N-CSRS 1 tm2211133d5_ncsrs.htm N-CSRS

 

 

 

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: 811-07803

 

Name of Registrant: Vanguard Scottsdale 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: August 31

 

Date of reporting period: September 1, 2021—February 28, 2022

 

 

 

   

 

 

Item 1: Reports to Shareholders

 

   

 

 

Semiannual Report   |   February 28, 2022
Vanguard Explorer Value™ Fund

 

Contents
About Your Fund’s Expenses
1
Financial Statements
4
Trustees Approve Advisory Arrangements
15

 

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.
1

 

Six Months Ended February 28, 2022      
Explorer Value Fund Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $1,009.20 $2.89
Based on Hypothetical 5% Yearly Return 1,000.00 1,021.92 2.91
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.58%. 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 (181/365).
2

 

Explorer Value Fund
Fund Allocation
As of February 28, 2022
Communication Services 6.8%
Consumer Discretionary 9.3
Consumer Staples 1.6
Energy 5.5
Financials 21.0
Health Care 5.1
Industrials 18.7
Information Technology 11.4
Materials 8.8
Real Estate 10.2
Utilities 1.6
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3

 

Explorer Value Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (94.5%)
Communication Services (6.5%)
  Nexstar Media Group Inc. Class A   139,025    25,727
* Ziff Davis Inc.   202,166    20,338
  John Wiley & Sons Inc. Class A   216,658    10,900
* Madison Square Garden Entertainment Corp.    69,779     5,468
  Paramount Global Class B   124,482     3,810
  Interpublic Group of Cos. Inc.   100,409     3,695
  Manchester United plc Class A   159,257     2,142
* Madison Square Garden Sports Corp.    11,530     1,995
  TEGNA Inc.    56,283     1,290
         75,365
Consumer Discretionary (8.7%)
  Lithia Motors Inc. Class A    54,737    18,655
* Victoria's Secret & Co.   258,020    13,838
  Kontoor Brands Inc.   143,606     7,114
* Helen of Troy Ltd.    32,318     6,647
* Cheesecake Factory Inc.   135,436     5,795
* Modine Manufacturing Co.   560,105     5,657
* Adtalem Global Education Inc.   267,462     5,558
* Mattel Inc.   193,348     4,830
  LCI Industries    34,977     4,355
* Lands' End Inc.   232,724     3,947
* Perdoceo Education Corp.   350,275     3,667
*,1 Bed Bath & Beyond Inc.   192,397     3,250
  Boyd Gaming Corp.    44,950     3,189
* Stoneridge Inc.   178,786     2,952
* Mohawk Industries Inc.    20,375     2,868
* OneSpaWorld Holdings Ltd.   266,878     2,760
* LGI Homes Inc.    21,813     2,751
  Gentex Corp.    81,839     2,477
* Royal Caribbean Cruises Ltd.    21,984     1,775
        102,085
Consumer Staples (1.5%)
  Spectrum Brands Holdings Inc.   174,011    16,145
  J M Smucker Co.    13,080     1,762
         17,907
    Shares Market
Value•

($000)
Energy (5.2%)
  PDC Energy Inc.   223,918    14,447
  Magnolia Oil & Gas Corp. Class A   500,974    11,197
  Viper Energy Partners LP   350,426    10,306
  DTE Midstream LLC   157,402     8,358
  Coterra Energy Inc.   253,701     5,919
  Rattler Midstream LP   343,168     4,739
  International Seaways Inc.   181,377     3,318
  Core Laboratories NV    88,436     2,437
         60,721
Financials (19.8%)
  PacWest Bancorp   593,323    29,322
  Starwood Property Trust Inc.   637,770    15,204
  Popular Inc.   140,174    12,875
  Columbia Banking System Inc.   320,739    11,749
  Wintrust Financial Corp.   116,009    11,527
  Pinnacle Financial Partners Inc.   113,122    11,434
* Bancorp Inc.   371,331    10,880
  Washington Federal Inc.   293,632    10,447
  Webster Financial Corp.   167,540    10,088
  First Merchants Corp.   209,416     9,160
  BankUnited Inc.   206,774     9,139
  First BanCorp. (XNYS)   638,252     9,012
  BGC Partners Inc. Class A 1,885,420     8,635
  Flushing Financial Corp.   354,094     8,318
  Argo Group International Holdings Ltd.   195,539     8,246
  Pacific Premier Bancorp Inc.   205,908     7,971
  WSFS Financial Corp.   118,420     6,019
* NMI Holdings Inc. Class A   255,858     5,920
  Renasant Corp.   161,089     5,881
  Evercore Inc. Class A    40,327     5,122
  KKR & Co. Inc.    63,544     3,820
  Northern Trust Corp.    32,262     3,675
  PJT Partners Inc. Class A    54,295     3,465
  BOK Financial Corp.    27,854     2,861
  First American Financial Corp.    40,734     2,731
  Affiliated Managers Group Inc.    16,053     2,221
  Lazard Ltd. Class A    63,909     2,210
* Green Dot Corp. Class A    74,750     2,142
4

 

Explorer Value Fund
    Shares Market
Value•

($000)
  Janus Henderson Group plc    34,011     1,142
        231,216
Health Care (4.9%)
* Syneos Health Inc.   177,687    14,073
* Envista Holdings Corp.   198,805     9,543
* Pacira BioSciences Inc.    98,191     6,548
* NuVasive Inc.    94,507     5,115
* Varex Imaging Corp.   193,404     4,572
* Acadia Healthcare Co. Inc.    66,790     3,788
* Merit Medical Systems Inc.    58,145     3,781
* Laboratory Corp. of America Holdings    12,451     3,377
* Covetrus Inc.   150,881     2,673
* Bio-Rad Laboratories Inc. Class A     2,644     1,655
* Charles River Laboratories International Inc.     5,258     1,531
         56,656
Industrials (17.7%)
* Colfax Corp.   449,390    18,070
* KAR Auction Services Inc.   867,400    16,012
  BWX Technologies Inc.   205,326    10,968
* XPO Logistics Inc.   147,358    10,710
* GXO Logistics Inc.   126,710    10,635
* Beacon Roofing Supply Inc.   167,383     9,991
  KBR Inc.   187,792     9,322
* WESCO International Inc.    67,449     8,211
  MDU Resources Group Inc.   301,669     8,076
  Applied Industrial Technologies Inc.    79,397     8,027
* Univar Solutions Inc.   258,705     7,945
  Interface Inc. Class A   531,532     6,936
* Stericycle Inc.   106,269     6,202
  Kaman Corp.   141,342     6,136
* Builders FirstSource Inc.    81,621     6,074
  EnerSys    80,237     5,836
  HNI Corp.   136,993     5,574
* Triumph Group Inc.   199,805     5,003
* MRC Global Inc.   430,345     4,346
  Kennametal Inc.   108,516     3,441
  Greenbrier Cos. Inc.    76,942     3,418
  Nielsen Holdings plc   190,884     3,325
* Resideo Technologies Inc.   125,514     3,231
  Altra Industrial Motion Corp.    73,795     3,134
* Array Technologies Inc.   265,421     2,983
  Quanta Services Inc.    27,165     2,959
  Masco Corp.    48,358     2,710
  ADT Inc.   366,043     2,676
  nVent Electric plc    76,683     2,602
  AZZ Inc.    52,120     2,566
  Brink's Co.    31,242     2,189
  Snap-on Inc.     9,685     2,036
  Steelcase Inc. Class A   162,371     1,976
* CIRCOR International Inc.    70,624     1,903
  Simpson Manufacturing Co. Inc.     8,081       958
        206,181
Information Technology (10.8%)
  Silicon Motion Technology Corp. ADR   232,185    16,843
* ACI Worldwide Inc.   457,703    15,342
* Verint Systems Inc.   253,247    12,720
  Concentrix Corp.    55,696    11,133
* Insight Enterprises Inc.    96,754    10,062
    Shares Market
Value•

($000)
* Euronet Worldwide Inc.    71,051     9,111
  Jabil Inc.   154,916     8,956
  Belden Inc.   139,291     7,849
* Teledyne Technologies Inc.    17,793     7,640
  TD SYNNEX Corp.    67,612     6,885
* Fabrinet    68,552     6,864
* Cognyte Software Ltd.   388,724     4,338
* Zebra Technologies Corp. Class A     5,032     2,080
* MACOM Technology Solutions Holdings Inc. Class H    34,520     2,075
  MKS Instruments Inc.    12,081     1,819
* Keysight Technologies Inc.    10,661     1,678
        125,395
Materials (8.3%)
  Silgan Holdings Inc.   576,277    24,134
  FMC Corp.   187,697    22,007
* Axalta Coating Systems Ltd.   571,028    15,441
  Ashland Global Holdings Inc.   136,413    12,588
  Eagle Materials Inc.    65,434     8,953
  Carpenter Technology Corp.   131,950     5,066
  Graphic Packaging Holding Co.   220,680     4,542
  Pactiv Evergreen Inc.   375,526     3,613
         96,344
Real Estate (9.6%)
  Gaming and Leisure Properties Inc.   377,508    17,143
  Medical Properties Trust Inc.   827,386    16,829
  Newmark Group Inc. Class A   620,491    10,970
  SITE Centers Corp.   588,455     9,150
* Howard Hughes Corp.    94,741     9,055
  STAG Industrial Inc.   224,279     8,738
  Spirit Realty Capital Inc.   187,100     8,676
  Corporate Office Properties Trust   306,852     8,043
  Agree Realty Corp.   118,616     7,609
  RPT Realty   375,654     4,865
* Sunstone Hotel Investors Inc.   459,418     4,861
* Jones Lang LaSalle Inc.    12,669     3,119
* CBRE Group Inc. Class A    27,619     2,675
        111,733
Utilities (1.5%)
  Portland General Electric Co.   169,670     8,614
  ALLETE Inc.    89,362     5,625
  Unitil Corp.    65,818     3,323
         17,562
Total Common Stocks (Cost $854,852) 1,101,165
 
5

 

Explorer Value Fund
    Shares Market
Value•

($000)
Temporary Cash Investments (5.5%)
Money Market Fund (5.5%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost $63,930)   639,427          63,936
Total Investments (100.0%) (Cost $918,782) 1,165,101
Other Assets and Liabilities—Net (0.0%) 39
Net Assets (100%) 1,165,140
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,520,000.
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 Collateral of $1,530,000 was received for securities on loan.
  ADR—American Depositary Receipt.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini Russell 2000 Index March 2022 298 30,463 (2,289)
  
See accompanying Notes, which are an integral part of the Financial Statements.
6

 

Explorer Value Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $854,852) 1,101,165
Affiliated Issuers (Cost $63,930) 63,936
Total Investments in Securities 1,165,101
Investment in Vanguard 39
Cash 90
Cash Collateral Pledged—Futures Contracts 1,643
Receivables for Investment Securities Sold 35
Receivables for Accrued Income 676
Receivables for Capital Shares Issued 994
Variation Margin Receivable—Futures Contracts 82
Total Assets 1,168,660
Liabilities  
Payables for Investment Securities Purchased 120
Collateral for Securities on Loan 1,530
Payables to Investment Advisor 1,085
Payables for Capital Shares Redeemed 694
Payables to Vanguard 91
Total Liabilities 3,520
Net Assets 1,165,140
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 904,616
Total Distributable Earnings (Loss) 260,524
Net Assets 1,165,140
 
Net Assets  
Applicable to 26,010,487 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,165,140
Net Asset Value Per Share $44.80
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Explorer Value Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 7,553
Interest2 32
Securities Lending—Net —
Total Income 7,585
Expenses  
Investment Advisory Fees—Note B  
Basic Fee 1,697
Performance Adjustment 381
The Vanguard Group—Note C  
Management and Administrative 1,154
Marketing and Distribution 76
Custodian Fees 16
Shareholders’ Reports 25
Trustees’ Fees and Expenses —
Other Expenses 8
Total Expenses 3,357
Net Investment Income 4,228
Realized Net Gain (Loss)  
Investment Securities Sold2 27,331
Futures Contracts (3,181)
Realized Net Gain (Loss) 24,150
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (16,628)
Futures Contracts (2,515)
Change in Unrealized Appreciation (Depreciation) (19,143)
Net Increase (Decrease) in Net Assets Resulting from Operations 9,235
1 Dividends are net of foreign withholding taxes of $27,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $31,000, ($6,000), $2,000, 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.
8

 

Explorer Value Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 4,228   7,595
Realized Net Gain (Loss) 24,150   65,789
Change in Unrealized Appreciation (Depreciation) (19,143)   230,573
Net Increase (Decrease) in Net Assets Resulting from Operations 9,235   303,957
Distributions      
Total Distributions (47,187)   (5,943)
Capital Share Transactions      
Issued 116,381   672,371
Issued in Lieu of Cash Distributions 44,561   5,616
Redeemed (122,323)   (374,152)
Net Increase (Decrease) from Capital Share Transactions 38,619   303,835
Total Increase (Decrease) 667   601,849
Net Assets      
Beginning of Period 1,164,473   562,624
End of Period 1,165,140   1,164,473
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Explorer Value Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $46.26 $30.32 $33.49 $40.53 $34.45 $31.55
Investment Operations            
Net Investment Income1 .165 .351 .400 .494 .355 .329
Net Realized and Unrealized Gain (Loss) on Investments .256 15.911 (3.032) (4.921) 7.112 3.331
Total from Investment Operations .421 16.262 (2.632) (4.427) 7.467 3.660
Distributions            
Dividends from Net Investment Income (.352) (.322) (.538) (.366) (.288) (.308)
Distributions from Realized Capital Gains (1.529) — — (2.247) (1.099) (.452)
Total Distributions (1.881) (.322) (.538) (2.613) (1.387) (.760)
Net Asset Value, End of Period $44.80 $46.26 $30.32 $33.49 $40.53 $34.45
Total Return2 0.92% 53.90% -8.12% -10.10% 22.10% 11.64%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,165 $1,164 $563 $655 $768 $607
Ratio of Total Expenses to Average Net Assets3 0.58% 0.52% 0.64% 0.55% 0.56% 0.55%
Ratio of Net Investment Income to Average Net Assets 0.80% 0.85% 1.28% 1.45% 0.95% 0.98%
Portfolio Turnover Rate 21% 41% 42% 27% 31% 33%
The expense ratio and net investment income ratio for the current period have been annualized.
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 Includes performance-based investment advisory fee increases (decreases) of 0.07%, 0.01%, 0.09%, 0.01%, 0.03% and (0.01%).
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Explorer Value Fund
Notes to Financial Statements
Vanguard Explorer Value Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
During the six months ended February 28, 2022, the fund’s average investments in long and short futures contracts represented 4% and 0% of net assets, respectively, based on the average of the notional amounts 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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is
11

 

Explorer Value Fund
generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
12

 

Explorer Value Fund
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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.
B. The investment advisory firms Cardinal Capital Management, L.L.C., Frontier Capital Management Co., LLC, and, beginning January 2022, Ariel Investments, LLC, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Frontier Capital Management Co., LLC, is subject to quarterly adjustments based on performance relative to the Russell 2000 Value Index for the preceding three years. The basic fee of Cardinal Capital Management, L.L.C., is subject to quarterly adjustments based on performance relative to the Russell 3000 Value Custom Index for the preceding three years. In accordance with the advisory contract entered into with Ariel Investments, LLC, beginning March 1, 2023, the investment advisory fee will be subject to quarterly adjustments based on performance relative to the Russell 2500 Value Index since February 28, 2022.
Vanguard manages the cash reserves of the fund as described below.
For the six months ended February 28, 2022, the aggregate investment advisory fee paid to all advisors represented an effective annual rate of 0.29% of the fund’s average net assets, before a net increase of $381,000 (0.07%) based on performance.
C. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution, and cash management 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $39,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. 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.
13

 

Explorer Value Fund
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2022, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
E. As of February 28, 2022, 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 922,728
Gross Unrealized Appreciation 276,785
Gross Unrealized Depreciation (36,701)
Net Unrealized Appreciation (Depreciation) 240,084
F. During the six months ended February 28, 2022, the fund purchased $222,789,000 of investment securities and sold $223,083,000 of investment securities, other than temporary cash investments.
G. Capital shares issued and redeemed were:
    
  Six Months
Ended
February 28,
2022 		  Year Ended
August 31,
2021
  Shares
(000) 		  Shares
(000)
Issued 2,521   15,359
Issued in Lieu of Cash Distributions 998   152
Redeemed (2,680)   (8,893)
Net Increase (Decrease) in Shares Outstanding 839   6,618
At February 28, 2022, one shareholder was a record or beneficial owner of 27% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
14

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Explorer Value Fund has renewed the fund’s investment advisory arrangements with Cardinal Capital Management, L.L.C. (Cardinal), and Frontier Capital Management Co., LLC (Frontier). Effective January 31, 2022, the board also approved a restructuring of the fund’s investment advisory arrangements whereby Ariel Investments, LLC (Ariel), has been added as an advisor to the fund. The board determined that the foregoing actions were in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about the fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisors.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board considered the quality of the investment management services to be provided to the fund by Ariel, reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered the following:
Ariel. Founded in 1983, Ariel is an established investment manager that became an industry trailblazer by being the first black-owned mutual fund company in the United States. Ariel’s culture is built upon long-term, patient investing as they search for companies in unique positions of strength. The firm manages long-only domestic, international, and global value mandates using their same long-term, value approach.
Cardinal. Founded in 1995, Cardinal is an investment advisor that manages small- and mid-capitalization value portfolios. Cardinal utilizes fundamental research to analyze a company’s ability to generate free cash flow and deploy that cash flow efficiently, enhancing shareholder value. Cardinal’s analysts engage extensively with company management teams to understand
15

 

their capital allocation decisions. Cardinal seeks to purchase companies that can generate superior cash flow and make value-creating capital allocation decisions at attractive valuations. Cardinal has managed a portion of the fund since the fund’s inception.
Frontier. Founded in 1980, Frontier is an investment advisor with a long history of investing in small- and mid-cap stocks. Frontier employs a relative value approach that focuses on identifying companies with solid business models, unrecognized earnings power, and attractive valuations. The portfolio managers have the support of Frontier’s deep team of sector-focused analysts and other small- and mid-cap portfolio managers. Frontier has managed a portion of the fund since the fund’s inception.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of Cardinal’s and Frontier’s subportfolios, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. The board also concluded that Ariel has successfully operated the recommended strategy since 1986, with returns exceeding 38 bps annualized since inception versus the strategy’s benchmark.
Cost
The board concluded that the fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that Cardinal’s and Frontier’s advisory fee rates were also below the peer-group average. The board also concluded that the advisory fee rate to be paid to Ariel is below the fund’s peer-group average.
The board did not consider the profitability of Ariel, Cardinal, or Frontier in determining whether to approve the advisory fees, because the firms are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules for Ariel, Cardinal, and Frontier. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
16

 

This page intentionally left blank.

 

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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q16902 042022

 

 

Semiannual Report   |   February 28, 2022
Vanguard Russell 1000 Index Funds
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index Fund

 

Contents
About Your Fund’s Expenses
1
Russell 1000 Index Fund
3
Russell 1000 Value Index Fund
25
Russell 1000 Growth Index Fund
46

 

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.
1

 

Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return      
Russell 1000 Index Fund      
ETF Shares $1,000.00 $961.00 $0.39
Institutional Shares 1,000.00 961.00 0.34
Russell 1000 Value Index Fund      
ETF Shares $1,000.00 $1,003.60 $0.40
Institutional Shares 1,000.00 1,003.70 0.35
Russell 1000 Growth Index Fund      
ETF Shares $1,000.00 $922.40 $0.38
Institutional Shares 1,000.00 922.40 0.33
Based on Hypothetical 5% Yearly Return      
Russell 1000 Index Fund      
ETF Shares $1,000.00 $1,024.40 $0.40
Institutional Shares 1,000.00 1,024.45 0.35
Russell 1000 Value Index Fund      
ETF Shares $1,000.00 $1,024.40 $0.40
Institutional Shares 1,000.00 1,024.45 0.35
Russell 1000 Growth Index Fund      
ETF Shares $1,000.00 $1,024.40 $0.40
Institutional Shares 1,000.00 1,024.45 0.35
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 Russell 1000 Index Fund, 0.08% for ETF Shares and 0.07% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.08% for ETF Shares and 0.07% for Institutional Shares; and for the Russell 1000 Growth Index Fund, 0.08% for ETF 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 (181/365).
2

 

Russell 1000 Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 1.6%
Consumer Discretionary 15.4
Consumer Staples 5.3
Energy 3.6
Financials 11.4
Health Care 12.5
Industrials 12.7
Real Estate 3.3
Technology 28.7
Telecommunications 2.8
Utilities 2.7
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3

 

Russell 1000 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (99.9%)
Basic Materials (1.6%)
  Freeport-McMoRan Inc.   189,477     8,896
  Newmont Corp.   103,834     6,874
  Air Products and Chemicals Inc.    28,511     6,737
  Dow Inc.    96,737     5,704
  Ecolab Inc.    32,191     5,674
  Nucor Corp.    36,974     4,866
  International Flavors & Fragrances Inc.    32,974     4,386
  Fastenal Co.    74,384     3,828
  LyondellBasell Industries NV Class A    33,909     3,297
  Albemarle Corp.    15,013     2,941
  Mosaic Co.    48,015     2,517
  CF Industries Holdings Inc.    27,667     2,246
  International Paper Co.    49,794     2,168
  Eastman Chemical Co.    17,306     2,050
  Celanese Corp. Class A    14,131     1,968
  FMC Corp.    16,393     1,922
  Avery Dennison Corp.    10,715     1,888
  Alcoa Corp.    24,110     1,816
  Steel Dynamics Inc.    24,311     1,716
  Reliance Steel & Aluminum Co.     8,123     1,550
* Cleveland-Cliffs Inc.    58,464     1,307
  Huntsman Corp.    26,822     1,085
  Royal Gold Inc.     8,477     1,028
  Olin Corp.    18,736       965
  US Steel Corp.    34,476       938
  Valvoline Inc.    23,528       761
  Southern Copper Corp.    10,918       758
  Scotts Miracle-Gro Co.     5,308       743
  Element Solutions Inc.    30,146       741
  Ashland Global Holdings Inc.     7,203       665
* Univar Solutions Inc.    21,365       656
  Hexcel Corp.    10,807       626
  Chemours Co.    20,653       570
  Timken Co.     8,390       550
  Westlake Corp.     4,258       470
  NewMarket Corp.       862       274
* Sylvamo Corp.     4,587       160
         85,341
Consumer Discretionary (15.3%)
* Amazon.com Inc.    56,134   172,402
* Tesla Inc.   104,576    91,026
  Home Depot Inc.   137,589    43,455
    Shares Market
Value•

($000)
* Walt Disney Co.   234,698    34,843
  Costco Wholesale Corp.    57,154    29,677
  Walmart Inc.   185,587    25,084
  McDonald's Corp.    96,631    23,652
* Netflix Inc.    55,806    22,017
  NIKE Inc. Class B   160,238    21,881
  Lowe's Cos. Inc.    89,625    19,813
  Starbucks Corp.   152,206    13,971
  Target Corp.    62,997    12,585
* Booking Holdings Inc.     5,287    11,485
  TJX Cos. Inc.   155,620    10,286
  Ford Motor Co.   506,702     8,898
  Estee Lauder Cos. Inc. Class A    29,641     8,784
* General Motors Co.   178,050     8,319
  Activision Blizzard Inc.    99,986     8,149
* Uber Technologies Inc.   208,893     7,526
  Dollar General Corp.    30,218     5,993
* Marriott International Inc. Class A    35,191     5,987
* O'Reilly Automotive Inc.     8,625     5,600
* Chipotle Mexican Grill Inc. Class A     3,631     5,531
* Hilton Worldwide Holdings Inc.    35,444     5,276
* AutoZone Inc.     2,710     5,050
* Trade Desk Inc. Class A    56,165     4,792
  Electronic Arts Inc.    36,701     4,774
* Lululemon Athletica Inc.    14,748     4,718
  Yum! Brands Inc.    38,019     4,660
* Aptiv plc    34,898     4,517
  eBay Inc.    81,003     4,422
  Ross Stores Inc.    45,274     4,138
* Dollar Tree Inc.    28,803     4,092
* Expedia Group Inc.    18,740     3,675
  DR Horton Inc.    42,530     3,632
* Southwest Airlines Co.    76,277     3,341
* Copart Inc.    27,042     3,323
* Delta Air Lines Inc.    82,513     3,294
  Lennar Corp. Class A    35,781     3,216
  Best Buy Co. Inc.    31,739     3,067
  Tractor Supply Co.    14,678     2,991
  Yum China Holdings Inc.    55,388     2,881
* Spotify Technology SA    17,668     2,760
* Ulta Beauty Inc.     6,789     2,542
* Etsy Inc.    16,306     2,526
  Darden Restaurants Inc.    16,886     2,452
  VF Corp.    41,807     2,426
4

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
* Take-Two Interactive Software Inc.    14,810     2,399
  Paramount Global Class B    76,301     2,336
* CarMax Inc.    21,201     2,318
* Royal Caribbean Cruises Ltd.    28,459     2,297
  Omnicom Group Inc.    27,241     2,285
  Pool Corp.     4,965     2,277
* Carnival Corp.   110,643     2,249
  MGM Resorts International    50,612     2,242
* Caesars Entertainment Inc.    26,479     2,229
  Genuine Parts Co.    18,100     2,211
  Garmin Ltd.    19,657     2,171
* Live Nation Entertainment Inc.    17,721     2,141
  Domino's Pizza Inc.     4,701     2,032
* NVR Inc.       407     2,018
* Burlington Stores Inc.     8,606     1,944
  Interpublic Group of Cos. Inc.    50,943     1,875
* United Airlines Holdings Inc.    41,904     1,861
* Las Vegas Sands Corp.    42,695     1,830
  Fox Corp. Class A    41,795     1,748
  Bath & Body Works Inc.    31,544     1,684
  Advance Auto Parts Inc.     8,176     1,672
  LKQ Corp.    35,265     1,656
  PulteGroup Inc.    32,623     1,620
  Hasbro Inc.    16,527     1,604
  Whirlpool Corp.     7,723     1,554
* Carvana Co. Class A    10,114     1,522
* Liberty Media Corp.-Liberty Formula One Class C    24,935     1,514
  Tapestry Inc.    35,991     1,472
* Lyft Inc. Class A    37,437     1,458
* American Airlines Group Inc.    82,141     1,417
  Williams-Sonoma Inc.     9,609     1,392
* Wayfair Inc. Class A     9,789     1,379
  Vail Resorts Inc.     5,148     1,341
* Capri Holdings Ltd.    19,264     1,305
  Lithia Motors Inc. Class A     3,823     1,303
  BorgWarner Inc. (XNYS)    30,838     1,265
* Floor & Decor Holdings Inc. Class A    13,118     1,254
  Service Corp. International    20,545     1,250
* Rivian Automotive Inc. Class A    18,430     1,245
  Lear Corp.     7,825     1,231
* Zynga Inc. Class A   133,635     1,213
* Wynn Resorts Ltd.    13,707     1,186
  Newell Brands Inc.    49,509     1,176
* Discovery Inc. Class C    41,493     1,161
* Five Below Inc.     7,083     1,159
  Churchill Downs Inc.     4,708     1,134
* Mattel Inc.    45,082     1,126
  Aramark    29,724     1,099
  News Corp. Class A    49,071     1,095
* Penn National Gaming Inc.    21,117     1,084
  Kohl's Corp.    19,237     1,070
* Liberty Media Corp.- Liberty SiriusXM Class C    21,188     1,066
* Deckers Outdoor Corp.     3,561     1,028
  Wyndham Hotels & Resorts Inc.    11,877     1,026
* Peloton Interactive Inc. Class A    35,050     1,019
    Shares Market
Value•

($000)
* Bright Horizons Family Solutions Inc.     7,784     1,017
* GameStop Corp. Class A     8,196     1,011
* SiteOne Landscape Supply Inc.     5,634       971
  Rollins Inc.    29,489       962
* DraftKings Inc. Class A    40,406       957
  New York Times Co. Class A    21,392       941
* Norwegian Cruise Line Holdings Ltd.    47,905       934
  Nexstar Media Group Inc. Class A     5,035       932
  Gentex Corp.    30,696       929
* Planet Fitness Inc. Class A    10,880       921
* RH     2,239       900
* Alaska Air Group Inc.    15,970       897
  PVH Corp.     9,151       896
  Polaris Inc.     7,279       884
  Dick's Sporting Goods Inc.     8,122       853
  Harley-Davidson Inc.    19,951       824
  Ralph Lauren Corp. Class A     6,204       819
  Nielsen Holdings plc    46,331       807
  Marriott Vacations Worldwide Corp.     4,989       802
* Skechers USA Inc. Class A    16,884       776
  Toll Brothers Inc.    14,281       775
  Tempur Sealy International Inc.    22,758       751
* Boyd Gaming Corp.    10,533       747
  Fox Corp. Class B    19,084       730
1 Sirius XM Holdings Inc.   115,048       709
  Hanesbrands Inc.    44,860       693
* YETI Holdings Inc.    10,950       674
* Terminix Global Holdings Inc.    15,608       664
  AMERCO     1,139       658
* IAA Inc.    17,445       641
  Choice Hotels International Inc.     4,399       635
  Leggett & Platt Inc.    17,036       632
* Hyatt Hotels Corp. Class A     6,502       631
* JetBlue Airways Corp.    41,320       631
* AutoNation Inc.     5,407       620
  Thor Industries Inc.     6,776       613
  Travel + Leisure Co.    10,930       613
* Chegg Inc.    18,828       589
* Discovery Inc. Class A    20,989       589
* Liberty Media Corp.- Liberty SiriusXM Class A    11,463       577
  H&R Block Inc.    22,436       557
  Carter's Inc.     5,486       530
  Wendy's Co.    23,101       525
* Victoria's Secret & Co.     9,766       524
* QuantumScape Corp. Class A    31,924       515
  Columbia Sportswear Co.     5,036       467
* Sabre Corp.    41,893       458
* Grand Canyon Education Inc.     5,142       446
* Six Flags Entertainment Corp.     9,777       427
* Madison Square Garden Sports Corp.     2,424       419
* Under Armour Inc. Class A    23,178       415
* Coty Inc. Class A    43,419       398
* Under Armour Inc. Class C    25,448       398
 
5

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
  Penske Automotive Group Inc.     3,907       384
  News Corp. Class B    17,008       382
  Gap Inc.    25,880       377
* Leslie's Inc.    17,675       377
  Foot Locker Inc.    11,484       363
* Ollie's Bargain Outlet Holdings Inc.     8,336       360
* Copa Holdings SA Class A     4,013       340
* frontdoor Inc.    11,179       336
* TripAdvisor Inc.    13,073       333
  World Wrestling Entertainment Inc. Class A     5,586       331
* Nordstrom Inc.    14,155       294
* Playtika Holding Corp.    13,324       274
  Qurate Retail Inc. Series A    46,865       258
* Driven Brands Holdings Inc.     7,383       217
* Figs Inc. Class A    13,114       215
* Liberty Media Corp.- Liberty Formula One Class A     3,710       208
* Mister Car Wash Inc.    10,524       169
* Petco Health & Wellness Co. Inc. Class A     6,810       119
  Lennar Corp. Class B       583        44
        815,437
Consumer Staples (5.3%)
  Procter & Gamble Co.   311,515    48,562
  Coca-Cola Co.   502,312    31,264
  PepsiCo Inc.   178,802    29,277
  Philip Morris International Inc.   201,193    20,335
  CVS Health Corp.   170,107    17,632
  Altria Group Inc.   239,070    12,262
  Mondelez International Inc. Class A   180,182    11,798
  Colgate-Palmolive Co.   107,889     8,302
  Sysco Corp.    66,200     5,766
  Kimberly-Clark Corp.    43,697     5,687
  Archer-Daniels-Midland Co.    72,065     5,653
  McKesson Corp.    19,797     5,443
  General Mills Inc.    78,975     5,325
  Corteva Inc.    94,494     4,917
  Kroger Co.    95,656     4,477
  Constellation Brands Inc. Class A    20,187     4,353
  Walgreens Boots Alliance Inc.    92,886     4,281
* Monster Beverage Corp.    48,054     4,056
  Hershey Co.    18,804     3,803
  Kraft Heinz Co.    89,851     3,524
  Keurig Dr Pepper Inc.    90,361     3,494
  Tyson Foods Inc. Class A    37,146     3,442
  Church & Dwight Co. Inc.    31,667     3,099
  McCormick & Co. Inc.    32,231     3,067
  AmerisourceBergen Corp. Class A    19,301     2,751
  Clorox Co.    15,828     2,308
  Conagra Brands Inc.    60,719     2,123
  Kellogg Co.    32,127     2,054
  Bunge Ltd.    17,808     1,862
  J M Smucker Co.    13,566     1,828
  Hormel Foods Corp.    36,672     1,747
  Brown-Forman Corp. Class B    25,104     1,638
    Shares Market
Value•

($000)
* Darling Ingredients Inc.    20,810     1,508
  Lamb Weston Holdings Inc.    18,971     1,260
  Molson Coors Beverage Co. Class B    23,222     1,212
  Campbell Soup Co.    25,466     1,145
* US Foods Holding Corp    28,277     1,105
  Casey's General Stores Inc.     4,748       893
* Post Holdings Inc.     7,703       810
  Ingredion Inc.     8,585       762
  Flowers Foods Inc.    24,632       675
  Albertsons Cos. Inc. Class A    19,667       573
  Spectrum Brands Holdings Inc.     5,427       504
* Freshpet Inc.     5,240       499
* Herbalife Nutrition Ltd.    13,100       466
* Boston Beer Co. Inc. Class A     1,196       459
* Hain Celestial Group Inc.    11,938       434
*,1 Beyond Meat Inc.     7,365       345
* Grocery Outlet Holding Corp.    11,117       309
  Brown-Forman Corp. Class A     4,470       273
  Reynolds Consumer Products Inc.     6,698       199
* Olaplex Holdings Inc.    11,889       199
* Pilgrim's Pride Corp.     5,792       137
  Seaboard Corp.        30       116
        280,013
Energy (3.6%)
  Exxon Mobil Corp.   547,356    42,924
  Chevron Corp.   250,144    36,021
  ConocoPhillips   170,225    16,147
  EOG Resources Inc.    75,106     8,631
  Schlumberger NV   181,160     7,109
  Pioneer Natural Resources Co.    27,947     6,696
  Marathon Petroleum Corp.    79,588     6,197
  Devon Energy Corp.    87,247     5,195
  Williams Cos. Inc.   157,382     4,923
  Occidental Petroleum Corp.   109,306     4,780
  Phillips 66    56,627     4,770
  Valero Energy Corp.    52,822     4,411
  Kinder Morgan Inc.   252,002     4,385
  Cheniere Energy Inc.    30,284     4,025
  Halliburton Co.   114,616     3,843
  ONEOK Inc.    57,394     3,748
  Hess Corp.    35,846     3,623
  Diamondback Energy Inc.    23,285     3,216
* Enphase Energy Inc.    17,136     2,857
  Baker Hughes Co. Class A    95,007     2,791
  Coterra Energy Inc.   103,261     2,409
  Marathon Oil Corp.   100,064     2,257
  Targa Resources Corp.    29,118     1,903
* Plug Power Inc.    66,522     1,682
  APA Corp.    47,029     1,676
* First Solar Inc.    13,598     1,024
  Texas Pacific Land Corp.       769       914
  EQT Corp.    39,121       905
  NOV Inc.    50,842       872
  DTE Midstream LLC    12,460       662
  HollyFrontier Corp.    19,678       599
  Continental Resources Inc.     8,278       459
  Antero Midstream Corp.    43,218       434
*,1 ChargePoint Holdings Inc.    29,658       431
 
6

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
* Shoals Technologies Group Inc. Class A    13,277       210
  New Fortress Energy Inc. Class A     3,388        93
* Fluence Energy Inc.     4,718        64
        192,886
Financials (11.4%)
* Berkshire Hathaway Inc. Class B   237,420    76,319
  JPMorgan Chase & Co.   379,825    53,859
  Bank of America Corp.   931,668    41,180
  Wells Fargo & Co.   517,145    27,600
  S&P Global Inc.    44,816    16,837
  Charles Schwab Corp.   194,437    16,422
  Morgan Stanley   173,017    15,700
  Citigroup Inc.   256,355    15,184
  Goldman Sachs Group Inc.    42,194    14,400
  BlackRock Inc.    18,468    13,738
  Chubb Ltd.    55,382    11,278
  Blackstone Inc.    88,159    11,238
  CME Group Inc.    46,285    10,948
  PNC Financial Services Group Inc.    54,806    10,920
  Truist Financial Corp.   173,935    10,822
  Marsh & McLennan Cos. Inc.    65,632    10,200
  US Bancorp   173,247     9,795
  Intercontinental Exchange Inc.    71,993     9,224
  Aon plc Class A (XNYS)    28,287     8,264
  Progressive Corp.    75,355     7,982
  Moody's Corp.    21,019     6,769
  American International Group Inc.   107,557     6,587
  MetLife Inc.    92,156     6,225
  Travelers Cos. Inc.    31,804     5,465
  Prudential Financial Inc.    48,763     5,445
  MSCI Inc. Class A    10,376     5,206
  Bank of New York Mellon Corp.    97,872     5,202
  Aflac Inc.    84,139     5,140
  Discover Financial Services    37,883     4,676
  Allstate Corp.    37,014     4,529
* SVB Financial Group     7,322     4,437
  Ameriprise Financial Inc.    14,461     4,335
  KKR & Co. Inc.    71,965     4,327
  Fifth Third Bancorp    88,184     4,219
  T Rowe Price Group Inc.    29,134     4,212
  Arthur J Gallagher & Co.    26,505     4,193
  State Street Corp.    47,199     4,028
  First Republic Bank    23,043     3,992
  Willis Towers Watson plc    16,048     3,567
  Apollo Global Management Inc.    47,554     3,103
  Hartford Financial Services Group Inc.    43,875     3,048
  Northern Trust Corp.    26,515     3,020
  M&T Bank Corp.    16,516     3,010
  KeyCorp   119,756     3,002
  Regions Financial Corp.   123,914     2,997
  Huntington Bancshares Inc.   185,206     2,874
  Citizens Financial Group Inc.    53,413     2,800
  Signature Bank     7,703     2,657
  Raymond James Financial Inc.    23,973     2,629
  Nasdaq Inc.    14,923     2,554
    Shares Market
Value•

($000)
  Principal Financial Group Inc.    33,982     2,401
  Cincinnati Financial Corp.    19,434     2,386
* Arch Capital Group Ltd.    48,192     2,270
  Ally Financial Inc.    44,755     2,233
  Broadridge Financial Solutions Inc.    15,024     2,197
* Markel Corp.     1,755     2,181
  Brown & Brown Inc.    30,393     2,055
  FactSet Research Systems Inc.     4,921     1,998
  LPL Financial Holdings Inc.    10,290     1,862
  MarketAxess Holdings Inc.     4,835     1,844
  Loews Corp.    27,880     1,710
  Fidelity National Financial Inc.    35,221     1,678
  Comerica Inc.    16,899     1,614
  First Horizon Corp.    68,648     1,612
  Cboe Global Markets Inc.    13,737     1,611
  W R Berkley Corp.    17,793     1,607
  East West Bancorp Inc.    18,288     1,601
  Lincoln National Corp.    23,383     1,576
  Equitable Holdings Inc.    46,622     1,523
  Ares Management Corp. Class A    18,535     1,503
  Everest Re Group Ltd.     5,008     1,494
  Zions Bancorp NA    19,816     1,405
  Webster Financial Corp.    23,203     1,397
  Globe Life Inc.    13,000     1,312
  Annaly Capital Management Inc.   182,072     1,267
  Assurant Inc.     7,267     1,233
  First Citizens BancShares Inc. Class A     1,560     1,230
  Western Alliance Bancorp    13,058     1,224
  American Financial Group Inc.     8,723     1,181
  People's United Financial Inc.    55,602     1,172
* Alleghany Corp.     1,723     1,141
  Tradeweb Markets Inc. Class A    13,495     1,140
  Franklin Resources Inc.    37,608     1,118
  Cullen/Frost Bankers Inc.     7,467     1,051
  Commerce Bancshares Inc.    14,366     1,031
  Jefferies Financial Group Inc.    28,334     1,007
  Synovus Financial Corp.    18,961       998
  Pinnacle Financial Partners Inc.     9,700       980
  Carlyle Group Inc.    20,789       974
  Reinsurance Group of America Inc.     8,779       973
  Stifel Financial Corp.    13,074       961
  Voya Financial Inc.    14,261       960
* Upstart Holdings Inc.     5,992       947
  Old Republic International Corp.    35,914       946
  Popular Inc.    10,179       935
  First American Financial Corp.    13,670       916
  Starwood Property Trust Inc.    37,306       889
  RenaissanceRe Holdings Ltd.     5,877       886
  Prosperity Bancshares Inc.    11,744       874
  AGNC Investment Corp.    67,634       873
  Invesco Ltd.    40,577       862
 
7

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
  Morningstar Inc.     3,053       857
  SEI Investments Co.    13,944       817
  SLM Corp.    38,318       755
  Unum Group    26,738       747
  Wintrust Financial Corp.     7,446       740
  PacWest Bancorp    14,950       739
  OneMain Holdings Inc.    14,473       738
  Affiliated Managers Group Inc.     5,325       737
  Bank OZK    15,626       735
  Janus Henderson Group plc    21,858       734
  Interactive Brokers Group Inc. Class A    10,556       699
  New York Community Bancorp Inc.    58,954       680
  Primerica Inc.     5,139       668
  Hanover Insurance Group Inc.     4,637       647
  MGIC Investment Corp.    42,039       638
  Evercore Inc. Class A     5,015       637
  Umpqua Holdings Corp.    28,237       603
  New Residential Investment Corp.    57,221       594
  Erie Indemnity Co. Class A     3,302       578
  FNB Corp.    42,769       574
* Credit Acceptance Corp.     1,035       569
  Axis Capital Holdings Ltd.     9,885       540
* Brighthouse Financial Inc.    10,229       535
  Assured Guaranty Ltd.     8,456       524
  First Hawaiian Inc.    16,733       486
  Bank of Hawaii Corp.     5,270       454
  Lazard Ltd. Class A    13,015       450
  Kemper Corp.     7,776       416
  White Mountains Insurance Group Ltd.       378       397
  BOK Financial Corp.     3,794       390
  Virtu Financial Inc. Class A    10,908       383
  Rocket Cos. Inc. Class A    17,346       224
  Mercury General Corp.     3,377       186
  CNA Financial Corp.     3,454       158
*,1 Lemonade Inc.     4,917       125
  TFS Financial Corp.     6,161       106
  UWM Holdings Corp.    13,358        58
* GoHealth Inc. Class A     5,839        13
        606,928
Health Care (12.5%)
  UnitedHealth Group Inc.   121,664    57,896
  Johnson & Johnson   341,018    56,121
  Pfizer Inc.   721,743    33,879
  AbbVie Inc.   228,425    33,754
  Thermo Fisher Scientific Inc.    50,804    27,637
  Eli Lilly & Co.   109,597    27,394
  Abbott Laboratories   224,595    27,091
  Merck & Co. Inc.   327,506    25,080
  Danaher Corp.    81,967    22,493
  Bristol-Myers Squibb Co.   288,703    19,825
  Medtronic plc   173,406    18,206
  Amgen Inc.    73,356    16,614
  Anthem Inc.    31,603    14,280
* Intuitive Surgical Inc.    45,708    13,270
  Zoetis Inc.    61,366    11,884
  Stryker Corp.    44,979    11,845
  Becton Dickinson and Co.    36,957    10,026
  Cigna Corp.    42,153    10,023
  Gilead Sciences Inc.   162,425     9,810
    Shares Market
Value•

($000)
* Edwards Lifesciences Corp.    80,008     8,991
* Boston Scientific Corp.   183,657     8,112
* Regeneron Pharmaceuticals Inc.    12,973     8,022
  HCA Healthcare Inc.    31,713     7,938
* Vertex Pharmaceuticals Inc.    32,932     7,575
  Humana Inc.    16,699     7,253
* Moderna Inc.    43,807     6,729
* Centene Corp.    74,890     6,187
* Illumina Inc.    18,884     6,168
* IDEXX Laboratories Inc.    10,952     5,830
* IQVIA Holdings Inc.    24,541     5,647
  Baxter International Inc.    65,072     5,529
* Align Technology Inc.    10,185     5,209
* DexCom Inc.    12,472     5,162
  Agilent Technologies Inc.    39,389     5,135
  ResMed Inc.    18,620     4,595
* Veeva Systems Inc. Class A    17,447     3,996
* Biogen Inc.    18,909     3,990
  West Pharmaceutical Services Inc.     9,504     3,679
  Cerner Corp.    38,208     3,563
  Zimmer Biomet Holdings Inc.    26,986     3,432
* Laboratory Corp. of America Holdings    12,474     3,384
  PerkinElmer Inc.    16,266     2,922
* Avantor Inc.    77,648     2,694
  STERIS plc    11,085     2,660
  Cooper Cos. Inc.     6,288     2,572
* Horizon Therapeutics plc    27,867     2,541
* Alnylam Pharmaceuticals Inc.    15,395     2,430
* Hologic Inc.    32,564     2,318
* Molina Healthcare Inc.     7,480     2,295
* Insulet Corp.     8,569     2,268
* Seagen Inc.    17,345     2,235
* Catalent Inc.    21,892     2,234
  Bio-Techne Corp.     5,056     2,121
  Quest Diagnostics Inc.    15,829     2,078
  Teleflex Inc.     6,058     2,037
  Cardinal Health Inc.    36,494     1,971
* Charles River Laboratories International Inc.     6,463     1,882
* BioMarin Pharmaceutical Inc.    23,636     1,846
* ABIOMED Inc.     5,732     1,781
* Bio-Rad Laboratories Inc. Class A     2,751     1,722
* Exact Sciences Corp.    22,012     1,718
  Viatris Inc.   155,483     1,712
  Royalty Pharma plc Class A    42,061     1,651
* Incyte Corp.    24,017     1,640
* Elanco Animal Health Inc. (XNYS)    57,481     1,633
* Henry Schein Inc.    18,040     1,558
  DENTSPLY SIRONA Inc.    28,028     1,517
* Teladoc Health Inc.    19,464     1,478
* QIAGEN NV    29,296     1,456
* Repligen Corp.     7,053     1,387
  Universal Health Services Inc. Class B     9,200     1,324
  Organon & Co.    32,641     1,219
* Neurocrine Biosciences Inc.    11,967     1,076
* Novocure Ltd.    13,098     1,072
* Jazz Pharmaceuticals plc     7,684     1,056
 
8

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
* Syneos Health Inc.    13,216     1,047
* Masimo Corp.     6,447     1,015
* Envista Holdings Corp.    20,771       997
* Penumbra Inc.     4,420       980
* DaVita Inc.     8,586       968
* United Therapeutics Corp.     5,730       952
  Bruker Corp.    13,056       919
  Chemed Corp.     1,920       918
* Tandem Diabetes Care Inc.     7,909       891
* 10X Genomics Inc. Class A    10,821       882
  Encompass Health Corp.    12,716       840
* Exelixis Inc.    40,376       829
* Novavax Inc.     9,833       820
* Sarepta Therapeutics Inc.    10,613       813
* Guardant Health Inc.    11,447       759
* Globus Medical Inc. Class A    10,287       723
* Natera Inc.    10,823       712
* Amedisys Inc.     4,160       667
* Acadia Healthcare Co. Inc.    11,554       655
* Integra LifeSciences Holdings Corp.     9,312       624
* Ionis Pharmaceuticals Inc.    18,407       614
  Perrigo Co. plc    17,298       614
* ICU Medical Inc.     2,547       603
* Ultragenyx Pharmaceutical Inc.     8,607       579
* Maravai LifeSciences Holdings Inc. Class A    14,365       561
  Premier Inc. Class A    15,407       554
* Quidel Corp.     4,881       516
* Mirati Therapeutics Inc.     5,511       487
* agilon health Inc.    21,205       429
* Certara Inc.    14,131       358
* Iovance Biotherapeutics Inc.    20,172       316
* Sotera Health Co.    12,504       273
* Sage Therapeutics Inc.     6,594       240
* Nektar Therapeutics Class A    22,599       231
* Oak Street Health Inc.    12,796       224
* Adaptive Biotechnologies Corp.    13,838       200
* CureVac NV     6,812       115
* Signify Health Inc. Class A     7,937       112
* Definitive Healthcare Corp. Class A     2,076        48
        661,443
Industrials (12.7%)
  Visa Inc. Class A   218,923    47,314
  Mastercard Inc. Class A   113,155    40,829
  Accenture plc Class A    82,293    26,006
  Union Pacific Corp.    83,182    20,459
  Raytheon Technologies Corp.   193,557    19,878
  United Parcel Service Inc. Class B    93,582    19,692
  Honeywell International Inc.    89,792    17,038
* PayPal Holdings Inc.   151,750    16,985
  American Express Co.    81,124    15,782
* Boeing Co.    69,069    14,183
  Lockheed Martin Corp.    32,000    13,882
  General Electric Co.   140,863    13,454
  Caterpillar Inc.    69,899    13,112
  Deere & Co.    36,027    12,970
    Shares Market
Value•

($000)
  Automatic Data Processing Inc.    54,949    11,234
  3M Co.    74,674    11,100
  CSX Corp.   285,640     9,686
  Illinois Tool Works Inc.    40,649     8,794
  Northrop Grumman Corp.    19,176     8,478
  Capital One Financial Corp.    54,717     8,386
  Sherwin-Williams Co.    31,037     8,167
  Norfolk Southern Corp.    31,358     8,044
  Eaton Corp. plc    51,551     7,954
* Block Inc. (XNYS)    62,104     7,918
* Fiserv Inc.    77,462     7,566
  General Dynamics Corp.    32,080     7,521
  Fidelity National Information Services Inc.    78,792     7,503
  Emerson Electric Co.    77,231     7,176
  FedEx Corp.    31,741     7,055
  L3Harris Technologies Inc.    25,320     6,388
  Johnson Controls International plc    92,689     6,021
  DuPont de Nemours Inc.    67,766     5,243
  Carrier Global Corp.   112,519     5,050
  Global Payments Inc.    37,308     4,976
  Paychex Inc.    41,461     4,936
  Parker-Hannifin Corp.    16,647     4,934
  Trane Technologies plc    30,884     4,754
* TransDigm Group Inc.     6,685     4,456
  Otis Worldwide Corp.    55,088     4,315
  Cintas Corp.    11,303     4,242
  Old Dominion Freight Line Inc.    13,233     4,156
* Mettler-Toledo International Inc.     2,938     4,139
  PPG Industries Inc.    30,636     4,088
  PACCAR Inc.    44,098     4,049
  Rockwell Automation Inc.    15,025     4,005
  AMETEK Inc.    29,801     3,868
  Cummins Inc.    18,565     3,789
* Keysight Technologies Inc.    23,979     3,774
  Ball Corp.    41,037     3,683
  Verisk Analytics Inc. Class A    20,536     3,642
  Equifax Inc.    15,678     3,423
  Stanley Black & Decker Inc.    20,881     3,397
  Vulcan Materials Co.    17,075     3,098
  Martin Marietta Materials Inc.     8,026     3,045
  Synchrony Financial    70,556     3,018
* United Rentals Inc.     9,331     3,001
  Dover Corp.    18,534     2,907
* Zebra Technologies Corp. Class A     6,880     2,844
* Bill.Com Holdings Inc.    11,920     2,836
  WW Grainger Inc.     5,928     2,828
  Fortive Corp.    42,140     2,729
  Ingersoll Rand Inc.    52,317     2,643
* Teledyne Technologies Inc.     5,896     2,532
* Generac Holdings Inc.     7,965     2,513
* Waters Corp.     7,867     2,492
* FleetCor Technologies Inc.    10,156     2,379
  Amcor plc   199,733     2,323
  Expeditors International of Washington Inc.    21,873     2,261
* Trimble Inc.    31,726     2,213
  JB Hunt Transport Services Inc.    10,892     2,210
  TransUnion    24,338     2,209
 
9

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
  Westinghouse Air Brake Technologies Corp.    23,205     2,154
  Textron Inc.    28,570     2,089
  Jacobs Engineering Group Inc.    16,760     2,061
  Xylem Inc.    22,862     2,034
  Quanta Services Inc.    18,414     2,006
  Crown Holdings Inc.    15,873     1,947
  IDEX Corp.     9,840     1,888
  Howmet Aerospace Inc.    50,197     1,803
* Builders FirstSource Inc.    24,188     1,800
  Packaging Corp. of America    12,169     1,791
  Masco Corp.    31,391     1,759
  Nordson Corp.     7,520     1,703
  Jack Henry & Associates Inc.     9,532     1,685
  Robert Half International Inc.    13,943     1,677
  CH Robinson Worldwide Inc.    16,687     1,613
* Fair Isaac Corp.     3,416     1,610
  Carlisle Cos. Inc.     6,670     1,583
  Graco Inc.    21,639     1,560
  Westrock Co.    34,189     1,548
  Fortune Brands Home & Security Inc.    17,482     1,519
  Cognex Corp.    22,168     1,498
  Snap-on Inc.     6,931     1,457
  Booz Allen Hamilton Holding Corp. Class A    17,310     1,397
  RPM International Inc.    16,496     1,395
  Regal Rexnord Corp.     8,676     1,391
* Trex Co. Inc.    14,908     1,369
  Allegion plc    11,561     1,324
  Toro Co.    13,700     1,285
  Sealed Air Corp.    19,130     1,284
  AECOM    17,582     1,278
* Middleby Corp.     7,122     1,265
  Hubbell Inc. Class B     6,936     1,236
  Pentair plc    21,321     1,235
  Owens Corning    12,983     1,210
  HEICO Corp. Class A     9,779     1,202
* Axon Enterprise Inc.     8,419     1,181
  Watsco Inc.     4,266     1,165
* Sensata Technologies Holding plc    19,994     1,158
  A O Smith Corp.    16,776     1,150
  Lennox International Inc.     4,257     1,136
  Knight-Swift Transportation Holdings Inc.    20,825     1,135
  MKS Instruments Inc.     7,187     1,082
* Berry Global Group Inc.    17,643     1,070
* Paylocity Holding Corp.     5,022     1,067
* GXO Logistics Inc.    12,447     1,045
  Huntington Ingalls Industries Inc.     5,060     1,034
  AptarGroup Inc.     8,442     1,029
* Mohawk Industries Inc.     7,117     1,002
  Oshkosh Corp.     8,880       986
  Genpact Ltd.    23,507       984
  ITT Inc.    11,128       978
* WEX Inc.     5,757       970
  Brunswick Corp.    10,081       963
  AGCO Corp.     7,991       960
  Lincoln Electric Holdings Inc.     7,477       953
  Western Union Co.    51,537       937
  Woodward Inc.     7,447       928
    Shares Market
Value•

($000)
  Advanced Drainage Systems Inc.     7,940       927
  HEICO Corp.     6,176       911
* TopBuild Corp.     4,223       907
* XPO Logistics Inc.    12,433       904
  Donaldson Co. Inc.    16,016       869
* Euronet Worldwide Inc.     6,552       840
* Coherent Inc.     3,176       839
  Acuity Brands Inc.     4,433       808
  Louisiana-Pacific Corp.    11,166       803
  Littelfuse Inc.     3,101       801
  Graphic Packaging Holding Co.    36,678       755
  Landstar System Inc.     4,864       751
  Curtiss-Wright Corp.     5,077       749
  Sonoco Products Co.    12,713       746
  ManpowerGroup Inc.     6,958       739
  nVent Electric plc    21,279       722
  Eagle Materials Inc.     5,217       714
  MDU Resources Group Inc.    26,492       709
* Axalta Coating Systems Ltd.    26,181       708
  Spirit AeroSystems Holdings Inc. Class A    13,515       676
  MSA Safety Inc.     4,777       664
  BWX Technologies Inc.    12,071       645
  Crane Co.     6,365       643
* FTI Consulting Inc.     4,261       622
* Colfax Corp.    15,226       612
  Air Lease Corp. Class A    14,186       592
  Valmont Industries Inc.     2,664       577
* MasTec Inc.     7,194       567
  Ryder System Inc.     6,781       535
  Vontier Corp.    21,667       527
  Allison Transmission Holdings Inc.    13,153       525
  Armstrong World Industries Inc.     5,890       521
* Kirby Corp.     7,845       511
  Flowserve Corp.    16,727       508
  MSC Industrial Direct Co. Inc. Class A     5,893       457
* Mercury Systems Inc.     7,471       450
  Alliance Data Systems Corp.     6,526       440
  Silgan Holdings Inc.    10,400       436
* AZEK Co. Inc. Class A    14,619       431
* StoneCo. Ltd. Class A    28,465       320
* TuSimple Holdings Inc. Class A    17,344       302
* Paysafe Ltd.    93,455       298
* Shift4 Payments Inc. Class A     5,522       291
* Virgin Galactic Holdings Inc.    22,850       221
* Gates Industrial Corp. plc    11,839       188
  Schneider National Inc. Class B     6,211       162
  ADT Inc.    21,212       155
* Core & Main Inc. Class A     6,329       142
* Ardagh Metal Packaging SA    16,554       138
* Diversey Holdings Ltd.    11,155       107
* Hayward Holdings Inc.     5,887       105
* Loyalty Ventures Inc.     2,604        62
* GreenSky Inc. Class A     4,000        40
  Ardagh Group SA     2,011        38
 
10

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
* Legalzoom.com Inc.     2,377        37
        676,891
Real Estate (3.3%)
  Prologis Inc.    95,287    13,898
  American Tower Corp.    58,284    13,223
  Crown Castle International Corp.    55,792     9,294
  Equinix Inc.    11,571     8,212
  Public Storage    19,437     6,901
  Simon Property Group Inc.    42,221     5,808
  Digital Realty Trust Inc.    36,314     4,899
  Realty Income Corp.    73,213     4,839
  Welltower Inc.    56,331     4,692
  AvalonBay Communities Inc.    17,878     4,266
  SBA Communications Corp. Class A    14,035     4,258
* CBRE Group Inc. Class A    43,142     4,178
  Equity Residential    47,687     4,068
  Weyerhaeuser Co.    96,980     3,771
  Alexandria Real Estate Equities Inc.    19,763     3,743
  Extra Space Storage Inc.    16,957     3,190
* CoStar Group Inc.    50,655     3,090
  Mid-America Apartment Communities Inc.    14,890     3,047
  Invitation Homes Inc.    77,013     2,911
  Ventas Inc.    51,499     2,781
  Sun Communities Inc.    14,757     2,671
  Essex Property Trust Inc.     8,355     2,650
  Duke Realty Corp.    49,183     2,607
  Boston Properties Inc.    19,832     2,426
  VICI Properties Inc.    81,240     2,271
  UDR Inc.    39,876     2,188
  Healthpeak Properties Inc.    69,957     2,173
  Camden Property Trust    12,747     2,105
  WP Carey Inc.    23,882     1,848
  Iron Mountain Inc.    37,152     1,827
  Kimco Realty Corp.    75,211     1,770
  Equity LifeStyle Properties Inc.    22,459     1,676
* Host Hotels & Resorts Inc.    91,670     1,675
* Jones Lang LaSalle Inc.     6,546     1,612
  Medical Properties Trust Inc.    76,430     1,555
  CyrusOne Inc.    16,408     1,482
  Regency Centers Corp.    21,942     1,446
  American Homes 4 Rent Class A    36,777     1,398
  Rexford Industrial Realty Inc.    19,609     1,375
  CubeSmart    27,657     1,333
  Gaming and Leisure Properties Inc.    29,163     1,324
  Life Storage Inc.    10,462     1,324
* Zillow Group Inc. Class C    22,059     1,269
  Lamar Advertising Co. Class A    11,125     1,213
  Federal Realty Investment Trust    10,016     1,178
  Kilroy Realty Corp.    14,947     1,070
  Apartment Income REIT Corp.    19,231       993
  Vornado Realty Trust    22,760       985
  STORE Capital Corp.    31,746       975
  Brixmor Property Group Inc.    38,761       974
    Shares Market
Value•

($000)
  American Campus Communities Inc.    17,978       967
  National Retail Properties Inc.    22,542       961
  First Industrial Realty Trust Inc.    16,622       957
  Americold Realty Trust    34,104       911
  Omega Healthcare Investors Inc.    30,565       861
  Healthcare Trust of America Inc. Class A    27,769       816
  Cousins Properties Inc.    19,450       751
  Spirit Realty Capital Inc.    15,908       738
  Rayonier Inc.    18,101       719
  SL Green Realty Corp.     8,755       696
  Douglas Emmett Inc.    21,098       669
  Highwoods Properties Inc.    13,231       577
* Park Hotels & Resorts Inc.    30,322       571
* Howard Hughes Corp.     5,409       517
  Hudson Pacific Properties Inc.    19,096       504
* Opendoor Technologies Inc.    59,844       500
  EPR Properties     9,396       468
* Zillow Group Inc. Class A     7,670       439
  JBG SMITH Properties    15,673       418
* Orion Office REIT Inc.     7,111       121
        173,623
Technology (28.7%)
  Apple Inc. 1,996,546   329,670
  Microsoft Corp.   974,839   291,272
* Alphabet Inc. Class A    38,928   105,150
* Alphabet Inc. Class C    36,272    97,855
  NVIDIA Corp.   309,362    75,438
* Meta Platforms Inc. Class A   305,635    64,498
  Broadcom Inc.    51,631    30,330
* Adobe Inc.    61,715    28,863
* Advanced Micro Devices Inc.   211,111    26,039
* salesforce.com Inc.   120,863    25,445
  QUALCOMM Inc.   145,873    25,089
  Intel Corp.   522,688    24,932
  Texas Instruments Inc.   119,471    20,309
  Intuit Inc.    34,292    16,267
  Oracle Corp.   213,418    16,213
  Applied Materials Inc.   116,301    15,608
* ServiceNow Inc.    25,438    14,752
  International Business Machines Corp.   115,521    14,152
  Micron Technology Inc.   144,744    12,862
  Analog Devices Inc.    69,276    11,104
  Lam Research Corp.    18,213    10,224
* Palo Alto Networks Inc.    12,332     7,328
  Marvell Technology Inc.   105,997     7,243
  KLA Corp.    19,638     6,844
* Snowflake Inc. Class A    25,730     6,835
  NXP Semiconductors NV    34,314     6,524
* Autodesk Inc.    28,516     6,280
* Synopsys Inc.    19,641     6,136
  Roper Technologies Inc.    13,579     6,086
* Fortinet Inc.    17,333     5,972
  Cognizant Technology Solutions Corp. Class A    67,884     5,847
  Amphenol Corp. Class A    75,578     5,745
* Workday Inc. Class A    24,574     5,629
* Atlassian Corp. plc Class A    18,033     5,513
 
11

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
* Cadence Design Systems Inc.    35,573     5,387
* Datadog Inc. Class A    32,911     5,302
  HP Inc.   149,158     5,125
* Crowdstrike Holdings Inc. Class A    25,491     4,976
  Microchip Technology Inc.    70,511     4,959
* Match Group Inc.    36,547     4,075
  Corning Inc.    98,378     3,974
* Cloudflare Inc. Class A    33,360     3,884
* Twilio Inc. Class A    21,533     3,764
* Zoom Video Communications Inc. Class A    28,155     3,733
* ANSYS Inc.    11,268     3,653
* Twitter Inc.   100,873     3,586
* ON Semiconductor Corp.    54,692     3,424
  VMware Inc. Class A    28,815     3,381
* MongoDB Inc. Class A     8,202     3,133
* HubSpot Inc.     5,804     3,047
  CDW Corp.    17,510     3,020
* Okta Inc.    16,274     2,976
* DocuSign Inc. Class A    24,893     2,948
  Skyworks Solutions Inc.    21,290     2,942
* Gartner Inc.    10,321     2,894
* VeriSign Inc.    12,577     2,688
  Monolithic Power Systems Inc.     5,822     2,671
  Hewlett Packard Enterprise Co.   165,722     2,638
* Palantir Technologies Inc. Class A   214,217     2,538
  Teradyne Inc.    21,030     2,480
* Splunk Inc.    20,860     2,464
* Zscaler Inc.    10,061     2,406
  Entegris Inc.    17,462     2,278
  NetApp Inc.    28,900     2,265
* Tyler Technologies Inc.     5,228     2,239
* Akamai Technologies Inc.    20,626     2,233
* Paycom Software Inc.     6,582     2,233
  SS&C Technologies Holdings Inc.    29,043     2,177
  NortonLifeLock Inc.    71,124     2,061
* Unity Software Inc.    19,257     2,050
* Nuance Communications Inc.    36,912     2,049
* Western Digital Corp.    40,191     2,047
* DoorDash Inc. Class A    19,044     1,999
* Qorvo Inc.    14,364     1,965
* Pinterest Inc. Class A    73,065     1,954
  Leidos Holdings Inc.    18,249     1,858
* GoDaddy Inc. Class A    21,725     1,812
* Zendesk Inc.    15,414     1,798
* Dell Technologies Inc. Class C    35,061     1,787
  Citrix Systems Inc.    16,002     1,640
* F5 Inc.     7,795     1,566
* Wolfspeed Inc.    14,977     1,538
* PTC Inc.    13,624     1,516
* EPAM Systems Inc.     6,959     1,446
* Globant SA     5,195     1,423
* RingCentral Inc. Class A    10,543     1,379
  Amdocs Ltd.    16,838     1,325
* Aspen Technology Inc.     8,572     1,306
* Ceridian HCM Holding Inc.    16,793     1,224
* Avalara Inc.    10,976     1,141
* Coupa Software Inc.     9,397     1,137
    Shares Market
Value•

($000)
* IAC/InterActiveCorp.     9,842     1,129
* Dynatrace Inc.    25,280     1,123
* Black Knight Inc.    19,757     1,110
* DXC Technology Co.    32,493     1,106
  Jabil Inc.    19,092     1,104
  Concentrix Corp.     5,503     1,100
* Manhattan Associates Inc.     8,165     1,092
* Arrow Electronics Inc.     8,723     1,063
* Guidewire Software Inc.    10,846       956
* Five9 Inc.     8,638       950
* Pure Storage Inc. Class A    34,372       892
  Universal Display Corp.     5,589       866
* Dropbox Inc. Class A    38,094       864
* Anaplan Inc.    18,081       857
* CACI International Inc. Class A     2,981       834
* Elastic NV     9,611       833
* Clarivate plc    55,466       831
  Azenta Inc.     9,333       817
* Smartsheet Inc. Class A    15,006       798
* Nutanix Inc. Class A    26,856       717
* Teradata Corp.    14,126       706
  CDK Global Inc.    15,530       704
  Bentley Systems Inc. Class B    17,862       686
* Change Healthcare Inc.    31,901       683
  National Instruments Corp.    16,906       679
* NCR Corp.    16,537       670
  Science Applications International Corp.     7,612       668
* Cirrus Logic Inc.     7,441       646
  Dolby Laboratories Inc. Class A     8,329       626
* Wix.com Ltd.     6,827       625
* IPG Photonics Corp.     4,727       616
* Mandiant Inc.    30,658       607
  TD SYNNEX Corp.     5,391       549
  Vertiv Holdings Co. Class A    41,187       536
  Avnet Inc.    12,707       535
* Procore Technologies Inc.     7,862       513
* Kyndryl Holdings Inc.    29,168       463
* Alteryx Inc. Class A     7,408       462
  Pegasystems Inc.     5,173       451
* New Relic Inc.     6,634       439
* GLOBALFOUNDRIES Inc.     6,827       415
  Switch Inc. Class A    14,617       380
* Dun & Bradstreet Holdings Inc.    20,385       378
  Xerox Holdings Corp.    18,448       364
* nCino Inc.     7,176       330
  McAfee Corp.Class A    10,766       280
* Fastly Inc. Class A    13,576       253
* Jamf Holding Corp.     7,322       250
* Vimeo Inc.    18,358       238
* Duck Creek Technologies Inc.     9,227       217
* Everbridge Inc.     5,082       201
* DoubleVerify Holdings Inc.     6,958       192
* C3.ai Inc. Class A     7,939       178
* Allegro MicroSystems Inc.     4,902       141
*,1 Skillz Inc. Class A    41,958       130
* Thoughtworks Holding Inc.     5,685       130
* Paycor HCM Inc.     4,426       124
* Vroom Inc.    14,872        90
* Informatica Inc. Class A     4,430        89
* Datto Holding Corp.     2,716        64
  SolarWinds Corp.     4,414        60
 
12

 

Russell 1000 Index Fund
    Shares Market
Value•

($000)
* N-able Inc.     4,420        51
* Toast Inc. Class A        30         1
      1,523,030
Telecommunications (2.8%)
  Cisco Systems Inc.   546,519    30,479
  Verizon Communications Inc.   536,009    28,768
  Comcast Corp. Class A   589,514    27,566
  AT&T Inc.   922,195    21,847
* Charter Communications Inc. Class A    16,184     9,739
* T-Mobile US Inc.    76,287     9,399
  Motorola Solutions Inc.    21,544     4,749
* Arista Networks Inc.    31,148     3,823
* Liberty Broadband Corp. Class C    19,884     2,917
* Roku Inc.    15,060     2,101
  Juniper Networks Inc.    42,072     1,422
  Lumen Technologies Inc.   132,596     1,374
* Ciena Corp.    19,869     1,359
* DISH Network Corp. Class A    32,213     1,029
  Cable One Inc.       692       992
* Lumentum Holdings Inc.     9,251       915
* ViaSat Inc.     9,123       416
* Altice USA Inc. Class A    27,272       315
* CommScope Holding Co. Inc.    25,669       245
  Ubiquiti Inc.       819       208
* Liberty Broadband Corp. Class A     1,307       189
        149,852
Utilities (2.7%)
  NextEra Energy Inc.   253,376    19,832
  Duke Energy Corp.    99,378     9,978
  Southern Co.   136,572     8,846
  Dominion Energy Inc.   103,944     8,267
  Waste Management Inc.    54,452     7,863
  Sempra Energy (XNYS)    41,395     5,970
  American Electric Power Co. Inc.    64,474     5,844
  Exelon Corp.   126,389     5,379
  Xcel Energy Inc.    69,624     4,688
  Public Service Enterprise Group Inc.    65,253     4,230
  Consolidated Edison Inc.    45,840     3,932
  WEC Energy Group Inc.    40,846     3,712
  Eversource Energy    44,408     3,633
  American Water Works Co. Inc.    23,460     3,545
  Republic Services Inc. Class A    27,201     3,272
  Edison International    48,166     3,055
  DTE Energy Co.    24,912     3,029
  FirstEnergy Corp.    70,112     2,934
    Shares Market
Value•

($000)
  Ameren Corp.    32,863     2,825
  Entergy Corp.    25,833     2,718
  PPL Corp.    96,961     2,537
  CMS Energy Corp.    37,536     2,403
* PG&E Corp.   196,218     2,231
  CenterPoint Energy Inc.    76,880     2,103
  Constellation Energy Corp.    42,130     1,937
  Alliant Energy Corp.    32,437     1,894
  Evergy Inc.    29,554     1,844
  Atmos Energy Corp.    16,745     1,839
  AES Corp.    85,526     1,816
  NiSource Inc.    50,269     1,454
  Vistra Corp.    62,144     1,418
  Essential Utilities Inc.    30,015     1,414
  NRG Energy Inc.    31,495     1,192
  Pinnacle West Capital Corp.    14,628     1,036
  UGI Corp.    26,788     1,030
  OGE Energy Corp.    25,941       974
* Sunrun Inc.    26,582       725
  National Fuel Gas Co.    11,311       704
* Stericycle Inc.    11,952       697
  IDACORP Inc.     6,505       676
* Clean Harbors Inc.     6,561       626
  Brookfield Renewable Corp. Class A    16,573       619
  Hawaiian Electric Industries Inc.    13,968       572
  Avangrid Inc.     7,266       326
        145,619
Total Common Stocks (Cost $3,412,803) 5,311,063
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost $3,029)    30,288          3,028
Total Investments (100.0%) (Cost $3,415,832) 5,314,091
Other Assets and Liabilities—Net (0.0%) (578)
Net Assets (100%) 5,313,513
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,576,000.
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 Collateral of $1,672,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
13

 

Russell 1000 Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index March 2022 9 1,966 1
  
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

Russell 1000 Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,412,803) 5,311,063
Affiliated Issuers (Cost $3,029) 3,028
Total Investments in Securities 5,314,091
Investment in Vanguard 184
Cash Collateral Pledged—Futures Contracts 100
Receivables for Investment Securities Sold 18
Receivables for Accrued Income 6,606
Receivables for Capital Shares Issued 4
Total Assets 5,321,003
Liabilities  
Due to Custodian 5,446
Collateral for Securities on Loan 1,672
Payables for Capital Shares Redeemed 224
Payables to Vanguard 143
Variation Margin Payable—Futures Contracts 5
Total Liabilities 7,490
Net Assets 5,313,513
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 3,386,848
Total Distributable Earnings (Loss) 1,926,665
Net Assets 5,313,513
 
ETF Shares—Net Assets  
Applicable to 13,800,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,770,329
Net Asset Value Per Share—ETF Shares $200.75
 
Institutional Shares—Net Assets  
Applicable to 6,539,504 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,543,184
Net Asset Value Per Share—Institutional Shares $388.90
  
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

Russell 1000 Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 36,312
Interest2 5
Securities Lending—Net 54
Total Income 36,371
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 285
Management and Administrative—ETF Shares 832
Management and Administrative—Institutional Shares 692
Marketing and Distribution—ETF Shares 53
Marketing and Distribution—Institutional Shares 53
Custodian Fees 116
Shareholders’ Reports—ETF Shares 22
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 2,063
Net Investment Income 34,308
Realized Net Gain (Loss)  
Investment Securities Sold2,3 114,929
Futures Contracts (86)
Realized Net Gain (Loss) 114,843
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (376,686)
Futures Contracts (64)
Change in Unrealized Appreciation (Depreciation) (376,750)
Net Increase (Decrease) in Net Assets Resulting from Operations (227,599)
1 Dividends are net of foreign withholding taxes of $12,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, ($2,000), less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $123,560,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
16

 

Russell 1000 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 34,308   62,518
Realized Net Gain (Loss) 114,843   422,041
Change in Unrealized Appreciation (Depreciation) (376,750)   811,144
Net Increase (Decrease) in Net Assets Resulting from Operations (227,599)   1,295,703
Distributions      
ETF Shares (18,870)   (28,487)
Institutional Shares (18,638)   (33,459)
Total Distributions (37,508)   (61,946)
Capital Share Transactions      
ETF Shares 225,306   414,276
Institutional Shares (150,065)   (346,204)
Net Increase (Decrease) from Capital Share Transactions 75,241   68,072
Total Increase (Decrease) (189,866)   1,301,829
Net Assets      
Beginning of Period 5,503,379   4,201,550
End of Period 5,313,513   5,503,379
  
See accompanying Notes, which are an integral part of the Financial Statements.
17

 

Russell 1000 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $210.32 $161.36 $134.37 $133.57 $113.60 $99.81
Investment Operations            
Net Investment Income1 1.293 2.459 2.525 2.395 2.209 2.054
Net Realized and Unrealized Gain (Loss) on Investments (9.439) 48.925 27.028 .759 19.896 13.753
Total from Investment Operations (8.146) 51.384 29.553 3.154 22.105 15.807
Distributions            
Dividends from Net Investment Income (1.424) (2.424) (2.563) (2.354) (2.135) (2.017)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.424) (2.424) (2.563) (2.354) (2.135) (2.017)
Net Asset Value, End of Period $200.75 $210.32 $161.36 $134.37 $133.57 $113.60
Total Return -3.90% 32.14% 22.39% 2.45% 19.68% 16.02%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,770 $2,682 $1,678 $1,196 $1,008 $724
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 1.24% 1.34% 1.79% 1.85% 1.78% 1.94%
Portfolio Turnover Rate2 3% 6% 9% 6% 9% 11%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
18

 

Russell 1000 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $407.44 $312.59 $260.26 $258.75 $220.06 $193.36
Investment Operations            
Net Investment Income1 2.528 4.807 4.927 4.645 4.345 4.080
Net Realized and Unrealized Gain (Loss) on Investments (18.296) 94.766 52.362 1.483 38.573 26.609
Total from Investment Operations (15.768) 99.573 57.289 6.128 42.918 30.689
Distributions            
Dividends from Net Investment Income (2.772) (4.723) (4.959) (4.618) (4.228) (3.989)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (2.772) (4.723) (4.959) (4.618) (4.228) (3.989)
Net Asset Value, End of Period $388.90 $407.44 $312.59 $260.26 $258.75 $220.06
Total Return -3.90% 32.16% 22.45% 2.45% 19.72% 16.06%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,543 $2,822 $2,523 $2,323 $2,134 $2,014
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.25% 1.36% 1.81% 1.86% 1.82% 1.98%
Portfolio Turnover Rate2 3% 6% 9% 6% 9% 11%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
19

 

Russell 1000 Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
20

 

Russell 1000 Index Fund
During the six months ended February 28, 2022, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
21

 

Russell 1000 Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $184,000, representing less than 0.01% of the fund’s net assets and 0.07% 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 and derivatives. 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.
22

 

Russell 1000 Index Fund
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 5,311,025 38 — 5,311,063
Temporary Cash Investments 3,028 — — 3,028
Total 5,314,053 38 — 5,314,091
Derivative Financial Instruments         
Assets        
Futures Contracts1 1 — — 1
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 3,424,667
Gross Unrealized Appreciation 2,033,894
Gross Unrealized Depreciation (144,469)
Net Unrealized Appreciation (Depreciation) 1,889,425
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $90,347,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $418,701,000 of investment securities and sold $343,888,000 of investment securities, other than temporary cash investments. Purchases and sales include $249,701,000 and $204,642,000, 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 six months ended February 28, 2022, such purchases were $11,671,000 and sales were $5,080,000,
23

 

Russell 1000 Index Fund
resulting in net realized loss of $355,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 433,056 2,050   1,203,957 6,875
Issued in Lieu of Cash Distributions — —   — —
Redeemed (207,750) (1,000)   (789,681) (4,525)
Net Increase (Decrease)—ETF Shares 225,306 1,050   414,276 2,350
Institutional Shares          
Issued 211,494 506   416,311 1,158
Issued in Lieu of Cash Distributions 17,462 43   31,627 93
Redeemed (379,021) (935)   (794,142) (2,397)
Net Increase (Decrease)—Institutional Shares (150,065) (386)   (346,204) (1,146)
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
24

 

Russell 1000 Value Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 2.6%
Consumer Discretionary 9.3
Consumer Staples 7.6
Energy 6.7
Financials 20.9
Health Care 16.5
Industrials 13.1
Real Estate 4.8
Technology 7.9
Telecommunications 5.1
Utilities 5.5
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
25

 

Russell 1000 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (99.8%)
Basic Materials (2.6%)
  Newmont Corp.   356,442    23,596
  Air Products and Chemicals Inc.    98,487    23,272
  Freeport-McMoRan Inc.   461,178    21,652
  Dow Inc.   308,916    18,214
  Nucor Corp.   127,035    16,720
  International Flavors & Fragrances Inc.   113,060    15,037
  Albemarle Corp.    51,695    10,127
  LyondellBasell Industries NV Class A   102,383     9,955
  Mosaic Co.   166,166     8,712
  CF Industries Holdings Inc.    95,516     7,755
  International Paper Co.   173,210     7,540
  Eastman Chemical Co.    59,164     7,009
  Alcoa Corp.    83,620     6,300
  Reliance Steel & Aluminum Co.    27,496     5,248
  FMC Corp.    42,362     4,967
  Steel Dynamics Inc.    68,539     4,838
* Cleveland-Cliffs Inc.   204,535     4,573
  Celanese Corp. Class A    30,662     4,271
  Huntsman Corp.    90,654     3,666
  Royal Gold Inc.    29,245     3,546
  US Steel Corp.   118,230     3,217
  Olin Corp.    59,080     3,043
  Avery Dennison Corp.    17,264     3,042
  Valvoline Inc.    80,632     2,607
  Element Solutions Inc.   104,002     2,556
  Ecolab Inc.    13,467     2,374
* Univar Solutions Inc.    75,572     2,321
  Ashland Global Holdings Inc.    24,627     2,273
  Hexcel Corp.    37,573     2,175
  Timken Co.    29,223     1,916
  Fastenal Co.    29,538     1,520
  Westlake Corp.    11,064     1,220
  Chemours Co.    34,318       947
  NewMarket Corp.     2,957       940
* Sylvamo Corp.    16,036       560
  Southern Copper Corp.     2,985       207
        237,916
Consumer Discretionary (9.3%)
* Walt Disney Co.   766,766   113,834
  Walmart Inc.   638,608    86,314
  McDonald's Corp.   273,354    66,909
  Ford Motor Co. 1,743,826    30,622
    Shares Market
Value•

($000)
* General Motors Co.   611,357    28,563
  Activision Blizzard Inc.   343,958    28,033
  Target Corp.   119,890    23,950
  Electronic Arts Inc.   126,168    16,413
  Yum! Brands Inc.   119,369    14,632
* Dollar Tree Inc.    99,057    14,074
* AutoZone Inc.     7,343    13,683
* O'Reilly Automotive Inc.    20,613    13,383
* Aptiv plc    98,019    12,688
  Dollar General Corp.    59,410    11,783
* Southwest Airlines Co.   264,034    11,565
  Lennar Corp. Class A   117,845    10,592
  Yum China Holdings Inc.   174,801     9,093
  Best Buy Co. Inc.    83,696     8,088
  Omnicom Group Inc.    94,333     7,914
* Royal Caribbean Cruises Ltd.    96,690     7,805
* Carnival Corp.   379,590     7,717
  Paramount Global Class B   251,597     7,701
  MGM Resorts International   171,967     7,616
  Genuine Parts Co.    61,704     7,538
  Garmin Ltd.    67,450     7,449
  DR Horton Inc.    85,930     7,338
* CarMax Inc.    65,505     7,162
  Costco Wholesale Corp.    12,843     6,669
* Take-Two Interactive Software Inc.    40,898     6,625
* United Airlines Holdings Inc.   143,834     6,386
  Interpublic Group of Cos. Inc.   172,554     6,350
* Hilton Worldwide Holdings Inc.    39,882     5,937
  Fox Corp. Class A   140,485     5,877
  Advance Auto Parts Inc.    27,863     5,697
  LKQ Corp.   120,376     5,652
  Hasbro Inc.    56,649     5,498
* Liberty Media Corp.-Liberty Formula One Class C    88,520     5,376
  Whirlpool Corp.    26,490     5,332
* American Airlines Group Inc.   284,560     4,909
* Live Nation Entertainment Inc.    38,354     4,634
  Tapestry Inc.   112,360     4,596
* Capri Holdings Ltd.    64,690     4,382
  BorgWarner Inc. (XNYS)   106,786     4,379
  Service Corp. International    71,491     4,350
  Lear Corp.    26,715     4,203
  Newell Brands Inc.   170,193     4,042
26

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
  Lithia Motors Inc. Class A    11,793     4,019
* Liberty Media Corp.- Liberty SiriusXM Class C    76,823     3,866
  PulteGroup Inc.    77,563     3,852
  Aramark   103,690     3,832
* Discovery Inc. Class C   136,507     3,818
  News Corp. Class A   170,484     3,805
* Uber Technologies Inc.   104,754     3,774
  Kohl's Corp.    65,752     3,657
* Penn National Gaming Inc.    69,049     3,546
  New York Times Co. Class A    74,446     3,275
  Gentex Corp.   106,549     3,225
* Rivian Automotive Inc. Class A    46,882     3,167
* Norwegian Cruise Line Holdings Ltd.   161,684     3,151
  PVH Corp.    32,096     3,142
  Nexstar Media Group Inc. Class A    16,679     3,086
* Alaska Air Group Inc.    54,489     3,059
* Deckers Outdoor Corp.    10,547     3,044
  Dick's Sporting Goods Inc.    28,332     2,975
* Caesars Entertainment Inc.    34,987     2,946
  VF Corp.    49,965     2,899
  Marriott Vacations Worldwide Corp.    17,846     2,867
  Harley-Davidson Inc.    67,656     2,794
  Darden Restaurants Inc.    18,862     2,739
  Ralph Lauren Corp. Class A    20,567     2,716
  Nielsen Holdings plc   153,880     2,681
  Fox Corp. Class B    68,231     2,611
  Bath & Body Works Inc.    45,696     2,439
* Skechers USA Inc. Class A    52,291     2,404
1 Sirius XM Holdings Inc.   389,602     2,400
* NVR Inc.       472     2,340
  Domino's Pizza Inc.     5,274     2,279
  AMERCO     3,926     2,268
  Leggett & Platt Inc.    59,664     2,212
* Terminix Global Holdings Inc.    51,942     2,211
* Zynga Inc. Class A   239,623     2,176
* Wayfair Inc. Class A    15,195     2,141
*,1 Discovery Inc. Class A    75,948     2,130
* Hyatt Hotels Corp. Class A    21,624     2,100
* Boyd Gaming Corp.    29,430     2,088
* AutoNation Inc.    18,093     2,075
* JetBlue Airways Corp.   132,528     2,024
  Carter's Inc.    18,265     1,766
* Liberty Media Corp.- Liberty SiriusXM Class A    34,758     1,750
* SiteOne Landscape Supply Inc.     9,549     1,647
* Grand Canyon Education Inc.    18,217     1,582
  Columbia Sportswear Co.    16,845     1,562
  Toll Brothers Inc.    28,237     1,532
* Under Armour Inc. Class C    93,105     1,455
* Coty Inc. Class A   158,085     1,450
* Under Armour Inc. Class A    78,132     1,398
  Wyndham Hotels & Resorts Inc.    15,747     1,361
  Penske Automotive Group Inc.    13,796     1,356
  Gap Inc.    92,360     1,344
  Thor Industries Inc.    14,630     1,324
  Foot Locker Inc.    40,856     1,292
* Copa Holdings SA Class A    14,904     1,264
    Shares Market
Value•

($000)
  News Corp. Class B    53,694     1,204
* Ollie's Bargain Outlet Holdings Inc.    27,886     1,204
  Williams-Sonoma Inc.     7,971     1,155
* Planet Fitness Inc. Class A    12,076     1,022
  Hanesbrands Inc.    65,442     1,011
* Six Flags Entertainment Corp.    22,795       995
* Madison Square Garden Sports Corp.     5,545       959
  Polaris Inc.     7,712       937
  Qurate Retail Inc. Series A   158,131       871
* Victoria's Secret & Co.    14,133       758
* Driven Brands Holdings Inc.    23,703       696
* Bright Horizons Family Solutions Inc.     5,048       659
  Lennar Corp. Class B     8,130       614
* Liberty Media Corp.- Liberty Formula One Class A    10,649       598
  Travel + Leisure Co.    10,513       589
* Figs Inc. Class A    33,970       558
* QuantumScape Corp. Class A    29,566       477
* Chegg Inc.    14,578       456
* TripAdvisor Inc.    16,694       425
* Petco Health & Wellness Co. Inc. Class A    23,496       412
* Burlington Stores Inc.     1,768       399
  Paramount Global Class A    11,416       389
  H&R Block Inc.    15,224       378
* frontdoor Inc.     9,720       292
  Rollins Inc.     6,422       210
* Leslie's Inc.     9,638       205
* Nordstrom Inc.     8,310       172
* Mister Car Wash Inc.     9,698       155
  World Wrestling Entertainment Inc. Class A     2,562       152
        841,221
Consumer Staples (7.6%)
  Procter & Gamble Co. 1,072,142   167,136
  Philip Morris International Inc.   693,104    70,052
  CVS Health Corp.   585,799    60,718
  Mondelez International Inc. Class A   620,850    40,653
  Coca-Cola Co.   508,635    31,657
  Archer-Daniels-Midland Co.   247,430    19,411
  Altria Group Inc.   366,831    18,815
  General Mills Inc.   271,925    18,336
  PepsiCo Inc.   104,599    17,127
  Corteva Inc.   323,850    16,850
  McKesson Corp.    58,349    16,044
  Kroger Co.   328,606    15,379
  Constellation Brands Inc. Class A    69,206    14,922
  Walgreens Boots Alliance Inc.   319,328    14,718
  Colgate-Palmolive Co.   174,439    13,423
  Kraft Heinz Co.   309,339    12,132
  Keurig Dr Pepper Inc.   310,983    12,026
  Tyson Foods Inc. Class A   127,809    11,843
  McCormick & Co. Inc.   111,321    10,594
  Church & Dwight Co. Inc.   103,034    10,082
  Kimberly-Clark Corp.    74,573     9,706
 
27

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
  AmerisourceBergen Corp. Class A    66,229     9,440
  Conagra Brands Inc.   207,086     7,242
  Bunge Ltd.    61,266     6,405
  J M Smucker Co.    46,374     6,249
  Hormel Foods Corp.   124,985     5,954
* Darling Ingredients Inc.    68,515     4,966
  Molson Coors Beverage Co. Class B    78,550     4,099
  Kellogg Co.    61,539     3,935
  Campbell Soup Co.    86,444     3,887
* US Foods Holding Corp    99,297     3,882
  Casey's General Stores Inc.    16,428     3,090
  Lamb Weston Holdings Inc.    45,858     3,046
* Post Holdings Inc.    25,885     2,722
  Brown-Forman Corp. Class B    41,365     2,698
  Ingredion Inc.    29,898     2,653
  Flowers Foods Inc.    83,847     2,298
  Albertsons Cos. Inc. Class A    69,939     2,039
  Hershey Co.     9,091     1,839
  Spectrum Brands Holdings Inc.    19,168     1,778
  Clorox Co.    10,684     1,558
* Hain Celestial Group Inc.    39,260     1,427
* Herbalife Nutrition Ltd.    37,271     1,326
* Grocery Outlet Holding Corp.    40,961     1,139
* Monster Beverage Corp.    12,288     1,037
  Reynolds Consumer Products Inc.    22,863       681
  Brown-Forman Corp. Class A     9,672       590
* Olaplex Holdings Inc.    27,798       466
  Seaboard Corp.       103       398
* Pilgrim's Pride Corp.    11,763       277
*,1 Beyond Meat Inc.     4,056       190
        688,935
Energy (6.7%)
  Exxon Mobil Corp. 1,885,650   147,873
  Chevron Corp.   861,598   124,070
  ConocoPhillips   587,005    55,683
  EOG Resources Inc.   228,801    26,294
  Schlumberger NV   622,404    24,423
  Marathon Petroleum Corp.   273,142    21,269
  Devon Energy Corp.   300,201    17,877
  Williams Cos. Inc.   540,418    16,904
  Phillips 66   194,290    16,367
  Valero Energy Corp.   181,412    15,150
  Kinder Morgan Inc.   864,930    15,050
  Occidental Petroleum Corp.   327,320    14,314
  ONEOK Inc.   197,767    12,914
  Pioneer Natural Resources Co.    53,346    12,782
  Halliburton Co.   372,390    12,486
  Hess Corp.   114,504    11,572
  Baker Hughes Co. Class A   327,803     9,631
  Marathon Oil Corp.   345,832     7,802
  Coterra Energy Inc.   295,395     6,891
  Targa Resources Corp.   100,820     6,591
  Diamondback Energy Inc.    42,011     5,802
  APA Corp.   160,328     5,712
* First Solar Inc.    46,753     3,520
  EQT Corp.   137,026     3,171
  NOV Inc.   174,558     2,994
    Shares Market
Value•

($000)
  DTE Midstream LLC    43,480     2,309
  HollyFrontier Corp.    67,188     2,046
  Antero Midstream Corp.   153,302     1,539
*,1 ChargePoint Holdings Inc.   100,682     1,462
  Continental Resources Inc.    25,409     1,408
* Shoals Technologies Group Inc. Class A    46,632       737
* Fluence Energy Inc.     6,611        89
        606,732
Financials (20.8%)
* Berkshire Hathaway Inc. Class B   817,087   262,653
  JPMorgan Chase & Co. 1,307,750   185,439
  Bank of America Corp. 3,207,619   141,777
  Wells Fargo & Co. 1,780,808    95,042
  Charles Schwab Corp.   669,278    56,527
  Morgan Stanley   595,775    54,061
  Citigroup Inc.   883,595    52,335
  BlackRock Inc.    63,590    47,304
  Goldman Sachs Group Inc.   136,898    46,722
  Chubb Ltd.   190,706    38,835
  CME Group Inc.   159,639    37,759
  PNC Financial Services Group Inc.   189,012    37,661
  Truist Financial Corp.   597,715    37,190
  US Bancorp   597,448    33,780
  Intercontinental Exchange Inc.   247,740    31,740
  Marsh & McLennan Cos. Inc.   199,304    30,974
  S&P Global Inc.    78,387    29,450
  Progressive Corp.   260,326    27,576
  American International Group Inc.   369,365    22,620
  MetLife Inc.   316,480    21,378
  Prudential Financial Inc.   168,534    18,819
  Travelers Cos. Inc.   109,409    18,800
  Bank of New York Mellon Corp.   336,903    17,906
  Aflac Inc.   290,053    17,719
  Allstate Corp.   127,313    15,578
* SVB Financial Group    25,165    15,250
  KKR & Co. Inc.   248,306    14,928
  Fifth Third Bancorp   301,651    14,431
  Arthur J Gallagher & Co.    91,085    14,409
  State Street Corp.   162,230    13,843
  First Republic Bank    79,212    13,724
  Willis Towers Watson plc    55,210    12,273
  Aon plc Class A (XNYS)    40,013    11,689
  Hartford Financial Services Group Inc.   150,981    10,490
  M&T Bank Corp.    56,963    10,380
  Regions Financial Corp.   428,965    10,377
  Northern Trust Corp.    90,984    10,363
  KeyCorp   412,621    10,344
  Huntington Bancshares Inc.   636,731     9,882
  T Rowe Price Group Inc.    66,721     9,645
  Signature Bank    26,398     9,104
  Nasdaq Inc.    51,851     8,874
  Raymond James Financial Inc.    78,151     8,569
  Principal Financial Group Inc.   116,795     8,250
  Citizens Financial Group Inc.   157,164     8,239
  Cincinnati Financial Corp.    66,749     8,196
 
28

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
  Ally Financial Inc.   153,657     7,668
  Discover Financial Services    58,561     7,229
  Ameriprise Financial Inc.    22,086     6,621
  Brown & Brown Inc.    97,892     6,618
* Markel Corp.     5,007     6,223
* Arch Capital Group Ltd.   125,053     5,891
  Loews Corp.    94,223     5,780
  Fidelity National Financial Inc.   120,624     5,747
  First Horizon Corp.   243,324     5,713
  W R Berkley Corp.    61,503     5,554
  Comerica Inc.    57,910     5,530
  Cboe Global Markets Inc.    47,027     5,516
  East West Bancorp Inc.    62,515     5,474
  Equitable Holdings Inc.   158,202     5,167
  MSCI Inc. Class A    10,291     5,163
  Zions Bancorp NA    67,797     4,806
  Webster Financial Corp.    79,465     4,785
  Lincoln National Corp.    68,027     4,586
  Globe Life Inc.    44,740     4,517
  Assurant Inc.    25,445     4,318
  Annaly Capital Management Inc.   618,564     4,305
  First Citizens BancShares Inc. Class A     5,317     4,192
  American Financial Group Inc.    30,039     4,067
  Tradeweb Markets Inc. Class A    46,825     3,956
  People's United Financial Inc.   186,789     3,938
  Everest Re Group Ltd.    13,200     3,937
  Franklin Resources Inc.   129,559     3,852
  Apollo Global Management Inc.    58,507     3,818
  Cullen/Frost Bankers Inc.    25,259     3,555
  Commerce Bancshares Inc.    48,048     3,449
  Jefferies Financial Group Inc.    96,821     3,441
  Carlyle Group Inc.    73,041     3,423
* Alleghany Corp.     5,149     3,408
  Pinnacle Financial Partners Inc.    33,358     3,372
  Voya Financial Inc.    49,893     3,360
  Reinsurance Group of America Inc.    30,126     3,340
  Stifel Financial Corp.    45,182     3,321
  Old Republic International Corp.   123,490     3,254
  Popular Inc.    35,269     3,239
  First American Financial Corp.    48,114     3,226
  Invesco Ltd.   147,459     3,132
  Synovus Financial Corp.    58,930     3,103
  Starwood Property Trust Inc.   130,129     3,102
  AGNC Investment Corp.   233,251     3,011
  Prosperity Bancshares Inc.    39,075     2,910
  SEI Investments Co.    48,547     2,844
  PacWest Bancorp    52,589     2,599
  Bank OZK    55,026     2,587
  OneMain Holdings Inc.    50,720     2,586
  Unum Group    91,748     2,562
  Wintrust Financial Corp.    25,443     2,528
  Janus Henderson Group plc    74,481     2,500
    Shares Market
Value•

($000)
  Affiliated Managers Group Inc.    18,017     2,493
  SLM Corp.   126,397     2,490
  Interactive Brokers Group Inc. Class A    35,805     2,370
  New York Community Bancorp Inc.   200,288     2,311
  Primerica Inc.    17,521     2,276
  Hanover Insurance Group Inc.    15,962     2,227
  MGIC Investment Corp.   145,729     2,212
  Evercore Inc. Class A    16,506     2,096
  FNB Corp.   150,845     2,026
  New Residential Investment Corp.   194,677     2,021
  Western Alliance Bancorp    21,355     2,002
  Umpqua Holdings Corp.    93,322     1,992
  Assured Guaranty Ltd.    30,674     1,901
  Axis Capital Holdings Ltd.    34,582     1,889
* Brighthouse Financial Inc.    36,135     1,888
* Credit Acceptance Corp.     3,345     1,840
  First Hawaiian Inc.    59,032     1,716
  RenaissanceRe Holdings Ltd.    11,224     1,692
  Lazard Ltd. Class A    45,967     1,590
  Bank of Hawaii Corp.    18,326     1,579
  Kemper Corp.    27,706     1,481
  Virtu Financial Inc. Class A    39,507     1,386
  White Mountains Insurance Group Ltd.     1,295     1,360
  BOK Financial Corp.    12,912     1,326
  Moody's Corp.     3,847     1,239
  FactSet Research Systems Inc.     2,428       986
  Broadridge Financial Solutions Inc.     5,002       731
  Ares Management Corp. Class A     8,106       657
  Mercury General Corp.    11,175       615
  Erie Indemnity Co. Class A     3,386       593
  CNA Financial Corp.    12,419       568
*,1 Lemonade Inc.    16,606       423
  TFS Financial Corp.    22,180       381
  Morningstar Inc.     1,052       295
  UWM Holdings Corp.    16,211        70
      1,884,450
Health Care (16.5%)
  Johnson & Johnson 1,173,638   193,146
  UnitedHealth Group Inc.   389,953   185,567
  Pfizer Inc. 2,484,912   116,642
  Thermo Fisher Scientific Inc.   159,164    86,585
  Merck & Co. Inc. 1,127,798    86,367
  Danaher Corp.   267,532    73,413
  Bristol-Myers Squibb Co.   994,418    68,287
  Medtronic plc   597,432    62,724
  Anthem Inc.   108,927    49,219
  Abbott Laboratories   386,916    46,670
  Becton Dickinson and Co.   127,149    34,493
  Cigna Corp.   144,649    34,395
  Gilead Sciences Inc.   558,300    33,721
* Boston Scientific Corp.   630,038    27,829
  Humana Inc.    57,487    24,968
* Regeneron Pharmaceuticals Inc.    39,782    24,600
  Stryker Corp.    88,683    23,355
* Centene Corp.   256,747    21,212
 
29

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
  Eli Lilly & Co.    79,290    19,819
  Baxter International Inc.   223,317    18,975
* Vertex Pharmaceuticals Inc.    68,064    15,656
* Biogen Inc.    64,918    13,698
  Cerner Corp.   131,624    12,274
  Zimmer Biomet Holdings Inc.    92,440    11,757
* Laboratory Corp. of America Holdings    42,875    11,630
  Amgen Inc.    44,763    10,138
  PerkinElmer Inc.    56,415    10,133
* IQVIA Holdings Inc.    42,780     9,845
  Cooper Cos. Inc.    21,599     8,834
* Hologic Inc.   112,227     7,987
  STERIS plc    32,790     7,870
* Horizon Therapeutics plc    78,862     7,190
  Quest Diagnostics Inc.    54,367     7,137
* Molina Healthcare Inc.    21,878     6,714
* BioMarin Pharmaceutical Inc.    80,431     6,283
* Catalent Inc.    58,409     5,960
* Bio-Rad Laboratories Inc. Class A     9,505     5,950
  Viatris Inc.   533,137     5,870
  Teleflex Inc.    17,244     5,799
* Elanco Animal Health Inc. (XNYS)   197,216     5,603
* Henry Schein Inc.    61,840     5,342
  DENTSPLY SIRONA Inc.    96,471     5,223
* Teladoc Health Inc.    66,814     5,072
* QIAGEN NV   100,213     4,980
  Universal Health Services Inc. Class B    31,225     4,494
  Organon & Co.   111,970     4,180
* Jazz Pharmaceuticals plc    26,573     3,652
* Envista Holdings Corp.    71,525     3,433
* United Therapeutics Corp.    19,562     3,251
* Syneos Health Inc.    40,063     3,173
  Cardinal Health Inc.    49,943     2,697
* Globus Medical Inc. Class A    33,736     2,372
  Royalty Pharma plc Class A    59,806     2,348
  Chemed Corp.     4,813     2,302
* Acadia Healthcare Co. Inc.    39,769     2,255
* Integra LifeSciences Holdings Corp.    32,277     2,164
* ICU Medical Inc.     9,112     2,157
  Perrigo Co. plc    60,200     2,138
  Zoetis Inc.    10,882     2,107
  Premier Inc. Class A    54,912     1,974
* Quidel Corp.    16,609     1,757
  Agilent Technologies Inc.    13,458     1,754
  ResMed Inc.     6,263     1,545
  Encompass Health Corp.    19,553     1,291
* DaVita Inc.     8,975     1,012
* Masimo Corp.     5,875       925
* Incyte Corp.    12,561       858
* Seagen Inc.     6,611       852
* Sage Therapeutics Inc.    23,335       849
* Nektar Therapeutics Class A    78,481       804
* Iovance Biotherapeutics Inc.    48,433       759
* Ultragenyx Pharmaceutical Inc.     7,943       535
* Certara Inc.    20,501       519
* Exact Sciences Corp.     5,462       426
* Exelixis Inc.    19,850       408
    Shares Market
Value•

($000)
* Charles River Laboratories International Inc.     1,392       405
* Signify Health Inc. Class A    27,980       393
* Amedisys Inc.     1,957       314
* Mirati Therapeutics Inc.     3,562       314
* Repligen Corp.     1,543       304
* Tandem Diabetes Care Inc.     2,054       231
* Natera Inc.     2,996       197
* Ionis Pharmaceuticals Inc.     4,478       149
* Adaptive Biotechnologies Corp.     8,342       120
* Oak Street Health Inc.     6,510       114
* agilon health Inc.     5,638       114
* Definitive Healthcare Corp. Class A     3,234        75
      1,490,653
Industrials (13.0%)
  Raytheon Technologies Corp.   666,683    68,468
* Boeing Co.   238,036    48,878
  General Electric Co.   485,727    46,392
  Honeywell International Inc.   242,355    45,987
  CSX Corp.   984,878    33,397
  3M Co.   219,888    32,686
  Capital One Financial Corp.   187,575    28,750
  Norfolk Southern Corp.   108,133    27,738
  Eaton Corp. plc   176,930    27,298
  Northrop Grumman Corp.    60,527    26,761
  General Dynamics Corp.   110,788    25,974
  Union Pacific Corp.   105,264    25,890
  Fidelity National Information Services Inc.   270,614    25,771
  Emerson Electric Co.   265,107    24,634
* Fiserv Inc.   248,850    24,305
  L3Harris Technologies Inc.    86,853    21,914
  Johnson Controls International plc   318,548    20,693
  American Express Co.   102,136    19,869
  DuPont de Nemours Inc.   232,737    18,007
  Accenture plc Class A    55,541    17,552
  Global Payments Inc.   128,005    17,073
  Otis Worldwide Corp.   189,155    14,816
  Parker-Hannifin Corp.    47,721    14,144
  PACCAR Inc.   151,496    13,909
  FedEx Corp.    61,621    13,696
  AMETEK Inc.   102,135    13,256
  Cummins Inc.    63,652    12,993
  Stanley Black & Decker Inc.    71,725    11,670
* TransDigm Group Inc.    16,247    10,830
  Vulcan Materials Co.    58,560    10,626
  Martin Marietta Materials Inc.    27,599    10,471
  Dover Corp.    63,961    10,033
  Fortive Corp.   145,871     9,445
  Carrier Global Corp.   206,372     9,262
  Ingersoll Rand Inc.   180,114     9,099
  Ball Corp.    99,440     8,924
* Teledyne Technologies Inc.    20,420     8,768
  Synchrony Financial   197,467     8,448
  Trane Technologies plc    54,386     8,372
  PPG Industries Inc.    60,806     8,115
  Amcor plc   690,018     8,025
* Trimble Inc.   111,506     7,778
  Westinghouse Air Brake Technologies Corp.    80,131     7,438
 
