UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-04681

 

Name of Registrant: Vanguard Bond Index Funds
Address of Registrant: P.O. Box 2600
Valley Forge, PA 19482

 

Name and address of agent for service: Anne E. Robinson, Esquire
P.O. Box 876
Valley Forge, PA 19482

 

Registrant’s telephone number, including area code: (610) 669-1000

 

Date of fiscal year end: December 31

 

Date of reporting period: January 1, 2019—December 31, 2019

 

 

 

 

Item 1: Reports to Shareholders

 

 

 

 

 

 

 

 

Annual Report  |  December 31, 2019

 

 

Vanguard Bond Index Funds

 

 

 

 

 

 

 

 

 

 

Vanguard Short-Term Bond Index Fund

 

Vanguard Intermediate-Term Bond Index Fund

 

Vanguard Long-Term Bond Index Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

 

 

 

 

Important information about access to shareholder reports

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

 

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

 

 

Contents  
   
A Note From Our Chairman 1
   
Your Fund’s Performance at a Glance 2
   
About Your Fund’s Expenses 3
   
Short-Term Bond Index Fund 6
   
Intermediate-Term Bond Index Fund 26
   
Long-Term Bond Index Fund 46

 

 

 

 

 

 

 

 

 

 

 

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

 

 

 

A Note From Our Chairman

 

 

 

 

 

Tim Buckley

Chairman and Chief Executive Officer

 

 

 

Dear Shareholder,

 

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

 

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

 

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

 

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

 

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

 

Sincerely,

 

 

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

 

1

 

 

Your Fund’s Performance at a Glance

 

·   For the 12 months ended December 31, 2019, returns for the funds in this report ranged from 4.77% for Investor Shares of Vanguard Short-Term Bond Index Fund to 19.09% for ETF Shares of Vanguard Long-Term Bond Index Fund. The three funds performed roughly in line with their benchmarks when taking expenses and fees into account.

 

·   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a significant narrowing of the average yield spread for corporate bonds versus U.S. Treasuries.

 

·   Treasuries returned 6.86%. Mortgage-backed securities returned a little less than that, but corporate bonds fared even better, returning 14.54%.

 

·   By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

 

 

 

Market Barometer                    
    Average Annual Total Returns  
    Periods Ended December 31, 2019  
    One Year   Three Years   Five Years  
Stocks                          
Russell 1000 Index (Large-caps)     31.43 %     15.05 %     11.48 %  
Russell 2000 Index (Small-caps)     25.53       8.59       8.23    
Russell 3000 Index (Broad U.S. market)     31.02       14.57       11.24    
FTSE All-World ex US Index (International)     21.81       9.96       5.83    
                           
Bonds                          
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)     8.72 %     4.03 %     3.05 %  
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)     7.54       4.72       3.53    
FTSE Three-Month U.S. Treasury Bill Index     2.25       1.65       1.04    
                           
CPI                          
Consumer Price Index     2.29 %     2.10 %     1.82 %  

 

 

Except for ETF Shares, any returns cited for the Long-Term Bond Index Fund reflect the 0.50% fee on purchases of fund shares.

 

2

 

 

About Your Fund’s Expenses

 

 

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

 

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

 

The accompanying table illustrates your fund’s costs in two ways:

 

·   Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

 

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

 

·   Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

 

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

 

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

 

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

 

3

 

 

Six Months Ended December 31, 2019      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2019 12/31/2019 Period
Based on Actual Fund Return      
Short-Term Bond Index Fund      
Investor Shares $1,000.00 $1,012.76 $0.76
ETF Shares 1,000.00 1,013.61 0.20
Admiral™ Shares 1,000.00 1,013.17 0.36
Institutional Shares 1,000.00 1,013.27 0.25
Institutional Plus Shares 1,000.00 1,013.32 0.20
Intermediate-Term Bond Index Fund      
Investor Shares $1,000.00 $1,022.71 $0.76
ETF Shares 1,000.00 1,023.35 0.20
Admiral Shares 1,000.00 1,023.12 0.36
Institutional Shares 1,000.00 1,023.22 0.26
Institutional Plus Shares 1,000.00 1,023.27 0.20
Long-Term Bond Index Fund      
ETF Shares $1,000.00 $1,053.48 $0.26
Admiral Shares 1,000.00 1,053.48 0.36
Institutional Shares 1,000.00 1,053.58 0.26
Institutional Plus Shares 1,000.00 1,053.64 0.21

 

4

 

 

Six Months Ended December 31, 2019      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  6/30/2019 12/31/2019 Period
Based on Hypothetical 5% Yearly Return      
Short-Term Bond Index Fund      
Investor Shares $1,000.00 $1,024.45 $0.77
ETF Shares 1,000.00 1,025.00 0.20
Admiral Shares 1,000.00 1,024.85 0.36
Institutional Shares 1,000.00 1,024.95 0.26
Institutional Plus Shares 1,000.00 1,025.00 0.20
Intermediate-Term Bond Index Fund      
Investor Shares $1,000.00 $1,024.45 $0.77
ETF Shares 1,000.00 1,025.00 0.20
Admiral Shares 1,000.00 1,024.85 0.36
Institutional Shares 1,000.00 1,024.95 0.26
Institutional Plus Shares 1,000.00 1,025.00 0.20
Long-Term Bond Index Fund      
ETF Shares $1,000.00 $1,024.95 $0.26
Admiral Shares 1,000.00 1,024.85 0.36
Institutional Shares 1,000.00 1,024.95 0.26
Institutional Plus Shares 1,000.00 1,025.00 0.20

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Bond Index Fund, 0.15% for Investor Shares, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares; for the Intermediate-Term Bond Index Fund, 0.15% for Investor Shares, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares; and for the Long-Term Bond Index Fund, 0.05% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

 

5

 

 

Short-Term Bond Index Fund

 

Performance Summary

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

 

    Average Annual Total Returns  
    Periods Ended December 31, 2019  
          Final Value
    One Five Ten of a $10,000
    Year Years Years Investment

Short-Term Bond Index Fund Investor Shares

4.77% 1.87% 1.94% $12,113

Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index

5.01 2.03 2.13 12,343

Bloomberg Barclays U.S. Aggregate Float Adjusted Index

8.87 3.07 3.78 14,486

 

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment

Short-Term Bond Index Fund ETF Shares Net Asset Value

4.92% 1.95% 2.03% $12,222

Short-Term Bond Index Fund ETF Shares Market Price

4.94 1.94 2.01 12,201

Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index

5.01 2.03 2.13 12,343

Bloomberg Barclays U.S. Aggregate Float Adjusted Index

8.87 3.07 3.78 14,486

 

 

See Financial Highlights for dividend and capital gains information.

 

6

 

 

Short-Term Bond Index Fund

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Short-Term Bond Index Fund Admiral Shares 4.86% 1.95% 2.03% $12,223

Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index

5.01 2.03 2.13 12,343

Bloomberg Barclays U.S. Aggregate Float Adjusted Index

8.87 3.07 3.78 14,486

 

 

      Since Final Value
  One Five Inception of a $5,000,000
  Year Years (9/27/2011) Investment

Short-Term Bond Index Fund Institutional Shares

4.88% 1.97% 1.68% $5,737,462

Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index

5.01 2.03 1.75 5,772,487

Bloomberg Barclays U.S. Aggregate Float Adjusted Index

8.87 3.07 3.02 6,394,294

“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standard(s).

 

      Since Final Value
  One Five Inception of a $100,000,000
  Year Years (9/29/2011) Investment

Short-Term Bond Index Fund Institutional Plus Shares

4.89% 1.98% 1.69% $114,873,785

Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index

5.01 2.03 1.75 115,441,081

Bloomberg Barclays U.S. Aggregate Float Adjusted Index

8.87 3.07 2.99 127,542,445

“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).

 

7

 

 

Short-Term Bond Index Fund

 

 

 

 

 

 

 

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

 

  One Five Ten
  Year Years Years

Short-Term Bond Index Fund ETF Shares Market Price

4.94% 10.08% 22.01%

Short-Term Bond Index Fund ETF Shares Net Asset Value

4.92 10.14 22.22

Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index

5.01 10.56 23.43

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

8

 

 

Short-Term Bond Index Fund

 

Sector Diversification

As of December 31, 2019

 

Finance   10.6 %
Foreign   6.7  
Industrial   13.5  
Treasury/Agency   68.0  
Utilities   1.1  
Other   0.1  

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

9

 

Short-Term Bond Index Fund

 

 

Financial Statements

 

 

Statement of Net Assets—Investments Summary

As of December 31, 2019

 

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

 

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

 

        Face Market Percentage  
      Maturity Amount Value· of Net  
    Coupon Date ($000) ($000) Assets  
U.S. Government and Agency Obligations            
U.S. Government Securities            
  United States Treasury Note/Bond 1.250% 3/31/21 1,253,591 1,247,712 2.5%  
  United States Treasury Note/Bond 1.250% 10/31/21 864,836 859,431 1.7%  
  United States Treasury Note/Bond 1.125% 8/31/21 618,413 613,484 1.2%  
  United States Treasury Note/Bond 2.625% 2/28/23 551,203 567,998 1.1%  
  United States Treasury Note/Bond 2.125% 3/31/24 536,754 546,480 1.1%  
  United States Treasury Note/Bond 1.125% 9/30/21 548,868 544,323 1.1%  
  United States Treasury Note/Bond 1.500% 10/31/21 543,029 542,182 1.1%  
  United States Treasury Note/Bond 1.875% 1/31/22 530,340 533,321 1.1%  
  United States Treasury Note/Bond 1.375% 5/31/21 514,165 512,479 1.0%  
  United States Treasury Note/Bond 2.000% 5/31/24 478,278 484,553 1.0%  
  United States Treasury Note/Bond 2.750% 11/15/23 465,537 484,233 1.0%  
  United States Treasury Note/Bond 1.375% 10/15/22 486,110 482,921 1.0%  
  United States Treasury Note/Bond 1.625% 8/31/22 475,501 475,648 0.9%  
  United States Treasury Note/Bond 2.375% 8/15/24 460,333 474,069 0.9%  
  United States Treasury Note/Bond 2.375% 1/31/23 454,278 464,499 0.9%  
  United States Treasury Note/Bond 2.250% 11/15/24 447,300 458,693 0.9%  
  United States Treasury Note/Bond 2.000% 1/15/21 454,286 455,917 0.9%  
  United States Treasury Note/Bond 2.500% 5/15/24 430,309 444,965 0.9%  
  United States Treasury Note/Bond 2.875% 9/30/23 421,764 440,284 0.9%  
  United States Treasury Note/Bond 2.125% 12/31/22 431,477 437,815 0.9%  
  United States Treasury Note/Bond 2.000% 11/30/22 422,160 426,643 0.9%  
  United States Treasury Note/Bond 2.500% 8/15/23 389,900 401,414 0.8%  
  United States Treasury Note/Bond 1.875% 3/31/22 394,170 396,570 0.8%  
  United States Treasury Note/Bond 1.750% 5/15/23 382,650 383,905 0.8%  
  United States Treasury Note/Bond 2.250% 10/31/24 373,255 382,818 0.8%  
  United States Treasury Note/Bond 1.750% 4/30/22 379,134 380,438 0.8%  
  United States Treasury Note/Bond 1.125% 6/30/21 377,817 375,161 0.7%  
  United States Treasury Note/Bond 1.500% 2/28/23 366,606 365,118 0.7%  
  United States Treasury Note/Bond 2.125% 9/30/24 356,595 363,506 0.7%  
  United States Treasury Note/Bond 2.625% 6/30/23 341,252 352,609 0.7%  

 

10

 

Short-Term Bond Index Fund

 

      Face Market Percentage  
    Maturity Amount Value· of Net  
  Coupon Date ($000) ($000) Assets  
  United States Treasury Note/Bond 1.125% 2/28/21 354,402 352,297 0.7%  
  United States Treasury Note/Bond 2.375% 2/29/24 333,228 342,495 0.7%  
  United States Treasury Note/Bond 2.500% 1/31/24 319,655 330,043 0.7%  
  United States Treasury Note/Bond 2.250% 4/30/24 318,585 326,053 0.7%  
  United States Treasury Note/Bond 1.750% 12/31/24 319,570 320,420 0.6%  
  United States Treasury Note/Bond 1.750% 5/31/22 314,855 315,985 0.6%  
  United States Treasury Note/Bond 2.750% 2/15/24 299,077 311,787 0.6%  
  United States Treasury Note/Bond 1.625% 11/15/22 310,263 310,359 0.6%  
  United States Treasury Note/Bond 2.125% 2/29/24 303,995 309,409 0.6%  
  United States Treasury Note/Bond 1.750% 11/30/21 306,779 307,641 0.6%  
  United States Treasury Note/Bond 2.500% 3/31/23 281,875 289,539 0.6%  
  United States Treasury Note/Bond 2.875% 11/15/21 265,152 271,367 0.5%  
  United States Treasury Note/Bond 2.625% 5/15/21 266,914 270,541 0.5%  
  United States Treasury Note/Bond 2.125% 5/15/22 260,496 263,630 0.5%  
  United States Treasury Note/Bond 1.500% 10/31/24 257,844 255,588 0.5%  
  United States Treasury Note/Bond 1.750% 3/31/22 254,242 255,117 0.5%  
  United States Treasury Note/Bond 2.750% 8/31/23 244,140 253,561 0.5%  
  United States Treasury Note/Bond 2.500% 1/15/22 248,720 253,112 0.5%  
  United States Treasury Note/Bond 1.750% 7/31/21 244,955 245,491 0.5%  
  United States Treasury Note/Bond 1.625% 12/31/21 239,360 239,621 0.5%  
  United States Treasury Note/Bond 1.125%–8.750% 5/15/20–1/31/25 12,021,891 12,124,829 24.2%  
        32,848,074 65.5%  

 

Agency Notes †   1,024,316 2.0%  
Total U.S. Government and Agency Obligations (Cost $33,536,781)   33,872,390 67.5%  
Corporate Bonds        
Finance        
1 Banking †   4,298,702 8.6%  
  Brokerage †   126,745 0.2%  
  Finance Companies †   160,731 0.3%  
  Insurance †   394,754 0.8%  
  Other Finance †   4,513 0.0%  
  Real Estate Investment Trusts †   294,188 0.6%  
      5,279,633 10.5%  
Industrial        
  Basic Industry †   275,721 0.6%  
1 Capital Goods †   667,835 1.3%  
1 Communication †   682,551 1.4%  
  Consumer Cyclical †   1,081,689 2.2%  
1 Consumer Noncyclical †   1,713,762 3.4%  
1 Energy †   959,561 1.9%  
  Other Industrial †   8,200 0.0%  
1 Technology †   1,162,784 2.3%  
  Transportation †   195,995 0.4%  
      6,748,098 13.5%  
Utilities        
  Electric †   511,330 1.0%  
  Natural Gas †   31,047 0.1%  
  Other Utility †   3,722 0.0%  
      546,099 1.1%  
Total Corporate Bonds (Cost $12,327,319)   12,573,830 25.1%  

 

11

 

Short-Term Bond Index Fund

 

        Market Percentage  
        Value· of Net  
        ($000) Assets  
Sovereign Bonds (Cost $3,264,526) †       3,312,441 6.6%  
Taxable Municipal Bonds (Cost $44,429) †       44,938 0.1%  

 

  Coupon Shares        
Temporary Cash Investment            
Money Market Fund            
2 Vanguard Market Liquidity Fund (Cost $646,228) 1.816% 6,461,660   646,230 1.3%  
Total Investments (Cost $49,819,283)       50,449,829 100.6%  

 

    Amount    
    ($000)    
Other Assets and Liabilities        
Other Assets        
Investment in Vanguard   2,238    
Receivables for Investment Securities Sold   395,224    
Receivables for Accrued Income   284,864    
Receivables for Capital Shares Issued   48,101    
Other Assets   410    
Total Other Assets   730,837 1.4%  
Liabilities        
Payables for Investment Securities Purchased   (964,513)    
Payables for Capital Shares Redeemed   (56,829)    
Payables for Distributions   (5,117)    
Payables to Vanguard   (9,690)    
Other Liabilities   (77)    
Total Liabilities   (1,036,226) (2.0%)  
Net Assets   50,144,440 100.0%  

 

At December 31, 2019, net assets consisted of:        
      Amount  
      ($000)  
Paid-in Capital     49,758,872  
Total Distributable Earnings (Loss)     385,568  
Net Assets     50,144,440  
         
Investor Shares—Net Assets        
Applicable to 8,395,304 outstanding $.001 par value shares of beneficial interest (unlimited authorization)     88,756  
Net Asset Value Per Share—Investor Shares     $10.57  
         
ETF Shares—Net Assets        
Applicable to 279,612,541 outstanding $.001 par value shares of beneficial interest (unlimited authorization)     22,521,703  
Net Asset Value Per Share—ETF Shares     $80.55  

 

12

 

Short-Term Bond Index Fund

 

    Amount  
    ($000)  
Admiral Shares—Net Assets      
Applicable to 1,454,635,822 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   15,378,690  
Net Asset Value Per Share—Admiral Shares   $10.57  
       
Institutional Shares—Net Assets      
Applicable to 522,501,335 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   5,523,997  
Net Asset Value Per Share—Institutional Shares   $10.57  
       
Institutional Plus Shares—Net Assets      
Applicable to 627,239,460 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   6,631,294  
Net Asset Value Per Share—Institutional Plus Shares   $10.57  

· See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $357,364,000, representing 0.7% of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

13

 

Short-Term Bond Index Fund

 

 

Statement of Operations

 

 

 

    Year Ended  
    December 31, 2019  
      ($000 )
Investment Income        
Income        
Interest1     1,142,305  
Total Income     1,142,305  
Expenses        
The Vanguard Group—Note B        
Investment Advisory Services     1,658  
Management and Administrative—Investor Shares     842  
Management and Administrative—ETF Shares     8,498  
Management and Administrative—Admiral Shares     8,605  
Management and Administrative—Institutional Shares     2,256  
Management and Administrative—Institutional Plus Shares     1,954  
Marketing and Distribution—Investor Shares     61  
Marketing and Distribution—ETF Shares     1,285  
Marketing and Distribution—Admiral Shares     928  
Marketing and Distribution—Institutional Shares     218  
Marketing and Distribution—Institutional Plus Shares     96  
Custodian Fees     111  
Auditing Fees     46  
Shareholders’ Reports—Investor Shares     16  
Shareholders’ Reports—ETF Shares     928  
Shareholders’ Reports—Admiral Shares     149  
Shareholders’ Reports—Institutional Shares     16  
Shareholders’ Reports—Institutional Plus Shares     23  
Trustees’ Fees and Expenses     24  
Total Expenses     27,714  
Expenses Paid Indirectly     (110 )
Net Expenses     27,604  
Net Investment Income     1,114,701  
Realized Net Gain (Loss) on Investment Securities Sold1,2     9,784  
Change in Unrealized Appreciation (Depreciation) of Investment Securities1     1,214,482  
Net Increase (Decrease) in Net Assets Resulting from Operations     2,338,967  

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,738,000, $10,000, and ($15,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $18,137,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

14

 

 

Short-Term Bond Index Fund

 

 

Statement of Changes in Net Assets

 

 

 

    Year Ended December 31,  
    2019     2018  
      ($000 )   ($000 )
Increase (Decrease) in Net Assets                
Operations                
Net Investment Income     1,114,701       1,025,149  
Realized Net Gain (Loss)     9,784       (235,989 )
Change in Unrealized Appreciation (Depreciation)     1,214,482       (96,672 )
Net Increase (Decrease) in Net Assets Resulting from Operations     2,338,967       692,488  
Distributions                
Net Investment Income                
Investor Shares     (13,802 )     (26,019 )
ETF Shares     (520,079 )     (505,667 )
Admiral Shares     (328,656 )     (283,644 )
Institutional Shares     (121,962 )     (104,309 )
Institutional Plus Shares     (130,015 )     (105,697 )
Realized Capital Gain                
Investor Shares            
ETF Shares            
Admiral Shares            
Institutional Shares            
Institutional Plus Shares            
Total Distributions     (1,114,514 )     (1,025,336 )
Capital Share Transactions                
Investor Shares     (1,075,752 )     (389,194 )
ETF Shares     (5,999,216 )     4,187,635  
Admiral Shares     1,208,370       (2,112,896 )
Institutional Shares     461,876       (67,782 )
Institutional Plus Shares     1,089,410       357,555  
Net Increase (Decrease) from Capital Share Transactions     (4,315,312 )     1,975,318  
Total Increase (Decrease)     (3,090,859 )     1,642,470  
Net Assets                
Beginning of Period     53,235,299       51,592,829  
End of Period     50,144,440       53,235,299  

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

15

 

 

Short-Term Bond Index Fund

 

 

Financial Highlights

 

 

Investor Shares

 

For a Share Outstanding     Year Ended December 31,  
Throughout Each Period 2019 2018 2017   2016 2015  
Net Asset Value, Beginning of Period $10.31 $10.38 $10.43   $10.43 $10.48  
Investment Operations              
Net Investment Income .2301 .1981 .1641   .146 .130  
Net Realized and Unrealized Gain (Loss) on Investments .258 (.069) (.050)   .002 (.040)  
Total from Investment Operations .488 .129 .114   .148 .090  
Distributions              
Dividends from Net Investment Income (.228) (.199) (.164)   (.146) (.130)  
Distributions from Realized Capital Gains (.000) 2 (.002) (.010)  
Total Distributions (.228) (.199) (.164)   (.148) (.140)  
Net Asset Value, End of Period $10.57 $10.31 $10.38   $10.43 $10.43  
               
Total Return3 4.77% 1.27% 1.10%   1.41% 0.85%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $89 $1,143 $1,545   $1,865 $2,307  
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15%   0.15% 0.16%  
Ratio of Net Investment Income to Average Net Assets 2.18% 1.94% 1.57%   1.38% 1.23%  
Portfolio Turnover Rate4 44% 48% 50%   51% 52%  

 

1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

16

 

 

Short-Term Bond Index Fund

 

 

Financial Highlights

 

 

ETF Shares              
               
For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017   2016 2015  
Net Asset Value, Beginning of Period $78.56 $79.09 $79.44   $79.49 $79.87  
Investment Operations              
Net Investment Income 1.8191 1.5801 1.3141   1.172 1.039  
Net Realized and Unrealized Gain (Loss) on Investments 2.014 (.545) (.362)   (.037) (.303)  
Total from Investment Operations 3.833 1.035 .952   1.135 .736  
Distributions              
Dividends from Net Investment Income (1.843) (1.565) (1.300)   (1.172) (1.039)  
Distributions from Realized Capital Gains (.002)   (.013) (.077)  
Total Distributions (1.843) (1.565) (1.302)   (1.185) (1.116)  
Net Asset Value, End of Period $80.55 $78.56 $79.09   $79.44 $79.49  
               
Total Return 4.92% 1.34% 1.20%   1.42% 0.92%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $22,522 $27,946 $23,902   $19,576 $17,402  
Ratio of Total Expenses to Average Net Assets 0.05% 0.07% 0.07%   0.07% 0.09%  
Ratio of Net Investment Income to Average Net Assets 2.28% 2.02% 1.65%   1.46% 1.30%  
Portfolio Turnover Rate2 44% 48% 50%   51% 52%  

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

17

 

 

Short-Term Bond Index Fund

 

 

Financial Highlights

 

 

Admiral Shares              
               
For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017   2016 2015  
Net Asset Value, Beginning of Period $10.31 $10.38 $10.43   $10.43 $10.48  
Investment Operations              
Net Investment Income .2371 .2071 .1721   .154 .137  
Net Realized and Unrealized Gain (Loss) on Investments .260 (.070) (.050)   .002 (.040)  
Total from Investment Operations .497 .137 .122   .156 .097  
Distributions              
Dividends from Net Investment Income (.237) (.207) (.172)   (.154) (.137)  
Distributions from Realized Capital Gains (.000) 2 (.002) (.010)  
Total Distributions (.237) (.207) (.172)   (.156) (.147)  
Net Asset Value, End of Period $10.57 $10.31 $10.38   $10.43 $10.43  
               
Total Return3 4.86% 1.35% 1.18%   1.49% 0.92%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $15,379 $13,812 $16,034   $15,335 $14,662  
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07%   0.07% 0.09%  
Ratio of Net Investment Income to Average Net Assets 2.26% 2.02% 1.65%   1.46% 1.30%  
Portfolio Turnover Rate4 44% 48% 50%   51% 52%  

1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

18

 

 

Short-Term Bond Index Fund

 

 

Financial Highlights

 

 

Institutional Shares

 

For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017   2016 2015  
Net Asset Value, Beginning of Period $10.31 $10.38 $10.43   $10.43 $10.48  
Investment Operations              
Net Investment Income .2391 .2091 .1741   .156 .140  
Net Realized and Unrealized Gain (Loss) on Investments .260 (.070) (.050)   .002 (.040)  
Total from Investment Operations .499 .139 .124   .158 .100  
Distributions              
Dividends from Net Investment Income (.239) (.209) (.174)   (.156) (.140)  
Distributions from Realized Capital Gains (.000) 2 (.002) (.010)  
Total Distributions (.239) (.209) (.174)   (.158) (.150)  
Net Asset Value, End of Period $10.57 $10.31 $10.38   $10.43 $10.43  
               
Total Return 4.88% 1.37% 1.20%   1.51% 0.95%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $5,524 $4,930 $5,033   $4,963 $4,506  
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05%   0.05% 0.06%  
Ratio of Net Investment Income to Average Net Assets 2.28% 2.04% 1.67%   1.48% 1.33%  
Portfolio Turnover Rate3 44% 48% 50%   51% 52%  

1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

19

 

 

Short-Term Bond Index Fund

 

 

Financial Highlights

 

 

Institutional Plus Shares

 

For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017   2016 2015  
Net Asset Value, Beginning of Period $10.31 $10.38 $10.43   $10.43 $10.48  
Investment Operations              
Net Investment Income .2401 .2101 .1751   .158 .142  
Net Realized and Unrealized Gain (Loss) on Investments .260 (.070) (.050)   .002 (.040)  
Total from Investment Operations .500 .140 .125   .160 .102  
Distributions              
Dividends from Net Investment Income (.240) (.210) (.175)   (.158) (.142)  
Distributions from Realized Capital Gains (.000) 2 (.002) (.010)  
Total Distributions (.240) (.210) (.175)   (.160) (.152)  
Net Asset Value, End of Period $10.57 $10.31 $10.38   $10.43 $10.43  
               
Total Return 4.89% 1.38% 1.21%   1.52% 0.97%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $6,631 $5,404 $5,078   $4,336 $3,502  
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.04%   0.04% 0.04%  
Ratio of Net Investment Income to Average Net Assets 2.29% 2.05% 1.68%   1.49% 1.35%  
Portfolio Turnover Rate3 44% 48% 50%   51% 52%  

1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

20

 

 

Short-Term Bond Index Fund

 

 

 

Notes to Financial Statements

 

Vanguard Short-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

 

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

 

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

 

4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn

 

21

 

 

Short-Term Bond Index Fund

 

 

 

 

 

 

amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

 

5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

 

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

 

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $2,238,000, representing less than 0.01% of the fund’s net assets and 0.90% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $110,000 (an annual rate of less than 0.01% of average net assets).

 

22

 

 

Short-Term Bond Index Fund

 

 

 

 

 

 

D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

 

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

 

  Level 1   Level 2   Level 3
Investments ($000 ) ($000 ) ($000 )
U.S. Government and Agency Obligations   33,872,390    
Corporate Bonds   12,573,830    
Sovereign Bonds   3,312,441    
Taxable Municipal Bonds   44,938    
Temporary Cash Investments 646,230      
Total 646,230   49,803,599    

 

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

 

    Amount  
    ($000 )
Paid-in Capital     18,137  
Total Distributable Earnings (Loss)     (18,137 )

 

23

 

 

Short-Term Bond Index Fund

 

 

 

 

 

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

    Amount  
    ($000 )
Undistributed Ordinary Income     8,566  
Undistributed Long-Term Gains      
Capital Loss Carryforwards (Non-expiring)     (245,166 )
Net Unrealized Gains (Losses)     630,546  

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

    Amount  
    ($000 )
Tax Cost     49,819,283  
Gross Unrealized Appreciation     693,254  
Gross Unrealized Depreciation     (62,708 )
Net Unrealized Appreciation (Depreciation)     630,546  

 

 

F.  During the year ended December 31, 2019, the fund purchased $6,194,988,000 of investment securities and sold $8,950,623,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $21,433,813,000 and $23,004,600,000, respectively. Total purchases and sales include $5,290,757,000 and $10,390,923,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $8,410,038,000 and $533,468,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

 

24

 

 

Short-Term Bond Index Fund

 

 

 

 

 

 

G.   Capital share transactions for each class of shares were:

 

    Year Ended December 31,  
    2019     2018  
    Amount     Shares     Amount     Shares  
    ($000 )   (000 )   ($000 )   (000 )
Investor Shares                                
Issued     293,432       27,888       273,270       26,634  
Issued in Lieu of Cash Distributions     11,196       1,073       22,892       2,232  
Redeemed1     (1,380,380 )     (131,418 )     (685,356 )     (66,833 )
Net Increase (Decrease)—Investor Shares     (1,075,752 )     (102,457 )     (389,194 )     (37,967 )
ETF Shares                                
Issued     4,503,647       56,300       6,265,283       80,100  
Issued in Lieu of Cash Distributions                        
Redeemed     (10,502,863 )     (132,400 )     (2,077,648 )     (26,600 )
Net Increase (Decrease)—ETF Shares     (5,999,216 )     (76,100 )     4,187,635       53,500  
Admiral Shares                                
Issued1     4,953,370       472,453       4,665,875       454,958  
Issued in Lieu of Cash Distributions     282,340       26,869       242,005       23,601  
Redeemed     (4,027,340 )     (384,509 )     (7,020,776 )     (683,504 )
Net Increase (Decrease)—Admiral Shares     1,208,370       114,813       (2,112,896 )     (204,945 )
Institutional Shares                                
Issued     1,947,465       185,713       2,044,462       199,380  
Issued in Lieu of Cash Distributions     112,032       10,663       96,699       9,431  
Redeemed     (1,597,621 )     (152,105 )     (2,208,943 )     (215,519 )
Net Increase (Decrease)—Institutional Shares     461,876       44,271       (67,782 )     (6,708 )
Institutional Plus Shares                                
Issued     1,841,903       174,690       952,723       92,907  
Issued in Lieu of Cash Distributions     125,488       11,944       102,139       9,962  
Redeemed     (877,981 )     (83,593 )     (697,307 )     (67,928 )
Net Increase (Decrease)—Institutional Plus Shares     1,089,410       103,041       357,555       34,941  

 

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 88,906,000 and 88,917,000 shares, respectively, in the amount of $934,434,000 from the conversion during the year ended December 31, 2019.

 

 

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

 

25

 

 

Intermediate-Term Bond Index Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

 

Cumulative Performance: December 31, 2009, Through December 31, 2019 Initial

Investment of $10,000

 

 

 

    Average Annual Total Returns  
    Periods Ended December 31, 2019  
          Final Value
    One Five Ten of a $10,000
    Year Years Years Investment
Intermediate-Term Bond Index Fund Investor Shares 10.09% 3.45% 4.68% $15,796
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index 10.38 3.64 4.85 16,060
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486
           
          Final Value
    One Five Ten of a $10,000
    Year Years Years Investment
Intermediate-Term Bond Index Fund ETF Shares Net Asset Value 10.19% 3.54% 4.77% $15,943
Intermediate-Term Bond Index Fund ETF Shares Market Price 10.34 3.50 4.75 15,907
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index 10.38 3.64 4.85 16,060
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486

 

 

 

 

See Financial Highlights for dividend and capital gains information.

 

26

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Intermediate-Term Bond Index Fund Admiral Shares 10.18% 3.53% 4.77% $15,940
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index 10.38 3.64 4.85 16,060
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486

 

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Intermediate-Term Bond Index Fund Institutional Shares 10.20% 3.55% 4.80% $7,992,175
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index 10.38 3.64 4.85 8,030,019
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 7,242,955
         
         
      Since Final Value
  One Five Inception of a $100,000,000
  Year Years (11/30/2011) Investment
Intermediate-Term Bond Index Fund Institutional Plus Shares 10.21% 3.57% 3.72% $134,313,332
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index 10.38 3.64 3.75 134,715,605
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.04 127,357,266

“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).

 

27

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

 

 

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

 

  One Five Ten
  Year Years Years
Intermediate-Term Bond Index Fund ETF Shares Market Price 10.34% 18.79% 59.07%
Intermediate-Term Bond Index Fund ETF Shares Net Asset Value 10.19 18.98 59.43
Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index 10.38 19.57 60.60

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

28

 

 

Intermediate-Term Bond Index Fund

 

 

Sector Diversification

As of December 31, 2019

 

Finance 14.6%
Foreign 4.5
Industrial 24.0
Treasury/Agency 54.5
Utilities 2.2
Other 0.2

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

29

 

 

Intermediate-Term Bond Index Fund

 

 

Financial Statements

 

 

Statement of Net Assets—Investments Summary

As of December 31, 2019

 

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

 

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

 

        Face   Market Percentage
      Maturity Amount   Value· of Net
    Coupon Date ($000)   ($000) Assets
U.S. Government and Agency Obligations
U.S. Government Securities            
  United States Treasury Note/Bond 3.125% 11/15/28 773,703   850,594 2.4%
  United States Treasury Note/Bond 2.375% 5/15/29 762,496   792,524 2.2%
  United States Treasury Note/Bond 1.625% 2/15/26 768,664   760,977 2.2%
  United States Treasury Note/Bond 1.500% 8/15/26 771,261   755,597 2.1%
  United States Treasury Note/Bond 2.625% 2/15/29 636,111   674,080 1.9%
  United States Treasury Note/Bond 2.250% 2/15/27 649,065   666,713 1.9%
  United States Treasury Note/Bond 1.625% 5/15/26 652,268   645,034 1.8%
  United States Treasury Note/Bond 2.875% 8/15/28 588,945   634,682 1.8%
  United States Treasury Note/Bond 1.625% 8/15/29 649,430   632,584 1.8%
  United States Treasury Note/Bond 2.375% 5/15/27 603,742   625,724 1.8%
  United States Treasury Note/Bond 1.750% 11/15/29 608,744   599,515 1.7%
  United States Treasury Note/Bond 2.875% 5/15/28 553,253   595,439 1.7%
  United States Treasury Note/Bond 2.250% 8/15/27 575,586   591,414 1.7%
  United States Treasury Note/Bond 2.125% 5/15/25 567,500   578,674 1.6%
  United States Treasury Note/Bond 2.750% 2/15/28 539,955   575,387 1.6%
  United States Treasury Note/Bond 2.250% 11/15/27 550,965   566,288 1.6%
  United States Treasury Note/Bond 2.000% 2/15/25 554,796   562,596 1.6%
  United States Treasury Note/Bond 2.000% 11/15/26 555,297   561,194 1.6%
  United States Treasury Note/Bond 2.000% 8/15/25 486,122   492,349 1.4%
  United States Treasury Note/Bond 1.625% 11/30/26 448,479   442,451 1.3%
  United States Treasury Note/Bond 1.375% 8/31/26 432,825   420,654 1.2%
  United States Treasury Note/Bond 2.750% 2/28/25 381,626   401,066 1.1%
  United States Treasury Note/Bond 2.500% 2/28/26 366,000   381,039 1.1%
  United States Treasury Note/Bond 2.875% 5/31/25 359,635   380,652 1.1%
  United States Treasury Note/Bond 2.125% 11/30/24 362,230   369,362 1.1%
  United States Treasury Note/Bond 2.125% 5/31/26 332,456   338,846 1.0%
  United States Treasury Note/Bond 2.250% 11/15/25 270,522   277,666 0.8%
  United States Treasury Note/Bond 2.500% 1/31/25 256,600   266,464 0.8%
  United States Treasury Note/Bond 2.375% 4/30/26 251,875   260,534 0.7%
  United States Treasury Note/Bond 2.625% 12/31/25 239,685   251,183 0.7%
  United States Treasury Note/Bond 2.250% 3/31/26 219,650   225,554 0.6%

 

30

 

 

Intermediate-Term Bond Index Fund

 

 

        Face   Market Percentage
      Maturity Amount   Value· of Net
    Coupon Date ($000)   ($000) Assets
  United States Treasury Note/Bond 2.750% 8/31/25 204,830   215,776 0.6%
  United States Treasury Note/Bond 2.875% 11/30/25 201,505   213,910 0.6%
  United States Treasury Note/Bond 2.625% 1/31/26 201,235   210,918 0.6%
  United States Treasury Note/Bond 2.625% 3/31/25 182,031   190,252 0.5%
  United States Treasury Note/Bond 1.875% 7/31/26 187,095   187,739 0.5%
  United States Treasury Note/Bond 3.000% 9/30/25 168,116   179,464 0.5%
  United States Treasury Note/Bond 1.875% 6/30/26 177,205   177,898 0.5%
  United States Treasury Note/Bond 1.625% 9/30/26 178,950   176,684 0.5%
  United States Treasury Note/Bond 1.625% 10/31/26 175,245   172,890 0.5%
  United States Treasury Note/Bond 2.250% 12/31/24 161,315   165,524 0.5%
  United States Treasury Note/Bond 1.750% 12/31/26 149,065   148,227 0.4%
  United States Treasury Note/Bond 3.000% 10/31/25 126,522   135,122 0.4%
  United States Treasury Note/Bond 2.875% 4/30/25 126,566   133,922 0.4%
  United States Treasury Note/Bond 2.875% 7/31/25 102,915   109,058 0.3%
  United States Treasury Note/Bond 2.750% 6/30/25 87,750   92,371 0.3%
  United States Treasury Note/Bond 2.250% 11/15/24 64,624   66,270 0.2%
  United States Treasury Note/Bond 1.625% 11/15/22 64,605   64,625 0.2%
  United States Treasury Note/Bond 1.750%–6.875% 12/31/24–2/15/29 152,754   178,696 0.5%
            18,996,182 53.9%
               
Agency Notes †         101,215 0.3%
Total U.S. Government and Agency Obligations (Cost $18,638,420)   19,097,397 54.2%
Corporate Bonds            
Finance            
  Banking            
1 Bank of America Corp. 3.419% 12/20/28 72,016   75,425 0.2%
1 Bank of America Corp. 2.884%–4.450% 1/22/25–10/22/30 346,439   370,205 1.1%
  Bank One Corp. 7.750%–8.000% 7/15/25–4/29/27 8,660   11,293 0.0%
1 JPMorgan Chase & Co. 2.739%–4.452% 1/23/25–10/15/30 344,931   366,933 1.0%
2 Banking—Other †         2,673,872 7.6%
  Brokerage †         195,257 0.6%
  Finance Companies †         110,048 0.3%
  Insurance †         578,454 1.6%
  Other Finance †         4,224 0.0%
  Real Estate Investment Trusts †         720,282 2.1%
            5,105,993 14.5%
Industrial            
2 Basic Industry †         411,953 1.2%
2 Capital Goods †         708,788 2.0%
2 Communication †         990,111 2.8%
  Consumer Cyclical †         1,018,963 2.9%
  Consumer Noncyclical            
  CVS Health Corp. 4.300% 3/25/28 73,986   80,634 0.2%
2 Consumer Noncyclical—Other †         2,239,829 6.4%
2 Energy †         1,270,305 3.6%
  Other Industrial †         31,826 0.1%
2 Technology †         1,325,837 3.7%
  Transportation †         311,916 0.9%
            8,390,162 23.8%

 

31

 

 

Intermediate-Term Bond Index Fund

 

      Market Percentage
      Value· of Net
      ($000) Assets
Utilities        
2     Electric †     671,446 1.9%
Natural Gas †     61,870 0.1%
Other Utility †       18,362 0.1%
      751,678 2.1%
Total Corporate Bonds (Cost $13,568,755)     14,247,833 40.4%
2Sovereign Bonds (Cost $1,499,724) †     1,554,212 4.4%
Taxable Municipal Bonds (Cost $79,065) †     81,037 0.2%
         
  Coupon Shares    
Temporary Cash Investment        
Money Market Fund        
3     Vanguard Market Liquidity Fund (Cost $192,687) 1.816% 1,926,694 192,689 0.5%
Total Investments (Cost $33,978,651)     35,173,168 99.7%
         
      Amount  
      ($000)  
Other Assets and Liabilities        
Other Assets        
Investment in Vanguard     1,575  
Receivables for Investment Securities Sold     256,305  
Receivables for Accrued Income     250,364  
Receivables for Capital Shares Issued     58,657  
Other Assets     150  
Total Other Assets     567,051 1.6%
Liabilities        
Payables for Investment Securities Purchased     (410,475)  
Payables for Capital Shares Redeemed     (39,386)  
Payables for Distributions     (7,823)  
Payables to Vanguard     (7,398)  
Other Liabilities     (37)  
Total Liabilities     (465,119) (1.3%)
Net Assets     35,275,100 100.0%
         
         
At December 31, 2019, net assets consisted of:        
         
        Amount
        ($000)
Paid-in Capital       34,273,314
Total Distributable Earnings (Loss)       1,001,786
Net Assets       35,275,100
         
Investor Shares—Net Assets        
Applicable to 13,808,159 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   163,136
Net Asset Value Per Share—Investor Shares       $11.81

 

32

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

 

 

 

 

  Amount
  ($000)
ETF Shares—Net Assets  
Applicable to 155,554,060 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 13,545,742
Net Asset Value Per Share—ETF Shares $87.08
   
Admiral Shares—Net Assets  
Applicable to 1,419,986,325 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 16,776,320
Net Asset Value Per Share—Admiral Shares $11.81
   
Institutional Shares—Net Assets  
Applicable to 267,334,447 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 3,158,390
Net Asset Value Per Share—Institutional Shares $11.81
   
Institutional Plus Shares—Net Assets  
Applicable to 138,094,643 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,631,512
Net Asset Value Per Share—Institutional Plus Shares $11.81

 

· See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $500,882,000, representing 1.4% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

33

 

 

Intermediate-Term Bond Index Fund

 

 

Statement of Operations

 

 

  Year Ended
  December 31, 2019
  ($000)
Investment Income  
Income  
Interest1 934,069
Total Income 934,069
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,114
Management and Administrative—Investor Shares 752
Management and Administrative—ETF Shares 4,722
Management and Administrative—Admiral Shares 8,766
Management and Administrative—Institutional Shares 1,314
Management and Administrative—Institutional Plus Shares 580
Marketing and Distribution—Investor Shares 63
Marketing and Distribution—ETF Shares 569
Marketing and Distribution—Admiral Shares 946
Marketing and Distribution—Institutional Shares 109
Marketing and Distribution—Institutional Plus Shares 24
Custodian Fees 96
Auditing Fees 44
Shareholders’ Reports—Investor Shares 116
Shareholders’ Reports—ETF Shares 469
Shareholders’ Reports—Admiral Shares 130
Shareholders’ Reports—Institutional Shares 11
Shareholders’ Reports—Institutional Plus Shares 48
Trustees’ Fees and Expenses 17
Total Expenses 19,890
Expenses Paid Indirectly (74)
Net Expenses 19,816
Net Investment Income 914,253
Realized Net Gain (Loss) on Investment Securities Sold1,2 199,926
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 1,979,993
Net Increase (Decrease) in Net Assets Resulting from Operations 3,094,172

 

1

Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,295,000, $36,000, and ($9,000), respectively. Purchases and sales are for temporary cash investment purposes.

 

2 Includes $50,214,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

34

 

 

Intermediate-Term Bond Index Fund

 

 

Statement of Changes in Net Assets

 

  Year Ended December 31,
  2019 2018
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 914,253 941,350
Realized Net Gain (Loss) 199,926 (400,478)
Change in Unrealized Appreciation (Depreciation) 1,979,993 (654,571)
Net Increase (Decrease) in Net Assets Resulting from Operations 3,094,172 (113,699)
Distributions    
Net Investment Income    
Investor Shares (17,578) (32,457)
ETF Shares (346,627) (396,012)
Admiral Shares (412,439) (370,520)
Institutional Shares (86,862) (88,192)
Institutional Plus Shares (50,777) (52,353)
Realized Capital Gain    
Investor Shares
ETF Shares
Admiral Shares
Institutional Shares
Institutional Plus Shares
Total Distributions (914,283) (939,534)
Capital Share Transactions    
Investor Shares (931,957) (229,614)
ETF Shares (41,131) (2,083,410)
Admiral Shares 2,981,608 (249,301)
Institutional Shares (5,763) (80,194)
Institutional Plus Shares (251,254) 161,340
Net Increase (Decrease) from Capital Share Transactions 1,751,503 (2,481,179)
Total Increase (Decrease) 3,931,392 (3,534,412)
Net Assets    
Beginning of Period 31,343,708 34,878,120
End of Period 35,275,100 31,343,708

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

35

 

 

Intermediate-Term Bond Index Fund

 

 

Financial Highlights

 

 

Investor Shares

 

For a Share Outstanding   Year Ended December 31,
Throughout Each Period 2019 2018 2017 2016 2015
Net Asset Value, Beginning of Period $11.02 $11.36 $11.24 $11.26 $11.46
Investment Operations          
Net Investment Income .3161 .3061 .2891 .289 .302
Net Realized and Unrealized Gain (Loss) on Investments .787 (.340) .132 .025 (.162)
Total from Investment Operations 1.103 (.034) .421 .314 .140
Distributions          
Dividends from Net Investment Income (.313) (.306) (.290) (.289) (.302)
Distributions from Realized Capital Gains (.011) (.045) (.038)
Total Distributions (.313) (.306) (.301) (.334) (.340)
Net Asset Value, End of Period $11.81 $11.02 $11.36 $11.24 $11.26
           
Total Return2 10.09% -0.25% 3.76% 2.75% 1.21%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $163 $1,037 $1,307 $1,472 $1,397
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets 2.78% 2.79% 2.54% 2.48% 2.62%
Portfolio Turnover Rate3 50% 53% 55% 57% 51%

 

1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

36

 

 

Intermediate-Term Bond Index Fund

 

 

Financial Highlights

 

 

ETF Shares          
           
For a Share Outstanding Year Ended December 31,
Throughout Each Period 2019 2018 2017 2016 2015
Net Asset Value, Beginning of Period $81.27 $83.73 $82.86 $82.95 $84.41
Investment Operations          
Net Investment Income 2.3921 2.3201 2.1991 2.163 2.227
Net Realized and Unrealized Gain (Loss) on Investments 5.816 (2.442) .925 .244 (1.177)
Total from Investment Operations 8.208 (.122) 3.124 2.407 1.050
Distributions          
Dividends from Net Investment Income (2.398) (2.338) (2.174) (2.163) (2.227)
Distributions from Realized Capital Gains (.080) (.334) (.283)
Total Distributions (2.398) (2.338) (2.254) (2.497) (2.510)
Net Asset Value, End of Period $87.08 $81.27 $83.73 $82.86 $82.95
           
Total Return 10.19% -0.09% 3.80% 2.86% 1.23%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $13,546 $12,772 $15,328 $11,241 $7,569
Ratio of Total Expenses to Average Net Assets 0.05% 0.07% 0.07% 0.07% 0.09%
Ratio of Net Investment Income to Average Net Assets 2.80% 2.87% 2.62% 2.56% 2.69%
Portfolio Turnover Rate2 50% 53% 55% 57% 51%

 

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

37

 

 

Intermediate-Term Bond Index Fund

 

 

Financial Highlights

 

 

Admiral Shares

 

For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $11.02 $11.36 $11.24 $11.26 $11.46  
Investment Operations            
Net Investment Income .3221 .3151 .2981 .299 .309  
Net Realized and Unrealized Gain (Loss) on Investments .790 (.341) .132 .025 (.162)  
Total from Investment Operations 1.112 (.026) .430 .324 .147  
Distributions            
Dividends from Net Investment Income (.322) (.314) (.299) (.299) (.309)  
Distributions from Realized Capital Gains (.011) (.045) (.038)  
Total Distributions (.322) (.314) (.310) (.344) (.347)  
Net Asset Value, End of Period $11.81 $11.02 $11.36 $11.24 $11.26  
             
Total Return2 10.18% -0.17% 3.85% 2.83% 1.27%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $16,776 $12,830 $13,477 $11,954 $10,061  
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.09%  
Ratio of Net Investment Income to            
Average Net Assets 2.78% 2.87% 2.62% 2.56% 2.69%  
Portfolio Turnover Rate3 50% 53% 55% 57% 51%  

 

1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

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Intermediate-Term Bond Index Fund

 

 

Financial Highlights

 

 

Institutional Shares

 

For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $11.02 $11.36 $11.24 $11.26 $11.46  
Investment Operations            
Net Investment Income .3251 .3171 .3011 .301 .313  
Net Realized and Unrealized Gain (Loss) on Investments .790 (.340) .131 .025 (.162)  
Total from Investment Operations 1.115 (.023) .432 .326 .151  
Distributions            
Dividends from Net Investment Income (.325) (.317) (.301) (.301) (.313)  
Distributions from Realized Capital Gains (.011) (.045) (.038)  
Total Distributions (.325) (.317) (.312) (.346) (.351)  
Net Asset Value, End of Period $11.81 $11.02 $11.36 $11.24 $11.26  
             
Total Return 10.20% -0.15% 3.87% 2.85% 1.31%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,158 $2,952 $3,127 $2,626 $2,399  
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06%  
Ratio of Net Investment Income to Average Net Assets 2.81% 2.89% 2.64% 2.58% 2.72%  
Portfolio Turnover Rate2 50% 53% 55% 57% 51%  

 

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

39

 

 

Intermediate-Term Bond Index Fund

 

 

Financial Highlights

 

 

Institutional Plus Shares

 

For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $11.02 $11.36 $11.24 $11.26 $11.46  
Investment Operations            
Net Investment Income .3261 .3191 .3021 .302 .315  
Net Realized and Unrealized Gain (Loss) on Investments .790 (.341) .131 .025 (.162)  
Total from Investment Operations 1.116 (.022) .433 .327 .153  
Distributions            
Dividends from Net Investment Income (.326) (.318) (.302) (.302) (.315)  
Distributions from Realized Capital Gains (.011) (.045) (.038)  
Total Distributions (.326) (.318) (.313) (.347) (.353)  
Net Asset Value, End of Period $11.81 $11.02 $11.36 $11.24 $11.26  
             
Total Return 10.21% -0.14% 3.88% 2.86% 1.33%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,632 $1,752 $1,640 $1,478 $1,057  
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.04% 0.04% 0.04%  
Ratio of Net Investment Income to Average Net Assets 2.83% 2.90% 2.65% 2.59% 2.74%  
Portfolio Turnover Rate2 50% 53% 55% 57% 51%  

 

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

40

 

 

Intermediate-Term Bond Index Fund

 

 

Notes to Financial Statements

 

 

Vanguard Intermediate-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

 

A.   The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

 

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

 

4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn

 

41

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

 

 

amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

 

5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

 

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

 

B.   In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $1,575,000, representing less than 0.01% of the fund’s net assets and 0.63% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

C.   The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $74,000 (an annual rate of less than 0.01% of average net assets).

 

42

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

 

 

D.   Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

 

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations 19,097,397
Corporate Bonds 14,247,833
Sovereign Bonds 1,554,212
Taxable Municipal Bonds 81,037
Temporary Cash Investments 192,689
Total 192,689 34,980,479

 

E.   Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

 

  Amount
  ($000)
Paid-in Capital 50,214
Total Distributable Earnings (Loss) (50,214)

 

43

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

 

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount
  ($000)
Undistributed Ordinary Income 6,303
Undistributed Long-Term Gains
Capital Loss Carryforwards (Non-expiring)* (192,723)
Net Unrealized Gains (Losses) 1,194,517

 

* The fund used capital loss carryforwards of $149,712,000 to offset taxable capital gains realized during the year ended December 31, 2019.

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

  Amount
  ($000)
Tax Cost 33,978,651
Gross Unrealized Appreciation 1,287,563
Gross Unrealized Depreciation (93,046)
Net Unrealized Appreciation (Depreciation) 1,194,517

 

F.   During the year ended December 31, 2019, the fund purchased $6,232,418,000 of investment securities and sold $5,940,551,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $14,921,014,000 and $13,462,347,000, respectively. Total purchases and sales include $3,087,059,000 and $3,126,378,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $589,365,000 and $9,696,362,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

 

44

 

 

Intermediate-Term Bond Index Fund

 

 

 

 

 

 

G.   Capital share transactions for each class of shares were:

 

        Year Ended December 31,
    2019     2018
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 247,548 21,388   202,296 18,386
Issued in Lieu of Cash Distributions 14,595 1,277   29,983 2,734
Redeemed1 (1,194,100) (102,949)   (461,893) (42,119)
Net Increase (Decrease)—Investor Shares (931,957) (80,284)   (229,614) (20,999)
ETF Shares          
Issued 3,131,082 36,400   958,318 11,800
Issued in Lieu of Cash Distributions  
Redeemed (3,172,213) (38,000)   (3,041,728) (37,700)
Net Increase (Decrease)—ETF Shares (41,131) (1,600)   (2,083,410) (25,900)
Admiral Shares          
Issued1 5,574,117 480,860   3,278,156 298,204
Issued in Lieu of Cash Distributions 353,655 30,408   319,890 29,173
Redeemed (2,946,164) (255,042)   (3,847,347) (350,354)
Net Increase (Decrease)—Admiral Shares 2,981,608 256,226   (249,301) (22,977)
Institutional Shares          
Issued 838,573 72,508   749,107 68,102
Issued in Lieu of Cash Distributions 78,689 6,775   79,163 7,220
Redeemed (923,025) (79,700)   (908,464) (82,937)
Net Increase (Decrease)—Institutional Shares (5,763) (417)   (80,194) (7,615)
Institutional Plus Shares          
Issued 279,350 24,741   332,293 30,102
Issued in Lieu of Cash Distributions 24,167 2,089   26,945 2,458
Redeemed (554,771) (47,665)   (197,898) (18,003)
Net Increase (Decrease)—Institutional Plus Shares (251,254) (20,835)   161,340 14,557

 

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 76,881,000 and 76,885,000 shares, respectively, in the amount of $893,324,000 from the conversion during the year ended December 31, 2019.

 

 

H.   Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

 

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Long-Term Bond Index Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

 

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

 

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Long-Term Bond Index Fund ETF Shares Net Asset Value 19.09% 5.35% 7.55% $20,704
  Long-Term Bond Index Fund ETF Shares Market Price 18.98 5.30 7.56 20,720
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index 19.59 5.42 7.59 20,786
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to ETF Shares. The Fiscal-Year Total Returns chart is not adjusted for fees.

 

See Financial Highlights for dividend and capital gains information.

 

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Long-Term Bond Index Fund

 

 

 

 

 

 

  Total Returns  
  Period Ended December 31, 2019  
  Since Final Value
  Inception of a $10,000
  (2/7/2019) Investment
Long-Term Bond Index Fund Admiral Shares 15.85% $11,585
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index 16.60 11,660
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 7.66 10,766

“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).

 

 

 

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Long-Term Bond Index Fund Institutional Shares 18.53% 5.27% 7.54% $10,339,454
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index 19.59 5.42 7.59 10,393,027
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 7,242,955
         
         
         
         
      Since Final Value
  One Five Inception of a $100,000,000
  Year Years (10/6/2011) Investment
Long-Term Bond Index Fund Institutional Plus Shares 18.54% 5.28% 5.78% $158,835,029
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index 19.59 5.42 5.81 159,237,062
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.03 127,839,500

“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).

 

 

 

 

 

 

 

 

 

 

 

Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns chart is not adjusted for fees.

 

47

 

 

Long-Term Bond Index Fund

 

 

 

 

 

 

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019

 

  One Five Ten
  Year Years Years
Long-Term Bond Index Fund ETF Shares Market Price 18.98% 29.46% 107.20%
Long-Term Bond Index Fund ETF Shares Net Asset Value 19.09 29.76 107.04
Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index 19.59 30.18 107.86

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Vanguard fund returns are adjusted to reflect the 0.50% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns chart is not adjusted for fees.

 

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Long-Term Bond Index Fund

 

 

Sector Diversification

As of December 31, 2019

 

Finance 8.6%
Foreign 4.5
Industrial 34.8
Treasury/Agency 42.6
Utilities 6.1
Other 3.4

 

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

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Long-Term Bond Index Fund

 

Financial Statements

 

Statement of Net Assets—Investments Summary

As of December 31, 2019

 

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

 

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

    Face Market Percentage
    Maturity Amount Value· of Net
  Coupon Date ($000) ($000) Assets
U.S. Government and Agency Obligations
U.S. Government Securities          
United States Treasury Note/Bond 3.125% 8/15/44 178,003 202,589 1.6%
United States Treasury Note/Bond 3.000% 2/15/49 176,486 199,097 1.6%
United States Treasury Note/Bond 3.000% 8/15/48 165,935 186,910 1.5%
United States Treasury Note/Bond 3.375% 11/15/48 151,671 182,977 1.5%
United States Treasury Note/Bond 2.875% 5/15/49 149,270 164,594 1.3%
United States Treasury Note/Bond 3.625% 2/15/44 126,564 155,634 1.3%
United States Treasury Note/Bond 2.250% 8/15/49 158,873 154,181 1.2%
United States Treasury Note/Bond 3.000% 5/15/45 137,460 153,569 1.2%
United States Treasury Note/Bond 2.875% 11/15/46 136,964 150,254 1.2%
United States Treasury Note/Bond 2.750% 8/15/47 132,996 142,638 1.2%
United States Treasury Note/Bond 3.000% 2/15/48 125,720 141,317 1.1%
United States Treasury Note/Bond 2.875% 8/15/45 128,362 140,356 1.1%
United States Treasury Note/Bond 3.375% 5/15/44 118,037 139,745 1.1%
United States Treasury Note/Bond 3.000% 2/15/47 123,644 138,945 1.1%
United States Treasury Note/Bond 2.875% 5/15/43 124,375 135,569 1.1%
United States Treasury Note/Bond 2.750% 11/15/47 123,746 132,697 1.1%
United States Treasury Note/Bond 3.750% 11/15/43 105,915 132,509 1.1%
United States Treasury Note/Bond 3.125% 5/15/48 113,086 130,191 1.1%
United States Treasury Note/Bond 3.625% 8/15/43 104,785 128,542 1.0%
United States Treasury Note/Bond 2.375% 11/15/49 127,325 126,947 1.0%
United States Treasury Note/Bond 3.000% 11/15/44 109,496 122,122 1.0%
United States Treasury Note/Bond 2.500% 2/15/45 116,042 118,489 1.0%
United States Treasury Note/Bond 3.000% 5/15/47 104,486 117,384 1.0%
United States Treasury Note/Bond 2.250% 8/15/46 113,624 110,445 0.9%
United States Treasury Note/Bond 3.000% 11/15/45 97,150 108,687 0.9%
United States Treasury Note/Bond 2.500% 5/15/46 106,406 108,650 0.9%
United States Treasury Note/Bond 3.125% 2/15/43 89,415 101,431 0.8%
United States Treasury Note/Bond 2.750% 11/15/42 86,703 92,555 0.8%
United States Treasury Note/Bond 4.625% 2/15/40 64,061 88,575 0.7%
United States Treasury Note/Bond 2.500% 2/15/46 73,547 75,110 0.6%

 

50

 

 

Long-Term Bond Index Fund

 

      Face Market Percentage
    Maturity Amount Value· of Net
  Coupon Date ($000) ($000) Assets
United States Treasury Note/Bond 4.375% 5/15/40 54,098 72,635 0.6%
United States Treasury Note/Bond 4.750% 2/15/41 51,180 72,212 0.6%
United States Treasury Note/Bond 2.750% 8/15/42 63,163 67,456 0.5%
United States Treasury Note/Bond 4.250% 11/15/40 50,200 66,460 0.5%
United States Treasury Note/Bond 3.125% 2/15/42 55,952 63,479 0.5%
United States Treasury Note/Bond 4.375% 5/15/41 42,045 56,688 0.5%
United States Treasury Note/Bond 3.750% 8/15/41 44,470 55,212 0.4%
United States Treasury Note/Bond 4.375% 11/15/39 41,100 54,997 0.4%
United States Treasury Note/Bond 4.500% 8/15/39 39,671 53,841 0.4%
United States Treasury Note/Bond 3.000% 5/15/42 47,225 52,552 0.4%
United States Treasury Note/Bond 4.500% 2/15/36 39,455 52,334 0.4%
United States Treasury Note/Bond 3.875% 8/15/40 41,265 52,013 0.4%
United States Treasury Note/Bond 6.250% 5/15/30 36,845 51,790 0.4%
United States Treasury Note/Bond 3.125% 11/15/41 44,477 50,461 0.4%
United States Treasury Note/Bond 4.250% 5/15/39 36,392 47,889 0.4%
United States Treasury Note/Bond 3.500% 2/15/39 37,527 44,980 0.4%
United States Treasury Note/Bond 5.375% 2/15/31 27,060 36,303 0.3%
United States Treasury Note/Bond 1.750%–5.000% 11/15/29–5/15/38 43,512 56,771 0.5%
        5,090,782 41.0%

 

Agency Bonds and Notes          
1 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 21,052 30,236 0.2%
  Agency Bonds and Notes—Other †     143,087 1.2%
        173,323 1.4%
Total U.S. Government and Agency Obligations (Cost $4,783,996)   5,264,105 42.4%
Corporate Bonds  
Finance          
  Banking †       532,453 4.3%
  Brokerage †       26,034 0.2%
  Finance Companies          
  GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35 34,106 36,230 0.3%
  Finance Companies—Other †     1,007 0.0%
  Insurance          
  Berkshire Hathaway Finance Corp. 4.200%–5.750% 1/15/40–1/15/49 22,878 27,345 0.2%
  Berkshire Hathaway Inc. 4.500% 2/11/43 2,110 2,565 0.0%
  Insurance—Other †       350,348 2.8%
  Real Estate Investment Trusts †     73,348 0.6%
        1,049,330 8.4%
Industrial          
  Basic Industry          
  Lubrizol Corp. 6.500% 10/1/34 675 941 0.0%
  Basic Industry—Other †       241,921 2.0%
  Capital Goods          
  Precision Castparts Corp. 3.900%–4.375% 1/15/43–6/15/45 2,374 2,700 0.0%
  Capital Goods—Other †       304,989 2.5%
  Communication          
  AT&T Inc. 4.300%–6.375% 2/15/30–8/15/58 154,041 178,460 1.4%
  Comcast Corp. 2.650%–7.050% 2/1/30–10/15/58 121,257 142,151 1.2%

 

51

 

 

Long-Term Bond Index Fund

        Face Market Percentage
      Maturity Amount Value· of Net
    Coupon Date ($000) ($000) Assets
  NBCUniversal Media LLC 4.450%–6.400% 4/30/40–1/15/43 8,670 11,228 0.1%
2 Communication—Other †     526,810 4.2%
2 Consumer Cyclical †       365,947 3.0%
  Consumer Noncyclical          
  Anheuser-Busch Cos.LLC / Anheuser-Busch InBev World wide Inc. 4.900% 2/1/46 29,444 34,866 0.3%
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 4.700% 2/1/36 19,289 22,245 0.2%
  Anheuser-Busch InBev Finance Inc. 4.000%–4.900% 2/1/36–2/1/46 18,089 20,614 0.2%
  Anheuser-Busch InBev Worldwide Inc. 3.750%–8.200% 1/23/31–1/23/59 57,116 69,124 0.5%
2 Consumer Noncyclical—Other †     1,039,349 8.4%
2 Energy †       650,693 5.2%
  Other Industrial †       41,716 0.3%
2 Technology †       435,406 3.5%
  Transportation          
  Burlington Northern Santa Fe LLC 3.550%–6.200% 8/15/36–2/15/50 41,386 49,437 0.4%
2 Transportation—Other †       176,525 1.4%
          4,315,122 34.8%
Utilities          
  Electric          
  Berkshire Hathaway Energy Co. 3.800%–6.125% 4/1/36–1/15/49 16,976 21,401 0.2%
  MidAmerican Energy Co. 3.650%–6.750% 12/30/31–7/15/49 12,974 15,458 0.1%
  Nevada Power Co. 6.650%–6.750% 4/1/36–7/1/37 1,745 2,431 0.0%
  PacifiCorp 4.100%–7.700% 11/15/31–2/15/50 15,227 19,529 0.2%
  Electric—Other †       611,304 4.9%
  Natural Gas †       59,522 0.5%
  Other Utility †       15,705 0.1%
          745,350 6.0%
Total Corporate Bonds (Cost $5,415,623)     6,109,802 49.2%
Sovereign Bonds  
2 Petroleos Mexicanos 5.500%–7.690% 1/23/30–1/23/50 92,585 94,201 0.8%
3 United Mexican States 4.350%–8.300% 8/15/31–10/12/10 78,135 92,079 0.7%
  Sovereign Bonds—Other †     328,240 2.7%
Total Sovereign Bonds (Cost $467,009)     514,520 4.2%
Taxable Municipal Bonds ($339,452) †     413,152 3.3%
     
        Shares    
Temporary Cash Investment
Money Market Fund          
4 Vanguard Market Liquidity Fund (Cost $25,308) 1.816%   253,053 25,308 0.2%
Total Investments (Cost $11,031,388)     12,326,887 99.3%

 

52

 

 

Long-Term Bond Index Fund

 

    Percentage
  Amount of Net
  ($000) Assets
Other Assets and Liabilities
Other Assets    
Investment in Vanguard 574  
Receivables for Investment Securities Sold 35,019  
Receivables for Accrued Income 115,776  
Receivables for Capital Shares Issued 1,736  
Other Assets 26  
Total Other Assets 153,131 1.2%
Liabilities    
Payables for Investment Securities Purchased (33,585)  
Payables for Capital Shares Redeemed (29,183)  
Payables for Distributions (2,362)  
Payables to Vanguard (2,762)  
Other Liabilities (189)  
Total Liabilities (68,081) (0.5%)
Net Assets 12,411,937 100.0%

 

 

At December 31, 2019, net assets consisted of:    
    Amount
    ($000)
Paid-in Capital   11,085,396
Total Distributable Earnings (Loss)   1,326,541
Net Assets   12,411,937
 
ETF Shares—Net Assets
Applicable to 43,600,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   4,356,717
Net Asset Value Per Share—ETF Shares   $99.92
     
Admiral Shares—Net Assets
Applicable to 197,532,861 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   2,997,821
Net Asset Value Per Share—Admiral Shares   $15.18
 
Institutional Shares—Net Assets
Applicable to 138,193,090 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   2,097,142
Net Asset Value Per Share—Institutional Shares   $15.18

 

53

 

 

Long-Term Bond Index Fund

 

 

 

  Amount
  ($000)
Institutional Plus Shares—Net Assets
Applicable to 195,067,405 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 2,960,257
Net Asset Value Per Share—Institutional Plus Shares $15.18

 

See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $164,716,000, representing 1.3% of net assets.
3 Certain of the fund’s securities average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements. 

 

54

 

 

Long-Term Bond Index Fund

 

 

Statement of Operations

 

 

  Year Ended
    December 31, 2019
  ($000)
Investment Income
Income
Interest1 439,512
Total Income 439,512
Expenses
The Vanguard Group—Note B
Investment Advisory Services 410
Management and Administrative—Investor Shares 1,518
Management and Administrative—ETF Shares 1,259
Management and Administrative—Admiral Shares 1,165
Management and Administrative—Institutional Shares 1,111
Management and Administrative—Institutional Plus Shares 946
Marketing and Distribution—Investor Shares 106
Marketing and Distribution—ETF Shares 217
Marketing and Distribution—Admiral Shares 54
Marketing and Distribution—Institutional Shares 93
Marketing and Distribution—Institutional Plus Shares 46
Custodian Fees 57
Auditing Fees 43
Shareholders’ Reports—Investor Shares 44
Shareholders’ Reports—ETF Shares 171
Shareholders’ Reports—Admiral Shares 17
Shareholders’ Reports—Institutional Shares 4
Shareholders’ Reports—Institutional Plus Shares 53
Trustees’ Fees and Expenses 6
Total Expenses 7,320
Expenses Paid Indirectly (56)
Net Expenses 7,264
Net Investment Income 432,248
Realized Net Gain (Loss)  
Investment Securities Sold1,2 266,846
Futures Contracts 141
Realized Net Gain (Loss) 266,987
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 1,373,478
Net Increase (Decrease) in Net Assets Resulting from Operations 2,072,713

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $627,000, $8,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $142,714,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

55

 

 

Long-Term Bond Index Fund

 

 

Statement of Changes in Net Assets

 

 

  Year Ended December 31,
  2019 2018
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 432,248 413,914
Realized Net Gain (Loss) 266,987 (52,106)
Change in Unrealized Appreciation (Depreciation) 1,373,478 (873,202)
Net Increase (Decrease) in Net Assets Resulting from Operations 2,072,713 (511,394)
Distributions    
Net Investment Income    
Investor Shares (42,972) (109,539)
ETF Shares (124,982) (87,045)
Admiral Shares (64,434)
Institutional Shares (94,962) (96,586)
Institutional Plus Shares (104,576) (120,421)
Realized Capital Gain1    
Investor Shares (4,585)
ETF Shares (7,379) (3,499)
Admiral Shares (5,186)
Institutional Shares (3,595) (3,680)
Institutional Plus Shares (5,070) (4,795)
Total Distributions (453,156) (430,150)
Capital Share Transactions    
Investor Shares (2,988,972) 19,426
ETF Shares 1,218,350 519,724
Admiral Shares 2,765,988
Institutional Shares (996,587) 363,304
Institutional Plus Shares (400,705) (72,357)
Net Increase (Decrease) from Capital Share Transactions (401,926) 830,097
Total Increase (Decrease) 1,217,631 (111,447)
Net Assets    
Beginning of Period 11,194,306 11,305,753
End of Period 12,411,937 11,194,306

 

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $21,230,000 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

56

 

 

Long-Term Bond Index Fund

 

 

Financial Highlights

 

 

Investor Shares

 

  Jan. 1,    
  2019, to    
  Nov. 7, Year Ended December 31,
For a Share Outstanding Throughout Each Period 20191 2018 2017 2016 2015
Net Asset Value, Beginning of Period $13.23 $14.42 $13.51 $13.20 $14.26
Investment Operations
Net Investment Income .4402 .5152 .5192 .529 .546
Net Realized and Unrealized Gain (Loss) on Investments 1.795 (1.168) .910 .333 (1.025)
Total from Investment Operations 2.235 (.653) 1.429 .862 (.479)
Distributions
Dividends from Net Investment Income (.435) (.515) (.519) (.529) (.546)
Distributions from Realized Capital Gains (.022) (.023) (.035)
Total Distributions (.435) (.537) (.519) (.552) (.581)
Net Asset Value, End of Period $15.031 $13.23 $14.42 $13.51 $13.20
           
Total Return3 17.06%4 -4.51% 10.76% 6.41% -3.47%
 
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $2,808 $3,047 $2,595 $2,415
Ratio of Total Expenses to Average Net Assets 0.15%5 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets 3.78%5 3.85% 3.71% 3.72% 3.95%
Portfolio Turnover Rate6 33%7 38% 41% 45% 42%

1 Net asset value as of November 7, 2019, on which date the remaining Investor Shares were converted to Admiral Shares.
2 Calculated based on average shares outstanding.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4 Total return does not include transaction fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction fees.
5 Annualized.
6 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
7 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2019.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

57

 

 

Long-Term Bond Index Fund

 

 

Financial Highlights

 

 

ETF Shares      
       
For a Share Outstanding Year Ended December 31,
Throughout Each Period 2019 2018 2017 2016 2015
Net Asset Value, Beginning of Period $87.08 $94.91 $88.86 $86.80 $93.73
Investment Operations
Net Investment Income 3.4451 3.4611 3.4871 3.558 3.565
Net Realized and Unrealized Gain (Loss) on Investments 12.976 (7.728) 6.019 2.212 (6.700)
Total from Investment Operations 16.421 (4.267) 9.506 5.770 (3.135)
Distributions
Dividends from Net Investment Income (3.409) (3.420) (3.456) (3.558) (3.565)
Distributions from Realized Capital Gains (.172) (.143) (.152) (.230)
Total Distributions (3.581) (3.563) (3.456) (3.710) (3.795)
Net Asset Value, End of Period $99.92 $87.08 $94.91 $88.86 $86.80
           
Total Return 19.09%

 -4.46%

10.89% 6.53% -3.45%
 
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $4,357 $2,708 $2,392 $1,671 $1,693
Ratio of Total Expenses to Average Net Assets 0.05% 0.07% 0.07% 0.07% 0.09%
Ratio of Net Investment Income to Average Net Assets 3.58% 3.93% 3.79% 3.80% 4.02%
Portfolio Turnover Rate2 33% 38% 41% 45% 42%

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

58

 

 

Long-Term Bond Index Fund

 

 

Financial Highlights

 

 

Admiral Shares      
    February 7, 20191 to  
For a Share Outstanding Throughout the Period   December 31, 2019  
Net Asset Value, Beginning of Period   $13.48  
Investment Operations      
Net Investment Income2   .465  
Net Realized and Unrealized Gain (Loss) on Investments   1.728  
Total from Investment Operations   2.193  
Distributions      
Dividends from Net Investment Income   (.467 )
Distributions from Realized Capital Gains   (.026 )
Total Distributions   (.493 )
Net Asset Value, End of Period   $15.18  
       
Total Return3   16.43%
       
Ratios/Supplemental Data      
Net Assets, End of Period (Millions)   $2,998  
Ratio of Total Expenses to Average Net Assets   0.07%4
Ratio of Net Investment Income to Average Net Assets   3.44%4
Portfolio Turnover Rate5   33%6

 

1 Inception.
2 Calculated based on average shares outstanding.
3 Total return does not include transaction or account service fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction and account service fees.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
6 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2019.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

59

 

 

Long-Term Bond Index Fund

 

 

Financial Highlights

 

 

Institutional Shares                    
                     
For a Share Outstanding Year Ended December 31,     
Throughout Each Period 2019      2018     2017     2016     2015     
Net Asset Value, Beginning of Period $13.23      $14.42     $13.51     $13.20     $14.26     
Investment Operations                    
Net Investment Income .525 1 .529 1 .533 1 .544   .560  
Net Realized and Unrealized Gain (Loss) on Investments 1.975   (1.169 ) .910   .333   (1.025 )
Total from Investment Operations 2.500   (.640 ) 1.443   .877   (.465 )
Distributions                    
Dividends from Net Investment Income (.524 ) (.528 ) (.533 ) (.544 ) (.560 )
Distributions from Realized Capital Gains (.026 ) (.022 )   (.023 ) (.035 )
Total Distributions (.550 ) (.550 ) (.533 ) (.567 ) (.595 )
Net Asset Value, End of Period $15.18     $13.23     $14.42     $13.51     $13.20    
                     
Total Return 19.12%2   -4.41%   10.87%   6.51%     -3.37%  
                     
Ratios/Supplemental Data                    
Net Assets, End of Period (Millions) $2,097     $2,706     $2,552     $2,216     $2,174    
Ratio of Total Expenses to Average Net Assets 0.05%   0.05%   0.05%     0.05%     0.06%  
Ratio of Net Investment Income to Average Net Assets 3.64%   3.95%   3.81%   3.82%   4.05%  
Portfolio Turnover Rate3 33%   38%   41%   45%   42%  

 

1 Calculated based on average shares outstanding.
2 Total return does not include transaction fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

60

 

 

Long-Term Bond Index Fund

 

 

Financial Highlights

 

 

Institutional Plus Shares                    
                     
For a Share Outstanding Year Ended December 31,  
Throughout Each Period 2019   2018   2017   2016   2015  
Net Asset Value, Beginning of Period $13.23   $14.42   $13.51   $13.20   $14.26  
Investment Operations                    
Net Investment Income .526 1 .530 1 .535 1 .545   .563  
Net Realized and Unrealized Gain (Loss) on Investments 1.975   (1.168 ) .910   .333   (1.025 )
Total from Investment Operations 2.501   (.638 ) 1.445   .878   (.462 )
Distributions                    
Dividends from Net Investment Income (.525 ) (.530 ) (.535 ) (.545 ) (.563 )
Distributions from Realized Capital Gains (.026 ) (.022 )   (.023 ) (.035 )
Total Distributions (.551 ) (.552 ) (.535 ) (.568 ) (.598 )
Net Asset Value, End of Period $15.18   $13.23   $14.42   $13.51   $13.20  
                     
Total Return 19.14%2   -4.40%   10.88%   6.52%   -3.35%  
                     
Ratios/Supplemental Data                    
Net Assets, End of Period (Millions) $2,960   $2,972   $3,315   $2,745   $2,533  
Ratio of Total Expenses to Average Net Assets 0.04%   0.04%   0.04%   0.04%   0.04%  
Ratio of Net Investment Income to Average Net Assets 3.63%   3.96%   3.82%   3.83%   4.07%  
Portfolio Turnover Rate3 33%   38%   41%   45%   42%  

 

1 Calculated based on average shares outstanding.
2 Total return does not include transaction fees that may have applied in the period shown. Fund prospectuses provide information about any applicable transaction fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

61

 

 

Long-Term Bond Index Fund

 

 

Notes to Financial Statements

 

 

Vanguard Long-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers four classes of shares: ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares were issued on February 7, 2019. Prior to November 7, 2019, the fund offered Investor Shares. Effective at the close of business on November 7, 2019, the remaining Investor Shares were converted to Admiral Shares.

 

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

 

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

 

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at December 31, 2019.

 

62

 

 

Long-Term Bond Index Fund

 

 

 

 

 

 

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

4. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

 

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

 

6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on capital share transactions are credited to paid-in capital.

 

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

 

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

 

63

 

 

Long-Term Bond Index Fund

 

 

 

 

 

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $574,000, representing less than 0.01% of the fund’s net assets and 0.23% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $56,000 (an annual rate of less than 0.01% of average net assets).

 

D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

 

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

 

      Level 1       Level 2       Level 3  
Investments   ($000 )   ($000 )   ($000 )
U.S. Government and Agency Obligations           5,264,105        
Corporate Bonds           6,109,802        
Sovereign Bonds           514,520        
Taxable Municipal Bonds           413,152        
Temporary Cash Investments     25,308              
Total     25,308       12,301,579        

 

E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts:

 

      Amount  
    ($000 )
Paid-in Capital     145,348  
Total Distributable Earnings (Loss)     (145,348 )

 

64

 

 

Long-Term Bond Index Fund

 

 

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

      Amount  
    ($000 )
Undistributed Ordinary Income     12,624  
Undistributed Long-Term Gains     20,839  
Capital Loss Carryforwards (Non-expiring)*      
Net Unrealized Gains (Losses)     1,295,499  

 

* The fund used capital loss carryforwards of $69,091,000 to offset taxable capital gains realized during the year ended December 31, 2019.

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

      Amount  
    ($000 )
Tax Cost     11,031,388  
Gross Unrealized Appreciation     1,333,007  
Gross Unrealized Depreciation     (37,508 )
Net Unrealized Appreciation (Depreciation)     1,295,499  

 

 

F. During the year ended December 31, 2019, the fund purchased $2,757,836,000 of investment securities and sold $3,072,389,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,572,213,000 and $3,668,589,000, respectively. Total purchases and sales include $2,397,844,000 and $1,383,737,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $66,219,000 and $1,483,836,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

 

65

 

 

Long-Term Bond Index Fund

 

 

 

 

 

 

G. Capital share transactions for each class of shares were:

 

                      Year Ended December 31,
              2019               2018  
      Amount       Shares       Amount       Shares  
    ($000 )     (000 )   ($000 )     (000 )
Investor Shares                                
Issued1     268,127       19,264       742,223       55,023  
Issued in Lieu of Cash Distributions     33,695       2,450       99,446       7,429  
Redeemed2     (3,290,794 )     (233,984 )     (822,243 )     (61,386 )
Net Increase (Decrease)—Investor Shares     (2,988,972 )     (212,270 )     19,426       1,066  
ETF Shares                                
Issued1     2,435,718       25,400       911,731       10,300  
Issued in Lieu of Cash Distributions                        
Redeemed     (1,217,368 )     (12,900 )     (392,007 )     (4,400 )
Net Increase (Decrease)—ETF Shares     1,218,350       12,500       519,724       5,900  
Admiral Shares3                                
Issued1,2     3,094,803       219,504              
Issued in Lieu of Cash Distributions     59,799       3,941              
Redeemed     (388,614 )     (25,912 )            
Net Increase (Decrease)—Admiral Shares     2,765,988       197,533              
Institutional Shares                                
Issued1     454,988       32,559       969,450       72,772  
Issued in Lieu of Cash Distributions     95,112       6,536       98,456       7,364  
Redeemed     (1,546,687 )     (105,461 )     (704,602 )     (52,513 )
Net Increase (Decrease)—Institutional Shares     (996,587 )     (66,366 )     363,304       27,623  
Institutional Plus Shares                                
Issued1     523,351       35,123       707,878       52,671  
Issued in Lieu of Cash Distributions     94,548       6,463       112,936       8,438  
Redeemed     (1,018,604 )     (71,221 )     (893,171 )     (66,255 )
Net Increase (Decrease)—Institutional Plus Shares     (400,705 )     (29,635 )     (72,357 )     (5,146 )

 

1 Includes purchase fees for fiscal 2019 of $1,244,000 (fund totals).
2 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 196,788,000 and 196,789,000 shares, respectively, in the amount of $2,690,640,000 from the conversion during the year ended December 31, 2019.
3 Inception was February 7, 2019, for Admiral Shares.

 

H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

 

66

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund

 

Opinions on the Financial Statements

We have audited the accompanying statements of net assets—investments summary of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (three of the funds constituting Vanguard Bond Index Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

 

 

 

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 13, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

67

 

 

 

Special 2019 tax information (unaudited) for Vanguard Short-Term Bond Index Fund

 

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

 

For nonresident alien shareholders, 86.0% of income dividends are interest-related dividends.

 

 

Special 2019 tax information (unaudited) for Vanguard Intermediate-Term Bond Index Fund

 

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

 

For nonresident alien shareholders, 86.0% of income dividends are interest-related dividends.

 

 

Special 2019 tax information (unaudited) for Vanguard Long-Term Bond Index Fund

 

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

 

The fund distributed $1,051,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

 

For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.

 

For nonresident alien shareholders, 81.8% of income dividends are interest-related dividends.

 

68

 

 

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index, the Bloomberg Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index, and the Bloomberg Barclays U.S. Long Government/Credit Float Adjusted Index (the Indices or Bloomberg Barclays Indices).

 

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Bond Index Funds and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Bond Index Funds. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Bond Index Funds. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Bond Index Funds or the owners of the Bond Index Funds.

 

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Bond Index Funds. Investors acquire the Bond Index Funds from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Bond Index Funds. The Bond Index Funds are not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Bond Index Funds or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Bond Index Funds with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Bond Index Funds to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Bond Index Funds or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Bond Index Funds.

 

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Bond Index Funds, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Bond Index Funds, investors or other third parties.

 

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE BOND INDEX FUNDS.

 

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

 

© 2020 Bloomberg. Used with Permission.

 

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

 

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The People Who Govern Your Fund

 

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

 

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

 

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

 

 

Interested Trustee1

 

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

 

 

Independent Trustees

 

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

 

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

 

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

 

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

 

 

 

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

 

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

 

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

 

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

 

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

 

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

 

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

 

 

 

 

Executive Officers

 

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

 

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

 

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

 

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

 

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

 

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

 

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

 

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

 

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

 

 

Vanguard Senior Management Team
   
Joseph Brennan Chris D. McIsaac
Mortimer J. Buckley James M. Norris
Gregory Davis Thomas M. Rampulla
John James Karin A. Risi
Martha G. King Anne E. Robinson
John T. Marcante Michael Rollings

 

 

 

 

   
   
   
  P.O. Box 2600
  Valley Forge, PA 19482-2600

 

Connect with Vanguard® > vanguard.com

 

Fund Information > 800-662-7447

 

Direct Investor Account Services > 800-662-2739

 

Institutional Investor Services > 800-523-1036

 

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

 

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

 

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

 

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

 

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

 

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  U.S. Patent Nos. 6,879,964; 7,337,138;
  7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.
  Vanguard Marketing Corporation, Distributor.
   
  Q3140 022020

 

 

 

 

 

 

 

 

 

Annual Report | December 31, 2019

 

 

Vanguard Total Bond Market Index Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

 

 

 

 

Important information about access to shareholder reports

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

 

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

 

 

Contents  
   
A Note From Our Chairman 1
   
Your Fund’s Performance at a Glance 2
   
About Your Fund’s Expenses 3
   
Performance Summary 5
   
Financial Statements 9

 

 

 

 

 

 

 

 

 

 

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

 

 

 

A Note From Our Chairman

 

 

 

 

 

 

Tim Buckley

Chairman and Chief Executive Officer

 

 

 

Dear Shareholder,

 

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

 

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

 

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

 

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

 

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

 

Sincerely,

 

 

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

 

  1  

 

 

Your Fund’s Performance at a Glance

  

·   For the 12 months ended December 31, 2019, returns for Vanguard Total Bond Market Index Fund ranged from 8.61% for Investor Shares to 8.76% for Institutional Select Shares. The fund performed in line with the 8.87% return of its benchmark index after taking the costs of running the fund into account.

 

·   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a significant narrowing of the average yield spread for corporate bonds versus U.S. Treasuries.

 

·   Treasuries returned 6.86%. Mortgage-backed securities returned a little less than that, but corporate bonds fared even better, returning 14.54%.

 

·   By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

 

 

 

Market Barometer        
    Average Annual Total Returns  
    Periods Ended December 31, 2019  
    One Year     Three Years     Five Years  
Stocks                        
Russell 1000 Index (Large-caps)     31.43 %     15.05 %     11.48 %  
Russell 2000 Index (Small-caps)     25.53       8.59       8.23    
Russell 3000 Index (Broad U.S. market)     31.02       14.57       11.24    
FTSE All-World ex US Index (International)     21.81       9.96       5.83    
                           
Bonds                          
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)     8.72 %     4.03 %     3.05 %  
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)     7.54       4.72       3.53    
FTSE Three-Month U.S. Treasury Bill Index     2.25       1.65       1.04    
                           
CPI                          
Consumer Price Index     2.29 %     2.10 %     1.82 %  

 

  2  

 

 

About Your Fund’s Expenses

 

 

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

 

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

 

The accompanying table illustrates your fund’s costs in two ways:

 

·   Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

 

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

 

·   Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

 

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

 

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

 

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

 

  3  

 

 

 

Six Months Ended December 31, 2019      
  Beginning Ending Expenses
  Account Value Account Value Paid During
Total Bond Market Index Fund 6/30/2019 12/31/2019 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,024.04 $0.77
ETF Shares 1,000.00 1,024.54 0.18
Admiral™ Shares 1,000.00 1,024.55 0.26
Institutional Shares 1,000.00 1,024.63 0.18
Institutional Plus Shares 1,000.00 1,024.65 0.15
Institutional Select Shares 1,000.00 1,024.76 0.05
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,024.45 $0.77
ETF Shares 1,000.00 1,025.03 0.18
Admiral Shares 1,000.00 1,024.95 0.26
Institutional Shares 1,000.00 1,025.03 0.18
Institutional Plus Shares 1,000.00 1,025.05 0.15
Institutional Select Shares 1,000.00 1,025.16 0.05

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.15% for Investor Shares, 0.035% for ETF Shares, 0.05% for Admiral Shares, 0.035% for Institutional Shares, 0.03% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

 

  4  

 

 

Total Bond Market Index Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

 

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
    One Five Ten of a $10,000
    Year Years Years Investment
  Total Bond Market Index Fund Investor Shares 8.61% 2.90% 3.57% $14,202
  Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486

 

 

        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Total Bond Market Index Fund ETF Shares Net Asset Value 8.71% 3.00% 3.68% $14,348
Total Bond Market Index Fund ETF Shares Market Price 8.82% 3.01% 3.66% 14,327
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486

 

 

 

See Financial Highlights for dividend and capital gains information.

 

  5  

 

 

Total Bond Market Index Fund

 

 

 

 

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
  One Five Ten of a $10,000
  Year Years Years Investment
Total Bond Market Index Fund Admiral Shares 8.71% 3.00% 3.68% $14,355
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486

 

 

        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Total Bond Market Index Fund Institutional Shares 8.73% 3.01% 3.70% $7,190,294
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 7,242,955

 

 

 

        Final Value
  One Five Ten of a $100,000,000
  Year Years Years Investment
Total Bond Market Index Fund Institutional Plus Shares 8.74% 3.02% 3.71% $143,989,737
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 144,859,100

The creation of the Institutional Plus Shares occurred on February 5, 2010, when Vanguard Total Bond Market Index Fund acquired the net assets of Vanguard Institutional Total Bond Market Index Fund. For the periods ended December 31, 2019, the returns and other data shown in the table above reflect a blend of historical performance of the fund’s Institutional Shares prior to February 5, 2010, and of the Institutional Plus Shares from then on.

 

 

    Since Final Value
  One Inception of a $3,000,000,000
  Year (6/24/2016) Investment
Total Bond Market Index Fund Institutional Select Shares 8.76% 2.80% $3,306,204,300
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 2.85 3,312,389,400

“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).

 

  6  

 

 

Total Bond Market Index Fund

 

 

 

 

 

Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019  

 

  One Five Ten
  Year Years Years
Total Bond Market Index Fund ETF Shares Market Price 8.82% 16.01% 43.27%
Total Bond Market Index Fund ETF Shares Net Asset Value 8.71 15.94 43.48
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 16.35 44.86

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

  7  

 

 

Total Bond Market Index Fund

 

 

 

Sector Diversification

As of December 31, 2019

 

Asset-Backed     0.4 %
Commercial Mortgage-Backed     2.2  
Finance     8.5  
Foreign     4.1  
Government Mortgage-Backed     22.3  
Industrial     16.5  
Treasury/Agency     43.3  
Utilities     2.0  
Other     0.7  

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

  8  

 

 

 

 

Total Bond Market Index Fund

 

 

Financial Statements

 

 

Statement of Net Assets—Investments Summary

As of December 31, 2019

 

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

 

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

 

        Face Market Percentage
      Maturity Amount Value of Net
    Coupon Date ($000) ($000) Assets
U.S. Government and Agency Obligations        
U.S. Government Securities          
  United States Treasury Note/Bond 2.000% 5/31/24 1,092,454 1,106,787 0.4%
  United States Treasury Note/Bond 1.625% 5/15/26 1,024,825 1,013,459 0.4%
  United States Treasury Note/Bond 2.875% 8/15/28 940,238 1,013,257 0.4%
  United States Treasury Note/Bond 2.125% 5/15/25 975,222 994,424 0.4%
  United States Treasury Note/Bond 1.750% 5/31/22 982,325 985,852 0.4%
  United States Treasury Note/Bond 2.125% 3/31/24 962,029 979,461 0.4%
  United States Treasury Note/Bond 1.500% 11/30/24 980,256 971,836 0.4%
  United States Treasury Note/Bond 1.750% 2/28/22 964,382 967,545 0.4%
  United States Treasury Note/Bond 3.125% 11/15/28 866,900 953,053 0.4%
  United States Treasury Note/Bond 2.375% 3/15/22 878,400 893,227 0.4%
  United States Treasury Note/Bond 1.375% 10/15/22 862,560 856,902 0.3%
  United States Treasury Note/Bond 2.250% 11/15/27 813,084 835,696 0.3%
  United States Treasury Note/Bond 2.125% 12/31/22 807,125 818,982 0.3%
  United States Treasury Note/Bond 2.375% 5/15/29 787,767 818,789 0.3%
  United States Treasury Note/Bond 2.875% 5/15/28 755,131 812,710 0.3%
  United States Treasury Note/Bond 1.625% 11/15/22 808,480 808,731 0.3%
  United States Treasury Note/Bond 1.625% 8/15/29 829,659 808,137 0.3%
  United States Treasury Note/Bond 2.500% 1/31/24 778,645 803,951 0.3%
  United States Treasury Note/Bond 2.250% 4/15/22 783,400 794,665 0.3%
  United States Treasury Note/Bond 2.500% 5/15/46 776,992 793,379 0.3%
  United States Treasury Note/Bond 2.875% 11/15/21 771,193 789,270 0.3%
  United States Treasury Note/Bond 2.875% 5/15/49 710,393 783,322 0.3%
  United States Treasury Note/Bond 2.250% 2/15/27 748,740 769,098 0.3%
  United States Treasury Note/Bond 1.625% 2/15/26 776,005 768,245 0.3%
  United States Treasury Note/Bond 1.750% 5/15/23 763,728 766,233 0.3%
  United States Treasury Note/Bond 2.250% 11/15/25 742,427 762,034 0.3%
  United States Treasury Note/Bond 2.750% 8/15/21 741,294 754,615 0.3%
  United States Treasury Note/Bond 1.500% 8/15/22 755,098 753,090 0.3%
  United States Treasury Note/Bond 3.000% 2/15/48 667,611 750,435 0.3%
  United States Treasury Note/Bond 1.250% 3/31/21 751,288 747,764 0.3%

 

9

 

 

Total Bond Market Index Fund

 

 

 

        Face   Market Percentage
      Maturity Amount   Value of Net
    Coupon Date ($000)   ($000) Assets
  United States Treasury Note/Bond 2.625% 2/15/29 697,211   738,828 0.3%
  United States Treasury Note/Bond 1.375% 5/31/21 725,253   722,874 0.3%
  United States Treasury Note/Bond 2.875% 11/15/46 656,620   720,332 0.3%
  United States Treasury Note/Bond 2.750% 2/15/28 667,601   711,409 0.3%
  United States Treasury Note/Bond 2.500% 5/15/24 672,918   695,838 0.3%
  United States Treasury Note/Bond 2.750% 11/15/42 648,150   691,900 0.3%
  United States Treasury Note/Bond 1.625% 12/15/22 689,585   689,909 0.3%
  United States Treasury Note/Bond 2.000% 8/15/25 680,570   689,288 0.3%
  United States Treasury Note/Bond 3.625% 2/15/44 554,922   682,382 0.3%
  United States Treasury Note/Bond 2.250% 4/30/24 666,576   682,201 0.3%
  United States Treasury Note/Bond 2.000% 11/30/22 665,725   672,795 0.3%
  United States Treasury Note/Bond 1.750% 6/15/22 668,810   671,211 0.3%
  United States Treasury Note/Bond 3.000% 2/15/49 577,056   650,988 0.3%
  United States Treasury Note/Bond 2.750% 8/31/23 625,966   650,122 0.3%
  United States Treasury Note/Bond 3.125% 5/15/48 558,044   642,448 0.3%
  United States Treasury Note/Bond 1.750% 11/15/29 648,146   638,320 0.3%
  United States Treasury Note/Bond 2.500% 2/15/22 626,278   638,021 0.3%
  United States Treasury Note/Bond 2.125% 5/15/22 630,008   637,587 0.2%
1 United States Treasury Note/Bond 1.125%–8.750% 2/15/20–11/15/49 63,738,384   66,496,972 26.7%
            104,398,374 42.0%
Agency Bonds and Notes            
2 Federal Home Loan Mortgage Corp. 1.125%–6.750% 2/16/21–7/15/32 477,313   542,822 0.2%
2 Federal National Mortgage Assn. 1.250%–7.250% 2/26/21–7/15/37 1,037,308   1,098,096 0.4%
  Agency Bonds and Notes—Other †         1,192,118 0.5%
            2,833,036 1.1%
Conventional Mortgage-Backed Securities          
2,3,4 Fannie Mae Pool 2.000%–9.500% 1/1/20–2/1/50 21,334,483   22,258,800 9.0%
2,3 Freddie Mac Gold Pool 2.000%–10.000% 1/1/20–2/1/49 11,144,276   11,656,384 4.7%
2,3 Freddie Mac Pool 4.000%–4.500% 1/1/49–5/1/49 125,908   133,421 0.0%
3,4 Ginnie Mae I Pool 3.000%–10.500% 3/15/20–12/1/49 1,047,049   1,117,841 0.4%
3,4 Ginnie Mae II Pool 3.000% 1/1/50 874,375   898,009 0.4%
3,4 Ginnie Mae II Pool 2.500%–8.500% 12/20/20–1/1/50 14,339,539   14,967,582 6.0%
2,3 UMBS Pool 2.500%–4.000% 11/1/33–11/1/34 47,481   48,227 0.0%
2,3 UMBS Pool 2.000%–5.000% 4/1/29–1/1/50 3,269,153   3,382,134 1.4%
2,3,4 UMBS TBA 3.000% 1/1/50 634,725   643,649 0.3%
2,3,4 UMBS TBA 2.000%–4.500% 7/1/34–1/1/50 337,950   342,845 0.1%
            55,448,892 22.3%
Nonconventional Mortgage-Backed Securities        
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.290% 4.034% 12/1/41 1,046   1,078 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.310% 3.592% 9/1/37 1,331   1,368 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.353% 4.441% 1/1/35 71   74 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.392% 3.811% 10/1/37 575   592 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.460% 4.572% 2/1/37 2   2 0.0%

 

10

 

 

Total Bond Market Index Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value of Net
    Coupon Date ($000) ($000) Assets
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.509% 4.082% 7/1/36 288 300 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.553% 2.443% 9/1/43 600 600 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.555% 3.564% 10/1/34 5 5 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.560% 2.272% 7/1/43 6,104 6,119 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.607% 3.607% 11/1/33 125 133 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.609% 3.642% 12/1/33 233 246 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.615% 4.643% 4/1/37 50 53 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.623% 4.748% 2/1/36 500 509 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.625% 4.135% 8/1/35 648 688 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.627% 4.752% 3/1/38 109 112 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.633% 4.633% 1/1/35 1 1 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.635% 3.510% 11/1/36 68 71 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.643% 4.476% 1/1/37 217 231 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.658% 4.283% 7/1/35 390 410 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.660% 3.910%–4.722% 4/1/36–9/1/40 537 564 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.665% 4.415% 6/1/36 39 41 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.679% 3.992% 1/1/42 985 1,017 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.682% 4.167% 10/1/37 688 710 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.687% 4.498% 6/1/42 1,474 1,536 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.690% 3.706%–4.622% 10/1/39–9/1/42 2,519 2,629 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.695% 4.320% 7/1/39 188 196 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.698% 4.161% 8/1/40 419 440 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.700% 4.364% 12/1/40 437 460 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.701% 3.965% 10/1/42 1,099 1,164 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.705% 3.809% 11/1/39 275 291 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.711% 4.056% 4/1/36 60 62 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.726% 3.956% 9/1/34 285 293 0.0%

 

11

 

 

Total Bond Market Index Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value of Net
    Coupon Date ($000) ($000) Assets
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.734% 3.997% 11/1/39 627 655 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.746% 4.506% 7/1/41 1,640 1,732 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.748% 4.778% 5/1/35 229 240 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.750% 4.213%–4.875% 2/1/36–10/1/40 575 609 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.767% 4.648% 6/1/41 262 277 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.771% 4.709% 5/1/42 155 161 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.774% 4.683% 4/1/37 66 71 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.780% 4.905% 2/1/41 271 285 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.793% 3.391% 8/1/42 2,312 2,309 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.795% 4.839% 3/1/42 971 1,023 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.798% 4.358% 3/1/42 431 463 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.804% 3.943% 12/1/39 538 560 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.805% 3.773% 11/1/41 1,070 1,140 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.810% 3.685%–4.810% 9/1/33–12/1/40 2,048 2,156 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.813% 3.978%–4.435% 11/1/41–1/1/42 1,473 1,552 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.815% 3.690%–4.940% 11/1/40–12/1/41 2,708 2,857 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.819% 4.759% 3/1/41 994 1,046 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.820% 4.168% 12/1/40 314 329 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.822% 4.310% 9/1/40 1,171 1,234 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.823% 4.902% 2/1/41 503 507 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.825% 4.825% 3/1/41 719 766 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.826% 4.576% 7/1/38 289 296 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.830% 3.451%–4.580% 4/1/41–6/1/41 1,822 1,871 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.835% 4.723% 1/1/40 655 681 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.840% 4.403% 8/1/39 483 510 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.861% 4.745% 5/1/40 240 248 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.880% 4.406% 11/1/34 380 405 0.0%

 

12

 

 

Total Bond Market Index Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value of Net
    Coupon Date ($000) ($000) Assets
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.884% 3.899% 10/1/37 54 57 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.909% 4.784% 4/1/37 326 343 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.912% 4.787% 5/1/36 80 80 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.965% 5.009% 4/1/37 22 23 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 1.989% 4.632% 1/1/37 33 35 0.0%
2,3,5 Fannie Mae Pool, 12M USD LIBOR + 2.130% 4.667% 10/1/36 222 238 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.155% 4.780% 12/1/37 637 658 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.185% 4.721% 5/1/36 45 48 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.189% 3.939% 12/1/35 3 4 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.190% 4.450% 12/1/36 10 10 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.238% 4.613% 7/1/38 223 236 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.268% 4.268%–4.893% 5/1/33–12/1/35 214 226 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.275% 4.025% 11/1/32 8 9 0.0%
2,3,5 Fannie Mae Pool,1Y CMT + 2.313% 4.845% 1/1/35 228 243 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.026% 3.206% 4/1/37 808 835 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.413% 3.691% 7/1/34 135 143 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.476% 2.242% 3/1/43 4,288 4,290 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.530% 3.662% 12/1/43 1,057 1,126 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.582% 2.743% 6/1/43 2,822 2,838 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.638% 4.339% 8/1/39 1,192 1,222 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.657% 4.260% 10/1/42 937 943 0.0%
2,3,5 Fannie Mae Pool, 6M USDLIBOR + 1.700% 4.531% 7/1/37 292 311 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.710% 3.371% 9/1/43 2,542 2,602 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.723% 4.720% 5/1/42 2,052 2,143 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.789% 4.572% 7/1/42 740 797 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.840% 4.157% 8/1/37 561 589 0.0%
2,3,5 Fannie Mae Pool, 6M USD LIBOR + 1.851% 4.434% 2/1/42 1,337 1,431 0.0%

 

13

 

 

Total Bond Market Index Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value of Net
    Coupon Date ($000) ($000) Assets
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 0.985% 3.235% 10/1/37 53 54 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.245% 4.098% 8/1/37 51 51 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.550% 4.675% 4/1/37 1 1 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.564% 4.420% 3/1/37 79 81 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.570% 4.695% 3/1/37 31 32 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.588% 3.921% 9/1/37 290 296 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.625% 4.625% 1/1/38 80 85 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR +1.640% 3.807%–4.515% 12/1/36–11/1/43 1,013 1,048 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.660% 3.711% 10/1/37 535 557 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.695% 4.767% 2/1/37 190 202 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.727% 4.738% 1/1/35 60 64 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.743% 3.865% 12/1/36 427 439 0.0%
2,3,5 Freddie Mac Non Gold Pool,12M USD LIBOR + 1.745% 4.713% 12/1/40 1,109 1,151 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% 4.625%–4.799% 4/1/33–5/1/38 78 81 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765% 3.730%–4.765% 4/1/35–12/1/36 152 163 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.770% 3.925% 12/1/34 7 7 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.780% 3.977% 3/1/36 4 4 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796% 3.871% 12/1/34 300 305 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798% 4.529%–4.761% 5/1/33–6/1/37 625 666 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.833% 4.190% 3/1/42 796 840 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.834% 4.220% 12/1/35 369 389 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840% 4.590% 6/1/37 71 75 0.0%

 

14

 

 

Total Bond Market Index Fund

 

 

 

             
        Face Market Percentage
      Maturity Amount Value of Net
    Coupon Date ($000) ($000) Assets
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.842% 4.466% 6/1/41 43 45 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.851% 4.716% 1/1/37 258 273 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.864% 4.595% 2/1/42 296 311 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.865% 4.348% 8/1/37 231 240 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.870% 4.038% 12/1/39 157 166 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.005%–5.005% 5/1/40–6/1/41 2,869 2,993 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.885% 4.510% 7/1/38 224 229 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889% 4.956% 2/1/42 584 586 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895% 4.323% 9/1/40 745 784 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% 3.846%–4.705% 6/1/40–11/1/40 1,078 1,114 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% 4.825%–5.035% 1/1/41–2/1/41 1,092 1,159 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977% 4.783% 5/1/37 943 975 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +1.995% 5.120% 3/1/37 414 439 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +2.000% 4.750% 7/1/35 64 67 0.0%
2,3,5 Freddie Mac Non Gold Pool, 12M USD LIBOR +2.085% 5.210% 3/1/38 76 80 0.0%
2,3,5 Freddie Mac Non Gold Pool, 1Y CMT + 2.125% 4.625% 6/1/35 2 2 0.0%
2,3,5 Freddie Mac Non Gold Pool, 1Y CMT +2.250% 4.006%–4.991% 6/1/34–11/1/36 1,578 1,650 0.0%
2,3,5 Freddie Mac Non Gold Pool, 1Y CMT + 2.273% 4.773% 6/1/36 8 8 0.0%
2,3,5 Freddie Mac Non Gold Pool, 1Y CMT + 2.315% 4.315% 12/1/34 25 26 0.0%

 

15

 

 

Total Bond Market Index Fund

 

 

 

               
        Face   Market Percentage
      Maturity Amount   Value of Net
    Coupon Date ($000)   ($000) Assets
2,3,5 Freddie Mac Non Gold Pool,1Y CMT + 2.409% 4.159%–4.964% 11/1/33–10/1/36 507   538 0.0%
2,3,5 Freddie Mac Non Gold Pool,1Y CMT + 2.549% 5.173% 3/1/37 91   91 0.0%
2,3,5 Freddie Mac Non Gold Pool,6M USD LIBOR +1.355% 3.438%–3.548% 5/1/37–6/1/37 344   352 0.0%
2,3,5 Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.570% 3.859% 3/1/37 126   131 0.0%
2,3,5 Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.665% 3.982% 1/1/37 660   694 0.0%
3,5 Ginnie Mae II Pool,1Y CMT + 1.500% 3.250%–4.125% 6/20/29–1/20/44 22,890   23,589 0.1%
3,5 Ginnie Mae II Pool,1Y CMT + 2.000% 4.375%–4.625% 11/20/40–5/20/41 571   587 0.0%
            111,178 0.1%

Total U.S. Government and Agency Obligations (Cost $158,880,382)   162,791,480 65.5%
6Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,341,423) †   6,498,454 2.6%
Corporate Bonds      
Finance      
6 Banking †   14,824,628 6.0%
6 Brokerage †   597,322 0.2%
  Finance Companies †   536,108 0.2%
  Insurance †   2,960,585 1.2%
  Other Finance †   19,088 0.0%
  Real Estate Investment Trusts †   1,815,605 0.7%
      20,753,336 8.3%
Industrial      
6 Basic Industry †   2,023,115 0.8%
6 Capital Goods †   3,458,687 1.4%
6 Communication †   5,919,667 2.4%
6 Consumer Cyclical †   4,725,014 1.9%
6 Consumer Noncyclical †   10,928,897 4.4%
6 Energy †   6,072,233 2.4%
6 Other Industrial †   278,960 0.1%
6 Technology †   5,572,239 2.2%
6 Transportation †   1,680,177 0.7%
      40,658,989 16.3%
Utilities      
  Electric †   4,412,830 1.8%
  Natural Gas †   375,666 0.2%
  Other Utility †   93,436 0.0%
      4,881,932 2.0%
Total Corporate Bonds (Cost $62,029,801)   66,294,257 26.6%
6Sovereign Bonds (Cost $9,621,564) †   10,031,009 4.0%
Taxable Municipal Bonds (Cost $1,408,682) †   1,644,739 0.7%

 

16

 

 

Total Bond Market Index Fund

 

 

 

      Market Percentage
      Value of Net
  Coupon Shares ($000) Assets
Temporary Cash Investment        
Money Market Fund        
7 Vanguard Market Liquidity Fund
(Cost $4,826,526)
1.816% 48,263,387 4,826,822 2.0%
Total Investments (Cost $243,108,378)     252,086,761 101.4%
         
      Amount  
      ($000)  
Other Assets and Liabilities        
Other Assets        
Investment in Vanguard     11,124  
Receivables for Investment Securities Sold     966,453  
Receivables for Accrued Income     1,508,183  
Receivables for Capital Shares Issued     424,071  
Other Assets     9,171  
Total Other Assets     2,919,002 1.2%
Liabilities        
Payables for Investment Securities Purchased     (5,896,607)  
Payables for Capital Shares Redeemed     (375,992)  
Payables for Distributions     (29,881)  
Payables to Vanguard     (46,064)  
Total Liabilities     (6,348,544) (2.6%)
Net Assets     248,657,219 100.0%
         
At December 31, 2019, net assets consisted of:        
        Amount
        ($000)
Paid-in Capital       240,039,575
Total Distributable Earnings (Loss)       8,617,644
Net Assets       248,657,219
         
Investor Shares—Net Assets        
Applicable to 139,916,390 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,545,925
Net Asset Value Per Share—Investor Shares       $11.05
         
ETF Shares—Net Assets        
Applicable to 578,823,018 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 48,455,911
Net Asset Value Per Share—ETF Shares       $83.71
         
Admiral Shares—Net Assets        
Applicable to 9,693,309,065 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 107,098,024
Net Asset Value Per Share—Admiral Shares       $11.05

 

17

 

 

Total Bond Market Index Fund

 

 

 

  Amount
  ($000)
Institutional Shares—Net Assets  
Applicable to 4,297,106,133 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 47,477,314
Net Asset Value Per Share—Institutional Shares $11.05
   
Institutional Plus Shares—Net Assets  
Applicable to 2,143,185,368 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 23,679,111
Net Asset Value Per Share—Institutional Plus Shares $11.05
   
Institutional Select Shares—Net Assets  
Applicable to 1,846,468,789 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 20,400,934
Net Asset Value Per Share—Institutional Select Shares $11.05

 

See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $374,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2019.
5 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
6 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $2,147,924,000, representing 0.9% of net assets.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

CMT—Constant Maturing Treasury Rate.

LIBOR—London Interbank Offered Rate.

TBA—To Be Announced.

UMBS—Uniform Mortgage-Backed Securities.

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

18

 

 

 

Total Bond Market Index Fund

 

 

Statement of Operations

 

 

 

    Year Ended  
    December 31, 2019  
    ($000 ) 
Investment Income        
Income        
Interest1     6,433,898  
Total Income     6,433,898  
Expenses        
The Vanguard Group—Note B        
Investment Advisory Services     7,774  
Management and Administrative—Investor Shares     3,892  
Management and Administrative—ETF Shares     10,446  
Management and Administrative—Admiral Shares     39,517  
Management and Administrative—Institutional Shares     12,189  
Management and Administrative—Institutional Plus Shares     5,430  
Management and Administrative—Institutional Select Shares     1,105  
Marketing and Distribution—Investor Shares     334  
Marketing and Distribution—ETF Shares     1,749  
Marketing and Distribution—Admiral Shares     5,756  
Marketing and Distribution—Institutional Shares     1,554  
Marketing and Distribution—Institutional Plus Shares     345  
Marketing and Distribution—Institutional Select Shares     1  
Custodian Fees     617  
Auditing Fees     58  
Shareholders’ Reports—Investor Shares     24  
Shareholders’ Reports—ETF Shares     902  
Shareholders’ Reports—Admiral Shares     685  
Shareholders’ Reports—Institutional Shares     299  
Shareholders’ Reports—Institutional Plus Shares     66  
Shareholders’ Reports—Institutional Select Shares      
Trustees’ Fees and Expenses     114  
Total Expenses     92,857  
Expenses Paid Indirectly     (433 )
Net Expenses     92,424  
Net Investment Income     6,341,474  
Realized Net Gain (Loss)        
Investment Securities Sold1,2     312,226  
Futures Contracts     90  
Realized Net Gain (Loss)     312,316  
Change in Unrealized Appreciation (Depreciation) of Investment Securities1     11,925,643  
Net Increase (Decrease) in Net Assets Resulting from Operations     18,579,433  

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $81,551,000, ($256,000), and $140,000, respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $46,487,000 of net gain (loss) resulting from in-kind redemptions, such gain (loss) is not taxable to the fund.

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  19  

 

 

Total Bond Market Index Fund

 

 

 

Statement of Changes in Net Assets

 

    Year Ended December 31,  
    2019     2018  
    ($000)     ($000 )
Increase (Decrease) in Net Assets                
Operations                
Net Investment Income     6,341,474       5,527,101  
Realized Net Gain (Loss)     312,316       (601,872 )
Change in Unrealized Appreciation (Depreciation)     11,925,643       (4,895,191 )
Net Increase (Decrease) in Net Assets Resulting from Operations     18,579,433       30,038  
Distributions                
Net Investment Income                
Investor Shares     (79,531 )     (125,655 )
ETF Shares     (1,164,386 )     (1,016,260 )
Admiral Shares     (2,749,165 )     (2,345,887 )
Institutional Shares     (1,248,249 )     (1,112,166 )
Institutional Plus Shares     (618,238 )     (548,458 )
Institutional Select Shares     (485,541 )     (378,061 )
Realized Capital Gain1                
Investor Shares           (1,185 )
ETF Shares           (8,845 )
Admiral Shares           (19,982 )
Institutional Shares           (9,396 )
Institutional Plus Shares           (4,829 )
Institutional Select Shares           (3,066 )
Total Distributions     (6,345,110 )     (5,573,790 )
Capital Share Transactions                
Investor Shares     (2,888,656 )     (767,351 )
ETF Shares     9,751,333       334,647  
Admiral Shares     13,466,314       7,770,849  
Institutional Shares     4,332,735       2,739,331  
Institutional Plus Shares     3,077,058       473,626  
Institutional Select Shares     4,677,528       3,127,416  
Net Increase (Decrease) from Capital Share Transactions     32,416,312       13,678,518  
Total Increase (Decrease)     44,650,635       8,134,766  
Net Assets                
Beginning of Period     204,006,584       195,871,818  
End of Period     248,657,219       204,006,584  

 

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  20  

 

 

Total Bond Market Index Fund

 

 

Financial Highlights

 

 

Investor Shares

 

For a Share Outstanding     Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $10.45 $10.75 $10.65 $10.64 $10.87  
Investment Operations            
Net Investment Income .2941 .2791 .2601 .254 .253  
Net Realized and Unrealized Gain (Loss) on Investments .597 (.296) .105 .015 (.219)  
Total from Investment Operations .891 (.017) .365 .269 .034  
Distributions            
Dividends from Net Investment Income (.291) (.280) (.260) (.254) (.254)  
Distributions from Realized Capital Gains (.003) (.005) (.005) (.010)  
Total Distributions (.291) (.283) (.265) (.259) (.264)  
Net Asset Value, End of Period $11.05 $10.45 $10.75 $10.65 $10.64  
             
Total Return2 8.61% -0.13% 3.45% 2.50% 0.30%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,546 $4,250 $5,166 $5,969 $6,434  
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16%  
Ratio of Net Investment Income to Average Net Assets 2.74% 2.68% 2.42% 2.30% 2.34%  
Portfolio Turnover Rate3,4 31% 54% 55% 61% 84%  

1 Calculated based on average shares outstanding
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
4 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  21  

 

 

Total Bond Market Index Fund

 

 

Financial Highlights

 

 

ETF Shares

 

For a Share Outstanding     Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $79.16 $81.46 $80.64 $80.58 $82.33  
Investment Operations            
Net Investment Income 2.2951 2.2091 2.0531 1.995 2.000  
Net Realized and Unrealized Gain (Loss) on Investments 4.535 (2.280) .842 .096 (1.671)  
Total from Investment Operations 6.830 (.071) 2.895 2.091 .329  
Distributions            
Dividends from Net Investment Income (2.280) (2.210) (2.038) (1.995) (2.001)  
Distributions from Realized Capital Gains (.019) (.037) (.036) (.078)  
Total Distributions (2.280) (2.229) (2.075) (2.031) (2.079)  
Net Asset Value, End of Period $83.71 $79.16 $81.46 $80.64 $80.58  
             
Total Return 8.71% -0.04% 3.62% 2.57% 0.39%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $48,456 $36,528 $37,247 $31,445 $27,279  
Ratio of Total Expenses to Average Net Assets 0.035% 0.035% 0.05% 0.05% 0.06%  
Ratio of Net Investment Income to Average Net Assets 2.78% 2.79% 2.52% 2.40% 2.44%  
Portfolio Turnover Rate2,3 31% 54% 55% 61% 84%  

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
3 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

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Total Bond Market Index Fund

 

 

Financial Highlights

 

 

Admiral Shares

 

For a Share Outstanding     Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $10.45 $10.75 $10.65 $10.64 $10.87  
Investment Operations            
Net Investment Income .3011 .2901 .2711 .265 .263  
Net Realized and Unrealized Gain (Loss) on Investments .601 (.297) .105 .015 (.219)  
Total from Investment Operations .902 (.007) .376 .280 .044  
Distributions            
Dividends from Net Investment Income (.302) (.290) (.271) (.265) (.264)  
Distributions from Realized Capital Gains (.003) (.005) (.005) (.010)  
Total Distributions (.302) (.293) (.276) (.270) (.274)  
Net Asset Value, End of Period $11.05 $10.45 $10.75 $10.65 $10.64  
             
Total Return2 8.71% -0.03% 3.56% 2.60% 0.40%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $107,098 $88,281 $82,839 $72,592 $60,783  
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06%  
Ratio of Net Investment Income to Average Net Assets 2.78% 2.78% 2.52% 2.40% 2.44%  
Portfolio Turnover Rate3,4 31% 54% 55% 61% 84%  

1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
4 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  23  

 

 

Total Bond Market Index Fund

 

 

Financial Highlights

 

 

Institutional Shares

 

For a Share Outstanding     Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $10.45 $10.75 $10.65 $10.64 $10.87  
Investment Operations            
Net Investment Income .3031 .2921 .2721 .266 .265  
Net Realized and Unrealized Gain (Loss) on Investments .601 (.297) .105 .015 (.219)  
Total from Investment Operations .904 (.005) .377 .281 .046  
Distributions            
Dividends from Net Investment Income (.304) (.292) (.272) (.266) (.266)  
Distributions from Realized Capital Gains (.003) (.005) (.005) (.010)  
Total Distributions (.304) (.295) (.277) (.271) (.276)  
Net Asset Value, End of Period $11.05 $10.45 $10.75 $10.65 $10.64  
             
Total Return 8.73% -0.01% 3.57% 2.61% 0.41%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $47,477 $40,728 $39,101 $34,167 $29,095  
Ratio of Total Expenses to Average Net Assets 0.035% 0.035% 0.04% 0.04% 0.05%  
Ratio of Net Investment Income to Average Net Assets 2.79% 2.79% 2.53% 2.41% 2.45%  
Portfolio Turnover Rate2,3 31% 54% 55% 61% 84%  

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
3 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  24  

 

 

Total Bond Market Index Fund

 

 

Financial Highlights

 

Institutional Plus Shares

 

For a Share Outstanding     Year Ended December 31,  
Throughout Each Period 2019 2018 2017 2016 2015  
Net Asset Value, Beginning of Period $10.45 $10.75 $10.65 $10.64 $10.87  
Investment Operations            
Net Investment Income .3041 .2921 .2731 .267 .266  
Net Realized and Unrealized Gain (Loss) on Investments .600 (.297) .105 .015 (.219)  
Total from Investment Operations .904 (.005) .378 .282 .047  
Distributions            
Dividends from Net Investment Income (.304) (.292) (.273) (.267) (.267)  
Distributions from Realized Capital Gains (.003) (.005) (.005) (.010)  
Total Distributions (.304) (.295) (.278) (.272) (.277)  
Net Asset Value, End of Period $11.05 $10.45 $10.75 $10.65 $10.64  
             
Total Return 8.74% -0.01% 3.58% 2.62% 0.42%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $23,679 $19,399 $19,488 $22,203 $24,287  
Ratio of Total Expenses to Average Net Assets 0.03% 0.03% 0.03% 0.03% 0.04%  
Ratio of Net Investment Income to Average Net Assets 2.80% 2.80% 2.54% 2.42% 2.46%  
Portfolio Turnover Rate2,3 31% 54% 55% 61% 84%  

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

3 Includes 10%, 13%, 15%, 23%, and 45% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  25  

 

 

Total Bond Market Index Fund

 

 

Financial Highlights

 

 

Institutional Select Shares      

 

        June 24,  
        20161 to  
For a Share Outstanding Year Ended December 31, Dec. 31,  
Throughout Each Period 2019 2018 2017 2016  
Net Asset Value, Beginning of Period $10.45 $10.75 $10.65 $11.03  
Investment Operations          
Net Investment Income .3062 .2952 .2752 .135  
Net Realized and Unrealized Gain (Loss) on Investments .600 (.298) .105 (.375)  
Total from Investment Operations .906 (.003) .380 (.240)  
Distributions          
Dividends from Net Investment Income (.306) (.294) (.275) (.135)  
Distributions from Realized Capital Gains (.003) (.005) (.005)  
Total Distributions (.306) (.297) (.280) (.140)  
Net Asset Value, End of Period $11.05 $10.45 $10.75 $10.65  
           
Total Return 8.76% 0.01% 3.60% -2.20%  
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $20,401 $14,821 $12,031 $5,438  
Ratio of Total Expenses to Average Net Assets 0.01% 0.01% 0.01% 0.01%3  
Ratio of Net Investment Income to Average Net Assets 2.81% 2.82% 2.56% 2.41%3  
Portfolio Turnover Rate4,5 31% 54% 55% 61%6  

1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
5 Includes 10%, 13%, 15%, and 23% attributable to mortgage-dollar-roll activity.
6 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016.

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

  26  

 

 

 

 

Total Bond Market Index Fund

 

 

Notes to Financial Statements

 

 

Vanguard Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.

 

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

 

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

 

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts each represented 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at December 31, 2019.

 

  27  

 

 

Total Bond Market Index Fund

 

 

 

 

 

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

 

At December 31, 2019, counterparties had deposited in segregated accounts securities with a value of $331,000 and cash of $560,000 in connection with TBA transactions.

 

4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

 

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

6. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

 

  28  

 

 

Total Bond Market Index Fund

 

 

 

 

 

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

 

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

 

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

 

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $11,124,000, representing less than 0.01% of the fund’s net assets and 4.45% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

  29  

 

 

Total Bond Market Index Fund

 

 

 

 

 

C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $433,000 (an annual rate of less than 0.01% of average net assets).

 

D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

 

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations 162,791,480
Asset-Backed/Commercial Mortgage-Backed Securities 6,498,454
Corporate Bonds 66,291,454
Sovereign Bonds 10,031,009
Taxable Municipal Bonds 1,647,542
Temporary Cash Investments 4,826,822
Total 4,826,822 247,259,939

 

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

 

  Amount
  ($000)
Paid-in Capital 46,487
Total Distributable Earnings (Loss) (46,487)

 

  30  

 

 

Total Bond Market Index Fund

 

 

 

 

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount
  ($000)
Undistributed Ordinary Income 31,487
Undistributed Long-Term Gains
Capital Loss Carryforwards (Non-expiring)* (351,260)
Net Unrealized Gains (Losses) 8,978,358

 

* The fund used capital loss carryforwards of $265,853,000 to offset taxable capital gains realized during the year ended December 31, 2019.

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

  Amount
  ($000)
Tax Cost 243,108,403
Gross Unrealized Appreciation 9,483,363
Gross Unrealized Depreciation (505,005)
Net Unrealized Appreciation (Depreciation) 8,978,358

 

F.  During the year ended December 31, 2019, the fund purchased $21,676,646,000 of investment securities and sold $13,661,212,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $81,702,472,000 and $57,029,523,000, respectively. Total purchases and sales include $9,805,063,000 and $933,513,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

  31  

 

 

Total Bond Market Index Fund

 

 

 

 

 

G.  Capital share transactions for each class of shares were:

 

        Year Ended December 31,
    2019     2018
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 314,902 29,205   1,067,996 102,197
Issued in Lieu of Cash Distributions 72,635 6,735   119,200 11,430
Redeemed1 (3,276,193) (302,720)   (1,954,547) (187,286)
Net Increase (Decrease)—Investor Shares (2,888,656) (266,780)   (767,351) (73,659)
ETF Shares          
Issued 10,954,123 132,000   3,435,257 43,400
Issued in Lieu of Cash Distributions  
Redeemed (1,202,790) (14,600)   (3,100,610) (39,200)
Net Increase (Decrease)—ETF Shares 9,751,333 117,400   334,647 4,200
Admiral Shares          
Issued1 28,133,518 2,599,563   23,230,538 2,226,910
Issued in Lieu of Cash Distributions 2,478,605 227,640   2,114,291 202,860
Redeemed (17,145,809) (1,581,483)   (17,573,980) (1,685,319)
Net Increase (Decrease)—Admiral Shares 13,466,314 1,245,720   7,770,849 744,451
Institutional Shares          
Issued 12,742,108 1,173,938   11,573,400 1,107,501
Issued in Lieu of Cash Distributions 1,175,382 107,971   1,048,850 100,635
Redeemed (9,584,755) (882,050)   (9,882,919) (946,888)
Net Increase (Decrease)—Institutional Shares 4,332,735 399,859   2,739,331 261,248
Institutional Plus Shares          
Issued 7,083,423 653,802   7,772,402 743,515
Issued in Lieu of Cash Distributions 581,981 53,455   518,422 49,738
Redeemed (4,588,346) (420,358)   (7,817,198) (749,166)
Net Increase (Decrease)—Institutional Plus Shares 3,077,058 286,899   473,626 44,087
Institutional Select Shares          
Issued 4,809,687 441,094   3,894,421 373,051
Issued in Lieu of Cash Distributions 485,541 44,575   381,127 36,580
Redeemed (617,700) (57,430)   (1,148,132) (110,160)
Net Increase (Decrease)—Institutional Select Shares 4,677,528 428,239   3,127,416 299,471

 

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 250,589,000 and 250,589,000 shares, respectively, in the amount of $2,708,595,000 from the conversion during the year ended December 31, 2019.

 

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

 

  32  

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Total Bond Market Index Fund

 

Opinion on the Financial Statements

We have audited the accompanying statement of net assets—investments summary of Vanguard Total Bond Market Index Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

 

 

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 13, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

  33  

 

 

 

Special 2019 tax information (unaudited) for Vanguard Total Bond Market Index Fund

 

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

 

For nonresident alien shareholders, 87.2% of income dividends are interest-related dividends.

 

  34  

 

 

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index (the Index or Bloomberg Barclays Index).

 

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Total Bond Market Index Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Total Bond Market Index Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Total Bond Market Index Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Total Bond Market Index Fund or the owners of the Total Bond Market Index Fund.

 

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Total Bond Market Index Fund. Investors acquire the Total Bond Market Index Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Total Bond Market Index Fund. The Total Bond Market Index Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Total Bond Market Index Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Total Bond Market Index Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Total Bond Market Index Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Total Bond Market Index Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Total Bond Market Index Fund.

 

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Total Bond Market Index Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Total Bond Market Index Fund, investors or other third parties.

 

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE TOTAL BOND MARKET INDEX FUND.

 

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

 

© 2020 Bloomberg. Used with Permission.

 

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

 

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The People Who Govern Your Fund

 

 

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

 

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

 

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

 

 

Interested Trustee1

 

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

 

 

Independent Trustees

 

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

 

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

 

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

 

 

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

 

 

 

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

 

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

 

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

 

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

 

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

 

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

 

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

 

 

 

 

Executive Officers

 

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

 

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

 

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

 

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

 

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

 

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

 

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

 

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

 

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

 

 

Vanguard Senior Management Team

 

Joseph Brennan Chris D. McIsaac
Mortimer J. Buckley James M. Norris
Gregory Davis Thomas M. Rampulla
John James Karin A. Risi
Martha G. King Anne E. Robinson
John T. Marcante Michael Rollings

 

 

 

 

 
   
  P.O. Box 2600
  Valley Forge, PA 19482-2600

 

 

 

Connect with Vanguard® > vanguard.com

 

 

 

Fund Information > 800-662-7447

 

Direct Investor Account Services > 800-662-2739

 

Institutional Investor Services > 800-523-1036

 

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

 

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

 

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

 

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

 

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  U.S. Patent Nos. 6,879,964; 7,337,138;
  7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.
  Vanguard Marketing Corporation, Distributor.
   
  Q840 022020

 

 

 

 

 

 

 

 

 

Annual Report | December 31, 2019

 

 

Vanguard Total Bond Market II Index Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

 

 

 

 

 

Important information about access to shareholder reports

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

 

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

 

 

 

Contents  
   
A Note From Our Chairman 1
   
Your Fund’s Performance at a Glance 2
   
About Your Fund’s Expenses 3
   
Performance Summary 5
   
Financial Statements 7

 

 

 

 

 

 

 

 

 

 

 

 

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

 

 

 

A Note From Our Chairman

 

 

 

 

 

Tim Buckley

Chairman and Chief Executive Officer

 

 

 

Dear Shareholder,

 

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

 

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

 

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

 

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

 

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

 

Sincerely,

 

 

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

 

1

 

 

Your Fund’s Performance at a Glance

 

 

·     For the 12 months ended December 31, 2019, Vanguard Total Bond Market II Index Fund returned 8.62% for Investor Shares and 8.69% for Institutional Shares. The fund performed in line with the 8.87% return of its benchmark index after taking the costs of running the fund into account.

 

·     The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a significant narrowing of the average yield spread for corporate bonds versus U.S. Treasuries.

 

·     Treasuries, which account for over 40% of the portfolio’s assets, returned 6.86%. Mortgage-backed securities returned a little less than that, while corporate bonds fared even better, returning 14.54%.

 

·     By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

 

 

 

Market Barometer                    
    Average Annual Total Returns  
    Periods Ended December 31, 2019  
    One Year   Three Years   Five Years  
Stocks                    
Russell 1000 Index (Large-caps)     31.43 %     15.05 %     11.48 %  
Russell 2000 Index (Small-caps)     25.53       8.59       8.23    
Russell 3000 Index (Broad U.S. market)     31.02       14.57       11.24    
FTSE All-World ex US Index (International)     21.81       9.96       5.83    
                           
Bonds                          
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)     8.72 %     4.03 %     3.05 %  
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)     7.54       4.72       3.53    
FTSE Three-Month U.S. Treasury Bill Index     2.25       1.65       1.04    
                           
CPI                          
Consumer Price Index     2.29 %     2.10 %     1.82 %  

 

2

 

 

 

About Your Fund’s Expenses

 

 

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

 

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

 

The accompanying table illustrates your fund’s costs in two ways:

 

·     Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

 

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

 

·     Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

 

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

 

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

 

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

 

3

 

 

Six Months Ended December 31, 2019      
  Beginning Ending Expenses
  Account Value Account Value Paid During
Total Bond Market II Index Fund 6/30/2019 12/31/2019 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,024.49 $0.46
Institutional Shares 1,000.00 1,024.85 0.10
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,024.75 $0.46
Institutional Shares 1,000.00 1,025.10 0.10

 

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.09% for Investor Shares and 0.02% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

 

4

 

 

Total Bond Market II Index Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

 

    Average Annual Total Returns  
    Periods Ended December 31, 2019  
          Final Value
    One Five Ten of a $10,000
    Year Years Years Investment
Total Bond Market II Index Fund Investor Shares 8.62% 2.93% 3.59% $14,230
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 14,486
           
           
          Final Value
    One Five Ten of a $5,000,000
    Year Years Years Investment
Total Bond Market II Index Fund Institutional Shares 8.69% 3.00% 3.66% $7,161,932
Bloomberg Barclays U.S. Aggregate Float Adjusted Index 8.87 3.07 3.78 7,242,955

 

 

 

 

 

 

 

 

 

 

 

See Financial Highlights for dividend and capital gains information.

 

5

 

 

Total Bond Market II Index Fund

 

 

Sector Diversification

As of December 31, 2019

 

Asset-Backed     0.4 %
Commercial Mortgage-Backed     2.0  
Finance     8.3  
Foreign     4.1  
Government Mortgage-Backed     22.0  
Industrial     16.1  
Treasury/Agency     44.6  
Utilities     1.9  
Other     0.6  

 

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

6

 

 

 

Total Bond Market II Index Fund

 

 

Financial Statements

 

Statement of Net Assets

As of December 31, 2019

 

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
U.S. Government and Agency Obligations (66.6%)          
U.S. Government Securities (43.3%)            
  United States Treasury Note/Bond 8.500% 2/15/20 5,018   5,056  
  United States Treasury Note/Bond 8.750% 8/15/20 15,755   16,422  
  United States Treasury Note/Bond 2.000% 9/30/20 2   2  
  United States Treasury Note/Bond 1.375% 10/31/20 3   3  
  United States Treasury Note/Bond 1.750% 10/31/20 2   2  
  United States Treasury Note/Bond 2.000% 11/30/20 163,375   163,885  
  United States Treasury Note/Bond 2.750% 11/30/20 2   2  
  United States Treasury Note/Bond 1.875% 12/15/20 708,440   709,992  
  United States Treasury Note/Bond 1.750% 12/31/20 200,000   200,188  
  United States Treasury Note/Bond 2.375% 12/31/20 194,345   195,711  
  United States Treasury Note/Bond 2.500% 12/31/20 573,205   577,859  
  United States Treasury Note/Bond 2.000% 1/15/21 483,080   484,814  
  United States Treasury Note/Bond 1.375% 1/31/21 400,353   399,164  
  United States Treasury Note/Bond 2.125% 1/31/21 169,525   170,373  
  United States Treasury Note/Bond 2.500% 1/31/21 411,665   415,395  
  United States Treasury Note/Bond 2.250% 2/15/21 511,532   514,888  
  United States Treasury Note/Bond 3.625% 2/15/21 277,415   283,440  
  United States Treasury Note/Bond 1.125% 2/28/21 195,148   193,989  
  United States Treasury Note/Bond 2.000% 2/28/21 340,741   342,179  
  United States Treasury Note/Bond 2.500% 2/28/21 176,125   177,858  
  United States Treasury Note/Bond 2.375% 3/15/21 27,761   27,995  
  United States Treasury Note/Bond 1.250% 3/31/21 236,387   235,278  
  United States Treasury Note/Bond 2.250% 3/31/21 287,264   289,419  
  United States Treasury Note/Bond 2.375% 4/15/21 318,258   321,291  
  United States Treasury Note/Bond 1.375% 4/30/21 117,322   116,956  
  United States Treasury Note/Bond 2.250% 4/30/21 75,747   76,374  
  United States Treasury Note/Bond 2.625% 5/15/21 332,092   336,605  
  United States Treasury Note/Bond 3.125% 5/15/21 100,610   102,638  
  United States Treasury Note/Bond 2.000% 5/31/21 87,899   88,366  
  United States Treasury Note/Bond 2.125% 5/31/21 447,608   450,755  
  United States Treasury Note/Bond 2.625% 6/15/21 226,450   229,706  
  United States Treasury Note/Bond 1.625% 6/30/21 459,563   459,637  
  United States Treasury Note/Bond 2.125% 6/30/21 299,510   301,804  
  United States Treasury Note/Bond 2.625% 7/15/21 273,625   277,814  
  United States Treasury Note/Bond 1.125% 7/31/21 231,305   229,533  
  United States Treasury Note/Bond 1.750% 7/31/21 422,112   423,036  
  United States Treasury Note/Bond 2.250% 7/31/21 109,725   110,805  
  United States Treasury Note/Bond 2.125% 8/15/21 224,628   226,452  
  United States Treasury Note/Bond 2.750% 8/15/21 375,798   382,551  
  United States Treasury Note/Bond 8.125% 8/15/21 34,550   38,118  

 

7

 

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  United States Treasury Note/Bond 1.125% 8/31/21 224,994   223,201  
  United States Treasury Note/Bond 1.500% 8/31/21 97,298   97,131  
  United States Treasury Note/Bond 2.000% 8/31/21 241,675   243,224  
  United States Treasury Note/Bond 2.750% 9/15/21 186,200   189,749  
  United States Treasury Note/Bond 1.125% 9/30/21 6,848   6,791  
  United States Treasury Note/Bond 1.500% 9/30/21 87,869   87,718  
  United States Treasury Note/Bond 2.125% 9/30/21 293,750   296,320  
  United States Treasury Note/Bond 2.875% 10/15/21 308,441   315,285  
  United States Treasury Note/Bond 1.250% 10/31/21 400,342   397,840  
  United States Treasury Note/Bond 1.500% 10/31/21 489,587   488,823  
  United States Treasury Note/Bond 2.000% 10/31/21 275,870   277,854  
  United States Treasury Note/Bond 2.000% 11/15/21 281,541   283,697  
  United States Treasury Note/Bond 2.875% 11/15/21 345,139   353,229  
  United States Treasury Note/Bond 1.500% 11/30/21 13,553   13,532  
  United States Treasury Note/Bond 1.750% 11/30/21 420,296   421,477  
  United States Treasury Note/Bond 1.875% 11/30/21 100,425   100,974  
  United States Treasury Note/Bond 2.625% 12/15/21 872,994   890,044  
  United States Treasury Note/Bond 1.625% 12/31/21 160,900   161,075  
  United States Treasury Note/Bond 2.000% 12/31/21 221,840   223,573  
  United States Treasury Note/Bond 2.125% 12/31/21 116,875   118,062  
  United States Treasury Note/Bond 2.500% 1/15/22 823,356   837,896  
  United States Treasury Note/Bond 1.500% 1/31/22 324,393   323,835  
  United States Treasury Note/Bond 1.875% 1/31/22 323,028   324,843  
  United States Treasury Note/Bond 2.000% 2/15/22 39,412   39,726  
  United States Treasury Note/Bond 2.500% 2/15/22 1,040,133   1,059,636  
  United States Treasury Note/Bond 1.750% 2/28/22 235,777   236,550  
  United States Treasury Note/Bond 1.875% 2/28/22 304,490   306,299  
  United States Treasury Note/Bond 2.375% 3/15/22 991,706   1,008,446  
  United States Treasury Note/Bond 1.750% 3/31/22 202,337   203,033  
  United States Treasury Note/Bond 1.875% 3/31/22 345,708   347,813  
  United States Treasury Note/Bond 2.250% 4/15/22 983,190   997,328  
  United States Treasury Note/Bond 1.750% 4/30/22 193,091   193,755  
  United States Treasury Note/Bond 1.875% 4/30/22 212,589   213,918  
  United States Treasury Note/Bond 1.750% 5/15/22 300,000   300,984  
  United States Treasury Note/Bond 2.125% 5/15/22 371,910   376,384  
  United States Treasury Note/Bond 1.750% 5/31/22 67,332   67,574  
  United States Treasury Note/Bond 1.875% 5/31/22 111,900   112,634  
  United States Treasury Note/Bond 1.750% 6/15/22 667,504   669,900  
  United States Treasury Note/Bond 1.750% 6/30/22 367,600   368,979  
  United States Treasury Note/Bond 2.125% 6/30/22 135,735   137,474  
  United States Treasury Note/Bond 1.750% 7/15/22 348,260   349,458  
  United States Treasury Note/Bond 1.875% 7/31/22 269,263   271,029  
  United States Treasury Note/Bond 2.000% 7/31/22 187,730   189,577  
  United States Treasury Note/Bond 1.500% 8/15/22 365,753   364,780  
  United States Treasury Note/Bond 1.625% 8/15/22 259,234   259,356  
  United States Treasury Note/Bond 7.250% 8/15/22 75   86  
  United States Treasury Note/Bond 1.625% 8/31/22 341,015   341,121  
  United States Treasury Note/Bond 1.875% 8/31/22 229,931   231,513  
  United States Treasury Note/Bond 1.500% 9/15/22 1,053,810   1,050,849  
  United States Treasury Note/Bond 1.750% 9/30/22 268,153   269,116  
  United States Treasury Note/Bond 1.875% 9/30/22 334,051   336,453  
  United States Treasury Note/Bond 1.375% 10/15/22 1,397,361   1,388,194  
  United States Treasury Note/Bond 1.875% 10/31/22 317,955   320,143  
  United States Treasury Note/Bond 2.000% 10/31/22 470,049   474,970  
  United States Treasury Note/Bond 1.625% 11/15/22 726,461   726,686  

 

8

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  United States Treasury Note/Bond 7.625% 11/15/22 150   175  
  United States Treasury Note/Bond 2.000% 11/30/22 593,275   599,576  
  United States Treasury Note/Bond 1.625% 12/15/22 1,581,565   1,582,308  
  United States Treasury Note/Bond 2.125% 12/31/22 496,046   503,333  
  United States Treasury Note/Bond 1.750% 1/31/23 279,340   280,388  
  United States Treasury Note/Bond 2.375% 1/31/23 281,440   287,772  
  United States Treasury Note/Bond 2.000% 2/15/23 325,850   329,464  
  United States Treasury Note/Bond 1.500% 2/28/23 122,637   122,139  
  United States Treasury Note/Bond 2.625% 2/28/23 370,434   381,721  
  United States Treasury Note/Bond 1.500% 3/31/23 100,115   99,709  
  United States Treasury Note/Bond 2.500% 3/31/23 394,925   405,663  
  United States Treasury Note/Bond 1.625% 4/30/23 151,271   151,177  
  United States Treasury Note/Bond 2.750% 4/30/23 153,300   158,785  
  United States Treasury Note/Bond 1.750% 5/15/23 124,775   125,184  
  United States Treasury Note/Bond 1.625% 5/31/23 122,505   122,447  
  United States Treasury Note/Bond 2.750% 5/31/23 65,346   67,715  
  United States Treasury Note/Bond 1.375% 6/30/23 254,587   252,280  
  United States Treasury Note/Bond 2.625% 6/30/23 191,146   197,507  
  United States Treasury Note/Bond 1.250% 7/31/23 133,182   131,309  
  United States Treasury Note/Bond 2.750% 7/31/23 86,268   89,544  
  United States Treasury Note/Bond 2.500% 8/15/23 409,285   421,371  
  United States Treasury Note/Bond 1.375% 8/31/23 344,995   341,652  
  United States Treasury Note/Bond 1.375% 9/30/23 152,840   151,264  
  United States Treasury Note/Bond 2.875% 9/30/23 114,482   119,509  
  United States Treasury Note/Bond 2.875% 10/31/23 114,000   119,076  
  United States Treasury Note/Bond 2.750% 11/15/23 128,215   133,364  
  United States Treasury Note/Bond 2.125% 11/30/23 182,625   185,764  
  United States Treasury Note/Bond 2.875% 11/30/23 197,846   206,810  
  United States Treasury Note/Bond 2.250% 12/31/23 120,863   123,563  
  United States Treasury Note/Bond 2.625% 12/31/23 1,475,123   1,529,290  
  United States Treasury Note/Bond 2.250% 1/31/24 197,225   201,663  
  United States Treasury Note/Bond 2.500% 1/31/24 686,069   708,366  
  United States Treasury Note/Bond 2.750% 2/15/24 270,399   281,891  
  United States Treasury Note/Bond 2.125% 2/29/24 153,000   155,725  
  United States Treasury Note/Bond 2.375% 2/29/24 298,197   306,490  
  United States Treasury Note/Bond 2.125% 3/31/24 708,094   720,925  
  United States Treasury Note/Bond 2.000% 4/30/24 280,940   284,626  
  United States Treasury Note/Bond 2.250% 4/30/24 134,542   137,696  
  United States Treasury Note/Bond 2.500% 5/15/24 566,753   586,057  
  United States Treasury Note/Bond 2.000% 5/31/24 268,571   272,095  
  United States Treasury Note/Bond 1.750% 6/30/24 355,810   356,700  
  United States Treasury Note/Bond 2.000% 6/30/24 230,940   233,970  
  United States Treasury Note/Bond 1.750% 7/31/24 177,500   177,972  
  United States Treasury Note/Bond 2.125% 7/31/24 195,665   199,334  
  United States Treasury Note/Bond 2.375% 8/15/24 659,320   678,994  
  United States Treasury Note/Bond 1.250% 8/31/24 420,133   411,861  
  United States Treasury Note/Bond 1.875% 8/31/24 243,460   245,400  
  United States Treasury Note/Bond 1.500% 9/30/24 396,425   392,956  
  United States Treasury Note/Bond 2.125% 9/30/24 693,720   707,164  
  United States Treasury Note/Bond 1.500% 10/31/24 584,486   579,372  
  United States Treasury Note/Bond 2.250% 10/31/24 359,393   368,601  
  United States Treasury Note/Bond 2.250% 11/15/24 483,372   495,684  
  United States Treasury Note/Bond 1.500% 11/30/24 1,022,564   1,013,780  
  United States Treasury Note/Bond 2.125% 11/30/24 641,200   653,825  
  United States Treasury Note/Bond 1.750% 12/31/24 546,235   547,688  

 

9

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  United States Treasury Note/Bond 2.250% 12/31/24 289,725   297,284  
  United States Treasury Note/Bond 2.500% 1/31/25 334,225   347,073  
  United States Treasury Note/Bond 2.000% 2/15/25 312,509   316,903  
  United States Treasury Note/Bond 2.750% 2/28/25 333,477   350,464  
  United States Treasury Note/Bond 2.625% 3/31/25 517,823   541,208  
  United States Treasury Note/Bond 2.875% 4/30/25 467,029   494,172  
  United States Treasury Note/Bond 2.125% 5/15/25 436,221   444,810  
  United States Treasury Note/Bond 2.875% 5/31/25 109,085   115,460  
  United States Treasury Note/Bond 2.750% 6/30/25 179,285   188,726  
  United States Treasury Note/Bond 2.875% 7/31/25 233,510   247,448  
  United States Treasury Note/Bond 2.000% 8/15/25 189,083   191,505  
  United States Treasury Note/Bond 6.875% 8/15/25 40,840   52,007  
  United States Treasury Note/Bond 2.750% 8/31/25 186,630   196,604  
  United States Treasury Note/Bond 3.000% 9/30/25 8,733   9,322  
  United States Treasury Note/Bond 3.000% 10/31/25 100,900   107,758  
  United States Treasury Note/Bond 2.250% 11/15/25 434,690   446,170  
  United States Treasury Note/Bond 2.875% 11/30/25 456,327   484,419  
  United States Treasury Note/Bond 2.625% 12/31/25 652,375   683,669  
  United States Treasury Note/Bond 2.625% 1/31/26 666,595   698,672  
  United States Treasury Note/Bond 1.625% 2/15/26 541,734   536,317  
  United States Treasury Note/Bond 2.500% 2/28/26 384,057   399,838  
  United States Treasury Note/Bond 2.250% 3/31/26 467,794   480,368  
  United States Treasury Note/Bond 2.375% 4/30/26 135,000   139,641  
  United States Treasury Note/Bond 1.625% 5/15/26 519,378   513,618  
  United States Treasury Note/Bond 2.125% 5/31/26 378,579   385,855  
  United States Treasury Note/Bond 1.875% 6/30/26 393,440   394,978  
  United States Treasury Note/Bond 1.875% 7/31/26 282,000   282,970  
  United States Treasury Note/Bond 1.500% 8/15/26 634,832   621,939  
  United States Treasury Note/Bond 6.750% 8/15/26 8,800   11,516  
  United States Treasury Note/Bond 1.375% 8/31/26 550,805   535,316  
  United States Treasury Note/Bond 1.625% 9/30/26 507,013   500,594  
  United States Treasury Note/Bond 1.625% 10/31/26 571,480   563,799  
  United States Treasury Note/Bond 2.000% 11/15/26 366,562   370,455  
  United States Treasury Note/Bond 6.500% 11/15/26 36,215   47,176  
  United States Treasury Note/Bond 1.625% 11/30/26 680,570   671,423  
  United States Treasury Note/Bond 1.750% 12/31/26 381,945   379,798  
  United States Treasury Note/Bond 2.250% 2/15/27 464,121   476,740  
  United States Treasury Note/Bond 6.625% 2/15/27 39,650   52,338  
  United States Treasury Note/Bond 2.375% 5/15/27 43,030   44,597  
  United States Treasury Note/Bond 2.250% 8/15/27 417,539   429,022  
  United States Treasury Note/Bond 6.375% 8/15/27 6,850   9,055  
  United States Treasury Note/Bond 2.250% 11/15/27 187,761   192,982  
  United States Treasury Note/Bond 6.125% 11/15/27 55,808   73,265  
  United States Treasury Note/Bond 2.750% 2/15/28 552,470   588,723  
  United States Treasury Note/Bond 2.875% 5/15/28 531,973   572,535  
  United States Treasury Note/Bond 2.875% 8/15/28 622,152   670,468  
  United States Treasury Note/Bond 5.500% 8/15/28 45,575   58,628  
  United States Treasury Note/Bond 3.125% 11/15/28 705,130   775,206  
  United States Treasury Note/Bond 5.250% 11/15/28 76,342   97,157  
  United States Treasury Note/Bond 2.625% 2/15/29 451,527   478,479  
  United States Treasury Note/Bond 5.250% 2/15/29 52,279   66,836  
  United States Treasury Note/Bond 2.375% 5/15/29 676,096   702,721  
  United States Treasury Note/Bond 1.625% 8/15/29 860,967   838,634  
  United States Treasury Note/Bond 6.125% 8/15/29 62,930   86,214  

 

10

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  United States Treasury Note/Bond 1.750% 11/15/29 961,459   946,883  
  United States Treasury Note/Bond 6.250% 5/15/30 139,435   195,993  
  United States Treasury Note/Bond 5.375% 2/15/31 240,675   322,880  
  United States Treasury Note/Bond 4.500% 2/15/36 251,843   334,047  
  United States Treasury Note/Bond 4.750% 2/15/37 103,500   142,410  
  United States Treasury Note/Bond 5.000% 5/15/37 97,327   137,763  
  United States Treasury Note/Bond 4.375% 2/15/38 83,450   110,989  
  United States Treasury Note/Bond 4.500% 5/15/38 88,579   119,692  
  United States Treasury Note/Bond 3.500% 2/15/39 117,894   141,307  
  United States Treasury Note/Bond 4.250% 5/15/39 117,867   155,106  
  United States Treasury Note/Bond 4.500% 8/15/39 115,656   156,967  
  United States Treasury Note/Bond 4.375% 11/15/39 120,905   161,785  
  United States Treasury Note/Bond 4.625% 2/15/40 194,805   269,349  
  United States Treasury Note/Bond 4.375% 5/15/40 164,320   220,626  
  United States Treasury Note/Bond 3.875% 8/15/40 140,325   176,875  
  United States Treasury Note/Bond 4.250% 11/15/40 146,854   194,421  
  United States Treasury Note/Bond 4.750% 2/15/41 163,692   230,960  
  United States Treasury Note/Bond 4.375% 5/15/41 127,000   171,232  
  United States Treasury Note/Bond 3.750% 8/15/41 170,310   211,450  
  United States Treasury Note/Bond 3.125% 11/15/41 148,056   167,974  
  United States Treasury Note/Bond 3.125% 2/15/42 173,742   197,116  
  United States Treasury Note/Bond 3.000% 5/15/42 163,000   181,388  
  United States Treasury Note/Bond 2.750% 8/15/42 237,528   253,673  
  United States Treasury Note/Bond 2.750% 11/15/42 283,319   302,443  
  United States Treasury Note/Bond 3.125% 2/15/43 279,159   316,672  
  United States Treasury Note/Bond 2.875% 5/15/43 395,700   431,313  
  United States Treasury Note/Bond 3.625% 8/15/43 317,652   389,669  
  United States Treasury Note/Bond 3.750% 11/15/43 421,506   527,342  
  United States Treasury Note/Bond 3.625% 2/15/44 398,494   490,025  
  United States Treasury Note/Bond 3.375% 5/15/44 406,317   481,043  
  United States Treasury Note/Bond 3.125% 8/15/44 401,150   456,556  
  United States Treasury Note/Bond 3.000% 11/15/44 372,151   415,064  
  United States Treasury Note/Bond 2.500% 2/15/45 391,882   400,147  
  United States Treasury Note/Bond 3.000% 5/15/45 397,154   443,696  
  United States Treasury Note/Bond 2.875% 8/15/45 390,506   426,995  
  United States Treasury Note/Bond 3.000% 11/15/45 321,817   360,033  
  United States Treasury Note/Bond 2.500% 2/15/46 340,698   347,938  
  United States Treasury Note/Bond 2.500% 5/15/46 357,873   365,421  
  United States Treasury Note/Bond 2.250% 8/15/46 353,005   343,131  
1 United States Treasury Note/Bond 2.875% 11/15/46 389,990   427,830  
  United States Treasury Note/Bond 3.000% 2/15/47 254,099   285,544  
  United States Treasury Note/Bond 3.000% 5/15/47 177,051   198,906  
  United States Treasury Note/Bond 2.750% 8/15/47 102,418   109,843  
  United States Treasury Note/Bond 2.750% 11/15/47 602,004   645,553  
  United States Treasury Note/Bond 3.000% 2/15/48 389,470   437,788  
  United States Treasury Note/Bond 3.125% 5/15/48 451,233   519,482  
  United States Treasury Note/Bond 3.000% 8/15/48 454,182   511,595  
  United States Treasury Note/Bond 3.375% 11/15/48 183,303   221,139  
  United States Treasury Note/Bond 3.000% 2/15/49 543,233   612,832  
  United States Treasury Note/Bond 2.875% 5/15/49 463,731   511,338  
  United States Treasury Note/Bond 2.250% 8/15/49 538,410   522,511  
  United States Treasury Note/Bond 2.375% 11/15/49 546,250   544,628  
            85,915,224  

 

11

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
Agency Bonds and Notes (1.1%)            
2 AID-Iraq 2.149% 1/18/22 9,025   9,093  
2 AID-Israel 5.500% 9/18/23 6,500   7,368  
2 AID-Israel 5.500% 12/4/23 7,002   7,977  
2 AID-Israel 5.500% 4/26/24 5,575   6,419  
2 AID-Israel 5.500% 9/18/33 150   204  
2 AID-Jordan 2.578% 6/30/22 3,180   3,236  
2 AID-Jordan 3.000% 6/30/25 4,325   4,499  
2 AID-Tunisia 2.452% 7/24/21 2,300   2,323  
2 AID-Tunisia 1.416% 8/5/21 2,830   2,816  
2 AID-Ukraine 1.471% 9/29/21 6,825   6,793  
  Federal Farm Credit Banks 2.550% 3/11/21 15,750   15,924  
  Federal Farm Credit Banks 2.230% 4/5/21 15,750   15,867  
  Federal Farm Credit Banks 3.050% 11/15/21 6,050   6,208  
  Federal Farm Credit Banks 1.600% 12/28/21 10,300   10,294  
  Federal Farm Credit Banks 2.600% 1/18/22 6,000   6,117  
  Federal Farm Credit Banks 1.770% 6/26/23 6,300   6,325  
  Federal Farm Credit Banks 3.500% 12/20/23 5,100   5,450  
  Federal Home Loan Banks 1.375% 2/18/21 16,820   16,778  
  Federal Home Loan Banks 2.250% 6/11/21 30,000   30,264  
  Federal Home Loan Banks 5.625% 6/11/21 17,350   18,334  
  Federal Home Loan Banks 1.875% 7/7/21 45,140   45,305  
  Federal Home Loan Banks 1.125% 7/14/21 24,275   24,091  
  Federal Home Loan Banks 3.000% 10/12/21 81,300   83,245  
  Federal Home Loan Banks 1.625% 11/19/21 38,030   38,027  
  Federal Home Loan Banks 1.875% 11/29/21 79,160   79,525  
  Federal Home Loan Banks 1.625% 12/20/21 66,960   66,955  
  Federal Home Loan Banks 2.125% 6/10/22 7,750   7,838  
  Federal Home Loan Banks 2.000% 9/9/22 11,665   11,772  
  Federal Home Loan Banks 2.125% 3/10/23 28,800   29,219  
  Federal Home Loan Banks 2.500% 2/13/24 44,590   45,958  
  Federal Home Loan Banks 2.875% 6/14/24 200   210  
  Federal Home Loan Banks 1.500% 8/15/24 19,940   19,716  
  Federal Home Loan Banks 5.375% 8/15/24 1,585   1,839  
  Federal Home Loan Banks 2.875% 9/13/24 1,000   1,050  
  Federal Home Loan Banks 3.250% 11/16/28 19,645   21,483  
  Federal Home Loan Banks 5.500% 7/15/36 20,850   29,283  
3 Federal Home Loan Mortgage Corp. 2.375% 2/16/21 40,000   40,344  
3 Federal Home Loan Mortgage Corp. 1.125% 8/12/21 36,800   36,506  
3 Federal Home Loan Mortgage Corp. 2.375% 1/13/22 70,985   72,039  
3 Federal Home Loan Mortgage Corp. 2.750% 6/19/23 42,650   44,217  
3 Federal Home Loan Mortgage Corp. 6.750% 9/15/29 2,573   3,605  
3 Federal Home Loan Mortgage Corp. 6.750% 3/15/31 35,301   51,043  
3 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 28,178   40,471  
3 Federal National Mortgage Assn. 1.375% 2/26/21 20,285   20,233  
3 Federal National Mortgage Assn. 2.500% 4/13/21 35,000   35,384  
3 Federal National Mortgage Assn. 2.750% 6/22/21 24,046   24,437  
3 Federal National Mortgage Assn. 1.250% 8/17/21 26,506   26,345  
3 Federal National Mortgage Assn. 1.375% 10/7/21 44,250   44,055  
3 Federal National Mortgage Assn. 2.000% 1/5/22 101,000   101,738  
3 Federal National Mortgage Assn. 2.625% 1/11/22 10,798   11,011  
3 Federal National Mortgage Assn. 1.875% 4/5/22 61,000   61,331  
3 Federal National Mortgage Assn. 2.250% 4/12/22 23,810   24,139  
3 Federal National Mortgage Assn. 1.375% 9/6/22 15,115   15,007  

 

12

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3 Federal National Mortgage Assn. 2.000% 10/5/22 69,818   70,476  
3 Federal National Mortgage Assn. 2.375% 1/19/23 25,381   25,922  
3 Federal National Mortgage Assn. 2.875% 9/12/23 50,000   52,160  
3 Federal National Mortgage Assn. 2.500% 2/5/24 45,214   46,593  
3 Federal National Mortgage Assn. 1.750% 7/2/24 41,103   41,113  
3 Federal National Mortgage Assn. 2.625% 9/6/24 8,755   9,104  
3 Federal National Mortgage Assn. 1.625% 10/15/24 38,890   38,642  
3 Federal National Mortgage Assn. 2.125% 4/24/26 51,802   52,504  
3 Federal National Mortgage Assn. 1.875% 9/24/26 30,435   30,356  
3 Federal National Mortgage Assn. 6.250% 5/15/29 17,526   23,648  
3 Federal National Mortgage Assn. 7.125% 1/15/30 8,850   12,776  
3 Federal National Mortgage Assn. 7.250% 5/15/30 32,760   48,102  
3 Federal National Mortgage Assn. 6.625% 11/15/30 27,435   39,051  
3 Federal National Mortgage Assn. 5.625% 7/15/37 3,396   4,884  
3 Federal National Mortgage Assn. 6.210% 8/6/38 300   453  
  Private Export Funding Corp. 4.300% 12/15/21 7,760   8,149  
  Private Export Funding Corp. 2.800% 5/15/22 1,125   1,151  
  Private Export Funding Corp. 2.050% 11/15/22 15,525   15,601  
  Private Export Funding Corp. 3.550% 1/15/24 16,425   17,435  
  Private Export Funding Corp. 2.450% 7/15/24 4,955   5,056  
  Private Export Funding Corp. 1.750% 11/15/24 3,115   3,098  
  Private Export Funding Corp. 3.250% 6/15/25 1,575   1,673  
  Tennessee Valley Authority 3.875% 2/15/21 5,395   5,519  
  Tennessee Valley Authority 1.875% 8/15/22 3,875   3,883  
  Tennessee Valley Authority 2.875% 9/15/24 12,231   12,779  
  Tennessee Valley Authority 6.750% 11/1/25 19,581   24,766  
  Tennessee Valley Authority 2.875% 2/1/27 25,750   26,993  
  Tennessee Valley Authority 7.125% 5/1/30 9,625   13,874  
  Tennessee Valley Authority 4.700% 7/15/33 6,375   7,986  
  Tennessee Valley Authority 4.650% 6/15/35 4,000   4,941  
  Tennessee Valley Authority 5.880% 4/1/36 6,795   9,557  
  Tennessee Valley Authority 6.150% 1/15/38 665   980  
  Tennessee Valley Authority 5.500% 6/15/38 1,436   1,990  
  Tennessee Valley Authority 5.250% 9/15/39 15,248   20,878  
  Tennessee Valley Authority 4.875% 1/15/48 14,320   19,590  
  Tennessee Valley Authority 5.375% 4/1/56 5,585   8,472  
  Tennessee Valley Authority 4.625% 9/15/60 8,838   12,099  
  Tennessee Valley Authority 4.250% 9/15/65 8,050   10,425  
            2,072,389  
Conventional Mortgage-Backed Securities (22.2%)          
3,4 Fannie Mae Pool 2.000% 11/1/27–11/1/34 73,264   73,032  
3,4,5 Fannie Mae Pool 2.500% 11/1/26–1/1/50 1,216,096   1,225,612  
3,4,5 Fannie Mae Pool 3.000% 11/1/20–12/1/49 4,062,156   4,162,622  
3,4,5 Fannie Mae Pool 3.500% 5/1/20–2/1/50 4,643,687   4,833,859  
3,4 Fannie Mae Pool 4.000% 4/1/20–1/1/50 3,832,345   4,028,150  
3,4,5 Fannie Mae Pool 4.500% 1/1/20–1/1/50 1,632,866   1,741,891  
3,4,5 Fannie Mae Pool 5.000% 2/1/20–1/1/50 497,410   542,043  
3,4 Fannie Mae Pool 5.500% 1/1/20–2/1/42 229,085   257,830  
3,4 Fannie Mae Pool 6.000% 1/1/20–5/1/41 140,746   160,544  
3,4 Fannie Mae Pool 6.500% 10/1/21–5/1/40 35,159   40,401  
3,4 Fannie Mae Pool 7.000% 8/1/27–12/1/38 8,841   10,029  
3,4 Fannie Mae Pool 7.500% 7/1/30–12/1/32 109   126  
3,4 Fannie Mae Pool 8.000% 12/1/29 12   14  
3,4 Freddie Mac Gold Pool 2.000% 1/1/28–12/1/31 37,914   37,825  

 

13

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 Freddie Mac Gold Pool 2.500% 4/1/27–3/1/43 611,215   619,602  
3,4 Freddie Mac Gold Pool 3.000% 4/1/21–4/1/48 2,144,080   2,203,843  
3,4 Freddie Mac Gold Pool 3.500% 12/1/20–3/1/49 2,628,140   2,742,061  
3,4 Freddie Mac Gold Pool 4.000% 1/1/20–2/1/49 1,969,678   2,075,471  
3,4 Freddie Mac Gold Pool 4.500% 3/1/20–1/1/49 816,281   873,294  
3,4 Freddie Mac Gold Pool 5.000% 1/1/20–11/1/48 232,694   253,894  
3,4 Freddie Mac Gold Pool 5.500% 1/1/20–6/1/41 111,699   124,404  
3,4 Freddie Mac Gold Pool 6.000% 8/1/20–5/1/40 53,810   61,325  
3,4 Freddie Mac Gold Pool 6.500% 3/1/22–9/1/39 14,305   16,263  
3,4 Freddie Mac Gold Pool 7.000% 3/1/26–12/1/38 5,148   5,816  
3,4 Freddie Mac Gold Pool 7.500% 4/1/27–2/1/32 48   53  
3,4 Freddie Mac Gold Pool 8.000% 1/1/27–11/1/31 75   83  
3,4 Freddie Mac Gold Pool 8.500% 6/1/25 13   15  
3,4 Freddie Mac Pool 4.000% 1/1/49 24,420   25,774  
3,4 Freddie Mac Pool 4.500% 4/1/49 51,624   55,256  
4 Ginnie Mae I Pool 3.000% 1/15/26–3/15/45 103,271   106,236  
4 Ginnie Mae I Pool 3.500% 11/15/25–1/1/49 134,932   141,084  
4 Ginnie Mae I Pool 4.000% 6/15/24–1/1/49 164,033   173,514  
4,5 Ginnie Mae I Pool 4.500% 3/15/20–2/15/49 150,203   162,055  
4 Ginnie Mae I Pool 5.000% 3/15/20–11/15/46 83,843   91,753  
4 Ginnie Mae I Pool 5.500% 10/15/20–6/15/41 40,709   45,257  
4 Ginnie Mae I Pool 6.000% 1/15/26–6/15/41 29,539   33,324  
4 Ginnie Mae I Pool 6.500% 5/15/24–8/15/39 7,315   8,091  
4 Ginnie Mae I Pool 7.000% 7/15/23–9/15/36 359   411  
4 Ginnie Mae I Pool 7.500% 12/15/23 7   8  
4 Ginnie Mae I Pool 8.000% 6/15/25–1/15/27 25   29  
4,5 Ginnie Mae II Pool 2.500% 6/20/27–1/1/50 426,369   427,969  
4,5 Ginnie Mae II Pool 3.000% 10/20/26–1/1/50 2,893,760   2,983,746  
4,5 Ginnie Mae II Pool 3.500% 9/20/25–10/1/49 4,256,866   4,427,411  
4,5 Ginnie Mae II Pool 4.000% 9/20/25–1/1/50 2,680,978   2,803,887  
4,5 Ginnie Mae II Pool 4.500% 8/20/33–1/1/50 1,345,762   1,428,518  
4 Ginnie Mae II Pool 5.000% 12/20/32–5/20/49 463,749   497,113  
4 Ginnie Mae II Pool 5.500% 8/20/23–1/20/49 67,147   74,049  
4 Ginnie Mae II Pool 6.000% 3/20/31–9/20/41 20,160   22,960  
4 Ginnie Mae II Pool 6.500% 10/20/28–11/20/39 6,814   7,829  
4 Ginnie Mae II Pool 7.000% 8/20/34–11/20/38 1,046   1,237  
3,4 UMBS Pool 2.000% 1/1/32 9,088   8,994  
3,4 UMBS Pool 2.500% 11/1/34–12/1/49 221,708   220,208  
3,4 UMBS Pool 3.000% 6/1/30–1/1/50 1,111,076   1,129,624  
3,4 UMBS Pool 3.500% 2/1/34–10/1/49 994,788   1,028,346  
3,4 UMBS Pool 4.000% 11/1/33–9/1/49 346,449   369,131  
3,4 UMBS Pool 4.500% 8/1/48–8/1/49 222,115   236,785  
3,4 UMBS Pool 5.000% 3/1/49 75,517   82,773  
3,4 UMBS TBA 2.000% 1/1/35 2,000   1,973  
3,4,5 UMBS TBA 2.500% 1/1/50 149,600   147,941  
3,4,5 UMBS TBA 3.000% 11/1/49–1/1/50 536,300   543,840  
3,4,5 UMBS TBA 3.500% 7/1/49–1/1/50 284,365   292,495  
3,4,5 UMBS TBA 4.000% 1/1/35–1/1/50 313,465   326,021  
            43,995,744  
Nonconventional Mortgage-Backed Securities (0.0%)          
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.290% 4.034% 12/1/41 641   661  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.310% 3.592% 9/1/37 1,175   1,208  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.392% 3.811% 10/1/37 160   165  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.509% 4.082% 7/1/36 143   148  

 

14

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.553% 2.443% 9/1/43 389   389  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.560% 2.272% 7/1/43 3,166   3,174  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.607% 3.607% 11/1/33 44   47  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.609% 3.642% 12/1/33 82   87  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.623% 4.748% 2/1/36 152   155  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.625% 4.135% 8/1/35 213   226  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.627% 4.752% 3/1/38 84   86  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.635% 3.510% 11/1/36 22   23  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.643% 4.476% 1/1/37 77   82  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.658% 4.283% 7/1/35 185   195  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.660% 3.910% 9/1/40 112   119  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.660% 4.722% 4/1/36 71   74  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.665% 4.415% 6/1/36 13   13  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.679% 3.992% 1/1/42 748   772  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.682% 4.167% 10/1/37 395   407  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.687% 4.498% 6/1/42 931   970  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.690% 3.706% 10/1/39 243   253  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.690% 3.972% 9/1/42 879   917  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.690% 4.622% 5/1/40 242   253  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.695% 4.320% 7/1/39 92   96  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.698% 4.161% 8/1/40 162   170  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.700% 4.364% 12/1/40 223   235  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.701% 3.965% 10/1/42 632   670  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.705% 3.809% 11/1/39 120   127  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.726% 3.956% 9/1/34 105   108  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.734% 3.997% 11/1/39 395   413  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.746% 4.506% 7/1/41 857   904  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.748% 4.778% 5/1/35 106   111  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.750% 4.213% 10/1/40 134   141  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.750% 4.875% 2/1/36 159   169  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.767% 4.648% 6/1/41 144   152  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.771% 4.709% 5/1/42 298   312  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.780% 4.905% 2/1/41 206   216  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.793% 3.391% 8/1/42 1,234   1,233  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.795% 4.839% 3/1/42 619   651  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.798% 4.358% 3/1/42 657   705  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.804% 3.943% 12/1/39 300   312  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.805% 3.773% 11/1/41 561   597  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.810% 3.685% 10/1/40 548   575  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.810% 3.935% 11/1/33–11/1/39 274   290  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.810% 4.810% 12/1/40 246   258  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.813% 3.978% 11/1/41 354   374  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.813% 4.435% 1/1/42 525   552  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.815% 3.690% 11/1/40 186   195  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.815% 3.809% 12/1/40 176   185  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.815% 3.970% 12/1/41 416   441  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.815% 4.693% 5/1/41 435   458  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.815% 4.940% 2/1/41 404   426  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.819% 4.759% 3/1/41 491   517  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.820% 4.168% 12/1/40 195   205  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.822% 4.310% 9/1/40 606   639  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.823% 4.902% 2/1/41 244   245  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.825% 4.825% 3/1/41 465   496  
3,4,6 Fannie Mae Pool, 12M USD LIBOR +1.826% 4.576% 7/1/38 81   83  

 

15

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.830% 3.451% 4/1/41 507   508  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.830% 4.580% 6/1/41 440   466  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.835% 4.723% 1/1/40 241   250  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.840% 4.403% 8/1/39 232   245  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.861% 4.745% 5/1/40 117   120  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.880% 4.406% 11/1/34 306   326  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.909% 4.784% 4/1/37 191   202  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.912% 4.787% 5/1/36 22   22  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 1.965% 5.009% 4/1/37 6   7  
3,4,6 Fannie Mae Pool, 12M USD LIBOR + 2.130% 4.667% 10/1/36 108   116  
3,4,6 Fannie Mae Pool, 1Y CMT + 2.155% 4.780% 12/1/37 373   385  
3,4,6 Fannie Mae Pool, 1Y CMT + 2.238% 4.613% 7/1/38 75   79  
3,4,6 Fannie Mae Pool, 1Y CMT + 2.268% 4.415% 12/1/35 84   89  
3,4,6 Fannie Mae Pool, 1Y CMT + 2.313% 4.845% 1/1/35 111   118  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.026% 3.206% 4/1/37 512   528  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.476% 2.242% 3/1/43 2,642   2,644  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.530% 3.662% 12/1/43 813   866  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.582% 2.743% 6/1/43 1,619   1,628  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.638% 4.339% 8/1/39 737   756  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.657% 4.260% 10/1/42 565   568  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.700% 4.531% 7/1/37 141   150  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.710% 3.371% 9/1/43 1,474   1,510  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.723% 4.720% 5/1/42 1,153   1,205  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.789% 4.572% 7/1/42 687   739  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.799% 4.620% 2/1/42 2,039   2,168  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.840% 4.157% 8/1/37 173   182  
3,4,6 Fannie Mae Pool, 6M USD LIBOR + 1.851% 4.434% 2/1/42 819   876  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 0.985% 3.235% 10/1/37 21   22  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.564% 4.420% 3/1/37 37   38  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.570% 4.695% 3/1/37 10   11  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.588% 3.921% 9/1/37 57   58  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.625% 4.625% 1/1/38 38   40  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% 3.807% 11/1/43 1,058   1,093  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% 3.830% 12/1/36 113   120  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% 4.515% 5/1/42 125   126  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660% 3.711% 10/1/37 361   376  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695% 4.767% 2/1/37 78   83  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.727% 4.738% 1/1/35 21   22  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.743% 3.865% 12/1/36 154   158  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745% 4.713% 12/1/40 857   890  

 

16

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% 4.287% 12/1/41 439   462  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% 4.625% 5/1/38 32   33  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765% 3.730% 12/1/36 41   44  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796% 3.871% 12/1/34 108   110  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798% 4.529% 6/1/37 269   287  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.833% 4.190% 3/1/42 452   478  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.834% 4.220% 12/1/35 141   149  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840% 4.590% 6/1/37 26   28  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.851% 4.716% 1/1/37 73   77  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.864% 4.595% 2/1/42 152   160  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.865% 4.348% 8/1/37 81   84  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.005% 11/1/40 28   29  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.630% 6/1/40 187   193  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.713% 6/1/41 142   148  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.755% 5/1/40 235   243  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.756% 6/1/40 224   236  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.880% 12/1/40 81   84  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 4.979% 1/1/41 608   636  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 5.005% 3/1/41 119   126  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.885% 4.510% 7/1/38 64   65  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889% 4.956% 2/1/42 534   535  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895% 4.323% 9/1/40 582   612  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% 3.846% 11/1/40 298   307  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% 4.705% 6/1/40 246   254  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% 4.825% 1/1/41 86   91  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% 5.035% 2/1/41 543   576  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977% 4.783% 5/1/37 712   736  

 

17

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.995% 5.120% 3/1/37 143   152  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.000% 4.750% 7/1/35 21   22  
3,4,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085% 5.210% 3/1/38 24   25  
3,4,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 4.006% 11/1/34 309   323  
3,4,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 4.397% 11/1/36 47   49  
3,4,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 4.750% 5/1/36 141   148  
3,4,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 4.991% 2/1/36 74   77  
3,4,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.409% 4.964% 10/1/36 250   265  
3,4,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.549% 5.173% 3/1/37 39   39  
3,4,6 Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355% 3.438% 6/1/37 91   93  
3,4,6 Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.570% 3.859% 3/1/37 9   9  
3,4,6 Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.665% 3.982% 1/1/37 235   247  
4,6 Ginnie Mae II Pool, 1Y CMT + 1.500% 3.250% 7/20/38–8/20/41 2,590   2,675  
4,6 Ginnie Mae II Pool, 1Y CMT + 1.500% 3.875% 6/20/29–6/20/43 4,267   4,406  
4,6 Ginnie Mae II Pool, 1Y CMT + 1.500% 4.000% 1/20/41–3/20/43 6,536   6,764  
4,6 Ginnie Mae II Pool, 1Y CMT + 1.500% 4.125% 10/20/38–12/20/43 5,554   5,741  
4,6 Ginnie Mae II Pool, 1Y CMT + 2.000% 4.375% 5/20/41 291   300  
4,6 Ginnie Mae II Pool, 1Y CMT + 2.000% 4.625% 11/20/40 34   36  
            71,629  
Total U.S. Government and Agency Obligations (Cost $128,962,293)     132,054,986  
Asset-Backed/Commercial Mortgage-Backed Securities (2.5%)        
4 Ally Auto Receivables Trust 2017-4 1.750% 12/15/21 2,833   2,831  
4 Ally Auto Receivables Trust 2017-4 1.960% 7/15/22 2,568   2,567  
4 Ally Auto Receivables Trust 2018-1 2.350% 6/15/22 3,457   3,462  
4 Ally Auto Receivables Trust 2018-1 2.530% 2/15/23 1,450   1,461  
4 Ally Auto Receivables Trust 2018-3 3.000% 1/17/23 1,375   1,386  
4 Ally Auto Receivables Trust 2018-3 3.120% 7/17/23 1,925   1,962  
4 Ally Auto Receivables Trust 2019-2 2.230% 1/16/24 12,500   12,541  
4 Ally Auto Receivables Trust 2019-2 2.260% 8/15/24 1,450   1,461  
4 Ally Auto Receivables Trust 2019-4 1.840% 6/17/24 10,370   10,360  
4 Ally Auto Receivables Trust 2019-4 1.920% 1/15/25 1,250   1,246  
4 Ally Master Owner Trust Series 2018-1 2.700% 1/17/23 18,450   18,578  
4 Ally Master Owner Trust Series 2018-2 3.290% 5/15/23 4,925   5,008  
4 American Express Credit Account Master Trust 2017-1 1.930% 9/15/22 10,100   10,098  
4 American Express Credit Account Master Trust 2017-3 1.770% 11/15/22 22,400   22,393  
4 American Express Credit Account Master Trust 2017-6 2.040% 5/15/23 16,125   16,148  
4 American Express Credit Account Master Trust 2017-7 2.350% 5/15/25 9,825   9,950  

 

18

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 American Express Credit Account Master Trust 2018-1 2.670% 10/17/22 12,250   12,269  
4 American Express Credit Account Master Trust 2018-2 3.010% 10/15/25 11,025   11,398  
4 American Express Credit Account Master Trust 2018-4 2.990% 12/15/23 14,175   14,386  
4 American Express Credit Account Master Trust 2018-8 3.180% 4/15/24 9,000   9,199  
4 AmeriCredit Automobile Receivables Trust 2017-2 1.980% 12/20/21 363   363  
4 AmeriCredit Automobile Receivables Trust 2017-3 1.900% 3/18/22 1,558   1,557  
4 AmeriCredit Automobile Receivables Trust 2018-1 3.070% 12/19/22 4,075   4,100  
4 AmeriCredit Automobile Receivables Trust 2018-1 3.260% 1/18/24 2,456   2,497  
4 AmeriCredit Automobile Receivables Trust 2018-1 3.500% 1/18/24 1,650   1,693  
4 AmeriCredit Automobile Receivables Trust 2019-1 2.970% 11/20/23 3,950   3,996  
4 BA Credit Card Trust 2017-A1 1.950% 8/15/22 10,000   10,000  
4 BA Credit Card Trust 2018-A1 2.700% 7/17/23 20,100   20,296  
4 BA Credit Card Trust 2019-A1 1.740% 1/15/25 8,125   8,104  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.429% 9/15/48 1,425   1,479  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.705% 9/15/48 2,525   2,686  
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.116% 2/15/50 500   508  
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.574% 2/15/50 7,560   8,077  
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.748% 2/15/50 2,800   2,934  
4 BANK 2017 - BNK4 3.625% 5/15/50 5,950   6,380  
4 BANK 2017 - BNK5 3.390% 6/15/60 7,000   7,405  
4 BANK 2017 - BNK5 3.624% 6/15/60 3,500   3,660  
4 BANK 2017 - BNK6 3.518% 7/15/60 9,408   10,030  
4 BANK 2017 - BNK6 3.741% 7/15/60 9,929   10,598  
4 BANK 2017 - BNK7 3.175% 9/15/60 7,575   7,854  
4 BANK 2017 - BNK7 3.435% 9/15/60 4,690   4,974  
4 BANK 2017 - BNK7 3.748% 9/15/60 5,225   5,533  
4 BANK 2017 - BNK8 3.488% 11/15/50 5,925   6,304  
4 BANK 2017 - BNK8 3.731% 11/15/50 1,000   1,056  
4 BANK 2017 - BNK9 3.279% 11/15/54 6,100   6,387  
4 BANK 2017 - BNK9 3.538% 11/15/54 5,925   6,323  
4 BANK 2018 - BN10 3.641% 2/15/61 1,425   1,515  
4 BANK 2018 - BN10 3.688% 2/15/61 10,900   11,755  
4 BANK 2018 - BN10 3.898% 2/15/61 1,650   1,770  
4 BANK 2018 - BN11 4.046% 3/15/61 4,300   4,747  
4 BANK 2018 - BN12 4.255% 5/15/61 5,125   5,737  
4 BANK 2018 - BN12 4.359% 5/15/61 1,650   1,860  
4 BANK 2018 - BN13 4.217% 8/15/61 6,225   6,967  
4 BANK 2018 - BN14 4.128% 9/15/60 5,725   6,077  
4 BANK 2018 - BN14 4.231% 9/15/60 9,850   11,028  

 

19

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 BANK 2018 - BN14 4.481% 9/15/60 2,600   2,888  
4 BANK 2018 - BN15 4.407% 11/15/61 9,060   10,298  
4 BANK 2019 - BN16 4.005% 2/15/52 6,850   7,576  
4 BANK 2019 - BN17 3.714% 4/15/52 5,070   5,499  
4 BANK 2019 - BN17 3.976% 4/15/52 2,125   2,277  
4 BANK 2019 - BN18 3.584% 5/15/62 16,725   17,988  
4 BANK 2019 - BN18 3.826% 5/15/62 2,050   2,187  
4 BANK 2019 - BN20 3.011% 9/15/61 7,775   8,003  
4 BANK 2019 - BN19 3.183% 8/15/61 12,600   13,149  
4 BANK 2019 - BN21 2.851% 10/17/52 16,350   16,607  
4 BANK 2019 - BN21 3.093% 10/17/52 3,275   3,288  
4 BANK 2019 - BN22 2.978% 11/15/62 12,780   13,118  
4 BANK 2019 - BN23 2.920% 12/15/52 8,290   8,468  
4 BANK 2019 - BN23 3.203% 12/15/52 3,125   3,161  
4 BANK 2019 - BN24 2.960% 11/15/62 6,225   6,380  
4 BANK 2019 - BN24 3.283% 11/15/62 2,900   2,952  
4 Bank Of America Credit Card Trust 2018-A2 3.000% 9/15/23 18,200   18,458  
4 Bank Of America Credit Card Trust 2018-A3 3.100% 12/15/23 6,750   6,877  
  Bank of Nova Scotia 1.875% 4/26/21 5,225   5,224  
4 BBCMS Mortgage Trust 2017-C1 3.674% 2/15/50 10,825   11,619  
4 BBCMS Mortgage Trust 2017-C1 3.898% 2/15/50 2,900   3,090  
4 BBCMS Mortgage Trust 2018-C2 4.314% 12/15/51 10,175   11,449  
4 BBCMS Mortgage Trust 2019-C3 3.583% 5/15/52 17,100   18,169  
4 BBCMS Mortgage Trust 2019-C4 2.919% 8/15/52 12,600   12,798  
4 BBCMS Mortgage Trust 2019-C4 3.171% 8/15/52 1,050   1,060  
4 BBCMS Mortgage Trust 2019-C5 3.063% 11/15/52 6,750   6,908  
4 BBCMS Mortgage Trust 2019-C5 3.366% 11/15/52 4,150   4,241  
4 BENCHMARK 2018-B1 Mortgage Trust 3.666% 1/15/51 4,700   5,062  
4 BENCHMARK 2018-B1 Mortgage Trust 3.878% 1/15/51 2,050   2,185  
4 BENCHMARK 2018-B2 Mortgage Trust 3.662% 2/15/51 4,150   4,304  
4 BENCHMARK 2018-B2 Mortgage Trust 3.882% 2/15/51 12,645   13,718  
4 BENCHMARK 2018-B2 Mortgage Trust 4.084% 2/15/51 5,675   6,164  
4 BENCHMARK 2018-B3 Mortgage Trust 3.848% 4/10/51 3,875   4,041  
4 BENCHMARK 2018-B3 Mortgage Trust 4.025% 4/10/51 10,250   11,306  
4 BENCHMARK 2018-B4 Mortgage Trust 4.121% 7/15/51 18,000   19,980  
4 BENCHMARK 2018-B4 Mortgage Trust 4.311% 7/15/51 4,000   4,393  
4 BENCHMARK 2018-B5 Mortgage Trust 4.208% 7/15/51 14,650   16,335  
4 BENCHMARK 2018-B5 Mortgage Trust 4.419% 7/15/51 1,750   1,928  
4 BENCHMARK 2018-B6 Mortgage Trust 4.203% 10/10/51 5,650   6,004  
4 BENCHMARK 2018-B6 Mortgage Trust 4.261% 10/10/51 7,075   7,925  
4 BENCHMARK 2018-B6 Mortgage Trust 4.441% 10/10/51 2,175   2,408  
4 BENCHMARK 2018-B7 Mortgage Trust 4.377% 5/15/53 2,225   2,378  
4 BENCHMARK 2018-B7 Mortgage Trust 4.510% 5/15/53 16,050   18,351  
4 BENCHMARK 2018-B8 Mortgage Trust 4.232% 1/15/52 12,500   14,048  
4 BENCHMARK 2018-B8 Mortgage Trust 4.532% 1/15/52 4,000   4,475  
4 BENCHMARK 2019-B10 Mortgage Trust 3.717% 3/15/62 7,425   8,078  
4 BENCHMARK 2019-B10 Mortgage Trust 3.979% 3/15/62 3,200   3,432  
4 BENCHMARK 2019-B11 Mortgage Trust 3.542% 5/15/52 12,550   13,473  
4 BENCHMARK 2019-B11 Mortgage Trust 3.784% 5/15/52 3,350   3,590  
4 BENCHMARK 2019-B13 Mortgage Trust 2.952% 8/15/57 12,275   12,531  
4 BENCHMARK 2019-B15 Mortgage Trust 2.928% 12/15/72 10,370   10,492  
4 BENCHMARK 2019-B9 Mortgage Trust 4.016% 3/15/52 6,509   7,207  
4 BENCHMARK Mortgage Trust 2019-B14 3.049% 12/15/62 10,175   10,506  
4 BMW Vehicle Lease Trust 2017-2 2.070% 10/20/20 831   831  

 

20

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 BMW Vehicle Owner Trust 2018-A 2.350% 4/25/22 5,629   5,643  
4 BMW Vehicle Owner Trust 2018-A 2.510% 6/25/24 1,375   1,386  
4 Cantor Commercial Real Estate Lending 2019-CF1 3.786% 5/15/52 5,705   6,154  
4 Cantor Commercial Real Estate Lending 2019-CF2 2.874% 11/15/52 6,150   6,181  
4 Cantor Commercial Real Estate Lending 2019-CF3 3.006% 1/15/53 6,225   6,345  
4 Cantor Commercial Real Estate Lending 2019-CF3 3.298% 1/15/53 2,675   2,681  
4 Capital One Auto Receivables Trust 2019-1 2.510% 11/15/23 5,025   5,065  
4 Capital One Auto Receivables Trust 2019-1 2.560% 10/15/24 1,675   1,698  
4 Capital One Multi-Asset Execution Trust 2015-A2 2.080% 3/15/23 7,825   7,830  
4 Capital One Multi-Asset Execution Trust 2015-A8 2.050% 8/15/23 4,950   4,958  
4 Capital One Multi-Asset Execution Trust 2017-A1 2.000% 1/17/23 6,900   6,901  
4 Capital One Multi-Asset Execution Trust 2017-A3 2.430% 1/15/25 7,025   7,088  
4 Capital One Multi-Asset Execution Trust 2017-A4 1.990% 7/17/23 11,300   11,312  
4 Capital One Multi-Asset Execution Trust 2017-A6 2.290% 7/15/25 9,400   9,509  
4 Capital One Multi-Asset Execution Trust 2018-A1 3.010% 2/15/24 5,250   5,322  
4 Capital One Multi-Asset Execution Trust 2019-A1 2.840% 12/15/24 3,350   3,420  
4 CarMax Auto Owner Trust 2016-3 1.390% 5/17/21 279   279  
4 CarMax Auto Owner Trust 2016-3 1.600% 1/18/22 1,030   1,028  
4 CarMax Auto Owner Trust 2017-4 2.110% 10/17/22 2,812   2,815  
4 CarMax Auto Owner Trust 2017-4 2.330% 5/15/23 2,350   2,360  
4 CarMax Auto Owner Trust 2018-1 2.480% 11/15/22 3,550   3,564  
4 CarMax Auto Owner Trust 2018-1 2.640% 6/15/23 900   910  
4 CarMax Auto Owner Trust 2018-2 2.980% 1/17/23 3,275   3,306  
4 CarMax Auto Owner Trust 2018-2 3.160% 7/17/23 2,025   2,066  
4 CarMax Auto Owner Trust 2019-4 2.020% 11/15/24 8,250   8,262  
4 CarMax Auto Owner Trust 2019-4 2.130% 7/15/25 1,025   1,027  
4 CD 2006-CD3 Commercial Mortgage Trust 5.648% 10/15/48 1,911   1,935  
4 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 5,650   5,707  
4 CD 2016-CD2 Commercial Mortgage Trust 3.526% 11/10/49 5,000   5,323  
4 CD 2017-CD3 Commercial Mortgage Trust 3.453% 2/10/50 1,862   1,941  
4 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 14,220   15,230  
4 CD 2017-CD3 Commercial Mortgage Trust 3.833% 2/10/50 3,706   3,913  
4 CD 2017-CD4 Commercial Mortgage Trust 3.514% 5/10/50 4,400   4,664  
4 CD 2017-CD4 Commercial Mortgage Trust 3.747% 5/10/50 3,000   3,177  
4 CD 2017-CD5 Commercial Mortgage Trust 3.431% 8/15/50 3,500   3,687  
4 CD 2017-CD6 Commercial Mortgage Trust 3.332% 11/13/50 2,400   2,512  
4 CD 2017-CD6 Commercial Mortgage Trust 3.456% 11/13/50 4,825   5,081  
4 CD 2017-CD6 Commercial Mortgage Trust 3.709% 11/13/50 2,825   2,979  
4 CD 2018-CD7 Commercial Mortgage Trust 4.279% 8/15/51 12,750   14,326  
4 CD 2019-CD8 Commercial Mortgage Trust 2.912% 8/15/57 8,400   8,569  
4 CenterPoint Energy Transition Bond Co. IV LLC 2012-1 3.028% 10/15/25 5,300   5,427  

 

21

 

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 CFCRE Commercial Mortgage Trust 2016-C3 3.865% 1/10/48 3,650   3,889  
4 CFCRE Commercial Mortgage Trust 2016-C4 3.283% 5/10/58 5,050   5,232  
4 CFCRE Commercial Mortgage Trust 2016-C4 3.691% 5/10/58 3,600   3,746  
4 CFCRE Commercial Mortgage Trust 2016-C6 3.217% 11/10/49 9,400   9,712  
4 CFCRE Commercial Mortgage Trust 2017-C8 3.572% 6/15/50 3,000   3,186  
4 Chase Issuance Trust 2012-A7 2.160% 9/15/24 12,805   12,889  
4 Chase Issuance Trust 2014-A2 2.770% 3/15/23 7,550   7,633  
4 Chase Issuance Trust 2015-A4 1.840% 4/15/22 5,400   5,398  
4 Chase Issuance Trust 2016-A4 1.490% 7/15/22 6,125   6,112  
4 Citibank Credit Card Issuance Trust 2014-A1 2.880% 1/23/23 15,000   15,151  
4 Citibank Credit Card Issuance Trust 2014-A5 2.680% 6/7/23 6,525   6,605  
4 Citibank Credit Card Issuance Trust 2016-A2 2.190% 11/20/23 7,175   7,216  
4 Citibank Credit Card Issuance Trust 2018-A1 2.490% 1/20/23 19,200   19,326  
4 Citibank Credit Card Issuance Trust 2018-A3 3.290% 5/23/25 20,500   21,383  
4 Citigroup Commercial Mortgage Trust 2012-GC8 3.024% 9/10/45 3,777   3,851  
4 Citigroup Commercial Mortgage Trust 2013-GC11 3.093% 4/10/46 2,300   2,356  
4 Citigroup Commercial Mortgage Trust 2013-GC11 3.422% 4/10/46 1,300   1,340  
4 Citigroup Commercial Mortgage Trust 2013-GC15 3.942% 9/10/46 609   628  
4 Citigroup Commercial Mortgage Trust 2013-GC15 4.371% 9/10/46 1,200   1,282  
4 Citigroup Commercial Mortgage Trust 2013-GC15 4.649% 9/10/46 1,700   1,819  
4 Citigroup Commercial Mortgage Trust 2013-GC17 3.675% 11/10/46 436   448  
4 Citigroup Commercial Mortgage Trust 2013-GC17 4.131% 11/10/46 1,825   1,939  
4 Citigroup Commercial Mortgage Trust 2013-GC17 4.544% 11/10/46 750   808  
4 Citigroup Commercial Mortgage Trust 2013-GC17 5.095% 11/10/46 750   814  
4 Citigroup Commercial Mortgage Trust 2014-GC19 3.552% 3/10/47 646   665  
4 Citigroup Commercial Mortgage Trust 2014-GC19 4.023% 3/10/47 1,150   1,222  
4 Citigroup Commercial Mortgage Trust 2014-GC19 4.345% 3/10/47 955   1,019  
4 Citigroup Commercial Mortgage Trust 2014-GC21 3.477% 5/10/47 332   341  
4 Citigroup Commercial Mortgage Trust 2014-GC21 3.855% 5/10/47 1,675   1,771  
4 Citigroup Commercial Mortgage Trust 2014-GC21 4.328% 5/10/47 1,350   1,422  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.622% 7/10/47 2,725   2,880  
4 Citigroup Commercial Mortgage Trust 2014-GC25 3.635% 10/10/47 5,650   5,951  
4 Citigroup Commercial Mortgage Trust 2015-GC27 3.137% 2/10/48 7,425   7,684  
4 Citigroup Commercial Mortgage Trust 2015-GC27 3.571% 2/10/48 3,025   3,139  

 

22

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Citigroup Commercial Mortgage Trust 2015-GC29 2.674% 4/10/48 1,315   1,316  
4 Citigroup Commercial Mortgage Trust 2015-GC29 3.758% 4/10/48 2,937   3,027  
4 Citigroup Commercial Mortgage Trust 2015-GC31 3.762% 6/10/48 2,925   3,114  
4 Citigroup Commercial Mortgage Trust 2015-GC33 3.778% 9/10/58 3,375   3,600  
4 Citigroup Commercial Mortgage Trust 2016-C1 3.003% 5/10/49 2,075   2,130  
4 Citigroup Commercial Mortgage Trust 2016-C1 3.209% 5/10/49 3,950   4,105  
4 Citigroup Commercial Mortgage Trust 2016-C2 2.832% 8/10/49 2,500   2,540  
4 Citigroup Commercial Mortgage Trust 2016-GC36 3.616% 2/10/49 7,150   7,588  
4 Citigroup Commercial Mortgage Trust 2016-P4 2.902% 7/10/49 2,350   2,400  
4 Citigroup Commercial Mortgage Trust 2017-B1 3.458% 8/15/50 9,900   10,443  
4 Citigroup Commercial Mortgage Trust 2017-B1 3.711% 8/15/50 1,950   2,047  
4 Citigroup Commercial Mortgage Trust 2017-C4 3.471% 10/12/50 5,925   6,305  
4 Citigroup Commercial Mortgage Trust 2017-C4 3.764% 10/12/50 1,575   1,673  
4 Citigroup Commercial Mortgage Trust 2018-B2 3.788% 3/10/51 2,300   2,402  
4 Citigroup Commercial Mortgage Trust 2018-B2 4.009% 3/10/51 12,275   13,416  
4 Citigroup Commercial Mortgage Trust 2019-GC41 2.869% 8/10/56 10,500   10,651  
4 Citigroup Commercial Mortgage Trust 2019-GC43 3.038% 11/10/52 12,365   12,697  
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 1,285   1,312  
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 1,825   1,872  
4 COMM 2012-CCRE3 Mortgage Trust 2.822% 10/15/45 5,334   5,392  
4,7 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 2,195   2,233  
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 6,262   6,337  
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 1,500   1,521  
4 COMM 2013-CCRE10 Mortgage Trust 4.210% 8/10/46 660   702  
4 COMM 2013-CCRE11 Mortgage Trust 3.660% 8/10/50 1,062   1,089  
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 1,750   1,845  
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 6,490   6,939  
4 COMM 2013-CCRE11 Mortgage Trust 4.715% 8/10/50 1,310   1,411  
4 COMM 2013-CCRE12 Mortgage Trust 2.904% 10/10/46 45   45  
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 847   871  
4 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 1,500   1,543  
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 1,125   1,192  
4 COMM 2013-CCRE12 Mortgage Trust 4.300% 10/10/46 750   795  
4 COMM 2013-CCRE12 Mortgage Trust 4.762% 10/10/46 350   364  
4 COMM 2013-CCRE13 Mortgage Trust 3.706% 11/10/46 307   316  
4 COMM 2013-CCRE13 Mortgage Trust 4.194% 11/10/46 3,700   3,946  
4 COMM 2013-CCRE13 Mortgage Trust 4.449% 11/10/46 1,100   1,176  

 

23

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 COMM 2013-CCRE6 Mortgage Trust 3.101% 3/10/46 1,744   1,778  
4 COMM 2013-CCRE7 Mortgage Trust 3.213% 3/10/46 1,057   1,084  
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 1,888   1,963  
4 COMM 2013-CCRE9 Mortgage Trust 4.222% 7/10/45 2,295   2,431  
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 2,020   2,156  
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,981   4,054  
4 COMM 2013-LC6 Mortgage Trust 3.282% 1/10/46 2,184   2,234  
4 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 1,103   1,103  
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 2,450   2,615  
4 COMM 2014-CCRE14 Mortgage Trust 4.526% 2/10/47 2,725   2,923  
4 COMM 2014-CCRE14 Mortgage Trust 4.638% 2/10/47 2,650   2,875  
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 800   800  
4 COMM 2014-CCRE15 Mortgage Trust 3.595% 2/10/47 793   815  
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 1,737   1,854  
4 COMM 2014-CCRE15 Mortgage Trust 4.697% 2/10/47 869   941  
4 COMM 2014-CCRE16 Mortgage Trust 3.653% 4/10/47 1,313   1,350  
4 COMM 2014-CCRE16 Mortgage Trust 4.278% 4/10/47 1,975   2,088  
4 COMM 2014-CCRE17 Mortgage Trust 3.598% 5/10/47 840   864  
4 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 2,425   2,576  
4 COMM 2014-CCRE17 Mortgage Trust 4.377% 5/10/47 955   1,001  
4 COMM 2014-CCRE18 Mortgage Trust 3.452% 7/15/47 2,553   2,610  
4 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 975   1,031  
4 COMM 2014-CCRE18 Mortgage Trust 4.103% 7/15/47 1,281   1,359  
4 COMM 2014-CCRE19 Mortgage Trust 3.796% 8/10/47 5,775   6,128  
4 COMM 2014-CCRE19 Mortgage Trust 4.080% 8/10/47 1,550   1,644  
4 COMM 2014-CCRE20 Mortgage Trust 3.590% 11/10/47 1,525   1,609  
4 COMM 2014-CCRE21 Mortgage Trust 3.528% 12/10/47 5,255   5,505  
4 COMM 2014-LC15 Mortgage Trust 4.006% 4/10/47 5,225   5,556  
4 COMM 2014-LC17 Mortgage Trust 3.164% 10/10/47 392   393  
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 1,550   1,655  
4 COMM 2014-UBS2 Mortgage Trust 2.820% 3/10/47 151   151  
4 COMM 2014-UBS2 Mortgage Trust 3.472% 3/10/47 553   567  
4 COMM 2014-UBS2 Mortgage Trust 3.961% 3/10/47 1,699   1,797  
4 COMM 2014-UBS2 Mortgage Trust 4.199% 3/10/47 475   503  
4 COMM 2014-UBS2 Mortgage Trust 4.701% 3/10/47 301   320  
4 COMM 2014-UBS3 Mortgage Trust 3.819% 6/10/47 3,075   3,251  
4 COMM 2014-UBS4 Mortgage Trust 3.694% 8/10/47 6,000   6,312  
4 COMM 2014-UBS4 Mortgage Trust 3.968% 8/10/47 1,502   1,574  
4 COMM 2014-UBS5 Mortgage Trust 3.838% 9/10/47 4,575   4,847  
4 COMM 2014-UBS6 Mortgage Trust 2.935% 12/10/47 733   733  
4 COMM 2014-UBS6 Mortgage Trust 3.387% 12/10/47 3,850   3,950  
4 COMM 2014-UBS6 Mortgage Trust 3.644% 12/10/47 7,500   7,878  
4 COMM 2014-UBS6 Mortgage Trust 4.048% 12/10/47 2,275   2,404  
4 COMM 2015-CCRE22 Mortgage Trust 2.856% 3/10/48 737   737  
4 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 5,325   5,558  
4 COMM 2015-CCRE22 Mortgage Trust 3.603% 3/10/48 1,900   1,976  
4 COMM 2015-CCRE23 Mortgage Trust 3.257% 5/10/48 2,200   2,260  
4 COMM 2015-CCRE23 Mortgage Trust 3.497% 5/10/48 3,250   3,419  
4 COMM 2015-CCRE23 Mortgage Trust 3.801% 5/10/48 1,450   1,528  
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 3,500   3,735  
4 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 7,125   7,537  
4 COMM 2015-CCRE27 Mortgage Trust 3.404% 10/10/48 3,575   3,694  
4 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 3,775   3,994  
4 COMM 2015-LC19 Mortgage Trust 3.040% 2/10/48 750   765  

 

24

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 4,000   4,149  
4 COMM 2015-LC19 Mortgage Trust 3.527% 2/10/48 1,775   1,848  
4 COMM 2016-CCRE28 Mortgage Trust 3.762% 2/10/49 5,350   5,708  
4 COMM 2016-DC2 Mortgage Trust 3.550% 2/10/49 4,375   4,551  
4 COMM 2019-G44 Mortgage Trust 2.950% 8/15/57 4,970   5,068  
4 CSAIL 2015-C1 Commercial Mortgage Trust 3.505% 4/15/50 3,750   3,944  
4 CSAIL 2015-C1 Commercial Mortgage Trust 3.791% 4/15/50 1,900   1,998  
4 CSAIL 2015-C1 Commercial Mortgage Trust 4.044% 4/15/50 1,525   1,595  
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 4,700   4,917  
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.849% 6/15/57 1,800   1,882  
4 CSAIL 2015-C3 Commercial Mortgage Trust 3.448% 8/15/48 2,772   2,859  
4 CSAIL 2015-C3 Commercial Mortgage Trust 3.718% 8/15/48 3,550   3,750  
4 CSAIL 2015-C3 Commercial Mortgage Trust 4.104% 8/15/48 1,625   1,692  
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.617% 11/15/48 2,200   2,282  
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 2,850   3,048  
4 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 7,325   7,686  
4 CSAIL 2017-C8 Commercial Mortgage Trust 3.392% 6/15/50 7,800   8,241  
4 CSAIL 2017-CX10 Commercial Mortgage Trust 3.458% 11/15/50 5,925   6,237  
4 CSAIL 2017-CX9 Commercial Mortgage Trust 3.446% 9/15/50 4,175   4,378  
4 CSAIL 2018-CX11 Commercial Mortgage Trust 4.033% 4/15/51 12,250   13,441  
4 CSAIL 2018-CX12 Commercial Mortgage Trust 4.224% 8/15/51 5,425   5,954  
4 CSAIL 2019-C15 Commercial Mortgage Trust 4.053% 3/15/52 10,450   11,489  
4 CSAIL 2019-C16 Commercial Mortgage Trust 3.329% 6/15/52 12,500   13,108  
4 DBJPM 16-C1 Mortgage Trust 3.276% 5/10/49 2,600   2,715  
4 DBJPM 16-C3 Mortgage Trust 2.890% 8/10/49 3,075   3,144  
4 DBJPM 17-C6 Mortgage Trust 3.328% 6/10/50 5,700   5,958  
4 DBJPM 17-C6 Mortgage Trust 3.561% 6/10/50 1,600   1,669  
4 Discover Card Execution Note Trust 2015-A2 1.900% 10/17/22 9,175   9,176  
4 Discover Card Execution Note Trust 2015-A4 2.190% 4/17/23 6,950   6,969  
4 Discover Card Execution Note Trust 2017-A2 2.390% 7/15/24 7,300   7,374  
4 Discover Card Execution Note Trust 2018-A1 3.030% 8/15/25 10,175   10,449  
4 Discover Card Execution Note Trust 2019-A3 1.890% 10/15/24 12,000   11,987  
4 Drive Auto Receivables Trust 2018-2 3.630% 8/15/24 4,653   4,676  
4 Drive Auto Receivables Trust 2018-4 3.360% 10/17/22 3,054   3,057  
3,4 Fannie Mae-Aces 2011-M2 3.764% 4/25/21 3,483   3,541  
3,4 Fannie Mae-Aces 2011-M4 3.726% 6/25/21 5,812   5,913  
3,4 Fannie Mae-Aces 2013-M12 2.406% 3/25/23 6,359   6,417  
3,4 Fannie Mae-Aces 2013-M14 2.651% 4/25/23 2,763   2,792  
3,4 Fannie Mae-Aces 2013-M14 3.329% 10/25/23 9,864   10,280  
3,4 Fannie Mae-Aces 2013-M4 2.608% 3/25/22 83   83  
3,4 Fannie Mae-Aces 2013-M7 2.280% 12/27/22 2,543   2,561  
3,4 Fannie Mae-Aces 2014-M12 2.614% 10/25/21 7,479   7,536  
3,4 Fannie Mae-Aces 2014-M13 2.566% 8/25/24 320   320  
3,4 Fannie Mae-Aces 2014-M13 3.021% 8/25/24 4,500   4,623  
3,4 Fannie Mae-Aces 2014-M2 3.513% 12/25/23 9,244   9,692  
3,4 Fannie Mae-Aces 2014-M3 3.480% 1/25/24 4,182   4,360  
3,4 Fannie Mae-Aces 2014-M4 3.346% 3/25/24 5,650   5,890  
3,4 Fannie Mae-Aces 2014-M6 2.679% 5/25/21 5,879   5,925  

 

25

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 Fannie Mae-Aces 2014-M7 3.275% 6/25/24 8,746   9,193  
3,4 Fannie Mae-Aces 2014-M8 2.346% 6/25/24 711   713  
3,4 Fannie Mae-Aces 2014-M8 3.056% 6/25/24 5,850   6,059  
3,4 Fannie Mae-Aces 2014-M9 3.103% 7/25/24 6,825   7,076  
3,4 Fannie Mae-Aces 2015-M1 2.532% 9/25/24 10,000   10,102  
3,4 Fannie Mae-Aces 2015-M10 3.092% 4/25/27 2,750   2,877  
3,4 Fannie Mae-Aces 2015-M12 2.796% 5/25/25 7,025   7,201  
3,4 Fannie Mae-Aces 2015-M15 2.923% 10/25/25 8,825   9,122  
3,4 Fannie Mae-Aces 2015-M2 2.620% 12/25/24 6,442   6,601  
3,4 Fannie Mae-Aces 2015-M3 2.723% 10/25/24 3,700   3,778  
3,4 Fannie Mae-Aces 2015-M4 2.509% 7/25/22 3,429   3,451  
3,4 Fannie Mae-Aces 2015-M7 2.590% 12/25/24 6,586   6,697  
3,4 Fannie Mae-Aces 2015-M8 2.344% 1/25/25 2,332   2,349  
3,4 Fannie Mae-Aces 2015-M8 2.900% 1/25/25 8,100   8,321  
3,4 Fannie Mae-Aces 2016-M11 2.369% 7/25/26 9,650   9,706  
3,4 Fannie Mae-Aces 2016-M12 2.444% 9/25/26 9,400   9,532  
3,4 Fannie Mae-Aces 2016-M2 2.152% 1/25/23 5,853   5,859  
3,4 Fannie Mae-Aces 2016-M3 2.702% 2/25/26 3,639   3,728  
3,4 Fannie Mae-Aces 2016-M4 2.576% 3/25/26 3,525   3,580  
3,4 Fannie Mae-Aces 2016-M5 2.469% 4/25/26 7,900   7,923  
3,4 Fannie Mae-Aces 2016-M6 2.488% 5/25/26 5,150   5,225  
3,4 Fannie Mae-Aces 2016-M7 2.157% 10/25/23 1,667   1,668  
3,4 Fannie Mae-Aces 2016-M7 2.499% 9/25/26 2,825   2,836  
3,4 Fannie Mae-Aces 2016-M9 2.292% 6/25/26 14,000   13,888  
3,4 Fannie Mae-Aces 2017-M1 2.417% 10/25/26 10,300   10,406  
3,4 Fannie Mae-Aces 2017-M10 2.561% 7/25/24 4,280   4,361  
3,4 Fannie Mae-Aces 2017-M11 2.980% 8/25/29 5,100   5,309  
3,4 Fannie Mae-Aces 2017-M12 3.079% 6/25/27 12,575   13,057  
3,4 Fannie Mae-Aces 2017-M15 3.136% 11/25/27 11,675   12,149  
3,4 Fannie Mae-Aces 2017-M2 2.801% 2/25/27 7,000   7,233  
3,4 Fannie Mae-Aces 2017- M3 2.483% 12/25/26 12,300   12,496  
3,4 Fannie Mae-Aces 2017-M4 2.586% 12/25/26 11,290   11,400  
3,4 Fannie Mae-Aces 2017-M7 2.961% 2/25/27 6,500   6,743  
3,4 Fannie Mae-Aces 2017-M8 3.061% 5/25/27 21,979   23,010  
3,4 Fannie Mae-Aces 2018-M12 3.640% 8/25/30 15,800   17,303  
3,4 Fannie Mae-Aces 2018-M14 3.578% 8/25/28 11,725   12,692  
3,4 Fannie Mae-Aces 2018-M18 2.469% 8/25/29 11,000   11,002  
3,4 Fannie Mae-Aces 2018-M2 2.902% 1/25/28 18,750   19,316  
3,4 Fannie Mae-Aces 2018-M4 3.045% 3/25/28 7,361   7,644  
3,4 Fannie Mae-Aces 2018-M7 3.052% 3/25/28 4,100   4,283  
3,4 Fannie Mae-Aces 2018-M8 3.325% 6/25/28 4,478   4,761  
3,4 Fannie Mae-Aces 2018-M8 3.610% 2/25/31 9,700   10,505  
3,4 Fannie Mae-Aces 2019-M1 3.555% 9/25/28 6,025   6,526  
3,4 Fannie Mae-Aces 2019-M2 3.631% 11/25/28 9,250   10,081  
3,4 Fannie Mae-Aces 2019-M22 2.522% 8/25/29 16,250   16,294  
3,4 Fannie Mae-Aces 2019-M5 3.273% 1/25/29 8,325   8,826  
3,4 Fannie Mae-Aces 2019-M7 3.143% 4/25/29 10,450   10,972  
3,4 Fannie Mae-Aces 2019-M9 2.937% 4/25/29 5,250   5,440  
3,4 FHLMC Multifamily Structured Pass Through Certificates K011 4.084% 11/25/20 1,587   1,610  
3,4 FHLMC Multifamily Structured Pass Through Certificates K012 4.185% 12/25/20 2,725   2,766  
3,4 FHLMC Multifamily Structured Pass Through Certificates K014 3.871% 4/25/21 4,513   4,596  

 

26

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 FHLMC Multifamily Structured Pass Through Certificates K017 2.873% 12/25/21 11,955   12,122  
3,4 FHLMC Multifamily Structured Pass Through Certificates K019 2.272% 3/25/22 5,411   5,437  
3,4 FHLMC Multifamily Structured Pass Through Certificates K020 2.373% 5/25/22 13,400   13,506  
3,4 FHLMC Multifamily Structured Pass Through Certificates K021 2.396% 6/25/22 8,300   8,354  
3,4 FHLMC Multifamily Structured Pass Through Certificates K022 2.355% 7/25/22 575   579  
3,4 FHLMC Multifamily Structured Pass Through Certificates K026 2.510% 11/25/22 11,500   11,647  
3,4 FHLMC Multifamily Structured Pass Through Certificates K028 3.111% 2/25/23 8,625   8,888  
3,4 FHLMC Multifamily Structured Pass Through Certificates K029 3.320% 2/25/23 11,425   11,843  
3,4 FHLMC Multifamily Structured Pass Through Certificates K030 2.779% 9/25/22 4,267   4,304  
3,4 FHLMC Multifamily Structured Pass Through Certificates K030 3.250% 4/25/23 11,425   11,818  
3,4 FHLMC Multifamily Structured Pass Through Certificates K031 3.300% 4/25/23 11,906   12,369  
3,4 FHLMC Multifamily Structured Pass Through Certificates K032 3.016% 2/25/23 2,806   2,854  
3,4 FHLMC Multifamily Structured Pass Through Certificates K032 3.310% 5/25/23 6,420   6,664  
3,4 FHLMC Multifamily Structured Pass Through Certificates K033 2.871% 2/25/23 5,813   5,889  
3,4 FHLMC Multifamily Structured Pass Through Certificates K033 3.060% 7/25/23 12,875   13,304  
3,4 FHLMC Multifamily Structured Pass Through Certificates K034 3.531% 7/25/23 10,633   11,148  
3,4 FHLMC Multifamily Structured Pass Through Certificates K035 3.458% 8/25/23 12,575   13,168  
3,4 FHLMC Multifamily Structured Pass Through Certificates K036 3.527% 10/25/23 400   419  
3,4 FHLMC Multifamily Structured Pass Through Certificates K037 3.490% 1/25/24 475   499  
3,4 FHLMC Multifamily Structured Pass Through Certificates K038 2.604% 10/25/23 1,521   1,530  
3,4 FHLMC Multifamily Structured Pass Through Certificates K038 3.389% 3/25/24 5,425   5,672  
3,4 FHLMC Multifamily Structured Pass Through Certificates K039 2.683% 12/25/23 1,356   1,372  
3,4 FHLMC Multifamily Structured Pass Through Certificates K039 3.303% 7/25/24 2,600   2,731  
3,4 FHLMC Multifamily Structured Pass Through Certificates K040 2.768% 4/25/24 2,645   2,686  
3,4 FHLMC Multifamily Structured Pass Through Certificates K040 3.241% 9/25/24 9,300   9,761  
3,4 FHLMC Multifamily Structured Pass Through Certificates K041 3.171% 10/25/24 9,600   10,035  
3,4 FHLMC Multifamily Structured Pass Through Certificates K042 2.267% 6/25/24 1,325   1,328  

 

27

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 FHLMC Multifamily Structured Pass Through Certificates K042 2.670% 12/25/24 7,225   7,395  
3,4 FHLMC Multifamily Structured Pass Through Certificates K043 2.532% 10/25/23 1,354   1,366  
3,4 FHLMC Multifamily Structured Pass Through Certificates K043 3.062% 12/25/24 5,600   5,841  
3,4 FHLMC Multifamily Structured Pass Through Certificates K045 2.493% 11/25/24 2,826   2,850  
3,4 FHLMC Multifamily Structured Pass Through Certificates K045 3.023% 1/25/25 5,800   6,023  
3,4 FHLMC Multifamily Structured Pass Through Certificates K046 3.205% 3/25/25 5,800   6,083  
3,4 FHLMC Multifamily Structured Pass Through Certificates K047 2.827% 12/25/24 1,359   1,383  
3,4 FHLMC Multifamily Structured Pass Through Certificates K047 3.329% 5/25/25 4,450   4,700  
3,4 FHLMC Multifamily Structured Pass Through Certificates K048 3.284% 6/25/25 6,650   7,020  
3,4 FHLMC Multifamily Structured Pass Through Certificates K049 3.010% 7/25/25 3,850   4,009  
3,4 FHLMC Multifamily Structured Pass Through Certificates K050 3.334% 8/25/25 6,375   6,738  
3,4 FHLMC Multifamily Structured Pass Through Certificates K052 3.151% 11/25/25 4,150   4,355  
3,4 FHLMC Multifamily Structured Pass Through Certificates K053 2.995% 12/25/25 2,450   2,552  
3,4 FHLMC Multifamily Structured Pass Through Certificates K054 2.745% 1/25/26 6,350   6,532  
3,4 FHLMC Multifamily Structured Pass Through Certificates K055 2.673% 3/25/26 7,500   7,676  
3,4 FHLMC Multifamily Structured Pass Through Certificates K056 2.525% 5/25/26 5,325   5,413  
3,4 FHLMC Multifamily Structured Pass Through Certificates K057 2.570% 7/25/26 9,375   9,534  
3,4 FHLMC Multifamily Structured Pass Through Certificates K058 2.653% 8/25/26 5,800   5,941  
3,4 FHLMC Multifamily Structured Pass Through Certificates K059 3.120% 9/25/26 5,000   5,251  
3,4 FHLMC Multifamily Structured Pass Through Certificates K060 3.300% 10/25/26 8,000   8,490  
3,4 FHLMC Multifamily Structured Pass Through Certificates K061 3.347% 11/25/26 17,600   18,733  
3,4 FHLMC Multifamily Structured Pass Through Certificates K062 3.413% 12/25/26 18,250   19,541  
3,4 FHLMC Multifamily Structured Pass Through Certificates K063 3.430% 1/25/27 16,200   17,361  
3,4 FHLMC Multifamily Structured Pass Through Certificates K064 3.224% 3/25/27 15,580   16,487  
3,4 FHLMC Multifamily Structured Pass Through Certificates K065 3.243% 4/25/27 17,557   18,589  
3,4 FHLMC Multifamily Structured Pass Through Certificates K066 3.117% 6/25/27 5,840   6,149  
3,4 FHLMC Multifamily Structured Pass Through Certificates K068 3.244% 8/25/27 7,823   8,295  

 

28

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 FHLMC Multifamily Structured Pass Through Certificates K069 3.187% 9/25/27 8,875   9,322  
3,4 FHLMC Multifamily Structured Pass Through Certificates K070 3.303% 11/25/27 2,875   3,054  
3,4 FHLMC Multifamily Structured Pass Through Certificates K071 3.286% 11/25/27 3,950   4,187  
3,4 FHLMC Multifamily Structured Pass Through Certificates K072 3.444% 12/25/27 4,525   4,858  
3,4 FHLMC Multifamily Structured Pass Through Certificates K075 3.650% 2/25/28 6,975   7,580  
3,4 FHLMC Multifamily Structured Pass Through Certificates K076 3.900% 4/25/28 16,500   18,235  
3,4 FHLMC Multifamily Structured Pass Through Certificates K081 3.900% 8/25/28 11,750   12,971  
3,4 FHLMC Multifamily Structured Pass Through Certificates K082 3.920% 9/25/28 13,500   14,961  
3,4 FHLMC Multifamily Structured Pass Through Certificates K084 3.780% 10/25/28 16,175   17,658  
3,4 FHLMC Multifamily Structured Pass Through Certificates K085 4.060% 10/25/28 6,575   7,361  
3,4 FHLMC Multifamily Structured Pass Through Certificates K087 3.591% 10/25/27 1,265   1,341  
3,4 FHLMC Multifamily Structured Pass Through Certificates K088 3.690% 1/25/29 12,725   13,927  
3,4 FHLMC Multifamily Structured Pass Through Certificates K089 3.563% 1/25/29 11,000   11,921  
3,4 FHLMC Multifamily Structured Pass Through Certificates K092 3.298% 4/25/29 10,450   11,157  
3,4 FHLMC Multifamily Structured Pass Through Certificates K094 2.903% 6/25/29 12,550   13,016  
3,4 FHLMC Multifamily Structured Pass Through Certificates K095 2.785% 6/25/29 12,600   12,955  
3,4 FHLMC Multifamily Structured Pass Through Certificates K096 2.519% 7/25/29 10,925   11,035  
3,4 FHLMC Multifamily Structured Pass Through Certificates K098 2.425% 8/25/29 18,540   18,531  
3,4 FHLMC Multifamily Structured Pass Through Certificates K099 2.595% 9/25/29 9,350   9,407  
3,4 FHLMC Multifamily Structured Pass Through Certificates K103 2.651% 11/25/29 12,550   12,759  
3,4 FHLMC Multifamily Structured Pass Through Certificates K1511 3.470% 3/25/31 4,150   4,492  
3,4 FHLMC Multifamily Structured Pass Through Certificates K1511 3.542% 3/25/34 10,275   11,126  
3,4 FHLMC Multifamily Structured Pass Through Certificates K1513 2.797% 8/25/34 9,150   9,234  
3,4 FHLMC Multifamily Structured Pass Through Certificates K152 3.080% 1/25/31 3,500   3,606  
3,4 FHLMC Multifamily Structured Pass Through Certificates K153 3.294% 3/25/29 14,900   15,942  
3,4 FHLMC Multifamily Structured Pass Through Certificates K153 3.117% 10/25/31 8,100   8,377  
3,4 FHLMC Multifamily Structured Pass Through Certificates K155 3.750% 11/25/32 4,100   4,504  

 

29

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 FHLMC Multifamily Structured Pass Through Certificates K155 3.750% 4/25/33 8,900   9,836  
3,4 FHLMC Multifamily Structured Pass Through Certificates K157 3.990% 5/25/33 2,925   3,271  
3,4 FHLMC Multifamily Structured Pass Through Certificates K157 3.990% 8/25/33 3,775   4,272  
3,4 FHLMC Multifamily Structured Pass Through Certificates K504 2.566% 9/25/20 1,339   1,340  
3,4 FHLMC Multifamily Structured Pass Through Certificates K713 2.313% 3/25/20 7,573   7,565  
3,4 FHLMC Multifamily Structured Pass Through Certificates K714 3.034% 10/25/20 12,669   12,716  
3,4 FHLMC Multifamily Structured Pass Through Certificates K716 2.413% 1/25/21 115   114  
3,4 FHLMC Multifamily Structured Pass Through Certificates K716 3.130% 6/25/21 12,830   12,971  
3,4 FHLMC Multifamily Structured Pass Through Certificates K717 2.991% 9/25/21 12,950   13,098  
3,4 FHLMC Multifamily Structured Pass Through Certificates K718 2.375% 9/25/21 3,117   3,129  
3,4 FHLMC Multifamily Structured Pass Through Certificates K718 2.791% 1/25/22 6,800   6,894  
3,4 FHLMC Multifamily Structured Pass Through Certificates K722 2.183% 5/25/22 1,828   1,830  
3,4 FHLMC Multifamily Structured Pass Through Certificates K731 3.600% 2/25/25 10,225   10,834  
3,4 FHLMC Multifamily Structured Pass Through Certificates K734 3.208% 2/25/26 16,725   17,567  
3,4 FHLMC Multifamily Structured Pass Through Certificates KW01 2.853% 1/25/26 7,000   7,224  
3,4 FHLMC Multifamily Structures Pass Through Certificates K073 3.350% 1/25/28 8,000   8,538  
3,4 FHLMC Multifamily Structures Pass Through Certificates K074 3.600% 1/25/28 10,275   11,147  
3,4 FHLMC Multifamily Structures Pass Through Certificates K077 3.850% 5/25/28 22,000   24,164  
3,4 FHLMC Multifamily Structures Pass Through Certificates K078 3.854% 6/25/28 5,200   5,723  
3,4 FHLMC Multifamily Structures Pass Through Certificates K079 3.926% 6/25/28 31,350   34,727  
3,4 FHLMC Multifamily Structures Pass Through Certificates K080 3.736% 4/25/28 2,920   3,134  
3,4 FHLMC Multifamily Structures Pass Through Certificates K080 3.926% 7/25/28 12,000   13,302  
3,4 FHLMC Multifamily Structures Pass Through Certificates K087 3.771% 12/25/28 8,100   8,878  
3,4 FHLMC Multifamily Structures Pass Through Certificates K087 2.537% 10/25/29 15,400   15,587  
3,4 FHLMC Multifamily Structures Pass Through Certificates K090 3.422% 2/25/29 9,625   10,326  
3,4 FHLMC Multifamily Structures Pass Through Certificates K101 2.524% 10/25/29 16,600   16,725  
3,4 FHLMC Multifamily Structures Pass Through Certificates K15-14 2.859% 10/25/34 10,025   10,140  

 

30

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3,4 FHLMC Multifamily Structures Pass Through Certificates K1504 3.424% 4/25/32 1,500   1,610  
3,4 FHLMC Multifamily Structures Pass Through Certificates K1504 3.459% 11/25/32 2,175   2,344  
3,4 FHLMC Multifamily Structures Pass Through Certificates K1510 3.718% 1/25/31 3,300   3,630  
3,4 FHLMC Multifamily Structures Pass Through Certificates K1510 3.794% 1/25/34 5,350   5,934  
3,4 FHLMC Multifamily Structures Pass Through Certificates K715 2.856% 1/25/21 4,124   4,145  
3,4 FHLMC Multifamily Structures Pass Through Certificates K720 2.716% 6/25/22 4,550   4,610  
3,4 FHLMC Multifamily Structures Pass Through Certificates K723 2.454% 8/25/23 4,650   4,707  
3,4 FHLMC Multifamily Structures Pass Through Certificates K724 3.062% 11/25/23 9,200   9,506  
3,4 FHLMC Multifamily Structures Pass Through Certificates K725 3.002% 1/25/24 16,500   17,009  
3,4 FHLMC Multifamily Structures Pass Through Certificates K725 2.946% 7/25/24 14,700   15,157  
3,4 FHLMC Multifamily Structures Pass Through Certificates K726 2.905% 4/25/24 7,800   7,980  
3,4 FHLMC Multifamily Structures Pass Through Certificates K728 3.064% 8/25/24 11,850   12,289  
3,4 FHLMC Multifamily Structures Pass Through Certificates K730 3.452% 9/25/24 1,053   1,082  
3,4 FHLMC Multifamily Structures Pass Through Certificates K730 3.590% 1/25/25 12,100   12,808  
3,4 FHLMC Multifamily Structures Pass Through Certificates K732 3.700% 5/25/25 10,450   11,099  
3,4 FHLMC Multifamily Structures Pass Through Certificates K735 2.862% 5/25/26 16,250   16,764  
3,4 FHLMC Multifamily Structures Pass Through Certificates KC02 3.370% 7/25/25 8,300   8,654  
3,4 FHLMC Multifamily Structures Pass Through Certificates KC02 3.505% 3/25/29 3,100   3,349  
3,4 FHLMC Multifamily Structures Pass Through Certificates KC02 2.982% 5/25/29 18,350   19,116  
4 Fifth Third Auto Trust 2019-1 2.640% 12/15/23 5,850   5,895  
4 Fifth Third Auto Trust 2019-1 2.690% 11/16/26 1,875   1,903  
4 Ford Credit Auto Lease Trust 2018-A 2.930% 6/15/21 5,725   5,738  
4 Ford Credit Auto Lease Trust 2018-A 3.050% 8/15/21 625   629  
4 Ford Credit Auto Lease Trust 2018-B 3.190% 12/15/21 10,150   10,225  
4 Ford Credit Auto Lease Trust 2018-B 3.300% 2/15/22 2,325   2,357  
4 Ford Credit Auto Lease Trust 2019-A 2.900% 5/15/22 2,750   2,776  
4 Ford Credit Auto Lease Trust 2019-A 2.980% 6/15/22 1,250   1,266  
4 Ford Credit Auto Owner Trust 2017-A 1.670% 6/15/21 990   990  
4 Ford Credit Auto Owner Trust 2017-A 1.920% 4/15/22 2,675   2,674  
4 Ford Credit Auto Owner Trust 2017-B 1.690% 11/15/21 2,881   2,878  
4 Ford Credit Auto Owner Trust 2017-B 1.870% 9/15/22 756   756  
4 Ford Credit Auto Owner Trust 2017-C 2.010% 3/15/22 10,763   10,770  
4 Ford Credit Auto Owner Trust 2019-A 2.780% 9/15/23 7,325   7,425  
4 Ford Credit Auto Owner Trust 2019-A 2.850% 8/15/24 2,925   2,985  

 

31

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Ford Credit Floorplan Master Owner Trust A Series 2017-1 2.070% 5/15/22 6,450   6,451  
4 Ford Credit Floorplan Master Owner Trust A Series 2017-2 2.160% 9/15/22 4,170   4,175  
4 Ford Credit Floorplan Master Owner Trust A Series 2017-3 2.480% 9/15/24 4,310   4,349  
4 Ford Credit Floorplan Master Owner Trust A Series 2018-1 2.950% 5/15/23 10,200   10,318  
4 Ford Credit Floorplan Master Owner Trust A Series 2018-2 3.170% 3/15/25 9,275   9,536  
4 GM Financial Automobile Leasing Trust 2018-1 2.610% 1/20/21 2,899   2,902  
4 GM Financial Automobile Leasing Trust 2018-1 2.680% 12/20/21 1,250   1,254  
4 GM Financial Automobile Leasing Trust 2018-2 3.060% 6/21/21 1,878   1,883  
4 GM Financial Automobile Leasing Trust 2018-2 3.160% 4/20/22 850   856  
4 GM Financial Automobile Leasing Trust 2019-2 2.670% 3/21/22 2,925   2,945  
4 GM Financial Automobile Leasing Trust 2019-2 2.720% 3/20/23 1,350   1,361  
4 GM Financial Consumer Automobile 2018-2 2.810% 12/16/22 4,900   4,938  
4 GM Financial Consumer Automobile 2018-2 3.020% 12/18/23 4,075   4,151  
4 GS Mortgage Securities Corporation II 2013-GC10 2.943% 2/10/46 3,744   3,808  
4 GS Mortgage Securities Trust 2011-GC5 3.707% 8/10/44 1,500   1,526  
4 GS Mortgage Securities Trust 2012-GC6 3.482% 1/10/45 6,326   6,443  
4 GS Mortgage Securities Trust 2012-GCJ7 3.377% 5/10/45 3,058   3,103  
4 GS Mortgage Securities Trust 2012-GCJ9 2.773% 11/10/45 2,919   2,957  
4 GS Mortgage Securities Trust 2013-GC10 3.279% 2/10/46 1,310   1,340  
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 2,255   2,311  
4 GS Mortgage Securities Trust 2013-GCJ12 3.375% 6/10/46 966   991  
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 972   999  
4 GS Mortgage Securities Trust 2013-GCJ16 3.813% 11/10/46 577   595  
4 GS Mortgage Securities Trust 2013-GCJ16 4.271% 11/10/46 1,150   1,227  
4 GS Mortgage Securities Trust 2014-GC18 4.074% 1/10/47 11,250   11,963  
4 GS Mortgage Securities Trust 2014-GC18 4.383% 1/10/47 2,750   2,907  
4 GS Mortgage Securities Trust 2014-GC22 3.467% 6/10/47 1,381   1,414  
4 GS Mortgage Securities Trust 2014-GC22 3.516% 6/10/47 306   310  
4 GS Mortgage Securities Trust 2014-GC22 3.862% 6/10/47 1,350   1,433  
4 GS Mortgage Securities Trust 2014-GC24 3.931% 9/10/47 6,282   6,703  
4 GS Mortgage Securities Trust 2014-GC24 4.511% 9/10/47 1,175   1,225  
4 GS Mortgage Securities Trust 2014-GC26 3.365% 11/10/47 2,238   2,299  
4 GS Mortgage Securities Trust 2014-GC26 3.629% 11/10/47 7,475   7,900  
4 GS Mortgage Securities Trust 2014-GC26 3.964% 11/10/47 1,325   1,403  
4 GS Mortgage Securities Trust 2014-GC26 4.215% 11/10/47 1,125   1,178  
4 GS Mortgage Securities Trust 2015-GC28 3.396% 2/10/48 4,150   4,344  
4 GS Mortgage Securities Trust 2015-GC30 2.726% 5/10/50 2,224   2,225  
4 GS Mortgage Securities Trust 2015-GC30 3.382% 5/10/50 3,700   3,876  
4 GS Mortgage Securities Trust 2015-GC32 3.513% 7/10/48 3,675   3,810  
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 1,425   1,521  
4 GS Mortgage Securities Trust 2015-GC34 3.278% 10/10/48 3,575   3,686  
4 GS Mortgage Securities Trust 2015-GC34 3.506% 10/10/48 3,400   3,577  

 

32

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 GS Mortgage Securities Trust 2016-GS2 3.050% 5/10/49 2,700   2,790  
4 GS Mortgage Securities Trust 2016-GS3 2.850% 10/10/49 7,125   7,283  
4 GS Mortgage Securities Trust 2016-GS4 3.442% 11/10/49 2,450   2,588  
4 GS Mortgage Securities Trust 2016-GS4 3.645% 11/10/49 1,825   1,906  
4 GS Mortgage Securities Trust 2017-GS5 3.674% 3/10/50 5,750   6,163  
4 GS Mortgage Securities Trust 2017-GS5 3.826% 3/10/50 2,300   2,437  
4 GS Mortgage Securities Trust 2017-GS6 3.433% 5/10/50 5,300   5,603  
4 GS Mortgage Securities Trust 2017-GS7 3.430% 8/10/50 13,872   14,559  
4 GS Mortgage Securities Trust 2017-GS7 3.663% 8/10/50 3,700   3,904  
4 GS Mortgage Securities Trust 2019-GC39 3.567% 5/10/52 4,175   4,467  
4 GS Mortgage Securities Trust 2019-GC4 3.212% 9/1/52 2,875   2,929  
4 GS Mortgage Securities Trust 2019-GC40 3.160% 7/10/52 6,250   6,497  
4 GS Mortgage Securities Trust 2019-GS4 3.001% 9/1/52 12,265   12,556  
4 GS Mortgage Securities Trust 2019-GSA1 3.048% 11/10/52 5,525   5,654  
4 Honda Auto Receivables 2017-2 Owner Trust 1.680% 8/16/21 2,910   2,907  
4 Honda Auto Receivables 2017-2 Owner Trust 1.870% 9/15/23 1,586   1,585  
4 Honda Auto Receivables 2017-4 Owner Trust 2.050% 11/22/21 2,407   2,408  
4 Honda Auto Receivables 2018-1 Owner Trust 2.640% 2/15/22 8,495   8,530  
4 Honda Auto Receivables 2018-1 Owner Trust 2.830% 5/15/24 2,700   2,732  
4 Honda Auto Receivables 2018-2 Owner Trust 3.010% 5/18/22 2,875   2,901  
4 Honda Auto Receivables 2018-2 Owner Trust 3.160% 8/19/24 2,050   2,091  
4 Honda Auto Receivables 2018-4 Owner Trust 2.520% 6/21/23 7,115   7,180  
4 Honda Auto Receivables 2018-4 Owner Trust 2.540% 3/21/25 1,360   1,380  
4 Hyundai Auto Receivables Trust 2016-B 1.290% 4/15/21 325   325  
4 Hyundai Auto Receivables Trust 2016-B 1.450% 11/15/22 2,250   2,243  
4 Hyundai Auto Receivables Trust 2018-A 2.790% 7/15/22 2,650   2,669  
4 Hyundai Auto Receivables Trust 2018-A 2.940% 6/17/24 3,250   3,301  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 3.507% 5/15/45 3,490   3,588  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 2.829% 10/15/45 9,234   9,369  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX 3.483% 6/15/45 3,680   3,753  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 2.840% 12/15/47 1,789   1,816  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 3.143% 12/15/47 2,352   2,414  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 3.372% 12/15/47 1,042   1,070  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 3.674% 12/15/46 938   963  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 3.881% 12/15/46 1,500   1,583  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.166% 12/15/46 4,900   5,236  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.517% 12/15/46 1,250   1,342  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.962% 12/15/46 1,250   1,353  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 2.960% 4/15/46 6,766   6,920  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 3.805% 7/15/47 575   608  

 

33

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1 3.914% 1/15/49 2,825   3,038  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 2.870% 8/15/49 8,900   9,071  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 3.648% 12/15/49 3,700   3,939  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 3.870% 12/15/49 2,950   3,130  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.050% 7/15/50 1,279   1,289  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.490% 7/15/50 2,000   2,111  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.744% 7/15/50 2,800   2,953  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2019-COR4 4.029% 3/10/52 10,300   11,389  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 3.664% 7/15/45 1,982   2,073  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 4.039% 7/15/45 655   686  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 3.761% 8/15/46 714   734  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 4.133% 8/15/46 2,640   2,797  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 4.409% 8/15/46 740   782  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 3.659% 11/15/45 377   387  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 4.131% 11/15/45 3,920   4,180  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 4.420% 11/15/45 2,010   2,138  
4 JPMBB Commercial Mortgage Securities Trust 2013-C17 3.705% 1/15/47 937   966  
4 JPMBB Commercial Mortgage Securities Trust 2013-C17 4.199% 1/15/47 4,320   4,628  
4 JPMBB Commercial Mortgage Securities Trust 2013-C17 4.458% 1/15/47 775   828  
4 JPMBB Commercial Mortgage Securities Trust 2013-C17 4.892% 1/15/47 1,163   1,255  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.079% 2/15/47 4,338   4,630  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.439% 2/15/47 771   821  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.810% 2/15/47 935   996  
4 JPMBB Commercial Mortgage Securities Trust 2014-C19 3.046% 4/15/47 17   17  
4 JPMBB Commercial Mortgage Securities Trust 2014-C19 3.669% 4/15/47 1,900   1,931  
4 JPMBB Commercial Mortgage Securities Trust 2014-C19 3.997% 4/15/47 1,900   2,023  
4 JPMBB Commercial Mortgage Securities Trust 2014-C19 4.243% 4/15/47 1,525   1,626  

 

34

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 JPMBB Commercial Mortgage Securities Trust 2014-C21 3.428% 8/15/47 864   888  
4 JPMBB Commercial Mortgage Securities Trust 2014-C21 3.775% 8/15/47 950   1,007  
4 JPMBB Commercial Mortgage Securities Trust 2014-C21 3.997% 8/15/47 575   605  
4 JPMBB Commercial Mortgage Securities Trust 2014-C22 3.801% 9/15/47 5,850   6,219  
4 JPMBB Commercial Mortgage Securities Trust 2014-C22 4.110% 9/15/47 1,550   1,640  
4 JPMBB Commercial Mortgage Securities Trust 2014-C23 3.934% 9/15/47 2,919   3,113  
4 JPMBB Commercial Mortgage Securities Trust 2014-C23 4.202% 9/15/47 1,722   1,841  
4 JPMBB Commercial Mortgage Securities Trust 2014-C24 2.940% 11/15/47 473   473  
4 JPMBB Commercial Mortgage Securities Trust 2014-C24 3.639% 11/15/47 1,525   1,610  
4 JPMBB Commercial Mortgage Securities Trust 2014-C24 3.914% 11/15/47 2,750   2,887  
4 JPMBB Commercial Mortgage Securities Trust 2014-C25 3.672% 11/15/47 6,825   7,206  
4 JPMBB Commercial Mortgage Securities Trust 2014-C25 4.065% 11/15/47 1,900   2,009  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.019% 1/15/48 248   248  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.494% 1/15/48 10,400   10,901  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.800% 1/15/48 1,875   1,968  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.951% 1/15/48 1,875   1,956  
4 JPMBB Commercial Mortgage Securities Trust 2015-C27 2.734% 2/15/48 378   378  
4 JPMBB Commercial Mortgage Securities Trust 2015-C27 3.017% 2/15/48 3,763   3,833  
4 JPMBB Commercial Mortgage Securities Trust 2015-C28 2.773% 10/15/48 1,458   1,458  
4 JPMBB Commercial Mortgage Securities Trust 2015-C28 3.042% 10/15/48 1,400   1,424  
4 JPMBB Commercial Mortgage Securities Trust 2015-C28 3.532% 10/15/48 1,125   1,163  
4 JPMBB Commercial Mortgage Securities Trust 2015-C29 2.921% 5/15/48 2,030   2,032  
4 JPMBB Commercial Mortgage Securities Trust 2015-C29 3.304% 5/15/48 2,903   2,985  
4 JPMBB Commercial Mortgage Securities Trust 2015-C29 3.611% 5/15/48 2,900   3,069  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 3.559% 7/15/48 3,675   3,793  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 3.822% 7/15/48 3,600   3,840  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 4.226% 7/15/48 1,850   1,980  

 

35

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 JPMBB Commercial Mortgage Securities Trust 2015-C31 3.540% 8/15/48 1,709   1,772  
4 JPMBB Commercial Mortgage Securities Trust 2015-C31 3.801% 8/15/48 1,841   1,962  
4 JPMBB Commercial Mortgage Securities Trust 2015-C32 3.358% 11/15/48 4,625   4,769  
4 JPMBB Commercial Mortgage Securities Trust 2015-C32 3.598% 11/15/48 3,575   3,779  
4 JPMBB Commercial Mortgage Securities Trust 2015-C33 3.770% 12/15/48 2,610   2,792  
4 JPMBB Commercial Mortgage Securities Trust 2016-C1 3.316% 3/15/49 2,925   3,019  
4 JPMCC Commercial Mortgage Securities Trust 2017-JP5 3.723% 3/15/50 10,725   11,522  
4 JPMCC Commercial Mortgage Securities Trust 2017-JP5 3.876% 3/15/50 2,300   2,445  
4 JPMCC Commercial Mortgage Securities Trust 2019-COR5 3.386% 6/13/52 9,375   9,820  
4 JPMCC Commercial Mortgage Securities Trust 2019-COR5 3.669% 6/13/52 825   867  
4 JPMDB Commercial Mortgage Securities Trust 2016-C2 3.144% 6/15/49 2,725   2,816  
4 JPMDB Commercial Mortgage Securities Trust 2016-C2 3.484% 6/15/49 1,250   1,294  
4 JPMDB Commercial Mortgage Securities Trust 2017-C5 3.694% 3/15/50 13,000   13,939  
4 JPMDB Commercial Mortgage Securities Trust 2017-C5 3.858% 3/15/50 3,975   4,207  
4 JPMDB Commercial Mortgage Securities Trust 2017-C7 3.409% 10/15/50 2,825   2,985  
4 JPMDB Commercial Mortgage Securities Trust 2017-C7 3.713% 10/15/50 1,775   1,870  
4 JPMDB Commercial Mortgage Securities Trust 2018-C8 4.211% 6/15/51 10,300   11,391  
4 JPMDB Commercial Mortgage Securities Trust 2018-C8 4.421% 6/15/51 1,250   1,376  
4 JPMDB Commercial Mortgage Securities Trust 2019-COR6 3.057% 11/13/52 8,300   8,442  
4 Mercedes-Benz Auto Lease Trust 2018-A 2.410% 2/16/21 1,854   1,855  
4 Mercedes-Benz Auto Lease Trust 2018-A 2.510% 10/16/23 600   601  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 3.176% 8/15/45 2,890   2,950  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 2.858% 11/15/45 3,342   3,389  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 4.081% 7/15/46 400   423  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 4.153% 8/15/46 990   1,049  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 4.353% 8/15/46 490   517  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 3.824% 10/15/46 568   585  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 4.259% 10/15/46 3,360   3,575  

 

36

 

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 2.936% 11/15/46 11   11  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 4.039% 11/15/46 2,200   2,327  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 4.755% 11/15/46 1,100   1,173  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 2.918% 2/15/46 1,707   1,735  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 3.214% 2/15/46 341   347  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 3.134% 12/15/48 2,100   2,149  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 3.376% 12/15/48 1,000   1,023  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 3.102% 5/15/46 1,275   1,306  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 3.456% 5/15/46 1,125   1,160  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 3.669% 2/15/47 2,208   2,231  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.064% 2/15/47 3,050   3,243  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.745% 2/15/47 1,150   1,235  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 3.477% 6/15/47 696   713  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 3.892% 6/15/47 2,875   3,041  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.337% 6/15/47 1,150   1,217  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 3.194% 10/15/47 172   172  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 3.923% 10/15/47 1,000   1,062  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 4.478% 10/15/47 1,150   1,220  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.326% 12/15/47 1,999   2,050  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.526% 12/15/47 3,275   3,431  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.069% 2/15/48 1,875   1,915  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.249% 2/15/48 6,650   6,885  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 3.338% 3/15/48 1,500   1,558  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 3.040% 4/15/48 3,750   3,827  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 3.306% 4/15/48 2,950   3,072  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 3.883% 4/15/48 1,875   1,940  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 2.982% 7/15/50 1,775   1,777  

 

37

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.398% 7/15/50 1,050   1,079  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.719% 7/15/50 3,650   3,870  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 3.383% 10/15/48 3,850   3,982  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 3.635% 10/15/48 1,975   2,089  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 3.323% 10/15/48 2,325   2,397  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 3.531% 10/15/48 2,625   2,759  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27 3.557% 12/15/47 1,800   1,861  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27 3.753% 12/15/47 2,175   2,316  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 3.288% 1/15/49 2,425   2,504  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 3.544% 1/15/49 7,000   7,413  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 3.140% 5/15/49 1,500   1,543  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 3.325% 5/15/49 750   780  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 2.860% 9/15/49 7,300   7,410  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 3.102% 11/15/49 9,400   9,700  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 3.720% 12/15/49 7,600   8,105  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 3.994% 12/15/49 3,050   3,252  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33 3.599% 5/15/50 6,500   6,921  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33 3.852% 5/15/50 3,800   4,034  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 3.276% 11/15/52 3,600   3,740  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 3.536% 11/15/52 5,250   5,572  
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 6,000   6,096  
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 1,800   1,846  
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809% 12/15/48 2,525   2,702  
4 Morgan Stanley Capital I Trust 2016-BNK2 3.049% 11/15/49 3,650   3,780  
4 Morgan Stanley Capital I Trust 2016-BNK2 3.282% 11/15/49 2,951   3,045  
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 7,300   7,380  
4 Morgan Stanley Capital I Trust 2016-UB12 3.778% 12/15/49 3,000   3,179  
4 Morgan Stanley Capital I Trust 2016-UBS12 3.596% 12/15/49 7,350   7,838  
4 Morgan Stanley Capital I Trust 2017-H1 3.530% 6/15/50 5,800   6,129  
4 Morgan Stanley Capital I Trust 2018-H4 4.310% 12/15/51 10,000   11,184  
4 Morgan Stanley Capital I Trust 2019-H6 3.417% 6/15/52 11,660   12,302  
4 Morgan Stanley Capital I Trust 2019-H6 3.700% 6/15/52 1,450   1,519  
4 Morgan Stanley Capital I Trust 2019-L2 4.071% 3/15/52 6,700   7,443  
4 Morgan Stanley Capital I Trust 2019-L3 3.127% 11/15/29 8,415   8,687  

 

38

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
7 National Australia Bank Ltd. 2.250% 3/16/21 12,000   12,051  
4 Nissan Auto Lease Trust 2017-B 2.050% 9/15/20 319   319  
4 Nissan Auto Lease Trust 2017-B 2.170% 12/15/21 750   750  
4 Nissan Auto Receivables 2015-B Owner Trust 1.790% 1/17/22 117   117  
4 Nissan Auto Receivables 2015-C Owner Trust 1.670% 2/15/22 486   485  
4 Nissan Auto Receivables 2016-B Owner Trust 1.540% 10/17/22 2,500   2,496  
4 Nissan Auto Receivables 2016-C Owner Trust 1.180% 1/15/21 201   200  
4 Nissan Auto Receivables 2016-C Owner Trust 1.380% 1/17/23 2,650   2,644  
4 Nissan Auto Receivables 2017-B Owner Trust 1.750% 10/15/21 2,998   2,996  
4 Nissan Auto Receivables 2017-B Owner Trust 1.950% 10/16/23 2,848   2,848  
4 Nissan Auto Receivables 2018-A Owner Trust 2.650% 5/16/22 5,231   5,251  
4 Nissan Auto Receivables 2018-A Owner Trust 2.890% 6/17/24 4,025   4,090  
4 Nissan Auto Receivables 2019-B Owner Trust 2.500% 11/15/23 5,850   5,910  
4 Nissan Auto Receivables 2019-B Owner Trust 2.540% 12/15/25 1,455   1,477  
4 Nissan Auto Receivables 2019-C 1.930% 7/15/24 7,000   7,002  
4 Nissan Auto Receivables 2019-C 1.950% 5/15/26 1,650   1,643  
4 Public Service New Hampshire Funding LLC 2018-1 3.094% 2/1/26 1,459   1,487  
4 Public Service New Hampshire Funding LLC 2018-1 3.506% 8/1/28 975   1,029  
4 Public Service New Hampshire Funding LLC 2018-1 3.814% 2/1/35 2,200   2,393  
  Royal Bank of Canada 2.100% 10/14/20 35,000   35,016  
  Royal Bank of Canada 2.300% 3/22/21 5,000   5,025  
4 Santander Drive Auto Receivables Trust 2018-2 3.030% 9/15/22 1,892   1,895  
4 Santander Drive Auto Receivables Trust 2018-2 3.350% 7/17/23 2,425   2,448  
4 Santander Drive Auto Receivables Trust 2018-3 3.030% 2/15/22 21   21  
4 Santander Drive Auto Receivables Trust 2018-3 3.290% 10/17/22 1,450   1,452  
4 Santander Drive Auto Receivables Trust 2018-3 3.510% 8/15/23 2,725   2,754  
4 SG Commercial Mortgage Securities Trust 2016-C5 3.055% 10/10/48 6,000   6,162  
4 Synchrony Card Issuance Trust 2018-A1 3.380% 9/15/24 12,425   12,709  
4 Synchrony Credit Card Master Note Trust 2016-2 2.210% 5/15/24 15,525   15,587  
4 Synchrony Credit Card Master Note Trust 2017-2 2.620% 10/15/25 6,675   6,776  
4 Synchrony Credit Card Master Note Trust 2018-1 2.970% 3/15/24 12,225   12,367  
4 Synchrony Credit Card Master Note Trust 2018-2 3.470% 5/15/26 12,300   12,843  
4 TIAA Seasoned Commercial Mortgage Trust 2007-C4 5.503% 8/15/39 1   1  
7 Toronto-Dominion Bank 2.250% 3/15/21 8,000   8,026  
7 Toronto-Dominion Bank 2.500% 1/18/22 10,000   10,124  
4 Toyota Auto Receivables 2016-B Owner Trust 1.520% 8/16/21 816   815  
4 Toyota Auto Receivables 2016-C Owner Trust 1.320% 11/15/21 1,186   1,184  
4 Toyota Auto Receivables 2017-B Owner Trust 1.760% 7/15/21 5,393   5,390  
4 Toyota Auto Receivables 2017-D Owner Trust 1.930% 1/18/22 7,478   7,478  
4 Toyota Auto Receivables 2018-A Owner Trust 2.350% 5/16/22 5,434   5,448  

 

