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LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 5498341.30000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 1391162247.00000000 1397168216.60000000 N 11411374691.85916666 Committed 4385000000.00000000 N N N VANGUARD INDUSTRIALS INDEX FUND S000004451 ZWVBKU0Z64JJIRHWJR93 N 2 0 0 Exchange-Traded Fund N N 0.00759 -0.08184 0.073311 0.073602 Y N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Cash collateral reinvestment fee Administrative fee 7289782.54999999 337534.20000000 Rule 12d1-4 (17 CFR 270.12d1-4) 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) 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 ITG Analytics Inc 41-2190282 TIN N Refinitiv US LLC 20-4530702 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N Markit North America INC 13-4153988 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N N State Street Bank and Trust Company, United Kingdom Branch 213800YAZLPV26WFM449 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Credit Suisse (Switzerland) Limited 549300CWR0W0BCS9Q144 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services, S.C.A. 549300WCGB70D06XZS54 FR 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) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) BNP Paribas Securities Services, S.C.A. 549300WCGB70D06XZS54 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Limited RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 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 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 10757.03000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 377.06000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 7357.92999999 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 966.03000000 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 1059.89000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 5178.69999999 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 170.74000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 281.88000000 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 251.19999999 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 9572.19000000 36166.57999996 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 222515.52000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 287120.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 613880736.11000001 Citadel Securities LLC 008-53574 000116797 12UUJYTN7D3SW8KCSG25 112022.10000000 UBS Securities LLC 008-22651 000007654 T6FIZBDPKLYJKFCRVK44 396.98000000 614502790.71000001 N 4686257182.89666666 Committed 4385000000.00000000 N N N VANGUARD FTSE SOCIAL INDEX FUND S000004440 4HGXJ5Q3ZDGC3ZPH3C41 N 2 0 0 N N 0.01548 -0.08508 0.619441 0.619359 N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 4764208.76999999 173476.72000000 Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 17a-7 (17 CFR 270.17a-7) Rule 32a-4 (17 CFR 270.32a-4) 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 ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N Markit North America INC 13-4153988 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N ITG Analytics Inc 41-2190282 TIN N Refinitiv US LLC 20-4530702 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N N Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT 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) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services, S.C.A. 549300WCGB70D06XZS54 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Limited RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company, United Kingdom Branch 213800YAZLPV26WFM449 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Credit Suisse (Switzerland) Limited 549300CWR0W0BCS9Q144 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services, S.C.A. 549300WCGB70D06XZS54 FR 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 25559.15999998 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 11833.85999999 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 8135.35999999 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 5518.83999998 National Financial Services LLC 008-26740 000013041 549300JRHF1MHHWUAW04 7810.97999999 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 11150.74000000 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 7470.86999999 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 17613.12000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 19623.54999999 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 17745.89999999 140078.78999989 Sanford C. Bernstein & Co., LLC 008-52942 000104474 549300I7JYZHT7D5CO04 3100.50000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 1107742.21999999 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 3364515568.94999980 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 349.61000000 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 10141.42000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 631552.00000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 85911.45000000 3366354366.14999979 N 14916713231.47083333 Committed 4385000000.00000000 N N N N VANGUARD EXTENDED DURATION TREASURY INDEX FUND S000018789 LPJF5F1SN6L2WBUKDV11 N 3 0 0 Exchange-Traded Fund N N 0.01394 -0.02807 1.405686 1.405846 N N N N N/A N/A N/A Rule 32a-4 (17 CFR 270.32a-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) 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 Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N Markit Group Limited 549300HLPTRASHS0E726 GB N Refinitiv US LLC 20-4530702 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Markit North America INC 13-4153988 TIN N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N ITG Analytics Inc 41-2190282 TIN N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 