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MORGAN SE - LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y N Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 382577.45000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 1087409.54000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 707217.69000000 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 150555.50000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 486292.11000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 395833.21000000 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 150167.91999999 Virtu ITG LLC 008-44218 000029299 549300S41SMIODVIT266 152809.14000000 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 103251.28000000 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 110677.47000000 4287186.11999993 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 29720564.57999999 J.P. Morgan Securities PLC N/A N/A K6Q0W1PS1L1O4IQL9C32 GB 4107446.16000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 32858597.53000000 Cowen and Company, LLC 008-22522 000007616 549300WR155U7DVMIW58 4732986.88000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 2429557.77999999 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 2278226.00000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 14807602.10999999 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 4419772.75000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 18684432.50000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 13522989255.00000000 13640161790.13999996 N 86321802305.61250000 Committed 4385000000.00000000 N N N VANGUARD SMALL-CAP INDEX FUND S000002845 HZKQM2YGJWB4I8NIZL49 N 5 0 0 Exchange-Traded Fund N N 0.06803 -0.07199 0.066486 0.066662 N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 1624633508.71000000 82164018.79000000 Rule 32a-4 (17 CFR 270.32a-4) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 17a-7 (17 CFR 270.17a-7) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 13-36687789 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N Markit North America INC 13-4153988 TIN N ITG Analytics Inc 41-2190282 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Refinitiv US LLC 20-4530702 TIN N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) J.P. MORGAN SE - LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank Ltd RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services SCA 549300WCGB70D06XZS54 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) J.P. MORGAN SE - LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (publ) F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) J.P. MORGAN SE - LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 IE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y N RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 127584.90000000 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 538641.66999999 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 993315.03000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 1365754.43999999 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 2233331.35000000 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 159969.77000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 308995.64000000 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 169543.40000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 847374.96999999 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 348800.03000000 7463216.27999991 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 90171093.28000000 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 12864050.00000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 38752156.76999998 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 56701672.10000000 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 2786273.00000000 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 4293292.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 13962503516.00000000 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 3812024.00000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 36834942.40999999 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 5623755.00000000 14214342795.60999997 N 118924030382.79166666 Committed 4385000000.00000000 N N N VANGUARD GROWTH INDEX FUND S000002842 8DLNZLT9FCSJNCMHQC12 N 4 0 0 Exchange-Traded Fund N N 0.01741 -0.09621 0.052029338 0.053043078 N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Cash collateral reinvestment fee Administrative fee 173711318.75999999 6626687.82000000 Rule 32a-4 (17 CFR 270.32a-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 17a-7 (17 CFR 270.17a-7) Rule 12d1-4 (17 CFR 270.12d1-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Refinitiv US LLC 20-4530702 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N Markit Group Limited 549300HLPTRASHS0E726 GB N Markit North America INC 13-4153988 TIN N ITG Analytics Inc 41-2190282 TIN N ICE Data Pricing and Reference Data LLC 13-36687789 TIN N N SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) EUROCLEAR BANK, BRUSSELS 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) SKANDINAVISKA ENSKILDA BANKEN, HELSINKI BRANCE F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Plc N1FBEDJ5J41VKZLO2475 PT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) THE BANK OF NEW YORK MELLON SA/NV MMYX0N4ZEZ13Z4XCG897 IT N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) SKANDINAVISKA ENSKILDA BANKEN AB, OSLO BRANCH F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) THE BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main MMYX0N4ZEZ13Z4XCG897 DE N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) CITIBANK EUROPE PLC N1FBEDJ5J41VKZLO2475 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) DEUTSCHE BANK (DB) MANILA 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) MIZUHO BANK, LTD RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC NEW ZEALAND 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) THE BANK OF NEW YORK MELLON SA/NV MMYX0N4ZEZ13Z4XCG897 BE N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) The Bank of New York Mellon SA/NV MMYX0N4ZEZ13Z4XCG897 FR N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) THE BANK OF NEW YORK MELLON SA/NV MMYX0N4ZEZ13Z4XCG897 NL N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) CIBC MELLON TRUST COMPANY 549300IYUUH221WBZ505 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y N Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 124815.97999999 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 54751.37999999 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 46882.99999999 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 67082.76999998 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 27482.65000000 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 81330.89999998 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 40772.81000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 80060.07999999 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 112634.52999999 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 13501.54000000 684938.54999988 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 1444.65000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 11008766568.00000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 71520.58999999 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 10856303.92000000 HUDSON RIVER TRADING LLC 008-68430 000152144 549300SMOBUC8O5UOE10 9591.04000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 3734240.00000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 2143412.00000000 11025583080.19999999 N 147571366767.39333333 Committed 4385000000.00000000 N N N VANGUARD LARGE-CAP INDEX FUND S000002843 N 25000.00000000 0.01246100 0.10972848 0.98753899 0.10972848 0.04107100 0.11002540 0.95892899 0.11002540 493.90243902 0.00000000 0.00000000 434.78260869 0.00000000 0.00000000 364.86486486 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD MID-CAP VALUE INDEX FUND S000012757 N 25000.00000000 0.01752450 0.13013378 0.98247549 0.13013378 0.00782358 0.02862132 0.99217641 0.02862132 343.96551724 0.00000000 0.00000000 257.89473684 0.00000000 0.00000000 285.18518518 0.00000000 0.00000000 350.00000000 0.00000000 0.00000000 N VANGUARD MID-CAP GROWTH INDEX FUND S000012756 N 25000.00000000 0.01479325 0.11611969 0.98520674 0.11611969 0.00832832 0.01861304 0.99167167 0.01861304 246.57534246 0.00000000 0.00000000 239.79591836 0.00000000 0.00000000 203.25203252 0.00000000 0.00000000 250.00000000 0.00000000 0.00000000 N VANGUARD 500 INDEX FUND S000002839 N 25000.00000000 0.09364455 0.28999320 0.90635544 0.28999320 0.00243242 0.00548481 0.99756757 0.00548481 453.57142857 0.00000000 0.00000000 310.67961165 0.00000000 0.00000000 487.71929824 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD VALUE INDEX FUND S000002840 N 25000.00000000 0.06258635 0.24074305 0.93741364 0.24074305 0.00482809 0.01945351 0.99517190 0.01945351 469.06474820 0.00000000 0.00000000 363.05732484 0.00000000 0.00000000 437.50000000 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD SMALL-CAP GROWTH INDEX FUND S000002846 N 25000.00000000 0.09858294 0.29558825 0.90141705 0.29558825 0.00393239 0.01685889 0.99606760 0.01685889 451.45631067 0.00000000 0.00000000 444.44444444 0.00000000 0.00000000 437.88819875 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD SMALL-CAP VALUE INDEX FUND S000002847 N 25000.00000000 0.09593679 0.29155610 0.90406320 0.29155610 0.01079833 0.04560946 0.98920166 0.04560946 452.89855072 0.00000000 0.00000000 449.01960784 0.00000000 0.00000000 411.76470588 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD TOTAL STOCK MARKET INDEX FUND S000002848 N 100000.00000000 0.10574612 0.30673203 0.89425387 0.30673203 0.01063897 0.02809288 0.98936102 0.02809288 896.92982456 0.00000000 0.00000000 800.00000000 0.00000000 0.00000000 805.30973451 0.00000000 0.00000000 1000.00000000 0.00000000 0.00000000 N VANGUARD MID-CAP INDEX FUND S000002844 N 25000.00000000 0.05262107 0.22295574 0.94737892 0.22295574 0.00967734 0.03679311 0.99032265 0.03679311 473.76093294 0.00000000 0.00000000 200.00000000 0.00000000 0.00000000 414.17910447 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD EXTENDED MARKET INDEX FUND S000002841 N 50000.00000000 0.01326156 0.11032775 0.98673843 0.11032775 0.00168124 0.01208711 0.99831875 0.01208711 493.82716049 0.00000000 0.00000000 491.86991869 0.00000000 0.00000000 433.03571428 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD SMALL-CAP INDEX FUND S000002845 N 25000.00000000 0.13304022 0.33879167 0.86695977 0.33879167 0.00445785 0.01909028 0.99554214 0.01909028 867.52136752 0.00000000 0.00000000 808.64197530 0.00000000 0.00000000 798.16513761 0.00000000 0.00000000 1000.00000000 0.00000000 0.00000000 N VANGUARD GROWTH INDEX FUND S000002842 N 25000.00000000 0.07607055 0.26476463 0.92392944 0.26476463 0.00225659 0.00975699 0.99774340 0.00975699 324.62057335 0.00000000 0.00000000 85.96491228 0.00000000 0.00000000 320.95435684 0.00000000 0.00000000 350.00000000 0.00000000 0.00000000 N true true