39

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Toyota Auto Receivables 2018-A Owner Trust 2.520% 5/15/23 2,850   2,873  
4 Toyota Auto Receivables 2018-B Owner Trust 2.960% 9/15/22 5,050   5,100  
4 Toyota Auto Receivables 2018-B Owner Trust 3.110% 11/15/23 900   919  
4 UBS Commercial Mortgage Trust 2017-C1 3.460% 6/15/50 7,800   8,274  
4 UBS Commercial Mortgage Trust 2017-C1 3.724% 6/15/50 3,400   3,568  
4 UBS Commercial Mortgage Trust 2017-C2 3.487% 8/15/50 5,850   6,168  
4 UBS Commercial Mortgage Trust 2017-C2 3.740% 8/15/50 1,550   1,616  
4 UBS Commercial Mortgage Trust 2017-C3 3.426% 8/15/50 6,975   7,342  
4 UBS Commercial Mortgage Trust 2017-C3 3.739% 8/15/50 2,900   3,052  
4 UBS Commercial Mortgage Trust 2017-C4 3.301% 10/15/50 4,700   4,933  
4 UBS Commercial Mortgage Trust 2017-C4 3.563% 10/15/50 5,875   6,270  
4 UBS Commercial Mortgage Trust 2017-C4 3.836% 10/15/50 2,594   2,735  
4 UBS Commercial Mortgage Trust 2017-C5 3.474% 11/15/50 3,950   4,193  
4 UBS Commercial Mortgage Trust 2017-C7 3.679% 12/15/50 5,700   6,108  
4 UBS Commercial Mortgage Trust 2017-C7 4.061% 12/15/50 3,000   3,215  
4 UBS Commercial Mortgage Trust 2018-C11 4.241% 6/15/51 11,000   12,201  
4 UBS Commercial Mortgage Trust 2018-C12 4.296% 8/15/51 10,215   11,499  
4 UBS Commercial Mortgage Trust 2018-C12 4.587% 8/15/51 4,000   4,462  
4 UBS Commercial Mortgage Trust 2018-C13 4.208% 10/15/51 2,700   2,858  
4 UBS Commercial Mortgage Trust 2018-C13 4.334% 10/15/51 9,825   11,096  
4 UBS Commercial Mortgage Trust 2018-C13 4.585% 10/15/51 1,750   1,954  
4 UBS Commercial Mortgage Trust 2018-C14 4.448% 12/15/51 10,275   11,706  
4 UBS Commercial Mortgage Trust 2018-C15 4.341% 12/15/51 9,400   10,516  
4 UBS Commercial Mortgage Trust 2018-C8 3.720% 2/15/51 6,125   6,609  
4 UBS Commercial Mortgage Trust 2018-C8 3.983% 2/15/51 12,225   13,415  
4 UBS Commercial Mortgage Trust 2018-C8 4.215% 2/15/51 3,250   3,488  
4 UBS Commercial Mortgage Trust 2019-C16 3.605% 4/15/52 4,200   4,472  
4 UBS Commercial Mortgage Trust 2019-C17 2.921% 10/15/52 4,910   4,975  
4 UBS Commercial Mortgage Trust 2019-C18 3.378% 12/15/52 1,700   1,731  
4 UBS-Barclays Commercial Mortgage Trust 2012-C4 2.850% 12/10/45 10,200   10,354  
4 UBS-Barclays Commercial Mortgage Trust 2013-C5 3.185% 3/10/46 2,870   2,945  
4 UBS-Barclays Commercial Mortgage Trust 2013-C6 3.244% 4/10/46 4,765   4,892  
4 UBS-Barclays Commercial Mortgage Trust 2013-C6 3.469% 4/10/46 700   722  
4 UBS-Barclays Commercial Mortgage Trust 2018-C10 4.313% 5/15/51 8,250   9,191  
4 UBS-Barclays Commercial Mortgage Trust 2018-C9 4.117% 3/15/51 12,300   13,637  
4 UBS-Barclays Commercial Mortgage Trust 2019-C16 3.887% 4/15/52 1,250   1,336  
4 UBS-Barclays Commercial Mortgage Trust 2019-C18 3.035% 12/15/52 2,850   2,918  
4 Volkswagen Auto Loan Enhanced Trust 2018-1 3.020% 11/21/22 2,300   2,327  
4 Volkswagen Auto Loan Enhanced Trust 2018-1 3.150% 7/22/24 850   868  
4 Wells Fargo Commercial Mortgage Trust 2012-LC5 2.918% 10/15/45 4,766   4,847  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 2.819% 8/15/50 21   21  

 

40

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 3.477% 8/15/50 703   722  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 3.817% 8/15/50 12,090   12,813  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.020% 8/15/50 400   420  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 2.954% 12/15/47 922   921  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.244% 12/15/47 1,400   1,434  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.271% 12/15/47 2,625   2,649  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.405% 12/15/47 3,725   3,902  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.808% 12/15/47 1,875   1,957  
4 Wells Fargo Commercial Mortgage Trust 2015-C26 2.991% 2/15/48 3,750   3,822  
4 Wells Fargo Commercial Mortgage Trust 2015-C26 3.166% 2/15/48 2,075   2,152  
4 Wells Fargo Commercial Mortgage Trust 2015-C26 3.580% 2/15/48 1,500   1,562  
4 Wells Fargo Commercial Mortgage Trust 2015-C28 3.540% 5/15/48 5,425   5,731  
4 Wells Fargo Commercial Mortgage Trust 2015-C28 3.872% 5/15/48 1,040   1,087  
4 Wells Fargo Commercial Mortgage Trust 2015-C29 3.400% 6/15/48 3,820   3,941  
4 Wells Fargo Commercial Mortgage Trust 2015-LC20 2.978% 4/15/50 1,029   1,049  
4 Wells Fargo Commercial Mortgage Trust 2015-LC20 3.184% 4/15/50 4,535   4,709  
4 Wells Fargo Commercial Mortgage Trust 2015-LC20 3.719% 4/15/50 1,900   1,952  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 3.571% 9/15/58 1,425   1,480  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 3.839% 9/15/58 2,000   2,146  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 4.207% 9/15/58 1,775   1,901  
4 Wells Fargo Commercial Mortgage Trust 2015-NXS1 2.632% 5/15/48 668   668  
4 Wells Fargo Commercial Mortgage Trust 2015-NXS1 2.934% 5/15/48 2,720   2,763  
4 Wells Fargo Commercial Mortgage Trust 2015-NXS1 3.148% 5/15/48 1,500   1,556  
4 Wells Fargo Commercial Mortgage Trust 2015-P2 3.656% 12/15/48 2,875   3,005  
4 Wells Fargo Commercial Mortgage Trust 2015-P2 3.809% 12/15/48 1,800   1,931  
4 Wells Fargo Commercial Mortgage Trust 2015-SG1 3.789% 9/15/48 7,740   8,257  
4 Wells Fargo Commercial Mortgage Trust 2016-BNK1 2.652% 8/15/49 4,875   4,913  

 

41

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Wells Fargo Commercial Mortgage Trust 2016-BNK1 2.814% 8/15/49 1,200   1,191  
4 Wells Fargo Commercial Mortgage Trust 2016-C32 3.324% 1/15/59 1,929   1,995  
4 Wells Fargo Commercial Mortgage Trust 2016-C32 3.560% 1/15/59 4,200   4,449  
4 Wells Fargo Commercial Mortgage Trust 2016-C33 3.426% 3/15/59 1,450   1,527  
4 Wells Fargo Commercial Mortgage Trust 2016-C34 3.096% 6/15/49 2,900   2,984  
4 Wells Fargo Commercial Mortgage Trust 2016-C37 3.794% 12/15/49 2,900   3,132  
4 Wells Fargo Commercial Mortgage Trust 2016-LC24 2.825% 10/15/49 3,275   3,338  
4 Wells Fargo Commercial Mortgage Trust 2016-LC24 2.942% 10/15/49 5,654   5,804  
4 Wells Fargo Commercial Mortgage Trust 2017-C38 3.453% 7/15/50 16,255   17,235  
4 Wells Fargo Commercial Mortgage Trust 2017-C38 3.665% 7/15/50 4,606   4,829  
4 Wells Fargo Commercial Mortgage Trust 2017-C39 3.418% 9/15/50 7,000   7,397  
4 Wells Fargo Commercial Mortgage Trust 2017-C39 3.702% 9/15/50 3,900   4,102  
4 Wells Fargo Commercial Mortgage Trust 2017-C40 3.317% 10/15/50 3,925   4,088  
4 Wells Fargo Commercial Mortgage Trust 2017-C40 3.581% 10/15/50 5,900   6,300  
4 Wells Fargo Commercial Mortgage Trust 2017-C40 3.854% 10/15/50 1,575   1,664  
4 Wells Fargo Commercial Mortgage Trust 2017-C41 3.472% 11/15/50 9,900   10,495  
4 Wells Fargo Commercial Mortgage Trust 2017-RB1 3.635% 3/15/50 10,000   10,701  
4 Wells Fargo Commercial Mortgage Trust 2017-RC1 3.631% 1/15/60 15,300   16,361  
4 Wells Fargo Commercial Mortgage Trust 2018-C43 4.012% 3/15/51 12,275   13,469  
4 Wells Fargo Commercial Mortgage Trust 2018-C43 4.152% 3/15/51 2,125   2,295  
4 Wells Fargo Commercial Mortgage Trust 2018-C44 4.212% 5/15/51 8,200   9,126  
4 Wells Fargo Commercial Mortgage Trust 2018-C45 4.184% 6/15/51 13,000   14,457  
4 Wells Fargo Commercial Mortgage Trust 2018-C46 4.152% 8/15/51 10,600   11,766  
4 Wells Fargo Commercial Mortgage Trust 2019-C49 4.023% 3/15/52 10,450   11,540  
4 Wells Fargo Commercial Mortgage Trust 2019-C50 3.729% 5/15/52 6,075   6,583  
4 Wells Fargo Commercial Mortgage Trust 2019-C52 3.143% 8/15/52 3,775   3,788  
4 Wells Fargo Commercial Mortgage Trust 2019-C53 3.040% 10/15/52 8,225   8,458  

 

42

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Wells Fargo Commercial Mortgage Trust 2019-C54 3.146% 12/15/52 4,975   5,157  
4 Wells Fargo Commercial Mortgage Trust 2018-C47 4.442% 9/15/61 17,100   19,386  
4 Wells Fargo Commercial Mortgage Trust 2019-C51 3.311% 6/15/52 8,750   9,187  
4 Wells Fargo Commercial Mortgage Trust 2019-C52 2.892% 8/15/52 12,600   12,801  
4 WFRBS Commercial Mortgage Trust 2012- C10 2.875% 12/15/45 8,500   8,641  
4 WFRBS Commercial Mortgage Trust 2012-C6 3.440% 4/15/45 4,275   4,348  
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 3,511   3,601  
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 2,200   2,274  
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 1,600   1,628  
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 2,880   2,926  
4 WFRBS Commercial Mortgage Trust 2013-C11 3.071% 3/15/45 2,414   2,469  
4 WFRBS Commercial Mortgage Trust 2013-C12 3.198% 3/15/48 1,045   1,074  
4 WFRBS Commercial Mortgage Trust 2013-C12 3.560% 3/15/48 495   510  
4 WFRBS Commercial Mortgage Trust 2013-C13 3.001% 5/15/45 2,154   2,202  
4 WFRBS Commercial Mortgage Trust 2013-C13 3.345% 5/15/45 421   433  
4 WFRBS Commercial Mortgage Trust 2013-C14 3.337% 6/15/46 3,250   3,358  
4 WFRBS Commercial Mortgage Trust 2013-C14 3.488% 6/15/46 1,725   1,778  
4 WFRBS Commercial Mortgage Trust 2013-C15 3.720% 8/15/46 512   525  
4 WFRBS Commercial Mortgage Trust 2013-C15 4.153% 8/15/46 2,640   2,797  
4 WFRBS Commercial Mortgage Trust 2013-C15 4.358% 8/15/46 660   697  
4 WFRBS Commercial Mortgage Trust 2013-C16 3.963% 9/15/46 1,164   1,204  
4 WFRBS Commercial Mortgage Trust 2013-C16 4.415% 9/15/46 1,520   1,628  
4 WFRBS Commercial Mortgage Trust 2013-C16 4.668% 9/15/46 2,530   2,703  
4 WFRBS Commercial Mortgage Trust 2013-C17 3.558% 12/15/46 575   591  
4 WFRBS Commercial Mortgage Trust 2013-C17 4.023% 12/15/46 925   981  
4 WFRBS Commercial Mortgage Trust 2013-C17 4.255% 12/15/46 725   773  
4 WFRBS Commercial Mortgage Trust 2013-C17 4.788% 12/15/46 725   779  

 

43

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 WFRBS Commercial Mortgage Trust 2013-C18 3.027% 12/15/46 5   5  
4 WFRBS Commercial Mortgage Trust 2013-C18 3.651% 12/15/46 1,500   1,508  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.162% 12/15/46 7,268   7,765  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.387% 12/15/46 375   401  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.692% 12/15/46 563   609  
4 WFRBS Commercial Mortgage Trust 2013-UBS1 2.927% 3/15/46 16   16  
4 WFRBS Commercial Mortgage Trust 2013-UBS1 3.591% 3/15/46 1,100   1,111  
4 WFRBS Commercial Mortgage Trust 2013-UBS1 4.079% 3/15/46 1,475   1,566  
4 WFRBS Commercial Mortgage Trust 2013-UBS1 4.739% 3/15/46 375   406  
4 WFRBS Commercial Mortgage Trust 2014-C19 3.618% 3/15/47 407   418  
4 WFRBS Commercial Mortgage Trust 2014-C19 3.660% 3/15/47 553   560  
4 WFRBS Commercial Mortgage Trust 2014-C19 4.101% 3/15/47 1,450   1,550  
4 WFRBS Commercial Mortgage Trust 2014-C19 4.723% 3/15/47 475   506  
4 WFRBS Commercial Mortgage Trust 2014-C20 3.638% 5/15/47 686   706  
4 WFRBS Commercial Mortgage Trust 2014-C20 3.723% 5/15/47 2,200   2,299  
4 WFRBS Commercial Mortgage Trust 2014-C20 3.995% 5/15/47 1,150   1,226  
4 WFRBS Commercial Mortgage Trust 2014-C20 4.176% 5/15/47 1,220   1,290  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.678% 8/15/47 3,000   3,168  
4 WFRBS Commercial Mortgage Trust 2014-C22 3.752% 9/15/57 6,275   6,643  
4 WFRBS Commercial Mortgage Trust 2014-C22 4.371% 9/15/57 1,200   1,268  
4 WFRBS Commercial Mortgage Trust 2014-C23 3.636% 10/15/57 1,989   2,053  
4 WFRBS Commercial Mortgage Trust 2014-C23 3.917% 10/15/57 1,150   1,227  
4 WFRBS Commercial Mortgage Trust 2014-C23 4.210% 10/15/57 800   857  
4 WFRBS Commercial Mortgage Trust 2014-C24 3.428% 11/15/47 1,237   1,261  
4 WFRBS Commercial Mortgage Trust 2014-C24 3.607% 11/15/47 2,075   2,189  
4 WFRBS Commercial Mortgage Trust 2014-LC14 2.862% 3/15/47 18   18  
4 WFRBS Commercial Mortgage Trust 2014-LC14 3.522% 3/15/47 1,535   1,572  

 

44

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 WFRBS Commercial Mortgage Trust 2014-LC14 4.045% 3/15/47 4,415   4,699  
4 WFRBS Commercial Mortgage Trust 2014-LC14 4.351% 3/15/47 1,840   1,948  
4 World Financial Network Credit Card Master Note Trust Series 2017-C 2.310% 8/15/24 6,375   6,385  
4 World Financial Network Credit Card Master Note Trust Series 2018-A 3.070% 12/16/24 8,050   8,136  
4 World Omni Auto Receivables Trust 2019-C 1.960% 12/16/24 5,050   5,048  
4 World Omni Auto Receivables Trust 2019-C 2.030% 12/15/25 1,400   1,398  
4 World Omni Automobile Lease Securitization Trust 2018-B 3.190% 12/15/21 5,770   5,837  
4 World Omni Automobile Lease Securitization Trust 2018-B 3.300% 3/15/24 2,500   2,541  
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,773,790)   4,914,471  
Corporate Bonds (26.0%)            
Finance (8.1%)            
  Banking (5.8%)            
  Ally Financial Inc. 4.250% 4/15/21 5,000   5,125  
  Ally Financial Inc. 4.125% 2/13/22 5,030   5,187  
  Ally Financial Inc. 3.875% 5/21/24 4,000   4,180  
  Ally Financial Inc. 5.125% 9/30/24 6,065   6,679  
  Ally Financial Inc. 4.625% 3/30/25 5,000   5,406  
  Ally Financial Inc. 8.000% 11/1/31 23,200   32,045  
  American Express Co. 3.000% 2/22/21 6,000   6,061  
  American Express Co. 3.375% 5/17/21 8,000   8,146  
  American Express Co. 3.700% 11/5/21 7,229   7,445  
  American Express Co. 2.500% 8/1/22 7,800   7,887  
  American Express Co. 2.650% 12/2/22 12,750   12,988  
  American Express Co. 3.400% 2/27/23 25,100   26,004  
  American Express Co. 3.700% 8/3/23 10,100   10,629  
  American Express Co. 3.400% 2/22/24 10,000   10,446  
  American Express Co. 2.500% 7/30/24 6,000   6,062  
  American Express Co. 3.000% 10/30/24 37,355   38,552  
  American Express Co. 3.625% 12/5/24 19,560   20,622  
  American Express Co. 3.125% 5/20/26 8,000   8,300  
  American Express Co. 4.050% 12/3/42 1,040   1,219  
  American Express Credit Corp. 2.250% 5/5/21 19,270   19,359  
  American Express Credit Corp. 2.700% 3/3/22 26,325   26,741  
  American Express Credit Corp. 3.300% 5/3/27 9,975   10,613  
  Associated Bank NA 3.500% 8/13/21 3,100   3,155  
  Australia & New Zealand Banking Group Ltd. 2.300% 6/1/21 22,100   22,178  
  Australia & New Zealand Banking Group Ltd. 2.550% 11/23/21 5,900   5,962  
  Australia & New Zealand Banking Group Ltd. 2.625% 5/19/22 4,250   4,311  
  Australia & New Zealand Banking Group Ltd. 2.625% 11/9/22 16,850   17,152  
  Australia & New Zealand Banking Group Ltd. 3.700% 11/16/25 9,425   10,126  
  Banco Santander SA 3.125% 2/23/23 10,000   10,203  
  Banco Santander SA 3.848% 4/12/23 6,000   6,241  
  Banco Santander SA 2.706% 6/27/24 2,800   2,836  
  Banco Santander SA 5.179% 11/19/25 14,700   16,341  
  Banco Santander SA 4.250% 4/11/27 16,175   17,394  
  Banco Santander SA 3.800% 2/23/28 10,000   10,486  
  Banco Santander SA 4.379% 4/12/28 10,600   11,567  

 

45

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Bank of America Corp. 2.625% 4/19/21 11,370   11,470  
4 Bank of America Corp. 2.369% 7/21/21 15,125   15,157  
4 Bank of America Corp. 2.328% 10/1/21 21,000   21,026  
4 Bank of America Corp. 2.738% 1/23/22 12,800   12,892  
4 Bank of America Corp. 3.499% 5/17/22 13,350   13,600  
  Bank of America Corp. 2.503% 10/21/22 16,925   17,067  
  Bank of America Corp. 3.300% 1/11/23 51,050   52,794  
4 Bank of America Corp. 3.124% 1/20/23 4,130   4,202  
4 Bank of America Corp. 2.881% 4/24/23 20,625   20,910  
4 Bank of America Corp. 2.816% 7/21/23 32,600   33,048  
  Bank of America Corp. 4.100% 7/24/23 22,253   23,696  
  Bank of America Corp. 3.004% 12/20/23 88,813   90,753  
  Bank of America Corp. 4.125% 1/22/24 16,500   17,748  
4 Bank of America Corp. 3.550% 3/5/24 34,105   35,278  
  Bank of America Corp. 4.000% 4/1/24 20,780   22,241  
4 Bank of America Corp. 3.864% 7/23/24 2,000   2,104  
  Bank of America Corp. 4.200% 8/26/24 51,989   55,772  
  Bank of America Corp. 4.000% 1/22/25 51,950   55,224  
4 Bank of America Corp. 3.458% 3/15/25 20,000   20,818  
  Bank of America Corp. 3.950% 4/21/25 12,350   13,147  
  Bank of America Corp. 3.875% 8/1/25 5,000   5,360  
4 Bank of America Corp. 3.093% 10/1/25 26,100   26,884  
4 Bank of America Corp. 2.456% 10/22/25 11,675   11,713  
4 Bank of America Corp. 3.366% 1/23/26 18,450   19,241  
  Bank of America Corp. 4.450% 3/3/26 22,051   24,156  
  Bank of America Corp. 3.500% 4/19/26 21,565   22,818  
  Bank of America Corp. 4.250% 10/22/26 15,915   17,291  
4 Bank of America Corp. 3.559% 4/23/27 29,330   30,918  
  Bank of America Corp. 3.248% 10/21/27 27,300   28,327  
  Bank of America Corp. 4.183% 11/25/27 8,395   9,085  
4 Bank of America Corp. 3.824% 1/20/28 20,380   21,847  
4 Bank of America Corp. 3.705% 4/24/28 15,875   16,941  
4 Bank of America Corp. 3.593% 7/21/28 35,625   37,832  
4 Bank of America Corp. 3.419% 12/20/28 85,091   89,118  
4 Bank of America Corp. 3.970% 3/5/29 17,225   18,729  
4 Bank of America Corp. 4.271% 7/23/29 42,675   47,261  
4 Bank of America Corp. 3.194% 7/23/30 2,865   2,963  
4 Bank of America Corp. 2.884% 10/22/30 10,000   10,099  
  Bank of America Corp. 6.110% 1/29/37 16,687   22,485  
4 Bank of America Corp. 4.244% 4/24/38 20,996   24,087  
  Bank of America Corp. 7.750% 5/14/38 16,790   26,400  
4 Bank of America Corp. 4.078% 4/23/40 18,480   20,960  
  Bank of America Corp. 5.875% 2/7/42 13,775   19,540  
  Bank of America Corp. 5.000% 1/21/44 19,410   25,347  
  Bank of America Corp. 4.875% 4/1/44 11,875   15,172  
  Bank of America Corp. 4.750% 4/21/45 2,875   3,495  
4 Bank of America Corp. 4.443% 1/20/48 6,475   7,881  
4 Bank of America Corp. 3.946% 1/23/49 10,575   11,983  
4 Bank of America Corp. 4.330% 3/15/50 20,600   24,705  
  Bank of America NA 6.000% 10/15/36 7,400   10,189  
  Bank of Montreal 3.100% 4/13/21 17,000   17,246  
  Bank of Montreal 1.900% 8/27/21 17,600   17,622  
  Bank of Montreal 2.900% 3/26/22 27,150   27,645  
  Bank of Montreal 2.350% 9/11/22 1,503   1,516  

 

46

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Bank of Montreal 2.550% 11/6/22 3,628   3,686  
  Bank of Montreal 3.300% 2/5/24 9,900   10,307  
  Bank of Montreal 2.500% 6/28/24 8,700   8,773  
4 Bank of Montreal 4.338% 10/5/28 3,850   4,062  
4 Bank of Montreal 3.803% 12/15/32 24,675   25,755  
  Bank of New York Mellon Corp. 2.050% 5/3/21 10,400   10,426  
  Bank of New York Mellon Corp. 3.550% 9/23/21 3,150   3,235  
  Bank of New York Mellon Corp. 2.600% 2/7/22 9,150   9,278  
  Bank of New York Mellon Corp. 2.950% 1/29/23 38,570   39,587  
  Bank of New York Mellon Corp. 3.500% 4/28/23 4,500   4,717  
4 Bank of New York Mellon Corp. 2.661% 5/16/23 15,938   16,170  
  Bank of New York Mellon Corp. 3.450% 8/11/23 8,000   8,381  
  Bank of New York Mellon Corp. 2.200% 8/16/23 8,000   8,089  
  Bank of New York Mellon Corp. 3.650% 2/4/24 1,100   1,165  
  Bank of New York Mellon Corp. 3.400% 5/15/24 2,875   3,028  
  Bank of New York Mellon Corp. 3.250% 9/11/24 7,422   7,787  
  Bank of New York Mellon Corp. 2.100% 10/24/24 10,525   10,517  
  Bank of New York Mellon Corp. 3.000% 2/24/25 200   208  
  Bank of New York Mellon Corp. 2.800% 5/4/26 3,075   3,154  
  Bank of New York Mellon Corp. 2.450% 8/17/26 4,500   4,514  
  Bank of New York Mellon Corp. 3.250% 5/16/27 12,900   13,550  
  Bank of New York Mellon Corp. 3.400% 1/29/28 6,200   6,588  
4 Bank of New York Mellon Corp. 3.442% 2/7/28 6,975   7,366  
  Bank of New York Mellon Corp. 3.000% 10/30/28 3,700   3,801  
  Bank of New York Mellon Corp. 3.300% 8/23/29 10,150   10,581  
  Bank of Nova Scotia 4.375% 1/13/21 1,220   1,250  
  Bank of Nova Scotia 2.800% 7/21/21 16,580   16,811  
  Bank of Nova Scotia 2.700% 3/7/22 8,400   8,537  
  Bank of Nova Scotia 2.000% 11/15/22 3,750   3,754  
  Bank of Nova Scotia 2.375% 1/18/23 17,350   17,531  
  Bank of Nova Scotia 3.400% 2/11/24 10,000   10,450  
  Bank of Nova Scotia 4.500% 12/16/25 19,100   20,897  
  Bank of Nova Scotia 2.700% 8/3/26 23,425   23,802  
  Bank One Corp. 7.625% 10/15/26 875   1,123  
  Bank One Corp. 8.000% 4/29/27 2,500   3,303  
  Bank One Michigan 8.250% 11/1/24 6,000   7,475  
  Barclays Bank plc 2.650% 1/11/21 7,250   7,291  
  Barclays plc 3.250% 1/12/21 9,200   9,264  
  Barclays plc 3.200% 8/10/21 3,500   3,541  
  Barclays plc 3.684% 1/10/23 18,925   19,378  
4 Barclays plc 4.610% 2/15/23 17,800   18,556  
4 Barclays plc 4.338% 5/16/24 14,800   15,523  
  Barclays plc 3.650% 3/16/25 14,900   15,509  
4 Barclays plc 3.932% 5/7/25 7,900   8,298  
  Barclays plc 4.375% 1/12/26 17,200   18,622  
  Barclays plc 4.337% 1/10/28 9,800   10,500  
4 Barclays plc 4.972% 5/16/29 13,600   15,282  
  Barclays plc 5.250% 8/17/45 7,250   8,735  
  Barclays plc 4.950% 1/10/47 7,850   9,184  
  BBVA USA 3.500% 6/11/21 9,025   9,171  
  BBVA USA 2.875% 6/29/22 14,100   14,289  
  BNP Paribas SA 5.000% 1/15/21 24,204   24,913  
  BNP Paribas SA 3.250% 3/3/23 9,025   9,352  
7 BNP Paribas SA 3.800% 1/10/24 500   524  

 

47

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  BNP Paribas SA 4.250% 10/15/24 3,600   3,834  
  BPCE SA 2.650% 2/3/21 5,275   5,307  
  BPCE SA 2.750% 12/2/21 13,750   13,948  
7 BPCE SA 3.000% 5/22/22 5,700   5,797  
  BPCE SA 4.000% 4/15/24 12,800   13,696  
  BPCE SA 3.375% 12/2/26 4,000   4,193  
7 BPCE SA 3.250% 1/11/28 275   286  
  Canadian Imperial Bank of Commerce 2.700% 2/2/21 9,200   9,268  
  Canadian Imperial Bank of Commerce 2.550% 6/16/22 16,025   16,218  
  Canadian Imperial Bank of Commerce 3.500% 9/13/23 8,000   8,397  
  Canadian Imperial Bank of Commerce 3.100% 4/2/24 10,625   10,940  
  Capital One Bank USA NA 3.375% 2/15/23 15,110   15,565  
  Capital One Financial Corp. 3.450% 4/30/21 8,000   8,140  
  Capital One Financial Corp. 4.750% 7/15/21 445   463  
  Capital One Financial Corp. 3.050% 3/9/22 7,350   7,499  
  Capital One Financial Corp. 3.200% 1/30/23 22,000   22,621  
  Capital One Financial Corp. 3.500% 6/15/23 1,378   1,430  
  Capital One Financial Corp. 3.900% 1/29/24 4,000   4,243  
  Capital One Financial Corp. 3.750% 4/24/24 9,900   10,387  
  Capital One Financial Corp. 3.300% 10/30/24 14,194   14,643  
  Capital One Financial Corp. 3.200% 2/5/25 7,000   7,212  
  Capital One Financial Corp. 4.250% 4/30/25 3,350   3,644  
  Capital One Financial Corp. 4.200% 10/29/25 625   672  
  Capital One Financial Corp. 3.750% 7/28/26 12,700   13,313  
  Capital One Financial Corp. 3.750% 3/9/27 4,750   5,041  
  Capital One Financial Corp. 3.800% 1/31/28 19,950   21,430  
  Capital One NA 2.950% 7/23/21 19,500   19,772  
  Capital One NA 2.250% 9/13/21 7,600   7,624  
  Capital One NA 2.650% 8/8/22 11,900   12,075  
  Citibank NA 2.850% 2/12/21 8,900   8,972  
  Citibank NA 3.400% 7/23/21 12,725   12,980  
4 Citibank NA 3.165% 2/19/22 33,525   33,940  
4 Citibank NA 2.844% 5/20/22 11,000   11,135  
  Citigroup Inc. 2.700% 3/30/21 25,720   25,906  
  Citigroup Inc. 2.350% 8/2/21 7,850   7,889  
  Citigroup Inc. 2.900% 12/8/21 35,350   35,876  
  Citigroup Inc. 4.500% 1/14/22 13,675   14,324  
  Citigroup Inc. 2.750% 4/25/22 21,100   21,440  
  Citigroup Inc. 4.050% 7/30/22 9,500   9,925  
  Citigroup Inc. 2.700% 10/27/22 5,000   5,080  
4 Citigroup Inc. 2.312% 11/4/22 13,025   13,058  
4 Citigroup Inc. 3.142% 1/24/23 22,000   22,371  
  Citigroup Inc. 3.375% 3/1/23 1,925   1,991  
  Citigroup Inc. 3.500% 5/15/23 22,865   23,699  
4 Citigroup Inc. 2.876% 7/24/23 13,675   13,907  
  Citigroup Inc. 3.875% 10/25/23 25,880   27,480  
4 Citigroup Inc. 4.044% 6/1/24 5,000   5,292  
  Citigroup Inc. 3.750% 6/16/24 2,400   2,548  
  Citigroup Inc. 4.000% 8/5/24 5,525   5,892  
  Citigroup Inc. 3.875% 3/26/25 11,325   11,935  
4 Citigroup Inc. 3.352% 4/24/25 11,900   12,376  
  Citigroup Inc. 3.300% 4/27/25 1,950   2,046  
  Citigroup Inc. 4.400% 6/10/25 39,525   42,932  

 

48

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Citigroup Inc. 5.500% 9/13/25 9,400   10,732  
  Citigroup Inc. 3.700% 1/12/26 7,702   8,194  
  Citigroup Inc. 4.600% 3/9/26 24,650   27,151  
  Citigroup Inc. 3.400% 5/1/26 10,250   10,708  
  Citigroup Inc. 3.200% 10/21/26 31,250   32,328  
  Citigroup Inc. 4.300% 11/20/26 7,850   8,530  
  Citigroup Inc. 4.450% 9/29/27 35,500   39,036  
4 Citigroup Inc. 3.887% 1/10/28 25,625   27,462  
  Citigroup Inc. 6.625% 1/15/28 25   31  
4 Citigroup Inc. 3.668% 7/24/28 48,950   51,981  
  Citigroup Inc. 4.125% 7/25/28 600   651  
4 Citigroup Inc. 3.520% 10/27/28 49,825   52,318  
4 Citigroup Inc. 4.075% 4/23/29 4,964   5,428  
4 Citigroup Inc. 3.980% 3/20/30 8,325   9,095  
4 Citigroup Inc. 2.976% 11/5/30 19,100   19,395  
  Citigroup Inc. 6.625% 6/15/32 225   301  
  Citigroup Inc. 5.875% 2/22/33 3,000   3,675  
  Citigroup Inc. 6.000% 10/31/33 5,485   7,053  
  Citigroup Inc. 6.125% 8/25/36 10,418   13,476  
4 Citigroup Inc. 3.878% 1/24/39 11,125   12,171  
  Citigroup Inc. 8.125% 7/15/39 17,836   29,771  
  Citigroup Inc. 5.875% 1/30/42 13,339   18,809  
  Citigroup Inc. 6.675% 9/13/43 4,600   6,715  
  Citigroup Inc. 4.950% 11/7/43 8,250   9,059  
  Citigroup Inc. 5.300% 5/6/44 6,200   7,860  
  Citigroup Inc. 4.650% 7/30/45 7,275   8,936  
  Citigroup Inc. 4.750% 5/18/46 22,955   27,483  
4 Citigroup Inc. 4.281% 4/24/48 1,850   2,174  
  Citigroup Inc. 4.650% 7/23/48 11,995   14,954  
  Citizens Bank NA 2.550% 5/13/21 550   553  
  Citizens Bank NA 2.650% 5/26/22 5,600   5,677  
  Citizens Bank NA 3.700% 3/29/23 9,000   9,403  
  Citizens Bank NA 3.250% 2/14/22 12,000   12,283  
  Citizens Bank NA 3.750% 2/18/26 3,900   4,165  
  Citizens Financial Group Inc. 2.375% 7/28/21 1,000   1,002  
  Citizens Financial Group Inc. 4.300% 12/3/25 3,950   4,240  
  Citizens Financial Group Inc. 2.850% 7/27/26 950   965  
  Comerica Bank 4.000% 7/27/25 2,975   3,182  
  Comerica Inc. 3.700% 7/31/23 19,887   20,874  
  Comerica Inc. 3.800% 7/22/26 850   895  
  Comerica Inc. 4.000% 2/1/29 300   326  
7 Commonwealth Bank of Australia 2.750% 3/10/22 10,600   10,779  
7 Commonwealth Bank of Australia 3.350% 6/4/24 40,150   41,963  
7 Commonwealth Bank of Australia 2.625% 9/6/26 500   503  
  Cooperatieve Rabobank UA 4.500% 1/11/21 2,040   2,090  
  Cooperatieve Rabobank UA 2.500% 1/19/21 35,700   35,866  
  Cooperatieve Rabobank UA 2.750% 1/10/22 14,500   14,705  
  Cooperatieve Rabobank UA 3.875% 2/8/22 19,821   20,640  
  Cooperatieve Rabobank UA 3.950% 11/9/22 20,828   21,727  
  Cooperatieve Rabobank UA 4.625% 12/1/23 13,410   14,538  
  Cooperatieve Rabobank UA 3.375% 5/21/25 7,592   8,022  
  Cooperatieve Rabobank UA 4.375% 8/4/25 11,625   12,574  
  Cooperatieve Rabobank UA 3.750% 7/21/26 7,725   8,042  
  Cooperatieve Rabobank UA 5.250% 5/24/41 9,855   13,413  

 

49

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Cooperatieve Rabobank UA 5.750% 12/1/43 7,925   10,426  
  Cooperatieve Rabobank UA 5.250% 8/4/45 15,873   19,934  
  Credit Suisse AG 3.000% 10/29/21 12,050   12,273  
  Credit Suisse AG 2.100% 11/12/21 6,900   6,916  
  Credit Suisse AG 3.625% 9/9/24 20,492   21,755  
7 Credit Suisse Group AG 3.574% 1/9/23 17,625   18,086  
7 Credit Suisse Group AG 4.282% 1/9/28 5,700   6,173  
  Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 8,100   8,172  
  Credit Suisse Group Funding Guernsey Ltd. 3.450% 4/16/21 25,505   25,885  
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22 18,250   18,968  
  Credit Suisse Group Funding Guernsey Ltd. 3.800% 6/9/23 18,815   19,683  
  Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 23,150   24,465  
  Credit Suisse Group Funding Guernsey Ltd. 4.550% 4/17/26 9,950   11,034  
  Credit Suisse Group Funding Guernsey Ltd. 4.875% 5/15/45 15,550   19,534  
  Credit Suisse USA Inc. 7.125% 7/15/32 4,791   7,025  
7 Danske Bank A/S 2.800% 3/10/21 200   201  
  Deutsche Bank AG 3.125% 1/13/21 5,975   5,988  
  Deutsche Bank AG 3.150% 1/22/21 15,800   15,864  
  Deutsche Bank AG 3.375% 5/12/21 1,675   1,686  
  Deutsche Bank AG 4.250% 10/14/21 20,575   21,151  
  Deutsche Bank AG 3.300% 11/16/22 5,900   5,958  
  Deutsche Bank AG 3.950% 2/27/23 15,000   15,335  
  Deutsche Bank AG 4.100% 1/13/26 3,475   3,544  
  Deutsche Bank AG 3.700% 5/30/24 7,800   7,961  
  Deutsche Bank AG 4.250% 2/4/21 13,550   13,731  
  Deutsche Bank AG 5.000% 2/14/22 3,425   3,575  
4 Deutsche Bank AG 3.961% 11/26/25 25,000   25,509  
  Discover Bank 3.200% 8/9/21 1,400   1,422  
  Discover Bank 3.350% 2/6/23 9,300   9,574  
  Discover Bank 4.200% 8/8/23 9,475   10,065  
  Discover Bank 2.450% 9/12/24 6,400   6,366  
  Discover Bank 4.250% 3/13/26 2,175   2,349  
  Discover Bank 3.450% 7/27/26 6,250   6,482  
4 Discover Bank 4.682% 8/9/28 3,000   3,130  
  Discover Bank 4.650% 9/13/28 6,400   7,174  
  Discover Financial Services 5.200% 4/27/22 1,050   1,119  
  Discover Financial Services 3.850% 11/21/22 5,630   5,881  
  Discover Financial Services 3.950% 11/6/24 15,800   16,744  
  Discover Financial Services 3.750% 3/4/25 5,090   5,372  
  Discover Financial Services 4.500% 1/30/26 6,600   7,218  
  Discover Financial Services 4.100% 2/9/27 5,300   5,681  
  Fifth Third Bancorp 3.500% 3/15/22 7,725   7,957  
  Fifth Third Bancorp 4.300% 1/16/24 7,050   7,562  
  Fifth Third Bancorp 3.650% 1/25/24 38,138   40,118  
  Fifth Third Bancorp 2.375% 1/28/25 6,075   6,071  
  Fifth Third Bancorp 3.950% 3/14/28 4,400   4,832  
  Fifth Third Bancorp 8.250% 3/1/38 9,138   14,048  
  Fifth Third Bank 2.250% 6/14/21 16,300   16,364  
  Fifth Third Bank 3.350% 7/26/21 5,625   5,742  
  Fifth Third Bank 3.950% 7/28/25 10,900   11,820  
  Fifth Third Bank 3.850% 3/15/26 10,500   11,154  
  First Horizon National Corp. 3.500% 12/15/20 4,350   4,395  
  First Republic Bank 2.500% 6/6/22 9,800   9,889  
  First Republic Bank 4.375% 8/1/46 1,450   1,570  

 

50

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  First Republic Bank 4.625% 2/13/47 2,675   3,089  
  FirstMerit Bank NA 4.270% 11/25/26 2,150   2,303  
  Goldman Sachs Capital I 6.345% 2/15/34 9,435   12,254  
  Goldman Sachs Group Inc. 2.600% 12/27/20 500   501  
  Goldman Sachs Group Inc. 2.875% 2/25/21 21,272   21,472  
  Goldman Sachs Group Inc. 2.625% 4/25/21 10,250   10,321  
  Goldman Sachs Group Inc. 5.250% 7/27/21 31,736   33,270  
  Goldman Sachs Group Inc. 2.350% 11/15/21 8,650   8,680  
  Goldman Sachs Group Inc. 5.750% 1/24/22 25,144   26,908  
  Goldman Sachs Group Inc. 3.000% 4/26/22 36,520   37,000  
4 Goldman Sachs Group Inc. 2.876% 10/31/22 28,525   28,869  
  Goldman Sachs Group Inc. 3.625% 1/22/23 24,634   25,574  
  Goldman Sachs Group Inc. 3.200% 2/23/23 33,840   34,791  
4 Goldman Sachs Group Inc. 2.908% 6/5/23 25,000   25,389  
4 Goldman Sachs Group Inc. 2.905% 7/24/23 23,625   23,991  
  Goldman Sachs Group Inc. 3.625% 2/20/24 32,500   34,111  
  Goldman Sachs Group Inc. 4.000% 3/3/24 29,950   31,802  
  Goldman Sachs Group Inc. 3.850% 7/8/24 7,878   8,307  
  Goldman Sachs Group Inc. 3.500% 1/23/25 19,080   20,028  
  Goldman Sachs Group Inc. 3.750% 5/22/25 9,029   9,556  
4 Goldman Sachs Group Inc. 3.272% 9/29/25 38,685   39,924  
  Goldman Sachs Group Inc. 4.250% 10/21/25 3,750   4,066  
  Goldman Sachs Group Inc. 3.750% 2/25/26 21,600   22,881  
  Goldman Sachs Group Inc. 3.500% 11/16/26 33,115   34,539  
  Goldman Sachs Group Inc. 5.950% 1/15/27 3,845   4,589  
  Goldman Sachs Group Inc. 3.850% 1/26/27 22,750   24,184  
4 Goldman Sachs Group Inc. 3.691% 6/5/28 28,075   29,779  
4 Goldman Sachs Group Inc. 3.814% 4/23/29 60,359   64,572  
4 Goldman Sachs Group Inc. 4.223% 5/1/29 25,275   27,766  
  Goldman Sachs Group Inc. 6.450% 5/1/36 8,400   11,112  
  Goldman Sachs Group Inc. 6.750% 10/1/37 48,874   67,745  
4 Goldman Sachs Group Inc. 4.017% 10/31/38 23,600   25,522  
4 Goldman Sachs Group Inc. 4.411% 4/23/39 25,985   29,488  
  Goldman Sachs Group Inc. 6.250% 2/1/41 18,091   25,251  
  Goldman Sachs Group Inc. 4.800% 7/8/44 31,575   38,216  
  Goldman Sachs Group Inc. 5.150% 5/22/45 22,625   27,694  
  Goldman Sachs Group Inc. 4.750% 10/21/45 2,200   2,680  
  HSBC Bank USA NA 7.000% 1/15/39 7,726   11,262  
  HSBC Holdings plc 3.400% 3/8/21 30,973   31,433  
  HSBC Holdings plc 5.100% 4/5/21 14,670   15,198  
  HSBC Holdings plc 2.950% 5/25/21 30,225   30,590  
  HSBC Holdings plc 2.650% 1/5/22 33,405   33,769  
  HSBC Holdings plc 4.875% 1/14/22 1,895   1,997  
  HSBC Holdings plc 4.000% 3/30/22 6,080   6,326  
4 HSBC Holdings plc 3.262% 3/13/23 26,875   27,460  
  HSBC Holdings plc 3.600% 5/25/23 25,300   26,311  
4 HSBC Holdings plc 3.033% 11/22/23 7,950   8,113  
  HSBC Holdings plc 4.250% 3/14/24 10,600   11,249  
4 HSBC Holdings plc 3.950% 5/18/24 34,900   36,598  
4 HSBC Holdings plc 3.803% 3/11/25 34,125   35,813  
4 HSBC Holdings plc 2.633% 11/7/25 14,200   14,167  
  HSBC Holdings plc 4.300% 3/8/26 35,305   38,358  
  HSBC Holdings plc 3.900% 5/25/26 23,300   24,806  
4 HSBC Holdings plc 4.292% 9/12/26 43,400   46,610  

 

51

 

 

 

Total Bond Market II Index Fund

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  HSBC Holdings plc 4.375% 11/23/26 21,300   23,032  
4 HSBC Holdings plc 4.041% 3/13/28 25,200   26,886  
4 HSBC Holdings plc 4.583% 6/19/29 19,600   21,866  
4 HSBC Holdings plc 3.973% 5/22/30 11,407   12,253  
  HSBC Holdings plc 7.625% 5/17/32 575   795  
  HSBC Holdings plc 7.350% 11/27/32 600   832  
  HSBC Holdings plc 6.500% 5/2/36 13,965   18,986  
  HSBC Holdings plc 6.500% 9/15/37 28,615   39,027  
  HSBC Holdings plc 6.800% 6/1/38 5,553   7,897  
  HSBC Holdings plc 6.100% 1/14/42 3,325   4,716  
  HSBC Holdings plc 5.250% 3/14/44 25,750   32,594  
  HSBC USA Inc. 3.500% 6/23/24 11,475   12,141  
  Huntington Bancshares Inc. 7.000% 12/15/20 6,800   7,101  
  Huntington Bancshares Inc. 3.150% 3/14/21 9,700   9,803  
  Huntington Bancshares Inc. 2.300% 1/14/22 1,500   1,506  
  Huntington Bancshares Inc. 4.000% 5/15/25 3,750   4,038  
  Huntington National Bank 3.250% 5/14/21 12,500   12,703  
  Huntington National Bank 3.125% 4/1/22 4,500   4,588  
  Huntington National Bank 2.500% 8/7/22 10,000   10,112  
  Huntington National Bank 3.550% 10/6/23 5,700   5,967  
  ING Groep NV 3.150% 3/29/22 3,050   3,113  
  ING Groep NV 4.100% 10/2/23 17,000   18,022  
  ING Groep NV 3.550% 4/9/24 5,300   5,548  
  ING Groep NV 3.950% 3/29/27 10,500   11,290  
  ING Groep NV 4.550% 10/2/28 10,800   12,245  
  ING Groep NV 4.050% 4/9/29 10,160   11,139  
  JPMorgan Chase & Co. 2.550% 3/1/21 18,315   18,418  
  JPMorgan Chase & Co. 4.625% 5/10/21 1,140   1,181  
  JPMorgan Chase & Co. 2.400% 6/7/21 9,500   9,559  
  JPMorgan Chase & Co. 2.295% 8/15/21 47,400   47,483  
  JPMorgan Chase & Co. 4.350% 8/15/21 16,115   16,714  
  JPMorgan Chase & Co. 4.500% 1/24/22 31,150   32,666  
4 JPMorgan Chase & Co. 3.514% 6/18/22 12,625   12,892  
  JPMorgan Chase & Co. 3.250% 9/23/22 24,350   25,166  
  JPMorgan Chase & Co. 2.972% 1/15/23 13,995   14,268  
  JPMorgan Chase & Co. 3.200% 1/25/23 17,125   17,663  
4 JPMorgan Chase & Co. 3.207% 4/1/23 14,900   15,224  
4 JPMorgan Chase & Co. 2.776% 4/25/23 15,450   15,633  
  JPMorgan Chase & Co. 3.375% 5/1/23 15,300   15,883  
  JPMorgan Chase & Co. 2.700% 5/18/23 18,475   18,815  
  JPMorgan Chase & Co. 3.875% 2/1/24 23,170   24,782  
4 JPMorgan Chase & Co. 3.559% 4/23/24 46,855   48,833  
  JPMorgan Chase & Co. 3.625% 5/13/24 18,566   19,622  
4 JPMorgan Chase & Co. 3.797% 7/23/24 6,025   6,348  
  JPMorgan Chase & Co. 3.875% 9/10/24 73,814   78,944  
4 JPMorgan Chase & Co. 4.023% 12/5/24 13,000   13,851  
  JPMorgan Chase & Co. 3.125% 1/23/25 23,895   24,925  
4 JPMorgan Chase & Co. 3.220% 3/1/25 25,850   26,704  
  JPMorgan Chase & Co. 3.900% 7/15/25 23,341   25,180  
4 JPMorgan Chase & Co. 2.301% 10/15/25 10,000   9,988  
  JPMorgan Chase & Co. 3.300% 4/1/26 23,000   24,107  
  JPMorgan Chase & Co. 3.200% 6/15/26 17,100   17,801  
  JPMorgan Chase & Co. 2.950% 10/1/26 34,625   35,589  
  JPMorgan Chase & Co. 4.125% 12/15/26 28,750   31,456  

 

52

 

 

Total Bond Market II Index Fund

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
4 JPMorgan Chase & Co. 3.960% 1/29/27 14,875   16,096  
  JPMorgan Chase & Co. 4.250% 10/1/27 10,100   11,166  
  JPMorgan Chase & Co. 3.625% 12/1/27 9,750   10,238  
4 JPMorgan Chase & Co. 3.782% 2/1/28 29,075   31,226  
4 JPMorgan Chase & Co. 3.540% 5/1/28 17,450   18,483  
4 JPMorgan Chase & Co. 3.509% 1/23/29 38,350   40,645  
4 JPMorgan Chase & Co. 4.005% 4/23/29 13,930   15,248  
4 JPMorgan Chase & Co. 4.203% 7/23/29 39,900   44,425  
4 JPMorgan Chase & Co. 4.452% 12/5/29 29,300   33,332  
4 JPMorgan Chase & Co. 3.702% 5/6/30 450   485  
  JPMorgan Chase & Co. 8.750% 9/1/30 240   350  
4 JPMorgan Chase & Co. 2.739% 10/15/30 10,000   10,000  
  JPMorgan Chase & Co. 6.400% 5/15/38 11,465   16,532  
4 JPMorgan Chase & Co. 3.882% 7/24/38 32,050   35,440  
  JPMorgan Chase & Co. 5.500% 10/15/40 29,469   39,394  
  JPMorgan Chase & Co. 5.600% 7/15/41 5,442   7,450  
  JPMorgan Chase & Co. 5.400% 1/6/42 4,075   5,511  
  JPMorgan Chase & Co. 5.625% 8/16/43 14,010   18,789  
  JPMorgan Chase & Co. 4.850% 2/1/44 1,000   1,279  
  JPMorgan Chase & Co. 4.950% 6/1/45 10,600   13,351  
4 JPMorgan Chase & Co. 4.260% 2/22/48 24,500   28,713  
4 JPMorgan Chase & Co. 4.032% 7/24/48 16,950   19,196  
4 JPMorgan Chase & Co. 3.964% 11/15/48 38,450   43,113  
4 JPMorgan Chase & Co. 3.897% 1/23/49 17,870   19,987  
  KeyBank NA 3.350% 6/15/21 3,275   3,343  
  KeyBank NA 2.500% 11/22/21 11,000   11,122  
  KeyBank NA 2.400% 6/9/22 1,550   1,567  
  KeyBank NA 2.300% 9/14/22 9,550   9,643  
  KeyBank NA 3.375% 3/7/23 4,000   4,157  
  KeyBank NA 3.300% 6/1/25 1,125   1,185  
  KeyBank NA 3.400% 5/20/26 2,000   2,075  
4 KeyBank NA 3.180% 10/15/27 2,625   2,678  
  KeyBank NA 6.950% 2/1/28 500   631  
  KeyCorp 5.100% 3/24/21 9,090   9,427  
  KeyCorp 4.150% 10/29/25 6,750   7,387  
  KeyCorp 4.100% 4/30/28 18,000   19,640  
  KeyCorp 2.550% 10/1/29 6,400   6,258  
  Lloyds Bank plc 6.375% 1/21/21 5,300   5,514  
  Lloyds Banking Group plc 3.000% 1/11/22 5,340   5,421  
4 Lloyds Banking Group plc 2.858% 3/17/23 10,675   10,777  
  Lloyds Banking Group plc 4.050% 8/16/23 34,800   36,721  
4 Lloyds Banking Group plc 2.907% 11/7/23 18,670   18,940  
  Lloyds Banking Group plc 3.900% 3/12/24 8,500   8,956  
  Lloyds Banking Group plc 4.500% 11/4/24 8,300   8,849  
  Lloyds Banking Group plc 4.450% 5/8/25 7,000   7,628  
  Lloyds Banking Group plc 4.582% 12/10/25 29,946   32,316  
  Lloyds Banking Group plc 4.650% 3/24/26 12,514   13,544  
  Lloyds Banking Group plc 3.750% 1/11/27 9,750   10,229  
  Lloyds Banking Group plc 4.375% 3/22/28 22,510   24,781  
  Lloyds Banking Group plc 4.550% 8/16/28 7,150   7,984  
4 Lloyds Banking Group plc 3.574% 11/7/28 21,225   22,075  
  Lloyds Banking Group plc 5.300% 12/1/45 2,925   3,553  
  Lloyds Banking Group plc 4.344% 1/9/48 17,750   19,177  
  M&T Bank Corp. 3.550% 7/26/23 4,500   4,729  

 

53

 

 

Total Bond Market II Index Fund

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Manufacturers & Traders Trust Co. 2.625% 1/25/21 13,200   13,257  
  Manufacturers & Traders Trust Co. 2.900% 2/6/25 7,195   7,393  
  Mitsubishi UFJ Financial Group Inc. 2.950% 3/1/21 12,044   12,162  
  Mitsubishi UFJ Financial Group Inc. 3.535% 7/26/21 5,800   5,930  
  Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 17,150   17,175  
  Mitsubishi UFJ Financial Group Inc. 2.998% 2/22/22 11,625   11,838  
  Mitsubishi UFJ Financial Group Inc. 3.218% 3/7/22 23,000   23,536  
  Mitsubishi UFJ Financial Group Inc. 2.623% 7/18/22 27,675   28,031  
  Mitsubishi UFJ Financial Group Inc. 2.665% 7/25/22 7,000   7,100  
  Mitsubishi UFJ Financial Group Inc. 3.455% 3/2/23 12,780   13,242  
  Mitsubishi UFJ Financial Group Inc. 3.761% 7/26/23 20,000   21,008  
  Mitsubishi UFJ Financial Group Inc. 2.527% 9/13/23 3,000   3,020  
  Mitsubishi UFJ Financial Group Inc. 3.407% 3/7/24 28,000   29,194  
  Mitsubishi UFJ Financial Group Inc. 2.801% 7/18/24 14,800   15,070  
  Mitsubishi UFJ Financial Group Inc. 3.777% 3/2/25 11,160   11,859  
  Mitsubishi UFJ Financial Group Inc. 3.850% 3/1/26 6,550   7,026  
  Mitsubishi UFJ Financial Group Inc. 2.757% 9/13/26 4,500   4,528  
  Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27 8,619   9,148  
  Mitsubishi UFJ Financial Group Inc. 3.287% 7/25/27 25,550   26,476  
  Mitsubishi UFJ Financial Group Inc. 3.961% 3/2/28 13,650   14,820  
  Mitsubishi UFJ Financial Group Inc. 4.050% 9/11/28 4,870   5,369  
  Mitsubishi UFJ Financial Group Inc. 3.741% 3/7/29 16,950   18,205  
  Mitsubishi UFJ Financial Group Inc. 3.195% 7/18/29 14,225   14,707  
  Mitsubishi UFJ Financial Group Inc. 4.286% 7/26/38 2,850   3,278  
  Mitsubishi UFJ Financial Group Inc. 3.751% 7/18/39 11,450   12,543  
  Mizuho Financial Group Inc. 3.549% 3/5/23 3,175   3,306  
4 Mizuho Financial Group Inc. 2.721% 7/16/23 17,775   17,946  
4 Mizuho Financial Group Inc. 3.922% 9/11/24 12,650   13,264  
4 Mizuho Financial Group Inc. 2.839% 7/16/25 17,775   17,926  
4 Mizuho Financial Group Inc. 2.555% 9/13/25 4,275   4,264  
  Mizuho Financial Group Inc. 4.018% 3/5/28 23,350   25,413  
4 Mizuho Financial Group Inc. 4.254% 9/11/29 5,600   6,199  
4 Mizuho Financial Group Inc. 3.153% 7/16/30 27,200   27,775  
4 Mizuho Financial Group Inc. 2.869% 9/13/30 4,275   4,302  
  Morgan Stanley 5.750% 1/25/21 12,940   13,415  
  Morgan Stanley 2.500% 4/21/21 25,300   25,411  
  Morgan Stanley 5.500% 7/28/21 3,275   3,447  
  Morgan Stanley 2.625% 11/17/21 10,435   10,552  
  Morgan Stanley 2.750% 5/19/22 32,475   33,041  
  Morgan Stanley 4.875% 11/1/22 16,525   17,695  
  Morgan Stanley 3.125% 1/23/23 25,025   25,703  
  Morgan Stanley 3.750% 2/25/23 42,140   44,011  
  Morgan Stanley 4.100% 5/22/23 20,525   21,600  
4 Morgan Stanley 3.737% 4/24/24 9,150   9,528  
  Morgan Stanley 3.875% 4/29/24 26,540   28,153  
  Morgan Stanley 3.700% 10/23/24 25,302   26,802  
  Morgan Stanley 4.000% 7/23/25 46,975   50,801  
  Morgan Stanley 5.000% 11/24/25 25,290   28,397  
  Morgan Stanley 3.875% 1/27/26 28,029   30,064  
  Morgan Stanley 3.125% 7/27/26 37,700   38,805  
  Morgan Stanley 6.250% 8/9/26 9,650   11,716  
  Morgan Stanley 4.350% 9/8/26 19,070   20,818  
  Morgan Stanley 3.625% 1/20/27 16,785   17,822  
  Morgan Stanley 3.950% 4/23/27 5,255   5,618  

 

54

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Morgan Stanley 3.591% 7/22/28 40,765   43,186  
4 Morgan Stanley 3.772% 1/24/29 19,225   20,651  
4 Morgan Stanley 4.431% 1/23/30 19,537   22,047  
  Morgan Stanley 7.250% 4/1/32 7,000   10,048  
4 Morgan Stanley 3.971% 7/22/38 1,850   2,052  
4 Morgan Stanley 4.457% 4/22/39 18,825   22,156  
  Morgan Stanley 6.375% 7/24/42 28,425   41,849  
  Morgan Stanley 4.300% 1/27/45 34,625   40,660  
  MUFG Americas Holdings Corp. 3.500% 6/18/22 5,600   5,795  
  MUFG Americas Holdings Corp. 3.000% 2/10/25 3,700   3,759  
  MUFG Union Bank NA 3.150% 4/1/22 31,800   32,513  
  MUFG Union Bank NA 2.100% 12/9/22 19,290   19,329  
  National Australia Bank Ltd. 2.500% 1/12/21 300   301  
  National Australia Bank Ltd. 2.625% 1/14/21 4,000   4,023  
  National Australia Bank Ltd. 1.875% 7/12/21 5,500   5,493  
  National Australia Bank Ltd. 3.375% 9/20/21 8,750   8,961  
  National Australia Bank Ltd. 3.700% 11/4/21 6,000   6,191  
  National Australia Bank Ltd. 2.800% 1/10/22 3,250   3,301  
  National Australia Bank Ltd. 2.500% 5/22/22 15,800   15,988  
  National Australia Bank Ltd. 3.000% 1/20/23 3,200   3,277  
  National Australia Bank Ltd. 3.625% 6/20/23 12,000   12,555  
  National Australia Bank Ltd. 3.375% 1/14/26 3,350   3,510  
  National Australia Bank Ltd. 2.500% 7/12/26 12,175   12,222  
  Northern Trust Corp. 2.375% 8/2/22 5,480   5,527  
  Northern Trust Corp. 3.950% 10/30/25 8,750   9,419  
  Northern Trust Corp. 3.650% 8/3/28 3,425   3,700  
  Northern Trust Corp. 3.150% 5/3/29 4,200   4,421  
4 Northern Trust Corp. 3.375% 5/8/32 4,950   5,016  
  People’s United Bank NA 4.000% 7/15/24 3,000   3,122  
  People’s United Financial Inc. 3.650% 12/6/22 5,695   5,915  
  PNC Bank NA 2.500% 1/22/21 2,400   2,411  
  PNC Bank NA 2.150% 4/29/21 15,000   15,030  
  PNC Bank NA 2.550% 12/9/21 17,100   17,242  
  PNC Bank NA 2.625% 2/17/22 20,800   21,015  
  PNC Bank NA 2.450% 7/28/22 925   934  
  PNC Bank NA 2.700% 11/1/22 16,088   16,242  
4 PNC Bank NA 2.028% 12/9/22 6,440   6,445  
  PNC Bank NA 2.950% 1/30/23 4,500   4,591  
  PNC Bank NA 3.300% 10/30/24 3,850   4,004  
  PNC Bank NA 2.950% 2/23/25 5,750   5,880  
  PNC Bank NA 3.250% 6/1/25 4,550   4,765  
  PNC Bank NA 4.200% 11/1/25 4,625   5,027  
  PNC Bank NA 3.100% 10/25/27 275   287  
  PNC Bank NA 3.250% 1/22/28 10,775   11,312  
  PNC Bank NA 4.050% 7/26/28 5,750   6,312  
  PNC Bank NA 2.700% 10/22/29 3,500   3,479  
  PNC Financial Services Group Inc. 2.854% 11/9/22 5,300   5,392  
  PNC Financial Services Group Inc. 3.500% 1/23/24 27,050   28,391  
  PNC Financial Services Group Inc. 3.900% 4/29/24 17,900   18,811  
  PNC Financial Services Group Inc. 3.150% 5/19/27 19,075   19,711  
  PNC Financial Services Group Inc. 3.450% 4/23/29 13,400   14,239  
  PNC Funding Corp. 3.300% 3/8/22 2,740   2,814  
  Regions Bank 2.750% 4/1/21 4,700   4,733  
  Regions Bank 6.450% 6/26/37 1,229   1,578  

 

55

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
4 Regions Bank 3.374% 8/13/21 5,950   5,995  
  Regions Financial Corp. 2.750% 8/14/22 2,625   2,670  
  Regions Financial Corp. 3.800% 8/14/23 7,000   7,380  
  Regions Financial Corp. 7.375% 12/10/37 7,000   9,890  
  Royal Bank of Canada 2.500% 1/19/21 5,000   5,022  
  Royal Bank of Canada 3.200% 4/30/21 25,100   25,545  
  Royal Bank of Canada 2.750% 2/1/22 13,000   13,215  
  Royal Bank of Canada 2.800% 4/29/22 14,000   14,265  
  Royal Bank of Canada 3.700% 10/5/23 8,800   9,279  
  Royal Bank of Canada 2.550% 7/16/24 7,800   7,916  
  Royal Bank of Canada 2.250% 11/1/24 35,000   35,162  
  Royal Bank of Canada 4.650% 1/27/26 6,400   7,104  
  Royal Bank of Scotland Group plc 6.125% 12/15/22 5,000   5,469  
4 Royal Bank of Scotland Group plc 3.498% 5/15/23 10,050   10,263  
  Royal Bank of Scotland Group plc 6.100% 6/10/23 8,000   8,790  
  Royal Bank of Scotland Group plc 3.875% 9/12/23 24,300   25,401  
  Royal Bank of Scotland Group plc 6.000% 12/19/23 5,550   6,169  
  Royal Bank of Scotland Group plc 5.125% 5/28/24 23,143   25,058  
4 Royal Bank of Scotland Group plc 4.519% 6/25/24 22,000   23,317  
4 Royal Bank of Scotland Group plc 4.269% 3/22/25 11,500   12,198  
  Royal Bank of Scotland Group plc 4.800% 4/5/26 1,700   1,883  
4 Royal Bank of Scotland Group plc 4.892% 5/18/29 20,000   22,547  
4 Royal Bank of Scotland Group plc 3.754% 11/1/29 2,225   2,270  
4 Royal Bank of Scotland Group plc 5.076% 1/27/30 34,200   39,233  
4 Royal Bank of Scotland Group plc 4.445% 5/8/30 10,000   11,006  
  Santander Holdings USA Inc. 3.400% 1/18/23 11,400   11,684  
  Santander Holdings USA Inc. 3.500% 6/7/24 5,000   5,139  
  Santander Holdings USA Inc. 4.500% 7/17/25 19,500   20,967  
7 Santander Holdings USA Inc. 3.244% 10/5/26 28,318   28,449  
  Santander Holdings USA Inc. 4.400% 7/13/27 12,150   13,091  
  Santander UK Group Holdings plc 3.125% 1/8/21 8,300   8,368  
  Santander UK Group Holdings plc 2.875% 8/5/21 7,375   7,446  
  Santander UK Group Holdings plc 3.571% 1/10/23 7,000   7,159  
4 Santander UK Group Holdings plc 3.373% 1/5/24 7,300   7,454  
4 Santander UK Group Holdings plc 3.823% 11/3/28 4,000   4,200  
  Santander UK plc 3.400% 6/1/21 14,650   14,943  
  Santander UK plc 4.000% 3/13/24 12,350   13,154  
  Santander UK plc 2.875% 6/18/24 8,700   8,879  
  Skandinaviska Enskilda Banken AB 2.625% 3/15/21 8,800   8,858  
  Skandinaviska Enskilda Banken AB 1.875% 9/13/21 20,850   20,776  
  Skandinaviska Enskilda Banken AB 2.800% 3/11/22 5,500   5,580  
  State Street Corp. 4.375% 3/7/21 1,185   1,219  
  State Street Corp. 1.950% 5/19/21 26,097   26,116  
4 State Street Corp. 2.653% 5/15/23 12,000   12,184  
  State Street Corp. 3.100% 5/15/23 19,007   19,518  
  State Street Corp. 3.700% 11/20/23 373   396  
4 State Street Corp. 3.776% 12/3/24 5,800   6,114  
  State Street Corp. 3.300% 12/16/24 2,500   2,636  
  State Street Corp. 3.550% 8/18/25 11,086   11,914  
4 State Street Corp. 2.354% 11/1/25 13,825   13,841  
  State Street Corp. 2.650% 5/19/26 4,725   4,797  
4 State Street Corp. 4.141% 12/3/29 2,250   2,512  
4 State Street Corp. 3.031% 11/1/34 17,850   17,804  
  Sumitomo Mitsui Banking Corp. 3.200% 7/18/22 1,725   1,772  

 

56

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Sumitomo Mitsui Banking Corp. 3.000% 1/18/23 550   560  
  Sumitomo Mitsui Banking Corp. 3.950% 7/19/23 5,350   5,652  
  Sumitomo Mitsui Banking Corp. 3.950% 1/10/24 5,875   6,216  
  Sumitomo Mitsui Banking Corp. 3.400% 7/11/24 9,400   9,815  
  Sumitomo Mitsui Banking Corp. 3.650% 7/23/25 2,500   2,658  
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 4,545   4,598  
  Sumitomo Mitsui Financial Group Inc. 2.058% 7/14/21 6,850   6,858  
  Sumitomo Mitsui Financial Group Inc. 2.442% 10/19/21 8,950   9,010  
  Sumitomo Mitsui Financial Group Inc. 2.846% 1/11/22 10,000   10,145  
  Sumitomo Mitsui Financial Group Inc. 2.784% 7/12/22 8,350   8,491  
  Sumitomo Mitsui Financial Group Inc. 2.778% 10/18/22 8,000   8,123  
  Sumitomo Mitsui Financial Group Inc. 3.102% 1/17/23 7,500   7,671  
  Sumitomo Mitsui Financial Group Inc. 3.748% 7/19/23 10,000   10,478  
  Sumitomo Mitsui Financial Group Inc. 3.936% 10/16/23 7,262   7,680  
  Sumitomo Mitsui Financial Group Inc. 2.696% 7/16/24 34,950   35,422  
  Sumitomo Mitsui Financial Group Inc. 2.448% 9/27/24 33,700   33,751  
  Sumitomo Mitsui Financial Group Inc. 3.784% 3/9/26 26,600   28,327  
  Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26 17,900   17,925  
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26 16,425   16,729  
  Sumitomo Mitsui Financial Group Inc. 3.446% 1/11/27 2,000   2,093  
  Sumitomo Mitsui Financial Group Inc. 3.364% 7/12/27 11,650   12,132  
  Sumitomo Mitsui Financial Group Inc. 3.544% 1/17/28 14,400   15,201  
  Sumitomo Mitsui Financial Group Inc. 3.944% 7/19/28 8,775   9,565  
  Sumitomo Mitsui Financial Group Inc. 4.306% 10/16/28 3,575   3,987  
  Sumitomo Mitsui Financial Group Inc. 3.040% 7/16/29 12,500   12,728  
  Sumitomo Mitsui Financial Group Inc. 3.202% 9/17/29 6,400   6,461  
  Sumitomo Mitsui Financial Group Inc. 2.724% 9/27/29 13,600   13,444  
  SVB Financial Group 3.500% 1/29/25 2,250   2,350  
  Svenska Handelsbanken AB 2.450% 3/30/21 15,750   15,841  
  Svenska Handelsbanken AB 3.350% 5/24/21 26,000   26,481  
  Svenska Handelsbanken AB 1.875% 9/7/21 4,525   4,515  
  Synchrony Bank 3.650% 5/24/21 5,900   6,016  
  Synchrony Bank 3.000% 6/15/22 2,375   2,419  
  Synchrony Financial 3.750% 8/15/21 7,450   7,616  
  Synchrony Financial 2.850% 7/25/22 1,900   1,925  
  Synchrony Financial 4.375% 3/19/24 1,625   1,727  
  Synchrony Financial 4.250% 8/15/24 6,850   7,308  
  Synchrony Financial 4.500% 7/23/25 15,525   16,771  
  Synchrony Financial 3.700% 8/4/26 4,325   4,457  
  Synchrony Financial 3.950% 12/1/27 12,415   13,032  
  Synchrony Financial 5.150% 3/19/29 1,250   1,420  
  Synovus Financial Corp. 3.125% 11/1/22 2,775   2,810  
  Toronto-Dominion Bank 2.500% 12/14/20 19,500   19,608  
  Toronto-Dominion Bank 2.550% 1/25/21 36,625   36,832  
  Toronto-Dominion Bank 2.125% 4/7/21 18,600   18,666  
  Toronto-Dominion Bank 1.800% 7/13/21 17,100   17,094  
  Toronto-Dominion Bank 1.900% 12/1/22 9,950   9,951  
  Toronto-Dominion Bank 3.500% 7/19/23 5,000   5,264  
  Toronto-Dominion Bank 3.250% 3/11/24 19,900   20,763  
  Toronto-Dominion Bank 2.650% 6/12/24 7,500   7,645  
4 Toronto-Dominion Bank 3.625% 9/15/31 6,400   6,688  
  Truist Bank 2.850% 4/1/21 3,000   3,030  
  Truist Bank 2.625% 1/15/22 10,232   10,359  
  Truist Bank 2.800% 5/17/22 4,000   4,070  

 

57

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Truist Bank 2.450% 8/1/22 8,583   8,670  
4 Truist Bank 3.502% 8/2/22 4,400   4,493  
  Truist Bank 3.000% 2/2/23 5,000   5,119  
  Truist Bank 2.750% 5/1/23 2,150   2,181  
  Truist Bank 3.200% 4/1/24 39,615   41,125  
4 Truist Bank 3.689% 8/2/24 8,900   9,323  
  Truist Bank 2.150% 12/6/24 11,635   11,613  
  Truist Bank 3.625% 9/16/25 9,350   9,945  
  Truist Bank 3.300% 5/15/26 3,000   3,119  
  Truist Bank 3.800% 10/30/26 3,450   3,697  
  Truist Financial Corp 2.900% 3/3/21 2,525   2,546  
  Truist Financial Corp. 2.150% 2/1/21 6,575   6,587  
  Truist Financial Corp. 2.050% 5/10/21 14,025   14,035  
  Truist Financial Corp. 3.200% 9/3/21 8,000   8,160  
  Truist Financial Corp. 2.700% 1/27/22 10,025   10,162  
  Truist Financial Corp. 3.950% 3/22/22 2,049   2,123  
  Truist Financial Corp. 2.750% 4/1/22 7,000   7,122  
  Truist Financial Corp. 3.050% 6/20/22 7,000   7,141  
  Truist Financial Corp. 3.750% 12/6/23 600   634  
  Truist Financial Corp. 2.500% 8/1/24 10,525   10,649  
  Truist Financial Corp. 2.850% 10/26/24 21,739   22,464  
  Truist Financial Corp. 4.000% 5/1/25 5,000   5,409  
  Truist Financial Corp. 3.700% 6/5/25 13,500   14,541  
  Truist Financial Corp. 3.875% 3/19/29 6,609   7,115  
7 UBS AG 2.450% 12/1/20 20,000   20,064  
  US Bancorp 2.350% 1/29/21 3,675   3,691  
  US Bancorp 4.125% 5/24/21 2,515   2,587  
  US Bancorp 2.625% 1/24/22 10,050   10,200  
  US Bancorp 3.000% 3/15/22 4,225   4,321  
  US Bancorp 2.950% 7/15/22 10,725   10,996  
  US Bancorp 3.700% 1/30/24 11,050   11,743  
  US Bancorp 3.375% 2/5/24 11,500   12,036  
  US Bancorp 2.400% 7/30/24 11,100   11,235  
  US Bancorp 3.600% 9/11/24 12,445   13,199  
  US Bancorp 3.950% 11/17/25 1,318   1,449  
  US Bancorp 3.100% 4/27/26 4,450   4,632  
  US Bancorp 2.375% 7/22/26 20,550   20,600  
  US Bancorp 3.150% 4/27/27 13,000   13,601  
  US Bancorp 3.900% 4/26/28 5,600   6,281  
  US Bancorp 3.000% 7/30/29 3,000   3,070  
  US Bank NA 2.850% 1/23/23 4,625   4,746  
  US Bank NA 3.400% 7/24/23 7,825   8,184  
  US Bank NA 2.800% 1/27/25 17,050   17,571  
  US Bank NA 3.450% 11/16/21 3,700   3,805  
  US Bank NA 2.650% 5/23/22 10,250   10,427  
  US Bank NA 1.950% 1/9/23 15,450   15,464  
  Wachovia Corp. 6.605% 10/1/25 1,150   1,358  
  Wachovia Corp. 7.500% 4/15/35 500   700  
  Wachovia Corp. 5.500% 8/1/35 4,725   5,981  
  Wachovia Corp. 6.550% 10/15/35 250   320  
  Wells Fargo & Co. 2.550% 12/7/20 5,325   5,348  
  Wells Fargo & Co. 3.000% 1/22/21 11,010   11,135  
  Wells Fargo & Co. 2.500% 3/4/21 23,225   23,386  
  Wells Fargo & Co. 4.600% 4/1/21 15,015   15,474  
  Wells Fargo & Co. 2.100% 7/26/21 47,400   47,477  

 

58

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Wells Fargo & Co. 3.500% 3/8/22 7,815   8,055  
  Wells Fargo & Co. 2.625% 7/22/22 36,750   37,243  
  Wells Fargo & Co. 3.069% 1/24/23 54,147   55,075  
  Wells Fargo & Co. 3.450% 2/13/23 23,387   24,191  
  Wells Fargo & Co. 4.125% 8/15/23 26,812   28,427  
  Wells Fargo & Co. 4.480% 1/16/24 6,800   7,324  
  Wells Fargo & Co. 3.750% 1/24/24 5,710   6,014  
  Wells Fargo & Co. 3.300% 9/9/24 21,735   22,750  
  Wells Fargo & Co. 3.000% 2/19/25 22,775   23,488  
  Wells Fargo & Co. 3.550% 9/29/25 18,600   19,651  
4 Wells Fargo & Co. 2.406% 10/30/25 55,000   54,863  
  Wells Fargo & Co. 3.000% 4/22/26 29,975   30,831  
  Wells Fargo & Co. 4.100% 6/3/26 27,600   29,668  
  Wells Fargo & Co. 3.000% 10/23/26 23,423   23,941  
4 Wells Fargo & Co. 3.196% 6/17/27 20,000   20,702  
  Wells Fargo & Co. 4.300% 7/22/27 17,125   18,689  
4 Wells Fargo & Co. 3.584% 5/22/28 15,825   16,779  
  Wells Fargo & Co. 4.150% 1/24/29 25,500   28,333  
4 Wells Fargo & Co. 2.879% 10/30/30 51,375   51,679  
  Wells Fargo & Co. 5.375% 2/7/35 9,100   11,732  
  Wells Fargo & Co. 5.375% 11/2/43 30,854   38,870  
  Wells Fargo & Co. 5.606% 1/15/44 15,600   20,629  
  Wells Fargo & Co. 4.650% 11/4/44 16,595   19,437  
  Wells Fargo & Co. 3.900% 5/1/45 7,705   8,748  
  Wells Fargo & Co. 4.900% 11/17/45 19,525   23,830  
  Wells Fargo & Co. 4.400% 6/14/46 7,400   8,489  
  Wells Fargo & Co. 4.750% 12/7/46 21,825   25,995  
  Wells Fargo Bank NA 2.600% 1/15/21 26,450   26,598  
4 Wells Fargo Bank NA 3.325% 7/23/21 15,505   15,607  
  Wells Fargo Bank NA 3.625% 10/22/21 14,850   15,277  
4 Wells Fargo Bank NA 2.897% 5/27/22 9,000   9,097  
  Wells Fargo Bank NA 3.550% 8/14/23 24,875   25,985  
  Wells Fargo Bank NA 5.950% 8/26/36 3,700   4,904  
  Wells Fargo Bank NA 5.850% 2/1/37 11,275   14,955  
  Wells Fargo Bank NA 6.600% 1/15/38 10,645   15,308  
4 Wells Fargo Capital X 5.950% 12/1/86 3,425   4,204  
  Westpac Banking Corp. 2.650% 1/25/21 4,875   4,907  
  Westpac Banking Corp. 2.100% 5/13/21 28,075   28,103  
  Westpac Banking Corp. 2.000% 8/19/21 8,750   8,751  
  Westpac Banking Corp. 2.500% 6/28/22 28,000   28,297  
  Westpac Banking Corp. 2.750% 1/11/23 8,000   8,132  
  Westpac Banking Corp. 3.650% 5/15/23 7,400   7,757  
  Westpac Banking Corp. 3.300% 2/26/24 10,700   11,130  
  Westpac Banking Corp. 2.350% 2/19/25 25,000   25,046  
  Westpac Banking Corp. 2.850% 5/13/26 17,925   18,301  
  Westpac Banking Corp. 2.700% 8/19/26 1,550   1,567  
  Westpac Banking Corp. 3.350% 3/8/27 11,900   12,582  
  Westpac Banking Corp. 3.400% 1/25/28 150   159  
4 Westpac Banking Corp. 4.322% 11/23/31 17,460   18,420  
  Westpac Banking Corp. 4.110% 7/24/34 3,300   3,436  
  Westpac Banking Corp. 4.421% 7/24/39 3,550   3,892  
  Zions Bancorp NA 3.500% 8/27/21 9,050   9,220  
  Zions Bancorp NA 3.250% 10/29/29 3,090   3,032  

 

59

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Brokerage (0.2%)            
  Affiliated Managers Group Inc. 4.250% 2/15/24 3,122   3,324  
  Affiliated Managers Group Inc. 3.500% 8/1/25 4,300   4,490  
  Ameriprise Financial Inc. 3.000% 3/22/22 1,000   1,022  
  Ameriprise Financial Inc. 4.000% 10/15/23 12,499   13,334  
  Ameriprise Financial Inc. 3.700% 10/15/24 4,500   4,805  
  Ameriprise Financial Inc. 2.875% 9/15/26 4,300   4,393  
  BGC Partners Inc. 5.125% 5/27/21 3,450   3,558  
  BGC Partners Inc. 3.750% 10/1/24 3,376   3,369  
  BlackRock Inc. 4.250% 5/24/21 5,725   5,914  
  BlackRock Inc. 3.375% 6/1/22 11,744   12,160  
  BlackRock Inc. 3.500% 3/18/24 7,650   8,121  
  BlackRock Inc. 3.200% 3/15/27 6,000   6,341  
  BlackRock Inc. 3.250% 4/30/29 5,000   5,340  
  Brookfield Asset Management Inc. 4.000% 1/15/25 4,725   5,068  
  Brookfield Finance Inc. 4.250% 6/2/26 1,015   1,101  
  Brookfield Finance Inc. 3.900% 1/25/28 5,500   5,904  
  Brookfield Finance Inc. 4.850% 3/29/29 8,625   9,882  
  Brookfield Finance Inc. 4.700% 9/20/47 8,175   9,359  
  Brookfield Finance LLC 4.000% 4/1/24 9,920   10,638  
  Cboe Global Markets Inc. 3.650% 1/12/27 4,910   5,266  
  Charles Schwab Corp. 3.250% 5/21/21 10,400   10,590  
  Charles Schwab Corp. 3.225% 9/1/22 4,464   4,604  
  Charles Schwab Corp. 2.650% 1/25/23 7,225   7,373  
  Charles Schwab Corp. 3.550% 2/1/24 10,180   10,734  
  Charles Schwab Corp. 3.850% 5/21/25 2,000   2,163  
  Charles Schwab Corp. 3.450% 2/13/26 3,225   3,403  
  Charles Schwab Corp. 3.200% 3/2/27 3,500   3,673  
  Charles Schwab Corp. 3.200% 1/25/28 5,350   5,591  
  Charles Schwab Corp. 4.000% 2/1/29 6,000   6,641  
  Charles Schwab Corp. 3.250% 5/22/29 5,540   5,845  
  CME Group Inc. 3.000% 9/15/22 20,055   20,623  
  CME Group Inc. 3.000% 3/15/25 750   776  
  CME Group Inc. 3.750% 6/15/28 2,671   2,948  
  CME Group Inc. 5.300% 9/15/43 7,140   9,554  
  CME Group Inc. 4.150% 6/15/48 5,975   7,135  
  E*TRADE Financial Corp. 2.950% 8/24/22 4,262   4,326  
  E*TRADE Financial Corp. 3.800% 8/24/27 5,250   5,478  
  E*TRADE Financial Corp. 4.500% 6/20/28 3,630   3,950  
  Eaton Vance Corp. 3.625% 6/15/23 2,875   3,007  
  Eaton Vance Corp. 3.500% 4/6/27 2,600   2,745  
  Franklin Resources Inc. 2.800% 9/15/22 6,875   7,053  
  Franklin Resources Inc. 2.850% 3/30/25 3,000   3,088  
  Intercontinental Exchange Inc. 2.750% 12/1/20 4,925   4,956  
  Intercontinental Exchange Inc. 2.350% 9/15/22 5,375   5,430  
  Intercontinental Exchange Inc. 3.450% 9/21/23 3,500   3,664  
  Intercontinental Exchange Inc. 4.000% 10/15/23 9,975   10,638  
  Intercontinental Exchange Inc. 3.750% 12/1/25 10,115   10,887  
  Intercontinental Exchange Inc. 3.100% 9/15/27 5,100   5,340  
  Intercontinental Exchange Inc. 3.750% 9/21/28 4,375   4,774  
  Intercontinental Exchange Inc. 4.250% 9/21/48 7,750   9,154  
  Invesco Finance plc 3.125% 11/30/22 16,300   16,751  
  Invesco Finance plc 4.000% 1/30/24 14,250   15,093  
  Invesco Finance plc 3.750% 1/15/26 10   11  

 

60

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Invesco Finance plc 5.375% 11/30/43 7,125   8,588  
  Janus Capital Group Inc. 4.875% 8/1/25 2,400   2,580  
  Jefferies Financial Group Inc. 5.500% 10/18/23 7,200   7,835  
  Jefferies Group LLC 6.875% 4/15/21 5,345   5,646  
  Jefferies Group LLC 5.125% 1/20/23 2,400   2,586  
  Jefferies Group LLC 4.850% 1/15/27 11,100   12,285  
  Jefferies Group LLC 6.450% 6/8/27 1,235   1,437  
  Jefferies Group LLC 6.250% 1/15/36 3,055   3,628  
  Jefferies Group LLC 6.500% 1/20/43 4,305   5,119  
  Jefferies Group LLC / Jefferies Group Capital Finance Inc. 4.150% 1/23/30 14,285   15,049  
  Lazard Group LLC 3.750% 2/13/25 100   105  
  Lazard Group LLC 3.625% 3/1/27 5,075   5,189  
  Lazard Group LLC 4.500% 9/19/28 9,350   10,376  
  Legg Mason Inc. 4.750% 3/15/26 3,502   3,836  
  Legg Mason Inc. 5.625% 1/15/44 4,875   5,534  
  Nasdaq Inc. 4.250% 6/1/24 4,325   4,658  
  Nasdaq Inc. 3.850% 6/30/26 4,350   4,654  
  Raymond James Financial Inc. 3.625% 9/15/26 3,066   3,238  
  Raymond James Financial Inc. 4.950% 7/15/46 7,275   8,623  
  Stifel Financial Corp. 3.500% 12/1/20 3,475   3,512  
  Stifel Financial Corp. 4.250% 7/18/24 10,548   11,111  
  TD Ameritrade Holding Corp. 2.950% 4/1/22 10,775   11,006  
  TD Ameritrade Holding Corp. 3.625% 4/1/25 1,900   2,016  
  TD Ameritrade Holding Corp. 3.300% 4/1/27 8,850   9,243  
  TD Ameritrade Holding Corp. 2.750% 10/1/29 2,590   2,606  
               
  Finance Companies (0.2%)            
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450% 10/1/25 6,375   6,853  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.650% 7/21/27 6,800   6,970  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.500% 5/15/21 6,685   6,894  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.000% 10/1/21 8,620   9,029  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450% 12/16/21 1,330   1,383  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.950% 2/1/22 8,400   8,673  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.500% 5/26/22 2,125   2,181  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625% 7/1/22 6,850   7,235  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.300% 1/23/23 5,045   5,165  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.125% 7/3/23 1,000   1,052  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.875% 1/16/24 970   1,051  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.500% 1/15/25 2,050   2,111  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.875% 1/23/28 15,650   16,198  

 

61

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Air Lease Corp. 2.500% 3/1/21 10,025   10,063  
  Air Lease Corp. 3.875% 4/1/21 9,743   9,935  
  Air Lease Corp. 3.375% 6/1/21 2,025   2,055  
  Air Lease Corp. 3.500% 1/15/22 11,465   11,752  
  Air Lease Corp. 3.750% 2/1/22 5,625   5,787  
  Air Lease Corp. 2.625% 7/1/22 5,000   5,044  
  Air Lease Corp. 2.250% 1/15/23 1,000   1,000  
  Air Lease Corp. 2.750% 1/15/23 4,000   4,050  
  Air Lease Corp. 3.875% 7/3/23 4,350   4,570  
  Air Lease Corp. 3.000% 9/15/23 7,825   8,007  
  Air Lease Corp. 4.250% 2/1/24 6,350   6,801  
  Air Lease Corp. 4.250% 9/15/24 600   643  
  Air Lease Corp. 3.250% 3/1/25 7,000   7,200  
  Air Lease Corp. 3.750% 6/1/26 2,000   2,088  
  Air Lease Corp. 3.625% 4/1/27 6,775   7,031  
  Air Lease Corp. 3.625% 12/1/27 5,700   5,894  
  Air Lease Corp. 4.625% 10/1/28 4,300   4,744  
  Air Lease Corp. 3.250% 10/1/29 4,265   4,241  
  Aircastle Ltd. 4.400% 9/25/23 5,800   6,146  
  Aircastle Ltd. 4.125% 5/1/24 5,463   5,728  
  Aircastle Ltd. 4.250% 6/15/26 5,000   5,273  
  Ares Capital Corp. 3.500% 2/10/23 11,500   11,688  
  Ares Capital Corp. 4.200% 6/10/24 6,610   6,942  
  Ares Capital Corp. 4.250% 3/1/25 5,900   6,158  
  FS KKR Capital Corp. 4.750% 5/15/22 3,125   3,208  
  FS KKR Capital Corp. 4.625% 7/15/24 4,375   4,536  
  FS KKR Capital Corp. 4.125% 2/1/25 3,800   3,851  
  GATX Corp. 3.250% 3/30/25 2,300   2,364  
  GATX Corp. 3.250% 9/15/26 2,800   2,836  
  GATX Corp. 3.850% 3/30/27 4,000   4,177  
  GATX Corp. 3.500% 3/15/28 7,000   7,127  
  GATX Corp. 4.550% 11/7/28 2,585   2,823  
  GATX Corp. 4.700% 4/1/29 4,000   4,457  
  GATX Corp. 5.200% 3/15/44 325   378  
  GATX Corp. 4.500% 3/30/45 2,175   2,248  
  GE Capital International Funding Co. Unlimited Co. 3.373% 11/15/25 11,968   12,410  
  GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35 103,691   110,148  
  International Lease Finance Corp. 8.250% 12/15/20 9,702   10,240  
  International Lease Finance Corp. 4.625% 4/15/21 3,260   3,356  
  International Lease Finance Corp. 8.625% 1/15/22 24,045   27,036  
  International Lease Finance Corp. 5.875% 8/15/22 8,212   8,947  
  Owl Rock Capital Corp. 5.250% 4/15/24 1,000   1,058  
  Owl Rock Capital Corp. 4.000% 3/30/25 1,000   1,003  
  Prospect Capital Corp. 5.875% 3/15/23 550   582  
  TPG Specialty Lending Inc. 3.875% 11/1/24 2,200   2,213  
               
  Insurance (1.2%)            
  ACE Capital Trust II 9.700% 4/1/30 725   1,087  
  AEGON Funding Co. LLC 5.750% 12/15/20 4,731   4,890  
4 Aegon NV 5.500% 4/11/48 4,000   4,345  
  Aetna Inc. 2.750% 11/15/22 10,160   10,318  
  Aetna Inc. 2.800% 6/15/23 14,700   14,930  

 

62

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Aetna Inc. 3.500% 11/15/24 6,500   6,788  
  Aetna Inc. 6.625% 6/15/36 5,400   7,218  
  Aetna Inc. 6.750% 12/15/37 3,000   4,028  
  Aetna Inc. 4.500% 5/15/42 4,325   4,616  
  Aetna Inc. 4.125% 11/15/42 2,525   2,584  
  Aetna Inc. 4.750% 3/15/44 400   432  
  Aetna Inc. 3.875% 8/15/47 9,075   9,170  
  Aflac Inc. 3.625% 6/15/23 8,280   8,706  
  Aflac Inc. 3.625% 11/15/24 4,610   4,927  
  Aflac Inc. 3.250% 3/17/25 5,175   5,431  
  Aflac Inc. 2.875% 10/15/26 7,775   8,000  
  Aflac Inc. 4.000% 10/15/46 1,200   1,304  
  Aflac Inc. 4.750% 1/15/49 4,450   5,299  
  Alleghany Corp. 4.950% 6/27/22 2,950   3,134  
  Alleghany Corp. 4.900% 9/15/44 4,575   5,337  
  Allied World Assurance Co. Holdings Ltd. 4.350% 10/29/25 5,400   5,607  
  Allstate Corp. 3.150% 6/15/23 9,742   10,110  
  Allstate Corp. 3.280% 12/15/26 4,000   4,220  
  Allstate Corp. 5.350% 6/1/33 1,700   2,124  
  Allstate Corp. 5.550% 5/9/35 495   625  
  Allstate Corp. 5.950% 4/1/36 525   710  
  Allstate Corp. 4.500% 6/15/43 5,950   7,106  
  Allstate Corp. 4.200% 12/15/46 8,625   9,929  
  Allstate Corp. 3.850% 8/10/49 2,280   2,533  
4 Allstate Corp. 5.750% 8/15/53 5,450   5,845  
4 Allstate Corp. 6.500% 5/15/67 2,575   3,180  
  American Equity Investment Life Holding Co. 5.000% 6/15/27 4,000   4,280  
  American Financial Group Inc. 3.500% 8/15/26 2,825   2,898  
  American Financial Group Inc. 4.500% 6/15/47 5,830   6,291  
  American International Group Inc. 6.400% 12/15/20 15,850   16,495  
  American International Group Inc. 3.300% 3/1/21 5,825   5,901  
  American International Group Inc. 4.875% 6/1/22 13,425   14,329  
  American International Group Inc. 4.125% 2/15/24 2,605   2,790  
  American International Group Inc. 3.750% 7/10/25 3,790   4,054  
  American International Group Inc. 3.900% 4/1/26 6,750   7,222  
  American International Group Inc. 4.200% 4/1/28 8,525   9,344  
  American International Group Inc. 4.250% 3/15/29 5,700   6,331  
  American International Group Inc. 3.875% 1/15/35 8,525   9,050  
  American International Group Inc. 4.700% 7/10/35 3,860   4,456  
  American International Group Inc. 6.250% 5/1/36 12,905   17,232  
  American International Group Inc. 4.500% 7/16/44 22,365   25,631  
  American International Group Inc. 4.800% 7/10/45 7,175   8,589  
  American International Group Inc. 4.750% 4/1/48 7,650   9,151  
4 American International Group Inc. 5.750% 4/1/48 7,950   8,609  
  American International Group Inc. 4.375% 1/15/55 10,040   10,969  
4 American International Group Inc. 8.175% 5/15/68 2,900   3,940  
  Anthem Inc. 3.700% 8/15/21 5,830   5,960  
  Anthem Inc. 3.125% 5/15/22 10,275   10,530  
  Anthem Inc. 2.950% 12/1/22 6,500   6,658  
  Anthem Inc. 3.300% 1/15/23 11,621   12,019  
  Anthem Inc. 3.500% 8/15/24 11,182   11,710  
  Anthem Inc. 3.350% 12/1/24 21,471   22,403  
  Anthem Inc. 2.375% 1/15/25 6,000   5,997  
  Anthem Inc. 3.650% 12/1/27 17,075   18,007  

 

63

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Anthem Inc. 4.101% 3/1/28 28,000   30,337  
  Anthem Inc. 2.875% 9/15/29 8,000   7,952  
  Anthem Inc. 5.950% 12/15/34 1   1  
  Anthem Inc. 5.850% 1/15/36 1,200   1,463  
  Anthem Inc. 6.375% 6/15/37 5,865   7,595  
  Anthem Inc. 4.625% 5/15/42 9,575   10,740  
  Anthem Inc. 4.650% 1/15/43 8,850   9,964  
  Anthem Inc. 5.100% 1/15/44 7,855   9,287  
  Anthem Inc. 4.650% 8/15/44 7,812   8,677  
  Anthem Inc. 4.375% 12/1/47 12,090   13,255  
  Anthem Inc. 4.550% 3/1/48 4,700   5,268  
  Anthem Inc. 4.850% 8/15/54 2,525   2,734  
  Aon Corp. 4.500% 12/15/28 8,500   9,526  
  Aon Corp. 3.750% 5/2/29 4,800   5,128  
  Aon Corp. 6.250% 9/30/40 2,650   3,620  
  Aon plc 2.800% 3/15/21 8,355   8,431  
  Aon plc 4.000% 11/27/23 2,675   2,836  
  Aon plc 3.500% 6/14/24 5,450   5,689  
  Aon plc 3.875% 12/15/25 8,600   9,224  
  Aon plc 4.600% 6/14/44 3,750   4,256  
  Aon plc 4.750% 5/15/45 5,150   6,019  
  Arch Capital Finance LLC 4.011% 12/15/26 4,725   5,204  
  Arch Capital Finance LLC 5.031% 12/15/46 4,725   5,899  
  Arch Capital Group Ltd. 7.350% 5/1/34 1,100   1,554  
  Arch Capital Group US Inc. 5.144% 11/1/43 5,950   7,231  
  Aspen Insurance Holdings Ltd. 4.650% 11/15/23 11,780   12,611  
  Assurant Inc. 4.000% 3/15/23 6,975   7,274  
  Assurant Inc. 4.200% 9/27/23 1,500   1,570  
  Assurant Inc. 4.900% 3/27/28 1,600   1,756  
  Assurant Inc. 3.700% 2/22/30 1,300   1,316  
  Assurant Inc. 6.750% 2/15/34 763   911  
  Assured Guaranty US Holdings Inc. 5.000% 7/1/24 4,450   4,948  
  Athene Holding Ltd. 4.125% 1/12/28 8,525   8,805  
  AXA Equitable Holdings Inc. 3.900% 4/20/23 2,403   2,516  
  AXA Equitable Holdings Inc. 7.000% 4/1/28 1,860   2,257  
  AXA Equitable Holdings Inc. 4.350% 4/20/28 25,280   27,423  
  AXA Equitable Holdings Inc. 5.000% 4/20/48 16,600   17,737  
  AXA SA 8.600% 12/15/30 9,320   13,619  
  AXIS Specialty Finance LLC 3.900% 7/15/29 2,600   2,725  
4 AXIS Specialty Finance LLC 4.900% 1/15/40 2,650   2,690  
  AXIS Specialty Finance plc 4.000% 12/6/27 10,000   10,549  
  Berkshire Hathaway Finance Corp. 4.250% 1/15/21 10,145   10,391  
  Berkshire Hathaway Finance Corp. 3.000% 5/15/22 4,025   4,136  
  Berkshire Hathaway Finance Corp. 5.750% 1/15/40 580   796  
  Berkshire Hathaway Finance Corp. 4.400% 5/15/42 2,725   3,218  
  Berkshire Hathaway Finance Corp. 4.300% 5/15/43 15,979   18,287  
  Berkshire Hathaway Finance Corp. 4.200% 8/15/48 22,470   26,303  
  Berkshire Hathaway Finance Corp. 4.250% 1/15/49 40,325   47,636  
  Berkshire Hathaway Inc. 2.200% 3/15/21 225   226  
  Berkshire Hathaway Inc. 3.750% 8/15/21 2,260   2,330  
  Berkshire Hathaway Inc. 3.400% 1/31/22 2,000   2,070  
  Berkshire Hathaway Inc. 3.000% 2/11/23 2,625   2,716  
  Berkshire Hathaway Inc. 2.750% 3/15/23 14,654   15,047  
  Berkshire Hathaway Inc. 3.125% 3/15/26 38,625   40,747  

 

64

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Berkshire Hathaway Inc. 4.500% 2/11/43 7,290   8,861  
  Brighthouse Financial Inc. 3.700% 6/22/27 12,293   12,220  
  Brighthouse Financial Inc. 4.700% 6/22/47 10,095   9,345  
  Brown & Brown Inc. 4.200% 9/15/24 3,555   3,756  
  Brown & Brown Inc. 4.500% 3/15/29 3,575   3,900  
  Chubb Corp. 6.000% 5/11/37 1,450   1,989  
  Chubb Corp. 6.500% 5/15/38 955   1,397  
  Chubb INA Holdings Inc. 2.875% 11/3/22 21,344   21,889  
  Chubb INA Holdings Inc. 2.700% 3/13/23 5,060   5,172  
  Chubb INA Holdings Inc. 3.350% 5/15/24 7,900   8,303  
  Chubb INA Holdings Inc. 3.150% 3/15/25 5,876   6,169  
  Chubb INA Holdings Inc. 3.350% 5/3/26 15,025   15,948  
  Chubb INA Holdings Inc. 6.700% 5/15/36 1,550   2,223  
  Chubb INA Holdings Inc. 4.150% 3/13/43 6,100   7,078  
  Chubb INA Holdings Inc. 4.350% 11/3/45 19,961   23,970  
  Cigna Holding Co. 4.375% 12/15/20 200   203  
  Cincinnati Financial Corp. 6.920% 5/15/28 6,363   8,215  
  CNA Financial Corp. 5.750% 8/15/21 2,665   2,816  
  CNA Financial Corp. 3.950% 5/15/24 7,955   8,492  
  CNA Financial Corp. 4.500% 3/1/26 2,650   2,905  
  CNA Financial Corp. 3.450% 8/15/27 5,000   5,208  
  CNA Financial Corp. 3.900% 5/1/29 11,450   12,307  
  CNO Financial Group Inc. 5.250% 5/30/29 1,000   1,117  
  Enstar Group Ltd. 4.500% 3/10/22 1,750   1,809  
  Enstar Group Ltd. 4.950% 6/1/29 6,810   7,290  
  Everest Reinsurance Holdings Inc. 4.868% 6/1/44 3,225   3,572  
  Fairfax Financial Holdings Ltd. 4.850% 4/17/28 4,000   4,355  
  First American Financial Corp. 4.600% 11/15/24 4,650   4,936  
  Globe Life Inc. 4.550% 9/15/28 3,200   3,549  
  Hanover Insurance Group Inc. 4.500% 4/15/26 3,120   3,366  
  Hartford Financial Services Group Inc. 2.800% 8/19/29 3,600   3,641  
  Hartford Financial Services Group Inc. 5.950% 10/15/36 500   651  
  Hartford Financial Services Group Inc. 6.100% 10/1/41 6,380   8,714  
  Hartford Financial Services Group Inc. 6.625% 4/15/42 1,793   2,439  
  Hartford Financial Services Group Inc. 4.400% 3/15/48 100   115  
  Hartford Financial Services Group Inc. 3.600% 8/19/49 8,500   8,727  
  Humana Inc. 3.150% 12/1/22 4,825   4,948  
  Humana Inc. 3.850% 10/1/24 21,575   22,909  
  Humana Inc. 3.950% 3/15/27 9,950   10,668  
  Humana Inc. 4.625% 12/1/42 4,680   5,097  
  Humana Inc. 4.950% 10/1/44 6,100   7,209  
  Humana Inc. 4.800% 3/15/47 3,825   4,438  
  Humana Inc. 3.950% 8/15/49 4,450   4,671  
  Kemper Corp. 4.350% 2/15/25 1,500   1,593  
  Lincoln National Corp. 4.850% 6/24/21 12   12  
  Lincoln National Corp. 4.200% 3/15/22 4,985   5,196  
  Lincoln National Corp. 4.000% 9/1/23 3,200   3,390  
  Lincoln National Corp. 3.350% 3/9/25 225   234  
  Lincoln National Corp. 3.625% 12/12/26 9,925   10,462  
  Lincoln National Corp. 3.800% 3/1/28 9,750   10,365  
  Lincoln National Corp. 3.050% 1/15/30 4,125   4,098  
  Lincoln National Corp. 6.300% 10/9/37 4,150   5,393  
  Lincoln National Corp. 7.000% 6/15/40 1,070   1,518  
  Lincoln National Corp. 4.350% 3/1/48 1,600   1,759  

 

65

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Loews Corp. 2.625% 5/15/23 9,675   9,860  
  Loews Corp. 6.000% 2/1/35 3,025   3,897  
  Loews Corp. 4.125% 5/15/43 4,065   4,464  
  Manulife Financial Corp. 4.150% 3/4/26 8,850   9,664  
4 Manulife Financial Corp. 4.061% 2/24/32 9,120   9,364  
  Manulife Financial Corp. 5.375% 3/4/46 8,075   10,602  
  Markel Corp. 4.900% 7/1/22 4,665   4,968  
  Markel Corp. 3.500% 11/1/27 4,175   4,266  
  Markel Corp. 3.350% 9/17/29 2,555   2,607  
  Markel Corp. 5.000% 4/5/46 4,150   4,704  
  Markel Corp. 4.300% 11/1/47 2,200   2,294  
  Markel Corp. 5.000% 5/20/49 2,500   2,889  
  Markel Corp. 4.150% 9/17/50 4,275   4,398  
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 2,265   2,348  
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 4,300   4,368  
  Marsh & McLennan Cos. Inc. 3.300% 3/14/23 8,212   8,477  
  Marsh & McLennan Cos. Inc. 3.875% 3/15/24 17,595   18,718  
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 5,600   5,870  
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 4,225   4,444  
  Marsh & McLennan Cos. Inc. 3.750% 3/14/26 5,150   5,519  
  Marsh & McLennan Cos. Inc. 4.375% 3/15/29 18,295   20,839  
  Marsh & McLennan Cos. Inc. 5.875% 8/1/33 4,025   5,154  
  Marsh & McLennan Cos. Inc. 4.750% 3/15/39 3,650   4,425  
  Marsh & McLennan Cos. Inc. 4.350% 1/30/47 3,225   3,649  
  Marsh & McLennan Cos. Inc. 4.200% 3/1/48 3,350   3,776  
  Marsh & McLennan Cos. Inc. 4.900% 3/15/49 11,689   14,784  
  Mercury General Corp. 4.400% 3/15/27 3,265   3,433  
  MetLife Inc. 3.048% 12/15/22 8,950   9,261  
  MetLife Inc. 4.368% 9/15/23 275   297  
  MetLife Inc. 3.600% 4/10/24 15,943   16,981  
  MetLife Inc. 3.000% 3/1/25 8,475   8,820  
  MetLife Inc. 3.600% 11/13/25 4,975   5,335  
  MetLife Inc. 6.500% 12/15/32 825   1,141  
  MetLife Inc. 6.375% 6/15/34 2,445   3,487  
  MetLife Inc. 5.700% 6/15/35 2,309   3,097  
  MetLife Inc. 5.875% 2/6/41 12,142   16,436  
  MetLife Inc. 4.125% 8/13/42 10,475   11,863  
  MetLife Inc. 4.875% 11/13/43 8,419   10,417  
  MetLife Inc. 4.721% 12/15/44 6,350   7,697  
  MetLife Inc. 4.050% 3/1/45 10,325   11,856  
  MetLife Inc. 4.600% 5/13/46 4,816   5,889  
4 MetLife Inc. 6.400% 12/15/66 16,231   19,782  
4 MetLife Inc. 10.750% 8/1/69 500   812  
  Munich Re America Corp. 7.450% 12/15/26 1,200   1,517  
4 Nationwide Financial Services Inc. 6.750% 5/15/87 300   348  
  Old Republic International Corp. 4.875% 10/1/24 5,266   5,761  
  Old Republic International Corp. 3.875% 8/26/26 4,560   4,826  
  PartnerRe Finance B LLC 3.700% 7/2/29 4,600   4,778  
  Primerica Inc. 4.750% 7/15/22 1,900   2,003  
  Principal Financial Group Inc. 3.400% 5/15/25 4,000   4,186  
  Principal Financial Group Inc. 3.100% 11/15/26 14,485   14,989  
  Principal Financial Group Inc. 4.625% 9/15/42 800   912  
  Principal Financial Group Inc. 4.350% 5/15/43 2,710   3,059  
  Principal Financial Group Inc. 4.300% 11/15/46 3,154   3,560  

 

66

 

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Progressive Corp. 3.750% 8/23/21 10,555   10,872  
  Progressive Corp. 2.450% 1/15/27 5,000   5,028  
  Progressive Corp. 6.625% 3/1/29 2,150   2,791  
  Progressive Corp. 4.350% 4/25/44 3,219   3,770  
  Progressive Corp. 4.125% 4/15/47 15,329   17,877  
  Progressive Corp. 4.200% 3/15/48 4,196   4,812  
  Prudential Financial Inc. 4.500% 11/16/21 675   710  
  Prudential Financial Inc. 3.500% 5/15/24 1,175   1,249  
  Prudential Financial Inc. 3.878% 3/27/28 4,700   5,141  
  Prudential Financial Inc. 5.750% 7/15/33 2,630   3,351  
  Prudential Financial Inc. 5.700% 12/14/36 7,720   10,486  
  Prudential Financial Inc. 6.625% 12/1/37 3,250   4,488  
  Prudential Financial Inc. 6.625% 6/21/40 3,020   4,247  
  Prudential Financial Inc. 6.200% 11/15/40 1,065   1,422  
4 Prudential Financial Inc. 5.875% 9/15/42 10,936   11,770  
4 Prudential Financial Inc. 5.625% 6/15/43 18,725   20,129  
  Prudential Financial Inc. 5.100% 8/15/43 2,775   3,280  
4 Prudential Financial Inc. 5.200% 3/15/44 2,350   2,500  
  Prudential Financial Inc. 4.600% 5/15/44 15,600   18,392  
4 Prudential Financial Inc. 5.375% 5/15/45 4,850   5,158  
4 Prudential Financial Inc. 4.500% 9/15/47 1,500   1,550  
  Prudential Financial Inc. 3.905% 12/7/47 10,933   11,670  
  Prudential Financial Inc. 4.418% 3/27/48 250   288  
4 Prudential Financial Inc. 5.700% 9/15/48 9,000   10,232  
  Prudential Financial Inc. 3.935% 12/7/49 6,134   6,684  
  Prudential Financial Inc. 4.350% 2/25/50 8,600   9,897  
  Prudential Financial Inc. 3.700% 3/13/51 12,890   13,500  
  Reinsurance Group of America Inc. 5.000% 6/1/21 5,766   5,984  
  Reinsurance Group of America Inc. 4.700% 9/15/23 1,500   1,627  
  Reinsurance Group of America Inc. 3.950% 9/15/26 1,500   1,590  
  Reinsurance Group of America Inc. 3.900% 5/15/29 3,350   3,570  
  RenaissanceRe Finance Inc. 3.700% 4/1/25 2,500   2,599  
  RenaissanceRe Finance Inc. 3.450% 7/1/27 3,525   3,645  
  RenaissanceRe Holdings Ltd. 3.600% 4/15/29 1,020   1,070  
  Selective Insurance Group Inc. 5.375% 3/1/49 2,600   3,061  
  Sompo International Holdings Ltd. 4.700% 10/15/22 9,375   9,950  
  Swiss Re Solutions Holding Corp. 7.000% 2/15/26 2,175   2,710  
  Transatlantic Holdings Inc. 8.000% 11/30/39 4,125   6,050  
  Travelers Cos. Inc. 6.750% 6/20/36 1,125   1,622  
  Travelers Cos. Inc. 6.250% 6/15/37 7,090   9,800  
  Travelers Cos. Inc. 5.350% 11/1/40 4,920   6,390  
  Travelers Cos. Inc. 4.600% 8/1/43 2,920   3,534  
  Travelers Cos. Inc. 4.300% 8/25/45 500   585  
  Travelers Cos. Inc. 3.750% 5/15/46 4,925   5,302  
  Travelers Cos. Inc. 4.000% 5/30/47 12,600   14,129  
  Travelers Cos. Inc. 4.100% 3/4/49 6,700   7,757  
  Travelers Property Casualty Corp. 6.375% 3/15/33 535   739  
  Trinity Acquisition plc 4.400% 3/15/26 4,725   5,111  
  UnitedHealth Group Inc. 4.700% 2/15/21 5,735   5,871  
  UnitedHealth Group Inc. 2.125% 3/15/21 2,575   2,579  
  UnitedHealth Group Inc. 3.150% 6/15/21 2,000   2,035  
  UnitedHealth Group Inc. 3.375% 11/15/21 270   276  
  UnitedHealth Group Inc. 2.875% 12/15/21 4,400   4,485  
  UnitedHealth Group Inc. 2.875% 3/15/22 3,300   3,362  

 

67

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  UnitedHealth Group Inc. 3.350% 7/15/22 10,475   10,820  
  UnitedHealth Group Inc. 2.375% 10/15/22 10,000   10,114  
  UnitedHealth Group Inc. 2.750% 2/15/23 3,990   4,064  
  UnitedHealth Group Inc. 2.875% 3/15/23 8,005   8,189  
  UnitedHealth Group Inc. 3.500% 6/15/23 4,000   4,185  
  UnitedHealth Group Inc. 2.375% 8/15/24 4,475   4,533  
  UnitedHealth Group Inc. 3.750% 7/15/25 40,688   43,925  
  UnitedHealth Group Inc. 3.100% 3/15/26 7,275   7,588  
  UnitedHealth Group Inc. 3.450% 1/15/27 13,000   13,934  
  UnitedHealth Group Inc. 3.375% 4/15/27 10,825   11,500  
  UnitedHealth Group Inc. 2.950% 10/15/27 9,225   9,532  
  UnitedHealth Group Inc. 3.850% 6/15/28 5,000   5,475  
  UnitedHealth Group Inc. 3.875% 12/15/28 3,325   3,667  
  UnitedHealth Group Inc. 2.875% 8/15/29 5,000   5,115  
  UnitedHealth Group Inc. 4.625% 7/15/35 3,600   4,353  
  UnitedHealth Group Inc. 5.800% 3/15/36 4,000   5,300  
  UnitedHealth Group Inc. 6.500% 6/15/37 1,085   1,539  
  UnitedHealth Group Inc. 6.625% 11/15/37 5,100   7,265  
  UnitedHealth Group Inc. 6.875% 2/15/38 13,845   20,529  
  UnitedHealth Group Inc. 3.500% 8/15/39 16,205   16,937  
  UnitedHealth Group Inc. 5.950% 2/15/41 2,700   3,666  
  UnitedHealth Group Inc. 4.625% 11/15/41 4,205   4,987  
  UnitedHealth Group Inc. 4.375% 3/15/42 1,775   2,041  
  UnitedHealth Group Inc. 3.950% 10/15/42 4,900   5,335  
  UnitedHealth Group Inc. 4.250% 3/15/43 9,907   11,262  
  UnitedHealth Group Inc. 4.750% 7/15/45 17,738   21,661  
  UnitedHealth Group Inc. 4.200% 1/15/47 21,950   25,151  
  UnitedHealth Group Inc. 4.250% 4/15/47 11,175   12,863  
  UnitedHealth Group Inc. 3.750% 10/15/47 6,700   7,142  
  UnitedHealth Group Inc. 4.250% 6/15/48 13,053   15,143  
  UnitedHealth Group Inc. 4.450% 12/15/48 3,775   4,489  
  UnitedHealth Group Inc. 3.700% 8/15/49 6,055   6,445  
  UnitedHealth Group Inc. 3.875% 8/15/59 10,840   11,634  
  Unum Group 4.000% 3/15/24 3,300   3,483  
  Unum Group 4.000% 6/15/29 2,000   2,109  
  Unum Group 5.750% 8/15/42 6,143   6,772  
  Unum Group 4.500% 12/15/49 4,600   4,484  
  Voya Financial Inc. 3.125% 7/15/24 9,414   9,669  
  Voya Financial Inc. 3.650% 6/15/26 3,050   3,214  
  Voya Financial Inc. 5.700% 7/15/43 4,350   5,509  
  Voya Financial Inc. 4.800% 6/15/46 1,335   1,523  
4 Voya Financial Inc. 4.700% 1/23/48 1,000   994  
  Willis North America Inc. 3.600% 5/15/24 5,910   6,169  
  Willis North America Inc. 4.500% 9/15/28 5,800   6,362  
  Willis North America Inc. 2.950% 9/15/29 1,500   1,489  
  Willis North America Inc. 5.050% 9/15/48 2,750   3,214  
  Willis North America Inc. 3.875% 9/15/49 16,375   16,323  
  Willis Towers Watson plc 5.750% 3/15/21 1,385   1,442  
  WR Berkley Corp. 4.625% 3/15/22 6,400   6,745  
  WR Berkley Corp. 6.250% 2/15/37 150   188  
  WR Berkley Corp. 4.750% 8/1/44 3,280   3,663  
  XLIT Ltd. 4.450% 3/31/25 2,650   2,868  
  XLIT Ltd. 5.250% 12/15/43 4,850   6,192  
  XLIT Ltd. 5.500% 3/31/45 4,350   5,485  

 

68

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Other Finance (0.0%)            
  Jones Lang LaSalle Inc. 4.400% 11/15/22 1,150   1,199  
  ORIX Corp. 2.900% 7/18/22 2,950   2,999  
  ORIX Corp. 3.250% 12/4/24 2,000   2,075  
  ORIX Corp. 3.700% 7/18/27 8,150   8,606  
               
  Real Estate Investment Trusts (0.7%)            
  Alexandria Real Estate Equities Inc. 3.900% 6/15/23 665   698  
  Alexandria Real Estate Equities Inc. 4.000% 1/15/24 9,225   9,810  
  Alexandria Real Estate Equities Inc. 3.450% 4/30/25 5,275   5,529  
  Alexandria Real Estate Equities Inc. 4.300% 1/15/26 2,550   2,793  
  Alexandria Real Estate Equities Inc. 3.800% 4/15/26 3,000   3,207  
  Alexandria Real Estate Equities Inc. 3.950% 1/15/27 2,300   2,459  
  Alexandria Real Estate Equities Inc. 3.950% 1/15/28 4,030   4,326  
  Alexandria Real Estate Equities Inc. 4.500% 7/30/29 2,375   2,680  
  Alexandria Real Estate Equities Inc. 2.750% 12/15/29 1,046   1,031  
  Alexandria Real Estate Equities Inc. 4.700% 7/1/30 6,725   7,716  
  Alexandria Real Estate Equities Inc. 3.375% 8/15/31 8,500   8,845  
  Alexandria Real Estate Equities Inc. 4.850% 4/15/49 2,525   3,062  
  Alexandria Real Estate Equities Inc. 4.000% 2/1/50 4,500   4,930  
  American Campus Communities Operating Partnership LP 4.125% 7/1/24 3,575   3,810  
  American Campus Communities Operating Partnership LP 3.300% 7/15/26 1,000   1,033  
  American Campus Communities Operating Partnership LP 3.625% 11/15/27 3,075   3,198  
  American Homes 4 Rent LP 4.250% 2/15/28 1,220   1,294  
  American Homes 4 Rent LP 4.900% 2/15/29 3,625   4,061  
  AvalonBay Communities Inc. 2.950% 9/15/22 75   77  
  AvalonBay Communities Inc. 2.850% 3/15/23 4,890   4,993  
  AvalonBay Communities Inc. 4.200% 12/15/23 1,680   1,804  
  AvalonBay Communities Inc. 3.500% 11/15/24 2,447   2,577  
  AvalonBay Communities Inc. 3.450% 6/1/25 4,295   4,528  
  AvalonBay Communities Inc. 2.950% 5/11/26 4,000   4,105  
  AvalonBay Communities Inc. 2.900% 10/15/26 4,750   4,868  
  AvalonBay Communities Inc. 3.350% 5/15/27 5,000   5,264  
  AvalonBay Communities Inc. 3.200% 1/15/28 4,175   4,353  
  AvalonBay Communities Inc. 3.300% 6/1/29 2,000   2,111  
  AvalonBay Communities Inc. 4.350% 4/15/48 2,510   2,951  
  Boston Properties LP 4.125% 5/15/21 4,130   4,226  
  Boston Properties LP 3.850% 2/1/23 8,325   8,718  
  Boston Properties LP 3.125% 9/1/23 1,771   1,824  
  Boston Properties LP 3.800% 2/1/24 1,580   1,668  
  Boston Properties LP 3.200% 1/15/25 4,075   4,221  
  Boston Properties LP 3.650% 2/1/26 6,800   7,196  
  Boston Properties LP 2.750% 10/1/26 2,300   2,320  
  Boston Properties LP 3.400% 6/21/29 3,500   3,645  
  Boston Properties LP 2.900% 3/15/30 2,500   2,488  
  Brandywine Operating Partnership LP 3.950% 2/15/23 5,475   5,686  
  Brandywine Operating Partnership LP 3.950% 11/15/27 17,505   18,338  
  Brixmor Operating Partnership LP 3.875% 8/15/22 3,950   4,112  
  Brixmor Operating Partnership LP 3.250% 9/15/23 1,475   1,519  
  Brixmor Operating Partnership LP 3.650% 6/15/24 2,000   2,080  
  Brixmor Operating Partnership LP 3.850% 2/1/25 12,425   13,024  

 

69

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Brixmor Operating Partnership LP 4.125% 6/15/26 2,850   3,025  
  Brixmor Operating Partnership LP 3.900% 3/15/27 7,225   7,543  
  Brixmor Operating Partnership LP 4.125% 5/15/29 5,880   6,297  
  Camden Property Trust 2.950% 12/15/22 5,575   5,683  
  Camden Property Trust 4.100% 10/15/28 1,975   2,193  
  Camden Property Trust 3.150% 7/1/29 5,165   5,374  
  Camden Property Trust 3.350% 11/1/49 1,000   1,000  
  Columbia Property Trust Operating Partnership LP 4.150% 4/1/25 4,000   4,193  
  Columbia Property Trust Operating Partnership LP 3.650% 8/15/26 5,675   5,782  
  Corporate Office Properties LP 3.700% 6/15/21 6,375   6,447  
  Corporate Office Properties LP 3.600% 5/15/23 1,600   1,642  
  Corporate Office Properties LP 5.250% 2/15/24 6,725   7,227  
  CubeSmart LP 4.375% 12/15/23 6,650   7,071  
  CubeSmart LP 4.000% 11/15/25 1,375   1,461  
  CubeSmart LP 3.125% 9/1/26 2,425   2,462  
  CubeSmart LP 4.375% 2/15/29 1,925   2,107  
  CubeSmart LP 3.000% 2/15/30 3,100   3,063  
  CyrusOne LP / CyrusOne Finance Corp. 2.900% 11/15/24 5,370   5,391  
  CyrusOne LP / CyrusOne Finance Corp. 3.450% 11/15/29 10,615   10,621  
  Digital Realty Trust LP 3.950% 7/1/22 7,575   7,886  
  Digital Realty Trust LP 3.625% 10/1/22 3,675   3,798  
  Digital Realty Trust LP 2.750% 2/1/23 2,400   2,424  
  Digital Realty Trust LP 4.750% 10/1/25 4,650   5,159  
  Digital Realty Trust LP 3.700% 8/15/27 5,350   5,624  
  Digital Realty Trust LP 4.450% 7/15/28 12,200   13,482  
  Digital Realty Trust LP 3.600% 7/1/29 7,575   7,907  
  Duke Realty LP 3.875% 10/15/22 6,175   6,429  
  Duke Realty LP 3.625% 4/15/23 1,740   1,807  
  Duke Realty LP 3.750% 12/1/24 2,179   2,306  
  Duke Realty LP 3.250% 6/30/26 4,050   4,177  
  Duke Realty LP 4.000% 9/15/28 2,025   2,184  
  Duke Realty LP 2.875% 11/15/29 1,000   998  
  EPR Properties 5.250% 7/15/23 3,375   3,618  
  EPR Properties 4.500% 4/1/25 7,023   7,441  
  EPR Properties 4.750% 12/15/26 1,100   1,190  
  EPR Properties 4.500% 6/1/27 245   263  
  EPR Properties 4.950% 4/15/28 4,150   4,516  
  EPR Properties 3.750% 8/15/29 5,830   5,877  
  ERP Operating LP 4.625% 12/15/21 1,459   1,523  
  ERP Operating LP 3.000% 4/15/23 1,675   1,723  
  ERP Operating LP 3.375% 6/1/25 300   315  
  ERP Operating LP 2.850% 11/1/26 9,175   9,370  
  ERP Operating LP 3.500% 3/1/28 7,000   7,449  
  ERP Operating LP 4.150% 12/1/28 3,200   3,582  
  ERP Operating LP 3.000% 7/1/29 4,195   4,327  
  ERP Operating LP 2.500% 2/15/30 4,680   4,631  
  ERP Operating LP 4.500% 7/1/44 4,200   4,949  
  ERP Operating LP 4.500% 6/1/45 3,750   4,435  
  ERP Operating LP 4.000% 8/1/47 2,775   3,061  
  Essex Portfolio LP 5.200% 3/15/21 1,750   1,802  
  Essex Portfolio LP 3.375% 1/15/23 1,000   1,029  
  Essex Portfolio LP 3.250% 5/1/23 1,425   1,464  

 

70

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Essex Portfolio LP 3.875% 5/1/24 1,575   1,663  
  Essex Portfolio LP 3.500% 4/1/25 8,950   9,394  
  Essex Portfolio LP 3.375% 4/15/26 3,485   3,620  
  Essex Portfolio LP 4.000% 3/1/29 5,795   6,321  
  Essex Portfolio LP 3.000% 1/15/30 4,630   4,681  
  Essex Portfolio LP 4.500% 3/15/48 6,335   7,219  
  Federal Realty Investment Trust 2.750% 6/1/23 2,650   2,692  
  Federal Realty Investment Trust 3.250% 7/15/27 4,725   4,902  
  Federal Realty Investment Trust 3.200% 6/15/29 3,350   3,453  
  Federal Realty Investment Trust 4.500% 12/1/44 7,075   8,092  
  Healthcare Realty Trust Inc. 3.625% 1/15/28 2,810   2,904  
  Healthcare Trust of America Holdings LP 3.700% 4/15/23 2,600   2,686  
  Healthcare Trust of America Holdings LP 3.500% 8/1/26 3,300   3,441  
  Healthcare Trust of America Holdings LP 3.750% 7/1/27 4,475   4,714  
  Healthcare Trust of America Holdings LP 3.100% 2/15/30 3,405   3,378  
  Healthpeak Properties Inc. 3.150% 8/1/22 3,375   3,435  
  Healthpeak Properties Inc. 4.250% 11/15/23 4,958   5,290  
  Healthpeak Properties Inc. 4.200% 3/1/24 10,067   10,737  
  Healthpeak Properties Inc. 3.875% 8/15/24 4,350   4,621  
  Healthpeak Properties Inc. 3.400% 2/1/25 4,850   5,043  
  Healthpeak Properties Inc. 4.000% 6/1/25 775   832  
  Healthpeak Properties Inc. 3.250% 7/15/26 2,000   2,069  
  Healthpeak Properties Inc. 3.500% 7/15/29 6,270   6,523  
  Healthpeak Properties Inc. 3.000% 1/15/30 9,495   9,482  
  Healthpeak Properties Inc. 6.750% 2/1/41 1,496   2,075  
  Highwoods Realty LP 3.200% 6/15/21 9,209   9,323  
  Highwoods Realty LP 3.875% 3/1/27 3,850   4,015  
  Highwoods Realty LP 4.125% 3/15/28 3,000   3,168  
  Highwoods Realty LP 4.200% 4/15/29 2,600   2,795  
  Host Hotels & Resorts LP 3.750% 10/15/23 6,034   6,284  
  Host Hotels & Resorts LP 3.875% 4/1/24 6,838   7,210  
  Host Hotels & Resorts LP 4.000% 6/15/25 1,400   1,496  
  Host Hotels & Resorts LP 3.375% 12/15/29 6,770   6,824  
  Hudson Pacific Properties LP 4.650% 4/1/29 1,500   1,646  
  Hudson Pacific Properties LP 3.950% 11/1/27 2,500   2,620  
  Hudson Pacific Properties LP 3.250% 1/15/30 2,585   2,552  
  Kilroy Realty LP 3.800% 1/15/23 10,550   10,956  
  Kilroy Realty LP 3.450% 12/15/24 2,000   2,077  
  Kilroy Realty LP 4.375% 10/1/25 800   868  
  Kilroy Realty LP 4.750% 12/15/28 2,150   2,424  
  Kilroy Realty LP 4.250% 8/15/29 2,975   3,232  
  Kilroy Realty LP 3.050% 2/15/30 12,025   11,869  
  Kimco Realty Corp. 3.200% 5/1/21 125   127  
  Kimco Realty Corp. 3.400% 11/1/22 7,275   7,509  
  Kimco Realty Corp. 3.125% 6/1/23 875   894  
  Kimco Realty Corp. 3.300% 2/1/25 3,125   3,248  
  Kimco Realty Corp. 2.800% 10/1/26 1,893   1,888  
  Kimco Realty Corp. 3.800% 4/1/27 5,175   5,472  
  Kimco Realty Corp. 4.250% 4/1/45 325   343  
  Kimco Realty Corp. 4.125% 12/1/46 400   416  
  Kimco Realty Corp. 4.450% 9/1/47 3,050   3,327  
  Kite Realty Group LP 4.000% 10/1/26 7,900   7,822  
  Liberty Property LP 3.375% 6/15/23 1,850   1,921  
  Liberty Property LP 4.400% 2/15/24 5,934   6,407  

 

71

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Liberty Property LP 3.750% 4/1/25 5,675   6,063  
  Liberty Property LP 4.375% 2/1/29 4,000   4,509  
  Life Storage LP 3.500% 7/1/26 10,625   10,905  
  Life Storage LP 3.875% 12/15/27 1,000   1,050  
  Life Storage LP 4.000% 6/15/29 1,950   2,077  
  Mid-America Apartments LP 4.300% 10/15/23 2,400   2,558  
  Mid-America Apartments LP 3.750% 6/15/24 2,725   2,873  
  Mid-America Apartments LP 4.000% 11/15/25 75   81  
  Mid-America Apartments LP 3.600% 6/1/27 7,770   8,248  
  Mid-America Apartments LP 3.950% 3/15/29 8,650   9,422  
  Mid-America Apartments LP 2.750% 3/15/30 5,245   5,205  
  National Retail Properties Inc. 3.800% 10/15/22 1,600   1,662  
  National Retail Properties Inc. 3.300% 4/15/23 900   924  
  National Retail Properties Inc. 3.900% 6/15/24 2,750   2,904  
  National Retail Properties Inc. 4.000% 11/15/25 2,875   3,071  
  National Retail Properties Inc. 3.600% 12/15/26 2,475   2,599  
  National Retail Properties Inc. 3.500% 10/15/27 5,050   5,271  
  National Retail Properties Inc. 4.300% 10/15/28 2,500   2,755  
  National Retail Properties Inc. 4.800% 10/15/48 2,275   2,737  
  Office Properties Income Trust 4.000% 7/15/22 2,725   2,786  
  Omega Healthcare Investors Inc. 4.375% 8/1/23 18,025   19,149  
  Omega Healthcare Investors Inc. 4.950% 4/1/24 3,325   3,637  
  Omega Healthcare Investors Inc. 4.500% 1/15/25 3,250   3,471  
  Omega Healthcare Investors Inc. 5.250% 1/15/26 5,250   5,843  
  Omega Healthcare Investors Inc. 4.500% 4/1/27 7,375   7,961  
  Omega Healthcare Investors Inc. 4.750% 1/15/28 4,180   4,547  
  Omega Healthcare Investors Inc. 3.625% 10/1/29 12,269   12,318  
  Physicians Realty LP 4.300% 3/15/27 6,400   6,761  
  Physicians Realty LP 3.950% 1/15/28 3,000   3,105  
  Piedmont Operating Partnership LP 3.400% 6/1/23 6,150   6,286  
  Piedmont Operating Partnership LP 4.450% 3/15/24 1,750   1,859  
  Prologis LP 4.250% 8/15/23 1,800   1,923  
  Prologis LP 3.750% 11/1/25 1,450   1,567  
  Prologis LP 3.875% 9/15/28 2,500   2,743  
  Prologis LP 4.375% 9/15/48 3,500   4,181  
  Public Storage 2.370% 9/15/22 5,510   5,565  
  Public Storage 3.094% 9/15/27 2,600   2,704  
  Public Storage 3.385% 5/1/29 2,000   2,115  
  Realty Income Corp. 3.250% 10/15/22 9,900   10,196  
  Realty Income Corp. 4.650% 8/1/23 1,825   1,972  
  Realty Income Corp. 3.875% 7/15/24 1,950   2,076  
  Realty Income Corp. 3.875% 4/15/25 6,840   7,357  
  Realty Income Corp. 4.125% 10/15/26 10,420   11,381  
  Realty Income Corp. 3.000% 1/15/27 5,750   5,923  
  Realty Income Corp. 3.650% 1/15/28 7,725   8,275  
  Realty Income Corp. 3.250% 6/15/29 12,250   12,977  
  Realty Income Corp. 4.650% 3/15/47 9,855   11,859  
  Regency Centers Corp. 3.750% 11/15/22 2,000   2,074  
  Regency Centers LP 3.600% 2/1/27 2,010   2,101  
  Regency Centers LP 4.125% 3/15/28 1,375   1,489  
  Regency Centers LP 2.950% 9/15/29 5,000   4,992  
  Regency Centers LP 4.400% 2/1/47 5,650   6,355  
  Regency Centers LP 4.650% 3/15/49 4,225   4,994  
  Sabra Health Care LP 5.125% 8/15/26 500   541  

 

72

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Sabra Health Care LP 3.900% 10/15/29 8,975   8,963  
  Sabra Health Care LP / Sabra Capital Corp. 4.800% 6/1/24 1,840   1,957  
  Select Income REIT 4.150% 2/1/22 1,975   2,022  
  Select Income REIT 4.250% 5/15/24 1,325   1,376  
  Select Income REIT 4.500% 2/1/25 5,916   6,143  
  Service Properties Trust 4.250% 2/15/21 50   51  
  Service Properties Trust 4.500% 6/15/23 1,891   1,957  
  Service Properties Trust 4.650% 3/15/24 3,525   3,659  
  Service Properties Trust 4.350% 10/1/24 5,320   5,456  
  Service Properties Trust 4.500% 3/15/25 1,550   1,587  
  Service Properties Trust 5.250% 2/15/26 2,035   2,141  
  Service Properties Trust 4.750% 10/1/26 2,695   2,764  
  Service Properties Trust 4.950% 2/15/27 4,000   4,118  
  Service Properties Trust 3.950% 1/15/28 3,925   3,833  
  Service Properties Trust 4.950% 10/1/29 8,800   8,847  
  Service Properties Trust 4.375% 2/15/30 14,700   14,417  
  Simon Property Group LP 2.500% 7/15/21 2,000   2,014  
  Simon Property Group LP 2.350% 1/30/22 3,525   3,551  
  Simon Property Group LP 2.625% 6/15/22 10,300   10,454  
  Simon Property Group LP 2.750% 2/1/23 3,625   3,696  
  Simon Property Group LP 2.750% 6/1/23 6,000   6,125  
  Simon Property Group LP 3.750% 2/1/24 5,000   5,297  
  Simon Property Group LP 2.000% 9/13/24 4,195   4,135  
  Simon Property Group LP 3.375% 10/1/24 4,212   4,421  
  Simon Property Group LP 3.500% 9/1/25 2,800   2,974  
  Simon Property Group LP 3.300% 1/15/26 6,380   6,675  
  Simon Property Group LP 3.250% 11/30/26 2,800   2,932  
  Simon Property Group LP 3.375% 6/15/27 8,780   9,269  
  Simon Property Group LP 3.375% 12/1/27 4,700   4,970  
  Simon Property Group LP 2.450% 9/13/29 10,685   10,483  
  Simon Property Group LP 6.750% 2/1/40 4,550   6,654  
  Simon Property Group LP 4.750% 3/15/42 2,010   2,403  
  Simon Property Group LP 4.250% 10/1/44 200   225  
  Simon Property Group LP 4.250% 11/30/46 4,700   5,347  
  Simon Property Group LP 3.250% 9/13/49 9,760   9,426  
  SITE Centers Corp. 4.625% 7/15/22 1,498   1,563  
  SITE Centers Corp. 3.900% 8/15/24 8,125   8,397  
  SITE Centers Corp. 3.625% 2/1/25 6,000   6,177  
  SITE Centers Corp. 4.250% 2/1/26 1,700   1,786  
  SITE Centers Corp. 4.700% 6/1/27 16,350   17,677  
  SL Green Operating Partnership LP 3.250% 10/15/22 3,300   3,373  
  Spirit Realty LP 3.200% 1/15/27 2,000   1,999  
  Spirit Realty LP 4.000% 7/15/29 2,650   2,768  
  Spirit Realty LP 3.400% 1/15/30 3,840   3,850  
  STORE Capital Corp. 4.500% 3/15/28 3,195   3,478  
  STORE Capital Corp. 4.625% 3/15/29 5,000   5,518  
  Tanger Properties LP 3.750% 12/1/24 1,000   1,022  
  Tanger Properties LP 3.125% 9/1/26 4,710   4,675  
  Tanger Properties LP 3.875% 7/15/27 2,600   2,656  
  UDR Inc. 3.750% 7/1/24 200   211  
  UDR Inc. 2.950% 9/1/26 4,400   4,456  
  UDR Inc. 3.500% 7/1/27 5,250   5,494  
  UDR Inc. 3.500% 1/15/28 5,075   5,322  
  UDR Inc. 3.200% 1/15/30 2,085   2,126  

 

73

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  UDR Inc. 3.000% 8/15/31 3,500   3,503  
  UDR Inc. 3.100% 11/1/34 3,335   3,327  
  Ventas Realty LP 3.100% 1/15/23 4,120   4,217  
  Ventas Realty LP 3.125% 6/15/23 7,060   7,225  
  Ventas Realty LP 3.500% 4/15/24 3,075   3,209  
  Ventas Realty LP 3.750% 5/1/24 2,325   2,441  
  Ventas Realty LP 2.650% 1/15/25 3,610   3,638  
  Ventas Realty LP 4.125% 1/15/26 1,825   1,953  
  Ventas Realty LP 3.250% 10/15/26 9,075   9,268  
  Ventas Realty LP 3.850% 4/1/27 2,075   2,195  
  Ventas Realty LP 4.000% 3/1/28 12,985   13,880  
  Ventas Realty LP 4.400% 1/15/29 4,000   4,399  
  Ventas Realty LP 3.000% 1/15/30 3,865   3,829  
  Ventas Realty LP 5.700% 9/30/43 1,000   1,251  
  Ventas Realty LP 4.375% 2/1/45 5,740   6,165  
  Ventas Realty LP 4.875% 4/15/49 1,200   1,408  
  Ventas Realty LP / Ventas Capital Corp. 3.250% 8/15/22 6,827   6,989  
  VEREIT Operating Partnership LP 4.600% 2/6/24 2,550   2,746  
  VEREIT Operating Partnership LP 4.625% 11/1/25 5,175   5,649  
  VEREIT Operating Partnership LP 4.875% 6/1/26 2,925   3,219  
  VEREIT Operating Partnership LP 3.950% 8/15/27 20,100   21,085  
  VEREIT Operating Partnership LP 3.100% 12/15/29 5,365   5,267  
  Vornado Realty LP 3.500% 1/15/25 2,425   2,524  
  Washington REIT 3.950% 10/15/22 1,050   1,085  
7 WEA Finance LLC / Westfield UK & Europe Finance plc 3.750% 9/17/24 500   525  
  Weingarten Realty Investors 3.375% 10/15/22 8,375   8,562  
  Weingarten Realty Investors 3.500% 4/15/23 2,200   2,257  
  Weingarten Realty Investors 4.450% 1/15/24 600   635  
  Weingarten Realty Investors 3.850% 6/1/25 900   935  
  Welltower Inc. 3.750% 3/15/23 16,519   17,194  
  Welltower Inc. 3.950% 9/1/23 3,475   3,665  
  Welltower Inc. 4.500% 1/15/24 5,500   5,916  
  Welltower Inc. 3.625% 3/15/24 12,600   13,192  
  Welltower Inc. 4.000% 6/1/25 18,665   20,050  
  Welltower Inc. 4.250% 4/1/26 9,775   10,603  
  Welltower Inc. 4.250% 4/15/28 1,525   1,669  
  Welltower Inc. 4.125% 3/15/29 8,145   8,858  
  Welltower Inc. 3.100% 1/15/30 2,400   2,426  
  Welltower Inc. 6.500% 3/15/41 1,250   1,670  
  Welltower Inc. 5.125% 3/15/43 950   1,084  
  Welltower Inc. 4.950% 9/1/48 4,500   5,391  
  WP Carey Inc. 4.600% 4/1/24 7,705   8,252  
  WP Carey Inc. 4.000% 2/1/25 1,250   1,312  
  WP Carey Inc. 4.250% 10/1/26 2,350   2,513  
  WP Carey Inc. 3.850% 7/15/29 2,200   2,329  
            16,190,999  
Industrial (16.0%)            
  Basic Industry (0.8%)            
  Air Products & Chemicals Inc. 3.000% 11/3/21 9,710   9,907  
  Air Products & Chemicals Inc. 3.350% 7/31/24 11,545   12,150  
  Airgas Inc. 3.650% 7/15/24 9,075   9,624  
  Albemarle Corp. 4.150% 12/1/24 6,265   6,684  
  Albemarle Corp. 5.450% 12/1/44 3,240   3,691  

 

74

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
7 Albemarle Wodgina Pty Ltd. 3.450% 11/15/29 1,910   1,908  
  ArcelorMittal 6.250% 2/25/22 2,923   3,150  
  ArcelorMittal 3.600% 7/16/24 5,000   5,119  
  ArcelorMittal 6.125% 6/1/25 5,200   5,982  
  ArcelorMittal 4.550% 3/11/26 16,500   17,499  
  ArcelorMittal 4.250% 7/16/29 3,750   3,915  
  ArcelorMittal 7.000% 10/15/39 6,600   8,030  
  Barrick Gold Corp. 6.450% 10/15/35 1,050   1,345  
  Barrick Gold Corp. 5.250% 4/1/42 9,150   10,884  
  Barrick North America Finance LLC 5.700% 5/30/41 9,970   11,975  
  Barrick North America Finance LLC 5.750% 5/1/43 6,200   7,918  
  Barrick PD Australia Finance Pty Ltd. 5.950% 10/15/39 12,159   15,341  
  BHP Billiton Finance USA Ltd. 2.875% 2/24/22 12,690   12,917  
  BHP Billiton Finance USA Ltd. 3.850% 9/30/23 7,475   7,954  
  BHP Billiton Finance USA Ltd. 6.420% 3/1/26 100   121  
  BHP Billiton Finance USA Ltd. 4.125% 2/24/42 4,020   4,546  
  BHP Billiton Finance USA Ltd. 5.000% 9/30/43 20,890   26,642  
7 Braskem America Finance Co. 7.125% 7/22/41 200   229  
  Braskem Finance Ltd. 6.450% 2/3/24 4,300   4,788  
  Cabot Corp. 3.700% 7/15/22 400   412  
  Cabot Corp. 4.000% 7/1/29 2,800   2,934  
  Celanese US Holdings LLC 5.875% 6/15/21 3,950   4,144  
  Celulosa Arauco y Constitucion SA 3.875% 11/2/27 5,866   5,919  
  Celulosa Arauco y Constitucion SA 5.500% 11/2/47 8,500   8,797  
  Dow Chemical Co. 3.000% 11/15/22 28,100   28,755  
  Dow Chemical Co. 3.500% 10/1/24 13,335   13,964  
  Dow Chemical Co. 4.550% 11/30/25 4,500   4,953  
  Dow Chemical Co. 4.800% 11/30/28 5,225   5,924  
  Dow Chemical Co. 7.375% 11/1/29 5,350   7,046  
  Dow Chemical Co. 4.250% 10/1/34 6,455   7,092  
  Dow Chemical Co. 9.400% 5/15/39 9,860   16,162  
  Dow Chemical Co. 5.250% 11/15/41 3,860   4,472  
  Dow Chemical Co. 4.375% 11/15/42 13,430   14,324  
  Dow Chemical Co. 4.625% 10/1/44 1,600   1,760  
  Dow Chemical Co. 5.550% 11/30/48 7,375   9,183  
  Dow Chemical Co. 4.800% 5/15/49 2,000   2,307  
  DuPont de Nemours Inc. 4.205% 11/15/23 19,000   20,310  
  DuPont de Nemours Inc. 4.493% 11/15/25 12,000   13,190  
  DuPont de Nemours Inc. 4.725% 11/15/28 26,025   29,524  
  DuPont de Nemours Inc. 5.319% 11/15/38 26,275   31,219  
  DuPont de Nemours Inc. 5.419% 11/15/48 23,000   28,319  
  Eastman Chemical Co. 3.600% 8/15/22 7,095   7,340  
  Eastman Chemical Co. 3.800% 3/15/25 7,500   7,909  
  Eastman Chemical Co. 4.800% 9/1/42 3,950   4,296  
  Eastman Chemical Co. 4.650% 10/15/44 5,725   6,205  
  Ecolab Inc. 4.350% 12/8/21 4,569   4,780  
  Ecolab Inc. 2.375% 8/10/22 7,115   7,180  
  Ecolab Inc. 3.250% 1/14/23 2,325   2,401  
  Ecolab Inc. 2.700% 11/1/26 3,100   3,183  
  Ecolab Inc. 3.250% 12/1/27 4,100   4,316  
  Ecolab Inc. 5.500% 12/8/41 2,156   2,812  
  Ecolab Inc. 3.950% 12/1/47 9,746   10,934  
  Fibria Overseas Finance Ltd. 5.250% 5/12/24 7,725   8,362  
  Fibria Overseas Finance Ltd. 4.000% 1/14/25 5,900   6,114  

75

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Fibria Overseas Finance Ltd. 5.500% 1/17/27 4,325   4,747  
  FMC Corp. 3.950% 2/1/22 3,000   3,091  
  FMC Corp. 4.100% 2/1/24 6,500   6,843  
  FMC Corp. 3.200% 10/1/26 1,675   1,715  
  FMC Corp. 3.450% 10/1/29 3,360   3,470  
  FMC Corp. 4.500% 10/1/49 3,000   3,290  
  Georgia-Pacific LLC 8.000% 1/15/24 14,030   17,029  
  Georgia-Pacific LLC 7.375% 12/1/25 2,500   3,140  
  Georgia-Pacific LLC 7.250% 6/1/28 1,000   1,317  
  Georgia-Pacific LLC 7.750% 11/15/29 1,750   2,479  
  Georgia-Pacific LLC 8.875% 5/15/31 4,460   6,923  
  Huntsman International LLC 4.500% 5/1/29 6,425   6,831  
  International Flavors & Fragrances Inc. 3.200% 5/1/23 1,475   1,493  
  International Flavors & Fragrances Inc. 4.450% 9/26/28 2,000   2,185  
  International Flavors & Fragrances Inc. 4.375% 6/1/47 4,300   4,406  
  International Flavors & Fragrances Inc. 5.000% 9/26/48 5,000   5,598  
  International Paper Co. 7.500% 8/15/21 4,779   5,183  
  International Paper Co. 3.650% 6/15/24 7,000   7,361  
  International Paper Co. 3.800% 1/15/26 1,010   1,075  
  International Paper Co. 3.000% 2/15/27 11,150   11,406  
  International Paper Co. 5.000% 9/15/35 3,135   3,677  
  International Paper Co. 7.300% 11/15/39 3,787   5,243  
  International Paper Co. 6.000% 11/15/41 2,600   3,229  
  International Paper Co. 4.800% 6/15/44 11,425   12,528  
  International Paper Co. 5.150% 5/15/46 7,650   8,795  
  International Paper Co. 4.400% 8/15/47 12,096   12,824  
  International Paper Co. 4.350% 8/15/48 9,900   10,516  
  Kinross Gold Corp. 5.125% 9/1/21 900   936  
  Kinross Gold Corp. 5.950% 3/15/24 3,091   3,439  
  Kinross Gold Corp. 4.500% 7/15/27 467   488  
  Lubrizol Corp. 6.500% 10/1/34 420   586  
  LYB International Finance BV 4.000% 7/15/23 7,856   8,376  
  LYB International Finance BV 5.250% 7/15/43 7,856   9,226  
  LYB International Finance BV 4.875% 3/15/44 6,910   7,774  
  LYB International Finance II BV 3.500% 3/2/27 15,000   15,695  
  LYB International Finance III LLC 4.200% 10/15/49 1,460   1,516  
  LyondellBasell Industries NV 6.000% 11/15/21 15,650   16,632  
  LyondellBasell Industries NV 5.750% 4/15/24 6,658   7,499  
  LyondellBasell Industries NV 4.625% 2/26/55 5,050   5,328  
  Meadwestvaco Corp. 7.950% 2/15/31 8,200   11,068  
  Methanex Corp. 4.250% 12/1/24 665   683  
  Methanex Corp. 5.650% 12/1/44 6,900   6,615  
  Mosaic Co. 3.750% 11/15/21 10,275   10,517  
  Mosaic Co. 3.250% 11/15/22 10,450   10,715  
  Mosaic Co. 4.250% 11/15/23 12,507   13,328  
  Mosaic Co. 4.050% 11/15/27 6,125   6,346  
  Mosaic Co. 5.450% 11/15/33 1,805   2,048  
  Mosaic Co. 4.875% 11/15/41 4,470   4,644  
  Mosaic Co. 5.625% 11/15/43 1,250   1,479  
  Newmont Corp. 3.625% 6/9/21 2,145   2,188  
  Newmont Corp. 3.500% 3/15/22 400   411  
  Newmont Corp. 3.700% 3/15/23 21,590   22,573  
  Newmont Corp. 2.800% 10/1/29 6,950   6,879  
  Newmont Corp. 5.875% 4/1/35 780   995  

 

76

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Newmont Corp. 6.250% 10/1/39 6,626   8,757  
  Newmont Corp. 4.875% 3/15/42 8,225   9,587  
  Newmont Corp. 5.450% 6/9/44 4,484   5,549  
  Nucor Corp. 4.125% 9/15/22 8,191   8,588  
  Nucor Corp. 4.000% 8/1/23 8,027   8,492  
  Nucor Corp. 6.400% 12/1/37 7,875   10,643  
  Nucor Corp. 5.200% 8/1/43 11,225   13,939  
  Nucor Corp. 4.400% 5/1/48 2,780   3,149  
  Nutrien Ltd. 3.150% 10/1/22 14,135   14,422  
  Nutrien Ltd. 3.500% 6/1/23 6,664   6,874  
  Nutrien Ltd. 3.625% 3/15/24 500   521  
  Nutrien Ltd. 3.375% 3/15/25 5,450   5,649  
  Nutrien Ltd. 3.000% 4/1/25 4,000   4,072  
  Nutrien Ltd. 4.000% 12/15/26 2,700   2,873  
  Nutrien Ltd. 4.200% 4/1/29 2,925   3,215  
  Nutrien Ltd. 4.125% 3/15/35 5,525   5,767  
  Nutrien Ltd. 7.125% 5/23/36 200   261  
  Nutrien Ltd. 5.625% 12/1/40 4,875   5,701  
  Nutrien Ltd. 6.125% 1/15/41 1,375   1,713  
  Nutrien Ltd. 4.900% 6/1/43 6,410   7,169  
  Nutrien Ltd. 5.250% 1/15/45 18,755   22,093  
  Nutrien Ltd. 5.000% 4/1/49 5,957   7,031  
  Packaging Corp. of America 4.500% 11/1/23 8,345   8,978  
  Packaging Corp. of America 3.650% 9/15/24 4,570   4,787  
  Packaging Corp. of America 3.400% 12/15/27 700   729  
  Packaging Corp. of America 3.000% 12/15/29 3,255   3,267  
  Packaging Corp. of America 4.050% 12/15/49 1,600   1,660  
  PPG Industries Inc. 2.400% 8/15/24 10,920   11,000  
  Praxair Inc. 4.050% 3/15/21 120   123  
  Praxair Inc. 3.000% 9/1/21 8,125   8,273  
  Praxair Inc. 2.450% 2/15/22 15,971   16,158  
  Praxair Inc. 2.200% 8/15/22 10,243   10,314  
  Praxair Inc. 2.650% 2/5/25 3,500   3,590  
  Praxair Inc. 3.200% 1/30/26 3,000   3,144  
  Praxair Inc. 3.550% 11/7/42 2,500   2,607  
  Rayonier Inc. 3.750% 4/1/22 1,950   1,971  
  Reliance Steel & Aluminum Co. 4.500% 4/15/23 4,225   4,447  
  Rio Tinto Alcan Inc. 6.125% 12/15/33 3,229   4,370  
  Rio Tinto Alcan Inc. 5.750% 6/1/35 3,935   4,934  
  Rio Tinto Finance USA Ltd. 3.750% 6/15/25 30,475   32,699  
  Rio Tinto Finance USA Ltd. 7.125% 7/15/28 375   500  
  Rio Tinto Finance USA Ltd. 5.200% 11/2/40 5,485   7,156  
  Rio Tinto Finance USA plc 4.750% 3/22/42 3,975   4,849  
  Rio Tinto Finance USA plc 4.125% 8/21/42 12,925   14,796  
  Rohm & Haas Co. 7.850% 7/15/29 4,775   6,346  
  RPM International Inc. 3.450% 11/15/22 3,275   3,358  
  RPM International Inc. 3.750% 3/15/27 3,875   3,984  
  RPM International Inc. 5.250% 6/1/45 3,592   3,970  
  RPM International Inc. 4.250% 1/15/48 10,120   9,814  
  Sasol Financing International Ltd. 4.500% 11/14/22 9,110   9,409  
  SASOL Financing USA LLC 5.875% 3/27/24 13,325   14,441  
  SASOL Financing USA LLC 6.500% 9/27/28 6,600   7,342  
  Sherwin-Williams Co. 4.200% 1/15/22 500   518  
  Sherwin-Williams Co. 2.750% 6/1/22 7,366   7,491  

 

77

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Sherwin-Williams Co. 3.125% 6/1/24 9,875   10,196  
  Sherwin-Williams Co. 3.450% 8/1/25 5,425   5,694  
  Sherwin-Williams Co. 3.950% 1/15/26 5,450   5,825  
  Sherwin-Williams Co. 3.450% 6/1/27 17,500   18,449  
  Sherwin-Williams Co. 2.950% 8/15/29 10,000   10,119  
  Sherwin-Williams Co. 4.000% 12/15/42 1,000   1,026  
  Sherwin-Williams Co. 4.550% 8/1/45 1,590   1,750  
  Sherwin-Williams Co. 4.500% 6/1/47 12,725   14,447  
  Sherwin-Williams Co. 3.800% 8/15/49 5,000   5,087  
  Southern Copper Corp. 3.500% 11/8/22 2,400   2,478  
  Southern Copper Corp. 3.875% 4/23/25 2,800   2,938  
  Southern Copper Corp. 7.500% 7/27/35 3,725   5,128  
  Southern Copper Corp. 6.750% 4/16/40 1,550   2,062  
  Southern Copper Corp. 5.250% 11/8/42 17,545   20,081  
  Southern Copper Corp. 5.875% 4/23/45 22,730   28,250  
  Steel Dynamics Inc. 2.800% 12/15/24 2,000   2,015  
  Steel Dynamics Inc. 3.450% 4/15/30 5,500   5,562  
  Suzano Austria GmbH 6.000% 1/15/29 18,750   21,167  
  Suzano Austria GmbH 5.000% 1/15/30 6,700   7,029  
  Teck Resources Ltd. 6.125% 10/1/35 4,727   5,505  
  Teck Resources Ltd. 6.000% 8/15/40 2,830   3,153  
  Teck Resources Ltd. 6.250% 7/15/41 9,020   10,303  
  Vale Canada Ltd. 7.200% 9/15/32 2,926   3,599  
  Vale Overseas Ltd. 6.250% 8/10/26 22,860   26,803  
  Vale Overseas Ltd. 8.250% 1/17/34 500   701  
  Vale Overseas Ltd. 6.875% 11/21/36 16,289   21,135  
  Vale Overseas Ltd. 6.875% 11/10/39 14,765   19,158  
  Vale SA 5.625% 9/11/42 4,597   5,378  
  Westlake Chemical Corp. 3.600% 8/15/26 19,200   19,812  
  Westlake Chemical Corp. 5.000% 8/15/46 13,210   14,012  
  Westlake Chemical Corp. 4.375% 11/15/47 275   276  
  Westrock MWV LLC 8.200% 1/15/30 5,804   7,930  
  WestRock RKT Co. 4.900% 3/1/22 1,950   2,055  
  WestRock RKT Co. 4.000% 3/1/23 2,865   2,985  
  Weyerhaeuser Co. 4.700% 3/15/21 570   585  
  Weyerhaeuser Co. 3.250% 3/15/23 500   513  
  Weyerhaeuser Co. 4.625% 9/15/23 8,125   8,754  
  Weyerhaeuser Co. 8.500% 1/15/25 800   1,010  
  Weyerhaeuser Co. 4.000% 11/15/29 11,200   12,139  
  Weyerhaeuser Co. 7.375% 3/15/32 8,605   11,925  
  Weyerhaeuser Co. 6.875% 12/15/33 2,250   2,963  
  WRKCo Inc. 3.000% 9/15/24 5,575   5,690  
  WRKCo Inc. 3.750% 3/15/25 4,025   4,240  
  WRKCo Inc. 4.650% 3/15/26 2,315   2,559  
  WRKCo Inc. 3.375% 9/15/27 4,700   4,803  
  WRKCo Inc. 4.000% 3/15/28 5,000   5,320  
  WRKCo Inc. 3.900% 6/1/28 2,000   2,115  
  WRKCo Inc. 4.900% 3/15/29 9,150   10,404  
  WRKCo Inc. 4.200% 6/1/32 3,580   3,913  
  Yamana Gold Inc. 4.625% 12/15/27 2,700   2,818  
               
  Capital Goods (1.3%)            
  3M Co. 1.625% 9/19/21 4,625   4,612  
  3M Co. 2.750% 3/1/22 7,518   7,657  
  3M Co. 2.000% 6/26/22 1,982   1,994  

 

78

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  3M Co. 1.750% 2/14/23 5,300   5,270  
  3M Co. 2.250% 3/15/23 1,950   1,967  
  3M Co. 3.250% 2/14/24 3,075   3,215  
  3M Co. 2.000% 2/14/25 6,425   6,369  
  3M Co. 3.000% 8/7/25 3,900   4,065  
  3M Co. 2.250% 9/19/26 5,900   5,885  
  3M Co. 2.875% 10/15/27 5,150   5,363  
  3M Co. 3.625% 9/14/28 3,816   4,153  
  3M Co. 3.375% 3/1/29 7,075   7,501  
  3M Co. 2.375% 8/26/29 10,275   10,087  
  3M Co. 3.875% 6/15/44 1,000   1,060  
  3M Co. 3.125% 9/19/46 5,500   5,269  
  3M Co. 3.625% 10/15/47 5,125   5,275  
  3M Co. 4.000% 9/14/48 10,400   11,409  
  3M Co. 3.250% 8/26/49 8,750   8,513  
  ABB Finance USA Inc. 2.875% 5/8/22 8,285   8,454  
  ABB Finance USA Inc. 3.375% 4/3/23 250   260  
  ABB Finance USA Inc. 3.800% 4/3/28 6,475   7,069  
  ABB Finance USA Inc. 4.375% 5/8/42 6,900   8,279  
  Allegion plc 3.500% 10/1/29 3,455   3,523  
  Allegion US Holding Co. Inc. 3.200% 10/1/24 2,053   2,107  
  Allegion US Holding Co. Inc. 3.550% 10/1/27 3,100   3,195  
  Avery Dennison Corp. 4.875% 12/6/28 660   749  
7 Bemis Co. Inc. 4.500% 10/15/21 1,205   1,241  
7 Bemis Co. Inc. 3.100% 9/15/26 2,450   2,395  
  Boeing Co. 2.300% 8/1/21 3,500   3,518  
  Boeing Co. 8.750% 8/15/21 390   431  
  Boeing Co. 2.350% 10/30/21 2,000   2,015  
  Boeing Co. 2.125% 3/1/22 5,075   5,084  
  Boeing Co. 2.700% 5/1/22 4,425   4,487  
  Boeing Co. 2.800% 3/1/23 7,350   7,485  
  Boeing Co. 1.875% 6/15/23 3,100   3,077  
  Boeing Co. 2.800% 3/1/24 2,000   2,041  
  Boeing Co. 2.850% 10/30/24 4,740   4,852  
  Boeing Co. 2.500% 3/1/25 580   581  
  Boeing Co. 7.250% 6/15/25 325   402  
  Boeing Co. 2.600% 10/30/25 4,050   4,080  
  Boeing Co. 3.100% 5/1/26 4,875   5,026  
  Boeing Co. 2.250% 6/15/26 1,750   1,724  
  Boeing Co. 2.700% 2/1/27 7,265   7,322  
  Boeing Co. 2.800% 3/1/27 1,975   2,000  
  Boeing Co. 3.250% 3/1/28 2,926   3,037  
  Boeing Co. 3.450% 11/1/28 2,342   2,466  
  Boeing Co. 3.200% 3/1/29 8,775   9,144  
  Boeing Co. 2.950% 2/1/30 9,230   9,430  
  Boeing Co. 6.125% 2/15/33 5,775   7,538  
  Boeing Co. 3.600% 5/1/34 8,425   8,985  
  Boeing Co. 3.250% 2/1/35 9,000   9,170  
  Boeing Co. 6.625% 2/15/38 1,000   1,390  
  Boeing Co. 3.550% 3/1/38 1,392   1,444  
  Boeing Co. 3.500% 3/1/39 3,415   3,507  
  Boeing Co. 6.875% 3/15/39 7,905   11,549  
  Boeing Co. 5.875% 2/15/40 480   635  
  Boeing Co. 3.375% 6/15/46 7,000   6,778  

 

79

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Boeing Co. 3.650% 3/1/47 4,800   4,864  
  Boeing Co. 3.625% 3/1/48 3,500   3,575  
  Boeing Co. 3.850% 11/1/48 1,903   1,996  
  Boeing Co. 3.900% 5/1/49 6,990   7,482  
  Boeing Co. 3.750% 2/1/50 4,855   5,115  
  Boeing Co. 3.825% 3/1/59 8,050   8,359  
  Boeing Co. 3.950% 8/1/59 4,000   4,271  
  Carlisle Cos. Inc. 3.750% 11/15/22 1,605   1,655  
  Carlisle Cos. Inc. 3.500% 12/1/24 3,623   3,760  
  Carlisle Cos. Inc. 3.750% 12/1/27 3,050   3,189  
  Caterpillar Financial Services Corp. 2.900% 3/15/21 8,400   8,503  
  Caterpillar Financial Services Corp. 2.650% 5/17/21 4,200   4,243  
  Caterpillar Financial Services Corp. 1.700% 8/9/21 7,900   7,873  
  Caterpillar Financial Services Corp. 2.750% 8/20/21 1,300   1,317  
  Caterpillar Financial Services Corp. 3.150% 9/7/21 2,900   2,959  
  Caterpillar Financial Services Corp. 1.931% 10/1/21 9,438   9,449  
  Caterpillar Financial Services Corp. 2.950% 2/26/22 8,050   8,225  
  Caterpillar Financial Services Corp. 2.850% 6/1/22 1,604   1,637  
  Caterpillar Financial Services Corp. 2.400% 6/6/22 7,000   7,077  
  Caterpillar Financial Services Corp. 2.550% 11/29/22 8,000   8,146  
  Caterpillar Financial Services Corp. 2.625% 3/1/23 1,100   1,122  
  Caterpillar Financial Services Corp. 3.450% 5/15/23 5,350   5,596  
  Caterpillar Financial Services Corp. 3.650% 12/7/23 3,000   3,179  
  Caterpillar Financial Services Corp. 2.850% 5/17/24 4,100   4,233  
  Caterpillar Financial Services Corp. 3.300% 6/9/24 7,175   7,545  
  Caterpillar Financial Services Corp. 2.150% 11/8/24 3,735   3,744  
  Caterpillar Financial Services Corp. 3.250% 12/1/24 6,320   6,665  
  Caterpillar Financial Services Corp. 2.400% 8/9/26 3,300   3,318  
  Caterpillar Inc. 3.900% 5/27/21 14,147   14,522  
  Caterpillar Inc. 2.600% 6/26/22 15,425   15,655  
  Caterpillar Inc. 3.400% 5/15/24 5,500   5,812  
  Caterpillar Inc. 2.600% 9/19/29 4,000   4,027  
  Caterpillar Inc. 5.300% 9/15/35 3,100   3,838  
  Caterpillar Inc. 6.050% 8/15/36 9,241   12,575  
  Caterpillar Inc. 5.200% 5/27/41 5,147   6,642  
  Caterpillar Inc. 3.803% 8/15/42 19,654   21,974  
  Caterpillar Inc. 4.300% 5/15/44 2,830   3,276  
  Caterpillar Inc. 3.250% 9/19/49 8,200   8,182  
  Caterpillar Inc. 4.750% 5/15/64 1,650   2,064  
  CNH Industrial Capital LLC 4.375% 4/5/22 2,750   2,869  
  CNH Industrial Capital LLC 4.200% 1/15/24 15,795   16,720  
  CNH Industrial NV 4.500% 8/15/23 1,350   1,438  
  CNH Industrial NV 3.850% 11/15/27 5,950   6,195  
  Crane Co. 4.450% 12/15/23 5,690   6,056  
  Crane Co. 4.200% 3/15/48 3,900   3,903  
  CRH America Inc. 5.750% 1/15/21 2,290   2,371  
  Deere & Co. 2.600% 6/8/22 6,165   6,265  
  Deere & Co. 5.375% 10/16/29 6,170   7,629  
  Deere & Co. 3.900% 6/9/42 5,737   6,450  
  Deere & Co. 2.875% 9/7/49 1,025   961  
  Dover Corp. 3.150% 11/15/25 10,000   10,357  
  Dover Corp. 2.950% 11/4/29 2,600   2,607  
  Dover Corp. 6.600% 3/15/38 2,050   2,733  
  Dover Corp. 5.375% 3/1/41 1,695   2,061  

 

80

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Eagle Materials Inc. 4.500% 8/1/26 4,700   4,872  
  Eaton Corp. 2.750% 11/2/22 12,994   13,255  
  Eaton Corp. 3.103% 9/15/27 7,765   8,052  
  Eaton Corp. 4.000% 11/2/32 7,729   8,752  
  Eaton Corp. 4.150% 11/2/42 1,175   1,304  
  Eaton Corp. 3.915% 9/15/47 4,950   5,268  
  Embraer Netherlands Finance BV 5.050% 6/15/25 6,675   7,339  
  Embraer Netherlands Finance BV 5.400% 2/1/27 6,100   6,858  
7 Embraer Overseas Ltd. 5.696% 9/16/23 3,340   3,660  
  Embraer SA 5.150% 6/15/22 3,850   4,060  
  Emerson Electric Co. 2.625% 12/1/21 11,025   11,209  
  Emerson Electric Co. 2.625% 2/15/23 3,500   3,578  
  Emerson Electric Co. 3.150% 6/1/25 1,800   1,883  
  Emerson Electric Co. 5.250% 11/15/39 440   552  
  Flowserve Corp. 3.500% 9/15/22 13,705   13,852  
  Flowserve Corp. 4.000% 11/15/23 4,575   4,681  
  Fortive Corp. 2.350% 6/15/21 5,122   5,136  
  Fortive Corp. 3.150% 6/15/26 4,472   4,576  
  Fortive Corp. 4.300% 6/15/46 5,250   5,402  
  Fortune Brands Home & Security Inc. 4.000% 9/21/23 9,750   10,297  
  Fortune Brands Home & Security Inc. 4.000% 6/15/25 4,350   4,648  
  Fortune Brands Home & Security Inc. 3.250% 9/15/29 800   808  
  General Dynamics Corp. 3.000% 5/11/21 2,170   2,205  
  General Dynamics Corp. 3.875% 7/15/21 1,925   1,979  
  General Dynamics Corp. 2.250% 11/15/22 4,722   4,771  
  General Dynamics Corp. 3.375% 5/15/23 8,500   8,874  
  General Dynamics Corp. 1.875% 8/15/23 18,200   18,216  
  General Dynamics Corp. 2.375% 11/15/24 14,641   14,885  
  General Dynamics Corp. 3.500% 5/15/25 9,743   10,430  
  General Dynamics Corp. 2.625% 11/15/27 10,440   10,678  
  General Dynamics Corp. 3.750% 5/15/28 9,135   10,060  
  General Dynamics Corp. 3.600% 11/15/42 3,064   3,467  
  General Electric Co. 4.625% 1/7/21 3,928   4,018  
  General Electric Co. 5.300% 2/11/21 12,647   13,051  
  General Electric Co. 4.650% 10/17/21 8,692   9,055  
  General Electric Co. 3.150% 9/7/22 7,206   7,360  
  General Electric Co. 2.700% 10/9/22 31,690   32,118  
  General Electric Co. 3.100% 1/9/23 3,973   4,056  
  General Electric Co. 3.375% 3/11/24 14,800   15,315  
  General Electric Co. 3.450% 5/15/24 4,892   5,074  
  General Electric Co. 6.750% 3/15/32 21,984   28,162  
  General Electric Co. 6.150% 8/7/37 8,246   10,180  
  General Electric Co. 5.875% 1/14/38 28,611   34,486  
  General Electric Co. 6.875% 1/10/39 17,878   23,828  
  General Electric Co. 4.125% 10/9/42 7,769   8,040  
  General Electric Co. 4.500% 3/11/44 10,010   10,912  
  Hexcel Corp. 4.700% 8/15/25 1,350   1,460  
  Honeywell International Inc. 4.250% 3/1/21 10,530   10,846  
  Honeywell International Inc. 1.850% 11/1/21 13,350   13,374  
  Honeywell International Inc. 2.150% 8/8/22 3,500   3,533  
  Honeywell International Inc. 3.350% 12/1/23 10,140   10,655  
  Honeywell International Inc. 2.300% 8/15/24 7,425   7,524  
  Honeywell International Inc. 2.500% 11/1/26 5,375   5,459  
  Honeywell International Inc. 2.700% 8/15/29 4,250   4,360  

 

81

 

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Honeywell International Inc. 5.700% 3/15/36 4,580   6,101  
  Honeywell International Inc. 5.700% 3/15/37 4,995   6,771  
  Honeywell International Inc. 5.375% 3/1/41 5,995   8,072  
  Honeywell International Inc. 3.812% 11/21/47 725   819  
  Hubbell Inc. 3.350% 3/1/26 2,800   2,864  
  Hubbell Inc. 3.150% 8/15/27 3,425   3,415  
  Hubbell Inc. 3.500% 2/15/28 4,645   4,797  
  Huntington Ingalls Industries Inc. 3.483% 12/1/27 10,075   10,503  
  Illinois Tool Works Inc. 3.375% 9/15/21 2,895   2,959  
  Illinois Tool Works Inc. 3.500% 3/1/24 7,912   8,374  
  Illinois Tool Works Inc. 2.650% 11/15/26 11,050   11,356  
  Illinois Tool Works Inc. 4.875% 9/15/41 3,595   4,520  
  Illinois Tool Works Inc. 3.900% 9/1/42 11,642   13,417  
  Ingersoll-Rand Global Holding Co. Ltd. 2.900% 2/21/21 2,500   2,523  
  Ingersoll-Rand Global Holding Co. Ltd. 4.250% 6/15/23 7,625   8,146  
  Ingersoll-Rand Global Holding Co. Ltd. 3.750% 8/21/28 50   53  
  Ingersoll-Rand Global Holding Co. Ltd. 5.750% 6/15/43 2,125   2,675  
  Ingersoll-Rand Global Holding Co. Ltd. 4.300% 2/21/48 1,750   1,895  
  Ingersoll-Rand Luxembourg Finance SA 3.550% 11/1/24 7,300   7,651  
  Ingersoll-Rand Luxembourg Finance SA 3.500% 3/21/26 3,475   3,634  
  Ingersoll-Rand Luxembourg Finance SA 3.800% 3/21/29 10,715   11,472  
  Ingersoll-Rand Luxembourg Finance SA 4.650% 11/1/44 3,050   3,439  
  Ingersoll-Rand Luxembourg Finance SA 4.500% 3/21/49 3,025   3,380  
  John Deere Capital Corp. 2.350% 1/8/21 2,150   2,158  
  John Deere Capital Corp. 2.550% 1/8/21 8,650   8,695  
  John Deere Capital Corp. 2.800% 3/4/21 5,125   5,179  
  John Deere Capital Corp. 2.875% 3/12/21 10,025   10,136  
  John Deere Capital Corp. 3.900% 7/12/21 8,268   8,522  
  John Deere Capital Corp. 3.125% 9/10/21 6,700   6,844  
  John Deere Capital Corp. 3.150% 10/15/21 9,091   9,295  
  John Deere Capital Corp. 2.650% 1/6/22 7,350   7,469  
  John Deere Capital Corp. 2.750% 3/15/22 2,250   2,291  
  John Deere Capital Corp. 2.150% 9/8/22 10,350   10,415  
  John Deere Capital Corp. 2.700% 1/6/23 300   307  
  John Deere Capital Corp. 2.800% 1/27/23 7,615   7,800  
  John Deere Capital Corp. 2.800% 3/6/23 10,950   11,231  
  John Deere Capital Corp. 3.450% 6/7/23 800   837  
  John Deere Capital Corp. 3.650% 10/12/23 3,150   3,338  
  John Deere Capital Corp. 2.600% 3/7/24 3,000   3,065  
  John Deere Capital Corp. 3.350% 6/12/24 9,931   10,459  
  John Deere Capital Corp. 2.650% 6/24/24 4,421   4,526  
  John Deere Capital Corp. 3.450% 3/13/25 17,240   18,301  
  John Deere Capital Corp. 3.400% 9/11/25 1,750   1,853  
  John Deere Capital Corp. 2.650% 6/10/26 1,900   1,935  
  John Deere Capital Corp. 2.250% 9/14/26 965   965  
  John Deere Capital Corp. 2.800% 9/8/27 4,100   4,209  
  John Deere Capital Corp. 3.050% 1/6/28 7,700   8,020  
  John Deere Capital Corp. 3.450% 3/7/29 4,475   4,863  
  John Deere Capital Corp. 2.800% 7/18/29 5,575   5,707  
  Johnson Controls International plc 3.625% 7/2/24 4,302   4,463  
  Johnson Controls International plc 3.900% 2/14/26 4,082   4,334  
  Johnson Controls International plc 6.000% 1/15/36 954   1,170  
  Johnson Controls International plc 4.625% 7/2/44 7,850   8,560  
  Johnson Controls International plc 5.125% 9/14/45 1,045   1,214  

 

82

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Johnson Controls International plc 4.500% 2/15/47 9,495   10,212  
  Johnson Controls International plc 4.950% 7/2/64 3,658   3,786  
  Kennametal Inc. 3.875% 2/15/22 1,525   1,569  
  Kennametal Inc. 4.625% 6/15/28 6,620   7,061  
7 L3Harris Technologies Inc. 4.950% 2/15/21 9,125   9,347  
7 L3Harris Technologies Inc. 3.850% 6/15/23 8,950   9,420  
7 L3Harris Technologies Inc. 3.950% 5/28/24 1,040   1,103  
  L3Harris Technologies Inc. 3.832% 4/27/25 7,510   7,989  
7 L3Harris Technologies Inc. 3.850% 12/15/26 5,500   5,910  
7 L3Harris Technologies Inc. 4.400% 6/15/28 5,350   5,960  
  L3Harris Technologies Inc. 2.900% 12/15/29 2,130   2,156  
  L3Harris Technologies Inc. 4.854% 4/27/35 1,925   2,265  
  L3Harris Technologies Inc. 6.150% 12/15/40 4,625   6,275  
  L3Harris Technologies Inc. 5.054% 4/27/45 4,170   5,176  
  Leggett & Platt Inc. 3.800% 11/15/24 3,725   3,895  
  Leggett & Platt Inc. 3.500% 11/15/27 12,475   12,797  
  Leggett & Platt Inc. 4.400% 3/15/29 4,050   4,425  
  Legrand France SA 8.500% 2/15/25 3,350   4,320  
  Lennox International Inc. 3.000% 11/15/23 1,000   1,017  
  Lockheed Martin Corp. 3.350% 9/15/21 9,219   9,451  
  Lockheed Martin Corp. 3.100% 1/15/23 9,780   10,109  
  Lockheed Martin Corp. 2.900% 3/1/25 675   701  
  Lockheed Martin Corp. 3.550% 1/15/26 16,000   17,135  
  Lockheed Martin Corp. 3.600% 3/1/35 9,240   10,117  
  Lockheed Martin Corp. 4.500% 5/15/36 4,725   5,595  
  Lockheed Martin Corp. 6.150% 9/1/36 7,685   10,431  
  Lockheed Martin Corp. 5.720% 6/1/40 3,301   4,454  
  Lockheed Martin Corp. 4.850% 9/15/41 622   752  
  Lockheed Martin Corp. 4.070% 12/15/42 12,765   14,607  
  Lockheed Martin Corp. 3.800% 3/1/45 8,096   8,930  
  Lockheed Martin Corp. 4.700% 5/15/46 11,400   14,393  
  Lockheed Martin Corp. 4.090% 9/15/52 13,236   15,471  
  Martin Marietta Materials Inc. 4.250% 7/2/24 2,985   3,193  
  Martin Marietta Materials Inc. 3.450% 6/1/27 3,225   3,331  
  Martin Marietta Materials Inc. 3.500% 12/15/27 6,000   6,239  
  Martin Marietta Materials Inc. 4.250% 12/15/47 7,600   7,957  
  Masco Corp. 3.500% 4/1/21 2,715   2,750  
  Masco Corp. 5.950% 3/15/22 583   626  
  Masco Corp. 4.450% 4/1/25 4,700   5,118  
  Masco Corp. 4.375% 4/1/26 4,500   4,856  
  Masco Corp. 3.500% 11/15/27 6,550   6,775  
  Masco Corp. 7.750% 8/1/29 1,144   1,485  
  Masco Corp. 6.500% 8/15/32 54   66  
  Masco Corp. 4.500% 5/15/47 5,000   5,089  
  Mohawk Industries Inc. 3.850% 2/1/23 6,125   6,377  
  Northrop Grumman Corp. 3.500% 3/15/21 1,650   1,681  
  Northrop Grumman Corp. 2.550% 10/15/22 5,050   5,124  
  Northrop Grumman Corp. 3.250% 8/1/23 11,375   11,824  
  Northrop Grumman Corp. 2.930% 1/15/25 8,400   8,654  
  Northrop Grumman Corp. 3.200% 2/1/27 6,200   6,447  
  Northrop Grumman Corp. 3.250% 1/15/28 15,850   16,514  
  Northrop Grumman Corp. 5.050% 11/15/40 2,525   3,077  
  Northrop Grumman Corp. 4.750% 6/1/43 3,090   3,691  
  Northrop Grumman Corp. 3.850% 4/15/45 2,000   2,141  

 

83

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Northrop Grumman Corp. 4.030% 10/15/47 10,175   11,309  
  Northrop Grumman Systems Corp. 7.750% 2/15/31 3,920   5,622  
  Nvent Finance Sarl 3.950% 4/15/23 2,100   2,129  
  Nvent Finance Sarl 4.550% 4/15/28 3,850   3,990  
  Oshkosh Corp. 4.600% 5/15/28 7,375   7,891  
  Owens Corning 4.200% 12/1/24 6,030   6,385  
  Owens Corning 3.400% 8/15/26 1,400   1,418  
  Owens Corning 3.950% 8/15/29 4,000   4,147  
  Owens Corning 7.000% 12/1/36 1,787   2,184  
  Owens Corning 4.300% 7/15/47 4,325   4,103  
  Owens Corning 4.400% 1/30/48 3,200   3,093  
  Parker-Hannifin Corp. 3.500% 9/15/22 5,646   5,842  
  Parker-Hannifin Corp. 2.700% 6/14/24 4,700   4,763  
  Parker-Hannifin Corp. 3.300% 11/21/24 11,650   12,176  
  Parker-Hannifin Corp. 3.250% 3/1/27 13,825   14,339  
  Parker-Hannifin Corp. 3.250% 6/14/29 3,000   3,117  
  Parker-Hannifin Corp. 4.200% 11/21/34 3,900   4,312  
  Parker-Hannifin Corp. 6.250% 5/15/38 2,925   3,878  
  Parker-Hannifin Corp. 4.450% 11/21/44 4,870   5,412  
  Parker-Hannifin Corp. 4.100% 3/1/47 5,500   5,954  
  Parker-Hannifin Corp. 4.000% 6/14/49 6,975   7,544  
  Precision Castparts Corp. 2.500% 1/15/23 13,970   14,214  
  Precision Castparts Corp. 3.250% 6/15/25 9,300   9,798  
  Precision Castparts Corp. 3.900% 1/15/43 6,575   7,114  
  Precision Castparts Corp. 4.375% 6/15/45 5,712   6,603  
  Raytheon Co. 2.500% 12/15/22 18,875   19,248  
  Raytheon Co. 3.150% 12/15/24 2,250   2,363  
  Raytheon Co. 7.200% 8/15/27 1,010   1,321  
  Raytheon Co. 4.875% 10/15/40 450   563  
  Raytheon Co. 4.700% 12/15/41 6,350   7,894  
  Raytheon Co. 4.200% 12/15/44 795   932  
  Republic Services Inc. 5.250% 11/15/21 8,838   9,373  
  Republic Services Inc. 3.550% 6/1/22 475   491  
  Republic Services Inc. 4.750% 5/15/23 2,425   2,611  
  Republic Services Inc. 2.500% 8/15/24 4,500   4,559  
  Republic Services Inc. 3.200% 3/15/25 3,000   3,115  
  Republic Services Inc. 2.900% 7/1/26 8,525   8,685  
  Republic Services Inc. 6.200% 3/1/40 3,440   4,684  
  Republic Services Inc. 5.700% 5/15/41 7,965   10,351  
  Rockwell Automation Inc. 3.500% 3/1/29 3,975   4,272  
  Rockwell Automation Inc. 4.200% 3/1/49 5,025   5,841  
  Rockwell Collins Inc. 3.100% 11/15/21 1,000   1,017  
  Rockwell Collins Inc. 2.800% 3/15/22 12,000   12,205  
  Rockwell Collins Inc. 3.700% 12/15/23 2,775   2,922  
  Rockwell Collins Inc. 3.200% 3/15/24 12,107   12,599  
  Rockwell Collins Inc. 3.500% 3/15/27 14,800   15,742  
  Rockwell Collins Inc. 4.800% 12/15/43 1,250   1,528  
  Rockwell Collins Inc. 4.350% 4/15/47 9,250   10,813  
  Roper Technologies Inc. 3.000% 12/15/20 4,075   4,112  
  Roper Technologies Inc. 2.800% 12/15/21 10,575   10,725  
  Roper Technologies Inc. 3.125% 11/15/22 400   411  
  Roper Technologies Inc. 2.350% 9/15/24 8,450   8,494  
  Roper Technologies Inc. 3.850% 12/15/25 2,675   2,874  
  Roper Technologies Inc. 3.800% 12/15/26 11,559   12,423  

 

84

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Roper Technologies Inc. 4.200% 9/15/28 7,100   7,764  
  Roper Technologies Inc. 2.950% 9/15/29 4,000   4,021  
  Snap-on Inc. 6.125% 9/1/21 3,135   3,350  
  Snap-on Inc. 3.250% 3/1/27 1,900   1,980  
  Snap-on Inc. 4.100% 3/1/48 2,600   2,905  
  Sonoco Products Co. 5.750% 11/1/40 4,210   5,159  
  Spirit AeroSystems Inc. 3.950% 6/15/23 13,300   13,689  
  Spirit AeroSystems Inc. 3.850% 6/15/26 10,785   11,059  
  Spirit AeroSystems Inc. 4.600% 6/15/28 6,630   6,971  
  Stanley Black & Decker Inc. 3.400% 12/1/21 4,025   4,112  
  Stanley Black & Decker Inc. 2.900% 11/1/22 7,700   7,886  
  Stanley Black & Decker Inc. 3.400% 3/1/26 2,500   2,636  
  Stanley Black & Decker Inc. 5.200% 9/1/40 2,950   3,655  
  Stanley Black & Decker Inc. 4.850% 11/15/48 6,200   7,658  
  Textron Inc. 4.300% 3/1/24 2,625   2,803  
  Textron Inc. 3.875% 3/1/25 7,600   8,047  
  Textron Inc. 4.000% 3/15/26 6,200   6,619  
  Textron Inc. 3.650% 3/15/27 11,961   12,506  
  Textron Inc. 3.375% 3/1/28 5,450   5,600  
  Textron Inc. 3.900% 9/17/29 4,300   4,587  
  Timken Co. 3.875% 9/1/24 1,000   1,043  
  Timken Co. 4.500% 12/15/28 7,320   7,882  
  United Technologies Corp. 3.350% 8/16/21 2,725   2,788  
  United Technologies Corp. 1.950% 11/1/21 9,010   9,022  
  United Technologies Corp. 2.300% 5/4/22 200   202  
  United Technologies Corp. 3.100% 6/1/22 20,168   20,707  
  United Technologies Corp. 3.650% 8/16/23 22,000   23,175  
  United Technologies Corp. 2.800% 5/4/24 11,250   11,560  
  United Technologies Corp. 3.950% 8/16/25 16,875   18,372  
  United Technologies Corp. 2.650% 11/1/26 4,350   4,451  
  United Technologies Corp. 3.125% 5/4/27 350   366  
  United Technologies Corp. 6.700% 8/1/28 325   421  
  United Technologies Corp. 4.125% 11/16/28 40,677   45,735  
  United Technologies Corp. 7.500% 9/15/29 7,125   10,019  
  United Technologies Corp. 5.400% 5/1/35 3,225   4,126  
  United Technologies Corp. 6.050% 6/1/36 5,215   7,021  
  United Technologies Corp. 6.125% 7/15/38 8,750   12,102  
  United Technologies Corp. 4.450% 11/16/38 9,665   11,347  
  United Technologies Corp. 5.700% 4/15/40 9,325   12,474  
  United Technologies Corp. 4.500% 6/1/42 29,565   35,405  
  United Technologies Corp. 4.150% 5/15/45 10,750   12,313  
  United Technologies Corp. 3.750% 11/1/46 9,800   10,677  
  United Technologies Corp. 4.050% 5/4/47 10,525   11,944  
  United Technologies Corp. 4.625% 11/16/48 12,585   15,664  
  Valmont Industries Inc. 5.000% 10/1/44 7,690   7,856  
  Valmont Industries Inc. 5.250% 10/1/54 3,275   3,323  
  Vulcan Materials Co. 4.500% 4/1/25 2,750   2,975  
  Vulcan Materials Co. 4.500% 6/15/47 10,137   11,101  
  Wabtec Corp. 4.400% 3/15/24 8,205   8,696  
  Wabtec Corp. 3.450% 11/15/26 6,375   6,403  
  Wabtec Corp. 4.950% 9/15/28 10,675   11,734  
  Waste Connections Inc. 3.500% 5/1/29 9,370   9,874  
  Waste Management Inc. 4.600% 3/1/21 6,375   6,536  
  Waste Management Inc. 2.900% 9/15/22 100   102  

 

85

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Waste Management Inc. 2.400% 5/15/23 9,676   9,763  
  Waste Management Inc. 3.500% 5/15/24 12,249   12,861  
  Waste Management Inc. 2.950% 6/15/24 6,625   6,833  
  Waste Management Inc. 3.125% 3/1/25 7,735   8,082  
  Waste Management Inc. 3.200% 6/15/26 6,659   6,976  
  Waste Management Inc. 3.150% 11/15/27 1,150   1,202  
  Waste Management Inc. 3.450% 6/15/29 8,705   9,297  
  Waste Management Inc. 3.900% 3/1/35 4,785   5,293  
  Waste Management Inc. 4.000% 7/15/39 4,450   4,970  
  Waste Management Inc. 4.100% 3/1/45 6,250   7,012  
  Waste Management Inc. 4.150% 7/15/49 9,050   10,307  
  WW Grainger Inc. 4.600% 6/15/45 9,875   11,689  
  WW Grainger Inc. 3.750% 5/15/46 2,975   3,074  
  WW Grainger Inc. 4.200% 5/15/47 3,500   3,896  
  Xylem Inc. 3.250% 11/1/26 5,950   6,168  
  Xylem Inc. 4.375% 11/1/46 4,180   4,564  
               
  Communication (2.3%)            
  Activision Blizzard Inc. 2.300% 9/15/21 5,650   5,675  
  Activision Blizzard Inc. 2.600% 6/15/22 3,375   3,412  
  Activision Blizzard Inc. 3.400% 9/15/26 8,000   8,383  
  Activision Blizzard Inc. 3.400% 6/15/27 1,700   1,771  
  Activision Blizzard Inc. 4.500% 6/15/47 3,805   4,322  
  America Movil SAB de CV 3.125% 7/16/22 13,640   13,912  
  America Movil SAB de CV 3.625% 4/22/29 9,100   9,647  
  America Movil SAB de CV 6.375% 3/1/35 8,615   11,558  
  America Movil SAB de CV 6.125% 11/15/37 2,850   3,717  
  America Movil SAB de CV 6.125% 3/30/40 17,336   23,228  
  America Movil SAB de CV 4.375% 7/16/42 9,675   10,770  
  America Movil SAB de CV 4.375% 4/22/49 8,500   9,739  
  American Tower Corp. 3.300% 2/15/21 6,075   6,150  
  American Tower Corp. 3.450% 9/15/21 7,675   7,859  
  American Tower Corp. 5.900% 11/1/21 8,315   8,883  
  American Tower Corp. 2.250% 1/15/22 3,150   3,160  
  American Tower Corp. 4.700% 3/15/22 5,000   5,266  
  American Tower Corp. 3.500% 1/31/23 27,228   28,207  
  American Tower Corp. 5.000% 2/15/24 10,213   11,236  
  American Tower Corp. 3.375% 5/15/24 7,330   7,598  
  American Tower Corp. 2.950% 1/15/25 2,500   2,561  
  American Tower Corp. 4.000% 6/1/25 3,525   3,766  
  American Tower Corp. 3.375% 10/15/26 12,670   13,160  
  American Tower Corp. 3.125% 1/15/27 4,590   4,679  
  American Tower Corp. 3.550% 7/15/27 7,860   8,217  
  American Tower Corp. 3.950% 3/15/29 5,750   6,186  
  American Tower Corp. 3.800% 8/15/29 21,635   23,112  
  American Tower Corp. 3.700% 10/15/49 5,000   4,956  
  AT&T Inc. 4.600% 2/15/21 11,075   11,330  
  AT&T Inc. 2.800% 2/17/21 75   76  
  AT&T Inc. 4.450% 5/15/21 4,750   4,911  
  AT&T Inc. 4.000% 1/15/22 7,160   7,427  
  AT&T Inc. 3.000% 2/15/22 7,950   8,100  
  AT&T Inc. 3.200% 3/1/22 10,325   10,575  
  AT&T Inc. 3.800% 3/15/22 8,059   8,361  
  AT&T Inc. 3.400% 6/15/22 6,501   6,694  

 

86

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  AT&T Inc. 3.000% 6/30/22 22,805   23,306  
  AT&T Inc. 3.600% 2/17/23 16,405   17,116  
  AT&T Inc. 4.050% 12/15/23 4,340   4,640  
  AT&T Inc. 3.800% 3/1/24 10,967   11,578  
  AT&T Inc. 3.900% 3/11/24 8,000   8,478  
  AT&T Inc. 4.450% 4/1/24 11,779   12,753  
  AT&T Inc. 3.550% 6/1/24 5,200   5,466  
  AT&T Inc. 3.950% 1/15/25 10,000   10,713  
  AT&T Inc. 3.400% 5/15/25 45,504   47,686  
  AT&T Inc. 3.600% 7/15/25 19,900   21,001  
  AT&T Inc. 3.875% 1/15/26 9,066   9,709  
  AT&T Inc. 4.125% 2/17/26 18,000   19,506  
  AT&T Inc. 3.800% 2/15/27 14,500   15,459  
  AT&T Inc. 4.250% 3/1/27 10,000   10,961  
  AT&T Inc. 4.100% 2/15/28 19,444   21,107  
  AT&T Inc. 4.350% 3/1/29 27,800   30,831  
  AT&T Inc. 4.300% 2/15/30 43,552   48,399  
  AT&T Inc. 4.500% 5/15/35 22,475   24,991  
  AT&T Inc. 5.250% 3/1/37 20,620   24,625  
  AT&T Inc. 4.900% 8/15/37 24,625   28,247  
  AT&T Inc. 4.850% 3/1/39 18,000   20,676  
  AT&T Inc. 6.350% 3/15/40 8,700   11,330  
  AT&T Inc. 6.100% 7/15/40 2,000   2,542  
  AT&T Inc. 6.000% 8/15/40 2,470   3,134  
  AT&T Inc. 5.350% 9/1/40 28,053   33,550  
  AT&T Inc. 6.375% 3/1/41 9,921   13,078  
  AT&T Inc. 5.550% 8/15/41 50   61  
  AT&T Inc. 5.375% 10/15/41 6,930   8,151  
  AT&T Inc. 5.150% 3/15/42 10,734   12,506  
  AT&T Inc. 4.900% 6/15/42 10,315   11,601  
  AT&T Inc. 4.300% 12/15/42 13,211   14,121  
  AT&T Inc. 5.350% 12/15/43 15,300   18,334  
  AT&T Inc. 4.650% 6/1/44 9,930   10,945  
  AT&T Inc. 4.800% 6/15/44 25,000   28,401  
  AT&T Inc. 4.350% 6/15/45 22,998   24,600  
  AT&T Inc. 4.750% 5/15/46 31,623   35,505  
  AT&T Inc. 5.150% 11/15/46 33,600   39,997  
  AT&T Inc. 5.650% 2/15/47 8,000   10,181  
  AT&T Inc. 5.450% 3/1/47 6,000   7,404  
  AT&T Inc. 4.500% 3/9/48 27,401   30,100  
  AT&T Inc. 4.550% 3/9/49 39,005   43,247  
  AT&T Inc. 5.150% 2/15/50 15,000   18,066  
  AT&T Inc. 5.700% 3/1/57 6,570   8,571  
  AT&T Inc. 5.300% 8/15/58 8,051   9,917  
  Bell Canada Inc. 4.300% 7/29/49 5,000   5,592  
  British Telecommunications plc 4.500% 12/4/23 5,150   5,545  
  British Telecommunications plc 5.125% 12/4/28 5,000   5,746  
  British Telecommunications plc 9.625% 12/15/30 21,651   33,320  
  CC Holdings GS V LLC / Crown Castle GS III Corp. 3.849% 4/15/23 14,550   15,230  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.464% 7/23/22 30,000   31,531  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.500% 2/1/24 9,705   10,440  

 

87

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.908% 7/23/25 40,800   44,887  
  Charter Communications Operating LLC / Charter Communications Operating Capital 3.750% 2/15/28 20,080   20,754  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.200% 3/15/28 5,250   5,582  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.050% 3/30/29 11,000   12,438  
  Charter Communications Operating LLC / Charter Communications Operating Capital 6.384% 10/23/35 18,100   22,755  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 4/1/38 7,925   8,982  
  Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/45 27,190   33,887  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/47 22,525   25,249  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.750% 4/1/48 28,000   32,672  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.125% 7/1/49 5,800   6,294  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.800% 3/1/50 23,370   24,466  
  Charter Communications Operating LLC / Charter Communications Operating Capital 6.834% 10/23/55 3,650   4,596  
  Comcast Cable Communications Holdings Inc. 9.455% 11/15/22 2,075   2,506  
  Comcast Corp. 3.450% 10/1/21 12,410   12,761  
  Comcast Corp. 3.125% 7/15/22 12,865   13,261  
  Comcast Corp. 2.750% 3/1/23 10,000   10,220  
  Comcast Corp. 3.000% 2/1/24 35,340   36,616  
  Comcast Corp. 3.600% 3/1/24 4,275   4,527  
  Comcast Corp. 3.700% 4/15/24 10,000   10,638  
  Comcast Corp. 3.375% 2/15/25 9,400   9,903  
  Comcast Corp. 3.375% 8/15/25 21,132   22,416  
  Comcast Corp. 3.950% 10/15/25 18,988   20,692  
  Comcast Corp. 3.150% 3/1/26 20,255   21,164  
  Comcast Corp. 2.350% 1/15/27 13,515   13,475  
  Comcast Corp. 3.300% 2/1/27 12,135   12,825  
  Comcast Corp. 3.150% 2/15/28 17,300   18,108  
  Comcast Corp. 4.150% 10/15/28 48,362   54,428  
  Comcast Corp. 2.650% 2/1/30 19,000   19,015  
  Comcast Corp. 4.250% 10/15/30 9,500   10,801  
  Comcast Corp. 4.250% 1/15/33 15,535   17,807  
  Comcast Corp. 7.050% 3/15/33 2,200   3,145  
  Comcast Corp. 4.200% 8/15/34 8,400   9,581  
  Comcast Corp. 5.650% 6/15/35 5,990   7,860  
  Comcast Corp. 4.400% 8/15/35 17,405   20,365  
  Comcast Corp. 6.500% 11/15/35 13,950   19,653  
  Comcast Corp. 3.200% 7/15/36 8,175   8,320  
  Comcast Corp. 6.450% 3/15/37 8,723   12,175  
  Comcast Corp. 6.950% 8/15/37 8,748   12,807  
  Comcast Corp. 3.900% 3/1/38 5,000   5,518  
  Comcast Corp. 6.400% 5/15/38 4,604   6,394  
  Comcast Corp. 4.600% 10/15/38 26,600   31,561  
  Comcast Corp. 6.550% 7/1/39 3,475   4,960  

 

88

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Comcast Corp. 3.250% 11/1/39 14,700   14,785  
  Comcast Corp. 6.400% 3/1/40 6,325   8,860  
  Comcast Corp. 4.650% 7/15/42 18,460   21,943  
  Comcast Corp. 4.500% 1/15/43 6,150   7,175  
  Comcast Corp. 4.600% 8/15/45 15,592   18,595  
  Comcast Corp. 3.400% 7/15/46 17,315   17,385  
  Comcast Corp. 3.969% 11/1/47 30,268   33,028  
  Comcast Corp. 4.000% 3/1/48 8,875   9,757  
  Comcast Corp. 4.700% 10/15/48 27,580   33,945  
  Comcast Corp. 3.999% 11/1/49 22,900   25,302  
  Comcast Corp. 3.450% 2/1/50 21,500   21,922  
  Comcast Corp. 4.049% 11/1/52 8,780   9,898  
  Comcast Corp. 4.950% 10/15/58 21,460   27,903  
  Crown Castle International Corp. 3.400% 2/15/21 12,725   12,912  
  Crown Castle International Corp. 2.250% 9/1/21 8,608   8,616  
  Crown Castle International Corp. 4.875% 4/15/22 7,500   7,931  
  Crown Castle International Corp. 5.250% 1/15/23 10,765   11,670  
  Crown Castle International Corp. 3.150% 7/15/23 5,525   5,667  
  Crown Castle International Corp. 3.200% 9/1/24 10,750   11,067  
  Crown Castle International Corp. 4.450% 2/15/26 12,170   13,281  
  Crown Castle International Corp. 3.700% 6/15/26 19,130   20,220  
  Crown Castle International Corp. 4.000% 3/1/27 2,275   2,448  
  Crown Castle International Corp. 3.650% 9/1/27 10,000   10,536  
  Crown Castle International Corp. 3.800% 2/15/28 16,200   17,213  
  Crown Castle International Corp. 4.300% 2/15/29 3,175   3,504  
  Crown Castle International Corp. 4.750% 5/15/47 3,200   3,685  
  Crown Castle International Corp. 5.200% 2/15/49 5,350   6,551  
  Deutsche Telekom International Finance BV 8.750% 6/15/30 36,833   54,045  
  Discovery Communications LLC 4.375% 6/15/21 1,420   1,463  
  Discovery Communications LLC 3.500% 6/15/22 6,725   6,899  
  Discovery Communications LLC 2.950% 3/20/23 7,900   8,046  
  Discovery Communications LLC 3.250% 4/1/23 1,325   1,362  
  Discovery Communications LLC 3.800% 3/13/24 3,640   3,831  
  Discovery Communications LLC 3.900% 11/15/24 7,525   7,983  
  Discovery Communications LLC 3.450% 3/15/25 4,900   5,070  
  Discovery Communications LLC 3.950% 6/15/25 4,000   4,243  
  Discovery Communications LLC 4.900% 3/11/26 9,000   10,051  
  Discovery Communications LLC 3.950% 3/20/28 20,400   21,760  
  Discovery Communications LLC 4.125% 5/15/29 2,000   2,147  
  Discovery Communications LLC 5.000% 9/20/37 14,300   16,140  
  Discovery Communications LLC 6.350% 6/1/40 7,835   9,883  
  Discovery Communications LLC 4.950% 5/15/42 8,821   9,647  
  Discovery Communications LLC 4.875% 4/1/43 7,665   8,314  
  Discovery Communications LLC 5.200% 9/20/47 12,029   13,930  
  Discovery Communications LLC 5.300% 5/15/49 2,385   2,822  
  Electronic Arts Inc. 3.700% 3/1/21 10,060   10,235  
  Electronic Arts Inc. 4.800% 3/1/26 3,090   3,478  
7 Fox Corp. 3.666% 1/25/22 5,580   5,763  
7 Fox Corp. 4.030% 1/25/24 14,925   15,895  
7 Fox Corp. 4.709% 1/25/29 17,025   19,352  
7 Fox Corp. 5.476% 1/25/39 10,800   13,131  
7 Fox Corp. 5.576% 1/25/49 23,500   29,574  
  Grupo Televisa SAB 6.625% 3/18/25 2,025   2,375  
  Grupo Televisa SAB 4.625% 1/30/26 7,420   7,986  

 

89

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Grupo Televisa SAB 8.500% 3/11/32 275   373  
  Grupo Televisa SAB 6.625% 1/15/40 4,845   6,085  
  Grupo Televisa SAB 5.000% 5/13/45 20,160   21,255  
  Grupo Televisa SAB 5.250% 5/24/49 5,100   5,512  
  Interpublic Group of Cos. Inc. 3.750% 10/1/21 1,075   1,103  
  Interpublic Group of Cos. Inc. 3.750% 2/15/23 11,196   11,693  
  Interpublic Group of Cos. Inc. 4.200% 4/15/24 4,320   4,640  
  Interpublic Group of Cos. Inc. 4.650% 10/1/28 4,425   4,971  
  Interpublic Group of Cos. Inc. 5.400% 10/1/48 5,000   6,122  
  Koninklijke KPN NV 8.375% 10/1/30 5,000   6,938  
  Moody’s Corp. 3.250% 6/7/21 1,900   1,932  
  Moody’s Corp. 2.750% 12/15/21 2,884   2,925  
  Moody’s Corp. 4.500% 9/1/22 4,908   5,190  
  Moody’s Corp. 4.875% 2/15/24 7,965   8,761  
  Moody’s Corp. 5.250% 7/15/44 5,515   7,019  
  NBCUniversal Media LLC 4.375% 4/1/21 15,570   16,054  
  NBCUniversal Media LLC 2.875% 1/15/23 24,149   24,783  
  NBCUniversal Media LLC 6.400% 4/30/40 6,300   8,806  
  NBCUniversal Media LLC 5.950% 4/1/41 3,395   4,666  
  NBCUniversal Media LLC 4.450% 1/15/43 8,500   9,857  
  Omnicom Group Inc. / Omnicom Capital Inc. 3.625% 5/1/22 12,051   12,463  
  Omnicom Group Inc. / Omnicom Capital Inc. 3.650% 11/1/24 7,375   7,756  
  Omnicom Group Inc. / Omnicom Capital Inc. 3.600% 4/15/26 12,675   13,326  
  Orange SA 4.125% 9/14/21 14,622   15,156  
  Orange SA 9.000% 3/1/31 16,090   24,890  
  Orange SA 5.375% 1/13/42 11,690   14,975  
  Orange SA 5.500% 2/6/44 4,770   6,324  
  RELX Capital Inc. 3.125% 10/15/22 7,634   7,893  
  RELX Capital Inc. 3.500% 3/16/23 6,300   6,539  
  RELX Capital Inc. 4.000% 3/18/29 4,000   4,333  
  Rogers Communications Inc. 3.000% 3/15/23 5,000   5,122  
  Rogers Communications Inc. 4.100% 10/1/23 6,400   6,819  
  Rogers Communications Inc. 3.625% 12/15/25 5,435   5,753  
  Rogers Communications Inc. 2.900% 11/15/26 4,250   4,316  
  Rogers Communications Inc. 7.500% 8/15/38 300   437  
  Rogers Communications Inc. 4.500% 3/15/43 7,615   8,346  
  Rogers Communications Inc. 5.000% 3/15/44 5,000   6,052  
  Rogers Communications Inc. 4.300% 2/15/48 5,000   5,468  
  Rogers Communications Inc. 4.350% 5/1/49 16,000   17,776  
  Rogers Communications Inc. 3.700% 11/15/49 6,400   6,437  
  S&P Global Inc. 4.000% 6/15/25 6,225   6,738  
  S&P Global Inc. 4.400% 2/15/26 8,100   8,999  
  S&P Global Inc. 2.500% 12/1/29 5,300   5,310  
  S&P Global Inc. 4.500% 5/15/48 4,700   5,698  
  S&P Global Inc. 3.250% 12/1/49 8,500   8,677  
  TCI Communications Inc. 7.875% 2/15/26 1,675   2,173  
  TCI Communications Inc. 7.125% 2/15/28 725   959  
  Telefonica Emisiones SAU 5.213% 3/8/47 28,305   33,599  
  Telefonica Emisiones SAU 5.462% 2/16/21 13,000   13,488  
  Telefonica Emisiones SAU 4.570% 4/27/23 5,875   6,313  
  Telefonica Emisiones SAU 4.103% 3/8/27 13,275   14,340  
  Telefonica Emisiones SAU 7.045% 6/20/36 15,972   22,469  
  Telefonica Emisiones SAU 4.665% 3/6/38 11,270   12,717  
  Telefonica Emisiones SAU 4.895% 3/6/48 10,000   11,450  

 

90

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Telefonica Emisiones SAU 5.520% 3/1/49 13,650   17,074  
  Telefonica Europe BV 8.250% 9/15/30 8,362   12,021  
  TELUS Corp. 2.800% 2/16/27 8,525   8,531  
  TELUS Corp. 4.300% 6/15/49 5,300   5,847  
  Thomson Reuters Corp. 4.300% 11/23/23 4,515   4,844  
  Thomson Reuters Corp. 3.350% 5/15/26 5,310   5,454  
  Thomson Reuters Corp. 5.500% 8/15/35 3,075   3,438  
  Thomson Reuters Corp. 5.850% 4/15/40 4,111   4,910  
  Thomson Reuters Corp. 5.650% 11/23/43 2,750   3,240  
  Time Warner Cable LLC 4.125% 2/15/21 5,506   5,593  
  Time Warner Cable LLC 4.000% 9/1/21 10,125   10,365  
  Time Warner Cable LLC 6.550% 5/1/37 14,905   18,265  
  Time Warner Cable LLC 7.300% 7/1/38 14,348   18,772  
  Time Warner Cable LLC 6.750% 6/15/39 18,092   22,833  
  Time Warner Cable LLC 5.875% 11/15/40 10,185   11,668  
  Time Warner Cable LLC 5.500% 9/1/41 14,600   16,290  
  Time Warner Cable LLC 4.500% 9/15/42 16,460   16,678  
  Time Warner Entertainment Co. LP 8.375% 7/15/33 4,175   5,860  
  TWDC Enterprises 18 Corp. 2.950% 6/15/27 250   263  
  Verizon Communications Inc. 3.450% 3/15/21 6,775   6,905  
  Verizon Communications Inc. 4.600% 4/1/21 7,860   8,124  
  Verizon Communications Inc. 2.946% 3/15/22 23,453   23,934  
  Verizon Communications Inc. 3.125% 3/16/22 15,540   15,929  
  Verizon Communications Inc. 2.450% 11/1/22 11,550   11,694  
  Verizon Communications Inc. 5.150% 9/15/23 38,305   42,465  
  Verizon Communications Inc. 3.500% 11/1/24 21,266   22,508  
  Verizon Communications Inc. 3.376% 2/15/25 25,500   26,957  
  Verizon Communications Inc. 2.625% 8/15/26 17,800   18,044  
  Verizon Communications Inc. 4.125% 3/16/27 28,725   31,760  
  Verizon Communications Inc. 4.329% 9/21/28 47,414   53,746  
  Verizon Communications Inc. 4.016% 12/3/29 38,264   42,596  
  Verizon Communications Inc. 4.500% 8/10/33 40,244   46,715  
  Verizon Communications Inc. 4.400% 11/1/34 28,630   33,116  
  Verizon Communications Inc. 4.272% 1/15/36 26,017   29,315  
  Verizon Communications Inc. 5.250% 3/16/37 29,730   37,303  
  Verizon Communications Inc. 4.812% 3/15/39 23,100   27,932  
  Verizon Communications Inc. 4.750% 11/1/41 14,350   17,342  
  Verizon Communications Inc. 3.850% 11/1/42 7,974   8,535  
  Verizon Communications Inc. 4.125% 8/15/46 6,330   7,133  
  Verizon Communications Inc. 4.862% 8/21/46 46,840   57,991  
  Verizon Communications Inc. 4.522% 9/15/48 22,817   27,243  
  Verizon Communications Inc. 5.012% 4/15/49 34,410   44,002  
  Verizon Communications Inc. 4.672% 3/15/55 27,000   33,129  
  ViacomCBS Inc. 3.875% 12/15/21 9,090   9,403  
  ViacomCBS Inc. 4.250% 9/1/23 21,450   22,832  
  ViacomCBS Inc. 3.875% 4/1/24 4,989   5,278  
  ViacomCBS Inc. 6.875% 4/30/36 4,610   6,171  
  ViacomCBS Inc. 4.375% 3/15/43 15,810   16,736  
  ViacomCBS Inc. 5.850% 9/1/43 14,770   18,507  
  ViacomCBS Inc. 4.300% 2/15/21 4,150   4,226  
  ViacomCBS Inc. 3.375% 3/1/22 1,000   1,023  
  ViacomCBS Inc. 2.500% 2/15/23 8,650   8,739  
  ViacomCBS Inc. 2.900% 6/1/23 3,550   3,612  
  ViacomCBS Inc. 3.700% 8/15/24 5,125   5,404  

 

91

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  ViacomCBS Inc. 3.500% 1/15/25 4,825   5,048  
  ViacomCBS Inc. 4.000% 1/15/26 3,000   3,212  
  ViacomCBS Inc. 2.900% 1/15/27 25,450   25,432  
  ViacomCBS Inc. 3.375% 2/15/28 4,075   4,197  
  ViacomCBS Inc. 3.700% 6/1/28 8,575   8,942  
  ViacomCBS Inc. 5.500% 5/15/33 3,700   4,415  
  ViacomCBS Inc. 5.900% 10/15/40 2,525   3,055  
  ViacomCBS Inc. 4.850% 7/1/42 10,293   11,364  
  ViacomCBS Inc. 4.900% 8/15/44 5,040   5,698  
  Vodafone Group plc 3.750% 1/16/24 22,750   23,993  
  Vodafone Group plc 4.125% 5/30/25 14,125   15,261  
  Vodafone Group plc 4.375% 5/30/28 39,300   43,452  
  Vodafone Group plc 7.875% 2/15/30 6,163   8,536  
  Vodafone Group plc 6.250% 11/30/32 5,145   6,512  
  Vodafone Group plc 6.150% 2/27/37 2,495   3,207  
  Vodafone Group plc 5.000% 5/30/38 20,819   24,256  
  Vodafone Group plc 4.375% 2/19/43 12,155   13,065  
  Vodafone Group plc 5.250% 5/30/48 30,445   36,783  
  Vodafone Group plc 4.875% 6/19/49 17,749   20,424  
  Vodafone Group plc 4.250% 9/17/50 20,000   20,774  
  Walt Disney Co. 2.300% 2/12/21 5,000   5,026  
  Walt Disney Co. 4.500% 2/15/21 14,500   14,919  
  Walt Disney Co. 2.550% 2/15/22 2,950   2,995  
  Walt Disney Co. 2.450% 3/4/22 3,000   3,045  
  Walt Disney Co. 3.000% 9/15/22 22,439   23,107  
  Walt Disney Co. 2.350% 12/1/22 2,300   2,333  
  Walt Disney Co. 1.750% 8/30/24 5,000   4,944  
  Walt Disney Co. 3.700% 9/15/24 10,176   10,874  
  Walt Disney Co. 3.150% 9/17/25 3,800   4,037  
  Walt Disney Co. 3.700% 10/15/25 4,810   5,202  
  Walt Disney Co. 3.000% 2/13/26 8,285   8,715  
  Walt Disney Co. 1.850% 7/30/26 7,720   7,572  
  Walt Disney Co. 3.375% 11/15/26 8,060   8,622  
  Walt Disney Co. 2.000% 9/1/29 22,200   21,516  
  Walt Disney Co. 7.000% 3/1/32 2,925   4,237  
  Walt Disney Co. 6.550% 3/15/33 2,415   3,402  
  Walt Disney Co. 6.200% 12/15/34 8,795   12,266  
  Walt Disney Co. 6.400% 12/15/35 12,950   18,515  
  Walt Disney Co. 6.150% 3/1/37 14,208   19,770  
  Walt Disney Co. 6.650% 11/15/37 5,000   7,429  
  Walt Disney Co. 4.375% 8/16/41 3,310   3,945  
  Walt Disney Co. 4.125% 12/1/41 11,701   13,492  
  Walt Disney Co. 3.700% 12/1/42 8,195   8,924  
  Walt Disney Co. 5.400% 10/1/43 6,133   8,309  
  Walt Disney Co. 4.750% 9/15/44 11,795   14,859  
  Walt Disney Co. 2.750% 9/1/49 15,000   14,095  
  Weibo Corp. 3.500% 7/5/24 6,875   7,009  
  WPP Finance 2010 3.625% 9/7/22 4,400   4,549  
  WPP Finance 2010 3.750% 9/19/24 4,490   4,723  
               
  Consumer Cyclical (1.9%)            
  Advance Auto Parts Inc. 4.500% 1/15/22 325   337  
  Advance Auto Parts Inc. 4.500% 12/1/23 1,850   1,984  
  Alibaba Group Holding Ltd. 3.125% 11/28/21 10,185   10,383  
  Alibaba Group Holding Ltd. 2.800% 6/6/23 6,625   6,727  

 

92

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Alibaba Group Holding Ltd. 3.600% 11/28/24 19,390   20,368  
  Alibaba Group Holding Ltd. 3.400% 12/6/27 26,025   27,122  
  Alibaba Group Holding Ltd. 4.500% 11/28/34 4,870   5,512  
  Alibaba Group Holding Ltd. 4.000% 12/6/37 8,575   9,212  
  Alibaba Group Holding Ltd. 4.200% 12/6/47 14,525   16,108  
  Alibaba Group Holding Ltd. 4.400% 12/6/57 8,500   9,710  
  Amazon.com Inc. 3.300% 12/5/21 7,999   8,223  
  Amazon.com Inc. 2.500% 11/29/22 2,505   2,553  
  Amazon.com Inc. 2.400% 2/22/23 14,620   14,833  
  Amazon.com Inc. 2.800% 8/22/24 18,822   19,478  
  Amazon.com Inc. 3.800% 12/5/24 9,380   10,137  
  Amazon.com Inc. 5.200% 12/3/25 7,460   8,659  
  Amazon.com Inc. 3.150% 8/22/27 26,705   28,215  
  Amazon.com Inc. 4.800% 12/5/34 12,070   15,205  
  Amazon.com Inc. 3.875% 8/22/37 27,490   31,231  
  Amazon.com Inc. 4.950% 12/5/44 13,910   18,197  
  Amazon.com Inc. 4.050% 8/22/47 25,355   29,697  
  Amazon.com Inc. 4.250% 8/22/57 19,075   23,181  
  American Honda Finance Corp. 3.150% 1/8/21 5,075   5,137  
  American Honda Finance Corp. 2.650% 2/12/21 15,000   15,138  
  American Honda Finance Corp. 1.650% 7/12/21 4,450   4,436  
  American Honda Finance Corp. 1.700% 9/9/21 16,925   16,881  
  American Honda Finance Corp. 3.375% 12/10/21 3,500   3,605  
  American Honda Finance Corp. 1.950% 5/20/22 5,640   5,659  
  American Honda Finance Corp. 2.200% 6/27/22 6,250   6,293  
  American Honda Finance Corp. 2.600% 11/16/22 4,825   4,917  
  American Honda Finance Corp. 2.050% 1/10/23 3,050   3,059  
  American Honda Finance Corp. 3.450% 7/14/23 4,130   4,320  
  American Honda Finance Corp. 3.625% 10/10/23 4,175   4,404  
  American Honda Finance Corp. 2.900% 2/16/24 6,100   6,276  
  American Honda Finance Corp. 2.400% 6/27/24 4,200   4,249  
  American Honda Finance Corp. 2.150% 9/10/24 6,000   6,001  
  American Honda Finance Corp. 2.300% 9/9/26 3,650   3,638  
  American Honda Finance Corp. 3.500% 2/15/28 2,000   2,151  
  Aptiv Corp. 4.150% 3/15/24 8,355   8,835  
  Aptiv plc 4.250% 1/15/26 2,550   2,746  
  Aptiv plc 4.350% 3/15/29 1,400   1,518  
  Aptiv plc 4.400% 10/1/46 4,825   4,617  
  Aptiv plc 5.400% 3/15/49 3,390   3,821  
  Automatic Data Processing Inc. 3.375% 9/15/25 8,850   9,394  
  AutoNation Inc. 3.350% 1/15/21 5,135   5,180  
  AutoNation Inc. 3.500% 11/15/24 2,300   2,369  
  AutoNation Inc. 4.500% 10/1/25 9,905   10,643  
  AutoNation Inc. 3.800% 11/15/27 6,075   6,127  
  AutoZone Inc. 2.500% 4/15/21 1,125   1,130  
  AutoZone Inc. 3.700% 4/15/22 8,325   8,589  
  AutoZone Inc. 2.875% 1/15/23 3,080   3,134  
  AutoZone Inc. 3.125% 4/18/24 1,900   1,973  
  AutoZone Inc. 3.250% 4/15/25 7,940   8,264  
  AutoZone Inc. 3.125% 4/21/26 5,200   5,355  
  AutoZone Inc. 3.750% 6/1/27 11,500   12,260  
  AutoZone Inc. 3.750% 4/18/29 5,665   6,055  
  Best Buy Co. Inc. 5.500% 3/15/21 650   670  
  Best Buy Co. Inc. 4.450% 10/1/28 9,000   9,848  

 

93

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Block Financial LLC 5.500% 11/1/22 5,000   5,350  
  Block Financial LLC 5.250% 10/1/25 13,075   14,307  
  Booking Holdings Inc. 2.750% 3/15/23 2,275   2,321  
  Booking Holdings Inc. 3.650% 3/15/25 9,850   10,510  
  Booking Holdings Inc. 3.600% 6/1/26 11,245   12,013  
  Booking Holdings Inc. 3.550% 3/15/28 8,255   8,780  
  BorgWarner Inc. 3.375% 3/15/25 1,225   1,278  
  BorgWarner Inc. 4.375% 3/15/45 3,765   3,831  
  Costco Wholesale Corp. 2.150% 5/18/21 8,000   8,037  
  Costco Wholesale Corp. 2.250% 2/15/22 4,800   4,848  
  Costco Wholesale Corp. 2.300% 5/18/22 7,875   7,971  
  Costco Wholesale Corp. 2.750% 5/18/24 10,000   10,312  
  Costco Wholesale Corp. 3.000% 5/18/27 8,412   8,877  
  Cummins Inc. 3.650% 10/1/23 2,790   2,950  
  Cummins Inc. 7.125% 3/1/28 100   133  
  Cummins Inc. 4.875% 10/1/43 7,190   8,768  
  Daimler Finance North America LLC 8.500% 1/18/31 8,820   13,115  
  Darden Restaurants Inc. 3.850% 5/1/27 4,275   4,475  
  Darden Restaurants Inc. 4.550% 2/15/48 3,850   3,901  
  Dollar General Corp. 3.250% 4/15/23 9,468   9,774  
  Dollar General Corp. 4.150% 11/1/25 3,100   3,367  
  Dollar General Corp. 3.875% 4/15/27 5,525   5,921  
  Dollar General Corp. 4.125% 5/1/28 4,400   4,815  
  Dollar Tree Inc. 3.700% 5/15/23 4,500   4,683  
  Dollar Tree Inc. 4.000% 5/15/25 12,580   13,446  
  Dollar Tree Inc. 4.200% 5/15/28 10,125   10,846  
  DR Horton Inc. 2.550% 12/1/20 875   879  
  DR Horton Inc. 4.375% 9/15/22 3,800   3,984  
  DR Horton Inc. 4.750% 2/15/23 3,675   3,910  
  DR Horton Inc. 5.750% 8/15/23 4,050   4,477  
  DR Horton Inc. 2.500% 10/15/24 5,030   5,031  
  eBay Inc. 2.875% 8/1/21 5,675   5,741  
  eBay Inc. 3.800% 3/9/22 7,615   7,869  
  eBay Inc. 2.600% 7/15/22 5,030   5,074  
  eBay Inc. 2.750% 1/30/23 7,400   7,503  
  eBay Inc. 3.450% 8/1/24 4,050   4,219  
  eBay Inc. 3.600% 6/5/27 6,100   6,366  
  eBay Inc. 4.000% 7/15/42 7,095   6,993  
  Expedia Group Inc. 4.500% 8/15/24 2,775   2,968  
  Expedia Group Inc. 5.000% 2/15/26 5,315   5,830  
  Expedia Group Inc. 3.800% 2/15/28 8,870   9,042  
7 Expedia Group Inc. 3.250% 2/15/30 11,355   10,917  
  Ford Holdings LLC 9.300% 3/1/30 1,175   1,480  
  Ford Motor Co. 4.346% 12/8/26 11,100   11,432  
  Ford Motor Co. 6.625% 10/1/28 6,300   6,943  
  Ford Motor Co. 6.375% 2/1/29 3,425   3,667  
  Ford Motor Co. 7.450% 7/16/31 11,600   13,688  
  Ford Motor Co. 4.750% 1/15/43 17,475   15,485  
  Ford Motor Co. 7.400% 11/1/46 2,950   3,310  
  Ford Motor Co. 5.291% 12/8/46 11,550   10,920  
  Ford Motor Credit Co. LLC 2.343% 11/2/20 8,518   8,500  
  Ford Motor Credit Co. LLC 3.200% 1/15/21 11,150   11,189  
  Ford Motor Credit Co. LLC 5.750% 2/1/21 2,681   2,764  
  Ford Motor Credit Co. LLC 3.336% 3/18/21 15,000   15,109  

 

94

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Ford Motor Credit Co. LLC 5.875% 8/2/21 17,314   18,104  
  Ford Motor Credit Co. LLC 3.813% 10/12/21 13,375   13,598  
  Ford Motor Credit Co. LLC 5.596% 1/7/22 11,800   12,417  
  Ford Motor Credit Co. LLC 3.219% 1/9/22 8,060   8,108  
  Ford Motor Credit Co. LLC 3.339% 3/28/22 10,300   10,388  
  Ford Motor Credit Co. LLC 2.979% 8/3/22 10,000   10,004  
  Ford Motor Credit Co. LLC 4.250% 9/20/22 6,700   6,920  
  Ford Motor Credit Co. LLC 3.350% 11/1/22 15,000   15,139  
  Ford Motor Credit Co. LLC 4.375% 8/6/23 9,625   9,977  
  Ford Motor Credit Co. LLC 3.810% 1/9/24 7,825   7,935  
  Ford Motor Credit Co. LLC 5.584% 3/18/24 4,000   4,314  
  Ford Motor Credit Co. LLC 3.664% 9/8/24 8,238   8,244  
  Ford Motor Credit Co. LLC 4.063% 11/1/24 10,000   10,198  
  Ford Motor Credit Co. LLC 4.687% 6/9/25 5,500   5,700  
  Ford Motor Credit Co. LLC 4.134% 8/4/25 20,250   20,503  
  Ford Motor Credit Co. LLC 4.389% 1/8/26 13,475   13,690  
  Ford Motor Credit Co. LLC 4.542% 8/1/26 9,800   10,017  
  Ford Motor Credit Co. LLC 3.815% 11/2/27 13,600   13,136  
  Ford Motor Credit Co. LLC 5.113% 5/3/29 13,000   13,356  
  General Motors Co. 4.875% 10/2/23 20,533   22,038  
  General Motors Co. 4.000% 4/1/25 11,489   11,960  
  General Motors Co. 4.200% 10/1/27 1,500   1,534  
  General Motors Co. 5.000% 10/1/28 6,075   6,581  
  General Motors Co. 5.000% 4/1/35 10,505   10,829  
  General Motors Co. 6.600% 4/1/36 10,736   12,636  
  General Motors Co. 5.150% 4/1/38 11,940   12,228  
  General Motors Co. 6.250% 10/2/43 11,550   12,912  
  General Motors Co. 5.200% 4/1/45 11,963   12,002  
  General Motors Co. 6.750% 4/1/46 10,965   12,844  
  General Motors Co. 5.400% 4/1/48 5,600   5,764  
  General Motors Co. 5.950% 4/1/49 6,775   7,496  
  General Motors Financial Co. Inc. 4.200% 3/1/21 8,065   8,234  
  General Motors Financial Co. Inc. 3.550% 4/9/21 6,550   6,652  
  General Motors Financial Co. Inc. 3.200% 7/6/21 14,317   14,490  
  General Motors Financial Co. Inc. 4.375% 9/25/21 3,440   3,562  
  General Motors Financial Co. Inc. 4.200% 11/6/21 4,050   4,188  
  General Motors Financial Co. Inc. 3.450% 1/14/22 6,765   6,922  
  General Motors Financial Co. Inc. 3.450% 4/10/22 20,089   20,547  
  General Motors Financial Co. Inc. 3.150% 6/30/22 3,225   3,284  
  General Motors Financial Co. Inc. 3.550% 7/8/22 10,000   10,289  
  General Motors Financial Co. Inc. 3.250% 1/5/23 3,075   3,136  
  General Motors Financial Co. Inc. 3.700% 5/9/23 8,030   8,279  
  General Motors Financial Co. Inc. 4.250% 5/15/23 9,768   10,282  
  General Motors Financial Co. Inc. 4.150% 6/19/23 8,000   8,409  
  General Motors Financial Co. Inc. 5.100% 1/17/24 12,371   13,424  
  General Motors Financial Co. Inc. 3.950% 4/13/24 7,150   7,473  
  General Motors Financial Co. Inc. 3.500% 11/7/24 17,065   17,559  
  General Motors Financial Co. Inc. 4.000% 1/15/25 7,945   8,348  
  General Motors Financial Co. Inc. 4.350% 4/9/25 10,600   11,342  
  General Motors Financial Co. Inc. 4.300% 7/13/25 125   133  
  General Motors Financial Co. Inc. 5.250% 3/1/26 4,900   5,433  
  General Motors Financial Co. Inc. 4.000% 10/6/26 5,475   5,725  
  General Motors Financial Co. Inc. 4.350% 1/17/27 18,050   19,002  
  General Motors Financial Co. Inc. 3.850% 1/5/28 4,375   4,445  

 

95

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  General Motors Financial Co. Inc. 5.650% 1/17/29 4,075   4,623  
  GLP Capital LP / GLP Financing II Inc. 4.375% 4/15/21 2,720   2,770  
  GLP Capital LP / GLP Financing II Inc. 5.375% 11/1/23 5,000   5,434  
  GLP Capital LP / GLP Financing II Inc. 5.250% 6/1/25 9,354   10,198  
  GLP Capital LP / GLP Financing II Inc. 5.375% 4/15/26 8,406   9,188  
  GLP Capital LP / GLP Financing II Inc. 5.750% 6/1/28 750   847  
  GLP Capital LP / GLP Financing II Inc. 5.300% 1/15/29 5,225   5,821  
  GLP Capital LP / GLP Financing II Inc. 4.000% 1/15/30 4,000   4,072  
  Harley-Davidson Inc. 3.500% 7/28/25 6,850   7,101  
  Harley-Davidson Inc. 4.625% 7/28/45 5,685   5,844  
  Harman International Industries Inc. 4.150% 5/15/25 3,475   3,695  
  Home Depot Inc. 2.000% 4/1/21 5,975   5,990  
  Home Depot Inc. 4.400% 4/1/21 10,425   10,690  
  Home Depot Inc. 3.250% 3/1/22 3,000   3,098  
  Home Depot Inc. 2.625% 6/1/22 20,494   20,898  
  Home Depot Inc. 2.700% 4/1/23 3,300   3,379  
  Home Depot Inc. 3.750% 2/15/24 16,699   17,844  
  Home Depot Inc. 3.350% 9/15/25 9,550   10,199  
  Home Depot Inc. 3.000% 4/1/26 16,400   17,122  
  Home Depot Inc. 2.125% 9/15/26 9,775   9,747  
  Home Depot Inc. 2.800% 9/14/27 9,375   9,717  
  Home Depot Inc. 3.900% 12/6/28 2,190   2,444  
  Home Depot Inc. 2.950% 6/15/29 6,025   6,257  
  Home Depot Inc. 5.875% 12/16/36 26,456   36,417  
  Home Depot Inc. 5.400% 9/15/40 4,625   6,055  
  Home Depot Inc. 5.950% 4/1/41 5,480   7,702  
  Home Depot Inc. 4.200% 4/1/43 13,125   15,245  
  Home Depot Inc. 4.875% 2/15/44 10,325   13,071  
  Home Depot Inc. 4.400% 3/15/45 7,525   8,958  
  Home Depot Inc. 4.250% 4/1/46 13,745   16,192  
  Home Depot Inc. 3.900% 6/15/47 8,680   9,782  
  Home Depot Inc. 4.500% 12/6/48 13,065   16,093  
  Home Depot Inc. 3.500% 9/15/56 10,085   10,561  
  Hyatt Hotels Corp. 3.375% 7/15/23 4,185   4,299  
  Hyatt Hotels Corp. 4.850% 3/15/26 2,125   2,352  
  Hyatt Hotels Corp. 4.375% 9/15/28 3,805   4,130  
  IHS Markit Ltd. 3.625% 5/1/24 7,000   7,263  
  IHS Markit Ltd. 4.750% 8/1/28 8,865   9,862  
  IHS Markit Ltd. 4.250% 5/1/29 4,200   4,526  
  JD.com Inc. 3.125% 4/29/21 796   800  
  JD.com Inc. 3.875% 4/29/26 4,077   4,226  
  Kohl’s Corp. 3.250% 2/1/23 1,700   1,729  
  Kohl’s Corp. 4.750% 12/15/23 1,062   1,132  
  Kohl’s Corp. 4.250% 7/17/25 6,577   6,994  
  Kohl’s Corp. 5.550% 7/17/45 3,825   3,896  
  Las Vegas Sands Corp. 3.200% 8/8/24 11,545   11,910  
  Las Vegas Sands Corp. 2.900% 6/25/25 4,560   4,606  
  Las Vegas Sands Corp. 3.500% 8/18/26 6,430   6,611  
  Las Vegas Sands Corp. 3.900% 8/8/29 3,200   3,338  
  Lear Corp. 5.250% 1/15/25 5,625   5,790  
  Lear Corp. 3.800% 9/15/27 3,050   3,084  
  Lear Corp. 4.250% 5/15/29 6,850   7,061  
  Lear Corp. 5.250% 5/15/49 6,650   6,910  
  Lowe’s Cos. Inc. 3.750% 4/15/21 3,745   3,810  

 

96

 

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Lowe’s Cos. Inc. 3.800% 11/15/21 2,675   2,753  
  Lowe’s Cos. Inc. 3.120% 4/15/22 1,875   1,919  
  Lowe’s Cos. Inc. 3.875% 9/15/23 10,844   11,477  
  Lowe’s Cos. Inc. 3.125% 9/15/24 2,900   3,012  
  Lowe’s Cos. Inc. 3.375% 9/15/25 12,835   13,488  
  Lowe’s Cos. Inc. 2.500% 4/15/26 19,425   19,559  
  Lowe’s Cos. Inc. 3.100% 5/3/27 4,875   5,032  
  Lowe’s Cos. Inc. 6.500% 3/15/29 267   339  
  Lowe’s Cos. Inc. 3.650% 4/5/29 11,355   12,122  
  Lowe’s Cos. Inc. 4.650% 4/15/42 7,075   8,049  
  Lowe’s Cos. Inc. 4.250% 9/15/44 1,950   2,102  
  Lowe’s Cos. Inc. 4.375% 9/15/45 11,175   12,225  
  Lowe’s Cos. Inc. 3.700% 4/15/46 12,590   12,796  
  Lowe’s Cos. Inc. 4.050% 5/3/47 16,562   17,859  
  Lowe’s Cos. Inc. 4.550% 4/5/49 9,075   10,589  
  Macy’s Retail Holdings Inc. 3.450% 1/15/21 2,665   2,688  
  Macy’s Retail Holdings Inc. 3.875% 1/15/22 1,142   1,164  
  Macy’s Retail Holdings Inc. 2.875% 2/15/23 14,493   14,427  
  Macy’s Retail Holdings Inc. 3.625% 6/1/24 4,320   4,358  
  Macy’s Retail Holdings Inc. 4.500% 12/15/34 1,947   1,848  
  Magna International Inc. 3.625% 6/15/24 9,445   9,923  
  Magna International Inc. 4.150% 10/1/25 2,775   2,983  
  Marriott International Inc. 2.875% 3/1/21 2,500   2,524  
  Marriott International Inc. 3.125% 10/15/21 4,825   4,902  
  Marriott International Inc. 2.300% 1/15/22 2,000   2,008  
  Marriott International Inc. 3.250% 9/15/22 3,525   3,617  
  Marriott International Inc. 3.750% 3/15/25 4,800   5,068  
  Marriott International Inc. 3.750% 10/1/25 2,190   2,325  
  Marriott International Inc. 3.125% 6/15/26 4,090   4,232  
  Marriott International Inc. 4.000% 4/15/28 8,975   9,674  
  Marriott International Inc. 2.125% 10/3/22 4,000   3,999  
  Marriott International Inc. 3.600% 4/15/24 8,390   8,817  
  Mastercard Inc. 2.000% 11/21/21 5,230   5,255  
  Mastercard Inc. 3.375% 4/1/24 13,320   14,118  
  Mastercard Inc. 2.000% 3/3/25 13,325   13,252  
  Mastercard Inc. 2.950% 11/21/26 4,800   5,006  
  Mastercard Inc. 3.500% 2/26/28 7,670   8,298  
  Mastercard Inc. 2.950% 6/1/29 8,825   9,199  
  Mastercard Inc. 3.800% 11/21/46 4,350   4,870  
  Mastercard Inc. 3.950% 2/26/48 5,030   5,803  
  Mastercard Inc. 3.650% 6/1/49 12,530   13,809  
  McDonald’s Corp. 2.750% 12/9/20 9,289   9,348  
  McDonald’s Corp. 3.625% 5/20/21 1,750   1,790  
  McDonald’s Corp. 2.625% 1/15/22 16,265   16,485  
  McDonald’s Corp. 3.350% 4/1/23 10,775   11,219  
  McDonald’s Corp. 3.375% 5/26/25 11,405   12,037  
  McDonald’s Corp. 3.700% 1/30/26 22,340   23,972  
  McDonald’s Corp. 3.500% 3/1/27 11,275   12,013  
  McDonald’s Corp. 3.800% 4/1/28 11,900   12,906  
  McDonald’s Corp. 2.625% 9/1/29 8,700   8,679  
  McDonald’s Corp. 4.700% 12/9/35 7,900   9,389  
  McDonald’s Corp. 6.300% 10/15/37 425   577  
  McDonald’s Corp. 6.300% 3/1/38 3,925   5,341  
  McDonald’s Corp. 5.700% 2/1/39 5,175   6,575  

 

97

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  McDonald’s Corp. 3.700% 2/15/42 16,175   16,492  
  McDonald’s Corp. 3.625% 5/1/43 4,300   4,306  
  McDonald’s Corp. 4.600% 5/26/45 6,860   7,866  
  McDonald’s Corp. 4.875% 12/9/45 15,500   18,693  
  McDonald’s Corp. 4.450% 3/1/47 7,890   9,041  
  McDonald’s Corp. 4.450% 9/1/48 7,755   8,833  
  McDonald’s Corp. 3.625% 9/1/49 5,000   5,075  
  NIKE Inc. 2.250% 5/1/23 625   635  
  NIKE Inc. 2.375% 11/1/26 15,000   15,244  
  NIKE Inc. 3.625% 5/1/43 6,025   6,568  
  NIKE Inc. 3.875% 11/1/45 10,575   12,032  
  NIKE Inc. 3.375% 11/1/46 8,125   8,567  
  Nordstrom Inc. 4.000% 10/15/21 5,315   5,453  
  Nordstrom Inc. 4.000% 3/15/27 5,825   6,037  
  Nordstrom Inc. 6.950% 3/15/28 1,540   1,860  
  Nordstrom Inc. 4.375% 4/1/30 6,293   6,410  
  Nordstrom Inc. 5.000% 1/15/44 7,670   7,441  
  NVR Inc. 3.950% 9/15/22 16,588   17,288  
  O’Reilly Automotive Inc. 4.875% 1/14/21 500   511  
  O’Reilly Automotive Inc. 4.625% 9/15/21 125   129  
  O’Reilly Automotive Inc. 3.800% 9/1/22 4,979   5,167  
  O’Reilly Automotive Inc. 3.850% 6/15/23 7,025   7,343  
  O’Reilly Automotive Inc. 3.550% 3/15/26 1,525   1,605  
  O’Reilly Automotive Inc. 3.600% 9/1/27 13,395   14,301  
  O’Reilly Automotive Inc. 4.350% 6/1/28 1,675   1,865  
  PACCAR Financial Corp. 2.050% 11/13/20 3,575   3,579  
  PACCAR Financial Corp. 2.250% 2/25/21 1,500   1,506  
  PACCAR Financial Corp. 2.800% 3/1/21 3,300   3,336  
  PACCAR Financial Corp. 3.150% 8/9/21 4,000   4,080  
  PACCAR Financial Corp. 2.850% 3/1/22 1,500   1,531  
  PACCAR Financial Corp. 2.650% 5/10/22 5,000   5,092  
  PACCAR Financial Corp. 2.300% 8/10/22 2,300   2,324  
  PACCAR Financial Corp. 2.000% 9/26/22 1,000   1,005  
  PACCAR Financial Corp. 3.400% 8/9/23 7,000   7,305  
  PACCAR Financial Corp. 2.150% 8/15/24 3,500   3,490  
  QVC Inc. 5.125% 7/2/22 3,510   3,696  
  QVC Inc. 4.375% 3/15/23 5,100   5,255  
  QVC Inc. 4.850% 4/1/24 5,315   5,579  
  QVC Inc. 4.450% 2/15/25 1,150   1,187  
  QVC Inc. 5.450% 8/15/34 825   788  
  QVC Inc. 5.950% 3/15/43 4,050   3,845  
  Ralph Lauren Corp. 3.750% 9/15/25 3,850   4,137  
  Royal Caribbean Cruises Ltd. 5.250% 11/15/22 3,750   4,045  
  Royal Caribbean Cruises Ltd. 3.700% 3/15/28 5,725   5,918  
  Sands China Ltd. 4.600% 8/8/23 15,935   16,752  
  Sands China Ltd. 5.125% 8/8/25 15,500   17,069  
  Sands China Ltd. 5.400% 8/8/28 15,750   17,719  
  Starbucks Corp. 2.100% 2/4/21 6,375   6,383  
  Starbucks Corp. 2.700% 6/15/22 2,920   2,975  
  Starbucks Corp. 3.100% 3/1/23 10,435   10,766  
  Starbucks Corp. 3.850% 10/1/23 6,450   6,832  
  Starbucks Corp. 3.800% 8/15/25 13,800   14,862  
  Starbucks Corp. 2.450% 6/15/26 11,585   11,697  
  Starbucks Corp. 3.500% 3/1/28 5,575   5,953  

 

98

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Starbucks Corp. 4.000% 11/15/28 7,100   7,856  
  Starbucks Corp. 3.550% 8/15/29 4,950   5,365  
  Starbucks Corp. 4.300% 6/15/45 1,800   1,990  
  Starbucks Corp. 3.750% 12/1/47 7,300   7,476  
  Starbucks Corp. 4.500% 11/15/48 14,375   16,503  
  Tapestry Inc. 3.000% 7/15/22 2,850   2,886  
  Tapestry Inc. 4.250% 4/1/25 3,746   3,944  
  Tapestry Inc. 4.125% 7/15/27 6,520   6,638  
  Target Corp. 2.900% 1/15/22 9,305   9,519  
  Target Corp. 3.500% 7/1/24 9,386   10,051  
  Target Corp. 2.500% 4/15/26 9,290   9,503  
  Target Corp. 3.375% 4/15/29 9,100   9,874  
  Target Corp. 6.350% 11/1/32 2,180   3,047  
  Target Corp. 6.500% 10/15/37 5,208   7,706  
  Target Corp. 7.000% 1/15/38 3,725   5,783  
  Target Corp. 4.000% 7/1/42 17,000   19,451  
  Target Corp. 3.625% 4/15/46 9,665   10,565  
  Target Corp. 3.900% 11/15/47 4,175   4,791  
  TJX Cos. Inc. 2.750% 6/15/21 17,825   18,045  
  TJX Cos. Inc. 2.500% 5/15/23 5,798   5,907  
  TJX Cos. Inc. 2.250% 9/15/26 10,275   10,275  
  Toyota Motor Corp. 3.183% 7/20/21 7,000   7,142  
  Toyota Motor Corp. 2.157% 7/2/22 5,485   5,527  
  Toyota Motor Corp. 3.419% 7/20/23 8,500   8,909  
  Toyota Motor Corp. 2.358% 7/2/24 11,015   11,192  
  Toyota Motor Corp. 3.669% 7/20/28 5,150   5,657  
  Toyota Motor Corp. 2.760% 7/2/29 7,000   7,209  
  Toyota Motor Credit Corp. 3.050% 1/8/21 300   303  
  Toyota Motor Credit Corp. 4.250% 1/11/21 2,200   2,253  
  Toyota Motor Credit Corp. 1.900% 4/8/21 15,771   15,783  
  Toyota Motor Credit Corp. 2.950% 4/13/21 11,565   11,730  
  Toyota Motor Credit Corp. 2.750% 5/17/21 4,200   4,249  
  Toyota Motor Credit Corp. 3.400% 9/15/21 7,019   7,194  
  Toyota Motor Credit Corp. 1.800% 10/7/21 3,400   3,396  
  Toyota Motor Credit Corp. 2.600% 1/11/22 8,300   8,424  
  Toyota Motor Credit Corp. 3.300% 1/12/22 9,650   9,918  
  Toyota Motor Credit Corp. 2.650% 4/12/22 24,000   24,391  
  Toyota Motor Credit Corp. 2.800% 7/13/22 1,065   1,089  
  Toyota Motor Credit Corp. 2.150% 9/8/22 12,100   12,194  
  Toyota Motor Credit Corp. 2.625% 1/10/23 6,725   6,855  
  Toyota Motor Credit Corp. 2.700% 1/11/23 3,950   4,030  
  Toyota Motor Credit Corp. 2.250% 10/18/23 4,050   4,082  
  Toyota Motor Credit Corp. 3.350% 1/8/24 200   210  
  Toyota Motor Credit Corp. 2.900% 4/17/24 4,600   4,759  
  Toyota Motor Credit Corp. 3.400% 4/14/25 3,025   3,217  
  Toyota Motor Credit Corp. 3.200% 1/11/27 8,600   9,091  
  Toyota Motor Credit Corp. 3.050% 1/11/28 13,475   14,133  
  Toyota Motor Credit Corp. 3.650% 1/8/29 3,475   3,821  
  VF Corp. 3.500% 9/1/21 8,035   8,216  
  VF Corp. 6.450% 11/1/37 4,475   6,218  
  Visa Inc. 2.200% 12/14/20 27,535   27,635  
  Visa Inc. 2.150% 9/15/22 8,000   8,087  
  Visa Inc. 2.800% 12/14/22 16,775   17,236  
  Visa Inc. 3.150% 12/14/25 41,980   44,323  

 

99

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Visa Inc. 2.750% 9/15/27 8,550   8,920  
  Visa Inc. 4.150% 12/14/35 17,330   20,428  
  Visa Inc. 4.300% 12/14/45 32,110   39,540  
  Visa Inc. 3.650% 9/15/47 6,950   7,793  
  Walgreen Co. 3.100% 9/15/22 7,185   7,328  
  Walgreen Co. 4.400% 9/15/42 4,276   4,245  
  Walgreens Boots Alliance Inc. 3.300% 11/18/21 6,250   6,367  
  Walgreens Boots Alliance Inc. 3.800% 11/18/24 17,825   18,546  
  Walgreens Boots Alliance Inc. 3.450% 6/1/26 18,010   18,277  
  Walgreens Boots Alliance Inc. 4.500% 11/18/34 4,270   4,395  
  Walgreens Boots Alliance Inc. 4.800% 11/18/44 13,605   13,843  
  Walgreens Boots Alliance Inc. 4.650% 6/1/46 5,220   5,232  
  Walmart Inc. 1.900% 12/15/20 37,415   37,464  
  Walmart Inc. 3.125% 6/23/21 14,000   14,288  
  Walmart Inc. 2.350% 12/15/22 11,040   11,227  
  Walmart Inc. 2.550% 4/11/23 12,735   12,993  
  Walmart Inc. 3.400% 6/26/23 12,475   13,099  
  Walmart Inc. 3.300% 4/22/24 16,600   17,428  
  Walmart Inc. 2.850% 7/8/24 19,235   19,903  
  Walmart Inc. 2.650% 12/15/24 18,312   18,872  
  Walmart Inc. 3.550% 6/26/25 18,650   19,955  
  Walmart Inc. 3.050% 7/8/26 13,000   13,652  
  Walmart Inc. 5.875% 4/5/27 8,160   10,048  
  Walmart Inc. 3.700% 6/26/28 20,475   22,541  
  Walmart Inc. 3.250% 7/8/29 11,100   11,901  
  Walmart Inc. 2.375% 9/24/29 4,635   4,640  
  Walmart Inc. 7.550% 2/15/30 4,191   6,066  
  Walmart Inc. 5.250% 9/1/35 16,090   21,095  
  Walmart Inc. 6.200% 4/15/38 13,580   19,772  
  Walmart Inc. 3.950% 6/28/38 7,175   8,332  
  Walmart Inc. 5.625% 4/1/40 7,685   10,663  
  Walmart Inc. 4.875% 7/8/40 7,145   9,038  
  Walmart Inc. 5.000% 10/25/40 2,155   2,804  
  Walmart Inc. 5.625% 4/15/41 4,810   6,855  
  Walmart Inc. 4.000% 4/11/43 8,385   9,650  
  Walmart Inc. 4.300% 4/22/44 5,250   6,273  
  Walmart Inc. 3.625% 12/15/47 13,315   14,737  
  Walmart Inc. 4.050% 6/29/48 19,025   22,402  
  Walmart Inc. 2.950% 9/24/49 5,200   5,090  
  Western Union Co. 3.600% 3/15/22 4,725   4,875  
  Western Union Co. 2.850% 1/10/25 4,500   4,513  
  Western Union Co. 6.200% 11/17/36 5,025   5,698  
  Western Union Co. 6.200% 6/21/40 1,430   1,576  
               
  Consumer Noncyclical (4.3%)            
  Abbott Laboratories 2.550% 3/15/22 5,725   5,818  
  Abbott Laboratories 3.400% 11/30/23 17,551   18,432  
  Abbott Laboratories 2.950% 3/15/25 3,900   4,044  
  Abbott Laboratories 3.875% 9/15/25 4,750   5,171  
  Abbott Laboratories 3.750% 11/30/26 18,036   19,682  
  Abbott Laboratories 4.750% 11/30/36 24,310   30,292  
  Abbott Laboratories 6.150% 11/30/37 3,830   5,364  
  Abbott Laboratories 6.000% 4/1/39 350   498  
  Abbott Laboratories 5.300% 5/27/40 1,851   2,415  

 

100

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Abbott Laboratories 4.750% 4/15/43 7,325   9,200  
  Abbott Laboratories 4.900% 11/30/46 28,810   37,617  
  AbbVie Inc. 2.300% 5/14/21 13,650   13,690  
  AbbVie Inc. 3.375% 11/14/21 9,125   9,351  
7 AbbVie Inc. 2.150% 11/19/21 16,785   16,828  
  AbbVie Inc. 2.900% 11/6/22 27,707   28,256  
  AbbVie Inc. 3.200% 11/6/22 15,666   16,105  
7 AbbVie Inc. 2.300% 11/21/22 26,075   26,172  
  AbbVie Inc. 2.850% 5/14/23 13,825   14,090  
  AbbVie Inc. 3.750% 11/14/23 13,300   13,991  
7 AbbVie Inc. 2.600% 11/21/24 32,000   32,217  
  AbbVie Inc. 3.600% 5/14/25 33,510   35,367  
  AbbVie Inc. 3.200% 5/14/26 17,230   17,821  
7 AbbVie Inc. 2.950% 11/21/26 34,250   34,727  
  AbbVie Inc. 4.250% 11/14/28 14,870   16,437  
7 AbbVie Inc. 3.200% 11/21/29 49,512   50,405  
  AbbVie Inc. 4.500% 5/14/35 22,415   25,196  
  AbbVie Inc. 4.300% 5/14/36 9,275   10,180  
7 AbbVie Inc. 4.050% 11/21/39 34,445   35,990  
  AbbVie Inc. 4.400% 11/6/42 24,318   26,218  
  AbbVie Inc. 4.700% 5/14/45 24,978   27,883  
  AbbVie Inc. 4.450% 5/14/46 18,943   20,392  
  AbbVie Inc. 4.875% 11/14/48 15,341   17,613  
7 AbbVie Inc. 4.250% 11/21/49 54,540   57,414  
  Actavis Inc. 3.250% 10/1/22 21,214   21,678  
  Adventist Health System 2.952% 3/1/29 4,420   4,362  
  Adventist Health System 3.630% 3/1/49 4,745   4,619  
  Advocate Health & Hospitals Corp. 3.829% 8/15/28 2,300   2,489  
  Advocate Health & Hospitals Corp. 4.272% 8/15/48 4,050   4,608  
  Advocate Health & Hospitals Corp. 3.387% 10/15/49 3,275   3,264  
  Agilent Technologies Inc. 3.200% 10/1/22 6,015   6,154  
  Agilent Technologies Inc. 3.875% 7/15/23 3,975   4,167  
  Agilent Technologies Inc. 3.050% 9/22/26 6,700   6,831  
  Agilent Technologies Inc. 2.750% 9/15/29 1,000   989  
  Ahold Finance USA LLC 6.875% 5/1/29 1,100   1,429  
  AHS Hospital Corp. 5.024% 7/1/45 3,300   4,091  
  Allergan Finance LLC 4.625% 10/1/42 6,310   6,566  
  Allergan Funding SCS 3.450% 3/15/22 19,650   20,100  
  Allergan Funding SCS 3.850% 6/15/24 9,625   10,084  
  Allergan Funding SCS 3.800% 3/15/25 26,023   27,260  
  Allergan Funding SCS 4.550% 3/15/35 13,620   14,463  
  Allergan Funding SCS 4.850% 6/15/44 12,616   14,008  
  Allergan Funding SCS 4.750% 3/15/45 4,125   4,483  
  Allergan Inc. 2.800% 3/15/23 650   655  
  Allina Health System 3.887% 4/15/49 3,750   3,990  
  Altria Group Inc. 4.750% 5/5/21 9,840   10,181  
  Altria Group Inc. 3.490% 2/14/22 9,830   10,113  
  Altria Group Inc. 2.850% 8/9/22 14,175   14,435  
  Altria Group Inc. 2.950% 5/2/23 3,200   3,236  
  Altria Group Inc. 4.000% 1/31/24 11,900   12,605  
  Altria Group Inc. 3.800% 2/14/24 2,700   2,838  
  Altria Group Inc. 4.400% 2/14/26 13,025   14,145  
  Altria Group Inc. 2.625% 9/16/26 2,200   2,174  
  Altria Group Inc. 4.800% 2/14/29 24,775   27,511  

 