30

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
* Keysight Technologies Inc.    46,227     7,275
  Equifax Inc.    33,115     7,230
  Textron Inc.    97,808     7,153
  Jacobs Engineering Group Inc.    57,566     7,081
  Quanta Services Inc.    62,154     6,771
* United Rentals Inc.    20,919     6,728
  IDEX Corp.    33,579     6,444
* FleetCor Technologies Inc.    27,308     6,395
* Builders FirstSource Inc.    84,176     6,264
  Caterpillar Inc.    33,072     6,204
  Masco Corp.   108,889     6,102
  Packaging Corp. of America    41,458     6,102
  Lockheed Martin Corp.    13,933     6,044
  Crown Holdings Inc.    48,127     5,904
  Howmet Aerospace Inc.   159,085     5,714
  Rockwell Automation Inc.    20,308     5,414
  Westrock Co.   117,753     5,331
  Snap-on Inc.    23,657     4,972
  Nordson Corp.    21,238     4,810
  Verisk Analytics Inc. Class A    25,566     4,534
  CH Robinson Worldwide Inc.    46,394     4,485
  AECOM    60,992     4,432
  Hubbell Inc. Class B    23,903     4,261
  Jack Henry & Associates Inc.    24,088     4,259
  Pentair plc    73,310     4,245
  Owens Corning    44,190     4,118
  A O Smith Corp.    59,519     4,082
* Sensata Technologies Holding plc    68,641     3,975
  Watsco Inc.    14,427     3,939
  Knight-Swift Transportation Holdings Inc.    72,211     3,934
  Lennox International Inc.    14,512     3,874
  Regal Rexnord Corp.    23,840     3,823
  Fortune Brands Home & Security Inc.    43,570     3,786
* Berry Global Group Inc.    59,996     3,639
  Huntington Ingalls Industries Inc.    17,419     3,560
  AptarGroup Inc.    28,568     3,482
* Mohawk Industries Inc.    24,334     3,426
  Carlisle Cos. Inc.    14,173     3,365
  Oshkosh Corp.    30,250     3,359
  ITT Inc.    38,200     3,357
  Genpact Ltd.    78,155     3,270
  Illinois Tool Works Inc.    14,325     3,099
  Woodward Inc.    24,838     3,096
  Automatic Data Processing Inc.    15,000     3,067
* Middleby Corp.    17,145     3,045
  AGCO Corp.    25,061     3,011
  HEICO Corp. Class A    24,167     2,971
  Brunswick Corp.    30,205     2,885
  Acuity Brands Inc.    15,527     2,832
  Littelfuse Inc.    10,217     2,638
  ManpowerGroup Inc.    24,481     2,602
  Donaldson Co. Inc.    47,367     2,571
  Curtiss-Wright Corp.    17,282     2,549
  nVent Electric plc    75,107     2,548
  Sonoco Products Co.    43,223     2,538
  Louisiana-Pacific Corp.    35,242     2,536
  TransUnion    27,353     2,483
    Shares Market
Value•

($000)
  Xylem Inc.    27,172     2,417
  Eagle Materials Inc.    17,603     2,409
  MDU Resources Group Inc.    89,840     2,405
  Western Union Co.   130,735     2,377
  Crane Co.    22,210     2,245
  Paychex Inc.    18,721     2,229
* FTI Consulting Inc.    15,077     2,201
* Colfax Corp.    53,058     2,133
  Expeditors International of Washington Inc.    20,330     2,101
* Axalta Coating Systems Ltd.    76,782     2,076
  Graco Inc.    28,761     2,073
  Valmont Industries Inc.     9,435     2,042
  RPM International Inc.    23,952     2,026
  Sealed Air Corp.    29,890     2,006
  Air Lease Corp. Class A    47,939     2,002
  HEICO Corp.    13,463     1,986
* MasTec Inc.    25,160     1,982
  Graphic Packaging Holding Co.    91,758     1,888
  Ryder System Inc.    23,821     1,878
  Flowserve Corp.    58,715     1,783
* Kirby Corp.    27,060     1,763
  Spirit AeroSystems Holdings Inc. Class A    34,188     1,709
  MSA Safety Inc.    11,739     1,633
  WW Grainger Inc.     3,411     1,627
  Silgan Holdings Inc.    37,289     1,562
* Mercury Systems Inc.    25,690     1,547
  Alliance Data Systems Corp.    22,431     1,513
  MSC Industrial Direct Co. Inc. Class A    19,259     1,492
  Old Dominion Freight Line Inc.     3,735     1,173
* WEX Inc.     6,865     1,157
  Allegion plc    10,001     1,145
  Armstrong World Industries Inc.    11,286       998
* Paysafe Ltd.   301,016       960
  Cintas Corp.     2,467       926
* Euronet Worldwide Inc.     6,948       891
  Vontier Corp.    36,511       887
* TuSimple Holdings Inc. Class A    49,745       867
  JB Hunt Transport Services Inc.     3,918       795
  Robert Half International Inc.     5,864       705
* AZEK Co. Inc. Class A    23,335       688
  MKS Instruments Inc.     4,376       659
* Gates Industrial Corp. plc    40,732       645
  Schneider National Inc. Class B    22,494       588
* GXO Logistics Inc.     6,679       561
  ADT Inc.    76,474       559
  BWX Technologies Inc.    10,233       547
* TopBuild Corp.     2,514       540
* Waters Corp.     1,685       534
* XPO Logistics Inc.     6,871       499
  Allison Transmission Holdings Inc.    11,398       455
* Ardagh Metal Packaging SA    53,614       445
* Hayward Holdings Inc.    19,888       356
  Landstar System Inc.     2,120       327
 
31

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
* Core & Main Inc. Class A    11,910       268
* Coherent Inc.       947       250
  Toro Co.     2,128       200
* Loyalty Ventures Inc.     7,730       185
  Ardagh Group SA     8,833       165
* StoneCo. Ltd. Class A    11,642       131
* Diversey Holdings Ltd.    11,425       109
* Virgin Galactic Holdings Inc.    11,043       107
* Legalzoom.com Inc.     3,497        55
      1,180,251
Real Estate (4.8%)
  Prologis Inc.   328,043    47,845
  Digital Realty Trust Inc.   125,002    16,865
  Realty Income Corp.   252,508    16,688
  Welltower Inc.   193,684    16,132
  AvalonBay Communities Inc.    62,239    14,850
  Equity Residential   163,583    13,954
* CBRE Group Inc. Class A   141,019    13,658
  Weyerhaeuser Co.   333,080    12,950
  Alexandria Real Estate Equities Inc.    68,298    12,936
  SBA Communications Corp. Class A    40,282    12,221
  Mid-America Apartment Communities Inc.    51,349    10,506
  Invitation Homes Inc.   266,996    10,092
  Extra Space Storage Inc.    53,140     9,998
  Ventas Inc.   177,432     9,581
  Sun Communities Inc.    50,744     9,185
  Essex Property Trust Inc.    28,884     9,161
  Duke Realty Corp.   169,511     8,984
  Boston Properties Inc.    69,893     8,549
  Equinix Inc.    11,505     8,165
  VICI Properties Inc.   278,686     7,792
  UDR Inc.   137,224     7,529
  Healthpeak Properties Inc.   239,484     7,438
  Camden Property Trust    44,109     7,283
  WP Carey Inc.    82,347     6,374
  Kimco Realty Corp.   255,915     6,022
* Host Hotels & Resorts Inc.   316,982     5,791
  Public Storage    15,807     5,612
* Jones Lang LaSalle Inc.    22,604     5,566
  Medical Properties Trust Inc.   259,365     5,275
  CyrusOne Inc.    55,956     5,056
  Regency Centers Corp.    75,303     4,962
  Rexford Industrial Realty Inc.    67,856     4,759
  American Homes 4 Rent Class A   124,510     4,733
  Life Storage Inc.    36,519     4,623
  CubeSmart    95,063     4,583
  Gaming and Leisure Properties Inc.    98,431     4,470
  Federal Realty Investment Trust    34,754     4,086
  Kilroy Realty Corp.    52,486     3,759
  Apartment Income REIT Corp.    69,833     3,604
  First Industrial Realty Trust Inc.    58,031     3,341
  Vornado Realty Trust    76,729     3,321
  Brixmor Property Group Inc.   131,278     3,298
    Shares Market
Value•

($000)
  National Retail Properties Inc.    76,057     3,241
  American Campus Communities Inc.    59,443     3,199
  STORE Capital Corp.   103,627     3,183
  Americold Realty Trust   116,604     3,116
  Omega Healthcare Investors Inc.   107,761     3,036
  Healthcare Trust of America Inc. Class A    97,249     2,858
  Equity LifeStyle Properties Inc.    36,243     2,704
  Simon Property Group Inc.    19,182     2,639
  Cousins Properties Inc.    66,107     2,554
  Rayonier Inc.    63,015     2,502
  Spirit Realty Capital Inc.    53,823     2,496
* CoStar Group Inc.    39,865     2,432
  SL Green Realty Corp.    29,479     2,344
  Douglas Emmett Inc.    72,560     2,300
  Highwoods Properties Inc.    46,283     2,018
* Park Hotels & Resorts Inc.   106,175     2,000
  Iron Mountain Inc.    37,909     1,864
* Howard Hughes Corp.    18,516     1,770
  Hudson Pacific Properties Inc.    66,329     1,751
  EPR Properties    33,409     1,664
  JBG SMITH Properties    54,060     1,442
* Opendoor Technologies Inc.   162,344     1,356
  Lamar Advertising Co. Class A     5,020       547
* Orion Office REIT Inc.    23,330       397
        435,010
Technology (7.9%)
  Intel Corp. 1,800,137    85,867
* salesforce.com Inc.   336,192    70,778
* Alphabet Inc. Class A    18,380    49,647
* Alphabet Inc. Class C    17,599    47,479
  International Business Machines Corp.   348,603    42,707
  Micron Technology Inc.   429,671    38,181
  Texas Instruments Inc.   156,591    26,619
  Marvell Technology Inc.   364,597    24,913
  Analog Devices Inc.   143,640    23,024
  Roper Technologies Inc.    46,649    20,909
  Cognizant Technology Solutions Corp. Class A   234,107    20,164
  NXP Semiconductors NV    81,589    15,512
  HP Inc.   334,953    11,509
* Twitter Inc.   309,371    10,998
* Twilio Inc. Class A    53,399     9,334
* VeriSign Inc.    43,371     9,269
  Hewlett Packard Enterprise Co.   580,491     9,241
  Corning Inc.   224,304     9,062
* Akamai Technologies Inc.    71,329     7,722
* Synopsys Inc.    24,451     7,638
  SS&C Technologies Holdings Inc.    99,975     7,495
* ANSYS Inc.    22,643     7,341
  VMware Inc. Class A    62,109     7,287
* Western Digital Corp.   138,527     7,057
* Qorvo Inc.    48,948     6,695
  Leidos Holdings Inc.    62,313     6,346
  Amphenol Corp. Class A    75,041     5,704
* GoDaddy Inc. Class A    66,788     5,571
* ON Semiconductor Corp.    86,117     5,392
  Skyworks Solutions Inc.    38,838     5,366
 
32

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
* F5 Inc.    26,613     5,345
* Wolfspeed Inc.    51,353     5,275
  NortonLifeLock Inc.   179,819     5,211
  Amdocs Ltd.    57,709     4,542
* Nuance Communications Inc.    77,319     4,293
* Ceridian HCM Holding Inc.    57,217     4,172
* IAC/InterActiveCorp.    34,381     3,946
* DXC Technology Co.   112,065     3,814
* Arrow Electronics Inc.    31,043     3,783
* Black Knight Inc.    67,289     3,781
  Oracle Corp.    49,620     3,770
  Concentrix Corp.    18,850     3,768
  Citrix Systems Inc.    35,178     3,606
* Guidewire Software Inc.    37,374     3,294
* Dell Technologies Inc. Class C    62,294     3,174
* CACI International Inc. Class A    10,426     2,917
* Clarivate plc   192,944     2,890
  NetApp Inc.    33,610     2,634
  Microchip Technology Inc.    37,091     2,609
* Change Healthcare Inc.   110,324     2,363
  Science Applications International Corp.    25,790     2,262
  National Instruments Corp.    56,326     2,261
* Cirrus Logic Inc.    25,831     2,244
  Dolby Laboratories Inc. Class A    28,860     2,167
* IPG Photonics Corp.    15,040     1,960
  CDK Global Inc.    43,089     1,954
  TD SYNNEX Corp.    18,971     1,932
  Avnet Inc.    45,225     1,903
* Manhattan Associates Inc.    13,541     1,810
* NCR Corp.    38,198     1,548
* Kyndryl Holdings Inc.    96,181     1,525
* Mandiant Inc.    76,394     1,513
* Snowflake Inc. Class A     5,279     1,402
* Dun & Bradstreet Holdings Inc.    73,638     1,367
  Xerox Holdings Corp.    65,814     1,297
* Tyler Technologies Inc.     2,267       971
* Fastly Inc. Class A    47,497       883
* DoorDash Inc. Class A     8,266       867
  Jabil Inc.    14,537       840
* Cloudflare Inc. Class A     6,358       740
* Duck Creek Technologies Inc.    27,203       639
*,1 GLOBALFOUNDRIES Inc.    10,243       623
  Azenta Inc.     6,348       556
* Procore Technologies Inc.     6,789       443
* C3.ai Inc. Class A    16,528       371
* Teradata Corp.     6,919       346
* Vroom Inc.    45,002       274
* N-able Inc.    22,648       262
  McAfee Corp.Class A     9,392       244
* Datto Holding Corp.    10,176       239
* Thoughtworks Holding Inc.     9,767       223
  SolarWinds Corp.    14,398       195
* Dynatrace Inc.     3,292       146
  Pegasystems Inc.     1,496       130
* Pure Storage Inc. Class A     4,674       121
* Vimeo Inc.     9,135       119
* Jamf Holding Corp.     3,084       105
* Paycor HCM Inc.     3,470        97
* Informatica Inc. Class A     2,425        49
        716,642
    Shares Market
Value•

($000)
Telecommunications (5.1%)
  Cisco Systems Inc. 1,882,352   104,979
  Verizon Communications Inc. 1,845,820    99,065
  Comcast Corp. Class A 2,029,448    94,897
  AT&T Inc. 3,178,602    75,301
* T-Mobile US Inc.   262,501    32,343
  Motorola Solutions Inc.    74,153    16,345
* Liberty Broadband Corp. Class C    61,441     9,013
  Juniper Networks Inc.   143,158     4,837
  Lumen Technologies Inc.   450,269     4,665
* Ciena Corp.    67,966     4,650
* DISH Network Corp. Class A   111,789     3,573
* Lumentum Holdings Inc.    31,536     3,118
* Charter Communications Inc. Class A     3,024     1,820
  Cable One Inc.     1,153     1,652
* Liberty Broadband Corp. Class A    11,002     1,593
* Arista Networks Inc.    11,318     1,389
* ViaSat Inc.    30,342     1,385
* Altice USA Inc. Class A    27,599       319
  Ubiquiti Inc.       546       139
        461,083
Utilities (5.5%)
  NextEra Energy Inc.   872,516    68,292
  Duke Energy Corp.   342,904    34,431
  Southern Co.   471,447    30,536
  Dominion Energy Inc.   358,473    28,509
  Waste Management Inc.   158,005    22,816
  Sempra Energy (XNYS)   142,422    20,540
  American Electric Power Co. Inc.   222,303    20,152
  Exelon Corp.   435,540    18,537
  Xcel Energy Inc.   239,276    16,110
  Public Service Enterprise Group Inc.   223,915    14,516
  Consolidated Edison Inc.   157,902    13,543
  WEC Energy Group Inc.   140,257    12,747
  Eversource Energy   152,925    12,509
  American Water Works Co. Inc.    81,071    12,249
  Republic Services Inc. Class A    92,996    11,186
  Edison International   166,438    10,555
  DTE Energy Co.    85,717    10,422
  FirstEnergy Corp.   243,010    10,170
  Ameren Corp.   113,595     9,763
  Entergy Corp.    89,031     9,367
  PPL Corp.   332,445     8,700
  CMS Energy Corp.   128,132     8,202
* PG&E Corp.   671,928     7,640
  CenterPoint Energy Inc.   264,615     7,237
  Constellation Energy Corp.   145,813     6,704
  Alliant Energy Corp.   110,121     6,431
  Evergy Inc.   102,402     6,391
  Atmos Energy Corp.    57,223     6,284
  AES Corp.   291,952     6,198
  NiSource Inc.   174,991     5,062
  Vistra Corp.   212,000     4,838
  Essential Utilities Inc.   101,943     4,803
  UGI Corp.    93,172     3,581
  Pinnacle West Capital Corp.    50,430     3,572
  OGE Energy Corp.    88,675     3,330
  National Fuel Gas Co.    39,235     2,442
 
33

 

Russell 1000 Value Index Fund
    Shares Market
Value•

($000)
* Sunrun Inc.    89,014     2,428
* Stericycle Inc.    40,964     2,391
  IDACORP Inc.    22,122     2,300
  NRG Energy Inc.    59,714     2,260
* Clean Harbors Inc.    22,625     2,159
  Hawaiian Electric Industries Inc.    47,674     1,954
  Brookfield Renewable Corp. Class A    43,491     1,625
  Avangrid Inc.    25,580     1,148
        494,630
Total Common Stocks (Cost $7,991,750) 9,037,523
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost $7,670)    76,707          7,670
Total Investments (99.9%) (Cost $7,999,420) 9,045,193
Other Assets and Liabilities—Net (0.1%) 8,992
Net Assets (100%) 9,054,185
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,579,000.
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 Collateral of $4,785,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index March 2022 46 10,046 (330)
    
Over-the-Counter Total Return Swaps
Reference Entity  Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
International Business Machines Corp. 8/31/22 BANA 6,003 (0.070) 80 —
1 Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  BANA—Bank of America, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
34

 

Russell 1000 Value Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $7,991,750) 9,037,523
Affiliated Issuers (Cost $7,670) 7,670
Total Investments in Securities 9,045,193
Investment in Vanguard 295
Cash Collateral Pledged—Futures Contracts 390
Receivables for Investment Securities Sold 793
Receivables for Accrued Income 16,745
Receivables for Capital Shares Issued 1,340
Unrealized Appreciation—Over-the-Counter Swap Contracts 80
Total Assets 9,064,836
Liabilities  
Due to Custodian 4,779
Payables for Investment Securities Purchased 543
Collateral for Securities on Loan 4,785
Payables for Capital Shares Redeemed 271
Payables to Vanguard 251
Variation Margin Payable—Futures Contracts 22
Total Liabilities 10,651
Net Assets 9,054,185
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 8,133,065
Total Distributable Earnings (Loss) 921,120
Net Assets 9,054,185
 
ETF Shares—Net Assets  
Applicable to 102,277,615 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		7,270,514
Net Asset Value Per Share—ETF Shares $71.09
 
Institutional Shares—Net Assets  
Applicable to 6,424,106 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,783,671
Net Asset Value Per Share—Institutional Shares $277.65
  
See accompanying Notes, which are an integral part of the Financial Statements.
35

 

Russell 1000 Value Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 84,048
Interest2 6
Securities Lending—Net 83
Total Income 84,137
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 470
Management and Administrative—ETF Shares 2,055
Management and Administrative—Institutional Shares 434
Marketing and Distribution—ETF Shares 128
Marketing and Distribution—Institutional Shares 47
Custodian Fees 164
Shareholders’ Reports—ETF Shares 45
Shareholders’ Reports—Institutional Shares 2
Trustees’ Fees and Expenses 2
Other Expenses 8
Total Expenses 3,355
Net Investment Income 80,782
Realized Net Gain (Loss)  
Investment Securities Sold2,3 260,079
Futures Contracts (12)
Swap Contracts (511)
Realized Net Gain (Loss) 259,556
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (323,603)
Futures Contracts (679)
Swap Contracts 55
Change in Unrealized Appreciation (Depreciation) (324,227)
Net Increase (Decrease) in Net Assets Resulting from Operations 16,111
1 Dividends are net of foreign withholding taxes of $27,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,000, ($4,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $264,671,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

Russell 1000 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 80,782   113,681
Realized Net Gain (Loss) 259,556   347,876
Change in Unrealized Appreciation (Depreciation) (324,227)   1,158,191
Net Increase (Decrease) in Net Assets Resulting from Operations 16,111   1,619,748
Distributions      
ETF Shares (67,938)   (75,646)
Institutional Shares (17,228)   (27,447)
Total Distributions (85,166)   (103,093)
Capital Share Transactions      
ETF Shares 758,931   2,819,628
Institutional Shares 22,513   152,685
Net Increase (Decrease) from Capital Share Transactions 781,444   2,972,313
Total Increase (Decrease) 712,389   4,488,968
Net Assets      
Beginning of Period 8,341,796   3,852,828
End of Period 9,054,185   8,341,796
  
See accompanying Notes, which are an integral part of the Financial Statements.
37

 

Russell 1000 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
20211 20201 20191 20181 20171
Net Asset Value, Beginning of Period $71.54 $53.52 $54.61 $55.60 $50.66 $46.57
Investment Operations            
Net Investment Income2 .668 1.282 1.408 1.357 1.261 1.219
Net Realized and Unrealized Gain (Loss) on Investments (.411) 17.932 (1.056) (1.054) 4.918 4.054
Total from Investment Operations .257 19.214 .352 .303 6.179 5.273
Distributions            
Dividends from Net Investment Income (.707) (1.194) (1.442) (1.293) (1.239) (1.183)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.707) (1.194) (1.442) (1.293) (1.239) (1.183)
Net Asset Value, End of Period $71.09 $71.54 $53.52 $54.61 $55.60 $50.66
Total Return 0.36% 36.32% 0.75% 0.60% 12.36% 11.45%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7,271 $6,569 $2,646 $1,914 $1,487 $1,153
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 1.88% 1.99% 2.65% 2.51% 2.35% 2.48%
Portfolio Turnover Rate3 2% 19% 24% 17% 16% 22%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021.
2 Calculated based on average shares outstanding.
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.
38

 

Russell 1000 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $279.40 $209.00 $213.25 $217.14 $197.85 $181.86
Investment Operations            
Net Investment Income1 2.619 5.002 5.594 5.294 4.978 4.850
Net Realized and Unrealized Gain (Loss) on Investments (1.599) 70.071 (4.226) (4.087) 19.227 15.821
Total from Investment Operations 1.020 75.073 1.368 1.207 24.205 20.671
Distributions            
Dividends from Net Investment Income (2.770) (4.673) (5.618) (5.097) (4.915) (4.681)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (2.770) (4.673) (5.618) (5.097) (4.915) (4.681)
Net Asset Value, End of Period $277.65 $279.40 $209.00 $213.25 $217.14 $197.85
Total Return 0.37% 36.35% 0.81% 0.61% 12.39% 11.49%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,784 $1,773 $1,207 $1,889 $1,603 $1,541
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.88% 2.01% 2.64% 2.52% 2.39% 2.52%
Portfolio Turnover Rate2 2% 19% 24% 17% 16% 22%
The expense ratio and net investment income ratio for the current period have been annualized.
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

 

Russell 1000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
40

 

Russell 1000 Value Index Fund
During the six months ended February 28, 2022, 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.
3.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties 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. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts 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. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 28, 2022, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is
41

 

Russell 1000 Value Index Fund
generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
42

 

Russell 1000 Value Index Fund
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $295,000, representing less than 0.01% of the fund’s net assets and 0.12% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
43

 

Russell 1000 Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 9,037,358 165 — 9,037,523
Temporary Cash Investments 7,670 — — 7,670
Total 9,045,028 165 — 9,045,193
Derivative Financial Instruments         
Assets        
Swap Contracts — 80 — 80
Liabilities        
Futures Contracts1 330 — — 330
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 8,011,360
Gross Unrealized Appreciation 1,290,559
Gross Unrealized Depreciation (257,056)
Net Unrealized Appreciation (Depreciation) 1,033,503
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $402,211,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $1,669,306,000 of investment securities and sold $875,482,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,341,374,000 and $712,741,000, 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 six months ended February 28, 2022, such purchases were $69,382,000 and sales were $21,459,000, resulting in net realized loss of $2,121,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
44

 

Russell 1000 Value Index Fund
F. During the year ended August 31, 2021, the fund’s ETF Shares underwent a 2-for-1 share split. Each shareholder of record as of the close of business on April 19, 2021, received 2 shares for every 1 ETF Share held on that date. The split had no effect on net assets or total return. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 1,472,792 20,401   3,870,717 58,327
Issued in Lieu of Cash Distributions — —   — —
Redeemed (713,861) (9,950)   (1,051,089) (15,950)
Net Increase (Decrease)—ETF Shares 758,931 10,451   2,819,628 42,377
Institutional Shares          
Issued 181,738 650   565,635 2,234
Issued in Lieu of Cash Distributions 15,132 55   24,296 102
Redeemed (174,357) (626)   (437,246) (1,764)
Net Increase (Decrease)—Institutional Shares 22,513 79   152,685 572
1 2021 shares adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021.
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
45

 

Russell 1000 Growth Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 0.6%
Consumer Discretionary 21.3
Consumer Staples 3.0
Energy 0.6
Financials 2.2
Health Care 8.5
Industrials 12.4
Real Estate 1.8
Technology 48.9
Telecommunications 0.6
Utilities 0.1
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
46

 

Russell 1000 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (99.9%)
Basic Materials (0.6%)
  Ecolab Inc.   111,256     19,610
  Fastenal Co.   257,397     13,246
  Freeport-McMoRan Inc.   218,856     10,275
  Avery Dennison Corp.    22,601      3,982
  Scotts Miracle-Gro Co.    20,560      2,880
  Celanese Corp. Class A    19,836      2,763
  Southern Copper Corp.    38,988      2,705
  FMC Corp.    15,467      1,813
  LyondellBasell Industries NV Class A    16,647      1,619
  Dow Inc.    27,301      1,610
  Steel Dynamics Inc.    17,382      1,227
  Chemours Co.    43,229      1,193
  Westlake Corp.     3,200        353
  Olin Corp.     5,210        268
          63,544
Consumer Discretionary (21.2%)
* Amazon.com Inc.   220,318    676,654
* Tesla Inc.   410,454    357,271
  Home Depot Inc.   539,860    170,504
  Costco Wholesale Corp.   209,869    108,974
* Netflix Inc.   219,253     86,500
  NIKE Inc. Class B   628,942     85,882
  Lowe's Cos. Inc.   351,820     77,773
  Starbucks Corp.   598,837     54,967
* Booking Holdings Inc.    20,768     45,113
  TJX Cos. Inc.   612,538     40,489
  Estee Lauder Cos. Inc. Class A   116,342     34,476
* Uber Technologies Inc.   701,349     25,270
* Marriott International Inc. Class A   136,891     23,291
  Target Corp.   110,586     22,092
* Chipotle Mexican Grill Inc. Class A    14,238     21,689
* Trade Desk Inc. Class A   220,634     18,824
* Lululemon Athletica Inc.    57,974     18,548
  eBay Inc.   317,943     17,356
  McDonald's Corp.    67,377     16,492
  Ross Stores Inc.   177,586     16,230
* Expedia Group Inc.    73,380     14,391
* Hilton Worldwide Holdings Inc.    93,507     13,919
* Copart Inc.   106,455     13,081
* Delta Air Lines Inc.   320,496     12,794
  Tractor Supply Co.    57,710     11,761
* Spotify Technology SA    69,513     10,857
    Shares Market
Value•

($000)
  Dollar General Corp.    50,689     10,054
* Ulta Beauty Inc.    26,791     10,033
* Etsy Inc.    64,056      9,922
  Pool Corp.    19,754      9,059
* Las Vegas Sands Corp.   168,499      7,222
* Burlington Stores Inc.    31,788      7,181
* Walt Disney Co.    47,381      7,034
* O'Reilly Automotive Inc.    10,305      6,690
  Darden Restaurants Inc.    44,877      6,517
  VF Corp.   106,062      6,154
* Carvana Co. Class A    39,700      5,974
  DR Horton Inc.    68,767      5,873
* Lyft Inc. Class A   148,272      5,774
  Domino's Pizza Inc.    12,618      5,454
* Caesars Entertainment Inc.    64,181      5,403
  Vail Resorts Inc.    20,215      5,267
* NVR Inc.     1,060      5,256
* Floor & Decor Holdings Inc. Class A    51,700      4,944
* Wynn Resorts Ltd.    53,951      4,668
* Five Below Inc.    28,255      4,623
  Churchill Downs Inc.    18,769      4,521
* Mattel Inc.   177,730      4,440
* AutoZone Inc.     2,248      4,189
  Williams-Sonoma Inc.    28,422      4,117
* GameStop Corp. Class A    32,511      4,010
* Peloton Interactive Inc. Class A   136,678      3,972
  Bath & Body Works Inc.    71,305      3,806
* DraftKings Inc. Class A   154,910      3,668
* RH     8,968      3,604
  Rollins Inc.   106,288      3,468
* Live Nation Entertainment Inc.    27,199      3,286
* Aptiv plc    25,162      3,257
* Bright Horizons Family Solutions Inc.    24,676      3,224
* Wayfair Inc. Class A    21,716      3,059
  Tempur Sealy International Inc.    90,121      2,975
  Best Buy Co. Inc.    28,238      2,729
* YETI Holdings Inc.    43,567      2,682
  Choice Hotels International Inc.    17,794      2,569
  Wyndham Hotels & Resorts Inc.    29,578      2,556
* IAA Inc.    68,701      2,524
* Planet Fitness Inc. Class A    29,309      2,480
47

 

Russell 1000 Growth Index Fund
    Shares Market
Value•

($000)
  Polaris Inc.    20,271      2,463
* Zynga Inc. Class A   242,202      2,199
  Wendy's Co.    90,875      2,066
* SiteOne Landscape Supply Inc.    11,751      2,026
* Take-Two Interactive Software Inc.    11,625      1,883
  PulteGroup Inc.    36,569      1,816
  H&R Block Inc.    71,598      1,776
* Sabre Corp.   161,639      1,767
* Chegg Inc.    55,862      1,747
  Hanesbrands Inc.   105,671      1,633
  Travel + Leisure Co.    28,858      1,617
  Yum! Brands Inc.    12,746      1,562
*,1 QuantumScape Corp. Class A    88,538      1,429
* Leslie's Inc.    59,834      1,275
  Toll Brothers Inc.    23,286      1,263
* Victoria's Secret & Co.    22,665      1,216
*,1 Rivian Automotive Inc. Class A    17,978      1,215
  World Wrestling Entertainment Inc. Class A    19,505      1,156
* Playtika Holding Corp.    52,205      1,075
  Thor Industries Inc.    11,132      1,007
* Nordstrom Inc.    47,614        987
* frontdoor Inc.    29,839        897
  Yum China Holdings Inc.    17,181        894
* TripAdvisor Inc.    30,743        782
* CarMax Inc.     6,842        748
* Six Flags Entertainment Corp.    14,866        649
* Boyd Gaming Corp.     8,745        620
* Madison Square Garden Sports Corp.     3,450        597
  Tapestry Inc.    14,097        577
* Deckers Outdoor Corp.     1,807        522
* Mister Car Wash Inc.    30,782        493
  Lithia Motors Inc. Class A     1,255        428
* Skechers USA Inc. Class A     7,442        342
  Nexstar Media Group Inc. Class A     1,329        246
* Penn National Gaming Inc.     4,687        241
* Figs Inc. Class A    12,606        207
  Columbia Sportswear Co.     1,188        110
* Petco Health & Wellness Co. Inc. Class A     2,245         39
       2,241,006
Consumer Staples (3.0%)
  PepsiCo Inc.   582,099     95,313
  Coca-Cola Co. 1,391,377     86,599
  Altria Group Inc.   522,130     26,780
  Sysco Corp.   259,464     22,599
  Colgate-Palmolive Co.   224,478     17,274
* Monster Beverage Corp.   174,780     14,751
  Hershey Co.    63,899     12,924
  Kimberly-Clark Corp.    85,415     11,117
  Clorox Co.    50,804      7,407
  Kellogg Co.    56,828      3,634
  McKesson Corp.    11,205      3,081
  Brown-Forman Corp. Class B    46,162      3,011
* Freshpet Inc.    20,644      1,966
    Shares Market
Value•

($000)
* Boston Beer Co. Inc. Class A     4,637      1,778
  Lamb Weston Holdings Inc.    22,207      1,475
*,1 Beyond Meat Inc.    25,546      1,195
  Brown-Forman Corp. Class A    11,993        732
  Church & Dwight Co. Inc.     6,544        640
* Herbalife Nutrition Ltd.     8,839        315
* Darling Ingredients Inc.     4,074        295
* Pilgrim's Pride Corp.     9,786        231
* Olaplex Holdings Inc.    10,154        170
         313,287
Energy (0.6%)
  Cheniere Energy Inc.   119,176     15,839
  Pioneer Natural Resources Co.    48,298     11,572
* Enphase Energy Inc.    67,254     11,211
* Plug Power Inc.   259,830      6,571
  Diamondback Energy Inc.    43,609      6,022
  EOG Resources Inc.    35,509      4,081
  Texas Pacific Land Corp.     2,970      3,531
  Occidental Petroleum Corp.    54,800      2,396
  Coterra Energy Inc.    65,247      1,522
  Hess Corp.     9,788        989
  Halliburton Co.    24,091        808
  New Fortress Energy Inc. Class A    13,397        370
  Continental Resources Inc.     3,205        178
* Fluence Energy Inc.     6,892         93
          65,183
Financials (2.2%)
  Blackstone Inc.   344,641     43,931
  S&P Global Inc.    86,599     32,535
  Moody's Corp.    77,952     25,103
  Aon plc Class A (XNYS)    65,405     19,107
  MSCI Inc. Class A    28,936     14,517
  Discover Financial Services    81,986     10,120
  Ameriprise Financial Inc.    31,598      9,473
  Apollo Global Management Inc.   119,842      7,821
  Broadridge Financial Solutions Inc.    52,940      7,740
  LPL Financial Holdings Inc.    40,054      7,248
  MarketAxess Holdings Inc.    19,002      7,248
  FactSet Research Systems Inc.    16,504      6,702
  T Rowe Price Group Inc.    37,943      5,485
  Ares Management Corp. Class A    63,470      5,147
  Marsh & McLennan Cos. Inc.    30,520      4,743
* Upstart Holdings Inc.    22,925      3,622
  Goldman Sachs Group Inc.     9,744      3,326
  Morningstar Inc.    10,897      3,058
  Western Alliance Bancorp    26,855      2,517
* Arch Capital Group Ltd.    44,627      2,102
  Citizens Financial Group Inc.    38,315      2,009
  RenaissanceRe Holdings Ltd.    10,116      1,525
 
48

 

Russell 1000 Growth Index Fund
    Shares Market
Value•

($000)
  Erie Indemnity Co. Class A     8,645      1,514
* Markel Corp.     1,167      1,451
  Everest Re Group Ltd.     4,273      1,274
  Rocket Cos. Inc. Class A    68,873        889
  Lincoln National Corp.    13,092        883
* Alleghany Corp.       746        494
  Raymond James Financial Inc.     4,473        490
  Brown & Brown Inc.     7,218        488
  Synovus Financial Corp.     5,220        275
* Credit Acceptance Corp.       334        184
  UWM Holdings Corp.    27,335        119
* Lemonade Inc.     1,891         48
* GoHealth Inc. Class A    20,424         46
         233,234
Health Care (8.5%)
  AbbVie Inc.   896,951    132,542
  Eli Lilly & Co.   339,938     84,968
  Amgen Inc.   236,897     53,652
  Abbott Laboratories   440,775     53,166
* Intuitive Surgical Inc.   180,046     52,273
  Zoetis Inc.   228,195     44,190
* Edwards Lifesciences Corp.   314,033     35,288
  HCA Healthcare Inc.   123,970     31,031
* Moderna Inc.   171,894     26,403
* Illumina Inc.    74,095     24,199
* IDEXX Laboratories Inc.    42,973     22,877
* Align Technology Inc.    39,857     20,385
* DexCom Inc.    48,943     20,258
  Stryker Corp.    75,462     19,873
  Agilent Technologies Inc.   138,530     18,059
  ResMed Inc.    65,747     16,223
* Veeva Systems Inc. Class A    69,374     15,890
  UnitedHealth Group Inc.    32,952     15,681
  West Pharmaceutical Services Inc.    37,299     14,438
* Vertex Pharmaceuticals Inc.    51,675     11,886
* IQVIA Holdings Inc.    47,697     10,976
* Avantor Inc.   306,394     10,629
  Thermo Fisher Scientific Inc.    17,887      9,731
* Alnylam Pharmaceuticals Inc.    60,470      9,545
* Insulet Corp.    33,546      8,879
  Bio-Techne Corp.    19,924      8,356
* Seagen Inc.    60,771      7,832
* ABIOMED Inc.    22,413      6,965
* Charles River Laboratories International Inc.    23,601      6,872
* Exact Sciences Corp.    80,449      6,280
* Incyte Corp.    80,522      5,500
* Repligen Corp.    26,165      5,147
  Cardinal Health Inc.    84,395      4,558
  Danaher Corp.    16,552      4,542
* Neurocrine Biosciences Inc.    47,753      4,292
* Novocure Ltd.    52,131      4,267
* Penumbra Inc.    17,760      3,938
  Royalty Pharma plc Class A    98,147      3,853
  Bruker Corp.    52,067      3,664
* 10X Genomics Inc. Class A    42,646      3,474
    Shares Market
Value•

($000)
* Regeneron Pharmaceuticals Inc.     5,450      3,370
* Tandem Diabetes Care Inc.    29,335      3,304
* Sarepta Therapeutics Inc.    41,769      3,200
* Novavax Inc.    38,289      3,192
* Guardant Health Inc.    45,068      2,987
* Masimo Corp.    18,487      2,911
* Exelixis Inc.   134,979      2,771
* DaVita Inc.    23,817      2,686
* Natera Inc.    38,961      2,562
* Amedisys Inc.    14,298      2,291
* Ionis Pharmaceuticals Inc.    65,917      2,200
* Maravai LifeSciences Holdings Inc. Class A    55,748      2,178
* Catalent Inc.    20,336      2,075
  Encompass Health Corp.    28,623      1,890
* Horizon Therapeutics plc    20,634      1,881
* Ultragenyx Pharmaceutical Inc.    24,436      1,645
* agilon health Inc.    79,579      1,609
* Mirati Therapeutics Inc.    17,758      1,568
  Teleflex Inc.     4,313      1,451
* Molina Healthcare Inc.     4,556      1,398
  STERIS plc     5,730      1,375
* Sotera Health Co.    50,135      1,096
  Chemed Corp.     1,954        935
* Oak Street Health Inc.    44,746        783
* Certara Inc.    30,562        774
* Adaptive Biotechnologies Corp.    49,412        713
* Syneos Health Inc.     6,663        528
*,1 CureVac NV    26,903        453
* Iovance Biotherapeutics Inc.    22,623        354
* Globus Medical Inc. Class A     1,880        132
* Definitive Healthcare Corp. Class A     4,347        100
         896,994
Industrials (12.4%)
  Visa Inc. Class A   859,009    185,649
  Mastercard Inc. Class A   443,988    160,200
  Accenture plc Class A   259,560     82,026
  United Parcel Service Inc. Class B   367,221     77,271
* PayPal Holdings Inc.   596,486     66,765
  Deere & Co.   141,358     50,892
  Union Pacific Corp.   206,109     50,693
  Lockheed Martin Corp.   109,972     47,706
  Caterpillar Inc.   236,462     44,356
  Automatic Data Processing Inc.   198,838     40,650
  American Express Co.   203,152     39,521
  Sherwin-Williams Co.   122,105     32,130
* Block Inc. (XNYS)   243,505     31,047
  Illinois Tool Works Inc.   143,297     31,001
  Paychex Inc.   142,486     16,964
* Mettler-Toledo International Inc.    11,529     16,241
  Cintas Corp.    41,536     15,589
  Old Dominion Freight Line Inc.    47,713     14,983
  Honeywell International Inc.    76,454     14,507
  FedEx Corp.    53,996     12,002
 
49

 

Russell 1000 Growth Index Fund
    Shares Market
Value•

($000)
* Zebra Technologies Corp. Class A    27,086     11,196
* Bill.Com Holdings Inc.    46,645     11,096
* Generac Holdings Inc.    31,164      9,831
  Rockwell Automation Inc.    35,682      9,512
  Carrier Global Corp.   205,422      9,219
  WW Grainger Inc.    19,256      9,186
  Verisk Analytics Inc. Class A    51,389      9,113
  Trane Technologies plc    58,842      9,058
* Waters Corp.    28,491      9,024
  JB Hunt Transport Services Inc.    37,996      7,711
  PPG Industries Inc.    50,830      6,783
* Keysight Technologies Inc.    41,050      6,460
  Expeditors International of Washington Inc.    62,463      6,456
  3M Co.    43,087      6,405
* Fair Isaac Corp.    13,441      6,333
  TransUnion    66,709      6,055
  Cognex Corp.    87,163      5,889
  Robert Half International Inc.    47,975      5,771
  Booz Allen Hamilton Holding Corp. Class A    67,327      5,433
* Trex Co. Inc.    58,175      5,343
  Xylem Inc.    59,465      5,289
  Equifax Inc.    23,222      5,070
* TransDigm Group Inc.     7,492      4,994
  Toro Co.    50,462      4,734
* Axon Enterprise Inc.    33,057      4,636
  Ball Corp.    47,373      4,251
* Paylocity Holding Corp.    19,990      4,247
* United Rentals Inc.    12,764      4,105
  Allegion plc    34,971      4,005
  Graco Inc.    53,378      3,848
  Lincoln Electric Holdings Inc.    29,412      3,749
  MKS Instruments Inc.    23,841      3,590
  Advanced Drainage Systems Inc.    30,482      3,558
* GXO Logistics Inc.    42,331      3,553
  Parker-Hannifin Corp.    11,004      3,261
  RPM International Inc.    37,967      3,211
* XPO Logistics Inc.    42,331      3,077
* TopBuild Corp.    13,818      2,966
* Coherent Inc.    11,124      2,940
  Northrop Grumman Corp.     6,647      2,939
  Sealed Air Corp.    40,257      2,702
  Landstar System Inc.    17,208      2,657
* WEX Inc.    15,079      2,541
  Carlisle Cos. Inc.    10,190      2,419
* Euronet Worldwide Inc.    18,279      2,344
  Synchrony Financial    53,018      2,268
* FleetCor Technologies Inc.     9,153      2,144
* Fiserv Inc.    20,586      2,011
  BWX Technologies Inc.    33,969      1,815
  HEICO Corp. Class A    14,692      1,806
  Jack Henry & Associates Inc.     9,977      1,764
  Allison Transmission Holdings Inc.    41,155      1,644
  Fortune Brands Home & Security Inc.    18,013      1,565
* Middleby Corp.     8,310      1,476
  CH Robinson Worldwide Inc.    13,211      1,277
* StoneCo. Ltd. Class A   104,901      1,179
    Shares Market
Value•

($000)
  Nordson Corp.     5,183      1,174
* Shift4 Payments Inc. Class A    22,058      1,161
  Regal Rexnord Corp.     7,140      1,145
  Vontier Corp.    46,866      1,139
  Armstrong World Industries Inc.    11,751      1,039
  Western Union Co.    51,405        935
  Crown Holdings Inc.     7,521        923
* AZEK Co. Inc. Class A    30,585        902
  Graphic Packaging Holding Co.    41,124        846
  HEICO Corp.     5,711        842
*,1 Virgin Galactic Holdings Inc.    83,137        805
  Spirit AeroSystems Holdings Inc. Class A    15,787        789
  MSA Safety Inc.     5,019        698
  Howmet Aerospace Inc.    14,610        525
* Axalta Coating Systems Ltd.    18,912        511
  Brunswick Corp.     4,741        453
  AGCO Corp.     2,929        352
* Core & Main Inc. Class A    14,684        330
  Donaldson Co. Inc.     5,278        286
* Diversey Holdings Ltd.    29,663        284
  Louisiana-Pacific Corp.     3,560        256
  Genpact Ltd.     4,351        182
* GreenSky Inc. Class A    15,633        155
* TuSimple Holdings Inc. Class A     7,809        136
* Legalzoom.com Inc.     5,258         82
       1,311,652
Real Estate (1.8%)
  American Tower Corp.   228,776     51,902
  Crown Castle International Corp.   218,021     36,320
  Equinix Inc.    32,173     22,834
  Public Storage    58,572     20,794
  Simon Property Group Inc.   143,781     19,779
* CoStar Group Inc.   153,548      9,368
  Iron Mountain Inc.   102,923      5,062
* Zillow Group Inc. Class C    85,146      4,898
  Lamar Advertising Co. Class A    38,304      4,178
  Equity LifeStyle Properties Inc.    46,975      3,505
  SBA Communications Corp. Class A     9,319      2,827
* Zillow Group Inc. Class A    30,662      1,756
  Extra Space Storage Inc.     5,485      1,032
* CBRE Group Inc. Class A     8,823        855
* Opendoor Technologies Inc.    45,785        382
         185,492
Technology (48.9%)
  Apple Inc. 7,835,910  1,293,865
  Microsoft Corp. 3,825,744  1,143,094
* Alphabet Inc. Class A   131,589    355,440
* Alphabet Inc. Class C   122,515    330,523
  NVIDIA Corp. 1,213,745    295,972
* Meta Platforms Inc. Class A 1,199,386    253,106
  Broadcom Inc.   202,709    119,079
* Adobe Inc.   242,431    113,380
 
50

 

Russell 1000 Growth Index Fund
    Shares Market
Value•

($000)
* Advanced Micro Devices Inc.   829,313    102,287
  QUALCOMM Inc.   572,797     98,515
  Intuit Inc.   134,766     63,929
  Applied Materials Inc.   457,102     61,343
  Oracle Corp.   780,431     59,289
* ServiceNow Inc.    99,603     57,762
  Texas Instruments Inc.   289,953     49,289
  Lam Research Corp.    71,471     40,120
* Palo Alto Networks Inc.    48,387     28,754
  KLA Corp.    77,035     26,847
* Snowflake Inc. Class A    95,097     25,263
* Autodesk Inc.   111,548     24,566
* Fortinet Inc.    67,865     23,381
* Workday Inc. Class A    96,518     22,107
* Atlassian Corp. plc Class A    70,815     21,650
* Cadence Design Systems Inc.   139,482     21,122
* Datadog Inc. Class A   129,234     20,821
* Crowdstrike Holdings Inc. Class A    99,612     19,445
* salesforce.com Inc.    91,355     19,233
  Analog Devices Inc.   108,483     17,389
  Microchip Technology Inc.   232,799     16,373
* Match Group Inc.   143,481     15,997
  Amphenol Corp. Class A   210,432     15,995
* Synopsys Inc.    48,726     15,222
* Zoom Video Communications Inc. Class A   110,558     14,660
* Cloudflare Inc. Class A   123,548     14,383
* MongoDB Inc. Class A    32,248     12,318
* HubSpot Inc.    22,897     12,021
  CDW Corp.    68,693     11,847
* Okta Inc.    64,046     11,710
* DocuSign Inc. Class A    98,017     11,608
* Gartner Inc.    40,630     11,393
  Monolithic Power Systems Inc.    22,742     10,432
* Palantir Technologies Inc. Class A   843,172      9,992
  Teradyne Inc.    82,742      9,757
* Splunk Inc.    81,880      9,670
* Zscaler Inc.    40,073      9,583
  Entegris Inc.    68,554      8,945
* Paycom Software Inc.    25,764      8,739
* Unity Software Inc.    76,616      8,156
  NXP Semiconductors NV    41,289      7,850
* Pinterest Inc. Class A   285,590      7,640
* Tyler Technologies Inc.    17,580      7,529
* ON Semiconductor Corp.   116,799      7,313
  Micron Technology Inc.    78,968      7,017
* Zendesk Inc.    60,050      7,006
  HP Inc.   202,771      6,967
* DoorDash Inc. Class A    65,490      6,873
* PTC Inc.    53,828      5,990
* ANSYS Inc.    18,470      5,988
  NetApp Inc.    75,120      5,888
* EPAM Systems Inc.    27,240      5,659
* Globant SA    20,366      5,580
* RingCentral Inc. Class A    41,725      5,459
  Skyworks Solutions Inc.    39,504      5,458
  Corning Inc.   131,162      5,299
* Aspen Technology Inc.    33,890      5,165
  VMware Inc. Class A    41,885      4,914
* Coupa Software Inc.    37,270      4,510
    Shares Market
Value•

($000)
* Avalara Inc.    43,162      4,485
* Dynatrace Inc.    93,487      4,153
* Twilio Inc. Class A    23,710      4,145
* Five9 Inc.    34,224      3,765
  Universal Display Corp.    22,225      3,443
* Dropbox Inc. Class A   150,317      3,411
  Jabil Inc.    58,981      3,410
* Dell Technologies Inc. Class C    66,818      3,405
* Anaplan Inc.    71,707      3,397
* Pure Storage Inc. Class A   127,318      3,303
* Smartsheet Inc. Class A    61,235      3,256
* Elastic NV    37,307      3,233
* Nuance Communications Inc.    55,180      3,064
* Nutanix Inc. Class A   107,042      2,858
  Bentley Systems Inc. Class B    70,222      2,696
  Azenta Inc.    30,751      2,691
* Wix.com Ltd.    27,000      2,473
* Teradata Corp.    46,900      2,345
  Citrix Systems Inc.    22,619      2,318
* Manhattan Associates Inc.    17,282      2,310
  NortonLifeLock Inc.    74,163      2,149
  Vertiv Holdings Co. Class A   162,993      2,122
* Alteryx Inc. Class A    30,435      1,896
* New Relic Inc.    25,846      1,712
  Pegasystems Inc.    19,244      1,677
  Switch Inc. Class A    58,475      1,522
* Twitter Inc.    41,846      1,488
* Procore Technologies Inc.    21,785      1,420
* nCino Inc.    28,271      1,299
* NCR Corp.    22,255        902
* Vimeo Inc.    66,765        867
*,1 GLOBALFOUNDRIES Inc.    13,833        841
  McAfee Corp.Class A    31,576        821
* Jamf Holding Corp.    22,940        785
* Everbridge Inc.    19,101        755
* DoubleVerify Holdings Inc.    26,211        725
* GoDaddy Inc. Class A     8,550        713
* Mandiant Inc.    35,116        695
* Allegro MicroSystems Inc.    19,924        571
*,1 Skillz Inc. Class A   149,969        466
  CDK Global Inc.     7,563        343
* Paycor HCM Inc.    11,904        334
* Informatica Inc. Class A    12,226        246
* Duck Creek Technologies Inc.     8,018        188
* C3.ai Inc. Class A     8,229        185
* Thoughtworks Holding Inc.     7,409        169
* IPG Photonics Corp.     1,052        137
* Vroom Inc.    14,520         88
* Toast Inc. Class A        61          1
       5,153,755
Telecommunications (0.6%)
* Charter Communications Inc. Class A    60,105     36,170
* Arista Networks Inc.   109,696     13,463
* Roku Inc.    59,822      8,347
  Cable One Inc.     1,414      2,026
* CommScope Holding Co. Inc.   102,415        977
 
51

 

Russell 1000 Growth Index Fund
    Shares Market
Value•

($000)
* Altice USA Inc. Class A    76,105        880
  Ubiquiti Inc.     2,775        704
          62,567
Utilities (0.1%)
  Waste Management Inc.    33,717      4,869
  NRG Energy Inc.    56,200      2,126
  Brookfield Renewable Corp. Class A    16,504        617
           7,612
Total Common Stocks (Cost $6,764,952) 10,534,326
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost $6,749)    67,499           6,749
Total Investments (100.0%) (Cost $6,771,701) 10,541,075
Other Assets and Liabilities—Net (0.0%) 1,180
Net Assets (100%) 10,542,255
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,972,000.
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 Collateral of $6,058,000 was received for securities on loan.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index March 2022 41 8,954 (73)
  
See accompanying Notes, which are an integral part of the Financial Statements.
52

 

Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $6,764,952) 10,534,326
Affiliated Issuers (Cost $6,749) 6,749
Total Investments in Securities 10,541,075
Investment in Vanguard 369
Cash 724
Cash Collateral Pledged—Futures Contracts 370
Receivables for Accrued Income 6,892
Receivables for Capital Shares Issued 943
Total Assets 10,550,373
Liabilities  
Payables for Investment Securities Purchased 790
Collateral for Securities on Loan 6,058
Payables for Capital Shares Redeemed 962
Payables to Vanguard 288
Variation Margin Payable—Futures Contracts 20
Total Liabilities 8,118
Net Assets 10,542,255
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 6,740,401
Total Distributable Earnings (Loss) 3,801,854
Net Assets 10,542,255
 
ETF Shares—Net Assets  
Applicable to 107,106,844 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		7,362,164
Net Asset Value Per Share—ETF Shares $68.74
 
Institutional Shares—Net Assets  
Applicable to 6,014,797 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,180,091
Net Asset Value Per Share—Institutional Shares $528.71
  
See accompanying Notes, which are an integral part of the Financial Statements.
53

 

Russell 1000 Growth Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 40,033
Interest2 4
Securities Lending—Net 91
Total Income 40,128
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 575
Management and Administrative—ETF Shares 2,377
Management and Administrative—Institutional Shares 940
Marketing and Distribution—ETF Shares 138
Marketing and Distribution—Institutional Shares 65
Custodian Fees 82
Shareholders’ Reports—ETF Shares 93
Shareholders’ Reports—Institutional Shares 3
Trustees’ Fees and Expenses 3
Other Expenses 8
Total Expenses 4,284
Net Investment Income 35,844
Realized Net Gain (Loss)  
Investment Securities Sold2,3 285,621
Futures Contracts 214
Realized Net Gain (Loss) 285,835
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (1,211,743)
Futures Contracts (379)
Change in Unrealized Appreciation (Depreciation) (1,212,122)
Net Increase (Decrease) in Net Assets Resulting from Operations (890,443)
1 Dividends are net of foreign withholding taxes of $11,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, ($2,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $284,293,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
54

 

Russell 1000 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 35,844   66,590
Realized Net Gain (Loss) 285,835   968,397
Change in Unrealized Appreciation (Depreciation) (1,212,122)   1,372,233
Net Increase (Decrease) in Net Assets Resulting from Operations (890,443)   2,407,220
Distributions      
ETF Shares (25,370)   (40,214)
Institutional Shares (11,802)   (24,518)
Total Distributions (37,172)   (64,732)
Capital Share Transactions      
ETF Shares 555,147   978,964
Institutional Shares (113,474)   (786,014)
Net Increase (Decrease) from Capital Share Transactions 441,673   192,950
Total Increase (Decrease) (485,942)   2,535,438
Net Assets      
Beginning of Period 11,028,197   8,492,759
End of Period 10,542,255   11,028,197
  
See accompanying Notes, which are an integral part of the Financial Statements.
55

 

Russell 1000 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
20211 20201 20191 20181 20171
Net Asset Value, Beginning of Period $74.77 $58.66 $41.14 $39.89 $31.77 $26.73
Investment Operations            
Net Investment Income2 .236 .460 .475 .481 .441 .421
Net Realized and Unrealized Gain (Loss) on Investments (6.020) 16.099 17.530 1.177 8.096 5.039
Total from Investment Operations (5.784) 16.559 18.005 1.658 8.537 5.460
Distributions            
Dividends from Net Investment Income (.246) (.449) (.485) (.408) (.417) (.420)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.246) (.449) (.485) (.408) (.417) (.420)
Net Asset Value, End of Period $68.74 $74.77 $58.66 $41.14 $39.89 $31.77
Total Return -7.76% 28.40% 44.18% 4.20% 27.09% 20.66%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7,362 $7,455 $4,951 $2,872 $2,083 $1,319
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 0.64% 0.72% 1.04% 1.25% 1.24% 1.45%
Portfolio Turnover Rate3 1% 14% 14% 17% 15% 21%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 4-for-1 share split effective at the beginning of trading on April 20, 2021.
2 Calculated based on average shares outstanding.
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.
56

 

Russell 1000 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $575.10 $451.15 $316.39 $306.82 $244.34 $205.53
Investment Operations            
Net Investment Income1 1.838 3.573 3.695 3.711 3.485 3.291
Net Realized and Unrealized Gain (Loss) on Investments (46.314) 123.861 134.792 9.061 62.293 38.832
Total from Investment Operations (44.476) 127.434 138.487 12.772 65.778 42.123
Distributions            
Dividends from Net Investment Income (1.914) (3.484) (3.727) (3.202) (3.298) (3.313)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.914) (3.484) (3.727) (3.202) (3.298) (3.313)
Net Asset Value, End of Period $528.71 $575.10 $451.15 $316.39 $306.82 $244.34
Total Return -7.76% 28.42% 44.24% 4.21% 27.14% 20.72%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,180 $3,573 $3,542 $3,076 $3,182 $2,476
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 0.65% 0.74% 1.06% 1.26% 1.28% 1.49%
Portfolio Turnover Rate2 1% 14% 14% 17% 15% 21%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
57

 

Russell 1000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
58

 

Russell 1000 Growth Index Fund
During the six months ended February 28, 2022, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
59

 

Russell 1000 Growth Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $369,000, representing less than 0.01% of the fund’s net assets and 0.15% 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 and derivatives. 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.
60

 

Russell 1000 Growth Index Fund
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2022, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. As of February 28, 2022, 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 6,773,148
Gross Unrealized Appreciation 3,991,186
Gross Unrealized Depreciation (223,332)
Net Unrealized Appreciation (Depreciation) 3,767,854
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $264,248,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $1,001,573,000 of investment securities and sold $547,852,000 of investment securities, other than temporary cash investments. Purchases and sales include $885,776,000 and $419,063,000, 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 six months ended February 28, 2022, such purchases were $17,527,000 and sales were $17,511,000, resulting in net realized loss of $1,439,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
61

 

Russell 1000 Growth Index Fund
F. During the year ended August 31, 2021, the fund’s ETF Shares underwent a 4-for-1 share split. Each shareholder of record as of the close of business on April 19, 2021, received 4 shares for every 1 ETF Share held on that date. The split had no effect on net assets or total return. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 976,604 13,100   2,657,661 41,175
Issued in Lieu of Cash Distributions — —   — —
Redeemed (421,457) (5,700)   (1,678,697) (25,875)
Net Increase (Decrease)—ETF Shares 555,147 7,400   978,964 15,300
Institutional Shares          
Issued 159,077 277   382,523 806
Issued in Lieu of Cash Distributions 10,890 19   21,838 47
Redeemed (283,441) (494)   (1,190,375) (2,491)
Net Increase (Decrease)—Institutional Shares (113,474) (198)   (786,014) (1,638)
1 2021 shares adjusted to reflect a 4-for-1 share split effective at the beginning of trading on April 20, 2021.
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
62

 

The Products are not sponsored, endorsed, sold or promoted by Frank Russell Company (“Russell”). Russell makes no representation or warranty, express or implied, to the owners of the Products or any member of the public regarding the advisability of investing in securities generally or in the Products particularly or the ability of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes to track general stock market performance or a segment of the same. Russell’s publication of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the securities upon which the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes are based. Russell’s only relationship to The Vanguard Group, Inc. is the licensing of certain trademarks and trade names of Russell and of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes which are determined, composed and calculated by Russell without regard to The Vanguard Group, Inc. or the Products. Russell is not responsible for and has not reviewed the Products nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. Russell has no obligation or liability in connection with the administration, marketing or trading of the Products.
Russell makes no representation, warranty or guarantee as to the accuracy, completeness, reliability or otherwise of the Russell Indexes or any data included in the Russell Indexes. Russell does not guarantee the accuracy and/or the completeness of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes or any data included therein and Russell shall have no liability for any errors, omissions, or interruptions therein. Russell makes no warranty, express or implied, as to the use of or results to be obtained by The Vanguard Group, Inc., investors, owners of the Products, or any other person or entity from the use of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes or any data included therein. Russell makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes or any data included therein. Without limiting any of the foregoing, in no event shall Russell have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.
Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell Indexes. Russell has no obligation to take the needs of any particular fund or its participants or any other product or person into consideration in determining, composing or calculating any of the Russell Indexes.
63

 

This page intentionally left blank.

 

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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q18482 042022

 

 

Semiannual Report   |   February 28, 2022
Vanguard Russell 2000 Index Funds
Vanguard Russell 2000 Index Fund
Vanguard Russell 2000 Value Index Fund
Vanguard Russell 2000 Growth Index Fund

 

Contents
About Your Fund’s Expenses
1
Russell 2000 Index Fund
3
Russell 2000 Value Index Fund
36
Russell 2000 Growth Index Fund
62

 

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.
1

 

Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return      
Russell 2000 Index Fund      
ETF Shares $1,000.00 $905.20 $0.47
Institutional Shares 1,000.00 905.20 0.38
Russell 2000 Value Index Fund      
ETF Shares $1,000.00 $978.20 $0.74
Institutional Shares 1,000.00 978.50 0.39
Russell 2000 Growth Index Fund      
ETF Shares $1,000.00 $836.20 $0.68
Institutional Shares 1,000.00 836.40 0.36
Based on Hypothetical 5% Yearly Return      
Russell 2000 Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
Russell 2000 Value Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
Russell 2000 Growth Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
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 Russell 2000 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the Russell 2000 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the Russell 2000 Growth Index Fund, 0.15% for ETF Shares and 0.08% 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 (181/365).
2

 

Russell 2000 Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 4.0%
Consumer Discretionary 14.3
Consumer Staples 3.1
Energy 5.9
Financials 16.7
Health Care 16.1
Industrials 15.3
Real Estate 7.5
Technology 12.2
Telecommunications 1.7
Utilities 3.2
Other 0.0
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3

 

Russell 2000 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (99.4%)
Basic Materials (4.0%)
* RBC Bearings Inc.    75,551    14,646
  UFP Industries Inc.   162,774    13,958
  Avient Corp.   246,050    12,891
  Commercial Metals Co.   324,588    12,513
  Balchem Corp.    87,084    12,047
  Cabot Corp.   151,544    11,087
* Livent Corp.   437,301    10,298
  Sensient Technologies Corp.   114,343     9,391
*,1 MP Materials Corp.   205,071     9,355
* Arconic Corp.   288,293     8,851
  Mueller Industries Inc.   151,701     8,655
  Boise Cascade Co.   106,338     8,501
  Hecla Mining Co. 1,434,478     8,263
* Ingevity Corp.   107,206     7,315
  Quaker Chemical Corp.    36,453     6,766
* Constellium SE Class A   336,149     6,531
  Innospec Inc.    66,240     6,326
  Tronox Holdings plc Class A   309,357     6,280
  Minerals Technologies Inc.    89,534     6,266
  Stepan Co.    58,286     6,040
  Trinseo plc   105,271     5,470
  GrafTech International Ltd.   540,944     5,453
  Compass Minerals International Inc.    92,523     5,424
  Worthington Industries Inc.    89,315     5,093
  Carpenter Technology Corp.   128,538     4,935
  Materion Corp.    55,106     4,604
* Novagold Resources Inc.   640,750     4,472
* GCP Applied Technologies Inc.   133,016     4,201
  Kaiser Aluminum Corp.    42,687     4,119
* Kraton Corp.    84,998     3,923
*,1 Energy Fuels Inc.   417,881     3,414
  Schnitzer Steel Industries Inc. Class A    70,113     3,411
* Century Aluminum Co.   138,635     3,275
* Coeur Mining Inc.   691,422     2,973
  AdvanSix Inc.    73,857     2,959
* US Silica Holdings Inc.   198,476     2,870
* Uranium Energy Corp.   691,597     2,759
  Schweitzer-Mauduit International Inc.    84,686     2,644
    Shares Market
Value•

($000)
  Orion Engineered Carbons SA   163,489     2,541
  Hawkins Inc.    51,910     2,349
* TimkenSteel Corp.   124,343     2,242
* Amyris Inc.   477,891     2,179
  Verso Corp. Class A    71,827     1,904
  Neenah Inc.    45,655     1,778
  Glatfelter Corp.   118,553     1,629
  Koppers Holdings Inc.    56,133     1,607
* Intrepid Potash Inc.    26,704     1,519
  Ecovyst Inc.   138,482     1,514
* Clearwater Paper Corp.    44,575     1,285
  Haynes International Inc.    33,682     1,231
  Omega Flex Inc.     8,402     1,220
  American Vanguard Corp.    78,947     1,190
*,1 Meta Materials Inc.   548,721     1,180
  Ryerson Holding Corp.    44,117     1,152
* Alto Ingredients Inc.   192,577     1,123
* Rayonier Advanced Materials Inc.   166,435       977
* Zymergen Inc.   218,063       835
  Tredegar Corp.    71,806       826
* Northwest Pipe Co.    26,153       745
* Ur-Energy Inc.   496,006       734
* Unifi Inc.    37,962       713
  Olympic Steel Inc.    25,528       683
  FutureFuel Corp.    70,738       521
* Gatos Silver Inc.   124,952       421
* Perpetua Resources Corp.    86,199       310
* NN Inc.   117,118       303
* Polymet Mining Corp.    79,153       215
* Marrone Bio Innovations Inc.   274,694       189
  Valhi Inc.     6,772       172
        293,266
Consumer Discretionary (14.2%)
*,1 AMC Entertainment Holdings Inc. Class A 1,394,457    26,299
* BJ's Wholesale Club Holdings Inc.   370,365    23,285
  Macy's Inc.   848,875    22,003
* Avis Budget Group Inc.   111,671    20,485
  Texas Roadhouse Inc. Class A   189,103    17,948
* Scientific Games Corp. Class A   259,824    16,348
  TEGNA Inc.   597,565    13,696
* Fox Factory Holding Corp.   114,151    13,472
* Helen of Troy Ltd.    65,078    13,385
4

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Crocs Inc.   157,462    13,184
* Asbury Automotive Group Inc.    62,576    12,147
* Hilton Grand Vacations Inc.   230,931    11,976
  Murphy USA Inc.    65,316    11,805
  Wingstop Inc.    80,593    11,714
* Goodyear Tire & Rubber Co.   746,955    11,570
* Adient plc   256,066    11,459
  Signet Jewelers Ltd.   142,859    10,072
* Meritage Homes Corp.    99,924     9,851
* SeaWorld Entertainment Inc.   139,255     9,663
  Papa John's International Inc.    89,399     9,550
* Taylor Morrison Home Corp. Class A   323,600     9,546
* Skyline Champion Corp.   141,824     9,536
  Steven Madden Ltd.   218,114     9,305
* Visteon Corp.    75,057     9,020
* Sonos Inc.   325,106     8,905
  American Eagle Outfitters Inc.   411,548     8,675
  Group 1 Automotive Inc.    47,486     8,639
  Cracker Barrel Old Country Store Inc.    63,997     8,593
  LCI Industries    66,925     8,334
  KB Home   214,866     8,296
  International Game Technology plc   269,820     8,262
  Red Rock Resorts Inc. Class A   161,289     8,110
* National Vision Holdings Inc.   220,325     8,079
  MillerKnoll Inc.   200,649     7,801
* Callaway Golf Co.   312,430     7,730
* Gentherm Inc.    89,919     7,629
* Shake Shack Inc. Class A   101,190     7,561
* LGI Homes Inc.    58,366     7,362
  Dana Inc.   392,342     7,305
* Allegiant Travel Co.    41,461     7,218
* Houghton Mifflin Harcourt Co.   343,049     7,187
  Kontoor Brands Inc.   140,279     6,949
* Boot Barn Holdings Inc.    78,945     6,870
  MDC Holdings Inc.   154,269     6,840
* Cavco Industries Inc.    24,910     6,791
* Academy Sports & Outdoors Inc.   209,746     6,789
* Tri Pointe Homes Inc.   301,254     6,739
* Dorman Products Inc.    71,235     6,655
* Spirit Airlines Inc.   265,121     6,649
* Overstock.com Inc.   115,961     6,598
* iHeartMedia Inc. Class A   302,109     6,480
  Graham Holdings Co. Class B    10,345     6,219
* KAR Auction Services Inc.   326,306     6,024
* Abercrombie & Fitch Co. Class A   157,921     6,014
  Rush Enterprises Inc. Class A   114,565     5,951
  Bloomin' Brands Inc.   239,476     5,894
  John Wiley & Sons Inc. Class A   116,427     5,857
* Vista Outdoor Inc.   155,285     5,660
  Winnebago Industries Inc.    87,392     5,599
    Shares Market
Value•

($000)
* Madison Square Garden Entertainment Corp.    70,625     5,534
* ODP Corp.   124,471     5,477
* Everi Holdings Inc.   231,021     5,406
* PROG Holdings Inc.   176,331     5,403
  Gray Television Inc.   230,334     5,397
*,1 Fisker Inc.   441,770     5,390
* Cheesecake Factory Inc.   124,556     5,330
* Sally Beauty Holdings Inc.   304,075     5,254
* Knowles Corp.   240,748     5,243
* Brinker International Inc.   122,766     5,222
  Century Communities Inc.    81,008     5,162
* Cinemark Holdings Inc.   292,167     5,125
* Urban Outfitters Inc.   185,100     5,092
  Jack in the Box Inc.    58,881     5,080
* Cardlytics Inc.    87,370     5,067
* Dave & Buster's Entertainment Inc.   116,792     5,062
  Rent-A-Center Inc.   177,935     5,055
  Wolverine World Wide Inc.   219,239     5,049
* Central Garden & Pet Co. Class A   109,067     4,803
  HNI Corp.   117,665     4,788
*,1 Bed Bath & Beyond Inc.   274,010     4,628
* Revolve Group Inc.    97,091     4,605
  PriceSmart Inc.    63,318     4,604
* Lions Gate Entertainment Corp. Class B   319,099     4,547
* iRobot Corp.    72,339     4,497
  Inter Parfums Inc.    48,384     4,494
  Monro Inc.    89,465     4,176
  Acushnet Holdings Corp.    92,491     4,051
* Coursera Inc.   196,754     4,000
  Dillard's Inc. Class A    15,782     3,957
* Sleep Number Corp.    59,809     3,929
* Malibu Boats Inc. Class A    56,080     3,907
  Strategic Education Inc.    65,950     3,892
  Oxford Industries Inc.    43,388     3,835
* M/I Homes Inc.    77,328     3,812
* SkyWest Inc.   134,545     3,782
* Stride Inc.   112,135     3,765
  Sinclair Broadcast Group Inc. Class A   124,107     3,723
  Dine Brands Global Inc.    43,956     3,685
* Clear Channel Outdoor Holdings Inc.   981,654     3,671
* Tenneco Inc. Class A   183,794     3,544
* XPEL Inc.    48,494     3,521
  La-Z-Boy Inc.   118,960     3,471
  Camping World Holdings Inc. Class A   112,716     3,462
* elf Beauty Inc.   130,356     3,445
* EW Scripps Co. Class A   154,704     3,444
  Sturm Ruger & Co. Inc.    46,308     3,353
* G-III Apparel Group Ltd.   119,104     3,304
* AMC Networks Inc. Class A    78,402     3,250
  Franchise Group Inc.    76,692     3,233
* Bally's Corp.    88,133     3,175
  Sonic Automotive Inc. Class A    58,548     3,145
* Clean Energy Fuels Corp.   418,180     3,040
  Big Lots Inc.    86,783     3,017
* GoPro Inc. Class A   348,851     3,000
  Scholastic Corp.    71,227     2,997
* Cars.com Inc.   184,651     2,988
 
5

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  Laureate Education Inc. Class A   267,710     2,902
  Buckle Inc.    80,582     2,901
  Steelcase Inc. Class A   234,932     2,859
* American Axle & Manufacturing Holdings Inc.   303,853     2,814
* Adtalem Global Education Inc.   134,012     2,785
* Imax Corp.   134,542     2,782
  Matthews International Corp. Class A    83,436     2,768
* Stitch Fix Inc. Class A   220,588     2,768
* Monarch Casino & Resort Inc.    35,485     2,764
  Arko Corp.   325,050     2,714
* Denny's Corp.   166,880     2,640
* Golden Entertainment Inc.    46,341     2,638
* Hawaiian Holdings Inc.   136,138     2,611
* MarineMax Inc.    56,944     2,606
* Zumiez Inc.    57,705     2,567
* Genesco Inc.    39,992     2,565
* Liberty Media Corp.- Liberty Braves Class C   101,865     2,516
  Standard Motor Products Inc.    56,353     2,463
*,1 Blink Charging Co.    98,779     2,428
* Lions Gate Entertainment Corp. Class A   156,661     2,406
* Tupperware Brands Corp.   131,944     2,405
* Children's Place Inc.    37,984     2,391
  Guess? Inc.   108,339     2,373
* Sun Country Airlines Holdings Inc.    87,260     2,360
  Smith & Wesson Brands Inc.   129,746     2,287
* PowerSchool Holdings Inc. Class A   144,866     2,282
  Ruth's Hospitality Group Inc.    88,648     2,199
  Winmark Corp.     9,393     2,125
* Designer Brands Inc. Class A   162,718     2,123
* Arlo Technologies Inc.   226,964     2,106
  Caleres Inc.    99,638     2,068
* 2U Inc.   195,961     2,058
  Carriage Services Inc. Class A    41,724     2,053
  Interface Inc. Class A   156,909     2,048
* Accel Entertainment Inc. Class A   152,298     1,994
* Perdoceo Education Corp.   189,135     1,980
* BJ's Restaurants Inc.    60,943     1,954
* Green Brick Partners Inc.    83,387     1,934
* RealReal Inc.   214,920     1,915
* Viad Corp.    54,538     1,906
* Gannett Co. Inc.   380,801     1,889
  Hibbett Inc.    40,299     1,817
  Aaron's Co. Inc.    84,595     1,776
* Chuy's Holdings Inc.    53,546     1,746
* Fossil Group Inc.   128,780     1,741
  A-Mark Precious Metals Inc.    24,271     1,740
*,1 Corsair Gaming Inc.    73,877     1,705
  Movado Group Inc.    42,185     1,663
*,1 Canoo Inc.   286,020     1,642
* Life Time Group Holdings Inc.   105,155     1,635
    Shares Market
Value•

($000)
  Clarus Corp.    71,402     1,626
* Quotient Technology Inc.   242,895     1,613
*,1 Portillo's Inc. Class A    63,846     1,600
  Ethan Allen Interiors Inc.    60,794     1,584
* America's Car-Mart Inc.    16,287     1,566
* Boston Omaha Corp. Class A    54,807     1,534
* Chico's FAS Inc.   325,522     1,530
* QuinStreet Inc.   135,607     1,526
* Latham Group Inc.    85,843     1,501
* OneSpaWorld Holdings Ltd.   144,726     1,496
* Rush Street Interactive Inc.   142,064     1,468
* Lindblad Expeditions Holdings Inc.    82,600     1,465
* Lovesac Co.    34,428     1,463
  RCI Hospitality Holdings Inc.    22,465     1,458
* Master Craft Boat Holdings Inc.    50,502     1,446
* WW International Inc.   141,418     1,441
* TravelCenters of America Inc.    33,647     1,421
  OneWater Marine Inc. Class A    27,879     1,417
  Shoe Carnival Inc.    47,616     1,388
* Hovnanian Enterprises Inc. Class A    14,063     1,352
* Sportsman's Warehouse Holdings Inc.   117,479     1,340
* Beazer Homes USA Inc.    79,054     1,294
* Party City Holdco Inc.   298,343     1,292
* Stagwell Inc.   167,514     1,270
* Funko Inc. Class A    72,551     1,267
* Central Garden & Pet Co.    26,728     1,265
  Haverty Furniture Cos. Inc.    44,054     1,252
* LL Flooring Holdings Inc.    77,658     1,247
* Liquidity Services Inc.    71,423     1,231
*,1 Frontier Group Holdings Inc.    93,714     1,207
  Johnson Outdoors Inc. Class A    14,149     1,167
* Stoneridge Inc.    70,341     1,161
* Universal Electronics Inc.    34,212     1,137
* Marcus Corp.    62,265     1,132
* Selectquote Inc.   361,574     1,125
* 1-800-Flowers.com Inc. Class A    71,961     1,114
* AMMO Inc.   235,177     1,108
* CarParts.com Inc.   131,626     1,102
* Bluegreen Vacations Holding Class A    38,630     1,095
  Global Industrial Co.    34,391     1,093
*,1 Lordstown Motors Corp. Class A   416,345     1,070
* Daily Journal Corp.     3,251     1,051
  Entravision Communications Corp. Class A   162,794     1,042
* American Public Education Inc.    50,784     1,014
  Del Taco Restaurants Inc.    80,555     1,005
* Audacy Inc. Class A   323,097     1,002
* Turtle Beach Corp.    41,365       983
  Cato Corp. Class A    54,109       952
 
6

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Golden Nugget Online Gaming Inc.   108,844       936
1 Big 5 Sporting Goods Corp.    56,251       932
* Purple Innovation Inc. Class A   154,503       930
1 Krispy Kreme Inc.    60,570       903
  Kimball International Inc. Class B    97,267       902
* Century Casinos Inc.    73,206       900
*,1 Vuzix Corp.   157,830       893
* Conn's Inc.    48,321       886
* European Wax Center Inc. Class A    35,564       884
* Citi Trends Inc.    23,296       869
* Integral Ad Science Holding Corp.    46,447       869
* F45 Training Holdings Inc.    55,255       850
  Rush Enterprises Inc. Class B    16,865       827
* Motorcar Parts of America Inc.    51,105       825
  Tilly's Inc. Class A    61,777       785
* Full House Resorts Inc.    87,671       772
* Container Store Group Inc.    85,183       752
* Red Robin Gourmet Burgers Inc.    42,793       751
* Noodles & Co. Class A   109,338       748
* Instructure Holdings Inc.    32,961       739
* Snap One Holdings Corp.    36,519       717
  Rocky Brands Inc.    18,433       710
* El Pollo Loco Holdings Inc.    52,041       691
*,1 Genius Brands International Inc.   773,353       687
* Lands' End Inc.    39,358       668
* Barnes & Noble Education Inc.   121,594       666
  Hooker Furnishings Corp.    31,388       659
* ONE Group Hospitality Inc.    55,811       655
  Superior Group of Cos. Inc.    31,453       645
* Alta Equipment Group Inc.    50,814       641
*,1 Romeo Power Inc.   346,564       634
* Thryv Holdings Inc.    20,681       629
* PlayAGS Inc.    74,863       627
* NEOGAMES SA    27,575       623
* Liberty Media Corp.- Liberty Braves Class A    23,868       612
* Traeger Inc.    61,960       612
* American Outdoor Brands Inc.    38,869       608
* Eastman Kodak Co.   122,708       585
* Kura Sushi USA Inc. Class A    10,862       572
* Cooper-Standard Holdings Inc.    44,616       568
* Legacy Housing Corp.    21,830       556
1 Weber Inc. Class A    47,646       544
* Xponential Fitness Inc. Class A    25,624       537
* Vera Bradley Inc.    70,838       536
* Kirkland's Inc.    35,709       494
* Fiesta Restaurant Group Inc.    48,493       488
    Shares Market
Value•

($000)
* Udemy Inc.    36,969       488
  National CineMedia Inc.   161,797       481
* VOXX International Corp. Class A    42,757       459
* Duluth Holdings Inc. Class B    32,576       454
  Lifetime Brands Inc.    34,220       448
  Bassett Furniture Industries Inc.    25,396       446
*,1 Arcimoto Inc.    75,243       442
  Nathan's Famous Inc.     7,553       439
* First Watch Restaurant Group Inc.    30,112       437
* Liberty TripAdvisor Holdings Inc. Class A   199,653       423
* Mesa Air Group Inc.    93,822       408
* CarLotz Inc.   198,432       401
* Nautilus Inc.    81,888       399
  Flexsteel Industries Inc.    18,124       391
* Lazydays Holdings Inc.    20,538       374
  Escalade Inc.    27,051       358
1 JOANN Inc.    31,449       358
*,1 Shift Technologies Inc.   170,258       344
*,1 Solo Brands Inc. Class A    31,167       329
  Hamilton Beach Brands Holding Co. Class A    20,399       308
* Biglari Holdings Inc. Class B     2,203       303
* Torrid Holdings Inc.    34,464       302
* Drive Shack Inc.   226,278       301
* Outbrain Inc.    22,623       295
* Eros STX Global Corp.    87,477       277
*,1 Rent the Runway Inc. Class A    45,350       275
  Marine Products Corp.    21,675       262
* CuriosityStream Inc.    71,467       262
*,1 Esports Technologies Inc.    30,094       249
  Carrols Restaurant Group Inc.    91,655       242
* Emerald Holding Inc.    66,389       238
* Stonemor Inc.    88,235       229
*,1 Aterian Inc.    70,065       209
* Regis Corp.   113,352       205
* Chicken Soup For The Soul Entertainment Inc.    19,827       192
* Revlon Inc. Class A    19,537       189
* aka Brands Holding Corp.    24,985       188
* Landsea Homes Corp.    28,398       185
*,1 XL Fleet Corp.    93,856       183
* Fluent Inc.   121,472       172
* Hall of Fame Resort & Entertainment Co.   150,662       160
* Lulu's Fashion Lounge Holdings Inc.    15,083       150
  NL Industries Inc.    21,940       140
*,1 LiveOne Inc.   163,260       140
* HyreCar Inc.    47,673       130
*,1 Dutch Bros Inc. Class A     1,989        96
  CompX International Inc.     4,275        94
*,1 Sweetgreen Inc. Class A     2,581        65
* Arhaus Inc.     9,054        60
* Brilliant Earth Group Inc. Class A     4,279        39
* Digital Media Solutions Inc. Class A     7,973        27
* Allbirds Inc. Class A     1,797        14
      1,040,773
 
7

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
Consumer Staples (3.1%)
* Performance Food Group Co.   409,628    22,956
  Sanderson Farms Inc.    54,848     9,795
* Celsius Holdings Inc.   145,550     9,299
* Simply Good Foods Co.   229,837     9,108
* Sprouts Farmers Market Inc.   304,454     8,671
  Lancaster Colony Corp.    51,302     8,630
* Hostess Brands Inc. Class A   373,727     8,050
  WD-40 Co.    36,935     7,826
  J & J Snack Foods Corp.    39,831     6,521
  Coca-Cola Consolidated Inc.    12,762     6,342
  Nu Skin Enterprises Inc. Class A   134,129     6,222
  Primo Water Corp.   424,385     6,171
  Energizer Holdings Inc.   183,577     6,130
* United Natural Foods Inc.   150,558     6,057
  Medifast Inc.    31,080     5,781
* TreeHouse Foods Inc.   140,569     5,517
  Edgewell Personal Care Co.   146,505     5,227
  B&G Foods Inc.   172,893     5,118
  Cal-Maine Foods Inc.   110,036     4,871
* Beauty Health Co.   232,934     4,514
  Vector Group Ltd.   388,386     4,354
  Andersons Inc.    85,025     3,877
  Universal Corp.    65,006     3,517
  Ingles Markets Inc. Class A    37,894     3,116
  MGP Ingredients Inc.    38,158     3,038
* USANA Health Sciences Inc.    32,410     2,852
  National Beverage Corp.    63,441     2,792
* Chefs' Warehouse Inc.    84,511     2,776
*,1 BellRing Brands Inc. Class A   107,573     2,751
  Weis Markets Inc.    44,263     2,730
  SpartanNash Co.    96,631     2,719
  Utz Brands Inc.   159,438     2,431
  Fresh Del Monte Produce Inc.    90,341     2,338
  ACCO Brands Corp.   251,530     2,163
* Hydrofarm Holdings Group Inc.   104,890     2,124
  Calavo Growers Inc.    46,238     1,974
  John B Sanfilippo & Son Inc.    24,081     1,915
* Duckhorn Portfolio Inc.    97,085     1,905
*,1 Tattooed Chef Inc.   127,513     1,548
  PetMed Express Inc.    54,763     1,476
  Tootsie Roll Industries Inc.    41,310     1,394
*,1 Rite Aid Corp.   150,113     1,375
* Honest Co. Inc.   230,411     1,332
  Turning Point Brands Inc.    39,206     1,314
* Mission Produce Inc.    99,820     1,296
*,1 GrowGeneration Corp.   148,761     1,251
*,1 PLBY Group Inc.    77,699     1,237
*,1 22nd Century Group Inc.   432,985     1,013
* Veru Inc.   172,611       965
* Whole Earth Brands Inc.   100,640       955
* Vital Farms Inc.    66,761       951
* Sovos Brands Inc.    69,743       847
* Landec Corp.    71,743       827
* Seneca Foods Corp. Class A    16,578       825
    Shares Market
Value•

($000)
*,1 AppHarvest Inc.   191,215       730
  Limoneira Co.    42,419       619
* HF Foods Group Inc.    98,045       613
  Nature's Sunshine Products Inc.    32,468       569
  Village Super Market Inc. Class A    23,431       534
  Oil-Dri Corp. of America    14,298       442
  Natural Grocers by Vitamin Cottage Inc.    25,657       435
* Vita Coco Co. Inc.    29,197       338
*,1 NewAge Inc.   365,521       247
* AquaBounty Technologies Inc.   143,736       229
* Zevia PBC Class A    27,669       173
*,1 Laird Superfood Inc.    17,269       106
* MedAvail Holdings Inc.    32,186        39
* Greenlane Holdings Inc. Class A    44,596        24
* Real Good Food Co. Inc.     2,268        14
        225,896
Energy (5.9%)
  Ovintiv Inc. (XNYS)   708,296    32,475
  Chesapeake Energy Corp.   283,721    21,917
* Antero Resources Corp.   773,241    17,730
  PDC Energy Inc.   263,506    17,001
* Range Resources Corp.   646,156    14,829
  Matador Resources Co.   298,952    14,828
  Murphy Oil Corp.   395,621    13,716
* Southwestern Energy Co. 2,746,382    13,704
  ChampionX Corp.   547,714    11,727
  SM Energy Co.   323,845    11,500
  Helmerich & Payne Inc.   284,298    10,300
* Denbury Inc.   136,167     9,894
* CNX Resources Corp.   566,242     9,252
  California Resources Corp.   219,368     9,045
  Magnolia Oil & Gas Corp. Class A   389,222     8,699
  Whiting Petroleum Corp.   106,389     7,857
  Cactus Inc. Class A   149,736     7,586
* Renewable Energy Group Inc.   120,716     7,424
  Patterson-UTI Energy Inc.   504,114     7,274
* Callon Petroleum Co.   128,560     7,246
  Oasis Petroleum Inc.    53,551     7,096
  Equitrans Midstream Corp. 1,104,016     7,077
  Arcosa Inc.   130,685     6,883
*,1 FuelCell Energy Inc.   997,955     5,988
  Civitas Resources Inc.   117,397     5,925
* Kosmos Energy Ltd. 1,211,132     5,886
* Ameresco Inc. Class A    83,579     5,370
  Arch Resources Inc.    40,810     4,872
  World Fuel Services Corp.   168,735     4,782
* Golar LNG Ltd.   273,607     4,761
* Centennial Resource Development Inc. Class A   498,162     4,374
  Warrior Met Coal Inc.   138,854     4,374
* PBF Energy Inc. Class A   259,833     4,318
* Green Plains Inc.   129,222     4,231
* Peabody Energy Corp.   240,290     4,167
* Oceaneering International Inc.   268,996     3,938
* Array Technologies Inc.   345,477     3,883
* SunPower Corp.   216,419     3,880
 
8

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
*,1 Tellurian Inc. 1,002,142     3,818
* NexTier Oilfield Solutions Inc.   467,147     3,719
  Northern Oil and Gas Inc.   141,078     3,538
* Liberty Oilfield Services Inc. Class A   245,488     3,064
* Delek US Holdings Inc.   177,274     3,054
  Archrock Inc.   363,425     3,035
* ProPetro Holding Corp.   233,065     2,976
* Stem Inc.   308,559     2,938
* CONSOL Energy Inc.    92,550     2,845
* NOW Inc.   298,150     2,785
* Dril-Quip Inc.    94,799     2,734
  Brigham Minerals Inc. Class A   117,907     2,686
* Laredo Petroleum Inc.    33,846     2,591
* Nabors Industries Ltd. (XNYS)    19,030     2,389
* MRC Global Inc.   217,356     2,195
* Bristow Group Inc.    63,933     2,119
* Comstock Resources Inc.   247,518     2,054
* Expro Group Holdings NV   125,748     2,023
* Ranger Oil Corp. Class A    57,034     1,925
*,1 Gevo Inc.   534,354     1,897
  Berry Corp.   182,114     1,821
  SunCoke Energy Inc.   224,379     1,779
* Par Pacific Holdings Inc.   120,930     1,645
* Tidewater Inc.   110,939     1,643
* RPC Inc.   181,971     1,596
* Talos Energy Inc.   100,909     1,585
* Helix Energy Solutions Group Inc.   386,722     1,566
* DMC Global Inc.    50,216     1,476
* Select Energy Services Inc. Class A   169,616     1,404
  CVR Energy Inc.    79,940     1,390
* REX American Resources Corp.    14,322     1,353
* TPI Composites Inc.    96,959     1,311
* W&T Offshore Inc.   252,782     1,229
* Crescent Energy Inc. Class A    79,948     1,211
* Centrus Energy Corp. Class A    26,042     1,179
* TETRA Technologies Inc.   330,311     1,057
* Aemetis Inc.    73,940       948
* Newpark Resources Inc.   244,738       923
* National Energy Services Reunited Corp.   102,664       915
  Solaris Oilfield Infrastructure Inc. Class A    86,054       895
* Earthstone Energy Inc. Class A    68,153       886
* Oil States International Inc.   165,897       868
* American Superconductor Corp.    75,595       642
* FTS International Inc. Class A    23,924       633
  Falcon Minerals Corp.   106,870       613
  Kinetik Holdings Inc.     8,795       598
* Matrix Service Co.    71,551       497
*,1 Beam Global    24,397       354
  HighPeak Energy Inc.    13,867       293
*,1 FTC Solar Inc.    52,125       246
  Riley Exploration Permian Inc.     6,534       219
    Shares Market
Value•

($000)
*,1 Advent Technologies Holdings Inc.    42,068       109
* Nabors Industries Ltd. Warrants Exp. 6/11/26     5,784        81
* Fluence Energy Inc.     5,220        71
        433,230
Financials (16.6%)
  SouthState Corp.   188,802    16,992
  First Financial Bankshares Inc.   351,056    16,823
  Glacier Bancorp Inc.   297,925    16,505
  Cadence Bank   508,272    16,072
  Valley National Bancorp 1,082,483    15,122
  Old National Bancorp   796,026    14,551
  Houlihan Lokey Inc. Class A   138,073    14,202
  Blackstone Mortgage Trust Inc. Class A   425,066    13,509
  Selective Insurance Group Inc.   160,561    13,357
  United Bankshares Inc.   356,578    13,058
  Hancock Whitney Corp.   233,917    13,024
  Essent Group Ltd.   292,764    12,934
  Kinsale Capital Group Inc.    58,125    12,192
  UMB Financial Corp.   118,345    12,055
  ServisFirst Bancshares Inc.   134,831    11,782
  Radian Group Inc.   487,031    11,640
  RLI Corp.   108,079    10,970
  United Community Banks Inc.   283,303    10,952
  Walker & Dunlop Inc.    79,042    10,935
  Independent Bank Corp. (XNGS)   123,679    10,638
  BankUnited Inc.   240,554    10,632
  Community Bank System Inc.   144,799    10,562
  Investors Bancorp Inc.   618,822    10,359
  Eastern Bankshares Inc.   464,309    10,150
  Associated Banc-Corp.   402,006     9,805
  Pacific Premier Bancorp Inc.   253,103     9,798
  Home BancShares Inc.   411,736     9,639
  First Interstate BancSystem Inc. Class A   237,021     9,623
* Enstar Group Ltd.    33,493     9,547
* Silvergate Capital Corp. Class A    74,281     9,514
  Cathay General Bancorp   200,453     9,427
* Trupanion Inc.   103,047     9,236
* Texas Capital Bancshares Inc.   137,131     9,133
  Ameris Bancorp   179,901     8,905
  WSFS Financial Corp.   174,929     8,892
  Simmons First National Corp. Class A   307,788     8,778
* Mr Cooper Group Inc.   167,342     8,506
* Axos Financial Inc.   153,964     8,428
  American Equity Investment Life Holding Co.   223,289     8,416
  Atlantic Union Bankshares Corp.   203,701     8,276
  CVB Financial Corp.   349,476     8,241
  Federated Hermes Inc.   251,345     8,211
* Focus Financial Partners Inc. Class A   161,092     8,061
 
9

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  CNO Financial Group Inc.   332,684     8,041
  Moelis & Co. Class A   165,430     7,975
  Independent Bank Group Inc.   101,746     7,850
  Chimera Investment Corp.   637,690     7,761
  Columbia Banking System Inc.   211,836     7,760
  Fulton Financial Corp.   429,930     7,747
  FirstCash Holdings Inc.   107,366     7,735
  First BanCorp. (XNYS)   547,260     7,727
  Navient Corp.   427,955     7,536
  Hamilton Lane Inc. Class A    94,334     7,367
  Piper Sandler Cos.    47,315     7,003
  Arbor Realty Trust Inc.   388,567     6,994
  First Merchants Corp.   154,057     6,738
*,1 Marathon Digital Holdings Inc.   257,553     6,529
  Flagstar Bancorp Inc.   140,636     6,410
* Triumph Bancorp Inc.    63,550     6,375
  International Bancshares Corp.   145,055     6,239
  Washington Federal Inc.   175,181     6,233
  First Financial Bancorp   250,243     6,151
* Cannae Holdings Inc.   228,638     6,139
  WesBanco Inc.   165,590     6,051
  Artisan Partners Asset Management Inc. Class A   158,384     6,036
* Open Lending Corp. Class A   281,141     5,856
  Sandy Spring Bancorp Inc.   120,843     5,690
  Banner Corp.    92,088     5,674
  Towne Bank   181,712     5,666
* Genworth Financial Inc. Class A 1,371,908     5,570
  Live Oak Bancshares Inc.    86,059     5,503
  Cohen & Steers Inc.    67,169     5,458
  Renasant Corp.   147,921     5,401
  Heartland Financial USA Inc.   108,763     5,397
  Hope Bancorp Inc.   312,503     5,300
  Trustmark Corp.   168,090     5,293
  Lakeland Financial Corp.    65,805     5,278
* NMI Holdings Inc. Class A   226,990     5,253
  Veritex Holdings Inc.   128,663     5,228
  Park National Corp.    38,888     5,213
* PRA Group Inc.   116,774     5,212
  Bank of NT Butterfield & Son Ltd.   135,634     5,208
* Encore Capital Group Inc.    78,699     5,193
  Hilltop Holdings Inc.   167,064     5,166
  Seacoast Banking Corp. of Florida   140,779     5,160
  Eagle Bancorp Inc.    85,502     5,123
* Customers Bancorp Inc.    80,700     4,967
* LendingClub Corp.   267,262     4,966
  Apollo Commercial Real Estate Finance Inc.   378,445     4,939
  Stewart Information Services Corp.    71,987     4,886
  PennyMac Financial Services Inc.    84,368     4,872
  Provident Financial Services Inc.   205,150     4,868
  MFA Financial Inc. 1,198,749     4,867
  Virtus Investment Partners Inc.    19,776     4,759
    Shares Market
Value•

($000)
  Enterprise Financial Services Corp.    95,823     4,737
  Two Harbors Investment Corp.   930,797     4,710
  Horace Mann Educators Corp.   112,956     4,698
  Meta Financial Group Inc.    84,817     4,698
  Northwest Bancshares Inc.   331,304     4,665
  iStar Inc.   181,672     4,564
  NBT Bancorp Inc.   113,942     4,372
* Palomar Holdings Inc.    66,500     4,285
  Goosehead Insurance Inc. Class A    48,895     4,253
  Westamerica BanCorp.    70,407     4,177
  First Bancorp (XNGS)    92,900     4,169
* Riot Blockchain Inc.   240,472     4,143
* Bancorp Inc.   141,344     4,141
  PennyMac Mortgage Investment Trust   264,425     4,125
  First Commonwealth Financial Corp.   254,768     4,115
  Berkshire Hills Bancorp Inc.   132,116     4,109
  PJT Partners Inc. Class A    63,917     4,079
* Enova International Inc.    98,108     4,000
  FB Financial Corp.    89,868     3,994
  BGC Partners Inc. Class A   852,671     3,905
  Capitol Federal Financial Inc.   350,782     3,831
  American National Group Inc.    20,142     3,807
* LendingTree Inc.    31,433     3,804
  StepStone Group Inc. Class A   109,490     3,781
  Brightsphere Investment Group Inc.   156,998     3,748
  OFG Bancorp   132,645     3,738
  First Busey Corp.   135,784     3,727
  Nelnet Inc. Class A    45,819     3,691
  BancFirst Corp.    46,415     3,626
  Argo Group International Holdings Ltd.    85,765     3,617
  New York Mortgage Trust Inc. 1,025,972     3,601
  Brookline Bancorp Inc.   207,171     3,551
* BRP Group Inc. Class A   127,734     3,547
  OceanFirst Financial Corp.   157,397     3,523
  Ladder Capital Corp. Class A   306,531     3,513
  Southside Bancshares Inc.    84,219     3,511
  ProAssurance Corp.   145,377     3,504
  National Bank Holdings Corp. Class A    78,630     3,490
  Stock Yards Bancorp Inc.    65,056     3,479
* StoneX Group Inc.    45,250     3,414
  ConnectOne Bancorp Inc.   100,560     3,318
  B Riley Financial Inc.    54,684     3,256
  Safety Insurance Group Inc.    39,017     3,256
  S&T Bancorp Inc.   104,500     3,249
  Redwood Trust Inc.   310,643     3,228
  TriCo Bancshares    74,278     3,224
  City Holding Co.    40,306     3,211
* Nicolet Bankshares Inc.    33,675     3,208
  Dime Community Bancshares Inc.    93,279     3,171
 
10

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  Federal Agricultural Mortgage Corp. Class C    24,750     3,062
  Premier Financial Corp.    99,752     3,059
  Tompkins Financial Corp.    38,049     3,010
  Broadmark Realty Capital Inc.   347,581     3,010
  Lakeland Bancorp Inc.   165,630     2,988
  Employers Holdings Inc.    75,606     2,938
  Preferred Bank    37,097     2,911
  Banc of California Inc.   147,789     2,904
  First Foundation Inc.   107,080     2,856
  HomeStreet Inc.    53,810     2,769
  Origin Bancorp Inc.    59,871     2,765
* Metropolitan Bank Holding Corp.    26,403     2,700
  German American Bancorp Inc.    66,453     2,644
  James River Group Holdings Ltd.    98,735     2,626
* Blucora Inc.   131,314     2,613
* MoneyGram International Inc.   241,688     2,596
* TriState Capital Holdings Inc.    77,829     2,584
  Ellington Financial Inc.   145,963     2,579
  State Auto Financial Corp.    48,171     2,505
  Washington Trust Bancorp Inc.    45,983     2,495
  Heritage Financial Corp.    93,467     2,451
  AMERISAFE Inc.    51,622     2,431
  Kearny Financial Corp.   183,199     2,420
  Ready Capital Corp.   161,504     2,398
  Amerant Bancorp Inc.    72,642     2,357
  Horizon Bancorp Inc.   115,281     2,315
* World Acceptance Corp.    11,638     2,287
  QCR Holdings Inc.    40,890     2,284
* Columbia Financial Inc.   106,133     2,254
  Univest Financial Corp.    77,689     2,251
  1st Source Corp.    45,778     2,211
  Allegiance Bancshares Inc.    51,084     2,189
  Hanmi Financial Corp.    82,473     2,154
  Central Pacific Financial Corp.    73,590     2,148
  Peoples Bancorp Inc.    68,507     2,143
  Cowen Inc. Class A    71,451     2,119
  WisdomTree Investments Inc.   364,471     2,052
  KKR Real Estate Finance Trust Inc.    95,533     2,051
  Brightspire Capital Inc. Class A   227,313     2,014
* CrossFirst Bankshares Inc.   125,909     1,981
* MBIA Inc.   129,803     1,979
  ARMOUR Residential REIT Inc.   240,873     1,958
  First Bancorp Inc. (XNMS)    54,462     1,923
  TPG RE Finance Trust Inc.   162,176     1,920
  HarborOne Bancorp Inc.   128,824     1,905
  Camden National Corp.    39,513     1,879
  Heritage Commerce Corp.   157,852     1,877
  Flushing Financial Corp.    79,669     1,871
  Northfield Bancorp Inc.   118,503     1,860
  Invesco Mortgage Capital Inc.   847,583     1,848
  Byline Bancorp Inc.    67,418     1,838
    Shares Market
Value•

($000)
  Peapack-Gladstone Financial Corp.    48,230     1,819
  First Mid Bancshares Inc.    44,686     1,791
  Community Trust Bancorp Inc.    42,071     1,779
* SiriusPoint Ltd.   239,191     1,768
  TrustCo Bank Corp. NY    50,638     1,730
* Atlantic Capital Bancshares Inc.    53,263     1,723
  Great Southern Bancorp Inc.    27,667     1,699
  Midland States Bancorp Inc.    57,163     1,678
  Cambridge Bancorp    18,365     1,619
  Granite Point Mortgage Trust Inc.   143,926     1,615
  Diamond Hill Investment Group Inc.     8,205     1,591
* Ambac Financial Group Inc.   122,567     1,573
  United Fire Group Inc.    56,774     1,568
  Mercantile Bank Corp.    41,035     1,513
  Dynex Capital Inc.    97,238     1,495
  CBTX Inc.    49,681     1,493
  National Western Life Group Inc. Class A     6,936     1,480
  Bank of Marin Bancorp    41,575     1,468
  First Financial Corp.    30,888     1,437
  Farmers National Banc Corp.    82,901     1,428
  Hingham Institution for Savings     3,911     1,407
  Financial Institutions Inc.    42,413     1,355
  Business First Bancshares Inc.    51,691     1,354
  First of Long Island Corp.    61,785     1,345
  Independent Bank Corp.    55,251     1,315
  First Community Bankshares Inc.    44,657     1,310
  Banco Latinoamericano de Comercio Exterior SA Class E    83,612     1,292
  Arrow Financial Corp.    37,306     1,281
  Franklin BSP Realty Trust Inc. REIT    96,551     1,274
  West BanCorp. Inc.    43,744     1,264
  Bank First Corp.    17,654     1,243
  Metrocity Bankshares Inc.    51,085     1,242
  First Internet Bancorp    25,030     1,223
* Coastal Financial Corp.    25,677     1,222
  HomeTrust Bancshares Inc.    40,288     1,212
1 Orchid Island Capital Inc.   364,991     1,201
  GCM Grosvenor Inc. Class A   119,819     1,197
  Capstar Financial Holdings Inc.    55,488     1,187
  Alerus Financial Corp.    41,012     1,179
* Carter Bankshares Inc.    70,102     1,168
  Equity Bancshares Inc. Class A    36,789     1,157
  Bar Harbor Bankshares    40,190     1,155
  Merchants Bancorp    39,764     1,151
* Assetmark Financial Holdings Inc.    48,961     1,150
  MidWestOne Financial Group Inc.    37,985     1,147
 
11

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  Republic Bancorp Inc. Class A    24,978     1,146
* Southern First Bancshares Inc.    19,995     1,141
  CNB Financial Corp.    43,277     1,132
  Waterstone Financial Inc.    57,421     1,122
  Southern Missouri Bancorp Inc.    20,500     1,098
  Mid Penn Bancorp Inc.    38,620     1,081
  Old Second Bancorp Inc.    75,831     1,079
  American National Bankshares Inc.    27,876     1,076
  Oppenheimer Holdings Inc. Class A    24,855     1,073
  Regional Management Corp.    20,746     1,065
  MVB Financial Corp.    27,311     1,052
* Blue Foundry Bancorp    75,416     1,048
* eHealth Inc.    66,597     1,035
  Capital City Bank Group Inc.    36,591     1,027
  Five Star Bancorp    33,751     1,026
  Sierra Bancorp    38,040     1,021
  Citizens & Northern Corp.    40,978     1,015
  Enterprise Bancorp Inc.    24,911     1,004
  Spirit of Texas Bancshares Inc.    34,718       991
  Civista Bancshares Inc.    40,445       986
  SmartFinancial Inc.    37,390       976
* Bridgewater Bancshares Inc.    57,595       969
  HCI Group Inc.    15,369       957
  Primis Financial Corp.    65,759       940
* Oportun Financial Corp.    57,256       936
  RBB Bancorp    37,894       914
  Peoples Financial Services Corp.    18,882       902
  Universal Insurance Holdings Inc.    73,518       850
  First Bancorp Inc. (XNGS)    28,458       848
  Summit Financial Group Inc.    30,623       835
  Enact Holdings Inc.    40,040       833
  Tiptree Inc.    63,684       815
* EZCorp. Inc. Class A   132,364       793
  Home Bancorp Inc.    20,065       787
  South Plains Financial Inc.    28,163       779
  Guaranty Bancshares Inc.    21,866       765
  Sculptor Capital Management Inc. Class A    59,604       764
  Blue Ridge Bankshares Inc.    47,252       758
  Curo Group Holdings Corp.    55,143       737
  Orrstown Financial Services Inc.    29,535       721
  Northrim BanCorp Inc.    15,947       714
  Provident Bancorp Inc.    42,079       688
  Great Ajax Corp.    58,925       671
  Investors Title Co.     3,482       667
  Greenhill & Co. Inc.    37,560       664
  AFC Gamma Inc.    33,537       662
  Macatawa Bank Corp.    71,927       660
* Ocwen Financial Corp.    22,148       634
  PCSB Financial Corp.    33,890       631
  Amalgamated Financial Corp.    36,705       630
    Shares Market
Value•

