United States Treasury Note/Bond 7.500% 11/15/24 25,350 33,906
  United States Treasury Note/Bond 7.625% 2/15/25 75 101
  United States Treasury Note/Bond 6.875% 8/15/25 825 1,047
  United States Treasury Note/Bond 6.000% 2/15/26 550 644
  United States Treasury Note/Bond 6.750% 8/15/26 665 839
  United States Treasury Note/Bond 6.500% 11/15/26 800 987
  United States Treasury Note/Bond 6.625% 2/15/27 31,355 39,169
  United States Treasury Note/Bond 6.375% 8/15/27 39,085 47,739
  United States Treasury Note/Bond 6.125% 11/15/27 10,450 12,452
  United States Treasury Note/Bond 5.500% 8/15/28 12,755 14,220
  United States Treasury Note/Bond 5.250% 11/15/28 960 1,041
  United States Treasury Note/Bond 5.250% 2/15/29 250 271
  United States Treasury Note/Bond 6.125% 8/15/29 37,805 45,407
  United States Treasury Note/Bond 6.250% 5/15/30 5,630 6,882
  United States Treasury Note/Bond 5.375% 2/15/31 47,370 52,374
  United States Treasury Note/Bond 4.500% 2/15/36 20 20
  United States Treasury Note/Bond 4.750% 2/15/37 5,475 5,599
  United States Treasury Note/Bond 5.000% 5/15/37 52,325 55,612
  United States Treasury Note/Bond 4.375% 2/15/38 55,848 53,657
  United States Treasury Note/Bond 4.500% 5/15/38 69,685 68,302
  United States Treasury Note/Bond 3.500% 2/15/39 65,783 53,942
  United States Treasury Note/Bond 4.250% 5/15/39 101,853 95,614
  United States Treasury Note/Bond 4.500% 8/15/39 87,821 85,914
  United States Treasury Note/Bond 4.375% 11/15/39 825 790
          1,087,719
Agency Bonds and Notes (4.1%)        
1 Federal Home Loan Banks 5.250% 12/11/20 1,500 1,602
1 Federal Home Loan Banks 5.625% 6/11/21 3,000 3,286
1 Federal Home Loan Banks 5.625% 3/14/36 1,000 1,021
1 Federal Home Loan Banks 5.500% 7/15/36 3,750 3,848
1 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 7,700 9,250
1 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 12,125 14,850
1 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 4,525 5,267
1 Federal National Mortgage Assn. 6.250% 5/15/29 8,300 9,560
1 Federal National Mortgage Assn. 7.125% 1/15/30 12,075 15,271
1 Federal National Mortgage Assn. 7.250% 5/15/30 6,635 8,503
1 Federal National Mortgage Assn. 6.625% 11/15/30 3,300 3,977
1 Federal National Mortgage Assn. 5.625% 7/15/37 7,325 7,717
1 Federal National Mortgage Assn. 6.210% 8/6/38 1,000 1,120
  Israel Government AID Bond 5.500% 9/18/23 1,375 1,466
  Israel Government AID Bond 5.500% 12/4/23 5,325 5,654
  Israel Government AID Bond 5.500% 4/26/24 2,900 3,080
  Private Export Funding Corp. 4.300% 12/15/21 1,075 1,007

97


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  Resolution Funding Corp. 8.625% 1/15/21 850 1,130
1 Tennessee Valley Authority 6.750% 11/1/25 4,500 5,163
1 Tennessee Valley Authority 7.125% 5/1/30 1,250 1,534
1 Tennessee Valley Authority 4.650% 6/15/35 2,825 2,500
1 Tennessee Valley Authority 5.880% 4/1/36 1,000 1,073
1 Tennessee Valley Authority 5.980% 4/1/36 1,000 1,087
1 Tennessee Valley Authority 6.150% 1/15/38 2,450 2,739
1 Tennessee Valley Authority 5.500% 6/15/38 1,175 1,169
1 Tennessee Valley Authority 5.250% 9/15/39 2,175 2,141
1 Tennessee Valley Authority 4.875% 1/15/48 2,500 2,239
1 Tennessee Valley Authority 5.375% 4/1/56 1,850 1,825
          119,079
 
Total U.S. Government and Agency Obligations (Cost $1,221,654)       1,206,798
 
Asset-Backed/Commercial Mortgage-Backed Security (0.1%)        
2 PSE&G Transition Funding LLC 6.890% 12/15/17 2,500 2,905
 
Corporate Bonds (46.7%)        
Finance (10.1%)        
  Banking (6.1%)        
2 Abbey National Capital Trust I 8.963% 12/29/49 500 492
  Abbey National PLC 7.950% 10/26/29 3,700 4,122
  American Express Co. 8.150% 3/19/38 1,950 2,415
  Bank of America Corp. 6.800% 3/15/28 375 366
  Bank of America Corp. 6.500% 9/15/37 1,600 1,555
  Bank of America NA 6.000% 10/15/36 3,375 3,263
  Bank One Corp. 7.750% 7/15/25 2,000 2,266
  Bank One Corp. 7.625% 10/15/26 4,350 4,943
  BB&T Capital Trust II 6.750% 6/7/36 3,325 3,099
2 BB&T Capital Trust IV 6.820% 6/12/57 650 586
  Capital One Capital III 7.686% 8/15/36 1,700 1,496
  Capital One Capital IV 6.745% 2/17/37 1,100 913
  Capital One Capital V 10.250% 8/15/39 2,000 2,331
  Capital One Capital VI 8.875% 5/15/40 2,000 2,130
2,3 Citicorp Lease Pass-Through Trust 1999-1 8.040% 12/15/19 450 439
  Citigroup Inc. 6.625% 6/15/32 2,750 2,551
  Citigroup Inc. 5.875% 2/22/33 1,825 1,532
  Citigroup Inc. 6.000% 10/31/33 2,625 2,220
  Citigroup Inc. 5.850% 12/11/34 2,300 1,981
  Citigroup Inc. 6.125% 8/25/36 4,225 3,604
  Citigroup Inc. 5.875% 5/29/37 2,100 1,871
  Citigroup Inc. 6.875% 3/5/38 6,350 6,342
  Citigroup Inc. 8.125% 7/15/39 5,275 6,022
2 Comerica Capital Trust II 6.576% 2/20/37 1,500 1,200
  Compass Bank 5.900% 4/1/26 1,075 890
3 Corestates Capital I 8.000% 12/15/26 2,300 2,277
  Credit Suisse USA Inc. 7.125% 7/15/32 2,100 2,469
  Fifth Third Bancorp 8.250% 3/1/38 2,825 2,654
  First Union Institutional Capital I 8.040% 12/1/26 500 499
  FleetBoston Financial Corp. 6.875% 1/15/28 400 395
  Goldman Sachs Capital I 6.345% 2/15/34 7,350 6,853
  Goldman Sachs Group Inc. 5.750% 10/1/16 75 79
  Goldman Sachs Group Inc. 5.950% 1/15/27 4,050 3,901
  Goldman Sachs Group Inc. 6.125% 2/15/33 5,150 5,272
  Goldman Sachs Group Inc. 6.450% 5/1/36 875 862
  Goldman Sachs Group Inc. 6.750% 10/1/37 11,025 11,255
  HSBC Bank USA NA 5.875% 11/1/34 4,100 3,959
  HSBC Bank USA NA 5.625% 8/15/35 5,300 4,857
  HSBC Holdings PLC 7.625% 5/17/32 1,050 1,138
  HSBC Holdings PLC 7.350% 11/27/32 200 218
  HSBC Holdings PLC 6.500% 5/2/36 2,925 3,063
  HSBC Holdings PLC 6.500% 9/15/37 4,075 4,260
  HSBC Holdings PLC 6.800% 6/1/38 2,850 3,083