101

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Altria Group Inc. 5.800% 2/14/39 22,900   26,778  
  Altria Group Inc. 4.250% 8/9/42 7,841   7,798  
  Altria Group Inc. 4.500% 5/2/43 9,059   9,196  
  Altria Group Inc. 5.375% 1/31/44 12,738   14,344  
  Altria Group Inc. 3.875% 9/16/46 8,475   7,871  
  Altria Group Inc. 5.950% 2/14/49 24,025   29,047  
  Altria Group Inc. 6.200% 2/14/59 5,165   6,104  
  AmerisourceBergen Corp. 3.500% 11/15/21 6,550   6,708  
  AmerisourceBergen Corp. 3.400% 5/15/24 7,375   7,643  
  AmerisourceBergen Corp. 3.250% 3/1/25 5,725   5,916  
  AmerisourceBergen Corp. 3.450% 12/15/27 6,525   6,766  
  AmerisourceBergen Corp. 4.250% 3/1/45 1,682   1,708  
  AmerisourceBergen Corp. 4.300% 12/15/47 8,588   8,804  
  Amgen Inc. 4.100% 6/15/21 7,515   7,706  
  Amgen Inc. 1.850% 8/19/21 6,925   6,912  
  Amgen Inc. 3.875% 11/15/21 6,245   6,442  
  Amgen Inc. 2.700% 5/1/22 3,675   3,724  
  Amgen Inc. 2.650% 5/11/22 13,372   13,564  
  Amgen Inc. 3.625% 5/15/22 11,075   11,453  
  Amgen Inc. 2.250% 8/19/23 7,100   7,160  
  Amgen Inc. 3.625% 5/22/24 15,438   16,296  
  Amgen Inc. 3.125% 5/1/25 3,100   3,236  
  Amgen Inc. 2.600% 8/19/26 16,425   16,598  
  Amgen Inc. 3.200% 11/2/27 4,430   4,643  
  Amgen Inc. 6.400% 2/1/39 2,100   2,789  
  Amgen Inc. 4.950% 10/1/41 8,625   10,242  
  Amgen Inc. 5.150% 11/15/41 6,800   8,224  
  Amgen Inc. 4.400% 5/1/45 23,530   26,374  
  Amgen Inc. 4.563% 6/15/48 15,252   17,595  
  Amgen Inc. 4.663% 6/15/51 33,643   39,558  
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 4.900% 2/1/46 118,223   139,993  
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 3.650% 2/1/26 37,899   40,346  
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 4.700% 2/1/36 59,111   68,169  
  Anheuser-Busch InBev Finance Inc. 2.625% 1/17/23 13,929   14,161  
  Anheuser-Busch InBev Finance Inc. 3.300% 2/1/23 24,837   25,695  
  Anheuser-Busch InBev Finance Inc. 3.700% 2/1/24 14,106   14,948  
  Anheuser-Busch InBev Finance Inc. 4.000% 1/17/43 12,425   13,105  
  Anheuser-Busch InBev Finance Inc. 4.625% 2/1/44 8,986   10,121  
  Anheuser-Busch InBev Finance Inc. 4.900% 2/1/46 5,342   6,300  
  Anheuser-Busch InBev Worldwide Inc. 4.375% 2/15/21 2,587   2,646  
  Anheuser-Busch InBev Worldwide Inc. 2.500% 7/15/22 3,605   3,666  
  Anheuser-Busch InBev Worldwide Inc. 3.500% 1/12/24 12,587   13,258  
  Anheuser-Busch InBev Worldwide Inc. 4.150% 1/23/25 21,530   23,422  
  Anheuser-Busch InBev Worldwide Inc. 4.000% 4/13/28 26,680   29,297  
  Anheuser-Busch InBev Worldwide Inc. 4.750% 1/23/29 41,293   47,820  
  Anheuser-Busch InBev Worldwide Inc. 4.900% 1/23/31 15,150   18,028  
  Anheuser-Busch InBev Worldwide Inc. 4.375% 4/15/38 14,325   16,063  
  Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 6,050   9,480  
  Anheuser-Busch InBev Worldwide Inc. 5.450% 1/23/39 3,400   4,275  
  Anheuser-Busch InBev Worldwide Inc. 4.950% 1/15/42 14,276   16,825  
  Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 16,357   16,557  

 

102

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Anheuser-Busch InBev Worldwide Inc. 4.600% 4/15/48 22,325   25,371  
  Anheuser-Busch InBev Worldwide Inc. 4.439% 10/6/48 19,110   21,353  
  Anheuser-Busch InBev Worldwide Inc. 5.550% 1/23/49 33,925   43,972  
  Anheuser-Busch InBev Worldwide Inc. 4.750% 4/15/58 14,760   17,230  
  Anheuser-Busch InBev Worldwide Inc. 5.800% 1/23/59 8,485   11,564  
  Archer-Daniels-Midland Co. 4.479% 3/1/21 587   604  
  Archer-Daniels-Midland Co. 3.375% 3/15/22 8,525   8,772  
  Archer-Daniels-Midland Co. 2.500% 8/11/26 8,750   8,883  
  Archer-Daniels-Midland Co. 5.935% 10/1/32 530   693  
  Archer-Daniels-Midland Co. 5.375% 9/15/35 2,395   3,026  
  Archer-Daniels-Midland Co. 4.535% 3/26/42 7,600   9,017  
  Archer-Daniels-Midland Co. 4.016% 4/16/43 6,416   7,106  
  Archer-Daniels-Midland Co. 3.750% 9/15/47 6,500   7,078  
  Archer-Daniels-Midland Co. 4.500% 3/15/49 5,325   6,496  
  Ascension Health 2.532% 11/15/29 5,226   5,159  
  Ascension Health 3.106% 11/15/39 4,450   4,376  
  Ascension Health 3.945% 11/15/46 8,010   8,854  
4 Ascension Health 4.847% 11/15/53 1,875   2,361  
  AstraZeneca plc 2.375% 11/16/20 12,950   12,995  
  AstraZeneca plc 2.375% 6/12/22 7,875   7,938  
  AstraZeneca plc 3.500% 8/17/23 12,260   12,812  
  AstraZeneca plc 3.375% 11/16/25 19,368   20,522  
  AstraZeneca plc 3.125% 6/12/27 5,100   5,305  
  AstraZeneca plc 4.000% 1/17/29 8,075   8,953  
  AstraZeneca plc 6.450% 9/15/37 23,043   32,259  
  AstraZeneca plc 4.000% 9/18/42 10,740   11,845  
  AstraZeneca plc 4.375% 11/16/45 8,300   9,718  
  AstraZeneca plc 4.375% 8/17/48 6,660   7,925  
  BAT Capital Corp. 2.764% 8/15/22 11,750   11,911  
  BAT Capital Corp. 3.222% 8/15/24 38,060   38,879  
  BAT Capital Corp. 2.789% 9/6/24 8,650   8,696  
  BAT Capital Corp. 3.215% 9/6/26 9,250   9,295  
  BAT Capital Corp. 3.557% 8/15/27 31,250   31,815  
  BAT Capital Corp. 3.462% 9/6/29 6,343   6,427  
  BAT Capital Corp. 4.390% 8/15/37 21,650   21,946  
  BAT Capital Corp. 4.540% 8/15/47 19,725   19,721  
  BAT Capital Corp. 4.758% 9/6/49 9,650   9,955  
  Baxalta Inc. 3.600% 6/23/22 3,605   3,697  
  Baxalta Inc. 4.000% 6/23/25 7,133   7,654  
  Baxalta Inc. 5.250% 6/23/45 4,188   5,337  
  Baxter International Inc. 1.700% 8/15/21 4,425   4,417  
  Baxter International Inc. 2.600% 8/15/26 2,025   2,038  
  Baxter International Inc. 3.500% 8/15/46 4,850   4,685  
  Baylor Scott & White Holdings 4.185% 11/15/45 4,230   4,723  
  Beam Suntory Inc. 3.250% 5/15/22 600   612  
  Beam Suntory Inc. 3.250% 6/15/23 1,400   1,422  
  Becton Dickinson & Co. 3.125% 11/8/21 11,235   11,449  
  Becton Dickinson & Co. 2.894% 6/6/22 20,650   20,980  
  Becton Dickinson & Co. 3.300% 3/1/23 3,000   3,055  
  Becton Dickinson & Co. 3.875% 5/15/24 1,231   1,294  
  Becton Dickinson & Co. 3.363% 6/6/24 14,426   14,994  
  Becton Dickinson & Co. 3.734% 12/15/24 11,128   11,790  
  Becton Dickinson & Co. 6.700% 12/1/26 2,300   2,748  
  Becton Dickinson & Co. 3.700% 6/6/27 14,860   15,798  

 

103

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Becton Dickinson & Co. 4.875% 5/15/44 940   1,081  
  Becton Dickinson & Co. 4.685% 12/15/44 10,565   12,257  
  Becton Dickinson & Co. 4.669% 6/6/47 13,175   15,595  
  Bio-Rad Laboratories Inc. 4.875% 12/15/20 2,450   2,508  
  Biogen Inc. 3.625% 9/15/22 11,316   11,773  
  Biogen Inc. 4.050% 9/15/25 15,095   16,398  
  Biogen Inc. 5.200% 9/15/45 15,505   18,646  
  Boston Scientific Corp. 3.375% 5/15/22 2,975   3,071  
  Boston Scientific Corp. 3.450% 3/1/24 3,720   3,888  
  Boston Scientific Corp. 3.850% 5/15/25 3,382   3,626  
  Boston Scientific Corp. 3.750% 3/1/26 6,157   6,593  
  Boston Scientific Corp. 4.000% 3/1/29 9,115   10,062  
  Boston Scientific Corp. 7.000% 11/15/35 4,850   6,770  
  Boston Scientific Corp. 4.550% 3/1/39 7,275   8,534  
  Boston Scientific Corp. 7.375% 1/15/40 1,150   1,752  
  Boston Scientific Corp. 4.700% 3/1/49 9,140   11,061  
7 Bristol-Myers Squibb Co. 2.875% 2/19/21 1,175   1,187  
7 Bristol-Myers Squibb Co. 2.550% 5/14/21 11,100   11,208  
7 Bristol-Myers Squibb Co. 2.250% 8/15/21 3,450   3,470  
7 Bristol-Myers Squibb Co. 2.600% 5/16/22 13,325   13,536  
  Bristol-Myers Squibb Co. 2.000% 8/1/22 7,950   8,000  
7 Bristol-Myers Squibb Co. 3.250% 8/15/22 8,950   9,225  
7 Bristol-Myers Squibb Co. 3.550% 8/15/22 3,985   4,117  
7 Bristol-Myers Squibb Co. 2.750% 2/15/23 5,400   5,486  
7 Bristol-Myers Squibb Co. 3.250% 2/20/23 5,650   5,805  
  Bristol-Myers Squibb Co. 7.150% 6/15/23 100   116  
7 Bristol-Myers Squibb Co. 4.000% 8/15/23 3,550   3,783  
  Bristol-Myers Squibb Co. 3.250% 11/1/23 4,250   4,439  
7 Bristol-Myers Squibb Co. 3.625% 5/15/24 17,415   18,328  
7 Bristol-Myers Squibb Co. 2.900% 7/26/24 31,645   32,612  
7 Bristol-Myers Squibb Co. 3.875% 8/15/25 27,350   29,536  
7 Bristol-Myers Squibb Co. 3.200% 6/15/26 19,925   20,874  
7 Bristol-Myers Squibb Co. 3.450% 11/15/27 4,225   4,493  
7 Bristol-Myers Squibb Co. 3.900% 2/20/28 12,900   14,061  
7 Bristol-Myers Squibb Co. 3.400% 7/26/29 44,305   47,329  
7 Bristol-Myers Squibb Co. 4.125% 6/15/39 17,950   20,698  
7 Bristol-Myers Squibb Co. 5.700% 10/15/40 2,792   3,713  
  Bristol-Myers Squibb Co. 3.250% 8/1/42 4,265   4,290  
7 Bristol-Myers Squibb Co. 5.250% 8/15/43 5,130   6,537  
  Bristol-Myers Squibb Co. 4.500% 3/1/44 4,983   5,852  
7 Bristol-Myers Squibb Co. 4.625% 5/15/44 7,625   9,173  
7 Bristol-Myers Squibb Co. 5.000% 8/15/45 19,840   25,060  
7 Bristol-Myers Squibb Co. 4.350% 11/15/47 11,800   14,037  
7 Bristol-Myers Squibb Co. 4.550% 2/20/48 9,475   11,633  
7 Bristol-Myers Squibb Co. 4.250% 10/26/49 37,055   43,672  
  Brown-Forman Corp. 3.500% 4/15/25 3,250   3,462  
  Brown-Forman Corp. 4.500% 7/15/45 4,070   5,004  
  Bunge Ltd. Finance Corp. 3.000% 9/25/22 8,768   8,891  
  Bunge Ltd. Finance Corp. 4.350% 3/15/24 6,700   7,036  
  Bunge Ltd. Finance Corp. 3.250% 8/15/26 5,540   5,518  
  Bunge Ltd. Finance Corp. 3.750% 9/25/27 3,750   3,854  
  Campbell Soup Co. 3.300% 3/15/21 11,000   11,151  
  Campbell Soup Co. 2.500% 8/2/22 1,850   1,860  
  Campbell Soup Co. 3.650% 3/15/23 10,575   11,014  

 

104

 

 

Total Bond Market II Index Fund            
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Campbell Soup Co. 3.950% 3/15/25 8,660   9,187  
  Campbell Soup Co. 3.300% 3/19/25 4,125   4,240  
  Campbell Soup Co. 4.150% 3/15/28 8,950   9,680  
  Campbell Soup Co. 3.800% 8/2/42 3,150   3,084  
  Campbell Soup Co. 4.800% 3/15/48 5,635   6,512  
  Cardinal Health Inc. 4.625% 12/15/20 4,885   5,009  
  Cardinal Health Inc. 2.616% 6/15/22 8,550   8,634  
  Cardinal Health Inc. 3.200% 6/15/22 4,012   4,102  
  Cardinal Health Inc. 3.200% 3/15/23 4,450   4,562  
  Cardinal Health Inc. 3.079% 6/15/24 12,630   12,980  
  Cardinal Health Inc. 3.750% 9/15/25 1,750   1,852  
  Cardinal Health Inc. 3.410% 6/15/27 10,215   10,440  
  Cardinal Health Inc. 4.600% 3/15/43 4,150   4,143  
  Cardinal Health Inc. 4.500% 11/15/44 3,275   3,221  
  Cardinal Health Inc. 4.900% 9/15/45 3,580   3,707  
  Cardinal Health Inc. 4.368% 6/15/47 5,950   5,890  
  Children’s Hospital Corp. 4.115% 1/1/47 1,575   1,788  
  Children’s Hospital Medical Center 4.268% 5/15/44 1,050   1,178  
  CHRISTUS Health 4.341% 7/1/28 5,100   5,616  
  Church & Dwight Co. Inc. 2.450% 8/1/22 1,500   1,514  
  Church & Dwight Co. Inc. 3.150% 8/1/27 3,575   3,716  
  Church & Dwight Co. Inc. 3.950% 8/1/47 3,200   3,486  
7 Cigna Corp. 3.300% 2/25/21 6,000   6,075  
  Cigna Corp. 3.400% 9/17/21 5,585   5,710  
7 Cigna Corp. 4.750% 11/15/21 12,242   12,833  
7 Cigna Corp. 3.900% 2/15/22 13,466   13,899  
7 Cigna Corp. 4.000% 2/15/22 4,785   4,932  
7 Cigna Corp. 3.050% 11/30/22 5,500   5,596  
7 Cigna Corp. 3.000% 7/15/23 14,000   14,194  
  Cigna Corp. 3.750% 7/15/23 10,450   10,903  
7 Cigna Corp. 3.500% 6/15/24 12,680   13,199  
7 Cigna Corp. 3.250% 4/15/25 13,075   13,449  
  Cigna Corp. 4.125% 11/15/25 12,010   12,996  
7 Cigna Corp. 4.500% 2/25/26 19,100   20,670  
7 Cigna Corp. 3.400% 3/1/27 17,690   18,303  
7 Cigna Corp. 7.875% 5/15/27 362   469  
7 Cigna Corp. 3.050% 10/15/27 17,105   17,177  
  Cigna Corp. 4.375% 10/15/28 30,960   34,267  
  Cigna Corp. 4.800% 8/15/38 14,850   17,089  
7 Cigna Corp. 6.125% 11/15/41 4,034   5,087  
7 Cigna Corp. 5.375% 2/15/42 550   629  
7 Cigna Corp. 4.800% 7/15/46 15,575   17,922  
7 Cigna Corp. 3.875% 10/15/47 7,200   7,230  
  Cigna Corp. 4.900% 12/15/48 25,340   30,047  
  City of Hope 5.623% 11/15/43 2,000   2,645

 

  City of Hope 4.378% 8/15/48 7,375   8,470  
  Cleveland Clinic Foundation 4.858% 1/1/14 3,215   3,996  
  Clorox Co. 3.800% 11/15/21 1,238   1,278  
  Clorox Co. 3.050% 9/15/22 4,675   4,785  
  Clorox Co. 3.500% 12/15/24 3,925   4,148  
  Clorox Co. 3.100% 10/1/27 3,100   3,218  
  Clorox Co. 3.900% 5/15/28 6,500   7,131  
  Coca-Cola Co. 1.550% 9/1/21 10,550   10,533  
  Coca-Cola Co. 3.300% 9/1/21 4,955   5,074  

 

105

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Coca-Cola Co. 2.200% 5/25/22 3,625   3,660  
  Coca-Cola Co. 2.500% 4/1/23 10,229   10,438  
  Coca-Cola Co. 3.200% 11/1/23 9,850   10,339  
  Coca-Cola Co. 1.750% 9/6/24 8,625   8,595  
  Coca-Cola Co. 2.875% 10/27/25 10,650   11,096  
  Coca-Cola Co. 2.550% 6/1/26 7,825   8,005  
  Coca-Cola Co. 2.250% 9/1/26 12,315   12,391  
  Coca-Cola Co. 2.900% 5/25/27 1,875   1,962  
  Coca-Cola Co. 2.125% 9/6/29 6,200   6,027  
  Coca-Cola Consolidated Inc. 3.800% 11/25/25 8,117   8,501  
  Coca-Cola Femsa SAB de CV 3.875% 11/26/23 6,480   6,847  
  Coca-Cola Femsa SAB de CV 5.250% 11/26/43 7,800   9,595  
  Colgate-Palmolive Co. 2.450% 11/15/21 3,505   3,551  
  Colgate-Palmolive Co. 2.300% 5/3/22 5,561   5,642  
  Colgate-Palmolive Co. 2.250% 11/15/22 14,525   14,721  
  Colgate-Palmolive Co. 1.950% 2/1/23 4,200   4,217  
  Colgate-Palmolive Co. 2.100% 5/1/23 4,450   4,484  
  Colgate-Palmolive Co. 3.250% 3/15/24 4,682   4,950  
  Colgate-Palmolive Co. 4.000% 8/15/45 4,720   5,618  
  Colgate-Palmolive Co. 3.700% 8/1/47 4,190   4,819  
  CommonSpirit Health 2.950% 11/1/22 3,225   3,278  
  CommonSpirit Health 2.760% 10/1/24 5,000   5,030  
  CommonSpirit Health 3.347% 10/1/29 7,750   7,796  
4 CommonSpirit Health 4.350% 11/1/42 10,435   10,717  
  CommonSpirit Health 3.817% 10/1/49 2,500   2,428  
  CommonSpirit Health 4.187% 10/1/49 8,000   7,978  
  Conagra Brands Inc. 3.800% 10/22/21 10,550   10,871  
  Conagra Brands Inc. 3.250% 9/15/22 4,300   4,397  
  Conagra Brands Inc. 3.200% 1/25/23 6,011   6,192  
  Conagra Brands Inc. 4.300% 5/1/24 8,000   8,592  
  Conagra Brands Inc. 4.600% 11/1/25 12,025   13,248  
  Conagra Brands Inc. 7.000% 10/1/28 700   866  
  Conagra Brands Inc. 4.850% 11/1/28 10,950   12,498  
  Conagra Brands Inc. 8.250% 9/15/30 4,025   5,533  
  Conagra Brands Inc. 5.300% 11/1/38 10,675   12,657  
  Conagra Brands Inc. 5.400% 11/1/48 8,925   10,865  
  Constellation Brands Inc. 3.750% 5/1/21 4,261   4,352  
  Constellation Brands Inc. 2.700% 5/9/22 6,607   6,689  
  Constellation Brands Inc. 2.650% 11/7/22 6,825   6,916  
  Constellation Brands Inc. 3.200% 2/15/23 5,900   6,054  
  Constellation Brands Inc. 4.250% 5/1/23 16,800   17,795  
  Constellation Brands Inc. 4.750% 11/15/24 9,521   10,513  
  Constellation Brands Inc. 4.400% 11/15/25 3,375   3,678  
  Constellation Brands Inc. 4.750% 12/1/25 2,700   3,003  
  Constellation Brands Inc. 3.700% 12/6/26 5,625   5,971  
  Constellation Brands Inc. 3.500% 5/9/27 3,275   3,411  
  Constellation Brands Inc. 3.600% 2/15/28 8,495   8,922  
  Constellation Brands Inc. 3.150% 8/1/29 14,700   14,852  
  Constellation Brands Inc. 4.500% 5/9/47 4,500   4,832  
  Constellation Brands Inc. 4.100% 2/15/48 3,025   3,158  
  Constellation Brands Inc. 5.250% 11/15/48 4,525   5,492  
  Covidien International Finance SA 3.200% 6/15/22 5,869   6,010  
  Covidien International Finance SA 2.950% 6/15/23 2,530   2,591  
  CVS Health Corp. 3.350% 3/9/21 18,009   18,275  

 

106

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000 )
  CVS Health Corp. 2.125% 6/1/21 10,970   10,973  
  CVS Health Corp. 3.500% 7/20/22 12,345   12,742  
  CVS Health Corp. 2.750% 12/1/22 10,490   10,655  
  CVS Health Corp. 4.750% 12/1/22 9,000   9,577  
  CVS Health Corp. 3.700% 3/9/23 50,965   53,039  
  CVS Health Corp. 4.000% 12/5/23 6,780   7,172  
  CVS Health Corp. 3.375% 8/12/24 6,365   6,626  
  CVS Health Corp. 4.100% 3/25/25 43,680   46,816  
  CVS Health Corp. 3.875% 7/20/25 32,601   34,729  
  CVS Health Corp. 2.875% 6/1/26 24,935   25,282  
  CVS Health Corp. 3.000% 8/15/26 7,000   7,135  
  CVS Health Corp. 4.300% 3/25/28 77,175   84,110  
  CVS Health Corp. 3.250% 8/15/29 21,296   21,616  
  CVS Health Corp. 4.875% 7/20/35 5,475   6,238  
  CVS Health Corp. 4.780% 3/25/38 45,650   51,612  
  CVS Health Corp. 6.125% 9/15/39 3,950   5,067  
  CVS Health Corp. 5.300% 12/5/43 12,850   15,231  
  CVS Health Corp. 5.125% 7/20/45 35,360   41,636  
  CVS Health Corp. 5.050% 3/25/48 71,435   84,479  
  Danaher Corp. 3.350% 9/15/25 3,800   4,032  
  Danaher Corp. 4.375% 9/15/45 2,975   3,496  
  Dartmouth-Hitchcock Health 4.178% 8/1/48 3,100   3,429  
  Delhaize America LLC 9.000% 4/15/31 1,930   2,839  
  DH Europe Finance II Sarl 2.050% 11/15/22 9,115   9,105  
  DH Europe Finance II Sarl 2.200% 11/15/24 7,125   7,102  
  DH Europe Finance II Sarl 2.600% 11/15/29 7,000   6,970  
  DH Europe Finance II Sarl 3.250% 11/15/39 8,080   8,144  
  DH Europe Finance II Sarl 3.400% 11/15/49 8,555   8,743  
  Diageo Capital plc 2.625% 4/29/23 11,470   11,661  
  Diageo Capital plc 2.125% 10/24/24 9,400   9,385  
  Diageo Capital plc 3.875% 5/18/28 1,000   1,091  
  Diageo Capital plc 2.375% 10/24/29 6,250   6,147  
  Diageo Capital plc 5.875% 9/30/36 500   680  
  Diageo Capital plc 3.875% 4/29/43 5,469   6,026  
  Diageo Investment Corp. 2.875% 5/11/22 15,854   16,154  
  Diageo Investment Corp. 7.450% 4/15/35 1,450   2,170  
  Diageo Investment Corp. 4.250% 5/11/42 5,237   6,038  
  Dignity Health 3.125% 11/1/22 950   968  
  Dignity Health 3.812% 11/1/24 5,150   5,397  
  Dignity Health 4.500% 11/1/42 6,000   6,240  
  Dignity Health 5.267% 11/1/64 1,075   1,228  
  Duke University Health System Inc. 3.920% 6/1/47 4,300   4,790  
  Edwards Lifesciences Corp. 4.300% 6/15/28 4,750   5,265  
  Eli Lilly & Co. 2.350% 5/15/22 6,533   6,616  
  Eli Lilly & Co. 2.750% 6/1/25 3,158   3,254  
  Eli Lilly & Co. 3.375% 3/15/29 9,775   10,519  
  Eli Lilly & Co. 3.950% 3/15/49 16,578   19,090  
  Eli Lilly & Co. 4.150% 3/15/59 16,800   19,704  
  Estee Lauder Cos. Inc. 1.700% 5/10/21 2,825   2,818  
  Estee Lauder Cos. Inc. 3.150% 3/15/27 4,300   4,548  
  Estee Lauder Cos. Inc. 2.375% 12/1/29 2,000   1,997  
  Estee Lauder Cos. Inc. 6.000% 5/15/37 1,650   2,266  
  Estee Lauder Cos. Inc. 4.375% 6/15/45 4,125   4,891  
  Estee Lauder Cos. Inc. 4.150% 3/15/47 7,025   8,170  

 

107

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Estee Lauder Cos. Inc. 3.125% 12/1/49 5,885   5,868  
  Flowers Foods Inc. 4.375% 4/1/22 2,950   3,072  
  Flowers Foods Inc. 3.500% 10/1/26 3,500   3,593  
  Fomento Economico Mexicano SAB de CV 2.875% 5/10/23 600   608  
  Fomento Economico Mexicano SAB de CV 4.375% 5/10/43 3,550   3,953  
  General Mills Inc. 3.150% 12/15/21 7,875   8,042  
  General Mills Inc. 2.600% 10/12/22 4,550   4,615  
  General Mills Inc. 3.700% 10/17/23 12,550   13,217  
  General Mills Inc. 3.650% 2/15/24 3,885   4,082  
  General Mills Inc. 4.000% 4/17/25 1,000   1,082  
  General Mills Inc. 3.200% 2/10/27 4,675   4,903  
  General Mills Inc. 4.200% 4/17/28 8,675   9,648  
  General Mills Inc. 4.550% 4/17/38 6,825   7,922  
  General Mills Inc. 5.400% 6/15/40 4,075   5,004  
  General Mills Inc. 4.150% 2/15/43 4,375   4,698  
  General Mills Inc. 4.700% 4/17/48 5,620   6,691  
  Gilead Sciences Inc. 4.500% 4/1/21 8,450   8,661  
  Gilead Sciences Inc. 4.400% 12/1/21 17,764   18,520  
  Gilead Sciences Inc. 3.250% 9/1/22 8,635   8,920  
  Gilead Sciences Inc. 2.500% 9/1/23 17,775   18,041  
  Gilead Sciences Inc. 3.700% 4/1/24 16,816   17,852  
  Gilead Sciences Inc. 3.500% 2/1/25 15,260   16,187  
  Gilead Sciences Inc. 3.650% 3/1/26 22,046   23,699  
  Gilead Sciences Inc. 2.950% 3/1/27 22,400   23,232  
  Gilead Sciences Inc. 4.600% 9/1/35 9,394   11,232  
  Gilead Sciences Inc. 4.000% 9/1/36 6,200   6,879  
  Gilead Sciences Inc. 5.650% 12/1/41 8,810   11,564  
  Gilead Sciences Inc. 4.800% 4/1/44 16,050   19,194  
  Gilead Sciences Inc. 4.500% 2/1/45 15,825   18,266  
  Gilead Sciences Inc. 4.750% 3/1/46 22,266   26,594  
  Gilead Sciences Inc. 4.150% 3/1/47 15,825   17,505  
  GlaxoSmithKline Capital Inc. 2.800% 3/18/23 4,956   5,073  
  GlaxoSmithKline Capital Inc. 3.375% 5/15/23 11,925   12,418  
  GlaxoSmithKline Capital Inc. 3.625% 5/15/25 16,650   17,815  
  GlaxoSmithKline Capital Inc. 3.875% 5/15/28 13,525   14,893  
  GlaxoSmithKline Capital Inc. 5.375% 4/15/34 3,400   4,335  
  GlaxoSmithKline Capital Inc. 6.375% 5/15/38 26,539   37,945  
  GlaxoSmithKline Capital Inc. 4.200% 3/18/43 2,975   3,451  
  GlaxoSmithKline Capital plc 3.125% 5/14/21 20,500   20,827  
  GlaxoSmithKline Capital plc 2.850% 5/8/22 10,800   11,033  
  GlaxoSmithKline Capital plc 2.875% 6/1/22 14,275   14,579  
  GlaxoSmithKline Capital plc 3.000% 6/1/24 8,825   9,148  
  GlaxoSmithKline Capital plc 3.375% 6/1/29 8,900   9,522  
  Hackensack Meridian Health Inc. 4.211% 7/1/48 4,000   4,491  
  Hackensack Meridian Health Inc. 4.500% 7/1/57 2,100   2,470  
  Hasbro Inc. 3.150% 5/15/21 3,200   3,233  
  Hasbro Inc. 3.900% 11/19/29 8,000   8,049  
  Hasbro Inc. 6.350% 3/15/40 3,700   4,322  
  Hasbro Inc. 5.100% 5/15/44 4,413   4,389  
  HCA Inc. 4.750% 5/1/23 11,146   11,926  
  HCA Inc. 5.000% 3/15/24 17,690   19,304  
  HCA Inc. 5.250% 4/15/25 18,063   20,185  
  HCA Inc. 5.250% 6/15/26 13,022   14,585  
  HCA Inc. 4.500% 2/15/27 1,350   1,456  

 

108

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  HCA Inc. 4.125% 6/15/29 18,050   19,133  
  HCA Inc. 5.125% 6/15/39 11,085   12,277  
  HCA Inc. 5.500% 6/15/47 14,400   16,632  
  HCA Inc. 5.250% 6/15/49 17,795   20,019  
  Hershey Co. 4.125% 12/1/20 2,195   2,239  
  Hershey Co. 3.100% 5/15/21 4,250   4,319  
  Hershey Co. 2.625% 5/1/23 2,750   2,798  
  Hershey Co. 3.375% 5/15/23 10,050   10,534  
  Hershey Co. 2.050% 11/15/24 2,291   2,289  
  Hershey Co. 3.200% 8/21/25 2,695   2,822  
  Hershey Co. 2.300% 8/15/26 4,325   4,361  
  Hershey Co. 2.450% 11/15/29 5,381   5,386  
  Hershey Co. 3.125% 11/15/49 6,810   6,712  
  Indiana University Health Inc. Obligated Group 3.970% 11/1/48 5,450   6,116  
  Ingredion Inc. 3.200% 10/1/26 4,000   4,055  
  JM Smucker Co. 3.500% 10/15/21 7,245   7,429  
  JM Smucker Co. 3.000% 3/15/22 2,605   2,655  
  JM Smucker Co. 3.500% 3/15/25 3,950   4,143  
  JM Smucker Co. 3.375% 12/15/27 6,875   7,171  
  JM Smucker Co. 4.250% 3/15/35 2,650   2,874  
  JM Smucker Co. 4.375% 3/15/45 6,350   6,893  
  Johns Hopkins Health System Corp. 3.837% 5/15/46 3,125   3,415  
  Johnson & Johnson 1.950% 11/10/20 4,575   4,576  
  Johnson & Johnson 1.650% 3/1/21 10,450   10,426  
  Johnson & Johnson 3.550% 5/15/21 2,325   2,377  
  Johnson & Johnson 2.450% 12/5/21 5,000   5,064  
  Johnson & Johnson 2.250% 3/3/22 12,950   13,087  
  Johnson & Johnson 2.050% 3/1/23 5,969   6,003  
  Johnson & Johnson 6.730% 11/15/23 1,203   1,411  
  Johnson & Johnson 3.375% 12/5/23 6,875   7,289  
  Johnson & Johnson 2.625% 1/15/25 8,425   8,679  
  Johnson & Johnson 2.450% 3/1/26 11,450   11,626  
  Johnson & Johnson 2.950% 3/3/27 8,550   8,957  
  Johnson & Johnson 2.900% 1/15/28 6,580   6,862  
  Johnson & Johnson 6.950% 9/1/29 2,650   3,711  
  Johnson & Johnson 4.950% 5/15/33 6,100   7,615  
  Johnson & Johnson 4.375% 12/5/33 12,279   14,597  
  Johnson & Johnson 3.550% 3/1/36 8,500   9,305  
  Johnson & Johnson 3.625% 3/3/37 12,425   13,702  
  Johnson & Johnson 5.950% 8/15/37 4,489   6,385  
  Johnson & Johnson 3.400% 1/15/38 8,000   8,559  
  Johnson & Johnson 5.850% 7/15/38 3,797   5,372  
  Johnson & Johnson 4.500% 9/1/40 5,000   6,077  
  Johnson & Johnson 4.850% 5/15/41 825   1,051  
  Johnson & Johnson 4.500% 12/5/43 7,620   9,364  
  Johnson & Johnson 3.700% 3/1/46 17,925   20,223  
  Johnson & Johnson 3.750% 3/3/47 15,131   17,218  
  Johnson & Johnson 3.500% 1/15/48 7,200   7,774  
  Kaiser Foundation Hospitals 3.500% 4/1/22 1,835   1,896  
  Kaiser Foundation Hospitals 3.150% 5/1/27 4,900   5,105  
  Kaiser Foundation Hospitals 4.875% 4/1/42 5,300   6,495  
  Kaiser Foundation Hospitals 4.150% 5/1/47 12,075   13,766  
  Kaiser Foundation Hospitals 3.266% 11/1/49 8,000   8,026  
  Kellogg Co. 4.000% 12/15/20 1,459   1,484  

 

109

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Kellogg Co. 2.650% 12/1/23 4,536   4,619  
  Kellogg Co. 3.250% 4/1/26 5,025   5,215  
  Kellogg Co. 3.400% 11/15/27 10,475   10,953  
  Kellogg Co. 4.300% 5/15/28 2,375   2,647  
  Kellogg Co. 7.450% 4/1/31 767   1,075  
  Kellogg Co. 4.500% 4/1/46 8,950   9,967  
  Keurig Dr Pepper Inc. 3.551% 5/25/21 10,825   11,047  
  Keurig Dr Pepper Inc. 2.700% 11/15/22 2,725   2,749  
  Keurig Dr Pepper Inc. 4.057% 5/25/23 16,325   17,208  
  Keurig Dr Pepper Inc. 3.130% 12/15/23 7,475   7,676  
  Keurig Dr Pepper Inc. 4.417% 5/25/25 3,895   4,251  
  Keurig Dr Pepper Inc. 3.400% 11/15/25 6,485   6,727  
  Keurig Dr Pepper Inc. 2.550% 9/15/26 5,500   5,467  
  Keurig Dr Pepper Inc. 3.430% 6/15/27 2,600   2,715  
  Keurig Dr Pepper Inc. 4.597% 5/25/28 17,140   19,246  
  Keurig Dr Pepper Inc. 7.450% 5/1/38 305   417  
  Keurig Dr Pepper Inc. 4.985% 5/25/38 3,675   4,332  
  Keurig Dr Pepper Inc. 4.500% 11/15/45 11,525   12,576  
  Keurig Dr Pepper Inc. 4.420% 12/15/46 3,000   3,237  
  Kimberly-Clark Corp. 3.875% 3/1/21 4,015   4,101  
  Kimberly-Clark Corp. 2.400% 3/1/22 5,275   5,330  
  Kimberly-Clark Corp. 2.400% 6/1/23 1,600   1,632  
  Kimberly-Clark Corp. 3.050% 8/15/25 3,075   3,227  
  Kimberly-Clark Corp. 2.750% 2/15/26 3,625   3,716  
  Kimberly-Clark Corp. 3.950% 11/1/28 3,575   3,984  
  Kimberly-Clark Corp. 3.200% 4/25/29 3,875   4,127  
  Kimberly-Clark Corp. 6.625% 8/1/37 300   442  
  Kimberly-Clark Corp. 5.300% 3/1/41 8,275   10,879  
  Kimberly-Clark Corp. 3.700% 6/1/43 2,025   2,096  
  Kimberly-Clark Corp. 3.200% 7/30/46 6,400   6,454  
  Kimberly-Clark Corp. 3.900% 5/4/47 2,000   2,235  
  Koninklijke Ahold Delhaize NV 5.700% 10/1/40 2,123   2,591  
  Koninklijke Philips NV 6.875% 3/11/38 4,600   6,446  
  Koninklijke Philips NV 5.000% 3/15/42 7,775   9,297  
  Kraft Foods Group Inc. 6.875% 1/26/39 9,200   11,503  
  Kraft Foods Group Inc. 6.500% 2/9/40 7,250   8,786  
  Kraft Foods Group Inc. 5.000% 6/4/42 14,708   15,739  
  Kraft Heinz Foods Co. 3.375% 6/15/21 8,125   8,250  
  Kraft Heinz Foods Co. 3.500% 7/15/22 8,128   8,371  
  Kraft Heinz Foods Co. 4.000% 6/15/23 13,023   13,686  
  Kraft Heinz Foods Co. 3.950% 7/15/25 17,795   18,816  
  Kraft Heinz Foods Co. 3.000% 6/1/26 19,913   19,900  
  Kraft Heinz Foods Co. 4.625% 1/30/29 10,275   11,235  
7 Kraft Heinz Foods Co. 3.750% 4/1/30 8,655   8,893  
  Kraft Heinz Foods Co. 5.000% 7/15/35 8,955   9,947  
7 Kraft Heinz Foods Co. 4.625% 10/1/39 4,325   4,487  
  Kraft Heinz Foods Co. 5.200% 7/15/45 18,375   19,841  
  Kraft Heinz Foods Co. 4.375% 6/1/46 27,000   26,580  
7 Kraft Heinz Foods Co. 4.875% 10/1/49 12,985   13,521  
  Kroger Co. 3.300% 1/15/21 3,050   3,083  
  Kroger Co. 2.600% 2/1/21 5,175   5,205  
  Kroger Co. 2.950% 11/1/21 9,861   10,007  
  Kroger Co. 3.400% 4/15/22 4,102   4,218  
  Kroger Co. 2.800% 8/1/22 2,800   2,852  

 

110

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Kroger Co. 3.850% 8/1/23 9,757   10,293  
  Kroger Co. 4.000% 2/1/24 4,309   4,574  
  Kroger Co. 3.500% 2/1/26 1,800   1,884  
  Kroger Co. 2.650% 10/15/26 9,180   9,191  
  Kroger Co. 3.700% 8/1/27 3,150   3,357  
  Kroger Co. 7.700% 6/1/29 4,025   5,375  
  Kroger Co. 8.000% 9/15/29 6,150   8,423  
  Kroger Co. 7.500% 4/1/31 1,125   1,547  
  Kroger Co. 6.900% 4/15/38 3,327   4,446  
  Kroger Co. 5.400% 7/15/40 2,650   3,063  
  Kroger Co. 5.000% 4/15/42 4,149   4,606  
  Kroger Co. 5.150% 8/1/43 1,000   1,123  
  Kroger Co. 3.875% 10/15/46 3,575   3,481  
  Kroger Co. 4.450% 2/1/47 9,375   9,927  
  Kroger Co. 4.650% 1/15/48 7,525   8,192  
  Kroger Co. 5.400% 1/15/49 1,800   2,185  
  Laboratory Corp. of America Holdings 3.200% 2/1/22 6,075   6,201  
  Laboratory Corp. of America Holdings 3.750% 8/23/22 550   570  
  Laboratory Corp. of America Holdings 4.000% 11/1/23 550   579  
  Laboratory Corp. of America Holdings 3.250% 9/1/24 7,500   7,787  
  Laboratory Corp. of America Holdings 2.300% 12/1/24 4,000   3,981  
  Laboratory Corp. of America Holdings 3.600% 2/1/25 11,108   11,684  
  Laboratory Corp. of America Holdings 3.600% 9/1/27 5,225   5,504  
  Laboratory Corp. of America Holdings 2.950% 12/1/29 5,775   5,784  
  Laboratory Corp. of America Holdings 4.700% 2/1/45 7,885   8,839  
4 Mayo Clinic 3.774% 11/15/43 5,125   5,509  
4 Mayo Clinic 4.000% 11/15/47 1,875   2,083  
4 Mayo Clinic 4.128% 11/15/52 1,150   1,292  
  McCormick & Co. Inc. 3.900% 7/15/21 875   896  
  McCormick & Co. Inc. 2.700% 8/15/22 5,450   5,535  
  McCormick & Co. Inc. 3.150% 8/15/24 6,775   7,023  
  McCormick & Co. Inc. 3.400% 8/15/27 10,500   10,932  
  McCormick & Co. Inc. 4.200% 8/15/47 1,320   1,443  
  McKesson Corp. 2.700% 12/15/22 9,300   9,407  
  McKesson Corp. 2.850% 3/15/23 1,500   1,521  
  McKesson Corp. 3.796% 3/15/24 9,300   9,776  
  McKesson Corp. 3.950% 2/16/28 5,300   5,606  
  McKesson Corp. 4.750% 5/30/29 1,950   2,185  
  McKesson Corp. 6.000% 3/1/41 375   453  
  Mead Johnson Nutrition Co. 3.000% 11/15/20 5,950   6,002  
  Mead Johnson Nutrition Co. 4.125% 11/15/25 6,435   7,039  
  Mead Johnson Nutrition Co. 5.900% 11/1/39 5,160   6,914  
  Mead Johnson Nutrition Co. 4.600% 6/1/44 6,960   8,356  
  Medtronic Inc. 3.150% 3/15/22 15,340   15,771  
  Medtronic Inc. 3.500% 3/15/25 13,793   14,772  
  Medtronic Inc. 4.375% 3/15/35 22,644   26,721  
  Medtronic Inc. 4.625% 3/15/45 18,067   22,626  
  Memorial Health Services 3.447% 11/1/49 5,000   4,908  
  Memorial Sloan-Kettering Cancer Center 5.000% 7/1/42 700   882  
  Memorial Sloan-Kettering Cancer Center 4.125% 7/1/52 4,605   5,309  
  Memorial Sloan-Kettering Cancer Center 4.200% 7/1/55 1,700   1,973  
  Merck & Co. Inc. 3.875% 1/15/21 3,375   3,433  
  Merck & Co. Inc. 2.350% 2/10/22 11,034   11,170  
  Merck & Co. Inc. 2.400% 9/15/22 10,820   10,971  

 

111

 

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Merck & Co. Inc. 2.800% 5/18/23 15,925   16,409  
  Merck & Co. Inc. 2.900% 3/7/24 5,950   6,191  
  Merck & Co. Inc. 2.750% 2/10/25 22,453   23,195  
  Merck & Co. Inc. 3.400% 3/7/29 14,050   15,173  
  Merck & Co. Inc. 6.500% 12/1/33 5,650   7,957  
  Merck & Co. Inc. 3.900% 3/7/39 8,725   9,959  
  Merck & Co. Inc. 3.600% 9/15/42 8,245   8,891  
  Merck & Co. Inc. 4.150% 5/18/43 10,889   12,863  
  Merck & Co. Inc. 3.700% 2/10/45 21,734   24,017  
  Merck & Co. Inc. 4.000% 3/7/49 14,800   17,227  
  Mercy Health 4.302% 7/1/28 1,750   1,934  
  Molson Coors Beverage Co. 2.100% 7/15/21 9,162   9,160  
  Molson Coors Beverage Co. 3.500% 5/1/22 826   847  
  Molson Coors Beverage Co. 3.000% 7/15/26 20,476   20,688  
  Molson Coors Beverage Co. 5.000% 5/1/42 9,975   10,859  
  Molson Coors Beverage Co. 4.200% 7/15/46 17,675   17,589  
7 Mondelez International Holdings Netherlands BV 2.125% 9/19/22 3,800   3,797  
  Mondelez International Inc. 3.625% 2/13/26 3,500   3,746  
  Mondelez International Inc. 4.625% 5/7/48 2,100   2,433  
4 Montefiore Obligated Group 5.246% 11/1/48 6,800   7,629  
4 Mount Sinai Hospitals Group Inc. 3.981% 7/1/48 2,100   2,164  
4 Mount Sinai Hospitals Group Inc. 3.737% 7/1/49 5,000   4,957  
7 Mylan Inc. 3.125% 1/15/23 325   329  
  Mylan Inc. 4.200% 11/29/23 8,205   8,657  
  Mylan Inc. 4.550% 4/15/28 7,025   7,548  
  Mylan Inc. 5.400% 11/29/43 4,820   5,236  
  Mylan Inc. 5.200% 4/15/48 5,700   6,308  
  Mylan NV 3.750% 12/15/20 50   51  
  Mylan NV 3.150% 6/15/21 11,852   11,974  
  Mylan NV 3.950% 6/15/26 17,595   18,255  
  Mylan NV 5.250% 6/15/46 8,925   9,955  
  New York & Presbyterian Hospital 4.024% 8/1/45 4,390   4,883  
  New York & Presbyterian Hospital 4.063% 8/1/56 4,575   4,946  
  New York & Presbyterian Hospital 3.954% 8/1/19 5,685   5,678  
  Northwell Healthcare Inc. 3.979% 11/1/46 6,975   7,101  
  Northwell Healthcare Inc. 4.260% 11/1/47 9,050   9,680  
  Northwell Healthcare Inc. 3.809% 11/1/49 2,870   2,882  
  Novartis Capital Corp. 2.400% 5/17/22 24,250   24,572  
  Novartis Capital Corp. 2.400% 9/21/22 5,794   5,883  
  Novartis Capital Corp. 3.400% 5/6/24 15,653   16,564  
  Novartis Capital Corp. 3.000% 11/20/25 15,077   15,798  
  Novartis Capital Corp. 3.100% 5/17/27 10,875   11,426  
  Novartis Capital Corp. 3.700% 9/21/42 4,375   4,812  
  Novartis Capital Corp. 4.400% 5/6/44 16,336   19,826  
  Novartis Capital Corp. 4.000% 11/20/45 10,650   12,348  
  NYU Hospitals Center 4.784% 7/1/44 3,425   4,100  
4 NYU Hospitals Center 4.368% 7/1/47 4,775   5,330  
  Ochsner Clinic Foundation 5.897% 5/15/45 275   365  
  Orlando Health Obligated Group 4.089% 10/1/48 2,200   2,403  
  Partners Healthcare System Inc. 3.765% 7/1/48 1,000   1,049  
  Partners Healthcare System Inc. 4.117% 7/1/55 2,500   2,775  
  PeaceHealth Obligated Group 4.787% 11/15/48 3,300   4,036  
  PepsiCo Inc. 2.000% 4/15/21 7,225   7,239  

 

112

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  PepsiCo Inc. 3.000% 8/25/21 12,620   12,858  
  PepsiCo Inc. 1.700% 10/6/21 6,125   6,118  
  PepsiCo Inc. 2.750% 3/5/22 18,670   19,046  
  PepsiCo Inc. 2.250% 5/2/22 6,000   6,059  
  PepsiCo Inc. 3.100% 7/17/22 3,425   3,528  
  PepsiCo Inc. 2.750% 3/1/23 7,975   8,189  
  PepsiCo Inc. 3.600% 3/1/24 5,334   5,673  
  PepsiCo Inc. 2.750% 4/30/25 6,850   7,084  
  PepsiCo Inc. 3.500% 7/17/25 4,000   4,288  
  PepsiCo Inc. 2.850% 2/24/26 2,750   2,862  
  PepsiCo Inc. 2.375% 10/6/26 14,525   14,724  
  PepsiCo Inc. 3.000% 10/15/27 13,525   14,268  
  PepsiCo Inc. 2.625% 7/29/29 14,725   14,991  
  PepsiCo Inc. 4.000% 3/5/42 7,800   8,875  
  PepsiCo Inc. 3.600% 8/13/42 4,100   4,385  
  PepsiCo Inc. 4.250% 10/22/44 6,375   7,495  
  PepsiCo Inc. 4.600% 7/17/45 4,460   5,511  
  PepsiCo Inc. 4.450% 4/14/46 14,250   17,512  
  PepsiCo Inc. 3.450% 10/6/46 16,825   17,760  
  PepsiCo Inc. 4.000% 5/2/47 6,263   7,231  
  PepsiCo Inc. 3.375% 7/29/49 10,665   11,164  
  PepsiCo Inc. 2.875% 10/15/49 8,950   8,565  
  PerkinElmer Inc. 3.300% 9/15/29 7,350   7,479  
  Perrigo Finance Unlimited Co. 3.500% 3/15/21 1,264   1,263  
  Perrigo Finance Unlimited Co. 3.500% 12/15/21 3,798   3,843  
  Perrigo Finance Unlimited Co. 3.900% 12/15/24 7,600   7,816  
  Perrigo Finance Unlimited Co. 4.375% 3/15/26 6,980   7,192  
  Perrigo Finance Unlimited Co. 4.900% 12/15/44 3,011   2,770  
  Pfizer Inc. 1.950% 6/3/21 12,550   12,579  
  Pfizer Inc. 3.000% 9/15/21 5,500   5,605  
  Pfizer Inc. 2.200% 12/15/21 4,200   4,232  
  Pfizer Inc. 2.800% 3/11/22 5,085   5,183  
  Pfizer Inc. 3.000% 6/15/23 5,760   5,980  
  Pfizer Inc. 3.200% 9/15/23 6,225   6,490  
  Pfizer Inc. 2.950% 3/15/24 7,925   8,225  
  Pfizer Inc. 3.400% 5/15/24 650   687  
  Pfizer Inc. 2.750% 6/3/26 12,725   13,125  
  Pfizer Inc. 3.000% 12/15/26 17,825   18,689  
  Pfizer Inc. 3.600% 9/15/28 8,025   8,764  
  Pfizer Inc. 3.450% 3/15/29 15,600   16,776  
  Pfizer Inc. 4.000% 12/15/36 10,550   12,017  
  Pfizer Inc. 4.100% 9/15/38 7,275   8,310  
  Pfizer Inc. 3.900% 3/15/39 12,855   14,469  
  Pfizer Inc. 7.200% 3/15/39 19,540   30,613  
  Pfizer Inc. 4.300% 6/15/43 5,010   5,893  
  Pfizer Inc. 4.400% 5/15/44 9,875   11,788  
  Pfizer Inc. 4.125% 12/15/46 10,475   12,082  
  Pfizer Inc. 4.200% 9/15/48 12,400   14,519  
  Pfizer Inc. 4.000% 3/15/49 10,225   11,824  
  Pharmacia LLC 6.600% 12/1/28 5,248   6,892  
  Philip Morris International Inc. 1.875% 2/25/21 10,000   9,989  
  Philip Morris International Inc. 4.125% 5/17/21 4,458   4,586  
  Philip Morris International Inc. 2.900% 11/15/21 3,450   3,516  
  Philip Morris International Inc. 2.625% 2/18/22 5,000   5,061  

 

113

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Philip Morris International Inc. 2.375% 8/17/22 7,400   7,462  
  Philip Morris International Inc. 2.500% 8/22/22 3,000   3,028  
  Philip Morris International Inc. 2.500% 11/2/22 5,900   5,989  
  Philip Morris International Inc. 2.625% 3/6/23 2,970   3,018  
  Philip Morris International Inc. 2.125% 5/10/23 4,230   4,228  
  Philip Morris International Inc. 3.600% 11/15/23 7,660   8,052  
  Philip Morris International Inc. 2.875% 5/1/24 9,625   9,890  
  Philip Morris International Inc. 3.250% 11/10/24 10,600   11,095  
  Philip Morris International Inc. 3.375% 8/11/25 4,625   4,860  
  Philip Morris International Inc. 2.750% 2/25/26 10,500   10,614  
  Philip Morris International Inc. 3.125% 8/17/27 4,500   4,651  
  Philip Morris International Inc. 3.125% 3/2/28 4,230   4,336  
  Philip Morris International Inc. 3.375% 8/15/29 6,725   7,040  
  Philip Morris International Inc. 6.375% 5/16/38 7,600   10,556  
  Philip Morris International Inc. 4.375% 11/15/41 9,493   10,511  
  Philip Morris International Inc. 4.500% 3/20/42 4,665   5,235  
  Philip Morris International Inc. 3.875% 8/21/42 6,202   6,440  
  Philip Morris International Inc. 4.125% 3/4/43 9,815   10,577  
  Philip Morris International Inc. 4.875% 11/15/43 6,450   7,592  
  Philip Morris International Inc. 4.250% 11/10/44 10,760   11,860  
4 Procter & Gamble - Esop 9.360% 1/1/21 373   390  
  Procter & Gamble Co. 1.900% 10/23/20 9,650   9,655  
  Procter & Gamble Co. 1.850% 2/2/21 17,525   17,542  
  Procter & Gamble Co. 1.700% 11/3/21 7,105   7,126  
  Procter & Gamble Co. 2.300% 2/6/22 7,164   7,257  
  Procter & Gamble Co. 3.100% 8/15/23 8,250   8,624  
  Procter & Gamble Co. 2.700% 2/2/26 4,500   4,674  
  Procter & Gamble Co. 2.450% 11/3/26 10,300   10,594  
  Procter & Gamble Co. 2.850% 8/11/27 6,575   6,952  
  Procter & Gamble Co. 5.800% 8/15/34 322   449  
  Procter & Gamble Co. 3.500% 10/25/47 4,850   5,446  
  Providence St. Joseph Health Obligated Group 2.746% 10/1/26 1,250   1,262  
  Providence St. Joseph Health Obligated Group 2.532% 10/1/29 6,900   6,755  
4 Providence St. Joseph Health Obligated Group 3.744% 10/1/47 3,125   3,259  
4 Providence St. Joseph Health Obligated Group 3.930% 10/1/48 3,500   3,745  
  Quest Diagnostics Inc. 4.700% 4/1/21 1,335   1,377  
  Quest Diagnostics Inc. 4.250% 4/1/24 3,300   3,539  
  Quest Diagnostics Inc. 3.500% 3/30/25 1,250   1,315  
  Quest Diagnostics Inc. 3.450% 6/1/26 10,900   11,438  
  Quest Diagnostics Inc. 4.200% 6/30/29 2,740   3,023  
  Quest Diagnostics Inc. 2.950% 6/30/30 8,245   8,255  
  Quest Diagnostics Inc. 5.750% 1/30/40 876   968  
  Quest Diagnostics Inc. 4.700% 3/30/45 1,250   1,386  
  Reynolds American Inc. 4.000% 6/12/22 5,100   5,305  
  Reynolds American Inc. 4.850% 9/15/23 2,345   2,538  
  Reynolds American Inc. 4.450% 6/12/25 24,550   26,393  
  Reynolds American Inc. 5.700% 8/15/35 6,545   7,548  
  Reynolds American Inc. 7.250% 6/15/37 2,075   2,662  
  Reynolds American Inc. 8.125% 5/1/40 2,239   2,907  
  Reynolds American Inc. 7.000% 8/4/41 2,040   2,524  

 

114

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Reynolds American Inc. 6.150% 9/15/43 5,075   5,908  
  Reynolds American Inc. 5.850% 8/15/45 19,440   22,257  
  RWJ Barnabas Health Inc. 3.949% 7/1/46 3,500   3,702  
  RWJ Barnabas Health Inc. 3.477% 7/1/49 1,400   1,379  
  Sanofi 4.000% 3/29/21 10,615   10,888  
  Sanofi 3.375% 6/19/23 15,000   15,717  
  Sanofi 3.625% 6/19/28 10,775   11,954  
  Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21 32,500   32,662  
  Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 29,882   30,420  
  Shire Acquisitions Investments Ireland DAC 3.200% 9/23/26 29,245   30,109  
  Spectrum Health System Obligated Group 3.487% 7/15/49 2,855   2,851  
  SSM Health Care Corp. 3.688% 6/1/23 7,600   7,907  
  SSM Health Care Corp. 3.823% 6/1/27 3,600   3,806  
  Stanford Health Care 3.795% 11/15/48 5,075   5,462  
  Stryker Corp. 2.625% 3/15/21 16,525   16,635  
  Stryker Corp. 3.375% 5/15/24 5,425   5,684  
  Stryker Corp. 3.375% 11/1/25 6,265   6,591  
  Stryker Corp. 3.500% 3/15/26 8,747   9,292  
  Stryker Corp. 3.650% 3/7/28 5,300   5,690  
  Stryker Corp. 4.100% 4/1/43 3,475   3,741  
  Stryker Corp. 4.375% 5/15/44 2,575   2,910  
  Stryker Corp. 4.625% 3/15/46 5,620   6,753  
  Sutter Health 3.695% 8/15/28 3,025   3,241  
  Sutter Health 4.091% 8/15/48 4,400   4,895  
  Sysco Corp. 2.500% 7/15/21 1,825   1,839  
  Sysco Corp. 2.600% 6/12/22 1,800   1,827  
  Sysco Corp. 3.550% 3/15/25 2,000   2,128  
  Sysco Corp. 3.750% 10/1/25 4,775   5,124  
  Sysco Corp. 3.300% 7/15/26 8,250   8,693  
  Sysco Corp. 3.250% 7/15/27 14,864   15,542  
  Sysco Corp. 4.850% 10/1/45 3,480   4,179  
  Sysco Corp. 4.500% 4/1/46 5,275   6,043  
  Sysco Corp. 4.450% 3/15/48 4,400   5,022  
  Takeda Pharmaceutical Co. Ltd. 4.000% 11/26/21 9,625   9,942  
  Takeda Pharmaceutical Co. Ltd. 4.400% 11/26/23 10,050   10,776  
  Takeda Pharmaceutical Co. Ltd. 5.000% 11/26/28 15,050   17,513  
4 Texas Health Resources 4.330% 11/15/55 900   1,053  
  Thermo Fisher Scientific Inc. 3.000% 4/15/23 8,000   8,222  
  Thermo Fisher Scientific Inc. 4.150% 2/1/24 1,600   1,714  
  Thermo Fisher Scientific Inc. 3.650% 12/15/25 6,075   6,490  
  Thermo Fisher Scientific Inc. 2.950% 9/19/26 9,995   10,276  
  Thermo Fisher Scientific Inc. 3.200% 8/15/27 7,600   7,939  
  Thermo Fisher Scientific Inc. 2.600% 10/1/29 7,000   6,916  
  Thermo Fisher Scientific Inc. 5.300% 2/1/44 4,390   5,551  
  Thermo Fisher Scientific Inc. 4.100% 8/15/47 6,525   7,312  
  Toledo Hospital 5.325% 11/15/28 2,710   2,909  
  Toledo Hospital 5.750% 11/15/38 2,250   2,575  
  Trinity Health Corp. 4.125% 12/1/45 5,070   5,571  
  Tyson Foods Inc. 2.250% 8/23/21 1,350   1,355  
  Tyson Foods Inc. 4.500% 6/15/22 13,525   14,230  
  Tyson Foods Inc. 3.900% 9/28/23 3,300   3,499  
  Tyson Foods Inc. 3.950% 8/15/24 19,065   20,375  
  Tyson Foods Inc. 4.000% 3/1/26 7,000   7,579  
  Tyson Foods Inc. 3.550% 6/2/27 11,175   11,852  

 

115

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Tyson Foods Inc. 4.350% 3/1/29 19,000   21,496  
  Tyson Foods Inc. 4.875% 8/15/34 4,325   5,058  
  Tyson Foods Inc. 5.150% 8/15/44 4,152   5,023  
  Tyson Foods Inc. 4.550% 6/2/47 7,625   8,644  
  Tyson Foods Inc. 5.100% 9/28/48 12,900   16,235  
  Unilever Capital Corp. 4.250% 2/10/21 9,960   10,225  
  Unilever Capital Corp. 2.750% 3/22/21 1,250   1,264  
  Unilever Capital Corp. 1.375% 7/28/21 8,395   8,332  
  Unilever Capital Corp. 3.000% 3/7/22 5,075   5,194  
  Unilever Capital Corp. 3.125% 3/22/23 200   207  
  Unilever Capital Corp. 3.250% 3/7/24 13,175   13,791  
  Unilever Capital Corp. 2.600% 5/5/24 19,965   20,405  
  Unilever Capital Corp. 3.100% 7/30/25 3,875   4,050  
  Unilever Capital Corp. 2.000% 7/28/26 6,200   6,142  
  Unilever Capital Corp. 2.900% 5/5/27 6,400   6,685  
  Unilever Capital Corp. 3.500% 3/22/28 7,675   8,297  
  Unilever Capital Corp. 2.125% 9/6/29 5,750   5,570  
  Unilever Capital Corp. 5.900% 11/15/32 8,600   11,653  
  Whirlpool Corp. 4.850% 6/15/21 1,575   1,634  
  Whirlpool Corp. 4.700% 6/1/22 6,700   7,087  
  Whirlpool Corp. 4.000% 3/1/24 2,675   2,829  
  Whirlpool Corp. 3.700% 5/1/25 2,400   2,522  
  Whirlpool Corp. 4.750% 2/26/29 6,200   6,895  
  Whirlpool Corp. 4.500% 6/1/46 4,675   4,835  
4 Willis-Knighton Medical Center 4.813% 9/1/48 2,000   2,387  
  Wyeth LLC 7.250% 3/1/23 2,000   2,310  
  Wyeth LLC 6.450% 2/1/24 10,991   12,808  
  Wyeth LLC 6.500% 2/1/34 4,125   5,759  
  Wyeth LLC 6.000% 2/15/36 1,680   2,235  
  Wyeth LLC 5.950% 4/1/37 17,010   23,162  
  Zeneca Wilmington Inc. 7.000% 11/15/23 5,100   5,917  
  Zimmer Biomet Holdings Inc. 3.375% 11/30/21 1,550   1,580  
  Zimmer Biomet Holdings Inc. 3.150% 4/1/22 8,400   8,576  
  Zimmer Biomet Holdings Inc. 3.700% 3/19/23 1,175   1,223  
  Zimmer Biomet Holdings Inc. 3.550% 4/1/25 16,500   17,345  
  Zimmer Biomet Holdings Inc. 5.750% 11/30/39 1,750   2,075  
  Zimmer Biomet Holdings Inc. 4.450% 8/15/45 7,685   8,051  
  Zoetis Inc. 3.450% 11/13/20 5,232   5,286  
  Zoetis Inc. 3.250% 8/20/21 2,625   2,667  
  Zoetis Inc. 3.250% 2/1/23 16,023   16,528  
  Zoetis Inc. 4.500% 11/13/25 2,915   3,226  
  Zoetis Inc. 3.000% 9/12/27 8,040   8,221  
  Zoetis Inc. 3.900% 8/20/28 4,950   5,357  
  Zoetis Inc. 4.700% 2/1/43 10,790   12,799  
  Zoetis Inc. 3.950% 9/12/47 5,425   5,883  
  Zoetis Inc. 4.450% 8/20/48 2,600   3,035  
               
  Energy (2.4%)            
  Apache Corp. 3.625% 2/1/21 1,210   1,221  
  Apache Corp. 3.250% 4/15/22 2,982   3,027  
  Apache Corp. 4.375% 10/15/28 6,625   6,905  
  Apache Corp. 7.750% 12/15/29 799   1,017  
  Apache Corp. 5.100% 9/1/40 13,375   13,575  
  Apache Corp. 5.250% 2/1/42 5,365   5,568  

 

116

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Apache Corp. 4.750% 4/15/43 12,843   12,284  
  Apache Corp. 4.250% 1/15/44 12,175   11,231  
  Apache Corp. 5.350% 7/1/49 2,500   2,610  
  Baker Hughes a GE Co. LLC 5.125% 9/15/40 6,540   7,705  
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 2.773% 12/15/22 16,280   16,597  
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 3.337% 12/15/27 7,675   7,995  
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 3.138% 11/7/29 5,100   5,227  
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 4.080% 12/15/47 16,200   16,585  
  Boardwalk Pipelines LP 3.375% 2/1/23 2,240   2,281  
  Boardwalk Pipelines LP 4.950% 12/15/24 575   621  
  Boardwalk Pipelines LP 5.950% 6/1/26 14,910   16,678  
  Boardwalk Pipelines LP 4.450% 7/15/27 8,277   8,511  
  Boardwalk Pipelines LP 4.800% 5/3/29 2,000   2,128  
  BP Capital Markets America Inc. 4.742% 3/11/21 8,615   8,904  
  BP Capital Markets America Inc. 2.112% 9/16/21 9,250   9,286  
  BP Capital Markets America Inc. 3.245% 5/6/22 11,075   11,431  
  BP Capital Markets America Inc. 2.520% 9/19/22 5,500   5,584  
  BP Capital Markets America Inc. 2.750% 5/10/23 24,465   25,006  
  BP Capital Markets America Inc. 3.216% 11/28/23 5,800   6,027  
  BP Capital Markets America Inc. 3.790% 2/6/24 3,460   3,679  
  BP Capital Markets America Inc. 3.224% 4/14/24 2,697   2,812  
  BP Capital Markets America Inc. 3.796% 9/21/25 5,525   5,974  
  BP Capital Markets America Inc. 3.410% 2/11/26 8,500   9,025  
  BP Capital Markets America Inc. 3.119% 5/4/26 17,501   18,236  
  BP Capital Markets America Inc. 3.017% 1/16/27 7,247   7,492  
  BP Capital Markets America Inc. 3.588% 4/14/27 2,100   2,226  
  BP Capital Markets America Inc. 3.937% 9/21/28 7,750   8,549  
  BP Capital Markets America Inc. 4.234% 11/6/28 23,240   26,197  
  BP Capital Markets plc 3.561% 11/1/21 17,674   18,209  
  BP Capital Markets plc 3.062% 3/17/22 3,900   3,999  
  BP Capital Markets plc 2.500% 11/6/22 7,375   7,505  
  BP Capital Markets plc 3.994% 9/26/23 2,700   2,880  
  BP Capital Markets plc 3.814% 2/10/24 2,825   3,015  
  BP Capital Markets plc 3.535% 11/4/24 12,326   13,117  
  BP Capital Markets plc 3.506% 3/17/25 2,900   3,086  
  BP Capital Markets plc 3.279% 9/19/27 23,600   24,812  
  BP Capital Markets plc 3.723% 11/28/28 3,975   4,321  
  Burlington Resources Finance Co. 7.200% 8/15/31 7,062   9,953  
  Burlington Resources Finance Co. 7.400% 12/1/31 3,875   5,515  
  Canadian Natural Resources Ltd. 3.450% 11/15/21 915   935  
  Canadian Natural Resources Ltd. 2.950% 1/15/23 8,000   8,148  
  Canadian Natural Resources Ltd. 3.800% 4/15/24 15,765   16,478  
  Canadian Natural Resources Ltd. 3.850% 6/1/27 12,975   13,809  
  Canadian Natural Resources Ltd. 7.200% 1/15/32 1,875   2,538  
  Canadian Natural Resources Ltd. 6.450% 6/30/33 2,645   3,378  
  Canadian Natural Resources Ltd. 5.850% 2/1/35 2,212   2,720  
  Canadian Natural Resources Ltd. 6.500% 2/15/37 8,465   11,033  
  Canadian Natural Resources Ltd. 6.250% 3/15/38 10,043   12,998  
  Canadian Natural Resources Ltd. 6.750% 2/1/39 3,035   4,089  
  Canadian Natural Resources Ltd. 4.950% 6/1/47 7,000   8,492  

 

117

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Cenovus Energy Inc. 3.000% 8/15/22 4,559   4,613  
  Cenovus Energy Inc. 3.800% 9/15/23 5,325   5,516  
  Cenovus Energy Inc. 4.250% 4/15/27 13,000   13,712  
  Cenovus Energy Inc. 5.250% 6/15/37 7,380   8,111  
  Cenovus Energy Inc. 6.750% 11/15/39 12,500   15,900  
  Cenovus Energy Inc. 5.400% 6/15/47 10,000   11,675  
  Cheniere Corpus Christi Holdings LLC 7.000% 6/30/24 7,000   8,067  
  Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 13,875   15,609  
  Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27 19,400   21,485  
7 Cheniere Corpus Christi Holdings LLC 3.700% 11/15/29 14,000   14,315  
  Chevron Corp. 2.100% 5/16/21 9,450   9,492  
  Chevron Corp. 2.411% 3/3/22 3,925   3,978  
  Chevron Corp. 2.498% 3/3/22 4,350   4,422  
  Chevron Corp. 2.355% 12/5/22 20,964   21,241  
  Chevron Corp. 3.191% 6/24/23 28,428   29,566  
  Chevron Corp. 2.895% 3/3/24 16,000   16,550  
  Chevron Corp. 3.326% 11/17/25 2,400   2,556  
  Chevron Corp. 2.954% 5/16/26 13,945   14,566  
  Cimarex Energy Co. 4.375% 6/1/24 5,900   6,213  
  Cimarex Energy Co. 3.900% 5/15/27 16,605   17,168  
  Cimarex Energy Co. 4.375% 3/15/29 4,280   4,517  
  Columbia Pipeline Group Inc. 4.500% 6/1/25 10,298   11,245  
  Columbia Pipeline Group Inc. 5.800% 6/1/45 4,385   5,557  
  Concho Resources Inc. 3.750% 10/1/27 24,660   25,862  
  Concho Resources Inc. 4.300% 8/15/28 5,000   5,444  
  Concho Resources Inc. 4.875% 10/1/47 7,300   8,504  
  Concho Resources Inc. 4.850% 8/15/48 5,500   6,366  
  Conoco Funding Co. 7.250% 10/15/31 1,740   2,443  
  ConocoPhillips 5.900% 10/15/32 2,225   2,906  
  ConocoPhillips 5.900% 5/15/38 7,161   9,723  
  ConocoPhillips 6.500% 2/1/39 23,663   34,287  
  ConocoPhillips Canada Funding Co. I 5.950% 10/15/36 6,071   8,139  
  ConocoPhillips Co. 3.350% 11/15/24 2,625   2,764  
  ConocoPhillips Co. 4.950% 3/15/26 22,835   26,213  
  ConocoPhillips Co. 4.300% 11/15/44 9,000   10,529  
  ConocoPhillips Co. 5.950% 3/15/46 2,500   3,561  
  ConocoPhillips Holding Co. 6.950% 4/15/29 6,300   8,546  
  Continental Resources Inc. 4.500% 4/15/23 3,900   4,085  
  Continental Resources Inc. 3.800% 6/1/24 8,823   9,121  
  Continental Resources Inc. 4.375% 1/15/28 14,720   15,640  
  Continental Resources Inc. 4.900% 6/1/44 6,800   7,250  
  Devon Energy Corp. 5.850% 12/15/25 4,425   5,237  
  Devon Energy Corp. 7.950% 4/15/32 2,314   3,276  
  Devon Energy Corp. 5.600% 7/15/41 7,220   8,767  
  Devon Energy Corp. 4.750% 5/15/42 19,000   21,265  
  Devon Energy Corp. 5.000% 6/15/45 6,250   7,204  
  Devon Financing Co. LLC 7.875% 9/30/31 7,950   10,929  
  Diamondback Energy Inc. 2.875% 12/1/24 10,000   10,093  
  Diamondback Energy Inc. 3.250% 12/1/26 9,000   9,100  
  Diamondback Energy Inc. 3.500% 12/1/29 14,250   14,469  
  Dominion Energy Gas Holdings LLC 3.550% 11/1/23 10,529   10,893  
  Dominion Energy Gas Holdings LLC 2.500% 11/15/24 4,500   4,519  
  Dominion Energy Gas Holdings LLC 3.600% 12/15/24 1,700   1,784  
  Dominion Energy Gas Holdings LLC 3.000% 11/15/29 5,000   4,963  

 

118

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Dominion Energy Gas Holdings LLC 4.800% 11/1/43 4,000   4,437  
  Dominion Energy Gas Holdings LLC 4.600% 12/15/44 2,978   3,232  
  Enable Midstream Partners LP 3.900% 5/15/24 6,100   6,204  
  Enable Midstream Partners LP 4.400% 3/15/27 8,500   8,349  
  Enable Midstream Partners LP 4.950% 5/15/28 10,200   10,304  
  Enable Midstream Partners LP 4.150% 9/15/29 2,000   1,890  
  Enable Midstream Partners LP 5.000% 5/15/44 2,775   2,494  
  Enbridge Energy Partners LP 4.200% 9/15/21 7,185   7,404  
  Enbridge Energy Partners LP 5.875% 10/15/25 8,825   10,279  
  Enbridge Energy Partners LP 7.500% 4/15/38 4,725   6,747  
  Enbridge Energy Partners LP 5.500% 9/15/40 3,573   4,220  
  Enbridge Energy Partners LP 7.375% 10/15/45 2,480   3,684  
  Enbridge Inc. 2.900% 7/15/22 8,200   8,344  
  Enbridge Inc. 3.500% 6/10/24 6,425   6,701  
  Enbridge Inc. 2.500% 1/15/25 4,500   4,530  
  Enbridge Inc. 3.700% 7/15/27 6,675   7,020  
  Enbridge Inc. 3.125% 11/15/29 15,000   15,135  
  Enbridge Inc. 4.500% 6/10/44 4,200   4,608  
  Enbridge Inc. 4.000% 11/15/49 6,000   6,247  
  Encana Corp. 3.900% 11/15/21 3,975   4,065  
  Encana Corp. 8.125% 9/15/30 1,400   1,762  
  Encana Corp. 7.375% 11/1/31 5,464   6,676  
  Encana Corp. 6.500% 8/15/34 12,176   14,288  
  Encana Corp. 6.625% 8/15/37 5,005   5,923  
  Encana Corp. 6.500% 2/1/38 5,095   5,982  
  Energy Transfer Operating LP 4.650% 6/1/21 3,977   4,079  
  Energy Transfer Operating LP 5.200% 2/1/22 8,497   8,905  
  Energy Transfer Operating LP 3.600% 2/1/23 6,888   7,054  
  Energy Transfer Operating LP 4.250% 3/15/23 18,860   19,696  
  Energy Transfer Operating LP 4.200% 9/15/23 3,200   3,355  
  Energy Transfer Operating LP 4.900% 2/1/24 1,620   1,730  
  Energy Transfer Operating LP 4.050% 3/15/25 18,685   19,590  
  Energy Transfer Operating LP 4.750% 1/15/26 16,005   17,240  
  Energy Transfer Operating LP 4.200% 4/15/27 5,300   5,543  
  Energy Transfer Operating LP 5.500% 6/1/27 13,090   14,700  
  Energy Transfer Operating LP 5.250% 4/15/29 10,600   11,883  
  Energy Transfer Operating LP 6.250% 4/15/49 17,100   20,580  
  Energy Transfer Partners LP 4.950% 6/15/28 16,645   18,201  
  Energy Transfer Partners LP 4.900% 3/15/35 3,350   3,498  
  Energy Transfer Partners LP 6.625% 10/15/36 1,950   2,316  
  Energy Transfer Partners LP 5.800% 6/15/38 5,790   6,534  
  Energy Transfer Partners LP 7.500% 7/1/38 4,932   6,282  
  Energy Transfer Partners LP 6.050% 6/1/41 5,690   6,381  
  Energy Transfer Partners LP 6.500% 2/1/42 11,326   13,459  
  Energy Transfer Partners LP 5.150% 2/1/43 5,900   6,065  
  Energy Transfer Partners LP 5.150% 3/15/45 1,780   1,871  
  Energy Transfer Partners LP 6.125% 12/15/45 14,950   17,291  
  Energy Transfer Partners LP 5.300% 4/15/47 9,890   10,561  
  Energy Transfer Partners LP 6.000% 6/15/48 6,110   7,089  
  Eni USA Inc. 7.300% 11/15/27 1,095   1,393  
  Enterprise Products Operating LLC 2.800% 2/15/21 6,100   6,156  
  Enterprise Products Operating LLC 2.850% 4/15/21 1,000   1,010  
  Enterprise Products Operating LLC 3.500% 2/1/22 6,075   6,255  
  Enterprise Products Operating LLC 4.050% 2/15/22 625   651  

 

119

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Enterprise Products Operating LLC 3.350% 3/15/23 14,034   14,504  
  Enterprise Products Operating LLC 3.900% 2/15/24 7,720   8,200  
  Enterprise Products Operating LLC 3.750% 2/15/25 15,925   16,954  
  Enterprise Products Operating LLC 3.700% 2/15/26 8,318   8,864  
  Enterprise Products Operating LLC 3.950% 2/15/27 1,300   1,405  
  Enterprise Products Operating LLC 4.150% 10/16/28 10,000   11,023  
  Enterprise Products Operating LLC 3.125% 7/31/29 18,000   18,476  
  Enterprise Products Operating LLC 6.875% 3/1/33 8,843   12,051  
  Enterprise Products Operating LLC 6.650% 10/15/34 235   319  
  Enterprise Products Operating LLC 7.550% 4/15/38 3,330   4,788  
  Enterprise Products Operating LLC 6.125% 10/15/39 5,845   7,595  
  Enterprise Products Operating LLC 5.950% 2/1/41 7,465   9,609  
  Enterprise Products Operating LLC 5.700% 2/15/42 3,065   3,910  
  Enterprise Products Operating LLC 4.850% 8/15/42 12,293   14,161  
  Enterprise Products Operating LLC 4.450% 2/15/43 14,237   15,558  
  Enterprise Products Operating LLC 4.850% 3/15/44 16,520   19,117  
  Enterprise Products Operating LLC 5.100% 2/15/45 5,490   6,571  
  Enterprise Products Operating LLC 4.900% 5/15/46 18,785   22,010  
  Enterprise Products Operating LLC 4.250% 2/15/48 12,700   13,695  
  Enterprise Products Operating LLC 4.800% 2/1/49 11,665   13,679  
  Enterprise Products Operating LLC 4.200% 1/31/50 10,000   10,728  
  Enterprise Products Operating LLC 4.950% 10/15/54 2,265   2,620  
4 Enterprise Products Operating LLC 5.250% 8/16/77 2,100   2,097  
4 Enterprise Products Operating LLC 5.375% 2/15/78 5,315   5,249  
  EOG Resources Inc. 4.100% 2/1/21 9,300   9,516  
  EOG Resources Inc. 2.625% 3/15/23 15,165   15,429  
  EOG Resources Inc. 3.150% 4/1/25 700   733  
  EOG Resources Inc. 4.150% 1/15/26 6,000   6,599  
  EOG Resources Inc. 3.900% 4/1/35 3,590   3,985  
  EQM Midstream Partners LP 4.750% 7/15/23 8,850   8,872  
  EQM Midstream Partners LP 4.000% 8/1/24 3,026   2,941  
  EQM Midstream Partners LP 4.125% 12/1/26 3,700   3,468  
  EQM Midstream Partners LP 5.500% 7/15/28 7,327   7,183  
  EQM Midstream Partners LP 6.500% 7/15/48 7,325   6,886  
  EQT Corp. 4.875% 11/15/21 2,145   2,203  
  EQT Corp. 3.000% 10/1/22 6,600   6,452  
  EQT Corp. 3.900% 10/1/27 11,600   10,783  
  Exxon Mobil Corp. 2.222% 3/1/21 23,375   23,501  
  Exxon Mobil Corp. 2.397% 3/6/22 27,250   27,600  
  Exxon Mobil Corp. 2.726% 3/1/23 33,696   34,491  
  Exxon Mobil Corp. 3.176% 3/15/24 10,000   10,475  
  Exxon Mobil Corp. 2.709% 3/6/25 4,600   4,753  
  Exxon Mobil Corp. 3.043% 3/1/26 6,373   6,686  
  Exxon Mobil Corp. 2.275% 8/16/26 4,000   4,010  
  Exxon Mobil Corp. 2.440% 8/16/29 14,500   14,570  
  Exxon Mobil Corp. 2.995% 8/16/39 5,000   5,009  
  Exxon Mobil Corp. 3.567% 3/6/45 13,153   14,073  
  Exxon Mobil Corp. 4.114% 3/1/46 13,950   16,326  
  Exxon Mobil Corp. 3.095% 8/16/49 20,000   19,830  
  Halliburton Co. 3.250% 11/15/21 5,005   5,097  
  Halliburton Co. 3.500% 8/1/23 5,450   5,663  
  Halliburton Co. 3.800% 11/15/25 24,700   26,354  
  Halliburton Co. 4.850% 11/15/35 13,981   15,771  
  Halliburton Co. 6.700% 9/15/38 12,580   16,593  

 

120

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Halliburton Co. 4.500% 11/15/41 2,000   2,135  
  Halliburton Co. 4.750% 8/1/43 8,875   9,754  
  Halliburton Co. 5.000% 11/15/45 12,183   13,868  
  Helmerich & Payne Inc. 4.650% 3/15/25 3,975   4,327  
  Hess Corp. 3.500% 7/15/24 2,750   2,820  
  Hess Corp. 4.300% 4/1/27 8,500   9,053  
  Hess Corp. 7.875% 10/1/29 2,075   2,700  
  Hess Corp. 7.300% 8/15/31 1,000   1,265  
  Hess Corp. 7.125% 3/15/33 2,430   3,077  
  Hess Corp. 6.000% 1/15/40 12,000   14,135  
  Hess Corp. 5.600% 2/15/41 11,422   13,340  
  Hess Corp. 5.800% 4/1/47 4,195   5,106  
  HollyFrontier Corp. 5.875% 4/1/26 5,008   5,624  
  Husky Energy Inc. 3.950% 4/15/22 21,900   22,642  
  Husky Energy Inc. 4.000% 4/15/24 8,905   9,365  
  Husky Energy Inc. 4.400% 4/15/29 10,000   10,763  
  Husky Energy Inc. 6.800% 9/15/37 4,135   5,417  
  Kinder Morgan Energy Partners LP 5.000% 10/1/21 11,840   12,340  
  Kinder Morgan Energy Partners LP 4.150% 3/1/22 4,411   4,588  
  Kinder Morgan Energy Partners LP 3.950% 9/1/22 20,185   21,024  
  Kinder Morgan Energy Partners LP 3.450% 2/15/23 8,645   8,901  
  Kinder Morgan Energy Partners LP 3.500% 9/1/23 12,000   12,431  
  Kinder Morgan Energy Partners LP 4.150% 2/1/24 2,695   2,867  
  Kinder Morgan Energy Partners LP 4.300% 5/1/24 5,900   6,304  
  Kinder Morgan Energy Partners LP 4.250% 9/1/24 11,783   12,602  
  Kinder Morgan Energy Partners LP 7.400% 3/15/31 1,930   2,524  
  Kinder Morgan Energy Partners LP 7.300% 8/15/33 2,810   3,711  
  Kinder Morgan Energy Partners LP 5.800% 3/15/35 5,000   5,920  
  Kinder Morgan Energy Partners LP 6.500% 2/1/37 6,250   7,789  
  Kinder Morgan Energy Partners LP 6.950% 1/15/38 7,446   9,836  
  Kinder Morgan Energy Partners LP 6.500% 9/1/39 8,425   10,648  
  Kinder Morgan Energy Partners LP 6.550% 9/15/40 4,500   5,710  
  Kinder Morgan Energy Partners LP 7.500% 11/15/40 1,750   2,374  
  Kinder Morgan Energy Partners LP 6.375% 3/1/41 4,100   5,085  
  Kinder Morgan Energy Partners LP 5.625% 9/1/41 8,954   10,326  
  Kinder Morgan Energy Partners LP 5.000% 8/15/42 10,800   11,708  
  Kinder Morgan Energy Partners LP 4.700% 11/1/42 6,600   6,977  
  Kinder Morgan Energy Partners LP 5.000% 3/1/43 3,617   3,954  
  Kinder Morgan Energy Partners LP 5.500% 3/1/44 3,900   4,493  
  Kinder Morgan Energy Partners LP 5.400% 9/1/44 49   56  
  Kinder Morgan Inc. 3.150% 1/15/23 1,620   1,656  
  Kinder Morgan Inc. 4.300% 6/1/25 8,500   9,209  
  Kinder Morgan Inc. 4.300% 3/1/28 13,525   14,718  
  Kinder Morgan Inc. 7.800% 8/1/31 2,730   3,733  
  Kinder Morgan Inc. 7.750% 1/15/32 7,956   10,903  
  Kinder Morgan Inc. 5.300% 12/1/34 5,500   6,482  
  Kinder Morgan Inc. 5.550% 6/1/45 16,325   19,533  
  Kinder Morgan Inc. 5.050% 2/15/46 18,957   21,203  
  Magellan Midstream Partners LP 4.250% 2/1/21 4,200   4,292  
  Magellan Midstream Partners LP 5.000% 3/1/26 9,075   10,226  
  Magellan Midstream Partners LP 5.150% 10/15/43 2,885   3,359  
  Magellan Midstream Partners LP 4.250% 9/15/46 3,025   3,202  
  Magellan Midstream Partners LP 4.200% 10/3/47 6,935   7,299  
  Magellan Midstream Partners LP 4.850% 2/1/49 4,585   5,280  

 

121

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Magellan Midstream Partners LP 3.950% 3/1/50 4,000   4,102  
  Marathon Oil Corp. 2.800% 11/1/22 8,000   8,121  
  Marathon Oil Corp. 3.850% 6/1/25 13,114   13,845  
  Marathon Oil Corp. 4.400% 7/15/27 7,400   8,031  
  Marathon Oil Corp. 6.800% 3/15/32 6,105   7,739  
  Marathon Oil Corp. 6.600% 10/1/37 7,267   9,238  
  Marathon Oil Corp. 5.200% 6/1/45 4,100   4,752  
  Marathon Petroleum Corp. 3.400% 12/15/20 6,057   6,122  
  Marathon Petroleum Corp. 5.125% 3/1/21 8,850   9,152  
  Marathon Petroleum Corp. 5.375% 10/1/22 2,000   2,022  
  Marathon Petroleum Corp. 4.750% 12/15/23 20,530   22,281  
  Marathon Petroleum Corp. 5.125% 4/1/24 4,057   4,170  
  Marathon Petroleum Corp. 3.625% 9/15/24 5,300   5,557  
  Marathon Petroleum Corp. 5.125% 12/15/26 8,000   9,036  
  Marathon Petroleum Corp. 3.800% 4/1/28 3,725   3,894  
  Marathon Petroleum Corp. 6.500% 3/1/41 11,769   15,236  
  Marathon Petroleum Corp. 4.750% 9/15/44 7,141   7,767  
  Marathon Petroleum Corp. 4.500% 4/1/48 4,275   4,507  
  Marathon Petroleum Corp. 5.000% 9/15/54 3,225   3,472  
7 MPLX LP 3.500% 12/1/22 1,925   1,982  
  MPLX LP 3.375% 3/15/23 4,000   4,105  
  MPLX LP 4.500% 7/15/23 15,455   16,403  
  MPLX LP 4.875% 12/1/24 24,758   26,850  
  MPLX LP 4.000% 2/15/25 3,000   3,129  
  MPLX LP 4.875% 6/1/25 6,400   6,987  
  MPLX LP 4.125% 3/1/27 10,525   11,012  
7 MPLX LP 4.250% 12/1/27 10,960   11,498  
  MPLX LP 4.000% 3/15/28 13,650   14,139  
  MPLX LP 4.500% 4/15/38 12,600   12,814  
  MPLX LP 5.200% 3/1/47 12,400   13,314  
7 MPLX LP 5.200% 12/1/47 7,825   8,213  
  MPLX LP 4.700% 4/15/48 11,300   11,392  
  MPLX LP 5.500% 2/15/49 16,470   18,658  
  MPLX LP 4.900% 4/15/58 5,150   5,240  
  National Fuel Gas Co. 3.950% 9/15/27 1,900   1,922  
  National Fuel Gas Co. 4.750% 9/1/28 11,000   11,698  
  National Oilwell Varco Inc. 2.600% 12/1/22 6,654   6,718  
  National Oilwell Varco Inc. 3.600% 12/1/29 5,000   5,004  
  National Oilwell Varco Inc. 3.950% 12/1/42 2,700   2,535  
  Newfield Exploration Co. 5.750% 1/30/22 11,625   12,352  
  Newfield Exploration Co. 5.625% 7/1/24 3,000   3,300  
  Newfield Exploration Co. 5.375% 1/1/26 17,513   18,980  
  Noble Energy Inc. 3.900% 11/15/24 1,549   1,637  
  Noble Energy Inc. 3.850% 1/15/28 4,789   5,036  
  Noble Energy Inc. 3.250% 10/15/29 5,000   5,038  
  Noble Energy Inc. 6.000% 3/1/41 7,425   8,881  
  Noble Energy Inc. 5.250% 11/15/43 9,000   10,140  
  Noble Energy Inc. 5.050% 11/15/44 7,248   7,989  
  Noble Energy Inc. 4.950% 8/15/47 4,000   4,441  
  Noble Energy Inc. 4.200% 10/15/49 6,000   6,031  
  Occidental Petroleum Corp. 4.100% 2/1/21 12,160   12,348  
  Occidental Petroleum Corp. 4.850% 3/15/21 5,912   6,084  
  Occidental Petroleum Corp. 2.600% 8/13/21 14,900   14,990  
  Occidental Petroleum Corp. 3.125% 2/15/22 7,640   7,766  

 

122

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Occidental Petroleum Corp. 2.600% 4/15/22 3,169   3,191  
  Occidental Petroleum Corp. 2.700% 8/15/22 9,750   9,856  
  Occidental Petroleum Corp. 2.700% 2/15/23 10,762   10,844  
  Occidental Petroleum Corp. 6.950% 7/1/24 7,250   8,501  
  Occidental Petroleum Corp. 2.900% 8/15/24 15,100   15,338  
  Occidental Petroleum Corp. 3.500% 6/15/25 9,200   9,484  
  Occidental Petroleum Corp. 5.550% 3/15/26 20,000   22,660  
  Occidental Petroleum Corp. 3.400% 4/15/26 13,000   13,290  
  Occidental Petroleum Corp. 3.500% 8/15/29 18,350   18,711  
  Occidental Petroleum Corp. 7.500% 5/1/31 6,750   8,761  
  Occidental Petroleum Corp. 7.875% 9/15/31 1,875   2,484  
  Occidental Petroleum Corp. 6.450% 9/15/36 16,520   20,120  
  Occidental Petroleum Corp. 7.950% 6/15/39 400   549  
  Occidental Petroleum Corp. 4.300% 8/15/39 2,500   2,535  
  Occidental Petroleum Corp. 6.200% 3/15/40 7,903   9,401  
  Occidental Petroleum Corp. 4.500% 7/15/44 7,830   7,826  
  Occidental Petroleum Corp. 4.625% 6/15/45 6,400   6,545  
  Occidental Petroleum Corp. 6.600% 3/15/46 8,275   10,730  
  Occidental Petroleum Corp. 4.400% 4/15/46 14,925   15,074  
  Occidental Petroleum Corp. 4.100% 2/15/47 7,275   7,050  
  Occidental Petroleum Corp. 4.200% 3/15/48 5,500   5,442  
  Occidental Petroleum Corp. 4.400% 8/15/49 6,360   6,547  
  ONEOK Inc. 4.250% 2/1/22 5,000   5,188  
  ONEOK Inc. 7.500% 9/1/23 9,593   11,159  
  ONEOK Inc. 2.750% 9/1/24 2,000   2,010  
  ONEOK Inc. 4.000% 7/13/27 4,125   4,355  
  ONEOK Inc. 4.550% 7/15/28 9,150   10,034  
  ONEOK Inc. 4.350% 3/15/29 4,900   5,293  
  ONEOK Inc. 3.400% 9/1/29 13,025   13,171  
  ONEOK Inc. 6.000% 6/15/35 550   641  
  ONEOK Inc. 4.950% 7/13/47 12,664   13,857  
  ONEOK Inc. 5.200% 7/15/48 7,100   8,041  
  ONEOK Inc. 4.450% 9/1/49 6,450   6,622  
  ONEOK Partners LP 3.375% 10/1/22 16,259   16,727  
  ONEOK Partners LP 4.900% 3/15/25 3,000   3,295  
  ONEOK Partners LP 6.650% 10/1/36 8,653   10,920  
  ONEOK Partners LP 6.850% 10/15/37 6,725   8,630  
  ONEOK Partners LP 6.125% 2/1/41 750   900  
  ONEOK Partners LP 6.200% 9/15/43 3,200   3,856  
  Patterson-UTI Energy Inc. 3.950% 2/1/28 4,405   4,252  
  Patterson-UTI Energy Inc. 5.150% 11/15/29 3,300   3,369  
  Petro-Canada 5.350% 7/15/33 2,625   3,236  
  Petro-Canada 5.950% 5/15/35 5,995   7,785  
  Petro-Canada 6.800% 5/15/38 7,815   11,134  
  Phillips 66 4.300% 4/1/22 14,230   14,925  
  Phillips 66 3.900% 3/15/28 7,250   7,880  
  Phillips 66 4.650% 11/15/34 1,650   1,925  
  Phillips 66 5.875% 5/1/42 11,007   14,864  
  Phillips 66 4.875% 11/15/44 17,316   20,857  
  Phillips 66 Partners LP 2.450% 12/15/24 1,964   1,959  
  Phillips 66 Partners LP 3.605% 2/15/25 4,900   5,112  
  Phillips 66 Partners LP 3.550% 10/1/26 4,075   4,261  
  Phillips 66 Partners LP 3.750% 3/1/28 2,000   2,079  
  Phillips 66 Partners LP 4.680% 2/15/45 4,435   4,775  

 

123

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Phillips 66 Partners LP 4.900% 10/1/46 4,480   5,007  
  Pioneer Natural Resources Co. 3.450% 1/15/21 3,900   3,944  
  Pioneer Natural Resources Co. 3.950% 7/15/22 8,803   9,157  
  Pioneer Natural Resources Co. 4.450% 1/15/26 10,010   10,980  
  Plains All American Pipeline LP / PAA Finance Corp. 5.000% 2/1/21 5,160   5,275  
  Plains All American Pipeline LP / PAA Finance Corp. 3.650% 6/1/22 3,940   4,043  
  Plains All American Pipeline LP / PAA Finance Corp. 2.850% 1/31/23 6,697   6,769  
  Plains All American Pipeline LP / PAA Finance Corp. 3.850% 10/15/23 2,596   2,690  
  Plains All American Pipeline LP / PAA Finance Corp. 3.600% 11/1/24 14,960   15,346  
  Plains All American Pipeline LP / PAA Finance Corp. 4.650% 10/15/25 6,715   7,182  
  Plains All American Pipeline LP / PAA Finance Corp. 4.500% 12/15/26 7,250   7,696  
  Plains All American Pipeline LP / PAA Finance Corp. 3.550% 12/15/29 7,000   6,879  
  Plains All American Pipeline LP / PAA Finance Corp. 6.650% 1/15/37 500   588  
  Plains All American Pipeline LP / PAA Finance Corp. 5.150% 6/1/42 4,875   4,879  
  Plains All American Pipeline LP / PAA Finance Corp. 4.300% 1/31/43 9,245   8,425  
  Plains All American Pipeline LP / PAA Finance Corp. 4.700% 6/15/44 9,680   9,403  
  Plains All American Pipeline LP / PAA Finance Corp. 4.900% 2/15/45 1,200   1,190  
  Regency Energy Partners LP / Regency Energy Finance Corp. 5.875% 3/1/22 7,950   8,443  
  Regency Energy Partners LP / Regency Energy Finance Corp. 5.000% 10/1/22 14,300   15,140  
  Regency Energy Partners LP / Regency Energy Finance Corp. 4.500% 11/1/23 7,185   7,598  
  Sabine Pass Liquefaction LLC 5.625% 2/1/21 7,140   7,340  
  Sabine Pass Liquefaction LLC 6.250% 3/15/22 12,110   13,013  
  Sabine Pass Liquefaction LLC 5.625% 4/15/23 14,109   15,344  
  Sabine Pass Liquefaction LLC 5.750% 5/15/24 15,825   17,653  
  Sabine Pass Liquefaction LLC 5.625% 3/1/25 23,075   25,931  
  Sabine Pass Liquefaction LLC 5.875% 6/30/26 18,150   20,850  
  Sabine Pass Liquefaction LLC 5.000% 3/15/27 11,750   12,940  
  Sabine Pass Liquefaction LLC 4.200% 3/15/28 11,000   11,647  
  Schlumberger Investment SA 3.650% 12/1/23 17,338   18,256  
  Shell International Finance BV 1.875% 5/10/21 18,225   18,218  
  Shell International Finance BV 1.750% 9/12/21 10,050   10,037  
  Shell International Finance BV 2.375% 8/21/22 8,765   8,877  
  Shell International Finance BV 2.250% 1/6/23 9,405   9,480  
  Shell International Finance BV 3.400% 8/12/23 7,080   7,418  
  Shell International Finance BV 3.500% 11/13/23 7,300   7,675  
  Shell International Finance BV 2.000% 11/7/24 10,000   9,983  
  Shell International Finance BV 3.250% 5/11/25 24,400   25,782  
  Shell International Finance BV 2.875% 5/10/26 16,980   17,605  

 

124

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Shell International Finance BV 2.500% 9/12/26 10,000   10,145  
  Shell International Finance BV 3.875% 11/13/28 13,825   15,315  
  Shell International Finance BV 2.375% 11/7/29 18,000   17,818  
  Shell International Finance BV 4.125% 5/11/35 15,541   18,138  
  Shell International Finance BV 6.375% 12/15/38 16,967   24,756  
  Shell International Finance BV 5.500% 3/25/40 4,025   5,448  
  Shell International Finance BV 3.625% 8/21/42 16,500   17,625  
  Shell International Finance BV 4.550% 8/12/43 11,425   13,788  
  Shell International Finance BV 4.375% 5/11/45 22,171   26,401  
  Shell International Finance BV 4.000% 5/10/46 24,425   27,823  
  Shell International Finance BV 3.750% 9/12/46 6,150   6,726  
  Shell International Finance BV 3.125% 11/7/49 17,000   16,761  
  Southern Natural Gas Co. LLC / Southern Natural Issuing Corp. 4.400% 6/15/21 5,165   5,298  
  Spectra Energy Partners LP 4.750% 3/15/24 8,305   9,028  
  Spectra Energy Partners LP 3.500% 3/15/25 9,100   9,505  
  Spectra Energy Partners LP 3.375% 10/15/26 11,645   12,050  
  Spectra Energy Partners LP 5.950% 9/25/43 2,840   3,533  
  Spectra Energy Partners LP 4.500% 3/15/45 12,580   13,829  
  Suncor Energy Inc. 3.600% 12/1/24 861   912  
  Suncor Energy Inc. 7.150% 2/1/32 3,550   4,958  
  Suncor Energy Inc. 5.950% 12/1/34 695   906  
  Suncor Energy Inc. 6.500% 6/15/38 10,220   14,189  
  Suncor Energy Inc. 6.850% 6/1/39 4,183   6,045  
  Suncor Energy Inc. 4.000% 11/15/47 12,077   13,119  
  Sunoco Logistics Partners Operations LP 4.400% 4/1/21 4,450   4,557  
  Sunoco Logistics Partners Operations LP 3.450% 1/15/23 2,965   3,025  
  Sunoco Logistics Partners Operations LP 4.250% 4/1/24 5,975   6,269  
  Sunoco Logistics Partners Operations LP 5.950% 12/1/25 3,375   3,875  
  Sunoco Logistics Partners Operations LP 3.900% 7/15/26 4,975   5,153  
  Sunoco Logistics Partners Operations LP 4.000% 10/1/27 8,100   8,346  
  Sunoco Logistics Partners Operations LP 6.100% 2/15/42 2,500   2,742  
  Sunoco Logistics Partners Operations LP 4.950% 1/15/43 6,675   6,622  
  Sunoco Logistics Partners Operations LP 5.300% 4/1/44 10,575   11,144  
  Sunoco Logistics Partners Operations LP 5.350% 5/15/45 7,225   7,701  
  Sunoco Logistics Partners Operations LP 5.400% 10/1/47 4,450   4,806  
  TC PipeLines LP 3.900% 5/25/27 2,600   2,713  
  TechnipFMC plc 3.450% 10/1/22 4,770   4,853  
  Tennessee Gas Pipeline Co. LLC 7.000% 3/15/27 825   1,017  
  Tennessee Gas Pipeline Co. LLC 7.625% 4/1/37 200   265  
  Texas Eastern Transmission LP 7.000% 7/15/32 3,205   4,297  
  Total Capital Canada Ltd. 2.750% 7/15/23 11,342   11,606  
  Total Capital International SA 2.750% 6/19/21 22,825   23,120  
  Total Capital International SA 2.218% 7/12/21 7,000   7,033  
  Total Capital International SA 2.875% 2/17/22 11,175   11,401  
  Total Capital International SA 2.700% 1/25/23 11,290   11,533  
  Total Capital International SA 3.700% 1/15/24 17,666   18,747  
  Total Capital International SA 3.750% 4/10/24 1,791   1,912  
  Total Capital International SA 2.434% 1/10/25 8,500   8,595  
  Total Capital International SA 3.455% 2/19/29 11,775   12,715  
  Total Capital International SA 2.829% 1/10/30 14,000   14,352  
  Total Capital International SA 3.461% 7/12/49 8,000   8,411  
  Total Capital SA 4.125% 1/28/21 3,055   3,124  
  Total Capital SA 3.883% 10/11/28 2,600   2,899  

 

125

 

 

Total Bond Market II Index Fund            

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  TransCanada PipeLines Ltd. 2.500% 8/1/22 6,105   6,133  
  TransCanada PipeLines Ltd. 3.750% 10/16/23 4,575   4,795  
  TransCanada PipeLines Ltd. 4.875% 1/15/26 4,971   5,555  
  TransCanada PipeLines Ltd. 4.250% 5/15/28 10,100   11,173  
  TransCanada PipeLines Ltd. 4.625% 3/1/34 13,731   15,690  
  TransCanada PipeLines Ltd. 5.600% 3/31/34 3,115   3,769  
  TransCanada PipeLines Ltd. 5.850% 3/15/36 3,025   3,663  
  TransCanada PipeLines Ltd. 6.200% 10/15/37 16,575   21,483  
  TransCanada PipeLines Ltd. 4.750% 5/15/38 6,600   7,536  
  TransCanada PipeLines Ltd. 6.100% 6/1/40 16,280   21,129  
  TransCanada PipeLines Ltd. 5.000% 10/16/43 6,400   7,420  
  TransCanada PipeLines Ltd. 4.875% 5/15/48 16,925   19,881  
  TransCanada PipeLines Ltd. 5.100% 3/15/49 8,375   10,135  
  Transcontinental Gas Pipe Line Co. LLC 7.850% 2/1/26 10,000   12,739  
  Transcontinental Gas Pipe Line Co. LLC 4.000% 3/15/28 4,200   4,466  
  Transcontinental Gas Pipe Line Co. LLC 5.400% 8/15/41 500   580  
  Transcontinental Gas Pipe Line Co. LLC 4.450% 8/1/42 2,323   2,439  
  Transcontinental Gas Pipe Line Co. LLC 4.600% 3/15/48 3,250   3,464  
  Valero Energy Corp. 3.650% 3/15/25 100   106  
  Valero Energy Corp. 3.400% 9/15/26 15,300   16,033  
  Valero Energy Corp. 4.350% 6/1/28 15,768   17,306  
  Valero Energy Corp. 4.000% 4/1/29 8,000   8,604  
  Valero Energy Corp. 7.500% 4/15/32 6,981   9,692  
  Valero Energy Corp. 6.625% 6/15/37 12,055   15,953  
  Valero Energy Corp. 4.900% 3/15/45 3,900   4,502  
  Valero Energy Partners LP 4.375% 12/15/26 5,800   6,315  
  Valero Energy Partners LP 4.500% 3/15/28 3,090   3,384  
  Western Midstream Operating LP 5.375% 6/1/21 6,625   6,804  
  Western Midstream Operating LP 3.950% 6/1/25 4,400   4,401  
  Western Midstream Operating LP 4.650% 7/1/26 4,350   4,464  
  Western Midstream Operating LP 4.500% 3/1/28 850   815  
  Western Midstream Operating LP 4.750% 8/15/28 2,800   2,777  
  Western Midstream Operating LP 5.450% 4/1/44 15,170   13,206  
  Western Midstream Operating LP 5.300% 3/1/48 2,825   2,425  
  Williams Cos. Inc. 4.000% 11/15/21 4,500   4,626  
  Williams Cos. Inc. 3.600% 3/15/22 10,530   10,820  
  Williams Cos. Inc. 3.350% 8/15/22 6,300   6,456  
  Williams Cos. Inc. 3.700% 1/15/23 6,950   7,173  
  Williams Cos. Inc. 4.500% 11/15/23 3,650   3,896  
  Williams Cos. Inc. 4.300% 3/4/24 4,400   4,674  
  Williams Cos. Inc. 4.550% 6/24/24 12,050   12,993  
  Williams Cos. Inc. 3.900% 1/15/25 14,518   15,202  
  Williams Cos. Inc. 4.000% 9/15/25 7,275   7,701  
  Williams Cos. Inc. 3.750% 6/15/27 17,900   18,598  
  Williams Cos. Inc. 7.500% 1/15/31 550   724  
  Williams Cos. Inc. 6.300% 4/15/40 5,320   6,594  
  Williams Cos. Inc. 5.800% 11/15/43 10,825   12,892  
  Williams Cos. Inc. 5.400% 3/4/44 5,000   5,607  
  Williams Cos. Inc. 5.750% 6/24/44 5,800   6,838  
  Williams Cos. Inc. 4.900% 1/15/45 1,650   1,780  
  Williams Cos. Inc. 5.100% 9/15/45 9,688   10,771  
  Williams Cos. Inc. 4.850% 3/1/48 9,470   10,386  

 

126

 

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Other Industrial (0.1%)            
4 American University 3.672% 4/1/49 3,500   3,742  
4 Boston University 4.061% 10/1/48 2,335   2,677  
  California Institute of Technology 4.321% 8/1/45 1,025   1,223  
  California Institute of Technology 4.700% 11/1/11 5,575   6,770  
  California Institute of Technology 3.650% 9/1/19 2,275   2,199  
  CBRE Services Inc. 5.250% 3/15/25 4,950   5,542  
  CBRE Services Inc. 4.875% 3/1/26 9,533   10,657  
  Cintas Corp. No. 2 2.900% 4/1/22 3,600   3,672  
  Cintas Corp. No. 2 3.250% 6/1/22 1,025   1,055  
  Cintas Corp. No. 2 3.700% 4/1/27 8,475   9,178  
  Cintas Corp. No. 2 6.150% 8/15/36 259   344  
  Fluor Corp. 3.500% 12/15/24 13,622   13,882  
  Fluor Corp. 4.250% 9/15/28 5,465   5,514  
  Georgetown University 4.315% 4/1/49 2,959   3,548  
  Georgetown University 5.215% 10/1/18 2,589   3,328  
  Hillenbrand Inc. 4.500% 9/15/26 3,025   3,138  
4 Johns Hopkins University 4.083% 7/1/53 5,275   6,092  
  Leland Stanford Junior University 3.647% 5/1/48 8,730   9,757  
4 Massachusetts Institute of Technology 3.959% 7/1/38 145   162  
  Massachusetts Institute of Technology 2.989% 7/1/50 3,080   3,050  
  Massachusetts Institute of Technology 5.600% 7/1/11 6,400   9,772  
  Massachusetts Institute of Technology 4.678% 7/1/14 13,775   17,763  
  Massachusetts Institute of Technology 3.885% 7/1/16 6,700   7,294  
4 Northwestern University 4.643% 12/1/44 4,775   5,933  
4 Northwestern University 3.662% 12/1/57 2,100   2,316  
  President & Fellows of Harvard College 3.619% 10/1/37 2,700   2,871  
  President & Fellows of Harvard College 4.875% 10/15/40 3,680   4,682  
  President & Fellows of Harvard College 3.150% 7/15/46 3,800   3,855  
  President & Fellows of Harvard College 3.300% 7/15/56 300   308  
  Steelcase Inc. 5.125% 1/18/29 3,700   4,172  
4 Trustees of Boston College 3.129% 7/1/52 3,500   3,399  
4 University of Chicago 4.003% 10/1/53 5,300   6,032  
4 University of Notre Dame du Lac 3.438% 2/15/45 7,925   8,426  
  University of Notre Dame du Lac 3.394% 2/15/48 2,700   2,870  
  University of Pennsylvania 4.674% 9/1/12 5,175   6,770  
  University of Pennsylvania 3.610% 2/15/19 4,000   4,089  
4 University of Southern California 3.028% 10/1/39 7,751   7,782  
4 University of Southern California 3.841% 10/1/47 9,550   10,610  
4 William Marsh Rice University 3.574% 5/15/45 20,700   22,078  
               
  Technology (2.2%)            
  Adobe Inc. 3.250% 2/1/25 10,958   11,557  
  Alphabet Inc. 3.625% 5/19/21 3,075   3,152  
  Alphabet Inc. 1.998% 8/15/26 12,650   12,585  
  Altera Corp. 4.100% 11/15/23 6,000   6,461  
  Amphenol Corp. 2.800% 2/15/30 13,405   13,199  
  Analog Devices Inc. 2.500% 12/5/21 6,025   6,072  
  Analog Devices Inc. 2.875% 6/1/23 6,700   6,830  
  Analog Devices Inc. 3.125% 12/5/23 7,475   7,711  
  Analog Devices Inc. 3.500% 12/5/26 9,965   10,448  
  Analog Devices Inc. 5.300% 12/15/45 100   122  
  Apple Inc. 2.000% 11/13/20 8,875   8,897  
  Apple Inc. 2.250% 2/23/21 37,645   37,832  

 

127

 

 

Total Bond Market II Index Fund  

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Apple Inc. 2.850% 5/6/21 31,010   31,484  
  Apple Inc. 1.550% 8/4/21 100   100  
  Apple Inc. 2.150% 2/9/22 11,115   11,209  
  Apple Inc. 2.500% 2/9/22 12,935   13,128  
  Apple Inc. 2.300% 5/11/22 13,450   13,616  
  Apple Inc. 2.700% 5/13/22 16,055   16,397  
  Apple Inc. 2.400% 1/13/23 8,371   8,493  
  Apple Inc. 2.850% 2/23/23 19,392   19,912  
  Apple Inc. 2.400% 5/3/23 39,823   40,470  
  Apple Inc. 3.000% 2/9/24 15,735   16,285  
  Apple Inc. 2.850% 5/11/24 37,641   38,899  
  Apple Inc. 1.800% 9/11/24 3,000   2,973  
  Apple Inc. 2.750% 1/13/25 20,273   20,924  
  Apple Inc. 2.500% 2/9/25 17,788   18,132  
  Apple Inc. 3.200% 5/13/25 9,694   10,233  
  Apple Inc. 3.250% 2/23/26 36,175   38,260  
  Apple Inc. 2.450% 8/4/26 22,100   22,404  
  Apple Inc. 2.050% 9/11/26 8,000   7,912  
  Apple Inc. 3.350% 2/9/27 21,601   22,985  
  Apple Inc. 3.200% 5/11/27 26,000   27,386  
  Apple Inc. 2.900% 9/12/27 25,470   26,482  
  Apple Inc. 2.200% 9/11/29 34,900   34,231  
  Apple Inc. 4.500% 2/23/36 11,875   14,399  
  Apple Inc. 3.850% 5/4/43 22,248   24,852  
  Apple Inc. 4.450% 5/6/44 8,400   10,267  
  Apple Inc. 3.450% 2/9/45 6,300   6,615  
  Apple Inc. 4.375% 5/13/45 23,135   27,849  
  Apple Inc. 4.650% 2/23/46 37,850   47,269  
  Apple Inc. 3.850% 8/4/46 19,600   21,997  
  Apple Inc. 4.250% 2/9/47 7,300   8,658  
  Apple Inc. 3.750% 9/12/47 10,324   11,384  
  Apple Inc. 3.750% 11/13/47 10,000   11,084  
  Apple Inc. 2.950% 9/11/49 28,360   27,560  
  Applied Materials Inc. 4.300% 6/15/21 5,100   5,273  
  Applied Materials Inc. 3.900% 10/1/25 13,905   15,137  
  Applied Materials Inc. 3.300% 4/1/27 9,200   9,761  
  Applied Materials Inc. 5.100% 10/1/35 4,875   6,144  
  Applied Materials Inc. 5.850% 6/15/41 5,905   8,053  
  Applied Materials Inc. 4.350% 4/1/47 6,300   7,600  
  Arrow Electronics Inc. 3.500% 4/1/22 2,500   2,558  
  Arrow Electronics Inc. 4.500% 3/1/23 3,350   3,509  
  Arrow Electronics Inc. 3.250% 9/8/24 7,315   7,505  
  Arrow Electronics Inc. 4.000% 4/1/25 3,070   3,179  
  Arrow Electronics Inc. 3.875% 1/12/28 3,525   3,615  
  Autodesk Inc. 3.600% 12/15/22 825   852  
  Autodesk Inc. 4.375% 6/15/25 2,600   2,830  
  Autodesk Inc. 3.500% 6/15/27 4,450   4,656  
  Avnet Inc. 3.750% 12/1/21 2,025   2,069  
  Avnet Inc. 4.875% 12/1/22 3,845   4,073  
  Avnet Inc. 4.625% 4/15/26 4,625   4,901  
  Baidu Inc. 2.875% 7/6/22 14,875   15,010  
  Baidu Inc. 3.500% 11/28/22 7,325   7,529  
  Baidu Inc. 3.875% 9/29/23 8,400   8,759  
  Baidu Inc. 4.375% 5/14/24 7,300   7,778  

 

128

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Baidu Inc. 4.125% 6/30/25 100   106  
  Baidu Inc. 3.625% 7/6/27 5,375   5,541  
  Baidu Inc. 4.375% 3/29/28 4,025   4,362  
  Baidu Inc. 4.875% 11/14/28 3,900   4,386  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 2.200% 1/15/21 6,150   6,142  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.000% 1/15/22 29,625   30,091  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 2.650% 1/15/23 11,425   11,481  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.625% 1/15/24 22,790   23,596  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.125% 1/15/25 16,100   16,290  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.875% 1/15/27 57,957   60,114  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.500% 1/15/28 8,100   8,180  
7 Broadcom Inc. 3.125% 4/15/21 17,200   17,404  
7 Broadcom Inc. 3.125% 10/15/22 12,900   13,124  
7 Broadcom Inc. 3.625% 10/15/24 25,520   26,447  
7 Broadcom Inc. 4.250% 4/15/26 22,000   23,354  
7 Broadcom Inc. 4.750% 4/15/29 35,480   38,734  
  Broadridge Financial Solutions Inc. 3.400% 6/27/26 2,725   2,837  
  Broadridge Financial Solutions Inc. 2.900% 12/1/29 4,200   4,192  
  Cadence Design Systems Inc. 4.375% 10/15/24 3,263   3,498  
  Cisco Systems Inc. 2.200% 2/28/21 27,400   27,517  
  Cisco Systems Inc. 1.850% 9/20/21 6,275   6,281  
  Cisco Systems Inc. 2.600% 2/28/23 5,250   5,364  
  Cisco Systems Inc. 2.200% 9/20/23 5,000   5,044  
  Cisco Systems Inc. 3.625% 3/4/24 8,482   9,063  
  Cisco Systems Inc. 2.950% 2/28/26 12,290   12,901  
  Cisco Systems Inc. 2.500% 9/20/26 3,225   3,288  
  Cisco Systems Inc. 5.900% 2/15/39 12,100   16,962  
  Cisco Systems Inc. 5.500% 1/15/40 21,242   28,927  
  Citrix Systems Inc. 4.500% 12/1/27 5,000   5,400  
  Corning Inc. 2.900% 5/15/22 4,675   4,770  
  Corning Inc. 4.700% 3/15/37 4,475   4,928  
  Corning Inc. 5.750% 8/15/40 7,460   9,291  
  Corning Inc. 4.750% 3/15/42 4,000   4,512  
  Corning Inc. 4.375% 11/15/57 6,250   6,293  
  Corning Inc. 5.450% 11/15/79 5,000   5,480  
7 Dell International LLC / EMC Corp. 5.450% 6/15/23 30,700   33,259  
7 Dell International LLC / EMC Corp. 4.000% 7/15/24 5,000   5,231  
7 Dell International LLC / EMC Corp. 6.020% 6/15/26 67,417   77,592  
7 Dell International LLC / EMC Corp. 4.900% 10/1/26 10,000   11,002  
7 Dell International LLC / EMC Corp. 5.300% 10/1/29 10,200   11,469  
7 Dell International LLC / EMC Corp. 8.100% 7/15/36 14,450   18,951  
7 Dell International LLC / EMC Corp. 8.350% 7/15/46 18,236   24,992  
7 Dell International LLC / EMC Corp. 4.420% 6/15/21 36,350   37,361  
  DXC Technology Co. 4.250% 4/15/24 14,375   15,211  
  DXC Technology Co. 4.750% 4/15/27 2,170   2,337  
  Equifax Inc. 2.300% 6/1/21 9,550   9,578  
  Equifax Inc. 3.600% 8/15/21 1,300   1,328  

 

129

 

  

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Equifax Inc. 3.950% 6/15/23 2,000   2,103  
  Equifax Inc. 2.600% 12/1/24 2,200   2,210  
  Equinix Inc. 2.625% 11/18/24 8,750   8,784  
  Equinix Inc. 2.900% 11/18/26 10,000   10,012  
  Equinix Inc. 3.200% 11/18/29 11,000   11,033  
  Fidelity National Information Services Inc. 3.500% 4/15/23 6,551   6,818  
  Fidelity National Information Services Inc. 3.875% 6/5/24 2,820   2,993  
  Fidelity National Information Services Inc. 3.000% 8/15/26 11,005   11,363  
  Fidelity National Information Services Inc. 3.750% 5/21/29 10,000   10,917  
  Fiserv Inc. 3.800% 10/1/23 13,483   14,213  
  Fiserv Inc. 2.750% 7/1/24 18,000   18,310  
  Fiserv Inc. 3.850% 6/1/25 10,994   11,696  
  Fiserv Inc. 3.200% 7/1/26 13,000   13,459  
  Fiserv Inc. 4.200% 10/1/28 5,000   5,512  
  Fiserv Inc. 3.500% 7/1/29 34,932   36,724  
  Fiserv Inc. 4.400% 7/1/49 23,075   26,162  
  Flex Ltd. 5.000% 2/15/23 2,730   2,912  
  Flex Ltd. 4.750% 6/15/25 75   81  
  Flex Ltd. 4.875% 6/15/29 6,500   7,056  
  FLIR Systems Inc. 3.125% 6/15/21 1,500   1,511  
  Global Payments Inc. 2.650% 2/15/25 14,475   14,548  
  Global Payments Inc. 3.200% 8/15/29 10,975   11,171  
  Global Payments Inc. 4.150% 8/15/49 6,775   7,232  
  Hewlett Packard Enterprise Co. 3.600% 10/15/20 44,344   44,826  
  Hewlett Packard Enterprise Co. 3.500% 10/5/21 260   266  
  Hewlett Packard Enterprise Co. 4.400% 10/15/22 17,850   18,840  
  Hewlett Packard Enterprise Co. 2.250% 4/1/23 2,000   1,999  
  Hewlett Packard Enterprise Co. 4.900% 10/15/25 22,195   24,603  
  Hewlett Packard Enterprise Co. 6.200% 10/15/35 7,192   8,609  
  Hewlett Packard Enterprise Co. 6.350% 10/15/45 13,300   16,027  
  HP Inc. 3.750% 12/1/20 1,984   2,015  
  HP Inc. 6.000% 9/15/41 7,820   8,621  
  IBM Credit LLC 3.450% 11/30/20 4,375   4,442  
  IBM Credit LLC 2.200% 9/8/22 6,500   6,545  
  IBM Credit LLC 3.000% 2/6/23 6,875   7,071  
  Intel Corp. 1.700% 5/19/21 10,225   10,206  
  Intel Corp. 3.300% 10/1/21 12,600   12,924  
  Intel Corp. 3.100% 7/29/22 6,100   6,293  
  Intel Corp. 2.700% 12/15/22 18,407   18,854  
  Intel Corp. 2.875% 5/11/24 26,646   27,636  
  Intel Corp. 3.700% 7/29/25 28,275   30,547  
  Intel Corp. 2.600% 5/19/26 10,890   11,136  
  Intel Corp. 2.450% 11/15/29 10,000   9,942  
  Intel Corp. 4.000% 12/15/32 9,370   10,851  
  Intel Corp. 4.800% 10/1/41 7,072   8,751  
  Intel Corp. 4.100% 5/19/46 11,225   12,904  
  Intel Corp. 4.100% 5/11/47 8,100   9,279  
  Intel Corp. 3.734% 12/8/47 28,050   30,652  
  Intel Corp. 3.250% 11/15/49 12,300   12,317  
  International Business Machines Corp. 2.250% 2/19/21 175   176  
  International Business Machines Corp. 2.800% 5/13/21 13,000   13,171  
  International Business Machines Corp. 2.900% 11/1/21 5,000   5,092  
  International Business Machines Corp. 2.500% 1/27/22 6,575   6,653  
  International Business Machines Corp. 2.850% 5/13/22 24,350   24,876  

 

130

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  International Business Machines Corp. 1.875% 8/1/22 11,160   11,163  
  International Business Machines Corp. 2.875% 11/9/22 33,085   33,930  
  International Business Machines Corp. 3.375% 8/1/23 18,075   18,906  
  International Business Machines Corp. 3.625% 2/12/24 21,085   22,312  
  International Business Machines Corp. 3.000% 5/15/24 27,200   28,164  
  International Business Machines Corp. 7.000% 10/30/25 2,850   3,556  
  International Business Machines Corp. 3.450% 2/19/26 15,464   16,453  
  International Business Machines Corp. 3.300% 5/15/26 27,800   29,286  
  International Business Machines Corp. 6.220% 8/1/27 1,975   2,460  
  International Business Machines Corp. 6.500% 1/15/28 50   63  
  International Business Machines Corp. 3.500% 5/15/29 30,800   33,057  
  International Business Machines Corp. 5.875% 11/29/32 5,075   6,698  
  International Business Machines Corp. 4.150% 5/15/39 21,200   23,810  
  International Business Machines Corp. 5.600% 11/30/39 7,423   9,668  
  International Business Machines Corp. 4.000% 6/20/42 17,500   19,291  
  International Business Machines Corp. 4.250% 5/15/49 34,606   39,356  
  Jabil Inc. 5.625% 12/15/20 1,375   1,415  
  Jabil Inc. 4.700% 9/15/22 1,500   1,588  
  Jabil Inc. 3.950% 1/12/28 4,000   4,104  
  Juniper Networks Inc. 4.350% 6/15/25 6,020   6,406  
  Juniper Networks Inc. 3.750% 8/15/29 5,000   5,201  
  Juniper Networks Inc. 5.950% 3/15/41 3,605   4,056  
  Keysight Technologies Inc. 4.550% 10/30/24 9,145   9,935  
  Keysight Technologies Inc. 4.600% 4/6/27 9,400   10,420  
  Keysight Technologies Inc. 3.000% 10/30/29 750   752  
  KLA Corp. 4.125% 11/1/21 9,250   9,561  
  KLA Corp. 4.650% 11/1/24 11,975   13,125  
  KLA Corp. 4.100% 3/15/29 13,000   14,233  
  KLA Corp. 5.000% 3/15/49 4,325   5,290  
  Lam Research Corp. 2.800% 6/15/21 7,400   7,481  
  Lam Research Corp. 3.800% 3/15/25 4,901   5,213  
  Lam Research Corp. 3.750% 3/15/26 11,500   12,317  
  Lam Research Corp. 4.000% 3/15/29 8,675   9,535  
  Lam Research Corp. 4.875% 3/15/49 11,700   14,594  
  Marvell Technology Group Ltd. 4.200% 6/22/23 4,950   5,198  
  Marvell Technology Group Ltd. 4.875% 6/22/28 3,758   4,143  
  Maxim Integrated Products Inc. 3.375% 3/15/23 4,275   4,386  
  Maxim Integrated Products Inc. 3.450% 6/15/27 4,325   4,456  
  Microchip Technology Inc. 3.922% 6/1/21 10,000   10,217  
  Microchip Technology Inc. 4.333% 6/1/23 5,000   5,283  
  Micron Technology Inc. 4.640% 2/6/24 3,000   3,244  
  Micron Technology Inc. 4.975% 2/6/26 4,175   4,624  
  Micron Technology Inc. 4.185% 2/15/27 8,000   8,540  
  Micron Technology Inc. 5.327% 2/6/29 5,950   6,790  
  Micron Technology Inc. 4.663% 2/15/30 3,500   3,850  
  Microsoft Corp. 2.000% 11/3/20 7,850   7,866  
  Microsoft Corp. 4.000% 2/8/21 3,725   3,820  
  Microsoft Corp. 1.550% 8/8/21 16,250   16,218  
  Microsoft Corp. 2.400% 2/6/22 29,359   29,776  
  Microsoft Corp. 2.375% 2/12/22 12,700   12,872  
  Microsoft Corp. 2.650% 11/3/22 25,986   26,595  
  Microsoft Corp. 2.375% 5/1/23 1,225   1,246  
  Microsoft Corp. 2.000% 8/8/23 18,050   18,150  
  Microsoft Corp. 2.875% 2/6/24 28,780   29,840  

 

131

 

  

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Microsoft Corp. 2.700% 2/12/25 6,425   6,641  
  Microsoft Corp. 3.125% 11/3/25 25,450   26,899  
  Microsoft Corp. 2.400% 8/8/26 54,407   54,953  
  Microsoft Corp. 3.300% 2/6/27 28,717   30,654  
  Microsoft Corp. 3.500% 2/12/35 17,825   19,607  
  Microsoft Corp. 4.200% 11/3/35 13,335   15,729  
  Microsoft Corp. 3.450% 8/8/36 34,963   38,224  
  Microsoft Corp. 4.100% 2/6/37 26,931   31,725  
  Microsoft Corp. 4.500% 10/1/40 16,426   20,350  
  Microsoft Corp. 3.500% 11/15/42 12,195   13,242  
  Microsoft Corp. 3.750% 5/1/43 3,840   4,243  
  Microsoft Corp. 4.875% 12/15/43 12,950   16,894  
  Microsoft Corp. 3.750% 2/12/45 21,295   24,166  
  Microsoft Corp. 4.450% 11/3/45 25,800   32,138  
  Microsoft Corp. 3.700% 8/8/46 47,675   53,797  
  Microsoft Corp. 4.250% 2/6/47 23,550   28,741  
  Microsoft Corp. 4.000% 2/12/55 28,317   33,468  
  Microsoft Corp. 3.950% 8/8/56 18,949   22,413  
  Microsoft Corp. 4.500% 2/6/57 14,000   18,121  
  Motorola Solutions Inc. 3.750% 5/15/22 3,611   3,729  
  Motorola Solutions Inc. 3.500% 3/1/23 7,715   7,954  
  Motorola Solutions Inc. 4.000% 9/1/24 9,894   10,465  
  Motorola Solutions Inc. 4.600% 2/23/28 6,000   6,490  
  Motorola Solutions Inc. 4.600% 5/23/29 7,000   7,686  
  Motorola Solutions Inc. 5.500% 9/1/44 2,995   3,287  
  NetApp Inc. 3.375% 6/15/21 4,350   4,417  
  NetApp Inc. 3.300% 9/29/24 4,475   4,627  
  NVIDIA Corp. 2.200% 9/16/21 8,550   8,585  
  NVIDIA Corp. 3.200% 9/16/26 8,080   8,448  
7 NXP BV / NXP Funding LLC 4.875% 3/1/24 9,250   10,048  
7 NXP BV / NXP Funding LLC 5.350% 3/1/26 10,506   11,793  
7 NXP BV / NXP Funding LLC 5.550% 12/1/28 7,300   8,532  
7 NXP BV / NXP Funding LLC / NXP USA Inc. 3.875% 6/18/26 2,000   2,115  
7 NXP BV / NXP Funding LLC / NXP USA Inc. 4.300% 6/18/29 18,000   19,440  
  Oracle Corp. 2.800% 7/8/21 12,635   12,816  
  Oracle Corp. 1.900% 9/15/21 53,473   53,540  
  Oracle Corp. 2.500% 5/15/22 9,350   9,483  
  Oracle Corp. 2.500% 10/15/22 22,810   23,188  
  Oracle Corp. 2.625% 2/15/23 8,000   8,155  
  Oracle Corp. 2.400% 9/15/23 15,575   15,825  
  Oracle Corp. 3.400% 7/8/24 17,000   17,934  
  Oracle Corp. 2.950% 11/15/24 32,430   33,621  
  Oracle Corp. 2.950% 5/15/25 21,357   22,198  
  Oracle Corp. 2.650% 7/15/26 42,460   43,343  
  Oracle Corp. 3.250% 11/15/27 5,000   5,286  
  Oracle Corp. 3.250% 5/15/30 3,572   3,790  
  Oracle Corp. 4.300% 7/8/34 16,640   19,428  
  Oracle Corp. 3.900% 5/15/35 2,900   3,226  
  Oracle Corp. 3.850% 7/15/36 24,625   26,954  
  Oracle Corp. 3.800% 11/15/37 10,000   10,890  
  Oracle Corp. 6.125% 7/8/39 5,000   6,989  
  Oracle Corp. 5.375% 7/15/40 24,102   31,235  
  Oracle Corp. 4.500% 7/8/44 13,000   15,331  
  Oracle Corp. 4.125% 5/15/45 20,075   22,560  

 

132

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Oracle Corp. 4.000% 7/15/46 25,911   28,736  
  Oracle Corp. 4.000% 11/15/47 21,765   24,306  
  Oracle Corp. 4.375% 5/15/55 9,550   11,292  
  PayPal Holdings Inc. 2.200% 9/26/22 9,000   9,051  
  PayPal Holdings Inc. 2.400% 10/1/24 11,500   11,612  
  PayPal Holdings Inc. 2.650% 10/1/26 12,800   12,969  
  PayPal Holdings Inc. 2.850% 10/1/29 18,160   18,197  
  QUALCOMM Inc. 3.000% 5/20/22 17,225   17,642  
  QUALCOMM Inc. 2.600% 1/30/23 13,025   13,253  
  QUALCOMM Inc. 2.900% 5/20/24 29,415   30,309  
  QUALCOMM Inc. 3.450% 5/20/25 11,400   12,017  
  QUALCOMM Inc. 3.250% 5/20/27 12,500   13,087  
  QUALCOMM Inc. 4.650% 5/20/35 9,700   11,477  
  QUALCOMM Inc. 4.800% 5/20/45 12,000   14,670  
  QUALCOMM Inc. 4.300% 5/20/47 13,491   15,476  
  salesforce.com Inc. 3.250% 4/11/23 8,625   8,955  
  salesforce.com Inc. 3.700% 4/11/28 12,050   13,212  
  Seagate HDD Cayman 4.250% 3/1/22 3,103   3,204  
  Seagate HDD Cayman 4.750% 6/1/23 1,688   1,787  
  Seagate HDD Cayman 4.875% 3/1/24 7,350   7,819  
  Seagate HDD Cayman 4.750% 1/1/25 4,934   5,236  
  Seagate HDD Cayman 4.875% 6/1/27 4,600   4,876  
  Seagate HDD Cayman 5.750% 12/1/34 3,825   4,026  
  Tech Data Corp. 3.700% 2/15/22 4,350   4,439  
  Tech Data Corp. 4.950% 2/15/27 3,900   4,015  
  Texas Instruments Inc. 2.750% 3/12/21 4,000   4,044  
  Texas Instruments Inc. 1.850% 5/15/22 4,400   4,405  
  Texas Instruments Inc. 2.625% 5/15/24 4,222   4,326  
  Texas Instruments Inc. 2.900% 11/3/27 4,425   4,621  
  Texas Instruments Inc. 2.250% 9/4/29 7,500   7,385  
  Texas Instruments Inc. 3.875% 3/15/39 7,000   7,869  
  Texas Instruments Inc. 4.150% 5/15/48 12,640   14,936  
  Total System Services Inc. 3.800% 4/1/21 6,530   6,652  
  Total System Services Inc. 3.750% 6/1/23 5,450   5,688  
  Total System Services Inc. 4.000% 6/1/23 4,595   4,836  
  Total System Services Inc. 4.800% 4/1/26 6,500   7,223  
  Total System Services Inc. 4.450% 6/1/28 2,000   2,178  
  Trimble Inc. 4.150% 6/15/23 1,025   1,081  
  Trimble Inc. 4.750% 12/1/24 3,826   4,145  
  Trimble Inc. 4.900% 6/15/28 4,000   4,361  
  Tyco Electronics Group SA 4.875% 1/15/21 3,750   3,854  
  Tyco Electronics Group SA 3.500% 2/3/22 3,900   4,013  
  Tyco Electronics Group SA 3.450% 8/1/24 1,425   1,485  
  Tyco Electronics Group SA 3.700% 2/15/26 3,100   3,270  
  Tyco Electronics Group SA 3.125% 8/15/27 2,950   3,024  
  Tyco Electronics Group SA 7.125% 10/1/37 7,145   10,499  
  Verisk Analytics Inc. 5.800% 5/1/21 4,410   4,617  
  Verisk Analytics Inc. 4.125% 9/12/22 8,500   8,886  
  Verisk Analytics Inc. 4.000% 6/15/25 4,950   5,323  
  Verisk Analytics Inc. 4.125% 3/15/29 7,090   7,736  
  Verisk Analytics Inc. 5.500% 6/15/45 3,500   4,312  
  VMware Inc. 2.950% 8/21/22 22,375   22,789  
  VMware Inc. 3.900% 8/21/27 13,225   13,795  
  Xilinx Inc. 3.000% 3/15/21 9,450   9,558  
  Xilinx Inc. 2.950% 6/1/24 6,483   6,654  

 

133

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Transportation (0.7%)            
4 American Airlines 2011-1 Class A Pass Through Trust 5.250% 7/31/22 2,876   2,948  
4 American Airlines 2013-1 Class A Pass Through Trust 4.000% 1/15/27 676   711  
4 American Airlines 2013-2 Class A Pass Through Trust 4.950% 7/15/24 3,054   3,194  
4 American Airlines 2014-1 Class A Pass Through Trust 3.700% 4/1/28 1,508   1,575  
4 American Airlines 2015-1 Class A Pass Through Trust 3.375% 11/1/28 5,229   5,362  
4 American Airlines 2015-1 Class B Pass Through Trust 3.700% 11/1/24 1,016   1,028  
4 American Airlines 2015-2 Class AA Pass Through Trust 3.600% 9/22/27 876   919  
4 American Airlines 2016-1 Class A Pass Through Trust 4.100% 1/15/28 1,799   1,900  
4 American Airlines 2016-1 Class AA Pass Through Trust 3.575% 1/15/28 2,699   2,830  
4 American Airlines 2016-2 Class A Pass Through Trust 3.650% 6/15/28 3,696   3,813  
4 American Airlines 2016-2 Class AA Pass Through Trust 3.200% 12/15/29 4,580   4,719  
4 American Airlines 2016-3 Class A Pass Through Trust 3.250% 4/15/30 1,940   1,989  
4 American Airlines 2016-3 Class AA Pass Through Trust 3.000% 10/15/28 6,112   6,217  
4 American Airlines 2017-1 Class AA Pass Through Trust 3.650% 8/15/30 2,454   2,570  
4 American Airlines 2017-1B Class B Pass Through Trust 4.950% 2/15/25 1,180   1,241  
4 American Airlines 2017-2 Class AA Pass Through Trust 3.350% 10/15/29 5,053   5,150  
4 American Airlines 2019-1 Class AA Pass Through Trust 3.150% 8/15/33 2,000   2,030  
  Burlington Northern Santa Fe LLC 3.450% 9/15/21 2,540   2,598  
  Burlington Northern Santa Fe LLC 3.050% 3/15/22 1,025   1,048  
  Burlington Northern Santa Fe LLC 3.050% 9/1/22 6,360   6,525  
  Burlington Northern Santa Fe LLC 3.000% 3/15/23 6,190   6,361  
  Burlington Northern Santa Fe LLC 3.850% 9/1/23 9,785   10,390  
  Burlington Northern Santa Fe LLC 3.750% 4/1/24 5,983   6,387  
  Burlington Northern Santa Fe LLC 3.400% 9/1/24 8,460   8,943  
  Burlington Northern Santa Fe LLC 3.000% 4/1/25 12,300   12,798  
  Burlington Northern Santa Fe LLC 3.650% 9/1/25 200   215  
  Burlington Northern Santa Fe LLC 3.250% 6/15/27 13,550   14,474  
  Burlington Northern Santa Fe LLC 6.200% 8/15/36 1,650   2,281  
  Burlington Northern Santa Fe LLC 5.750% 5/1/40 14,075   19,008  
  Burlington Northern Santa Fe LLC 5.050% 3/1/41 4,425   5,496  
  Burlington Northern Santa Fe LLC 5.400% 6/1/41 4,025   5,187  
  Burlington Northern Santa Fe LLC 4.950% 9/15/41 3,680   4,502  
  Burlington Northern Santa Fe LLC 4.400% 3/15/42 5,604   6,473  
  Burlington Northern Santa Fe LLC 4.375% 9/1/42 9,591   11,138  
  Burlington Northern Santa Fe LLC 4.450% 3/15/43 10,840   12,617  
  Burlington Northern Santa Fe LLC 5.150% 9/1/43 6,200   7,903  

 

134

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Burlington Northern Santa Fe LLC 4.900% 4/1/44 7,380   9,132  
  Burlington Northern Santa Fe LLC 4.550% 9/1/44 3,305   3,940  
  Burlington Northern Santa Fe LLC 4.150% 4/1/45 5,790   6,654  
  Burlington Northern Santa Fe LLC 4.700% 9/1/45 4,800   5,847  
  Burlington Northern Santa Fe LLC 3.900% 8/1/46 8,700   9,522  
  Burlington Northern Santa Fe LLC 4.125% 6/15/47 13,150   14,857  
  Burlington Northern Santa Fe LLC 4.050% 6/15/48 5,915   6,665  
  Burlington Northern Santa Fe LLC 4.150% 12/15/48 6,070   6,928  
  Burlington Northern Santa Fe LLC 3.550% 2/15/50 8,685   9,006  
  Canadian National Railway Co. 2.850% 12/15/21 13,385   13,568  
  Canadian National Railway Co. 2.950% 11/21/24 1,319   1,353  
  Canadian National Railway Co. 2.750% 3/1/26 1,800   1,837  
  Canadian National Railway Co. 6.900% 7/15/28 300   397  
  Canadian National Railway Co. 6.250% 8/1/34 370   511  
  Canadian National Railway Co. 6.200% 6/1/36 5,425   7,491  
  Canadian National Railway Co. 6.375% 11/15/37 145   207  
  Canadian National Railway Co. 3.200% 8/2/46 4,850   4,929  
  Canadian National Railway Co. 3.650% 2/3/48 7,560   8,248  
  Canadian Pacific Railway Co. 4.500% 1/15/22 3,291   3,446  
  Canadian Pacific Railway Co. 4.450% 3/15/23 4,630   4,911  
  Canadian Pacific Railway Co. 2.900% 2/1/25 5,625   5,761  
  Canadian Pacific Railway Co. 7.125% 10/15/31 2,031   2,816  
  Canadian Pacific Railway Co. 5.750% 3/15/33 100   125  
  Canadian Pacific Railway Co. 5.950% 5/15/37 11,110   14,717  
  Canadian Pacific Railway Co. 4.800% 8/1/45 100   125  
  Canadian Pacific Railway Co. 6.125% 9/15/15 4,706   6,855  
  CH Robinson Worldwide Inc. 4.200% 4/15/28 4,175   4,558  
4 Continental Airlines 2010-1 Class A Pass Through Trust 4.750% 7/12/22 2,247   2,295  
4 Continental Airlines 2012-1 Class A Pass Through Trust 4.150% 10/11/25 5,297   5,539  
4 Continental Airlines 2012-2 Class A Pass Through Trust 4.000% 4/29/26 962   1,014  
  CSX Corp. 4.250% 6/1/21 7,340   7,527  
  CSX Corp. 3.700% 11/1/23 2,800   2,959  
  CSX Corp. 3.350% 11/1/25 3,650   3,862  
  CSX Corp. 2.600% 11/1/26 3,400   3,450  
  CSX Corp. 3.250% 6/1/27 12,250   12,849  
  CSX Corp. 3.800% 3/1/28 13,350   14,522  
  CSX Corp. 4.250% 3/15/29 12,000   13,473  
  CSX Corp. 2.400% 2/15/30 8,500   8,298  
  CSX Corp. 6.000% 10/1/36 150   195  
  CSX Corp. 6.150% 5/1/37 4,500   5,960  
  CSX Corp. 6.220% 4/30/40 7,279   9,874  
  CSX Corp. 5.500% 4/15/41 4,900   6,152  
  CSX Corp. 4.750% 5/30/42 2,290   2,681  
  CSX Corp. 4.100% 3/15/44 4,625   5,020  
  CSX Corp. 3.800% 11/1/46 2,550   2,643  
  CSX Corp. 4.300% 3/1/48 9,975   11,212  
  CSX Corp. 4.750% 11/15/48 3,000   3,626  
  CSX Corp. 4.500% 3/15/49 8,450   9,791  
  CSX Corp. 3.350% 9/15/49 10,000   9,839  
  CSX Corp. 3.950% 5/1/50 10,930   11,793  
  CSX Corp. 4.500% 8/1/54 235   269  

 

135

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  CSX Corp. 4.250% 11/1/66 5,875   6,279  
  CSX Corp. 4.650% 3/1/68 5,720   6,521  
4 Delta Air Lines 2007-1 Class A Pass Through Trust 6.821% 2/10/24 5,261   5,729  
4 Delta Air Lines 2015-1 Class AA Pass Through Trust 3.625% 7/30/27 868   916  
4 Delta Air Lines 2019-1 Class AA Pass Through Trust 3.204% 4/25/24 4,000   4,155  
  Delta Air Lines Inc. 2.600% 12/4/20 5,400   5,416  
  Delta Air Lines Inc. 3.400% 4/19/21 4,945   5,004  
  Delta Air Lines Inc. 3.625% 3/15/22 6,900   7,068  
  Delta Air Lines Inc. 3.800% 4/19/23 7,275   7,546  
  Delta Air Lines Inc. 2.900% 10/28/24 7,000   7,017  
  Delta Air Lines Inc. 4.375% 4/19/28 6,100   6,397  
  Delta Air Lines Inc. 3.750% 10/28/29 2,990   2,977  
  FedEx Corp. 2.625% 8/1/22 4,083   4,142  
  FedEx Corp. 4.000% 1/15/24 3,250   3,474  
  FedEx Corp. 3.200% 2/1/25 3,350   3,471  
  FedEx Corp. 3.250% 4/1/26 3,637   3,770  
  FedEx Corp. 3.300% 3/15/27 3,550   3,647  
  FedEx Corp. 3.400% 2/15/28 10,000   10,161  
  FedEx Corp. 4.900% 1/15/34 1,700   1,922  
  FedEx Corp. 3.900% 2/1/35 4,100   4,140  
  FedEx Corp. 3.875% 8/1/42 275   264  
  FedEx Corp. 4.100% 4/15/43 2,275   2,224  
  FedEx Corp. 5.100% 1/15/44 7,502   8,210  
  FedEx Corp. 4.750% 11/15/45 11,725   12,342  
  FedEx Corp. 4.550% 4/1/46 9,610   9,821  
  FedEx Corp. 4.400% 1/15/47 8,400   8,442  
  FedEx Corp. 4.050% 2/15/48 17,800   17,083  
  FedEx Corp. 4.950% 10/17/48 6,400   6,955  
  FedEx Corp. 4.500% 2/1/65 785   707  
  JB Hunt Transport Services Inc. 3.300% 8/15/22 6,000   6,172  
  JB Hunt Transport Services Inc. 3.875% 3/1/26 5,500   5,874  
4 JetBlue 2019-1 Class AA Pass Through Trust 2.750% 5/15/32 10,000   10,077  
  Kansas City Southern 3.000% 5/15/23 13,874   14,176  
  Kansas City Southern 2.875% 11/15/29 4,000   3,984  
  Kansas City Southern 4.300% 5/15/43 4,140   4,502  
  Kansas City Southern 4.950% 8/15/45 10,525   12,340  
  Kansas City Southern 4.700% 5/1/48 6,500   7,516  
  Kirby Corp. 4.200% 3/1/28 14,217   14,986  
4 Latam Airlines 2015-1 Pass Through Trust A 4.200% 8/15/29 2,557   2,637  
  Norfolk Southern Corp. 3.250% 12/1/21 4,000   4,088  
  Norfolk Southern Corp. 3.000% 4/1/22 5,180   5,293  
  Norfolk Southern Corp. 2.903% 2/15/23 9,053   9,249  
  Norfolk Southern Corp. 3.850% 1/15/24 4,420   4,683  
  Norfolk Southern Corp. 3.650% 8/1/25 1,400   1,493  
  Norfolk Southern Corp. 2.900% 6/15/26 250   257  
  Norfolk Southern Corp. 7.800% 5/15/27 1,345   1,766  
  Norfolk Southern Corp. 3.150% 6/1/27 6,000   6,249  
  Norfolk Southern Corp. 3.800% 8/1/28 7,630   8,372  
  Norfolk Southern Corp. 2.550% 11/1/29 1,840   1,827  
  Norfolk Southern Corp. 7.050% 5/1/37 800   1,119  
  Norfolk Southern Corp. 4.837% 10/1/41 11,598   13,728  

 

136

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Norfolk Southern Corp. 3.950% 10/1/42 2,125   2,251  
  Norfolk Southern Corp. 4.450% 6/15/45 5,320   6,097  
  Norfolk Southern Corp. 4.650% 1/15/46 4,400   5,181  
  Norfolk Southern Corp. 3.942% 11/1/47 2,623   2,810  
  Norfolk Southern Corp. 4.150% 2/28/48 2,625   2,962  
  Norfolk Southern Corp. 4.100% 5/15/49 3,550   3,901  
  Norfolk Southern Corp. 3.400% 11/1/49 1,500   1,483  
  Norfolk Southern Corp. 4.050% 8/15/52 12,849   14,097  
  Norfolk Southern Corp. 6.000% 3/15/05 1,513   1,995  
  Norfolk Southern Corp. 5.100% 8/1/18 6,975   8,206  
  Ryder System Inc. 3.500% 6/1/21 5,000   5,096  
  Ryder System Inc. 2.250% 9/1/21 350   350  
  Ryder System Inc. 2.875% 6/1/22 2,500   2,544  
  Ryder System Inc. 3.400% 3/1/23 5,400   5,566  
  Ryder System Inc. 3.750% 6/9/23 12,000   12,523  
  Ryder System Inc. 3.650% 3/18/24 7,775   8,162  
  Ryder System Inc. 2.500% 9/1/24 3,475   3,489  
  Ryder System Inc. 2.900% 12/1/26 2,000   2,012  
  Southwest Airlines Co. 2.750% 11/16/22 1,000   1,014  
  Southwest Airlines Co. 3.000% 11/15/26 3,475   3,550  
  Southwest Airlines Co. 3.450% 11/16/27 2,650   2,774  
4 Southwest Airlines Co. 2007-1 Pass Through Trust 6.150% 2/1/24 1,833   1,929  
4 Spirit Airlines Class A Pass Through Certificates Series 2015-1 4.100% 10/1/29 1,989   2,072  
  Union Pacific Corp. 4.000% 2/1/21 4,325   4,398  
  Union Pacific Corp. 3.200% 6/8/21 5,350   5,441  
  Union Pacific Corp. 2.950% 3/1/22 2,700   2,758  
  Union Pacific Corp. 4.163% 7/15/22 9,996   10,503  
  Union Pacific Corp. 2.750% 4/15/23 7,240   7,371  
  Union Pacific Corp. 3.500% 6/8/23 10,025   10,490  
  Union Pacific Corp. 3.646% 2/15/24 6,303   6,634  
  Union Pacific Corp. 3.150% 3/1/24 4,300   4,466  
  Union Pacific Corp. 3.250% 1/15/25 4,200   4,378  
  Union Pacific Corp. 3.750% 7/15/25 5,950   6,372  
  Union Pacific Corp. 3.250% 8/15/25 4,200   4,421  
  Union Pacific Corp. 2.750% 3/1/26 6,929   7,076  
  Union Pacific Corp. 3.000% 4/15/27 2,275   2,371  
  Union Pacific Corp. 3.950% 9/10/28 12,310   13,566  
  Union Pacific Corp. 3.700% 3/1/29 8,275   9,010  
  Union Pacific Corp. 3.375% 2/1/35 4,400   4,536  
  Union Pacific Corp. 3.600% 9/15/37 8,815   9,185  
  Union Pacific Corp. 4.375% 9/10/38 4,500   5,133  
  Union Pacific Corp. 4.300% 6/15/42 600   668  
  Union Pacific Corp. 4.250% 4/15/43 525   582  
  Union Pacific Corp. 4.150% 1/15/45 350   384  
  Union Pacific Corp. 4.050% 11/15/45 7,225   7,798  
  Union Pacific Corp. 4.050% 3/1/46 3,320   3,615  
  Union Pacific Corp. 3.350% 8/15/46 6,900   6,740  
  Union Pacific Corp. 4.300% 3/1/49 6,500   7,436  
  Union Pacific Corp. 3.799% 10/1/51 16,224   17,207  
  Union Pacific Corp. 3.875% 2/1/55 6,335   6,629  
  Union Pacific Corp. 3.950% 8/15/59 1,800   1,885  
7 Union Pacific Corp. 3.839% 3/20/60 21,427   21,436  

 

137

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Union Pacific Corp. 4.375% 11/15/65 10,960   12,018  
  Union Pacific Corp. 4.100% 9/15/67 6,045   6,227  
4 Union Pacific Railroad Co. 2007-3 Pass Through Trust 6.176% 1/2/31 340   398  
4 United Airlines 2013-1 Class A Pass Through Trust 4.300% 2/15/27 1,976   2,117  
4 United Airlines 2014-1 Class A Pass Through Trust 4.000% 10/11/27 4,187   4,427  
4 United Airlines 2014-2 Class A Pass Through Trust 3.750% 3/3/28 2,011   2,113  
4 United Airlines 2015-1 Class A Pass Through Trust 3.700% 6/1/24 1,750   1,790  
4 United Airlines 2015-1 Class AA Pass Through Trust 3.450% 12/1/27 3,468   3,577  
4 United Airlines 2016-1 Class A Pass Through Trust 3.450% 1/7/30 2,236   2,295  
4 United Airlines 2016-1 Class AA Pass Through Trust 3.100% 7/7/28 21,132   21,584  
4 United Airlines 2016-2 Class A Pass Through Trust 3.100% 10/7/28 1,140   1,153  
4 United Airlines 2016-2 Class AA Pass Through Trust 2.875% 10/7/28 3,953   4,003  
4 United Airlines 2018-1 Class AA Pass Through Trust 3.500% 3/1/30 311   321  
4 United Airlines 2019-1 Class AA Pass Through Trust 4.150% 8/25/31 6,000   6,476  
4 United Airlines 2019-2 Class AA Pass Through Trust 2.700% 11/1/33 4,500   4,497  
  United Parcel Service Inc. 3.125% 1/15/21 7,400   7,495  
  United Parcel Service Inc. 2.050% 4/1/21 11,900   11,930  
  United Parcel Service Inc. 2.350% 5/16/22 6,000   6,067  
  United Parcel Service Inc. 2.450% 10/1/22 14,776   15,006  
  United Parcel Service Inc. 2.500% 4/1/23 13,975   14,195  
  United Parcel Service Inc. 2.800% 11/15/24 14,050   14,489  
  United Parcel Service Inc. 2.400% 11/15/26 10,550   10,638  
  United Parcel Service Inc. 3.050% 11/15/27 9,000   9,448  
  United Parcel Service Inc. 3.400% 3/15/29 5,050   5,407  
  United Parcel Service Inc. 2.500% 9/1/29 4,450   4,439  
  United Parcel Service Inc. 6.200% 1/15/38 9,675   13,576  
  United Parcel Service Inc. 4.875% 11/15/40 3,825   4,647  
  United Parcel Service Inc. 3.625% 10/1/42 2,400   2,481  
  United Parcel Service Inc. 3.400% 11/15/46 2,825   2,823  
  United Parcel Service Inc. 3.750% 11/15/47 9,105   9,763  
  United Parcel Service Inc. 4.250% 3/15/49 7,345   8,495  
  United Parcel Service of America Inc. 8.375% 4/1/30 500   705  
            31,677,172  
Utilities (1.9%)            
  Electric (1.7%)            
  AEP Texas Inc. 2.400% 10/1/22 2,400   2,417  
  AEP Texas Inc. 3.950% 6/1/28 4,275   4,655  
  AEP Texas Inc. 3.800% 10/1/47 3,000   3,138  
  AEP Texas Inc. 3.450% 1/15/50 6,635   6,629  
  AEP Transmission Co. LLC 4.000% 12/1/46 3,721   4,106  
  AEP Transmission Co. LLC 3.750% 12/1/47 12,250   13,127  

 

138

 

 

Total Bond Market II Index Fund 

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  AEP Transmission Co. LLC 4.250% 9/15/48 4,350   4,988  
  AEP Transmission Co. LLC 3.800% 6/15/49 2,925   3,131  
  AEP Transmission Co. LLC 3.150% 9/15/49 2,985   2,891  
  Alabama Power Co. 2.450% 3/30/22 6,500   6,581  
  Alabama Power Co. 3.550% 12/1/23 8,800   9,270  
  Alabama Power Co. 6.125% 5/15/38 900   1,214  
  Alabama Power Co. 6.000% 3/1/39 2,290   3,176  
  Alabama Power Co. 3.850% 12/1/42 1,850   1,967  
  Alabama Power Co. 4.150% 8/15/44 4,900   5,444  
  Alabama Power Co. 3.750% 3/1/45 6,115   6,413  
  Alabama Power Co. 4.300% 1/2/46 9,950   11,324  
  Alabama Power Co. 3.700% 12/1/47 4,475   4,688  
  Alabama Power Co. 4.300% 7/15/48 5,425   6,250  
  Alabama Power Co. 3.450% 10/1/49 3,000   3,070  
  Ameren Corp. 3.650% 2/15/26 2,775   2,901  
  Ameren Illinois Co. 2.700% 9/1/22 3,170   3,225  
  Ameren Illinois Co. 3.250% 3/1/25 2,020   2,112  
  Ameren Illinois Co. 3.800% 5/15/28 4,850   5,285  
  Ameren Illinois Co. 4.150% 3/15/46 775   881  
  Ameren Illinois Co. 3.700% 12/1/47 7,675   8,132  
  Ameren Illinois Co. 4.500% 3/15/49 4,000   4,912  
  Ameren Illinois Co. 3.250% 3/15/50 3,155   3,186  
  American Electric Power Co. Inc. 3.650% 12/1/21 3,000   3,092  
  American Electric Power Co. Inc. 3.200% 11/13/27 4,350   4,456  
  American Electric Power Co. Inc. 4.300% 12/1/28 5,000   5,541  
  Appalachian Power Co. 4.600% 3/30/21 13,750   14,112  
  Appalachian Power Co. 7.000% 4/1/38 1,880   2,633  
  Appalachian Power Co. 4.400% 5/15/44 6,295   7,076  
  Appalachian Power Co. 4.450% 6/1/45 2,100   2,402  
  Appalachian Power Co. 4.500% 3/1/49 8,420   9,765  
  Arizona Public Service Co. 3.150% 5/15/25 2,265   2,348  
  Arizona Public Service Co. 2.950% 9/15/27 5,300   5,425  
  Arizona Public Service Co. 4.500% 4/1/42 4,875   5,608  
  Arizona Public Service Co. 4.350% 11/15/45 1,600   1,814  
  Arizona Public Service Co. 3.750% 5/15/46 7,350   7,643  
  Arizona Public Service Co. 4.200% 8/15/48 2,000   2,223  
  Arizona Public Service Co. 4.250% 3/1/49 3,000   3,386  
  Arizona Public Service Co. 3.500% 12/1/49 2,760   2,766  
  Avangrid Inc. 3.150% 12/1/24 5,495   5,664  
  Avangrid Inc. 3.800% 6/1/29 9,400   9,942  
  Avista Corp. 4.350% 6/1/48 3,200   3,619  
  Baltimore Gas & Electric Co. 3.500% 11/15/21 4,825   4,953  
  Baltimore Gas & Electric Co. 3.350% 7/1/23 3,150   3,267  
  Baltimore Gas & Electric Co. 2.400% 8/15/26 8,600   8,626  
  Baltimore Gas & Electric Co. 6.350% 10/1/36 1,551   2,137  
  Baltimore Gas & Electric Co. 3.500% 8/15/46 4,000   4,084  
  Baltimore Gas & Electric Co. 3.750% 8/15/47 2,325   2,479  
  Baltimore Gas & Electric Co. 4.250% 9/15/48 4,450   5,151  
  Baltimore Gas & Electric Co. 3.200% 9/15/49 3,420   3,346  
  Berkshire Hathaway Energy Co. 2.375% 1/15/21 5,975   5,994  
  Berkshire Hathaway Energy Co. 2.800% 1/15/23 6,725   6,858  
  Berkshire Hathaway Energy Co. 3.750% 11/15/23 7,161   7,558  
  Berkshire Hathaway Energy Co. 3.500% 2/1/25 7,975   8,411  
  Berkshire Hathaway Energy Co. 3.250% 4/15/28 775   809  

 

139

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Berkshire Hathaway Energy Co. 6.125% 4/1/36 12,525   17,238  
  Berkshire Hathaway Energy Co. 5.950% 5/15/37 3,292   4,447  
  Berkshire Hathaway Energy Co. 6.500% 9/15/37 7,055   9,774  
  Berkshire Hathaway Energy Co. 5.150% 11/15/43 7,275   9,141  
  Berkshire Hathaway Energy Co. 4.500% 2/1/45 6,175   7,268  
  Berkshire Hathaway Energy Co. 3.800% 7/15/48 3,360   3,561  
  Berkshire Hathaway Energy Co. 4.450% 1/15/49 6,975   8,175  
  Black Hills Corp. 4.250% 11/30/23 2,140   2,270  
  Black Hills Corp. 3.950% 1/15/26 4,300   4,531  
  Black Hills Corp. 3.150% 1/15/27 3,375   3,403  
  Black Hills Corp. 3.050% 10/15/29 2,905   2,903  
  Black Hills Corp. 4.350% 5/1/33 4,745   5,198  
  Black Hills Corp. 4.200% 9/15/46 3,200   3,329  
  Black Hills Corp. 3.875% 10/15/49 1,865   1,864  
  CenterPoint Energy Houston Electric LLC 1.850% 6/1/21 5,800   5,800  
  CenterPoint Energy Houston Electric LLC 2.250% 8/1/22 700   703  
  CenterPoint Energy Houston Electric LLC 2.400% 9/1/26 9,900   9,754  
  CenterPoint Energy Houston Electric LLC 3.000% 2/1/27 2,000   2,037  
  CenterPoint Energy Houston Electric LLC 6.950% 3/15/33 100   141  
  CenterPoint Energy Houston Electric LLC 3.550% 8/1/42 4,950   5,104  
  CenterPoint Energy Houston Electric LLC 4.500% 4/1/44 450   532  
  CenterPoint Energy Houston Electric LLC 3.950% 3/1/48 3,775   4,187  
  CenterPoint Energy Houston Electric LLC 4.250% 2/1/49 3,050   3,572  
  CenterPoint Energy Inc. 3.600% 11/1/21 2,400   2,457  
  CenterPoint Energy Inc. 2.500% 9/1/22 8,525   8,587  
  CenterPoint Energy Inc. 3.850% 2/1/24 11,850   12,440  
  CenterPoint Energy Inc. 2.500% 9/1/24 2,500   2,502  
  CenterPoint Energy Inc. 4.250% 11/1/28 3,700   3,982  
  CenterPoint Energy Inc. 2.950% 3/1/30 2,980   2,930  
  CenterPoint Energy Inc. 3.700% 9/1/49 2,075   2,044  
  Cleco Corporate Holdings LLC 3.743% 5/1/26 6,100   6,299  
  Cleco Corporate Holdings LLC 4.973% 5/1/46 2,975   3,296  
  Cleveland Electric Illuminating Co. 5.500% 8/15/24 2,275   2,595  
  Cleveland Electric Illuminating Co. 5.950% 12/15/36 3,270   4,082  
  CMS Energy Corp. 5.050% 3/15/22 50   53  
  CMS Energy Corp. 3.000% 5/15/26 6,550   6,656  
  CMS Energy Corp. 3.450% 8/15/27 2,975   3,105  
  CMS Energy Corp. 4.875% 3/1/44 6,955   8,279  
  Commonwealth Edison Co. 3.400% 9/1/21 2,100   2,148  
  Commonwealth Edison Co. 2.550% 6/15/26 2,625   2,646  
  Commonwealth Edison Co. 2.950% 8/15/27 3,000   3,083  
  Commonwealth Edison Co. 3.700% 8/15/28 11,073   12,014  
  Commonwealth Edison Co. 5.900% 3/15/36 3,895   5,159  
  Commonwealth Edison Co. 6.450% 1/15/38 3,770   5,356  
  Commonwealth Edison Co. 3.800% 10/1/42 4,450   4,773  
  Commonwealth Edison Co. 4.600% 8/15/43 2,500   2,970  
  Commonwealth Edison Co. 3.700% 3/1/45 4,650   4,942  
  Commonwealth Edison Co. 4.350% 11/15/45 2,925   3,396  
  Commonwealth Edison Co. 3.650% 6/15/46 8,525   8,942  
  Commonwealth Edison Co. 3.750% 8/15/47 4,800   5,181  
  Commonwealth Edison Co. 4.000% 3/1/49 5,900   6,635  
  Commonwealth Edison Co. 3.200% 11/15/49 7,525   7,469  
  Connecticut Light & Power Co. 2.500% 1/15/23 10,748   10,879  
  Connecticut Light & Power Co. 3.200% 3/15/27 5,200   5,455  

 

140

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Connecticut Light & Power Co. 4.300% 4/15/44 5,130   6,022  
  Connecticut Light & Power Co. 4.150% 6/1/45 2,650   3,061  
  Connecticut Light & Power Co. 4.000% 4/1/48 8,355   9,573  
  Consolidated Edison Co. of New York Inc. 3.125% 11/15/27 3,175   3,297  
  Consolidated Edison Co. of New York Inc. 5.300% 3/1/35 2,100   2,575  
  Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 9,690   12,601  
  Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 1,653   2,221  
  Consolidated Edison Co. of New York Inc. 6.300% 8/15/37 740   1,018  
  Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 525   750  
  Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 4,525   5,861  
  Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 5,460   7,149  
  Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 118   131  
  Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 5,548   5,996  
  Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 15,120   17,408  
  Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 3,232   3,770  
  Consolidated Edison Co. of New York Inc. 3.850% 6/15/46 7,500   8,046  
  Consolidated Edison Co. of New York Inc. 3.875% 6/15/47 10,025   10,816  
  Consolidated Edison Co. of New York Inc. 4.125% 5/15/49 6,000   6,783  
  Consolidated Edison Co. of New York Inc. 4.300% 12/1/56 7,430   8,358  
  Consolidated Edison Co. of New York Inc. 4.000% 11/15/57 2,800   2,953  
  Consolidated Edison Co. of New York Inc. 4.500% 5/15/58 6,875   7,952  
  Consolidated Edison Co. of New York Inc. 3.700% 11/15/59 1,500   1,545  
  Consolidated Edison Inc. 2.000% 5/15/21 7,675   7,672  
  Consumers Energy Co. 2.850% 5/15/22 3,441   3,514  
  Consumers Energy Co. 3.375% 8/15/23 925   965  
  Consumers Energy Co. 3.800% 11/15/28 3,000   3,309  
  Consumers Energy Co. 3.950% 5/15/43 4,150   4,595  
  Consumers Energy Co. 3.250% 8/15/46 3,275   3,253  
  Consumers Energy Co. 3.950% 7/15/47 2,900   3,257  
  Consumers Energy Co. 4.050% 5/15/48 4,870   5,575  
  Consumers Energy Co. 4.350% 4/15/49 2,400   2,898  
  Consumers Energy Co. 3.100% 8/15/50 3,300   3,307  
  Delmarva Power & Light Co. 3.500% 11/15/23 2,175   2,278  
  Delmarva Power & Light Co. 4.150% 5/15/45 5,625   6,284  
  Dominion Energy Inc. 2.000% 8/15/21 5,100   5,093  
  Dominion Energy Inc. 2.715% 8/15/21 2,000   2,015  
  Dominion Energy Inc. 2.750% 1/15/22 3,825   3,872  
  Dominion Energy Inc. 2.750% 9/15/22 450   455  
  Dominion Energy Inc. 3.071% 8/15/24 2,000   2,034  
  Dominion Energy Inc. 3.900% 10/1/25 3,550   3,778  
  Dominion Energy Inc. 2.850% 8/15/26 5,650   5,694  
  Dominion Energy Inc. 4.250% 6/1/28 3,850   4,239  
  Dominion Energy Inc. 6.300% 3/15/33 2,675   3,478  
  Dominion Energy Inc. 5.950% 6/15/35 6,275   7,916  
  Dominion Energy Inc. 7.000% 6/15/38 3,550   4,907  
  Dominion Energy Inc. 4.900% 8/1/41 5,935   6,891  
  Dominion Energy Inc. 4.050% 9/15/42 3,947   4,133  
  Dominion Energy Inc. 4.700% 12/1/44 2,375   2,729  
  Dominion Energy Inc. 4.600% 3/15/49 9,000   10,448  
4 Dominion Energy Inc. 5.750% 10/1/54 625   673  
  Dominion Energy South Carolina Inc. 6.625% 2/1/32 2,525   3,404  
  Dominion Energy South Carolina Inc. 6.050% 1/15/38 7,692   10,347  
  Dominion Energy South Carolina Inc. 5.450% 2/1/41 1,525   1,966  
  Dominion Energy South Carolina Inc. 4.600% 6/15/43 5,458   6,434  

 

141

 

 

 

Total Bond Market II Index Fund

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Dominion Energy South Carolina Inc. 5.100% 6/1/65 3,800   4,936  
  DTE Electric Co. 3.650% 3/15/24 5,485   5,791  
  DTE Electric Co. 3.375% 3/1/25 150   158  
  DTE Electric Co. 4.000% 4/1/43 1,971   2,194  
  DTE Electric Co. 3.700% 3/15/45 4,250   4,562  
  DTE Electric Co. 3.700% 6/1/46 4,500   4,833  
  DTE Electric Co. 3.750% 8/15/47 5,650   6,145  
  DTE Electric Co. 3.950% 3/1/49 8,800   10,052  
  DTE Energy Co. 2.600% 6/15/22 2,000   2,010  
  DTE Energy Co. 3.300% 6/15/22 3,100   3,170  
  DTE Energy Co. 2.250% 11/1/22 3,290   3,291  
  DTE Energy Co. 3.700% 8/1/23 5,325   5,543  
  DTE Energy Co. 3.500% 6/1/24 13,900   14,480  
  DTE Energy Co. 2.850% 10/1/26 22,200   22,229  
  DTE Energy Co. 3.800% 3/15/27 15,450   16,286  
  DTE Energy Co. 3.400% 6/15/29 2,000   2,039  
  DTE Energy Co. 2.950% 3/1/30 2,625   2,597  
  DTE Energy Co. 6.375% 4/15/33 975   1,271  
  Duke Energy Carolinas LLC 3.900% 6/15/21 8,718   8,933  
  Duke Energy Carolinas LLC 2.500% 3/15/23 225   228  
  Duke Energy Carolinas LLC 3.050% 3/15/23 9,000   9,266  
  Duke Energy Carolinas LLC 2.950% 12/1/26 625   644  
  Duke Energy Carolinas LLC 6.000% 12/1/28 3,694   4,598  
  Duke Energy Carolinas LLC 2.450% 8/15/29 925   917  
  Duke Energy Carolinas LLC 6.450% 10/15/32 6,575   8,969  
  Duke Energy Carolinas LLC 6.100% 6/1/37 5,525   7,483  
  Duke Energy Carolinas LLC 6.000% 1/15/38 3,975   5,335  
  Duke Energy Carolinas LLC 6.050% 4/15/38 3,675   5,042  
  Duke Energy Carolinas LLC 5.300% 2/15/40 7,515   9,674  
  Duke Energy Carolinas LLC 4.250% 12/15/41 6,825   7,772  
  Duke Energy Carolinas LLC 4.000% 9/30/42 5,970   6,575  
  Duke Energy Carolinas LLC 3.750% 6/1/45 7,140   7,621  
  Duke Energy Carolinas LLC 3.875% 3/15/46 7,524   8,336  
  Duke Energy Carolinas LLC 3.700% 12/1/47 8,055   8,620  
  Duke Energy Carolinas LLC 3.950% 3/15/48 3,100   3,426  
  Duke Energy Carolinas LLC 3.200% 8/15/49 505   498  
  Duke Energy Corp. 3.550% 9/15/21 100   102  
  Duke Energy Corp. 2.400% 8/15/22 11,385   11,469  
  Duke Energy Corp. 3.050% 8/15/22 5,090   5,204  
  Duke Energy Corp. 3.950% 10/15/23 3,850   4,070  
  Duke Energy Corp. 3.750% 4/15/24 7,025   7,444  
  Duke Energy Corp. 2.650% 9/1/26 13,230   13,228  
  Duke Energy Corp. 3.150% 8/15/27 9,875   10,135  
  Duke Energy Corp. 4.800% 12/15/45 6,466   7,635  
  Duke Energy Corp. 3.750% 9/1/46 14,762   15,078  
  Duke Energy Corp. 4.200% 6/15/49 1,390   1,520  
  Duke Energy Florida LLC 3.200% 1/15/27 10,425   10,845  
  Duke Energy Florida LLC 3.800% 7/15/28 4,825   5,250  
  Duke Energy Florida LLC 2.500% 12/1/29 7,000   6,981  
  Duke Energy Florida LLC 6.350% 9/15/37 775   1,075  
  Duke Energy Florida LLC 6.400% 6/15/38 4,975   7,077  
  Duke Energy Florida LLC 5.650% 4/1/40 4,100   5,386  
  Duke Energy Florida LLC 3.400% 10/1/46 5,465   5,533  
  Duke Energy Florida LLC 4.200% 7/15/48 3,550   4,082  

 

142

 

 

Total Bond Market II Index Fund        

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
4 Duke Energy Florida Project Finance LLC 1.731% 9/1/22 1,800   1,789  
4 Duke Energy Florida Project Finance LLC 2.538% 9/1/29 3,591   3,570  
  Duke Energy Indiana LLC 6.120% 10/15/35 2,740   3,609  
  Duke Energy Indiana LLC 6.350% 8/15/38 3,725   5,232  
  Duke Energy Indiana LLC 6.450% 4/1/39 200   284  
  Duke Energy Indiana LLC 4.900% 7/15/43 3,060   3,783  
  Duke Energy Indiana LLC 3.750% 5/15/46 14,840   15,802  
  Duke Energy Indiana LLC 3.250% 10/1/49 5,500   5,514  
  Duke Energy Ohio Inc. 3.800% 9/1/23 100   106  
  Duke Energy Ohio Inc. 3.650% 2/1/29 9,475   10,280  
  Duke Energy Ohio Inc. 3.700% 6/15/46 3,275   3,452  
  Duke Energy Ohio Inc. 4.300% 2/1/49 4,000   4,666  
  Duke Energy Progress LLC 3.000% 9/15/21 5,706   5,810  
  Duke Energy Progress LLC 2.800% 5/15/22 10,695   10,892  
  Duke Energy Progress LLC 3.375% 9/1/23 1,625   1,697  
  Duke Energy Progress LLC 3.250% 8/15/25 3,050   3,201  
  Duke Energy Progress LLC 3.700% 9/1/28 5,625   6,136  
  Duke Energy Progress LLC 3.450% 3/15/29 13,275   14,215  
  Duke Energy Progress LLC 6.300% 4/1/38 4,220   5,825  
  Duke Energy Progress LLC 4.100% 5/15/42 3,925   4,360  
  Duke Energy Progress LLC 4.100% 3/15/43 4,970   5,534  
  Duke Energy Progress LLC 4.375% 3/30/44 10,150   11,777  
  Duke Energy Progress LLC 4.150% 12/1/44 5,425   6,077  
  Duke Energy Progress LLC 4.200% 8/15/45 2,350   2,657  
  Duke Energy Progress LLC 3.700% 10/15/46 3,500   3,686  
  Duke Energy Progress LLC 3.600% 9/15/47 1,025   1,067  
  Edison International 2.400% 9/15/22 6,200   6,154  
  Edison International 2.950% 3/15/23 7,875   7,865  
  Edison International 5.750% 6/15/27 1,000   1,120  
  El Paso Electric Co. 6.000% 5/15/35 800   979  
  El Paso Electric Co. 5.000% 12/1/44 3,200   3,747  
  Emera US Finance LP 2.700% 6/15/21 4,975   5,013  
  Emera US Finance LP 3.550% 6/15/26 11,555   11,980  
  Emera US Finance LP 4.750% 6/15/46 11,075   12,783  
  Enel Americas SA 4.000% 10/25/26 4,115   4,253  
  Enel Chile SA 4.875% 6/12/28 7,075   7,841  
  Entergy Arkansas Inc. 3.750% 2/15/21 3,350   3,405  
  Entergy Arkansas Inc. 3.700% 6/1/24 100   106  
  Entergy Arkansas Inc. 3.500% 4/1/26 4,125   4,337  
  Entergy Corp. 4.000% 7/15/22 6,075   6,324  
  Entergy Corp. 2.950% 9/1/26 6,850   6,946  
  Entergy Gulf States Louisiana LLC 5.590% 10/1/24 2,130   2,441  
  Entergy Louisiana LLC 4.050% 9/1/23 5,650   6,008  
  Entergy Louisiana LLC 5.400% 11/1/24 3,077   3,514  
  Entergy Louisiana LLC 2.400% 10/1/26 5,625   5,584  
  Entergy Louisiana LLC 3.120% 9/1/27 4,600   4,754  
  Entergy Louisiana LLC 3.250% 4/1/28 3,700   3,865  
  Entergy Louisiana LLC 3.050% 6/1/31 13,505   13,807  
  Entergy Louisiana LLC 4.000% 3/15/33 9,845   11,051  
  Entergy Louisiana LLC 4.950% 1/15/45 5,250   5,655  
  Entergy Louisiana LLC 4.200% 9/1/48 3,875   4,470  
  Entergy Louisiana LLC 4.200% 4/1/50 5,550   6,444  
  Entergy Mississippi LLC 2.850% 6/1/28 8,225   8,344  
  Entergy Mississippi LLC 3.850% 6/1/49 4,450   4,831  

 

143

 

 

Total Bond Market II Index Fund        

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Entergy Texas Inc. 3.550% 9/30/49 7,585   7,731  
  Evergy Inc. 2.900% 9/15/29 4,500   4,472  
  Eversource Energy 2.500% 3/15/21 2,000   2,011  
  Eversource Energy 2.750% 3/15/22 3,425   3,471  
  Eversource Energy 3.800% 12/1/23 3,500   3,661  
  Eversource Energy 2.900% 10/1/24 4,151   4,233  
  Eversource Energy 3.300% 1/15/28 8,750   9,020  
  Eversource Energy 4.250% 4/1/29 8,105   8,951  
  Exelon Corp. 5.150% 12/1/20 4,405   4,493  
  Exelon Corp. 2.450% 4/15/21 1,000   1,005  
  Exelon Corp. 3.497% 6/1/22 7,925   8,130  
  Exelon Corp. 3.950% 6/15/25 18,790   20,203  
  Exelon Corp. 3.400% 4/15/26 7,075   7,377  
  Exelon Corp. 4.950% 6/15/35 5,700   6,570  
  Exelon Corp. 5.625% 6/15/35 3,775   4,659  
  Exelon Corp. 5.100% 6/15/45 1,925   2,304  
  Exelon Corp. 4.450% 4/15/46 7,025   7,925  
  Exelon Generation Co. LLC 3.400% 3/15/22 6,400   6,552  
  Exelon Generation Co. LLC 4.250% 6/15/22 4,225   4,416  
  Exelon Generation Co. LLC 6.250% 10/1/39 4,780   5,773  
  Exelon Generation Co. LLC 5.750% 10/1/41 7,500   8,629  
  Exelon Generation Co. LLC 5.600% 6/15/42 9,448   10,542  
  FirstEnergy Corp. 2.850% 7/15/22 5,476   5,558  
  FirstEnergy Corp. 4.250% 3/15/23 4,450   4,691  
  FirstEnergy Corp. 3.900% 7/15/27 15,075   16,087  
  FirstEnergy Corp. 7.375% 11/15/31 14,122   19,860  
  FirstEnergy Corp. 4.850% 7/15/47 15,784   18,737  
  Florida Power & Light Co. 2.750% 6/1/23 2,400   2,453  
  Florida Power & Light Co. 3.250% 6/1/24 2,800   2,922  
  Florida Power & Light Co. 5.625% 4/1/34 1,450   1,901  
  Florida Power & Light Co. 5.650% 2/1/37 3,379   4,512  
  Florida Power & Light Co. 5.950% 2/1/38 3,250   4,448  
  Florida Power & Light Co. 5.960% 4/1/39 9,900   13,929  
  Florida Power & Light Co. 5.250% 2/1/41 975   1,258  
  Florida Power & Light Co. 4.125% 2/1/42 5,425   6,158  
  Florida Power & Light Co. 4.050% 6/1/42 4,600   5,179  
  Florida Power & Light Co. 3.800% 12/15/42 5,335   5,863  
  Florida Power & Light Co. 4.050% 10/1/44 2,973   3,403  
  Florida Power & Light Co. 3.950% 3/1/48 7,745   8,757  
  Florida Power & Light Co. 4.125% 6/1/48 10,000   11,605  
  Florida Power & Light Co. 3.990% 3/1/49 7,155   8,159  
  Florida Power & Light Co. 3.150% 10/1/49 7,425   7,398  
  Fortis Inc. 3.055% 10/4/26 17,673   18,015  
  Georgia Power Co. 2.400% 4/1/21 2,150   2,158  
  Georgia Power Co. 2.850% 5/15/22 1,900   1,933  
  Georgia Power Co. 3.250% 4/1/26 8,250   8,529  
  Georgia Power Co. 3.250% 3/30/27 3,500   3,599  
  Georgia Power Co. 4.750% 9/1/40 4,625   5,236  
  Georgia Power Co. 4.300% 3/15/42 9,115   9,867  
  Georgia Power Co. 4.300% 3/15/43 6,480   6,988  
  Gulf Power Co. 3.300% 5/30/27 2,325   2,428  
  Iberdrola International BV 6.750% 7/15/36 3,735   5,163  
  Indiana Michigan Power Co. 3.850% 5/15/28 3,000   3,248  
  Indiana Michigan Power Co. 6.050% 3/15/37 3,135   4,119  

 

144

 

 

Total Bond Market II Index Fund        

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Indiana Michigan Power Co. 4.550% 3/15/46 2,995   3,487  
  Indiana Michigan Power Co. 3.750% 7/1/47 5,100   5,330  
  Indiana Michigan Power Co. 4.250% 8/15/48 5,725   6,509  
  Interstate Power & Light Co. 3.250% 12/1/24 5,730   5,972  
  Interstate Power & Light Co. 4.100% 9/26/28 4,570   4,990  
  Interstate Power & Light Co. 3.600% 4/1/29 8,774   9,320  
  Interstate Power & Light Co. 6.250% 7/15/39 2,475   3,253  
  Interstate Power & Light Co. 3.700% 9/15/46 2,925   2,983  
  ITC Holdings Corp. 2.700% 11/15/22 4,445   4,499  
  ITC Holdings Corp. 3.650% 6/15/24 3,589   3,749  
  ITC Holdings Corp. 3.250% 6/30/26 1,865   1,921  
  ITC Holdings Corp. 3.350% 11/15/27 6,485   6,745  
  ITC Holdings Corp. 5.300% 7/1/43 5,431   6,623  
4 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 2,772   3,224  
  Kansas City Power & Light Co. 3.150% 3/15/23 2,600   2,671  
  Kansas City Power & Light Co. 5.300% 10/1/41 4,795   6,051  
  Kansas City Power & Light Co. 4.200% 6/15/47 5,500   6,311  
  Kansas City Power & Light Co. 4.200% 3/15/48 5,025   5,770  
  Kentucky Utilities Co. 3.250% 11/1/20 4,895   4,928  
  Kentucky Utilities Co. 5.125% 11/1/40 4,680   5,822  
  Kentucky Utilities Co. 4.375% 10/1/45 4,900   5,670  
  LG&E & KU Energy LLC 3.750% 11/15/20 1,600   1,615  
  Louisville Gas & Electric Co. 3.300% 10/1/25 2,400   2,509  
  Louisville Gas & Electric Co. 4.250% 4/1/49 14,500   16,526  
  MidAmerican Energy Co. 3.500% 10/15/24 10,000   10,608  
  MidAmerican Energy Co. 3.100% 5/1/27 3,050   3,168  
  MidAmerican Energy Co. 3.650% 4/15/29 6,100   6,650  
  MidAmerican Energy Co. 6.750% 12/30/31 4,050   5,640  
  MidAmerican Energy Co. 5.750% 11/1/35 1,575   2,069  
  MidAmerican Energy Co. 5.800% 10/15/36 2,925   3,849  
  MidAmerican Energy Co. 4.800% 9/15/43 2,385   2,915  
  MidAmerican Energy Co. 4.400% 10/15/44 3,550   4,168  
  MidAmerican Energy Co. 4.250% 5/1/46 3,605   4,257  
  MidAmerican Energy Co. 3.950% 8/1/47 1,500   1,663  
  MidAmerican Energy Co. 3.650% 8/1/48 6,575   7,089  
  MidAmerican Energy Co. 4.250% 7/15/49 6,405   7,678  
  Mississippi Power Co. 4.250% 3/15/42 4,400   4,689  
  National Rural Utilities Cooperative Finance Corp. 2.300% 11/1/20 4,004   4,016  
  National Rural Utilities Cooperative Finance Corp. 2.900% 3/15/21 2,475   2,503  
  National Rural Utilities Cooperative Finance Corp. 3.050% 2/15/22 6,510   6,644  
  National Rural Utilities Cooperative Finance Corp. 2.400% 4/25/22 8,500   8,590  
  National Rural Utilities Cooperative Finance Corp. 2.700% 2/15/23 3,050   3,109  
  National Rural Utilities Cooperative Finance Corp. 3.400% 11/15/23 3,350   3,522  
  National Rural Utilities Cooperative Finance Corp. 2.950% 2/7/24 6,200   6,394  
  National Rural Utilities Cooperative Finance Corp. 2.850% 1/27/25 4,500   4,630  

 

145

 

 

Total Bond Market II Index Fund        

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  National Rural Utilities Cooperative Finance Corp. 3.050% 4/25/27 2,150   2,225  
  National Rural Utilities Cooperative Finance Corp. 3.400% 2/7/28 6,175   6,556  
  National Rural Utilities Cooperative Finance Corp. 3.900% 11/1/28 3,000   3,265  
  National Rural Utilities Cooperative Finance Corp. 3.700% 3/15/29 5,730   6,250  
  National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/32 1,513   2,233  
  National Rural Utilities Cooperative Finance Corp. 4.023% 11/1/32 10,452   11,780  
4 National Rural Utilities Cooperative Finance Corp. 4.750% 4/30/43 50   52  
4 National Rural Utilities Cooperative Finance Corp. 5.250% 4/20/46 2,900   3,072  
  National Rural Utilities Cooperative Finance Corp. 4.400% 11/1/48 8,666   10,317  
  National Rural Utilities Cooperative Finance Corp. 4.300% 3/15/49 5,200   6,169  
  Nevada Power Co. 3.700% 5/1/29 5,575   6,017  
  Nevada Power Co. 6.650% 4/1/36 965   1,322  
  Nevada Power Co. 6.750% 7/1/37 1,475   2,082  
  NextEra Energy Capital Holdings Inc. 4.500% 6/1/21 1,835   1,885  
  NextEra Energy Capital Holdings Inc. 2.900% 4/1/22 3,500   3,557  
  NextEra Energy Capital Holdings Inc. 2.800% 1/15/23 12,780   12,969  
  NextEra Energy Capital Holdings Inc. 3.150% 4/1/24 2,935   3,026  
  NextEra Energy Capital Holdings Inc. 3.250% 4/1/26 1,100   1,144  
  NextEra Energy Capital Holdings Inc. 3.550% 5/1/27 11,735   12,434  
  NextEra Energy Capital Holdings Inc. 3.500% 4/1/29 18,195   19,239  
  NextEra Energy Capital Holdings Inc. 2.750% 11/1/29 4,000   3,995  
4 NextEra Energy Capital Holdings Inc. 4.800% 12/1/77 4,940   5,051  
4 NextEra Energy Capital Holdings Inc. 5.650% 5/1/79 3,100   3,445  
  Northern States Power Co. 2.150% 8/15/22 75   75  
  Northern States Power Co. 2.600% 5/15/23 1,280   1,299  
  Northern States Power Co. 6.250% 6/1/36 840   1,153  
  Northern States Power Co. 6.200% 7/1/37 2,205   3,050  
  Northern States Power Co. 5.350% 11/1/39 3,295   4,290  
  Northern States Power Co. 3.400% 8/15/42 2,645   2,748  
  Northern States Power Co. 4.000% 8/15/45 1,200   1,331  
  Northern States Power Co. 3.600% 5/15/46 3,075   3,244  
  Northern States Power Co. 3.600% 9/15/47 1,000   1,056  
  Northern States Power Co. 2.900% 3/1/50 2,225   2,122  
  NorthWestern Corp. 4.176% 11/15/44 2,425   2,666  
  NSTAR Electric Co. 2.375% 10/15/22 5,475   5,528  
  NSTAR Electric Co. 3.200% 5/15/27 6,000   6,265  
  NSTAR Electric Co. 3.250% 5/15/29 1,430   1,492  
  NSTAR Electric Co. 5.500% 3/15/40 4,605   5,877  
  NV Energy Inc. 6.250% 11/15/20 9,310   9,644  
  Oglethorpe Power Corp. 5.950% 11/1/39 500   624  
  Oglethorpe Power Corp. 5.375% 11/1/40 6,720   8,104  
  Oglethorpe Power Corp. 5.250% 9/1/50 2,355   2,821  
  Ohio Edison Co. 6.875% 7/15/36 4,180   5,832  
  Ohio Power Co. 5.375% 10/1/21 5,975   6,329  

 

146

 

 

Total Bond Market II Index Fund

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Ohio Power Co. 4.000% 6/1/49 4,118   4,626  
  Oklahoma Gas & Electric Co. 3.800% 8/15/28 3,500   3,779  
  Oklahoma Gas & Electric Co. 4.150% 4/1/47 2,215   2,394  
  Oklahoma Gas & Electric Co. 3.850% 8/15/47 3,475   3,602  
  Oncor Electric Delivery Co. LLC 4.100% 6/1/22 3,615   3,772  
  Oncor Electric Delivery Co. LLC 2.750% 6/1/24 5,000   5,080  
  Oncor Electric Delivery Co. LLC 2.950% 4/1/25 2,975   3,071  
  Oncor Electric Delivery Co. LLC 3.700% 11/15/28 1,000   1,091  
  Oncor Electric Delivery Co. LLC 5.750% 3/15/29 2,560   3,195  
  Oncor Electric Delivery Co. LLC 7.000% 5/1/32 4,420   6,277  
  Oncor Electric Delivery Co. LLC 7.250% 1/15/33 150   218  
  Oncor Electric Delivery Co. LLC 7.500% 9/1/38 2,780   4,356  
  Oncor Electric Delivery Co. LLC 5.250% 9/30/40 3,500   4,465  
  Oncor Electric Delivery Co. LLC 4.550% 12/1/41 7,725   9,104  
  Oncor Electric Delivery Co. LLC 5.300% 6/1/42 3,825   4,959  
  Oncor Electric Delivery Co. LLC 3.750% 4/1/45 4,893   5,320  
  Oncor Electric Delivery Co. LLC 3.800% 9/30/47 2,650   2,916  
  Oncor Electric Delivery Co. LLC 4.100% 11/15/48 4,185   4,852  
  Oncor Electric Delivery Co. LLC 3.800% 6/1/49 7,545   8,253  
  Oncor Electric Delivery Co. LLC 3.100% 9/15/49 5,000   4,947  
  PacifiCorp 2.950% 2/1/22 5,875   5,986  
  PacifiCorp 2.950% 6/1/23 4,807   4,925  
  PacifiCorp 3.600% 4/1/24 4,910   5,172  
  PacifiCorp 3.500% 6/15/29 6,500   7,000  
  PacifiCorp 7.700% 11/15/31 985   1,448  
  PacifiCorp 5.250% 6/15/35 2,875   3,542  
  PacifiCorp 6.100% 8/1/36 2,800   3,761  
  PacifiCorp 5.750% 4/1/37 5,100   6,662  
  PacifiCorp 6.250% 10/15/37 3,485   4,880  
  PacifiCorp 6.350% 7/15/38 2,650   3,719  
  PacifiCorp 6.000% 1/15/39 360   490  
  PacifiCorp 4.100% 2/1/42 10,445   11,579  
  PacifiCorp 4.125% 1/15/49 21,136   24,081  
  PacifiCorp 4.150% 2/15/50 22,750   26,095  
  PECO Energy Co. 2.375% 9/15/22 6,354   6,425  
  PECO Energy Co. 5.950% 10/1/36 3,900   5,264  
  PECO Energy Co. 4.150% 10/1/44 2,040   2,291  
  PECO Energy Co. 3.900% 3/1/48 4,050   4,486  
  PECO Energy Co. 3.000% 9/15/49 5,040   4,796  
  Pinnacle West Capital Corp. 2.250% 11/30/20 3,200   3,208  
  PNM Resources Inc. 3.250% 3/9/21 2,290   2,317  
  Potomac Electric Power Co. 3.600% 3/15/24 6,983   7,347  
  Potomac Electric Power Co. 6.500% 11/15/37 4,118   5,817  
  Potomac Electric Power Co. 4.150% 3/15/43 4,200   4,711  
  PPL Capital Funding Inc. 4.200% 6/15/22 6,646   6,928  
  PPL Capital Funding Inc. 3.500% 12/1/22 415   428  
  PPL Capital Funding Inc. 3.400% 6/1/23 11,120   11,424  
  PPL Capital Funding Inc. 3.950% 3/15/24 275   289  
  PPL Capital Funding Inc. 3.100% 5/15/26 6,500   6,616  
  PPL Capital Funding Inc. 4.700% 6/1/43 10,630   11,775  
  PPL Capital Funding Inc. 5.000% 3/15/44 5,749   6,596  
  PPL Capital Funding Inc. 4.000% 9/15/47 4,725   4,806  
  PPL Electric Utilities Corp. 3.000% 9/15/21 3,055   3,107  
  PPL Electric Utilities Corp. 6.250% 5/15/39 2,275   3,176  

 

147

 

 

Total Bond Market II Index Fund

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  PPL Electric Utilities Corp. 4.125% 6/15/44 1,825   2,040  
  PPL Electric Utilities Corp. 4.150% 10/1/45 3,530   3,969  
  PPL Electric Utilities Corp. 3.950% 6/1/47 4,450   4,877  
  PPL Electric Utilities Corp. 4.150% 6/15/48 2,795   3,194  
  Progress Energy Inc. 4.400% 1/15/21 7,617   7,746  
  Progress Energy Inc. 3.150% 4/1/22 12,800   13,056  
  Progress Energy Inc. 7.750% 3/1/31 250   349  
  Progress Energy Inc. 7.000% 10/30/31 3,650   4,921  
  Progress Energy Inc. 6.000% 12/1/39 6,382   8,279  
  PSEG Power LLC 3.000% 6/15/21 1,675   1,695  
  PSEG Power LLC 3.850% 6/1/23 11,050   11,572  
  PSEG Power LLC 8.625% 4/15/31 3,295   4,587  
  Public Service Co. of Colorado 3.200% 11/15/20 6,175   6,203  
  Public Service Co. of Colorado 3.700% 6/15/28 4,245   4,607  
  Public Service Co. of Colorado 6.500% 8/1/38 75   108  
  Public Service Co. of Colorado 3.600% 9/15/42 1,116   1,172  
  Public Service Co. of Colorado 4.300% 3/15/44 5,475   6,374  
  Public Service Co. of Colorado 4.100% 6/15/48 3,695   4,202  
  Public Service Co. of Colorado 4.050% 9/15/49 4,000   4,558  
  Public Service Co. of Colorado 3.200% 3/1/50 3,800   3,753  
  Public Service Co. of New Hampshire 3.500% 11/1/23 875   917  
  Public Service Co. of New Hampshire 3.600% 7/1/49 2,900   3,063  
  Public Service Electric & Gas Co. 1.900% 3/15/21 6,575   6,588  
  Public Service Electric & Gas Co. 2.375% 5/15/23 3,175   3,210  
  Public Service Electric & Gas Co. 3.000% 5/15/25 1,170   1,213  
  Public Service Electric & Gas Co. 2.250% 9/15/26 3,055   3,014  
  Public Service Electric & Gas Co. 3.000% 5/15/27 3,000   3,097  
  Public Service Electric & Gas Co. 3.200% 5/15/29 7,230   7,630  
  Public Service Electric & Gas Co. 5.800% 5/1/37 875   1,157  
  Public Service Electric & Gas Co. 3.950% 5/1/42 4,295   4,742  
  Public Service Electric & Gas Co. 3.650% 9/1/42 650   687  
  Public Service Electric & Gas Co. 3.800% 3/1/46 9,100   9,911  
  Public Service Electric & Gas Co. 3.600% 12/1/47 2,175   2,331  
  Public Service Electric & Gas Co. 3.850% 5/1/49 6,000   6,672  
  Public Service Enterprise Group Inc. 2.650% 11/15/22 4,775   4,848  
  Public Service Enterprise Group Inc. 2.875% 6/15/24 3,000   3,056  
  Puget Energy Inc. 6.500% 12/15/20 5,369   5,589  
  Puget Energy Inc. 6.000% 9/1/21 3,825   4,054  
  Puget Energy Inc. 5.625% 7/15/22 9,501   10,189  
  Puget Energy Inc. 3.650% 5/15/25 6,730   6,977  
  Puget Sound Energy Inc. 6.274% 3/15/37 3,840   5,184  
  Puget Sound Energy Inc. 5.757% 10/1/39 5,540   7,341  
  Puget Sound Energy Inc. 5.795% 3/15/40 1,510   2,014  
  Puget Sound Energy Inc. 5.638% 4/15/41 925   1,197  
  Puget Sound Energy Inc. 4.300% 5/20/45 7,605   8,771  
  Puget Sound Energy Inc. 4.223% 6/15/48 5,225   5,927  
  Puget Sound Energy Inc. 3.250% 9/15/49 2,720   2,712  
  San Diego Gas & Electric Co. 3.000% 8/15/21 1,335   1,353  
  San Diego Gas & Electric Co. 6.000% 6/1/39 2,461   3,153  
  San Diego Gas & Electric Co. 4.500% 8/15/40 3,970   4,395  
  San Diego Gas & Electric Co. 3.750% 6/1/47 10,000   10,205  
  San Diego Gas & Electric Co. 4.150% 5/15/48 5,150   5,637  
  Sierra Pacific Power Co. 2.600% 5/1/26 3,175   3,192  
  Southern California Edison Co. 2.900% 3/1/21 10,000   10,105  

 

148

 

 

Total Bond Market II Index Fund

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Southern California Edison Co. 3.875% 6/1/21 3,814   3,894  
4 Southern California Edison Co. 1.845% 2/1/22 1,250   1,234  
  Southern California Edison Co. 2.400% 2/1/22 2,650   2,663  
  Southern California Edison Co. 3.400% 6/1/23 6,250   6,444  
  Southern California Edison Co. 3.500% 10/1/23 10,600   11,025  
  Southern California Edison Co. 3.700% 8/1/25 2,075   2,193  
  Southern California Edison Co. 3.650% 3/1/28 3,875   4,152  
  Southern California Edison Co. 4.200% 3/1/29 8,000   8,833  
  Southern California Edison Co. 6.650% 4/1/29 850   1,020  
  Southern California Edison Co. 2.850% 8/1/29 3,505   3,496  
  Southern California Edison Co. 6.000% 1/15/34 3,655   4,534  
  Southern California Edison Co. 5.750% 4/1/35 800   972  
  Southern California Edison Co. 5.350% 7/15/35 4,585   5,437  
  Southern California Edison Co. 5.550% 1/15/36 500   597  
  Southern California Edison Co. 5.625% 2/1/36 2,445   2,965  
  Southern California Edison Co. 5.950% 2/1/38 2,800   3,561  
  Southern California Edison Co. 6.050% 3/15/39 1,460   1,903  
  Southern California Edison Co. 5.500% 3/15/40 5,472   6,651  
  Southern California Edison Co. 4.500% 9/1/40 6,882   7,523  
  Southern California Edison Co. 4.050% 3/15/42 15,939   16,438  
  Southern California Edison Co. 3.900% 3/15/43 2,975   3,026  
  Southern California Edison Co. 4.650% 10/1/43 5,575   6,251  
  Southern California Edison Co. 3.600% 2/1/45 1,400   1,364  
  Southern California Edison Co. 4.000% 4/1/47 13,581   14,187  
  Southern California Edison Co. 4.125% 3/1/48 13,570   14,355  
  Southern California Edison Co. 4.875% 3/1/49 6,400   7,540  
  Southern Co. 2.350% 7/1/21 11,100   11,138  
  Southern Co. 2.950% 7/1/23 3,200   3,258  
  Southern Co. 3.250% 7/1/26 13,355   13,838  
  Southern Co. 4.250% 7/1/36 4,245   4,567  
  Southern Co. 4.400% 7/1/46 17,255   19,067  
4 Southern Co. 5.500% 3/15/57 1,400   1,463  
  Southern Power Co. 2.500% 12/15/21 5,125   5,164  
  Southern Power Co. 4.150% 12/1/25 4,525   4,903  
  Southern Power Co. 5.150% 9/15/41 6,290   7,148  
  Southern Power Co. 5.250% 7/15/43 5,835   6,614  
  Southern Power Co. 4.950% 12/15/46 3,425   3,769  
  Southwestern Electric Power Co. 2.750% 10/1/26 4,800   4,771  
  Southwestern Electric Power Co. 4.100% 9/15/28 10,650   11,596  
  Southwestern Electric Power Co. 6.200% 3/15/40 3,025   3,992  
  Southwestern Electric Power Co. 3.900% 4/1/45 3,491   3,604  
  Southwestern Electric Power Co. 3.850% 2/1/48 7,024   7,221  
  Southwestern Public Service Co. 3.300% 6/15/24 200   208  
  Southwestern Public Service Co. 4.500% 8/15/41 4,164   4,857  
  Southwestern Public Service Co. 3.400% 8/15/46 14,300   14,253  
  Southwestern Public Service Co. 3.700% 8/15/47 10,075   10,541  
  Southwestern Public Service Co. 4.400% 11/15/48 610   712  
  Southwestern Public Service Co. 3.750% 6/15/49 5,000   5,325  
  Tampa Electric Co. 4.100% 6/15/42 1,950   2,122  
  Tampa Electric Co. 4.350% 5/15/44 4,500   5,092  
  Tampa Electric Co. 4.300% 6/15/48 4,065   4,708  
  Tampa Electric Co. 4.450% 6/15/49 5,500   6,514  
  Tampa Electric Co. 3.625% 6/15/50 2,000   2,117  
  Toledo Edison Co. 6.150% 5/15/37 2,769   3,740  

 

149

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Tucson Electric Power Co. 3.050% 3/15/25 2,000   2,062  
  Union Electric Co. 3.500% 4/15/24 4,990   5,242  
  Union Electric Co. 2.950% 6/15/27 15,375   15,738  
  Union Electric Co. 3.500% 3/15/29 3,650   3,908  
  Union Electric Co. 5.300% 8/1/37 3,244   4,035  
  Union Electric Co. 8.450% 3/15/39 2,300   3,749  
  Union Electric Co. 3.900% 9/15/42 175   189  
  Union Electric Co. 3.650% 4/15/45 1,825   1,911  
  Union Electric Co. 4.000% 4/1/48 3,500   3,920  
  Union Electric Co. 3.250% 10/1/49 2,840   2,826  
  Virginia Electric & Power Co. 2.950% 1/15/22 2,025   2,058  
  Virginia Electric & Power Co. 3.450% 9/1/22 14,234   14,715  
  Virginia Electric & Power Co. 2.750% 3/15/23 6,075   6,172  
  Virginia Electric & Power Co. 3.450% 2/15/24 5,390   5,625  
  Virginia Electric & Power Co. 3.100% 5/15/25 3,450   3,578  
  Virginia Electric & Power Co. 3.150% 1/15/26 8,145   8,501  
  Virginia Electric & Power Co. 2.950% 11/15/26 3,532   3,625  
  Virginia Electric & Power Co. 3.500% 3/15/27 6,550   6,951  
  Virginia Electric & Power Co. 3.800% 4/1/28 13,000   14,048  
  Virginia Electric & Power Co. 2.875% 7/15/29 1,225   1,248  
  Virginia Electric & Power Co. 6.000% 1/15/36 2,940   3,841  
  Virginia Electric & Power Co. 6.000% 5/15/37 4,835   6,406  
  Virginia Electric & Power Co. 6.350% 11/30/37 3,150   4,358  
  Virginia Electric & Power Co. 8.875% 11/15/38 570   960  
  Virginia Electric & Power Co. 4.000% 1/15/43 14,075   15,302  
  Virginia Electric & Power Co. 4.650% 8/15/43 4,855   5,827  
  Virginia Electric & Power Co. 4.450% 2/15/44 5,925   6,864  
  Virginia Electric & Power Co. 4.200% 5/15/45 3,550   4,044  
  Virginia Electric & Power Co. 4.000% 11/15/46 7,500   8,235  
  Virginia Electric & Power Co. 3.800% 9/15/47 6,604   7,140  
  Virginia Electric & Power Co. 4.600% 12/1/48 7,875   9,557  
  Virginia Electric & Power Co. 3.300% 12/1/49 9,630   9,703  
  WEC Energy Group Inc. 3.375% 6/15/21 4,250   4,328  
  WEC Energy Group Inc. 3.550% 6/15/25 2,900   3,065  
  Westar Energy Inc. 2.550% 7/1/26 6,250   6,265  
  Westar Energy Inc. 3.100% 4/1/27 4,500   4,647  
  Westar Energy Inc. 4.125% 3/1/42 5,160   5,749  
  Westar Energy Inc. 4.100% 4/1/43 3,455   3,845  
  Westar Energy Inc. 4.250% 12/1/45 3,010   3,426  
  Westar Energy Inc. 3.250% 9/1/49 2,700   2,637  
  Wisconsin Electric Power Co. 2.050% 12/15/24 2,000   1,998  
  Wisconsin Electric Power Co. 5.625% 5/15/33 150   192  
  Wisconsin Electric Power Co. 5.700% 12/1/36 100   130  
  Wisconsin Electric Power Co. 4.300% 10/15/48 2,725   3,142  
  Wisconsin Power & Light Co. 3.050% 10/15/27 2,300   2,376  
  Wisconsin Power & Light Co. 6.375% 8/15/37 2,150   2,927  
  Wisconsin Public Service Corp. 3.350% 11/21/21 3,500   3,600  
  Wisconsin Public Service Corp. 3.671% 12/1/42 2,650   2,768  
  Wisconsin Public Service Corp. 4.752% 11/1/44 4,375   5,336  
  Xcel Energy Inc. 2.400% 3/15/21 3,325   3,341  
  Xcel Energy Inc. 2.600% 3/15/22 4,250   4,298  
  Xcel Energy Inc. 3.300% 6/1/25 9,900   10,317  
  Xcel Energy Inc. 3.350% 12/1/26 3,325   3,467  
  Xcel Energy Inc. 4.000% 6/15/28 7,400   8,076  

 

150

 

 

Total Bond Market II Index Fund

 

 

               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Xcel Energy Inc. 2.600% 12/1/29 10,005   9,893  
  Xcel Energy Inc. 6.500% 7/1/36 986   1,344  
  Xcel Energy Inc. 3.500% 12/1/49 4,440   4,519  
               
  Natural Gas (0.2%)            
  Atmos Energy Corp. 3.000% 6/15/27 5,800   5,988  
  Atmos Energy Corp. 2.625% 9/15/29 1,500   1,506  
  Atmos Energy Corp. 5.500% 6/15/41 4,110   5,285  
  Atmos Energy Corp. 4.150% 1/15/43 3,435   3,845  
  Atmos Energy Corp. 4.125% 10/15/44 5,675   6,363  
  Atmos Energy Corp. 4.125% 3/15/49 7,938   9,121  
  Atmos Energy Corp. 3.375% 9/15/49 3,440   3,472  
  CenterPoint Energy Resources Corp. 4.500% 1/15/21 5,061   5,151  
  CenterPoint Energy Resources Corp. 3.550% 4/1/23 2,500   2,584  
  CenterPoint Energy Resources Corp. 4.000% 4/1/28 7,040   7,551  
  CenterPoint Energy Resources Corp. 5.850% 1/15/41 2,775   3,501  
  CenterPoint Energy Resources Corp. 4.100% 9/1/47 2,525   2,641  
  KeySpan Corp. 5.803% 4/1/35 2,817   3,407  
  NiSource Finance Corp. 3.490% 5/15/27 7,350   7,712  
  NiSource Finance Corp. 5.950% 6/15/41 10,447   13,346  
  NiSource Finance Corp. 5.250% 2/15/43 3,120   3,777  
  NiSource Finance Corp. 4.800% 2/15/44 3,300   3,784  
  NiSource Finance Corp. 5.650% 2/1/45 767   980  
  NiSource Finance Corp. 4.375% 5/15/47 7,375   8,227  
  NiSource Inc. 2.650% 11/17/22 4,775   4,834  
  NiSource Inc. 3.650% 6/15/23 3,455   3,602  
  NiSource Inc. 2.950% 9/1/29 2,020   2,009  
  ONE Gas Inc. 4.658% 2/1/44 4,525   5,395  
  ONE Gas Inc. 4.500% 11/1/48 6,925   8,248  
  Piedmont Natural Gas Co. Inc. 3.500% 6/1/29 5,075   5,403  
  Piedmont Natural Gas Co. Inc. 4.650% 8/1/43 1,225   1,382  
  Piedmont Natural Gas Co. Inc. 3.640% 11/1/46 4,595   4,541  
  Sempra Energy 2.850% 11/15/20 4,165   4,190  
  Sempra Energy 2.900% 2/1/23 2,625   2,663  
  Sempra Energy 4.050% 12/1/23 11,835   12,526  
  Sempra Energy 3.750% 11/15/25 12,905   13,602  
  Sempra Energy 3.250% 6/15/27 7,595   7,777  
  Sempra Energy 3.400% 2/1/28 8,700   8,981  
  Sempra Energy 3.800% 2/1/38 10,875   11,321  
  Sempra Energy 6.000% 10/15/39 8,000   10,389  
  Sempra Energy 4.000% 2/1/48 8,730   9,065  
  Southern California Gas Co. 3.150% 9/15/24 4,200   4,369  
  Southern California Gas Co. 3.200% 6/15/25 560   579  
  Southern California Gas Co. 2.600% 6/15/26 11,376   11,364  
  Southern California Gas Co. 3.750% 9/15/42 2,975   3,105  
  Southern California Gas Co. 4.125% 6/1/48 5,000   5,522  
  Southern California Gas Co. 4.300% 1/15/49 4,500   5,092  
  Southern California Gas Co. 3.950% 2/15/50 3,100   3,471  
  Southern Co. Gas Capital Corp. 3.500% 9/15/21 630   643  
  Southern Co. Gas Capital Corp. 3.250% 6/15/26 2,775   2,850  
  Southern Co. Gas Capital Corp. 5.875% 3/15/41 6,325   7,968  
  Southern Co. Gas Capital Corp. 4.400% 6/1/43 1,000   1,085  
  Southern Co. Gas Capital Corp. 3.950% 10/1/46 4,425   4,522  
  Southern Co. Gas Capital Corp. 4.400% 5/30/47 18,045   19,719  

 

151

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  Southwest Gas Corp. 3.700% 4/1/28 2,500   2,647  
  Southwest Gas Corp. 3.800% 9/29/46 2,600   2,662  
  Southwest Gas Corp. 4.150% 6/1/49 2,300   2,516  
  Washington Gas Light Co. 3.796% 9/15/46 3,550   3,694  
  Washington Gas Light Co. 3.650% 9/15/49 1,285   1,292  
               
  Other Utility (0.0%)            
  American Water Capital Corp. 3.850% 3/1/24 5,075   5,358  
  American Water Capital Corp. 3.400% 3/1/25 4,500   4,711  
  American Water Capital Corp. 2.950% 9/1/27 11,000   11,209  
  American Water Capital Corp. 3.450% 6/1/29 4,120   4,339  
  American Water Capital Corp. 6.593% 10/15/37 6,650   9,439  
  American Water Capital Corp. 4.300% 9/1/45 1,025   1,164  
  American Water Capital Corp. 4.000% 12/1/46 600   649  
  American Water Capital Corp. 3.750% 9/1/47 9,825   10,331  
  American Water Capital Corp. 4.200% 9/1/48 8,000   9,018  
  American Water Capital Corp. 4.150% 6/1/49 4,800   5,376  
  Aqua America Inc. 3.566% 5/1/29 3,000   3,161  
  Aqua America Inc. 4.276% 5/1/49 4,000   4,437  
  United Utilities plc 6.875% 8/15/28 75   91  
  Veolia Environnement SA 6.750% 6/1/38 1,643   2,265  
            3,813,638  
Total Corporate Bonds (Cost $48,392,654)         51,681,809  
Sovereign Bonds (3.9%)  
  African Development Bank 2.625% 3/22/21 7,375   7,453  
  African Development Bank 1.250% 7/26/21 10,750   10,679  
  African Development Bank 2.375% 9/23/21 13,500   13,657  
  African Development Bank 1.625% 9/16/22 14,500   14,476  
  African Development Bank 2.125% 11/16/22 31,950   32,330  
  African Development Bank 3.000% 9/20/23 12,900   13,492  
  Asian Development Bank 2.250% 1/20/21 22,400   22,518  
  Asian Development Bank 1.625% 3/16/21 8,300   8,290  
  Asian Development Bank 1.750% 6/8/21 25,000   25,018  
  Asian Development Bank 2.000% 2/16/22 61,525   61,972  
  Asian Development Bank 1.875% 2/18/22 17,415   17,500  
  Asian Development Bank 1.875% 7/19/22 43,920   44,112  
  Asian Development Bank 1.875% 8/10/22 6,000   6,019  
  Asian Development Bank 1.750% 9/13/22 26,015   26,057  
  Asian Development Bank 2.750% 3/17/23 50,000   51,617  
  Asian Development Bank 2.625% 1/30/24 16,550   17,114  
  Asian Development Bank 1.500% 10/18/24 35,500   35,086  
  Asian Development Bank 2.000% 1/22/25 10,750   10,867  
  Asian Development Bank 2.000% 4/24/26 1,700   1,709  
  Asian Development Bank 2.625% 1/12/27 7,250   7,577  
  Asian Development Bank 2.375% 8/10/27 5,265   5,420  
  Asian Development Bank 6.220% 8/15/27 2,175   2,760  
  Asian Development Bank 2.500% 11/2/27 46,115   47,961  
  Asian Development Bank 2.750% 1/19/28 450   477  
  Asian Development Bank 3.125% 9/26/28 15,188   16,577  
  Asian Development Bank 1.750% 9/19/29 6,040   5,902  
  Asian Infrastructure Investment Bank 2.250% 5/16/24 12,785   13,029  
  Canada 2.625% 1/25/22 11,000   11,210  
  Canada 2.000% 11/15/22 25,890   26,136  

 

152

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  CNOOC Finance 2013 Ltd. 3.000% 5/9/23 15,380   15,672  
  CNOOC Finance 2013 Ltd. 2.875% 9/30/29 8,600   8,589  
  CNOOC Finance 2013 Ltd. 4.250% 5/9/43 500   554  
  CNOOC Finance 2013 Ltd. 3.300% 9/30/49 8,500   8,038  
  CNOOC Finance 2015 USA LLC 3.500% 5/5/25 22,100   23,103  
  CNOOC Finance 2015 USA LLC 4.375% 5/2/28 30,000   33,218  
  CNOOC Nexen Finance 2014 ULC 4.250% 4/30/24 19,075   20,373  
  CNOOC Nexen Finance 2014 ULC 4.875% 4/30/44 8,865   10,835  
  Corp. Andina de Fomento 3.250% 2/11/22 2,000   2,036  
  Corp. Andina de Fomento 3.750% 11/23/23 9,500   9,937  
  Corp. Andina de Fomento 4.375% 6/15/22 23,269   24,362  
  Corp. Andina de Fomento 2.750% 1/6/23 11,350   11,449  
  Council Of Europe Development Bank 1.625% 3/16/21 4,600   4,591  
  Council Of Europe Development Bank 1.750% 9/26/22 8,300   8,311  
  Council Of Europe Development Bank 2.625% 2/13/23 18,475   18,986  
  Council Of Europe Development Bank 2.500% 2/27/24 1,825   1,877  
  Ecopetrol SA 5.875% 9/18/23 15,725   17,455  
  Ecopetrol SA 4.125% 1/16/25 16,775   17,635  
  Ecopetrol SA 5.375% 6/26/26 15,000   16,819  
  Ecopetrol SA 7.375% 9/18/43 5,200   7,020  
  Ecopetrol SA 5.875% 5/28/45 17,775   20,886  
  Equinor ASA 2.750% 11/10/21 10,400   10,571  
  Equinor ASA 3.150% 1/23/22 4,475   4,589  
  Equinor ASA 2.450% 1/17/23 17,667   17,935  
  Equinor ASA 2.650% 1/15/24 18,747   19,177  
  Equinor ASA 3.700% 3/1/24 9,856   10,497  
  Equinor ASA 3.250% 11/10/24 10,194   10,733  
  Equinor ASA 7.250% 9/23/27 4,350   5,765  
  Equinor ASA 3.625% 9/10/28 9,652   10,641  
7 Equinor ASA 6.500% 12/1/28 225   294  
  Equinor ASA 5.100% 8/17/40 11,100   14,145  
  Equinor ASA 4.250% 11/23/41 3,100   3,587  
  Equinor ASA 3.950% 5/15/43 2,550   2,842  
  Equinor ASA 4.800% 11/8/43 12,295   15,493  
  Equinor ASA 3.250% 11/18/49 5,000   5,020  
  European Bank for Reconstruction & Development 2.000% 2/1/21 35,000   35,086  
  European Bank for Reconstruction & Development 1.875% 7/15/21 5,200   5,212  
  European Bank for Reconstruction & Development 1.500% 11/2/21 11,000   10,967  
  European Bank for Reconstruction & Development 1.875% 2/23/22 14,300   14,361  
  European Bank for Reconstruction & Development 2.750% 3/7/23 24,750   25,551  
  European Bank for Reconstruction & Development 1.625% 9/27/24 2,000   1,985  
  European Investment Bank 4.000% 2/16/21 29,060   29,775  
  European Investment Bank 2.000% 3/15/21 52,850   53,019  
  European Investment Bank 2.500% 4/15/21 28,700   28,976  
  European Investment Bank 2.375% 5/13/21 21,500   21,683  
  European Investment Bank 1.625% 6/15/21 13,000   12,979  
  European Investment Bank 1.375% 9/15/21 2,000   1,991  
  European Investment Bank 2.125% 10/15/21 26,125   26,333  

 

153

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  European Investment Bank 2.875% 12/15/21 31,890   32,618  
  European Investment Bank 2.250% 3/15/22 71,575   72,484  
  European Investment Bank 2.625% 5/20/22 22,000   22,494  
  European Investment Bank 2.375% 6/15/22 44,995   45,732  
  European Investment Bank 2.250% 8/15/22 14,470   14,677  
  European Investment Bank 1.375% 9/6/22 33,000   32,739  
  European Investment Bank 2.000% 12/15/22 867   875  
  European Investment Bank 2.500% 3/15/23 63,300   64,893  
  European Investment Bank 2.875% 8/15/23 32,200   33,534  
  European Investment Bank 3.125% 12/14/23 12,000   12,641  
  European Investment Bank 3.250% 1/29/24 59,480   62,985  
  European Investment Bank 2.625% 3/15/24 52,370   54,229  
  European Investment Bank 2.250% 6/24/24 28,195   28,806  
  European Investment Bank 2.500% 10/15/24 9,922   10,260  
  European Investment Bank 1.875% 2/10/25 15,100   15,188  
  European Investment Bank 2.125% 4/13/26 26,000   26,381  
  European Investment Bank 2.375% 5/24/27 8,000   8,257  
  European Investment Bank 1.625% 10/9/29 3,060   2,961  
  European Investment Bank 4.875% 2/15/36 14,460   19,406  
  Export Development Canada 1.500% 5/26/21 17,900   17,831  
  Export Development Canada 1.375% 10/21/21 18,040   17,924  
  Export Development Canada 1.750% 7/18/22 10,525   10,564  
  Export Development Canada 2.500% 1/24/23 5,250   5,372  
  Export Development Canada 2.750% 3/15/23 8,850   9,135  
  Export Development Canada 2.625% 2/21/24 5,000   5,159  
  Export-Import Bank of Korea 4.000% 1/29/21 3,400   3,466  
  Export-Import Bank of Korea 2.500% 5/10/21 6,000   6,031  
  Export-Import Bank of Korea 4.375% 9/15/21 4,000   4,157  
  Export-Import Bank of Korea 1.875% 10/21/21 13,450   13,415  
  Export-Import Bank of Korea 3.500% 11/27/21 5,000   5,136  
  Export-Import Bank of Korea 2.750% 1/25/22 14,500   14,724  
  Export-Import Bank of Korea 5.000% 4/11/22 3,300   3,516  
  Export-Import Bank of Korea 3.000% 11/1/22 8,000   8,207  
  Export-Import Bank of Korea 3.625% 11/27/23 10,000   10,528  
  Export-Import Bank of Korea 4.000% 1/14/24 17,850   19,080  
  Export-Import Bank of Korea 2.875% 1/21/25 3,000   3,085  
  Export-Import Bank of Korea 3.250% 11/10/25 6,200   6,512  
  Export-Import Bank of Korea 2.625% 5/26/26 6,000   6,045  
  Export-Import Bank of Korea 3.250% 8/12/26 425   444  
  FMS Wertmanagement AoeR 2.000% 8/1/22 46,500   46,852  
  Hydro-Quebec 8.400% 1/15/22 4,215   4,734  
  Hydro-Quebec 8.050% 7/7/24 7,240   9,019  
  Hydro-Quebec 8.500% 12/1/29 3,940   5,982  
  Industrial & Commercial Bank of China Ltd. 2.635% 5/26/21 5,200   5,217  
  Industrial & Commercial Bank of China Ltd. 2.957% 11/8/22 6,250   6,341  
  Industrial & Commercial Bank of China Ltd. 3.538% 11/8/27 10,212   10,549  
  Inter-American Development Bank 1.875% 3/15/21 3,400   3,405  
  Inter-American Development Bank 2.625% 4/19/21 24,089   24,354  
  Inter-American Development Bank 1.875% 7/23/21 5,000   5,016  
  Inter-American Development Bank 2.125% 1/18/22 51,750   52,221  
  Inter-American Development Bank 1.750% 4/14/22 25,600   25,646  
  Inter-American Development Bank 1.750% 9/14/22 30,850   30,908  
  Inter-American Development Bank 3.000% 9/26/22 24,000   24,778  
  Inter-American Development Bank 2.500% 1/18/23 57,275   58,647  

 

154

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Inter-American Development Bank 3.000% 10/4/23 34,050   35,679  
  Inter-American Development Bank 2.625% 1/16/24 10,000   10,334  
  Inter-American Development Bank 3.000% 2/21/24 13,000   13,616  
  Inter-American Development Bank 2.125% 1/15/25 21,000   21,323  
  Inter-American Development Bank 7.000% 6/15/25 4,575   5,704  
  Inter-American Development Bank 2.000% 6/2/26 27,625   27,781  
  Inter-American Development Bank 2.000% 7/23/26 5,600   5,632  
  Inter-American Development Bank 2.375% 7/7/27 28,500   29,411  
  Inter-American Development Bank 3.125% 9/18/28 25,000   27,281  
  Inter-American Development Bank 2.250% 6/18/29 5,300   5,405  
  Inter-American Development Bank 3.875% 10/28/41 350   429  
  Inter-American Development Bank 3.200% 8/7/42 3,375   3,769  
  Inter-American Development Bank 4.375% 1/24/44 4,600   6,084  
  International Bank for Reconstruction & Development 1.625% 3/9/21 27,125   27,092  
  International Bank for Reconstruction & Development 1.375% 5/24/21 35,300   35,129  
  International Bank for Reconstruction & Development 2.250% 6/24/21 10,250   10,327  
  International Bank for Reconstruction & Development 2.750% 7/23/21 49,669   50,490  
  International Bank for Reconstruction & Development 1.375% 9/20/21 34,810   34,644  
  International Bank for Reconstruction & Development 2.125% 12/13/21 15,270   15,391  
  International Bank for Reconstruction & Development 2.000% 1/26/22 79,250   79,779  
  International Bank for Reconstruction & Development 1.625% 2/10/22 60,885   60,843  
  International Bank for Reconstruction & Development 2.125% 7/1/22 35,225   35,608  
  International Bank for Reconstruction & Development 7.625% 1/19/23 19,955   23,430  
  International Bank for Reconstruction & Development 1.750% 4/19/23 6,020   6,026  
  International Bank for Reconstruction & Development 1.875% 6/19/23 64,975   65,293  
  International Bank for Reconstruction & Development 3.000% 9/27/23 41,368   43,292  
  International Bank for Reconstruction & Development 2.500% 3/19/24 34,720   35,780  
  International Bank for Reconstruction & Development 1.500% 8/28/24 40,640   40,180  
  International Bank for Reconstruction & Development 2.500% 11/25/24 47,197   48,796  
  International Bank for Reconstruction & Development 2.500% 7/29/25 47,450   49,218  
  International Bank for Reconstruction & Development 3.125% 11/20/25 19,620   21,048  
  International Bank for Reconstruction & Development 8.875% 3/1/26 450   617  
  International Bank for Reconstruction & Development 2.500% 11/22/27 15,000   15,627  

 

155

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
  International Bank for Reconstruction & Development 1.750% 10/23/29 12,680   12,377  
  International Bank for Reconstruction & Development 4.750% 2/15/35 2,500   3,260  
  International Finance Corp. 2.250% 1/25/21 36,995   37,189  
  International Finance Corp. 2.000% 10/24/22 9,604   9,686  
  International Finance Corp. 2.875% 7/31/23 13,914   14,474  
  International Finance Corp. 1.375% 10/16/24 12,260   12,025  
  International Finance Corp. 2.125% 4/7/26 15,290   15,525  
8 Japan Bank for International Cooperation 1.875% 4/20/21 6,600   6,599  
8 Japan Bank for International Cooperation 3.125% 7/20/21 7,225   7,369  
8 Japan Bank for International Cooperation 1.500% 7/21/21 18,100   18,015  
8 Japan Bank for International Cooperation 2.000% 11/4/21 8,250   8,271  
8 Japan Bank for International Cooperation 2.500% 6/1/22 7,502   7,606  
8 Japan Bank for International Cooperation 2.375% 7/21/22 9,340   9,446  
8 Japan Bank for International Cooperation 1.625% 10/17/22 5,900   5,845  
8 Japan Bank for International Cooperation 2.375% 11/16/22 22,180   22,454  
8 Japan Bank for International Cooperation 3.250% 7/20/23 7,675   7,970  
8 Japan Bank for International Cooperation 3.375% 7/31/23 225   236  
8 Japan Bank for International Cooperation 3.375% 10/31/23 18,900   19,882  
8 Japan Bank for International Cooperation 2.500% 5/23/24 15,000   15,273  
8 Japan Bank for International Cooperation 3.000% 5/29/24 16,250   16,873  
8 Japan Bank for International Cooperation 1.750% 10/17/24 7,600   7,481  
8 Japan Bank for International Cooperation 2.125% 2/10/25 14,500   14,528  
8 Japan Bank for International Cooperation 2.375% 4/20/26 1,600   1,616  
8 Japan Bank for International Cooperation 2.250% 11/4/26 18,000   18,050  
8 Japan Bank for International Cooperation 2.875% 6/1/27 12,000   12,546  
8 Japan Bank for International Cooperation 2.875% 7/21/27 12,700   13,261  
8 Japan Bank for International Cooperation 2.750% 11/16/27 35,350   36,744  
8 Japan Bank for International Cooperation 3.250% 7/20/28 12,150   13,081  
8 Japan Bank for International Cooperation 3.500% 10/31/28 16,150   17,731  
8 Japan Bank for International Cooperation 2.000% 10/17/29 7,000   6,823  
8 Japan International Cooperation Agency 2.750% 4/27/27 8,400   8,667  
8 Japan International Cooperation Agency 3.375% 6/12/28 4,500   4,887  
9 KFW 1.625% 3/15/21 1,100   1,099  
9 KFW 2.375% 3/24/21 41,000   41,299  
9 KFW 2.625% 4/12/21 45,000   45,528  
9 KFW 1.500% 6/15/21 50,400   50,314  
9 KFW 2.375% 8/25/21 19,590   19,816  
9 KFW 1.750% 9/15/21 33,300   33,350  
9 KFW 2.000% 11/30/21 14,715   14,809  
9 KFW 3.125% 12/15/21 54,665   56,185  
9 KFW 2.625% 1/25/22 32,500   33,133  
9 KFW 2.500% 2/15/22 58,700   59,661  
9 KFW 2.125% 3/7/22 70,000   70,635  
9 KFW 2.125% 6/15/22 52,200   52,744  
9 KFW 1.750% 8/22/22 10,000   10,018  
9 KFW 2.000% 10/4/22 24,875   25,082  
9 KFW 2.375% 12/29/22 49,000   50,005  
9 KFW 2.125% 1/17/23 23,700   24,047  
9 KFW 2.625% 2/28/24 30,000   31,029  
9 KFW 1.375% 8/5/24 5,200   5,102  
9 KFW 2.500% 11/20/24 49,500   51,125  
9 KFW 2.000% 5/2/25 16,640   16,813  

 

156

 

 

 

Total Bond Market II Index Fund

 

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
9 KFW 2.875% 4/3/28 18,635   19,958  
9 KFW 1.750% 9/14/29 7,225   7,072  
9 KFW 0.000% 4/18/36 9,385   6,405  
9 KFW 0.000% 6/29/37 23,742   15,808  
  Korea Development Bank 2.500% 1/13/21 5,000   5,017  
  Korea Development Bank 4.625% 11/16/21 9,800   10,239  
  Korea Development Bank 2.625% 2/27/22 14,000   14,184  
  Korea Development Bank 3.000% 9/14/22 30,650   31,387  
  Korea Development Bank 3.375% 3/12/23 24,200   25,103  
  Korea Development Bank 2.750% 3/19/23 3,100   3,154  
  Korea Development Bank 3.750% 1/22/24 14,400   15,264  
  Korea Development Bank 3.250% 2/19/24 1,000   1,040  
  Korea Development Bank 2.125% 10/1/24 4,300   4,283  
  Korea Development Bank 3.000% 1/13/26 1,500   1,540  
9 Landwirtschaftliche Rentenbank 1.750% 9/24/21 8,000   8,012  
9 Landwirtschaftliche Rentenbank 2.250% 10/1/21 18,885   19,056  
9 Landwirtschaftliche Rentenbank 2.000% 12/6/21 3,345   3,363  
9 Landwirtschaftliche Rentenbank 3.125% 11/14/23 5,000   5,265  
9 Landwirtschaftliche Rentenbank 2.000% 1/13/25 16,300   16,453  
9 Landwirtschaftliche Rentenbank 2.375% 6/10/25 14,575   14,988  
9 Landwirtschaftliche Rentenbank 1.750% 7/27/26 9,095   9,012  
9 Landwirtschaftliche Rentenbank 2.500% 11/15/27 23,105   24,118  
  Nexen Energy ULC 7.875% 3/15/32 4,075   5,876  
  Nexen Energy ULC 5.875% 3/10/35 690   877  
  Nexen Energy ULC 6.400% 5/15/37 10,400   14,307  
  Nexen Energy ULC 7.500% 7/30/39 4,275   6,645  
  Nordic Investment Bank 2.250% 2/1/21 16,500   16,577  
  Nordic Investment Bank 1.250% 8/2/21 5,000   4,967  
  Nordic Investment Bank 2.125% 2/1/22 9,000   9,080  
  Nordic Investment Bank 1.375% 10/17/22 6,100   6,046  
  Nordic Investment Bank 2.875% 7/19/23 8,750   9,095  
  Nordic Investment Bank 2.250% 5/21/24 6,300   6,410  
  North American Development Bank 2.400% 10/26/22 3,450   3,464  
10 Oesterreichische Kontrollbank AG 1.875% 1/20/21 10,900   10,916  
10 Oesterreichische Kontrollbank AG 2.875% 9/7/21 3,957   4,032  
10 Oesterreichische Kontrollbank AG 2.375% 10/1/21 6,450   6,517  
10 Oesterreichische Kontrollbank AG 2.625% 1/31/22 5,000   5,089  
10 Oesterreichische Kontrollbank AG 1.625% 9/17/22 1,000   998  
10 Oesterreichische Kontrollbank AG 2.875% 3/13/23 6,000   6,212  
10 Oesterreichische Kontrollbank AG 3.125% 11/7/23 5,000   5,251  
4 Oriental Republic of Uruguay 8.000% 11/18/22 3,155   3,518  
4 Oriental Republic of Uruguay 4.500% 8/14/24 10,193   11,020  
4 Oriental Republic of Uruguay 4.375% 10/27/27 9,995   11,032  
4 Oriental Republic of Uruguay 4.375% 1/23/31 18,104   20,254  
4 Oriental Republic of Uruguay 7.875% 1/15/33 200   297  
4 Oriental Republic of Uruguay 7.625% 3/21/36 5,233   7,745  
4 Oriental Republic of Uruguay 4.125% 11/20/45 6,579   7,064  
4 Oriental Republic of Uruguay 5.100% 6/18/50 26,410   31,758  
4 Oriental Republic of Uruguay 4.975% 4/20/55 27,782   32,713  
  Petroleos Mexicanos 5.500% 1/21/21 7,410   7,610  
  Petroleos Mexicanos 6.375% 2/4/21 1,883   1,917  
  Petroleos Mexicanos 4.875% 1/24/22 9,107   9,462  
  Petroleos Mexicanos 5.375% 3/13/22 6,466   6,772  
  Petroleos Mexicanos 3.500% 1/30/23 4,660   4,707  

 

157

 

 

Total Bond Market II Index Fund            
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Petroleos Mexicanos 4.625% 9/21/23 6,582   6,864  
  Petroleos Mexicanos 4.875% 1/18/24 5,232   5,486  
4 Petroleos Mexicanos 2.290% 2/15/24 675   680  
  Petroleos Mexicanos 4.250% 1/15/25 2,210   2,233  
  Petroleos Mexicanos 2.378% 4/15/25 1,045   1,055  
  Petroleos Mexicanos 4.500% 1/23/26 4,240   4,209  
  Petroleos Mexicanos 6.875% 8/4/26 26,433   29,008  
7 Petroleos Mexicanos 6.490% 1/23/27 24,631   26,143  
  Petroleos Mexicanos 6.500% 3/13/27 50,799   53,754  
  Petroleos Mexicanos 5.350% 2/12/28 28,972   28,772  
  Petroleos Mexicanos 6.500% 1/23/29 18,575   19,478  
7 Petroleos Mexicanos 6.840% 1/23/30 40,272   43,122  
  Petroleos Mexicanos 6.625% 6/15/35 22,000   22,358  
  Petroleos Mexicanos 6.625% 6/15/38 5,940   5,813  
  Petroleos Mexicanos 6.500% 6/2/41 8,915   8,853  
  Petroleos Mexicanos 5.500% 6/27/44 4,165   3,719  
  Petroleos Mexicanos 6.375% 1/23/45 13,850   13,370  
  Petroleos Mexicanos 5.625% 1/23/46 13,486   12,132  
  Petroleos Mexicanos 6.750% 9/21/47 60,084   60,124  
  Petroleos Mexicanos 6.350% 2/12/48 37,204   35,892  
7 Petroleos Mexicanos 7.690% 1/23/50 74,044   80,826  
  Province of Alberta 2.200% 7/26/22 20,105   20,273  
  Province of Alberta 3.350% 11/1/23 17,910   18,861  
  Province of Alberta 2.950% 1/23/24 12,350   12,819  
  Province of Alberta 1.875% 11/13/24 15,000   14,952  
  Province of Alberta 3.300% 3/15/28 14,000   15,111  
  Province of British Columbia 2.650% 9/22/21 13,150   13,345  
  Province of British Columbia 2.000% 10/23/22 17,150   17,251  
  Province of British Columbia 2.250% 6/2/26 1,150   1,161  
  Province of British Columbia 7.250% 9/1/36 2,681   4,200  
  Province of Manitoba 2.100% 9/6/22 7,100   7,142  
  Province of Manitoba 2.600% 4/16/24 9,700   9,960  
  Province of Manitoba 3.050% 5/14/24 4,800   5,008  
  Province of Manitoba 2.125% 6/22/26 9,782   9,756  
  Province of New Brunswick 2.500% 12/12/22 4,005   4,069  
  Province of New Brunswick 3.625% 2/24/28 5,300   5,790  
  Province of Nova Scotia 9.125% 5/1/21 1,280   1,393  
  Province of Ontario 2.550% 2/12/21 40,000   40,324  
  Province of Ontario 2.500% 9/10/21 16,000   16,177  
  Province of Ontario 2.400% 2/8/22 16,000   16,195  
  Province of Ontario 2.550% 4/25/22 17,100   17,383  
  Province of Ontario 2.250% 5/18/22 27,900   28,168  
  Province of Ontario 2.450% 6/29/22 1,525   1,547  
  Province of Ontario 2.200% 10/3/22 16,725   16,884  
  Province of Ontario 3.400% 10/17/23 35,765   37,757  
  Province of Ontario 3.050% 1/29/24 20,050   20,893  
  Province of Ontario 3.200% 5/16/24 10,000   10,510  
  Province of Ontario 2.500% 4/27/26 8,000   8,189  
  Province of Ontario 2.300% 6/15/26 20,000   20,245  
  Province of Ontario 2.000% 10/2/29 17,000   16,704  
  Province of Quebec 2.750% 8/25/21 13,725   13,947  
  Province of Quebec 2.375% 1/31/22 8,000   8,087  
  Province of Quebec 2.625% 2/13/23 34,919   35,771  
  Province of Quebec 7.125% 2/9/24 8,675   10,373  

 

158

 

 

Total Bond Market II Index Fund            
             
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Province of Quebec 2.875% 10/16/24 9,400   9,791  
  Province of Quebec 2.500% 4/20/26 500   512  
  Province of Quebec 2.750% 4/12/27 43,050   44,753  
  Province of Quebec 7.500% 9/15/29 11,407   16,427  
  Province of Saskatchewan 8.500% 7/15/22 2,707   3,128  
  Republic of Chile 3.250% 9/14/21 5,395   5,496  
  Republic of Chile 2.250% 10/30/22 1,000   1,003  
  Republic of Chile 3.125% 3/27/25 7,330   7,637  
  Republic of Chile 3.125% 1/21/26 8,894   9,307  
4 Republic of Chile 3.240% 2/6/28 18,410   19,295  
  Republic of Chile 3.625% 10/30/42 1,100   1,184  
  Republic of Chile 3.860% 6/21/47 13,000   14,427  
4 Republic of Chile 3.500% 1/25/50 8,900   9,222  
  Republic of Colombia 4.375% 7/12/21 10,885   11,234  
4 Republic of Colombia 2.625% 3/15/23 22,050   22,191  
  Republic of Colombia 4.000% 2/26/24 23,633   24,897  
  Republic of Colombia 8.125% 5/21/24 1,800   2,209  
4 Republic of Colombia 4.500% 1/28/26 22,717   24,706  
4 Republic of Colombia 3.875% 4/25/27 13,450   14,206  
4 Republic of Colombia 4.500% 3/15/29 16,300   18,031  
  Republic of Colombia 10.375% 1/28/33 3,850   6,189  
  Republic of Colombia 7.375% 9/18/37 9,600   13,662  
  Republic of Colombia 6.125% 1/18/41 21,000   27,020  
4 Republic of Colombia 5.625% 2/26/44 23,750   29,290  
4 Republic of Colombia 5.000% 6/15/45 46,620   53,815  
  Republic of Colombia 5.200% 5/15/49 18,300   21,833  
  Republic of Finland 6.950% 2/15/26 1,000   1,221  
  Republic of Hungary 6.375% 3/29/21 50,045   52,798  
  Republic of Hungary 5.375% 2/21/23 36,900   40,449  
  Republic of Hungary 5.750% 11/22/23 175   197  
  Republic of Hungary 5.375% 3/25/24 10,000   11,269  
  Republic of Hungary 7.625% 3/29/41 12,715   20,823  
  Republic of Indonesia 2.950% 1/11/23 2,475   2,516  
  Republic of Indonesia 4.450% 2/11/24 2,400   2,586  
  Republic of Indonesia 3.500% 1/11/28 19,400   20,215  
  Republic of Indonesia 4.100% 4/24/28 7,850   8,528  
  Republic of Indonesia 4.750% 2/11/29 11,150   12,767  
  Republic of Indonesia 3.400% 9/18/29 3,250   3,375  
7 Republic of Indonesia 4.750% 7/18/47 4,400   5,071  
  Republic of Indonesia 4.350% 1/11/48 15,745   17,418  
  Republic of Indonesia 5.350% 2/11/49 6,300   8,120  
  Republic of Indonesia 3.700% 10/30/49 9,125   9,259  
  Republic of Italy 6.875% 9/27/23 24,693   28,067  
  Republic of Italy 2.375% 10/17/24 24,000   23,478  
  Republic of Italy 2.875% 10/17/29 10,100   9,541  
  Republic of Italy 5.375% 6/15/33 21,495   24,620  
  Republic of Italy 4.000% 10/17/49 21,600   20,485  
  Republic of Korea 3.875% 9/11/23 1,200   1,278  
  Republic of Korea 5.625% 11/3/25 575   681  
  Republic of Korea 2.750% 1/19/27 33,400   34,111  
  Republic of Korea 4.125% 6/10/44 5,635   6,850  
  Republic of Korea 3.875% 9/20/48 5,693   6,783  
4 Republic of Panama 4.000% 9/22/24 14,467   15,462  
4 Republic of Panama 3.750% 3/16/25 12,200   12,947  

 

159

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Republic of Panama 7.125% 1/29/26 7,622   9,547  
  Republic of Panama 8.875% 9/30/27 4,246   6,056  
4 Republic of Panama 3.875% 3/17/28 11,190   12,169  
  Republic of Panama 9.375% 4/1/29 8,380   12,769  
4 Republic of Panama 3.160% 1/23/30 1,800   1,854  
4 Republic of Panama 6.700% 1/26/36 20,973   29,388  
4 Republic of Panama 4.500% 5/15/47 11,543   13,736  
4 Republic of Panama 4.500% 4/16/50 15,318   18,152  
4 Republic of Panama 4.300% 4/29/53 13,850   16,153  
4 Republic of Panama 3.870% 7/23/60 3,000   3,225  
  Republic of Peru 7.350% 7/21/25 900   1,137  
  Republic of Peru 4.125% 8/25/27 2,300   2,572  
  Republic of Peru 2.844% 6/20/30 8,050   8,327  
  Republic of Peru 8.750% 11/21/33 27,093   44,678  
4 Republic of Peru 6.550% 3/14/37 10,180   14,871  
  Republic of Peru 5.625% 11/18/50 24,583   35,666  
  Republic of Poland 5.125% 4/21/21 14,650   15,253  
  Republic of Poland 5.000% 3/23/22 19,385   20,688  
  Republic of Poland 3.000% 3/17/23 24,675   25,407  
  Republic of Poland 4.000% 1/22/24 17,000   18,296  
  Republic of Poland 3.250% 4/6/26 14,350   15,192  
  Republic of the Philippines 4.000% 1/15/21 22,275   22,690  
  Republic of the Philippines 4.200% 1/21/24 8,200   8,831  
  Republic of the Philippines 9.500% 10/21/24 2,170   2,891  
  Republic of the Philippines 10.625% 3/16/25 8,525   12,031  
  Republic of the Philippines 5.500% 3/30/26 9,350   11,091  
  Republic of the Philippines 3.000% 2/1/28 28,000   29,082  
  Republic of the Philippines 3.750% 1/14/29 14,000   15,443  
  Republic of the Philippines 9.500% 2/2/30 16,750   26,716  
  Republic of the Philippines 7.750% 1/14/31 13,300   19,651  
  Republic of the Philippines 6.375% 1/15/32 10,004   13,618  
  Republic of the Philippines 6.375% 10/23/34 16,540   23,487  
  Republic of the Philippines 5.000% 1/13/37 8,950   11,422  
  Republic of the Philippines 3.950% 1/20/40 27,399   31,259  
  Republic of the Philippines 3.700% 3/1/41 17,608   19,941  
  Republic of the Philippines 3.700% 2/2/42 16,288   18,348  
7 Sinopec Group Overseas Development 2012 Ltd. 4.875% 5/17/42 450   539  
  State of Israel 4.000% 6/30/22 8,200   8,619  
  State of Israel 3.150% 6/30/23 2,400   2,496  
  State of Israel 2.875% 3/16/26 30,400   31,691  
  State of Israel 3.250% 1/17/28 11,800   12,649  
  State of Israel 4.500% 1/30/43 8,980   10,694  
  State of Israel 4.125% 1/17/48 10,825   12,351  
  Svensk Exportkredit AB 1.750% 3/10/21 15,500   15,498  
  Svensk Exportkredit AB 2.375% 4/9/21 3,700   3,729  
  Svensk Exportkredit AB 2.875% 5/22/21 2,200   2,234  
  Svensk Exportkredit AB 1.625% 9/12/21 20,900   20,871  
  Svensk Exportkredit AB 3.125% 11/8/21 3,950   4,050  
  Svensk Exportkredit AB 2.000% 8/30/22 18,520   18,643  
  Svensk Exportkredit AB 1.625% 11/14/22 8,800   8,780  
  Svensk Exportkredit AB 2.875% 3/14/23 8,395   8,696  
  Syngenta Finance NV 3.125% 3/28/22 9,895   9,972  
  United Mexican States 3.625% 3/15/22 42,212   43,480  

 

160

 

 

Total Bond Market II Index Fund            
             
             
      Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  United Mexican States 8.000% 9/24/22 360   419  
  United Mexican States 4.000% 10/2/23 15,073   15,879  
  United Mexican States 3.600% 1/30/25 23,936   25,009  
  United Mexican States 4.125% 1/21/26 25,790   27,453  
  United Mexican States 4.150% 3/28/27 34,155   36,501  
  United Mexican States 3.750% 1/11/28 29,400   30,473  
  United Mexican States 4.500% 4/22/29 23,100   25,314  
  United Mexican States 8.300% 8/15/31 4,390   6,496  
  United Mexican States 7.500% 4/8/33 4,100   5,780  
  United Mexican States 6.750% 9/27/34 6,810   9,299  
  United Mexican States 6.050% 1/11/40 26,002   33,688  
  United Mexican States 4.750% 3/8/44 55,133   60,699  
  United Mexican States 5.550% 1/21/45 12,525   15,347  
  United Mexican States 4.600% 1/23/46 22,691   24,461  
  United Mexican States 4.350% 1/15/47 22,860   23,933  
  United Mexican States 4.600% 2/10/48 18,596   20,179  
4 United Mexican States 4.500% 1/31/50 14,200   15,358  
  United Mexican States 5.750% 10/12/10 31,437   36,977  
Total Sovereign Bonds (Cost $7,453,418)         7,787,129  
Taxable Municipal Bonds (0.6%)  
  Alabama Economic Settlement Authority BP Settlement Revenue 3.163% 9/15/25 2,195   2,246  
  Alameda County CA Joint Powers Authority Lease Revenue 7.046% 12/1/44 2,105   3,310  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 7.834% 2/15/41 3,625   5,673  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 6.053% 2/15/43 400   555  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 5.939% 2/15/47 6,245   8,616  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 6.270% 2/15/50 1,230   1,643  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 7.499% 2/15/50 750   1,158  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 8.084% 2/15/50 2,850   4,879  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 6.918% 4/1/40 1,785   2,614  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 6.263% 4/1/49 13,008   19,869  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 7.043% 4/1/50 2,525   4,099  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 6.907% 10/1/50 6,940   11,200  
  California Department of Water Resources Power Supply Revenue 2.000% 5/1/22 8,975   9,024  
  California GO 2.800% 4/1/21 8,000   8,104  
  California GO 5.700% 11/1/21 14,805   15,847  
  California GO 2.367% 4/1/22 9,245   9,374  
  California GO 3.375% 4/1/25 4,225   4,487  
  California GO 2.650% 4/1/26 5,000   5,115  
  California GO 3.500% 4/1/28 5,500   5,922  
  California GO 4.500% 4/1/33 8,800   9,899  

 

161

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000 )
  California GO 7.500% 4/1/34 14,855   22,369  
  California GO 4.600% 4/1/38 11,425   12,659  
  California GO 7.550% 4/1/39 17,345   27,822  
  California GO 7.300% 10/1/39 11,735   17,920  
  California GO 7.350% 11/1/39 11,190   17,189  
  California GO 7.625% 3/1/40 14,230   22,785  
  California GO 7.600% 11/1/40 20,015   33,039  
  California State University Systemwide Revenue 3.899% 11/1/47 2,325   2,544  
  Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue 5.491% 11/1/39 660   868  
  Chicago IL GO 7.045% 1/1/29 4,950   5,433  
  Chicago IL GO 7.375% 1/1/33 2,050   2,456  
  Chicago IL GO 5.432% 1/1/42 2,500   2,581  
  Chicago IL GO 6.314% 1/1/44 2,400   2,728  
  Chicago IL Metropolitan Water Reclamation District GO 5.720% 12/1/38 5,110   6,685  
  Chicago IL O’Hare International Airport Revenue 6.395% 1/1/40 1,570   2,257  
  Chicago IL O’Hare International Airport Revenue 4.472% 1/1/49 6,655   8,030  
  Chicago IL Transit Authority Sales Tax Receipts Revenue 6.200% 12/1/40 2,475   3,239  
  Chicago IL Transit Authority Transfer Tax Receipts Revenue 6.899% 12/1/40 4,835   6,532  
  Clark County NV Airport System Revenue 6.820% 7/1/45 3,375   5,318  
  Commonwealth Financing Authority Pennsylvania Revenue 3.807% 6/1/41 2,500   2,663  
  Commonwealth Financing Authority Pennsylvania Revenue 3.864% 6/1/38 5,050   5,418  
  Connecticut GO 5.632% 12/1/29 1,610   1,955  
  Connecticut GO 5.090% 10/1/30 800   920  
  Connecticut GO 5.850% 3/15/32 9,890   12,736  
  Cook County IL GO 6.229% 11/15/34 2,695   3,527  
  Dallas County TX Hospital District Revenue 5.621% 8/15/44 850   1,120  
  Dallas TX Area Rapid Transit Revenue 5.999% 12/1/44 1,850   2,636  
  Dallas TX Area Rapid Transit Revenue 5.022% 12/1/48 2,960   3,914  
  Dallas TX Convention Center Hotel Development Corp. Hotel Revenue 7.088% 1/1/42 6,950   9,646  
  Dallas TX Independent School District GO 6.450% 2/15/35 1,500   1,575  
  Dallas-Fort Worth TX International Airport Revenue 2.994% 11/1/38 2,500   2,467  
  Dallas-Fort Worth TX International Airport Revenue 3.144% 11/1/45 3,575   3,538  
  District of Columbia Income Tax Revenue 5.591% 12/1/34 10,090   12,497  
  District of Columbia Water & Sewer Authority Public Utility Revenue 4.814% 10/1/14 8,750   11,496  
  East Bay CA Municipal Utility District Water System Revenue 5.874% 6/1/40 2,390   3,280  
  Florida Board of Administration Finance Corp. Revenue 2.638% 7/1/21 5,000   5,060  
  George Washington University 4.300% 9/15/44 1,575   1,822  
  George Washington University 4.868% 9/15/45 39   49  
  George Washington University 4.126% 9/15/48 8,046   9,270  

 

162

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000 )
  Georgia Municipal Electric Power Authority Revenue 6.637% 4/1/57 7,223   9,726  
  Georgia Municipal Electric Power Authority Revenue 6.655% 4/1/57 6,644   9,151  
  Georgia Municipal Electric Power Authority Revenue 7.055% 4/1/57 5,072   6,856  
  Houston TX GO 6.290% 3/1/32 11,795   14,222  
  Illinois GO 4.950% 6/1/23 1,855   1,935  
  Illinois GO 5.100% 6/1/33 54,770   59,044  
  Illinois GO 6.630% 2/1/35 5,475   6,420  
  Illinois GO 6.725% 4/1/35 3,550   4,167  
  Illinois GO 7.350% 7/1/35 5,800   7,040  
  Illinois Toll Highway Authority Revenue 6.184% 1/1/34 4,220   5,602  
  JobsOhio Beverage System Statewide Liquor Profits Revenue 3.985% 1/1/29 5,090   5,527  
  JobsOhio Beverage System Statewide Liquor Profits Revenue 4.532% 1/1/35 2,285   2,678  
  Kansas Department of Transportation Highway Revenue 4.596% 9/1/35 2,750   3,249  
  Kansas Development Finance Authority Revenue 4.927% 4/15/45 135   169  
11 Kansas Development Finance Authority Revenue (Public Employees Retirement System) 5.501% 5/1/34 2,025   2,516  
  Los Angeles CA Community College District GO 6.750% 8/1/49 4,605   7,560  
  Los Angeles CA Department of Water & Power Revenue 5.716% 7/1/39 1,650   2,220  
  Los Angeles CA Department of Water & Power Revenue 6.166% 7/1/40 600   613  
  Los Angeles CA Department of Water & Power Revenue 6.574% 7/1/45 6,555   10,247  
  Los Angeles CA Department of Water & Power Revenue 6.603% 7/1/50 735   1,180  
  Los Angeles CA Unified School District GO 5.755% 7/1/29 5,195   6,299  
  Los Angeles CA Unified School District GO 5.750% 7/1/34 14,920   19,107  
  Los Angeles CA Unified School District GO 6.758% 7/1/34 3,225   4,446  
  Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue 5.735% 6/1/39 6,375   8,231  
  Los Angeles County CA Public Works Financing Authority Lease Revenue 7.618% 8/1/40 895   1,387  
  Maryland Transportation Authority Facilities Projects Revenue 5.888% 7/1/43 840   1,121  
  Massachusetts GO 4.200% 12/1/21 8,085   8,329  
  Massachusetts GO 4.500% 8/1/31 350   406  
  Massachusetts GO 5.456% 12/1/39 5,250   6,814  
  Massachusetts GO 2.813% 9/1/43 7,000   6,663  
  Massachusetts GO 2.900% 9/1/49 3,425   3,233  
  Massachusetts School Building Authority Dedicated Sales Tax Revenue 5.715% 8/15/39 2,780   3,670  
  Massachusetts School Building Authority Dedicated Sales Tax Revenue 3.395% 10/15/40 2,800   2,799  
  Massachusetts Transportation Fund Revenue 5.731% 6/1/40 3,375   4,407  

 

163

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue 6.731% 7/1/43 1,540   2,200  
  Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue 7.462% 10/1/46 4,625   7,452  
  Miami-Dade County FL Aviation Revenue (Miami International Airport) 4.280% 10/1/41 6,155   6,590  
  Michigan Finance Authority Revenue (Trinity Health Credit Group) 3.084% 12/1/34 3,150   3,138  
  Michigan Finance Authority Revenue (Trinity Health Credit Group) 3.384% 12/1/40 7,000   6,984  
  Michigan State University Revenue 4.496% 8/15/48 2,025   2,223  
  Mississippi GO 5.245% 11/1/34 2,020   2,507  
  Missouri Health & Educational Facilities Authority Revenue (Washington University) 3.652% 8/15/57 3,500   3,678  
12 New Jersey Economic Development Authority Revenue (State Pension Funding) 7.425% 2/15/29 10,800   13,540  
  New Jersey Transportation Trust Fund Authority Transportation Program Revenue 4.081% 6/15/39 3,385   3,371  
  New Jersey Transportation Trust Fund Authority Transportation Program Revenue 4.131% 6/15/42 5,370   5,327  
  New Jersey Transportation Trust Fund Authority Transportation System Revenue 5.754% 12/15/28 7,680   8,829  
  New Jersey Transportation Trust Fund Authority Transportation System Revenue 6.104% 12/15/28 3,680   3,823  
  New Jersey Transportation Trust Fund Authority Transportation System Revenue 6.561% 12/15/40 3,550   4,686  
  New Jersey Turnpike Authority Revenue 7.414% 1/1/40 11,010   17,271  
  New Jersey Turnpike Authority Revenue 7.102% 1/1/41 16,751   25,546  
  New York City NY GO 6.646% 12/1/31 100   104  
  New York City NY GO 6.246% 6/1/35 950   965  
  New York City NY GO 5.517% 10/1/37 3,225   4,143  
  New York City NY GO 6.271% 12/1/37 5,425   7,527  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.750% 6/15/41 580   812  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.724% 6/15/42 795   1,121  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.952% 6/15/42 1,000   1,442  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 6.011% 6/15/42 350   507  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 6.282% 6/15/42 2,275   2,362  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.440% 6/15/43 9,580   13,169  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.882% 6/15/44 13,990   20,373  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.790% 6/15/41 800   814  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.790% 6/15/41 3,200   3,251  
  New York City NY Transitional Finance Authority Future Tax Revenue 5.767% 8/1/36 2,925   3,634  
  New York City NY Transitional Finance Authority Future Tax Revenue 5.508% 8/1/37 3,800   4,821  

 

164

 

 

Total Bond Market II Index Fund            
               
               
      Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  New York City NY Transitional Finance Authority Future Tax Revenue 5.572% 11/1/38 1,080   1,364  
  New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 9,600   15,020  
  New York Metropolitan Transportation Authority Revenue (Transit Revenue) 5.871% 11/15/39 975   1,255  
  New York Metropolitan Transportation Authority Revenue (Transit Revenue) 6.668% 11/15/39 6,360   9,027  
  New York State Dormitory Authority Revenue 3.142% 7/1/43 2,085   2,067  
  New York State Dormitory Authority Revenue (Personal Income Tax) 3.110% 2/15/39 2,100   2,101  
  New York State Dormitory Authority Revenue (Personal Income Tax) 5.628% 3/15/39 1,150   1,415  
  New York State Dormitory Authority Revenue (Personal Income Tax) 5.600% 3/15/40 3,085   3,905  
  New York State Dormitory Authority Revenue (Personal Income Tax) 3.190% 2/15/43 2,100   2,108  
  New York State Thruway Authority 2.900% 1/1/35 2,050   2,043  
  New York State Thruway Authority 3.500% 1/1/42 1,500   1,494  
  New York State Urban Development Corp. Revenue (Personal Income Tax) 3.900% 3/15/33 3,040   3,267  
  New York State Urban Development Corp. Revenue (Personal Income Tax) 5.770% 3/15/39 2,375   2,880  
  North Texas Tollway Authority System Revenue 6.718% 1/1/49 7,225   11,335  
  NYU Langone Hospitals 5.750% 7/1/43 3,100   4,116  
  Ohio State University General Receipts Revenue 4.910% 6/1/40 1,575   2,007  
  Ohio State University General Receipts Revenue 3.798% 12/1/46 4,500   4,995  
  Ohio State University General Receipts Revenue 4.800% 6/1/11 5,431   6,884  
  Ohio Water Development Authority Water Pollution Control Loan Fund Revenue 4.879% 12/1/34 1,100   1,284  
  Oregon Department of Transportation Highway User Tax Revenue 5.834% 11/15/34 2,100   2,798  
  Oregon GO 5.762% 6/1/23 507   545  
  Oregon GO 5.892% 6/1/27 8,130   9,635  
11 Oregon School Boards Association GO 5.528% 6/30/28 375   442  
  Pennsylvania Public School Building Authority Lease Revenue (School District of Philadelphia) 5.000% 9/15/27 1,947   2,247  
  Pennsylvania Turnpike Commission Revenue 5.511% 12/1/45 3,050   4,028  
  Port Authority of New York & New Jersey Revenue 6.040% 12/1/29 2,060   2,653  
  Port Authority of New York & New Jersey Revenue 5.647% 11/1/40 4,900   6,541  
  Port Authority of New York & New Jersey Revenue 5.647% 11/1/40 3,080   4,111  
  Port Authority of New York & New Jersey Revenue 4.960% 8/1/46 5,025   6,491  
  Port Authority of New York & New Jersey Revenue 5.310% 8/1/46 3,370   3,731  
  Port Authority of New York & New Jersey Revenue 4.031% 9/1/48 1,800   2,033  

 

165

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000 ) 
  Port Authority of New York & New Jersey Revenue 4.926% 10/1/51 5,560   7,203  
  Port Authority of New York & New Jersey Revenue 4.458% 10/1/62 18,410   22,563  
  Port Authority of New York & New Jersey Revenue 4.810% 10/15/65 7,385   9,303  
  Port Authority of New York & New Jersey Revenue 3.287% 8/1/69 4,300   4,089  
  Port of Morrow OR Transmission Facilities Revenue (Bonneville Cooperation Project) 2.987% 9/1/36 105   104  
  Princeton University 5.700% 3/1/39 6,600   9,157  
  Regents of the University of California Revenue 3.063% 7/1/25 9,060   9,487  
  Regional Transportation District of Colorado Sales Tax Revenue 5.844% 11/1/50 1,500   2,176  
  Rutgers State University New Jersey Revenue 5.665% 5/1/40 2,900   3,782  
  Rutgers State University New Jersey Revenue 3.915% 5/1/19 2,395   2,357  
  Rutgers The State University of New Jersey 3.270% 5/1/43 1,050   1,039  
  Sales Tax Securitization Corp. Illinois Revenue 3.587% 1/1/43 8,400   8,282  
  Sales Tax Securitization Corp. Illinois Revenue 3.820% 1/1/48 3,000   3,022  
  Salt River Project Arizona Agricultural Improvement & Power District Revenue 4.839% 1/1/41 3,235   4,024  
  San Antonio TX Electric & Gas Systems Revenue 5.985% 2/1/39 1,650   2,271  
  San Antonio TX Electric & Gas Systems Revenue 5.808% 2/1/41 7,000   9,626  
  San Antonio TX Electric & Gas Systems Revenue 4.427% 2/1/42 1,410   1,634  
  San Diego County CA Regional Transportation Commission Sales Tax Revenue 5.911% 4/1/48 1,760   2,540  
  San Diego County CA Water Authority Revenue 6.138% 5/1/49 6,180   8,770  
  San Francisco CA City & County Public Utilities Commission Water Revenue 6.950% 11/1/50 5,795   8,810  
  San Jose California Redevelopment Agency Successor Agency Tax Allocation 3.375% 8/1/34 3,600   3,700  
  Santa Clara Valley CA Transportation Authority Sales Tax Revenue 5.876% 4/1/32 3,390   4,146  
  South Carolina Public Service Authority Revenue 2.388% 12/1/23 2,760   2,766  
  South Carolina Public Service Authority Revenue 6.454% 1/1/50 7,000   10,294  
  Texas A&M University System Revenue Financing System Revenue 3.100% 7/1/49 2,825   2,751  
  Texas GO 5.517% 4/1/39 7,690   10,381  
  Texas GO 3.211% 4/1/44 4,370   4,414  
  Texas Private Activity Surface Transportation Corp. Revenue 3.922% 12/31/49 6,075   6,107  
  Texas Transportation Commission Revenue 5.178% 4/1/30 4,350   5,237  
  Texas Transportation Commission Revenue 4.681% 4/1/40 1,645   2,014  
  University of California Regents Medical Center Revenue 6.548% 5/15/48 4,925   7,112  
  University of California Regents Medical Center Revenue 6.583% 5/15/49 1,180   1,699  
  University of California Revenue 4.601% 5/15/31 8,330   9,519  

 

166

 

 

Total Bond Market II Index Fund            
               
               
        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ($000
  University of California Revenue 5.770% 5/15/43 5,790   7,674  
  University of California Revenue 5.946% 5/15/45 5,510   7,386  
  University of California Revenue 4.858% 5/15/12 8,768   10,809  
  University of California Revenue 4.767% 5/15/15 2,975   3,594  
  University of Nebraska Student Fee Revenue 3.037% 10/1/49 1,740   1,682  
  University of North Carolina University System Revenue 3.327% 12/1/36 90   95  
  University of Pittsburgh-of the Commonwealth System of Higher Education 3.555% 9/15/19 11,425   11,078  
  University of Southern California 5.250% 10/1/11 1,840   2,591  
  University of Texas Permanent University Fund Revenue 3.376% 7/1/47 4,400   4,636  
  University of Texas Revenue 3.354% 8/15/47 2,375   2,474  
  University of Texas System Revenue Financing System Revenue 4.794% 8/15/46 1,700   2,108  
  University of Virginia Revenue 4.179% 9/1/17 2,100   2,480  
  Utah GO 4.554% 7/1/24 7,680   8,131  
  Utah GO 3.539% 7/1/25 4,400   4,620  
  Washington GO 5.140% 8/1/40 3,320   4,238  
  Wisconsin Annual Appropriation Revenue 3.954% 5/1/36 9,400   10,050  
  Wisconsin General Fund Annual Appropriation Revenue 3.154% 5/1/27 3,050   3,166  
11 Wisconsin GO 5.700% 5/1/26 2,780   3,122  
Total Taxable Municipal Bonds (Cost $1,097,423)       1,255,056  
               
        Shares      
Temporary Cash Investment (2.3%)  
Money Market Fund (2.3%)            
13 Vanguard Market Liquidity Fund
(Cost $4,591,301)
1.816%   45,909,736   4,591,433  
Total Investments (101.9%) (Cost $195,270,879)         202,284,884  
               
            Amount  
            ($000 ) 
Other Assets and Liabilities (-1.9%)  
Other Assets            
Investment in Vanguard         8,658  
Receivables for Investment Securities Sold         523,755  
Receivables for Accrued Income         1,168,575  
Receivables for Capital Shares Issued         1,442,502  
Total Other Assets         3,143,490  
Liabilities            
Payables for Investment Securities Purchased         (6,860,903 )
Payables for Capital Shares Redeemed         (76,878 )
Payables to Vanguard         (27,822 )
Other Liabilities         (28,407 )
Total Liabilities         (6,994,010 )
Net Assets (100%)         198,434,364  

 

167

 

 

Total Bond Market II Index Fund    
     
     
At December 31, 2019, net assets consisted of:    
  Amount  
  ($000 )
Paid-in Capital 191,877,605  
Total Distributable Earnings (Loss) 6,556,759  
Net Assets 198,434,364  
     
Investor Shares—Net Assets    
Applicable to 10,584,140,458 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 116,505,049  
Net Asset Value Per Share—Investor Shares $11.01  
     
Institutional Shares—Net Assets    
Applicable to 7,443,098,238 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 81,929,315  
Net Asset Value Per Share—Institutional Shares $11.01  

 

· See Note A in Notes to Financial Statements.
1 Securities with a value of $10,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 U.S. government-guaranteed.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2019.
6 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $1,721,893,000, representing 0.9% of net assets.
8 Guaranteed by the Government of Japan.
9 Guaranteed by the Federal Republic of Germany.
10 Guaranteed by the Republic of Austria.
11 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
12 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
   

CMT—Constant Maturing Treasury Rate. 