($000)
* Republic First Bancorp Inc.   121,143       629
  Red River Bancshares Inc.    12,277       629
  First Bank    42,812       624
  FS Bancorp Inc.    19,297       618
* Citizens Inc. Class A   136,734       581
  Luther Burbank Corp.    42,853       555
  Donegal Group Inc. Class A    39,771       543
  Fidelity D&D Bancorp Inc.    10,931       539
  Capital Bancorp Inc.    21,313       529
* Greenlight Capital Re Ltd. Class A    72,705       523
  HBT Financial Inc.    27,328       523
* Maiden Holdings Ltd.   190,361       464
* NI Holdings Inc.    23,732       426
  Pzena Investment Management Inc. Class A    44,464       410
  Heritage Insurance Holdings Inc.    71,920       401
* Trean Insurance Group Inc.    48,374       343
  Crawford & Co. Class A    44,174       341
* Pioneer Bancorp Inc.    31,883       337
* MetroMile Inc.   256,355       328
  Angel Oak Mortgage Inc.    19,557       318
* Velocity Financial LLC    24,025       307
  GAMCO Investors Inc. Class A    13,562       292
* Third Coast Bancshares Inc.     9,361       218
  United Insurance Holdings Corp.    54,081       198
  Associated Capital Group Inc. Class A     4,533       177
*,1 Finance of America Cos. Inc. Class A    49,968       162
  Value Line Inc.     2,686       159
* TPG Inc.     4,665       143
* P10 Inc. Class A     6,917        86
1 Home Point Capital Inc.    21,358        70
* Clearwater Analytics Holdings Inc. Class A     1,208        24
* Finwise Bancorp       932        20
* USCB Financial Holdings Inc.     1,466        19
      1,213,912
Health Care (15.9%)
* Tenet Healthcare Corp.   286,950    24,675
* Intellia Therapeutics Inc.   188,461    18,629
* Biohaven Pharmaceutical Holding Co. Ltd.   150,486    17,864
* Inspire Medical Systems Inc.    72,672    17,736
* Shockwave Medical Inc.    91,122    16,150
* Arena Pharmaceuticals Inc.   166,961    15,856
* Omnicell Inc.   118,312    15,295
* Halozyme Therapeutics Inc.   374,172    13,272
* Arrowhead Pharmaceuticals Inc.   273,947    12,054
* Medpace Holdings Inc.    78,271    11,973
  Ensign Group Inc.   142,030    11,936
* HealthEquity Inc.   221,100    11,875
* Intra-Cellular Therapies Inc.   213,103    11,823
 
12

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  CONMED Corp.    78,494    11,473
* LivaNova plc   144,514    11,391
* LHC Group Inc.    82,571    11,244
* Option Care Health Inc.   429,666    11,042
* Beam Therapeutics Inc.   138,137    10,823
* Alkermes plc   432,854    10,761
* Neogen Corp.   290,566    10,373
* iRhythm Technologies Inc.    79,731    10,307
* STAAR Surgical Co.   128,235    10,172
* Blueprint Medicines Corp.   158,168     9,577
* Merit Medical Systems Inc.   138,531     9,009
* R1 RCM Inc.   321,200     8,733
* Lantheus Holdings Inc.   182,194     8,713
  Owens & Minor Inc.   195,724     8,641
* AtriCure Inc.   120,905     8,397
* Arvinas Inc.   127,218     8,245
* ACADIA Pharmaceuticals Inc.   323,579     8,222
* Apellis Pharmaceuticals Inc.   192,820     8,201
* Inari Medical Inc.    92,872     8,171
* BioCryst Pharmaceuticals Inc.   486,684     8,084
* Prestige Consumer Healthcare Inc.   135,352     8,057
* Denali Therapeutics Inc.   245,479     7,993
* Pacira BioSciences Inc.   119,132     7,945
* Haemonetics Corp.   136,386     7,871
* Insmed Inc.   319,382     7,633
* Cytokinetics Inc.   214,332     7,570
* Fate Therapeutics Inc.   218,925     7,564
* NuVasive Inc.   139,748     7,563
* Integer Holdings Corp.    88,631     7,433
* Twist Bioscience Corp.   127,396     7,127
* Axonics Inc.   123,633     7,017
  Patterson Cos. Inc.   231,194     6,913
  Select Medical Holdings Corp.   298,195     6,903
* Progyny Inc.   173,873     6,844
* Glaukos Corp.   122,830     6,794
* Nevro Corp.    93,562     6,708
* PTC Therapeutics Inc.   187,621     6,589
* NeoGenomics Inc.   306,055     6,553
* Karuna Therapeutics Inc.    60,010     6,301
* Pacific Biosciences of California Inc.   524,533     6,252
* Invitae Corp.   540,292     5,830
* Amicus Therapeutics Inc.   711,123     5,789
* Corcept Therapeutics Inc.   258,793     5,768
* Ortho Clinical Diagnostics Holdings plc Class H   325,277     5,754
* Evolent Health Inc. Class A   215,536     5,744
* Outset Medical Inc.   126,640     5,568
* Emergent BioSolutions Inc.   132,479     5,482
* CareDx Inc.   136,825     5,251
* Myriad Genetics Inc.   214,293     5,224
* Vericel Corp.   125,618     5,177
* Veracyte Inc.   182,484     5,073
* Global Blood Therapeutics Inc.   167,307     5,053
* IVERIC bio Inc.   310,481     4,980
* Zentalis Pharmaceuticals Inc.    98,426     4,910
* Apollo Medical Holdings Inc.   101,707     4,894
    Shares Market
Value•

($000)
* MEDNAX Inc.   205,874     4,832
* Surgery Partners Inc.    91,806     4,799
* Xencor Inc.   152,506     4,775
* Avanos Medical Inc.   130,003     4,601
* Agios Pharmaceuticals Inc.   146,953     4,575
* Relay Therapeutics Inc.   188,592     4,547
* Arcus Biosciences Inc.   121,255     4,511
* SpringWorks Therapeutics Inc.    78,862     4,463
* ChemoCentryx Inc.   145,983     4,429
*,1 Cassava Sciences Inc.   103,482     4,399
* NanoString Technologies Inc.   122,695     4,351
* Travere Thrapeutics Inc.   159,330     4,343
* Ironwood Pharmaceuticals Inc. Class A   397,135     4,273
* Supernus Pharmaceuticals Inc.   132,590     4,236
* Phreesia Inc.   134,021     4,127
* Ligand Pharmaceuticals Inc.    40,697     4,119
* Vir Biotechnology Inc.   162,151     4,085
* Zogenix Inc.   151,310     3,973
* ModivCare Inc.    33,536     3,957
* Turning Point Therapeutics Inc.   124,201     3,932
* Multiplan Corp. 1,029,452     3,871
* Health Catalyst Inc.   141,196     3,829
* CorVel Corp.    23,909     3,803
* Heska Corp.    26,381     3,746
* Celldex Therapeutics Inc.   124,329     3,717
* Kymera Therapeutics Inc.    92,881     3,693
* Enanta Pharmaceuticals Inc.    52,114     3,670
* Dynavax Technologies Corp.   291,514     3,574
* Addus HomeCare Corp.    41,659     3,543
* Prometheus Biosciences Inc.    81,020     3,528
* Community Health Systems Inc.   334,871     3,519
*,1 Fulgent Genetics Inc.    56,489     3,519
* TG Therapeutics Inc.   349,419     3,449
* Silk Road Medical Inc.    92,648     3,440
* Brookdale Senior Living Inc.   499,117     3,434
*,1 Recursion Pharmaceuticals Inc. Class A   311,789     3,414
* 1Life Healthcare Inc.   315,318     3,409
* Prothena Corp. plc    97,694     3,380
* AdaptHealth Corp. Class A   193,836     3,379
* OPKO Health Inc. 1,079,140     3,378
* Avid Bioservices Inc.   163,344     3,345
* FibroGen Inc.   232,546     3,272
* Codexis Inc.   162,894     3,246
* Tivity Health Inc.   118,989     3,246
  Healthcare Services Group Inc.   202,390     3,202
  US Physical Therapy Inc.    34,572     3,180
* Editas Medicine Inc. Class A   184,901     3,166
* Krystal Biotech Inc.    48,496     3,082
* REVOLUTION Medicines Inc.   160,285     3,033
 
13

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* RadNet Inc.   122,618     3,025
* NextGen Healthcare Inc.   154,753     3,022
* ImmunoGen Inc.   534,323     3,014
* Atara Biotherapeutics Inc.   234,277     3,010
* Madrigal Pharmaceuticals Inc.    31,678     2,941
* Protagonist Therapeutics Inc.   120,932     2,936
* Meridian Bioscience Inc.   115,038     2,910
* Cerevel Therapeutics Holdings Inc.   109,614     2,901
* Quanterix Corp.    83,354     2,812
* REGENXBIO Inc.   106,590     2,794
* Amphastar Pharmaceuticals Inc.   100,179     2,776
* Kura Oncology Inc.   170,815     2,711
  Atrion Corp.     3,771     2,698
* Cerus Corp.   454,356     2,667
* Revance Therapeutics Inc.   189,234     2,568
* Natus Medical Inc.    91,370     2,542
* Vaxcyte Inc.   108,821     2,521
* Alector Inc.   157,842     2,500
* Castle Biosciences Inc.    57,688     2,497
* Crinetics Pharmaceuticals Inc.   124,029     2,483
* Harmony Biosciences Holdings Inc.    62,065     2,480
* Intersect ENT Inc.    90,008     2,448
* Accolade Inc.   135,809     2,442
* Varex Imaging Corp.   103,166     2,439
* Reata Pharmaceuticals Inc. Class A    74,332     2,434
  LeMaitre Vascular Inc.    50,829     2,413
* AngioDynamics Inc.   100,985     2,376
* C4 Therapeutics Inc.   104,266     2,339
* Morphic Holding Inc.    56,993     2,272
* Keros Therapeutics Inc.    42,026     2,257
* Cardiovascular Systems Inc.   106,958     2,253
* Innoviva Inc.   117,238     2,252
* Bridgebio Pharma Inc.   286,926     2,238
  National HealthCare Corp.    33,825     2,199
* Nuvation Bio Inc.   429,837     2,175
* Axsome Therapeutics Inc.    75,223     2,115
* Alphatec Holdings Inc.   190,711     2,102
* OrthoPediatrics Corp.    37,507     2,102
*,1 Senseonics Holdings Inc. 1,166,215     2,099
* OptimizeRx Corp.    46,160     2,091
* American Well Corp. Class A   493,703     2,088
* Coherus Biosciences Inc.   175,574     2,070
* Catalyst Pharmaceuticals Inc.   262,973     2,051
* Aclaris Therapeutics Inc.   137,481     2,048
*,1 Sorrento Therapeutics Inc.   806,264     2,040
* Artivion Inc.   102,707     2,008
* Karyopharm Therapeutics Inc.   194,350     2,008
* Rocket Pharmaceuticals Inc.   111,858     1,992
* Anavex Life Sciences Corp.   181,233     1,986
* Apria Inc.    52,829     1,973
* iTeos Therapeutics Inc.    54,459     1,968
* SI-BONE Inc.    87,924     1,940
* Endo International plc   617,298     1,920
* Syndax Pharmaceuticals Inc.   121,364     1,892
    Shares Market
Value•

($000)
* Sangamo Therapeutics Inc.   318,888     1,865
* Inogen Inc.    53,371     1,862
* Pulmonx Corp.    70,473     1,851
* Hanger Inc.   101,195     1,834
* Cutera Inc.    47,425     1,819
* Alignment Healthcare Inc.   214,755     1,813
* Collegium Pharmaceutical Inc.    93,057     1,812
* MaxCyte Inc.   260,097     1,810
*,1 Inovio Pharmaceuticals Inc.   558,353     1,809
*,1 Heron Therapeutics Inc.   249,129     1,769
* Treace Medical Concepts Inc.    81,498     1,755
*,1 Ocugen Inc.   496,895     1,749
* MannKind Corp.   665,570     1,744
*,1 Butterfly Network Inc.   337,088     1,736
* Orthofix Medical Inc.    50,995     1,733
* Seer Inc. Class A   112,216     1,719
* Avidity Biosciences Inc.   101,198     1,716
*,1 Bionano Genomics Inc.   788,843     1,688
* Vanda Pharmaceuticals Inc.   147,948     1,681
* Allogene Therapeutics Inc.   183,010     1,675
*,1 Vaxart Inc.   329,053     1,672
* Surmodics Inc.    36,613     1,643
* Theravance Biopharma Inc.   161,674     1,628
* Inhibrx Inc.    75,362     1,620
* Agenus Inc.   591,112     1,596
* AnaptysBio Inc.    51,818     1,584
* Antares Pharma Inc.   450,703     1,577
* Instil Bio Inc.   146,377     1,571
* ViewRay Inc.   370,685     1,542
* Joint Corp.    37,200     1,525
* Gossamer Bio Inc.   168,753     1,524
* MiMedx Group Inc.   301,218     1,521
* Albireo Pharma Inc.    45,577     1,520
* MacroGenics Inc.   161,533     1,510
* Sana Biotechnology Inc.   233,306     1,507
* OraSure Technologies Inc.   193,104     1,506
  National Research Corp.    37,813     1,504
* Seres Therapeutics Inc.   187,775     1,502
* Eagle Pharmaceuticals Inc.    30,764     1,458
* PetIQ Inc. Class A    72,583     1,440
* HealthStream Inc.    68,849     1,411
* BioDelivery Sciences International Inc.   251,752     1,405
* Verve Therapeutics Inc.    42,652     1,393
* Kezar Life Sciences Inc.    93,707     1,392
* Affimed NV   312,853     1,380
* Arcturus Therapeutics Holdings Inc.    56,850     1,363
* Nurix Therapeutics Inc.    84,181     1,361
* Chinook Therapeutics Inc.   105,068     1,341
* Arcutis Biotherapeutics Inc.    74,572     1,327
* Scholar Rock Holding Corp.    75,508     1,314
* UFP Technologies Inc.    18,811     1,301
* TransMedics Group Inc.    69,665     1,290
* Replimune Group Inc.    79,742     1,279
* Anika Therapeutics Inc.    38,941     1,266
* NGM Biopharmaceuticals Inc.    85,001     1,263
*,1 ImmunityBio Inc.   184,369     1,261
 
14

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Cara Therapeutics Inc.   120,080     1,245
* Edgewise Therapeutics Inc.   104,745     1,235
* Akero Therapeutics Inc.    69,320     1,229
* Amneal Pharmaceuticals Inc.   269,222     1,220
*,1 Omeros Corp.   164,923     1,187
  Phibro Animal Health Corp. Class A    55,257     1,177
* Computer Programs and Systems Inc.    38,147     1,174
* Praxis Precision Medicines Inc.    89,600     1,174
* Ocular Therapeutix Inc.   208,716     1,165
*,1 Mind Medicine Mindmed Inc.   950,602     1,160
* Ideaya Biosciences Inc.    87,702     1,158
* LifeStance Health Group Inc.   122,722     1,157
* Rigel Pharmaceuticals Inc.   459,807     1,154
* Rapt Therapeutics Inc.    57,374     1,147
* MeiraGTx Holdings plc    79,839     1,144
* Agiliti Inc.    63,395     1,142
*,1 G1 Therapeutics Inc.   107,496     1,141
* Pennant Group Inc.    69,031     1,122
* PMV Pharmaceuticals Inc.    70,679     1,120
* Privia Health Group Inc.    43,502     1,120
* Chimerix Inc.   196,831     1,110
* ANI Pharmaceuticals Inc.    29,327     1,098
* Atea Pharmaceuticals Inc.   172,729     1,095
* Bluebird Bio Inc.   181,002     1,093
* SeaSpine Holdings Corp.    85,338     1,081
* Inotiv Inc.    39,885     1,054
* Tactile Systems Technology Inc.    51,513     1,049
* Radius Health Inc.   125,435     1,044
* Sutro Biopharma Inc.   116,645     1,040
* Akebia Therapeutics Inc.   476,267     1,029
* 4D Molecular Therapeutics Inc.    74,986     1,027
* Personalis Inc.    96,406     1,012
* Berkeley Lights Inc.   130,374     1,000
* Stoke Therapeutics Inc.    51,234       999
* Cullinan Oncology Inc.    69,581       998
* Phathom Pharmaceuticals Inc.    54,963       996
* Bioventus Inc. Class A    75,522       982
* Design Therapeutics Inc.    72,317       981
* Axogen Inc.   104,376       975
* KalVista Pharmaceuticals Inc.    59,874       961
*,1 Intercept Pharmaceuticals Inc.    67,291       960
* Provention Bio Inc.   151,766       952
* Aerie Pharmaceuticals Inc.   113,463       942
* Vapotherm Inc.    61,980       941
* Rhythm Pharmaceuticals Inc.   118,356       902
* Forma Therapeutics Holdings Inc.    91,355       901
* Geron Corp. (XNGS)   822,840       897
* 2seventy bio Inc.    60,276       894
* Relmada Therapeutics Inc.    42,591       874
* Y-mAbs Therapeutics Inc.    95,227       868
* Bioxcel Therapeutics Inc.    47,069       862
  iRadimed Corp.    17,314       861
    Shares Market
Value•

($000)
* ALX Oncology Holdings Inc.    47,405       859
* Mersana Therapeutics Inc.   195,172       857
* Oramed Pharmaceuticals Inc.    82,739       852
* Apyx Medical Corp.    84,121       851
  Utah Medical Products Inc.     9,440       850
* Accuray Inc.   243,071       843
* Dermtech Inc.    65,153       833
* 908 Devices Inc.    50,063       833
* Deciphera Pharmaceuticals Inc.   106,920       824
* Fulcrum Therapeutics Inc.    74,071       815
* Evolus Inc.    88,769       812
* Kiniksa Pharmaceuticals Ltd. Class A    78,243       801
* Altimmune Inc.   107,393       796
* Athira Pharma Inc.    86,932       796
* Marinus Pharmaceuticals Inc.   101,002       790
* Kronos Bio Inc.   104,475       787
* Kodiak Sciences Inc.    90,586       783
* Curis Inc.   232,387       778
* SIGA Technologies Inc.   129,184       775
* Fluidigm Corp.   208,009       765
* Organogenesis Holdings Inc. Class A   102,069       759
*,1 VBI Vaccines Inc.   508,282       757
* VistaGen Therapeutics Inc.   528,673       740
*,1 Adicet Bio Inc.    56,047       733
* Allovir Inc.    80,518       725
* Dyne Therapeutics Inc.    82,357       706
*,1 Erasca Inc.    56,826       705
* DICE Therapeutics Inc.    37,983       702
* Arbutus Biopharma Corp.   214,816       687
* CytomX Therapeutics Inc.   177,100       678
* Jounce Therapeutics Inc.    90,154       673
* ORIC Pharmaceuticals Inc.    86,308       670
* BioLife Solutions Inc.    28,099       660
* MEI Pharma Inc.   296,803       641
*,1 Clovis Oncology Inc.   309,581       638
* Icosavax Inc.    36,607       638
* Spero Therapeutics Inc.    66,283       636
* Imago Biosciences Inc.    26,758       630
* Viking Therapeutics Inc.   187,401       628
* Stereotaxis Inc.   136,008       628
* Vera Therapeutics Inc.    26,515       615
* Avita Medical Inc.    66,664       613
* Rubius Therapeutics Inc.   122,622       612
* Immunovant Inc.   109,629       612
* Generation Bio Co.   119,287       611
*,1 Janux Therapeutics Inc.    35,352       611
* Cymabay Therapeutics Inc.   190,141       605
* Cogent Biosciences Inc.   101,533       602
* Cytek Biosciences Inc.    44,042       601
* Gritstone bio Inc.   115,221       588
* Pliant Therapeutics Inc.    65,559       588
* Immunic Inc.    50,282       586
* Precigen Inc.   259,935       585
* EyePoint Pharmaceuticals Inc.    57,785       575
* Precision BioSciences Inc.   134,870       573
* Harvard Bioscience Inc.   105,585       570
* InfuSystem Holdings Inc.    49,442       568
 
15

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Verastem Inc.   472,077       566
*,1 Alaunos Therapeutics Inc.   573,920       566
*,1 CEL–SCI Corp.    96,523       558
* Aveanna Healthcare Holdings Inc.   106,109       557
* Caribou Biosciences Inc.    55,077       550
* Kinnate Biopharma Inc.    69,132       538
* Aldeyra Therapeutics Inc.   132,941       537
* Allakos Inc.    95,879       536
* Sight Sciences Inc.    30,767       536
* CorMedix Inc.   103,909       507
* Foghorn Therapeutics Inc.    52,541       505
* Werewolf Therapeutics Inc.    70,051       502
* Athersys Inc.   558,811       501
*,1 Asensus Surgical Inc.   640,939       494
* Cue Biopharma Inc.    84,169       488
* Lineage Cell Therapeutics Inc.   342,985       484
*,1 Citius Pharmaceuticals Inc.   311,151       479
* SOC Telemed Inc. Class A   162,447       478
*,1 PROCEPT BioRobotics Corp.    19,065       476
* Lyell Immunopharma Inc.    65,399       473
*,1 Vor BioPharma Inc.    52,278       472
* KemPharm Inc.    78,846       468
* Bright Health Group Inc.   140,758       467
* Selecta Biosciences Inc.   252,034       466
*,1 Monte Rosa Therapeutics Inc.    32,073       460
* Paratek Pharmaceuticals Inc.   128,879       454
* Ikena Oncology Inc.    73,748       451
* Sientra Inc.   158,948       450
* Tenaya Therapeutics Inc.    38,621       450
* ClearPoint Neuro Inc.    51,370       449
*,1 Century Therapeutics Inc.    31,716       447
*,1 Nuvalent Inc. Class A    29,520       441
* CytoSorbents Corp.   113,031       437
* Applied Molecular Transport Inc.    66,313       436
* Annexon Inc.    85,427       415
* Day One Biopharmaceuticals Inc.    30,316       414
* Durect Corp.   619,751       411
  XBiotech Inc.    41,222       406
* Homology Medicines Inc.   114,871       401
* Tarsus Pharmaceuticals Inc.    22,653       399
* Graphite Bio Inc.    43,208       398
* Talaris Therapeutics Inc.    56,613       397
* Akoya Biosciences Inc.    35,729       396
* Outlook Therapeutics Inc.   240,486       392
*,1 Atossa Therapeutics Inc.   320,715       391
* Paragon 28 Inc.    23,971       391
* Taysha Gene Therapies Inc.    60,996       389
* Eargo Inc.    80,515       387
* Lexicon Pharmaceuticals Inc.   186,119       385
*,1 Tyra Biosciences Inc.    32,137       381
*,1 Adagio Therapeutics Inc.    56,684       379
* Viemed Healthcare Inc.    96,626       371
* IGM Biosciences Inc.    22,112       369
1 Zynex Inc.    58,440       368
* Epizyme Inc.   246,013       367
*,1 Biomea Fusion Inc.    57,222       367
    Shares Market
Value•

($000)
* Shattuck Labs Inc.    72,584       363
* Forian Inc.    50,727       353
* XOMA Corp.    16,069       352
* Nkarta Inc.    38,884       352
* ChromaDex Corp.   128,702       351
*,1 Absci Corp.    37,432       351
* Akouos Inc.    65,430       349
* Eiger BioPharmaceuticals Inc.    87,033       348
* Tabula Rasa HealthCare Inc.    60,643       346
* 9 Meters Biopharma Inc.   622,396       340
* Surface Oncology Inc.    94,040       339
* Sesen Bio Inc.   533,365       338
* Passage Bio Inc.   101,304       336
* SQZ Biotechnologies Co.    62,004       327
* Ventyx Biosciences Inc.    27,513       322
*,1 UroGen Pharma Ltd.    53,534       321
* Olema Pharmaceuticals Inc.    68,652       321
* Adverum Biotechnologies Inc.   238,174       319
*,1 Cue Health Inc.    38,595       319
* Fortress Biotech Inc.   195,162       314
* Alpha Teknova Inc.    18,489       314
* Aeglea BioTherapeutics Inc.   110,744       307
* Theseus Pharmaceuticals Inc.    30,352       307
* Spectrum Pharmaceuticals Inc.   447,575       304
*,1 Oyster Point Pharma Inc.    30,463       303
* Verrica Pharmaceuticals Inc.    36,040       302
* PAVmed Inc.   196,952       301
*,1 RxSight Inc.    22,094       296
* Esperion Therapeutics Inc.    72,031       295
* iCAD Inc.    61,117       295
* Entrada Therapeutics Inc.    24,229       294
* Quotient Ltd.   208,660       292
* Seelos Therapeutics Inc.   274,442       291
* Poseida Therapeutics Inc.    78,823       288
* WaVe Life Sciences Ltd.   116,911       287
* Cardiff Oncology Inc.   102,648       276
* BioAtla Inc.    42,589       276
* Viracta Therapeutics Inc.    99,468       272
*,1 Ampio Pharmaceuticals Inc.   542,539       271
* Humanigen Inc.   131,919       268
* DarioHealth Corp.    36,646       268
*,1 Aerovate Therapeutics Inc.    27,217       266
* Infinity Pharmaceuticals Inc.   239,763       264
* Alpine Immune Sciences Inc.    31,949       263
* Prelude Therapeutics Inc.    29,586       261
* Singular Genomics Systems Inc.    31,659       261
* Celcuity Inc.    25,753       260
* Magenta Therapeutics Inc.    82,118       259
*,1 Evelo Biosciences Inc.    83,011       259
* Aura Biosciences Inc.    14,354       257
* Accelerate Diagnostics Inc.    90,140       256
*,1 TherapeuticsMD Inc. 1,066,050       255
* Neoleukin Therapeutics Inc.    97,644       252
 
16

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Rain Therapeutics Inc.    42,067       252
* Frequency Therapeutics Inc.    87,330       248
*,1 Innovage Holding Corp.    50,249       248
* Mirum Pharmaceuticals Inc.    10,116       240
* Omega Therapeutics Inc.    20,026       238
* Molecular Templates Inc.   101,057       237
* Silverback Therapeutics Inc.    55,222       237
* Oncocyte Corp.   161,672       236
* AirSculpt Technologies Inc.    17,341       235
* Cortexyme Inc.    53,897       234
* Xilio Therapeutics Inc.    19,561       230
* TCR2 Therapeutics Inc.    84,679       229
* Neuronetics Inc.    68,410       228
* Inozyme Pharma Inc.    39,433       228
*,1 Retractable Technologies Inc.    47,258       224
* Oncternal Therapeutics Inc.   121,424       222
* Vincerx Pharma Inc.    43,380       220
* Tonix Pharmaceuticals Holding Corp. 1,182,833       219
*,1 Aspira Women's Health Inc.   199,196       217
* Bolt Biotherapeutics Inc.    61,210       214
* Greenwich Lifesciences Inc.    10,975       214
* Codex DNA Inc.    20,715       211
* Doximity Inc. Class A     3,418       210
* Harpoon Therapeutics Inc.    50,950       209
* Exagen Inc.    27,479       209
* Rallybio Corp.    19,007       209
* Convey Health Solutions Holdings Inc.    35,844       208
* Trevena Inc.   447,802       205
* Puma Biotechnology Inc.    88,798       204
* Syros Pharmaceuticals Inc.   157,718       203
* Codiak Biosciences Inc.    43,035       203
* Sensei Biotherapeutics Inc.    56,053       202
*,1 Pulse Biosciences Inc.    38,452       195
* Black Diamond Therapeutics Inc.    62,029       195
* Summit Therapeutics Inc.    71,044       195
* Athenex Inc.   236,972       191
* Ardelyx Inc.   246,470       190
* CVRx Inc.    21,623       190
* Invacare Corp.    92,355       189
*,1 iBio Inc.   591,727       189
* Brooklyn ImmunoTherapeutics Inc.    79,949       181
* Immuneering Corp. Class A    22,896       171
* Finch Therapeutics Group Inc.    20,258       170
*,1 Eliem Therapeutics Inc.    18,734       169
* Pyxis Oncology Inc.    27,859       169
* Mustang Bio Inc.   190,741       166
*,1 Clene Inc.    52,755       163
* Avrobio Inc.   104,632       152
* GT Biopharma Inc.    47,573       151
* Acumen Pharmaceuticals Inc.    25,613       150
    Shares Market
Value•

($000)
* Rapid Micro Biosystems Inc. Class A    21,373       149
*,1 BeyondSpring Inc.    61,255       148
* Cincor Pharma Inc.     6,638       148
* NeuroPace Inc.    18,760       146
* Aligos Therapeutics Inc.    57,906       140
* Solid Biosciences Inc.   163,742       133
*,1 Cyteir Therapeutics Inc.    22,181       129
* Atreca Inc. Class A    71,343       128
*,1 Hookipa Pharma Inc.    52,850       127
* 89bio Inc.    26,783       124
* Avalo Therapeutics Inc.   168,308       123
* Terns Pharmaceuticals Inc.    36,475       121
*,1 Oncorus Inc.    56,155       118
* NexImmune Inc.    47,076       117
*,1 Amylyx Pharmaceuticals Inc.     3,571       117
* Reneo Pharmaceuticals Inc.    23,652       114
* Angion Biomedica Corp.    58,332       108
* Portage Biotech Inc.    13,459       107
* IsoPlexis Corp.    22,163       107
*,1 Impel Neuropharma Inc.    14,601       105
* Applied Therapeutics Inc.    48,523        91
* Vigil Neuroscience Inc.     5,235        89
*,1 Kala Pharmaceuticals Inc.   132,552        88
* Acutus Medical Inc.    51,219        83
* Gemini Therapeutics Inc.    60,301        82
* Talis Biomedical Corp.    38,836        81
* Kaleido Biosciences Inc.    53,331        79
* Biodesix Inc.    33,280        79
* Thorne HealthTech Inc.    17,429        78
* Arcellx Inc.     3,672        70
* Sera Prognostics Inc. Class A    12,665        68
* Ontrak Inc.    23,763        64
* NantHealth Inc.    70,996        59
* Sigilon Therapeutics Inc.    40,549        59
* Spruce Biosciences Inc.    23,465        53
* Lucid Diagnostics Inc.    13,147        49
* Forte Biosciences Inc.    31,337        39
* Warby Parker Inc. Class A     1,308        39
*,2 Alder Biopharmaceuticals CVR    32,046        28
*,1,2 Tobira Therapeutics Inc. CVR     6,201        28
* Landos Biopharma Inc.    12,674        27
* MiNK Therapeutics Inc.     7,588        23
* TScan Therapeutics Inc.     5,190        22
* In8bio Inc.     4,877        20
* Minerva Surgical Inc.     3,693        19
* Candel Therapeutics Inc.     4,196        17
* Sonendo Inc.     3,467        17
*,1 Vaxxinity Inc. Class A     2,724        14
* Definitive Healthcare Corp. Class A       498        12
* Elevation Oncology Inc.     2,413         8
* Cognition Therapeutics Inc.       284         1
*,2 PDL BioPharma Inc.       712        —
*,2 Synergy Pharmaceuticals Inc.   224,815        —
*,2 Progenics Pharmaceuticals Inc. CVR   110,304        —
 
17

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
*,2 Achillion Pharma CVR Alexion Pharmaceuticals Inc.     1,085        —
      1,169,239
Industrials (15.2%)
  Tetra Tech Inc.   145,700    23,133
* Saia Inc.    71,703    20,595
* WillScot Mobile Mini Holdings Corp.   571,512    20,306
  EMCOR Group Inc.   143,970    16,634
* ASGN Inc.   137,581    15,243
* WESCO International Inc.   120,363    14,652
* Chart Industries Inc.    98,746    14,259
  Simpson Manufacturing Co. Inc.   117,722    13,951
* AMN Healthcare Services Inc.   127,252    13,507
  Exponent Inc.   140,311    13,296
  Maximus Inc.   165,706    13,068
* Atkore Inc.   124,652    12,678
  Matson Inc.   112,281    12,437
  Triton International Ltd.   180,461    11,853
* API Group Corp.   545,393    11,764
  Herc Holdings Inc.    67,370    10,720
* ExlService Holdings Inc.    88,678    10,711
  Watts Water Technologies Inc. Class A    74,377    10,707
* ACI Worldwide Inc.   318,946    10,691
  Zurn Water Solutions Corp.   327,991    10,666
  Franklin Electric Co. Inc.   125,291    10,595
  Applied Industrial Technologies Inc.   103,661    10,480
  GATX Corp.    95,328    10,165
* Resideo Technologies Inc.   390,951    10,063
* Summit Materials Inc. Class A   320,478    10,005
  SPX FLOW Inc.   112,260     9,642
  Korn Ferry   145,446     9,637
  HB Fuller Co.   140,800     9,626
  John Bean Technologies Corp.    84,717     9,604
* TriNet Group Inc.   109,625     9,571
  Hillenbrand Inc.   197,211     9,409
  Brink's Co.   129,932     9,103
* Beacon Roofing Supply Inc.   150,593     8,989
* Allegheny Technologies Inc.   344,328     8,863
  Insperity Inc.    98,140     8,828
* Bloom Energy Corp. Class A   384,732     8,541
  EnerSys   115,942     8,432
* Welbilt Inc.   353,269     8,351
* Fluor Corp.   383,328     8,303
  Comfort Systems USA Inc.    96,233     8,274
  ABM Industries Inc.   181,851     8,152
  Badger Meter Inc.    78,958     7,849
  Aerojet Rocketdyne Holdings Inc.   202,150     7,833
  Terex Corp.   184,683     7,624
* Hub Group Inc. Class A    89,475     7,552
  Forward Air Corp.    72,516     7,482
  Altra Industrial Motion Corp.   174,829     7,425
  UniFirst Corp.    40,730     7,382
    Shares Market
Value•

($000)
  Albany International Corp. Class A    83,171     7,304
  Werner Enterprises Inc.   166,614     7,241
  Kennametal Inc.   226,011     7,167
* Dycom Industries Inc.    79,606     6,930
* Kratos Defense & Security Solutions Inc.   330,846     6,921
  Otter Tail Corp.   111,223     6,880
  Helios Technologies Inc.    87,240     6,840
  Belden Inc.   119,468     6,732
  AAON Inc.   113,196     6,629
  EVERTEC Inc.   163,508     6,599
* Verra Mobility Corp. Class A   388,855     6,533
* Meritor Inc.   183,405     6,531
  Moog Inc. Class A    78,307     6,508
  Maxar Technologies Inc.   195,735     6,350
  ArcBest Corp.    68,273     6,328
* GMS Inc.   115,282     6,254
  Encore Wire Corp.    53,312     6,207
  Installed Building Products Inc.    64,021     6,191
  ManTech International Corp. Class A    74,185     6,185
  EnPro Industries Inc.    55,750     6,157
  Kadant Inc.    31,126     6,143
* Atlas Air Worldwide Holdings Inc.    77,717     6,090
* Masonite International Corp.    64,274     6,063
  Trinity Industries Inc.   208,441     6,016
* SPX Corp.   118,266     5,996
  Barnes Group Inc.   127,696     5,931
  Federal Signal Corp.   162,633     5,873
  Brady Corp. Class A   127,336     5,868
* Itron Inc.   122,025     5,817
* JELD-WEN Holding Inc.   247,052     5,702
* O-I Glass Inc.   426,096     5,445
  Mueller Water Products Inc. Class A   424,766     5,390
  McGrath RentCorp.    65,255     5,304
* CBIZ Inc.   132,214     5,144
* Air Transport Services Group Inc.   159,547     5,027
*,1 Nikola Corp.   616,809     4,873
* Ferro Corp.   222,294     4,830
  CSW Industrials Inc.    40,086     4,824
  ESCO Technologies Inc.    69,168     4,812
* Flywire Corp.   170,398     4,611
  Textainer Group Holdings Ltd.   127,132     4,514
  ICF International Inc.    49,876     4,420
  Patrick Industries Inc.    61,429     4,382
* AeroVironment Inc.    60,718     4,314
* Triumph Group Inc.   171,654     4,298
* Gibraltar Industries Inc.    88,456     4,274
* Vicor Corp.    56,920     4,256
* Proto Labs Inc.    75,108     4,223
* Veritiv Corp.    38,839     4,162
* Green Dot Corp. Class A   144,305     4,134
* AAR Corp.    91,949     4,132
  Kforce Inc.    54,777     4,118
* Repay Holdings Corp. Class A   234,201     4,045
  Greif Inc. Class A    69,635     4,003
* MYR Group Inc.    44,584     4,001
  TTEC Holdings Inc.    49,997     3,975
  Tennant Co.    49,905     3,932
 
18

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  Lindsay Corp.    29,436     3,862
  Greenbrier Cos. Inc.    86,106     3,826
* NV5 Global Inc.    35,672     3,826
  Primoris Services Corp.   144,602     3,813
  TriMas Corp.   116,798     3,797
  Shyft Group Inc.    93,593     3,782
* CryoPort Inc.   109,360     3,754
  Alamo Group Inc.    26,954     3,750
  Granite Construction Inc.   123,750     3,746
* OSI Systems Inc.    45,684     3,685
  H&E Equipment Services Inc.    86,874     3,628
  Deluxe Corp.   113,798     3,540
  Mesa Laboratories Inc.    13,466     3,438
  Columbus McKinnon Corp.    75,108     3,428
  Standex International Corp.    32,353     3,427
* PGT Innovations Inc.   155,545     3,346
  SFL Corp. Ltd.   334,448     3,328
  AZZ Inc.    67,148     3,306
* Cornerstone Building Brands Inc.   147,933     3,266
  Kaman Corp.    74,459     3,232
* Montrose Environmental Group Inc.    70,721     3,119
* Evo Payments Inc. Class A   127,669     3,078
  Astec Industries Inc.    61,276     3,052
1 Frontline Ltd.   322,800     3,038
  Apogee Enterprises Inc.    67,131     3,026
* Cimpress plc    47,465     2,990
* CoreCivic Inc.   323,659     2,949
  Griffon Corp.   125,524     2,893
* Huron Consulting Group Inc.    58,621     2,892
  Enerpac Tool Group Corp. Class A   163,219     2,816
  Marten Transport Ltd.   160,054     2,761
* FARO Technologies Inc.    49,162     2,691
* TrueBlue Inc.    94,472     2,570
* Donnelley Financial Solutions Inc.    79,616     2,556
* Ranpak Holdings Corp. Class A   101,765     2,463
* Great Lakes Dredge & Dock Corp.   174,321     2,460
  DHT Holdings Inc.   382,961     2,409
* American Woodmark Corp.    44,771     2,399
* First Advantage Corp.   148,289     2,395
  Pitney Bowes Inc.   474,828     2,365
  Scorpio Tankers Inc.   131,772     2,292
  Gorman-Rupp Co.    61,077     2,276
  Wabash National Corp.   133,350     2,272
  International Seaways Inc.   124,222     2,272
  Heidrick & Struggles International Inc.    52,305     2,236
  Douglas Dynamics Inc.    60,630     2,228
* BlueLinx Holdings Inc.    24,879     2,224
* Sterling Construction Co. Inc.    75,112     2,218
* Conduent Inc.   451,934     2,201
* Cross Country Healthcare Inc.    97,170     2,170
* Energy Recovery Inc.   112,420     2,136
*,1 Desktop Metal Inc. Class A   504,334     2,098
    Shares Market
Value•

($000)
* Construction Partners Inc. Class A    78,274     2,095
  Quanex Building Products Corp.    90,542     2,070
  Kelly Services Inc. Class A    94,923     2,014
  Costamare Inc.   142,363     1,922
  Insteel Industries Inc.    50,328     1,868
* SP Plus Corp.    62,585     1,868
  Chase Corp.    20,021     1,839
* Forterra Inc.    77,893     1,835
  Heartland Express Inc.   127,139     1,826
* Vivint Smart Home Inc.   245,888     1,768
* Aspen Aerogels Inc.    59,534     1,762
  CRA International Inc.    19,511     1,733
  Genco Shipping & Trading Ltd.    86,709     1,672
  Myers Industries Inc.    97,685     1,624
* Advantage Solutions Inc.   206,162     1,622
* Napco Security Technologies Inc.    78,265     1,596
* Forrester Research Inc.    30,591     1,589
* Franklin Covey Co.    34,082     1,571
  Argan Inc.    40,189     1,563
* Titan International Inc.   138,839     1,555
* Manitowoc Co. Inc.    92,669     1,532
* Thermon Group Holdings Inc.    89,036     1,524
* I3 Verticals Inc. Class A    57,690     1,523
* BrightView Holdings Inc.   110,598     1,494
* Transcat Inc.    18,998     1,491
* Paya Holdings Inc.   230,944     1,490
* Ducommun Inc.    29,368     1,483
* Titan Machinery Inc.    52,362     1,483
  Cass Information Systems Inc.    37,199     1,472
  Resources Connection Inc.    86,341     1,433
* Vectrus Inc.    31,151     1,428
* International Money Express Inc.    87,927     1,412
*,1 Hyliion Holdings Corp.   316,072     1,365
* Modine Manufacturing Co.   134,775     1,361
  VSE Corp.    28,553     1,361
* Daseke Inc.   108,040     1,356
* CIRCOR International Inc.    49,662     1,338
* DXP Enterprises Inc.    46,466     1,334
  Luxfer Holdings plc    74,183     1,292
  Ennis Inc.    68,728     1,291
  Eagle Bulk Shipping Inc.    24,272     1,280
*,1 Ideanomics Inc. 1,186,165     1,245
* Cantaloupe Inc.   156,953     1,220
  Barrett Business Services Inc.    20,246     1,218
* Yellow Corp.   134,928     1,216
  Dorian LPG Ltd.    83,976     1,157
  Pactiv Evergreen Inc.   115,982     1,116
1 Nordic American Tankers Ltd.   451,128     1,092
  Allied Motion Technologies Inc.    31,338     1,091
* Tutor Perini Corp.   111,321     1,091
  National Presto Industries Inc.    13,632     1,084
* BTRS Holdings Inc. Class A   176,818     1,079
* Vishay Precision Group Inc.    33,830     1,063
 
19

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Babcock & Wilcox Enterprises Inc.   149,616     1,049
  Hyster-Yale Materials Handling Inc.    27,152     1,039
  REV Group Inc.    76,564     1,035
*,1 Workhorse Group Inc.   329,461     1,031
* Astronics Corp.    67,872       998
*,1 PureCycle Technologies Inc.   143,168       996
* Custom Truck One Source Inc.   126,275       993
* IES Holdings Inc.    23,489       987
*,1 Danimer Scientific Inc.   243,668       970
* Willdan Group Inc.    29,819       963
* Sterling Check Corp.    44,886       945
* Teekay Tankers Ltd. Class A    65,180       931
* Blue Bird Corp.    43,234       921
  Greif Inc. Class B    16,024       912
  Miller Industries Inc.    29,406       911
*,1 View Inc.   374,707       907
  Kronos Worldwide Inc.    61,011       899
* Infrastructure and Energy Alternatives Inc.    73,718       802
* Hireright Holdings Corp.    60,961       797
* CS Disco Inc.    20,968       792
* Velodyne Lidar Inc.   206,708       763
  Park Aerospace Corp.    53,653       744
* Radiant Logistics Inc.   107,560       742
  Caesarstone Ltd.    61,708       740
  Covenant Logistics Group Inc. Class A    32,598       734
* Safe Bulkers Inc.   172,365       720
* Atlanticus Holdings Corp.    13,323       710
* Commercial Vehicle Group Inc.    87,841       702
  United States Lime & Minerals Inc.     5,729       673
* AvidXchange Holdings Inc.    68,950       664
* Teekay Corp.   190,384       642
* PAM Transportation Services Inc.     9,425       636
* ShotSpotter Inc.    23,141       594
* Luna Innovations Inc.    83,779       572
* Lawson Products Inc.    12,899       548
* Concrete Pumping Holdings Inc.    70,937       528
  Powell Industries Inc.    24,993       528
* Acacia Research Corp.   134,456       515
* Byrna Technologies Inc.    50,763       508
* CECO Environmental Corp.    85,429       460
* Atlas Technical Consultants Inc.    39,427       453
  Preformed Line Products Co.     8,060       449
* Rekor Systems Inc.    92,686       438
* INNOVATE Corp.   129,962       433
  Universal Logistics Holdings Inc.    20,566       393
* Aersale Corp.    24,880       390
* Iteris Inc.   114,469       377
  Cadre Holdings Inc.    16,870       371
  Park-Ohio Holdings Corp.    23,296       370
* Mistras Group Inc.    54,016       360
*,1 Remitly Global Inc.    32,523       356
    Shares Market
Value•

($000)
* Eos Energy Enterprises Inc.   117,652       341
* US Xpress Enterprises Inc. Class A    73,789       335
* EVI Industries Inc.    15,455       319
* Willis Lease Finance Corp.     7,923       277
  Hirequest Inc.    14,047       264
* Mayville Engineering Co. Inc.    24,775       256
* IBEX Holdings Ltd.    14,986       236
* Target Hospitality Corp.    68,298       215
* AgEagle Aerial Systems Inc.   183,318       214
* Karat Packaging Inc.    12,594       205
* StarTek Inc.    46,272       203
*,1 GreenBox POS    50,172       171
* Priority Technology Holdings Inc.    28,710       151
* Team Inc.    72,110        68
      1,113,458
Other (0.0%)3
*,2 Aduro Biotech Inc. CVR    17,431        11
*,2 Media General Inc. CVR    85,418         3
*,2 GTX Inc. CVR       846         1
*,2 Contra Flexion Therape CVR       111        —
             15
Real Estate (7.5%)
  EastGroup Properties Inc.   109,245    20,840
  STAG Industrial Inc.   476,749    18,574
  Terreno Realty Corp.   199,311    13,711
  Kite Realty Group Trust   586,606    12,864
* Ryman Hospitality Properties Inc.   145,363    12,808
  National Storage Affiliates Trust   219,721    12,803
  Innovative Industrial Properties Inc.    64,106    12,081
  Agree Realty Corp.   186,205    11,945
  LXP Industrial Trust   755,241    11,676
  Outfront Media Inc.   393,388    10,503
  Healthcare Realty Trust Inc.   398,898    10,403
  Apple Hospitality REIT Inc.   579,511    10,252
  PotlatchDeltic Corp.   178,566     9,803
  Hannon Armstrong Sustainable Infrastructure Capital Inc.   206,961     9,797
  Physicians Realty Trust   595,936     9,690
* Digitalbridge Group Inc. 1,309,492     9,494
  Broadstone Net Lease Inc.   425,534     9,217
  Macerich Co.   578,226     8,847
  PS Business Parks Inc.    54,292     8,648
* Equity Commonwealth   316,919     8,420
  Sabra Health Care REIT Inc.   616,211     8,276
  Essential Properties Realty Trust Inc.   326,986     8,266
* Cushman & Wakefield plc   374,360     8,206
  Corporate Office Properties Trust   304,874     7,991
  Pebblebrook Hotel Trust   350,735     7,895
  SITE Centers Corp.   467,580     7,271
 
20

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  Independence Realty Trust Inc.   283,829     7,172
  Newmark Group Inc. Class A   403,502     7,134
  Kennedy-Wilson Holdings Inc.   321,146     7,110
  Uniti Group Inc.   530,505     6,881
  National Health Investors Inc.   118,009     6,291
  RLJ Lodging Trust   446,742     6,250
* Sunstone Hotel Investors Inc.   587,275     6,213
  Brandywine Realty Trust   457,818     6,103
* Redfin Corp.   278,720     6,029
  Retail Opportunity Investments Corp.   321,729     5,843
  Piedmont Office Realty Trust Inc. Class A   335,254     5,713
* Xenia Hotels & Resorts Inc.   307,691     5,705
  Urban Edge Properties   312,862     5,700
* Realogy Holdings Corp.   311,451     5,662
  Paramount Group Inc.   504,141     5,641
  Four Corners Property Trust Inc.   208,674     5,505
* DiamondRock Hospitality Co.   565,029     5,396
  Washington REIT   228,311     5,333
  NexPoint Residential Trust Inc.    60,170     5,113
  Acadia Realty Trust   234,728     5,033
  American Assets Trust Inc.   134,997     4,935
  Easterly Government Properties Inc. Class A   233,689     4,865
  St. Joe Co.    89,946     4,860
  Tanger Factory Outlet Centers Inc.   276,918     4,619
  CareTrust REIT Inc.   260,179     4,553
  eXp World Holdings Inc.   169,838     4,541
  Alexander & Baldwin Inc.   195,744     4,390
* Veris Residential Inc.   237,557     4,015
  Global Net Lease Inc.   280,885     3,991
  Industrial Logistics Properties Trust   175,724     3,931
  Service Properties Trust   443,017     3,823
  Empire State Realty Trust Inc. Class A   386,209     3,653
  Centerspace    38,532     3,622
  LTC Properties Inc.   105,219     3,560
  Preferred Apartment Communities Inc. Class A   140,911     3,559
  Safehold Inc.    56,054     3,439
  Office Properties Income Trust   129,151     3,235
  Marcus & Millichap Inc.    63,998     3,183
  Getty Realty Corp.   110,287     3,038
  RPT Realty   225,311     2,918
* Apartment Investment and Management Co. Class A   407,838     2,912
* Summit Hotel Properties Inc.   279,180     2,761
  Community Healthcare Trust Inc.    64,429     2,687
  UMH Properties Inc.   114,999     2,652
  Gladstone Land Corp.    84,597     2,529
    Shares Market
Value•

($000)
  Global Medical REIT Inc.   160,938     2,527
  Armada Hoffler Properties Inc.   162,439     2,385
  NETSTREIT Corp.   107,310     2,376
  Necessity Retail REIT Inc.   335,250     2,360
  Plymouth Industrial REIT Inc.    84,463     2,203
  Gladstone Commercial Corp.    99,564     2,110
* Radius Global Infrastructure Inc. Class A (XNMS)   159,352     2,049
  City Office REIT Inc.   115,321     1,986
  Universal Health Realty Income Trust    34,654     1,979
  GEO Group Inc.   317,904     1,895
  Diversified Healthcare Trust   637,936     1,837
* Chatham Lodging Trust   128,941     1,773
  Ares Commercial Real Estate Corp.   118,206     1,732
* CorePoint Lodging Inc.   106,173     1,696
  Phillips Edison & Co. Inc.    50,920     1,646
  Franklin Street Properties Corp.   273,974     1,584
  Urstadt Biddle Properties Inc. Class A    81,136     1,528
  RE/MAX Holdings Inc. Class A    49,850     1,478
  Alexander's Inc.     5,812     1,473
  Saul Centers Inc.    32,006     1,473
* Douglas Elliman Inc.   193,840     1,462
  Whitestone REIT   123,111     1,450
  One Liberty Properties Inc.    43,834     1,274
  RMR Group Inc. Class A    41,259     1,202
  Indus Realty Trust Inc.    15,603     1,188
* FRP Holdings Inc.    18,191     1,054
* Seritage Growth Properties Class A    99,425     1,013
  CatchMark Timber Trust Inc. Class A   131,696     1,009
  CTO Realty Growth Inc.    15,865       995
* Tejon Ranch Co.    56,154       953
* Braemar Hotels & Resorts Inc.   153,928       917
  Farmland Partners Inc.    76,740       896
* Forestar Group Inc.    45,767       838
* Hersha Hospitality Trust Class A    86,793       801
  BRT Apartments Corp.    30,642       674
  Postal Realty Trust Inc. Class A    33,191       579
* Ashford Hospitality Trust Inc.    45,775       394
  Clipper Realty Inc.    33,123       315
* Fathom Holdings Inc.    16,346       210
  Retail Value Inc.    46,862       145
* Rafael Holdings Inc. Class B    26,651        84
  Bridge Investment Group Holdings Inc. Class A     2,899        61
        547,983
Technology (12.1%)
* Synaptics Inc.   105,916    24,194
* Lattice Semiconductor Corp.   366,741    22,965
* II-VI Inc.   286,283    19,885
 
21

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
  KBR Inc.   381,997    18,962
* Silicon Laboratories Inc.   107,747    16,562
* Rapid7 Inc.   151,891    15,715
  Power Integrations Inc.   163,185    14,687
  CMC Materials Inc.    76,652    14,214
* Rogers Corp.    50,546    13,799
* Tenable Holdings Inc.   249,190    13,795
* Ambarella Inc.    95,383    13,326
* Mimecast Ltd.   164,618    13,092
* Novanta Inc.    95,252    13,014
* SPS Commerce Inc.    97,541    12,666
* Varonis Systems Inc. Class B   289,524    12,623
* Cargurus Inc.   257,640    12,483
* Workiva Inc. Class A   115,758    12,189
* Semtech Corp.   174,796    12,127
* Digital Turbine Inc.   245,068    11,881
* Ziff Davis Inc.   117,481    11,819
* MaxLinear Inc.   191,511    11,749
* Qualys Inc.    92,040    11,534
* Onto Innovation Inc.   131,423    11,330
* Blackline Inc.   146,572    11,038
* Envestnet Inc.   146,860    10,988
* Diodes Inc.   117,845    10,558
* Asana Inc. Class A   192,504    10,547
* Sailpoint Technologies Holdings Inc.   247,356    10,233
*,1 MicroStrategy Inc. Class A    22,877    10,135
* Fabrinet    99,945    10,007
* Insight Enterprises Inc.    93,217     9,695
* Box Inc. Class A   376,781     9,649
* Q2 Holdings Inc.   147,865     9,619
* Perficient Inc.    87,913     8,958
* Verint Systems Inc.   174,266     8,753
  Advanced Energy Industries Inc.   101,879     8,746
* SiTime Corp.    43,051     8,702
  Kulicke & Soffa Industries Inc.   165,502     8,646
* FormFactor Inc.   209,813     8,495
* Alarm.com Holdings Inc.   127,679     8,405
* Altair Engineering Inc. Class A   124,823     8,291
* DigitalOcean Holdings Inc.   137,219     8,140
* Blackbaud Inc.   129,225     8,075
* Upwork Inc.   319,055     8,066
* Sprout Social Inc. Class A   122,025     7,945
* Rambus Inc.   293,249     7,918
* MACOM Technology Solutions Holdings Inc. Class H   131,650     7,912
* CommVault Systems Inc.   123,759     7,786
* LiveRamp Holdings Inc.   178,290     7,695
* PagerDuty Inc.   221,534     7,492
  Vishay Intertechnology Inc.   359,785     6,904
* Bottomline Technologies DE Inc.   121,120     6,860
* Sanmina Corp.   171,398     6,818
* Yelp Inc. Class A   193,112     6,545
* Appian Corp. Class A   106,086     6,467
* Allscripts Healthcare Solutions Inc.   327,972     6,382
  Amkor Technology Inc.   275,378     6,243
* Axcelis Technologies Inc.    89,793     6,215
* Plexus Corp.    75,645     6,163
    Shares Market
Value•

($000)
* 3D Systems Corp.   335,738     5,983
* NetScout Systems Inc.   189,316     5,893
* Appfolio Inc. Class A    51,386     5,814
  Shutterstock Inc.    63,341     5,734
* TechTarget Inc.    70,635     5,536
* Momentive Global Inc.   350,068     5,503
* Ultra Clean Holdings Inc.   119,796     5,488
  CSG Systems International Inc.    87,869     5,423
  Progress Software Corp.   118,628     5,229
* Magnite Inc.   351,438     5,124
* Covetrus Inc.   279,896     4,960
  Xperi Holding Corp.   284,007     4,919
* E2open Parent Holdings Inc.   537,938     4,831
  Methode Electronics Inc.   103,247     4,712
* Super Micro Computer Inc.   117,930     4,633
* Zuora Inc. Class A   301,441     4,576
* Schrodinger Inc.   122,510     4,258
* Cohu Inc.   129,630     4,042
* Veeco Instruments Inc.   134,615     3,846
* Unisys Corp.   177,196     3,787
* Cerence Inc.   102,141     3,688
* LivePerson Inc.   177,711     3,604
* JFrog Ltd.   143,019     3,543
* TTM Technologies Inc.   281,120     3,534
* Impinj Inc.    50,992     3,506
* Ping Identity Holding Corp.   163,880     3,448
* PROS Holdings Inc.   107,880     3,428
* BigCommerce Holdings Inc. Series 1   130,916     3,391
* ePlus Inc.    71,892     3,372
* Domo Inc. Class B    75,651     3,366
  CTS Corp.    85,941     3,261
* Eventbrite Inc. Class A   206,385     3,118
* Alpha & Omega Semiconductor Ltd.    57,722     3,104
* Avaya Holdings Corp.   223,295     3,075
* Avid Technology Inc.    97,664     3,072
* Photronics Inc.   160,699     2,960
* PAR Technology Corp.    68,427     2,870
* Sumo Logic Inc.   237,451     2,859
* Ichor Holdings Ltd.    75,871     2,673
* SMART Global Holdings Inc.    94,777     2,602
  Benchmark Electronics Inc.    95,049     2,485
* CEVA Inc.    60,790     2,478
* Parsons Corp.    71,185     2,467
* Consensus Cloud Solutions Inc.    43,391     2,415
* Agilysys Inc.    57,302     2,408
* Model N Inc.    95,599     2,351
  A10 Networks Inc.   161,612     2,301
* Yext Inc.   303,935     2,255
  Sapiens International Corp. NV    83,394     2,251
* PDF Solutions Inc.    81,185     2,221
* ScanSource Inc.    68,046     2,149
* NeoPhotonics Corp.   138,573     2,122
  Ebix Inc.    71,768     2,118
* nLight Inc.   118,082     1,925
* Bandwidth Inc. Class A    62,470     1,908
  American Software Inc. Class A    85,077     1,869
*,1 MicroVision Inc.   442,459     1,774
 
22

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Tucows Inc. Class A    26,251     1,764
* Mitek Systems Inc.   116,326     1,729
* Diebold Nixdorf Inc.   194,225     1,690
* Porch Group Inc.   208,254     1,687
* Rackspace Technology Inc.   147,825     1,645
  Simulations Plus Inc.    41,053     1,617
* Grid Dynamics Holdings Inc.   122,788     1,492
* Upland Software Inc.    78,080     1,473
  PC Connection Inc.    29,785     1,453
* Ouster Inc.   424,097     1,433
* ChannelAdvisor Corp.    79,724     1,431
* Groupon Inc. Class A    63,543     1,380
  Hackett Group Inc.    66,353     1,375
* Limelight Networks Inc.   337,459     1,319
* OneSpan Inc.    95,160     1,311
* Veritone Inc.    76,600     1,290
* Telos Corp.   107,616     1,229
* Identiv Inc.    58,001     1,216
* Alkami Technology Inc.    77,148     1,216
* Aeva Technologies Inc.   283,988     1,193
* ON24 Inc.    72,599     1,133
* Kimball Electronics Inc.    64,947     1,120
*,1 Xometry Inc. Class A    21,643     1,059
*,1 Digimarc Corp.    34,443     1,038
*,1 Cleanspark Inc.    93,271       989
* Enfusion Inc. Class A    58,979       978
* EngageSmart Inc.    43,648       960
*,1 Atomera Inc.    55,383       889
* TrueCar Inc.   257,694       861
* Brightcove Inc.   110,480       826
* Mediaalpha Inc. Class A    56,959       818
* AXT Inc.   109,557       816
* EverQuote Inc. Class A    53,203       792
  NVE Corp.    12,909       738
* GAN Ltd.   109,877       733
* Benefitfocus Inc.    68,331       689
* MeridianLink Inc.    34,414       674
* eGain Corp.    56,269       663
* Intapp Inc.    28,036       647
* CoreCard Corp.    19,711       635
* Kopin Corp.   212,536       561
* Couchbase Inc.    26,391       556
* Rimini Street Inc.   120,242       545
* EverCommerce Inc.    44,611       534
* Smith Micro Software Inc.   125,792       523
* comScore Inc.   187,646       492
* Daktronics Inc.   100,587       464
* SecureWorks Corp. Class A    26,867       413
* Quantum Corp.   157,072       408
* GTY Technologies Holdings Inc.    88,210       392
* EMCORE Corp.   100,204       389
* VirnetX Holding Corp.   173,884       316
* Viant Technology Inc. Class A    32,371       266
* SkyWater Technology Inc.    21,540       249
* Stronghold Digital Mining Inc. Class A    19,564       247
* Arteris Inc.    13,370       200
*,1 1stdibs.com Inc.    17,958       197
* Informatica Inc. Class A     7,542       152
* Weave Communications Inc.    12,378       124
* Freshworks Inc. Class A     2,940        54
    Shares Market
Value•

($000)
* Expensify Inc. Class A     2,544        52
* Amplitude Inc. Class A     1,237        27
* NerdWallet Inc. Class A     2,265        26
* Thoughtworks Holding Inc.       994        23
*,1 Society Pass Inc.     8,562        22
* UserTesting Inc.     2,575        21
* Backblaze Inc. Class A     1,581        18
* ForgeRock Inc. Class A       996        15
* Gitlab Inc. Class A       258        15
* Braze Inc. Class A       258        11
        891,277
Telecommunications (1.7%)
* Vonage Holdings Corp.   653,124    13,272
* Iridium Communications Inc.   319,255    12,639
* Viavi Solutions Inc.   647,583    10,620
* Calix Inc.   148,941     8,093
  Cogent Communications Holdings Inc.   115,275     7,308
  InterDigital Inc.    83,664     5,390
  Telephone and Data Systems Inc.   272,500     4,728
* Infinera Corp.   493,855     4,558
* Liberty Latin America Ltd. Class C   423,803     4,276
* 8x8 Inc.   304,359     3,945
* Extreme Networks Inc.   343,212     3,944
* Plantronics Inc.   114,074     3,213
*,1 fuboTV Inc.   365,865     3,128
  Shenandoah Telecommunications Co.   130,507     2,917
  ADTRAN Inc.   130,599     2,689
* EchoStar Corp. Class A   100,944     2,457
* WideOpenWest Inc.   141,709     2,408
* Gogo Inc.   159,569     2,272
* Harmonic Inc.   243,663     2,269
* NETGEAR Inc.    78,278     2,083
* Clearfield Inc.    30,827     1,976
* IDT Corp. Class B    53,842     1,942
* Globalstar Inc. 1,638,410     1,933
* Digi International Inc.    90,608     1,819
* Anterix Inc.    31,365     1,671
  Comtech Telecommunications Corp.    69,581     1,432
* Consolidated Communications Holdings Inc.   196,718     1,401
* United States Cellular Corp.    40,940     1,126
*,1 Inseego Corp.   228,510     1,076
* Liberty Latin America Ltd. Class A   103,393     1,039
  ATN International Inc.    30,257     1,008
* Ooma Inc.    59,837     1,001
* Aviat Networks Inc.    29,383       832
* Akoustis Technologies Inc.   130,977       825
* Cambium Networks Corp.    29,315       815
* Telesat Corp.    35,028       726
* CalAmp Corp.    95,760       676
* DZS Inc.    46,227       670
* Ribbon Communications Inc.   188,716       574
* KVH Industries Inc.    41,768       360
* Casa Systems Inc.    86,005       358
 
23

 

Russell 2000 Index Fund
    Shares Market
Value•

($000)
* Hemisphere Media Group Inc. Class A    43,500       233
* Kaltura Inc.    47,024       105
* IHS Holding Ltd.     4,630        52
        125,859
Utilities (3.2%)
* Evoqua Water Technologies Corp.   312,783    13,343
  Portland General Electric Co.   243,224    12,348
  Black Hills Corp.   172,935    12,104
  ONE Gas Inc.   142,524    11,842
1 Brookfield Infrastructure Corp. Class A (XTSE)   166,891    11,756
  Southwest Gas Holdings Inc.   163,106    11,571
  New Jersey Resources Corp.   261,085    11,389
  PNM Resources Inc.   231,329    10,449
* Casella Waste Systems Inc. Class A   133,016    10,029
  South Jersey Industries Inc.   277,954     9,431
  Spire Inc.   137,019     9,195
  ALLETE Inc.   141,686     8,918
1 Ormat Technologies Inc. (XNYS)   122,289     8,725
  NorthWestern Corp.   142,828     8,638
  Avista Corp.   191,114     8,529
  American States Water Co.    99,857     8,404
  California Water Service Group   141,913     8,079
  Clearway Energy Inc. Class C   221,943     7,413
  MGE Energy Inc.    98,261     7,077
  Chesapeake Utilities Corp.    46,558     6,190
  SJW Group    74,829     4,880
* Sunnova Energy International Inc.   231,935     4,673
  Middlesex Water Co.    46,690     4,669
  Northwest Natural Holding Co.    82,483     4,290
* US Ecology Inc.    85,226     4,043
  Clearway Energy Inc. Class A    94,125     2,879
* Harsco Corp.   211,632     2,521
  Unitil Corp.    42,139     2,128
  York Water Co.    35,145     1,577
* Heritage-Crystal Clean Inc.    42,248     1,185
  Artesian Resources Corp. Class A    22,087     1,027
  Aris Water Solution Inc. Class A    52,867       772
    Shares Market
Value•

($000)
* Pure Cycle Corp.    51,651       612
  Global Water Resources Inc.    33,876       517
  Via Renewables Inc. Class A    32,649       364
* Sharps Compliance Corp.    49,053       302
* Cadiz Inc.    57,366       149
        232,018
Total Common Stocks (Cost $7,779,473) 7,286,926
    Face
Amount
($000) 		 
Corporate Bonds (0.0%)
4 GAMCO Investors Inc., 5.000% coupon rate effective 6/15/22 4.000%, 6/15/23 (Cost $22)        22          22
    Shares  
Temporary Cash Investments (2.3%)
Money Market Fund (2.3%)
5,6 Vanguard Market Liquidity Fund, 0.138% (Cost $163,471) 1,634,990          163,483
Total Investments (101.7%) (Cost $7,942,966) 7,450,431
Other Assets and Liabilities—Net (-1.7%) (121,506)
Net Assets (100%) 7,328,925
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $127,309,000.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Step bond.
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.
6 Collateral of $135,417,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
 
24

 

Russell 2000 Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini Russell 2000 Index March 2022 405 41,401 (2,247)
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Russell 2000 Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $7,779,495) 7,286,948
Affiliated Issuers (Cost $163,471) 163,483
Total Investments in Securities 7,450,431
Investment in Vanguard 233
Cash 1,997
Cash Collateral Pledged—Futures Contracts 2,233
Receivables for Investment Securities Sold 5,385
Receivables for Accrued Income 4,030
Receivables for Capital Shares Issued 217
Variation Margin Receivable—Futures Contracts 111
Total Assets 7,464,637
Liabilities  
Payables for Investment Securities Purchased 3
Collateral for Securities on Loan 135,417
Payables for Capital Shares Redeemed 40
Payables to Vanguard 252
Total Liabilities 135,712
Net Assets 7,328,925
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 7,803,963
Total Distributable Earnings (Loss) (475,038)
Net Assets 7,328,925
 
ETF Shares—Net Assets  
Applicable to 82,750,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		6,783,425
Net Asset Value Per Share—ETF Shares $81.97
 
Institutional Shares—Net Assets  
Applicable to 1,739,138 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		545,500
Net Asset Value Per Share—Institutional Shares $313.66
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Russell 2000 Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 37,906
Interest2 14
Securities Lending—Net 1,503
Total Income 39,423
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 384
Management and Administrative—ETF Shares 1,977
Management and Administrative—Institutional Shares 131
Marketing and Distribution—ETF Shares 124
Marketing and Distribution—Institutional Shares 14
Custodian Fees 680
Shareholders’ Reports—ETF Shares 224
Shareholders’ Reports—Institutional Shares 4
Trustees’ Fees and Expenses 2
Other Expenses 8
Total Expenses 3,548
Net Investment Income 35,875
Realized Net Gain (Loss)  
Investment Securities Sold2,3 361,078
Futures Contracts (2,679)
Realized Net Gain (Loss) 358,399
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (1,136,968)
Futures Contracts (2,456)
Change in Unrealized Appreciation (Depreciation) (1,139,424)
Net Increase (Decrease) in Net Assets Resulting from Operations (745,150)
1 Dividends are net of foreign withholding taxes of $46,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $13,000, ($20,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $360,892,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

Russell 2000 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 35,875   48,702
Realized Net Gain (Loss) 358,399   727,841
Change in Unrealized Appreciation (Depreciation) (1,139,424)   639,157
Net Increase (Decrease) in Net Assets Resulting from Operations (745,150)   1,415,700
Distributions      
ETF Shares (52,794)   (36,436)
Institutional Shares (5,005)   (7,027)
Total Distributions (57,799)   (43,463)
Capital Share Transactions      
ETF Shares 1,295,050   3,304,505
Institutional Shares (5,505)   (267,012)
Net Increase (Decrease) from Capital Share Transactions 1,289,545   3,037,493
Total Increase (Decrease) 486,596   4,409,730
Net Assets      
Beginning of Period 6,842,329   2,432,599
End of Period 7,328,925   6,842,329
  
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

Russell 2000 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
20211 20201 20191 20181 20171
Net Asset Value, Beginning of Period $91.28 $62.69 $59.88 $69.56 $56.11 $49.49
Investment Operations            
Net Investment Income2 .433 .865 .810 .797 .777 .722
Net Realized and Unrealized Gain (Loss) on Investments (9.048) 28.550 2.815 (9.704) 13.423 6.632
Total from Investment Operations (8.615) 29.415 3.625 (8.907) 14.200 7.354
Distributions            
Dividends from Net Investment Income (.695) (.825) (.815) (.773) (.750) (.734)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.695) (.825) (.815) (.773) (.750) (.734)
Net Asset Value, End of Period $81.97 $91.28 $62.69 $59.88 $69.56 $56.11
Total Return -9.48% 47.15% 6.12% -12.83% 25.49% 14.94%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,783 $6,223 $1,802 $1,464 $1,715 $1,083
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.01% 1.02% 1.37% 1.30% 1.23% 1.34%
Portfolio Turnover Rate3 6% 23% 19% 16% 19% 23%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021.
2 Calculated based on average shares outstanding.
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.
29

 

Russell 2000 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $349.26 $239.84 $229.03 $266.12 $214.65 $189.31
Investment Operations            
Net Investment Income1 1.756 3.360 3.208 3.078 3.129 2.956
Net Realized and Unrealized Gain (Loss) on Investments (34.669) 109.242 10.710 (37.106) 51.369 25.315
Total from Investment Operations (32.913) 112.602 13.918 (34.028) 54.498 28.271
Distributions            
Dividends from Net Investment Income (2.687) (3.182) (3.108) (3.062) (3.028) (2.931)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (2.687) (3.182) (3.108) (3.062) (3.028) (2.931)
Net Asset Value, End of Period $313.66 $349.26 $239.84 $229.03 $266.12 $214.65
Total Return -9.48% 47.19% 6.15% -12.83% 25.58% 15.03%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $546 $619 $630 $859 $982 $576
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.07% 1.08% 1.41% 1.32% 1.30% 1.41%
Portfolio Turnover Rate2 6% 23% 19% 16% 19% 23%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
30

 

Russell 2000 Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Bonds 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
31

 

Russell 2000 Index Fund
During the six months ended February 28, 2022, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
32

 

Russell 2000 Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $233,000, representing less than 0.01% of the fund’s net assets and 0.09% 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 and derivatives. 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.
33

 

Russell 2000 Index Fund
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 7,286,855 — 71 7,286,926
Corporate Bonds — 22 — 22
Temporary Cash Investments 163,483 — — 163,483
Total 7,450,338 22 71 7,450,431
Derivative Financial Instruments         
Liabilities        
Futures Contracts1 2,247 — — 2,247
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 7,963,350
Gross Unrealized Appreciation 661,653
Gross Unrealized Depreciation (1,176,819)
Net Unrealized Appreciation (Depreciation) (515,166)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $327,387,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $2,782,757,000 of investment securities and sold $1,549,460,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,378,393,000 and $1,086,554,000, 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 six
34

 

Russell 2000 Index Fund
months ended February 28, 2022, such purchases were $40,862,000 and sales were $61,781,000, resulting in net realized loss of $13,063,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 2,384,380 27,325   5,016,365 59,050
Issued in Lieu of Cash Distributions — —   — —
Redeemed (1,089,330) (12,750)   (1,711,860) (19,625)
Net Increase (Decrease)—ETF Shares 1,295,050 14,575   3,304,505 39,425
Institutional Shares          
Issued 101,314 292   87,649 270
Issued in Lieu of Cash Distributions 4,752 14   6,712 23
Redeemed (111,571) (340)   (361,373) (1,148)
Net Increase (Decrease)—Institutional Shares (5,505) (34)   (267,012) (855)
1 2021 shares adjusted to reflect a 2-for-1 share split effective at the beginning of trading on April 20, 2021.
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
35

 

Russell 2000 Value Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 4.3%
Consumer Discretionary 12.5
Consumer Staples 2.7
Energy 8.4
Financials 26.7
Health Care 8.9
Industrials 14.3
Real Estate 11.5
Technology 4.4
Telecommunications 1.2
Utilities 5.1
Other 0.0
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
36

 

Russell 2000 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (99.9%)
Basic Materials (4.3%)
* RBC Bearings Inc.  20,479     3,970
  Commercial Metals Co. 102,528     3,952
  Avient Corp.  69,667     3,650
* Arconic Corp.  90,919     2,791
  Boise Cascade Co.  26,305     2,103
* Constellium SE Class A 105,797     2,056
  Tronox Holdings plc Class A  97,458     1,978
  Minerals Technologies Inc.  28,229     1,976
  Hecla Mining Co. 319,468     1,840
  Stepan Co.  16,646     1,725
  Mueller Industries Inc.  29,310     1,672
  Worthington Industries Inc.  28,196     1,608
  Carpenter Technology Corp.  40,567     1,557
  Sensient Technologies Corp.  17,425     1,431
  Innospec Inc.  14,415     1,377
* GCP Applied Technologies Inc.  41,944     1,325
* Kraton Corp.  26,830     1,238
  Kaiser Aluminum Corp.  11,823     1,141
  Schnitzer Steel Industries Inc. Class A  20,356       990
* Century Aluminum Co.  41,571       982
  AdvanSix Inc.  23,422       938
* US Silica Holdings Inc.  62,929       910
  Materion Corp.  10,651       890
  Schweitzer-Mauduit International Inc.  26,833       838
* TimkenSteel Corp.  38,875       701
* Amyris Inc. 132,639       605
  Verso Corp. Class A  22,528       597
  Neenah Inc.  14,535       566
  Glatfelter Corp.  36,954       508
* Koppers Holdings Inc.  17,532       502
* Intrepid Potash Inc.   8,382       477
  Ecovyst Inc.  43,307       473
  UFP Industries Inc.   4,892       419
* Clearwater Paper Corp.  13,912       401
  Haynes International Inc.  10,531       385
* Alto Ingredients Inc.  60,323       352
* Rayonier Advanced Materials Inc.  52,165       306
* Coeur Mining Inc.  68,796       296
  American Vanguard Corp.  18,849       284
  Hawkins Inc.   5,409       245
* Northwest Pipe Co.   8,169       233
* Unifi Inc.  12,153       228
  Olympic Steel Inc.   7,934       212
    Shares Market
Value•

($000)
* Zymergen Inc.  54,189       207
  GrafTech International Ltd.  19,422       196
  FutureFuel Corp.  21,671       159
* Energy Fuels Inc.  18,231       149
  Ryerson Holding Corp.   5,132       134
* NN Inc.  35,818        93
  Valhi Inc.   2,020        51
  Tredegar Corp.   4,135        48
* Polymet Mining Corp.  16,031        44
* Ur-Energy Inc.  16,930        25
* Gatos Silver Inc.   6,789        23
         51,857
Consumer Discretionary (12.5%)
*,1 AMC Entertainment Holdings Inc. Class A 440,166     8,302
  Macy's Inc. 268,066     6,948
* Avis Budget Group Inc.  35,256     6,467
  TEGNA Inc. 188,770     4,327
* Goodyear Tire & Rubber Co. 236,397     3,662
* Adient plc  70,560     3,158
* Meritage Homes Corp.  29,567     2,915
  Group 1 Automotive Inc.  14,955     2,721
* Taylor Morrison Home Corp. Class A  90,110     2,658
  MillerKnoll Inc.  63,511     2,469
* Callaway Golf Co.  98,515     2,437
* Academy Sports & Outdoors Inc.  66,164     2,142
  KB Home  55,335     2,136
* Spirit Airlines Inc.  84,791     2,127
  Graham Holdings Co. Class B   3,277     1,970
* Tri Pointe Homes Inc.  87,530     1,958
  Rush Enterprises Inc. Class A  37,177     1,931
* KAR Auction Services Inc. 103,123     1,904
* BJ's Wholesale Club Holdings Inc.  29,547     1,858
  John Wiley & Sons Inc. Class A  36,737     1,848
* Vista Outdoor Inc.  48,930     1,784
* Madison Square Garden Entertainment Corp.  22,429     1,758
* Abercrombie & Fitch Co. Class A  45,681     1,740
* ODP Corp.  39,289     1,729
  Gray Television Inc.  72,860     1,707
* Knowles Corp.  75,803     1,651
  MDC Holdings Inc.  35,976     1,595
* PROG Holdings Inc.  46,742     1,432
  Jack in the Box Inc.  16,105     1,389
37

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* Lions Gate Entertainment Corp. Class B  97,226     1,385
* SeaWorld Entertainment Inc.  19,689     1,366
  HNI Corp.  33,270     1,354
  PriceSmart Inc.  18,486     1,344
*,1 Bed Bath & Beyond Inc.  77,041     1,301
* Coursera Inc.  62,353     1,268
  Dillard's Inc. Class A   4,998     1,253
  Strategic Education Inc.  20,849     1,231
* M/I Homes Inc.  24,671     1,216
* SkyWest Inc.  42,634     1,198
* Stride Inc.  33,515     1,125
* iHeartMedia Inc. Class A  52,370     1,123
  Oxford Industries Inc.  12,639     1,117
  La-Z-Boy Inc.  37,536     1,095
* EW Scripps Co. Class A  48,546     1,081
  Dana Inc.  57,662     1,074
* Clear Channel Outdoor Holdings Inc. 283,967     1,062
* G-III Apparel Group Ltd.  37,700     1,046
  Sinclair Broadcast Group Inc. Class A  33,212       996
  Sonic Automotive Inc. Class A  18,316       984
* Clean Energy Fuels Corp. 133,263       969
  Big Lots Inc.  27,741       964
  Scholastic Corp.  22,532       948
* Central Garden & Pet Co. Class A  21,216       934
  Laureate Education Inc. Class A  85,478       927
  Steelcase Inc. Class A  73,587       896
  Acushnet Holdings Corp.  20,330       890
  Matthews International Corp. Class A  26,747       887
* Adtalem Global Education Inc.  41,901       871
  Franchise Group Inc.  20,661       871
* Dave & Buster's Entertainment Inc.  19,683       853
* Cars.com Inc.  51,110       827
* Hawaiian Holdings Inc.  42,963       824
* Genesco Inc.  12,831       823
* Zumiez Inc.  18,297       814
* Imax Corp.  39,270       812
* Lions Gate Entertainment Corp. Class A  52,645       809
  Standard Motor Products Inc.  17,966       785
* Tupperware Brands Corp.  41,572       758
  Signet Jewelers Ltd.   9,865       695
  Guess? Inc.  29,561       647
* Perdoceo Education Corp.  60,722       636
* Cavco Industries Inc.   2,321       633
* Sleep Number Corp.   9,616       632
* Gannett Co. Inc. 118,660       589
* PowerSchool Holdings Inc. Class A  37,029       583
  Century Communities Inc.   8,972       572
  Aaron's Co. Inc.  26,385       554
* Fossil Group Inc.  40,285       545
  A-Mark Precious Metals Inc.   7,567       543
* Revolve Group Inc.  11,227       532
  Movado Group Inc.  13,193       520
  Carriage Services Inc. Class A  10,515       517
  Monro Inc.  10,760       502
* AMC Networks Inc. Class A  12,042       499
  Interface Inc. Class A  38,172       498
    Shares Market
Value•

($000)
  Ethan Allen Interiors Inc.  19,009       495
* Boston Omaha Corp. Class A  17,191       481
* Urban Outfitters Inc.  17,132       471
* TravelCenters of America Inc.  10,534       445
* American Axle & Manufacturing Holdings Inc.  47,824       443
  Winmark Corp.   1,948       441
* Green Brick Partners Inc.  18,563       430
* Hovnanian Enterprises Inc. Class A   4,379       421
* Beazer Homes USA Inc.  24,706       404
* MarineMax Inc.   8,597       393
* LL Flooring Holdings Inc.  24,064       386
* Chico's FAS Inc.  79,701       375
* Stagwell Inc.  47,701       362
* Universal Electronics Inc.  10,759       358
* Marcus Corp.  19,223       349
* Bluegreen Vacations Holding Class A  12,077       342
  Entravision Communications Corp. Class A  51,884       332
* Daily Journal Corp.   1,019       330
  Del Taco Restaurants Inc.  25,196       314
* WW International Inc.  30,857       314
* American Public Education Inc.  15,683       313
* Audacy Inc. Class A  99,613       309
* Stoneridge Inc.  18,649       308
  Kimball International Inc. Class B  33,071       307
*,1 Lordstown Motors Corp. Class A 117,999       303
  Cato Corp. Class A  16,718       294
* Chuy's Holdings Inc.   8,954       292
1 Big 5 Sporting Goods Corp.  17,584       291
* Central Garden & Pet Co.   6,020       285
*,1 Canoo Inc.  48,908       281
* Conn's Inc.  15,071       276
* Cinemark Holdings Inc.  15,680       275
* Motorcar Parts of America Inc.  16,035       259
  Tilly's Inc. Class A  19,004       241
* Container Store Group Inc.  26,828       237
* OneSpaWorld Holdings Ltd.  22,746       235
  Haverty Furniture Cos. Inc.   7,931       225
* Life Time Group Holdings Inc.  14,254       222
* El Pollo Loco Holdings Inc.  16,055       213
*,1 Genius Brands International Inc. 238,446       212
  Rocky Brands Inc.   5,479       211
* Barnes & Noble Education Inc.  37,950       208
* Lands' End Inc.  12,140       206
  Rush Enterprises Inc. Class B   4,137       203
* Denny's Corp.  12,526       198
  Hooker Furnishings Corp.   9,230       194
* Instructure Holdings Inc.   8,567       192
* American Outdoor Brands Inc.  11,804       184
* Cooper-Standard Holdings Inc.  14,210       181
* Legacy Housing Corp.   7,091       181
* Vera Bradley Inc.  22,187       168
* Alta Equipment Group Inc.  12,959       163
* Monarch Casino & Resort Inc.   2,081       162
  Superior Group of Cos. Inc.   7,736       159
 
38

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* Integral Ad Science Holding Corp.   8,061       151
* Fiesta Restaurant Group Inc.  14,878       150
*,1 Portillo's Inc. Class A   5,974       150
* European Wax Center Inc. Class A   5,954       148
* Fisker Inc.  11,627       142
  Lifetime Brands Inc.  10,651       140
* VOXX International Corp. Class A  13,045       140
  Johnson Outdoors Inc. Class A   1,658       137
  National CineMedia Inc.  46,066       137
  Bassett Furniture Industries Inc.   7,805       137
* Houghton Mifflin Harcourt Co.   6,500       136
* iRobot Corp.   2,163       134
* Mesa Air Group Inc.  29,099       127
* CarLotz Inc.  62,722       127
* Traeger Inc.  12,785       126
* Udemy Inc.   9,562       126
* Lazydays Holdings Inc.   6,736       123
  Flexsteel Industries Inc.   5,573       120
1 Weber Inc. Class A  10,403       119
* F45 Training Holdings Inc.   7,425       114
* Snap One Holdings Corp.   5,729       113
  Rent-A-Center Inc.   3,644       104
* 2U Inc.   9,459        99
  Hibbett Inc.   2,179        98
* Tenneco Inc. Class A   5,032        97
* Biglari Holdings Inc. Class B     692        95
* Nautilus Inc.  18,710        91
1 Krispy Kreme Inc.   5,675        85
  Escalade Inc.   6,330        84
*,1 Shift Technologies Inc.  41,678        84
  Global Industrial Co.   2,431        77
* America's Car-Mart Inc.     794        76
  Carrols Restaurant Group Inc.  27,977        74
  Sturm Ruger & Co. Inc.   1,022        74
* Xponential Fitness Inc. Class A   3,528        74
* Emerald Holding Inc.  20,227        72
* Stonemor Inc.  26,974        70
* Torrid Holdings Inc.   8,039        70
  Buckle Inc.   1,915        69
* CuriosityStream Inc.  17,955        66
* Revlon Inc. Class A   6,174        60
* Landsea Homes Corp.   8,972        59
  Hamilton Beach Brands Holding Co. Class A   3,796        57
  Shoe Carnival Inc.   1,962        57
* Turtle Beach Corp.   2,295        55
  NL Industries Inc.   8,084        52
* Fluent Inc.  36,259        51
* Hall of Fame Resort & Entertainment Co.  47,335        50
*,1 XL Fleet Corp.  25,080        49
* Drive Shack Inc.  35,779        48
* Outbrain Inc.   3,526        46
* BJ's Restaurants Inc.   1,393        45
* Chicken Soup For The Soul Entertainment Inc.   4,657        45
* Romeo Power Inc.  24,650        45
* Solo Brands Inc. Class A   4,265        45
* Thryv Holdings Inc.   1,376        42
* Eros STX Global Corp.  13,307        42
    Shares Market
Value•

($000)
* First Watch Restaurant Group Inc.   2,830        41
  Nathan's Famous Inc.     624        36
  CompX International Inc.   1,590        35
* Rent the Runway Inc. Class A   5,372        33
* Liberty TripAdvisor Holdings Inc. Class A  13,916        30
* Lulu's Fashion Lounge Holdings Inc.   2,428        24
* aka Brands Holding Corp.   3,000        23
* Eastman Kodak Co.   2,109        10
*,1 Dutch Bros Inc. Class A     187         9
* Regis Corp.   3,562         6
* Sweetgreen Inc. Class A     216         5
* Arhaus Inc.     732         5
* Digital Media Solutions Inc. Class A   1,309         4
* Brilliant Earth Group Inc. Class A     397         4
* Allbirds Inc. Class A     149         1
        149,845
Consumer Staples (2.7%)
* Simply Good Foods Co.  68,038     2,696
* Hostess Brands Inc. Class A 117,405     2,529
  Primo Water Corp. 133,674     1,944
* United Natural Foods Inc.  44,511     1,791
* TreeHouse Foods Inc.  44,272     1,738
  Edgewell Personal Care Co.  46,116     1,645
  B&G Foods Inc.  54,466     1,612
  Cal-Maine Foods Inc.  34,754     1,539
* Sprouts Farmers Market Inc.  53,205     1,515
  Vector Group Ltd. 105,336     1,181
  Universal Corp.  20,653     1,118
  Nu Skin Enterprises Inc. Class A  23,440     1,087
  Ingles Markets Inc. Class A  11,983       985
  Weis Markets Inc.  14,245       879
  SpartanNash Co.  30,232       851
* Chefs' Warehouse Inc.  25,463       836
  Fresh Del Monte Produce Inc.  28,766       745
  Andersons Inc.  15,797       720
  ACCO Brands Corp.  80,381       691
* Performance Food Group Co.  11,302       633
  Sanderson Farms Inc.   2,462       440
  Tootsie Roll Industries Inc.  13,042       440
* Rite Aid Corp.  47,064       431
* Mission Produce Inc.  27,716       360
  Lancaster Colony Corp.   1,940       326
*,1 BellRing Brands Inc. Class A  11,937       305
* Whole Earth Brands Inc.  31,516       299
* Seneca Foods Corp. Class A   5,153       256
* Landec Corp.  21,937       253
  John B Sanfilippo & Son Inc.   2,530       201
* Duckhorn Portfolio Inc.   9,988       196
* HF Foods Group Inc.  30,525       191
  Nature's Sunshine Products Inc.  10,204       179
  Village Super Market Inc. Class A   7,141       163
  MGP Ingredients Inc.   1,935       154
* Sovos Brands Inc.  12,455       151
  Limoneira Co.   9,510       139
  Oil-Dri Corp. of America   4,325       134
  Natural Grocers by Vitamin Cottage Inc.   7,737       131
 
39

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* Beauty Health Co.   6,343       123
* Honest Co. Inc.  20,797       120
* Veru Inc.  15,032        84
  PetMed Express Inc.   2,305        62
* AquaBounty Technologies Inc.  29,274        47
* Vita Coco Co. Inc.   3,136        36
* NewAge Inc.  49,186        33
* Zevia PBC Class A   2,645        17
* Laird Superfood Inc.   1,365         8
* Real Good Food Co. Inc.     187         1
         32,015
Energy (8.4%)
  Ovintiv Inc. (XNYS) 211,157     9,681
  Chesapeake Energy Corp.  84,285     6,511
  PDC Energy Inc.  83,241     5,371
* Antero Resources Corp. 214,629     4,921
* Range Resources Corp. 203,934     4,680
  Murphy Oil Corp. 125,195     4,340
  SM Energy Co. 102,505     3,640
  Helmerich & Payne Inc.  89,777     3,253
* ChampionX Corp. 141,872     3,037
* CNX Resources Corp. 178,631     2,919
  California Resources Corp.  69,092     2,849
  Whiting Petroleum Corp.  33,465     2,471
* Renewable Energy Group Inc.  38,240     2,352
  Patterson-UTI Energy Inc. 161,066     2,324
  Equitrans Midstream Corp. 348,413     2,233
  Arcosa Inc.  41,274     2,174
  Civitas Resources Inc.  31,575     1,594
  World Fuel Services Corp.  53,188     1,507
* Golar LNG Ltd.  86,364     1,503
* PBF Energy Inc. Class A  82,183     1,366
* Green Plains Inc.  40,748     1,334
* Peabody Energy Corp.  75,944     1,317
* Oceaneering International Inc.  85,765     1,256
  Warrior Met Coal Inc.  39,535     1,245
  Arch Resources Inc.  10,355     1,236
* Centennial Resource Development Inc. Class A 136,444     1,198
  Northern Oil and Gas Inc.  44,826     1,124
* NexTier Oilfield Solutions Inc. 132,861     1,058
* Delek US Holdings Inc.  56,225       969
  Archrock Inc. 114,452       956
* Array Technologies Inc.  84,688       952
* ProPetro Holding Corp.  73,095       933
* CONSOL Energy Inc.  29,341       902
* NOW Inc.  94,332       881
* Dril-Quip Inc.  29,702       857
  Brigham Minerals Inc. Class A  37,389       852
* Nabors Industries Ltd. (XNYS)   5,973       750
* MRC Global Inc.  69,168       699
* Bristow Group Inc.  19,972       662
* Comstock Resources Inc.  77,298       642
* Liberty Oilfield Services Inc. Class A  50,172       626
* Ranger Oil Corp. Class A  17,919       605
* Gevo Inc. 168,352       598
* Laredo Petroleum Inc.   7,732       592
  Berry Corp.  56,897       569
  SunCoke Energy Inc.  71,659       568
* Expro Group Holdings NV  33,673       542
* Tidewater Inc.  35,135       520
    Shares Market
Value•

($000)
* RPC Inc.  56,959       499
* Helix Energy Solutions Group Inc. 120,791       489
* Select Energy Services Inc. Class A  53,574       444
  CVR Energy Inc.  24,971       434
* FuelCell Energy Inc.  71,426       429
* REX American Resources Corp.   4,485       424
* Talos Energy Inc.  26,325       414
* W&T Offshore Inc.  79,156       385
* Centrus Energy Corp. Class A   8,186       371
  Oasis Petroleum Inc.   2,523       334
* Callon Petroleum Co.   5,375       303
* Aemetis Inc.  22,705       291
* Newpark Resources Inc.  76,161       287
* National Energy Services Reunited Corp.  32,006       285
* Oil States International Inc.  51,089       267
* SunPower Corp.  13,846       248
* Earthstone Energy Inc. Class A  17,937       233
* American Superconductor Corp.  23,529       200
* FTS International Inc. Class A   7,524       199
  Solaris Oilfield Infrastructure Inc. Class A  19,087       198
  Kinetik Holdings Inc.   2,506       170
* Matrix Service Co.  21,837       151
  HighPeak Energy Inc.   4,297        91
* TETRA Technologies Inc.  23,645        76
* Par Pacific Holdings Inc.   5,536        75
  Riley Exploration Permian Inc.   1,838        62
* Nabors Industries Ltd. Warrants Exp. 6/11/26   2,380        33
  Falcon Minerals Corp.   5,658        32
* Beam Global   1,048        15
* Advent Technologies Holdings Inc.   3,818        10
* Fluence Energy Inc.     426         6
        100,624
Financials (26.7%)
  SouthState Corp.  59,478     5,353
  Valley National Bancorp 341,252     4,767
  Glacier Bancorp Inc.  82,856     4,590
  Old National Bancorp 250,915     4,587
  Blackstone Mortgage Trust Inc. Class A 133,812     4,253
  Cadence Bank 134,348     4,248
  Selective Insurance Group Inc.  50,662     4,215
  United Bankshares Inc. 112,422     4,117
  Hancock Whitney Corp.  73,612     4,099
  Essent Group Ltd.  92,306     4,078
  UMB Financial Corp.  37,370     3,807
  Radian Group Inc. 153,424     3,667
  United Community Banks Inc.  89,368     3,455
  BankUnited Inc.  75,857     3,353
  Independent Bank Corp. (XNGS)  38,967     3,352
  Community Bank System Inc.  45,605     3,326
  Walker & Dunlop Inc.  22,402     3,099
  Associated Banc-Corp. 126,718     3,091
 
40

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
  Home BancShares Inc. 129,961     3,042
  First Interstate BancSystem Inc. Class A  74,570     3,028
* Enstar Group Ltd.  10,569     3,012
  Cathay General Bancorp  63,219     2,973
  Ameris Bancorp  56,761     2,810
  WSFS Financial Corp.  55,171     2,804
  Simmons First National Corp. Class A  97,081     2,769
* Mr Cooper Group Inc.  52,694     2,678
  American Equity Investment Life Holding Co.  70,523     2,658
  Pacific Premier Bancorp Inc.  67,789     2,624
  Atlantic Union Bankshares Corp.  64,390     2,616
  CVB Financial Corp. 110,402     2,603
  Federated Hermes Inc.  79,170     2,586
  CNO Financial Group Inc. 105,113     2,541
  Eastern Bankshares Inc. 115,616     2,527
  Independent Bank Group Inc.  32,135     2,479
  Chimera Investment Corp. 201,152     2,448
  First BanCorp. (XNYS) 173,069     2,444
  Columbia Banking System Inc.  66,683     2,443
  Fulton Financial Corp. 135,167     2,436
* Axos Financial Inc.  43,947     2,406
  Navient Corp. 135,081     2,379
  FirstCash Holdings Inc.  31,367     2,260
  Arbor Realty Trust Inc. 122,402     2,203
  Piper Sandler Cos.  14,874     2,201
  First Merchants Corp.  48,503     2,122
  Investors Bancorp Inc. 124,629     2,086
  Flagstar Bancorp Inc.  44,364     2,022
  International Bancshares Corp.  45,775     1,969
  Washington Federal Inc.  55,224     1,965
  First Financial Bancorp  78,901     1,939
* Marathon Digital Holdings Inc.  76,449     1,938
* Cannae Holdings Inc.  72,023     1,934
  WesBanco Inc.  52,233     1,909
  Sandy Spring Bancorp Inc.  38,098     1,794
  Banner Corp.  29,058     1,790
* Texas Capital Bancshares Inc.  26,871     1,790
  Towne Bank  57,176     1,783
* Genworth Financial Inc. Class A 432,012     1,754
  Heartland Financial USA Inc.  34,338     1,704
  Renasant Corp.  46,472     1,697
  Hope Bancorp Inc.  98,597     1,672
  Trustmark Corp.  52,933     1,667
  Park National Corp.  12,272     1,645
* PRA Group Inc.  36,844     1,644
  Bank of NT Butterfield & Son Ltd.  42,772     1,642
* Encore Capital Group Inc.  24,851     1,640
  Seacoast Banking Corp. of Florida  44,540     1,632
  Hilltop Holdings Inc.  52,725     1,630
  Eagle Bancorp Inc.  26,923     1,613
* LendingClub Corp.  84,499     1,570
  Apollo Commercial Real Estate Finance Inc. 119,489     1,559
  Lakeland Financial Corp.  19,433     1,559
* NMI Holdings Inc. Class A  67,006     1,551
  Stewart Information Services Corp.  22,732     1,543
    Shares Market
Value•

($000)
  PennyMac Financial Services Inc.  26,600     1,536
  Provident Financial Services Inc.  64,618     1,533
  MFA Financial Inc. 377,317     1,532
  Enterprise Financial Services Corp.  30,201     1,493
  Two Harbors Investment Corp. 293,377     1,484
  Horace Mann Educators Corp.  35,558     1,479
  Northwest Bancshares Inc. 104,201     1,467
* Customers Bancorp Inc.  23,503     1,447
  iStar Inc.  57,289     1,439
  Veritex Holdings Inc.  34,826     1,415
  NBT Bancorp Inc.  35,947     1,379
  Westamerica BanCorp.  22,213     1,318
* Bancorp Inc.  44,848     1,314
  First Bancorp (XNGS)  29,244     1,312
  Berkshire Hills Bancorp Inc.  41,716     1,297
  First Commonwealth Financial Corp.  80,225     1,296
* Enova International Inc.  31,028     1,265
  BGC Partners Inc. Class A 269,859     1,236
  Capitol Federal Financial Inc. 110,877     1,211
  American National Group Inc.   6,378     1,206
  OFG Bancorp  41,867     1,180
  First Busey Corp.  42,875     1,177
  Nelnet Inc. Class A  14,498     1,168
  FB Financial Corp.  25,853     1,149
  BancFirst Corp.  14,671     1,146
  Moelis & Co. Class A  23,728     1,144
  Argo Group International Holdings Ltd.  27,032     1,140
  New York Mortgage Trust Inc. 323,966     1,137
  Goosehead Insurance Inc. Class A  12,976     1,129
  Brookline Bancorp Inc.  65,565     1,124
  OceanFirst Financial Corp.  49,845     1,116
  Ladder Capital Corp. Class A  97,006     1,112
  Southside Bancshares Inc.  26,600     1,109
  ProAssurance Corp.  45,956     1,108
  National Bank Holdings Corp. Class A  24,779     1,100
  Meta Financial Group Inc.  19,116     1,059
  ConnectOne Bancorp Inc.  31,852     1,051
  PennyMac Mortgage Investment Trust  67,204     1,048
  S&T Bancorp Inc.  33,222     1,033
  Safety Insurance Group Inc.  12,367     1,032
  B Riley Financial Inc.  17,258     1,028
  TriCo Bancshares  23,531     1,021
  Redwood Trust Inc.  98,099     1,019
* Nicolet Bankshares Inc.  10,685     1,018
  City Holding Co.  12,751     1,016
  Dime Community Bancshares Inc.  29,573     1,005
* StoneX Group Inc.  13,116       990
  Premier Financial Corp.  31,675       971
  Federal Agricultural Mortgage Corp. Class C   7,776       962
  Tompkins Financial Corp.  12,064       954
  Broadmark Realty Capital Inc. 109,836       951
  Lakeland Bancorp Inc.  52,229       942
  Employers Holdings Inc.  23,951       931
  Preferred Bank  11,788       925
  Banc of California Inc.  47,046       924
  First Foundation Inc.  34,004       907
 
41

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
  Stock Yards Bancorp Inc.  16,895       903
  HomeStreet Inc.  17,046       877
  German American Bancorp Inc.  21,179       842
* MoneyGram International Inc.  76,741       824
* TriState Capital Holdings Inc.  24,792       823
  Ellington Financial Inc.  45,606       806
* Metropolitan Bank Holding Corp.   7,830       801
  Washington Trust Bancorp Inc.  14,698       798
  State Auto Financial Corp.  15,102       785
  Heritage Financial Corp.  29,728       779
  AMERISAFE Inc.  16,496       777
  Ready Capital Corp.  50,503       750
  Amerant Bancorp Inc.  22,820       741
  Horizon Bancorp Inc.  36,877       740
  Origin Bancorp Inc.  15,778       729
  Univest Financial Corp.  24,817       719
* World Acceptance Corp.   3,653       718
  QCR Holdings Inc.  12,803       715
  James River Group Holdings Ltd.  26,731       711
  1st Source Corp.  14,515       701
  Allegiance Bancshares Inc.  16,341       700
  Hanmi Financial Corp.  26,268       686
  Peoples Bancorp Inc.  21,811       682
  Central Pacific Financial Corp.  23,164       676
  Cowen Inc. Class A  22,283       661
  Brightspire Capital Inc. Class A  72,533       643
  KKR Real Estate Finance Trust Inc.  29,854       641
  ServisFirst Bancshares Inc.   7,108       621
* MBIA Inc.  40,463       617
  First Bancorp Inc. (XNMS)  17,419       615
  ARMOUR Residential REIT Inc.  75,299       612
  Camden National Corp.  12,688       603
  HarborOne Bancorp Inc.  40,618       601
  TPG RE Finance Trust Inc.  50,684       600
  Heritage Commerce Corp.  50,338       599
  Flushing Financial Corp.  25,431       597
  Invesco Mortgage Capital Inc. 272,931       595
  Northfield Bancorp Inc.  37,179       584
  Byline Bancorp Inc.  21,074       575
  First Mid Bancshares Inc.  14,327       574
  Peapack-Gladstone Financial Corp.  15,172       572
  Houlihan Lokey Inc. Class A   5,539       570
  Community Trust Bancorp Inc.  13,436       568
* SiriusPoint Ltd.  75,577       559
  TrustCo Bank Corp. NY  16,272       556
* Atlantic Capital Bancshares Inc.  16,605       537
  Great Southern Bancorp Inc.   8,710       535
  Midland States Bancorp Inc.  18,188       534
  Kearny Financial Corp.  40,132       530
  Cambridge Bancorp   5,881       518
* Blucora Inc.  25,853       514
  Granite Point Mortgage Trust Inc.  45,290       508
  Diamond Hill Investment Group Inc.   2,571       498
* Ambac Financial Group Inc.  38,449       493
    Shares Market
Value•

($000)
  United Fire Group Inc.  17,727       489
  Mercantile Bank Corp.  13,071       482
  National Western Life Group Inc. Class A   2,241       478
  Bank of Marin Bancorp  13,357       472
  Dynex Capital Inc.  30,636       471
  CBTX Inc.  15,534       467
  First Financial Corp.   9,966       464
  Farmers National Banc Corp.  26,773       461
* Columbia Financial Inc.  21,499       457
  Financial Institutions Inc.  13,546       433
  Hingham Institution for Savings   1,197       431
  Business First Bancshares Inc.  16,233       425
  First of Long Island Corp.  19,335       421
  Franklin BSP Realty Trust Inc. REIT  31,618       417
  Independent Bank Corp.  17,493       416
  First Community Bankshares Inc.  14,143       415
  Banco Latinoamericano de Comercio Exterior SA Class E  26,231       405
  Arrow Financial Corp.  11,643       400
  Bank First Corp.   5,602       395
  Capstar Financial Holdings Inc.  17,934       384
  First Internet Bancorp   7,843       383
  HomeTrust Bancshares Inc.  12,733       383
1 Orchid Island Capital Inc. 114,773       378
  MidWestOne Financial Group Inc.  12,122       366
  Alerus Financial Corp.  12,708       365
* Carter Bankshares Inc.  21,927       365
* Assetmark Financial Holdings Inc.  15,504       364
  First Financial Bankshares Inc.   7,577       363
  Republic Bancorp Inc. Class A   7,915       363
  Merchants Bancorp  12,445       360
  Equity Bancshares Inc. Class A  11,404       359
  Bar Harbor Bankshares  12,462       358
  CNB Financial Corp.  13,558       355
  Southern Missouri Bancorp Inc.   6,489       348
  American National Bankshares Inc.   8,894       343
  Oppenheimer Holdings Inc. Class A   7,787       336
  Mid Penn Bancorp Inc.  11,956       335
  Old Second Bancorp Inc.  23,411       333
  Waterstone Financial Inc.  17,038       333
  MVB Financial Corp.   8,596       331
  Citizens & Northern Corp.  13,101       325
* CrossFirst Bankshares Inc.  20,355       320
  Capital City Bank Group Inc.  11,357       319
  West BanCorp. Inc.  11,038       319
  Sierra Bancorp  11,841       318
  Spirit of Texas Bancshares Inc.  11,108       317
  Enterprise Bancorp Inc.   7,814       315
* Blue Foundry Bancorp  22,685       315
  Civista Bancshares Inc.  12,618       308
  SmartFinancial Inc.  11,680       305
  HCI Group Inc.   4,777       297
 
