X0201 N-CEN LIVE 0000836906 XXXXXXXX 811-05628 true false false N-1A true VANGUARD MALVERN FUNDS 811-05628 0000836906 549300EW16IGZDA38J20 100 VANGUARD BOULEVARD MALVERN 19355 US-PA US 6106691000 State Street Bank and Trust One Lincoln Street Boston 20111 617-662-3839 The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder. JPMorgan Chase Bank 383 Madison Avenue New York 10179 212-648-0466 The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder. N N N-1A 7 Y Deanna Mulligan N/A N F. William McNabb III 001567399 Y Sarah Bloom Raskin N/A N Mortimer J. Buckley 002167630 Y Scott C. Malpass N/A N Emerson U. Fullwood N/A N Peter F. Volanakis N/A N Andre F. Perold N/A N F. Joseph Loughrey N/A N JoAnn Heffernan Heisen N/A N Amy Gutmann N/A N Mark Loughridge N/A N John E. Schadl N/A 100 Vanguard Boulevard Malvern 19355 XXXXXX Y N N N N N VANGUARD MARKETING CORP. 8-21570 000007452 N/A Y N PRICEWATERHOUSECOOPERS LLP 238 5493002GVO7EO8RNNS37 N N N N N N N VANGUARD INSTITUTIONAL INTERMEDIATE-TERM BOND FUND S000049658 549300F61ZC0PFW4VL39 N 1 0 0 N/A N N N N N/A 0.00000000 0.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 17a-7 (17 CFR 270.17a-7) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N THE VANGUARD GROUP, INC. 084-00772 5493002789CX3L0CJP65 Y N N ITG Analytics Inc 41-2190282 TIN N Markit North America INC 13-4153988 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N Refinitiv US LLC 20-4530702 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) Clearstream 549300OL514RA0SXJJ44 LU 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 N Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 570869.81 570869.81 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 1312267527.22 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 6527939726.85 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 803281946.99 CITADEL SECURITIES LLC N/A 000116797 12UUJYTN7D3SW8KCSG25 749856890.06 BNP Paribas Securities Corp. 008-32682 000015794 RCNB6OTYUAMMP879YW96 2573178715.53 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 1021409706.28 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 5832108016.85 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 15062327599.83 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 7678804206.47 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 7110238324.47 56637223979.63 N 18472601208.5233 0 Committed 4300000000 N N N N VANGUARD INSTITUTIONAL SHORT-TERM BOND FUND S000049659 549300VRQLVE63JP0O95 N 1 0 0 N/A N N N N N/A 0.00000000 0.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 32a-4 (17 CFR 270.32a-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 ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Markit North America INC 13-4153988 TIN N Refinitiv US LLC 20-4530702 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 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)) Clearstream 549300OL514RA0SXJJ44 LU 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 N Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 193885.31 193885.31 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 6964156248.32 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 2172254447.92 BNP Paribas Securities Corp. 008-32682 000015794 RCNB6OTYUAMMP879YW96 463260915.59 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 912757233.82 TD Securities (USA) LLC 008-36747 000018476 SUVUFHICNZMP2WKHG940 543440521.25 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 651444102.89 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 813510719.89 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 1499714674.88 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 830048191.89 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 838500779.94 18491876336.47 N 7954587165.50833 0 Committed 4300000000 N N N N VANGUARD EMERGING MARKETS BOND FUND S000053069 5493006QRHGOC6VL4381 N 2 0 0 N/A Y N N N N/A 0.00000000 0.00000000 Rule 32a-4 (17 CFR 270.32a-4) Rule 17a-7 (17 CFR 270.17a-7) 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 ITG Analytics Inc 41-2190282 TIN N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N Markit North America INC 13-4153988 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Refinitiv US LLC 20-4530702 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N N State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) FirstRand Bank Limited ZAYQDKTCATIXF9OQY690 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank A.S. 789000N5SE3LWDK7OI11 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Credit Suisse (Switzerland) Ltd. 549300CWR0W0BCS9Q144 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru, S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S.A. Sociedad Fiduciaria SSER7O0CV66FF0PRYK94 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe plc Magyarorszagi Fioktelepe N1FBEDJ5J41VKZLO2475 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie S.A. XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, N.A. E57ODZWZ7FF32TWEFA76 AR 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) EUROCLEAR 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Citibank, N.A. E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AO Citibank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL 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 Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) Citibank, N.A. E57ODZWZ7FF32TWEFA76 