98


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
JP Morgan Chase Capital XV 5.875% 3/15/35 2,350 2,080
JP Morgan Chase Capital XVII 5.850% 8/1/35 425 368
JP Morgan Chase Capital XX 6.550% 9/29/36 3,375 3,121
JP Morgan Chase Capital XXII 6.450% 2/2/37 3,075 2,824
JP Morgan Chase Capital XXV 6.800% 10/1/37 2,850 2,820
JPMorgan Chase & Co. 6.400% 5/15/38 4,750 5,232
JPMorgan Chase Capital XXVII 7.000% 11/1/39 1,550 1,574
KeyBank NA 6.950% 2/1/28 143 124
Merrill Lynch & Co. Inc. 6.220% 9/15/26 4,775 4,539
Merrill Lynch & Co. Inc. 6.110% 1/29/37 3,500 3,205
Merrill Lynch & Co. Inc. 7.750% 5/14/38 4,500 4,958
Morgan Stanley 6.250% 8/9/26 2,850 2,928
Morgan Stanley 7.250% 4/1/32 1,150 1,329
Regions Bank 6.450% 6/26/37 2,000 1,480
SunTrust Capital VIII 6.100% 12/15/36 2,004 1,391
UBS AG 7.000% 10/15/15 1,000 1,061
UBS AG 7.375% 6/15/17 550 577
USB Capital XIII Trust 6.625% 12/15/39 1,025 1,030
Wachovia Bank NA 5.850% 2/1/37 3,175 3,068
Wachovia Bank NA 6.600% 1/15/38 4,625 4,879
Wachovia Corp. 6.605% 10/1/25 725 695
Wachovia Corp. 7.500% 4/15/35 150 156
Wachovia Corp. 5.500% 8/1/35 4,000 3,579
Wachovia Corp. 6.550% 10/15/35 125 117
Wells Fargo & Co. 5.375% 2/7/35 2,450 2,278
Wells Fargo Bank NA 5.950% 8/26/36 1,475 1,421
Wells Fargo Capital X 5.950% 12/15/36 1,650 1,436
Brokerage (0.1%)        
Jefferies Group Inc. 6.450% 6/8/27 1,500 1,261
Jefferies Group Inc. 6.250% 1/15/36 1,400 1,110
Finance Companies (1.4%)        
General Electric Capital Corp. 6.750% 3/15/32 19,675 20,048
General Electric Capital Corp. 6.150% 8/7/37 5,600 5,312
General Electric Capital Corp. 5.875% 1/14/38 9,925 9,207
General Electric Capital Corp. 6.875% 1/10/39 5,525 5,694
SLM Corp. 5.625% 8/1/33 1,950 1,483
Insurance (2.5%)        
ACE Capital Trust II 9.700% 4/1/30 850 971
ACE INA Holdings Inc. 6.700% 5/15/36 1,500 1,684
AEGON Funding Co. LLC 5.750% 12/15/20 1,000 929
Aetna Inc. 6.625% 6/15/36 1,850 1,861
Aetna Inc. 6.750% 12/15/37 1,200 1,258
Aflac Inc. 6.900% 12/17/39 575 566
Allstate Corp. 6.125% 12/15/32 1,250 1,241
Allstate Corp. 5.350% 6/1/33 1,950 1,832
Allstate Corp. 5.550% 5/9/35 1,700 1,606
2 Allstate Corp. 6.500% 5/15/57 1,500 1,255
American International Group Inc. 6.250% 5/1/36 2,150 1,578
AON Corp. 8.205% 1/1/27 1,175 1,177
Arch Capital Group Ltd. 7.350% 5/1/34 625 605
Assurant Inc. 6.750% 2/15/34 1,200 1,073
AXA SA 8.600% 12/15/30 3,700 4,201
Chubb Corp. 6.000% 5/11/37 1,675 1,733
Chubb Corp. 6.500% 5/15/38 1,375 1,503
CIGNA Corp. 7.875% 5/15/27 500 500
CIGNA Corp. 6.150% 11/15/36 525 458
Cincinnati Financial Corp. 6.920% 5/15/28 1,000 936
Cincinnati Financial Corp. 6.125% 11/1/34 850 753
Endurance Specialty Holdings Ltd. 7.000% 7/15/34 700 615
Genworth Financial Inc. 6.500% 6/15/34 825 670
Hartford Financial Services Group Inc. 5.950% 10/15/36 450 371
Hartford Financial Services Group Inc. 6.100% 10/1/41 1,400 1,105
Humana Inc. 8.150% 6/15/38 250 238

99


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Lincoln National Corp. 6.150% 4/7/36 1,475 1,297
Loews Corp. 6.000% 2/1/35 800 753
MetLife Inc. 6.500% 12/15/32 3,000 3,176
MetLife Inc. 6.375% 6/15/34 1,150 1,232
MetLife Inc. 5.700% 6/15/35 975 965
MetLife Inc. 6.400% 12/15/36 3,750 3,282
Nationwide Financial Services 6.750% 5/15/37 1,000 777
Principal Financial Group Inc. 6.050% 10/15/36 1,700 1,501
Progressive Corp. 6.625% 3/1/29 1,625 1,659
Protective Life Corp. 8.450% 10/15/39 600 579
Prudential Financial Inc. 5.750% 7/15/33 1,000 902
Prudential Financial Inc. 5.400% 6/13/35 1,000 856
Prudential Financial Inc. 5.900% 3/17/36 1,500 1,392
Prudential Financial Inc. 5.700% 12/14/36 2,975 2,683
Swiss Re Solutions Holding Corp. 7.000% 2/15/26 1,850 1,826
Swiss Re Solutions Holding Corp. 7.750% 6/15/30 400 406
Transatlantic Holdings Inc. 8.000% 11/30/39 800 802
Travelers Cos. Inc. 6.750% 6/20/36 1,000 1,110
Travelers Cos. Inc. 6.250% 6/15/37 1,825 1,918
Travelers Property Casualty Corp. 6.375% 3/15/33 1,500 1,584
UnitedHealth Group Inc. 5.800% 3/15/36 1,300 1,161
UnitedHealth Group Inc. 6.500% 6/15/37 1,200 1,175
UnitedHealth Group Inc. 6.625% 11/15/37 1,075 1,091
UnitedHealth Group Inc. 6.875% 2/15/38 3,900 4,044
WellPoint Inc. 5.950% 12/15/34 1,300 1,231
WellPoint Inc. 5.850% 1/15/36 2,475 2,314
WellPoint Inc. 6.375% 6/15/37 800 810
XL Capital Ltd. 6.375% 11/15/24 1,150 1,041
XL Capital Ltd. 6.250% 5/15/27 700 632
        291,026
Industrial (28.6%)        
Basic Industry (1.9%)        
Alcoa Inc. 5.870% 2/23/22 1,250 1,161
Alcoa Inc. 5.900% 2/1/27 3,525 3,147
Alcoa Inc. 6.750% 1/15/28 850 817
ArcelorMittal 7.000% 10/15/39 2,000 2,110
Barrick Australian Finance Pty Ltd. 5.950% 10/15/39 1,525 1,488
Barrick North America Finance LLC 7.500% 9/15/38 1,225 1,412
BHP Billiton Finance USA Ltd. 6.420% 3/1/26 500 542
Dow Chemical Co. 7.375% 11/1/29 2,925 3,178
Dow Chemical Co. 9.400% 5/15/39 850 1,133
Eastman Chemical Co. 7.250% 1/15/24 1,300 1,409
Eastman Chemical Co. 7.600% 2/1/27 300 329
EI du Pont de Nemours & Co. 4.625% 1/15/20 1,850 1,813
EI du Pont de Nemours & Co. 6.500% 1/15/28 1,175 1,277
International Paper Co. 7.500% 8/15/21 2,700 3,014
International Paper Co. 7.300% 11/15/39 2,250 2,382
Lubrizol Corp. 6.500% 10/1/34 900 924
Monsanto Co. 5.500% 8/15/25 1,350 1,345
Monsanto Co. 5.875% 4/15/38 650 677
Newmont Mining Corp. 5.875% 4/1/35 1,250 1,193
Newmont Mining Corp. 6.250% 10/1/39 2,325 2,329
Nucor Corp. 6.400% 12/1/37 1,150 1,242
Placer Dome Inc. 6.450% 10/15/35 700 701
Potash Corp. of Saskatchewan Inc. 4.875% 3/30/20 1,350 1,322
Potash Corp. of Saskatchewan Inc. 5.875% 12/1/36 900 887
Reliance Steel & Aluminum Co. 6.850% 11/15/36 350 300
Rio Tinto Alcan Inc. 5.750% 6/1/35 1,250 1,196
Rio Tinto Finance USA Ltd. 7.125% 7/15/28 3,650 4,090
2 Rohm & Haas Holdings Ltd. 9.800% 4/15/20 289 322
Southern Copper Corp. 7.500% 7/27/35 2,500 2,414
Vale Inco Ltd. 7.200% 9/15/32 1,050 1,052
Vale Overseas Ltd. 8.250% 1/17/34 1,225 1,411