42

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* Oportun Financial Corp.  18,090       296
  Metrocity Bankshares Inc.  12,105       294
  Primis Financial Corp.  20,298       290
  Peoples Financial Services Corp.   5,923       283
  Universal Insurance Holdings Inc.  22,875       264
  Summit Financial Group Inc.   9,602       262
  First Bancorp Inc. (XNGS)   8,747       261
  Enact Holdings Inc.  12,490       260
  RLI Corp.   2,548       259
  RBB Bancorp  10,615       256
  Tiptree Inc.  19,883       254
  Home Bancorp Inc.   6,413       251
* EZCorp. Inc. Class A  41,584       249
  South Plains Financial Inc.   8,910       247
* Southern First Bancshares Inc.   4,257       243
  Sculptor Capital Management Inc. Class A  18,631       239
  Blue Ridge Bankshares Inc.  14,611       235
  Guaranty Bancshares Inc.   6,687       234
* Bridgewater Bancshares Inc.  13,794       232
* eHealth Inc.  14,666       228
  Northrim BanCorp Inc.   5,078       227
  Orrstown Financial Services Inc.   9,212       225
  Great Ajax Corp.  19,309       220
  Macatawa Bank Corp.  23,608       217
  AFC Gamma Inc.  10,706       211
  Provident Bancorp Inc.  12,811       210
  PCSB Financial Corp.  10,955       204
  PJT Partners Inc. Class A   3,187       203
  Amalgamated Financial Corp.  11,773       202
  Regional Management Corp.   3,882       199
  Five Star Bancorp   6,544       199
* Ocwen Financial Corp.   6,899       198
  FS Bancorp Inc.   6,133       196
  Red River Bancshares Inc.   3,805       195
* Republic First Bancorp Inc.  37,438       194
  First Bank  13,198       192
* Citizens Inc. Class A  41,801       178
  Investors Title Co.     931       178
  WisdomTree Investments Inc.  31,293       176
  Donegal Group Inc. Class A  12,479       170
  HBT Financial Inc.   8,733       167
  Fidelity D&D Bancorp Inc.   3,364       166
* Greenlight Capital Re Ltd. Class A  22,747       164
  Capital Bancorp Inc.   6,495       161
  Luther Burbank Corp.  12,312       159
* Maiden Holdings Ltd.  58,908       144
* Triumph Bancorp Inc.   1,318       132
* NI Holdings Inc.   7,156       128
* Coastal Financial Corp.   2,510       119
* Pioneer Bancorp Inc.  10,392       110
  Crawford & Co. Class A  14,094       109
  Heritage Insurance Holdings Inc.  19,586       109
* Trean Insurance Group Inc.  14,764       105
* MetroMile Inc.  81,087       104
  Angel Oak Mortgage Inc.   6,082        99
* Velocity Financial LLC   7,439        95
* Third Coast Bancshares Inc.   2,772        65
  United Insurance Holdings Corp.  16,979        62
    Shares Market
Value•

($000)
  Associated Capital Group Inc. Class A   1,405        55
* Finance of America Cos. Inc. Class A  15,395        50
  GCM Grosvenor Inc. Class A   3,948        39
  Home Point Capital Inc.   6,360        21
  GAMCO Investors Inc. Class A     490        11
* TPG Inc.     367        11
* P10 Inc. Class A     561         7
  Value Line Inc.      44         3
* Clearwater Analytics Holdings Inc. Class A     111         2
* USCB Financial Holdings Inc.     122         2
        321,080
Health Care (8.9%)
* Tenet Healthcare Corp.  79,862     6,867
* Arena Pharmaceuticals Inc.  47,576     4,518
* Option Care Health Inc. 135,508     3,483
* Prestige Consumer Healthcare Inc.  42,829     2,550
* Integer Holdings Corp.  28,091     2,356
* Lantheus Holdings Inc.  49,067     2,346
* BioCryst Pharmaceuticals Inc. 137,549     2,285
* Biohaven Pharmaceutical Holding Co. Ltd.  15,614     1,854
* Emergent BioSolutions Inc.  41,676     1,725
* Myriad Genetics Inc.  67,737     1,651
  Patterson Cos. Inc.  54,534     1,631
* Veracyte Inc.  58,178     1,617
* Avanos Medical Inc.  41,483     1,468
* Agios Pharmaceuticals Inc.  46,998     1,463
* Evolent Health Inc. Class A  54,361     1,449
* Arcus Biosciences Inc.  38,403     1,429
* Invitae Corp. 127,332     1,374
* Supernus Pharmaceuticals Inc.  41,900     1,339
* ChemoCentryx Inc.  42,948     1,303
* Travere Thrapeutics Inc.  47,092     1,284
* IVERIC bio Inc.  78,441     1,258
* Zogenix Inc.  47,607     1,250
* Ligand Pharmaceuticals Inc.  11,332     1,147
* Turning Point Therapeutics Inc.  35,460     1,123
* Pacific Biosciences of California Inc.  91,126     1,086
* Brookdale Senior Living Inc. 156,988     1,080
* OPKO Health Inc. 341,001     1,067
* AdaptHealth Corp. Class A  61,202     1,067
* Enanta Pharmaceuticals Inc.  14,891     1,049
* Multiplan Corp. 274,556     1,032
* Fulgent Genetics Inc.  15,647       975
* Prometheus Biosciences Inc.  22,347       973
* NextGen Healthcare Inc.  48,566       949
* Atara Biotherapeutics Inc.  68,218       877
* Kura Oncology Inc.  53,811       854
* ModivCare Inc.   7,042       831
* Meridian Bioscience Inc.  32,484       822
* REVOLUTION Medicines Inc.  43,104       816
* Natus Medical Inc.  29,053       808
* Haemonetics Corp.  13,767       794
* AngioDynamics Inc.  31,733       747
* MEDNAX Inc.  30,651       719
  National HealthCare Corp.  10,798       702
* LivaNova plc   8,787       693
* American Well Corp. Class A 160,406       679
 
43

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* Varex Imaging Corp.  28,062       663
* Addus HomeCare Corp.   7,667       652
* Catalyst Pharmaceuticals Inc.  81,844       638
* Innoviva Inc.  32,454       623
* Krystal Biotech Inc.   9,720       618
* iTeos Therapeutics Inc.  17,039       616
* Amphastar Pharmaceuticals Inc.  22,134       613
* Endo International plc 193,580       602
*,1 Inovio Pharmaceuticals Inc. 174,438       565
* Vaxcyte Inc.  24,323       564
* Orthofix Medical Inc.  15,956       542
* Vanda Pharmaceuticals Inc.  46,216       525
* AnaptysBio Inc.  16,270       497
* MannKind Corp. 187,092       490
  Healthcare Services Group Inc.  30,052       475
* Gossamer Bio Inc.  52,366       473
* OraSure Technologies Inc.  60,394       471
  Owens & Minor Inc.  10,665       471
* Syndax Pharmaceuticals Inc.  28,637       446
* Avidity Biosciences Inc.  26,257       445
* Kezar Life Sciences Inc.  29,583       439
* HealthStream Inc.  21,316       437
* ImmunoGen Inc.  77,291       436
* Arcturus Therapeutics Holdings Inc.  17,808       427
* Chinook Therapeutics Inc.  32,952       420
* REGENXBIO Inc.  15,908       417
* Tivity Health Inc.  15,231       416
* Anika Therapeutics Inc.  12,549       408
* Cara Therapeutics Inc.  37,472       389
* UFP Technologies Inc.   5,469       378
* Arcutis Biotherapeutics Inc.  20,977       373
* Computer Programs and Systems Inc.  11,870       365
* NGM Biopharmaceuticals Inc.  24,046       357
*,1 ImmunityBio Inc.  51,252       351
*,1 Recursion Pharmaceuticals Inc. Class A  31,970       350
* Bluebird Bio Inc.  56,957       344
* ANI Pharmaceuticals Inc.   9,197       344
* Praxis Precision Medicines Inc.  25,890       339
* MeiraGTx Holdings plc  23,509       337
* Seer Inc. Class A  21,537       330
* Personalis Inc.  31,324       329
* Apria Inc.   8,600       321
* Atea Pharmaceuticals Inc.  49,524       314
* Allogene Therapeutics Inc.  34,218       313
* Merit Medical Systems Inc.   4,761       310
* Sutro Biopharma Inc.  34,055       304
* Cullinan Oncology Inc.  20,402       293
* Provention Bio Inc.  46,490       291
* 4D Molecular Therapeutics Inc.  21,162       290
* Rhythm Pharmaceuticals Inc.  37,135       283
* 2seventy bio Inc.  19,021       282
* Forma Therapeutics Holdings Inc.  28,502       281
* Geron Corp. (XNGS) 255,419       278
* Ideaya Biosciences Inc.  21,005       277
* Instil Bio Inc.  24,378       262
* Fulcrum Therapeutics Inc.  23,295       256
* Altimmune Inc.  33,736       250
* Athira Pharma Inc.  27,225       249
    Shares Market
Value•

($000)
* Celldex Therapeutics Inc.   8,274       247
* Eagle Pharmaceuticals Inc.   5,205       247
* Prothena Corp. plc   7,065       244
* MaxCyte Inc.  33,864       236
  Utah Medical Products Inc.   2,569       231
* Adicet Bio Inc.  17,689       231
* Bridgebio Pharma Inc.  29,453       230
* Viking Therapeutics Inc.  65,325       219
* Kronos Bio Inc.  28,790       217
* Dyne Therapeutics Inc.  25,170       216
* Fluidigm Corp.  57,748       213
* Jounce Therapeutics Inc.  27,639       206
* Arbutus Biopharma Corp.  62,939       201
* Neogen Corp.   5,554       198
* Blueprint Medicines Corp.   3,194       193
* Akebia Therapeutics Inc.  87,142       188
* Immunic Inc.  16,092       187
* Cymabay Therapeutics Inc.  58,136       185
* Gritstone bio Inc.  35,956       183
* Verve Therapeutics Inc.   5,567       182
* ORIC Pharmaceuticals Inc.  22,908       178
* EyePoint Pharmaceuticals Inc.  17,718       176
* Cytokinetics Inc.   4,790       169
* SeaSpine Holdings Corp.  13,150       167
* Kinnate Biopharma Inc.  20,526       160
* MiMedx Group Inc.  30,919       156
* Relay Therapeutics Inc.   6,436       155
* Lineage Cell Therapeutics Inc. 106,395       150
* Citius Pharmaceuticals Inc.  95,175       147
* Selecta Biosciences Inc.  78,732       146
* G1 Therapeutics Inc.  13,519       143
* Community Health Systems Inc.  13,536       142
* CorMedix Inc.  28,769       140
* LifeStance Health Group Inc.  14,483       137
* Kiniksa Pharmaceuticals Ltd. Class A  13,233       136
* Foghorn Therapeutics Inc.  14,067       135
* Cogent Biosciences Inc.  22,273       132
* Vor BioPharma Inc.  14,613       132
* Ikena Oncology Inc.  21,538       132
* Design Therapeutics Inc.   9,396       128
* Annexon Inc.  26,142       127
  XBiotech Inc.  12,687       125
* Homology Medicines Inc.  35,144       123
* Replimune Group Inc.   7,671       123
* Albireo Pharma Inc.   3,340       111
* Atossa Therapeutics Inc.  91,050       111
* Crinetics Pharmaceuticals Inc.   5,486       110
* NanoString Technologies Inc.   3,041       108
* Eiger BioPharmaceuticals Inc.  26,845       107
* Akouos Inc.  20,125       107
* Nkarta Inc.  11,823       107
* Nuvation Bio Inc.  21,204       107
* Surface Oncology Inc.  29,505       106
* Asensus Surgical Inc. 135,669       104
* XOMA Corp.   4,690       103
* Passage Bio Inc.  31,086       103
* SQZ Biotechnologies Co.  19,076       101
* Akero Therapeutics Inc.   5,642       100
* Reata Pharmaceuticals Inc. Class A   3,013        99
* Chimerix Inc.  17,306        98
 
44

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* Adverum Biotechnologies Inc.  72,724        97
* Viemed Healthcare Inc.  24,943        96
* Aeglea BioTherapeutics Inc.  33,880        94
*,1 Erasca Inc.   7,341        91
* DICE Therapeutics Inc.   4,924        91
* Oyster Point Pharma Inc.   8,810        88
* Poseida Therapeutics Inc.  24,120        88
* FibroGen Inc.   6,211        87
* Cardiff Oncology Inc.  31,910        86
* Bioventus Inc. Class A   6,647        86
* DarioHealth Corp.  11,294        82
* Icosavax Inc.   4,700        82
* Vera Therapeutics Inc.   3,489        81
* Janux Therapeutics Inc.   4,619        80
* Imago Biosciences Inc.   3,413        80
* Mersana Therapeutics Inc.  17,659        78
* Frequency Therapeutics Inc.  26,815        76
* KemPharm Inc.  12,774        76
* Artivion Inc.   3,794        74
* Silverback Therapeutics Inc.  17,202        74
* Caribou Biosciences Inc.   7,424        74
* Lexicon Pharmaceuticals Inc.  35,042        73
* Immunovant Inc.  13,091        73
* TCR2 Therapeutics Inc.  25,960        70
* Inozyme Pharma Inc.  12,144        70
* Tonix Pharmaceuticals Holding Corp. 380,428        70
* Oncternal Therapeutics Inc.  37,091        68
* Bolt Biotherapeutics Inc.  19,174        67
* Sorrento Therapeutics Inc.  25,853        65
* Viracta Therapeutics Inc.  23,787        65
* Scholar Rock Holding Corp.   3,702        64
* Castle Biosciences Inc.   1,451        63
* Sensei Biotherapeutics Inc.  17,540        63
*,1 Monte Rosa Therapeutics Inc.   4,228        61
* Avid Bioservices Inc.   2,925        60
* Deciphera Pharmaceuticals Inc.   7,721        60
* Sangamo Therapeutics Inc.  10,259        60
* Black Diamond Therapeutics Inc.  19,100        60
* Lyell Immunopharma Inc.   8,231        60
* Invacare Corp.  28,173        58
* Mirum Pharmaceuticals Inc.   2,447        58
* Neoleukin Therapeutics Inc.  22,620        58
* iBio Inc. 180,973        58
* Century Therapeutics Inc.   4,144        58
* Tenaya Therapeutics Inc.   4,922        57
* Nuvalent Inc. Class A   3,667        55
* Olema Pharmaceuticals Inc.  11,536        54
* Werewolf Therapeutics Inc.   7,386        53
* Alphatec Holdings Inc.   4,756        52
* Mustang Bio Inc.  60,007        52
* Day One Biopharmaceuticals Inc.   3,835        52
* Graphite Bio Inc.   5,685        52
* Tyra Biosciences Inc.   4,201        50
* Adagio Therapeutics Inc.   7,315        49
* Exagen Inc.   6,193        47
* Vaxart Inc.   9,322        47
* Finch Therapeutics Group Inc.   5,594        47
* Avrobio Inc.  31,572        46
* VBI Vaccines Inc.  30,430        45
* Bright Health Group Inc.  13,177        44
* Absci Corp.   4,743        44
    Shares Market
Value•

($000)
*,1 Cue Health Inc.   5,173        43
* Ventyx Biosciences Inc.   3,704        43
*,1 Trevena Inc.  90,725        42
* Theravance Biopharma Inc.   4,202        42
* Talaris Therapeutics Inc.   5,971        42
* Solid Biosciences Inc.  50,266        41
* Alpha Teknova Inc.   2,431        41
* Theseus Pharmaceuticals Inc.   4,077        41
* Atreca Inc. Class A  21,775        39
* Entrada Therapeutics Inc.   3,241        39
* 89bio Inc.   8,173        38
* Nurix Therapeutics Inc.   2,336        38
* MacroGenics Inc.   3,951        37
* SOC Telemed Inc. Class A  12,515        37
* VistaGen Therapeutics Inc.  26,126        37
* Oncorus Inc.  17,126        36
* Aerovate Therapeutics Inc.   3,587        35
* Aura Biosciences Inc.   1,938        35
* Singular Genomics Systems Inc.   4,190        34
* Portage Biotech Inc.   4,191        33
* Cytek Biosciences Inc.   2,391        33
* Syros Pharmaceuticals Inc.  24,895        32
* Xilio Therapeutics Inc.   2,719        32
* Curis Inc.   9,359        31
* CytomX Therapeutics Inc.   8,111        31
* Omega Therapeutics Inc.   2,629        31
* Rallybio Corp.   2,804        31
*,1 PROCEPT BioRobotics Corp.   1,143        29
* Spero Therapeutics Inc.   2,875        28
* Tarsus Pharmaceuticals Inc.   1,598        28
* Codex DNA Inc.   2,752        28
* Sight Sciences Inc.   1,606        28
* Paragon 28 Inc.   1,691        28
* UroGen Pharma Ltd.   4,485        27
* Rain Therapeutics Inc.   4,484        27
* AirSculpt Technologies Inc.   1,987        27
* Sana Biotechnology Inc.   3,872        25
* Talis Biomedical Corp.  12,089        25
* Athenex Inc.  29,860        24
* Convey Health Solutions Holdings Inc.   4,156        24
* Harvard Bioscience Inc.   4,230        23
* Precigen Inc.  10,182        23
* Pyxis Oncology Inc.   3,800        23
* Oncocyte Corp.  15,324        22
* Immuneering Corp. Class A   2,954        22
* Eliem Therapeutics Inc.   2,386        22
* Athersys Inc.  23,624        21
* Taysha Gene Therapies Inc.   3,220        21
* Gemini Therapeutics Inc.  15,433        21
* Rapid Micro Biosystems Inc. Class A   2,937        21
* Acumen Pharmaceuticals Inc.   3,515        21
* Shattuck Labs Inc.   4,013        20
* Clene Inc.   6,313        20
* IsoPlexis Corp.   4,083        20
* RxSight Inc.   1,388        19
* Sientra Inc.   6,045        17
* Spruce Biosciences Inc.   7,292        17
* Cyteir Therapeutics Inc.   2,937        17
* Sigilon Therapeutics Inc.  10,981        16
* Doximity Inc. Class A     260        16
* CVRx Inc.   1,796        16
* Ardelyx Inc.  19,227        15
 
45

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
* CEL–SCI Corp.   2,611        15
*,1 Hookipa Pharma Inc.   6,350        15
* Pliant Therapeutics Inc.   1,683        15
* Reneo Pharmaceuticals Inc.   2,808        14
* Terns Pharmaceuticals Inc.   3,960        13
* Magenta Therapeutics Inc.   3,892        12
* Generation Bio Co.   2,275        12
* Cincor Pharma Inc.     523        12
* NexImmune Inc.   4,475        11
*,1 Impel Neuropharma Inc.   1,474        11
* Thorne HealthTech Inc.   2,427        11
* Forian Inc.   1,385        10
* Lucid Diagnostics Inc.   2,640        10
* Kala Pharmaceuticals Inc.  13,479         9
* Sera Prognostics Inc. Class A   1,749         9
* Amylyx Pharmaceuticals Inc.     286         9
* NantHealth Inc.   9,769         8
* Infinity Pharmaceuticals Inc.   7,665         8
* Neuronetics Inc.   2,180         7
* Applied Therapeutics Inc.   3,668         7
* Brooklyn ImmunoTherapeutics Inc.   3,111         7
* Vigil Neuroscience Inc.     411         7
* Arcellx Inc.     281         5
* Warby Parker Inc. Class A     111         3
* In8bio Inc.     448         2
* TScan Therapeutics Inc.     395         2
* Avalo Therapeutics Inc.   2,511         2
* Minerva Surgical Inc.     310         2
* MiNK Therapeutics Inc.     682         2
* Kaleido Biosciences Inc.     867         1
* Elevation Oncology Inc.     189         1
* Candel Therapeutics Inc.     334         1
* Definitive Healthcare Corp. Class A      46         1
* Sonendo Inc.     281         1
*,1 Vaxxinity Inc. Class A     223         1
*,2 PDL BioPharma Inc.     270        —
        106,714
Industrials (14.2%)
  EMCOR Group Inc.  40,947     4,731
  Matson Inc.  35,432     3,925
* WESCO International Inc.  31,309     3,811
  Triton International Ltd.  56,822     3,732
* API Group Corp. 171,750     3,705
  GATX Corp.  30,098     3,209
* Summit Materials Inc. Class A 101,458     3,167
  Korn Ferry  46,135     3,057
* Resideo Technologies Inc. 108,627     2,796
  SPX FLOW Inc.  32,556     2,796
* Fluor Corp. 120,819     2,617
  ABM Industries Inc.  57,322     2,570
  HB Fuller Co.  36,506     2,496
* Hub Group Inc. Class A  28,188     2,379
  EnerSys  32,642     2,374
  Altra Industrial Motion Corp.  55,178     2,343
  UniFirst Corp.  12,886     2,336
  Kennametal Inc.  71,087     2,254
  Otter Tail Corp.  34,973     2,163
  Belden Inc.  37,693     2,124
  Moog Inc. Class A  24,684     2,051
  Werner Enterprises Inc.  46,298     2,012
  Maxar Technologies Inc.  61,828     2,006
  ArcBest Corp.  21,566     1,999
* GMS Inc.  36,494     1,980
  Encore Wire Corp.  16,795     1,955
    Shares Market
Value•

($000)
  ManTech International Corp. Class A  23,343     1,946
  EnPro Industries Inc.  17,576     1,941
* Atlas Air Worldwide Holdings Inc.  24,500     1,920
  Trinity Industries Inc.  65,804     1,899
  Barnes Group Inc.  40,272     1,871
  Brady Corp. Class A  40,120     1,849
  Albany International Corp. Class A  20,926     1,838
* Chart Industries Inc.  12,409     1,792
* Kratos Defense & Security Solutions Inc.  81,136     1,697
* CBIZ Inc.  41,611     1,619
* Air Transport Services Group Inc.  50,388     1,588
  Mueller Water Products Inc. Class A 125,048     1,587
  Zurn Water Solutions Corp.  48,746     1,585
  Watts Water Technologies Inc. Class A  10,334     1,488
  ICF International Inc.  15,793     1,400
  ESCO Technologies Inc.  19,962     1,389
* Triumph Group Inc.  54,383     1,362
  Hillenbrand Inc.  28,056     1,339
* AAR Corp.  29,329     1,318
* Veritiv Corp.  12,269     1,315
  Textainer Group Holdings Ltd.  34,819     1,236
  Greenbrier Cos. Inc.  27,293     1,213
  Primoris Services Corp.  45,624     1,203
  TriMas Corp.  36,937     1,201
  Granite Construction Inc.  39,127     1,184
* Green Dot Corp. Class A  40,962     1,174
* Proto Labs Inc.  20,056     1,128
  Deluxe Corp.  35,968     1,119
  Greif Inc. Class A  19,434     1,117
* JELD-WEN Holding Inc.  47,793     1,103
  Columbus McKinnon Corp.  24,099     1,100
* Allegheny Technologies Inc.  42,446     1,093
  Standex International Corp.  10,253     1,086
  Mesa Laboratories Inc.   4,248     1,085
  AZZ Inc.  21,443     1,056
  SFL Corp. Ltd. 106,146     1,056
* OSI Systems Inc.  13,058     1,053
  Kaman Corp.  23,423     1,017
1 Frontline Ltd. 102,714       966
* Gibraltar Industries Inc.  19,964       965
  Astec Industries Inc.  19,367       964
  Apogee Enterprises Inc.  21,316       961
* CoreCivic Inc. 102,546       934
  Griffon Corp.  39,778       917
* NV5 Global Inc.   8,491       911
  Marten Transport Ltd.  50,925       878
* Huron Consulting Group Inc.  16,620       820
* TrueBlue Inc.  29,689       807
* Great Lakes Dredge & Dock Corp.  55,485       783
* American Woodmark Corp.  14,178       760
  DHT Holdings Inc. 119,878       754
* Donnelley Financial Solutions Inc.  23,393       751
  Scorpio Tankers Inc.  41,938       729
  International Seaways Inc.  39,204       717
* Beacon Roofing Supply Inc.  11,839       707
* Repay Holdings Corp. Class A  40,942       707
* Conduent Inc. 144,043       701
 
46

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
  Wabash National Corp.  39,452       672
  Quanex Building Products Corp.  28,270       646
  Kelly Services Inc. Class A  30,241       642
* Ranpak Holdings Corp. Class A  26,357       638
  Costamare Inc.  44,659       603
  Gorman-Rupp Co.  15,977       595
* Cross Country Healthcare Inc.  26,394       589
  Heartland Express Inc.  40,160       577
* Sterling Construction Co. Inc.  18,822       556
* PGT Innovations Inc.  25,649       552
  Genco Shipping & Trading Ltd.  27,769       535
  Insteel Industries Inc.  14,378       534
  McGrath RentCorp.   6,500       528
* ASGN Inc.   4,610       511
* Advantage Solutions Inc.  64,405       507
  Argan Inc.  12,896       501
  Aerojet Rocketdyne Holdings Inc.  12,882       499
* Manitowoc Co. Inc.  28,959       479
* Thermon Group Holdings Inc.  27,773       475
* BrightView Holdings Inc.  34,551       467
* Titan Machinery Inc.  16,338       463
* Ducommun Inc.   9,155       462
  Resources Connection Inc.  26,857       446
* Vectrus Inc.   9,728       446
  Chase Corp.   4,767       438
  VSE Corp.   8,924       425
* DXP Enterprises Inc.  14,669       421
* FARO Technologies Inc.   7,678       420
  Ennis Inc.  22,136       416
* Vivint Smart Home Inc.  56,738       408
* Titan International Inc.  36,296       406
* Dycom Industries Inc.   4,625       403
  Heidrick & Struggles International Inc.   9,295       397
  Eagle Bulk Shipping Inc.   7,539       397
  Cass Information Systems Inc.   9,872       391
* Modine Manufacturing Co.  38,583       390
*,1 Ideanomics Inc. 370,845       389
  Barrett Business Services Inc.   6,308       379
* Yellow Corp.  40,113       361
* Tutor Perini Corp.  35,894       352
  Pactiv Evergreen Inc.  36,311       349
* Hyliion Holdings Corp.  79,729       344
  Nordic American Tankers Ltd. 141,536       342
  National Presto Industries Inc.   4,286       341
* Astronics Corp.  22,448       330
* Vishay Precision Group Inc.  10,478       329
* Itron Inc.   6,826       325
  Hyster-Yale Materials Handling Inc.   8,429       323
* SPX Corp.   6,224       316
* MYR Group Inc.   3,512       315
* Meritor Inc.   8,836       315
  Dorian LPG Ltd.  21,525       297
*,1 Workhorse Group Inc.  92,082       288
* Teekay Tankers Ltd. Class A  20,122       288
*,1 View Inc. 117,806       285
  REV Group Inc.  20,498       277
  Miller Industries Inc.   8,900       276
    Shares Market
Value•

($000)
  Myers Industries Inc.  16,272       270
* Ferro Corp.  11,800       256
  Kronos Worldwide Inc.  15,996       236
  Luxfer Holdings plc  13,371       233
* Covenant Logistics Group Inc. Class A  10,290       232
* Babcock & Wilcox Enterprises Inc.  33,001       231
* Desktop Metal Inc. Class A  55,435       231
  Caesarstone Ltd.  19,129       229
* Flywire Corp.   8,474       229
  Park Aerospace Corp.  16,414       228
* Radiant Logistics Inc.  32,833       227
* Safe Bulkers Inc.  53,486       224
  Greif Inc. Class B   3,772       215
*,1 Custom Truck One Source Inc.  26,668       210
* Teekay Corp.  58,660       198
  United States Lime & Minerals Inc.   1,635       192
* PAM Transportation Services Inc.   2,557       172
* Sterling Check Corp.   8,035       169
  Powell Industries Inc.   7,648       162
* Concrete Pumping Holdings Inc.  21,604       161
* Infrastructure and Energy Alternatives Inc.  14,655       159
* Acacia Research Corp.  41,018       157
* Blue Bird Corp.   6,787       145
* CECO Environmental Corp.  25,941       140
  Preformed Line Products Co.   2,480       138
* Hireright Holdings Corp.  10,488       137
  Alamo Group Inc.     981       136
* Commercial Vehicle Group Inc.  16,917       135
* INNOVATE Corp.  39,843       133
* CS Disco Inc.   3,495       132
* Aersale Corp.   8,288       130
  Lindsay Corp.     882       116
* Atlas Technical Consultants Inc.   9,998       115
* Mistras Group Inc.  17,068       114
  Park-Ohio Holdings Corp.   7,128       113
* US Xpress Enterprises Inc. Class A  23,149       105
  CRA International Inc.     945        84
* Willis Lease Finance Corp.   2,314        81
* Mayville Engineering Co. Inc.   7,585        78
* First Advantage Corp.   4,707        76
  Cadre Holdings Inc.   3,326        73
* StarTek Inc.  14,106        62
* Willdan Group Inc.   1,875        61
* Rekor Systems Inc.   9,862        47
* AvidXchange Holdings Inc.   3,458        33
  Allied Motion Technologies Inc.     803        28
  Universal Logistics Holdings Inc.   1,266        24
* AgEagle Aerial Systems Inc.  20,250        24
* Target Hospitality Corp.   6,616        21
* Team Inc.  22,082        21
* Remitly Global Inc.   1,691        18
  Hirequest Inc.     661        12
        171,096
Other (0.0%)3
*,2 Media General Inc. CVR  35,434         1
 
47

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
*,2 Aduro Biotech Inc. CVR     724         1
*,2 Ferroglobe Unit  19,424        —
              2
Real Estate (11.5%)
  STAG Industrial Inc. 150,245     5,854
  Terreno Realty Corp.  62,841     4,323
  Kite Realty Group Trust 184,678     4,050
  Agree Realty Corp.  58,592     3,759
  LXP Industrial Trust 237,962     3,679
  Healthcare Realty Trust Inc. 125,692     3,278
  Apple Hospitality REIT Inc. 182,766     3,233
  PotlatchDeltic Corp.  56,220     3,086
  Physicians Realty Trust 187,773     3,053
* Digitalbridge Group Inc. 414,890     3,008
  Hannon Armstrong Sustainable Infrastructure Capital Inc.  61,610     2,917
  Broadstone Net Lease Inc. 134,145     2,906
  Macerich Co. 182,810     2,797
* Equity Commonwealth 100,055     2,658
  Outfront Media Inc.  99,085     2,646
  Sabra Health Care REIT Inc. 194,450     2,611
  Essential Properties Realty Trust Inc. 102,863     2,600
  Corporate Office Properties Trust  96,566     2,531
  Pebblebrook Hotel Trust 111,324     2,506
  SITE Centers Corp. 147,814     2,299
  Independence Realty Trust Inc.  89,711     2,267
  Kennedy-Wilson Holdings Inc. 101,064     2,238
  Uniti Group Inc. 167,254     2,169
  National Health Investors Inc.  37,259     1,986
  RLJ Lodging Trust 140,732     1,969
* Sunstone Hotel Investors Inc. 185,147     1,959
  Brandywine Realty Trust 144,694     1,929
  Retail Opportunity Investments Corp. 101,055     1,835
  Innovative Industrial Properties Inc.   9,729     1,834
  Urban Edge Properties  98,863     1,801
* Xenia Hotels & Resorts Inc.  97,029     1,799
  Piedmont Office Realty Trust Inc. Class A 105,524     1,798
* Realogy Holdings Corp.  98,219     1,786
  Paramount Group Inc. 159,310     1,783
  Four Corners Property Trust Inc.  65,805     1,736
* DiamondRock Hospitality Co. 178,209     1,702
  Washington REIT  72,147     1,685
  Acadia Realty Trust  73,997     1,586
  American Assets Trust Inc.  42,550     1,556
  Easterly Government Properties Inc. Class A  73,807     1,537
  CareTrust REIT Inc.  82,495     1,444
  Alexander & Baldwin Inc.  61,824     1,387
  NexPoint Residential Trust Inc.  15,378     1,307
  Global Net Lease Inc.  89,096     1,266
* Veris Residential Inc.  74,905     1,266
  Industrial Logistics Properties Trust  55,433     1,240
  Service Properties Trust 142,193     1,227
  Empire State Realty Trust Inc. Class A 121,982     1,154
    Shares Market
Value•

($000)
  Centerspace  12,268     1,153
  LTC Properties Inc.  33,235     1,124
  Preferred Apartment Communities Inc. Class A  44,485     1,124
  Tanger Factory Outlet Centers Inc.  63,563     1,060
  Office Properties Income Trust  41,201     1,032
  Getty Realty Corp.  34,851       960
  RPT Realty  72,088       934
* Apartment Investment and Management Co. Class A 128,018       914
* Marcus & Millichap Inc.  18,169       904
* Summit Hotel Properties Inc.  88,684       877
  Global Medical REIT Inc.  51,555       809
  Armada Hoffler Properties Inc.  51,709       759
  NETSTREIT Corp.  33,570       743
  Necessity Retail REIT Inc. 100,701       709
  Plymouth Industrial REIT Inc.  26,355       687
* Radius Global Infrastructure Inc. Class A (XNMS)  49,848       641
  City Office REIT Inc.  36,070       621
  GEO Group Inc.  99,545       593
  Diversified Healthcare Trust 204,202       588
* Chatham Lodging Trust  41,444       570
  Ares Commercial Real Estate Corp.  36,933       541
* CorePoint Lodging Inc.  33,221       531
  Franklin Street Properties Corp.  86,449       500
  Gladstone Commercial Corp.  22,727       482
  RE/MAX Holdings Inc. Class A  16,013       475
  Urstadt Biddle Properties Inc. Class A  25,096       473
  Whitestone REIT  39,303       463
  Phillips Edison & Co. Inc.  13,879       449
  PS Business Parks Inc.   2,575       410
  One Liberty Properties Inc.  13,573       394
* Douglas Elliman Inc.  52,295       394
  Safehold Inc.   5,788       355
  RMR Group Inc. Class A  11,549       337
* FRP Holdings Inc.   5,640       327
* Ryman Hospitality Properties Inc.   3,670       323
* Seritage Growth Properties Class A  31,709       323
  Gladstone Land Corp.  10,777       322
  CTO Realty Growth Inc.   4,946       310
  Community Healthcare Trust Inc.   7,313       305
* Tejon Ranch Co.  17,579       298
* Braemar Hotels & Resorts Inc.  48,901       291
  Farmland Partners Inc.  24,492       286
* Hersha Hospitality Trust Class A  27,267       252
  BRT Apartments Corp.   9,779       215
* Forestar Group Inc.  10,711       196
  Postal Realty Trust Inc. Class A  10,629       185
* Ashford Hospitality Trust Inc.  14,331       123
  UMH Properties Inc.   5,266       121
  Indus Realty Trust Inc.   1,235        94
  CatchMark Timber Trust Inc. Class A  12,059        92
 
48

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
  Universal Health Realty Income Trust     842        48
  Retail Value Inc.  14,596        45
  Saul Centers Inc.     783        36
  Clipper Realty Inc.   1,174        11
  Bridge Investment Group Holdings Inc. Class A     229         5
        137,854
Technology (4.4%)
* Verint Systems Inc.  54,843     2,755
* Rambus Inc.  92,668     2,502
* Onto Innovation Inc.  28,411     2,449
* LiveRamp Holdings Inc.  56,259     2,428
* Sanmina Corp.  54,045     2,150
* Allscripts Healthcare Solutions Inc. 104,310     2,030
* Insight Enterprises Inc.  19,126     1,989
  Vishay Intertechnology Inc.  98,056     1,882
* NetScout Systems Inc.  59,746     1,860
* Bottomline Technologies DE Inc.  31,570     1,788
  Amkor Technology Inc.  69,059     1,566
* Covetrus Inc.  88,171     1,562
  Xperi Holding Corp.  89,490     1,550
* E2open Parent Holdings Inc. 169,706     1,524
  Methode Electronics Inc.  32,509     1,484
* Super Micro Computer Inc.  37,222     1,462
* Veeco Instruments Inc.  42,473     1,213
* TTM Technologies Inc.  89,180     1,121
* Ping Identity Holding Corp.  52,975     1,115
* ePlus Inc.  22,726     1,066
* Photronics Inc.  51,079       941
  CSG Systems International Inc.  14,844       916
  CTS Corp.  21,295       808
  Benchmark Electronics Inc.  30,770       804
* Parsons Corp.  22,217       770
* Diodes Inc.   8,362       749
  KBR Inc.  14,922       741
* PDF Solutions Inc.  25,761       705
* ScanSource Inc.  21,629       683
* NeoPhotonics Corp.  43,328       663
  Ebix Inc.  22,419       662
* Rogers Corp.   1,946       531
  PC Connection Inc.   9,364       457
* II-VI Inc.   6,504       452
* Fabrinet   4,360       437
* Limelight Networks Inc. 105,365       412
* Aeva Technologies Inc.  89,185       375
* FormFactor Inc.   8,194       332
* Kimball Electronics Inc.  19,250       332
*,1 Cleanspark Inc.  29,457       312
* Ichor Holdings Ltd.   8,327       293
* Asana Inc. Class A   5,009       274
* TrueCar Inc.  81,572       272
* AXT Inc.  34,045       254
* Unisys Corp.  11,733       251
* Plexus Corp.   2,726       222
* Envestnet Inc.   2,924       219
* GAN Ltd.  30,297       202
* Smith Micro Software Inc.  43,831       182
* Alpha & Omega Semiconductor Ltd.   3,392       182
* Cohu Inc.   5,344       167
* 3D Systems Corp.   9,218       164
* comScore Inc.  59,366       156
* Yelp Inc. Class A   4,574       155
    Shares Market
Value•

($000)
* Rackspace Technology Inc.  12,831       143
* Daktronics Inc.  30,798       142
* DigitalOcean Holdings Inc.   2,351       139
* ChannelAdvisor Corp.   7,306       131
* SecureWorks Corp. Class A   8,366       129
* Quantum Corp.  49,129       128
  American Software Inc. Class A   5,780       127
* ON24 Inc.   8,161       127
* GTY Technologies Holdings Inc.  26,963       120
  A10 Networks Inc.   8,383       119
* eGain Corp.   9,210       109
* EMCORE Corp.  26,018       101
* Agilysys Inc.   2,356        99
* VirnetX Holding Corp.  53,187        97
* Enfusion Inc. Class A   4,449        74
* EngageSmart Inc.   3,301        73
* Xometry Inc. Class A   1,475        72
* Groupon Inc. Class A   2,785        60
* Model N Inc.   2,383        59
* Benefitfocus Inc.   5,542        56
* MeridianLink Inc.   2,477        49
* Intapp Inc.   2,072        48
* Couchbase Inc.   2,142        45
*,1 EverCommerce Inc.   3,217        39
  Hackett Group Inc.   1,608        33
* Identiv Inc.   1,442        30
* Alkami Technology Inc.   1,662        26
* Arteris Inc.   1,664        25
* 1stdibs.com Inc.   2,172        24
* Stronghold Digital Mining Inc. Class A   1,640        21
* Mediaalpha Inc. Class A   1,405        20
  NVE Corp.     234        13
* Informatica Inc. Class A     615        12
* Weave Communications Inc.   1,022        10
* SkyWater Technology Inc.     460         5
* Freshworks Inc. Class A     270         5
* Expensify Inc. Class A     203         4
* Amplitude Inc. Class A     114         2
* Thoughtworks Holding Inc.      92         2
* NerdWallet Inc. Class A     189         2
* UserTesting Inc.     212         2
* Society Pass Inc.     633         2
* ForgeRock Inc. Class A      93         1
* Gitlab Inc. Class A      20         1
* Backblaze Inc. Class A     125         1
* Braze Inc. Class A      21         1
         53,099
Telecommunications (1.2%)
  Telephone and Data Systems Inc.  85,989     1,492
* Liberty Latin America Ltd. Class C 133,647     1,349
  InterDigital Inc.  15,679     1,010
* Iridium Communications Inc.  24,966       988
  ADTRAN Inc.  38,384       790
* EchoStar Corp. Class A  31,966       778
* NETGEAR Inc.  24,910       663
*,1 Gogo Inc.  46,364       660
  Shenandoah Telecommunications Co.  27,490       614
* Plantronics Inc.  21,117       595
* Harmonic Inc.  62,419       581
* Digi International Inc.  28,492       572
 
49

 

Russell 2000 Value Index Fund
    Shares Market
Value•

($000)
  Comtech Telecommunications Corp.  21,889       450
* Calix Inc.   8,099       440
* Consolidated Communications Holdings Inc.  61,514       438
* Viavi Solutions Inc.  23,912       392
* Anterix Inc.   6,853       365
* United States Cellular Corp.  12,967       357
* Liberty Latin America Ltd. Class A  33,437       336
  ATN International Inc.   9,371       312
* WideOpenWest Inc.  16,588       282
* Inseego Corp.  57,243       270
* Aviat Networks Inc.   9,231       261
* Ribbon Communications Inc.  59,281       180
* IDT Corp. Class B   4,147       150
* Ooma Inc.   7,754       130
* DZS Inc.   8,193       119
* KVH Industries Inc.  12,695       109
*,1 Globalstar Inc.  64,099        76
* Hemisphere Media Group Inc. Class A  13,550        73
* Kaltura Inc.   7,804        18
* IHS Holding Ltd.     369         4
         14,854
Utilities (5.1%)
  Portland General Electric Co.  76,754     3,897
  Black Hills Corp.  54,609     3,822
  ONE Gas Inc.  44,899     3,731
  Brookfield Infrastructure Corp. Class A (XTSE)  52,705     3,713
  Southwest Gas Holdings Inc.  51,503     3,654
  New Jersey Resources Corp.  82,290     3,589
  PNM Resources Inc.  72,883     3,292
  South Jersey Industries Inc.  87,921     2,983
  Spire Inc.  43,251     2,903
  ALLETE Inc.  44,780     2,818
  Ormat Technologies Inc. (XNYS)  38,590     2,753
  NorthWestern Corp.  45,102     2,728
  Avista Corp.  60,432     2,697
  California Water Service Group  44,687     2,544
  MGE Energy Inc.  31,103     2,240
  Chesapeake Utilities Corp.  14,673     1,951
  Clearway Energy Inc. Class C  51,742     1,728
  SJW Group  23,607     1,540
  Northwest Natural Holding Co.  26,052     1,355
  American States Water Co.  15,115     1,272
* Sunnova Energy International Inc.  62,854     1,267
* US Ecology Inc.  23,791     1,129
  Middlesex Water Co.   9,284       928
  Clearway Energy Inc. Class A  22,761       696
  Unitil Corp.  13,419       678
* Harsco Corp.  38,227       455
    Shares Market
Value•

($000)
  Artesian Resources Corp. Class A   6,866       319
* Casella Waste Systems Inc. Class A   3,243       245
* Heritage-Crystal Clean Inc.   8,035       225
  York Water Co.   4,206       189
  Aris Water Solution Inc. Class A   9,046       132
* Cadiz Inc.  16,732        43
* Pure Cycle Corp.   1,761        21
  Via Renewables Inc. Class A   1,023        11
         61,548
Total Common Stocks (Cost $1,245,951) 1,200,588
    Face
Amount
($000) 		 
Corporate Bonds (0.0%)
4 GAMCO Investors Inc., 5.000% coupon rate effective 6/15/22 4.000%, 6/15/23 (Cost $1)       1          1
    Shares  
Temporary Cash Investments (0.9%)
Money Market Fund (0.9%)
5,6 Vanguard Market Liquidity Fund, 0.138% (Cost $10,571) 105,734          10,572
Total Investments (100.8%) (Cost $1,256,523) 1,211,161
Other Assets and Liabilities—Net (-0.8%) (10,083)
Net Assets (100%) 1,201,078
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $10,175,000.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Step bond.
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.
6 Collateral of $10,572,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
 
50

 

Russell 2000 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini Russell 2000 Index March 2022 12 1,227 23
  
See accompanying Notes, which are an integral part of the Financial Statements.
51

 

Russell 2000 Value Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $1,245,952) 1,200,589
Affiliated Issuers (Cost $10,571) 10,572
Total Investments in Securities 1,211,161
Investment in Vanguard 52
Cash Collateral Pledged—Futures Contracts 110
Receivables for Investment Securities Sold 3,115
Receivables for Accrued Income 1,019
Receivables for Capital Shares Issued 164
Variation Margin Receivable—Futures Contracts 5
Total Assets 1,215,626
Liabilities  
Due to Custodian 673
Payables for Investment Securities Purchased 3,222
Collateral for Securities on Loan 10,572
Payables for Capital Shares Redeemed 23
Payables to Vanguard 58
Total Liabilities 14,548
Net Assets 1,201,078
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 1,199,384
Total Distributable Earnings (Loss) 1,694
Net Assets 1,201,078
 
ETF Shares—Net Assets  
Applicable to 7,175,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		997,872
Net Asset Value Per Share—ETF Shares $139.08
 
Institutional Shares—Net Assets  
Applicable to 740,717 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		203,206
Net Asset Value Per Share—Institutional Shares $274.34
  
See accompanying Notes, which are an integral part of the Financial Statements.
52

 

Russell 2000 Value Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 9,319
Interest2 1
Securities Lending—Net 128
Total Income 9,448
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 27
Management and Administrative—ETF Shares 665
Management and Administrative—Institutional Shares 61
Marketing and Distribution—ETF Shares 20
Marketing and Distribution—Institutional Shares 6
Custodian Fees 48
Shareholders’ Reports—ETF Shares 26
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 8
Total Expenses 861
Net Investment Income 8,587
Realized Net Gain (Loss)  
Investment Securities Sold2,3 151,592
Futures Contracts (279)
Realized Net Gain (Loss) 151,313
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (202,298)
Futures Contracts (33)
Change in Unrealized Appreciation (Depreciation) (202,331)
Net Increase (Decrease) in Net Assets Resulting from Operations (42,431)
1 Dividends are net of foreign withholding taxes of $12,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, ($3,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $144,244,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
53

 

Russell 2000 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 8,587   13,150
Realized Net Gain (Loss) 151,313   131,754
Change in Unrealized Appreciation (Depreciation) (202,331)   143,464
Net Increase (Decrease) in Net Assets Resulting from Operations (42,431)   288,368
Distributions      
ETF Shares (11,799)   (9,366)
Institutional Shares (2,438)   (1,795)
Total Distributions (14,237)   (11,161)
Capital Share Transactions      
ETF Shares 11,484   496,571
Institutional Shares 8,309   73,727
Net Increase (Decrease) from Capital Share Transactions 19,793   570,298
Total Increase (Decrease) (36,875)   847,505
Net Assets      
Beginning of Period 1,237,953   390,448
End of Period 1,201,078   1,237,953
  
See accompanying Notes, which are an integral part of the Financial Statements.
54

 

Russell 2000 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $143.88 $91.76 $99.51 $119.05 $100.96 $90.64
Investment Operations            
Net Investment Income1 .968 1.998 1.868 1.912 1.905 1.736
Net Realized and Unrealized Gain (Loss) on Investments (4.086) 51.982 (7.771) (19.589) 18.070 10.358
Total from Investment Operations (3.118) 53.980 (5.903) (17.677) 19.975 12.094
Distributions            
Dividends from Net Investment Income (1.682) (1.860) (1.847) (1.863) (1.885) (1.774)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.682) (1.860) (1.847) (1.863) (1.885) (1.774)
Net Asset Value, End of Period $139.08 $143.88 $91.76 $99.51 $119.05 $100.96
Total Return -2.18% 59.34% -6.05% -14.93% 19.96% 13.42%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $998 $1,036 $303 $251 $223 $172
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.47% 1.52% 1.99% 1.83% 1.73% 1.76%
Portfolio Turnover Rate2 5% 45% 38% 27% 30% 36%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
55

 

Russell 2000 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $283.82 $180.98 $196.24 $234.81 $199.13 $178.76
Investment Operations            
Net Investment Income1 2.055 4.212 3.783 3.966 4.029 3.737
Net Realized and Unrealized Gain (Loss) on Investments (8.124) 102.428 (15.303) (38.670) 35.618 20.356
Total from Investment Operations (6.069) 106.640 (11.520) (34.704) 39.647 24.093
Distributions            
Dividends from Net Investment Income (3.411) (3.800) (3.740) (3.866) (3.967) (3.723)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (3.411) (3.800) (3.740) (3.866) (3.967) (3.723)
Net Asset Value, End of Period $274.34 $283.82 $180.98 $196.24 $234.81 $199.13
Total Return -2.15% 59.46% -5.97% -14.88% 20.10% 13.55%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $203 $202 $88 $140 $151 $146
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.57% 1.67% 2.04% 1.90% 1.85% 1.88%
Portfolio Turnover Rate2 5% 45% 38% 27% 30% 36%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
56

 

Russell 2000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Bonds 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
57

 

Russell 2000 Value Index Fund
During the six months ended February 28, 2022, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
58

 

Russell 2000 Value Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $52,000, representing less than 0.01% of the fund’s net assets and 0.02% 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 and derivatives. 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.
59

 

Russell 2000 Value Index Fund
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 1,200,586 — 2 1,200,588
Corporate Bonds — 1 — 1
Temporary Cash Investments 10,572 — — 10,572
Total 1,211,158 1 2 1,211,161
Derivative Financial Instruments         
Assets        
Futures Contracts1 23 — — 23
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 1,261,635
Gross Unrealized Appreciation 84,805
Gross Unrealized Depreciation (135,256)
Net Unrealized Appreciation (Depreciation) (50,451)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $100,542,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $589,007,000 of investment securities and sold $572,539,000 of investment securities, other than temporary cash investments. Purchases and sales include $502,788,000 and $505,164,000, 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 six
60

 

Russell 2000 Value Index Fund
months ended February 28, 2022, such purchases were $7,451,000 and sales were $8,692,000, resulting in net realized loss of $117,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 517,066 3,625   880,493 6,600
Issued in Lieu of Cash Distributions — —   — —
Redeemed (505,582) (3,650)   (383,922) (2,700)
Net Increase (Decrease)—ETF Shares 11,484 (25)   496,571 3,900
Institutional Shares          
Issued 9,396 33   120,164 430
Issued in Lieu of Cash Distributions 2,437 9   1,795 8
Redeemed (3,524) (13)   (48,232) (210)
Net Increase (Decrease)—Institutional Shares 8,309 29   73,727 228
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
61

 

Russell 2000 Growth Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 3.7%
Consumer Discretionary 16.2
Consumer Staples 3.6
Energy 3.3
Financials 5.6
Health Care 23.9
Industrials 16.4
Real Estate 3.2
Technology 20.8
Telecommunications 2.3
Utilities 1.0
Other 0.0
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
62

 

Russell 2000 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (100.0%)
Basic Materials (3.7%)
  UFP Industries Inc.  39,388    3,377
  Balchem Corp.  23,343    3,229
  Cabot Corp.  40,566    2,968
* Livent Corp. 117,552    2,768
*,1 MP Materials Corp.  54,812    2,501
* Ingevity Corp.  28,707    1,959
  Quaker Chemical Corp.   9,752    1,810
  Trinseo plc  28,130    1,462
  Compass Minerals International Inc.  24,780    1,453
  Sensient Technologies Corp.  15,851    1,302
  GrafTech International Ltd. 128,549    1,296
* Novagold Resources Inc. 171,605    1,198
  Mueller Industries Inc.  15,698      896
*,1 Energy Fuels Inc.  97,121      793
* Uranium Energy Corp. 187,101      747
  Orion Engineered Carbons SA  43,658      678
  Hecla Mining Co. 112,621      649
* RBC Bearings Inc.   2,886      559
* Coeur Mining Inc. 125,375      539
  Innospec Inc.   5,509      526
  Boise Cascade Co.   6,114      489
  Materion Corp.   5,696      476
  Hawkins Inc.   9,286      420
  Avient Corp.   6,875      360
  Omega Flex Inc.   2,259      328
*,1 Meta Materials Inc. 145,510      313
  Ryerson Holding Corp.   7,377      193
  Tredegar Corp.  15,976      184
* Ur-Energy Inc. 117,568      174
  Stepan Co.   1,434      149
  Kaiser Aluminum Corp.   1,456      140
* Gatos Silver Inc.  28,019       94
* Perpetua Resources Corp.  24,219       87
  Schnitzer Steel Industries Inc. Class A   1,600       78
  American Vanguard Corp.   4,773       72
* Amyris Inc.  13,687       62
* Marrone Bio Innovations Inc.  74,842       52
* Century Aluminum Co.   2,129       50
* Zymergen Inc.  11,093       42
* Polymet Mining Corp.   7,362       20
        34,493
    Shares Market
Value•

($000)
Consumer Discretionary (16.2%)
  Texas Roadhouse Inc. Class A  50,677    4,810
* BJ's Wholesale Club Holdings Inc.  74,120    4,660
* Scientific Games Corp. Class A  69,698    4,385
* Fox Factory Holding Corp.  30,598    3,611
* Helen of Troy Ltd.  17,448    3,589
* Crocs Inc.  42,224    3,535
* Asbury Automotive Group Inc.  16,780    3,257
* Hilton Grand Vacations Inc.  61,854    3,208
  Murphy USA Inc.  17,481    3,160
  Wingstop Inc.  21,643    3,146
  Papa John's International Inc.  23,985    2,562
* Skyline Champion Corp.  38,095    2,561
  Steven Madden Ltd.  58,470    2,494
* Visteon Corp.  20,064    2,411
* Sonos Inc.  87,210    2,389
  American Eagle Outfitters Inc. 110,011    2,319
  Cracker Barrel Old Country Store Inc.  17,154    2,303
  LCI Industries  17,945    2,235
  International Game Technology plc  72,515    2,220
  Red Rock Resorts Inc. Class A  43,116    2,168
* National Vision Holdings Inc.  59,012    2,164
  Signet Jewelers Ltd.  29,809    2,102
* Gentherm Inc.  24,093    2,044
* Shake Shack Inc. Class A  27,080    2,023
* LGI Homes Inc.  15,621    1,970
* Allegiant Travel Co.  11,124    1,937
  Kontoor Brands Inc.  37,464    1,856
* Boot Barn Holdings Inc.  21,151    1,841
* Houghton Mifflin Harcourt Co.  86,329    1,809
* Dorman Products Inc.  19,084    1,783
* Overstock.com Inc.  31,141    1,772
* Bloomin' Brands Inc.  64,092    1,577
  Winnebago Industries Inc.  23,330    1,495
* Everi Holdings Inc.  61,727    1,444
* Cheesecake Factory Inc.  33,338    1,427
* SeaWorld Entertainment Inc.  20,559    1,427
* Sally Beauty Holdings Inc.  81,646    1,411
* Brinker International Inc.  32,862    1,398
63

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Cardlytics Inc.  23,437    1,359
  Wolverine World Wide Inc.  58,821    1,355
*,1 Fisker Inc. 108,692    1,326
* Cavco Industries Inc.   4,733    1,290
  Rent-A-Center Inc.  44,579    1,266
  Inter Parfums Inc.  12,925    1,200
* Cinemark Holdings Inc.  64,854    1,138
* iRobot Corp.  17,686    1,099
  Dana Inc.  56,499    1,052
* Malibu Boats Inc. Class A  14,947    1,041
  Dine Brands Global Inc.  11,751      985
* Urban Outfitters Inc.  34,960      962
* XPEL Inc.  12,921      938
  Camping World Holdings Inc. Class A  30,134      925
* elf Beauty Inc.  34,767      919
  Century Communities Inc.  14,089      898
* Tenneco Inc. Class A  45,038      868
* Bally's Corp.  23,775      856
  Sturm Ruger & Co. Inc.  11,610      841
* GoPro Inc. Class A  93,708      806
* iHeartMedia Inc. Class A  37,100      796
* Revolve Group Inc.  16,376      777
* Stitch Fix Inc. Class A  59,501      747
* Arko Corp.  87,992      735
  Buckle Inc.  20,361      733
* Liberty Media Corp.- Liberty Braves Class C  28,838      712
* Golden Entertainment Inc.  12,399      706
  Monro Inc.  14,701      686
*,1 Blink Charging Co.  26,319      647
* Children's Place Inc.  10,141      638
* Sun Country Airlines Holdings Inc.  23,379      632
* Dave & Buster's Entertainment Inc.  14,408      624
  Smith & Wesson Brands Inc.  34,456      607
* Monarch Casino & Resort Inc.   7,750      604
  Ruth's Hospitality Group Inc.  23,921      593
* Designer Brands Inc. Class A  43,946      573
* Arlo Technologies Inc.  61,370      570
  Caleres Inc.  26,916      559
* Denny's Corp.  34,306      543
* Accel Entertainment Inc. Class A  40,497      530
* Central Garden & Pet Co. Class A  11,626      512
* RealReal Inc.  57,446      512
* Sleep Number Corp.   7,739      508
* Viad Corp.  14,503      507
  MDC Holdings Inc.  11,172      495
* BJ's Restaurants Inc.  15,011      481
* 2U Inc.  44,345      466
*,1 Corsair Gaming Inc.  19,565      452
* AMC Networks Inc. Class A  10,692      443
  Clarus Corp.  19,074      434
* Quotient Technology Inc.  64,754      430
* QuinStreet Inc.  36,436      410
  KB Home  10,454      404
* Latham Group Inc.  22,928      401
  Hibbett Inc.   8,843      399
* Adient plc   8,862      397
  RCI Hospitality Holdings Inc.   6,069      394
* Lindblad Expeditions Holdings Inc.  22,174      393
    Shares Market
Value•

($000)
* Lovesac Co.   9,206      391
* Rush Street Interactive Inc.  37,698      389
* Master Craft Boat Holdings Inc.  13,526      387
* American Axle & Manufacturing Holdings Inc.  40,881      379
  OneWater Marine Inc. Class A   7,382      375
* Sportsman's Warehouse Holdings Inc.  31,811      363
* MarineMax Inc.   7,882      361
* America's Car-Mart Inc.   3,722      358
* Party City Holdco Inc.  79,758      345
* Funko Inc. Class A  19,715      344
  Shoe Carnival Inc.  11,747      343
  Acushnet Holdings Corp.   7,503      329
* Liquidity Services Inc.  19,046      328
*,1 Frontier Group Holdings Inc.  25,242      325
* Taylor Morrison Home Corp. Class A  10,294      304
* AMMO Inc.  63,821      301
* Selectquote Inc.  96,267      299
* 1-800-Flowers.com Inc. Class A  19,237      298
*,1 Portillo's Inc. Class A  11,749      294
* CarParts.com Inc.  35,009      293
* Purple Innovation Inc. Class A  41,316      249
* Golden Nugget Online Gaming Inc.  28,577      246
* Life Time Group Holdings Inc.  15,746      245
* Century Casinos Inc.  19,542      240
*,1 Vuzix Corp.  42,111      238
* Citi Trends Inc.   6,162      230
* PROG Holdings Inc.   7,495      230
  Global Industrial Co.   7,249      230
* Turtle Beach Corp.   9,117      217
* Chuy's Holdings Inc.   6,623      216
* Full House Resorts Inc.  23,556      207
* Noodles & Co. Class A  29,509      202
* OneSpaWorld Holdings Ltd.  19,537      202
  Winmark Corp.     882      200
*,1 Canoo Inc.  34,389      197
* Red Robin Gourmet Burgers Inc.  11,048      194
  Johnson Outdoors Inc. Class A   2,344      193
  Jack in the Box Inc.   2,099      181
1 Krispy Kreme Inc.  11,645      174
* ONE Group Hospitality Inc.  14,776      173
* NEOGAMES SA   7,351      166
* PlayAGS Inc.  19,467      163
  Sinclair Broadcast Group Inc. Class A   5,292      159
* Meritage Homes Corp.   1,605      158
* Kura Sushi USA Inc. Class A   2,988      157
*,1 Eastman Kodak Co.  31,703      151
* Green Brick Partners Inc.   6,166      143
  Haverty Furniture Cos. Inc.   5,016      142
* Bed Bath & Beyond Inc.   8,368      141
* Abercrombie & Fitch Co. Class A   3,654      139
  HNI Corp.   3,412      139
* Thryv Holdings Inc.   4,581      139
* Tri Pointe Homes Inc.   6,097      136
* Romeo Power Inc.  73,316      134
 
64

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Kirkland's Inc.   9,522      132
* F45 Training Holdings Inc.   8,326      128
* Duluth Holdings Inc. Class B   9,121      127
* Liberty Media Corp.- Liberty Braves Class A   4,889      125
  Franchise Group Inc.   2,921      123
  Interface Inc. Class A   9,171      120
*,1 Arcimoto Inc.  20,263      119
* WW International Inc.  11,331      115
* PowerSchool Holdings Inc. Class A   7,027      111
* Cars.com Inc.   6,797      110
* Central Garden & Pet Co.   2,307      109
* European Wax Center Inc. Class A   4,347      108
  Carriage Services Inc. Class A   2,178      107
* Integral Ad Science Holding Corp.   5,547      104
  Nathan's Famous Inc.   1,607       93
* Snap One Holdings Corp.   4,692       92
* Chico's FAS Inc.  19,310       91
1 JOANN Inc.   7,900       90
* Liberty TripAdvisor Holdings Inc. Class A  42,062       89
* Clear Channel Outdoor Holdings Inc.  23,264       87
  Guess? Inc.   3,907       86
  Oxford Industries Inc.     957       85
  PriceSmart Inc.   1,140       83
* First Watch Restaurant Group Inc.   5,468       79
* Xponential Fitness Inc. Class A   3,729       78
* Imax Corp.   3,622       75
  Marine Products Corp.   5,791       70
* Esports Technologies Inc.   7,897       65
*,1 Aterian Inc.  18,665       56
* Stride Inc.   1,577       53
* Traeger Inc.   5,325       53
* Solo Brands Inc. Class A   4,857       51
* Stoneridge Inc.   3,015       50
* Regis Corp.  26,848       49
* Rent the Runway Inc. Class A   7,707       47
1 Weber Inc. Class A   3,957       45
* Drive Shack Inc.  29,887       40
* LiveOne Inc.  42,949       37
* HyreCar Inc.  13,113       36
* Instructure Holdings Inc.   1,585       36
  Superior Group of Cos. Inc.   1,643       34
* Alta Equipment Group Inc.   2,599       33
* Outbrain Inc.   2,551       33
* aka Brands Holding Corp.   4,281       32
  Hamilton Beach Brands Holding Co. Class A   1,962       30
* Stagwell Inc.   4,025       30
* Nautilus Inc.   5,885       29
  Escalade Inc.   1,993       26
* Lulu's Fashion Lounge Holdings Inc.   2,600       26
* Lordstown Motors Corp. Class A   9,792       25
* Udemy Inc.   1,818       24
*,1 Dutch Bros Inc. Class A     469       23
* Torrid Holdings Inc.   2,344       20
* Shift Technologies Inc.   9,247       19
* Sweetgreen Inc. Class A     561       14
    Shares Market
Value•

($000)
  Hooker Furnishings Corp.     599       13
* CuriosityStream Inc.   3,442       13
* Arhaus Inc.   1,965       13
  National CineMedia Inc.   4,012       12
* Chicken Soup For The Soul Entertainment Inc.   1,265       12
* Brilliant Earth Group Inc. Class A     992        9
* XL Fleet Corp.   3,853        8
  Rocky Brands Inc.     170        7
* Revlon Inc. Class A     429        4
* Digital Media Solutions Inc. Class A   1,082        4
* Allbirds Inc. Class A     389        3
       151,664
Consumer Staples (3.6%)
* Performance Food Group Co. 100,104    5,610
* Celsius Holdings Inc.  38,990    2,491
  Sanderson Farms Inc.  12,614    2,253
  WD-40 Co.   9,900    2,098
  Lancaster Colony Corp.  12,052    2,027
  J & J Snack Foods Corp.  10,642    1,742
  Coca-Cola Consolidated Inc.   3,402    1,691
  Energizer Holdings Inc.  49,298    1,646
  Medifast Inc.   8,334    1,550
* Beauty Health Co.  57,429    1,113
* Sprouts Farmers Market Inc.  36,508    1,040
* USANA Health Sciences Inc.   8,633      760
  National Beverage Corp.  17,098      753
  Nu Skin Enterprises Inc. Class A  15,982      741
  MGP Ingredients Inc.   8,576      683
  Utz Brands Inc.  42,460      648
* Hydrofarm Holdings Group Inc.  28,040      568
  Calavo Growers Inc.  12,481      533
*,1 BellRing Brands Inc. Class A  18,818      481
*,1 Tattooed Chef Inc.  34,437      418
  Andersons Inc.   9,121      416
  Turning Point Brands Inc.  10,446      350
* Duckhorn Portfolio Inc.  17,608      346
* GrowGeneration Corp.  40,476      340
  PetMed Express Inc.  12,589      339
  John B Sanfilippo & Son Inc.   4,261      339
* PLBY Group Inc.  20,681      329
* 22nd Century Group Inc. 115,148      269
* Vital Farms Inc.  17,709      252
* Honest Co. Inc.  43,149      249
*,1 AppHarvest Inc.  50,106      191
* Veru Inc.  33,695      188
  Vector Group Ltd.  14,879      167
* Simply Good Foods Co.   3,859      153
* United Natural Foods Inc.   2,604      105
* Sovos Brands Inc.   7,906       96
* Vita Coco Co. Inc.   5,641       65
* Chefs' Warehouse Inc.   1,608       53
  Limoneira Co.   3,079       45
* NewAge Inc.  56,034       38
* Mission Produce Inc.   2,768       36
* Zevia PBC Class A   5,270       33
* AquaBounty Technologies Inc.  13,110       21
* Laird Superfood Inc.   3,373       21
* MedAvail Holdings Inc.   8,704       10
* Greenlane Holdings Inc. Class A  14,390        8
 
65

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Real Good Food Co. Inc.     491        3
        33,308
Energy (3.3%)
  Matador Resources Co.  80,033    3,970
* Southwestern Energy Co. 734,592    3,666
* Denbury Inc.  36,486    2,651
  Magnolia Oil & Gas Corp. Class A 104,236    2,330
  Cactus Inc. Class A  40,054    2,029
* Callon Petroleum Co.  29,716    1,675
  Oasis Petroleum Inc.  12,196    1,616
* Kosmos Energy Ltd. 323,861    1,574
* Ameresco Inc. Class A  22,345    1,436
* FuelCell Energy Inc. 206,579    1,239
* Tellurian Inc. 266,535    1,015
* SunPower Corp.  45,903      823
* Stem Inc.  82,249      783
* Antero Resources Corp.  25,166      577
* ChampionX Corp.  26,759      573
  Ovintiv Inc. (XNYS)  10,924      501
* DMC Global Inc.  13,325      392
* Par Pacific Holdings Inc.  27,321      372
* TPI Composites Inc.  26,378      357
  Chesapeake Energy Corp.   4,534      350
* Crescent Energy Inc. Class A  21,456      325
* Liberty Oilfield Services Inc. Class A  23,202      290
  Arch Resources Inc.   2,122      253
* Array Technologies Inc.  21,896      246
  Civitas Resources Inc.   4,633      234
* TETRA Technologies Inc.  67,758      217
* Laredo Petroleum Inc.   2,434      186
* Centennial Resource Development Inc. Class A  17,173      151
  Falcon Minerals Corp.  24,795      142
  Warrior Met Coal Inc.   3,895      123
* NexTier Oilfield Solutions Inc.  13,908      111
*,1 Beam Global   5,653       82
* Expro Group Holdings NV   4,536       73
* Talos Energy Inc.   4,288       67
* FTC Solar Inc.  14,256       67
  Solaris Oilfield Infrastructure Inc. Class A   6,397       66
* Earthstone Energy Inc. Class A   3,045       40
* Advent Technologies Holdings Inc.   8,267       21
  Kinetik Holdings Inc.     221       15
* Fluence Energy Inc.   1,129       15
  Riley Exploration Permian Inc.     205        7
        30,660
Financials (5.6%)
  First Financial Bankshares Inc.  87,474    4,192
  Houlihan Lokey Inc. Class A  32,288    3,321
  Kinsale Capital Group Inc.  15,555    3,263
  RLI Corp.  26,698    2,710
  ServisFirst Bancshares Inc.  30,088    2,629
* Silvergate Capital Corp. Class A  19,894    2,548
* Trupanion Inc.  27,624    2,476
* Focus Financial Partners Inc. Class A  43,090    2,156
  Hamilton Lane Inc. Class A  25,297    1,976
    Shares Market
Value•

($000)
  Artisan Partners Asset Management Inc. Class A  42,380    1,615
* Triumph Bancorp Inc.  15,962    1,601
* Open Lending Corp. Class A  75,493    1,573
  Live Oak Bancshares Inc.  23,105    1,478
  Cohen & Steers Inc.  17,985    1,461
  Virtus Investment Partners Inc.   5,270    1,268
  Moelis & Co. Class A  24,394    1,176
* Palomar Holdings Inc.  17,783    1,146
*,1 Riot Blockchain Inc.  64,507    1,111
* LendingTree Inc.   8,433    1,020
  StepStone Group Inc. Class A  29,369    1,014
  Brightsphere Investment Group Inc.  41,999    1,003
  Investors Bancorp Inc.  59,011      988
* BRP Group Inc. Class A  34,273      952
* Texas Capital Bancshares Inc.  13,858      923
  PJT Partners Inc. Class A  14,422      920
  Cadence Bank  22,116      699
  Eastern Bankshares Inc.  26,056      570
  Glacier Bancorp Inc.   9,427      522
  WisdomTree Investments Inc.  72,420      408
  Pacific Premier Bancorp Inc.  10,307      399
  Meta Financial Group Inc.   6,627      367
  Walker & Dunlop Inc.   2,128      294
  GCM Grosvenor Inc. Class A  28,464      284
* Blucora Inc.  12,897      257
* CrossFirst Bankshares Inc.  16,365      257
  PennyMac Mortgage Investment Trust  14,336      224
* Coastal Financial Corp.   4,661      222
* Columbia Financial Inc.  10,100      215
* Axos Financial Inc.   3,868      212
  Veritex Holdings Inc.   5,004      203
  Curo Group Holdings Corp.  14,472      194
  Kearny Financial Corp.  14,308      189
  Greenhill & Co. Inc.  10,272      182
  Goosehead Insurance Inc. Class A   2,079      181
  Stock Yards Bancorp Inc.   3,051      163
  FirstCash Holdings Inc.   2,083      150
  Origin Bancorp Inc.   2,840      131
* Customers Bancorp Inc.   1,833      113
  Pzena Investment Management Inc. Class A  11,802      109
  Regional Management Corp.   2,113      108
  James River Group Holdings Ltd.   4,043      108
*,1 Marathon Digital Holdings Inc.   4,178      106
* Southern First Bancshares Inc.   1,767      101
  Five Star Bancorp   3,289      100
  FB Financial Corp.   2,054       91
  Lakeland Financial Corp.   1,108       89
* NMI Holdings Inc. Class A   3,867       89
* eHealth Inc.   5,405       84
  Metrocity Bankshares Inc.   3,430       83
* StoneX Group Inc.   1,016       77
  GAMCO Investors Inc. Class A   3,306       71
  West BanCorp. Inc.   2,079       60
* Bridgewater Bancshares Inc.   3,436       58
 
66

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Metropolitan Bank Holding Corp.     463       47
  Value Line Inc.     704       42
* TPG Inc.   1,040       32
  Waterstone Financial Inc.   1,411       28
  Investors Title Co.     143       27
  RBB Bancorp   1,138       27
  Hingham Institution for Savings      59       21
* Blue Foundry Bancorp   1,357       19
* P10 Inc. Class A   1,503       19
  Heritage Insurance Holdings Inc.   1,791       10
  Luther Burbank Corp.     805       10
* Clearwater Analytics Holdings Inc. Class A     281        6
* USCB Financial Holdings Inc.     391        5
* Finwise Bancorp     201        4
        52,587
Health Care (23.9%)
* Intellia Therapeutics Inc.  50,518    4,994
* Inspire Medical Systems Inc.  19,481    4,755
* Shockwave Medical Inc.  24,447    4,333
* Omnicell Inc.  31,685    4,096
* Halozyme Therapeutics Inc. 100,220    3,555
* Arrowhead Pharmaceuticals Inc.  73,249    3,223
* Biohaven Pharmaceutical Holding Co. Ltd.  27,074    3,214
* Medpace Holdings Inc.  20,971    3,208
  Ensign Group Inc.  37,995    3,193
* HealthEquity Inc.  59,136    3,176
* Intra-Cellular Therapies Inc.  57,079    3,167
  CONMED Corp.  21,042    3,075
* LHC Group Inc.  22,147    3,016
* Beam Therapeutics Inc.  37,004    2,899
* Alkermes plc 116,114    2,887
* iRhythm Technologies Inc.  21,352    2,760
* STAAR Surgical Co.  34,352    2,725
* Neogen Corp.  73,192    2,613
* LivaNova plc  31,163    2,456
* Blueprint Medicines Corp.  39,643    2,400
* R1 RCM Inc.  85,853    2,334
* AtriCure Inc.  32,403    2,250
* Arvinas Inc.  34,155    2,214
* ACADIA Pharmaceuticals Inc.  86,529    2,199
* Apellis Pharmaceuticals Inc.  51,674    2,198
* Inari Medical Inc.  24,903    2,191
* Merit Medical Systems Inc.  33,057    2,150
* Denali Therapeutics Inc.  65,753    2,141
* Pacira BioSciences Inc.  32,018    2,135
* Insmed Inc.  85,432    2,042
* Fate Therapeutics Inc.  58,699    2,028
* NuVasive Inc.  37,461    2,027
  Owens & Minor Inc.  43,323    1,913
* Twist Bioscience Corp.  34,151    1,910
* Axonics Inc.  33,163    1,882
* Cytokinetics Inc.  53,204    1,879
  Select Medical Holdings Corp.  79,849    1,848
* Progyny Inc.  46,740    1,840
* Glaukos Corp.  33,028    1,827
* Nevro Corp.  25,104    1,800
* PTC Therapeutics Inc.  50,240    1,764
    Shares Market
Value•

($000)
* NeoGenomics Inc.  82,073    1,757
* Karuna Therapeutics Inc.  16,062    1,687
* Amicus Therapeutics Inc. 189,871    1,546
*,1 Corcept Therapeutics Inc.  69,207    1,543
* Ortho Clinical Diagnostics Holdings plc Class H  87,075    1,540
* Outset Medical Inc.  33,998    1,495
* Haemonetics Corp.  24,936    1,439
* CareDx Inc.  36,596    1,405
* Vericel Corp.  33,677    1,388
* Global Blood Therapeutics Inc.  44,824    1,354
* Zentalis Pharmaceuticals Inc.  26,386    1,316
* Apollo Medical Holdings Inc.  27,229    1,310
* Surgery Partners Inc.  24,558    1,284
* Xencor Inc.  40,905    1,281
* SpringWorks Therapeutics Inc.  21,211    1,200
*,1 Cassava Sciences Inc.  27,689    1,177
* Ironwood Pharmaceuticals Inc. Class A 106,457    1,145
* Phreesia Inc.  35,804    1,102
* Vir Biotechnology Inc.  43,503    1,096
* Relay Therapeutics Inc.  45,178    1,089
* NanoString Technologies Inc.  30,416    1,079
* Health Catalyst Inc.  37,961    1,029
* CorVel Corp.   6,396    1,017
* Heska Corp.   7,062    1,003
* Kymera Therapeutics Inc.  24,916      991
* Dynavax Technologies Corp.  77,996      956
* TG Therapeutics Inc.  94,191      930
* Silk Road Medical Inc.  24,787      920
* 1Life Healthcare Inc.  84,964      918
* Codexis Inc.  43,855      874
* Editas Medicine Inc. Class A  49,844      853
  US Physical Therapy Inc.   9,277      853
* Avid Bioservices Inc.  41,139      843
* Community Health Systems Inc.  78,182      822
* RadNet Inc.  32,906      812
* FibroGen Inc.  56,817      799
* Madrigal Pharmaceuticals Inc.   8,574      796
* Celldex Therapeutics Inc.  26,275      786
* Tenet Healthcare Corp.   9,116      784
* Protagonist Therapeutics Inc.  32,235      783
* Cerevel Therapeutics Holdings Inc.  29,525      782
* Pacific Biosciences of California Inc.  64,949      774
* Quanterix Corp.  22,332      753
  Atrion Corp.   1,013      725
* Cerus Corp. 120,899      710
* Prothena Corp. plc  20,151      697
* Revance Therapeutics Inc.  50,427      684
* MEDNAX Inc.  29,077      682
* Alector Inc.  42,508      673
* Harmony Biosciences Holdings Inc.  16,533      661
* Intersect ENT Inc.  24,265      660
* Accolade Inc.  36,572      658
  LeMaitre Vascular Inc.  13,648      648
* C4 Therapeutics Inc.  27,706      621
*,1 Recursion Pharmaceuticals Inc. Class A  56,017      613
* Castle Biosciences Inc.  14,117      611
 
67

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Keros Therapeutics Inc.  11,359      610
* Morphic Holding Inc.  15,276      609
* Cardiovascular Systems Inc.  28,633      603
* Crinetics Pharmaceuticals Inc.  28,822      577
* Axsome Therapeutics Inc.  20,279      570
*,1 Senseonics Holdings Inc. 312,641      563
* Reata Pharmaceuticals Inc. Class A  17,171      562
* OptimizeRx Corp.  12,386      561
* OrthoPediatrics Corp.   9,976      559
* Aclaris Therapeutics Inc.  37,264      555
* Coherus Biosciences Inc.  46,836      552
* Karyopharm Therapeutics Inc.  52,155      539
* Rocket Pharmaceuticals Inc.  29,989      534
* Anavex Life Sciences Corp.  48,136      528
* SI-BONE Inc.  23,721      523
* Alphatec Holdings Inc.  47,032      518
* Tivity Health Inc.  18,887      515
* Inogen Inc.  14,330      500
* Pulmonx Corp.  18,878      496
* Hanger Inc.  27,287      494
* Nuvation Bio Inc.  97,584      494
* Cutera Inc.  12,849      493
*,1 Sorrento Therapeutics Inc. 193,918      491
* Collegium Pharmaceutical Inc.  25,172      490
* Alignment Healthcare Inc.  57,837      488
* Heron Therapeutics Inc.  67,657      480
*,1 Ocugen Inc. 134,395      473
* Treace Medical Concepts Inc.  21,905      472
* Artivion Inc.  24,028      470
  Patterson Cos. Inc.  15,608      467
* Butterfly Network Inc.  89,765      462
* Sangamo Therapeutics Inc.  78,398      459
*,1 Bionano Genomics Inc. 210,515      450
  Healthcare Services Group Inc.  28,297      448
* Surmodics Inc.   9,828      441
* ImmunoGen Inc.  76,709      433
* Inhibrx Inc.  20,079      432
* Agenus Inc. 157,230      425
* Antares Pharma Inc. 119,594      419
* ViewRay Inc.  99,532      414
* Arena Pharmaceuticals Inc.   4,336      412
* Joint Corp.   9,950      408
*,1 Vaxart Inc.  79,726      405
* Seres Therapeutics Inc.  50,280      402
* Addus HomeCare Corp.   4,719      401
*,1 Bridgebio Pharma Inc.  51,182      399
* Invitae Corp.  36,894      398
  National Research Corp.  10,016      398
* Theravance Biopharma Inc.  39,373      396
* PetIQ Inc. Class A  19,715      391
* REGENXBIO Inc.  14,804      388
* Sana Biotechnology Inc.  58,446      378
* MacroGenics Inc.  40,192      376
* BioDelivery Sciences International Inc.  66,918      373
* Affimed NV  83,001      366
* ModivCare Inc.   2,996      354
* TransMedics Group Inc.  18,540      343
* Lantheus Holdings Inc.   6,954      333
* Nurix Therapeutics Inc.  20,456      331
    Shares Market
Value•

($000)
* Amneal Pharmaceuticals Inc.  72,504      328
* Edgewise Therapeutics Inc.  27,641      326
* Albireo Pharma Inc.   9,699      323
  Phibro Animal Health Corp. Class A  14,896      317
*,1 Omeros Corp.  43,350      312
* Evolent Health Inc. Class A  11,588      309
* Ocular Therapeutix Inc.  55,138      308
* Rigel Pharmaceuticals Inc. 122,245      307
* Rapt Therapeutics Inc.  15,288      306
* Privia Health Group Inc.  11,850      305
* Mind Medicine Mindmed Inc. 249,847      305
* Agiliti Inc.  16,879      304
* Scholar Rock Holding Corp.  17,226      300
* Pennant Group Inc.  18,420      299
* PMV Pharmaceuticals Inc.  18,775      297
* Krystal Biotech Inc.   4,612      293
* Radius Health Inc.  34,281      285
* Inotiv Inc.  10,597      280
* Tactile Systems Technology Inc.  13,698      279
* MaxCyte Inc.  39,866      277
* MiMedx Group Inc.  54,045      273
* Stoke Therapeutics Inc.  13,957      272
* Berkeley Lights Inc.  34,802      267
* IVERIC bio Inc.  16,491      265
* Axogen Inc.  28,037      262
* Phathom Pharmaceuticals Inc.  14,474      262
* KalVista Pharmaceuticals Inc.  16,161      259
* Intercept Pharmaceuticals Inc.  17,905      255
* Aerie Pharmaceuticals Inc.  30,329      252
* Apria Inc.   6,736      252
* Vapotherm Inc.  16,229      247
* Akero Therapeutics Inc.  13,871      246
* Replimune Group Inc.  14,942      240
* ALX Oncology Holdings Inc.  13,053      237
* Y-mAbs Therapeutics Inc.  25,747      235
* Relmada Therapeutics Inc.  11,110      228
* Bioxcel Therapeutics Inc.  12,355      226
* Apyx Medical Corp.  22,242      225
* BioCryst Pharmaceuticals Inc.  13,524      225
* Dermtech Inc.  17,617      225
* Accuray Inc.  64,472      224
* Amphastar Pharmaceuticals Inc.   8,050      223
  iRadimed Corp.   4,494      223
* 908 Devices Inc.  13,339      222
* Oramed Pharmaceuticals Inc.  21,548      222
* Evolus Inc.  23,946      219
* Verve Therapeutics Inc.   6,618      216
* SIGA Technologies Inc.  35,486      213
* Chimerix Inc.  37,526      212
* Marinus Pharmaceuticals Inc.  26,848      210
* Kodiak Sciences Inc.  24,240      209
* Organogenesis Holdings Inc. Class A  28,047      209
* LifeStance Health Group Inc.  21,061      199
* Vaxcyte Inc.   8,548      198
* Bioventus Inc. Class A  15,068      196
* Allovir Inc.  21,573      194
 
68

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Deciphera Pharmaceuticals Inc.  24,877      192
* Instil Bio Inc.  17,940      192
* Curis Inc.  55,414      186
* G1 Therapeutics Inc.  17,271      183
* VBI Vaccines Inc. 120,750      180
* Allogene Therapeutics Inc.  19,610      179
* Eagle Pharmaceuticals Inc.   3,749      178
* Seer Inc. Class A  11,522      177
* BioLife Solutions Inc.   7,490      176
* MEI Pharma Inc.  78,447      169
*,1 Clovis Oncology Inc.  80,893      167
* VistaGen Therapeutics Inc. 119,442      167
* Rubius Therapeutics Inc.  33,346      166
* Stereotaxis Inc.  35,473      164
* Avita Medical Inc.  17,773      164
* Multiplan Corp.  42,022      158
* Mersana Therapeutics Inc.  35,836      157
* Spero Therapeutics Inc.  16,306      157
* Precision BioSciences Inc.  36,457      155
* Generation Bio Co.  30,296      155
* CytomX Therapeutics Inc.  39,979      153
* InfuSystem Holdings Inc.  13,233      152
* Aveanna Healthcare Holdings Inc.  28,697      151
* Design Therapeutics Inc.  11,026      150
* Verastem Inc. 124,437      149
* Aldeyra Therapeutics Inc.  36,332      147
* Alaunos Therapeutics Inc. 148,224      146
* SeaSpine Holdings Corp.  11,283      143
* Allakos Inc.  25,489      142
* Pliant Therapeutics Inc.  15,852      142
* CEL–SCI Corp.  24,165      140
* Precigen Inc.  60,635      136
* Harvard Bioscience Inc.  24,936      135
* Ligand Pharmaceuticals Inc.   1,296      131
* Cytek Biosciences Inc.   9,435      129
* Cue Biopharma Inc.  22,070      128
* Syndax Pharmaceuticals Inc.   8,235      128
* Paratek Pharmaceuticals Inc.  35,214      124
* ClearPoint Neuro Inc.  14,053      123
* Applied Molecular Transport Inc.  18,329      120
* CytoSorbents Corp.  30,865      119
* REVOLUTION Medicines Inc.   6,269      119
* Prometheus Biosciences Inc.   2,724      119
* Akebia Therapeutics Inc.  54,637      118
* Fulgent Genetics Inc.   1,864      116
* Athersys Inc. 128,703      115
* Turning Point Therapeutics Inc.   3,605      114
* Durect Corp. 169,774      113
* Sight Sciences Inc.   6,492      113
* Immunovant Inc.  19,344      108
*,1 Erasca Inc.   8,627      107
* DICE Therapeutics Inc.   5,764      107
* Outlook Therapeutics Inc.  65,232      106
* Sientra Inc.  37,613      106
* Akoya Biosciences Inc.   9,486      105
*,1 PROCEPT BioRobotics Corp.   4,204      105
* Kiniksa Pharmaceuticals Ltd. Class A  10,016      103
* Eargo Inc.  21,407      103
1 Zynex Inc.  15,996      101
* SOC Telemed Inc. Class A  34,096      100
    Shares Market
Value•

($000)
* IGM Biosciences Inc.   5,916       99
* Epizyme Inc.  65,894       98
* Biomea Fusion Inc.  15,247       98
* Icosavax Inc.   5,605       98
* Enanta Pharmaceuticals Inc.   1,376       97
* Imago Biosciences Inc.   4,101       97
* ChromaDex Corp.  34,935       95
* Vera Therapeutics Inc.   4,078       95
* Janux Therapeutics Inc.   5,507       95
* Sesen Bio Inc. 148,525       94
* Tabula Rasa HealthCare Inc.  16,565       94
* 9 Meters Biopharma Inc. 167,850       92
* Meridian Bioscience Inc.   3,579       91
* Varex Imaging Corp.   3,845       91
* Tarsus Pharmaceuticals Inc.   5,105       90
* Werewolf Therapeutics Inc.  12,558       90
* Bright Health Group Inc.  26,717       89
* Caribou Biosciences Inc.   8,828       88
* Taysha Gene Therapies Inc.  13,737       87
* Forian Inc.  12,334       86
* Paragon 28 Inc.   5,271       86
* Fortress Biotech Inc.  53,048       85
* ChemoCentryx Inc.   2,699       82
* Quotient Ltd.  58,766       82
* Verrica Pharmaceuticals Inc.   9,674       81
* WaVe Life Sciences Ltd.  33,049       81
* Esperion Therapeutics Inc.  19,466       80
* PAVmed Inc.  52,335       80
* iCAD Inc.  16,416       79
* Avidity Biosciences Inc.   4,666       79
* Travere Thrapeutics Inc.   2,913       79
* Shattuck Labs Inc.  15,772       79
* Spectrum Pharmaceuticals Inc. 113,984       78
* Ideaya Biosciences Inc.   5,752       76
* Seelos Therapeutics Inc.  70,338       75
* BioAtla Inc.  11,111       72
* Humanigen Inc.  35,440       72
* Lyell Immunopharma Inc.   9,956       72
* Ampio Pharmaceuticals Inc. 141,533       71
* Innoviva Inc.   3,698       71
* Evelo Biosciences Inc.  22,733       71
* Alpine Immune Sciences Inc.   8,659       71
* Prelude Therapeutics Inc.   8,090       71
* Talaris Therapeutics Inc.  10,108       71
* Accelerate Diagnostics Inc.  24,719       70
* Celcuity Inc.   6,919       70
* Century Therapeutics Inc.   4,919       69
*,1 Monte Rosa Therapeutics Inc.   4,792       69
* TherapeuticsMD Inc. 286,042       68
* Tenaya Therapeutics Inc.   5,839       68
* Innovage Holding Corp.  13,690       67
* Nuvalent Inc. Class A   4,512       67
* Atara Biotherapeutics Inc.   5,125       66
* Molecular Templates Inc.  27,706       65
* Infinity Pharmaceuticals Inc.  58,982       65
* RxSight Inc.   4,842       65
* Cortexyme Inc.  14,627       64
* Magenta Therapeutics Inc.  19,985       63
* Day One Biopharmaceuticals Inc.   4,605       63
* UroGen Pharma Ltd.  10,269       62
* Graphite Bio Inc.   6,787       62
*,1 Retractable Technologies Inc.  12,917       61
 
69

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* KemPharm Inc.  10,268       61
* Tyra Biosciences Inc.   5,049       60
* Aspira Women's Health Inc.  54,476       59
* Doximity Inc. Class A     966       59
* Adagio Therapeutics Inc.   8,866       59
* Greenwich Lifesciences Inc.   2,989       58
* Vincerx Pharma Inc.  11,505       58
* Harpoon Therapeutics Inc.  13,999       57
* Neuronetics Inc.  16,642       56
* Codiak Biosciences Inc.  11,764       56
* Puma Biotechnology Inc.  23,990       55
* Summit Therapeutics Inc.  19,938       55
* Absci Corp.   5,785       54
* Pulse Biosciences Inc.  10,418       53
*,1 Cue Health Inc.   6,050       50
* Ventyx Biosciences Inc.   4,284       50
* MannKind Corp.  18,891       49
* Alpha Teknova Inc.   2,889       49
* Theseus Pharmaceuticals Inc.   4,740       48
* Cogent Biosciences Inc.   7,924       47
* Oncocyte Corp.  31,758       46
* Entrada Therapeutics Inc.   3,805       46
* Rain Therapeutics Inc.   7,457       45
* Lexicon Pharmaceuticals Inc.  20,236       42
* Asensus Surgical Inc.  53,984       42
* Brooklyn ImmunoTherapeutics Inc.  18,639       42
* NeuroPace Inc.   5,207       41
* CVRx Inc.   4,667       41
* Aerovate Therapeutics Inc.   4,209       41
* Aura Biosciences Inc.   2,271       41
* AirSculpt Technologies Inc.   3,025       41
*,1 BeyondSpring Inc.  16,696       40
* Singular Genomics Systems Inc.   4,858       40
* GT Biopharma Inc.  12,691       40
* Olema Pharmaceuticals Inc.   8,391       39
* ImmunityBio Inc.   5,598       38
* Arcutis Biotherapeutics Inc.   2,068       37
* Aligos Therapeutics Inc.  15,190       37
* Ardelyx Inc.  46,320       36
* Omega Therapeutics Inc.   3,066       36
* Xilio Therapeutics Inc.   3,080       36
* Convey Health Solutions Holdings Inc.   5,901       34
* Avalo Therapeutics Inc.  45,901       34
* NGM Biopharmaceuticals Inc.   2,254       33
* Mirum Pharmaceuticals Inc.   1,401       33
* Rallybio Corp.   2,999       33
* Cincor Pharma Inc.   1,460       33
* Codex DNA Inc.   3,136       32
* Athenex Inc.  38,055       31
* UFP Technologies Inc.     447       31
* Angion Biomedica Corp.  15,575       29
  Utah Medical Products Inc.     310       28
* Atea Pharmaceuticals Inc.   4,346       28
* Syros Pharmaceuticals Inc.  20,838       27
* Praxis Precision Medicines Inc.   2,041       27
* Clene Inc.   8,586       27
* Kronos Bio Inc.   3,471       26
* 4D Molecular Therapeutics Inc.   1,889       26
* Immuneering Corp. Class A   3,419       26
    Shares Market
Value•

($000)
* Eliem Therapeutics Inc.   2,935       26
* Pyxis Oncology Inc.   4,351       26
* Amylyx Pharmaceuticals Inc.     785       26
* ORIC Pharmaceuticals Inc.   3,018       23
* Rapid Micro Biosystems Inc. Class A   3,276       23
* Acumen Pharmaceuticals Inc.   3,938       23
* Acutus Medical Inc.  13,559       22
* Biodesix Inc.   9,188       22
* Terns Pharmaceuticals Inc.   6,542       22
* Personalis Inc.   2,047       21
*,1 Hookipa Pharma Inc.   8,665       21
* Foghorn Therapeutics Inc.   2,213       21
* NexImmune Inc.   8,486       21
*,1 Impel Neuropharma Inc.   2,915       21
* MeiraGTx Holdings plc   1,381       20
* Exagen Inc.   2,606       20
* Cyteir Therapeutics Inc.   3,505       20
* Vigil Neuroscience Inc.   1,159       20
* Fluidigm Corp.   5,078       19
* Trevena Inc.  41,256       19
* Sutro Biopharma Inc.   2,182       19
* Applied Therapeutics Inc.   9,976       19
* Arbutus Biopharma Corp.   5,980       19
* Kaleido Biosciences Inc.  12,537       19
* Cullinan Oncology Inc.   1,309       19
* Reneo Pharmaceuticals Inc.   4,011       19
*,2 Alder Biopharmaceuticals CVR  20,196       18
*,1,2 Tobira Therapeutics Inc. CVR   3,989       18
* IsoPlexis Corp.   3,674       18
* Ontrak Inc.   6,309       17
*,1 Kala Pharmaceuticals Inc.  24,204       16
* Neoleukin Therapeutics Inc.   6,191       16
* Viemed Healthcare Inc.   4,180       16
* Viracta Therapeutics Inc.   5,931       16
* Arcellx Inc.     823       16
* Thorne HealthTech Inc.   3,301       15
*,1 Vor BioPharma Inc.   1,591       14
* Sera Prognostics Inc. Class A   2,575       14
* CorMedix Inc.   2,671       13
* Selecta Biosciences Inc.   6,681       12
* Ikena Oncology Inc.   1,935       12
* Forte Biosciences Inc.   8,473       11
* NantHealth Inc.  10,993        9
* Warby Parker Inc. Class A     308        9
* Lucid Diagnostics Inc.   2,422        9
* Kinnate Biopharma Inc.     964        7
* Atossa Therapeutics Inc.   6,154        7
* XOMA Corp.     284        6
* Landos Biopharma Inc.   2,918        6
* TScan Therapeutics Inc.   1,433        6
* Oyster Point Pharma Inc.     470        5
* Candel Therapeutics Inc.   1,139        5
* In8bio Inc.   1,087        5
* Gemini Therapeutics Inc.   2,905        4
* Portage Biotech Inc.     526        4
* Minerva Surgical Inc.     807        4
* Sonendo Inc.     749        4
* Definitive Healthcare Corp. Class A     118        3
*,1 Vaxxinity Inc. Class A     594        3
* Finch Therapeutics Group Inc.     258        2
* Elevation Oncology Inc.     686        2
 
70

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* MiNK Therapeutics Inc.     820        2
*,1,2 Synergy Pharmaceuticals Inc. 124,654       —
*,2 Progenics Pharmaceuticals Inc. CVR  71,640       —
* Sigilon Therapeutics Inc.     336       —
*,2 Prevail Therapeutics Inc. CVR      58       —
       222,746
Industrials (16.4%)
  Tetra Tech Inc.  39,012    6,194
* Saia Inc.  19,218    5,520
* WillScot Mobile Mini Holdings Corp. 153,012    5,437
  Simpson Manufacturing Co. Inc.  31,565    3,741
* ASGN Inc.  32,913    3,646
* AMN Healthcare Services Inc.  34,156    3,625
  Exponent Inc.  37,541    3,557
  Maximus Inc.  44,444    3,505
* Atkore Inc.  33,428    3,400
* ExlService Holdings Inc.  23,807    2,876
  Herc Holdings Inc.  18,034    2,870
* ACI Worldwide Inc.  85,509    2,866
  Franklin Electric Co. Inc.  33,581    2,840
  Applied Industrial Technologies Inc.  27,830    2,814
  John Bean Technologies Corp.  22,733    2,577
* TriNet Group Inc.  29,292    2,557
  Brink's Co.  34,858    2,442
  Insperity Inc.  26,341    2,369
* Chart Industries Inc.  15,909    2,297
* Bloom Energy Corp. Class A 102,868    2,284
* Welbilt Inc.  94,531    2,235
  Comfort Systems USA Inc.  25,776    2,216
  Badger Meter Inc.  21,108    2,098
  Terex Corp.  49,625    2,049
  Forward Air Corp.  19,380    2,000
  Helios Technologies Inc.  23,451    1,839
* Beacon Roofing Supply Inc.  30,187    1,802
  AAON Inc.  30,317    1,775
  EVERTEC Inc.  43,804    1,768
* Verra Mobility Corp. Class A 104,054    1,748
  Aerojet Rocketdyne Holdings Inc.  43,168    1,673
  Installed Building Products Inc.  17,147    1,658
  Kadant Inc.   8,335    1,645
* Masonite International Corp.  17,241    1,626
  Watts Water Technologies Inc. Class A  11,138    1,603
  Federal Signal Corp.  43,554    1,573
* Dycom Industries Inc.  17,366    1,512
  Zurn Water Solutions Corp.  46,395    1,509
* Meritor Inc.  41,832    1,490
* O-I Glass Inc. 114,220    1,460
* Allegheny Technologies Inc.  56,047    1,443
  Hillenbrand Inc.  28,962    1,382
* SPX Corp.  26,383    1,338
*,1 Nikola Corp. 164,990    1,303
  CSW Industrials Inc.  10,746    1,293
* Itron Inc.  26,865    1,281
  Patrick Industries Inc.  16,490    1,176
* AeroVironment Inc.  16,311    1,159
* Vicor Corp.  15,338    1,147
    Shares Market
Value•

($000)
  Kforce Inc.  14,710    1,106
* Ferro Corp.  49,322    1,072
  TTEC Holdings Inc.  13,426    1,067
  Tennant Co.  13,346    1,051
* Flywire Corp.  38,190    1,033
* CryoPort Inc.  29,414    1,010
  Shyft Group Inc.  24,987    1,010
  H&E Equipment Services Inc.  23,360      976
  McGrath RentCorp.  11,957      972
  Lindsay Corp.   7,103      932
  Alamo Group Inc.   6,303      877
* Cornerstone Building Brands Inc.  39,710      877
* Montrose Environmental Group Inc.  18,984      837
* Evo Payments Inc. Class A  34,438      830
* MYR Group Inc.   8,983      806
* Cimpress plc  12,753      803
  Enerpac Tool Group Corp. Class A  43,698      754
* WESCO International Inc.   5,702      694
  Pitney Bowes Inc. 126,483      630
* JELD-WEN Holding Inc.  26,166      604
  Douglas Dynamics Inc.  16,298      599
* BlueLinx Holdings Inc.   6,666      596
* First Advantage Corp.  36,594      591
* Energy Recovery Inc.  30,266      575
* Construction Partners Inc. Class A  21,184      567
* SP Plus Corp.  16,775      501
* Forterra Inc.  21,083      497
* Aspen Aerogels Inc.  16,089      476
* Repay Holdings Corp. Class A  27,380      473
  HB Fuller Co.   6,857      469
  EMCOR Group Inc.   3,852      445
* Forrester Research Inc.   8,220      427
* Napco Security Technologies Inc.  20,743      423
* PGT Innovations Inc.  19,654      423
* Franklin Covey Co.   9,093      419
* Kratos Defense & Security Solutions Inc.  19,792      414
* I3 Verticals Inc. Class A  15,329      405
* Transcat Inc.   5,128      402
* Paya Holdings Inc.  61,468      396
  Albany International Corp. Class A   4,470      393
  CRA International Inc.   4,408      392
* International Money Express Inc.  23,411      376
* Desktop Metal Inc. Class A  87,219      363
* Daseke Inc.  28,864      362
* FARO Technologies Inc.   6,622      362
* CIRCOR International Inc.  13,206      356
* Gibraltar Industries Inc.   6,878      332
* Cantaloupe Inc.  42,507      330
* Resideo Technologies Inc.  12,371      318
* BTRS Holdings Inc. Class A  47,921      292
  Allied Motion Technologies Inc.   7,792      271
*,1 PureCycle Technologies Inc.  38,219      266
* IES Holdings Inc.   6,176      260
*,1 Danimer Scientific Inc.  64,928      258
  Heidrick & Struggles International Inc.   5,997      256
* NV5 Global Inc.   2,308      248
 
71

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
  EnerSys   3,393      247
  Werner Enterprises Inc.   5,231      227
  SPX FLOW Inc.   2,498      215
* Willdan Group Inc.   6,550      212
* Velodyne Lidar Inc.  55,704      206
  Myers Industries Inc.  12,119      201
* Atlanticus Holdings Corp.   3,491      186
* Proto Labs Inc.   3,137      176
  Textainer Group Holdings Ltd.   4,622      164
* Luna Innovations Inc.  22,736      155
  Greif Inc. Class A   2,686      154
* ShotSpotter Inc.   6,005      154
  Luxfer Holdings plc   8,755      153
* AvidXchange Holdings Inc.  15,247      147
* Lawson Products Inc.   3,368      143
  Chase Corp.   1,436      132
* Byrna Technologies Inc.  13,195      132
* Vivint Smart Home Inc.  18,270      131
  Gorman-Rupp Co.   3,090      115
* Green Dot Corp. Class A   4,031      115
* Ranpak Holdings Corp. Class A   4,772      115
* Blue Bird Corp.   5,370      114
* Sterling Construction Co. Inc.   3,852      114
* Sterling Check Corp.   5,262      111
  ESCO Technologies Inc.   1,584      110
* OSI Systems Inc.   1,317      106
* Iteris Inc.  31,074      102
  Mueller Water Products Inc. Class A   7,705       98
* Eos Energy Enterprises Inc.  31,794       92
* CS Disco Inc.   2,424       92
* Hireright Holdings Corp.   7,077       92
* Huron Consulting Group Inc.   1,783       88
* Babcock & Wilcox Enterprises Inc.  12,304       86
* Infrastructure and Energy Alternatives Inc.   7,942       86
* EVI Industries Inc.   4,109       85
  Universal Logistics Holdings Inc.   4,367       84
* Custom Truck One Source Inc.  10,603       83
*,1 Remitly Global Inc.   7,388       81
* Cross Country Healthcare Inc.   3,454       77
* Hyliion Holdings Corp.  16,828       73
* Commercial Vehicle Group Inc.   8,916       71
* Rekor Systems Inc.  14,973       71
  Cass Information Systems Inc.   1,751       69
* Titan International Inc.   5,956       67
* IBEX Holdings Ltd.   4,266       67
  Hirequest Inc.   3,367       63
  Dorian LPG Ltd.   4,388       60
* Karat Packaging Inc.   3,454       56
  Wabash National Corp.   2,847       49
  Insteel Industries Inc.   1,186       44
* GreenBox POS  12,840       44
* Donnelley Financial Solutions Inc.   1,349       43
* Modine Manufacturing Co.   4,114       42
  REV Group Inc.   3,000       41
* Target Hospitality Corp.  12,777       40
    Shares Market
Value•

($000)
* Priority Technology Holdings Inc.   7,535       40
* AgEagle Aerial Systems Inc.  31,731       37
  Cadre Holdings Inc.   1,686       37
  Kronos Worldwide Inc.   2,430       36
  Greif Inc. Class B     557       32
*,1 Workhorse Group Inc.   8,682       27
* PAM Transportation Services Inc.     390       26
* Atlas Technical Consultants Inc.   1,978       23
* Yellow Corp.   2,053       19
  Miller Industries Inc.     513       16
  United States Lime & Minerals Inc.     106       12
       153,078
Other (0.0%)3
*,2 Aduro Biotech Inc. CVR   9,451        6
*,1,2 GTX Inc. CVR     530       —
             6
Real Estate (3.2%)
  EastGroup Properties Inc.  29,274    5,584
  National Storage Affiliates Trust  58,751    3,423
* Ryman Hospitality Properties Inc.  35,735    3,149
* Cushman & Wakefield plc 100,482    2,203
  PS Business Parks Inc.  12,352    1,968
  Newmark Group Inc. Class A 108,141    1,912
  Innovative Industrial Properties Inc.   8,995    1,695
* Redfin Corp.  74,668    1,615
  St. Joe Co.  24,085    1,301
  eXp World Holdings Inc.  45,424    1,215
  Safehold Inc.  10,087      619
  UMH Properties Inc.  26,407      609
  Outfront Media Inc.  21,169      565
  Universal Health Realty Income Trust   8,500      486
  Community Healthcare Trust Inc.  11,060      461
  Gladstone Land Corp.  13,223      395
  Alexander's Inc.   1,555      394
  Saul Centers Inc.   7,953      366
  Tanger Factory Outlet Centers Inc.  20,432      341
  NexPoint Residential Trust Inc.   3,096      263
  Indus Realty Trust Inc.   3,115      237
  CatchMark Timber Trust Inc. Class A  25,095      192
  Gladstone Commercial Corp.   7,154      152
  Hannon Armstrong Sustainable Infrastructure Capital Inc.   3,087      146
* Marcus & Millichap Inc.   1,965       98
  Clipper Realty Inc.   8,083       77
* Forestar Group Inc.   3,290       60
* Fathom Holdings Inc.   4,463       57
  Phillips Edison & Co. Inc.   1,684       54
* Douglas Elliman Inc.   6,870       52
  RMR Group Inc. Class A   1,132       33
  Necessity Retail REIT Inc.   4,298       30
* Rafael Holdings Inc. Class B   7,293       23
 
72

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
  Bridge Investment Group Holdings Inc. Class A     789       17
        29,792
Technology (20.8%)
* Synaptics Inc.  28,389    6,485
* Lattice Semiconductor Corp.  98,306    6,156
* II-VI Inc.  71,252    4,949
  KBR Inc.  89,500    4,443
* Silicon Laboratories Inc.  28,875    4,438
* Rapid7 Inc.  40,760    4,217
  Power Integrations Inc.  43,725    3,935
  CMC Materials Inc.  20,552    3,811
* Tenable Holdings Inc.  66,734    3,694
* Ambarella Inc.  25,544    3,569
* Mimecast Ltd.  44,098    3,507
* Novanta Inc.  25,554    3,491
* SPS Commerce Inc.  26,147    3,395
* Varonis Systems Inc. Class B  77,422    3,376
* Cargurus Inc.  69,179    3,352
* Workiva Inc. Class A  31,035    3,268
* Rogers Corp.  11,903    3,250
* Semtech Corp.  46,845    3,250
* Digital Turbine Inc.  65,647    3,183
* Ziff Davis Inc.  31,415    3,160
* MaxLinear Inc.  51,445    3,156
* Qualys Inc.  24,709    3,096
* Blackline Inc.  39,221    2,954
* Envestnet Inc.  36,887    2,760
* Sailpoint Technologies Holdings Inc.  66,141    2,736
*,1 MicroStrategy Inc. Class A   6,128    2,715
* Box Inc. Class A 101,214    2,592
* Asana Inc. Class A  47,315    2,592
* Q2 Holdings Inc.  39,679    2,581
* Perficient Inc.  23,538    2,399
  Advanced Energy Industries Inc.  27,258    2,340
* SiTime Corp.  11,529    2,330
  Kulicke & Soffa Industries Inc.  44,245    2,311
* Fabrinet  23,021    2,305
* Alarm.com Holdings Inc.  34,295    2,258
* Altair Engineering Inc. Class A  33,475    2,223
* Diodes Inc.  24,414    2,187
* Blackbaud Inc.  34,611    2,163
* Upwork Inc.  85,297    2,156
* Sprout Social Inc. Class A  32,718    2,130
* MACOM Technology Solutions Holdings Inc. Class H  35,206    2,116
* CommVault Systems Inc.  33,111    2,083
* DigitalOcean Holdings Inc.  34,801    2,064
* PagerDuty Inc.  59,417    2,010
* FormFactor Inc.  49,176    1,991
* Appian Corp. Class A  28,459    1,735
* Axcelis Technologies Inc.  24,090    1,668
* Yelp Inc. Class A  47,995    1,627
* Appfolio Inc. Class A  13,832    1,565
  Shutterstock Inc.  16,919    1,532
* TechTarget Inc.  18,863    1,479
* Ultra Clean Holdings Inc.  32,242    1,477
* Momentive Global Inc.  93,940    1,477
* 3D Systems Corp.  81,993    1,461
* Plexus Corp.  17,895    1,458
  Progress Software Corp.  31,895    1,406
    Shares Market
Value•