GO—General Obligation Bond. 

LIBOR—London Interbank Offered Rate. 

REIT—Real Estate Investment Trust. 

TBA—To Be Announced. 

UMBS—Uniform Mortgage-Backed Securities.

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

168

 

 

Total Bond Market II Index Fund

 

 

Statement of Operations

 

 

      Year Ended  
      December 31, 2019  
      ($000 )
Investment Income        
Income        
Interest1     5,105,617  
Total Income     5,105,617  
Expenses        
The Vanguard Group—Note B        
Investment Advisory Services     6,121  
Management and Administrative—Investor Shares     76,667  
Management and Administrative—Institutional Shares     9,049  
Marketing and Distribution—Investor Shares     13,235  
Marketing and Distribution—Institutional Shares     2,960  
Custodian Fees     430  
Auditing Fees     217  
Shareholders’ Reports—Investor Shares     914  
Shareholders’ Reports—Institutional Shares      
Trustees’ Fees and Expenses     83  
Total Expenses     109,676  
Net Investment Income     4,995,941  
Realized Net Gain (Loss)        
Investment Securities Sold1     564,657  
Futures Contracts     64  
Realized Net Gain (Loss)     564,721  
Change in Unrealized Appreciation (Depreciation) of Investment Securities1     9,216,254  
Net Increase (Decrease) in Net Assets Resulting from Operations     14,776,916  

 

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $72,786,000, ($155,000), and $116,000, respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

169

 

 

Total Bond Market II Index Fund

 

 

Statement of Changes in Net Assets

 

 

    Year Ended December 31,  
    2019     2018  
    ($000 )   ($000 )
Increase (Decrease) in Net Assets                
Operations                
Net Investment Income     4,995,941       4,326,729  
Realized Net Gain (Loss)     564,721       (1,013,441 )
Change in Unrealized Appreciation (Depreciation)     9,216,254       (3,386,639 )
Net Increase (Decrease) in Net Assets Resulting from Operations     14,776,916       (73,351 )
Distributions                
Net Investment Income                
Investor Shares     (2,917,920 )     (2,561,096 )
Institutional Shares     (2,080,517 )     (1,765,020 )
Realized Capital Gain1                
Investor Shares           (702 )
Institutional Shares           (468 )
Total Distributions     (4,998,437 )     (4,327,286 )
Capital Share Transactions                
Investor Shares     19,065,128       5,111,918  
Institutional Shares     15,483,598       4,913,765  
Net Increase (Decrease) from Capital Share Transactions     34,548,726       10,025,683  
Total Increase (Decrease)     44,327,205       5,625,046  
Net Assets                
Beginning of Period     154,107,159       148,482,113  
End of Period     198,434,364       154,107,159  

 

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

170

 

 

Total Bond Market II Index Fund

 

 

Financial Highlights

 

 

Investor Shares

 

For a Share Outstanding       Year Ended December 31,  
Throughout Each Period 2019 2018   2017 2016 2015  
Net Asset Value, Beginning of Period $10.42 $10.72   $10.61 $10.60 $10.84  
Investment Operations              
Net Investment Income .2991 .2851   .2591 .251 .248  
Net Realized and Unrealized Gain (Loss) on Investments .590 (.301)   .112 .022 (.216)  
Total from Investment Operations .889 (.016)   .371 .273 .032  
Distributions              
Dividends from Net Investment Income (.299) (.284)   (.259) (.252) (.248)  
Distributions from Realized Capital Gains (.000) 2 (.002) (.011) (.024)  
Total Distributions (.299) (.284)   (.261) (.263) (.272)  
Net Asset Value, End of Period $11.01 $10.42   $10.72 $10.61 $10.60  
               
Total Return3 8.62% -0.10%   3.53% 2.55% 0.28%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $116,505 $91,653   $89,183 $68,381 $55,392  
Ratio of Total Expenses to Average Net Assets 0.09% 0.09%   0.09% 0.09% 0.09%  
Ratio of Net Investment Income to Average Net Assets 2.76% 2.74%   2.42% 2.31% 2.30%  
Portfolio Turnover Rate4 66% 90%   80% 88% 116%  

 

1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4 Includes 12%, 22%, 26%, 24%, and 46% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

171

 

 

Total Bond Market II Index Fund

 

 

Financial Highlights

 

 

Institutional Shares

 

For a Share Outstanding       Year Ended December 31,  
Throughout Each Period 2019 2018   2017 2016 2015  
Net Asset Value, Beginning of Period $10.42 $10.72   $10.61 $10.60 $10.84  
Investment Operations              
Net Investment Income .3061 .2921   .2671 .259 .256  
Net Realized and Unrealized Gain (Loss) on Investments .591 (.300)   .112 .022 (.216)  
Total from Investment Operations .897 (.008)   .379 .281 .040  
Distributions              
Dividends from Net Investment Income (.307) (.292)   (.267) (.260) (.256)  
Distributions from Realized Capital Gains (.000) 2 (.002) (.011) (.024)  
Total Distributions (.307) (.292)   (.269) (.271) (.280)  
Net Asset Value, End of Period $11.01 $10.42   $10.72 $10.61 $10.60  
               
Total Return 8.69% -0.03%   3.60% 2.62% 0.35%  
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $81,929 $62,455   $59,299 $45,632 $36,760  
Ratio of Total Expenses to Average Net Assets 0.02% 0.02%   0.02% 0.02% 0.02%  
Ratio of Net Investment Income to Average Net Assets 2.83% 2.81%   2.49% 2.38% 2.37%  
Portfolio Turnover Rate3 66% 90%   80% 88% 116%  

 

1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Includes 12%, 22%, 26%, 24%, and 46% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying Notes, which are an integral part of the Financial Statements.

 

172

 

 

Total Bond Market II Index Fund

 

 

Notes to Financial Statements

 

 

Vanguard Total Bond Market II Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund has been established by Vanguard as an investment vehicle for Vanguard funds of funds as well as certain similar trusts and accounts (“eligible investors”). The fund is not available to other investors. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

 

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

 

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. “Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

 

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts each represented 0% of net assets, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at December 31, 2019.

 

173

 

 

Total Bond Market II Index Fund

 

 

 

 

 

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

 

At December 31, 2019, counterparties had deposited in segregated accounts securities with a value of $290,000 and cash of $538,000 in connection with TBA transactions.

 

4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

 

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

 

174

 

 

Total Bond Market II Index Fund

 

 

 

 

 

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

 

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

 

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

 

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $8,658,000, representing less than 0.01% of the fund’s net assets and 3.46% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

175

 

 

Total Bond Market II Index Fund

 

 

 

 

 

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

 

The following table summarizes the market value of the fund’s investments as of December 31, 2019, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations 132,054,986
Asset-Backed/Commercial Mortgage-Backed Securities 4,914,471
Corporate Bonds 51,681,809
Sovereign Bonds 7,787,129
Taxable Municipal Bonds 1,255,056
Temporary Cash Investments 4,591,433
Total 4,591,433 197,693,451

 

D.     Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount
  ($000)
Undistributed Ordinary Income 14,845
Undistributed Long-Term Gains
Capital Loss Carryforwards (Non-expiring)* (450,502)
Net Unrealized Gains (Losses) 7,014,005

 

*The fund used capital loss carryforwards of $564,721,000 to offset taxable capital gains realized during the year ended December 31, 2019.

 

176

 

 

Total Bond Market II Index Fund

 

 

 

 

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

  Amount
  ($000)
Tax Cost 195,270,879
Gross Unrealized Appreciation 7,378,338
Gross Unrealized Depreciation (364,333)
Net Unrealized Appreciation (Depreciation) 7,014,005

 

E.     During the year ended December 31, 2019, the fund purchased $18,042,432,000 of investment securities and sold $11,481,660,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $134,598,096,000 and $105,562,238,000, respectively. Total purchases and sales include $188,897,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

F.     Capital share transactions for each class of shares were:

 

        Year Ended December 31,
    2019     2018
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 29,630,647 2,753,458   23,426,764 2,241,968
Issued in Lieu of Cash Distributions 2,917,920 269,056   2,561,333 246,590
Redeemed (13,483,439) (1,237,620)   (20,876,179) (2,009,410)
Net Increase (Decrease)—Investor Shares 19,065,128 1,784,894   5,111,918 479,148
Institutional Shares          
Issued 22,527,089 2,091,754   17,616,748 1,688,890
Issued in Lieu of Cash Distributions 2,080,517 191,787   1,765,457 169,972
Redeemed (9,124,008) (836,386)   (14,468,440) (1,395,053)
Net Increase (Decrease)—Institutional Shares 15,483,598 1,447,155   4,913,765 463,809

 

G.    Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

 

177

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Total Bond Market II Index Fund

 

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Vanguard Total Bond Market II Index Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 13, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

178

 

 

 

Special 2019 tax information (unaudited) for Vanguard Total Bond Market II Index Fund

 

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

 

For nonresident alien shareholders, 87.1% of income dividends are interest-related dividends.

 

179

 

 

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index (the Index or Bloomberg Barclays Index).

 

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Total Bond Market II Index Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Total Bond Market II Index Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Total Bond Market II Index Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Total Bond Market II Index Fund or the owners of the Total Bond Market II Index Fund.

 

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Total Bond Market II Index Fund. Investors acquire the Total Bond Market II Index Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Total Bond Market II Index Fund. The Total Bond Market II Index Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Total Bond Market II Index Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Total Bond Market II Index Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Total Bond Market II Index Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Total Bond Market II Index Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Total Bond Market II Index Fund.

 

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Total Bond Market II Index Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Total Bond Market II Index Fund, investors or other third parties.

 

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE TOTAL BOND MARKET II INDEX FUND.

 

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

 

© 2020 Bloomberg. Used with Permission.

 

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

 

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The People Who Govern Your Fund

 

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

 

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

 

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

 

Interested Trustee1

 

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

 

 

Independent Trustees

 

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

 

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

 

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

 

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

 

 

 

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

 

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

 

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

 

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

 

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

 

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

 

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

 

 

 

 

Executive Officers

 

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

 

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

 

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

 

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

 

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

 

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

 

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

 

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

 

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

 

Vanguard Senior Management Team
   
Joseph Brennan Chris D. McIsaac
Mortimer J. Buckley James M. Norris
Gregory Davis Thomas M. Rampulla
John James Karin A. Risi
Martha G. King Anne E. Robinson
John T. Marcante Michael Rollings

 

 

 

 

 
   
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

 

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

 

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

 

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
   
  Q6350 022020

 

 

 

 

 

 

 

 

 

Annual Report | December 31, 2019

 

 

Vanguard Inflation-Protected Securities Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

 

 

 

 

 

Important information about access to shareholder reports

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

 

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

 

 

 

Contents  
   
A Note From Our Chairman 1
   
Your Fund’s Performance at a Glance 2
   
Advisor’s Report 3
   
About Your Fund’s Expenses 6
   
Performance Summary 8
   
Financial Statements 11

 

 

 

 

 

 

 

 

 

 

 

 

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

 

 

 

A Note From Our Chairman

 

 

 


 

Tim Buckley

Chairman and Chief Executive Officer

 

 

 

Dear Shareholder,

 

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

 

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

 

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

 

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

 

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

 

Sincerely,

 

 

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

 

1

 

 

Your Fund’s Performance at a Glance

 

 

•    For the 12 months ended December 31, 2019, Vanguard Inflation-Protected Securities Fund returned 8.06% for Investor Shares, 8.16% for Admiral Shares, and 8.18% for Institutional Shares. Those results were weaker than the 8.43% return of the fund’s benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index.

 

•    Despite global and domestic central bank easing during 2019, U.S. inflation readings declined. Monthly figures for year-on-year change in the U.S. Core Personal Consumption Expenditures Price Index moved up and down during the period, finishing the period at 1.6% compared with 1.9% a year earlier.

 

•    Yields of both nominal Treasuries and Treasury Inflation-Protected Securities (TIPS) fell across the maturity spectrum, pushing up prices and contributing to strong returns for both types of bonds. The real yield of 10-year TIPS, for example, declined from 0.97% to 0.13%, while the comparable yield for its 30-year counterpart fell from 1.21% to 0.57%.

 

•    Much of the fund’s underperformance stemmed from unexpected shifts in inflation expectations and the yield curve in early 2019, and from tactical allocation decisions that did not pay off.

 

 

 

Market Barometer      
  Average Annual Total Returns
  Periods Ended December 31, 2019
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 31.43% 15.05% 11.48%
Russell 2000 Index (Small-caps) 25.53 8.59 8.23
Russell 3000 Index (Broad U.S. market) 31.02 14.57 11.24
FTSE All-World ex US Index (International) 21.81 9.96 5.83
       
Bonds      
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) 8.72% 4.03% 3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) 7.54 4.72 3.53
FTSE Three-Month U.S. Treasury Bill Index 2.25 1.65 1.04
       
CPI      
Consumer Price Index 2.29% 2.10% 1.82%

 

2

 

 

Advisor’s Report

 

 

For the 12 months ended December 31, 2019, falling bond yields and rising prices led to strong returns across the fixed income market, including Treasury Inflation-Protected Securities (TIPS).

 

Investor Shares of Vanguard Inflation-Protected Securities Fund returned 8.06%, while lower-cost Admiral Shares returned 8.16% and Institutional Shares returned 8.18%. The fund lagged its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index, which returned 8.43%.

 

The broad investment-grade bond market returned 8.87%, and “nominal” Treasury securities, which don’t include an automatic adjustment for inflation, returned 6.86%, according to the Bloomberg Barclays U.S. Aggregate Float Adjusted Index.

 

The 30-day SEC yield for all three share classes declined more than 80 basis points. (A basis point is one-hundredth of a percentage point.)

 

Investment environment

The financial markets were driven largely by shifts in the outlook for global growth and monetary policy during the period. At the start of 2019, further signs of a global slowdown and tepid inflation led to a shift toward lower inflation expectations. This in turn caused the major central banks to adopt a more accommodative monetary stance.

 

For the first quarter of 2019, gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3% after adjusting for inflation. Its pace of growth then slowed amid weaker business confidence, trade disputes, and lessening effects from tax cuts. The unemployment rate ended the period at a half-century low of 3.5%, a trend that helped keep consumers spending, but the pace of job gains softened. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) remained at or a little above 2%.

 

After raising rates four times in 2018, the Federal Reserve began to reverse gears in March with an announcement that it would end its balance-sheet drawdown. It went on to lower the federal funds rate in August, September, and October. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to

  

 

Yields of U.S. Treasury Inflation-Protected Securities    
(Real Yields)    
  December 31, December 31,
Maturity 2018 2019
5 Years 0.99% –0.02%
10 Years 0.97 0.13
30 Years 1.21 0.57
Source: Bloomberg.    

 

3

 

 

cushion the effects of trade policies and prolong an economic expansion already in its 11th year.

 

Rate cuts and slowing growth contributed to declines in yields across the maturity spectrum. The U.S. Treasury yield curve was inverted for part of the period—yields of shorter-term bonds were higher than those of longer-term bonds—but finished the year displaying a more typical upward slope.

 

The real yield of 10-year TIPS fell from 0.97% to 0.13% in 2019. Over the same period, the 10-year breakeven inflation rate edged higher, from 1.72% to 1.79%, implying an equivalent modest uptick in the market’s inflation expectation for the coming decade.

 

The market structure improved. With the U.S. fiscal deficit rising, the Treasury Department increased TIPS issuance, helping to make this segment of the market more liquid. The additional supply was easily absorbed by demand from TIPS mutual funds and, late in the year, the Fed’s renewed balance-sheet expansion.

 

Management of the portfolio

In the early part of the year, we increased our allocation to short-term TIPS. We were of the view that the Fed would call an end to its hiking cycle early in 2019 and that the yield curve would steepen. Our call about the Fed was right, but yields of longer-dated TIPS fell more quickly than the yields of our overweight position, and the yield curve inverted further amid escalating concern about the risk of a global recession.

 

Another move we made early in the period was to reduce our exposure to nominal Treasury bonds, securities we hold when they appear to offer relative value compared with TIPS. Global growth appeared to be slowing but was still decent, and there seemed to be enough easing in financial conditions that we expected to see some stabilization in both inflation and inflation expectations, which would benefit TIPS. While inflation did stabilize, the Fed was slow to begin cutting rates, and along with a rise in fears of a global recession, inflation expectations actually fell, which caused TIPS to underperform nominal Treasuries for the first part of the year.

 

Security selection was modestly positive. Some micro dislocations went through the market, providing us with opportunities to buy certain securities and sell others in order to capture a little excess return for the fund.

 

The duration of the fund (a measure in years of a portfolio’s sensitivity to changes in interest rates) is structurally longer than that of its benchmark. Given the decline in interest rates that occurred during the period, this difference helped the fund’s performance relative to its benchmark.

 

4

 

 

Outlook

Global growth is set to keep softening, owing in part to trade tensions and policy uncertainty. The U.S. economy may fall below 2% trend growth in 2020, according to our economists in Vanguard Investment Strategy Group.

 

Other major economies are likely to see a deceleration as well. China, the world’s second-largest economy, is expected to grow at a pace around 6%—and possibly lower than that without further stimulus. In the euro area, growth may stay weak at about 1%.

 

This backdrop, along with modest wage gains and structural factors like technology advancements and globalization, is unlikely to support a sustained rebound in inflation, although we could see a cyclical upswing in the first half of this year.

 

Inflation expectations should rebound as a result. They will likely trend closer to the Fed’s preferred objective of 2.0%, but— given the structural forces still in play—not much higher.

 

Going forward, we may see bouts of volatility related to inflation and interest rate expectations, but it’s worth restating that investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a low-yield bond environment, TIPS can play a useful role as a diversifier, as they provide a hedge against an unexpected increase in inflation. And even if inflation remains low, there is the potential for principal appreciation if yields fall.

 

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek out opportunities to add to the fund’s performance.

 

Gemma Wright-Casparius, Principal

 

Vanguard Fixed Income Group

 

January 23, 2020

 

5

 

 

About Your Fund’s Expenses

 

 

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

 

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

 

The accompanying table illustrates your fund’s costs in two ways:

 

•   Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

 

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

 

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

 

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

 

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

 

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

 

6

 

 

Six Months Ended December 31, 2019      
    Beginning Ending Expenses
    Account Value Account Value Paid During
Inflation-Protected Securities Fund 6/30/2019 12/31/2019 Period
Based on Actual Fund Return      
  Investor Shares $1,000.00 $1,018.85 $1.02
  Admiral™ Shares 1,000.00 1,019.39 0.51
  Institutional Shares 1,000.00 1,019.72 0.36
Based on Hypothetical 5% Yearly Return      
  Investor Shares $1,000.00 $1,024.20 $1.02
  Admiral Shares 1,000.00 1,024.70 0.51
  Institutional Shares 1,000.00 1,024.85 0.36

 

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

 

7

 

 

Inflation-Protected Securities Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

 

Cumulative Performance: December 31, 2009, Through December 31, 2019

Initial Investment of $10,000

 

 

 


    Average Annual Total Returns  
    Periods Ended December 31, 2019  
          Final Value
    One Five Ten of a $10,000
    Year Years Years Investment
Inflation-Protected Securities Fund Investor Shares 8.06% 2.35% 3.15% $13,633
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index 8.43 2.62 3.36 13,919
Bloomberg Barclays U.S. Aggregate Bond Index 8.72 3.05 3.75 14,445

 

        Final Value
  One Five Ten of a $50,000
  Year Years Years Investment
Inflation-Protected Securities Fund Admiral Shares 8.16% 2.45% 3.25% $68,863
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index 8.43 2.62 3.36 69,596
Bloomberg Barclays U.S. Aggregate Bond Index 8.72 3.05 3.75 72,224

 

 

 

 

 

 

 

See Financial Highlights for dividend and capital gains information.

 

8

 

 

Inflation-Protected Securities Fund

 

 

 

 

  Average Annual Total Returns  
  Periods Ended December 31, 2019  
        Final Value
  One Five Ten of a $5,000,000
  Year Years Years Investment
Inflation-Protected Securities Fund Institutional Shares 8.18% 2.48% 3.28% $6,907,572
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index 8.43 2.62 3.36 6,959,641
Bloomberg Barclays U.S. Aggregate Bond Index 8.72 3.05 3.75 7,222,447

 

9

 

 

Inflation-Protected Securities Fund

 

 

 

Sector Diversification

As of December 31, 2019

 

Treasury/Agency 100.0%

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

10

 

 

Inflation-Protected Securities Fund

 

 

Financial Statements

 

 

Statement of Net Assets

As of December 31, 2019

 

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

 

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (97.4%)      
U.S. Government Securities (97.4%)        
  United States Treasury Inflation Indexed Bonds 1.125% 1/15/21 455,499 540,889
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/21 803,500 870,546
  United States Treasury Inflation Indexed Bonds 0.625% 7/15/21 732,801 846,132
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/22 827,671 940,495
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/22 940,000 993,296
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/22 792,019 890,073
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/23 872,330 972,570
  United States Treasury Inflation Indexed Bonds 0.625% 4/15/23 960,000 1,010,144
  United States Treasury Inflation Indexed Bonds 0.375% 7/15/23 877,936 984,498
  United States Treasury Inflation Indexed Bonds 0.625% 1/15/24 871,256 981,499
  United States Treasury Inflation Indexed Bonds 0.500% 4/15/24 665,000 689,573
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/24 878,771 958,374
  United States Treasury Inflation Indexed Bonds 0.125% 10/15/24 450,000 453,905
  United States Treasury Inflation Indexed Bonds 0.250% 1/15/25 895,300 981,575
  United States Treasury Inflation Indexed Bonds 2.375% 1/15/25 461,651 702,649
  United States Treasury Inflation Indexed Bonds 0.375% 7/15/25 839,844 930,183
1 United States Treasury Inflation Indexed Bonds 0.625% 1/15/26 779,522 870,248
  United States Treasury Inflation Indexed Bonds 2.000% 1/15/26 339,727 489,702
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/26 736,304 793,341
  United States Treasury Inflation Indexed Bonds 0.375% 1/15/27 724,439 783,720
  United States Treasury Inflation Indexed Bonds 2.375% 1/15/27 292,047 430,100
  United States Treasury Inflation Indexed Bonds 0.375% 7/15/27 715,000 767,599
  United States Treasury Inflation Indexed Bonds 0.500% 1/15/28 754,000 807,172
  United States Treasury Inflation Indexed Bonds 1.750% 1/15/28 308,866 426,245
  United States Treasury Inflation Indexed Bonds 3.625% 4/15/28 197,575 402,090
  United States Treasury Inflation Indexed Bonds 0.750% 7/15/28 701,000 756,525
  United States Treasury Inflation Indexed Bonds 0.875% 1/15/29 570,000 617,241
  United States Treasury Inflation Indexed Bonds 2.500% 1/15/29 307,170 443,661
  United States Treasury Inflation Indexed Bonds 3.875% 4/15/29 228,242 476,770
  United States Treasury Inflation Indexed Bonds 0.250% 7/15/29 660,000 670,958
  United States Treasury Inflation Indexed Bonds 3.375% 4/15/32 108,029 215,383
  United States Treasury Inflation Indexed Bonds 2.125% 2/15/40 169,656 264,273
  United States Treasury Inflation Indexed Bonds 2.125% 2/15/41 231,258 358,341
  United States Treasury Inflation Indexed Bonds 0.750% 2/15/42 403,145 477,723
  United States Treasury Inflation Indexed Bonds 0.625% 2/15/43 296,755 336,631
  United States Treasury Inflation Indexed Bonds 1.375% 2/15/44 456,735 595,822
  United States Treasury Inflation Indexed Bonds 0.750% 2/15/45 512,400 581,939
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/46 319,302 381,962
  United States Treasury Inflation Indexed Bonds 0.875% 2/15/47 344,100 393,782
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/48 366,000 423,430

 

  11  

 

 

Inflation-Protected Securities Fund

 

 

 

 

 

        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/49 307,000 349,337
  United States Treasury Note/Bond 2.625% 1/31/26 35,000 36,684
  United States Treasury Note/Bond 2.375% 4/30/26 160,000 165,501
  United States Treasury Note/Bond 2.125% 5/31/26 35,000 35,673
  United States Treasury Note/Bond 1.875% 7/31/26 20,000 20,069
  United States Treasury Note/Bond 1.375% 8/31/26 125,000 121,485
Total U.S. Government and Agency Obligations (Cost $25,980,576)   27,239,808

 

      Shares  
Temporary Cash Investment (2.4%)        
Money Market Fund (2.4%)        
2 Vanguard Market Liquidity Fund        
  (Cost $653,610) 1.816%   6,535,456 653,611
Total Investments (99.8%) (Cost $26,634,186)       27,893,419

 

    Amount
    ($000)
Other Assets and Liabilities (0.2%)    
Other Assets    
Investment in Vanguard   1,266
Receivables for Investment Securities Sold   449,504
Receivables for Accrued Income   79,527
Receivables for Capital Shares Issued   30,845
Variation Margin Receivable—Futures Contracts   435
Other Assets   447
Total Other Assets   562,024
Liabilities    
Payables for Investment Securities Purchased   (102,506)
Payables for Capital Shares Redeemed   (375,040)
Payables to Vanguard   (14,866)
Variation Margin Payable—Futures Contracts   (352)
Options Written, at Value3   (401)
Total Liabilities   (493,165)
Net Assets (100%)   27,962,278

 

 

At December 31, 2019, net assets consisted of:    
    Amount
    ($000)
Paid-in Capital   26,923,001
Total Distributable Earnings (Loss)   1,039,277
Net Assets   27,962,278
     
Investor Shares—Net Assets    
Applicable to 258,127,902 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   3,401,995
Net Asset Value Per Share—Investor Shares   $13.18

 

  12  

 

 

Inflation-Protected Securities Fund

 

 

 

 

 

    Amount
    ($000)
Admiral Shares—Net Assets    
Applicable to 553,047,766 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   14,310,452
Net Asset Value Per Share—Admiral Shares   $25.88
     
Institutional Shares—Net Assets    
Applicable to 972,382,884 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   10,249,831
Net Asset Value Per Share—Institutional Shares   $10.54

 

See Note A in Notes to Financial Statements.
1 Securities with a value of $5,412,000 have been segregated as initial margin for open futures contracts.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes premiums received of $944,000.

 

 

Derivative Financial Instruments Outstanding as of Period End      
       
Options Written          
        Notional Market
  Expiration   Exercise Amount Value
  Date Contracts Price ($000) ($000)
Exchange-Traded Options          
Put Options          
2-Year U.S. Treasury Note Futures Contracts 1/30/20 2,334 $107.750 502,977 (401)
Total Options Written (Premiums Received $944)       (401)

 

 

Futures Contracts          
          ($000)
          Value and
    Number of     Unrealized
    Long (Short)   Notional Appreciation
  Expiration Contracts   Amount (Depreciation)
Short Futures Contracts          
10-Year U.S. Treasury Note March 2020 3,006   386,036 376
2-Year U.S. Treasury Note March 2020 1,423   306,657 (190)
          186

 

 

 

 

 

 

 

 

  See accompanying Notes, which are an integral part of the Financial Statements.

 

  13  

 

 

Inflation-Protected Securities Fund

 

 

Statement of Operations

 

 

  Year Ended
  December 31, 2019
  ($000)
Investment Income  
Income  
Interest1 677,803
Total Income 677,803
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 3,758
Management and Administrative—Investor Shares 6,020
Management and Administrative—Admiral Shares 11,047
Management and Administrative—Institutional Shares 5,225
Marketing and Distribution—Investor Shares 348
Marketing and Distribution—Admiral Shares 864
Marketing and Distribution—Institutional Shares 388
Custodian Fees 25
Auditing Fees 38
Shareholders’ Reports—Investor Shares 94
Shareholders’ Reports—Admiral Shares 168
Shareholders’ Reports—Institutional Shares 138
Trustees’ Fees and Expenses 15
Total Expenses 28,128
Net Investment Income 649,675
Realized Net Gain (Loss)  
Investment Securities Sold1 12,995
Futures Contracts (49,907)
Options Purchased (2,252)
Options Written 4,008
Realized Net Gain (Loss) (35,156)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 1,535,251
Futures Contracts 7,480
Options Purchased 355
Options Written 1,611
Change in Unrealized Appreciation (Depreciation) 1,544,697
Net Increase (Decrease) in Net Assets Resulting from Operations 2,159,216

 

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,771,000, ($85,000), and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

  See accompanying Notes, which are an integral part of the Financial Statements.

 

  14  

 

 

Inflation-Protected Securities Fund

 

 

Statement of Changes in Net Assets

 

 

  Year Ended December 31,
  2019 2018
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 649,675 854,804
Realized Net Gain (Loss) (35,156) (151,047)
Change in Unrealized Appreciation (Depreciation) 1,544,697 (1,096,820)
Net Increase (Decrease) in Net Assets Resulting from Operations 2,159,216 (393,063)
Distributions    
Net Investment Income    
Investor Shares (75,706) (110,279)
Admiral Shares (324,071) (431,576)
Institutional Shares (241,760) (308,354)
Realized Capital Gain    
Investor Shares
Admiral Shares
Institutional Shares
Total Distributions (641,537) (850,209)
Capital Share Transactions    
Investor Shares (317,944) (441,433)
Admiral Shares (119,658) 375,009
Institutional Shares 104,464 523,950
Net Increase (Decrease) from Capital Share Transactions (333,138) 457,526
Total Increase (Decrease) 1,184,541 (785,746)
Net Assets    
Beginning of Period 26,777,737 27,563,483
End of Period 27,962,278 26,777,737

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  See accompanying Notes, which are an integral part of the Financial Statements.

 

  15  

 

 

Inflation-Protected Securities Fund

 

 

Financial Highlights

 

 

Investor Shares

 

For a Share Outstanding Year Ended December 31,
Throughout Each Period 2019 2018 2017 2016 2015
Net Asset Value, Beginning of Period $12.47 $13.04 $12.98 $12.84 $13.18
Investment Operations          
Net Investment Income .2901 .3791 .3101 .263 .098
Net Realized and Unrealized Gain (Loss) on Investments .713 (.572) .053 .315 (.339)
Total from Investment Operations 1.003 (.193) .363 .578 (.241)
Distributions          
Dividends from Net Investment Income (.293) (.377) (.303) (.266) (.098)
Distributions from Realized Capital Gains (.017) (.001)
Return of Capital (.155)
Total Distributions (.293) (.377) (.303) (.438) (.099)
Net Asset Value, End of Period $13.18 $12.47 $13.04 $12.98 $12.84
           
Total Return2 8.06% -1.49% 2.81% 4.52% -1.83%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,402 $3,526 $4,139 $4,496 $4,746
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 2.24% 2.96% 2.38% 1.99% 0.72%
Portfolio Turnover Rate 26% 27% 22% 27%3 43%3

 

1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  See accompanying Notes, which are an integral part of the Financial Statements.

 

  16  

 

 

Inflation-Protected Securities Fund

 

 

Financial Highlights

 

 

Admiral Shares          
           
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2019 2018 2017 2016 2015
Net Asset Value, Beginning of Period $24.48 $25.60 $25.48 $25.21 $25.87
Investment Operations          
Net Investment Income .6001 .7671 .6401 .544 .221
Net Realized and Unrealized Gain (Loss) on Investments 1.394 (1.122) .097 .615 (.658)
Total from Investment Operations 1.994 (.355) .737 1.159 (.437)
Distributions          
Dividends from Net Investment Income (.594) (.765) (.617) (.541) (.220)
Distributions from Realized Capital Gains (.034) (.003)
Return of Capital (.314)
Total Distributions (.594) (.765) (.617) (.889) (.223)
Net Asset Value, End of Period $25.88 $24.48 $25.60 $25.48 $25.21
           
Total Return2 8.16% -1.39% 2.91% 4.62% -1.69%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $14,310 $13,661 $13,917 $12,205 $10,533
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.34% 3.06% 2.48% 2.09% 0.82%
Portfolio Turnover Rate 26% 27% 22% 27%3 43%3

 

1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  See accompanying Notes, which are an integral part of the Financial Statements.

 

  17  

 

 

Inflation-Protected Securities Fund

 

 

Financial Highlights

 

 

Institutional Shares          
           
For a Share Outstanding     Year Ended December 31,
Throughout Each Period 2019 2018 2017 2016 2015
Net Asset Value, Beginning of Period $9.97 $10.43 $10.38 $10.27 $10.54
Investment Operations          
Net Investment Income .2491 .3171 .2631 .224 .093
Net Realized and Unrealized Gain (Loss) on Investments .565 (.462) .043 .250 (.269)
Total from Investment Operations .814 (.145) .306 .474 (.176)
Distributions          
Dividends from Net Investment Income (.244) (.315) (.256) (.221) (.093)
Distributions from Realized Capital Gains (.014) (.001)
Return of Capital (.129)
Total Distributions (.244) (.315) (.256) (.364) (.094)
Net Asset Value, End of Period $10.54 $9.97 $10.43 $10.38 $10.27
           
Total Return 8.18% -1.40% 2.97% 4.63% -1.67%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $10,250 $9,591 $9,508 $8,637 $7,471
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 2.37% 3.09% 2.51% 2.12% 0.85%
Portfolio Turnover Rate 26% 27% 22% 27%2 43%2

 

1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  See accompanying Notes, which are an integral part of the Financial Statements.

 

  18  

 

 

Inflation-Protected Securities Fund

 

 

Notes to Financial Statements

 

 

Vanguard Inflation-Protected Securities Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

 

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

 

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

 

2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

 

During the year ended December 31, 2019, the fund’s average investments in long and short futures contracts represented 8% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

 

  19  

 

 

Inflation-Protected Securities Fund

 

 

 

 

 

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

 

During the year ended December 31, 2019, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

 

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

 

5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

The fund had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

 

6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities which are amortized to the earliest call date. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

 

  20  

 

 

Inflation-Protected Securities Fund

 

 

 

 

 

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

 

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the fund had contributed to Vanguard capital in the amount of $1,266,000, representing less than 0.01% of the fund’s net assets and 0.51% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

 

The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
U.S. Government and Agency Obligations 27,239,808
Temporary Cash Investments 653,611
Liability for Options Written (401)
Futures Contracts—Assets1 435
Futures Contracts—Liabilities1 (352)
Total 653,293 27,239,808
1 Represents variation margin on the last day of the reporting period.      

 

  21  

 

 

Inflation-Protected Securities Fund

 

 

 

 

 

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts and options. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount
  ($000)
Undistributed Ordinary Income 10,373
Undistributed Long-Term Gains
Capital Loss Carryforwards (Non-expiring) (216,946)
Net Unrealized Gains (Losses) 1,259,233

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

  Amount
  ($000)
Tax Cost 26,634,186
Gross Unrealized Appreciation 1,293,820
Gross Unrealized Depreciation (34,587)
Net Unrealized Appreciation (Depreciation) 1,259,233

 

E.  During the year ended December 31, 2019, the fund purchased $7,054,232,000 of investment securities and sold $8,388,590,000 of investment securities, other than temporary cash investments.

 

  22  

 

 

Inflation-Protected Securities Fund

 

 

 

 

 

F.  Capital share transactions for each class of shares were:

 

        Year Ended December 31,
    2019     2018
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 400,022 30,638   575,868 44,981
Issued in Lieu of Cash Distributions 70,691 5,362   102,571 8,120
Redeemed (788,657) (60,620)   (1,119,872) (87,692)
Net Increase (Decrease)—Investor Shares (317,944) (24,620)   (441,433) (34,591)
Admiral Shares          
Issued 2,738,947 107,139   3,640,083 144,971
Issued in Lieu of Cash Distributions 287,999 11,127   381,317 15,388
Redeemed (3,146,604) (123,356)   (3,646,391) (145,853)
Net Increase (Decrease)—Admiral Shares (119,658) (5,090)   375,009 14,506
Institutional Shares          
Issued 2,209,384 212,420   2,770,435 270,952
Issued in Lieu of Cash Distributions 227,791 21,598   291,852 28,912
Redeemed (2,332,711) (223,645)   (2,538,337) (249,678)
Net Increase (Decrease)—Institutional Shares 104,464 10,373   523,950 50,186

 

G.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

 

  23  

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Inflation-Protected Securities Fund

 

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Vanguard Inflation-Protected Securities Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

 

 

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

  24  

 

 

 

Special 2019 tax information (unaudited) for Vanguard Inflation-Protected Securities Fund

 

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.

 

For nonresident alien shareholders, 97.9% of income dividends are interest-related dividends.

 

  25  

 

 

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index (the Index or Bloomberg Barclays Index).

 

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Inflation-Protected Securities Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Inflation-Protected Securities Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Inflation-Protected Securities Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Inflation-Protected Securities Fund or the owners of the Inflation-Protected Securities Fund.

 

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Inflation-Protected Securities Fund. Investors acquire the Inflation-Protected Securities Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Inflation-Protected Securities Fund. The Inflation-Protected Securities Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Inflation-Protected Securities Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Inflation-Protected Securities Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Inflation-Protected Securities Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Inflation-Protected Securities Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Inflation-Protected Securities Fund.

 

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Inflation-Protected Securities Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Inflation-Protected Securities Fund, investors or other third parties.

 

  26  

 

 

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE INFLATION-PROTECTED SECURITIES FUND.

 

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

 

© 2020 Bloomberg. Used with Permission.

 

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

 

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The People Who Govern Your Fund

 

 

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

 

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

 

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

 

 

Interested Trustee1

 

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

 

 

Independent Trustees

 

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

 

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

 

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.

 

 

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

 

 

 

Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

 

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

 

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

 

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

 

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.

 

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

 

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

 

 

 

 

Executive Officers

 

 

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

 

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

 

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

 

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

 

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

 

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

 

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

 

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

 

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

 

 

Vanguard Senior Management Team

 

Joseph Brennan Chris D. McIsaac
Mortimer J. Buckley James M. Norris
Gregory Davis Thomas M. Rampulla
John James Karin A. Risi
Martha G. King Anne E. Robinson
John T. Marcante Michael Rollings

 

 

 

 

 
   
  P.O. Box 2600
  Valley Forge, PA 19482-2600

 

 

 

Connect with Vanguard® > vanguard.com

 

 

 

Fund Information > 800-662-7447

 

Direct Investor Account Services > 800-662-2739

 

Institutional Investor Services > 800-523-1036

 

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

 

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

 

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

 

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

 

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
   
  Q1190 022020

 

 

 

 

Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.

 

Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

 

 

 

 

Item 4: Principal Accountant Fees and Services.

 

(a)       Audit Fees.

 

Audit Fees of the Registrant.

 

Fiscal Year Ended December 31, 2019: $446,000
Fiscal Year Ended December 31, 2018: $450,000

 

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

 

Fiscal Year Ended December 31, 2019: $9,568,215
Fiscal Year Ended December 31, 2018: $9,734,277

 

Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(b)        Audit-Related Fees.

 

Fiscal Year Ended December 31, 2019: $3,012,031
Fiscal Year Ended December 31, 2018: $5,581,336

 

Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(c)       Tax Fees.

 

Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985

 

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(d)       All Other Fees.

 

Fiscal Year Ended December 31, 2019: $0
Fiscal Year Ended December 31, 2018: $0

 

Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

 

 

 

(e)        (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

 

In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.

 

The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.

 

(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

(f)       For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.

 

(g)       Aggregate Non-Audit Fees.

 

Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985

 

Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(h)       For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.

 

Item 5: Audit Committee of Listed Registrants.

 

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

 

 

 

 

Item 6: Investments.

 

 

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
U.S. Government and Agency Obligations (67.5%)                        
U.S. Government Securities (65.5%)                        
      United States Treasury Note/Bond   8.750%   5/15/20     65,535       67,204  
      United States Treasury Note/Bond   2.000%   11/30/20     8,760       8,787  
      United States Treasury Note/Bond   2.750%   11/30/20     32,852       33,175  
      United States Treasury Note/Bond   2.375%   12/31/20     5,070       5,106  
      United States Treasury Note/Bond   2.500%   12/31/20     127,365       128,399  
      United States Treasury Note/Bond   2.000%   1/15/21     454,286       455,917  
      United States Treasury Note/Bond   1.375%   1/31/21     85,899       85,644  
      United States Treasury Note/Bond   2.125%   1/31/21     32,250       32,411  
      United States Treasury Note/Bond   2.500%   1/31/21     160,232       161,684  
      United States Treasury Note/Bond   2.250%   2/15/21     126,197       127,025  
      United States Treasury Note/Bond   3.625%   2/15/21     25,493       26,047  
      United States Treasury Note/Bond   7.875%   2/15/21     250       267  
      United States Treasury Note/Bond   1.125%   2/28/21     354,402       352,297  
      United States Treasury Note/Bond   2.000%   2/28/21     85,350       85,710  
      United States Treasury Note/Bond   2.500%   2/28/21     200,096       202,065  
      United States Treasury Note/Bond   2.375%   3/15/21     198,759       200,437  
      United States Treasury Note/Bond   1.250%   3/31/21     1,253,591       1,247,712  
      United States Treasury Note/Bond   2.250%   3/31/21     166,928       168,180  
      United States Treasury Note/Bond   2.375%   4/15/21     54,041       54,556  
      United States Treasury Note/Bond   1.375%   4/30/21     188,407       187,819  
      United States Treasury Note/Bond   2.250%   4/30/21     218,231       220,038  
      United States Treasury Note/Bond   2.625%   5/15/21     266,914       270,541  
      United States Treasury Note/Bond   3.125%   5/15/21     1,380       1,408  
      United States Treasury Note/Bond   8.125%   5/15/21     190       207  
      United States Treasury Note/Bond   1.375%   5/31/21     514,165       512,479  
      United States Treasury Note/Bond   2.000%   5/31/21     25,783       25,920  
      United States Treasury Note/Bond   2.125%   5/31/21     190,108       191,444  
      United States Treasury Note/Bond   2.625%   6/15/21     196,577       199,404  
      United States Treasury Note/Bond   1.125%   6/30/21     377,817       375,161  
      United States Treasury Note/Bond   1.625%   6/30/21     201,817       201,849  
      United States Treasury Note/Bond   2.125%   6/30/21     1,150       1,159  
      United States Treasury Note/Bond   2.625%   7/15/21     75,555       76,712  
      United States Treasury Note/Bond   1.125%   7/31/21     103,255       102,464  
      United States Treasury Note/Bond   1.750%   7/31/21     244,955       245,491  
      United States Treasury Note/Bond   2.250%   7/31/21     1,350       1,363  
      United States Treasury Note/Bond   2.125%   8/15/21     120,173       121,149  
      United States Treasury Note/Bond   2.750%   8/15/21     170,710       173,778  
      United States Treasury Note/Bond   1.125%   8/31/21     618,413       613,484  
      United States Treasury Note/Bond   1.500%   8/31/21     75,605       75,475  
      United States Treasury Note/Bond   2.000%   8/31/21     48,289       48,599  
      United States Treasury Note/Bond   2.750%   9/15/21     128,762       131,216  
      United States Treasury Note/Bond   1.125%   9/30/21     548,868       544,323  
      United States Treasury Note/Bond   1.500%   9/30/21     157,844       157,573  
      United States Treasury Note/Bond   2.125%   9/30/21     31,400       31,675  
      United States Treasury Note/Bond   2.875%   10/15/21     181,199       185,220  
      United States Treasury Note/Bond   1.250%   10/31/21     864,836       859,431  
      United States Treasury Note/Bond   1.500%   10/31/21     543,029       542,182  
      United States Treasury Note/Bond   2.000%   10/31/21     38,630       38,908  
      United States Treasury Note/Bond   2.000%   11/15/21     21,575       21,740  
      United States Treasury Note/Bond   2.875%   11/15/21     265,152       271,367  
      United States Treasury Note/Bond   1.500%   11/30/21     46,280       46,208  
      United States Treasury Note/Bond   1.750%   11/30/21     306,779       307,641  
      United States Treasury Note/Bond   1.875%   11/30/21     26,069       26,212  
      United States Treasury Note/Bond   2.625%   12/15/21     200,180       204,090  
      United States Treasury Note/Bond   1.625%   12/31/21     239,360       239,621  
      United States Treasury Note/Bond   2.000%   12/31/21     214,378       216,052  
      United States Treasury Note/Bond   2.125%   12/31/21     1,450       1,465  
      United States Treasury Note/Bond   2.500%   1/15/22     248,720       253,112  
      United States Treasury Note/Bond   1.500%   1/31/22     89,500       89,346  

 

1

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United States Treasury Note/Bond   1.875%   1/31/22     530,340       533,321  
      United States Treasury Note/Bond   2.000%   2/15/22     161,663       162,951  
      United States Treasury Note/Bond   2.500%   2/15/22     195,407       199,071  
      United States Treasury Note/Bond   1.750%   2/28/22     176,961       177,541  
      United States Treasury Note/Bond   1.875%   2/28/22     79,660       80,133  
      United States Treasury Note/Bond   2.375%   3/15/22     177,562       180,559  
      United States Treasury Note/Bond   1.750%   3/31/22     254,242       255,117  
      United States Treasury Note/Bond   1.875%   3/31/22     394,170       396,570  
      United States Treasury Note/Bond   2.250%   4/15/22     181,635       184,247  
      United States Treasury Note/Bond   1.750%   4/30/22     379,134       380,438  
      United States Treasury Note/Bond   1.875%   4/30/22     160,194       161,195  
      United States Treasury Note/Bond   1.750%   5/15/22     222,660       223,390  
      United States Treasury Note/Bond   2.125%   5/15/22     260,496       263,630  
      United States Treasury Note/Bond   1.750%   5/31/22     314,855       315,985  
      United States Treasury Note/Bond   1.875%   5/31/22     15,000       15,098  
      United States Treasury Note/Bond   1.750%   6/15/22     150,771       151,312  
      United States Treasury Note/Bond   1.750%   6/30/22     69,830       70,092  
      United States Treasury Note/Bond   2.125%   6/30/22     54,730       55,431  
      United States Treasury Note/Bond   1.750%   7/15/22     96,605       96,937  
      United States Treasury Note/Bond   1.875%   7/31/22     229,394       230,899  
      United States Treasury Note/Bond   2.000%   7/31/22     212,520       214,611  
      United States Treasury Note/Bond   1.500%   8/15/22     217,455       216,876  
      United States Treasury Note/Bond   1.625%   8/15/22     131,447       131,509  
      United States Treasury Note/Bond   1.625%   8/31/22     475,501       475,648  
      United States Treasury Note/Bond   1.875%   8/31/22     228,867       230,442  
      United States Treasury Note/Bond   1.500%   9/15/22     233,725       233,068  
      United States Treasury Note/Bond   1.750%   9/30/22     103,585       103,957  
      United States Treasury Note/Bond   1.875%   9/30/22     193,712       195,105  
      United States Treasury Note/Bond   1.375%   10/15/22     486,110       482,921  
      United States Treasury Note/Bond   1.875%   10/31/22     10,915       10,990  
      United States Treasury Note/Bond   2.000%   10/31/22     203,144       205,271  
      United States Treasury Note/Bond   1.625%   11/15/22     310,263       310,359  
      United States Treasury Note/Bond   2.000%   11/30/22     422,160       426,643  
      United States Treasury Note/Bond   1.625%   12/15/22     198,675       198,768  
      United States Treasury Note/Bond   2.125%   12/31/22     431,477       437,815  
      United States Treasury Note/Bond   1.750%   1/31/23     39,330       39,477  
      United States Treasury Note/Bond   2.375%   1/31/23     454,278       464,499  
      United States Treasury Note/Bond   2.000%   2/15/23     35,000       35,388  
      United States Treasury Note/Bond   1.500%   2/28/23     366,606       365,118  
      United States Treasury Note/Bond   2.625%   2/28/23     551,203       567,998  
      United States Treasury Note/Bond   1.500%   3/31/23     176,205       175,490  
      United States Treasury Note/Bond   2.500%   3/31/23     281,875       289,539  
      United States Treasury Note/Bond   1.625%   4/30/23     79,135       79,086  
      United States Treasury Note/Bond   2.750%   4/30/23     30,990       32,099  
      United States Treasury Note/Bond   1.750%   5/15/23     382,650       383,905  
      United States Treasury Note/Bond   1.625%   5/31/23     220,100       219,997  
      United States Treasury Note/Bond   2.750%   5/31/23     213,123       220,849  
      United States Treasury Note/Bond   1.375%   6/30/23     90,000       89,185  
      United States Treasury Note/Bond   2.625%   6/30/23     341,252       352,609  
      United States Treasury Note/Bond   1.250%   7/31/23     69,648       68,669  
      United States Treasury Note/Bond   2.750%   7/31/23     165,108       171,377  
      United States Treasury Note/Bond   2.500%   8/15/23     389,900       401,414  
      United States Treasury Note/Bond   1.375%   8/31/23     204,880       202,895  
      United States Treasury Note/Bond   2.750%   8/31/23     244,140       253,561  
      United States Treasury Note/Bond   1.375%   9/30/23     118,075       116,858  
      United States Treasury Note/Bond   2.875%   9/30/23     421,764       440,284  
      United States Treasury Note/Bond   1.625%   10/31/23     10,000       9,984  
      United States Treasury Note/Bond   2.875%   10/31/23     150,867       157,585  
      United States Treasury Note/Bond   2.750%   11/15/23     465,537       484,233  
      United States Treasury Note/Bond   2.125%   11/30/23     230,360       234,320  
      United States Treasury Note/Bond   2.875%   11/30/23     117,469       122,792  
      United States Treasury Note/Bond   2.250%   12/31/23     53,392       54,585  
      United States Treasury Note/Bond   2.625%   12/31/23     167,648       173,804  
      United States Treasury Note/Bond   2.250%   1/31/24     154,680       158,160  

 

2

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United States Treasury Note/Bond   2.500%   1/31/24     319,655       330,043  
      United States Treasury Note/Bond   2.750%   2/15/24     299,077       311,787  
      United States Treasury Note/Bond   2.125%   2/29/24     303,995       309,409  
      United States Treasury Note/Bond   2.375%   2/29/24     333,228       342,495  
      United States Treasury Note/Bond   2.125%   3/31/24     536,754       546,480  
      United States Treasury Note/Bond   2.000%   4/30/24     95,635       96,890  
      United States Treasury Note/Bond   2.250%   4/30/24     318,585       326,053  
      United States Treasury Note/Bond   2.500%   5/15/24     430,309       444,965  
      United States Treasury Note/Bond   2.000%   5/31/24     478,278       484,553  
      United States Treasury Note/Bond   1.750%   6/30/24     163,738       164,147  
      United States Treasury Note/Bond   2.000%   6/30/24     227,460       230,444  
      United States Treasury Note/Bond   1.750%   7/31/24     237,309       237,940  
      United States Treasury Note/Bond   2.125%   7/31/24     192,650       196,262  
      United States Treasury Note/Bond   2.375%   8/15/24     460,333       474,069  
      United States Treasury Note/Bond   1.250%   8/31/24     215,108       210,873  
      United States Treasury Note/Bond   1.875%   8/31/24     160,978       162,261  
      United States Treasury Note/Bond   1.500%   9/30/24     220,815       218,883  
      United States Treasury Note/Bond   2.125%   9/30/24     356,595       363,506  
      United States Treasury Note/Bond   1.500%   10/31/24     257,844       255,588  
      United States Treasury Note/Bond   2.250%   10/31/24     373,255       382,818  
      United States Treasury Note/Bond   2.250%   11/15/24     447,300       458,693  
      United States Treasury Note/Bond   1.500%   11/30/24     149,822       148,535  
      United States Treasury Note/Bond   1.750%   12/31/24     319,570       320,420  
      United States Treasury Note/Bond   2.250%   12/31/24     120,000       123,131  
      United States Treasury Note/Bond   2.500%   1/31/25     75,325       78,220  
                            32,848,074  
Agency Bonds and Notes (2.0%)
1     AID-Iraq   2.149%   1/18/22     9,755       9,828  
1     AID-Israel   5.500%   9/18/23     4,300       4,874  
1     AID-Israel   5.500%   12/4/23     8,000       9,114  
1     AID-Israel   5.500%   4/26/24     12,058       13,883  
1     AID-Jordan   2.578%   6/30/22     3,200       3,256  
1     AID-Tunisia   2.452%   7/24/21     2,175       2,197  
1     AID-Tunisia   1.416%   8/5/21     4,885       4,860  
1     AID-Ukraine   1.471%   9/29/21     10,305       10,256  
      Federal Farm Credit Banks   2.550%   3/11/21     11,275       11,400  
      Federal Farm Credit Banks   2.230%   4/5/21     11,000       11,082  
      Federal Farm Credit Banks   3.050%   11/15/21     5,175       5,310  
      Federal Farm Credit Banks   2.600%   1/18/22     5,000       5,097  
      Federal Farm Credit Banks   1.770%   6/26/23     4,600       4,618  
      Federal Farm Credit Banks   3.500%   12/20/23     4,250       4,542  
      Federal Farm Credit Banks   1.600%   12/28/21     6,455       6,451  
      Federal Home Loan Banks   1.375%   2/18/21     18,000       17,955  
      Federal Home Loan Banks   5.625%   6/11/21     13,465       14,228  
      Federal Home Loan Banks   1.875%   7/7/21     27,090       27,189  
      Federal Home Loan Banks   1.125%   7/14/21     18,400       18,260  
      Federal Home Loan Banks   3.000%   10/12/21     50,000       51,196  
      Federal Home Loan Banks   1.625%   11/19/21     19,020       19,019  
      Federal Home Loan Banks   1.875%   11/29/21     52,600       52,842  
      Federal Home Loan Banks   1.625%   12/20/21     6,700       6,700  
      Federal Home Loan Banks   2.125%   6/10/22     5,650       5,714  
      Federal Home Loan Banks   2.125%   3/10/23     8,950       9,080  
      Federal Home Loan Banks   2.500%   2/13/24     34,710       35,775  
      Federal Home Loan Banks   2.875%   6/14/24     20,000       20,964  
      Federal Home Loan Banks   1.500%   8/15/24     9,970       9,858  
      Federal Home Loan Banks   5.375%   8/15/24     100       116  
      Federal Home Loan Banks   2.875%   9/13/24     20,000       21,006  
2     Federal Home Loan Mortgage Corp.   2.375%   2/16/21     35,000       35,301  
2     Federal Home Loan Mortgage Corp.   1.125%   8/12/21     19,000       18,848  
2     Federal Home Loan Mortgage Corp.   2.375%   1/13/22     91,915       93,280  
2     Federal Home Loan Mortgage Corp.   2.750%   6/19/23     20,000       20,735  
2     Federal National Mortgage Assn.   1.375%   2/26/21     21,400       21,345  
2     Federal National Mortgage Assn.   2.500%   4/13/21     20,000       20,220  
2     Federal National Mortgage Assn.   1.250%   5/6/21     250       249  

 

3

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
2     Federal National Mortgage Assn.   2.750%   6/22/21     8,906       9,051  
2     Federal National Mortgage Assn.   1.250%   8/17/21     30,485       30,300  
2     Federal National Mortgage Assn.   1.375%   10/7/21     40,100       39,924  
2     Federal National Mortgage Assn.   2.000%   1/5/22     40,815       41,113  
2     Federal National Mortgage Assn.   2.625%   1/11/22     10,798       11,011  
2     Federal National Mortgage Assn.   1.875%   4/5/22     1,070       1,076  
2     Federal National Mortgage Assn.   2.250%   4/12/22     28,571       28,966  
2     Federal National Mortgage Assn.   1.375%   9/6/22     10,875       10,797  
2     Federal National Mortgage Assn.   2.000%   10/5/22     26,250       26,498  
2     Federal National Mortgage Assn.   2.375%   1/19/23     19,149       19,557  
2     Federal National Mortgage Assn.   2.875%   9/12/23     4,590       4,788  
2     Federal National Mortgage Assn.   2.500%   2/5/24     14,133       14,564  
2     Federal National Mortgage Assn.   1.750%   7/2/24     15,414       15,418  
2     Federal National Mortgage Assn.   2.625%   9/6/24     83,865       87,206  
      Private Export Funding Corp.   4.300%   12/15/21     9,940       10,438  
      Private Export Funding Corp.   2.800%   5/15/22     3,725       3,812  
      Private Export Funding Corp.   2.050%   11/15/22     10,276       10,326  
      Private Export Funding Corp.   3.550%   1/15/24     3,500       3,715  
      Private Export Funding Corp.   2.450%   7/15/24     3,350       3,419  
      Private Export Funding Corp.   1.750%   11/15/24     2,130       2,118  
      Resolution Funding Corp.   8.625%   1/15/21     850       910  
      Tennessee Valley Authority   3.875%   2/15/21     6,100       6,240  
      Tennessee Valley Authority   1.875%   8/15/22     8,175       8,193  
      Tennessee Valley Authority   2.875%   9/15/24     7,875       8,228  
                            1,024,316  

Total U.S. Government and Agency Obligations (Cost $33,536,781)

                    33,872,390  
Corporate Bonds (25.1%)
Finance (10.5%)
      Banking (8.6%)                        
      Ally Financial Inc.   4.125%   2/13/22     4,800       4,950  
      Ally Financial Inc.   3.875%   5/21/24     3,700       3,867  
      Ally Financial Inc.   5.125%   9/30/24     4,230       4,658  
      American Express Co.   3.000%   2/22/21     6,200       6,264  
      American Express Co.   3.375%   5/17/21     13,974       14,229  
      American Express Co.   3.700%   11/5/21     12,350       12,719  
      American Express Co.   2.750%   5/20/22     2,700       2,745  
      American Express Co.   2.500%   8/1/22     7,111       7,190  
      American Express Co.   2.650%   12/2/22     5,048       5,142  
      American Express Co.   3.400%   2/27/23     7,753       8,032  
      American Express Co.   3.700%   8/3/23     5,825       6,130  
      American Express Co.   3.400%   2/22/24     11,000       11,490  
      American Express Co.   2.500%   7/30/24     6,000       6,062  
      American Express Co.   3.000%   10/30/24     10,741       11,085  
      American Express Co.   3.625%   12/5/24     2,460       2,594  
      American Express Credit Corp.   2.250%   5/5/21     15,799       15,872  
      American Express Credit Corp.   2.700%   3/3/22     13,526       13,740  
      Associated Bank NA   3.500%   8/13/21     3,000       3,053  
      Australia & New Zealand Banking Group Ltd.   2.300%   6/1/21     6,175       6,197  
      Australia & New Zealand Banking Group Ltd.   2.550%   11/23/21     6,050       6,114  
      Australia & New Zealand Banking Group Ltd.   2.625%   5/19/22     2,290       2,323  
      Australia & New Zealand Banking Group Ltd.   2.625%   11/9/22     9,085       9,248  
      Banco Santander SA   3.500%   4/11/22     3,243       3,325  
      Banco Santander SA   3.125%   2/23/23     6,275       6,402  
      Banco Santander SA   3.848%   4/12/23     9,830       10,224  
      Banco Santander SA   2.706%   6/27/24     4,053       4,105  
      Bancolombia SA   5.950%   6/3/21     6,575       6,904  
      Bank of America Corp.   2.625%   4/19/21     15,398       15,533  
      Bank of America Corp.   5.000%   5/13/21     75       78  
3     Bank of America Corp.   2.738%   1/23/22     4,990       5,026  
3     Bank of America Corp.   3.499%   5/17/22     19,098       19,455  
      Bank of America Corp.   2.503%   10/21/22     22,004       22,188  
      Bank of America Corp.   3.300%   1/11/23     31,452       32,527  

 

4

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3     Bank of America Corp.   3.124%   1/20/23     14,861       15,120  
3     Bank of America Corp.   2.881%   4/24/23     16,075       16,297  
3     Bank of America Corp.   2.816%   7/21/23     18,320       18,572  
      Bank of America Corp.   4.100%   7/24/23     11,100       11,820  
      Bank of America Corp.   3.004%   12/20/23     60,865       62,194  
      Bank of America Corp.   4.125%   1/22/24     2,000       2,151  
3     Bank of America Corp.   3.550%   3/5/24     33,905       35,071  
      Bank of America Corp.   4.000%   4/1/24     4,210       4,506  
3     Bank of America Corp.   3.864%   7/23/24     14,000       14,730  
      Bank of America Corp.   4.200%   8/26/24     21,657       23,233  
3     Bank of America Corp.   3.093%   10/1/25     25,000       25,751  
3     Bank of America Corp.   2.456%   10/22/25     15,000       15,049  
      Bank of Montreal   3.100%   4/13/21     18,400       18,666  
      Bank of Montreal   1.900%   8/27/21     15,566       15,585  
      Bank of Montreal   2.900%   3/26/22     8,800       8,960  
      Bank of Montreal   3.300%   2/5/24     8,000       8,329  
      Bank of Montreal   2.500%   6/28/24     6,850       6,907  
3     Bank of Montreal   4.338%   10/5/28     5,395       5,692  
3     Bank of Montreal   4.800%   12/31/49     117       120  
      Bank of New York Mellon Corp.   4.150%   2/1/21     1,348       1,377  
      Bank of New York Mellon Corp.   2.500%   4/15/21     1,827       1,837  
      Bank of New York Mellon Corp.   2.050%   5/3/21     9,829       9,854  
      Bank of New York Mellon Corp.   3.550%   9/23/21     285       293  
      Bank of New York Mellon Corp.   2.600%   2/7/22     13,121       13,305  
      Bank of New York Mellon Corp.   1.950%   8/23/22     2,725       2,729  
      Bank of New York Mellon Corp.   2.950%   1/29/23     8,902       9,137  
      Bank of New York Mellon Corp.   3.500%   4/28/23     3,025       3,171  
3     Bank of New York Mellon Corp.   2.661%   5/16/23     8,675       8,802  
      Bank of New York Mellon Corp.   3.450%   8/11/23     3,775       3,955  
      Bank of New York Mellon Corp.   2.200%   8/16/23     7,870       7,958  
      Bank of New York Mellon Corp.   3.400%   5/15/24     3,040       3,202  
      Bank of New York Mellon Corp.   3.250%   9/11/24     11,124       11,672  
      Bank of Nova Scotia   2.500%   1/8/21     1,680       1,688  
      Bank of Nova Scotia   4.375%   1/13/21     3,176       3,253  
      Bank of Nova Scotia   3.125%   4/20/21     4,400       4,464  
      Bank of Nova Scotia   2.800%   7/21/21     805       816  
      Bank of Nova Scotia   2.700%   3/7/22     22,984       23,360  
      Bank of Nova Scotia   2.450%   9/19/22     2,146       2,173  
      Bank of Nova Scotia   2.000%   11/15/22     3,700       3,704  
      Bank of Nova Scotia   2.375%   1/18/23     2,700       2,728  
      Bank of Nova Scotia   3.400%   2/11/24     7,800       8,151  
      Barclays Bank plc   2.650%   1/11/21     17,500       17,598  
      Barclays plc   3.250%   1/12/21     8,855       8,917  
      Barclays plc   3.200%   8/10/21     9,860       9,976  
      Barclays plc   3.684%   1/10/23     6,740       6,901  
3     Barclays plc   4.338%   5/16/24     10,000       10,488  
3     Barclays plc   3.932%   5/7/25     5,650       5,935  
      BBVA USA   3.500%   6/11/21     7,750       7,876  
      BBVA USA   2.875%   6/29/22     8,880       8,999  
      BNP Paribas SA   5.000%   1/15/21     7,181       7,391  
      BNP Paribas SA   3.250%   3/3/23     5,299       5,491  
      BNP Paribas SA   4.250%   10/15/24     7,745       8,249  
      BPCE SA   2.650%   2/3/21     5,796       5,831  
      BPCE SA   2.750%   12/2/21     7,350       7,456  
4     BPCE SA   3.000%   5/22/22     6,000       6,102  
      BPCE SA   4.000%   4/15/24     6,076       6,501  
      Canadian Imperial Bank of Commerce   2.700%   2/2/21     2,598       2,617  
      Canadian Imperial Bank of Commerce   2.550%   6/16/22     7,525       7,616  
3     Canadian Imperial Bank of Commerce   2.606%   7/22/23     1,000       1,009  
      Canadian Imperial Bank of Commerce   3.500%   9/13/23     7,150       7,505  
      Canadian Imperial Bank of Commerce   3.100%   4/2/24     8,180       8,422  
      Capital One Bank USA NA   3.375%   2/15/23     11,650       12,001  
      Capital One Financial Corp.   3.450%   4/30/21     9,474       9,639  
      Capital One Financial Corp.   4.750%   7/15/21     9,188       9,551  

 

5

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Capital One Financial Corp.   3.050%   3/9/22     7,777       7,934  
      Capital One Financial Corp.   3.500%   6/15/23     3,080       3,197  
      Capital One Financial Corp.   3.900%   1/29/24     1,750       1,856  
      Capital One Financial Corp.   3.750%   4/24/24     3,786       3,972  
      Capital One Financial Corp.   3.300%   10/30/24     10,010       10,327  
      Capital One NA   2.950%   7/23/21     10,905       11,057  
      Capital One NA   2.250%   9/13/21     11,558       11,594  
      Capital One NA   2.650%   8/8/22     6,183       6,274  
      Capital One NA   2.150%   9/6/22     1,140       1,141  
      Citibank NA   2.850%   2/12/21     11,565       11,658  
      Citibank NA   3.400%   7/23/21     7,100       7,242  
3     Citibank NA   3.165%   2/19/22     3,300       3,341  
3     Citibank NA   2.844%   5/20/22     7,845       7,941  
      Citibank NA   3.650%   1/23/24     5,000       5,279  
      Citigroup Inc.   2.700%   3/30/21     12,914       13,007  
      Citigroup Inc.   2.350%   8/2/21     14,920       14,994  
      Citigroup Inc.   2.900%   12/8/21     29,027       29,459  
      Citigroup Inc.   4.500%   1/14/22     17,618       18,454  
      Citigroup Inc.   2.750%   4/25/22     20,914       21,251  
      Citigroup Inc.   4.050%   7/30/22     5,580       5,829  
      Citigroup Inc.   2.700%   10/27/22     7,835       7,960  
3     Citigroup Inc.   2.312%   11/4/22     5,525       5,539  
3     Citigroup Inc.   3.142%   1/24/23     4,315       4,388  
      Citigroup Inc.   3.500%   5/15/23     12,707       13,170  
3     Citigroup Inc.   2.876%   7/24/23     14,105       14,344  
      Citigroup Inc.   3.875%   10/25/23     12,585       13,363  
3     Citigroup Inc.   4.044%   6/1/24     12,735       13,479  
      Citigroup Inc.   3.750%   6/16/24     8,741       9,281  
3     Citigroup Inc.   3.352%   4/24/25     11,125       11,570  
      Citizens Bank NA   2.550%   5/13/21     7,821       7,870  
      Citizens Bank NA   3.250%   2/14/22     6,705       6,863  
      Citizens Bank NA   2.650%   5/26/22     3,944       3,999  
      Citizens Bank NA   3.700%   3/29/23     3,700       3,866  
      Citizens Financial Group Inc.   2.375%   7/28/21     2,750       2,756  
      Comerica Bank   2.500%   7/23/24     1,780       1,800  
      Comerica Inc.   3.700%   7/31/23     11,425       11,992  
      Commonwealth Bank of Australia   2.550%   3/15/21     6,355       6,393  
4     Commonwealth Bank of Australia   3.350%   6/4/24     5,000       5,226  
      Cooperatieve Rabobank UA   4.500%   1/11/21     1,291       1,322  
      Cooperatieve Rabobank UA   2.500%   1/19/21     24,993       25,109  
      Cooperatieve Rabobank UA   2.750%   1/10/22     8,103       8,218  
      Cooperatieve Rabobank UA   3.875%   2/8/22     15,756       16,407  
      Cooperatieve Rabobank UA   3.950%   11/9/22     8,720       9,096  
      Cooperatieve Rabobank UA   2.750%   1/10/23     1,700       1,727  
      Cooperatieve Rabobank UA   4.625%   12/1/23     19,777       21,441  
      Credit Suisse AG   3.000%   10/29/21     14,100       14,361  
      Credit Suisse AG   2.100%   11/12/21     3,150       3,157  
      Credit Suisse AG   3.625%   9/9/24     25,344       26,906  
      Credit Suisse Group Funding Guernsey Ltd.   3.125%   12/10/20     8,777       8,855  
      Credit Suisse Group Funding Guernsey Ltd.   3.450%   4/16/21     10,490       10,646  
      Credit Suisse Group Funding Guernsey Ltd.   3.800%   9/15/22     10,664       11,084  
      Credit Suisse Group Funding Guernsey Ltd.   3.800%   6/9/23     7,805       8,165  
      Deutsche Bank AG   3.125%   1/13/21     10,025       10,047  
      Deutsche Bank AG   3.150%   1/22/21     8,725       8,760  
      Deutsche Bank AG   4.250%   2/4/21     2,175       2,204  
      Deutsche Bank AG   3.375%   5/12/21     3,340       3,361  
      Deutsche Bank AG   4.250%   10/14/21     12,400       12,747  
      Deutsche Bank AG   5.000%   2/14/22     6,850       7,151  
      Deutsche Bank AG   3.300%   11/16/22     8,426       8,508  
      Deutsche Bank AG   3.950%   2/27/23     11,480       11,737  
      Deutsche Bank AG   3.700%   5/30/24     10,030       10,238  
      Discover Bank   3.200%   8/9/21     2,711       2,754  
      Discover Bank   3.350%   2/6/23     2,000       2,059  
      Discover Bank   4.200%   8/8/23     11,083       11,773  

 

6

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Discover Bank   2.450%   9/12/24     6,225       6,192  
3     Discover Bank   4.682%   8/9/28     3,300       3,443  
      Discover Financial Services   3.850%   11/21/22     6,074       6,344  
      Discover Financial Services   3.950%   11/6/24     636       674  
      Fifth Third Bancorp   3.500%   3/15/22     4,072       4,195  
      Fifth Third Bancorp   4.300%   1/16/24     7,048       7,560  
      Fifth Third Bancorp   3.650%   1/25/24     11,870       12,486  
      Fifth Third Bank   2.250%   6/14/21     10,068       10,107  
      Fifth Third Bank   3.350%   7/26/21     6,250       6,380  
      Fifth Third Bank   2.875%   10/1/21     3,941       3,999  
      First Horizon National Corp.   3.500%   12/15/20     5,558       5,616  
      First Republic Bank   2.500%   6/6/22     7,625       7,694  
      Goldman Sachs Group Inc.   2.600%   12/27/20     2,720       2,725  
      Goldman Sachs Group Inc.   2.875%   2/25/21     9,478       9,567  
      Goldman Sachs Group Inc.   2.625%   4/25/21     13,731       13,826  
      Goldman Sachs Group Inc.   5.250%   7/27/21     31,282       32,794  
      Goldman Sachs Group Inc.   2.350%   11/15/21     9,624       9,657  
      Goldman Sachs Group Inc.   5.750%   1/24/22     28,441       30,436  
      Goldman Sachs Group Inc.   3.000%   4/26/22     17,881       18,116  
3     Goldman Sachs Group Inc.   2.876%   10/31/22     16,213       16,409  
      Goldman Sachs Group Inc.   3.625%   1/22/23     4,980       5,170  
      Goldman Sachs Group Inc.   3.200%   2/23/23     861       885  
3     Goldman Sachs Group Inc.   2.908%   6/5/23     7,006       7,115  
3     Goldman Sachs Group Inc.   2.905%   7/24/23     16,031       16,279  
      Goldman Sachs Group Inc.   3.625%   2/20/24     16,250       17,056  
      Goldman Sachs Group Inc.   4.000%   3/3/24     26,314       27,941  
      Goldman Sachs Group Inc.   3.850%   7/8/24     10,050       10,598  
3     Goldman Sachs Group Inc.   3.272%   9/29/25     30,020       30,981  
      HSBC Holdings plc   3.400%   3/8/21     4,622       4,691  
      HSBC Holdings plc   5.100%   4/5/21     7,622       7,896  
      HSBC Holdings plc   2.950%   5/25/21     20,413       20,660  
      HSBC Holdings plc   2.650%   1/5/22     19,345       19,556  
      HSBC Holdings plc   4.875%   1/14/22     3,744       3,946  
      HSBC Holdings plc   4.000%   3/30/22     5,336       5,552  
3     HSBC Holdings plc   3.262%   3/13/23     20,320       20,762  
      HSBC Holdings plc   3.600%   5/25/23     15,855       16,489  
3     HSBC Holdings plc   3.033%   11/22/23     14,950       15,256  
      HSBC Holdings plc   4.250%   3/14/24     1,484       1,575  
3     HSBC Holdings plc   3.950%   5/18/24     17,350       18,194  
3     HSBC Holdings plc   3.803%   3/11/25     24,275       25,476  
3     HSBC Holdings plc   2.633%   11/7/25     21,725       21,674  
      HSBC USA Inc.   3.500%   6/23/24     5,395       5,708  
      Huntington Bancshares Inc.   7.000%   12/15/20     1,250       1,305  
      Huntington Bancshares Inc.   3.150%   3/14/21     7,719       7,801  
      Huntington Bancshares Inc.   2.300%   1/14/22     2,270       2,279  
      Huntington Bancshares Inc.   2.625%   8/6/24     6,285       6,371  
      Huntington National Bank   3.250%   5/14/21     5,450       5,539  
      Huntington National Bank   3.125%   4/1/22     3,500       3,569  
      Huntington National Bank   2.500%   8/7/22     8,750       8,848  
      Huntington National Bank   3.550%   10/6/23     500       523  
      ING Groep NV   3.150%   3/29/22     6,517       6,652  
      ING Groep NV   4.100%   10/2/23     13,650       14,470  
      ING Groep NV   3.550%   4/9/24     5,890       6,166  
      JPMorgan Chase & Co.   2.550%   3/1/21     20,140       20,253  
      JPMorgan Chase & Co.   4.625%   5/10/21     12,850       13,307  
      JPMorgan Chase & Co.   2.400%   6/7/21     8,436       8,489  
      JPMorgan Chase & Co.   2.295%   8/15/21     11,534       11,554  
      JPMorgan Chase & Co.   4.350%   8/15/21     18,064       18,735  
      JPMorgan Chase & Co.   4.500%   1/24/22     18,879       19,798  
3     JPMorgan Chase & Co.   3.514%   6/18/22     11,000       11,233  
      JPMorgan Chase & Co.   3.250%   9/23/22     17,255       17,833  
      JPMorgan Chase & Co.   2.972%   1/15/23     12,525       12,769  
      JPMorgan Chase & Co.   3.200%   1/25/23     15,947       16,448  
3     JPMorgan Chase & Co.   3.207%   4/1/23     16,739       17,103  

 

7

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3     JPMorgan Chase & Co.   2.776%   4/25/23     10,340       10,462  
      JPMorgan Chase & Co.   3.375%   5/1/23     16,054       16,666  
      JPMorgan Chase & Co.   2.700%   5/18/23     14,863       15,137  
      JPMorgan Chase & Co.   3.875%   2/1/24     13,200       14,118  
3     JPMorgan Chase & Co.   3.559%   4/23/24     23,030       24,002  
      JPMorgan Chase & Co.   3.625%   5/13/24     21,388       22,605  
3     JPMorgan Chase & Co.   3.797%   7/23/24     13,935       14,682  
      JPMorgan Chase & Co.   3.875%   9/10/24     11,398       12,190  
3     JPMorgan Chase & Co.   3.220%   3/1/25     14,450       14,927  
3     JPMorgan Chase & Co.   2.301%   10/15/25     25,725       25,693  
      KeyBank NA   3.350%   6/15/21     3,565       3,639  
      KeyBank NA   2.500%   11/22/21     5,910       5,975  
      KeyBank NA   2.400%   6/9/22     7,490       7,571  
      KeyBank NA   2.300%   9/14/22     4,420       4,463  
      KeyBank NA   3.375%   3/7/23     2,850       2,962  
3     KeyBank NA   3.180%   10/15/27     2,125       2,168  
      KeyCorp   5.100%   3/24/21     6,844       7,098  
      Lloyds Bank plc   6.375%   1/21/21     2,942       3,061  
      Lloyds Bank plc   3.300%   5/7/21     8,091       8,219  
      Lloyds Bank plc   2.250%   8/14/22     2,000       2,008  
      Lloyds Banking Group plc   3.100%   7/6/21     75       76  
      Lloyds Banking Group plc   3.000%   1/11/22     15,050       15,279  
3     Lloyds Banking Group plc   2.858%   3/17/23     7,775       7,849  
      Lloyds Banking Group plc   4.050%   8/16/23     13,050       13,770  
3     Lloyds Banking Group plc   2.907%   11/7/23     10,500       10,652  
      Lloyds Banking Group plc   4.500%   11/4/24     5,047       5,381  
      M&T Bank Corp.   3.550%   7/26/23     7,000       7,356  
      Manufacturers & Traders Trust Co.   2.625%   1/25/21     8,670       8,708  
      Mitsubishi UFJ Financial Group Inc.   2.950%   3/1/21     8,985       9,073  
      Mitsubishi UFJ Financial Group Inc.   3.535%   7/26/21     6,500       6,645  
      Mitsubishi UFJ Financial Group Inc.   2.190%   9/13/21     7,025       7,035  
      Mitsubishi UFJ Financial Group Inc.   2.998%   2/22/22     9,700       9,878  
      Mitsubishi UFJ Financial Group Inc.   3.218%   3/7/22     6,550       6,703  
      Mitsubishi UFJ Financial Group Inc.   2.623%   7/18/22     11,075       11,218  
      Mitsubishi UFJ Financial Group Inc.   2.665%   7/25/22     16,943       17,185  
      Mitsubishi UFJ Financial Group Inc.   3.455%   3/2/23     9,803       10,157  
      Mitsubishi UFJ Financial Group Inc.   3.761%   7/26/23     13,100       13,760  
      Mitsubishi UFJ Financial Group Inc.   2.527%   9/13/23     3,700       3,724  
      Mitsubishi UFJ Financial Group Inc.   3.407%   3/7/24     6,575       6,855  
      Mitsubishi UFJ Financial Group Inc.   2.801%   7/18/24     7,225       7,357  
      Mizuho Financial Group Inc.   2.273%   9/13/21     1,900       1,905  
      Mizuho Financial Group Inc.   2.953%   2/28/22     8,650       8,798  
      Mizuho Financial Group Inc.   3.549%   3/5/23     8,940       9,309  
3     Mizuho Financial Group Inc.   2.721%   7/16/23     8,400       8,481  
3     Mizuho Financial Group Inc.   3.922%   9/11/24     6,075       6,370  
3     Mizuho Financial Group Inc.   2.839%   7/16/25     10,500       10,589  
3     Mizuho Financial Group Inc.   2.555%   9/13/25     3,100       3,092  
      Morgan Stanley   5.750%   1/25/21     11,427       11,847  
      Morgan Stanley   2.500%   4/21/21     17,179       17,254  
      Morgan Stanley   5.500%   7/28/21     17,984       18,931  
      Morgan Stanley   2.625%   11/17/21     21,007       21,243  
      Morgan Stanley   2.750%   5/19/22     16,143       16,425  
      Morgan Stanley   4.875%   11/1/22     13,667       14,635  
      Morgan Stanley   3.125%   1/23/23     8,164       8,385  
      Morgan Stanley   3.750%   2/25/23     24,714       25,811  
      Morgan Stanley   4.100%   5/22/23     16,058       16,899  
3     Morgan Stanley   3.737%   4/24/24     13,505       14,063  
      Morgan Stanley   3.875%   4/29/24     30,100       31,930  
      Morgan Stanley   3.700%   10/23/24     21,665       22,949  
3     Morgan Stanley   2.720%   7/22/25     1,500       1,514  
      Morgan Stanley   4.000%   7/23/25     3,290       3,558  
      MUFG Americas Holdings Corp.   3.500%   6/18/22     3,500       3,622  
      MUFG Union Bank NA   3.150%   4/1/22     18,442       18,856  
      MUFG Union Bank NA   2.100%   12/9/22     1,590       1,593  

 

8

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      National Australia Bank Ltd.   2.625%   1/14/21     4,881       4,909  
      National Australia Bank Ltd.   1.875%   7/12/21     5,540       5,533  
      National Australia Bank Ltd.   3.375%   9/20/21     5,000       5,120  
      National Australia Bank Ltd.   3.700%   11/4/21     8,500       8,770  
      National Australia Bank Ltd.   2.800%   1/10/22     6,000       6,095  
      National Australia Bank Ltd.   2.500%   5/22/22     5,265       5,328  
      National Australia Bank Ltd.   3.000%   1/20/23     5,031       5,152  
      National Australia Bank Ltd.   3.625%   6/20/23     5,000       5,231  
      Northern Trust Corp.   3.375%   8/23/21     3,271       3,348  
      Northern Trust Corp.   2.375%   8/2/22     1,845       1,861  
      People's United Bank NA   4.000%   7/15/24     100       104  
      People's United Financial Inc.   3.650%   12/6/22     3,700       3,843  
      PNC Bank NA   2.500%   1/22/21     3,250       3,264  
      PNC Bank NA   2.150%   4/29/21     3,381       3,388  
      PNC Bank NA   2.550%   12/9/21     7,985       8,051  
      PNC Bank NA   2.625%   2/17/22     16,185       16,352  
3     PNC Bank NA   2.232%   7/22/22     4,500       4,509  
      PNC Bank NA   2.700%   11/1/22     5,741       5,796  
3     PNC Bank NA   2.028%   12/9/22     7,420       7,426  
      PNC Bank NA   2.950%   1/30/23     8,525       8,697  
      PNC Bank NA   3.500%   6/8/23     4,000       4,165  
      PNC Bank NA   3.800%   7/25/23     1,000       1,047  
      PNC Bank NA   3.300%   10/30/24     14,033       14,593  
      PNC Financial Services Group Inc.   2.854%   11/9/22     4,520       4,599  
      PNC Financial Services Group Inc.   3.500%   1/23/24     7,029       7,377  
      PNC Financial Services Group Inc.   3.900%   4/29/24     8,500       8,933  
      Regions Bank   2.750%   4/1/21     6,690       6,736  
3     Regions Bank   3.374%   8/13/21     4,500       4,534  
      Regions Financial Corp.   2.750%   8/14/22     7,657       7,788  
      Regions Financial Corp.   3.800%   8/14/23     4,250       4,481  
      Royal Bank of Canada   2.500%   1/19/21     7,467       7,499  
      Royal Bank of Canada   3.200%   4/30/21     11,978       12,190  
      Royal Bank of Canada   2.750%   2/1/22     10,000       10,166  
      Royal Bank of Canada   2.800%   4/29/22     7,200       7,336  
      Royal Bank of Canada   3.700%   10/5/23     6,100       6,432  
      Royal Bank of Canada   2.550%   7/16/24     6,725       6,825  
      Royal Bank of Canada   2.250%   11/1/24     15,200       15,270  
      Royal Bank of Scotland Group plc   6.125%   12/15/22     7,485       8,188  
3     Royal Bank of Scotland Group plc   3.498%   5/15/23     9,755       9,961  
      Royal Bank of Scotland Group plc   6.100%   6/10/23     10,974       12,058  
      Royal Bank of Scotland Group plc   3.875%   9/12/23     18,851       19,705  
      Royal Bank of Scotland Group plc   6.000%   12/19/23     11,697       13,001  
      Royal Bank of Scotland Group plc   5.125%   5/28/24     14,550       15,754  
3     Royal Bank of Scotland Group plc   4.519%   6/25/24     15,700       16,640  
3     Royal Bank of Scotland Group plc   4.269%   3/22/25     2,367       2,511  
      Santander Holdings USA Inc.   4.450%   12/3/21     2,100       2,177  
      Santander Holdings USA Inc.   3.400%   1/18/23     9,825       10,070  
      Santander Holdings USA Inc.   3.500%   6/7/24     7,000       7,194  
4     Santander Holdings USA Inc.   3.244%   10/5/26     11,149       11,200  
      Santander UK Group Holdings plc   3.125%   1/8/21     10,245       10,329  
      Santander UK Group Holdings plc   2.875%   8/5/21     4,380       4,422  
3     Santander UK Group Holdings plc   3.373%   1/5/24     12,500       12,764  
3     Santander UK Group Holdings plc   4.796%   11/15/24     10,950       11,807  
      Santander UK plc   3.400%   6/1/21     9,285       9,471  
      Santander UK plc   3.750%   11/15/21     6,850       7,058  
      Santander UK plc   4.000%   3/13/24     6,641       7,073  
      Santander UK plc   2.875%   6/18/24     6,745       6,884  
      Skandinaviska Enskilda Banken AB   2.625%   3/15/21     7,695       7,745  
      Skandinaviska Enskilda Banken AB   1.875%   9/13/21     9,600       9,566  
      Skandinaviska Enskilda Banken AB   2.800%   3/11/22     4,840       4,910  
      State Street Corp.   4.375%   3/7/21     7,292       7,502  
      State Street Corp.   1.950%   5/19/21     425       425  
3     State Street Corp.   2.653%   5/15/23     9,095       9,234  
      State Street Corp.   3.100%   5/15/23     3,260       3,348  

 

9

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      State Street Corp.   3.700%   11/20/23     5,550       5,899  
3     State Street Corp.   3.776%   12/3/24     4,100       4,322  
      State Street Corp.   3.300%   12/16/24     9,658       10,184  
3     State Street Corp.   2.354%   11/1/25     5,000       5,006  
      Sumitomo Mitsui Banking Corp.   3.200%   7/18/22     2,360       2,424  
      Sumitomo Mitsui Financial Group Inc.   2.934%   3/9/21     11,632       11,767  
      Sumitomo Mitsui Financial Group Inc.   2.058%   7/14/21     10,347       10,359  
      Sumitomo Mitsui Financial Group Inc.   2.442%   10/19/21     10,596       10,667  
      Sumitomo Mitsui Financial Group Inc.   2.846%   1/11/22     2,379       2,413  
      Sumitomo Mitsui Financial Group Inc.   2.784%   7/12/22     7,487       7,614  
      Sumitomo Mitsui Financial Group Inc.   2.778%   10/18/22     6,386       6,484  
      Sumitomo Mitsui Financial Group Inc.   3.102%   1/17/23     14,250       14,574  
      Sumitomo Mitsui Financial Group Inc.   3.748%   7/19/23     5,300       5,553  
      Sumitomo Mitsui Financial Group Inc.   3.936%   10/16/23     8,269       8,745  
      Sumitomo Mitsui Financial Group Inc.   2.696%   7/16/24     12,675       12,846  
      Sumitomo Mitsui Financial Group Inc.   2.448%   9/27/24     3,400       3,405  
      Svenska Handelsbanken AB   2.450%   3/30/21     16,433       16,528  
      Svenska Handelsbanken AB   3.350%   5/24/21     5,840       5,948  
      Svenska Handelsbanken AB   1.875%   9/7/21     3,932       3,923  
      Svenska Handelsbanken AB   3.900%   11/20/23     5,118       5,478  
      Synchrony Bank   3.650%   5/24/21     4,830       4,925  
      Synchrony Bank   3.000%   6/15/22     955       973  
      Synchrony Financial   3.750%   8/15/21     2,511       2,567  
      Synchrony Financial   2.850%   7/25/22     2,350       2,381  
      Synchrony Financial   4.375%   3/19/24     4,000       4,252  
      Synchrony Financial   4.250%   8/15/24     9,740       10,392  
      Synovus Financial Corp.   3.125%   11/1/22     2,200       2,227  
      Toronto-Dominion Bank   2.500%   12/14/20     9,915       9,970  
      Toronto-Dominion Bank   2.550%   1/25/21     8,050       8,096  
      Toronto-Dominion Bank   2.125%   4/7/21     13,010       13,056  
      Toronto-Dominion Bank   3.250%   6/11/21     4,481       4,574  
      Toronto-Dominion Bank   1.800%   7/13/21     15,013       15,008  
      Toronto-Dominion Bank   1.900%   12/1/22     7,200       7,201  
      Toronto-Dominion Bank   3.500%   7/19/23     12,633       13,300  
      Toronto-Dominion Bank   3.250%   3/11/24     4,600       4,800  
      Toronto-Dominion Bank   2.650%   6/12/24     9,100       9,276  
      Truist Bank   2.850%   4/1/21     2,425       2,449  
3     Truist Bank   3.525%   10/26/21     125       126  
      Truist Bank   2.625%   1/15/22     7,135       7,223  
      Truist Bank   2.800%   5/17/22     6,665       6,782  
      Truist Bank   2.450%   8/1/22     12,618       12,746  
3     Truist Bank   3.502%   8/2/22     6,420       6,556  
      Truist Bank   3.000%   2/2/23     5,135       5,258  
      Truist Bank   2.750%   5/1/23     1,375       1,395  
      Truist Bank   3.200%   4/1/24     13,275       13,781  
3     Truist Bank   3.689%   8/2/24     12,813       13,422  
      Truist Bank   2.150%   12/6/24     5,500       5,489  
      Truist Financial Corp   2.900%   3/3/21     6,976       7,034  
      Truist Financial Corp.   2.150%   2/1/21     5,444       5,454  
      Truist Financial Corp.   2.050%   5/10/21     7,202       7,207  
      Truist Financial Corp.   3.200%   9/3/21     4,645       4,738  
      Truist Financial Corp.   2.700%   1/27/22     2,202       2,232  
      Truist Financial Corp.   3.950%   3/22/22     6,500       6,733  
      Truist Financial Corp.   2.750%   4/1/22     7,515       7,646  
      Truist Financial Corp.   3.050%   6/20/22     9,850       10,048  
      Truist Financial Corp.   3.750%   12/6/23     4,100       4,333  
      Truist Financial Corp.   2.500%   8/1/24     2,345       2,373  
      Truist Financial Corp.   2.850%   10/26/24     11,847       12,242  
      US Bancorp   2.350%   1/29/21     8,735       8,773  
      US Bancorp   4.125%   5/24/21     2,793       2,873  
      US Bancorp   2.625%   1/24/22     12,255       12,438  
      US Bancorp   3.000%   3/15/22     7,080       7,241  
      US Bancorp   2.950%   7/15/22     9,976       10,229  
      US Bancorp   3.700%   1/30/24     6,585       6,998  

 

10

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      US Bancorp   3.375%   2/5/24     7,600       7,954  
      US Bancorp   2.400%   7/30/24     6,825       6,908  
      US Bancorp   3.600%   9/11/24     842       893  
      US Bank NA   3.150%   4/26/21     2,000       2,030  
      US Bank NA   3.450%   11/16/21     4,000       4,114  
      US Bank NA   2.650%   5/23/22     7,550       7,681  
      US Bank NA   1.950%   1/9/23     9,470       9,479  
      US Bank NA   2.850%   1/23/23     6,485       6,655  
      US Bank NA   3.400%   7/24/23     6,100       6,380  
      Wells Fargo & Co.   2.550%   12/7/20     14,381       14,444  
      Wells Fargo & Co.   3.000%   1/22/21     12,042       12,178  
      Wells Fargo & Co.   2.500%   3/4/21     6,942       6,990  
      Wells Fargo & Co.   4.600%   4/1/21     20,194       20,811  
      Wells Fargo & Co.   2.100%   7/26/21     19,583       19,615  
      Wells Fargo & Co.   3.500%   3/8/22     6,486       6,685  
      Wells Fargo & Co.   2.625%   7/22/22     22,651       22,955  
      Wells Fargo & Co.   3.069%   1/24/23     34,916       35,514  
      Wells Fargo & Co.   3.450%   2/13/23     2,735       2,829  
      Wells Fargo & Co.   4.125%   8/15/23     8,069       8,555  
      Wells Fargo & Co.   3.750%   1/24/24     8,750       9,216  
      Wells Fargo & Co.   3.000%   2/19/25     15,000       15,470  
3     Wells Fargo & Co.   2.406%   10/30/25     39,100       39,002  
      Wells Fargo Bank NA   2.600%   1/15/21     5,206       5,235  
3     Wells Fargo Bank NA   3.325%   7/23/21     14,900       14,998  
      Wells Fargo Bank NA   3.625%   10/22/21     19,800       20,370  
3     Wells Fargo Bank NA   2.897%   5/27/22     5,165       5,221  
3     Wells Fargo Bank NA   2.082%   9/9/22     8,150       8,150  
      Wells Fargo Bank NA   3.550%   8/14/23     18,006       18,810  
      Westpac Banking Corp.   2.650%   1/25/21     4,425       4,454  
      Westpac Banking Corp.   2.100%   5/13/21     8,527       8,535  
      Westpac Banking Corp.   2.000%   8/19/21     10,950       10,951  
      Westpac Banking Corp.   2.800%   1/11/22     5,250       5,337  
      Westpac Banking Corp.   2.500%   6/28/22     9,250       9,348  
      Westpac Banking Corp.   2.750%   1/11/23     4,750       4,829  
      Westpac Banking Corp.   3.650%   5/15/23     7,203       7,551  
      Westpac Banking Corp.   3.300%   2/26/24     8,840       9,195  
      Westpac Banking Corp.   2.350%   2/19/25     6,275       6,287  
      Zions Bancorp NA   3.500%   8/27/21     5,750       5,858  
      Brokerage (0.2%)                        
      Affiliated Managers Group Inc.   4.250%   2/15/24     2,550       2,715  
      Ameriprise Financial Inc.   3.000%   3/22/22     2,212       2,261  
      Ameriprise Financial Inc.   4.000%   10/15/23     5,424       5,787  
      Ameriprise Financial Inc.   3.700%   10/15/24     3,847       4,108  
      BGC Partners Inc.   5.125%   5/27/21     1,675       1,727  
      BGC Partners Inc.   5.375%   7/24/23     3,914       4,187  
      BGC Partners Inc.   3.750%   10/1/24     400       399  
      BlackRock Inc.   4.250%   5/24/21     6,600       6,818  
      BlackRock Inc.   3.375%   6/1/22     2,825       2,925  
      BlackRock Inc.   3.500%   3/18/24     3,800       4,034  
      Brookfield Finance LLC   4.000%   4/1/24     4,086       4,382  
      Charles Schwab Corp.   3.250%   5/21/21     7,869       8,013  
      Charles Schwab Corp.   3.225%   9/1/22     2,550       2,630  
      Charles Schwab Corp.   2.650%   1/25/23     6,657       6,794  
      Charles Schwab Corp.   3.550%   2/1/24     1,925       2,030  
      E*TRADE Financial Corp.   2.950%   8/24/22     4,450       4,517  
      Eaton Vance Corp.   3.625%   6/15/23     2,350       2,458  
      Franklin Resources Inc.   2.800%   9/15/22     150       154  
      Intercontinental Exchange Inc.   2.750%   12/1/20     4,991       5,022  
      Intercontinental Exchange Inc.   2.350%   9/15/22     1,175       1,187  
      Intercontinental Exchange Inc.   3.450%   9/21/23     4,150       4,345  
      Intercontinental Exchange Inc.   4.000%   10/15/23     4,955       5,284  
      Invesco Finance plc   3.125%   11/30/22     7,825       8,041  
      Invesco Finance plc   4.000%   1/30/24     5,575       5,905  

 

11

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Jefferies Financial Group Inc.   5.500%   10/18/23     8,629       9,390  
      Jefferies Group LLC   6.875%   4/15/21     6,197       6,545  
      Nasdaq Inc.   4.250%   6/1/24     150       162  
      Stifel Financial Corp.   3.500%   12/1/20     3,545       3,583  
      Stifel Financial Corp.   4.250%   7/18/24     1,475       1,554  
      TD Ameritrade Holding Corp.   2.950%   4/1/22     7,008       7,158  
      TD Ameritrade Holding Corp.   3.750%   4/1/24     2,500       2,630  
      Finance Companies (0.3%)                        
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.500%   5/15/21     4,007       4,132  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   5.000%   10/1/21     6,098       6,388  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.450%   12/16/21     5,345       5,559  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.950%   2/1/22     3,674       3,793  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.500%   5/26/22     3,400       3,489  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.625%   7/1/22     3,455       3,649  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.300%   1/23/23     3,880       3,972  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.125%   7/3/23     2,600       2,737  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.875%   1/16/24     3,605       3,907  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   2.875%   8/14/24     3,750       3,783  
      Air Lease Corp.   2.500%   3/1/21     4,475       4,492  
      Air Lease Corp.   3.875%   4/1/21     4,178       4,260  
      Air Lease Corp.   3.375%   6/1/21     2,340       2,375  
      Air Lease Corp.   3.500%   1/15/22     4,250       4,357  
      Air Lease Corp.   3.750%   2/1/22     4,471       4,600  
      Air Lease Corp.   2.625%   7/1/22     3,034       3,061  
      Air Lease Corp.   2.750%   1/15/23     5,685       5,756  
      Air Lease Corp.   3.875%   7/3/23     7,720       8,110  
      Air Lease Corp.   3.000%   9/15/23     4,689       4,798  
      Air Lease Corp.   4.250%   2/1/24     7,015       7,513  
      Air Lease Corp.   4.250%   9/15/24     2,015       2,158  
      Aircastle Ltd.   5.125%   3/15/21     4,040       4,171  
      Aircastle Ltd.   5.500%   2/15/22     2,260       2,400  
      Aircastle Ltd.   5.000%   4/1/23     5,232       5,603  
      Aircastle Ltd.   4.400%   9/25/23     6,900       7,312  
      Ares Capital Corp.   3.625%   1/19/22     3,780       3,846  
      Ares Capital Corp.   3.500%   2/10/23     3,290       3,344  
      Ares Capital Corp.   4.200%   6/10/24     6,925       7,273  
      FS KKR Capital Corp.   4.750%   5/15/22     2,650       2,720  
      FS KKR Capital Corp.   4.625%   7/15/24     2,600       2,695  
      GATX Corp.   3.900%   3/30/23     2,825       2,940  
      International Lease Finance Corp.   8.250%   12/15/20     3,911       4,128  
      International Lease Finance Corp.   4.625%   4/15/21     3,182       3,276  
      International Lease Finance Corp.   8.625%   1/15/22     5,273       5,929  
      International Lease Finance Corp.   5.875%   8/15/22     7,420       8,084  
      Owl Rock Capital Corp.   5.250%   4/15/24     2,230       2,358  
      Prospect Capital Corp.   5.875%   3/15/23     1,000       1,058  
      TPG Specialty Lending Inc.   3.875%   11/1/24     701       705  
      Insurance (0.8%)                        
      AEGON Funding Co. LLC   5.750%   12/15/20     3,543       3,662  
      Aetna Inc.   2.750%   11/15/22     6,388       6,487  
      Aetna Inc.   2.800%   6/15/23     5,738       5,828  
      Aflac Inc.   4.000%   2/15/22     1,907       1,989  
      Aflac Inc.   3.625%   6/15/23     4,700       4,942  
      Aflac Inc.   3.625%   11/15/24     2,163       2,312  

 

12

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Alleghany Corp.   4.950%   6/27/22     4,038       4,290  
3     Allstate Corp.   5.750%   8/15/53     6,710       7,196  
      American International Group Inc.   6.400%   12/15/20     4,900       5,099  
      American International Group Inc.   3.300%   3/1/21     6,380       6,463  
      American International Group Inc.   4.875%   6/1/22     5,090       5,433  
      American International Group Inc.   4.125%   2/15/24     7,726       8,273  
      Anthem Inc.   3.700%   8/15/21     3,920       4,008  
      Anthem Inc.   3.125%   5/15/22     3,896       3,993  
      Anthem Inc.   2.950%   12/1/22     7,305       7,483  
      Anthem Inc.   3.300%   1/15/23     11,412       11,803  
      Anthem Inc.   3.500%   8/15/24     8,019       8,398  
      Anthem Inc.   3.350%   12/1/24     2,279       2,378  
      Aon plc   2.800%   3/15/21     3,078       3,106  
      Aon plc   4.000%   11/27/23     5,980       6,340  
      Aon plc   3.500%   6/14/24     5,720       5,971  
      Aspen Insurance Holdings Ltd.   4.650%   11/15/23     2,100       2,248  
      Assurant Inc.   4.000%   3/15/23     3,600       3,754  
      Assurant Inc.   4.200%   9/27/23     1,500       1,570  
      Assured Guaranty US Holdings Inc.   5.000%   7/1/24     3,700       4,114  
      AXA Equitable Holdings Inc.   3.900%   4/20/23     6,137       6,427  
      Berkshire Hathaway Finance Corp.   4.250%   1/15/21     6,918       7,085  
      Berkshire Hathaway Finance Corp.   3.000%   5/15/22     3,865       3,972  
      Berkshire Hathaway Inc.   2.200%   3/15/21     9,497       9,541  
      Berkshire Hathaway Inc.   3.750%   8/15/21     4,885       5,035  
      Berkshire Hathaway Inc.   3.400%   1/31/22     4,077       4,220  
      Berkshire Hathaway Inc.   3.000%   2/11/23     2,175       2,251  
      Berkshire Hathaway Inc.   2.750%   3/15/23     8,415       8,640  
      Brown & Brown Inc.   4.200%   9/15/24     5,261       5,558  
      Chubb INA Holdings Inc.   2.875%   11/3/22     2,650       2,718  
      Chubb INA Holdings Inc.   2.700%   3/13/23     5,709       5,836  
      Cigna Holding Co.   4.375%   12/15/20     1,675       1,702  
      CNA Financial Corp.   5.750%   8/15/21     2,890       3,054  
      CNA Financial Corp.   3.950%   5/15/24     3,432       3,664  
      Enstar Group Ltd.   4.500%   3/10/22     2,225       2,300  
      Fidelity National Financial Inc.   5.500%   9/1/22     2,035       2,186  
      First American Financial Corp.   4.600%   11/15/24     1,228       1,304  
      Humana Inc.   2.900%   12/15/22     5,231       5,331  
      Humana Inc.   3.850%   10/1/24     6,091       6,468  
      Lincoln National Corp.   4.000%   9/1/23     2,332       2,470  
      Loews Corp.   2.625%   5/15/23     6,835       6,966  
      Markel Corp.   4.900%   7/1/22     1,650       1,757  
      Marsh & McLennan Cos. Inc.   4.800%   7/15/21     3,263       3,383  
      Marsh & McLennan Cos. Inc.   2.750%   1/30/22     2,388       2,426  
      Marsh & McLennan Cos. Inc.   3.300%   3/14/23     3,050       3,148  
      Marsh & McLennan Cos. Inc.   3.875%   3/15/24     8,500       9,043  
      Marsh & McLennan Cos. Inc.   3.500%   6/3/24     2,890       3,030  
      MetLife Inc.   3.048%   12/15/22     4,782       4,948  
      MetLife Inc.   4.368%   9/15/23     4,351       4,706  
      MetLife Inc.   3.600%   4/10/24     6,318       6,729  
      Old Republic International Corp.   4.875%   10/1/24     2,830       3,096  
      Primerica Inc.   4.750%   7/15/22     2,700       2,847  
      Principal Financial Group Inc.   3.300%   9/15/22     1,200       1,236  
      Principal Financial Group Inc.   3.125%   5/15/23     3,275       3,363  
      Progressive Corp.   3.750%   8/23/21     5,954       6,133  
      Prudential Financial Inc.   4.500%   11/16/21     6,760       7,109  
      Prudential Financial Inc.   3.500%   5/15/24     4,600       4,889  
3     Prudential Financial Inc.   5.875%   9/15/42     7,483       8,054  
3     Prudential Financial Inc.   5.625%   6/15/43     7,410       7,966  
      Reinsurance Group of America Inc.   5.000%   6/1/21     3,037       3,152  
      Reinsurance Group of America Inc.   4.700%   9/15/23     3,670       3,981  
      Trinity Acquisition plc   3.500%   9/15/21     1,150       1,170  
      UnitedHealth Group Inc.   4.700%   2/15/21     3,200       3,276  
      UnitedHealth Group Inc.   2.125%   3/15/21     9,336       9,349  
      UnitedHealth Group Inc.   3.150%   6/15/21     5,841       5,942  

 

13

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      UnitedHealth Group Inc.   2.875%   12/15/21     7,340       7,482  
      UnitedHealth Group Inc.   2.875%   3/15/22     7,003       7,134  
      UnitedHealth Group Inc.   3.350%   7/15/22     4,231       4,370  
      UnitedHealth Group Inc.   2.375%   10/15/22     6,319       6,391  
      UnitedHealth Group Inc.   2.750%   2/15/23     5,226       5,323  
      UnitedHealth Group Inc.   2.875%   3/15/23     4,725       4,834  
      UnitedHealth Group Inc.   3.500%   6/15/23     5,250       5,493  
      UnitedHealth Group Inc.   3.500%   2/15/24     1,205       1,269  
      Unum Group   4.000%   3/15/24     2,275       2,401  
3     Voya Financial Inc.   5.650%   5/15/53     6,000       6,330  
      Willis North America Inc.   3.600%   5/15/24     5,605       5,851  
      Willis Towers Watson plc   5.750%   3/15/21     3,146       3,275  
      Other Finance (0.0%)                        
      ORIX Corp.   2.900%   7/18/22     3,445       3,502  
      ORIX Corp.   3.250%   12/4/24     975       1,011  
      Real Estate Investment Trusts (0.6%)                        
      Alexandria Real Estate Equities Inc.   3.900%   6/15/23     5,500       5,773  
      Alexandria Real Estate Equities Inc.   4.000%   1/15/24     3,475       3,695  
      American Campus Communities Operating Partnership LP   3.750%   4/15/23     2,384       2,482  
      American Campus Communities Operating Partnership LP   4.125%   7/1/24     2,700       2,878  
      AvalonBay Communities Inc.   3.950%   1/15/21     1,125       1,145  
      AvalonBay Communities Inc.   2.950%   9/15/22     1,714       1,752  
      AvalonBay Communities Inc.   4.200%   12/15/23     2,600       2,791  
      Boston Properties LP   4.125%   5/15/21     6,674       6,829  
      Boston Properties LP   3.850%   2/1/23     5,421       5,677  
      Boston Properties LP   3.125%   9/1/23     3,275       3,373  
      Brandywine Operating Partnership LP   3.950%   2/15/23     2,775       2,882  
      Brandywine Operating Partnership LP   4.100%   10/1/24     420       442  
      Brixmor Operating Partnership LP   3.875%   8/15/22     5,975       6,221  
      Brixmor Operating Partnership LP   3.250%   9/15/23     3,300       3,399  
      Camden Property Trust   2.950%   12/15/22     3,775       3,848  
      Corporate Office Properties LP   3.700%   6/15/21     1,970       1,992  
      Corporate Office Properties LP   3.600%   5/15/23     2,650       2,719  
      CubeSmart LP   4.375%   12/15/23     1,925       2,047  
      CyrusOne LP / CyrusOne Finance Corp.   2.900%   11/15/24     3,755       3,770  
      Digital Realty Trust LP   3.950%   7/1/22     4,746       4,941  
      Digital Realty Trust LP   3.625%   10/1/22     4,795       4,955  
      Digital Realty Trust LP   2.750%   2/1/23     1,275       1,288  
      Duke Realty LP   3.875%   10/15/22     1,250       1,301  
      Duke Realty LP   3.625%   4/15/23     1,907       1,981  
      Duke Realty LP   3.750%   12/1/24     855       905  
      ERP Operating LP   4.625%   12/15/21     5,351       5,585  
      ERP Operating LP   3.000%   4/15/23     3,873       3,984  
      Essex Portfolio LP   5.200%   3/15/21     1,850       1,905  
      Essex Portfolio LP   3.250%   5/1/23     2,426       2,492  
      Essex Portfolio LP   3.875%   5/1/24     4,231       4,467  
      Healthcare Trust of America Holdings LP   3.700%   4/15/23     1,900       1,963  
      Healthpeak Properties Inc.   3.150%   8/1/22     3,203       3,260  
      Healthpeak Properties Inc.   4.250%   11/15/23     2,535       2,705  
      Healthpeak Properties Inc.   4.200%   3/1/24     1,500       1,600  
      Healthpeak Properties Inc.   3.875%   8/15/24     1,914       2,033  
      Highwoods Realty LP   3.200%   6/15/21     2,000       2,025  
      Host Hotels & Resorts LP   4.750%   3/1/23     1,297       1,383  
      Host Hotels & Resorts LP   3.750%   10/15/23     4,875       5,077  
      Host Hotels & Resorts LP   3.875%   4/1/24     1,475       1,555  
      Kilroy Realty LP   3.450%   12/15/24     1,553       1,613  
      Kimco Realty Corp.   3.200%   5/1/21     4,919       4,987  
      Kimco Realty Corp.   3.400%   11/1/22     2,220       2,291  
      Kimco Realty Corp.   3.125%   6/1/23     1,700       1,738  
      Liberty Property LP   4.125%   6/15/22     2,168       2,264  
      Liberty Property LP   3.375%   6/15/23     2,304       2,392  

 

14

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Liberty Property LP   4.400%   2/15/24     200       216  
      Mid-America Apartments LP   4.300%   10/15/23     2,625       2,798  
      Mid-America Apartments LP   3.750%   6/15/24     700       738  
      National Retail Properties Inc.   3.800%   10/15/22     1,000       1,039  
      National Retail Properties Inc.   3.300%   4/15/23     4,210       4,324  
      National Retail Properties Inc.   3.900%   6/15/24     3,675       3,880  
      Office Properties Income Trust   4.000%   7/15/22     5,000       5,113  
      Omega Healthcare Investors Inc.   4.375%   8/1/23     5,100       5,418  
      Omega Healthcare Investors Inc.   4.950%   4/1/24     3,805       4,162  
      Piedmont Operating Partnership LP   3.400%   6/1/23     1,105       1,129  
      Piedmont Operating Partnership LP   4.450%   3/15/24     1,050       1,115  
      Prologis LP   4.250%   8/15/23     6,600       7,050  
      Public Storage   2.370%   9/15/22     4,250       4,292  
      Realty Income Corp.   3.250%   10/15/22     12,947       13,334  
      Realty Income Corp.   4.650%   8/1/23     2,325       2,513  
      Realty Income Corp.   3.875%   7/15/24     725       772  
      Sabra Health Care LP / Sabra Capital Corp.   4.800%   6/1/24     1,000       1,064  
      Select Income REIT   4.250%   5/15/24     3,450       3,583  
      Service Properties Trust   4.250%   2/15/21     3,305       3,346  
      Service Properties Trust   5.000%   8/15/22     3,857       4,032  
      Service Properties Trust   4.500%   6/15/23     2,866       2,966  
      Service Properties Trust   4.350%   10/1/24     5,716       5,862  
      Simon Property Group LP   2.500%   7/15/21     2,950       2,971  
      Simon Property Group LP   2.350%   1/30/22     4,724       4,758  
      Simon Property Group LP   2.625%   6/15/22     5,125       5,201  
      Simon Property Group LP   2.750%   6/1/23     8,080       8,248  
      Simon Property Group LP   2.000%   9/13/24     4,820       4,751  
      Simon Property Group LP   3.375%   10/1/24     6,656       6,987  
      SITE Centers Corp.   4.625%   7/15/22     2,145       2,239  
      SL Green Operating Partnership LP   3.250%   10/15/22     2,350       2,402  
      SL Green Realty Corp.   4.500%   12/1/22     1,225       1,291  
      Ventas Realty LP   3.100%   1/15/23     1,760       1,801  
      Ventas Realty LP   3.125%   6/15/23     3,863       3,953  
      Ventas Realty LP   3.500%   4/15/24     3,000       3,130  
      Ventas Realty LP   3.750%   5/1/24     925       971  
      Ventas Realty LP / Ventas Capital Corp.   3.250%   8/15/22     3,130       3,204  
      VEREIT Operating Partnership LP   4.600%   2/6/24     6,766       7,287  
      Weingarten Realty Investors   3.500%   4/15/23     1,250       1,283  
      Weingarten Realty Investors   3.850%   6/1/25     3,500       3,638  
      Welltower Inc.   3.750%   3/15/23     3,975       4,137  
      Welltower Inc.   3.950%   9/1/23     3,770       3,976  
      Welltower Inc.   3.625%   3/15/24     7,050       7,381  
      WP Carey Inc.   4.600%   4/1/24     1,333       1,428  
                            5,279,633  
Industrial (13.5%)
      Basic Industry (0.6%)                        
      Air Products & Chemicals Inc.   3.000%   11/3/21     2,350       2,398  
      Air Products & Chemicals Inc.   3.350%   7/31/24     3,760       3,957  
      Airgas Inc.   3.650%   7/15/24     1,800       1,909  
      Albemarle Corp.   4.150%   12/1/24     3,098       3,305  
      ArcelorMittal   6.250%   2/25/22     6,500       7,004  
      ArcelorMittal   3.600%   7/16/24     3,500       3,583  
      BHP Billiton Finance USA Ltd.   2.875%   2/24/22     5,000       5,090  
      BHP Billiton Finance USA Ltd.   3.850%   9/30/23     4,875       5,187  
      Braskem Finance Ltd.   6.450%   2/3/24     5,050       5,623  
      Cabot Corp.   3.700%   7/15/22     2,840       2,923  
      Celanese US Holdings LLC   5.875%   6/15/21     6,182       6,485  
      Celanese US Holdings LLC   3.500%   5/8/24     2,000       2,066  
      Celulosa Arauco y Constitucion SA   4.500%   8/1/24     3,300       3,473  
      Dow Chemical Co.   3.000%   11/15/22     15,471       15,832  
      Dow Chemical Co.   3.500%   10/1/24     1,004       1,051  
      DuPont de Nemours Inc.   4.205%   11/15/23     6,670       7,130  
      Eastman Chemical Co.   3.500%   12/1/21     5,239       5,374  

 

15

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Eastman Chemical Co.   3.600%   8/15/22     4,744       4,908  
      Ecolab Inc.   4.350%   12/8/21     6,602       6,907  
      Ecolab Inc.   2.375%   8/10/22     5,800       5,853  
      Ecolab Inc.   3.250%   1/14/23     1,750       1,807  
      Fibria Overseas Finance Ltd.   5.250%   5/12/24     4,000       4,330  
      FMC Corp.   3.950%   2/1/22     3,235       3,333  
      Goldcorp Inc.   3.625%   6/9/21     100       101  
      International Paper Co.   7.500%   8/15/21     4,731       5,131  
      International Paper Co.   3.650%   6/15/24     4,160       4,375  
      Kinross Gold Corp.   5.125%   9/1/21     3,440       3,578  
      Kinross Gold Corp.   5.950%   3/15/24     1,425       1,585  
      LyondellBasell Industries NV   6.000%   11/15/21     15,041       15,985  
      LyondellBasell Industries NV   5.750%   4/15/24     6,500       7,321  
      Methanex Corp.   4.250%   12/1/24     735       755  
      Mosaic Co.   3.750%   11/15/21     3,870       3,961  
      Mosaic Co.   3.250%   11/15/22     5,785       5,932  
      Mosaic Co.   4.250%   11/15/23     7,300       7,779  
      NewMarket Corp.   4.100%   12/15/22     1,875       1,970  
      Newmont Corp.   3.625%   6/9/21     5,400       5,507  
      Newmont Corp.   3.500%   3/15/22     3,596       3,691  
      Newmont Corp.   3.700%   3/15/23     5,326       5,568  
      Nucor Corp.   4.125%   9/15/22     3,760       3,942  
      Nucor Corp.   4.000%   8/1/23     7,264       7,685  
      Nutrien Ltd.   3.150%   10/1/22     4,791       4,888  
      Nutrien Ltd.   3.500%   6/1/23     7,198       7,425  
      Packaging Corp. of America   4.500%   11/1/23     5,582       6,005  
      PPG Industries Inc.   2.400%   8/15/24     2,000       2,015  
      Praxair Inc.   4.050%   3/15/21     2,665       2,736  
      Praxair Inc.   3.000%   9/1/21     3,495       3,559  
      Praxair Inc.   2.450%   2/15/22     4,059       4,107  
      Praxair Inc.   2.200%   8/15/22     4,295       4,325  
      Praxair Inc.   2.700%   2/21/23     2,310       2,357  
      Rayonier Inc.   3.750%   4/1/22     1,550       1,567  
      Sasol Financing International Ltd.   4.500%   11/14/22     6,800       7,023  
      SASOL Financing USA LLC   5.875%   3/27/24     9,950       10,783  
      Sherwin-Williams Co.   4.200%   1/15/22     100       104  
      Sherwin-Williams Co.   2.750%   6/1/22     5,818       5,916  
      Sherwin-Williams Co.   3.125%   6/1/24     5,250       5,421  
      Southern Copper Corp.   3.500%   11/8/22     2,025       2,091  
      Steel Dynamics Inc.   2.800%   12/15/24     5,500       5,541  
      WestRock RKT Co.   4.900%   3/1/22     165       174  
      Weyerhaeuser Co.   4.700%   3/15/21     5,158       5,290  
      Capital Goods (1.3%)                        
      3M Co.   1.625%   9/19/21     3,485       3,475  
      3M Co.   2.750%   3/1/22     5,425       5,526  
      3M Co.   2.000%   6/26/22     3,090       3,108  
      3M Co.   1.750%   2/14/23     3,100       3,082  
      3M Co.   2.250%   3/15/23     5,250       5,295  
      3M Co.   3.250%   2/14/24     2,900       3,032  
      ABB Finance USA Inc.   2.875%   5/8/22     7,768       7,926  
      Allegion US Holding Co. Inc.   3.200%   10/1/24     1,949       2,000  
4     Bemis Co. Inc.   4.500%   10/15/21     3,050       3,140  
      Boeing Co.   2.300%   8/1/21     1,265       1,272  
      Boeing Co.   8.750%   8/15/21     1,000       1,106  
      Boeing Co.   2.350%   10/30/21     5,150       5,190  
      Boeing Co.   2.125%   3/1/22     3,010       3,015  
      Boeing Co.   2.700%   5/1/22     3,300       3,346  
      Boeing Co.   2.800%   3/1/23     2,500       2,546  
      Boeing Co.   1.875%   6/15/23     5,010       4,973  
      Boeing Co.   2.850%   10/30/24     2,500       2,559  
      Carlisle Cos. Inc.   3.750%   11/15/22     2,650       2,733  
      Carlisle Cos. Inc.   3.500%   12/1/24     1,022       1,061  
      Caterpillar Financial Services Corp.   3.350%   12/7/20     700       709  

 

16

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Caterpillar Financial Services Corp.   2.650%   5/17/21     2,950       2,980  
      Caterpillar Financial Services Corp.   1.700%   8/9/21     8,100       8,072  
      Caterpillar Financial Services Corp.   3.150%   9/7/21     2,000       2,040  
      Caterpillar Financial Services Corp.   1.931%   10/1/21     6,438       6,446  
      Caterpillar Financial Services Corp.   2.950%   2/26/22     5,600       5,722  
      Caterpillar Financial Services Corp.   2.850%   6/1/22     5,670       5,788  
      Caterpillar Financial Services Corp.   2.400%   6/6/22     3,700       3,740  
      Caterpillar Financial Services Corp.   2.550%   11/29/22     5,525       5,626  
      Caterpillar Financial Services Corp.   3.450%   5/15/23     5,000       5,230  
      Caterpillar Financial Services Corp.   3.750%   11/24/23     5,215       5,557  
      Caterpillar Financial Services Corp.   3.650%   12/7/23     3,525       3,736  
      Caterpillar Financial Services Corp.   2.850%   5/17/24     3,500       3,613  
      Caterpillar Financial Services Corp.   3.300%   6/9/24     2,475       2,603  
      Caterpillar Financial Services Corp.   2.150%   11/8/24     4,200       4,210  
      Caterpillar Financial Services Corp.   3.250%   12/1/24     7,123       7,511  
      Caterpillar Inc.   3.900%   5/27/21     5,620       5,769  
      Caterpillar Inc.   2.600%   6/26/22     5,286       5,365  
      Caterpillar Inc.   3.400%   5/15/24     2,646       2,796  
      CNH Industrial Capital LLC   4.875%   4/1/21     6,420       6,624  
      CNH Industrial Capital LLC   3.875%   10/15/21     2,295       2,356  
      CNH Industrial Capital LLC   4.375%   4/5/22     5,560       5,800  
      CNH Industrial Capital LLC   4.200%   1/15/24     3,650       3,864  
      CNH Industrial NV   4.500%   8/15/23     5,770       6,148  
      Crane Co.   4.450%   12/15/23     2,500       2,661  
      Deere & Co.   2.600%   6/8/22     8,558       8,696  
      Eaton Corp.   2.750%   11/2/22     6,902       7,041  
4     Embraer Overseas Ltd.   5.696%   9/16/23     1,400       1,534  
      Emerson Electric Co.   2.625%   12/1/21     5,980       6,080  
      Emerson Electric Co.   2.625%   2/15/23     1,525       1,559  
      Flowserve Corp.   3.500%   9/15/22     4,625       4,675  
      Fortive Corp.   2.350%   6/15/21     4,650       4,662  
      Fortune Brands Home & Security Inc.   4.000%   9/21/23     3,700       3,908  
      General Dynamics Corp.   3.000%   5/11/21     9,705       9,860  
      General Dynamics Corp.   3.875%   7/15/21     3,955       4,067  
      General Dynamics Corp.   2.250%   11/15/22     1,273       1,286  
      General Dynamics Corp.   3.375%   5/15/23     8,459       8,831  
      General Dynamics Corp.   1.875%   8/15/23     5,856       5,861  
      General Dynamics Corp.   2.375%   11/15/24     5,000       5,083  
      General Electric Co.   4.625%   1/7/21     9,036       9,243  
      General Electric Co.   5.300%   2/11/21     8,587       8,861  
      General Electric Co.   4.650%   10/17/21     8,902       9,274  
      General Electric Co.   2.700%   10/9/22     9,166       9,290  
      General Electric Co.   3.100%   1/9/23     8,325       8,498  
      General Electric Co.   3.375%   3/11/24     12,855       13,302  
      General Electric Co.   3.450%   5/15/24     5,800       6,016  
      Honeywell International Inc.   4.250%   3/1/21     5,392       5,554  
      Honeywell International Inc.   1.850%   11/1/21     7,190       7,203  
      Honeywell International Inc.   2.150%   8/8/22     3,150       3,180  
      Honeywell International Inc.   2.300%   8/15/24     6,450       6,536  
      Illinois Tool Works Inc.   3.375%   9/15/21     4,450       4,549  
      Illinois Tool Works Inc.   3.500%   3/1/24     8,565       9,065  
      Ingersoll-Rand Global Holding Co. Ltd.   4.250%   6/15/23     8,701       9,295  
      John Deere Capital Corp.   2.550%   1/8/21     2,250       2,262  
      John Deere Capital Corp.   2.800%   3/4/21     3,000       3,032  
      John Deere Capital Corp.   2.875%   3/12/21     3,825       3,867  
      John Deere Capital Corp.   3.900%   7/12/21     3,585       3,695  
      John Deere Capital Corp.   3.125%   9/10/21     1,345       1,374  
      John Deere Capital Corp.   3.150%   10/15/21     2,615       2,674  
      John Deere Capital Corp.   2.650%   1/6/22     4,702       4,778  
      John Deere Capital Corp.   2.950%   4/1/22     3,650       3,735  
      John Deere Capital Corp.   1.950%   6/13/22     2,900       2,902  
      John Deere Capital Corp.   2.150%   9/8/22     5,820       5,857  
      John Deere Capital Corp.   2.700%   1/6/23     6,950       7,101  
      John Deere Capital Corp.   2.800%   1/27/23     5,800       5,941  

 

17

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      John Deere Capital Corp.   2.800%   3/6/23     6,873       7,049  
      John Deere Capital Corp.   3.450%   6/7/23     4,515       4,723  
      John Deere Capital Corp.   3.650%   10/12/23     3,700       3,920  
      John Deere Capital Corp.   3.450%   1/10/24     1,675       1,764  
      John Deere Capital Corp.   2.600%   3/7/24     3,200       3,269  
      John Deere Capital Corp.   2.650%   6/24/24     6,250       6,399  
4     L3Harris Technologies Inc.   4.950%   2/15/21     5,516       5,650  
4     L3Harris Technologies Inc.   3.850%   6/15/23     7,208       7,586  
4     L3Harris Technologies Inc.   3.950%   5/28/24     3,075       3,261  
      Leggett & Platt Inc.   3.800%   11/15/24     1,007       1,053  
      Lennox International Inc.   3.000%   11/15/23     2,000       2,033  
      Lockheed Martin Corp.   3.350%   9/15/21     6,116       6,270  
      Lockheed Martin Corp.   3.100%   1/15/23     3,019       3,120  
      Martin Marietta Materials Inc.   4.250%   7/2/24     1,500       1,605  
      Masco Corp.   3.500%   4/1/21     3,040       3,079  
      Mohawk Industries Inc.   3.850%   2/1/23     4,325       4,503  
      Northrop Grumman Corp.   3.500%   3/15/21     5,951       6,061  
      Northrop Grumman Corp.   2.550%   10/15/22     2,358       2,393  
      Northrop Grumman Corp.   3.250%   8/1/23     7,383       7,674  
      Nvent Finance Sarl   3.950%   4/15/23     1,137       1,153  
      Owens Corning   4.200%   12/1/24     1,691       1,791  
      Parker-Hannifin Corp.   2.700%   6/14/24     5,450       5,523  
      Parker-Hannifin Corp.   3.300%   11/21/24     5,481       5,729  
      Precision Castparts Corp.   2.500%   1/15/23     9,135       9,295  
      Raytheon Co.   2.500%   12/15/22     2,363       2,410  
      Republic Services Inc.   5.250%   11/15/21     2,729       2,894  
      Republic Services Inc.   3.550%   6/1/22     9,319       9,628  
      Republic Services Inc.   4.750%   5/15/23     2,513       2,706  
      Rockwell Collins Inc.   2.800%   3/15/22     8,112       8,251  
      Rockwell Collins Inc.   3.700%   12/15/23     2,210       2,327  
      Rockwell Collins Inc.   3.200%   3/15/24     7,475       7,779  
      Roper Technologies Inc.   3.000%   12/15/20     4,387       4,427  
      Roper Technologies Inc.   2.800%   12/15/21     4,651       4,717  
      Roper Technologies Inc.   3.125%   11/15/22     4,412       4,529  
      Roper Technologies Inc.   2.350%   9/15/24     5,825       5,856  
      Spirit AeroSystems Inc.   3.950%   6/15/23     7,945       8,177  
      Stanley Black & Decker Inc.   3.400%   12/1/21     4,000       4,086  
      Stanley Black & Decker Inc.   2.900%   11/1/22     4,130       4,229  
      Textron Inc.   4.300%   3/1/24     1,000       1,068  
      Timken Co.   3.875%   9/1/24     275       287  
      United Technologies Corp.   3.350%   8/16/21     7,314       7,484  
      United Technologies Corp.   1.950%   11/1/21     7,029       7,038  
      United Technologies Corp.   2.300%   5/4/22     1,200       1,209  
      United Technologies Corp.   3.100%   6/1/22     10,496       10,776  
      United Technologies Corp.   3.650%   8/16/23     19,435       20,473  
      United Technologies Corp.   2.800%   5/4/24     4,200       4,316  
      Wabtec Corp.   4.400%   3/15/24     4,875       5,167  
      Waste Management Inc.   4.600%   3/1/21     2,678       2,746  
      Waste Management Inc.   2.900%   9/15/22     5,787       5,918  
      Waste Management Inc.   2.400%   5/15/23     4,304       4,343  
      Waste Management Inc.   2.950%   6/15/24     4,725       4,873  
      Xylem Inc.   4.875%   10/1/21     5,384       5,640  
      Communication (1.4%)                        
      Activision Blizzard Inc.   2.300%   9/15/21     7,000       7,031  
      America Movil SAB de CV   3.125%   7/16/22     10,263       10,467  
      American Tower Corp.   3.300%   2/15/21     3,500       3,543  
      American Tower Corp.   3.450%   9/15/21     4,954       5,073  
      American Tower Corp.   5.900%   11/1/21     6,279       6,708  
      American Tower Corp.   2.250%   1/15/22     3,660       3,671  
      American Tower Corp.   4.700%   3/15/22     3,635       3,828  
      American Tower Corp.   3.500%   1/31/23     7,407       7,673  
      American Tower Corp.   3.000%   6/15/23     4,250       4,346  
      American Tower Corp.   5.000%   2/15/24     4,841       5,326  

 

18

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      American Tower Corp.   3.375%   5/15/24     4,900       5,079  
      AT&T Inc.   4.600%   2/15/21     4,100       4,194  
      AT&T Inc.   2.800%   2/17/21     16,063       16,193  
      AT&T Inc.   4.450%   5/15/21     8,285       8,566  
      AT&T Inc.   3.875%   8/15/21     10,361       10,667  
      AT&T Inc.   3.000%   2/15/22     8,446       8,605  
      AT&T Inc.   3.200%   3/1/22     9,605       9,838  
      AT&T Inc.   3.800%   3/15/22     6,021       6,247  
      AT&T Inc.   3.400%   6/15/22     4,100       4,222  
      AT&T Inc.   3.000%   6/30/22     8,168       8,348  
      AT&T Inc.   3.600%   2/17/23     7,700       8,034  
      AT&T Inc.   4.050%   12/15/23     3,600       3,849  
      AT&T Inc.   3.800%   3/1/24     5,376       5,676  
      AT&T Inc.   4.450%   4/1/24     8,113       8,784  
      AT&T Inc.   3.550%   6/1/24     11,719       12,319  
      British Telecommunications plc   4.500%   12/4/23     4,700       5,061  
      CC Holdings GS V LLC / Crown Castle GS III Corp.   3.849%   4/15/23     12,635       13,226  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.464%   7/23/22     6,929       7,283  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.500%   2/1/24     9,049       9,734  
      Comcast Cable Communications Holdings Inc.   9.455%   11/15/22     7,639       9,227  
      Comcast Corp.   3.450%   10/1/21     15,258       15,689  
      Comcast Corp.   1.625%   1/15/22     4,956       4,941  
      Comcast Corp.   3.125%   7/15/22     4,724       4,870  
      Comcast Corp.   2.750%   3/1/23     7,650       7,818  
      Comcast Corp.   3.000%   2/1/24     6,250       6,476  
      Comcast Corp.   3.600%   3/1/24     6,523       6,907  
      Comcast Corp.   3.700%   4/15/24     15,195       16,165  
      Crown Castle International Corp.   3.400%   2/15/21     5,960       6,048  
      Crown Castle International Corp.   2.250%   9/1/21     6,121       6,127  
      Crown Castle International Corp.   4.875%   4/15/22     6,091       6,441  
      Crown Castle International Corp.   5.250%   1/15/23     9,584       10,389  
      Crown Castle International Corp.   3.200%   9/1/24     7,050       7,258  
      Discovery Communications LLC   4.375%   6/15/21     2,753       2,835  
      Discovery Communications LLC   3.300%   5/15/22     4,628       4,747  
      Discovery Communications LLC   3.500%   6/15/22     6,807       6,983  
      Discovery Communications LLC   2.950%   3/20/23     10,000       10,185  
      Discovery Communications LLC   3.250%   4/1/23     1,950       2,004  
      Discovery Communications LLC   3.800%   3/13/24     1,100       1,158  
      Discovery Communications LLC   3.900%   11/15/24     3,000       3,182  
      Electronic Arts Inc.   3.700%   3/1/21     4,600       4,680  
4     Fox Corp.   3.666%   1/25/22     3,920       4,048  
4     Fox Corp.   4.030%   1/25/24     8,600       9,159  
      Interpublic Group of Cos. Inc.   3.750%   10/1/21     4,912       5,038  
      Interpublic Group of Cos. Inc.   3.750%   2/15/23     5,700       5,953  
      Interpublic Group of Cos. Inc.   4.200%   4/15/24     7,025       7,546  
      Moody's Corp.   3.250%   6/7/21     4,320       4,392  
      Moody's Corp.   2.750%   12/15/21     3,991       4,048  
      Moody's Corp.   2.625%   1/15/23     2,473       2,509  
      Moody's Corp.   4.875%   2/15/24     225       247  
      NBCUniversal Media LLC   4.375%   4/1/21     12,858       13,258  
      NBCUniversal Media LLC   2.875%   1/15/23     8,679       8,907  
      Omnicom Group Inc. / Omnicom Capital Inc.   3.625%   5/1/22     8,875       9,178  
      Omnicom Group Inc. / Omnicom Capital Inc.   3.650%   11/1/24     8,563       9,006  
      Orange SA   4.125%   9/14/21     9,928       10,291  
      RELX Capital Inc.   3.125%   10/15/22     4,007       4,143  
      RELX Capital Inc.   3.500%   3/16/23     4,688       4,866  
      Rogers Communications Inc.   3.000%   3/15/23     650       666  
      Rogers Communications Inc.   4.100%   10/1/23     7,600       8,098  
      Telefonica Emisiones SAU   5.462%   2/16/21     11,029       11,443  
      Telefonica Emisiones SAU   4.570%   4/27/23     2,250       2,418  
      Thomson Reuters Corp.   4.300%   11/23/23     4,200       4,506  
      Time Warner Cable LLC   4.125%   2/15/21     5,495       5,581  

 

19

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Time Warner Cable LLC   4.000%   9/1/21     7,029       7,196  
      Time Warner Entertainment Co. LP   8.375%   3/15/23     4,051       4,785  
      Verizon Communications Inc.   3.450%   3/15/21     10,315       10,513  
      Verizon Communications Inc.   4.600%   4/1/21     8,857       9,154  
      Verizon Communications Inc.   2.946%   3/15/22     1,200       1,225  
      Verizon Communications Inc.   3.125%   3/16/22     12,953       13,277  
      Verizon Communications Inc.   2.450%   11/1/22     9,125       9,239  
      Verizon Communications Inc.   5.150%   9/15/23     23,577       26,137  
      Verizon Communications Inc.   4.150%   3/15/24     1,023       1,101  
      Verizon Communications Inc.   3.500%   11/1/24     6,786       7,182  
      ViacomCBS Inc.   3.875%   12/15/21     4,141       4,283  
      ViacomCBS Inc.   3.375%   3/1/22     2,620       2,680  
      ViacomCBS Inc.   2.500%   2/15/23     3,300       3,334  
      ViacomCBS Inc.   2.900%   6/1/23     2,725       2,773  
      ViacomCBS Inc.   4.250%   9/1/23     8,310       8,845  
      ViacomCBS Inc.   3.875%   4/1/24     4,259       4,505  
      ViacomCBS Inc.   3.700%   8/15/24     2,625       2,768  
      Vodafone Group plc   3.750%   1/16/24     12,156       12,820  
      Walt Disney Co.   2.300%   2/12/21     5,000       5,026  
      Walt Disney Co.   4.500%   2/15/21     7,810       8,036  
      Walt Disney Co.   3.750%   6/1/21     3,941       4,045  
      Walt Disney Co.   2.750%   8/16/21     5,725       5,806  
      Walt Disney Co.   2.550%   2/15/22     1,850       1,878  
      Walt Disney Co.   2.450%   3/4/22     4,330       4,395  
      Walt Disney Co.   3.000%   9/15/22     6,425       6,616  
      Walt Disney Co.   1.750%   8/30/24     5,000       4,944  
      Walt Disney Co.   3.700%   9/15/24     3,500       3,740  
      Weibo Corp.   3.500%   7/5/24     4,900       4,995  
      WPP Finance 2010   3.625%   9/7/22     3,283       3,395  
      WPP Finance 2010   3.750%   9/19/24     4,598       4,836  
      Consumer Cyclical (2.2%)                        
      Advance Auto Parts Inc.   4.500%   12/1/23     2,821       3,025  
      Alibaba Group Holding Ltd.   3.125%   11/28/21     9,200       9,379  
      Alibaba Group Holding Ltd.   2.800%   6/6/23     2,000       2,031  
      Alibaba Group Holding Ltd.   3.600%   11/28/24     15,000       15,756  
      Amazon.com Inc.   3.300%   12/5/21     8,330       8,564  
      Amazon.com Inc.   2.500%   11/29/22     6,346       6,467  
      Amazon.com Inc.   2.400%   2/22/23     5,285       5,362  
      Amazon.com Inc.   2.800%   8/22/24     12,100       12,522  
      Amazon.com Inc.   3.800%   12/5/24     4,440       4,798  
      American Honda Finance Corp.   3.150%   1/8/21     2,889       2,924  
      American Honda Finance Corp.   2.650%   2/12/21     4,978       5,024  
      American Honda Finance Corp.   1.650%   7/12/21     9,219       9,190  
      American Honda Finance Corp.   1.700%   9/9/21     7,153       7,134  
      American Honda Finance Corp.   3.375%   12/10/21     3,070       3,162  
      American Honda Finance Corp.   1.950%   5/20/22     1,500       1,505  
      American Honda Finance Corp.   2.600%   11/16/22     7,050       7,185  
      American Honda Finance Corp.   2.050%   1/10/23     4,349       4,362  
      American Honda Finance Corp.   3.450%   7/14/23     4,237       4,432  
      American Honda Finance Corp.   3.625%   10/10/23     2,520       2,658  
      American Honda Finance Corp.   2.900%   2/16/24     7,415       7,629  
      American Honda Finance Corp.   2.400%   6/27/24     4,440       4,492  
      American Honda Finance Corp.   2.150%   9/10/24     3,800       3,801  
      Aptiv Corp.   4.150%   3/15/24     2,392       2,530  
      AutoNation Inc.   3.350%   1/15/21     5,650       5,699  
      AutoNation Inc.   3.500%   11/15/24     1,372       1,413  
      AutoZone Inc.   3.700%   4/15/22     1,591       1,641  
      AutoZone Inc.   2.875%   1/15/23     6,600       6,716  
      AutoZone Inc.   3.125%   4/18/24     4,000       4,154  
      Best Buy Co. Inc.   5.500%   3/15/21     1,650       1,701  
      Block Financial LLC   5.500%   11/1/22     2,500       2,675  
      Booking Holdings Inc.   2.750%   3/15/23     8,678       8,855  
      Choice Hotels International Inc.   5.750%   7/1/22     2,750       2,966  

 

20

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Costco Wholesale Corp.   2.150%   5/18/21     8,145       8,183  
      Costco Wholesale Corp.   2.250%   2/15/22     2,883       2,912  
      Costco Wholesale Corp.   2.300%   5/18/22     6,756       6,838  
      Costco Wholesale Corp.   2.750%   5/18/24     3,852       3,972  
      Cummins Inc.   3.650%   10/1/23     3,391       3,586  
      Dollar General Corp.   3.250%   4/15/23     5,310       5,482  
      Dollar Tree Inc.   3.700%   5/15/23     8,087       8,416  
      DR Horton Inc.   2.550%   12/1/20     7,283       7,316  
      DR Horton Inc.   4.375%   9/15/22     1,119       1,173  
      DR Horton Inc.   4.750%   2/15/23     3,325       3,538  
      DR Horton Inc.   2.500%   10/15/24     3,150       3,150  
      eBay Inc.   2.875%   8/1/21     5,075       5,134  
      eBay Inc.   3.800%   3/9/22     5,502       5,686  
      eBay Inc.   2.600%   7/15/22     5,603       5,652  
      eBay Inc.   2.750%   1/30/23     4,634       4,699  
      eBay Inc.   3.450%   8/1/24     4,000       4,167  
      Expedia Group Inc.   4.500%   8/15/24     3,110       3,326  
      Ford Motor Credit Co. LLC   2.343%   11/2/20     10,100       10,079  
      Ford Motor Credit Co. LLC   3.200%   1/15/21     6,615       6,638  
      Ford Motor Credit Co. LLC   5.750%   2/1/21     9,525       9,819  
      Ford Motor Credit Co. LLC   3.336%   3/18/21     9,790       9,861  
      Ford Motor Credit Co. LLC   5.875%   8/2/21     9,950       10,404  
      Ford Motor Credit Co. LLC   3.813%   10/12/21     9,025       9,175  
      Ford Motor Credit Co. LLC   5.596%   1/7/22     9,202       9,683  
      Ford Motor Credit Co. LLC   3.219%   1/9/22     4,066       4,090  
      Ford Motor Credit Co. LLC   3.339%   3/28/22     9,650       9,732  
      Ford Motor Credit Co. LLC   2.979%   8/3/22     9,425       9,428  
      Ford Motor Credit Co. LLC   4.250%   9/20/22     9,985       10,313  
      Ford Motor Credit Co. LLC   3.350%   11/1/22     8,250       8,326  
      Ford Motor Credit Co. LLC   3.096%   5/4/23     2,135       2,127  
      Ford Motor Credit Co. LLC   4.375%   8/6/23     6,100       6,323  
      Ford Motor Credit Co. LLC   3.810%   1/9/24     4,650       4,716  
      Ford Motor Credit Co. LLC   5.584%   3/18/24     3,630       3,915  
      Ford Motor Credit Co. LLC   3.664%   9/8/24     2,455       2,457  
      Ford Motor Credit Co. LLC   4.063%   11/1/24     13,673       13,944  
      General Motors Co.   4.875%   10/2/23     4,704       5,049  
      General Motors Financial Co. Inc.   4.200%   3/1/21     10,014       10,224  
      General Motors Financial Co. Inc.   3.550%   4/9/21     7,590       7,708  
      General Motors Financial Co. Inc.   3.200%   7/6/21     12,724       12,878  
      General Motors Financial Co. Inc.   4.375%   9/25/21     7,719       7,993  
      General Motors Financial Co. Inc.   4.200%   11/6/21     5,200       5,377  
      General Motors Financial Co. Inc.   3.450%   1/14/22     12,936       13,236  
      General Motors Financial Co. Inc.   3.450%   4/10/22     13,567       13,876  
      General Motors Financial Co. Inc.   3.150%   6/30/22     5,563       5,665  
      General Motors Financial Co. Inc.   3.550%   7/8/22     7,000       7,202  
      General Motors Financial Co. Inc.   3.250%   1/5/23     2,775       2,830  
      General Motors Financial Co. Inc.   3.700%   5/9/23     8,215       8,469  
      General Motors Financial Co. Inc.   4.250%   5/15/23     6,421       6,759  
      General Motors Financial Co. Inc.   4.150%   6/19/23     21,575       22,677  
      General Motors Financial Co. Inc.   5.100%   1/17/24     7,315       7,937  
      General Motors Financial Co. Inc.   3.500%   11/7/24     5,235       5,387  
      GLP Capital LP / GLP Financing II Inc.   4.375%   4/15/21     2,150       2,189  
      GLP Capital LP / GLP Financing II Inc.   3.350%   9/1/24     1,560       1,593  
      Home Depot Inc.   2.000%   4/1/21     9,493       9,517  
      Home Depot Inc.   4.400%   4/1/21     9,033       9,263  
      Home Depot Inc.   3.250%   3/1/22     5,120       5,288  
      Home Depot Inc.   2.625%   6/1/22     9,735       9,927  
      Home Depot Inc.   2.700%   4/1/23     7,084       7,254  
      Home Depot Inc.   3.750%   2/15/24     2,746       2,934  
      IHS Markit Ltd.   4.125%   8/1/23     1,565       1,659  
      IHS Markit Ltd.   3.625%   5/1/24     2,000       2,075  
      JD.com Inc.   3.125%   4/29/21     3,700       3,718  
      Kohl's Corp.   3.250%   2/1/23     1,490       1,515  
      Las Vegas Sands Corp.   3.200%   8/8/24     10,500       10,832  

 

21

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Lowe's Cos. Inc.   3.750%   4/15/21     2,908       2,958  
      Lowe's Cos. Inc.   3.800%   11/15/21     3,232       3,326  
      Lowe's Cos. Inc.   3.120%   4/15/22     2,803       2,869  
      Lowe's Cos. Inc.   3.875%   9/15/23     6,100       6,456  
      Lowe's Cos. Inc.   3.125%   9/15/24     3,641       3,781  
      Macy's Retail Holdings Inc.   3.450%   1/15/21     3,050       3,076  
      Macy's Retail Holdings Inc.   3.875%   1/15/22     460       469  
      Macy's Retail Holdings Inc.   2.875%   2/15/23     9,425       9,382  
      Magna International Inc.   3.625%   6/15/24     6,350       6,671  
      Marriott International Inc.   2.875%   3/1/21     1,625       1,641  
      Marriott International Inc.   3.125%   10/15/21     4,125       4,191  
      Marriott International Inc.   2.300%   1/15/22     4,763       4,782  
      Marriott International Inc.   3.250%   9/15/22     3,804       3,903  
      Marriott International Inc.   2.125%   10/3/22     2,100       2,099  
      Marriott International Inc.   3.600%   4/15/24     4,200       4,414  
      Mastercard Inc.   2.000%   11/21/21     7,725       7,762  
      Mastercard Inc.   3.375%   4/1/24     4,293       4,550  
      McDonald's Corp.   2.750%   12/9/20     5,125       5,157  
      McDonald's Corp.   3.625%   5/20/21     7,063       7,223  
      McDonald's Corp.   2.625%   1/15/22     9,592       9,722  
      McDonald's Corp.   3.350%   4/1/23     2,517       2,621  
      Nordstrom Inc.   4.000%   10/15/21     3,054       3,133  
      NVR Inc.   3.950%   9/15/22     3,907       4,072  
      O'Reilly Automotive Inc.   4.875%   1/14/21     3,510       3,587  
      O'Reilly Automotive Inc.   4.625%   9/15/21     2,285       2,367  
      O'Reilly Automotive Inc.   3.850%   6/15/23     6,633       6,934  
      PACCAR Financial Corp.   2.050%   11/13/20     1,000       1,001  
      PACCAR Financial Corp.   2.250%   2/25/21     2,725       2,736  
      PACCAR Financial Corp.   2.800%   3/1/21     3,068       3,102  
      PACCAR Financial Corp.   3.150%   8/9/21     3,485       3,554  
      PACCAR Financial Corp.   2.850%   3/1/22     2,655       2,710  
      PACCAR Financial Corp.   2.650%   5/10/22     3,400       3,463  
      PACCAR Financial Corp.   2.000%   9/26/22     825       829  
      PACCAR Financial Corp.   3.400%   8/9/23     2,927       3,055  
      PACCAR Financial Corp.   2.150%   8/15/24     1,200       1,197  
      QVC Inc.   4.375%   3/15/23     7,844       8,082  
      QVC Inc.   4.850%   4/1/24     3,950       4,146  
      Royal Caribbean Cruises Ltd.   5.250%   11/15/22     4,750       5,124  
      Sands China Ltd.   4.600%   8/8/23     9,325       9,803  
      Starbucks Corp.   2.100%   2/4/21     5,220       5,227  
      Starbucks Corp.   2.700%   6/15/22     2,746       2,798  
      Starbucks Corp.   3.100%   3/1/23     8,325       8,589  
      Starbucks Corp.   3.850%   10/1/23     6,575       6,965  
      Tapestry Inc.   3.000%   7/15/22     2,800       2,835  
      Target Corp.   2.900%   1/15/22     7,803       7,983  
      Target Corp.   3.500%   7/1/24     550       589  
      TJX Cos. Inc.   2.750%   6/15/21     7,412       7,504  
      TJX Cos. Inc.   2.500%   5/15/23     4,680       4,768  
      Toyota Motor Corp.   3.183%   7/20/21     10,980       11,202  
      Toyota Motor Corp.   2.157%   7/2/22     3,900       3,930  
      Toyota Motor Corp.   3.419%   7/20/23     9,000       9,433  
      Toyota Motor Corp.   2.358%   7/2/24     3,310       3,363  
      Toyota Motor Credit Corp.   4.250%   1/11/21     3,135       3,210  
      Toyota Motor Credit Corp.   1.900%   4/8/21     8,245       8,251  
      Toyota Motor Credit Corp.   2.950%   4/13/21     8,280       8,398  
      Toyota Motor Credit Corp.   2.750%   5/17/21     5,010       5,069  
      Toyota Motor Credit Corp.   3.400%   9/15/21     9,015       9,240  
      Toyota Motor Credit Corp.   1.800%   10/7/21     2,400       2,397  
      Toyota Motor Credit Corp.   2.600%   1/11/22     10,165       10,317  
      Toyota Motor Credit Corp.   3.300%   1/12/22     3,851       3,958  
      Toyota Motor Credit Corp.   2.650%   4/12/22     5,375       5,463  
      Toyota Motor Credit Corp.   2.150%   9/8/22     10,125       10,204  
      Toyota Motor Credit Corp.   2.625%   1/10/23     1,676       1,708  
      Toyota Motor Credit Corp.   2.700%   1/11/23     6,082       6,205  

 

22

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Toyota Motor Credit Corp.   3.450%   9/20/23     440       463  
      Toyota Motor Credit Corp.   2.250%   10/18/23     3,982       4,013  
      Toyota Motor Credit Corp.   2.900%   4/17/24     2,800       2,897  
      VF Corp.   3.500%   9/1/21     2,000       2,045  
      Visa Inc.   2.200%   12/14/20     16,056       16,114  
      Visa Inc.   2.150%   9/15/22     6,334       6,403  
      Visa Inc.   2.800%   12/14/22     15,452       15,877  
      Walgreen Co.   3.100%   9/15/22     1,311       1,337  
      Walgreens Boots Alliance Inc.   3.300%   11/18/21     15,114       15,396  
      Walgreens Boots Alliance Inc.   3.800%   11/18/24     12,000       12,486  
      Walmart Inc.   1.900%   12/15/20     15,549       15,569  
      Walmart Inc.   3.125%   6/23/21     5,945       6,068  
      Walmart Inc.   2.350%   12/15/22     9,103       9,257  
      Walmart Inc.   2.550%   4/11/23     8,106       8,270  
      Walmart Inc.   3.400%   6/26/23     8,066       8,470  
      Walmart Inc.   3.300%   4/22/24     10,739       11,274  
      Walmart Inc.   2.850%   7/8/24     8,346       8,636  
      Walmart Inc.   2.650%   12/15/24     11,100       11,440  
      Western Union Co.   3.600%   3/15/22     3,850       3,972  
      Western Union Co.   4.250%   6/9/23     1,050       1,105  
      Consumer Noncyclical (3.4%)                        
      Abbott Laboratories   2.550%   3/15/22     6,061       6,159  
      Abbott Laboratories   3.400%   11/30/23     8,172       8,582  
      AbbVie Inc.   2.300%   5/14/21     10,660       10,691  
      AbbVie Inc.   3.375%   11/14/21     8,300       8,506  
4     AbbVie Inc.   2.150%   11/19/21     11,000       11,028  
      AbbVie Inc.   2.900%   11/6/22     14,604       14,893  
      AbbVie Inc.   3.200%   11/6/22     11,072       11,383  
4     AbbVie Inc.   2.300%   11/21/22     18,575       18,644  
      AbbVie Inc.   2.850%   5/14/23     8,443       8,605  
      AbbVie Inc.   3.750%   11/14/23     8,250       8,679  
4     AbbVie Inc.   2.600%   11/21/24     20,750       20,890  
      Actavis Inc.   3.250%   10/1/22     15,915       16,263  
      Agilent Technologies Inc.   3.200%   10/1/22     4,339       4,439  
      Agilent Technologies Inc.   3.875%   7/15/23     1,820       1,908  
      Allergan Funding SCS   3.450%   3/15/22     10,861       11,110  
      Allergan Funding SCS   3.850%   6/15/24     7,247       7,592  
      Altria Group Inc.   4.750%   5/5/21     7,279       7,531  
      Altria Group Inc.   3.490%   2/14/22     7,225       7,433  
      Altria Group Inc.   2.850%   8/9/22     3,693       3,761  
      Altria Group Inc.   4.000%   1/31/24     8,745       9,263  
      Altria Group Inc.   3.800%   2/14/24     7,317       7,692  
      AmerisourceBergen Corp.   3.500%   11/15/21     5,245       5,372  
      AmerisourceBergen Corp.   3.400%   5/15/24     5,801       6,012  
      Amgen Inc.   4.100%   6/15/21     7,680       7,875  
      Amgen Inc.   1.850%   8/19/21     5,905       5,894  
      Amgen Inc.   3.875%   11/15/21     8,680       8,954  
      Amgen Inc.   2.700%   5/1/22     3,300       3,344  
      Amgen Inc.   2.650%   5/11/22     1,103       1,119  
      Amgen Inc.   3.625%   5/15/22     5,840       6,039  
      Amgen Inc.   2.250%   8/19/23     5,760       5,809  
      Amgen Inc.   3.625%   5/22/24     6,940       7,326  
      Anheuser-Busch InBev Finance Inc.   2.625%   1/17/23     3,862       3,926  
      Anheuser-Busch InBev Finance Inc.   3.300%   2/1/23     27,974       28,941  
      Anheuser-Busch InBev Finance Inc.   3.700%   2/1/24     5,962       6,318  
      Anheuser-Busch InBev Worldwide Inc.   4.375%   2/15/21     4,293       4,391  
      Anheuser-Busch InBev Worldwide Inc.   2.500%   7/15/22     4,475       4,551  
      Anheuser-Busch InBev Worldwide Inc.   3.500%   1/12/24     4,075       4,292  
      Archer-Daniels-Midland Co.   4.479%   3/1/21     3,229       3,323  
      Archer-Daniels-Midland Co.   3.375%   3/15/22     3,000       3,087  
      AstraZeneca plc   2.375%   11/16/20     7,082       7,107  
      AstraZeneca plc   2.375%   6/12/22     6,000       6,048  
      AstraZeneca plc   3.500%   8/17/23     4,350       4,546  

 

23

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      BAT Capital Corp.   2.764%   8/15/22     757       767  
      BAT Capital Corp.   3.222%   8/15/24     15,649       15,986  
      BAT Capital Corp.   2.789%   9/6/24     11,475       11,537  
      Baxalta Inc.   3.600%   6/23/22     1,146       1,175  
      Baxter International Inc.   1.700%   8/15/21     2,805       2,800  
      Beam Suntory Inc.   3.250%   5/15/22     151       154  
      Becton Dickinson & Co.   3.125%   11/8/21     10,862       11,069  
      Becton Dickinson & Co.   2.894%   6/6/22     12,000       12,192  
      Becton Dickinson & Co.   3.363%   6/6/24     13,276       13,799  
      Becton Dickinson & Co.   3.734%   12/15/24     3,674       3,893  
      Bio-Rad Laboratories Inc.   4.875%   12/15/20     3,075       3,148  
      Biogen Inc.   3.625%   9/15/22     7,588       7,894  
      Boston Scientific Corp.   3.375%   5/15/22     3,525       3,638  
      Boston Scientific Corp.   3.450%   3/1/24     7,983       8,344  
4     Bristol-Myers Squibb Co.   2.875%   2/19/21     2,705       2,733  
4     Bristol-Myers Squibb Co.   2.550%   5/14/21     7,000       7,068  
4     Bristol-Myers Squibb Co.   2.250%   8/15/21     2,590       2,605  
4     Bristol-Myers Squibb Co.   2.600%   5/16/22     9,500       9,651  
      Bristol-Myers Squibb Co.   2.000%   8/1/22     4,885       4,916  
4     Bristol-Myers Squibb Co.   3.250%   8/15/22     4,901       5,051  
4     Bristol-Myers Squibb Co.   3.550%   8/15/22     7,460       7,708  
4     Bristol-Myers Squibb Co.   2.750%   2/15/23     6,435       6,538  
4     Bristol-Myers Squibb Co.   3.250%   2/20/23     5,075       5,214  
4     Bristol-Myers Squibb Co.   4.000%   8/15/23     5,816       6,198  
      Bristol-Myers Squibb Co.   3.250%   11/1/23     1,425       1,489  
4     Bristol-Myers Squibb Co.   3.625%   5/15/24     5,805       6,109  
4     Bristol-Myers Squibb Co.   2.900%   7/26/24     20,530       21,157  
      Bunge Ltd. Finance Corp.   3.000%   9/25/22     2,925       2,966  
      Bunge Ltd. Finance Corp.   4.350%   3/15/24     3,750       3,938  
      Campbell Soup Co.   3.300%   3/15/21     8,006       8,116  
      Campbell Soup Co.   3.650%   3/15/23     8,026       8,359  
      Cardinal Health Inc.   4.625%   12/15/20     3,315       3,399  
      Cardinal Health Inc.   2.616%   6/15/22     4,686       4,732  
      Cardinal Health Inc.   3.200%   3/15/23     5,594       5,735  
      Cardinal Health Inc.   3.079%   6/15/24     6,076       6,244  
      Church & Dwight Co. Inc.   2.450%   8/1/22     1,970       1,988  
4     Cigna Corp.   3.300%   2/25/21     3,900       3,949  
      Cigna Corp.   3.400%   9/17/21     8,485       8,676  
4     Cigna Corp.   4.750%   11/15/21     7,386       7,743  
4     Cigna Corp.   3.900%   2/15/22     9,710       10,022  
4     Cigna Corp.   4.000%   2/15/22     1,300       1,340  
4     Cigna Corp.   3.050%   11/30/22     5,400       5,494  
4     Cigna Corp.   3.000%   7/15/23     8,772       8,893  
      Cigna Corp.   3.750%   7/15/23     6,735       7,027  
4     Cigna Corp.   3.500%   6/15/24     7,706       8,021  
      Clorox Co.   3.050%   9/15/22     4,625       4,734  
      Clorox Co.   3.500%   12/15/24     3,052       3,226  
      Coca-Cola Co.   1.550%   9/1/21     6,540       6,529  
      Coca-Cola Co.   3.300%   9/1/21     7,331       7,507  
      Coca-Cola Co.   2.200%   5/25/22     3,775       3,811  
      Coca-Cola Co.   2.500%   4/1/23     5,051       5,154  
      Coca-Cola Co.   3.200%   11/1/23     8,059       8,459  
      Coca-Cola Co.   1.750%   9/6/24     4,500       4,485  
      Coca-Cola Femsa SAB de CV   3.875%   11/26/23     1,525       1,611  
      Colgate-Palmolive Co.   2.450%   11/15/21     2,265       2,294  
      Colgate-Palmolive Co.   2.300%   5/3/22     3,488       3,539  
      Colgate-Palmolive Co.   2.250%   11/15/22     7,254       7,352  
      Colgate-Palmolive Co.   2.100%   5/1/23     2,901       2,923  
      Colgate-Palmolive Co.   3.250%   3/15/24     3,500       3,700  
      CommonSpirit Health   2.950%   11/1/22     2,000       2,033  
      CommonSpirit Health   2.760%   10/1/24     2,127       2,140  
      Conagra Brands Inc.   3.800%   10/22/21     8,550       8,810  
      Conagra Brands Inc.   3.250%   9/15/22     4,000       4,090  
      Conagra Brands Inc.   4.300%   5/1/24     8,062       8,658  

 

24

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Constellation Brands Inc.   3.750%   5/1/21     4,888       4,992  
      Constellation Brands Inc.   2.650%   11/7/22     1,323       1,341  
      Constellation Brands Inc.   3.200%   2/15/23     4,150       4,258  
      Constellation Brands Inc.   4.250%   5/1/23     6,696       7,093  
      Constellation Brands Inc.   4.750%   11/15/24     2,661       2,938  
      Covidien International Finance SA   3.200%   6/15/22     6,204       6,353  
      CVS Health Corp.   3.350%   3/9/21     14,981       15,202  
      CVS Health Corp.   2.125%   6/1/21     15,014       15,019  
      CVS Health Corp.   3.500%   7/20/22     6,026       6,220  
      CVS Health Corp.   2.750%   12/1/22     9,216       9,361  
      CVS Health Corp.   4.750%   12/1/22     2,620       2,788  
      CVS Health Corp.   3.700%   3/9/23     47,319       49,245  
      CVS Health Corp.   3.375%   8/12/24     4,990       5,195  
      CVS Health Corp.   2.625%   8/15/24     1,200       1,211  
      DH Europe Finance II Sarl   2.050%   11/15/22     5,500       5,494  
      DH Europe Finance II Sarl   2.200%   11/15/24     4,385       4,371  
      Diageo Capital plc   2.625%   4/29/23     9,453       9,610  
      Diageo Capital plc   2.125%   10/24/24     8,000       7,987  
      Diageo Investment Corp.   2.875%   5/11/22     844       860  
      Dignity Health   3.125%   11/1/22     320       326  
      Eli Lilly & Co.   2.350%   5/15/22     2,605       2,638  
      Estee Lauder Cos. Inc.   1.700%   5/10/21     3,475       3,467  
      Estee Lauder Cos. Inc.   2.000%   12/1/24     202       202  
      Flowers Foods Inc.   4.375%   4/1/22     1,450       1,510  
      Fomento Economico Mexicano SAB de CV   2.875%   5/10/23     1,970       1,995  
      General Mills Inc.   3.200%   4/16/21     5,275       5,356  
      General Mills Inc.   3.150%   12/15/21     9,982       10,193  
      General Mills Inc.   2.600%   10/12/22     5,683       5,764  
      General Mills Inc.   3.700%   10/17/23     5,900       6,214  
      Gilead Sciences Inc.   4.500%   4/1/21     6,262       6,419  
      Gilead Sciences Inc.   4.400%   12/1/21     7,214       7,521  
      Gilead Sciences Inc.   1.950%   3/1/22     1,000       1,001  
      Gilead Sciences Inc.   3.250%   9/1/22     8,649       8,935  
      Gilead Sciences Inc.   2.500%   9/1/23     7,900       8,018  
      Gilead Sciences Inc.   3.700%   4/1/24     13,090       13,896  
      GlaxoSmithKline Capital Inc.   2.800%   3/18/23     6,940       7,104  
      GlaxoSmithKline Capital Inc.   3.375%   5/15/23     10,400       10,830  
      GlaxoSmithKline Capital plc   3.125%   5/14/21     11,711       11,898  
      GlaxoSmithKline Capital plc   2.850%   5/8/22     8,160       8,336  
      GlaxoSmithKline Capital plc   2.875%   6/1/22     8,600       8,783  
      GlaxoSmithKline Capital plc   3.000%   6/1/24     1,900       1,970  
      Hasbro Inc.   3.150%   5/15/21     2,040       2,061  
      HCA Inc.   4.750%   5/1/23     10,424       11,154  
      HCA Inc.   5.000%   3/15/24     9,155       9,990  
      Hershey Co.   4.125%   12/1/20     1,590       1,622  
      Hershey Co.   3.100%   5/15/21     2,570       2,611  
      Hershey Co.   2.625%   5/1/23     1,250       1,272  
      Hershey Co.   3.375%   5/15/23     3,367       3,529  
      Hershey Co.   2.050%   11/15/24     3,757       3,753  
      JM Smucker Co.   3.000%   3/15/22     3,280       3,343  
      Johnson & Johnson   1.950%   11/10/20     3,800       3,801  
      Johnson & Johnson   1.650%   3/1/21     9,060       9,039  
      Johnson & Johnson   3.550%   5/15/21     3,450       3,527  
      Johnson & Johnson   2.450%   12/5/21     1,245       1,261  
      Johnson & Johnson   2.250%   3/3/22     3,360       3,396  
      Johnson & Johnson   2.050%   3/1/23     3,830       3,852  
      Johnson & Johnson   3.375%   12/5/23     6,650       7,050  
      Kaiser Foundation Hospitals   3.500%   4/1/22     1,905       1,968  
      Kellogg Co.   4.000%   12/15/20     594       604  
      Kellogg Co.   3.125%   5/17/22     200       204  
      Kellogg Co.   2.650%   12/1/23     884       900  
      Keurig Dr Pepper Inc.   3.551%   5/25/21     8,583       8,759  
      Keurig Dr Pepper Inc.   4.057%   5/25/23     10,519       11,088  
      Keurig Dr Pepper Inc.   3.130%   12/15/23     5,900       6,059  

 

25

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Kimberly-Clark Corp.   3.875%   3/1/21     2,195       2,242  
      Kimberly-Clark Corp.   2.400%   6/1/23     1,675       1,708  
      Kraft Foods Group Inc.   3.500%   6/6/22     5,013       5,170  
      Kraft Heinz Foods Co.   3.375%   6/15/21     1,925       1,955  
      Kraft Heinz Foods Co.   3.500%   7/15/22     3,548       3,654  
      Kraft Heinz Foods Co.   4.000%   6/15/23     5,229       5,495  
      Kroger Co.   3.300%   1/15/21     4,213       4,258  
      Kroger Co.   2.600%   2/1/21     2,420       2,434  
      Kroger Co.   2.950%   11/1/21     1,600       1,624  
      Kroger Co.   3.400%   4/15/22     2,000       2,056  
      Kroger Co.   2.800%   8/1/22     3,975       4,049  
      Kroger Co.   3.850%   8/1/23     5,250       5,538  
      Kroger Co.   4.000%   2/1/24     2,400       2,548  
      Laboratory Corp. of America Holdings   3.200%   2/1/22     3,774       3,852  
      Laboratory Corp. of America Holdings   3.750%   8/23/22     6,587       6,829  
      Laboratory Corp. of America Holdings   4.000%   11/1/23     2,000       2,106  
      Laboratory Corp. of America Holdings   3.250%   9/1/24     3,218       3,341  
      Laboratory Corp. of America Holdings   2.300%   12/1/24     2,794       2,781  
      McCormick & Co. Inc.   2.700%   8/15/22     3,156       3,205  
      McCormick & Co. Inc.   3.150%   8/15/24     4,860       5,038  
      McKesson Corp.   2.700%   12/15/22     2,000       2,023  
      McKesson Corp.   2.850%   3/15/23     3,630       3,682  
      McKesson Corp.   3.796%   3/15/24     4,730       4,972  
      Mead Johnson Nutrition Co.   3.000%   11/15/20     7,688       7,756  
      Medtronic Inc.   3.150%   3/15/22     7,272       7,476  
      Medtronic Inc.   2.750%   4/1/23     3,650       3,731  
      Medtronic Inc.   3.625%   3/15/24     1,065       1,128  
      Merck & Co. Inc.   2.350%   2/10/22     8,688       8,795  
      Merck & Co. Inc.   2.400%   9/15/22     8,742       8,864  
      Merck & Co. Inc.   2.800%   5/18/23     8,135       8,382  
      Merck & Co. Inc.   2.900%   3/7/24     5,500       5,723  
      Molson Coors Beverage Co.   2.100%   7/15/21     5,925       5,924  
      Molson Coors Beverage Co.   3.500%   5/1/22     3,428       3,515  
4     Mondelez International Holdings Netherlands BV   2.125%   9/19/22     9,500       9,492  
      Mylan Inc.   4.200%   11/29/23     5,625       5,935  
      Mylan NV   3.750%   12/15/20     124       125  
      Mylan NV   3.150%   6/15/21     5,459       5,515  
      Novartis Capital Corp.   2.400%   5/17/22     5,982       6,062  
      Novartis Capital Corp.   2.400%   9/21/22     8,057       8,181  
      Novartis Capital Corp.   3.400%   5/6/24     12,808       13,553  
      PepsiCo Inc.   2.000%   4/15/21     8,270       8,286  
      PepsiCo Inc.   3.000%   8/25/21     6,050       6,164  
      PepsiCo Inc.   1.700%   10/6/21     7,973       7,964  
      PepsiCo Inc.   2.750%   3/5/22     6,800       6,937  
      PepsiCo Inc.   2.250%   5/2/22     6,091       6,151  
      PepsiCo Inc.   3.100%   7/17/22     3,215       3,311  
      PepsiCo Inc.   2.750%   3/1/23     7,500       7,701  
      PepsiCo Inc.   3.600%   3/1/24     125       133  
      Perrigo Finance Unlimited Co.   3.500%   3/15/21     1,896       1,894  
      Perrigo Finance Unlimited Co.   3.500%   12/15/21     2,144       2,169  
      Perrigo Finance Unlimited Co.   3.900%   12/15/24     4,375       4,499  
      Pfizer Inc.   1.950%   6/3/21     2,780       2,787  
      Pfizer Inc.   3.000%   9/15/21     5,000       5,096  
      Pfizer Inc.   2.200%   12/15/21     8,949       9,017  
      Pfizer Inc.   2.800%   3/11/22     5,736       5,846  
      Pfizer Inc.   3.000%   6/15/23     8,697       9,029  
      Pfizer Inc.   3.200%   9/15/23     4,450       4,639  
      Pfizer Inc.   2.950%   3/15/24     5,000       5,189  
      Pfizer Inc.   3.400%   5/15/24     6,343       6,705  
      Philip Morris International Inc.   1.875%   2/25/21     7,397       7,389  
      Philip Morris International Inc.   4.125%   5/17/21     3,687       3,793  
      Philip Morris International Inc.   2.900%   11/15/21     5,194       5,293  
      Philip Morris International Inc.   2.625%   2/18/22     4,548       4,603  
      Philip Morris International Inc.   2.375%   8/17/22     6,229       6,281  

 

26

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Philip Morris International Inc.   2.500%   8/22/22     6,199       6,257  
      Philip Morris International Inc.   2.500%   11/2/22     6,634       6,734  
      Philip Morris International Inc.   2.125%   5/10/23     2,050       2,049  
      Philip Morris International Inc.   3.600%   11/15/23     3,225       3,390  
      Philip Morris International Inc.   2.875%   5/1/24     3,575       3,673  
3     Procter & Gamble - Esop   9.360%   1/1/21     1,716       1,798  
      Procter & Gamble Co.   1.850%   2/2/21     2,175       2,177  
      Procter & Gamble Co.   1.700%   11/3/21     7,610       7,632  
      Procter & Gamble Co.   2.300%   2/6/22     6,697       6,784  
      Procter & Gamble Co.   2.150%   8/11/22     500       506  
      Procter & Gamble Co.   3.100%   8/15/23     5,969       6,240  
      Reynolds American Inc.   4.000%   6/12/22     6,663       6,931  
      Reynolds American Inc.   4.850%   9/15/23     3,175       3,437  
      Sanofi   4.000%   3/29/21     7,945       8,150  
      Sanofi   3.375%   6/19/23     9,455       9,907  
      Shire Acquisitions Investments Ireland DAC   2.400%   9/23/21     20,634       20,737  
      Shire Acquisitions Investments Ireland DAC   2.875%   9/23/23     20,738       21,111  
      SSM Health Care Corp.   3.688%   6/1/23     3,800       3,953  
      Stryker Corp.   2.625%   3/15/21     5,455       5,491  
      Stryker Corp.   3.375%   5/15/24     4,500       4,715  
      Sysco Corp.   2.500%   7/15/21     4,315       4,349  
      Sysco Corp.   2.600%   6/12/22     3,525       3,577  
      Takeda Pharmaceutical Co. Ltd.   4.000%   11/26/21     8,540       8,821  
      Takeda Pharmaceutical Co. Ltd.   4.400%   11/26/23     10,955       11,747  
      Thermo Fisher Scientific Inc.   3.000%   4/15/23     8,879       9,126  
      Thermo Fisher Scientific Inc.   4.150%   2/1/24     2,850       3,054  
      Tyson Foods Inc.   2.250%   8/23/21     9,022       9,057  
      Tyson Foods Inc.   4.500%   6/15/22     6,335       6,665  
      Tyson Foods Inc.   3.900%   9/28/23     1,600       1,696  
      Tyson Foods Inc.   3.950%   8/15/24     14,014       14,977  
      Unilever Capital Corp.   4.250%   2/10/21     6,897       7,081  
      Unilever Capital Corp.   2.750%   3/22/21     1,695       1,713  
      Unilever Capital Corp.   1.375%   7/28/21     8,675       8,610  
      Unilever Capital Corp.   3.000%   3/7/22     5,550       5,680  
      Unilever Capital Corp.   2.200%   5/5/22     4,258       4,286  
      Unilever Capital Corp.   3.125%   3/22/23     3,215       3,325  
      Unilever Capital Corp.   3.250%   3/7/24     2,740       2,868  
      Unilever Capital Corp.   2.600%   5/5/24     3,750       3,833  
      Whirlpool Corp.   4.850%   6/15/21     1,190       1,235  
      Whirlpool Corp.   4.700%   6/1/22     2,248       2,378  
      Whirlpool Corp.   4.000%   3/1/24     2,175       2,300  
      Wyeth LLC   7.250%   3/1/23     1,000       1,155  
      Wyeth LLC   6.450%   2/1/24     3,364       3,920  
      Zimmer Biomet Holdings Inc.   3.150%   4/1/22     6,477       6,613  
      Zimmer Biomet Holdings Inc.   3.700%   3/19/23     3,390       3,530  
      Zoetis Inc.   3.450%   11/13/20     3,225       3,258  
      Zoetis Inc.   3.250%   8/20/21     2,050       2,083  
      Zoetis Inc.   3.250%   2/1/23     10,613       10,947  
      Energy (1.9%)                        
      Apache Corp.   3.625%   2/1/21     1,354       1,367  
      Apache Corp.   3.250%   4/15/22     3,759       3,815  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   2.773%   12/15/22     8,600       8,767  
      Boardwalk Pipelines LP   3.375%   2/1/23     3,178       3,237  
      Boardwalk Pipelines LP   4.950%   12/15/24     2,427       2,620  
      BP Capital Markets America Inc.   4.742%   3/11/21     7,250       7,493  
      BP Capital Markets America Inc.   2.112%   9/16/21     9,175       9,211  
      BP Capital Markets America Inc.   3.245%   5/6/22     13,847       14,292  
      BP Capital Markets America Inc.   2.520%   9/19/22     3,400       3,452  
      BP Capital Markets America Inc.   2.750%   5/10/23     9,824       10,041  
      BP Capital Markets America Inc.   3.216%   11/28/23     6,850       7,118  
      BP Capital Markets America Inc.   3.790%   2/6/24     1,000       1,063  
      BP Capital Markets America Inc.   3.224%   4/14/24     6,215       6,481  

 

27

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
 

Market
Value
($000

      BP Capital Markets plc   3.062%   3/17/22     13,105       13,438  
      BP Capital Markets plc   2.500%   11/6/22     14,750       15,011  
      BP Capital Markets plc   3.994%   9/26/23     1,100       1,173  
      BP Capital Markets plc   3.535%   11/4/24     9,414       10,018  
      Canadian Natural Resources Ltd.   3.450%   11/15/21     3,000       3,064  
      Canadian Natural Resources Ltd.   2.950%   1/15/23     8,596       8,755  
      Canadian Natural Resources Ltd.   3.800%   4/15/24     350       366  
      Cenovus Energy Inc.   3.000%   8/15/22     2,717       2,749  
      Cenovus Energy Inc.   3.800%   9/15/23     1,740       1,802  
      Cheniere Corpus Christi Holdings LLC   7.000%   6/30/24     8,100       9,335  
      Chevron Corp.   2.100%   5/16/21     8,341       8,378  
      Chevron Corp.   2.498%   3/3/22     3,485       3,543  
      Chevron Corp.   2.355%   12/5/22     12,910       13,081  
      Chevron Corp.   2.566%   5/16/23     5,467       5,576  
      Chevron Corp.   3.191%   6/24/23     9,764       10,155  
      Chevron Corp.   2.895%   3/3/24     12,834       13,275  
      Cimarex Energy Co.   4.375%   6/1/24     6,065       6,387  
      Continental Resources Inc.   4.500%   4/15/23     9,505       9,957  
      Continental Resources Inc.   3.800%   6/1/24     8,605       8,895  
      Diamondback Energy Inc.   2.875%   12/1/24     6,000       6,056  
      Dominion Energy Gas Holdings LLC   3.550%   11/1/23     2,741       2,836  
      Dominion Energy Gas Holdings LLC   2.500%   11/15/24     3,000       3,012  
      Enable Midstream Partners LP   3.900%   5/15/24     4,450       4,526  
      Enbridge Energy Partners LP   4.200%   9/15/21     4,320       4,451  
      Enbridge Inc.   2.900%   7/15/22     5,220       5,312  
      Enbridge Inc.   4.000%   10/1/23     2,267       2,393  
      Enbridge Inc.   3.500%   6/10/24     3,150       3,285  
      Encana Corp.   3.900%   11/15/21     4,606       4,710  
      Energy Transfer Operating LP   4.650%   6/1/21     3,045       3,123  
      Energy Transfer Operating LP   5.200%   2/1/22     6,975       7,310  
      Energy Transfer Operating LP   3.600%   2/1/23     8,728       8,938  
      Energy Transfer Operating LP   4.250%   3/15/23     1,575       1,645  
      Energy Transfer Operating LP   5.875%   1/15/24     7,500       8,299  
      Energy Transfer Operating LP   4.900%   2/1/24     2,890       3,086  
      Energy Transfer Operating LP   4.500%   4/15/24     4,020       4,267  
      Enterprise Products Operating LLC   2.800%   2/15/21     8,534       8,612  
      Enterprise Products Operating LLC   2.850%   4/15/21     8,585       8,669  
      Enterprise Products Operating LLC   3.500%   2/1/22     4,450       4,582  
      Enterprise Products Operating LLC   4.050%   2/15/22     2,732       2,848  
      Enterprise Products Operating LLC   3.350%   3/15/23     7,960       8,226  
      Enterprise Products Operating LLC   3.900%   2/15/24     5,600       5,948  
3     Enterprise Products Operating LLC   4.875%   8/16/77     1,400       1,381  
      EOG Resources Inc.   4.100%   2/1/21     8,890       9,096  
      EOG Resources Inc.   2.625%   3/15/23     8,063       8,204  
      EQM Midstream Partners LP   4.750%   7/15/23     7,000       7,017  
      EQM Midstream Partners LP   4.000%   8/1/24     3,000       2,916  
      EQT Corp.   4.875%   11/15/21     7,175       7,369  
      EQT Corp.   3.000%   10/1/22     6,405       6,261  
      Exxon Mobil Corp.   2.222%   3/1/21     7,297       7,337  
      Exxon Mobil Corp.   2.397%   3/6/22     6,054       6,132  
      Exxon Mobil Corp.   1.902%   8/16/22     5,180       5,213  
      Exxon Mobil Corp.   2.726%   3/1/23     13,125       13,435  
      Exxon Mobil Corp.   2.019%   8/16/24     4,000       4,010  
      Halliburton Co.   3.250%   11/15/21     2,906       2,959  
      Halliburton Co.   3.500%   8/1/23     5,900       6,130  
      Hess Corp.   3.500%   7/15/24     2,000       2,051  
      Husky Energy Inc.   3.950%   4/15/22     3,600       3,722  
      Husky Energy Inc.   4.000%   4/15/24     4,870       5,121  
      Kinder Morgan Energy Partners LP   3.500%   3/1/21     8,760       8,880  
      Kinder Morgan Energy Partners LP   5.800%   3/1/21     2,575       2,682  
      Kinder Morgan Energy Partners LP   5.000%   10/1/21     8,149       8,493  
      Kinder Morgan Energy Partners LP   3.450%   2/15/23     7,432       7,652  
      Kinder Morgan Energy Partners LP   3.500%   9/1/23     2,685       2,781  
      Kinder Morgan Energy Partners LP   4.150%   2/1/24     4,825       5,133  

 

28

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Kinder Morgan Energy Partners LP   4.300%   5/1/24     7,376       7,881  
      Kinder Morgan Energy Partners LP   4.250%   9/1/24     4,000       4,278  
      Kinder Morgan Inc.   3.150%   1/15/23     3,489       3,567  
      Marathon Oil Corp.   2.800%   11/1/22     6,762       6,864  
      Marathon Petroleum Corp.   3.400%   12/15/20     8,269       8,358  
      Marathon Petroleum Corp.   5.125%   3/1/21     7,404       7,657  
      Marathon Petroleum Corp.   4.750%   12/15/23     6,675       7,244  
      Marathon Petroleum Corp.   3.625%   9/15/24     3,656       3,834  
4     MPLX LP   3.500%   12/1/22     3,875       3,991  
      MPLX LP   3.375%   3/15/23     5,103       5,237  
      MPLX LP   4.500%   7/15/23     7,966       8,455  
      MPLX LP   4.875%   12/1/24     6,500       7,049  
      National Fuel Gas Co.   4.900%   12/1/21     2,125       2,215  
      National Fuel Gas Co.   3.750%   3/1/23     3,066       3,149  
      National Oilwell Varco Inc.   2.600%   12/1/22     3,091       3,121  
      Newfield Exploration Co.   5.750%   1/30/22     5,285       5,615  
      Newfield Exploration Co.   5.625%   7/1/24     4,496       4,946  
      Noble Energy Inc.   3.900%   11/15/24     3,105       3,280  
      Occidental Petroleum Corp.   4.100%   2/1/21     7,978       8,101  
      Occidental Petroleum Corp.   4.850%   3/15/21     4,575       4,708  
      Occidental Petroleum Corp.   2.600%   8/13/21     9,375       9,431  
      Occidental Petroleum Corp.   3.125%   2/15/22     6,756       6,868  
      Occidental Petroleum Corp.   2.600%   4/15/22     2,983       3,003  
      Occidental Petroleum Corp.   2.700%   8/15/22     11,167       11,289  
      Occidental Petroleum Corp.   2.700%   2/15/23     4,175       4,207  
      Occidental Petroleum Corp.   6.950%   7/1/24     4,500       5,276  
      Occidental Petroleum Corp.   2.900%   8/15/24     18,450       18,740  
      ONEOK Inc.   4.250%   2/1/22     8,000       8,301  
      ONEOK Inc.   7.500%   9/1/23     1,615       1,879  
      ONEOK Inc.   2.750%   9/1/24     2,158       2,169  
      ONEOK Partners LP   3.375%   10/1/22     3,987       4,102  
      ONEOK Partners LP   5.000%   9/15/23     3,440       3,727  
      Phillips 66   4.300%   4/1/22     9,635       10,106  
      Phillips 66 Partners LP   2.450%   12/15/24     2,000       1,995  
      Pioneer Natural Resources Co.   3.450%   1/15/21     4,135       4,182  
      Pioneer Natural Resources Co.   3.950%   7/15/22     3,815       3,968  
      Plains All American Pipeline LP / PAA Finance Corp.   5.000%   2/1/21     5,750       5,878  
      Plains All American Pipeline LP / PAA Finance Corp.   3.650%   6/1/22     2,309       2,369  
      Plains All American Pipeline LP / PAA Finance Corp.   2.850%   1/31/23     3,850       3,892  
      Plains All American Pipeline LP / PAA Finance Corp.   3.850%   10/15/23     3,471       3,597  
      Plains All American Pipeline LP / PAA Finance Corp.   3.600%   11/1/24     2,298       2,357  
      Regency Energy Partners LP / Regency Energy Finance Corp.   5.875%   3/1/22     9,169       9,738  
      Regency Energy Partners LP / Regency Energy Finance Corp.   5.000%   10/1/22     4,750       5,029  
      Regency Energy Partners LP / Regency Energy Finance Corp.   4.500%   11/1/23     5,500       5,816  
      Sabine Pass Liquefaction LLC   5.625%   2/1/21     2,320       2,385  
      Sabine Pass Liquefaction LLC   6.250%   3/15/22     6,944       7,462  
      Sabine Pass Liquefaction LLC   5.625%   4/15/23     9,965       10,837  
      Sabine Pass Liquefaction LLC   5.750%   5/15/24     11,794       13,156  
      Schlumberger Investment SA   3.650%   12/1/23     10,450       11,003  
      Shell International Finance BV   1.875%   5/10/21     9,538       9,534  
      Shell International Finance BV   1.750%   9/12/21     8,100       8,090  
      Shell International Finance BV   2.375%   8/21/22     9,674       9,798  
      Shell International Finance BV   2.250%   1/6/23     3,135       3,160  
      Shell International Finance BV   3.400%   8/12/23     7,504       7,862  
      Shell International Finance BV   2.000%   11/7/24     12,900       12,879  
      Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.   4.400%   6/15/21     2,100       2,154  
      Spectra Energy Partners LP   4.750%   3/15/24     7,550       8,207  
      Suncor Energy Inc.   3.600%   12/1/24     4,243       4,494  
      Sunoco Logistics Partners Operations LP   4.400%   4/1/21     9,060       9,277  
      Sunoco Logistics Partners Operations LP   3.450%   1/15/23     1,194       1,218  

 

29

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Sunoco Logistics Partners Operations LP   4.250%   4/1/24     1,470       1,542  
      Total Capital Canada Ltd.   2.750%   7/15/23     11,453       11,720  
      Total Capital International SA   2.750%   6/19/21     3,150       3,191  
      Total Capital International SA   2.218%   7/12/21     2,000       2,009  
      Total Capital International SA   2.875%   2/17/22     6,785       6,922  
      Total Capital International SA   2.700%   1/25/23     6,625       6,768  
      Total Capital International SA   3.700%   1/15/24     6,427       6,820  
      Total Capital International SA   3.750%   4/10/24     6,034       6,442  
      Total Capital SA   4.125%   1/28/21     2,975       3,042  
      Total Capital SA   4.250%   12/15/21     6,930       7,242  
      TransCanada PipeLines Ltd.   2.500%   8/1/22     6,375       6,404  
      TransCanada PipeLines Ltd.   3.750%   10/16/23     9,307       9,754  
      Western Midstream Operating LP   5.375%   6/1/21     3,282       3,371  
      Western Midstream Operating LP   4.000%   7/1/22     4,722       4,821  
      Williams Cos. Inc.   4.000%   11/15/21     5,415       5,567  
      Williams Cos. Inc.   3.600%   3/15/22     6,355       6,530  
      Williams Cos. Inc.   3.350%   8/15/22     7,109       7,286  
      Williams Cos. Inc.   3.700%   1/15/23     3,278       3,383  
      Williams Cos. Inc.   4.500%   11/15/23     2,336       2,493  
      Williams Cos. Inc.   4.300%   3/4/24     7,239       7,690  
      Williams Cos. Inc.   4.550%   6/24/24     7,007       7,555  
      Other Industrial (0.0%)                        
      Cintas Corp. No. 2   2.900%   4/1/22     5,200       5,304  
      Fluor Corp.   3.500%   12/15/24     2,842       2,896  
      Technology (2.3%)                        
      Alphabet Inc.   3.625%   5/19/21     4,572       4,687  
      Alphabet Inc.   3.375%   2/25/24     5,000       5,315  
      Altera Corp.   4.100%   11/15/23     3,000       3,231  
      Amphenol Corp.   3.200%   4/1/24     3,030       3,136  
      Analog Devices Inc.   2.500%   12/5/21     3,350       3,376  
      Analog Devices Inc.   2.875%   6/1/23     3,750       3,823  
      Analog Devices Inc.   3.125%   12/5/23     4,717       4,866  
      Apple Inc.   2.250%   2/23/21     13,531       13,598  
      Apple Inc.   2.850%   5/6/21     10,661       10,824  
      Apple Inc.   1.550%   8/4/21     8,556       8,537  
      Apple Inc.   2.150%   2/9/22     14,592       14,715  
      Apple Inc.   2.500%   2/9/22     14,210       14,421  
      Apple Inc.   2.300%   5/11/22     18,298       18,524  
      Apple Inc.   2.700%   5/13/22     9,881       10,091  
      Apple Inc.   2.850%   2/23/23     9,846       10,110  
      Apple Inc.   2.400%   5/3/23     35,312       35,885  
      Apple Inc.   3.000%   2/9/24     9,221       9,544  
      Apple Inc.   3.450%   5/6/24     15,205       16,157  
      Apple Inc.   2.850%   5/11/24     8,330       8,608  
      Apple Inc.   1.800%   9/11/24     4,100       4,062  
      Arrow Electronics Inc.   3.500%   4/1/22     2,575       2,635  
      Arrow Electronics Inc.   4.500%   3/1/23     1,249       1,308  
      Arrow Electronics Inc.   3.250%   9/8/24     3,759       3,857  
      Avnet Inc.   3.750%   12/1/21     4,300       4,393  
      Avnet Inc.   4.875%   12/1/22     2,825       2,993  
      Baidu Inc.   2.875%   7/6/22     4,675       4,718  
      Baidu Inc.   3.500%   11/28/22     5,780       5,941  
      Baidu Inc.   3.875%   9/29/23     4,900       5,110  
      Baidu Inc.   4.375%   5/14/24     5,000       5,327  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   2.200%   1/15/21     8,460       8,449  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.000%   1/15/22     8,410       8,542  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   2.650%   1/15/23     5,933       5,962  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.625%   1/15/24     13,025       13,485  
4     Broadcom Inc.   3.125%   4/15/21     10,000       10,118  
4     Broadcom Inc.   3.125%   10/15/22     25,000       25,434  
4     Broadcom Inc.   3.625%   10/15/24     15,410       15,970  
      CA Inc.   3.600%   8/15/22     3,075       3,145  
      Cadence Design Systems Inc.   4.375%   10/15/24     2,126       2,279  

 

30

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Cisco Systems Inc.   2.200%   2/28/21     7,634       7,667  
      Cisco Systems Inc.   2.900%   3/4/21     4,265       4,317  
      Cisco Systems Inc.   1.850%   9/20/21     12,269       12,281  
      Cisco Systems Inc.   3.000%   6/15/22     6,524       6,712  
      Cisco Systems Inc.   2.600%   2/28/23     7,945       8,118  
      Cisco Systems Inc.   3.625%   3/4/24     6,000       6,411  
      Corning Inc.   2.900%   5/15/22     4,000       4,082  
4     Dell International LLC / EMC Corp.   4.420%   6/15/21     21,688       22,291  
4     Dell International LLC / EMC Corp.   5.450%   6/15/23     21,825       23,644  
4     Dell International LLC / EMC Corp.   4.000%   7/15/24     6,015       6,293  
      DXC Technology Co.   4.250%   4/15/24     3,030       3,206  
      Equifax Inc.   3.600%   8/15/21     2,500       2,554  
      Equifax Inc.   3.300%   12/15/22     3,480       3,581  
      Equifax Inc.   2.600%   12/1/24     750       753  
      Equinix Inc.   2.625%   11/18/24     7,000       7,027  
      Fidelity National Information Services Inc.   3.500%   4/15/23     7,962       8,287  
      Fidelity National Information Services Inc.   3.875%   6/5/24     2,000       2,123  
      Fiserv Inc.   4.750%   6/15/21     750       779  
      Fiserv Inc.   3.500%   10/1/22     8,363       8,663  
      Fiserv Inc.   3.800%   10/1/23     8,875       9,355  
      Fiserv Inc.   2.750%   7/1/24     12,500       12,715  
      Flex Ltd.   5.000%   2/15/23     3,613       3,854  
      FLIR Systems Inc.   3.125%   6/15/21     2,625       2,644  
      Hewlett Packard Enterprise Co.   3.600%   10/15/20     25,014       25,286  
      Hewlett Packard Enterprise Co.   3.500%   10/5/21     3,600       3,684  
      Hewlett Packard Enterprise Co.   4.400%   10/15/22     7,556       7,975  
      Hewlett Packard Enterprise Co.   2.250%   4/1/23     2,750       2,749  
      HP Inc.   4.375%   9/15/21     11,300       11,686  
      HP Inc.   4.050%   9/15/22     3,881       4,053  
      IBM Credit LLC   3.450%   11/30/20     4,975       5,051  
      IBM Credit LLC   1.800%   1/20/21     8,225       8,213  
      IBM Credit LLC   2.650%   2/5/21     7,024       7,077  
      IBM Credit LLC   3.600%   11/30/21     3,875       4,002  
      IBM Credit LLC   2.200%   9/8/22     6,100       6,142  
      IBM Credit LLC   3.000%   2/6/23     8,100       8,331  
      Intel Corp.   1.700%   5/19/21     6,050       6,039  
      Intel Corp.   3.300%   10/1/21     14,011       14,371  
      Intel Corp.   2.350%   5/11/22     7,050       7,132  
      Intel Corp.   3.100%   7/29/22     8,365       8,629  
      Intel Corp.   2.700%   12/15/22     8,306       8,508  
      Intel Corp.   2.875%   5/11/24     3,050       3,163  
      International Business Machines Corp.   2.250%   2/19/21     8,769       8,807  
      International Business Machines Corp.   2.800%   5/13/21     11,050       11,196  
      International Business Machines Corp.   2.500%   1/27/22     8,675       8,777  
      International Business Machines Corp.   2.850%   5/13/22     20,250       20,687  
      International Business Machines Corp.   1.875%   8/1/22     5,035       5,036  
      International Business Machines Corp.   2.875%   11/9/22     5,705       5,851  
      International Business Machines Corp.   3.375%   8/1/23     10,064       10,527  
      International Business Machines Corp.   3.625%   2/12/24     10,650       11,270  
      International Business Machines Corp.   3.000%   5/15/24     20,775       21,511  
      Jabil Inc.   5.625%   12/15/20     3,456       3,555  
      Juniper Networks Inc.   4.500%   3/15/24     2,970       3,211  
      Keysight Technologies Inc.   4.550%   10/30/24     3,959       4,301  
      KLA Corp.   4.125%   11/1/21     3,375       3,489  
      KLA Corp.   4.650%   11/1/24     8,116       8,895  
      Lam Research Corp.   2.800%   6/15/21     5,735       5,798  
      Marvell Technology Group Ltd.   4.200%   6/22/23     4,000       4,200  
      Maxim Integrated Products Inc.   3.375%   3/15/23     3,599       3,693  
      Microchip Technology Inc.   3.922%   6/1/21     4,800       4,904  
      Microchip Technology Inc.   4.333%   6/1/23     5,100       5,388  
      Micron Technology Inc.   4.640%   2/6/24     3,900       4,217  
      Microsoft Corp.   1.550%   8/8/21     17,671       17,636  
      Microsoft Corp.   2.400%   2/6/22     14,224       14,426  
      Microsoft Corp.   2.375%   2/12/22     11,359       11,513  

 

31

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Microsoft Corp.   2.650%   11/3/22     13,014       13,319  
      Microsoft Corp.   2.125%   11/15/22     3,556       3,593  
      Microsoft Corp.   2.375%   5/1/23     10,009       10,179  
      Microsoft Corp.   2.000%   8/8/23     12,785       12,856  
      Microsoft Corp.   3.625%   12/15/23     500       532  
      Microsoft Corp.   2.875%   2/6/24     16,716       17,332  
      Motorola Solutions Inc.   3.750%   5/15/22     3,855       3,981  
      Motorola Solutions Inc.   3.500%   3/1/23     5,031       5,187  
      Motorola Solutions Inc.   4.000%   9/1/24     1,244       1,316  
      NetApp Inc.   3.375%   6/15/21     2,300       2,335  
      NetApp Inc.   3.300%   9/29/24     2,500       2,585  
      NVIDIA Corp.   2.200%   9/16/21     7,020       7,048  
4     NXP BV / NXP Funding LLC   4.875%   3/1/24     6,600       7,169  
      Oracle Corp.   1.900%   9/15/21     22,591       22,619  
      Oracle Corp.   2.500%   5/15/22     21,139       21,440  
      Oracle Corp.   2.500%   10/15/22     19,381       19,703  
      Oracle Corp.   3.625%   7/15/23     2,071       2,188  
      Oracle Corp.   2.400%   9/15/23     16,868       17,139  
      Oracle Corp.   3.400%   7/8/24     13,175       13,899  
      Oracle Corp.   2.950%   11/15/24     12,579       13,041  
      PayPal Holdings Inc.   2.200%   9/26/22     6,400       6,436  
      PayPal Holdings Inc.   2.400%   10/1/24     7,526       7,599  
      QUALCOMM Inc.   3.000%   5/20/22     10,568       10,824  
      QUALCOMM Inc.   2.600%   1/30/23     12,325       12,540  
      QUALCOMM Inc.   2.900%   5/20/24     6,806       7,013  
      salesforce.com Inc.   3.250%   4/11/23     7,275       7,553  
      Seagate HDD Cayman   4.250%   3/1/22     1,606       1,658  
      Seagate HDD Cayman   4.750%   6/1/23     1,437       1,521  
      Seagate HDD Cayman   4.875%   3/1/24     3,335       3,548  
      Texas Instruments Inc.   2.750%   3/12/21     5,018       5,073  
      Texas Instruments Inc.   1.850%   5/15/22     4,110       4,115  
      Texas Instruments Inc.   2.625%   5/15/24     1,700       1,742  
      Total System Services Inc.   3.800%   4/1/21     4,825       4,915  
      Total System Services Inc.   3.750%   6/1/23     5,120       5,344  
      Total System Services Inc.   4.000%   6/1/23     5,450       5,736  
      Trimble Inc.   4.150%   6/15/23     1,950       2,057  
      Trimble Inc.   4.750%   12/1/24     1,682       1,822  
      Tyco Electronics Group SA   4.875%   1/15/21     5,727       5,886  
      Tyco Electronics Group SA   3.500%   2/3/22     1,650       1,698  
      Tyco Electronics Group SA   3.450%   8/1/24     2,000       2,085  
      Verisk Analytics Inc.   5.800%   5/1/21     3,365       3,523  
      Verisk Analytics Inc.   4.125%   9/12/22     3,025       3,163  
      VMware Inc.   2.950%   8/21/22     10,420       10,613  
      Xilinx Inc.   3.000%   3/15/21     2,190       2,215  
      Xilinx Inc.   2.950%   6/1/24     5,000       5,132  
      Transportation (0.4%)                        
3     American Airlines 2013-2 Class A Pass Through Trust   4.950%   7/15/24     4,954       5,180  
      Burlington Northern Santa Fe LLC   3.450%   9/15/21     6,075       6,215  
      Burlington Northern Santa Fe LLC   3.050%   3/15/22     3,925       4,011  
      Burlington Northern Santa Fe LLC   3.050%   9/1/22     4,849       4,975  
      Burlington Northern Santa Fe LLC   3.000%   3/15/23     8,637       8,875  
      Burlington Northern Santa Fe LLC   3.850%   9/1/23     1,300       1,380  
      Burlington Northern Santa Fe LLC   3.750%   4/1/24     3,275       3,496  
      Canadian National Railway Co.   2.850%   12/15/21     2,710       2,747  
      Canadian Pacific Railway Co.   9.450%   8/1/21     1,200       1,329  
3     Continental Airlines 2007-1 Class A Pass Through Trust   5.983%   10/19/23     1,634       1,720  
3     Continental Airlines 2010-1 Class A Pass Through Trust   4.750%   7/12/22     985       1,006  
3     Continental Airlines 2012-1 Class A Pass Through Trust   4.150%   10/11/25     3,927       4,107  
      CSX Corp.   4.250%   6/1/21     3,770       3,866  
      CSX Corp.   3.700%   11/1/23     1,816       1,919  

 

32

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      CSX Corp.   3.400%   8/1/24     3,341       3,517  
3     Delta Air Lines 2007-1 Class A Pass Through Trust   6.821%   2/10/24     2,044       2,226  
      Delta Air Lines 2019-1 Class AA Pass Through Trust   3.204%   4/25/24     2,900       3,012  
      Delta Air Lines Inc.   2.600%   12/4/20     2,000       2,006  
      Delta Air Lines Inc.   3.400%   4/19/21     4,400       4,453  
      Delta Air Lines Inc.   3.625%   3/15/22     9,000       9,219  
      Delta Air Lines Inc.   3.800%   4/19/23     5,900       6,120  
      Delta Air Lines Inc.   2.900%   10/28/24     4,275       4,285  
      FedEx Corp.   3.400%   1/14/22     350       359  
      FedEx Corp.   2.625%   8/1/22     3,895       3,952  
      FedEx Corp.   4.000%   1/15/24     300       321  
      Kansas City Southern   3.000%   5/15/23     2,485       2,539  
      Norfolk Southern Corp.   3.250%   12/1/21     5,418       5,537  
      Norfolk Southern Corp.   3.000%   4/1/22     5,842       5,970  
      Norfolk Southern Corp.   2.903%   2/15/23     5,191       5,303  
      Norfolk Southern Corp.   3.850%   1/15/24     1,936       2,051  
      Ryder System Inc.   3.500%   6/1/21     2,600       2,650  
      Ryder System Inc.   2.250%   9/1/21     1,910       1,912  
      Ryder System Inc.   2.800%   3/1/22     1,550       1,574  
      Ryder System Inc.   3.400%   3/1/23     9,682       9,979  
      Ryder System Inc.   3.750%   6/9/23     7,020       7,326  
      Ryder System Inc.   3.650%   3/18/24     675       709  
      Southwest Airlines Co.   2.750%   11/16/22     2,400       2,434  
      Union Pacific Corp.   4.000%   2/1/21     3,695       3,757  
      Union Pacific Corp.   3.200%   6/8/21     2,800       2,848  
      Union Pacific Corp.   2.950%   3/1/22     3,800       3,881  
      Union Pacific Corp.   4.163%   7/15/22     2,292       2,408  
      Union Pacific Corp.   2.950%   1/15/23     1,375       1,409  
      Union Pacific Corp.   2.750%   4/15/23     250       255  
      Union Pacific Corp.   3.500%   6/8/23     1,150       1,203  
      Union Pacific Corp.   3.646%   2/15/24     1,750       1,842  
      Union Pacific Corp.   3.150%   3/1/24     4,005       4,160  
      Union Pacific Corp.   3.750%   3/15/24     1,745       1,846  
      United Parcel Service Inc.   3.125%   1/15/21     7,354       7,448  
      United Parcel Service Inc.   2.050%   4/1/21     8,900       8,923  
      United Parcel Service Inc.   2.350%   5/16/22     6,947       7,024  
      United Parcel Service Inc.   2.450%   10/1/22     7,390       7,505  
      United Parcel Service Inc.   2.500%   4/1/23     1,991       2,022  
      United Parcel Service Inc.   2.200%   9/1/24     100       101  
      United Parcel Service Inc.   2.800%   11/15/24     1,050       1,083  
                            6,748,098  
Utilities (1.1%)
      Electric (1.0%)                        
      AEP Texas Inc.   2.400%   10/1/22     2,300       2,316  
      Alabama Power Co.   2.450%   3/30/22     5,568       5,637  
      Alabama Power Co.   3.550%   12/1/23     2,200       2,318  
      Ameren Corp.   2.500%   9/15/24     625       630  
      American Electric Power Co. Inc.   3.650%   12/1/21     4,600       4,741  
      American Electric Power Co. Inc.   2.950%   12/15/22     1,985       2,027  
      Appalachian Power Co.   4.600%   3/30/21     3,117       3,199  
      Avangrid Inc.   3.150%   12/1/24     4,425       4,561  
      Baltimore Gas & Electric Co.   3.500%   11/15/21     2,400       2,464  
      Baltimore Gas & Electric Co.   3.350%   7/1/23     2,874       2,981  
      Berkshire Hathaway Energy Co.   2.375%   1/15/21     1,100       1,103  
      Berkshire Hathaway Energy Co.   2.800%   1/15/23     3,026       3,086  
      Berkshire Hathaway Energy Co.   3.750%   11/15/23     4,930       5,203  
      CenterPoint Energy Houston Electric LLC   1.850%   6/1/21     2,365       2,365  
      CenterPoint Energy Houston Electric LLC   2.250%   8/1/22     1,131       1,137  
      CenterPoint Energy Inc.   3.600%   11/1/21     2,075       2,124  
      CenterPoint Energy Inc.   2.500%   9/1/22     3,750       3,777  
      CenterPoint Energy Inc.   3.850%   2/1/24     5,375       5,643  
      CenterPoint Energy Inc.   2.500%   9/1/24     3,000       3,003  
      CMS Energy Corp.   5.050%   3/15/22     3,915       4,129  

 

33

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Commonwealth Edison Co.   3.400%   9/1/21     2,200       2,251  
      Consolidated Edison Inc.   2.000%   5/15/21     4,281       4,279  
      Consumers Energy Co.   2.850%   5/15/22     1,400       1,430  
      Consumers Energy Co.   3.375%   8/15/23     2,425       2,530  
      Delmarva Power & Light Co.   3.500%   11/15/23     3,675       3,849  
      Dominion Energy Inc.   2.715%   8/15/21     5,136       5,174  
      Dominion Energy Inc.   2.750%   1/15/22     2,700       2,733  
      Dominion Energy Inc.   2.750%   9/15/22     6,328       6,401  
      DTE Electric Co.   3.650%   3/15/24     2,434       2,570  
      DTE Energy Co.   2.600%   6/15/22     1,500       1,507  
      DTE Energy Co.   3.300%   6/15/22     2,935       3,001  
      DTE Energy Co.   2.250%   11/1/22     1,500       1,500  
      DTE Energy Co.   3.700%   8/1/23     4,750       4,945  
      DTE Energy Co.   3.850%   12/1/23     3,000       3,147  
      DTE Energy Co.   3.500%   6/1/24     4,233       4,410  
      DTE Energy Co.   2.529%   10/1/24     1,029       1,031  
      Duke Energy Carolinas LLC   3.900%   6/15/21     3,112       3,189  
      Duke Energy Carolinas LLC   3.350%   5/15/22     3,200       3,299  
      Duke Energy Carolinas LLC   2.500%   3/15/23     1,751       1,775  
      Duke Energy Carolinas LLC   3.050%   3/15/23     5,175       5,328  
      Duke Energy Corp.   1.800%   9/1/21     4,905       4,892  
      Duke Energy Corp.   3.550%   9/15/21     2,350       2,403  
      Duke Energy Corp.   2.400%   8/15/22     2,700       2,720  
      Duke Energy Corp.   3.050%   8/15/22     3,446       3,523  
      Duke Energy Corp.   3.950%   10/15/23     3,612       3,818  
      Duke Energy Corp.   3.750%   4/15/24     5,127       5,433  
      Duke Energy Florida LLC   3.100%   8/15/21     4,993       5,073  
      Duke Energy Ohio Inc.   3.800%   9/1/23     3,195       3,374  
      Duke Energy Progress LLC   3.000%   9/15/21     4,505       4,587  
      Duke Energy Progress LLC   2.800%   5/15/22     3,026       3,082  
      Duke Energy Progress LLC   3.375%   9/1/23     2,000       2,089  
      Edison International   2.400%   9/15/22     4,125       4,094  
      Edison International   3.125%   11/15/22     410       415  
      Edison International   2.950%   3/15/23     2,911       2,907  
      Edison International   3.550%   11/15/24     8,105       8,302  
      Emera US Finance LP   2.700%   6/15/21     7,716       7,775  
      Entergy Arkansas Inc.   3.750%   2/15/21     2,715       2,759  
      Entergy Arkansas Inc.   3.700%   6/1/24     3,275       3,470  
      Entergy Corp.   4.000%   7/15/22     5,807       6,045  
      Entergy Gulf States Louisiana LLC   5.590%   10/1/24     2,617       2,999  
      Entergy Louisiana LLC   4.050%   9/1/23     2,300       2,446  
      Entergy Louisiana LLC   5.400%   11/1/24     150       171  
      Evergy Inc.   2.450%   9/15/24     4,130       4,150  
      Eversource Energy   2.500%   3/15/21     4,100       4,123  
      Eversource Energy   2.750%   3/15/22     3,681       3,731  
      Eversource Energy   3.800%   12/1/23     6,112       6,394  
      Eversource Energy   2.900%   10/1/24     7,249       7,393  
      Exelon Corp.   5.150%   12/1/20     2,674       2,727  
      Exelon Corp.   2.450%   4/15/21     3,998       4,019  
      Exelon Corp.   3.497%   6/1/22     6,516       6,684  
      Exelon Generation Co. LLC   3.400%   3/15/22     3,250       3,327  
      Exelon Generation Co. LLC   4.250%   6/15/22     5,186       5,420  
      FirstEnergy Corp.   2.850%   7/15/22     3,603       3,657  
      FirstEnergy Corp.   4.250%   3/15/23     6,334       6,677  
      Florida Power & Light Co.   2.750%   6/1/23     4,320       4,416  
      Florida Power & Light Co.   3.250%   6/1/24     2,700       2,817  
      Georgia Power Co.   2.400%   4/1/21     6,450       6,474  
      Georgia Power Co.   2.850%   5/15/22     1,100       1,119  
      Georgia Power Co.   2.200%   9/15/24     4,465       4,387  
      Great Plains Energy Inc.   4.850%   6/1/21     3,175       3,274  
      Interstate Power & Light Co.   3.250%   12/1/24     3,210       3,346  
      ITC Holdings Corp.   2.700%   11/15/22     6,767       6,849  
      Kansas City Power & Light Co.   3.150%   3/15/23     1,825       1,875  
      MidAmerican Energy Co.   3.500%   10/15/24     5,857       6,213  

 

34

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      National Rural Utilities Cooperative Finance Corp.   2.900%   3/15/21     4,750       4,804  
      National Rural Utilities Cooperative Finance Corp.   3.050%   2/15/22     8,139       8,307  
      National Rural Utilities Cooperative Finance Corp.   2.400%   4/25/22     471       476  
      National Rural Utilities Cooperative Finance Corp.   2.700%   2/15/23     2,608       2,658  
      National Rural Utilities Cooperative Finance Corp.   3.400%   11/15/23     2,372       2,494  
      National Rural Utilities Cooperative Finance Corp.   2.950%   2/7/24     5,780       5,961  
      NextEra Energy Capital Holdings Inc.   4.500%   6/1/21     3,440       3,533  
      NextEra Energy Capital Holdings Inc.   2.403%   9/1/21     8,000       8,039  
      NextEra Energy Capital Holdings Inc.   2.900%   4/1/22     5,604       5,696  
      NextEra Energy Capital Holdings Inc.   2.800%   1/15/23     5,280       5,358  
      NextEra Energy Capital Holdings Inc.   3.150%   4/1/24     5,850       6,032  
      Northern States Power Co.   2.600%   5/15/23     1,800       1,826  
      Ohio Power Co.   5.375%   10/1/21     100       106  
      Oncor Electric Delivery Co. LLC   4.100%   6/1/22     1,525       1,591  
      Oncor Electric Delivery Co. LLC   2.750%   6/1/24     4,850       4,928  
      PacifiCorp   3.850%   6/15/21     2,710       2,773  
      PacifiCorp   2.950%   2/1/22     4,619       4,707  
      PacifiCorp   3.600%   4/1/24     2,700       2,844  
      PECO Energy Co.   1.700%   9/15/21     3,160       3,154  
      Pinnacle West Capital Corp.   2.250%   11/30/20     2,800       2,807  
      PNM Resources Inc.   3.250%   3/9/21     2,200       2,226  
      PPL Capital Funding Inc.   4.200%   6/15/22     3,060       3,190  
      PPL Capital Funding Inc.   3.400%   6/1/23     7,114       7,308  
      PPL Capital Funding Inc.   3.950%   3/15/24     150       158  
      PPL Electric Utilities Corp.   3.000%   9/15/21     350       356  
      Progress Energy Inc.   4.400%   1/15/21     2,422       2,463  
      Progress Energy Inc.   3.150%   4/1/22     1,000       1,020  
      PSEG Power LLC   3.000%   6/15/21     2,500       2,529  
      PSEG Power LLC   3.850%   6/1/23     5,670       5,938  
      Public Service Electric & Gas Co.   1.900%   3/15/21     3,031       3,037  
      Public Service Electric & Gas Co.   2.375%   5/15/23     4,000       4,044  
      Public Service Enterprise Group Inc.   2.000%   11/15/21     600       599  
      Public Service Enterprise Group Inc.   2.650%   11/15/22     5,000       5,077  
      Public Service Enterprise Group Inc.   2.875%   6/15/24     4,550       4,634  
      Puget Energy Inc.   6.500%   12/15/20     4,075       4,242  
      Puget Energy Inc.   6.000%   9/1/21     3,609       3,825  
      Puget Energy Inc.   5.625%   7/15/22     3,315       3,555  
      San Diego Gas & Electric Co.   3.000%   8/15/21     3,247       3,292  
      San Diego Gas & Electric Co.   3.600%   9/1/23     1,248       1,302  
      Southern California Edison Co.   2.900%   3/1/21     2,175       2,198  
      Southern California Edison Co.   3.875%   6/1/21     1,790       1,828  
3     Southern California Edison Co.   1.845%   2/1/22     1,448       1,430  
      Southern California Edison Co.   2.400%   2/1/22     1,200       1,206  
      Southern California Edison Co.   3.400%   6/1/23     2,500       2,577  
      Southern California Edison Co.   3.500%   10/1/23     2,659       2,766  
      Southern Co.   2.350%   7/1/21     4,559       4,575  
      Southern Co.   2.950%   7/1/23     2,600       2,647  
3     Southern Co.   5.500%   3/15/57     2,150       2,247  
      Southern Power Co.   2.500%   12/15/21     3,500       3,527  
      Southwestern Public Service Co.   3.300%   6/15/24     3,078       3,198  
      Union Electric Co.   3.500%   4/15/24     2,600       2,731  
      Virginia Electric & Power Co.   2.950%   1/15/22     6,395       6,498  
      Virginia Electric & Power Co.   2.750%   3/15/23     10,900       11,074  
      WEC Energy Group Inc.   3.375%   6/15/21     3,725       3,793  
      Wisconsin Electric Power Co.   2.950%   9/15/21     1,075       1,091  
      Wisconsin Electric Power Co.   2.050%   12/15/24     700       699  
      Wisconsin Public Service Corp.   3.350%   11/21/21     4,413       4,539  
      Xcel Energy Inc.   2.400%   3/15/21     5,450       5,476  
      Xcel Energy Inc.   2.600%   3/15/22     2,075       2,099  
      Natural Gas (0.1%)                        
      CenterPoint Energy Resources Corp.   4.500%   1/15/21     2,726       2,775  
      CenterPoint Energy Resources Corp.   3.550%   4/1/23     2,775       2,868  
      NiSource Inc.   2.650%   11/17/22     2,775       2,809  

 

35

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      NiSource Inc.   3.650%   6/15/23     2,750       2,867  
      ONE Gas Inc.   3.610%   2/1/24     1,895       1,985  
      Sempra Energy   2.875%   10/1/22     3,491       3,550  
      Sempra Energy   2.900%   2/1/23     4,125       4,185  
      Sempra Energy   4.050%   12/1/23     3,281       3,472  
      Southern Co. Gas Capital Corp.   3.500%   9/15/21     2,427       2,478  
      Southern Co. Gas Capital Corp.   2.450%   10/1/23     4,050       4,058  
      Other Utility (0.0%)                        
      American Water Capital Corp.   3.850%   3/1/24     3,525       3,722  
                            546,099  

Total Corporate Bonds (Cost $12,327,319)

                    12,573,830  
Sovereign Bonds (6.6%)
      African Development Bank   2.625%   3/22/21     18,715       18,912  
      African Development Bank   1.250%   7/26/21     9,984       9,918  
      African Development Bank   2.375%   9/23/21     12,035       12,175  
      African Development Bank   1.625%   9/16/22     12,200       12,180  
      African Development Bank   2.125%   11/16/22     19,525       19,757  
      African Development Bank   3.000%   9/20/23     8,850       9,256  
      Asian Development Bank   2.250%   1/20/21     8,700       8,746  
      Asian Development Bank   1.625%   3/16/21     24,097       24,067  
      Asian Development Bank   1.750%   6/8/21     21,705       21,720  
      Asian Development Bank   2.125%   11/24/21     7,400       7,460  
      Asian Development Bank   2.000%   2/16/22     26,305       26,496  
      Asian Development Bank   1.875%   2/18/22     25,720       25,846  
      Asian Development Bank   1.875%   7/19/22     19,671       19,757  
      Asian Development Bank   1.875%   8/10/22     11,535       11,572  
      Asian Development Bank   1.750%   9/13/22     31,137       31,187  
      Asian Development Bank   2.750%   3/17/23     15,810       16,321  
      Asian Development Bank   2.625%   1/30/24     9,300       9,617  
      Asian Development Bank   1.500%   10/18/24     11,315       11,183  
      Asian Infrastructure Investment Bank   2.250%   5/16/24     15,500       15,795  
      Canada   2.625%   1/25/22     14,700       14,981  
      Canada   2.000%   11/15/22     20,065       20,256  
      CNOOC Finance 2013 Ltd.   3.000%   5/9/23     22,156       22,577  
      CNOOC Finance 2015 USA LLC   3.750%   5/2/23     200       208  
      CNOOC Nexen Finance 2014 ULC   4.250%   4/30/24     12,365       13,207  
      Corp Andina de Fomento   3.250%   2/11/22     8,000       8,142  
      Corp Andina de Fomento   3.750%   11/23/23     7,015       7,338  
      Corp. Andina de Fomento   2.125%   9/27/21     6,610       6,593  
      Corp. Andina de Fomento   4.375%   6/15/22     6,251       6,545  
      Corp. Andina de Fomento   2.750%   1/6/23     7,750       7,817  
      Council Of Europe Development Bank   1.625%   3/16/21     4,750       4,741  
      Council Of Europe Development Bank   1.750%   9/26/22     6,180       6,188  
      Council Of Europe Development Bank   2.625%   2/13/23     9,762       10,032  
      Ecopetrol SA   5.875%   9/18/23     12,515       13,892  
      Equinor ASA   2.750%   11/10/21     3,000       3,049  
      Equinor ASA   3.150%   1/23/22     15,084       15,468  
      Equinor ASA   2.450%   1/17/23     7,965       8,086  
      Equinor ASA   2.650%   1/15/24     10,125       10,357  
      Equinor ASA   3.700%   3/1/24     3,048       3,246  
      Equinor ASA   3.250%   11/10/24     1,753       1,846  
      European Bank for Reconstruction & Development   2.000%   2/1/21     8,542       8,563  
      European Bank for Reconstruction & Development   2.750%   4/26/21     5,300       5,367  
      European Bank for Reconstruction & Development   1.875%   7/15/21     14,600       14,634  
      European Bank for Reconstruction & Development   1.500%   11/2/21     4,904       4,889  
      European Bank for Reconstruction & Development   1.875%   2/23/22     9,561       9,602  
      European Bank for Reconstruction & Development   2.750%   3/7/23     14,520       14,990  
      European Investment Bank   4.000%   2/16/21     14,595       14,954  
      European Investment Bank   2.000%   3/15/21     39,292       39,418  
      European Investment Bank   2.500%   4/15/21     22,115       22,327  
      European Investment Bank   2.375%   5/13/21     25,290       25,505  
      European Investment Bank   1.625%   6/15/21     33,259       33,205  

 

36

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      European Investment Bank   1.375%   9/15/21     19,285       19,193  
      European Investment Bank   2.125%   10/15/21     20,610       20,774  
      European Investment Bank   2.875%   12/15/21     24,620       25,182  
      European Investment Bank   2.250%   3/15/22     29,150       29,520  
      European Investment Bank   2.625%   5/20/22     5,381       5,502  
      European Investment Bank   2.375%   6/15/22     17,110       17,390  
      European Investment Bank   2.250%   8/15/22     20,065       20,352  
      European Investment Bank   1.375%   9/6/22     18,700       18,552  
      European Investment Bank   2.000%   12/15/22     21,880       22,075  
      European Investment Bank   2.500%   3/15/23     36,794       37,720  
      European Investment Bank   2.875%   8/15/23     23,465       24,437  
      European Investment Bank   3.125%   12/14/23     22,303       23,495  
      European Investment Bank   3.250%   1/29/24     31,488       33,344  
      European Investment Bank   2.625%   3/15/24     18,465       19,121  
      European Investment Bank   2.250%   6/24/24     4,066       4,154  
      Export Development Canada   1.500%   5/26/21     6,650       6,625  
      Export Development Canada   1.375%   10/21/21     8,250       8,197  
      Export Development Canada   1.750%   7/18/22     6,200       6,223  
      Export Development Canada   2.500%   1/24/23     6,550       6,703  
      Export Development Canada   2.750%   3/15/23     9,000       9,290  
      Export Development Canada   2.625%   2/21/24     4,650       4,798  
      Export-Import Bank of Korea   2.625%   12/30/20     6,550       6,584  
      Export-Import Bank of Korea   4.000%   1/29/21     13,244       13,501  
      Export-Import Bank of Korea   2.125%   2/11/21     6,850       6,851  
      Export-Import Bank of Korea   2.500%   5/10/21     4,100       4,121  
      Export-Import Bank of Korea   4.375%   9/15/21     6,920       7,192  
      Export-Import Bank of Korea   1.875%   10/21/21     2,575       2,568  
      Export-Import Bank of Korea   2.750%   1/25/22     1,100       1,117  
      Export-Import Bank of Korea   5.000%   4/11/22     7,550       8,043  
      Export-Import Bank of Korea   3.000%   11/1/22     7,885       8,089  
      Export-Import Bank of Korea   3.625%   11/27/23     3,120       3,285  
      Export-Import Bank of Korea   4.000%   1/14/24     5,100       5,451  
      FMS Wertmanagement AoeR   2.750%   3/6/23     10,450       10,781  
      FMS Wertmanagement AoeR   1.375%   6/8/21     4,040       4,021  
      FMS Wertmanagement AoeR   2.000%   8/1/22     20,235       20,388  
      Hydro-Quebec   9.400%   2/1/21     2,225       2,400  
      Hydro-Quebec   8.400%   1/15/22     5,825       6,542  
      Hydro-Quebec   8.050%   7/7/24     5,150       6,415  
      Industrial & Commercial Bank of China Ltd.   2.635%   5/26/21     5,850       5,870  
      Industrial & Commercial Bank of China Ltd.   2.452%   10/20/21     3,000       3,004  
      Industrial & Commercial Bank of China Ltd.   2.957%   11/8/22     5,950       6,037  
      Inter-American Development Bank   1.875%   3/15/21     14,606       14,626  
      Inter-American Development Bank   2.625%   4/19/21     25,988       26,274  
      Inter-American Development Bank   1.875%   7/23/21     5,450       5,467  
      Inter-American Development Bank   1.250%   9/14/21     1,500       1,490  
      Inter-American Development Bank   2.125%   1/18/22     24,450       24,673  
      Inter-American Development Bank   1.750%   4/14/22     14,030       14,055  
      Inter-American Development Bank   1.750%   9/14/22     16,300       16,330  
      Inter-American Development Bank   3.000%   9/26/22     6,000       6,194  
      Inter-American Development Bank   2.500%   1/18/23     26,633       27,271  
      Inter-American Development Bank   3.000%   10/4/23     9,980       10,458  
      Inter-American Development Bank   2.625%   1/16/24     20,650       21,339  
      Inter-American Development Bank   3.000%   2/21/24     25,200       26,394  
      International Bank for Reconstruction & Development   1.625%   3/9/21     19,223       19,200  
      International Bank for Reconstruction & Development   1.375%   5/24/21     28,880       28,740  
      International Bank for Reconstruction & Development   2.250%   6/24/21     23,210       23,385  
      International Bank for Reconstruction & Development   2.750%   7/23/21     45,659       46,413  
      International Bank for Reconstruction & Development   1.375%   9/20/21     34,720       34,554  
      International Bank for Reconstruction & Development   2.125%   12/13/21     8,065       8,129  
      International Bank for Reconstruction & Development   2.000%   1/26/22     30,340       30,543  
      International Bank for Reconstruction & Development   1.625%   2/10/22     16,625       16,614  
      International Bank for Reconstruction & Development   2.125%   7/1/22     33,650       34,015  
      International Bank for Reconstruction & Development   1.875%   10/7/22     3,894       3,913  
      International Bank for Reconstruction & Development   7.625%   1/19/23     10,196       11,971  

 

37

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      International Bank for Reconstruction & Development   1.750%   4/19/23     6,375       6,381  
      International Bank for Reconstruction & Development   1.875%   6/19/23     38,375       38,563  
      International Bank for Reconstruction & Development   3.000%   9/27/23     30,475       31,892  
      International Bank for Reconstruction & Development   2.500%   3/19/24     16,800       17,313  
      International Bank for Reconstruction & Development   1.500%   8/28/24     23,650       23,382  
      International Bank for Reconstruction & Development   2.500%   11/25/24     26,803       27,711  
      International Finance Corp.   2.250%   1/25/21     19,025       19,125  
      International Finance Corp.   1.125%   7/20/21     5,540       5,495  
      International Finance Corp.   2.875%   7/31/23     10,500       10,922  
      International Finance Corp.   1.375%   10/16/24     17,000       16,674  
5     Japan Bank for International Cooperation   3.125%   7/20/21     6,820       6,956  
5     Japan Bank for International Cooperation   1.500%   7/21/21     7,300       7,266  
5     Japan Bank for International Cooperation   2.000%   11/4/21     13,475       13,509  
5     Japan Bank for International Cooperation   2.500%   6/1/22     6,305       6,392  
5     Japan Bank for International Cooperation   2.375%   7/21/22     9,500       9,607  
5     Japan Bank for International Cooperation   1.625%   10/17/22     1,750       1,734  
5     Japan Bank for International Cooperation   2.375%   11/16/22     11,410       11,551  
5     Japan Bank for International Cooperation   3.250%   7/20/23     19,125       19,861  
5     Japan Bank for International Cooperation   3.375%   7/31/23     1,475       1,547  
5     Japan Bank for International Cooperation   3.375%   10/31/23     10,000       10,519  
5     Japan Bank for International Cooperation   2.500%   5/23/24     11,700       11,913  
5     Japan Bank for International Cooperation   3.000%   5/29/24     10,865       11,282  
5     Japan Bank for International Cooperation   1.750%   10/17/24     2,500       2,461  
6     KFW   1.625%   3/15/21     27,275       27,251  
6     KFW   2.375%   3/24/21     25,600       25,787  
6     KFW   2.625%   4/12/21     35,000       35,411  
6     KFW   1.500%   6/15/21     30,700       30,648  
6     KFW   2.375%   8/25/21     19,500       19,725  
6     KFW   1.750%   9/15/21     19,600       19,630  
6     KFW   2.000%   11/30/21     26,115       26,281  
6     KFW   3.125%   12/15/21     38,480       39,550  
6     KFW   2.625%   1/25/22     13,055       13,309  
6     KFW   2.500%   2/15/22     21,090       21,435  
6     KFW   2.125%   3/7/22     33,410       33,713  
6     KFW   2.125%   6/15/22     12,901       13,036  
6     KFW   1.750%   8/22/22     5,200       5,210  
6     KFW   2.000%   10/4/22     30,140       30,391  
6     KFW   2.375%   12/29/22     15,046       15,355  
6     KFW   2.125%   1/17/23     29,580       30,014  
6     KFW   2.625%   2/28/24     18,000       18,618  
6     KFW   1.375%   8/5/24     24,235       23,779  
6     KFW   2.500%   11/20/24     31,550       32,586  
      Korea Development Bank   2.500%   1/13/21     9,940       9,974  
      Korea Development Bank   4.625%   11/16/21     8,155       8,521  
      Korea Development Bank   2.625%   2/27/22     3,008       3,048  
      Korea Development Bank   3.000%   3/19/22     3,350       3,437  
      Korea Development Bank   3.000%   9/14/22     3,060       3,134  
      Korea Development Bank   3.375%   3/12/23     2,000       2,075  
      Korea Development Bank   2.750%   3/19/23     4,700       4,781  
      Korea Development Bank   3.750%   1/22/24     4,750       5,035  
      Korea Development Bank   3.250%   2/19/24     1,500       1,560  
      Korea Development Bank   2.125%   10/1/24     3,000       2,988  
6     Landwirtschaftliche Rentenbank   1.750%   9/24/21     3,500       3,505  
6     Landwirtschaftliche Rentenbank   2.250%   10/1/21     6,690       6,751  
6     Landwirtschaftliche Rentenbank   2.000%   12/6/21     12,730       12,800  
6     Landwirtschaftliche Rentenbank   3.125%   11/14/23     7,430       7,823  
      Nordic Investment Bank   2.250%   2/1/21     10,014       10,061  
      Nordic Investment Bank   1.250%   8/2/21     7,850       7,798  
      Nordic Investment Bank   2.250%   9/30/21     3,550       3,582  
      Nordic Investment Bank   2.125%   2/1/22     9,380       9,463  
      Nordic Investment Bank   1.375%   10/17/22     5,000       4,956  
      Nordic Investment Bank   2.875%   7/19/23     5,500       5,717  
      Nordic Investment Bank   2.250%   5/21/24     667       679  
      North American Development Bank   2.400%   10/26/22     2,500       2,510  

 

38

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
7     Oesterreichische Kontrollbank AG   1.875%   1/20/21     8,725       8,738  
7     Oesterreichische Kontrollbank AG   2.875%   9/7/21     7,300       7,439  
7     Oesterreichische Kontrollbank AG   2.375%   10/1/21     1,800       1,819  
7     Oesterreichische Kontrollbank AG   2.625%   1/31/22     6,925       7,048  
7     Oesterreichische Kontrollbank AG   1.625%   9/17/22     2,315       2,309  
7     Oesterreichische Kontrollbank AG   2.875%   3/13/23     9,865       10,213  
7     Oesterreichische Kontrollbank AG   3.125%   11/7/23     5,250       5,514  
3     Oriental Republic of Uruguay   8.000%   11/18/22     3,900       4,348  
3     Oriental Republic of Uruguay   4.500%   8/14/24     4,051       4,380  
      Petroleos Mexicanos   5.500%   1/21/21     7,220       7,415  
      Petroleos Mexicanos   6.375%   2/4/21     5,180       5,273  
      Petroleos Mexicanos   4.875%   1/24/22     4,887       5,077  
      Petroleos Mexicanos   5.375%   3/13/22     3,200       3,352  
      Petroleos Mexicanos   3.500%   1/30/23     9,255       9,349  
      Petroleos Mexicanos   4.625%   9/21/23     4,600       4,797  
      Petroleos Mexicanos   4.875%   1/18/24     4,580       4,802  
3     Petroleos Mexicanos   2.290%   2/15/24     855       861  
      Province of Alberta   2.200%   7/26/22     10,710       10,800  
      Province of Alberta   3.350%   11/1/23     10,925       11,505  
      Province of Alberta   2.950%   1/23/24     11,500       11,937  
      Province of Alberta   1.875%   11/13/24     18,300       18,241  
      Province of British Columbia   2.650%   9/22/21     5,058       5,133  
      Province of British Columbia   2.000%   10/23/22     5,999       6,034  
      Province of British Columbia   1.750%   9/27/24     5,400       5,343  
      Province of Manitoba   2.050%   11/30/20     9,700       9,713  
      Province of Manitoba   2.125%   5/4/22     2,361       2,378  
      Province of Manitoba   2.100%   9/6/22     3,475       3,495  
      Province of Manitoba   2.600%   4/16/24     6,750       6,931  
      Province of Manitoba   3.050%   5/14/24     7,140       7,450  
      Province of New Brunswick   2.500%   12/12/22     4,000       4,064  
      Province of Ontario   2.550%   2/12/21     17,840       17,984  
      Province of Ontario   2.500%   9/10/21     17,735       17,932  
      Province of Ontario   2.400%   2/8/22     12,810       12,966  
      Province of Ontario   2.550%   4/25/22     11,000       11,182  
      Province of Ontario   2.250%   5/18/22     22,045       22,257  
      Province of Ontario   2.450%   6/29/22     14,350       14,561  
      Province of Ontario   2.200%   10/3/22     5,383       5,434  
      Province of Ontario   3.400%   10/17/23     20,000       21,114  
      Province of Ontario   3.050%   1/29/24     8,100       8,440  
      Province of Ontario   3.200%   5/16/24     9,000       9,459  
      Province of Quebec   2.750%   8/25/21     18,308       18,604  
      Province of Quebec   2.375%   1/31/22     20,960       21,188  
      Province of Quebec   2.625%   2/13/23     1,875       1,921  
      Province of Quebec   2.500%   4/9/24     10,700       10,960  
      Province of Saskatchewan   8.500%   7/15/22     1,848       2,136  
      Republic of Chile   3.250%   9/14/21     8,209       8,362  
      Republic of Chile   2.250%   10/30/22     2,460       2,467  
      Republic of Colombia   4.375%   7/12/21     20,666       21,329  
      Republic of Colombia   4.000%   2/26/24     18,870       19,879  
      Republic of Colombia   8.125%   5/21/24     6,140       7,534  
      Republic of Hungary   6.375%   3/29/21     23,121       24,393  
      Republic of Hungary   5.375%   2/21/23     11,655       12,776  
      Republic of Hungary   5.750%   11/22/23     9,075       10,231  
      Republic of Hungary   5.375%   3/25/24     14,516       16,357  
      Republic of Indonesia   2.950%   1/11/23     7,620       7,745  
      Republic of Indonesia   4.450%   2/11/24     1,800       1,939  
      Republic of Italy   6.875%   9/27/23     23,572       26,792  
      Republic of Italy   2.375%   10/17/24     14,750       14,429  
      Republic of Korea   3.875%   9/11/23     8,700       9,263  
3     Republic of Panama   4.000%   9/22/24     10,413       11,129  
      Republic of Poland   5.125%   4/21/21     13,515       14,071  
      Republic of Poland   5.000%   3/23/22     10,778       11,503  
      Republic of Poland   3.000%   3/17/23     13,714       14,121  
      Republic of Poland   4.000%   1/22/24     10,267       11,050  

 

39

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Republic of the Philippines   4.000%   1/15/21     8,477       8,635  
      Republic of the Philippines   4.200%   1/21/24     7,380       7,948  
      Republic of the Philippines   9.500%   10/21/24     3,251       4,331  
      State of Israel   4.000%   6/30/22     9,575       10,065  
      State of Israel   3.150%   6/30/23     6,800       7,072  
      Svensk Exportkredit AB   1.750%   3/10/21     8,400       8,399  
      Svensk Exportkredit AB   2.375%   4/9/21     5,300       5,341  
      Svensk Exportkredit AB   2.875%   5/22/21     7,450       7,566  
      Svensk Exportkredit AB   1.625%   9/12/21     2,750       2,746  
      Svensk Exportkredit AB   3.125%   11/8/21     6,750       6,922  
      Svensk Exportkredit AB   2.375%   3/9/22     6,300       6,385  
      Svensk Exportkredit AB   2.000%   8/30/22     6,900       6,946  
      Svensk Exportkredit AB   1.625%   11/14/22     8,000       7,981  
      Svensk Exportkredit AB   2.875%   3/14/23     9,300       9,633  
      Syngenta Finance NV   3.125%   3/28/22     3,615       3,643  
      United Mexican States   3.625%   3/15/22     19,625       20,214  
      United Mexican States   4.000%   10/2/23     19,385       20,422  

Total Sovereign Bonds (Cost $3,264,526)

                    3,312,441  
Taxable Municipal Bonds (0.1%)
      California Department of Water Resources Power Supply Revenue   2.000%   5/1/22     2,195       2,207  
      California GO   2.800%   4/1/21     3,150       3,191  
      California GO   5.700%   11/1/21     5,330       5,705  
      California GO   2.367%   4/1/22     1,080       1,095  
      Florida Board of Administration Finance Corp Revenue   2.638%   7/1/21     4,500       4,554  
      Illinois GO   4.950%   6/1/23     7,889       8,233  
      Massachusetts GO   4.200%   12/1/21     2,250       2,318  
8     New Jersey Economic Development Authority Lease Revenue   0.000%   2/15/22     5,000       4,770  
      New York State Urban Development Corp. Revenue   2.100%   3/15/22     970       972  
      Oregon GO   5.762%   6/1/23     1,319       1,417  
      Utah GO   4.554%   7/1/24     9,895       10,476  

Total Taxable Municipal Bonds (Cost $44,429)

                    44,938  

 

                    Shares          
Temporary Cash Investment (1.3%)                        
Money Market Fund (1.3%)                        
9     Vanguard Market Liquidity Fund (Cost $646,228)   1.816%         6,461,660       646,230  
Total Investments (100.6%) (Cost $49,819,283)                     50,449,829  
Other Assets and Liabilities—Net (-0.6%)                     (305,389 ) 
Net Assets (100%)                     50,144,440  

1 U.S. government-guaranteed.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $357,364,000, representing 0.7% of net assets.
5 Guaranteed by the Government of Japan.
6 Guaranteed by the Federal Republic of Germany.
7 Guaranteed by the Republic of Austria.
8 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  GO—General Obligation Bond.

 

40

 

 

Vanguard® Short-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

  REIT—Real Estate Investment Trust.