100


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Vale Overseas Ltd. 6.875% 11/21/36 5,625 5,672
Vale Overseas Ltd. 6.875% 11/10/39 1,925 1,932
Capital Goods (2.0%)        
3M Co. 6.375% 2/15/28 500 554
3M Co. 5.700% 3/15/37 1,550 1,626
Boeing Co. 4.875% 2/15/20 2,350 2,359
Boeing Co. 8.750% 8/15/21 300 388
Boeing Co. 8.750% 9/15/31 850 1,129
Boeing Co. 6.125% 2/15/33 925 960
Boeing Co. 6.625% 2/15/38 1,050 1,165
Boeing Co. 6.875% 3/15/39 250 292
Boeing Co. 5.875% 2/15/40 925 958
Caterpillar Inc. 6.625% 7/15/28 1,575 1,753
Caterpillar Inc. 7.300% 5/1/31 1,200 1,426
Caterpillar Inc. 6.050% 8/15/36 1,700 1,804
Caterpillar Inc. 6.950% 5/1/42 1,425 1,561
Deere & Co. 5.375% 10/16/29 1,225 1,223
Deere & Co. 8.100% 5/15/30 1,000 1,275
Deere & Co. 7.125% 3/3/31 200 237
Dover Corp. 5.375% 10/15/35 350 342
Dover Corp. 6.600% 3/15/38 800 908
Embraer Overseas Ltd. 6.375% 1/15/20 1,100 1,096
Emerson Electric Co. 4.250% 11/15/20 575 558
Emerson Electric Co. 6.000% 8/15/32 400 421
Emerson Electric Co. 6.125% 4/15/39 825 887
Emerson Electric Co. 5.250% 11/15/39 575 555
Goodrich Corp. 6.800% 7/1/36 1,000 1,084
Honeywell International Inc. 5.700% 3/15/36 775 798
Honeywell International Inc. 5.700% 3/15/37 1,425 1,458
Lafarge SA 7.125% 7/15/36 2,225 2,346
Lockheed Martin Corp. 7.750% 5/1/26 150 180
Lockheed Martin Corp. 6.150% 9/1/36 4,575 4,865
Lockheed Martin Corp. 5.500% 11/15/39 1,200 1,185
Northrop Grumman Systems Corp. 7.750% 2/15/31 2,315 2,849
Pactiv Corp. 7.950% 12/15/25 1,000 1,077
Parker Hannifin Corp. 6.250% 5/15/38 725 780
Raytheon Co. 4.400% 2/15/20 1,350 1,335
Raytheon Co. 7.200% 8/15/27 400 474
3 Republic Services Inc. 5.250% 11/15/21 2,525 2,473
Republic Services Inc. 6.086% 3/15/35 225 214
Rockwell Automation Inc. 6.700% 1/15/28 300 318
Rockwell Automation Inc. 6.250% 12/1/37 1,100 1,139
United Technologies Corp. 6.700% 8/1/28 250 281
United Technologies Corp. 7.500% 9/15/29 1,875 2,282
United Technologies Corp. 5.400% 5/1/35 3,350 3,334
United Technologies Corp. 6.050% 6/1/36 975 1,039
United Technologies Corp. 6.125% 7/15/38 250 269
Waste Management Inc. 7.100% 8/1/26 800 866
Waste Management Inc. 7.000% 7/15/28 2,000 2,178
Waste Management Inc. 7.750% 5/15/32 875 1,028
Waste Management Inc. 6.125% 11/30/39 500 503
Communication (7.8%)        
Alltel Corp. 7.875% 7/1/32 3,025 3,641
America Movil SAB de CV 6.375% 3/1/35 1,800 1,871
America Movil SAB de CV 6.125% 11/15/37 1,200 1,201
Ameritech Capital Funding Corp. 6.550% 1/15/28 1,000 971
AT&T Corp. 8.000% 11/15/31 4,350 5,319
AT&T Inc. 6.450% 6/15/34 7,750 7,957
AT&T Inc. 6.500% 9/1/37 3,350 3,471
AT&T Inc. 6.300% 1/15/38 6,050 6,158
AT&T Inc. 6.400% 5/15/38 825 854
AT&T Inc. 6.550% 2/15/39 6,600 6,969
AT&T Mobility LLC 7.125% 12/15/31 2,425 2,728

101


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Bellsouth Capital Funding Corp. 7.875% 2/15/30 4,250 4,830
BellSouth Corp. 6.875% 10/15/31 1,275 1,325
BellSouth Corp. 6.550% 6/15/34 1,475 1,478
BellSouth Corp. 6.000% 11/15/34 1,480 1,427
BellSouth Telecommunications Inc. 6.375% 6/1/28 4,140 4,113
British Telecommunications PLC 9.625% 12/15/30 5,350 6,856
CBS Corp. 7.875% 7/30/30 2,815 3,038
CBS Corp. 5.500% 5/15/33 225 188
CenturyTel Inc. 6.875% 1/15/28 550 512
CenturyTel Inc. 7.600% 9/15/39 950 980
Comcast Cable Communications Holdings Inc. 9.455% 11/15/22 3,198 4,165
Comcast Corp. 5.650% 6/15/35 1,000 944
Comcast Corp. 6.500% 11/15/35 7,025 7,262
Comcast Corp. 6.450% 3/15/37 4,375 4,497
Comcast Corp. 6.950% 8/15/37 1,875 2,050
Comcast Corp. 6.400% 5/15/38 2,600 2,667
Deutsche Telekom International Finance BV 8.750% 6/15/30 8,825 11,442
Embarq Corp. 7.995% 6/1/36 3,000 3,266
France Telecom SA 8.500% 3/1/31 5,550 7,374
Grupo Televisa SA 6.625% 3/18/25 1,600 1,581
Grupo Televisa SA 8.500% 3/11/32 250 293
3 Grupo Televisa SA 6.625% 1/15/40 1,250 1,226
GTE Corp. 8.750% 11/1/21 900 1,117
GTE Corp. 6.940% 4/15/28 2,275 2,360
Koninklijke KPN NV 8.375% 10/1/30 1,825 2,301
McGraw-Hill Cos. Inc. 6.550% 11/15/37 1,150 1,123
New Cingular Wireless Services Inc. 8.750% 3/1/31 4,875 6,304
News America Holdings Inc. 8.150% 10/17/36 1,225 1,372
News America Holdings Inc. 7.750% 12/1/45 1,225 1,383
News America Inc. 6.550% 3/15/33 225 234
News America Inc. 6.200% 12/15/34 6,850 6,819
News America Inc. 6.400% 12/15/35 5,750 5,908
3 News America Inc. 6.900% 8/15/39 975 1,062
Pacific Bell Telephone Co. 7.125% 3/15/26 550 605
Qwest Corp. 7.500% 6/15/23 2,300 2,162
Qwest Corp. 6.875% 9/15/33 3,050 2,638
Rogers Communications Inc. 7.500% 8/15/38 675 792
TCI Communications Inc. 7.875% 2/15/26 2,200 2,491
Telecom Italia Capital SA 6.375% 11/15/33 4,025 3,971
Telecom Italia Capital SA 6.000% 9/30/34 800 752
Telecom Italia Capital SA 7.200% 7/18/36 1,625 1,749
Telecom Italia Capital SA 7.721% 6/4/38 2,700 3,111
Telefonica Emisiones SAU 7.045% 6/20/36 4,475 5,101
Telefonica Europe BV 8.250% 9/15/30 2,500 3,132
Thomson Reuters Corp. 5.500% 8/15/35 900 860
Time Warner Cable Inc. 5.000% 2/1/20 3,000 2,917
Time Warner Cable Inc. 6.550% 5/1/37 3,800 3,880
Time Warner Cable Inc. 7.300% 7/1/38 2,500 2,763
Time Warner Cable Inc. 6.750% 6/15/39 3,675 3,852
Time Warner Entertainment Co. LP 8.375% 3/15/23 2,733 3,267
Time Warner Entertainment Co. LP 8.375% 7/15/33 1,950 2,325
United States Cellular Corp. 6.700% 12/15/33 950 929
Verizon Communications Inc. 5.850% 9/15/35 2,775 2,697
Verizon Communications Inc. 6.250% 4/1/37 2,425 2,478
Verizon Communications Inc. 6.400% 2/15/38 5,250 5,544
Verizon Communications Inc. 6.900% 4/15/38 1,625 1,802
Verizon Communications Inc. 8.950% 3/1/39 2,025 2,759
Verizon Communications Inc. 7.350% 4/1/39 1,850 2,153
Verizon Global Funding Corp. 7.750% 12/1/30 6,825 8,068
Verizon Maryland Inc. 5.125% 6/15/33 500 390
Verizon New England Inc. 7.875% 11/15/29 400 436
Verizon New York Inc. 7.375% 4/1/32 650 686
Vodafone Group PLC 7.875% 2/15/30 1,000 1,199
Vodafone Group PLC 6.250% 11/30/32 200 201