($000)
* Magnite Inc.  94,114    1,372
* Zuora Inc. Class A  80,800    1,227
* Schrodinger Inc.  32,878    1,143
* Cerence Inc.  27,478      992
* LivePerson Inc.  47,509      964
* Onto Innovation Inc.  11,070      954
* JFrog Ltd.  38,385      951
* Impinj Inc.  13,665      939
* Cohu Inc.  29,987      935
* PROS Holdings Inc.  28,822      916
* BigCommerce Holdings Inc. Series 1  35,236      913
* Domo Inc. Class B  20,326      905
* Insight Enterprises Inc.   8,671      902
* Eventbrite Inc. Class A  55,690      841
* Avaya Holdings Corp.  59,492      819
* Avid Technology Inc.  26,033      819
* Unisys Corp.  37,520      802
*,1 PAR Technology Corp.  18,381      771
* Sumo Logic Inc.  63,148      760
* SMART Global Holdings Inc.  25,484      700
  CSG Systems International Inc.  11,069      683
* Alpha & Omega Semiconductor Ltd.  12,689      682
* CEVA Inc.  16,173      659
* Consensus Cloud Solutions Inc.  11,700      651
* Yext Inc.  81,203      603
  Sapiens International Corp. NV  22,289      602
* Model N Inc.  23,749      584
* Agilysys Inc.  13,815      581
* nLight Inc.  31,871      520
  A10 Networks Inc.  35,925      512
* Bandwidth Inc. Class A  16,661      509
*,1 MicroVision Inc. 118,712      476
* Tucows Inc. Class A   6,979      469
* Ichor Holdings Ltd.  13,285      468
* Mitek Systems Inc.  31,221      464
* Diebold Nixdorf Inc.  52,404      456
* Porch Group Inc.  55,558      450
  Simulations Plus Inc.  10,943      431
* Grid Dynamics Holdings Inc.  32,922      400
  American Software Inc. Class A  17,932      394
* Upland Software Inc.  20,696      390
*,1 Ouster Inc. 114,594      387
* OneSpan Inc.  25,353      349
* Veritone Inc.  20,661      348
  Amkor Technology Inc.  15,163      344
  Hackett Group Inc.  16,276      337
* Telos Corp.  28,440      325
* Bottomline Technologies DE Inc.   5,723      324
* Groupon Inc. Class A  14,574      317
* Rackspace Technology Inc.  28,161      313
* Alkami Technology Inc.  18,959      299
* Identiv Inc.  14,228      298
* Digimarc Corp.   9,137      275
* ChannelAdvisor Corp.  15,009      269
  Vishay Intertechnology Inc.  13,325      256
*,1 Atomera Inc.  14,801      238
*,1 Xometry Inc. Class A   4,518      221
* Brightcove Inc.  29,014      217
* EverQuote Inc. Class A  14,000      208
* Mediaalpha Inc. Class A  14,135      203
 
73

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
* Enfusion Inc. Class A  11,854      197
* ON24 Inc.  12,533      196
  CTS Corp.   5,082      193
* EngageSmart Inc.   8,706      192
  NVE Corp.   3,236      185
* CoreCard Corp.   5,198      167
* Kopin Corp.  56,668      150
* Rimini Street Inc.  32,091      145
* Benefitfocus Inc.  13,716      138
* Intapp Inc.   5,885      136
* MeridianLink Inc.   6,951      136
*,1 EverCommerce Inc.   9,116      109
* Couchbase Inc.   5,131      108
* eGain Corp.   7,247       85
* Viant Technology Inc. Class A   8,192       67
* SkyWater Technology Inc.   5,355       62
* Stronghold Digital Mining Inc. Class A   3,875       49
*,1 1stdibs.com Inc.   3,761       41
* Informatica Inc. Class A   1,639       33
* Arteris Inc.   2,207       33
* Weave Communications Inc.   2,517       25
* GAN Ltd.   3,204       21
* Kimball Electronics Inc.     972       17
* EMCORE Corp.   4,106       16
* Freshworks Inc. Class A     686       13
* Expensify Inc. Class A     552       11
* Amplitude Inc. Class A     289        6
* NerdWallet Inc. Class A     480        6
* Thoughtworks Holding Inc.     235        5
* UserTesting Inc.     552        5
* Backblaze Inc. Class A     347        4
* Society Pass Inc.   1,707        4
* ForgeRock Inc. Class A     234        3
* Gitlab Inc. Class A      56        3
* Braze Inc. Class A      55        2
       193,762
Telecommunications (2.3%)
* Vonage Holdings Corp. 174,998    3,556
* Iridium Communications Inc.  64,656    2,560
* Viavi Solutions Inc. 153,704    2,521
  Cogent Communications Holdings Inc.  30,808    1,953
* Calix Inc.  33,037    1,795
* Infinera Corp. 132,420    1,222
* 8x8 Inc.  82,155    1,065
* Extreme Networks Inc.  92,267    1,060
*,1 fuboTV Inc.  98,775      845
  InterDigital Inc.   8,952      577
* Clearfield Inc.   8,251      529
*,1 Globalstar Inc. 381,577      450
* WideOpenWest Inc.  23,495      399
* IDT Corp. Class B  10,970      396
* Plantronics Inc.  12,626      356
  Shenandoah Telecommunications Co.  11,852      265
* Akoustis Technologies Inc.  34,761      219
* Cambium Networks Corp.   7,883      219
* Telesat Corp.   9,300      193
* CalAmp Corp.  25,228      178
* Ooma Inc.   9,388      157
* Anterix Inc.   2,504      133
* Harmonic Inc.  12,286      114
* Casa Systems Inc.  23,397       97
* DZS Inc.   5,350       78
* Inseego Corp.  13,096       62
  ADTRAN Inc.   2,448       50
    Shares Market
Value•

($000)
* Gogo Inc.   3,157       45
* Kaltura Inc.   6,437       14
* IHS Holding Ltd.   1,003       11
        21,119
Utilities (1.0%)
* Evoqua Water Technologies Corp.  83,816    3,576
* Casella Waste Systems Inc. Class A  32,735    2,468
  American States Water Co.  13,888    1,169
  Clearway Energy Inc. Class C  14,913      498
  Middlesex Water Co.   4,621      462
* Harsco Corp.  24,171      288
  York Water Co.   5,757      258
  Clearway Energy Inc. Class A   6,294      193
* Sunnova Energy International Inc.   9,251      186
  Global Water Resources Inc.   9,476      145
* Pure Cycle Corp.  12,044      143
* Heritage-Crystal Clean Inc.   4,518      127
* US Ecology Inc.   2,641      125
  Via Renewables Inc. Class A   8,165       91
  Aris Water Solution Inc. Class A   6,181       90
* Sharps Compliance Corp.  13,550       83
* Cadiz Inc.     931        2
         9,904
Total Common Stocks (Cost $897,765) 933,119
    Face
Amount
($000) 		 
Corporate Bonds (0.0%)
4 GAMCO Investors Inc., 5.000% coupon rate effective 6/15/22 4.000%, 6/15/23 (Cost $9)       9         9
 
74

 

Russell 2000 Growth Index Fund
    Shares Market
Value•

($000)
Temporary Cash Investments (2.0%)
Money Market Fund (2.0%)
5,6 Vanguard Market Liquidity Fund, 0.138% (Cost $18,659) 186,632         18,662
Total Investments (102.0%) (Cost $916,433) 951,790
Other Assets and Liabilities—Net (-2.0%) (18,620)
Net Assets (100%) 933,170
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $17,294,000.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Step bond.
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.
6 Collateral of $18,601,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini Russell 2000 Index March 2022 2 204 6
  
See accompanying Notes, which are an integral part of the Financial Statements.
75

 

Russell 2000 Growth Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $897,774) 933,128
Affiliated Issuers (Cost $18,659) 18,662
Total Investments in Securities 951,790
Investment in Vanguard 31
Cash 224
Cash Collateral Pledged—Futures Contracts 50
Receivables for Accrued Income 230
Receivables for Capital Shares Issued 52
Total Assets 952,377
Liabilities  
Payables for Investment Securities Purchased 349
Collateral for Securities on Loan 18,601
Payables for Capital Shares Redeemed 212
Payables to Vanguard 43
Variation Margin Payable—Futures Contracts 2
Total Liabilities 19,207
Net Assets 933,170
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 881,706
Total Distributable Earnings (Loss) 51,464
Net Assets 933,170
 
ETF Shares—Net Assets  
Applicable to 3,425,062 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		635,047
Net Asset Value Per Share—ETF Shares $185.41
 
Institutional Shares—Net Assets  
Applicable to 843,986 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		298,123
Net Asset Value Per Share—Institutional Shares $353.23
  
See accompanying Notes, which are an integral part of the Financial Statements.
76

 

Russell 2000 Growth Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 3,515
Interest2 1
Securities Lending—Net 379
Total Income 3,895
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 26
Management and Administrative—ETF Shares 467
Management and Administrative—Institutional Shares 173
Marketing and Distribution—ETF Shares 12
Marketing and Distribution—Institutional Shares 14
Custodian Fees 31
Shareholders’ Reports—ETF Shares 13
Shareholders’ Reports—Institutional Shares 6
Trustees’ Fees and Expenses —
Other Expenses 8
Total Expenses 750
Net Investment Income 3,145
Realized Net Gain (Loss)  
Investment Securities Sold2,3 166,101
Futures Contracts 6
Realized Net Gain (Loss) 166,107
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (366,328)
Futures Contracts (27)
Change in Unrealized Appreciation (Depreciation) (366,355)
Net Increase (Decrease) in Net Assets Resulting from Operations (197,103)
1 Dividends are net of foreign withholding taxes of $2,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, ($3,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $157,200,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
77

 

Russell 2000 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 3,145   5,841
Realized Net Gain (Loss) 166,107   120,421
Change in Unrealized Appreciation (Depreciation) (366,355)   204,030
Net Increase (Decrease) in Net Assets Resulting from Operations (197,103)   330,292
Distributions      
ETF Shares (2,849)   (2,369)
Institutional Shares (3,060)   (3,418)
Total Distributions (5,909)   (5,787)
Capital Share Transactions      
ETF Shares 19,152   230,394
Institutional Shares (369,780)   61,405
Net Increase (Decrease) from Capital Share Transactions (350,628)   291,799
Total Increase (Decrease) (553,640)   616,304
Net Assets      
Beginning of Period 1,486,810   870,506
End of Period 933,170   1,486,810
  
See accompanying Notes, which are an integral part of the Financial Statements.
78

 

Russell 2000 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $222.64 $164.83 $141.63 $160.12 $123.26 $106.98
Investment Operations            
Net Investment Income1 .404 .839 1.097 .971 .895 .961
Net Realized and Unrealized Gain (Loss) on Investments (36.775) 57.852 23.237 (18.527) 36.791 16.455
Total from Investment Operations (36.371) 58.691 24.334 (17.556) 37.686 17.416
Distributions            
Dividends from Net Investment Income (.859) (.881) (1.134) (.934) (.826) (1.136)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.859) (.881) (1.134) (.934) (.826) (1.136)
Net Asset Value, End of Period $185.41 $222.64 $164.83 $141.63 $160.12 $123.26
Total Return -16.38% 35.67% 17.32% -10.97% 30.69% 16.39%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $635 $735 $371 $301 $328 $194
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 0.34% 0.40% 0.75% 0.68% 0.64% 0.83%
Portfolio Turnover Rate2 7% 47% 38% 28% 35% 34%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
79

 

Russell 2000 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $424.16 $314.01 $269.76 $305.04 $234.80 $203.79
Investment Operations            
Net Investment Income1 1.266 1.912 2.275 2.021 2.026 2.102
Net Realized and Unrealized Gain (Loss) on Investments (70.424) 110.162 44.269 (35.267) 70.080 31.338
Total from Investment Operations (69.158) 112.074 46.544 (33.246) 72.106 33.440
Distributions            
Dividends from Net Investment Income (1.772) (1.924) (2.294) (2.034) (1.866) (2.430)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.772) (1.924) (2.294) (2.034) (1.866) (2.430)
Net Asset Value, End of Period $353.23 $424.16 $314.01 $269.76 $305.04 $234.80
Total Return -16.36% 35.77% 17.42% -10.91% 30.85% 16.53%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $298 $752 $500 $472 $545 $370
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 0.58% 0.48% 0.82% 0.75% 0.76% 0.95%
Portfolio Turnover Rate2 7% 47% 38% 28% 35% 34%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
80

 

Russell 2000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Bonds 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
81

 

Russell 2000 Growth Index Fund
During the six months ended February 28, 2022, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
82

 

Russell 2000 Growth Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $31,000, representing less than 0.01% of the fund’s net assets and 0.01% 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 and derivatives. 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.
83

 

Russell 2000 Growth Index Fund
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 933,077 — 42 933,119
Corporate Bonds — 9 — 9
Temporary Cash Investments 18,662 — — 18,662
Total 951,739 9 42 951,790
Derivative Financial Instruments         
Assets        
Futures Contracts1 6 — — 6
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 919,081
Gross Unrealized Appreciation 208,883
Gross Unrealized Depreciation (176,168)
Net Unrealized Appreciation (Depreciation) 32,715
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $147,811,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $121,889,000 of investment securities and sold $474,759,000 of investment securities, other than temporary cash investments. Purchases and sales include $36,068,000 and $376,363,000, 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 six
84

 

Russell 2000 Growth Index Fund
months ended February 28, 2022, such purchases were $8,057,000 and sales were $15,024,000, resulting in net realized loss of $1,562,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 396,034 1,900   399,369 1,800
Issued in Lieu of Cash Distributions — —   — —
Redeemed (376,882) (1,775)   (168,975) (750)
Net Increase (Decrease)—ETF Shares 19,152 125   230,394 1,050
Institutional Shares          
Issued 15,048 37   170,590 475
Issued in Lieu of Cash Distributions 2,912 7   3,267 9
Redeemed (387,740) (973)   (112,452) (302)
Net Increase (Decrease)—Institutional Shares (369,780) (929)   61,405 182
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
85

 

The Products are not sponsored, endorsed, sold or promoted by Frank Russell Company (“Russell”). Russell makes no representation or warranty, express or implied, to the owners of the Products or any member of the public regarding the advisability of investing in securities generally or in the Products particularly or the ability of the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes to track general stock market performance or a segment of the same. Russell’s publication of the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the securities upon which the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes are based. Russell’s only relationship to The Vanguard Group, Inc. is the licensing of certain trademarks and trade names of Russell and of the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes which are determined, composed and calculated by Russell without regard to The Vanguard Group, Inc. or the Products. Russell is not responsible for and has not reviewed the Products nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. Russell has no obligation or liability in connection with the administration, marketing or trading of the Products.
Russell makes no representation, warranty or guarantee as to the accuracy, completeness, reliability or otherwise of the Russell Indexes or any data included in the Russell Indexes. Russell does not guarantee the accuracy and/or the completeness of the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes or any data included therein and Russell shall have no liability for any errors, omissions, or interruptions therein. Russell makes no warranty, express or implied, as to the use of or results to be obtained by The Vanguard Group, Inc., investors, owners of the Products, or any other person or entity from the use of the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes or any data included therein. Russell makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Russell 2000, Russell 2000 Value, and Russell 2000 Growth Indexes or any data included therein. Without limiting any of the foregoing, in no event shall Russell have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.
Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell Indexes. Russell has no obligation to take the needs of any particular fund or its participants or any other product or person into consideration in determining, composing or calculating any of the Russell Indexes.
86

 

This page intentionally left blank.

 

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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q18512 042022

 

 

Semiannual Report   |   February 28, 2022
Vanguard Russell 3000 Index Fund

 

Contents
About Your Fund’s Expenses
1
Financial Statements
4

 

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.
1

 

Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return      
Russell 3000 Index Fund      
ETF Shares $1,000.00 $957.10 $0.49
Institutional Shares 1,000.00 957.10 0.39
Based on Hypothetical 5% Yearly Return      
Russell 3000 Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
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 0.10% for ETF Shares and 0.08% 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 (181/365).
2

 

Russell 3000 Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 1.8%
Consumer Discretionary 15.3
Consumer Staples 5.1
Energy 3.8
Financials 11.7
Health Care 12.7
Industrials 12.9
Real Estate 3.5
Technology 27.7
Telecommunications 2.7
Utilities 2.8
Other 0.0
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3

 

Russell 3000 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
    Shares Market
Value•

($000)
Common Stocks (99.8%)
Basic Materials (1.8%)
  Freeport-McMoRan Inc.  70,020     3,287
  Newmont Corp.  38,425     2,544
  Air Products and Chemicals Inc.  10,616     2,509
  Ecolab Inc.  11,995     2,114
  Dow Inc.  35,824     2,112
  Nucor Corp.  13,693     1,802
  International Flavors & Fragrances Inc.  12,169     1,618
  Fastenal Co.  27,500     1,415
  LyondellBasell Industries NV Class A  12,632     1,228
  Albemarle Corp.   5,542     1,086
  Mosaic Co.  17,810       934
  CF Industries Holdings Inc.  10,253       832
  International Paper Co.  18,462       804
  Eastman Chemical Co.   6,416       760
  Celanese Corp. Class A   5,225       728
  FMC Corp.   6,094       715
  Avery Dennison Corp.   3,975       700
  Alcoa Corp.   8,916       672
  Steel Dynamics Inc.   9,057       639
  Reliance Steel & Aluminum Co.   2,964       566
* Cleveland-Cliffs Inc.  21,796       487
  Huntsman Corp.   9,938       402
  Royal Gold Inc.   3,143       381
  Olin Corp.   6,849       353
  US Steel Corp.  12,913       351
  Valvoline Inc.   8,678       281
  Southern Copper Corp.   3,990       277
  Scotts Miracle-Gro Co.   1,952       273
  Element Solutions Inc.  11,033       271
* RBC Bearings Inc.   1,294       251
  UFP Industries Inc.   2,859       245
  Ashland Global Holdings Inc.   2,641       244
* Univar Solutions Inc.   7,875       242
  Hexcel Corp.   4,078       236
  Commercial Metals Co.   5,853       226
  Avient Corp.   4,261       223
  Chemours Co.   7,946       219
  Balchem Corp.   1,555       215
  Timken Co.   3,120       205
  Cabot Corp.   2,716       199
* Livent Corp.   7,835       185
  Westlake Corp.   1,548       171
*,1 MP Materials Corp.   3,668       167
    Shares Market
Value•

($000)
  Sensient Technologies Corp.   1,991       164
* Arconic Corp.   5,174       159
  Boise Cascade Co.   1,885       151
  Mueller Industries Inc.   2,642       151
  Hecla Mining Co.  25,772       148
* Ingevity Corp.   1,802       123
* Constellium SE Class A   5,970       116
  Quaker Chemical Corp.     622       115
  Minerals Technologies Inc.   1,603       112
  Tronox Holdings plc Class A   5,535       112
  Stepan Co.   1,044       108
  Innospec Inc.   1,089       104
  Compass Minerals International Inc.   1,641        96
  NewMarket Corp.     295        94
  GrafTech International Ltd.   9,263        93
  Trinseo plc   1,746        91
  Worthington Industries Inc.   1,576        90
* Novagold Resources Inc.  12,046        84
  Carpenter Technology Corp.   2,162        83
  Materion Corp.     980        82
* GCP Applied Technologies Inc.   2,389        75
* Kraton Corp.   1,596        74
  Kaiser Aluminum Corp.     717        69
* Energy Fuels Inc.   7,896        65
  Schnitzer Steel Industries Inc. Class A   1,260        61
* Sylvamo Corp.   1,667        58
* Century Aluminum Co.   2,257        53
* US Silica Holdings Inc.   3,665        53
* Uranium Energy Corp.  12,843        51
  AdvanSix Inc.   1,242        50
* Coeur Mining Inc.  11,162        48
  Schweitzer-Mauduit International Inc.   1,462        46
  Orion Engineered Carbons SA   2,941        46
* Amyris Inc.   9,264        42
* TimkenSteel Corp.   2,198        40
  Hawkins Inc.     870        39
  Neenah Inc.     852        33
  Verso Corp. Class A   1,230        33
  Glatfelter Corp.   2,239        31
* Koppers Holdings Inc.   1,034        30
  Ecovyst Inc.   2,487        27
* Clearwater Paper Corp.     861        25
* Intrepid Potash Inc.     437        25
  Omega Flex Inc.     161        23
4

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Meta Materials Inc.  10,304        22
  Ryerson Holding Corp.     762        20
* Alto Ingredients Inc.   3,473        20
  Haynes International Inc.     528        19
* Rayonier Advanced Materials Inc.   3,249        19
  American Vanguard Corp.   1,197        18
* Zymergen Inc.   4,057        16
  Olympic Steel Inc.     514        14
  Tredegar Corp.   1,211        14
* Unifi Inc.     686        13
* Ur-Energy Inc.   8,792        13
* Northwest Pipe Co.     399        11
  FutureFuel Corp.   1,191         9
* Gatos Silver Inc.   2,187         7
* NN Inc.   1,893         5
* Marrone Bio Innovations Inc.   6,510         4
* Polymet Mining Corp.   1,458         4
* Perpetua Resources Corp.     300         1
         36,771
Consumer Discretionary (15.3%)
* Amazon.com Inc.  20,794    63,864
* Tesla Inc.  38,745    33,725
  Home Depot Inc.  50,972    16,098
* Walt Disney Co.  86,982    12,913
  Costco Wholesale Corp.  21,186    11,001
  Walmart Inc.  68,809     9,300
  McDonald's Corp.  35,866     8,779
* Netflix Inc.  20,682     8,159
  NIKE Inc. Class B  59,385     8,109
  Lowe's Cos. Inc.  33,227     7,345
  Starbucks Corp.  56,511     5,187
  Target Corp.  23,358     4,666
* Booking Holdings Inc.   1,963     4,264
  TJX Cos. Inc.  57,701     3,814
  Ford Motor Co. 187,371     3,290
  Estee Lauder Cos. Inc. Class A  10,926     3,238
* General Motors Co.  65,795     3,074
  Activision Blizzard Inc.  36,970     3,013
* Uber Technologies Inc.  77,055     2,776
  Dollar General Corp.  11,162     2,214
* Marriott International Inc. Class A  13,012     2,214
* O'Reilly Automotive Inc.   3,190     2,071
* Chipotle Mexican Grill Inc. Class A   1,342     2,044
* Hilton Worldwide Holdings Inc.  13,115     1,952
* AutoZone Inc.   1,001     1,865
* Trade Desk Inc. Class A  20,702     1,766
  Electronic Arts Inc.  13,557     1,764
* Lululemon Athletica Inc.   5,441     1,741
  Yum! Brands Inc.  14,125     1,731
* Aptiv plc  12,884     1,668
  eBay Inc.  29,830     1,628
  Ross Stores Inc.  16,678     1,524
* Dollar Tree Inc.  10,614     1,508
* Expedia Group Inc.   6,916     1,356
  DR Horton Inc.  15,786     1,348
* Southwest Airlines Co.  28,203     1,235
* Delta Air Lines Inc.  30,730     1,227
* Copart Inc.   9,943     1,222
  Best Buy Co. Inc.  11,693     1,130
  Tractor Supply Co.   5,392     1,099
  Yum China Holdings Inc.  20,439     1,063
  Lennar Corp. Class A  11,724     1,054
    Shares Market
Value•

($000)
* Spotify Technology SA   6,496     1,015
* Ulta Beauty Inc.   2,550       955
* Etsy Inc.   6,069       940
  Darden Restaurants Inc.   6,264       910
  VF Corp.  15,412       894
* Take-Two Interactive Software Inc.   5,499       891
  Paramount Global Class B  28,180       863
  Pool Corp.   1,871       858
* CarMax Inc.   7,807       854
  Omnicom Group Inc.  10,109       848
* Royal Caribbean Cruises Ltd.  10,358       836
  MGM Resorts International  18,686       828
* Caesars Entertainment Inc.   9,753       821
* Carnival Corp.  40,166       817
  Genuine Parts Co.   6,691       817
  Garmin Ltd.   7,289       805
* Live Nation Entertainment Inc.   6,549       791
  Domino's Pizza Inc.   1,732       749
* NVR Inc.     151       749
* Burlington Stores Inc.   3,176       717
* United Airlines Holdings Inc.  15,602       693
  Interpublic Group of Cos. Inc.  18,706       688
  Fox Corp. Class A  16,116       674
* Las Vegas Sands Corp.  15,645       671
  Bath & Body Works Inc.  11,697       624
* Liberty Media Corp.-Liberty Formula One Class C  10,222       621
  Advance Auto Parts Inc.   3,016       617
  LKQ Corp.  12,890       605
  PulteGroup Inc.  11,971       594
  Hasbro Inc.   6,099       592
  Whirlpool Corp.   2,826       569
* Carvana Co. Class A   3,744       563
  Tapestry Inc.  13,485       552
* Lyft Inc. Class A  13,849       539
* American Airlines Group Inc.  29,841       515
  Williams-Sonoma Inc.   3,539       513
* Wayfair Inc. Class A   3,638       512
  Vail Resorts Inc.   1,910       498
  Lithia Motors Inc. Class A   1,405       479
* Capri Holdings Ltd.   7,000       474
  Service Corp. International   7,719       470
  BorgWarner Inc. (XNYS)  11,380       467
* Floor & Decor Holdings Inc. Class A   4,857       464
*,1 AMC Entertainment Holdings Inc. Class A  24,620       464
* Rivian Automotive Inc. Class A   6,831       462
  Lear Corp.   2,859       450
* Zynga Inc. Class A  48,822       443
* Liberty Media Corp.- Liberty SiriusXM Class C   8,787       442
* Wynn Resorts Ltd.   5,012       434
  Newell Brands Inc.  18,148       431
* Five Below Inc.   2,619       428
  Churchill Downs Inc.   1,738       419
* Discovery Inc. Class C  14,922       417
* Mattel Inc.  16,652       416
  News Corp. Class A  18,557       414
* BJ's Wholesale Club Holdings Inc.   6,489       408
  Aramark  10,909       403
* Penn National Gaming Inc.   7,808       401
  Kohl's Corp.   7,035       391
 
5

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  Macy's Inc.  15,097       391
* GameStop Corp. Class A   3,068       378
  Wyndham Hotels & Resorts Inc.   4,363       377
* Deckers Outdoor Corp.   1,293       373
* Bright Horizons Family Solutions Inc.   2,844       372
* Peloton Interactive Inc. Class A  12,806       372
* SiteOne Landscape Supply Inc.   2,139       369
* Avis Budget Group Inc.   1,933       355
  Rollins Inc.  10,828       353
* DraftKings Inc. Class A  14,895       353
* Norwegian Cruise Line Holdings Ltd.  17,899       349
  Gentex Corp.  11,390       345
  Nexstar Media Group Inc. Class A   1,866       345
  New York Times Co. Class A   7,820       344
* RH     846       340
* Planet Fitness Inc. Class A   3,944       334
  PVH Corp.   3,363       329
  Polaris Inc.   2,704       329
* Alaska Air Group Inc.   5,796       325
  Marriott Vacations Worldwide Corp.   1,978       318
  Texas Roadhouse Inc. Class A   3,322       315
  Dick's Sporting Goods Inc.   2,962       311
  Harley-Davidson Inc.   7,271       300
  Ralph Lauren Corp. Class A   2,268       299
  Nielsen Holdings plc  16,920       295
* Skechers USA Inc. Class A   6,238       287
  Toll Brothers Inc.   5,286       287
* Scientific Games Corp. Class A   4,520       284
  Boyd Gaming Corp.   3,950       280
  Tempur Sealy International Inc.   8,480       280
  Hanesbrands Inc.  16,778       259
1 Sirius XM Holdings Inc.  42,038       259
* YETI Holdings Inc.   4,172       257
  AMERCO     428       247
* Terminix Global Holdings Inc.   5,692       242
  Choice Hotels International Inc.   1,655       239
* IAA Inc.   6,410       236
  Leggett & Platt Inc.   6,359       236
  TEGNA Inc.  10,315       236
  Fox Corp. Class B   6,141       235
* Fox Factory Holding Corp.   1,991       235
* Helen of Troy Ltd.   1,123       231
* Crocs Inc.   2,744       230
* Hyatt Hotels Corp. Class A   2,352       228
  Thor Industries Inc.   2,515       228
* JetBlue Airways Corp.  14,815       226
  Travel + Leisure Co.   3,972       223
* Discovery Inc. Class A   7,912       222
* AutoNation Inc.   1,929       221
* Chegg Inc.   6,860       215
* Hilton Grand Vacations Inc.   4,059       211
* Asbury Automotive Group Inc.   1,076       209
  Wingstop Inc.   1,436       209
* Goodyear Tire & Rubber Co.  13,374       207
* Adient plc   4,601       206
  Murphy USA Inc.   1,135       205
    Shares Market
Value•

($000)
  H&R Block Inc.   8,200       203
  Wendy's Co.   8,761       199
* Victoria's Secret & Co.   3,635       195
* QuantumScape Corp. Class A  11,876       192
  Carter's Inc.   1,938       187
* Under Armour Inc. Class A  10,480       187
* Meritage Homes Corp.   1,804       178
  Columbia Sportswear Co.   1,914       177
  Signet Jewelers Ltd.   2,516       177
* Skyline Champion Corp.   2,552       172
  Papa John's International Inc.   1,605       171
* Taylor Morrison Home Corp. Class A   5,803       171
* SeaWorld Entertainment Inc.   2,443       170
* Sabre Corp.  15,324       167
* Six Flags Entertainment Corp.   3,791       166
* Liberty Media Corp.- Liberty SiriusXM Class A   3,244       163
* Madison Square Garden Sports Corp.     930       161
* Sonos Inc.   5,843       160
  Steven Madden Ltd.   3,735       159
  American Eagle Outfitters Inc.   7,368       155
  Lennar Corp. Class B   2,054       155
* Grand Canyon Education Inc.   1,775       154
  Group 1 Automotive Inc.     846       154
* Visteon Corp.   1,285       154
* Coty Inc. Class A  16,427       151
  KB Home   3,873       150
  International Game Technology plc   4,897       150
  LCI Industries   1,200       149
* National Vision Holdings Inc.   3,968       146
  Gap Inc.   9,830       143
  Cracker Barrel Old Country Store Inc.   1,052       141
  Red Rock Resorts Inc. Class A   2,777       140
  Penske Automotive Group Inc.   1,413       139
  Foot Locker Inc.   4,350       138
* Callaway Golf Co.   5,549       137
* Gentherm Inc.   1,616       137
* Ollie's Bargain Outlet Holdings Inc.   3,171       137
* Leslie's Inc.   6,410       137
* Shake Shack Inc. Class A   1,818       136
  MillerKnoll Inc.   3,447       134
* LGI Homes Inc.   1,057       133
* Houghton Mifflin Harcourt Co.   6,169       129
* Under Armour Inc. Class C   8,231       129
  World Wrestling Entertainment Inc. Class A   2,166       128
* Allegiant Travel Co.     728       127
  Kontoor Brands Inc.   2,567       127
  Dana Inc.   6,746       126
  News Corp. Class B   5,616       126
* Copa Holdings SA Class A   1,457       124
* Tri Pointe Homes Inc.   5,494       123
* frontdoor Inc.   4,071       122
* Spirit Airlines Inc.   4,856       122
* TripAdvisor Inc.   4,777       122
* Academy Sports & Outdoors Inc.   3,740       121
 
6

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Boot Barn Holdings Inc.   1,370       119
* Dorman Products Inc.   1,260       118
* Overstock.com Inc.   2,067       118
* Cavco Industries Inc.     427       116
* iHeartMedia Inc. Class A   5,429       116
  MDC Holdings Inc.   2,543       113
* Nordstrom Inc.   5,427       113
  Rush Enterprises Inc. Class A   2,178       113
  Graham Holdings Co. Class B     186       112
* KAR Auction Services Inc.   5,976       110
* Abercrombie & Fitch Co. Class A   2,770       105
* Playtika Holding Corp.   5,002       103
  Bloomin' Brands Inc.   4,094       101
* Central Garden & Pet Co. Class A   2,299       101
  Winnebago Industries Inc.   1,572       101
  John Wiley & Sons Inc. Class A   1,979       100
  Gray Television Inc.   4,207        99
  Qurate Retail Inc. Series A  18,049        99
* PROG Holdings Inc.   3,222        99
* Vista Outdoor Inc.   2,699        98
* Fisker Inc.   7,871        96
* Cinemark Holdings Inc.   5,390        95
* ODP Corp.   2,130        94
  Wolverine World Wide Inc.   4,038        93
* Cheesecake Factory Inc.   2,140        92
* Dave & Buster's Entertainment Inc.   2,096        91
* Knowles Corp.   4,188        91
* Sally Beauty Holdings Inc.   5,278        91
* Brinker International Inc.   2,125        90
* Cardlytics Inc.   1,545        90
* Urban Outfitters Inc.   3,284        90
  Century Communities Inc.   1,401        89
* Everi Holdings Inc.   3,804        89
  Jack in the Box Inc.   1,026        89
  Rent-A-Center Inc.   3,135        89
  HNI Corp.   2,152        88
* Madison Square Garden Entertainment Corp.   1,124        88
* Bed Bath & Beyond Inc.   5,013        85
* Revolve Group Inc.   1,735        82
  Inter Parfums Inc.     865        80
* Driven Brands Holdings Inc.   2,728        80
* iRobot Corp.   1,275        79
* Lions Gate Entertainment Corp. Class B   5,474        78
  PriceSmart Inc.   1,078        78
* Figs Inc. Class A   4,763        78
  Monro Inc.   1,645        77
* Coursera Inc.   3,666        75
  Strategic Education Inc.   1,237        73
  Dillard's Inc. Class A     287        72
  Oxford Industries Inc.     801        71
* Malibu Boats Inc. Class A   1,010        70
* Stride Inc.   2,073        70
  Acushnet Holdings Corp.   1,581        69
* M/I Homes Inc.   1,393        69
* Sleep Number Corp.   1,031        68
  Sinclair Broadcast Group Inc. Class A   2,238        67
* Clear Channel Outdoor Holdings Inc.  17,596        66
  Dine Brands Global Inc.     791        66
* SkyWest Inc.   2,325        65
    Shares Market
Value•

($000)
  Camping World Holdings Inc. Class A   2,073        64
* elf Beauty Inc.   2,407        64
* XPEL Inc.     869        63
* EW Scripps Co. Class A   2,783        62
* Mister Car Wash Inc.   3,873        62
  La-Z-Boy Inc.   2,075        61
  Sturm Ruger & Co. Inc.     835        60
* G-III Apparel Group Ltd.   2,140        59
* Liberty Media Corp.- Liberty Braves Class C   2,368        58
* Tenneco Inc. Class A   3,025        58
* AMC Networks Inc. Class A   1,400        58
  Franchise Group Inc.   1,372        58
* Bally's Corp.   1,585        57
  Big Lots Inc.   1,606        56
  Sonic Automotive Inc. Class A   1,048        56
* Cars.com Inc.   3,323        54
* Clean Energy Fuels Corp.   7,399        54
  Buckle Inc.   1,446        52
* GoPro Inc. Class A   6,063        52
  Scholastic Corp.   1,225        52
  Steelcase Inc. Class A   4,236        52
* Imax Corp.   2,497        52
  Arko Corp.   6,285        52
* Adtalem Global Education Inc.   2,463        51
* American Axle & Manufacturing Holdings Inc.   5,547        51
* Stitch Fix Inc. Class A   4,082        51
  Laureate Education Inc. Class A   4,621        50
* Monarch Casino & Resort Inc.     631        49
* Hawaiian Holdings Inc.   2,519        48
* MarineMax Inc.   1,044        48
* Zumiez Inc.   1,058        47
* Genesco Inc.     720        46
  Standard Motor Products Inc.   1,056        46
* Petco Health & Wellness Co. Inc. Class A   2,599        46
* Denny's Corp.   2,833        45
* Golden Entertainment Inc.     797        45
* Children's Place Inc.     694        44
  Guess? Inc.   2,025        44
* Lions Gate Entertainment Corp. Class A   2,861        44
* Blink Charging Co.   1,771        44
* PowerSchool Holdings Inc. Class A   2,700        43
  Matthews International Corp. Class A   1,231        41
  Ruth's Hospitality Group Inc.   1,667        41
* Tupperware Brands Corp.   2,236        41
  Smith & Wesson Brands Inc.   2,242        40
  Winmark Corp.     171        39
  Carriage Services Inc. Class A     779        38
* Arlo Technologies Inc.   3,945        37
* Designer Brands Inc. Class A   2,860        37
  Interface Inc. Class A   2,828        37
  Caleres Inc.   1,733        36
* 2U Inc.   3,403        36
* Accel Entertainment Inc. Class A   2,731        36
 
7

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Sun Country Airlines Holdings Inc.   1,331        36
* BJ's Restaurants Inc.   1,093        35
* Green Brick Partners Inc.   1,501        35
* Viad Corp.   1,003        35
* Perdoceo Education Corp.   3,299        35
  Hibbett Inc.     747        34
* RealReal Inc.   3,816        34
* Gannett Co. Inc.   6,812        34
* Fossil Group Inc.   2,433        33
* Chuy's Holdings Inc.     978        32
  Movado Group Inc.     811        32
* Canoo Inc.   5,624        32
  Aaron's Co. Inc.   1,460        31
* Boston Omaha Corp. Class A   1,062        30
* QuinStreet Inc.   2,631        30
* Quotient Technology Inc.   4,462        30
  A-Mark Precious Metals Inc.     425        30
* Portillo's Inc. Class A   1,180        30
* Life Time Group Holdings Inc.   1,948        30
* America's Car-Mart Inc.     288        28
  RCI Hospitality Holdings Inc.     425        28
* Corsair Gaming Inc.   1,198        28
* Latham Group Inc.   1,609        28
  Clarus Corp.   1,180        27
* OneSpaWorld Holdings Ltd.   2,564        27
* Chico's FAS Inc.   5,586        26
  Ethan Allen Interiors Inc.   1,010        26
* Lindblad Expeditions Holdings Inc.   1,482        26
  Shoe Carnival Inc.     889        26
* WW International Inc.   2,558        26
* TravelCenters of America Inc.     605        26
* Rush Street Interactive Inc.   2,542        26
* Lovesac Co.     595        25
  OneWater Marine Inc. Class A     498        25
* Hovnanian Enterprises Inc. Class A     249        24
* Master Craft Boat Holdings Inc.     831        24
  Haverty Furniture Cos. Inc.     810        23
* Party City Holdco Inc.   5,358        23
* Sportsman's Warehouse Holdings Inc.   2,021        23
* Stagwell Inc.   3,024        23
* Beazer Homes USA Inc.   1,367        22
* Funko Inc. Class A   1,283        22
* Liberty Media Corp.- Liberty Formula One Class A     384        22
* Marcus Corp.   1,198        22
* Frontier Group Holdings Inc.   1,691        22
  Johnson Outdoors Inc. Class A     257        21
* LL Flooring Holdings Inc.   1,283        21
* Selectquote Inc.   6,909        21
  Global Industrial Co.     653        21
* Daily Journal Corp.      61        20
* Liquidity Services Inc.   1,174        20
* 1-800-Flowers.com Inc. Class A   1,294        20
* Stoneridge Inc.   1,195        20
* Universal Electronics Inc.     607        20
* Bluegreen Vacations Holding Class A     712        20
* Lordstown Motors Corp. Class A   7,859        20
  Cato Corp. Class A   1,059        19
    Shares Market
Value•

($000)
  Entravision Communications Corp. Class A   2,974        19
* CarParts.com Inc.   2,298        19
* AMMO Inc.   4,002        19
* American Public Education Inc.     912        18
  Big 5 Sporting Goods Corp.   1,010        17
* Century Casinos Inc.   1,377        17
* Conn's Inc.     928        17
  Del Taco Restaurants Inc.   1,358        17
* European Wax Center Inc. Class A     698        17
* Citi Trends Inc.     438        16
  Kimball International Inc. Class B   1,691        16
* Turtle Beach Corp.     677        16
*,1 Vuzix Corp.   2,848        16
* Purple Innovation Inc. Class A   2,705        16
* Golden Nugget Online Gaming Inc.   1,863        16
* Audacy Inc. Class A   5,246        16
* Integral Ad Science Holding Corp.     786        15
* F45 Training Holdings Inc.     953        15
1 Krispy Kreme Inc.   1,023        15
* Container Store Group Inc.   1,541        14
  Tilly's Inc. Class A   1,108        14
* Full House Resorts Inc.   1,583        14
* El Pollo Loco Holdings Inc.     948        13
* Motorcar Parts of America Inc.     818        13
* Noodles & Co. Class A   1,968        13
* Red Robin Gourmet Burgers Inc.     752        13
* Instructure Holdings Inc.     559        13
* Snap One Holdings Corp.     646        13
* Cooper-Standard Holdings Inc.     910        12
* Genius Brands International Inc.  13,707        12
* Lands' End Inc.     694        12
* Alta Equipment Group Inc.     969        12
* NEOGAMES SA     542        12
* ONE Group Hospitality Inc.     983        12
* Duluth Holdings Inc. Class B     760        11
* PlayAGS Inc.   1,339        11
  Rocky Brands Inc.     282        11
* Vera Bradley Inc.   1,433        11
* Romeo Power Inc.   5,878        11
* Xponential Fitness Inc. Class A     519        11
* Barnes & Noble Education Inc.   1,856        10
* Eastman Kodak Co.   2,174        10
* Fiesta Restaurant Group Inc.     999        10
  Hooker Furnishings Corp.     498        10
  Superior Group of Cos. Inc.     500        10
* American Outdoor Brands Inc.     661        10
* Thryv Holdings Inc.     327        10
* Traeger Inc.   1,061        10
* Kirkland's Inc.     678         9
* Kura Sushi USA Inc. Class A     174         9
1 Weber Inc. Class A     797         9
* Udemy Inc.     679         9
* Central Garden & Pet Co.     171         8
* Mesa Air Group Inc.   1,765         8
 
8

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  National CineMedia Inc.   2,831         8
  Bassett Furniture Industries Inc.     470         8
* VOXX International Corp. Class A     792         8
  Nathan's Famous Inc.     141         8
  Paramount Global Class A     228         8
*,1 Arcimoto Inc.   1,329         8
* First Watch Restaurant Group Inc.     541         8
  Escalade Inc.     523         7
  Flexsteel Industries Inc.     337         7
* Liberty TripAdvisor Holdings Inc. Class A   3,372         7
  Lifetime Brands Inc.     528         7
* Nautilus Inc.   1,444         7
* Lazydays Holdings Inc.     370         7
* CarLotz Inc.   3,473         7
  JOANN Inc.     585         7
* Drive Shack Inc.   4,173         6
* Legacy Housing Corp.     255         6
* Shift Technologies Inc.   3,014         6
* Solo Brands Inc. Class A     552         6
* Biglari Holdings Inc. Class B      37         5
  NL Industries Inc.     759         5
* CuriosityStream Inc.   1,264         5
* Stonemor Inc.   2,084         5
* Outbrain Inc.     411         5
* Torrid Holdings Inc.     617         5
* aka Brands Holding Corp.     601         5
* Rent the Runway Inc. Class A     834         5
* Lulu's Fashion Lounge Holdings Inc.     518         5
  Carrols Restaurant Group Inc.   1,595         4
  Hamilton Beach Brands Holding Co. Class A     282         4
  Rush Enterprises Inc. Class B      83         4
  Marine Products Corp.     357         4
* Emerald Holding Inc.   1,078         4
* XL Fleet Corp.   1,936         4
* Aterian Inc.   1,261         4
* Esports Technologies Inc.     512         4
* Landsea Homes Corp.     645         4
* Revlon Inc. Class A     358         3
* Chicken Soup For The Soul Entertainment Inc.     337         3
* Hall of Fame Resort & Entertainment Co.   2,783         3
* Eros STX Global Corp.     855         3
* Fluent Inc.   1,630         2
* HyreCar Inc.     884         2
* Dutch Bros Inc. Class A      50         2
* Sweetgreen Inc. Class A      65         2
* Arhaus Inc.     231         2
* Brilliant Earth Group Inc. Class A     113         1
        320,296
Consumer Staples (5.1%)
  Procter & Gamble Co. 115,417    17,992
  Coca-Cola Co. 186,342    11,598
  PepsiCo Inc.  66,362    10,866
  Philip Morris International Inc.  74,577     7,538
  CVS Health Corp.  63,068     6,537
    Shares Market
Value•

($000)
  Altria Group Inc.  88,718     4,550
  Mondelez International Inc. Class A  67,055     4,391
  Colgate-Palmolive Co.  40,222     3,095
  Sysco Corp.  24,429     2,128
  Kimberly-Clark Corp.  16,135     2,100
  Archer-Daniels-Midland Co.  26,641     2,090
  McKesson Corp.   7,330     2,015
  General Mills Inc.  29,202     1,969
  Corteva Inc.  34,925     1,817
  Kroger Co.  35,181     1,646
  Constellation Brands Inc. Class A   7,454     1,607
  Walgreens Boots Alliance Inc.  34,246     1,578
* Monster Beverage Corp.  17,709     1,495
  Hershey Co.   7,033     1,423
  Kraft Heinz Co.  33,236     1,304
  Keurig Dr Pepper Inc.  33,213     1,284
  Tyson Foods Inc. Class A  13,787     1,278
  Church & Dwight Co. Inc.  11,649     1,140
  McCormick & Co. Inc.  11,905     1,133
  AmerisourceBergen Corp. Class A   7,121     1,015
  Clorox Co.   5,784       843
  Conagra Brands Inc.  22,344       781
  Kellogg Co.  12,100       774
  Bunge Ltd.   6,564       686
  J M Smucker Co.   5,046       680
  Hormel Foods Corp.  13,399       638
  Brown-Forman Corp. Class B   9,499       620
* Darling Ingredients Inc.   7,723       560
  Lamb Weston Holdings Inc.   6,930       460
  Molson Coors Beverage Co. Class B   8,456       441
  Campbell Soup Co.   9,317       419
* US Foods Holding Corp  10,334       404
* Performance Food Group Co.   7,107       398
  Casey's General Stores Inc.   1,756       330
* Post Holdings Inc.   2,839       299
  Ingredion Inc.   3,224       286
  Flowers Foods Inc.   9,091       249
  Albertsons Cos. Inc. Class A   7,587       221
  Spectrum Brands Holdings Inc.   2,044       190
* Freshpet Inc.   1,906       182
* Boston Beer Co. Inc. Class A     456       175
  Sanderson Farms Inc.     946       169
* Herbalife Nutrition Ltd.   4,754       169
* Celsius Holdings Inc.   2,590       165
* Hain Celestial Group Inc.   4,361       159
* Simply Good Foods Co.   3,924       156
  Lancaster Colony Corp.     891       150
* Sprouts Farmers Market Inc.   5,264       150
* Hostess Brands Inc. Class A   6,312       136
*,1 Beyond Meat Inc.   2,781       130
  WD-40 Co.     600       127
* Grocery Outlet Holding Corp.   4,219       117
  Coca-Cola Consolidated Inc.     228       113
  Energizer Holdings Inc.   3,344       112
  Nu Skin Enterprises Inc. Class A   2,381       110
* United Natural Foods Inc.   2,709       109
  J & J Snack Foods Corp.     661       108
  Medifast Inc.     571       106
  Primo Water Corp.   6,568        96
  Edgewell Personal Care Co.   2,634        94
 
9

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  B&G Foods Inc.   3,153        93
* TreeHouse Foods Inc.   2,305        90
  Cal-Maine Foods Inc.   2,020        89
* Beauty Health Co.   4,261        83
  Brown-Forman Corp. Class A   1,324        81
  Vector Group Ltd.   7,143        80
  Reynolds Consumer Products Inc.   2,660        79
* Olaplex Holdings Inc.   4,512        76
  Andersons Inc.   1,525        70
  Universal Corp.   1,152        62
* Pilgrim's Pride Corp.   2,357        56
  MGP Ingredients Inc.     689        55
  Ingles Markets Inc. Class A     651        54
  National Beverage Corp.   1,212        53
* Chefs' Warehouse Inc.   1,523        50
* BellRing Brands Inc. Class A   1,930        49
* USANA Health Sciences Inc.     533        47
  Seaboard Corp.      12        46
  Weis Markets Inc.     727        45
  Utz Brands Inc.   2,930        45
  SpartanNash Co.   1,552        44
  Fresh Del Monte Produce Inc.   1,637        42
* Hydrofarm Holdings Group Inc.   2,051        42
  ACCO Brands Corp.   4,752        41
* Duckhorn Portfolio Inc.   1,786        35
  Calavo Growers Inc.     792        34
  PetMed Express Inc.   1,026        28
*,1 Tattooed Chef Inc.   2,273        28
  John B Sanfilippo & Son Inc.     345        27
  Tootsie Roll Industries Inc.     764        26
* Rite Aid Corp.   2,689        25
* GrowGeneration Corp.   2,934        25
* Honest Co. Inc.   4,232        24
  Turning Point Brands Inc.     680        23
* Mission Produce Inc.   1,806        23
* PLBY Group Inc.   1,450        23
* Veru Inc.   3,154        18
* Vital Farms Inc.   1,284        18
* 22nd Century Group Inc.   7,305        17
* Whole Earth Brands Inc.   1,819        17
* Sovos Brands Inc.   1,273        15
* Landec Corp.   1,164        13
* Seneca Foods Corp. Class A     267        13
  Nature's Sunshine Products Inc.     687        12
*,1 AppHarvest Inc.   3,250        12
* HF Foods Group Inc.   1,690        11
  Limoneira Co.     630         9
  Natural Grocers by Vitamin Cottage Inc.     516         9
* Vita Coco Co. Inc.     758         9
  Village Super Market Inc. Class A     353         8
  Oil-Dri Corp. of America     226         7
* NewAge Inc.   6,726         5
* AquaBounty Technologies Inc.   2,649         4
* Zevia PBC Class A     541         3
* Laird Superfood Inc.     314         2
* MedAvail Holdings Inc.     591         1
        107,697
Energy (3.8%)
  Exxon Mobil Corp. 202,943    15,915
  Chevron Corp.  92,755    13,357
    Shares Market
Value•

($000)
  ConocoPhillips  63,207     5,996
  EOG Resources Inc.  27,891     3,205
  Schlumberger NV  66,848     2,623
  Pioneer Natural Resources Co.  10,334     2,476
  Marathon Petroleum Corp.  29,427     2,291
  Devon Energy Corp.  32,222     1,919
  Williams Cos. Inc.  58,184     1,820
  Occidental Petroleum Corp.  40,239     1,760
  Phillips 66  20,872     1,758
  Valero Energy Corp.  19,498     1,628
  Kinder Morgan Inc.  93,126     1,620
  Cheniere Energy Inc.  11,155     1,482
  Halliburton Co.  42,266     1,417
  ONEOK Inc.  21,124     1,379
  Hess Corp.  13,173     1,331
  Diamondback Energy Inc.   8,583     1,185
* Enphase Energy Inc.   6,327     1,055
  Baker Hughes Co. Class A  35,174     1,033
  Coterra Energy Inc.  38,115       889
  Marathon Oil Corp.  36,788       830
  Targa Resources Corp.  10,757       703
* Plug Power Inc.  24,458       619
  APA Corp.  17,194       613
  Ovintiv Inc. (XNYS)  12,207       560
* First Solar Inc.   5,062       381
  Chesapeake Energy Corp.   4,926       381
  Texas Pacific Land Corp.     282       335
  EQT Corp.  14,323       331
  NOV Inc.  18,615       319
* Antero Resources Corp.  13,698       314
  PDC Energy Inc.   4,724       305
  Matador Resources Co.   5,339       265
* Range Resources Corp.  11,510       264
  DTE Midstream LLC   4,690       249
  Murphy Oil Corp.   7,057       245
* Southwestern Energy Co.  48,657       243
  HollyFrontier Corp.   7,037       214
  SM Energy Co.   5,787       205
* ChampionX Corp.   9,362       200
  Continental Resources Inc.   3,209       178
* Denbury Inc.   2,443       177
  Helmerich & Payne Inc.   4,707       171
  California Resources Corp.   3,884       160
* ChargePoint Holdings Inc.  10,785       157
  Antero Midstream Corp.  15,586       156
* CNX Resources Corp.   9,567       156
  Magnolia Oil & Gas Corp. Class A   6,674       149
  Cactus Inc. Class A   2,749       139
* Renewable Energy Group Inc.   2,178       134
  Whiting Petroleum Corp.   1,802       133
  Oasis Petroleum Inc.     984       130
  Equitrans Midstream Corp.  20,068       129
  Arcosa Inc.   2,421       127
* Callon Petroleum Co.   2,237       126
  Patterson-UTI Energy Inc.   7,965       115
* Kosmos Energy Ltd.  22,488       109
* FuelCell Energy Inc.  17,682       106
  Civitas Resources Inc.   2,104       106
* Ameresco Inc. Class A   1,477        95
  World Fuel Services Corp.   3,089        88
* Golar LNG Ltd.   4,994        87
  Arch Resources Inc.     680        81
* Green Plains Inc.   2,409        79
* Peabody Energy Corp.   4,471        78
 
10

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Shoals Technologies Group Inc. Class A   4,917        78
* Centennial Resource Development Inc. Class A   8,786        77
* PBF Energy Inc. Class A   4,584        76
* Tellurian Inc.  19,065        73
  Warrior Met Coal Inc.   2,305        73
* Oceaneering International Inc.   4,832        71
* SunPower Corp.   3,952        71
* Array Technologies Inc.   6,126        69
* NexTier Oilfield Solutions Inc.   8,377        67
  Northern Oil and Gas Inc.   2,621        66
  Archrock Inc.   6,924        58
* Delek US Holdings Inc.   3,308        57
* Liberty Oilfield Services Inc. Class A   4,352        54
* ProPetro Holding Corp.   4,144        53
  Brigham Minerals Inc. Class A   2,270        52
* CONSOL Energy Inc.   1,665        51
* NOW Inc.   5,354        50
* Stem Inc.   5,143        49
* Laredo Petroleum Inc.     609        47
* Nabors Industries Ltd. (XNYS)     348        44
* Bristow Group Inc.   1,276        42
* MRC Global Inc.   3,916        40
* Dril-Quip Inc.   1,354        39
* Expro Group Holdings NV   2,337        38
* Comstock Resources Inc.   4,457        37
* Ranger Oil Corp. Class A   1,065        36
  New Fortress Energy Inc. Class A   1,294        36
  Berry Corp.   3,440        34
* Gevo Inc.   9,476        34
  SunCoke Energy Inc.   4,022        32
* Tidewater Inc.   2,062        31
* Par Pacific Holdings Inc.   2,240        30
* RPC Inc.   3,362        29
* Select Energy Services Inc. Class A   3,511        29
* Helix Energy Solutions Group Inc.   6,960        28
* Talos Energy Inc.   1,786        28
* DMC Global Inc.     902        26
* REX American Resources Corp.     277        26
* Fluence Energy Inc.   1,820        25
  CVR Energy Inc.   1,300        23
* TPI Composites Inc.   1,678        23
* Crescent Energy Inc. Class A   1,425        22
* Centrus Energy Corp. Class A     460        21
* Aemetis Inc.   1,528        20
* W&T Offshore Inc.   4,218        20
* Earthstone Energy Inc. Class A   1,450        19
* TETRA Technologies Inc.   5,944        19
* National Energy Services Reunited Corp.   1,924        17
  Solaris Oilfield Infrastructure Inc. Class A   1,519        16
* Newpark Resources Inc.   4,046        15
* Oil States International Inc.   2,907        15
* American Superconductor Corp.   1,401        12
    Shares Market
Value•

($000)
* FTS International Inc. Class A     448        12
  Kinetik Holdings Inc.     163        11
  Falcon Minerals Corp.   1,756        10
  HighPeak Energy Inc.     423         9
* Matrix Service Co.   1,127         8
* Beam Global     444         6
* FTC Solar Inc.     963         5
  Riley Exploration Permian Inc.     119         4
* Advent Technologies Holdings Inc.     876         2
* Nabors Industries Ltd. Warrants Exp. 6/11/26     126         2
         79,048
Financials (11.7%)
* Berkshire Hathaway Inc. Class B  88,021    28,294
  JPMorgan Chase & Co. 140,786    19,963
  Bank of America Corp. 345,390    15,266
  Wells Fargo & Co. 191,713    10,232
  S&P Global Inc.  16,616     6,243
  Charles Schwab Corp.  72,021     6,083
  Morgan Stanley  64,125     5,819
  Citigroup Inc.  95,217     5,640
  Goldman Sachs Group Inc.  15,614     5,329
  BlackRock Inc.   6,848     5,094
  Chubb Ltd.  20,554     4,186
  Blackstone Inc.  32,566     4,151
  CME Group Inc.  17,181     4,064
  PNC Financial Services Group Inc.  20,380     4,061
  Truist Financial Corp.  64,361     4,005
  Marsh & McLennan Cos. Inc.  24,417     3,795
  US Bancorp  64,400     3,641
  Intercontinental Exchange Inc.  26,710     3,422
  Aon plc Class A (XNYS)  10,459     3,055
  Progressive Corp.  28,018     2,968
  Moody's Corp.   7,773     2,503
  American International Group Inc.  39,777     2,436
  MetLife Inc.  34,147     2,307
  Prudential Financial Inc.  18,158     2,028
  Travelers Cos. Inc.  11,777     2,024
  Bank of New York Mellon Corp.  36,207     1,924
  Aflac Inc.  31,455     1,922
  MSCI Inc. Class A   3,820     1,916
  Discover Financial Services  13,977     1,725
  Allstate Corp.  13,720     1,679
* SVB Financial Group   2,698     1,635
  Ameriprise Financial Inc.   5,340     1,601
  KKR & Co. Inc.  26,486     1,592
  Fifth Third Bancorp  32,621     1,561
  Arthur J Gallagher & Co.   9,842     1,557
  T Rowe Price Group Inc.  10,744     1,553
  State Street Corp.  17,399     1,485
  First Republic Bank   8,508     1,474
  Willis Towers Watson plc   5,929     1,318
  Apollo Global Management Inc.  17,533     1,144
  Hartford Financial Services Group Inc.  16,343     1,135
  KeyCorp  44,636     1,119
  M&T Bank Corp.   6,116     1,114
  Northern Trust Corp.   9,774     1,113
  Regions Financial Corp.  45,765     1,107
 
11

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  Citizens Financial Group Inc.  20,270     1,063
  Huntington Bancshares Inc.  68,360     1,061
  Signature Bank   2,849       983
  Raymond James Financial Inc.   8,875       973
  Nasdaq Inc.   5,601       959
  Principal Financial Group Inc.  12,595       890
  Cincinnati Financial Corp.   7,201       884
* Arch Capital Group Ltd.  17,758       837
  Ally Financial Inc.  16,666       832
  Broadridge Financial Solutions Inc.   5,510       806
* Markel Corp.     647       804
  Brown & Brown Inc.  11,113       751
  FactSet Research Systems Inc.   1,821       739
  LPL Financial Holdings Inc.   3,786       685
  MarketAxess Holdings Inc.   1,793       684
  Loews Corp.  10,325       633
  Fidelity National Financial Inc.  13,109       624
  W R Berkley Corp.   6,659       601
  Cboe Global Markets Inc.   5,091       597
  Comerica Inc.   6,239       596
  First Horizon Corp.  25,265       593
  East West Bancorp Inc.   6,763       592
  Lincoln National Corp.   8,572       578
  Ares Management Corp. Class A   6,862       556
  Equitable Holdings Inc.  17,024       556
  Everest Re Group Ltd.   1,843       550
  Zions Bancorp NA   7,320       519
  Webster Financial Corp.   8,546       515
  Globe Life Inc.   4,852       490
  Annaly Capital Management Inc.  67,571       470
  Assurant Inc.   2,720       462
  First Citizens BancShares Inc. Class A     583       460
  Western Alliance Bancorp   4,781       448
  American Financial Group Inc.   3,284       445
  People's United Financial Inc.  20,337       429
  Tradeweb Markets Inc. Class A   5,008       423
* Alleghany Corp.     635       420
  Franklin Resources Inc.  13,731       408
  Commerce Bancshares Inc.   5,392       387
  Cullen/Frost Bankers Inc.   2,709       381
  Jefferies Financial Group Inc.  10,538       375
  Carlyle Group Inc.   7,854       368
  Synovus Financial Corp.   6,820       359
  Voya Financial Inc.   5,308       357
  Pinnacle Financial Partners Inc.   3,512       355
  Reinsurance Group of America Inc.   3,201       355
  Old Republic International Corp.  13,374       352
  Stifel Financial Corp.   4,784       352
  Popular Inc.   3,822       351
* Upstart Holdings Inc.   2,207       349
  First American Financial Corp.   5,067       340
  Invesco Ltd.  15,821       336
  Starwood Property Trust Inc.  13,915       332
  RenaissanceRe Holdings Ltd.   2,179       329
  Prosperity Bancshares Inc.   4,334       323
  AGNC Investment Corp.  24,890       321
    Shares Market
Value•

($000)
  Morningstar Inc.   1,102       309
  SEI Investments Co.   5,160       302
  SouthState Corp.   3,332       300
  First Financial Bankshares Inc.   6,212       298
  Glacier Bancorp Inc.   5,266       292
  Cadence Bank   8,983       284
  Bank OZK   5,889       277
  OneMain Holdings Inc.   5,347       273
  PacWest Bancorp   5,529       273
  SLM Corp.  13,814       272
  Valley National Bancorp  19,407       271
  Wintrust Financial Corp.   2,730       271
  Janus Henderson Group plc   8,066       271
  Affiliated Managers Group Inc.   1,920       266
  Unum Group   9,523       266
  Interactive Brokers Group Inc. Class A   3,880       257
  Old National Bancorp  13,989       256
  New York Community Bancorp Inc.  21,993       254
  Houlihan Lokey Inc. Class A   2,460       253
  Blackstone Mortgage Trust Inc. Class A   7,732       246
  Primerica Inc.   1,855       241
  MGIC Investment Corp.  15,592       237
  Hanover Insurance Group Inc.   1,680       234
  United Bankshares Inc.   6,253       229
  Selective Insurance Group Inc.   2,745       228
  Evercore Inc. Class A   1,786       227
  Hancock Whitney Corp.   4,084       227
  Essent Group Ltd.   5,148       227
  FNB Corp.  16,711       224
  Umpqua Holdings Corp.  10,334       221
* Credit Acceptance Corp.     396       218
  New Residential Investment Corp.  20,932       217
  Erie Indemnity Co. Class A   1,224       214
  UMB Financial Corp.   2,102       214
  Kinsale Capital Group Inc.     988       207
  ServisFirst Bancshares Inc.   2,371       207
  Radian Group Inc.   8,589       205
  Assured Guaranty Ltd.   3,278       203
* Brighthouse Financial Inc.   3,866       202
  Axis Capital Holdings Ltd.   3,538       193
  Community Bank System Inc.   2,564       187
  RLI Corp.   1,841       187
  BankUnited Inc.   4,207       186
  Independent Bank Corp. (XNGS)   2,136       184
  Walker & Dunlop Inc.   1,325       183
  First Hawaiian Inc.   6,264       182
  Investors Bancorp Inc.  10,789       181
  United Community Banks Inc.   4,660       180
  Eastern Bankshares Inc.   8,238       180
  Associated Banc-Corp.   7,243       177
* Silvergate Capital Corp. Class A   1,334       171
  Cathay General Bancorp   3,615       170
  Pacific Premier Bancorp Inc.   4,405       170
  Lazard Ltd. Class A   4,872       168
  Home BancShares Inc.   7,085       166
* Enstar Group Ltd.     583       166
 
12

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Trupanion Inc.   1,845       165
  First Interstate BancSystem Inc. Class A   4,038       164
  Bank of Hawaii Corp.   1,893       163
  Simmons First National Corp. Class A   5,644       161
  Kemper Corp.   2,951       158
  WSFS Financial Corp.   3,107       158
  Ameris Bancorp   3,129       155
* Texas Capital Bancshares Inc.   2,295       153
  American Equity Investment Life Holding Co.   4,035       152
  BOK Financial Corp.   1,479       152
  Virtu Financial Inc. Class A   4,331       152
* Mr Cooper Group Inc.   2,930       149
  CVB Financial Corp.   6,263       148
  White Mountains Insurance Group Ltd.     141       148
  Atlantic Union Bankshares Corp.   3,607       147
* Focus Financial Partners Inc. Class A   2,913       146
  First BanCorp. (XNYS)  10,007       141
  FirstCash Holdings Inc.   1,951       141
  Chimera Investment Corp.  11,546       140
  Fulton Financial Corp.   7,764       140
  Independent Bank Group Inc.   1,817       140
* Axos Financial Inc.   2,527       138
  Moelis & Co. Class A   2,867       138
  Federated Hermes Inc.   4,167       136
  CNO Financial Group Inc.   5,570       135
  Navient Corp.   7,614       134
  Hamilton Lane Inc. Class A   1,617       126
  Columbia Banking System Inc.   3,393       124
  First Merchants Corp.   2,840       124
  Arbor Realty Trust Inc.   6,771       122
  Piper Sandler Cos.     814       120
  Flagstar Bancorp Inc.   2,585       118
*,1 Marathon Digital Holdings Inc.   4,549       115
  International Bancshares Corp.   2,579       111
* Triumph Bancorp Inc.   1,105       111
  WesBanco Inc.   3,029       111
* Cannae Holdings Inc.   4,116       110
  Sandy Spring Bancorp Inc.   2,244       106
* Open Lending Corp. Class A   5,042       105
  Washington Federal Inc.   2,916       104
  Artisan Partners Asset Management Inc. Class A   2,696       103
  First Financial Bancorp   4,111       101
  Live Oak Bancshares Inc.   1,542        99
  Hope Bancorp Inc.   5,778        98
  Hilltop Holdings Inc.   3,125        97
  Towne Bank   3,122        97
* Genworth Financial Inc. Class A  23,550        96
* NMI Holdings Inc. Class A   4,133        96
  Banner Corp.   1,515        93
  Cohen & Steers Inc.   1,133        92
  Eagle Bancorp Inc.   1,534        92
  Renasant Corp.   2,531        92
  Heartland Financial USA Inc.   1,839        91
  Trustmark Corp.   2,886        91
* PRA Group Inc.   1,987        89
  Park National Corp.     667        89
    Shares Market
Value•

($000)
  PennyMac Financial Services Inc.   1,545        89
  Lakeland Financial Corp.   1,098        88
  Stewart Information Services Corp.   1,298        88
  Bank of NT Butterfield & Son Ltd.   2,303        88
  Meta Financial Group Inc.   1,568        87
* Encore Capital Group Inc.   1,305        86
* LendingClub Corp.   4,631        86
  Northwest Bancshares Inc.   6,099        86
  Veritex Holdings Inc.   2,119        86
* Customers Bancorp Inc.   1,379        85
  Horace Mann Educators Corp.   2,031        84
  Seacoast Banking Corp. of Florida   2,262        83
  Enterprise Financial Services Corp.   1,665        82
  Provident Financial Services Inc.   3,454        82
  Two Harbors Investment Corp.  16,232        82
  Rocket Cos. Inc. Class A   6,387        82
  MFA Financial Inc.  19,677        80
  NBT Bancorp Inc.   2,056        79
  Apollo Commercial Real Estate Finance Inc.   5,995        78
  Virtus Investment Partners Inc.     325        78
  PJT Partners Inc. Class A   1,201        77
  First Commonwealth Financial Corp.   4,733        76
* Palomar Holdings Inc.   1,176        76
  iStar Inc.   2,979        75
  Mercury General Corp.   1,365        75
  Westamerica BanCorp.   1,268        75
  BGC Partners Inc. Class A  16,158        74
* Bancorp Inc.   2,538        74
  Goosehead Insurance Inc. Class A     849        74
* Enova International Inc.   1,771        72
  Berkshire Hills Bancorp Inc.   2,272        71
* LendingTree Inc.     591        71
  OFG Bancorp   2,475        70
* Riot Blockchain Inc.   4,060        70
  Capitol Federal Financial Inc.   6,303        69
  First Busey Corp.   2,471        68
  PennyMac Mortgage Investment Trust   4,385        68
  FB Financial Corp.   1,517        67
  Nelnet Inc. Class A     829        67
* BRP Group Inc. Class A   2,405        67
  StepStone Group Inc. Class A   1,934        67
  Argo Group International Holdings Ltd.   1,565        66
  Brightsphere Investment Group Inc.   2,754        66
  American National Group Inc.     345        65
  Brookline Bancorp Inc.   3,732        64
  National Bank Holdings Corp. Class A   1,439        64
  ProAssurance Corp.   2,644        64
  CNA Financial Corp.   1,350        62
  Southside Bancshares Inc.   1,477        62
* StoneX Group Inc.     820        62
  B Riley Financial Inc.   1,030        61
 
13

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  First Bancorp (XNGS)   1,352        61
  S&T Bancorp Inc.   1,936        60
  BancFirst Corp.     757        59
  OceanFirst Financial Corp.   2,644        59
  Broadmark Realty Capital Inc.   6,870        59
  Stock Yards Bancorp Inc.   1,064        57
  TriCo Bancshares   1,313        57
* Nicolet Bankshares Inc.     589        56
  Safety Insurance Group Inc.     668        56
  ConnectOne Bancorp Inc.   1,666        55
  Federal Agricultural Mortgage Corp. Class C     445        55
  Ladder Capital Corp. Class A   4,801        55
  Lakeland Bancorp Inc.   3,023        55
  New York Mortgage Trust Inc.  15,758        55
  Dime Community Bancshares Inc.   1,624        55
  City Holding Co.     679        54
  HomeStreet Inc.   1,022        53
  First Foundation Inc.   1,935        52
  Employers Holdings Inc.   1,306        51
  Redwood Trust Inc.   4,891        51
  Preferred Bank     632        50
* Metropolitan Bank Holding Corp.     480        49
  Origin Bancorp Inc.   1,051        49
  Premier Financial Corp.   1,608        49
* Blucora Inc.   2,398        48
  Ellington Financial Inc.   2,639        47
* MoneyGram International Inc.   4,395        47
  Banc of California Inc.   2,359        46
  German American Bancorp Inc.   1,155        46
  Kearny Financial Corp.   3,449        46
  James River Group Holdings Ltd.   1,739        46
  State Auto Financial Corp.     857        45
  Washington Trust Bancorp Inc.     831        45
  Amerant Bancorp Inc.   1,317        43
  Heritage Financial Corp.   1,628        43
  QCR Holdings Inc.     766        43
* Lemonade Inc.   1,694        43
  Horizon Bancorp Inc.   2,082        42
  Ready Capital Corp.   2,797        42
  Allegiance Bancshares Inc.     957        41
  Hanmi Financial Corp.   1,567        41
* TriState Capital Holdings Inc.   1,230        41
  Univest Financial Corp.   1,401        41
* World Acceptance Corp.     210        41
* Columbia Financial Inc.   1,863        40
  Cowen Inc. Class A   1,364        40
  1st Source Corp.     835        40
  KKR Real Estate Finance Trust Inc.   1,849        40
  TFS Financial Corp.   2,287        39
  Peoples Bancorp Inc.   1,202        38
  WisdomTree Investments Inc.   6,755        38
* CrossFirst Bankshares Inc.   2,348        37
  Central Pacific Financial Corp.   1,244        36
  Brightspire Capital Inc. Class A   4,085        36
  Byline Bancorp Inc.   1,272        35
  First Bancorp Inc. (XNMS)     984        35
  Invesco Mortgage Capital Inc.  15,882        35
    Shares Market
Value•

($000)
* MBIA Inc.   2,312        35
  Northfield Bancorp Inc.   2,211        35
  AMERISAFE Inc.     718        34
  Camden National Corp.     720        34
  Flushing Financial Corp.   1,432        34
  HarborOne Bancorp Inc.   2,318        34
  Heritage Commerce Corp.   2,837        34
* Atlantic Capital Bancshares Inc.   1,018        33
  Tompkins Financial Corp.     415        33
  ARMOUR Residential REIT Inc.   3,968        32
  Community Trust Bancorp Inc.     760        32
  First Mid Bancshares Inc.     808        32
  Great Southern Bancorp Inc.     519        32
  Peapack-Gladstone Financial Corp.     843        32
* SiriusPoint Ltd.   4,343        32
* Ambac Financial Group Inc.   2,348        30
  Granite Point Mortgage Trust Inc.   2,650        30
  Mercantile Bank Corp.     805        30
  Cambridge Bancorp     331        29
  TPG RE Finance Trust Inc.   2,484        29
  Bank of Marin Bancorp     799        28
  First Financial Corp.     593        28
  United Fire Group Inc.   1,022        28
  TrustCo Bank Corp. NY     817        28
  Diamond Hill Investment Group Inc.     138        27
  Midland States Bancorp Inc.     913        27
  Dynex Capital Inc.   1,685        26
  Hingham Institution for Savings      73        26
  National Western Life Group Inc. Class A     124        26
  Business First Bancshares Inc.     943        25
  Farmers National Banc Corp.   1,480        25
  CBTX Inc.     800        24
  First of Long Island Corp.   1,104        24
  Independent Bank Corp.   1,025        24
* Carter Bankshares Inc.   1,413        24
  Arrow Financial Corp.     676        23
  Bank First Corp.     331        23
  First Community Bankshares Inc.     789        23
  Orchid Island Capital Inc.   7,139        23
* Coastal Financial Corp.     491        23
  Metrocity Bankshares Inc.     964        23
  Franklin BSP Realty Trust Inc. REIT   1,781        23
  Merchants Bancorp     759        22
  Banco Latinoamericano de Comercio Exterior SA Class E   1,407        22
  Financial Institutions Inc.     649        21
  MidWestOne Financial Group Inc.     705        21
  Republic Bancorp Inc. Class A     456        21
  Capstar Financial Holdings Inc.     994        21
  GCM Grosvenor Inc. Class A   2,060        21
  CNB Financial Corp.     748        20
  Equity Bancshares Inc. Class A     644        20
 
14

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  HomeTrust Bancshares Inc.     656        20
  West BanCorp. Inc.     682        20
  Bar Harbor Bankshares     656        19
  Citizens & Northern Corp.     756        19
  First Internet Bancorp     383        19
  Oppenheimer Holdings Inc. Class A     448        19
  SmartFinancial Inc.     729        19
  Southern Missouri Bancorp Inc.     362        19
  Waterstone Financial Inc.     989        19
* Southern First Bancshares Inc.     329        19
  Mid Penn Bancorp Inc.     692        19
  UWM Holdings Corp.   4,357        19
  Five Star Bancorp     620        19
* Bridgewater Bancshares Inc.   1,055        18
* eHealth Inc.   1,174        18
  HCI Group Inc.     282        18
  MVB Financial Corp.     475        18
  Old Second Bancorp Inc.   1,294        18
  Regional Management Corp.     351        18
  Sierra Bancorp     663        18
  Spirit of Texas Bancshares Inc.     637        18
  Alerus Financial Corp.     612        18
  Primis Financial Corp.   1,278        18
* Blue Foundry Bancorp   1,317        18
  Capital City Bank Group Inc.     600        17
  American National Bankshares Inc.     417        16
  Enterprise Bancorp Inc.     391        16
* Oportun Financial Corp.     951        16
* Assetmark Financial Holdings Inc.     636        15
  Civista Bancshares Inc.     606        15
  Universal Insurance Holdings Inc.   1,309        15
  Curo Group Holdings Corp.   1,028        14
  First Bancorp Inc. (XNGS)     471        14
  Great Ajax Corp.   1,251        14
  Greenhill & Co. Inc.     808        14
  Home Bancorp Inc.     353        14
  Northrim BanCorp Inc.     310        14
  PCSB Financial Corp.     778        14
  Peoples Financial Services Corp.     300        14
  Enact Holdings Inc.     673        14
* EZCorp. Inc. Class A   2,107        13
  Guaranty Bancshares Inc.     382        13
  RBB Bancorp     534        13
  Summit Financial Group Inc.     482        13
  Tiptree Inc.   1,054        13
  Sculptor Capital Management Inc. Class A   1,045        13
  South Plains Financial Inc.     453        13
  AFC Gamma Inc.     656        13
  Blue Ridge Bankshares Inc.     839        13
  FS Bancorp Inc.     360        12
  Investors Title Co.      63        12
  Orrstown Financial Services Inc.     486        12
  Macatawa Bank Corp.   1,351        12
  Capital Bancorp Inc.     468        12
  Provident Bancorp Inc.     763        12
* Ocwen Financial Corp.     411        12
  Donegal Group Inc. Class A     840        11
    Shares Market
Value•

($000)
  Fidelity D&D Bancorp Inc.     224        11
* Republic First Bancorp Inc.   1,992        10
  Red River Bancshares Inc.     192        10
  Amalgamated Financial Corp.     558        10
* Maiden Holdings Ltd.   3,520         9
  First Bank     544         8
* Greenlight Capital Re Ltd. Class A   1,163         8
  HBT Financial Inc.     424         8
  Crawford & Co. Class A     861         7
  Heritage Insurance Holdings Inc.   1,286         7
  Pzena Investment Management Inc. Class A     726         7
  Associated Capital Group Inc. Class A     145         6
  Luther Burbank Corp.     476         6
* GoHealth Inc. Class A   2,531         6
* Trean Insurance Group Inc.     788         6
* MetroMile Inc.   4,566         6
  GAMCO Investors Inc. Class A     224         5
* NI Holdings Inc.     304         5
* Pioneer Bancorp Inc.     500         5
* Velocity Financial LLC     431         5
* Finance of America Cos. Inc. Class A   1,699         5
* Third Coast Bancshares Inc.     218         5
  Angel Oak Mortgage Inc.     232         4
* TPG Inc.     102         3
* P10 Inc. Class A     163         2
        246,143
Health Care (12.6%)
  UnitedHealth Group Inc.  45,083    21,454
  Johnson & Johnson 126,282    20,782
  Pfizer Inc. 267,351    12,549
  AbbVie Inc.  84,615    12,504
  Thermo Fisher Scientific Inc.  18,827    10,242
  Eli Lilly & Co.  40,588    10,145
  Abbott Laboratories  83,255    10,042
  Merck & Co. Inc. 121,312     9,290
  Danaher Corp.  30,378     8,336
  Bristol-Myers Squibb Co. 106,963     7,345
  Medtronic plc  64,334     6,754
  Amgen Inc.  27,176     6,155
  Anthem Inc.  11,720     5,296
* Intuitive Surgical Inc.  16,955     4,923
  Zoetis Inc.  22,724     4,400
  Stryker Corp.  16,693     4,396
  Becton Dickinson and Co.  13,678     3,711
  Cigna Corp.  15,560     3,700
  Gilead Sciences Inc.  60,019     3,625
* Edwards Lifesciences Corp.  29,557     3,321
* Boston Scientific Corp.  67,866     2,998
* Regeneron Pharmaceuticals Inc.   4,793     2,964
  HCA Healthcare Inc.  11,717     2,933
* Vertex Pharmaceuticals Inc.  12,163     2,798
  Humana Inc.   6,168     2,679
* Moderna Inc.  16,186     2,486
* Centene Corp.  27,606     2,281
* Illumina Inc.   6,970     2,276
* IDEXX Laboratories Inc.   4,044     2,153
* IQVIA Holdings Inc.   9,111     2,097
  Baxter International Inc.  24,092     2,047
* Align Technology Inc.   3,755     1,921
* DexCom Inc.   4,593     1,901
 
15

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  Agilent Technologies Inc.  14,506     1,891
  ResMed Inc.   6,877     1,697
* Veeva Systems Inc. Class A   6,479     1,484
* Biogen Inc.   6,962     1,469
  West Pharmaceutical Services Inc.   3,497     1,354
  Cerner Corp.  14,128     1,317
  Zimmer Biomet Holdings Inc.   9,935     1,264
* Laboratory Corp. of America Holdings   4,606     1,249
  PerkinElmer Inc.   6,008     1,079
* Avantor Inc.  28,913     1,003
  STERIS plc   4,092       982
  Cooper Cos. Inc.   2,309       944
* Horizon Therapeutics plc  10,315       940
* Alnylam Pharmaceuticals Inc.   5,664       894
* Hologic Inc.  12,075       859
* Molina Healthcare Inc.   2,743       842
* Insulet Corp.   3,167       838
* Catalent Inc.   8,131       830
* Seagen Inc.   6,281       809
  Bio-Techne Corp.   1,871       785
  Quest Diagnostics Inc.   5,858       769
  Teleflex Inc.   2,215       745
  Cardinal Health Inc.  13,433       726
* Charles River Laboratories International Inc.   2,387       695
* BioMarin Pharmaceutical Inc.   8,606       672
* ABIOMED Inc.   2,120       659
* Bio-Rad Laboratories Inc. Class A   1,022       640
  Viatris Inc.  57,764       636
* Exact Sciences Corp.   8,007       625
  Royalty Pharma plc Class A  15,507       609
* Elanco Animal Health Inc. (XNYS)  21,249       604
* Incyte Corp.   8,714       595
* Henry Schein Inc.   6,683       577
  DENTSPLY SIRONA Inc.  10,332       559
* Teladoc Health Inc.   7,189       546
* QIAGEN NV  10,879       541
* Repligen Corp.   2,612       514
  Universal Health Services Inc. Class B   3,397       489
  Organon & Co.  12,029       449
* Tenet Healthcare Corp.   5,039       433
* Jazz Pharmaceuticals plc   2,903       399
* Novocure Ltd.   4,873       399
* Neurocrine Biosciences Inc.   4,430       398
* Syneos Health Inc.   4,839       383
* Masimo Corp.   2,397       377
* Envista Holdings Corp.   7,646       367
* Penumbra Inc.   1,643       364
* DaVita Inc.   3,196       360
  Bruker Corp.   4,964       349
* United Therapeutics Corp.   2,088       347
  Chemed Corp.     717       343
* Tandem Diabetes Care Inc.   2,998       338
* Intellia Therapeutics Inc.   3,363       332
* 10X Genomics Inc. Class A   4,022       328
* Inspire Medical Systems Inc.   1,261       308
* Biohaven Pharmaceutical Holding Co. Ltd.   2,581       306
  Encompass Health Corp.   4,613       305
* Novavax Inc.   3,595       300
* Sarepta Therapeutics Inc.   3,919       300
* Exelixis Inc.  14,334       294
    Shares Market
Value•

($000)
* Guardant Health Inc.   4,370       290
* Shockwave Medical Inc.   1,587       281
* Omnicell Inc.   2,092       270
* Arena Pharmaceuticals Inc.   2,826       268
* Globus Medical Inc. Class A   3,695       260
* Natera Inc.   3,903       257
* Amedisys Inc.   1,570       252
* Integra LifeSciences Holdings Corp.   3,532       237
* Acadia Healthcare Co. Inc.   4,146       235
  Perrigo Co. plc   6,469       230
* ICU Medical Inc.     968       229
* Halozyme Therapeutics Inc.   6,427       228
* Ionis Pharmaceuticals Inc.   6,842       228
* Arrowhead Pharmaceuticals Inc.   4,925       217
* Ultragenyx Pharmaceutical Inc.   3,181       214
* HealthEquity Inc.   3,966       213
* Intra-Cellular Therapies Inc.   3,812       211
* Medpace Holdings Inc.   1,367       209
* Maravai LifeSciences Holdings Inc. Class A   5,325       208
* LivaNova plc   2,599       205
* LHC Group Inc.   1,491       203
  Premier Inc. Class A   5,629       202
  Ensign Group Inc.   2,350       197
* Option Care Health Inc.   7,665       197
  CONMED Corp.   1,334       195
* Alkermes plc   7,802       194
* Quidel Corp.   1,806       191
* Beam Therapeutics Inc.   2,420       190
* iRhythm Technologies Inc.   1,439       186
* Neogen Corp.   5,219       186
* STAAR Surgical Co.   2,278       181
* Mirati Therapeutics Inc.   1,995       176
* Blueprint Medicines Corp.   2,849       173
* agilon health Inc.   7,999       162
* Lantheus Holdings Inc.   3,276       157
* R1 RCM Inc.   5,764       157
  Owens & Minor Inc.   3,505       155
* Merit Medical Systems Inc.   2,363       154
* AtriCure Inc.   2,200       153
* Apellis Pharmaceuticals Inc.   3,417       145
* Arvinas Inc.   2,230       145
* BioCryst Pharmaceuticals Inc.   8,713       145
* ACADIA Pharmaceuticals Inc.   5,663       144
* Denali Therapeutics Inc.   4,417       144
* Inari Medical Inc.   1,630       143
* Haemonetics Corp.   2,449       141
* Pacira BioSciences Inc.   2,105       140
* Cytokinetics Inc.   3,881       137
* Insmed Inc.   5,717       137
* Fate Therapeutics Inc.   3,947       136
* Prestige Consumer Healthcare Inc.   2,283       136
* NuVasive Inc.   2,491       135
* Certara Inc.   5,046       128
* Twist Bioscience Corp.   2,268       127
* Axonics Inc.   2,218       126
  Select Medical Holdings Corp.   5,386       125
* Glaukos Corp.   2,189       121
  Patterson Cos. Inc.   4,059       121
* Nevro Corp.   1,680       120
* Progyny Inc.   3,046       120
 
16

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Integer Holdings Corp.   1,423       119
* NeoGenomics Inc.   5,464       117
* PTC Therapeutics Inc.   3,238       114
* Pacific Biosciences of California Inc.   9,378       112
* Karuna Therapeutics Inc.   1,063       112
* Iovance Biotherapeutics Inc.   7,074       111
* Sotera Health Co.   4,798       105
* Amicus Therapeutics Inc.  12,793       104
* Invitae Corp.   9,647       104
* Corcept Therapeutics Inc.   4,623       103
* Ortho Clinical Diagnostics Holdings plc Class H   5,516        98
* Emergent BioSolutions Inc.   2,313        96
* Evolent Health Inc. Class A   3,585        96
* Outset Medical Inc.   2,192        96
* IVERIC bio Inc.   5,809        93
* CareDx Inc.   2,389        92
* Sage Therapeutics Inc.   2,524        92
* Veracyte Inc.   3,280        91
* Vericel Corp.   2,210        91
* Myriad Genetics Inc.   3,709        90
* Surgery Partners Inc.   1,702        89
* Global Blood Therapeutics Inc.   2,912        88
* Nektar Therapeutics Class A   8,558        88
* Zentalis Pharmaceuticals Inc.   1,766        88
* Apollo Medical Holdings Inc.   1,808        87
* Xencor Inc.   2,785        87
* ChemoCentryx Inc.   2,725        83
* MEDNAX Inc.   3,554        83
* Oak Street Health Inc.   4,735        83
* Travere Thrapeutics Inc.   2,992        82
*,1 Cassava Sciences Inc.   1,892        80
* Agios Pharmaceuticals Inc.   2,551        79
* Arcus Biosciences Inc.   2,125        79
* Relay Therapeutics Inc.   3,295        79
* SpringWorks Therapeutics Inc.   1,379        78
* Adaptive Biotechnologies Corp.   5,349        77
* NanoString Technologies Inc.   2,136        76
* Supernus Pharmaceuticals Inc.   2,388        76
* Avanos Medical Inc.   2,112        75
* Ironwood Pharmaceuticals Inc. Class A   6,844        74
* Ligand Pharmaceuticals Inc.     735        74
* Phreesia Inc.   2,411        74
* Health Catalyst Inc.   2,665        72
* Vir Biotechnology Inc.   2,869        72
* Multiplan Corp.  19,219        72
* CorVel Corp.     438        70
* Enanta Pharmaceuticals Inc.     974        69
* Turning Point Therapeutics Inc.   2,171        69
* ModivCare Inc.     579        68
* Fulgent Genetics Inc.   1,053        66
* Prometheus Biosciences Inc.   1,520        66
* Addus HomeCare Corp.     766        65
* Celldex Therapeutics Inc.   2,163        65
* Heska Corp.     458        65
* Kymera Therapeutics Inc.   1,627        65
* Community Health Systems Inc.   6,032        63
* Prothena Corp. plc   1,829        63
* AdaptHealth Corp. Class A   3,641        63
    Shares Market
Value•

($000)
* Brookdale Senior Living Inc.   8,976        62
* Zogenix Inc.   2,361        62
* Codexis Inc.   3,036        61
* Recursion Pharmaceuticals Inc. Class A   5,528        61
* Avid Bioservices Inc.   2,929        60
* Silk Road Medical Inc.   1,627        60
* TG Therapeutics Inc.   6,121        60
* 1Life Healthcare Inc.   5,588        60
* Dynavax Technologies Corp.   4,817        59
* Tivity Health Inc.   2,149        59
* Madrigal Pharmaceuticals Inc.     621        58
* Atara Biotherapeutics Inc.   4,439        57
  US Physical Therapy Inc.     622        57
* Editas Medicine Inc. Class A   3,291        56
  Healthcare Services Group Inc.   3,511        56
* ImmunoGen Inc.   9,996        56
* Krystal Biotech Inc.     870        55
* OPKO Health Inc.  17,706        55
* REVOLUTION Medicines Inc.   2,883        55
* Cerevel Therapeutics Holdings Inc.   2,066        55
* NextGen Healthcare Inc.   2,768        54
* RadNet Inc.   2,172        54
  Atrion Corp.      74        53
* REGENXBIO Inc.   2,035        53
* Amphastar Pharmaceuticals Inc.   1,865        52
* FibroGen Inc.   3,662        52
* Meridian Bioscience Inc.   2,000        51
* Quanterix Corp.   1,499        51
* Revance Therapeutics Inc.   3,660        50
* Cerus Corp.   8,247        48
* Protagonist Therapeutics Inc.   1,990        48
* Vaxcyte Inc.   2,093        48
* Crinetics Pharmaceuticals Inc.   2,334        47
* Kura Oncology Inc.   2,993        47
  LeMaitre Vascular Inc.     995        47
* Accolade Inc.   2,599        47
* Natus Medical Inc.   1,664        46
* Reata Pharmaceuticals Inc. Class A   1,420        46
* Intersect ENT Inc.   1,644        45
* Castle Biosciences Inc.   1,035        45
* Keros Therapeutics Inc.     832        45
* C4 Therapeutics Inc.   1,994        45
* AngioDynamics Inc.   1,888        44
* Cardiovascular Systems Inc.   2,084        44
* Varex Imaging Corp.   1,866        44
* Harmony Biosciences Holdings Inc.   1,086        43
* CureVac NV   2,557        43
* Signify Health Inc. Class A   2,976        42
* Nuvation Bio Inc.   8,055        41
* Axsome Therapeutics Inc.   1,409        40
* Bridgebio Pharma Inc.   5,169        40
* Catalyst Pharmaceuticals Inc.   5,093        40
  National HealthCare Corp.     622        40
*,1 Senseonics Holdings Inc.  22,263        40
* Alector Inc.   2,529        40
* Morphic Holding Inc.   1,006        40
* Coherus Biosciences Inc.   3,333        39
* Innoviva Inc.   2,029        39
* Rocket Pharmaceuticals Inc.   2,191        39
 
17

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* American Well Corp. Class A   9,326        39
* OrthoPediatrics Corp.     674        38
* Alphatec Holdings Inc.   3,336        37
* Anavex Life Sciences Corp.   3,388        37
* OptimizeRx Corp.     812        37
* Sangamo Therapeutics Inc.   6,302        37
* Endo International plc  11,947        37
* Aclaris Therapeutics Inc.   2,407        36
* Artivion Inc.   1,850        36
* Karyopharm Therapeutics Inc.   3,449        36
* iTeos Therapeutics Inc.   1,005        36
* Apria Inc.     955        36
* Sorrento Therapeutics Inc.  13,977        35
* Inovio Pharmaceuticals Inc.  10,628        34
* MannKind Corp.  13,013        34
* SI-BONE Inc.   1,560        34
* Syndax Pharmaceuticals Inc.   2,182        34
* Avidity Biosciences Inc.   1,989        34
* Seer Inc. Class A   2,187        34
* MaxCyte Inc.   4,851        34
* Butterfly Network Inc.   6,523        34
* Alignment Healthcare Inc.   3,982        34
* Hanger Inc.   1,822        33
* Inogen Inc.     951        33
* Bionano Genomics Inc.  15,446        33
* Treace Medical Concepts Inc.   1,523        33
* Cutera Inc.     838        32
* Heron Therapeutics Inc.   4,520        32
* Theravance Biopharma Inc.   3,159        32
* Pulmonx Corp.   1,233        32
*,1 Ocugen Inc.   9,012        32
* Agenus Inc.  11,393        31
* Collegium Pharmaceutical Inc.   1,601        31
* Orthofix Medical Inc.     898        31
* Allogene Therapeutics Inc.   3,262        30
* Surmodics Inc.     670        30
* Vanda Pharmaceuticals Inc.   2,661        30
* Antares Pharma Inc.   8,272        29
* Gossamer Bio Inc.   3,249        29
* MacroGenics Inc.   3,131        29
* ViewRay Inc.   6,945        29
* Vaxart Inc.   5,801        29
* Inhibrx Inc.   1,356        29
* Instil Bio Inc.   2,743        29
* AnaptysBio Inc.     910        28
* HealthStream Inc.   1,354        28
* Sana Biotechnology Inc.   4,375        28
* Eagle Pharmaceuticals Inc.     569        27
* Joint Corp.     664        27
* Seres Therapeutics Inc.   3,373        27
* MiMedx Group Inc.   5,391        27
* Albireo Pharma Inc.     806        27
* Nurix Therapeutics Inc.   1,659        27
  National Research Corp.     666        26
* OraSure Technologies Inc.   3,300        26
* Kezar Life Sciences Inc.   1,767        26
* PetIQ Inc. Class A   1,283        25
* Scholar Rock Holding Corp.   1,464        25
* Affimed NV   5,631        25
* Chinook Therapeutics Inc.   1,986        25
* Amneal Pharmaceuticals Inc.   5,238        24
* TransMedics Group Inc.   1,305        24
* Arcturus Therapeutics Holdings Inc.     986        24
* Arcutis Biotherapeutics Inc.   1,342        24
    Shares Market
Value•

($000)
* Praxis Precision Medicines Inc.   1,837        24
* Privia Health Group Inc.     951        24
* Verve Therapeutics Inc.     743        24
* Anika Therapeutics Inc.     704        23
* Replimune Group Inc.   1,416        23
* NGM Biopharmaceuticals Inc.   1,532        23
* Edgewise Therapeutics Inc.   1,971        23
* Mind Medicine Mindmed Inc.  19,000        23
* BioDelivery Sciences International Inc.   3,931        22
* Bluebird Bio Inc.   3,650        22
* Cara Therapeutics Inc.   2,141        22
  Phibro Animal Health Corp. Class A   1,028        22
* Akero Therapeutics Inc.   1,249        22
* ImmunityBio Inc.   3,243        22
* Chimerix Inc.   3,642        21
* Computer Programs and Systems Inc.     687        21
* ANI Pharmaceuticals Inc.     550        21
* MeiraGTx Holdings plc   1,440        21
* Rapt Therapeutics Inc.   1,028        21
* Ideaya Biosciences Inc.   1,568        21
* LifeStance Health Group Inc.   2,181        21
* G1 Therapeutics Inc.   1,902        20
* Ocular Therapeutix Inc.   3,657        20
* Rigel Pharmaceuticals Inc.   7,776        20
* UFP Technologies Inc.     293        20
* Pennant Group Inc.   1,245        20
* Relmada Therapeutics Inc.     952        20
* PMV Pharmaceuticals Inc.   1,274        20
* Inotiv Inc.     757        20
* Agiliti Inc.   1,096        20
* Intercept Pharmaceuticals Inc.   1,348        19
* Omeros Corp.   2,666        19
* Radius Health Inc.   2,300        19
* Tactile Systems Technology Inc.     934        19
* Sutro Biopharma Inc.   2,103        19
* Forma Therapeutics Holdings Inc.   1,898        19
* Atea Pharmaceuticals Inc.   2,957        19
* 4D Molecular Therapeutics Inc.   1,418        19
* SeaSpine Holdings Corp.   1,429        18
  Utah Medical Products Inc.     195        18
* Personalis Inc.   1,729        18
* Stoke Therapeutics Inc.     927        18
* Berkeley Lights Inc.   2,368        18
* Phathom Pharmaceuticals Inc.     983        18
* Design Therapeutics Inc.   1,362        18
* 2seventy bio Inc.   1,197        18
* Accuray Inc.   4,884        17
* Akebia Therapeutics Inc.   7,712        17
* Axogen Inc.   1,854        17
* Provention Bio Inc.   2,693        17
* Vapotherm Inc.   1,126        17
* Cullinan Oncology Inc.   1,206        17
* Oramed Pharmaceuticals Inc.   1,668        17
* Aerie Pharmaceuticals Inc.   1,911        16
* Apyx Medical Corp.   1,607        16
* Geron Corp. (XNGS)  14,624        16
* Rhythm Pharmaceuticals Inc.   2,137        16
 
18

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* ALX Oncology Holdings Inc.     861        16
* 908 Devices Inc.     933        16
* Bioventus Inc. Class A   1,204        16
* KalVista Pharmaceuticals Inc.     963        15
* Mersana Therapeutics Inc.   3,336        15
* Y-mAbs Therapeutics Inc.   1,697        15
* Dermtech Inc.   1,149        15
* BioLife Solutions Inc.     582        14
* Curis Inc.   4,200        14
* Deciphera Pharmaceuticals Inc.   1,879        14
* Evolus Inc.   1,563        14
* Kodiak Sciences Inc.   1,622        14
* SIGA Technologies Inc.   2,302        14
* Kiniksa Pharmaceuticals Ltd. Class A   1,412        14
* Bioxcel Therapeutics Inc.     738        14
* Fulcrum Therapeutics Inc.   1,317        14
* Altimmune Inc.   1,903        14
* Marinus Pharmaceuticals Inc.   1,792        14
* Adicet Bio Inc.   1,056        14
* Athira Pharma Inc.   1,570        14
* Kronos Bio Inc.   1,885        14
* Vera Therapeutics Inc.     590        14
* Fluidigm Corp.   3,454        13
  iRadimed Corp.     262        13
* Organogenesis Holdings Inc. Class A   1,736        13
* VBI Vaccines Inc.   8,649        13
* Allovir Inc.   1,484        13
* Dyne Therapeutics Inc.   1,518        13
* VistaGen Therapeutics Inc.   9,268        13
* Definitive Healthcare Corp. Class A     576        13
* DICE Therapeutics Inc.     712        13
* CytomX Therapeutics Inc.   3,145        12
* Jounce Therapeutics Inc.   1,596        12
* MEI Pharma Inc.   5,371        12
* Precision BioSciences Inc.   2,839        12
* Arbutus Biopharma Corp.   3,763        12
* InfuSystem Holdings Inc.   1,038        12
*,1 Erasca Inc.     961        12
* Rubius Therapeutics Inc.   2,186        11
* Spero Therapeutics Inc.   1,169        11
* Avita Medical Inc.   1,158        11
* Generation Bio Co.   2,101        11
* ORIC Pharmaceuticals Inc.   1,425        11
* Pliant Therapeutics Inc.   1,180        11
* Cogent Biosciences Inc.   1,802        11
* EyePoint Pharmaceuticals Inc.   1,066        11
* Janux Therapeutics Inc.     614        11
* Icosavax Inc.     626        11
* Imago Biosciences Inc.     472        11
* Aldeyra Therapeutics Inc.   2,354        10
* Allakos Inc.   1,781        10
* CEL–SCI Corp.   1,764        10
* Clovis Oncology Inc.   4,799        10
* CorMedix Inc.   2,097        10
* Gritstone bio Inc.   1,956        10
* Harvard Bioscience Inc.   1,875        10
* Verastem Inc.   8,096        10
* Viking Therapeutics Inc.   2,877        10
* Alaunos Therapeutics Inc.  10,063        10
* Stereotaxis Inc.   2,150        10
* Precigen Inc.   4,601        10
* Immunovant Inc.   1,845        10
    Shares Market
Value•

($000)
* Akoya Biosciences Inc.     865        10
* Werewolf Therapeutics Inc.   1,374        10
* Aveanna Healthcare Holdings Inc.   1,874        10
* Cytek Biosciences Inc.     750        10
* Athersys Inc.   9,485         9
* Cymabay Therapeutics Inc.   2,986         9
  XBiotech Inc.     904         9
* Immunic Inc.     780         9
* Foghorn Therapeutics Inc.     947         9
* Kinnate Biopharma Inc.   1,187         9
* Asensus Surgical Inc.  11,358         9
* Citius Pharmaceuticals Inc.   5,743         9
* Ikena Oncology Inc.   1,421         9
* Caribou Biosciences Inc.     899         9
* Sight Sciences Inc.     521         9
*,1 PROCEPT BioRobotics Corp.     369         9
* Cue Biopharma Inc.   1,300         8
* CytoSorbents Corp.   2,154         8
* Lineage Cell Therapeutics Inc.   5,867         8
* Paratek Pharmaceuticals Inc.   2,302         8
* Selecta Biosciences Inc.   4,447         8
* Sientra Inc.   2,779         8
* XOMA Corp.     380         8
* ClearPoint Neuro Inc.     912         8
* Applied Molecular Transport Inc.   1,175         8
* Vor BioPharma Inc.     871         8
* KemPharm Inc.   1,388         8
* Talaris Therapeutics Inc.   1,109         8
* Century Therapeutics Inc.     550         8
* Lyell Immunopharma Inc.   1,086         8
* Bright Health Group Inc.   2,492         8
*,1 Monte Rosa Therapeutics Inc.     562         8
* Tenaya Therapeutics Inc.     651         8
* Aura Biosciences Inc.     452         8
* Paragon 28 Inc.     462         8
*,1 Xilio Therapeutics Inc.     650         8
* Eiger BioPharmaceuticals Inc.   1,754         7
* Homology Medicines Inc.   1,886         7
* Lexicon Pharmaceuticals Inc.   3,282         7
* Outlook Therapeutics Inc.   4,413         7
* IGM Biosciences Inc.     394         7
* Passage Bio Inc.   1,996         7
* Annexon Inc.   1,514         7
* Taysha Gene Therapies Inc.   1,080         7
* Tarsus Pharmaceuticals Inc.     396         7
* Atossa Therapeutics Inc.   5,681         7
* Biomea Fusion Inc.   1,149         7
*,1 Day One Biopharmaceuticals Inc.     503         7
* Graphite Bio Inc.     756         7
* RxSight Inc.     531         7
* Nuvalent Inc. Class A     501         7
*,1 Adagio Therapeutics Inc.     993         7
* Tyra Biosciences Inc.     620         7
* Accelerate Diagnostics Inc.   1,953         6
* ChromaDex Corp.   2,023         6
* Durect Corp.   9,345         6
* Epizyme Inc.   4,350         6
* Tabula Rasa HealthCare Inc.   1,113         6
  Zynex Inc.     939         6
* PAVmed Inc.   3,732         6
* Oyster Point Pharma Inc.     560         6
 