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Saudi Arabia (as delegate of The Hongkong and Shanghai Banking Corporation Limited) N/A SA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco Nacional de Mexico, S.A. 2SFFM4FUIE05S37WFU55 MX 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 N Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 5255.71 5255.71 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 637263189.44 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 132032777.41 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 96212769.97 HSBC SECURITIES (USA) INC. 008-41562 000019585 CYYGQCGNHMHPSMRL3R97 GB 94338928.11 Pershing LLC 008-17574 000007560 ZI8Q1A8EI8LQFJNM0D94 59797572.68 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 65178826.79 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 129887550.56 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 91669599.25 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 86288668.72 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 45788942.82 1794159526.59 N 191882208.173333 0 Committed 4300000000 N N N N VANGUARD CAPITAL VALUE FUND S000002868 LDBSOMZ6P8MMGJV1U703 N 1 0 0 N/A N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 1057760.57000000 30687.14000000 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 Wellington Management Company LLP 801-15908 000106595 549300YHP12TEZNLCX41 N THE VANGUARD GROUP, INC. 084-00772 5493002789CX3L0CJP65 Y N N Refinitiv US LLC 20-4530702 TIN 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 JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N Markit Group Limited 549300HLPTRASHS0E726 GB N N EUROCLEAR 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Citibank, N.A. E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank N.A. E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Credit Suisse (Switzerland) Ltd. 549300CWR0W0BCS9Q144 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG (operating through its Frankfurt branch with support from its Vienna branch) 7LTWFZYICNSX8D621K86 AT 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) Nordea Bank Abp, Finland (operating through its branch, Nordea Bank Abp, filial i Norge) 529900ODI3047E2LIV03 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands (operating through its Amsterdam branch with support from its Paris branch) 7LTWFZYICNSX8D621K86 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK 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) Skandinaviska Enskilda Banken AB (publ) F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco Nacional de Mexico, S.A. 2SFFM4FUIE05S37WFU55 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (publ), Sweden (operating through its Copenhagen branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank S.A.E. 529900SICIK5OVMVY186 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 7LTWFZYICNSX8D621K86 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands (operating through its Amsterdam branch with support from its Brussels branch) 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa San Paolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 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) Nordea Bank Abp 529900ODI3047E2LIV03 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL 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 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 IN 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 N Sanford C. Bernstein & Co., LLC 008-52942 000104474 549300I7JYZHT7D5CO04 13155.6 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 13045.71 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 27756.53 UBS Securities LLC 008-22651 000007654 T6FIZBDPKLYJKFCRVK44 10307.79999999 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 9730.27 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 24013.91999999 RBC CAPITAL MARKETS LLC 008-45411 000031194 549300LCO2FLSSVFFR64 8959.08 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 12270.46 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 16415.77 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 13520.68 223633.80999999 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 9428302.07 ABN AMRO Securities (USA) LLC 008-68398 000151796 549300FIFV1CB6HD9A14 1938000000 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 12390059.87 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 10592849.3 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 23818291.51 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 159902161.53 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 10006866.65 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 20980133.94 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 19729906.02 RBC CAPITAL MARKETS LLC 008-45411 000031194 549300LCO2FLSSVFFR64 15676764.96 2281557896.08 Y 784643297.246667 0 Committed 4300000000 N N N N VANGUARD CORE BOND FUND S000053068 5493004LZLCTSJUBPZ86 N 2 0 0 N/A N N N N N/A 0.00000000 0.