102


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Vodafone Group PLC 6.150% 2/27/37 4,975 5,152
Consumer Cyclical (3.2%)        
CVS Caremark Corp. 6.250% 6/1/27 3,500 3,561
CVS Caremark Corp. 6.125% 9/15/39 2,925 2,881
Daimler Finance North America LLC 8.500% 1/18/31 3,450 4,196
Darden Restaurants Inc. 6.800% 10/15/37 850 879
Historic TW Inc. 9.150% 2/1/23 1,230 1,503
Historic TW Inc. 6.625% 5/15/29 6,975 7,318
Home Depot Inc. 5.875% 12/16/36 6,100 5,892
Johnson Controls Inc. 6.000% 1/15/36 475 408
Kohl's Corp. 6.000% 1/15/33 400 406
Kohl's Corp. 6.875% 12/15/37 1,000 1,135
Lowe's Cos. Inc. 6.875% 2/15/28 550 617
Lowe's Cos. Inc. 6.500% 3/15/29 1,800 1,981
Lowe's Cos. Inc. 5.800% 10/15/36 2,250 2,301
McDonald's Corp. 6.300% 10/15/37 1,750 1,917
McDonald's Corp. 6.300% 3/1/38 875 964
McDonald's Corp. 5.700% 2/1/39 1,625 1,668
Nordstrom Inc. 6.950% 3/15/28 300 325
Nordstrom Inc. 7.000% 1/15/38 1,200 1,329
Target Corp. 7.000% 7/15/31 1,800 2,055
Target Corp. 6.350% 11/1/32 3,000 3,213
Target Corp. 6.500% 10/15/37 3,525 3,897
Target Corp. 7.000% 1/15/38 1,450 1,691
Time Warner Cos. Inc. 7.570% 2/1/24 500 545
Time Warner Cos. Inc. 6.950% 1/15/28 1,000 1,071
Time Warner Inc. 7.625% 4/15/31 5,185 6,061
Time Warner Inc. 7.700% 5/1/32 1,865 2,179
VF Corp. 6.450% 11/1/37 1,500 1,573
Viacom Inc. 6.875% 4/30/36 3,850 4,088
Wal-Mart Stores Inc. 5.875% 4/5/27 4,025 4,339
Wal-Mart Stores Inc. 7.550% 2/15/30 4,425 5,529
Wal-Mart Stores Inc. 5.250% 9/1/35 4,900 4,875
Wal-Mart Stores Inc. 6.500% 8/15/37 3,775 4,340
Wal-Mart Stores Inc. 6.200% 4/15/38 3,375 3,745
Walt Disney Co. 7.000% 3/1/32 1,150 1,337
Western Union Co. 6.200% 11/17/36 1,350 1,360
Yum! Brands Inc. 6.875% 11/15/37 1,400 1,517
Consumer Noncyclical (6.2%)        
Abbott Laboratories 6.150% 11/30/37 2,225 2,401
Abbott Laboratories 6.000% 4/1/39 2,050 2,184
Altria Group Inc. 9.950% 11/10/38 2,425 3,199
Altria Group Inc. 10.200% 2/6/39 3,450 4,615
Amgen Inc. 6.375% 6/1/37 2,125 2,324
Amgen Inc. 6.400% 2/1/39 3,375 3,711
Anheuser-Busch Cos. Inc. 6.800% 8/20/32 1,875 2,010
Anheuser-Busch Cos. Inc. 5.950% 1/15/33 650 634
Anheuser-Busch Cos. Inc. 5.750% 4/1/36 1,575 1,506
Anheuser-Busch Cos. Inc. 6.450% 9/1/37 650 681
3 Anheuser-Busch InBev Worldwide Inc. 5.375% 1/15/20 5,725 5,820
3 Anheuser-Busch InBev Worldwide Inc. 6.375% 1/15/40 975 1,017
Archer-Daniels-Midland Co. 6.625% 5/1/29 250 274
Archer-Daniels-Midland Co. 7.000% 2/1/31 2,975 3,432
Archer-Daniels-Midland Co. 5.935% 10/1/32 255 259
Archer-Daniels-Midland Co. 5.375% 9/15/35 2,750 2,661
Archer-Daniels-Midland Co. 6.450% 1/15/38 675 751
AstraZeneca PLC 6.450% 9/15/37 6,750 7,567
Baxter International Inc. 6.250% 12/1/37 800 869
Becton Dickinson and Co. 6.000% 5/15/39 1,000 1,067
Bristol-Myers Squibb Co. 7.150% 6/15/23 1,300 1,559
Bristol-Myers Squibb Co. 6.800% 11/15/26 889 1,015
Bristol-Myers Squibb Co. 5.875% 11/15/36 2,900 3,041
Bristol-Myers Squibb Co. 6.125% 5/1/38 1,100 1,199

103


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Bristol-Myers Squibb Co. 6.875% 8/1/97 200 218
Coca-Cola Enterprises Inc. 8.500% 2/1/22 1,075 1,376
Coca-Cola Enterprises Inc. 7.000% 10/1/26 1,175 1,367
Coca-Cola Enterprises Inc. 6.950% 11/15/26 3,475 3,943
Coca-Cola Enterprises Inc. 6.750% 9/15/28 1,675 1,899
ConAgra Foods Inc. 9.750% 3/1/21 129 165
ConAgra Foods Inc. 7.125% 10/1/26 1,150 1,246
ConAgra Foods Inc. 7.000% 10/1/28 175 186
ConAgra Foods Inc. 8.250% 9/15/30 1,150 1,376
Covidien International Finance SA 6.550% 10/15/37 2,325 2,600
CR Bard Inc. 6.700% 12/1/26 500 532
Delhaize America Inc. 9.000% 4/15/31 2,000 2,562
Diageo Capital PLC 5.875% 9/30/36 500 520
Diageo Investment Corp. 7.450% 4/15/35 1,750 2,095
Dr Pepper Snapple Group Inc. 7.450% 5/1/38 600 707
Eli Lilly & Co. 7.125% 6/1/25 1,000 1,171
Eli Lilly & Co. 5.500% 3/15/27 4,300 4,345
Eli Lilly & Co. 5.950% 11/15/37 450 478
Estee Lauder Cos. Inc. 6.000% 5/15/37 1,025 993
Fortune Brands Inc. 5.875% 1/15/36 925 793
Genentech Inc. 5.250% 7/15/35 200 191
GlaxoSmithKline Capital Inc. 5.375% 4/15/34 1,850 1,775
GlaxoSmithKline Capital Inc. 6.375% 5/15/38 5,200 5,781
HJ Heinz Finance Co. 6.750% 3/15/32 1,625 1,703
Johnson & Johnson 6.950% 9/1/29 2,125 2,560
Johnson & Johnson 4.950% 5/15/33 2,125 2,072
Johnson & Johnson 5.950% 8/15/37 975 1,079
Johnson & Johnson 5.850% 7/15/38 825 893
Kellogg Co. 7.450% 4/1/31 2,850 3,469
Kimberly-Clark Corp. 6.625% 8/1/37 1,975 2,265
Koninklijke Philips Electronics NV 6.875% 3/11/38 2,550 2,895
Kraft Foods Inc. 6.500% 11/1/31 1,650 1,662
Kraft Foods Inc. 7.000% 8/11/37 3,050 3,250
Kraft Foods Inc. 6.875% 2/1/38 1,375 1,442
Kraft Foods Inc. 6.875% 1/26/39 400 420
Kroger Co. 6.150% 1/15/20 2,075 2,221
Kroger Co. 7.700% 6/1/29 375 439
Kroger Co. 8.000% 9/15/29 1,925 2,307
Kroger Co. 7.500% 4/1/31 1,350 1,567
3 Mead Johnson Nutrition Co. 5.900% 11/1/39 675 658
Medtronic Inc. 6.500% 3/15/39 600 674
Merck & Co. Inc. 6.300% 1/1/26 500 551
Merck & Co. Inc. 6.400% 3/1/28 2,200 2,408
Merck & Co. Inc. 5.950% 12/1/28 1,050 1,118
Merck & Co. Inc. 6.500% 12/1/33 775 877
Merck & Co. Inc. 5.750% 11/15/36 300 312
Merck & Co. Inc. 6.550% 9/15/37 3,350 3,844
Merck & Co. Inc. 5.850% 6/30/39 1,850 1,973
Pepsi Bottling Group Inc. 7.000% 3/1/29 2,925 3,404
Pfizer Inc. 7.200% 3/15/39 6,275 7,725
Pharmacia Corp. 6.600% 12/1/28 1,050 1,167
Philip Morris International Inc. 6.375% 5/16/38 3,200 3,461
2 Procter & Gamble - Esop 9.360% 1/1/21 2,083 2,603
Procter & Gamble Co. 6.450% 1/15/26 1,100 1,242
Procter & Gamble Co. 5.800% 8/15/34 100 106
Procter & Gamble Co. 5.550% 3/5/37 4,650 4,785
Quest Diagnostics Inc. 6.950% 7/1/37 925 1,031
Reynolds American Inc. 7.250% 6/15/37 600 605
Safeway Inc. 7.250% 2/1/31 1,331 1,522
Sara Lee Corp. 6.125% 11/1/32 625 598
Sysco Corp. 5.375% 9/21/35 1,000 994
Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 2,700 2,758
Unilever Capital Corp. 5.900% 11/15/32 2,825 2,995
Wyeth 6.450% 2/1/24 2,225 2,487