19

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Akouos Inc.   1,167         6
* Nkarta Inc.     686         6
* Viemed Healthcare Inc.   1,687         6
* Quotient Ltd.   4,435         6
* Surface Oncology Inc.   1,613         6
* 9 Meters Biopharma Inc.  10,282         6
* SQZ Biotechnologies Co.   1,103         6
* Shattuck Labs Inc.   1,292         6
* SOC Telemed Inc. Class A   2,079         6
* Forian Inc.     912         6
* Alpha Teknova Inc.     333         6
*,1 Absci Corp.     673         6
*,1 Cue Health Inc.     733         6
* Entrada Therapeutics Inc.     467         6
* Theseus Pharmaceuticals Inc.     598         6
* Ventyx Biosciences Inc.     551         6
* AirSculpt Technologies Inc.     469         6
* Aeglea BioTherapeutics Inc.   1,888         5
* Adverum Biotechnologies Inc.   3,832         5
* Ampio Pharmaceuticals Inc.   9,219         5
* Esperion Therapeutics Inc.   1,209         5
* Fortress Biotech Inc.   3,086         5
* Magenta Therapeutics Inc.   1,510         5
* Molecular Templates Inc.   2,034         5
* Sesen Bio Inc.   8,620         5
* Spectrum Pharmaceuticals Inc.   7,472         5
* Verrica Pharmaceuticals Inc.     542         5
* UroGen Pharma Ltd.     834         5
* WaVe Life Sciences Ltd.   1,890         5
* Evelo Biosciences Inc.   1,532         5
* iCAD Inc.   1,085         5
* Mirum Pharmaceuticals Inc.     211         5
* Alpine Immune Sciences Inc.     599         5
* Infinity Pharmaceuticals Inc.   4,227         5
* Neoleukin Therapeutics Inc.   1,935         5
* Poseida Therapeutics Inc.   1,451         5
* Cardiff Oncology Inc.   1,749         5
* Prelude Therapeutics Inc.     555         5
* Eargo Inc.     977         5
* Olema Pharmaceuticals Inc.   1,174         5
* BioAtla Inc.     725         5
* Innovage Holding Corp.     929         5
* Vincerx Pharma Inc.   1,084         5
* Rain Therapeutics Inc.     880         5
* Singular Genomics Systems Inc.     561         5
* DarioHealth Corp.     681         5
* Doximity Inc. Class A      89         5
* Viracta Therapeutics Inc.   1,760         5
* Codex DNA Inc.     453         5
* Convey Health Solutions Holdings Inc.     836         5
* Aerovate Therapeutics Inc.     488         5
* Rallybio Corp.     498         5
* Athenex Inc.   4,748         4
* Neuronetics Inc.   1,261         4
* Oncternal Therapeutics Inc.   2,233         4
* TherapeuticsMD Inc.  17,971         4
* Trevena Inc.   8,251         4
* Cortexyme Inc.     910         4
* TCR2 Therapeutics Inc.   1,446         4
* Frequency Therapeutics Inc.   1,391         4
* Black Diamond Therapeutics Inc.   1,293         4
    Shares Market
Value•

($000)
* Exagen Inc.     549         4
* Aspira Women's Health Inc.   3,673         4
* Celcuity Inc.     402         4
* Inozyme Pharma Inc.     726         4
*,2 Tobira Therapeutics Inc. CVR     937         4
* Codiak Biosciences Inc.     760         4
* Humanigen Inc.   2,176         4
* Silverback Therapeutics Inc.     997         4
* Bolt Biotherapeutics Inc.   1,055         4
* Sensei Biotherapeutics Inc.   1,002         4
* Seelos Therapeutics Inc.   3,827         4
* Clene Inc.   1,158         4
* Greenwich Lifesciences Inc.     204         4
* GT Biopharma Inc.   1,203         4
* Brooklyn ImmunoTherapeutics Inc.   1,589         4
* Omega Therapeutics Inc.     354         4
*,1 Eliem Therapeutics Inc.     447         4
* Pyxis Oncology Inc.     662         4
* Ardelyx Inc.   4,399         3
* Avrobio Inc.   2,108         3
* Invacare Corp.   1,478         3
* Oncocyte Corp.   2,289         3
* Harpoon Therapeutics Inc.     838         3
* Pulse Biosciences Inc.     606         3
* Hookipa Pharma Inc.   1,069         3
* BeyondSpring Inc.   1,083         3
* 89bio Inc.     585         3
* Retractable Technologies Inc.     728         3
* iBio Inc.  10,920         3
* Summit Therapeutics Inc.   1,132         3
* Finch Therapeutics Group Inc.     380         3
* Tonix Pharmaceuticals Holding Corp.  16,490         3
* NeuroPace Inc.     354         3
* CVRx Inc.     389         3
* Immuneering Corp. Class A     402         3
* Rapid Micro Biosystems Inc. Class A     383         3
* Acumen Pharmaceuticals Inc.     460         3
* Cincor Pharma Inc.     138         3
* Kala Pharmaceuticals Inc.   2,911         2
* Solid Biosciences Inc.   3,008         2
* Kaleido Biosciences Inc.   1,154         2
* Aligos Therapeutics Inc.     862         2
* Oncorus Inc.   1,032         2
* Angion Biomedica Corp.   1,044         2
* NexImmune Inc.     824         2
* Terns Pharmaceuticals Inc.     504         2
* Cyteir Therapeutics Inc.     400         2
* Amylyx Pharmaceuticals Inc.      71         2
* Vigil Neuroscience Inc.     112         2
* Arcellx Inc.      80         2
* NantHealth Inc.   1,762         1
*,2 Alder Biopharmaceuticals CVR   1,247         1
* Biodesix Inc.     622         1
* Spruce Biosciences Inc.     602         1
* Gemini Therapeutics Inc.   1,102         1
* Portage Biotech Inc.     181         1
* In8bio Inc.     200         1
* TScan Therapeutics Inc.     148         1
* Warby Parker Inc. Class A      33         1
* IsoPlexis Corp.     135         1
 
20

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
*,2 Elanco Animal Health Inc. CVR   1,951        —
*,2 Synergy Pharmaceuticals Inc.  12,927        —
*,2 Progenics Pharmaceuticals Inc. CVR   4,323        —
* Elevation Oncology Inc.      71        —
* Minerva Surgical Inc.      93        —
        265,635
Industrials (12.9%)
  Visa Inc. Class A  81,106    17,529
  Mastercard Inc. Class A  41,922    15,126
  Accenture plc Class A  30,489     9,635
  Union Pacific Corp.  30,846     7,587
  Raytheon Technologies Corp.  71,870     7,381
  United Parcel Service Inc. Class B  34,685     7,298
  Honeywell International Inc.  33,322     6,323
* PayPal Holdings Inc.  56,239     6,295
  American Express Co.  30,079     5,852
* Boeing Co.  25,623     5,261
  Lockheed Martin Corp.  11,892     5,159
  General Electric Co.  52,240     4,989
  Caterpillar Inc.  25,935     4,865
  Deere & Co.  13,364     4,811
  Automatic Data Processing Inc.  20,393     4,169
  3M Co.  27,766     4,127
  CSX Corp. 106,089     3,597
  Illinois Tool Works Inc.  15,179     3,284
  Northrop Grumman Corp.   7,131     3,153
  Capital One Financial Corp.  20,233     3,101
  Sherwin-Williams Co.  11,541     3,037
  Norfolk Southern Corp.  11,651     2,989
  Eaton Corp. plc  19,050     2,939
* Block Inc. (XNYS)  22,877     2,917
  General Dynamics Corp.  11,965     2,805
* Fiserv Inc.  28,630     2,796
  Fidelity National Information Services Inc.  29,133     2,774
  Emerson Electric Co.  28,553     2,653
  FedEx Corp.  11,741     2,610
  L3Harris Technologies Inc.   9,344     2,358
  Johnson Controls International plc  34,323     2,230
  DuPont de Nemours Inc.  25,053     1,938
  Carrier Global Corp.  41,610     1,867
  Paychex Inc.  15,445     1,839
  Global Payments Inc.  13,772     1,837
  Parker-Hannifin Corp.   6,157     1,825
  Trane Technologies plc  11,435     1,760
* TransDigm Group Inc.   2,459     1,639
  Otis Worldwide Corp.  20,417     1,599
  Cintas Corp.   4,176     1,567
  Old Dominion Freight Line Inc.   4,884     1,534
* Mettler-Toledo International Inc.   1,086     1,530
  PPG Industries Inc.  11,348     1,514
  PACCAR Inc.  16,353     1,501
  Rockwell Automation Inc.   5,550     1,480
  AMETEK Inc.  11,051     1,434
  Cummins Inc.   6,901     1,409
* Keysight Technologies Inc.   8,852     1,393
  Ball Corp.  15,169     1,361
  Verisk Analytics Inc. Class A   7,596     1,347
  Equifax Inc.   5,764     1,259
  Stanley Black & Decker Inc.   7,703     1,253
    Shares Market
Value•

($000)
  Vulcan Materials Co.   6,310     1,145
  Martin Marietta Materials Inc.   2,975     1,129
  Synchrony Financial  26,004     1,112
* United Rentals Inc.   3,445     1,108
  Dover Corp.   6,866     1,077
* Zebra Technologies Corp. Class A   2,538     1,049
* Bill.Com Holdings Inc.   4,405     1,048
  WW Grainger Inc.   2,191     1,045
  Fortive Corp.  15,614     1,011
  Ingersoll Rand Inc.  19,423       981
* Teledyne Technologies Inc.   2,204       946
* Generac Holdings Inc.   2,941       928
* Waters Corp.   2,880       912
* FleetCor Technologies Inc.   3,790       888
  Amcor plc  73,582       856
  Expeditors International of Washington Inc.   8,094       837
  TransUnion   9,186       834
* Trimble Inc.  11,873       828
  JB Hunt Transport Services Inc.   4,042       820
  Westinghouse Air Brake Technologies Corp.   8,592       798
  Textron Inc.  10,482       767
  Xylem Inc.   8,609       766
  Jacobs Engineering Group Inc.   6,133       754
  Quanta Services Inc.   6,690       729
  Crown Holdings Inc.   5,872       720
  IDEX Corp.   3,635       698
* Builders FirstSource Inc.   9,122       679
  Packaging Corp. of America   4,480       659
  Howmet Aerospace Inc.  18,219       654
  Masco Corp.  11,584       649
  Nordson Corp.   2,780       630
  Jack Henry & Associates Inc.   3,526       623
  Robert Half International Inc.   5,174       622
* Fair Isaac Corp.   1,279       603
  CH Robinson Worldwide Inc.   6,127       592
  Carlisle Cos. Inc.   2,473       587
  Graco Inc.   8,058       581
  Westrock Co.  12,686       574
  Fortune Brands Home & Security Inc.   6,498       565
  Cognex Corp.   8,148       550
  Snap-on Inc.   2,541       534
  HEICO Corp. Class A   4,213       518
  Regal Rexnord Corp.   3,228       518
  RPM International Inc.   6,100       516
  Booz Allen Hamilton Holding Corp. Class A   6,330       511
* Trex Co. Inc.   5,556       510
  Allegion plc   4,306       493
  Toro Co.   5,081       477
  Sealed Air Corp.   7,093       476
  AECOM   6,482       471
* Middleby Corp.   2,624       466
  Pentair plc   7,963       461
  Hubbell Inc. Class B   2,570       458
  Owens Corning   4,790       446
* Axon Enterprise Inc.   3,098       435
  A O Smith Corp.   6,298       432
  Watsco Inc.   1,582       432
* Sensata Technologies Holding plc   7,331       425
 
21

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  Knight-Swift Transportation Holdings Inc.   7,789       424
  Lennox International Inc.   1,579       421
  Tetra Tech Inc.   2,553       405
* Paylocity Holding Corp.   1,900       404
  MKS Instruments Inc.   2,626       395
* Berry Global Group Inc.   6,394       388
* GXO Logistics Inc.   4,601       386
  AptarGroup Inc.   3,123       381
  Huntington Ingalls Industries Inc.   1,858       380
* Mohawk Industries Inc.   2,620       369
  Genpact Ltd.   8,715       365
  Oshkosh Corp.   3,266       363
  ITT Inc.   4,110       361
* Saia Inc.   1,253       360
  AGCO Corp.   2,974       357
* WEX Inc.   2,114       356
* WillScot Mobile Mini Holdings Corp.   9,932       353
  Lincoln Electric Holdings Inc.   2,751       351
  Brunswick Corp.   3,649       349
  Western Union Co.  19,008       346
  Woodward Inc.   2,735       341
  Advanced Drainage Systems Inc.   2,895       338
* TopBuild Corp.   1,561       335
* XPO Logistics Inc.   4,592       334
  Donaldson Co. Inc.   6,051       328
* Coherent Inc.   1,168       309
* Euronet Worldwide Inc.   2,397       307
  Acuity Brands Inc.   1,656       302
  Louisiana-Pacific Corp.   4,164       300
  EMCOR Group Inc.   2,516       291
  Littelfuse Inc.   1,120       289
  Landstar System Inc.   1,832       283
  Graphic Packaging Holding Co.  13,646       281
  Sonoco Products Co.   4,778       281
  ManpowerGroup Inc.   2,631       280
  Curtiss-Wright Corp.   1,853       273
* ASGN Inc.   2,460       273
  HEICO Corp.   1,823       269
  nVent Electric plc   7,917       269
* Axalta Coating Systems Ltd.   9,874       267
  Eagle Materials Inc.   1,918       262
  MDU Resources Group Inc.   9,638       258
* Chart Industries Inc.   1,773       256
  Spirit AeroSystems Holdings Inc. Class A   5,095       255
* WESCO International Inc.   2,092       255
  MSA Safety Inc.   1,782       248
  Simpson Manufacturing Co. Inc.   2,065       245
  Crane Co.   2,389       241
  Exponent Inc.   2,491       236
* FTI Consulting Inc.   1,611       235
* AMN Healthcare Services Inc.   2,211       235
  BWX Technologies Inc.   4,336       232
  Maximus Inc.   2,938       232
* Colfax Corp.   5,664       228
* Atkore Inc.   2,234       227
  Matson Inc.   2,005       222
  Valmont Industries Inc.   1,013       219
  Air Lease Corp. Class A   5,217       218
* API Group Corp.   9,722       210
    Shares Market
Value•

($000)
* MasTec Inc.   2,635       208
  Triton International Ltd.   3,124       205
  Armstrong World Industries Inc.   2,267       200
  Vontier Corp.   8,127       197
  Allison Transmission Holdings Inc.   4,867       194
  Watts Water Technologies Inc. Class A   1,349       194
  Herc Holdings Inc.   1,208       192
  Ryder System Inc.   2,433       192
* Kirby Corp.   2,907       189
* ExlService Holdings Inc.   1,539       186
  Zurn Water Solutions Corp.   5,704       186
* ACI Worldwide Inc.   5,530       185
  Flowserve Corp.   6,050       184
  Franklin Electric Co. Inc.   2,170       184
  GATX Corp.   1,722       184
* Resideo Technologies Inc.   6,989       180
  Applied Industrial Technologies Inc.   1,745       176
  Silgan Holdings Inc.   4,127       173
* Summit Materials Inc. Class A   5,546       173
* TriNet Group Inc.   1,944       170
  HB Fuller Co.   2,448       167
  SPX FLOW Inc.   1,946       167
  John Bean Technologies Corp.   1,468       166
  Korn Ferry   2,511       166
* Mercury Systems Inc.   2,759       166
  MSC Industrial Direct Co. Inc. Class A   2,125       165
  Alliance Data Systems Corp.   2,425       164
  Hillenbrand Inc.   3,409       163
* AZEK Co. Inc. Class A   5,431       160
  Brink's Co.   2,228       156
  Insperity Inc.   1,728       155
* Allegheny Technologies Inc.   5,913       152
* Welbilt Inc.   6,428       152
* Beacon Roofing Supply Inc.   2,523       151
* Bloom Energy Corp. Class A   6,673       148
* Fluor Corp.   6,829       148
  EnerSys   1,968       143
  Comfort Systems USA Inc.   1,646       142
  Aerojet Rocketdyne Holdings Inc.   3,639       141
  Badger Meter Inc.   1,373       136
  Forward Air Corp.   1,322       136
  ABM Industries Inc.   2,994       134
  Terex Corp.   3,178       131
* Dycom Industries Inc.   1,430       125
* Hub Group Inc. Class A   1,486       125
  Altra Industrial Motion Corp.   2,926       124
  Kennametal Inc.   3,895       124
  Werner Enterprises Inc.   2,849       124
  Albany International Corp. Class A   1,399       123
  Helios Technologies Inc.   1,563       123
  UniFirst Corp.     681       123
  Belden Inc.   2,161       122
  Moog Inc. Class A   1,467       122
  EVERTEC Inc.   2,992       121
* Kratos Defense & Security Solutions Inc.   5,793       121
  AAON Inc.   2,067       121
* Meritor Inc.   3,346       119
 
22

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* StoneCo. Ltd. Class A  10,620       119
* Verra Mobility Corp. Class A   6,890       116
  Maxar Technologies Inc.   3,551       115
  Otter Tail Corp.   1,857       115
* GMS Inc.   2,099       114
  EnPro Industries Inc.   1,021       113
  Installed Building Products Inc.   1,160       112
* TuSimple Holdings Inc. Class A   6,408       112
  ArcBest Corp.   1,191       110
* Masonite International Corp.   1,166       110
* Shift4 Payments Inc. Class A   2,081       110
  Encore Wire Corp.     921       107
  Kadant Inc.     540       107
* Paysafe Ltd.  33,518       107
* Atlas Air Worldwide Holdings Inc.   1,344       105
* Itron Inc.   2,206       105
  Trinity Industries Inc.   3,593       104
* SPX Corp.   2,033       103
  Brady Corp. Class A   2,207       102
  Barnes Group Inc.   2,159       100
  ManTech International Corp. Class A   1,203       100
  Federal Signal Corp.   2,753        99
  Mueller Water Products Inc. Class A   7,673        97
* CBIZ Inc.   2,442        95
* JELD-WEN Holding Inc.   4,107        95
* O-I Glass Inc.   7,392        94
* Air Transport Services Group Inc.   2,878        91
  McGrath RentCorp.   1,087        88
* Ferro Corp.   3,987        87
* Nikola Corp.  10,818        85
  CSW Industrials Inc.     702        84
* Virgin Galactic Holdings Inc.   8,691        84
  ESCO Technologies Inc.   1,171        81
* Gibraltar Industries Inc.   1,653        80
* Proto Labs Inc.   1,411        79
* Flywire Corp.   2,874        78
  Textainer Group Holdings Ltd.   2,182        77
* Repay Holdings Corp. Class A   4,394        76
* AeroVironment Inc.   1,054        75
  ICF International Inc.     845        75
  Kforce Inc.     999        75
* Vicor Corp.   1,007        75
  Patrick Industries Inc.   1,038        74
* Triumph Group Inc.   2,969        74
  TTEC Holdings Inc.     927        74
* Green Dot Corp. Class A   2,557        73
  Greif Inc. Class A   1,245        72
* MYR Group Inc.     799        72
* NV5 Global Inc.     668        72
  Tennant Co.     898        71
* Veritiv Corp.     660        71
* Gates Industrial Corp. plc   4,509        71
  Greenbrier Cos. Inc.   1,578        70
  Primoris Services Corp.   2,599        69
  TriMas Corp.   2,093        68
* CryoPort Inc.   1,961        67
  Schneider National Inc. Class B   2,552        67
    Shares Market
Value•

($000)
  H&E Equipment Services Inc.   1,591        66
* OSI Systems Inc.     824        66
* AAR Corp.   1,436        65
  Shyft Group Inc.   1,572        64
  Columbus McKinnon Corp.   1,353        62
  SFL Corp. Ltd.   6,186        62
* Core & Main Inc. Class A   2,755        62
  Lindsay Corp.     465        61
  Mesa Laboratories Inc.     239        61
  AZZ Inc.   1,213        60
  Alamo Group Inc.     431        60
  Granite Construction Inc.   1,974        60
* Cornerstone Building Brands Inc.   2,653        59
  Deluxe Corp.   1,898        59
  Kaman Corp.   1,345        58
* Frontline Ltd.   6,208        58
* Montrose Environmental Group Inc.   1,317        58
* Ardagh Metal Packaging SA   6,973        58
* Evo Payments Inc. Class A   2,347        57
* Cimpress plc     906        57
  ADT Inc.   7,619        56
  Astec Industries Inc.   1,103        55
* Huron Consulting Group Inc.   1,090        54
* CoreCivic Inc.   5,770        53
  Standex International Corp.     497        53
* FARO Technologies Inc.     941        52
  Apogee Enterprises Inc.   1,138        51
  Griffon Corp.   2,197        51
  Marten Transport Ltd.   2,949        51
* PGT Innovations Inc.   2,380        51
  Enerpac Tool Group Corp. Class A   2,703        47
* Donnelley Financial Solutions Inc.   1,429        46
* TrueBlue Inc.   1,709        46
* American Woodmark Corp.     830        44
* Great Lakes Dredge & Dock Corp.   3,131        44
  DHT Holdings Inc.   7,053        44
* Hayward Holdings Inc.   2,472        44
* First Advantage Corp.   2,744        44
  Pitney Bowes Inc.   8,554        43
* Cross Country Healthcare Inc.   1,859        42
* Sterling Construction Co. Inc.   1,416        42
  Heidrick & Struggles International Inc.     970        41
  International Seaways Inc.   2,239        41
  Scorpio Tankers Inc.   2,368        41
* Conduent Inc.   8,254        40
* Ranpak Holdings Corp. Class A   1,663        40
* Desktop Metal Inc. Class A   9,685        40
* BlueLinx Holdings Inc.     435        39
* Energy Recovery Inc.   2,046        39
  Wabash National Corp.   2,250        38
* Construction Partners Inc. Class A   1,378        37
  Kelly Services Inc. Class A   1,721        37
* Diversey Holdings Ltd.   3,852        37
  Costamare Inc.   2,643        36
  Douglas Dynamics Inc.     943        35
* Aspen Aerogels Inc.   1,130        33
* Forterra Inc.   1,386        33
 
23

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  Gorman-Rupp Co.     874        33
* GreenSky Inc. Class A   3,314        33
  Quanex Building Products Corp.   1,452        33
  CRA International Inc.     364        32
  Chase Corp.     347        32
  Heartland Express Inc.   2,205        32
* Vivint Smart Home Inc.   4,515        32
* Napco Security Technologies Inc.   1,496        31
  Insteel Industries Inc.     817        30
* SP Plus Corp.   1,020        30
  Genco Shipping & Trading Ltd.   1,551        30
  Argan Inc.     744        29
* BrightView Holdings Inc.   2,154        29
* Manitowoc Co. Inc.   1,735        29
  Myers Industries Inc.   1,720        29
* Transcat Inc.     368        29
* Advantage Solutions Inc.   3,718        29
* Franklin Covey Co.     606        28
* I3 Verticals Inc. Class A   1,011        27
* Titan International Inc.   2,441        27
* Titan Machinery Inc.     960        27
* Forrester Research Inc.     500        26
* Paya Holdings Inc.   3,992        26
  Cass Information Systems Inc.     641        25
* DXP Enterprises Inc.     868        25
* Ducommun Inc.     491        25
* Modine Manufacturing Co.   2,489        25
* Thermon Group Holdings Inc.   1,468        25
  VSE Corp.     516        25
* International Money Express Inc.   1,557        25
* Hyliion Holdings Corp.   5,694        25
  Ennis Inc.   1,300        24
  Luxfer Holdings plc   1,383        24
* CIRCOR International Inc.     866        23
* Vectrus Inc.     504        23
* Daseke Inc.   1,767        22
  Resources Connection Inc.   1,313        22
* Yellow Corp.   2,438        22
* Cantaloupe Inc.   2,830        22
* Loyalty Ventures Inc.     936        22
  Allied Motion Technologies Inc.     617        21
* Tutor Perini Corp.   2,107        21
* Ideanomics Inc.  19,822        21
  Eagle Bulk Shipping Inc.     401        21
  Barrett Business Services Inc.     328        20
  Dorian LPG Ltd.   1,459        20
  Pactiv Evergreen Inc.   2,068        20
* Astronics Corp.   1,267        19
* Babcock & Wilcox Enterprises Inc.   2,694        19
* Vishay Precision Group Inc.     607        19
* Willdan Group Inc.     590        19
* Workhorse Group Inc.   6,007        19
* PureCycle Technologies Inc.   2,684        19
* Blue Bird Corp.     867        18
* IES Holdings Inc.     429        18
  National Presto Industries Inc.     231        18
  REV Group Inc.   1,333        18
  Nordic American Tankers Ltd.   7,465        18
    Shares Market
Value•

($000)
* BTRS Holdings Inc. Class A   3,012        18
* Danimer Scientific Inc.   4,537        18
  Greif Inc. Class B     296        17
  Hyster-Yale Materials Handling Inc.     449        17
  Miller Industries Inc.     544        17
* Teekay Tankers Ltd. Class A   1,165        17
* Custom Truck One Source Inc.   2,128        17
*,1 View Inc.   7,026        17
* Sterling Check Corp.     801        17
  Ardagh Group SA     848        16
* Infrastructure and Energy Alternatives Inc.   1,452        16
* CS Disco Inc.     428        16
* Safe Bulkers Inc.   3,405        14
* Legalzoom.com Inc.     895        14
* Hireright Holdings Corp.   1,089        14
* Velodyne Lidar Inc.   3,425        13
* Commercial Vehicle Group Inc.   1,550        12
  United States Lime & Minerals Inc.     102        12
  Caesarstone Ltd.     959        12
* Atlanticus Holdings Corp.     225        12
* AvidXchange Holdings Inc.   1,267        12
* Concrete Pumping Holdings Inc.   1,463        11
* Covenant Logistics Group Inc. Class A     477        11
  Kronos Worldwide Inc.     726        11
  Park Aerospace Corp.     791        11
* Radiant Logistics Inc.   1,629        11
* Teekay Corp.   3,395        11
* Luna Innovations Inc.   1,568        11
* ShotSpotter Inc.     406        10
* PAM Transportation Services Inc.     136         9
* INNOVATE Corp.   2,609         9
* Acacia Research Corp.   2,181         8
* Lawson Products Inc.     194         8
  Powell Industries Inc.     401         8
  Preformed Line Products Co.     141         8
* Atlas Technical Consultants Inc.     686         8
* Byrna Technologies Inc.     839         8
* CECO Environmental Corp.   1,327         7
* EVI Industries Inc.     354         7
* Rekor Systems Inc.   1,523         7
* US Xpress Enterprises Inc. Class A   1,568         7
  Universal Logistics Holdings Inc.     391         7
* Aersale Corp.     461         7
* Remitly Global Inc.     602         7
  Cadre Holdings Inc.     312         7
* Iteris Inc.   1,854         6
* Mistras Group Inc.     907         6
  Park-Ohio Holdings Corp.     406         6
* Eos Energy Enterprises Inc.   2,000         6
* Target Hospitality Corp.   1,517         5
  Hirequest Inc.     258         5
* Willis Lease Finance Corp.     128         4
* StarTek Inc.     936         4
* Mayville Engineering Co. Inc.     367         4
* Priority Technology Holdings Inc.     713         4
* AgEagle Aerial Systems Inc.   3,372         4
 
24

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Karat Packaging Inc.     268         4
* GreenBox POS     875         3
* IBEX Holdings Ltd.     123         2
* Team Inc.   1,463         1
        270,405
Other (0.0%)3
*,2 Aduro Biotech Inc. CVR     656         1
*,2 Media General Inc. CVR   5,133        —
              1
Real Estate (3.5%)
  Prologis Inc.  35,398     5,163
  American Tower Corp.  21,630     4,907
  Crown Castle International Corp.  20,608     3,433
  Equinix Inc.   4,277     3,035
  Public Storage   7,241     2,571
  Simon Property Group Inc.  15,614     2,148
  Digital Realty Trust Inc.  13,404     1,808
  Realty Income Corp.  27,143     1,794
  Welltower Inc.  20,778     1,731
  AvalonBay Communities Inc.   6,705     1,600
  SBA Communications Corp. Class A   5,188     1,574
* CBRE Group Inc. Class A  15,973     1,547
  Equity Residential  17,640     1,505
  Alexandria Real Estate Equities Inc.   7,408     1,403
  Weyerhaeuser Co.  35,819     1,393
  Extra Space Storage Inc.   6,309     1,187
* CoStar Group Inc.  18,678     1,140
  Mid-America Apartment Communities Inc.   5,555     1,137
  Invitation Homes Inc.  28,741     1,086
  Ventas Inc.  18,981     1,025
  Sun Communities Inc.   5,461       988
  Essex Property Trust Inc.   3,076       976
  Duke Realty Corp.  18,317       971
  Boston Properties Inc.   7,441       910
  VICI Properties Inc.  30,184       844
  UDR Inc.  14,758       810
  Healthpeak Properties Inc.  25,733       799
  Camden Property Trust   4,711       778
  WP Carey Inc.   8,881       687
  Iron Mountain Inc.  13,762       677
  Kimco Realty Corp.  27,680       651
  Equity LifeStyle Properties Inc.   8,307       620
* Host Hotels & Resorts Inc.  33,672       615
* Jones Lang LaSalle Inc.   2,414       594
  Medical Properties Trust Inc.  28,506       580
  CyrusOne Inc.   6,065       548
  Regency Centers Corp.   8,129       536
  American Homes 4 Rent Class A  13,587       516
  Rexford Industrial Realty Inc.   7,290       511
  Life Storage Inc.   3,945       499
* Zillow Group Inc. Class C   8,619       496
  Gaming and Leisure Properties Inc.  10,815       491
  CubeSmart  10,146       489
  Lamar Advertising Co. Class A   4,149       452
  Federal Realty Investment Trust   3,724       438
  Kilroy Realty Corp.   5,494       393
  Apartment Income REIT Corp.   7,581       391
    Shares Market
Value•

($000)
  EastGroup Properties Inc.   1,949       372
  National Retail Properties Inc.   8,416       359
  STORE Capital Corp.  11,644       358
  First Industrial Realty Trust Inc.   6,198       357
  Vornado Realty Trust   8,179       354
  American Campus Communities Inc.   6,522       351
  Brixmor Property Group Inc.  13,965       351
  Americold Realty Trust  12,938       346
  STAG Industrial Inc.   8,487       331
  Omega Healthcare Investors Inc.  11,519       324
  Healthcare Trust of America Inc. Class A  10,477       308
  Cousins Properties Inc.   7,189       278
  Spirit Realty Capital Inc.   5,928       275
  Rayonier Inc.   6,814       270
  Douglas Emmett Inc.   7,903       250
  SL Green Realty Corp.   3,109       247
  Terreno Realty Corp.   3,562       245
  Kite Realty Group Trust  10,515       231
  National Storage Affiliates Trust   3,933       229
  Highwoods Properties Inc.   5,059       221
* Ryman Hospitality Properties Inc.   2,456       216
  Agree Realty Corp.   3,330       214
  Innovative Industrial Properties Inc.   1,129       213
  LXP Industrial Trust  13,114       203
* Park Hotels & Resorts Inc.  10,758       203
  Hudson Pacific Properties Inc.   7,166       189
* Howard Hughes Corp.   1,947       186
* Opendoor Technologies Inc.  22,104       185
  Healthcare Realty Trust Inc.   6,971       182
  Outfront Media Inc.   6,692       179
  PotlatchDeltic Corp.   3,210       176
  Apple Hospitality REIT Inc.   9,758       173
  EPR Properties   3,456       172
* Digitalbridge Group Inc.  23,732       172
  Physicians Realty Trust  10,517       171
  Hannon Armstrong Sustainable Infrastructure Capital Inc.   3,449       163
  Broadstone Net Lease Inc.   7,452       161
  Macerich Co.  10,272       157
  JBG SMITH Properties   5,588       149
  PS Business Parks Inc.     933       149
  Essential Properties Realty Trust Inc.   5,727       145
* Equity Commonwealth   5,437       144
  Sabra Health Care REIT Inc.  10,555       142
* Cushman & Wakefield plc   6,404       140
  Corporate Office Properties Trust   5,285       138
* Zillow Group Inc. Class A   2,328       133
  SITE Centers Corp.   8,459       131
  Independence Realty Trust Inc.   5,089       129
  Kennedy-Wilson Holdings Inc.   5,778       128
  Pebblebrook Hotel Trust   5,615       126
  Newmark Group Inc. Class A   6,970       123
  Uniti Group Inc.   9,438       122
  RLJ Lodging Trust   7,898       110
 
25

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  National Health Investors Inc.   2,000       107
* Sunstone Hotel Investors Inc.  10,112       107
* Redfin Corp.   4,757       103
  Brandywine Realty Trust   7,600       101
  Piedmont Office Realty Trust Inc. Class A   5,904       101
  Paramount Group Inc.   8,913       100
* Realogy Holdings Corp.   5,506       100
  Washington REIT   4,211        98
  Retail Opportunity Investments Corp.   5,348        97
  Urban Edge Properties   5,255        96
  Four Corners Property Trust Inc.   3,616        95
* DiamondRock Hospitality Co.   9,765        93
  St. Joe Co.   1,678        91
* Xenia Hotels & Resorts Inc.   4,830        90
  Easterly Government Properties Inc. Class A   4,274        89
  Tanger Factory Outlet Centers Inc.   5,150        86
  American Assets Trust Inc.   2,311        84
  Acadia Realty Trust   3,894        83
  NexPoint Residential Trust Inc.     978        83
  eXp World Holdings Inc.   3,030        81
  CareTrust REIT Inc.   4,576        80
* Alexander & Baldwin Inc.   3,522        79
  Veris Residential Inc.   4,423        75
  Global Net Lease Inc.   5,125        73
  Industrial Logistics Properties Trust   3,154        71
  Service Properties Trust   8,130        70
  LTC Properties Inc.   1,946        66
  Preferred Apartment Communities Inc. Class A   2,630        66
  Safehold Inc.   1,056        65
  Empire State Realty Trust Inc. Class A   6,723        64
  Marcus & Millichap Inc.   1,179        59
  Centerspace     629        59
  Office Properties Income Trust   2,259        57
  Getty Realty Corp.   1,852        51
  UMH Properties Inc.   2,189        50
* Apartment Investment and Management Co. Class A   7,022        50
  Gladstone Land Corp.   1,557        47
* Orion Office REIT Inc.   2,773        47
  Community Healthcare Trust Inc.   1,074        45
  Global Medical REIT Inc.   2,863        45
  RPT Realty   3,511        45
  Necessity Retail REIT Inc.   6,230        44
  Armada Hoffler Properties Inc.   2,902        43
  NETSTREIT Corp.   1,927        43
* Summit Hotel Properties Inc.   4,200        41
  Gladstone Commercial Corp.   1,820        39
  City Office REIT Inc.   2,210        38
  Universal Health Realty Income Trust     636        36
  Plymouth Industrial REIT Inc.   1,327        35
* Radius Global Infrastructure Inc. Class A (XNMS)   2,744        35
  GEO Group Inc.   5,717        34
* Chatham Lodging Trust   2,439        33
    Shares Market
Value•

($000)
  Ares Commercial Real Estate Corp.   2,179        32
  Franklin Street Properties Corp.   5,505        32
  Diversified Healthcare Trust  11,059        32
  Urstadt Biddle Properties Inc. Class A   1,569        30
* CorePoint Lodging Inc.   1,800        29
  Phillips Edison & Co. Inc.     883        29
  RE/MAX Holdings Inc. Class A     921        27
* Douglas Elliman Inc.   3,556        27
  Alexander's Inc.      99        25
  Indus Realty Trust Inc.     312        24
  One Liberty Properties Inc.     778        23
  Whitestone REIT   1,970        23
  Saul Centers Inc.     466        21
* Braemar Hotels & Resorts Inc.   3,409        20
  RMR Group Inc. Class A     671        20
  CatchMark Timber Trust Inc. Class A   2,366        18
* FRP Holdings Inc.     316        18
* Seritage Growth Properties Class A   1,776        18
  CTO Realty Growth Inc.     267        17
* Forestar Group Inc.     857        16
  Farmland Partners Inc.   1,299        15
* Tejon Ranch Co.     897        15
* Hersha Hospitality Trust Class A   1,557        14
  Postal Realty Trust Inc. Class A     609        11
  BRT Apartments Corp.     474        10
* Ashford Hospitality Trust Inc.     885         8
  Clipper Realty Inc.     607         6
* Fathom Holdings Inc.     276         4
* Rafael Holdings Inc. Class B     518         2
  Bridge Investment Group Holdings Inc. Class A      73         1
         73,965
Technology (27.6%)
  Apple Inc. 739,620   122,126
  Microsoft Corp. 361,121   107,899
* Alphabet Inc. Class A  14,320    38,680
* Alphabet Inc. Class C  13,541    36,531
  NVIDIA Corp. 114,614    27,949
* Meta Platforms Inc. Class A 113,242    23,897
  Broadcom Inc.  19,135    11,241
* Adobe Inc.  22,868    10,695
* Advanced Micro Devices Inc.  78,259     9,652
* salesforce.com Inc.  44,788     9,429
  QUALCOMM Inc.  54,068     9,299
  Intel Corp. 193,783     9,243
  Texas Instruments Inc.  44,314     7,533
  Intuit Inc.  12,706     6,027
  Oracle Corp.  79,105     6,010
  Applied Materials Inc.  43,123     5,787
* ServiceNow Inc.   9,430     5,469
  International Business Machines Corp.  42,850     5,250
  Micron Technology Inc.  53,693     4,771
  Analog Devices Inc.  25,725     4,123
  Lam Research Corp.   6,734     3,780
* Palo Alto Networks Inc.   4,550     2,704
  Marvell Technology Inc.  39,140     2,674
  KLA Corp.   7,251     2,527
 
26

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Snowflake Inc. Class A   9,497     2,523
  NXP Semiconductors NV  12,668     2,408
* Autodesk Inc.  10,519     2,317
* Synopsys Inc.   7,228     2,258
  Roper Technologies Inc.   5,014     2,247
* Fortinet Inc.   6,386     2,200
  Cognizant Technology Solutions Corp. Class A  25,312     2,180
  Amphenol Corp. Class A  28,038     2,131
* Workday Inc. Class A   9,063     2,076
* Atlassian Corp. plc Class A   6,642     2,031
* Cadence Design Systems Inc.  13,083     1,981
* Datadog Inc. Class A  12,137     1,955
  HP Inc.  55,152     1,895
* Crowdstrike Holdings Inc. Class A   9,384     1,832
  Microchip Technology Inc.  25,980     1,827
* Match Group Inc.  13,462     1,501
  Corning Inc.  36,378     1,470
* Cloudflare Inc. Class A  12,292     1,431
* Twilio Inc. Class A   7,916     1,384
* Zoom Video Communications Inc. Class A  10,367     1,375
* ANSYS Inc.   4,137     1,341
* Twitter Inc.  37,099     1,319
* ON Semiconductor Corp.  20,190     1,264
  VMware Inc. Class A  10,642     1,249
* MongoDB Inc. Class A   3,021     1,154
* HubSpot Inc.   2,161     1,135
  CDW Corp.   6,468     1,115
* DocuSign Inc. Class A   9,247     1,095
* Okta Inc.   5,984     1,094
  Skyworks Solutions Inc.   7,866     1,087
* Gartner Inc.   3,845     1,078
* VeriSign Inc.   4,643       992
  Hewlett Packard Enterprise Co.  62,258       991
  Monolithic Power Systems Inc.   2,148       985
* Palantir Technologies Inc. Class A  79,642       944
  Teradyne Inc.   7,832       924
* Splunk Inc.   7,641       902
* Zscaler Inc.   3,738       894
  Entegris Inc.   6,459       843
  NetApp Inc.  10,698       839
* Akamai Technologies Inc.   7,741       838
* Paycom Software Inc.   2,429       824
* Tyler Technologies Inc.   1,908       817
  SS&C Technologies Holdings Inc.  10,688       801
* Nuance Communications Inc.  14,024       779
* Unity Software Inc.   7,217       768
  NortonLifeLock Inc.  26,315       763
* Western Digital Corp.  14,962       762
* DoorDash Inc. Class A   7,025       737
* Qorvo Inc.   5,301       725
* Pinterest Inc. Class A  26,937       721
  Leidos Holdings Inc.   6,804       693
* GoDaddy Inc. Class A   8,031       670
* Zendesk Inc.   5,691       664
* Dell Technologies Inc. Class C  12,905       658
  Citrix Systems Inc.   5,887       603
* F5 Inc.   2,881       579
* Wolfspeed Inc.   5,495       564
    Shares Market
Value•

($000)
* PTC Inc.   5,015       558
* EPAM Systems Inc.   2,584       537
* Globant SA   1,931       529
* RingCentral Inc. Class A   3,905       511
* Aspen Technology Inc.   3,192       487
  Amdocs Ltd.   6,147       484
* Ceridian HCM Holding Inc.   6,249       456
* Avalara Inc.   4,145       431
* Synaptics Inc.   1,882       430
* Coupa Software Inc.   3,492       423
* IAC/InterActiveCorp.   3,655       419
* Dynatrace Inc.   9,391       417
* Black Knight Inc.   7,351       413
* Manhattan Associates Inc.   3,069       410
  Jabil Inc.   7,062       408
* DXC Technology Co.  11,969       407
* Arrow Electronics Inc.   3,307       403
* Lattice Semiconductor Corp.   6,427       402
  Concentrix Corp.   2,001       400
* Five9 Inc.   3,273       360
* Guidewire Software Inc.   4,072       359
* II-VI Inc.   4,983       346
  KBR Inc.   6,757       335
* Anaplan Inc.   6,883       326
* Pure Storage Inc. Class A  12,466       323
* Dropbox Inc. Class A  14,159       321
  Universal Display Corp.   2,052       318
* CACI International Inc. Class A   1,118       313
* Clarivate plc  20,791       311
* Elastic NV   3,558       308
* Smartsheet Inc. Class A   5,777       307
  Azenta Inc.   3,457       303
* Silicon Laboratories Inc.   1,899       292
* Rapid7 Inc.   2,704       280
* Nutanix Inc. Class A  10,189       272
* Teradata Corp.   5,256       263
* Change Healthcare Inc.  11,986       257
  CDK Global Inc.   5,638       256
  Power Integrations Inc.   2,849       256
  National Instruments Corp.   6,310       253
* NCR Corp.   6,203       251
  Bentley Systems Inc. Class B   6,522       250
  CMC Materials Inc.   1,337       248
  Science Applications International Corp.   2,785       244
* Rogers Corp.     876       239
* Tenable Holdings Inc.   4,306       238
* Mimecast Ltd.   2,946       234
* Cirrus Logic Inc.   2,681       233
  Dolby Laboratories Inc. Class A   3,105       233
* Ambarella Inc.   1,667       233
* Wix.com Ltd.   2,543       233
* IPG Photonics Corp.   1,750       228
* Varonis Systems Inc. Class B   5,220       228
* Novanta Inc.   1,654       226
* Cargurus Inc.   4,567       221
* SPS Commerce Inc.   1,688       219
* Semtech Corp.   3,124       217
* Mandiant Inc.  10,799       214
* Workiva Inc. Class A   2,002       211
* Digital Turbine Inc.   4,323       210
* Qualys Inc.   1,659       208
  TD SYNNEX Corp.   2,028       207
  Avnet Inc.   4,832       203
* Ziff Davis Inc.   2,019       203
 
27

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  Vertiv Holdings Co. Class A  15,561       203
* MaxLinear Inc.   3,291       202
* Blackline Inc.   2,605       196
* Onto Innovation Inc.   2,241       193
* Diodes Inc.   2,139       192
* Envestnet Inc.   2,532       189
* Asana Inc. Class A   3,450       189
* Procore Technologies Inc.   2,868       187
* MicroStrategy Inc. Class A     409       181
* Alteryx Inc. Class A   2,878       179
* Sailpoint Technologies Holdings Inc.   4,254       176
* Box Inc. Class A   6,821       175
* Q2 Holdings Inc.   2,681       174
* Kyndryl Holdings Inc.  10,881       173
  Pegasystems Inc.   1,976       172
* Fabrinet   1,693       170
* Insight Enterprises Inc.   1,624       169
* Perficient Inc.   1,587       162
* New Relic Inc.   2,425       161
  Advanced Energy Industries Inc.   1,800       155
* SiTime Corp.     767       155
  Kulicke & Soffa Industries Inc.   2,970       155
* Verint Systems Inc.   3,056       154
* GLOBALFOUNDRIES Inc.   2,534       154
* Altair Engineering Inc. Class A   2,262       150
  Switch Inc. Class A   5,613       146
* DigitalOcean Holdings Inc.   2,456       146
* FormFactor Inc.   3,582       145
* Upwork Inc.   5,719       145
* Alarm.com Holdings Inc.   2,189       144
* Dun & Bradstreet Holdings Inc.   7,708       143
* CommVault Systems Inc.   2,241       141
* LiveRamp Holdings Inc.   3,243       140
* Blackbaud Inc.   2,227       139
* Sprout Social Inc. Class A   2,140       139
  Xerox Holdings Corp.   7,010       138
* Rambus Inc.   5,076       137
* MACOM Technology Solutions Holdings Inc. Class H   2,257       136
* PagerDuty Inc.   4,018       136
* nCino Inc.   2,732       126
  Vishay Intertechnology Inc.   6,463       124
* Sanmina Corp.   3,029       121
* Yelp Inc. Class A   3,492       118
* Bottomline Technologies DE Inc.   2,056       116
* Appian Corp. Class A   1,890       115
  Amkor Technology Inc.   4,970       113
* Axcelis Technologies Inc.   1,624       112
* Allscripts Healthcare Solutions Inc.   5,722       111
* NetScout Systems Inc.   3,479       108
* Plexus Corp.   1,289       105
  Shutterstock Inc.   1,148       104
* 3D Systems Corp.   5,817       104
* Appfolio Inc. Class A     914       103
  CSG Systems International Inc.   1,615       100
* Momentive Global Inc.   6,327        99
* TechTarget Inc.   1,255        98
* Fastly Inc. Class A   5,162        96
    Shares Market
Value•

($000)
  McAfee Corp.Class A   3,698        96
* Ultra Clean Holdings Inc.   2,077        95
* Magnite Inc.   6,320        92
  Progress Software Corp.   2,055        91
* Vimeo Inc.   6,998        91
  Xperi Holding Corp.   5,170        90
* Jamf Holding Corp.   2,568        88
* Super Micro Computer Inc.   2,202        87
* Covetrus Inc.   4,850        86
  Methode Electronics Inc.   1,855        85
* Duck Creek Technologies Inc.   3,428        81
* E2open Parent Holdings Inc.   8,984        81
* Everbridge Inc.   1,896        75
* Zuora Inc. Class A   4,906        75
* Cohu Inc.   2,327        73
* Schrodinger Inc.   2,111        73
* DoubleVerify Holdings Inc.   2,621        72
* Veeco Instruments Inc.   2,417        69
* Unisys Corp.   3,177        68
*,1 C3.ai Inc. Class A   2,998        67
* Cerence Inc.   1,834        66
* Ping Identity Holding Corp.   3,081        65
* Domo Inc. Class B   1,422        63
* LivePerson Inc.   3,113        63
* TTM Technologies Inc.   5,043        63
* JFrog Ltd.   2,544        63
  CTS Corp.   1,600        61
* BigCommerce Holdings Inc. Series 1   2,355        61
* PROS Holdings Inc.   1,902        60
* Allegro MicroSystems Inc.   2,072        59
* Impinj Inc.     839        58
* Avaya Holdings Corp.   4,038        56
* Avid Technology Inc.   1,752        55
* ePlus Inc.   1,170        55
* Eventbrite Inc. Class A   3,643        55
* Alpha & Omega Semiconductor Ltd.   1,024        55
* PAR Technology Corp.   1,266        53
* Sumo Logic Inc.   4,423        53
* Photronics Inc.   2,789        51
* Thoughtworks Holding Inc.   2,146        49
* Ichor Holdings Ltd.   1,344        47
*,1 Skillz Inc. Class A  14,972        47
* Model N Inc.   1,882        46
* Agilysys Inc.   1,076        45
* CEVA Inc.   1,095        45
* SMART Global Holdings Inc.   1,656        45
* Consensus Cloud Solutions Inc.     799        45
* Parsons Corp.   1,265        44
  Benchmark Electronics Inc.   1,653        43
* PDF Solutions Inc.   1,513        41
  Sapiens International Corp. NV   1,505        41
  A10 Networks Inc.   2,800        40
* NeoPhotonics Corp.   2,639        40
* ScanSource Inc.   1,262        40
* Yext Inc.   5,395        40
* Paycor HCM Inc.   1,395        39
* Informatica Inc. Class A   1,867        38
  Ebix Inc.   1,230        36
* Vroom Inc.   5,958        36
* MicroVision Inc.   8,698        35
* nLight Inc.   2,066        34
  American Software Inc. Class A   1,513        33
 
28

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
* Bandwidth Inc. Class A   1,095        33
* Porch Group Inc.   3,964        32
* Mitek Systems Inc.   2,060        31
* Tucows Inc. Class A     465        31
* Diebold Nixdorf Inc.   3,360        29
  Simulations Plus Inc.     743        29
* Rackspace Technology Inc.   2,609        29
  Hackett Group Inc.   1,366        28
* Grid Dynamics Holdings Inc.   2,294        28
* Datto Holding Corp.   1,166        27
* Ouster Inc.   7,912        27
* ChannelAdvisor Corp.   1,420        26
* Upland Software Inc.   1,389        26
* N-able Inc.   2,216        26
* Limelight Networks Inc.   6,429        25
* OneSpan Inc.   1,716        24
  PC Connection Inc.     496        24
* Veritone Inc.   1,379        23
* Groupon Inc. Class A   1,073        23
* Alkami Technology Inc.   1,440        23
  SolarWinds Corp.   1,708        23
* Aeva Technologies Inc.   5,329        22
* Identiv Inc.   1,000        21
* Telos Corp.   1,873        21
* ON24 Inc.   1,262        20
* Digimarc Corp.     632        19
* Kimball Electronics Inc.   1,047        18
*,1 Xometry Inc. Class A     372        18
* EngageSmart Inc.     798        18
* Enfusion Inc. Class A   1,083        18
* Atomera Inc.   1,040        17
*,1 Cleanspark Inc.   1,587        17
* TrueCar Inc.   4,681        16
* AXT Inc.   1,889        14
* Brightcove Inc.   1,881        14
* EverQuote Inc. Class A     921        14
* CoreCard Corp.     436        14
* Mediaalpha Inc. Class A   1,006        14
* Benefitfocus Inc.   1,296        13
* GAN Ltd.   1,950        13
  NVE Corp.     208        12
* MeridianLink Inc.     596        12
* eGain Corp.     949        11
* Intapp Inc.     471        11
* comScore Inc.   3,726        10
* Kopin Corp.   3,764        10
* Rimini Street Inc.   2,135        10
* Couchbase Inc.     455        10
*,1 EverCommerce Inc.     776         9
* Daktronics Inc.   1,663         8
* Smith Micro Software Inc.   1,924         8
* GTY Technologies Holdings Inc.   1,840         8
* EMCORE Corp.   1,768         7
* Quantum Corp.   2,711         7
* SecureWorks Corp. Class A     401         6
* VirnetX Holding Corp.   2,928         5
* SkyWater Technology Inc.     397         5
* 1stdibs.com Inc.     438         5
* Stronghold Digital Mining Inc. Class A     357         5
* Viant Technology Inc. Class A     543         4
* Arteris Inc.     254         4
* Weave Communications Inc.     398         4
* Amplitude Inc. Class A      26         1
* Freshworks Inc. Class A      73         1
    Shares Market
Value•

($000)
* Expensify Inc. Class A      58         1
        579,919
Telecommunications (2.7%)
  Cisco Systems Inc. 202,502    11,294
  Verizon Communications Inc. 198,843    10,672
  Comcast Corp. Class A 218,525    10,218
  AT&T Inc. 341,966     8,101
* Charter Communications Inc. Class A   5,988     3,603
* T-Mobile US Inc.  28,183     3,472
  Motorola Solutions Inc.   7,921     1,746
* Arista Networks Inc.  11,446     1,405
* Liberty Broadband Corp. Class C   6,891     1,011
* Roku Inc.   5,648       788
  Juniper Networks Inc.  15,527       525
  Lumen Technologies Inc.  48,533       503
* Ciena Corp.   7,306       500
* DISH Network Corp. Class A  11,746       375
  Cable One Inc.     257       368
* Lumentum Holdings Inc.   3,473       343
* Vonage Holdings Corp.  11,315       230
* Iridium Communications Inc.   5,377       213
* Viavi Solutions Inc.  11,636       191
* ViaSat Inc.   3,399       155
* Calix Inc.   2,704       147
* Liberty Broadband Corp. Class A     936       136
  Cogent Communications Holdings Inc.   1,948       124
* Altice USA Inc. Class A  10,330       119
  InterDigital Inc.   1,461        94
* CommScope Holding Co. Inc.   9,432        90
  Ubiquiti Inc.     327        83
* Infinera Corp.   8,570        79
  Telephone and Data Systems Inc.   4,496        78
* Liberty Latin America Ltd. Class C   7,318        74
* 8x8 Inc.   5,291        69
* Extreme Networks Inc.   5,716        66
* Plantronics Inc.   2,182        61
* fuboTV Inc.   6,561        56
  ADTRAN Inc.   2,466        51
  Shenandoah Telecommunications Co.   2,217        50
* EchoStar Corp. Class A   1,792        44
* Gogo Inc.   2,946        42
* WideOpenWest Inc.   2,467        42
* Harmonic Inc.   4,324        40
* IDT Corp. Class B   1,046        38
* NETGEAR Inc.   1,439        38
* Clearfield Inc.     575        37
* Globalstar Inc.  29,471        35
* Digi International Inc.   1,636        33
* Anterix Inc.     540        29
* Consolidated Communications Holdings Inc.   3,889        28
  Comtech Telecommunications Corp.   1,274        26
* Liberty Latin America Ltd. Class A   2,078        21
* Inseego Corp.   4,042        19
* United States Cellular Corp.     689        19
* Ooma Inc.   1,091        18
 
29

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
  ATN International Inc.     499        17
* Akoustis Technologies Inc.   2,107        13
* CalAmp Corp.   1,854        13
* Cambium Networks Corp.     467        13
* Aviat Networks Inc.     468        13
* DZS Inc.     846        12
* Telesat Corp.     594        12
* Ribbon Communications Inc.   3,408        10
* KVH Industries Inc.     798         7
* Casa Systems Inc.   1,540         6
* Hemisphere Media Group Inc. Class A     805         4
* Kaltura Inc.     849         2
* IHS Holding Ltd.     106         1
         57,722
Utilities (2.8%)
  NextEra Energy Inc.  93,937     7,352
  Duke Energy Corp.  37,088     3,724
  Southern Co.  51,002     3,303
  Dominion Energy Inc.  38,612     3,071
  Waste Management Inc.  20,331     2,936
  Sempra Energy (XNYS)  15,276     2,203
  American Electric Power Co. Inc.  24,120     2,186
  Exelon Corp.  46,844     1,994
  Xcel Energy Inc.  25,716     1,731
  Public Service Enterprise Group Inc.  24,072     1,561
  Consolidated Edison Inc.  16,975     1,456
  WEC Energy Group Inc.  15,039     1,367
  Eversource Energy  16,357     1,338
  American Water Works Co. Inc.   8,690     1,313
  Republic Services Inc. Class A  10,074     1,212
  DTE Energy Co.   9,326     1,134
  Edison International  17,748     1,126
  FirstEnergy Corp.  25,949     1,086
  Ameren Corp.  12,262     1,054
  Entergy Corp.   9,628     1,013
  PPL Corp.  36,023       943
  CMS Energy Corp.  13,880       888
* PG&E Corp.  71,703       815
  CenterPoint Energy Inc.  28,395       777
  Constellation Energy Corp.  15,690       721
  Alliant Energy Corp.  11,912       696
  Atmos Energy Corp.   6,220       683
  Evergy Inc.  10,944       683
  AES Corp.  31,571       670
  NiSource Inc.  18,888       546
  Essential Utilities Inc.  11,097       523
  Vistra Corp.  22,821       521
  NRG Energy Inc.  11,654       441
  UGI Corp.  10,044       386
  Pinnacle West Capital Corp.   5,405       383
  OGE Energy Corp.   9,676       363
* Sunrun Inc.   9,807       268
  National Fuel Gas Co.   4,254       265
* Stericycle Inc.   4,406       257
  IDACORP Inc.   2,409       250
* Clean Harbors Inc.   2,449       234
* Evoqua Water Technologies Corp.   5,427       232
  Brookfield Renewable Corp. Class A   5,970       223
  Black Hills Corp.   3,052       214
    Shares Market
Value•

($000)
  Hawaiian Electric Industries Inc.   5,123       210
* Southwest Gas Holdings Inc.   2,962       210
  Portland General Electric Co.   4,043       205
  ONE Gas Inc.   2,373       197
  Brookfield Infrastructure Corp. Class A (XTSE)   2,800       197
  New Jersey Resources Corp.   4,450       194
  PNM Resources Inc.   4,000       181
* Casella Waste Systems Inc. Class A   2,281       172
  South Jersey Industries Inc.   4,793       163
  Ormat Technologies Inc. (XNYS)   2,219       158
  NorthWestern Corp.   2,561       155
  Spire Inc.   2,312       155
  ALLETE Inc.   2,417       152
  Avista Corp.   3,224       144
  California Water Service Group   2,492       142
  American States Water Co.   1,531       129
  Avangrid Inc.   2,869       129
  Clearway Energy Inc. Class C   3,620       121
  MGE Energy Inc.   1,651       119
  Chesapeake Utilities Corp.     833       111
  SJW Group   1,370        89
  Middlesex Water Co.     850        85
* Sunnova Energy International Inc.   4,184        84
* US Ecology Inc.   1,458        69
  Northwest Natural Holding Co.   1,302        68
  Clearway Energy Inc. Class A   2,105        64
* Harsco Corp.   3,802        45
  Unitil Corp.     718        36
  York Water Co.     598        27
  Artesian Resources Corp. Class A     403        19
* Heritage-Crystal Clean Inc.     692        19
  Aris Water Solution Inc. Class A     924        13
* Pure Cycle Corp.     931        11
  Global Water Resources Inc.     630        10
  Via Renewables Inc. Class A     617         7
         58,032
Total Common Stocks (Cost $1,509,124) 2,095,634
 
30

 

Russell 3000 Index Fund
    Shares Market
Value•

($000)
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
4,5 Vanguard Market Liquidity Fund, 0.138% (Cost $2,826)  28,268          2,826
Total Investments (99.9%) (Cost $1,511,950) 2,098,460
Other Assets and Liabilities—Net (0.1%) 1,479
Net Assets (100%) 2,099,939
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,263,000.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
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.
5 Collateral of $1,322,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini Russell 2000 Index March 2022 6 613 2
E-mini S&P 500 Index March 2022 14 3,058 (58)
        (56)
  
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

Russell 3000 Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $1,509,124) 2,095,634
Affiliated Issuers (Cost $2,826) 2,826
Total Investments in Securities 2,098,460
Investment in Vanguard 73
Cash Collateral Pledged—Futures Contracts 190
Receivables for Investment Securities Sold 132
Receivables for Accrued Income 2,527
Receivables for Capital Shares Issued 53
Total Assets 2,101,435
Liabilities  
Due to Custodian 73
Payables for Investment Securities Purchased 22
Collateral for Securities on Loan 1,322
Payables for Capital Shares Redeemed 4
Payables to Vanguard 68
Variation Margin Payable—Futures Contracts 7
Total Liabilities 1,496
Net Assets 2,099,939
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 1,380,689
Total Distributable Earnings (Loss) 719,250
Net Assets 2,099,939
 
ETF Shares—Net Assets  
Applicable to 5,900,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,167,335
Net Asset Value Per Share—ETF Shares $197.85
 
Institutional Shares—Net Assets  
Applicable to 2,435,188 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		932,604
Net Asset Value Per Share—Institutional Shares $382.97
  
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

Russell 3000 Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 14,578
Interest2 2
Securities Lending—Net 30
Total Income 14,610
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 84
Management and Administrative—ETF Shares 390
Management and Administrative—Institutional Shares 333
Marketing and Distribution—ETF Shares 22
Marketing and Distribution—Institutional Shares 27
Custodian Fees 127
Shareholders’ Reports—ETF Shares 19
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 1,012
Net Investment Income 13,598
Realized Net Gain (Loss)  
Investment Securities Sold2,3 167,601
Futures Contracts (422)
Realized Net Gain (Loss) 167,179
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (283,499)
Futures Contracts (354)
Change in Unrealized Appreciation (Depreciation) (283,853)
Net Increase (Decrease) in Net Assets Resulting from Operations (103,076)
1 Dividends are net of foreign withholding taxes of $5,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $173,709,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

Russell 3000 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 13,598   26,666
Realized Net Gain (Loss) 167,179   176,329
Change in Unrealized Appreciation (Depreciation) (283,853)   371,737
Net Increase (Decrease) in Net Assets Resulting from Operations (103,076)   574,732
Distributions      
ETF Shares (7,875)   (11,774)
Institutional Shares (7,851)   (14,477)
Total Distributions (15,726)   (26,251)
Capital Share Transactions      
ETF Shares 102,794   160,316
Institutional Shares (161,957)   (159,141)
Net Increase (Decrease) from Capital Share Transactions (59,163)   1,175
Total Increase (Decrease) (177,965)   549,656
Net Assets      
Beginning of Period 2,277,904   1,728,248
End of Period 2,099,939   2,277,904
  
See accompanying Notes, which are an integral part of the Financial Statements.
34

 

Russell 3000 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $208.13 $158.71 $133.26 $133.98 $113.52 $99.77
Investment Operations            
Net Investment Income1 1.230 2.385 2.416 2.312 2.099 1.980
Net Realized and Unrealized Gain (Loss) on Investments (10.115) 49.386 25.494 (.730) 20.442 13.722
Total from Investment Operations (8.885) 51.771 27.910 1.582 22.541 15.702
Distributions            
Dividends from Net Investment Income (1.395) (2.351) (2.460) (2.302) (2.081) (1.952)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.395) (2.351) (2.460) (2.302) (2.081) (1.952)
Net Asset Value, End of Period $197.85 $208.13 $158.71 $133.26 $133.98 $113.52
Total Return -4.29% 32.90% 21.31% 1.25% 20.07% 15.92%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,167 $1,124 $710 $463 $412 $343
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.21% 1.31% 1.74% 1.79% 1.70% 1.85%
Portfolio Turnover Rate2 5% 10% 8% 10% 14% 16%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
35

 

Russell 3000 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $402.86 $307.19 $257.87 $259.33 $219.72 $193.10
Investment Operations            
Net Investment Income1 2.469 4.689 4.739 4.499 4.220 3.952
Net Realized and Unrealized Gain (Loss) on Investments (19.623) 95.580 49.347 (1.394) 39.578 26.583
Total from Investment Operations (17.154) 100.269 54.086 3.105 43.798 30.535
Distributions            
Dividends from Net Investment Income (2.736) (4.599) (4.766) (4.565) (4.188) (3.915)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (2.736) (4.599) (4.766) (4.565) (4.188) (3.915)
Net Asset Value, End of Period $382.97 $402.86 $307.19 $257.87 $259.33 $219.72
Total Return -4.29% 32.94% 21.38% 1.27% 20.15% 16.00%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $933 $1,154 $1,018 $871 $879 $755
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.25% 1.34% 1.76% 1.81% 1.77% 1.92%
Portfolio Turnover Rate2 5% 10% 8% 10% 14% 16%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
36

 

Russell 3000 Index Fund
Notes to Financial Statements
Vanguard Russell 3000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
37

 

Russell 3000 Index Fund
During the six months ended February 28, 2022, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
38

 

Russell 3000 Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $73,000, representing less than 0.01% of the fund’s net assets and 0.03% 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 and derivatives. 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.).
39

 

Russell 3000 Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 2,095,612 16 6 2,095,634
Temporary Cash Investments 2,826 — — 2,826
Total 2,098,438 16 6 2,098,460
Derivative Financial Instruments         
Assets        
Futures Contracts 2 — — 2
Liabilities        
Futures Contracts1 58 — — 58
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 1,517,647
Gross Unrealized Appreciation 669,269
Gross Unrealized Depreciation (88,512)
Net Unrealized Appreciation (Depreciation) 580,757
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $32,032,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $351,600,000 of investment securities and sold $408,508,000 of investment securities, other than temporary cash investments. Purchases and sales include $130,470,000 and $302,644,000, 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 six months ended February 28, 2022, such purchases were $8,350,000 and sales were $3,848,000,
40

 

Russell 3000 Index Fund
resulting in net realized loss of $401,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 318,424 1,525   478,092 2,675
Issued in Lieu of Cash Distributions — —   — —
Redeemed (215,630) (1,025)   (317,776) (1,750)
Net Increase (Decrease)—ETF Shares 102,794 500   160,316 925
Institutional Shares          
Issued 211,926 510   264,939 764
Issued in Lieu of Cash Distributions 7,117 18   12,831 38
Redeemed (381,000) (957)   (436,911) (1,252)
Net Increase (Decrease)—Institutional Shares (161,957) (429)   (159,141) (450)
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
41

 

The Products are not sponsored, endorsed, sold or promoted by Frank Russell Company (“Russell”). Russell makes no representation or warranty, express or implied, to the owners of the Products or any member of the public regarding the advisability of investing in securities generally or in the Products particularly or the ability of the Russell 3000 Index to track general stock market performance or a segment of the same. Russell’s publication of the Russell 3000 Index in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the securities upon which the Russell 3000 Index are based. Russell’s only relationship to The Vanguard Group, Inc. is the licensing of certain trademarks and trade names of Russell and of the Russell 3000 Index which are determined, composed and calculated by Russell without regard to The Vanguard Group, Inc. or the Products. Russell is not responsible for and has not reviewed the Products nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. Russell has no obligation or liability in connection with the administration, marketing or trading of the Products.
Russell makes no representation, warranty or guarantee as to the accuracy, completeness, reliability or otherwise of the Russell Indexes or any data included in the Russell Indexes. Russell does not guarantee the accuracy and/or the completeness of the Russell 3000 Index or any data included therein and Russell shall have no liability for any errors, omissions, or interruptions therein. Russell makes no warranty, express or implied, as to the use of or results to be obtained by The Vanguard Group, Inc., investors, owners of the Products, or any other person or entity from the use of the Russell 3000 Index or any data included therein. Russell makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Russell 3000 Index or any data included therein. Without limiting any of the foregoing, in no event shall Russell have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.
Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell Indexes. Russell has no obligation to take the needs of any particular fund or its participants or any other product or person into consideration in determining, composing or calculating any of the Russell Indexes.
42

 

This page intentionally left blank.

 

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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q18542 042022

 

 

Semiannual Report  |  February 28, 2022
Vanguard Sector Bond Index Funds
Vanguard Short-Term Treasury Index Fund
Vanguard Intermediate-Term Treasury Index Fund
Vanguard Long-Term Treasury Index Fund
Vanguard Short-Term Corporate Bond Index Fund
Vanguard Intermediate-Term Corporate Bond Index Fund
Vanguard Long-Term Corporate Bond Index Fund
Vanguard Mortgage-Backed Securities Index Fund

 

 

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.
1

 

Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Treasury Index Fund      
ETF Shares $1,000.00 $981.90 $0.20
Admiral™ Shares 1,000.00 982.00 0.34
Institutional Shares 1,000.00 982.00 0.25
Intermediate-Term Treasury Index Fund      
ETF Shares $1,000.00 $963.30 $0.19
Admiral Shares 1,000.00 963.10 0.34
Institutional Shares 1,000.00 963.00 0.24
Long-Term Treasury Index Fund      
ETF Shares $1,000.00 $945.10 $0.19
Admiral Shares 1,000.00 945.10 0.34
Institutional Shares 1,000.00 945.10 0.24
Short-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $971.70 $0.20
Admiral Shares 1,000.00 971.30 0.34
Institutional Shares 1,000.00 971.50 0.24
Intermediate-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $946.20 $0.19
Admiral Shares 1,000.00 945.90 0.34
Institutional Shares 1,000.00 945.90 0.24
Long-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $906.80 $0.19
Admiral Shares 1,000.00 906.70 0.33
Institutional Shares 1,000.00 906.70 0.24
Mortgage-Backed Securities Index Fund      
ETF Shares $1,000.00 $967.80 $0.20
Admiral Shares 1,000.00 967.90 0.34
Institutional Shares 1,000.00 967.90 0.24
2

 

Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Short-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Intermediate-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Long-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Short-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Intermediate-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Long-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Mortgage-Backed Securities Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
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 Treasury Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Treasury Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Long-Term Treasury Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Short-Term Corporate Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Long-Term Corporate Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; and for the Mortgage-Backed Securities Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, and 0.05% 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 (181/365).
3

 

Short-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 28, 2022
Under 1 Year 0.0%
1 - 2 Years 55.0
2 - 3 Years 43.8
3 - 4 Years 1.2
The table reflects the fund's investments, except for temporary cash investments.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
4

 

Short-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (99.7%)
U.S. Government Securities (99.7%)
  United States Treasury Note/Bond 1.375%  2/15/23       2          2
  United States Treasury Note/Bond 2.000%  2/15/23     306        309
  United States Treasury Note/Bond 1.500%  2/28/23       4          4
  United States Treasury Note/Bond 2.625%  2/28/23       4          4
  United States Treasury Note/Bond 0.500%  3/15/23  19,149     19,029
  United States Treasury Note/Bond 0.125%  3/31/23 218,552    216,162
  United States Treasury Note/Bond 1.500%  3/31/23 225,311    226,156
  United States Treasury Note/Bond 2.500%  3/31/23 206,808    209,813
  United States Treasury Note/Bond 0.250%  4/15/23 304,781    301,686
  United States Treasury Note/Bond 0.125%  4/30/23 224,313    221,544
  United States Treasury Note/Bond 1.625%  4/30/23  45,125     45,351
  United States Treasury Note/Bond 2.750%  4/30/23  57,672     58,708
  United States Treasury Note/Bond 0.125%  5/15/23 275,699    272,253
  United States Treasury Note/Bond 1.750%  5/15/23 204,204    205,576
  United States Treasury Note/Bond 0.125%  5/31/23 186,481    183,946
  United States Treasury Note/Bond 1.625%  5/31/23  53,814     54,091
  United States Treasury Note/Bond 2.750%  5/31/23 110,004    112,084
  United States Treasury Note/Bond 0.250%  6/15/23 273,989    270,607
  United States Treasury Note/Bond 0.125%  6/30/23 190,092    187,270
  United States Treasury Note/Bond 1.375%  6/30/23 176,953    177,257
  United States Treasury Note/Bond 2.625%  6/30/23  55,239     56,232
  United States Treasury Note/Bond 0.125%  7/15/23 294,220    289,715
  United States Treasury Note/Bond 0.125%  7/31/23 178,462    175,534
  United States Treasury Note/Bond 1.250%  7/31/23  96,366     96,336
  United States Treasury Note/Bond 2.750%  7/31/23  72,163     73,663
  United States Treasury Note/Bond 0.125%  8/15/23 272,990    268,341
  United States Treasury Note/Bond 2.500%  8/15/23 282,355    287,252
  United States Treasury Note/Bond 6.250%  8/15/23  12,745     13,645
  United States Treasury Note/Bond 0.125%  8/31/23  75,362     74,043
  United States Treasury Note/Bond 1.375%  8/31/23 235,113    235,260
  United States Treasury Note/Bond 2.750%  8/31/23  63,873     65,220
  United States Treasury Note/Bond 0.125%  9/15/23 284,389    279,234
  United States Treasury Note/Bond 0.250%  9/30/23 173,873    170,885
  United States Treasury Note/Bond 1.375%  9/30/23 239,632    239,707
  United States Treasury Note/Bond 2.875%  9/30/23 106,402    108,929
  United States Treasury Note/Bond 0.125% 10/15/23 303,136    297,073
  United States Treasury Note/Bond 0.375% 10/31/23 180,189    177,176
  United States Treasury Note/Bond 1.625% 10/31/23 188,324    189,060
  United States Treasury Note/Bond 2.875% 10/31/23 215,372    220,588
5

 

Short-Term Treasury Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond 0.250% 11/15/23 349,992    343,266
  United States Treasury Note/Bond 2.750% 11/15/23 275,528    281,770
  United States Treasury Note/Bond 0.500% 11/30/23 130,321    128,285
  United States Treasury Note/Bond 2.125% 11/30/23 117,758    119,212
  United States Treasury Note/Bond 2.875% 11/30/23  73,690     75,555
  United States Treasury Note/Bond 0.125% 12/15/23 319,167    311,886
  United States Treasury Note/Bond 0.750% 12/31/23 164,692    162,659
  United States Treasury Note/Bond 2.250% 12/31/23  43,934     44,572
  United States Treasury Note/Bond 2.625% 12/31/23  74,798     76,422
  United States Treasury Note/Bond 0.125%  1/15/24 347,717    339,241
  United States Treasury Note/Bond 0.875%  1/31/24 211,373    209,127
  United States Treasury Note/Bond 2.250%  1/31/24 160,035    162,435
  United States Treasury Note/Bond 2.500%  1/31/24  81,189     82,775
  United States Treasury Note/Bond 0.125%  2/15/24 390,456    380,390
  United States Treasury Note/Bond 2.750%  2/15/24 334,082    342,382
  United States Treasury Note/Bond 1.500%  2/29/24  93,515     93,603
  United States Treasury Note/Bond 2.125%  2/29/24  69,917     70,802
  United States Treasury Note/Bond 2.375%  2/29/24  78,291     79,661
  United States Treasury Note/Bond 0.250%  3/15/24 287,506    280,273
  United States Treasury Note/Bond 2.125%  3/31/24 230,392    233,344
  United States Treasury Note/Bond 0.375%  4/15/24 385,170    375,962
  United States Treasury Note/Bond 2.000%  4/30/24  52,686     53,213
  United States Treasury Note/Bond 2.250%  4/30/24 170,685    173,352
  United States Treasury Note/Bond 0.250%  5/15/24 377,100    366,553
  United States Treasury Note/Bond 2.500%  5/15/24 294,811    300,938
  United States Treasury Note/Bond 2.000%  5/31/24 202,103    204,124
  United States Treasury Note/Bond 0.250%  6/15/24 341,703    331,719
  United States Treasury Note/Bond 1.750%  6/30/24 153,232    153,950
  United States Treasury Note/Bond 2.000%  6/30/24  52,832     53,377
  United States Treasury Note/Bond 0.375%  7/15/24 333,264    324,047
  United States Treasury Note/Bond 1.750%  7/31/24  65,053     65,338
  United States Treasury Note/Bond 2.125%  7/31/24  53,332     54,032
  United States Treasury Note/Bond 0.375%  8/15/24 486,195    472,065
  United States Treasury Note/Bond 2.375%  8/15/24 174,155    177,420
  United States Treasury Note/Bond 1.250%  8/31/24 122,575    121,560
  United States Treasury Note/Bond 1.875%  8/31/24  93,129     93,784
  United States Treasury Note/Bond 0.375%  9/15/24 359,842    348,878
  United States Treasury Note/Bond 1.500%  9/30/24 112,982    112,682
  United States Treasury Note/Bond 2.125%  9/30/24  50,410     51,072
  United States Treasury Note/Bond 0.625% 10/15/24 328,941    320,666
  United States Treasury Note/Bond 1.500% 10/31/24 116,347    116,002
  United States Treasury Note/Bond 2.250% 10/31/24  58,371     59,338
  United States Treasury Note/Bond 0.750% 11/15/24 511,950    500,110
  United States Treasury Note/Bond 2.250% 11/15/24 179,850    182,885
  United States Treasury Note/Bond 1.500% 11/30/24 118,908    118,518
  United States Treasury Note/Bond 2.125% 11/30/24  80,734     81,806
  United States Treasury Note/Bond 1.000% 12/15/24 296,708    291,701
  United States Treasury Note/Bond 1.750% 12/31/24 101,853    102,187
  United States Treasury Note/Bond 2.250% 12/31/24  73,246     74,505
  United States Treasury Note/Bond 1.125%  1/15/25 295,085    290,889
  United States Treasury Note/Bond 1.375%  1/31/25 118,530    117,641
  United States Treasury Note/Bond 2.500%  1/31/25  23,848     24,429
  United States Treasury Note/Bond 1.500%  2/15/25 474,935    473,006
  United States Treasury Note/Bond 2.000%  2/15/25 137,901    139,280
  United States Treasury Note/Bond 1.125%  2/28/25 154,597    152,254
6

 

Short-Term Treasury Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond 2.750%  2/28/25  72,951     75,276
  United States Treasury Note/Bond 0.500%  3/31/25  86,890     83,862
  United States Treasury Note/Bond 2.625%  3/31/25  57,384     59,052
  United States Treasury Note/Bond 2.875%  4/30/25  54,401     56,407
Total U.S. Government and Agency Obligations (Cost $17,354,274) 17,051,285
          Shares  
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund
(Cost $2,226) 		0.138%           22,265      2,226
Total Investments (99.7%) (Cost $17,356,500)   17,053,511
Other Assets and Liabilities—Net (0.3%)   42,879
Net Assets (100%)   17,096,390
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 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.
7

 

Short-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $17,354,274) 17,051,285
Affiliated Issuers (Cost $2,226) 2,226
Total Investments in Securities 17,053,511
Investment in Vanguard 576
Receivables for Investment Securities Sold 870,033
Receivables for Accrued Income 39,241
Receivables for Capital Shares Issued 4,591
Total Assets 17,967,952
Liabilities  
Due to Custodian 7
Payables for Investment Securities Purchased 869,130
Payables for Capital Shares Redeemed 1,935
Payables for Distributions 219
Payables to Vanguard 271
Total Liabilities 871,562
Net Assets 17,096,390
8

 

Short-Term Treasury Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 17,411,138
Total Distributable Earnings (Loss) (314,748)
Net Assets 17,096,390
 
ETF Shares—Net Assets  
Applicable to 228,977,650 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		13,764,190
Net Asset Value Per Share—ETF Shares $60.11
 
Admiral Shares—Net Assets  
Applicable to 111,655,358 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,238,496
Net Asset Value Per Share—Admiral Shares $20.05
 
Institutional Shares—Net Assets  
Applicable to 43,423,522 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,093,704
Net Asset Value Per Share—Institutional Shares $25.19
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Short-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 30,065
Total Income 30,065
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 164
Management and Administrative—ETF Shares 2,164
Management and Administrative—Admiral Shares 696
Management and Administrative—Institutional Shares 250
Marketing and Distribution—ETF Shares 254
Marketing and Distribution—Admiral Shares 73
Marketing and Distribution—Institutional Shares 33
Custodian Fees 15
Shareholders’ Reports—ETF Shares 125
Shareholders’ Reports—Admiral Shares 11
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 4
Other Expenses 7
Total Expenses 3,797
Net Investment Income 26,268
Realized Net Gain (Loss) on Investment Securities Sold1,2 (10,022)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 (323,790)
Net Increase (Decrease) in Net Assets Resulting from Operations (307,544)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $9,000, $3,000, $2,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($10,014,000) of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Short-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 26,268   68,639
Realized Net Gain (Loss) (10,022)   81,417
Change in Unrealized Appreciation (Depreciation) (323,790)   (133,475)
Net Increase (Decrease) in Net Assets Resulting from Operations (307,544)   16,581
Distributions      
ETF Shares (63,591)   (110,961)
Admiral Shares (10,252)   (27,852)
Institutional Shares (5,647)   (12,476)
Total Distributions (79,490)   (151,289)
Capital Share Transactions      
ETF Shares 677,182   4,351,856
Admiral Shares (139,265)   (291,770)
Institutional Shares (16,176)   44,764
Net Increase (Decrease) from Capital Share Transactions 521,741   4,104,850
Total Increase (Decrease) 134,707   3,970,142
Net Assets      
Beginning of Period 16,961,683   12,991,541
End of Period 17,096,390   16,961,683
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Short-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $61.50 $62.13 $61.12 $59.89 $60.86 $61.14
Investment Operations            
Net Investment Income1 .095 .288 .956 1.430 .965 .614
Net Realized and Unrealized Gain (Loss) on Investments (1.203) (.220) 1.115 1.165 (1.062) (.311)
Total from Investment Operations (1.108) .068 2.071 2.595 (.097) .303
Distributions            
Dividends from Net Investment Income (.094) (.325) (1.061) (1.365) (.873) (.573)
Distributions from Realized Capital Gains (.188) (.373) — — — (.010)
Total Distributions (.282) (.698) (1.061) (1.365) (.873) (.583)
Net Asset Value, End of Period $60.11 $61.50 $62.13 $61.12 $59.89 $60.86
Total Return -1.81% 0.11% 3.43% 4.39% -0.15% 0.50%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $13,764 $13,394 $9,140 $5,334 $3,080 $1,832
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 0.31% 0.47% 1.55% 2.37% 1.61% 1.01%
Portfolio Turnover Rate2 28% 66% 67% 55% 67% 60%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
12

 

Short-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $20.51 $20.71 $20.35 $19.95 $20.29 $20.38
Investment Operations            
Net Investment Income1 .029 .095 .312 .472 .324 .202
Net Realized and Unrealized Gain (Loss) on Investments (.397) (.078) .375 .384 (.358) (.096)
Total from Investment Operations (.368) .017 .687 .856 (.034) .106
Distributions            
Dividends from Net Investment Income (.029) (.093) (.327) (.456) (.306) (.193)
Distributions from Realized Capital Gains (.063) (.124) — — — (.003)
Total Distributions (.092) (.217) (.327) (.456) (.306) (.196)
Net Asset Value, End of Period $20.05 $20.51 $20.71 $20.35 $19.95 $20.29
Total Return2 -1.80% 0.08% 3.41% 4.34% -0.16% 0.53%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,238 $2,430 $2,748 $1,596 $929 $507
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 0.28% 0.46% 1.52% 2.35% 1.61% 1.01%
Portfolio Turnover Rate3 28% 66% 67% 55% 67% 60%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
13

 

Short-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $25.77 $26.02 $25.57 $25.06 $25.49 $25.60
Investment Operations            
Net Investment Income1 .039 .120 .421 .598 .425 .260
Net Realized and Unrealized Gain (Loss) on Investments (.502) (.092) .445 .490 (.467) (.117)
Total from Investment Operations (.463) .028 .866 1.088 (.042) .143
Distributions            
Dividends from Net Investment Income (.038) (.122) (.416) (.578) (.388) (.249)
Distributions from Realized Capital Gains (.079) (.156) — — — (.004)
Total Distributions (.117) (.278) (.416) (.578) (.388) (.253)
Net Asset Value, End of Period $25.19 $25.77 $26.02 $25.57 $25.06 $25.49
Total Return -1.80% 0.11% 3.42% 4.40% -0.16% 0.56%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,094 $1,138 $1,104 $974 $508 $208
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 0.30% 0.47% 1.63% 2.37% 1.63% 1.03%
Portfolio Turnover Rate2 28% 66% 67% 55% 67% 60%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
14

 

Short-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Short-Term Treasury Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
15

 

Short-Term Treasury Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
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 based on the average cost of the 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $576,000, 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. 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.).
16

 

Short-Term Treasury Index Fund
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 Schedule of Investments.
The following table summarizes the market value of the fund's investments as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 17,051,285 — 17,051,285
Temporary Cash Investments 2,226 — — 2,226
Total 2,226 17,051,285 — 17,053,511
D. As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 17,356,655
Gross Unrealized Appreciation 2,089
Gross Unrealized Depreciation (305,233)
Net Unrealized Appreciation (Depreciation) (303,144)
E. During the six months ended February 28, 2022, the fund purchased $7,785,543,000 of investment securities and sold $7,262,415,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,034,744,000 and $2,368,717,000, 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 six months ended February 28, 2022, such purchases were $1,433,820,000 and sales were $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
17

 

Short-Term Treasury Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 3,060,103 50,429   5,990,667 97,261
Issued in Lieu of Cash Distributions — —   — —
Redeemed (2,382,921) (39,250)   (1,638,811) (26,575)
Net Increase (Decrease)—ETF Shares 677,182 11,179   4,351,856 70,686
Admiral Shares          
Issued 425,874 20,986   989,015 48,049
Issued in Lieu of Cash Distributions 7,886 389   22,569 1,097
Redeemed (573,025) (28,196)   (1,303,354) (63,333)
Net Increase (Decrease)—Admiral Shares (139,265) (6,821)   (291,770) (14,187)
Institutional Shares          
Issued 236,492 9,227   632,092 24,453
Issued in Lieu of Cash Distributions 4,543 178   10,629 412
Redeemed (257,211) (10,139)   (597,957) (23,156)
Net Increase (Decrease)—Institutional Shares (16,176) (734)   44,764 1,709
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
18

 

Intermediate-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 28, 2022
0 - 2 Years 0.0%
2 - 4 Years 22.2
4 - 6 Years 39.3
6 - 8 Years 23.2
8 - 10 Years 15.3
The table reflects the fund's investments, except for short-term investments.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
19

 

Intermediate-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (99.7%)
U.S. Government Securities (99.7%)
  United States Treasury Note/Bond 2.500%  1/31/25       5          5
  United States Treasury Note/Bond 7.625%  2/15/25   3,300      3,871
  United States Treasury Note/Bond 0.500%  3/31/25  48,202     46,522
  United States Treasury Note/Bond 0.375%  4/30/25 144,584    138,801
  United States Treasury Note/Bond 2.125%  5/15/25 184,898    187,469
  United States Treasury Note/Bond 0.250%  5/31/25 161,078    153,754
  United States Treasury Note/Bond 2.875%  5/31/25  72,378     75,081
  United States Treasury Note/Bond 0.250%  6/30/25 169,814    161,854
  United States Treasury Note/Bond 2.750%  6/30/25  51,819     53,584
  United States Treasury Note/Bond 0.250%  7/31/25  99,162     94,390
  United States Treasury Note/Bond 2.875%  7/31/25 113,117    117,518
  United States Treasury Note/Bond 2.000%  8/15/25 169,253    170,893
  United States Treasury Note/Bond 0.250%  8/31/25 175,749    167,016
  United States Treasury Note/Bond 2.750%  8/31/25  89,511     92,630
  United States Treasury Note/Bond 0.250%  9/30/25 103,961     98,665
  United States Treasury Note/Bond 3.000%  9/30/25  56,824     59,363
  United States Treasury Note/Bond 0.250% 10/31/25  76,304     72,322
  United States Treasury Note/Bond 3.000% 10/31/25  71,863     75,108
  United States Treasury Note/Bond 2.250% 11/15/25 188,297    191,798
  United States Treasury Note/Bond 0.375% 11/30/25 187,127    177,917
  United States Treasury Note/Bond 2.875% 11/30/25  93,461     97,345
  United States Treasury Note/Bond 0.375% 12/31/25  60,788     57,739
  United States Treasury Note/Bond 2.625% 12/31/25  57,341     59,249
  United States Treasury Note/Bond 0.375%  1/31/26  90,844     86,160
  United States Treasury Note/Bond 2.625%  1/31/26  97,761    101,030
  United States Treasury Note/Bond 1.625%  2/15/26 197,608    196,713
  United States Treasury Note/Bond 0.500%  2/28/26 201,330    191,704
  United States Treasury Note/Bond 2.500%  2/28/26   5,425      5,582
  United States Treasury Note/Bond 0.750%  3/31/26  72,468     69,637
  United States Treasury Note/Bond 2.250%  3/31/26 128,848    131,385
  United States Treasury Note/Bond 0.750%  4/30/26 101,936     97,859
  United States Treasury Note/Bond 2.375%  4/30/26  95,355     97,739
  United States Treasury Note/Bond 1.625%  5/15/26 192,473    191,450
  United States Treasury Note/Bond 0.750%  5/31/26 117,810    112,987
  United States Treasury Note/Bond 2.125%  5/31/26  52,444     53,239
  United States Treasury Note/Bond 0.875%  6/30/26  99,936     96,298
  United States Treasury Note/Bond 1.875%  6/30/26  87,942     88,409
  United States Treasury Note/Bond 0.625%  7/31/26  77,478     73,774
  United States Treasury Note/Bond 1.875%  7/31/26 133,993    134,705
20

 

Intermediate-Term Treasury Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond 1.500%  8/15/26 207,380    205,144
  United States Treasury Note/Bond 6.750%  8/15/26   5,331      6,467
  United States Treasury Note/Bond 0.750%  8/31/26 164,220    157,138
  United States Treasury Note/Bond 1.375%  8/31/26  25,355     24,947
  United States Treasury Note/Bond 0.875%  9/30/26 106,736    102,617
  United States Treasury Note/Bond 1.625%  9/30/26  65,662     65,303
  United States Treasury Note/Bond 1.125% 10/31/26 101,901     99,035
  United States Treasury Note/Bond 1.625% 10/31/26  64,718     64,364
  United States Treasury Note/Bond 2.000% 11/15/26 177,420    179,416
  United States Treasury Note/Bond 6.500% 11/15/26   7,377      8,946
  United States Treasury Note/Bond 1.250% 11/30/26 163,348    159,673
  United States Treasury Note/Bond 1.625% 11/30/26  66,845     66,469
  United States Treasury Note/Bond 1.250% 12/31/26 164,479    160,727
  United States Treasury Note/Bond 1.750% 12/31/26  63,824     63,834
  United States Treasury Note/Bond 1.500%  1/31/27 168,594    166,645
  United States Treasury Note/Bond 2.250%  2/15/27 161,767    165,559
  United States Treasury Note/Bond 6.625%  2/15/27   3,015      3,703
  United States Treasury Note/Bond 1.125%  2/28/27  33,463     32,459
  United States Treasury Note/Bond 1.875%  2/28/27 154,620    155,683
  United States Treasury Note/Bond 0.625%  3/31/27  68,162     64,434
  United States Treasury Note/Bond 0.500%  4/30/27  97,257     91,254
  United States Treasury Note/Bond 2.375%  5/15/27 201,738    207,790
  United States Treasury Note/Bond 0.500%  5/31/27 100,283     93,937
  United States Treasury Note/Bond 0.500%  6/30/27  96,331     90,100
  United States Treasury Note/Bond 0.375%  7/31/27 141,853    131,679
  United States Treasury Note/Bond 2.250%  8/15/27 190,674    195,351
  United States Treasury Note/Bond 6.375%  8/15/27   3,000      3,713
  United States Treasury Note/Bond 0.500%  8/31/27 169,107    157,772
  United States Treasury Note/Bond 0.375%  9/30/27 146,232    135,333
  United States Treasury Note/Bond 0.500% 10/31/27  92,120     85,758
  United States Treasury Note/Bond 2.250% 11/15/27 161,106    165,058
  United States Treasury Note/Bond 6.125% 11/15/27  10,997     13,576
  United States Treasury Note/Bond 0.625% 11/30/27 179,459    167,990
  United States Treasury Note/Bond 0.625% 12/31/27  95,593     89,424
  United States Treasury Note/Bond 0.750%  1/31/28 161,290    151,789
  United States Treasury Note/Bond 2.750%  2/15/28 109,476    115,395
  United States Treasury Note/Bond 1.125%  2/29/28 202,620    194,958
  United States Treasury Note/Bond 1.250%  3/31/28 135,262    130,951
  United States Treasury Note/Bond 1.250%  4/30/28 109,784    106,233
  United States Treasury Note/Bond 2.875%  5/15/28 128,344    136,305
  United States Treasury Note/Bond 1.250%  5/31/28 190,336    184,031
  United States Treasury Note/Bond 1.250%  6/30/28 106,238    102,652
  United States Treasury Note/Bond 1.000%  7/31/28  99,986     95,034
  United States Treasury Note/Bond 2.875%  8/15/28 211,887    225,527
  United States Treasury Note/Bond 5.500%  8/15/28  23,182     28,344
  United States Treasury Note/Bond 1.125%  8/31/28 156,695    150,035
  United States Treasury Note/Bond 1.250%  9/30/28 111,058    107,102
  United States Treasury Note/Bond 1.375% 10/31/28 133,397    129,624
  United States Treasury Note/Bond 3.125% 11/15/28 132,612    143,490
  United States Treasury Note/Bond 5.250% 11/15/28  26,223     31,906
  United States Treasury Note/Bond 1.500% 11/30/28 163,319    159,951
  United States Treasury Note/Bond 1.375% 12/31/28 155,858    151,401
  United States Treasury Note/Bond 1.750%  1/31/29 108,254    107,763
  United States Treasury Note/Bond 2.625%  2/15/29 193,034    203,259
  United States Treasury Note/Bond 5.250%  2/15/29  31,117     38,075
21

 

Intermediate-Term Treasury Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond 1.875%  2/28/29 137,595    138,068
  United States Treasury Note/Bond 2.375%  5/15/29 173,065    179,582
  United States Treasury Note/Bond 1.625%  8/15/29 171,007    168,923
  United States Treasury Note/Bond 6.125%  8/15/29  16,702     21,739
  United States Treasury Note/Bond 1.750% 11/15/29 136,616    136,232
  United States Treasury Note/Bond 1.500%  2/15/30 194,623    190,244
  United States Treasury Note/Bond 0.625%  5/15/30 221,850    201,779
  United States Treasury Note/Bond 6.250%  5/15/30   6,930      9,270
  United States Treasury Note/Bond 0.625%  8/15/30 313,570    284,271
  United States Treasury Note/Bond 0.875% 11/15/30 302,026    279,138
  United States Treasury Note/Bond 1.125%  2/15/31 314,156    296,190
  United States Treasury Note/Bond 5.375%  2/15/31   8,000     10,359
  United States Treasury Note/Bond 1.625%  5/15/31 309,536    304,264
  United States Treasury Note/Bond 1.250%  8/15/31 268,439    254,933
  United States Treasury Note/Bond 1.375% 11/15/31 280,229    268,845
  United States Treasury Note/Bond 1.875%  2/15/32 106,583    106,999
Total U.S. Government and Agency Obligations (Cost $13,606,718) 13,207,524
          Shares  
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
1 Vanguard Market Liquidity Fund
(Cost $43,210) 		0.138%          432,164     43,212
Total Investments (100.0%) (Cost $13,649,928)   13,250,736
Other Assets and Liabilities—Net (0.0%)   (448)
Net Assets (100%)   13,250,288
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 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.
22

 

Intermediate-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $13,606,718) 13,207,524
Affiliated Issuers (Cost $43,210) 43,212
Total Investments in Securities 13,250,736
Investment in Vanguard 465
Cash 23
Receivables for Investment Securities Sold 336,057
Receivables for Accrued Income 36,085
Receivables for Capital Shares Issued 27,686
Total Assets 13,651,052
Liabilities  
Payables for Investment Securities Purchased 390,698
Payables for Capital Shares Redeemed 9,435
Payables for Distributions 411
Payables to Vanguard 220
Total Liabilities 400,764
Net Assets 13,250,288
23

 

Intermediate-Term Treasury Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 13,661,384
Total Distributable Earnings (Loss) (411,096)
Net Assets 13,250,288
 
ETF Shares—Net Assets  
Applicable to 135,627,693 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		8,821,328
Net Asset Value Per Share—ETF Shares $65.04
 
Admiral Shares—Net Assets  
Applicable to 120,706,640 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,649,907
Net Asset Value Per Share—Admiral Shares $21.95
 
Institutional Shares—Net Assets  
Applicable to 65,301,959 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,779,053
Net Asset Value Per Share—Institutional Shares $27.24
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Intermediate-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 77,157
Total Income 77,157
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 129
Management and Administrative—ETF Shares 1,425
Management and Administrative—Admiral Shares 762
Management and Administrative—Institutional Shares 367
Marketing and Distribution—ETF Shares 173
Marketing and Distribution—Admiral Shares 81
Marketing and Distribution—Institutional Shares 48
Custodian Fees 12
Shareholders’ Reports—ETF Shares 85
Shareholders’ Reports—Admiral Shares 17
Shareholders’ Reports—Institutional Shares 3
Trustees’ Fees and Expenses 3
Other Expenses 7
Total Expenses 3,112
Net Investment Income 74,045
Realized Net Gain (Loss) on Investment Securities Sold1,2 (9,685)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 (565,300)
Net Increase (Decrease) in Net Assets Resulting from Operations (500,940)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,000, less than $1,000, $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $8,531,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Intermediate-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 74,045   135,171
Realized Net Gain (Loss) (9,685)   147,291
Change in Unrealized Appreciation (Depreciation) (565,300)   (417,388)
Net Increase (Decrease) in Net Assets Resulting from Operations (500,940)   (134,926)
Distributions      
ETF Shares (102,322)   (132,684)
Admiral Shares (27,644)   (49,704)
Institutional Shares (19,819)   (31,298)
Total Distributions (149,785)   (213,686)
Capital Share Transactions      
ETF Shares 1,115,360   1,812,764
Admiral Shares 127,186   (8,693)
Institutional Shares 140,348   217,704
Net Increase (Decrease) from Capital Share Transactions 1,382,894   2,021,775
Total Increase (Decrease) 732,169   1,673,163
Net Assets      
Beginning of Period 12,518,119   10,844,956
End of Period 13,250,288   12,518,119
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Intermediate-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $68.27 $70.46 $67.26 $62.67 $65.29 $66.54
Investment Operations            
Net Investment Income1 .372 .809 1.239 1.515 1.250 1.043
Net Realized and Unrealized Gain (Loss) on Investments (2.862) (1.692) 3.248 4.552 (2.691) (1.201)
Total from Investment Operations (2.490) (.883) 4.487 6.067 (1.441) (.158)
Distributions            
Dividends from Net Investment Income (.374) (.820) (1.287) (1.477) (1.179) (1.011)
Distributions from Realized Capital Gains (.366) (.487) — — — (.081)
Total Distributions (.740) (1.307) (1.287) (1.477) (1.179) (1.092)
Net Asset Value, End of Period $65.04 $68.27 $70.46 $67.26 $62.67 $65.29
Total Return -3.67% -1.26% 6.76% 9.84% -2.21% -0.21%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,821 $8,147 $6,547 $4,353 $2,680 $1,329
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.13% 1.18% 1.80% 2.36% 1.97% 1.61%
Portfolio Turnover Rate2 17% 33% 28% 29% 31% 32%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
27

 

Intermediate-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $23.04 $23.78 $22.68 $21.13 $22.03 $22.45
Investment Operations            
Net Investment Income1 .122 .267 .416 .507 .418 .351
Net Realized and Unrealized Gain (Loss) on Investments (.967) (.577) 1.101 1.540 (.911) (.400)
Total from Investment Operations (.845) (.310) 1.517 2.047 (.493) (.049)
Distributions            
Dividends from Net Investment Income (.121) (.265) (.417) (.497) (.407) (.344)
Distributions from Realized Capital Gains (.124) (.165) — — — (.027)
Total Distributions (.245) (.430) (.417) (.497) (.407) (.371)
Net Asset Value, End of Period $21.95 $23.04 $23.78 $22.68 $21.13 $22.03
Total Return2 -3.69% -1.31% 6.76% 9.83% -2.24% -0.19%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,650 $2,646 $2,740 $1,887 $1,104 $874
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.10% 1.15% 1.79% 2.34% 1.97% 1.61%
Portfolio Turnover Rate3 17% 33% 28% 29% 31% 32%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
28

 

Intermediate-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $28.60 $29.51 $28.15 $26.23 $27.33 $27.86
Investment Operations            
Net Investment Income1 .155 .337 .527 .634 .524 .441
Net Realized and Unrealized Gain (Loss) on Investments (1.208) (.709) 1.355 1.908 (1.114) (.507)
Total from Investment Operations (1.053) (.372) 1.882 2.542 (.590) (.066)
Distributions            
Dividends from Net Investment Income (.153) (.334) (.522) (.622) (.510) (.430)
Distributions from Realized Capital Gains (.154) (.204) — — — (.034)
Total Distributions (.307) (.538) (.522) (.622) (.510) (.464)
Net Asset Value, End of Period $27.24 $28.60 $29.51 $28.15 $26.23 $27.33
Total Return -3.70% -1.26% 6.76% 9.83% -2.16% -0.21%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,779 $1,725 $1,558 $1,183 $390 $336
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 1.12% 1.17% 1.83% 2.36% 1.99% 1.63%
Portfolio Turnover Rate2 17% 33% 28% 29% 31% 32%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
29

 

Intermediate-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Treasury Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds
30

 

Intermediate-Term Treasury Index Fund
effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $465,000, representing less than 0.01% of the fund’s net assets and 0.19% 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.).
31

 

Intermediate-Term Treasury Index Fund
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 Schedule of Investments.
The following table summarizes the market value of the fund's investments as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 13,207,524 — 13,207,524
Temporary Cash Investments 43,212 — — 43,212
Total 43,212 13,207,524 — 13,250,736
D. As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 13,654,101
Gross Unrealized Appreciation 43,873
Gross Unrealized Depreciation (447,238)
Net Unrealized Appreciation (Depreciation) (403,365)
E. During the six months ended February 28, 2022, the fund purchased $4,828,073,000 of investment securities and sold $3,508,034,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,359,442,000 and $1,254,281,000, 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 six months ended February 28, 2022, such purchases were $0 and sales were $1,433,820,000, resulting in net realized gain of $11,480,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
32

 

Intermediate-Term Treasury Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 2,379,760 35,648   2,747,217 39,988
Issued in Lieu of Cash Distributions — —   — —
Redeemed (1,264,400) (19,350)   (934,453) (13,575)
Net Increase (Decrease)—ETF Shares 1,115,360 16,298   1,812,764 26,413
Admiral Shares          
Issued 616,709 27,664   1,271,727 54,762
Issued in Lieu of Cash Distributions 24,484 1,090   42,708 1,834
Redeemed (514,007) (22,870)   (1,323,128) (57,010)
Net Increase (Decrease)—Admiral Shares 127,186 5,884   (8,693) (414)
Institutional Shares          
Issued 336,216 11,984   551,440 19,124
Issued in Lieu of Cash Distributions 17,999 645   27,778 961
Redeemed (213,867) (7,659)   (361,514) (12,570)
Net Increase (Decrease)—Institutional Shares 140,348 4,970   217,704 7,515
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
33

 

Long-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 28, 2022
10 - 15 Years 0.7%
15 - 20 Years 28.6
20 - 25 Years 23.9
Over 25 Years 46.8
The table reflects the fund's investments, except for short-term investments.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
34

 

Long-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (99.6%)
U.S. Government Securities (99.6%)
  United States Treasury Note/Bond 4.500%  2/15/36  25,607    33,865
  United States Treasury Note/Bond 4.750%  2/15/37  18,297    24,981
  United States Treasury Note/Bond 5.000%  5/15/37  31,161    43,606
  United States Treasury Note/Bond 4.375%  2/15/38  19,050    25,253
  United States Treasury Note/Bond 4.500%  5/15/38  20,241    27,193
  United States Treasury Note/Bond 3.500%  2/15/39  45,771    55,032
  United States Treasury Note/Bond 4.250%  5/15/39  29,002    38,088
  United States Treasury Note/Bond 4.500%  8/15/39  37,494    50,716
  United States Treasury Note/Bond 4.375% 11/15/39  59,589    79,476
  United States Treasury Note/Bond 4.625%  2/15/40  51,244    70,268
  United States Treasury Note/Bond 1.125%  5/15/40 155,106   128,908
  United States Treasury Note/Bond 4.375%  5/15/40  41,398    55,267
  United States Treasury Note/Bond 1.125%  8/15/40 201,884   167,091
  United States Treasury Note/Bond 3.875%  8/15/40  43,858    55,042
  United States Treasury Note/Bond 1.375% 11/15/40 218,458   188,795
  United States Treasury Note/Bond 4.250% 11/15/40  59,291    77,847
  United States Treasury Note/Bond 1.875%  2/15/41 262,411   246,543
  United States Treasury Note/Bond 4.750%  2/15/41  54,039    75,376
  United States Treasury Note/Bond 2.250%  5/15/41 238,702   237,807
  United States Treasury Note/Bond 4.375%  5/15/41  45,388    60,686
  United States Treasury Note/Bond 1.750%  8/15/41 279,433   256,074
  United States Treasury Note/Bond 3.750%  8/15/41  46,874    58,013
  United States Treasury Note/Bond 2.000% 11/15/41 179,337   171,603
  United States Treasury Note/Bond 3.125% 11/15/41  48,082    54,693
  United States Treasury Note/Bond 2.375%  2/15/42  35,500    36,260
  United States Treasury Note/Bond 3.125%  2/15/42  53,788    61,294
  United States Treasury Note/Bond 3.000%  5/15/42  48,671    54,474
  United States Treasury Note/Bond 2.750%  8/15/42  58,290    62,689
  United States Treasury Note/Bond 2.750% 11/15/42  88,242    94,846
  United States Treasury Note/Bond 3.125%  2/15/43  76,199    86,653
  United States Treasury Note/Bond 2.875%  5/15/43 119,917   131,291
  United States Treasury Note/Bond 3.625%  8/15/43  91,520   111,997
  United States Treasury Note/Bond 3.750% 11/15/43  84,556   105,510
  United States Treasury Note/Bond 3.625%  2/15/44  94,045   115,396
  United States Treasury Note/Bond 3.375%  5/15/44  89,593   106,266
  United States Treasury Note/Bond 3.125%  8/15/44 116,886   133,433
  United States Treasury Note/Bond 3.000% 11/15/44 103,465   116,010
  United States Treasury Note/Bond 2.500%  2/15/45 132,608   136,753
  United States Treasury Note/Bond 3.000%  5/15/45  65,837    73,881
35

 

Long-Term Treasury Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  United States Treasury Note/Bond 2.875%  8/15/45  85,686    94,402
  United States Treasury Note/Bond 3.000% 11/15/45  47,727    53,760
  United States Treasury Note/Bond 2.500%  2/15/46 103,071   106,679
  United States Treasury Note/Bond 2.500%  5/15/46  97,990   101,358
  United States Treasury Note/Bond 2.250%  8/15/46 130,494   129,046
  United States Treasury Note/Bond 2.875% 11/15/46  24,551    27,205
  United States Treasury Note/Bond 3.000%  2/15/47  86,781    98,537
  United States Treasury Note/Bond 3.000%  5/15/47  87,507    99,581
  United States Treasury Note/Bond 2.750%  8/15/47 126,432   138,443
  United States Treasury Note/Bond 2.750% 11/15/47 120,760   132,270
  United States Treasury Note/Bond 3.000%  2/15/48 150,377   172,933
  United States Treasury Note/Bond 3.125%  5/15/48 152,097   179,118
  United States Treasury Note/Bond 3.000%  8/15/48 172,822   199,204
  United States Treasury Note/Bond 3.375% 11/15/48 160,430   198,006
  United States Treasury Note/Bond 3.000%  2/15/49 168,447   195,346
  United States Treasury Note/Bond 2.875%  5/15/49 173,213   196,624
  United States Treasury Note/Bond 2.250%  8/15/49 173,970   175,302
  United States Treasury Note/Bond 2.375% 11/15/49 153,369   159,024
  United States Treasury Note/Bond 2.000%  2/15/50 195,227   186,839
  United States Treasury Note/Bond 1.250%  5/15/50 225,299   179,782
  United States Treasury Note/Bond 1.375%  8/15/50 255,171   210,077
  United States Treasury Note/Bond 1.625% 11/15/50 254,201   222,664
  United States Treasury Note/Bond 1.875%  2/15/51 284,353   264,626
  United States Treasury Note/Bond 2.375%  5/15/51 287,302   299,602
  United States Treasury Note/Bond 2.000%  8/15/51 292,350   280,336
  United States Treasury Note/Bond 1.875% 11/15/51 253,373   236,468
  United States Treasury Note/Bond 2.250%  2/15/52  60,725    61,854
Total U.S. Government and Agency Obligations (Cost $8,548,171) 8,108,062
          Shares  
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
1 Vanguard Market Liquidity Fund
(Cost $49,878) 		0.138%          498,876    49,883
Total Investments (100.2%) (Cost $8,598,049)   8,157,945
Other Assets and Liabilities—Net (-0.2%)   (17,093)
Net Assets (100%)   8,140,852
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 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.
36