 

41

 

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
U.S. Government and Agency Obligations (54.2%)                        
U.S. Government Securities (53.9%)                        
      United States Treasury Note/Bond   1.625%   11/15/22     64,605       64,625  
      United States Treasury Note/Bond   2.250%   11/15/24     64,624       66,270  
      United States Treasury Note/Bond   2.125%   11/30/24     362,230       369,362  
      United States Treasury Note/Bond   1.750%   12/31/24     57,840       57,994  
      United States Treasury Note/Bond   2.250%   12/31/24     161,315       165,524  
      United States Treasury Note/Bond   2.500%   1/31/25     256,600       266,464  
      United States Treasury Note/Bond   2.000%   2/15/25     554,796       562,596  
      United States Treasury Note/Bond   2.750%   2/28/25     381,626       401,066  
      United States Treasury Note/Bond   2.625%   3/31/25     182,031       190,252  
      United States Treasury Note/Bond   2.875%   4/30/25     126,566       133,922  
      United States Treasury Note/Bond   2.125%   5/15/25     567,500       578,674  
      United States Treasury Note/Bond   2.875%   5/31/25     359,635       380,652  
      United States Treasury Note/Bond   2.750%   6/30/25     87,750       92,371  
      United States Treasury Note/Bond   2.875%   7/31/25     102,915       109,058  
      United States Treasury Note/Bond   2.000%   8/15/25     486,122       492,349  
      United States Treasury Note/Bond   6.875%   8/15/25     47,479       60,462  
      United States Treasury Note/Bond   2.750%   8/31/25     204,830       215,776  
      United States Treasury Note/Bond   3.000%   9/30/25     168,116       179,464  
      United States Treasury Note/Bond   3.000%   10/31/25     126,522       135,122  
      United States Treasury Note/Bond   2.250%   11/15/25     270,522       277,666  
      United States Treasury Note/Bond   2.875%   11/30/25     201,505       213,910  
      United States Treasury Note/Bond   2.625%   12/31/25     239,685       251,183  
      United States Treasury Note/Bond   2.625%   1/31/26     201,235       210,918  
      United States Treasury Note/Bond   1.625%   2/15/26     768,664       760,977  
      United States Treasury Note/Bond   6.000%   2/15/26     12,240       15,223  
      United States Treasury Note/Bond   2.500%   2/28/26     366,000       381,039  
      United States Treasury Note/Bond   2.250%   3/31/26     219,650       225,554  
      United States Treasury Note/Bond   2.375%   4/30/26     251,875       260,534  
      United States Treasury Note/Bond   1.625%   5/15/26     652,268       645,034  
      United States Treasury Note/Bond   2.125%   5/31/26     332,456       338,846  
      United States Treasury Note/Bond   1.875%   6/30/26     177,205       177,898  
      United States Treasury Note/Bond   1.875%   7/31/26     187,095       187,739  
      United States Treasury Note/Bond   1.500%   8/15/26     771,261       755,597  
      United States Treasury Note/Bond   1.375%   8/31/26     432,825       420,654  
      United States Treasury Note/Bond   1.625%   9/30/26     178,950       176,684  
      United States Treasury Note/Bond   1.625%   10/31/26     175,245       172,890  
      United States Treasury Note/Bond   2.000%   11/15/26     555,297       561,194  
      United States Treasury Note/Bond   1.625%   11/30/26     448,479       442,451  
      United States Treasury Note/Bond   1.750%   12/31/26     149,065       148,227  
      United States Treasury Note/Bond   2.250%   2/15/27     649,065       666,713  
      United States Treasury Note/Bond   2.375%   5/15/27     603,742       625,724  
      United States Treasury Note/Bond   2.250%   8/15/27     575,586       591,414  
      United States Treasury Note/Bond   2.250%   11/15/27     550,965       566,288  
      United States Treasury Note/Bond   2.750%   2/15/28     539,955       575,387  
      United States Treasury Note/Bond   2.875%   5/15/28     553,253       595,439  
      United States Treasury Note/Bond   2.875%   8/15/28     588,945       634,682  
      United States Treasury Note/Bond   5.500%   8/15/28     9,960       12,813  
      United States Treasury Note/Bond   3.125%   11/15/28     773,703       850,594  
      United States Treasury Note/Bond   5.250%   11/15/28     10,000       12,727  
      United States Treasury Note/Bond   2.625%   2/15/29     636,111       674,080  
      United States Treasury Note/Bond   5.250%   2/15/29     15,235       19,477  
      United States Treasury Note/Bond   2.375%   5/15/29     762,496       792,524  
      United States Treasury Note/Bond   1.625%   8/15/29     649,430       632,584  
      United States Treasury Note/Bond   1.750%   11/15/29     608,744       599,515  
                            18,996,182  
Agency Bonds and Notes (0.3%)                        
1     AID-Jordan   3.000%   6/30/25     4,675       4,863  
      Federal Home Loan Banks   3.250%   11/16/28     7,855       8,590  
2     Federal Home Loan Mortgage Corp.   6.750%   9/15/29     1,930       2,704  
2     Federal National Mortgage Assn.   2.125%   4/24/26     23,500       23,818  
2     Federal National Mortgage Assn.   1.875%   9/24/26     30,220       30,142  

 

 

42

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
2     Federal National Mortgage Assn.   6.250%   5/15/29     6,004       8,101  
      Private Export Funding Corp.   3.250%   6/15/25     1,675       1,779  
      Tennessee Valley Authority   6.750%   11/1/25     6,830       8,639  
      Tennessee Valley Authority   2.875%   2/1/27     12,000       12,579  
                            101,215  
Total U.S. Government and Agency Obligations (Cost $18,638,420)                   19,097,397  
Corporate Bonds (40.4%)                      
Finance (14.5%)                        
      Banking (9.9%)                        
      Ally Financial Inc.   4.625%   3/30/25     6,899       7,460  
      American Express Co.   4.200%   11/6/25     1,250       1,376  
      American Express Co.   3.125%   5/20/26     4,121       4,276  
      American Express Credit Corp.   3.300%   5/3/27     19,337       20,573  
      Australia & New Zealand Banking Group Ltd.   3.700%   11/16/25     5,175       5,560  
      Banco Santander SA   5.179%   11/19/25     8,792       9,774  
      Banco Santander SA   4.250%   4/11/27     11,618       12,494  
      Banco Santander SA   3.800%   2/23/28     10,000       10,486  
      Banco Santander SA   4.379%   4/12/28     14,350       15,659  
      Banco Santander SA   3.306%   6/27/29     3,150       3,242  
      Bank of America Corp.   4.000%   1/22/25     21,966       23,351  
      Bank of America Corp.   3.950%   4/21/25     21,203       22,572  
3     Bank of America Corp.   3.093%   10/1/25     17,825       18,361  
3     Bank of America Corp.   3.366%   1/23/26     23,311       24,310  
      Bank of America Corp.   4.450%   3/3/26     22,115       24,226  
      Bank of America Corp.   3.500%   4/19/26     25,046       26,501  
      Bank of America Corp.   4.250%   10/22/26     20,677       22,465  
3     Bank of America Corp.   3.559%   4/23/27     15,400       16,234  
      Bank of America Corp.   3.248%   10/21/27     21,455       22,262  
      Bank of America Corp.   4.183%   11/25/27     20,258       21,923  
3     Bank of America Corp.   3.824%   1/20/28     25,375       27,201  
3     Bank of America Corp.   3.705%   4/24/28     11,191       11,943  
3     Bank of America Corp.   3.593%   7/21/28     23,742       25,213  
3     Bank of America Corp.   3.419%   12/20/28     72,016       75,425  
3     Bank of America Corp.   3.970%   3/5/29     22,375       24,328  
3     Bank of America Corp.   4.271%   7/23/29     32,800       36,325  
3     Bank of America Corp.   3.974%   2/7/30     13,700       14,911  
3     Bank of America Corp.   2.884%   10/22/30     8,000       8,079  
3     Bank of Montreal   3.803%   12/15/32     10,400       10,855  
      Bank of New York Mellon Corp.   3.000%   2/24/25     8,878       9,225  
      Bank of New York Mellon Corp.   2.800%   5/4/26     6,540       6,709  
      Bank of New York Mellon Corp.   2.450%   8/17/26     9,730       9,760  
      Bank of New York Mellon Corp.   3.250%   5/16/27     9,510       9,989  
      Bank of New York Mellon Corp.   3.400%   1/29/28     10,175       10,812  
3     Bank of New York Mellon Corp.   3.442%   2/7/28     7,200       7,603  
      Bank of Nova Scotia   4.500%   12/16/25     12,787       13,990  
      Bank of Nova Scotia   2.700%   8/3/26     7,480       7,600  
      Bank One Corp.   7.750%   7/15/25     1,750       2,162  
      Bank One Corp.   8.000%   4/29/27     6,910       9,131  
      BankUnited Inc.   4.875%   11/17/25     2,000       2,182  
      Barclays plc   3.650%   3/16/25     10,675       11,111  
      Barclays plc   4.375%   1/12/26     22,914       24,809  
      Barclays plc   4.337%   1/10/28     12,000       12,857  
3     Barclays plc   4.972%   5/16/29     12,345       13,872  
      BBVA USA   3.875%   4/10/25     3,650       3,818  
      BPCE SA   3.375%   12/2/26     3,450       3,616  
      Capital One Financial Corp.   3.200%   2/5/25     8,811       9,078  
      Capital One Financial Corp.   4.250%   4/30/25     6,315       6,870  
      Capital One Financial Corp.   4.200%   10/29/25     10,907       11,722  
      Capital One Financial Corp.   3.750%   7/28/26     15,327       16,067  
      Capital One Financial Corp.   3.750%   3/9/27     9,194       9,758  
      Capital One Financial Corp.   3.800%   1/31/28     10,880       11,687  
      Citigroup Inc.   3.875%   3/26/25     10,895       11,482  

 

 

43

 

  

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Citigroup Inc.   3.300%   4/27/25     5,696       5,977  
      Citigroup Inc.   4.400%   6/10/25     21,751       23,626  
      Citigroup Inc.   5.500%   9/13/25     5,520       6,302  
      Citigroup Inc.   3.700%   1/12/26     25,298       26,913  
      Citigroup Inc.   4.600%   3/9/26     15,010       16,533  
      Citigroup Inc.   3.400%   5/1/26     5,872       6,134  
      Citigroup Inc.   3.200%   10/21/26     36,259       37,509  
      Citigroup Inc.   4.300%   11/20/26     9,400       10,215  
      Citigroup Inc.   4.450%   9/29/27     37,501       41,236  
3     Citigroup Inc.   3.887%   1/10/28     26,679       28,592  
      Citigroup Inc.   6.625%   1/15/28     2,875       3,600  
3     Citigroup Inc.   3.668%   7/24/28     31,867       33,840  
      Citigroup Inc.   4.125%   7/25/28     3,400       3,689  
3     Citigroup Inc.   3.520%   10/27/28     23,356       24,525  
3     Citigroup Inc.   4.075%   4/23/29     4,390       4,800  
3     Citigroup Inc.   3.980%   3/20/30     37,350       40,803  
3     Citigroup Inc.   2.976%   11/5/30     2,450       2,488  
      Citizens Bank NA   3.750%   2/18/26     6,000       6,408  
      Citizens Financial Group Inc.   4.300%   12/3/25     7,469       8,017  
      Citizens Financial Group Inc.   2.850%   7/27/26     6,605       6,710  
      Comerica Bank   4.000%   7/27/25     1,925       2,059  
      Cooperatieve Rabobank UA   3.375%   5/21/25     9,320       9,848  
      Cooperatieve Rabobank UA   4.375%   8/4/25     12,357       13,366  
      Cooperatieve Rabobank UA   3.750%   7/21/26     6,615       6,886  
      Credit Suisse Group Funding Guernsey Ltd.   3.750%   3/26/25     17,897       18,914  
      Credit Suisse Group Funding Guernsey Ltd.   4.550%   4/17/26     7,075       7,846  
      Deutsche Bank AG   4.100%   1/13/26     500       510  
      Deutsche Bank AG   4.100%   1/13/26     7,179       7,322  
      Discover Bank   4.250%   3/13/26     2,390       2,582  
      Discover Bank   3.450%   7/27/26     5,914       6,134  
      Discover Bank   4.650%   9/13/28     7,950       8,911  
      Discover Financial Services   3.950%   11/6/24     3       3  
      Discover Financial Services   3.750%   3/4/25     6,613       6,980  
      Discover Financial Services   4.500%   1/30/26     6,725       7,355  
      Discover Financial Services   4.100%   2/9/27     11,760       12,605  
      Fifth Third Bancorp   2.375%   1/28/25     6,150       6,146  
      Fifth Third Bancorp   3.950%   3/14/28     5,726       6,288  
      Fifth Third Bank   3.950%   7/28/25     7,125       7,726  
      Fifth Third Bank   3.850%   3/15/26     5,990       6,363  
      FirstMerit Bank NA   4.270%   11/25/26     1,225       1,312  
      Goldman Sachs Group Inc.   3.500%   1/23/25     21,253       22,309  
      Goldman Sachs Group Inc.   3.750%   5/22/25     9,510       10,065  
      Goldman Sachs Group Inc.   4.250%   10/21/25     9,255       10,035  
      Goldman Sachs Group Inc.   3.750%   2/25/26     23,103       24,473  
      Goldman Sachs Group Inc.   3.500%   11/16/26     20,833       21,729  
      Goldman Sachs Group Inc.   5.950%   1/15/27     5,700       6,803  
      Goldman Sachs Group Inc.   3.850%   1/26/27     36,330       38,620  
3     Goldman Sachs Group Inc.   3.691%   6/5/28     24,950       26,464  
3     Goldman Sachs Group Inc.   3.814%   4/23/29     34,260       36,651  
3     Goldman Sachs Group Inc.   4.223%   5/1/29     13,267       14,574  
      HSBC Holdings plc   4.250%   8/18/25     12,512       13,383  
      HSBC Holdings plc   4.300%   3/8/26     29,382       31,923  
      HSBC Holdings plc   3.900%   5/25/26     18,561       19,761  
3     HSBC Holdings plc   4.292%   9/12/26     20,250       21,748  
      HSBC Holdings plc   4.375%   11/23/26     15,175       16,409  
3     HSBC Holdings plc   4.041%   3/13/28     16,435       17,535  
3     HSBC Holdings plc   4.583%   6/19/29     19,925       22,229  
3     HSBC Holdings plc   3.973%   5/22/30     29,617       31,814  
      Huntington Bancshares Inc.   4.000%   5/15/25     2,500       2,692  
      ING Groep NV   3.950%   3/29/27     16,495       17,736  
      ING Groep NV   4.550%   10/2/28     9,115       10,334  
      ING Groep NV   4.050%   4/9/29     6,350       6,962  
      JPMorgan Chase & Co.   3.125%   1/23/25     24,146       25,187  
      JPMorgan Chase & Co.   3.900%   7/15/25     26,142       28,201  

 

 

44

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      JPMorgan Chase & Co.   3.300%   4/1/26     31,664       33,189  
      JPMorgan Chase & Co.   3.200%   6/15/26     19,995       20,815  
      JPMorgan Chase & Co.   2.950%   10/1/26     29,207       30,020  
      JPMorgan Chase & Co.   4.125%   12/15/26     24,854       27,193  
3     JPMorgan Chase & Co.   3.960%   1/29/27     8,407       9,097  
      JPMorgan Chase & Co.   4.250%   10/1/27     6,903       7,632  
3     JPMorgan Chase & Co.   3.782%   2/1/28     18,428       19,791  
3     JPMorgan Chase & Co.   3.540%   5/1/28     11,952       12,659  
3     JPMorgan Chase & Co.   3.509%   1/23/29     15,080       15,983  
3     JPMorgan Chase & Co.   4.005%   4/23/29     32,030       35,060  
3     JPMorgan Chase & Co.   4.203%   7/23/29     23,450       26,109  
3     JPMorgan Chase & Co.   4.452%   12/5/29     13,815       15,716  
3     JPMorgan Chase & Co.   3.702%   5/6/30     18,512       19,935  
3     JPMorgan Chase & Co.   2.739%   10/15/30     40,346       40,346  
      KeyBank NA   3.300%   6/1/25     3,000       3,159  
      KeyBank NA   3.400%   5/20/26     7,450       7,730  
      KeyCorp   4.150%   10/29/25     7,950       8,701  
      KeyCorp   4.100%   4/30/28     5,000       5,456  
      KeyCorp   2.550%   10/1/29     11,500       11,245  
      Lloyds Banking Group plc   4.500%   11/4/24     1       1  
      Lloyds Banking Group plc   4.450%   5/8/25     5,500       5,993  
      Lloyds Banking Group plc   4.582%   12/10/25     23,939       25,834  
      Lloyds Banking Group plc   4.650%   3/24/26     3,890       4,210  
      Lloyds Banking Group plc   3.750%   1/11/27     7,335       7,695  
      Lloyds Banking Group plc   4.375%   3/22/28     23,425       25,788  
      Lloyds Banking Group plc   4.550%   8/16/28     6,000       6,700  
3     Lloyds Banking Group plc   3.574%   11/7/28     16,320       16,973  
      Manufacturers & Traders Trust Co.   2.900%   2/6/25     6,250       6,422  
      Manufacturers & Traders Trust Co.   3.400%   8/17/27     8,200       8,677  
      Mitsubishi UFJ Financial Group Inc.   3.777%   3/2/25     7,835       8,326  
      Mitsubishi UFJ Financial Group Inc.   3.850%   3/1/26     18,121       19,438  
      Mitsubishi UFJ Financial Group Inc.   2.757%   9/13/26     9,350       9,409  
      Mitsubishi UFJ Financial Group Inc.   3.677%   2/22/27     8,464       8,983  
      Mitsubishi UFJ Financial Group Inc.   3.287%   7/25/27     16,700       17,305  
      Mitsubishi UFJ Financial Group Inc.   3.961%   3/2/28     11,000       11,943  
      Mitsubishi UFJ Financial Group Inc.   4.050%   9/11/28     5,300       5,843  
      Mitsubishi UFJ Financial Group Inc.   3.741%   3/7/29     9,960       10,698  
      Mitsubishi UFJ Financial Group Inc.   3.195%   7/18/29     22,000       22,746  
      Mizuho Financial Group Inc.   2.839%   9/13/26     7,000       7,057  
      Mizuho Financial Group Inc.   3.663%   2/28/27     2,750       2,908  
      Mizuho Financial Group Inc.   3.170%   9/11/27     11,000       11,280  
      Mizuho Financial Group Inc.   4.018%   3/5/28     12,025       13,088  
3     Mizuho Financial Group Inc.   4.254%   9/11/29     4,000       4,428  
3     Mizuho Financial Group Inc.   3.153%   7/16/30     11,300       11,539  
3     Mizuho Financial Group Inc.   2.869%   9/13/30     4,610       4,639  
      Morgan Stanley   4.000%   7/23/25     37,106       40,128  
      Morgan Stanley   5.000%   11/24/25     10,817       12,146  
      Morgan Stanley   3.875%   1/27/26     17,931       19,233  
      Morgan Stanley   3.125%   7/27/26     28,241       29,069  
      Morgan Stanley   6.250%   8/9/26     1,793       2,177  
      Morgan Stanley   4.350%   9/8/26     22,633       24,708  
      Morgan Stanley   3.625%   1/20/27     31,730       33,691  
      Morgan Stanley   3.950%   4/23/27     11,960       12,785  
3     Morgan Stanley   3.591%   7/22/28     30,439       32,247  
3     Morgan Stanley   3.772%   1/24/29     23,650       25,405  
3     Morgan Stanley   4.431%   1/23/30     18,055       20,375  
      MUFG Americas Holdings Corp.   3.000%   2/10/25     4,165       4,231  
      National Australia Bank Ltd.   3.375%   1/14/26     3,150       3,300  
      National Australia Bank Ltd.   2.500%   7/12/26     11,630       11,675  
      Northern Trust Corp.   3.950%   10/30/25     5,218       5,617  
      Northern Trust Corp.   3.650%   8/3/28     4,000       4,321  
      Northern Trust Corp.   3.150%   5/3/29     5,500       5,789  
3     Northern Trust Corp.   3.375%   5/8/32     3,050       3,091  
      PNC Bank NA   2.950%   2/23/25     4,541       4,644  

 

 

45

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      PNC Bank NA   3.250%   6/1/25     8,890       9,311  
      PNC Bank NA   4.200%   11/1/25     4,700       5,108  
      PNC Bank NA   3.100%   10/25/27     10,850       11,317  
      PNC Bank NA   3.250%   1/22/28     3,650       3,832  
      PNC Bank NA   4.050%   7/26/28     11,750       12,898  
      PNC Bank NA   2.700%   10/22/29     8,500       8,449  
      PNC Financial Services Group Inc.   3.150%   5/19/27     6,114       6,318  
      PNC Financial Services Group Inc.   3.450%   4/23/29     13,800       14,664  
      Royal Bank of Canada   4.650%   1/27/26     18,074       20,061  
      Royal Bank of Scotland Group plc   4.800%   4/5/26     8,964       9,930  
3     Royal Bank of Scotland Group plc   4.892%   5/18/29     19,300       21,757  
3     Royal Bank of Scotland Group plc   5.076%   1/27/30     13,225       15,171  
3     Royal Bank of Scotland Group plc   4.445%   5/8/30     9,000       9,906  
      Santander Holdings USA Inc.   4.500%   7/17/25     15,130       16,268  
4     Santander Holdings USA Inc.   3.244%   10/5/26     3,200       3,215  
      Santander Holdings USA Inc.   4.400%   7/13/27     22,857       24,627  
3     Santander UK Group Holdings plc   3.823%   11/3/28     8,400       8,821  
      State Street Corp.   3.550%   8/18/25     10,313       11,083  
      State Street Corp.   2.650%   5/19/26     9,240       9,380  
3     State Street Corp.   4.141%   12/3/29     2,600       2,902  
      Sumitomo Mitsui Banking Corp.   3.650%   7/23/25     1,400       1,489  
      Sumitomo Mitsui Financial Group Inc.   3.784%   3/9/26     9,330       9,936  
      Sumitomo Mitsui Financial Group Inc.   2.632%   7/14/26     16,707       16,731  
      Sumitomo Mitsui Financial Group Inc.   3.010%   10/19/26     14,311       14,576  
      Sumitomo Mitsui Financial Group Inc.   3.446%   1/11/27     18,025       18,860  
      Sumitomo Mitsui Financial Group Inc.   3.364%   7/12/27     11,296       11,763  
      Sumitomo Mitsui Financial Group Inc.   3.544%   1/17/28     7,775       8,207  
      Sumitomo Mitsui Financial Group Inc.   3.944%   7/19/28     6,775       7,385  
      Sumitomo Mitsui Financial Group Inc.   4.306%   10/16/28     1,505       1,678  
      Sumitomo Mitsui Financial Group Inc.   3.040%   7/16/29     20,025       20,390  
      Sumitomo Mitsui Financial Group Inc.   3.202%   9/17/29     6,200       6,259  
      Sumitomo Mitsui Financial Group Inc.   2.724%   9/27/29     8,750       8,650  
      SVB Financial Group   3.500%   1/29/25     4,000       4,178  
      Synchrony Financial   4.500%   7/23/25     7,713       8,332  
      Synchrony Financial   3.700%   8/4/26     4,944       5,095  
      Synchrony Financial   3.950%   12/1/27     2,506       2,631  
      Synchrony Financial   5.150%   3/19/29     7,000       7,949  
3     Toronto-Dominion Bank   3.625%   9/15/31     9,500       9,927  
      Truist Bank   3.625%   9/16/25     20,468       21,771  
      Truist Bank   4.050%   11/3/25     1,750       1,915  
      Truist Financial Corp.   4.000%   5/1/25     7,020       7,594  
      Truist Financial Corp.   3.700%   6/5/25     8,600       9,263  
      Truist Financial Corp.   3.875%   3/19/29     3,100       3,337  
      US Bancorp   3.950%   11/17/25     9,258       10,180  
      US Bancorp   3.100%   4/27/26     10,070       10,482  
      US Bancorp   2.375%   7/22/26     8,899       8,921  
      US Bancorp   3.150%   4/27/27     10,775       11,273  
      US Bancorp   3.900%   4/26/28     4,670       5,238  
      US Bancorp   3.000%   7/30/29     3,850       3,940  
      US Bank NA   2.800%   1/27/25     8,105       8,353  
      Webster Financial Corp.   4.100%   3/25/29     2,500       2,647  
      Wells Fargo & Co.   3.000%   2/19/25     19,839       20,460  
      Wells Fargo & Co.   3.550%   9/29/25     19,824       20,944  
      Wells Fargo & Co.   3.000%   4/22/26     38,999       40,112  
      Wells Fargo & Co.   4.100%   6/3/26     26,711       28,712  
      Wells Fargo & Co.   3.000%   10/23/26     25,342       25,902  
3     Wells Fargo & Co.   3.196%   6/17/27     12,715       13,161  
      Wells Fargo & Co.   4.300%   7/22/27     21,249       23,190  
3     Wells Fargo & Co.   3.584%   5/22/28     23,006       24,393  
      Wells Fargo & Co.   4.150%   1/24/29     21,000       23,333  
3     Wells Fargo & Co.   2.879%   10/30/30     54,500       54,823  
      Westpac Banking Corp.   2.350%   2/19/25     8,425       8,440  
      Westpac Banking Corp.   2.850%   5/13/26     11,500       11,741  
      Westpac Banking Corp.   2.700%   8/19/26     9,340       9,443  

 

 

46

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Westpac Banking Corp.   3.350%   3/8/27     10,690       11,303  
3     Westpac Banking Corp.   4.322%   11/23/31     17,500       18,462  
      Westpac Banking Corp.   4.110%   7/24/34     5,500       5,727  
      Zions Bancorp NA   3.250%   10/29/29     3,280       3,218  
      Brokerage (0.6%)                        
      Affiliated Managers Group Inc.   3.500%   8/1/25     3,125       3,263  
      Ameriprise Financial Inc.   2.875%   9/15/26     4,175       4,265  
      BGC Partners Inc.   3.750%   10/1/24     1       1  
      BlackRock Inc.   3.200%   3/15/27     2,117       2,237  
      BlackRock Inc.   3.250%   4/30/29     8,350       8,917  
      Brookfield Asset Management Inc.   4.000%   1/15/25     5,910       6,339  
      Brookfield Finance Inc.   4.250%   6/2/26     2,700       2,928  
      Brookfield Finance Inc.   3.900%   1/25/28     5,800       6,226  
      Brookfield Finance Inc.   4.850%   3/29/29     8,050       9,223  
      Cboe Global Markets Inc.   3.650%   1/12/27     6,023       6,459  
      Charles Schwab Corp.   3.000%   3/10/25     1,000       1,037  
      Charles Schwab Corp.   3.850%   5/21/25     4,635       5,013  
      Charles Schwab Corp.   3.450%   2/13/26     4,755       5,018  
      Charles Schwab Corp.   3.200%   3/2/27     5,625       5,903  
      Charles Schwab Corp.   3.200%   1/25/28     5,610       5,863  
      Charles Schwab Corp.   4.000%   2/1/29     8,215       9,092  
      Charles Schwab Corp.   3.250%   5/22/29     5,600       5,908  
      CME Group Inc.   3.000%   3/15/25     4,232       4,379  
      CME Group Inc.   3.750%   6/15/28     4,275       4,719  
      E*TRADE Financial Corp.   3.800%   8/24/27     5,625       5,870  
      E*TRADE Financial Corp.   4.500%   6/20/28     2,050       2,231  
      Eaton Vance Corp.   3.500%   4/6/27     3,620       3,822  
      Franklin Resources Inc.   2.850%   3/30/25     4,015       4,133  
      Intercontinental Exchange Inc.   3.750%   12/1/25     6,005       6,463  
      Intercontinental Exchange Inc.   3.100%   9/15/27     3,550       3,717  
      Intercontinental Exchange Inc.   3.750%   9/21/28     1,825       1,991  
      Invesco Finance plc   3.750%   1/15/26     6,450       6,851  
      Janus Capital Group Inc.   4.875%   8/1/25     2,660       2,860  
      Jefferies Group LLC   4.850%   1/15/27     11,419       12,638  
      Jefferies Group LLC   6.450%   6/8/27     100       116  
      Lazard Group LLC   3.750%   2/13/25     2,975       3,133  
      Lazard Group LLC   3.625%   3/1/27     3,995       4,085  
      Lazard Group LLC   4.500%   9/19/28     4,200       4,661  
      Lazard Group LLC   4.375%   3/11/29     4,000       4,375  
      Legg Mason Inc.   4.750%   3/15/26     5,145       5,635  
      Nasdaq Inc.   3.850%   6/30/26     5,560       5,949  
      Raymond James Financial Inc.   3.625%   9/15/26     4,226       4,463  
      TD Ameritrade Holding Corp.   3.625%   4/1/25     3,050       3,236  
      TD Ameritrade Holding Corp.   3.300%   4/1/27     7,767       8,112  
      TD Ameritrade Holding Corp.   2.750%   10/1/29     4,100       4,126  
      Finance Companies (0.3%)                        
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.500%   1/15/25     7,200       7,413  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.450%   10/1/25     3,425       3,682  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.450%   4/3/26     3,550       3,803  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.650%   7/21/27     8,192       8,397  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.875%   1/23/28     6,900       7,142  
      Air Lease Corp.   3.250%   3/1/25     11,164       11,482  
      Air Lease Corp.   3.750%   6/1/26     300       313  
      Air Lease Corp.   3.625%   4/1/27     4,975       5,163  
      Air Lease Corp.   3.625%   12/1/27     5,700       5,894  
      Air Lease Corp.   4.625%   10/1/28     1,875       2,069  
      Air Lease Corp.   3.250%   10/1/29     5,200       5,170  
      Aircastle Ltd.   4.250%   6/15/26     4,700       4,957  

 

47

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Ares Capital Corp.   4.250%   3/1/25     5,350       5,584  
      FS KKR Capital Corp.   4.125%   2/1/25     2,500       2,533  
      GATX Corp.   3.250%   3/30/25     2,675       2,749  
      GATX Corp.   3.250%   9/15/26     2,050       2,077  
      GATX Corp.   3.850%   3/30/27     4,000       4,177  
      GATX Corp.   3.500%   3/15/28     7,328       7,461  
      GE Capital International Funding Co. Unlimited Co.   3.373%   11/15/25     15,886       16,472  
      Owl Rock Capital Corp.   4.000%   3/30/25     3,500       3,510  
      Insurance (1.6%)                        
3     Aegon NV   5.500%   4/11/48     8,045       8,739  
      Aflac Inc.   3.250%   3/17/25     4,465       4,686  
      Aflac Inc.   2.875%   10/15/26     2,975       3,061  
      Allied World Assurance Co. Holdings Ltd.   4.350%   10/29/25     4,848       5,034  
      Allstate Corp.   3.280%   12/15/26     4,605       4,858  
      American Financial Group Inc.   3.500%   8/15/26     4,200       4,308  
      American International Group Inc.   3.750%   7/10/25     8,969       9,593  
      American International Group Inc.   3.900%   4/1/26     9,409       10,068  
      American International Group Inc.   4.200%   4/1/28     8,595       9,420  
      American International Group Inc.   4.250%   3/15/29     5,085       5,648  
3     American International Group Inc.   5.750%   4/1/48     4,765       5,160  
      Anthem Inc.   2.375%   1/15/25     3,500       3,498  
      Anthem Inc.   3.650%   12/1/27     13,625       14,369  
      Anthem Inc.   4.101%   3/1/28     11,158       12,089  
      Anthem Inc.   2.875%   9/15/29     10,850       10,785  
      Aon Corp.   3.750%   5/2/29     7,205       7,697  
      Aon plc   3.875%   12/15/25     11,040       11,841  
      Arch Capital Finance LLC   4.011%   12/15/26     4,640       5,110  
      Assurant Inc.   4.900%   3/27/28     3,500       3,842  
      Athene Holding Ltd.   4.125%   1/12/28     8,575       8,857  
      AXA Equitable Holdings Inc.   7.000%   4/1/28     2,250       2,731  
      AXA Equitable Holdings Inc.   4.350%   4/20/28     18,450       20,014  
      AXIS Specialty Finance LLC   3.900%   7/15/29     2,450       2,568  
3     AXIS Specialty Finance LLC   4.900%   1/15/40     3,000       3,045  
      AXIS Specialty Finance plc   4.000%   12/6/27     3,075       3,244  
      Berkshire Hathaway Inc.   3.125%   3/15/26     28,417       29,978  
      Brighthouse Financial Inc.   3.700%   6/22/27     9,045       8,991  
      Brown & Brown Inc.   4.500%   3/15/29     2,800       3,055  
      Chubb INA Holdings Inc.   3.150%   3/15/25     10,018       10,518  
      Chubb INA Holdings Inc.   3.350%   5/3/26     12,021       12,760  
      Cincinnati Financial Corp.   6.920%   5/15/28     3,200       4,131  
      CNA Financial Corp.   4.500%   3/1/26     6,129       6,719  
      CNA Financial Corp.   3.450%   8/15/27     2,753       2,867  
      CNA Financial Corp.   3.900%   5/1/29     4,220       4,536  
      CNO Financial Group Inc.   5.250%   5/30/29     4,050       4,526  
      Enstar Group Ltd.   4.950%   6/1/29     14,756       15,796  
      Fairfax Financial Holdings Ltd.   4.850%   4/17/28     5,500       5,988  
      First American Financial Corp.   4.600%   11/15/24     1       1  
      Globe Life Inc.   4.550%   9/15/28     4,225       4,685  
      Hanover Insurance Group Inc.   4.500%   4/15/26     4,700       5,071  
      Hartford Financial Services Group Inc.   2.800%   8/19/29     4,000       4,046  
      Humana Inc.   3.950%   3/15/27     5,175       5,548  
      Humana Inc.   3.125%   8/15/29     5,200       5,280  
      Kemper Corp.   4.350%   2/15/25     2,500       2,655  
      Lincoln National Corp.   3.350%   3/9/25     2,197       2,284  
      Lincoln National Corp.   3.625%   12/12/26     6,808       7,177  
      Manulife Financial Corp.   4.150%   3/4/26     11,757       12,839  
3     Manulife Financial Corp.   4.061%   2/24/32     5,135       5,273  
      Markel Corp.   3.500%   11/1/27     2,500       2,554  
      Markel Corp.   3.350%   9/17/29     2,500       2,551  
      Marsh & McLennan Cos. Inc.   4.050%   10/15/23     2,000       2,117  
      Marsh & McLennan Cos. Inc.   3.500%   3/10/25     3,700       3,892  
      Marsh & McLennan Cos. Inc.   3.750%   3/14/26     5,952       6,378  
      Marsh & McLennan Cos. Inc.   4.375%   3/15/29     12,000       13,668  

 

 

48

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Mercury General Corp.   4.400%   3/15/27     3,465       3,644  
      MetLife Inc.   3.000%   3/1/25     3,471       3,612  
      MetLife Inc.   3.600%   11/13/25     3,865       4,145  
      Old Republic International Corp.   3.875%   8/26/26     4,625       4,895  
      PartnerRe Finance B LLC   3.700%   7/2/29     6,000       6,232  
      Principal Financial Group Inc.   3.400%   5/15/25     5,266       5,511  
      Principal Financial Group Inc.   3.100%   11/15/26     1,935       2,002  
      Principal Financial Group Inc.   3.700%   5/15/29     4,596       4,998  
      Progressive Corp.   2.450%   1/15/27     5,590       5,621  
      Prudential Financial Inc.   3.878%   3/27/28     3,500       3,828  
3     Prudential Financial Inc.   5.200%   3/15/44     5,525       5,877  
3     Prudential Financial Inc.   5.375%   5/15/45     9,150       9,731  
3     Prudential Financial Inc.   4.500%   9/15/47     7,125       7,361  
3     Prudential Financial Inc.   5.700%   9/15/48     8,300       9,436  
      Reinsurance Group of America Inc.   3.950%   9/15/26     2,200       2,332  
      Reinsurance Group of America Inc.   3.900%   5/15/29     4,450       4,742  
      RenaissanceRe Finance Inc.   3.700%   4/1/25     3,000       3,119  
      RenaissanceRe Finance Inc.   3.450%   7/1/27     1,800       1,862  
      RenaissanceRe Holdings Ltd.   3.600%   4/15/29     1,250       1,311  
      Trinity Acquisition plc   4.400%   3/15/26     5,430       5,873  
      UnitedHealth Group Inc.   3.750%   7/15/25     18,456       19,924  
      UnitedHealth Group Inc.   3.700%   12/15/25     2,315       2,496  
      UnitedHealth Group Inc.   3.100%   3/15/26     10,917       11,387  
      UnitedHealth Group Inc.   3.450%   1/15/27     3,379       3,622  
      UnitedHealth Group Inc.   3.375%   4/15/27     7,115       7,559  
      UnitedHealth Group Inc.   2.950%   10/15/27     8,815       9,108  
      UnitedHealth Group Inc.   3.850%   6/15/28     8,215       8,996  
      UnitedHealth Group Inc.   3.875%   12/15/28     6,850       7,554  
      UnitedHealth Group Inc.   2.875%   8/15/29     7,040       7,201  
      Unum Group   4.000%   6/15/29     2,000       2,109  
      Voya Financial Inc.   3.650%   6/15/26     3,639       3,835  
3     Voya Financial Inc.   4.700%   1/23/48     2,000       1,988  
      Willis North America Inc.   4.500%   9/15/28     5,731       6,286  
      Willis North America Inc.   2.950%   9/15/29     9,665       9,593  
      XLIT Ltd.   4.450%   3/31/25     4,171       4,515  
      Other Finance (0.0%)                        
      ORIX Corp.   3.700%   7/18/27     4,000       4,224  
      Real Estate Investment Trusts (2.1%)                        
      Alexandria Real Estate Equities Inc.   3.450%   4/30/25     6,300       6,604  
      Alexandria Real Estate Equities Inc.   4.300%   1/15/26     2,600       2,848  
      Alexandria Real Estate Equities Inc.   3.800%   4/15/26     4,620       4,938  
      Alexandria Real Estate Equities Inc.   3.950%   1/15/28     6,925       7,434  
      Alexandria Real Estate Equities Inc.   4.500%   7/30/29     1,216       1,372  
      Alexandria Real Estate Equities Inc.   2.750%   12/15/29     1,043       1,028  
      American Campus Communities Operating Partnership LP   3.300%   7/15/26     5,725       5,916  
      American Homes 4 Rent LP   4.250%   2/15/28     2,375       2,519  
      American Homes 4 Rent LP   4.900%   2/15/29     5,875       6,582  
      AvalonBay Communities Inc.   3.450%   6/1/25     6,317       6,660  
      AvalonBay Communities Inc.   3.500%   11/15/25     4,700       4,985  
      AvalonBay Communities Inc.   2.950%   5/11/26     6,663       6,838  
      AvalonBay Communities Inc.   3.350%   5/15/27     4,635       4,880  
      AvalonBay Communities Inc.   3.200%   1/15/28     700       730  
      AvalonBay Communities Inc.   3.300%   6/1/29     2,000       2,111  
      Boston Properties Inc.   3.400%   6/21/29     2,900       3,020  
      Boston Properties LP   3.200%   1/15/25     6,958       7,208  
      Boston Properties LP   3.650%   2/1/26     7,985       8,450  
      Boston Properties LP   2.750%   10/1/26     8,464       8,538  
      Boston Properties LP   4.500%   12/1/28     7,750       8,724  
      Brandywine Operating Partnership LP   3.950%   11/15/27     6,650       6,966  
      Brandywine Operating Partnership LP   4.550%   10/1/29     410       446  
      Brixmor Operating Partnership LP   3.850%   2/1/25     6,933       7,267  

 

 

49

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Brixmor Operating Partnership LP   4.125%   6/15/26     6,450       6,846  
      Brixmor Operating Partnership LP   3.900%   3/15/27     3,575       3,733  
      Brixmor Operating Partnership LP   4.125%   5/15/29     8,450       9,049  
      Camden Property Trust   4.100%   10/15/28     2,000       2,221  
      Camden Property Trust   3.150%   7/1/29     11,140       11,591  
      Columbia Property Trust Operating Partnership LP   4.150%   4/1/25     3,700       3,879  
      Columbia Property Trust Operating Partnership LP   3.650%   8/15/26     6,575       6,699  
      CubeSmart LP   3.125%   9/1/26     4,600       4,670  
      CubeSmart LP   4.375%   2/15/29     1,378       1,509  
      CyrusOne LP / CyrusOne Finance Corp.   3.450%   11/15/29     5,085       5,088  
      Digital Realty Trust LP   4.750%   10/1/25     5,450       6,047  
      Digital Realty Trust LP   3.700%   8/15/27     8,737       9,184  
      Digital Realty Trust LP   4.450%   7/15/28     7,235       7,995  
      Digital Realty Trust LP   3.600%   7/1/29     4,950       5,167  
      Duke Realty LP   3.250%   6/30/26     1,750       1,805  
      Duke Realty LP   3.375%   12/15/27     6,405       6,698  
      Duke Realty LP   4.000%   9/15/28     1,725       1,861  
      Duke Realty LP   2.875%   11/15/29     2,000       1,996  
      EPR Properties   4.500%   4/1/25     3,486       3,694  
      EPR Properties   4.750%   12/15/26     3,800       4,112  
      EPR Properties   4.500%   6/1/27     3,900       4,179  
      EPR Properties   4.950%   4/15/28     3,635       3,955  
      EPR Properties   3.750%   8/15/29     5,000       5,040  
      ERP Operating LP   3.375%   6/1/25     2,300       2,417  
      ERP Operating LP   2.850%   11/1/26     4,125       4,213  
      ERP Operating LP   3.250%   8/1/27     2,150       2,252  
      ERP Operating LP   3.500%   3/1/28     7,450       7,928  
      ERP Operating LP   3.000%   7/1/29     7,630       7,869  
      Essex Portfolio LP   3.500%   4/1/25     6,900       7,242  
      Essex Portfolio LP   3.375%   4/15/26     4,250       4,415  
      Essex Portfolio LP   3.625%   5/1/27     375       397  
      Essex Portfolio LP   4.000%   3/1/29     4,020       4,385  
      Federal Realty Investment Trust   3.250%   7/15/27     5,085       5,276  
      Federal Realty Investment Trust   3.200%   6/15/29     4,750       4,896  
      Healthcare Realty Trust Inc.   3.625%   1/15/28     6,206       6,414  
      Healthcare Trust of America Holdings LP   3.500%   8/1/26     5,700       5,944  
      Healthcare Trust of America Holdings LP   3.750%   7/1/27     4,500       4,740  
      Healthpeak Properties Inc.   3.400%   2/1/25     6,669       6,934  
      Healthpeak Properties Inc.   4.000%   6/1/25     3,603       3,868  
      Healthpeak Properties Inc.   3.250%   7/15/26     5,000       5,173  
      Healthpeak Properties Inc.   3.500%   7/15/29     6,200       6,450  
      Highwoods Realty LP   3.875%   3/1/27     2,625       2,738  
      Highwoods Realty LP   4.125%   3/15/28     3,700       3,907  
      Highwoods Realty LP   4.200%   4/15/29     1,650       1,774  
      Host Hotels & Resorts LP   4.000%   6/15/25     5,160       5,513  
      Host Hotels & Resorts LP   3.375%   12/15/29     2,750       2,772  
      Hudson Pacific Properties LP   3.950%   11/1/27     1,550       1,624  
      Kilroy Realty LP   4.375%   10/1/25     3,614       3,919  
      Kilroy Realty LP   4.750%   12/15/28     1,525       1,719  
      Kilroy Realty LP   4.250%   8/15/29     3,974       4,317  
      Kimco Realty Corp.   3.300%   2/1/25     6,710       6,975  
      Kimco Realty Corp.   2.800%   10/1/26     4,050       4,040  
      Kite Realty Group LP   4.000%   10/1/26     2,750       2,723  
      Liberty Property LP   3.750%   4/1/25     4,250       4,541  
      Liberty Property LP   3.250%   10/1/26     2,000       2,085  
      Liberty Property LP   4.375%   2/1/29     600       676  
      Life Storage LP   3.500%   7/1/26     4,075       4,183  
      Life Storage LP   3.875%   12/15/27     2,945       3,092  
      Life Storage LP   4.000%   6/15/29     3,250       3,461  
      Mid-America Apartments LP   4.000%   11/15/25     4,225       4,565  
      Mid-America Apartments LP   3.600%   6/1/27     5,820       6,178  
      Mid-America Apartments LP   3.950%   3/15/29     3,180       3,464  
      National Retail Properties Inc.   4.000%   11/15/25     1,300       1,389  
      National Retail Properties Inc.   3.600%   12/15/26     3,730       3,917  

 

 

50

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      National Retail Properties Inc.   4.300%   10/15/28     3,025       3,334  
      Omega Healthcare Investors Inc.   4.500%   1/15/25     5,038       5,381  
      Omega Healthcare Investors Inc.   5.250%   1/15/26     7,106       7,909  
      Omega Healthcare Investors Inc.   4.500%   4/1/27     8,616       9,300  
      Omega Healthcare Investors Inc.   4.750%   1/15/28     3,405       3,704  
      Omega Healthcare Investors Inc.   3.625%   10/1/29     5,863       5,886  
      Physicians Realty LP   4.300%   3/15/27     3,800       4,014  
      Physicians Realty LP   3.950%   1/15/28     1,707       1,767  
      Prologis LP   3.750%   11/1/25     6,165       6,662  
      Prologis LP   3.875%   9/15/28     3,350       3,675  
      Public Storage   3.094%   9/15/27     4,650       4,836  
      Public Storage   3.385%   5/1/29     1,500       1,586  
      Realty Income Corp.   3.875%   4/15/25     3,872       4,165  
      Realty Income Corp.   4.125%   10/15/26     6,365       6,952  
      Realty Income Corp.   3.000%   1/15/27     4,690       4,831  
      Realty Income Corp.   3.650%   1/15/28     4,539       4,862  
      Realty Income Corp.   3.250%   6/15/29     15,350       16,261  
      Regency Centers LP   3.600%   2/1/27     3,925       4,102  
      Regency Centers LP   4.125%   3/15/28     2,800       3,032  
      Regency Centers LP   2.950%   9/15/29     3,000       2,995  
      Sabra Health Care LP   5.125%   8/15/26     3,725       4,028  
      Sabra Health Care LP   3.900%   10/15/29     3,130       3,126  
      Select Income REIT   4.500%   2/1/25     3,183       3,305  
      Service Properties Trust   4.500%   3/15/25     3,025       3,098  
      Service Properties Trust   5.250%   2/15/26     5,230       5,502  
      Service Properties Trust   4.750%   10/1/26     2,810       2,882  
      Service Properties Trust   4.950%   2/15/27     2,435       2,507  
      Service Properties Trust   3.950%   1/15/28     2,100       2,051  
      Service Properties Trust   4.950%   10/1/29     3,000       3,016  
      Service Properties Trust   4.375%   2/15/30     500       490  
      Simon Property Group LP   3.500%   9/1/25     7,000       7,434  
      Simon Property Group LP   3.300%   1/15/26     6,725       7,036  
      Simon Property Group LP   3.250%   11/30/26     6,180       6,472  
      Simon Property Group LP   3.375%   6/15/27     5,690       6,007  
      Simon Property Group LP   3.375%   12/1/27     6,180       6,534  
      Simon Property Group LP   2.450%   9/13/29     10,725       10,522  
      SITE Centers Corp.   3.625%   2/1/25     4,150       4,272  
      SITE Centers Corp.   4.250%   2/1/26     2,831       2,975  
      SITE Centers Corp.   4.700%   6/1/27     7,900       8,541  
      Spirit Realty LP   3.200%   1/15/27     3,310       3,309  
      Spirit Realty LP   4.000%   7/15/29     2,213       2,311  
      STORE Capital Corp.   4.500%   3/15/28     3,225       3,510  
      Tanger Properties LP   3.750%   12/1/24     1,550       1,585  
      Tanger Properties LP   3.125%   9/1/26     1,775       1,762  
      Tanger Properties LP   3.875%   7/15/27     1,975       2,017  
      UDR Inc.   4.000%   10/1/25     5,003       5,376  
      UDR Inc.   2.950%   9/1/26     5,425       5,494  
      UDR Inc.   3.500%   1/15/28     1,500       1,573  
      UDR Inc.   3.200%   1/15/30     2,000       2,040  
      Ventas Realty LP   2.650%   1/15/25     3,400       3,426  
      Ventas Realty LP   3.500%   2/1/25     5,690       5,936  
      Ventas Realty LP   4.125%   1/15/26     3,661       3,918  
      Ventas Realty LP   3.250%   10/15/26     7,095       7,246  
      Ventas Realty LP   4.000%   3/1/28     4,750       5,078  
      Ventas Realty LP   4.400%   1/15/29     3,363       3,698  
      VEREIT Operating Partnership LP   4.625%   11/1/25     3,350       3,657  
      VEREIT Operating Partnership LP   4.875%   6/1/26     5,033       5,538  
      VEREIT Operating Partnership LP   3.950%   8/15/27     9,366       9,825  
      VEREIT Operating Partnership LP   3.100%   12/15/29     2,000       1,964  
      Vornado Realty LP   3.500%   1/15/25     3,400       3,539  
      Welltower Inc.   4.000%   6/1/25     5,863       6,298  
      Welltower Inc.   4.250%   4/1/26     6,100       6,616  
      Welltower Inc.   2.700%   2/15/27     4,000       4,015  
      Welltower Inc.   4.250%   4/15/28     5,975       6,540  

 

 

51

 

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Welltower Inc.   4.125%   3/15/29     8,055       8,760  
      WP Carey Inc.   4.000%   2/1/25     1,990       2,088  
      WP Carey Inc.   4.250%   10/1/26     1,175       1,257  
      WP Carey Inc.   3.850%   7/15/29     3,200       3,387  
                            5,105,993  
Industrial (23.8%)                        
      Basic Industry (1.2%)                        
4     Albemarle Wodgina Pty Ltd.   3.450%   11/15/29     1,500       1,498  
      ArcelorMittal   6.125%   6/1/25     7,770       8,939  
      ArcelorMittal   4.550%   3/11/26     7,120       7,551  
      ArcelorMittal   4.250%   7/16/29     4,425       4,619  
      Cabot Corp.   4.000%   7/1/29     2,900       3,039  
      Celulosa Arauco y Constitucion SA   3.875%   11/2/27     7,580       7,649  
      Dow Chemical Co.   4.550%   11/30/25     3,050       3,357  
      Dow Chemical Co.   3.625%   5/15/26     3,625       3,810  
      Dow Chemical Co.   4.800%   11/30/28     5,400       6,123  
      DuPont de Nemours Inc.   4.493%   11/15/25     19,675       21,627  
      DuPont de Nemours Inc.   4.725%   11/15/28     26,484       30,045  
      Eastman Chemical Co.   3.800%   3/15/25     10,274       10,834  
      Ecolab Inc.   2.700%   11/1/26     10,790       11,077  
      Ecolab Inc.   3.250%   12/1/27     1,660       1,747  
      Fibria Overseas Finance Ltd.   4.000%   1/14/25     5,435       5,632  
      Fibria Overseas Finance Ltd.   5.500%   1/17/27     5,925       6,503  
      FMC Corp.   3.200%   10/1/26     3,650       3,738  
      FMC Corp.   3.450%   10/1/29     7,250       7,488  
      Georgia-Pacific LLC   7.375%   12/1/25     1,679       2,109  
      Huntsman International LLC   4.500%   5/1/29     4,123       4,384  
      International Flavors & Fragrances Inc.   4.450%   9/26/28     2,000       2,185  
      International Paper Co.   3.800%   1/15/26     7,621       8,115  
      International Paper Co.   3.000%   2/15/27     2,015       2,061  
      Kinross Gold Corp.   4.500%   7/15/27     6,617       6,915  
      LYB International Finance II BV   3.500%   3/2/27     8,397       8,786  
      Mosaic Co.   4.050%   11/15/27     8,712       9,026  
      Newmont Corp.   2.800%   10/1/29     7,250       7,175  
      Nucor Corp.   3.950%   5/1/28     4,210       4,566  
      Nutrien Ltd.   3.375%   3/15/25     5,285       5,478  
      Nutrien Ltd.   3.000%   4/1/25     4,111       4,184  
      Nutrien Ltd.   4.000%   12/15/26     6,655       7,081  
      Nutrien Ltd.   4.200%   4/1/29     3,575       3,930  
      Packaging Corp. of America   3.400%   12/15/27     3,295       3,430  
      Packaging Corp. of America   3.000%   12/15/29     140       140  
      PPG Industries Inc.   2.800%   8/15/29     200       201  
      Praxair Inc.   2.650%   2/5/25     2,216       2,273  
      Praxair Inc.   3.200%   1/30/26     5,762       6,038  
      Rio Tinto Finance USA Ltd.   3.750%   6/15/25     12,232       13,125  
      Rio Tinto Finance USA Ltd.   7.125%   7/15/28     1,000       1,332  
      Rohm & Haas Co.   7.850%   7/15/29     8,675       11,529  
      RPM International Inc.   3.750%   3/15/27     4,080       4,195  
      RPM International Inc.   4.550%   3/1/29     3,865       4,178  
      SASOL Financing USA LLC   6.500%   9/27/28     6,325       7,037  
      Sherwin-Williams Co.   3.450%   8/1/25     4,300       4,513  
      Sherwin-Williams Co.   3.950%   1/15/26     3,466       3,704  
      Sherwin-Williams Co.   3.450%   6/1/27     16,000       16,868  
      Sherwin-Williams Co.   2.950%   8/15/29     7,100       7,184  
      Southern Copper Corp.   3.875%   4/23/25     6,225       6,532  
      Steel Dynamics Inc.   4.125%   9/15/25     3,000       3,086  
      Steel Dynamics Inc.   3.450%   4/15/30     1,500       1,517  
      Suzano Austria GmbH   6.000%   1/15/29     14,900       16,821  
      Vale Overseas Ltd.   6.250%   8/10/26     14,150       16,591  
      Westlake Chemical Corp.   3.600%   8/15/26     7,153       7,381  
      Weyerhaeuser Co.   6.950%   10/1/27     350       443  
      Weyerhaeuser Co.   4.000%   11/15/29     2,500       2,710  
      WRKCo Inc.   3.750%   3/15/25     8,275       8,717  

 

52

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      WRKCo Inc.   4.650%   3/15/26     8,001       8,845  
      WRKCo Inc.   3.375%   9/15/27     4,596       4,697  
      WRKCo Inc.   4.000%   3/15/28     5,975       6,357  
      WRKCo Inc.   3.900%   6/1/28     2,850       3,014  
      WRKCo Inc.   4.900%   3/15/29     15,225       17,311  
      Yamana Gold Inc.   4.625%   12/15/27     875       913  
      Capital Goods (2.0%)                        
      3M Co.   2.000%   2/14/25     6,400       6,344  
      3M Co.   3.000%   8/7/25     2,750       2,867  
      3M Co.   2.250%   9/19/26     5,150       5,137  
      3M Co.   2.875%   10/15/27     6,900       7,185  
      3M Co.   3.625%   9/14/28     4,630       5,039  
      3M Co.   3.375%   3/1/29     6,500       6,891  
      3M Co.   2.375%   8/26/29     9,200       9,032  
      ABB Finance USA Inc.   3.800%   4/3/28     6,160       6,725  
      Allegion plc   3.500%   10/1/29     3,350       3,416  
      Allegion US Holding Co. Inc.   3.550%   10/1/27     3,200       3,298  
      Avery Dennison Corp.   4.875%   12/6/28     4,000       4,541  
4     Bemis Co. Inc.   3.100%   9/15/26     2,700       2,639  
      Boeing Co.   2.500%   3/1/25     1,092       1,094  
      Boeing Co.   2.600%   10/30/25     2,200       2,216  
      Boeing Co.   3.100%   5/1/26     5,200       5,361  
      Boeing Co.   2.250%   6/15/26     4,395       4,329  
      Boeing Co.   2.700%   2/1/27     4,615       4,651  
      Boeing Co.   2.800%   3/1/27     3,472       3,517  
      Boeing Co.   3.250%   3/1/28     2,450       2,543  
      Boeing Co.   3.450%   11/1/28     4,436       4,671  
      Boeing Co.   3.200%   3/1/29     8,600       8,962  
      Carlisle Cos. Inc.   3.750%   12/1/27     4,825       5,045  
      Caterpillar Financial Services Corp.   2.400%   8/9/26     3,535       3,554  
      Caterpillar Inc.   2.600%   9/19/29     1,900       1,913  
      CNH Industrial NV   3.850%   11/15/27     4,475       4,659  
      Deere & Co.   5.375%   10/16/29     1,458       1,803  
      Dover Corp.   3.150%   11/15/25     4,014       4,157  
      Dover Corp.   2.950%   11/4/29     1,300       1,303  
      Eagle Materials Inc.   4.500%   8/1/26     2,300       2,384  
      Eaton Corp.   3.103%   9/15/27     6,200       6,429  
      Embraer Netherlands Finance BV   5.050%   6/15/25     4,123       4,533  
      Embraer Netherlands Finance BV   5.400%   2/1/27     8,388       9,430  
      Emerson Electric Co.   3.150%   6/1/25     3,300       3,452  
      Fortive Corp.   3.150%   6/15/26     7,806       7,987  
      Fortune Brands Home & Security Inc.   4.000%   6/15/25     4,250       4,541  
      Fortune Brands Home & Security Inc.   3.250%   9/15/29     5,725       5,781  
      General Dynamics Corp.   2.375%   11/15/24     2       2  
      General Dynamics Corp.   3.500%   5/15/25     7,860       8,414  
      General Dynamics Corp.   2.125%   8/15/26     7,209       7,129  
      General Dynamics Corp.   2.625%   11/15/27     6,235       6,377  
      General Dynamics Corp.   3.750%   5/15/28     6,580       7,247  
      General Electric Co.   3.450%   5/15/24     3,191       3,310  
      General Electric Co.   5.550%   1/5/26     575       653  
      Hexcel Corp.   4.700%   8/15/25     1,500       1,622  
      Hexcel Corp.   3.950%   2/15/27     3,995       4,165  
      Honeywell International Inc.   2.500%   11/1/26     9,018       9,160  
      Honeywell International Inc.   2.700%   8/15/29     7,230       7,417  
      Hubbell Inc.   3.350%   3/1/26     3,380       3,457  
      Hubbell Inc.   3.150%   8/15/27     2,700       2,692  
      Hubbell Inc.   3.500%   2/15/28     3,650       3,770  
      Huntington Ingalls Industries Inc.   3.483%   12/1/27     6,620       6,901  
      Illinois Tool Works Inc.   2.650%   11/15/26     8,885       9,131  
      Ingersoll-Rand Luxembourg Finance SA   3.550%   11/1/24     1       1  
      Ingersoll-Rand Luxembourg Finance SA   3.500%   3/21/26     3,175       3,320  
      Ingersoll-Rand Luxembourg Finance SA   3.800%   3/21/29     7,450       7,977  
      John Deere Capital Corp.   3.450%   3/13/25     2,750       2,919  

 

53

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      John Deere Capital Corp.   3.400%   9/11/25     2,300       2,436  
      John Deere Capital Corp.   2.650%   6/10/26     5,264       5,362  
      John Deere Capital Corp.   2.250%   9/14/26     5,000       4,998  
      John Deere Capital Corp.   2.800%   9/8/27     7,050       7,238  
      John Deere Capital Corp.   3.050%   1/6/28     7,185       7,483  
      John Deere Capital Corp.   3.450%   3/7/29     2,400       2,608  
      John Deere Capital Corp.   2.800%   7/18/29     4,600       4,709  
      Johnson Controls International plc   3.900%   2/14/26     3,161       3,356  
      Kennametal Inc.   4.625%   6/15/28     3,875       4,133  
      L3Harris Technologies Inc.   3.832%   4/27/25     7,284       7,749  
4     L3Harris Technologies Inc.   3.850%   12/15/26     6,503       6,987  
      L3Harris Technologies Inc.   4.400%   6/15/28     2,225       2,477  
4     L3Harris Technologies Inc.   4.400%   6/15/28     9,715       10,822  
      L3Harris Technologies Inc.   2.900%   12/15/29     1,939       1,963  
      Leggett & Platt Inc.   3.500%   11/15/27     4,000       4,103  
      Leggett & Platt Inc.   4.400%   3/15/29     4,000       4,370  
      Legrand France SA   8.500%   2/15/25     3,295       4,249  
      Lockheed Martin Corp.   2.900%   3/1/25     10,541       10,952  
      Lockheed Martin Corp.   3.550%   1/15/26     14,833       15,885  
      Martin Marietta Materials Inc.   3.450%   6/1/27     3,975       4,106  
      Martin Marietta Materials Inc.   3.500%   12/15/27     2,775       2,886  
      Masco Corp.   4.450%   4/1/25     4,234       4,610  
      Masco Corp.   4.375%   4/1/26     6,064       6,543  
      Masco Corp.   3.500%   11/15/27     3,500       3,620  
      Northrop Grumman Corp.   2.930%   1/15/25     12,850       13,239  
      Northrop Grumman Corp.   3.200%   2/1/27     3,600       3,744  
      Northrop Grumman Corp.   3.250%   1/15/28     12,413       12,933  
      Nvent Finance Sarl   4.550%   4/15/28     3,685       3,819  
      Oshkosh Corp.   4.600%   5/15/28     3,100       3,317  
      Owens Corning   3.400%   8/15/26     6,260       6,340  
      Owens Corning   3.950%   8/15/29     1,000       1,037  
      Parker-Hannifin Corp.   3.300%   11/21/24     2       2  
      Parker-Hannifin Corp.   3.250%   3/1/27     8,927       9,259  
      Parker-Hannifin Corp.   3.250%   6/14/29     9,300       9,662  
      Precision Castparts Corp.   3.250%   6/15/25     7,993       8,421  
      Republic Services Inc.   3.200%   3/15/25     7,876       8,178  
      Republic Services Inc.   2.900%   7/1/26     4,108       4,185  
      Republic Services Inc.   3.375%   11/15/27     5,991       6,320  
      Rockwell Automation Inc.   3.500%   3/1/29     4,525       4,863  
      Rockwell Collins Inc.   3.500%   3/15/27     11,406       12,132  
      Roper Technologies Inc.   3.850%   12/15/25     2,375       2,552  
      Roper Technologies Inc.   3.800%   12/15/26     8,178       8,789  
      Roper Technologies Inc.   4.200%   9/15/28     7,250       7,928  
      Roper Technologies Inc.   2.950%   9/15/29     3,250       3,267  
      Snap-on Inc.   3.250%   3/1/27     2,575       2,684  
      Spirit AeroSystems Inc.   3.850%   6/15/26     2,850       2,922  
      Spirit AeroSystems Inc.   4.600%   6/15/28     5,915       6,219  
      Stanley Black & Decker Inc.   3.400%   3/1/26     3,210       3,385  
      Stanley Black & Decker Inc.   4.250%   11/15/28     4,885       5,495  
      Textron Inc.   3.875%   3/1/25     2,320       2,457  
      Textron Inc.   4.000%   3/15/26     3,770       4,025  
      Textron Inc.   3.650%   3/15/27     4,518       4,724  
      Textron Inc.   3.375%   3/1/28     1,250       1,284  
      Textron Inc.   3.900%   9/17/29     2,100       2,240  
      Timken Co.   4.500%   12/15/28     3,000       3,230  
      United Technologies Corp.   3.950%   8/16/25     15,957       17,372  
      United Technologies Corp.   2.650%   11/1/26     10,075       10,308  
      United Technologies Corp.   3.125%   5/4/27     10,000       10,466  
      United Technologies Corp.   4.125%   11/16/28     30,730       34,551  
      United Technologies Corp.   7.500%   9/15/29     2,500       3,515  
      Vulcan Materials Co.   4.500%   4/1/25     4,004       4,332  
      Wabtec Corp.   3.450%   11/15/26     8,006       8,041  
      Wabtec Corp.   4.950%   9/15/28     8,800       9,673  
      Waste Connections Inc.   3.500%   5/1/29     8,650       9,115  

 

54

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Waste Management Inc.   3.125%   3/1/25     7,556       7,895  
      Waste Management Inc.   3.200%   6/15/26     6,845       7,171  
      Waste Management Inc.   3.150%   11/15/27     9,519       9,946  
      Waste Management Inc.   3.450%   6/15/29     5,764       6,156  
      Xylem Inc.   3.250%   11/1/26     4,685       4,857  
      Communication (2.8%)                        
      Activision Blizzard Inc.   3.400%   9/15/26     8,235       8,630  
      Activision Blizzard Inc.   3.400%   6/15/27     3,099       3,228  
      America Movil SAB de CV   3.625%   4/22/29     6,750       7,156  
      American Tower Corp.   2.950%   1/15/25     1,050       1,076  
      American Tower Corp.   4.000%   6/1/25     5,669       6,056  
      American Tower Corp.   4.400%   2/15/26     2,550       2,789  
      American Tower Corp.   3.375%   10/15/26     12,550       13,035  
      American Tower Corp.   3.125%   1/15/27     8,252       8,412  
      American Tower Corp.   3.550%   7/15/27     6,275       6,560  
      American Tower Corp.   3.600%   1/15/28     5,000       5,235  
      American Tower Corp.   3.950%   3/15/29     5,800       6,240  
      American Tower Corp.   3.800%   8/15/29     16,798       17,945  
      AT&T Inc.   3.950%   1/15/25     10,000       10,712  
      AT&T Inc.   3.400%   5/15/25     39,774       41,681  
      AT&T Inc.   3.600%   7/15/25     12,193       12,867  
      AT&T Inc.   3.875%   1/15/26     9,725       10,414  
      AT&T Inc.   4.125%   2/17/26     20,712       22,444  
      AT&T Inc.   2.950%   7/15/26     2,475       2,512  
      AT&T Inc.   3.800%   2/15/27     12,102       12,902  
      AT&T Inc.   4.250%   3/1/27     10,320       11,312  
      AT&T Inc.   4.100%   2/15/28     16,900       18,345  
      AT&T Inc.   4.350%   3/1/29     29,425       32,633  
      British Telecommunications plc   5.125%   12/4/28     5,000       5,746  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.908%   7/23/25     35,525       39,083  
      Charter Communications Operating LLC / Charter Communications Operating Capital   3.750%   2/15/28     17,245       17,824  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.200%   3/15/28     200       213  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.050%   3/30/29     14,210       16,067  
      Comcast Corp.   3.375%   2/15/25     8,565       9,023  
      Comcast Corp.   3.375%   8/15/25     18,294       19,405  
      Comcast Corp.   3.950%   10/15/25     16,990       18,515  
      Comcast Corp.   3.150%   3/1/26     21,086       22,033  
      Comcast Corp.   2.350%   1/15/27     25,375       25,299  
      Comcast Corp.   3.300%   2/1/27     12,325       13,026  
      Comcast Corp.   3.150%   2/15/28     12,580       13,167  
      Comcast Corp.   4.150%   10/15/28     34,500       38,827  
      Crown Castle International Corp.   4.450%   2/15/26     7,713       8,417  
      Crown Castle International Corp.   3.700%   6/15/26     12,493       13,205  
      Crown Castle International Corp.   4.000%   3/1/27     4,085       4,396  
      Crown Castle International Corp.   3.650%   9/1/27     9,459       9,966  
      Crown Castle International Corp.   3.800%   2/15/28     10,700       11,369  
      Crown Castle International Corp.   4.300%   2/15/29     1,500       1,655  
      Crown Castle International Corp.   3.100%   11/15/29     5,000       5,030  
      Discovery Communications LLC   3.450%   3/15/25     3,046       3,152  
      Discovery Communications LLC   3.950%   6/15/25     6,120       6,492  
      Discovery Communications LLC   4.900%   3/11/26     6,284       7,018  
      Discovery Communications LLC   3.950%   3/20/28     15,684       16,730  
      Discovery Communications LLC   4.125%   5/15/29     7,255       7,789  
      Electronic Arts Inc.   4.800%   3/1/26     4,750       5,346  
4     Fox Corp.   4.709%   1/25/29     19,960       22,688  
      Grupo Televisa SAB   6.625%   3/18/25     3,860       4,528  
      Grupo Televisa SAB   4.625%   1/30/26     2,635       2,836  
      Interpublic Group of Cos. Inc.   4.650%   10/1/28     6,190       6,954  
      Moody's Corp.   4.250%   2/1/29     1,100       1,242  

 

55

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Omnicom Group Inc./ Omnicom Capital Inc.   3.600%   4/15/26     12,526       13,170  
      RELX Capital Inc.   4.000%   3/18/29     7,000       7,582  
      Rogers Communications Inc.   3.625%   12/15/25     5,551       5,876  
      Rogers Communications Inc.   2.900%   11/15/26     4,625       4,697  
      S&P Global Inc.   4.000%   6/15/25     7,272       7,872  
      S&P Global Inc.   4.400%   2/15/26     6,415       7,127  
      S&P Global Inc.   2.950%   1/22/27     4,265       4,403  
      S&P Global Inc.   2.500%   12/1/29     1,750       1,753  
      Telefonica Emisiones SAU   4.103%   3/8/27     13,100       14,150  
      TELUS Corp.   2.800%   2/16/27     5,600       5,604  
      TELUS Corp.   3.700%   9/15/27     1,355       1,424  
      Thomson Reuters Corp.   3.350%   5/15/26     5,250       5,393  
      Verizon Communications Inc.   3.376%   2/15/25     23,102       24,422  
      Verizon Communications Inc.   2.625%   8/15/26     22,884       23,197  
      Verizon Communications Inc.   4.125%   3/16/27     29,436       32,546  
      Verizon Communications Inc.   4.329%   9/21/28     38,803       43,985  
      Verizon Communications Inc.   4.016%   12/3/29     16,820       18,724  
      ViacomCBS Inc.   3.500%   1/15/25     5,500       5,754  
      ViacomCBS Inc.   4.000%   1/15/26     5,603       5,999  
      ViacomCBS Inc.   2.900%   1/15/27     5,740       5,736  
      ViacomCBS Inc.   3.375%   2/15/28     4,800       4,943  
      ViacomCBS Inc.   3.700%   6/1/28     4,500       4,693  
      Vodafone Group plc   4.125%   5/30/25     14,961       16,165  
      Vodafone Group plc   4.375%   5/30/28     27,850       30,792  
      Walt Disney Co.   3.150%   9/17/25     8,000       8,499  
      Walt Disney Co.   3.700%   10/15/25     3,140       3,396  
      Walt Disney Co.   3.000%   2/13/26     8,785       9,241  
      Walt Disney Co.   1.850%   7/30/26     12,352       12,115  
      Walt Disney Co.   3.375%   11/15/26     5,450       5,830  
      Walt Disney Co.   2.000%   9/1/29     16,300       15,798  
      Consumer Cyclical (2.9%)                        
      Alibaba Group Holding Ltd.   3.400%   12/6/27     21,475       22,380  
      Amazon.com Inc.   5.200%   12/3/25     8,259       9,586  
      Amazon.com Inc.   3.150%   8/22/27     21,374       22,583  
      American Honda Finance Corp.   2.300%   9/9/26     2,890       2,881  
      American Honda Finance Corp.   3.500%   2/15/28     5,600       6,022  
      Aptiv plc   4.250%   1/15/26     5,400       5,815  
      Aptiv plc   4.350%   3/15/29     1,300       1,409  
      Automatic Data Processing Inc.   3.375%   9/15/25     9,717       10,314  
      AutoNation Inc.   3.500%   11/15/24     4       4  
      AutoNation Inc.   4.500%   10/1/25     5,040       5,415  
      AutoNation Inc.   3.800%   11/15/27     3,750       3,782  
      AutoZone Inc.   3.250%   4/15/25     4,470       4,653  
      AutoZone Inc.   3.125%   4/21/26     4,600       4,737  
      AutoZone Inc.   3.750%   6/1/27     6,647       7,087  
      AutoZone Inc.   3.750%   4/18/29     3,750       4,008  
      Best Buy Co. Inc.   4.450%   10/1/28     2,685       2,938  
      Block Financial LLC   5.250%   10/1/25     3,025       3,310  
      Booking Holdings Inc.   3.650%   3/15/25     4,250       4,535  
      Booking Holdings Inc.   3.600%   6/1/26     14,430       15,415  
      Booking Holdings Inc.   3.550%   3/15/28     4,110       4,372  
      BorgWarner Inc.   3.375%   3/15/25     4,150       4,330  
      Costco Wholesale Corp.   3.000%   5/18/27     8,518       8,988  
      Cummins Inc.   7.125%   3/1/28     775       1,030  
      Darden Restaurants Inc.   3.850%   5/1/27     4,125       4,318  
      Dollar General Corp.   4.150%   11/1/25     6,312       6,857  
      Dollar General Corp.   3.875%   4/15/27     5,750       6,162  
      Dollar General Corp.   4.125%   5/1/28     2,825       3,091  
      Dollar Tree Inc.   4.000%   5/15/25     9,000       9,619  
      Dollar Tree Inc.   4.200%   5/15/28     9,450       10,123  
      eBay Inc.   3.600%   6/5/27     6,750       7,045  
      Expedia Group Inc.   5.000%   2/15/26     6,320       6,933  
      Expedia Group Inc.   3.800%   2/15/28     8,644       8,811  

 

56

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Ford Motor Co.   4.346%   12/8/26     8,575       8,832  
      Ford Motor Co.   6.625%   10/1/28     5,614       6,187  
      Ford Motor Co.   6.375%   2/1/29     1,181       1,265  
      Ford Motor Credit Co. LLC   4.687%   6/9/25     7,700       7,980  
      Ford Motor Credit Co. LLC   4.134%   8/4/25     11,048       11,186  
      Ford Motor Credit Co. LLC   4.389%   1/8/26     11,939       12,129  
      Ford Motor Credit Co. LLC   4.542%   8/1/26     2,000       2,044  
      Ford Motor Credit Co. LLC   3.815%   11/2/27     7,550       7,292  
      Ford Motor Credit Co. LLC   5.113%   5/3/29     12,700       13,048  
      General Motors Co.   4.000%   4/1/25     2,283       2,377  
      General Motors Co.   5.000%   10/1/28     8,892       9,633  
      General Motors Financial Co. Inc.   3.500%   11/7/24     1       1  
      General Motors Financial Co. Inc.   4.000%   1/15/25     7,843       8,241  
      General Motors Financial Co. Inc.   4.350%   4/9/25     6,925       7,410  
      General Motors Financial Co. Inc.   4.300%   7/13/25     7,041       7,513  
      General Motors Financial Co. Inc.   5.250%   3/1/26     9,200       10,200  
      General Motors Financial Co. Inc.   4.000%   10/6/26     6,667       6,972  
      General Motors Financial Co. Inc.   4.350%   1/17/27     9,792       10,309  
      General Motors Financial Co. Inc.   3.850%   1/5/28     7,100       7,213  
      General Motors Financial Co. Inc.   5.650%   1/17/29     7,750       8,792  
      GLP Capital LP / GLP Financing II Inc.   5.250%   6/1/25     7,500       8,176  
      GLP Capital LP / GLP Financing II Inc.   5.375%   4/15/26     8,075       8,826  
      GLP Capital LP / GLP Financing II Inc.   5.750%   6/1/28     5,275       5,960  
      GLP Capital LP / GLP Financing II Inc.   5.300%   1/15/29     6,000       6,685  
      Harley-Davidson Inc.   3.500%   7/28/25     5,070       5,255  
      Harman International Industries Inc.   4.150%   5/15/25     3,200       3,403  
      Home Depot Inc.   3.350%   9/15/25     11,320       12,089  
      Home Depot Inc.   3.000%   4/1/26     13,677       14,279  
      Home Depot Inc.   2.125%   9/15/26     8,028       8,005  
      Home Depot Inc.   2.800%   9/14/27     8,452       8,760  
      Home Depot Inc.   3.900%   12/6/28     6,075       6,778  
      Home Depot Inc.   2.950%   6/15/29     7,400       7,685  
      Hyatt Hotels Corp.   4.850%   3/15/26     3,643       4,032  
      Hyatt Hotels Corp.   4.375%   9/15/28     4,000       4,341  
      IHS Markit Ltd.   4.750%   8/1/28     7,500       8,344  
      IHS Markit Ltd.   4.250%   5/1/29     6,235       6,718  
      JD.com Inc.   3.875%   4/29/26     4,825       5,001  
      Kohl's Corp.   4.250%   7/17/25     5,250       5,583  
      Las Vegas Sands Corp.   2.900%   6/25/25     4,000       4,040  
      Las Vegas Sands Corp.   3.500%   8/18/26     8,100       8,328  
      Las Vegas Sands Corp.   3.900%   8/8/29     6,198       6,466  
      Lear Corp.   5.250%   1/15/25     6,365       6,552  
      Lear Corp.   3.800%   9/15/27     6,549       6,621  
      Lear Corp.   4.250%   5/15/29     3,000       3,093  
      Lowe's Cos. Inc.   3.375%   9/15/25     6,283       6,603  
      Lowe's Cos. Inc.   2.500%   4/15/26     9,373       9,438  
      Lowe's Cos. Inc.   3.100%   5/3/27     19,456       20,083  
      Lowe's Cos. Inc.   3.650%   4/5/29     12,300       13,131  
      Magna International Inc.   4.150%   10/1/25     5,500       5,913  
      Marriott International Inc.   3.750%   3/15/25     2,500       2,640  
      Marriott International Inc.   3.750%   10/1/25     3,220       3,418  
      Marriott International Inc.   3.125%   6/15/26     7,655       7,921  
      Marriott International Inc.   4.000%   4/15/28     5,250       5,659  
      Mastercard Inc.   2.000%   3/3/25     6,725       6,688  
      Mastercard Inc.   2.950%   11/21/26     11,250       11,733  
      Mastercard Inc.   3.500%   2/26/28     5,130       5,550  
      Mastercard Inc.   2.950%   6/1/29     9,160       9,548  
      McDonald's Corp.   3.375%   5/26/25     11,176       11,795  
      McDonald's Corp.   3.700%   1/30/26     10,700       11,482  
      McDonald's Corp.   3.500%   3/1/27     12,050       12,839  
      McDonald's Corp.   3.800%   4/1/28     9,635       10,449  
      McDonald's Corp.   2.625%   9/1/29     7,500       7,482  
      NIKE Inc.   2.375%   11/1/26     12,150       12,348  
      Nordstrom Inc.   4.000%   3/15/27     3,125       3,239  

 

57

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Nordstrom Inc.   4.375%   4/1/30     875       891  
      O'Reilly Automotive Inc.   3.550%   3/15/26     4,112       4,328  
      O'Reilly Automotive Inc.   3.600%   9/1/27     13,350       14,253  
      O'Reilly Automotive Inc.   3.900%   6/1/29     3,720       4,042  
      QVC Inc.   4.450%   2/15/25     1,987       2,051  
      Ralph Lauren Corp.   3.750%   9/15/25     3,250       3,492  
      Royal Caribbean Cruises Ltd.   3.700%   3/15/28     6,090       6,296  
      Sands China Ltd.   5.125%   8/8/25     14,400       15,858  
      Sands China Ltd.   5.400%   8/8/28     12,435       13,989  
      Starbucks Corp.   3.800%   8/15/25     18,198       19,599  
      Starbucks Corp.   2.450%   6/15/26     4,800       4,847  
      Starbucks Corp.   3.500%   3/1/28     4,300       4,592  
      Starbucks Corp.   4.000%   11/15/28     2,250       2,489  
      Starbucks Corp.   3.550%   8/15/29     7,225       7,831  
      Tapestry Inc.   4.250%   4/1/25     5,450       5,738  
      Tapestry Inc.   4.125%   7/15/27     4,850       4,938  
      Target Corp.   2.500%   4/15/26     7,912       8,094  
      Target Corp.   3.375%   4/15/29     6,000       6,510  
      TJX Cos. Inc.   2.250%   9/15/26     11,764       11,764  
      Toyota Motor Corp.   3.669%   7/20/28     1,678       1,843  
      Toyota Motor Corp.   2.760%   7/2/29     4,075       4,197  
      Toyota Motor Credit Corp.   3.400%   4/14/25     5,810       6,179  
      Toyota Motor Credit Corp.   3.200%   1/11/27     8,220       8,690  
      Toyota Motor Credit Corp.   3.050%   1/11/28     5,450       5,716  
      Toyota Motor Credit Corp.   3.650%   1/8/29     4,535       4,986  
      Visa Inc.   3.150%   12/14/25     32,186       33,983  
      Visa Inc.   2.750%   9/15/27     5,925       6,181  
      Walgreens Boots Alliance Inc.   3.450%   6/1/26     16,010       16,248  
      Walmart Inc.   3.550%   6/26/25     20,320       21,742  
      Walmart Inc.   3.050%   7/8/26     10,100       10,606  
      Walmart Inc.   5.875%   4/5/27     100       123  
      Walmart Inc.   3.700%   6/26/28     19,815       21,814  
      Walmart Inc.   3.250%   7/8/29     10,750       11,526  
      Walmart Inc.   2.375%   9/24/29     9,050       9,059  
      Western Union Co.   2.850%   1/10/25     4,300       4,312  
      Consumer Noncyclical (6.6%)                        
      Abbott Laboratories   2.950%   3/15/25     6,395       6,632  
      Abbott Laboratories   3.875%   9/15/25     3,865       4,207  
      Abbott Laboratories   3.750%   11/30/26     13,867       15,132  
      AbbVie Inc.   3.600%   5/14/25     31,829       33,593  
      AbbVie Inc.   3.200%   5/14/26     16,045       16,595  
4     AbbVie Inc.   2.950%   11/21/26     32,600       33,054  
      AbbVie Inc.   4.250%   11/14/28     14,510       16,039  
4     AbbVie Inc.   3.200%   11/21/29     48,725       49,604  
      Adventist Health System   2.952%   3/1/29     3,000       2,960  
      Advocate Health & Hospitals Corp.   3.829%   8/15/28     2,600       2,814  
      Agilent Technologies Inc.   3.050%   9/22/26     3,650       3,721  
      Agilent Technologies Inc.   2.750%   9/15/29     3,500       3,462  
      Allergan Funding SCS   3.800%   3/15/25     24,823       26,003  
      Altria Group Inc.   4.400%   2/14/26     9,850       10,697  
      Altria Group Inc.   2.625%   9/16/26     4,360       4,308  
      Altria Group Inc.   4.800%   2/14/29     26,475       29,399  
      AmerisourceBergen Corp.   3.250%   3/1/25     6,483       6,699  
      AmerisourceBergen Corp.   3.450%   12/15/27     8,225       8,529  
      Amgen Inc.   3.125%   5/1/25     7,166       7,481  
      Amgen Inc.   2.600%   8/19/26     10,560       10,671  
      Amgen Inc.   3.200%   11/2/27     7,090       7,431  
      Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.   3.650%   2/1/26     40,076       42,663  
      Anheuser-Busch InBev Finance Inc.   3.650%   2/1/26     3,015       3,221  
      Anheuser-Busch InBev Worldwide Inc.   4.150%   1/23/25     22,735       24,733  
      Anheuser-Busch InBev Worldwide Inc.   4.000%   4/13/28     21,920       24,070  
      Anheuser-Busch InBev Worldwide Inc.   4.750%   1/23/29     49,950       57,845  

 

58

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Archer-Daniels-Midland Co.   2.500%   8/11/26     8,803       8,937  
      Ascension Health   2.532%   11/15/29     1,900       1,876  
      AstraZeneca plc   3.375%   11/16/25     17,391       18,427  
      AstraZeneca plc   3.125%   6/12/27     7,875       8,191  
      AstraZeneca plc   4.000%   1/17/29     7,915       8,776  
      BAT Capital Corp.   3.215%   9/6/26     8,600       8,642  
      BAT Capital Corp.   3.557%   8/15/27     26,270       26,745  
      BAT Capital Corp.   3.462%   9/6/29     6,575       6,662  
      Baxalta Inc.   4.000%   6/23/25     8,030       8,616  
      Baxter International Inc.   2.600%   8/15/26     6,167       6,208  
      Becton Dickinson & Co.   3.700%   6/6/27     16,700       17,754  
      Biogen Inc.   4.050%   9/15/25     13,373       14,527  
      Boston Scientific Corp.   3.850%   5/15/25     3,662       3,927  
      Boston Scientific Corp.   3.750%   3/1/26     7,750       8,299  
      Boston Scientific Corp.   4.000%   3/1/29     10,245       11,309  
4     Bristol-Myers Squibb Co.   3.875%   8/15/25     23,775       25,675  
4     Bristol-Myers Squibb Co.   3.200%   6/15/26     20,100       21,057  
4     Bristol-Myers Squibb Co.   3.450%   11/15/27     7,347       7,813  
4     Bristol-Myers Squibb Co.   3.900%   2/20/28     15,775       17,194  
4     Bristol-Myers Squibb Co.   3.400%   7/26/29     35,435       37,854  
      Brown-Forman Corp.   3.500%   4/15/25     2,950       3,142  
      Bunge Ltd. Finance Corp.   3.250%   8/15/26     5,562       5,540  
      Bunge Ltd. Finance Corp.   3.750%   9/25/27     5,250       5,396  
      Campbell Soup Co.   3.950%   3/15/25     7,325       7,771  
      Campbell Soup Co.   3.300%   3/19/25     3,260       3,351  
      Campbell Soup Co.   4.150%   3/15/28     8,100       8,761  
      Cardinal Health Inc.   3.079%   6/15/24     1,528       1,570  
      Cardinal Health Inc.   3.750%   9/15/25     4,525       4,790  
      Cardinal Health Inc.   3.410%   6/15/27     11,905       12,168  
      CHRISTUS Health   4.341%   7/1/28     3,000       3,304  
      Church & Dwight Co. Inc.   3.150%   8/1/27     3,375       3,508  
4     Cigna Corp.   3.250%   4/15/25     7,950       8,178  
      Cigna Corp.   4.125%   11/15/25     13,250       14,338  
4     Cigna Corp.   4.500%   2/25/26     14,796       16,012  
4     Cigna Corp.   3.400%   3/1/27     14,434       14,934  
4     Cigna Corp.   3.050%   10/15/27     3,885       3,901  
      Cigna Corp.   4.375%   10/15/28     32,250       35,695  
      Clorox Co.   3.100%   10/1/27     3,550       3,685  
      Clorox Co.   3.900%   5/15/28     4,225       4,635  
      Coca-Cola Co.   2.875%   10/27/25     12,510       13,033  
      Coca-Cola Co.   2.550%   6/1/26     2,325       2,379  
      Coca-Cola Co.   2.250%   9/1/26     13,590       13,674  
      Coca-Cola Co.   2.900%   5/25/27     2,500       2,616  
      Coca-Cola Co.   2.125%   9/6/29     5,500       5,347  
      Coca-Cola Consolidated Inc.   3.800%   11/25/25     3,570       3,739  
      CommonSpirit Health   3.347%   10/1/29     6,725       6,765  
      Conagra Brands Inc.   4.600%   11/1/25     11,986       13,205  
      Conagra Brands Inc.   4.850%   11/1/28     12,950       14,780  
      Constellation Brands Inc.   4.400%   11/15/25     3,000       3,269  
      Constellation Brands Inc.   4.750%   12/1/25     3,417       3,801  
      Constellation Brands Inc.   3.700%   12/6/26     6,610       7,017  
      Constellation Brands Inc.   3.500%   5/9/27     4,250       4,426  
      Constellation Brands Inc.   3.600%   2/15/28     5,300       5,566  
      Constellation Brands Inc.   4.650%   11/15/28     3,775       4,235  
      Constellation Brands Inc.   3.150%   8/1/29     7,525       7,603  
      CVS Health Corp.   4.100%   3/25/25     41,151       44,105  
      CVS Health Corp.   3.875%   7/20/25     31,388       33,436  
      CVS Health Corp.   2.875%   6/1/26     20,247       20,528  
      CVS Health Corp.   3.000%   8/15/26     2,450       2,497  
      CVS Health Corp.   6.250%   6/1/27     150       181  
      CVS Health Corp.   4.300%   3/25/28     73,986       80,634  
      CVS Health Corp.   3.250%   8/15/29     20,850       21,164  
      Danaher Corp.   3.350%   9/15/25     4,825       5,120  
      DH Europe Finance II Sarl   2.200%   11/15/24     997       994  

 

59

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      DH Europe Finance II Sarl   2.600%   11/15/29     6,000       5,974  
      Diageo Capital plc   3.875%   5/18/28     3,978       4,339  
      Diageo Capital plc   2.375%   10/24/29     6,000       5,901  
      Edwards Lifesciences Corp.   4.300%   6/15/28     5,110       5,664  
      Eli Lilly & Co.   2.750%   6/1/25     3,274       3,373  
      Eli Lilly & Co.   3.375%   3/15/29     9,507       10,231  
      Estee Lauder Cos. Inc.   3.150%   3/15/27     5,350       5,659  
      Estee Lauder Cos. Inc.   2.375%   12/1/29     3,840       3,835  
      Flowers Foods Inc.   3.500%   10/1/26     1,650       1,694  
      General Mills Inc.   4.000%   4/17/25     4,033       4,363  
      General Mills Inc.   3.200%   2/10/27     8,600       9,020  
      General Mills Inc.   4.200%   4/17/28     14,628       16,269  
      Gilead Sciences Inc.   3.500%   2/1/25     18,579       19,708  
      Gilead Sciences Inc.   3.650%   3/1/26     25,470       27,379  
      Gilead Sciences Inc.   2.950%   3/1/27     10,667       11,063  
      GlaxoSmithKline Capital Inc.   3.625%   5/15/25     13,500       14,445  
      GlaxoSmithKline Capital Inc.   3.875%   5/15/28     14,800       16,297  
      GlaxoSmithKline Capital plc   3.375%   6/1/29     6,711       7,180  
      Hasbro Inc.   3.550%   11/19/26     2,900       2,918  
      Hasbro Inc.   3.500%   9/15/27     3,525       3,513  
      Hasbro Inc.   3.900%   11/19/29     7,500       7,546  
      HCA Inc.   5.250%   4/15/25     15,428       17,241  
      HCA Inc.   5.250%   6/15/26     13,680       15,322  
      HCA Inc.   4.500%   2/15/27     11,625       12,540  
      HCA Inc.   4.125%   6/15/29     11,550       12,243  
      Hershey Co.   3.200%   8/21/25     2,625       2,749  
      Hershey Co.   2.300%   8/15/26     4,483       4,521  
      Hershey Co.   2.450%   11/15/29     1,505       1,506  
      Ingredion Inc.   3.200%   10/1/26     3,830       3,883  
      JM Smucker Co.   3.500%   3/15/25     7,696       8,071  
      JM Smucker Co.   3.375%   12/15/27     3,300       3,442  
      Johnson & Johnson   2.625%   1/15/25     10,768       11,092  
      Johnson & Johnson   2.450%   3/1/26     10,235       10,393  
      Johnson & Johnson   2.950%   3/3/27     10,910       11,430  
      Johnson & Johnson   2.900%   1/15/28     15,115       15,763  
      Johnson & Johnson   6.950%   9/1/29     1,650       2,310  
      Kaiser Foundation Hospitals   3.150%   5/1/27     4,425       4,610  
      Kellogg Co.   3.250%   4/1/26     4,875       5,060  
      Kellogg Co.   3.400%   11/15/27     5,295       5,537  
      Kellogg Co.   4.300%   5/15/28     4,430       4,938  
      Keurig Dr Pepper Inc.   4.417%   5/25/25     9,945       10,854  
      Keurig Dr Pepper Inc.   3.400%   11/15/25     1,950       2,023  
      Keurig Dr Pepper Inc.   2.550%   9/15/26     3,600       3,578  
      Keurig Dr Pepper Inc.   3.430%   6/15/27     3,425       3,576  
      Keurig Dr Pepper Inc.   4.597%   5/25/28     17,450       19,594  
      Kimberly-Clark Corp.   3.050%   8/15/25     2,650       2,781  
      Kimberly-Clark Corp.   2.750%   2/15/26     5,137       5,266  
      Kimberly-Clark Corp.   3.950%   11/1/28     3,987       4,443  
      Kimberly-Clark Corp.   3.200%   4/25/29     5,000       5,325  
      Kraft Heinz Foods Co.   3.950%   7/15/25     18,804       19,883  
      Kraft Heinz Foods Co.   3.000%   6/1/26     16,101       16,091  
      Kraft Heinz Foods Co.   4.625%   1/30/29     8,025       8,775  
      Kroger Co.   3.500%   2/1/26     1,575       1,648  
      Kroger Co.   2.650%   10/15/26     7,822       7,831  
      Kroger Co.   3.700%   8/1/27     5,095       5,429  
      Kroger Co.   4.500%   1/15/29     4,775       5,358  
      Kroger Co.   7.700%   6/1/29     1,000       1,335  
      Laboratory Corp. of America Holdings   3.600%   2/1/25     7,572       7,964  
      Laboratory Corp. of America Holdings   3.600%   9/1/27     4,775       5,030  
      Laboratory Corp. of America Holdings   2.950%   12/1/29     5,475       5,484  
      McCormick & Co. Inc.   3.400%   8/15/27     8,425       8,772  
      McKesson Corp.   3.950%   2/16/28     6,275       6,637  
      McKesson Corp.   4.750%   5/30/29     3,075       3,446  
      Mead Johnson Nutrition Co.   4.125%   11/15/25     7,367       8,059  

 

60

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
)
      Medtronic Global Holdings SCA   3.350%   4/1/27     500       530  
      Medtronic Inc.   3.500%   3/15/25     15,786       16,907  
      Merck & Co. Inc.   2.750%   2/10/25     21,152       21,851  
      Merck & Co. Inc.   3.400%   3/7/29     15,475       16,712  
      Mercy Health   4.302%   7/1/28     2,290       2,531  
      Molson Coors Beverage Co.   3.000%   7/15/26     16,906       17,081  
      Mondelez International Inc.   3.625%   2/13/26     5,000       5,351  
      Mylan Inc.   4.550%   4/15/28     6,375       6,849  
      Mylan NV   3.950%   6/15/26     16,545       17,166  
      Novartis Capital Corp.   3.000%   11/20/25     16,366       17,149  
      Novartis Capital Corp.   3.100%   5/17/27     9,854       10,353  
      PepsiCo Inc.   2.750%   4/30/25     8,637       8,933  
      PepsiCo Inc.   3.500%   7/17/25     7,145       7,659  
      PepsiCo Inc.   2.850%   2/24/26     4,064       4,230  
      PepsiCo Inc.   2.375%   10/6/26     7,758       7,864  
      PepsiCo Inc.   3.000%   10/15/27     12,680       13,377  
      PepsiCo Inc.   2.625%   7/29/29     13,825       14,074  
      PerkinElmer Inc.   3.300%   9/15/29     7,100       7,225  
      Perrigo Finance Unlimited Co.   4.375%   3/15/26     5,365       5,528  
      Pfizer Inc.   2.750%   6/3/26     16,841       17,371  
      Pfizer Inc.   3.000%   12/15/26     14,900       15,622  
      Pfizer Inc.   3.600%   9/15/28     7,800       8,518  
      Pfizer Inc.   3.450%   3/15/29     14,850       15,970  
      Pharmacia LLC   6.600%   12/1/28     1,850       2,430  
      Philip Morris International Inc.   3.250%   11/10/24     2       2  
      Philip Morris International Inc.   3.375%   8/11/25     6,820       7,166  
      Philip Morris International Inc.   2.750%   2/25/26     10,475       10,589  
      Philip Morris International Inc.   3.125%   8/17/27     2,665       2,754  
      Philip Morris International Inc.   3.125%   3/2/28     3,325       3,409  
      Philip Morris International Inc.   3.375%   8/15/29     6,900       7,223  
      Procter & Gamble Co.   2.700%   2/2/26     6,093       6,328  
      Procter & Gamble Co.   2.450%   11/3/26     12,875       13,243  
      Providence St. Joseph Health Obligated Group   2.746%   10/1/26     1,675       1,691  
      Providence St. Joseph Health Obligated Group   2.532%   10/1/29     3,941       3,858  
      Quest Diagnostics Inc.   3.500%   3/30/25     1,950       2,051  
      Quest Diagnostics Inc.   3.450%   6/1/26     9,207       9,661  
      Quest Diagnostics Inc.   4.200%   6/30/29     3,550       3,916  
      Reynolds American Inc.   4.450%   6/12/25     21,447       23,057  
      Sanofi   3.625%   6/19/28     9,000       9,985  
      Shire Acquisitions Investments Ireland DAC   3.200%   9/23/26     27,179       27,982  
      SSM Health Care Corp.   3.823%   6/1/27     2,900       3,066  
      Stryker Corp.   3.375%   11/1/25     6,658       7,005  
      Stryker Corp.   3.500%   3/15/26     6,780       7,203  
      Stryker Corp.   3.650%   3/7/28     5,575       5,986  
      Sutter Health   3.695%   8/15/28     3,000       3,214  
      Sysco Corp.   3.750%   10/1/25     4,800       5,151  
      Sysco Corp.   3.300%   7/15/26     9,755       10,279  
      Sysco Corp.   3.250%   7/15/27     9,550       9,986  
      Takeda Pharmaceutical Co. Ltd.   5.000%   11/26/28     18,105       21,068  
      Thermo Fisher Scientific Inc.   3.650%   12/15/25     3,900       4,166  
      Thermo Fisher Scientific Inc.   2.950%   9/19/26     9,807       10,083  
      Thermo Fisher Scientific Inc.   3.200%   8/15/27     6,500       6,790  
      Thermo Fisher Scientific Inc.   2.600%   10/1/29     6,600       6,521  
      Tyson Foods Inc.   4.000%   3/1/26     2,300       2,490  
      Tyson Foods Inc.   3.550%   6/2/27     12,783       13,558  
      Tyson Foods Inc.   4.350%   3/1/29     13,500       15,274  
      Unilever Capital Corp.   3.375%   3/22/25     3,000       3,171  
      Unilever Capital Corp.   3.100%   7/30/25     4,175       4,364  
      Unilever Capital Corp.   2.000%   7/28/26     6,200       6,142  
      Unilever Capital Corp.   2.900%   5/5/27     7,320       7,646  
      Unilever Capital Corp.   3.500%   3/22/28     9,475       10,243  
      Unilever Capital Corp.   2.125%   9/6/29     11,840       11,470  
      Whirlpool Corp.   3.700%   5/1/25     1,525       1,603  
      Whirlpool Corp.   4.750%   2/26/29     6,490       7,218  

 

61

 

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      Zimmer Biomet Holdings Inc.   3.550%   4/1/25     14,642       15,392  
      Zoetis Inc.   4.500%   11/13/25     3,640       4,028  
      Zoetis Inc.   3.000%   9/12/27     9,541       9,755  
      Zoetis Inc.   3.900%   8/20/28     4,016       4,346  
      Energy (3.6%)                        
      Apache Corp.   4.375%   10/15/28     9,237       9,628  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   3.337%   12/15/27     11,558       12,040  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   3.138%   11/7/29     4,500       4,612  
      Boardwalk Pipelines LP   5.950%   6/1/26     7,590       8,490  
      Boardwalk Pipelines LP   4.450%   7/15/27     3,912       4,022  
      Boardwalk Pipelines LP   4.800%   5/3/29     2,800       2,980  
      BP Capital Markets America Inc.   3.796%   9/21/25     5,750       6,217  
      BP Capital Markets America Inc.   3.410%   2/11/26     4,000       4,247  
      BP Capital Markets America Inc.   3.119%   5/4/26     12,096       12,604  
      BP Capital Markets America Inc.   3.017%   1/16/27     9,143       9,452  
      BP Capital Markets America Inc.   3.588%   4/14/27     9,829       10,417  
      BP Capital Markets America Inc.   3.937%   9/21/28     7,950       8,770  
      BP Capital Markets America Inc.   4.234%   11/6/28     18,250       20,572  
      BP Capital Markets plc   3.506%   3/17/25     5,202       5,536  
      BP Capital Markets plc   3.279%   9/19/27     14,414       15,154  
      BP Capital Markets plc   3.723%   11/28/28     3,134       3,406  
      Canadian Natural Resources Ltd.   3.900%   2/1/25     2,570       2,707  
      Canadian Natural Resources Ltd.   3.850%   6/1/27     10,065       10,712  
      Cenovus Energy Inc.   4.250%   4/15/27     11,510       12,140  
      Cheniere Corpus Christi Holdings LLC   5.875%   3/31/25     13,060       14,692  
      Cheniere Corpus Christi Holdings LLC   5.125%   6/30/27     17,650       19,547  
4     Cheniere Corpus Christi Holdings LLC   3.700%   11/15/29     10,100       10,327  
      Chevron Corp.   3.326%   11/17/25     7,969       8,488  
      Chevron Corp.   2.954%   5/16/26     18,180       18,990  
      Cimarex Energy Co.   3.900%   5/15/27     7,150       7,392  
      Cimarex Energy Co.   4.375%   3/15/29     5,300       5,594  
      Columbia Pipeline Group Inc.   4.500%   6/1/25     10,883       11,883  
      Concho Resources Inc.   4.375%   1/15/25     1,650       1,705  
      Concho Resources Inc.   3.750%   10/1/27     11,587       12,152  
      Concho Resources Inc.   4.300%   8/15/28     9,745       10,610  
      ConocoPhillips Co.   3.350%   11/15/24     4,373       4,605  
      ConocoPhillips Co.   4.950%   3/15/26     13,194       15,146  
      ConocoPhillips Holding Co.   6.950%   4/15/29     3,983       5,403  
      Continental Resources Inc.   4.375%   1/15/28     11,150       11,847  
      Devon Energy Corp.   5.850%   12/15/25     6,470       7,657  
      Diamondback Energy Inc.   3.250%   12/1/26     5,425       5,485  
      Diamondback Energy Inc.   3.500%   12/1/29     9,000       9,139  
      Dominion Energy Gas Holdings LLC   3.000%   11/15/29     5,000       4,963  
      Enable Midstream Partners LP   4.400%   3/15/27     8,732       8,577  
      Enable Midstream Partners LP   4.950%   5/15/28     8,700       8,789  
      Enable Midstream Partners LP   4.150%   9/15/29     2,530       2,391  
      Enbridge Energy Partners LP   5.875%   10/15/25     6,025       7,018  
      Enbridge Inc.   2.500%   1/15/25     4,000       4,027  
      Enbridge Inc.   4.250%   12/1/26     5,600       6,151  
      Enbridge Inc.   3.700%   7/15/27     5,920       6,226  
      Enbridge Inc.   3.125%   11/15/29     5,400       5,449  
      Energy Transfer Operating LP   4.050%   3/15/25     7,650       8,021  
      Energy Transfer Operating LP   4.750%   1/15/26     3,881       4,180  
      Energy Transfer Operating LP   4.200%   4/15/27     4,000       4,184  
      Energy Transfer Operating LP   5.500%   6/1/27     10,140       11,387  
      Energy Transfer Operating LP   5.250%   4/15/29     10,000       11,210  
      Energy Transfer Partners LP   4.950%   6/15/28     14,150       15,472  
4     Eni SPA   4.250%   5/9/29     3,000       3,285  
      Eni USA Inc.   7.300%   11/15/27     300       382  
      Enterprise Products Operating LLC   3.750%   2/15/25     10,387       11,058  
      Enterprise Products Operating LLC   3.700%   2/15/26     8,567       9,129  

 

62

 

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      Enterprise Products Operating LLC   4.150%   10/16/28     7,750       8,543  
      Enterprise Products Operating LLC   3.125%   7/31/29     16,000       16,423  
3     Enterprise Products Operating LLC   5.250%   8/16/77     4,650       4,643  
3     Enterprise Products Operating LLC   5.375%   2/15/78     8,300       8,197  
      EOG Resources Inc.   3.150%   4/1/25     6,745       7,064  
      EOG Resources Inc.   4.150%   1/15/26     6,740       7,413  
      EQM Midstream Partners LP   4.125%   12/1/26     3,050       2,858  
      EQM Midstream Partners LP   5.500%   7/15/28     7,000       6,862  
      EQT Corp.   3.900%   10/1/27     10,398       9,665  
      Exxon Mobil Corp.   2.709%   3/6/25     14,300       14,776  
      Exxon Mobil Corp.   3.043%   3/1/26     16,530       17,341  
      Exxon Mobil Corp.   2.275%   8/16/26     13,300       13,333  
      Exxon Mobil Corp.   2.440%   8/16/29     7,008       7,042  
      Halliburton Co.   3.800%   11/15/25     11,604       12,381  
      Helmerich & Payne Inc.   4.650%   3/15/25     4,360       4,746  
      Hess Corp.   4.300%   4/1/27     11,614       12,370  
      HollyFrontier Corp.   5.875%   4/1/26     8,100       9,096  
      Husky Energy Inc.   4.400%   4/15/29     7,300       7,857  
      Kinder Morgan Inc.   4.300%   6/1/25     12,970       14,053  
      Kinder Morgan Inc.   4.300%   3/1/28     16,075       17,492  
      Magellan Midstream Partners LP   5.000%   3/1/26     5,000       5,634  
      Marathon Oil Corp.   3.850%   6/1/25     7,800       8,235  
      Marathon Oil Corp.   4.400%   7/15/27     8,505       9,230  
      Marathon Petroleum Corp.   5.125%   12/15/26     4,155       4,693  
      Marathon Petroleum Corp.   3.800%   4/1/28     5,500       5,749  
4     MPLX LP   5.250%   1/15/25     8,003       8,393  
      MPLX LP   4.000%   2/15/25     4,905       5,116  
      MPLX LP   4.875%   6/1/25     9,528       10,402  
      MPLX LP   4.125%   3/1/27     10,522       11,009  
4     MPLX LP   4.250%   12/1/27     8,310       8,718  
      MPLX LP   4.000%   3/15/28     8,695       9,007  
      MPLX LP   4.800%   2/15/29     7,125       7,798  
      National Fuel Gas Co.   5.200%   7/15/25     2,337       2,543  
      National Fuel Gas Co.   3.950%   9/15/27     2,250       2,276  
      National Fuel Gas Co.   4.750%   9/1/28     1,990       2,116  
      Newfield Exploration Co.   5.375%   1/1/26     12,100       13,113  
      Noble Energy Inc.   3.850%   1/15/28     4,200       4,417  
      Noble Energy Inc.   3.250%   10/15/29     5,000       5,038  
      Occidental Petroleum Corp.   3.500%   6/15/25     4,877       5,028  
      Occidental Petroleum Corp.   5.550%   3/15/26     9,300       10,537  
      Occidental Petroleum Corp.   3.400%   4/15/26     15,872       16,226  
      Occidental Petroleum Corp.   3.200%   8/15/26     6,900       6,975  
      Occidental Petroleum Corp.   3.500%   8/15/29     14,650       14,938  
      ONEOK Inc.   4.000%   7/13/27     4,900       5,173  
      ONEOK Inc.   4.550%   7/15/28     3,000       3,290  
      ONEOK Inc.   4.350%   3/15/29     1,980       2,139  
      ONEOK Inc.   3.400%   9/1/29     13,560       13,712  
      ONEOK Partners LP   4.900%   3/15/25     4,950       5,436  
      Patterson-UTI Energy Inc.   3.950%   2/1/28     4,704       4,540  
      Patterson-UTI Energy Inc.   5.150%   11/15/29     2,500       2,552  
      Phillips 66   3.900%   3/15/28     3,329       3,618  
      Phillips 66 Partners LP   3.605%   2/15/25     4,925       5,138  
      Phillips 66 Partners LP   3.550%   10/1/26     5,500       5,752  
      Phillips 66 Partners LP   3.750%   3/1/28     3,300       3,430  
      Phillips 66 Partners LP   3.150%   12/15/29     3,400       3,376  
      Pioneer Natural Resources Co.   4.450%   1/15/26     4,350       4,772  
      Plains All American Pipeline LP / PAA Finance Corp.   4.650%   10/15/25     6,780       7,252  
      Plains All American Pipeline LP / PAA Finance Corp.   4.500%   12/15/26     6,132       6,509  
      Plains All American Pipeline LP / PAA Finance Corp.   3.550%   12/15/29     6,250       6,142  
      Sabine Pass Liquefaction LLC   5.625%   3/1/25     17,011       19,116  
      Sabine Pass Liquefaction LLC   5.875%   6/30/26     13,035       14,974  
      Sabine Pass Liquefaction LLC   5.000%   3/15/27     10,875       11,976  
      Sabine Pass Liquefaction LLC   4.200%   3/15/28     11,150       11,806  
      Shell International Finance BV   3.250%   5/11/25     16,661       17,605  

  

 

63

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      Shell International Finance BV   2.875%   5/10/26     16,847       17,467  
      Shell International Finance BV   2.500%   9/12/26     17,986       18,247  
      Shell International Finance BV   3.875%   11/13/28     7,200       7,976  
      Shell International Finance BV   2.375%   11/7/29     12,500       12,373  
      Spectra Energy Partners LP   3.500%   3/15/25     3,955       4,131  
      Spectra Energy Partners LP   3.375%   10/15/26     4,899       5,069  
      Sunoco Logistics Partners Operations LP   5.950%   12/1/25     5,700       6,545  
      Sunoco Logistics Partners Operations LP   3.900%   7/15/26     5,660       5,862  
      Sunoco Logistics Partners Operations LP   4.000%   10/1/27     4,375       4,508  
      TC PipeLines LP   3.900%   5/25/27     6,820       7,117  
      Total Capital International SA   2.434%   1/10/25     5,000       5,056  
      Total Capital International SA   3.455%   2/19/29     9,425       10,177  
      Total Capital International SA   2.829%   1/10/30     4,200       4,306  
      Total Capital SA   3.883%   10/11/28     9,172       10,227  
      TransCanada PipeLines Ltd.   4.875%   1/15/26     9,151       10,226  
      TransCanada PipeLines Ltd.   4.250%   5/15/28     10,275       11,366  
3     Transcanada Trust   5.500%   9/15/79     9,250       9,610  
      Transcontinental Gas Pipe Line Co. LLC   7.850%   2/1/26     1,635       2,083  
      Transcontinental Gas Pipe Line Co. LLC   4.000%   3/15/28     2,675       2,844  
      Valero Energy Corp.   3.650%   3/15/25     5,113       5,438  
      Valero Energy Corp.   3.400%   9/15/26     9,928       10,404  
      Valero Energy Corp.   4.350%   6/1/28     9,325       10,235  
      Valero Energy Corp.   4.000%   4/1/29     8,334       8,964  
      Valero Energy Partners LP   4.375%   12/15/26     5,450       5,934  
      Valero Energy Partners LP   4.500%   3/15/28     3,550       3,888  
      Western Midstream Operating LP   3.950%   6/1/25     7,125       7,127  
      Western Midstream Operating LP   4.650%   7/1/26     7,214       7,403  
      Western Midstream Operating LP   4.750%   8/15/28     1,900       1,884  
      Williams Cos. Inc.   3.900%   1/15/25     8,928       9,349  
      Williams Cos. Inc.   4.000%   9/15/25     11,861       12,555  
      Williams Cos. Inc.   3.750%   6/15/27     17,337       18,013  
      Other Industrial (0.1%)                        
      CBRE Services Inc.   5.250%   3/15/25     3,375       3,779  
      CBRE Services Inc.   4.875%   3/1/26     5,660       6,327  
      Cintas Corp. No. 2   3.700%   4/1/27     8,075       8,745  
      Fluor Corp.   4.250%   9/15/28     5,875       5,928  
      Hillenbrand Inc.   4.500%   9/15/26     2,500       2,593  
      Steelcase Inc.   5.125%   1/18/29     3,950       4,454  
      Technology (3.7%)                        
      Adobe Inc.   3.250%   2/1/25     8,030       8,469  
      Alphabet Inc.   1.998%   8/15/26     10,835       10,779  
      Amphenol Corp.   2.800%   2/15/30     5,000       4,923  
      Analog Devices Inc.   3.900%   12/15/25     3,584       3,836  
      Analog Devices Inc.   3.500%   12/5/26     5,003       5,246  
      Apple Inc.   2.750%   1/13/25     13,508       13,942  
      Apple Inc.   2.500%   2/9/25     8,082       8,238  
      Apple Inc.   3.200%   5/13/25     18,362       19,382  
      Apple Inc.   3.250%   2/23/26     27,132       28,696  
      Apple Inc.   2.450%   8/4/26     21,062       21,352  
      Apple Inc.   2.050%   9/11/26     7,100       7,022  
      Apple Inc.   3.350%   2/9/27     21,245       22,606  
      Apple Inc.   3.200%   5/11/27     24,899       26,227  
      Apple Inc.   3.000%   6/20/27     1,445       1,511  
      Apple Inc.   2.900%   9/12/27     37,623       39,118  
      Apple Inc.   3.000%   11/13/27     1,000       1,049  
      Apple Inc.   2.200%   9/11/29     19,180       18,812  
      Applied Materials Inc.   3.900%   10/1/25     6,900       7,511  
      Applied Materials Inc.   3.300%   4/1/27     9,489       10,068  
      Arrow Electronics Inc.   4.000%   4/1/25     3,184       3,297  
      Arrow Electronics Inc.   3.875%   1/12/28     3,100       3,179  
      Autodesk Inc.   4.375%   6/15/25     2,025       2,204  
      Autodesk Inc.   3.500%   6/15/27     4,260       4,457  
      Avnet Inc.   4.625%   4/15/26     4,500       4,769  

 

 

64

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      Baidu Inc.   4.125%   6/30/25     4,000       4,257  
      Baidu Inc.   3.625%   7/6/27     3,725       3,840  
      Baidu Inc.   4.375%   3/29/28     4,500       4,877  
      Baidu Inc.   4.875%   11/14/28     3,750       4,217  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.125%   1/15/25     8,600       8,702  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.875%   1/15/27     50,017       51,878  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.500%   1/15/28     10,300       10,401  
4     Broadcom Inc.   4.250%   4/15/26     23,200       24,628  
4     Broadcom Inc.   4.750%   4/15/29     27,200       29,695  
      Broadridge Financial Solutions Inc.   3.400%   6/27/26     4,120       4,289  
      Broadridge Financial Solutions Inc.   2.900%   12/1/29     3,350       3,343  
      CA Inc.   4.700%   3/15/27     3,225       3,450  
      Cisco Systems Inc.   2.950%   2/28/26     6,635       6,965  
      Cisco Systems Inc.   2.500%   9/20/26     13,353       13,613  
      Citrix Systems Inc.   4.500%   12/1/27     6,000       6,480  
4     Dell International LLC / EMC Corp.   6.020%   6/15/26     41,705       48,000  
4     Dell International LLC / EMC Corp.   4.900%   10/1/26     11,525       12,680  
4     Dell International LLC / EMC Corp.   5.300%   10/1/29     7,850       8,826  
      DXC Technology Co.   4.750%   4/15/27     2,600       2,801  
      Equinix Inc.   5.875%   1/15/26     10,000       10,625  
      Equinix Inc.   2.900%   11/18/26     5,000       5,006  
      Equinix Inc.   5.375%   5/15/27     13,000       14,089  
      Equinix Inc.   3.200%   11/18/29     10,000       10,030  
      Fidelity National Information Services Inc.   3.000%   8/15/26     15,706       16,217  
      Fidelity National Information Services Inc.   3.750%   5/21/29     8,500       9,279  
      Fiserv Inc.   3.850%   6/1/25     9,384       9,983  
      Fiserv Inc.   3.200%   7/1/26     15,750       16,306  
      Fiserv Inc.   4.200%   10/1/28     5,350       5,898  
      Fiserv Inc.   3.500%   7/1/29     25,986       27,319  
      Flex Ltd.   4.750%   6/15/25     4,500       4,876  
      Flex Ltd.   4.875%   6/15/29     6,186       6,715  
      Global Payments Inc.   2.650%   2/15/25     13,000       13,065  
      Global Payments Inc.   3.200%   8/15/29     10,350       10,535  
      Hewlett Packard Enterprise Co.   4.900%   10/15/25     21,675       24,026  
      Intel Corp.   3.700%   7/29/25     28,954       31,281  
      Intel Corp.   2.600%   5/19/26     5,748       5,878  
      Intel Corp.   3.150%   5/11/27     1,800       1,904  
      Intel Corp.   2.450%   11/15/29     8,000       7,954  
      International Business Machines Corp.   3.450%   2/19/26     25,931       27,590  
      International Business Machines Corp.   3.300%   5/15/26     28,700       30,234  
      International Business Machines Corp.   6.220%   8/1/27     2,800       3,488  
      International Business Machines Corp.   3.500%   5/15/29     27,150       29,140  
      Jabil Inc.   3.950%   1/12/28     4,000       4,104  
      Juniper Networks Inc.   4.350%   6/15/25     2,450       2,607  
      Juniper Networks Inc.   3.750%   8/15/29     6,500       6,762  
      Keysight Technologies Inc.   4.600%   4/6/27     6,025       6,678  
      Keysight Technologies Inc.   3.000%   10/30/29     4,000       4,009  
      KLA Corp.   4.100%   3/15/29     7,750       8,485  
      Lam Research Corp.   3.800%   3/15/25     4,700       4,999  
      Lam Research Corp.   3.750%   3/15/26     6,564       7,030  
      Lam Research Corp.   4.000%   3/15/29     7,400       8,134  
      Marvell Technology Group Ltd.   4.875%   6/22/28     4,000       4,410  
      Maxim Integrated Products Inc.   3.450%   6/15/27     4,000       4,121  
      Micron Technology Inc.   4.975%   2/6/26     4,100       4,541  
      Micron Technology Inc.   4.185%   2/15/27     8,700       9,287  
      Micron Technology Inc.   5.327%   2/6/29     5,800       6,619  
      Microsoft Corp.   2.700%   2/12/25     20,863       21,563  
      Microsoft Corp.   3.125%   11/3/25     25,101       26,530  
      Microsoft Corp.   2.400%   8/8/26     34,495       34,841  
      Microsoft Corp.   3.300%   2/6/27     34,764       37,108  
      Motorola Solutions Inc.   4.600%   2/23/28     9,300       10,060  
      Motorola Solutions Inc.   4.600%   5/23/29     500       549  
      NVIDIA Corp.   3.200%   9/16/26     8,350       8,730  
4     NXP BV / NXP Funding LLC   5.350%   3/1/26     10,655       11,960  

 

 

65

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
4     NXP BV / NXP Funding LLC   5.550%   12/1/28     4,000       4,675  
4     NXP BV / NXP Funding LLC / NXP USA Inc.   3.875%   6/18/26     8,660       9,158  
4     NXP BV / NXP Funding LLC / NXP USA Inc.   4.300%   6/18/29     11,075       11,961  
      Oracle Corp.   2.950%   5/15/25     19,213       19,969  
      Oracle Corp.   2.650%   7/15/26     32,514       33,190  
      Oracle Corp.   3.250%   11/15/27     13,721       14,507  
      PayPal Holdings Inc.   2.650%   10/1/26     10,000       10,132  
      PayPal Holdings Inc.   2.850%   10/1/29     17,300       17,335  
      QUALCOMM Inc.   3.450%   5/20/25     20,814       21,941  
      QUALCOMM Inc.   3.250%   5/20/27     19,153       20,053  
      salesforce.com Inc.   3.700%   4/11/28     11,300       12,390  
      Seagate HDD Cayman   4.750%   1/1/25     4,208       4,466  
      Seagate HDD Cayman   4.875%   6/1/27     5,410       5,735  
      Tech Data Corp.   4.950%   2/15/27     1,100       1,132  
      Texas Instruments Inc.   2.900%   11/3/27     3,050       3,185  
      Texas Instruments Inc.   2.250%   9/4/29     6,630       6,528  
      Total System Services Inc.   4.800%   4/1/26     5,000       5,556  
      Total System Services Inc.   4.450%   6/1/28     3,850       4,193  
      Trimble Inc.   4.900%   6/15/28     2,500       2,726  
      Tyco Electronics Group SA   3.700%   2/15/26     3,397       3,583  
      Tyco Electronics Group SA   3.125%   8/15/27     5,000       5,126  
      Verisk Analytics Inc.   4.000%   6/15/25     8,000       8,603  
      Verisk Analytics Inc.   4.125%   3/15/29     6,575       7,174  
      VMware Inc.   3.900%   8/21/27     7,976       8,319  
      Transportation (0.9%)                        
3     American Airlines 2013-1 Class A Pass Through Trust   4.000%   1/15/27     2,283       2,401  
3     American Airlines 2014-1 Class A Pass Through Trust   3.700%   4/1/28     2,260       2,360  
3     American Airlines 2015-1 Class A Pass Through Trust   3.375%   11/1/28     6,677       6,847  
3     American Airlines 2015-1 Class B Pass Through Trust   3.700%   11/1/24     1,883       1,904  
3     American Airlines 2016-1 Class A Pass Through Trust   4.100%   1/15/28     1,242       1,312  
3     American Airlines 2016-1 Class AA Pass Through Trust   3.575%   1/15/28     1,752       1,837  
3     American Airlines 2016-2 Class AA Pass Through Trust   3.200%   12/15/29     4,273       4,402  
      American Airlines 2016-3 Class AA Pass Through Trust   3.000%   10/15/28     65       67  
3     American Airlines 2017-1 Class AA Pass Through Trust   3.650%   8/15/30     832       872  
3     American Airlines 2017-1B Class B Pass Through Trust   4.950%   2/15/25     1,849       1,945  
3     BNSF Funding Trust I   6.613%   12/15/55     100       110  
      Burlington Northern Santa Fe LLC   3.000%   4/1/25     5,887       6,125  
      Burlington Northern Santa Fe LLC   3.650%   9/1/25     5,775       6,206  
      Burlington Northern Santa Fe LLC   7.000%   12/15/25     4,970       6,249  
      Burlington Northern Santa Fe LLC   3.250%   6/15/27     4,576       4,888  
      Canadian National Railway Co.   2.950%   11/21/24     2       2  
      Canadian National Railway Co.   2.750%   3/1/26     2,595       2,648  
      Canadian National Railway Co.   6.900%   7/15/28     3,250       4,298  
      Canadian Pacific Railway Co.   2.900%   2/1/25     5,683       5,821  
      Canadian Pacific Railway Co.   4.000%   6/1/28     5,070       5,519  
      CH Robinson Worldwide Inc.   4.200%   4/15/28     6,000       6,551  
3     Continental Airlines 2012-2 Class A Pass Through Trust   4.000%   4/29/26     4,334       4,570  
      CSX Corp.   3.400%   8/1/24     4,462       4,697  
      CSX Corp.   3.350%   11/1/25     6,200       6,560  
      CSX Corp.   2.600%   11/1/26     4,900       4,972  
      CSX Corp.   3.250%   6/1/27     6,880       7,217  
      CSX Corp.   3.800%   3/1/28     11,406       12,407  
      CSX Corp.   4.250%   3/15/29     2,000       2,245  
3     Delta Air Lines 2015-1 Class AA Pass Through Trust   3.625%   7/30/27     951       1,004  
      Delta Air Lines Inc.   4.375%   4/19/28     4,600       4,824  
      Delta Air Lines Inc.   3.750%   10/28/29     2,800       2,788  
      FedEx Corp.   3.200%   2/1/25     3,700       3,834  
      FedEx Corp.   3.250%   4/1/26     6,500       6,737  
      FedEx Corp.   3.300%   3/15/27     4,950       5,086  
      FedEx Corp.   3.400%   2/15/28     7,173       7,288  
      FedEx Corp.   4.200%   10/17/28     2,000       2,154  
      FedEx Corp.   3.100%   8/5/29     6,000       5,950  
      JB Hunt Transport Services Inc.   3.875%   3/1/26     6,450       6,888  

 

 

66

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      Kansas City Southern   2.875%   11/15/29     3,700       3,685  
      Kirby Corp.   4.200%   3/1/28     5,070       5,344  
3     Latam Airlines 2015-1 Pass Through Trust A   4.200%   8/15/29     1,397       1,441  
      Norfolk Southern Corp.   5.590%   5/17/25     2,839       3,278  
      Norfolk Southern Corp.   3.650%   8/1/25     2,100       2,239  
      Norfolk Southern Corp.   2.900%   6/15/26     5,725       5,885  
      Norfolk Southern Corp.   3.150%   6/1/27     3,985       4,151  
      Norfolk Southern Corp.   3.800%   8/1/28     5,350       5,870  
      Norfolk Southern Corp.   2.550%   11/1/29     3,500       3,475  
      Ryder System Inc.   2.900%   12/1/26     2,300       2,314  
      Southwest Airlines Co.   3.000%   11/15/26     5,570       5,690  
      Southwest Airlines Co.   3.450%   11/16/27     2,800       2,931  
3     Spirit Airlines Class A Pass Through Certificates Series 2015-1   4.100%   10/1/29     1,312       1,366  
      Union Pacific Corp.   3.250%   1/15/25     5,728       5,971  
      Union Pacific Corp.   3.750%   7/15/25     6,950       7,443  
      Union Pacific Corp.   3.250%   8/15/25     6,480       6,822  
      Union Pacific Corp.   2.750%   3/1/26     4,714       4,814  
      Union Pacific Corp.   3.000%   4/15/27     1,631       1,700  
      Union Pacific Corp.   3.950%   9/10/28     7,790       8,585  
      Union Pacific Corp.   3.700%   3/1/29     11,350       12,358  
3     United Airlines 2013-1 Class A Pass Through Trust   4.300%   2/15/27     4,019       4,307  
3     United Airlines 2014-1 Class A Pass Through Trust   4.000%   10/11/27     3,830       4,050  
3     United Airlines 2014-2 Class A Pass Through Trust   3.750%   3/3/28     5,616       5,899  
3     United Airlines 2015-1 Class AA Pass Through Trust   3.450%   12/1/27     1,662       1,713  
3     United Airlines 2016-1 Class A Pass Through Trust   3.450%   1/7/30     2,683       2,754  
3     United Airlines 2016-1 Class AA Pass Through Trust   3.100%   7/7/28     2,773       2,832  
3     United Airlines 2016-2 Class A Pass Through Trust   3.100%   10/7/28     738       746  
3     United Airlines 2016-2 Class AA Pass Through Trust   2.875%   10/7/28     5,902       5,977  
      United Parcel Service Inc.   2.800%   11/15/24     1       1  
      United Parcel Service Inc.   2.400%   11/15/26     4,875       4,916  
      United Parcel Service Inc.   3.050%   11/15/27     7,295       7,658  
      United Parcel Service Inc.   3.400%   3/15/29     5,650       6,049  
      United Parcel Service Inc.   2.500%   9/1/29     4,050       4,040  
3     US Airways 2012-1 Class A Pass Through Trust   5.900%   4/1/26     333       368  
3     US Airways 2012-2 Class A Pass Through Trust   4.625%   12/3/26     738       792  
3     US Airways 2013-1 Class A Pass Through Trust   3.950%   5/15/27     2,740       2,867  
                            8,390,162  
Utilities (2.1%)                        
      Electric (1.9%)                        
      AEP Texas Inc.   3.950%   6/1/28     3,450       3,756  
      AEP Transmission Co. LLC   3.100%   12/1/26     3,370       3,474  
      Ameren Corp.   3.650%   2/15/26     2,892       3,024  
      Ameren Illinois Co.   3.250%   3/1/25     2,700       2,823  
      Ameren Illinois Co.   3.800%   5/15/28     3,400       3,705  
      American Electric Power Co. Inc.   3.200%   11/13/27     2,800       2,868  
      American Electric Power Co. Inc.   4.300%   12/1/28     4,800       5,320  
      Appalachian Power Co.   3.400%   6/1/25     2,750       2,880  
      Arizona Public Service Co.   3.150%   5/15/25     2,335       2,421  
      Arizona Public Service Co.   2.950%   9/15/27     2,725       2,789  
      Arizona Public Service Co.   2.600%   8/15/29     2,000       1,979  
      Avangrid Inc.   3.800%   6/1/29     5,900       6,240  
      Baltimore Gas & Electric Co.   2.400%   8/15/26     3,500       3,511  
      Berkshire Hathaway Energy Co.   3.500%   2/1/25     4,011       4,230  
      Berkshire Hathaway Energy Co.   3.250%   4/15/28     5,900       6,156  
      Black Hills Corp.   3.950%   1/15/26     3,400       3,583  
      Black Hills Corp.   3.150%   1/15/27     3,700       3,731  
      Black Hills Corp.   3.050%   10/15/29     1,070       1,069  
      CenterPoint Energy Houston Electric LLC   2.400%   9/1/26     1,700       1,675  
      CenterPoint Energy Houston Electric LLC   3.000%   2/1/27     2,350       2,394  
      CenterPoint Energy Inc.   4.250%   11/1/28     3,770       4,057  
      Cleco Corporate Holdings LLC   3.743%   5/1/26     4,780       4,936  
4     Cleco Corporate Holdings LLC   3.375%   9/15/29     1,000       991  

 

 

67

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      CMS Energy Corp.   3.000%   5/15/26     3,000       3,048  
      CMS Energy Corp.   3.450%   8/15/27     3,825       3,992  
      Commonwealth Edison Co.   2.550%   6/15/26     6,650       6,702  
      Commonwealth Edison Co.   2.950%   8/15/27     3,510       3,607  
      Commonwealth Edison Co.   3.700%   8/15/28     5,433       5,895  
      Connecticut Light & Power Co.   3.200%   3/15/27     5,100       5,350  
      Consolidated Edison Co. of New York Inc.   3.125%   11/15/27     5,425       5,634  
      Dominion Energy Inc.   3.900%   10/1/25     5,205       5,539  
      Dominion Energy Inc.   2.850%   8/15/26     3,850       3,880  
      Dominion Energy Inc.   4.250%   6/1/28     4,100       4,515  
      DTE Electric Co.   3.375%   3/1/25     1,825       1,920  
      DTE Energy Co.   2.850%   10/1/26     5,703       5,710  
      DTE Energy Co.   3.800%   3/15/27     6,675       7,036  
      DTE Energy Co.   3.400%   6/15/29     2,000       2,039  
      Duke Energy Carolinas LLC   2.950%   12/1/26     3,550       3,658  
      Duke Energy Carolinas LLC   3.950%   11/15/28     8,025       8,918  
      Duke Energy Carolinas LLC   6.000%   12/1/28     320       398  
      Duke Energy Carolinas LLC   2.450%   8/15/29     6,500       6,444  
      Duke Energy Corp.   2.650%   9/1/26     5,604       5,603  
      Duke Energy Corp.   3.150%   8/15/27     6,200       6,363  
      Duke Energy Corp.   3.400%   6/15/29     8,455       8,828  
      Duke Energy Florida LLC   3.200%   1/15/27     5,500       5,722  
      Duke Energy Florida LLC   3.800%   7/15/28     2,830       3,079  
      Duke Energy Florida LLC   2.500%   12/1/29     633       631  
      Duke Energy Ohio Inc.   3.650%   2/1/29     4,950       5,371  
      Duke Energy Progress LLC   3.250%   8/15/25     5,473       5,744  
      Duke Energy Progress LLC   3.700%   9/1/28     5,300       5,782  
      Duke Energy Progress LLC   3.450%   3/15/29     10,050       10,762  
      Edison International   5.750%   6/15/27     1,000       1,120  
      Edison International   4.125%   3/15/28     4,350       4,458  
      Emera US Finance LP   3.550%   6/15/26     7,090       7,351  
      Enel Americas SA   4.000%   10/25/26     3,000       3,101  
      Enel Chile SA   4.875%   6/12/28     8,300       9,199  
      Entergy Arkansas Inc.   3.500%   4/1/26     6,922       7,278  
      Entergy Corp.   2.950%   9/1/26     4,137       4,195  
      Entergy Louisiana LLC   2.400%   10/1/26     4,705       4,670  
      Entergy Louisiana LLC   3.120%   9/1/27     7,725       7,984  
      Entergy Louisiana LLC   3.250%   4/1/28     4,000       4,179  
      Entergy Mississippi LLC   2.850%   6/1/28     2,185       2,217  
      Evergy Inc.   2.900%   9/15/29     6,225       6,186  
      Eversource Energy   3.150%   1/15/25     2,335       2,404  
      Eversource Energy   3.300%   1/15/28     5,000       5,155  
      Eversource Energy   4.250%   4/1/29     5,000       5,522  
      Exelon Corp.   3.950%   6/15/25     6,783       7,293  
      Exelon Corp.   3.400%   4/15/26     7,461       7,779  
      FirstEnergy Corp.   3.900%   7/15/27     16,509       17,617  
      Florida Power & Light Co.   3.125%   12/1/25     4,850       5,081  
      Fortis Inc.   3.055%   10/4/26     8,251       8,410  
      Georgia Power Co.   3.250%   4/1/26     4,836       4,999  
      Georgia Power Co.   3.250%   3/30/27     3,039       3,125  
      Georgia Power Co.   2.650%   9/15/29     7,210       7,029  
      Gulf Power Co.   3.300%   5/30/27     3,075       3,211  
      Indiana Michigan Power Co.   3.850%   5/15/28     7,700       8,335  
      Interstate Power & Light Co.   4.100%   9/26/28     5,450       5,951  
      ITC Holdings Corp.   3.250%   6/30/26     2,210       2,277  
      ITC Holdings Corp.   3.350%   11/15/27     8,150       8,476  
      Louisville Gas & Electric Co.   3.300%   10/1/25     2,800       2,928  
      MidAmerican Energy Co.   3.650%   4/15/29     2,800       3,053  
      Mississippi Power Co.   3.950%   3/30/28     3,000       3,243  
      National Rural Utilities Cooperative Finance Corp.   2.850%   1/27/25     3,150       3,241  
      National Rural Utilities Cooperative Finance Corp.   3.250%   11/1/25     4,865       5,124  
      National Rural Utilities Cooperative Finance Corp.   3.050%   4/25/27     5,010       5,184  
      National Rural Utilities Cooperative Finance Corp.   3.400%   2/7/28     9,004       9,559  
      National Rural Utilities Cooperative Finance Corp.   3.900%   11/1/28     2,500       2,721  

 

 

68

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      National Rural Utilities Cooperative Finance Corp.   3.700%   3/15/29     5,785       6,310  
3     National Rural Utilities Cooperative Finance Corp.   5.250%   4/20/46     3,575       3,787  
      Nevada Power Co.   3.700%   5/1/29     6,890       7,436  
      NextEra Energy Capital Holdings Inc.   3.250%   4/1/26     5,124       5,329  
      NextEra Energy Capital Holdings Inc.   3.550%   5/1/27     13,046       13,823  
      NextEra Energy Capital Holdings Inc.   3.500%   4/1/29     4,425       4,679  
      NextEra Energy Capital Holdings Inc.   2.750%   11/1/29     4,100       4,095  
3     NextEra Energy Capital Holdings Inc.   4.800%   12/1/77     5,200       5,317  
3     NextEra Energy Capital Holdings Inc.   5.650%   5/1/79     3,000       3,334  
      NSTAR Electric Co.   3.200%   5/15/27     3,491       3,645  
      NSTAR Electric Co.   3.250%   5/15/29     2,200       2,295  
      Oklahoma Gas & Electric Co.   3.800%   8/15/28     3,475       3,752  
      Oncor Electric Delivery Co. LLC   2.950%   4/1/25     3,085       3,184  
      Oncor Electric Delivery Co. LLC   3.700%   11/15/28     5,660       6,173  
      PacifiCorp   3.500%   6/15/29     6,375       6,866  
      PPL Capital Funding Inc.   3.100%   5/15/26     6,911       7,034  
      Public Service Co. of Colorado   3.700%   6/15/28     3,125       3,392  
      Public Service Electric & Gas Co.   3.000%   5/15/25     3,815       3,957  
      Public Service Electric & Gas Co.   2.250%   9/15/26     4,700       4,637  
      Public Service Electric & Gas Co.   3.000%   5/15/27     2,850       2,943  
      Public Service Electric & Gas Co.   3.700%   5/1/28     5,060       5,488  
      Public Service Electric & Gas Co.   3.200%   5/15/29     2,500       2,638  
      Puget Energy Inc.   3.650%   5/15/25     6,665       6,910  
      San Diego Gas & Electric Co.   2.500%   5/15/26     1,800       1,782  
      Sierra Pacific Power Co.   2.600%   5/1/26     6,480       6,514  
      Southern California Edison Co.   3.700%   8/1/25     2,050       2,167  
      Southern California Edison Co.   3.650%   3/1/28     5,250       5,625  
      Southern California Edison Co.   4.200%   3/1/29     4,000       4,416  
      Southern California Edison Co.   6.650%   4/1/29     4,925       5,913  
      Southern California Edison Co.   2.850%   8/1/29     8,165       8,144  
      Southern Co.   3.250%   7/1/26     6,670       6,911  
      Southern Power Co.   4.150%   12/1/25     5,055       5,478  
      Southwestern Electric Power Co.   2.750%   10/1/26     6,850       6,809  
      Southwestern Electric Power Co.   4.100%   9/15/28     7,345       7,997  
      Union Electric Co.   2.950%   6/15/27     3,500       3,583  
      Union Electric Co.   3.500%   3/15/29     3,950       4,229  
      Virginia Electric & Power Co.   3.100%   5/15/25     3,550       3,681  
      Virginia Electric & Power Co.   3.150%   1/15/26     7,605       7,937  
      Virginia Electric & Power Co.   2.950%   11/15/26     6,492       6,663  
      Virginia Electric & Power Co.   3.500%   3/15/27     5,562       5,903  
      Virginia Electric & Power Co.   3.800%   4/1/28     5,350       5,781  
      Virginia Electric & Power Co.   2.875%   7/15/29     5,875       5,986  
      WEC Energy Group Inc.   3.550%   6/15/25     4,182       4,420  
      Westar Energy Inc.   2.550%   7/1/26     3,835       3,844  
      Westar Energy Inc.   3.100%   4/1/27     4,187       4,323  
      Wisconsin Power & Light Co.   3.050%   10/15/27     2,950       3,047  
      Wisconsin Power & Light Co.   3.000%   7/1/29     200       205  
      Xcel Energy Inc.   3.300%   6/1/25     2,800       2,918  
      Xcel Energy Inc.   3.350%   12/1/26     4,775       4,979  
      Xcel Energy Inc.   4.000%   6/15/28     5,250       5,730  
      Natural Gas (0.1%)                        
      Atmos Energy Corp.   3.000%   6/15/27     4,725       4,878  
      Atmos Energy Corp.   2.625%   9/15/29     3,000       3,012  
      CenterPoint Energy Resources Corp.   4.000%   4/1/28     2,635       2,826  
      NiSource Finance Corp.   3.490%   5/15/27     6,900       7,240  
      NiSource Inc.   2.950%   9/1/29     2,300       2,288  
      Piedmont Natural Gas Co. Inc.   3.500%   6/1/29     2,100       2,236  
      Sempra Energy   3.750%   11/15/25     7,011       7,390  
      Sempra Energy   3.250%   6/15/27     6,241       6,391  
      Sempra Energy   3.400%   2/1/28     9,580       9,889  
      Southern California Gas Co.   2.600%   6/15/26     11,000       10,988  
      Southern Co. Gas Capital Corp.   3.250%   6/15/26     1,958       2,011  
      Southwest Gas Corp.   3.700%   4/1/28     2,570       2,721  

 

 

69

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      Other Utility (0.1%)                        
      American Water Capital Corp.   3.400%   3/1/25     6,618       6,928  
      American Water Capital Corp.   2.950%   9/1/27     5,650       5,757  
      American Water Capital Corp.   3.750%   9/1/28     4,000       4,307  
      Aqua America Inc.   3.566%   5/1/29     1,300       1,370  
                            751,678  
Total Corporate Bonds (Cost $13,568,755)                     14,247,833  
Sovereign Bonds (4.4%)                        
      Asian Development Bank   2.000%   1/22/25     10,730       10,847  
      Asian Development Bank   2.125%   3/19/25     3,325       3,378  
      Asian Development Bank   2.000%   4/24/26     18,425       18,527  
      Asian Development Bank   1.750%   8/14/26     8,800       8,693  
      Asian Development Bank   2.625%   1/12/27     12,750       13,324  
      Asian Development Bank   2.375%   8/10/27     2,800       2,882  
      Asian Development Bank   2.500%   11/2/27     22,145       23,032  
      Asian Development Bank   2.750%   1/19/28     8,042       8,521  
      Asian Development Bank   5.820%   6/16/28     4,080       5,183  
      Asian Development Bank   3.125%   9/26/28     8,500       9,277  
      Asian Development Bank   1.750%   9/19/29     12,650       12,362  
      CNOOC Finance 2013 Ltd.   2.875%   9/30/29     7,900       7,890  
      CNOOC Finance 2015 USA LLC   3.500%   5/5/25     11,775       12,310  
      CNOOC Finance 2015 USA LLC   4.375%   5/2/28     12,225       13,537  
      Ecopetrol SA   4.125%   1/16/25     10,698       11,246  
      Ecopetrol SA   5.375%   6/26/26     10,191       11,427  
      Equinor ASA   3.250%   11/10/24     6       6  
      Equinor ASA   7.250%   9/23/27     6,925       9,177  
      Equinor ASA   3.625%   9/10/28     4,600       5,072  
      European Investment Bank   1.875%   2/10/25     29,240       29,411  
      European Investment Bank   2.125%   4/13/26     9,575       9,715  
      European Investment Bank   2.375%   5/24/27     17,615       18,182  
      European Investment Bank   1.625%   10/9/29     3,800       3,678  
      Export-Import Bank of Korea   2.875%   1/21/25     16,000       16,453  
      Export-Import Bank of Korea   3.250%   11/10/25     8,375       8,796  
      Export-Import Bank of Korea   2.625%   5/26/26     13,000       13,098  
      Export-Import Bank of Korea   3.250%   8/12/26     5,550       5,799  
      Hydro-Quebec   8.500%   12/1/29     900       1,366  
      Industrial & Commercial Bank of China Ltd.   3.538%   11/8/27     4,900       5,062  
      Inter-American Development Bank   2.125%   1/15/25     24,250       24,623  
      Inter-American Development Bank   7.000%   6/15/25     4,365       5,442  
      Inter-American Development Bank   2.000%   6/2/26     6,815       6,853  
      Inter-American Development Bank   2.000%   7/23/26     8,975       9,027  
      Inter-American Development Bank   2.375%   7/7/27     27,153       28,021  
      Inter-American Development Bank   3.125%   9/18/28     18,875       20,597  
      Inter-American Development Bank   2.250%   6/18/29     20,500       20,905  
      International Bank for Reconstruction & Development   2.125%   3/3/25     3,020       3,069  
      International Bank for Reconstruction & Development   2.500%   7/29/25     26,835       27,835  
      International Bank for Reconstruction & Development   3.125%   11/20/25     7,500       8,046  
      International Bank for Reconstruction & Development   8.875%   3/1/26     1,000       1,372  
      International Bank for Reconstruction & Development   1.875%   10/27/26     15,550       15,530  
      International Bank for Reconstruction & Development   2.500%   11/22/27     19,795       20,622  
      International Bank for Reconstruction & Development   1.750%   10/23/29     26,500       25,868  
      International Finance Corp.   2.125%   4/7/26     8,505       8,635  
5     Japan Bank for International Cooperation   2.125%   2/10/25     19,575       19,613  
5     Japan Bank for International Cooperation   2.500%   5/28/25     5,350       5,460  
5     Japan Bank for International Cooperation   2.750%   1/21/26     13,000       13,421  
5     Japan Bank for International Cooperation   2.375%   4/20/26     6,250       6,312  
5     Japan Bank for International Cooperation   1.875%   7/21/26     750       735  
5     Japan Bank for International Cooperation   2.250%   11/4/26     14,325       14,365  
5     Japan Bank for International Cooperation   2.875%   6/1/27     16,360       17,104  
5     Japan Bank for International Cooperation   2.875%   7/21/27     8,900       9,293  
5     Japan Bank for International Cooperation   2.750%   11/16/27     7,740       8,045  
5     Japan Bank for International Cooperation   3.250%   7/20/28     10,650       11,466  

 

70

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
5     Japan Bank for International Cooperation   3.500%   10/31/28     11,325       12,434  
5     Japan Bank for International Cooperation   2.000%   10/17/29     5,300       5,166  
5     Japan International Cooperation Agency   2.750%   4/27/27     7,460       7,697  
5     Japan International Cooperation Agency   3.375%   6/12/28     4,700       5,105  
6     KFW   2.000%   5/2/25     17,675       17,859  
6     KFW   2.875%   4/3/28     14,565       15,599  
6     KFW   1.750%   9/14/29     20,250       19,821  
      Korea Development Bank   3.000%   1/13/26     10,000       10,267  
      Korea Development Bank   2.000%   9/12/26     8,750       8,474  
6     Landwirtschaftliche Rentenbank   2.000%   1/13/25     12,255       12,370  
6     Landwirtschaftliche Rentenbank   2.375%   6/10/25     12,800       13,163  
6     Landwirtschaftliche Rentenbank   1.750%   7/27/26     14,925       14,788  
6     Landwirtschaftliche Rentenbank   2.500%   11/15/27     11,640       12,150  
3     Oriental Republic of Uruguay   4.375%   10/27/27     11,490       12,682  
      Petroleos Mexicanos   4.250%   1/15/25     6,540       6,607  
      Petroleos Mexicanos   4.500%   1/23/26     10,050       9,978  
      Petroleos Mexicanos   6.875%   8/4/26     21,750       23,869  
4     Petroleos Mexicanos   6.490%   1/23/27     23,046       24,460  
      Petroleos Mexicanos   6.500%   3/13/27     44,040       46,602  
      Petroleos Mexicanos   5.350%   2/12/28     25,727       25,550  
      Petroleos Mexicanos   6.500%   1/23/29     16,500       17,302  
      Province of Alberta   3.300%   3/15/28     14,705       15,872  
      Province of British Columbia   6.500%   1/15/26     1,935       2,379  
      Province of British Columbia   2.250%   6/2/26     6,415       6,477  
      Province of Manitoba   2.125%   6/22/26     4,100       4,089  
      Province of New Brunswick   3.625%   2/24/28     4,700       5,135  
      Province of Ontario   2.500%   4/27/26     9,075       9,289  
      Province of Ontario   2.300%   6/15/26     24,200       24,496  
      Province of Ontario   2.000%   10/2/29     13,520       13,285  
      Province of Quebec   2.875%   10/16/24     11,445       11,921  
      Province of Quebec   2.500%   4/20/26     11,000       11,259  
      Province of Quebec   2.750%   4/12/27     16,500       17,153  
      Province of Quebec   7.500%   9/15/29     6,535       9,411  
      Republic of Chile   3.125%   3/27/25     3,050       3,178  
      Republic of Chile   3.125%   1/21/26     10,938       11,445  
3     Republic of Chile   3.240%   2/6/28     14,625       15,328  
3     Republic of Colombia   4.500%   1/28/26     16,161       17,576  
3     Republic of Colombia   3.875%   4/25/27     23,243       24,549  
3     Republic of Colombia   4.500%   3/15/29     18,950       20,963  
      Republic of Indonesia   3.500%   1/11/28     14,250       14,848  
      Republic of Indonesia   4.100%   4/24/28     10,550       11,461  
      Republic of Indonesia   4.750%   2/11/29     6,353       7,274  
      Republic of Indonesia   3.400%   9/18/29     2,250       2,337  
      Republic of Italy   2.875%   10/17/29     16,850       15,917  
      Republic of Korea   5.625%   11/3/25     1,875       2,219  
      Republic of Korea   2.750%   1/19/27     18,550       18,945  
      Republic of Korea   2.500%   6/19/29     1,890       1,898  
3     Republic of Panama   3.750%   3/16/25     12,895       13,685  
      Republic of Panama   7.125%   1/29/26     10,854       13,595  
      Republic of Panama   8.875%   9/30/27     8,920       12,722  
3     Republic of Panama   3.875%   3/17/28     5,700       6,199  
      Republic of Panama   9.375%   4/1/29     5,835       8,891  
      Republic of Peru   7.350%   7/21/25     14,315       18,087  
      Republic of Peru   4.125%   8/25/27     8,860       9,909  
      Republic of Poland   3.250%   4/6/26     11,539       12,216  
      Republic of the Philippines   10.625%   3/16/25     10,245       14,458  
      Republic of the Philippines   5.500%   3/30/26     20,075       23,814  
      Republic of the Philippines   3.000%   2/1/28     15,510       16,109  
      Republic of the Philippines   3.750%   1/14/29     9,350       10,314  
      State of Israel   2.875%   3/16/26     9,200       9,591  
      State of Israel   3.250%   1/17/28     9,500       10,183  
      United Mexican States   3.600%   1/30/25     22,680       23,697  
      United Mexican States   4.125%   1/21/26     21,360       22,737  
      United Mexican States   4.150%   3/28/27     24,475       26,156  

 

 

71

 

 

Vanguard® Intermediate-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
)   Market
Value
($000
      United Mexican States   3.750%   1/11/28     21,630       22,420  
      United Mexican States   4.500%   4/22/29     25,800       28,272  
Total Sovereign Bonds (Cost $1,499,724)                     1,554,212  
Taxable Municipal Bonds (0.2%)                        
      Alabama Economic Settlement Authority BP Settlement Revenue   3.163%   9/15/25     1,800       1,842  
      California GO   6.650%   3/1/22     3,500       3,774  
      California GO   3.375%   4/1/25     4,575       4,858  
      California GO   3.500%   4/1/28     3,600       3,876  
      Energy Northwest Washington Electric Revenue (Columbia Generating Station)   2.814%   7/1/24     190       194  
      Los Angeles CA Unified School District GO   5.755%   7/1/29     1,165       1,413  
      Metropolitan Government of Nashville & Davidson County TN Health & Educational Facilities Board Revenue (Vanderbilt University Medical Center)   4.053%   7/1/26     1,095       1,189  
7     New Jersey Economic Development Authority Revenue (State Pension Funding)   7.425%   2/15/29     17,750       22,254  
      New Jersey Transportation Trust Fund Authority Transportation System Revenue   5.754%   12/15/28     1,925       2,213  
      New Jersey Transportation Trust Fund Authority Transportation System Revenue   6.104%   12/15/28     1,660       1,725  
      Oregon GO   5.892%   6/1/27     13,900       16,474  
8     Oregon School Boards Association GO   5.528%   6/30/28     1,500       1,769  
7     Oregon School Boards Association GO   5.550%   6/30/28     875       1,035  
      Port Authority of New York & New Jersey Revenue   6.040%   12/1/29     1,260       1,622  
      Regents of the University of California Revenue   3.063%   7/1/25     9,500       9,948  
      Utah GO   3.539%   7/1/25     65       68  
      Wisconsin General Fund Annual Appropriation Revenue   3.154%   5/1/27     3,300       3,426  
8     Wisconsin GO   5.700%   5/1/26     2,990       3,357  
Total Taxable Municipal Bonds (Cost $79,065)                     81,037  
                         
                    Shares          
Temporary Cash Investment (0.5%)                        
Money Market Fund (0.5%)                        
9     Vanguard Market Liquidity Fund (Cost $192,687)   1.816%         1,926,694       192,689  
Total Investments (99.7%) (Cost $33,978,651)                     35,173,168  
Other Assets and Liabilities—Net (0.3%)                     101,932  
Net Assets (100%)                     35,275,100  

  

1 U.S. government-guaranteed.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $500,882,000, representing 1.4% of net assets.
5 Guaranteed by the Government of Japan.
6 Guaranteed by the Federal Republic of Germany.
7 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
8 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
9 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  GO—General Obligation Bond.
  REIT—Real Estate Investment Trust.

 

 

72

 

 

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
U.S. Government and Agency Obligations (42.4%)                         
U.S. Government Securities (41.0%)                        
      United States Treasury Note/Bond   1.750%   11/15/29     4,300       4,235  
      United States Treasury Note/Bond   6.250%   5/15/30     36,845       51,790  
      United States Treasury Note/Bond   5.375%   2/15/31     27,060       36,303  
      United States Treasury Note/Bond   4.500%   2/15/36     39,455       52,334  
      United States Treasury Note/Bond   5.000%   5/15/37     4       6  
      United States Treasury Note/Bond   4.375%   2/15/38     21,148       28,126  
      United States Treasury Note/Bond   4.500%   5/15/38     18,060       24,404  
      United States Treasury Note/Bond   3.500%   2/15/39     37,527       44,980  
      United States Treasury Note/Bond   4.250%   5/15/39     36,392       47,889  
      United States Treasury Note/Bond   4.500%   8/15/39     39,671       53,841  
      United States Treasury Note/Bond   4.375%   11/15/39     41,100       54,997  
      United States Treasury Note/Bond   4.625%   2/15/40     64,061       88,575  
      United States Treasury Note/Bond   4.375%   5/15/40     54,098       72,635  
      United States Treasury Note/Bond   3.875%   8/15/40     41,265       52,013  
      United States Treasury Note/Bond   4.250%   11/15/40     50,200       66,460  
      United States Treasury Note/Bond   4.750%   2/15/41     51,180       72,212  
      United States Treasury Note/Bond   4.375%   5/15/41     42,045       56,688  
      United States Treasury Note/Bond   3.750%   8/15/41     44,470       55,212  
      United States Treasury Note/Bond   3.125%   11/15/41     44,477       50,461  
      United States Treasury Note/Bond   3.125%   2/15/42     55,952       63,479  
      United States Treasury Note/Bond   3.000%   5/15/42     47,225       52,552  
      United States Treasury Note/Bond   2.750%   8/15/42     63,163       67,456  
      United States Treasury Note/Bond   2.750%   11/15/42     86,703       92,555  
      United States Treasury Note/Bond   3.125%   2/15/43     89,415       101,431  
      United States Treasury Note/Bond   2.875%   5/15/43     124,375       135,569  
      United States Treasury Note/Bond   3.625%   8/15/43     104,785       128,542  
      United States Treasury Note/Bond   3.750%   11/15/43     105,915       132,509  
      United States Treasury Note/Bond   3.625%   2/15/44     126,564       155,634  
      United States Treasury Note/Bond   3.375%   5/15/44     118,037       139,745  
      United States Treasury Note/Bond   3.125%   8/15/44     178,003       202,589  
      United States Treasury Note/Bond   3.000%   11/15/44     109,496       122,122  
      United States Treasury Note/Bond   2.500%   2/15/45     116,042       118,489  
      United States Treasury Note/Bond   3.000%   5/15/45     137,460       153,569  
      United States Treasury Note/Bond   2.875%   8/15/45     128,362       140,356  
      United States Treasury Note/Bond   3.000%   11/15/45     97,150       108,687  
      United States Treasury Note/Bond   2.500%   2/15/46     73,547       75,110  
      United States Treasury Note/Bond   2.500%   5/15/46     106,406       108,650  
      United States Treasury Note/Bond   2.250%   8/15/46     113,624       110,445  
      United States Treasury Note/Bond   2.875%   11/15/46     136,964       150,254  
      United States Treasury Note/Bond   3.000%   2/15/47     123,644       138,945  
      United States Treasury Note/Bond   3.000%   5/15/47     104,486       117,384  
      United States Treasury Note/Bond   2.750%   8/15/47     132,996       142,638  
      United States Treasury Note/Bond   2.750%   11/15/47     123,746       132,697  
      United States Treasury Note/Bond   3.000%   2/15/48     125,720       141,317  
      United States Treasury Note/Bond   3.125%   5/15/48     113,086       130,191  
      United States Treasury Note/Bond   3.000%   8/15/48     165,935       186,910  
      United States Treasury Note/Bond   3.375%   11/15/48     151,671       182,977  
      United States Treasury Note/Bond   3.000%   2/15/49     176,486       199,097  
      United States Treasury Note/Bond   2.875%   5/15/49     149,270       164,594  
      United States Treasury Note/Bond   2.250%   8/15/49     158,873       154,181  
      United States Treasury Note/Bond   2.375%   11/15/49     127,325       126,947  
                            5,090,782  
Agency Bonds and Notes (1.4%)                        
      Federal Home Loan Banks   5.625%   3/14/36     1,000       1,393  
      Federal Home Loan Banks   5.500%   7/15/36     4,055       5,695  
1     Federal Home Loan Mortgage Corp.   6.750%   3/15/31     9,514       13,757  
1     Federal Home Loan Mortgage Corp.   6.250%   7/15/32     21,052       30,236  
1     Federal Home Loan Mortgage Corp.   0.000%   11/15/38     40       23  
1     Federal National Mortgage Assn.   7.125%   1/15/30     9,275       13,390  
1     Federal National Mortgage Assn.   7.250%   5/15/30     13,160       19,323  
1     Federal National Mortgage Assn.   6.625%   11/15/30     9,200       13,095  

 

 

73

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
1     Federal National Mortgage Assn.   5.625%   7/15/37     8,385       12,058  
1     Federal National Mortgage Assn.   6.210%   8/6/38     770       1,163  
      Tennessee Valley Authority   7.125%   5/1/30     3,970       5,723  
      Tennessee Valley Authority   4.650%   6/15/35     4,510       5,571  
      Tennessee Valley Authority   5.880%   4/1/36     4,535       6,378  
      Tennessee Valley Authority   5.980%   4/1/36     1,000       1,415  
      Tennessee Valley Authority   6.150%   1/15/38     2,450       3,611  
      Tennessee Valley Authority   5.500%   6/15/38     1,175       1,628  
      Tennessee Valley Authority   5.250%   9/15/39     18,865       25,831  
      Tennessee Valley Authority   4.875%   1/15/48     2,650       3,625  
      Tennessee Valley Authority   5.375%   4/1/56     1,950       2,958  
      Tennessee Valley Authority   4.625%   9/15/60     1,400       1,917  
      Tennessee Valley Authority   4.250%   9/15/65     3,500       4,533  
                            173,323  
Total U.S. Government and Agency Obligations (Cost $4,783,996)                     5,264,105  
Corporate Bonds (49.2%)                        
Finance (8.4%)                        
      Banking (4.3%)                        
      Ally Financial Inc.   8.000%   11/1/31     6,000       8,287  
      Ally Financial Inc.   8.000%   11/1/31     500       689  
      American Express Co.   4.050%   12/3/42     2,091       2,451  
      Bank of America Corp.   6.110%   1/29/37     6,100       8,219  
2     Bank of America Corp.   4.244%   4/24/38     8,530       9,786  
      Bank of America Corp.   7.750%   5/14/38     5,473       8,605  
2     Bank of America Corp.   4.078%   4/23/40     6,975       7,911  
      Bank of America Corp.   5.875%   2/7/42     3,465       4,915  
      Bank of America Corp.   5.000%   1/21/44     4,816       6,289  
      Bank of America Corp.   4.875%   4/1/44     1,218       1,556  
      Bank of America Corp.   4.750%   4/21/45     1,590       1,933  
2     Bank of America Corp.   4.443%   1/20/48     5,635       6,858  
2     Bank of America Corp.   3.946%   1/23/49     3,955       4,482  
2     Bank of America Corp.   4.330%   3/15/50     8,225       9,864  
      Bank of America NA   6.000%   10/15/36     5,549       7,641  
      Barclays plc   5.250%   8/17/45     4,375       5,271  
      Barclays plc   4.950%   1/10/47     3,205       3,750  
      Citigroup Inc.   6.625%   6/15/32     4,513       6,046  
      Citigroup Inc.   5.875%   2/22/33     1,675       2,052  
      Citigroup Inc.   6.000%   10/31/33     1,966       2,528  
      Citigroup Inc.   6.125%   8/25/36     2,108       2,727  
2     Citigroup Inc.   3.878%   1/24/39     3,925       4,294  
      Citigroup Inc.   8.125%   7/15/39     5,254       8,770  
      Citigroup Inc.   5.875%   1/30/42     3,350       4,724  
      Citigroup Inc.   6.675%   9/13/43     2,869       4,188  
      Citigroup Inc.   5.300%   5/6/44     2,825       3,581  
      Citigroup Inc.   4.650%   7/30/45     2,549       3,131  
      Citigroup Inc.   4.750%   5/18/46     5,325       6,375  
2     Citigroup Inc.   4.281%   4/24/48     3,250       3,819  
      Citigroup Inc.   4.650%   7/23/48     5,925       7,387  
      Cooperatieve Rabobank UA   5.250%   5/24/41     2,950       4,015  
      Cooperatieve Rabobank UA   5.750%   12/1/43     2,505       3,296  
      Cooperatieve Rabobank UA   5.250%   8/4/45     6,666       8,371  
      Credit Suisse Group Funding Guernsey Ltd.   4.875%   5/15/45     4,745       5,961  
      Credit Suisse USA Inc.   7.125%   7/15/32     3,100       4,545  
      Fifth Third Bancorp   8.250%   3/1/38     3,008       4,624  
      First Republic Bank   4.375%   8/1/46     1,350       1,462  
      First Republic Bank   4.625%   2/13/47     1,275       1,472  
      Goldman Sachs Capital I   6.345%   2/15/34     3,975       5,162  
      Goldman Sachs Group Inc.   6.450%   5/1/36     2,192       2,900  
      Goldman Sachs Group Inc.   6.750%   10/1/37     17,772       24,634  
2     Goldman Sachs Group Inc.   4.017%   10/31/38     9,270       10,025  
2     Goldman Sachs Group Inc.   4.411%   4/23/39     5,225       5,929  
      Goldman Sachs Group Inc.   6.250%   2/1/41     8,318       11,610  

 

 

74

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Goldman Sachs Group Inc.   4.800%   7/8/44     5,250       6,354  
      Goldman Sachs Group Inc.   5.150%   5/22/45     6,525       7,987  
      Goldman Sachs Group Inc.   4.750%   10/21/45     1,996       2,432  
      HSBC Bank USA NA   7.000%   1/15/39     2,425       3,535  
      HSBC Holdings plc   7.625%   5/17/32     2,049       2,832  
      HSBC Holdings plc   6.500%   5/2/36     6,353       8,637  
      HSBC Holdings plc   6.500%   9/15/37     8,045       10,972  
      HSBC Holdings plc   6.800%   6/1/38     4,665       6,634  
      HSBC Holdings plc   6.100%   1/14/42     2,120       3,007  
      HSBC Holdings plc   5.250%   3/14/44     3,602       4,559  
      JPMorgan Chase & Co.   8.750%   9/1/30     575       839  
      JPMorgan Chase & Co.   6.400%   5/15/38     8,149       11,750  
2     JPMorgan Chase & Co.   3.882%   7/24/38     7,270       8,039  
      JPMorgan Chase & Co.   5.500%   10/15/40     5,650       7,553  
      JPMorgan Chase & Co.   5.600%   7/15/41     4,800       6,571  
      JPMorgan Chase & Co.   5.400%   1/6/42     4,918       6,652  
      JPMorgan Chase & Co.   5.625%   8/16/43     4,700       6,303  
      JPMorgan Chase & Co.   4.850%   2/1/44     3,300       4,220  
      JPMorgan Chase & Co.   4.950%   6/1/45     5,714       7,197  
2     JPMorgan Chase & Co.   4.260%   2/22/48     5,020       5,883  
2     JPMorgan Chase & Co.   4.032%   7/24/48     5,455       6,178  
2     JPMorgan Chase & Co.   3.964%   11/15/48     9,137       10,245  
2     JPMorgan Chase & Co.   3.897%   1/23/49     5,450       6,096  
      Lloyds Banking Group plc   5.300%   12/1/45     1,755       2,132  
      Lloyds Banking Group plc   4.344%   1/9/48     5,890       6,363  
      Mitsubishi UFJ Financial Group Inc.   4.286%   7/26/38     2,500       2,876  
      Mitsubishi UFJ Financial Group Inc.   4.153%   3/7/39     2,295       2,590  
      Mitsubishi UFJ Financial Group Inc.   3.751%   7/18/39     4,150       4,546  
      Morgan Stanley   7.250%   4/1/32     2,711       3,891  
2     Morgan Stanley   3.971%   7/22/38     7,200       7,985  
2     Morgan Stanley   4.457%   4/22/39     2,122       2,497  
      Morgan Stanley   6.375%   7/24/42     5,910       8,701  
      Morgan Stanley   4.300%   1/27/45     9,075       10,657  
      Morgan Stanley   4.375%   1/22/47     4,520       5,400  
      Regions Bank   6.450%   6/26/37     1,650       2,119  
      Regions Financial Corp.   7.375%   12/10/37     1,000       1,413  
2     Royal Bank of Scotland Group plc   3.754%   11/1/29     800       816  
      Wachovia Corp.   7.500%   4/15/35     1,490       2,086  
      Wachovia Corp.   5.500%   8/1/35     2,369       2,999  
      Wells Fargo & Co.   5.375%   2/7/35     1,255       1,618  
      Wells Fargo & Co.   5.375%   11/2/43     5,560       7,004  
      Wells Fargo & Co.   5.606%   1/15/44     7,295       9,647  
      Wells Fargo & Co.   4.650%   11/4/44     6,428       7,529  
      Wells Fargo & Co.   3.900%   5/1/45     4,995       5,671  
      Wells Fargo & Co.   4.900%   11/17/45     5,791       7,068  
      Wells Fargo & Co.   4.400%   6/14/46     6,671       7,653  
      Wells Fargo & Co.   4.750%   12/7/46     6,300       7,504  
      Wells Fargo Bank NA   5.950%   8/26/36     1,055       1,398  
      Wells Fargo Bank NA   5.850%   2/1/37     2,236       2,966  
      Wells Fargo Bank NA   6.600%   1/15/38     3,439       4,946  
2     Wells Fargo Capital X   5.950%   12/1/86     3,225       3,959  
      Westpac Banking Corp.   4.421%   7/24/39     1,650       1,809  
      Brokerage (0.2%)                        
      Brookfield Finance Inc.   4.700%   9/20/47     2,725       3,120  
      CME Group Inc.   5.300%   9/15/43     2,515       3,365  
      CME Group Inc.   4.150%   6/15/48     1,900       2,269  
      Intercontinental Exchange Inc.   4.250%   9/21/48     3,325       3,927  
      Invesco Finance plc   5.375%   11/30/43     1,320       1,591  
      Jefferies Group LLC   6.250%   1/15/36     1,475       1,752  
      Jefferies Group LLC   6.500%   1/20/43     1,405       1,671  
      Jefferies Group LLC / Jefferies Group Capital Finance Inc.   4.150%   1/23/30     3,360       3,540  
      Legg Mason Inc.   5.625%   1/15/44     1,800       2,043  

 

 

75

 

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Raymond James Financial Inc.   4.950%   7/15/46     2,325       2,756  
      Finance Companies (0.3%)                        
      GATX Corp.   5.200%   3/15/44     865       1,007  
      GE Capital International Funding Co. Unlimited Co.   4.418%   11/15/35     34,106       36,230  
      Insurance (3.0%)                        
      ACE Capital Trust II   9.700%   4/1/30     1,175       1,762  
      Aetna Inc.   6.625%   6/15/36     2,364       3,160  
      Aetna Inc.   6.750%   12/15/37     1,760       2,363  
      Aetna Inc.   4.500%   5/15/42     1,725       1,841  
      Aetna Inc.   4.125%   11/15/42     1,800       1,842  
      Aetna Inc.   4.750%   3/15/44     1,115       1,205  
      Aetna Inc.   3.875%   8/15/47     1,675       1,693  
      Aflac Inc.   4.000%   10/15/46     1,325       1,440  
      Aflac Inc.   4.750%   1/15/49     1,595       1,899  
      Alleghany Corp.   4.900%   9/15/44     975       1,137  
      Allstate Corp.   5.550%   5/9/35     1,540       1,943  
      Allstate Corp.   5.950%   4/1/36     1,400       1,892  
      Allstate Corp.   4.500%   6/15/43     1,750       2,090  
      Allstate Corp.   4.200%   12/15/46     2,546       2,931  
      Allstate Corp.   3.850%   8/10/49     1,250       1,389  
2     Allstate Corp.   6.500%   5/15/67     1,730       2,137  
      American Financial Group Inc.   4.500%   6/15/47     1,970       2,126  
      American International Group Inc.   3.875%   1/15/35     3,011       3,196  
      American International Group Inc.   4.700%   7/10/35     2,100       2,424  
      American International Group Inc.   6.250%   5/1/36     3,341       4,461  
      American International Group Inc.   4.500%   7/16/44     5,564       6,377  
      American International Group Inc.   4.800%   7/10/45     1,488       1,781  
      American International Group Inc.   4.750%   4/1/48     1,135       1,358  
      American International Group Inc.   4.375%   1/15/55     4,000       4,370  
2     American International Group Inc.   8.175%   5/15/68     1,475       2,004  
      Anthem Inc.   5.850%   1/15/36     1,300       1,585  
      Anthem Inc.   6.375%   6/15/37     1,350       1,748  
      Anthem Inc.   4.625%   5/15/42     2,852       3,199  
      Anthem Inc.   4.650%   1/15/43     2,596       2,923  
      Anthem Inc.   5.100%   1/15/44     2,920       3,452  
      Anthem Inc.   4.650%   8/15/44     2,800       3,110  
      Anthem Inc.   4.375%   12/1/47     5,410       5,931  
      Anthem Inc.   4.550%   3/1/48     1,864       2,089  
      Anthem Inc.   3.700%   9/15/49     2,050       2,027  
      Anthem Inc.   4.850%   8/15/54     500       541  
      Aon Corp.   6.250%   9/30/40     1,230       1,680  
      Aon plc   4.600%   6/14/44     1,650       1,873  
      Aon plc   4.750%   5/15/45     1,729       2,021  
      Arch Capital Finance LLC   5.031%   12/15/46     1,450       1,810  
      Arch Capital Group Ltd.   7.350%   5/1/34     975       1,377  
      Arch Capital Group US Inc.   5.144%   11/1/43     1,205       1,464  
      Assurant Inc.   6.750%   2/15/34     214       255  
      AXA Equitable Holdings Inc.   5.000%   4/20/48     5,225       5,583  
      AXA SA   8.600%   12/15/30     4,320       6,313  
      Berkshire Hathaway Finance Corp.   5.750%   1/15/40     2,483       3,408  
      Berkshire Hathaway Finance Corp.   4.400%   5/15/42     3,955       4,671  
      Berkshire Hathaway Finance Corp.   4.300%   5/15/43     1,705       1,951  
      Berkshire Hathaway Finance Corp.   4.200%   8/15/48     8,500       9,950  
      Berkshire Hathaway Finance Corp.   4.250%   1/15/49     6,235       7,365  
      Berkshire Hathaway Inc.   4.500%   2/11/43     2,110       2,565  
      Brighthouse Financial Inc.   4.700%   6/22/47     3,225       2,985  
      Chubb Corp.   6.000%   5/11/37     2,623       3,598  
      Chubb Corp.   6.500%   5/15/38     1,745       2,552  
      Chubb INA Holdings Inc.   6.700%   5/15/36     1,910       2,739  
      Chubb INA Holdings Inc.   4.150%   3/13/43     1,452       1,685  
      Chubb INA Holdings Inc.   4.350%   11/3/45     3,486       4,186  
      Cincinnati Financial Corp.   6.125%   11/1/34     1,350       1,790  
      Everest Reinsurance Holdings Inc.   4.868%   6/1/44     1,050       1,163  

 

 

76

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
)
      Hartford Financial Services Group Inc.   5.950%   10/15/36     2,070       2,694  
      Hartford Financial Services Group Inc.   6.100%   10/1/41     1,462       1,997  
      Hartford Financial Services Group Inc.   4.300%   4/15/43     1,275       1,418  
      Hartford Financial Services Group Inc.   3.600%   8/19/49     2,175       2,233  
      Humana Inc.   4.625%   12/1/42     1,856       2,021  
      Humana Inc.   4.950%   10/1/44     3,082       3,642  
      Humana Inc.   4.800%   3/15/47     1,200       1,392  
      Humana Inc.   3.950%   8/15/49     150       157  
      Lincoln National Corp.   3.050%   1/15/30     1,575       1,565  
      Lincoln National Corp.   6.300%   10/9/37     730       949  
      Lincoln National Corp.   7.000%   6/15/40     2,105       2,987  
      Lincoln National Corp.   4.350%   3/1/48     1,475       1,622  
      Loews Corp.   6.000%   2/1/35     1,125       1,449  
      Loews Corp.   4.125%   5/15/43     1,590       1,746  
      Manulife Financial Corp.   5.375%   3/4/46     2,446       3,212  
      Markel Corp.   5.000%   4/5/46     1,590       1,802  
      Markel Corp.   4.300%   11/1/47     515       537  
      Markel Corp.   5.000%   5/20/49     315       364  
      Markel Corp.   4.150%   9/17/50     1,250       1,286  
      Marsh & McLennan Cos. Inc.   5.875%   8/1/33     645       826  
      Marsh & McLennan Cos. Inc.   4.750%   3/15/39     2,670       3,237  
      Marsh & McLennan Cos. Inc.   4.350%   1/30/47     1,850       2,093  
      Marsh & McLennan Cos. Inc.   4.200%   3/1/48     660       744  
      Marsh & McLennan Cos. Inc.   4.900%   3/15/49     3,500       4,427  
      MetLife Inc.   6.500%   12/15/32     2,175       3,008  
      MetLife Inc.   6.375%   6/15/34     2,847       4,061  
      MetLife Inc.   5.700%   6/15/35     3,200       4,293  
      MetLife Inc.   5.875%   2/6/41     2,298       3,111  
      MetLife Inc.   4.125%   8/13/42     4,157       4,708  
      MetLife Inc.   4.875%   11/13/43     3,686       4,561  
      MetLife Inc.   4.721%   12/15/44     1,650       2,000  
      MetLife Inc.   4.050%   3/1/45     2,766       3,176  
      MetLife Inc.   4.600%   5/13/46     1,160       1,418  
2     MetLife Inc.   6.400%   12/15/66     3,345       4,077  
2     MetLife Inc.   10.750%   8/1/69     840       1,365  
2     Nationwide Financial Services Inc.   6.750%   5/15/87     875       1,015  
      Principal Financial Group Inc.   4.625%   9/15/42     1,175       1,339  
      Principal Financial Group Inc.   4.350%   5/15/43     2,245       2,534  
      Principal Financial Group Inc.   4.300%   11/15/46     1,230       1,388  
      Progressive Corp.   4.350%   4/25/44     2,455       2,875  
      Progressive Corp.   4.125%   4/15/47     3,300       3,848  
      Progressive Corp.   4.200%   3/15/48     1,335       1,531  
      Prudential Financial Inc.   5.750%   7/15/33     350       446  
      Prudential Financial Inc.   5.700%   12/14/36     3,215       4,367  
      Prudential Financial Inc.   6.625%   12/1/37     818       1,130  
      Prudential Financial Inc.   6.625%   6/21/40     1,314       1,848  
      Prudential Financial Inc.   6.200%   11/15/40     960       1,282  
      Prudential Financial Inc.   5.100%   8/15/43     1,195       1,412  
      Prudential Financial Inc.   4.600%   5/15/44     1,453       1,713  
      Prudential Financial Inc.   3.905%   12/7/47     2,311       2,467  
      Prudential Financial Inc.   3.935%   12/7/49     3,218       3,507  
      Prudential Financial Inc.   4.350%   2/25/50     2,825       3,251  
      Prudential Financial Inc.   3.700%   3/13/51     4,600       4,818  
      Selective Insurance Group Inc.   5.375%   3/1/49     800       942  
      Transatlantic Holdings Inc.   8.000%   11/30/39     1,045       1,533  
      Travelers Cos. Inc.   6.750%   6/20/36     1,050       1,514  
      Travelers Cos. Inc.   6.250%   6/15/37     2,240       3,096  
      Travelers Cos. Inc.   5.350%   11/1/40     2,848       3,699  
      Travelers Cos. Inc.   4.600%   8/1/43     1,850       2,239  
      Travelers Cos. Inc.   4.300%   8/25/45     925       1,082  
      Travelers Cos. Inc.   3.750%   5/15/46     1,480       1,593  
      Travelers Cos. Inc.   4.000%   5/30/47     2,000       2,243  
      Travelers Cos. Inc.   4.050%   3/7/48     1,250       1,390  
      Travelers Cos. Inc.   4.100%   3/4/49     1,500       1,737  

 

 

77

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
)
      Travelers Property Casualty Corp.   6.375%   3/15/33     1,670       2,307  
      UnitedHealth Group Inc.   4.625%   7/15/35     3,636       4,397  
      UnitedHealth Group Inc.   5.800%   3/15/36     1,820       2,412  
      UnitedHealth Group Inc.   6.500%   6/15/37     1,315       1,866  
      UnitedHealth Group Inc.   6.625%   11/15/37     2,125       3,027  
      UnitedHealth Group Inc.   6.875%   2/15/38     2,716       4,027  
      UnitedHealth Group Inc.   3.500%   8/15/39     4,005       4,186  
      UnitedHealth Group Inc.   5.950%   2/15/41     1,075       1,460  
      UnitedHealth Group Inc.   4.625%   11/15/41     1,850       2,194  
      UnitedHealth Group Inc.   4.375%   3/15/42     1,885       2,167  
      UnitedHealth Group Inc.   3.950%   10/15/42     2,530       2,755  
      UnitedHealth Group Inc.   4.250%   3/15/43     2,658       3,021  
      UnitedHealth Group Inc.   4.750%   7/15/45     5,930       7,241  
      UnitedHealth Group Inc.   4.200%   1/15/47     2,329       2,669  
      UnitedHealth Group Inc.   4.250%   4/15/47     2,177       2,506  
      UnitedHealth Group Inc.   3.750%   10/15/47     2,840       3,027  
      UnitedHealth Group Inc.   4.250%   6/15/48     4,024       4,668  
      UnitedHealth Group Inc.   4.450%   12/15/48     3,350       3,983  
      UnitedHealth Group Inc.   3.700%   8/15/49     2,835       3,018  
      UnitedHealth Group Inc.   3.875%   8/15/59     4,670       5,012  
      Unum Group   5.750%   8/15/42     1,925       2,122  
      Unum Group   4.500%   12/15/49     750       731  
      Voya Financial Inc.   5.700%   7/15/43     1,400       1,773  
      Voya Financial Inc.   4.800%   6/15/46     1,300       1,483  
      Willis North America Inc.   5.050%   9/15/48     1,185       1,385  
      Willis North America Inc.   3.875%   9/15/49     1,950       1,944  
      WR Berkley Corp.   4.750%   8/1/44     1,205       1,346  
      XLIT Ltd.   5.250%   12/15/43     950       1,213  
      XLIT Ltd.   5.500%   3/31/45     1,500       1,891  
      Real Estate Investment Trusts (0.6%)                        
      Alexandria Real Estate Equities Inc.   4.700%   7/1/30     1,275       1,463  
      Alexandria Real Estate Equities Inc.   3.375%   8/15/31     2,015       2,097  
      Alexandria Real Estate Equities Inc.   4.850%   4/15/49     800       970  
      Alexandria Real Estate Equities Inc.   4.000%   2/1/50     1,750       1,917  
      AvalonBay Communities Inc.   3.900%   10/15/46     1,240       1,358  
      AvalonBay Communities Inc.   4.150%   7/1/47     775       875  
      AvalonBay Communities Inc.   4.350%   4/15/48     360       423  
      Boston Properties LP   2.900%   3/15/30     1,320       1,314  
      Camden Property Trust   3.350%   11/1/49     700       700  
      CubeSmart LP   3.000%   2/15/30     1,075       1,062  
      ERP Operating LP   2.500%   2/15/30     1,050       1,039  
      ERP Operating LP   4.500%   7/1/44     1,825       2,151  
      ERP Operating LP   4.500%   6/1/45     1,175       1,390  
      ERP Operating LP   4.000%   8/1/47     1,375       1,517  
      Essex Portfolio LP   3.000%   1/15/30     1,475       1,491  
      Essex Portfolio LP   4.500%   3/15/48     1,130       1,288  
      Federal Realty Investment Trust   4.500%   12/1/44     1,935       2,213  
      Healthcare Trust of America Holdings LP   3.100%   2/15/30     1,750       1,736  
      Healthpeak Properties Inc.   3.000%   1/15/30     2,115       2,112  
      Healthpeak Properties Inc.   6.750%   2/1/41     1,200       1,664  
      Highwoods Realty LP   3.050%   2/15/30     200       196  
      Hudson Pacific Properties LP   3.250%   1/15/30     1,135       1,120  
      Kilroy Realty LP   3.050%   2/15/30     2,050       2,023  
      Kimco Realty Corp.   4.250%   4/1/45     1,725       1,819  
      Kimco Realty Corp.   4.125%   12/1/46     1,300       1,351  
      Kimco Realty Corp.   4.450%   9/1/47     1,425       1,555  
      Kimco Realty Corp.   3.700%   10/1/49     75       73  
      Mid-America Apartments LP   2.750%   3/15/30     1,105       1,097  
      National Retail Properties Inc.   4.800%   10/15/48     1,000       1,203  
      Omega Healthcare Investors Inc.   3.625%   10/1/29     1       1  
      Prologis LP   4.375%   9/15/48     1,000       1,194  
      Realty Income Corp.   4.650%   3/15/47     2,231       2,685  
      Regency Centers LP   4.400%   2/1/47     1,450       1,631  

 

 

78

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
)
      Regency Centers LP   4.650%   3/15/49     975       1,152  
      Service Properties Trust   4.375%   2/15/30     1,425       1,398  
      Simon Property Group LP   6.750%   2/1/40     1,385       2,025  
      Simon Property Group LP   4.750%   3/15/42     1,700       2,032  
      Simon Property Group LP   4.250%   10/1/44     1,545       1,742  
      Simon Property Group LP   4.250%   11/30/46     1,850       2,105  
      Simon Property Group LP   3.250%   9/13/49     4,030       3,892  
      Spirit Realty LP   3.400%   1/15/30     1,500       1,504  
      UDR Inc.   3.000%   8/15/31     1,300       1,301  
      UDR Inc.   3.100%   11/1/34     845       843  
      Ventas Realty LP   3.000%   1/15/30     1,000       991  
      Ventas Realty LP   5.700%   9/30/43     1,070       1,339  
      Ventas Realty LP   4.375%   2/1/45     1,175       1,262  
      Ventas Realty LP   4.875%   4/15/49     1,000       1,173  
      Welltower Inc.   3.100%   1/15/30     1,575       1,592  
      Welltower Inc.   6.500%   3/15/41     2,052       2,742  
      Welltower Inc.   4.950%   9/1/48     1,275       1,527  
                            1,049,330  
Industrial (34.8%)                        
      Basic Industry (2.0%)                        
      Albemarle Corp.   5.450%   12/1/44     1,125       1,282  
      ArcelorMittal   7.000%   10/15/39     2,300       2,798  
      ArcelorMittal   6.750%   3/1/41     1,350       1,609  
      Barrick Gold Corp.   6.450%   10/15/35     845       1,082  
      Barrick Gold Corp.   5.250%   4/1/42     1,604       1,908  
      Barrick North America Finance LLC   5.700%   5/30/41     2,740       3,291  
      Barrick North America Finance LLC   5.750%   5/1/43     3,216       4,107  
      Barrick PD Australia Finance Pty Ltd.   5.950%   10/15/39     2,157       2,722  
      BHP Billiton Finance USA Ltd.   4.125%   2/24/42     2,350       2,658  
      BHP Billiton Finance USA Ltd.   5.000%   9/30/43     7,271       9,273  
      Celulosa Arauco y Constitucion SA   5.500%   11/2/47     1,500       1,553  
      Dow Chemical Co.   4.250%   10/1/34     2,115       2,324  
      Dow Chemical Co.   9.400%   5/15/39     2,516       4,124  
      Dow Chemical Co.   5.250%   11/15/41     2,439       2,826  
      Dow Chemical Co.   4.375%   11/15/42     3,049       3,252  
      Dow Chemical Co.   4.625%   10/1/44     1,000       1,100  
      Dow Chemical Co.   5.550%   11/30/48     2,600       3,237  
      Dow Chemical Co.   4.800%   5/15/49     2,500       2,884  
      DuPont de Nemours Inc.   5.319%   11/15/38     6,300       7,485  
      DuPont de Nemours Inc.   5.419%   11/15/48     6,744       8,304  
      Eastman Chemical Co.   4.800%   9/1/42     2,165       2,355  
      Eastman Chemical Co.   4.650%   10/15/44     2,920       3,165  
      Ecolab Inc.   3.950%   12/1/47     3,889       4,363  
      FMC Corp.   4.500%   10/1/49     1,100       1,207  
      Georgia-Pacific LLC   7.750%   11/15/29     1       1  
      Georgia-Pacific LLC   8.875%   5/15/31     1,394       2,164  
      International Flavors & Fragrances Inc.   4.375%   6/1/47     1,555       1,593  
      International Flavors & Fragrances Inc.   5.000%   9/26/48     2,850       3,191  
      International Paper Co.   5.000%   9/15/35     2,159       2,532  
      International Paper Co.   7.300%   11/15/39     2,635       3,648  
      International Paper Co.   6.000%   11/15/41     1,545       1,919  
      International Paper Co.   4.800%   6/15/44     1,517       1,663  
      International Paper Co.   5.150%   5/15/46     2,150       2,472  
      International Paper Co.   4.400%   8/15/47     3,235       3,430  
      International Paper Co.   4.350%   8/15/48     3,440       3,654  
      Lubrizol Corp.   6.500%   10/1/34     675       941  
      LYB International Finance BV   5.250%   7/15/43     1,905       2,237  
      LYB International Finance BV   4.875%   3/15/44     3,542       3,985  
      LYB International Finance III LLC   4.200%   10/15/49     370       384  
      LyondellBasell Industries NV   4.625%   2/26/55     3,175       3,350  
      Meadwestvaco Corp.   7.950%   2/15/31     916       1,236  
      Methanex Corp.   5.650%   12/1/44     1,740       1,668  
      Mosaic Co.   5.450%   11/15/33     1,330       1,509  

 

 

79

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
)
      Mosaic Co.   4.875%   11/15/41     1,150       1,195  
      Mosaic Co.   5.625%   11/15/43     2,050       2,425  
      Newmont Goldcorp Corp.   5.875%   4/1/35     1,160       1,479  
      Newmont Goldcorp Corp.   6.250%   10/1/39     3,115       4,117  
      Newmont Goldcorp Corp.   4.875%   3/15/42     3,362       3,919  
      Newmont Goldcorp Corp.   5.450%   6/9/44     1,536       1,901  
      Nucor Corp.   6.400%   12/1/37     2,100       2,838  
      Nucor Corp.   5.200%   8/1/43     1,475       1,832  
      Nucor Corp.   4.400%   5/1/48     1,600       1,813  
      Nutrien Ltd.   4.125%   3/15/35     1,400       1,461  
      Nutrien Ltd.   5.875%   12/1/36     1,090       1,307  
      Nutrien Ltd.   5.625%   12/1/40     1,505       1,760  
      Nutrien Ltd.   6.125%   1/15/41     1,185       1,476  
      Nutrien Ltd.   4.900%   6/1/43     1,675       1,873  
      Nutrien Ltd.   5.250%   1/15/45     1,390       1,637  
      Nutrien Ltd.   5.000%   4/1/49     2,150       2,538  
      Packaging Corp. of America   4.050%   12/15/49     1,205       1,250  
      Praxair Inc.   3.550%   11/7/42     1,868       1,948  
      Rio Tinto Alcan Inc.   7.250%   3/15/31     1,292       1,799  
      Rio Tinto Alcan Inc.   6.125%   12/15/33     150       203  
      Rio Tinto Alcan Inc.   5.750%   6/1/35     2,650       3,323  
      Rio Tinto Finance USA Ltd.   5.200%   11/2/40     3,101       4,046  
      Rio Tinto Finance USA plc   4.750%   3/22/42     1,550       1,891  
      Rio Tinto Finance USA plc   4.125%   8/21/42     2,436       2,789  
      RPM International Inc.   5.250%   6/1/45     1,000       1,105  
      RPM International Inc.   4.250%   1/15/48     960       931  
      Sherwin-Williams Co.   4.000%   12/15/42     500       513  
      Sherwin-Williams Co.   4.550%   8/1/45     1,535       1,690  
      Sherwin-Williams Co.   4.500%   6/1/47     4,166       4,730  
      Sherwin-Williams Co.   3.800%   8/15/49     1,000       1,017  
      Southern Copper Corp.   7.500%   7/27/35     2,175       2,994  
      Southern Copper Corp.   6.750%   4/16/40     3,443       4,580  
      Southern Copper Corp.   5.250%   11/8/42     3,118       3,569  
      Southern Copper Corp.   5.875%   4/23/45     5,505       6,842  
      Steel Dynamics Inc.   3.450%   4/15/30     1,000       1,011  
      Suzano Austria GmbH   5.000%   1/15/30     3,150       3,305  
      Teck Resources Ltd.   6.125%   10/1/35     2,775       3,232  
      Teck Resources Ltd.   6.000%   8/15/40     1,950       2,172  
      Teck Resources Ltd.   6.250%   7/15/41     2,920       3,335  
      Teck Resources Ltd.   5.400%   2/1/43     250       263  
      Vale Overseas Ltd.   8.250%   1/17/34     1,908       2,674  
      Vale Overseas Ltd.   6.875%   11/21/36     6,296       8,169  
      Vale Overseas Ltd.   6.875%   11/10/39     3,100       4,022  
      Vale SA   5.625%   9/11/42     1,485       1,738  
      Westlake Chemical Corp.   5.000%   8/15/46     2,408       2,554  
      Westlake Chemical Corp.   4.375%   11/15/47     1,810       1,820  
      Westrock MWV LLC   8.200%   1/15/30     590       806  
      Weyerhaeuser Co.   7.375%   3/15/32     3,273       4,536  
      Weyerhaeuser Co.   6.875%   12/15/33     300       395  
      WRKCO Inc.   4.200%   6/1/32     3,250       3,553  
      Capital Goods (2.5%)                        
      3M Co.   5.700%   3/15/37     1,000       1,333  
      3M Co.   3.875%   6/15/44     520       551  
      3M Co.   3.125%   9/19/46     2,250       2,155  
      3M Co.   3.625%   10/15/47     3,040       3,129  
      3M Co.   4.000%   9/14/48     2,675       2,935  
      3M Co.   3.250%   8/26/49     2,250       2,189  
      ABB Finance USA Inc.   4.375%   5/8/42     2,451       2,941  
      Boeing Co.   2.950%   2/1/30     2,500       2,554  
      Boeing Co.   6.125%   2/15/33     1,170       1,527  
      Boeing Co.   3.600%   5/1/34     3,075       3,279  
      Boeing Co.   3.250%   2/1/35     2,350       2,394  
      Boeing Co.   6.625%   2/15/38     925       1,286  

 

 

80

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
)
      Boeing Co.   3.550%   3/1/38     550       571  
      Boeing Co.   3.500%   3/1/39     1,275       1,309  
      Boeing Co.   6.875%   3/15/39     1,638       2,393  
      Boeing Co.   5.875%   2/15/40     1,865       2,468  
      Boeing Co.   3.375%   6/15/46     1,320       1,278  
      Boeing Co.   3.650%   3/1/47     1,400       1,419  
      Boeing Co.   3.625%   3/1/48     1,300       1,328  
      Boeing Co.   3.850%   11/1/48     1,220       1,280  
      Boeing Co.   3.900%   5/1/49     950       1,017  
      Boeing Co.   3.750%   2/1/50     2,150       2,265  
      Boeing Co.   3.825%   3/1/59     3,925       4,076  
      Boeing Co.   3.950%   8/1/59     550       587  
      Caterpillar Inc.   5.300%   9/15/35     1,100       1,362  
      Caterpillar Inc.   6.050%   8/15/36     1,915       2,606  
      Caterpillar Inc.   5.200%   5/27/41     2,362       3,048  
      Caterpillar Inc.   3.803%   8/15/42     4,683       5,236  
      Caterpillar Inc.   3.250%   9/19/49     3,500       3,492  
      Caterpillar Inc.   4.750%   5/15/64     1,900       2,376  
      Crane Co.   4.200%   3/15/48     1,150       1,151  
      Deere & Co.   3.900%   6/9/42     2,906       3,267  
      Deere & Co.   2.875%   9/7/49     2,900       2,719  
      Dover Corp.   5.375%   10/15/35     875       1,044  
      Dover Corp.   5.375%   3/1/41     900       1,094  
      Eaton Corp.   4.000%   11/2/32     2,140       2,423  
      Eaton Corp.   4.150%   11/2/42     2,881       3,197  
      Eaton Corp.   3.915%   9/15/47     1,175       1,251  
      Fortive Corp.   4.300%   6/15/46     1,231       1,267  
      General Dynamics Corp.   3.600%   11/15/42     1,955       2,212  
      General Electric Co.   6.750%   3/15/32     7,852       10,059  
      General Electric Co.   6.150%   8/7/37     3,714       4,585  
      General Electric Co.   5.875%   1/14/38     7,388       8,905  
      General Electric Co.   6.875%   1/10/39     6,095       8,123  
      General Electric Co.   4.125%   10/9/42     3,110       3,219  
      General Electric Co.   4.500%   3/11/44     3,051       3,326  
      Honeywell International Inc.   5.700%   3/15/36     1,335       1,778  
      Honeywell International Inc.   5.700%   3/15/37     1,165       1,579  
      Honeywell International Inc.   5.375%   3/1/41     1,345       1,811  
      Honeywell International Inc.   3.812%   11/21/47     1,300       1,469  
      Illinois Tool Works Inc.   4.875%   9/15/41     2,533       3,185  
      Illinois Tool Works Inc.   3.900%   9/1/42     3,378       3,893  
      Ingersoll-Rand Global Holding Co. Ltd.   5.750%   6/15/43     1,565       1,970  
      Ingersoll-Rand Global Holding Co. Ltd.   4.300%   2/21/48     700       758  
      Ingersoll-Rand Luxembourg Finance SA   4.650%   11/1/44     825       930  
      Ingersoll-Rand Luxembourg Finance SA   4.500%   3/21/49     700       782  
      Johnson Controls International plc   6.000%   1/15/36     859       1,054  
      Johnson Controls International plc   4.625%   7/2/44     2,800       3,053  
      Johnson Controls International plc   5.125%   9/14/45     303       352  
      Johnson Controls International plc   4.500%   2/15/47     1,425       1,533  
      Johnson Controls International plc   4.950%   7/2/64     1,415       1,465  
      L3Harris Technologies Inc.   4.854%   4/27/35     1,300       1,530  
      L3Harris Technologies Inc.   6.150%   12/15/40     1,045       1,418  
      L3Harris Technologies Inc.   5.054%   4/27/45     1,820       2,259  
      Lockheed Martin Corp.   3.600%   3/1/35     1,175       1,287  
      Lockheed Martin Corp.   4.500%   5/15/36     1,625       1,924  
      Lockheed Martin Corp.   6.150%   9/1/36     2,609       3,541  
      Lockheed Martin Corp.   5.720%   6/1/40     1,914       2,583  
      Lockheed Martin Corp.   4.070%   12/15/42     3,730       4,268  
      Lockheed Martin Corp.   3.800%   3/1/45     3,457       3,813  
      Lockheed Martin Corp.   4.700%   5/15/46     3,855       4,867  
      Lockheed Martin Corp.   4.090%   9/15/52     5,881       6,874  
      Martin Marietta Materials Inc.   4.250%   12/15/47     2,150       2,251  
      Masco Corp.   6.500%   8/15/32     160       196  
      Masco Corp.   4.500%   5/15/47     1,049       1,068  
      Northrop Grumman Corp.   5.050%   11/15/40     1,300       1,584  

 

 

81

 

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Northrop Grumman Corp.   4.750%   6/1/43     2,182       2,606  
      Northrop Grumman Corp.   3.850%   4/15/45     2,466       2,639  
      Northrop Grumman Corp.   4.030%   10/15/47     5,325       5,919  
      Northrop Grumman Systems Corp.   7.750%   2/15/31     965       1,384  
      Owens Corning   7.000%   12/1/36     505       617  
      Owens Corning   4.300%   7/15/47     2,375       2,253  
      Owens Corning   4.400%   1/30/48     1,100       1,063  
      Parker-Hannifin Corp.   4.200%   11/21/34     1,875       2,073  
      Parker-Hannifin Corp.   6.250%   5/15/38     1,095       1,452  
      Parker-Hannifin Corp.   4.450%   11/21/44     1,555       1,728  
      Parker-Hannifin Corp.   4.100%   3/1/47     2,472       2,676  
      Parker-Hannifin Corp.   4.000%   6/14/49     1,800       1,947  
      Precision Castparts Corp.   3.900%   1/15/43     600       649  
      Precision Castparts Corp.   4.375%   6/15/45     1,774       2,051  
      Raytheon Co.   4.875%   10/15/40     1,875       2,346  
      Raytheon Co.   4.700%   12/15/41     1,850       2,300  
      Republic Services Inc.   6.200%   3/1/40     1,060       1,443  
      Republic Services Inc.   5.700%   5/15/41     1,280       1,664  
      Rockwell Automation Inc.   4.200%   3/1/49     1,850       2,151  
      Rockwell Collins Inc.   4.800%   12/15/43     1,075       1,314  
      Rockwell Collins Inc.   4.350%   4/15/47     3,230       3,776  
      Snap-on Inc.   4.100%   3/1/48     1,320       1,475  
      Sonoco Products Co.   5.750%   11/1/40     1,950       2,389  
      Stanley Black & Decker Inc.   5.200%   9/1/40     1,300       1,611  
      Stanley Black & Decker Inc.   4.850%   11/15/48     1,800       2,223  
      United Technologies Corp.   6.050%   6/1/36     2,150       2,895  
      United Technologies Corp.   6.125%   7/15/38     2,675       3,700  
      United Technologies Corp.   4.450%   11/16/38     3,170       3,722  
      United Technologies Corp.   5.700%   4/15/40     5,829       7,797  
      United Technologies Corp.   4.500%   6/1/42     10,470       12,538  
      United Technologies Corp.   4.150%   5/15/45     4,674       5,354  
      United Technologies Corp.   3.750%   11/1/46     1,700       1,852  
      United Technologies Corp.   4.050%   5/4/47     2,075       2,355  
      United Technologies Corp.   4.625%   11/16/48     4,800       5,974  
      Valmont Industries Inc.   5.000%   10/1/44     1,475       1,507  
      Valmont Industries Inc.   5.250%   10/1/54     1,050       1,065  
      Vulcan Materials Co.   4.500%   6/15/47     3,710       4,063  
      Waste Management Inc.   3.900%   3/1/35     1,840       2,035  
      Waste Management Inc.   4.000%   7/15/39     1,975       2,206  
      Waste Management Inc.   4.100%   3/1/45     1,845       2,070  
      Waste Management Inc.   4.150%   7/15/49     2,500       2,847  
      WW Grainger Inc.   4.600%   6/15/45     2,445       2,894  
      WW Grainger Inc.   3.750%   5/15/46     1,035       1,070  
      WW Grainger Inc.   4.200%   5/15/47     1,220       1,358  
      Xylem Inc.   4.375%   11/1/46     1,225       1,337  
      Communication (6.9%)                        
      Activision Blizzard Inc.   4.500%   6/15/47     1,550       1,761  
      America Movil SAB de CV   6.375%   3/1/35     3,385       4,542  
      America Movil SAB de CV   6.125%   11/15/37     1,375       1,793  
      America Movil SAB de CV   6.125%   3/30/40     6,190       8,294  
      America Movil SAB de CV   4.375%   7/16/42     4,432       4,934  
      America Movil SAB de CV   4.375%   4/22/49     3,550       4,068  
      American Tower Corp.   3.700%   10/15/49     2,000       1,982  
      AT&T Inc.   4.300%   2/15/30     8,981       9,981  
      AT&T Inc.   4.500%   5/15/35     9,059       10,073  
      AT&T Inc.   5.250%   3/1/37     10,150       12,121  
      AT&T Inc.   4.900%   8/15/37     4,500       5,162  
      AT&T Inc.   4.850%   3/1/39     5,400       6,203  
      AT&T Inc.   6.350%   3/15/40     1,960       2,552  
      AT&T Inc.   6.100%   7/15/40     215       273  
      AT&T Inc.   6.000%   8/15/40     4,873       6,183  
      AT&T Inc.   5.350%   9/1/40     5,400       6,458  
      AT&T Inc.   6.375%   3/1/41     3,425       4,515  

 

82

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      AT&T Inc.   5.550%   8/15/41     3,898       4,774  
      AT&T Inc.   5.375%   10/15/41     2,635       3,099  
      AT&T Inc.   5.150%   3/15/42     4,565       5,318  
      AT&T Inc.   4.900%   6/15/42     3,640       4,094  
      AT&T Inc.   4.300%   12/15/42     5,751       6,147  
      AT&T Inc.   5.350%   12/15/43     1,820       2,181  
      AT&T Inc.   4.650%   6/1/44     3,100       3,417  
      AT&T Inc.   4.800%   6/15/44     7,075       8,038  
      AT&T Inc.   4.350%   6/15/45     7,667       8,201  
      AT&T Inc.   4.750%   5/15/46     9,361       10,510  
      AT&T Inc.   5.150%   11/15/46     8,230       9,797  
      AT&T Inc.   5.450%   3/1/47     8,095       9,989  
      AT&T Inc.   4.500%   3/9/48     14,812       16,271  
      AT&T Inc.   4.550%   3/9/49     7,654       8,486  
      AT&T Inc.   5.150%   2/15/50     5,850       7,046  
      AT&T Inc.   5.700%   3/1/57     3,750       4,892  
      AT&T Inc.   5.300%   8/15/58     2,175       2,679  
      Bell Canada Inc.   4.300%   7/29/49     4,490       5,022  
      British Telecommunications plc   9.625%   12/15/30     7,640       11,758  
      Charter Communications Operating LLC / Charter Communications Operating Capital   6.384%   10/23/35     6,134       7,712  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.375%   4/1/38     2,400       2,720  
      Charter Communications Operating LLC / Charter Communications Operating Capital   6.484%   10/23/45     10,222       12,740  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.375%   5/1/47     7,023       7,872  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.750%   4/1/48     7,450       8,693  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.125%   7/1/49     4,450       4,829  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.800%   3/1/50     7,964       8,337  
      Charter Communications Operating LLC / Charter Communications Operating Capital   6.834%   10/23/55     1,860       2,342  
      Comcast Corp.   2.650%   2/1/30     4,500       4,504  
      Comcast Corp.   4.250%   10/15/30     4,661       5,299  
      Comcast Corp.   4.250%   1/15/33     4,638       5,316  
      Comcast Corp.   7.050%   3/15/33     1,555       2,223  
      Comcast Corp.   4.200%   8/15/34     2,503       2,855  
      Comcast Corp.   5.650%   6/15/35     1,950       2,559  
      Comcast Corp.   4.400%   8/15/35     1,500       1,755  
      Comcast Corp.   6.500%   11/15/35     4,145       5,839  
      Comcast Corp.   3.200%   7/15/36     3,010       3,063  
      Comcast Corp.   6.450%   3/15/37     3,025       4,222  
      Comcast Corp.   6.950%   8/15/37     2,450       3,587  
      Comcast Corp.   3.900%   3/1/38     3,750       4,138  
      Comcast Corp.   6.400%   5/15/38     1,831       2,543  
      Comcast Corp.   4.600%   10/15/38     9,400       11,153  
      Comcast Corp.   3.250%   11/1/39     4,000       4,023  
      Comcast Corp.   6.400%   3/1/40     1,406       1,970  
      Comcast Corp.   4.650%   7/15/42     3,780       4,493  
      Comcast Corp.   4.500%   1/15/43     1,570       1,832  
      Comcast Corp.   4.750%   3/1/44     3,251       3,945  
      Comcast Corp.   4.600%   8/15/45     6,000       7,156  
      Comcast Corp.   3.400%   7/15/46     4,635       4,654  
      Comcast Corp.   4.000%   8/15/47     3,075       3,365  
      Comcast Corp.   3.969%   11/1/47     9,060       9,886  
      Comcast Corp.   4.000%   3/1/48     300       330  
      Comcast Corp.   4.700%   10/15/48     10,875       13,385  
      Comcast Corp.   3.999%   11/1/49     7,647       8,449  
      Comcast Corp.   3.450%   2/1/50     5,500       5,608  
      Comcast Corp.   4.049%   11/1/52     3,560       4,013  
      Comcast Corp.   4.950%   10/15/58     7,680       9,986  

 

83

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Crown Castle International Corp.   4.750%   5/15/47     1,725       1,987  
      Crown Castle International Corp.   5.200%   2/15/49     2,125       2,602  
      Deutsche Telekom International Finance BV   8.750%   6/15/30     12,440       18,253  
      Discovery Communications LLC   5.000%   9/20/37     3,602       4,065  
      Discovery Communications LLC   6.350%   6/1/40     2,740       3,456  
      Discovery Communications LLC   4.950%   5/15/42     1,308       1,431  
      Discovery Communications LLC   4.875%   4/1/43     3,240       3,514  
      Discovery Communications LLC   5.200%   9/20/47     3,355       3,885  
      Discovery Communications LLC   5.300%   5/15/49     2,289       2,708  
3     Fox Corp.   5.476%   1/25/39     4,425       5,380  
3     Fox Corp.   5.576%   1/25/49     4,900       6,167  
      Grupo Televisa SAB   8.500%   3/11/32     1,085       1,470  
      Grupo Televisa SAB   6.625%   1/15/40     1,328       1,668  
      Grupo Televisa SAB   5.000%   5/13/45     3,385       3,569  
      Grupo Televisa SAB   6.125%   1/31/46     2,650       3,214  
      Grupo Televisa SAB   5.250%   5/24/49     1,400       1,513  
      Interpublic Group of Cos. Inc.   5.400%   10/1/48     2,070       2,534  
      Koninklijke KPN NV   8.375%   10/1/30     2,000       2,775  
      Moody's Corp.   5.250%   7/15/44     1,800       2,291  
      NBCUniversal Media LLC   6.400%   4/30/40     2,220       3,103  
      NBCUniversal Media LLC   5.950%   4/1/41     3,000       4,124  
      NBCUniversal Media LLC   4.450%   1/15/43     3,450       4,001  
      Orange SA   9.000%   3/1/31     8,514       13,171  
      Orange SA   5.375%   1/13/42     2,800       3,587  
      Orange SA   5.500%   2/6/44     1,941       2,574  
      Rogers Communications Inc.   7.500%   8/15/38     1,250       1,821  
      Rogers Communications Inc.   4.500%   3/15/43     2,575       2,822  
      Rogers Communications Inc.   5.000%   3/15/44     4,124       4,992  
      Rogers Communications Inc.   4.350%   5/1/49     5,343       5,936  
      Rogers Communications Inc.   3.700%   11/15/49     2,300       2,313  
      S&P Global Inc.   4.500%   5/15/48     1,650       2,000  
      S&P Global Inc.   3.250%   12/1/49     3,000       3,063  
      Telefonica Emisiones SAU   7.045%   6/20/36     6,100       8,581  
      Telefonica Emisiones SAU   4.665%   3/6/38     2,831       3,194  
      Telefonica Emisiones SAU   5.213%   3/8/47     8,122       9,641  
      Telefonica Emisiones SAU   4.895%   3/6/48     4,035       4,620  
      Telefonica Emisiones SAU   5.520%   3/1/49     3,750       4,691  
      Telefonica Europe BV   8.250%   9/15/30     3,769       5,418  
      TELUS Corp.   4.600%   11/16/48     2,175       2,532  
      TELUS Corp.   4.300%   6/15/49     1,550       1,710  
      Thomson Reuters Corp.   5.500%   8/15/35     1,790       2,001  
      Thomson Reuters Corp.   5.850%   4/15/40     1,365       1,630  
      Thomson Reuters Corp.   5.650%   11/23/43     600       707  
      Time Warner Cable LLC   6.550%   5/1/37     3,875       4,749  
      Time Warner Cable LLC   7.300%   7/1/38     4,298       5,623  
      Time Warner Cable LLC   6.750%   6/15/39     3,959       4,997  
      Time Warner Cable LLC   5.875%   11/15/40     3,738       4,282  
      Time Warner Cable LLC   5.500%   9/1/41     4,723       5,270  
      Time Warner Cable LLC   4.500%   9/15/42     4,775       4,838  
      Time Warner Entertainment Co. LP   8.375%   7/15/33     1,836       2,577  
      Verizon Communications Inc.   4.500%   8/10/33     9,923       11,519  
      Verizon Communications Inc.   4.400%   11/1/34     9,600       11,104  
      Verizon Communications Inc.   4.272%   1/15/36     8,800       9,916  
      Verizon Communications Inc.   5.250%   3/16/37     9,425       11,826  
      Verizon Communications Inc.   4.812%   3/15/39     4,875       5,895  
      Verizon Communications Inc.   4.750%   11/1/41     2,860       3,456  
      Verizon Communications Inc.   3.850%   11/1/42     3,110       3,329  
      Verizon Communications Inc.   4.125%   8/15/46     4,000       4,508  
      Verizon Communications Inc.   4.862%   8/21/46     15,400       19,066  
      Verizon Communications Inc.   4.522%   9/15/48     12,267       14,646  
      Verizon Communications Inc.   5.012%   4/15/49     7,910       10,115  
      Verizon Communications Inc.   4.672%   3/15/55     10,000       12,270  
      Viacom Inc.   6.875%   4/30/36     4,655       6,231  
      Viacom Inc.   4.375%   3/15/43     4,582       4,850  

 

84

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Viacom Inc.   5.850%   9/1/43     3,314       4,152  
      ViacomCBS Inc.   7.875%   7/30/30     2,303       3,189  
      ViacomCBS Inc.   5.500%   5/15/33     1,000       1,193  
      ViacomCBS Inc.   5.900%   10/15/40     875       1,059  
      ViacomCBS Inc.   4.850%   7/1/42     1,486       1,641  
      ViacomCBS Inc.   4.900%   8/15/44     2,450       2,770  
      ViacomCBS Inc.   4.600%   1/15/45     800       882  
      Vodafone Group plc   7.875%   2/15/30     2,475       3,428  
      Vodafone Group plc   6.250%   11/30/32     1,750       2,215  
      Vodafone Group plc   6.150%   2/27/37     1,935       2,487  
      Vodafone Group plc   5.000%   5/30/38     6,440       7,503  
      Vodafone Group plc   4.375%   2/19/43     5,075       5,455  
      Vodafone Group plc   5.250%   5/30/48     8,960       10,825  
      Vodafone Group plc   4.875%   6/19/49     5,600       6,444  
      Vodafone Group plc   4.250%   9/17/50     4,225       4,389  
      Vodafone Group plc   5.125%   6/19/59     1,250       1,467  
      Walt Disney Co.   7.000%   3/1/32     2,140       3,100  
      Walt Disney Co.   6.550%   3/15/33     1,946       2,741  
      Walt Disney Co.   6.200%   12/15/34     4,115       5,739  
      Walt Disney Co.   6.400%   12/15/35     3,052       4,363  
      Walt Disney Co.   6.150%   3/1/37     7,073       9,842  
      Walt Disney Co.   4.375%   8/16/41     1,275       1,520  
      Walt Disney Co.   4.125%   12/1/41     1,805       2,081  
      Walt Disney Co.   3.700%   12/1/42     2,977       3,242  
      Walt Disney Co.   5.400%   10/1/43     3,785       5,128  
      Walt Disney Co.   4.750%   9/15/44     3,465       4,365  
      Walt Disney Co.   2.750%   9/1/49     6,000       5,638  
      Consumer Cyclical (3.0%)                        
      Alibaba Group Holding Ltd.   4.500%   11/28/34     1,500       1,698  
      Alibaba Group Holding Ltd.   4.000%   12/6/37     2,800       3,008  
      Alibaba Group Holding Ltd.   4.200%   12/6/47     4,825       5,351  
      Alibaba Group Holding Ltd.   4.400%   12/6/57     3,950       4,512  
      Amazon.com Inc.   4.800%   12/5/34     3,590       4,523  
      Amazon.com Inc.   3.875%   8/22/37     7,659       8,701  
      Amazon.com Inc.   4.950%   12/5/44     5,600       7,326  
      Amazon.com Inc.   4.050%   8/22/47     8,925       10,454  
      Amazon.com Inc.   4.250%   8/22/57     7,845       9,534  
      Aptiv plc   4.400%   10/1/46     275       263  
      Aptiv plc   5.400%   3/15/49     1,175       1,324  
      BorgWarner Inc.   4.375%   3/15/45     1,600       1,628  
      Cummins Inc.   4.875%   10/1/43     1,575       1,921  
      Daimler Finance North America LLC   8.500%   1/18/31     4,188       6,228  
      Darden Restaurants Inc.   4.550%   2/15/48     1,000       1,013  
      eBay Inc.   4.000%   7/15/42     1,545       1,523  
3     Expedia Group Inc.   3.250%   2/15/30     3,750       3,605  
      Ford Holdings LLC   9.300%   3/1/30     1,030       1,297  
      Ford Motor Co.   7.450%   7/16/31     3,582       4,227  
      Ford Motor Co.   4.750%   1/15/43     4,405       3,903  
      Ford Motor Co.   7.400%   11/1/46     1,825       2,047  
      Ford Motor Co.   5.291%   12/8/46     4,366       4,128  
      General Motors Co.   5.000%   4/1/35     2,405       2,479  
      General Motors Co.   6.600%   4/1/36     3,456       4,068  
      General Motors Co.   5.150%   4/1/38     2,178       2,231  
      General Motors Co.   6.250%   10/2/43     4,741       5,300  
      General Motors Co.   5.200%   4/1/45     4,075       4,088  
      General Motors Co.   6.750%   4/1/46     3,041       3,562  
      General Motors Co.   5.400%   4/1/48     2,170       2,234  
      General Motors Co.   5.950%   4/1/49     2,767       3,062  
      GLP Capital LP / GLP Financing II Inc.   4.000%   1/15/30     1,450       1,476  
      Harley-Davidson Inc.   4.625%   7/28/45     1,005       1,033  
      Home Depot Inc.   5.875%   12/16/36     9,375       12,905  
      Home Depot Inc.   5.400%   9/15/40     1,255       1,643  
      Home Depot Inc.   5.950%   4/1/41     3,936       5,532  

 

85

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Home Depot Inc.   4.200%   4/1/43     3,630       4,216  
      Home Depot Inc.   4.875%   2/15/44     3,123       3,954  
      Home Depot Inc.   4.400%   3/15/45     3,157       3,758  
      Home Depot Inc.   4.250%   4/1/46     1,838       2,165  
      Home Depot Inc.   3.900%   6/15/47     3,903       4,399  
      Home Depot Inc.   4.500%   12/6/48     5,025       6,190  
      Home Depot Inc.   3.500%   9/15/56     4,308       4,511  
      Kohl's Corp.   5.550%   7/17/45     1,537       1,565  
      Lear Corp.   5.250%   5/15/49     1,100       1,143  
      Lowe's Cos. Inc.   4.650%   4/15/42     4,043       4,600  
      Lowe's Cos. Inc.   4.250%   9/15/44     1,077       1,161  
      Lowe's Cos. Inc.   4.375%   9/15/45     2,761       3,020  
      Lowe's Cos. Inc.   3.700%   4/15/46     2,329       2,367  
      Lowe's Cos. Inc.   4.050%   5/3/47     5,005       5,397  
      Lowe's Cos. Inc.   4.550%   4/5/49     4,000       4,667  
      Macy's Retail Holdings Inc.   4.500%   12/15/34     941       893  
      Mastercard Inc.   3.800%   11/21/46     2,250       2,519  
      Mastercard Inc.   3.950%   2/26/48     1,950       2,250  
      Mastercard Inc.   3.650%   6/1/49     3,500       3,857  
      McDonald's Corp.   4.700%   12/9/35     3,114       3,701  
      McDonald's Corp.   6.300%   10/15/37     2,032       2,759  
      McDonald's Corp.   6.300%   3/1/38     2,571       3,498  
      McDonald's Corp.   5.700%   2/1/39     1,600       2,033  
      McDonald's Corp.   4.875%   7/15/40     150       177  
      McDonald's Corp.   3.700%   2/15/42     2,419       2,466  
      McDonald's Corp.   3.625%   5/1/43     1,650       1,652  
      McDonald's Corp.   4.600%   5/26/45     2,590       2,970  
      McDonald's Corp.   4.875%   12/9/45     4,271       5,151  
      McDonald's Corp.   4.450%   3/1/47     3,084       3,534  
      McDonald's Corp.   4.450%   9/1/48     1,820       2,073  
      McDonald's Corp.   3.625%   9/1/49     2,250       2,284  
      NIKE Inc.   3.625%   5/1/43     1,700       1,853  
      NIKE Inc.   3.875%   11/1/45     3,316       3,773  
      NIKE Inc.   3.375%   11/1/46     2,200       2,320  
      Nordstrom Inc.   4.375%   4/1/30     1,400       1,426  
      Nordstrom Inc.   5.000%   1/15/44     2,924       2,837  
      QVC Inc.   5.450%   8/15/34     1,300       1,242  
      Starbucks Corp.   4.300%   6/15/45     1,585       1,753  
      Starbucks Corp.   3.750%   12/1/47     1,425       1,459  
      Starbucks Corp.   4.500%   11/15/48     3,350       3,846  
      Starbucks Corp.   4.450%   8/15/49     2,400       2,767  
      Target Corp.   6.350%   11/1/32     1,119       1,564  
      Target Corp.   6.500%   10/15/37     1,162       1,720  
      Target Corp.   7.000%   1/15/38     2,194       3,406  
      Target Corp.   4.000%   7/1/42     3,908       4,471  
      Target Corp.   3.625%   4/15/46     3,025       3,307  
      Target Corp.   3.900%   11/15/47     2,850       3,271  
      VF Corp.   6.450%   11/1/37     1,140       1,584  
      Visa Inc.   4.150%   12/14/35     4,768       5,620  
      Visa Inc.   4.300%   12/14/45     11,414       14,055  
      Visa Inc.   3.650%   9/15/47     2,423       2,717  
      Walgreen Co.   4.400%   9/15/42     1,639       1,627  
      Walgreens Boots Alliance Inc.   4.500%   11/18/34     1,750       1,801  
      Walgreens Boots Alliance Inc.   4.800%   11/18/44     4,575       4,655  
      Walgreens Boots Alliance Inc.   4.650%   6/1/46     1,265       1,268  
      Walmart Inc.   7.550%   2/15/30     2,299       3,327  
      Walmart Inc.   5.250%   9/1/35     6,531       8,562  
      Walmart Inc.   6.200%   4/15/38     5,852       8,521  
      Walmart Inc.   3.950%   6/28/38     3,278       3,806  
      Walmart Inc.   5.625%   4/1/40     2,243       3,112  
      Walmart Inc.   4.875%   7/8/40     1,590       2,011  
      Walmart Inc.   5.000%   10/25/40     2,015       2,622  
      Walmart Inc.   5.625%   4/15/41     2,785       3,969  
      Walmart Inc.   4.000%   4/11/43     1,776       2,044  

 

86

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Walmart Inc.   4.300%   4/22/44     1,769       2,114  
      Walmart Inc.   3.625%   12/15/47     3,280       3,630  
      Walmart Inc.   4.050%   6/29/48     9,740       11,469  
      Walmart Inc.   2.950%   9/24/49     1,800       1,762  
      Western Union Co.   6.200%   11/17/36     1,675       1,899  
      Consumer Noncyclical (9.6%)                        
      Abbott Laboratories   4.750%   11/30/36     7,070       8,810  
      Abbott Laboratories   6.150%   11/30/37     2,078       2,910  
      Abbott Laboratories   6.000%   4/1/39     1,845       2,624  
      Abbott Laboratories   5.300%   5/27/40     968       1,263  
      Abbott Laboratories   4.750%   4/15/43     1,925       2,418  
      Abbott Laboratories   4.900%   11/30/46     9,009       11,763  
      AbbVie Inc.   4.500%   5/14/35     7,235       8,133  
      AbbVie Inc.   4.300%   5/14/36     3,531       3,876  
3     AbbVie Inc.   4.050%   11/21/39     7,000       7,314  
      AbbVie Inc.   4.400%   11/6/42     9,503       10,245  
      AbbVie Inc.   4.700%   5/14/45     11,815       13,189  
      AbbVie Inc.   4.450%   5/14/46     6,710       7,223  
      AbbVie Inc.   4.875%   11/14/48     6,150       7,061  
3     AbbVie Inc.   4.250%   11/21/49     15,000       15,790  
      Adventist Health System   3.630%   3/1/49     925       900  
      Advocate Health & Hospitals Corp.   4.272%   8/15/48     1,450       1,650  
      Advocate Health & Hospitals Corp.   3.387%   10/15/49     1,100       1,096  
      AHS Hospital Corp.   5.024%   7/1/45     1,450       1,798  
      Allergan Finance LLC   4.625%   10/1/42     4,325       4,501  
      Allergan Funding SCS   4.550%   3/15/35     4,832       5,131  
      Allergan Funding SCS   4.850%   6/15/44     3,400       3,775  
      Allergan Funding SCS   4.750%   3/15/45     225       245  
      Allina Health System   3.887%   4/15/49     1,000       1,064  
      Altria Group Inc.   5.800%   2/14/39     5,575       6,519  
      Altria Group Inc.   4.250%   8/9/42     1,786       1,776  
      Altria Group Inc.   4.500%   5/2/43     2,807       2,849  
      Altria Group Inc.   5.375%   1/31/44     4,690       5,281  
      Altria Group Inc.   3.875%   9/16/46     5,431       5,044  
      Altria Group Inc.   5.950%   2/14/49     7,700       9,310  
      Altria Group Inc.   6.200%   2/14/59     1,635       1,932  
      AmerisourceBergen Corp.   4.250%   3/1/45     1,510       1,534  
      AmerisourceBergen Corp.   4.300%   12/15/47     1,620       1,661  
      Amgen Inc.   6.400%   2/1/39     1,575       2,091  
      Amgen Inc.   4.950%   10/1/41     2,645       3,141  
      Amgen Inc.   5.150%   11/15/41     4,760       5,757  
      Amgen Inc.   4.400%   5/1/45     8,511       9,540  
      Amgen Inc.   4.563%   6/15/48     3,927       4,530  
      Amgen Inc.   4.663%   6/15/51     10,003       11,762  
      Anheuser-Busch Cos. LLC / Anheuser-Busch InBev World wide Inc.   4.900%   2/1/46     29,444       34,866  
      Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.   4.700%   2/1/36     19,289       22,245  
      Anheuser-Busch InBev Finance Inc.   4.700%   2/1/36     2,746       3,168  
      Anheuser-Busch InBev Finance Inc.   4.000%   1/17/43     3,003       3,167  
      Anheuser-Busch InBev Finance Inc.   4.625%   2/1/44     5,175       5,829  
      Anheuser-Busch InBev Finance Inc.   4.900%   2/1/46     7,165       8,450  
      Anheuser-Busch InBev Worldwide Inc.   4.900%   1/23/31     1,450       1,725  
      Anheuser-Busch InBev Worldwide Inc.   5.875%   6/15/35     850       1,053  
      Anheuser-Busch InBev Worldwide Inc.   4.375%   4/15/38     4,500       5,046  
      Anheuser-Busch InBev Worldwide Inc.   8.200%   1/15/39     1,280       2,006  
      Anheuser-Busch InBev Worldwide Inc.   5.450%   1/23/39     3,470       4,363  
      Anheuser-Busch InBev Worldwide Inc.   8.000%   11/15/39     2,684       4,171  
      Anheuser-Busch InBev Worldwide Inc.   4.950%   1/15/42     7,206       8,492  
      Anheuser-Busch InBev Worldwide Inc.   3.750%   7/15/42     3,620       3,664  
      Anheuser-Busch InBev Worldwide Inc.   4.600%   4/15/48     8,500       9,660  
      Anheuser-Busch InBev Worldwide Inc.   4.439%   10/6/48     6,577       7,349  
      Anheuser-Busch InBev Worldwide Inc.   5.550%   1/23/49     10,064       13,044  

 

87

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Anheuser-Busch InBev Worldwide Inc.   4.750%   4/15/58     4,465       5,212  
      Anheuser-Busch InBev Worldwide Inc.   5.800%   1/23/59     2,450       3,339  
      Archer-Daniels-Midland Co.   5.935%   10/1/32     1,265       1,655  
      Archer-Daniels-Midland Co.   5.375%   9/15/35     1,640       2,072  
      Archer-Daniels-Midland Co.   4.535%   3/26/42     1,215       1,442  
      Archer-Daniels-Midland Co.   4.016%   4/16/43     2,110       2,337  
      Archer-Daniels-Midland Co.   3.750%   9/15/47     2,200       2,396  
      Archer-Daniels-Midland Co.   4.500%   3/15/49     1,625       1,982  
      Ascension Health   2.532%   11/15/29     13       13  
      Ascension Health   3.106%   11/15/39     900       885  
      Ascension Health   3.945%   11/15/46     3,790       4,189  
2     Ascension Health   4.847%   11/15/53     1,379       1,736  
      AstraZeneca plc   6.450%   9/15/37     7,982       11,174  
      AstraZeneca plc   4.000%   9/18/42     4,225       4,660  
      AstraZeneca plc   4.375%   11/16/45     2,152       2,520  
      AstraZeneca plc   4.375%   8/17/48     2,000       2,380  
      BAT Capital Corp.   4.390%   8/15/37     7,920       8,028  
      BAT Capital Corp.   4.540%   8/15/47     5,650       5,649  
      BAT Capital Corp.   4.758%   9/6/49     2,750       2,837  
      Baxalta Inc.   5.250%   6/23/45     1,550       1,975  
      Baxter International Inc.   3.500%   8/15/46     1,500       1,449  
      Baylor Scott & White Holdings   4.185%   11/15/45     1,545       1,725  
      Baylor Scott & White Holdings   3.967%   11/15/46     1,285       1,390  
      Becton Dickinson & Co.   4.685%   12/15/44     3,212       3,727  
      Becton Dickinson & Co.   4.669%   6/6/47     4,005       4,741  
      Biogen Inc.   5.200%   9/15/45     4,636       5,575  
      Boston Scientific Corp.   7.000%   11/15/35     1,405       1,961  
      Boston Scientific Corp.   4.550%   3/1/39     3,000       3,519  
      Boston Scientific Corp.   7.375%   1/15/40     605       922  
      Boston Scientific Corp.   4.700%   3/1/49     3,325       4,024  
3     Bristol-Myers Squibb Co.   4.125%   6/15/39     5,890       6,792  
      Bristol-Myers Squibb Co.   3.250%   8/1/42     415       417  
3     Bristol-Myers Squibb Co.   5.250%   8/15/43     3,875       4,937  
      Bristol-Myers Squibb Co.   4.500%   3/1/44     1,639       1,925  
3     Bristol-Myers Squibb Co.   4.625%   5/15/44     2,656       3,195  
3     Bristol-Myers Squibb Co.   5.000%   8/15/45     6,362       8,036  
3     Bristol-Myers Squibb Co.   4.350%   11/15/47     4,484       5,334  
3     Bristol-Myers Squibb Co.   4.550%   2/20/48     4,448       5,461  
3     Bristol-Myers Squibb Co.   4.250%   10/26/49     11,170       13,165  
      Brown-Forman Corp.   4.500%   7/15/45     1,750       2,151  
      Campbell Soup Co.   3.800%   8/2/42     1,000       979  
      Campbell Soup Co.   4.800%   3/15/48     1,350       1,560  
      Cardinal Health Inc.   4.600%   3/15/43     1,135       1,133  
      Cardinal Health Inc.   4.500%   11/15/44     1,950       1,918  
      Cardinal Health Inc.   4.900%   9/15/45     1,291       1,337  
      Cardinal Health Inc.   4.368%   6/15/47     857       848  
      Children's Hospital Corp.   4.115%   1/1/47     1,000       1,136  
      Children's Hospital Medical Center   4.268%   5/15/44     975       1,094  
      Church & Dwight Co. Inc.   3.950%   8/1/47     1,325       1,443  
      Cigna Corp.   4.800%   8/15/38     8,050       9,264  
3     Cigna Corp.   6.125%   11/15/41     1,220       1,539  
3     Cigna Corp.   4.800%   7/15/46     6,590       7,583  
3     Cigna Corp.   3.875%   10/15/47     1,330       1,336  
      Cigna Corp.   4.900%   12/15/48     5,085       6,029  
      City of Hope   5.623%   11/15/43     1,125       1,488  
      City of Hope   4.378%   8/15/48     1,005       1,154  
      Cleveland Clinic Foundation   4.858%   1/1/14     1,315       1,634  
      Coca-Cola Femsa SAB de CV   5.250%   11/26/43     2,075       2,553  
      Colgate-Palmolive Co.   4.000%   8/15/45     1,095       1,303  
      Colgate-Palmolive Co.   3.700%   8/1/47     1,760       2,024  
2     CommonSpirit Health   4.350%   11/1/42     2,525       2,593  
      CommonSpirit Health   3.817%   10/1/49     1,000       971  
      CommonSpirit Health   4.187%   10/1/49     2,350       2,343  
      Conagra Brands Inc.   8.250%   9/15/30     1,055       1,450  

 

88

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Conagra Brands Inc.   5.300%   11/1/38     3,587       4,253  
      Conagra Brands Inc.   5.400%   11/1/48     3,000       3,652  
      Constellation Brands Inc.   4.500%   5/9/47     1,100       1,181  
      Constellation Brands Inc.   4.100%   2/15/48     1,850       1,932  
      Constellation Brands Inc.   5.250%   11/15/48     1,600       1,942  
      CVS Health Corp.   4.875%   7/20/35     1,400       1,595  
      CVS Health Corp.   4.780%   3/25/38     14,048       15,883  
      CVS Health Corp.   6.125%   9/15/39     2,925       3,752  
      CVS Health Corp.   5.300%   12/5/43     3,725       4,415  
      CVS Health Corp.   5.125%   7/20/45     12,525       14,748  
      CVS Health Corp.   5.050%   3/25/48     23,550       27,850  
      Danaher Corp.   4.375%   9/15/45     1,350       1,587  
      Dartmouth-Hitchcock Health   4.178%   8/1/48     1,025       1,134  
      DH Europe Finance II Sarl   3.250%   11/15/39     2,500       2,520  
      DH Europe Finance II Sarl   3.400%   11/15/49     3,000       3,066  
      Diageo Capital plc   5.875%   9/30/36     1,925       2,619  
      Diageo Capital plc   3.875%   4/29/43     750       826  
      Diageo Investment Corp.   7.450%   4/15/35     1,350       2,020  
      Diageo Investment Corp.   4.250%   5/11/42     1,702       1,962  
      Dignity Health   4.500%   11/1/42     1,050       1,092  
      Dignity Health   5.267%   11/1/64     950       1,085  
      Duke University Health System Inc.   3.920%   6/1/47     1,995       2,222  
      Eli Lilly & Co.   3.950%   3/15/49     5,425       6,247  
      Eli Lilly & Co.   4.150%   3/15/59     3,055       3,583  
      Estee Lauder Cos. Inc.   6.000%   5/15/37     1,100       1,511  
      Estee Lauder Cos. Inc.   4.375%   6/15/45     1,550       1,838  
      Estee Lauder Cos. Inc.   4.150%   3/15/47     1,350       1,570  
      Estee Lauder Cos. Inc.   3.125%   12/1/49     2,000       1,994  
      Fomento Economico Mexicano SAB de CV   4.375%   5/10/43     2,225       2,477  
      General Mills Inc.   4.550%   4/17/38     760       882  
      General Mills Inc.   5.400%   6/15/40     1,600       1,965  
      General Mills Inc.   4.150%   2/15/43     1,850       1,987  
      General Mills Inc.   4.700%   4/17/48     2,125       2,530  
      Gilead Sciences Inc.   4.600%   9/1/35     3,689       4,411  
      Gilead Sciences Inc.   4.000%   9/1/36     2,508       2,783  
      Gilead Sciences Inc.   5.650%   12/1/41     3,170       4,161  
      Gilead Sciences Inc.   4.800%   4/1/44     5,259       6,289  
      Gilead Sciences Inc.   4.500%   2/1/45     6,555       7,566  
      Gilead Sciences Inc.   4.750%   3/1/46     8,002       9,557  
      Gilead Sciences Inc.   4.150%   3/1/47     3,823       4,229  
      GlaxoSmithKline Capital Inc.   5.375%   4/15/34     1,625       2,072  
      GlaxoSmithKline Capital Inc.   6.375%   5/15/38     8,452       12,085  
      GlaxoSmithKline Capital Inc.   4.200%   3/18/43     1,487       1,725  
      Hackensack Meridian Health Inc.   4.211%   7/1/48     1,070       1,201  
      Hackensack Meridian Health Inc.   4.500%   7/1/57     1,000       1,176  
      Hasbro Inc.   6.350%   3/15/40     1,479       1,728  
      Hasbro Inc.   5.100%   5/15/44     925       920  
      HCA Inc.   5.125%   6/15/39     4,250       4,707  
      HCA Inc.   5.500%   6/15/47     5,725       6,612  
      HCA Inc.   5.250%   6/15/49     5,325       5,991  
      Hershey Co.   3.125%   11/15/49     1,550       1,528  
      Indiana University Health Inc. Obligated Group   3.970%   11/1/48     1,220       1,369  
      JM Smucker Co.   4.250%   3/15/35     1,525       1,654  
      JM Smucker Co.   4.375%   3/15/45     1,425       1,547  
      Johns Hopkins Health System Corp.   3.837%   5/15/46     1,225       1,339  
      Johnson & Johnson   4.950%   5/15/33     750       936  
      Johnson & Johnson   4.375%   12/5/33     2,602       3,093  
      Johnson & Johnson   3.550%   3/1/36     2,459       2,692  
      Johnson & Johnson   3.625%   3/3/37     4,379       4,829  
      Johnson & Johnson   5.950%   8/15/37     4,285       6,095  
      Johnson & Johnson   3.400%   1/15/38     3,008       3,218  
      Johnson & Johnson   5.850%   7/15/38     2,215       3,134  
      Johnson & Johnson   4.500%   9/1/40     1,404       1,706  
      Johnson & Johnson   4.850%   5/15/41     950       1,210  

 

89

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Johnson & Johnson   4.500%   12/5/43     1,554       1,910  
      Johnson & Johnson   3.700%   3/1/46     6,001       6,770  
      Johnson & Johnson   3.750%   3/3/47     3,565       4,057  
      Johnson & Johnson   3.500%   1/15/48     2,491       2,689  
      Kaiser Foundation Hospitals   4.875%   4/1/42     2,141       2,624  
      Kaiser Foundation Hospitals   4.150%   5/1/47     4,262       4,859  
      Kaiser Foundation Hospitals   3.266%   11/1/49     2,900       2,909  
      Kellogg Co.   7.450%   4/1/31     780       1,093  
      Kellogg Co.   4.500%   4/1/46     3,484       3,880  
      Keurig Dr Pepper Inc.   4.985%   5/25/38     1,775       2,092  
      Keurig Dr Pepper Inc.   4.500%   11/15/45     3,120       3,404  
      Keurig Dr Pepper Inc.   4.420%   12/15/46     1,175       1,268  
      Kimberly-Clark Corp.   6.625%   8/1/37     1,425       2,099  
      Kimberly-Clark Corp.   5.300%   3/1/41     1,619       2,128  
      Kimberly-Clark Corp.   3.700%   6/1/43     980       1,014  
      Kimberly-Clark Corp.   3.200%   7/30/46     2,175       2,193  
      Koninklijke Ahold Delhaize NV   5.700%   10/1/40     824       1,006  
      Koninklijke Philips NV   6.875%   3/11/38     2,325       3,258  
      Koninklijke Philips NV   5.000%   3/15/42     1,560       1,865  
      Kraft Foods Group Inc.   6.875%   1/26/39     3,636       4,546  
      Kraft Foods Group Inc.   6.500%   2/9/40     4,198       5,087  
3     Kraft Heinz Foods Co.   3.750%   4/1/30     3,075       3,159  
      Kraft Heinz Foods Co.   5.000%   7/15/35     4,935       5,482  
3     Kraft Heinz Foods Co.   4.625%   10/1/39     1,525       1,582  
      Kraft Heinz Foods Co.   5.200%   7/15/45     6,475       6,992  
      Kraft Heinz Foods Co.   4.375%   6/1/46     9,480       9,333  
3     Kraft Heinz Foods Co.   4.875%   10/1/49     5,100       5,310  
      Kroger Co.   8.000%   9/15/29     775       1,061  
      Kroger Co.   7.500%   4/1/31     670       921  
      Kroger Co.   6.900%   4/15/38     550       735  
      Kroger Co.   5.400%   7/15/40     1,130       1,306  
      Kroger Co.   5.000%   4/15/42     1,550       1,721  
      Kroger Co.   5.150%   8/1/43     1,250       1,404  
      Kroger Co.   3.875%   10/15/46     900       876  
      Kroger Co.   4.450%   2/1/47     2,275       2,409  
      Kroger Co.   4.650%   1/15/48     2,325       2,531  
      Kroger Co.   5.400%   1/15/49     1,075       1,305  
      Laboratory Corp. of America Holdings   4.700%   2/1/45     2,749       3,082  
2     Mayo Clinic   3.774%   11/15/43     900       968  
2     Mayo Clinic   4.000%   11/15/47     1,200       1,333  
2     Mayo Clinic   4.128%   11/15/52     1,000       1,123  
      McCormick & Co. Inc.   4.200%   8/15/47     925       1,011  
      Mead Johnson Nutrition Co.   5.900%   11/1/39     1,580       2,117  
      Mead Johnson Nutrition Co.   4.600%   6/1/44     1,721       2,066  
      Medtronic Inc.   4.375%   3/15/35     6,958       8,211  
      Medtronic Inc.   4.625%   3/15/45     5,714       7,156  
      Memorial Health Services   3.447%   11/1/49     1,000       982  
      Memorial Sloan-Kettering Cancer Center   5.000%   7/1/42     850       1,071  
      Memorial Sloan-Kettering Cancer Center   4.125%   7/1/52     1,270       1,464  
      Memorial Sloan-Kettering Cancer Center   4.200%   7/1/55     2,025       2,350  
      Merck & Co. Inc.   6.500%   12/1/33     3,245       4,570  
      Merck & Co. Inc.   6.550%   9/15/37     1,100       1,591  
      Merck & Co. Inc.   3.900%   3/7/39     3,350       3,824  
      Merck & Co. Inc.   3.600%   9/15/42     2,329       2,512  
      Merck & Co. Inc.   4.150%   5/18/43     2,309       2,728  
      Merck & Co. Inc.   3.700%   2/10/45     6,055       6,691  
      Merck & Co. Inc.   4.000%   3/7/49     4,650       5,412  
      Molson Coors Brewing Co.   5.000%   5/1/42     3,318       3,612  
      Molson Coors Brewing Co.   4.200%   7/15/46     5,537       5,510  
      Mondelez International Inc.   4.625%   5/7/48     900       1,043  
2     Montefiore Obligated Group   5.246%   11/1/48     1,650       1,851  
2     Mount Sinai Hospitals Group Inc.   3.981%   7/1/48     1,050       1,082  
2     Mount Sinai Hospitals Group Inc.   3.737%   7/1/49     1,450       1,437  
      Mylan Inc.   5.400%   11/29/43     1,850       2,010  

 

90

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Mylan Inc.   5.200%   4/15/48     1,675       1,854  
      Mylan NV   5.250%   6/15/46     3,165       3,530  
      New York & Presbyterian Hospital   4.024%   8/1/45     2,380       2,647  
      New York & Presbyterian Hospital   4.063%   8/1/56     1,075       1,162  
      New York & Presbyterian Hospital   3.954%   8/1/19     1,600       1,598  
      Northwell Healthcare Inc.   3.979%   11/1/46     1,750       1,782  
      Northwell Healthcare Inc.   4.260%   11/1/47     2,750       2,941  
      Northwell Healthcare Inc.   3.809%   11/1/49     1,025       1,029  
      Novartis Capital Corp.   3.700%   9/21/42     1,225       1,347  
      Novartis Capital Corp.   4.400%   5/6/44     4,133       5,016  
      Novartis Capital Corp.   4.000%   11/20/45     5,016       5,816  
      NYU Hospitals Center   4.784%   7/1/44     1,150       1,377  
2     NYU Hospitals Center   4.368%   7/1/47     1,200       1,340  
      Orlando Health Obligated Group   4.089%   10/1/48     1,050       1,147  
      Partners Healthcare System Inc.   4.117%   7/1/55     950       1,054  
      PeaceHealth Obligated Group   4.787%   11/15/48     1,150       1,407  
      PepsiCo Inc.   4.000%   3/5/42     3,528       4,014  
      PepsiCo Inc.   3.600%   8/13/42     1,625       1,738  
      PepsiCo Inc.   4.250%   10/22/44     2,708       3,184  
      PepsiCo Inc.   4.600%   7/17/45     2,924       3,613  
      PepsiCo Inc.   4.450%   4/14/46     4,680       5,751  
      PepsiCo Inc.   3.450%   10/6/46     2,675       2,824  
      PepsiCo Inc.   4.000%   5/2/47     3,220       3,717  
      PepsiCo Inc.   3.375%   7/29/49     2,795       2,926  
      PepsiCo Inc.   2.875%   10/15/49     2,950       2,823  
      Perrigo Finance Unlimited Co.   4.900%   12/15/44     936       861  
      Pfizer Inc.   4.000%   12/15/36     4,567       5,202  
      Pfizer Inc.   4.100%   9/15/38     2,980       3,404  
      Pfizer Inc.   3.900%   3/15/39     3,900       4,390  
      Pfizer Inc.   7.200%   3/15/39     7,558       11,841  
      Pfizer Inc.   4.300%   6/15/43     1,882       2,214  
      Pfizer Inc.   4.400%   5/15/44     1,850       2,208  
      Pfizer Inc.   4.125%   12/15/46     3,575       4,124  
      Pfizer Inc.   4.200%   9/15/48     3,600       4,215  
      Pfizer Inc.   4.000%   3/15/49     3,625       4,192  
      Philip Morris International Inc.   6.375%   5/16/38     3,128       4,345  
      Philip Morris International Inc.   4.375%   11/15/41     3,118       3,452  
      Philip Morris International Inc.   4.500%   3/20/42     2,415       2,710  
      Philip Morris International Inc.   3.875%   8/21/42     2,490       2,585  
      Philip Morris International Inc.   4.125%   3/4/43     4,106       4,425  
      Philip Morris International Inc.   4.875%   11/15/43     1,823       2,146  
      Philip Morris International Inc.   4.250%   11/10/44     2,429       2,677  
      Procter & Gamble Co.   5.500%   2/1/34     950       1,273  
      Procter & Gamble Co.   5.800%   8/15/34     700       976  
      Procter & Gamble Co.   3.500%   10/25/47     3,172       3,562  
2     Providence St. Joseph Health Obligated Group   3.744%   10/1/47     1,395       1,455  
2     Providence St. Joseph Health Obligated Group   3.930%   10/1/48     1,000       1,070  
      Quest Diagnostics Inc.   2.950%   6/30/30     2,400       2,403  
      Quest Diagnostics Inc.   4.700%   3/30/45     1,180       1,308  
      Reynolds American Inc.   5.700%   8/15/35     2,452       2,828  
      Reynolds American Inc.   7.250%   6/15/37     3,025       3,881  
      Reynolds American Inc.   6.150%   9/15/43     2,000       2,328  
      Reynolds American Inc.   5.850%   8/15/45     6,975       7,986  
      RWJ Barnabas Health Inc.   3.949%   7/1/46     1,475       1,560  
      RWJ Barnabas Health Inc.   3.477%   7/1/49     650       640  
      Spectrum Health System Obligated Group   3.487%   7/15/49     1,075       1,074  
      Stanford Health Care   3.795%   11/15/48     1,550       1,668  
      Stryker Corp.   4.100%   4/1/43     1,320       1,421  
      Stryker Corp.   4.375%   5/15/44     1,100       1,243  
      Stryker Corp.   4.625%   3/15/46     3,425       4,115  
      Sutter Health   4.091%   8/15/48     1,325       1,474  
      Sysco Corp.   4.850%   10/1/45     1,525       1,831  
      Sysco Corp.   4.500%   4/1/46     2,160       2,475  
      Sysco Corp.   4.450%   3/15/48     1,700       1,940  

 

91

 

 

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
2     Texas Health Resources   4.330%   11/15/55     1,000       1,170  
      Thermo Fisher Scientific Inc.   5.300%   2/1/44     1,500       1,897  
      Toledo Hospital   5.750%   11/15/38     2,600       2,975  
      Trinity Health Corp.   4.125%   12/1/45     1,175       1,291  
      Tyson Foods Inc.   4.875%   8/15/34     2,400       2,807  
      Tyson Foods Inc.   5.150%   8/15/44     2,323       2,810  
      Tyson Foods Inc.   4.550%   6/2/47     2,283       2,588  
      Tyson Foods Inc.   5.100%   9/28/48     4,420       5,563  
      Unilever Capital Corp.   5.900%   11/15/32     2,658       3,602  
      Whirlpool Corp.   4.500%   6/1/46     800       827  
2     Willis-Knighton Medical Center   4.813%   9/1/48     925       1,104  
      Wyeth LLC   6.500%   2/1/34     2,616       3,653  
      Wyeth LLC   6.000%   2/15/36     790       1,051  
      Wyeth LLC   5.950%   4/1/37     5,480       7,462  
      Zimmer Biomet Holdings Inc.   4.250%   8/15/35     413       413  
      Zimmer Biomet Holdings Inc.   5.750%   11/30/39     870       1,032  
      Zimmer Biomet Holdings Inc.   4.450%   8/15/45     975       1,021  
      Zoetis Inc.   4.700%   2/1/43     3,866       4,586  
      Zoetis Inc.   3.950%   9/12/47     1,371       1,487  
      Zoetis Inc.   4.450%   8/20/48     950       1,109  
      Energy (5.2%)                        
      Apache Corp.   7.750%   12/15/29     450       573  
      Apache Corp.   5.100%   9/1/40     6,025       6,115  
      Apache Corp.   5.250%   2/1/42     3,290       3,414  
      Apache Corp.   4.750%   4/15/43     3,530       3,376  
      Apache Corp.   4.250%   1/15/44     2,610       2,408  
      Baker Hughes a GE Co. LLC   5.125%   9/15/40     3,071       3,618  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   4.080%   12/15/47     3,400       3,481  
      Burlington Resources Finance Co.   7.200%   8/15/31     2,110       2,974  
      Burlington Resources Finance Co.   7.400%   12/1/31     1,550       2,206  
      Canadian Natural Resources Ltd.   7.200%   1/15/32     1,250       1,692  
      Canadian Natural Resources Ltd.   6.450%   6/30/33     1,365       1,743  
      Canadian Natural Resources Ltd.   5.850%   2/1/35     700       861  
      Canadian Natural Resources Ltd.   6.500%   2/15/37     1,400       1,825  
      Canadian Natural Resources Ltd.   6.250%   3/15/38     3,300       4,271  
      Canadian Natural Resources Ltd.   6.750%   2/1/39     1,290       1,738  
      Canadian Natural Resources Ltd.   4.950%   6/1/47     2,250       2,729  
      Cenovus Energy Inc.   5.250%   6/15/37     3,125       3,435  
      Cenovus Energy Inc.   6.750%   11/15/39     3,950       5,025  
      Cenovus Energy Inc.   5.400%   6/15/47     3,075       3,590  
      Columbia Pipeline Group Inc.   5.800%   6/1/45     1,700       2,154  
      Concho Resources Inc.   4.875%   10/1/47     3,265       3,804  
      Concho Resources Inc.   4.850%   8/15/48     2,350       2,720  
      Conoco Funding Co.   7.250%   10/15/31     1,830       2,569  
      ConocoPhillips   5.900%   10/15/32     1,770       2,312  
      ConocoPhillips   5.900%   5/15/38     2,600       3,530  
      ConocoPhillips   6.500%   2/1/39     8,085       11,715  
      ConocoPhillips Canada Funding Co. I   5.950%   10/15/36     1,695       2,272  
      ConocoPhillips Co.   4.300%   11/15/44     2,580       3,018  
      ConocoPhillips Co.   5.950%   3/15/46     1,275       1,816  
      Continental Resources Inc.   4.900%   6/1/44     2,375       2,532  
      Devon Energy Corp.   7.950%   4/15/32     1,100       1,557  
      Devon Energy Corp.   5.600%   7/15/41     3,429       4,164  
      Devon Energy Corp.   4.750%   5/15/42     3,552       3,975  
      Devon Energy Corp.   5.000%   6/15/45     2,092       2,411  
      Devon Financing Co. LLC   7.875%   9/30/31     2,041       2,806  
      Dominion Energy Gas Holdings LLC   4.800%   11/1/43     1,325       1,470  
      Dominion Energy Gas Holdings LLC   4.600%   12/15/44     1,150       1,248  
      Enable Midstream Partners LP   5.000%   5/15/44     1,600       1,438  
      Enbridge Energy Partners LP   7.500%   4/15/38     1,181       1,687  
      Enbridge Energy Partners LP   5.500%   9/15/40     1,675       1,978  
      Enbridge Energy Partners LP   7.375%   10/15/45     2,195       3,261  

 

 

92

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Enbridge Inc.   4.500%   6/10/44     1,575       1,728  
      Enbridge Inc.   4.000%   11/15/49     1,000       1,041  
      Encana Corp.   8.125%   9/15/30     1,329       1,672  
      Encana Corp.   7.375%   11/1/31     2,440       2,981  
      Encana Corp.   6.500%   8/15/34     2,665       3,127  
      Encana Corp.   6.625%   8/15/37     1,400       1,657  
      Encana Corp.   6.500%   2/1/38     1,500       1,761  
      Energy Transfer Operating LP   6.250%   4/15/49     4,600       5,536  
      Energy Transfer Partners LP   4.900%   3/15/35     1,852       1,934  
      Energy Transfer Partners LP   6.625%   10/15/36     1,226       1,456  
      Energy Transfer Partners LP   5.800%   6/15/38     1,800       2,031  
      Energy Transfer Partners LP   7.500%   7/1/38     1,505       1,917  
      Energy Transfer Partners LP   6.050%   6/1/41     2,400       2,692  
      Energy Transfer Partners LP   6.500%   2/1/42     3,305       3,927  
      Energy Transfer Partners LP   5.150%   2/1/43     1,299       1,335  
      Energy Transfer Partners LP   5.950%   10/1/43     1,500       1,662  
      Energy Transfer Partners LP   5.150%   3/15/45     1,766       1,856  
      Energy Transfer Partners LP   6.125%   12/15/45     3,500       4,048  
      Energy Transfer Partners LP   5.300%   4/15/47     2,945       3,145  
      Energy Transfer Partners LP   6.000%   6/15/48     4,500       5,221  
      Enterprise Products Operating LLC   6.875%   3/1/33     1,500       2,044  
      Enterprise Products Operating LLC   6.650%   10/15/34     1,245       1,689  
      Enterprise Products Operating LLC   7.550%   4/15/38     1,175       1,690  
      Enterprise Products Operating LLC   6.125%   10/15/39     2,185       2,839  
      Enterprise Products Operating LLC   5.950%   2/1/41     2,953       3,801  
      Enterprise Products Operating LLC   5.700%   2/15/42     2,525       3,221  
      Enterprise Products Operating LLC   4.850%   8/15/42     2,380       2,742  
      Enterprise Products Operating LLC   4.450%   2/15/43     3,645       3,983  
      Enterprise Products Operating LLC   4.850%   3/15/44     3,063       3,545  
      Enterprise Products Operating LLC   5.100%   2/15/45     4,370       5,231  
      Enterprise Products Operating LLC   4.900%   5/15/46     2,400       2,812  
      Enterprise Products Operating LLC   4.250%   2/15/48     5,400       5,823  
      Enterprise Products Operating LLC   4.800%   2/1/49     2,640       3,096  
      Enterprise Products Operating LLC   4.200%   1/31/50     3,805       4,082  
      Enterprise Products Operating LLC   4.950%   10/15/54     1,867       2,160  
      EOG Resources Inc.   3.900%   4/1/35     2,487       2,761  
      EQM Midstream Partners LP   6.500%   7/15/48     1,660       1,560  
      Exxon Mobil Corp.   2.995%   8/16/39     2,600       2,605  
      Exxon Mobil Corp.   3.567%   3/6/45     3,200       3,424  
      Exxon Mobil Corp.   4.114%   3/1/46     5,781       6,766  
      Exxon Mobil Corp.   3.095%   8/16/49     6,075       6,024  
      Halliburton Co.   4.850%   11/15/35     3,200       3,610  
      Halliburton Co.   6.700%   9/15/38     4,449       5,868  
      Halliburton Co.   4.500%   11/15/41     1,575       1,682  
      Halliburton Co.   4.750%   8/1/43     3,395       3,731  
      Halliburton Co.   5.000%   11/15/45     6,115       6,961  
      Hess Corp.   7.300%   8/15/31     795       1,005  
      Hess Corp.   7.125%   3/15/33     1,850       2,343  
      Hess Corp.   6.000%   1/15/40     2,522       2,971  
      Hess Corp.   5.600%   2/15/41     3,975       4,643  
      Hess Corp.   5.800%   4/1/47     1,600       1,948  
      Husky Energy Inc.   6.800%   9/15/37     1,250       1,638  
      Kinder Morgan Energy Partners LP   7.400%   3/15/31     475       621  
      Kinder Morgan Energy Partners LP   7.750%   3/15/32     500       681  
      Kinder Morgan Energy Partners LP   7.300%   8/15/33     1,749       2,310  
      Kinder Morgan Energy Partners LP   5.800%   3/15/35     1,500       1,776  
      Kinder Morgan Energy Partners LP   6.500%   2/1/37     1,690       2,106  
      Kinder Morgan Energy Partners LP   6.950%   1/15/38     4,194       5,540  
      Kinder Morgan Energy Partners LP   6.500%   9/1/39     1,870       2,363  
      Kinder Morgan Energy Partners LP   6.550%   9/15/40     1,300       1,650  
      Kinder Morgan Energy Partners LP   6.375%   3/1/41     1,915       2,375  
      Kinder Morgan Energy Partners LP   5.625%   9/1/41     1,400       1,615  
      Kinder Morgan Energy Partners LP   5.000%   8/15/42     2,075       2,249  
      Kinder Morgan Energy Partners LP   4.700%   11/1/42     1,750       1,850  