104


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Wyeth 6.000% 2/15/36 2,275 2,362
Wyeth 5.950% 4/1/37 4,500 4,715
Zimmer Holdings Inc. 5.750% 11/30/39 1,100 1,087
Energy (4.7%)        
Alberta Energy Co. Ltd. 7.375% 11/1/31 1,000 1,114
Anadarko Finance Co. 7.500% 5/1/31 1,500 1,684
Anadarko Petroleum Corp. 6.450% 9/15/36 5,300 5,517
Anadarko Petroleum Corp. 7.950% 6/15/39 50 62
Apache Corp. 6.000% 1/15/37 2,175 2,300
Apache Finance Canada Corp. 7.750% 12/15/29 650 790
Baker Hughes Inc. 6.875% 1/15/29 1,000 1,112
Burlington Resources Finance Co. 7.200% 8/15/31 1,050 1,181
Burlington Resources Finance Co. 7.400% 12/1/31 1,675 1,917
Cameron International Corp. 7.000% 7/15/38 625 662
Canadian Natural Resources Ltd. 7.200% 1/15/32 1,400 1,579
Canadian Natural Resources Ltd. 6.450% 6/30/33 1,175 1,221
Canadian Natural Resources Ltd. 6.500% 2/15/37 1,975 2,083
Canadian Natural Resources Ltd. 6.250% 3/15/38 1,750 1,808
Canadian Natural Resources Ltd. 6.750% 2/1/39 800 884
3 Cenovus Energy Inc. 6.750% 11/15/39 3,050 3,213
Conoco Funding Co. 7.250% 10/15/31 400 466
ConocoPhillips 6.000% 1/15/20 150 166
ConocoPhillips 5.900% 10/15/32 1,050 1,072
ConocoPhillips 6.500% 2/1/39 4,950 5,505
ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 950 945
ConocoPhillips Holding Co. 6.950% 4/15/29 1,775 2,013
Devon Energy Corp. 7.950% 4/15/32 310 391
Devon Financing Corp. ULC 7.875% 9/30/31 3,950 4,912
Diamond Offshore Drilling Inc. 5.700% 10/15/39 1,075 1,054
EnCana Corp. 6.500% 8/15/34 4,825 5,175
EnCana Corp. 6.625% 8/15/37 1,400 1,530
Global Marine Inc. 7.000% 6/1/28 800 839
Halliburton Co. 6.700% 9/15/38 2,700 3,023
Halliburton Co. 7.450% 9/15/39 1,050 1,296
Hess Corp. 7.875% 10/1/29 2,625 3,126
Hess Corp. 7.125% 3/15/33 925 1,031
Hess Corp. 6.000% 1/15/40 2,100 2,090
Husky Energy Inc. 6.800% 9/15/37 1,225 1,282
Kerr-McGee Corp. 6.950% 7/1/24 2,000 2,175
Kerr-McGee Corp. 7.875% 9/15/31 500 571
Lasmo USA Inc. 7.300% 11/15/27 600 708
Marathon Oil Corp. 6.600% 10/1/37 2,200 2,335
Nexen Inc. 7.875% 3/15/32 550 636
Nexen Inc. 5.875% 3/10/35 1,850 1,743
Nexen Inc. 6.400% 5/15/37 3,300 3,285
Nexen Inc. 7.500% 7/30/39 1,525 1,714
Noble Energy Inc. 8.000% 4/1/27 775 865
Petro-Canada 7.875% 6/15/26 150 173
Petro-Canada 7.000% 11/15/28 250 268
Petro-Canada 5.350% 7/15/33 1,650 1,490
Petro-Canada 5.950% 5/15/35 2,500 2,379
Petro-Canada 6.800% 5/15/38 2,275 2,510
Questar Market Resources Inc. 6.800% 3/1/20 625 654
Shell International Finance BV 6.375% 12/15/38 6,100 6,788
Statoil ASA 7.250% 9/23/27 2,500 2,948
Statoil ASA 7.150% 1/15/29 1,000 1,175
Suncor Energy Inc. 7.150% 2/1/32 800 855
Suncor Energy Inc. 5.950% 12/1/34 875 865
Suncor Energy Inc. 6.500% 6/15/38 4,825 5,074
Talisman Energy Inc. 7.250% 10/15/27 450 490
Talisman Energy Inc. 5.850% 2/1/37 2,700 2,565
Tosco Corp. 8.125% 2/15/30 7,500 9,111
Transocean Inc. 7.500% 4/15/31 1,525 1,770

105


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Transocean Inc. 6.800% 3/15/38 1,725 1,915
Valero Energy Corp. 7.500% 4/15/32 950 972
Valero Energy Corp. 6.625% 6/15/37 4,975 4,643
Weatherford International Inc. 6.800% 6/15/37 700 701
Weatherford International Ltd. 6.500% 8/1/36 1,500 1,430
Weatherford International Ltd. 7.000% 3/15/38 1,600 1,623
XTO Energy Inc. 6.100% 4/1/36 1,125 1,221
XTO Energy Inc. 6.750% 8/1/37 3,025 3,556
XTO Energy Inc. 6.375% 6/15/38 2,125 2,396
Technology (1.4%)        
Cisco Systems Inc. 4.450% 1/15/20 2,000 1,966
Cisco Systems Inc. 5.900% 2/15/39 4,500 4,540
Cisco Systems Inc. 5.500% 1/15/40 6,350 6,093
Corning Inc. 7.250% 8/15/36 600 612
Dell Inc. 7.100% 4/15/28 500 537
Dell Inc. 6.500% 4/15/38 400 409
Electronic Data Systems LLC 7.450% 10/15/29 375 441
Equifax Inc. 7.000% 7/1/37 600 594
International Business Machines Corp. 7.000% 10/30/25 1,050 1,212
International Business Machines Corp. 6.220% 8/1/27 1,600 1,700
International Business Machines Corp. 6.500% 1/15/28 225 248
International Business Machines Corp. 5.875% 11/29/32 950 983
International Business Machines Corp. 5.600% 11/30/39 3,420 3,452
Microsoft Corp. 5.200% 6/1/39 2,075 2,033
Motorola Inc. 7.500% 5/15/25 225 216
Motorola Inc. 6.500% 9/1/25 1,300 1,129
Motorola Inc. 6.500% 11/15/28 975 843
Motorola Inc. 6.625% 11/15/37 825 712
Nokia Oyj 6.625% 5/15/39 1,575 1,713
Oracle Corp. 6.500% 4/15/38 2,475 2,716
Oracle Corp. 6.125% 7/8/39 2,950 3,108
Pitney Bowes Inc. 5.250% 1/15/37 450 464
Science Applications International Corp. 5.500% 7/1/33 500 447
Tyco Electronics Group SA 7.125% 10/1/37 250 256
Xerox Capital Trust I 8.000% 2/1/27 1,050 1,037
Xerox Corp. 6.750% 12/15/39 950 958
Transportation (1.4%)        
Burlington Northern Santa Fe Corp. 7.000% 12/15/25 700 769
Burlington Northern Santa Fe Corp. 7.950% 8/15/30 1,300 1,591
Burlington Northern Santa Fe Corp. 6.200% 8/15/36 775 818
Burlington Northern Santa Fe Corp. 6.150% 5/1/37 1,325 1,385
Canadian National Railway Co. 6.250% 8/1/34 2,450 2,649
Canadian National Railway Co. 6.200% 6/1/36 1,325 1,437
Canadian Pacific Railway Co. 7.125% 10/15/31 2,075 2,188
Con-way Inc. 6.700% 5/1/34 650 509
2 Continental Airlines Inc. 5.983% 4/19/22 2,850 2,743
CSX Corp. 7.950% 5/1/27 675 793
CSX Corp. 6.000% 10/1/36 175 171
CSX Corp. 6.150% 5/1/37 2,025 2,056
CSX Corp. 7.450% 4/1/38 1,600 1,880
2 Delta Air Lines Inc. 6.821% 8/10/22 1,926 1,849
Federal Express Corp. 7.600% 7/1/97 1,000 946
Norfolk Southern Corp. 5.590% 5/17/25 716 698
Norfolk Southern Corp. 7.800% 5/15/27 2,802 3,380
Norfolk Southern Corp. 5.640% 5/17/29 1,898 1,855
Norfolk Southern Corp. 7.050% 5/1/37 1,200 1,416
Norfolk Southern Corp. 7.900% 5/15/97 450 524
Norfolk Southern Railway Co. 9.750% 6/15/20 411 547
2 Southwest Airlines Co. 2007-1 Pass Through Trust 3 6.150% 8/1/22 795 795
Union Pacific Corp. 7.125% 2/1/28 600 664
Union Pacific Corp. 6.625% 2/1/29 1,500 1,617
Union Pacific Corp. 6.150% 5/1/37 1,000 1,029
2 Union Pacific Railroad Co. 2007-3 Pass Through Trust 6.176% 1/2/31 934 982