 

Long-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $8,548,171) 8,108,062
Affiliated Issuers (Cost $49,878) 49,883
Total Investments in Securities 8,157,945
Investment in Vanguard 262
Cash 57
Cash Collateral Received for ETF Capital Activity 4,949
Receivables for Investment Securities Sold 51,201
Receivables for Accrued Income 31,473
Receivables for Capital Shares Issued 2,531
Total Assets 8,248,418
Liabilities  
Payables for Investment Securities Purchased 97,840
Collateral for ETF Capital Activity 4,949
Payables for Capital Shares Redeemed 3,733
Payables for Distributions 907
Payables to Vanguard 137
Total Liabilities 107,566
Net Assets 8,140,852
37

 

Long-Term Treasury Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 8,643,753
Total Distributable Earnings (Loss) (502,901)
Net Assets 8,140,852
 
ETF Shares—Net Assets  
Applicable to 51,198,987 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		4,333,368
Net Asset Value Per Share—ETF Shares $84.64
 
Admiral Shares—Net Assets  
Applicable to 57,485,432 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,634,439
Net Asset Value Per Share—Admiral Shares $28.43
 
Institutional Shares—Net Assets  
Applicable to 60,217,955 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,173,045
Net Asset Value Per Share—Institutional Shares $36.09
See accompanying Notes, which are an integral part of the Financial Statements.
38

 

Long-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 65,197
Total Income 65,197
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 67
Management and Administrative—ETF Shares 479
Management and Administrative—Admiral Shares 516
Management and Administrative—Institutional Shares 457
Marketing and Distribution—ETF Shares 56
Marketing and Distribution—Admiral Shares 55
Marketing and Distribution—Institutional Shares 60
Custodian Fees 10
Shareholders’ Reports—ETF Shares 6
Shareholders’ Reports—Admiral Shares 19
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 2
Other Expenses 7
Total Expenses 1,735
Net Investment Income 63,462
Realized Net Gain (Loss) on Investment Securities Sold1,2 (4,459)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 (452,092)
Net Increase (Decrease) in Net Assets Resulting from Operations (393,089)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,000, ($1,000), less than $1,000, and $5,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $38,794,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
39

 

Long-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 63,462   104,838
Realized Net Gain (Loss) (4,459)   77,835
Change in Unrealized Appreciation (Depreciation) (452,092)   (562,635)
Net Increase (Decrease) in Net Assets Resulting from Operations (393,089)   (379,962)
Distributions      
ETF Shares (25,543)   (47,982)
Admiral Shares (15,376)   (38,865)
Institutional Shares (19,905)   (35,145)
Total Distributions (60,824)   (121,992)
Capital Share Transactions      
ETF Shares 2,164,413   441,919
Admiral Shares (200,203)   316,183
Institutional Shares 280,229   922,191
Net Increase (Decrease) from Capital Share Transactions 2,244,439   1,680,293
Total Increase (Decrease) 1,790,526   1,178,339
Net Assets      
Beginning of Period 6,350,326   5,171,987
End of Period 8,140,852   6,350,326
See accompanying Notes, which are an integral part of the Financial Statements.
40

 

Long-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $90.37 $98.93 $90.17 $74.33 $78.76 $85.64
Investment Operations            
Net Investment Income1 .817 1.645 1.915 2.115 2.050 2.006
Net Realized and Unrealized Gain (Loss) on Investments (5.734) (8.289) 8.772 15.798 (4.469) (6.905)
Total from Investment Operations (4.917) (6.644) 10.687 17.913 (2.419) (4.899)
Distributions            
Dividends from Net Investment Income (.813) (1.625) (1.927) (2.073) (2.011) (1.981)
Distributions from Realized Capital Gains — (.291) — — — —
Total Distributions (.813) (1.916) (1.927) (2.073) (2.011) (1.981)
Net Asset Value, End of Period $84.64 $90.37 $98.93 $90.17 $74.33 $78.76
Total Return -5.49% -6.73% 12.02% 24.69% -3.07% -5.63%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,333 $2,366 $2,138 $1,282 $676 $549
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.88% 1.81% 2.03% 2.75% 2.73% 2.62%
Portfolio Turnover Rate2 10% 22% 29% 16% 19% 19%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
41

 

Long-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $30.35 $33.24 $30.28 $24.95 $26.44 $28.75
Investment Operations            
Net Investment Income1 .270 .545 .637 .706 .690 .676
Net Realized and Unrealized Gain (Loss) on Investments (1.927) (2.799) 2.955 5.316 (1.501) (2.319)
Total from Investment Operations (1.657) (2.254) 3.592 6.022 (.811) (1.643)
Distributions            
Dividends from Net Investment Income (.263) (.538) (.632) (.692) (.679) (.667)
Distributions from Realized Capital Gains — (.098) — — — —
Total Distributions (.263) (.636) (.632) (.692) (.679) (.667)
Net Asset Value, End of Period $28.43 $30.35 $33.24 $30.28 $24.95 $26.44
Total Return2 -5.49% -6.78% 12.00% 24.67% -3.06% -5.62%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,634 $1,947 $1,800 $1,053 $559 $468
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.84% 1.79% 2.01% 2.73% 2.73% 2.62%
Portfolio Turnover Rate3 10% 22% 29% 16% 19% 19%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
42

 

Long-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $38.52 $42.19 $38.43 $31.66 $33.56 $36.49
Investment Operations            
Net Investment Income1 .346 .699 .822 .902 .883 .865
Net Realized and Unrealized Gain (Loss) on Investments (2.438) (3.554) 3.748 6.753 (1.915) (2.942)
Total from Investment Operations (2.092) (2.855) 4.570 7.655 (1.032) (2.077)
Distributions            
Dividends from Net Investment Income (.338) (.691) (.810) (.885) (.868) (.853)
Distributions from Realized Capital Gains — (.124) — — — —
Total Distributions (.338) (.815) (.810) (.885) (.868) (.853)
Net Asset Value, End of Period $36.09 $38.52 $42.19 $38.43 $31.66 $33.56
Total Return -5.49% -6.77% 12.03% 24.71% -3.07% -5.60%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,173 $2,038 $1,234 $1,054 $452 $213
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 1.86% 1.82% 2.06% 2.75% 2.75% 2.64%
Portfolio Turnover Rate2 10% 22% 29% 16% 19% 19%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
43

 

Long-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Long-Term Treasury Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Collateral for ETF Capital Activity: When an authorized participant fails to deliver one or more of the securities within a designated basket (in the case of a subscription), fails to deliver the fund ETF Shares (in the case of a redemption), or is required by the fund, prior to settlement, to accommodate the trading of foreign securities in local markets (in the case of redemption for an international equity ETF), the fund may require the authorized participant to deliver and maintain cash collateral in accordance with the authorized participant agreement. The fund may invest the collateral in short-term debt instruments or U.S. Treasury securities, or maintain the balance as cash. Daily market fluctuations could cause the value of the missing securities or fund ETF Shares to be more or less than the value of the collateral received; when this occurs the collateral is adjusted. The fund earns interest income from investments and/or custody fee offsets from the cash balance. The fund records an asset (cash or investment, as applicable) and a corresponding liability for the return of the collateral in the Statement Assets and Liabilities. Interest income and custody fee offsets earned on the investment of collateral are included in the Statement of Operations.
44

 

Long-Term Treasury Index Fund
5. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
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.
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 and are generally settled twice a month.
45

 

Long-Term Treasury Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2022, the fund had contributed to Vanguard capital in the amount of $262,000, representing less than 0.01% of the fund’s net assets and 0.10% 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 Schedule of Investments.
The following table summarizes the market value of the fund's investments as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 8,108,062 — 8,108,062
Temporary Cash Investments 49,883 — — 49,883
Total 49,883 8,108,062 — 8,157,945
D. As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 8,610,272
Gross Unrealized Appreciation 62,805
Gross Unrealized Depreciation (515,132)
Net Unrealized Appreciation (Depreciation) (452,327)
E. During the six months ended February 28, 2022, the fund purchased $3,564,469,000 of investment securities and sold $1,314,061,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,634,176,000 and $647,850,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
46

 

Long-Term Treasury Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 2,818,002 32,418   1,825,922 19,897
Issued in Lieu of Cash Distributions — —   — —
Redeemed (653,589) (7,400)   (1,384,003) (15,325)
Net Increase (Decrease)—ETF Shares 2,164,413 25,018   441,919 4,572
Admiral Shares          
Issued 250,210 8,458   1,358,427 44,281
Issued in Lieu of Cash Distributions 9,529 321   32,758 1,071
Redeemed (459,942) (15,424)   (1,075,002) (35,381)
Net Increase (Decrease)—Admiral Shares (200,203) (6,645)   316,183 9,971
Institutional Shares          
Issued 471,695 12,442   1,174,115 30,064
Issued in Lieu of Cash Distributions 19,699 524   34,906 905
Redeemed (211,165) (5,648)   (286,830) (7,322)
Net Increase (Decrease)—Institutional Shares 280,229 7,318   922,191 23,647
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
47

 

Short-Term Corporate Bond Index Fund
Fund Allocation
As of February 28, 2022
Corporate Bonds – Communications 4.3%
Corporate Bonds – Consumer Discretionary 6.4
Corporate Bonds – Consumer Staples 4.9
Corporate Bonds – Energy 6.6
Corporate Bonds – Financials 42.7
Corporate Bonds – Health Care 8.7
Corporate Bonds – Industrials 6.6
Corporate Bonds – Materials 1.7
Corporate Bonds – Real Estate 3.7
Corporate Bonds – Technology 9.1
Corporate Bonds – Utilities 4.9
U.S. Government and Agency Obligations 0.4
The table reflects the fund's investments, except for temporary cash investments and derivatives.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
48

 

Short-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (0.4%)
U.S. Government Securities (0.4%)
  United States Treasury Note/Bond 0.875%  1/31/24    84,680     83,780
  United States Treasury Note/Bond 1.500%  2/29/24     5,870      5,875
  United States Treasury Note/Bond 1.500%  2/15/25    11,725     11,677
  United States Treasury Note/Bond 1.250% 12/31/26     6,050      5,912
  United States Treasury Note/Bond 1.500%  1/31/27    77,085     76,194
Total U.S. Government and Agency Obligations (Cost $183,232) 183,438
Corporate Bonds (98.9%)
Communications (4.3%)
  Activision Blizzard Inc. 3.400%  9/15/26    21,211     22,210
  Alphabet Inc. 3.375%  2/25/24    19,933     20,636
  Alphabet Inc. 0.450%  8/15/25    16,047     15,305
  Alphabet Inc. 1.998%  8/15/26    48,378     48,495
  AT&T Inc. 4.050% 12/15/23    11,105     11,540
  AT&T Inc. 0.900%  3/25/24    47,650     46,784
  AT&T Inc. 4.450%   4/1/24    15,741     16,449
  AT&T Inc. 3.950%  1/15/25    16,056     16,810
  AT&T Inc. 3.400%  5/15/25    52,372     54,160
  AT&T Inc. 3.600%  7/15/25    28,966     30,166
  AT&T Inc. 4.125%  2/17/26    44,556     47,507
  AT&T Inc. 1.700%  3/25/26    66,035     64,260
  AT&T Inc. 2.950%  7/15/26     4,155      4,227
  AT&T Inc. 3.800%  2/15/27    21,069     22,254
  Baidu Inc. 2.875%   7/6/22     6,000      6,021
  Baidu Inc. 3.875%  9/29/23    19,479     19,982
  Baidu Inc. 4.375%  5/14/24    22,238     23,159
  Baidu Inc. 3.075%   4/7/25    23,004     23,296
  Baidu Inc. 4.125%  6/30/25     7,085      7,410
  Baidu Inc. 1.720%   4/9/26     8,543      8,195
1 Bell Telephone Co. of Canada or Bell Canada 0.750%  3/17/24     2,392      2,332
  Booking Holdings Inc. 2.750%  3/15/23    15,999     16,175
  Booking Holdings Inc. 3.650%  3/15/25    11,652     12,110
  Booking Holdings Inc. 3.600%   6/1/26    22,292     23,316
  British Telecommunications plc 4.500%  12/4/23     8,551      8,856
1 Charter Communications Operating LLC 4.500%   2/1/24    35,092     36,522
  Charter Communications Operating LLC 4.908%  7/23/25   102,967    109,236
  Comcast Corp. 3.700%  4/15/24    59,412     61,604
  Comcast Corp. 3.375%  2/15/25    26,229     27,123
  Comcast Corp. 3.375%  8/15/25    22,328     23,107
49

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Comcast Corp. 3.950% 10/15/25    63,647     67,187
  Comcast Corp. 3.150%   3/1/26    44,683     46,127
  Comcast Corp. 2.350%  1/15/27    31,849     31,777
  Comcast Corp. 3.300%   2/1/27    28,844     29,960
  Discovery Communications LLC 2.950%  3/20/23    23,351     23,615
  Discovery Communications LLC 3.800%  3/13/24    10,044     10,318
  Discovery Communications LLC 3.900% 11/15/24    13,063     13,523
  Discovery Communications LLC 3.450%  3/15/25     7,847      8,021
  Discovery Communications LLC 3.950%  6/15/25    14,495     15,005
  Discovery Communications LLC 4.900%  3/11/26    15,615     16,688
  Electronic Arts Inc. 4.800%   3/1/26     7,609      8,270
  Expedia Group Inc. 3.600% 12/15/23    15,292     15,637
  Expedia Group Inc. 4.500%  8/15/24     9,371      9,788
  Expedia Group Inc. 5.000%  2/15/26    21,903     23,581
  Fox Corp. 4.030%  1/25/24    30,162     31,258
  Fox Corp. 3.050%   4/7/25    16,945     17,284
  Grupo Televisa SAB 6.625%  3/18/25    12,341     13,721
  Grupo Televisa SAB 4.625%  1/30/26     7,325      7,749
  Interpublic Group of Cos. Inc. 4.200%  4/15/24     4,592      4,790
  Omnicom Group Inc. 3.650%  11/1/24    21,812     22,538
  Omnicom Group Inc. 3.600%  4/15/26    32,198     33,565
  Paramount Global 3.875%   4/1/24     9,980     10,354
  Paramount Global 3.700%  8/15/24    16,346     17,001
  Paramount Global 3.500%  1/15/25     8,792      9,066
  Paramount Global 4.750%  5/15/25    39,572     42,267
  Paramount Global 4.000%  1/15/26    17,507     18,272
  Paramount Global 2.900%  1/15/27    19,152     19,209
  Rogers Communications Inc. 3.000%  3/15/23     8,472      8,556
  Rogers Communications Inc. 4.100%  10/1/23    16,943     17,386
  Rogers Communications Inc. 3.625% 12/15/25    16,498     17,105
  Rogers Communications Inc. 2.900% 11/15/26     7,816      7,961
  TCI Communications Inc. 7.875%  2/15/26    12,239     14,743
  TELUS Corp. 2.800%  2/16/27    14,590     14,760
  Tencent Music Entertainment Group 1.375%   9/3/25     6,085      5,775
  Thomson Reuters Corp. 4.300% 11/23/23    12,565     12,993
  Thomson Reuters Corp. 3.350%  5/15/26    12,300     12,710
  Time Warner Entertainment Co. LP 8.375%  3/15/23    14,571     15,560
  T-Mobile USA Inc. 3.500%  4/15/25    70,643     72,604
  T-Mobile USA Inc. 1.500%  2/15/26    20,346     19,513
1 TWDC Enterprises 18 Corp. 3.150%  9/17/25    16,693     17,178
  TWDC Enterprises 18 Corp. 3.000%  2/13/26    22,112     22,736
1 TWDC Enterprises 18 Corp. 1.850%  7/30/26    16,332     16,042
  Verizon Communications Inc. 3.376%  2/15/25    29,519     30,542
  Verizon Communications Inc. 0.850% 11/20/25    49,980     47,501
  Verizon Communications Inc. 1.450%  3/20/26    62,114     60,033
  Verizon Communications Inc. 2.625%  8/15/26    51,928     52,209
  Vodafone Group plc 3.750%  1/16/24    26,581     27,516
  Vodafone Group plc 4.125%  5/30/25    38,905     40,911
  Walt Disney Co. 1.750%  8/30/24    27,454     27,338
  Walt Disney Co. 3.700%  9/15/24     8,781      9,114
  Walt Disney Co. 3.350%  3/24/25    33,690     34,881
  Walt Disney Co. 3.700% 10/15/25    15,992     16,714
  Walt Disney Co. 1.750%  1/13/26    37,984     37,282
  Walt Disney Co. 3.375% 11/15/26    10,233     10,673
50

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Weibo Corp. 3.500%   7/5/24    17,520     17,709
  WPP Finance 2010 3.750%  9/19/24    18,105     18,750
                                 2,102,613
Consumer Discretionary (6.4%)
  Alibaba Group Holding Ltd. 2.800%   6/6/23    12,668     12,802
  Alibaba Group Holding Ltd. 3.600% 11/28/24    45,073     46,334
  Amazon.com Inc. 0.250%  5/12/23    27,066     26,725
  Amazon.com Inc. 0.400%   6/3/23    17,355     17,171
  Amazon.com Inc. 0.450%  5/12/24    54,651     53,282
  Amazon.com Inc. 2.800%  8/22/24    44,385     45,397
  Amazon.com Inc. 3.800%  12/5/24    21,018     22,026
  Amazon.com Inc. 0.800%   6/3/25    28,551     27,547
  Amazon.com Inc. 5.200%  12/3/25    12,976     14,304
  Amazon.com Inc. 1.000%  5/12/26    60,175     57,919
  Amazon.com Inc. 3.150%  8/22/27     8,000      8,366
1 American Honda Finance Corp. 2.050%  1/10/23     9,685      9,734
1 American Honda Finance Corp. 1.950%  5/10/23    26,265     26,394
1 American Honda Finance Corp. 0.875%   7/7/23    50,806     50,342
1 American Honda Finance Corp. 3.450%  7/14/23     6,796      6,953
1 American Honda Finance Corp. 0.650%   9/8/23    17,684     17,414
1 American Honda Finance Corp. 3.625% 10/10/23    18,158     18,692
1 American Honda Finance Corp. 3.550%  1/12/24    18,381     18,960
1 American Honda Finance Corp. 2.900%  2/16/24    13,708     13,964
1 American Honda Finance Corp. 2.400%  6/27/24    15,176     15,325
1 American Honda Finance Corp. 0.550%  7/12/24    23,741     22,938
1 American Honda Finance Corp. 2.150%  9/10/24    21,353     21,380
1 American Honda Finance Corp. 1.200%   7/8/25    14,477     13,995
1 American Honda Finance Corp. 1.000%  9/10/25    13,699     13,121
1 American Honda Finance Corp. 2.300%   9/9/26    14,965     14,961
1 American Honda Finance Corp. 2.350%   1/8/27    23,545     23,504
  Aptiv plc 2.396%  2/18/25     5,575      5,569
  AutoNation Inc. 3.500% 11/15/24    12,089     12,424
  AutoNation Inc. 4.500%  10/1/25    12,897     13,610
  AutoZone Inc. 2.875%  1/15/23     9,863      9,957
  AutoZone Inc. 3.125%  7/15/23     9,410      9,562
  AutoZone Inc. 3.125%  4/18/24     8,960      9,166
  AutoZone Inc. 3.250%  4/15/25     5,289      5,419
  AutoZone Inc. 3.625%  4/15/25    14,684     15,191
  AutoZone Inc. 3.125%  4/21/26     9,152      9,365
  Block Financial LLC 5.250%  10/1/25     8,291      8,943
  BorgWarner Inc. 3.375%  3/15/25    10,845     11,182
  Brunswick Corp. 0.850%  8/18/24     7,795      7,538
2 Daimler Finance North America LLC 0.750%   3/1/24     6,000      5,846
  DR Horton Inc. 4.750%  2/15/23     5,480      5,595
  DR Horton Inc. 5.750%  8/15/23     8,614      9,013
  DR Horton Inc. 2.500% 10/15/24    16,005     16,077
  DR Horton Inc. 2.600% 10/15/25    16,333     16,351
  eBay Inc. 3.450%   8/1/24    14,384     14,778
  eBay Inc. 1.900%  3/11/25    21,427     21,176
  eBay Inc. 1.400%  5/10/26    16,999     16,293
  Fortune Brands Home & Security Inc. 4.000%  9/21/23    17,005     17,485
  Fortune Brands Home & Security Inc. 4.000%  6/15/25     7,988      8,352
  General Motors Co. 4.875%  10/2/23    39,208     40,925
  General Motors Co. 5.400%  10/2/23    18,909     19,882
  General Motors Co. 4.000%   4/1/25    11,677     12,120
51

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  General Motors Co. 6.125%  10/1/25    49,396     54,633
  General Motors Financial Co. Inc. 3.700%   5/9/23    37,894     38,580
  General Motors Financial Co. Inc. 4.250%  5/15/23    19,070     19,620
  General Motors Financial Co. Inc. 4.150%  6/19/23    31,539     32,342
  General Motors Financial Co. Inc. 1.700%  8/18/23    21,134     21,057
  General Motors Financial Co. Inc. 5.100%  1/17/24    37,342     39,186
  General Motors Financial Co. Inc. 1.050%   3/8/24    12,454     12,152
  General Motors Financial Co. Inc. 3.950%  4/13/24    17,935     18,471
  General Motors Financial Co. Inc. 1.200% 10/15/24    25,600     24,827
  General Motors Financial Co. Inc. 3.500%  11/7/24    21,106     21,618
  General Motors Financial Co. Inc. 4.000%  1/15/25    24,767     25,627
  General Motors Financial Co. Inc. 2.900%  2/26/25    38,262     38,496
  General Motors Financial Co. Inc. 4.350%   4/9/25    36,817     38,526
  General Motors Financial Co. Inc. 2.750%  6/20/25    25,065     25,053
  General Motors Financial Co. Inc. 4.300%  7/13/25    12,632     13,182
  General Motors Financial Co. Inc. 1.250%   1/8/26    12,109     11,429
  General Motors Financial Co. Inc. 5.250%   3/1/26    25,647     27,754
  General Motors Financial Co. Inc. 1.500%  6/10/26    13,681     12,955
  General Motors Financial Co. Inc. 4.000%  10/6/26    14,674     15,315
  General Motors Financial Co. Inc. 4.350%  1/17/27    36,555     38,519
  General Motors Financial Co. Inc. 2.350%  2/26/27    20,000     19,398
  Genuine Parts Co. 1.750%   2/1/25     3,000      2,949
2 GXO Logistics Inc. 1.650%  7/15/26    10,000      9,543
  Harley-Davidson Inc. 3.500%  7/28/25    10,949     11,139
  Hasbro Inc. 3.000% 11/19/24    13,547     13,734
  Hasbro Inc. 3.550% 11/19/26    16,765     17,320
  Home Depot Inc. 2.625%   6/1/22         1          1
  Home Depot Inc. 2.700%   4/1/23    28,778     29,097
  Home Depot Inc. 3.750%  2/15/24    33,853     35,052
  Home Depot Inc. 3.350%  9/15/25    20,374     21,178
  Home Depot Inc. 3.000%   4/1/26    29,171     30,225
  Home Depot Inc. 2.125%  9/15/26    12,802     12,813
  Hyatt Hotels Corp. 3.375%  7/15/23    10,412     10,543
  Hyatt Hotels Corp. 1.300%  10/1/23     4,960      4,883
  Hyatt Hotels Corp. 1.800%  10/1/24     3,950      3,885
  Hyatt Hotels Corp. 5.375%  4/23/25     9,050      9,783
  Hyatt Hotels Corp. 4.850%  3/15/26    10,523     11,168
  JD.com Inc. 3.875%  4/29/26     7,565      7,895
  Kohl's Corp. 4.250%  7/17/25     2,573      2,673
  Las Vegas Sands Corp. 3.200%   8/8/24    36,391     35,926
  Las Vegas Sands Corp. 2.900%  6/25/25    11,600     11,186
  Las Vegas Sands Corp. 3.500%  8/18/26    23,891     23,227
  Leggett & Platt Inc. 3.800% 11/15/24     6,876      7,078
  Lennar Corp. 4.875% 12/15/23    13,538     14,114
  Lennar Corp. 4.500%  4/30/24    16,292     16,952
  Lennar Corp. 5.875% 11/15/24     8,375      8,993
  Lennar Corp. 4.750%  5/30/25    17,144     18,164
  Lennar Corp. 5.250%   6/1/26     5,185      5,638
  Lowe's Cos. Inc. 3.875%  9/15/23    11,683     12,010
  Lowe's Cos. Inc. 3.125%  9/15/24     2,930      2,999
  Lowe's Cos. Inc. 4.000%  4/15/25    20,994     22,074
  Lowe's Cos. Inc. 3.375%  9/15/25    16,247     16,847
  Lowe's Cos. Inc. 2.500%  4/15/26    41,495     41,931
  Magna International Inc. 3.625%  6/15/24    11,447     11,766
  Magna International Inc. 4.150%  10/1/25    14,496     15,330
52

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Marriott International Inc. 4.150%  12/1/23     6,537      6,748
  Marriott International Inc. 3.600%  4/15/24    13,780     14,166
  Marriott International Inc. 3.750%  3/15/25    11,765     12,131
1 Marriott International Inc. 5.750%   5/1/25     3,887      4,239
  Marriott International Inc. 3.750%  10/1/25     7,567      7,825
1 Marriott International Inc. 3.125%  6/15/26    29,875     30,410
1 McDonald's Corp. 3.350%   4/1/23    29,241     29,785
1 McDonald's Corp. 3.250%  6/10/24     7,830      8,069
1 McDonald's Corp. 3.375%  5/26/25    20,069     20,799
1 McDonald's Corp. 3.300%   7/1/25    20,264     20,908
1 McDonald's Corp. 1.450%   9/1/25     9,795      9,560
1 McDonald's Corp. 3.700%  1/30/26    35,894     37,720
  Mohawk Industries Inc. 3.850%   2/1/23    12,769     12,948
  NIKE Inc. 2.250%   5/1/23     9,835      9,918
  NIKE Inc. 2.400%  3/27/25    21,208     21,512
  NIKE Inc. 2.375%  11/1/26    18,800     19,029
  O'Reilly Automotive Inc. 3.850%  6/15/23     5,904      6,028
  O'Reilly Automotive Inc. 3.550%  3/15/26    12,154     12,641
  Owens Corning 4.200%  12/1/24     7,421      7,747
  Owens Corning 3.400%  8/15/26    10,766     11,080
  PulteGroup Inc. 5.500%   3/1/26    12,130     13,352
  PulteGroup Inc. 5.000%  1/15/27     2,790      3,043
  PVH Corp. 4.625%  7/10/25    12,027     12,704
  Ralph Lauren Corp. 3.750%  9/15/25     8,979      9,397
  Ross Stores Inc. 4.600%  4/15/25    16,850     17,950
  Ross Stores Inc. 0.875%  4/15/26    15,246     14,392
  Sands China Ltd. 5.125%   8/8/25    43,361     43,663
  Sands China Ltd. 3.800%   1/8/26    13,904     13,262
  Stanley Black & Decker Inc. 3.400%   3/1/26    17,957     18,672
1 Stanley Black & Decker Inc. 4.000%  3/15/60    16,484     16,004
  Starbucks Corp. 3.100%   3/1/23    19,121     19,417
  Starbucks Corp. 3.850%  10/1/23    13,373     13,753
  Starbucks Corp. 3.800%  8/15/25    30,022     31,455
  Starbucks Corp. 2.450%  6/15/26     8,706      8,748
  Stellantis NV 5.250%  4/15/23    24,575     25,408
  TJX Cos. Inc. 2.500%  5/15/23    16,182     16,341
  TJX Cos. Inc. 2.250%  9/15/26    17,585     17,615
  Toll Brothers Finance Corp. 4.875% 11/15/25     8,475      8,987
  Toyota Motor Corp. 3.419%  7/20/23    13,808     14,162
  Toyota Motor Corp. 0.681%  3/25/24    35,379     34,504
  Toyota Motor Corp. 2.358%   7/2/24     7,590      7,645
  Toyota Motor Corp. 1.339%  3/25/26    24,048     23,215
1 Toyota Motor Credit Corp. 2.625%  1/10/23    18,417     18,641
1 Toyota Motor Credit Corp. 2.900%  3/30/23    27,906     28,354
1 Toyota Motor Credit Corp. 0.400%   4/6/23    10,996     10,873
1 Toyota Motor Credit Corp. 0.500%  8/14/23    25,902     25,521
1 Toyota Motor Credit Corp. 1.350%  8/25/23    44,259     44,124
1 Toyota Motor Credit Corp. 3.450%  9/20/23    13,117     13,481
1 Toyota Motor Credit Corp. 2.250% 10/18/23    15,153     15,298
  Toyota Motor Credit Corp. 3.350%   1/8/24    11,186     11,503
1 Toyota Motor Credit Corp. 0.450%  1/11/24    24,437     23,859
1 Toyota Motor Credit Corp. 2.900%  4/17/24    14,906     15,209
1 Toyota Motor Credit Corp. 0.500%  6/18/24    12,306     11,921
  Toyota Motor Credit Corp. 0.625%  9/13/24    17,159     16,573
1 Toyota Motor Credit Corp. 2.000%  10/7/24     9,096      9,095
53

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Toyota Motor Credit Corp. 1.450%  1/13/25    13,735     13,525
1 Toyota Motor Credit Corp. 1.800%  2/13/25    53,171     52,786
1 Toyota Motor Credit Corp. 3.000%   4/1/25    28,019     28,704
1 Toyota Motor Credit Corp. 3.400%  4/14/25    14,963     15,484
1 Toyota Motor Credit Corp. 0.800% 10/16/25    11,616     11,045
1 Toyota Motor Credit Corp. 0.800%   1/9/26    17,015     16,149
1 Toyota Motor Credit Corp. 1.125%  6/18/26    24,013     22,992
1 Toyota Motor Credit Corp. 3.200%  1/11/27    35,853     37,313
1 Toyota Motor Credit Corp. 1.900%  1/13/27     8,930      8,773
  VF Corp. 2.400%  4/23/25    18,066     18,124
  Walgreens Boots Alliance Inc. 0.950% 11/17/23     1,350      1,331
  Whirlpool Corp. 4.000%   3/1/24     6,100      6,337
  Whirlpool Corp. 3.700%   5/1/25     5,437      5,668
1 Yale University 0.873%  4/15/25    11,346     10,995
                                 3,168,855
Consumer Staples (4.9%)
  Altria Group Inc. 4.000%  1/31/24    14,605     15,123
  Altria Group Inc. 3.800%  2/14/24    10,547     10,860
  Altria Group Inc. 2.350%   5/6/25    17,210     17,179
  Altria Group Inc. 4.400%  2/14/26    32,483     34,508
  Altria Group Inc. 2.625%  9/16/26     3,025      3,021
1 Anheuser-Busch Cos. LLC 3.650%   2/1/26    79,123     82,711
  Archer-Daniels-Midland Co. 2.500%  8/11/26    21,706     21,952
  BAT Capital Corp. 3.222%  8/15/24    51,948     52,743
  BAT Capital Corp. 2.789%   9/6/24    18,641     18,759
  BAT Capital Corp. 3.215%   9/6/26    22,641     22,664
  BAT International Finance plc 1.668%  3/25/26    37,193     35,385
  Brown-Forman Corp. 3.500%  4/15/25     3,651      3,796
  Bunge Ltd. Finance Corp. 4.350%  3/15/24    11,155     11,691
  Bunge Ltd. Finance Corp. 1.630%  8/17/25    12,676     12,305
  Bunge Ltd. Finance Corp. 3.250%  8/15/26    18,890     19,348
  Campbell Soup Co. 3.650%  3/15/23     4,680      4,767
  Campbell Soup Co. 3.950%  3/15/25    20,067     20,937
  Campbell Soup Co. 3.300%  3/19/25    10,676     10,920
  Clorox Co. 3.500% 12/15/24    10,625     11,023
  Coca-Cola Co. 1.750%   9/6/24    32,581     32,593
  Coca-Cola Consolidated Inc. 3.800% 11/25/25     7,662      8,045
1 Colgate-Palmolive Co. 2.100%   5/1/23     7,307      7,357
1 Colgate-Palmolive Co. 3.250%  3/15/24     9,731     10,032
  Conagra Brands Inc. 0.500%  8/11/23    10,530     10,329
  Conagra Brands Inc. 4.300%   5/1/24    23,926     24,837
  Conagra Brands Inc. 4.600%  11/1/25    28,264     30,085
  Constellation Brands Inc. 4.250%   5/1/23    26,061     26,798
  Constellation Brands Inc. 4.750% 11/15/24     7,140      7,591
  Constellation Brands Inc. 4.400% 11/15/25    11,637     12,336
  Constellation Brands Inc. 4.750%  12/1/25     9,361     10,126
  Constellation Brands Inc. 3.700%  12/6/26    10,150     10,612
  Costco Wholesale Corp. 2.750%  5/18/24    31,330     31,991
  Diageo Capital plc 2.625%  4/29/23    18,663     18,855
  Diageo Capital plc 3.500%  9/18/23    14,698     15,077
  Diageo Capital plc 2.125% 10/24/24    13,189     13,238
  Diageo Capital plc 1.375%  9/29/25    24,129     23,421
  Dollar General Corp. 3.250%  4/15/23    20,732     21,037
  Dollar General Corp. 4.150%  11/1/25    11,395     12,075
  Dollar Tree Inc. 4.000%  5/15/25    22,744     23,778
54

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Estee Lauder Cos. Inc. 2.000%  12/1/24    13,211     13,270
  Flowers Foods Inc. 3.500%  10/1/26     6,599      6,880
  Fomento Economico Mexicano SAB de CV 2.875%  5/10/23     3,180      3,218
  General Mills Inc. 3.700% 10/17/23    22,617     23,271
  General Mills Inc. 3.650%  2/15/24    12,257     12,625
  General Mills Inc. 4.000%  4/17/25    15,776     16,510
  General Mills Inc. 3.200%  2/10/27    16,819     17,312
  Hershey Co. 2.625%   5/1/23       635        641
  Hershey Co. 3.375%  5/15/23    10,470     10,697
  Hershey Co. 2.050% 11/15/24       724        728
  Hershey Co. 0.900%   6/1/25     8,520      8,201
  Hershey Co. 3.200%  8/21/25     5,377      5,555
  Hershey Co. 2.300%  8/15/26    15,805     15,925
  Hormel Foods Corp. 0.650%   6/3/24    14,738     14,353
  Ingredion Inc. 3.200%  10/1/26    11,224     11,527
  J M Smucker Co. 3.500%  3/15/25    26,731     27,659
  Kellogg Co. 2.650%  12/1/23    12,892     13,078
  Kellogg Co. 3.250%   4/1/26    15,732     16,150
  Keurig Dr Pepper Inc. 4.057%  5/25/23    13,084     13,422
  Keurig Dr Pepper Inc. 3.130% 12/15/23    26,286     26,820
  Keurig Dr Pepper Inc. 0.750%  3/15/24    10,000      9,745
  Keurig Dr Pepper Inc. 4.417%  5/25/25    24,367     25,775
  Keurig Dr Pepper Inc. 3.400% 11/15/25    10,543     10,869
  Keurig Dr Pepper Inc. 2.550%  9/15/26    16,663     16,673
  Kimberly-Clark Corp. 2.400%   6/1/23     5,877      5,943
  Kimberly-Clark Corp. 3.050%  8/15/25     6,120      6,312
  Kimberly-Clark Corp. 2.750%  2/15/26    11,789     12,064
  Kroger Co. 3.850%   8/1/23    11,348     11,628
  Kroger Co. 4.000%   2/1/24    14,101     14,591
  Kroger Co. 3.500%   2/1/26     8,162      8,498
  Kroger Co. 2.650% 10/15/26    16,190     16,341
  McCormick & Co. Inc. 3.150%  8/15/24    21,836     22,365
  McCormick & Co. Inc. 0.900%  2/15/26    11,246     10,604
  Mead Johnson Nutrition Co. 4.125% 11/15/25    27,276     28,723
  Molson Coors Beverage Co. 3.000%  7/15/26    52,739     53,684
  Mondelez International Inc. 1.500%   5/4/25    23,792     23,174
  PepsiCo Inc. 2.750%   3/1/23    23,611     23,956
  PepsiCo Inc. 0.750%   5/1/23    28,090     27,891
  PepsiCo Inc. 0.400%  10/7/23    12,848     12,621
  PepsiCo Inc. 3.600%   3/1/24     6,909      7,141
  PepsiCo Inc. 2.250%  3/19/25    49,767     50,272
  PepsiCo Inc. 2.750%  4/30/25    22,187     22,658
  PepsiCo Inc. 3.500%  7/17/25    16,308     17,039
  PepsiCo Inc. 2.850%  2/24/26    24,409     25,162
  PepsiCo Inc. 2.375%  10/6/26    15,306     15,522
  Philip Morris International Inc. 2.625%   3/6/23    15,911     16,084
  Philip Morris International Inc. 1.125%   5/1/23    22,369     22,300
  Philip Morris International Inc. 2.125%  5/10/23    11,258     11,327
  Philip Morris International Inc. 3.600% 11/15/23    10,042     10,360
  Philip Morris International Inc. 2.875%   5/1/24    18,945     19,328
  Philip Morris International Inc. 3.250% 11/10/24    11,561     11,936
  Philip Morris International Inc. 1.500%   5/1/25     7,658      7,471
  Philip Morris International Inc. 3.375%  8/11/25    16,215     16,733
  Philip Morris International Inc. 2.750%  2/25/26    23,433     23,764
  Philip Morris International Inc. 0.875%   5/1/26    16,720     15,724
55

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Procter & Gamble Co. 3.100%  8/15/23    34,505     35,324
  Procter & Gamble Co. 0.550% 10/29/25    22,135     21,051
  Procter & Gamble Co. 2.700%   2/2/26     8,773      9,038
  Procter & Gamble Co. 2.450%  11/3/26    27,607     28,107
  Procter & Gamble Co. 1.900%   2/1/27    10,000      9,980
  Reynolds American Inc. 4.850%  9/15/23     8,351      8,688
  Reynolds American Inc. 4.450%  6/12/25    66,430     69,551
  Sysco Corp. 3.750%  10/1/25    18,064     18,841
  Sysco Corp. 3.300%  7/15/26    21,668     22,321
  Target Corp. 3.500%   7/1/24    15,785     16,431
  Target Corp. 2.250%  4/15/25    36,160     36,404
  Target Corp. 2.500%  4/15/26    23,480     24,020
  Target Corp. 1.950%  1/15/27    32,700     32,419
  Tyson Foods Inc. 3.900%  9/28/23     3,948      4,060
  Tyson Foods Inc. 3.950%  8/15/24    17,831     18,520
  Tyson Foods Inc. 4.000%   3/1/26    22,317     23,359
  Unilever Capital Corp. 3.125%  3/22/23     9,744      9,909
  Unilever Capital Corp. 0.375%  9/14/23    16,605     16,289
  Unilever Capital Corp. 3.250%   3/7/24    15,499     15,871
  Unilever Capital Corp. 2.600%   5/5/24    16,986     17,190
  Unilever Capital Corp. 0.626%  8/12/24     5,070      4,902
  Unilever Capital Corp. 3.375%  3/22/25     7,786      8,047
  Unilever Capital Corp. 3.100%  7/30/25     9,019      9,281
  Unilever Capital Corp. 2.000%  7/28/26    20,790     20,596
  Walgreens Boots Alliance Inc. 3.800% 11/18/24    21,425     22,205
  Walgreens Boots Alliance Inc. 3.450%   6/1/26    32,665     34,033
  Walmart Inc. 2.550%  4/11/23    30,636     30,991
  Walmart Inc. 3.400%  6/26/23    58,389     59,870
  Walmart Inc. 3.300%  4/22/24    35,894     37,038
  Walmart Inc. 2.850%   7/8/24    29,149     29,857
  Walmart Inc. 2.650% 12/15/24    14,838     15,186
  Walmart Inc. 3.550%  6/26/25    29,082     30,588
  Walmart Inc. 3.050%   7/8/26    24,071     25,082
  Walmart Inc. 1.050%  9/17/26    10,840     10,413
                                 2,427,487
Energy (6.5%)
  Baker Hughes Holdings LLC 1.231% 12/15/23     7,828      7,745
  Baker Hughes Holdings LLC 2.061% 12/15/26     9,780      9,551
  Boardwalk Pipelines LP 4.950% 12/15/24    10,476     11,067
  Boardwalk Pipelines LP 5.950%   6/1/26    14,981     16,678
1 BP Capital Markets America Inc. 2.750%  5/10/23    42,959     43,476
  BP Capital Markets America Inc. 3.790%   2/6/24    20,619     21,280
  BP Capital Markets America Inc. 3.194%   4/6/25    24,017     24,606
  BP Capital Markets America Inc. 3.796%  9/21/25    16,806     17,621
  BP Capital Markets America Inc. 3.410%  2/11/26    21,830     22,614
1 BP Capital Markets America Inc. 3.119%   5/4/26    15,782     16,214
1 BP Capital Markets America Inc. 3.017%  1/16/27    26,575     27,007
  BP Capital Markets plc 2.750%  5/10/23     2,701      2,734
  BP Capital Markets plc 3.994%  9/26/23    19,842     20,483
  BP Capital Markets plc 3.814%  2/10/24    45,064     46,613
  BP Capital Markets plc 3.535%  11/4/24    13,913     14,400
  BP Capital Markets plc 3.506%  3/17/25    18,887     19,578
  Canadian Natural Resources Ltd. 3.800%  4/15/24    15,133     15,561
  Canadian Natural Resources Ltd. 3.900%   2/1/25    13,505     14,041
  Canadian Natural Resources Ltd. 2.050%  7/15/25    12,599     12,410
56

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Cenovus Energy Inc. 5.375%  7/15/25    22,065     23,900
  Cheniere Corpus Christi Holdings LLC 7.000%  6/30/24    20,269     21,945
  Cheniere Corpus Christi Holdings LLC 5.875%  3/31/25    51,558     55,692
  Chevron Corp. 1.141%  5/11/23    38,510     38,369
  Chevron Corp. 2.566%  5/16/23    11,484     11,625
  Chevron Corp. 3.191%  6/24/23    36,898     37,610
  Chevron Corp. 2.895%   3/3/24    23,995     24,509
  Chevron Corp. 1.554%  5/11/25    53,813     53,029
  Chevron Corp. 3.326% 11/17/25    13,841     14,392
  Chevron Corp. 2.954%  5/16/26    48,476     50,093
  Chevron USA Inc. 0.426%  8/11/23    10,777     10,617
  Chevron USA Inc. 3.900% 11/15/24    14,535     15,242
  Chevron USA Inc. 0.687%  8/12/25    20,139     19,236
  Columbia Pipeline Group Inc. 4.500%   6/1/25    22,573     23,960
3 ConocoPhillips Co. 2.125%   3/8/24    10,000     10,004
  ConocoPhillips Co. 3.350% 11/15/24     6,969      7,185
3 ConocoPhillips Co. 2.400%   3/7/25    10,000     10,013
  ConocoPhillips Co. 4.950%  3/15/26    36,574     40,074
  Continental Resources Inc. 3.800%   6/1/24    20,620     21,061
2 Coterra Energy Inc. 4.375%   6/1/24    15,894     16,510
  Devon Energy Corp. 5.250%  9/15/24    13,989     14,896
  Devon Energy Corp. 5.850% 12/15/25    10,711     11,947
  Diamondback Energy Inc. 2.875%  12/1/24    14,206     14,378
  Diamondback Energy Inc. 4.750%  5/31/25    17,231     18,412
  Diamondback Energy Inc. 3.250%  12/1/26    19,395     19,822
2 Eastern Gas Transmission & Storage Inc. 3.600% 12/15/24     3,906      4,029
  Enbridge Energy Partners LP 5.875% 10/15/25     7,982      8,835
  Enbridge Inc. 4.000%  10/1/23    24,251     24,922
  Enbridge Inc. 0.550%  10/4/23     5,008      4,905
  Enbridge Inc. 2.150%  2/16/24     3,900      3,908
  Enbridge Inc. 3.500%  6/10/24    11,878     12,172
  Enbridge Inc. 2.500%  1/15/25    21,253     21,293
  Enbridge Inc. 2.500%  2/14/25     5,835      5,856
  Enbridge Inc. 1.600%  10/4/26     5,403      5,160
  Enbridge Inc. 4.250%  12/1/26    22,483     23,971
1 Energy Transfer LP 4.250%  3/15/23    21,105     21,516
1 Energy Transfer LP 4.200%  9/15/23    17,309     17,815
  Energy Transfer LP 4.500%  11/1/23    17,273     17,805
1 Energy Transfer LP 5.875%  1/15/24    30,094     31,781
  Energy Transfer LP 4.900%   2/1/24     5,148      5,357
  Energy Transfer LP 4.250%   4/1/24    16,080     16,619
  Energy Transfer LP 4.500%  4/15/24    14,533     15,137
  Energy Transfer LP 3.900%  5/15/24    11,278     11,583
  Energy Transfer LP 4.050%  3/15/25    14,659     15,181
  Energy Transfer LP 2.900%  5/15/25    23,828     23,965
  Energy Transfer LP 5.950%  12/1/25    11,403     12,530
  Energy Transfer LP 4.750%  1/15/26    21,844     23,205
  Energy Transfer LP 3.900%  7/15/26    13,805     14,271
  Enterprise Products Operating LLC 3.350%  3/15/23    25,933     26,284
  Enterprise Products Operating LLC 3.900%  2/15/24    10,742     11,108
  Enterprise Products Operating LLC 3.750%  2/15/25    30,384     31,606
  Enterprise Products Operating LLC 3.700%  2/15/26    20,443     21,334
  Enterprise Products Operating LLC 3.950%  2/15/27    13,010     13,736
  EOG Resources Inc. 2.625%  3/15/23    17,067     17,204
  EOG Resources Inc. 3.150%   4/1/25     9,667      9,931
57

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  EOG Resources Inc. 4.150%  1/15/26    21,418     22,901
  Exxon Mobil Corp. 2.726%   3/1/23    36,343     36,774
  Exxon Mobil Corp. 1.571%  4/15/23    60,468     60,615
  Exxon Mobil Corp. 3.176%  3/15/24    11,623     11,944
  Exxon Mobil Corp. 2.019%  8/16/24    24,786     24,909
  Exxon Mobil Corp. 2.709%   3/6/25    27,775     28,290
  Exxon Mobil Corp. 2.992%  3/19/25    82,467     84,711
  Exxon Mobil Corp. 3.043%   3/1/26    52,978     54,834
  Exxon Mobil Corp. 2.275%  8/16/26    28,997     29,142
  Halliburton Co. 3.500%   8/1/23    15,402     15,714
  Halliburton Co. 3.800% 11/15/25     7,518      7,875
  Hess Corp. 3.500%  7/15/24     6,346      6,499
  HollyFrontier Corp. 2.625%  10/1/23     5,247      5,277
  HollyFrontier Corp. 5.875%   4/1/26    24,997     27,148
  Kinder Morgan Energy Partners LP 3.500%   9/1/23    18,124     18,476
  Kinder Morgan Energy Partners LP 4.150%   2/1/24    12,327     12,723
  Kinder Morgan Energy Partners LP 4.300%   5/1/24    15,761     16,352
  Kinder Morgan Energy Partners LP 4.250%   9/1/24     7,662      7,972
  Kinder Morgan Inc. 4.300%   6/1/25    33,375     34,988
  Kinder Morgan Inc. 1.750% 11/15/26    10,538     10,097
  Magellan Midstream Partners LP 5.000%   3/1/26    13,802     15,008
  Marathon Petroleum Corp. 3.625%  9/15/24     6,134      6,304
  Marathon Petroleum Corp. 4.700%   5/1/25    38,838     41,276
  Marathon Petroleum Corp. 5.125% 12/15/26    23,207     25,537
  MPLX LP 3.375%  3/15/23    15,200     15,437
  MPLX LP 4.500%  7/15/23    17,765     18,257
  MPLX LP 4.875%  12/1/24    27,232     28,857
  MPLX LP 4.000%  2/15/25    11,100     11,544
  MPLX LP 4.875%   6/1/25    27,789     29,594
  MPLX LP 1.750%   3/1/26    34,771     33,417
  ONEOK Inc. 7.500%   9/1/23     7,200      7,686
  ONEOK Inc. 2.750%   9/1/24     7,679      7,720
  ONEOK Inc. 2.200%  9/15/25     9,373      9,250
  ONEOK Inc. 5.850%  1/15/26    12,937     14,401
  ONEOK Partners LP 5.000%  9/15/23     9,092      9,426
  ONEOK Partners LP 4.900%  3/15/25    16,218     17,195
  Ovintiv Exploration Inc. 5.625%   7/1/24    20,290     21,704
  Ovintiv Exploration Inc. 5.375%   1/1/26    15,055     16,274
  Phillips 66 3.700%   4/6/23     8,234      8,415
  Phillips 66 0.900%  2/15/24     7,474      7,346
  Phillips 66 3.850%   4/9/25    25,187     26,211
  Phillips 66 1.300%  2/15/26    14,376     13,718
  Phillips 66 Partners LP 2.450% 12/15/24     7,451      7,486
  Phillips 66 Partners LP 3.605%  2/15/25    10,972     11,316
  Phillips 66 Partners LP 3.550%  10/1/26    10,212     10,520
  Pioneer Natural Resources Co. 0.550%  5/15/23     8,931      8,817
  Pioneer Natural Resources Co. 1.125%  1/15/26    15,533     14,781
  Plains All American Pipeline LP 3.850% 10/15/23    16,035     16,405
  Plains All American Pipeline LP 3.600%  11/1/24    10,228     10,472
  Plains All American Pipeline LP 4.650% 10/15/25    30,548     32,375
  Plains All American Pipeline LP 4.500% 12/15/26    18,096     19,296
  Sabine Pass Liquefaction LLC 5.625%  4/15/23    28,435     29,372
  Sabine Pass Liquefaction LLC 5.750%  5/15/24    48,965     52,099
  Sabine Pass Liquefaction LLC 5.625%   3/1/25    54,382     58,713
  Sabine Pass Liquefaction LLC 5.875%  6/30/26    17,706     19,685
58

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Schlumberger Finance Canada Ltd. 1.400%  9/17/25    10,855     10,539
  Schlumberger Investment SA 3.650%  12/1/23    34,369     35,305
  Shell International Finance BV 0.375%  9/15/23    20,341     19,990
  Shell International Finance BV 3.500% 11/13/23    20,595     21,217
  Shell International Finance BV 2.000%  11/7/24    26,446     26,529
  Shell International Finance BV 3.250%  5/11/25    63,558     65,896
  Shell International Finance BV 2.875%  5/10/26    37,761     38,926
  Shell International Finance BV 2.500%  9/12/26    23,193     23,464
  Spectra Energy Partners LP 4.750%  3/15/24    25,994     27,188
  Spectra Energy Partners LP 3.500%  3/15/25     6,708      6,894
  Spectra Energy Partners LP 3.375% 10/15/26    17,864     18,391
  Suncor Energy Inc. 2.800%  5/15/23    15,781     15,957
  Suncor Energy Inc. 3.100%  5/15/25    14,770     15,077
  Targa Resources Partners LP 5.875%  4/15/26    10,500     10,832
  TC PipeLines LP 4.375%  3/13/25     6,897      7,249
  TotalEnergies Capital Canada Ltd. 2.750%  7/15/23    28,847     29,254
  TotalEnergies Capital International SA 3.700%  1/15/24    26,258     27,170
  TotalEnergies Capital International SA 3.750%  4/10/24    13,581     13,964
  TotalEnergies Capital International SA 2.434%  1/10/25    23,462     23,657
  TransCanada PipeLines Ltd. 3.750% 10/16/23    13,240     13,583
  TransCanada PipeLines Ltd. 1.000% 10/12/24    22,500     21,803
  TransCanada PipeLines Ltd. 4.875%  1/15/26    19,095     20,661
  Transcontinental Gas Pipe Line Co. LLC 7.850%   2/1/26    22,606     26,724
  Valero Energy Corp. 3.650%  3/15/25        50         52
  Valero Energy Corp. 2.850%  4/15/25     6,145      6,214
  Williams Cos. Inc. 4.500% 11/15/23    11,775     12,209
  Williams Cos. Inc. 4.300%   3/4/24    24,049     24,935
  Williams Cos. Inc. 4.550%  6/24/24    22,925     24,035
  Williams Cos. Inc. 3.900%  1/15/25     9,106      9,453
  Williams Cos. Inc. 4.000%  9/15/25    21,236     22,155
                                 3,233,697
Financials (42.4%)
  AerCap Ireland Capital DAC 4.125%   7/3/23    21,900     22,389
  AerCap Ireland Capital DAC 4.500%  9/15/23    33,679     34,743
  AerCap Ireland Capital DAC 1.150% 10/29/23    29,450     28,787
  AerCap Ireland Capital DAC 4.875%  1/16/24    27,692     28,800
  AerCap Ireland Capital DAC 3.150%  2/15/24    18,863     19,055
  AerCap Ireland Capital DAC 2.875%  8/14/24    18,625     18,682
  AerCap Ireland Capital DAC 1.650% 10/29/24    70,100     68,055
1 AerCap Ireland Capital DAC 1.750% 10/29/24    22,380     21,745
  AerCap Ireland Capital DAC 3.500%  1/15/25    17,727     18,010
  AerCap Ireland Capital DAC 6.500%  7/15/25    36,256     39,967
  AerCap Ireland Capital DAC 4.450%  10/1/25    16,470     17,142
  AerCap Ireland Capital DAC 1.750%  1/30/26    12,740     12,086
  AerCap Ireland Capital DAC 2.450% 10/29/26   101,080     97,408
  Affiliated Managers Group Inc. 4.250%  2/15/24     5,726      5,966
  Affiliated Managers Group Inc. 3.500%   8/1/25    14,577     15,089
  Aflac Inc. 3.625% 11/15/24    29,173     30,447
  Aflac Inc. 3.250%  3/17/25    11,754     12,160
  Aflac Inc. 1.125%  3/15/26    16,956     16,201
  Air Lease Corp. 3.875%   7/3/23    15,060     15,371
  Air Lease Corp. 3.000%  9/15/23    13,495     13,641
1 Air Lease Corp. 4.250%   2/1/24    24,591     25,402
1 Air Lease Corp. 0.700%  2/15/24    14,612     14,127
  Air Lease Corp. 0.800%  8/18/24    17,848     17,136
59

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Air Lease Corp. 4.250%  9/15/24    13,193     13,666
1 Air Lease Corp. 2.300%   2/1/25    18,271     18,069
  Air Lease Corp. 3.250%   3/1/25    12,825     12,942
  Air Lease Corp. 3.375%   7/1/25    19,317     19,544
1 Air Lease Corp. 2.875%  1/15/26    29,311     29,237
1 Air Lease Corp. 3.750%   6/1/26    13,917     14,295
  Air Lease Corp. 1.875%  8/15/26    28,693     27,279
  Air Lease Corp. 2.200%  1/15/27    21,551     20,685
  Aircastle Ltd. 5.000%   4/1/23    10,837     11,155
  Aircastle Ltd. 4.400%  9/25/23    15,050     15,428
  Aircastle Ltd. 4.125%   5/1/24    10,788     11,040
  Aircastle Ltd. 4.250%  6/15/26    15,586     16,043
  Allied World Assurance Co. Holdings Ltd. 4.350% 10/29/25     9,739     10,195
  Allstate Corp. 3.150%  6/15/23     8,031      8,178
  Allstate Corp. 0.750% 12/15/25     9,042      8,507
  Allstate Corp. 3.280% 12/15/26     6,162      6,423
1 Allstate Corp. 5.750%  8/15/53    15,647     15,739
  Ally Financial Inc. 3.050%   6/5/23     4,118      4,166
  Ally Financial Inc. 1.450%  10/2/23    32,304     31,919
  Ally Financial Inc. 3.875%  5/21/24    12,397     12,791
  Ally Financial Inc. 5.125%  9/30/24    30,167     32,000
  Ally Financial Inc. 4.625%  3/30/25    21,298     22,426
  Ally Financial Inc. 5.800%   5/1/25    17,269     18,695
  American Express Co. 3.700%   8/3/23    30,074     30,881
  American Express Co. 0.750%  11/3/23    17,930     17,655
  American Express Co. 3.400%  2/22/24    32,064     32,965
  American Express Co. 2.500%  7/30/24    28,195     28,531
  American Express Co. 3.000% 10/30/24    35,253     36,053
  American Express Co. 3.625%  12/5/24    11,254     11,650
  American Express Co. 4.200%  11/6/25    12,896     13,719
  American Express Co. 3.125%  5/20/26    25,235     25,922
  American Express Co. 1.650%  11/4/26    24,050     23,279
  American Financial Group Inc. 3.500%  8/15/26     5,549      5,784
  American International Group Inc. 4.125%  2/15/24    28,451     29,642
  American International Group Inc. 2.500%  6/30/25    40,700     40,884
  American International Group Inc. 3.750%  7/10/25    19,695     20,501
  American International Group Inc. 3.900%   4/1/26    30,323     31,876
  Ameriprise Financial Inc. 4.000% 10/15/23    20,230     20,908
  Ameriprise Financial Inc. 3.700% 10/15/24    11,653     12,139
  Ameriprise Financial Inc. 3.000%   4/2/25    17,286     17,597
  Ameriprise Financial Inc. 2.875%  9/15/26     3,864      3,957
1 Aon Corp. 8.205%   1/1/27    10,581     12,696
  Aon plc 4.000% 11/27/23     6,287      6,487
  Aon plc 3.500%  6/14/24     9,429      9,679
  Aon plc 3.875% 12/15/25    24,432     25,515
  Arch Capital Finance LLC 4.011% 12/15/26    11,409     12,145
  Ares Capital Corp. 4.200%  6/10/24    14,382     14,829
  Ares Capital Corp. 4.250%   3/1/25    20,040     20,496
  Ares Capital Corp. 3.250%  7/15/25    21,477     21,373
  Ares Capital Corp. 3.875%  1/15/26    29,230     29,612
  Ares Capital Corp. 2.150%  7/15/26    23,478     22,166
  Aspen Insurance Holdings Ltd. 4.650% 11/15/23     4,904      5,094
  Assurant Inc. 4.200%  9/27/23     7,190      7,429
  Assured Guaranty US Holdings Inc. 5.000%   7/1/24     7,084      7,504
1 Australia & New Zealand Banking Group Ltd. 3.700% 11/16/25    15,707     16,574
60

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Bain Capital Specialty Finance Inc. 2.950%  3/10/26     6,120      5,920
  Bain Capital Specialty Finance Inc. 2.550% 10/13/26     6,847      6,414
  Banco Bilbao Vizcaya Argentaria SA 0.875%  9/18/23    26,950     26,555
  Banco Bilbao Vizcaya Argentaria SA 1.125%  9/18/25    18,702     17,772
  Banco Santander SA 3.848%  4/12/23    30,131     30,785
  Banco Santander SA 2.706%  6/27/24    37,335     37,675
  Banco Santander SA 0.701%  6/30/24    15,075     14,811
  Banco Santander SA 2.746%  5/28/25    43,333     43,374
  Banco Santander SA 5.179% 11/19/25    33,948     36,259
  Banco Santander SA 1.849%  3/25/26    25,477     24,484
  Banco Santander SA 1.722%  9/14/27    22,400     21,121
  Bank of America Corp. 4.100%  7/24/23    35,317     36,501
1 Bank of America Corp. 4.125%  1/22/24    63,792     66,322
1 Bank of America Corp. 3.550%   3/5/24    77,454     78,690
1 Bank of America Corp. 4.000%   4/1/24    26,847     27,850
1 Bank of America Corp. 1.486%  5/19/24    22,308     22,172
1 Bank of America Corp. 0.523%  6/14/24    13,306     13,065
1 Bank of America Corp. 3.864%  7/23/24    56,186     57,510
1 Bank of America Corp. 4.200%  8/26/24    54,249     56,485
1 Bank of America Corp. 0.810% 10/24/24    50,423     49,247
1 Bank of America Corp. 4.000%  1/22/25    62,288     64,688
  Bank of America Corp. 1.843%   2/4/25    10,000      9,902
1 Bank of America Corp. 3.458%  3/15/25    69,145     70,507
1 Bank of America Corp. 3.950%  4/21/25    62,221     64,501
  Bank of America Corp. 0.976%  4/22/25    57,916     56,228
1 Bank of America Corp. 3.875%   8/1/25    18,449     19,335
1 Bank of America Corp. 0.981%  9/25/25    51,389     49,450
1 Bank of America Corp. 3.093%  10/1/25    59,222     60,056
1 Bank of America Corp. 2.456% 10/22/25    48,639     48,527
1 Bank of America Corp. 1.530%  12/6/25    21,605     20,992
1 Bank of America Corp. 3.366%  1/23/26    52,221     53,247
1 Bank of America Corp. 2.015%  2/13/26    43,079     42,367
1 Bank of America Corp. 4.450%   3/3/26    53,205     56,568
1 Bank of America Corp. 3.500%  4/19/26    86,762     89,977
1 Bank of America Corp. 1.319%  6/19/26    76,611     73,246
  Bank of America Corp. 6.220%  9/15/26     7,488      8,556
1 Bank of America Corp. 4.250% 10/22/26    46,730     49,580
1 Bank of America Corp. 1.197% 10/24/26    69,394     65,644
1 Bank of America Corp. 1.658%  3/11/27    68,740     65,758
1 Bank of America Corp. 3.559%  4/23/27    36,246     37,213
  Bank of America Corp. 1.734%  7/22/27   115,821    110,640
1 Bank of America Corp. 4.183% 11/25/27    52,447     55,110
1 Bank of America Corp. 3.824%  1/20/28    50,199     52,323
  Bank of America Corp. 2.551%   2/4/28    10,000      9,842
1 Bank of Montreal 2.050%  11/1/22    14,147     14,238
1 Bank of Montreal 2.550%  11/6/22    14,992     15,123
1 Bank of Montreal 0.400%  9/15/23    33,619     32,918
  Bank of Montreal 0.450%  12/8/23    24,600     23,999
1 Bank of Montreal 3.300%   2/5/24    52,507     53,804
1 Bank of Montreal 2.500%  6/28/24    14,778     14,914
1 Bank of Montreal 1.500%  1/10/25    21,350     20,903
1 Bank of Montreal 1.850%   5/1/25    41,106     40,629
1 Bank of Montreal 1.250%  9/15/26    20,112     19,073
1 Bank of Montreal 0.949%  1/22/27    22,394     21,135
1 Bank of Montreal 4.338%  10/5/28     5,985      6,166
61

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Bank of New York Mellon Corp. 1.850%  1/27/23    15,611     15,720
1 Bank of New York Mellon Corp. 2.950%  1/29/23    17,944     18,170
1 Bank of New York Mellon Corp. 3.500%  4/28/23    18,657     19,075
1 Bank of New York Mellon Corp. 3.450%  8/11/23    21,572     22,136
1 Bank of New York Mellon Corp. 2.200%  8/16/23    31,036     31,280
1 Bank of New York Mellon Corp. 0.350%  12/7/23    26,520     25,951
1 Bank of New York Mellon Corp. 3.650%   2/4/24    16,548     17,081
1 Bank of New York Mellon Corp. 0.500%  4/26/24    11,699     11,381
  Bank of New York Mellon Corp. 3.400%  5/15/24    11,351     11,715
1 Bank of New York Mellon Corp. 3.250%  9/11/24     9,884     10,182
1 Bank of New York Mellon Corp. 2.100% 10/24/24    18,425     18,493
1 Bank of New York Mellon Corp. 3.000%  2/24/25    17,769     18,237
1 Bank of New York Mellon Corp. 1.600%  4/24/25    26,324     25,916
1 Bank of New York Mellon Corp. 3.950% 11/18/25    10,418     11,052
1 Bank of New York Mellon Corp. 0.750%  1/28/26     5,811      5,512
1 Bank of New York Mellon Corp. 2.800%   5/4/26    22,417     22,919
1 Bank of New York Mellon Corp. 2.450%  8/17/26    16,820     17,025
1 Bank of New York Mellon Corp. 1.050% 10/15/26       205        195
  Bank of New York Mellon Corp. 2.050%  1/26/27     5,590      5,528
1 Bank of New York Mellon Corp. 3.442%   2/7/28    34,155     35,702
  Bank of Nova Scotia 2.000% 11/15/22    35,801     36,041
  Bank of Nova Scotia 1.625%   5/1/23    31,432     31,436
  Bank of Nova Scotia 0.400%  9/15/23    40,090     39,301
  Bank of Nova Scotia 0.550%  9/15/23    17,877     17,528
  Bank of Nova Scotia 3.400%  2/11/24    21,959     22,533
  Bank of Nova Scotia 0.700%  4/15/24     9,869      9,575
  Bank of Nova Scotia 0.650%  7/31/24    17,791     17,162
  Bank of Nova Scotia 1.450%  1/10/25    12,869     12,593
  Bank of Nova Scotia 2.200%   2/3/25    22,484     22,411
  Bank of Nova Scotia 1.300%  6/11/25    36,308     35,038
  Bank of Nova Scotia 4.500% 12/16/25    15,589     16,570
  Bank of Nova Scotia 1.050%   3/2/26    19,002     17,998
  Bank of Nova Scotia 1.350%  6/24/26    23,135     22,079
  Bank of Nova Scotia 2.700%   8/3/26    29,991     30,284
  Bank of Nova Scotia 1.300%  9/15/26    21,400     20,347
1 Bank of Nova Scotia 4.650%  4/12/70     3,800      3,631
  BankUnited Inc. 4.875% 11/17/25     7,821      8,380
1 Barclays Bank plc 3.750%  5/15/24     6,793      7,035
1 Barclays plc 4.338%  5/16/24    48,522     49,869
  Barclays plc 4.375%  9/11/24    22,099     22,913
  Barclays plc 1.007% 12/10/24    25,026     24,406
  Barclays plc 3.650%  3/16/25    50,994     52,339
1 Barclays plc 3.932%   5/7/25    49,588     50,941
  Barclays plc 4.375%  1/12/26    65,716     69,387
1 Barclays plc 2.852%   5/7/26    61,280     61,205
  Barclays plc 5.200%  5/12/26    18,361     19,781
  Barclays plc 2.279% 11/24/27    24,204     23,345
  Berkshire Hathaway Inc. 2.750%  3/15/23    49,671     50,290
  Berkshire Hathaway Inc. 3.125%  3/15/26    58,802     61,059
  BGC Partners Inc. 5.375%  7/24/23     9,885     10,245
  BGC Partners Inc. 3.750%  10/1/24     6,982      7,113
  BlackRock Inc. 3.500%  3/18/24    20,581     21,312
2 Blackstone Private Credit Fund 2.350% 11/22/24    21,455     20,769
2 Blackstone Private Credit Fund 2.700%  1/15/25     9,560      9,309
2 Blackstone Private Credit Fund 2.625% 12/15/26    28,501     26,471
62

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Blackstone Secured Lending Fund 3.650%  7/14/23     5,587      5,672
  Blackstone Secured Lending Fund 3.625%  1/15/26    16,744     16,744
  Blackstone Secured Lending Fund 2.750%  9/16/26    20,433     19,608
2 Blackstone Secured Lending Fund 2.125%  2/15/27    17,652     16,367
1 BNP Paribas SA 3.250%   3/3/23    12,742     12,944
1 BNP Paribas SA 4.250% 10/15/24    23,209     24,233
2 BNP Paribas SA 2.819% 11/19/25     1,800      1,801
  BPCE SA 4.000%  4/15/24    34,588     35,842
1 BPCE SA 3.375%  12/2/26    11,021     11,360
  Brookfield Asset Management Inc. 4.000%  1/15/25    11,020     11,447
  Brookfield Finance Inc. 4.000%   4/1/24    17,295     17,885
  Brookfield Finance Inc. 4.250%   6/2/26     9,922     10,585
  Brown & Brown Inc. 4.200%  9/15/24     8,089      8,427
  Business Development Corp. of America 3.250%  3/30/26     7,763      7,441
1 Cadence Bank 4.125% 11/20/29     1,275      1,294
  Canadian Imperial Bank of Commerce 0.450%  6/22/23    18,014     17,712
  Canadian Imperial Bank of Commerce 0.950%  6/23/23    28,536     28,238
1 Canadian Imperial Bank of Commerce 3.500%  9/13/23    32,378     33,280
  Canadian Imperial Bank of Commerce 0.500% 12/14/23    22,161     21,590
  Canadian Imperial Bank of Commerce 3.100%   4/2/24    16,377     16,703
  Canadian Imperial Bank of Commerce 1.000% 10/18/24    12,662     12,266
  Canadian Imperial Bank of Commerce 2.250%  1/28/25    16,852     16,831
  Canadian Imperial Bank of Commerce 0.950% 10/23/25     8,904      8,465
  Canadian Imperial Bank of Commerce 1.250%  6/22/26    23,709     22,440
1 Capital One Bank USA NA 2.280%  1/28/26     1,730      1,720
  Capital One Financial Corp. 2.600%  5/11/23    41,383     41,777
  Capital One Financial Corp. 3.500%  6/15/23    36,955     37,747
  Capital One Financial Corp. 3.900%  1/29/24    27,391     28,250
  Capital One Financial Corp. 3.750%  4/24/24    17,752     18,327
  Capital One Financial Corp. 3.300% 10/30/24    24,248     24,831
  Capital One Financial Corp. 1.343%  12/6/24    16,605     16,368
  Capital One Financial Corp. 3.200%   2/5/25    37,911     38,727
  Capital One Financial Corp. 4.250%  4/30/25     9,353      9,839
  Capital One Financial Corp. 4.200% 10/29/25    31,120     32,682
  Capital One Financial Corp. 3.750%  7/28/26    33,060     34,347
  Capital One Financial Corp. 1.878%  11/2/27    25,037     24,003
  Cboe Global Markets Inc. 3.650%  1/12/27     9,193      9,652
  Charles Schwab Corp. 3.225%   9/1/22     1,500      1,514
  Charles Schwab Corp. 3.550%   2/1/24    13,994     14,433
  Charles Schwab Corp. 0.750%  3/18/24    37,034     36,260
  Charles Schwab Corp. 3.750%   4/1/24    11,900     12,320
  Charles Schwab Corp. 3.000%  3/10/25    13,667     13,997
  Charles Schwab Corp. 4.200%  3/24/25     8,600      9,125
  Charles Schwab Corp. 3.625%   4/1/25    11,573     12,037
  Charles Schwab Corp. 3.850%  5/21/25    20,359     21,389
  Charles Schwab Corp. 3.450%  2/13/26     9,638     10,066
  Charles Schwab Corp. 0.900%  3/11/26    10,254      9,720
  Charles Schwab Corp. 1.150%  5/13/26    30,095     28,888
  Chubb INA Holdings Inc. 2.700%  3/13/23    17,035     17,229
  Chubb INA Holdings Inc. 3.350%  5/15/24    19,452     20,056
  Chubb INA Holdings Inc. 3.150%  3/15/25    21,506     22,254
  Chubb INA Holdings Inc. 3.350%   5/3/26    35,800     37,215
1 Citibank NA 3.650%  1/23/24    45,170     46,685
  Citigroup Inc. 3.375%   3/1/23     6,976      7,100
  Citigroup Inc. 3.500%  5/15/23    31,639     32,364
63

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Citigroup Inc. 3.875% 10/25/23    26,092     26,931
1 Citigroup Inc. 1.678%  5/15/24    25,280     25,248
1 Citigroup Inc. 4.044%   6/1/24    37,567     38,533
  Citigroup Inc. 3.750%  6/16/24    20,533     21,252
  Citigroup Inc. 4.000%   8/5/24    11,663     12,054
  Citigroup Inc. 0.776% 10/30/24    51,246     50,116
  Citigroup Inc. 3.875%  3/26/25    35,107     36,296
1 Citigroup Inc. 3.352%  4/24/25    75,281     76,843
  Citigroup Inc. 3.300%  4/27/25    29,576     30,288
  Citigroup Inc. 0.981%   5/1/25    13,080     12,713
  Citigroup Inc. 4.400%  6/10/25    55,694     58,449
  Citigroup Inc. 5.500%  9/13/25    34,453     37,586
  Citigroup Inc. 1.281%  11/3/25    22,225     21,532
  Citigroup Inc. 3.700%  1/12/26    47,451     49,568
  Citigroup Inc. 2.014%  1/25/26    46,209     45,534
  Citigroup Inc. 4.600%   3/9/26    39,615     42,272
1 Citigroup Inc. 3.106%   4/8/26    88,660     89,850
  Citigroup Inc. 3.400%   5/1/26    47,691     49,163
  Citigroup Inc. 3.200% 10/21/26    85,973     87,674
  Citigroup Inc. 4.300% 11/20/26    20,320     21,636
  Citigroup Inc. 1.122%  1/28/27    53,956     50,831
  Citigroup Inc. 1.462%   6/9/27    20,580     19,493
1 Citigroup Inc. 3.887%  1/10/28    40,214     41,987
1 Citigroup Inc. 3.070%  2/24/28    45,000     45,396
1 Citizens Bank NA 3.700%  3/29/23    14,526     14,809
1 Citizens Bank NA 2.250%  4/28/25    12,836     12,796
1 Citizens Bank NA 3.750%  2/18/26    17,434     18,327
  Citizens Financial Group Inc. 4.300%  12/3/25     3,738      3,939
  Citizens Financial Group Inc. 2.850%  7/27/26    16,185     16,348
  Citizens Financial Group Inc. 4.300%  2/11/31     3,691      3,758
  CME Group Inc. 3.000%  3/15/25    16,979     17,433
  CNA Financial Corp. 3.950%  5/15/24    12,761     13,168
  CNA Financial Corp. 4.500%   3/1/26    10,057     10,805
  CNO Financial Group Inc. 5.250%  5/30/25    14,275     15,292
1 Comerica Bank 2.500%  7/23/24    12,659     12,785
1 Comerica Bank 4.000%  7/27/25     5,367      5,642
  Comerica Inc. 3.700%  7/31/23    16,565     16,947
  Cooperatieve Rabobank UA 0.375%  1/12/24    21,920     21,370
  Cooperatieve Rabobank UA 1.375%  1/10/25    22,960     22,565
1 Cooperatieve Rabobank UA 3.375%  5/21/25    32,995     34,219
  Cooperatieve Rabobank UA 4.375%   8/4/25    27,339     28,631
1 Cooperatieve Rabobank UA 3.750%  7/21/26    35,706     36,881
  Credit Suisse AG 1.000%   5/5/23    43,400     43,066
1 Credit Suisse AG 0.520%   8/9/23    17,640     17,329
  Credit Suisse AG 0.495%   2/2/24    25,245     24,480
1 Credit Suisse AG 3.625%   9/9/24    85,080     87,809
  Credit Suisse AG 2.950%   4/9/25    49,067     49,735
  Credit Suisse AG 1.250%   8/7/26    28,846     27,109
  Credit Suisse Group AG 3.800%   6/9/23    39,892     40,787
  Credit Suisse Group AG 3.750%  3/26/25    51,546     52,944
  Credit Suisse Group AG 4.550%  4/17/26    51,069     53,943
1 Deutsche Bank AG 0.962%  11/8/23    27,657     27,163
  Deutsche Bank AG 0.898%  5/28/24     7,040      6,830
1 Deutsche Bank AG 3.700%  5/30/24    31,741     32,525
  Deutsche Bank AG 3.700%  5/30/24    11,827     12,140
64

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Deutsche Bank AG 2.222%  9/18/24    60,473     60,361
  Deutsche Bank AG 1.447%   4/1/25     6,045      5,904
1 Deutsche Bank AG 3.961% 11/26/25    28,302     28,957
  Deutsche Bank AG 4.100%  1/13/26     4,506      4,692
1 Deutsche Bank AG 4.100%  1/13/26    18,996     19,813
  Deutsche Bank AG 1.686%  3/19/26    20,965     20,244
  Deutsche Bank AG 2.129% 11/24/26    45,983     44,269
  Deutsche Bank AG 2.311% 11/16/27    38,034     36,373
  Deutsche Bank AG 2.552%   1/7/28    38,115     36,659
1 Discover Bank 4.200%   8/8/23    23,105     23,830
  Discover Bank 2.450%  9/12/24    18,404     18,431
1 Discover Bank 4.250%  3/13/26     1,997      2,112
1 Discover Bank 3.450%  7/27/26    26,591     27,352
1 Discover Bank 4.682%   8/9/28    10,933     11,221
  Discover Financial Services 3.950%  11/6/24    10,755     11,172
  Discover Financial Services 3.750%   3/4/25    11,164     11,564
  Discover Financial Services 4.500%  1/30/26    22,504     23,951
  Discover Financial Services 4.100%   2/9/27    21,841     22,898
  Eaton Vance Corp. 3.625%  6/15/23     8,303      8,483
  Equitable Holdings Inc. 3.900%  4/20/23    12,110     12,391
  Fifth Third Bancorp 1.625%   5/5/23    13,842     13,835
  Fifth Third Bancorp 4.300%  1/16/24    18,044     18,742
  Fifth Third Bancorp 3.650%  1/25/24    53,369     54,923
  Fifth Third Bancorp 2.375%  1/28/25    13,492     13,514
  Fifth Third Bancorp 1.707%  11/1/27     2,910      2,793
1 Fifth Third Bank NA 3.950%  7/28/25    12,747     13,502
1 Fifth Third Bank NA 3.850%  3/15/26    16,389     17,173
1 Fifth Third Bank NA 2.250%   2/1/27    16,988     16,884
  First American Financial Corp. 4.600% 11/15/24     6,172      6,512
  First Horizon Corp. 3.550%  5/26/23     4,189      4,256
  First Horizon Corp. 4.000%  5/26/25    12,243     12,707
1 First-Citizens Bank & Trust Co. 2.969%  9/27/25     8,292      8,370
  Franklin Resources Inc. 2.850%  3/30/25     9,757      9,950
  FS KKR Capital Corp. 4.625%  7/15/24    12,531     12,870
  FS KKR Capital Corp. 4.125%   2/1/25    12,980     13,138
  FS KKR Capital Corp. 3.400%  1/15/26    23,848     23,507
  FS KKR Capital Corp. 2.625%  1/15/27     6,615      6,255
  GATX Corp. 3.900%  3/30/23     1,505      1,535
  GATX Corp. 4.350%  2/15/24     6,619      6,894
  GATX Corp. 3.250%  3/30/25     4,306      4,402
  GATX Corp. 3.250%  9/15/26     7,578      7,756
  GE Capital Funding LLC 3.450%  5/15/25    27,303     28,055
  Global Payments Inc. 3.750%   6/1/23    13,036     13,276
  Global Payments Inc. 4.000%   6/1/23    13,744     14,083
  Global Payments Inc. 1.500% 11/15/24    12,185     11,896
  Global Payments Inc. 2.650%  2/15/25    20,041     20,133
  Global Payments Inc. 1.200%   3/1/26    19,980     18,863
  Global Payments Inc. 4.800%   4/1/26    15,658     16,808
  Global Payments Inc. 2.150%  1/15/27    20,000     19,337
  Goldman Sachs BDC Inc. 3.750%  2/10/25     8,662      8,844
  Goldman Sachs BDC Inc. 2.875%  1/15/26    11,625     11,401
  Goldman Sachs Group Inc. 0.523%   3/8/23    24,004     23,789
  Goldman Sachs Group Inc. 1.217%  12/6/23    10,000      9,885
  Goldman Sachs Group Inc. 3.625%  2/20/24    42,534     43,705
  Goldman Sachs Group Inc. 4.000%   3/3/24    63,876     66,151
65

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Goldman Sachs Group Inc. 0.673%   3/8/24    42,456     41,908
1 Goldman Sachs Group Inc. 3.850%   7/8/24    30,748     31,765
1 Goldman Sachs Group Inc. 0.657%  9/10/24    60,523     59,106
  Goldman Sachs Group Inc. 0.925% 10/21/24    45,996     45,030
  Goldman Sachs Group Inc. 3.500%  1/23/25    65,617     67,514
  Goldman Sachs Group Inc. 1.757%  1/24/25    43,506     43,035
  Goldman Sachs Group Inc. 3.500%   4/1/25    91,477     94,052
  Goldman Sachs Group Inc. 3.750%  5/22/25    37,498     38,797
1 Goldman Sachs Group Inc. 3.272%  9/29/25    41,445     42,187
  Goldman Sachs Group Inc. 4.250% 10/21/25    58,362     61,279
  Goldman Sachs Group Inc. 0.855%  2/12/26    10,641     10,168
  Goldman Sachs Group Inc. 3.750%  2/25/26    40,872     42,561
  Goldman Sachs Group Inc. 3.500% 11/16/26    63,866     65,464
1 Goldman Sachs Group Inc. 1.093%  12/9/26    70,282     66,129
  Goldman Sachs Group Inc. 5.950%  1/15/27    18,466     20,852
  Goldman Sachs Group Inc. 3.850%  1/26/27    73,872     76,956
  Goldman Sachs Group Inc. 1.431%   3/9/27    68,155     64,427
  Goldman Sachs Group Inc. 1.542%  9/10/27    60,290     56,814
  Goldman Sachs Group Inc. 1.948% 10/21/27    83,431     79,984
  Goldman Sachs Group Inc. 2.640%  2/24/28    79,944     79,007
  Golub Capital BDC Inc. 3.375%  4/15/24    10,951     10,983
  Golub Capital BDC Inc. 2.500%  8/24/26    12,355     11,693
  Golub Capital BDC Inc. 2.050%  2/15/27     2,950      2,699
  Hanover Insurance Group Inc. 4.500%  4/15/26     8,471      9,066
  HSBC Holdings plc 3.600%  5/25/23    29,856     30,548
  HSBC Holdings plc 4.250%  3/14/24    46,963     48,530
1 HSBC Holdings plc 3.950%  5/18/24    57,760     59,014
  HSBC Holdings plc 0.732%  8/17/24    38,910     38,079
  HSBC Holdings plc 1.162% 11/22/24    12,096     11,845
1 HSBC Holdings plc 3.803%  3/11/25    68,785     70,500
  HSBC Holdings plc 0.976%  5/24/25    51,070     49,365
  HSBC Holdings plc 4.250%  8/18/25    23,961     24,856
1 HSBC Holdings plc 2.633%  11/7/25    38,560     38,511
  HSBC Holdings plc 4.300%   3/8/26    55,036     58,130
1 HSBC Holdings plc 1.645%  4/18/26    50,871     49,056
  HSBC Holdings plc 3.900%  5/25/26    57,800     60,135
1 HSBC Holdings plc 2.099%   6/4/26    60,342     58,863
1 HSBC Holdings plc 4.292%  9/12/26    60,385     62,983
  HSBC Holdings plc 4.375% 11/23/26    36,886     38,803
  HSBC Holdings plc 1.589%  5/24/27    42,098     39,687
  HSBC Holdings plc 2.251% 11/22/27    55,796     53,733
  HSBC USA Inc. 3.500%  6/23/24    23,021     23,701
  Huntington Bancshares Inc. 2.625%   8/6/24    13,269     13,370
  Huntington Bancshares Inc. 4.000%  5/15/25     6,557      6,854
1 Huntington National Bank 3.550%  10/6/23    20,089     20,626
  ING Groep NV 4.100%  10/2/23    33,074     34,153
  ING Groep NV 3.550%   4/9/24    22,564     23,153
  ING Groep NV 1.726%   4/1/27    24,322     23,251
  Intercontinental Exchange Inc. 0.700%  6/15/23    27,396     27,084
  Intercontinental Exchange Inc. 3.450%  9/21/23     9,276      9,507
  Intercontinental Exchange Inc. 4.000% 10/15/23    17,665     18,284
  Intercontinental Exchange Inc. 3.750%  12/1/25    24,590     25,807
2 Intesa Sanpaolo SpA 3.375%  1/12/23     2,450      2,481
  Intesa Sanpaolo SpA 5.250%  1/12/24    11,467     12,039
  Invesco Finance plc 4.000%  1/30/24    11,450     11,816
66

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Invesco Finance plc 3.750%  1/15/26    14,176     14,853
2 Jackson Financial Inc. 1.125% 11/22/23    13,047     12,841
  Janus Henderson US Holdings Inc. 4.875%   8/1/25     5,979      6,377
  Jefferies Financial Group Inc. 5.500% 10/18/23    17,048     17,588
  Jefferies Group LLC 4.850%  1/15/27    12,843     13,995
  JPMorgan Chase & Co. 3.375%   5/1/23    44,186     45,019
  JPMorgan Chase & Co. 2.700%  5/18/23    45,562     46,071
  JPMorgan Chase & Co. 3.875%   2/1/24    26,762     27,766
  JPMorgan Chase & Co. 0.697%  3/16/24    21,518     21,274
1 JPMorgan Chase & Co. 3.559%  4/23/24    53,469     54,448
  JPMorgan Chase & Co. 3.625%  5/13/24    46,049     47,586
1 JPMorgan Chase & Co. 1.514%   6/1/24    35,472     35,327
1 JPMorgan Chase & Co. 3.797%  7/23/24    51,783     53,016
  JPMorgan Chase & Co. 3.875%  9/10/24    55,456     57,552
1 JPMorgan Chase & Co. 0.653%  9/16/24    41,775     40,978
1 JPMorgan Chase & Co. 4.023%  12/5/24    72,424     74,744
  JPMorgan Chase & Co. 3.125%  1/23/25    51,829     52,982
  JPMorgan Chase & Co. 0.563%  2/16/25    14,182     13,768
1 JPMorgan Chase & Co. 3.220%   3/1/25    46,609     47,427
  JPMorgan Chase & Co. 0.824%   6/1/25    43,115     41,719
  JPMorgan Chase & Co. 0.969%  6/23/25    54,635     52,931
  JPMorgan Chase & Co. 3.900%  7/15/25    51,390     53,708
  JPMorgan Chase & Co. 7.750%  7/15/25     2,411      2,824
  JPMorgan Chase & Co. 0.768%   8/9/25     8,647      8,323
1 JPMorgan Chase & Co. 2.301% 10/15/25    52,402     52,161
  JPMorgan Chase & Co. 1.561% 12/10/25    66,187     64,518
  JPMorgan Chase & Co. 2.595%  2/24/26    20,000     20,051
1 JPMorgan Chase & Co. 2.005%  3/13/26    69,573     68,453
  JPMorgan Chase & Co. 3.300%   4/1/26    63,682     65,680
1 JPMorgan Chase & Co. 2.083%  4/22/26    98,108     96,594
  JPMorgan Chase & Co. 3.200%  6/15/26    21,182     21,736
  JPMorgan Chase & Co. 2.950%  10/1/26    67,915     69,064
  JPMorgan Chase & Co. 7.625% 10/15/26    13,206     15,959
  JPMorgan Chase & Co. 1.045% 11/19/26    58,540     55,033
  JPMorgan Chase & Co. 4.125% 12/15/26    47,633     50,630
1 JPMorgan Chase & Co. 3.960%  1/29/27    21,700     22,717
  JPMorgan Chase & Co. 1.040%   2/4/27    78,493     73,493
  JPMorgan Chase & Co. 1.578%  4/22/27    98,115     93,820
  JPMorgan Chase & Co. 1.470%  9/22/27    64,900     61,232
1 JPMorgan Chase & Co. 3.782%   2/1/28    75,169     78,494
  JPMorgan Chase & Co. 2.947%  2/24/28    19,243     19,358
  Kemper Corp. 4.350%  2/15/25     8,018      8,417
1 KeyBank NA 3.375%   3/7/23    14,839     15,101
1 KeyBank NA 1.250%  3/10/23    16,395     16,388
1 KeyBank NA 0.433%  6/14/24    10,169      9,987
1 KeyBank NA 3.300%   6/1/25    14,322     14,802
1 KeyBank NA 3.400%  5/20/26    19,705     20,432
1 KeyCorp 4.150% 10/29/25     5,309      5,631
  Lazard Group LLC 3.750%  2/13/25     8,756      9,081
  Legg Mason Inc. 4.750%  3/15/26     9,993     10,873
  Lincoln National Corp. 4.000%   9/1/23    11,146     11,499
  Lincoln National Corp. 3.350%   3/9/25     4,142      4,271
  Lincoln National Corp. 3.625% 12/12/26    12,063     12,664
  Lloyds Bank plc 3.500%  5/14/25     2,325      2,389
  Lloyds Banking Group plc 4.050%  8/16/23    51,871     53,431
67

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Lloyds Banking Group plc 3.900%  3/12/24    26,235     27,180
  Lloyds Banking Group plc 0.695%  5/11/24     3,314      3,265
  Lloyds Banking Group plc 4.500%  11/4/24    31,859     33,248
  Lloyds Banking Group plc 4.450%   5/8/25    20,381     21,453
1 Lloyds Banking Group plc 3.870%   7/9/25    56,945     58,644
  Lloyds Banking Group plc 4.582% 12/10/25    36,762     38,547
1 Lloyds Banking Group plc 2.438%   2/5/26    29,021     28,807
  Lloyds Banking Group plc 4.650%  3/24/26    29,852     31,573
  Lloyds Banking Group plc 3.750%  1/11/27    28,199     29,273
  Lloyds Banking Group plc 1.627%  5/11/27     4,417      4,190
  Loews Corp. 2.625%  5/15/23     7,681      7,756
  Loews Corp. 3.750%   4/1/26     9,962     10,501
  M&T Bank Corp. 3.550%  7/26/23    24,333     24,890
  Main Street Capital Corp. 5.200%   5/1/24     9,631      9,943
  Main Street Capital Corp. 3.000%  7/14/26     9,269      8,887
1 Manufacturers & Traders Trust Co. 2.900%   2/6/25    11,625     11,883
  Manulife Financial Corp. 4.150%   3/4/26    22,609     23,988
1 Manulife Financial Corp. 4.061%  2/24/32    11,167     11,508
  Marsh & McLennan Cos. Inc. 3.300%  3/14/23     4,400      4,468
  Marsh & McLennan Cos. Inc. 3.875%  3/15/24    20,652     21,397
  Marsh & McLennan Cos. Inc. 3.500%   6/3/24    15,499     15,971
  Marsh & McLennan Cos. Inc. 3.500%  3/10/25    15,357     15,908
  Marsh & McLennan Cos. Inc. 3.750%  3/14/26    16,739     17,669
  Mastercard Inc. 3.375%   4/1/24    23,731     24,540
  Mastercard Inc. 2.000%   3/3/25    21,376     21,436
  Mastercard Inc. 2.950% 11/21/26    17,887     18,557
1 MetLife Inc. 4.368%  9/15/23    23,359     24,278
  MetLife Inc. 3.600%  4/10/24    18,786     19,449
  MetLife Inc. 3.000%   3/1/25    18,326     18,866
  MetLife Inc. 3.600% 11/13/25     8,861      9,274
  Mitsubishi UFJ Financial Group Inc. 3.455%   3/2/23    38,197     38,889
  Mitsubishi UFJ Financial Group Inc. 3.761%  7/26/23    61,451     63,139
  Mitsubishi UFJ Financial Group Inc. 2.527%  9/13/23    14,475     14,628
  Mitsubishi UFJ Financial Group Inc. 3.407%   3/7/24    43,983     45,091
  Mitsubishi UFJ Financial Group Inc. 2.801%  7/18/24    27,188     27,537
1 Mitsubishi UFJ Financial Group Inc. 0.848%  9/15/24    37,212     36,527
  Mitsubishi UFJ Financial Group Inc. 2.193%  2/25/25    68,712     68,208
  Mitsubishi UFJ Financial Group Inc. 3.777%   3/2/25       748        777
  Mitsubishi UFJ Financial Group Inc. 1.412%  7/17/25    33,369     32,190
  Mitsubishi UFJ Financial Group Inc. 0.953%  7/19/25    49,522     47,817
  Mitsubishi UFJ Financial Group Inc. 0.962% 10/11/25    18,580     17,897
  Mitsubishi UFJ Financial Group Inc. 3.850%   3/1/26    32,425     33,912
  Mitsubishi UFJ Financial Group Inc. 3.677%  2/22/27    24,714     25,803
  Mitsubishi UFJ Financial Group Inc. 1.538%  7/20/27    81,699     77,551
  Mitsubishi UFJ Financial Group Inc. 1.640% 10/13/27    18,580     17,650
  Mitsubishi UFJ Financial Group Inc. 2.341%  1/19/28    37,370     36,468
  Mizuho Financial Group Inc. 3.549%   3/5/23    18,175     18,540
1 Mizuho Financial Group Inc. 1.241%  7/10/24    30,978     30,645
1 Mizuho Financial Group Inc. 0.849%   9/8/24    21,585     21,173
1 Mizuho Financial Group Inc. 3.922%  9/11/24    28,595     29,348
1 Mizuho Financial Group Inc. 2.839%  7/16/25    19,158     19,318
1 Mizuho Financial Group Inc. 2.555%  9/13/25    14,930     14,945
  Mizuho Financial Group Inc. 2.651%  5/22/26    13,000     13,009
1 Mizuho Financial Group Inc. 2.226%  5/25/26    16,624     16,413
  Mizuho Financial Group Inc. 2.839%  9/13/26    20,282     20,375
68

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Mizuho Financial Group Inc. 3.663%  2/28/27    13,630     14,247
  Mizuho Financial Group Inc. 1.234%  5/22/27    28,540     26,728
  Mizuho Financial Group Inc. 1.554%   7/9/27     7,944      7,521
1 Morgan Stanley 4.100%  5/22/23    45,630     46,827
  Morgan Stanley 0.731%   4/5/24    34,025     33,559
1 Morgan Stanley 3.737%  4/24/24    67,791     69,104
1 Morgan Stanley 3.875%  4/29/24    73,387     75,861
1 Morgan Stanley 3.700% 10/23/24    59,376     61,421
  Morgan Stanley 0.790%  5/30/25    83,143     80,187
1 Morgan Stanley 2.720%  7/22/25    50,584     50,881
1 Morgan Stanley 4.000%  7/23/25    68,081     71,353
1 Morgan Stanley 0.864% 10/21/25    33,036     31,706
1 Morgan Stanley 1.164% 10/21/25    43,905     42,412
  Morgan Stanley 5.000% 11/24/25    48,643     52,328
1 Morgan Stanley 3.875%  1/27/26    71,845     75,039
  Morgan Stanley 2.630%  2/18/26    20,000     20,016
1 Morgan Stanley 2.188%  4/28/26    67,551     66,645
1 Morgan Stanley 3.125%  7/27/26    83,471     85,049
1 Morgan Stanley 6.250%   8/9/26    12,465     14,271
1 Morgan Stanley 4.350%   9/8/26    54,177     57,535
  Morgan Stanley 0.985% 12/10/26    62,489     58,546
  Morgan Stanley 3.625%  1/20/27    71,626     74,687
  Morgan Stanley 1.593%   5/4/27    75,181     71,626
1 Morgan Stanley 1.512%  7/20/27    61,709     58,499
  Morgan Stanley 2.475%  1/21/28    46,190     45,419
  Nasdaq Inc. 0.445% 12/21/22     1,200      1,192
  Nasdaq Inc. 4.250%   6/1/24    11,860     12,360
  Nasdaq Inc. 3.850%  6/30/26    15,082     15,794
  National Australia Bank Ltd. 1.875% 12/13/22     6,470      6,507
  National Australia Bank Ltd. 2.875%  4/12/23    12,012     12,200
  National Australia Bank Ltd. 3.625%  6/20/23    12,058     12,374
  National Australia Bank Ltd. 3.375%  1/14/26    17,222     18,033
1 National Australia Bank Ltd. 2.500%  7/12/26    22,572     22,871
1 National Bank of Canada 0.550% 11/15/24    15,675     15,291
  NatWest Group plc 6.125% 12/15/22     3,959      4,085
  NatWest Group plc 6.100%  6/10/23     1,762      1,843
  NatWest Group plc 3.875%  9/12/23    74,052     75,841
  NatWest Group plc 6.000% 12/19/23    34,354     36,486
1 NatWest Group plc 2.359%  5/22/24    24,104     24,153
  NatWest Group plc 5.125%  5/28/24    25,206     26,476
1 NatWest Group plc 4.519%  6/25/24    35,017     36,030
1 NatWest Group plc 4.269%  3/22/25    47,530     49,155
  NatWest Group plc 4.800%   4/5/26    37,948     40,669
  NatWest Group plc 1.642%  6/14/27     3,780      3,590
1 NatWest Group plc 3.754%  11/1/29    24,367     24,673
1 New York Community Bancorp Inc. 5.900%  11/6/28     4,544      4,853
  Nomura Holdings Inc. 2.648%  1/16/25    33,921     34,028
  Nomura Holdings Inc. 1.851%  7/16/25    34,776     33,838
  Nomura Holdings Inc. 1.653%  7/14/26    12,175     11,566
  Nomura Holdings Inc. 2.329%  1/22/27    40,024     38,650
  Northern Trust Corp. 3.950% 10/30/25    17,028     18,052
  Oaktree Specialty Lending Corp. 3.500%  2/25/25     8,676      8,729
  Oaktree Specialty Lending Corp. 2.700%  1/15/27     1,661      1,580
  Old Republic International Corp. 4.875%  10/1/24     7,593      8,044
  Old Republic International Corp. 3.875%  8/26/26    13,675     14,278
69

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  ORIX Corp. 4.050%  1/16/24     1,408      1,459
  ORIX Corp. 3.250%  12/4/24    18,127     18,560
  Owl Rock Capital Corp. 5.250%  4/15/24    10,332     10,719
  Owl Rock Capital Corp. 4.000%  3/30/25    12,118     12,224
  Owl Rock Capital Corp. 3.750%  7/22/25    15,475     15,311
  Owl Rock Capital Corp. 4.250%  1/15/26    11,199     11,296
  Owl Rock Capital Corp. 3.400%  7/15/26    22,520     21,576
  Owl Rock Capital Corp. 2.625%  1/15/27    13,857     12,735
2 OWL Rock Core Income Corp. 4.700%   2/8/27     6,100      6,038
  Owl Rock Technology Finance Corp. 2.500%  1/15/27     5,886      5,536
  PayPal Holdings Inc. 1.350%   6/1/23    22,970     22,921
  PayPal Holdings Inc. 2.400%  10/1/24    32,830     33,115
  PayPal Holdings Inc. 1.650%   6/1/25    10,307     10,101
  PayPal Holdings Inc. 2.650%  10/1/26    30,711     31,034
  People's United Bank NA 4.000%  7/15/24     8,802      9,076
  People's United Financial Inc. 3.650%  12/6/22     9,852      9,958
1 PNC Bank NA 3.500%   6/8/23    10,029     10,252
  PNC Bank NA 3.800%  7/25/23    22,990     23,591
  PNC Bank NA 2.500%  8/27/24    15,103     15,266
1 PNC Bank NA 3.300% 10/30/24    13,129     13,553
1 PNC Bank NA 2.950%  2/23/25    10,867     11,152
1 PNC Bank NA 3.875%  4/10/25    14,866     15,511
1 PNC Bank NA 3.250%   6/1/25    12,446     12,868
1 PNC Bank NA 4.200%  11/1/25    12,846     13,629
  PNC Financial Services Group Inc. 3.500%  1/23/24    34,784     35,798
  PNC Financial Services Group Inc. 3.900%  4/29/24    13,027     13,526
  PNC Financial Services Group Inc. 2.200%  11/1/24    16,143     16,197
  PNC Financial Services Group Inc. 2.600%  7/23/26    24,154     24,492
  PNC Financial Services Group Inc. 1.150%  8/13/26    17,205     16,436
  Principal Financial Group Inc. 3.125%  5/15/23     6,304      6,409
  Principal Financial Group Inc. 3.400%  5/15/25     7,886      8,091
  Principal Financial Group Inc. 3.100% 11/15/26     5,620      5,749
  Progressive Corp. 2.450%  1/15/27    18,964     19,173
  Prospect Capital Corp. 5.875%  3/15/23       500        514
  Prospect Capital Corp. 3.706%  1/22/26     6,959      6,815
  Prospect Capital Corp. 3.364% 11/15/26     8,346      7,994
1 Prudential Financial Inc. 1.500%  3/10/26    18,119     17,732
1 Prudential Financial Inc. 5.625%  6/15/43    25,116     25,853
1 Prudential Financial Inc. 5.200%  3/15/44    10,552     10,653
1 Prudential Financial Inc. 5.375%  5/15/45    18,400     18,733
  Regions Financial Corp. 2.250%  5/18/25    20,022     20,052
1 Reinsurance Group of America Inc. 4.700%  9/15/23     6,318      6,569
  Reinsurance Group of America Inc. 3.950%  9/15/26    10,565     11,153
  RenaissanceRe Finance Inc. 3.700%   4/1/25     6,210      6,444
1 Royal Bank of Canada 1.600%  4/17/23    29,423     29,465
1 Royal Bank of Canada 3.700%  10/5/23    45,890     47,300
1 Royal Bank of Canada 0.500% 10/26/23    27,401     26,851
1 Royal Bank of Canada 0.425%  1/19/24    19,923     19,401
1 Royal Bank of Canada 2.550%  7/16/24    27,589     27,865
  Royal Bank of Canada 0.650%  7/29/24     9,727      9,390
1 Royal Bank of Canada 0.750%  10/7/24    16,612     16,028
1 Royal Bank of Canada 2.250%  11/1/24    47,135     47,170
1 Royal Bank of Canada 1.600%  1/21/25     7,830      7,696
1 Royal Bank of Canada 1.150%  6/10/25    42,982     41,384
1 Royal Bank of Canada 0.875%  1/20/26    28,544     26,956
70

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Royal Bank of Canada 4.650%  1/27/26    34,840     37,513
  Royal Bank of Canada 1.200%  4/27/26    40,926     38,872
1 Royal Bank of Canada 1.150%  7/14/26    16,672     15,786
1 Royal Bank of Canada 1.400%  11/2/26    17,431     16,614
1 Royal Bank of Canada 2.050%  1/21/27    10,463     10,250
  Santander Holdings USA Inc. 3.500%   6/7/24    32,794     33,468
  Santander Holdings USA Inc. 3.450%   6/2/25    10,391     10,567
  Santander Holdings USA Inc. 4.500%  7/17/25    24,922     26,130
  Santander Holdings USA Inc. 3.244%  10/5/26    36,359     36,738
  Santander Holdings USA Inc. 2.490%   1/6/28    10,425     10,126
1 Santander UK Group Holdings plc 4.796% 11/15/24    27,997     29,097
  Santander UK Group Holdings plc 1.089%  3/15/25    22,450     21,780
1 Santander UK Group Holdings plc 1.532%  8/21/26    16,325     15,573
  Santander UK Group Holdings plc 1.673%  6/14/27    27,000     25,508
  Santander UK Group Holdings plc 2.469%  1/11/28    21,575     20,885
  Santander UK plc 4.000%  3/13/24    25,482     26,421
  Santander UK plc 2.875%  6/18/24    16,411     16,634
1 Signature Bank 4.000% 10/15/30     7,050      7,145
  Sixth Street Specialty Lending Inc. 3.875%  11/1/24     7,374      7,506
  Sixth Street Specialty Lending Inc. 2.500%   8/1/26     7,847      7,464
2 Standard Chartered plc 2.819%  1/30/26     1,650      1,643
  State Street Corp. 3.100%  5/15/23    23,631     24,048
  State Street Corp. 3.700% 11/20/23    24,001     24,799
1 State Street Corp. 3.776%  12/3/24    20,897     21,564
  State Street Corp. 3.300% 12/16/24    26,282     27,190
  State Street Corp. 3.550%  8/18/25    26,687     27,860
1 State Street Corp. 2.354%  11/1/25    21,454     21,584
  State Street Corp. 2.901%  3/30/26    20,785     21,209
  State Street Corp. 2.650%  5/19/26    15,091     15,404
  State Street Corp. 2.203%   2/7/28    15,000     14,808
  Stifel Financial Corp. 4.250%  7/18/24     9,829     10,236
  Sumitomo Mitsui Banking Corp. 3.950%  7/19/23     8,300      8,538
  Sumitomo Mitsui Banking Corp. 3.950%  1/10/24     3,660      3,797
1 Sumitomo Mitsui Banking Corp. 3.400%  7/11/24     8,683      8,949
1 Sumitomo Mitsui Banking Corp. 3.650%  7/23/25     3,642      3,790
  Sumitomo Mitsui Financial Group Inc. 3.748%  7/19/23    14,656     15,058
  Sumitomo Mitsui Financial Group Inc. 3.936% 10/16/23    17,750     18,334
  Sumitomo Mitsui Financial Group Inc. 0.508%  1/12/24    17,825     17,377
  Sumitomo Mitsui Financial Group Inc. 2.696%  7/16/24    55,645     56,175
  Sumitomo Mitsui Financial Group Inc. 2.448%  9/27/24    23,610     23,674
  Sumitomo Mitsui Financial Group Inc. 2.348%  1/15/25    29,877     29,772
  Sumitomo Mitsui Financial Group Inc. 1.474%   7/8/25    69,869     67,469
  Sumitomo Mitsui Financial Group Inc. 0.948%  1/12/26    26,932     25,409
  Sumitomo Mitsui Financial Group Inc. 3.784%   3/9/26    28,063     29,356
  Sumitomo Mitsui Financial Group Inc. 2.632%  7/14/26    37,500     37,586
  Sumitomo Mitsui Financial Group Inc. 1.402%  9/17/26    49,085     46,393
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26    34,674     35,206
  Sumitomo Mitsui Financial Group Inc. 3.446%  1/11/27    34,811     35,989
  Sumitomo Mitsui Financial Group Inc. 2.174%  1/14/27    22,610     22,073
  SVB Financial Group 3.500%  1/29/25     4,521      4,660
  SVB Financial Group 1.800% 10/28/26    19,630     18,962
1 Svenska Handelsbanken AB 3.900% 11/20/23    40,286     41,790
  Swiss Re America Holding Corp. 7.000%  2/15/26     9,000     10,534
  Synchrony Financial 4.375%  3/19/24    18,010     18,632
  Synchrony Financial 4.250%  8/15/24    18,800     19,453
71