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 32a-4 (17 CFR 270.32a-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 ITG Analytics Inc 41-2190282 TIN N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N Refinitiv US LLC 20-4530702 TIN N Markit North America INC 13-4153988 TIN N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N N Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Standard Chartered Bank Korea Limited NUXTG47HHHM1K2L0SG39 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) Citibank del Peru SA MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco Nacional de Mexico SA 2SFFM4FUIE05S37WFU55 MX 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) N THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 103574.18 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 70.28 103644.45999999 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 154900040.23 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 332220409.41 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 234168603.22 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 463484332.65 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 373863390.1 HSBC SECURITIES (USA) INC. 008-41562 000019585 CYYGQCGNHMHPSMRL3R97 GB 178364844.69 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 1586011126.02 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 412600757.11 Wells Fargo Securities, LLC 008-22947 000007665 VYVVCKR63DVZZN70PB21 209082299.04 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 345081491.54 5741688737.93 N 1064363980.81083 0 Committed 4300000000 N N N N VANGUARD SHORT-TERM INFLATION-PROTECTED SECURITIES INDEX FUND S000038501 TX6CG4TTV0FTLWSYWI43 N 4 0 0 Exchange-Traded Fund N N 0.06286999 0.01113 0.50853195 0.50857371 N N N N N/A 0.00000000 0.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 17a-7 (17 CFR 270.17a-7) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N THE VANGUARD GROUP, INC. 084-00772 5493002789CX3L0CJP65 Y N N ITG Analytics Inc 41-2190282 TIN N Refinitiv US LLC 20-4530702 TIN N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N Markit North America INC 13-4153988 TIN N N State Street Bank and Trust Company 571474TGEMMWANRLN572 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 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 115905.17 115905.17 J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 2897514609.69 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 1308656740.49 RBC CAPITAL MARKETS LLC 008-45411 000031194 549300LCO2FLSSVFFR64 612956117.78 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 12027805229.27 UBS Financial Services Inc 008-16267 000008174 ETYRV6ORNFJB5NONI676 556057952.32 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 771456238.58 HSBC SECURITIES (USA) INC. 008-41562 000019585 CYYGQCGNHMHPSMRL3R97 GB 634189651.65 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 1112373112.9 BNP Paribas Securities Corp. 008-32682 000015794 RCNB6OTYUAMMP879YW96 764503497.76 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 3315717222.64 26037588345.32 N 28747250630.2292 0 Committed 4300000000 N N N VANGUARD U.S. VALUE FUND S000002869 2RP5HU65TXU2TEBUMQ76 N 1 0 0 N/A N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 11695176.41000000 1795218.96000000 Rule 17a-7 (17 CFR 270.17a-7) Rule 12d1-1 (17 CFR 270.12d1-1) Rule 32a-4 (17 CFR 270.32a-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 Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Refernce Data LLC 13-36687789 TIN N Refinitiv US LLC 20-4530702 TIN N Markit North America INC 13-4153988 TIN N Markit Group Limited 549300HLPTRASHS0E726 GB N ITG Analytics Inc 41-2190282 TIN N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) EUROCLEAR 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) 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 N J.P. Morgan Securities LLC 008-35008 000000079 ZBUT11V806EZRVTWT807 3955.81 BARCLAYS CAPITAL INC. 008-41342 000019714 AC28XWWI3WIBK2824319 50429.18 Jefferies LLC 008-15074 000002347 58PU97L1C0WSRCWADL48 3981.67 Credit Suisse Securities (USA) LLC 008-00422 000000816 1V8Y6QCX6YMJ2OELII46 2704.61 Merrill Lynch, Pierce, Fenner & Smith Inc. 008-07221 000007691 8NAV47T0Y26Q87Y0QP81 35965.1 Sanford C. Bernstein & Co., LLC 008-52942 000104474 549300I7JYZHT7D5CO04 32021.11999999 Deutsche Bank Securities Inc. 008-17822 000002525 9J6MBOOO7BECTDTUZW19 48802.31 Morgan Stanley & Co. LLC 008-15869 000008209 9R7GPTSO7KV3UQJZQ078 40767.76999999 Instinet, LLC 008-23669 000007897 549300MGMN3RKMU8FT57 4463.64999999 Goldman Sachs & Co. LLC 008-00129 000000361 FOR8UP27PHTHYVLBNG30 4333.79 235418.64999999 Citigroup Global Markets Inc. 008-08177 000007059 MBNUM2BPBDO7JBLYG310 790153.6 SMALL COMPANY GROWTH PORTFOLIO N/A N/A 8K5D5K4S6OHCGG6G6G91 2123835.81999999 Coty Inc. N/A N/A 549300BO9IWPF3S48F93 24909.94 VANGUARD MARKET NEUTRAL FUND N/A N/A QX57RZTNJSJ8LE9TYK31 1291393.29 VANGUARD EXPLORER FUND N/A N/A HU38GZ7YQSV1LSOPIX38 4312119.93999999 Dell Technologies Inc. N/A N/A 549300TJB5YBRUPOG437 1592513.56 VANGUARD MARKET LIQUIDITY FUND N/A N/A 1I6HV0TLSTR3A4XQ6L78 663977698.4 WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORPORATION N/A N/A 06BTX5UWZD0GQ5N5Y745 30989.98 Nomura Securities International, Inc. 008-15255 000004297 OXTKY6Q8X53C9ILVV871 398333.84 VANGUARD U.S. GROWTH FUND N/A N/A 4IESARCYK2P68FL7C831 56185082.96 730727031.33 N 1488739567.49583 0 Committed 4300000000 N N N N VANGUARD SHORT-TERM INFLATION-PROTECTED SECURITIES INDEX FUND S000038501 Y 25000 0.03652493 0.17528768 0.96347506 0.17528768 0.00927975 0.02130484 0.99072024 0.02130484 24.20212765 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 25.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N true