106


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
United Parcel Service Inc. 6.200% 1/15/38 3,600 3,994
United Parcel Service of America Inc. 8.375% 4/1/20 500 630
United Parcel Service of America Inc. 8.375% 4/1/30 500 634
        820,284
Utilities (8.0%)        
Electric (5.9%)        
AEP Texas Central Co. 6.650% 2/15/33 1,950 2,000
Alabama Power Co. 6.125% 5/15/38 1,000 1,069
Alabama Power Co. 6.000% 3/1/39 825 880
Ameren Energy Generating Co. 7.950% 6/1/32 1,750 1,771
American Water Capital Corp. 6.593% 10/15/37 2,025 2,011
Appalachian Power Co. 7.950% 1/15/20 1,200 1,431
Appalachian Power Co. 5.800% 10/1/35 500 472
Appalachian Power Co. 7.000% 4/1/38 1,700 1,896
Baltimore Gas & Electric Co. 6.350% 10/1/36 375 385
CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 925 1,017
Cleveland Electric Illuminating Co. 5.500% 8/15/24 1,000 991
Cleveland Electric Illuminating Co. 5.950% 12/15/36 1,000 932
Columbus Southern Power Co. 5.850% 10/1/35 800 756
Commonwealth Edison Co. 5.875% 2/1/33 250 250
Commonwealth Edison Co. 5.900% 3/15/36 1,550 1,551
Commonwealth Edison Co. 6.450% 1/15/38 400 428
Connecticut Light & Power Co. 6.350% 6/1/36 750 812
Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 1,125 1,075
Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 1,875 1,930
Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 550 588
Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 925 1,004
Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 1,325 1,522
Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 825 815
Constellation Energy Group Inc. 7.600% 4/1/32 1,800 1,945
Consumers Energy Co. 5.650% 4/15/20 1,250 1,331
Detroit Edison Co. 5.700% 10/1/37 500 482
Dominion Resources Inc. 6.300% 3/15/33 2,150 2,193
Dominion Resources Inc. 5.950% 6/15/35 1,150 1,152
Dominion Resources Inc. 7.000% 6/15/38 1,050 1,195
DTE Energy Co. 6.375% 4/15/33 800 762
Duke Energy Carolinas LLC 6.000% 12/1/28 1,000 1,007
Duke Energy Carolinas LLC 6.450% 10/15/32 1,050 1,139
Duke Energy Carolinas LLC 6.100% 6/1/37 825 878
Duke Energy Carolinas LLC 6.000% 1/15/38 875 926
Duke Energy Carolinas LLC 6.050% 4/15/38 1,950 2,064
Duke Energy Carolinas LLC 5.300% 2/15/40 1,425 1,376
Duke Energy Indiana Inc. 6.120% 10/15/35 600 607
Duke Energy Indiana Inc. 6.350% 8/15/38 1,000 1,093
El Paso Electric Co. 6.000% 5/15/35 850 760
Energy East Corp. 6.750% 7/15/36 1,425 1,589
Entergy Louisiana LLC 5.400% 11/1/24 1,425 1,391
Exelon Corp. 5.625% 6/15/35 1,975 1,787
Exelon Generation Co. LLC 6.250% 10/1/39 2,675 2,716
FirstEnergy Corp. 7.375% 11/15/31 4,800 5,265
FirstEnergy Solutions Corp. 6.050% 8/15/21 925 943
FirstEnergy Solutions Corp. 6.800% 8/15/39 900 902
Florida Power & Light Co. 5.950% 10/1/33 950 989
Florida Power & Light Co. 5.625% 4/1/34 1,174 1,172
Florida Power & Light Co. 4.950% 6/1/35 150 136
Florida Power & Light Co. 5.400% 9/1/35 1,875 1,815
Florida Power & Light Co. 6.200% 6/1/36 150 161
Florida Power & Light Co. 5.650% 2/1/37 2,150 2,140
Florida Power & Light Co. 5.850% 5/1/37 475 492
Florida Power & Light Co. 5.950% 2/1/38 350 363
Florida Power & Light Co. 5.960% 4/1/39 750 790
Florida Power Corp. 6.350% 9/15/37 2,225 2,397
Florida Power Corp. 6.400% 6/15/38 1,600 1,760