 

 

93

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Kinder Morgan Energy Partners LP   5.000%   3/1/43     1,425       1,558  
      Kinder Morgan Energy Partners LP   5.500%   3/1/44     2,463       2,837  
      Kinder Morgan Energy Partners LP   5.400%   9/1/44     1,945       2,214  
      Kinder Morgan Inc.   7.800%   8/1/31     1,875       2,564  
      Kinder Morgan Inc.   7.750%   1/15/32     2,725       3,734  
      Kinder Morgan Inc.   5.300%   12/1/34     2,496       2,942  
      Kinder Morgan Inc.   5.550%   6/1/45     3,680       4,403  
      Kinder Morgan Inc.   5.050%   2/15/46     2,640       2,953  
      Kinder Morgan Inc.   5.200%   3/1/48     2,785       3,209  
      Magellan Midstream Partners LP   5.150%   10/15/43     2,665       3,103  
      Magellan Midstream Partners LP   4.250%   9/15/46     1,675       1,773  
      Magellan Midstream Partners LP   4.200%   10/3/47     2,505       2,636  
      Magellan Midstream Partners LP   3.950%   3/1/50     1,000       1,026  
      Marathon Oil Corp.   6.800%   3/15/32     1,900       2,409  
      Marathon Oil Corp.   6.600%   10/1/37     2,690       3,420  
      Marathon Oil Corp.   5.200%   6/1/45     1,500       1,739  
      Marathon Petroleum Corp.   6.500%   3/1/41     3,063       3,965  
      Marathon Petroleum Corp.   4.750%   9/15/44     2,555       2,779  
      Marathon Petroleum Corp.   4.500%   4/1/48     2,100       2,214  
      Marathon Petroleum Corp.   5.000%   9/15/54     2,000       2,153  
      MPLX LP   4.500%   4/15/38     7,030       7,149  
      MPLX LP   5.200%   3/1/47     2,440       2,620  
3     MPLX LP   5.200%   12/1/47     1,725       1,811  
      MPLX LP   4.700%   4/15/48     3,885       3,917  
      MPLX LP   5.500%   2/15/49     4,500       5,098  
      MPLX LP   4.900%   4/15/58     2,025       2,060  
      National Oilwell Varco Inc.   3.950%   12/1/42     3,375       3,168  
      Noble Energy Inc.   6.000%   3/1/41     2,575       3,080  
      Noble Energy Inc.   5.250%   11/15/43     2,905       3,273  
      Noble Energy Inc.   5.050%   11/15/44     3,316       3,655  
      Noble Energy Inc.   4.950%   8/15/47     1,725       1,915  
      Noble Energy Inc.   4.200%   10/15/49     125       126  
      Occidental Petroleum Corp.   7.500%   5/1/31     2,281       2,960  
      Occidental Petroleum Corp.   7.875%   9/15/31     2,750       3,643  
      Occidental Petroleum Corp.   6.450%   9/15/36     3,540       4,311  
      Occidental Petroleum Corp.   7.950%   6/15/39     1,050       1,442  
      Occidental Petroleum Corp.   4.300%   8/15/39     500       507  
      Occidental Petroleum Corp.   6.200%   3/15/40     2,600       3,093  
      Occidental Petroleum Corp.   4.500%   7/15/44     1,250       1,249  
      Occidental Petroleum Corp.   4.625%   6/15/45     2,750       2,812  
      Occidental Petroleum Corp.   6.600%   3/15/46     3,617       4,690  
      Occidental Petroleum Corp.   4.400%   4/15/46     3,800       3,838  
      Occidental Petroleum Corp.   4.100%   2/15/47     3,122       3,025  
      Occidental Petroleum Corp.   4.200%   3/15/48     2,825       2,795  
      Occidental Petroleum Corp.   4.400%   8/15/49     1,950       2,007  
      ONEOK Inc.   6.000%   6/15/35     1,335       1,555  
      ONEOK Inc.   4.950%   7/13/47     2,100       2,298  
      ONEOK Inc.   5.200%   7/15/48     2,275       2,577  
      ONEOK Inc.   4.450%   9/1/49     2,050       2,105  
      ONEOK Partners LP   6.650%   10/1/36     2,550       3,218  
      ONEOK Partners LP   6.850%   10/15/37     950       1,219  
      ONEOK Partners LP   6.125%   2/1/41     2,100       2,520  
      ONEOK Partners LP   6.200%   9/15/43     1,325       1,597  
      Petro-Canada   5.350%   7/15/33     1,450       1,788  
      Petro-Canada   5.950%   5/15/35     2,000       2,597  
      Petro-Canada   6.800%   5/15/38     3,860       5,499  
      Phillips 66   4.650%   11/15/34     3,031       3,536  
      Phillips 66   5.875%   5/1/42     3,180       4,294  
      Phillips 66   4.875%   11/15/44     4,850       5,842  
      Phillips 66 Partners LP   4.680%   2/15/45     1,640       1,766  
      Phillips 66 Partners LP   4.900%   10/1/46     2,000       2,235  
      Plains All American Pipeline LP / PAA Finance Corp.   6.650%   1/15/37     2,300       2,706  
      Plains All American Pipeline LP / PAA Finance Corp.   5.150%   6/1/42     1,111       1,112  
      Plains All American Pipeline LP / PAA Finance Corp.   4.300%   1/31/43     1,055       962  

 

 

94

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Plains All American Pipeline LP / PAA Finance Corp.   4.700%   6/15/44     2,400       2,331  
      Plains All American Pipeline LP / PAA Finance Corp.   4.900%   2/15/45     1,677       1,663  
      Shell International Finance BV   4.125%   5/11/35     4,667       5,447  
      Shell International Finance BV   6.375%   12/15/38     8,704       12,700  
      Shell International Finance BV   5.500%   3/25/40     2,245       3,039  
      Shell International Finance BV   3.625%   8/21/42     2,257       2,411  
      Shell International Finance BV   4.550%   8/12/43     4,340       5,238  
      Shell International Finance BV   4.375%   5/11/45     8,177       9,737  
      Shell International Finance BV   4.000%   5/10/46     7,451       8,487  
      Shell International Finance BV   3.750%   9/12/46     3,014       3,296  
      Shell International Finance BV   3.125%   11/7/49     3,100       3,056  
      Spectra Energy Partners LP   5.950%   9/25/43     1,357       1,688  
      Spectra Energy Partners LP   4.500%   3/15/45     2,250       2,473  
      Suncor Energy Inc.   7.150%   2/1/32     880       1,229  
      Suncor Energy Inc.   5.950%   12/1/34     1,506       1,962  
      Suncor Energy Inc.   6.500%   6/15/38     2,255       3,131  
      Suncor Energy Inc.   6.850%   6/1/39     2,760       3,989  
      Suncor Energy Inc.   4.000%   11/15/47     1,500       1,629  
      Sunoco Logistics Partners Operations LP   6.100%   2/15/42     1,240       1,360  
      Sunoco Logistics Partners Operations LP   4.950%   1/15/43     1,050       1,042  
      Sunoco Logistics Partners Operations LP   5.300%   4/1/44     2,717       2,863  
      Sunoco Logistics Partners Operations LP   5.350%   5/15/45     2,495       2,659  
      Sunoco Logistics Partners Operations LP   5.400%   10/1/47     2,782       3,004  
      Tennessee Gas Pipeline Co. LLC   7.625%   4/1/37     1,085       1,436  
      Texas Eastern Transmission LP   7.000%   7/15/32     1,425       1,910  
      Total Capital International SA   2.829%   1/10/30     3,775       3,870  
      Total Capital International SA   3.461%   7/12/49     3,190       3,354  
      TransCanada PipeLines Ltd.   4.625%   3/1/34     4,772       5,453  
      TransCanada PipeLines Ltd.   5.600%   3/31/34     700       847  
      TransCanada PipeLines Ltd.   5.850%   3/15/36     1,250       1,514  
      TransCanada PipeLines Ltd.   6.200%   10/15/37     2,313       2,998  
      TransCanada PipeLines Ltd.   4.750%   5/15/38     2,725       3,111  
      TransCanada PipeLines Ltd.   7.625%   1/15/39     2,905       4,314  
      TransCanada PipeLines Ltd.   6.100%   6/1/40     4,075       5,289  
      TransCanada PipeLines Ltd.   5.000%   10/16/43     2,222       2,576  
      TransCanada PipeLines Ltd.   4.875%   5/15/48     4,050       4,757  
      TransCanada PipeLines Ltd.   5.100%   3/15/49     2,925       3,540  
      Transcontinental Gas Pipe Line Co. LLC   5.400%   8/15/41     1,475       1,712  
      Transcontinental Gas Pipe Line Co. LLC   4.450%   8/1/42     1,245       1,307  
      Transcontinental Gas Pipe Line Co. LLC   4.600%   3/15/48     1,300       1,385  
      Valero Energy Corp.   7.500%   4/15/32     2,000       2,777  
      Valero Energy Corp.   6.625%   6/15/37     4,900       6,484  
      Valero Energy Corp.   4.900%   3/15/45     2,075       2,395  
      Western Midstream Operating LP   5.450%   4/1/44     2,750       2,394  
      Western Midstream Operating LP   5.300%   3/1/48     1,200       1,030  
      Western Midstream Operating LP   5.500%   8/15/48     1,040       927  
      Williams Cos. Inc.   7.500%   1/15/31     1,120       1,475  
      Williams Cos. Inc.   6.300%   4/15/40     4,565       5,658  
      Williams Cos. Inc.   5.800%   11/15/43     1,225       1,459  
      Williams Cos. Inc.   5.400%   3/4/44     1,654       1,855  
      Williams Cos. Inc.   5.750%   6/24/44     2,125       2,505  
      Williams Cos. Inc.   4.900%   1/15/45     1,950       2,103  
      Williams Cos. Inc.   5.100%   9/15/45     3,150       3,502  
      Williams Cos. Inc.   4.850%   3/1/48     1,230       1,349  
      Other Industrial (0.3%)                        
2     American University   3.672%   4/1/49     1,375       1,470  
2     Boston University   4.061%   10/1/48     875       1,003  
      California Institute of Technology   4.321%   8/1/45     1,100       1,312  
      California Institute of Technology   4.700%   11/1/11     1,355       1,645  
      California Institute of Technology   3.650%   9/1/19     1,350       1,305  
2     Johns Hopkins University   4.083%   7/1/53     1,225       1,415  
      Leland Stanford Junior University   3.647%   5/1/48     1,925       2,151  
2     Massachusetts Institute of Technology   3.959%   7/1/38     1,250       1,400  

 

 

95

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Massachusetts Institute of Technology   2.989%   7/1/50     1,025       1,015  
      Massachusetts Institute of Technology   5.600%   7/1/11     3,000       4,581  
      Massachusetts Institute of Technology   4.678%   7/1/14     1,050       1,354  
      Massachusetts Institute of Technology   3.885%   7/1/16     1,160       1,263  
2     Northwestern University   4.643%   12/1/44     1,875       2,330  
2     Northwestern University   3.662%   12/1/57     570       629  
      President & Fellows of Harvard College   3.619%   10/1/37     900       957  
      President & Fellows of Harvard College   4.875%   10/15/40     1,115       1,419  
      President & Fellows of Harvard College   3.150%   7/15/46     2,550       2,587  
2     Trustees of Boston College   3.129%   7/1/52     1,200       1,165  
2     University of Chicago   4.003%   10/1/53     1,250       1,422  
2     University of Notre Dame du Lac   3.438%   2/15/45     1,400       1,488  
      University of Notre Dame du Lac   3.394%   2/15/48     1,400       1,488  
      University of Pennsylvania   4.674%   9/1/12     1,050       1,374  
      University of Pennsylvania   3.610%   2/15/19     1,200       1,227  
2     University of Southern California   3.028%   10/1/39     2,995       3,007  
2     William Marsh Rice University   3.574%   5/15/45     2,540       2,709  
      Technology (3.5%)                        
      Amphenol Corp.   2.800%   2/15/30     2,350       2,314  
      Analog Devices Inc.   5.300%   12/15/45     1,040       1,266  
      Apple Inc.   4.500%   2/23/36     3,700       4,487  
      Apple Inc.   3.850%   5/4/43     8,831       9,865  
      Apple Inc.   4.450%   5/6/44     3,850       4,706  
      Apple Inc.   3.450%   2/9/45     6,050       6,352  
      Apple Inc.   4.375%   5/13/45     6,707       8,074  
      Apple Inc.   4.650%   2/23/46     10,944       13,668  
      Apple Inc.   3.850%   8/4/46     6,782       7,611  
      Apple Inc.   4.250%   2/9/47     3,695       4,382  
      Apple Inc.   3.750%   9/12/47     3,349       3,693  
      Apple Inc.   3.750%   11/13/47     2,828       3,134  
      Apple Inc.   2.950%   9/11/49     4,600       4,470  
      Applied Materials Inc.   5.100%   10/1/35     1,600       2,017  
      Applied Materials Inc.   5.850%   6/15/41     2,300       3,136  
      Applied Materials Inc.   4.350%   4/1/47     2,900       3,498  
      Cisco Systems Inc.   5.900%   2/15/39     6,024       8,445  
      Cisco Systems Inc.   5.500%   1/15/40     4,550       6,196  
      Corning Inc.   4.700%   3/15/37     1,700       1,872  
      Corning Inc.   5.750%   8/15/40     1,663       2,071  
      Corning Inc.   5.350%   11/15/48     2,200       2,742  
      Corning Inc.   4.375%   11/15/57     3,370       3,393  
      Corning Inc.   5.450%   11/15/79     3,100       3,398  
3     Dell International LLC / EMC Corp.   8.100%   7/15/36     4,125       5,410  
3     Dell International LLC / EMC Corp.   8.350%   7/15/46     6,400       8,771  
      Fiserv Inc.   4.400%   7/1/49     6,150       6,973  
      Global Payments Inc.   4.150%   8/15/49     500       534  
      Hewlett Packard Enterprise Co.   6.200%   10/15/35     1,067       1,277  
      Hewlett Packard Enterprise Co.   6.350%   10/15/45     6,405       7,718  
      HP Inc.   6.000%   9/15/41     3,825       4,217  
      Intel Corp.   4.000%   12/15/32     2,647       3,065  
      Intel Corp.   4.800%   10/1/41     3,000       3,712  
      Intel Corp.   4.250%   12/15/42     725       844  
      Intel Corp.   4.900%   7/29/45     1,400       1,790  
      Intel Corp.   4.100%   5/19/46     5,238       6,021  
      Intel Corp.   4.100%   5/11/47     4,775       5,470  
      Intel Corp.   3.734%   12/8/47     6,230       6,808  
      Intel Corp.   3.250%   11/15/49     3,000       3,004  
      International Business Machines Corp.   5.875%   11/29/32     2,150       2,838  
      International Business Machines Corp.   4.150%   5/15/39     7,905       8,878  
      International Business Machines Corp.   5.600%   11/30/39     2,300       2,996  
      International Business Machines Corp.   4.000%   6/20/42     5,152       5,679  
      International Business Machines Corp.   4.250%   5/15/49     10,908       12,405  
      Juniper Networks Inc.   5.950%   3/15/41     1,280       1,440  
      KLA Corp.   5.000%   3/15/49     575       703  

 

 

96

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Lam Research Corp.   4.875%   3/15/49     3,155       3,935  
      Micron Technology Inc.   4.663%   2/15/30     2,300       2,530  
      Microsoft Corp.   3.500%   2/12/35     4,914       5,405  
      Microsoft Corp.   4.200%   11/3/35     4,009       4,729  
      Microsoft Corp.   3.450%   8/8/36     7,050       7,708  
      Microsoft Corp.   4.100%   2/6/37     7,599       8,952  
      Microsoft Corp.   4.500%   10/1/40     5,450       6,752  
      Microsoft Corp.   3.500%   11/15/42     4,975       5,402  
      Microsoft Corp.   3.750%   5/1/43     1,693       1,871  
      Microsoft Corp.   4.875%   12/15/43     1,575       2,055  
      Microsoft Corp.   3.750%   2/12/45     5,239       5,945  
      Microsoft Corp.   4.450%   11/3/45     9,074       11,303  
      Microsoft Corp.   3.700%   8/8/46     14,315       16,153  
      Microsoft Corp.   4.250%   2/6/47     6,919       8,444  
      Microsoft Corp.   4.000%   2/12/55     10,594       12,521  
      Microsoft Corp.   4.750%   11/3/55     775       1,037  
      Microsoft Corp.   3.950%   8/8/56     7,193       8,508  
      Microsoft Corp.   4.500%   2/6/57     5,725       7,410  
      Motorola Solutions Inc.   5.500%   9/1/44     1,275       1,399  
      Oracle Corp.   3.250%   5/15/30     1,304       1,384  
      Oracle Corp.   4.300%   7/8/34     5,949       6,946  
      Oracle Corp.   3.900%   5/15/35     4,366       4,856  
      Oracle Corp.   3.850%   7/15/36     2,415       2,643  
      Oracle Corp.   3.800%   11/15/37     3,741       4,074  
      Oracle Corp.   6.125%   7/8/39     5,000       6,989  
      Oracle Corp.   5.375%   7/15/40     9,747       12,632  
      Oracle Corp.   4.500%   7/8/44     2,550       3,007  
      Oracle Corp.   4.125%   5/15/45     6,600       7,417  
      Oracle Corp.   4.000%   7/15/46     9,245       10,253  
      Oracle Corp.   4.000%   11/15/47     7,050       7,873  
      Oracle Corp.   4.375%   5/15/55     3,315       3,920  
      QUALCOMM Inc.   4.650%   5/20/35     3,645       4,313  
      QUALCOMM Inc.   4.800%   5/20/45     5,281       6,456  
      QUALCOMM Inc.   4.300%   5/20/47     3,750       4,302  
      Seagate HDD Cayman   5.750%   12/1/34     1,800       1,894  
      Texas Instruments Inc.   3.875%   3/15/39     3,100       3,485  
      Texas Instruments Inc.   4.150%   5/15/48     5,000       5,908  
      Tyco Electronics Group SA   7.125%   10/1/37     1,500       2,204  
      Verisk Analytics Inc.   5.500%   6/15/45     1,175       1,448  
      Transportation (1.8%)                        
2     American Airlines 2019-1 Class AA Pass Through Trust   3.150%   8/15/33     1,000       1,015  
      Burlington Northern Santa Fe LLC   6.200%   8/15/36     1,090       1,507  
      Burlington Northern Santa Fe LLC   6.150%   5/1/37     1,670       2,345  
      Burlington Northern Santa Fe LLC   5.750%   5/1/40     2,257       3,048  
      Burlington Northern Santa Fe LLC   5.050%   3/1/41     2,112       2,623  
      Burlington Northern Santa Fe LLC   5.400%   6/1/41     1,307       1,684  
      Burlington Northern Santa Fe LLC   4.950%   9/15/41     1,375       1,682  
      Burlington Northern Santa Fe LLC   4.400%   3/15/42     3,085       3,564  
      Burlington Northern Santa Fe LLC   4.375%   9/1/42     2,480       2,880  
      Burlington Northern Santa Fe LLC   4.450%   3/15/43     3,166       3,685  
      Burlington Northern Santa Fe LLC   5.150%   9/1/43     2,010       2,562  
      Burlington Northern Santa Fe LLC   4.900%   4/1/44     1,575       1,949  
      Burlington Northern Santa Fe LLC   4.550%   9/1/44     2,893       3,449  
      Burlington Northern Santa Fe LLC   4.150%   4/1/45     3,630       4,172  
      Burlington Northern Santa Fe LLC   4.700%   9/1/45     1,867       2,274  
      Burlington Northern Santa Fe LLC   3.900%   8/1/46     2,936       3,213  
      Burlington Northern Santa Fe LLC   4.125%   6/15/47     2,943       3,325  
      Burlington Northern Santa Fe LLC   4.050%   6/15/48     1,000       1,127  
      Burlington Northern Santa Fe LLC   4.150%   12/15/48     2,015       2,300  
      Burlington Northern Santa Fe LLC   3.550%   2/15/50     1,975       2,048  
      Canadian National Railway Co.   6.250%   8/1/34     2,170       2,995  
      Canadian National Railway Co.   6.200%   6/1/36     1,332       1,839  
      Canadian National Railway Co.   6.375%   11/15/37     515       735  

 

 

97

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Canadian National Railway Co.   3.200%   8/2/46     2,575       2,617  
      Canadian National Railway Co.   3.650%   2/3/48     2,500       2,727  
      Canadian Pacific Railway Co.   7.125%   10/15/31     1,015       1,407  
      Canadian Pacific Railway Co.   5.750%   3/15/33     1,075       1,347  
      Canadian Pacific Railway Co.   4.800%   9/15/35     1,119       1,333  
      Canadian Pacific Railway Co.   5.950%   5/15/37     250       331  
      Canadian Pacific Railway Co.   4.800%   8/1/45     1,345       1,679  
      Canadian Pacific Railway Co.   6.125%   9/15/15     2,875       4,188  
      CSX Corp.   2.400%   2/15/30     1,500       1,464  
      CSX Corp.   6.000%   10/1/36     1,370       1,780  
      CSX Corp.   6.150%   5/1/37     2,630       3,483  
      CSX Corp.   6.220%   4/30/40     2,230       3,025  
      CSX Corp.   5.500%   4/15/41     2,010       2,524  
      CSX Corp.   4.750%   5/30/42     1,867       2,186  
      CSX Corp.   4.400%   3/1/43     1,275       1,422  
      CSX Corp.   4.100%   3/15/44     2,600       2,822  
      CSX Corp.   3.800%   11/1/46     2,000       2,073  
      CSX Corp.   4.300%   3/1/48     2,925       3,288  
      CSX Corp.   4.750%   11/15/48     2,456       2,969  
      CSX Corp.   4.500%   3/15/49     600       695  
      CSX Corp.   3.950%   5/1/50     1,775       1,915  
      CSX Corp.   4.500%   8/1/54     1,700       1,949  
      CSX Corp.   4.250%   11/1/66     2,060       2,202  
      CSX Corp.   4.650%   3/1/68     1,155       1,317  
      FedEx Corp.   4.900%   1/15/34     2,125       2,403  
      FedEx Corp.   3.900%   2/1/35     1,495       1,510  
      FedEx Corp.   3.875%   8/1/42     1,430       1,375  
      FedEx Corp.   4.100%   4/15/43     2,200       2,150  
      FedEx Corp.   5.100%   1/15/44     1,598       1,749  
      FedEx Corp.   4.100%   2/1/45     1,745       1,678  
      FedEx Corp.   4.750%   11/15/45     3,983       4,193  
      FedEx Corp.   4.550%   4/1/46     2,628       2,686  
      FedEx Corp.   4.400%   1/15/47     2,184       2,195  
      FedEx Corp.   4.050%   2/15/48     3,825       3,671  
      FedEx Corp.   4.950%   10/17/48     2,850       3,097  
2     JetBlue 2019-1 Class AA Pass Through Trust   2.750%   5/15/32     2,000       2,015  
      Kansas City Southern   4.300%   5/15/43     1,615       1,756  
      Kansas City Southern   4.950%   8/15/45     2,060       2,415  
      Kansas City Southern   4.700%   5/1/48     1,545       1,786  
      Kansas City Southern   4.200%   11/15/69     650       663  
      Norfolk Southern Corp.   2.550%   11/1/29     1       1  
      Norfolk Southern Corp.   7.050%   5/1/37     345       483  
      Norfolk Southern Corp.   4.837%   10/1/41     2,048       2,424  
      Norfolk Southern Corp.   3.950%   10/1/42     1,635       1,732  
      Norfolk Southern Corp.   4.450%   6/15/45     1,990       2,281  
      Norfolk Southern Corp.   4.650%   1/15/46     1,910       2,249  
      Norfolk Southern Corp.   3.942%   11/1/47     743       796  
      Norfolk Southern Corp.   4.150%   2/28/48     2,545       2,871  
      Norfolk Southern Corp.   4.100%   5/15/49     1,715       1,884  
      Norfolk Southern Corp.   3.400%   11/1/49     1,000       989  
      Norfolk Southern Corp.   4.050%   8/15/52     2,071       2,272  
      Norfolk Southern Corp.   6.000%   3/15/05     1,305       1,721  
      Norfolk Southern Corp.   5.100%   8/1/18     925       1,088  
      Union Pacific Corp.   3.375%   2/1/35     675       696  
      Union Pacific Corp.   3.600%   9/15/37     3,528       3,676  
      Union Pacific Corp.   4.375%   9/10/38     1,970       2,247  
      Union Pacific Corp.   3.550%   8/15/39     100       104  
      Union Pacific Corp.   4.300%   6/15/42     150       167  
      Union Pacific Corp.   4.250%   4/15/43     1,700       1,883  
      Union Pacific Corp.   4.150%   1/15/45     1,425       1,561  
      Union Pacific Corp.   4.050%   11/15/45     2,240       2,418  
      Union Pacific Corp.   4.050%   3/1/46     1,300       1,416  
      Union Pacific Corp.   3.350%   8/15/46     1,800       1,758  
      Union Pacific Corp.   4.000%   4/15/47     2,100       2,291  

 

 

98

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Union Pacific Corp.   4.300%   3/1/49     2,900       3,318  
      Union Pacific Corp.   3.799%   10/1/51     3,471       3,681  
      Union Pacific Corp.   3.875%   2/1/55     1,685       1,763  
      Union Pacific Corp.   4.800%   9/10/58     100       117  
3     Union Pacific Corp.   3.839%   3/20/60     4,857       4,859  
      Union Pacific Corp.   4.375%   11/15/65     1,950       2,138  
      Union Pacific Corp.   4.100%   9/15/67     2,500       2,575  
2     Union Pacific Railroad Co. 2007-3 Pass Through Trust   6.176%   1/2/31     474       554  
2     United Airlines 2018-1 Class AA Pass Through Trust   3.500%   3/1/30     2,586       2,669  
2     United Airlines 2019-1 Class AA Pass Through Trust   4.150%   8/25/31     2,200       2,374  
2     United Airlines 2019-2 Class AA Pass Through Trust   2.700%   11/1/33     1,250       1,249  
      United Parcel Service Inc.   6.200%   1/15/38     1,097       1,539  
      United Parcel Service Inc.   4.875%   11/15/40     3,145       3,821  
      United Parcel Service Inc.   3.625%   10/1/42     2,972       3,072  
      United Parcel Service Inc.   3.400%   11/15/46     1,660       1,659  
      United Parcel Service Inc.   3.750%   11/15/47     2,794       2,996  
      United Parcel Service Inc.   4.250%   3/15/49     3,495       4,042  
      United Parcel Service Inc.   3.400%   9/1/49     1,625       1,646  
      United Parcel Service of America Inc.   8.375%   4/1/30     550       776  
                            4,315,122  
Utilities (6.0%)                        
      Electric (5.4%)                        
      AEP Texas Inc.   3.800%   10/1/47     1,000       1,046  
      AEP Texas Inc.   4.150%   5/1/49     500       554  
      AEP Texas Inc.   3.450%   1/15/50     1,365       1,364  
      AEP Transmission Co. LLC   4.000%   12/1/46     1,250       1,379  
      AEP Transmission Co. LLC   3.750%   12/1/47     1,595       1,709  
      AEP Transmission Co. LLC   4.250%   9/15/48     1,085       1,244  
      AEP Transmission Co. LLC   3.800%   6/15/49     1,000       1,070  
      AEP Transmission Co. LLC   3.150%   9/15/49     1,080       1,046  
      Alabama Power Co.   6.125%   5/15/38     1,710       2,306  
      Alabama Power Co.   6.000%   3/1/39     1,563       2,168  
      Alabama Power Co.   3.850%   12/1/42     1,344       1,429  
      Alabama Power Co.   4.150%   8/15/44     1,830       2,033  
      Alabama Power Co.   3.750%   3/1/45     1,742       1,827  
      Alabama Power Co.   4.300%   1/2/46     1,675       1,906  
      Alabama Power Co.   3.700%   12/1/47     1,845       1,933  
      Alabama Power Co.   4.300%   7/15/48     1,825       2,102  
      Ameren Illinois Co.   4.150%   3/15/46     1,752       1,993  
      Ameren Illinois Co.   3.700%   12/1/47     2,570       2,723  
      Ameren Illinois Co.   4.500%   3/15/49     880       1,081  
      Ameren Illinois Co.   3.250%   3/15/50     315       318  
      Appalachian Power Co.   7.000%   4/1/38     1,468       2,056  
      Appalachian Power Co.   4.400%   5/15/44     1,460       1,641  
      Appalachian Power Co.   4.450%   6/1/45     1,208       1,381  
      Appalachian Power Co.   4.500%   3/1/49     1,075       1,247  
      Arizona Public Service Co.   5.050%   9/1/41     1,380       1,679  
      Arizona Public Service Co.   4.500%   4/1/42     1,740       2,001  
      Arizona Public Service Co.   4.350%   11/15/45     875       992  
      Arizona Public Service Co.   3.750%   5/15/46     1,445       1,503  
      Arizona Public Service Co.   4.200%   8/15/48     1,350       1,500  
      Arizona Public Service Co.   4.250%   3/1/49     750       846  
      Avista Corp.   4.350%   6/1/48     1,300       1,470  
      Baltimore Gas & Electric Co.   3.500%   8/15/46     1,775       1,812  
      Baltimore Gas & Electric Co.   3.750%   8/15/47     2,475       2,639  
      Baltimore Gas & Electric Co.   4.250%   9/15/48     1,175       1,360  
      Baltimore Gas & Electric Co.   3.200%   9/15/49     1,875       1,834  
      Berkshire Hathaway Energy Co.   6.125%   4/1/36     5,335       7,343  
      Berkshire Hathaway Energy Co.   5.950%   5/15/37     2,875       3,884  
      Berkshire Hathaway Energy Co.   5.150%   11/15/43     1,315       1,652  
      Berkshire Hathaway Energy Co.   4.500%   2/1/45     2,151       2,532  
      Berkshire Hathaway Energy Co.   3.800%   7/15/48     1,975       2,093  
      Berkshire Hathaway Energy Co.   4.450%   1/15/49     3,325       3,897  

 

 

99

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Black Hills Corp.   4.350%   5/1/33     1,900       2,082  
      Black Hills Corp.   4.200%   9/15/46     1,045       1,087  
      CenterPoint Energy Houston Electric LLC   6.950%   3/15/33     955       1,346  
      CenterPoint Energy Houston Electric LLC   3.550%   8/1/42     1,825       1,882  
      CenterPoint Energy Houston Electric LLC   4.500%   4/1/44     1,225       1,447  
      CenterPoint Energy Houston Electric LLC   3.950%   3/1/48     2,125       2,357  
      CenterPoint Energy Houston Electric LLC   4.250%   2/1/49     1,036       1,213  
      CenterPoint Energy Inc.   2.950%   3/1/30     1,350       1,327  
      CenterPoint Energy Inc.   3.700%   9/1/49     200       197  
      Cleco Corporate Holdings LLC   4.973%   5/1/46     1,175       1,302  
      Cleveland Electric Illuminating Co.   5.950%   12/15/36     1,219       1,522  
      CMS Energy Corp.   4.875%   3/1/44     1,604       1,909  
      Commonwealth Edison Co.   5.900%   3/15/36     1,970       2,609  
      Commonwealth Edison Co.   6.450%   1/15/38     1,705       2,422  
      Commonwealth Edison Co.   3.800%   10/1/42     1,550       1,662  
      Commonwealth Edison Co.   4.600%   8/15/43     1,165       1,384  
      Commonwealth Edison Co.   4.700%   1/15/44     1,450       1,749  
      Commonwealth Edison Co.   3.700%   3/1/45     1,360       1,446  
      Commonwealth Edison Co.   4.350%   11/15/45     2,345       2,722  
      Commonwealth Edison Co.   3.650%   6/15/46     2,450       2,570  
      Commonwealth Edison Co.   3.750%   8/15/47     2,175       2,348  
      Commonwealth Edison Co.   4.000%   3/1/48     3,300       3,673  
      Commonwealth Edison Co.   4.000%   3/1/49     845       950  
      Commonwealth Edison Co.   3.200%   11/15/49     500       496  
      Connecticut Light & Power Co.   4.300%   4/15/44     2,600       3,052  
      Connecticut Light & Power Co.   4.000%   4/1/48     2,445       2,801  
      Consolidated Edison Co. of New York Inc.   5.300%   3/1/35     995       1,220  
      Consolidated Edison Co. of New York Inc.   5.850%   3/15/36     870       1,131  
      Consolidated Edison Co. of New York Inc.   6.200%   6/15/36     1,320       1,774  
      Consolidated Edison Co. of New York Inc.   6.300%   8/15/37     1,805       2,483  
      Consolidated Edison Co. of New York Inc.   6.750%   4/1/38     2,275       3,252  
      Consolidated Edison Co. of New York Inc.   5.500%   12/1/39     1,550       2,008  
      Consolidated Edison Co. of New York Inc.   5.700%   6/15/40     1,080       1,414  
      Consolidated Edison Co. of New York Inc.   4.200%   3/15/42     1,135       1,259  
      Consolidated Edison Co. of New York Inc.   3.950%   3/1/43     2,000       2,161  
      Consolidated Edison Co. of New York Inc.   4.450%   3/15/44     3,649       4,201  
      Consolidated Edison Co. of New York Inc.   4.500%   12/1/45     2,000       2,333  
      Consolidated Edison Co. of New York Inc.   3.850%   6/15/46     2,725       2,923  
      Consolidated Edison Co. of New York Inc.   3.875%   6/15/47     1,750       1,888  
      Consolidated Edison Co. of New York Inc.   4.650%   12/1/48     1,505       1,829  
      Consolidated Edison Co. of New York Inc.   4.125%   5/15/49     285       322  
      Consolidated Edison Co. of New York Inc.   4.625%   12/1/54     2,151       2,571  
      Consolidated Edison Co. of New York Inc.   4.300%   12/1/56     1,900       2,137  
      Consolidated Edison Co. of New York Inc.   4.000%   11/15/57     1,275       1,345  
      Consolidated Edison Co. of New York Inc.   4.500%   5/15/58     2,275       2,631  
      Consumers Energy Co.   3.950%   5/15/43     1,405       1,556  
      Consumers Energy Co.   3.250%   8/15/46     1,850       1,837  
      Consumers Energy Co.   3.950%   7/15/47     1,135       1,275  
      Consumers Energy Co.   4.050%   5/15/48     1,314       1,504  
      Consumers Energy Co.   4.350%   4/15/49     2,225       2,686  
      Consumers Energy Co.   3.750%   2/15/50     50       55  
      Consumers Energy Co.   3.100%   8/15/50     800       802  
      Delmarva Power & Light Co.   4.150%   5/15/45     1,300       1,452  
      Dominion Energy Inc.   6.300%   3/15/33     1,000       1,300  
      Dominion Energy Inc.   5.250%   8/1/33     2,010       2,413  
      Dominion Energy Inc.   5.950%   6/15/35     1,240       1,564  
      Dominion Energy Inc.   4.900%   8/1/41     1,925       2,235  
      Dominion Energy Inc.   4.050%   9/15/42     820       859  
      Dominion Energy Inc.   4.700%   12/1/44     1,620       1,861  
      Dominion Energy Inc.   4.600%   3/15/49     1,605       1,863  
      Dominion Energy South Carolina Inc.   6.625%   2/1/32     1,000       1,348  
      Dominion Energy South Carolina Inc.   5.300%   5/15/33     1,000       1,241  
      Dominion Energy South Carolina Inc.   6.050%   1/15/38     1,775       2,388  
      Dominion Energy South Carolina Inc.   5.450%   2/1/41     1,065       1,373  

 

 

100

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

 

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Dominion Energy South Carolina Inc.   4.600%   6/15/43     1,330       1,568  
      Dominion Energy South Carolina Inc.   5.100%   6/1/65     1,215       1,578  
      DTE Electric Co.   4.000%   4/1/43     1,510       1,681  
      DTE Electric Co.   3.700%   3/15/45     2,850       3,060  
      DTE Electric Co.   3.700%   6/1/46     2,050       2,202  
      DTE Electric Co.   3.750%   8/15/47     1,450       1,577  
      DTE Electric Co.   4.050%   5/15/48     2,400       2,752  
      DTE Electric Co.   3.950%   3/1/49     200       228  
      DTE Energy Co.   2.950%   3/1/30     920       910  
      DTE Energy Co.   6.375%   4/15/33     1,005       1,310  
      Duke Energy Carolinas LLC   6.450%   10/15/32     1,078       1,471  
      Duke Energy Carolinas LLC   6.100%   6/1/37     1,756       2,378  
      Duke Energy Carolinas LLC   6.050%   4/15/38     1,205       1,653  
      Duke Energy Carolinas LLC   5.300%   2/15/40     3,165       4,074  
      Duke Energy Carolinas LLC   4.250%   12/15/41     2,020       2,300  
      Duke Energy Carolinas LLC   4.000%   9/30/42     2,475       2,726  
      Duke Energy Carolinas LLC   3.750%   6/1/45     1,700       1,814  
      Duke Energy Carolinas LLC   3.875%   3/15/46     1,650       1,828  
      Duke Energy Carolinas LLC   3.700%   12/1/47     1,950       2,087  
      Duke Energy Carolinas LLC   3.950%   3/15/48     2,000       2,210  
      Duke Energy Carolinas LLC   3.200%   8/15/49     800       789  
      Duke Energy Corp.   4.800%   12/15/45     1,875       2,214  
      Duke Energy Corp.   3.750%   9/1/46     5,599       5,719  
      Duke Energy Corp.   4.200%   6/15/49     2,000       2,186  
      Duke Energy Florida LLC   6.350%   9/15/37     1,530       2,123  
      Duke Energy Florida LLC   6.400%   6/15/38     829       1,179  
      Duke Energy Florida LLC   5.650%   4/1/40     1,400       1,839  
      Duke Energy Florida LLC   3.850%   11/15/42     1,805       1,941  
      Duke Energy Florida LLC   3.400%   10/1/46     2,175       2,202  
      Duke Energy Florida LLC   4.200%   7/15/48     1,600       1,840  
      Duke Energy Indiana LLC   6.120%   10/15/35     1,206       1,589  
      Duke Energy Indiana LLC   6.350%   8/15/38     1,915       2,690  
      Duke Energy Indiana LLC   6.450%   4/1/39     950       1,350  
      Duke Energy Indiana LLC   4.900%   7/15/43     1,680       2,077  
      Duke Energy Indiana LLC   3.750%   5/15/46     1,900       2,023  
      Duke Energy Indiana LLC   3.250%   10/1/49     500       501  
      Duke Energy Ohio Inc.   3.700%   6/15/46     1,275       1,344  
      Duke Energy Ohio Inc.   4.300%   2/1/49     1,375       1,604  
      Duke Energy Progress LLC   6.300%   4/1/38     1,055       1,456  
      Duke Energy Progress LLC   4.100%   5/15/42     1,625       1,805  
      Duke Energy Progress LLC   4.100%   3/15/43     1,245       1,386  
      Duke Energy Progress LLC   4.375%   3/30/44     925       1,073  
      Duke Energy Progress LLC   4.150%   12/1/44     1,914       2,144  
      Duke Energy Progress LLC   4.200%   8/15/45     2,739       3,097  
      Duke Energy Progress LLC   3.700%   10/15/46     1,681       1,770  
      Duke Energy Progress LLC   3.600%   9/15/47     1,700       1,770  
      El Paso Electric Co.   6.000%   5/15/35     725       887  
      El Paso Electric Co.   5.000%   12/1/44     1,424       1,667  
      Emera US Finance LP   4.750%   6/15/46     2,943       3,397  
      Entergy Arkansas LLC   4.200%   4/1/49     50       58  
      Entergy Louisiana LLC   3.050%   6/1/31     1,105       1,130  
      Entergy Louisiana LLC   4.000%   3/15/33     2,703       3,034  
      Entergy Louisiana LLC   4.950%   1/15/45     1,491       1,606  
      Entergy Louisiana LLC   4.200%   9/1/48     2,100       2,423  
      Entergy Louisiana LLC   4.200%   4/1/50     645       749  
      Entergy Mississippi LLC   3.850%   6/1/49     1,400       1,520  
      Entergy Texas Inc.   4.500%   3/30/39     500       571  
      Entergy Texas Inc.   3.550%   9/30/49     1,850       1,886  
      Exelon Corp.   4.950%   6/15/35     1,035       1,193  
      Exelon Corp.   5.625%   6/15/35     1,993       2,460  
      Exelon Corp.   5.100%   6/15/45     1,617       1,936  
      Exelon Corp.   4.450%   4/15/46     2,182       2,461  
      Exelon Generation Co. LLC   6.250%   10/1/39     306       370  
      Exelon Generation Co. LLC   5.600%   6/15/42     3,353       3,741  

 

 

101

 

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      FirstEnergy Corp.   7.375%   11/15/31     4,786       6,731  
      FirstEnergy Corp.   4.850%   7/15/47     4,106       4,874  
      Florida Power & Light Co.   5.625%   4/1/34     1,779       2,332  
      Florida Power & Light Co.   4.950%   6/1/35     1,005       1,230  
      Florida Power & Light Co.   5.650%   2/1/37     1,343       1,793  
      Florida Power & Light Co.   5.950%   2/1/38     2,140       2,929  
      Florida Power & Light Co.   5.960%   4/1/39     1,830       2,575  
      Florida Power & Light Co.   5.690%   3/1/40     1,415       1,913  
      Florida Power & Light Co.   5.250%   2/1/41     1,650       2,129  
      Florida Power & Light Co.   4.125%   2/1/42     1,975       2,242  
      Florida Power & Light Co.   4.050%   6/1/42     2,067       2,327  
      Florida Power & Light Co.   3.800%   12/15/42     1,705       1,874  
      Florida Power & Light Co.   4.050%   10/1/44     1,582       1,811  
      Florida Power & Light Co.   3.700%   12/1/47     1,200       1,321  
      Florida Power & Light Co.   3.950%   3/1/48     2,235       2,527  
      Florida Power & Light Co.   4.125%   6/1/48     2,100       2,437  
      Florida Power & Light Co.   3.990%   3/1/49     1,000       1,140  
      Florida Power & Light Co.   3.150%   10/1/49     2,250       2,242  
      Georgia Power Co.   4.750%   9/1/40     2,570       2,910  
      Georgia Power Co.   4.300%   3/15/42     2,385       2,582  
      Georgia Power Co.   4.300%   3/15/43     1,210       1,305  
      Iberdrola International BV   6.750%   7/15/36     1,565       2,163  
      Indiana Michigan Power Co.   6.050%   3/15/37     1,590       2,089  
      Indiana Michigan Power Co.   4.550%   3/15/46     1,830       2,130  
      Indiana Michigan Power Co.   3.750%   7/1/47     1,915       2,001  
      Indiana Michigan Power Co.   4.250%   8/15/48     825       938  
      Interstate Power & Light Co.   6.250%   7/15/39     1,764       2,319  
      Interstate Power & Light Co.   3.700%   9/15/46     650       663  
      ITC Holdings Corp.   5.300%   7/1/43     1,425       1,738  
2     John Sevier Combined Cycle Generation LLC   4.626%   1/15/42     2,520       2,931  
      Kansas City Power & Light Co.   5.300%   10/1/41     1,275       1,609  
      Kansas City Power & Light Co.   4.200%   6/15/47     810       929  
      Kansas City Power & Light Co.   4.200%   3/15/48     1,300       1,493  
      Kansas City Power & Light Co.   4.125%   4/1/49     1,175       1,347  
      Kentucky Utilities Co.   5.125%   11/1/40     2,565       3,191  
      Kentucky Utilities Co.   4.375%   10/1/45     1,425       1,649  
      Louisville Gas & Electric Co.   4.250%   4/1/49     2,455       2,798  
      MidAmerican Energy Co.   6.750%   12/30/31     865       1,205  
      MidAmerican Energy Co.   5.750%   11/1/35     955       1,254  
      MidAmerican Energy Co.   5.800%   10/15/36     655       862  
      MidAmerican Energy Co.   4.800%   9/15/43     1,415       1,729  
      MidAmerican Energy Co.   4.400%   10/15/44     1,320       1,550  
      MidAmerican Energy Co.   4.250%   5/1/46     1,569       1,853  
      MidAmerican Energy Co.   3.950%   8/1/47     1,625       1,801  
      MidAmerican Energy Co.   3.650%   8/1/48     2,274       2,452  
      MidAmerican Energy Co.   4.250%   7/15/49     2,296       2,752  
      Mississippi Power Co.   4.250%   3/15/42     1,325       1,412  
      National Rural Utilities Cooperative Finance Corp.   8.000%   3/1/32     1,125       1,660  
      National Rural Utilities Cooperative Finance Corp.   4.023%   11/1/32     2,950       3,325  
      National Rural Utilities Cooperative Finance Corp.   4.400%   11/1/48     1,500       1,786  
      National Rural Utilities Cooperative Finance Corp.   4.300%   3/15/49     2,000       2,373  
      Nevada Power Co.   6.650%   4/1/36     775       1,062  
      Nevada Power Co.   6.750%   7/1/37     970       1,369  
      Northern States Power Co.   6.250%   6/1/36     900       1,235  
      Northern States Power Co.   6.200%   7/1/37     1,250       1,729  
      Northern States Power Co.   5.350%   11/1/39     1,150       1,497  
      Northern States Power Co.   4.125%   5/15/44     1,100       1,267  
      Northern States Power Co.   4.000%   8/15/45     1,910       2,119  
      Northern States Power Co.   3.600%   5/15/46     1,475       1,556  
      Northern States Power Co.   2.900%   3/1/50     2,050       1,955  
      NorthWestern Corp.   4.176%   11/15/44     1,480       1,627  
      NSTAR Electric Co.   5.500%   3/15/40     1,290       1,646  
      NSTAR Electric Co.   4.400%   3/1/44     810       933  
      Oglethorpe Power Corp.   5.950%   11/1/39     1,165       1,453  

 

102

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Oglethorpe Power Corp.   5.375%   11/1/40     1,830       2,207  
      Oglethorpe Power Corp.   5.250%   9/1/50     440       527  
      Ohio Edison Co.   6.875%   7/15/36     1,360       1,898  
      Ohio Power Co.   4.150%   4/1/48     1,410       1,607  
      Ohio Power Co.   4.000%   6/1/49     1,525       1,713  
      Oklahoma Gas & Electric Co.   4.150%   4/1/47     1,000       1,081  
      Oklahoma Gas & Electric Co.   3.850%   8/15/47     1,220       1,265  
      Oncor Electric Delivery Co. LLC   7.000%   5/1/32     1,570       2,230  
      Oncor Electric Delivery Co. LLC   7.250%   1/15/33     1,140       1,657  
      Oncor Electric Delivery Co. LLC   7.500%   9/1/38     1,023       1,603  
      Oncor Electric Delivery Co. LLC   5.250%   9/30/40     1,440       1,837  
      Oncor Electric Delivery Co. LLC   4.550%   12/1/41     1,270       1,497  
      Oncor Electric Delivery Co. LLC   5.300%   6/1/42     1,665       2,159  
      Oncor Electric Delivery Co. LLC   3.750%   4/1/45     1,870       2,033  
      Oncor Electric Delivery Co. LLC   3.800%   9/30/47     1,080       1,188  
      Oncor Electric Delivery Co. LLC   4.100%   11/15/48     1,500       1,739  
      Oncor Electric Delivery Co. LLC   3.800%   6/1/49     1,625       1,778  
      Oncor Electric Delivery Co. LLC   3.100%   9/15/49     1,250       1,237  
      PacifiCorp   7.700%   11/15/31     1,000       1,470  
      PacifiCorp   5.250%   6/15/35     1,240       1,528  
      PacifiCorp   6.100%   8/1/36     670       900  
      PacifiCorp   5.750%   4/1/37     2,028       2,649  
      PacifiCorp   6.250%   10/15/37     1,649       2,309  
      PacifiCorp   6.350%   7/15/38     1,165       1,635  
      PacifiCorp   6.000%   1/15/39     2,400       3,270  
      PacifiCorp   4.100%   2/1/42     960       1,064  
      PacifiCorp   4.125%   1/15/49     2,115       2,410  
      PacifiCorp   4.150%   2/15/50     2,000       2,294  
      PECO Energy Co.   5.950%   10/1/36     1,140       1,539  
      PECO Energy Co.   3.700%   9/15/47     150       160  
      PECO Energy Co.   3.900%   3/1/48     1,400       1,551  
      PECO Energy Co.   3.000%   9/15/49     500       476  
      Potomac Electric Power Co.   6.500%   11/15/37     2,120       2,995  
      Potomac Electric Power Co.   4.150%   3/15/43     2,540       2,849  
      PPL Capital Funding Inc.   4.700%   6/1/43     1,281       1,419  
      PPL Capital Funding Inc.   5.000%   3/15/44     1,049       1,204  
      PPL Capital Funding Inc.   4.000%   9/15/47     1,050       1,068  
      PPL Electric Utilities Corp.   6.250%   5/15/39     565       789  
      PPL Electric Utilities Corp.   4.750%   7/15/43     150       180  
      PPL Electric Utilities Corp.   4.125%   6/15/44     870       972  
      PPL Electric Utilities Corp.   4.150%   10/1/45     1,525       1,715  
      PPL Electric Utilities Corp.   3.950%   6/1/47     2,100       2,301  
      PPL Electric Utilities Corp.   4.150%   6/15/48     1,800       2,057  
      Progress Energy Inc.   7.750%   3/1/31     2,315       3,236  
      Progress Energy Inc.   7.000%   10/30/31     125       169  
      Progress Energy Inc.   6.000%   12/1/39     1,725       2,238  
      PSEG Power LLC   8.625%   4/15/31     1,840       2,562  
      Public Service Co. of Colorado   6.500%   8/1/38     500       718  
      Public Service Co. of Colorado   3.600%   9/15/42     1,980       2,080  
      Public Service Co. of Colorado   4.300%   3/15/44     1,075       1,251  
      Public Service Co. of Colorado   3.800%   6/15/47     2,150       2,363  
      Public Service Co. of Colorado   4.100%   6/15/48     2,075       2,359  
      Public Service Co. of Colorado   4.050%   9/15/49     1,880       2,142  
      Public Service Co. of New Hampshire   3.600%   7/1/49     1,000       1,056  
      Public Service Electric & Gas Co.   5.800%   5/1/37     1,648       2,178  
      Public Service Electric & Gas Co.   3.950%   5/1/42     1,485       1,639  
      Public Service Electric & Gas Co.   3.650%   9/1/42     1,870       1,977  
      Public Service Electric & Gas Co.   3.800%   3/1/46     2,272       2,475  
      Public Service Electric & Gas Co.   3.600%   12/1/47     1,235       1,324  
      Public Service Electric & Gas Co.   4.050%   5/1/48     1,000       1,155  
      Public Service Electric & Gas Co.   3.850%   5/1/49     1,500       1,668  
      Puget Sound Energy Inc.   6.274%   3/15/37     995       1,343  
      Puget Sound Energy Inc.   5.757%   10/1/39     1,111       1,472  
      Puget Sound Energy Inc.   5.795%   3/15/40     800       1,067  

 

103

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Puget Sound Energy Inc.   5.638%   4/15/41     1,015       1,314  
      Puget Sound Energy Inc.   4.300%   5/20/45     1,685       1,943  
      Puget Sound Energy Inc.   4.223%   6/15/48     2,025       2,297  
      Puget Sound Energy Inc.   3.250%   9/15/49     1,300       1,296  
      San Diego Gas & Electric Co.   6.000%   6/1/39     560       717  
      San Diego Gas & Electric Co.   4.500%   8/15/40     1,810       2,004  
      San Diego Gas & Electric Co.   3.750%   6/1/47     1,910       1,949  
      San Diego Gas & Electric Co.   4.150%   5/15/48     1,350       1,478  
      Southern California Edison Co.   6.000%   1/15/34     1,185       1,470  
      Southern California Edison Co.   5.750%   4/1/35     1,070       1,300  
      Southern California Edison Co.   5.350%   7/15/35     1,095       1,299  
      Southern California Edison Co.   5.625%   2/1/36     2,015       2,444  
      Southern California Edison Co.   5.550%   1/15/37     690       829  
      Southern California Edison Co.   5.950%   2/1/38     1,240       1,577  
      Southern California Edison Co.   6.050%   3/15/39     1,475       1,922  
      Southern California Edison Co.   5.500%   3/15/40     330       401  
      Southern California Edison Co.   4.500%   9/1/40     1,605       1,754  
      Southern California Edison Co.   4.050%   3/15/42     3,240       3,341  
      Southern California Edison Co.   3.900%   3/15/43     1,825       1,856  
      Southern California Edison Co.   4.650%   10/1/43     1,840       2,063  
      Southern California Edison Co.   3.600%   2/1/45     1,815       1,768  
      Southern California Edison Co.   4.000%   4/1/47     4,320       4,513  
      Southern California Edison Co.   4.125%   3/1/48     4,240       4,485  
      Southern California Edison Co.   4.875%   3/1/49     2,325       2,739  
      Southern Co.   4.250%   7/1/36     1,725       1,856  
      Southern Co.   4.400%   7/1/46     3,101       3,427  
      Southern Power Co.   5.150%   9/15/41     1,145       1,301  
      Southern Power Co.   5.250%   7/15/43     1,055       1,196  
      Southern Power Co.   4.950%   12/15/46     1,400       1,541  
      Southwestern Electric Power Co.   6.200%   3/15/40     810       1,069  
      Southwestern Electric Power Co.   3.900%   4/1/45     1,290       1,332  
      Southwestern Electric Power Co.   3.850%   2/1/48     1,355       1,393  
      Southwestern Public Service Co.   4.500%   8/15/41     1,196       1,395  
      Southwestern Public Service Co.   3.400%   8/15/46     2,400       2,392  
      Southwestern Public Service Co.   3.700%   8/15/47     1,025       1,072  
      Southwestern Public Service Co.   4.400%   11/15/48     1,650       1,925  
      Southwestern Public Service Co.   3.750%   6/15/49     825       879  
      Tampa Electric Co.   4.100%   6/15/42     1,325       1,442  
      Tampa Electric Co.   4.350%   5/15/44     685       775  
      Tampa Electric Co.   4.300%   6/15/48     1,500       1,737  
      Tampa Electric Co.   4.450%   6/15/49     575       681  
      Tampa Electric Co.   3.625%   6/15/50     900       953  
      Toledo Edison Co.   6.150%   5/15/37     685       925  
      Tucson Electric Power Co.   4.850%   12/1/48     1,205       1,470  
      Union Electric Co.   5.300%   8/1/37     1,490       1,853  
      Union Electric Co.   8.450%   3/15/39     1,240       2,021  
      Union Electric Co.   3.900%   9/15/42     1,600       1,731  
      Union Electric Co.   3.650%   4/15/45     1,035       1,084  
      Union Electric Co.   4.000%   4/1/48     1,200       1,344  
      Virginia Electric & Power Co.   6.000%   1/15/36     1,635       2,136  
      Virginia Electric & Power Co.   6.000%   5/15/37     2,280       3,021  
      Virginia Electric & Power Co.   6.350%   11/30/37     1,525       2,110  
      Virginia Electric & Power Co.   8.875%   11/15/38     1,845       3,109  
      Virginia Electric & Power Co.   4.000%   1/15/43     2,425       2,636  
      Virginia Electric & Power Co.   4.650%   8/15/43     1,510       1,812  
      Virginia Electric & Power Co.   4.450%   2/15/44     2,051       2,376  
      Virginia Electric & Power Co.   4.200%   5/15/45     1,023       1,165  
      Virginia Electric & Power Co.   4.000%   11/15/46     1,849       2,030  
      Virginia Electric & Power Co.   3.800%   9/15/47     1,825       1,973  
      Virginia Electric & Power Co.   4.600%   12/1/48     2,050       2,488  
      Virginia Electric & Power Co.   3.300%   12/1/49     1,665       1,678  
      Westar Energy Inc.   4.125%   3/1/42     1,305       1,454  
      Westar Energy Inc.   4.100%   4/1/43     1,865       2,076  
      Westar Energy Inc.   4.250%   12/1/45     1,530       1,742  

 

104

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Wisconsin Electric Power Co.   5.625%   5/15/33     605       773  
      Wisconsin Electric Power Co.   5.700%   12/1/36     725       945  
      Wisconsin Electric Power Co.   4.300%   10/15/48     1,050       1,211  
      Wisconsin Power & Light Co.   6.375%   8/15/37     890       1,212  
      Wisconsin Public Service Corp.   3.671%   12/1/42     1,415       1,478  
      Wisconsin Public Service Corp.   4.752%   11/1/44     1,619       1,975  
      Xcel Energy Inc.   6.500%   7/1/36     500       682  
      Xcel Energy Inc.   3.500%   12/1/49     425       433  
      Natural Gas (0.5%)                        
      Atmos Energy Corp.   5.500%   6/15/41     1,425       1,832  
      Atmos Energy Corp.   4.150%   1/15/43     2,010       2,250  
      Atmos Energy Corp.   4.125%   10/15/44     4,255       4,770  
      Atmos Energy Corp.   4.125%   3/15/49     900       1,034  
      Atmos Energy Corp.   3.375%   9/15/49     500       505  
      CenterPoint Energy Resources Corp.   5.850%   1/15/41     969       1,222  
      CenterPoint Energy Resources Corp.   4.100%   9/1/47     1,100       1,151  
      KeySpan Corp.   5.803%   4/1/35     1,000       1,209  
      NiSource Finance Corp.   5.950%   6/15/41     1,535       1,961  
      NiSource Finance Corp.   5.250%   2/15/43     2,250       2,724  
      NiSource Finance Corp.   4.800%   2/15/44     2,175       2,494  
      NiSource Finance Corp.   5.650%   2/1/45     1,050       1,341  
      NiSource Finance Corp.   4.375%   5/15/47     3,555       3,966  
      NiSource Finance Corp.   3.950%   3/30/48     1,352       1,420  
      ONE Gas Inc.   4.658%   2/1/44     2,000       2,385  
      ONE Gas Inc.   4.500%   11/1/48     900       1,072  
      Piedmont Natural Gas Co. Inc.   4.650%   8/1/43     850       959  
      Piedmont Natural Gas Co. Inc.   3.640%   11/1/46     1,075       1,062  
      Sempra Energy   3.800%   2/1/38     3,055       3,180  
      Sempra Energy   6.000%   10/15/39     2,626       3,410  
      Sempra Energy   4.000%   2/1/48     3,135       3,255  
      Southern California Gas Co.   5.125%   11/15/40     225       271  
      Southern California Gas Co.   3.750%   9/15/42     1,550       1,618  
      Southern California Gas Co.   4.125%   6/1/48     1,450       1,601  
      Southern California Gas Co.   4.300%   1/15/49     600       679  
      Southern California Gas Co.   3.950%   2/15/50     1,100       1,232  
      Southern Co. Gas Capital Corp.   5.875%   3/15/41     2,420       3,049  
      Southern Co. Gas Capital Corp.   4.400%   6/1/43     1,580       1,714  
      Southern Co. Gas Capital Corp.   3.950%   10/1/46     975       996  
      Southern Co. Gas Capital Corp.   4.400%   5/30/47     1,450       1,585  
      Southwest Gas Corp.   3.800%   9/29/46     1,000       1,024  
      Southwest Gas Corp.   4.150%   6/1/49     875       957  
      Washington Gas Light Co.   3.796%   9/15/46     1,000       1,041  
      Washington Gas Light Co.   3.650%   9/15/49     550       553  
      Other Utility (0.1%)                        
      American Water Capital Corp.   6.593%   10/15/37     1,953       2,772  
      American Water Capital Corp.   4.300%   12/1/42     1,300       1,456  
      American Water Capital Corp.   4.300%   9/1/45     1,150       1,306  
      American Water Capital Corp.   4.000%   12/1/46     425       460  
      American Water Capital Corp.   3.750%   9/1/47     2,176       2,288  
      American Water Capital Corp.   4.200%   9/1/48     2,850       3,213  
      American Water Capital Corp.   4.150%   6/1/49     1,730       1,938  
      Aqua America Inc.   4.276%   5/1/49     1,400       1,553  
      Veolia Environnement SA   6.750%   6/1/38     522       719  
                            745,350  

Total Corporate Bonds (Cost $5,415,623)

                    6,109,802  

Sovereign Bonds (4.2%)

                       
      CNOOC Finance 2013 Ltd.   4.250%   5/9/43     2,575       2,855  
      CNOOC Finance 2013 Ltd.   3.300%   9/30/49     1,250       1,182  
      CNOOC Finance 2015 Australia Pty Ltd.   4.200%   5/5/45     500       556  
      CNOOC Nexen Finance 2014 ULC   4.875%   4/30/44     1,945       2,377  
      Ecopetrol SA   7.375%   9/18/43     2,525       3,409  

 

105

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Ecopetrol SA   5.875%   5/28/45     6,799       7,989  
      Equinor ASA   5.100%   8/17/40     4,319       5,504  
      Equinor ASA   4.250%   11/23/41     2,275       2,633  
      Equinor ASA   3.950%   5/15/43     3,520       3,923  
      Equinor ASA   4.800%   11/8/43     2,940       3,705  
      Equinor ASA   3.250%   11/18/49     1,500       1,506  
      European Investment Bank   4.875%   2/15/36     3,390       4,549  
      Hydro-Quebec   9.375%   4/15/30     1,322       2,054  
      Inter-American Development Bank   3.875%   10/28/41     1,580       1,938  
      Inter-American Development Bank   3.200%   8/7/42     1,536       1,715  
      Inter-American Development Bank   4.375%   1/24/44     958       1,267  
      International Bank for Reconstruction & Development   4.750%   2/15/35     1,225       1,597  
4     KFW   0.000%   4/18/36     4,595       3,136  
4     KFW   0.000%   6/29/37     3,690       2,457  
      Nexen Energy ULC   7.875%   3/15/32     1,550       2,235  
      Nexen Energy ULC   5.875%   3/10/35     2,069       2,629  
      Nexen Energy ULC   6.400%   5/15/37     1,630       2,242  
      Nexen Energy ULC   7.500%   7/30/39     3,039       4,724  
2     Oriental Republic of Uruguay   4.375%   1/23/31     1,950       2,182  
2     Oriental Republic of Uruguay   7.625%   3/21/36     3,690       5,461  
2     Oriental Republic of Uruguay   4.125%   11/20/45     2,750       2,953  
2     Oriental Republic of Uruguay   5.100%   6/18/50     11,770       14,153  
2     Oriental Republic of Uruguay   4.975%   4/20/55     7,540       8,878  
3     Petroleos Mexicanos   6.840%   1/23/30     12,461       13,343  
      Petroleos Mexicanos   6.625%   6/15/35     8,417       8,554  
      Petroleos Mexicanos   6.625%   6/15/38     2,450       2,397  
      Petroleos Mexicanos   6.500%   6/2/41     4,246       4,216  
      Petroleos Mexicanos   5.500%   6/27/44     2,725       2,433  
      Petroleos Mexicanos   6.375%   1/23/45     5,685       5,488  
      Petroleos Mexicanos   5.625%   1/23/46     5,931       5,336  
      Petroleos Mexicanos   6.750%   9/21/47     18,512       18,524  
      Petroleos Mexicanos   6.350%   2/12/48     9,405       9,073  
3     Petroleos Mexicanos   7.690%   1/23/50     22,753       24,837  
      Province of British Columbia   7.250%   9/1/36     990       1,551  
      Republic of Chile   3.625%   10/30/42     3,200       3,444  
      Republic of Chile   3.860%   6/21/47     3,145       3,490  
2     Republic of Chile   3.500%   1/25/50     3,150       3,264  
      Republic of Colombia   10.375%   1/28/33     2,000       3,215  
      Republic of Colombia   7.375%   9/18/37     4,602       6,549  
      Republic of Colombia   6.125%   1/18/41     8,625       11,098  
2     Republic of Colombia   5.625%   2/26/44     8,565       10,563  
2     Republic of Colombia   5.000%   6/15/45     14,085       16,259  
      Republic of Colombia   5.200%   5/15/49     3,050       3,639  
      Republic of Hungary   7.625%   3/29/41     3,928       6,433  
      Republic of Indonesia   4.350%   1/11/48     6,530       7,224  
      Republic of Indonesia   5.350%   2/11/49     3,450       4,447  
      Republic of Indonesia   3.700%   10/30/49     2,700       2,740  
      Republic of Italy   5.375%   6/15/33     4,003       4,585  
      Republic of Italy   4.000%   10/17/49     8,050       7,635  
      Republic of Korea   4.125%   6/10/44     4,138       5,030  
      Republic of Korea   3.875%   9/20/48     1,499       1,786  
2     Republic of Panama   3.160%   1/23/30     500       515  
2     Republic of Panama   6.700%   1/26/36     6,461       9,053  
2     Republic of Panama   4.500%   5/15/47     5,010       5,962  
2     Republic of Panama   4.500%   4/16/50     5,157       6,111  
2     Republic of Panama   4.300%   4/29/53     5,250       6,123  
2     Republic of Panama   3.870%   7/23/60     1,950       2,096  
      Republic of Peru   2.844%   6/20/30     1,925       1,991  
      Republic of Peru   8.750%   11/21/33     6,225       10,265  
2     Republic of Peru   6.550%   3/14/37     4,492       6,562  
      Republic of Peru   5.625%   11/18/50     7,516       10,904  
      Republic of the Philippines   9.500%   2/2/30     5,692       9,079  
      Republic of the Philippines   7.750%   1/14/31     5,875       8,680  
      Republic of the Philippines   6.375%   1/15/32     3,375       4,594  

 

106

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Republic of the Philippines   6.375%   10/23/34     6,383       9,064  
      Republic of the Philippines   5.000%   1/13/37     3,875       4,945  
      Republic of the Philippines   3.950%   1/20/40     6,077       6,933  
      Republic of the Philippines   3.700%   3/1/41     4,722       5,348  
      Republic of the Philippines   3.700%   2/2/42     6,315       7,114  
      State of Israel   4.500%   1/30/43     5,520       6,574  
      State of Israel   4.125%   1/17/48     3,125       3,566  
      United Mexican States   8.300%   8/15/31     2,950       4,365  
      United Mexican States   7.500%   4/8/33     2,407       3,393  
      United Mexican States   6.750%   9/27/34     7,447       10,169  
      United Mexican States   6.050%   1/11/40     9,549       12,372  
      United Mexican States   4.750%   3/8/44     20,106       22,136  
      United Mexican States   5.550%   1/21/45     4,845       5,937  
      United Mexican States   4.600%   1/23/46     9,601       10,350  
      United Mexican States   4.350%   1/15/47     4,578       4,793  
      United Mexican States   4.600%   2/10/48     7,482       8,119  
2     United Mexican States   4.500%   1/31/50     3,600       3,894  
      United Mexican States   5.750%   10/12/10     5,570       6,551  

Total Sovereign Bonds (Cost $467,009)

                    514,520  

Taxable Municipal Bonds (3.3%)

                       
      Alameda County CA Joint Powers Authority Lease Revenue   7.046%   12/1/44     1,025       1,612  
      American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects)   6.449%   2/15/44     755       1,051  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   7.834%   2/15/41     645       1,009  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   6.053%   2/15/43     550       763  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   5.939%   2/15/47     1,760       2,428  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   6.270%   2/15/50     450       601  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   8.084%   2/15/50     2,070       3,544  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   6.918%   4/1/40     1,095       1,603  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   6.263%   4/1/49     3,675       5,613  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   7.043%   4/1/50     2,790       4,529  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   6.907%   10/1/50     1,715       2,768  
      California GO   7.700%   11/1/30     1,260       1,320  
      California GO   4.500%   4/1/33     2,575       2,896  
      California GO   7.500%   4/1/34     7,080       10,661  
      California GO   7.950%   3/1/36     1,450       1,464  
      California GO   4.600%   4/1/38     1,925       2,133  
      California GO   7.550%   4/1/39     6,495       10,418  
      California GO   7.300%   10/1/39     5,405       8,254  
      California GO   7.350%   11/1/39     1,700       2,611  
      California GO   7.625%   3/1/40     4,165       6,669  
      California GO   7.600%   11/1/40     9,585       15,822  
      California State University Systemwide Revenue   3.899%   11/1/47     1,000       1,094  
      Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue   5.491%   11/1/39     800       1,052  
      Chicago IL GO   7.045%   1/1/29     800       878  
      Chicago IL GO   7.375%   1/1/33     1,000       1,198  
      Chicago IL GO   5.432%   1/1/42     900       929  
      Chicago IL GO   6.314%   1/1/44     1,200       1,364  
      Chicago IL Metropolitan Water Reclamation District GO   5.720%   12/1/38     2,045       2,676  
      Chicago IL O'Hare International Airport Revenue   6.395%   1/1/40     950       1,366  
      Chicago IL O'Hare International Airport Revenue   4.472%   1/1/49     300       362  

 

107

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Chicago IL Transit Authority Sales Tax Receipts Revenue   6.200%   12/1/40     1,450       1,898  
      Chicago IL Transit Authority Transfer Tax Receipts Revenue   6.899%   12/1/40     5,150       6,957  
      Clark County NV Airport System Revenue   6.820%   7/1/45     1,450       2,285  
      Commonwealth Financing Authority Pennsylvania Revenue   4.014%   6/1/33     1,300       1,434  
      Commonwealth Financing Authority Pennsylvania Revenue   3.864%   6/1/38     1,000       1,073  
      Commonwealth Financing Authority Pennsylvania Revenue   3.807%   6/1/41     975       1,039  
      Connecticut GO   5.632%   12/1/29     1,500       1,821  
      Connecticut GO   5.090%   10/1/30     750       863  
      Connecticut GO   5.850%   3/15/32     2,550       3,284  
      Cook County IL GO   6.229%   11/15/34     1,050       1,374  
      Dallas County TX Hospital District Revenue   5.621%   8/15/44     850       1,120  
      Dallas TX Area Rapid Transit Revenue   5.999%   12/1/44     1,445       2,059  
      Dallas TX Area Rapid Transit Revenue   5.022%   12/1/48     1,515       2,003  
      Dallas TX Convention Center Hotel Development Corp. Hotel Revenue   7.088%   1/1/42     1,665       2,311  
      Dallas TX Independent School District GO   6.450%   2/15/35     1,495       1,570  
      Dallas-Fort Worth TX International Airport Revenue   2.994%   11/1/38     950       938  
      Dallas-Fort Worth TX International Airport Revenue   3.144%   11/1/45     1,375       1,361  
      District of Columbia Income Tax Revenue   5.591%   12/1/34     1,000       1,239  
      District of Columbia Water & Sewer Authority Public Utility Revenue   4.814%   10/1/14     1,275       1,675  
      East Bay CA Municipal Utility District Water System Revenue   5.874%   6/1/40     1,325       1,818  
      George Washington University   4.300%   9/15/44     2,265       2,621  
      George Washington University   4.868%   9/15/45     200       250  
      George Washington University   4.126%   9/15/48     2,525       2,909  
      Georgia Municipal Electric Power Authority Revenue   6.637%   4/1/57     3,855       5,191  
      Georgia Municipal Electric Power Authority Revenue   6.655%   4/1/57     3,148       4,336  
      Georgia Municipal Electric Power Authority Revenue   7.055%   4/1/57     845       1,142  
      Grand Parkway Transportation Corp. Texas System Toll Revenue   5.184%   10/1/42     875       1,121  
      Houston TX GO   6.290%   3/1/32     2,570       3,099  
      Houston TX GO   3.961%   3/1/47     950       1,050  
      Illinois GO   5.100%   6/1/33     24,365       26,266  
      Illinois GO   6.630%   2/1/35     1,770       2,075  
      Illinois GO   6.725%   4/1/35     1,500       1,761  
      Illinois GO   7.350%   7/1/35     855       1,038  
      Illinois Toll Highway Authority Revenue   6.184%   1/1/34     1,670       2,217  
      JobsOhio Beverage System Statewide Liquor Profits Revenue   4.532%   1/1/35     1,050       1,231  
      Kansas Department of Transportation Highway Revenue   4.596%   9/1/35     1,075       1,270  
      Los Angeles CA Community College District GO   6.750%   8/1/49     2,140       3,513  
      Los Angeles CA Department of Water & Power Revenue   5.716%   7/1/39     1,025       1,379  
      Los Angeles CA Department of Water & Power Revenue   6.166%   7/1/40     625       638  
      Los Angeles CA Department of Water & Power Revenue   6.574%   7/1/45     1,575       2,462  
      Los Angeles CA Department of Water & Power Revenue   6.603%   7/1/50     1,625       2,608  
      Los Angeles CA Unified School District GO   5.750%   7/1/34     4,120       5,276  
      Los Angeles CA Unified School District GO   6.758%   7/1/34     3,065       4,225  
      Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue   5.735%   6/1/39     1,800       2,324  
      Los Angeles County CA Public Works Financing Authority Lease Revenue   7.618%   8/1/40     700       1,085  
      Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue   6.250%   5/15/43     895       1,293  

 

108

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Maryland Transportation Authority Facilities Projects Revenue   5.888%   7/1/43     850       1,134  
      Massachusetts GO   4.500%   8/1/31     1,200       1,391  
      Massachusetts GO   5.456%   12/1/39     3,035       3,939  
      Massachusetts GO   2.813%   9/1/43     1,320       1,256  
      Massachusetts GO   2.900%   9/1/49     1,250       1,180  
      Massachusetts School Building Authority Dedicated Sales Tax Revenue   5.715%   8/15/39     1,405       1,855  
      Massachusetts School Building Authority Dedicated Sales Tax Revenue   3.395%   10/15/40     950       950  
      Massachusetts Transportation Fund Revenue   5.731%   6/1/40     1,240       1,619  
      Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue   6.731%   7/1/43     1,000       1,429  
      Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue   7.462%   10/1/46     1,330       2,143  
      Miami-Dade County FL Aviation Revenue (Miami International Airport)   4.280%   10/1/41     1,605       1,718  
      Michigan Finance Authority Revenue (Trinity Health Credit Group)   3.084%   12/1/34     925       921  
      Michigan Finance Authority Revenue (Trinity Health Credit Group)   3.384%   12/1/40     1,650       1,646  
      Mississippi GO   5.245%   11/1/34     1,100       1,365  
      Missouri Health & Educational Facilities Authority Revenue (Washington University)   3.652%   8/15/57     1,400       1,471  
      New Jersey Transportation Trust Fund Authority Transportation Program Revenue   4.081%   6/15/39     2,275       2,266  
      New Jersey Transportation Trust Fund Authority Transportation Program Revenue   4.131%   6/15/42     1,450       1,438  
      New Jersey Transportation Trust Fund Authority Transportation System Revenue   6.561%   12/15/40     1,910       2,521  
      New Jersey Turnpike Authority Revenue   7.414%   1/1/40     2,464       3,865  
      New Jersey Turnpike Authority Revenue   7.102%   1/1/41     6,260       9,547  
      New York City NY GO   5.206%   10/1/31     1,070       1,268  
      New York City NY GO   6.646%   12/1/31     400       417  
      New York City NY GO   6.246%   6/1/35     1,075       1,092  
      New York City NY GO   5.517%   10/1/37     1,175       1,509  
      New York City NY GO   6.271%   12/1/37     1,450       2,012  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.750%   6/15/41     975       1,366  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.790%   6/15/41     170       173  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.790%   6/15/41     680       691  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.724%   6/15/42     1,030       1,452  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.952%   6/15/42     800       1,154  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   6.011%   6/15/42     1,480       2,145  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.440%   6/15/43     1,460       2,007  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.882%   6/15/44     1,645       2,396  
      New York City NY Transitional Finance Authority Future Tax Revenue   5.267%   5/1/27     20       24  
      New York City NY Transitional Finance Authority Future Tax Revenue   5.767%   8/1/36     1,525       1,895  
      New York City NY Transitional Finance Authority Future Tax Revenue   5.508%   8/1/37     1,715       2,176  
      New York City NY Transitional Finance Authority Future Tax Revenue   5.572%   11/1/38     1,150       1,452  
      New York Metropolitan Transportation Authority Revenue   6.814%   11/15/40     540       767  

 

109

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)   7.336%   11/15/39     2,150       3,364  
      New York Metropolitan Transportation Authority Revenue (Transit Revenue)   5.871%   11/15/39     700       901  
      New York Metropolitan Transportation Authority Revenue (Transit Revenue)   6.668%   11/15/39     2,615       3,711  
      New York State Dormitory Authority Revenue   3.142%   7/1/43     350       347  
      New York State Dormitory Authority Revenue (Personal Income Tax)   5.427%   3/15/39     500       610  
      New York State Dormitory Authority Revenue (Personal Income Tax)   5.628%   3/15/39     1,830       2,251  
      New York State Dormitory Authority Revenue (Personal Income Tax)   5.600%   3/15/40     1,320       1,671  
      New York State Thruway Authority   2.900%   1/1/35     900       897  
      New York State Thruway Authority   3.500%   1/1/42     1,100       1,096  
      New York State Urban Development Corp. Revenue (Personal Income Tax)   3.900%   3/15/33     1,275       1,370  
      New York State Urban Development Corp. Revenue (Personal Income Tax)   5.770%   3/15/39     1,675       2,031  
      North Texas Tollway Authority System Revenue   6.718%   1/1/49     2,835       4,448  
      NYU Langone Hospitals   5.750%   7/1/43     925       1,228  
      Ohio State University General Receipts Revenue   4.910%   6/1/40     2,175       2,772  
      Ohio State University General Receipts Revenue   3.798%   12/1/46     1,150       1,276  
      Ohio State University General Receipts Revenue   4.800%   6/1/11     1,782       2,259  
      Ohio Water Development Authority Water Pollution Control Loan Fund Revenue   4.879%   12/1/34     1,125       1,313  
      Oregon Department of Transportation Highway User Tax Revenue   5.834%   11/15/34     1,180       1,572  
      Pennsylvania Turnpike Commission Revenue   5.511%   12/1/45     1,110       1,466  
      Port Authority of New York & New Jersey Revenue   5.647%   11/1/40     1,695       2,263  
      Port Authority of New York & New Jersey Revenue   5.647%   11/1/40     1,625       2,169  
      Port Authority of New York & New Jersey Revenue   4.960%   8/1/46     2,375       3,068  
      Port Authority of New York & New Jersey Revenue   5.310%   8/1/46     875       969  
      Port Authority of New York & New Jersey Revenue   4.031%   9/1/48     675       762  
      Port Authority of New York & New Jersey Revenue   4.926%   10/1/51     1,220       1,580  
      Port Authority of New York & New Jersey Revenue   4.458%   10/1/62     7,095       8,696  
      Port Authority of New York & New Jersey Revenue   4.810%   10/15/65     1,575       1,984  
      Port Authority of New York & New Jersey Revenue   3.287%   8/1/69     1,635       1,555  
      Princeton University   5.700%   3/1/39     2,215       3,073  
      Regional Transportation District of Colorado Sales Tax Revenue   5.844%   11/1/50     1,010       1,465  
      Rutgers State University New Jersey Revenue   5.665%   5/1/40     1,185       1,545  
      Rutgers State University New Jersey Revenue   3.915%   5/1/19     700       689  
      Rutgers The State University of New Jersey   3.270%   5/1/43     400       396  
      Sales Tax Securitization Corp. Illinois Revenue   3.587%   1/1/43     2,190       2,159  
      Sales Tax Securitization Corp. Illinois Revenue   3.820%   1/1/48     1,050       1,058  
      Sales Tax Securitization Corp. Illinois Revenue   4.787%   1/1/48     1,650       1,917  
      Salt River Project Arizona Agricultural Improvement & Power District Revenue   4.839%   1/1/41     1,520       1,891  
      San Antonio TX Electric & Gas Systems Revenue   5.985%   2/1/39     850       1,170  
      San Antonio TX Electric & Gas Systems Revenue   5.808%   2/1/41     1,450       1,994  
      San Antonio TX Electric & Gas Systems Revenue   4.427%   2/1/42     1,225       1,420  
      San Diego County CA Regional Transportation Commission Sales Tax Revenue   5.911%   4/1/48     1,015       1,465  
      San Diego County CA Water Authority Revenue   6.138%   5/1/49     2,000       2,838  
      San Francisco CA City & County Public Utilities Commission Water Revenue   6.950%   11/1/50     1,440       2,189  
      San Jose California Redevelopment Agency Successor Agency Tax Allocation   3.375%   8/1/34     1,350       1,388  
      Santa Clara Valley CA Transportation Authority Sales Tax Revenue   5.876%   4/1/32     1,500       1,834  
      South Carolina Public Service Authority Revenue   6.454%   1/1/50     1,300       1,912  
      Texas GO   5.517%   4/1/39     3,290       4,441  
      Texas GO   3.211%   4/1/44     1,300       1,313  

 

110

 

 

Vanguard® Long-Term Bond Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Texas Transportation Commission Revenue   5.178%   4/1/30     3,800       4,575  
      Texas Transportation Commission Revenue   4.681%   4/1/40     950       1,163  
      University of California Regents Medical Center Revenue   6.548%   5/15/48     1,350       1,949  
      University of California Regents Medical Center Revenue   6.583%   5/15/49     1,075       1,548  
      University of California Revenue   4.601%   5/15/31     1,000       1,143  
      University of California Revenue   5.770%   5/15/43     2,890       3,830  
      University of California Revenue   4.131%   5/15/45     1,500       1,649  
      University of California Revenue   5.946%   5/15/45     1,275       1,709  
      University of California Revenue   4.858%   5/15/12     2,675       3,298  
      University of Nebraska Student Fee Revenue   3.037%   10/1/49     600       580  
      University of Pittsburgh-of the Commonwealth System of Higher Education   3.555%   9/15/19     1,475       1,430  
      University of Southern California   5.250%   10/1/11     1,000       1,408  
      University of Texas Permanent University Fund Revenue   3.376%   7/1/47     1,190       1,254  
      University of Texas Revenue   3.354%   8/15/47     1,000       1,042  
      University of Texas System Revenue Financing System Revenue   4.794%   8/15/46     1,075       1,333  
      University of Virginia Revenue   4.179%   9/1/17     1,025       1,211  
      Washington GO   5.140%   8/1/40     1,285       1,640  
      Wisconsin Annual Appropriation Revenue   3.954%   5/1/36     1,650       1,764  
Total Taxable Municipal Bonds (Cost $339,452)                    

413,152

 
                         
                   

Shares

         
Temporary Cash Investment (0.2%)                        
Money Market Fund (0.2%)                        
5   Vanguard Market Liquidity Fund (Cost $25,308)   1.816%         253,053       25,308  
Total Investments (99.3%) (Cost $11,031,388)                  

12,326,887

 
Other Assets and Liabilities—Net (0.7%)                    

85,050

 
Net Assets (100%)                    

12,411,937

 

 
1 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $164,716,000, representing 1.3% of net assets.
4 Guaranteed by the Federal Republic of Germany.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  GO—General Obligation Bond.

 

111

 

 

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

 

SNA3140 022020

 

 

 

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
U.S. Government and Agency Obligations (65.5%)                      
U.S. Government Securities (42.0%)                      
      United States Treasury Note/Bond   8.500%   2/15/20     15,275       15,390  
      United States Treasury Note/Bond   8.750%   5/15/20     70       72  
      United States Treasury Note/Bond   1.500%   8/15/20     4       4  
      United States Treasury Note/Bond   8.750%   8/15/20     192,190       200,327  
      United States Treasury Note/Bond   2.625%   8/31/20     3       3  
      United States Treasury Note/Bond   2.750%   9/30/20     41       41  
      United States Treasury Note/Bond   1.625%   10/15/20     2       2  
      United States Treasury Note/Bond   1.375%   10/31/20     2       2  
      United States Treasury Note/Bond   1.750%   10/31/20     2       2  
      United States Treasury Note/Bond   2.875%   10/31/20     43       43  
      United States Treasury Note/Bond   2.625%   11/15/20     4       4  
      United States Treasury Note/Bond   2.750%   11/30/20     11       11  
      United States Treasury Note/Bond   1.875%   12/15/20     97,985       98,200  
      United States Treasury Note/Bond   2.500%   12/31/20     5       5  
      United States Treasury Note/Bond   2.000%   1/15/21     601,018       603,176  
      United States Treasury Note/Bond   1.375%   1/31/21     467,607       466,218  
      United States Treasury Note/Bond   2.125%   1/31/21     114,586       115,159  
      United States Treasury Note/Bond   2.500%   1/31/21     277,518       280,032  
      United States Treasury Note/Bond   2.250%   2/15/21     482,194       485,357  
      United States Treasury Note/Bond   3.625%   2/15/21     470,391       480,608  
      United States Treasury Note/Bond   7.875%   2/15/21     209,734       223,990  
      United States Treasury Note/Bond   1.125%   2/28/21     148,979       148,094  
      United States Treasury Note/Bond   2.000%   2/28/21     420,083       421,855  
      United States Treasury Note/Bond   2.500%   2/28/21     223,389       225,587  
      United States Treasury Note/Bond   2.375%   3/15/21     608,208       613,341  
      United States Treasury Note/Bond   1.250%   3/31/21     751,288       747,764  
      United States Treasury Note/Bond   2.250%   3/31/21     553,069       557,217  
      United States Treasury Note/Bond   2.375%   4/15/21     445,074       449,315  
      United States Treasury Note/Bond   1.375%   4/30/21     192,710       192,109  
      United States Treasury Note/Bond   2.250%   4/30/21     469,139       473,023  
      United States Treasury Note/Bond   2.625%   5/15/21     524,973       532,107  
      United States Treasury Note/Bond   3.125%   5/15/21     396,010       403,994  
      United States Treasury Note/Bond   8.125%   5/15/21     110       120  
      United States Treasury Note/Bond   1.375%   5/31/21     725,253       722,874  
      United States Treasury Note/Bond   2.000%   5/31/21     263,914       265,315  
      United States Treasury Note/Bond   2.125%   5/31/21     223,443       225,014  
      United States Treasury Note/Bond   2.625%   6/15/21     361,111       366,304  
      United States Treasury Note/Bond   1.125%   6/30/21     363,189       360,636  
      United States Treasury Note/Bond   1.625%   6/30/21     270,938       270,981  
      United States Treasury Note/Bond   2.125%   6/30/21     344,450       347,088  
      United States Treasury Note/Bond   2.625%   7/15/21     321,986       326,916  
      United States Treasury Note/Bond   1.125%   7/31/21     557,810       553,537  
      United States Treasury Note/Bond   1.750%   7/31/21     372,818       373,634  
      United States Treasury Note/Bond   2.250%   7/31/21     249,925       252,384  
1     United States Treasury Note/Bond   2.125%   8/15/21     113,948       114,873  
      United States Treasury Note/Bond   2.750%   8/15/21     741,294       754,615  
      United States Treasury Note/Bond   8.125%   8/15/21     35,690       39,376  
      United States Treasury Note/Bond   1.125%   8/31/21     227,781       225,965  
      United States Treasury Note/Bond   1.500%   8/31/21     97,350       97,183  
      United States Treasury Note/Bond   2.000%   8/31/21     408,715       411,335  
      United States Treasury Note/Bond   2.750%   9/15/21     524,387       534,382  
      United States Treasury Note/Bond   1.125%   9/30/21     627,836       622,638  
      United States Treasury Note/Bond   1.500%   9/30/21     174,676       174,376  
      United States Treasury Note/Bond   2.125%   9/30/21     365,066       368,260  
      United States Treasury Note/Bond   2.875%   10/15/21     284,148       290,453  
      United States Treasury Note/Bond   1.250%   10/31/21     607,894       604,095  
      United States Treasury Note/Bond   1.500%   10/31/21     505,672       504,883  
      United States Treasury Note/Bond   2.000%   10/31/21     278,940       280,946  
      United States Treasury Note/Bond   2.000%   11/15/21     331,482       334,021  
      United States Treasury Note/Bond   2.875%   11/15/21     771,193       789,270  
      United States Treasury Note/Bond   1.500%   11/30/21     66,686       66,582  

 

1

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United States Treasury Note/Bond   1.750%   11/30/21     132,807       133,180  
      United States Treasury Note/Bond   1.875%   11/30/21     207,760       208,896  
      United States Treasury Note/Bond   2.625%   12/15/21     254,123       259,086  
      United States Treasury Note/Bond   1.625%   12/31/21     164,145       164,324  
      United States Treasury Note/Bond   2.000%   12/31/21     12,380       12,477  
      United States Treasury Note/Bond   2.125%   12/31/21     193,135       195,097  
      United States Treasury Note/Bond   2.500%   1/15/22     553,972       563,755  
      United States Treasury Note/Bond   1.500%   1/31/22     228,760       228,367  
      United States Treasury Note/Bond   1.875%   1/31/22     435,482       437,929  
      United States Treasury Note/Bond   2.000%   2/15/22     273,916       276,099  
      United States Treasury Note/Bond   2.500%   2/15/22     626,278       638,021  
      United States Treasury Note/Bond   1.750%   2/28/22     964,382       967,545  
      United States Treasury Note/Bond   1.875%   2/28/22     531,386       534,543  
      United States Treasury Note/Bond   2.375%   3/15/22     878,400       893,227  
      United States Treasury Note/Bond   1.750%   3/31/22     215,000       215,740  
      United States Treasury Note/Bond   1.875%   3/31/22     474,650       477,541  
      United States Treasury Note/Bond   2.250%   4/15/22     783,400       794,665  
      United States Treasury Note/Bond   1.750%   4/30/22     240,880       241,709  
      United States Treasury Note/Bond   1.875%   4/30/22     372,882       375,213  
      United States Treasury Note/Bond   1.750%   5/15/22     25,000       25,082  
      United States Treasury Note/Bond   2.125%   5/15/22     630,008       637,587  
      United States Treasury Note/Bond   1.750%   5/31/22     982,325       985,852  
      United States Treasury Note/Bond   1.875%   5/31/22     207,115       208,474  
      United States Treasury Note/Bond   1.750%   6/15/22     668,810       671,211  
      United States Treasury Note/Bond   1.750%   6/30/22     295,289       296,396  
      United States Treasury Note/Bond   2.125%   6/30/22     227,735       230,652  
      United States Treasury Note/Bond   1.750%   7/15/22     264,747       265,658  
      United States Treasury Note/Bond   1.875%   7/31/22     507,257       510,585  
      United States Treasury Note/Bond   2.000%   7/31/22     227,600       229,840  
      United States Treasury Note/Bond   1.500%   8/15/22     755,098       753,090  
      United States Treasury Note/Bond   1.625%   8/15/22     261,980       262,103  
      United States Treasury Note/Bond   7.250%   8/15/22     3,014       3,447  
      United States Treasury Note/Bond   1.625%   8/31/22     416,750       416,879  
      United States Treasury Note/Bond   1.875%   8/31/22     293,813       295,834  
      United States Treasury Note/Bond   1.500%   9/15/22     206,742       206,161  
      United States Treasury Note/Bond   1.750%   9/30/22     363,140       364,444  
      United States Treasury Note/Bond   1.875%   9/30/22     459,345       462,648  
      United States Treasury Note/Bond   1.375%   10/15/22     862,560       856,902  
      United States Treasury Note/Bond   1.875%   10/31/22     354,240       356,677  
      United States Treasury Note/Bond   2.000%   10/31/22     604,025       610,349  
      United States Treasury Note/Bond   1.625%   11/15/22     808,480       808,731  
      United States Treasury Note/Bond   2.000%   11/30/22     665,725       672,795  
      United States Treasury Note/Bond   1.625%   12/15/22     689,585       689,909  
      United States Treasury Note/Bond   2.125%   12/31/22     807,125       818,982  
      United States Treasury Note/Bond   1.750%   1/31/23     302,602       303,737  
      United States Treasury Note/Bond   2.375%   1/31/23     472,400       483,029  
      United States Treasury Note/Bond   2.000%   2/15/23     70,831       71,617  
      United States Treasury Note/Bond   7.125%   2/15/23     163,535       190,953  
      United States Treasury Note/Bond   1.500%   2/28/23     322,416       321,107  
      United States Treasury Note/Bond   2.625%   2/28/23     319,461       329,195  
      United States Treasury Note/Bond   1.500%   3/31/23     485,850       483,877  
      United States Treasury Note/Bond   2.500%   3/31/23     485,701       498,907  
      United States Treasury Note/Bond   1.625%   4/30/23     108,332       108,265  
      United States Treasury Note/Bond   2.750%   4/30/23     234,973       243,380  
      United States Treasury Note/Bond   1.750%   5/15/23     763,728       766,233  
      United States Treasury Note/Bond   1.625%   5/31/23     367,450       367,277  
      United States Treasury Note/Bond   2.750%   5/31/23     186,365       193,121  
      United States Treasury Note/Bond   1.375%   6/30/23     275,345       272,850  
      United States Treasury Note/Bond   2.625%   6/30/23     254,388       262,854  
      United States Treasury Note/Bond   1.250%   7/31/23     165,261       162,937  
      United States Treasury Note/Bond   2.750%   7/31/23     355,760       369,268  
      United States Treasury Note/Bond   2.500%   8/15/23     511,760       526,872  
      United States Treasury Note/Bond   6.250%   8/15/23     208,228       241,707  
      United States Treasury Note/Bond   1.375%   8/31/23     278,085       275,390  

 

2

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United States Treasury Note/Bond   2.750%   8/31/23     625,966       650,122  
      United States Treasury Note/Bond   1.375%   9/30/23     327,230       323,856  
      United States Treasury Note/Bond   2.875%   9/30/23     390,104       407,233  
      United States Treasury Note/Bond   1.625%   10/31/23     202,790       202,474  
      United States Treasury Note/Bond   2.875%   10/31/23     390,246       407,624  
      United States Treasury Note/Bond   2.750%   11/15/23     275,962       287,045  
      United States Treasury Note/Bond   2.125%   11/30/23     393,035       399,791  
      United States Treasury Note/Bond   2.875%   11/30/23     261,591       273,444  
      United States Treasury Note/Bond   2.250%   12/31/23     110,858       113,335  
      United States Treasury Note/Bond   2.625%   12/31/23     132,471       137,335  
      United States Treasury Note/Bond   2.250%   1/31/24     194,225       198,595  
      United States Treasury Note/Bond   2.500%   1/31/24     778,645       803,951  
      United States Treasury Note/Bond   2.750%   2/15/24     589,749       614,813  
      United States Treasury Note/Bond   2.125%   2/29/24     583,624       594,018  
      United States Treasury Note/Bond   2.375%   2/29/24     510,641       524,842  
      United States Treasury Note/Bond   2.125%   3/31/24     962,029       979,461  
      United States Treasury Note/Bond   2.000%   4/30/24     300,822       304,769  
      United States Treasury Note/Bond   2.250%   4/30/24     666,576       682,201  
      United States Treasury Note/Bond   2.500%   5/15/24     672,918       695,838  
      United States Treasury Note/Bond   2.000%   5/31/24     1,092,454       1,106,787  
      United States Treasury Note/Bond   1.750%   6/30/24     391,554       392,533  
      United States Treasury Note/Bond   2.000%   6/30/24     419,533       425,037  
      United States Treasury Note/Bond   1.750%   7/31/24     270,514       271,234  
      United States Treasury Note/Bond   2.125%   7/31/24     254,475       259,246  
      United States Treasury Note/Bond   2.375%   8/15/24     491,390       506,053  
      United States Treasury Note/Bond   1.250%   8/31/24     478,544       469,121  
      United States Treasury Note/Bond   1.875%   8/31/24     306,793       309,238  
      United States Treasury Note/Bond   1.500%   9/30/24     208,503       206,679  
      United States Treasury Note/Bond   2.125%   9/30/24     482,058       491,400  
      United States Treasury Note/Bond   1.500%   10/31/24     575,721       570,683  
      United States Treasury Note/Bond   2.250%   10/31/24     282,595       289,835  
      United States Treasury Note/Bond   2.250%   11/15/24     606,889       622,346  
      United States Treasury Note/Bond   7.500%   11/15/24     1,325       1,681  
      United States Treasury Note/Bond   1.500%   11/30/24     980,256       971,836  
      United States Treasury Note/Bond   2.125%   11/30/24     610,580       622,602  
      United States Treasury Note/Bond   1.750%   12/31/24     450,730       451,929  
      United States Treasury Note/Bond   2.250%   12/31/24     487,345       500,060  
      United States Treasury Note/Bond   2.500%   1/31/25     212,880       221,063  
      United States Treasury Note/Bond   2.000%   2/15/25     339,129       343,897  
      United States Treasury Note/Bond   7.625%   2/15/25     2,112       2,721  
      United States Treasury Note/Bond   2.750%   2/28/25     278,661       292,856  
      United States Treasury Note/Bond   2.625%   3/31/25     335,621       350,778  
      United States Treasury Note/Bond   2.875%   4/30/25     208,494       220,611  
      United States Treasury Note/Bond   2.125%   5/15/25     975,222       994,424  
      United States Treasury Note/Bond   2.875%   5/31/25     255,590       270,527  
      United States Treasury Note/Bond   2.750%   6/30/25     251,462       264,704  
      United States Treasury Note/Bond   2.875%   7/31/25     293,610       311,136  
      United States Treasury Note/Bond   2.000%   8/15/25     680,570       689,288  
      United States Treasury Note/Bond   6.875%   8/15/25     48,414       61,652  
      United States Treasury Note/Bond   2.750%   8/31/25     350,365       369,089  
      United States Treasury Note/Bond   3.000%   9/30/25     359,032       383,267  
      United States Treasury Note/Bond   3.000%   10/31/25     204,006       217,872  
      United States Treasury Note/Bond   2.250%   11/15/25     742,427       762,034  
      United States Treasury Note/Bond   2.875%   11/30/25     275,005       291,934  
      United States Treasury Note/Bond   2.625%   12/31/25     360,095       377,369  
      United States Treasury Note/Bond   2.625%   1/31/26     539,960       565,943  
      United States Treasury Note/Bond   1.625%   2/15/26     776,005       768,245  
      United States Treasury Note/Bond   2.500%   2/28/26     351,250       365,683  
      United States Treasury Note/Bond   2.250%   3/31/26     463,185       475,635  
      United States Treasury Note/Bond   2.375%   4/30/26     354,170       366,346  
      United States Treasury Note/Bond   1.625%   5/15/26     1,024,825       1,013,459  
      United States Treasury Note/Bond   2.125%   5/31/26     322,175       328,367  
      United States Treasury Note/Bond   1.875%   6/30/26     323,405       324,670  
      United States Treasury Note/Bond   1.875%   7/31/26     302,795       303,837  

 

3

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United States Treasury Note/Bond   1.500%   8/15/26     637,414       624,468  
      United States Treasury Note/Bond   6.750%   8/15/26     32,360       42,346  
      United States Treasury Note/Bond   1.375%   8/31/26     465,567       452,475  
      United States Treasury Note/Bond   1.625%   9/30/26     436,425       430,900  
      United States Treasury Note/Bond   1.625%   10/31/26     215,019       212,129  
      United States Treasury Note/Bond   2.000%   11/15/26     522,821       528,373  
      United States Treasury Note/Bond   6.500%   11/15/26     50,779       66,148  
      United States Treasury Note/Bond   1.625%   11/30/26     607,440       599,276  
      United States Treasury Note/Bond   1.750%   12/31/26     206,585       205,424  
      United States Treasury Note/Bond   2.250%   2/15/27     748,740       769,098  
      United States Treasury Note/Bond   2.375%   5/15/27     452,574       469,052  
      United States Treasury Note/Bond   2.250%   8/15/27     508,974       522,971  
      United States Treasury Note/Bond   6.375%   8/15/27     33,585       44,395  
      United States Treasury Note/Bond   2.250%   11/15/27     813,084       835,696  
      United States Treasury Note/Bond   2.750%   2/15/28     667,601       711,409  
      United States Treasury Note/Bond   2.875%   5/15/28     755,131       812,710  
      United States Treasury Note/Bond   2.875%   8/15/28     940,238       1,013,257  
      United States Treasury Note/Bond   5.500%   8/15/28     39,225       50,459  
      United States Treasury Note/Bond   3.125%   11/15/28     866,900       953,053  
      United States Treasury Note/Bond   5.250%   11/15/28     45,485       57,887  
      United States Treasury Note/Bond   2.625%   2/15/29     697,211       738,828  
      United States Treasury Note/Bond   5.250%   2/15/29     51,485       65,820  
      United States Treasury Note/Bond   2.375%   5/15/29     787,767       818,789  
      United States Treasury Note/Bond   1.625%   8/15/29     829,659       808,137  
      United States Treasury Note/Bond   6.125%   8/15/29     75,855       103,921  
      United States Treasury Note/Bond   1.750%   11/15/29     648,146       638,320  
      United States Treasury Note/Bond   6.250%   5/15/30     131,653       185,054  
      United States Treasury Note/Bond   5.375%   2/15/31     387,305       519,593  
      United States Treasury Note/Bond   4.500%   2/15/36     219,911       291,692  
      United States Treasury Note/Bond   4.750%   2/15/37     35,000       48,158  
      United States Treasury Note/Bond   5.000%   5/15/37     59,400       84,079  
      United States Treasury Note/Bond   4.375%   2/15/38     55,118       73,307  
      United States Treasury Note/Bond   4.500%   5/15/38     5,613       7,585  
      United States Treasury Note/Bond   3.500%   2/15/39     147,956       177,338  
      United States Treasury Note/Bond   4.250%   5/15/39     109,385       143,943  
      United States Treasury Note/Bond   4.500%   8/15/39     120,862       164,033  
      United States Treasury Note/Bond   4.375%   11/15/39     186,056       248,965  
      United States Treasury Note/Bond   4.625%   2/15/40     260,527       360,220  
      United States Treasury Note/Bond   4.375%   5/15/40     209,735       281,603  
      United States Treasury Note/Bond   3.875%   8/15/40     172,672       217,648  
      United States Treasury Note/Bond   4.250%   11/15/40     319,132       422,502  
      United States Treasury Note/Bond   4.750%   2/15/41     208,930       294,788  
      United States Treasury Note/Bond   4.375%   5/15/41     183,418       247,299  
      United States Treasury Note/Bond   3.750%   8/15/41     54,325       67,448  
      United States Treasury Note/Bond   3.125%   11/15/41     78,330       88,868  
      United States Treasury Note/Bond   3.125%   2/15/42     190,872       216,550  
      United States Treasury Note/Bond   3.000%   5/15/42     183,799       204,533  
      United States Treasury Note/Bond   2.750%   8/15/42     515,324       550,351  
      United States Treasury Note/Bond   2.750%   11/15/42     648,150       691,900  
      United States Treasury Note/Bond   3.125%   2/15/43     324,938       368,603  
      United States Treasury Note/Bond   2.875%   5/15/43     512,230       558,331  
      United States Treasury Note/Bond   3.625%   8/15/43     394,910       484,443  
      United States Treasury Note/Bond   3.750%   11/15/43     388,181       485,649  
      United States Treasury Note/Bond   3.625%   2/15/44     554,922       682,382  
      United States Treasury Note/Bond   3.375%   5/15/44     384,981       455,783  
      United States Treasury Note/Bond   3.125%   8/15/44     529,475       602,606  
      United States Treasury Note/Bond   3.000%   11/15/44     375,027       418,271  
      United States Treasury Note/Bond   2.500%   2/15/45     450,359       459,857  
      United States Treasury Note/Bond   3.000%   5/15/45     559,279       624,820  
1     United States Treasury Note/Bond   2.875%   8/15/45     403,828       441,562  
      United States Treasury Note/Bond   3.000%   11/15/45     176,185       197,107  
      United States Treasury Note/Bond   2.500%   2/15/46     429,975       439,112  
      United States Treasury Note/Bond   2.500%   5/15/46     776,992       793,379  
      United States Treasury Note/Bond   2.250%   8/15/46     445,311       432,855  

 

4

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United States Treasury Note/Bond   2.875%   11/15/46     656,620       720,332  
      United States Treasury Note/Bond   3.000%   2/15/47     117,835       132,417  
      United States Treasury Note/Bond   3.000%   5/15/47     192,429       216,182  
      United States Treasury Note/Bond   2.750%   8/15/47     413,136       443,088  
      United States Treasury Note/Bond   2.750%   11/15/47     460,604       493,924  
      United States Treasury Note/Bond   3.000%   2/15/48     667,611       750,435  
      United States Treasury Note/Bond   3.125%   5/15/48     558,044       642,448  
      United States Treasury Note/Bond   3.000%   8/15/48     561,717       632,724  
      United States Treasury Note/Bond   3.375%   11/15/48     368,844       444,977  
      United States Treasury Note/Bond   3.000%   2/15/49     577,056       650,988  
      United States Treasury Note/Bond   2.875%   5/15/49     710,393       783,322  
      United States Treasury Note/Bond   2.250%   8/15/49     574,414       557,451  
      United States Treasury Note/Bond   2.375%   11/15/49     576,400       574,688  
                            104,398,374  
Agency Bonds and Notes (1.1%)                      
2     AID-Iraq   2.149%   1/18/22     10,900       10,982  
2     AID-Israel   5.500%   9/18/23     542       614  
2     AID-Israel   5.500%   12/4/23     4,768       5,432  
2     AID-Israel   5.500%   4/26/24     20,405       23,493  
2     AID-Jordan   2.578%   6/30/22     3,400       3,460  
2     AID-Jordan   3.000%   6/30/25     5,200       5,409  
2     AID-Tunisia   2.452%   7/24/21     3,275       3,308  
2     AID-Tunisia   1.416%   8/5/21     3,860       3,841  
2     AID-Ukraine   1.471%   9/29/21     10,100       10,052  
      Federal Farm Credit Banks   2.550%   3/11/21     19,925       20,145  
      Federal Farm Credit Banks   2.230%   4/5/21     19,900       20,048  
      Federal Farm Credit Banks   3.050%   11/15/21     7,650       7,849  
      Federal Farm Credit Banks   1.600%   12/28/21     13,500       13,492  
      Federal Farm Credit Banks   2.600%   1/18/22     6,000       6,117  
      Federal Farm Credit Banks   1.770%   6/26/23     8,000       8,031  
      Federal Farm Credit Banks   3.500%   12/20/23     5,000       5,343  
      Federal Home Loan Banks   1.375%   2/18/21     24,475       24,414  
      Federal Home Loan Banks   2.250%   6/11/21     30,750       31,021  
      Federal Home Loan Banks   5.625%   6/11/21     19,450       20,553  
      Federal Home Loan Banks   1.875%   7/7/21     45,140       45,305  
      Federal Home Loan Banks   1.125%   7/14/21     61,790       61,320  
      Federal Home Loan Banks   3.000%   10/12/21     77,000       78,842  
      Federal Home Loan Banks   1.625%   11/19/21     38,030       38,027  
      Federal Home Loan Banks   1.875%   11/29/21     73,000       73,336  
      Federal Home Loan Banks   1.625%   12/20/21     50,200       50,196  
      Federal Home Loan Banks   2.125%   6/10/22     9,900       10,012  
      Federal Home Loan Banks   2.000%   9/9/22     12,975       13,094  
      Federal Home Loan Banks   2.125%   3/10/23     27,720       28,123  
      Federal Home Loan Banks   2.500%   2/13/24     57,095       58,846  
      Federal Home Loan Banks   2.875%   6/14/24     40,400       42,347  
      Federal Home Loan Banks   1.500%   8/15/24     19,950       19,726  
      Federal Home Loan Banks   5.375%   8/15/24     24,750       28,709  
      Federal Home Loan Banks   2.875%   9/13/24     14,985       15,739  
      Federal Home Loan Banks   3.250%   11/16/28     83,325       91,119  
      Federal Home Loan Banks   5.500%   7/15/36     19,780       27,780  
3     Federal Home Loan Mortgage Corp.   2.375%   2/16/21     62,000       62,533  
3     Federal Home Loan Mortgage Corp.   1.125%   8/12/21     25,000       24,800  
3     Federal Home Loan Mortgage Corp.   2.375%   1/13/22     200,749       203,730  
3     Federal Home Loan Mortgage Corp.   2.750%   6/19/23     50,000       51,837  
3     Federal Home Loan Mortgage Corp.   6.750%   9/15/29     39,781       55,731  
3     Federal Home Loan Mortgage Corp.   6.750%   3/15/31     90,654       131,079  
3     Federal Home Loan Mortgage Corp.   6.250%   7/15/32     9,129       13,112  
3     Federal National Mortgage Assn.   1.375%   2/26/21     32,145       32,063  
3     Federal National Mortgage Assn.   2.500%   4/13/21     44,150       44,635  
3     Federal National Mortgage Assn.   2.750%   6/22/21     29,488       29,967  
3     Federal National Mortgage Assn.   1.250%   8/17/21     129,945       129,158  
3     Federal National Mortgage Assn.   1.375%   10/7/21     60,000       59,736  
3     Federal National Mortgage Assn.   2.000%   1/5/22     103,000       103,753  
3     Federal National Mortgage Assn.   2.625%   1/11/22     35,992       36,704  

 

5

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3     Federal National Mortgage Assn.   1.875%   4/5/22     22,275       22,396  
3     Federal National Mortgage Assn.   2.250%   4/12/22     23,810       24,139  
3     Federal National Mortgage Assn.   1.375%   9/6/22     20,300       20,155  
3     Federal National Mortgage Assn.   2.000%   10/5/22     18,525       18,700  
3     Federal National Mortgage Assn.   2.375%   1/19/23     33,510       34,225  
3     Federal National Mortgage Assn.   2.875%   9/12/23     23,000       23,993  
3     Federal National Mortgage Assn.   2.500%   2/5/24     90,320       93,076  
3     Federal National Mortgage Assn.   1.750%   7/2/24     26,717       26,724  
3     Federal National Mortgage Assn.   2.625%   9/6/24     121,385       126,221  
3     Federal National Mortgage Assn.   1.625%   10/15/24     29,170       28,984  
3     Federal National Mortgage Assn.   2.125%   4/24/26     34,025       34,486  
3     Federal National Mortgage Assn.   1.875%   9/24/26     48,275       48,150  
3     Federal National Mortgage Assn.   6.250%   5/15/29     4,745       6,403  
3     Federal National Mortgage Assn.   7.125%   1/15/30     26,389       38,097  
3     Federal National Mortgage Assn.   7.250%   5/15/30     47,677       70,006  
3     Federal National Mortgage Assn.   6.625%   11/15/30     24,700       35,158  
3     Federal National Mortgage Assn.   5.625%   7/15/37     7,765       11,167  
      Private Export Funding Corp.   4.300%   12/15/21     10,975       11,524  
      Private Export Funding Corp.   2.800%   5/15/22     2,625       2,686  
      Private Export Funding Corp.   2.050%   11/15/22     8,335       8,376  
      Private Export Funding Corp.   3.550%   1/15/24     4,200       4,458  
      Private Export Funding Corp.   2.450%   7/15/24     8,300       8,470  
      Private Export Funding Corp.   1.750%   11/15/24     4,050       4,028  
      Private Export Funding Corp.   3.250%   6/15/25     2,475       2,629  
      Resolution Funding Corp.   8.625%   1/15/30     110       172  
      Tennessee Valley Authority   3.875%   2/15/21     12,915       13,211  
      Tennessee Valley Authority   1.875%   8/15/22     7,300       7,316  
      Tennessee Valley Authority   2.875%   9/15/24     9,637       10,069  
      Tennessee Valley Authority   6.750%   11/1/25     17,306       21,889  
      Tennessee Valley Authority   2.875%   2/1/27     30,250       31,711  
      Tennessee Valley Authority   7.125%   5/1/30     27,165       39,157  
      Tennessee Valley Authority   4.700%   7/15/33     7,950       9,959  
      Tennessee Valley Authority   4.650%   6/15/35     15,169       18,736  
      Tennessee Valley Authority   5.880%   4/1/36     10,200       14,345  
      Tennessee Valley Authority   6.150%   1/15/38     920       1,356  
      Tennessee Valley Authority   5.500%   6/15/38     2,550       3,533  
      Tennessee Valley Authority   5.250%   9/15/39     17,590       24,085  
      Tennessee Valley Authority   4.875%   1/15/48     6,951       9,509  
      Tennessee Valley Authority   5.375%   4/1/56     6,250       9,481  
      Tennessee Valley Authority   4.625%   9/15/60     7,468       10,223  
      Tennessee Valley Authority   4.250%   9/15/65     14,725       19,070  
                            2,833,036  
Conventional Mortgage-Backed Securities (22.3%)                      
3,4     Fannie Mae Pool   2.000%   11/1/27–11/1/34     109,135       108,817  
3,4,5     Fannie Mae Pool   2.500%   11/1/26–1/1/50     1,535,277       1,546,413  
3,4,5     Fannie Mae Pool   3.000%   9/1/20–12/1/49     5,457,491       5,591,192  
3,4,5     Fannie Mae Pool   3.500%   4/1/20–2/1/50     6,023,470       6,271,869  
3,4     Fannie Mae Pool   4.000%   1/1/20–11/1/49     5,002,997       5,262,663  
3,4,5     Fannie Mae Pool   4.500%   1/1/20–1/1/50     2,018,167       2,156,609  
3,4,5     Fannie Mae Pool   5.000%   1/1/20–1/1/50     602,733       659,000  
3,4     Fannie Mae Pool   5.500%   1/1/20–2/1/42     312,011       350,545  
3,4     Fannie Mae Pool   6.000%   1/1/20–5/1/41     201,704       229,928  
3,4     Fannie Mae Pool   6.500%   10/1/21–10/1/39     53,909       61,828  
3,4     Fannie Mae Pool   7.000%   10/1/22–11/1/38     15,438       17,525  
3,4     Fannie Mae Pool   7.500%   11/1/22–12/1/32     1,367       1,546  
3,4     Fannie Mae Pool   8.000%   3/1/22–9/1/31     475       528  
3,4     Fannie Mae Pool   8.500%   1/1/22–5/1/32     209       229  
3,4     Fannie Mae Pool   9.000%   12/1/20–8/1/30     42       44  
3,4     Fannie Mae Pool   9.500%   2/1/21–11/1/25     58       65  
3,4     Freddie Mac Gold Pool   2.000%   1/1/28–12/1/31     51,656       51,541  
3,4     Freddie Mac Gold Pool   2.500%   6/1/22–3/1/43     787,637       798,307  
3,4     Freddie Mac Gold Pool   3.000%   3/1/21–12/1/47     2,761,822       2,839,224  
3,4     Freddie Mac Gold Pool   3.500%   9/1/20–7/1/48     3,381,257       3,529,014  
3,4     Freddie Mac Gold Pool   4.000%   1/1/20–2/1/49     2,516,131       2,654,982  

 

6

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4     Freddie Mac Gold Pool   4.500%   4/1/20–1/1/49     1,071,647       1,147,408  
3,4     Freddie Mac Gold Pool   5.000%   1/1/20–11/1/48     298,820       326,528  
3,4     Freddie Mac Gold Pool   5.500%   1/1/20–6/1/41     157,392       175,322  
3,4     Freddie Mac Gold Pool   6.000%   8/1/20–5/1/40     80,032       91,121  
3,4     Freddie Mac Gold Pool   6.500%   3/1/22–9/1/39     26,552       30,175  
3,4     Freddie Mac Gold Pool   7.000%   10/1/20–12/1/38     9,515       10,738  
3,4     Freddie Mac Gold Pool   7.500%   9/1/22–2/1/32     700       779  
3,4     Freddie Mac Gold Pool   8.000%   7/1/20–12/1/31     836       936  
3,4     Freddie Mac Gold Pool   8.500%   3/1/21–7/1/31     149       164  
3,4     Freddie Mac Gold Pool   9.000%   11/1/20–3/1/31     128       143  
3,4     Freddie Mac Gold Pool   9.500%   8/1/20–6/1/25     1       1  
3,4     Freddie Mac Gold Pool   10.000%   3/1/21–4/1/25     1       1  
3,4     Freddie Mac Pool   4.000%   1/1/49–5/1/49     59,925       62,796  
3,4     Freddie Mac Pool   4.500%   4/1/49     65,983       70,625  
4     Ginnie Mae I Pool   3.000%   1/15/26–3/15/45     152,141       156,504  
4     Ginnie Mae I Pool   3.500%   11/15/25–9/1/49     181,645       189,756  
4     Ginnie Mae I Pool   4.000%   6/15/24–7/1/49     223,959       236,888  
4,5     Ginnie Mae I Pool   4.500%   3/15/20–12/1/49     235,805       254,323  
4     Ginnie Mae I Pool   4.750%   8/15/33     11       13  
4     Ginnie Mae I Pool   5.000%   3/15/20–4/15/41     116,913       127,780  
4     Ginnie Mae I Pool   5.500%   10/15/20–2/15/41     66,265       73,706  
4     Ginnie Mae I Pool   6.000%   11/15/22–6/15/41     52,301       58,941  
4     Ginnie Mae I Pool   6.500%   9/15/23–1/15/39     12,161       13,407  
4     Ginnie Mae I Pool   7.000%   9/15/22–9/15/36     3,160       3,559  
4     Ginnie Mae I Pool   7.500%   9/15/22–6/15/32     1,410       1,554  
4     Ginnie Mae I Pool   7.750%   2/15/30     1       1  
4     Ginnie Mae I Pool   8.000%   1/15/22–12/15/30     902       1,006  
4     Ginnie Mae I Pool   8.250%   6/15/27     1       1  
4     Ginnie Mae I Pool   8.500%   5/15/21–3/15/31     182       195  
4     Ginnie Mae I Pool   9.000%   6/15/20–1/15/31     178       192  
4     Ginnie Mae I Pool   9.500%   5/15/20–9/15/25     13       13  
4     Ginnie Mae I Pool   10.500%   1/15/21–2/15/25     1       1  
4,5     Ginnie Mae II Pool   2.500%   6/20/27–1/1/50     510,057       512,095  
4,5     Ginnie Mae II Pool   3.000%   10/20/26–1/1/50     3,614,084       3,727,158  
4,5     Ginnie Mae II Pool   3.500%   9/20/25–9/20/49     5,340,298       5,556,719  
4,5     Ginnie Mae II Pool   4.000%   9/20/25–1/1/50     3,358,849       3,514,357  
4     Ginnie Mae II Pool   4.500%   12/20/20–1/1/50     1,654,947       1,758,716  
4     Ginnie Mae II Pool   5.000%   12/20/32–7/1/49     587,493       630,812  
4     Ginnie Mae II Pool   5.500%   8/20/23–1/20/49     101,744       112,506  
4     Ginnie Mae II Pool   6.000%   7/20/23–12/20/41     31,225       35,569  
4     Ginnie Mae II Pool   6.500%   3/20/31–9/20/40     13,342       15,443  
4     Ginnie Mae II Pool   7.000%   3/20/28–11/20/38     1,866       2,206  
4     Ginnie Mae II Pool   7.500%   8/20/30     3       3  
4     Ginnie Mae II Pool   8.500%   10/20/30     6       7  
3,4     UMBS Pool   2.000%   1/1/32     11,730       11,608  
3,4     UMBS Pool   2.500%   11/1/34–12/1/49     240,474       238,970  
3,4,5     UMBS Pool   3.000%   4/1/29–1/1/50     1,623,998       1,650,390  
3,4,5     UMBS Pool   3.500%   1/1/34–1/1/50     1,302,918       1,346,625  
3,4,5     UMBS Pool   4.000%   11/1/33–1/1/50     519,655       551,919  
3,4     UMBS Pool   4.500%   8/1/48–8/1/49     270,837       288,938  
3,4     UMBS Pool   5.000%   2/1/49–3/1/49     98,722       108,167  
3,4     UMBS TBA   2.000%   1/1/35     2,000       1,973  
3,4,5     UMBS TBA   2.500%   7/1/34–1/1/50     186,725       184,654  
3,4,5     UMBS TBA   4.000%   1/1/35–8/1/49     32,250       33,611  
                            55,448,892  
Nonconventional Mortgage-Backed Securities (0.1%)                      
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.290%   4.034%   12/1/41     1,046       1,078  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.310%   3.592%   9/1/37     1,331       1,368  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.353%   4.441%   1/1/35     71       74  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.392%   3.811%   10/1/37     575       592  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.460%   4.572%   2/1/37     2       2  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.509%   4.082%   7/1/36     288       300  

 

7

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.553%   2.443%   9/1/43     600       600  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.555%   3.564%   10/1/34     5       5  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.560%   2.272%   7/1/43     6,104       6,119  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.607%   3.607%   11/1/33     125       133  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.609%   3.642%   12/1/33     233       246  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.615%   4.643%   4/1/37     50       53  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.623%   4.748%   2/1/36     500       509  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.625%   4.135%   8/1/35     648       688  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.627%   4.752%   3/1/38     109       112  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.633%   4.633%   1/1/35     1       1  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.635%   3.510%   11/1/36     68       71  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.643%   4.476%   1/1/37     217       231  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.658%   4.283%   7/1/35     390       410  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.660%   3.910%   9/1/40     285       301  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.660%   4.722%   4/1/36     252       263  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.665%   4.415%   6/1/36     39       41  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.679%   3.992%   1/1/42     985       1,017  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.682%   4.167%   10/1/37     688       710  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.687%   4.498%   6/1/42     1,474       1,536  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.690%   3.706%   10/1/39     528       549  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.690%   3.972%   9/1/42     1,508       1,574  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.690%   4.622%   5/1/40     483       506  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.695%   4.320%   7/1/39     188       196  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.698%   4.161%   8/1/40     419       440  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.700%   4.364%   12/1/40     437       460  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.701%   3.965%   10/1/42     1,099       1,164  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.705%   3.809%   11/1/39     275       291  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.711%   4.056%   4/1/36     60       62  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.726%   3.956%   9/1/34     285       293  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.734%   3.997%   11/1/39     627       655  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.746%   4.506%   7/1/41     1,640       1,732  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.748%   4.778%   5/1/35     229       240  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.750%   4.213%   10/1/40     321       339  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.750%   4.875%   2/1/36     254       270  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.767%   4.648%   6/1/41     262       277  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.771%   4.709%   5/1/42     155       161  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.774%   4.683%   4/1/37     66       71  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.780%   4.905%   2/1/41     271       285  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.793%   3.391%   8/1/42     2,312       2,309  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.795%   4.839%   3/1/42     971       1,023  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.798%   4.358%   3/1/42     431       463  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.804%   3.943%   12/1/39     538       560  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.805%   3.773%   11/1/41     1,070       1,140  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.810%   3.685%   10/1/40     826       867  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.810%   3.935%   11/1/33–11/1/39     805       852  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.810%   4.060%   9/1/33     7       7  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.810%   4.810%   12/1/40     410       430  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.813%   3.978%   11/1/41     623       658  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.813%   4.435%   1/1/42     850       894  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.815%   3.690%   11/1/40     232       244  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.815%   3.809%   12/1/40     303       319  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.815%   3.970%   12/1/41     705       746  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.815%   4.693%   5/1/41     799       842  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.815%   4.940%   2/1/41     669       706  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.819%   4.759%   3/1/41     994       1,046  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.820%   4.168%   12/1/40     314       329  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.822%   4.310%   9/1/40     1,171       1,234  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.823%   4.902%   2/1/41     503       507  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.825%   4.825%   3/1/41     719       766  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.826%   4.576%   7/1/38     289       296  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.830%   3.451%   4/1/41     1,033       1,037  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.830%   4.580%   6/1/41     789       834  

 

8

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.835%   4.723%   1/1/40     655       681  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.840%   4.403%   8/1/39     483       510  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.861%   4.745%   5/1/40     240       248  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.880%   4.406%   11/1/34     380       405  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.884%   3.899%   10/1/37     54       57  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.909%   4.784%   4/1/37     326       343  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.912%   4.787%   5/1/36     80       80  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.965%   5.009%   4/1/37     22       23  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 1.989%   4.632%   1/1/37     33       35  
3,4,6     Fannie Mae Pool, 12M USD LIBOR + 2.130%   4.667%   10/1/36     222       238  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.155%   4.780%   12/1/37     637       658  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.185%   4.721%   5/1/36     45       48  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.189%   3.939%   12/1/35     3       4  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.190%   4.450%   12/1/36     10       10  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.238%   4.613%   7/1/38     223       236  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.268%   4.268%   9/1/33     3       3  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.268%   4.415%   12/1/35     208       220  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.268%   4.893%   5/1/33     3       3  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.275%   4.025%   11/1/32     8       9  
3,4,6     Fannie Mae Pool, 1Y CMT + 2.313%   4.845%   1/1/35     228       243  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.026%   3.206%   4/1/37     808       835  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.413%   3.691%   7/1/34     135       143  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.476%   2.242%   3/1/43     4,288       4,290  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.530%   3.662%   12/1/43     1,057       1,126  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.582%   2.743%   6/1/43     2,822       2,838  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.638%   4.339%   8/1/39     1,192       1,222  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.657%   4.260%   10/1/42     937       943  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.700%   4.531%   7/1/37     292       311  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.710%   3.371%   9/1/43     2,542       2,602  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.723%   4.720%   5/1/42     2,052       2,143  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.789%   4.572%   7/1/42     740       797  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.840%   4.157%   8/1/37     561       589  
3,4,6     Fannie Mae Pool, 6M USD LIBOR + 1.851%   4.434%   2/1/42     1,337       1,431  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 0.985%   3.235%   10/1/37     53       54  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.245%   4.098%   8/1/37     51       51  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.550%   4.675%   4/1/37     1       1  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.564%   4.420%   3/1/37     79       81  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.570%   4.695%   3/1/37     31       32  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.588%   3.921%   9/1/37     290       296  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.625%   4.625%   1/1/38     80       85  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%   3.807%   11/1/43     536       553  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%   3.830%   12/1/36     294       311  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%   4.515%   5/1/42     183       184  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660%   3.711%   10/1/37     535       557  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695%   4.767%   2/1/37     190       202  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.727%   4.738%   1/1/35     60       64  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.743%   3.865%   12/1/36     427       439  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745%   4.713%   12/1/40     1,109       1,151  

 

9

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%   4.625%   5/1/38     65       68  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%   4.750%   4/1/33     2       2  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%   4.799%   3/1/36     11       11  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%   3.730%   12/1/36     151       161  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%   4.765%   4/1/35     1       2  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.770%   3.925%   12/1/34     7       7  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.780%   3.977%   3/1/36     4       4  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796%   3.871%   12/1/34     300       305  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798%   4.529%   6/1/37     609       650  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.798%   4.761%   5/1/33     16       16  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.833%   4.190%   3/1/42     796       840  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.834%   4.220%   12/1/35     369       389  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840%   4.590%   6/1/37     71       75  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.842%   4.466%   6/1/41     43       45  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.851%   4.716%   1/1/37     258       273  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.864%   4.595%   2/1/42     296       311  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.865%   4.348%   8/1/37     231       240  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.870%   4.038%   12/1/39     157       166  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.005%   11/1/40     67       70  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.630%   6/1/40     469       484  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.713%   6/1/41     302       315  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.755%   5/1/40     387       400  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.756%   6/1/40     337       354  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.880%   12/1/40     89       92  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   4.979%   1/1/41     957       1,001  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%   5.005%   3/1/41     261       277  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.885%   4.510%   7/1/38     224       229  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889%   4.956%   2/1/42     584       586  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895%   4.323%   9/1/40     745       784  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%   3.846%   11/1/40     514       530  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%   4.705%   6/1/40     564       584  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%   4.825%   1/1/41     148       156  

 

10

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%   5.035%   2/1/41     944       1,003  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977%   4.783%   5/1/37     943       975  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.995%   5.120%   3/1/37     414       439  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.000%   4.750%   7/1/35     64       67  
3,4,6     Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085%   5.210%   3/1/38     76       80  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.125%   4.625%   6/1/35     2       2  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.250%   4.006%   11/1/34     765       800  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.250%   4.325%   8/1/34     1       1  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.250%   4.397%   11/1/36     136       140  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.250%   4.713%   6/1/34     2       2  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.250%   4.750%   5/1/36     443       466  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.250%   4.991%   2/1/36     231       241  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.273%   4.773%   6/1/36     8       8  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.315%   4.315%   12/1/34     25       26  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.409%   4.159%   11/1/33     2       2  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.409%   4.964%   10/1/36     505       536  
3,4,6     Freddie Mac Non Gold Pool, 1Y CMT + 2.549%   5.173%   3/1/37     91       91  
3,4,6     Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%   3.438%   6/1/37     311       318  
3,4,6     Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%   3.548%   5/1/37     33       34  
3,4,6     Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.570%   3.859%   3/1/37     126       131  
3,4,6     Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.665%   3.982%   1/1/37     660       694  
4,6     Ginnie Mae II Pool, 1Y CMT + 1.500%   3.250%   7/20/38–8/20/41     1,883       1,941  
4,6     Ginnie Mae II Pool, 1Y CMT + 1.500%   3.875%   6/20/29–6/20/43     5,001       5,165  
4,6     Ginnie Mae II Pool, 1Y CMT + 1.500%   4.000%   1/20/41–1/20/44     8,990       9,234  
4,6     Ginnie Mae II Pool, 1Y CMT + 1.500%   4.125%   10/20/38–12/20/43     7,016       7,249  
4,6     Ginnie Mae II Pool, 1Y CMT + 2.000%   4.375%   5/20/41     511       525  
4,6     Ginnie Mae II Pool, 1Y CMT + 2.000%   4.625%   11/20/40     60       62  
                            111,178  

Total U.S. Government and Agency Obligations (Cost $158,880,382)

        162,791,480  

Asset-Backed/Commercial Mortgage-Backed Securities (2.6%)

                 
4     Ally Auto Receivables Trust 2017-4   1.750%   12/15/21     4,047       4,044  
4     Ally Auto Receivables Trust 2017-4   1.960%   7/15/22     3,128       3,127  
4     Ally Auto Receivables Trust 2018-1   2.350%   6/15/22     4,385       4,392  
4     Ally Auto Receivables Trust 2018-1   2.530%   2/15/23     1,825       1,838  
4     Ally Auto Receivables Trust 2018-3   3.000%   1/17/23     1,750       1,763  
4     Ally Auto Receivables Trust 2018-3   3.120%   7/17/23     2,375       2,420  
4     Ally Auto Receivables Trust 2018-A4   3.090%   6/15/23     2,230       2,264  
4     Ally Auto Receivables Trust 2019-2   2.230%   1/16/24     15,900       15,952  
4     Ally Auto Receivables Trust 2019-2   2.260%   8/15/24     1,875       1,889  
4     Ally Auto Receivables Trust 2019-4   1.840%   6/17/24     13,355       13,342  
4     Ally Auto Receivables Trust 2019-4   1.920%   1/15/25     1,600       1,595  
4     Ally Master Owner Trust Series 2018-1   2.700%   1/17/23     23,500       23,664  
4     Ally Master Owner Trust Series 2018-2   3.290%   5/15/23     6,275       6,381  
4     American Express Credit Account Master Trust 2017-1   1.930%   9/15/22     14,900       14,897  
4     American Express Credit Account Master Trust 2017-3   1.770%   11/15/22     8,500       8,497  
4     American Express Credit Account Master Trust 2017-6   2.040%   5/15/23     21,800       21,831  
4     American Express Credit Account Master Trust 2017-7   2.350%   5/15/25     13,300       13,470  
4     American Express Credit Account Master Trust 2018-1   2.670%   10/17/22     15,725       15,749  
4     American Express Credit Account Master Trust 2018-2   3.010%   10/15/25     14,150       14,629  
4     American Express Credit Account Master Trust 2018-4   2.990%   12/15/23     18,000       18,269  
4     American Express Credit Account Master Trust 2018-8   3.180%   4/15/24     2,200       2,249  
4     American Express Credit Account Master Trust 2019-1   2.870%   10/15/24     845       863  
4     AmeriCredit Automobile Receivables Trust 2017-3   1.900%   3/18/22     2,145       2,143  
4     AmeriCredit Automobile Receivables Trust 2018-1   3.070%   12/19/22     5,250       5,282  
4     AmeriCredit Automobile Receivables Trust 2018-1   3.260%   1/18/24     3,150       3,202  
4     AmeriCredit Automobile Receivables Trust 2018-1   3.500%   1/18/24     2,100       2,154  
4     AmeriCredit Automobile Receivables Trust 2019-1   2.970%   11/20/23     5,025       5,084  

 

11

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     BA Credit Card Trust 2017-A1   1.950%   8/15/22     14,500       14,501  
4     BA Credit Card Trust 2018-A1   2.700%   7/17/23     26,500       26,758  
4     BA Credit Card Trust 2019-A1   1.740%   1/15/25     10,750       10,722  
4     Banc of America Commercial Mortgage Trust 2015-UBS7   3.429%   9/15/48     2,350       2,439  
4     Banc of America Commercial Mortgage Trust 2015-UBS7   3.705%   9/15/48     4,100       4,362  
4     Banc of America Commercial Mortgage Trust 2017-BNK3   3.574%   2/15/50     9,108       9,731  
4     Banc of America Commercial Mortgage Trust 2017-BNK3   3.748%   2/15/50     3,542       3,712  
4     BANK 2017 - BNK5   3.390%   6/15/60     9,750       10,314  
4     BANK 2017 - BNK5   3.624%   6/15/60     4,450       4,653  
4     BANK 2017 - BNK6   3.518%   7/15/60     3,388       3,612  
4     BANK 2017 - BNK6   3.741%   7/15/60     3,388       3,616  
4     BANK 2017 - BNK7   3.175%   9/15/60     5,925       6,143  
4     BANK 2017 - BNK7   3.435%   9/15/60     3,675       3,897  
4     BANK 2017 - BNK7   3.748%   9/15/60     4,100       4,342  
4     BANK 2017 - BNK8   3.488%   11/15/50     8,000       8,512  
4     BANK 2017 - BNK8   3.731%   11/15/50     1,325       1,399  
4     BANK 2017 - BNK9   3.279%   11/15/54     8,000       8,377  
4     BANK 2017 - BNK9   3.538%   11/15/54     8,000       8,537  
4     BANK 2018 - BN10   3.641%   2/15/61     1,802       1,916  
4     BANK 2018 - BN10   3.688%   2/15/61     13,650       14,721  
4     BANK 2018 - BN10   3.898%   2/15/61     2,100       2,253  
4     BANK 2018 - BN11   4.046%   3/15/61     5,550       6,126  
4     BANK 2018 - BN12   4.255%   5/15/61     6,550       7,332  
4     BANK 2018 - BN12   4.359%   5/15/61     2,100       2,367  
4     BANK 2018 - BN13   4.217%   8/15/61     2,200       2,462  
4     BANK 2018 - BN14   4.128%   9/15/60     3,425       3,636  
4     BANK 2018 - BN14   4.231%   9/15/60     5,750       6,438  
4     BANK 2018 - BN14   4.481%   9/15/60     1,550       1,722  
4     BANK 2018 - BN15   4.407%   11/15/61     7,690       8,741  
4     BANK 2019 - BN16   4.005%   2/15/52     6,625       7,328  
4     BANK 2019 - BN17   3.714%   4/15/52     7,350       7,972  
4     BANK 2019 - BN17   3.976%   4/15/52     1,750       1,875  
4     BANK 2019 - BN18   3.584%   5/15/62     21,125       22,721  
4     BANK 2019 - BN18   3.826%   5/15/62     2,575       2,747  
4     BANK 2019 - BN19   3.183%   8/15/61     15,850       16,541  
4     BANK 2019 - BN20   3.011%   9/15/61     10,250       10,550  
4     BANK 2019 - BN21   2.851%   10/17/52     21,600       21,940  
4     BANK 2019 - BN21   3.093%   10/17/52     4,325       4,342  
4     BANK 2019 - BN22   2.978%   11/15/62     16,943       17,391  
4     BANK 2019 - BN23   2.920%   12/15/52     10,705       10,935  
4     BANK 2019 - BN23   3.203%   12/15/52     4,000       4,045  
4     BANK 2019 - BN24   2.960%   11/15/62     8,050       8,250  
4     BANK 2019 - BN24   3.283%   11/15/62     3,750       3,818  
4     Bank Of America Credit Card Trust 2018-A2   3.000%   9/15/23     23,450       23,782  
      Bank of Nova Scotia   1.875%   4/26/21     8,800       8,798  
4     BBCMS Mortgage Trust 2017-C1   3.674%   2/15/50     17,475       18,756  
4     BBCMS Mortgage Trust 2017-C1   3.898%   2/15/50     4,675       4,982  
4     BBCMS Mortgage Trust 2018-C2   4.314%   12/15/51     8,350       9,395  
4     BBCMS Mortgage Trust 2019-C3   3.583%   5/15/52     21,595       22,945  
4     BBCMS Mortgage Trust 2019-C4   2.919%   8/15/52     15,870       16,120  
4     BBCMS Mortgage Trust 2019-C4   3.171%   8/15/52     1,325       1,338  
4     BBCMS Mortgage Trust 2019-C5   3.063%   11/15/52     8,975       9,185  
4     BBCMS Mortgage Trust 2019-C5   3.366%   11/15/52     5,375       5,492  
4     Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26   5.450%   1/12/45     937       939  
4     BENCHMARK 2018-B1 Mortgage Trust   3.666%   1/15/51     7,960       8,573  
4     BENCHMARK 2018-B1 Mortgage Trust   3.878%   1/15/51     2,600       2,772  
4     BENCHMARK 2018-B2 Mortgage Trust   3.662%   2/15/51     6,050       6,274  
4     BENCHMARK 2018-B2 Mortgage Trust   3.882%   2/15/51     17,575       19,066  
4     BENCHMARK 2018-B2 Mortgage Trust   4.084%   2/15/51     8,225       8,934  

 

12

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     BENCHMARK 2018-B3 Mortgage Trust   3.848%   4/10/51     5,000       5,215  
4     BENCHMARK 2018-B3 Mortgage Trust   4.025%   4/10/51     13,150       14,505  
4     BENCHMARK 2018-B4 Mortgage Trust   4.121%   7/15/51     18,625       20,674  
4     BENCHMARK 2018-B4 Mortgage Trust   4.311%   7/15/51     3,250       3,570  
4     BENCHMARK 2018-B5 Mortgage Trust   4.208%   7/15/51     8,850       9,868  
4     BENCHMARK 2018-B5 Mortgage Trust   4.419%   7/15/51     1,750       1,928  
4     BENCHMARK 2018-B6 Mortgage Trust   4.203%   10/10/51     3,325       3,533  
4     BENCHMARK 2018-B6 Mortgage Trust   4.261%   10/10/51     4,025       4,509  
4     BENCHMARK 2018-B6 Mortgage Trust   4.441%   10/10/51     1,250       1,384  
4     BENCHMARK 2018-B7 Mortgage Trust   4.510%   5/15/53     12,400       14,178  
4     BENCHMARK 2018-B8 Mortgage Trust   4.232%   1/15/52     10,690       12,014  
4     BENCHMARK 2018-B8 Mortgage Trust   4.532%   1/15/52     3,400       3,803  
4     BENCHMARK 2019-B9 Mortgage Trust   4.016%   3/15/52     6,281       6,954  
4     BENCHMARK 2019-B10 Mortgage Trust   3.717%   3/15/62     6,100       6,636  
4     BENCHMARK 2019-B10 Mortgage Trust   3.979%   3/15/62     2,600       2,789  
4     BENCHMARK 2019-B11 Mortgage Trust   3.542%   5/15/52     15,840       17,005  
4     BENCHMARK 2019-B11 Mortgage Trust   3.784%   5/15/52     4,225       4,528  
4     BENCHMARK 2019-B13 Mortgage Trust   2.952%   8/15/57     16,175       16,513  
4     BENCHMARK 2019-B14 Mortgage Trust   3.049%   12/15/62     13,650       14,094  
4     BENCHMARK 2019-B15 Mortgage Trust   2.928%   12/15/72     13,355       13,513  
4     BMW Vehicle Lease Trust 2017-2   2.070%   10/20/20     1,121       1,121  
4     BMW Vehicle Owner Trust 2018-A   2.350%   4/25/22     7,505       7,524  
4     BMW Vehicle Owner Trust 2018-A   2.510%   6/25/24     1,850       1,864  
4     Cantor Commercial Real Estate Lending 2019-CF1   3.786%   5/15/52     4,025       4,342  
4     Cantor Commercial Real Estate Lending 2019-CF2   2.874%   11/15/52     8,100       8,141  
4     Cantor Commercial Real Estate Lending 2019-CF3   3.006%   1/15/53     8,000       8,154  
4     Cantor Commercial Real Estate Lending 2019-CF3   3.298%   1/15/53     3,434       3,442  
4     Capital One Auto Receivables Trust 2019-1   2.510%   11/15/23     6,330       6,381  
4     Capital One Auto Receivables Trust 2019-1   2.560%   10/15/24     2,125       2,155  
4     Capital One Multi-Asset Execution Trust 2015-A2   2.080%   3/15/23     12,000       12,008  
4     Capital One Multi-Asset Execution Trust 2015-A8   2.050%   8/15/23     8,200       8,213  
4     Capital One Multi-Asset Execution Trust 2017-A1   2.000%   1/17/23     9,475       9,476  
4     Capital One Multi-Asset Execution Trust 2017-A3   2.430%   1/15/25     9,850       9,939  
4     Capital One Multi-Asset Execution Trust 2017-A4   1.990%   7/17/23     15,200       15,217  
4     Capital One Multi-Asset Execution Trust 2017-A6   2.290%   7/15/25     12,800       12,948  
4     Capital One Multi-Asset Execution Trust 2018-A1   3.010%   2/15/24     6,775       6,868  
4     Capital One Multi-Asset Execution Trust 2019-A1   2.840%   12/15/24     4,250       4,338  
4     CarMax Auto Owner Trust 2016-3   1.390%   5/17/21     457       457  
4     CarMax Auto Owner Trust 2016-3   1.600%   1/18/22     1,685       1,681  
4     CarMax Auto Owner Trust 2017-2   2.410%   12/15/22     3,325       3,341  
4     CarMax Auto Owner Trust 2017-4   2.110%   10/17/22     3,798       3,802  
4     CarMax Auto Owner Trust 2017-4   2.330%   5/15/23     3,200       3,214  
4     CarMax Auto Owner Trust 2018-1   2.480%   11/15/22     4,775       4,794  
4     CarMax Auto Owner Trust 2018-1   2.640%   6/15/23     1,200       1,214  
4     CarMax Auto Owner Trust 2018-2   2.980%   1/17/23     4,200       4,240  
4     CarMax Auto Owner Trust 2018-2   3.160%   7/17/23     2,625       2,678  
4     CarMax Auto Owner Trust 2019-4   2.020%   11/15/24     10,750       10,766  
4     CarMax Auto Owner Trust 2019-4   2.130%   7/15/25     1,350       1,353  
4     CD 2016-CD1 Commercial Mortgage Trust   2.724%   8/10/49     9,075       9,167  
4     CD 2016-CD2 Commercial Mortgage Trust   3.526%   11/10/49     7,300       7,772  
4     CD 2017-CD3 Commercial Mortgage Trust   3.453%   2/10/50     1,285       1,339  
4     CD 2017-CD3 Commercial Mortgage Trust   3.631%   2/10/50     9,773       10,467  
4     CD 2017-CD3 Commercial Mortgage Trust   3.833%   2/10/50     2,542       2,684  
4     CD 2017-CD4 Commercial Mortgage Trust   3.514%   5/10/50     5,133       5,442  
4     CD 2017-CD4 Commercial Mortgage Trust   3.747%   5/10/50     3,000       3,177  
4     CD 2017-CD5 Commercial Mortgage Trust   3.431%   8/15/50     3,500       3,687  
4     CD 2017-CD6 Commercial Mortgage Trust   3.332%   11/13/50     3,300       3,454  
4     CD 2017-CD6 Commercial Mortgage Trust   3.456%   11/13/50     6,575       6,924  
4     CD 2017-CD6 Commercial Mortgage Trust   3.709%   11/13/50     3,825       4,034  
4     CD 2018-CD7 Commercial Mortgage Trust   4.279%   8/15/51     7,375       8,287  
4     CD 2019-CD8 Commercial Mortgage Trust   2.912%   8/15/57     10,580       10,793  
4     CenterPoint Energy Transition Bond Co. IV LLC 2012-1   3.028%   10/15/25     9,483       9,710  
4     CFCRE Commercial Mortgage Trust 2016-C3   3.865%   1/10/48     5,800       6,180  
4     CFCRE Commercial Mortgage Trust 2016-C4   3.283%   5/10/58     8,250       8,547  

 

13

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     CFCRE Commercial Mortgage Trust 2016-C4   3.691%   5/10/58     5,900       6,140  
4     CFCRE Commercial Mortgage Trust 2016-C6   3.217%   11/10/49     14,200       14,672  
4     CFCRE Commercial Mortgage Trust 2017-C8   3.572%   6/15/50     3,650       3,876  
4     Chase Issuance Trust 2012-A7   2.160%   9/15/24     20,440       20,574  
4     Chase Issuance Trust 2014-A2   2.770%   3/15/23     11,150       11,273  
4     Chase Issuance Trust 2015-A4   1.840%   4/15/22     8,400       8,396  
4     Chase Issuance Trust 2016-A4   1.490%   7/15/22     9,850       9,829  
4     Citibank Credit Card Issuance Trust 2014-A1   2.880%   1/23/23     10,460       10,565  
4     Citibank Credit Card Issuance Trust 2014-A5   2.680%   6/7/23     14,767       14,949  
4     Citibank Credit Card Issuance Trust 2016-A2   2.190%   11/20/23     11,325       11,390  
4     Citibank Credit Card Issuance Trust 2018-A1   2.490%   1/20/23     27,800       27,982  
4     Citibank Credit Card Issuance Trust 2018-A3   3.290%   5/23/25     26,125       27,251  
4     Citigroup Commercial Mortgage Trust 2012-GC8   3.024%   9/10/45     5,211       5,314  
4     Citigroup Commercial Mortgage Trust 2013-GC11   3.093%   4/10/46     3,165       3,243  
4     Citigroup Commercial Mortgage Trust 2013-GC11   3.422%   4/10/46     2,000       2,061  
4     Citigroup Commercial Mortgage Trust 2013-GC15   3.942%   9/10/46     913       942  
4     Citigroup Commercial Mortgage Trust 2013-GC15   4.371%   9/10/46     1,975       2,110  
4     Citigroup Commercial Mortgage Trust 2013-GC15   4.649%   9/10/46     2,875       3,077  
4     Citigroup Commercial Mortgage Trust 2013-GC17   3.675%   11/10/46     694       712  
4     Citigroup Commercial Mortgage Trust 2013-GC17   4.131%   11/10/46     3,150       3,347  
4     Citigroup Commercial Mortgage Trust 2013-GC17   4.544%   11/10/46     1,150       1,239  
4     Citigroup Commercial Mortgage Trust 2013-GC17   5.095%   11/10/46     1,150       1,248  
4     Citigroup Commercial Mortgage Trust 2014-GC19   3.552%   3/10/47     990       1,019  
4     Citigroup Commercial Mortgage Trust 2014-GC19   4.023%   3/10/47     1,700       1,807  
4     Citigroup Commercial Mortgage Trust 2014-GC19   4.345%   3/10/47     1,425       1,521  
4     Citigroup Commercial Mortgage Trust 2014-GC21   3.477%   5/10/47     554       569  
4     Citigroup Commercial Mortgage Trust 2014-GC21   3.855%   5/10/47     3,025       3,199  
4     Citigroup Commercial Mortgage Trust 2014-GC21   4.328%   5/10/47     2,450       2,581  
4     Citigroup Commercial Mortgage Trust 2014-GC23   3.622%   7/10/47     3,875       4,095  
4     Citigroup Commercial Mortgage Trust 2014-GC25   3.635%   10/10/47     8,525       8,979  
4     Citigroup Commercial Mortgage Trust 2015-GC27   3.137%   2/10/48     11,450       11,849  
4     Citigroup Commercial Mortgage Trust 2015-GC27   3.571%   2/10/48     4,550       4,721  
4     Citigroup Commercial Mortgage Trust 2015-GC29   2.674%   4/10/48     1,961       1,963  
4     Citigroup Commercial Mortgage Trust 2015-GC29   3.192%   4/10/48     9,075       9,422  
4     Citigroup Commercial Mortgage Trust 2015-GC29   3.758%   4/10/48     4,365       4,499  
4     Citigroup Commercial Mortgage Trust 2015-GC31   3.762%   6/10/48     4,625       4,923  
4     Citigroup Commercial Mortgage Trust 2015-GC33   3.778%   9/10/58     5,725       6,107  
4     Citigroup Commercial Mortgage Trust 2016-C1   3.003%   5/10/49     3,400       3,490  
4     Citigroup Commercial Mortgage Trust 2016-C1   3.209%   5/10/49     6,500       6,755  
4     Citigroup Commercial Mortgage Trust 2016-C2   2.832%   8/10/49     3,500       3,556  
4     Citigroup Commercial Mortgage Trust 2016-GC36   3.616%   2/10/49     11,425       12,125  
4     Citigroup Commercial Mortgage Trust 2016-P4   2.902%   7/10/49     3,825       3,906  
4     Citigroup Commercial Mortgage Trust 2017-B1   3.458%   8/15/50     13,430       14,166  
4     Citigroup Commercial Mortgage Trust 2017-B1   3.711%   8/15/50     2,675       2,808  
4     Citigroup Commercial Mortgage Trust 2017-C4   3.471%   10/12/50     8,000       8,513  
4     Citigroup Commercial Mortgage Trust 2017-C4   3.764%   10/12/50     2,125       2,258  
4     Citigroup Commercial Mortgage Trust 2018-B2   3.788%   3/10/51     2,950       3,080  
4     Citigroup Commercial Mortgage Trust 2018-B2   4.009%   3/10/51     15,825       17,296  
4     Citigroup Commercial Mortgage Trust 2019-GC41   2.869%   8/10/56     13,210       13,400  
4     Citigroup Commercial Mortgage Trust 2019-GC43   3.038%   11/10/52     16,100       16,533  
4     COMM 2012-CCRE2 Mortgage Trust   3.147%   8/15/45     2,580       2,634  
4     COMM 2012-CCRE2 Mortgage Trust   3.791%   8/15/45     2,950       3,026  
4     COMM 2012-CCRE3 Mortgage Trust   2.822%   10/15/45     4,889       4,942  
4,7     COMM 2012-CCRE3 Mortgage Trust   3.416%   10/15/45     3,548       3,609  
4     COMM 2012-CCRE4 Mortgage Trust   2.853%   10/15/45     5,119       5,180  
4     COMM 2012-CCRE5 Mortgage Trust   2.771%   12/10/45     1,500       1,521  
4     COMM 2013-CCRE10 Mortgage Trust   4.210%   8/10/46     1,120       1,191  
4     COMM 2013-CCRE11 Mortgage Trust   3.660%   8/10/50     1,159       1,189  
4     COMM 2013-CCRE11 Mortgage Trust   3.983%   8/10/50     1,909       2,013  
4     COMM 2013-CCRE11 Mortgage Trust   4.258%   8/10/50     6,600       7,057  
4     COMM 2013-CCRE11 Mortgage Trust   4.715%   8/10/50     1,430       1,540  
4     COMM 2013-CCRE12 Mortgage Trust   2.904%   10/10/46     72       72  
4     COMM 2013-CCRE12 Mortgage Trust   3.623%   10/10/46     1,340       1,378  
4     COMM 2013-CCRE12 Mortgage Trust   3.765%   10/10/46     2,275       2,340  

 

14

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     COMM 2013-CCRE12 Mortgage Trust   4.046%   10/10/46     1,700       1,801  
4     COMM 2013-CCRE12 Mortgage Trust   4.300%   10/10/46     1,150       1,219  
4     COMM 2013-CCRE12 Mortgage Trust   4.762%   10/10/46     575       597  
4     COMM 2013-CCRE13 Mortgage Trust   3.706%   11/10/46     470       484  
4     COMM 2013-CCRE13 Mortgage Trust   4.194%   11/10/46     5,850       6,239  
4     COMM 2013-CCRE13 Mortgage Trust   4.449%   11/10/46     1,750       1,871  
4     COMM 2013-CCRE6 Mortgage Trust   3.101%   3/10/46     2,908       2,964  
4     COMM 2013-CCRE7 Mortgage Trust   3.213%   3/10/46     1,706       1,750  
4     COMM 2013-CCRE8 Mortgage Trust   3.612%   6/10/46     3,262       3,391  
4     COMM 2013-CCRE9 Mortgage Trust   4.222%   7/10/45     4,060       4,301  
4     COMM 2013-LC13 Mortgage Trust   4.205%   8/10/46     1,680       1,793  
4     COMM 2013-LC6 Mortgage Trust   2.941%   1/10/46     5,246       5,343  
4     COMM 2013-LC6 Mortgage Trust   3.282%   1/10/46     2,547       2,605  
4     COMM 2014-CCRE14 Mortgage Trust   3.147%   2/10/47     800       800  
4     COMM 2014-CCRE14 Mortgage Trust   4.236%   2/10/47     1,775       1,895  
4     COMM 2014-CCRE14 Mortgage Trust   4.526%   2/10/47     1,950       2,091  
4     COMM 2014-CCRE14 Mortgage Trust   4.638%   2/10/47     1,175       1,275  
4     COMM 2014-CCRE15 Mortgage Trust   2.928%   2/10/47     1,217       1,217  
4     COMM 2014-CCRE15 Mortgage Trust   3.595%   2/10/47     1,206       1,239  
4     COMM 2014-CCRE15 Mortgage Trust   4.074%   2/10/47     2,641       2,818  
4     COMM 2014-CCRE15 Mortgage Trust   4.697%   2/10/47     1,320       1,429  
4     COMM 2014-CCRE16 Mortgage Trust   3.653%   4/10/47     1,931       1,986  
4     COMM 2014-CCRE16 Mortgage Trust   4.278%   4/10/47     2,950       3,119  
4     COMM 2014-CCRE17 Mortgage Trust   3.598%   5/10/47     1,238       1,274  
4     COMM 2014-CCRE17 Mortgage Trust   3.977%   5/10/47     2,225       2,364  
4     COMM 2014-CCRE17 Mortgage Trust   4.377%   5/10/47     1,375       1,441  
4     COMM 2014-CCRE18 Mortgage Trust   3.452%   7/15/47     3,734       3,818  
4     COMM 2014-CCRE18 Mortgage Trust   3.828%   7/15/47     1,400       1,480  
4     COMM 2014-CCRE18 Mortgage Trust   4.103%   7/15/47     1,845       1,957  
4     COMM 2014-CCRE19 Mortgage Trust   3.796%   8/10/47     8,400       8,914  
4     COMM 2014-CCRE19 Mortgage Trust   4.080%   8/10/47     2,250       2,386  
4     COMM 2014-CCRE20 Mortgage Trust   3.590%   11/10/47     2,375       2,507  
4     COMM 2014-CCRE21 Mortgage Trust   3.528%   12/10/47     8,012       8,393  
4     COMM 2014-LC15 Mortgage Trust   4.006%   4/10/47     8,215       8,735  
4     COMM 2014-LC17 Mortgage Trust   3.164%   10/10/47     561       562  
4     COMM 2014-LC17 Mortgage Trust   3.917%   10/10/47     2,225       2,376  
4     COMM 2014-UBS2 Mortgage Trust   2.820%   3/10/47     225       225  
4     COMM 2014-UBS2 Mortgage Trust   3.472%   3/10/47     824       846  
4     COMM 2014-UBS2 Mortgage Trust   3.961%   3/10/47     2,533       2,679  
4     COMM 2014-UBS2 Mortgage Trust   4.199%   3/10/47     709       751  
4     COMM 2014-UBS2 Mortgage Trust   4.701%   3/10/47     449       478  
4     COMM 2014-UBS3 Mortgage Trust   3.819%   6/10/47     4,475       4,732  
4     COMM 2014-UBS4 Mortgage Trust   3.694%   8/10/47     5,575       5,865  
4     COMM 2014-UBS4 Mortgage Trust   3.968%   8/10/47     2,144       2,247  
4     COMM 2014-UBS5 Mortgage Trust   3.838%   9/10/47     6,650       7,045  
4     COMM 2014-UBS6 Mortgage Trust   2.935%   12/10/47     1,066       1,066  
4     COMM 2014-UBS6 Mortgage Trust   3.387%   12/10/47     5,600       5,746  
4     COMM 2014-UBS6 Mortgage Trust   3.644%   12/10/47     10,725       11,265  
4     COMM 2014-UBS6 Mortgage Trust   4.048%   12/10/47     2,800       2,959  
4     COMM 2015-CCRE22 Mortgage Trust   2.856%   3/10/48     1,105       1,105  
4     COMM 2015-CCRE22 Mortgage Trust   3.309%   3/10/48     7,950       8,298  
4     COMM 2015-CCRE22 Mortgage Trust   3.603%   3/10/48     2,850       2,964  
4     COMM 2015-CCRE23 Mortgage Trust   3.257%   5/10/48     3,475       3,570  
4     COMM 2015-CCRE23 Mortgage Trust   3.497%   5/10/48     5,219       5,490  
4     COMM 2015-CCRE23 Mortgage Trust   3.801%   5/10/48     2,325       2,450  
4     COMM 2015-CCRE25 Mortgage Trust   3.759%   8/10/48     5,725       6,110  
4     COMM 2015-CCRE26 Mortgage Trust   3.630%   10/10/48     11,600       12,272  
4     COMM 2015-CCRE27 Mortgage Trust   3.404%   10/10/48     5,900       6,096  
4     COMM 2015-CCRE27 Mortgage Trust   3.612%   10/10/48     5,900       6,243  
4     COMM 2015-LC19 Mortgage Trust   3.040%   2/10/48     1,150       1,173  
4     COMM 2015-LC19 Mortgage Trust   3.183%   2/10/48     5,894       6,114  
4     COMM 2015-LC19 Mortgage Trust   3.527%   2/10/48     2,687       2,798  
4     COMM 2016-CCRE28 Mortgage Trust   3.762%   2/10/49     8,575       9,149  
4     COMM 2016-DC2 Mortgage Trust   3.550%   2/10/49     7,000       7,282  

 

15

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     COMM Mortgage Trust 2019-G44   2.950%   8/15/57     6,400       6,526  
4     CSAIL 2015-C1 Commercial Mortgage Trust   3.505%   4/15/50     5,550       5,837  
4     CSAIL 2015-C1 Commercial Mortgage Trust   3.791%   4/15/50     2,825       2,971  
4     CSAIL 2015-C1 Commercial Mortgage Trust   4.044%   4/15/50     2,250       2,354  
4     CSAIL 2015-C2 Commercial Mortgage Trust   3.504%   6/15/57     7,400       7,742  
4     CSAIL 2015-C2 Commercial Mortgage Trust   3.849%   6/15/57     2,900       3,032  
4     CSAIL 2015-C3 Commercial Mortgage Trust   3.448%   8/15/48     4,443       4,583  
4     CSAIL 2015-C3 Commercial Mortgage Trust   3.718%   8/15/48     5,700       6,021  
4     CSAIL 2015-C3 Commercial Mortgage Trust   4.104%   8/15/48     2,625       2,734  
4     CSAIL 2015-C4 Commercial Mortgage Trust   3.617%   11/15/48     3,550       3,682  
4     CSAIL 2015-C4 Commercial Mortgage Trust   3.808%   11/15/48     4,600       4,920  
4     CSAIL 2016-C7 Commercial Mortgage Trust   3.502%   11/15/49     11,675       12,251  
4     CSAIL 2017-C8 Commercial Mortgage Trust   3.392%   6/15/50     10,250       10,830  
4     CSAIL 2017-CX10 Commercial Mortgage Trust   3.458%   11/15/50     8,000       8,422  
4     CSAIL 2017-CX9 Commercial Mortgage Trust   3.446%   9/15/50     3,275       3,435  
4     CSAIL 2018-CX11 Commercial Mortgage Trust   4.033%   4/15/51     15,825       17,363  
4     CSAIL 2018-CX12 Commercial Mortgage Trust   4.224%   8/15/51     2,975       3,265  
4     CSAIL 2019-C15 Commercial Mortgage Trust   4.053%   3/15/52     13,200       14,512  
4     CSAIL 2019-C16 Commercial Mortgage Trust   3.329%   6/15/52     15,960       16,736  
4     DBJPM 16-C1 Mortgage Trust   3.276%   5/10/49     4,275       4,464  
4     DBJPM 16-C3 Mortgage Trust   2.890%   8/10/49     5,000       5,112  
4     DBJPM 17-C6 Mortgage Trust   3.328%   6/10/50     7,900       8,258  
4     DBJPM 17-C6 Mortgage Trust   3.561%   6/10/50     2,174       2,268  
4     Discover Card Execution Note Trust 2015-A2   1.900%   10/17/22     14,494       14,495  
4     Discover Card Execution Note Trust 2015-A4   2.190%   4/17/23     11,500       11,531  
4     Discover Card Execution Note Trust 2017-A2   2.390%   7/15/24     6,250       6,314  
4     Discover Card Execution Note Trust 2018-A1   3.030%   8/15/25     13,150       13,504  
4     Discover Card Execution Note Trust 2019-A3   1.890%   10/15/24     15,740       15,723  
4     Drive Auto Receivables Trust 2018-2   3.630%   8/15/24     5,982       6,013  
3,4     Fannie Mae-Aces 2011-M2   3.764%   4/25/21     5,635       5,728  
3,4     Fannie Mae-Aces 2011-M4   3.726%   6/25/21     9,380       9,542  
3,4     Fannie Mae-Aces 2012-M5   2.715%   2/25/22     4,920       4,961  
3,4     Fannie Mae-Aces 2013-M12   2.406%   3/25/23     9,153       9,237  
3,4     Fannie Mae-Aces 2013-M14   2.651%   4/25/23     4,271       4,315  
3,4     Fannie Mae-Aces 2013-M14   3.329%   10/25/23     15,132       15,770  
3,4     Fannie Mae-Aces 2013-M4   2.608%   3/25/22     108       108  
3,4     Fannie Mae-Aces 2013-M7   2.280%   12/27/22     3,699       3,725  
3,4     Fannie Mae-Aces 2014-M1   3.188%   7/25/23     17,420       18,028  
3,4     Fannie Mae-Aces 2014-M12   2.614%   10/25/21     12,937       13,036  
3,4     Fannie Mae-Aces 2014-M13   2.566%   8/25/24     487       488  
3,4     Fannie Mae-Aces 2014-M13   3.021%   8/25/24     10,418       10,704  
3,4     Fannie Mae-Aces 2014-M2   3.513%   12/25/23     14,391       15,089  
3,4     Fannie Mae-Aces 2014-M3   3.480%   1/25/24     6,059       6,318  
3,4     Fannie Mae-Aces 2014-M4   3.346%   3/25/24     8,175       8,522  
3,4     Fannie Mae-Aces 2014-M6   2.679%   5/25/21     11,087       11,175  
3,4     Fannie Mae-Aces 2014-M7   3.275%   6/25/24     12,537       13,178  
3,4     Fannie Mae-Aces 2014-M8   2.346%   6/25/24     1,011       1,015  
3,4     Fannie Mae-Aces 2014-M8   3.056%   6/25/24     8,325       8,622  
3,4     Fannie Mae-Aces 2014-M9   3.103%   7/25/24     10,459       10,844  
3,4     Fannie Mae-Aces 2015-M1   2.532%   9/25/24     15,000       15,153  
3,4     Fannie Mae-Aces 2015-M10   3.092%   4/25/27     4,600       4,812  
3,4     Fannie Mae-Aces 2015-M11   2.829%   4/25/25     3,000       3,100  
3,4     Fannie Mae-Aces 2015-M12   2.796%   5/25/25     11,600       11,891  
3,4     Fannie Mae-Aces 2015-M15   2.923%   10/25/25     14,400       14,885  
3,4     Fannie Mae-Aces 2015-M2   2.620%   12/25/24     9,739       9,980  
3,4     Fannie Mae-Aces 2015-M3   2.723%   10/25/24     5,650       5,769  
3,4     Fannie Mae-Aces 2015-M4   2.509%   7/25/22     5,123       5,156  
3,4     Fannie Mae-Aces 2015-M7   2.590%   12/25/24     10,028       10,196  
3,4     Fannie Mae-Aces 2015-M8   2.344%   1/25/25     3,706       3,733  
3,4     Fannie Mae-Aces 2015-M8   2.900%   1/25/25     5,700       5,855  
3,4     Fannie Mae-Aces 2016-M11   2.369%   7/25/26     17,000       17,099  
3,4     Fannie Mae-Aces 2016-M12   2.308%   10/25/23     1,000       1,005  
3,4     Fannie Mae-Aces 2016-M12   2.444%   9/25/26     17,200       17,441  
3,4     Fannie Mae-Aces 2016-M13   2.483%   9/25/26     2,000       2,009  

 

16

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4     Fannie Mae-Aces 2016-M2   2.152%   1/25/23     9,362       9,370  
3,4     Fannie Mae-Aces 2016-M3   2.702%   2/25/26     5,800       5,941  
3,4     Fannie Mae-Aces 2016-M4   2.576%   3/25/26     5,775       5,866  
3,4     Fannie Mae-Aces 2016-M5   2.469%   4/25/26     12,400       12,436  
3,4     Fannie Mae-Aces 2016-M6   2.488%   5/25/26     10,500       10,653  
3,4     Fannie Mae-Aces 2016-M7   2.157%   10/25/23     2,746       2,748  
3,4     Fannie Mae-Aces 2016-M7   2.499%   9/25/26     5,625       5,648  
3,4     Fannie Mae-Aces 2016-M9   2.292%   6/25/26     18,939       18,787  
3,4     Fannie Mae-Aces 2017-M1   2.417%   10/25/26     12,988       13,121  
3,4     Fannie Mae-Aces 2017-M10   2.561%   7/25/24     5,910       6,022  
3,4     Fannie Mae-Aces 2017-M11   2.980%   8/25/29     4,000       4,164  
3,4     Fannie Mae-Aces 2017-M12   3.079%   6/25/27     19,650       20,403  
3,4     Fannie Mae-Aces 2017-M13   2.939%   9/25/27     1,500       1,547  
3,4     Fannie Mae-Aces 2017-M15   3.136%   11/25/27     15,725       16,363  
3,4     Fannie Mae-Aces 2017-M2   2.801%   2/25/27     7,600       7,853  
3,4     Fannie Mae-Aces 2017-M3   2.483%   12/25/26     10,730       10,901  
3,4     Fannie Mae-Aces 2017-M4   2.586%   12/25/26     16,000       16,156  
3,4     Fannie Mae-Aces 2017-M7   2.961%   2/25/27     12,125       12,578  
3,4     Fannie Mae-Aces 2017-M8   3.061%   5/25/27     15,200       15,913  
3,4     Fannie Mae-Aces 2018-M1   2.985%   12/25/27     2,000       2,088  
3,4     Fannie Mae-Aces 2018-M12   3.640%   8/25/30     2,530       2,771  
3,4     Fannie Mae-Aces 2018-M14   3.578%   8/25/28     6,200       6,711  
3,4     Fannie Mae-Aces 2018-M18   2.469%   8/25/29     14,145       14,147  
3,4     Fannie Mae-Aces 2018-M2   2.902%   1/25/28     26,525       27,326  
3,4     Fannie Mae-Aces 2018-M4   3.045%   3/25/28     12,018       12,481  
3,4     Fannie Mae-Aces 2018-M7   3.052%   3/25/28     7,275       7,600  
3,4     Fannie Mae-Aces 2018-M8   3.325%   6/25/28     5,663       6,021  
3,4     Fannie Mae-Aces 2018-M8   3.610%   2/25/31     17,675       19,142  
3,4     Fannie Mae-Aces 2019-M1   3.555%   9/25/28     7,925       8,584  
3,4     Fannie Mae-Aces 2019-M2   3.631%   11/25/28     11,675       12,724  
3,4     Fannie Mae-Aces 2019-M22   2.522%   8/25/29     21,180       21,237  
3,4     Fannie Mae-Aces 2019-M5   3.273%   1/25/29     10,525       11,159  
3,4     Fannie Mae-Aces 2019-M7   3.143%   4/25/29     13,200       13,860  
3,4     Fannie Mae-Aces 2019-M9   2.937%   4/25/29     18,875       19,557  
3,4     Federal Housing Administration   7.430%   10/1/20     1        
3,4     FHLMC Multifamily Structured Pass Through Certificates K011   4.084%   11/25/20     13,006       13,190  
3,4     FHLMC Multifamily Structured Pass Through Certificates K012   4.185%   12/25/20     1,025       1,041  
3,4     FHLMC Multifamily Structured Pass Through Certificates K014   3.871%   4/25/21     6,575       6,696  
3,4     FHLMC Multifamily Structured Pass Through Certificates K017   2.873%   12/25/21     17,392       17,635  
3,4     FHLMC Multifamily Structured Pass Through Certificates K018   2.789%   1/25/22     9,974       10,078  
3,4     FHLMC Multifamily Structured Pass Through Certificates K019   2.272%   3/25/22     7,808       7,845  
3,4     FHLMC Multifamily Structured Pass Through Certificates K020   2.373%   5/25/22     20,750       20,914  
3,4     FHLMC Multifamily Structured Pass Through Certificates K021   2.396%   6/25/22     11,840       11,917  
3,4     FHLMC Multifamily Structured Pass Through Certificates K022   2.355%   7/25/22     870       876  
3,4     FHLMC Multifamily Structured Pass Through Certificates K023   2.307%   8/25/22     10,000       10,068  
3,4     FHLMC Multifamily Structured Pass Through Certificates K026   2.510%   11/25/22     16,600       16,813  
3,4     FHLMC Multifamily Structured Pass Through Certificates K027   2.637%   1/25/23     16,625       16,897  
3,4     FHLMC Multifamily Structured Pass Through Certificates K028   3.111%   2/25/23     26,300       27,102  
3,4     FHLMC Multifamily Structured Pass Through Certificates K029   2.839%   10/25/22     4,010       4,049  

 

17

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4     FHLMC Multifamily Structured Pass Through Certificates K029   3.320%   2/25/23     16,425       17,026  
3,4     FHLMC Multifamily Structured Pass Through Certificates K030   2.779%   9/25/22     6,551       6,608  
3,4     FHLMC Multifamily Structured Pass Through Certificates K030   3.250%   4/25/23     17,675       18,283  
3,4     FHLMC Multifamily Structured Pass Through Certificates K031   3.300%   4/25/23     16,452       17,091  
3,4     FHLMC Multifamily Structured Pass Through Certificates K032   3.016%   2/25/23     7,079       7,198  
3,4     FHLMC Multifamily Structured Pass Through Certificates K032   3.310%   5/25/23     17,660       18,332  
3,4     FHLMC Multifamily Structured Pass Through Certificates K033   2.871%   2/25/23     8,420       8,531  
3,4     FHLMC Multifamily Structured Pass Through Certificates K033   3.060%   7/25/23     19,075       19,710  
3,4     FHLMC Multifamily Structured Pass Through Certificates K034   3.531%   7/25/23     15,354       16,097  
3,4     FHLMC Multifamily Structured Pass Through Certificates K035   3.458%   8/25/23     19,775       20,707  
3,4     FHLMC Multifamily Structured Pass Through Certificates K036   3.527%   10/25/23     17,403       18,245  
3,4     FHLMC Multifamily Structured Pass Through Certificates K037   3.490%   1/25/24     6,475       6,806  
3,4     FHLMC Multifamily Structured Pass Through Certificates K038   2.604%   10/25/23     2,213       2,226  
3,4     FHLMC Multifamily Structured Pass Through Certificates K038   3.389%   3/25/24     19,450       20,337  
3,4     FHLMC Multifamily Structured Pass Through Certificates K039   2.683%   12/25/23     1,971       1,994  
3,4     FHLMC Multifamily Structured Pass Through Certificates K039   3.303%   7/25/24     10,850       11,397  
3,4     FHLMC Multifamily Structured Pass Through Certificates K040   2.768%   4/25/24     4,146       4,210  
3,4     FHLMC Multifamily Structured Pass Through Certificates K040   3.241%   9/25/24     14,400       15,113  
3,4     FHLMC Multifamily Structured Pass Through Certificates K041   3.171%   10/25/24     14,025       14,661  
3,4     FHLMC Multifamily Structured Pass Through Certificates K042   2.267%   6/25/24     2,032       2,037  
3,4     FHLMC Multifamily Structured Pass Through Certificates K042   2.670%   12/25/24     6,450       6,602  
3,4     FHLMC Multifamily Structured Pass Through Certificates K043   2.532%   10/25/23     2,031       2,048  
3,4     FHLMC Multifamily Structured Pass Through Certificates K043   3.062%   12/25/24     10,900       11,369  
3,4     FHLMC Multifamily Structured Pass Through Certificates K044   2.811%   1/25/25     3,000       3,085  
3,4     FHLMC Multifamily Structured Pass Through Certificates K045   2.493%   11/25/24     4,491       4,529  
3,4     FHLMC Multifamily Structured Pass Through Certificates K045   3.023%   1/25/25     9,050       9,398  
3,4     FHLMC Multifamily Structured Pass Through Certificates K046   3.205%   3/25/25     9,175       9,623  
3,4     FHLMC Multifamily Structured Pass Through Certificates K047   2.827%   12/25/24     2,171       2,209  
3,4     FHLMC Multifamily Structured Pass Through Certificates K047   3.329%   5/25/25     6,850       7,235  
3,4     FHLMC Multifamily Structured Pass Through Certificates K048   3.284%   6/25/25     11,600       12,246  
3,4     FHLMC Multifamily Structured Pass Through Certificates K049   3.010%   7/25/25     9,350       9,736  
3,4     FHLMC Multifamily Structured Pass Through Certificates K050   3.334%   8/25/25     10,325       10,913  

 

18

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4     FHLMC Multifamily Structured Pass Through Certificates K052   3.151%   11/25/25     7,025       7,371  
3,4     FHLMC Multifamily Structured Pass Through Certificates K053   2.995%   12/25/25     4,050       4,218  
3,4     FHLMC Multifamily Structured Pass Through Certificates K054   2.745%   1/25/26     15,825       16,279  
3,4     FHLMC Multifamily Structured Pass Through Certificates K055   2.263%   4/25/25     335       336  
3,4     FHLMC Multifamily Structured Pass Through Certificates K055   2.673%   3/25/26     14,200       14,534  
3,4     FHLMC Multifamily Structured Pass Through Certificates K056   2.525%   5/25/26     11,625       11,817  
3,4     FHLMC Multifamily Structured Pass Through Certificates K057   2.570%   7/25/26     18,025       18,331  
3,4     FHLMC Multifamily Structured Pass Through Certificates K058   2.653%   8/25/26     10,475       10,729  
3,4     FHLMC Multifamily Structured Pass Through Certificates K059   3.120%   9/25/26     6,500       6,827  
3,4     FHLMC Multifamily Structured Pass Through Certificates K060   3.300%   10/25/26     4,321       4,585  
3,4     FHLMC Multifamily Structured Pass Through Certificates K061   3.347%   11/25/26     12,800       13,624  
3,4     FHLMC Multifamily Structured Pass Through Certificates K062   3.413%   12/25/26     12,850       13,759  
3,4     FHLMC Multifamily Structured Pass Through Certificates K063   3.430%   1/25/27     28,950       31,024  
3,4     FHLMC Multifamily Structured Pass Through Certificates K064   3.224%   3/25/27     14,200       15,026  
3,4     FHLMC Multifamily Structured Pass Through Certificates K065   3.243%   4/25/27     3,000       3,176  
3,4     FHLMC Multifamily Structured Pass Through Certificates K066   3.117%   6/25/27     10,060       10,593  
3,4     FHLMC Multifamily Structured Pass Through Certificates K067   3.194%   7/25/27     3,000       3,174  
3,4     FHLMC Multifamily Structured Pass Through Certificates K068   3.244%   8/25/27     7,675       8,138  
3,4     FHLMC Multifamily Structured Pass Through Certificates K069   3.187%   9/25/27     14,000       14,706  
3,4     FHLMC Multifamily Structured Pass Through Certificates K070   3.303%   11/25/27     4,875       5,179  
3,4     FHLMC Multifamily Structured Pass Through Certificates K071   3.286%   11/25/27     6,325       6,704  
3,4     FHLMC Multifamily Structured Pass Through Certificates K072   3.444%   12/25/27     7,300       7,837  
3,4     FHLMC Multifamily Structured Pass Through Certificates K075   3.650%   2/25/28     10,950       11,900  
3,4     FHLMC Multifamily Structured Pass Through Certificates K076   3.900%   4/25/28     24,000       26,523  
3,4     FHLMC Multifamily Structured Pass Through Certificates K081   3.900%   8/25/28     6,700       7,396  
3,4     FHLMC Multifamily Structured Pass Through Certificates K082   3.920%   9/25/28     3,725       4,128  
3,4     FHLMC Multifamily Structured Pass Through Certificates K084   3.780%   10/25/28     16,500       18,013  
3,4     FHLMC Multifamily Structured Pass Through Certificates K085   4.060%   10/25/28     8,275       9,264  
3,4     FHLMC Multifamily Structured Pass Through Certificates K087   3.591%   10/25/27     1,752       1,857  
3,4     FHLMC Multifamily Structured Pass Through Certificates K088   3.690%   1/25/29     16,080       17,599  
3,4     FHLMC Multifamily Structured Pass Through Certificates K089   3.563%   1/25/29     9,000       9,754  
3,4     FHLMC Multifamily Structured Pass Through Certificates K092   3.298%   4/25/29     13,215       14,108  

 

19

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4     FHLMC Multifamily Structured Pass Through Certificates K094   2.903%   6/25/29     15,725       16,309  
3,4     FHLMC Multifamily Structured Pass Through Certificates K095   2.785%   6/25/29     15,850       16,296  
3,4     FHLMC Multifamily Structured Pass Through Certificates K096   2.519%   7/25/29     13,750       13,889  
3,4     FHLMC Multifamily Structured Pass Through Certificates K098   2.425%   8/25/29     26,450       26,437  
3,4     FHLMC Multifamily Structured Pass Through Certificates K099   2.595%   9/25/29     12,180       12,254  
3,4     FHLMC Multifamily Structured Pass Through Certificates K103   2.651%   12/25/51     16,700       16,978  
3,4     FHLMC Multifamily Structured Pass Through Certificates K1511   3.470%   3/25/31     5,225       5,655  
3,4     FHLMC Multifamily Structured Pass Through Certificates K1511   3.542%   3/25/34     13,170       14,261  
3,4     FHLMC Multifamily Structured Pass Through Certificates K1513   2.797%   8/25/34     11,900       12,009  
3,4     FHLMC Multifamily Structured Pass Through Certificates K152   3.080%   1/25/31     5,800       5,975  
3,4     FHLMC Multifamily Structured Pass Through Certificates K153   3.294%   3/25/29     10,000       10,699  
3,4     FHLMC Multifamily Structured Pass Through Certificates K153   3.117%   10/25/31     8,700       8,998  
3,4     FHLMC Multifamily Structured Pass Through Certificates K155   3.750%   11/25/32     5,202       5,715  
3,4     FHLMC Multifamily Structured Pass Through Certificates K155   3.750%   4/25/33     11,212       12,391  
3,4     FHLMC Multifamily Structured Pass Through Certificates K157   3.990%   5/25/33     3,600       4,026  
3,4     FHLMC Multifamily Structured Pass Through Certificates K157   3.990%   8/25/33     4,625       5,234  
3,4     FHLMC Multifamily Structured Pass Through Certificates K504   2.566%   9/25/20     2,179       2,181  
3,4     FHLMC Multifamily Structured Pass Through Certificates K713   2.313%   3/25/20     11,365       11,352  
3,4     FHLMC Multifamily Structured Pass Through Certificates K714   3.034%   10/25/20     22,788       22,873  
3,4     FHLMC Multifamily Structured Pass Through Certificates K716   2.413%   1/25/21     164       164  
3,4     FHLMC Multifamily Structured Pass Through Certificates K716   3.130%   6/25/21     18,645       18,850  
3,4     FHLMC Multifamily Structured Pass Through Certificates K717   2.991%   9/25/21     11,179       11,306  
3,4     FHLMC Multifamily Structured Pass Through Certificates K718   2.375%   9/25/21     4,584       4,600  
3,4     FHLMC Multifamily Structured Pass Through Certificates K718   2.791%   1/25/22     10,825       10,975  
3,4     FHLMC Multifamily Structured Pass Through Certificates K722   2.183%   5/25/22     2,999       3,001  
3,4     FHLMC Multifamily Structured Pass Through Certificates K722   2.406%   3/25/23     2,000       2,019  
3,4     FHLMC Multifamily Structured Pass Through Certificates K731   3.600%   2/25/25     13,200       13,986  
3,4     FHLMC Multifamily Structured Pass Through Certificates K734   3.208%   2/25/26     21,100       22,162  
3,4     FHLMC Multifamily Structured Pass Through Certificates KS03   3.161%   5/25/25     7,100       7,393  
3,4     FHLMC Multifamily Structured Pass Through Certificates KW01   2.853%   1/25/26     11,600       11,971  
3,4     FHLMC Multifamily Structures Pass Through Certificates K073   3.350%   1/25/28     8,675       9,258  
3,4     FHLMC Multifamily Structures Pass Through Certificates K074   3.600%   1/25/28     16,150       17,520  

 

20

 

  

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
3,4     FHLMC Multifamily Structures Pass Through Certificates K077   3.850%   5/25/28     1,000       1,098  
3,4     FHLMC Multifamily Structures Pass Through Certificates K078   3.854%   6/25/28     6,500       7,153  
3,4     FHLMC Multifamily Structures Pass Through Certificates K079   3.926%   6/25/28     2,457       2,722  
3,4     FHLMC Multifamily Structures Pass Through Certificates K080   3.736%   4/25/28     973       1,045  
3,4     FHLMC Multifamily Structures Pass Through Certificates K080   3.926%   7/25/28     6,775       7,510  
3,4     FHLMC Multifamily Structures Pass Through Certificates K087   3.771%   12/25/28     12,150       13,317  
3,4     FHLMC Multifamily Structures Pass Through Certificates K087   2.537%   10/25/29     19,195       19,428  
3,4     FHLMC Multifamily Structures Pass Through Certificates K090   3.422%   2/25/29     12,175       13,061  
3,4     FHLMC Multifamily Structures Pass Through Certificates K101   2.524%   10/25/29     21,365       21,525  
3,4     FHLMC Multifamily Structures Pass Through Certificates K15-14   2.859%   10/25/34     13,375       13,528  
3,4     FHLMC Multifamily Structures Pass Through Certificates K1504   3.424%   4/25/32     2,100       2,253  
3,4     FHLMC Multifamily Structures Pass Through Certificates K1504   3.459%   11/25/32     2,475       2,668  
3,4     FHLMC Multifamily Structures Pass Through Certificates K1510   3.718%   1/25/31     4,175       4,593  
3,4     FHLMC Multifamily Structures Pass Through Certificates K1510   3.794%   1/25/34     6,775       7,514  
3,4     FHLMC Multifamily Structures Pass Through Certificates K715   2.856%   1/25/21     6,033       6,064  
3,4     FHLMC Multifamily Structures Pass Through Certificates K720   2.716%   6/25/22     7,525       7,624  
3,4     FHLMC Multifamily Structures Pass Through Certificates K723   2.454%   8/25/23     10,425       10,553  
3,4     FHLMC Multifamily Structures Pass Through Certificates K724   3.062%   11/25/23     9,500       9,816  
3,4     FHLMC Multifamily Structures Pass Through Certificates K725   3.002%   1/25/24     26,090       26,895  
3,4     FHLMC Multifamily Structures Pass Through Certificates K725   2.946%   7/25/24     12,500       12,888  
3,4     FHLMC Multifamily Structures Pass Through Certificates K726   2.905%   4/25/24     13,000       13,299  
3,4     FHLMC Multifamily Structures Pass Through Certificates K728   3.064%   8/25/24     16,000       16,592  
3,4     FHLMC Multifamily Structures Pass Through Certificates K730   3.452%   9/25/24     1,196       1,230  
3,4     FHLMC Multifamily Structures Pass Through Certificates K730   3.590%   1/25/25     15,975       16,910  
3,4     FHLMC Multifamily Structures Pass Through Certificates K732   3.700%   5/25/25     13,200       14,020  
3,4     FHLMC Multifamily Structures Pass Through Certificates K735   2.862%   5/25/26     20,000       20,632  
3,4     FHLMC Multifamily Structures Pass Through Certificates KC02   3.370%   7/25/25     10,225       10,661  
3,4     FHLMC Multifamily Structures Pass Through Certificates KC02   3.505%   3/25/29     20,400       22,042  
3,4     FHLMC Multifamily Structures Pass Through Certificates KC02   2.982%   5/25/29     23,400       24,377  
3,4     FHLMC Multifamily Structures Pass Through Certificates KS02   2.720%   7/25/26     10,806       11,088  
4     Fifth Third Auto Trust 2019-1   2.640%   12/15/23     7,400       7,457  
4     Fifth Third Auto Trust 2019-1   2.690%   11/16/26     2,375       2,410  
4     Ford Credit Auto Lease Trust 2018-A   2.930%   6/15/21     7,350       7,367  
4     Ford Credit Auto Lease Trust 2018-A   3.050%   8/15/21     775       780  

 

21

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Ford Credit Auto Lease Trust 2019-A   2.900%   5/15/22     3,450       3,482  
4     Ford Credit Auto Lease Trust 2019-A   2.980%   6/15/22     1,600       1,620  
4     Ford Credit Auto Owner Trust 2017-A   1.670%   6/15/21     1,472       1,471  
4     Ford Credit Auto Owner Trust 2017-A   1.920%   4/15/22     3,975       3,974  
4     Ford Credit Auto Owner Trust 2017-B   1.690%   11/15/21     3,834       3,830  
4     Ford Credit Auto Owner Trust 2017-B   1.870%   9/15/22     1,065       1,065  
4     Ford Credit Auto Owner Trust 2017-C   2.010%   3/15/22     14,212       14,220  
4     Ford Credit Auto Owner Trust 2019-A   2.780%   9/15/23     9,225       9,350  
4     Ford Credit Auto Owner Trust 2019-A   2.850%   8/15/24     3,700       3,776  
4     Ford Credit Floorplan Master Owner Trust A Series 2017-2   2.160%   9/15/22     9,470       9,481  
4     Ford Credit Floorplan Master Owner Trust A Series 2017-3   2.480%   9/15/24     9,800       9,888  
4     Ford Credit Floorplan Master Owner Trust A Series 2018-1   2.950%   5/15/23     13,125       13,277  
4     Ford Credit Floorplan Master Owner Trust A Series 2018-2   3.170%   3/15/25     11,925       12,261  
4     GM Financial Automobile Leasing Trust 2018-1   2.610%   1/20/21     3,751       3,755  
4     GM Financial Automobile Leasing Trust 2018-1   2.680%   12/20/21     1,575       1,579  
4     GM Financial Automobile Leasing Trust 2018-2   3.060%   6/21/21     2,369       2,376  
4     GM Financial Automobile Leasing Trust 2018-2   3.160%   4/20/22     1,050       1,058  
4     GM Financial Automobile Leasing Trust 2019-2   2.670%   3/21/22     3,700       3,726  
4     GM Financial Automobile Leasing Trust 2019-2   2.720%   3/20/23     1,725       1,739  
4     GM Financial Consumer Automobile 2018-2   2.810%   12/16/22     6,300       6,349  
4     GM Financial Consumer Automobile 2018-2   3.020%   12/18/23     5,250       5,347  
4     GS Mortgage Securities Corporation II 2013-GC10   2.943%   2/10/46     4,077       4,147  
4     GS Mortgage Securities Trust 2011-GC5   3.707%   8/10/44     3,220       3,275  
4     GS Mortgage Securities Trust 2012-GC6   3.482%   1/10/45     12,627       12,860  
4     GS Mortgage Securities Trust 2012-GCJ7   3.377%   5/10/45     5,977       6,065  
4     GS Mortgage Securities Trust 2012-GCJ9   2.773%   11/10/45     5,462       5,533  
4     GS Mortgage Securities Trust 2013-GC10   3.279%   2/10/46     1,529       1,564  
4     GS Mortgage Securities Trust 2013-GCJ12   3.135%   6/10/46     5,682       5,824  
4     GS Mortgage Securities Trust 2013-GCJ12   3.375%   6/10/46     1,792       1,839  
4     GS Mortgage Securities Trust 2013-GCJ14   3.817%   8/10/46     1,066       1,096  
4     GS Mortgage Securities Trust 2013-GCJ14   4.243%   8/10/46     7,350       7,821  
4     GS Mortgage Securities Trust 2013-GCJ16   3.813%   11/10/46     894       922  
4     GS Mortgage Securities Trust 2013-GCJ16   4.271%   11/10/46     1,525       1,627  
4     GS Mortgage Securities Trust 2014-GC18   4.074%   1/10/47     10,725       11,404  
4     GS Mortgage Securities Trust 2014-GC18   4.383%   1/10/47     1,975       2,088  
4     GS Mortgage Securities Trust 2014-GC22   3.467%   6/10/47     1,982       2,029  
4     GS Mortgage Securities Trust 2014-GC22   3.516%   6/10/47     306       310  
4     GS Mortgage Securities Trust 2014-GC22   3.862%   6/10/47     1,950       2,070  
4     GS Mortgage Securities Trust 2014-GC24   3.931%   9/10/47     7,125       7,602  
4     GS Mortgage Securities Trust 2014-GC24   4.511%   9/10/47     1,675       1,746  
4     GS Mortgage Securities Trust 2014-GC26   3.365%   11/10/47     3,290       3,380  
4     GS Mortgage Securities Trust 2014-GC26   3.629%   11/10/47     11,450       12,101  
4     GS Mortgage Securities Trust 2014-GC26   3.964%   11/10/47     2,000       2,118  
4     GS Mortgage Securities Trust 2014-GC26   4.215%   11/10/47     1,700       1,780  
4     GS Mortgage Securities Trust 2015-GC28   3.396%   2/10/48     6,200       6,489  
4     GS Mortgage Securities Trust 2015-GC30   2.726%   5/10/50     3,476       3,477  
4     GS Mortgage Securities Trust 2015-GC30   3.382%   5/10/50     5,700       5,971  
4     GS Mortgage Securities Trust 2015-GC32   3.513%   7/10/48     5,775       5,987  
4     GS Mortgage Securities Trust 2015-GC32   3.764%   7/10/48     2,275       2,428  
4     GS Mortgage Securities Trust 2015-GC34   3.278%   10/10/48     5,900       6,084  
4     GS Mortgage Securities Trust 2015-GC34   3.506%   10/10/48     5,600       5,891  
4     GS Mortgage Securities Trust 2016-GS2   3.050%   5/10/49     4,425       4,572  
4     GS Mortgage Securities Trust 2016-GS3   2.850%   10/10/49     11,450       11,703  
4     GS Mortgage Securities Trust 2016-GS4   3.442%   11/10/49     3,950       4,173  
4     GS Mortgage Securities Trust 2016-GS4   3.645%   11/10/49     2,925       3,055  
4     GS Mortgage Securities Trust 2017-GS5   3.674%   3/10/50     8,350       8,950  
4     GS Mortgage Securities Trust 2017-GS5   3.826%   3/10/50     3,350       3,550  
4     GS Mortgage Securities Trust 2017-GS6   3.433%   5/10/50     8,250       8,722  
4     GS Mortgage Securities Trust 2017-GS7   3.430%   8/10/50     13,194       13,847  
4     GS Mortgage Securities Trust 2017-GS7   3.663%   8/10/50     3,519       3,713  

 

22

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     GS Mortgage Securities Trust 2019-GC39   3.567%   5/10/52     5,275       5,644  
4     GS Mortgage Securities Trust 2019-GC4   3.212%   9/1/52     3,775       3,845  
4     GS Mortgage Securities Trust 2019-GC40   3.160%   7/10/52     7,970       8,285  
4     GS Mortgage Securities Trust 2019-GS4   3.001%   9/1/52     16,200       16,584  
4     GS Mortgage Securities Trust 2019-GSA1   3.048%   11/10/52     7,164       7,332  
4     Honda Auto Receivables 2017-2 Owner Trust   1.680%   8/16/21     3,420       3,417  
4     Honda Auto Receivables 2017-2 Owner Trust   1.870%   9/15/23     1,864       1,863  
4     Honda Auto Receivables 2017-4 Owner Trust   2.050%   11/22/21     3,255       3,257  
4     Honda Auto Receivables 2018-1 Owner Trust   2.640%   2/15/22     10,974       11,020  
4     Honda Auto Receivables 2018-1 Owner Trust   2.830%   5/15/24     3,575       3,618  
4     Honda Auto Receivables 2018-2 Owner Trust   3.010%   5/18/22     3,650       3,683  
4     Honda Auto Receivables 2018-2 Owner Trust   3.160%   8/19/24     2,600       2,651  
4     Honda Auto Receivables 2018-4 Owner Trust   2.520%   6/21/23     8,975       9,057  
4     Honda Auto Receivables 2018-4 Owner Trust   2.540%   3/21/25     1,720       1,745  
4     Hyundai Auto Receivables Trust 2016-B   1.290%   4/15/21     521       521  
4     Hyundai Auto Receivables Trust 2016-B   1.450%   11/15/22     3,625       3,614  
4     Hyundai Auto Receivables Trust 2018-A   2.790%   7/15/22     3,425       3,449  
4     Hyundai Auto Receivables Trust 2018-A   2.940%   6/17/24     4,200       4,266  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6   3.507%   5/15/45     6,623       6,808  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8   2.829%   10/15/45     5,147       5,222  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX   3.483%   6/15/45     7,223       7,367  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9   2.840%   12/15/47     2,982       3,026  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10   3.143%   12/15/47     2,278       2,338  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10   3.372%   12/15/47     1,735       1,781  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16   3.674%   12/15/46     1,200       1,232  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16   3.881%   12/15/46     2,300       2,428  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16   4.166%   12/15/46     9,174       9,803  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16   4.517%   12/15/46     1,600       1,718  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16   4.962%   12/15/46     1,600       1,732  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11   2.960%   4/15/46     11,478       11,740  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20   3.805%   7/15/47     850       899  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1   3.914%   1/15/49     4,600       4,946  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3   2.870%   8/15/49     14,325       14,601  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4   3.648%   12/15/49     5,800       6,174  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4   3.870%   12/15/49     4,650       4,934  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6   3.050%   7/15/50     2,026       2,041  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6   3.490%   7/15/50     3,000       3,167  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6   3.744%   7/15/50     4,500       4,746  
4     JP Morgan Chase Commercial Mortgage Securities Trust 2019-COR4   4.029%   3/10/52     13,000       14,374  
4     JPMBB Commercial Mortgage Securities Trust 2013-C12   3.664%   7/15/45     1,776       1,858  
4     JPMBB Commercial Mortgage Securities Trust 2013-C12   4.039%   7/15/45     1,184       1,241  

 

23

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     JPMBB Commercial Mortgage Securities Trust 2013-C14   3.761%   8/15/46     1,211       1,246  
4     JPMBB Commercial Mortgage Securities Trust 2013-C14   4.133%   8/15/46     4,470       4,736  
4     JPMBB Commercial Mortgage Securities Trust 2013-C14   4.409%   8/15/46     1,260       1,331  
4     JPMBB Commercial Mortgage Securities Trust 2013-C15   3.659%   11/15/45     314       322  
4     JPMBB Commercial Mortgage Securities Trust 2013-C15   4.131%   11/15/45     2,940       3,135  
4     JPMBB Commercial Mortgage Securities Trust 2013-C15   4.420%   11/15/45     1,680       1,787  
4     JPMBB Commercial Mortgage Securities Trust 2013-C17   3.705%   1/15/47     1,329       1,371  
4     JPMBB Commercial Mortgage Securities Trust 2013-C17   4.199%   1/15/47     5,500       5,892  
4     JPMBB Commercial Mortgage Securities Trust 2013-C17   4.458%   1/15/47     1,100       1,175  
4     JPMBB Commercial Mortgage Securities Trust 2013-C17   4.892%   1/15/47     1,650       1,781  
4     JPMBB Commercial Mortgage Securities Trust 2014-C18   4.079%   2/15/47     6,590       7,033  
4     JPMBB Commercial Mortgage Securities Trust 2014-C18   4.439%   2/15/47     1,173       1,250  
4     JPMBB Commercial Mortgage Securities Trust 2014-C18   4.810%   2/15/47     1,422       1,515  
4     JPMBB Commercial Mortgage Securities Trust 2014-C19   3.046%   4/15/47     20       20  
4     JPMBB Commercial Mortgage Securities Trust 2014-C19   3.669%   4/15/47     2,800       2,845  
4     JPMBB Commercial Mortgage Securities Trust 2014-C19   3.997%   4/15/47     2,800       2,982  
4     JPMBB Commercial Mortgage Securities Trust 2014-C19   4.243%   4/15/47     2,225       2,372  
4     JPMBB Commercial Mortgage Securities Trust 2014-C21   3.428%   8/15/47     1,246       1,280  
4     JPMBB Commercial Mortgage Securities Trust 2014-C21   3.775%   8/15/47     1,375       1,457  
4     JPMBB Commercial Mortgage Securities Trust 2014-C21   3.997%   8/15/47     1,670       1,757  
4     JPMBB Commercial Mortgage Securities Trust 2014-C22   3.801%   9/15/47     8,325       8,850  
4     JPMBB Commercial Mortgage Securities Trust 2014-C22   4.110%   9/15/47     2,225       2,355  
4     JPMBB Commercial Mortgage Securities Trust 2014-C23   3.934%   9/15/47     4,175       4,452  
4     JPMBB Commercial Mortgage Securities Trust 2014-C23   4.202%   9/15/47     2,462       2,632  
4     JPMBB Commercial Mortgage Securities Trust 2014-C24   2.940%   11/15/47     709       709  
4     JPMBB Commercial Mortgage Securities Trust 2014-C24   3.639%   11/15/47     2,275       2,402  
4     JPMBB Commercial Mortgage Securities Trust 2014-C24   3.914%   11/15/47     4,125       4,330  
4     JPMBB Commercial Mortgage Securities Trust 2014-C25   3.672%   11/15/47     9,975       10,531  
4     JPMBB Commercial Mortgage Securities Trust 2014-C25   4.065%   11/15/47     2,775       2,934  
4     JPMBB Commercial Mortgage Securities Trust 2014-C26   3.019%   1/15/48     379       379  
4     JPMBB Commercial Mortgage Securities Trust 2014-C26   3.494%   1/15/48     17,150       17,976  
4     JPMBB Commercial Mortgage Securities Trust 2014-C26   3.800%   1/15/48     2,875       3,018  

 

24

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     JPMBB Commercial Mortgage Securities Trust 2014-C26   3.951%   1/15/48     2,875       2,999  
4     JPMBB Commercial Mortgage Securities Trust 2015-C27   2.734%   2/15/48     591       591  
4     JPMBB Commercial Mortgage Securities Trust 2015-C27   3.017%   2/15/48     5,715       5,822  
4     JPMBB Commercial Mortgage Securities Trust 2015-C27   3.179%   2/15/48     3,048       3,152  
4     JPMBB Commercial Mortgage Securities Trust 2015-C28   2.773%   10/15/48     2,225       2,226  
4     JPMBB Commercial Mortgage Securities Trust 2015-C28   3.227%   10/15/48     6,775       7,031  
4     JPMBB Commercial Mortgage Securities Trust 2015-C28   3.532%   10/15/48     1,725       1,783  
4     JPMBB Commercial Mortgage Securities Trust 2015-C29   2.921%   5/15/48     3,383       3,387  
4     JPMBB Commercial Mortgage Securities Trust 2015-C29   3.304%   5/15/48     2,963       3,047  
4     JPMBB Commercial Mortgage Securities Trust 2015-C29   3.611%   5/15/48     4,650       4,921  
4     JPMBB Commercial Mortgage Securities Trust 2015-C30   3.559%   7/15/48     5,775       5,961  
4     JPMBB Commercial Mortgage Securities Trust 2015-C30   3.822%   7/15/48     5,675       6,053  
4     JPMBB Commercial Mortgage Securities Trust 2015-C30   4.226%   7/15/48     2,900       3,103  
4     JPMBB Commercial Mortgage Securities Trust 2015-C31   3.540%   8/15/48     2,772       2,874  
4     JPMBB Commercial Mortgage Securities Trust 2015-C31   3.801%   8/15/48     2,960       3,155  
4     JPMBB Commercial Mortgage Securities Trust 2015-C32   3.358%   11/15/48     5,875       6,058  
4     JPMBB Commercial Mortgage Securities Trust 2015-C32   3.598%   11/15/48     5,875       6,210  
4     JPMBB Commercial Mortgage Securities Trust 2015-C33   3.770%   12/15/48     4,230       4,525  
4     JPMBB Commercial Mortgage Securities Trust 2016-C1   3.316%   3/15/49     4,675       4,825  
4     JPMCC Commercial Mortgage Securities Trust 2017-JP5   3.723%   3/15/50     17,175       18,451  
4     JPMCC Commercial Mortgage Securities Trust 2017-JP5   3.876%   3/15/50     3,200       3,401  
4     JPMCC Commercial Mortgage Securities Trust 2019-COR5   3.386%   6/13/52     11,975       12,543  
4     JPMCC Commercial Mortgage Securities Trust 2019-COR5   3.669%   6/13/52     1,075       1,130  
4     JPMDB Commercial Mortgage Securities Trust 2016-C2   3.144%   6/15/49     4,400       4,547  
4     JPMDB Commercial Mortgage Securities Trust 2016-C2   3.484%   6/15/49     2,050       2,121  
4     JPMDB Commercial Mortgage Securities Trust 2017-C5   3.694%   3/15/50     14,250       15,279  
4     JPMDB Commercial Mortgage Securities Trust 2017-C5   3.858%   3/15/50     5,600       5,927  
4     JPMDB Commercial Mortgage Securities Trust 2017-C7   3.409%   10/15/50     3,850       4,068  
4     JPMDB Commercial Mortgage Securities Trust 2017-C7   3.713%   10/15/50     2,400       2,529  
4     JPMDB Commercial Mortgage Securities Trust 2018-C8   4.211%   6/15/51     13,125       14,516  
4     JPMDB Commercial Mortgage Securities Trust 2018-C8   4.421%   6/15/51     1,575       1,734  
4     JPMDB Commercial Mortgage Securities Trust 2019-COR6   3.057%   11/13/52     10,695       10,878  

 

25

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Mercedes-Benz Auto Lease Trust 2018-A   2.410%   2/16/21     2,494       2,496  
4     Mercedes-Benz Auto Lease Trust 2018-A   2.510%   10/16/23     800       801  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5   3.176%   8/15/45     3,025       3,088  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6   2.858%   11/15/45     2,506       2,541  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10   4.081%   7/15/46     8,000       8,459  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11   4.153%   8/15/46     1,680       1,780  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11   4.353%   8/15/46     840       886  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12   4.259%   10/15/46     3,915       4,165  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13   2.936%   11/15/46     17       17  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13   4.039%   11/15/46     3,500       3,702  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13   4.755%   11/15/46     1,750       1,866  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7   2.918%   2/15/46     3,011       3,060  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7   3.214%   2/15/46     599       609  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8   3.134%   12/15/48     3,475       3,556  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8   3.376%   12/15/48     1,800       1,842  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9   3.102%   5/15/46     3,475       3,559  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9   3.456%   5/15/46     2,150       2,216  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14   3.669%   2/15/47     3,239       3,272  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14   4.064%   2/15/47     4,475       4,758  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14   4.745%   2/15/47     1,600       1,719  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16   3.477%   6/15/47     1,010       1,035  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16   3.892%   6/15/47     4,200       4,443  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16   4.337%   6/15/47     1,675       1,772  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18   3.194%   10/15/47     246       246  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18   3.923%   10/15/47     1,400       1,487  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18   4.478%   10/15/47     1,675       1,777  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19   3.326%   12/15/47     3,924       4,024  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19   3.526%   12/15/47     5,050       5,290  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20   3.069%   2/15/48     2,875       2,936  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20   3.249%   2/15/48     10,125       10,484  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21   3.338%   3/15/48     2,500       2,596  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22   3.040%   4/15/48     5,725       5,843  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22   3.306%   4/15/48     4,500       4,686  

 

26

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22   3.883%   4/15/48     2,875       2,975  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23   2.982%   7/15/50     2,859       2,862  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23   3.398%   7/15/50     1,750       1,798  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23   3.719%   7/15/50     5,775       6,124  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25   3.383%   10/15/48     6,550       6,775  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25   3.635%   10/15/48     3,475       3,676  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26   3.323%   10/15/48     3,825       3,943  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26   3.531%   10/15/48     4,325       4,546  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27   3.557%   12/15/47     2,950       3,049  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27   3.753%   12/15/47     3,500       3,727  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28   3.288%   1/15/49     4,175       4,311  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28   3.544%   1/15/49     11,975       12,681  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29   3.140%   5/15/49     2,200       2,263  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29   3.325%   5/15/49     1,250       1,300  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30   2.860%   9/15/49     11,700       11,875  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31   3.102%   11/15/49     14,200       14,653  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32   3.720%   12/15/49     11,600       12,371  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32   3.994%   12/15/49     4,625       4,931  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33   3.599%   5/15/50     8,150       8,678  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33   3.852%   5/15/50     5,200       5,520  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34   3.276%   11/15/52     5,725       5,948  
4     Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34   3.536%   11/15/52     8,325       8,835  
4     Morgan Stanley Capital I Trust 2012-C4   3.244%   3/15/45     7,000       7,112  
4     Morgan Stanley Capital I Trust 2012-C4   3.773%   3/15/45     2,900       2,974  
4     Morgan Stanley Capital I Trust 2015-UBS8   3.809%   12/15/48     4,100       4,387  
4     Morgan Stanley Capital I Trust 2016-BNK2   3.049%   11/15/49     5,850       6,059  
4     Morgan Stanley Capital I Trust 2016-BNK2   3.282%   11/15/49     4,707       4,858  
4     Morgan Stanley Capital I Trust 2016-UB11   2.782%   8/15/49     11,700       11,827  
4     Morgan Stanley Capital I Trust 2016-UB12   3.778%   12/15/49     5,000       5,299  
4     Morgan Stanley Capital I Trust 2016-UBS12   3.596%   12/15/49     11,625       12,397  
4     Morgan Stanley Capital I Trust 2017-H1   3.530%   6/15/50     7,500       7,925  
4     Morgan Stanley Capital I Trust 2018-H4   4.310%   12/15/51     10,000       11,184  
4     Morgan Stanley Capital I Trust 2019-H6   3.417%   6/15/52     14,885       15,704  
4     Morgan Stanley Capital I Trust 2019-H6   3.700%   6/15/52     1,875       1,964  
4     Morgan Stanley Capital I Trust 2019-L2   4.071%   3/15/52     8,435       9,371  
4     Morgan Stanley Capital I Trust 2019-L3   3.127%   11/15/29     10,950       11,304  
7     National Australia Bank Ltd.   2.250%   3/16/21     16,000       16,068  
4     Nissan Auto Lease Trust 2017-B   2.050%   9/15/20     432       432  
4     Nissan Auto Lease Trust 2017-B   2.170%   12/15/21     1,000       1,000  
4     Nissan Auto Receivables 2015-B Owner Trust   1.790%   1/17/22     190       190  
4     Nissan Auto Receivables 2015-C Owner Trust   1.670%   2/15/22     826       825  
4     Nissan Auto Receivables 2016-B Owner Trust   1.540%   10/17/22     2,500       2,496  

 

27

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Nissan Auto Receivables 2016-C Owner Trust   1.180%   1/15/21     324       324  
4     Nissan Auto Receivables 2016-C Owner Trust   1.380%   1/17/23     4,250       4,240  
4     Nissan Auto Receivables 2017-B Owner Trust   1.750%   10/15/21     4,496       4,493  
4     Nissan Auto Receivables 2017-B Owner Trust   1.950%   10/16/23     3,469       3,468  
4     Nissan Auto Receivables 2018-A Owner Trust   2.650%   5/16/22     6,901       6,928  
4     Nissan Auto Receivables 2018-A Owner Trust   2.890%   6/17/24     5,300       5,386  
4     Nissan Auto Receivables 2019-B Owner Trust   2.500%   11/15/23     7,400       7,476  
4     Nissan Auto Receivables 2019-B Owner Trust   2.540%   12/15/25     1,850       1,877  
4     Nissan Auto Receivables 2019-C   1.930%   7/15/24     9,130       9,133  
4     Nissan Auto Receivables 2019-C   1.950%   5/15/26     2,150       2,141  
4     Public Service New Hampshire Funding LLC 2018-1   3.094%   2/1/26     1,887       1,923  
4     Public Service New Hampshire Funding LLC 2018-1   3.506%   8/1/28     1,175       1,240  
4     Public Service New Hampshire Funding LLC 2018-1   3.814%   2/1/35     2,825       3,073  
      Royal Bank of Canada   2.100%   10/14/20     57,900       57,927  
      Royal Bank of Canada   2.300%   3/22/21     8,900       8,945  
4     Santander Drive Auto Receivables Trust 2018-2   3.030%   9/15/22     2,445       2,449  
4     Santander Drive Auto Receivables Trust 2018-2   3.350%   7/17/23     3,150       3,180  
4     Santander Drive Auto Receivables Trust 2018-3   3.030%   2/15/22     26       26  
4     Santander Drive Auto Receivables Trust 2018-3   3.290%   10/17/22     1,850       1,853  
4     Santander Drive Auto Receivables Trust 2018-3   3.510%   8/15/23     3,450       3,487  
4     SG Commercial Mortgage Securities Trust 2016-C5   3.055%   10/10/48     9,000       9,243  
4     Synchrony Card Issuance Trust 2018-A1   3.380%   9/15/24     15,275       15,624  
4     Synchrony Credit Card Master Note Trust 2016-2   2.210%   5/15/24     21,306       21,391  
4     Synchrony Credit Card Master Note Trust 2017-2   2.620%   10/15/25     9,050       9,187  
4     Synchrony Credit Card Master Note Trust 2018-1   2.970%   3/15/24     15,750       15,933  
4     Synchrony Credit Card Master Note Trust 2018-2   3.470%   5/15/26     15,675       16,368  
4     TIAA Seasoned Commercial Mortgage Trust 2007-C4   5.503%   8/15/39     2       2  
7     Toronto-Dominion Bank   2.250%   3/15/21     13,400       13,443  
7     Toronto-Dominion Bank   2.500%   1/18/22     15,000       15,186  
4     Toyota Auto Receivables 2016-B Owner Trust   1.520%   8/16/21     1,325       1,325  
4     Toyota Auto Receivables 2016-C Owner Trust   1.320%   11/15/21     1,901       1,898  
4     Toyota Auto Receivables 2017-D Owner Trust   1.930%   1/18/22     10,117       10,116  
4     Toyota Auto Receivables 2018-A Owner Trust   2.350%   5/16/22     6,916       6,934  
4     Toyota Auto Receivables 2018-A Owner Trust   2.520%   5/15/23     2,350       2,369  
4     Toyota Auto Receivables 2018-B Owner Trust   2.960%   9/15/22     6,500       6,564  
4     Toyota Auto Receivables 2018-B Owner Trust   3.110%   11/15/23     1,175       1,199  
4     UBS Commercial Mortgage Trust 2017-C1   3.460%   6/15/50     10,100       10,714  
4     UBS Commercial Mortgage Trust 2017-C1   3.724%   6/15/50     4,800       5,037  
4     UBS Commercial Mortgage Trust 2017-C2   3.487%   8/15/50     8,050       8,488  
4     UBS Commercial Mortgage Trust 2017-C2   3.740%   8/15/50     2,150       2,242  
4     UBS Commercial Mortgage Trust 2017-C3   3.426%   8/15/50     9,700       10,210  
4     UBS Commercial Mortgage Trust 2017-C3   3.739%   8/15/50     4,050       4,263  
4     UBS Commercial Mortgage Trust 2017-C4   3.301%   10/15/50     6,450       6,770  
4     UBS Commercial Mortgage Trust 2017-C4   3.563%   10/15/50     8,050       8,592  
4     UBS Commercial Mortgage Trust 2017-C4   3.836%   10/15/50     3,562       3,756  
4     UBS Commercial Mortgage Trust 2017-C5   3.474%   11/15/50     5,325       5,652  
4     UBS Commercial Mortgage Trust 2017-C7   3.679%   12/15/50     8,225       8,814  
4     UBS Commercial Mortgage Trust 2017-C7   4.061%   12/15/50     4,375       4,689  
4     UBS Commercial Mortgage Trust 2018-C11   4.241%   6/15/51     7,375       8,180  
4     UBS Commercial Mortgage Trust 2018-C12   4.296%   8/15/51     5,975       6,726  
4     UBS Commercial Mortgage Trust 2018-C12   4.587%   8/15/51     4,000       4,462  
4     UBS Commercial Mortgage Trust 2018-C13   4.208%   10/15/51     1,700       1,799  
4     UBS Commercial Mortgage Trust 2018-C13   4.334%   10/15/51     5,825       6,578  
4     UBS Commercial Mortgage Trust 2018-C13   4.585%   10/15/51     1,075       1,200  
4     UBS Commercial Mortgage Trust 2018-C14   4.448%   12/15/51     12,950       14,754  
4     UBS Commercial Mortgage Trust 2018-C15   4.341%   12/15/51     8,975       10,041  
4     UBS Commercial Mortgage Trust 2018-C8   3.720%   2/15/51     7,900       8,525  
4     UBS Commercial Mortgage Trust 2018-C8   3.983%   2/15/51     15,850       17,393  
4     UBS Commercial Mortgage Trust 2018-C8   4.215%   2/15/51     4,225       4,534  
4     UBS Commercial Mortgage Trust 2019-C16   3.605%   4/15/52     5,250       5,590  
4     UBS Commercial Mortgage Trust 2019-C17   2.921%   10/15/52     6,475       6,560  
4     UBS Commercial Mortgage Trust 2019-C18   3.378%   12/15/52     2,300       2,341  
4     UBS-Barclays Commercial Mortgage Trust 2013-C5   3.185%   3/10/46     4,636       4,757  
4     UBS-Barclays Commercial Mortgage Trust 2013-C6   3.244%   4/10/46     7,716       7,922  

 

28

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     UBS-Barclays Commercial Mortgage Trust 2013-C6   3.469%   4/10/46     1,150       1,186  
4     UBS-Barclays Commercial Mortgage Trust 2018-C10   4.313%   5/15/51     10,475       11,670  
4     UBS-Barclays Commercial Mortgage Trust 2018-C9   4.117%   3/15/51     15,800       17,517  
4     UBS-Barclays Commercial Mortgage Trust 2019-C16   3.887%   4/15/52     1,575       1,683  
4     UBS-Barclays Commercial Mortgage Trust 2019-C18   3.035%   12/15/52     3,800       3,891  
4     Volkswagen Auto Loan Enhanced Trust 2018-1   3.020%   11/21/22     2,900       2,934  
4     Volkswagen Auto Loan Enhanced Trust 2018-1   3.150%   7/22/24     1,050       1,073  
4     Wells Fargo Commercial Mortgage Trust 2012-LC5   2.918%   10/15/45     9,139       9,294  
4     Wells Fargo Commercial Mortgage Trust 2014-LC16   2.819%   8/15/50     31       31  
4     Wells Fargo Commercial Mortgage Trust 2014-LC16   3.477%   8/15/50     1,002       1,029  
4     Wells Fargo Commercial Mortgage Trust 2014-LC16   3.817%   8/15/50     9,925       10,518  
4     Wells Fargo Commercial Mortgage Trust 2014-LC16   4.020%   8/15/50     550       578  
4     Wells Fargo Commercial Mortgage Trust 2014-LC18   2.954%   12/15/47     1,393       1,392  
4     Wells Fargo Commercial Mortgage Trust 2014-LC18   3.244%   12/15/47     1,961       2,008  
4     Wells Fargo Commercial Mortgage Trust 2014-LC18   3.271%   12/15/47     4,000       4,037  
4     Wells Fargo Commercial Mortgage Trust 2014-LC18   3.405%   12/15/47     5,650       5,918  
4     Wells Fargo Commercial Mortgage Trust 2014-LC18   3.808%   12/15/47     2,850       2,975  
4     Wells Fargo Commercial Mortgage Trust 2015-C26   2.991%   2/15/48     5,725       5,835  
4     Wells Fargo Commercial Mortgage Trust 2015-C26   3.166%   2/15/48     3,150       3,266  
4     Wells Fargo Commercial Mortgage Trust 2015-C26   3.580%   2/15/48     2,275       2,369  
4     Wells Fargo Commercial Mortgage Trust 2015-C27   3.190%   2/15/48     12,569       12,953  
4     Wells Fargo Commercial Mortgage Trust 2015-C28   3.540%   5/15/48     8,500       8,979  
4     Wells Fargo Commercial Mortgage Trust 2015-C28   3.872%   5/15/48     1,619       1,692  
4     Wells Fargo Commercial Mortgage Trust 2015-C29   3.400%   6/15/48     5,800       5,983  
4     Wells Fargo Commercial Mortgage Trust 2015-C29   3.637%   6/15/48     8,500       9,027  
4     Wells Fargo Commercial Mortgage Trust 2015-LC20   2.978%   4/15/50     1,536       1,566  
4     Wells Fargo Commercial Mortgage Trust 2015-LC20   3.184%   4/15/50     14,401       14,954  
4     Wells Fargo Commercial Mortgage Trust 2015-LC20   3.719%   4/15/50     2,850       2,929  
4     Wells Fargo Commercial Mortgage Trust 2015-LC22   3.571%   9/15/58     2,350       2,441  
4     Wells Fargo Commercial Mortgage Trust 2015-LC22   3.839%   9/15/58     3,425       3,676  
4     Wells Fargo Commercial Mortgage Trust 2015-LC22   4.207%   9/15/58     2,925       3,133  
4     Wells Fargo Commercial Mortgage Trust 2015-NXS1   2.632%   5/15/48     944       944  
4     Wells Fargo Commercial Mortgage Trust 2015-NXS1   2.934%   5/15/48     4,200       4,266  
4     Wells Fargo Commercial Mortgage Trust 2015-NXS1   3.148%   5/15/48     2,275       2,360  
4     Wells Fargo Commercial Mortgage Trust 2015-P2   3.656%   12/15/48     4,700       4,912  
4     Wells Fargo Commercial Mortgage Trust 2015-P2   3.809%   12/15/48     2,950       3,165  
4     Wells Fargo Commercial Mortgage Trust 2015-SG1   3.789%   9/15/48     10,375       11,068  
4     Wells Fargo Commercial Mortgage Trust 2016-BNK1   2.652%   8/15/49     7,850       7,912  
4     Wells Fargo Commercial Mortgage Trust 2016-BNK1   2.814%   8/15/49     1,800       1,787  
4     Wells Fargo Commercial Mortgage Trust 2016-C32   3.324%   1/15/59     3,084       3,190  
4     Wells Fargo Commercial Mortgage Trust 2016-C32   3.560%   1/15/59     6,700       7,097  
4     Wells Fargo Commercial Mortgage Trust 2016-C33   3.426%   3/15/59     2,350       2,474  
4     Wells Fargo Commercial Mortgage Trust 2016-C34   3.096%   6/15/49     4,700       4,836  
4     Wells Fargo Commercial Mortgage Trust 2016-C37   3.794%   12/15/49     4,675       5,050  
4     Wells Fargo Commercial Mortgage Trust 2016-LC24   2.825%   10/15/49     5,275       5,376  
4     Wells Fargo Commercial Mortgage Trust 2016-LC24   2.942%   10/15/49     9,053       9,293  
4     Wells Fargo Commercial Mortgage Trust 2017-C38   3.453%   7/15/50     11,445       12,135  
4     Wells Fargo Commercial Mortgage Trust 2017-C38   3.665%   7/15/50     3,243       3,400  
4     Wells Fargo Commercial Mortgage Trust 2017-C39   3.418%   9/15/50     9,675       10,223  
4     Wells Fargo Commercial Mortgage Trust 2017-C39   3.702%   9/15/50     5,375       5,653  
4     Wells Fargo Commercial Mortgage Trust 2017-C40   3.317%   10/15/50     5,350       5,572  
4     Wells Fargo Commercial Mortgage Trust 2017-C40   3.581%   10/15/50     8,025       8,569  
4     Wells Fargo Commercial Mortgage Trust 2017-C40   3.854%   10/15/50     2,150       2,271  
4     Wells Fargo Commercial Mortgage Trust 2017-C41   3.472%   11/15/50     13,300       14,100  
4     Wells Fargo Commercial Mortgage Trust 2017-RB1   3.635%   3/15/50     8,600       9,203  
4     Wells Fargo Commercial Mortgage Trust 2017-RC1   3.631%   1/15/60     8,500       9,089  
4     Wells Fargo Commercial Mortgage Trust 2018-C43   4.012%   3/15/51     15,825       17,364  
4     Wells Fargo Commercial Mortgage Trust 2018-C43   4.152%   3/15/51     2,742       2,961  
4     Wells Fargo Commercial Mortgage Trust 2018-C44   4.212%   5/15/51     10,550       11,741  
4     Wells Fargo Commercial Mortgage Trust 2018-C45   4.184%   6/15/51     10,125       11,260  
4     Wells Fargo Commercial Mortgage Trust 2018-C46   4.152%   8/15/51     6,100       6,771  
4     Wells Fargo Commercial Mortgage Trust 2018-C47   4.442%   9/15/61     10,600       12,017  
4     Wells Fargo Commercial Mortgage Trust 2019-C49   4.023%   3/15/52     13,225       14,605  
4     Wells Fargo Commercial Mortgage Trust 2019-C50   3.729%   5/15/52     7,650       8,289  

 

29

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Wells Fargo Commercial Mortgage Trust 2019-C51   3.311%   6/15/52     11,175       11,733  
4     Wells Fargo Commercial Mortgage Trust 2019-C52   2.892%   8/15/52     15,875       16,128  
4     Wells Fargo Commercial Mortgage Trust 2019-C52   3.143%   8/15/52     4,750       4,766  
4     Wells Fargo Commercial Mortgage Trust 2019-C53   3.040%   10/15/52     10,700       11,003  
4     Wells Fargo Commercial Mortgage Trust 2019-C54   3.146%   12/15/52     6,405       6,639  
4     WFRBS Commercial Mortgage Trust 2012-C10   2.875%   12/15/45     10,900       11,080  
4     WFRBS Commercial Mortgage Trust 2012-C6   3.440%   4/15/45     7,425       7,551  
4     WFRBS Commercial Mortgage Trust 2012-C7   3.431%   6/15/45     4,975       5,102  
4     WFRBS Commercial Mortgage Trust 2012-C7   4.090%   6/15/45     4,400       4,548  
4     WFRBS Commercial Mortgage Trust 2012-C8   3.001%   8/15/45     3,100       3,154  
4     WFRBS Commercial Mortgage Trust 2012-C9   2.870%   11/15/45     5,346       5,431  
4     WFRBS Commercial Mortgage Trust 2013-C11   3.071%   3/15/45     4,148       4,243  
4     WFRBS Commercial Mortgage Trust 2013-C12   3.198%   3/15/48     1,733       1,781  
4     WFRBS Commercial Mortgage Trust 2013-C12   3.560%   3/15/48     820       844  
4     WFRBS Commercial Mortgage Trust 2013-C13   3.001%   5/15/45     3,436       3,513  
4     WFRBS Commercial Mortgage Trust 2013-C13   3.345%   5/15/45     673       692  
4     WFRBS Commercial Mortgage Trust 2013-C14   3.337%   6/15/46     6,000       6,200  
4     WFRBS Commercial Mortgage Trust 2013-C14   3.488%   6/15/46     3,000       3,092  
4     WFRBS Commercial Mortgage Trust 2013-C15   3.720%   8/15/46     869       891  
4     WFRBS Commercial Mortgage Trust 2013-C15   4.153%   8/15/46     4,470       4,735  
4     WFRBS Commercial Mortgage Trust 2013-C15   4.358%   8/15/46     1,120       1,183  
4     WFRBS Commercial Mortgage Trust 2013-C16   3.963%   9/15/46     957       990  
4     WFRBS Commercial Mortgage Trust 2013-C16   4.415%   9/15/46     1,250       1,339  
4     WFRBS Commercial Mortgage Trust 2013-C16   4.668%   9/15/46     2,100       2,244  
4     WFRBS Commercial Mortgage Trust 2013-C17   3.558%   12/15/46     912       937  
4     WFRBS Commercial Mortgage Trust 2013-C17   4.023%   12/15/46     1,450       1,538  
4     WFRBS Commercial Mortgage Trust 2013-C17   4.255%   12/15/46     1,150       1,227  
4     WFRBS Commercial Mortgage Trust 2013-C17   4.788%   12/15/46     1,150       1,236  
4     WFRBS Commercial Mortgage Trust 2013-C18   3.027%   12/15/46     7       7  
4     WFRBS Commercial Mortgage Trust 2013-C18   3.651%   12/15/46     2,300       2,312  
4     WFRBS Commercial Mortgage Trust 2013-C18   4.162%   12/15/46     5,010       5,353  
4     WFRBS Commercial Mortgage Trust 2013-C18   4.387%   12/15/46     575       615  
4     WFRBS Commercial Mortgage Trust 2013-C18   4.692%   12/15/46     862       932  
4     WFRBS Commercial Mortgage Trust 2013-UBS1   2.927%   3/15/46     27       28  
4     WFRBS Commercial Mortgage Trust 2013-UBS1   3.591%   3/15/46     1,750       1,768  
4     WFRBS Commercial Mortgage Trust 2013-UBS1   4.079%   3/15/46     2,350       2,495  
4     WFRBS Commercial Mortgage Trust 2013-UBS1   4.739%   3/15/46     575       623  
4     WFRBS Commercial Mortgage Trust 2014-C19   3.618%   3/15/47     814       837  
4     WFRBS Commercial Mortgage Trust 2014-C19   3.660%   3/15/47     1,064       1,077  
4     WFRBS Commercial Mortgage Trust 2014-C19   4.101%   3/15/47     2,825       3,020  
4     WFRBS Commercial Mortgage Trust 2014-C19   4.723%   3/15/47     950       1,011  
4     WFRBS Commercial Mortgage Trust 2014-C20   3.638%   5/15/47     974       1,002  
4     WFRBS Commercial Mortgage Trust 2014-C20   3.723%   5/15/47     3,500       3,657  
4     WFRBS Commercial Mortgage Trust 2014-C20   3.995%   5/15/47     1,675       1,785  
4     WFRBS Commercial Mortgage Trust 2014-C20   4.176%   5/15/47     1,675       1,772  
4     WFRBS Commercial Mortgage Trust 2014-C21   3.678%   8/15/47     4,000       4,223  
4     WFRBS Commercial Mortgage Trust 2014-C22   3.752%   9/15/57     8,200       8,681  
4     WFRBS Commercial Mortgage Trust 2014-C22   4.371%   9/15/57     1,675       1,769  
4     WFRBS Commercial Mortgage Trust 2014-C23   3.636%   10/15/57     3,043       3,141  
4     WFRBS Commercial Mortgage Trust 2014-C23   3.917%   10/15/57     1,675       1,788  
4     WFRBS Commercial Mortgage Trust 2014-C23   4.210%   10/15/57     1,125       1,205  
4     WFRBS Commercial Mortgage Trust 2014-C24   3.428%   11/15/47     1,705       1,738  
4     WFRBS Commercial Mortgage Trust 2014-C24   3.607%   11/15/47     2,860       3,017  
4     WFRBS Commercial Mortgage Trust 2014-LC14   2.862%   3/15/47     28       28  
4     WFRBS Commercial Mortgage Trust 2014-LC14   3.522%   3/15/47     2,335       2,392  
4     WFRBS Commercial Mortgage Trust 2014-LC14   4.045%   3/15/47     6,720       7,153  
4     WFRBS Commercial Mortgage Trust 2014-LC14   4.351%   3/15/47     2,800       2,964  
4     World Financial Network Credit Card Master Note Trust Series 2017-C   2.310%   8/15/24     8,600       8,614  
4     World Financial Network Credit Card Master Note Trust Series 2018-A   3.070%   12/16/24     10,625       10,739  
4     World Omni Auto Receivables Trust 2019-C   1.960%   12/16/24     6,850       6,848  

 

30

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     World Omni Auto Receivables Trust 2019-C   2.030%   12/15/25     1,705       1,703  

Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,341,423)

            6,498,454  

Corporate Bonds (26.6%)

                       
Finance (8.3%)                        
      Banking (6.0%)                        
      Ally Financial Inc.   4.125%   2/13/22     7,435       7,667  
      Ally Financial Inc.   3.875%   5/21/24     4,000       4,180  
      Ally Financial Inc.   5.125%   9/30/24     7,850       8,645  
      Ally Financial Inc.   8.000%   11/1/31     19,995       27,618  
      American Express Co.   3.000%   2/22/21     9,600       9,698  
      American Express Co.   3.375%   5/17/21     5,263       5,359  
      American Express Co.   3.700%   11/5/21     10,875       11,200  
      American Express Co.   2.750%   5/20/22     6,320       6,424  
      American Express Co.   2.500%   8/1/22     8,811       8,909  
      American Express Co.   2.650%   12/2/22     11,315       11,527  
      American Express Co.   3.400%   2/27/23     16,485       17,078  
      American Express Co.   3.700%   8/3/23     16,575       17,444  
      American Express Co.   3.400%   2/22/24     13,065       13,647  
      American Express Co.   2.500%   7/30/24     5,820       5,880  
      American Express Co.   3.000%   10/30/24     47,552       49,076  
      American Express Co.   3.625%   12/5/24     17,765       18,729  
      American Express Co.   4.200%   11/6/25     5,000       5,503  
      American Express Co.   3.125%   5/20/26     4,645       4,819  
      American Express Co.   4.050%   12/3/42     3,399       3,984  
      American Express Credit Corp.   2.250%   5/5/21     25,164       25,280  
      American Express Credit Corp.   2.700%   3/3/22     38,765       39,378  
      American Express Credit Corp.   3.300%   5/3/27     23,874       25,400  
      Associated Bank NA   3.500%   8/13/21     3,350       3,409  
      Australia & New Zealand Banking Group Ltd.   2.300%   6/1/21     6,660       6,683  
      Australia & New Zealand Banking Group Ltd.   2.550%   11/23/21     8,000       8,084  
      Australia & New Zealand Banking Group Ltd.   2.625%   5/19/22     10,540       10,691  
      Australia & New Zealand Banking Group Ltd.   2.625%   11/9/22     15,800       16,083  
      Australia & New Zealand Banking Group Ltd.   3.700%   11/16/25     12,350       13,268  
      Banco Santander SA   3.500%   4/11/22     650       666  
      Banco Santander SA   3.125%   2/23/23     11,000       11,223  
      Banco Santander SA   3.848%   4/12/23     9,050       9,413  
      Banco Santander SA   2.706%   6/27/24     7,000       7,091  
      Banco Santander SA   5.179%   11/19/25     24,258       26,966  
      Banco Santander SA   4.250%   4/11/27     6,250       6,721  
      Banco Santander SA   3.800%   2/23/28     5,006       5,249  
      Banco Santander SA   3.306%   6/27/29     10,100       10,395  
      Bancolombia SA   5.950%   6/3/21     9,724       10,210  
      Bank of America Corp.   5.875%   1/5/21     350       363  
      Bank of America Corp.   2.625%   4/19/21     13,810       13,931  
      Bank of America Corp.   5.000%   5/13/21     1,000       1,040  
4     Bank of America Corp.   2.369%   7/21/21     22,795       22,843  
4     Bank of America Corp.   2.328%   10/1/21     34,250       34,292  
4     Bank of America Corp.   2.738%   1/23/22     24,493       24,669  
      Bank of America Corp.   5.700%   1/24/22     575       617  
4     Bank of America Corp.   3.499%   5/17/22     15,630       15,922  
      Bank of America Corp.   2.503%   10/21/22     23,933       24,134  
      Bank of America Corp.   3.300%   1/11/23     52,043       53,821  
4     Bank of America Corp.   3.124%   1/20/23     8,828       8,982  
4     Bank of America Corp.   2.881%   4/24/23     34,025       34,496  
4     Bank of America Corp.   2.816%   7/21/23     46,403       47,041  
      Bank of America Corp.   4.100%   7/24/23     13,677       14,564  
      Bank of America Corp.   3.004%   12/20/23     146,881       150,089  
      Bank of America Corp.   4.125%   1/22/24     33,483       36,016  
4     Bank of America Corp.   3.550%   3/5/24     16,220       16,778  
      Bank of America Corp.   4.000%   4/1/24     11,986       12,829  
4     Bank of America Corp.   3.864%   7/23/24     14,810       15,582  
      Bank of America Corp.   4.200%   8/26/24     60,322       64,712  

 

31

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Bank of America Corp.   4.000%   1/22/25     50,103       53,261  
4     Bank of America Corp.   3.458%   3/15/25     27,035       28,141  
      Bank of America Corp.   3.950%   4/21/25     43,164       45,951  
      Bank of America Corp.   3.875%   8/1/25     1,000       1,072  
4     Bank of America Corp.   3.093%   10/1/25     43,588       44,898  
4     Bank of America Corp.   2.456%   10/22/25     15,000       15,049  
4     Bank of America Corp.   3.366%   1/23/26     15,970       16,655  
      Bank of America Corp.   4.450%   3/3/26     27,457       30,078  
      Bank of America Corp.   3.500%   4/19/26     20,320       21,500  
      Bank of America Corp.   4.250%   10/22/26     22,068       23,976  
4     Bank of America Corp.   3.559%   4/23/27     31,300       32,995  
      Bank of America Corp.   3.248%   10/21/27     31,554       32,741  
      Bank of America Corp.   4.183%   11/25/27     19,600       21,211  
4     Bank of America Corp.   3.824%   1/20/28     28,315       30,353  
4     Bank of America Corp.   3.705%   4/24/28     17,577       18,757  
4     Bank of America Corp.   3.593%   7/21/28     48,003       50,977  
4     Bank of America Corp.   3.419%   12/20/28     98,236       102,886  
4     Bank of America Corp.   3.970%   3/5/29     20,307       22,080  
4     Bank of America Corp.   4.271%   7/23/29     58,225       64,482  
4     Bank of America Corp.   3.974%   2/7/30     5,700       6,204  
4     Bank of America Corp.   3.194%   7/23/30     10,000       10,342  
4     Bank of America Corp.   2.884%   10/22/30     11,740       11,856  
      Bank of America Corp.   6.110%   1/29/37     15,014       20,231  
4     Bank of America Corp.   4.244%   4/24/38     26,883       30,841  
      Bank of America Corp.   7.750%   5/14/38     20,866       32,809  
4     Bank of America Corp.   4.078%   4/23/40     29,340       33,277  
      Bank of America Corp.   5.875%   2/7/42     21,433       30,403  
      Bank of America Corp.   5.000%   1/21/44     21,501       28,078  
      Bank of America Corp.   4.875%   4/1/44     11,351       14,502  
      Bank of America Corp.   4.750%   4/21/45     2,350       2,857  
4     Bank of America Corp.   4.443%   1/20/48     5,475       6,664  
4     Bank of America Corp.   3.946%   1/23/49     14,750       16,715  
4     Bank of America Corp.   4.330%   3/15/50     26,110       31,313  
      Bank of America NA   6.000%   10/15/36     8,555       11,780  
      Bank of Montreal   3.100%   4/13/21     18,205       18,468  
      Bank of Montreal   1.900%   8/27/21     15,525       15,544  
      Bank of Montreal   2.900%   3/26/22     29,600       30,139  
      Bank of Montreal   2.350%   9/11/22     10,086       10,176  
      Bank of Montreal   2.050%   11/1/22     1,500       1,501  
      Bank of Montreal   2.550%   11/6/22     12,561       12,763  
      Bank of Montreal   3.300%   2/5/24     16,000       16,658  
      Bank of Montreal   2.500%   6/28/24     11,225       11,319  
4     Bank of Montreal   4.338%   10/5/28     5,000       5,275  
4     Bank of Montreal   3.803%   12/15/32     24,340       25,405  
      Bank of New York Mellon Corp.   2.500%   4/15/21     14,614       14,697  
      Bank of New York Mellon Corp.   2.050%   5/3/21     26,668       26,736  
      Bank of New York Mellon Corp.   3.550%   9/23/21     2,611       2,682  
      Bank of New York Mellon Corp.   2.600%   2/7/22     10,146       10,288  
      Bank of New York Mellon Corp.   1.950%   8/23/22     16,200       16,222  
      Bank of New York Mellon Corp.   2.950%   1/29/23     9,775       10,033  
      Bank of New York Mellon Corp.   3.500%   4/28/23     5,233       5,485  
4     Bank of New York Mellon Corp.   2.661%   5/16/23     14,585       14,798  
      Bank of New York Mellon Corp.   3.450%   8/11/23     4,325       4,531  
      Bank of New York Mellon Corp.   2.200%   8/16/23     10,549       10,667  
      Bank of New York Mellon Corp.   3.650%   2/4/24     8,385       8,883  
      Bank of New York Mellon Corp.   3.400%   5/15/24     1,245       1,311  
      Bank of New York Mellon Corp.   3.250%   9/11/24     16,540       17,354  
      Bank of New York Mellon Corp.   2.100%   10/24/24     11,775       11,766  
      Bank of New York Mellon Corp.   3.000%   2/24/25     6,253       6,498  
      Bank of New York Mellon Corp.   2.800%   5/4/26     9,171       9,407  
      Bank of New York Mellon Corp.   2.450%   8/17/26     7,381       7,404  
      Bank of New York Mellon Corp.   3.250%   5/16/27     24,448       25,680  
      Bank of New York Mellon Corp.   3.400%   1/29/28     4,495       4,776  
4     Bank of New York Mellon Corp.   3.442%   2/7/28     12,925       13,649  

 

32

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Bank of New York Mellon Corp.   3.000%   10/30/28     5,190       5,331  
      Bank of New York Mellon Corp.   3.300%   8/23/29     4,550       4,743  
      Bank of Nova Scotia   4.375%   1/13/21     2,031       2,080  
      Bank of Nova Scotia   3.125%   4/20/21     50       51  
      Bank of Nova Scotia   2.800%   7/21/21     38,235       38,768  
      Bank of Nova Scotia   2.700%   3/7/22     13,415       13,634  
      Bank of Nova Scotia   2.450%   9/19/22     1,905       1,929  
      Bank of Nova Scotia   2.000%   11/15/22     7,150       7,158  
      Bank of Nova Scotia   2.375%   1/18/23     10,500       10,610  
      Bank of Nova Scotia   3.400%   2/11/24     8,500       8,882  
      Bank of Nova Scotia   4.500%   12/16/25     33,155       36,274  
      Bank of Nova Scotia   2.700%   8/3/26     15,225       15,470  
      Bank One Corp.   7.625%   10/15/26     4,910       6,304  
      Bank One Corp.   8.000%   4/29/27     1,500       1,982  
      Barclays Bank plc   2.650%   1/11/21     7,674       7,717  
      Barclays plc   3.250%   1/12/21     21,565       21,715  
      Barclays plc   3.200%   8/10/21     6,000       6,071  
      Barclays plc   3.684%   1/10/23     16,770       17,171  
4     Barclays plc   4.610%   2/15/23     14,059       14,656  
4     Barclays plc   4.338%   5/16/24     19,000       19,928  
      Barclays plc   3.650%   3/16/25     32,290       33,610  
4     Barclays plc   3.932%   5/7/25     9,600       10,084  
      Barclays plc   4.375%   1/12/26     25,386       27,485  
      Barclays plc   4.337%   1/10/28     11,612       12,441  
4     Barclays plc   4.972%   5/16/29     13,600       15,282  
      Barclays plc   5.250%   8/17/45     12,980       15,638  
      Barclays plc   4.950%   1/10/47     9,113       10,662  
      BBVA USA   3.500%   6/11/21     10,150       10,314  
      BBVA USA   2.875%   6/29/22     20,185       20,456  
      BBVA USA   2.500%   8/27/24     1,220       1,210  
      BNP Paribas SA   5.000%   1/15/21     36,021       37,076  
      BNP Paribas SA   3.250%   3/3/23     21,210       21,978  
      BNP Paribas SA   4.250%   10/15/24     2,500       2,663  
      BPCE SA   2.650%   2/3/21     8,057       8,105  
      BPCE SA   2.750%   12/2/21     9,148       9,280  
7     BPCE SA   3.000%   5/22/22     5,500       5,593  
      BPCE SA   4.000%   4/15/24     21,067       22,542  
      BPCE SA   3.375%   12/2/26     4,750       4,979  
      Canadian Imperial Bank of Commerce   2.700%   2/2/21     9,500       9,570  
      Canadian Imperial Bank of Commerce   2.550%   6/16/22     20,132       20,374  
      Canadian Imperial Bank of Commerce   3.500%   9/13/23     12,350       12,963  
      Canadian Imperial Bank of Commerce   3.100%   4/2/24     11,200       11,532  
      Capital One Bank USA NA   3.375%   2/15/23     27,653       28,486  
      Capital One Financial Corp.   3.450%   4/30/21     16,450       16,737  
      Capital One Financial Corp.   4.750%   7/15/21     5,064       5,264  
      Capital One Financial Corp.   3.050%   3/9/22     2,085       2,127  
      Capital One Financial Corp.   3.200%   1/30/23     15,395       15,829  
      Capital One Financial Corp.   3.500%   6/15/23     4,728       4,907  
      Capital One Financial Corp.   3.900%   1/29/24     6,400       6,789  
      Capital One Financial Corp.   3.750%   4/24/24     8,784       9,217  
      Capital One Financial Corp.   3.300%   10/30/24     10,100       10,420  
      Capital One Financial Corp.   3.200%   2/5/25     4,435       4,569  
      Capital One Financial Corp.   4.250%   4/30/25     6,850       7,452  
      Capital One Financial Corp.   4.200%   10/29/25     13,435       14,439  
      Capital One Financial Corp.   3.750%   7/28/26     18,200       19,079  
      Capital One Financial Corp.   3.750%   3/9/27     8,493       9,014  
      Capital One Financial Corp.   3.800%   1/31/28     16,811       18,058  
      Capital One NA   2.950%   7/23/21     10,781       10,932  
      Capital One NA   2.250%   9/13/21     17,700       17,755  
      Capital One NA   2.650%   8/8/22     15,050       15,272  
      Capital One NA   2.150%   9/6/22     16,875       16,893  
      Citibank NA   2.850%   2/12/21     13,640       13,750  
      Citibank NA   3.400%   7/23/21     17,100       17,443  
4     Citibank NA   3.165%   2/19/22     22,400       22,677  

 

33

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Citibank NA   2.844%   5/20/22     30,200       30,570  
      Citigroup Inc.   2.700%   3/30/21     42,460       42,767  
      Citigroup Inc.   2.350%   8/2/21     8,877       8,921  
      Citigroup Inc.   2.900%   12/8/21     54,553       55,364  
      Citigroup Inc.   4.500%   1/14/22     36,033       37,743  
      Citigroup Inc.   2.750%   4/25/22     4,483       4,555  
      Citigroup Inc.   4.050%   7/30/22     10,570       11,042  
      Citigroup Inc.   2.700%   10/27/22     10,570       10,739  
4     Citigroup Inc.   2.312%   11/4/22     8,850       8,873  
4     Citigroup Inc.   3.142%   1/24/23     23,300       23,693  
      Citigroup Inc.   3.375%   3/1/23     6,300       6,517  
      Citigroup Inc.   3.500%   5/15/23     15,073       15,623  
4     Citigroup Inc.   2.876%   7/24/23     16,645       16,927  
      Citigroup Inc.   3.875%   10/25/23     14,485       15,381  
4     Citigroup Inc.   4.044%   6/1/24     15,963       16,895  
      Citigroup Inc.   3.750%   6/16/24     20,932       22,226  
      Citigroup Inc.   4.000%   8/5/24     16,899       18,023  
      Citigroup Inc.   3.875%   3/26/25     11,188       11,791  
4     Citigroup Inc.   3.352%   4/24/25     21,225       22,075  
      Citigroup Inc.   3.300%   4/27/25     3,207       3,365  
      Citigroup Inc.   4.400%   6/10/25     55,869       60,685  
      Citigroup Inc.   5.500%   9/13/25     11,968       13,663  
      Citigroup Inc.   3.700%   1/12/26     21,610       22,989  
      Citigroup Inc.   4.600%   3/9/26     23,267       25,628  
      Citigroup Inc.   3.400%   5/1/26     13,289       13,882  
      Citigroup Inc.   3.200%   10/21/26     44,897       46,445  
      Citigroup Inc.   4.450%   9/29/27     51,523       56,655  
4     Citigroup Inc.   3.887%   1/10/28     15,806       16,939  
4     Citigroup Inc.   3.668%   7/24/28     41,104       43,649  
      Citigroup Inc.   4.125%   7/25/28     5,700       6,185  
4     Citigroup Inc.   3.520%   10/27/28     43,950       46,149  
4     Citigroup Inc.   4.075%   4/23/29     15,440       16,883  
4     Citigroup Inc.   3.980%   3/20/30     16,100       17,588  
4     Citigroup Inc.   2.976%   11/5/30     10,000       10,155  
      Citigroup Inc.   6.625%   6/15/32     4,670       6,256  
      Citigroup Inc.   5.875%   2/22/33     2,175       2,665  
      Citigroup Inc.   6.000%   10/31/33     10,556       13,573  
      Citigroup Inc.   6.125%   8/25/36     13,964       18,063  
4     Citigroup Inc.   3.878%   1/24/39     24,650       26,969  
      Citigroup Inc.   8.125%   7/15/39     26,330       43,948  
      Citigroup Inc.   5.875%   1/30/42     14,718       20,753  
      Citigroup Inc.   6.675%   9/13/43     6,619       9,662  
      Citigroup Inc.   4.950%   11/7/43     5,019       5,511  
      Citigroup Inc.   5.300%   5/6/44     10,969       13,906  
      Citigroup Inc.   4.650%   7/30/45     13,978       17,170  
      Citigroup Inc.   4.750%   5/18/46     26,337       31,533  
4     Citigroup Inc.   4.281%   4/24/48     12,708       14,932  
      Citigroup Inc.   4.650%   7/23/48     21,725       27,084  
      Citizens Bank NA   2.550%   5/13/21     7,355       7,401  
      Citizens Bank NA   2.650%   5/26/22     9,175       9,302  
      Citizens Bank NA   3.700%   3/29/23     5,065       5,292  
      Citizens Financial Group Inc.   2.375%   7/28/21     1,750       1,754  
      Citizens Financial Group Inc.   4.300%   12/3/25     6,003       6,443  
      Citizens Financial Group Inc.   2.850%   7/27/26     25,950       26,362  
      Comerica Bank   2.500%   7/23/24     1,000       1,011  
      Comerica Bank   4.000%   7/27/25     50       53  
      Comerica Inc.   3.700%   7/31/23     12,135       12,737  
      Commonwealth Bank of Australia   2.550%   3/15/21     10,795       10,860  
7     Commonwealth Bank of Australia   2.750%   3/10/22     15,000       15,253  
7     Commonwealth Bank of Australia   3.350%   6/4/24     45,950       48,025  
7     Commonwealth Bank of Australia   3.900%   7/12/47     50       54  
      Cooperatieve Rabobank UA   4.500%   1/11/21     150       154  
      Cooperatieve Rabobank UA   2.500%   1/19/21     48,950       49,177  
      Cooperatieve Rabobank UA   3.125%   4/26/21     530       538  

 

