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KG N/A N/A 529900UC2OD7II24Z667 DE 37051324.86999999 Credit Suisse (Hong Kong) Limited N/A N/A 54930025BDY2HW6EF014 HK 66369575.60999999 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 19301000872.41999800 BNP Paribas Securities Services SCA N/A N/A 549300WCGB70D06XZS54 FR 64104529.82000000 Goldman Sachs International N/A N/A W22LROWP2IHZNBB6K528 GB 365863670.10000002 Morgan Stanley & Co. International PLC N/A N/A 4PQUHN3JPFGFNF3BB653 GB 113985435.84000000 J.P. Morgan Securities (Asia Pacific) Limited N/A N/A 871JPXVZ0Z8I863B6V34 HK 40881750.82999999 J.P. 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(operating through its Paris branch with support from its Amsterdam branch) R0MUWSFPU8MPRO8K5P83 NL 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) 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 Virtu Americas LLC 008-68193 000149823 549300RA02N3BNSWBV74 384.05000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 2222.91000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 10060.23999999 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 11885.32000000 JonesTrading Institutional Services LLC 008-26089 000006888 2138008JJ5PA8H5UIL69 922.21000000 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 23912.36000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 331.49000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 143590.92999999 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 2482.03999999 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 2160.96000000 198399.72999996 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 1447200.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 1606132563.00000000 National Financial Services LLC 008-26740 000013041 549300JRHF1MHHWUAW04 850.92000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 509996.00000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 1925877.00000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 268014.59999999 1610284501.51999999 N 9190203951.42916666 Committed 4300000000.00000000 N N N VANGUARD INDUSTRIALS INDEX FUND S000004451 ZWVBKU0Z64JJIRHWJR93 N 2 0 0 Exchange-Traded Fund N N 0.02630999 -0.09375000 0.07533490 0.07526790 Y N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Cash collateral reinvestment fee Administrative fee 13304949.86999999 736989.83000000 Rule 17a-7 (17 CFR 270.17a-7) 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)) 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 ITG Analytics Inc 41-2190282 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Refinitiv US LLC 20-4530702 TIN N Markit North America INC 13-4153988 TIN N ICE Data Pricing and Reference Data LLC 13-36687789 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB 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) Credit Suisse (Switzerland) Limited 549300CWR0W0BCS9Q144 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas S.A. R0MUWSFPU8MPRO8K5P83 FR 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) BNP Paribas Securities Services, S.C.A. (operating through its Paris branch with support from its Amsterdam branch) R0MUWSFPU8MPRO8K5P83 NL 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)) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services, S.C.A. (operating through its Paris branch with support from its Brussels branch) R0MUWSFPU8MPRO8K5P83 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank S.A./N.V. 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH 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) 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 State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N Piper Sandler & Co. 008-15204 000000665 549300GRQCWQ3XGH0H10 1138.39000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 26716.62999999 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 1069.70000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 3545.64000000 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 3839.34000000 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 815.00000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 2043.18000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 762.87999999 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 6181.40999999 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 793.84000000 47349.54999996 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 136824.00000000 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 386088.60000000 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 21097.50000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 