107


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Georgia Power Co. 5.650% 3/1/37 2,075 2,088
Georgia Power Co. 5.950% 2/1/39 1,250 1,306
Indiana Michigan Power Co. 6.050% 3/15/37 1,775 1,743
Interstate Power & Light Co. 6.250% 7/15/39 975 1,011
Kansas City Power & Light Co. 6.050% 11/15/35 500 464
2 Kansas Gas & Electric 5.647% 3/29/21 1,063 1,046
MidAmerican Energy Co. 6.750% 12/30/31 1,800 2,014
MidAmerican Energy Co. 5.750% 11/1/35 850 840
MidAmerican Energy Co. 5.800% 10/15/36 875 877
Midamerican Energy Holdings Co. 8.480% 9/15/28 300 362
Midamerican Energy Holdings Co. 6.125% 4/1/36 7,475 7,612
Midamerican Energy Holdings Co. 5.950% 5/15/37 2,975 3,001
Midamerican Energy Holdings Co. 6.500% 9/15/37 700 743
National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/32 2,400 2,843
Nevada Power Co. 6.750% 7/1/37 2,500 2,668
Nisource Finance Corp. 5.450% 9/15/20 725 703
Nisource Finance Corp. 6.125% 3/1/22 750 765
Northern States Power Co. 5.250% 7/15/35 1,175 1,122
Northern States Power Co. 6.250% 6/1/36 525 573
Northern States Power Co. 6.200% 7/1/37 1,050 1,140
Northern States Power Co. 5.350% 11/1/39 625 604
3 Oglethorpe Power Corp. 5.950% 11/1/39 750 741
Ohio Power Co. 6.600% 2/15/33 400 418
Oncor Electric Delivery Co. LLC 7.000% 9/1/22 1,675 1,863
Oncor Electric Delivery Co. LLC 7.000% 5/1/32 2,025 2,236
Oncor Electric Delivery Co. LLC 7.250% 1/15/33 325 374
Oncor Electric Delivery Co. LLC 7.500% 9/1/38 425 503
Pacific Gas & Electric Co. 6.050% 3/1/34 7,875 8,249
Pacific Gas & Electric Co. 5.800% 3/1/37 2,075 2,105
PacifiCorp 7.700% 11/15/31 400 491
PacifiCorp 5.250% 6/15/35 1,150 1,076
PacifiCorp 5.750% 4/1/37 1,000 1,002
PacifiCorp 6.250% 10/15/37 1,200 1,294
Pennsylvania Electric Co. 5.200% 4/1/20 350 346
Pennsylvania Electric Co. 6.150% 10/1/38 350 339
Pepco Holdings Inc. 7.450% 8/15/32 300 316
Potomac Electric Power Co. 6.500% 11/15/37 1,500 1,658
PPL Electric Utilities Corp. 6.250% 5/15/39 775 814
Progress Energy Inc. 7.750% 3/1/31 1,725 2,039
Progress Energy Inc. 7.000% 10/30/31 925 1,009
Progress Energy Inc. 6.000% 12/1/39 1,800 1,791
PSEG Power LLC 8.625% 4/15/31 400 517
Public Service Co. of Colorado 6.250% 9/1/37 1,025 1,119
Public Service Co. of Colorado 6.500% 8/1/38 500 564
Public Service Co. of Oklahoma 6.625% 11/15/37 300 311
Public Service Electric & Gas Co. 5.250% 7/1/35 675 640
Public Service Electric & Gas Co. 5.800% 5/1/37 2,050 2,097
Puget Sound Energy Inc. 5.483% 6/1/35 825 787
Puget Sound Energy Inc. 6.274% 3/15/37 1,425 1,510
Puget Sound Energy Inc. 5.757% 10/1/39 850 841
San Diego Gas & Electric Co. 5.350% 5/15/35 1,025 992
San Diego Gas & Electric Co. 6.125% 9/15/37 625 672
San Diego Gas & Electric Co. 6.000% 6/1/39 650 694
South Carolina Electric & Gas Co. 6.625% 2/1/32 500 559
South Carolina Electric & Gas Co. 5.300% 5/15/33 1,850 1,758
South Carolina Electric & Gas Co. 6.050% 1/15/38 775 814
Southern California Edison Co. 6.650% 4/1/29 700 761
Southern California Edison Co. 6.000% 1/15/34 975 1,015
Southern California Edison Co. 5.750% 4/1/35 400 403
Southern California Edison Co. 5.350% 7/15/35 3,175 3,032
Southern California Edison Co. 5.550% 1/15/36 100 100
Southern California Edison Co. 5.625% 2/1/36 2,075 2,058
Southern California Edison Co. 5.550% 1/15/37 500 501
Southern California Edison Co. 5.950% 2/1/38 675 710

108


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Tampa Electric Co. 6.550% 5/15/36 450 468
Toledo Edison Co. 7.250% 5/1/20 1,000 1,142
Toledo Edison Co. 6.150% 5/15/37 1,500 1,491
Union Electric Co. 8.450% 3/15/39 625 820
United Utilities PLC 6.875% 8/15/28 375 384
Virginia Electric and Power Co. 6.000% 1/15/36 1,725 1,810
Virginia Electric and Power Co. 6.000% 5/15/37 825 867
Virginia Electric and Power Co. 6.350% 11/30/37 1,000 1,100
Virginia Electric and Power Co. 8.875% 11/15/38 1,200 1,695
Wisconsin Electric Power Co. 5.625% 5/15/33 450 444
Wisconsin Electric Power Co. 5.700% 12/1/36 1,675 1,667
Wisconsin Power & Light Co. 6.375% 8/15/37 950 1,013
Xcel Energy Inc. 6.500% 7/1/36 650 690
Natural Gas (2.0%)        
AGL Capital Corp. 6.000% 10/1/34 850 799
DCP Midstream LLC 8.125% 8/16/30 500 547
El Paso Natural Gas Co. 8.375% 6/15/32 1,350 1,596
Enbridge Energy Partners LP 7.500% 4/15/38 525 597
Energy Transfer Partners LP 6.625% 10/15/36 1,625 1,623
Energy Transfer Partners LP 7.500% 7/1/38 775 855
Enterprise Products Operating LLC 6.875% 3/1/33 2,150 2,263
Enterprise Products Operating LLC 6.650% 10/15/34 900 924
Enterprise Products Operating LLC 7.550% 4/15/38 1,125 1,271
Enterprise Products Operating LLC 6.125% 10/15/39 1,500 1,448
KeySpan Corp. 8.000% 11/15/30 1,175 1,377
Kinder Morgan Energy Partners LP 6.850% 2/15/20 2,925 3,267
Kinder Morgan Energy Partners LP 7.750% 3/15/32 500 571
Kinder Morgan Energy Partners LP 7.300% 8/15/33 1,000 1,091
Kinder Morgan Energy Partners LP 5.800% 3/15/35 1,675 1,553
Kinder Morgan Energy Partners LP 6.500% 2/1/37 1,350 1,361
Kinder Morgan Energy Partners LP 6.950% 1/15/38 1,500 1,600
Kinder Morgan Energy Partners LP 6.500% 9/1/39 1,000 1,008
Oneok Inc. 6.000% 6/15/35 975 916
ONEOK Partners LP 6.650% 10/1/36 2,925 2,967
ONEOK Partners LP 6.850% 10/15/37 200 209
Plains All American Pipeline LP / PAA Finance Corp. 5.750% 1/15/20 1,000 1,005
Plains All American Pipeline LP / PAA Finance Corp. 6.650% 1/15/37 1,175 1,200
Southern California Gas Co. 5.750% 11/15/35 75 77
Southern Union Co. 7.600% 2/1/24 500 541
Southern Union Co. 8.250% 11/15/29 1,000 1,100
Spectra Energy Capital LLC 6.750% 2/15/32 1,705 1,727
Tennessee Gas Pipeline Co. 7.000% 10/15/28 2,650 2,835
Texas Eastern Transmission LP 7.000% 7/15/32 700 787
TransCanada PipeLines Ltd. 5.600% 3/31/34 1,725 1,661
TransCanada PipeLines Ltd. 5.850% 3/15/36 2,575 2,563
TransCanada PipeLines Ltd. 6.200% 10/15/37 1,250 1,321
TransCanada PipeLines Ltd. 7.250% 8/15/38 200 238
TransCanada PipeLines Ltd. 7.625% 1/15/39 4,625 5,663
Williams Cos. Inc. 7.875% 9/1/21 1,000 1,157
Williams Cos. Inc. 7.500% 1/15/31 3,850 4,156
Williams Cos. Inc. 7.750% 6/15/31 2,750 3,014
Other Utility (0.1%)        
Veolia Environnement 6.750% 6/1/38 1,750 1,904
 
        228,331
 
Total Corporate Bonds (Cost $1,305,019)       1,339,641
 
Sovereign Bonds (U.S. Dollar-Denominated) (5.8%)        
Asian Development Bank 5.593% 7/16/18 4,000 4,325
Brazilian Government International Bond 8.875% 4/15/24 3,000 3,885
Brazilian Government International Bond 8.750% 2/4/25 8,500 10,965
Brazilian Government International Bond 10.125% 5/15/27 6,700 9,832
Brazilian Government International Bond 8.250% 1/20/34 5,675 7,221