34

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Cooperatieve Rabobank UA   2.750%   1/10/22     12,823       13,005  
      Cooperatieve Rabobank UA   3.875%   2/8/22     41,863       43,592  
      Cooperatieve Rabobank UA   3.950%   11/9/22     40,748       42,506  
      Cooperatieve Rabobank UA   4.625%   12/1/23     17,740       19,232  
      Cooperatieve Rabobank UA   3.375%   5/21/25     19,409       20,508  
      Cooperatieve Rabobank UA   4.375%   8/4/25     15,053       16,282  
      Cooperatieve Rabobank UA   3.750%   7/21/26     12,005       12,497  
      Cooperatieve Rabobank UA   5.250%   5/24/41     10,848       14,764  
      Cooperatieve Rabobank UA   5.750%   12/1/43     11,625       15,294  
      Cooperatieve Rabobank UA   5.250%   8/4/45     11,920       14,969  
      Credit Suisse AG   3.000%   10/29/21     30,094       30,651  
      Credit Suisse AG   2.100%   11/12/21     5,725       5,738  
      Credit Suisse AG   3.625%   9/9/24     29,329       31,137  
7     Credit Suisse Group AG   3.574%   1/9/23     7,525       7,722  
7     Credit Suisse Group AG   4.282%   1/9/28     25,500       27,614  
      Credit Suisse Group Funding Guernsey Ltd.   3.125%   12/10/20     12,900       13,014  
      Credit Suisse Group Funding Guernsey Ltd.   3.450%   4/16/21     37,145       37,698  
      Credit Suisse Group Funding Guernsey Ltd.   3.800%   9/15/22     19,750       20,527  
      Credit Suisse Group Funding Guernsey Ltd.   3.800%   6/9/23     13,460       14,081  
      Credit Suisse Group Funding Guernsey Ltd.   3.750%   3/26/25     32,493       34,339  
      Credit Suisse Group Funding Guernsey Ltd.   4.550%   4/17/26     1,250       1,386  
      Credit Suisse Group Funding Guernsey Ltd.   4.875%   5/15/45     19,258       24,192  
      Credit Suisse USA Inc.   7.125%   7/15/32     11,179       16,391  
      Deutsche Bank AG   3.125%   1/13/21     11,907       11,933  
      Deutsche Bank AG   3.150%   1/22/21     12,390       12,440  
      Deutsche Bank AG   4.250%   2/4/21     3,975       4,028  
      Deutsche Bank AG   3.375%   5/12/21     10,979       11,048  
      Deutsche Bank AG   4.250%   10/14/21     23,226       23,876  
      Deutsche Bank AG   5.000%   2/14/22     4,850       5,063  
      Deutsche Bank AG   3.300%   11/16/22     27,156       27,421  
      Deutsche Bank AG   3.950%   2/27/23     25,000       25,559  
      Deutsche Bank AG   3.700%   5/30/24     40,960       41,807  
      Deutsche Bank AG   4.100%   1/13/26     8,410       8,578  
      Discover Bank   3.200%   8/9/21     4,701       4,776  
      Discover Bank   3.350%   2/6/23     10,365       10,671  
      Discover Bank   4.200%   8/8/23     19,274       20,474  
      Discover Bank   2.450%   9/12/24     8,040       7,997  
      Discover Bank   4.250%   3/13/26     2,675       2,889  
      Discover Bank   3.450%   7/27/26     9,740       10,102  
4     Discover Bank   4.682%   8/9/28     4,450       4,643  
      Discover Bank   4.650%   9/13/28     10,075       11,293  
      Discover Financial Services   5.200%   4/27/22     3,817       4,068  
      Discover Financial Services   3.850%   11/21/22     10,640       11,114  
      Discover Financial Services   3.950%   11/6/24     6,950       7,365  
      Discover Financial Services   3.750%   3/4/25     7,320       7,726  
      Discover Financial Services   4.500%   1/30/26     6,800       7,437  
      Discover Financial Services   4.100%   2/9/27     9,300       9,969  
      Fifth Third Bancorp   3.500%   3/15/22     5,403       5,566  
      Fifth Third Bancorp   4.300%   1/16/24     11,774       12,630  
      Fifth Third Bancorp   3.650%   1/25/24     14,940       15,716  
      Fifth Third Bancorp   2.375%   1/28/25     5,225       5,221  
      Fifth Third Bancorp   3.950%   3/14/28     8,110       8,907  
      Fifth Third Bancorp   8.250%   3/1/38     11,167       17,167  
      Fifth Third Bank   2.250%   6/14/21     25,729       25,830  
      Fifth Third Bank   3.350%   7/26/21     6,550       6,686  
      Fifth Third Bank   2.875%   10/1/21     7,604       7,716  
      Fifth Third Bank   3.950%   7/28/25     9,450       10,248  
      Fifth Third Bank   3.850%   3/15/26     9,932       10,551  
      First Horizon National Corp.   3.500%   12/15/20     5,513       5,570  
      First Republic Bank   2.500%   6/6/22     11,850       11,958  
      First Republic Bank   4.375%   8/1/46     2,425       2,626  
      First Republic Bank   4.625%   2/13/47     2,975       3,435  
      FirstMerit Bank NA   4.270%   11/25/26     5,750       6,159  
      Goldman Sachs Capital I   6.345%   2/15/34     13,025       16,916  

 

35

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Goldman Sachs Group Inc.   2.600%   12/27/20     1,850       1,853  
      Goldman Sachs Group Inc.   2.875%   2/25/21     17,207       17,369  
      Goldman Sachs Group Inc.   2.625%   4/25/21     22,662       22,819  
      Goldman Sachs Group Inc.   5.250%   7/27/21     25,019       26,228  
      Goldman Sachs Group Inc.   2.350%   11/15/21     23,550       23,631  
      Goldman Sachs Group Inc.   5.750%   1/24/22     60,973       65,250  
      Goldman Sachs Group Inc.   3.000%   4/26/22     36,919       37,404  
4     Goldman Sachs Group Inc.   2.876%   10/31/22     80,615       81,587  
      Goldman Sachs Group Inc.   3.625%   1/22/23     31,359       32,555  
      Goldman Sachs Group Inc.   3.200%   2/23/23     16,955       17,432  
4     Goldman Sachs Group Inc.   2.908%   6/5/23     25,891       26,294  
4     Goldman Sachs Group Inc.   2.905%   7/24/23     30,807       31,284  
      Goldman Sachs Group Inc.   3.625%   2/20/24     16,700       17,528  
      Goldman Sachs Group Inc.   4.000%   3/3/24     61,846       65,671  
      Goldman Sachs Group Inc.   3.850%   7/8/24     14,607       15,403  
      Goldman Sachs Group Inc.   3.500%   1/23/25     36,819       38,649  
      Goldman Sachs Group Inc.   3.750%   5/22/25     2,648       2,803  
4     Goldman Sachs Group Inc.   3.272%   9/29/25     59,303       61,202  
      Goldman Sachs Group Inc.   4.250%   10/21/25     14,020       15,201  
      Goldman Sachs Group Inc.   3.750%   2/25/26     32,209       34,119  
      Goldman Sachs Group Inc.   3.500%   11/16/26     40,295       42,027  
      Goldman Sachs Group Inc.   5.950%   1/15/27     9,878       11,790  
      Goldman Sachs Group Inc.   3.850%   1/26/27     36,623       38,931  
4     Goldman Sachs Group Inc.   3.691%   6/5/28     30,665       32,526  
4     Goldman Sachs Group Inc.   3.814%   4/23/29     57,860       61,899  
4     Goldman Sachs Group Inc.   4.223%   5/1/29     16,820       18,477  
      Goldman Sachs Group Inc.   6.125%   2/15/33     300       405  
      Goldman Sachs Group Inc.   6.450%   5/1/36     19,324       25,564  
      Goldman Sachs Group Inc.   6.750%   10/1/37     42,962       59,550  
4     Goldman Sachs Group Inc.   4.017%   10/31/38     28,584       30,912  
4     Goldman Sachs Group Inc.   4.411%   4/23/39     35,355       40,122  
      Goldman Sachs Group Inc.   6.250%   2/1/41     31,437       43,879  
      Goldman Sachs Group Inc.   4.800%   7/8/44     31,328       37,917  
      Goldman Sachs Group Inc.   5.150%   5/22/45     29,619       36,255  
      Goldman Sachs Group Inc.   4.750%   10/21/45     179       218  
      HSBC Bank USA NA   7.000%   1/15/39     8,759       12,768  
      HSBC Holdings plc   3.400%   3/8/21     51,785       52,554  
      HSBC Holdings plc   5.100%   4/5/21     29,395       30,453  
      HSBC Holdings plc   2.950%   5/25/21     51,596       52,219  
      HSBC Holdings plc   2.650%   1/5/22     34,588       34,965  
      HSBC Holdings plc   4.875%   1/14/22     3,760       3,963  
      HSBC Holdings plc   4.000%   3/30/22     7,301       7,597  
4     HSBC Holdings plc   3.262%   3/13/23     28,357       28,974  
      HSBC Holdings plc   3.600%   5/25/23     25,575       26,597  
4     HSBC Holdings plc   3.033%   11/22/23     6,939       7,081  
      HSBC Holdings plc   4.250%   3/14/24     32,413       34,398  
4     HSBC Holdings plc   3.950%   5/18/24     23,250       24,381  
4     HSBC Holdings plc   3.803%   3/11/25     30,816       32,340  
      HSBC Holdings plc   4.250%   8/18/25     5,607       5,997  
4     HSBC Holdings plc   2.633%   11/7/25     9,175       9,153  
      HSBC Holdings plc   4.300%   3/8/26     39,815       43,258  
      HSBC Holdings plc   3.900%   5/25/26     46,460       49,464  
4     HSBC Holdings plc   4.292%   9/12/26     50,727       54,479  
      HSBC Holdings plc   4.375%   11/23/26     17,141       18,535  
4     HSBC Holdings plc   4.041%   3/13/28     32,403       34,571  
4     HSBC Holdings plc   4.583%   6/19/29     20,500       22,870  
4     HSBC Holdings plc   3.973%   5/22/30     15,300       16,435  
      HSBC Holdings plc   7.625%   5/17/32     5,320       7,352  
      HSBC Holdings plc   7.350%   11/27/32     2,040       2,830  
      HSBC Holdings plc   6.500%   5/2/36     16,629       22,608  
      HSBC Holdings plc   6.500%   9/15/37     42,595       58,094  
      HSBC Holdings plc   6.800%   6/1/38     6,219       8,844  
      HSBC Holdings plc   6.100%   1/14/42     3,198       4,536  
      HSBC Holdings plc   5.250%   3/14/44     26,403       33,420  

 

36

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      HSBC USA Inc.   3.500%   6/23/24     12,402       13,122  
      Huntington Bancshares Inc.   7.000%   12/15/20     4,200       4,386  
      Huntington Bancshares Inc.   3.150%   3/14/21     4,275       4,320  
      Huntington Bancshares Inc.   2.300%   1/14/22     10,218       10,256  
      Huntington Bancshares Inc.   2.625%   8/6/24     2,250       2,281  
      Huntington Bancshares Inc.   4.000%   5/15/25     6,132       6,604  
      Huntington National Bank   3.250%   5/14/21     9,500       9,654  
      Huntington National Bank   3.125%   4/1/22     5,350       5,455  
      Huntington National Bank   2.500%   8/7/22     13,900       14,056  
      Huntington National Bank   3.550%   10/6/23     6,470       6,773  
      ING Groep NV   3.150%   3/29/22     7,607       7,764  
      ING Groep NV   4.100%   10/2/23     15,950       16,909  
      ING Groep NV   3.550%   4/9/24     16,610       17,388  
      ING Groep NV   3.950%   3/29/27     14,067       15,126  
      ING Groep NV   4.550%   10/2/28     12,425       14,087  
      ING Groep NV   4.050%   4/9/29     11,570       12,685  
7     Intesa Sanpaolo SPA   6.500%   2/24/21     100       104  
      JPMorgan Chase & Co.   2.550%   3/1/21     22,303       22,428  
      JPMorgan Chase & Co.   4.625%   5/10/21     7,736       8,011  
      JPMorgan Chase & Co.   2.400%   6/7/21     13,520       13,604  
      JPMorgan Chase & Co.   2.295%   8/15/21     58,480       58,583  
      JPMorgan Chase & Co.   4.350%   8/15/21     26,088       27,057  
      JPMorgan Chase & Co.   4.500%   1/24/22     39,768       41,704  
4     JPMorgan Chase & Co.   3.514%   6/18/22     16,625       16,977  
      JPMorgan Chase & Co.   3.250%   9/23/22     22,197       22,941  
      JPMorgan Chase & Co.   2.972%   1/15/23     48,046       48,983  
      JPMorgan Chase & Co.   3.200%   1/25/23     50,978       52,581  
4     JPMorgan Chase & Co.   3.207%   4/1/23     17,605       17,988  
4     JPMorgan Chase & Co.   2.776%   4/25/23     21,615       21,871  
      JPMorgan Chase & Co.   3.375%   5/1/23     31,599       32,804  
      JPMorgan Chase & Co.   2.700%   5/18/23     5,016       5,108  
      JPMorgan Chase & Co.   3.875%   2/1/24     20,752       22,196  
4     JPMorgan Chase & Co.   3.559%   4/23/24     31,603       32,937  
      JPMorgan Chase & Co.   3.625%   5/13/24     43,367       45,834  
4     JPMorgan Chase & Co.   3.797%   7/23/24     14,750       15,541  
      JPMorgan Chase & Co.   3.875%   9/10/24     34,622       37,028  
4     JPMorgan Chase & Co.   4.023%   12/5/24     22,250       23,706  
      JPMorgan Chase & Co.   3.125%   1/23/25     29,012       30,263  
4     JPMorgan Chase & Co.   3.220%   3/1/25     31,236       32,267  
      JPMorgan Chase & Co.   3.900%   7/15/25     33,618       36,266  
4     JPMorgan Chase & Co.   2.301%   10/15/25     24,065       24,035  
      JPMorgan Chase & Co.   3.300%   4/1/26     60,462       63,373  
      JPMorgan Chase & Co.   3.200%   6/15/26     30,580       31,834  
      JPMorgan Chase & Co.   2.950%   10/1/26     33,607       34,543  
      JPMorgan Chase & Co.   4.125%   12/15/26     23,505       25,717  
4     JPMorgan Chase & Co.   3.960%   1/29/27     28,320       30,645  
      JPMorgan Chase & Co.   4.250%   10/1/27     12,337       13,640  
      JPMorgan Chase & Co.   3.625%   12/1/27     11,318       11,884  
4     JPMorgan Chase & Co.   3.782%   2/1/28     42,266       45,392  
4     JPMorgan Chase & Co.   3.540%   5/1/28     34,391       36,427  
4     JPMorgan Chase & Co.   3.509%   1/23/29     39,125       41,467  
4     JPMorgan Chase & Co.   4.005%   4/23/29     13,095       14,334  
4     JPMorgan Chase & Co.   4.203%   7/23/29     10,913       12,151  
4     JPMorgan Chase & Co.   4.452%   12/5/29     3,375       3,839  
4     JPMorgan Chase & Co.   3.702%   5/6/30     16,200       17,445  
      JPMorgan Chase & Co.   8.750%   9/1/30     1,100       1,605  
4     JPMorgan Chase & Co.   2.739%   10/15/30     44,150       44,150  
      JPMorgan Chase & Co.   6.400%   5/15/38     18,237       26,297  
4     JPMorgan Chase & Co.   3.882%   7/24/38     31,978       35,361  
      JPMorgan Chase & Co.   5.500%   10/15/40     37,850       50,598  
      JPMorgan Chase & Co.   5.600%   7/15/41     6,810       9,322  
      JPMorgan Chase & Co.   5.400%   1/6/42     10,131       13,702  
      JPMorgan Chase & Co.   5.625%   8/16/43     8,097       10,859  
      JPMorgan Chase & Co.   4.850%   2/1/44     3,964       5,069  

 

37

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      JPMorgan Chase & Co.   4.950%   6/1/45     10,788       13,587  
4     JPMorgan Chase & Co.   4.260%   2/22/48     22,558       26,437  
4     JPMorgan Chase & Co.   4.032%   7/24/48     25,002       28,315  
4     JPMorgan Chase & Co.   3.964%   11/15/48     78,711       88,256  
4     JPMorgan Chase & Co.   3.897%   1/23/49     30,300       33,890  
      KeyBank NA   3.350%   6/15/21     5,560       5,675  
      KeyBank NA   2.500%   11/22/21     3,619       3,659  
      KeyBank NA   2.400%   6/9/22     3,145       3,179  
      KeyBank NA   2.300%   9/14/22     10,100       10,198  
      KeyBank NA   3.375%   3/7/23     7,425       7,717  
      KeyBank NA   3.300%   6/1/25     7,726       8,137  
      KeyBank NA   3.400%   5/20/26     12,750       13,230  
4     KeyBank NA   3.180%   10/15/27     4,525       4,616  
      KeyBank NA   6.950%   2/1/28     1,740       2,196  
      KeyCorp   5.100%   3/24/21     10,297       10,679  
      KeyCorp   4.150%   10/29/25     7,000       7,661  
      KeyCorp   4.100%   4/30/28     15,050       16,421  
      KeyCorp   2.550%   10/1/29     14,125       13,811  
      Lloyds Bank plc   6.375%   1/21/21     11,075       11,522  
      Lloyds Bank plc   3.300%   5/7/21     5,600       5,689  
      Lloyds Bank plc   3.500%   5/14/25     1,100       1,155  
      Lloyds Banking Group plc   3.100%   7/6/21     210       213  
      Lloyds Banking Group plc   3.000%   1/11/22     4,456       4,524  
4     Lloyds Banking Group plc   2.858%   3/17/23     14,275       14,411  
      Lloyds Banking Group plc   4.050%   8/16/23     34,900       36,826  
4     Lloyds Banking Group plc   2.907%   11/7/23     21,230       21,537  
      Lloyds Banking Group plc   3.900%   3/12/24     11,050       11,643  
      Lloyds Banking Group plc   4.500%   11/4/24     15,361       16,378  
      Lloyds Banking Group plc   4.450%   5/8/25     7,000       7,628  
      Lloyds Banking Group plc   4.582%   12/10/25     38,255       41,283  
      Lloyds Banking Group plc   4.650%   3/24/26     12,532       13,563  
      Lloyds Banking Group plc   3.750%   1/11/27     9,032       9,476  
      Lloyds Banking Group plc   4.375%   3/22/28     34,195       37,645  
      Lloyds Banking Group plc   4.550%   8/16/28     16,275       18,174  
4     Lloyds Banking Group plc   3.574%   11/7/28     20,800       21,633  
      Lloyds Banking Group plc   5.300%   12/1/45     5,919       7,190  
      Lloyds Banking Group plc   4.344%   1/9/48     17,835       19,268  
      M&T Bank Corp.   3.550%   7/26/23     7,250       7,618  
      Manufacturers & Traders Trust Co.   2.625%   1/25/21     3,925       3,942  
      Manufacturers & Traders Trust Co.   2.500%   5/18/22     2,145       2,169  
      Manufacturers & Traders Trust Co.   2.900%   2/6/25     9,151       9,403  
      Mitsubishi UFJ Financial Group Inc.   2.950%   3/1/21     21,903       22,118  
      Mitsubishi UFJ Financial Group Inc.   3.535%   7/26/21     7,950       8,128  
      Mitsubishi UFJ Financial Group Inc.   2.190%   9/13/21     31,790       31,836  
      Mitsubishi UFJ Financial Group Inc.   3.218%   3/7/22     13,800       14,122  
      Mitsubishi UFJ Financial Group Inc.   2.623%   7/18/22     13,300       13,471  
      Mitsubishi UFJ Financial Group Inc.   2.665%   7/25/22     25,475       25,839  
      Mitsubishi UFJ Financial Group Inc.   3.455%   3/2/23     12,500       12,952  
      Mitsubishi UFJ Financial Group Inc.   3.761%   7/26/23     24,065       25,278  
      Mitsubishi UFJ Financial Group Inc.   2.527%   9/13/23     3,350       3,372  
      Mitsubishi UFJ Financial Group Inc.   3.407%   3/7/24     25,720       26,817  
      Mitsubishi UFJ Financial Group Inc.   2.801%   7/18/24     12,575       12,805  
      Mitsubishi UFJ Financial Group Inc.   3.777%   3/2/25     14,000       14,877  
      Mitsubishi UFJ Financial Group Inc.   3.850%   3/1/26     34,185       36,670  
      Mitsubishi UFJ Financial Group Inc.   2.757%   9/13/26     9,525       9,585  
      Mitsubishi UFJ Financial Group Inc.   3.677%   2/22/27     52,881       56,124  
      Mitsubishi UFJ Financial Group Inc.   3.287%   7/25/27     26,011       26,954  
      Mitsubishi UFJ Financial Group Inc.   3.961%   3/2/28     15,350       16,665  
      Mitsubishi UFJ Financial Group Inc.   4.050%   9/11/28     5,150       5,678  
      Mitsubishi UFJ Financial Group Inc.   3.741%   3/7/29     16,590       17,818  
      Mitsubishi UFJ Financial Group Inc.   3.195%   7/18/29     20,000       20,678  
      Mitsubishi UFJ Financial Group Inc.   4.286%   7/26/38     3,000       3,451  
      Mitsubishi UFJ Financial Group Inc.   4.153%   3/7/39     1,550       1,749  
      Mitsubishi UFJ Financial Group Inc.   3.751%   7/18/39     12,000       13,145  

 

38

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Mizuho Financial Group Inc.   2.273%   9/13/21     550       551  
      Mizuho Financial Group Inc.   2.953%   2/28/22     500       509  
      Mizuho Financial Group Inc.   2.601%   9/11/22     500       506  
      Mizuho Financial Group Inc.   3.549%   3/5/23     13,200       13,744  
4     Mizuho Financial Group Inc.   2.721%   7/16/23     25,900       26,149  
4     Mizuho Financial Group Inc.   3.922%   9/11/24     11,060       11,596  
4     Mizuho Financial Group Inc.   2.839%   7/16/25     26,800       27,028  
4     Mizuho Financial Group Inc.   2.555%   9/13/25     15,525       15,484  
      Mizuho Financial Group Inc.   3.663%   2/28/27     2,100       2,221  
      Mizuho Financial Group Inc.   4.018%   3/5/28     20,525       22,339  
4     Mizuho Financial Group Inc.   4.254%   9/11/29     15,000       16,605  
4     Mizuho Financial Group Inc.   3.153%   7/16/30     30,205       30,844  
4     Mizuho Financial Group Inc.   2.869%   9/13/30     9,435       9,495  
      Morgan Stanley   5.750%   1/25/21     23,535       24,399  
      Morgan Stanley   2.500%   4/21/21     5,924       5,950  
      Morgan Stanley   5.500%   7/28/21     13,616       14,333  
      Morgan Stanley   2.625%   11/17/21     35,817       36,219  
      Morgan Stanley   2.750%   5/19/22     33,941       34,533  
      Morgan Stanley   4.875%   11/1/22     22,638       24,241  
      Morgan Stanley   3.125%   1/23/23     13,885       14,261  
      Morgan Stanley   3.750%   2/25/23     66,535       69,489  
      Morgan Stanley   4.100%   5/22/23     22,036       23,190  
4     Morgan Stanley   3.737%   4/24/24     22,100       23,013  
      Morgan Stanley   3.875%   4/29/24     38,463       40,801  
      Morgan Stanley   3.700%   10/23/24     49,444       52,375  
      Morgan Stanley   4.000%   7/23/25     52,943       57,255  
      Morgan Stanley   5.000%   11/24/25     22,714       25,505  
      Morgan Stanley   3.875%   1/27/26     41,091       44,075  
      Morgan Stanley   3.125%   7/27/26     34,300       35,305  
      Morgan Stanley   6.250%   8/9/26     12,332       14,972  
      Morgan Stanley   4.350%   9/8/26     28,900       31,549  
      Morgan Stanley   3.625%   1/20/27     23,560       25,016  
      Morgan Stanley   3.950%   4/23/27     14,404       15,398  
4     Morgan Stanley   3.591%   7/22/28     46,005       48,737  
4     Morgan Stanley   3.772%   1/24/29     10,920       11,730  
4     Morgan Stanley   4.431%   1/23/30     13,175       14,868  
      Morgan Stanley   7.250%   4/1/32     8,587       12,326  
4     Morgan Stanley   3.971%   7/22/38     21,907       24,295  
4     Morgan Stanley   4.457%   4/22/39     22,750       26,775  
      Morgan Stanley   6.375%   7/24/42     35,237       51,878  
      Morgan Stanley   4.300%   1/27/45     42,196       49,551  
      Morgan Stanley   4.375%   1/22/47     3,785       4,522  
      MUFG Americas Holdings Corp.   3.500%   6/18/22     16,668       17,249  
      MUFG Americas Holdings Corp.   3.000%   2/10/25     7,100       7,212  
      MUFG Union Bank NA   3.150%   4/1/22     39,471       40,356  
      MUFG Union Bank NA   2.100%   12/9/22     13,900       13,928  
      National Australia Bank Ltd.   2.625%   1/14/21     8,647       8,697  
      National Australia Bank Ltd.   1.875%   7/12/21     9,684       9,671  
      National Australia Bank Ltd.   3.375%   9/20/21     20,000       20,481  
      National Australia Bank Ltd.   3.700%   11/4/21     11,030       11,380  
      National Australia Bank Ltd.   2.800%   1/10/22     6,004       6,099  
      National Australia Bank Ltd.   2.500%   5/22/22     8,774       8,879  
      National Australia Bank Ltd.   3.000%   1/20/23     1,050       1,075  
      National Australia Bank Ltd.   2.875%   4/12/23     1,750       1,788  
      National Australia Bank Ltd.   3.625%   6/20/23     12,000       12,555  
      National Australia Bank Ltd.   3.375%   1/14/26     6,752       7,074  
      National Australia Bank Ltd.   2.500%   7/12/26     20,034       20,112  
      Northern Trust Corp.   3.375%   8/23/21     1,993       2,040  
      Northern Trust Corp.   2.375%   8/2/22     5,710       5,759  
      Northern Trust Corp.   3.950%   10/30/25     8,975       9,661  
      Northern Trust Corp.   3.650%   8/3/28     5,500       5,941  
      Northern Trust Corp.   3.150%   5/3/29     8,950       9,421  
4     Northern Trust Corp.   3.375%   5/8/32     3,850       3,901  
      People's United Bank NA   4.000%   7/15/24     3,850       4,007  

 

39

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      People's United Financial Inc.   3.650%   12/6/22     6,175       6,413  
      PNC Bank NA   2.150%   4/29/21     31,086       31,149  
      PNC Bank NA   2.550%   12/9/21     6,050       6,100  
      PNC Bank NA   2.625%   2/17/22     19,500       19,702  
4     PNC Bank NA   2.232%   7/22/22     5,000       5,010  
      PNC Bank NA   2.450%   7/28/22     2,500       2,523  
      PNC Bank NA   2.700%   11/1/22     9,584       9,676  
4     PNC Bank NA   2.028%   12/9/22     3,285       3,288  
      PNC Bank NA   2.950%   1/30/23     10,277       10,484  
      PNC Bank NA   3.800%   7/25/23     16,478       17,253  
      PNC Bank NA   3.300%   10/30/24     6,303       6,555  
      PNC Bank NA   2.950%   2/23/25     9,710       9,929  
      PNC Bank NA   3.250%   6/1/25     17,751       18,591  
      PNC Bank NA   3.100%   10/25/27     10,265       10,707  
      PNC Bank NA   3.250%   1/22/28     5,050       5,302  
      PNC Bank NA   4.050%   7/26/28     8,250       9,056  
      PNC Bank NA   2.700%   10/22/29     3,300       3,280  
      PNC Financial Services Group Inc.   2.854%   11/9/22     16,055       16,335  
      PNC Financial Services Group Inc.   3.500%   1/23/24     23,445       24,607  
      PNC Financial Services Group Inc.   3.900%   4/29/24     21,232       22,313  
      PNC Financial Services Group Inc.   3.150%   5/19/27     10,409       10,756  
      PNC Financial Services Group Inc.   3.450%   4/23/29     28,765       30,566  
      PNC Funding Corp.   3.300%   3/8/22     8,184       8,406  
      Regions Bank   2.750%   4/1/21     5,054       5,089  
4     Regions Bank   3.374%   8/13/21     5,500       5,541  
      Regions Bank   6.450%   6/26/37     4,491       5,767  
      Regions Financial Corp.   2.750%   8/14/22     5,479       5,573  
      Regions Financial Corp.   3.800%   8/14/23     11,075       11,676  
      Regions Financial Corp.   7.375%   12/10/37     3,950       5,581  
      Royal Bank of Canada   2.500%   1/19/21     13,542       13,601  
      Royal Bank of Canada   3.200%   4/30/21     21,950       22,339  
      Royal Bank of Canada   2.750%   2/1/22     13,991       14,223  
      Royal Bank of Canada   2.800%   4/29/22     19,620       19,991  
      Royal Bank of Canada   3.700%   10/5/23     8,520       8,984  
      Royal Bank of Canada   2.550%   7/16/24     9,165       9,301  
      Royal Bank of Canada   2.250%   11/1/24     33,700       33,856  
      Royal Bank of Canada   4.650%   1/27/26     11,818       13,117  
      Royal Bank of Scotland Group plc   6.125%   12/15/22     5,642       6,172  
4     Royal Bank of Scotland Group plc   3.498%   5/15/23     13,990       14,286  
      Royal Bank of Scotland Group plc   6.100%   6/10/23     10,000       10,988  
      Royal Bank of Scotland Group plc   3.875%   9/12/23     44,254       46,259  
      Royal Bank of Scotland Group plc   6.000%   12/19/23     8,125       9,031  
      Royal Bank of Scotland Group plc   5.125%   5/28/24     29,803       32,269  
4     Royal Bank of Scotland Group plc   4.519%   6/25/24     21,820       23,126  
4     Royal Bank of Scotland Group plc   4.269%   3/22/25     4,050       4,296  
      Royal Bank of Scotland Group plc   4.800%   4/5/26     4,731       5,241  
4     Royal Bank of Scotland Group plc   4.892%   5/18/29     35,600       40,133  
4     Royal Bank of Scotland Group plc   3.754%   11/1/29     2,750       2,805  
4     Royal Bank of Scotland Group plc   5.076%   1/27/30     40,500       46,460  
4     Royal Bank of Scotland Group plc   4.445%   5/8/30     10,050       11,061  
      Santander Holdings USA Inc.   3.400%   1/18/23     12,900       13,222  
      Santander Holdings USA Inc.   3.500%   6/7/24     5,000       5,139  
      Santander Holdings USA Inc.   4.500%   7/17/25     9,475       10,188  
7     Santander Holdings USA Inc.   3.244%   10/5/26     42,500       42,696  
      Santander Holdings USA Inc.   4.400%   7/13/27     16,844       18,149  
      Santander UK Group Holdings plc   3.125%   1/8/21     18,025       18,173  
      Santander UK Group Holdings plc   2.875%   8/5/21     11,549       11,661  
      Santander UK Group Holdings plc   3.571%   1/10/23     8,361       8,551  
4     Santander UK Group Holdings plc   4.796%   11/15/24     9,550       10,297  
4     Santander UK Group Holdings plc   3.823%   11/3/28     7,273       7,637  
      Santander UK plc   3.400%   6/1/21     15,700       16,014  
      Santander UK plc   3.750%   11/15/21     6,525       6,723  
      Santander UK plc   4.000%   3/13/24     23,128       24,633  
      Santander UK plc   2.875%   6/18/24     13,800       14,084  

 

40

 

  

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Skandinaviska Enskilda Banken AB   2.625%   3/15/21     13,140       13,226  
      Skandinaviska Enskilda Banken AB   1.875%   9/13/21     31,400       31,289  
      Skandinaviska Enskilda Banken AB   2.800%   3/11/22     8,650       8,776  
      State Street Corp.   4.375%   3/7/21     2,255       2,320  
      State Street Corp.   1.950%   5/19/21     10,145       10,152  
4     State Street Corp.   2.653%   5/15/23     9,320       9,463  
      State Street Corp.   3.100%   5/15/23     9,503       9,758  
      State Street Corp.   3.700%   11/20/23     8,158       8,671  
4     State Street Corp.   3.776%   12/3/24     10,800       11,384  
      State Street Corp.   3.300%   12/16/24     15,300       16,133  
      State Street Corp.   3.550%   8/18/25     19,466       20,919  
4     State Street Corp.   2.354%   11/1/25     8,225       8,235  
      State Street Corp.   2.650%   5/19/26     9,965       10,116  
4     State Street Corp.   4.141%   12/3/29     4,055       4,527  
4     State Street Corp.   3.031%   11/1/34     17,400       17,355  
      Sumitomo Mitsui Banking Corp.   3.200%   7/18/22     5,837       5,996  
      Sumitomo Mitsui Banking Corp.   3.000%   1/18/23     550       560  
      Sumitomo Mitsui Banking Corp.   3.950%   7/19/23     9,998       10,562  
      Sumitomo Mitsui Banking Corp.   3.950%   1/10/24     9,850       10,422  
      Sumitomo Mitsui Banking Corp.   3.400%   7/11/24     7,050       7,361  
      Sumitomo Mitsui Banking Corp.   3.650%   7/23/25     3,100       3,296  
      Sumitomo Mitsui Financial Group Inc.   2.934%   3/9/21     7,338       7,423  
      Sumitomo Mitsui Financial Group Inc.   2.058%   7/14/21     5,325       5,331  
      Sumitomo Mitsui Financial Group Inc.   2.442%   10/19/21     10,729       10,801  
      Sumitomo Mitsui Financial Group Inc.   2.846%   1/11/22     10,244       10,392  
      Sumitomo Mitsui Financial Group Inc.   2.784%   7/12/22     19,458       19,787  
      Sumitomo Mitsui Financial Group Inc.   2.778%   10/18/22     9,804       9,954  
      Sumitomo Mitsui Financial Group Inc.   3.102%   1/17/23     15,385       15,735  
      Sumitomo Mitsui Financial Group Inc.   3.748%   7/19/23     9,850       10,321  
      Sumitomo Mitsui Financial Group Inc.   3.936%   10/16/23     13,500       14,278  
7     Sumitomo Mitsui Financial Group Inc.   4.436%   4/2/24     50       53  
      Sumitomo Mitsui Financial Group Inc.   2.696%   7/16/24     26,900       27,263  
      Sumitomo Mitsui Financial Group Inc.   2.448%   9/27/24     40,000       40,061  
      Sumitomo Mitsui Financial Group Inc.   3.784%   3/9/26     21,118       22,489  
      Sumitomo Mitsui Financial Group Inc.   2.632%   7/14/26     13,394       13,413  
      Sumitomo Mitsui Financial Group Inc.   3.010%   10/19/26     11,600       11,815  
      Sumitomo Mitsui Financial Group Inc.   3.446%   1/11/27     11,105       11,619  
      Sumitomo Mitsui Financial Group Inc.   3.364%   7/12/27     16,308       16,983  
      Sumitomo Mitsui Financial Group Inc.   3.544%   1/17/28     15,350       16,204  
      Sumitomo Mitsui Financial Group Inc.   3.944%   7/19/28     29,850       32,537  
      Sumitomo Mitsui Financial Group Inc.   4.306%   10/16/28     6,210       6,926  
      Sumitomo Mitsui Financial Group Inc.   3.040%   7/16/29     17,800       18,124  
      Sumitomo Mitsui Financial Group Inc.   3.202%   9/17/29     12,550       12,669  
      Sumitomo Mitsui Financial Group Inc.   2.724%   9/27/29     13,200       13,049  
      SVB Financial Group   3.500%   1/29/25     4,475       4,674  
      Svenska Handelsbanken AB   2.450%   3/30/21     19,351       19,462  
      Svenska Handelsbanken AB   3.350%   5/24/21     21,675       22,076  
      Svenska Handelsbanken AB   1.875%   9/7/21     9,013       8,993  
      Synchrony Bank   3.650%   5/24/21     8,370       8,535  
      Synchrony Bank   3.000%   6/15/22     5,197       5,293  
      Synchrony Financial   3.750%   8/15/21     6,438       6,582  
      Synchrony Financial   2.850%   7/25/22     4,175       4,230  
      Synchrony Financial   4.375%   3/19/24     1,000       1,063  
      Synchrony Financial   4.250%   8/15/24     7,351       7,843  
      Synchrony Financial   4.500%   7/23/25     17,744       19,168  
      Synchrony Financial   3.700%   8/4/26     9,725       10,022  
      Synchrony Financial   3.950%   12/1/27     11,725       12,308  
      Synchrony Financial   5.150%   3/19/29     1,750       1,987  
      Synovus Financial Corp.   3.125%   11/1/22     3,257       3,298  
      Toronto-Dominion Bank   2.500%   12/14/20     11,941       12,007  
      Toronto-Dominion Bank   2.550%   1/25/21     30,700       30,873  
      Toronto-Dominion Bank   2.125%   4/7/21     22,937       23,019  
      Toronto-Dominion Bank   3.250%   6/11/21     6,000       6,124  
      Toronto-Dominion Bank   1.800%   7/13/21     16,632       16,626  

 

41

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Toronto-Dominion Bank   1.900%   12/1/22     18,075       18,076  
      Toronto-Dominion Bank   3.500%   7/19/23     5,200       5,475  
      Toronto-Dominion Bank   3.250%   3/11/24     53,200       55,508  
      Toronto-Dominion Bank   2.650%   6/12/24     8,365       8,527  
4     Toronto-Dominion Bank   3.625%   9/15/31     6,415       6,704  
      Truist Bank   2.850%   4/1/21     385       389  
4     Truist Bank   3.525%   10/26/21     2,750       2,781  
      Truist Bank   2.625%   1/15/22     15,250       15,439  
      Truist Bank   2.800%   5/17/22     22,255       22,647  
4     Truist Bank   3.502%   8/2/22     9,810       10,018  
      Truist Bank   3.000%   2/2/23     6,166       6,313  
      Truist Bank   2.750%   5/1/23     6,225       6,315  
      Truist Bank   3.200%   4/1/24     35,100       36,438  
4     Truist Bank   3.689%   8/2/24     20,239       21,201  
      Truist Bank   2.150%   12/6/24     5,000       4,990  
      Truist Bank   3.625%   9/16/25     23,853       25,371  
      Truist Bank   3.300%   5/15/26     7,025       7,303  
      Truist Bank   3.800%   10/30/26     3,355       3,596  
      Truist Financial Corp   2.900%   3/3/21     7,007       7,066  
      Truist Financial Corp.   2.150%   2/1/21     9,675       9,693  
      Truist Financial Corp.   2.050%   5/10/21     13,011       13,020  
      Truist Financial Corp.   3.200%   9/3/21     9,225       9,410  
      Truist Financial Corp.   2.700%   1/27/22     14,119       14,312  
      Truist Financial Corp.   2.750%   4/1/22     6,730       6,848  
      Truist Financial Corp.   3.050%   6/20/22     35,190       35,896  
      Truist Financial Corp.   3.750%   12/6/23     10,100       10,674  
      Truist Financial Corp.   2.850%   10/26/24     8,732       9,023  
      Truist Financial Corp.   4.000%   5/1/25     6,548       7,083  
      Truist Financial Corp.   3.700%   6/5/25     10,450       11,255  
      Truist Financial Corp.   3.875%   3/19/29     15,150       16,310  
7     UBS AG   2.450%   12/1/20     22,580       22,652  
      US Bancorp   2.350%   1/29/21     10,834       10,881  
      US Bancorp   4.125%   5/24/21     9,157       9,420  
      US Bancorp   2.625%   1/24/22     13,239       13,437  
      US Bancorp   3.000%   3/15/22     3,864       3,952  
      US Bancorp   2.950%   7/15/22     17,278       17,715  
      US Bancorp   3.700%   1/30/24     3,380       3,592  
      US Bancorp   3.375%   2/5/24     32,000       33,492  
      US Bancorp   2.400%   7/30/24     11,650       11,792  
      US Bancorp   3.600%   9/11/24     2,605       2,763  
      US Bancorp   3.950%   11/17/25     1,612       1,772  
      US Bancorp   3.100%   4/27/26     6,795       7,073  
      US Bancorp   2.375%   7/22/26     11,800       11,829  
      US Bancorp   3.150%   4/27/27     30,750       32,172  
      US Bancorp   3.900%   4/26/28     2,975       3,337  
      US Bancorp   3.000%   7/30/29     4,000       4,094  
      US Bank NA   3.000%   2/4/21     2,700       2,729  
      US Bank NA   3.150%   4/26/21     1,650       1,674  
      US Bank NA   3.450%   11/16/21     4,560       4,690  
      US Bank NA   2.650%   5/23/22     15,850       16,124  
      US Bank NA   1.950%   1/9/23     17,260       17,276  
      US Bank NA   2.850%   1/23/23     8,555       8,779  
      US Bank NA   3.400%   7/24/23     7,475       7,818  
      US Bank NA   2.800%   1/27/25     25,464       26,243  
      Wachovia Corp.   6.605%   10/1/25     3,175       3,748  
      Wachovia Corp.   5.500%   8/1/35     14,027       17,755  
      Wachovia Corp.   6.550%   10/15/35     7,625       9,751  
      Wells Fargo & Co.   2.550%   12/7/20     14,741       14,806  
      Wells Fargo & Co.   3.000%   1/22/21     18,027       18,231  
      Wells Fargo & Co.   2.500%   3/4/21     38,688       38,956  
      Wells Fargo & Co.   4.600%   4/1/21     22,927       23,628  
      Wells Fargo & Co.   2.100%   7/26/21     54,966       55,056  
      Wells Fargo & Co.   3.500%   3/8/22     26,465       27,277  
      Wells Fargo & Co.   2.625%   7/22/22     44,100       44,692  

 

42

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Wells Fargo & Co.   3.069%   1/24/23     86,292       87,771  
      Wells Fargo & Co.   3.450%   2/13/23     20,948       21,668  
      Wells Fargo & Co.   4.125%   8/15/23     17,134       18,166  
      Wells Fargo & Co.   4.480%   1/16/24     11,285       12,155  
      Wells Fargo & Co.   3.300%   9/9/24     28,831       30,178  
      Wells Fargo & Co.   3.000%   2/19/25     29,449       30,371  
      Wells Fargo & Co.   3.550%   9/29/25     27,470       29,022  
4     Wells Fargo & Co.   2.406%   10/30/25     50,000       49,875  
      Wells Fargo & Co.   3.000%   4/22/26     39,112       40,229  
      Wells Fargo & Co.   4.100%   6/3/26     44,473       47,805  
      Wells Fargo & Co.   3.000%   10/23/26     37,500       38,329  
4     Wells Fargo & Co.   3.196%   6/17/27     16,400       16,976  
      Wells Fargo & Co.   4.300%   7/22/27     25,005       27,289  
4     Wells Fargo & Co.   3.584%   5/22/28     32,130       34,066  
4     Wells Fargo & Co.   2.879%   10/30/30     45,240       45,508  
      Wells Fargo & Co.   5.375%   2/7/35     10,269       13,240  
      Wells Fargo & Co.   5.375%   11/2/43     34,188       43,070  
      Wells Fargo & Co.   5.606%   1/15/44     17,899       23,669  
      Wells Fargo & Co.   4.650%   11/4/44     26,385       30,903  
      Wells Fargo & Co.   3.900%   5/1/45     22,850       25,944  
      Wells Fargo & Co.   4.900%   11/17/45     22,332       27,256  
      Wells Fargo & Co.   4.400%   6/14/46     17,852       20,479  
      Wells Fargo & Co.   4.750%   12/7/46     9,200       10,958  
      Wells Fargo Bank NA   2.600%   1/15/21     15,150       15,235  
4     Wells Fargo Bank NA   3.325%   7/23/21     18,175       18,294  
      Wells Fargo Bank NA   3.625%   10/22/21     35,910       36,943  
4     Wells Fargo Bank NA   2.897%   5/27/22     12,200       12,332  
4     Wells Fargo Bank NA   2.082%   9/9/22     43,250       43,250  
      Wells Fargo Bank NA   3.550%   8/14/23     14,245       14,881  
      Wells Fargo Bank NA   5.950%   8/26/36     6,753       8,950  
      Wells Fargo Bank NA   5.850%   2/1/37     15,144       20,087  
      Wells Fargo Bank NA   6.600%   1/15/38     10,894       15,667  
4     Wells Fargo Capital X   5.950%   12/1/86     5,067       6,220  
      Westpac Banking Corp.   2.650%   1/25/21     2,816       2,834  
      Westpac Banking Corp.   2.100%   5/13/21     40,650       40,690  
      Westpac Banking Corp.   2.000%   8/19/21     17,600       17,602  
      Westpac Banking Corp.   2.800%   1/11/22     15,400       15,655  
      Westpac Banking Corp.   2.500%   6/28/22     25,400       25,669  
      Westpac Banking Corp.   2.750%   1/11/23     7,750       7,878  
      Westpac Banking Corp.   3.650%   5/15/23     5,450       5,713  
      Westpac Banking Corp.   3.300%   2/26/24     13,590       14,136  
      Westpac Banking Corp.   2.350%   2/19/25     20,875       20,913  
      Westpac Banking Corp.   2.850%   5/13/26     23,225       23,712  
      Westpac Banking Corp.   2.700%   8/19/26     18,925       19,134  
      Westpac Banking Corp.   3.350%   3/8/27     16,125       17,049  
4     Westpac Banking Corp.   4.322%   11/23/31     29,000       30,595  
      Westpac Banking Corp.   4.110%   7/24/34     2,050       2,135  
      Westpac Banking Corp.   4.421%   7/24/39     5,010       5,492  
      Zions Bancorp NA   3.500%   8/27/21     12,725       12,964  
      Zions Bancorp NA   3.250%   10/29/29     4,440       4,356  
      Brokerage (0.2%)                        
      Affiliated Managers Group Inc.   4.250%   2/15/24     8,525       9,077  
      Affiliated Managers Group Inc.   3.500%   8/1/25     11,145       11,637  
      Ameriprise Financial Inc.   3.000%   3/22/22     2,650       2,709  
      Ameriprise Financial Inc.   4.000%   10/15/23     14,166       15,113  
      Ameriprise Financial Inc.   3.700%   10/15/24     11,830       12,631  
      Ameriprise Financial Inc.   2.875%   9/15/26     200       204  
7     Apollo Management Holdings LP   4.400%   5/27/26     150       160  
      BGC Partners Inc.   5.125%   5/27/21     2,625       2,707  
      BGC Partners Inc.   3.750%   10/1/24     6,335       6,322  
      BlackRock Inc.   4.250%   5/24/21     7,855       8,114  
      BlackRock Inc.   3.375%   6/1/22     12,035       12,461  
      BlackRock Inc.   3.500%   3/18/24     17,325       18,391  

 

43

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      BlackRock Inc.   3.200%   3/15/27     1,350       1,427  
      BlackRock Inc.   3.250%   4/30/29     6,750       7,208  
      Brookfield Asset Management Inc.   4.000%   1/15/25     5,745       6,162  
      Brookfield Finance Inc.   4.250%   6/2/26     2,350       2,549  
      Brookfield Finance Inc.   3.900%   1/25/28     6,400       6,870  
      Brookfield Finance Inc.   4.850%   3/29/29     10,100       11,572  
      Brookfield Finance Inc.   4.700%   9/20/47     9,750       11,162  
      Brookfield Finance LLC   4.000%   4/1/24     11,750       12,600  
      Cboe Global Markets Inc.   3.650%   1/12/27     6,836       7,331  
      Charles Schwab Corp.   3.250%   5/21/21     7,850       7,993  
      Charles Schwab Corp.   3.225%   9/1/22     3,955       4,079  
      Charles Schwab Corp.   2.650%   1/25/23     5,529       5,643  
      Charles Schwab Corp.   3.550%   2/1/24     8,775       9,252  
      Charles Schwab Corp.   3.000%   3/10/25     280       290  
      Charles Schwab Corp.   3.850%   5/21/25     3,000       3,245  
      Charles Schwab Corp.   3.450%   2/13/26     3,445       3,636  
      Charles Schwab Corp.   3.200%   3/2/27     12,950       13,591  
      Charles Schwab Corp.   3.200%   1/25/28     5,875       6,140  
      Charles Schwab Corp.   4.000%   2/1/29     7,990       8,843  
      Charles Schwab Corp.   3.250%   5/22/29     6,750       7,122  
      CME Group Inc.   3.000%   9/15/22     8,187       8,419  
      CME Group Inc.   3.000%   3/15/25     6,129       6,341  
      CME Group Inc.   5.300%   9/15/43     8,479       11,346  
      CME Group Inc.   4.150%   6/15/48     7,525       8,987  
      E*TRADE Financial Corp.   2.950%   8/24/22     1,119       1,136  
      E*TRADE Financial Corp.   3.800%   8/24/27     6,250       6,522  
      E*TRADE Financial Corp.   4.500%   6/20/28     2,910       3,166  
      Eaton Vance Corp.   3.625%   6/15/23     3,350       3,504  
      Eaton Vance Corp.   3.500%   4/6/27     4,530       4,783  
      Franklin Resources Inc.   2.800%   9/15/22     10,700       10,977  
      Franklin Resources Inc.   2.850%   3/30/25     5,410       5,569  
      Intercontinental Exchange Inc.   2.750%   12/1/20     11,900       11,975  
      Intercontinental Exchange Inc.   3.450%   9/21/23     4,500       4,711  
      Intercontinental Exchange Inc.   4.000%   10/15/23     13,771       14,687  
      Intercontinental Exchange Inc.   3.750%   12/1/25     13,010       14,003  
      Intercontinental Exchange Inc.   3.100%   9/15/27     2,246       2,352  
      Intercontinental Exchange Inc.   3.750%   9/21/28     4,850       5,292  
      Intercontinental Exchange Inc.   4.250%   9/21/48     8,950       10,572  
      Invesco Finance plc   3.125%   11/30/22     7,392       7,596  
      Invesco Finance plc   4.000%   1/30/24     14,599       15,463  
      Invesco Finance plc   3.750%   1/15/26     2,279       2,421  
      Invesco Finance plc   5.375%   11/30/43     11,762       14,177  
      Janus Capital Group Inc.   4.875%   8/1/25     3,950       4,246  
      Jefferies Financial Group Inc.   5.500%   10/18/23     8,650       9,413  
      Jefferies Group LLC   6.875%   4/15/21     12,942       13,670  
      Jefferies Group LLC   5.125%   1/20/23     1,630       1,756  
      Jefferies Group LLC   4.850%   1/15/27     15,177       16,797  
      Jefferies Group LLC   6.450%   6/8/27     675       785  
      Jefferies Group LLC   6.250%   1/15/36     3,825       4,543  
      Jefferies Group LLC   6.500%   1/20/43     5,140       6,111  
      Jefferies Group LLC / Jefferies Group Capital Finance Inc.   4.150%   1/23/30     16,210       17,077  
      Lazard Group LLC   3.750%   2/13/25     1,215       1,280  
      Lazard Group LLC   3.625%   3/1/27     8,770       8,968  
      Lazard Group LLC   4.500%   9/19/28     5,775       6,408  
      Lazard Group LLC   4.375%   3/11/29     50       55  
      Legg Mason Inc.   4.750%   3/15/26     4,960       5,433  
      Legg Mason Inc.   5.625%   1/15/44     7,295       8,281  
      Nasdaq Inc.   4.250%   6/1/24     4,218       4,543  
      Nasdaq Inc.   3.850%   6/30/26     6,064       6,488  
      Raymond James Financial Inc.   3.625%   9/15/26     2,601       2,747  
      Raymond James Financial Inc.   4.950%   7/15/46     14,395       17,062  
      Stifel Financial Corp.   3.500%   12/1/20     250       253  
      Stifel Financial Corp.   4.250%   7/18/24     10,125       10,665  

 

44

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      TD Ameritrade Holding Corp.   2.950%   4/1/22     17,920       18,304  
      TD Ameritrade Holding Corp.   3.625%   4/1/25     6,225       6,605  
      TD Ameritrade Holding Corp.   3.300%   4/1/27     9,727       10,158  
      TD Ameritrade Holding Corp.   2.750%   10/1/29     5,400       5,434  
      Finance Companies (0.2%)                        
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.500%   5/15/21     11,138       11,486  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   5.000%   10/1/21     17,405       18,232  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.450%   12/16/21     1,840       1,914  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.950%   2/1/22     14,227       14,689  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.500%   5/26/22     2,900       2,976  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.625%   7/1/22     6,739       7,118  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.300%   1/23/23     6,395       6,547  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.875%   1/16/24     1,020       1,105  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   2.875%   8/14/24     200       202  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.500%   1/15/25     630       649  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.450%   10/1/25     7,200       7,740  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.650%   7/21/27     11,156       11,435  
      AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.875%   1/23/28     11,900       12,317  
      Air Lease Corp.   2.500%   3/1/21     6,997       7,024  
      Air Lease Corp.   3.875%   4/1/21     6,285       6,409  
      Air Lease Corp.   3.375%   6/1/21     830       842  
      Air Lease Corp.   3.500%   1/15/22     3,850       3,947  
      Air Lease Corp.   3.750%   2/1/22     4,675       4,810  
      Air Lease Corp.   2.625%   7/1/22     6,869       6,930  
      Air Lease Corp.   2.250%   1/15/23     5,430       5,428  
      Air Lease Corp.   2.750%   1/15/23     5,475       5,544  
      Air Lease Corp.   3.875%   7/3/23     23,125       24,292  
      Air Lease Corp.   3.000%   9/15/23     4,253       4,352  
      Air Lease Corp.   4.250%   2/1/24     7,600       8,139  
      Air Lease Corp.   4.250%   9/15/24     2,952       3,162  
      Air Lease Corp.   3.250%   3/1/25     11,580       11,910  
      Air Lease Corp.   3.625%   4/1/27     4,575       4,748  
      Air Lease Corp.   3.625%   12/1/27     4,700       4,860  
      Air Lease Corp.   4.625%   10/1/28     6,000       6,620  
      Air Lease Corp.   3.250%   10/1/29     11,250       11,186  
      Aircastle Ltd.   4.400%   9/25/23     10,125       10,729  
      Aircastle Ltd.   4.125%   5/1/24     650       682  
      Aircastle Ltd.   4.250%   6/15/26     7,180       7,573  
      Ares Capital Corp.   3.500%   2/10/23     17,235       17,516  
      Ares Capital Corp.   4.200%   6/10/24     8,367       8,787  
      Ares Capital Corp.   4.250%   3/1/25     6,780       7,076  
      FS KKR Capital Corp.   4.750%   5/15/22     4,399       4,515  
      FS KKR Capital Corp.   4.625%   7/15/24     3,200       3,317  
      FS KKR Capital Corp.   4.125%   2/1/25     3,000       3,040  
      GATX Corp.   4.850%   6/1/21     100       104  
      GATX Corp.   3.250%   3/30/25     4,970       5,108  
      GATX Corp.   3.250%   9/15/26     3,100       3,140  
      GATX Corp.   3.850%   3/30/27     8,850       9,241  
      GATX Corp.   3.500%   3/15/28     5,575       5,676  
      GATX Corp.   4.550%   11/7/28     9,000       9,829  

 

45

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      GATX Corp.   4.700%   4/1/29     3,725       4,151  
      GATX Corp.   5.200%   3/15/44     1,255       1,461  
      GATX Corp.   4.500%   3/30/45     1,952       2,018  
      GE Capital International Funding Co. Unlimited Co.   3.373%   11/15/25     22,190       23,009  
      GE Capital International Funding Co. Unlimited Co.   4.418%   11/15/35     127,543       135,485  
      International Lease Finance Corp.   8.250%   12/15/20     13,998       14,774  
      International Lease Finance Corp.   4.625%   4/15/21     5,795       5,966  
      International Lease Finance Corp.   8.625%   1/15/22     13,210       14,853  
      International Lease Finance Corp.   5.875%   8/15/22     10,234       11,150  
      Owl Rock Capital Corp.   5.250%   4/15/24     1,500       1,586  
      Owl Rock Capital Corp.   4.000%   3/30/25     3,540       3,550  
      Prospect Capital Corp.   5.875%   3/15/23     1,610       1,704  
      TPG Specialty Lending Inc.   3.875%   11/1/24     3,435       3,455  
      Insurance (1.2%)                        
      ACE Capital Trust II   9.700%   4/1/30     1,529       2,294  
      AEGON Funding Co. LLC   5.750%   12/15/20     9,425       9,741  
4     AEGON NV   5.500%   4/11/48     7,800       8,473  
      Aetna Inc.   2.750%   11/15/22     9,750       9,901  
      Aetna Inc.   2.800%   6/15/23     13,025       13,229  
      Aetna Inc.   3.500%   11/15/24     11,303       11,803  
      Aetna Inc.   6.625%   6/15/36     8,456       11,303  
      Aetna Inc.   6.750%   12/15/37     3,877       5,206  
      Aetna Inc.   4.500%   5/15/42     5,167       5,515  
      Aetna Inc.   4.125%   11/15/42     2,503       2,561  
      Aetna Inc.   4.750%   3/15/44     3,575       3,864  
      Aetna Inc.   3.875%   8/15/47     12,600       12,732  
      Aflac Inc.   4.000%   2/15/22     1,250       1,304  
      Aflac Inc.   3.625%   6/15/23     8,610       9,052  
      Aflac Inc.   3.625%   11/15/24     8,265       8,834  
      Aflac Inc.   3.250%   3/17/25     6,047       6,346  
      Aflac Inc.   2.875%   10/15/26     1,090       1,122  
      Aflac Inc.   4.000%   10/15/46     4,650       5,053  
      Aflac Inc.   4.750%   1/15/49     7,390       8,800  
      Alleghany Corp.   4.950%   6/27/22     2,295       2,438  
      Alleghany Corp.   4.900%   9/15/44     8,027       9,364  
      Allied World Assurance Co. Holdings Ltd.   4.350%   10/29/25     10,461       10,862  
      Allstate Corp.   3.150%   6/15/23     10,500       10,896  
      Allstate Corp.   3.280%   12/15/26     5,250       5,539  
      Allstate Corp.   5.350%   6/1/33     1,679       2,097  
      Allstate Corp.   5.550%   5/9/35     2,906       3,667  
      Allstate Corp.   5.950%   4/1/36     413       558  
      Allstate Corp.   4.500%   6/15/43     7,687       9,180  
      Allstate Corp.   4.200%   12/15/46     7,895       9,088  
      Allstate Corp.   3.850%   8/10/49     5,410       6,010  
4     Allstate Corp.   5.750%   8/15/53     7,865       8,435  
4     Allstate Corp.   6.500%   5/15/67     4,240       5,236  
      American Financial Group Inc.   3.500%   8/15/26     4,210       4,318  
      American Financial Group Inc.   4.500%   6/15/47     7,015       7,569  
      American International Group Inc.   6.400%   12/15/20     28,138       29,283  
      American International Group Inc.   3.300%   3/1/21     2,675       2,710  
      American International Group Inc.   4.875%   6/1/22     17,533       18,714  
      American International Group Inc.   4.125%   2/15/24     7,551       8,086  
      American International Group Inc.   3.750%   7/10/25     4,140       4,428  
      American International Group Inc.   3.900%   4/1/26     10,340       11,064  
      American International Group Inc.   4.200%   4/1/28     10,672       11,697  
      American International Group Inc.   4.250%   3/15/29     3,625       4,027  
      American International Group Inc.   3.875%   1/15/35     11,398       12,099  
      American International Group Inc.   4.700%   7/10/35     6,305       7,279  
      American International Group Inc.   6.250%   5/1/36     12,713       16,976  
      American International Group Inc.   4.500%   7/16/44     31,138       35,685  
      American International Group Inc.   4.800%   7/10/45     10,980       13,143  
      American International Group Inc.   4.750%   4/1/48     10,850       12,979  
4     American International Group Inc.   5.750%   4/1/48     8,472       9,174  

 

46

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      American International Group Inc.   4.375%   1/15/55     11,430       12,488  
4     American International Group Inc.   8.175%   5/15/68     4,725       6,420  
      Anthem Inc.   3.700%   8/15/21     6,874       7,027  
      Anthem Inc.   3.125%   5/15/22     12,040       12,339  
      Anthem Inc.   2.950%   12/1/22     8,625       8,835  
      Anthem Inc.   3.300%   1/15/23     13,347       13,804  
      Anthem Inc.   3.500%   8/15/24     9,894       10,361  
      Anthem Inc.   3.350%   12/1/24     19,009       19,834  
      Anthem Inc.   2.375%   1/15/25     6,990       6,986  
      Anthem Inc.   3.650%   12/1/27     23,345       24,619  
      Anthem Inc.   4.101%   3/1/28     30,526       33,073  
      Anthem Inc.   2.875%   9/15/29     2,000       1,988  
      Anthem Inc.   5.950%   12/15/34     401       514  
      Anthem Inc.   5.850%   1/15/36     3,708       4,522  
      Anthem Inc.   6.375%   6/15/37     4,250       5,503  
      Anthem Inc.   4.625%   5/15/42     15,912       17,847  
      Anthem Inc.   4.650%   1/15/43     10,121       11,394  
      Anthem Inc.   5.100%   1/15/44     13,835       16,357  
      Anthem Inc.   4.650%   8/15/44     8,365       9,292  
      Anthem Inc.   4.375%   12/1/47     15,726       17,241  
      Anthem Inc.   4.550%   3/1/48     2,795       3,133  
      Anthem Inc.   3.700%   9/15/49     7,490       7,406  
      Anthem Inc.   4.850%   8/15/54     4,325       4,682  
      Aon Corp.   8.205%   1/1/27     619       786  
      Aon Corp.   4.500%   12/15/28     8,250       9,246  
      Aon Corp.   3.750%   5/2/29     6,365       6,800  
      Aon Corp.   6.250%   9/30/40     4,680       6,393  
      Aon plc   2.800%   3/15/21     14,115       14,243  
      Aon plc   4.000%   11/27/23     625       663  
      Aon plc   3.500%   6/14/24     9,065       9,463  
      Aon plc   3.875%   12/15/25     13,775       14,775  
      Aon plc   4.600%   6/14/44     9,042       10,262  
      Aon plc   4.750%   5/15/45     1,802       2,106  
      Arch Capital Finance LLC   4.011%   12/15/26     10,220       11,255  
      Arch Capital Finance LLC   5.031%   12/15/46     7,707       9,622  
      Arch Capital Group Ltd.   7.350%   5/1/34     4,510       6,372  
      Arch Capital Group US Inc.   5.144%   11/1/43     940       1,142  
      Aspen Insurance Holdings Ltd.   4.650%   11/15/23     10,990       11,766  
      Assurant Inc.   4.000%   3/15/23     8,175       8,525  
      Assurant Inc.   4.200%   9/27/23     2,120       2,219  
      Assurant Inc.   4.900%   3/27/28     6,400       7,025  
      Assurant Inc.   3.700%   2/22/30     4,800       4,860  
      Assurant Inc.   6.750%   2/15/34     1,103       1,317  
      Assured Guaranty US Holdings Inc.   5.000%   7/1/24     5,548       6,169  
      Athene Holding Ltd.   4.125%   1/12/28     11,850       12,239  
      AXA Equitable Holdings Inc.   3.900%   4/20/23     3,985       4,173  
      AXA Equitable Holdings Inc.   7.000%   4/1/28     4,150       5,036  
      AXA Equitable Holdings Inc.   4.350%   4/20/28     50,851       55,163  
      AXA Equitable Holdings Inc.   5.000%   4/20/48     22,085       23,598  
      AXA SA   8.600%   12/15/30     13,416       19,604  
      AXIS Specialty Finance LLC   3.900%   7/15/29     3,000       3,144  
4     AXIS Specialty Finance LLC   4.900%   1/15/40     3,210       3,258  
      AXIS Specialty Finance plc   4.000%   12/6/27     15,014       15,839  
      Berkshire Hathaway Finance Corp.   4.250%   1/15/21     3,732       3,822  
      Berkshire Hathaway Finance Corp.   3.000%   5/15/22     22,225       22,841  
      Berkshire Hathaway Finance Corp.   5.750%   1/15/40     4,540       6,231  
      Berkshire Hathaway Finance Corp.   4.400%   5/15/42     10,665       12,595  
      Berkshire Hathaway Finance Corp.   4.300%   5/15/43     10,250       11,730  
      Berkshire Hathaway Finance Corp.   4.200%   8/15/48     35,460       41,509  
      Berkshire Hathaway Finance Corp.   4.250%   1/15/49     34,600       40,873  
      Berkshire Hathaway Inc.   2.200%   3/15/21     6,186       6,215  
      Berkshire Hathaway Inc.   3.750%   8/15/21     3,452       3,558  
      Berkshire Hathaway Inc.   3.400%   1/31/22     2,555       2,645  
      Berkshire Hathaway Inc.   3.000%   2/11/23     2,306       2,386  

 

47

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Berkshire Hathaway Inc.   2.750%   3/15/23     11,414       11,720  
      Berkshire Hathaway Inc.   3.125%   3/15/26     39,001       41,143  
      Berkshire Hathaway Inc.   4.500%   2/11/43     11,479       13,953  
      Brighthouse Financial Inc.   3.700%   6/22/27     15,435       15,343  
      Brighthouse Financial Inc.   4.700%   6/22/47     11,100       10,275  
      Brown & Brown Inc.   4.200%   9/15/24     5,390       5,694  
      Brown & Brown Inc.   4.500%   3/15/29     3,800       4,146  
      Chubb Corp.   6.000%   5/11/37     5,045       6,920  
      Chubb Corp.   6.500%   5/15/38     2,141       3,131  
      Chubb INA Holdings Inc.   2.875%   11/3/22     21,373       21,919  
      Chubb INA Holdings Inc.   2.700%   3/13/23     12,433       12,709  
      Chubb INA Holdings Inc.   3.350%   5/15/24     5,499       5,779  
      Chubb INA Holdings Inc.   3.150%   3/15/25     9,106       9,561  
      Chubb INA Holdings Inc.   3.350%   5/3/26     18,560       19,701  
      Chubb INA Holdings Inc.   6.700%   5/15/36     1,155       1,657  
      Chubb INA Holdings Inc.   4.150%   3/13/43     4,908       5,695  
      Chubb INA Holdings Inc.   4.350%   11/3/45     20,960       25,170  
      Cigna Holding Co.   4.375%   12/15/20     8,571       8,711  
      Cincinnati Financial Corp.   6.920%   5/15/28     4,256       5,495  
      Cincinnati Financial Corp.   6.125%   11/1/34     2,070       2,745  
      CNA Financial Corp.   5.750%   8/15/21     4,168       4,404  
      CNA Financial Corp.   3.950%   5/15/24     4,990       5,327  
      CNA Financial Corp.   4.500%   3/1/26     2,070       2,269  
      CNA Financial Corp.   3.450%   8/15/27     6,685       6,963  
      CNA Financial Corp.   3.900%   5/1/29     11,260       12,103  
      CNO Financial Group Inc.   5.250%   5/30/29     3,010       3,364  
      Enstar Group Ltd.   4.500%   3/10/22     2,382       2,462  
      Enstar Group Ltd.   4.950%   6/1/29     9,800       10,491  
      Everest Reinsurance Holdings Inc.   4.868%   6/1/44     4,500       4,984  
      Fairfax Financial Holdings Ltd.   4.850%   4/17/28     5,575       6,069  
      Fidelity National Financial Inc.   5.500%   9/1/22     4,300       4,620  
      First American Financial Corp.   4.600%   11/15/24     5,110       5,424  
      Globe Life Inc.   3.800%   9/15/22     110       113  
      Globe Life Inc.   4.550%   9/15/28     4,947       5,486  
      Hanover Insurance Group Inc.   4.500%   4/15/26     5,000       5,394  
      Hartford Financial Services Group Inc.   2.800%   8/19/29     5,520       5,584  
      Hartford Financial Services Group Inc.   5.950%   10/15/36     3,745       4,873  
      Hartford Financial Services Group Inc.   6.100%   10/1/41     5,601       7,650  
      Hartford Financial Services Group Inc.   4.300%   4/15/43     6,715       7,469  
      Hartford Financial Services Group Inc.   3.600%   8/19/49     12,305       12,633  
      Humana Inc.   3.150%   12/1/22     6,360       6,522  
      Humana Inc.   2.900%   12/15/22     7,470       7,612  
      Humana Inc.   3.850%   10/1/24     10,427       11,072  
      Humana Inc.   3.950%   3/15/27     9,035       9,687  
      Humana Inc.   4.625%   12/1/42     7,178       7,818  
      Humana Inc.   4.950%   10/1/44     8,053       9,517  
      Humana Inc.   4.800%   3/15/47     4,890       5,674  
      Humana Inc.   3.950%   8/15/49     900       945  
      Kemper Corp.   4.350%   2/15/25     1,950       2,071  
      Lincoln National Corp.   4.200%   3/15/22     6,315       6,582  
      Lincoln National Corp.   4.000%   9/1/23     6,905       7,314  
      Lincoln National Corp.   3.350%   3/9/25     3,297       3,428  
      Lincoln National Corp.   3.625%   12/12/26     6,555       6,910  
      Lincoln National Corp.   3.800%   3/1/28     11,025       11,720  
      Lincoln National Corp.   3.050%   1/15/30     6,613       6,569  
      Lincoln National Corp.   6.300%   10/9/37     4,563       5,930  
      Lincoln National Corp.   7.000%   6/15/40     6,080       8,627  
      Lincoln National Corp.   4.350%   3/1/48     746       820  
      Loews Corp.   2.625%   5/15/23     11,705       11,929  
      Loews Corp.   3.750%   4/1/26     110       118  
      Loews Corp.   6.000%   2/1/35     2,143       2,761  
      Loews Corp.   4.125%   5/15/43     7,262       7,974  
      Manulife Financial Corp.   4.150%   3/4/26     8,716       9,518  
4     Manulife Financial Corp.   4.061%   2/24/32     10,262       10,537  

 

48

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Manulife Financial Corp.   5.375%   3/4/46     8,867       11,642  
      Markel Corp.   4.900%   7/1/22     1,000       1,065  
      Markel Corp.   3.500%   11/1/27     4,945       5,053  
      Markel Corp.   3.350%   9/17/29     3,500       3,571  
      Markel Corp.   5.000%   4/5/46     5,653       6,408  
      Markel Corp.   4.300%   11/1/47     4,000       4,171  
      Markel Corp.   5.000%   5/20/49     3,185       3,681  
      Markel Corp.   4.150%   9/17/50     6,345       6,527  
      Marsh & McLennan Cos. Inc.   4.800%   7/15/21     2,849       2,954  
      Marsh & McLennan Cos. Inc.   2.750%   1/30/22     7,390       7,507  
      Marsh & McLennan Cos. Inc.   4.050%   10/15/23     6,068       6,424  
      Marsh & McLennan Cos. Inc.   3.875%   3/15/24     23,800       25,319  
      Marsh & McLennan Cos. Inc.   3.500%   6/3/24     4,697       4,924  
      Marsh & McLennan Cos. Inc.   3.500%   3/10/25     11,818       12,430  
      Marsh & McLennan Cos. Inc.   3.750%   3/14/26     6,580       7,051  
      Marsh & McLennan Cos. Inc.   4.375%   3/15/29     11,920       13,577  
      Marsh & McLennan Cos. Inc.   5.875%   8/1/33     2,789       3,571  
      Marsh & McLennan Cos. Inc.   4.750%   3/15/39     3,705       4,492  
      Marsh & McLennan Cos. Inc.   4.350%   1/30/47     5,551       6,281  
      Marsh & McLennan Cos. Inc.   4.200%   3/1/48     4,905       5,528  
      Marsh & McLennan Cos. Inc.   4.900%   3/15/49     12,755       16,132  
      Mercury General Corp.   4.400%   3/15/27     4,185       4,401  
      MetLife Inc.   3.048%   12/15/22     6,500       6,726  
      MetLife Inc.   4.368%   9/15/23     8,864       9,588  
      MetLife Inc.   3.600%   4/10/24     14,220       15,146  
      MetLife Inc.   3.000%   3/1/25     14,675       15,272  
      MetLife Inc.   3.600%   11/13/25     7,900       8,471  
      MetLife Inc.   6.500%   12/15/32     2,905       4,018  
      MetLife Inc.   6.375%   6/15/34     3,323       4,740  
      MetLife Inc.   5.700%   6/15/35     5,393       7,234  
      MetLife Inc.   5.875%   2/6/41     20,083       27,185  
      MetLife Inc.   4.125%   8/13/42     12,534       14,195  
      MetLife Inc.   4.875%   11/13/43     5,832       7,216  
      MetLife Inc.   4.721%   12/15/44     6,405       7,764  
      MetLife Inc.   4.050%   3/1/45     9,171       10,531  
      MetLife Inc.   4.600%   5/13/46     3,620       4,426  
4     MetLife Inc.   6.400%   12/15/66     19,610       23,900  
4     MetLife Inc.   10.750%   8/1/69     685       1,113  
      Munich Re America Corp.   7.450%   12/15/26     2,350       2,971  
4     Nationwide Financial Services Inc.   6.750%   5/15/87     396       459  
      Old Republic International Corp.   4.875%   10/1/24     6,830       7,472  
      Old Republic International Corp.   3.875%   8/26/26     5,893       6,237  
      PartnerRe Finance B LLC   3.700%   7/2/29     7,500       7,790  
      Primerica Inc.   4.750%   7/15/22     2,000       2,109  
      Principal Financial Group Inc.   3.300%   9/15/22     2,875       2,961  
      Principal Financial Group Inc.   3.125%   5/15/23     3,661       3,759  
      Principal Financial Group Inc.   3.400%   5/15/25     6,553       6,858  
      Principal Financial Group Inc.   3.100%   11/15/26     5,502       5,693  
      Principal Financial Group Inc.   4.625%   9/15/42     2,033       2,316  
      Principal Financial Group Inc.   4.350%   5/15/43     3,043       3,434  
      Principal Financial Group Inc.   4.300%   11/15/46     5,540       6,253  
      Progressive Corp.   3.750%   8/23/21     10,283       10,592  
      Progressive Corp.   2.450%   1/15/27     5,360       5,390  
      Progressive Corp.   4.000%   3/1/29     7,805       8,724  
      Progressive Corp.   6.625%   3/1/29     4,820       6,258  
      Progressive Corp.   6.250%   12/1/32     325       444  
      Progressive Corp.   4.350%   4/25/44     3,660       4,286  
      Progressive Corp.   4.125%   4/15/47     19,035       22,199  
      Progressive Corp.   4.200%   3/15/48     4,750       5,447  
      Prudential Financial Inc.   4.500%   11/16/21     5,020       5,279  
      Prudential Financial Inc.   3.500%   5/15/24     10,182       10,822  
      Prudential Financial Inc.   3.878%   3/27/28     2,500       2,735  
      Prudential Financial Inc.   5.750%   7/15/33     620       790  
      Prudential Financial Inc.   5.700%   12/14/36     12,463       16,929  

 

49

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Prudential Financial Inc.   6.625%   12/1/37     4,352       6,009  
      Prudential Financial Inc.   6.625%   6/21/40     4,325       6,082  
      Prudential Financial Inc.   6.200%   11/15/40     3,325       4,440  
4     Prudential Financial Inc.   5.875%   9/15/42     12,320       13,259  
4     Prudential Financial Inc.   5.625%   6/15/43     11,514       12,378  
      Prudential Financial Inc.   5.100%   8/15/43     3,450       4,078  
4     Prudential Financial Inc.   5.200%   3/15/44     2,945       3,133  
      Prudential Financial Inc.   4.600%   5/15/44     5,440       6,414  
4     Prudential Financial Inc.   5.375%   5/15/45     14,430       15,347  
4     Prudential Financial Inc.   4.500%   9/15/47     7,747       8,004  
      Prudential Financial Inc.   3.905%   12/7/47     13,698       14,622  
4     Prudential Financial Inc.   5.700%   9/15/48     14,001       15,918  
      Prudential Financial Inc.   3.935%   12/7/49     9,828       10,709  
      Prudential Financial Inc.   4.350%   2/25/50     14,400       16,571  
      Prudential Financial Inc.   3.700%   3/13/51     17,291       18,109  
      Reinsurance Group of America Inc.   5.000%   6/1/21     1,290       1,339  
      Reinsurance Group of America Inc.   4.700%   9/15/23     3,475       3,769  
      Reinsurance Group of America Inc.   3.950%   9/15/26     4,589       4,864  
      Reinsurance Group of America Inc.   3.900%   5/15/29     4,060       4,327  
      RenaissanceRe Finance Inc.   3.700%   4/1/25     3,300       3,431  
      RenaissanceRe Finance Inc.   3.450%   7/1/27     4,200       4,344  
      RenaissanceRe Holdings Ltd.   3.600%   4/15/29     1,700       1,783  
      Selective Insurance Group Inc.   5.375%   3/1/49     2,900       3,414  
      Sompo International Holdings Ltd.   4.700%   10/15/22     3,250       3,449  
      Swiss Re Solutions Holding Corp.   7.000%   2/15/26     1,309       1,631  
      Transatlantic Holdings Inc.   8.000%   11/30/39     4,488       6,582  
      Travelers Cos. Inc.   6.750%   6/20/36     85       123  
      Travelers Cos. Inc.   6.250%   6/15/37     7,452       10,300  
      Travelers Cos. Inc.   5.350%   11/1/40     3,300       4,286  
      Travelers Cos. Inc.   4.600%   8/1/43     15,160       18,348  
      Travelers Cos. Inc.   3.750%   5/15/46     5,320       5,727  
      Travelers Cos. Inc.   4.000%   5/30/47     10,110       11,337  
      Travelers Cos. Inc.   4.100%   3/4/49     5,100       5,905  
      Travelers Property Casualty Corp.   6.375%   3/15/33     715       988  
      Trinity Acquisition plc   4.400%   3/15/26     6,125       6,625  
      UnitedHealth Group Inc.   4.700%   2/15/21     4,925       5,042  
      UnitedHealth Group Inc.   2.125%   3/15/21     7,555       7,566  
      UnitedHealth Group Inc.   3.150%   6/15/21     6,100       6,206  
      UnitedHealth Group Inc.   3.375%   11/15/21     2,550       2,610  
      UnitedHealth Group Inc.   2.875%   12/15/21     11,731       11,958  
      UnitedHealth Group Inc.   2.875%   3/15/22     4,046       4,122  
      UnitedHealth Group Inc.   3.350%   7/15/22     19,483       20,125  
      UnitedHealth Group Inc.   2.375%   10/15/22     8,400       8,496  
      UnitedHealth Group Inc.   2.750%   2/15/23     10,080       10,267  
      UnitedHealth Group Inc.   2.875%   3/15/23     3,736       3,822  
      UnitedHealth Group Inc.   3.500%   6/15/23     8,250       8,633  
      UnitedHealth Group Inc.   3.500%   2/15/24     5,805       6,112  
      UnitedHealth Group Inc.   2.375%   8/15/24     4,500       4,559  
      UnitedHealth Group Inc.   3.750%   7/15/25     12,119       13,083  
      UnitedHealth Group Inc.   3.700%   12/15/25     2,550       2,750  
      UnitedHealth Group Inc.   3.100%   3/15/26     9,205       9,601  
      UnitedHealth Group Inc.   3.450%   1/15/27     4,871       5,221  
      UnitedHealth Group Inc.   3.375%   4/15/27     27,310       29,013  
      UnitedHealth Group Inc.   2.950%   10/15/27     11,838       12,232  
      UnitedHealth Group Inc.   3.850%   6/15/28     9,350       10,239  
      UnitedHealth Group Inc.   3.875%   12/15/28     7,225       7,968  
      UnitedHealth Group Inc.   2.875%   8/15/29     13,672       13,985  
      UnitedHealth Group Inc.   4.625%   7/15/35     11,501       13,908  
      UnitedHealth Group Inc.   5.800%   3/15/36     4,769       6,319  
      UnitedHealth Group Inc.   6.500%   6/15/37     1,805       2,561  
      UnitedHealth Group Inc.   6.625%   11/15/37     9,625       13,710  
      UnitedHealth Group Inc.   6.875%   2/15/38     19,121       28,352  
      UnitedHealth Group Inc.   3.500%   8/15/39     21,000       21,949  
      UnitedHealth Group Inc.   5.700%   10/15/40     675       896  

 

50

 

  

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      UnitedHealth Group Inc.   5.950%   2/15/41     5,380       7,305  
      UnitedHealth Group Inc.   4.625%   11/15/41     9,916       11,760  
      UnitedHealth Group Inc.   4.375%   3/15/42     491       565  
      UnitedHealth Group Inc.   3.950%   10/15/42     16,001       17,421  
      UnitedHealth Group Inc.   4.250%   3/15/43     6,781       7,708  
      UnitedHealth Group Inc.   4.750%   7/15/45     17,312       21,141  
      UnitedHealth Group Inc.   4.200%   1/15/47     9,654       11,062  
      UnitedHealth Group Inc.   4.250%   4/15/47     14,720       16,943  
      UnitedHealth Group Inc.   3.750%   10/15/47     8,910       9,497  
      UnitedHealth Group Inc.   4.250%   6/15/48     15,800       18,329  
      UnitedHealth Group Inc.   4.450%   12/15/48     6,000       7,134  
      UnitedHealth Group Inc.   3.700%   8/15/49     15,285       16,269  
      UnitedHealth Group Inc.   3.875%   8/15/59     11,610       12,461  
      Unum Group   4.000%   3/15/24     3,145       3,320  
      Unum Group   3.875%   11/5/25     175       183  
      Unum Group   4.000%   6/15/29     3,000       3,163  
      Unum Group   5.750%   8/15/42     4,573       5,041  
      Unum Group   4.500%   12/15/49     7,050       6,872  
      Voya Financial Inc.   3.125%   7/15/24     7,235       7,431  
      Voya Financial Inc.   3.650%   6/15/26     2,440       2,571  
      Voya Financial Inc.   5.700%   7/15/43     9,730       12,323  
      Voya Financial Inc.   4.800%   6/15/46     2,285       2,607  
4     Voya Financial Inc.   4.700%   1/23/48     2,307       2,294  
      Willis North America Inc.   3.600%   5/15/24     7,100       7,411  
      Willis North America Inc.   4.500%   9/15/28     6,650       7,294  
      Willis North America Inc.   2.950%   9/15/29     8,125       8,064  
      Willis North America Inc.   5.050%   9/15/48     3,350       3,915  
      Willis North America Inc.   3.875%   9/15/49     18,520       18,461  
      Willis Towers Watson plc   5.750%   3/15/21     9,351       9,736  
      WR Berkley Corp.   4.625%   3/15/22     3,700       3,899  
      WR Berkley Corp.   4.750%   8/1/44     4,088       4,566  
      XLIT Ltd.   4.450%   3/31/25     2,650       2,868  
      XLIT Ltd.   5.250%   12/15/43     7,000       8,937  
      XLIT Ltd.   5.500%   3/31/45     5,529       6,972  
      Other Finance (0.0%)                        
      Jones Lang LaSalle Inc.   4.400%   11/15/22     2,050       2,136  
      ORIX Corp.   2.900%   7/18/22     2,850       2,897  
      ORIX Corp.   3.250%   12/4/24     3,725       3,865  
      ORIX Corp.   3.700%   7/18/27     9,650       10,190  
      Real Estate Investment Trusts (0.7%)                        
      Alexandria Real Estate Equities Inc.   3.900%   6/15/23     969       1,017  
      Alexandria Real Estate Equities Inc.   4.000%   1/15/24     5,240       5,572  
      Alexandria Real Estate Equities Inc.   3.450%   4/30/25     9,535       9,995  
      Alexandria Real Estate Equities Inc.   4.300%   1/15/26     500       548  
      Alexandria Real Estate Equities Inc.   3.800%   4/15/26     10,304       11,013  
      Alexandria Real Estate Equities Inc.   3.950%   1/15/27     4,077       4,358  
      Alexandria Real Estate Equities Inc.   3.950%   1/15/28     5,175       5,556  
      Alexandria Real Estate Equities Inc.   4.500%   7/30/29     3,530       3,984  
      Alexandria Real Estate Equities Inc.   2.750%   12/15/29     5,475       5,394  
      Alexandria Real Estate Equities Inc.   4.700%   7/1/30     6,325       7,257  
      Alexandria Real Estate Equities Inc.   3.375%   8/15/31     9,400       9,782  
      Alexandria Real Estate Equities Inc.   4.850%   4/15/49     3,420       4,148  
      Alexandria Real Estate Equities Inc.   4.000%   2/1/50     6,950       7,614  
      American Campus Communities Operating Partnership LP   3.750%   4/15/23     1,530       1,593  
      American Campus Communities Operating Partnership LP   4.125%   7/1/24     4,683       4,991  
      American Campus Communities Operating Partnership LP   3.300%   7/15/26     4,550       4,702  
      American Campus Communities Operating Partnership LP   3.625%   11/15/27     4,375       4,550  
      American Homes 4 Rent LP   4.250%   2/15/28     1,745       1,851  
      American Homes 4 Rent LP   4.900%   2/15/29     4,730       5,299  

 

51

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      AvalonBay Communities Inc.   2.850%   3/15/23     6,264       6,396  
      AvalonBay Communities Inc.   4.200%   12/15/23     1,355       1,455  
      AvalonBay Communities Inc.   3.500%   11/15/24     3,325       3,502  
      AvalonBay Communities Inc.   3.450%   6/1/25     6,395       6,742  
      AvalonBay Communities Inc.   3.500%   11/15/25     2,650       2,811  
      AvalonBay Communities Inc.   2.950%   5/11/26     10,420       10,694  
      AvalonBay Communities Inc.   2.900%   10/15/26     1,625       1,665  
      AvalonBay Communities Inc.   3.350%   5/15/27     7,441       7,834  
      AvalonBay Communities Inc.   3.200%   1/15/28     6,290       6,558  
      AvalonBay Communities Inc.   3.300%   6/1/29     2,970       3,135  
      AvalonBay Communities Inc.   4.150%   7/1/47     150       169  
      AvalonBay Communities Inc.   4.350%   4/15/48     3,475       4,086  
      Boston Properties LP   4.125%   5/15/21     4,395       4,497  
      Boston Properties LP   3.850%   2/1/23     7,848       8,218  
      Boston Properties LP   3.125%   9/1/23     4,540       4,676  
      Boston Properties LP   3.800%   2/1/24     4,525       4,778  
      Boston Properties LP   3.200%   1/15/25     7,325       7,588  
      Boston Properties LP   3.650%   2/1/26     6,275       6,640  
      Boston Properties LP   2.750%   10/1/26     7,574       7,640  
      Boston Properties LP   3.400%   6/21/29     3,500       3,645  
      Boston Properties LP   2.900%   3/15/30     6,085       6,057  
      Brandywine Operating Partnership LP   3.950%   2/15/23     5,430       5,639  
      Brandywine Operating Partnership LP   3.950%   11/15/27     23,150       24,251  
      Brixmor Operating Partnership LP   3.875%   8/15/22     6,285       6,543  
      Brixmor Operating Partnership LP   3.250%   9/15/23     4,425       4,557  
      Brixmor Operating Partnership LP   3.650%   6/15/24     2,225       2,314  
      Brixmor Operating Partnership LP   3.850%   2/1/25     15,660       16,415  
      Brixmor Operating Partnership LP   4.125%   6/15/26     5,765       6,119  
      Brixmor Operating Partnership LP   3.900%   3/15/27     2,675       2,793  
      Brixmor Operating Partnership LP   4.125%   5/15/29     6,753       7,232  
      Camden Property Trust   2.950%   12/15/22     4,900       4,995  
      Camden Property Trust   4.100%   10/15/28     4,400       4,887  
      Camden Property Trust   3.150%   7/1/29     6,450       6,711  
      Camden Property Trust   3.350%   11/1/49     2,025       2,026  
      Columbia Property Trust Operating Partnership LP   4.150%   4/1/25     3,125       3,276  
      Columbia Property Trust Operating Partnership LP   3.650%   8/15/26     13,175       13,423  
      Corporate Office Properties LP   3.700%   6/15/21     3,725       3,767  
      Corporate Office Properties LP   3.600%   5/15/23     7,931       8,137  
      CubeSmart LP   4.375%   12/15/23     7,400       7,869  
      CubeSmart LP   4.000%   11/15/25     2,265       2,406  
      CubeSmart LP   3.125%   9/1/26     2,575       2,614  
      CubeSmart LP   4.375%   2/15/29     2,750       3,011  
      CubeSmart LP   3.000%   2/15/30     4,400       4,347  
      CyrusOne LP / CyrusOne Finance Corp.   2.900%   11/15/24     6,000       6,024  
      CyrusOne LP / CyrusOne Finance Corp.   3.450%   11/15/29     11,500       11,506  
      Digital Realty Trust LP   3.950%   7/1/22     12,000       12,493  
      Digital Realty Trust LP   3.625%   10/1/22     415       429  
      Digital Realty Trust LP   2.750%   2/1/23     2,750       2,777  
      Digital Realty Trust LP   4.750%   10/1/25     5,625       6,241  
      Digital Realty Trust LP   3.700%   8/15/27     8,635       9,077  
      Digital Realty Trust LP   4.450%   7/15/28     12,250       13,537  
      Digital Realty Trust LP   3.600%   7/1/29     21,850       22,807  
      Duke Realty LP   4.375%   6/15/22     255       267  
      Duke Realty LP   3.875%   10/15/22     1,223       1,273  
      Duke Realty LP   3.625%   4/15/23     748       777  
      Duke Realty LP   3.750%   12/1/24     3,405       3,603  
      Duke Realty LP   3.250%   6/30/26     6,184       6,378  
      Duke Realty LP   3.375%   12/15/27     5,964       6,236  
      Duke Realty LP   4.000%   9/15/28     2,500       2,697  
      Duke Realty LP   2.875%   11/15/29     1,390       1,387  
      EPR Properties   5.250%   7/15/23     1,575       1,689  
      EPR Properties   4.500%   4/1/25     7,025       7,443  
      EPR Properties   4.750%   12/15/26     4,000       4,328  
      EPR Properties   4.500%   6/1/27     150       161  

 

52

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      EPR Properties   4.950%   4/15/28     8,600       9,358  
      EPR Properties   3.750%   8/15/29     8,000       8,064  
      ERP Operating LP   4.625%   12/15/21     6,936       7,239  
      ERP Operating LP   3.000%   4/15/23     2,603       2,677  
      ERP Operating LP   3.375%   6/1/25     1,120       1,177  
      ERP Operating LP   2.850%   11/1/26     5,575       5,693  
      ERP Operating LP   3.250%   8/1/27     3,450       3,613  
      ERP Operating LP   3.500%   3/1/28     12,306       13,096  
      ERP Operating LP   4.150%   12/1/28     2,380       2,664  
      ERP Operating LP   3.000%   7/1/29     5,350       5,518  
      ERP Operating LP   2.500%   2/15/30     7,000       6,927  
      ERP Operating LP   4.500%   7/1/44     7,595       8,950  
      ERP Operating LP   4.500%   6/1/45     1,375       1,626  
      ERP Operating LP   4.000%   8/1/47     4,001       4,414  
      Essex Portfolio LP   5.200%   3/15/21     5,525       5,689  
      Essex Portfolio LP   3.250%   5/1/23     3,505       3,601  
      Essex Portfolio LP   3.500%   4/1/25     10,937       11,480  
      Essex Portfolio LP   3.375%   4/15/26     6,450       6,700  
      Essex Portfolio LP   4.000%   3/1/29     5,470       5,966  
      Essex Portfolio LP   3.000%   1/15/30     8,635       8,730  
      Essex Portfolio LP   4.500%   3/15/48     7,090       8,079  
      Federal Realty Investment Trust   2.750%   6/1/23     5,237       5,320  
      Federal Realty Investment Trust   3.250%   7/15/27     9,100       9,441  
      Federal Realty Investment Trust   3.200%   6/15/29     6,035       6,220  
      Federal Realty Investment Trust   4.500%   12/1/44     13,140       15,030  
      Healthcare Realty Trust Inc.   3.625%   1/15/28     4,067       4,203  
      Healthcare Trust of America Holdings LP   3.700%   4/15/23     1,500       1,550  
      Healthcare Trust of America Holdings LP   3.500%   8/1/26     8,150       8,499  
      Healthcare Trust of America Holdings LP   3.750%   7/1/27     5,500       5,794  
      Healthcare Trust of America Holdings LP   3.100%   2/15/30     3,775       3,745  
      Healthpeak Properties Inc.   3.150%   8/1/22     6,915       7,037  
      Healthpeak Properties Inc.   4.250%   11/15/23     7,213       7,696  
      Healthpeak Properties Inc.   4.200%   3/1/24     3,950       4,213  
      Healthpeak Properties Inc.   3.875%   8/15/24     5,276       5,605  
      Healthpeak Properties Inc.   3.400%   2/1/25     2,980       3,098  
      Healthpeak Properties Inc.   4.000%   6/1/25     1,093       1,173  
      Healthpeak Properties Inc.   3.250%   7/15/26     3,366       3,482  
      Healthpeak Properties Inc.   3.500%   7/15/29     10,098       10,506  
      Healthpeak Properties Inc.   3.000%   1/15/30     11,850       11,834  
      Healthpeak Properties Inc.   6.750%   2/1/41     1,320       1,831  
      Highwoods Realty LP   3.200%   6/15/21     13,850       14,021  
      Highwoods Realty LP   3.625%   1/15/23     100       103  
      Highwoods Realty LP   3.875%   3/1/27     6,629       6,913  
      Highwoods Realty LP   4.125%   3/15/28     2,943       3,108  
      Highwoods Realty LP   4.200%   4/15/29     4,181       4,494  
      Host Hotels & Resorts LP   4.750%   3/1/23     1,427       1,521  
      Host Hotels & Resorts LP   3.750%   10/15/23     6,350       6,613  
      Host Hotels & Resorts LP   3.875%   4/1/24     4,850       5,114  
      Host Hotels & Resorts LP   4.000%   6/15/25     1,450       1,549  
      Host Hotels & Resorts LP   3.375%   12/15/29     6,915       6,970  
      Hudson Pacific Properties LP   3.950%   11/1/27     3,400       3,563  
      Hudson Pacific Properties LP   4.650%   4/1/29     2,360       2,590  
      Hudson Pacific Properties LP   3.250%   1/15/30     3,560       3,514  
      Kilroy Realty LP   3.800%   1/15/23     3,450       3,583  
      Kilroy Realty LP   3.450%   12/15/24     5,915       6,143  
      Kilroy Realty LP   4.375%   10/1/25     5,025       5,449  
      Kilroy Realty LP   4.750%   12/15/28     6,500       7,328  
      Kilroy Realty LP   4.250%   8/15/29     1,208       1,312  
      Kilroy Realty LP   3.050%   2/15/30     20,590       20,323  
      Kimco Realty Corp.   3.200%   5/1/21     3,790       3,842  
      Kimco Realty Corp.   3.400%   11/1/22     4,334       4,473  
      Kimco Realty Corp.   3.125%   6/1/23     3,300       3,373  
      Kimco Realty Corp.   2.700%   3/1/24     150       151  
      Kimco Realty Corp.   3.300%   2/1/25     2,160       2,245  

 

53

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Kimco Realty Corp.   2.800%   10/1/26     4,565       4,554  
      Kimco Realty Corp.   3.800%   4/1/27     5,100       5,393  
      Kimco Realty Corp.   4.125%   12/1/46     635       660  
      Kimco Realty Corp.   4.450%   9/1/47     5,120       5,586  
      Kimco Realty Corp.   3.700%   10/1/49     350       341  
      Kite Realty Group LP   4.000%   10/1/26     10,700       10,594  
      Liberty Property LP   3.375%   6/15/23     1,250       1,298  
      Liberty Property LP   4.400%   2/15/24     10,780       11,639  
      Liberty Property LP   3.750%   4/1/25     6,400       6,837  
      Liberty Property LP   3.250%   10/1/26     1,875       1,955  
      Liberty Property LP   4.375%   2/1/29     900       1,015  
      Life Storage LP   3.500%   7/1/26     18,900       19,399  
      Life Storage LP   3.875%   12/15/27     1,000       1,050  
      Life Storage LP   4.000%   6/15/29     2,000       2,130  
      Mid-America Apartments LP   4.300%   10/15/23     8,424       8,979  
      Mid-America Apartments LP   3.750%   6/15/24     4,505       4,750  
      Mid-America Apartments LP   3.600%   6/1/27     8,500       9,023  
      Mid-America Apartments LP   3.950%   3/15/29     330       359  
      Mid-America Apartments LP   2.750%   3/15/30     12,505       12,409  
      National Retail Properties Inc.   3.800%   10/15/22     3,400       3,531  
      National Retail Properties Inc.   3.300%   4/15/23     2,999       3,080  
      National Retail Properties Inc.   3.900%   6/15/24     3,875       4,091  
      National Retail Properties Inc.   3.600%   12/15/26     2,425       2,547  
      National Retail Properties Inc.   3.500%   10/15/27     13,000       13,568  
      National Retail Properties Inc.   4.300%   10/15/28     2,950       3,251  
      National Retail Properties Inc.   4.800%   10/15/48     2,550       3,067  
      Office Properties Income Trust   4.000%   7/15/22     5,000       5,113  
      Omega Healthcare Investors Inc.   4.375%   8/1/23     22,415       23,812  
      Omega Healthcare Investors Inc.   4.950%   4/1/24     4,300       4,703  
      Omega Healthcare Investors Inc.   4.500%   1/15/25     3,400       3,632  
      Omega Healthcare Investors Inc.   5.250%   1/15/26     8,654       9,631  
      Omega Healthcare Investors Inc.   4.500%   4/1/27     17,350       18,728  
      Omega Healthcare Investors Inc.   4.750%   1/15/28     5,825       6,336  
      Omega Healthcare Investors Inc.   3.625%   10/1/29     6,963       6,991  
      Physicians Realty LP   4.300%   3/15/27     5,885       6,217  
      Physicians Realty LP   3.950%   1/15/28     5,750       5,950  
      Piedmont Operating Partnership LP   3.400%   6/1/23     4,507       4,607  
      Piedmont Operating Partnership LP   4.450%   3/15/24     7,025       7,461  
      Prologis LP   4.250%   8/15/23     5,660       6,046  
      Prologis LP   3.875%   9/15/28     3,925       4,306  
      Prologis LP   4.375%   9/15/48     4,425       5,285  
      Public Storage   2.370%   9/15/22     5,398       5,452  
      Public Storage   3.094%   9/15/27     4,650       4,836  
      Public Storage   3.385%   5/1/29     7,700       8,143  
      Realty Income Corp.   3.250%   10/15/22     6,795       6,998  
      Realty Income Corp.   3.875%   7/15/24     3,800       4,045  
      Realty Income Corp.   3.875%   4/15/25     8,505       9,148  
      Realty Income Corp.   4.125%   10/15/26     15,293       16,703  
      Realty Income Corp.   3.000%   1/15/27     5,011       5,162  
      Realty Income Corp.   3.650%   1/15/28     6,578       7,047  
      Realty Income Corp.   3.250%   6/15/29     12,140       12,861  
      Realty Income Corp.   4.650%   3/15/47     11,400       13,719  
      Regency Centers Corp.   3.750%   11/15/22     1,850       1,919  
      Regency Centers LP   3.600%   2/1/27     3,950       4,128  
      Regency Centers LP   4.125%   3/15/28     3,450       3,736  
      Regency Centers LP   2.950%   9/15/29     8,940       8,925  
      Regency Centers LP   4.400%   2/1/47     5,750       6,468  
      Regency Centers LP   4.650%   3/15/49     4,310       5,094  
      Sabra Health Care LP   5.125%   8/15/26     1,138       1,231  
      Sabra Health Care LP   3.900%   10/15/29     9,280       9,268  
      Sabra Health Care LP / Sabra Capital Corp.   4.800%   6/1/24     1,300       1,383  
      Select Income REIT   4.150%   2/1/22     4,050       4,147  
      Select Income REIT   4.250%   5/15/24     375       389  
      Select Income REIT   4.500%   2/1/25     9,900       10,280  

 

54

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Service Properties Trust   5.000%   8/15/22     2,430       2,540  
      Service Properties Trust   4.500%   6/15/23     5,422       5,612  
      Service Properties Trust   4.650%   3/15/24     3,441       3,572  
      Service Properties Trust   4.350%   10/1/24     12,000       12,307  
      Service Properties Trust   4.500%   3/15/25     753       771  
      Service Properties Trust   5.250%   2/15/26     2,740       2,882  
      Service Properties Trust   4.750%   10/1/26     3,500       3,589  
      Service Properties Trust   4.950%   2/15/27     3,625       3,732  
      Service Properties Trust   3.950%   1/15/28     4,900       4,785  
      Service Properties Trust   4.950%   10/1/29     12,085       12,150  
      Service Properties Trust   4.375%   2/15/30     13,565       13,303  
      Simon Property Group LP   2.500%   7/15/21     6,915       6,965  
      Simon Property Group LP   2.350%   1/30/22     6,450       6,497  
      Simon Property Group LP   2.625%   6/15/22     8,080       8,201  
      Simon Property Group LP   2.750%   2/1/23     6,790       6,923  
      Simon Property Group LP   2.750%   6/1/23     9,560       9,759  
      Simon Property Group LP   3.750%   2/1/24     6,214       6,584  
      Simon Property Group LP   2.000%   9/13/24     8,460       8,340  
      Simon Property Group LP   3.375%   10/1/24     1,301       1,366  
      Simon Property Group LP   3.500%   9/1/25     3,740       3,972  
      Simon Property Group LP   3.300%   1/15/26     10,324       10,802  
      Simon Property Group LP   3.250%   11/30/26     4,975       5,210  
      Simon Property Group LP   3.375%   6/15/27     14,363       15,163  
      Simon Property Group LP   3.375%   12/1/27     9,175       9,701  
      Simon Property Group LP   2.450%   9/13/29     13,510       13,255  
      Simon Property Group LP   6.750%   2/1/40     11,793       17,246  
      Simon Property Group LP   4.750%   3/15/42     2,221       2,655  
      Simon Property Group LP   4.250%   10/1/44     760       857  
      Simon Property Group LP   4.250%   11/30/46     6,250       7,111  
      Simon Property Group LP   3.250%   9/13/49     6,850       6,615  
      SITE Centers Corp.   4.625%   7/15/22     2,977       3,107  
      SITE Centers Corp.   3.900%   8/15/24     1,000       1,034  
      SITE Centers Corp.   3.625%   2/1/25     7,367       7,584  
      SITE Centers Corp.   4.250%   2/1/26     2,940       3,089  
      SITE Centers Corp.   4.700%   6/1/27     14,840       16,044  
      SL Green Operating Partnership LP   3.250%   10/15/22     4,400       4,498  
      SL Green Realty Corp.   4.500%   12/1/22     375       395  
      Spirit Realty LP   4.450%   9/15/26     220       236  
      Spirit Realty LP   3.200%   1/15/27     2,825       2,824  
      Spirit Realty LP   4.000%   7/15/29     3,400       3,551  
      Spirit Realty LP   3.400%   1/15/30     4,470       4,482  
      STORE Capital Corp.   4.500%   3/15/28     4,800       5,225  
      STORE Capital Corp.   4.625%   3/15/29     3,850       4,249  
      Tanger Properties LP   3.750%   12/1/24     1,325       1,355  
      Tanger Properties LP   3.125%   9/1/26     6,100       6,055  
      Tanger Properties LP   3.875%   7/15/27     3,300       3,370  
      UDR Inc.   2.950%   9/1/26     8,830       8,942  
      UDR Inc.   3.500%   7/1/27     3,150       3,296  
      UDR Inc.   3.500%   1/15/28     6,670       6,994  
      UDR Inc.   3.200%   1/15/30     2,500       2,550  
      UDR Inc.   3.000%   8/15/31     3,600       3,603  
      UDR Inc.   3.100%   11/1/34     4,505       4,495  
      Ventas Realty LP   3.100%   1/15/23     8,064       8,254  
      Ventas Realty LP   3.125%   6/15/23     7,655       7,834  
      Ventas Realty LP   3.500%   4/15/24     3,225       3,365  
      Ventas Realty LP   3.750%   5/1/24     2,300       2,415  
      Ventas Realty LP   2.650%   1/15/25     4,500       4,534  
      Ventas Realty LP   3.500%   2/1/25     3,225       3,365  
      Ventas Realty LP   4.125%   1/15/26     1,015       1,086  
      Ventas Realty LP   3.250%   10/15/26     1,050       1,072  
      Ventas Realty LP   3.850%   4/1/27     4,075       4,310  
      Ventas Realty LP   4.000%   3/1/28     13,705       14,650  
      Ventas Realty LP   4.400%   1/15/29     5,775       6,350  
      Ventas Realty LP   3.000%   1/15/30     5,350       5,300  

 

55

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Ventas Realty LP   5.700%   9/30/43     3,600       4,504  
      Ventas Realty LP   4.375%   2/1/45     6,030       6,477  
      Ventas Realty LP   4.875%   4/15/49     2,375       2,786  
      Ventas Realty LP / Ventas Capital Corp.   3.250%   8/15/22     10,703       10,957  
      VEREIT Operating Partnership LP   4.600%   2/6/24     6,060       6,526  
      VEREIT Operating Partnership LP   4.625%   11/1/25     5,000       5,458  
      VEREIT Operating Partnership LP   4.875%   6/1/26     4,720       5,194  
      VEREIT Operating Partnership LP   3.950%   8/15/27     19,578       20,537  
      VEREIT Operating Partnership LP   3.100%   12/15/29     6,250       6,136  
      Vornado Realty LP   3.500%   1/15/25     5,050       5,257  
      Washington REIT   3.950%   10/15/22     2,200       2,274  
      Weingarten Realty Investors   3.375%   10/15/22     1,275       1,303  
      Weingarten Realty Investors   3.500%   4/15/23     5,250       5,387  
      Weingarten Realty Investors   4.450%   1/15/24     1,175       1,244  
      Weingarten Realty Investors   3.850%   6/1/25     600       624  
      Welltower Inc.   3.750%   3/15/23     7,440       7,744  
      Welltower Inc.   3.950%   9/1/23     5,925       6,250  
      Welltower Inc.   4.500%   1/15/24     125       134  
      Welltower Inc.   3.625%   3/15/24     8,400       8,795  
      Welltower Inc.   4.000%   6/1/25     10,697       11,491  
      Welltower Inc.   4.250%   4/1/26     7,224       7,836  
      Welltower Inc.   2.700%   2/15/27     5,900       5,922  
      Welltower Inc.   4.250%   4/15/28     2,075       2,271  
      Welltower Inc.   4.125%   3/15/29     14,200       15,442  
      Welltower Inc.   3.100%   1/15/30     10,105       10,216  
      Welltower Inc.   6.500%   3/15/41     5,257       7,025  
      Welltower Inc.   5.125%   3/15/43     1,260       1,438  
      Welltower Inc.   4.950%   9/1/48     5,640       6,756  
      WP Carey Inc.   4.600%   4/1/24     8,701       9,318  
      WP Carey Inc.   4.000%   2/1/25     1,800       1,889  
      WP Carey Inc.   4.250%   10/1/26     3,500       3,743  
      WP Carey Inc.   3.850%   7/15/29     3,195       3,382  
                            20,753,336  
Industrial (16.3%)                        
      Basic Industry (0.8%)                        
      Air Products & Chemicals Inc.   3.000%   11/3/21     4,525       4,617  
      Air Products & Chemicals Inc.   2.750%   2/3/23     7,144       7,299  
      Air Products & Chemicals Inc.   3.350%   7/31/24     9,900       10,419  
      Airgas Inc.   3.650%   7/15/24     9,125       9,677  
      Albemarle Corp.   4.150%   12/1/24     5,965       6,364  
      Albemarle Corp.   5.450%   12/1/44     7,410       8,443  
7     Albemarle Wodgina Pty Ltd.   3.450%   11/15/29     2,200       2,198  
      ArcelorMittal   3.600%   7/16/24     6,075       6,220  
      ArcelorMittal   6.125%   6/1/25     5,205       5,988  
      ArcelorMittal   4.550%   3/11/26     30,315       32,150  
      ArcelorMittal   4.250%   7/16/29     4,627       4,830  
      ArcelorMittal   7.000%   10/15/39     7,180       8,735  
      ArcelorMittal   6.750%   3/1/41     2,300       2,741  
      Barrick Gold Corp.   6.450%   10/15/35     2,275       2,913  
      Barrick Gold Corp.   5.250%   4/1/42     8,997       10,702  
      Barrick North America Finance LLC   5.700%   5/30/41     14,177       17,027  
      Barrick North America Finance LLC   5.750%   5/1/43     10,244       13,082  
      Barrick PD Australia Finance Pty Ltd.   5.950%   10/15/39     18,123       22,866  
      BHP Billiton Finance USA Ltd.   2.875%   2/24/22     12,208       12,427  
      BHP Billiton Finance USA Ltd.   3.850%   9/30/23     2,396       2,549  
      BHP Billiton Finance USA Ltd.   4.125%   2/24/42     11,841       13,392  
      BHP Billiton Finance USA Ltd.   5.000%   9/30/43     26,868       34,267  
      Braskem Finance Ltd.   6.450%   2/3/24     1,110       1,236  
      Cabot Corp.   3.700%   7/15/22     1,765       1,817  
      Cabot Corp.   4.000%   7/1/29     3,735       3,914  
      Celanese US Holdings LLC   4.625%   11/15/22     490       518  
      Celanese US Holdings LLC   3.500%   5/8/24     2,750       2,841  
      Celulosa Arauco y Constitucion SA   4.500%   8/1/24     1,775       1,868  

 

56

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Celulosa Arauco y Constitucion SA   3.875%   11/2/27     11,800       11,907  
      Celulosa Arauco y Constitucion SA   5.500%   11/2/47     11,600       12,006  
      Dow Chemical Co.   3.000%   11/15/22     30,384       31,093  
      Dow Chemical Co.   3.150%   5/15/24     7,020       7,242  
      Dow Chemical Co.   3.500%   10/1/24     5,466       5,724  
      Dow Chemical Co.   4.550%   11/30/25     12,625       13,896  
      Dow Chemical Co.   3.625%   5/15/26     4,250       4,467  
      Dow Chemical Co.   4.800%   11/30/28     3,350       3,798  
      Dow Chemical Co.   7.375%   11/1/29     4,424       5,826  
      Dow Chemical Co.   4.250%   10/1/34     10,471       11,504  
      Dow Chemical Co.   9.400%   5/15/39     14,114       23,135  
      Dow Chemical Co.   5.250%   11/15/41     10,038       11,630  
      Dow Chemical Co.   4.375%   11/15/42     10,439       11,134  
      Dow Chemical Co.   4.625%   10/1/44     2,115       2,326  
      Dow Chemical Co.   5.550%   11/30/48     12,130       15,103  
      Dow Chemical Co.   4.800%   5/15/49     7,459       8,604  
      DuPont de Nemours Inc.   4.205%   11/15/23     32,179       34,398  
      DuPont de Nemours Inc.   4.493%   11/15/25     23,835       26,199  
      DuPont de Nemours Inc.   4.725%   11/15/28     24,275       27,539  
      DuPont de Nemours Inc.   5.319%   11/15/38     19,620       23,311  
      DuPont de Nemours Inc.   5.419%   11/15/48     28,930       35,620  
      Eastman Chemical Co.   3.500%   12/1/21     7,550       7,745  
      Eastman Chemical Co.   3.600%   8/15/22     7,763       8,031  
      Eastman Chemical Co.   3.800%   3/15/25     3,574       3,769  
      Eastman Chemical Co.   4.800%   9/1/42     7,539       8,199  
      Eastman Chemical Co.   4.650%   10/15/44     5,400       5,852  
      Ecolab Inc.   4.350%   12/8/21     4,891       5,117  
      Ecolab Inc.   2.375%   8/10/22     11,795       11,903  
      Ecolab Inc.   3.250%   1/14/23     5,615       5,798  
      Ecolab Inc.   2.700%   11/1/26     8,076       8,291  
      Ecolab Inc.   3.250%   12/1/27     7,750       8,158  
      Ecolab Inc.   5.500%   12/8/41     1,833       2,391  
      Ecolab Inc.   3.950%   12/1/47     12,175       13,659  
      Fibria Overseas Finance Ltd.   5.250%   5/12/24     9,440       10,219  
      Fibria Overseas Finance Ltd.   4.000%   1/14/25     5,995       6,212  
      Fibria Overseas Finance Ltd.   5.500%   1/17/27     7,350       8,067  
      FMC Corp.   3.950%   2/1/22     1,795       1,849  
      FMC Corp.   4.100%   2/1/24     11,210       11,802  
      FMC Corp.   3.200%   10/1/26     2,000       2,048  
      FMC Corp.   3.450%   10/1/29     4,000       4,131  
      FMC Corp.   4.500%   10/1/49     4,000       4,387  
      Georgia-Pacific LLC   8.000%   1/15/24     6,204       7,530  
      Georgia-Pacific LLC   7.375%   12/1/25     5,750       7,221  
      Georgia-Pacific LLC   7.750%   11/15/29     3,818       5,408  
      Georgia-Pacific LLC   8.875%   5/15/31     4,665       7,242  
      Huntsman International LLC   5.125%   11/15/22     1,000       1,065  
      Huntsman International LLC   4.500%   5/1/29     5,500       5,848  
      International Flavors & Fragrances Inc.   3.200%   5/1/23     2,160       2,186  
      International Flavors & Fragrances Inc.   4.450%   9/26/28     2,500       2,732  
      International Flavors & Fragrances Inc.   4.375%   6/1/47     4,850       4,969  
      International Flavors & Fragrances Inc.   5.000%   9/26/48     5,100       5,710  
      International Paper Co.   7.500%   8/15/21     9,915       10,753  
      International Paper Co.   3.650%   6/15/24     10,098       10,619  
      International Paper Co.   3.800%   1/15/26     1,940       2,066  
      International Paper Co.   3.000%   2/15/27     16,064       16,433  
      International Paper Co.   5.000%   9/15/35     4,610       5,407  
      International Paper Co.   7.300%   11/15/39     5,385       7,456  
      International Paper Co.   6.000%   11/15/41     2,110       2,621  
      International Paper Co.   4.800%   6/15/44     17,621       19,322  
      International Paper Co.   5.150%   5/15/46     13,597       15,633  
      International Paper Co.   4.400%   8/15/47     13,184       13,978  
      International Paper Co.   4.350%   8/15/48     11,140       11,833  
      Kinross Gold Corp.   5.125%   9/1/21     515       536  
      Kinross Gold Corp.   5.950%   3/15/24     4,157       4,625  

 

57

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Lubrizol Corp.   6.500%   10/1/34     5,350       7,460  
      LYB International Finance BV   4.000%   7/15/23     3,949       4,210  
      LYB International Finance BV   5.250%   7/15/43     2,337       2,745  
      LYB International Finance BV   4.875%   3/15/44     14,705       16,543  
      LYB International Finance II BV   3.500%   3/2/27     11,285       11,808  
      LYB International Finance III LLC   4.200%   10/15/49     6,220       6,458  
      LyondellBasell Industries NV   6.000%   11/15/21     19,200       20,405  
      LyondellBasell Industries NV   5.750%   4/15/24     7,980       8,987  
      LyondellBasell Industries NV   4.625%   2/26/55     12,762       13,464  
      Meadwestvaco Corp.   7.950%   2/15/31     5,758       7,772  
      Methanex Corp.   4.250%   12/1/24     2,314       2,378  
      Methanex Corp.   5.650%   12/1/44     7,155       6,859  
      Mosaic Co.   3.750%   11/15/21     6,485       6,638  
      Mosaic Co.   3.250%   11/15/22     10,190       10,448  
      Mosaic Co.   4.250%   11/15/23     17,332       18,470  
      Mosaic Co.   4.050%   11/15/27     11,600       12,019  
      Mosaic Co.   5.450%   11/15/33     6,117       6,942  
      Mosaic Co.   4.875%   11/15/41     2,743       2,850  
      Mosaic Co.   5.625%   11/15/43     1,261       1,492  
      Newmont Corp.   3.625%   6/9/21     2,465       2,514  
      Newmont Corp.   3.500%   3/15/22     716       735  
      Newmont Corp.   3.700%   3/15/23     10,810       11,302  
      Newmont Corp.   2.800%   10/1/29     6,615       6,547  
      Newmont Corp.   5.875%   4/1/35     2,505       3,194  
      Newmont Corp.   6.250%   10/1/39     12,738       16,835  
      Newmont Corp.   4.875%   3/15/42     9,308       10,850  
      Newmont Corp.   5.450%   6/9/44     11,715       14,497  
      Nucor Corp.   4.125%   9/15/22     1,092       1,145  
      Nucor Corp.   4.000%   8/1/23     11,695       12,373  
      Nucor Corp.   3.950%   5/1/28     200       217  
      Nucor Corp.   6.400%   12/1/37     10,458       14,135  
      Nucor Corp.   5.200%   8/1/43     14,800       18,378  
      Nucor Corp.   4.400%   5/1/48     6,950       7,873  
      Nutrien Ltd.   3.150%   10/1/22     3,571       3,643  
      Nutrien Ltd.   3.500%   6/1/23     15,735       16,232  
      Nutrien Ltd.   3.625%   3/15/24     5,525       5,762  
      Nutrien Ltd.   3.375%   3/15/25     7,365       7,634  
      Nutrien Ltd.   3.000%   4/1/25     9,096       9,259  
      Nutrien Ltd.   4.000%   12/15/26     5,100       5,427  
      Nutrien Ltd.   4.200%   4/1/29     3,625       3,985  
      Nutrien Ltd.   4.125%   3/15/35     6,550       6,837  
      Nutrien Ltd.   5.875%   12/1/36     825       989  
      Nutrien Ltd.   5.625%   12/1/40     4,663       5,453  
      Nutrien Ltd.   6.125%   1/15/41     7,281       9,072  
      Nutrien Ltd.   4.900%   6/1/43     5,075       5,676  
      Nutrien Ltd.   5.250%   1/15/45     22,021       25,940  
      Nutrien Ltd.   5.000%   4/1/49     6,870       8,108  
      Packaging Corp. of America   4.500%   11/1/23     18,907       20,341  
      Packaging Corp. of America   3.650%   9/15/24     4,882       5,114  
      Packaging Corp. of America   3.400%   12/15/27     4,250       4,424  
      Packaging Corp. of America   3.000%   12/15/29     3,800       3,814  
      Packaging Corp. of America   4.050%   12/15/49     2,595       2,693  
      PPG Industries Inc.   3.200%   3/15/23     667       688  
      PPG Industries Inc.   2.400%   8/15/24     14,600       14,707  
      Praxair Inc.   3.000%   9/1/21     5,795       5,901  
      Praxair Inc.   2.450%   2/15/22     20,965       21,211  
      Praxair Inc.   2.200%   8/15/22     5,769       5,809  
      Praxair Inc.   2.700%   2/21/23     3,200       3,265  
      Praxair Inc.   2.650%   2/5/25     6,850       7,026  
      Praxair Inc.   3.200%   1/30/26     5,900       6,183  
      Praxair Inc.   3.550%   11/7/42     2,250       2,346  
      Rayonier Inc.   3.750%   4/1/22     2,875       2,906  
      Reliance Steel & Aluminum Co.   4.500%   4/15/23     5,370       5,652  
      Rio Tinto Alcan Inc.   7.250%   3/15/31     475       661  

 

58

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Rio Tinto Alcan Inc.   5.750%   6/1/35     9,224       11,567  
      Rio Tinto Finance USA Ltd.   3.750%   6/15/25     13,765       14,769  
      Rio Tinto Finance USA Ltd.   7.125%   7/15/28     7,409       9,872  
      Rio Tinto Finance USA Ltd.   5.200%   11/2/40     13,216       17,243  
      Rio Tinto Finance USA plc   4.750%   3/22/42     7,893       9,629  
      Rio Tinto Finance USA plc   4.125%   8/21/42     9,425       10,790  
      Rohm & Haas Co.   7.850%   7/15/29     5,265       6,997  
      RPM International Inc.   3.450%   11/15/22     4,560       4,675  
      RPM International Inc.   3.750%   3/15/27     5,601       5,758  
      RPM International Inc.   4.550%   3/1/29     3,100       3,351  
      RPM International Inc.   5.250%   6/1/45     3,942       4,357  
      RPM International Inc.   4.250%   1/15/48     8,200       7,952  
      Sasol Financing International Ltd.   4.500%   11/14/22     11,200       11,568  
      SASOL Financing USA LLC   5.875%   3/27/24     16,375       17,746  
      SASOL Financing USA LLC   6.500%   9/27/28     8,200       9,122  
      Sherwin-Williams Co.   4.200%   1/15/22     1,775       1,841  
      Sherwin-Williams Co.   2.750%   6/1/22     6,512       6,622  
      Sherwin-Williams Co.   3.125%   6/1/24     8,004       8,264  
      Sherwin-Williams Co.   3.450%   8/1/25     9,664       10,143  
      Sherwin-Williams Co.   3.950%   1/15/26     8,650       9,245  
      Sherwin-Williams Co.   3.450%   6/1/27     17,035       17,959  
      Sherwin-Williams Co.   2.950%   8/15/29     12,100       12,244  
      Sherwin-Williams Co.   4.000%   12/15/42     2,100       2,156  
      Sherwin-Williams Co.   4.550%   8/1/45     3,134       3,450  
      Sherwin-Williams Co.   4.500%   6/1/47     3,900       4,428  
      Sherwin-Williams Co.   3.800%   8/15/49     10,000       10,173  
      Southern Copper Corp.   3.500%   11/8/22     8,080       8,342  
      Southern Copper Corp.   3.875%   4/23/25     1,233       1,294  
      Southern Copper Corp.   7.500%   7/27/35     5,269       7,253  
      Southern Copper Corp.   6.750%   4/16/40     2,612       3,475  
      Southern Copper Corp.   5.250%   11/8/42     16,380       18,748  
      Southern Copper Corp.   5.875%   4/23/45     32,540       40,443  
      Steel Dynamics Inc.   2.800%   12/15/24     2,250       2,267  
      Steel Dynamics Inc.   4.125%   9/15/25     555       571  
      Steel Dynamics Inc.   5.000%   12/15/26     250       266  
      Steel Dynamics Inc.   3.450%   4/15/30     6,500       6,573  
      Suzano Austria GmbH   6.000%   1/15/29     25,200       28,448  
      Suzano Austria GmbH   5.000%   1/15/30     8,400       8,813  
      Teck Resources Ltd.   6.125%   10/1/35     7,200       8,385  
      Teck Resources Ltd.   6.000%   8/15/40     6,120       6,818  
      Teck Resources Ltd.   6.250%   7/15/41     14,010       16,003  
      Vale Canada Ltd.   7.200%   9/15/32     1,475       1,814  
      Vale Overseas Ltd.   6.250%   8/10/26     13,550       15,887  
      Vale Overseas Ltd.   8.250%   1/17/34     2,712       3,800  
      Vale Overseas Ltd.   6.875%   11/21/36     25,871       33,568  
      Vale Overseas Ltd.   6.875%   11/10/39     15,594       20,233  
      Vale SA   5.625%   9/11/42     8,278       9,685  
      Westlake Chemical Corp.   3.600%   8/15/26     21,295       21,974  
      Westlake Chemical Corp.   5.000%   8/15/46     15,728       16,683  
      Westrock MWV LLC   8.200%   1/15/30     5,703       7,792  
      WestRock RKT Co.   4.900%   3/1/22     3,690       3,889  
      Weyerhaeuser Co.   4.700%   3/15/21     3,605       3,697  
      Weyerhaeuser Co.   3.250%   3/15/23     150       154  
      Weyerhaeuser Co.   4.625%   9/15/23     5,815       6,265  
      Weyerhaeuser Co.   8.500%   1/15/25     2,400       3,032  
      Weyerhaeuser Co.   4.000%   11/15/29     10,100       10,947  
      Weyerhaeuser Co.   7.375%   3/15/32     9,455       13,103  
      Weyerhaeuser Co.   6.875%   12/15/33     3,275       4,312  
      WRKCo Inc.   3.000%   9/15/24     4,500       4,592  
      WRKCo Inc.   3.750%   3/15/25     8,715       9,180  
      WRKCo Inc.   4.650%   3/15/26     3,400       3,759  
      WRKCo Inc.   3.375%   9/15/27     4,575       4,675  
      WRKCo Inc.   4.000%   3/15/28     8,700       9,257  
      WRKCo Inc.   3.900%   6/1/28     3,250       3,437  

 

59

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      WRKCo Inc.   4.900%   3/15/29     11,285       12,831  
      WRKCo Inc.   4.200%   6/1/32     3,000       3,279  
      Yamana Gold Inc.   4.625%   12/15/27     3,800       3,966  
      Capital Goods (1.4%)                        
      3M Co.   1.625%   9/19/21     2,650       2,642  
      3M Co.   2.750%   3/1/22     7,335       7,471  
      3M Co.   2.000%   6/26/22     1,600       1,609  
      3M Co.   1.750%   2/14/23     8,000       7,954  
      3M Co.   2.250%   3/15/23     5,442       5,489  
      3M Co.   3.250%   2/14/24     4,675       4,888  
      3M Co.   2.000%   2/14/25     9,450       9,367  
      3M Co.   3.000%   8/7/25     7,880       8,214  
      3M Co.   2.250%   9/19/26     10,545       10,518  
      3M Co.   2.875%   10/15/27     12,110       12,610  
      3M Co.   3.625%   9/14/28     1,000       1,088  
      3M Co.   3.375%   3/1/29     11,400       12,086  
      3M Co.   2.375%   8/26/29     11,200       10,995  
      3M Co.   3.875%   6/15/44     1,351       1,432  
      3M Co.   3.125%   9/19/46     6,030       5,776  
      3M Co.   3.625%   10/15/47     8,175       8,414  
      3M Co.   4.000%   9/14/48     13,950       15,304  
      3M Co.   3.250%   8/26/49     5,725       5,570  
      ABB Finance USA Inc.   2.875%   5/8/22     3,668       3,743  
      ABB Finance USA Inc.   3.375%   4/3/23     780       811  
      ABB Finance USA Inc.   3.800%   4/3/28     10,685       11,666  
      ABB Finance USA Inc.   4.375%   5/8/42     8,858       10,628  
      Allegion plc   3.500%   10/1/29     4,475       4,562  
      Allegion US Holding Co. Inc.   3.200%   10/1/24     1,550       1,591  
      Allegion US Holding Co. Inc.   3.550%   10/1/27     5,119       5,275  
      Avery Dennison Corp.   4.875%   12/6/28     2,950       3,349  
7     Bemis Co. Inc.   3.100%   9/15/26     3,803       3,717  
      Boeing Co.   2.300%   8/1/21     5,120       5,146  
      Boeing Co.   8.750%   8/15/21     1,285       1,421  
      Boeing Co.   2.350%   10/30/21     9,945       10,021  
      Boeing Co.   2.125%   3/1/22     4,012       4,019  
      Boeing Co.   2.700%   5/1/22     5,450       5,526  
      Boeing Co.   2.800%   3/1/23     7,820       7,964  
      Boeing Co.   1.875%   6/15/23     6,030       5,986  
      Boeing Co.   2.800%   3/1/24     1,800       1,837  
      Boeing Co.   2.850%   10/30/24     6,983       7,149  
      Boeing Co.   2.500%   3/1/25     2,831       2,835  
      Boeing Co.   7.250%   6/15/25     675       834  
      Boeing Co.   2.600%   10/30/25     3,050       3,073  
      Boeing Co.   3.100%   5/1/26     7,500       7,732  
      Boeing Co.   2.250%   6/15/26     1,854       1,826  
      Boeing Co.   2.700%   2/1/27     8,290       8,355  
      Boeing Co.   2.800%   3/1/27     4,250       4,305  
      Boeing Co.   3.250%   3/1/28     4,780       4,961  
      Boeing Co.   3.450%   11/1/28     3,925       4,133  
      Boeing Co.   3.200%   3/1/29     10,375       10,811  
      Boeing Co.   2.950%   2/1/30     8,565       8,750  
      Boeing Co.   6.125%   2/15/33     5,175       6,755  
      Boeing Co.   3.600%   5/1/34     10,400       11,091  
      Boeing Co.   3.250%   2/1/35     8,950       9,119  
      Boeing Co.   6.625%   2/15/38     2,905       4,038  
      Boeing Co.   3.550%   3/1/38     3,715       3,855  
      Boeing Co.   3.500%   3/1/39     4,400       4,519  
      Boeing Co.   6.875%   3/15/39     9,458       13,818  
      Boeing Co.   5.875%   2/15/40     4,262       5,640  
      Boeing Co.   3.375%   6/15/46     9,064       8,777  
      Boeing Co.   3.650%   3/1/47     5,685       5,761  
      Boeing Co.   3.625%   3/1/48     4,275       4,367  
      Boeing Co.   3.850%   11/1/48     3,466       3,636  

 

60

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Boeing Co.   3.900%   5/1/49     8,650       9,259  
      Boeing Co.   3.750%   2/1/50     5,500       5,795  
      Boeing Co.   3.825%   3/1/59     10,300       10,696  
      Boeing Co.   3.950%   8/1/59     5,000       5,339  
      Carlisle Cos. Inc.   3.750%   11/15/22     3,380       3,486  
      Carlisle Cos. Inc.   3.500%   12/1/24     3,042       3,157  
      Carlisle Cos. Inc.   3.750%   12/1/27     4,025       4,208  
      Caterpillar Financial Services Corp.   1.850%   9/4/20     16,070       16,058  
      Caterpillar Financial Services Corp.   2.900%   3/15/21     6,670       6,752  
      Caterpillar Financial Services Corp.   2.650%   5/17/21     4,815       4,864  
      Caterpillar Financial Services Corp.   1.700%   8/9/21     22,996       22,918  
      Caterpillar Financial Services Corp.   2.750%   8/20/21     3,400       3,443  
      Caterpillar Financial Services Corp.   3.150%   9/7/21     13,401       13,672  
      Caterpillar Financial Services Corp.   1.931%   10/1/21     3,937       3,942  
      Caterpillar Financial Services Corp.   2.950%   2/26/22     9,095       9,293  
      Caterpillar Financial Services Corp.   2.850%   6/1/22     1,659       1,693  
      Caterpillar Financial Services Corp.   2.400%   6/6/22     8,350       8,441  
      Caterpillar Financial Services Corp.   2.550%   11/29/22     8,885       9,047  
      Caterpillar Financial Services Corp.   2.625%   3/1/23     2,000       2,040  
      Caterpillar Financial Services Corp.   3.450%   5/15/23     6,260       6,548  
      Caterpillar Financial Services Corp.   3.750%   11/24/23     9,350       9,963  
      Caterpillar Financial Services Corp.   3.650%   12/7/23     4,182       4,432  
      Caterpillar Financial Services Corp.   2.850%   5/17/24     6,080       6,277  
      Caterpillar Financial Services Corp.   3.300%   6/9/24     5,975       6,283  
      Caterpillar Financial Services Corp.   2.150%   11/8/24     3,750       3,759  
      Caterpillar Financial Services Corp.   3.250%   12/1/24     13,387       14,117  
      Caterpillar Financial Services Corp.   2.400%   8/9/26     5,565       5,595  
      Caterpillar Inc.   3.900%   5/27/21     15,566       15,978  
      Caterpillar Inc.   2.600%   6/26/22     10,300       10,453  
      Caterpillar Inc.   3.400%   5/15/24     13,141       13,887  
      Caterpillar Inc.   2.600%   9/19/29     5,000       5,034  
      Caterpillar Inc.   5.300%   9/15/35     3,000       3,714  
      Caterpillar Inc.   6.050%   8/15/36     9,427       12,829  
      Caterpillar Inc.   5.200%   5/27/41     8,410       10,853  
      Caterpillar Inc.   3.803%   8/15/42     23,538       26,317  
      Caterpillar Inc.   4.300%   5/15/44     3,535       4,092  
      Caterpillar Inc.   3.250%   9/19/49     10,930       10,906  
      Caterpillar Inc.   4.750%   5/15/64     4,175       5,222  
      CNH Industrial Capital LLC   4.875%   4/1/21     750       774  
      CNH Industrial Capital LLC   3.875%   10/15/21     2,450       2,515  
      CNH Industrial Capital LLC   4.375%   4/5/22     5,250       5,476  
      CNH Industrial Capital LLC   4.200%   1/15/24     26,190       27,724  
      CNH Industrial NV   4.500%   8/15/23     1,565       1,667  
      CNH Industrial NV   3.850%   11/15/27     7,840       8,162  
      Crane Co.   4.450%   12/15/23     6,450       6,865  
      Crane Co.   4.200%   3/15/48     7,000       7,006  
      CRH America Inc.   5.750%   1/15/21     2,975       3,080  
      Deere & Co.   2.600%   6/8/22     34,398       34,953  
      Deere & Co.   5.375%   10/16/29     9,962       12,318  
      Deere & Co.   7.125%   3/3/31     405       572  
      Deere & Co.   3.900%   6/9/42     6,710       7,544  
      Dover Corp.   3.150%   11/15/25     8,640       8,949  
      Dover Corp.   2.950%   11/4/29     3,315       3,324  
      Dover Corp.   5.375%   10/15/35     2,350       2,805  
      Dover Corp.   6.600%   3/15/38     3,115       4,152  
      Dover Corp.   5.375%   3/1/41     4,109       4,996  
      Eagle Materials Inc.   4.500%   8/1/26     3,880       4,022  
      Eaton Corp.   2.750%   11/2/22     15,254       15,560  
      Eaton Corp.   3.103%   9/15/27     14,295       14,823  
      Eaton Corp.   4.000%   11/2/32     8,304       9,403  
      Eaton Corp.   4.150%   11/2/42     2,087       2,316  
      Eaton Corp.   3.915%   9/15/47     5,715       6,083  
      Embraer Netherlands Finance BV   5.050%   6/15/25     9,055       9,956  
      Embraer Netherlands Finance BV   5.400%   2/1/27     11,295       12,698  

 

61

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
7     Embraer Overseas Ltd.   5.696%   9/16/23     9,130       10,005  
      Embraer SA   5.150%   6/15/22     1,200       1,266  
      Emerson Electric Co.   2.625%   12/1/21     18,650       18,961  
      Emerson Electric Co.   2.625%   2/15/23     4,200       4,293  
      Emerson Electric Co.   3.150%   6/1/25     6,150       6,433  
      Flowserve Corp.   3.500%   9/15/22     16,830       17,011  
      Flowserve Corp.   4.000%   11/15/23     4,225       4,323  
      Fortive Corp.   2.350%   6/15/21     10,395       10,423  
      Fortive Corp.   3.150%   6/15/26     6,329       6,476  
      Fortive Corp.   4.300%   6/15/46     7,500       7,717  
      Fortune Brands Home & Security Inc.   4.000%   9/21/23     12,373       13,068  
      Fortune Brands Home & Security Inc.   4.000%   6/15/25     8,825       9,429  
      Fortune Brands Home & Security Inc.   3.250%   9/15/29     700       707  
      General Dynamics Corp.   3.000%   5/11/21     7,525       7,646  
      General Dynamics Corp.   3.875%   7/15/21     4,919       5,058  
      General Dynamics Corp.   2.250%   11/15/22     9,415       9,513  
      General Dynamics Corp.   3.375%   5/15/23     20,455       21,354  
      General Dynamics Corp.   1.875%   8/15/23     23,790       23,811  
      General Dynamics Corp.   2.375%   11/15/24     9,650       9,811  
      General Dynamics Corp.   3.500%   5/15/25     13,585       14,543  
      General Dynamics Corp.   2.125%   8/15/26     5,800       5,736  
      General Dynamics Corp.   2.625%   11/15/27     13,629       13,940  
      General Dynamics Corp.   3.750%   5/15/28     17,940       19,757  
      General Dynamics Corp.   3.600%   11/15/42     3,968       4,490  
      General Electric Co.   4.625%   1/7/21     15,664       16,023  
      General Electric Co.   5.300%   2/11/21     18,728       19,326  
      General Electric Co.   4.650%   10/17/21     15,410       16,054  
      General Electric Co.   3.150%   9/7/22     4,694       4,795  
      General Electric Co.   2.700%   10/9/22     14,078       14,268  
      General Electric Co.   3.100%   1/9/23     11,432       11,670  
      General Electric Co.   3.375%   3/11/24     23,296       24,106  
      General Electric Co.   3.450%   5/15/24     5,675       5,887  
      General Electric Co.   6.750%   3/15/32     30,702       39,330  
      General Electric Co.   7.500%   8/21/35     100       130  
      General Electric Co.   6.150%   8/7/37     10,048       12,405  
      General Electric Co.   5.875%   1/14/38     33,653       40,564  
      General Electric Co.   6.875%   1/10/39     22,999       30,653  
      General Electric Co.   4.125%   10/9/42     12,530       12,967  
      General Electric Co.   4.500%   3/11/44     12,061       13,148  
      Hexcel Corp.   4.700%   8/15/25     1,400       1,514  
      Honeywell International Inc.   4.250%   3/1/21     8,075       8,318  
      Honeywell International Inc.   1.850%   11/1/21     20,900       20,937  
      Honeywell International Inc.   2.150%   8/8/22     5,350       5,401  
      Honeywell International Inc.   3.350%   12/1/23     5,160       5,422  
      Honeywell International Inc.   2.300%   8/15/24     11,800       11,958  
      Honeywell International Inc.   2.500%   11/1/26     13,485       13,697  
      Honeywell International Inc.   2.700%   8/15/29     5,975       6,129  
      Honeywell International Inc.   5.700%   3/15/36     5,449       7,259  
      Honeywell International Inc.   5.700%   3/15/37     8,596       11,652  
      Honeywell International Inc.   5.375%   3/1/41     6,675       8,988  
      Honeywell International Inc.   3.812%   11/21/47     735       831  
      Hubbell Inc.   3.350%   3/1/26     4,851       4,962  
      Hubbell Inc.   3.150%   8/15/27     3,200       3,191  
      Hubbell Inc.   3.500%   2/15/28     12,120       12,517  
      Huntington Ingalls Industries Inc.   3.483%   12/1/27     12,811       13,355  
      Illinois Tool Works Inc.   3.375%   9/15/21     765       782  
      Illinois Tool Works Inc.   3.500%   3/1/24     2,802       2,966  
      Illinois Tool Works Inc.   2.650%   11/15/26     12,565       12,913  
      Illinois Tool Works Inc.   4.875%   9/15/41     4,670       5,871  
      Illinois Tool Works Inc.   3.900%   9/1/42     16,959       19,544  
      Ingersoll-Rand Global Holding Co. Ltd.   2.900%   2/21/21     2,519       2,543  
      Ingersoll-Rand Global Holding Co. Ltd.   4.250%   6/15/23     9,300       9,935  
      Ingersoll-Rand Global Holding Co. Ltd.   5.750%   6/15/43     4,840       6,093  
      Ingersoll-Rand Global Holding Co. Ltd.   4.300%   2/21/48     1,300       1,407  

 

62

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Ingersoll-Rand Luxembourg Finance SA   3.550%   11/1/24     7,960       8,342  
      Ingersoll-Rand Luxembourg Finance SA   3.500%   3/21/26     4,325       4,522  
      Ingersoll-Rand Luxembourg Finance SA   3.800%   3/21/29     10,450       11,189  
      Ingersoll-Rand Luxembourg Finance SA   4.650%   11/1/44     3,245       3,659  
      Ingersoll-Rand Luxembourg Finance SA   4.500%   3/21/49     3,700       4,134  
      John Deere Capital Corp.   1.700%   1/15/20     1,000       1,000  
      John Deere Capital Corp.   2.350%   1/8/21     2,100       2,108  
      John Deere Capital Corp.   2.550%   1/8/21     300       302  
      John Deere Capital Corp.   2.800%   3/4/21     6,800       6,872  
      John Deere Capital Corp.   2.875%   3/12/21     5,545       5,607  
      John Deere Capital Corp.   3.900%   7/12/21     5,953       6,136  
      John Deere Capital Corp.   3.125%   9/10/21     8,571       8,756  
      John Deere Capital Corp.   3.150%   10/15/21     7,974       8,153  
      John Deere Capital Corp.   2.650%   1/6/22     4,300       4,370  
      John Deere Capital Corp.   2.750%   3/15/22     2,445       2,490  
      John Deere Capital Corp.   1.950%   6/13/22     3,240       3,242  
      John Deere Capital Corp.   2.150%   9/8/22     14,650       14,742  
      John Deere Capital Corp.   2.700%   1/6/23     1,150       1,175  
      John Deere Capital Corp.   2.800%   1/27/23     2,510       2,571  
      John Deere Capital Corp.   2.800%   3/6/23     13,198       13,536  
      John Deere Capital Corp.   3.450%   6/7/23     5,500       5,753  
      John Deere Capital Corp.   3.650%   10/12/23     3,180       3,369  
      John Deere Capital Corp.   2.600%   3/7/24     4,250       4,342  
      John Deere Capital Corp.   3.350%   6/12/24     20,630       21,727  
      John Deere Capital Corp.   2.650%   6/24/24     3,300       3,378  
      John Deere Capital Corp.   3.450%   3/13/25     16,515       17,531  
      John Deere Capital Corp.   3.400%   9/11/25     3,710       3,929  
      John Deere Capital Corp.   2.650%   6/10/26     3,294       3,355  
      John Deere Capital Corp.   2.250%   9/14/26     3,150       3,149  
      John Deere Capital Corp.   2.800%   9/8/27     8,650       8,881  
      John Deere Capital Corp.   3.050%   1/6/28     12,900       13,435  
      John Deere Capital Corp.   3.450%   3/7/29     5,670       6,162  
      John Deere Capital Corp.   2.800%   7/18/29     6,650       6,808  
      Johnson Controls International plc   3.625%   7/2/24     2,300       2,386  
      Johnson Controls International plc   3.900%   2/14/26     5,764       6,120  
      Johnson Controls International plc   6.000%   1/15/36     1,046       1,283  
      Johnson Controls International plc   4.625%   7/2/44     10,902       11,888  
      Johnson Controls International plc   5.125%   9/14/45     1,163       1,351  
      Johnson Controls International plc   4.500%   2/15/47     12,573       13,522  
      Johnson Controls International plc   4.950%   7/2/64     4,487       4,644  
      Kennametal Inc.   3.875%   2/15/22     2,575       2,648  
      Kennametal Inc.   4.625%   6/15/28     8,800       9,386  
7     L3Harris Technologies Inc.   4.950%   2/15/21     14,579       14,934  
7     L3Harris Technologies Inc.   3.850%   6/15/23     5,175       5,447  
7     L3Harris Technologies Inc.   3.950%   5/28/24     4,767       5,055  
      L3Harris Technologies Inc.   3.832%   4/27/25     9,780       10,404  
7     L3Harris Technologies Inc.   3.850%   12/15/26     5,410       5,813  
      L3Harris Technologies Inc.   4.400%   6/15/28     500       556  
7     L3Harris Technologies Inc.   4.400%   6/15/28     6,960       7,753  
      L3Harris Technologies Inc.   2.900%   12/15/29     6,034       6,109  
      L3Harris Technologies Inc.   4.854%   4/27/35     2,725       3,207  
      L3Harris Technologies Inc.   6.150%   12/15/40     6,103       8,281  
      L3Harris Technologies Inc.   5.054%   4/27/45     2,056       2,552  
      Leggett & Platt Inc.   3.800%   11/15/24     4,600       4,810  
      Leggett & Platt Inc.   3.500%   11/15/27     15,075       15,464  
      Leggett & Platt Inc.   4.400%   3/15/29     5,400       5,900  
      Legrand France SA   8.500%   2/15/25     4,645       5,990  
      Lennox International Inc.   3.000%   11/15/23     1,075       1,093  
      Lockheed Martin Corp.   3.350%   9/15/21     26,978       27,657  
      Lockheed Martin Corp.   3.100%   1/15/23     11,215       11,592  
      Lockheed Martin Corp.   2.900%   3/1/25     5,252       5,457  
      Lockheed Martin Corp.   3.550%   1/15/26     4,158       4,453  
      Lockheed Martin Corp.   3.600%   3/1/35     7,990       8,749  
      Lockheed Martin Corp.   4.500%   5/15/36     5,680       6,725  

 

63

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Lockheed Martin Corp.   6.150%   9/1/36     14,489       19,665  
      Lockheed Martin Corp.   5.720%   6/1/40     5,260       7,097  
      Lockheed Martin Corp.   4.070%   12/15/42     19,270       22,050  
      Lockheed Martin Corp.   3.800%   3/1/45     3,607       3,979  
      Lockheed Martin Corp.   4.700%   5/15/46     14,410       18,193  
      Lockheed Martin Corp.   4.090%   9/15/52     14,321       16,739  
      Martin Marietta Materials Inc.   4.250%   7/2/24     2,000       2,140  
      Martin Marietta Materials Inc.   3.450%   6/1/27     6,400       6,610  
      Martin Marietta Materials Inc.   3.500%   12/15/27     7,800       8,111  
      Martin Marietta Materials Inc.   4.250%   12/15/47     10,110       10,585  
      Masco Corp.   4.450%   4/1/25     7,432       8,092  
      Masco Corp.   4.375%   4/1/26     2,923       3,154  
      Masco Corp.   3.500%   11/15/27     7,960       8,233  
      Masco Corp.   6.500%   8/15/32     27       33  
      Masco Corp.   4.500%   5/15/47     8,150       8,295  
      Mohawk Industries Inc.   3.850%   2/1/23     12,690       13,213  
      Northrop Grumman Corp.   3.500%   3/15/21     9,153       9,323  
      Northrop Grumman Corp.   2.550%   10/15/22     4,955       5,028  
      Northrop Grumman Corp.   3.250%   8/1/23     2,208       2,295  
      Northrop Grumman Corp.   2.930%   1/15/25     7,225       7,444  
      Northrop Grumman Corp.   3.200%   2/1/27     6,275       6,525  
      Northrop Grumman Corp.   3.250%   1/15/28     31,370       32,683  
      Northrop Grumman Corp.   5.050%   11/15/40     5,825       7,098  
      Northrop Grumman Corp.   4.750%   6/1/43     8,279       9,889  
      Northrop Grumman Corp.   3.850%   4/15/45     2,004       2,145  
      Northrop Grumman Corp.   4.030%   10/15/47     5,330       5,924  
      Northrop Grumman Systems Corp.   7.750%   2/15/31     5,216       7,481  
      Nvent Finance Sarl   3.950%   4/15/23     2,280       2,311  
      Nvent Finance Sarl   4.550%   4/15/28     6,870       7,119  
      Oshkosh Corp.   4.600%   5/15/28     9,000       9,630  
      Owens Corning   4.200%   12/1/24     10,215       10,817  
      Owens Corning   3.400%   8/15/26     5,350       5,418  
      Owens Corning   3.950%   8/15/29     4,850       5,028  
      Owens Corning   7.000%   12/1/36     409       500  
      Owens Corning   4.300%   7/15/47     7,825       7,423  
      Owens Corning   4.400%   1/30/48     4,250       4,108  
      Parker-Hannifin Corp.   3.500%   9/15/22     1,850       1,914  
      Parker-Hannifin Corp.   2.700%   6/14/24     6,950       7,043  
      Parker-Hannifin Corp.   3.300%   11/21/24     12,721       13,296  
      Parker-Hannifin Corp.   3.250%   3/1/27     20,521       21,284  
      Parker-Hannifin Corp.   3.250%   6/14/29     4,875       5,065  
      Parker-Hannifin Corp.   4.200%   11/21/34     5,828       6,444  
      Parker-Hannifin Corp.   6.250%   5/15/38     5,632       7,467  
      Parker-Hannifin Corp.   4.450%   11/21/44     5,590       6,213  
      Parker-Hannifin Corp.   4.100%   3/1/47     6,355       6,879  
      Parker-Hannifin Corp.   4.000%   6/14/49     7,800       8,436  
      Pentair Finance Sarl   4.500%   7/1/29     3,000       3,164  
      Precision Castparts Corp.   2.500%   1/15/23     18,264       18,584  
      Precision Castparts Corp.   3.250%   6/15/25     12,717       13,398  
      Precision Castparts Corp.   3.900%   1/15/43     6,950       7,520  
      Precision Castparts Corp.   4.375%   6/15/45     6,867       7,938  
      Raytheon Co.   2.500%   12/15/22     13,078       13,337  
      Raytheon Co.   3.150%   12/15/24     6,300       6,618  
      Raytheon Co.   7.200%   8/15/27     2,810       3,674  
      Raytheon Co.   4.875%   10/15/40     1,710       2,139  
      Raytheon Co.   4.700%   12/15/41     8,700       10,816  
      Raytheon Co.   4.200%   12/15/44     2,600       3,048  
      Republic Services Inc.   5.250%   11/15/21     11,497       12,193  
      Republic Services Inc.   3.550%   6/1/22     9,348       9,658  
      Republic Services Inc.   4.750%   5/15/23     4,375       4,711  
      Republic Services Inc.   2.500%   8/15/24     5,100       5,167  
      Republic Services Inc.   3.200%   3/15/25     3,820       3,967  
      Republic Services Inc.   2.900%   7/1/26     1,579       1,609  
      Republic Services Inc.   3.375%   11/15/27     285       301  

 

64

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Republic Services Inc.   6.200%   3/1/40     6,078       8,276  
      Republic Services Inc.   5.700%   5/15/41     13,998       18,192  
      Rockwell Automation Inc.   3.500%   3/1/29     9,050       9,726  
      Rockwell Automation Inc.   4.200%   3/1/49     6,075       7,062  
      Rockwell Collins Inc.   3.100%   11/15/21     2,350       2,390  
      Rockwell Collins Inc.   2.800%   3/15/22     4,800       4,882  
      Rockwell Collins Inc.   3.700%   12/15/23     1,000       1,053  
      Rockwell Collins Inc.   3.200%   3/15/24     16,875       17,560  
      Rockwell Collins Inc.   3.500%   3/15/27     10,350       11,009  
      Rockwell Collins Inc.   4.800%   12/15/43     4,916       6,008  
      Rockwell Collins Inc.   4.350%   4/15/47     13,200       15,430  
      Roper Technologies Inc.   3.000%   12/15/20     5,550       5,601  
      Roper Technologies Inc.   2.800%   12/15/21     14,821       15,032  
      Roper Technologies Inc.   3.125%   11/15/22     4,193       4,304  
      Roper Technologies Inc.   2.350%   9/15/24     2,000       2,010  
      Roper Technologies Inc.   3.850%   12/15/25     2,275       2,444  
      Roper Technologies Inc.   3.800%   12/15/26     16,610       17,851  
      Roper Technologies Inc.   4.200%   9/15/28     8,997       9,838  
      Roper Technologies Inc.   2.950%   9/15/29     5,000       5,026  
      Snap-on Inc.   6.125%   9/1/21     3,700       3,954  
      Snap-on Inc.   3.250%   3/1/27     1,200       1,251  
      Snap-on Inc.   4.100%   3/1/48     3,700       4,134  
      Sonoco Products Co.   5.750%   11/1/40     6,100       7,474  
      Spirit AeroSystems Inc.   3.950%   6/15/23     15,285       15,732  
      Spirit AeroSystems Inc.   3.850%   6/15/26     5,525       5,665  
      Spirit AeroSystems Inc.   4.600%   6/15/28     8,920       9,379  
      Stanley Black & Decker Inc.   3.400%   12/1/21     3,125       3,192  
      Stanley Black & Decker Inc.   2.900%   11/1/22     5,231       5,357  
      Stanley Black & Decker Inc.   3.400%   3/1/26     5,616       5,922  
      Stanley Black & Decker Inc.   5.200%   9/1/40     6,283       7,784  
      Stanley Black & Decker Inc.   4.850%   11/15/48     5,575       6,886  
      Textron Inc.   4.300%   3/1/24     3,725       3,978  
      Textron Inc.   3.875%   3/1/25     13,545       14,342  
      Textron Inc.   4.000%   3/15/26     11,700       12,490  
      Textron Inc.   3.650%   3/15/27     28,640       29,944  
      Textron Inc.   3.375%   3/1/28     4,629       4,756  
      Textron Inc.   3.900%   9/17/29     7,150       7,628  
      Timken Co.   3.875%   9/1/24     1,000       1,043  
      Timken Co.   4.500%   12/15/28     10,000       10,768  
      United Technologies Corp.   3.350%   8/16/21     2,570       2,630  
      United Technologies Corp.   1.950%   11/1/21     4,000       4,005  
      United Technologies Corp.   2.300%   5/4/22     1,000       1,008  
      United Technologies Corp.   3.100%   6/1/22     24,697       25,356  
      United Technologies Corp.   3.650%   8/16/23     32,988       34,751  
      United Technologies Corp.   2.800%   5/4/24     19,105       19,631  
      United Technologies Corp.   3.950%   8/16/25     21,622       23,540  
      United Technologies Corp.   2.650%   11/1/26     4,600       4,707  
      United Technologies Corp.   3.125%   5/4/27     3,351       3,507  
      United Technologies Corp.   6.700%   8/1/28     2,397       3,106  
      United Technologies Corp.   4.125%   11/16/28     45,310       50,944  
      United Technologies Corp.   7.500%   9/15/29     8,296       11,666  
      United Technologies Corp.   5.400%   5/1/35     5,612       7,179  
      United Technologies Corp.   6.050%   6/1/36     8,512       11,460  
      United Technologies Corp.   6.125%   7/15/38     6,186       8,556  
      United Technologies Corp.   4.450%   11/16/38     10,698       12,560  
      United Technologies Corp.   5.700%   4/15/40     11,965       16,005  
      United Technologies Corp.   4.500%   6/1/42     35,334       42,313  
      United Technologies Corp.   4.150%   5/15/45     15,926       18,242  
      United Technologies Corp.   3.750%   11/1/46     14,295       15,574  
      United Technologies Corp.   4.050%   5/4/47     7,525       8,540  
      United Technologies Corp.   4.625%   11/16/48     19,475       24,240  
      Valmont Industries Inc.   5.000%   10/1/44     9,050       9,245  
      Valmont Industries Inc.   5.250%   10/1/54     4,600       4,667  
      Vulcan Materials Co.   4.500%   4/1/25     3,910       4,230  

 

65

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Vulcan Materials Co.   3.900%   4/1/27     550       582  
      Vulcan Materials Co.   4.500%   6/15/47     10,525       11,526  
      Wabtec Corp.   4.400%   3/15/24     10,840       11,489  
      Wabtec Corp.   3.450%   11/15/26     9,767       9,810  
      Wabtec Corp.   4.950%   9/15/28     10,900       11,981  
      Waste Connections Inc.   3.500%   5/1/29     11,850       12,487  
      Waste Management Inc.   4.600%   3/1/21     9,560       9,801  
      Waste Management Inc.   2.900%   9/15/22     1,130       1,156  
      Waste Management Inc.   2.400%   5/15/23     12,800       12,916  
      Waste Management Inc.   3.500%   5/15/24     4,134       4,340  
      Waste Management Inc.   2.950%   6/15/24     8,265       8,524  
      Waste Management Inc.   3.125%   3/1/25     7,645       7,988  
      Waste Management Inc.   3.200%   6/15/26     8,469       8,872  
      Waste Management Inc.   3.150%   11/15/27     13,883       14,506  
      Waste Management Inc.   3.450%   6/15/29     11,275       12,042  
      Waste Management Inc.   3.900%   3/1/35     4,000       4,424  
      Waste Management Inc.   4.000%   7/15/39     6,250       6,980  
      Waste Management Inc.   4.100%   3/1/45     7,789       8,739  
      Waste Management Inc.   4.150%   7/15/49     11,275       12,841  
      WW Grainger Inc.   4.600%   6/15/45     13,443       15,913  
      WW Grainger Inc.   3.750%   5/15/46     5,362       5,541  
      WW Grainger Inc.   4.200%   5/15/47     1,950       2,171  
      Xylem Inc.   4.875%   10/1/21     110       115  
      Xylem Inc.   3.250%   11/1/26     3,461       3,588  
      Xylem Inc.   4.375%   11/1/46     6,310       6,889  
      Communication (2.4%)                        
      Activision Blizzard Inc.   2.300%   9/15/21     17,549       17,626  
      Activision Blizzard Inc.   3.400%   9/15/26     12,563       13,165  
      Activision Blizzard Inc.   3.400%   6/15/27     3,257       3,392  
      Activision Blizzard Inc.   4.500%   6/15/47     4,220       4,794  
      America Movil SAB de CV   3.125%   7/16/22     36,650       37,380  
      America Movil SAB de CV   3.625%   4/22/29     5,500       5,831  
      America Movil SAB de CV   6.375%   3/1/35     15,818       21,222  
      America Movil SAB de CV   6.125%   11/15/37     4,283       5,586  
      America Movil SAB de CV   6.125%   3/30/40     14,500       19,428  
      America Movil SAB de CV   4.375%   7/16/42     12,590       14,015  
      America Movil SAB de CV   4.375%   4/22/49     14,500       16,614  
      American Tower Corp.   3.300%   2/15/21     13,364       13,528  
      American Tower Corp.   3.450%   9/15/21     14,400       14,746  
      American Tower Corp.   5.900%   11/1/21     8,029       8,578  
      American Tower Corp.   2.250%   1/15/22     8,465       8,491  
      American Tower Corp.   3.500%   1/31/23     17,414       18,040  
      American Tower Corp.   5.000%   2/15/24     11,946       13,143  
      American Tower Corp.   3.375%   5/15/24     9,000       9,329  
      American Tower Corp.   2.950%   1/15/25     3,650       3,739  
      American Tower Corp.   4.000%   6/1/25     6,840       7,307  
      American Tower Corp.   4.400%   2/15/26     2,215       2,423  
      American Tower Corp.   3.375%   10/15/26     17,576       18,255  
      American Tower Corp.   3.125%   1/15/27     6,795       6,927  
      American Tower Corp.   3.550%   7/15/27     10,723       11,210  
      American Tower Corp.   3.950%   3/15/29     6,800       7,316  
      American Tower Corp.   3.800%   8/15/29     28,649       30,605  
      American Tower Corp.   3.700%   10/15/49     6,565       6,507  
      AT&T Inc.   4.600%   2/15/21     14,677       15,014  
      AT&T Inc.   2.800%   2/17/21     4,677       4,715  
      AT&T Inc.   4.450%   5/15/21     6,973       7,210  
      AT&T Inc.   3.875%   8/15/21     2,000       2,059  
      AT&T Inc.   4.000%   1/15/22     3,600       3,734  
      AT&T Inc.   3.000%   2/15/22     3,265       3,327  
      AT&T Inc.   3.200%   3/1/22     8,269       8,470  
      AT&T Inc.   3.800%   3/15/22     7,760       8,051  
      AT&T Inc.   3.400%   6/15/22     7,995       8,232  
      AT&T Inc.   3.000%   6/30/22     35,067       35,838  

 

66

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      AT&T Inc.   2.625%   12/1/22     1,000       1,015  
      AT&T Inc.   3.600%   2/17/23     20,465       21,352  
      AT&T Inc.   4.050%   12/15/23     6,400       6,842  
      AT&T Inc.   3.800%   3/1/24     6,425       6,783  
      AT&T Inc.   3.900%   3/11/24     5,350       5,670  
      AT&T Inc.   4.450%   4/1/24     20,228       21,900  
      AT&T Inc.   3.550%   6/1/24     7,750       8,147  
      AT&T Inc.   3.950%   1/15/25     10,000       10,713  
      AT&T Inc.   3.400%   5/15/25     57,781       60,552  
      AT&T Inc.   3.600%   7/15/25     24,718       26,085  
      AT&T Inc.   3.875%   1/15/26     24,980       26,751  
      AT&T Inc.   4.125%   2/17/26     18,800       20,372  
      AT&T Inc.   3.800%   2/15/27     15,794       16,838  
      AT&T Inc.   4.250%   3/1/27     10,000       10,961  
      AT&T Inc.   4.100%   2/15/28     28,547       30,988  
      AT&T Inc.   4.350%   3/1/29     37,980       42,121  
      AT&T Inc.   4.300%   2/15/30     49,831       55,377  
      AT&T Inc.   4.500%   5/15/35     21,296       23,680  
      AT&T Inc.   5.250%   3/1/37     25,496       30,448  
      AT&T Inc.   4.900%   8/15/37     16,010       18,365  
      AT&T Inc.   4.850%   3/1/39     21,119       24,259  
      AT&T Inc.   6.200%   3/15/40     3,800       4,751  
      AT&T Inc.   6.350%   3/15/40     11,000       14,325  
      AT&T Inc.   6.100%   7/15/40     4,490       5,707  
      AT&T Inc.   6.000%   8/15/40     11,887       15,083  
      AT&T Inc.   5.350%   9/1/40     35,350       42,277  
      AT&T Inc.   6.375%   3/1/41     11,368       14,986  
      AT&T Inc.   5.550%   8/15/41     11,089       13,580  
      AT&T Inc.   5.375%   10/15/41     9,224       10,850  
      AT&T Inc.   5.150%   3/15/42     14,044       16,362  
      AT&T Inc.   4.900%   6/15/42     8,094       9,103  
      AT&T Inc.   4.300%   12/15/42     19,775       21,137  
      AT&T Inc.   5.350%   12/15/43     15,714       18,830  
      AT&T Inc.   4.650%   6/1/44     17,555       19,349  
      AT&T Inc.   4.800%   6/15/44     34,540       39,240  
      AT&T Inc.   4.350%   6/15/45     29,500       31,555  
      AT&T Inc.   4.850%   7/15/45     200       226  
      AT&T Inc.   4.750%   5/15/46     37,210       41,778  
      AT&T Inc.   5.150%   11/15/46     71,298       84,872  
      AT&T Inc.   5.650%   2/15/47     6,350       8,081  
      AT&T Inc.   5.450%   3/1/47     6,100       7,527  
      AT&T Inc.   4.500%   3/9/48     28,239       31,020  
      AT&T Inc.   4.550%   3/9/49     29,167       32,339  
      AT&T Inc.   5.150%   2/15/50     19,699       23,726  
      AT&T Inc.   5.700%   3/1/57     3,380       4,409  
      AT&T Inc.   5.300%   8/15/58     9,987       12,302  
      Bell Canada Inc.   4.300%   7/29/49     6,600       7,382  
      British Telecommunications plc   4.500%   12/4/23     7,450       8,022  
      British Telecommunications plc   5.125%   12/4/28     8,000       9,194  
      British Telecommunications plc   9.625%   12/15/30     28,703       44,172  
      CC Holdings GS V LLC / Crown Castle GS III Corp.   3.849%   4/15/23     11,452       11,987  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.464%   7/23/22     47,309       49,723  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.500%   2/1/24     10,164       10,933  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.908%   7/23/25     53,149       58,473  
      Charter Communications Operating LLC / Charter Communications Operating Capital   3.750%   2/15/28     26,165       27,043  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.200%   3/15/28     5,125       5,449  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.050%   3/30/29     23,875       26,995  

 

67

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Charter Communications Operating LLC / Charter Communications Operating Capital   6.384%   10/23/35     30,935       38,891  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.375%   4/1/38     8,680       9,838  
      Charter Communications Operating LLC / Charter Communications Operating Capital   6.484%   10/23/45     32,250       40,193  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.375%   5/1/47     29,084       32,601  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.750%   4/1/48     34,155       39,854  
      Charter Communications Operating LLC / Charter Communications Operating Capital   5.125%   7/1/49     11,200       12,153  
      Charter Communications Operating LLC / Charter Communications Operating Capital   4.800%   3/1/50     14,423       15,099  
      Charter Communications Operating LLC / Charter Communications Operating Capital   6.834%   10/23/55     6,174       7,775  
      Comcast Cable Communications Holdings Inc.   9.455%   11/15/22     7,560       9,131  
      Comcast Corp.   3.450%   10/1/21     19,925       20,488  
      Comcast Corp.   3.125%   7/15/22     16,182       16,680  
      Comcast Corp.   2.750%   3/1/23     19,264       19,688  
      Comcast Corp.   3.000%   2/1/24     46,159       47,825  
      Comcast Corp.   3.600%   3/1/24     5,126       5,428  
      Comcast Corp.   3.700%   4/15/24     15,250       16,223  
      Comcast Corp.   3.375%   2/15/25     12,719       13,399  
      Comcast Corp.   3.375%   8/15/25     28,769       30,517  
      Comcast Corp.   3.950%   10/15/25     24,562       26,766  
      Comcast Corp.   3.150%   3/1/26     27,325       28,552  
      Comcast Corp.   2.350%   1/15/27     27,347       27,266  
      Comcast Corp.   3.300%   2/1/27     21,599       22,828  
      Comcast Corp.   3.150%   2/15/28     18,180       19,029  
      Comcast Corp.   3.550%   5/1/28     1,250       1,345  
      Comcast Corp.   4.150%   10/15/28     65,173       73,347  
      Comcast Corp.   2.650%   2/1/30     19,000       19,015  
      Comcast Corp.   4.250%   10/15/30     10,000       11,369  
      Comcast Corp.   4.250%   1/15/33     18,769       21,514  
      Comcast Corp.   7.050%   3/15/33     4,217       6,028  
      Comcast Corp.   4.200%   8/15/34     15,389       17,553  
      Comcast Corp.   5.650%   6/15/35     4,446       5,834  
      Comcast Corp.   4.400%   8/15/35     13,991       16,370  
      Comcast Corp.   6.500%   11/15/35     17,665       24,886  
      Comcast Corp.   3.200%   7/15/36     10,845       11,037  
      Comcast Corp.   6.450%   3/15/37     12,029       16,789  
      Comcast Corp.   6.950%   8/15/37     14,839       21,724  
      Comcast Corp.   3.900%   3/1/38     5,700       6,290  
      Comcast Corp.   6.400%   5/15/38     9,747       13,536  
      Comcast Corp.   4.600%   10/15/38     33,953       40,286  
      Comcast Corp.   3.250%   11/1/39     15,525       15,615  
      Comcast Corp.   6.400%   3/1/40     970       1,359  
      Comcast Corp.   4.650%   7/15/42     18,697       22,225  
      Comcast Corp.   4.500%   1/15/43     7,076       8,256  
      Comcast Corp.   4.600%   8/15/45     24,005       28,628  
      Comcast Corp.   3.400%   7/15/46     30,064       30,186  
      Comcast Corp.   4.000%   8/15/47     9,363       10,247  
      Comcast Corp.   3.969%   11/1/47     29,650       32,354  
      Comcast Corp.   4.000%   3/1/48     6,396       7,031  
      Comcast Corp.   4.700%   10/15/48     30,640       37,712  
      Comcast Corp.   3.999%   11/1/49     27,070       29,910  
      Comcast Corp.   3.450%   2/1/50     26,000       26,511  
      Comcast Corp.   4.049%   11/1/52     17,300       19,503  
      Comcast Corp.   4.950%   10/15/58     29,702       38,619  
      Crown Castle International Corp.   3.400%   2/15/21     14,805       15,023  
      Crown Castle International Corp.   2.250%   9/1/21     8,230       8,238  
      Crown Castle International Corp.   4.875%   4/15/22     8,513       9,002  
      Crown Castle International Corp.   5.250%   1/15/23     12,829       13,907  

 

68

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Crown Castle International Corp.   3.150%   7/15/23     6,920       7,098  
      Crown Castle International Corp.   3.200%   9/1/24     8,075       8,313  
      Crown Castle International Corp.   4.450%   2/15/26     22,715       24,789  
      Crown Castle International Corp.   3.700%   6/15/26     17,075       18,048  
      Crown Castle International Corp.   4.000%   3/1/27     3,730       4,014  
      Crown Castle International Corp.   3.650%   9/1/27     19,953       21,022  
      Crown Castle International Corp.   3.800%   2/15/28     29,231       31,059  
      Crown Castle International Corp.   4.750%   5/15/47     4,325       4,981  
      Crown Castle International Corp.   5.200%   2/15/49     5,699       6,979  
      Deutsche Telekom International Finance BV   8.750%   6/15/30     43,808       64,279  
      Discovery Communications LLC   4.375%   6/15/21     4,875       5,021  
      Discovery Communications LLC   3.300%   5/15/22     2,588       2,654  
      Discovery Communications LLC   3.500%   6/15/22     8,030       8,237  
      Discovery Communications LLC   2.950%   3/20/23     12,157       12,382  
      Discovery Communications LLC   3.250%   4/1/23     3,000       3,083  
      Discovery Communications LLC   3.800%   3/13/24     5,319       5,598  
      Discovery Communications LLC   3.900%   11/15/24     12,667       13,438  
      Discovery Communications LLC   3.450%   3/15/25     7,192       7,441  
      Discovery Communications LLC   3.950%   6/15/25     6,250       6,630  
      Discovery Communications LLC   4.900%   3/11/26     5,625       6,282  
      Discovery Communications LLC   3.950%   3/20/28     23,195       24,742  
      Discovery Communications LLC   4.125%   5/15/29     5,450       5,852  
      Discovery Communications LLC   5.000%   9/20/37     16,910       19,085  
      Discovery Communications LLC   6.350%   6/1/40     10,651       13,434  
      Discovery Communications LLC   4.950%   5/15/42     8,507       9,304  
      Discovery Communications LLC   4.875%   4/1/43     12,062       13,083  
      Discovery Communications LLC   5.200%   9/20/47     14,310       16,571  
      Discovery Communications LLC   5.300%   5/15/49     3,145       3,721  
      Electronic Arts Inc.   3.700%   3/1/21     10,090       10,266  
      Electronic Arts Inc.   4.800%   3/1/26     5,040       5,672  
7     Fox Corp.   3.666%   1/25/22     3,475       3,589  
7     Fox Corp.   4.030%   1/25/24     14,590       15,538  
7     Fox Corp.   4.709%   1/25/29     26,150       29,724  
7     Fox Corp.   5.476%   1/25/39     12,400       15,076  
7     Fox Corp.   5.576%   1/25/49     29,000       36,496  
      Grupo Televisa SAB   6.625%   3/18/25     4,064       4,767  
      Grupo Televisa SAB   4.625%   1/30/26     2,825       3,041  
      Grupo Televisa SAB   8.500%   3/11/32     460       623  
      Grupo Televisa SAB   6.625%   1/15/40     6,543       8,217  
      Grupo Televisa SAB   5.000%   5/13/45     20,316       21,420  
      Grupo Televisa SAB   6.125%   1/31/46     8,328       10,100  
      Grupo Televisa SAB   5.250%   5/24/49     2,950       3,188  
      Interpublic Group of Cos. Inc.   3.750%   10/1/21     4,268       4,378  
      Interpublic Group of Cos. Inc.   3.750%   2/15/23     9,525       9,948  
      Interpublic Group of Cos. Inc.   4.200%   4/15/24     7,155       7,685  
      Interpublic Group of Cos. Inc.   4.650%   10/1/28     6,120       6,875  
      Interpublic Group of Cos. Inc.   5.400%   10/1/48     11,885       14,552  
      Koninklijke KPN NV   8.375%   10/1/30     5,000       6,938  
      Moody's Corp.   3.250%   6/7/21     3,000       3,050  
      Moody's Corp.   2.750%   12/15/21     5,915       6,000  
      Moody's Corp.   4.500%   9/1/22     11,260       11,906  
      Moody's Corp.   4.875%   2/15/24     7,160       7,876  
      Moody's Corp.   4.250%   2/1/29     1,500       1,694  
      Moody's Corp.   5.250%   7/15/44     7,325       9,323  
      NBCUniversal Media LLC   4.375%   4/1/21     17,565       18,111  
      NBCUniversal Media LLC   2.875%   1/15/23     17,369       17,825  
      NBCUniversal Media LLC   6.400%   4/30/40     10,415       14,557  
      NBCUniversal Media LLC   5.950%   4/1/41     5,480       7,532  
      NBCUniversal Media LLC   4.450%   1/15/43     11,222       13,014  
      Omnicom Group Inc. / Omnicom Capital Inc.   3.625%   5/1/22     13,418       13,877  
      Omnicom Group Inc. / Omnicom Capital Inc.   3.650%   11/1/24     10,006       10,524  
      Omnicom Group Inc. / Omnicom Capital Inc.   3.600%   4/15/26     15,226       16,008  
      Orange SA   4.125%   9/14/21     25,616       26,552  
      Orange SA   9.000%   3/1/31     23,435       36,252  

 

69

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Orange SA   5.375%   1/13/42     17,000       21,778  
      Orange SA   5.500%   2/6/44     881       1,168  
      RELX Capital Inc.   3.125%   10/15/22     13,043       13,486  
      RELX Capital Inc.   3.500%   3/16/23     6,592       6,842  
      RELX Capital Inc.   4.000%   3/18/29     5,050       5,470  
      Rogers Communications Inc.   3.000%   3/15/23     5,269       5,398  
      Rogers Communications Inc.   4.100%   10/1/23     6,060       6,457  
      Rogers Communications Inc.   3.625%   12/15/25     5,540       5,864  
      Rogers Communications Inc.   2.900%   11/15/26     7,055       7,165  
      Rogers Communications Inc.   7.500%   8/15/38     1,698       2,473  
      Rogers Communications Inc.   4.500%   3/15/43     8,038       8,810  
      Rogers Communications Inc.   5.000%   3/15/44     5,000       6,052  
      Rogers Communications Inc.   4.300%   2/15/48     6,000       6,561  
      Rogers Communications Inc.   4.350%   5/1/49     25,136       27,927  
      Rogers Communications Inc.   3.700%   11/15/49     8,200       8,247  
      S&P Global Inc.   4.000%   6/15/25     9,389       10,163  
      S&P Global Inc.   4.400%   2/15/26     10,030       11,143  
      S&P Global Inc.   2.950%   1/22/27     1,000       1,032  
      S&P Global Inc.   2.500%   12/1/29     5,500       5,511  
      S&P Global Inc.   4.500%   5/15/48     5,635       6,831  
      S&P Global Inc.   3.250%   12/1/49     8,800       8,983  
      TCI Communications Inc.   7.875%   2/15/26     5,443       7,062  
      TCI Communications Inc.   7.125%   2/15/28     2,972       3,930  
      Telefonica Emisiones SAU   5.462%   2/16/21     27,749       28,791  
      Telefonica Emisiones SAU   4.570%   4/27/23     8,757       9,410  
      Telefonica Emisiones SAU   4.103%   3/8/27     19,185       20,723  
      Telefonica Emisiones SAU   7.045%   6/20/36     20,222       28,448  
      Telefonica Emisiones SAU   4.665%   3/6/38     14,422       16,274  
      Telefonica Emisiones SAU   5.213%   3/8/47     34,110       40,490  
      Telefonica Emisiones SAU   4.895%   3/6/48     13,150       15,057  
      Telefonica Emisiones SAU   5.520%   3/1/49     13,725       17,168  
      Telefonica Europe BV   8.250%   9/15/30     7,027       10,102  
      TELUS Corp.   2.800%   2/16/27     9,635       9,641  
      TELUS Corp.   3.700%   9/15/27     805       846  
      TELUS Corp.   4.300%   6/15/49     11,840       13,062  
      Thomson Reuters Corp.   4.300%   11/23/23     9,483       10,175  
      Thomson Reuters Corp.   3.350%   5/15/26     5,200       5,341  
      Thomson Reuters Corp.   5.500%   8/15/35     8,250       9,223  
      Thomson Reuters Corp.   5.850%   4/15/40     3,795       4,533  
      Thomson Reuters Corp.   5.650%   11/23/43     4,525       5,332  
      Time Warner Cable LLC   4.125%   2/15/21     3,117       3,166  
      Time Warner Cable LLC   4.000%   9/1/21     15,622       15,993  
      Time Warner Cable LLC   6.550%   5/1/37     14,323       17,552  
      Time Warner Cable LLC   7.300%   7/1/38     16,748       21,912  
      Time Warner Cable LLC   6.750%   6/15/39     23,167       29,238  
      Time Warner Cable LLC   5.875%   11/15/40     18,908       21,661  
      Time Warner Cable LLC   5.500%   9/1/41     14,963       16,695  
      Time Warner Cable LLC   4.500%   9/15/42     24,545       24,870  
      Time Warner Entertainment Co. LP   8.375%   3/15/23     1,000       1,181  
      Time Warner Entertainment Co. LP   8.375%   7/15/33     7,193       10,097  
      Verizon Communications Inc.   3.450%   3/15/21     10,845       11,053  
      Verizon Communications Inc.   4.600%   4/1/21     10,950       11,317  
      Verizon Communications Inc.   2.946%   3/15/22     10,500       10,715  
      Verizon Communications Inc.   3.125%   3/16/22     13,953       14,302  
      Verizon Communications Inc.   2.450%   11/1/22     13,925       14,099  
      Verizon Communications Inc.   5.150%   9/15/23     44,283       49,092  
      Verizon Communications Inc.   4.150%   3/15/24     7,845       8,444  
      Verizon Communications Inc.   3.500%   11/1/24     21,930       23,211  
      Verizon Communications Inc.   3.376%   2/15/25     40,089       42,379  
      Verizon Communications Inc.   2.625%   8/15/26     33,430       33,888  
      Verizon Communications Inc.   4.125%   3/16/27     34,602       38,257  
      Verizon Communications Inc.   4.329%   9/21/28     56,949       64,555  
      Verizon Communications Inc.   3.875%   2/8/29     1,100       1,211  
      Verizon Communications Inc.   4.016%   12/3/29     49,965       55,622  

 

70

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Verizon Communications Inc.   4.500%   8/10/33     44,934       52,159  
      Verizon Communications Inc.   4.400%   11/1/34     32,909       38,066  
      Verizon Communications Inc.   4.272%   1/15/36     39,004       43,949  
      Verizon Communications Inc.   5.250%   3/16/37     39,722       49,841  
      Verizon Communications Inc.   4.812%   3/15/39     18,910       22,866  
      Verizon Communications Inc.   4.750%   11/1/41     14,140       17,088  
      Verizon Communications Inc.   3.850%   11/1/42     9,617       10,294  
      Verizon Communications Inc.   4.125%   8/15/46     19,807       22,321  
      Verizon Communications Inc.   4.862%   8/21/46     70,458       87,231  
      Verizon Communications Inc.   4.522%   9/15/48     33,890       40,463  
      Verizon Communications Inc.   5.012%   4/15/49     29,414       37,613  
      Verizon Communications Inc.   4.672%   3/15/55     35,000       42,945  
      ViacomCBS Inc.   4.300%   2/15/21     5,630       5,733  
      ViacomCBS Inc.   3.875%   12/15/21     9,908       10,249  
      ViacomCBS Inc.   3.375%   3/1/22     7,037       7,199  
      ViacomCBS Inc.   2.500%   2/15/23     11,025       11,139  
      ViacomCBS Inc.   2.900%   6/1/23     4,475       4,553  
      ViacomCBS Inc.   4.250%   9/1/23     13,768       14,655  
      ViacomCBS Inc.   3.875%   4/1/24     10,430       11,033  
      ViacomCBS Inc.   3.700%   8/15/24     6,775       7,144  
      ViacomCBS Inc.   3.500%   1/15/25     3,853       4,031  
      ViacomCBS Inc.   4.000%   1/15/26     8,574       9,180  
      ViacomCBS Inc.   2.900%   1/15/27     11,770       11,762  
      ViacomCBS Inc.   3.375%   2/15/28     5,525       5,690  
      ViacomCBS Inc.   3.700%   6/1/28     9,285       9,683  
      ViacomCBS Inc.   7.875%   7/30/30     2,339       3,239  
      ViacomCBS Inc.   5.500%   5/15/33     3,065       3,657  
      ViacomCBS Inc.   6.875%   4/30/36     10,012       13,402  
      ViacomCBS Inc.   5.900%   10/15/40     3,150       3,811  
      ViacomCBS Inc.   4.850%   7/1/42     8,636       9,535  
      ViacomCBS Inc.   4.375%   3/15/43     26,403       27,950  
      ViacomCBS Inc.   5.850%   9/1/43     11,315       14,177  
      ViacomCBS Inc.   4.900%   8/15/44     10,454       11,818  
      ViacomCBS Inc.   4.600%   1/15/45     6,340       6,992  
      Vodafone Group plc   3.750%   1/16/24     41,050       43,293  
      Vodafone Group plc   4.125%   5/30/25     18,446       19,930  
      Vodafone Group plc   4.375%   5/30/28     42,615       47,117  
      Vodafone Group plc   7.875%   2/15/30     2,878       3,986  
      Vodafone Group plc   6.250%   11/30/32     8,100       10,253  
      Vodafone Group plc   6.150%   2/27/37     4,118       5,293  
      Vodafone Group plc   5.000%   5/30/38     24,024       27,991  
      Vodafone Group plc   4.375%   2/19/43     15,624       16,794  
      Vodafone Group plc   5.250%   5/30/48     42,757       51,659  
      Vodafone Group plc   4.875%   6/19/49     16,900       19,447  
      Vodafone Group plc   4.250%   9/17/50     20,950       21,761  
      Walt Disney Co.   2.300%   2/12/21     10,000       10,052  
      Walt Disney Co.   4.500%   2/15/21     14,410       14,826  
      Walt Disney Co.   3.750%   6/1/21     2,000       2,053  
      Walt Disney Co.   2.750%   8/16/21     5,000       5,071  
      Walt Disney Co.   2.550%   2/15/22     4,081       4,143  
      Walt Disney Co.   2.450%   3/4/22     3,375       3,426  
      Walt Disney Co.   1.650%   9/1/22     5,000       4,983  
      Walt Disney Co.   3.000%   9/15/22     16,810       17,310  
      Walt Disney Co.   2.350%   12/1/22     4,386       4,449  
      Walt Disney Co.   1.750%   8/30/24     8,000       7,910  
      Walt Disney Co.   3.700%   9/15/24     4,785       5,113  
      Walt Disney Co.   3.150%   9/17/25     8,280       8,796  
      Walt Disney Co.   3.700%   10/15/25     6,890       7,451  
      Walt Disney Co.   3.000%   2/13/26     9,875       10,388  
      Walt Disney Co.   1.850%   7/30/26     27,930       27,395  
      Walt Disney Co.   3.375%   11/15/26     7,880       8,429  
      Walt Disney Co.   2.000%   9/1/29     22,200       21,516  
      Walt Disney Co.   7.000%   3/1/32     2,843       4,118  
      Walt Disney Co.   6.550%   3/15/33     13,190       18,580  

 

71

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Walt Disney Co.   6.200%   12/15/34     15,716       21,918  
      Walt Disney Co.   6.400%   12/15/35     15,745       22,511  
      Walt Disney Co.   6.150%   3/1/37     12,250       17,046  
      Walt Disney Co.   6.650%   11/15/37     4,000       5,943  
      Walt Disney Co.   4.375%   8/16/41     8,350       9,952  
      Walt Disney Co.   4.125%   12/1/41     11,524       13,288  
      Walt Disney Co.   3.700%   12/1/42     9,067       9,874  
      Walt Disney Co.   5.400%   10/1/43     10,480       14,198  
      Walt Disney Co.   4.750%   9/15/44     12,400       15,621  
      Walt Disney Co.   3.000%   7/30/46     2,195       2,154  
      Walt Disney Co.   2.750%   9/1/49     16,750       15,739  
      Weibo Corp.   3.500%   7/5/24     8,900       9,073  
      WPP Finance 2010   3.625%   9/7/22     9,506       9,829  
      WPP Finance 2010   3.750%   9/19/24     5,115       5,380  
      Consumer Cyclical (1.9%)                        
      Advance Auto Parts Inc.   4.500%   1/15/22     2,730       2,834  
      Advance Auto Parts Inc.   4.500%   12/1/23     5,176       5,550  
      Alibaba Group Holding Ltd.   3.125%   11/28/21     16,440       16,760  
      Alibaba Group Holding Ltd.   2.800%   6/6/23     8,200       8,327  
      Alibaba Group Holding Ltd.   3.600%   11/28/24     19,819       20,818  
      Alibaba Group Holding Ltd.   3.400%   12/6/27     28,190       29,378  
      Alibaba Group Holding Ltd.   4.500%   11/28/34     7,010       7,934  
      Alibaba Group Holding Ltd.   4.000%   12/6/37     10,725       11,521  
      Alibaba Group Holding Ltd.   4.200%   12/6/47     18,750       20,794  
      Alibaba Group Holding Ltd.   4.400%   12/6/57     11,550       13,194  
      Amazon.com Inc.   3.300%   12/5/21     23,674       24,338  
      Amazon.com Inc.   2.500%   11/29/22     7,143       7,280  
      Amazon.com Inc.   2.400%   2/22/23     15,730       15,959  
      Amazon.com Inc.   2.800%   8/22/24     28,410       29,401  
      Amazon.com Inc.   3.800%   12/5/24     7,241       7,826  
      Amazon.com Inc.   5.200%   12/3/25     17,230       19,999  
      Amazon.com Inc.   3.150%   8/22/27     16,655       17,597  
      Amazon.com Inc.   4.800%   12/5/34     19,729       24,854  
      Amazon.com Inc.   3.875%   8/22/37     30,310       34,435  
      Amazon.com Inc.   4.950%   12/5/44     17,536       22,941  
      Amazon.com Inc.   4.050%   8/22/47     22,192       25,993  
      Amazon.com Inc.   4.250%   8/22/57     32,745       39,794  
      American Honda Finance Corp.   3.150%   1/8/21     9,675       9,793  
      American Honda Finance Corp.   2.650%   2/12/21     12,280       12,393  
      American Honda Finance Corp.   1.650%   7/12/21     11,005       10,970  
      American Honda Finance Corp.   1.700%   9/9/21     25,950       25,883  
      American Honda Finance Corp.   3.375%   12/10/21     3,250       3,348  
      American Honda Finance Corp.   2.200%   6/27/22     8,135       8,191  
      American Honda Finance Corp.   2.600%   11/16/22     6,100       6,216  
      American Honda Finance Corp.   2.050%   1/10/23     6,495       6,514  
      American Honda Finance Corp.   3.450%   7/14/23     5,150       5,388  
      American Honda Finance Corp.   3.625%   10/10/23     1,100       1,160  
      American Honda Finance Corp.   2.900%   2/16/24     12,325       12,681  
      American Honda Finance Corp.   2.400%   6/27/24     7,150       7,233  
      American Honda Finance Corp.   2.150%   9/10/24     18,895       18,899  
      American Honda Finance Corp.   2.300%   9/9/26     5,850       5,831  
      American Honda Finance Corp.   3.500%   2/15/28     5,550       5,969  
      Aptiv Corp.   4.150%   3/15/24     7,520       7,952  
      Aptiv plc   4.250%   1/15/26     9,325       10,042  
      Aptiv plc   4.350%   3/15/29     1,900       2,060  
      Aptiv plc   4.400%   10/1/46     4,220       4,038  
      Aptiv plc   5.400%   3/15/49     4,200       4,733  
      Automatic Data Processing Inc.   3.375%   9/15/25     11,430       12,133  
      AutoNation Inc.   3.350%   1/15/21     5,255       5,301  
      AutoNation Inc.   3.500%   11/15/24     5,163       5,318  
      AutoNation Inc.   4.500%   10/1/25     10,875       11,685  
      AutoNation Inc.   3.800%   11/15/27     6,865       6,924  
      AutoZone Inc.   2.500%   4/15/21     3,605       3,622  

 

72

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      AutoZone Inc.   3.700%   4/15/22     9,361       9,658  
      AutoZone Inc.   2.875%   1/15/23     5,891       5,994  
      AutoZone Inc.   3.125%   7/15/23     660       678  
      AutoZone Inc.   3.125%   4/18/24     2,400       2,493  
      AutoZone Inc.   3.250%   4/15/25     10,625       11,059  
      AutoZone Inc.   3.125%   4/21/26     8,980       9,248  
      AutoZone Inc.   3.750%   6/1/27     5,425       5,784  
      AutoZone Inc.   3.750%   4/18/29     7,225       7,722  
      Best Buy Co. Inc.   5.500%   3/15/21     2,911       3,000  
      Best Buy Co. Inc.   4.450%   10/1/28     10,000       10,942  
      Block Financial LLC   5.500%   11/1/22     2,865       3,065  
      Block Financial LLC   5.250%   10/1/25     12,310       13,469  
      Booking Holdings Inc.   2.750%   3/15/23     6,427       6,558  
      Booking Holdings Inc.   3.650%   3/15/25     4,325       4,615  
      Booking Holdings Inc.   3.600%   6/1/26     23,685       25,302  
      Booking Holdings Inc.   3.550%   3/15/28     7,510       7,988  
      BorgWarner Inc.   3.375%   3/15/25     1,720       1,794  
      BorgWarner Inc.   4.375%   3/15/45     6,815       6,934  
      Choice Hotels International Inc.   5.750%   7/1/22     1,050       1,133  
      Costco Wholesale Corp.   2.150%   5/18/21     7,135       7,168  
      Costco Wholesale Corp.   2.250%   2/15/22     4,298       4,341  
      Costco Wholesale Corp.   2.300%   5/18/22     11,626       11,767  
      Costco Wholesale Corp.   2.750%   5/18/24     15,509       15,993  
      Costco Wholesale Corp.   3.000%   5/18/27     12,363       13,046  
      Cummins Inc.   3.650%   10/1/23     2,200       2,327  
      Cummins Inc.   7.125%   3/1/28     1,750       2,326  
      Cummins Inc.   4.875%   10/1/43     8,520       10,390  
      Daimler Finance North America LLC   8.500%   1/18/31     12,712       18,902  
      Darden Restaurants Inc.   3.850%   5/1/27     5,550       5,810  
      Darden Restaurants Inc.   4.550%   2/15/48     5,270       5,339  
      Dollar General Corp.   3.250%   4/15/23     12,970       13,389  
      Dollar General Corp.   4.150%   11/1/25     7,248       7,873  
      Dollar General Corp.   3.875%   4/15/27     5,042       5,403  
      Dollar General Corp.   4.125%   5/1/28     8,074       8,835  
      Dollar Tree Inc.   3.700%   5/15/23     7,300       7,597  
      Dollar Tree Inc.   4.000%   5/15/25     17,380       18,576  
      Dollar Tree Inc.   4.200%   5/15/28     13,075       14,006  
      DR Horton Inc.   2.550%   12/1/20     2,730       2,742  
      DR Horton Inc.   4.375%   9/15/22     6,030       6,321  
      DR Horton Inc.   4.750%   2/15/23     3,193       3,397  
      DR Horton Inc.   5.750%   8/15/23     6,845       7,566  
      DR Horton Inc.   2.500%   10/15/24     8,000       8,001  
      eBay Inc.   2.875%   8/1/21     7,685       7,774  
      eBay Inc.   3.800%   3/9/22     6,032       6,234  
      eBay Inc.   2.600%   7/15/22     8,305       8,377  
      eBay Inc.   2.750%   1/30/23     8,315       8,431  
      eBay Inc.   3.450%   8/1/24     8,596       8,955  
      eBay Inc.   3.600%   6/5/27     8,725       9,106  
      eBay Inc.   4.000%   7/15/42     10,284       10,136  
      Expedia Group Inc.   4.500%   8/15/24     11,255       12,038  
      Expedia Group Inc.   5.000%   2/15/26     9,123       10,008  
      Expedia Group Inc.   3.800%   2/15/28     11,985       12,217  
7     Expedia Group Inc.   3.250%   2/15/30     10,175       9,782  
      Ford Holdings LLC   9.300%   3/1/30     4,325       5,448  
      Ford Motor Co.   4.346%   12/8/26     15,858       16,333  
      Ford Motor Co.   6.625%   10/1/28     8,571       9,445  
      Ford Motor Co.   6.375%   2/1/29     6,944       7,435  
      Ford Motor Co.   7.450%   7/16/31     14,306       16,882  
      Ford Motor Co.   4.750%   1/15/43     9,583       8,492  
      Ford Motor Co.   7.400%   11/1/46     7,710       8,650  
      Ford Motor Co.   5.291%   12/8/46     15,070       14,248  
      Ford Motor Credit Co. LLC   2.343%   11/2/20     16,582       16,548  
      Ford Motor Credit Co. LLC   3.200%   1/15/21     14,578       14,629  
      Ford Motor Credit Co. LLC   5.750%   2/1/21     17,200       17,731  

 

73

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Ford Motor Credit Co. LLC   3.336%   3/18/21     15,921       16,036  
      Ford Motor Credit Co. LLC   3.470%   4/5/21     310       313  
      Ford Motor Credit Co. LLC   5.875%   8/2/21     26,941       28,170  
      Ford Motor Credit Co. LLC   3.813%   10/12/21     12,000       12,200  
      Ford Motor Credit Co. LLC   5.596%   1/7/22     5,991       6,304  
      Ford Motor Credit Co. LLC   3.219%   1/9/22     12,067       12,139  
      Ford Motor Credit Co. LLC   3.339%   3/28/22     11,742       11,842  
      Ford Motor Credit Co. LLC   2.979%   8/3/22     23,850       23,858  
      Ford Motor Credit Co. LLC   4.250%   9/20/22     7,990       8,252  
      Ford Motor Credit Co. LLC   3.350%   11/1/22     18,000       18,166  
      Ford Motor Credit Co. LLC   3.096%   5/4/23     4,150       4,135  
      Ford Motor Credit Co. LLC   4.375%   8/6/23     13,410       13,901  
      Ford Motor Credit Co. LLC   3.810%   1/9/24     10,071       10,213  
      Ford Motor Credit Co. LLC   5.584%   3/18/24     13,422       14,476  
      Ford Motor Credit Co. LLC   3.664%   9/8/24     5,795       5,799  
      Ford Motor Credit Co. LLC   4.063%   11/1/24     10,000       10,198  
      Ford Motor Credit Co. LLC   4.687%   6/9/25     7,130       7,389  
      Ford Motor Credit Co. LLC   4.134%   8/4/25     17,913       18,137  
      Ford Motor Credit Co. LLC   4.389%   1/8/26     14,952       15,190  
      Ford Motor Credit Co. LLC   4.542%   8/1/26     8,500       8,688  
      Ford Motor Credit Co. LLC   3.815%   11/2/27     7,133       6,889  
      Ford Motor Credit Co. LLC   5.113%   5/3/29     12,350       12,688  
      General Motors Co.   4.875%   10/2/23     18,778       20,155  
      General Motors Co.   4.000%   4/1/25     5,381       5,602  
      General Motors Co.   4.200%   10/1/27     1,288       1,317  
      General Motors Co.   5.000%   10/1/28     8,433       9,136  
      General Motors Co.   5.000%   4/1/35     15,169       15,637  
      General Motors Co.   6.600%   4/1/36     12,842       15,114  
      General Motors Co.   5.150%   4/1/38     7,783       7,971  
      General Motors Co.   6.250%   10/2/43     17,143       19,164  
      General Motors Co.   5.200%   4/1/45     17,012       17,067  
      General Motors Co.   6.750%   4/1/46     13,368       15,659  
      General Motors Co.   5.400%   4/1/48     15,246       15,692  
      General Motors Co.   5.950%   4/1/49     8,629       9,548  
      General Motors Financial Co. Inc.   4.200%   3/1/21     15,688       16,017  
      General Motors Financial Co. Inc.   3.550%   4/9/21     7,760       7,881  
      General Motors Financial Co. Inc.   3.200%   7/6/21     11,731       11,873  
      General Motors Financial Co. Inc.   4.375%   9/25/21     6,900       7,145  
      General Motors Financial Co. Inc.   4.200%   11/6/21     4,800       4,963  
      General Motors Financial Co. Inc.   3.450%   1/14/22     6,389       6,537  
      General Motors Financial Co. Inc.   3.450%   4/10/22     15,710       16,068  
      General Motors Financial Co. Inc.   3.150%   6/30/22     8,815       8,977  
      General Motors Financial Co. Inc.   3.550%   7/8/22     6,350       6,533  
      General Motors Financial Co. Inc.   3.250%   1/5/23     3,895       3,972  
      General Motors Financial Co. Inc.   3.700%   5/9/23     13,060       13,464  
      General Motors Financial Co. Inc.   4.250%   5/15/23     13,292       13,992  
      General Motors Financial Co. Inc.   4.150%   6/19/23     8,700       9,144  
      General Motors Financial Co. Inc.   5.100%   1/17/24     16,650       18,067  
      General Motors Financial Co. Inc.   3.950%   4/13/24     14,911       15,585  
      General Motors Financial Co. Inc.   3.500%   11/7/24     18,702       19,244  
      General Motors Financial Co. Inc.   4.000%   1/15/25     11,201       11,770  
      General Motors Financial Co. Inc.   4.350%   4/9/25     10,565       11,304  
      General Motors Financial Co. Inc.   4.300%   7/13/25     10,334       11,026  
      General Motors Financial Co. Inc.   5.250%   3/1/26     9,925       11,004  
      General Motors Financial Co. Inc.   4.000%   10/6/26     10,971       11,472  
      General Motors Financial Co. Inc.   4.350%   1/17/27     19,380       20,403  
      General Motors Financial Co. Inc.   3.850%   1/5/28     7,550       7,671  
      General Motors Financial Co. Inc.   5.650%   1/17/29     8,225       9,331  
      GLP Capital LP / GLP Financing II Inc.   4.375%   4/15/21     1,000       1,018  
      GLP Capital LP / GLP Financing II Inc.   5.375%   11/1/23     5,700       6,195  
      GLP Capital LP / GLP Financing II Inc.   5.250%   6/1/25     10,275       11,202  
      GLP Capital LP / GLP Financing II Inc.   5.375%   4/15/26     10,020       10,952  
      GLP Capital LP / GLP Financing II Inc.   5.750%   6/1/28     1,050       1,186  
      GLP Capital LP / GLP Financing II Inc.   5.300%   1/15/29     3,975       4,428  

 

74

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      GLP Capital LP / GLP Financing II Inc.   4.000%   1/15/30     7,800       7,941  
      Harley-Davidson Inc.   3.500%   7/28/25     9,360       9,702  
      Harley-Davidson Inc.   4.625%   7/28/45     7,540       7,751  
      Harman International Industries Inc.   4.150%   5/15/25     4,325       4,599  
      Home Depot Inc.   2.000%   4/1/21     12,534       12,565  
      Home Depot Inc.   4.400%   4/1/21     35,273       36,170  
      Home Depot Inc.   3.250%   3/1/22     5,565       5,747  
      Home Depot Inc.   2.625%   6/1/22     18,610       18,977  
      Home Depot Inc.   2.700%   4/1/23     5,130       5,253  
      Home Depot Inc.   3.750%   2/15/24     12,323       13,168  
      Home Depot Inc.   3.350%   9/15/25     5,665       6,050  
      Home Depot Inc.   3.000%   4/1/26     15,275       15,948  
      Home Depot Inc.   2.125%   9/15/26     12,675       12,639  
      Home Depot Inc.   2.800%   9/14/27     14,600       15,132  
      Home Depot Inc.   3.900%   12/6/28     6,500       7,252  
      Home Depot Inc.   2.950%   6/15/29     13,800       14,331  
      Home Depot Inc.   5.875%   12/16/36     33,228       45,739  
      Home Depot Inc.   5.400%   9/15/40     7,373       9,653  
      Home Depot Inc.   5.950%   4/1/41     12,878       18,100  
      Home Depot Inc.   4.200%   4/1/43     19,227       22,333  
      Home Depot Inc.   4.875%   2/15/44     10,693       13,537  
      Home Depot Inc.   4.400%   3/15/45     9,911       11,798  
      Home Depot Inc.   4.250%   4/1/46     13,943       16,425  
      Home Depot Inc.   3.900%   6/15/47     10,100       11,382  
      Home Depot Inc.   4.500%   12/6/48     10,930       13,463  
      Home Depot Inc.   3.500%   9/15/56     12,931       13,541  
      Hyatt Hotels Corp.   5.375%   8/15/21     1,347       1,405  
      Hyatt Hotels Corp.   3.375%   7/15/23     3,601       3,699  
      Hyatt Hotels Corp.   4.850%   3/15/26     1,275       1,411  
      Hyatt Hotels Corp.   4.375%   9/15/28     7,005       7,603  
      IHS Markit Ltd.   3.625%   5/1/24     5,170       5,364  
      IHS Markit Ltd.   4.750%   8/1/28     8,735       9,718  
      IHS Markit Ltd.   4.250%   5/1/29     7,395       7,968  
      JD.com Inc.   3.875%   4/29/26     5,420       5,617  
      Kohl's Corp.   3.250%   2/1/23     1,108       1,127  
      Kohl's Corp.   4.750%   12/15/23     584       622  
      Kohl's Corp.   4.250%   7/17/25     6,240       6,636  
      Kohl's Corp.   5.550%   7/17/45     5,465       5,566  
      Las Vegas Sands Corp.   3.200%   8/8/24     6,250       6,447  
      Las Vegas Sands Corp.   2.900%   6/25/25     7,500       7,575  
      Las Vegas Sands Corp.   3.500%   8/18/26     5,400       5,552  
      Las Vegas Sands Corp.   3.900%   8/8/29     4,050       4,225  
      Lear Corp.   5.250%   1/15/25     7,062       7,269  
      Lear Corp.   3.800%   9/15/27     4,825       4,878  
      Lear Corp.   4.250%   5/15/29     7,950       8,195  
      Lear Corp.   5.250%   5/15/49     8,030       8,344  
      Lowe's Cos. Inc.   3.750%   4/15/21     2,097       2,133  
      Lowe's Cos. Inc.   3.800%   11/15/21     2,300       2,367  
      Lowe's Cos. Inc.   3.120%   4/15/22     8,893       9,102  
      Lowe's Cos. Inc.   3.875%   9/15/23     14,594       15,445  
      Lowe's Cos. Inc.   3.125%   9/15/24     15,508       16,106  
      Lowe's Cos. Inc.   3.375%   9/15/25     15,075       15,842  
      Lowe's Cos. Inc.   2.500%   4/15/26     18,062       18,187  
      Lowe's Cos. Inc.   3.100%   5/3/27     18,303       18,893  
      Lowe's Cos. Inc.   6.500%   3/15/29     1,214       1,540  
      Lowe's Cos. Inc.   3.650%   4/5/29     15,200       16,227  
      Lowe's Cos. Inc.   4.650%   4/15/42     9,174       10,438  
      Lowe's Cos. Inc.   4.250%   9/15/44     3,855       4,156  
      Lowe's Cos. Inc.   4.375%   9/15/45     10,795       11,809  
      Lowe's Cos. Inc.   3.700%   4/15/46     16,236       16,502  
      Lowe's Cos. Inc.   4.050%   5/3/47     18,150       19,571  
      Lowe's Cos. Inc.   4.550%   4/5/49     12,000       14,002  
      Macy's Retail Holdings Inc.   3.450%   1/15/21     2,535       2,557  
      Macy's Retail Holdings Inc.   3.875%   1/15/22     623       635  

 

75

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Macy's Retail Holdings Inc.   2.875%   2/15/23     13,725       13,663  
      Macy's Retail Holdings Inc.   3.625%   6/1/24     5,475       5,523  
      Macy's Retail Holdings Inc.   4.500%   12/15/34     4,559       4,327  
      Magna International Inc.   3.625%   6/15/24     13,927       14,631  
      Magna International Inc.   4.150%   10/1/25     1,708       1,836  
      Marriott International Inc.   2.875%   3/1/21     5,125       5,175  
      Marriott International Inc.   3.125%   10/15/21     4,202       4,269  
      Marriott International Inc.   2.300%   1/15/22     4,850       4,869  
      Marriott International Inc.   3.250%   9/15/22     4,500       4,618  
      Marriott International Inc.   2.125%   10/3/22     5,800       5,798  
      Marriott International Inc.   3.600%   4/15/24     2,900       3,047  
      Marriott International Inc.   3.750%   3/15/25     5,005       5,284  
      Marriott International Inc.   3.750%   10/1/25     4,510       4,788  
      Marriott International Inc.   3.125%   6/15/26     7,639       7,904  
      Marriott International Inc.   4.000%   4/15/28     8,642       9,315  
      Mastercard Inc.   2.000%   11/21/21     6,200       6,230  
      Mastercard Inc.   3.375%   4/1/24     10,137       10,744  
      Mastercard Inc.   2.000%   3/3/25     16,080       15,991  
      Mastercard Inc.   2.950%   11/21/26     12,190       12,713  
      Mastercard Inc.   3.500%   2/26/28     5,545       5,999  
      Mastercard Inc.   2.950%   6/1/29     12,000       12,509  
      Mastercard Inc.   3.800%   11/21/46     5,988       6,704  
      Mastercard Inc.   3.950%   2/26/48     6,840       7,890  
      Mastercard Inc.   3.650%   6/1/49     14,900       16,421  
      McDonald's Corp.   2.750%   12/9/20     10,406       10,472  
      McDonald's Corp.   3.625%   5/20/21     3,332       3,407  
      McDonald's Corp.   2.625%   1/15/22     16,462       16,684  
      McDonald's Corp.   3.350%   4/1/23     13,835       14,405  
      McDonald's Corp.   3.250%   6/10/24     2,735       2,864  
      McDonald's Corp.   3.375%   5/26/25     14,540       15,346  
      McDonald's Corp.   3.700%   1/30/26     18,474       19,824  
      McDonald's Corp.   3.500%   3/1/27     12,414       13,226  
      McDonald's Corp.   3.800%   4/1/28     22,200       24,077  
      McDonald's Corp.   2.625%   9/1/29     11,350       11,322  
      McDonald's Corp.   4.700%   12/9/35     11,607       13,794  
      McDonald's Corp.   6.300%   10/15/37     4,413       5,991  
      McDonald's Corp.   6.300%   3/1/38     11,731       15,962  
      McDonald's Corp.   5.700%   2/1/39     11,152       14,170  
      McDonald's Corp.   3.700%   2/15/42     7,379       7,523  
      McDonald's Corp.   3.625%   5/1/43     5,608       5,616  
      McDonald's Corp.   4.600%   5/26/45     7,296       8,366  
      McDonald's Corp.   4.875%   12/9/45     20,405       24,609  
      McDonald's Corp.   4.450%   3/1/47     9,117       10,447  
      McDonald's Corp.   4.450%   9/1/48     8,570       9,761  
      McDonald's Corp.   3.625%   9/1/49     11,655       11,829  
      NIKE Inc.   2.250%   5/1/23     2,240       2,277  
      NIKE Inc.   2.375%   11/1/26     18,230       18,527  
      NIKE Inc.   3.625%   5/1/43     8,079       8,807  
      NIKE Inc.   3.875%   11/1/45     14,504       16,502  
      NIKE Inc.   3.375%   11/1/46     8,120       8,562  
      Nordstrom Inc.   4.000%   10/15/21     9,606       9,855  
      Nordstrom Inc.   4.000%   3/15/27     4,290       4,446  
      Nordstrom Inc.   6.950%   3/15/28     760       918  
      Nordstrom Inc.   4.375%   4/1/30     4,500       4,584  
      Nordstrom Inc.   5.000%   1/15/44     10,622       10,305  
      NVR Inc.   3.950%   9/15/22     8,836       9,209  
      O'Reilly Automotive Inc.   4.875%   1/14/21     950       971  
      O'Reilly Automotive Inc.   4.625%   9/15/21     2,068       2,142  
      O'Reilly Automotive Inc.   3.800%   9/1/22     3,941       4,090  
      O'Reilly Automotive Inc.   3.850%   6/15/23     7,425       7,761  
      O'Reilly Automotive Inc.   3.550%   3/15/26     3,398       3,576  
      O'Reilly Automotive Inc.   3.600%   9/1/27     17,644       18,838  
      O'Reilly Automotive Inc.   4.350%   6/1/28     2,000       2,227  
      PACCAR Financial Corp.   2.050%   11/13/20     5,420       5,426  

 

76

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      PACCAR Financial Corp.   2.250%   2/25/21     3,000       3,012  
      PACCAR Financial Corp.   2.800%   3/1/21     4,050       4,094  
      PACCAR Financial Corp.   3.150%   8/9/21     1,745       1,780  
      PACCAR Financial Corp.   2.850%   3/1/22     3,140       3,205  
      PACCAR Financial Corp.   2.650%   5/10/22     6,050       6,162  
      PACCAR Financial Corp.   2.300%   8/10/22     4,825       4,876  
      PACCAR Financial Corp.   2.000%   9/26/22     1,735       1,744  
      PACCAR Financial Corp.   3.400%   8/9/23     6,345       6,622  
      PACCAR Financial Corp.   2.150%   8/15/24     4,680       4,667  
      QVC Inc.   5.125%   7/2/22     4,306       4,535  
      QVC Inc.   4.375%   3/15/23     5,103       5,258  
      QVC Inc.   4.850%   4/1/24     7,558       7,934  
      QVC Inc.   4.450%   2/15/25     2,702       2,789  
      QVC Inc.   5.450%   8/15/34     7,309       6,982  
      QVC Inc.   5.950%   3/15/43     4,423       4,199  
      Ralph Lauren Corp.   3.750%   9/15/25     4,700       5,050  
      Royal Caribbean Cruises Ltd.   5.250%   11/15/22     4,650       5,016  
      Royal Caribbean Cruises Ltd.   3.700%   3/15/28     8,513       8,800  
      Sands China Ltd.   4.600%   8/8/23     19,445       20,442  
      Sands China Ltd.   5.125%   8/8/25     19,175       21,116  
      Sands China Ltd.   5.400%   8/8/28     20,375       22,922  
      Starbucks Corp.   2.100%   2/4/21     8,203       8,214  
      Starbucks Corp.   2.700%   6/15/22     4,075       4,152  
      Starbucks Corp.   3.100%   3/1/23     14,710       15,177  
      Starbucks Corp.   3.850%   10/1/23     7,520       7,966  
      Starbucks Corp.   3.800%   8/15/25     24,425       26,305  
      Starbucks Corp.   2.450%   6/15/26     11,586       11,698  
      Starbucks Corp.   3.500%   3/1/28     7,185       7,672  
      Starbucks Corp.   4.000%   11/15/28     7,725       8,547  
      Starbucks Corp.   3.550%   8/15/29     150       163  
      Starbucks Corp.   4.300%   6/15/45     4,131       4,568  
      Starbucks Corp.   3.750%   12/1/47     8,325       8,526  
      Starbucks Corp.   4.500%   11/15/48     10,727       12,315  
      Starbucks Corp.   4.450%   8/15/49     500       576  
      Tapestry Inc.   3.000%   7/15/22     3,764       3,811  
      Tapestry Inc.   4.250%   4/1/25     5,554       5,848  
      Tapestry Inc.   4.125%   7/15/27     8,540       8,695  
      Target Corp.   2.900%   1/15/22     13,417       13,726  
      Target Corp.   3.500%   7/1/24     15,242       16,322  
      Target Corp.   2.500%   4/15/26     10,568       10,811  
      Target Corp.   3.375%   4/15/29     11,525       12,505  
      Target Corp.   6.350%   11/1/32     5,291       7,395  
      Target Corp.   6.500%   10/15/37     5,137       7,601  
      Target Corp.   7.000%   1/15/38     5,545       8,609  
      Target Corp.   4.000%   7/1/42     21,677       24,802  
      Target Corp.   3.625%   4/15/46     11,175       12,216  
      Target Corp.   3.900%   11/15/47     5,625       6,455  
      TJX Cos. Inc.   2.750%   6/15/21     12,850       13,009  
      TJX Cos. Inc.   2.500%   5/15/23     10,068       10,258  
      TJX Cos. Inc.   2.250%   9/15/26     19,685       19,684  
      Toyota Motor Corp.   3.183%   7/20/21     11,105       11,330  
      Toyota Motor Corp.   2.157%   7/2/22     6,825       6,878  
      Toyota Motor Corp.   3.419%   7/20/23     13,875       14,543  
      Toyota Motor Corp.   2.358%   7/2/24     8,250       8,382  
      Toyota Motor Corp.   3.669%   7/20/28     5,900       6,481  
      Toyota Motor Corp.   2.760%   7/2/29     10,000       10,298  
      Toyota Motor Credit Corp.   3.050%   1/8/21     1,075       1,087  
      Toyota Motor Credit Corp.   4.250%   1/11/21     2,685       2,749  
      Toyota Motor Credit Corp.   1.900%   4/8/21     12,465       12,475  
      Toyota Motor Credit Corp.   2.950%   4/13/21     18,030       18,288  
      Toyota Motor Credit Corp.   2.750%   5/17/21     9,366       9,475  
      Toyota Motor Credit Corp.   3.400%   9/15/21     16,096       16,498  
      Toyota Motor Credit Corp.   1.800%   10/7/21     3,000       2,997  
      Toyota Motor Credit Corp.   2.600%   1/11/22     12,250       12,433  

 

77

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Toyota Motor Credit Corp.   3.300%   1/12/22     17,136       17,612  
      Toyota Motor Credit Corp.   2.650%   4/12/22     15,100       15,346  
      Toyota Motor Credit Corp.   2.800%   7/13/22     3,883       3,970  
      Toyota Motor Credit Corp.   2.150%   9/8/22     16,385       16,512  
      Toyota Motor Credit Corp.   2.625%   1/10/23     9,305       9,485  
      Toyota Motor Credit Corp.   2.700%   1/11/23     8,290       8,458  
      Toyota Motor Credit Corp.   2.250%   10/18/23     5,803       5,849  
      Toyota Motor Credit Corp.   2.900%   4/17/24     11,700       12,104  
      Toyota Motor Credit Corp.   3.400%   4/14/25     12,715       13,523  
      Toyota Motor Credit Corp.   3.200%   1/11/27     9,105       9,625  
      Toyota Motor Credit Corp.   3.050%   1/11/28     11,951       12,535  
      Toyota Motor Credit Corp.   3.650%   1/8/29     4,870       5,354  
      VF Corp.   3.500%   9/1/21     5,550       5,675  
      VF Corp.   6.450%   11/1/37     5,194       7,217  
      Visa Inc.   2.200%   12/14/20     30,685       30,796  
      Visa Inc.   2.150%   9/15/22     6,009       6,074  
      Visa Inc.   2.800%   12/14/22     32,242       33,128  
      Visa Inc.   3.150%   12/14/25     65,357       69,005  
      Visa Inc.   2.750%   9/15/27     14,268       14,885  
      Visa Inc.   4.150%   12/14/35     20,427       24,078  
      Visa Inc.   4.300%   12/14/45     37,085       45,666  
      Visa Inc.   3.650%   9/15/47     7,700       8,634  
      Wal-Mart Stores Inc.   4.750%   10/2/43     11,932       15,151  
      Walgreen Co.   3.100%   9/15/22     12,647       12,898  
      Walgreen Co.   4.400%   9/15/42     8,399       8,338  
      Walgreens Boots Alliance Inc.   3.300%   11/18/21     12,535       12,769  
      Walgreens Boots Alliance Inc.   3.800%   11/18/24     20,266       21,086  
      Walgreens Boots Alliance Inc.   3.450%   6/1/26     20,555       20,860  
      Walgreens Boots Alliance Inc.   4.500%   11/18/34     3,370       3,469  
      Walgreens Boots Alliance Inc.   4.800%   11/18/44     15,574       15,847  
      Walgreens Boots Alliance Inc.   4.650%   6/1/46     6,681       6,696  
      Walmart Inc.   1.900%   12/15/20     33,107       33,150  
      Walmart Inc.   3.125%   6/23/21     12,150       12,400  
      Walmart Inc.   2.350%   12/15/22     27,712       28,181  
      Walmart Inc.   2.550%   4/11/23     24,210       24,700  
      Walmart Inc.   3.400%   6/26/23     12,750       13,388  
      Walmart Inc.   3.300%   4/22/24     22,273       23,383  
      Walmart Inc.   2.850%   7/8/24     8,450       8,743  
      Walmart Inc.   2.650%   12/15/24     18,905       19,483  
      Walmart Inc.   3.550%   6/26/25     23,175       24,797  
      Walmart Inc.   3.050%   7/8/26     14,500       15,227  
      Walmart Inc.   5.875%   4/5/27     13,915       17,135  
      Walmart Inc.   3.700%   6/26/28     25,155       27,693  
      Walmart Inc.   3.250%   7/8/29     11,500       12,330  
      Walmart Inc.   2.375%   9/24/29     6,550       6,557  
      Walmart Inc.   7.550%   2/15/30     6,755       9,777  
      Walmart Inc.   5.250%   9/1/35     20,867       27,357  
      Walmart Inc.   6.200%   4/15/38     9,629       14,020  
      Walmart Inc.   3.950%   6/28/38     10,548       12,248  
      Walmart Inc.   5.625%   4/1/40     7,070       9,810  
      Walmart Inc.   4.875%   7/8/40     6,215       7,861  
      Walmart Inc.   5.000%   10/25/40     3,315       4,314  
      Walmart Inc.   5.625%   4/15/41     6,542       9,324  
      Walmart Inc.   4.000%   4/11/43     12,897       14,843  
      Walmart Inc.   4.300%   4/22/44     7,303       8,727  
      Walmart Inc.   3.625%   12/15/47     7,065       7,820  
      Walmart Inc.   4.050%   6/29/48     28,075       33,059  
      Walmart Inc.   2.950%   9/24/49     7,645       7,484  
      Western Union Co.   3.600%   3/15/22     12,100       12,485  
      Western Union Co.   2.850%   1/10/25     5,700       5,716  
      Western Union Co.   6.200%   11/17/36     5,508       6,246  
      Western Union Co.   6.200%   6/21/40     3,400       3,748  

 

78

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Consumer Noncyclical (4.4%)                        
      Abbott Laboratories   2.550%   3/15/22     8,950       9,095  
      Abbott Laboratories   3.400%   11/30/23     22,043       23,150  
      Abbott Laboratories   2.950%   3/15/25     7,835       8,125  
      Abbott Laboratories   3.875%   9/15/25     6,245       6,798  
      Abbott Laboratories   3.750%   11/30/26     22,152       24,173  
      Abbott Laboratories   4.750%   11/30/36     27,975       34,859  
      Abbott Laboratories   6.150%   11/30/37     6,141       8,601  
      Abbott Laboratories   6.000%   4/1/39     2,050       2,916  
      Abbott Laboratories   5.300%   5/27/40     3,564       4,651  
      Abbott Laboratories   4.750%   4/15/43     8,775       11,022  
      Abbott Laboratories   4.900%   11/30/46     37,410       48,846  
      AbbVie Inc.   2.300%   5/14/21     22,736       22,803  
      AbbVie Inc.   3.375%   11/14/21     10,000       10,248  
7     AbbVie Inc.   2.150%   11/19/21     10,000       10,026  
      AbbVie Inc.   2.900%   11/6/22     33,000       33,654  
      AbbVie Inc.   3.200%   11/6/22     22,892       23,534  
7     AbbVie Inc.   2.300%   11/21/22     33,475       33,600  
      AbbVie Inc.   2.850%   5/14/23     15,825       16,128  
      AbbVie Inc.   3.750%   11/14/23     14,000       14,727  
7     AbbVie Inc.   2.600%   11/21/24     39,915       40,185  
      AbbVie Inc.   3.600%   5/14/25     42,918       45,297  
      AbbVie Inc.   3.200%   5/14/26     22,242       23,005  
7     AbbVie Inc.   2.950%   11/21/26     43,280       43,882  
      AbbVie Inc.   4.250%   11/14/28     18,725       20,698  
7     AbbVie Inc.   3.200%   11/21/29     63,790       64,941  
      AbbVie Inc.   4.500%   5/14/35     29,418       33,068  
      AbbVie Inc.   4.300%   5/14/36     14,206       15,592  
7     AbbVie Inc.   4.050%   11/21/39     43,600       45,555  
      AbbVie Inc.   4.400%   11/6/42     29,816       32,145  
      AbbVie Inc.   4.700%   5/14/45     33,942       37,889  
      AbbVie Inc.   4.450%   5/14/46     26,422       28,443  
      AbbVie Inc.   4.875%   11/14/48     19,725       22,647  
7     AbbVie Inc.   4.250%   11/21/49     60,470       63,656  
      Actavis Inc.   3.250%   10/1/22     22,592       23,086  
      Adventist Health System   2.952%   3/1/29     6,875       6,784  
      Adventist Health System   3.630%   3/1/49     4,750       4,624  
      Advocate Health & Hospitals Corp.   3.829%   8/15/28     2,725       2,949  
      Advocate Health & Hospitals Corp.   4.272%   8/15/48     4,925       5,603  
      Advocate Health & Hospitals Corp.   3.387%   10/15/49     4,715       4,699  
      Agilent Technologies Inc.   3.200%   10/1/22     6,175       6,317  
      Agilent Technologies Inc.   3.875%   7/15/23     7,106       7,448  
      Agilent Technologies Inc.   3.050%   9/22/26     5,775       5,888  
      Ahold Finance USA LLC   6.875%   5/1/29     1,005       1,305  
      AHS Hospital Corp.   5.024%   7/1/45     4,650       5,764  
      Allergan Finance LLC   4.625%   10/1/42     9,274       9,651  
      Allergan Funding SCS   3.450%   3/15/22     27,059       27,679  
      Allergan Funding SCS   3.850%   6/15/24     13,471       14,113  
      Allergan Funding SCS   3.800%   3/15/25     33,969       35,584  
      Allergan Funding SCS   4.550%   3/15/35     17,490       18,573  
      Allergan Funding SCS   4.850%   6/15/44     14,989       16,643  
      Allergan Funding SCS   4.750%   3/15/45     5,365       5,831  
      Allergan Inc.   2.800%   3/15/23     9,290       9,357  
      Allina Health System   3.887%   4/15/49     4,725       5,028  
      Altria Group Inc.   4.750%   5/5/21     10,697       11,067  
      Altria Group Inc.   3.490%   2/14/22     12,150       12,500  
      Altria Group Inc.   2.850%   8/9/22     15,220       15,499  
      Altria Group Inc.   2.950%   5/2/23     12,540       12,680  
      Altria Group Inc.   4.000%   1/31/24     14,955       15,841  
      Altria Group Inc.   3.800%   2/14/24     9,407       9,889  
      Altria Group Inc.   4.400%   2/14/26     17,305       18,793  
      Altria Group Inc.   2.625%   9/16/26     4,285       4,234  
      Altria Group Inc.   4.800%   2/14/29     30,095       33,418  

 

79

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Altria Group Inc.   5.800%   2/14/39     30,400       35,548  
      Altria Group Inc.   4.250%   8/9/42     9,799       9,745  
      Altria Group Inc.   4.500%   5/2/43     11,067       11,234  
      Altria Group Inc.   5.375%   1/31/44     20,057       22,586  
      Altria Group Inc.   3.875%   9/16/46     10,320       9,584  
      Altria Group Inc.   5.950%   2/14/49     26,950       32,584  
      Altria Group Inc.   6.200%   2/14/59     6,183       7,308  
      AmerisourceBergen Corp.   3.500%   11/15/21     8,597       8,804  
      AmerisourceBergen Corp.   3.400%   5/15/24     6,762       7,008  
      AmerisourceBergen Corp.   3.250%   3/1/25     5,205       5,379  
      AmerisourceBergen Corp.   3.450%   12/15/27     9,350       9,695  
      AmerisourceBergen Corp.   4.250%   3/1/45     1,485       1,508  
      AmerisourceBergen Corp.   4.300%   12/15/47     12,940       13,266  
      Amgen Inc.   4.100%   6/15/21     13,330       13,669  
      Amgen Inc.   1.850%   8/19/21     8,341       8,325  
      Amgen Inc.   3.875%   11/15/21     8,830       9,108  
      Amgen Inc.   2.700%   5/1/22     6,522       6,608  
      Amgen Inc.   2.650%   5/11/22     16,011       16,241  
      Amgen Inc.   3.625%   5/15/22     17,254       17,843  
      Amgen Inc.   2.250%   8/19/23     15,000       15,128  
      Amgen Inc.   3.625%   5/22/24     20,855       22,014  
      Amgen Inc.   3.125%   5/1/25     11,672       12,184  
      Amgen Inc.   2.600%   8/19/26     24,312       24,568  
      Amgen Inc.   3.200%   11/2/27     9,290       9,737  
      Amgen Inc.   4.950%   10/1/41     11,363       13,494  
      Amgen Inc.   5.150%   11/15/41     7,290       8,817  
      Amgen Inc.   4.400%   5/1/45     30,237       33,892  
      Amgen Inc.   4.563%   6/15/48     19,991       23,062  
      Amgen Inc.   4.663%   6/15/51     42,483       49,953  
      Anheuser-Busch Cos. LLC / Anheuser-Busch InBev World wide Inc.   4.900%   2/1/46     151,334       179,201  
      Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.   3.650%   2/1/26     47,434       50,496  
      Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.   4.700%   2/1/36     76,328       88,024  
      Anheuser-Busch InBev Finance Inc.   2.625%   1/17/23     11,685       11,880  
      Anheuser-Busch InBev Finance Inc.   3.300%   2/1/23     31,750       32,847  
      Anheuser-Busch InBev Finance Inc.   3.700%   2/1/24     9,936       10,529  
      Anheuser-Busch InBev Finance Inc.   3.650%   2/1/26     9,405       10,046  
      Anheuser-Busch InBev Finance Inc.   4.700%   2/1/36     3,450       3,980  
      Anheuser-Busch InBev Finance Inc.   4.000%   1/17/43     16,219       17,107  
      Anheuser-Busch InBev Finance Inc.   4.625%   2/1/44     10,916       12,295  
      Anheuser-Busch InBev Finance Inc.   4.900%   2/1/46     8,410       9,918  
      Anheuser-Busch InBev Worldwide Inc.   4.375%   2/15/21     2,847       2,912  
      Anheuser-Busch InBev Worldwide Inc.   2.500%   7/15/22     5,165       5,253  
      Anheuser-Busch InBev Worldwide Inc.   3.500%   1/12/24     8,125       8,558  
      Anheuser-Busch InBev Worldwide Inc.   4.150%   1/23/25     27,035       29,411  
      Anheuser-Busch InBev Worldwide Inc.   4.000%   4/13/28     33,354       36,625  
      Anheuser-Busch InBev Worldwide Inc.   4.750%   1/23/29     56,145       65,019  
      Anheuser-Busch InBev Worldwide Inc.   4.900%   1/23/31     21,635       25,745  
      Anheuser-Busch InBev Worldwide Inc.   4.375%   4/15/38     18,135       20,335  
      Anheuser-Busch InBev Worldwide Inc.   8.200%   1/15/39     3,518       5,512  
      Anheuser-Busch InBev Worldwide Inc.   5.450%   1/23/39     5,425       6,821  
      Anheuser-Busch InBev Worldwide Inc.   4.950%   1/15/42     20,286       23,908  
      Anheuser-Busch InBev Worldwide Inc.   3.750%   7/15/42     20,992       21,249  
      Anheuser-Busch InBev Worldwide Inc.   4.600%   4/15/48     25,530       29,013  
      Anheuser-Busch InBev Worldwide Inc.   4.439%   10/6/48     24,891       27,813  
      Anheuser-Busch InBev Worldwide Inc.   5.550%   1/23/49     43,983       57,009  
      Anheuser-Busch InBev Worldwide Inc.   4.750%   4/15/58     17,300       20,195  
      Anheuser-Busch InBev Worldwide Inc.   5.800%   1/23/59     12,075       16,457  
      Archer-Daniels-Midland Co.   4.479%   3/1/21     5,758       5,925  
      Archer-Daniels-Midland Co.   3.375%   3/15/22     7,000       7,203  
      Archer-Daniels-Midland Co.   2.500%   8/11/26     12,567       12,758  
      Archer-Daniels-Midland Co.   5.935%   10/1/32     3,305       4,324  

 

80

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Archer-Daniels-Midland Co.   5.375%   9/15/35     1,863       2,354  
      Archer-Daniels-Midland Co.   4.535%   3/26/42     11,000       13,051  
      Archer-Daniels-Midland Co.   4.016%   4/16/43     7,769       8,604  
      Archer-Daniels-Midland Co.   3.750%   9/15/47     6,375       6,942  
      Archer-Daniels-Midland Co.   4.500%   3/15/49     6,725       8,204  
      Ascension Health   2.532%   11/15/29     6,544       6,460  
      Ascension Health   3.106%   11/15/39     5,000       4,917  
      Ascension Health   3.945%   11/15/46     5,285       5,842  
4     Ascension Health   4.847%   11/15/53     7,500       9,443  
      AstraZeneca plc   2.375%   6/12/22     10,125       10,206  
      AstraZeneca plc   3.500%   8/17/23     11,425       11,939  
      AstraZeneca plc   3.375%   11/16/25     24,935       26,421  
      AstraZeneca plc   3.125%   6/12/27     8,705       9,055  
      AstraZeneca plc   4.000%   1/17/29     12,250       13,582  
      AstraZeneca plc   6.450%   9/15/37     25,694       35,971  
      AstraZeneca plc   4.000%   9/18/42     14,086       15,536  
      AstraZeneca plc   4.375%   11/16/45     13,134       15,378  
      AstraZeneca plc   4.375%   8/17/48     8,555       10,180  
      BAT Capital Corp.   2.764%   8/15/22     19,575       19,844  
      BAT Capital Corp.   3.222%   8/15/24     28,700       29,317  
      BAT Capital Corp.   2.789%   9/6/24     11,875       11,939  
      BAT Capital Corp.   3.215%   9/6/26     12,650       12,712  
      BAT Capital Corp.   3.557%   8/15/27     39,365       40,077  
      BAT Capital Corp.   3.462%   9/6/29     6,150       6,231  
      BAT Capital Corp.   4.390%   8/15/37     29,695       30,101  
      BAT Capital Corp.   4.540%   8/15/47     18,200       18,196  
      BAT Capital Corp.   4.758%   9/6/49     12,165       12,549  
      Baxalta Inc.   3.600%   6/23/22     1,627       1,669  
      Baxalta Inc.   4.000%   6/23/25     8,830       9,474  
      Baxalta Inc.   5.250%   6/23/45     3,411       4,347  
      Baxter International Inc.   1.700%   8/15/21     7,800       7,786  
      Baxter International Inc.   2.600%   8/15/26     5,125       5,159  
      Baxter International Inc.   3.500%   8/15/46     5,350       5,168  
      Baylor Scott & White Holdings   4.185%   11/15/45     6,860       7,659  
      Baylor Scott & White Holdings   3.967%   11/15/46     795       860  
      Beam Suntory Inc.   3.250%   5/15/22     2,300       2,344  
      Beam Suntory Inc.   3.250%   6/15/23     1,050       1,067  
      Becton Dickinson & Co.   3.125%   11/8/21     12,608       12,848  
      Becton Dickinson & Co.   2.894%   6/6/22     19,255       19,563  
      Becton Dickinson & Co.   3.300%   3/1/23     4,700       4,786  
      Becton Dickinson & Co.   3.875%   5/15/24     100       105  
      Becton Dickinson & Co.   3.363%   6/6/24     19,815       20,595  
      Becton Dickinson & Co.   3.734%   12/15/24     14,946       15,835  
      Becton Dickinson & Co.   6.700%   12/1/26     3,450       4,122  
      Becton Dickinson & Co.   3.700%   6/6/27     24,256       25,788  
      Becton Dickinson & Co.   4.875%   5/15/44     1,428       1,642  
      Becton Dickinson & Co.   4.685%   12/15/44     11,607       13,466  
      Becton Dickinson & Co.   4.669%   6/6/47     17,000       20,122  
      Bestfoods   7.250%   12/15/26     250       324  
      Bio-Rad Laboratories Inc.   4.875%   12/15/20     3,450       3,532  
      Biogen Inc.   3.625%   9/15/22     12,379       12,879  
      Biogen Inc.   4.050%   9/15/25     22,510       24,453  
      Biogen Inc.   5.200%   9/15/45     20,275       24,383  
      Boston Scientific Corp.   3.375%   5/15/22     4,047       4,177  
      Boston Scientific Corp.   3.450%   3/1/24     5,600       5,854  
      Boston Scientific Corp.   3.850%   5/15/25     6,471       6,938  
      Boston Scientific Corp.   3.750%   3/1/26     6,505       6,966  
      Boston Scientific Corp.   4.000%   3/1/29     9,708       10,716  
      Boston Scientific Corp.   7.000%   11/15/35     6,095       8,508  
      Boston Scientific Corp.   4.550%   3/1/39     8,945       10,493  
      Boston Scientific Corp.   7.375%   1/15/40     1,415       2,156  
      Boston Scientific Corp.   4.700%   3/1/49     12,320       14,910  
7     Bristol-Myers Squibb Co.   2.875%   2/19/21     2,375       2,399  
7     Bristol-Myers Squibb Co.   2.550%   5/14/21     14,100       14,238  

 

81

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
7     Bristol-Myers Squibb Co.   2.250%   8/15/21     4,355       4,380  
7     Bristol-Myers Squibb Co.   2.600%   5/16/22     16,450       16,711  
      Bristol-Myers Squibb Co.   2.000%   8/1/22     10,515       10,582  
7     Bristol-Myers Squibb Co.   3.250%   8/15/22     13,300       13,708  
7     Bristol-Myers Squibb Co.   3.550%   8/15/22     6,555       6,773  
7     Bristol-Myers Squibb Co.   2.750%   2/15/23     7,550       7,670  
7     Bristol-Myers Squibb Co.   3.250%   2/20/23     7,355       7,557  
      Bristol-Myers Squibb Co.   7.150%   6/15/23     400       466  
7     Bristol-Myers Squibb Co.   4.000%   8/15/23     5,395       5,749  
      Bristol-Myers Squibb Co.   3.250%   11/1/23     5,200       5,432  
7     Bristol-Myers Squibb Co.   3.625%   5/15/24     17,418       18,331  
7     Bristol-Myers Squibb Co.   2.900%   7/26/24     46,150       47,560  
7     Bristol-Myers Squibb Co.   3.875%   8/15/25     31,693       34,226  
7     Bristol-Myers Squibb Co.   3.200%   6/15/26     25,780       27,008  
7     Bristol-Myers Squibb Co.   3.450%   11/15/27     8,687       9,238  
7     Bristol-Myers Squibb Co.   3.900%   2/20/28     16,326       17,795  
7     Bristol-Myers Squibb Co.   3.400%   7/26/29     48,830       52,163  
7     Bristol-Myers Squibb Co.   4.125%   6/15/39     23,316       26,886  
7     Bristol-Myers Squibb Co.   5.700%   10/15/40     4,725       6,284  
      Bristol-Myers Squibb Co.   3.250%   8/1/42     7,021       7,063  
7     Bristol-Myers Squibb Co.   5.250%   8/15/43     5,745       7,320  
      Bristol-Myers Squibb Co.   4.500%   3/1/44     5,925       6,958  
7     Bristol-Myers Squibb Co.   4.625%   5/15/44     9,939       11,957  
7     Bristol-Myers Squibb Co.   5.000%   8/15/45     25,472       32,173  
7     Bristol-Myers Squibb Co.   4.350%   11/15/47     17,133       20,381  
7     Bristol-Myers Squibb Co.   4.550%   2/20/48     9,250       11,356  
7     Bristol-Myers Squibb Co.   4.250%   10/26/49     42,685       50,308  
      Brown-Forman Corp.   3.500%   4/15/25     4,310       4,591  
      Brown-Forman Corp.   4.500%   7/15/45     5,778       7,103  
      Bunge Ltd. Finance Corp.   3.000%   9/25/22     10,250       10,394  
      Bunge Ltd. Finance Corp.   4.350%   3/15/24     7,000       7,351  
      Bunge Ltd. Finance Corp.   3.250%   8/15/26     6,315       6,290  
      Bunge Ltd. Finance Corp.   3.750%   9/25/27     7,000       7,194  
      Campbell Soup Co.   3.300%   3/15/21     9,750       9,884  
      Campbell Soup Co.   4.250%   4/15/21     1,641       1,693  
      Campbell Soup Co.   2.500%   8/2/22     2,814       2,829  
      Campbell Soup Co.   3.650%   3/15/23     12,990       13,529  
      Campbell Soup Co.   3.950%   3/15/25     12,166       12,907  
      Campbell Soup Co.   3.300%   3/19/25     7,225       7,427  
      Campbell Soup Co.   4.150%   3/15/28     11,490       12,427  
      Campbell Soup Co.   3.800%   8/2/42     3,628       3,551  
      Campbell Soup Co.   4.800%   3/15/48     8,010       9,256  
      Cardinal Health Inc.   4.625%   12/15/20     6,615       6,783  
      Cardinal Health Inc.   2.616%   6/15/22     10,980       11,088  
      Cardinal Health Inc.   3.200%   6/15/22     3,350       3,425  
      Cardinal Health Inc.   3.200%   3/15/23     5,875       6,023  
      Cardinal Health Inc.   3.079%   6/15/24     12,380       12,723  
      Cardinal Health Inc.   3.500%   11/15/24     3,460       3,615  
      Cardinal Health Inc.   3.750%   9/15/25     6,037       6,391  
      Cardinal Health Inc.   3.410%   6/15/27     13,674       13,976  
      Cardinal Health Inc.   4.600%   3/15/43     5,190       5,181  
      Cardinal Health Inc.   4.500%   11/15/44     5,130       5,045  
      Cardinal Health Inc.   4.900%   9/15/45     4,120       4,266  
      Cardinal Health Inc.   4.368%   6/15/47     6,450       6,385  
      Celgene Corp.   3.450%   11/15/27     275       293  
      Children's Hospital Corp.   4.115%   1/1/47     2,300       2,612  
      Children's Hospital Medical Center   4.268%   5/15/44     2,100       2,356  
      CHRISTUS Health   4.341%   7/1/28     6,750       7,433  
      Church & Dwight Co. Inc.   2.450%   8/1/22     2,080       2,099  
      Church & Dwight Co. Inc.   3.150%   8/1/27     5,450       5,665  
      Church & Dwight Co. Inc.   3.950%   8/1/47     4,125       4,494  
7     Cigna Corp.   3.300%   2/25/21     21,600       21,870  
      Cigna Corp.   3.400%   9/17/21     15,090       15,429  
7     Cigna Corp.   4.750%   11/15/21     18,173       19,050  

 

82

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
7     Cigna Corp.   3.900%   2/15/22     18,968       19,578  
7     Cigna Corp.   4.000%   2/15/22     7,915       8,158  
7     Cigna Corp.   3.050%   11/30/22     9,990       10,164  
7     Cigna Corp.   3.000%   7/15/23     23,667       23,995  
      Cigna Corp.   3.750%   7/15/23     12,370       12,906  
7     Cigna Corp.   3.500%   6/15/24     10,587       11,020  
7     Cigna Corp.   3.250%   4/15/25     14,795       15,219  
      Cigna Corp.   4.125%   11/15/25     15,032       16,266  
7     Cigna Corp.   4.500%   2/25/26     22,734       24,602  
7     Cigna Corp.   3.400%   3/1/27     21,740       22,494  
7     Cigna Corp.   7.875%   5/15/27     985       1,277  
7     Cigna Corp.   3.050%   10/15/27     16,670       16,740  
      Cigna Corp.   4.375%   10/15/28     34,300       37,964  
      Cigna Corp.   4.800%   8/15/38     17,730       20,403  
7     Cigna Corp.   6.125%   11/15/41     5,175       6,526  
7     Cigna Corp.   5.375%   2/15/42     633       724  
7     Cigna Corp.   4.800%   7/15/46     19,955       22,963  
7     Cigna Corp.   3.875%   10/15/47     9,650       9,691  
      Cigna Corp.   4.900%   12/15/48     33,855       40,143  
      City of Hope   5.623%   11/15/43     2,040       2,698  
      City of Hope   4.378%   8/15/48     9,600       11,025  
      Cleveland Clinic Foundation   4.858%   1/1/14     4,285       5,326  
      Clorox Co.   3.800%   11/15/21     1,780       1,838  
      Clorox Co.   3.050%   9/15/22     6,422       6,573  
      Clorox Co.   3.500%   12/15/24     6,250       6,605  
      Clorox Co.   3.100%   10/1/27     6,097       6,330  
      Clorox Co.   3.900%   5/15/28     6,400       7,021  
      Coca-Cola Co.   1.875%   10/27/20     20,175       20,171  
      Coca-Cola Co.   1.550%   9/1/21     10,575       10,558  
      Coca-Cola Co.   3.300%   9/1/21     7,827       8,014  
      Coca-Cola Co.   2.200%   5/25/22     5,347       5,398  
      Coca-Cola Co.   2.500%   4/1/23     3,524       3,596  
      Coca-Cola Co.   3.200%   11/1/23     15,959       16,751  
      Coca-Cola Co.   1.750%   9/6/24     9,500       9,467  
      Coca-Cola Co.   2.875%   10/27/25     15,265       15,904  
      Coca-Cola Co.   2.550%   6/1/26     9,400       9,617  
      Coca-Cola Co.   2.250%   9/1/26     21,030       21,160  
      Coca-Cola Co.   2.900%   5/25/27     3,000       3,140  
      Coca-Cola Co.   2.125%   9/6/29     7,000       6,805  
      Coca-Cola Consolidated Inc.   3.800%   11/25/25     8,300       8,692  
      Coca-Cola European Partners plc   3.250%   8/19/21     1,575       1,595  
      Coca-Cola Femsa SAB de CV   3.875%   11/26/23     9,600       10,144  
      Coca-Cola Femsa SAB de CV   5.250%   11/26/43     12,325       15,161  
      Colgate-Palmolive Co.   2.450%   11/15/21     3,020       3,059  
      Colgate-Palmolive Co.   2.300%   5/3/22     7,535       7,645  
      Colgate-Palmolive Co.   2.250%   11/15/22     13,775       13,961  
      Colgate-Palmolive Co.   1.950%   2/1/23     5,075       5,095  
      Colgate-Palmolive Co.   2.100%   5/1/23     7,008       7,061  
      Colgate-Palmolive Co.   3.250%   3/15/24     6,400       6,766  
      Colgate-Palmolive Co.   4.000%   8/15/45     6,142       7,310  
      Colgate-Palmolive Co.   3.700%   8/1/47     6,650       7,648  
      CommonSpirit Health   2.950%   11/1/22     4,987       5,069  
      CommonSpirit Health   2.760%   10/1/24     6,930       6,971  
      CommonSpirit Health   3.347%   10/1/29     11,800       11,870  
4     CommonSpirit Health   4.350%   11/1/42     10,750       11,040  
      CommonSpirit Health   3.817%   10/1/49     3,000       2,914  
      CommonSpirit Health   4.187%   10/1/49     11,560       11,528  
      Conagra Brands Inc.   3.800%   10/22/21     11,950       12,313  
      Conagra Brands Inc.   3.250%   9/15/22     9,012       9,216  
      Conagra Brands Inc.   3.200%   1/25/23     8,728       8,991  
      Conagra Brands Inc.   4.300%   5/1/24     13,125       14,096  
      Conagra Brands Inc.   4.600%   11/1/25     8,340       9,188  
      Conagra Brands Inc.   7.000%   10/1/28     1,070       1,324  
      Conagra Brands Inc.   4.850%   11/1/28     16,195       18,484  

 

83

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Conagra Brands Inc.   8.250%   9/15/30     5,707       7,845  
      Conagra Brands Inc.   5.300%   11/1/38     12,275       14,554  
      Conagra Brands Inc.   5.400%   11/1/48     11,310       13,768  
      Constellation Brands Inc.   3.750%   5/1/21     5,380       5,494  
      Constellation Brands Inc.   2.700%   5/9/22     8,350       8,453  
      Constellation Brands Inc.   2.650%   11/7/22     10,100       10,235  
      Constellation Brands Inc.   3.200%   2/15/23     8,250       8,465  
      Constellation Brands Inc.   4.250%   5/1/23     18,540       19,639  
      Constellation Brands Inc.   4.750%   11/15/24     8,143       8,991  
      Constellation Brands Inc.   4.400%   11/15/25     5,720       6,233  
      Constellation Brands Inc.   4.750%   12/1/25     4,030       4,483  
      Constellation Brands Inc.   3.700%   12/6/26     7,840       8,323  
      Constellation Brands Inc.   3.500%   5/9/27     5,400       5,624  
      Constellation Brands Inc.   3.600%   2/15/28     11,000       11,553  
      Constellation Brands Inc.   3.150%   8/1/29     10,500       10,608  
      Constellation Brands Inc.   4.500%   5/9/47     5,250       5,638  
      Constellation Brands Inc.   4.100%   2/15/48     6,280       6,557  
      Constellation Brands Inc.   5.250%   11/15/48     5,525       6,706  
      Covidien International Finance SA   3.200%   6/15/22     18,070       18,504  
      Covidien International Finance SA   2.950%   6/15/23     2,000       2,048  
      CVS Health Corp.   3.350%   3/9/21     22,348       22,678  
      CVS Health Corp.   2.125%   6/1/21     20,075       20,081  
      CVS Health Corp.   3.500%   7/20/22     12,500       12,902  
      CVS Health Corp.   2.750%   12/1/22     16,430       16,688  
      CVS Health Corp.   4.750%   12/1/22     5,000       5,321  
      CVS Health Corp.   3.700%   3/9/23     66,817       69,536  
      CVS Health Corp.   4.000%   12/5/23     13,511       14,291  
      CVS Health Corp.   3.375%   8/12/24     15,450       16,083  
      CVS Health Corp.   2.625%   8/15/24     1,000       1,009  
      CVS Health Corp.   4.100%   3/25/25     54,910       58,852  
      CVS Health Corp.   3.875%   7/20/25     42,433       45,202  
      CVS Health Corp.   2.875%   6/1/26     24,725       25,069  
      CVS Health Corp.   3.000%   8/15/26     2,550       2,599  
      CVS Health Corp.   6.250%   6/1/27     1,000       1,204  
      CVS Health Corp.   4.300%   3/25/28     101,915       111,073  
      CVS Health Corp.   3.250%   8/15/29     24,215       24,579  
      CVS Health Corp.   4.875%   7/20/35     2,525       2,877  
      CVS Health Corp.   4.780%   3/25/38     58,792       66,470  
      CVS Health Corp.   6.125%   9/15/39     4,857       6,230  
      CVS Health Corp.   5.300%   12/5/43     14,770       17,507  
      CVS Health Corp.   5.125%   7/20/45     45,745       53,864  
      CVS Health Corp.   5.050%   3/25/48     91,151       107,795  
      Danaher Corp.   3.350%   9/15/25     6,050       6,420  
      Danaher Corp.   4.375%   9/15/45     4,198       4,934  
      Dartmouth-Hitchcock Health   4.178%   8/1/48     4,600       5,088  
      Delhaize America LLC   9.000%   4/15/31     3,805       5,597  
      DH Europe Finance II Sarl   2.050%   11/15/22     11,000       10,988  
      DH Europe Finance II Sarl   2.200%   11/15/24     8,500       8,473  
      DH Europe Finance II Sarl   2.600%   11/15/29     9,045       9,006  
      DH Europe Finance II Sarl   3.250%   11/15/39     10,500       10,583  
      DH Europe Finance II Sarl   3.400%   11/15/49     10,275       10,501  
      Diageo Capital plc   2.625%   4/29/23     12,301       12,505  
      Diageo Capital plc   3.500%   9/18/23     270       283  
      Diageo Capital plc   2.125%   10/24/24     13,450       13,429  
      Diageo Capital plc   3.875%   5/18/28     3,500       3,818  
      Diageo Capital plc   2.375%   10/24/29     7,750       7,622  
      Diageo Capital plc   5.875%   9/30/36     2,872       3,907  
      Diageo Capital plc   3.875%   4/29/43     5,916       6,518  
      Diageo Investment Corp.   2.875%   5/11/22     16,825       17,143  
      Diageo Investment Corp.   7.450%   4/15/35     1,450       2,170  
      Diageo Investment Corp.   4.250%   5/11/42     4,747       5,473  
      Dignity Health   3.125%   11/1/22     2,000       2,038  
      Dignity Health   3.812%   11/1/24     4,675       4,899  
      Dignity Health   4.500%   11/1/42     6,025       6,266  

 

84

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Dignity Health   5.267%   11/1/64     2,075       2,370  
      Duke University Health System Inc.   3.920%   6/1/47     6,005       6,689  
      Edwards Lifesciences Corp.   4.300%   6/15/28     5,025       5,569  
      Eli Lilly & Co.   2.350%   5/15/22     1,800       1,823  
      Eli Lilly & Co.   2.750%   6/1/25     6,901       7,110  
      Eli Lilly & Co.   3.375%   3/15/29     14,355       15,447  
      Eli Lilly & Co.   3.950%   3/15/49     21,650       24,930  
      Eli Lilly & Co.   4.150%   3/15/59     21,775       25,539  
      Estee Lauder Cos. Inc.   1.700%   5/10/21     6,195       6,181  
      Estee Lauder Cos. Inc.   3.150%   3/15/27     7,525       7,959  
      Estee Lauder Cos. Inc.   6.000%   5/15/37     3,212       4,411  
      Estee Lauder Cos. Inc.   4.375%   6/15/45     5,443       6,453  
      Estee Lauder Cos. Inc.   4.150%   3/15/47     7,625       8,868  
      Estee Lauder Cos. Inc.   3.125%   12/1/49     7,450       7,428  
      Flowers Foods Inc.   4.375%   4/1/22     3,637       3,788  
      Flowers Foods Inc.   3.500%   10/1/26     4,275       4,388  
      Fomento Economico Mexicano SAB de CV   2.875%   5/10/23     1,160       1,175  
      Fomento Economico Mexicano SAB de CV   4.375%   5/10/43     4,065       4,526  
      General Mills Inc.   3.150%   12/15/21     17,453       17,823  
      General Mills Inc.   2.600%   10/12/22     6,505       6,598  
      General Mills Inc.   3.700%   10/17/23     17,700       18,641  
      General Mills Inc.   3.650%   2/15/24     5,250       5,516  
      General Mills Inc.   4.000%   4/17/25     700       757  
      General Mills Inc.   3.200%   2/10/27     10,655       11,176  
      General Mills Inc.   4.200%   4/17/28     19,566       21,760  
      General Mills Inc.   4.550%   4/17/38     7,500       8,705  
      General Mills Inc.   5.400%   6/15/40     4,625       5,680  
      General Mills Inc.   4.150%   2/15/43     5,577       5,989  
      General Mills Inc.   4.700%   4/17/48     5,475       6,518  
      Gilead Sciences Inc.   4.500%   4/1/21     11,061       11,338  
      Gilead Sciences Inc.   4.400%   12/1/21     22,305       23,255  
      Gilead Sciences Inc.   3.250%   9/1/22     8,375       8,652  
      Gilead Sciences Inc.   2.500%   9/1/23     15,367       15,597  
      Gilead Sciences Inc.   3.700%   4/1/24     31,165       33,084  
      Gilead Sciences Inc.   3.500%   2/1/25     19,929       21,140  
      Gilead Sciences Inc.   3.650%   3/1/26     32,125       34,533  
      Gilead Sciences Inc.   2.950%   3/1/27     14,119       14,643  
      Gilead Sciences Inc.   4.600%   9/1/35     11,179       13,366  
      Gilead Sciences Inc.   4.000%   9/1/36     8,162       9,056  
      Gilead Sciences Inc.   5.650%   12/1/41     11,328       14,869  
      Gilead Sciences Inc.   4.800%   4/1/44     19,309       23,091  
      Gilead Sciences Inc.   4.500%   2/1/45     19,374       22,362  
      Gilead Sciences Inc.   4.750%   3/1/46     26,195       31,287  
      Gilead Sciences Inc.   4.150%   3/1/47     21,402       23,674  
      GlaxoSmithKline Capital Inc.   2.800%   3/18/23     10,745       10,998  
      GlaxoSmithKline Capital Inc.   3.375%   5/15/23     15,600       16,246  
      GlaxoSmithKline Capital Inc.   3.625%   5/15/25     18,725       20,035  
      GlaxoSmithKline Capital Inc.   3.875%   5/15/28     25,225       27,777  
      GlaxoSmithKline Capital Inc.   5.375%   4/15/34     4,861       6,197  
      GlaxoSmithKline Capital Inc.   6.375%   5/15/38     32,408       46,337  
      GlaxoSmithKline Capital Inc.   4.200%   3/18/43     3,330       3,863  
      GlaxoSmithKline Capital plc   3.125%   5/14/21     23,000       23,367  
      GlaxoSmithKline Capital plc   2.850%   5/8/22     11,931       12,188  
      GlaxoSmithKline Capital plc   2.875%   6/1/22     21,100       21,550  
      GlaxoSmithKline Capital plc   3.000%   6/1/24     11,780       12,211  
      GlaxoSmithKline Capital plc   3.375%   6/1/29     11,250       12,037  
      Hackensack Meridian Health Inc.   4.211%   7/1/48     6,225       6,989  
      Hackensack Meridian Health Inc.   4.500%   7/1/57     3,050       3,587  
      Hasbro Inc.   3.150%   5/15/21     1,660       1,677  
      Hasbro Inc.   3.500%   9/15/27     4,300       4,286  
      Hasbro Inc.   3.900%   11/19/29     4,350       4,377  
      Hasbro Inc.   6.350%   3/15/40     4,626       5,404  
      Hasbro Inc.   5.100%   5/15/44     7,002       6,964  
      HCA Inc.   4.750%   5/1/23     15,190       16,253  

 