651382.41999999 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 736897907.00000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 58141.32000000 National Financial Services LLC 008-26740 000013041 549300JRHF1MHHWUAW04 64305.90000000 738215746.73999999 N 4084957989.91583333 Committed 4300000000.00000000 N N N VANGUARD FTSE SOCIAL INDEX FUND S000004440 4HGXJ5Q3ZDGC3ZPH3C41 N 2 0 0 N N -0.02300999 -0.16316000 0.25286979 0.25320923 N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 9148156.22000000 775721.66000000 Rule 17a-7 (17 CFR 270.17a-7) 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)) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N THE VANGUARD GROUP, INC. 084-00772 5493002789CX3L0CJP65 Y N N Refinitiv US LLC 20-4530702 TIN N ICE Data Pricing and Reference Data LLC 13-36687789 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Markit Group Limited 549300HLPTRASHS0E726 GB N ITG Analytics Inc 41-2190282 TIN N Markit North America INC 13-4153988 TIN N N BNP Paribas S.A. R0MUWSFPU8MPRO8K5P83 FR 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) State Street Bank and Trust Company, United Kingdom branch 213800YAZLPV26WFM449 GB 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) Skandinaviska Enskilda Banken AB (publ) 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) BNP Paribas Securities Services, S.C.A. (operating through its Paris branch with support from its Brussels branch) R0MUWSFPU8MPRO8K5P83 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) Euroclear Bank S.A./N.V. 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH 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. (operating through its Paris branch with support from its Amsterdam branch) R0MUWSFPU8MPRO8K5P83 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 11110.67000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 6195.46000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 18032.48999998 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 14593.70000000 Virtu Americas LLC 008-68193 000149823 549300RA02N3BNSWBV74 4878.66000000 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 8338.11999999 RBC Capital Markets, LLC 008-45411 000031194 549300LCO2FLSSVFFR64 6107.47999999 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 11444.40000000 Mizuho Securities USA Inc 008-37710 000019647 5493004GRDTUI7EMIZ82 2934.93000000 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 15218.39000000 102542.97999995 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 381974.50000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 346320.00000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 383629.71000000 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 135223.54000000 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 692969.60000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 1918139378.95000000 1920079496.30000000 N 14194175089.18833333 Committed 4300000000.00000000 N N N N VANGUARD EXTENDED DURATION TREASURY INDEX FUND S000018789 LPJF5F1SN6L2WBUKDV11 N 3 0 0 Exchange-Traded Fund N N -0.10533000 -0.15584999 3.25215926 3.25219256 N N N N N/A N/A N/A 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)) 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 North America INC 13-4153988 TIN N Refinitiv US LLC 20-4530702 TIN N ICE Data Pricing and Reference Data LLC 13-36687789 TIN N ITG Analytics Inc 41-2190282 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 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 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N 0.00000000 BMO Capital Markets Corp. N/A 000016686 RUC0QBLBRPRCU4W1NE59 69894612.50000000 Deutsche Bank Securities Inc. 008-17822 000002525 9J6MBOOO7BECTDTUZW19 45827181.31000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 143935297.00000000 Barclays Capital Inc. 008-41342 000019714 AC28XWWI3WIBK2824319 136238231.21000001 BofA Securities, Inc. 008-69787 000283942 549300HN4UKV1E2R3U73 102694438.56000000 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 380432304.01000011 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 118251963.56000000 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 68374136.95000001 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 206080259.81999999 Natwest Markets Securities Inc. 008-37135 000011707 ZE2ZWJ5BTIQJ8M0C6K34 44945264.35000000 1384498205.92000012 N 2581063965.30500000 Committed 4300000000.00000000 N N N VANGUARD ESG INTERNATIONAL STOCK ETF S000063074 Y 100000.00000000 0.31193271 0.28096997 0.68806728 0.28096997 0.00000000 0.00000000 1.00000000 0.00000000 6857.14285699 