109


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Brazilian Government International Bond 7.125% 1/20/37 6,850 7,842
Brazilian Government International Bond 11.000% 8/17/40 9,900 13,192
Brazilian Government International Bond 5.625% 1/7/41 2,150 2,016
European Investment Bank 4.875% 2/15/36 2,400 2,291
Finland Government International Bond 6.950% 2/15/26 195 232
Hydro Quebec 9.400% 2/1/21 480 656
Hydro Quebec 8.400% 1/15/22 775 1,004
Hydro Quebec 8.050% 7/7/24 5,000 6,124
Hydro Quebec 8.500% 12/1/29 1,200 1,589
Inter-American Development Bank 7.000% 6/15/25 750 890
International Bank for Reconstruction & Development 7.625% 1/19/23 1,807 2,310
International Bank for Reconstruction & Development 8.875% 3/1/26 1,000 1,379
International Bank for Reconstruction & Development 4.750% 2/15/35 1,025 954
Italian Republic 6.875% 9/27/23 6,600 7,451
Italian Republic 5.375% 6/15/33 5,175 5,067
Korea Electric Power Corp. 7.000% 2/1/27 750 769
Kreditanstalt fuer Wiederaufbau 0.000% 4/18/36 6,200 1,635
Kreditanstalt fuer Wiederaufbau 0.000% 6/29/37 825 197
Mexico Government International Bond 8.125% 12/30/19 5,750 7,026
Mexico Government International Bond 8.300% 8/15/31 1,325 1,639
Mexico Government International Bond 6.750% 9/27/34 12,500 13,247
Pemex Project Funding Master Trust 6.625% 6/15/35 3,900 3,701
Pemex Project Funding Master Trust 6.625% 6/15/38 1,375 1,278
Peruvian Government International Bond 7.350% 7/21/25 4,800 5,496
2 Peruvian Government International Bond 6.550% 3/14/37 5,975 6,214
Petrobras International Finance Co. 5.750% 1/20/20 5,325 5,384
Petrobras International Finance Co. 6.875% 1/20/40 3,100 3,156
Province of British Columbia Canada 6.500% 1/15/26 1,500 1,749
Province of Manitoba Canada 9.250% 4/1/20 1,500 2,051
Province of Nova Scotia Canada 9.125% 5/1/21 1,280 1,707
Province of Quebec Canada 7.500% 7/15/23 600 723
Province of Quebec Canada 7.125% 2/9/24 3,800 4,443
Province of Quebec Canada 7.500% 9/15/29 3,625 4,543
Province of Saskatchewan Canada 7.375% 7/15/13 600 684
Region of Lombardy Italy 5.804% 10/25/32 2,375 2,322
Republic of Korea 5.625% 11/3/25 900 913
South Africa Government International Bond 6.875% 5/27/19 900 1,010
South Africa Government International Bond 5.875% 5/30/22 2,125 2,178
United Mexican States 6.050% 1/11/40 4,400 4,230
 
Total Sovereign Bonds (Cost $165,505)       165,520
 
Taxable Municipal Bonds (3.8%)        
American Muni. Power Ohio Inc. 6.053% 2/15/43 600 568
Bay Area Toll Auth. CA Toll Bridge Rev. 6.263% 4/1/49 2,750 2,637
Board of Trustees of The Leland Stanford Junior        
  University 4.750% 5/1/19 1,000 1,012
California GO 7.500% 4/1/34 5,500 5,379
California GO 7.550% 4/1/39 5,800 5,698
California GO 7.300% 10/1/39 4,625 4,371
California GO 7.350% 11/1/39 2,400 2,337
Central Puget Sound WA Regional Transit Auth. Sales        
& Use Tax Rev. 5.491% 11/1/39 650 630
Chicago IL Board of Educ. GO 6.138% 12/1/39 700 706
Chicago IL Metro. Water Reclamation Dist. GO 5.720% 12/1/38 1,300 1,304
Chicago IL Transit Auth. Rev. 6.899% 12/1/40 5,500 5,743
Clark County NV Airport Improvement Rev. 6.881% 7/1/42 650 638
Commonwealth Financing Auth. Pennsylvania Rev. 6.218% 6/1/39 800 798
Connecticut GO 5.850% 3/15/32 2,450 2,479
Dallas County Hosp. Dist. GO 5.621% 8/15/44 850 834
Dallas TX Area Rapid Transit Rev. 5.999% 12/1/44 1,725 1,771
Denver CO City & County School Dist. 5.664% 12/1/33 525 514
District of Columbia Income Tax Rev. 5.591% 12/1/34 675 657
Emory University 5.625% 9/1/19 1,000 1,076

110


Vanguard® Long-Term Bond Index Fund        
Schedule of Investments        
December 31, 2009        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
Georgia GO 4.503% 11/1/25 825 792
Illinois GO 4.950% 6/1/23 1,700 1,591
Illinois GO 5.100% 6/1/33 18,125 15,150
Illinois State Tollway Highway Auth. Toll Highway Rev. 6.184% 1/1/34 600 609
Illinois State Tollway Highway Auth. Toll Highway Rev. 5.851% 12/1/34 600 583
Johns Hopkins University 5.250% 7/1/19 1,200 1,240
Kansas Dev. Finance Auth. Rev. (Public Employee        
Retirement System) 5.501% 5/1/34 500 476
Las Vegas Valley Water Dist. Nevada GO 7.013% 6/1/39 525 554
Los Angeles CA Dept. of Water & Power Rev. 6.008% 7/1/39 775 759
Los Angeles CA USD GO 5.750% 7/1/34 2,900 2,672
Maryland Transp. Auth. Rev. 5.888% 7/1/43 850 855
Massachusetts GO 5.456% 12/1/39 1,900 1,831
Massachusetts School Building Auth. Dedicated Sales        
Tax Rev. 5.715% 8/15/39 1,050 1,039
Metro. New York Transp. Auth. Rev. 5.871% 11/15/39 700 665
Metro. Washington DC Airports Auth. Rev. 7.462% 10/1/46 775 786
Missouri Highways & Transp. Comm. State Road Rev. 5.445% 5/1/33 600 574
New Jersey Econ. Dev. Auth. 7.425% 2/15/29 5,250 5,653
New Jersey Turnpike Auth. Rev. 4.252% 1/1/16 30 31
New Jersey Turnpike Auth. Rev. 4.252% 1/1/16 570 575
New Jersey Turnpike Auth. Rev. 7.414% 1/1/40 3,050 3,438
New York City NY GO 5.206% 10/1/31 1,000 920
New York City NY GO 5.985% 12/1/36 625 613
New York City NY Muni. Water Finance Auth. Water &        
Sewer System Rev. 5.750% 6/15/41 800 780
New York City NY Transitional Finance Auth. Rev. 5.767% 8/1/36 775 751
New York Metro. Transp. Auth. Rev. 7.336% 11/15/39 1,575 1,759
New York State Dormitory Auth. Rev. (Personal Income        
Tax) 5.628% 3/15/39 1,000 954
New York State Urban Dev. Corp. Rev. 5.770% 3/15/39 1,350 1,337
North Texas Tollway Auth. Rev. 6.718% 1/1/49 1,500 1,578
Oregon (Taxable Pension) GO 5.762% 6/1/23 600 609
Oregon (Taxable Pension) GO 5.892% 6/1/27 1,850 1,858
Oregon GO 4.759% 6/30/28 1,850 1,527
Oregon GO 5.528% 6/30/28 1,500 1,443
Pennsylvania Turnpike Comm. Rev. 6.105% 12/1/39 600 615
Port Auth. of New York & New Jersey Rev. 6.040% 12/1/29 1,125 1,118
President and Fellows of Harvard College 6.300% 10/1/37 1,000 1,026
Princeton University 5.700% 3/1/39 1,000 1,031
San Antonio TX Electric & Gas Rev. 5.985% 2/1/39 600 611
Texas GO 5.517% 4/1/39 2,000 1,951
Tobacco Settlement Finance Auth. Rev. 7.467% 6/1/47 3,735 2,947
Univ. of California Regents 6.583% 5/15/49 1,075 1,074
Univ. of California Rev. 5.770% 5/15/43 2,000 1,954
Univ. of Texas Permanent Univ. Fund Rev. 5.262% 7/1/39 550 528
Univ. of Texas Permanent Univ. Fund Rev. 6.276% 8/15/41 675 681
Utah GO 4.554% 7/1/24 1,100 1,077
Washington GO 5.481% 8/1/39 650 629
Wisconsin GO 5.700% 5/1/26 900 873
Total Taxable Municipal Bonds (Cost $113,728)       109,269

111


Vanguard® Long-Term Bond Index Fund      
Schedule of Investments      
December 31, 2009      
 
      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (1.1%)      
Money Market Fund (1.1%)      
4 Vanguard Market Liquidity Fund (Cost $32,005) 0.187% 32,005,393 32,005
 
Total Investments (99.5%) (Cost $2,840,411)     2,856,138
Other Assets and Liabilities—Net (0.5%)     13,640
Net Assets (100%)     2,869,778

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 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 $18,926,000, representing 0.7% 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.
USD—United School District.

112


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, 2009 and for the year then ended and have issued our unqualified report thereon dated February 12, 2010. Our audits included audits of the Funds' schedules of investments as of December 31, 2009. 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 financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

PricewaterhouseCoopers LLP
Philadelphia, PA
February 12, 2010

113


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

SNA840 022010


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


This page intentionally left blank.


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

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.


© 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

Doc#0217639


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.

Doc#0217639


  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 April 26, 2010, see File Number 33-53683, Incorporated by Reference.