85

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      HCA Inc.   5.000%   3/15/24     24,539       26,778  
      HCA Inc.   5.250%   4/15/25     25,885       28,926  
      HCA Inc.   5.250%   6/15/26     17,285       19,359  
      HCA Inc.   4.500%   2/15/27     2,435       2,627  
      HCA Inc.   4.125%   6/15/29     25,082       26,587  
      HCA Inc.   5.125%   6/15/39     14,840       16,435  
      HCA Inc.   5.500%   6/15/47     17,760       20,513  
      HCA Inc.   5.250%   6/15/49     21,125       23,766  
      Hershey Co.   4.125%   12/1/20     6,295       6,421  
      Hershey Co.   3.100%   5/15/21     7,275       7,392  
      Hershey Co.   2.625%   5/1/23     7,400       7,530  
      Hershey Co.   3.375%   5/15/23     9,830       10,304  
      Hershey Co.   2.050%   11/15/24     1,150       1,149  
      Hershey Co.   3.200%   8/21/25     4,870       5,100  
      Hershey Co.   2.300%   8/15/26     8,575       8,647  
      Hershey Co.   2.450%   11/15/29     3,500       3,503  
      Hershey Co.   3.125%   11/15/49     9,000       8,871  
      Indiana University Health Inc. Obligated Group   3.970%   11/1/48     6,775       7,603  
      Ingredion Inc.   3.200%   10/1/26     5,485       5,561  
      JM Smucker Co.   3.500%   10/15/21     7,425       7,613  
      JM Smucker Co.   3.000%   3/15/22     3,870       3,944  
      JM Smucker Co.   3.500%   3/15/25     10,375       10,881  
      JM Smucker Co.   3.375%   12/15/27     12,600       13,142  
      JM Smucker Co.   4.250%   3/15/35     5,800       6,291  
      JM Smucker Co.   4.375%   3/15/45     7,025       7,625  
      Johns Hopkins Health System Corp.   3.837%   5/15/46     4,875       5,327  
      Johnson & Johnson   1.950%   11/10/20     3,150       3,151  
      Johnson & Johnson   1.650%   3/1/21     18,757       18,714  
      Johnson & Johnson   2.450%   12/5/21     8,050       8,153  
      Johnson & Johnson   2.250%   3/3/22     12,593       12,726  
      Johnson & Johnson   2.050%   3/1/23     6,500       6,537  
      Johnson & Johnson   3.375%   12/5/23     8,400       8,906  
      Johnson & Johnson   2.625%   1/15/25     11,480       11,826  
      Johnson & Johnson   2.450%   3/1/26     24,401       24,777  
      Johnson & Johnson   2.950%   3/3/27     12,350       12,938  
      Johnson & Johnson   2.900%   1/15/28     16,718       17,434  
      Johnson & Johnson   6.950%   9/1/29     3,195       4,474  
      Johnson & Johnson   4.950%   5/15/33     7,655       9,557  
      Johnson & Johnson   4.375%   12/5/33     13,574       16,136  
      Johnson & Johnson   3.550%   3/1/36     11,865       12,989  
      Johnson & Johnson   3.625%   3/3/37     17,785       19,613  
      Johnson & Johnson   5.950%   8/15/37     10,800       15,362  
      Johnson & Johnson   3.400%   1/15/38     11,297       12,086  
      Johnson & Johnson   5.850%   7/15/38     4,692       6,638  
      Johnson & Johnson   4.500%   9/1/40     6,371       7,743  
      Johnson & Johnson   4.850%   5/15/41     1,315       1,674  
      Johnson & Johnson   4.500%   12/5/43     8,423       10,350  
      Johnson & Johnson   3.700%   3/1/46     18,268       20,610  
      Johnson & Johnson   3.750%   3/3/47     19,445       22,127  
      Johnson & Johnson   3.500%   1/15/48     12,078       13,041  
      Kaiser Foundation Hospitals   3.500%   4/1/22     3,490       3,605  
      Kaiser Foundation Hospitals   3.150%   5/1/27     6,352       6,618  
      Kaiser Foundation Hospitals   4.875%   4/1/42     8,325       10,202  
      Kaiser Foundation Hospitals   4.150%   5/1/47     14,191       16,179  
      Kaiser Foundation Hospitals   3.266%   11/1/49     9,410       9,440  
      Kellogg Co.   4.000%   12/15/20     2,029       2,064  
      Kellogg Co.   2.650%   12/1/23     10,583       10,776  
      Kellogg Co.   3.250%   4/1/26     9,675       10,041  
      Kellogg Co.   3.400%   11/15/27     11,100       11,607  
      Kellogg Co.   4.300%   5/15/28     3,600       4,013  
      Kellogg Co.   7.450%   4/1/31     750       1,051  
      Kellogg Co.   4.500%   4/1/46     12,550       13,976  
      Keurig Dr Pepper Inc.   3.551%   5/25/21     12,200       12,450  
      Keurig Dr Pepper Inc.   2.700%   11/15/22     4,072       4,108  

 

86

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Keurig Dr Pepper Inc.   4.057%   5/25/23     16,125       16,997  
      Keurig Dr Pepper Inc.   3.130%   12/15/23     5,450       5,596  
      Keurig Dr Pepper Inc.   4.417%   5/25/25     9,925       10,832  
      Keurig Dr Pepper Inc.   3.400%   11/15/25     7,400       7,676  
      Keurig Dr Pepper Inc.   2.550%   9/15/26     5,624       5,590  
      Keurig Dr Pepper Inc.   3.430%   6/15/27     7,250       7,569  
      Keurig Dr Pepper Inc.   4.597%   5/25/28     22,030       24,737  
      Keurig Dr Pepper Inc.   7.450%   5/1/38     678       927  
      Keurig Dr Pepper Inc.   4.985%   5/25/38     5,275       6,218  
      Keurig Dr Pepper Inc.   4.500%   11/15/45     16,636       18,152  
      Keurig Dr Pepper Inc.   4.420%   12/15/46     1,885       2,034  
      Kimberly-Clark Corp.   3.875%   3/1/21     575       587  
      Kimberly-Clark Corp.   2.400%   3/1/22     5,925       5,987  
      Kimberly-Clark Corp.   2.400%   6/1/23     5,643       5,756  
      Kimberly-Clark Corp.   3.050%   8/15/25     4,530       4,754  
      Kimberly-Clark Corp.   2.750%   2/15/26     7,135       7,315  
      Kimberly-Clark Corp.   3.950%   11/1/28     3,700       4,123  
      Kimberly-Clark Corp.   3.200%   4/25/29     4,330       4,612  
      Kimberly-Clark Corp.   6.625%   8/1/37     2,253       3,319  
      Kimberly-Clark Corp.   5.300%   3/1/41     8,543       11,231  
      Kimberly-Clark Corp.   3.700%   6/1/43     3,129       3,239  
      Kimberly-Clark Corp.   3.200%   7/30/46     6,890       6,948  
      Kimberly-Clark Corp.   3.900%   5/4/47     3,705       4,140  
      Koninklijke Ahold Delhaize NV   5.700%   10/1/40     2,419       2,953  
      Koninklijke Philips NV   6.875%   3/11/38     4,980       6,978  
      Koninklijke Philips NV   5.000%   3/15/42     10,699       12,794  
      Kraft Foods Group Inc.   6.875%   1/26/39     10,604       13,258  
      Kraft Foods Group Inc.   6.500%   2/9/40     7,185       8,707  
      Kraft Foods Group Inc.   5.000%   6/4/42     20,579       22,022  
      Kraft Heinz Foods Co.   3.375%   6/15/21     4,000       4,061  
      Kraft Heinz Foods Co.   3.500%   7/15/22     11,560       11,906  
      Kraft Heinz Foods Co.   4.000%   6/15/23     18,679       19,630  
      Kraft Heinz Foods Co.   3.950%   7/15/25     23,670       25,028  
      Kraft Heinz Foods Co.   3.000%   6/1/26     25,075       25,059  
      Kraft Heinz Foods Co.   4.625%   1/30/29     12,650       13,832  
7     Kraft Heinz Foods Co.   3.750%   4/1/30     11,150       11,456  
      Kraft Heinz Foods Co.   5.000%   7/15/35     11,150       12,385  
7     Kraft Heinz Foods Co.   4.625%   10/1/39     5,525       5,732  
      Kraft Heinz Foods Co.   5.200%   7/15/45     24,342       26,284  
      Kraft Heinz Foods Co.   4.375%   6/1/46     34,317       33,783  
7     Kraft Heinz Foods Co.   4.875%   10/1/49     16,515       17,196  
      Kroger Co.   3.300%   1/15/21     4,607       4,656  
      Kroger Co.   2.600%   2/1/21     4,693       4,720  
      Kroger Co.   2.950%   11/1/21     7,384       7,494  
      Kroger Co.   3.400%   4/15/22     3,683       3,787  
      Kroger Co.   2.800%   8/1/22     2,375       2,419  
      Kroger Co.   3.850%   8/1/23     7,090       7,480  
      Kroger Co.   4.000%   2/1/24     5,186       5,505  
      Kroger Co.   3.500%   2/1/26     4,800       5,024  
      Kroger Co.   2.650%   10/15/26     12,900       12,915  
      Kroger Co.   3.700%   8/1/27     5,200       5,541  
      Kroger Co.   4.500%   1/15/29     1,275       1,431  
      Kroger Co.   7.700%   6/1/29     5,250       7,010  
      Kroger Co.   8.000%   9/15/29     4,085       5,595  
      Kroger Co.   7.500%   4/1/31     4,820       6,627  
      Kroger Co.   6.900%   4/15/38     5,519       7,374  
      Kroger Co.   5.400%   7/15/40     3,937       4,550  
      Kroger Co.   5.000%   4/15/42     5,075       5,634  
      Kroger Co.   5.150%   8/1/43     2,255       2,533  
      Kroger Co.   3.875%   10/15/46     5,965       5,809  
      Kroger Co.   4.450%   2/1/47     11,289       11,953  
      Kroger Co.   4.650%   1/15/48     9,015       9,815  
      Kroger Co.   5.400%   1/15/49     225       273  
      Laboratory Corp. of America Holdings   3.200%   2/1/22     7,330       7,482  

 

87

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Laboratory Corp. of America Holdings   3.750%   8/23/22     1,585       1,643  
      Laboratory Corp. of America Holdings   4.000%   11/1/23     2,800       2,949  
      Laboratory Corp. of America Holdings   3.250%   9/1/24     9,315       9,671  
      Laboratory Corp. of America Holdings   2.300%   12/1/24     5,650       5,623  
      Laboratory Corp. of America Holdings   3.600%   2/1/25     12,557       13,208  
      Laboratory Corp. of America Holdings   3.600%   9/1/27     6,600       6,952  
      Laboratory Corp. of America Holdings   2.950%   12/1/29     7,425       7,437  
      Laboratory Corp. of America Holdings   4.700%   2/1/45     11,945       13,390  
4     Mayo Clinic   3.774%   11/15/43     6,102       6,560  
4     Mayo Clinic   4.000%   11/15/47     3,275       3,639  
4     Mayo Clinic   4.128%   11/15/52     1,975       2,218  
      McCormick & Co. Inc.   3.900%   7/15/21     3,025       3,097  
      McCormick & Co. Inc.   2.700%   8/15/22     1,330       1,351  
      McCormick & Co. Inc.   3.150%   8/15/24     10,483       10,867  
      McCormick & Co. Inc.   3.400%   8/15/27     9,869       10,275  
      McCormick & Co. Inc.   4.200%   8/15/47     3,467       3,790  
      McKesson Corp.   2.700%   12/15/22     5,800       5,867  
      McKesson Corp.   2.850%   3/15/23     250       254  
      McKesson Corp.   3.796%   3/15/24     12,080       12,698  
      McKesson Corp.   3.950%   2/16/28     7,607       8,046  
      McKesson Corp.   4.750%   5/30/29     2,300       2,578  
      Mead Johnson Nutrition Co.   3.000%   11/15/20     5,794       5,845  
      Mead Johnson Nutrition Co.   4.125%   11/15/25     11,407       12,478  
      Mead Johnson Nutrition Co.   5.900%   11/1/39     6,850       9,179  
      Mead Johnson Nutrition Co.   4.600%   6/1/44     12,790       15,355  
      Medtronic Inc.   3.150%   3/15/22     18,873       19,403  
      Medtronic Inc.   2.750%   4/1/23     950       971  
      Medtronic Inc.   3.625%   3/15/24     1,000       1,059  
      Medtronic Inc.   3.500%   3/15/25     19,726       21,126  
      Medtronic Inc.   4.375%   3/15/35     28,127       33,191  
      Medtronic Inc.   4.625%   3/15/45     22,390       28,039  
      Memorial Health Services   3.447%   11/1/49     7,300       7,165  
      Memorial Sloan-Kettering Cancer Center   5.000%   7/1/42     1,325       1,670  
      Memorial Sloan-Kettering Cancer Center   4.125%   7/1/52     8,805       10,152  
      Memorial Sloan-Kettering Cancer Center   4.200%   7/1/55     1,225       1,421  
      Merck & Co. Inc.   3.875%   1/15/21     12,657       12,873  
      Merck & Co. Inc.   2.350%   2/10/22     15,943       16,140  
      Merck & Co. Inc.   2.400%   9/15/22     10,804       10,954  
      Merck & Co. Inc.   2.800%   5/18/23     23,774       24,497  
      Merck & Co. Inc.   2.900%   3/7/24     4,895       5,094  
      Merck & Co. Inc.   2.750%   2/10/25     30,265       31,265  
      Merck & Co. Inc.   3.400%   3/7/29     18,950       20,464  
      Merck & Co. Inc.   6.500%   12/1/33     7,400       10,421  
      Merck & Co. Inc.   3.900%   3/7/39     11,050       12,612  
      Merck & Co. Inc.   3.600%   9/15/42     9,972       10,754  
      Merck & Co. Inc.   4.150%   5/18/43     13,797       16,299  
      Merck & Co. Inc.   3.700%   2/10/45     25,631       28,323  
      Merck & Co. Inc.   4.000%   3/7/49     22,125       25,753  
      Mercy Health   4.302%   7/1/28     2,580       2,852  
      Molson Coors Beverage Co.   2.100%   7/15/21     10,950       10,948  
      Molson Coors Beverage Co.   3.500%   5/1/22     1,800       1,846  
      Molson Coors Beverage Co.   3.000%   7/15/26     22,428       22,660  
      Molson Coors Beverage Co.   5.000%   5/1/42     14,708       16,011  
      Molson Coors Beverage Co.   4.200%   7/15/46     20,407       20,308  
7     Mondelez International Holdings Netherlands BV   2.125%   9/19/22     5,000       4,996  
      Mondelez International Inc.   4.000%   2/1/24     1,125       1,196  
      Mondelez International Inc.   3.625%   2/13/26     4,500       4,816  
      Mondelez International Inc.   4.125%   5/7/28     3,000       3,323  
      Mondelez International Inc.   4.625%   5/7/48     100       116  
4     Montefiore Obligated Group   5.246%   11/1/48     8,900       9,985  
4     Mount Sinai Hospitals Group Inc.   3.981%   7/1/48     2,775       2,860  
4     Mount Sinai Hospitals Group Inc.   3.737%   7/1/49     6,500       6,444  
      Mylan Inc.   4.200%   11/29/23     13,670       14,424  
      Mylan Inc.   4.550%   4/15/28     7,175       7,709  

 

88

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Mylan Inc.   5.400%   11/29/43     7,424       8,064  
      Mylan Inc.   5.200%   4/15/48     7,875       8,716  
      Mylan NV   3.150%   6/15/21     13,010       13,144  
      Mylan NV   3.950%   6/15/26     18,785       19,490  
      Mylan NV   5.250%   6/15/46     11,125       12,410  
      New York & Presbyterian Hospital   4.024%   8/1/45     7,346       8,172  
      New York & Presbyterian Hospital   4.063%   8/1/56     4,675       5,054  
      New York & Presbyterian Hospital   3.954%   8/1/19     6,600       6,592  
      Northwell Healthcare Inc.   3.979%   11/1/46     9,625       9,800  
      Northwell Healthcare Inc.   4.260%   11/1/47     10,000       10,696  
      Northwell Healthcare Inc.   3.809%   11/1/49     4,000       4,016  
      Novartis Capital Corp.   2.400%   5/17/22     22,180       22,475  
      Novartis Capital Corp.   2.400%   9/21/22     9,694       9,843  
      Novartis Capital Corp.   3.400%   5/6/24     17,545       18,566  
      Novartis Capital Corp.   3.000%   11/20/25     22,377       23,447  
      Novartis Capital Corp.   3.100%   5/17/27     13,755       14,451  
      Novartis Capital Corp.   3.700%   9/21/42     7,513       8,263  
      Novartis Capital Corp.   4.400%   5/6/44     22,125       26,852  
      Novartis Capital Corp.   4.000%   11/20/45     14,493       16,804  
      NYU Hospitals Center   4.784%   7/1/44     3,900       4,668  
4     NYU Hospitals Center   4.368%   7/1/47     5,790       6,463  
      Orlando Health Obligated Group   4.089%   10/1/48     3,350       3,659  
      Partners Healthcare System Inc.   3.765%   7/1/48     875       918  
      Partners Healthcare System Inc.   4.117%   7/1/55     3,125       3,468  
      PeaceHealth Obligated Group   4.787%   11/15/48     4,175       5,107  
      PepsiCo Inc.   2.000%   4/15/21     12,813       12,838  
      PepsiCo Inc.   3.000%   8/25/21     13,962       14,225  
      PepsiCo Inc.   1.700%   10/6/21     10,275       10,264  
      PepsiCo Inc.   2.750%   3/5/22     13,520       13,793  
      PepsiCo Inc.   2.250%   5/2/22     3,925       3,964  
      PepsiCo Inc.   3.100%   7/17/22     6,125       6,309  
      PepsiCo Inc.   2.750%   3/1/23     5,691       5,844  
      PepsiCo Inc.   3.600%   3/1/24     8,213       8,735  
      PepsiCo Inc.   2.750%   4/30/25     17,463       18,061  
      PepsiCo Inc.   3.500%   7/17/25     11,170       11,974  
      PepsiCo Inc.   2.850%   2/24/26     5,148       5,358  
      PepsiCo Inc.   2.375%   10/6/26     15,440       15,651  
      PepsiCo Inc.   3.000%   10/15/27     20,835       21,980  
      PepsiCo Inc.   2.625%   7/29/29     19,559       19,912  
      PepsiCo Inc.   4.000%   3/5/42     11,750       13,369  
      PepsiCo Inc.   3.600%   8/13/42     7,403       7,918  
      PepsiCo Inc.   4.250%   10/22/44     10,660       12,533  
      PepsiCo Inc.   4.600%   7/17/45     6,470       7,994  
      PepsiCo Inc.   4.450%   4/14/46     16,001       19,664  
      PepsiCo Inc.   3.450%   10/6/46     16,725       17,655  
      PepsiCo Inc.   4.000%   5/2/47     4,400       5,080  
      PepsiCo Inc.   3.375%   7/29/49     11,295       11,824  
      PepsiCo Inc.   2.875%   10/15/49     15,925       15,240  
      PerkinElmer Inc.   3.300%   9/15/29     10,115       10,293  
      Perrigo Finance Unlimited Co.   3.500%   3/15/21     4,626       4,622  
      Perrigo Finance Unlimited Co.   3.500%   12/15/21     2,167       2,193  
      Perrigo Finance Unlimited Co.   3.900%   12/15/24     10,300       10,592  
      Perrigo Finance Unlimited Co.   4.375%   3/15/26     8,986       9,259  
      Perrigo Finance Unlimited Co.   4.900%   12/15/44     3,787       3,484  
      Pfizer Inc.   1.950%   6/3/21     20,025       20,072  
      Pfizer Inc.   3.000%   9/15/21     8,285       8,444  
      Pfizer Inc.   2.200%   12/15/21     6,404       6,453  
      Pfizer Inc.   2.800%   3/11/22     9,705       9,892  
      Pfizer Inc.   3.000%   6/15/23     10,910       11,326  
      Pfizer Inc.   3.200%   9/15/23     7,150       7,454  
      Pfizer Inc.   2.950%   3/15/24     9,000       9,340  
      Pfizer Inc.   3.400%   5/15/24     7,009       7,409  
      Pfizer Inc.   2.750%   6/3/26     17,160       17,700  
      Pfizer Inc.   3.000%   12/15/26     21,198       22,225  

 

89

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Pfizer Inc.   3.600%   9/15/28     15,600       17,037  
      Pfizer Inc.   3.450%   3/15/29     22,085       23,750  
      Pfizer Inc.   4.000%   12/15/36     12,450       14,181  
      Pfizer Inc.   4.100%   9/15/38     9,800       11,194  
      Pfizer Inc.   3.900%   3/15/39     16,150       18,177  
      Pfizer Inc.   7.200%   3/15/39     14,664       22,974  
      Pfizer Inc.   5.600%   9/15/40     1,600       2,112  
      Pfizer Inc.   4.300%   6/15/43     11,146       13,110  
      Pfizer Inc.   4.400%   5/15/44     14,825       17,696  
      Pfizer Inc.   4.125%   12/15/46     10,829       12,491  
      Pfizer Inc.   4.200%   9/15/48     13,955       16,340  
      Pfizer Inc.   4.000%   3/15/49     17,235       19,931  
      Pharmacia LLC   6.600%   12/1/28     6,640       8,720  
      Philip Morris International Inc.   1.875%   2/25/21     5,631       5,625  
      Philip Morris International Inc.   4.125%   5/17/21     3,527       3,628  
      Philip Morris International Inc.   2.900%   11/15/21     3,940       4,015  
      Philip Morris International Inc.   2.625%   2/18/22     2,000       2,024  
      Philip Morris International Inc.   2.375%   8/17/22     8,660       8,732  
      Philip Morris International Inc.   2.500%   8/22/22     2,020       2,039  
      Philip Morris International Inc.   2.500%   11/2/22     8,325       8,450  
      Philip Morris International Inc.   2.625%   3/6/23     6,340       6,443  
      Philip Morris International Inc.   2.125%   5/10/23     7,750       7,746  
      Philip Morris International Inc.   3.600%   11/15/23     11,859       12,466  
      Philip Morris International Inc.   2.875%   5/1/24     17,605       18,090  
      Philip Morris International Inc.   3.250%   11/10/24     13,170       13,785  
      Philip Morris International Inc.   3.375%   8/11/25     7,624       8,011  
      Philip Morris International Inc.   2.750%   2/25/26     15,266       15,432  
      Philip Morris International Inc.   3.125%   8/17/27     1,885       1,948  
      Philip Morris International Inc.   3.125%   3/2/28     6,100       6,254  
      Philip Morris International Inc.   3.375%   8/15/29     8,425       8,820  
      Philip Morris International Inc.   6.375%   5/16/38     13,842       19,226  
      Philip Morris International Inc.   4.375%   11/15/41     11,912       13,190  
      Philip Morris International Inc.   4.500%   3/20/42     8,336       9,354  
      Philip Morris International Inc.   3.875%   8/21/42     7,140       7,414  
      Philip Morris International Inc.   4.125%   3/4/43     10,635       11,461  
      Philip Morris International Inc.   4.875%   11/15/43     9,823       11,562  
      Philip Morris International Inc.   4.250%   11/10/44     13,955       15,382  
4     Procter & Gamble - Esop   9.360%   1/1/21     1,080       1,132  
      Procter & Gamble Co.   1.900%   10/23/20     5,000       5,003  
      Procter & Gamble Co.   1.850%   2/2/21     7,419       7,426  
      Procter & Gamble Co.   1.700%   11/3/21     11,581       11,615  
      Procter & Gamble Co.   2.300%   2/6/22     9,985       10,115  
      Procter & Gamble Co.   2.150%   8/11/22     2,640       2,670  
      Procter & Gamble Co.   3.100%   8/15/23     14,392       15,044  
      Procter & Gamble Co.   2.700%   2/2/26     8,514       8,842  
      Procter & Gamble Co.   2.450%   11/3/26     12,350       12,703  
      Procter & Gamble Co.   2.850%   8/11/27     4,085       4,319  
      Procter & Gamble Co.   5.500%   2/1/34     1,400       1,875  
      Procter & Gamble Co.   5.800%   8/15/34     2,000       2,790  
      Procter & Gamble Co.   3.500%   10/25/47     9,865       11,077  
      Providence St. Joseph Health Obligated Group   2.746%   10/1/26     2,075       2,095  
      Providence St. Joseph Health Obligated Group   2.532%   10/1/29     8,645       8,463  
4     Providence St. Joseph Health Obligated Group   3.744%   10/1/47     4,868       5,077  
4     Providence St. Joseph Health Obligated Group   3.930%   10/1/48     3,775       4,040  
      Quest Diagnostics Inc.   4.700%   4/1/21     2,800       2,889  
      Quest Diagnostics Inc.   4.250%   4/1/24     4,565       4,895  
      Quest Diagnostics Inc.   3.500%   3/30/25     6,420       6,752  
      Quest Diagnostics Inc.   3.450%   6/1/26     7,129       7,481  
      Quest Diagnostics Inc.   4.200%   6/30/29     3,475       3,833  
      Quest Diagnostics Inc.   2.950%   6/30/30     10,070       10,082  
      Quest Diagnostics Inc.   5.750%   1/30/40     1,368       1,512  
      Quest Diagnostics Inc.   4.700%   3/30/45     1,882       2,087  
      Reynolds American Inc.   4.000%   6/12/22     8,780       9,133  
      Reynolds American Inc.   4.850%   9/15/23     3,425       3,707  

 

90

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Reynolds American Inc.   4.450%   6/12/25     37,522       40,340  
      Reynolds American Inc.   5.700%   8/15/35     13,703       15,803  
      Reynolds American Inc.   7.250%   6/15/37     8,044       10,319  
      Reynolds American Inc.   8.125%   5/1/40     2,569       3,336  
      Reynolds American Inc.   7.000%   8/4/41     3,375       4,175  
      Reynolds American Inc.   6.150%   9/15/43     5,220       6,077  
      Reynolds American Inc.   5.850%   8/15/45     23,734       27,173  
      RWJ Barnabas Health Inc.   3.949%   7/1/46     5,220       5,521  
      RWJ Barnabas Health Inc.   3.477%   7/1/49     1,750       1,724  
      Sanofi   4.000%   3/29/21     14,644       15,021  
      Sanofi   3.375%   6/19/23     15,300       16,032  
      Sanofi   3.625%   6/19/28     17,345       19,243  
      Shire Acquisitions Investments Ireland DAC   2.400%   9/23/21     39,818       40,017  
      Shire Acquisitions Investments Ireland DAC   2.875%   9/23/23     44,670       45,475  
      Shire Acquisitions Investments Ireland DAC   3.200%   9/23/26     34,492       35,511  
      Spectrum Health System Obligated Group   3.487%   7/15/49     3,500       3,495  
      SSM Health Care Corp.   3.688%   6/1/23     8,575       8,921  
      SSM Health Care Corp.   3.823%   6/1/27     5,200       5,497  
      Stanford Health Care   3.795%   11/15/48     6,350       6,834  
      Stryker Corp.   2.625%   3/15/21     18,605       18,729  
      Stryker Corp.   3.375%   5/15/24     12,870       13,484  
      Stryker Corp.   3.375%   11/1/25     9,375       9,863  
      Stryker Corp.   3.500%   3/15/26     10,015       10,639  
      Stryker Corp.   3.650%   3/7/28     7,295       7,832  
      Stryker Corp.   4.100%   4/1/43     4,175       4,495  
      Stryker Corp.   4.375%   5/15/44     3,875       4,380  
      Stryker Corp.   4.625%   3/15/46     7,235       8,693  
      Sutter Health   3.695%   8/15/28     3,700       3,964  
      Sutter Health   4.091%   8/15/48     4,950       5,507  
      Sysco Corp.   2.500%   7/15/21     5,050       5,090  
      Sysco Corp.   2.600%   6/12/22     2,650       2,689  
      Sysco Corp.   3.550%   3/15/25     5,190       5,522  
      Sysco Corp.   3.750%   10/1/25     7,290       7,823  
      Sysco Corp.   3.300%   7/15/26     9,910       10,442  
      Sysco Corp.   3.250%   7/15/27     20,876       21,828  
      Sysco Corp.   4.850%   10/1/45     4,635       5,566  
      Sysco Corp.   4.500%   4/1/46     5,765       6,605  
      Sysco Corp.   4.450%   3/15/48     6,475       7,390  
      Takeda Pharmaceutical Co. Ltd.   4.000%   11/26/21     13,400       13,841  
      Takeda Pharmaceutical Co. Ltd.   4.400%   11/26/23     14,725       15,789  
      Takeda Pharmaceutical Co. Ltd.   5.000%   11/26/28     18,850       21,935  
4     Texas Health Resources   4.330%   11/15/55     2,625       3,070  
      Thermo Fisher Scientific Inc.   3.000%   4/15/23     12,300       12,642  
      Thermo Fisher Scientific Inc.   4.150%   2/1/24     7,039       7,542  
      Thermo Fisher Scientific Inc.   3.650%   12/15/25     9,725       10,389  
      Thermo Fisher Scientific Inc.   2.950%   9/19/26     15,695       16,136  
      Thermo Fisher Scientific Inc.   3.200%   8/15/27     12,305       12,854  
      Thermo Fisher Scientific Inc.   2.600%   10/1/29     4,100       4,051  
      Thermo Fisher Scientific Inc.   5.300%   2/1/44     6,101       7,715  
      Thermo Fisher Scientific Inc.   4.100%   8/15/47     5,600       6,276  
      Toledo Hospital   5.325%   11/15/28     3,425       3,676  
      Toledo Hospital   5.750%   11/15/38     2,050       2,346  
      Trinity Health Corp.   4.125%   12/1/45     6,615       7,269  
      Tyson Foods Inc.   2.250%   8/23/21     2,250       2,259  
      Tyson Foods Inc.   4.500%   6/15/22     16,533       17,395  
      Tyson Foods Inc.   3.900%   9/28/23     2,950       3,128  
      Tyson Foods Inc.   3.950%   8/15/24     19,141       20,456  
      Tyson Foods Inc.   4.000%   3/1/26     2,125       2,301  
      Tyson Foods Inc.   3.550%   6/2/27     15,240       16,164  
      Tyson Foods Inc.   4.350%   3/1/29     17,143       19,395  
      Tyson Foods Inc.   4.875%   8/15/34     8,254       9,652  
      Tyson Foods Inc.   5.150%   8/15/44     5,675       6,865  
      Tyson Foods Inc.   4.550%   6/2/47     9,425       10,684  
      Tyson Foods Inc.   5.100%   9/28/48     16,505       20,772  

 

91

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Unilever Capital Corp.   4.250%   2/10/21     14,435       14,819  
      Unilever Capital Corp.   2.750%   3/22/21     4,006       4,049  
      Unilever Capital Corp.   1.375%   7/28/21     10,405       10,327  
      Unilever Capital Corp.   3.000%   3/7/22     6,000       6,140  
      Unilever Capital Corp.   2.200%   5/5/22     800       805  
      Unilever Capital Corp.   3.250%   3/7/24     13,600       14,236  
      Unilever Capital Corp.   2.600%   5/5/24     24,225       24,759  
      Unilever Capital Corp.   3.100%   7/30/25     8,700       9,093  
      Unilever Capital Corp.   2.000%   7/28/26     10,625       10,526  
      Unilever Capital Corp.   2.900%   5/5/27     4,050       4,230  
      Unilever Capital Corp.   3.500%   3/22/28     12,875       13,919  
      Unilever Capital Corp.   2.125%   9/6/29     9,525       9,227  
      Unilever Capital Corp.   5.900%   11/15/32     7,250       9,824  
      Whirlpool Corp.   4.850%   6/15/21     2,763       2,867  
      Whirlpool Corp.   4.700%   6/1/22     4,380       4,633  
      Whirlpool Corp.   4.000%   3/1/24     3,429       3,626  
      Whirlpool Corp.   3.700%   5/1/25     2,705       2,843  
      Whirlpool Corp.   4.750%   2/26/29     8,215       9,136  
      Whirlpool Corp.   4.500%   6/1/46     6,407       6,626  
4     Willis-Knighton Medical Center   4.813%   9/1/48     3,250       3,880  
      Wyeth LLC   7.250%   3/1/23     2,400       2,772  
      Wyeth LLC   6.450%   2/1/24     9,325       10,866  
      Wyeth LLC   6.500%   2/1/34     8,300       11,589  
      Wyeth LLC   6.000%   2/15/36     5,465       7,270  
      Wyeth LLC   5.950%   4/1/37     23,213       31,609  
      Zeneca Wilmington Inc.   7.000%   11/15/23     4,275       4,960  
      Zimmer Biomet Holdings Inc.   3.375%   11/30/21     6,005       6,121  
      Zimmer Biomet Holdings Inc.   3.150%   4/1/22     8,925       9,112  
      Zimmer Biomet Holdings Inc.   3.700%   3/19/23     2,550       2,655  
      Zimmer Biomet Holdings Inc.   3.550%   4/1/25     21,280       22,370  
      Zimmer Biomet Holdings Inc.   5.750%   11/30/39     1,650       1,956  
      Zimmer Biomet Holdings Inc.   4.450%   8/15/45     9,970       10,445  
      Zoetis Inc.   3.450%   11/13/20     5,000       5,051  
      Zoetis Inc.   3.250%   8/20/21     3,300       3,353  
      Zoetis Inc.   3.250%   2/1/23     14,745       15,209  
      Zoetis Inc.   4.500%   11/13/25     4,200       4,648  
      Zoetis Inc.   3.000%   9/12/27     10,004       10,229  
      Zoetis Inc.   3.900%   8/20/28     5,700       6,168  
      Zoetis Inc.   4.700%   2/1/43     13,403       15,898  
      Zoetis Inc.   3.950%   9/12/47     6,400       6,940  
      Zoetis Inc.   4.450%   8/20/48     4,025       4,698  
      Energy (2.4%)                        
      Anadarko Petroleum Corp.   6.600%   3/15/46     100       124  
      Apache Corp.   3.625%   2/1/21     1,545       1,559  
      Apache Corp.   3.250%   4/15/22     3,020       3,065  
      Apache Corp.   4.375%   10/15/28     9,680       10,090  
      Apache Corp.   7.750%   12/15/29     1,070       1,362  
      Apache Corp.   6.000%   1/15/37     100       110  
      Apache Corp.   5.100%   9/1/40     17,786       18,052  
      Apache Corp.   5.250%   2/1/42     7,984       8,286  
      Apache Corp.   4.750%   4/15/43     15,390       14,720  
      Apache Corp.   4.250%   1/15/44     14,191       13,091  
      Apache Corp.   5.350%   7/1/49     2,500       2,610  
      Baker Hughes a GE Co. LLC   5.125%   9/15/40     13,482       15,883  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   2.773%   12/15/22     14,440       14,721  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   3.337%   12/15/27     17,645       18,381  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   3.138%   11/7/29     6,000       6,150  
      Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.   4.080%   12/15/47     15,240       15,602  
      Boardwalk Pipelines LP   3.375%   2/1/23     3,425       3,488  

 

92

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Boardwalk Pipelines LP   4.950%   12/15/24     8,000       8,635  
      Boardwalk Pipelines LP   5.950%   6/1/26     12,440       13,915  
      Boardwalk Pipelines LP   4.450%   7/15/27     9,112       9,369  
      Boardwalk Pipelines LP   4.800%   5/3/29     3,100       3,299  
      BP Capital Markets America Inc.   4.742%   3/11/21     17,685       18,277  
      BP Capital Markets America Inc.   2.112%   9/16/21     10,001       10,040  
      BP Capital Markets America Inc.   3.245%   5/6/22     21,321       22,007  
      BP Capital Markets America Inc.   2.520%   9/19/22     8,150       8,274  
      BP Capital Markets America Inc.   2.750%   5/10/23     24,150       24,684  
      BP Capital Markets America Inc.   3.216%   11/28/23     18,249       18,963  
      BP Capital Markets America Inc.   3.790%   2/6/24     3,460       3,679  
      BP Capital Markets America Inc.   3.224%   4/14/24     707       737  
      BP Capital Markets America Inc.   3.796%   9/21/25     10,335       11,174  
      BP Capital Markets America Inc.   3.410%   2/11/26     5,450       5,787  
      BP Capital Markets America Inc.   3.119%   5/4/26     15,198       15,836  
      BP Capital Markets America Inc.   3.017%   1/16/27     6,725       6,952  
      BP Capital Markets America Inc.   3.588%   4/14/27     5,000       5,299  
      BP Capital Markets America Inc.   3.937%   9/21/28     12,650       13,955  
      BP Capital Markets America Inc.   4.234%   11/6/28     12,900       14,542  
      BP Capital Markets plc   3.561%   11/1/21     15,470       15,939  
      BP Capital Markets plc   3.062%   3/17/22     4,350       4,460  
      BP Capital Markets plc   2.500%   11/6/22     14,587       14,845  
      BP Capital Markets plc   3.994%   9/26/23     7,105       7,579  
      BP Capital Markets plc   3.814%   2/10/24     6,831       7,289  
      BP Capital Markets plc   3.535%   11/4/24     24,366       25,929  
      BP Capital Markets plc   3.506%   3/17/25     14,471       15,400  
      BP Capital Markets plc   3.279%   9/19/27     22,925       24,103  
      BP Capital Markets plc   3.723%   11/28/28     8,634       9,385  
      Burlington Resources Finance Co.   7.200%   8/15/31     3,425       4,827  
      Burlington Resources Finance Co.   7.400%   12/1/31     5,765       8,204  
      Canadian Natural Resources Ltd.   3.450%   11/15/21     5,563       5,682  
      Canadian Natural Resources Ltd.   2.950%   1/15/23     14,445       14,713  
      Canadian Natural Resources Ltd.   3.800%   4/15/24     5,923       6,191  
      Canadian Natural Resources Ltd.   3.900%   2/1/25     140       147  
      Canadian Natural Resources Ltd.   3.850%   6/1/27     16,628       17,697  
      Canadian Natural Resources Ltd.   7.200%   1/15/32     5,018       6,793  
      Canadian Natural Resources Ltd.   6.450%   6/30/33     6,815       8,704  
      Canadian Natural Resources Ltd.   5.850%   2/1/35     3,725       4,580  
      Canadian Natural Resources Ltd.   6.500%   2/15/37     7,022       9,152  
      Canadian Natural Resources Ltd.   6.250%   3/15/38     11,249       14,558  
      Canadian Natural Resources Ltd.   6.750%   2/1/39     4,829       6,507  
      Canadian Natural Resources Ltd.   4.950%   6/1/47     7,650       9,280  
      Cenovus Energy Inc.   3.000%   8/15/22     6,975       7,058  
      Cenovus Energy Inc.   3.800%   9/15/23     17,500       18,126  
      Cenovus Energy Inc.   4.250%   4/15/27     13,485       14,223  
      Cenovus Energy Inc.   5.250%   6/15/37     17,177       18,878  
      Cenovus Energy Inc.   6.750%   11/15/39     13,087       16,647  
      Cenovus Energy Inc.   5.400%   6/15/47     10,390       12,130  
      Cheniere Corpus Christi Holdings LLC   7.000%   6/30/24     9,264       10,677  
      Cheniere Corpus Christi Holdings LLC   5.875%   3/31/25     10,600       11,925  
      Cheniere Corpus Christi Holdings LLC   5.125%   6/30/27     21,925       24,282  
7     Cheniere Corpus Christi Holdings LLC   3.700%   11/15/29     17,584       17,980  
      Chevron Corp.   2.100%   5/16/21     18,900       18,984  
      Chevron Corp.   2.411%   3/3/22     4,935       5,001  
      Chevron Corp.   2.498%   3/3/22     8,190       8,325  
      Chevron Corp.   2.355%   12/5/22     21,477       21,761  
      Chevron Corp.   2.566%   5/16/23     4,350       4,437  
      Chevron Corp.   3.191%   6/24/23     21,340       22,194  
      Chevron Corp.   2.895%   3/3/24     15,320       15,847  
      Chevron Corp.   3.326%   11/17/25     3,933       4,189  
      Chevron Corp.   2.954%   5/16/26     22,215       23,205  
      Cimarex Energy Co.   4.375%   6/1/24     9,950       10,478  
      Cimarex Energy Co.   3.900%   5/15/27     18,976       19,619  
      Cimarex Energy Co.   4.375%   3/15/29     6,450       6,807  

 

 

93

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Columbia Pipeline Group Inc.   4.500%   6/1/25     19,475       21,265  
      Columbia Pipeline Group Inc.   5.800%   6/1/45     5,450       6,907  
      Concho Resources Inc.   3.750%   10/1/27     27,986       29,350  
      Concho Resources Inc.   4.300%   8/15/28     5,475       5,961  
      Concho Resources Inc.   4.875%   10/1/47     12,480       14,539  
      Concho Resources Inc.   4.850%   8/15/48     7,770       8,994  
      ConocoPhillips   5.900%   10/15/32     13,376       17,473  
      ConocoPhillips   5.900%   5/15/38     7,112       9,657  
      ConocoPhillips   6.500%   2/1/39     19,922       28,867  
      ConocoPhillips Canada Funding Co. I   5.950%   10/15/36     7,500       10,055  
      ConocoPhillips Co.   3.350%   11/15/24     500       527  
      ConocoPhillips Co.   4.950%   3/15/26     26,079       29,937  
      ConocoPhillips Co.   4.300%   11/15/44     6,337       7,414  
      ConocoPhillips Co.   5.950%   3/15/46     10,299       14,671  
      ConocoPhillips Holding Co.   6.950%   4/15/29     11,359       15,408  
      Continental Resources Inc.   4.500%   4/15/23     4,092       4,286  
      Continental Resources Inc.   4.375%   1/15/28     18,885       20,065  
      Continental Resources Inc.   4.900%   6/1/44     10,250       10,929  
      Devon Energy Corp.   5.850%   12/15/25     6,651       7,871  
      Devon Energy Corp.   7.950%   4/15/32     5,300       7,503  
      Devon Energy Corp.   5.600%   7/15/41     11,043       13,409  
      Devon Energy Corp.   4.750%   5/15/42     8,169       9,143  
      Devon Energy Corp.   5.000%   6/15/45     9,163       10,561  
      Devon Financing Co. LLC   7.875%   9/30/31     12,287       16,891  
      Diamondback Energy Inc.   2.875%   12/1/24     12,000       12,112  
      Diamondback Energy Inc.   3.250%   12/1/26     9,400       9,504  
      Diamondback Energy Inc.   3.500%   12/1/29     14,000       14,215  
      Dominion Energy Gas Holdings LLC   3.550%   11/1/23     13,725       14,199  
      Dominion Energy Gas Holdings LLC   2.500%   11/15/24     5,500       5,523  
      Dominion Energy Gas Holdings LLC   3.600%   12/15/24     7,750       8,132  
      Dominion Energy Gas Holdings LLC   3.000%   11/15/29     4,000       3,970  
      Dominion Energy Gas Holdings LLC   4.800%   11/1/43     5,675       6,295  
      Dominion Energy Gas Holdings LLC   4.600%   12/15/44     5,035       5,464  
      Enable Midstream Partners LP   3.900%   5/15/24     10,644       10,826  
      Enable Midstream Partners LP   4.400%   3/15/27     12,490       12,269  
      Enable Midstream Partners LP   4.950%   5/15/28     15,785       15,946  
      Enable Midstream Partners LP   4.150%   9/15/29     5,300       5,010  
      Enable Midstream Partners LP   5.000%   5/15/44     925       831  
      Enbridge Energy Partners LP   4.200%   9/15/21     593       611  
      Enbridge Energy Partners LP   5.875%   10/15/25     4,585       5,341  
      Enbridge Energy Partners LP   7.500%   4/15/38     9,310       13,295  
      Enbridge Energy Partners LP   5.500%   9/15/40     2,645       3,124  
      Enbridge Energy Partners LP   7.375%   10/15/45     9,366       13,915  
      Enbridge Inc.   2.900%   7/15/22     7,305       7,434  
      Enbridge Inc.   4.000%   10/1/23     1,000       1,055  
      Enbridge Inc.   2.500%   1/15/25     5,500       5,537  
      Enbridge Inc.   4.250%   12/1/26     7,332       8,054  
      Enbridge Inc.   3.700%   7/15/27     25,850       27,188  
      Enbridge Inc.   3.125%   11/15/29     11,900       12,007  
      Enbridge Inc.   4.500%   6/10/44     7,295       8,003  
      Enbridge Inc.   4.000%   11/15/49     5,500       5,726  
      Encana Corp.   3.900%   11/15/21     6,447       6,593  
      Encana Corp.   8.125%   9/15/30     3,550       4,467  
      Encana Corp.   7.200%   11/1/31     435       531  
      Encana Corp.   7.375%   11/1/31     4,600       5,621  
      Encana Corp.   6.500%   8/15/34     10,160       11,923  
      Encana Corp.   6.625%   8/15/37     2,158       2,554  
      Encana Corp.   6.500%   2/1/38     10,850       12,740  
      Energy Transfer Operating LP   4.650%   6/1/21     7,990       8,196  
      Energy Transfer Operating LP   5.200%   2/1/22     8,754       9,175  
      Energy Transfer Operating LP   3.600%   2/1/23     21,086       21,594  
      Energy Transfer Operating LP   4.250%   3/15/23     22,090       23,069  
      Energy Transfer Operating LP   4.200%   9/15/23     3,690       3,869  
      Energy Transfer Operating LP   4.900%   2/1/24     2,029       2,167  

 

94

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Energy Transfer Operating LP   4.500%   4/15/24     1,250       1,327  
      Energy Transfer Operating LP   4.050%   3/15/25     13,125       13,761  
      Energy Transfer Operating LP   4.750%   1/15/26     14,600       15,726  
      Energy Transfer Operating LP   4.200%   4/15/27     9,520       9,957  
      Energy Transfer Operating LP   5.500%   6/1/27     19,550       21,955  
      Energy Transfer Operating LP   5.250%   4/15/29     8,040       9,013  
      Energy Transfer Operating LP   6.250%   4/15/49     14,750       17,751  
      Energy Transfer Partners LP   4.950%   6/15/28     16,150       17,659  
      Energy Transfer Partners LP   4.900%   3/15/35     4,648       4,854  
      Energy Transfer Partners LP   6.625%   10/15/36     3,980       4,728  
      Energy Transfer Partners LP   5.800%   6/15/38     8,125       9,169  
      Energy Transfer Partners LP   7.500%   7/1/38     5,882       7,492  
      Energy Transfer Partners LP   6.050%   6/1/41     8,120       9,107  
      Energy Transfer Partners LP   6.500%   2/1/42     10,008       11,893  
      Energy Transfer Partners LP   5.150%   2/1/43     1,774       1,824  
      Energy Transfer Partners LP   5.950%   10/1/43     4,772       5,288  
      Energy Transfer Partners LP   5.150%   3/15/45     4,078       4,286  
      Energy Transfer Partners LP   6.125%   12/15/45     17,770       20,552  
      Energy Transfer Partners LP   5.300%   4/15/47     8,730       9,323  
      Energy Transfer Partners LP   6.000%   6/15/48     14,485       16,806  
      Enterprise Products Operating LLC   2.800%   2/15/21     10,270       10,364  
      Enterprise Products Operating LLC   2.850%   4/15/21     1,985       2,004  
      Enterprise Products Operating LLC   3.500%   2/1/22     8,075       8,315  
      Enterprise Products Operating LLC   4.050%   2/15/22     475       495  
      Enterprise Products Operating LLC   3.350%   3/15/23     20,288       20,967  
      Enterprise Products Operating LLC   3.900%   2/15/24     14,040       14,913  
      Enterprise Products Operating LLC   3.750%   2/15/25     17,160       18,269  
      Enterprise Products Operating LLC   3.700%   2/15/26     8,452       9,006  
      Enterprise Products Operating LLC   3.950%   2/15/27     1,247       1,347  
      Enterprise Products Operating LLC   4.150%   10/16/28     5,000       5,511  
      Enterprise Products Operating LLC   3.125%   7/31/29     20,825       21,376  
      Enterprise Products Operating LLC   6.875%   3/1/33     5,643       7,690  
      Enterprise Products Operating LLC   6.650%   10/15/34     1,660       2,251  
      Enterprise Products Operating LLC   7.550%   4/15/38     3,344       4,809  
      Enterprise Products Operating LLC   6.125%   10/15/39     13,086       17,005  
      Enterprise Products Operating LLC   5.950%   2/1/41     8,216       10,576  
      Enterprise Products Operating LLC   5.700%   2/15/42     6,395       8,158  
      Enterprise Products Operating LLC   4.850%   8/15/42     8,390       9,665  
      Enterprise Products Operating LLC   4.450%   2/15/43     15,433       16,865  
      Enterprise Products Operating LLC   4.850%   3/15/44     24,885       28,797  
      Enterprise Products Operating LLC   5.100%   2/15/45     4,407       5,275  
      Enterprise Products Operating LLC   4.900%   5/15/46     20,533       24,058  
      Enterprise Products Operating LLC   4.250%   2/15/48     23,540       25,385  
      Enterprise Products Operating LLC   4.800%   2/1/49     8,350       9,792  
      Enterprise Products Operating LLC   4.200%   1/31/50     14,000       15,019  
      Enterprise Products Operating LLC   4.950%   10/15/54     5,530       6,398  
4     Enterprise Products Operating LLC   4.875%   8/16/77     600       592  
4     Enterprise Products Operating LLC   5.250%   8/16/77     3,975       3,969  
4     Enterprise Products Operating LLC   5.375%   2/15/78     5,780       5,708  
      EOG Resources Inc.   4.100%   2/1/21     9,540       9,761  
      EOG Resources Inc.   2.625%   3/15/23     17,608       17,915  
      EOG Resources Inc.   3.150%   4/1/25     8,281       8,673  
      EOG Resources Inc.   4.150%   1/15/26     11,410       12,549  
      EOG Resources Inc.   3.900%   4/1/35     5,026       5,579  
      EQM Midstream Partners LP   4.750%   7/15/23     6,850       6,867  
      EQM Midstream Partners LP   4.000%   8/1/24     10,549       10,252  
      EQM Midstream Partners LP   4.125%   12/1/26     4,900       4,592  
      EQM Midstream Partners LP   5.500%   7/15/28     8,500       8,333  
      EQM Midstream Partners LP   6.500%   7/15/48     9,275       8,719  
      EQT Corp.   4.875%   11/15/21     7,155       7,348  
      EQT Corp.   3.000%   10/1/22     8,500       8,309  
      EQT Corp.   3.900%   10/1/27     14,411       13,396  
      Exxon Mobil Corp.   2.222%   3/1/21     16,870       16,961  
      Exxon Mobil Corp.   2.397%   3/6/22     29,063       29,436  

 

95

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Exxon Mobil Corp.   1.902%   8/16/22     4,380       4,408  
      Exxon Mobil Corp.   2.726%   3/1/23     33,332       34,118  
      Exxon Mobil Corp.   3.176%   3/15/24     3,000       3,142  
      Exxon Mobil Corp.   2.019%   8/16/24     5,100       5,113  
      Exxon Mobil Corp.   2.709%   3/6/25     21,645       22,365  
      Exxon Mobil Corp.   3.043%   3/1/26     15,916       16,697  
      Exxon Mobil Corp.   2.275%   8/16/26     7,500       7,518  
      Exxon Mobil Corp.   2.440%   8/16/29     14,350       14,420  
      Exxon Mobil Corp.   2.995%   8/16/39     10,300       10,319  
      Exxon Mobil Corp.   3.567%   3/6/45     16,550       17,708  
      Exxon Mobil Corp.   4.114%   3/1/46     16,550       19,369  
      Exxon Mobil Corp.   3.095%   8/16/49     20,000       19,830  
      Halliburton Co.   3.500%   8/1/23     4,549       4,727  
      Halliburton Co.   3.800%   11/15/25     44,975       47,987  
      Halliburton Co.   4.850%   11/15/35     14,928       16,839  
      Halliburton Co.   6.700%   9/15/38     15,645       20,635  
      Halliburton Co.   4.500%   11/15/41     2,000       2,135  
      Halliburton Co.   4.750%   8/1/43     10,730       11,792  
      Halliburton Co.   5.000%   11/15/45     21,267       24,208  
      Helmerich & Payne Inc.   4.650%   3/15/25     5,000       5,442  
      Hess Corp.   3.500%   7/15/24     3,100       3,179  
      Hess Corp.   4.300%   4/1/27     7,240       7,711  
      Hess Corp.   7.875%   10/1/29     7,343       9,554  
      Hess Corp.   7.300%   8/15/31     4,873       6,162  
      Hess Corp.   7.125%   3/15/33     4,642       5,878  
      Hess Corp.   6.000%   1/15/40     16,010       18,858  
      Hess Corp.   5.600%   2/15/41     14,718       17,189  
      Hess Corp.   5.800%   4/1/47     2,953       3,594  
      HollyFrontier Corp.   5.875%   4/1/26     2,520       2,830  
      Husky Energy Inc.   3.950%   4/15/22     12,571       12,997  
      Husky Energy Inc.   4.000%   4/15/24     15,898       16,719  
      Husky Energy Inc.   4.400%   4/15/29     16,800       18,082  
      Husky Energy Inc.   6.800%   9/15/37     2,966       3,885  
      Kinder Morgan Energy Partners LP   3.500%   3/1/21     1,271       1,288  
      Kinder Morgan Energy Partners LP   5.800%   3/1/21     6,435       6,704  
      Kinder Morgan Energy Partners LP   5.000%   10/1/21     12,715       13,252  
      Kinder Morgan Energy Partners LP   4.150%   3/1/22     6,214       6,463  
      Kinder Morgan Energy Partners LP   3.950%   9/1/22     8,250       8,593  
      Kinder Morgan Energy Partners LP   3.450%   2/15/23     10,394       10,702  
      Kinder Morgan Energy Partners LP   3.500%   9/1/23     13,449       13,932  
      Kinder Morgan Energy Partners LP   4.150%   2/1/24     450       479  
      Kinder Morgan Energy Partners LP   4.300%   5/1/24     21,611       23,092  
      Kinder Morgan Energy Partners LP   4.250%   9/1/24     2,328       2,490  
      Kinder Morgan Energy Partners LP   7.400%   3/15/31     285       373  
      Kinder Morgan Energy Partners LP   7.300%   8/15/33     3,490       4,609  
      Kinder Morgan Energy Partners LP   5.800%   3/15/35     5,549       6,570  
      Kinder Morgan Energy Partners LP   6.500%   2/1/37     22,586       28,149  
      Kinder Morgan Energy Partners LP   6.950%   1/15/38     4,871       6,434  
      Kinder Morgan Energy Partners LP   6.500%   9/1/39     6,945       8,777  
      Kinder Morgan Energy Partners LP   6.550%   9/15/40     7,200       9,135  
      Kinder Morgan Energy Partners LP   7.500%   11/15/40     6,575       8,921  
      Kinder Morgan Energy Partners LP   6.375%   3/1/41     2,315       2,871  
      Kinder Morgan Energy Partners LP   5.625%   9/1/41     12,027       13,870  
      Kinder Morgan Energy Partners LP   5.000%   8/15/42     4,631       5,020  
      Kinder Morgan Energy Partners LP   4.700%   11/1/42     12,174       12,870  
      Kinder Morgan Energy Partners LP   5.000%   3/1/43     3,791       4,144  
      Kinder Morgan Energy Partners LP   5.500%   3/1/44     15,427       17,772  
      Kinder Morgan Energy Partners LP   5.400%   9/1/44     2,729       3,106  
7     Kinder Morgan Inc.   5.000%   2/15/21     6,475       6,665  
      Kinder Morgan Inc.   3.150%   1/15/23     10,749       10,989  
      Kinder Morgan Inc.   4.300%   6/1/25     7,500       8,126  
      Kinder Morgan Inc.   4.300%   3/1/28     14,394       15,663  
      Kinder Morgan Inc.   7.800%   8/1/31     4,850       6,632  
      Kinder Morgan Inc.   7.750%   1/15/32     10,653       14,599  

 

96

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Kinder Morgan Inc.   5.300%   12/1/34     15,127       17,828  
      Kinder Morgan Inc.   5.550%   6/1/45     21,396       25,601  
      Kinder Morgan Inc.   5.050%   2/15/46     9,675       10,821  
      Magellan Midstream Partners LP   4.250%   2/1/21     3,795       3,879  
      Magellan Midstream Partners LP   5.000%   3/1/26     8,250       9,296  
      Magellan Midstream Partners LP   5.150%   10/15/43     176       205  
      Magellan Midstream Partners LP   4.250%   9/15/46     4,152       4,395  
      Magellan Midstream Partners LP   4.200%   10/3/47     8,540       8,988  
      Magellan Midstream Partners LP   4.850%   2/1/49     6,375       7,342  
      Magellan Midstream Partners LP   3.950%   3/1/50     3,000       3,076  
      Marathon Oil Corp.   2.800%   11/1/22     12,793       12,987  
      Marathon Oil Corp.   3.850%   6/1/25     12,175       12,854  
      Marathon Oil Corp.   4.400%   7/15/27     11,552       12,536  
      Marathon Oil Corp.   6.800%   3/15/32     6,093       7,724  
      Marathon Oil Corp.   6.600%   10/1/37     8,280       10,526  
      Marathon Oil Corp.   5.200%   6/1/45     5,675       6,577  
      Marathon Petroleum Corp.   3.400%   12/15/20     5,725       5,787  
      Marathon Petroleum Corp.   5.125%   3/1/21     13,487       13,947  
      Marathon Petroleum Corp.   5.375%   10/1/22     2,125       2,149  
      Marathon Petroleum Corp.   4.750%   12/15/23     25,445       27,616  
      Marathon Petroleum Corp.   5.125%   4/1/24     1,000       1,028  
      Marathon Petroleum Corp.   3.625%   9/15/24     7,380       7,738  
      Marathon Petroleum Corp.   5.125%   12/15/26     24,760       27,967  
      Marathon Petroleum Corp.   3.800%   4/1/28     6,240       6,522  
      Marathon Petroleum Corp.   6.500%   3/1/41     13,115       16,979  
      Marathon Petroleum Corp.   4.750%   9/15/44     5,647       6,142  
      Marathon Petroleum Corp.   5.850%   12/15/45     1,459       1,663  
      Marathon Petroleum Corp.   4.500%   4/1/48     5,270       5,556  
      Marathon Petroleum Corp.   5.000%   9/15/54     4,568       4,917  
7     MPLX LP   3.500%   12/1/22     1,850       1,905  
      MPLX LP   3.375%   3/15/23     4,865       4,992  
      MPLX LP   4.500%   7/15/23     18,525       19,661  
      MPLX LP   4.875%   12/1/24     32,426       35,165  
7     MPLX LP   5.250%   1/15/25     750       787  
      MPLX LP   4.000%   2/15/25     4,208       4,389  
      MPLX LP   4.875%   6/1/25     4,363       4,763  
      MPLX LP   4.125%   3/1/27     14,091       14,743  
7     MPLX LP   4.250%   12/1/27     17,660       18,527  
      MPLX LP   4.000%   3/15/28     13,325       13,803  
      MPLX LP   4.500%   4/15/38     18,700       19,017  
      MPLX LP   5.200%   3/1/47     17,745       19,054  
7     MPLX LP   5.200%   12/1/47     10,200       10,705  
      MPLX LP   4.700%   4/15/48     14,700       14,819  
      MPLX LP   5.500%   2/15/49     17,775       20,136  
      MPLX LP   4.900%   4/15/58     6,650       6,766  
      National Fuel Gas Co.   4.900%   12/1/21     912       951  
      National Fuel Gas Co.   3.750%   3/1/23     3,660       3,759  
      National Fuel Gas Co.   5.200%   7/15/25     2,200       2,394  
      National Fuel Gas Co.   3.950%   9/15/27     3,190       3,227  
      National Fuel Gas Co.   4.750%   9/1/28     10,055       10,693  
      National Oilwell Varco Inc.   2.600%   12/1/22     7,460       7,532  
      National Oilwell Varco Inc.   3.600%   12/1/29     6,000       6,005  
      National Oilwell Varco Inc.   3.950%   12/1/42     8,338       7,828  
      Newfield Exploration Co.   5.750%   1/30/22     13,275       14,105  
      Newfield Exploration Co.   5.625%   7/1/24     3,300       3,630  
      Newfield Exploration Co.   5.375%   1/1/26     35,700       38,690  
      Noble Energy Inc.   3.900%   11/15/24     5,475       5,784  
      Noble Energy Inc.   3.850%   1/15/28     9,225       9,701  
      Noble Energy Inc.   3.250%   10/15/29     4,050       4,081  
      Noble Energy Inc.   6.000%   3/1/41     13,023       15,578  
      Noble Energy Inc.   5.250%   11/15/43     10,987       12,379  
      Noble Energy Inc.   5.050%   11/15/44     7,400       8,156  
      Noble Energy Inc.   4.950%   8/15/47     6,055       6,723  
      Noble Energy Inc.   4.200%   10/15/49     5,000       5,026  

 

97

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Occidental Petroleum Corp.   4.100%   2/1/21     19,016       19,309  
      Occidental Petroleum Corp.   4.850%   3/15/21     3,377       3,475  
      Occidental Petroleum Corp.   2.600%   8/13/21     18,000       18,108  
      Occidental Petroleum Corp.   3.125%   2/15/22     9,215       9,367  
      Occidental Petroleum Corp.   2.600%   4/15/22     4,991       5,025  
      Occidental Petroleum Corp.   2.700%   8/15/22     20,000       20,218  
      Occidental Petroleum Corp.   2.700%   2/15/23     11,731       11,820  
      Occidental Petroleum Corp.   6.950%   7/1/24     9,687       11,358  
      Occidental Petroleum Corp.   2.900%   8/15/24     27,300       27,729  
      Occidental Petroleum Corp.   3.500%   6/15/25     5,652       5,827  
      Occidental Petroleum Corp.   5.550%   3/15/26     19,463       22,052  
      Occidental Petroleum Corp.   3.400%   4/15/26     15,384       15,727  
      Occidental Petroleum Corp.   3.200%   8/15/26     11,020       11,139  
      Occidental Petroleum Corp.   3.500%   8/15/29     17,400       17,742  
      Occidental Petroleum Corp.   7.500%   5/1/31     8,861       11,500  
      Occidental Petroleum Corp.   7.875%   9/15/31     4,029       5,338  
      Occidental Petroleum Corp.   6.450%   9/15/36     19,985       24,340  
      Occidental Petroleum Corp.   7.950%   6/15/39     3,480       4,780  
      Occidental Petroleum Corp.   4.300%   8/15/39     8,020       8,131  
      Occidental Petroleum Corp.   6.200%   3/15/40     16,118       19,173  
      Occidental Petroleum Corp.   4.500%   7/15/44     9,390       9,385  
      Occidental Petroleum Corp.   4.625%   6/15/45     10,331       10,565  
      Occidental Petroleum Corp.   6.600%   3/15/46     9,625       12,480  
      Occidental Petroleum Corp.   4.400%   4/15/46     22,978       23,207  
      Occidental Petroleum Corp.   4.100%   2/15/47     8,460       8,198  
      Occidental Petroleum Corp.   4.200%   3/15/48     5,275       5,220  
      Occidental Petroleum Corp.   4.400%   8/15/49     6,355       6,542  
      ONEOK Inc.   4.250%   2/1/22     12,375       12,841  
      ONEOK Inc.   7.500%   9/1/23     8,650       10,062  
      ONEOK Inc.   2.750%   9/1/24     5,300       5,327  
      ONEOK Inc.   4.000%   7/13/27     3,175       3,352  
      ONEOK Inc.   3.400%   9/1/29     20,485       20,714  
      ONEOK Inc.   6.000%   6/15/35     1,000       1,165  
      ONEOK Inc.   4.950%   7/13/47     11,675       12,775  
      ONEOK Inc.   5.200%   7/15/48     4,250       4,813  
      ONEOK Inc.   4.450%   9/1/49     8,300       8,521  
      ONEOK Partners LP   3.375%   10/1/22     13,532       13,921  
      ONEOK Partners LP   4.900%   3/15/25     7,219       7,928  
      ONEOK Partners LP   6.650%   10/1/36     14,814       18,695  
      ONEOK Partners LP   6.850%   10/15/37     7,155       9,182  
      ONEOK Partners LP   6.125%   2/1/41     5,045       6,054  
      Patterson-UTI Energy Inc.   3.950%   2/1/28     6,505       6,279  
      Patterson-UTI Energy Inc.   5.150%   11/15/29     4,000       4,084  
      Petro-Canada   5.350%   7/15/33     3,730       4,598  
      Petro-Canada   5.950%   5/15/35     7,830       10,168  
      Petro-Canada   6.800%   5/15/38     10,263       14,622  
      Phillips 66   4.300%   4/1/22     14,360       15,062  
      Phillips 66   3.900%   3/15/28     8,760       9,521  
      Phillips 66   4.650%   11/15/34     5,668       6,612  
      Phillips 66   5.875%   5/1/42     13,206       17,833  
      Phillips 66   4.875%   11/15/44     24,171       29,114  
      Phillips 66 Partners LP   2.450%   12/15/24     3,000       2,992  
      Phillips 66 Partners LP   3.605%   2/15/25     8,183       8,537  
      Phillips 66 Partners LP   3.550%   10/1/26     2,500       2,614  
      Phillips 66 Partners LP   3.750%   3/1/28     3,575       3,716  
      Phillips 66 Partners LP   3.150%   12/15/29     6,500       6,454  
      Phillips 66 Partners LP   4.680%   2/15/45     6,900       7,429  
      Phillips 66 Partners LP   4.900%   10/1/46     5,376       6,009  
      Pioneer Natural Resources Co.   3.450%   1/15/21     3,680       3,722  
      Pioneer Natural Resources Co.   3.950%   7/15/22     21,210       22,062  
      Pioneer Natural Resources Co.   4.450%   1/15/26     9,495       10,415  
      Plains All American Pipeline LP / PAA Finance Corp.   5.000%   2/1/21     6,112       6,248  
      Plains All American Pipeline LP / PAA Finance Corp.   3.650%   6/1/22     4,134       4,242  
      Plains All American Pipeline LP / PAA Finance Corp.   2.850%   1/31/23     14,938       15,099  

 

98

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Plains All American Pipeline LP / PAA Finance Corp.   3.850%   10/15/23     4,009       4,154  
      Plains All American Pipeline LP / PAA Finance Corp.   3.600%   11/1/24     24,515       25,148  
      Plains All American Pipeline LP / PAA Finance Corp.   4.650%   10/15/25     7,908       8,458  
      Plains All American Pipeline LP / PAA Finance Corp.   4.500%   12/15/26     10,854       11,521  
      Plains All American Pipeline LP / PAA Finance Corp.   3.550%   12/15/29     10,000       9,827  
      Plains All American Pipeline LP / PAA Finance Corp.   6.650%   1/15/37     3,181       3,742  
      Plains All American Pipeline LP / PAA Finance Corp.   5.150%   6/1/42     6,925       6,930  
      Plains All American Pipeline LP / PAA Finance Corp.   4.300%   1/31/43     10,897       9,931  
      Plains All American Pipeline LP / PAA Finance Corp.   4.700%   6/15/44     5,535       5,377  
      Plains All American Pipeline LP / PAA Finance Corp.   4.900%   2/15/45     300       298  
      Regency Energy Partners LP / Regency Energy Finance Corp.   5.875%   3/1/22     10,610       11,268  
      Regency Energy Partners LP / Regency Energy Finance Corp.   5.000%   10/1/22     21,120       22,361  
      Regency Energy Partners LP / Regency Energy Finance Corp.   4.500%   11/1/23     14,200       15,016  
      Sabine Pass Liquefaction LLC   5.625%   2/1/21     32,487       33,397  
      Sabine Pass Liquefaction LLC   6.250%   3/15/22     14,525       15,609  
      Sabine Pass Liquefaction LLC   5.625%   4/15/23     16,008       17,409  
      Sabine Pass Liquefaction LLC   5.750%   5/15/24     22,950       25,601  
      Sabine Pass Liquefaction LLC   5.625%   3/1/25     26,050       29,274  
      Sabine Pass Liquefaction LLC   5.875%   6/30/26     25,067       28,796  
      Sabine Pass Liquefaction LLC   5.000%   3/15/27     9,717       10,701  
      Sabine Pass Liquefaction LLC   4.200%   3/15/28     15,290       16,189  
      Schlumberger Investment SA   3.650%   12/1/23     18,205       19,169  
      Shell International Finance BV   1.875%   5/10/21     23,850       23,840  
      Shell International Finance BV   1.750%   9/12/21     13,475       13,458  
      Shell International Finance BV   2.375%   8/21/22     11,531       11,679  
      Shell International Finance BV   2.250%   1/6/23     12,378       12,477  
      Shell International Finance BV   3.400%   8/12/23     9,345       9,791  
      Shell International Finance BV   3.500%   11/13/23     7,500       7,885  
      Shell International Finance BV   2.000%   11/7/24     10,000       9,983  
      Shell International Finance BV   3.250%   5/11/25     26,415       27,911  
      Shell International Finance BV   2.875%   5/10/26     31,120       32,265  
      Shell International Finance BV   2.500%   9/12/26     19,685       19,970  
      Shell International Finance BV   3.875%   11/13/28     16,585       18,373  
      Shell International Finance BV   2.375%   11/7/29     17,250       17,075  
      Shell International Finance BV   4.125%   5/11/35     16,555       19,322  
      Shell International Finance BV   6.375%   12/15/38     26,932       39,296  
      Shell International Finance BV   5.500%   3/25/40     6,603       8,938  
      Shell International Finance BV   3.625%   8/21/42     8,944       9,554  
      Shell International Finance BV   4.550%   8/12/43     13,487       16,276  
      Shell International Finance BV   4.375%   5/11/45     30,524       36,347  
      Shell International Finance BV   4.000%   5/10/46     29,986       34,157  
      Shell International Finance BV   3.750%   9/12/46     6,680       7,305  
      Shell International Finance BV   3.125%   11/7/49     18,645       18,383  
      Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.   4.400%   6/15/21     6,418       6,584  
      Spectra Energy Partners LP   4.750%   3/15/24     6,460       7,022  
      Spectra Energy Partners LP   3.500%   3/15/25     13,980       14,602  
      Spectra Energy Partners LP   3.375%   10/15/26     6,098       6,310  
      Spectra Energy Partners LP   5.950%   9/25/43     951       1,183  
      Spectra Energy Partners LP   4.500%   3/15/45     13,775       15,142  
      Suncor Energy Inc.   3.600%   12/1/24     3,540       3,749  
      Suncor Energy Inc.   7.150%   2/1/32     5,003       6,987  
      Suncor Energy Inc.   5.950%   12/1/34     2,135       2,782  
      Suncor Energy Inc.   6.500%   6/15/38     19,738       27,403  
      Suncor Energy Inc.   6.850%   6/1/39     2,954       4,269  
      Suncor Energy Inc.   4.000%   11/15/47     9,550       10,374  
      Sunoco Logistics Partners Operations LP   4.400%   4/1/21     23,900       24,472  
      Sunoco Logistics Partners Operations LP   3.450%   1/15/23     1,789       1,825  
      Sunoco Logistics Partners Operations LP   4.250%   4/1/24     7,593       7,967  
      Sunoco Logistics Partners Operations LP   5.950%   12/1/25     4,275       4,909  
      Sunoco Logistics Partners Operations LP   3.900%   7/15/26     6,085       6,302  

 

99

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Sunoco Logistics Partners Operations LP   4.000%   10/1/27     9,940       10,242  
      Sunoco Logistics Partners Operations LP   6.100%   2/15/42     9,115       9,998  
      Sunoco Logistics Partners Operations LP   4.950%   1/15/43     1,075       1,066  
      Sunoco Logistics Partners Operations LP   5.300%   4/1/44     12,878       13,571  
      Sunoco Logistics Partners Operations LP   5.350%   5/15/45     15,427       16,444  
      Sunoco Logistics Partners Operations LP   5.400%   10/1/47     9,945       10,740  
      TC PipeLines LP   3.900%   5/25/27     6,500       6,783  
      TechnipFMC plc   3.450%   10/1/22     5,322       5,415  
      Tennessee Gas Pipeline Co. LLC   7.000%   3/15/27     1,580       1,947  
      Tennessee Gas Pipeline Co. LLC   7.000%   10/15/28     2,520       3,211  
      Tennessee Gas Pipeline Co. LLC   7.625%   4/1/37     1,792       2,371  
7     Texas Eastern Transmission LP   2.800%   10/15/22     165       167  
      Texas Eastern Transmission LP   7.000%   7/15/32     5,860       7,856  
      Total Capital Canada Ltd.   2.750%   7/15/23     24,340       24,907  
      Total Capital International SA   2.750%   6/19/21     27,828       28,188  
      Total Capital International SA   2.218%   7/12/21     9,000       9,042  
      Total Capital International SA   2.875%   2/17/22     6,765       6,902  
      Total Capital International SA   2.700%   1/25/23     11,050       11,288  
      Total Capital International SA   3.700%   1/15/24     24,850       26,371  
      Total Capital International SA   3.750%   4/10/24     290       310  
      Total Capital International SA   2.434%   1/10/25     10,000       10,112  
      Total Capital International SA   3.455%   2/19/29     13,700       14,794  
      Total Capital International SA   2.829%   1/10/30     15,700       16,095  
      Total Capital International SA   3.461%   7/12/49     9,200       9,673  
      Total Capital SA   4.125%   1/28/21     8,556       8,749  
      Total Capital SA   3.883%   10/11/28     8,400       9,366  
      TransCanada PipeLines Ltd.   2.500%   8/1/22     15,487       15,558  
      TransCanada PipeLines Ltd.   3.750%   10/16/23     4,607       4,828  
      TransCanada PipeLines Ltd.   4.875%   1/15/26     19,432       21,714  
      TransCanada PipeLines Ltd.   4.250%   5/15/28     12,350       13,662  
      TransCanada PipeLines Ltd.   4.625%   3/1/34     15,225       17,397  
      TransCanada PipeLines Ltd.   5.600%   3/31/34     2,755       3,334  
      TransCanada PipeLines Ltd.   5.850%   3/15/36     14,615       17,700  
      TransCanada PipeLines Ltd.   6.200%   10/15/37     19,565       25,359  
      TransCanada PipeLines Ltd.   4.750%   5/15/38     9,895       11,298  
      TransCanada PipeLines Ltd.   6.100%   6/1/40     10,260       13,316  
      TransCanada PipeLines Ltd.   5.000%   10/16/43     20,825       24,145  
      TransCanada PipeLines Ltd.   4.875%   5/15/48     14,450       16,974  
      TransCanada PipeLines Ltd.   5.100%   3/15/49     10,800       13,070  
      Transcontinental Gas Pipe Line Co. LLC   7.850%   2/1/26     7,523       9,584  
      Transcontinental Gas Pipe Line Co. LLC   4.000%   3/15/28     5,500       5,848  
      Transcontinental Gas Pipe Line Co. LLC   5.400%   8/15/41     618       717  
      Transcontinental Gas Pipe Line Co. LLC   4.450%   8/1/42     1,050       1,102  
      Transcontinental Gas Pipe Line Co. LLC   4.600%   3/15/48     4,000       4,263  
      Valero Energy Corp.   3.400%   9/15/26     16,129       16,902  
      Valero Energy Corp.   4.350%   6/1/28     16,185       17,764  
      Valero Energy Corp.   4.000%   4/1/29     8,945       9,621  
      Valero Energy Corp.   7.500%   4/15/32     8,816       12,240  
      Valero Energy Corp.   6.625%   6/15/37     10,913       14,441  
      Valero Energy Corp.   4.900%   3/15/45     11,200       12,928  
      Valero Energy Partners LP   4.375%   12/15/26     5,692       6,198  
      Valero Energy Partners LP   4.500%   3/15/28     5,800       6,352  
      Western Midstream Operating LP   5.375%   6/1/21     4,957       5,091  
      Western Midstream Operating LP   4.000%   7/1/22     4,045       4,130  
      Western Midstream Operating LP   3.950%   6/1/25     3,700       3,701  
      Western Midstream Operating LP   4.650%   7/1/26     6,441       6,610  
      Western Midstream Operating LP   4.500%   3/1/28     2,480       2,378  
      Western Midstream Operating LP   4.750%   8/15/28     1,595       1,582  
      Western Midstream Operating LP   5.450%   4/1/44     10,773       9,378  
      Western Midstream Operating LP   5.300%   3/1/48     9,950       8,542  
      Williams Cos. Inc.   4.000%   11/15/21     7,494       7,705  
      Williams Cos. Inc.   3.600%   3/15/22     14,570       14,971  
      Williams Cos. Inc.   3.350%   8/15/22     10,525       10,786  
      Williams Cos. Inc.   3.700%   1/15/23     14,125       14,579  

 

100

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Williams Cos. Inc.   4.500%   11/15/23     5,800       6,190  
      Williams Cos. Inc.   4.300%   3/4/24     15,533       16,500  
      Williams Cos. Inc.   4.550%   6/24/24     26,513       28,588  
      Williams Cos. Inc.   3.900%   1/15/25     16,476       17,253  
      Williams Cos. Inc.   4.000%   9/15/25     8,525       9,024  
      Williams Cos. Inc.   3.750%   6/15/27     20,694       21,501  
      Williams Cos. Inc.   7.500%   1/15/31     250       329  
      Williams Cos. Inc.   6.300%   4/15/40     4,380       5,429  
      Williams Cos. Inc.   5.800%   11/15/43     14,705       17,512  
      Williams Cos. Inc.   5.400%   3/4/44     5,450       6,112  
      Williams Cos. Inc.   5.750%   6/24/44     6,251       7,370  
      Williams Cos. Inc.   4.900%   1/15/45     2,020       2,179  
      Williams Cos. Inc.   5.100%   9/15/45     15,075       16,761  
      Williams Cos. Inc.   4.850%   3/1/48     9,525       10,446  
      Other Industrial (0.1%)                        
4     American University   3.672%   4/1/49     4,500       4,812  
4     Boston University   4.061%   10/1/48     3,055       3,503  
      California Institute of Technology   4.321%   8/1/45     475       567  
      California Institute of Technology   4.700%   11/1/11     10,860       13,189  
      California Institute of Technology   3.650%   9/1/19     2,900       2,803  
      CBRE Services Inc.   5.250%   3/15/25     5,043       5,646  
      CBRE Services Inc.   4.875%   3/1/26     14,015       15,667  
      Cintas Corp. No. 2   2.900%   4/1/22     4,675       4,768  
      Cintas Corp. No. 2   3.250%   6/1/22     4,915       5,057  
      Cintas Corp. No. 2   3.700%   4/1/27     11,705       12,676  
      Fluor Corp.   3.500%   12/15/24     15,079       15,366  
      Fluor Corp.   4.250%   9/15/28     7,060       7,123  
      Georgetown University   4.315%   4/1/49     3,900       4,676  
      Georgetown University   5.215%   10/1/18     3,412       4,386  
      Hillenbrand Inc.   4.500%   9/15/26     4,125       4,279  
4     Johns Hopkins University   4.083%   7/1/53     3,900       4,504  
      Leland Stanford Junior University   3.647%   5/1/48     6,574       7,347  
4     Massachusetts Institute of Technology   3.959%   7/1/38     7,775       8,707  
      Massachusetts Institute of Technology   2.989%   7/1/50     4,000       3,960  
      Massachusetts Institute of Technology   5.600%   7/1/11     9,921       15,148  
      Massachusetts Institute of Technology   4.678%   7/1/14     5,680       7,325  
      Massachusetts Institute of Technology   3.885%   7/1/16     8,060       8,774  
4     Northwestern University   4.643%   12/1/44     6,125       7,611  
4     Northwestern University   3.662%   12/1/57     4,294       4,736  
      President & Fellows of Harvard College   3.619%   10/1/37     2,500       2,659  
7     President & Fellows of Harvard College   6.500%   1/15/39     100       148  
      President & Fellows of Harvard College   4.875%   10/15/40     6,100       7,762  
      President & Fellows of Harvard College   3.150%   7/15/46     5,337       5,414  
      President & Fellows of Harvard College   3.300%   7/15/56     2,660       2,735  
      Steelcase Inc.   5.125%   1/18/29     4,730       5,333  
4     Trustees of Boston College   3.129%   7/1/52     4,560       4,429  
4     University of Chicago   4.003%   10/1/53     6,610       7,522  
4     University of Notre Dame du Lac   3.438%   2/15/45     7,000       7,442  
      University of Notre Dame du Lac   3.394%   2/15/48     4,275       4,544  
      University of Pennsylvania   4.674%   9/1/12     10,175       13,312  
      University of Pennsylvania   3.610%   2/15/19     4,985       5,096  
4     University of Southern California   3.028%   10/1/39     9,125       9,161  
4     University of Southern California   3.841%   10/1/47     13,625       15,137  
4     William Marsh Rice University   3.574%   5/15/45     14,660       15,636  
      Technology (2.2%)                        
      Adobe Inc.   3.250%   2/1/25     13,407       14,140  
      Alphabet Inc.   3.625%   5/19/21     13,553       13,893  
      Alphabet Inc.   3.375%   2/25/24     2,000       2,126  
      Alphabet Inc.   1.998%   8/15/26     1,394       1,387  
      Altera Corp.   4.100%   11/15/23     7,030       7,571  
      Amphenol Corp.   3.200%   4/1/24     3,650       3,778  
      Amphenol Corp.   2.800%   2/15/30     15,350       15,114  
      Analog Devices Inc.   2.950%   1/12/21     325       328  

 

101

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Analog Devices Inc.   2.500%   12/5/21     5,475       5,518  
      Analog Devices Inc.   2.875%   6/1/23     14,050       14,323  
      Analog Devices Inc.   3.125%   12/5/23     10,124       10,444  
      Analog Devices Inc.   3.900%   12/15/25     164       176  
      Analog Devices Inc.   3.500%   12/5/26     10,915       11,444  
      Analog Devices Inc.   5.300%   12/15/45     850       1,035  
      Apple Inc.   2.000%   11/13/20     13,400       13,434  
      Apple Inc.   2.250%   2/23/21     35,506       35,682  
      Apple Inc.   2.850%   5/6/21     35,110       35,647  
      Apple Inc.   1.550%   8/4/21     20,941       20,895  
      Apple Inc.   2.150%   2/9/22     29,524       29,773  
      Apple Inc.   2.500%   2/9/22     17,325       17,583  
      Apple Inc.   2.300%   5/11/22     15,795       15,990  
      Apple Inc.   2.700%   5/13/22     20,159       20,588  
      Apple Inc.   2.100%   9/12/22     5,130       5,171  
      Apple Inc.   2.400%   1/13/23     16,217       16,454  
      Apple Inc.   2.850%   2/23/23     20,095       20,634  
      Apple Inc.   2.400%   5/3/23     39,713       40,358  
      Apple Inc.   3.000%   2/9/24     14,841       15,360  
      Apple Inc.   3.450%   5/6/24     18,207       19,347  
      Apple Inc.   2.850%   5/11/24     23,032       23,802  
      Apple Inc.   1.800%   9/11/24     5,150       5,103  
      Apple Inc.   2.750%   1/13/25     19,363       19,985  
      Apple Inc.   2.500%   2/9/25     17,374       17,710  
      Apple Inc.   3.200%   5/13/25     14,960       15,791  
      Apple Inc.   3.250%   2/23/26     54,668       57,819  
      Apple Inc.   2.450%   8/4/26     30,008       30,421  
      Apple Inc.   2.050%   9/11/26     11,050       10,929  
      Apple Inc.   3.350%   2/9/27     20,027       21,310  
      Apple Inc.   3.200%   5/11/27     30,239       31,851  
      Apple Inc.   2.900%   9/12/27     38,473       40,002  
      Apple Inc.   3.000%   11/13/27     5,282       5,541  
      Apple Inc.   2.200%   9/11/29     24,000       23,540  
      Apple Inc.   4.500%   2/23/36     14,560       17,655  
      Apple Inc.   3.850%   5/4/43     29,994       33,505  
      Apple Inc.   4.450%   5/6/44     5,072       6,199  
      Apple Inc.   3.450%   2/9/45     16,266       17,079  
      Apple Inc.   4.375%   5/13/45     22,175       26,693  
      Apple Inc.   4.650%   2/23/46     50,326       62,850  
      Apple Inc.   3.850%   8/4/46     28,205       31,655  
      Apple Inc.   4.250%   2/9/47     11,275       13,373  
      Apple Inc.   3.750%   9/12/47     14,494       15,982  
      Apple Inc.   3.750%   11/13/47     10,000       11,084  
      Apple Inc.   2.950%   9/11/49     29,973       29,127  
      Applied Materials Inc.   4.300%   6/15/21     5,050       5,221  
      Applied Materials Inc.   3.900%   10/1/25     7,900       8,600  
      Applied Materials Inc.   3.300%   4/1/27     13,350       14,164  
      Applied Materials Inc.   5.100%   10/1/35     5,278       6,652  
      Applied Materials Inc.   5.850%   6/15/41     7,366       10,045  
      Applied Materials Inc.   4.350%   4/1/47     11,225       13,541  
      Arrow Electronics Inc.   3.500%   4/1/22     4,350       4,451  
      Arrow Electronics Inc.   4.500%   3/1/23     2,154       2,256  
      Arrow Electronics Inc.   3.250%   9/8/24     9,054       9,290  
      Arrow Electronics Inc.   4.000%   4/1/25     3,785       3,919  
      Arrow Electronics Inc.   3.875%   1/12/28     6,300       6,460  
      Autodesk Inc.   3.600%   12/15/22     1,725       1,782  
      Autodesk Inc.   4.375%   6/15/25     3,363       3,661  
      Autodesk Inc.   3.500%   6/15/27     5,110       5,346  
      Avnet Inc.   3.750%   12/1/21     1,950       1,992  
      Avnet Inc.   4.875%   12/1/22     6,870       7,278  
      Avnet Inc.   4.625%   4/15/26     5,855       6,204  
      Baidu Inc.   2.875%   7/6/22     10,200       10,293  
      Baidu Inc.   3.500%   11/28/22     8,525       8,763  
      Baidu Inc.   3.875%   9/29/23     10,550       11,001  

 

102

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Baidu Inc.   4.375%   5/14/24     9,100       9,696  
      Baidu Inc.   3.625%   7/6/27     8,950       9,227  
      Baidu Inc.   4.375%   3/29/28     5,000       5,419  
      Baidu Inc.   4.875%   11/14/28     7,400       8,321  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   2.200%   1/15/21     9,375       9,363  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.000%   1/15/22     37,715       38,309  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   2.650%   1/15/23     14,500       14,571  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.625%   1/15/24     27,140       28,099  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.125%   1/15/25     15,750       15,936  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.875%   1/15/27     72,243       74,931  
      Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.500%   1/15/28     6,865       6,932  
7     Broadcom Inc.   3.125%   4/15/21     16,200       16,392  
7     Broadcom Inc.   3.125%   10/15/22     16,000       16,278  
7     Broadcom Inc.   3.625%   10/15/24     36,716       38,050  
7     Broadcom Inc.   4.250%   4/15/26     28,150       29,882  
7     Broadcom Inc.   4.750%   4/15/29     34,500       37,664  
      Broadridge Financial Solutions Inc.   3.400%   6/27/26     4,400       4,581  
      Broadridge Financial Solutions Inc.   2.900%   12/1/29     5,000       4,990  
      Cadence Design Systems Inc.   4.375%   10/15/24     3,992       4,279  
      Cisco Systems Inc.   2.200%   2/28/21     54,600       54,834  
      Cisco Systems Inc.   2.900%   3/4/21     1,500       1,518  
      Cisco Systems Inc.   1.850%   9/20/21     8,675       8,683  
      Cisco Systems Inc.   3.000%   6/15/22     357       367  
      Cisco Systems Inc.   2.600%   2/28/23     2,650       2,708  
      Cisco Systems Inc.   2.200%   9/20/23     9,600       9,685  
      Cisco Systems Inc.   3.625%   3/4/24     11,595       12,389  
      Cisco Systems Inc.   3.500%   6/15/25     1,000       1,074  
      Cisco Systems Inc.   2.950%   2/28/26     3,655       3,837  
      Cisco Systems Inc.   2.500%   9/20/26     5,525       5,633  
      Cisco Systems Inc.   5.900%   2/15/39     13,808       19,356  
      Cisco Systems Inc.   5.500%   1/15/40     28,878       39,325  
      Citrix Systems Inc.   4.500%   12/1/27     8,000       8,640  
      Corning Inc.   2.900%   5/15/22     4,775       4,872  
      Corning Inc.   4.700%   3/15/37     5,511       6,069  
      Corning Inc.   5.750%   8/15/40     10,031       12,493  
      Corning Inc.   4.750%   3/15/42     4,600       5,189  
      Corning Inc.   5.350%   11/15/48     1,150       1,433  
      Corning Inc.   4.375%   11/15/57     8,950       9,011  
      Corning Inc.   5.850%   11/15/68     1,445       1,685  
7     Dell International LLC / EMC Corp.   4.420%   6/15/21     47,824       49,154  
7     Dell International LLC / EMC Corp.   5.450%   6/15/23     40,075       43,415  
7     Dell International LLC / EMC Corp.   4.000%   7/15/24     11,950       12,503  
7     Dell International LLC / EMC Corp.   6.020%   6/15/26     69,480       79,967  
7     Dell International LLC / EMC Corp.   4.900%   10/1/26     10,000       11,002  
7     Dell International LLC / EMC Corp.   5.300%   10/1/29     14,175       15,938  
7     Dell International LLC / EMC Corp.   8.100%   7/15/36     17,125       22,459  
7     Dell International LLC / EMC Corp.   8.350%   7/15/46     23,500       32,207  
      DXC Technology Co.   4.250%   4/15/24     17,301       18,307  
      DXC Technology Co.   4.750%   4/15/27     2,500       2,693  
      Equifax Inc.   2.300%   6/1/21     10,450       10,481  
      Equifax Inc.   3.600%   8/15/21     1,550       1,583  
      Equifax Inc.   3.300%   12/15/22     2,200       2,264  
      Equifax Inc.   3.950%   6/15/23     2,930       3,080  
      Equifax Inc.   2.600%   12/1/24     2,725       2,738  
      Equinix Inc.   2.625%   11/18/24     11,000       11,042  
      Equinix Inc.   2.900%   11/18/26     6,000       6,007  
      Equinix Inc.   3.200%   11/18/29     11,188       11,221  
      Fidelity National Information Services Inc.   3.500%   4/15/23     8,411       8,754  
      Fidelity National Information Services Inc.   3.875%   6/5/24     2,043       2,168  
      Fidelity National Information Services Inc.   3.000%   8/15/26     26,160       27,011  
      Fidelity National Information Services Inc.   3.750%   5/21/29     8,348       9,113  
      Fiserv Inc.   4.750%   6/15/21     550       571  
      Fiserv Inc.   3.500%   10/1/22     7,367       7,631  
      Fiserv Inc.   3.800%   10/1/23     14,302       15,076  

 

103

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Fiserv Inc.   2.750%   7/1/24     25,200       25,634  
      Fiserv Inc.   3.850%   6/1/25     14,794       15,738  
      Fiserv Inc.   3.200%   7/1/26     17,000       17,600  
      Fiserv Inc.   4.200%   10/1/28     5,285       5,826  
      Fiserv Inc.   3.500%   7/1/29     44,045       46,305  
      Fiserv Inc.   4.400%   7/1/49     25,275       28,656  
      Flex Ltd.   5.000%   2/15/23     8,320       8,874  
      Flex Ltd.   4.875%   6/15/29     7,600       8,250  
      FLIR Systems Inc.   3.125%   6/15/21     1,590       1,602  
      Global Payments Inc.   2.650%   2/15/25     19,981       20,081  
      Global Payments Inc.   3.200%   8/15/29     13,811       14,057  
      Global Payments Inc.   4.150%   8/15/49     8,500       9,073  
      Hewlett Packard Enterprise Co.   3.600%   10/15/20     44,503       44,987  
      Hewlett Packard Enterprise Co.   3.500%   10/5/21     3,220       3,295  
      Hewlett Packard Enterprise Co.   4.400%   10/15/22     23,155       24,439  
      Hewlett Packard Enterprise Co.   2.250%   4/1/23     4,900       4,898  
      Hewlett Packard Enterprise Co.   4.900%   10/15/25     29,125       32,284  
      Hewlett Packard Enterprise Co.   6.200%   10/15/35     8,718       10,436  
      Hewlett Packard Enterprise Co.   6.350%   10/15/45     17,450       21,028  
      HP Inc.   3.750%   12/1/20     1,389       1,411  
      HP Inc.   4.300%   6/1/21     8,000       8,230  
      HP Inc.   4.050%   9/15/22     1,875       1,958  
      HP Inc.   6.000%   9/15/41     10,304       11,359  
      IBM Credit LLC   3.450%   11/30/20     5,625       5,711  
      IBM Credit LLC   1.800%   1/20/21     7,620       7,609  
      IBM Credit LLC   2.650%   2/5/21     20,100       20,252  
      IBM Credit LLC   3.600%   11/30/21     9,965       10,292  
      IBM Credit LLC   2.200%   9/8/22     8,450       8,508  
      IBM Credit LLC   3.000%   2/6/23     10,460       10,759  
      Intel Corp.   1.700%   5/19/21     10,575       10,555  
      Intel Corp.   3.300%   10/1/21     17,717       18,173  
      Intel Corp.   3.100%   7/29/22     14,871       15,340  
      Intel Corp.   2.700%   12/15/22     23,852       24,432  
      Intel Corp.   2.875%   5/11/24     14,690       15,236  
      Intel Corp.   3.700%   7/29/25     44,721       48,315  
      Intel Corp.   2.600%   5/19/26     8,863       9,064  
      Intel Corp.   2.450%   11/15/29     16,000       15,908  
      Intel Corp.   4.000%   12/15/32     6,275       7,267  
      Intel Corp.   4.800%   10/1/41     9,681       11,979  
      Intel Corp.   4.900%   7/29/45     1,143       1,461  
      Intel Corp.   4.100%   5/19/46     14,025       16,123  
      Intel Corp.   4.100%   5/11/47     13,061       14,962  
      Intel Corp.   3.734%   12/8/47     38,909       42,518  
      Intel Corp.   3.250%   11/15/49     15,450       15,471  
      International Business Machines Corp.   2.250%   2/19/21     16,325       16,395  
      International Business Machines Corp.   2.800%   5/13/21     16,950       17,173  
      International Business Machines Corp.   2.900%   11/1/21     3,960       4,033  
      International Business Machines Corp.   2.500%   1/27/22     11,060       11,191  
      International Business Machines Corp.   2.850%   5/13/22     30,450       31,107  
      International Business Machines Corp.   1.875%   8/1/22     3,953       3,954  
      International Business Machines Corp.   2.875%   11/9/22     22,685       23,265  
      International Business Machines Corp.   3.375%   8/1/23     19,255       20,140  
      International Business Machines Corp.   3.625%   2/12/24     22,975       24,312  
      International Business Machines Corp.   3.000%   5/15/24     38,250       39,606  
      International Business Machines Corp.   7.000%   10/30/25     5,815       7,255  
      International Business Machines Corp.   3.450%   2/19/26     12,567       13,371  
      International Business Machines Corp.   3.300%   5/15/26     45,000       47,406  
      International Business Machines Corp.   3.300%   1/27/27     1,500       1,588  
      International Business Machines Corp.   6.220%   8/1/27     5,550       6,913  
      International Business Machines Corp.   6.500%   1/15/28     1,520       1,923  
      International Business Machines Corp.   3.500%   5/15/29     40,100       43,039  
      International Business Machines Corp.   5.875%   11/29/32     6,026       7,953  
      International Business Machines Corp.   4.150%   5/15/39     25,250       28,359  
      International Business Machines Corp.   5.600%   11/30/39     9,685       12,614  

 

104

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      International Business Machines Corp.   4.000%   6/20/42     22,765       25,095  
      International Business Machines Corp.   4.250%   5/15/49     42,165       47,952  
      Jabil Inc.   5.625%   12/15/20     2,300       2,366  
      Jabil Inc.   4.700%   9/15/22     500       529  
      Jabil Inc.   3.950%   1/12/28     5,190       5,325  
      Juniper Networks Inc.   4.350%   6/15/25     10,000       10,641  
      Juniper Networks Inc.   3.750%   8/15/29     8,575       8,920  
      Juniper Networks Inc.   5.950%   3/15/41     5,051       5,682  
      Keysight Technologies Inc.   4.550%   10/30/24     12,352       13,419  
      Keysight Technologies Inc.   4.600%   4/6/27     7,300       8,092  
      Keysight Technologies Inc.   3.000%   10/30/29     1,500       1,503  
      KLA Corp.   4.125%   11/1/21     10,535       10,889  
      KLA Corp.   4.650%   11/1/24     17,405       19,076  
      KLA Corp.   4.100%   3/15/29     18,510       20,265  
      KLA Corp.   5.000%   3/15/49     5,310       6,495  
      Lam Research Corp.   2.800%   6/15/21     8,350       8,442  
      Lam Research Corp.   3.800%   3/15/25     5,500       5,850  
      Lam Research Corp.   3.750%   3/15/26     12,925       13,843  
      Lam Research Corp.   4.000%   3/15/29     11,150       12,256  
      Lam Research Corp.   4.875%   3/15/49     14,175       17,681  
      Marvell Technology Group Ltd.   4.200%   6/22/23     5,750       6,038  
      Marvell Technology Group Ltd.   4.875%   6/22/28     5,525       6,091  
      Maxim Integrated Products Inc.   3.375%   3/15/23     5,200       5,335  
      Maxim Integrated Products Inc.   3.450%   6/15/27     5,400       5,564  
      Microchip Technology Inc.   3.922%   6/1/21     6,000       6,130  
      Microchip Technology Inc.   4.333%   6/1/23     5,000       5,283  
      Micron Technology Inc.   4.640%   2/6/24     4,800       5,190  
      Micron Technology Inc.   4.975%   2/6/26     6,650       7,365  
      Micron Technology Inc.   4.185%   2/15/27     10,930       11,668  
      Micron Technology Inc.   5.327%   2/6/29     9,425       10,756  
      Micron Technology Inc.   4.663%   2/15/30     4,300       4,730  
      Microsoft Corp.   2.000%   11/3/20     52,013       52,118  
      Microsoft Corp.   4.000%   2/8/21     6,025       6,178  
      Microsoft Corp.   1.550%   8/8/21     30,395       30,335  
      Microsoft Corp.   2.400%   2/6/22     31,721       32,172  
      Microsoft Corp.   2.375%   2/12/22     19,292       19,554  
      Microsoft Corp.   2.650%   11/3/22     11,530       11,800  
      Microsoft Corp.   2.375%   5/1/23     12,848       13,067  
      Microsoft Corp.   2.000%   8/8/23     23,472       23,602  
      Microsoft Corp.   3.625%   12/15/23     2,000       2,128  
      Microsoft Corp.   2.875%   2/6/24     26,200       27,165  
      Microsoft Corp.   2.700%   2/12/25     13,916       14,383  
      Microsoft Corp.   3.125%   11/3/25     32,217       34,052  
      Microsoft Corp.   2.400%   8/8/26     48,869       49,360  
      Microsoft Corp.   3.300%   2/6/27     24,515       26,168  
      Microsoft Corp.   3.500%   2/12/35     19,543       21,497  
      Microsoft Corp.   4.200%   11/3/35     15,985       18,855  
      Microsoft Corp.   3.450%   8/8/36     36,676       40,097  
      Microsoft Corp.   4.100%   2/6/37     26,625       31,365  
      Microsoft Corp.   4.500%   10/1/40     15,397       19,075  
      Microsoft Corp.   3.500%   11/15/42     29,340       31,858  
      Microsoft Corp.   3.750%   5/1/43     7,006       7,742  
      Microsoft Corp.   4.875%   12/15/43     13,757       17,946  
      Microsoft Corp.   3.750%   2/12/45     29,275       33,222  
      Microsoft Corp.   4.450%   11/3/45     47,045       58,602  
      Microsoft Corp.   3.700%   8/8/46     52,862       59,649  
      Microsoft Corp.   4.250%   2/6/47     35,300       43,081  
      Microsoft Corp.   4.000%   2/12/55     33,008       39,012  
      Microsoft Corp.   4.750%   11/3/55     775       1,037  
      Microsoft Corp.   3.950%   8/8/56     15,375       18,186  
      Microsoft Corp.   4.500%   2/6/57     20,899       27,051  
      Motorola Solutions Inc.   3.750%   5/15/22     4,698       4,852  
      Motorola Solutions Inc.   3.500%   3/1/23     11,265       11,614  
      Motorola Solutions Inc.   4.000%   9/1/24     11,035       11,672  

 

105

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Motorola Solutions Inc.   4.600%   2/23/28     8,550       9,248  
      Motorola Solutions Inc.   5.500%   9/1/44     4,550       4,994  
      NetApp Inc.   3.300%   9/29/24     4,450       4,601  
      NVIDIA Corp.   2.200%   9/16/21     11,850       11,898  
      NVIDIA Corp.   3.200%   9/16/26     10,790       11,281  
7     NXP BV / NXP Funding LLC   4.875%   3/1/24     11,400       12,383  
7     NXP BV / NXP Funding LLC   5.350%   3/1/26     12,941       14,526  
7     NXP BV / NXP Funding LLC   5.550%   12/1/28     10,550       12,330  
7     NXP BV / NXP Funding LLC / NXP USA Inc.   3.875%   6/18/26     2,900       3,067  
7     NXP BV / NXP Funding LLC / NXP USA Inc.   4.300%   6/18/29     22,800       24,624  
      Oracle Corp.   2.800%   7/8/21     11,643       11,810  
      Oracle Corp.   1.900%   9/15/21     62,638       62,717  
      Oracle Corp.   2.500%   5/15/22     19,453       19,730  
      Oracle Corp.   2.500%   10/15/22     13,669       13,896  
      Oracle Corp.   2.625%   2/15/23     12,661       12,906  
      Oracle Corp.   2.400%   9/15/23     28,266       28,720  
      Oracle Corp.   3.400%   7/8/24     37,835       39,914  
      Oracle Corp.   2.950%   11/15/24     24,920       25,835  
      Oracle Corp.   2.950%   5/15/25     33,437       34,753  
      Oracle Corp.   2.650%   7/15/26     62,448       63,746  
      Oracle Corp.   3.250%   11/15/27     5,000       5,286  
      Oracle Corp.   3.250%   5/15/30     5,170       5,486  
      Oracle Corp.   4.300%   7/8/34     20,495       23,929  
      Oracle Corp.   3.900%   5/15/35     6,647       7,393  
      Oracle Corp.   3.850%   7/15/36     23,705       25,947  
      Oracle Corp.   3.800%   11/15/37     18,974       20,662  
      Oracle Corp.   6.125%   7/8/39     5,000       6,989  
      Oracle Corp.   5.375%   7/15/40     37,455       48,540  
      Oracle Corp.   4.500%   7/8/44     20,538       24,221  
      Oracle Corp.   4.125%   5/15/45     24,825       27,898  
      Oracle Corp.   4.000%   7/15/46     27,710       30,732  
      Oracle Corp.   4.000%   11/15/47     25,050       27,975  
      Oracle Corp.   4.375%   5/15/55     13,477       15,935  
      PayPal Holdings Inc.   2.200%   9/26/22     11,150       11,213  
      PayPal Holdings Inc.   2.400%   10/1/24     14,000       14,136  
      PayPal Holdings Inc.   2.650%   10/1/26     14,350       14,539  
      PayPal Holdings Inc.   2.850%   10/1/29     18,540       18,578  
      QUALCOMM Inc.   3.000%   5/20/22     22,225       22,763  
      QUALCOMM Inc.   2.600%   1/30/23     22,075       22,461  
      QUALCOMM Inc.   2.900%   5/20/24     17,320       17,847  
      QUALCOMM Inc.   3.450%   5/20/25     26,800       28,251  
      QUALCOMM Inc.   3.250%   5/20/27     19,400       20,312  
      QUALCOMM Inc.   4.650%   5/20/35     9,826       11,626  
      QUALCOMM Inc.   4.800%   5/20/45     15,637       19,116  
      QUALCOMM Inc.   4.300%   5/20/47     17,365       19,920  
      salesforce.com Inc.   3.250%   4/11/23     13,250       13,756  
      salesforce.com Inc.   3.700%   4/11/28     16,000       17,543  
      Seagate HDD Cayman   4.250%   3/1/22     1,133       1,170  
      Seagate HDD Cayman   4.750%   6/1/23     2,503       2,650  
      Seagate HDD Cayman   4.875%   3/1/24     9,125       9,707  
      Seagate HDD Cayman   4.750%   1/1/25     6,348       6,737  
      Seagate HDD Cayman   4.875%   6/1/27     7,045       7,468  
      Seagate HDD Cayman   5.750%   12/1/34     7,105       7,478  
      Tech Data Corp.   3.700%   2/15/22     7,735       7,893  
      Tech Data Corp.   4.950%   2/15/27     5,000       5,148  
      Texas Instruments Inc.   2.750%   3/12/21     8,025       8,112  
      Texas Instruments Inc.   1.850%   5/15/22     5,700       5,706  
      Texas Instruments Inc.   2.625%   5/15/24     3,550       3,638  
      Texas Instruments Inc.   2.900%   11/3/27     7,125       7,440  
      Texas Instruments Inc.   2.250%   9/4/29     9,500       9,355  
      Texas Instruments Inc.   3.875%   3/15/39     8,850       9,948  
      Texas Instruments Inc.   4.150%   5/15/48     15,650       18,493  
      Total System Services Inc.   3.800%   4/1/21     9,645       9,824  
      Total System Services Inc.   3.750%   6/1/23     4,448       4,642  

 

106

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Total System Services Inc.   4.000%   6/1/23     7,638       8,039  
      Total System Services Inc.   4.800%   4/1/26     8,098       8,999  
      Total System Services Inc.   4.450%   6/1/28     3,000       3,267  
      Trimble Inc.   4.150%   6/15/23     1,400       1,477  
      Trimble Inc.   4.750%   12/1/24     5,796       6,279  
      Trimble Inc.   4.900%   6/15/28     4,000       4,361  
      Tyco Electronics Group SA   3.500%   2/3/22     2,200       2,264  
      Tyco Electronics Group SA   3.450%   8/1/24     5,050       5,264  
      Tyco Electronics Group SA   3.700%   2/15/26     1,000       1,055  
      Tyco Electronics Group SA   3.125%   8/15/27     12,120       12,426  
      Tyco Electronics Group SA   7.125%   10/1/37     7,700       11,315  
      Verisk Analytics Inc.   5.800%   5/1/21     4,650       4,869  
      Verisk Analytics Inc.   4.125%   9/12/22     6,015       6,288  
      Verisk Analytics Inc.   4.000%   6/15/25     10,327       11,106  
      Verisk Analytics Inc.   4.125%   3/15/29     7,960       8,686  
      Verisk Analytics Inc.   5.500%   6/15/45     9,650       11,889  
      VMware Inc.   2.300%   8/21/20     13,025       13,042  
      VMware Inc.   2.950%   8/21/22     25,865       26,344  
      VMware Inc.   3.900%   8/21/27     13,249       13,820  
      Xilinx Inc.   3.000%   3/15/21     10,700       10,823  
      Xilinx Inc.   2.950%   6/1/24     8,225       8,441  
      Transportation (0.7%)                        
4     American Airlines 2011-1 Class A Pass Through Trust   5.250%   7/31/22     559       573  
4     American Airlines 2013-1 Class A Pass Through Trust   4.000%   1/15/27     708       744  
4     American Airlines 2013-2 Class A Pass Through Trust   4.950%   7/15/24     4,941       5,167  
4     American Airlines 2014-1 Class A Pass Through Trust   3.700%   4/1/28     2,652       2,770  
4     American Airlines 2015-1 Class A Pass Through Trust   3.375%   11/1/28     2,274       2,332  
4     American Airlines 2015-1 Class B Pass Through Trust   3.700%   11/1/24     1,554       1,572  
4     American Airlines 2015-2 Class AA Pass Through Trust   3.600%   9/22/27     893       937  
4     American Airlines 2016-1 Class A Pass Through Trust   4.100%   1/15/28     2,892       3,054  
4     American Airlines 2016-1 Class AA Pass Through Trust   3.575%   1/15/28     3,063       3,211  
4     American Airlines 2016-2 Class A Pass Through Trust   3.650%   6/15/28     5,725       5,907  
4     American Airlines 2016-2 Class AA Pass Through Trust   3.200%   12/15/29     8,887       9,157  
4     American Airlines 2016-3 Class A Pass Through Trust   3.250%   4/15/30     2,005       2,056  
4     American Airlines 2016-3 Class AA Pass Through Trust   3.000%   10/15/28     5,231       5,321  
4     American Airlines 2017-1 Class AA Pass Through Trust   3.650%   8/15/30     2,234       2,341  
4     American Airlines 2017-1B Class B Pass Through Trust   4.950%   2/15/25     1,180       1,241  
4     American Airlines 2017-2 Class AA Pass Through Trust   3.350%   10/15/29     1,838       1,873  
4     American Airlines 2019-1 Class AA Pass Through Trust   3.150%   8/15/33     5,250       5,329  
      Burlington Northern Santa Fe LLC   4.100%   6/1/21     700       719  
      Burlington Northern Santa Fe LLC   3.450%   9/15/21     9,950       10,178  
      Burlington Northern Santa Fe LLC   3.050%   3/15/22     5,445       5,565  
      Burlington Northern Santa Fe LLC   3.050%   9/1/22     7,041       7,224  
      Burlington Northern Santa Fe LLC   3.000%   3/15/23     9,306       9,562  
      Burlington Northern Santa Fe LLC   3.850%   9/1/23     7,701       8,177  
      Burlington Northern Santa Fe LLC   3.750%   4/1/24     9,442       10,080  
      Burlington Northern Santa Fe LLC   3.400%   9/1/24     10,903       11,525  
      Burlington Northern Santa Fe LLC   3.000%   4/1/25     11,585       12,054  
      Burlington Northern Santa Fe LLC   3.650%   9/1/25     6,403       6,880  
      Burlington Northern Santa Fe LLC   7.000%   12/15/25     1,131       1,422  
      Burlington Northern Santa Fe LLC   3.250%   6/15/27     8,755       9,352  
      Burlington Northern Santa Fe LLC   6.200%   8/15/36     3,300       4,563  
      Burlington Northern Santa Fe LLC   6.150%   5/1/37     3,211       4,509  
      Burlington Northern Santa Fe LLC   5.750%   5/1/40     9,310       12,573  
      Burlington Northern Santa Fe LLC   5.050%   3/1/41     7,300       9,067  
      Burlington Northern Santa Fe LLC   5.400%   6/1/41     10,805       13,925  
      Burlington Northern Santa Fe LLC   4.950%   9/15/41     4,350       5,321  
      Burlington Northern Santa Fe LLC   4.400%   3/15/42     6,956       8,035  
      Burlington Northern Santa Fe LLC   4.375%   9/1/42     11,196       13,002  
      Burlington Northern Santa Fe LLC   4.450%   3/15/43     14,960       17,412  
      Burlington Northern Santa Fe LLC   5.150%   9/1/43     4,650       5,927  
      Burlington Northern Santa Fe LLC   4.900%   4/1/44     8,131       10,062  
      Burlington Northern Santa Fe LLC   4.550%   9/1/44     10,702       12,758  

 

107

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Burlington Northern Santa Fe LLC   4.150%   4/1/45     9,484       10,899  
      Burlington Northern Santa Fe LLC   4.700%   9/1/45     7,540       9,184  
      Burlington Northern Santa Fe LLC   3.900%   8/1/46     12,208       13,361  
      Burlington Northern Santa Fe LLC   4.125%   6/15/47     12,940       14,620  
      Burlington Northern Santa Fe LLC   4.050%   6/15/48     6,975       7,860  
      Burlington Northern Santa Fe LLC   4.150%   12/15/48     8,225       9,388  
      Burlington Northern Santa Fe LLC   3.550%   2/15/50     12,075       12,521  
      Canadian National Railway Co.   2.850%   12/15/21     2,410       2,443  
      Canadian National Railway Co.   2.950%   11/21/24     9,219       9,456  
      Canadian National Railway Co.   2.750%   3/1/26     6,967       7,110  
      Canadian National Railway Co.   6.900%   7/15/28     2,050       2,711  
      Canadian National Railway Co.   6.250%   8/1/34     1,420       1,960  
      Canadian National Railway Co.   6.200%   6/1/36     4,418       6,101  
      Canadian National Railway Co.   6.375%   11/15/37     2,568       3,663  
      Canadian National Railway Co.   3.200%   8/2/46     2,300       2,338  
      Canadian National Railway Co.   3.650%   2/3/48     11,685       12,748  
      Canadian National Railway Co.   4.450%   1/20/49     100       123  
      Canadian Pacific Railway Co.   9.450%   8/1/21     1,000       1,108  
      Canadian Pacific Railway Co.   4.500%   1/15/22     5,500       5,760  
      Canadian Pacific Railway Co.   4.450%   3/15/23     6,303       6,686  
      Canadian Pacific Railway Co.   2.900%   2/1/25     7,022       7,192  
      Canadian Pacific Railway Co.   7.125%   10/15/31     2,910       4,034  
      Canadian Pacific Railway Co.   5.750%   3/15/33     375       470  
      Canadian Pacific Railway Co.   4.800%   9/15/35     2,464       2,934  
      Canadian Pacific Railway Co.   5.950%   5/15/37     14,454       19,147  
      Canadian Pacific Railway Co.   5.750%   1/15/42     13,745       18,262  
      Canadian Pacific Railway Co.   4.800%   8/1/45     500       624  
      Canadian Pacific Railway Co.   6.125%   9/15/15     3,350       4,880  
      CH Robinson Worldwide Inc.   4.200%   4/15/28     4,192       4,577  
4     Continental Airlines 2007-1 Class A Pass Through Trust   5.983%   10/19/23     2,485       2,615  
4     Continental Airlines 2010-1 Class A Pass Through Trust   4.750%   7/12/22     2,754       2,813  
4     Continental Airlines 2012-1 Class A Pass Through Trust   4.150%   10/11/25     5,366       5,612  
4     Continental Airlines 2012-2 Class A Pass Through Trust   4.000%   4/29/26     943       994  
      CSX Corp.   4.250%   6/1/21     4,465       4,579  
      CSX Corp.   3.700%   11/1/23     5,600       5,919  
      CSX Corp.   3.400%   8/1/24     3,500       3,684  
      CSX Corp.   3.350%   11/1/25     10,090       10,675  
      CSX Corp.   2.600%   11/1/26     6,490       6,585  
      CSX Corp.   3.250%   6/1/27     9,589       10,058  
      CSX Corp.   3.800%   3/1/28     10,585       11,514  
      CSX Corp.   4.250%   3/15/29     16,808       18,871  
      CSX Corp.   2.400%   2/15/30     4,500       4,393  
      CSX Corp.   6.000%   10/1/36     6,794       8,829  
      CSX Corp.   6.150%   5/1/37     3,867       5,121  
      CSX Corp.   6.220%   4/30/40     7,850       10,649  
      CSX Corp.   5.500%   4/15/41     8,687       10,907  
      CSX Corp.   4.750%   5/30/42     6,755       7,907  
      CSX Corp.   4.400%   3/1/43     313       349  
      CSX Corp.   4.100%   3/15/44     7,150       7,761  
      CSX Corp.   3.800%   11/1/46     4,800       4,975  
      CSX Corp.   4.300%   3/1/48     8,850       9,947  
      CSX Corp.   4.750%   11/15/48     5,175       6,255  
      CSX Corp.   4.500%   3/15/49     11,550       13,383  
      CSX Corp.   3.350%   9/15/49     7,150       7,035  
      CSX Corp.   3.950%   5/1/50     6,160       6,646  
      CSX Corp.   4.500%   8/1/54     275       315  
      CSX Corp.   4.250%   11/1/66     8,695       9,292  
      CSX Corp.   4.650%   3/1/68     9,075       10,346  
4     Delta Air Lines 2007-1 Class A Pass Through Trust   6.821%   2/10/24     3,461       3,770  
4     Delta Air Lines 2015-1 Class AA Pass Through Trust   3.625%   7/30/27     3,266       3,447  
4     Delta Air Lines 2019-1 Class AA Pass Through Trust   3.204%   4/25/24     6,000       6,232  
      Delta Air Lines Inc.   2.600%   12/4/20     6,775       6,795  
      Delta Air Lines Inc.   3.400%   4/19/21     6,450       6,527  
      Delta Air Lines Inc.   3.625%   3/15/22     9,975       10,217  

 

108

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Delta Air Lines Inc.   3.800%   4/19/23     7,725       8,013  
      Delta Air Lines Inc.   2.900%   10/28/24     7,000       7,017  
      Delta Air Lines Inc.   4.375%   4/19/28     6,975       7,315  
      Delta Air Lines Inc.   3.750%   10/28/29     5,000       4,978  
      FedEx Corp.   3.400%   1/14/22     1,000       1,027  
      FedEx Corp.   2.625%   8/1/22     5,865       5,950  
      FedEx Corp.   4.000%   1/15/24     6,126       6,548  
      FedEx Corp.   3.200%   2/1/25     7,364       7,631  
      FedEx Corp.   3.250%   4/1/26     7,585       7,862  
      FedEx Corp.   3.300%   3/15/27     5,950       6,113  
      FedEx Corp.   3.400%   2/15/28     7,590       7,712  
      FedEx Corp.   4.900%   1/15/34     1,762       1,992  
      FedEx Corp.   3.900%   2/1/35     8,016       8,095  
      FedEx Corp.   3.875%   8/1/42     3,420       3,287  
      FedEx Corp.   4.100%   4/15/43     5,870       5,738  
      FedEx Corp.   5.100%   1/15/44     6,795       7,437  
      FedEx Corp.   4.100%   2/1/45     1,700       1,635  
      FedEx Corp.   4.750%   11/15/45     18,965       19,962  
      FedEx Corp.   4.550%   4/1/46     10,930       11,170  
      FedEx Corp.   4.400%   1/15/47     8,830       8,874  
      FedEx Corp.   4.050%   2/15/48     21,410       20,548  
      FedEx Corp.   4.950%   10/17/48     8,250       8,965  
      FedEx Corp.   4.500%   2/1/65     1,124       1,012  
      JB Hunt Transport Services Inc.   3.300%   8/15/22     4,100       4,218  
      JB Hunt Transport Services Inc.   3.875%   3/1/26     3,875       4,138  
4     JetBlue 2019-1 Class AA Pass Through Trust   2.750%   5/15/32     10,260       10,339  
      Kansas City Southern   3.000%   5/15/23     7,866       8,037  
      Kansas City Southern   2.875%   11/15/29     5,735       5,712  
      Kansas City Southern   4.300%   5/15/43     5,390       5,862  
      Kansas City Southern   4.950%   8/15/45     9,025       10,582  
      Kansas City Southern   4.700%   5/1/48     12,600       14,569  
      Kirby Corp.   4.200%   3/1/28     22,676       23,903  
4     Latam Airlines 2015-1 Pass Through Trust A   4.200%   8/15/29     2,326       2,399  
      Norfolk Southern Corp.   3.250%   12/1/21     5,400       5,519  
      Norfolk Southern Corp.   3.000%   4/1/22     10,073       10,293  
      Norfolk Southern Corp.   2.903%   2/15/23     6,903       7,052  
      Norfolk Southern Corp.   3.850%   1/15/24     3,575       3,788  
      Norfolk Southern Corp.   5.590%   5/17/25     2,302       2,658  
      Norfolk Southern Corp.   3.650%   8/1/25     1,775       1,893  
      Norfolk Southern Corp.   2.900%   6/15/26     2,405       2,472  
      Norfolk Southern Corp.   7.800%   5/15/27     2,800       3,677  
      Norfolk Southern Corp.   3.150%   6/1/27     6,070       6,322  
      Norfolk Southern Corp.   3.800%   8/1/28     8,290       9,096  
      Norfolk Southern Corp.   2.550%   11/1/29     9,200       9,134  
      Norfolk Southern Corp.   7.050%   5/1/37     2,000       2,797  
      Norfolk Southern Corp.   4.837%   10/1/41     20,661       24,456  
      Norfolk Southern Corp.   3.950%   10/1/42     478       506  
      Norfolk Southern Corp.   4.450%   6/15/45     5,515       6,321  
      Norfolk Southern Corp.   4.650%   1/15/46     6,910       8,137  
      Norfolk Southern Corp.   3.942%   11/1/47     2,050       2,196  
      Norfolk Southern Corp.   4.150%   2/28/48     2,810       3,170  
      Norfolk Southern Corp.   4.100%   5/15/49     4,550       4,999  
      Norfolk Southern Corp.   3.400%   11/1/49     2,955       2,921  
      Norfolk Southern Corp.   4.050%   8/15/52     19,253       21,124  
      Norfolk Southern Corp.   6.000%   3/15/05     972       1,282  
      Norfolk Southern Corp.   5.100%   8/1/18     6,893       8,110  
      Ryder System Inc.   3.500%   6/1/21     6,640       6,768  
      Ryder System Inc.   2.875%   6/1/22     3,000       3,053  
      Ryder System Inc.   2.500%   9/1/22     400       402  
      Ryder System Inc.   3.400%   3/1/23     4,505       4,643  
      Ryder System Inc.   3.750%   6/9/23     13,715       14,313  
      Ryder System Inc.   3.650%   3/18/24     12,000       12,597  
      Ryder System Inc.   2.500%   9/1/24     5,000       5,021  
      Ryder System Inc.   2.900%   12/1/26     2,000       2,012  

 

109

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Southwest Airlines Co.   2.750%   11/16/22     950       963  
      Southwest Airlines Co.   3.000%   11/15/26     5,350       5,465  
      Southwest Airlines Co.   3.450%   11/16/27     3,460       3,621  
4     Southwest Airlines Co. 2007-1 Pass Through Trust   6.150%   2/1/24     743       782  
4     Spirit Airlines Class A Pass Through Certificates Series 2015-1   4.100%   10/1/29     1,530       1,594  
      Union Pacific Corp.   4.000%   2/1/21     6,303       6,409  
      Union Pacific Corp.   3.200%   6/8/21     14,025       14,265  
      Union Pacific Corp.   2.950%   3/1/22     5,750       5,873  
      Union Pacific Corp.   4.163%   7/15/22     13,508       14,193  
      Union Pacific Corp.   2.750%   4/15/23     1,930       1,965  
      Union Pacific Corp.   3.500%   6/8/23     13,100       13,708  
      Union Pacific Corp.   3.646%   2/15/24     6,620       6,968  
      Union Pacific Corp.   3.150%   3/1/24     2,300       2,389  
      Union Pacific Corp.   3.750%   3/15/24     2,538       2,684  
      Union Pacific Corp.   3.250%   1/15/25     3,129       3,261  
      Union Pacific Corp.   3.750%   7/15/25     9,900       10,602  
      Union Pacific Corp.   3.250%   8/15/25     12,580       13,243  
      Union Pacific Corp.   2.750%   3/1/26     15,085       15,404  
      Union Pacific Corp.   3.000%   4/15/27     1,000       1,042  
      Union Pacific Corp.   3.950%   9/10/28     19,505       21,495  
      Union Pacific Corp.   3.700%   3/1/29     7,700       8,384  
      Union Pacific Corp.   3.375%   2/1/35     7,200       7,423  
      Union Pacific Corp.   3.600%   9/15/37     14,300       14,900  
      Union Pacific Corp.   4.375%   9/10/38     7,205       8,219  
      Union Pacific Corp.   4.250%   4/15/43     1,831       2,028  
      Union Pacific Corp.   4.150%   1/15/45     1,550       1,698  
      Union Pacific Corp.   4.050%   11/15/45     5,182       5,593  
      Union Pacific Corp.   4.050%   3/1/46     2,900       3,158  
      Union Pacific Corp.   3.350%   8/15/46     6,015       5,875  
      Union Pacific Corp.   4.300%   3/1/49     9,150       10,467  
      Union Pacific Corp.   3.799%   10/1/51     18,667       19,798  
      Union Pacific Corp.   3.875%   2/1/55     9,700       10,150  
      Union Pacific Corp.   3.950%   8/15/59     2,250       2,356  
7     Union Pacific Corp.   3.839%   3/20/60     15,414       15,421  
      Union Pacific Corp.   4.375%   11/15/65     10,616       11,640  
      Union Pacific Corp.   4.100%   9/15/67     6,915       7,123  
4     Union Pacific Railroad Co. 2007-3 Pass Through Trust   6.176%   1/2/31     682       798  
4     United Airlines 2013-1 Class A Pass Through Trust   4.300%   2/15/27     2,070       2,218  
4     United Airlines 2014-1 Class A Pass Through Trust   4.000%   10/11/27     3,159       3,340  
4     United Airlines 2014-2 Class A Pass Through Trust   3.750%   3/3/28     1,141       1,199  
4     United Airlines 2015-1 Class A Pass Through Trust   3.700%   6/1/24     2,940       3,008  
4     United Airlines 2015-1 Class AA Pass Through Trust   3.450%   12/1/27     3,842       3,962  
4     United Airlines 2016-1 Class A Pass Through Trust   3.450%   1/7/30     3,095       3,177  
4     United Airlines 2016-1 Class AA Pass Through Trust   3.100%   7/7/28     27,250       27,833  
4     United Airlines 2016-2 Class A Pass Through Trust   3.100%   10/7/28     2,526       2,556  
4     United Airlines 2016-2 Class AA Pass Through Trust   2.875%   10/7/28     4,494       4,551  
4     United Airlines 2019-1 Class AA Pass Through Trust   4.150%   8/25/31     9,325       10,064  
4     United Airlines 2019-2 Class AA Pass Through Trust   2.700%   11/1/33     6,200       6,195  
      United Parcel Service Inc.   3.125%   1/15/21     9,599       9,723  
      United Parcel Service Inc.   2.050%   4/1/21     8,175       8,196  
      United Parcel Service Inc.   2.350%   5/16/22     5,672       5,735  
      United Parcel Service Inc.   2.450%   10/1/22     9,408       9,555  
      United Parcel Service Inc.   2.500%   4/1/23     8,354       8,485  
      United Parcel Service Inc.   2.800%   11/15/24     9,955       10,266  
      United Parcel Service Inc.   2.400%   11/15/26     7,475       7,537  
      United Parcel Service Inc.   3.050%   11/15/27     20,025       21,023  
      United Parcel Service Inc.   3.400%   3/15/29     5,300       5,674  
      United Parcel Service Inc.   2.500%   9/1/29     5,000       4,988  
      United Parcel Service Inc.   6.200%   1/15/38     16,821       23,603  
      United Parcel Service Inc.   4.875%   11/15/40     5,267       6,399  
      United Parcel Service Inc.   3.625%   10/1/42     4,555       4,708  
      United Parcel Service Inc.   3.400%   11/15/46     4,240       4,237  
      United Parcel Service Inc.   3.750%   11/15/47     12,950       13,886  

 

110

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      United Parcel Service Inc.   4.250%   3/15/49     7,450       8,616  
      United Parcel Service Inc.   3.400%   9/1/49     8,050       8,154  
      United Parcel Service of America Inc.   8.375%   4/1/30     1,563       2,204  
4     US Airways 2012-1 Class A Pass Through Trust   5.900%   4/1/26     878       969  
4     US Airways 2012-2 Class A Pass Through Trust   4.625%   12/3/26     531       570  
4     US Airways 2013-1 Class A Pass Through Trust   3.950%   5/15/27     538       563  
                            40,658,989  
Utilities (2.0%)                        
      Electric (1.8%)                        
      AEP Texas Inc.   2.400%   10/1/22     4,060       4,089  
      AEP Texas Inc.   3.950%   6/1/28     10,450       11,378  
      AEP Texas Inc.   3.800%   10/1/47     4,450       4,654  
      AEP Texas Inc.   3.450%   1/15/50     5,000       4,995  
      AEP Transmission Co. LLC   3.100%   12/1/26     3,265       3,365  
      AEP Transmission Co. LLC   4.000%   12/1/46     5,490       6,058  
      AEP Transmission Co. LLC   3.750%   12/1/47     6,500       6,965  
      AEP Transmission Co. LLC   4.250%   9/15/48     3,575       4,099  
      AEP Transmission Co. LLC   3.800%   6/15/49     5,000       5,352  
      AEP Transmission Co. LLC   3.150%   9/15/49     4,690       4,543  
      Alabama Power Co.   2.450%   3/30/22     7,950       8,049  
      Alabama Power Co.   3.550%   12/1/23     9,021       9,503  
      Alabama Power Co.   6.125%   5/15/38     775       1,045  
      Alabama Power Co.   6.000%   3/1/39     658       913  
      Alabama Power Co.   3.850%   12/1/42     2,795       2,972  
      Alabama Power Co.   4.150%   8/15/44     4,750       5,277  
      Alabama Power Co.   3.750%   3/1/45     3,970       4,163  
      Alabama Power Co.   4.300%   1/2/46     14,654       16,677  
      Alabama Power Co.   3.700%   12/1/47     6,200       6,496  
      Alabama Power Co.   4.300%   7/15/48     6,975       8,035  
      Alabama Power Co.   3.450%   10/1/49     7,450       7,623  
      Ameren Corp.   3.650%   2/15/26     4,140       4,328  
      Ameren Illinois Co.   2.700%   9/1/22     13,076       13,303  
      Ameren Illinois Co.   3.250%   3/1/25     2,335       2,442  
      Ameren Illinois Co.   3.800%   5/15/28     6,020       6,560  
      Ameren Illinois Co.   4.150%   3/15/46     2,875       3,270  
      Ameren Illinois Co.   3.700%   12/1/47     7,165       7,592  
      Ameren Illinois Co.   4.500%   3/15/49     5,950       7,307  
      American Electric Power Co. Inc.   3.650%   12/1/21     4,675       4,818  
      American Electric Power Co. Inc.   2.950%   12/15/22     5,431       5,545  
      American Electric Power Co. Inc.   3.200%   11/13/27     250       256  
      American Electric Power Co. Inc.   4.300%   12/1/28     6,250       6,927  
      Appalachian Power Co.   4.600%   3/30/21     5,822       5,975  
      Appalachian Power Co.   3.400%   6/1/25     3,350       3,508  
      Appalachian Power Co.   3.300%   6/1/27     5,325       5,517  
      Appalachian Power Co.   7.000%   4/1/38     585       819  
      Appalachian Power Co.   4.400%   5/15/44     1,625       1,826  
      Appalachian Power Co.   4.450%   6/1/45     6,025       6,890  
      Appalachian Power Co.   4.500%   3/1/49     12,670       14,694  
      Arizona Public Service Co.   3.150%   5/15/25     5,050       5,236  
      Arizona Public Service Co.   2.950%   9/15/27     1,000       1,024  
      Arizona Public Service Co.   5.050%   9/1/41     85       103  
      Arizona Public Service Co.   4.500%   4/1/42     8,888       10,224  
      Arizona Public Service Co.   4.350%   11/15/45     1,150       1,304  
      Arizona Public Service Co.   3.750%   5/15/46     10,550       10,970  
      Arizona Public Service Co.   4.200%   8/15/48     500       556  
      Arizona Public Service Co.   4.250%   3/1/49     5,800       6,546  
      Arizona Public Service Co.   3.500%   12/1/49     3,430       3,437  
      Avangrid Inc.   3.150%   12/1/24     8,658       8,925  
      Avangrid Inc.   3.800%   6/1/29     10,115       10,698  
      Avista Corp.   4.350%   6/1/48     4,195       4,744  
      Baltimore Gas & Electric Co.   3.500%   11/15/21     2,738       2,811  
      Baltimore Gas & Electric Co.   3.350%   7/1/23     7,030       7,292  
      Baltimore Gas & Electric Co.   2.400%   8/15/26     3,790       3,802  

 

111

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Baltimore Gas & Electric Co.   6.350%   10/1/36     683       941  
      Baltimore Gas & Electric Co.   3.500%   8/15/46     7,765       7,929  
      Baltimore Gas & Electric Co.   3.750%   8/15/47     5,500       5,864  
      Baltimore Gas & Electric Co.   4.250%   9/15/48     3,350       3,878  
      Baltimore Gas & Electric Co.   3.200%   9/15/49     6,645       6,501  
      Berkshire Hathaway Energy Co.   2.375%   1/15/21     6,100       6,120  
      Berkshire Hathaway Energy Co.   2.800%   1/15/23     5,575       5,685  
      Berkshire Hathaway Energy Co.   3.750%   11/15/23     8,169       8,622  
      Berkshire Hathaway Energy Co.   3.500%   2/1/25     7,161       7,553  
      Berkshire Hathaway Energy Co.   3.250%   4/15/28     4,075       4,251  
      Berkshire Hathaway Energy Co.   6.125%   4/1/36     11,726       16,139  
      Berkshire Hathaway Energy Co.   5.950%   5/15/37     11,500       15,536  
      Berkshire Hathaway Energy Co.   6.500%   9/15/37     4,969       6,884  
      Berkshire Hathaway Energy Co.   5.150%   11/15/43     8,347       10,488  
      Berkshire Hathaway Energy Co.   4.500%   2/1/45     7,875       9,269  
      Berkshire Hathaway Energy Co.   3.800%   7/15/48     5,330       5,649  
      Berkshire Hathaway Energy Co.   4.450%   1/15/49     12,045       14,117  
      Black Hills Corp.   4.250%   11/30/23     4,000       4,243  
      Black Hills Corp.   3.950%   1/15/26     2,700       2,845  
      Black Hills Corp.   3.150%   1/15/27     4,850       4,890  
      Black Hills Corp.   3.050%   10/15/29     3,915       3,912  
      Black Hills Corp.   4.350%   5/1/33     5,260       5,763  
      Black Hills Corp.   4.200%   9/15/46     3,780       3,932  
      Black Hills Corp.   3.875%   10/15/49     3,910       3,907  
      CenterPoint Energy Houston Electric LLC   1.850%   6/1/21     2,575       2,575  
      CenterPoint Energy Houston Electric LLC   2.250%   8/1/22     8,300       8,341  
      CenterPoint Energy Houston Electric LLC   2.400%   9/1/26     2,000       1,971  
      CenterPoint Energy Houston Electric LLC   3.000%   2/1/27     1,650       1,681  
      CenterPoint Energy Houston Electric LLC   6.950%   3/15/33     100       141  
      CenterPoint Energy Houston Electric LLC   3.550%   8/1/42     11,272       11,624  
      CenterPoint Energy Houston Electric LLC   4.500%   4/1/44     1,275       1,506  
      CenterPoint Energy Houston Electric LLC   3.950%   3/1/48     5,600       6,210  
      CenterPoint Energy Houston Electric LLC   4.250%   2/1/49     6,250       7,319  
      CenterPoint Energy Inc.   3.600%   11/1/21     3,000       3,071  
      CenterPoint Energy Inc.   2.500%   9/1/22     6,675       6,723  
      CenterPoint Energy Inc.   3.850%   2/1/24     9,325       9,789  
      CenterPoint Energy Inc.   2.500%   9/1/24     2,000       2,002  
      CenterPoint Energy Inc.   4.250%   11/1/28     4,775       5,139  
      CenterPoint Energy Inc.   2.950%   3/1/30     6,000       5,900  
      CenterPoint Energy Inc.   3.700%   9/1/49     6,000       5,910  
      Cleco Corporate Holdings LLC   3.743%   5/1/26     6,126       6,326  
      Cleco Corporate Holdings LLC   4.973%   5/1/46     5,450       6,037  
      Cleveland Electric Illuminating Co.   5.500%   8/15/24     5,515       6,292  
      Cleveland Electric Illuminating Co.   5.950%   12/15/36     5,960       7,440  
      CMS Energy Corp.   5.050%   3/15/22     1,280       1,350  
      CMS Energy Corp.   3.000%   5/15/26     6,275       6,376  
      CMS Energy Corp.   3.450%   8/15/27     1,675       1,748  
      CMS Energy Corp.   4.875%   3/1/44     5,750       6,844  
      Commonwealth Edison Co.   3.400%   9/1/21     4,660       4,767  
      Commonwealth Edison Co.   2.550%   6/15/26     10,800       10,885  
      Commonwealth Edison Co.   2.950%   8/15/27     4,700       4,830  
      Commonwealth Edison Co.   5.900%   3/15/36     3,144       4,164  
      Commonwealth Edison Co.   6.450%   1/15/38     8,098       11,504  
      Commonwealth Edison Co.   3.800%   10/1/42     3,549       3,807  
      Commonwealth Edison Co.   4.600%   8/15/43     3,990       4,740  
      Commonwealth Edison Co.   4.700%   1/15/44     5,527       6,665  
      Commonwealth Edison Co.   3.700%   3/1/45     8,850       9,406  
      Commonwealth Edison Co.   4.350%   11/15/45     6,625       7,691  
      Commonwealth Edison Co.   3.650%   6/15/46     11,792       12,369  
      Commonwealth Edison Co.   3.750%   8/15/47     6,695       7,227  
      Commonwealth Edison Co.   4.000%   3/1/48     9,890       11,007  
      Commonwealth Edison Co.   4.000%   3/1/49     7,550       8,491  
      Commonwealth Edison Co.   3.200%   11/15/49     3,000       2,978  
      Connecticut Light & Power Co.   2.500%   1/15/23     8,110       8,209  

 

112

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Connecticut Light & Power Co.   3.200%   3/15/27     6,835       7,170  
      Connecticut Light & Power Co.   4.300%   4/15/44     5,500       6,456  
      Connecticut Light & Power Co.   4.150%   6/1/45     4,500       5,198  
      Connecticut Light & Power Co.   4.000%   4/1/48     10,050       11,515  
      Consolidated Edison Co. of New York Inc.   3.125%   11/15/27     1,675       1,739  
      Consolidated Edison Co. of New York Inc.   3.800%   5/15/28     1,000       1,086  
      Consolidated Edison Co. of New York Inc.   4.000%   12/1/28     1,350       1,495  
      Consolidated Edison Co. of New York Inc.   5.300%   3/1/35     6,475       7,941  
      Consolidated Edison Co. of New York Inc.   5.850%   3/15/36     4,744       6,169  
      Consolidated Edison Co. of New York Inc.   6.200%   6/15/36     3,095       4,159  
      Consolidated Edison Co. of New York Inc.   6.300%   8/15/37     500       688  
      Consolidated Edison Co. of New York Inc.   6.750%   4/1/38     1,850       2,644  
      Consolidated Edison Co. of New York Inc.   5.500%   12/1/39     5,987       7,755  
      Consolidated Edison Co. of New York Inc.   5.700%   6/15/40     7,800       10,213  
      Consolidated Edison Co. of New York Inc.   3.950%   3/1/43     2,795       3,021  
      Consolidated Edison Co. of New York Inc.   4.450%   3/15/44     21,389       24,626  
      Consolidated Edison Co. of New York Inc.   4.500%   12/1/45     10,750       12,539  
      Consolidated Edison Co. of New York Inc.   3.850%   6/15/46     9,985       10,712  
      Consolidated Edison Co. of New York Inc.   3.875%   6/15/47     7,750       8,362  
      Consolidated Edison Co. of New York Inc.   4.125%   5/15/49     16,952       19,164  
      Consolidated Edison Co. of New York Inc.   4.625%   12/1/54     4,782       5,715  
      Consolidated Edison Co. of New York Inc.   4.300%   12/1/56     3,355       3,774  
      Consolidated Edison Co. of New York Inc.   4.000%   11/15/57     3,675       3,876  
      Consolidated Edison Co. of New York Inc.   4.500%   5/15/58     7,410       8,571  
      Consolidated Edison Co. of New York Inc.   3.700%   11/15/59     5,753       5,925  
      Consolidated Edison Inc.   2.000%   5/15/21     5,300       5,298  
      Consumers Energy Co.   2.850%   5/15/22     11,725       11,975  
      Consumers Energy Co.   3.375%   8/15/23     7,210       7,522  
      Consumers Energy Co.   3.800%   11/15/28     6,935       7,648  
      Consumers Energy Co.   3.950%   5/15/43     4,343       4,809  
      Consumers Energy Co.   3.250%   8/15/46     4,900       4,867  
      Consumers Energy Co.   3.950%   7/15/47     3,975       4,464  
      Consumers Energy Co.   4.050%   5/15/48     6,000       6,868  
      Consumers Energy Co.   4.350%   4/15/49     6,775       8,180  
      Consumers Energy Co.   3.100%   8/15/50     4,585       4,595  
      Delmarva Power & Light Co.   3.500%   11/15/23     4,525       4,739  
      Delmarva Power & Light Co.   4.150%   5/15/45     7,400       8,266  
      Dominion Energy Inc.   2.715%   8/15/21     2,000       2,015  
      Dominion Energy Inc.   2.750%   1/15/22     5,825       5,897  
      Dominion Energy Inc.   2.750%   9/15/22     600       607  
      Dominion Energy Inc.   3.071%   8/15/24     3,160       3,213  
      Dominion Energy Inc.   3.900%   10/1/25     8,915       9,487  
      Dominion Energy Inc.   2.850%   8/15/26     3,204       3,229  
      Dominion Energy Inc.   4.250%   6/1/28     4,095       4,509  
      Dominion Energy Inc.   6.300%   3/15/33     6,200       8,061  
      Dominion Energy Inc.   5.250%   8/1/33     1,134       1,361  
      Dominion Energy Inc.   5.950%   6/15/35     9,169       11,567  
      Dominion Energy Inc.   7.000%   6/15/38     4,752       6,568  
      Dominion Energy Inc.   4.900%   8/1/41     8,360       9,707  
      Dominion Energy Inc.   4.050%   9/15/42     7,881       8,251  
      Dominion Energy Inc.   4.700%   12/1/44     3,226       3,706  
      Dominion Energy Inc.   4.600%   3/15/49     5,900       6,850  
4     Dominion Energy Inc.   5.750%   10/1/54     4,381       4,717  
      Dominion Energy South Carolina Inc.   6.625%   2/1/32     5,529       7,454  
      Dominion Energy South Carolina Inc.   6.050%   1/15/38     5,710       7,681  
      Dominion Energy South Carolina Inc.   5.450%   2/1/41     3,345       4,312  
      Dominion Energy South Carolina Inc.   4.600%   6/15/43     4,610       5,434  
      Dominion Energy South Carolina Inc.   5.100%   6/1/65     4,775       6,203  
      DTE Electric Co.   3.650%   3/15/24     9,250       9,766  
      DTE Electric Co.   3.375%   3/1/25     7,750       8,152  
      DTE Electric Co.   4.000%   4/1/43     6,425       7,152  
      DTE Electric Co.   3.700%   3/15/45     5,739       6,161  
      DTE Electric Co.   3.700%   6/1/46     2,225       2,390  
      DTE Electric Co.   3.750%   8/15/47     6,070       6,602  

 

113

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      DTE Electric Co.   4.050%   5/15/48     3,075       3,526  
      DTE Electric Co.   3.950%   3/1/49     5,000       5,711  
      DTE Energy Co.   2.600%   6/15/22     3,000       3,015  
      DTE Energy Co.   2.250%   11/1/22     2,500       2,500  
      DTE Energy Co.   3.700%   8/1/23     6,250       6,506  
      DTE Energy Co.   3.850%   12/1/23     950       996  
      DTE Energy Co.   3.500%   6/1/24     7,006       7,298  
      DTE Energy Co.   2.529%   10/1/24     3,250       3,255  
      DTE Energy Co.   2.850%   10/1/26     26,200       26,234  
      DTE Energy Co.   3.800%   3/15/27     26,125       27,539  
      DTE Energy Co.   3.400%   6/15/29     3,500       3,569  
      DTE Energy Co.   2.950%   3/1/30     3,210       3,175  
      DTE Energy Co.   6.375%   4/15/33     4,945       6,445  
      Duke Energy Carolinas LLC   3.900%   6/15/21     1,195       1,224  
      Duke Energy Carolinas LLC   3.350%   5/15/22     1,800       1,856  
      Duke Energy Carolinas LLC   2.500%   3/15/23     8,800       8,919  
      Duke Energy Carolinas LLC   3.050%   3/15/23     9,125       9,395  
      Duke Energy Carolinas LLC   2.950%   12/1/26     7,165       7,383  
      Duke Energy Carolinas LLC   3.950%   11/15/28     8,350       9,279  
      Duke Energy Carolinas LLC   6.000%   12/1/28     5,690       7,082  
      Duke Energy Carolinas LLC   2.450%   8/15/29     4,050       4,015  
      Duke Energy Carolinas LLC   6.450%   10/15/32     4,390       5,988  
      Duke Energy Carolinas LLC   6.100%   6/1/37     10,276       13,917  
      Duke Energy Carolinas LLC   6.000%   1/15/38     5,820       7,811  
      Duke Energy Carolinas LLC   6.050%   4/15/38     4,361       5,983  
      Duke Energy Carolinas LLC   5.300%   2/15/40     8,951       11,523  
      Duke Energy Carolinas LLC   4.250%   12/15/41     5,690       6,480  
      Duke Energy Carolinas LLC   4.000%   9/30/42     7,529       8,292  
      Duke Energy Carolinas LLC   3.750%   6/1/45     5,550       5,924  
      Duke Energy Carolinas LLC   3.875%   3/15/46     10,300       11,412  
      Duke Energy Carolinas LLC   3.700%   12/1/47     6,425       6,875  
      Duke Energy Carolinas LLC   3.950%   3/15/48     1,500       1,658  
      Duke Energy Carolinas LLC   3.200%   8/15/49     5,060       4,990  
      Duke Energy Corp.   1.800%   9/1/21     280       279  
      Duke Energy Corp.   3.550%   9/15/21     7,314       7,478  
      Duke Energy Corp.   2.400%   8/15/22     10,855       10,935  
      Duke Energy Corp.   3.050%   8/15/22     13,015       13,306  
      Duke Energy Corp.   3.950%   10/15/23     4,500       4,757  
      Duke Energy Corp.   2.650%   9/1/26     11,449       11,447  
      Duke Energy Corp.   3.150%   8/15/27     19,279       19,786  
      Duke Energy Corp.   4.800%   12/15/45     7,470       8,821  
      Duke Energy Corp.   3.750%   9/1/46     18,282       18,674  
      Duke Energy Corp.   4.200%   6/15/49     3,300       3,607  
      Duke Energy Florida LLC   3.100%   8/15/21     970       986  
      Duke Energy Florida LLC   3.200%   1/15/27     3,300       3,433  
      Duke Energy Florida LLC   3.800%   7/15/28     5,575       6,066  
      Duke Energy Florida LLC   2.500%   12/1/29     13,150       13,115  
      Duke Energy Florida LLC   6.350%   9/15/37     9,715       13,482  
      Duke Energy Florida LLC   6.400%   6/15/38     9,221       13,117  
      Duke Energy Florida LLC   5.650%   4/1/40     350       460  
      Duke Energy Florida LLC   3.850%   11/15/42     125       134  
      Duke Energy Florida LLC   3.400%   10/1/46     7,285       7,376  
      Duke Energy Florida LLC   4.200%   7/15/48     3,600       4,139  
4     Duke Energy Florida Project Finance LLC   1.731%   9/1/22     2,950       2,932  
4     Duke Energy Florida Project Finance LLC   2.538%   9/1/29     4,000       3,976  
      Duke Energy Indiana LLC   6.120%   10/15/35     5,798       7,637  
      Duke Energy Indiana LLC   6.350%   8/15/38     8,504       11,945  
      Duke Energy Indiana LLC   6.450%   4/1/39     500       711  
      Duke Energy Indiana LLC   4.900%   7/15/43     2,200       2,720  
      Duke Energy Indiana LLC   3.750%   5/15/46     18,845       20,066  
      Duke Energy Indiana LLC   3.250%   10/1/49     6,980       6,998  
      Duke Energy Ohio Inc.   3.800%   9/1/23     1,200       1,267  
      Duke Energy Ohio Inc.   3.650%   2/1/29     13,100       14,213  
      Duke Energy Ohio Inc.   3.700%   6/15/46     5,700       6,008  

 

114

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Duke Energy Ohio Inc.   4.300%   2/1/49     1,100       1,283  
      Duke Energy Progress LLC   3.000%   9/15/21     8,417       8,571  
      Duke Energy Progress LLC   2.800%   5/15/22     3,145       3,203  
      Duke Energy Progress LLC   3.375%   9/1/23     2,284       2,385  
      Duke Energy Progress LLC   3.250%   8/15/25     7,800       8,186  
      Duke Energy Progress LLC   3.700%   9/1/28     7,805       8,515  
      Duke Energy Progress LLC   3.450%   3/15/29     9,911       10,613  
      Duke Energy Progress LLC   6.300%   4/1/38     6,919       9,550  
      Duke Energy Progress LLC   4.100%   5/15/42     871       968  
      Duke Energy Progress LLC   4.100%   3/15/43     1,550       1,726  
      Duke Energy Progress LLC   4.375%   3/30/44     9,365       10,866  
      Duke Energy Progress LLC   4.150%   12/1/44     6,684       7,487  
      Duke Energy Progress LLC   4.200%   8/15/45     5,827       6,589  
      Duke Energy Progress LLC   3.700%   10/15/46     6,625       6,977  
      Duke Energy Progress LLC   3.600%   9/15/47     6,500       6,769  
      Edison International   2.400%   9/15/22     5,145       5,107  
      Edison International   2.950%   3/15/23     950       949  
      Edison International   5.750%   6/15/27     1,000       1,120  
      Edison International   4.125%   3/15/28     3,425       3,510  
      El Paso Electric Co.   6.000%   5/15/35     2,875       3,519  
      El Paso Electric Co.   5.000%   12/1/44     4,500       5,269  
      Emera US Finance LP   2.700%   6/15/21     8,020       8,081  
      Emera US Finance LP   3.550%   6/15/26     9,083       9,417  
      Emera US Finance LP   4.750%   6/15/46     17,269       19,932  
      Enel Americas SA   4.000%   10/25/26     4,000       4,134  
      Enel Chile SA   4.875%   6/12/28     10,670       11,825  
      Entergy Arkansas Inc.   3.750%   2/15/21     8,625       8,766  
      Entergy Arkansas Inc.   3.500%   4/1/26     5,903       6,207  
      Entergy Corp.   4.000%   7/15/22     7,441       7,747  
      Entergy Corp.   2.950%   9/1/26     8,321       8,437  
      Entergy Gulf States Louisiana LLC   5.590%   10/1/24     4,146       4,751  
      Entergy Louisiana LLC   4.050%   9/1/23     6,525       6,938  
      Entergy Louisiana LLC   5.400%   11/1/24     3,325       3,797  
      Entergy Louisiana LLC   2.400%   10/1/26     5,347       5,308  
      Entergy Louisiana LLC   3.120%   9/1/27     6,000       6,201  
      Entergy Louisiana LLC   3.250%   4/1/28     4,625       4,832  
      Entergy Louisiana LLC   3.050%   6/1/31     17,239       17,625  
      Entergy Louisiana LLC   4.000%   3/15/33     12,300       13,807  
      Entergy Louisiana LLC   4.950%   1/15/45     10,760       11,590  
      Entergy Louisiana LLC   4.200%   9/1/48     6,520       7,522  
      Entergy Louisiana LLC   4.200%   4/1/50     5,000       5,805  
      Entergy Mississippi LLC   2.850%   6/1/28     11,959       12,132  
      Entergy Mississippi LLC   3.850%   6/1/49     3,550       3,854  
      Entergy Texas Inc.   4.500%   3/30/39     400       457  
      Entergy Texas Inc.   3.550%   9/30/49     3,870       3,944  
      Evergy Inc.   2.900%   9/15/29     5,405       5,371  
      Eversource Energy   2.500%   3/15/21     6,650       6,687  
      Eversource Energy   2.750%   3/15/22     4,425       4,485  
      Eversource Energy   3.800%   12/1/23     6,150       6,433  
      Eversource Energy   2.900%   10/1/24     3,825       3,901  
      Eversource Energy   3.150%   1/15/25     5,547       5,710  
      Eversource Energy   3.300%   1/15/28     6,700       6,907  
      Eversource Energy   4.250%   4/1/29     8,500       9,387  
      Exelon Corp.   5.150%   12/1/20     9,053       9,234  
      Exelon Corp.   2.450%   4/15/21     3,115       3,131  
      Exelon Corp.   3.497%   6/1/22     2,150       2,206  
      Exelon Corp.   3.950%   6/15/25     20,995       22,574  
      Exelon Corp.   3.400%   4/15/26     10,830       11,292  
      Exelon Corp.   4.950%   6/15/35     7,380       8,506  
      Exelon Corp.   5.625%   6/15/35     5,875       7,251  
      Exelon Corp.   5.100%   6/15/45     4,337       5,192  
      Exelon Corp.   4.450%   4/15/46     11,893       13,416  
      Exelon Generation Co. LLC   3.400%   3/15/22     13,835       14,163  
      Exelon Generation Co. LLC   4.250%   6/15/22     7,020       7,337  

 

115

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Exelon Generation Co. LLC   6.250%   10/1/39     10,992       13,275  
      Exelon Generation Co. LLC   5.750%   10/1/41     3,593       4,134  
      Exelon Generation Co. LLC   5.600%   6/15/42     11,628       12,975  
      FirstEnergy Corp.   2.850%   7/15/22     7,300       7,409  
      FirstEnergy Corp.   4.250%   3/15/23     6,299       6,640  
      FirstEnergy Corp.   3.900%   7/15/27     19,107       20,389  
      FirstEnergy Corp.   7.375%   11/15/31     17,330       24,371  
      FirstEnergy Corp.   4.850%   7/15/47     15,638       18,563  
      Florida Power & Light Co.   2.750%   6/1/23     11,475       11,729  
      Florida Power & Light Co.   3.250%   6/1/24     11,015       11,494  
      Florida Power & Light Co.   3.125%   12/1/25     15,355       16,087  
      Florida Power & Light Co.   5.625%   4/1/34     3,125       4,096  
      Florida Power & Light Co.   4.950%   6/1/35     645       790  
      Florida Power & Light Co.   5.650%   2/1/37     3,396       4,534  
      Florida Power & Light Co.   5.950%   2/1/38     8,235       11,272  
      Florida Power & Light Co.   5.960%   4/1/39     600       844  
      Florida Power & Light Co.   5.690%   3/1/40     100       135  
      Florida Power & Light Co.   5.250%   2/1/41     500       645  
      Florida Power & Light Co.   4.125%   2/1/42     16,098       18,273  
      Florida Power & Light Co.   4.050%   6/1/42     6,140       6,913  
      Florida Power & Light Co.   3.800%   12/15/42     5,095       5,599  
      Florida Power & Light Co.   4.050%   10/1/44     4,300       4,922  
      Florida Power & Light Co.   3.700%   12/1/47     7,525       8,285  
      Florida Power & Light Co.   3.950%   3/1/48     10,860       12,279  
      Florida Power & Light Co.   4.125%   6/1/48     6,272       7,279  
      Florida Power & Light Co.   3.990%   3/1/49     5,450       6,215  
      Florida Power & Light Co.   3.150%   10/1/49     5,005       4,987  
      Fortis Inc.   3.055%   10/4/26     26,910       27,430  
      Georgia Power Co.   2.400%   4/1/21     7,845       7,874  
      Georgia Power Co.   2.850%   5/15/22     9,375       9,537  
      Georgia Power Co.   3.250%   4/1/26     6,800       7,030  
      Georgia Power Co.   3.250%   3/30/27     7,375       7,585  
      Georgia Power Co.   2.650%   9/15/29     1,200       1,170  
      Georgia Power Co.   4.750%   9/1/40     8,442       9,558  
      Georgia Power Co.   4.300%   3/15/42     9,375       10,148  
      Georgia Power Co.   4.300%   3/15/43     5,190       5,597  
      Great Plains Energy Inc.   4.850%   6/1/21     1,983       2,045  
      Gulf Power Co.   3.300%   5/30/27     3,400       3,550  
      Iberdrola International BV   6.750%   7/15/36     3,450       4,769  
      Indiana Michigan Power Co.   3.850%   5/15/28     11,120       12,038  
      Indiana Michigan Power Co.   6.050%   3/15/37     7,350       9,656  
      Indiana Michigan Power Co.   4.550%   3/15/46     1,780       2,072  
      Indiana Michigan Power Co.   3.750%   7/1/47     9,005       9,412  
      Indiana Michigan Power Co.   4.250%   8/15/48     5,375       6,111  
      Interstate Power & Light Co.   3.250%   12/1/24     12,625       13,158  
      Interstate Power & Light Co.   4.100%   9/26/28     5,600       6,115  
      Interstate Power & Light Co.   3.600%   4/1/29     5,200       5,524  
      Interstate Power & Light Co.   6.250%   7/15/39     3,345       4,397  
      Interstate Power & Light Co.   3.700%   9/15/46     2,650       2,702  
      Interstate Power & Light Co.   3.500%   9/30/49     250       245  
      IPALCO Enterprises Inc.   3.700%   9/1/24     200       206  
      ITC Holdings Corp.   2.700%   11/15/22     5,275       5,339  
      ITC Holdings Corp.   3.650%   6/15/24     3,740       3,907  
      ITC Holdings Corp.   3.250%   6/30/26     4,230       4,358  
      ITC Holdings Corp.   3.350%   11/15/27     6,743       7,013  
      ITC Holdings Corp.   5.300%   7/1/43     12,615       15,385  
4     John Sevier Combined Cycle Generation LLC   4.626%   1/15/42     2,414       2,807  
      Kansas City Power & Light Co.   3.150%   3/15/23     2,500       2,568  
      Kansas City Power & Light Co.   5.300%   10/1/41     7,110       8,973  
      Kansas City Power & Light Co.   4.200%   6/15/47     3,425       3,930  
      Kansas City Power & Light Co.   4.200%   3/15/48     5,550       6,373  
      Kentucky Utilities Co.   5.125%   11/1/40     3,656       4,548  
      Kentucky Utilities Co.   4.375%   10/1/45     6,000       6,942  
      Louisville Gas & Electric Co.   3.300%   10/1/25     4,250       4,444  

 

116

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Louisville Gas & Electric Co.   4.250%   4/1/49     11,000       12,537  
      MidAmerican Energy Co.   3.500%   10/15/24     10,128       10,744  
      MidAmerican Energy Co.   3.100%   5/1/27     4,625       4,804  
      MidAmerican Energy Co.   3.650%   4/15/29     7,000       7,631  
      MidAmerican Energy Co.   6.750%   12/30/31     9,264       12,901  
      MidAmerican Energy Co.   5.750%   11/1/35     2,100       2,758  
      MidAmerican Energy Co.   5.800%   10/15/36     2,980       3,921  
      MidAmerican Energy Co.   4.800%   9/15/43     2,769       3,384  
      MidAmerican Energy Co.   4.250%   5/1/46     1,405       1,659  
      MidAmerican Energy Co.   3.950%   8/1/47     3,400       3,768  
      MidAmerican Energy Co.   3.650%   8/1/48     7,905       8,523  
      MidAmerican Energy Co.   4.250%   7/15/49     5,150       6,174  
      Mississippi Power Co.   3.950%   3/30/28     1,750       1,892  
      Mississippi Power Co.   4.250%   3/15/42     7,775       8,285  
      National Rural Utilities Cooperative Finance Corp.   2.900%   3/15/21     3,300       3,337  
      National Rural Utilities Cooperative Finance Corp.   3.050%   2/15/22     2,412       2,462  
      National Rural Utilities Cooperative Finance Corp.   2.400%   4/25/22     6,175       6,240  
      National Rural Utilities Cooperative Finance Corp.   2.700%   2/15/23     12,435       12,675  
      National Rural Utilities Cooperative Finance Corp.   3.400%   11/15/23     5,575       5,861  
      National Rural Utilities Cooperative Finance Corp.   2.950%   2/7/24     11,000       11,345  
      National Rural Utilities Cooperative Finance Corp.   2.850%   1/27/25     7,320       7,532  
      National Rural Utilities Cooperative Finance Corp.   3.250%   11/1/25     1,345       1,417  
      National Rural Utilities Cooperative Finance Corp.   3.050%   4/25/27     5,285       5,469  
      National Rural Utilities Cooperative Finance Corp.   3.900%   11/1/28     5,440       5,920  
      National Rural Utilities Cooperative Finance Corp.   3.700%   3/15/29     6,166       6,726  
      National Rural Utilities Cooperative Finance Corp.   8.000%   3/1/32     600       886  
      National Rural Utilities Cooperative Finance Corp.   4.023%   11/1/32     11,712       13,200  
4     National Rural Utilities Cooperative Finance Corp.   4.750%   4/30/43     2,897       3,013  
4     National Rural Utilities Cooperative Finance Corp.   5.250%   4/20/46     5,415       5,736  
      National Rural Utilities Cooperative Finance Corp.   4.400%   11/1/48     6,900       8,215  
      National Rural Utilities Cooperative Finance Corp.   4.300%   3/15/49     7,045       8,358  
      Nevada Power Co.   3.700%   5/1/29     11,000       11,872  
      Nevada Power Co.   6.650%   4/1/36     5,650       7,739  
      Nevada Power Co.   6.750%   7/1/37     7,597       10,722  
      NextEra Energy Capital Holdings Inc.   2.403%   9/1/21     10,000       10,049  
      NextEra Energy Capital Holdings Inc.   2.900%   4/1/22     9,140       9,289  
      NextEra Energy Capital Holdings Inc.   2.800%   1/15/23     6,005       6,094  
      NextEra Energy Capital Holdings Inc.   3.150%   4/1/24     6,000       6,187  
      NextEra Energy Capital Holdings Inc.   3.250%   4/1/26     2,750       2,860  
      NextEra Energy Capital Holdings Inc.   3.550%   5/1/27     15,352       16,267  
      NextEra Energy Capital Holdings Inc.   3.500%   4/1/29     9,000       9,516  
      NextEra Energy Capital Holdings Inc.   2.750%   11/1/29     2,000       1,997  
4     NextEra Energy Capital Holdings Inc.   4.800%   12/1/77     8,000       8,180  
4     NextEra Energy Capital Holdings Inc.   5.650%   5/1/79     4,000       4,445  
      Northern States Power Co.   2.600%   5/15/23     2,000       2,029  
      Northern States Power Co.   6.250%   6/1/36     3,670       5,037  
      Northern States Power Co.   6.200%   7/1/37     4,643       6,423  
      Northern States Power Co.   5.350%   11/1/39     8,146       10,605  
      Northern States Power Co.   3.400%   8/15/42     4,083       4,241  
      Northern States Power Co.   4.000%   8/15/45     3,120       3,462  
      Northern States Power Co.   3.600%   9/15/47     110       116  
      Northern States Power Co.   2.900%   3/1/50     3,930       3,748  
      NorthWestern Corp.   4.176%   11/15/44     4,475       4,920  
      NSTAR Electric Co.   2.375%   10/15/22     8,975       9,063  
      NSTAR Electric Co.   3.200%   5/15/27     9,100       9,501  
      NSTAR Electric Co.   3.250%   5/15/29     4,300       4,486  
      NSTAR Electric Co.   5.500%   3/15/40     4,996       6,376  
      Oglethorpe Power Corp.   5.950%   11/1/39     1,450       1,809  
      Oglethorpe Power Corp.   5.375%   11/1/40     8,050       9,708  
      Oglethorpe Power Corp.   5.250%   9/1/50     568       680  
      Ohio Edison Co.   6.875%   7/15/36     1,870       2,609  
      Ohio Power Co.   5.375%   10/1/21     6,266       6,638  
      Ohio Power Co.   4.150%   4/1/48     4,295       4,895  
      Ohio Power Co.   4.000%   6/1/49     4,780       5,370  

 

117

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Oklahoma Gas & Electric Co.   3.800%   8/15/28     5,725       6,182  
      Oklahoma Gas & Electric Co.   4.150%   4/1/47     2,975       3,216  
      Oklahoma Gas & Electric Co.   3.850%   8/15/47     3,750       3,887  
      Oncor Electric Delivery Co. LLC   4.100%   6/1/22     350       365  
      Oncor Electric Delivery Co. LLC   2.750%   6/1/24     6,000       6,096  
      Oncor Electric Delivery Co. LLC   2.950%   4/1/25     6,500       6,709  
      Oncor Electric Delivery Co. LLC   3.700%   11/15/28     2,100       2,290  
      Oncor Electric Delivery Co. LLC   5.750%   3/15/29     1,600       1,997  
      Oncor Electric Delivery Co. LLC   7.000%   5/1/32     5,440       7,726  
      Oncor Electric Delivery Co. LLC   7.250%   1/15/33     2,930       4,260  
      Oncor Electric Delivery Co. LLC   7.500%   9/1/38     1,771       2,775  
      Oncor Electric Delivery Co. LLC   5.250%   9/30/40     5,780       7,373  
      Oncor Electric Delivery Co. LLC   4.550%   12/1/41     4,494       5,296  
      Oncor Electric Delivery Co. LLC   5.300%   6/1/42     4,975       6,450  
      Oncor Electric Delivery Co. LLC   3.750%   4/1/45     10,394       11,302  
      Oncor Electric Delivery Co. LLC   3.800%   9/30/47     3,865       4,252  
      Oncor Electric Delivery Co. LLC   4.100%   11/15/48     2,700       3,130  
      Oncor Electric Delivery Co. LLC   3.800%   6/1/49     8,000       8,751  
      Oncor Electric Delivery Co. LLC   3.100%   9/15/49     14,025       13,877  
      PacifiCorp   2.950%   2/1/22     9,975       10,164  
      PacifiCorp   2.950%   6/1/23     5,215       5,343  
      PacifiCorp   3.600%   4/1/24     7,214       7,599  
      PacifiCorp   3.500%   6/15/29     11,450       12,331  
      PacifiCorp   7.700%   11/15/31     1,349       1,983  
      PacifiCorp   5.250%   6/15/35     1,510       1,860  
      PacifiCorp   6.100%   8/1/36     4,598       6,176  
      PacifiCorp   5.750%   4/1/37     9,001       11,759  
      PacifiCorp   6.250%   10/15/37     8,731       12,225  
      PacifiCorp   6.350%   7/15/38     3,350       4,701  
      PacifiCorp   6.000%   1/15/39     4,271       5,819  
      PacifiCorp   4.100%   2/1/42     4,965       5,504  
      PacifiCorp   4.125%   1/15/49     10,562       12,034  
      PacifiCorp   4.150%   2/15/50     25,000       28,676  
      PECO Energy Co.   2.375%   9/15/22     3,135       3,170  
      PECO Energy Co.   3.150%   10/15/25     2,350       2,456  
      PECO Energy Co.   3.900%   3/1/48     3,600       3,988  
      PECO Energy Co.   3.000%   9/15/49     3,000       2,855  
      Pinnacle West Capital Corp.   2.250%   11/30/20     3,400       3,409  
      PNM Resources Inc.   3.250%   3/9/21     3,000       3,036  
      Potomac Electric Power Co.   3.600%   3/15/24     3,537       3,721  
      Potomac Electric Power Co.   6.500%   11/15/37     7,732       10,923  
      Potomac Electric Power Co.   4.150%   3/15/43     4,675       5,243  
      PPL Capital Funding Inc.   4.200%   6/15/22     2,565       2,674  
      PPL Capital Funding Inc.   3.500%   12/1/22     1,745       1,801  
      PPL Capital Funding Inc.   3.400%   6/1/23     3,870       3,976  
      PPL Capital Funding Inc.   3.950%   3/15/24     815       857  
      PPL Capital Funding Inc.   3.100%   5/15/26     8,776       8,933  
      PPL Capital Funding Inc.   4.700%   6/1/43     6,830       7,566  
      PPL Capital Funding Inc.   5.000%   3/15/44     12,156       13,947  
      PPL Capital Funding Inc.   4.000%   9/15/47     4,625       4,704  
      PPL Electric Utilities Corp.   3.000%   9/15/21     5,495       5,588  
      PPL Electric Utilities Corp.   6.250%   5/15/39     5,467       7,633  
      PPL Electric Utilities Corp.   4.125%   6/15/44     3,100       3,465  
      PPL Electric Utilities Corp.   4.150%   10/1/45     4,405       4,953  
      PPL Electric Utilities Corp.   3.950%   6/1/47     5,275       5,781  
      PPL Electric Utilities Corp.   4.150%   6/15/48     3,400       3,886  
      Progress Energy Inc.   4.400%   1/15/21     6,847       6,963  
      Progress Energy Inc.   3.150%   4/1/22     17,265       17,611  
      Progress Energy Inc.   7.750%   3/1/31     2,960       4,137  
      Progress Energy Inc.   7.000%   10/30/31     3,025       4,078  
      Progress Energy Inc.   6.000%   12/1/39     7,724       10,020  
      PSEG Power LLC   3.000%   6/15/21     4,210       4,260  
      PSEG Power LLC   3.850%   6/1/23     7,925       8,300  
      PSEG Power LLC   8.625%   4/15/31     1,638       2,280  

 

118

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Public Service Co. of Colorado   2.250%   9/15/22     5,600       5,641  
      Public Service Co. of Colorado   3.700%   6/15/28     4,850       5,264  
      Public Service Co. of Colorado   3.600%   9/15/42     10,575       11,107  
      Public Service Co. of Colorado   4.300%   3/15/44     295       343  
      Public Service Co. of Colorado   3.800%   6/15/47     750       824  
      Public Service Co. of Colorado   4.100%   6/15/48     4,375       4,975  
      Public Service Co. of Colorado   4.050%   9/15/49     5,305       6,045  
      Public Service Co. of New Hampshire   3.500%   11/1/23     4,054       4,250  
      Public Service Co. of New Hampshire   3.600%   7/1/49     3,370       3,560  
      Public Service Electric & Gas Co.   1.900%   3/15/21     3,150       3,156  
      Public Service Electric & Gas Co.   2.375%   5/15/23     5,225       5,283  
      Public Service Electric & Gas Co.   3.250%   9/1/23     25       26  
      Public Service Electric & Gas Co.   3.000%   5/15/25     5,510       5,715  
      Public Service Electric & Gas Co.   2.250%   9/15/26     2,100       2,072  
      Public Service Electric & Gas Co.   3.000%   5/15/27     6,050       6,246  
      Public Service Electric & Gas Co.   3.700%   5/1/28     1,000       1,085  
      Public Service Electric & Gas Co.   3.200%   5/15/29     3,600       3,799  
      Public Service Electric & Gas Co.   5.800%   5/1/37     1,766       2,334  
      Public Service Electric & Gas Co.   3.950%   5/1/42     14,730       16,262  
      Public Service Electric & Gas Co.   3.650%   9/1/42     800       846  
      Public Service Electric & Gas Co.   3.800%   3/1/46     16,730       18,222  
      Public Service Electric & Gas Co.   3.600%   12/1/47     3,900       4,180  
      Public Service Electric & Gas Co.   3.850%   5/1/49     5,805       6,455  
      Public Service Enterprise Group Inc.   2.650%   11/15/22     7,660       7,778  
      Public Service Enterprise Group Inc.   2.875%   6/15/24     4,645       4,731  
      Puget Energy Inc.   6.500%   12/15/20     16,100       16,760  
      Puget Energy Inc.   6.000%   9/1/21     5,494       5,823  
      Puget Energy Inc.   5.625%   7/15/22     2,050       2,198  
      Puget Energy Inc.   3.650%   5/15/25     7,630       7,910  
      Puget Sound Energy Inc.   6.274%   3/15/37     3,525       4,759  
      Puget Sound Energy Inc.   5.757%   10/1/39     6,910       9,156  
      Puget Sound Energy Inc.   5.795%   3/15/40     1,824       2,433  
      Puget Sound Energy Inc.   5.638%   4/15/41     3,068       3,971  
      Puget Sound Energy Inc.   4.300%   5/20/45     8,150       9,400  
      Puget Sound Energy Inc.   4.223%   6/15/48     6,220       7,056  
      Puget Sound Energy Inc.   3.250%   9/15/49     5,425       5,409  
      San Diego Gas & Electric Co.   3.000%   8/15/21     4,925       4,993  
      San Diego Gas & Electric Co.   3.600%   9/1/23     7,335       7,652  
      San Diego Gas & Electric Co.   2.500%   5/15/26     1,075       1,064  
      San Diego Gas & Electric Co.   6.000%   6/1/39     1,929       2,471  
      San Diego Gas & Electric Co.   4.500%   8/15/40     5,645       6,250  
      San Diego Gas & Electric Co.   3.750%   6/1/47     4,350       4,439  
      San Diego Gas & Electric Co.   4.150%   5/15/48     7,070       7,739  
      Sierra Pacific Power Co.   2.600%   5/1/26     13,550       13,621  
      Southern California Edison Co.   2.900%   3/1/21     6,000       6,063  
      Southern California Edison Co.   3.875%   6/1/21     18,875       19,272  
4     Southern California Edison Co.   1.845%   2/1/22     1,946       1,922  
      Southern California Edison Co.   2.400%   2/1/22     7,400       7,436  
      Southern California Edison Co.   3.400%   6/1/23     8,345       8,603  
      Southern California Edison Co.   3.500%   10/1/23     2,025       2,106  
      Southern California Edison Co.   3.700%   8/1/25     2,425       2,563  
      Southern California Edison Co.   3.650%   3/1/28     9,725       10,420  
      Southern California Edison Co.   4.200%   3/1/29     5,005       5,526  
      Southern California Edison Co.   6.650%   4/1/29     2,106       2,528  
      Southern California Edison Co.   2.850%   8/1/29     4,500       4,488  
      Southern California Edison Co.   6.000%   1/15/34     5,535       6,866  
      Southern California Edison Co.   5.750%   4/1/35     2,913       3,539  
      Southern California Edison Co.   5.350%   7/15/35     8,928       10,588  
      Southern California Edison Co.   5.550%   1/15/36     1,280       1,529  
      Southern California Edison Co.   5.625%   2/1/36     5,650       6,852  
      Southern California Edison Co.   5.550%   1/15/37     6,025       7,238  
      Southern California Edison Co.   5.950%   2/1/38     5,713       7,266  
      Southern California Edison Co.   6.050%   3/15/39     1,085       1,414  
      Southern California Edison Co.   5.500%   3/15/40     5,148       6,258  

 

119

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Southern California Edison Co.   4.500%   9/1/40     4,650       5,083  
      Southern California Edison Co.   4.050%   3/15/42     12,662       13,058  
      Southern California Edison Co.   3.900%   3/15/43     5,340       5,431  
      Southern California Edison Co.   4.650%   10/1/43     2,992       3,355  
      Southern California Edison Co.   3.600%   2/1/45     7,845       7,644  
      Southern California Edison Co.   4.000%   4/1/47     21,925       22,903  
      Southern California Edison Co.   4.125%   3/1/48     8,680       9,182  
      Southern California Edison Co.   4.875%   3/1/49     6,810       8,023  
      Southern Co.   2.350%   7/1/21     16,275       16,331  
      Southern Co.   2.950%   7/1/23     7,825       7,968  
      Southern Co.   3.250%   7/1/26     20,515       21,257  
      Southern Co.   4.250%   7/1/36     6,400       6,885  
      Southern Co.   4.400%   7/1/46     7,530       8,321  
      Southern Power Co.   2.500%   12/15/21     9,800       9,875  
      Southern Power Co.   4.150%   12/1/25     5,850       6,339  
      Southern Power Co.   5.150%   9/15/41     11,181       12,705  
      Southern Power Co.   5.250%   7/15/43     475       538  
      Southern Power Co.   4.950%   12/15/46     4,380       4,821  
      Southwestern Electric Power Co.   2.750%   10/1/26     4,800       4,771  
      Southwestern Electric Power Co.   4.100%   9/15/28     11,945       13,006  
      Southwestern Electric Power Co.   6.200%   3/15/40     4,890       6,453  
      Southwestern Electric Power Co.   3.900%   4/1/45     14,817       15,299  
      Southwestern Electric Power Co.   3.850%   2/1/48     6,150       6,322  
      Southwestern Public Service Co.   3.300%   6/15/24     2,990       3,107  
      Southwestern Public Service Co.   4.500%   8/15/41     6,248       7,288  
      Southwestern Public Service Co.   3.400%   8/15/46     21,590       21,519  
      Southwestern Public Service Co.   3.700%   8/15/47     6,195       6,482  
      Southwestern Public Service Co.   4.400%   11/15/48     10,670       12,451  
      Southwestern Public Service Co.   3.750%   6/15/49     3,450       3,674  
      Tampa Electric Co.   4.100%   6/15/42     602       655  
      Tampa Electric Co.   4.350%   5/15/44     5,935       6,716  
      Tampa Electric Co.   4.300%   6/15/48     4,420       5,119  
      Tampa Electric Co.   4.450%   6/15/49     6,800       8,054  
      Tampa Electric Co.   3.625%   6/15/50     4,020       4,255  
      Toledo Edison Co.   6.150%   5/15/37     3,530       4,768  
      Tucson Electric Power Co.   3.050%   3/15/25     2,484       2,561  
      Tucson Electric Power Co.   4.850%   12/1/48     185       226  
      Union Electric Co.   3.500%   4/15/24     8,630       9,066  
      Union Electric Co.   2.950%   6/15/27     6,275       6,423  
      Union Electric Co.   3.500%   3/15/29     4,000       4,283  
      Union Electric Co.   5.300%   8/1/37     3,570       4,441  
      Union Electric Co.   8.450%   3/15/39     1,775       2,893  
      Union Electric Co.   3.900%   9/15/42     2,840       3,073  
      Union Electric Co.   3.650%   4/15/45     4,900       5,131  
      Union Electric Co.   4.000%   4/1/48     5,000       5,599  
      Union Electric Co.   3.250%   10/1/49     3,750       3,731  
      Virginia Electric & Power Co.   2.950%   1/15/22     4,070       4,135  
      Virginia Electric & Power Co.   3.450%   9/1/22     5,490       5,676  
      Virginia Electric & Power Co.   2.750%   3/15/23     6,400       6,502  
      Virginia Electric & Power Co.   3.450%   2/15/24     6,320       6,595  
      Virginia Electric & Power Co.   3.100%   5/15/25     5,205       5,398  
      Virginia Electric & Power Co.   3.150%   1/15/26     9,290       9,696  
      Virginia Electric & Power Co.   2.950%   11/15/26     4,720       4,844  
      Virginia Electric & Power Co.   3.500%   3/15/27     30,203       32,054  
      Virginia Electric & Power Co.   3.800%   4/1/28     8,935       9,655  
      Virginia Electric & Power Co.   2.875%   7/15/29     2,000       2,038  
      Virginia Electric & Power Co.   6.000%   1/15/36     6,250       8,165  
      Virginia Electric & Power Co.   6.000%   5/15/37     4,925       6,525  
      Virginia Electric & Power Co.   6.350%   11/30/37     5,030       6,959  
      Virginia Electric & Power Co.   4.000%   1/15/43     8,823       9,592  
      Virginia Electric & Power Co.   4.650%   8/15/43     8,230       9,877  
      Virginia Electric & Power Co.   4.450%   2/15/44     10,930       12,662  
      Virginia Electric & Power Co.   4.200%   5/15/45     6,425       7,319  
      Virginia Electric & Power Co.   4.000%   11/15/46     5,734       6,296  

 

120

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Virginia Electric & Power Co.   3.800%   9/15/47     5,874       6,351  
      Virginia Electric & Power Co.   4.600%   12/1/48     18,645       22,627  
      Virginia Electric & Power Co.   3.300%   12/1/49     6,550       6,600  
      WEC Energy Group Inc.   3.375%   6/15/21     5,125       5,219  
      WEC Energy Group Inc.   3.550%   6/15/25     4,160       4,397  
      Westar Energy Inc.   2.550%   7/1/26     7,875       7,894  
      Westar Energy Inc.   3.100%   4/1/27     13,010       13,434  
      Westar Energy Inc.   4.125%   3/1/42     8,362       9,317  
      Westar Energy Inc.   4.100%   4/1/43     5,225       5,815  
      Westar Energy Inc.   4.250%   12/1/45     2,465       2,806  
      Westar Energy Inc.   3.250%   9/1/49     4,050       3,956  
      Wisconsin Electric Power Co.   2.950%   9/15/21     2,515       2,552  
      Wisconsin Electric Power Co.   2.050%   12/15/24     1,550       1,548  
      Wisconsin Electric Power Co.   5.625%   5/15/33     775       990  
      Wisconsin Electric Power Co.   5.700%   12/1/36     1,050       1,368  
      Wisconsin Electric Power Co.   4.300%   10/15/48     3,475       4,006  
      Wisconsin Power & Light Co.   3.050%   10/15/27     2,200       2,273  
      Wisconsin Power & Light Co.   6.375%   8/15/37     4,225       5,752  
      Wisconsin Public Service Corp.   3.350%   11/21/21     5,505       5,662  
      Wisconsin Public Service Corp.   3.671%   12/1/42     3,375       3,526  
      Wisconsin Public Service Corp.   4.752%   11/1/44     5,000       6,098  
      Xcel Energy Inc.   2.400%   3/15/21     4,390       4,411  
      Xcel Energy Inc.   2.600%   3/15/22     5,225       5,284  
      Xcel Energy Inc.   3.300%   6/1/25     5,050       5,262  
      Xcel Energy Inc.   3.350%   12/1/26     3,825       3,988  
      Xcel Energy Inc.   4.000%   6/15/28     5,306       5,791  
      Xcel Energy Inc.   2.600%   12/1/29     5,200       5,142  
      Xcel Energy Inc.   6.500%   7/1/36     7,956       10,844  
      Xcel Energy Inc.   3.500%   12/1/49     4,340       4,417  
      Natural Gas (0.2%)                        
      Atmos Energy Corp.   3.000%   6/15/27     7,000       7,227  
      Atmos Energy Corp.   2.625%   9/15/29     1,005       1,009  
      Atmos Energy Corp.   5.500%   6/15/41     10,110       13,001  
      Atmos Energy Corp.   4.150%   1/15/43     5,550       6,212  
      Atmos Energy Corp.   4.125%   10/15/44     2,800       3,139  
      Atmos Energy Corp.   3.375%   9/15/49     4,460       4,502  
      CenterPoint Energy Resources Corp.   4.500%   1/15/21     16,567       16,862  
      CenterPoint Energy Resources Corp.   3.550%   4/1/23     3,000       3,100  
      CenterPoint Energy Resources Corp.   4.000%   4/1/28     3,350       3,593  
      CenterPoint Energy Resources Corp.   5.850%   1/15/41     6,750       8,516  
      CenterPoint Energy Resources Corp.   4.100%   9/1/47     3,200       3,347  
      KeySpan Corp.   5.803%   4/1/35     2,715       3,284  
      NiSource Finance Corp.   3.490%   5/15/27     10,951       11,490  
      NiSource Finance Corp.   5.950%   6/15/41     9,065       11,581  
      NiSource Finance Corp.   5.250%   2/15/43     1,200       1,453  
      NiSource Finance Corp.   4.800%   2/15/44     2,242       2,571  
      NiSource Finance Corp.   5.650%   2/1/45     2,500       3,193  
      NiSource Finance Corp.   4.375%   5/15/47     19,832       22,122  
      NiSource Finance Corp.   3.950%   3/30/48     275       289  
      NiSource Inc.   2.650%   11/17/22     4,005       4,054  
      NiSource Inc.   3.650%   6/15/23     3,950       4,118  
      NiSource Inc.   2.950%   9/1/29     4,700       4,675  
      ONE Gas Inc.   4.658%   2/1/44     4,325       5,157  
      ONE Gas Inc.   4.500%   11/1/48     7,575       9,022  
      Piedmont Natural Gas Co. Inc.   3.500%   6/1/29     5,750       6,122  
      Piedmont Natural Gas Co. Inc.   4.650%   8/1/43     2,450       2,764  
      Piedmont Natural Gas Co. Inc.   3.640%   11/1/46     4,215       4,166  
      Sempra Energy   2.875%   10/1/22     6,125       6,228  
      Sempra Energy   2.900%   2/1/23     6,325       6,417  
      Sempra Energy   4.050%   12/1/23     11,435       12,103  
      Sempra Energy   3.550%   6/15/24     1,250       1,309  
      Sempra Energy   3.750%   11/15/25     5,450       5,744  
      Sempra Energy   3.250%   6/15/27     9,605       9,835  

 

121

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Sempra Energy   3.400%   2/1/28     10,880       11,232  
      Sempra Energy   3.800%   2/1/38     12,540       13,054  
      Sempra Energy   6.000%   10/15/39     22,478       29,191  
      Sempra Energy   4.000%   2/1/48     9,754       10,128  
      Southern California Gas Co.   3.150%   9/15/24     4,045       4,208  
      Southern California Gas Co.   3.200%   6/15/25     1,520       1,573  
      Southern California Gas Co.   2.600%   6/15/26     13,950       13,935  
      Southern California Gas Co.   3.750%   9/15/42     3,770       3,934  
      Southern California Gas Co.   4.125%   6/1/48     5,075       5,605  
      Southern California Gas Co.   4.300%   1/15/49     500       566  
      Southern California Gas Co.   3.950%   2/15/50     3,925       4,394  
      Southern Co. Gas Capital Corp.   3.500%   9/15/21     2,975       3,037  
      Southern Co. Gas Capital Corp.   2.450%   10/1/23     1,101       1,103  
      Southern Co. Gas Capital Corp.   3.250%   6/15/26     5,105       5,243  
      Southern Co. Gas Capital Corp.   5.875%   3/15/41     4,295       5,411  
      Southern Co. Gas Capital Corp.   4.400%   6/1/43     4,626       5,017  
      Southern Co. Gas Capital Corp.   3.950%   10/1/46     5,950       6,080  
      Southern Co. Gas Capital Corp.   4.400%   5/30/47     18,560       20,282  
      Southwest Gas Corp.   3.700%   4/1/28     7,425       7,862  
      Southwest Gas Corp.   3.800%   9/29/46     885       906  
      Southwest Gas Corp.   4.150%   6/1/49     3,475       3,801  
      Washington Gas Light Co.   3.796%   9/15/46     4,675       4,865  
      Washington Gas Light Co.   3.650%   9/15/49     6,000       6,034  
      Other Utility (0.0%)                        
      American Water Capital Corp.   3.850%   3/1/24     4,450       4,698  
      American Water Capital Corp.   3.400%   3/1/25     5,860       6,135  
      American Water Capital Corp.   2.950%   9/1/27     7,450       7,591  
      American Water Capital Corp.   3.750%   9/1/28     6,500       6,999  
      American Water Capital Corp.   3.450%   6/1/29     7,175       7,556  
      American Water Capital Corp.   6.593%   10/15/37     8,141       11,555  
      American Water Capital Corp.   4.300%   12/1/42     60       67  
      American Water Capital Corp.   4.300%   9/1/45     5,472       6,213  
      American Water Capital Corp.   4.000%   12/1/46     1,265       1,370  
      American Water Capital Corp.   3.750%   9/1/47     11,775       12,381  
      American Water Capital Corp.   4.200%   9/1/48     7,500       8,454  
      American Water Capital Corp.   4.150%   6/1/49     6,890       7,718  
      Aqua America Inc.   3.566%   5/1/29     3,655       3,852  
      Aqua America Inc.   4.276%   5/1/49     4,820       5,347  
      United Utilities plc   6.875%   8/15/28     960       1,171  
      Veolia Environnement SA   6.750%   6/1/38     1,690       2,329  
                            4,881,932  

Total Corporate Bonds (Cost $62,029,801)

                    66,294,257  

Sovereign Bonds (4.0%)

                       
      African Development Bank   2.625%   3/22/21     14,122       14,270  
      African Development Bank   1.250%   7/26/21     7,670       7,619  
      African Development Bank   2.375%   9/23/21     28,100       28,426  
      African Development Bank   1.625%   9/16/22     30,730       30,678  
      African Development Bank   2.125%   11/16/22     46,810       47,367  
      African Development Bank   3.000%   9/20/23     15,560       16,274  
      Asian Development Bank   2.250%   1/20/21     17,000       17,090  
      Asian Development Bank   1.625%   3/16/21     44,000       43,945  
      Asian Development Bank   1.750%   6/8/21     37,720       37,747  
      Asian Development Bank   2.125%   11/24/21     13,000       13,105  
      Asian Development Bank   2.000%   2/16/22     90,676       91,335  
      Asian Development Bank   1.875%   2/18/22     29,550       29,695  
      Asian Development Bank   1.875%   7/19/22     52,000       52,227  
      Asian Development Bank   1.875%   8/10/22     1,000       1,003  
      Asian Development Bank   1.750%   9/13/22     17,205       17,233  
      Asian Development Bank   2.750%   3/17/23     40,486       41,795  
      Asian Development Bank   2.625%   1/30/24     1,200       1,241  
      Asian Development Bank   1.500%   10/18/24     39,830       39,366  
      Asian Development Bank   2.000%   1/22/25     16,465       16,644  

 

122

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Asian Development Bank   2.000%   4/24/26     11,350       11,413  
      Asian Development Bank   1.750%   8/14/26     125       123  
      Asian Development Bank   2.625%   1/12/27     21,100       22,050  
      Asian Development Bank   6.220%   8/15/27     475       603  
      Asian Development Bank   2.500%   11/2/27     41,947       43,627  
      Asian Development Bank   2.750%   1/19/28     23,142       24,521  
      Asian Development Bank   5.820%   6/16/28     2,240       2,845  
      Asian Development Bank   3.125%   9/26/28     6,000       6,549  
      Asian Development Bank   1.750%   9/19/29     21,900       21,401  
      Asian Infrastructure Investment Bank   2.250%   5/16/24     16,010       16,315  
      Canada   2.625%   1/25/22     17,455       17,788  
      Canada   2.000%   11/15/22     34,410       34,737  
      CNOOC Curtis Funding No 1 Pty Ltd.   4.500%   10/3/23     5,000       5,358  
      CNOOC Finance 2013 Ltd.   3.000%   5/9/23     10,760       10,965  
      CNOOC Finance 2013 Ltd.   2.875%   9/30/29     11,850       11,835  
      CNOOC Finance 2013 Ltd.   4.250%   5/9/43     800       887  
      CNOOC Finance 2013 Ltd.   3.300%   9/30/49     9,350       8,842  
      CNOOC Finance 2015 Australia Pty Ltd.   4.200%   5/5/45     4,500       5,000  
      CNOOC Finance 2015 USA LLC   3.500%   5/5/25     31,660       33,097  
      CNOOC Finance 2015 USA LLC   4.375%   5/2/28     13,000       14,395  
      CNOOC Nexen Finance 2014 ULC   4.250%   4/30/24     37,190       39,721  
      CNOOC Nexen Finance 2014 ULC   4.875%   4/30/44     6,385       7,804  
      Corp. Andina de Fomento   3.250%   2/11/22     1,647       1,676  
      Corp. Andina de Fomento   4.375%   6/15/22     17,910       18,751  
      Corp. Andina de Fomento   2.750%   1/6/23     21,879       22,069  
      Corp. Andina de Fomento   3.750%   11/23/23     13,343       13,957  
      Council Of Europe Development Bank   1.625%   3/16/21     8,700       8,683  
      Council Of Europe Development Bank   1.750%   9/26/22     9,300       9,313  
      Council Of Europe Development Bank   2.625%   2/13/23     23,255       23,898  
      Council Of Europe Development Bank   2.500%   2/27/24     2,800       2,880  
      Ecopetrol SA   5.875%   9/18/23     11,765       13,059  
      Ecopetrol SA   4.125%   1/16/25     22,815       23,984  
      Ecopetrol SA   5.375%   6/26/26     20,829       23,354  
      Ecopetrol SA   7.375%   9/18/43     6,283       8,482  
      Ecopetrol SA   5.875%   5/28/45     22,961       26,979  
      Equinor ASA   2.750%   11/10/21     18,460       18,764  
      Equinor ASA   3.150%   1/23/22     11,117       11,400  
      Equinor ASA   2.450%   1/17/23     20,974       21,292  
      Equinor ASA   7.750%   6/15/23     25       30  
      Equinor ASA   2.650%   1/15/24     23,021       23,549  
      Equinor ASA   3.700%   3/1/24     12,737       13,566  
      Equinor ASA   3.250%   11/10/24     13,180       13,876  
      Equinor ASA   7.250%   9/23/27     7,375       9,774  
      Equinor ASA   3.625%   9/10/28     6,075       6,698  
7     Equinor ASA   6.500%   12/1/28     975       1,274  
      Equinor ASA   5.100%   8/17/40     4,761       6,067  
      Equinor ASA   4.250%   11/23/41     8,784       10,164  
      Equinor ASA   3.950%   5/15/43     10,562       11,772  
      Equinor ASA   4.800%   11/8/43     10,252       12,919  
      Equinor ASA   3.250%   11/18/49     7,425       7,455  
      European Bank for Reconstruction & Development   2.000%   2/1/21     53,350       53,481  
      European Bank for Reconstruction & Development   1.875%   7/15/21     6,375       6,390  
      European Bank for Reconstruction & Development   1.500%   11/2/21     12,300       12,263  
      European Bank for Reconstruction & Development   1.875%   2/23/22     14,800       14,864  
      European Bank for Reconstruction & Development   2.125%   3/7/22     1,040       1,050  
      European Bank for Reconstruction & Development   2.750%   3/7/23     24,094       24,874  
      European Bank for Reconstruction & Development   1.625%   9/27/24     6,590       6,540  
      European Investment Bank   4.000%   2/16/21     51,916       53,194  
      European Investment Bank   2.000%   3/15/21     34,881       34,993  
      European Investment Bank   2.500%   4/15/21     41,260       41,656  
      European Investment Bank   2.375%   5/13/21     102,350       103,221  
      European Investment Bank   1.625%   6/15/21     14,050       14,027  
      European Investment Bank   1.375%   9/15/21     6,200       6,171  
      European Investment Bank   2.125%   10/15/21     20,690       20,855  

 

123

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      European Investment Bank   2.875%   12/15/21     64,182       65,648  
      European Investment Bank   2.250%   3/15/22     57,460       58,190  
      European Investment Bank   2.625%   5/20/22     11,300       11,554  
      European Investment Bank   2.375%   6/15/22     69,580       70,720  
      European Investment Bank   2.250%   8/15/22     24,615       24,967  
      European Investment Bank   1.375%   9/6/22     24,240       24,048  
      European Investment Bank   2.000%   12/15/22     6,575       6,634  
      European Investment Bank   2.500%   3/15/23     28,403       29,118  
      European Investment Bank   2.875%   8/15/23     45,204       47,077  
      European Investment Bank   3.125%   12/14/23     37,500       39,504  
      European Investment Bank   3.250%   1/29/24     47,240       50,024  
      European Investment Bank   2.625%   3/15/24     31,606       32,728  
      European Investment Bank   2.250%   6/24/24     40,365       41,240  
      European Investment Bank   2.500%   10/15/24     24,860       25,707  
      European Investment Bank   1.875%   2/10/25     50,760       51,057  
      European Investment Bank   2.125%   4/13/26     51,845       52,606  
      European Investment Bank   2.375%   5/24/27     11,460       11,829  
      European Investment Bank   1.625%   10/9/29     5,250       5,081  
      European Investment Bank   4.875%   2/15/36     14,815       19,882  
      Export Development Canada   1.500%   5/26/21     26,750       26,648  
      Export Development Canada   1.375%   10/21/21     14,300       14,208  
      Export Development Canada   2.000%   5/17/22     1,500       1,511  
      Export Development Canada   1.750%   7/18/22     11,200       11,242  
      Export Development Canada   2.500%   1/24/23     11,895       12,172  
      Export Development Canada   2.750%   3/15/23     8,990       9,279  
      Export Development Canada   2.625%   2/21/24     10,625       10,962  
      Export-Import Bank of Korea   2.625%   12/30/20     2,450       2,463  
      Export-Import Bank of Korea   4.000%   1/29/21     8,374       8,537  
      Export-Import Bank of Korea   2.125%   2/11/21     1,950       1,950  
      Export-Import Bank of Korea   2.500%   5/10/21     6,050       6,081  
      Export-Import Bank of Korea   4.375%   9/15/21     4,745       4,931  
      Export-Import Bank of Korea   1.875%   10/21/21     12,325       12,293  
      Export-Import Bank of Korea   3.500%   11/27/21     8,900       9,143  
      Export-Import Bank of Korea   2.750%   1/25/22     22,960       23,314  
      Export-Import Bank of Korea   5.000%   4/11/22     5,600       5,966  
      Export-Import Bank of Korea   3.000%   11/1/22     8,464       8,683  
      Export-Import Bank of Korea   3.625%   11/27/23     13,664       14,385  
      Export-Import Bank of Korea   4.000%   1/14/24     48,500       51,841  
      Export-Import Bank of Korea   3.250%   11/10/25     6,480       6,806  
      Export-Import Bank of Korea   2.625%   5/26/26     12,975       13,073  
      Export-Import Bank of Korea   3.250%   8/12/26     725       758  
      FMS Wertmanagement AoeR   2.000%   8/1/22     54,160       54,570  
      Hydro-Quebec   8.400%   1/15/22     8,195       9,204  
      Hydro-Quebec   8.050%   7/7/24     9,060       11,286  
      Hydro-Quebec   8.500%   12/1/29     1,396       2,119  
      Industrial & Commercial Bank of China Ltd.   2.635%   5/26/21     10,750       10,786  
      Industrial & Commercial Bank of China Ltd.   2.452%   10/20/21     1,000       1,001  
      Industrial & Commercial Bank of China Ltd.   2.957%   11/8/22     7,810       7,924  
      Industrial & Commercial Bank of China Ltd.   3.538%   11/8/27     8,350       8,626  
      Inter-American Development Bank   1.875%   3/15/21     18,290       18,315  
      Inter-American Development Bank   2.625%   4/19/21     28,164       28,474  
      Inter-American Development Bank   1.875%   7/23/21     12,495       12,534  
      Inter-American Development Bank   2.125%   1/18/22     74,400       75,078  
      Inter-American Development Bank   1.750%   4/14/22     30,140       30,194  
      Inter-American Development Bank   1.750%   9/14/22     19,078       19,114  
      Inter-American Development Bank   3.000%   9/26/22     27,796       28,697  
      Inter-American Development Bank   2.500%   1/18/23     58,970       60,382  
      Inter-American Development Bank   3.000%   10/4/23     8,225       8,619  
      Inter-American Development Bank   2.625%   1/16/24     15,545       16,064  
      Inter-American Development Bank   3.000%   2/21/24     28,257       29,596  
      Inter-American Development Bank   2.125%   1/15/25     29,620       30,075  
      Inter-American Development Bank   7.000%   6/15/25     2,950       3,678  
      Inter-American Development Bank   2.000%   6/2/26     32,570       32,754  
      Inter-American Development Bank   2.000%   7/23/26     23,765       23,902  

 

124

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Inter-American Development Bank   2.375%   7/7/27     47,050       48,554  
      Inter-American Development Bank   3.125%   9/18/28     34,842       38,020  
      Inter-American Development Bank   2.250%   6/18/29     17,300       17,642  
      Inter-American Development Bank   3.875%   10/28/41     1,345       1,650  
      Inter-American Development Bank   3.200%   8/7/42     7,052       7,876  
      Inter-American Development Bank   4.375%   1/24/44     8,725       11,540  
      International Bank for Reconstruction & Development   1.625%   3/9/21     25,935       25,904  
      International Bank for Reconstruction & Development   1.375%   5/24/21     66,505       66,183  
      International Bank for Reconstruction & Development   2.250%   6/24/21     23,390       23,567  
      International Bank for Reconstruction & Development   2.750%   7/23/21     78,546       79,844  
      International Bank for Reconstruction & Development   1.375%   9/20/21     62,570       62,272  
      International Bank for Reconstruction & Development   2.125%   12/13/21     14,155       14,267  
      International Bank for Reconstruction & Development   2.000%   1/26/22     57,905       58,292  
      International Bank for Reconstruction & Development   1.625%   2/10/22     61,735       61,692  
      International Bank for Reconstruction & Development   2.125%   7/1/22     44,922       45,410  
      International Bank for Reconstruction & Development   1.875%   10/7/22     3,900       3,919  
      International Bank for Reconstruction & Development   7.625%   1/19/23     14,100       16,555  
      International Bank for Reconstruction & Development   1.750%   4/19/23     10,215       10,225  
      International Bank for Reconstruction & Development   1.875%   6/19/23     83,000       83,407  
      International Bank for Reconstruction & Development   3.000%   9/27/23     64,300       67,290  
      International Bank for Reconstruction & Development   2.500%   3/19/24     41,850       43,128  
      International Bank for Reconstruction & Development   1.500%   8/28/24     49,995       49,429  
      International Bank for Reconstruction & Development   2.500%   11/25/24     72,238       74,685  
      International Bank for Reconstruction & Development   2.125%   3/3/25     1,770       1,799  
      International Bank for Reconstruction & Development   2.500%   7/29/25     41,450       42,994  
      International Bank for Reconstruction & Development   3.125%   11/20/25     25,280       27,120  
      International Bank for Reconstruction & Development   8.875%   3/1/26     1,050       1,440  
      International Bank for Reconstruction & Development   1.875%   10/27/26     6,650       6,641  
      International Bank for Reconstruction & Development   2.500%   11/22/27     13,780       14,356  
      International Bank for Reconstruction & Development   1.750%   10/23/29     13,500       13,178  
      International Bank for Reconstruction & Development   4.750%   2/15/35     9,708       12,659  
      International Finance Corp.   2.250%   1/25/21     39,803       40,012  
      International Finance Corp.   1.125%   7/20/21     3,150       3,124  
      International Finance Corp.   2.875%   7/31/23     16,500       17,164  
      International Finance Corp.   1.375%   10/16/24     18,815       18,454  
      International Finance Corp.   2.125%   4/7/26     23,800       24,165  
8     Japan Bank for International Cooperation   1.875%   4/20/21     9,300       9,298  
8     Japan Bank for International Cooperation   3.125%   7/20/21     8,375       8,542  
8     Japan Bank for International Cooperation   1.500%   7/21/21     24,125       24,011  
8     Japan Bank for International Cooperation   2.000%   11/4/21     6,480       6,496  
8     Japan Bank for International Cooperation   2.500%   6/1/22     9,200       9,327  
8     Japan Bank for International Cooperation   2.375%   7/21/22     11,000       11,124  
8     Japan Bank for International Cooperation   1.625%   10/17/22     11,000       10,898  
8     Japan Bank for International Cooperation   2.375%   11/16/22     34,280       34,703  
8     Japan Bank for International Cooperation   3.250%   7/20/23     4,565       4,741  
8     Japan Bank for International Cooperation   3.375%   7/31/23     1,400       1,469  
8     Japan Bank for International Cooperation   3.375%   10/31/23     24,400       25,667  
8     Japan Bank for International Cooperation   2.500%   5/23/24     4,000       4,073  
8     Japan Bank for International Cooperation   3.000%   5/29/24     19,690       20,445  
8     Japan Bank for International Cooperation   1.750%   10/17/24     13,000       12,797  
8     Japan Bank for International Cooperation   2.125%   2/10/25     19,240       19,278  
8     Japan Bank for International Cooperation   2.750%   1/21/26     5,720       5,905  
8     Japan Bank for International Cooperation   2.375%   4/20/26     2,110       2,131  
8     Japan Bank for International Cooperation   2.250%   11/4/26     30,750       30,835  
8     Japan Bank for International Cooperation   2.875%   6/1/27     40,695       42,546  
8     Japan Bank for International Cooperation   2.875%   7/21/27     9,250       9,658  
8     Japan Bank for International Cooperation   2.750%   11/16/27     25,720       26,734  
8     Japan Bank for International Cooperation   3.250%   7/20/28     14,935       16,079  
8     Japan Bank for International Cooperation   3.500%   10/31/28     20,625       22,644  
8     Japan Bank for International Cooperation   2.000%   10/17/29     12,000       11,697  
8     Japan International Cooperation Agency   2.750%   4/27/27     11,600       11,968  
8     Japan International Cooperation Agency   3.375%   6/12/28     5,250       5,702  
9     KFW   1.625%   3/15/21     48,900       48,857  
9     KFW   2.375%   3/24/21     51,700       52,077  

 

125

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
9     KFW   2.625%   4/12/21     53,134       53,758  
9     KFW   1.500%   6/15/21     84,685       84,541  
9     KFW   2.375%   8/25/21     14,075       14,238  
9     KFW   1.750%   9/15/21     65,700       65,799  
9     KFW   2.000%   11/30/21     21,990       22,130  
9     KFW   3.125%   12/15/21     63,435       65,199  
9     KFW   2.625%   1/25/22     20,690       21,093  
9     KFW   2.500%   2/15/22     53,050       53,918  
9     KFW   2.125%   3/7/22     56,050       56,558  
9     KFW   2.125%   6/15/22     64,090       64,758  
9     KFW   1.750%   8/22/22     39,655       39,728  
9     KFW   2.000%   9/29/22     7,190       7,252  
9     KFW   2.000%   10/4/22     25,300       25,511  
9     KFW   2.375%   12/29/22     55,900       57,046  
9     KFW   2.125%   1/17/23     41,585       42,195  
9     KFW   2.625%   2/28/24     20,100       20,790  
9     KFW   1.375%   8/5/24     31,405       30,814  
9     KFW   2.500%   11/20/24     52,896       54,633  
9     KFW   2.000%   5/2/25     10,690       10,801  
9     KFW   2.875%   4/3/28     2,575       2,758  
9     KFW   1.750%   9/14/29     15,540       15,211  
9     KFW   0.000%   4/18/36     16,942       11,562  
9     KFW   0.000%   6/29/37     29,675       19,758  
      Korea Development Bank   2.250%   5/18/20     100       100  
      Korea Development Bank   2.500%   1/13/21     1,590       1,595  
      Korea Development Bank   4.625%   11/16/21     6,975       7,288  
      Korea Development Bank   2.625%   2/27/22     20,000       20,263  
      Korea Development Bank   3.000%   3/19/22     2,000       2,052  
      Korea Development Bank   3.000%   9/14/22     17,400       17,818  
      Korea Development Bank   3.375%   3/12/23     37,000       38,380  
      Korea Development Bank   2.750%   3/19/23     9,600       9,766  
      Korea Development Bank   3.750%   1/22/24     23,490       24,899  
      Korea Development Bank   3.250%   2/19/24     3,000       3,120  
      Korea Development Bank   2.125%   10/1/24     5,700       5,677  
      Korea Development Bank   2.000%   9/12/26     1,500       1,453  
      Landesbank Baden-Wuerttemberg   7.625%   2/1/23     1,580       1,819  
9     Landwirtschaftliche Rentenbank   1.750%   9/24/21     11,160       11,177  
9     Landwirtschaftliche Rentenbank   3.125%   11/14/23     12,350       13,003  
9     Landwirtschaftliche Rentenbank   2.000%   1/13/25     43,150       43,554  
9     Landwirtschaftliche Rentenbank   2.375%   6/10/25     24,600       25,298  
9     Landwirtschaftliche Rentenbank   1.750%   7/27/26     17,675       17,513  
9     Landwirtschaftliche Rentenbank   2.500%   11/15/27     19,024       19,858  
      Nexen Energy ULC   7.875%   3/15/32     12,815       18,479  
      Nexen Energy ULC   5.875%   3/10/35     5,024       6,383  
      Nexen Energy ULC   6.400%   5/15/37     12,469       17,154  
      Nexen Energy ULC   7.500%   7/30/39     7,748       12,043  
      Nordic Investment Bank   2.250%   2/1/21     17,930       18,014  
      Nordic Investment Bank   1.250%   8/2/21     7,450       7,400  
      Nordic Investment Bank   2.125%   2/1/22     3,815       3,849  
      Nordic Investment Bank   1.375%   10/17/22     11,800       11,696  
      Nordic Investment Bank   2.875%   7/19/23     13,500       14,032  
      Nordic Investment Bank   2.250%   5/21/24     12,000       12,209  
      North American Development Bank   2.400%   10/26/22     5,915       5,939  
10     Oesterreichische Kontrollbank AG   1.875%   1/20/21     8,050       8,062  
10     Oesterreichische Kontrollbank AG   2.875%   9/7/21     2,000       2,038  
10     Oesterreichische Kontrollbank AG   2.375%   10/1/21     10,450       10,558  
10     Oesterreichische Kontrollbank AG   2.625%   1/31/22     6,635       6,753  
10     Oesterreichische Kontrollbank AG   1.625%   9/17/22     5,300       5,287  
10     Oesterreichische Kontrollbank AG   2.875%   3/13/23     12,595       13,039  
10     Oesterreichische Kontrollbank AG   3.125%   11/7/23     11,471       12,048  
4     Oriental Republic of Uruguay   8.000%   11/18/22     3,900       4,348  
4     Oriental Republic of Uruguay   4.500%   8/14/24     17,345       18,752  
4     Oriental Republic of Uruguay   4.375%   10/27/27     27,244       30,071  
4     Oriental Republic of Uruguay   4.375%   1/23/31     20,884       23,364  

 

126

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Oriental Republic of Uruguay   7.625%   3/21/36     5,006       7,409  
4     Oriental Republic of Uruguay   4.125%   11/20/45     12,825       13,771  
4     Oriental Republic of Uruguay   5.100%   6/18/50     34,316       41,265  
4     Oriental Republic of Uruguay   4.975%   4/20/55     27,436       32,306  
      Petroleos Mexicanos   5.500%   1/21/21     14,584       14,977  
      Petroleos Mexicanos   6.375%   2/4/21     6,130       6,240  
      Petroleos Mexicanos   4.875%   1/24/22     7,170       7,449  
      Petroleos Mexicanos   5.375%   3/13/22     6,875       7,201  
      Petroleos Mexicanos   3.500%   1/30/23     7,386       7,461  
      Petroleos Mexicanos   4.625%   9/21/23     12,642       13,183  
      Petroleos Mexicanos   4.875%   1/18/24     7,948       8,334  
4     Petroleos Mexicanos   2.290%   2/15/24     1,069       1,076  
      Petroleos Mexicanos   4.250%   1/15/25     4,390       4,435  
      Petroleos Mexicanos   2.378%   4/15/25     1,554       1,569  
      Petroleos Mexicanos   4.500%   1/23/26     6,985       6,935  
      Petroleos Mexicanos   6.875%   8/4/26     33,401       36,655  
7     Petroleos Mexicanos   6.490%   1/23/27     30,759       32,647  
      Petroleos Mexicanos   6.500%   3/13/27     68,570       72,559  
      Petroleos Mexicanos   5.350%   2/12/28     37,955       37,693  
      Petroleos Mexicanos   6.500%   1/23/29     21,315       22,351  
7     Petroleos Mexicanos   6.840%   1/23/30     45,016       48,202  
      Petroleos Mexicanos   6.625%   6/15/35     33,024       33,562  
      Petroleos Mexicanos   6.625%   6/15/38     6,819       6,673  
      Petroleos Mexicanos   6.500%   6/2/41     14,781       14,678  
      Petroleos Mexicanos   5.500%   6/27/44     7,527       6,722  
      Petroleos Mexicanos   6.375%   1/23/45     18,174       17,544  
      Petroleos Mexicanos   5.625%   1/23/46     13,399       12,054  
      Petroleos Mexicanos   6.750%   9/21/47     76,602       76,653  
      Petroleos Mexicanos   6.350%   2/12/48     37,712       36,382  
7     Petroleos Mexicanos   7.690%   1/23/50     94,862       103,551  
      Province of Alberta   2.200%   7/26/22     24,870       25,078  
      Province of Alberta   3.350%   11/1/23     24,515       25,817  
      Province of Alberta   2.950%   1/23/24     14,235       14,776  
      Province of Alberta   1.875%   11/13/24     24,635       24,556  
      Province of Alberta   3.300%   3/15/28     13,990       15,101  
      Province of British Columbia   2.650%   9/22/21     19,010       19,292  
      Province of British Columbia   2.000%   10/23/22     9,031       9,084  
      Province of British Columbia   1.750%   9/27/24     7,775       7,692  
      Province of British Columbia   6.500%   1/15/26     266       327  
      Province of British Columbia   2.250%   6/2/26     8,075       8,153  
      Province of Manitoba   2.050%   11/30/20     1,750       1,752  
      Province of Manitoba   2.125%   5/4/22     750       755  
      Province of Manitoba   2.100%   9/6/22     11,570       11,638  
      Province of Manitoba   2.600%   4/16/24     18,500       18,996  
      Province of Manitoba   3.050%   5/14/24     1,900       1,982  
      Province of Manitoba   2.125%   6/22/26     5,675       5,660  
      Province of New Brunswick   2.500%   12/12/22     1,675       1,702  
      Province of New Brunswick   3.625%   2/24/28     8,500       9,286  
      Province of Ontario   2.550%   2/12/21     32,035       32,294  
      Province of Ontario   2.500%   9/10/21     33,820       34,195  
      Province of Ontario   2.400%   2/8/22     17,707       17,923  
      Province of Ontario   2.550%   4/25/22     34,760       35,335  
      Province of Ontario   2.250%   5/18/22     38,825       39,198  
      Province of Ontario   2.450%   6/29/22     11,808       11,981  
      Province of Ontario   2.200%   10/3/22     2,500       2,524  
      Province of Ontario   3.400%   10/17/23     51,220       54,073  
      Province of Ontario   3.050%   1/29/24     16,915       17,626  
      Province of Ontario   3.200%   5/16/24     4,550       4,782  
      Province of Ontario   2.500%   4/27/26     16,500       16,889  
      Province of Ontario   2.300%   6/15/26     42,375       42,894  
      Province of Ontario   2.000%   10/2/29     30,310       29,782  
      Province of Quebec   2.750%   8/25/21     17,555       17,838  
      Province of Quebec   2.375%   1/31/22     17,350       17,539  
      Province of Quebec   2.625%   2/13/23     26,460       27,106  

 

127

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Province of Quebec   7.500%   7/15/23     300       355  
      Province of Quebec   7.125%   2/9/24     11,172       13,358  
      Province of Quebec   2.875%   10/16/24     16,375       17,057  
      Province of Quebec   2.500%   4/20/26     18,800       19,242  
      Province of Quebec   2.750%   4/12/27     45,500       47,300  
      Province of Quebec   7.500%   9/15/29     17,395       25,051  
      Province of Saskatchewan   8.500%   7/15/22     3,374       3,899  
      Republic of Chile   3.250%   9/14/21     5,743       5,850  
      Republic of Chile   2.250%   10/30/22     2,385       2,392  
      Republic of Chile   3.125%   3/27/25     6,870       7,158  
      Republic of Chile   3.125%   1/21/26     11,468       12,000  
4     Republic of Chile   3.240%   2/6/28     33,514       35,125  
      Republic of Chile   3.625%   10/30/42     300       323  
      Republic of Chile   3.860%   6/21/47     11,497       12,759  
4     Republic of Chile   3.500%   1/25/50     13,756       14,254  
      Republic of Colombia   4.375%   7/12/21     14,430       14,893  
4     Republic of Colombia   2.625%   3/15/23     20,485       20,616  
      Republic of Colombia   4.000%   2/26/24     26,225       27,627  
      Republic of Colombia   8.125%   5/21/24     6,362       7,806  
4     Republic of Colombia   4.500%   1/28/26     24,763       26,931  
4     Republic of Colombia   3.875%   4/25/27     37,235       39,328  
4     Republic of Colombia   4.500%   3/15/29     20,125       22,263  
      Republic of Colombia   10.375%   1/28/33     5,750       9,243  
      Republic of Colombia   7.375%   9/18/37     20,452       29,105  
      Republic of Colombia   6.125%   1/18/41     22,750       29,272  
4     Republic of Colombia   5.625%   2/26/44     20,332       25,075  
4     Republic of Colombia   5.000%   6/15/45     70,289       81,137  
      Republic of Colombia   5.200%   5/15/49     16,800       20,044  
      Republic of Finland   6.950%   2/15/26     1,905       2,326  
      Republic of Hungary   6.375%   3/29/21     71,811       75,762  
      Republic of Hungary   5.375%   2/21/23     23,077       25,296  
      Republic of Hungary   5.750%   11/22/23     4,691       5,289  
      Republic of Hungary   5.375%   3/25/24     20,168       22,726  
      Republic of Hungary   7.625%   3/29/41     16,965       27,783  
      Republic of Indonesia   2.950%   1/11/23     3,150       3,202  
      Republic of Indonesia   4.450%   2/11/24     3,300       3,556  
      Republic of Indonesia   3.500%   1/11/28     15,800       16,463  
      Republic of Indonesia   4.100%   4/24/28     13,780       14,969  
      Republic of Indonesia   4.750%   2/11/29     18,615       21,315  
      Republic of Indonesia   3.400%   9/18/29     3,650       3,791  
7     Republic of Indonesia   4.750%   7/18/47     6,315       7,278  
      Republic of Indonesia   4.350%   1/11/48     24,445       27,043  
      Republic of Indonesia   5.350%   2/11/49     12,200       15,724  
      Republic of Indonesia   3.700%   10/30/49     4,500       4,566  
      Republic of Italy   6.875%   9/27/23     32,550       36,997  
      Republic of Italy   2.375%   10/17/24     28,200       27,586  
      Republic of Italy   2.875%   10/17/29     13,600       12,847  
      Republic of Italy   5.375%   6/15/33     28,320       32,437  
      Republic of Italy   4.000%   10/17/49     28,100       26,650  
      Republic of Korea   5.625%   11/3/25     525       621  
      Republic of Korea   2.750%   1/19/27     46,040       47,021  
      Republic of Korea   4.125%   6/10/44     4,937       6,001  
      Republic of Korea   3.875%   9/20/48     6,513       7,760  
4     Republic of Panama   4.000%   9/22/24     13,514       14,443  
4     Republic of Panama   3.750%   3/16/25     17,075       18,121  
      Republic of Panama   7.125%   1/29/26     9,968       12,485  
      Republic of Panama   8.875%   9/30/27     7,179       10,239  
4     Republic of Panama   3.875%   3/17/28     14,960       16,269  
      Republic of Panama   9.375%   4/1/29     10,920       16,639  
4     Republic of Panama   3.160%   1/23/30     2,200       2,266  
4     Republic of Panama   6.700%   1/26/36     23,254       32,585  
4     Republic of Panama   4.500%   5/15/47     7,420       8,830  
4     Republic of Panama   4.500%   4/16/50     30,978       36,709  
4     Republic of Panama   4.300%   4/29/53     16,450       19,185  

 

128

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
4     Republic of Panama   3.870%   7/23/60     4,600       4,945  
      Republic of Peru   7.350%   7/21/25     7,040       8,895  
      Republic of Peru   4.125%   8/25/27     1,468       1,642  
      Republic of Peru   2.844%   6/20/30     4,000       4,137  
      Republic of Peru   8.750%   11/21/33     34,914       57,575  
4     Republic of Peru   6.550%   3/14/37     14,941       21,826  
      Republic of Peru   5.625%   11/18/50     33,183       48,143  
      Republic of Poland   5.125%   4/21/21     22,985       23,931  
      Republic of Poland   5.000%   3/23/22     23,876       25,481  
      Republic of Poland   3.000%   3/17/23     23,036       23,719  
      Republic of Poland   4.000%   1/22/24     15,114       16,266  
      Republic of Poland   3.250%   4/6/26     24,835       26,293  
      Republic of the Philippines   4.000%   1/15/21     22,110       22,521  
      Republic of the Philippines   4.200%   1/21/24     1,000       1,077  
      Republic of the Philippines   9.500%   10/21/24     1,150       1,532  
      Republic of the Philippines   10.625%   3/16/25     19,600       27,660  
      Republic of the Philippines   5.500%   3/30/26     23,675       28,084  
      Republic of the Philippines   3.000%   2/1/28     19,300       20,046  
      Republic of the Philippines   3.750%   1/14/29     19,100       21,069  
      Republic of the Philippines   9.500%   2/2/30     21,428       34,178  
      Republic of the Philippines   7.750%   1/14/31     24,220       35,785  
      Republic of the Philippines   6.375%   1/15/32     7,900       10,754  
      Republic of the Philippines   6.375%   10/23/34     38,315       54,407  
      Republic of the Philippines   5.000%   1/13/37     1,645       2,099  
      Republic of the Philippines   3.950%   1/20/40     37,050       42,270  
      Republic of the Philippines   3.700%   3/1/41     14,075       15,940  
      Republic of the Philippines   3.700%   2/2/42     22,320       25,143  
      State of Israel   4.000%   6/30/22     16,130       16,955  
      State of Israel   3.150%   6/30/23     11,100       11,543  
      State of Israel   2.875%   3/16/26     25,400       26,479  
      State of Israel   3.250%   1/17/28     5,000       5,360  
      State of Israel   4.500%   1/30/43     14,100       16,791  
      State of Israel   4.125%   1/17/48     12,100       13,806  
      Svensk Exportkredit AB   1.750%   3/10/21     17,950       17,948  
      Svensk Exportkredit AB   2.375%   4/9/21     6,900       6,954  
      Svensk Exportkredit AB   2.875%   5/22/21     9,125       9,268  
      Svensk Exportkredit AB   1.625%   9/12/21     17,700       17,675  
      Svensk Exportkredit AB   3.125%   11/8/21     12,000       12,305  
      Svensk Exportkredit AB   2.000%   8/30/22     16,500       16,610  
      Svensk Exportkredit AB   1.625%   11/14/22     14,000       13,967  
      Svensk Exportkredit AB   2.875%   3/14/23     12,700       13,155  
      Syngenta Finance NV   3.125%   3/28/22     6,535       6,586  
      United Mexican States   3.625%   3/15/22     44,240       45,569  
      United Mexican States   4.000%   10/2/23     22,606       23,816  
      United Mexican States   3.600%   1/30/25     30,467       31,833  
      United Mexican States   4.125%   1/21/26     32,285       34,367  
      United Mexican States   4.150%   3/28/27     45,290       48,400  
      United Mexican States   3.750%   1/11/28     22,440       23,259  
      United Mexican States   4.500%   4/22/29     29,850       32,711  
      United Mexican States   8.300%   8/15/31     3,680       5,446  
      United Mexican States   7.500%   4/8/33     14,715       20,745  
      United Mexican States   6.750%   9/27/34     10,838       14,799  
      United Mexican States   6.050%   1/11/40     34,244       44,367  
      United Mexican States   4.750%   3/8/44     62,749       69,084  
      United Mexican States   5.550%   1/21/45     12,795       15,678  
      United Mexican States   4.600%   1/23/46     30,379       32,749  
      United Mexican States   4.350%   1/15/47     33,740       35,323  
      United Mexican States   4.600%   2/10/48     21,112       22,909  
4     United Mexican States   4.500%   1/31/50     15,900       17,197  
      United Mexican States   5.750%   10/12/10     43,460       51,118  

Total Sovereign Bonds (Cost $9,621,564)

                    10,031,009  

 

129

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000

Taxable Municipal Bonds (0.7%)

                       
      Alabama Economic Settlement Authority BP Settlement Revenue   3.163%   9/15/25     3,520       3,602  
      Alameda County CA Joint Powers Authority Lease Revenue   7.046%   12/1/44     2,050       3,224  
      American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects)   6.449%   2/15/44     50       70  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   7.834%   2/15/41     2,300       3,599  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   6.053%   2/15/43     1,000       1,388  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   5.939%   2/15/47     8,475       11,693  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   6.270%   2/15/50     2,175       2,906  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   7.499%   2/15/50     1,550       2,394  
      American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)   8.084%   2/15/50     8,225       14,082  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   6.918%   4/1/40     4,075       5,967  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   6.263%   4/1/49     16,845       25,730  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   7.043%   4/1/50     2,900       4,708  
      Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)   6.907%   10/1/50     10,230       16,510  
      California Department of Water Resources Power Supply Revenue   2.000%   5/1/22     12,550       12,618  
      California GO   2.800%   4/1/21     10,000       10,130  
      California GO   5.700%   11/1/21     24,125       25,823  
      California GO   2.367%   4/1/22     2,000       2,028  
      California GO   3.375%   4/1/25     5,450       5,787  
      California GO   2.650%   4/1/26     5,000       5,115  
      California GO   3.500%   4/1/28     7,635       8,221  
      California GO   4.500%   4/1/33     11,590       13,037  
      California GO   7.500%   4/1/34     35,650       53,683  
      California GO   7.950%   3/1/36     550       555  
      California GO   4.600%   4/1/38     17,500       19,390  
      California GO   7.550%   4/1/39     35,035       56,197  
      California GO   7.300%   10/1/39     6,571       10,034  
      California GO   7.350%   11/1/39     27,395       42,082  
      California GO   7.625%   3/1/40     15,125       24,219  
      California GO   7.600%   11/1/40     15,670       25,867  
      California State University Systemwide Revenue   3.899%   11/1/47     3,220       3,523  
      Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue   5.491%   11/1/39     1,410       1,855  
      Chicago IL GO   7.045%   1/1/29     3,000       3,293  
      Chicago IL GO   7.375%   1/1/33     1,850       2,216  
      Chicago IL GO   5.432%   1/1/42     2,500       2,581  
      Chicago IL GO   6.314%   1/1/44     5,700       6,479  
      Chicago IL Metropolitan Water Reclamation District GO   5.720%   12/1/38     7,450       9,747  
      Chicago IL O'Hare International Airport Revenue   6.395%   1/1/40     1,745       2,509  
      Chicago IL O'Hare International Airport Revenue   4.472%   1/1/49     4,375       5,279  
      Chicago IL Transit Authority Sales Tax Receipts Revenue   6.200%   12/1/40     2,525       3,305  
      Chicago IL Transit Authority Transfer Tax Receipts Revenue   6.899%   12/1/40     7,135       9,639  
      Clark County NV Airport System Revenue   6.820%   7/1/45     3,745       5,901  
      Commonwealth Financing Authority Pennsylvania Revenue   3.807%   6/1/41     3,150       3,356  

 

130

 

  

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Commonwealth Financing Authority Pennsylvania Revenue   3.864%   6/1/38     7,000       7,510  
      Connecticut GO   5.090%   10/1/30     8,770       10,086  
      Connecticut GO   5.850%   3/15/32     6,410       8,254  
      Cook County IL GO   6.229%   11/15/34     4,625       6,053  
      Dallas County TX Hospital District Revenue   5.621%   8/15/44     2,100       2,768  
      Dallas TX Area Rapid Transit Revenue   5.999%   12/1/44     2,065       2,942  
      Dallas TX Area Rapid Transit Revenue   5.022%   12/1/48     4,000       5,289  
      Dallas TX Convention Center Hotel Development Corp. Hotel Revenue   7.088%   1/1/42     9,740       13,518  
      Dallas TX Independent School District GO   6.450%   2/15/35     3,750       3,937  
      Dallas-Fort Worth TX International Airport Revenue   2.994%   11/1/38     3,150       3,109  
      Dallas-Fort Worth TX International Airport Revenue   3.144%   11/1/45     4,500       4,454  
      District of Columbia Income Tax Revenue   5.591%   12/1/34     1,175       1,455  
      District of Columbia Water & Sewer Authority Public Utility Revenue   4.814%   10/1/14     11,500       15,109  
      East Bay CA Municipal Utility District Water System Revenue   5.874%   6/1/40     4,280       5,874  
      Energy Northwest Washington Electric Revenue (Columbia Generating Station)   2.814%   7/1/24     95       97  
      Florida Board of Administration Finance Corp Revenue   2.638%   7/1/21     7,330       7,418  
      George Washington University DC   4.300%   9/15/44     5,500       6,364  
      George Washington University DC   4.868%   9/15/45     200       250  
      George Washington University DC   4.126%   9/15/48     7,586       8,740  
      Georgia Municipal Electric Power Authority Revenue   6.637%   4/1/57     13,122       17,669  
      Georgia Municipal Electric Power Authority Revenue   6.655%   4/1/57     6,673       9,191  
      Georgia Municipal Electric Power Authority Revenue   7.055%   4/1/57     3,680       4,975  
      Houston TX GO   6.290%   3/1/32     14,465       17,441  
      Illinois GO   4.950%   6/1/23     13,025       13,593  
      Illinois GO   5.100%   6/1/33     61,604       66,411  
      Illinois GO   6.630%   2/1/35     8,155       9,562  
      Illinois GO   6.725%   4/1/35     5,990       7,030  
      Illinois GO   7.350%   7/1/35     8,700       10,560  
      Illinois Toll Highway Authority Revenue   6.184%   1/1/34     4,980       6,611  
      JobsOhio Beverage System Statewide Liquor Profits Revenue   3.985%   1/1/29     6,300       6,841  
      JobsOhio Beverage System Statewide Liquor Profits Revenue   4.532%   1/1/35     4,100       4,805  
      Kansas Department of Transportation Highway Revenue   4.596%   9/1/35     1,900       2,245  
      Kansas Development Finance Authority Revenue   4.927%   4/15/45     400       500  
11     Kansas Development Finance Authority Revenue (Public Employees Retirement System)   5.501%   5/1/34     4,300       5,343  
      Los Angeles CA Community College District GO   6.750%   8/1/49     3,025       4,966  
      Los Angeles CA Department of Water & Power Revenue   5.716%   7/1/39     3,840       5,166  
      Los Angeles CA Department of Water & Power Revenue   6.166%   7/1/40     1,550       1,583  
      Los Angeles CA Department of Water & Power Revenue   6.574%   7/1/45     2,700       4,221  
      Los Angeles CA Department of Water & Power Revenue   6.603%   7/1/50     5,060       8,121  
      Los Angeles CA Unified School District GO   5.755%   7/1/29     350       424  
      Los Angeles CA Unified School District GO   5.750%   7/1/34     10,200       13,062  
      Los Angeles CA Unified School District GO   6.758%   7/1/34     14,910       20,555  
      Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue   5.735%   6/1/39     8,110       10,471  
      Los Angeles County CA Public Works Financing Authority Lease Revenue   7.618%   8/1/40     2,200       3,409  
      Maryland Transportation Authority Facilities Projects Revenue   5.888%   7/1/43     2,330       3,110  
      Massachusetts GO   4.200%   12/1/21     4,520       4,657  
      Massachusetts GO   4.500%   8/1/31     400       464  
      Massachusetts GO   5.456%   12/1/39     5,350       6,944  

 

131

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      Massachusetts GO   2.813%   9/1/43     10,415       9,914  
      Massachusetts GO   2.900%   9/1/49     4,745       4,479  
      Massachusetts School Building Authority Dedicated Sales Tax Revenue   5.715%   8/15/39     3,100       4,092  
      Massachusetts School Building Authority Dedicated Sales Tax Revenue   3.395%   10/15/40     5,695       5,693  
      Massachusetts Transportation Fund Revenue   5.731%   6/1/40     4,275       5,582  
      Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue   6.731%   7/1/43     2,260       3,229  
      Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue   7.462%   10/1/46     6,325       10,192  
      Miami-Dade County FL Aviation Revenue (Miami International Airport)   4.280%   10/1/41     6,205       6,643  
      Michigan Finance Authority Revenue (Trinity Health Credit Group)   3.084%   12/1/34     4,490       4,473  
      Michigan Finance Authority Revenue (Trinity Health Credit Group)   3.384%   12/1/40     8,740       8,720  
      Michigan State University Revenue   4.496%   8/15/48     2,600       2,854  
      Mississippi GO   5.245%   11/1/34     1,375       1,707  
      Missouri Health & Educational Facilities Authority Revenue (Washington University)   3.652%   8/15/57     5,750       6,042  
12     New Jersey Economic Development Authority Revenue (State Pension Funding)   7.425%   2/15/29     15,525       19,464  
      New Jersey Transportation Trust Fund Authority Transportation Program Revenue   4.081%   6/15/39     3,165       3,152  
      New Jersey Transportation Trust Fund Authority Transportation Program Revenue   4.131%   6/15/42     5,410       5,366  
      New Jersey Transportation Trust Fund Authority Transportation System Revenue   5.754%   12/15/28     12,050       13,853  
      New Jersey Transportation Trust Fund Authority Transportation System Revenue   6.104%   12/15/28     7,805       8,109  
      New Jersey Transportation Trust Fund Authority Transportation System Revenue   6.561%   12/15/40     8,105       10,698  
      New Jersey Turnpike Authority Revenue   7.414%   1/1/40     16,050       25,177  
      New Jersey Turnpike Authority Revenue   7.102%   1/1/41     15,750       24,019  
      New York City NY GO   6.246%   6/1/35     2,150       2,185  
      New York City NY GO   5.517%   10/1/37     7,150       9,185  
      New York City NY GO   6.271%   12/1/37     2,175       3,018  
      New York City NY Housing Development Corp. Multi-Family Mortgage Revenue (8 Spruce Street)   3.709%   2/15/48     150       158  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.750%   6/15/41     1,435       2,010  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.724%   6/15/42     395       557  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.952%   6/15/42     2,900       4,182  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   6.011%   6/15/42     1,050       1,522  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.440%   6/15/43     4,400       6,048  
      New York City NY Municipal Water Finance Authority Water & Sewer System Revenue   5.882%   6/15/44     19,200       27,961  
      New York City NY Transitional Finance Authority Future Tax Revenue   5.767%   8/1/36     4,675       5,808  
      New York City NY Transitional Finance Authority Future Tax Revenue   5.508%   8/1/37     8,550       10,847  
      New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)   7.336%   11/15/39     20,105       31,455  
      New York Metropolitan Transportation Authority Revenue (Transit Revenue)   5.871%   11/15/39     1,950       2,510  
      New York Metropolitan Transportation Authority Revenue (Transit Revenue)   6.668%   11/15/39     200       284  
      New York State Dormitory Authority Revenue   3.142%   7/1/43     3,700       3,668  

 

132

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000
      New York State Dormitory Authority Revenue (Personal Income Tax)   3.110%   2/15/39     2,650       2,651  
      New York State Dormitory Authority Revenue (Personal Income Tax)   5.628%   3/15/39     2,170       2,669  
      New York State Dormitory Authority Revenue (Personal Income Tax)   5.600%   3/15/40     865       1,095  
      New York State Dormitory Authority Revenue (Personal Income Tax)   3.190%   2/15/43     2,650       2,660  
      New York State Thruway Authority   2.900%   1/1/35     2,675       2,666  
      New York State Thruway Authority   3.500%   1/1/42     2,000       1,992  
      New York State Urban Development Corp. Revenue (Personal Income Tax)   3.900%   3/15/33     4,000       4,298  
      New York State Urban Development Corp. Revenue (Personal Income Tax)   5.770%   3/15/39     5,775       7,004  
      North Texas Tollway Authority System Revenue   6.718%   1/1/49     8,855       13,893  
      NYU Langone Hospitals   5.750%   7/1/43     4,780       6,346  
      Ohio State University General Receipts Revenue   4.910%   6/1/40     9,260       11,801  
      Ohio State University General Receipts Revenue   3.798%   12/1/46     2,860       3,174  
      Ohio State University General Receipts Revenue   4.800%   6/1/11     3,250       4,120  
      Ohio Water Development Authority Water Pollution Control Loan Fund Revenue   4.879%   12/1/34     2,550       2,976  
      Oregon Department of Transportation Highway User Tax Revenue   5.834%   11/15/34     6,040       8,048  
      Oregon GO   5.892%   6/1/27     5,230       6,198  
11     Oregon School Boards Association GO   5.528%   6/30/28     1,200       1,415  
12     Oregon School Boards Association GO   5.680%   6/30/28     1,575       1,888  
      Pennsylvania Public School Building Authority Lease Revenue (School District of Philadelphia)   5.000%   9/15/27     2,617       3,020  
      Pennsylvania Turnpike Commission Revenue   5.511%   12/1/45     2,195       2,899  
      Port Authority of New York & New Jersey Revenue   6.040%   12/1/29     2,560       3,296  
      Port Authority of New York & New Jersey Revenue   5.647%   11/1/40     12,025       16,052  
      Port Authority of New York & New Jersey Revenue   5.647%   11/1/40     6,355       8,483  
      Port Authority of New York & New Jersey Revenue   4.960%   8/1/46     6,300       8,137  
      Port Authority of New York & New Jersey Revenue   5.310%   8/1/46     4,625       5,121  
      Port Authority of New York & New Jersey Revenue   4.031%   9/1/48     2,205       2,490  
      Port Authority of New York & New Jersey Revenue   4.926%   10/1/51     5,800       7,514  
      Port Authority of New York & New Jersey Revenue   4.458%   10/1/62     21,900       26,841  
      Port Authority of New York & New Jersey Revenue   4.810%   10/15/65     5,400       6,802  
      Port Authority of New York & New Jersey Revenue   3.287%   8/1/69     5,400       5,135  
      Princeton University   5.700%   3/1/39     9,115       12,646  
      Regents of the University of California Revenue   3.063%   7/1/25     10,500       10,995  
      Regional Transportation District of Colorado Sales Tax Revenue   5.844%   11/1/50     3,200       4,641  
      Rutgers State University New Jersey Revenue   5.665%   5/1/40     3,275       4,271  
      Rutgers State University New Jersey Revenue   3.915%   5/1/19     3,900       3,838  
      Rutgers The State University of New Jersey   3.270%   5/1/43     1,325       1,311  
      Sales Tax Securitization Corp. Illinois Revenue   3.587%   1/1/43     8,700       8,577  
      Sales Tax Securitization Corp. Illinois Revenue   3.820%   1/1/48     3,525       3,550  
      Sales Tax Securitization Corp. Illinois Revenue   4.787%   1/1/48     1,625       1,888  
      Salt River Project Arizona Agricultural Improvement & Power District Revenue   4.839%   1/1/41     3,880       4,826  
      San Antonio TX Electric & Gas Systems Revenue   5.985%   2/1/39     4,085       5,622  
      San Antonio TX Electric & Gas Systems Revenue   5.808%   2/1/41     6,750       9,283  
      San Antonio TX Electric & Gas Systems Revenue   4.427%   2/1/42     5,150       5,970  
      San Diego County CA Regional Transportation Commission Sales Tax Revenue   5.911%   4/1/48     2,225       3,212  
      San Diego County CA Water Authority Revenue   6.138%   5/1/49     11,670       16,560  
      San Francisco CA City & County Public Utilities Commission Water Revenue   6.950%   11/1/50     4,950       7,526  
      San Jose CA Redevelopment Agency Successor Agency Tax Allocation   3.375%   8/1/34     5,940       6,106  
      Santa Clara Valley CA Transportation Authority Sales Tax Revenue   5.876%   4/1/32     8,775       10,732  
      South Carolina Public Service Authority Revenue   2.388%   12/1/23     2,300       2,305  

 

133

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

          Coupon   Maturity
Date
  Face
Amount
($000
  Market
Value
($000

 
    South Carolina Public Service Authority Revenue   6.454%   1/1/50     8,650       12,721  
      Texas A&M University System Revenue Financing System Revenue   3.100%   7/1/49     3,650       3,555  
      Texas GO   5.517%   4/1/39     8,265       11,157  
      Texas GO   3.211%   4/1/44     6,000       6,060  
      Texas Private Activity Surface Transportation Corp. Revenue   3.922%   12/31/49     7,720       7,760  
      Texas Transportation Commission Revenue   5.178%   4/1/30     5,035       6,061  
      Texas Transportation Commission Revenue   4.681%   4/1/40     2,850       3,489  
      University of California Regents Medical Center Revenue   6.548%   5/15/48     3,950       5,704  
      University of California Regents Medical Center Revenue   6.583%   5/15/49     2,575       3,708  
      University of California Revenue   4.601%   5/15/31     4,500       5,142  
      University of California Revenue   5.770%   5/15/43     1,120       1,484  
      University of California Revenue   5.946%   5/15/45     13,025       17,460  
      University of California Revenue   4.858%   5/15/12     16,990       20,946  
      University of California Revenue   4.767%   5/15/15     6,825       8,244  
      University of Nebraska Student Fee Revenue   3.037%   10/1/49     2,250       2,174  
      University of Pittsburgh PA-of the Commonwealth System of Higher Education   3.555%   9/15/19     14,580       14,137  
      University of Southern California   5.250%   10/1/11     3,325       4,683  
      University of Texas Permanent University Fund Revenue   3.376%   7/1/47     5,800       6,111  
      University of Texas Revenue   3.354%   8/15/47     3,200       3,333  
      University of Texas System Revenue Financing System Revenue   4.794%   8/15/46     1,710       2,121  
      University of Virginia Revenue   4.179%   9/1/17     3,425       4,045  
      University of Virginia Revenue   3.227%   9/1/19     935       867  
      Utah GO   4.554%   7/1/24     2,425       2,567  
      Utah GO   3.539%   7/1/25     8,410       8,832  
      Washington GO   5.140%   8/1/40     4,410       5,630  
      Wisconsin Annual Appropriation Revenue   3.954%   5/1/36     17,970       19,212  
      Wisconsin General Fund Annual Appropriation Revenue   3.154%   5/1/27     3,100       3,218  
11     Wisconsin GO   5.700%   5/1/26     1,265       1,420  

Total Taxable Municipal Bonds (Cost $1,408,682)

                    1,644,739  
                               
                               
                    Shares          
Temporary Cash Investment (2.0%)                        
Money Market Fund (2.0%)                        
13     Vanguard Market Liquidity Fund
(Cost $4,826,526)
  1.816%         48,263,387       4,826,822  
Total Investments (101.4%) (Cost $243,108,378)                     252,086,761  
Other Assets and Liabilities—Net (-1.4%)                     (3,429,542 )
Net Assets (100%)                     248,657,219  

 

1 Securities with a value of $374,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 U.S. government-guaranteed.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2019.
6 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $2,147,924,000, representing 0.9% of net assets.

134

 

 

Vanguard® Total Bond Market Index Fund

Schedule of Investments

December 31, 2019

 

8 Guaranteed by the Government of Japan.
9 Guaranteed by the Federal Republic of Germany.
10 Guaranteed by the Republic of Austria.
11 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
12 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
13 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  CMT—Constant Maturing Treasury Rate.
  GO—General Obligation Bond.
  LIBOR—London Interbank Offered Rate.
  REIT—Real Estate Investment Trust.
  TBA—To Be Announced.
  UMBS—Uniform Mortgage-Backed Securities.

 

135

 

 

 

 

 

 

 

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
  SNA840 022020

 

 

 

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund

 

Opinions on the Financial Statements

 

We have audited the accompanying statements of net assets—investments summary of Vanguard Short-Term Bond Index Fund, Vanguard Intermediate-Term Bond Index Fund and Vanguard Long-Term Bond Index Fund (three of the funds constituting Vanguard Bond Index Funds, hereafter collectively referred to as the "Funds") as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinions

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

 

 

 

February 13, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us

 

 

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Total Bond Market Index Fund

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of net assets—investments summary of Vanguard Total Bond Market Index Fund (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the "Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

 

 

February 13, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us

 

 

 

 

 

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

Item 10: Submission of Matters to a Vote of Security Holders.

 

Not applicable.

 

Item 11: Controls and Procedures.

 

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13: Exhibits.

 

(a) Code of Ethics.
(b) Certifications.

 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

VANGUARD BOND INDEX FUNDS

 

BY: /s/ MORTIMER J. BUCKLEY*  
  ___________________________  
  MORTIMER J. BUCKLEY  
  CHIEF EXECUTIVE OFFICER  

 

Date: February 19, 2020

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

VANGUARD BOND INDEX FUNDS

 

BY: /s/ MORTIMER J. BUCKLEY*  
  ___________________________  
  MORTIMER J. BUCKLEY  
  CHIEF EXECUTIVE OFFICER  

 

Date: February 19, 2020

 

VANGUARD BOND INDEX FUNDS

 

BY: /s/ JOHN BENDL*  
  ___________________________  
  JOHN BENDL  
  CHIEF FINANCIAL OFFICER  

 

Date: February 19, 2020

 

 

*By: /s/ Anne E. Robinson   

 

Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.

 

 

 

 

Exhibit 99.CODEETH

 

THE VANGUARD FUNDS’
CODE OF ETHICS FOR
SENIOR EXECUTIVE AND FINANCIAL OFFICERS

 

I.                                      Introduction

 

The Board of Trustees (the “Fund Board”) of each registered investment company that is managed, sponsored, and distributed by The Vanguard Group, Inc. (“VGI”) or its subsidiaries (each, a “Vanguard Fund” and collectively, the “Vanguard Funds”) has adopted this code of ethics (the “Code”) as required by Section 406 of the Sarbanes-Oxley Act. The Code applies to the individuals in positions listed on Exhibit A (the “Covered Officers”). All Covered Officers, along with employees of VGI, are subject to separate and distinct obligations from this Code under a Code of Ethics adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940 (“17j-1 Code of Ethics”), policies to prevent the misuse of non-public information, and other internal compliance guidelines and policies that may be in effect from time to time.

 

This Code is designed to promote:

 

·                  Honest and ethical conduct, including the ethical handling of conflicts of interest;

 

·                  Full, fair, accurate, timely, and understandable disclosure in reports and documents that a Vanguard Fund files with, or submits to, the U.S. Securities and Exchange Commission (“SEC”), and in other public communications made by the Vanguard Funds or VGI;

 

·                  Compliance with applicable laws, governmental rules, and regulations;

 

·                  Prompt internal reporting to those identified in the Code of violations of the Code; and

 

·                  Accountability for adherence to the Code.

 

II.                                  Actual or Apparent Conflicts of Interest

 

A.           Covered Officers should conduct all activities in accordance with the following principles:

 

1.             Clients’ interests come first. In the course of fulfilling their duties and responsibilities to VGI clients, Covered Officers must at all times place the interests of VGI clients first. In particular, Covered Officers must avoid serving their own personal interests ahead of the interests of VGI clients.

 

2.             Conflicts of interest must be avoided. Covered Officers must avoid any situation involving an actual or potential conflict of interest or possible impropriety with respect to their duties and responsibilities to VGI clients. Covered Officers must disclose and report at least annually any situation that may present the potential for a conflict of interest to Vanguard’s Compliance Department, consistent with the 17j-1 Code of Ethics.

 


 

3.             Compromising situations must be avoided. Covered Officers must not take advantage of their position of trust and responsibility. Covered Officers must avoid any situation that might compromise or call into question their exercise of full independent judgment in the best interests of VGI clients.

 

All activities of Covered Officers should be guided by and adhere to these fiduciary standards regardless of whether the activity is specifically described in this Code.

 

B.           Restricted Activities include the following:

 

1.             Prohibition on secondary employment. Covered Officers are prohibited from accepting or serving in any form of secondary employment. Secondary employment that does not create a potential conflict of interest may be approved by the General Counsel of VGI.

 

2.             Prohibition on service as director or public official. Unless approved by the General Counsel of VGI, Covered Officers are prohibited from serving on the board of directors of any publicly traded company or in an official capacity for any federal, state, or local government (or governmental agency or instrumentality).

 

3.             Prohibition on misuse of Vanguard time or property. Covered Officers are prohibited from making use of time, equipment, services, personnel or property of any Vanguard entity for any purposes other than the performance of their duties and responsibilities in connection with the Vanguard Funds or other Vanguard-related entities.

 

III.                              Disclosure and Compliance

 

A.           Each Covered Officer should be familiar with the disclosure requirements generally applicable to the Vanguard Funds.

 

B.           Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Vanguard Funds to others, including to the Vanguard Funds’ directors and auditors, or to government regulators and self-regulatory organizations.

 

C.           Each Covered Officer should, to the extent appropriate within the Covered Officer’s area of responsibility, consult with other officers and employees of VGI and advisors to a Vanguard Fund with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Vanguard Fund files with, or submits to, the SEC and in other public communications made by a Vanguard Fund.

 

D.          It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules, regulations, and the 17j-1 Code of Ethics.

 

IV.                             Reporting and Accountability

 

A.           Each Covered Officer must:

 


 

1.             Upon adoption or amendment of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing that he or she has received, read, and understands the Code;

 

2.             Affirm at least annually in writing that he or she has complied with the requirements of the Code;

 

3.             Not retaliate against any other Covered Officer or any employee of VGI for reports of potential violations of the Code that are made in good faith; and

 

4.             Notify the General Counsel of VGI promptly if the Covered Officer knows of any violations of this Code.

 

B.           The Vanguard Funds will use the following procedures in investigating and enforcing this Code:

 

1.           The General Counsel of VGI is responsible for applying this Code to specific situations and has the authority to interpret this Code in any particular situation. The General Counsel will report on an as-needed basis to the Fund Board regarding activities subject to the Code.

 

2.           The General Counsel will take all appropriate action to investigate any potential violations of the Code that are reported to him or her.

 

3.           If, after investigation, the General Counsel believes that no material violation of the Code has occurred, the General Counsel is not required to take any further action.

 

4.           Any matter that the General Counsel believes is a material violation of the Code will be reported to the Chief Compliance Officer and the Fund Board.

 

5.           If the Fund Board concurs that a material violation of the Code has occurred, the Fund Board will consider appropriate action. Appropriate action may include reassignment, suspension, or dismissal of the applicable Covered Officer(s), or any other sanctions the Fund Board deems appropriate. Appropriate action may also include review of, and appropriate modifications to, applicable policies and procedures.

 

6.           Any changes to or waiver of this Code will, to the extent required, be disclosed as provided by SEC rules.

 


 

Other Policies and Procedures

 

This Code shall be the sole code of conduct adopted by the Vanguard Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Vanguard Funds, VGI, or other service providers govern or purport to govern the behavior or activities of the Covered Officers, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code.

 

VGI’s and the Vanguard Funds’ 17j-1 Code of Ethics, policies to prevent the misuse of non-public information, and other internal compliance guidelines and policies that may be in effect from time to time are separate requirements applying to the Covered Officers and others, and are not part of this Code.

 

VI.                             Amendments

 

This Code may not be materially amended except by the approval of a majority vote of the independent trustees of the Fund Board. Non-material, technical, and administrative revisions of the Code do not have to be approved by the Fund Board. Amendments must be in writing and communicated promptly to the Covered Officers, who shall affirm receipt of the amended Code in accordance with Section IV. A. 1.

 

VII.                         Confidentiality

 

All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fund Board, VGI’s General Counsel and the Chief Compliance Officer of VGI and the Vanguard Funds.

 

 

 

Last Reviewed: July 28, 2018

 


 

Exhibit 99.CERT

 

CERTIFICATIONS

 

I, Mortimer J. Buckley, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Bond Index Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: February 19, 2020  
/s/ Mortimer J. Buckley
  Mortimer J. Buckley
  Chief Executive Officer

 

 

 

 

CERTIFICATIONS

 

I,John Bendl, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Bond Index Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: February 19, 2020  
/s/ John Bendl
  John Bendl
  Chief Financial Officer

 

 

 

 

Exhibit 99.906CERT

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

Name of Issuer: Vanguard Bond Index Funds

 

In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

Date: February 19, 2020
  /s/ Mortimer J. Buckley
  Mortimer J. Buckley
  Chief Executive Officer

 

 

 

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

Name of Issuer: Vanguard Bond Index Funds

 

In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

Date: February 19, 2020
  /s/ John Bendl
  John Bendl
  Chief Financial Officer