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Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 103171.35000000 Vanguard CMT Funds - Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 2288353.22000000 2640351.16000000 N 14308128.68499999 0.00000000 VANGUARD U.S. VALUE FACTOR ETF S000061305 5493006GU7KMEUQILY06 Y 1 0 0 Exchange-Traded Fund N N N N N/A N/A N/A Rule 17a-7 (17 CFR 270.17a-7) Rule 32a-4 (17 CFR 270.32a-4) Rule 12d1-1 (17 CFR 270.12d1-1) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Thomson Reuters Markets LLC 20-4530702 TIN N ITG Analytics Inc 41-2190282 TIN N Markit North America INC 13-4153988 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N ICE Data Pricing and Reference Data LLC 13-36687789 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N Markit Group Limited 549300HLPTRASHS0E726 GB N N THE BANK OF NEW YORK MELLON N/A N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 23.35000000 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 601.63000000 Sanford C. Bernstein & Co., LLC 008-52942 000104474 549300I7JYZHT7D5CO04 35.15999999 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 52.60000000 National Financial Services LLC 008-26740 000013041 549300JRHF1MHHWUAW04 93.65000000 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 456.99000000 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 265.35000000 MORGAN STANLEY & CO LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 1643.84000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 745.98000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 181.61000000 4117.38000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 3969.46000000 MORGAN STANLEY & CO LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 25593.96000000 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 178261.41999999 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 23812.94000000 Vanguard CMT Funds - Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 11607088.69999999 11838726.48000000 N 26645721.94200000 0.00000000 VANGUARD U.S. MOMENTUM FACTOR ETF S000061302 N 25000.00000000 0.99984303 0.00005321 0.00015696 0.00005321 0.00000000 0.00000000 1.00000000 0.00000000 159.09090909 0.00000000 0.58790727 159.09090909 0.00000000 0.58790727 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 VANGUARD U.S. MINIMUM VOLATILITY ETF S000061301 N 25000.00000000 0.99978280 0.00008209 0.00021719 0.00008209 0.00000000 0.00000000 1.00000000 0.00000000 87.50000000 0.00000000 0.80555719 87.50000000 0.00000000 0.80555719 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 VANGUARD U.S. MULTIFACTOR ETF S000061310 N 25000.00000000 0.99982254 0.00005366 0.00017745 0.00005366 1.00018838 0.0000007 -0.00018838 0.0000007 330.55555555 0.00000000 0.54606606 330.55555555 0.00000000 0.54606606 350.00000000 0.00000000 0.00000000 350.00000000 0.00000000 0.00000000 VANGUARD U.S. VALUE FACTOR ETF S000061305 N 25000.00000000 0.99974316 0.00009922 0.00025683 0.00009922 0.00000000 0.00000000 1.00000000 0.00000000 248.88888888 0.00000000 0.70639786 248.88888888 0.00000000 0.70639786 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 VANGUARD U.S. LIQUIDITY FACTOR ETF S000061300 N 25000.00000000 0.99969239 0.00018489 0.00030760 0.00018489 0.00000000 0.00000000 1.00000000 0.00000000 390.00000000 0.00000000 0.49910139 390.00000000 0.00000000 0.49910139 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 VANGUARD U.S. QUALITY FACTOR ETF S000061304 N 25000.00000000 0.99979412 0.00009215 0.00020587 0.00009215 0.00000000 0.00000000 1.00000000 0.00000000 254.16666666 0.00000000 0.40480825 254.16666666 0.00000000 0.40480825 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 false false true false false false