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 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N Y N 0.00000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 36866022.67000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 39047332.53999999 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 65476744.37999999 HSBC Securities (USA) Inc. 008-41562 000019585 CYYGQCGNHMHPSMRL3R97 315316306.29000020 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 38482240.20000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 91583563.78999999 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 43115358.46999999 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 63692525.60000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 37964282.60000000 Deutsche Bank Securities Inc. 008-17822 000002525 9J6MBOOO7BECTDTUZW19 96880078.11999999 864334310.79000014 N 2375291371.24666666 Committed 4385000000.00000000 N N N VANGUARD ESG INTERNATIONAL STOCK ETF S000063074 Y 100000.00000000 0.27634478 0.24826487 0.72365521 0.24826487 0.00000000 0.00000000 1.00000000 0.00000000 7157.89473684 0.00000000 0.32905341 7157.89473684 0.00000000 0.32905341 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD MATERIALS INDEX FUND S000004441 N 25000.00000000 0.05899718 0.23525084 0.94100281 0.23525084 -0.00014311 0.04716919 1.00014311 0.04716919 188.23529411 0.00000000 0.00000000 120.00000000 0.00000000 0.00000000 195.83333333 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD CONSUMER DISCRETIONARY INDEX FUND S000004446 N 25000.00000000 0.07422164 0.26185017 0.92577835 0.26185017 0.00386934 0.02044078 0.99613065 0.02044078 416.66666666 0.00000000 0.00000000 257.14285714 0.00000000 0.00000000 435.36585365 0.00000000 0.00000000 450.00000000 0.00000000 0.00000000 N VANGUARD MEGA CAP VALUE INDEX FUND S000019699 N 25000.00000000 0.02690639 0.16029332 0.97309360 0.16029332 0.03196306 0.07793088 0.96803693 0.07793088 243.39622641 0.00000000 0.00000000 191.66666666 0.00000000 0.00000000 173.07692307 0.00000000 0.00000000 250.00000000 0.00000000 0.00000000 N VANGUARD MEGA CAP INDEX FUND S000019698 N 25000.00000000 0.10268321 0.30334845 0.89731678 0.30334845 0.04458885 0.10720211 0.95541114 0.10720211 358.97435897 0.00000000 0.00000000 44.44444444 0.00000000 0.00000000 340.29850746 0.00000000 0.00000000 400.00000000 0.00000000 0.00000000 N VANGUARD INFORMATION TECHNOLOGY INDEX FUND S000004452 N 25000.00000000 0.03070691 0.17173998 0.96929308 0.17173998 0.00255038 0.01460052 0.99744961 0.01460052 486.95652173 0.00000000 0.00000000 458.33333333 0.00000000 0.00000000 485.57692307 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD HEALTH CARE INDEX FUND S000004450 N 25000.00000000 0.02684166 0.16085860 0.97315833 0.16085860 0.00361653 0.01988875 0.99638346 0.01988875 535.37234042 0.00000000 0.00000000 490.21739130 0.00000000 0.00000000 512.92134831 0.00000000 0.00000000 550.00000000 0.00000000 0.00000000 N VANGUARD CONSUMER STAPLES INDEX FUND S000004447 N 25000.00000000 0.04012001 0.19593476 0.95987998 0.19593476 0.00269111 0.01449404 0.99730888 0.01449404 144.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 143.83561643 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD ENERGY INDEX FUND S000004448 N 25000.00000000 0.14755718 0.35424122 0.85244281 0.35424122 0.00102684 0.00745794 0.99897315 0.00745794 173.28767123 0.00000000 0.00000000 52.83018867 0.00000000 0.00000000 196.99248120 0.00000000 0.00000000 200.00000000 0.00000000 0.00000000 N VANGUARD COMMUNICATION SERVICES INDEX FUND S000004443 N 25000.00000000 0.05955529 0.23585281 0.94044470 0.23585281 0.00070781 0.00156522 0.99929218 0.00156522 141.12426035 0.00000000 0.00000000 81.81818181 0.00000000 0.00000000 148.89705882 0.00000000 0.00000000 150.00000000 0.00000000 0.00000000 N VANGUARD UTILITIES INDEX FUND S000004445 N 25000.00000000 0.02440703 0.15349348 0.97559296 0.15349348 0.00216732 0.01962582 0.99783267 0.01962582 73.18840579 0.00000000 0.00000000 21.42857142 0.00000000 0.00000000 74.36974789 0.00000000 0.00000000 75.00000000 0.00000000 0.00000000 N VANGUARD ESG U.S. CORPORATE BOND ETF S000069584 Y 100000.00000000 0.01068997 0.00787879 0.98931002 0.00787879 0.00000000 0.00000000 1.00000000 0.00000000 100.00000000 0.00000000 0.02527679 100.00000000 0.00000000 0.37915192 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD ESG U.S. STOCK ETF S000063075 N 25000.00000000 0.04396872 0.20331838 0.95603127 0.20331838 0.01652374 0.06970559 0.98347625 0.06970559 1530.76923076 0.00000000 0.00000000 1460.19417475 0.00000000 0.00000000 1460.86956521 0.00000000 0.00000000 1600.00000000 0.00000000 0.00000000 N VANGUARD MEGA CAP GROWTH INDEX FUND S000019700 N 25000.00000000 0.01334765 0.11418345 0.98665234 0.11418345 0.00893763 0.04215570 0.99106236 0.04215570 197.35682819 0.00000000 0.00000000 133.33333333 0.00000000 0.00000000 177.61194029 0.00000000 0.00000000 200.00000000 0.00000000 0.00000000 N VANGUARD FINANCIALS INDEX FUND S000004449 N 25000.00000000 0.15016627 0.35490483 0.84983372 0.35490483 0.00284635 0.01053303 0.99715364 0.01053303 510.91703056 0.00000000 0.00000000 331.57894736 0.00000000 0.00000000 593.68421052 0.00000000 0.00000000 600.00000000 0.00000000 0.00000000 N VANGUARD INDUSTRIALS INDEX FUND S000004451 N 25000.00000000 0.05277228 0.22326381 0.94722771 0.22326381 0.00095114 0.02349923 0.99904885 0.02349923 473.68421052 0.00000000 0.00000000 125.00000000 0.00000000 0.00000000 482.14285714 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD EXTENDED DURATION TREASURY INDEX FUND S000018789 Y 25000.00000000 0.00207169 0.00117681 0.99792830 0.00117681 0.00233220 0.00104500 0.99766779 0.00104500 75.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 75.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N true