0.00000000 0.28523180 6857.14285699 0.00000000 0.28523180 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD MATERIALS INDEX FUND S000004441 N 25000.00000000 0.02646248 0.16004868 0.97353751 0.16004868 0.00507745 0.02942396 0.99492254 0.02942396 194.73684209 0.00000000 0.00000000 100.00000000 0.00000000 0.00000000 193.93939390 0.00000000 0.00000000 200.00000000 0.00000000 0.00000000 N VANGUARD CONSUMER DISCRETIONARY INDEX FUND S000004446 N 25000.00000000 0.04266143 0.20181714 0.95733856 0.20181714 0.00734998 0.03965203 0.99265001 0.03965203 440.42553190 0.00000000 0.00000000 375.00000000 0.00000000 0.00000000 430.14705880 0.00000000 0.00000000 450.00000000 0.00000000 0.00000000 N VANGUARD MEGA CAP VALUE INDEX FUND S000019699 N 25000.00000000 0.00661989 0.07758824 0.99338010 0.07758824 -0.00013004 0.02616468 1.00013003 0.02616468 248.48484850 0.00000000 0.00000000 232.14285709 0.00000000 0.00000000 204.54545450 0.00000000 0.00000000 250.00000000 0.00000000 0.00000000 N VANGUARD MEGA CAP INDEX FUND S000019698 N 25000.00000000 0.02866970 0.16422842 0.97133029 0.16422842 0.00077690 0.00300947 0.99922309 0.00300947 388.88888889 0.00000000 0.00000000 300.00000000 0.00000000 0.00000000 400.00000000 0.00000000 0.00000000 400.00000000 0.00000000 0.00000000 N VANGUARD INFORMATION TECHNOLOGY INDEX FUND S000004452 N 25000.00000000 0.01744081 0.12284183 0.98255918 0.12284183 0.00044161 0.00474919 0.99955838 0.00474919 492.38578680 0.00000000 0.00000000 482.95454549 0.00000000 0.00000000 488.50574710 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD HEALTH CARE INDEX FUND S000004450 N 25000.00000000 0.03798651 0.19050787 0.96201348 0.19050787 0.00479762 0.02375358 0.99520237 0.02375358 529.24528299 0.00000000 0.00000000 434.21052630 0.00000000 0.00000000 515.31531529 0.00000000 0.00000000 550.00000000 0.00000000 0.00000000 N VANGUARD CONSUMER STAPLES INDEX FUND S000004447 N 25000.00000000 0.04578180 0.20822919 0.95421819 0.20822919 0.00284198 0.01923054 0.99715801 0.01923054 143.18181820 0.00000000 0.00000000 64.28571429 0.00000000 0.00000000 147.00000000 0.00000000 0.00000000 150.00000000 0.00000000 0.00000000 N VANGUARD ENERGY INDEX FUND S000004448 N 25000.00000000 0.21772876 0.41229350 0.78227123 0.41229350 0.00069708 0.00289665 0.99930291 0.00289665 156.52173909 0.00000000 0.00000000 72.34042553 0.00000000 0.00000000 197.26027400 0.00000000 0.00000000 200.00000000 0.00000000 0.00000000 N VANGUARD COMMUNICATION SERVICES INDEX FUND S000004443 N 25000.00000000 0.02303482 0.14565844 0.97696517 0.14565844 0.00155718 0.00564634 0.99844281 0.00564634 146.73913039 0.00000000 0.00000000 137.14285709 0.00000000 0.00000000 148.82812500 0.00000000 0.00000000 150.00000000 0.00000000 0.00000000 N VANGUARD UTILITIES INDEX FUND S000004445 N 25000.00000000 0.00013835 0.00017289 0.99986164 0.00017289 0.00055608 0.00430085 0.99944391 0.00430085 75.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 74.50000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD ESG U.S. CORPORATE BOND ETF S000069584 Y 100000.00000000 0.00619030 0.00457657 0.99380969 0.00457657 0.01658335 0.00000000 0.98341665 0.00000000 100.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 100.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD ESG U.S. STOCK ETF S000063075 N 25000.00000000 0.02821156 0.16199940 0.97178843 0.16199940 0.00108976 0.00295565 0.99891023 0.00295565 1556.75675700 0.00000000 0.00000000 1541.81818200 0.00000000 0.00000000 1567.34693900 0.00000000 0.00000000 1600.00000000 0.00000000 0.00000000 N VANGUARD MEGA CAP GROWTH INDEX FUND S000019700 N 25000.00000000 0.00045594 0.00278915 0.99954405 0.00278915 -0.00014614 0.01444610 1.00014614 0.01444610 200.00000000 0.00000000 0.00000000 200.00000000 0.00000000 0.00000000 188.46153849 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N VANGUARD FINANCIALS INDEX FUND S000004449 N 25000.00000000 0.04058631 0.18514029 0.95941368 0.18514029 0.00618027 0.02313185 0.99381972 0.02313185 578.57142859 0.00000000 0.00000000 530.76923079 0.00000000 0.00000000 586.81318680 0.00000000 0.00000000 600.00000000 0.00000000 0.00000000 N VANGUARD INDUSTRIALS INDEX FUND S000004451 N 25000.00000000 0.02585007 0.15802938 0.97414992 0.15802938 -0.00405858 0.02821933 1.00405858 0.02821933 487.17948719 0.00000000 0.00000000 300.00000000 0.00000000 0.00000000 470.58823530 0.00000000 0.00000000 500.00000000 0.00000000 0.00000000 N VANGUARD EXTENDED DURATION TREASURY INDEX FUND S000018789 Y 25000.00000000 0.00177057 0.00077857 0.99822942 0.00077857 0.00177385 0.00075637 0.99822614 0.00075637 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