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Synchrony Financial 4.500%  7/23/25    19,599     20,554
  Synchrony Financial 3.700%   8/4/26    13,549     13,805
1 Toronto-Dominion Bank 1.900%  12/1/22    30,267     30,428
1 Toronto-Dominion Bank 0.300%   6/2/23    17,817     17,530
1 Toronto-Dominion Bank 0.750%  6/12/23    37,440     37,048
1 Toronto-Dominion Bank 3.500%  7/19/23    52,696     54,014
1 Toronto-Dominion Bank 0.450%  9/11/23    14,418     14,137
  Toronto-Dominion Bank 0.550%   3/4/24    12,717     12,355
1 Toronto-Dominion Bank 3.250%  3/11/24    40,694     41,760
1 Toronto-Dominion Bank 2.650%  6/12/24    32,527     32,943
  Toronto-Dominion Bank 1.250% 12/13/24    13,155     12,853
1 Toronto-Dominion Bank 1.450%  1/10/25    15,960     15,626
1 Toronto-Dominion Bank 1.150%  6/12/25    31,240     30,098
1 Toronto-Dominion Bank 0.750%  9/11/25    21,334     20,163
1 Toronto-Dominion Bank 0.750%   1/6/26    24,480     23,087
1 Toronto-Dominion Bank 1.200%   6/3/26    19,861     18,903
1 Toronto-Dominion Bank 1.250%  9/10/26    31,570     29,944
1 Toronto-Dominion Bank 1.950%  1/12/27    15,150     14,798
1 Toronto-Dominion Bank 3.625%  9/15/31    44,580     45,956
  Trinity Acquisition plc 4.400%  3/15/26     7,210      7,669
1 Truist Bank 1.250%   3/9/23    20,598     20,553
1 Truist Bank 2.750%   5/1/23    12,804     12,973
1 Truist Bank 3.200%   4/1/24    50,891     52,254
1 Truist Bank 3.689%   8/2/24    11,261     11,552
1 Truist Bank 2.150%  12/6/24    42,603     42,746
1 Truist Bank 1.500%  3/10/25    26,725     26,288
1 Truist Bank 3.625%  9/16/25    27,465     28,615
1 Truist Bank 4.050%  11/3/25     7,821      8,312
1 Truist Bank 3.300%  5/15/26    20,882     21,616
1 Truist Bank 3.800% 10/30/26    17,566     18,506
1 Truist Bank 2.636%  9/17/29     6,337      6,362
1 Truist Financial Corp. 2.200%  3/16/23    13,610     13,683
1 Truist Financial Corp. 3.750%  12/6/23    25,584     26,399
1 Truist Financial Corp. 2.500%   8/1/24    28,441     28,767
1 Truist Financial Corp. 2.850% 10/26/24    13,751     14,013
  Truist Financial Corp. 4.000%   5/1/25    26,323     27,626
1 Truist Financial Corp. 3.700%   6/5/25    24,354     25,449
1 Truist Financial Corp. 1.200%   8/5/25     5,742      5,536
1 Truist Financial Corp. 1.267%   3/2/27    37,615     35,934
  Unum Group 4.000%  3/15/24     7,950      8,234
1 US Bancorp 3.700%  1/30/24    24,268     25,128
  US Bancorp 3.375%   2/5/24    45,318     46,590
  US Bancorp 2.400%  7/30/24    31,666     32,023
1 US Bancorp 3.600%  9/11/24    17,404     18,057
  US Bancorp 1.450%  5/12/25    15,931     15,579
1 US Bancorp 3.950% 11/17/25    12,979     13,757
1 US Bancorp 3.100%  4/27/26    23,746     24,420
1 US Bancorp 2.375%  7/22/26    32,685     32,910
1 US Bancorp 2.215%  1/27/28    12,920     12,765
1 US Bank NA 3.400%  7/24/23    23,328     23,869
1 US Bank NA 2.050%  1/21/25    19,971     19,986
1 US Bank NA 2.800%  1/27/25    38,628     39,398
  Valley National Bancorp 3.000%  6/15/31       985        968
  Visa Inc. 2.800% 12/14/22    60,658     61,356
  Visa Inc. 3.150% 12/14/25    82,719     85,729
72

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Voya Financial Inc. 3.650%  6/15/26    18,789     19,715
1 Voya Financial Inc. 5.650%  5/15/53     9,260      9,348
  Wachovia Corp. 7.574%   8/1/26     3,333      3,958
1 Wells Fargo & Co. 3.450%  2/13/23         1          1
  Wells Fargo & Co. 4.125%  8/15/23    30,642     31,597
  Wells Fargo & Co. 4.480%  1/16/24    15,705     16,403
1 Wells Fargo & Co. 3.750%  1/24/24    64,436     66,437
1 Wells Fargo & Co. 1.654%   6/2/24    62,139     61,983
1 Wells Fargo & Co. 3.300%   9/9/24    48,556     49,804
1 Wells Fargo & Co. 3.000%  2/19/25    60,802     61,906
1 Wells Fargo & Co. 0.805%  5/19/25     5,540      5,364
1 Wells Fargo & Co. 3.550%  9/29/25    61,886     64,146
1 Wells Fargo & Co. 2.406% 10/30/25    69,793     69,595
1 Wells Fargo & Co. 2.164%  2/11/26    69,405     68,582
  Wells Fargo & Co. 3.000%  4/22/26    82,179     83,301
1 Wells Fargo & Co. 2.188%  4/30/26    77,229     76,244
1 Wells Fargo & Co. 4.100%   6/3/26    11,372     11,982
  Wells Fargo & Co. 3.000% 10/23/26    92,884     94,180
1 Wells Fargo & Co. 3.196%  6/17/27    73,569     74,775
  Western Alliance Bancorp 3.000%  6/15/31    12,400     12,295
  Western Union Co. 4.250%   6/9/23       857        878
  Western Union Co. 2.850%  1/10/25    18,464     18,699
  Western Union Co. 1.350%  3/15/26    12,493     11,922
  Westpac Banking Corp. 2.000%  1/13/23    14,078     14,182
  Westpac Banking Corp. 3.650%  5/15/23    11,229     11,521
  Westpac Banking Corp. 3.300%  2/26/24    29,513     30,386
  Westpac Banking Corp. 2.350%  2/19/25    29,922     30,169
  Westpac Banking Corp. 2.850%  5/13/26    30,764     31,574
  Westpac Banking Corp. 1.150%   6/3/26    27,364     26,197
  Westpac Banking Corp. 2.700%  8/19/26    23,306     23,738
1 Westpac Banking Corp. 2.894%   2/4/30    32,578     32,190
1 Westpac Banking Corp. 4.322% 11/23/31    50,968     53,162
  Willis North America Inc. 3.600%  5/15/24    24,615     25,250
  XLIT Ltd. 4.450%  3/31/25    12,789     13,498
                                21,020,445
Health Care (8.6%)
  Abbott Laboratories 3.400% 11/30/23    22,540     23,176
  Abbott Laboratories 2.950%  3/15/25    16,836     17,272
  Abbott Laboratories 3.875%  9/15/25     9,492     10,026
4 Abbott Laboratories 3.750% 11/30/26    46,118     49,196
  AbbVie Inc. 2.800%  3/15/23     8,300      8,386
  AbbVie Inc. 2.850%  5/14/23    22,533     22,817
  AbbVie Inc. 3.750% 11/14/23    21,788     22,467
  AbbVie Inc. 3.850%  6/15/24    24,172     25,001
  AbbVie Inc. 2.600% 11/21/24    75,819     76,506
  AbbVie Inc. 3.800%  3/15/25    72,152     74,941
  AbbVie Inc. 3.600%  5/14/25    90,442     93,465
  AbbVie Inc. 3.200%  5/14/26    39,852     40,891
  AbbVie Inc. 2.950% 11/21/26   107,717    109,500
  Aetna Inc. 2.750% 11/15/22       235        236
  Aetna Inc. 2.800%  6/15/23    19,668     19,922
  Aetna Inc. 3.500% 11/15/24    26,996     27,791
  Agilent Technologies Inc. 3.875%  7/15/23     8,360      8,556
  Agilent Technologies Inc. 3.050%  9/22/26     7,225      7,385
  AmerisourceBergen Corp. 0.737%  3/15/23    15,000     14,872
73

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  AmerisourceBergen Corp. 3.400%  5/15/24    20,491     21,019
  AmerisourceBergen Corp. 3.250%   3/1/25    14,368     14,748
  Amgen Inc. 2.250%  8/19/23     5,824      5,874
  Amgen Inc. 3.625%  5/22/24    29,353     30,329
  Amgen Inc. 1.900%  2/21/25    18,975     18,862
  Amgen Inc. 3.125%   5/1/25    17,856     18,264
  Amgen Inc. 2.600%  8/19/26    24,067     24,285
  Amgen Inc. 2.200%  2/21/27    37,387     36,850
  Anthem Inc. 0.450%  3/15/23     7,710      7,627
  Anthem Inc. 3.500%  8/15/24    31,833     32,748
  Anthem Inc. 3.350%  12/1/24    20,103     20,694
  Anthem Inc. 2.375%  1/15/25    35,983     36,156
  Anthem Inc. 1.500%  3/15/26    22,472     21,738
  AstraZeneca Finance LLC 0.700%  5/28/24    33,340     32,462
  AstraZeneca Finance LLC 1.200%  5/28/26    50,531     48,447
  AstraZeneca plc 0.300%  5/26/23    20,720     20,439
  AstraZeneca plc 3.500%  8/17/23    31,092     31,909
  AstraZeneca plc 3.375% 11/16/25    43,854     45,677
  AstraZeneca plc 0.700%   4/8/26    17,279     16,241
  Baxalta Inc. 4.000%  6/23/25    15,978     16,701
2 Baxter International Inc. 0.868%  12/1/23    35,686     35,039
2 Baxter International Inc. 1.322% 11/29/24    30,464     29,639
  Baxter International Inc. 2.600%  8/15/26    16,487     16,584
2 Baxter International Inc. 1.915%   2/1/27    38,725     37,569
  Becton Dickinson & Co. 3.363%   6/6/24    35,591     36,482
  Becton Dickinson & Co. 3.734% 12/15/24    13,017     13,467
  Biogen Inc. 4.050%  9/15/25    34,846     36,428
3 Bio-Rad Laboratories Inc. 3.300%  3/15/27     6,850      6,901
  Boston Scientific Corp. 3.450%   3/1/24    20,096     20,611
  Boston Scientific Corp. 3.850%  5/15/25     4,843      5,057
  Boston Scientific Corp. 1.900%   6/1/25    26,791     26,332
  Boston Scientific Corp. 3.750%   3/1/26    19,408     20,290
  Bristol-Myers Squibb Co. 3.250%  11/1/23    11,934     12,256
  Bristol-Myers Squibb Co. 0.537% 11/13/23    12,225     12,021
  Bristol-Myers Squibb Co. 2.900%  7/26/24    80,491     82,413
  Bristol-Myers Squibb Co. 3.875%  8/15/25    56,212     59,291
  Bristol-Myers Squibb Co. 0.750% 11/13/25    15,440     14,651
  Bristol-Myers Squibb Co. 3.200%  6/15/26    52,991     55,210
  Bristol-Myers Squibb Co. 3.250%  2/27/27     7,337      7,674
  Cardinal Health Inc. 3.200%  3/15/23    12,200     12,384
  Cardinal Health Inc. 3.079%  6/15/24    13,640     13,890
  Cardinal Health Inc. 3.500% 11/15/24     4,998      5,145
  Cardinal Health Inc. 3.750%  9/15/25     8,755      9,114
1 Cigna Corp. 3.000%  7/15/23    28,613     29,047
  Cigna Corp. 3.750%  7/15/23    17,862     18,334
  Cigna Corp. 0.613%  3/15/24     6,175      6,023
1 Cigna Corp. 3.500%  6/15/24    16,219     16,657
1 Cigna Corp. 3.250%  4/15/25    17,237     17,614
  Cigna Corp. 4.125% 11/15/25    69,801     73,530
1 Cigna Corp. 4.500%  2/25/26    23,082     24,720
  Cigna Corp. 1.250%  3/15/26    14,614     13,980
  CommonSpirit Health 2.760%  10/1/24    14,247     14,369
  CommonSpirit Health 1.547%  10/1/25    15,850     15,291
  CVS Health Corp. 2.750%  12/1/22    22,466     22,631
  CVS Health Corp. 4.750%  12/1/22    11,116     11,304
74

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CVS Health Corp. 3.375%  8/12/24    16,481     16,928
  CVS Health Corp. 2.625%  8/15/24    25,007     25,302
  CVS Health Corp. 4.100%  3/25/25    12,601     13,223
  CVS Health Corp. 3.875%  7/20/25    51,876     54,227
  CVS Health Corp. 2.875%   6/1/26    41,125     41,607
  CVS Health Corp. 3.000%  8/15/26    15,979     16,256
  Danaher Corp. 3.350%  9/15/25     8,526      8,826
  DH Europe Finance II Sarl 2.200% 11/15/24    14,025     14,034
  Eli Lilly & Co. 2.750%   6/1/25     8,430      8,604
  Gilead Sciences Inc. 2.500%   9/1/23    28,621     28,935
  Gilead Sciences Inc. 0.750%  9/29/23    15,624     15,399
  Gilead Sciences Inc. 3.700%   4/1/24    48,511     50,081
  Gilead Sciences Inc. 3.500%   2/1/25    34,675     35,872
  Gilead Sciences Inc. 3.650%   3/1/26    53,533     55,856
  GlaxoSmithKline Capital Inc. 2.800%  3/18/23    32,086     32,531
  GlaxoSmithKline Capital Inc. 3.375%  5/15/23    28,486     29,115
  GlaxoSmithKline Capital Inc. 3.625%  5/15/25    19,496     20,396
  GlaxoSmithKline Capital plc 0.534%  10/1/23    24,033     23,633
  GlaxoSmithKline Capital plc 3.000%   6/1/24    19,901     20,348
  HCA Inc. 4.750%   5/1/23    24,871     25,617
  HCA Inc. 5.000%  3/15/24    33,800     35,525
  HCA Inc. 5.250%  4/15/25    41,388     44,444
  HCA Inc. 5.250%  6/15/26    34,370     37,240
  HCA Inc. 4.500%  2/15/27    17,972     19,032
  Humana Inc. 0.650%   8/3/23    12,922     12,723
  Humana Inc. 3.850%  10/1/24    14,646     15,190
  Humana Inc. 4.500%   4/1/25    14,592     15,499
  Humana Inc. 1.350%   2/3/27     2,586      2,436
  Illumina Inc. 0.550%  3/23/23    11,064     10,919
  Johnson & Johnson 2.050%   3/1/23     7,832      7,890
  Johnson & Johnson 3.375%  12/5/23    16,984     17,583
  Johnson & Johnson 2.625%  1/15/25     9,224      9,421
  Johnson & Johnson 0.550%   9/1/25    20,288     19,318
  Johnson & Johnson 2.450%   3/1/26    45,585     46,409
  Laboratory Corp. of America Holdings 4.000%  11/1/23     2,873      2,957
  Laboratory Corp. of America Holdings 3.250%   9/1/24     9,109      9,287
  Laboratory Corp. of America Holdings 2.300%  12/1/24    12,349     12,345
  Laboratory Corp. of America Holdings 3.600%   2/1/25    13,898     14,293
  Laboratory Corp. of America Holdings 1.550%   6/1/26    17,558     16,833
  McKesson Corp. 2.700% 12/15/22     5,500      5,545
  McKesson Corp. 2.850%  3/15/23    10,450     10,566
  McKesson Corp. 3.796%  3/15/24    23,181     23,915
  McKesson Corp. 0.900%  12/3/25    14,690     13,897
  Medtronic Inc. 3.500%  3/15/25    41,232     43,002
  Merck & Co. Inc. 2.800%  5/18/23    46,354     47,152
  Merck & Co. Inc. 2.900%   3/7/24    12,752     13,043
  Merck & Co. Inc. 2.750%  2/10/25    43,621     44,624
  Merck & Co. Inc. 0.750%  2/24/26    35,999     34,286
  Mylan Inc. 4.200% 11/29/23    19,761     20,322
  Novartis Capital Corp. 3.400%   5/6/24    31,939     33,011
  Novartis Capital Corp. 1.750%  2/14/25    36,524     36,312
  Novartis Capital Corp. 3.000% 11/20/25    31,204     32,196
  Novartis Capital Corp. 2.000%  2/14/27    38,386     38,054
1 PeaceHealth Obligated Group 1.375% 11/15/25     7,545      7,317
  PerkinElmer Inc. 0.550%  9/15/23     8,000      7,844
75

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PerkinElmer Inc. 0.850%  9/15/24    12,925     12,490
  Pfizer Inc. 3.000%  6/15/23    19,109     19,484
  Pfizer Inc. 3.200%  9/15/23    17,711     18,154
  Pfizer Inc. 2.950%  3/15/24    26,214     26,828
  Pfizer Inc. 3.400%  5/15/24    18,548     19,211
  Pfizer Inc. 0.800%  5/28/25    14,416     13,909
  Pfizer Inc. 2.750%   6/3/26    25,163     25,862
  Pfizer Inc. 3.000% 12/15/26    31,011     32,267
1 Providence St. Joseph Health Obligated Group 2.746%  10/1/26     5,773      5,897
  Quest Diagnostics Inc. 4.250%   4/1/24     9,096      9,460
  Quest Diagnostics Inc. 3.500%  3/30/25    16,858     17,376
  Quest Diagnostics Inc. 3.450%   6/1/26    11,945     12,367
  Royalty Pharma plc 0.750%   9/2/23    23,570     23,140
  Royalty Pharma plc 1.200%   9/2/25    32,347     30,693
  Sanofi 3.375%  6/19/23     9,912     10,142
  Shire Acquisitions Investments Ireland DAC 2.875%  9/23/23    67,482     68,387
  Shire Acquisitions Investments Ireland DAC 3.200%  9/23/26    64,252     65,940
1 SSM Health Care Corp. 3.688%   6/1/23     8,483      8,644
  Stryker Corp. 0.600%  12/1/23     5,568      5,449
  Stryker Corp. 3.375%  5/15/24    17,791     18,224
  Stryker Corp. 1.150%  6/15/25    15,807     15,231
  Stryker Corp. 3.375%  11/1/25    20,434     21,093
  Stryker Corp. 3.500%  3/15/26    21,465     22,296
1 Sutter Health 1.321%  8/15/25     6,024      5,801
  Takeda Pharmaceutical Co. Ltd. 4.400% 11/26/23    48,489     50,336
  Thermo Fisher Scientific Inc. 0.797% 10/18/23    22,000     21,693
  Thermo Fisher Scientific Inc. 1.215% 10/18/24    38,160     37,314
  UnitedHealth Group Inc. 2.875%  3/15/23    24,680     25,107
  UnitedHealth Group Inc. 3.500%  6/15/23    24,549     25,175
  UnitedHealth Group Inc. 3.500%  2/15/24    23,755     24,575
  UnitedHealth Group Inc. 2.375%  8/15/24    15,205     15,388
  UnitedHealth Group Inc. 3.750%  7/15/25    47,208     49,493
  UnitedHealth Group Inc. 3.700% 12/15/25    10,634     11,200
  UnitedHealth Group Inc. 1.250%  1/15/26     6,877      6,645
  UnitedHealth Group Inc. 3.100%  3/15/26    19,587     20,271
  UnitedHealth Group Inc. 1.150%  5/15/26    22,329     21,451
  UnitedHealth Group Inc. 3.450%  1/15/27    19,119     20,116
2 Universal Health Services Inc. 1.650%   9/1/26     8,395      7,990
1 UPMC 3.600%   4/3/25     7,900      8,115
  Utah Acquisition Sub Inc. 3.950%  6/15/26    53,095     54,830
  Viatris Inc. 1.650%  6/22/25    21,901     21,169
  Wyeth LLC 6.450%   2/1/24    14,555     15,801
  Zimmer Biomet Holdings Inc. 1.450% 11/22/24    12,867     12,576
  Zimmer Biomet Holdings Inc. 3.050%  1/15/26    23,358     23,722
  Zoetis Inc. 4.500% 11/13/25    17,064     18,216
                                 4,282,172
Industrials (6.5%)
  3M Co. 1.750%  2/14/23    11,190     11,237
1 3M Co. 2.250%  3/15/23    18,649     18,812
1 3M Co. 3.250%  2/14/24    25,954     26,718
  3M Co. 2.000%  2/14/25    17,889     17,838
  3M Co. 2.650%  4/15/25     5,992      6,081
1 3M Co. 3.000%   8/7/25    10,938     11,255
1 3M Co. 2.250%  9/19/26     5,376      5,373
  Allegion US Holding Co. Inc. 3.200%  10/1/24     8,846      8,963
76

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Amphenol Corp. 3.200%   4/1/24     6,973      7,116
  Amphenol Corp. 2.050%   3/1/25     9,496      9,423
1 BNSF Funding Trust I 6.613% 12/15/55     8,511      9,170
  Boeing Co. 1.167%   2/4/23     6,126      6,086
  Boeing Co. 2.800%   3/1/23    19,376     19,578
  Boeing Co. 4.508%   5/1/23    76,984     79,127
  Boeing Co. 1.875%  6/15/23    20,181     20,156
  Boeing Co. 1.950%   2/1/24    24,114     24,026
  Boeing Co. 1.433%   2/4/24    34,075     33,529
  Boeing Co. 2.800%   3/1/24    12,794     12,944
  Boeing Co. 2.850% 10/30/24     7,328      7,402
  Boeing Co. 4.875%   5/1/25    88,105     93,682
  Boeing Co. 2.600% 10/30/25     8,214      8,166
  Boeing Co. 2.750%   2/1/26    33,945     33,956
  Boeing Co. 2.196%   2/4/26   115,886    112,231
  Boeing Co. 3.100%   5/1/26    19,077     19,247
  Boeing Co. 2.250%  6/15/26    15,693     15,321
  Boeing Co. 2.700%   2/1/27    20,000     19,728
  Burlington Northern Santa Fe LLC 3.000%  3/15/23    12,548     12,707
  Burlington Northern Santa Fe LLC 3.850%   9/1/23    29,619     30,441
  Burlington Northern Santa Fe LLC 3.750%   4/1/24    16,647     17,225
  Burlington Northern Santa Fe LLC 3.400%   9/1/24    18,564     19,133
  Burlington Northern Santa Fe LLC 3.000%   4/1/25     8,106      8,292
  Burlington Northern Santa Fe LLC 3.650%   9/1/25    10,942     11,438
  Burlington Northern Santa Fe LLC 7.000% 12/15/25     5,188      6,053
  Canadian National Railway Co. 2.950% 11/21/24     5,252      5,350
  Canadian National Railway Co. 2.750%   3/1/26    12,722     12,972
  Canadian Pacific Railway Co. 4.450%  3/15/23     4,487      4,588
  Canadian Pacific Railway Co. 1.350%  12/2/24    28,020     27,366
  Canadian Pacific Railway Co. 2.900%   2/1/25    15,988     16,293
  Canadian Pacific Railway Co. 1.750%  12/2/26    27,157     26,373
  Carrier Global Corp. 2.242%  2/15/25    47,856     47,797
  Carrier Global Corp. 2.493%  2/15/27    26,993     26,882
  Caterpillar Financial Services Corp. 0.250%   3/1/23    20,687     20,466
1 Caterpillar Financial Services Corp. 2.625%   3/1/23     9,806      9,916
1 Caterpillar Financial Services Corp. 3.450%  5/15/23    11,067     11,331
  Caterpillar Financial Services Corp. 0.650%   7/7/23    17,980     17,775
1 Caterpillar Financial Services Corp. 0.450%  9/14/23    25,439     25,008
1 Caterpillar Financial Services Corp. 3.750% 11/24/23    13,393     13,891
1 Caterpillar Financial Services Corp. 3.650%  12/7/23    14,157     14,653
1 Caterpillar Financial Services Corp. 0.950%  1/10/24    22,002     21,723
1 Caterpillar Financial Services Corp. 2.850%  5/17/24    11,875     12,121
1 Caterpillar Financial Services Corp. 3.300%   6/9/24    11,454     11,813
1 Caterpillar Financial Services Corp. 0.600%  9/13/24    12,440     12,033
1 Caterpillar Financial Services Corp. 2.150%  11/8/24    16,597     16,678
1 Caterpillar Financial Services Corp. 3.250%  12/1/24    13,629     14,081
1 Caterpillar Financial Services Corp. 1.450%  5/15/25    19,619     19,195
1 Caterpillar Financial Services Corp. 0.800% 11/13/25    14,867     14,167
  Caterpillar Financial Services Corp. 0.900%   3/2/26    20,651     19,683
  Caterpillar Financial Services Corp. 2.400%   8/9/26    14,579     14,705
1 Caterpillar Financial Services Corp. 1.150%  9/14/26    37,715     36,011
1 Caterpillar Financial Services Corp. 1.700%   1/8/27    14,177     13,845
  Caterpillar Inc. 3.400%  5/15/24    16,353     16,890
  CNH Industrial Capital LLC 1.950%   7/2/23    11,674     11,674
  CNH Industrial Capital LLC 4.200%  1/15/24    12,726     13,157
77

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CNH Industrial Capital LLC 1.875%  1/15/26    12,772     12,445
  CNH Industrial Capital LLC 1.450%  7/15/26     8,531      8,102
  CNH Industrial NV 4.500%  8/15/23    13,870     14,327
1 Continental Airlines Pass-Through Trust Class A Series 2012-2 4.000% 10/29/24     5,567      5,657
  Crane Co. 4.450% 12/15/23     4,545      4,715
  CSX Corp. 3.400%   8/1/24    16,207     16,695
  CSX Corp. 3.350%  11/1/25     9,526      9,850
  CSX Corp. 2.600%  11/1/26    16,691     16,874
  Cummins Inc. 3.650%  10/1/23     5,258      5,391
  Cummins Inc. 0.750%   9/1/25    13,027     12,405
  Deere & Co. 2.750%  4/15/25    20,510     20,900
2 Delta Air Lines Inc. 7.000%   5/1/25     5,901      6,552
2 Delta Air Lines Inc. 4.500% 10/20/25     3,600      3,697
1 Delta Air Lines Pass-Through Trust Class AA Series 2019-1 3.204%  4/25/24     5,866      5,971
  Dover Corp. 3.150% 11/15/25     7,962      8,208
  Emerson Electric Co. 2.625%  2/15/23     6,930      6,994
  Emerson Electric Co. 3.150%   6/1/25     7,631      7,860
  Emerson Electric Co. 0.875% 10/15/26    18,908     17,843
  FedEx Corp. 3.250%   4/1/26    13,565     14,110
  Fortive Corp. 3.150%  6/15/26    19,070     19,639
  General Dynamics Corp. 3.375%  5/15/23    26,447     26,993
  General Dynamics Corp. 1.875%  8/15/23    11,880     11,926
  General Dynamics Corp. 3.250%   4/1/25    13,398     13,825
  General Dynamics Corp. 3.500%  5/15/25     8,792      9,127
  General Dynamics Corp. 2.125%  8/15/26    20,914     20,878
1 General Electric Co. 3.150%   9/7/22         2          2
  Honeywell International Inc. 3.350%  12/1/23     6,940      7,130
  Honeywell International Inc. 2.300%  8/15/24    17,797     17,978
  Honeywell International Inc. 1.350%   6/1/25    22,472     21,956
  Honeywell International Inc. 2.500%  11/1/26    32,899     33,330
2 Huntington Ingalls Industries Inc. 0.670%  8/16/23     5,930      5,813
  Huntington Ingalls Industries Inc. 3.844%   5/1/25    12,906     13,355
  Illinois Tool Works Inc. 3.500%   3/1/24    20,875     21,493
  Illinois Tool Works Inc. 2.650% 11/15/26    17,780     18,178
  JB Hunt Transport Services Inc. 3.875%   3/1/26    17,616     18,567
1 John Deere Capital Corp. 2.800%   3/6/23    21,461     21,758
1 John Deere Capital Corp. 1.200%   4/6/23     8,370      8,351
1 John Deere Capital Corp. 3.450%   6/7/23     9,523      9,756
1 John Deere Capital Corp. 0.700%   7/5/23    13,509     13,356
1 John Deere Capital Corp. 0.400% 10/10/23     8,490      8,341
  John Deere Capital Corp. 3.650% 10/12/23    13,317     13,743
1 John Deere Capital Corp. 0.900%  1/10/24    11,005     10,846
1 John Deere Capital Corp. 3.450%  1/10/24     9,389      9,680
1 John Deere Capital Corp. 0.450%  1/17/24    11,656     11,396
1 John Deere Capital Corp. 2.600%   3/7/24    13,784     14,012
1 John Deere Capital Corp. 0.450%   6/7/24    12,022     11,661
1 John Deere Capital Corp. 3.350%  6/12/24    15,130     15,593
1 John Deere Capital Corp. 2.650%  6/24/24    18,117     18,416
1 John Deere Capital Corp. 0.625%  9/10/24     7,585      7,369
1 John Deere Capital Corp. 2.050%   1/9/25    12,379     12,407
1 John Deere Capital Corp. 1.250%  1/10/25     6,367      6,242
1 John Deere Capital Corp. 3.450%  3/13/25    11,887     12,380
1 John Deere Capital Corp. 3.400%  9/11/25    10,255     10,676
1 John Deere Capital Corp. 0.700%  1/15/26    20,141     19,115
78

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 John Deere Capital Corp. 2.650%  6/10/26    15,146     15,442
1 John Deere Capital Corp. 1.050%  6/17/26    15,112     14,440
1 John Deere Capital Corp. 2.250%  9/14/26    10,928     10,986
1 John Deere Capital Corp. 1.300% 10/13/26     7,411      7,134
1 John Deere Capital Corp. 1.700%  1/11/27     7,153      6,993
1 Johnson Controls International plc 3.625%   7/2/24     7,699      7,950
1 Johnson Controls International plc 3.900%  2/14/26    11,038     11,627
1 Kansas City Southern 3.000%  5/15/23     4,042      4,079
  Keysight Technologies Inc. 4.550% 10/30/24    13,606     14,319
  L3Harris Technologies Inc. 3.850%  6/15/23    17,444     17,877
  L3Harris Technologies Inc. 3.950%  5/28/24     8,948      9,272
  L3Harris Technologies Inc. 3.832%  4/27/25    13,600     14,172
  L3Harris Technologies Inc. 3.850% 12/15/26     5,241      5,502
  Lennox International Inc. 3.000% 11/15/23     5,712      5,796
  Lennox International Inc. 1.350%   8/1/25     8,776      8,445
  Lockheed Martin Corp. 2.900%   3/1/25    17,190     17,589
  Lockheed Martin Corp. 3.550%  1/15/26    41,629     43,773
  Norfolk Southern Corp. 3.850%  1/15/24     6,628      6,837
  Norfolk Southern Corp. 3.650%   8/1/25     3,463      3,611
  Norfolk Southern Corp. 2.900%  6/15/26    16,848     17,258
  Northrop Grumman Corp. 3.250%   8/1/23    26,599     27,175
  Northrop Grumman Corp. 2.930%  1/15/25    25,405     25,889
  Northrop Grumman Corp. 3.200%   2/1/27    17,080     17,563
  Otis Worldwide Corp. 2.056%   4/5/25    34,469     34,184
1 PACCAR Financial Corp. 2.650%   4/6/23     6,477      6,573
1 PACCAR Financial Corp. 0.800%   6/8/23    10,616     10,530
  PACCAR Financial Corp. 3.400%   8/9/23     9,511      9,749
1 PACCAR Financial Corp. 0.350%  8/11/23     7,264      7,154
1 PACCAR Financial Corp. 0.350%   2/2/24     5,980      5,820
1 PACCAR Financial Corp. 2.150%  8/15/24     9,867      9,918
1 PACCAR Financial Corp. 0.900%  11/8/24     7,975      7,773
1 PACCAR Financial Corp. 1.800%   2/6/25    13,786     13,668
  Parker-Hannifin Corp. 2.700%  6/14/24    17,172     17,394
1 Parker-Hannifin Corp. 3.300% 11/21/24     9,143      9,357
  Precision Castparts Corp. 3.250%  6/15/25    24,457     25,349
  Raytheon Technologies Corp. 3.700% 12/15/23     8,856      9,112
  Raytheon Technologies Corp. 3.200%  3/15/24    24,341     24,933
  Raytheon Technologies Corp. 3.950%  8/16/25    42,416     44,719
  Republic Services Inc. 4.750%  5/15/23     5,684      5,850
  Republic Services Inc. 2.500%  8/15/24    28,741     29,023
  Republic Services Inc. 3.200%  3/15/25    16,138     16,517
  Republic Services Inc. 0.875% 11/15/25     9,540      9,007
  Republic Services Inc. 2.900%   7/1/26     6,247      6,354
  Rockwell Automation Inc. 0.350%  8/15/23     9,661      9,499
  Rockwell Automation Inc. 2.875%   3/1/25     5,351      5,476
1 Ryder System Inc. 3.400%   3/1/23    14,993     15,233
1 Ryder System Inc. 3.750%   6/9/23    11,259     11,508
1 Ryder System Inc. 3.875%  12/1/23     6,463      6,664
1 Ryder System Inc. 3.650%  3/18/24    20,202     20,809
1 Ryder System Inc. 2.500%   9/1/24     7,988      8,021
1 Ryder System Inc. 4.625%   6/1/25     7,668      8,157
1 Ryder System Inc. 3.350%   9/1/25     8,928      9,145
1 Ryder System Inc. 1.750%   9/1/26     6,335      6,097
1 Ryder System Inc. 2.900%  12/1/26    10,939     11,039
1 Ryder System Inc. 2.850%   3/1/27     2,000      2,006
79

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Southwest Airlines Co. 4.750%   5/4/23    16,676     17,234
  Southwest Airlines Co. 5.250%   5/4/25    39,989     43,126
  Southwest Airlines Co. 3.000% 11/15/26     3,085      3,122
  Teledyne Technologies Inc. 0.650%   4/1/23    11,647     11,516
  Teledyne Technologies Inc. 0.950%   4/1/24    15,198     14,846
  Teledyne Technologies Inc. 1.600%   4/1/26    16,575     15,979
  Textron Inc. 4.300%   3/1/24     7,242      7,518
  Textron Inc. 3.875%   3/1/25     6,367      6,639
  Textron Inc. 4.000%  3/15/26    10,208     10,727
  Timken Co. 3.875%   9/1/24     6,705      6,907
  Trane Technologies Global Holding Co. Ltd. 4.250%  6/15/23    14,814     15,265
  Trane Technologies Luxembourg Finance SA 3.550%  11/1/24     8,041      8,305
  Trane Technologies Luxembourg Finance SA 3.500%  3/21/26     9,333      9,743
  Trimble Inc. 4.150%  6/15/23     7,071      7,254
  Trimble Inc. 4.750%  12/1/24     8,752      9,233
  Tyco Electronics Group SA 3.450%   8/1/24     8,016      8,230
  Tyco Electronics Group SA 3.700%  2/15/26     6,026      6,316
  Union Pacific Corp. 2.750%  4/15/23     4,298      4,344
  Union Pacific Corp. 3.500%   6/8/23    15,748     16,103
  Union Pacific Corp. 3.646%  2/15/24    14,146     14,579
  Union Pacific Corp. 3.150%   3/1/24    17,161     17,588
  Union Pacific Corp. 3.750%  3/15/24    12,090     12,496
  Union Pacific Corp. 3.250%  1/15/25     6,031      6,196
  Union Pacific Corp. 3.750%  7/15/25     5,547      5,811
  Union Pacific Corp. 3.250%  8/15/25     8,769      9,041
  Union Pacific Corp. 2.750%   3/1/26    16,623     16,874
1 United Airlines Pass-Through Trust Class A Series 2012-1 4.150%  4/11/24     6,581      6,704
1 United Airlines Pass-Through Trust Class A Series 2013-1 4.300%  8/15/25     8,391      8,669
1 United Airlines Pass-Through Trust Class A Series 2014-1 4.000%  4/11/26    10,256     10,469
1 United Airlines Pass-Through Trust Class A Series 2014-2 3.750%   9/3/26     8,639      8,790
1 United Airlines Pass-Through Trust Class B Series 2020-1 4.875%  1/15/26    17,021     17,281
  United Parcel Service Inc. 2.500%   4/1/23    25,819     26,096
  United Parcel Service Inc. 2.200%   9/1/24    11,201     11,302
  United Parcel Service Inc. 2.800% 11/15/24    16,934     17,301
  United Parcel Service Inc. 3.900%   4/1/25    15,858     16,683
  United Parcel Service Inc. 2.400% 11/15/26     5,824      5,877
  Vontier Corp. 1.800%   4/1/26    11,090     10,359
  Waste Management Inc. 2.400%  5/15/23    21,240     21,402
  Waste Management Inc. 0.750% 11/15/25     8,714      8,235
  Westinghouse Air Brake Technologies Corp. 4.400%  3/15/24    14,277     14,791
  Westinghouse Air Brake Technologies Corp. 3.200%  6/15/25    14,232     14,370
  Westinghouse Air Brake Technologies Corp. 3.450% 11/15/26    17,108     17,350
  WW Grainger Inc. 1.850%  2/15/25    11,179     11,088
  Xylem Inc. 3.250%  11/1/26    10,155     10,429
                                 3,237,330
Materials (1.7%)
  Air Products and Chemicals Inc. 3.350%  7/31/24     8,708      8,973
  Air Products and Chemicals Inc. 1.500% 10/15/25    14,142     13,832
  Albemarle Corp. 4.150%  12/1/24     6,910      7,200
  ArcelorMittal SA 4.550%  3/11/26    13,626     14,310
  Berry Global Inc. 0.950%  2/15/24    16,348     15,898
  Berry Global Inc. 1.570%  1/15/26    35,358     33,678
  Berry Global Inc. 1.650%  1/15/27     4,681      4,353
  BHP Billiton Finance USA Ltd. 3.850%  9/30/23    10,095     10,441
  BHP Billiton Finance USA Ltd. 6.420%   3/1/26     7,484      8,657
80

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Carlisle Cos. Inc. 3.500%  12/1/24     9,531      9,830
  Celanese US Holdings LLC 3.500%   5/8/24    12,273     12,521
  Celanese US Holdings LLC 1.400%   8/5/26     9,980      9,387
  Celulosa Arauco y Constitucion SA 4.500%   8/1/24     8,345      8,633
  CF Industries Inc. 3.450%   6/1/23    11,437     11,640
  Dow Chemical Co. 4.550% 11/30/25       427        458
  Dow Chemical Co. 3.625%  5/15/26    16,560     17,295
  DuPont de Nemours Inc. 4.205% 11/15/23    48,708     50,470
  DuPont de Nemours Inc. 4.493% 11/15/25    37,748     40,228
  Eastman Chemical Co. 3.800%  3/15/25    14,569     15,100
  Ecolab Inc. 0.900% 12/15/23     5,695      5,600
  Ecolab Inc. 2.700%  11/1/26    18,160     18,495
  Ecolab Inc. 1.650%   2/1/27    11,350     11,043
  EI du Pont de Nemours & Co. 1.700%  7/15/25    11,338     11,110
  Fibria Overseas Finance Ltd. 4.000%  1/14/25     7,935      8,152
  Fibria Overseas Finance Ltd. 5.500%  1/17/27    15,075     16,209
  FMC Corp. 4.100%   2/1/24     7,005      7,222
  FMC Corp. 3.200%  10/1/26    11,000     11,250
  Freeport-McMoRan Inc. 3.875%  3/15/23     4,000      4,068
  Freeport-McMoRan Inc. 4.550% 11/14/24     4,825      5,039
  Freeport-McMoRan Inc. 5.000%   9/1/27     3,800      3,918
  Freeport-McMoRan Inc. 4.125%   3/1/28    15,450     15,618
  Georgia-Pacific LLC 8.000%  1/15/24     8,707      9,684
2 Georgia-Pacific LLC 0.625%  5/15/24     3,500      3,388
2 Georgia-Pacific LLC 1.750%  9/30/25     9,500      9,282
  International Flavors & Fragrances Inc. 3.200%   5/1/23     2,644      2,675
  Kinross Gold Corp. 5.950%  3/15/24     5,186      5,492
  Linde Inc. 2.650%   2/5/25     8,257      8,402
  Linde Inc. 3.200%  1/30/26    13,879     14,399
  LYB International Finance BV 4.000%  7/15/23    14,195     14,604
  LYB International Finance III LLC 1.250%  10/1/25    17,246     16,479
  LyondellBasell Industries NV 5.750%  4/15/24     9,016      9,605
  Martin Marietta Materials Inc. 0.650%  7/15/23     4,160      4,099
  Martin Marietta Materials Inc. 4.250%   7/2/24     9,394      9,811
  Mosaic Co. 4.250% 11/15/23    23,816     24,631
  Nucor Corp. 4.000%   8/1/23    10,598     10,879
  Nucor Corp. 2.000%   6/1/25    17,648     17,463
  Nutrien Ltd. 1.900%  5/13/23     9,572      9,589
  Nutrien Ltd. 3.000%   4/1/25     8,486      8,629
  Nutrien Ltd. 4.000% 12/15/26    12,846     13,683
  Packaging Corp. of America 3.650%  9/15/24     7,672      7,931
  PPG Industries Inc. 3.200%  3/15/23     4,919      5,004
  PPG Industries Inc. 2.400%  8/15/24     9,011      9,082
  PPG Industries Inc. 1.200%  3/15/26    16,804     16,042
  Reliance Steel & Aluminum Co. 4.500%  4/15/23     5,083      5,200
  Reliance Steel & Aluminum Co. 1.300%  8/15/25     5,850      5,630
  Sherwin-Williams Co. 3.125%   6/1/24    27,500     28,127
  Sherwin-Williams Co. 3.450%   8/1/25     7,483      7,701
  Southern Copper Corp. 3.875%  4/23/25     9,678      9,969
  Steel Dynamics Inc. 2.800% 12/15/24     9,960     10,110
  Steel Dynamics Inc. 2.400%  6/15/25    13,162     13,131
  Vale Overseas Ltd. 6.250%  8/10/26    38,409     43,389
  Vulcan Materials Co. 4.500%   4/1/25     7,026      7,445
  Westlake Corp. 3.600%  8/15/26    18,200     18,915
  WestRock RKT LLC 4.000%   3/1/23     7,845      7,990
81

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  WRKCo Inc. 3.000%  9/15/24    14,059     14,306
  WRKCo Inc. 3.750%  3/15/25    21,794     22,643
  WRKCo Inc. 4.650%  3/15/26    17,356     18,726
                                   854,763
Real Estate (3.6%)
  Alexandria Real Estate Equities Inc. 3.450%  4/30/25    23,173     23,989
  Alexandria Real Estate Equities Inc. 4.300%  1/15/26     3,787      4,038
  Alexandria Real Estate Equities Inc. 3.800%  4/15/26     5,892      6,208
  Alexandria Real Estate Equities Inc. 3.950%  1/15/27     7,838      8,338
  American Campus Communities Operating Partnership LP 3.750%  4/15/23     7,668      7,785
  American Campus Communities Operating Partnership LP 4.125%   7/1/24     9,324      9,687
  American Campus Communities Operating Partnership LP 3.300%  7/15/26     9,613      9,891
  American Tower Corp. 3.000%  6/15/23    18,766     19,044
  American Tower Corp. 0.600%  1/15/24     7,542      7,344
  American Tower Corp. 5.000%  2/15/24    23,955     25,235
  American Tower Corp. 3.375%  5/15/24    20,771     21,232
  American Tower Corp. 2.950%  1/15/25    14,079     14,233
  American Tower Corp. 2.400%  3/15/25    16,894     16,842
  American Tower Corp. 4.000%   6/1/25    15,574     16,214
  American Tower Corp. 1.300%  9/15/25    14,668     14,056
  American Tower Corp. 4.400%  2/15/26    10,277     10,902
  American Tower Corp. 1.600%  4/15/26    12,797     12,273
  American Tower Corp. 1.450%  9/15/26    15,172     14,371
  American Tower Corp. 3.375% 10/15/26    20,896     21,448
  American Tower Corp. 2.750%  1/15/27    17,183     17,160
  American Tower Corp. 3.125%  1/15/27    10,129     10,236
1 AvalonBay Communities Inc. 4.200% 12/15/23     7,723      7,992
1 AvalonBay Communities Inc. 3.500% 11/15/24    10,040     10,354
1 AvalonBay Communities Inc. 3.450%   6/1/25    11,312     11,667
1 AvalonBay Communities Inc. 3.500% 11/15/25     5,919      6,153
1 AvalonBay Communities Inc. 2.950%  5/11/26    12,175     12,484
1 AvalonBay Communities Inc. 2.900% 10/15/26     3,980      4,071
  Boston Properties LP 3.125%   9/1/23    19,184     19,492
  Boston Properties LP 3.800%   2/1/24    12,860     13,223
  Boston Properties LP 3.200%  1/15/25    13,912     14,219
  Boston Properties LP 3.650%   2/1/26    22,670     23,482
  Boston Properties LP 2.750%  10/1/26    18,039     18,083
  Brandywine Operating Partnership LP 4.100%  10/1/24     8,501      8,791
  Brixmor Operating Partnership LP 3.650%  6/15/24    14,739     15,181
  Brixmor Operating Partnership LP 3.850%   2/1/25    15,060     15,648
  Brixmor Operating Partnership LP 4.125%  6/15/26    10,135     10,683
  Camden Property Trust 2.950% 12/15/22     8,851      8,923
  CBRE Services Inc. 4.875%   3/1/26    13,600     14,772
  CC Holdings GS V LLC 3.849%  4/15/23    30,846     31,598
  Corporate Office Properties LP 2.250%  3/15/26     7,321      7,199
  Crown Castle International Corp. 3.150%  7/15/23    16,137     16,421
  Crown Castle International Corp. 3.200%   9/1/24    20,813     21,234
  Crown Castle International Corp. 1.350%  7/15/25     7,298      7,002
  Crown Castle International Corp. 4.450%  2/15/26    23,491     24,964
  Crown Castle International Corp. 3.700%  6/15/26    23,687     24,580
  Crown Castle International Corp. 1.050%  7/15/26    11,048     10,319
  CubeSmart LP 4.000% 11/15/25     7,006      7,329
  CubeSmart LP 3.125%   9/1/26     7,048      7,196
  CyrusOne LP 2.900% 11/15/24    13,765     14,023
  Duke Realty LP 3.250%  6/30/26     7,423      7,628
82

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  EPR Properties 4.500%   4/1/25     3,045      3,131
  Equinix Inc. 2.625% 11/18/24    17,269     17,377
  Equinix Inc. 1.250%  7/15/25     6,046      5,766
  Equinix Inc. 1.000%  9/15/25    16,743     15,860
  Equinix Inc. 1.450%  5/15/26    15,010     14,281
  Equinix Inc. 2.900% 11/18/26    17,426     17,555
  ERP Operating LP 3.000%  4/15/23    11,808     11,960
  ERP Operating LP 3.375%   6/1/25    14,144     14,669
  ERP Operating LP 2.850%  11/1/26     7,739      7,922
  Essex Portfolio LP 3.250%   5/1/23    10,880     11,011
  Essex Portfolio LP 3.875%   5/1/24     7,777      8,031
  Essex Portfolio LP 3.500%   4/1/25    16,984     17,510
  Essex Portfolio LP 3.375%  4/15/26     4,535      4,668
  Federal Realty Investment Trust 3.950%  1/15/24    10,655     10,974
  Federal Realty Investment Trust 1.250%  2/15/26    11,349     10,851
  GLP Capital LP 5.375%  11/1/23    12,885     13,431
  GLP Capital LP 3.350%   9/1/24    12,768     12,917
  GLP Capital LP 5.250%   6/1/25    18,428     19,477
  GLP Capital LP 5.375%  4/15/26    18,121     19,400
  Healthcare Trust of America Holdings LP 3.500%   8/1/26    17,761     18,408
  Healthpeak Properties Inc. 3.400%   2/1/25     8,517      8,747
  Healthpeak Properties Inc. 4.000%   6/1/25     4,797      5,014
  Healthpeak Properties Inc. 3.250%  7/15/26    14,255     14,747
  Healthpeak Properties Inc. 1.350%   2/1/27     1,375      1,301
  Highwoods Realty LP 3.625%  1/15/23     1,360      1,377
  Host Hotels & Resorts LP 3.875%   4/1/24     6,917      7,069
1 Host Hotels & Resorts LP 4.000%  6/15/25    10,752     11,132
1 Host Hotels & Resorts LP 4.500%   2/1/26     8,552      8,974
  Kilroy Realty LP 3.450% 12/15/24     9,220      9,450
  Kilroy Realty LP 4.375%  10/1/25    12,768     13,460
  Kimco Realty Corp. 3.375% 10/15/22     1,709      1,714
  Kimco Realty Corp. 3.500%  4/15/23     2,965      3,000
  Kimco Realty Corp. 3.125%   6/1/23     6,893      6,988
  Kimco Realty Corp. 2.700%   3/1/24     9,687      9,768
  Kimco Realty Corp. 3.300%   2/1/25    14,835     15,216
  Kimco Realty Corp. 2.800%  10/1/26    10,258     10,310
  Kite Realty Group LP 4.000%  10/1/26     6,543      6,816
  Kite Realty Group Trust 4.000%  3/15/25     1,366      1,405
  LifeStorage LP 3.500%   7/1/26    12,468     12,975
  Mid-America Apartments LP 4.300% 10/15/23     7,959      8,194
  Mid-America Apartments LP 3.750%  6/15/24     7,492      7,728
  Mid-America Apartments LP 4.000% 11/15/25     9,983     10,478
  Mid-America Apartments LP 1.100%  9/15/26     9,147      8,585
  National Retail Properties Inc. 3.900%  6/15/24     8,019      8,293
  National Retail Properties Inc. 4.000% 11/15/25    10,832     11,399
  National Retail Properties Inc. 3.600% 12/15/26     2,556      2,650
  Office Properties Income Trust 4.250%  5/15/24     7,352      7,498
  Office Properties Income Trust 4.500%   2/1/25    15,249     15,633
  Office Properties Income Trust 2.650%  6/15/26     4,754      4,533
  Office Properties Income Trust 2.400%   2/1/27    11,973     11,065
  Omega Healthcare Investors Inc. 4.375%   8/1/23    12,580     12,894
  Omega Healthcare Investors Inc. 4.950%   4/1/24    10,363     10,814
  Omega Healthcare Investors Inc. 4.500%  1/15/25     8,698      9,064
  Omega Healthcare Investors Inc. 5.250%  1/15/26    13,512     14,512
  Piedmont Operating Partnership LP 3.400%   6/1/23     6,202      6,274
83

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Piedmont Operating Partnership LP 4.450%  3/15/24     6,595      6,833
  Prologis LP 3.250%  10/1/26    11,811     12,273
  Public Storage 0.875%  2/15/26    10,949     10,425
  Public Storage 1.500%  11/9/26    16,735     16,227
  Realty Income Corp. 4.600%   2/6/24    16,175     16,854
  Realty Income Corp. 3.875%  7/15/24    10,330     10,710
  Realty Income Corp. 3.875%  4/15/25    15,164     15,832
  Realty Income Corp. 4.625%  11/1/25    10,069     10,813
  Realty Income Corp. 0.750%  3/15/26     1,732      1,618
  Realty Income Corp. 4.875%   6/1/26    13,028     14,188
  Realty Income Corp. 4.125% 10/15/26     9,284      9,855
  Realty Income Corp. 3.000%  1/15/27    14,756     15,005
  Regency Centers LP 3.600%   2/1/27    12,082     12,668
  Sabra Health Care LP 5.125%  8/15/26    11,317     11,998
  Simon Property Group LP 2.750%   6/1/23    14,353     14,502
  Simon Property Group LP 3.750%   2/1/24    13,579     13,992
  Simon Property Group LP 2.000%  9/13/24    25,149     25,065
  Simon Property Group LP 3.375%  10/1/24    17,058     17,549
  Simon Property Group LP 3.500%   9/1/25    31,069     32,098
  Simon Property Group LP 3.300%  1/15/26    15,171     15,549
  Simon Property Group LP 3.250% 11/30/26    18,675     19,213
  SITE Centers Corp. 3.625%   2/1/25     8,476      8,696
  SITE Centers Corp. 4.250%   2/1/26     3,131      3,262
  SL Green Realty Corp. 4.500%  12/1/22     6,258      6,358
  Spirit Realty LP 4.450%  9/15/26     3,432      3,670
  Spirit Realty LP 3.200%  1/15/27    10,421     10,583
  Tanger Properties LP 3.125%   9/1/26     6,289      6,273
1 UDR Inc. 2.950%   9/1/26     6,703      6,800
  Ventas Realty LP 3.500%  4/15/24     8,023      8,221
  Ventas Realty LP 3.750%   5/1/24     8,183      8,407
  Ventas Realty LP 2.650%  1/15/25     2,813      2,828
  Ventas Realty LP 3.500%   2/1/25    22,024     22,597
  Ventas Realty LP 4.125%  1/15/26    11,210     11,820
  Ventas Realty LP 3.250% 10/15/26     7,977      8,162
  Vornado Realty LP 3.500%  1/15/25    10,204     10,413
  Vornado Realty LP 2.150%   6/1/26    12,877     12,498
  Welltower Inc. 4.500%  1/15/24    10,774     11,191
  Welltower Inc. 3.625%  3/15/24    24,307     24,977
  Welltower Inc. 4.000%   6/1/25    45,172     47,279
  Welltower Inc. 4.250%   4/1/26     4,166      4,433
  Welltower Inc. 2.700%  2/15/27     9,427      9,500
  Weyerhaeuser Co. 8.500%  1/15/25     4,944      5,790
  WP Carey Inc. 4.600%   4/1/24     6,726      7,020
  WP Carey Inc. 4.000%   2/1/25    10,049     10,498
  WP Carey Inc. 4.250%  10/1/26     6,463      6,883
                                 1,800,939
Technology (9.1%)
  Adobe Inc. 1.900%   2/1/25    15,393     15,398
  Adobe Inc. 3.250%   2/1/25    19,855     20,502
  Adobe Inc. 2.150%   2/1/27    22,886     22,784
  Altera Corp. 4.100% 11/15/23    14,722     15,271
  Analog Devices Inc. 2.950%   4/1/25    15,487     15,863
  Analog Devices Inc. 3.500%  12/5/26    23,179     24,465
  Apple Inc. 2.850%  2/23/23    27,408     27,773
  Apple Inc. 2.400%   5/3/23   112,850    114,240
84

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Apple Inc. 0.750%  5/11/23    55,000     54,642
  Apple Inc. 3.000%   2/9/24    46,003     47,155
  Apple Inc. 3.450%   5/6/24    56,658     58,703
  Apple Inc. 2.850%  5/11/24    63,723     65,144
  Apple Inc. 1.800%  9/11/24    19,158     19,161
  Apple Inc. 2.750%  1/13/25    25,510     26,135
  Apple Inc. 2.500%   2/9/25    29,913     30,444
  Apple Inc. 1.125%  5/11/25    53,964     52,700
  Apple Inc. 3.200%  5/13/25    55,848     57,943
  Apple Inc. 0.550%  8/20/25    15,523     14,775
  Apple Inc. 0.700%   2/8/26    42,514     40,632
  Apple Inc. 3.250%  2/23/26    75,299     78,592
  Apple Inc. 2.450%   8/4/26    54,340     55,193
  Apple Inc. 2.050%  9/11/26    43,439     43,360
  Apple Inc. 3.350%   2/9/27    50,000     52,684
  Applied Materials Inc. 3.900%  10/1/25    14,416     15,232
  Arrow Electronics Inc. 4.500%   3/1/23     5,850      5,968
  Arrow Electronics Inc. 3.250%   9/8/24    13,125     13,341
  Arrow Electronics Inc. 4.000%   4/1/25     5,336      5,534
  Autodesk Inc. 4.375%  6/15/25    10,525     11,108
  Automatic Data Processing Inc. 3.375%  9/15/25    23,571     24,605
  Avnet Inc. 4.625%  4/15/26    13,437     14,239
  Broadcom Corp. 3.625%  1/15/24     2,096      2,151
  Broadcom Corp. 3.875%  1/15/27    77,609     80,835
  Broadcom Inc. 2.250% 11/15/23     7,176      7,206
  Broadcom Inc. 3.625% 10/15/24    14,970     15,410
  Broadcom Inc. 4.700%  4/15/25    20,884     22,196
  Broadcom Inc. 3.150% 11/15/25    19,407     19,768
  Broadcom Inc. 4.250%  4/15/26    26,791     28,305
  Broadcom Inc. 3.459%  9/15/26    20,214     20,818
  Broadridge Financial Solutions Inc. 3.400%  6/27/26    11,321     11,756
  Cadence Design Systems Inc. 4.375% 10/15/24     7,232      7,593
  CDW LLC 4.125%   5/1/25     8,750      8,869
2 CGI Inc. 1.450%  9/14/26    13,625     12,962
  Cisco Systems Inc. 2.200%  9/20/23    25,369     25,627
  Cisco Systems Inc. 3.625%   3/4/24    16,987     17,627
  Cisco Systems Inc. 3.500%  6/15/25     8,038      8,411
  Cisco Systems Inc. 2.950%  2/28/26    19,066     19,762
  Cisco Systems Inc. 2.500%  9/20/26    33,867     34,612
  Citrix Systems Inc. 1.250%   3/1/26    17,475     17,093
  Dell International LLC 5.450%  6/15/23    21,721     22,611
  Dell International LLC 4.000%  7/15/24    21,585     22,398
  Dell International LLC 5.850%  7/15/25    34,205     37,594
  Dell International LLC 6.020%  6/15/26    93,532    104,608
  Dell International LLC 4.900%  10/1/26    43,160     46,778
  DXC Technology Co. 1.800%  9/15/26    20,417     19,486
  Equifax Inc. 3.300% 12/15/22    15,744     15,913
  Equifax Inc. 3.950%  6/15/23     7,080      7,252
  Equifax Inc. 2.600%  12/1/24    18,437     18,576
  Equifax Inc. 2.600% 12/15/25    12,231     12,245
  Fidelity National Information Services Inc. 0.375%   3/1/23    20,275     20,014
  Fidelity National Information Services Inc. 0.600%   3/1/24    10,276      9,979
  Fidelity National Information Services Inc. 1.150%   3/1/26    37,372     35,309
  Fiserv Inc. 3.800%  10/1/23    37,407     38,503
  Fiserv Inc. 2.750%   7/1/24    52,716     53,269
85

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Fiserv Inc. 3.850%   6/1/25     6,218      6,476
  Fiserv Inc. 3.200%   7/1/26    45,055     46,011
  Flex Ltd. 4.750%  6/15/25    13,661     14,486
  Flex Ltd. 3.750%   2/1/26    17,617     18,183
  Fortinet Inc. 1.000%  3/15/26    11,288     10,586
  Genpact Luxembourg Sarl 3.375%  12/1/24     8,011      8,228
  Harman International Industries Inc. 4.150%  5/15/25     6,528      6,869
  Hewlett Packard Enterprise Co. 2.250%   4/1/23    18,839     18,953
  Hewlett Packard Enterprise Co. 4.450%  10/2/23    23,977     24,872
  Hewlett Packard Enterprise Co. 1.450%   4/1/24    19,734     19,427
  Hewlett Packard Enterprise Co. 4.900% 10/15/25    51,091     54,869
  Hewlett Packard Enterprise Co. 1.750%   4/1/26    17,736     17,123
  HP Inc. 2.200%  6/17/25    28,288     28,109
  HP Inc. 1.450%  6/17/26    23,600     22,384
  Hubbell Inc. 3.350%   3/1/26     8,530      8,789
  IHS Markit Ltd. 4.125%   8/1/23     7,760      7,983
  IHS Markit Ltd. 3.625%   5/1/24     6,250      6,455
  Intel Corp. 2.700% 12/15/22    33,030     33,433
  Intel Corp. 2.875%  5/11/24    29,463     30,138
  Intel Corp. 3.400%  3/25/25    35,293     36,560
  Intel Corp. 3.700%  7/29/25    43,748     45,790
  Intel Corp. 2.600%  5/19/26    22,758     23,212
  International Business Machines Corp. 3.375%   8/1/23    36,012     36,913
  International Business Machines Corp. 3.625%  2/12/24    32,236     33,344
  International Business Machines Corp. 3.000%  5/15/24    58,694     60,067
  International Business Machines Corp. 7.000% 10/30/25     9,215     10,698
  International Business Machines Corp. 3.450%  2/19/26    29,279     30,545
  International Business Machines Corp. 3.300%  5/15/26    81,991     85,348
  International Business Machines Corp. 3.300%  1/27/27    10,125     10,550
  Intuit Inc. 0.650%  7/15/23     6,584      6,497
  Intuit Inc. 0.950%  7/15/25    10,612     10,172
1 J Paul Getty Trust 0.391%   1/1/24       300        294
  Jabil Inc. 1.700%  4/15/26     8,920      8,618
  Juniper Networks Inc. 1.200% 12/10/25    14,886     14,226
  KLA Corp. 4.650%  11/1/24    29,583     31,317
2 Kyndryl Holdings Inc. 2.050% 10/15/26     8,550      8,067
  Lam Research Corp. 3.800%  3/15/25    10,831     11,333
  Lam Research Corp. 3.750%  3/15/26    17,062     18,046
  Legrand France SA 8.500%  2/15/25     8,705     10,243
  Leidos Inc. 2.950%  5/15/23    12,168     12,315
  Leidos Inc. 3.625%  5/15/25    10,340     10,663
1 Marvell Technology Inc. 4.200%  6/22/23    14,587     14,996
  Microchip Technology Inc. 4.333%   6/1/23    26,139     26,886
  Microchip Technology Inc. 2.670%   9/1/23     3,376      3,408
  Microchip Technology Inc. 4.250%   9/1/25    22,705     23,252
  Micron Technology Inc. 4.975%   2/6/26    13,210     14,268
  Micron Technology Inc. 4.185%  2/15/27    21,979     23,254
  Microsoft Corp. 2.375%   5/1/23    21,320     21,536
  Microsoft Corp. 2.000%   8/8/23    33,645     33,959
  Microsoft Corp. 3.625% 12/15/23    36,366     37,714
  Microsoft Corp. 2.875%   2/6/24    74,013     75,800
  Microsoft Corp. 2.700%  2/12/25    49,670     50,958
  Microsoft Corp. 3.125%  11/3/25    58,162     60,403
  Microsoft Corp. 2.400%   8/8/26    92,601     94,112
  Microsoft Corp. 3.300%   2/6/27   103,385    109,315
86

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Moody's Corp. 4.875%  2/15/24    15,484     16,238
  Moody's Corp. 3.750%  3/24/25    12,238     12,766
  Motorola Solutions Inc. 4.000%   9/1/24    13,290     13,742
  NetApp Inc. 3.300%  9/29/24     9,504      9,730
  NetApp Inc. 1.875%  6/22/25    16,592     16,264
  NVIDIA Corp. 0.309%  6/15/23    19,750     19,459
  NVIDIA Corp. 0.584%  6/14/24    11,319     11,013
  NVIDIA Corp. 3.200%  9/16/26    23,894     24,936
2 NXP BV 4.875%   3/1/24    25,233     26,474
2 NXP BV 2.700%   5/1/25    20,225     20,345
2 NXP BV 5.350%   3/1/26     8,724      9,596
2 NXP BV 3.875%  6/18/26    18,121     18,980
  Oracle Corp. 3.625%  7/15/23    25,125     25,765
  Oracle Corp. 2.400%  9/15/23    62,710     63,163
  Oracle Corp. 3.400%   7/8/24    44,557     45,625
  Oracle Corp. 2.950% 11/15/24    42,876     43,491
  Oracle Corp. 2.500%   4/1/25    83,458     83,166
  Oracle Corp. 2.950%  5/15/25    48,155     48,586
  Oracle Corp. 1.650%  3/25/26    54,487     52,187
  Oracle Corp. 2.650%  7/15/26    60,908     60,493
2 Qorvo Inc. 1.750% 12/15/24     7,895      7,692
  QUALCOMM Inc. 2.900%  5/20/24    17,831     18,216
  QUALCOMM Inc. 3.450%  5/20/25    33,744     35,050
  Quanta Services Inc. 0.950%  10/1/24       500        482
  RELX Capital Inc. 3.500%  3/16/23    15,467     15,730
  Roper Technologies Inc. 3.650%  9/15/23    12,940     13,267
  Roper Technologies Inc. 2.350%  9/15/24    10,262     10,302
  Roper Technologies Inc. 1.000%  9/15/25    18,461     17,562
  Roper Technologies Inc. 3.850% 12/15/25     5,116      5,357
  Roper Technologies Inc. 3.800% 12/15/26    13,299     13,994
  S&P Global Inc. 4.000%  6/15/25    14,233     14,991
  S&P Global Inc. 2.950%  1/22/27    10,109     10,387
  salesforce.com Inc. 3.250%  4/11/23    24,310     24,796
  Skyworks Solutions Inc. 0.900%   6/1/23       831        819
  Skyworks Solutions Inc. 1.800%   6/1/26    21,597     20,634
2 TD SYNNEX Corp. 1.250%   8/9/24    17,225     16,714
2 TD SYNNEX Corp. 1.750%   8/9/26    14,533     13,802
  Texas Instruments Inc. 2.250%   5/1/23     5,625      5,664
  Texas Instruments Inc. 2.625%  5/15/24    13,506     13,728
  Texas Instruments Inc. 1.375%  3/12/25    25,686     25,253
  Texas Instruments Inc. 1.125%  9/15/26    11,200     10,776
  TSMC Arizona Corp. 1.750% 10/25/26    28,550     27,667
  Verisk Analytics Inc. 4.000%  6/15/25    26,196     27,251
  VMware Inc. 0.600%  8/15/23    33,903     33,314
  VMware Inc. 1.000%  8/15/24     8,620      8,365
  VMware Inc. 4.500%  5/15/25    24,700     26,154
  VMware Inc. 1.400%  8/15/26    39,155     37,172
  Western Digital Corp. 4.750%  2/15/26    52,240     54,271
  Xilinx Inc. 2.950%   6/1/24    13,193     13,430
                                 4,502,034
Utilities (4.9%)
  AEP Transmission Co. LLC 3.100%  12/1/26     8,830      9,054
  AES Corp. 1.375%  1/15/26    17,001     16,142
1 Alabama Power Co. 3.550%  12/1/23     6,949      7,144
  Ameren Corp. 2.500%  9/15/24    14,124     14,155
87

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Ameren Corp. 3.650%  2/15/26     5,759      5,995
  Ameren Illinois Co. 3.250%   3/1/25     5,877      6,038
1 American Electric Power Co. Inc. 2.950% 12/15/22    21,153     21,359
1 American Electric Power Co. Inc. 0.750%  11/1/23     2,000      1,959
  American Electric Power Co. Inc. 2.031%  3/15/24     4,250      4,239
1 American Electric Power Co. Inc. 1.000%  11/1/25     3,822      3,625
  American Electric Power Co. Inc. 3.875%  2/15/62     5,700      5,357
  American Water Capital Corp. 3.850%   3/1/24     5,086      5,259
  American Water Capital Corp. 3.400%   3/1/25    15,292     15,750
  Appalachian Power Co. 3.400%   6/1/25     7,054      7,292
  Arizona Public Service Co. 3.150%  5/15/25     5,214      5,314
  Atmos Energy Corp. 0.625%   3/9/23    14,000     13,849
  Avangrid Inc. 3.150%  12/1/24    14,901     15,196
  Avangrid Inc. 3.200%  4/15/25    15,117     15,464
  Baltimore Gas & Electric Co. 3.350%   7/1/23     7,765      7,903
  Baltimore Gas & Electric Co. 2.400%  8/15/26     7,249      7,302
  Berkshire Hathaway Energy Co. 3.750% 11/15/23    16,013     16,500
  Berkshire Hathaway Energy Co. 3.500%   2/1/25     8,407      8,705
  Berkshire Hathaway Energy Co. 4.050%  4/15/25    21,067     22,261
  Black Hills Corp. 4.250% 11/30/23     8,126      8,403
  Black Hills Corp. 1.037%  8/23/24    12,230     11,892
  Black Hills Corp. 3.950%  1/15/26     8,975      9,393
  Black Hills Corp. 3.150%  1/15/27     4,297      4,364
1 CenterPoint Energy Houston Electric LLC 2.400%   9/1/26     9,730      9,761
1 CenterPoint Energy Houston Electric LLC 3.000%   2/1/27     6,686      6,850
  CenterPoint Energy Inc. 3.850%   2/1/24     4,124      4,255
  CenterPoint Energy Inc. 2.500%   9/1/24    14,270     14,339
  CenterPoint Energy Inc. 1.450%   6/1/26     3,843      3,694
  Cleco Corporate Holdings LLC 3.743%   5/1/26     9,755     10,148
  Cleveland Electric Illuminating Co. 5.500%  8/15/24     3,676      3,954
  CMS Energy Corp. 3.000%  5/15/26    12,573     12,785
  Commonwealth Edison Co. 2.550%  6/15/26     5,622      5,677
1 Connecticut Light & Power Co. 0.750%  12/1/25     8,668      8,194
1 Consolidated Edison Inc. 0.650%  12/1/23     5,000      4,897
  Constellation Energy Generation LLC 3.400%  3/15/22     6,040      6,046
  Constellation Energy Generation LLC 3.250%   6/1/25    19,713     20,142
  Consumers Energy Co. 0.350%   6/1/23     4,060      4,002
  Consumers Energy Co. 3.375%  8/15/23    13,522     13,799
  Delmarva Power & Light Co. 3.500% 11/15/23    13,214     13,546
  Dominion Energy Inc. 3.071%  8/15/24     7,360      7,499
1 Dominion Energy Inc. 3.300%  3/15/25     8,092      8,275
  Dominion Energy Inc. 3.900%  10/1/25    19,282     20,143
1 Dominion Energy Inc. 1.450%  4/15/26    27,663     26,573
1 Dominion Energy Inc. 2.850%  8/15/26     1,222      1,237
1 Dominion Energy Inc. 5.750%  10/1/54     9,875     10,091
  DTE Electric Co. 3.650%  3/15/24     6,931      7,144
  DTE Electric Co. 3.375%   3/1/25     8,899      9,182
1 DTE Energy Co. 2.529%  10/1/24    23,655     23,792
1 DTE Energy Co. 1.050%   6/1/25    25,652     24,521
  DTE Energy Co. 2.850%  10/1/26     9,740      9,836
  Duke Energy Carolinas LLC 3.350%  5/15/22     7,644      7,678
  Duke Energy Carolinas LLC 2.500%  3/15/23    12,000     12,113
  Duke Energy Carolinas LLC 3.050%  3/15/23     8,171      8,281
  Duke Energy Carolinas LLC 2.950%  12/1/26    19,402     20,043
  Duke Energy Corp. 3.950% 10/15/23    10,531     10,813
88

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Duke Energy Corp. 3.750%  4/15/24    22,333     23,054
  Duke Energy Corp. 0.900%  9/15/25    11,251     10,680
  Duke Energy Corp. 2.650%   9/1/26    12,822     12,893
  Duke Energy Corp. 3.250%  1/15/82    13,000     11,901
  Duke Energy Florida LLC 3.200%  1/15/27    22,188     22,929
  Duke Energy Ohio Inc. 3.800%   9/1/23     9,389      9,617
  Duke Energy Progress LLC 2.800%  5/15/22    12,741     12,762
  Duke Energy Progress LLC 3.375%   9/1/23     6,965      7,133
  Duke Energy Progress LLC 3.250%  8/15/25     7,398      7,635
  Eastern Energy Gas Holdings LLC 3.550%  11/1/23     6,840      6,994
1 Eastern Energy Gas Holdings LLC 2.500% 11/15/24     6,526      6,540
  Eastern Energy Gas Holdings LLC 3.600% 12/15/24     7,814      8,066
  Edison International 3.125% 11/15/22     5,451      5,499
  Edison International 2.950%  3/15/23     6,197      6,242
  Edison International 3.550% 11/15/24     8,011      8,197
  Edison International 4.950%  4/15/25     5,263      5,570
  Emera US Finance LP 3.550%  6/15/26    23,116     23,855
  Enel Americas SA 4.000% 10/25/26    13,071     13,466
  Enel Generacion Chile SA 4.250%  4/15/24     5,915      6,007
  Entergy Arkansas LLC 3.700%   6/1/24     7,215      7,446
  Entergy Arkansas LLC 3.500%   4/1/26    14,316     14,880
  Entergy Corp. 0.900%  9/15/25    20,754     19,627
  Entergy Corp. 2.950%   9/1/26    28,149     28,508
  Entergy Gulf States Louisiana LLC 5.590%  10/1/24     5,277      5,683
  Entergy Louisiana LLC 4.050%   9/1/23    12,424     12,754
  Entergy Louisiana LLC 0.620% 11/17/23     9,800      9,615
  Entergy Louisiana LLC 0.950%  10/1/24    15,005     14,585
  Entergy Louisiana LLC 5.400%  11/1/24     8,018      8,683
  Entergy Louisiana LLC 2.400%  10/1/26    11,937     11,843
  Evergy Inc. 2.450%  9/15/24    21,433     21,413
  Evergy Kansas Central Inc. 2.550%   7/1/26    14,445     14,568
  Evergy Metro Inc. 3.150%  3/15/23     6,672      6,736
  Evergy Metro Inc. 3.650%  8/15/25     1,187      1,233
  Eversource Energy 2.800%   5/1/23     7,355      7,421
1 Eversource Energy 3.800%  12/1/23     9,220      9,477
1 Eversource Energy 2.900%  10/1/24     7,075      7,179
1 Eversource Energy 3.150%  1/15/25     7,469      7,614
1 Eversource Energy 0.800%  8/15/25     7,336      6,928
1 Eversource Energy 1.400%  8/15/26     2,622      2,496
1 Exelon Corp. 3.950%  6/15/25    21,361     22,222
  Exelon Corp. 3.400%  4/15/26    20,093     20,739
  Florida Power & Light Co. 2.750%   6/1/23     5,118      5,166
  Florida Power & Light Co. 3.250%   6/1/24    13,775     14,122
  Florida Power & Light Co. 2.850%   4/1/25    26,704     27,268
  Florida Power & Light Co. 3.125%  12/1/25    13,212     13,612
  Fortis Inc. 3.055%  10/4/26    20,815     21,015
1 Georgia Power Co. 2.100%  7/30/23    32,844     32,984
1 Georgia Power Co. 2.200%  9/15/24    10,290     10,264
  Georgia Power Co. 3.250%   4/1/26     8,965      9,207
  Iberdrola International BV 5.810%  3/15/25     2,796      3,089
  Interstate Power & Light Co. 3.250%  12/1/24    11,117     11,373
  IPALCO Enterprises Inc. 3.700%   9/1/24    10,154     10,438
  ITC Holdings Corp. 3.650%  6/15/24     8,957      9,189
  ITC Holdings Corp. 3.250%  6/30/26     8,914      9,152
1 Louisville Gas & Electric Co. 3.300%  10/1/25     3,466      3,572
89

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  MidAmerican Energy Co. 3.500% 10/15/24    17,014     17,653
  National Fuel Gas Co. 3.750%   3/1/23     6,876      6,968
  National Fuel Gas Co. 5.200%  7/15/25    11,752     12,529
  National Fuel Gas Co. 5.500%  1/15/26    12,407     13,452
  National Rural Utilities Cooperative Finance Corp. 3.400% 11/15/23    12,543     12,830
  National Rural Utilities Cooperative Finance Corp. 2.950%   2/7/24    17,503     17,815
  National Rural Utilities Cooperative Finance Corp. 0.350%   2/8/24    12,128     11,779
  National Rural Utilities Cooperative Finance Corp. 2.850%  1/27/25    14,954     15,236
1 National Rural Utilities Cooperative Finance Corp. 3.250%  11/1/25    12,563     12,937
  National Rural Utilities Cooperative Finance Corp. 1.000%  6/15/26     6,922      6,543
1 National Rural Utilities Cooperative Finance Corp. 4.750%  4/30/43    10,020      9,845
1 National Rural Utilities Cooperative Finance Corp. 5.250%  4/20/46     5,350      5,529
  NextEra Energy Capital Holdings Inc. 0.650%   3/1/23    36,794     36,438
  NextEra Energy Capital Holdings Inc. 1.875%  1/15/27     6,275      6,076
  NiSource Inc. 0.950%  8/15/25    33,363     31,548
  Northern States Power Co. 2.600%  5/15/23    13,615     13,707
1 OGE Energy Corp. 0.703%  5/26/23     2,050      2,022
  Oncor Electric Delivery Co. LLC 2.750%   6/1/24    12,250     12,440
  Oncor Electric Delivery Co. LLC 2.950%   4/1/25     6,645      6,778
  Oncor Electric Delivery Co. LLC 0.550%  10/1/25     8,725      8,192
  ONE Gas Inc. 0.850%  3/11/23    17,077     16,933
  ONE Gas Inc. 3.610%   2/1/24    16,936     17,343
  ONE Gas Inc. 1.100%  3/11/24     7,825      7,650
  Pacific Gas & Electric Co. 1.367%  3/10/23    27,650     27,433
  Pacific Gas & Electric Co. 4.250%   8/1/23    10,458     10,675
  Pacific Gas & Electric Co. 1.700% 11/15/23    10,805     10,641
  Pacific Gas & Electric Co. 3.850% 11/15/23    21,325     21,652
  Pacific Gas & Electric Co. 3.750%  2/15/24     7,883      8,008
  Pacific Gas & Electric Co. 3.500%  6/15/25    16,454     16,623
  Pacific Gas & Electric Co. 3.450%   7/1/25    26,520     26,699
  Pacific Gas & Electric Co. 3.150%   1/1/26    65,066     64,795
  PacifiCorp 2.950%   6/1/23     5,232      5,307
  PacifiCorp 3.600%   4/1/24     4,769      4,918
  PECO Energy Co. 3.150% 10/15/25       724        745
  Pinnacle West Capital Corp. 1.300%  6/15/25    11,580     11,114
  Potomac Electric Power Co. 3.600%  3/15/24     4,811      4,957
  PPL Capital Funding Inc. 3.100%  5/15/26    20,590     20,985
  Public Service Co. of New Hampshire 3.500%  11/1/23    11,598     11,862
1 Public Service Electric & Gas Co. 2.375%  5/15/23    10,272     10,352
1 Public Service Electric & Gas Co. 3.250%   9/1/23     3,149      3,213
1 Public Service Electric & Gas Co. 3.000%  5/15/25     4,686      4,779
1 Public Service Electric & Gas Co. 0.950%  3/15/26     7,715      7,366
1 Public Service Electric & Gas Co. 2.250%  9/15/26    15,050     15,015
  Public Service Enterprise Group Inc. 0.841%  11/8/23    12,620     12,385
  Public Service Enterprise Group Inc. 2.875%  6/15/24    25,263     25,616
  Public Service Enterprise Group Inc. 0.800%  8/15/25    13,107     12,393
  Puget Energy Inc. 3.650%  5/15/25     9,438      9,756
1 San Diego Gas & Electric Co. 3.600%   9/1/23     6,109      6,241
  San Diego Gas & Electric Co. 2.500%  5/15/26     7,444      7,512
  Sierra Pacific Power Co. 2.600%   5/1/26    19,158     19,369
  Southern California Edison Co. 0.700%   4/3/23     9,400      9,298
1 Southern California Edison Co. 3.400%   6/1/23    10,005     10,143
1 Southern California Edison Co. 0.700%   8/1/23     2,445      2,408
1 Southern California Edison Co. 3.500%  10/1/23    10,441     10,670
  Southern California Edison Co. 1.100%   4/1/24    18,044     17,662
90

 

Short-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Southern California Edison Co. 0.975%   8/1/24     3,525      3,429
1 Southern California Edison Co. 3.700%   8/1/25    20,466     21,214
1 Southern California Edison Co. 1.200%   2/1/26    20,035     19,062
  Southern California Gas Co. 3.150%  9/15/24    10,295     10,550
  Southern California Gas Co. 3.200%  6/15/25     3,498      3,593
1 Southern California Gas Co. 2.600%  6/15/26    10,012     10,116
  Southern Co. 2.950%   7/1/23    17,137     17,354
1 Southern Co. 0.600%  2/26/24     1,915      1,860
  Southern Co. 3.250%   7/1/26    35,048     35,833
1 Southern Co. 4.000%  1/15/51    23,625     22,698
1 Southern Co. 3.750%  9/15/51    16,432     15,272
  Southern Co. Gas Capital Corp. 2.450%  10/1/23    17,841     18,002
  Southern Co. Gas Capital Corp. 3.250%  6/15/26     9,011      9,255
  Southern Power Co. 4.150%  12/1/25    19,166     20,274
  Southern Power Co. 0.900%  1/15/26     6,150      5,802
1 Southwestern Electric Power Co. 1.650%  3/15/26    26,094     25,252
1 Southwestern Electric Power Co. 2.750%  10/1/26     7,034      7,133
  Southwestern Public Service Co. 3.300%  6/15/24     4,943      5,052
  Tucson Electric Power Co. 3.050%  3/15/25     7,911      8,059
  Union Electric Co. 3.500%  4/15/24     7,108      7,332
1 Virginia Electric & Power Co. 2.750%  3/15/23    28,330     28,609
  Virginia Electric & Power Co. 3.450%  2/15/24     8,141      8,356
1 Virginia Electric & Power Co. 3.100%  5/15/25     2,599      2,659
1 Virginia Electric & Power Co. 3.150%  1/15/26    33,012     33,891
1 Virginia Electric & Power Co. 2.950% 11/15/26     2,815      2,869
  WEC Energy Group Inc. 0.550%  9/15/23    12,621     12,376
  WEC Energy Group Inc. 0.800%  3/15/24     9,703      9,469
  WEC Energy Group Inc. 3.550%  6/15/25     3,178      3,269
  Wisconsin Electric Power Co. 2.050% 12/15/24    10,232     10,229
  Xcel Energy Inc. 0.500% 10/15/23    11,996     11,746
  Xcel Energy Inc. 3.300%   6/1/25    14,357     14,674
  Xcel Energy Inc. 3.350%  12/1/26    15,798     16,340
                                 2,424,829
Total Corporate Bonds (Cost $50,205,828) 49,055,164
91

 

Short-Term Corporate Bond Index Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
5 Vanguard Market Liquidity Fund
(Cost $153,960) 		0.138%          1,539,830    153,968
Total Investments (99.6%) (Cost $50,543,020)   49,392,570
Other Assets and Liabilities—Net (0.4%)   221,785
Net Assets (100%)   49,614,355
Cost is in $000.
• See Note A in Notes to Financial Statements.
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 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 February 28, 2022, the aggregate value was $407,249,000, representing 0.8% of net assets.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2022.
4 Securities with a value of $482,000 have been segregated as initial margin for open futures contracts.
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.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
5-Year U.S. Treasury Note June 2022 1,196 141,464 93
  
See accompanying Notes, which are an integral part of the Financial Statements.
92

 

Short-Term Corporate Bond Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $50,389,060) 49,238,602
Affiliated Issuers (Cost $153,960) 153,968
Total Investments in Securities 49,392,570
Investment in Vanguard 1,629
Cash 5,759
Cash Collateral Received for ETF Capital Activity 29,815
Receivables for Investment Securities Sold 892,886
Receivables for Accrued Income 383,965
Receivables for Capital Shares Issued 17,157
Variation Margin Receivable—Futures Contracts 259
Total Assets 50,724,040
Liabilities  
Payables for Investment Securities Purchased 1,069,080
Collateral for ETF Capital Activity 29,815
Payables for Capital Shares Redeemed 8,609
Payables for Distributions 1,409
Payables to Vanguard 772
Total Liabilities 1,109,685
Net Assets 49,614,355
93

 

Short-Term Corporate Bond Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 50,639,337
Total Distributable Earnings (Loss) (1,024,982)
Net Assets 49,614,355
 
ETF Shares—Net Assets  
Applicable to 531,079,822 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		42,248,817
Net Asset Value Per Share—ETF Shares $79.55
 
Admiral Shares—Net Assets  
Applicable to 236,736,440 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		5,123,242
Net Asset Value Per Share—Admiral Shares $21.64
 
Institutional Shares—Net Assets  
Applicable to 84,641,623 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,242,296
Net Asset Value Per Share—Institutional Shares $26.49
See accompanying Notes, which are an integral part of the Financial Statements.
94

 

Short-Term Corporate Bond Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1,2 375,650
Total Income 375,650
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 475
Management and Administrative—ETF Shares 6,703
Management and Administrative—Admiral Shares 1,592
Management and Administrative—Institutional Shares 476
Marketing and Distribution—ETF Shares 785
Marketing and Distribution—Admiral Shares 169
Marketing and Distribution—Institutional Shares 61
Custodian Fees 65
Shareholders’ Reports—ETF Shares 362
Shareholders’ Reports—Admiral Shares 36
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 13
Other Expenses 10
Total Expenses 10,748
Net Investment Income 364,902
Realized Net Gain (Loss)  
Investment Securities Sold2,3 108,604
Futures Contracts (3,563)
Realized Net Gain (Loss) 105,041
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (1,890,938)
Futures Contracts (54)
Change in Unrealized Appreciation (Depreciation) (1,890,992)
Net Increase (Decrease) in Net Assets Resulting from Operations (1,421,049)
1 Interest is net of foreign withholding taxes of $91,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $91,000, ($55,000), $16,000, and $8,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $65,753,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
95

 

Short-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 364,902   765,496
Realized Net Gain (Loss) 105,041   444,696
Change in Unrealized Appreciation (Depreciation) (1,890,992)   (584,977)
Net Increase (Decrease) in Net Assets Resulting from Operations (1,421,049)   625,215
Distributions      
ETF Shares (407,839)   (645,913)
Admiral Shares (50,319)   (85,363)
Institutional Shares (21,729)   (33,937)
Total Distributions (479,887)   (765,213)
Capital Share Transactions      
ETF Shares 2,290,207   9,889,691
Admiral Shares (107,708)   746,963
Institutional Shares 71,583   603,699
Net Increase (Decrease) from Capital Share Transactions 2,254,082   11,240,353
Total Increase (Decrease) 353,146   11,100,355
Net Assets      
Beginning of Period 49,261,209   38,160,854
End of Period 49,614,355   49,261,209
See accompanying Notes, which are an integral part of the Financial Statements.
96

 

Short-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $82.67 $82.95 $81.18 $78.32 $80.25 $80.52
Investment Operations            
Net Investment Income1 .600 1.433 2.127 2.311 1.950 1.768
Net Realized and Unrealized Gain (Loss) on Investments (2.926) (.250) 1.815 2.826 (1.953) (.317)
Total from Investment Operations (2.326) 1.183 3.942 5.137 (.003) 1.451
Distributions            
Dividends from Net Investment Income (.612) (1.463) (2.172) (2.277) (1.927) (1.721)
Distributions from Realized Capital Gains (.182) — — — — —
Total Distributions (.794) (1.463) (2.172) (2.277) (1.927) (1.721)
Net Asset Value, End of Period $79.55 $82.67 $82.95 $81.18 $78.32 $80.25
Total Return -2.83% 1.44% 4.95% 6.68% 0.01% 1.84%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $42,249 $41,569 $31,797 $24,537 $21,511 $20,862
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.49% 1.73% 2.62% 2.92% 2.48% 2.21%
Portfolio Turnover Rate2 23% 42% 56% 51% 56% 66%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
97

 

Short-Term Corporate Bond Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $22.49 $22.55 $22.06 $21.28 $21.81 $21.89
Investment Operations            
Net Investment Income1 .160 .385 .578 .625 .532 .481
Net Realized and Unrealized Gain (Loss) on Investments (.800) (.063) .485 .777 (.531) (.088)
Total from Investment Operations (.640) .322 1.063 1.402 .001 .393
Distributions            
Dividends from Net Investment Income (.160) (.382) (.573) (.622) (.531) (.473)
Distributions from Realized Capital Gains (.050) — — — — —
Total Distributions (.210) (.382) (.573) (.622) (.531) (.473)
Net Asset Value, End of Period $21.64 $22.49 $22.55 $22.06 $21.28 $21.81
Total Return2 -2.87% 1.44% 4.90% 6.70% 0.02% 1.83%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $5,123 $5,435 $4,703 $4,312 $3,533 $3,180
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.46% 1.71% 2.61% 2.90% 2.48% 2.21%
Portfolio Turnover Rate3 23% 42% 56% 51% 56% 66%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
98

 

Short-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $27.53 $27.61 $27.00 $26.06 $26.70 $26.80
Investment Operations            
Net Investment Income1 .199 .473 .713 .768 .656 .594
Net Realized and Unrealized Gain (Loss) on Investments (.980) (.080) .604 .939 (.641) (.111)
Total from Investment Operations (.781) .393 1.317 1.707 .015 .483
Distributions            
Dividends from Net Investment Income (.198) (.473) (.707) (.767) (.655) (.583)
Distributions from Realized Capital Gains (.061) — — — — —
Total Distributions (.259) (.473) (.707) (.767) (.655) (.583)
Net Asset Value, End of Period $26.49 $27.53 $27.61 $27.00 $26.06 $26.70
Total Return -2.85% 1.44% 4.96% 6.66% 0.07% 1.84%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,242 $2,258 $1,661 $1,633 $1,706 $1,515
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 1.48% 1.72% 2.63% 2.92% 2.50% 2.23%
Portfolio Turnover Rate2 23% 42% 56% 51% 56% 66%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
99

 

Short-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Corporate Bond Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
During the six months ended February 28, 2022, the fund’s average investments in long and short futures contracts represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
100

 

Short-Term Corporate 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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Collateral for ETF Capital Activity: When an authorized participant fails to deliver one or more of the securities within a designated basket (in the case of a subscription), fails to deliver the fund ETF Shares (in the case of a redemption), or is required by the fund, prior to settlement, to accommodate the trading of foreign securities in local markets (in the case of redemption for an international equity ETF), the fund may require the authorized participant to deliver and maintain cash collateral in accordance with the authorized participant agreement. The fund may invest the collateral in short-term debt instruments or U.S. Treasury securities, or maintain the balance as cash. Daily market fluctuations could cause the value of the missing securities or fund ETF Shares to be more or less than the value of the collateral received; when this occurs the collateral is adjusted. The fund earns interest income from investments and/or custody fee offsets from the cash balance. The fund records an asset (cash or investment, as applicable) and a corresponding liability for the return of the collateral in the Statement Assets and Liabilities. Interest income and custody fee offsets earned on the investment of collateral are included in the Statement of Operations.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the
101

 

Short-Term Corporate Bond Index Fund
conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $1,629,000, representing less than 0.01% of the fund’s net assets and 0.65% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
102

 

Short-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 183,438 — 183,438
Corporate Bonds — 49,055,164 — 49,055,164
Temporary Cash Investments 153,968 — — 153,968
Total 153,968 49,238,602 — 49,392,570
Derivative Financial Instruments        
Assets        
Futures Contracts1 93 — — 93
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 50,548,086
Gross Unrealized Appreciation 103,353
Gross Unrealized Depreciation (1,258,776)
Net Unrealized Appreciation (Depreciation) (1,155,423)
E. During the six months ended February 28, 2022, the fund purchased $15,582,793,000 of investment securities and sold $13,285,043,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,702,411,000 and $3,539,011,000, respectively. Purchases and sales include $7,879,815,000 and $5,664,559,000, 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 six months ended February 28, 2022, such purchases were $4,381,003,000 and sales were $171,972,000, resulting in net realized loss of $449,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
103

 

Short-Term Corporate Bond Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 8,076,742 99,680   15,422,692 186,381
Issued in Lieu of Cash Distributions — —   — —
Redeemed (5,786,535) (71,400)   (5,533,001) (66,900)
Net Increase (Decrease)—ETF Shares 2,290,207 28,280   9,889,691 119,481
Admiral Shares          
Issued 851,864 38,444   2,599,871 115,389
Issued in Lieu of Cash Distributions 40,457 1,831   66,646 2,960
Redeemed (1,000,029) (45,211)   (1,919,554) (85,219)
Net Increase (Decrease)—Admiral Shares (107,708) (4,936)   746,963 33,130
Institutional Shares          
Issued 343,459 12,689   991,645 35,943
Issued in Lieu of Cash Distributions 20,415 755   30,224 1,097
Redeemed (292,291) (10,816)   (418,170) (15,180)
Net Increase (Decrease)—Institutional Shares 71,583 2,628   603,699 21,860
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
104

 

Intermediate-Term Corporate Bond Index Fund
Fund Allocation
As of February 28, 2022
Corporate Bonds – Communications 8.1%
Corporate Bonds – Consumer Discretionary 6.5
Corporate Bonds – Consumer Staples 6.7
Corporate Bonds – Energy 6.9
Corporate Bonds – Financials 29.2
Corporate Bonds – Health Care 8.7
Corporate Bonds – Industrials 6.9
Corporate Bonds – Materials 3.1
Corporate Bonds – Real Estate 7.1
Corporate Bonds – Technology 8.6
Corporate Bonds – Utilities 7.1
U.S. Government and Agency Obligations 1.1
The table reflects the fund's investments, except for short-term investments and derivatives.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
105

 

Intermediate-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (1.1%)
U.S. Government Securities (1.1%)
  United States Treasury Note/Bond 1.500%  1/31/27  57,775     57,107
  United States Treasury Note/Bond 1.875%  2/28/27  76,170     76,694
  United States Treasury Note/Bond 1.875%  2/15/32 385,640    387,146
Total U.S. Government and Agency Obligations (Cost $520,025) 520,947
Corporate Bonds (98.0%)
Communications (8.1%)
  Activision Blizzard Inc. 3.400%  6/15/27  11,960     12,522
  Activision Blizzard Inc. 1.350%  9/15/30  10,497      9,350
  Alphabet Inc. 0.800%  8/15/27  22,769     21,222
  Alphabet Inc. 1.100%  8/15/30  55,972     50,704
  America Movil SAB de CV 3.625%  4/22/29  25,789     26,623
  America Movil SAB de CV 2.875%   5/7/30  28,398     27,851
  AT&T Inc. 4.250%   3/1/27  37,504     40,415
  AT&T Inc. 2.300%   6/1/27  66,865     65,962
  AT&T Inc. 1.650%   2/1/28  46,668     44,088
1 AT&T Inc. 4.100%  2/15/28  47,931     51,440
  AT&T Inc. 4.350%   3/1/29  82,966     90,403
1 AT&T Inc. 4.300%  2/15/30  82,749     90,102
  AT&T Inc. 2.750%   6/1/31  38,945     37,893
  AT&T Inc. 2.250%   2/1/32  30,000     27,701
  AT&T Inc. 2.550%  12/1/33  35,000     32,465
  Baidu Inc. 3.625%   7/6/27  19,150     19,739
  Baidu Inc. 4.375%  3/29/28  10,335     11,006
  Baidu Inc. 4.875% 11/14/28  18,350     20,200
  Baidu Inc. 3.425%   4/7/30  11,609     11,755
  Baidu Inc. 2.375%  10/9/30   4,800      4,484
  Baidu Inc. 2.375%  8/23/31  18,130     16,704
  Booking Holdings Inc. 3.550%  3/15/28  17,918     18,841
  Booking Holdings Inc. 4.625%  4/13/30  43,433     48,615
  British Telecommunications plc 5.125%  12/4/28  12,198     13,208
  British Telecommunications plc 9.625% 12/15/30  63,477     88,880
  Charter Communications Operating LLC 3.750%  2/15/28  38,490     39,418
  Charter Communications Operating LLC 4.200%  3/15/28  43,070     45,048
  Charter Communications Operating LLC 2.250%  1/15/29  31,445     29,227
  Charter Communications Operating LLC 5.050%  3/30/29  33,792     36,852
  Charter Communications Operating LLC 2.800%   4/1/31  43,497     40,616
  Charter Communications Operating LLC 2.300%   2/1/32  13,242     11,774
  Comcast Corp. 3.300%   4/1/27  21,706     22,553
106

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Comcast Corp. 3.150%  2/15/28  42,026     43,194
  Comcast Corp. 3.550%   5/1/28  17,815     18,669
  Comcast Corp. 4.150% 10/15/28 102,925    111,495
  Comcast Corp. 2.650%   2/1/30  55,982     55,253
  Comcast Corp. 3.400%   4/1/30  49,471     51,439
  Comcast Corp. 4.250% 10/15/30  38,530     42,337
  Comcast Corp. 1.950%  1/15/31  39,757     37,010
  Comcast Corp. 1.500%  2/15/31  46,759     41,884
  Deutsche Telekom International Finance BV 8.750%  6/15/30  97,909    135,641
  Discovery Communications LLC 3.950%  3/20/28  49,817     51,425
  Discovery Communications LLC 4.125%  5/15/29  24,734     25,860
  Discovery Communications LLC 3.625%  5/15/30  26,251     26,344
  Electronic Arts Inc. 1.850%  2/15/31  19,080     17,437
  Expedia Group Inc. 4.625%   8/1/27  25,620     27,417
  Expedia Group Inc. 3.800%  2/15/28  24,368     25,062
  Expedia Group Inc. 3.250%  2/15/30  31,630     31,239
  Expedia Group Inc. 2.950%  3/15/31  28,681     27,482
2 FactSet Research Systems Inc. 2.900%   3/1/27   9,000      9,057
  Fox Corp. 4.709%  1/25/29  56,726     61,993
  Fox Corp. 3.500%   4/8/30  17,401     17,772
  Interpublic Group of Cos. Inc. 4.650%  10/1/28   7,585      8,319
  Interpublic Group of Cos. Inc. 4.750%  3/30/30  21,263     23,582
  Interpublic Group of Cos. Inc. 2.400%   3/1/31  15,095     14,315
  Koninklijke KPN NV 8.375%  10/1/30  15,414     20,721
  Omnicom Group Inc. 2.450%  4/30/30  15,990     15,352
  Omnicom Group Inc. 4.200%   6/1/30  16,808     18,199
  Omnicom Group Inc. 2.600%   8/1/31  22,690     21,822
  Orange SA 9.000%   3/1/31  60,813     87,040
  Paramount Global 3.375%  2/15/28  13,051     13,327
  Paramount Global 3.700%   6/1/28  19,823     20,512
  Paramount Global 4.200%   6/1/29  19,721     20,738
  Paramount Global 7.875%  7/30/30  16,880     22,022
  Paramount Global 4.950%  1/15/31  39,447     43,588
  TCI Communications Inc. 7.125%  2/15/28   9,715     12,055
  Telefonica Emisiones SA 4.103%   3/8/27  44,166     46,649
  Telefonica Europe BV 8.250%  9/15/30  26,949     36,171
  TELUS Corp. 3.700%  9/15/27   6,036      6,355
  Tencent Music Entertainment Group 2.000%   9/3/30  13,090     11,730
  T-Mobile USA Inc. 3.750%  4/15/27 101,510    105,435
  T-Mobile USA Inc. 2.050%  2/15/28  49,706     47,327
3 T-Mobile USA Inc. 2.400%  3/15/29   9,000      8,550
  T-Mobile USA Inc. 3.875%  4/15/30 179,015    185,069
  T-Mobile USA Inc. 2.550%  2/15/31  69,629     65,107
  T-Mobile USA Inc. 2.250% 11/15/31  16,376     14,860
1 TWDC Enterprises 18 Corp. 2.950%  6/15/27  19,939     20,405
  VeriSign Inc. 2.700%  6/15/31  22,100     20,634
  Verizon Communications Inc. 4.125%  3/16/27  69,982     74,989
  Verizon Communications Inc. 3.000%  3/22/27  27,821     28,325
  Verizon Communications Inc. 2.100%  3/22/28  84,259     81,408
  Verizon Communications Inc. 4.329%  9/21/28 110,803    120,791
  Verizon Communications Inc. 3.875%   2/8/29  21,380     22,734
  Verizon Communications Inc. 4.016%  12/3/29 100,491    107,725
  Verizon Communications Inc. 3.150%  3/22/30  43,767     44,260
  Verizon Communications Inc. 1.500%  9/18/30  24,186     21,558
  Verizon Communications Inc. 1.680% 10/30/30  39,216     35,242
107

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Verizon Communications Inc. 7.750%  12/1/30   1,855      2,513
  Verizon Communications Inc. 1.750%  1/20/31  60,401     54,317
  Verizon Communications Inc. 2.550%  3/21/31 129,781    124,524
  Vodafone Group plc 4.375%  5/30/28  83,537     90,366
  Vodafone Group plc 7.875%  2/15/30  12,461     16,530
  Walt Disney Co. 3.700%  3/23/27  12,774     13,547
  Walt Disney Co. 2.200%  1/13/28  30,541     29,928
  Walt Disney Co. 2.000%   9/1/29  50,299     47,970
  Walt Disney Co. 3.800%  3/22/30  35,761     38,376
  Walt Disney Co. 2.650%  1/13/31  65,622     64,980
  Weibo Corp. 3.375%   7/8/30  19,610     18,273
  WPP Finance 2010 3.750%  9/19/24       1         —
                               3,913,911
Consumer Discretionary (6.4%)
  Advance Auto Parts Inc. 1.750%  10/1/27   6,588      6,184
  Advance Auto Parts Inc. 3.900%  4/15/30  15,456     16,013
  Alibaba Group Holding Ltd. 3.400%  12/6/27  67,591     68,594
  Alibaba Group Holding Ltd. 2.125%   2/9/31  38,478     34,663
  Amazon.com Inc. 1.200%   6/3/27  46,606     44,316
  Amazon.com Inc. 3.150%  8/22/27  82,769     86,558
  Amazon.com Inc. 1.650%  5/12/28  59,415     57,126
  Amazon.com Inc. 1.500%   6/3/30  45,006     41,714
  Amazon.com Inc. 2.100%  5/12/31  81,760     78,690
1 American Honda Finance Corp. 3.500%  2/15/28   6,796      7,125
1 American Honda Finance Corp. 2.000%  3/24/28  27,060     26,120
1 American Honda Finance Corp. 2.250%  1/12/29   8,940      8,679
1 American Honda Finance Corp. 1.800%  1/13/31  11,975     11,034
  Aptiv plc 4.350%  3/15/29   6,390      6,876
  Aptiv plc 3.250%   3/1/32   5,000      5,015
  AutoNation Inc. 3.800% 11/15/27  13,888     14,396
  AutoNation Inc. 4.750%   6/1/30  12,190     13,149
  AutoNation Inc. 2.400%   8/1/31  16,795     15,196
  AutoZone Inc. 3.750%   6/1/27  13,207     13,924
  AutoZone Inc. 3.750%  4/18/29  22,498     23,501
  AutoZone Inc. 4.000%  4/15/30  19,090     20,242
  AutoZone Inc. 1.650%  1/15/31  15,990     14,186
  Best Buy Co. Inc. 4.450%  10/1/28  11,434     12,323
  Best Buy Co. Inc. 1.950%  10/1/30  14,506     13,237
  Block Financial LLC 2.500%  7/15/28  11,615     11,089
  Block Financial LLC 3.875%  8/15/30  19,016     19,273
  BorgWarner Inc. 3.375%  3/15/25       1          1
  BorgWarner Inc. 2.650%   7/1/27  28,852     28,799
  Brunswick Corp. 2.400%  8/18/31  14,950     13,679
  Choice Hotels International Inc. 3.700%  12/1/29   5,982      6,112
  Choice Hotels International Inc. 3.700%  1/15/31   8,859      8,969
3 Daimler Finance North America LLC 3.100%  8/15/29  16,642     16,778
  Daimler Finance North America LLC 8.500%  1/18/31  22,375     31,743
3 Daimler Finance North America LLC 2.450%   3/2/31   7,250      6,932
  Darden Restaurants Inc. 3.850%   5/1/27  10,733     11,304
  Dick's Sporting Goods Inc. 3.150%  1/15/32  19,755     18,983
  DR Horton Inc. 1.400% 10/15/27  11,566     10,709
  eBay Inc. 3.600%   6/5/27  23,785     24,927
  eBay Inc. 2.700%  3/11/30  24,863     24,069
  eBay Inc. 2.600%  5/10/31  16,906     16,098
1 Emory University 2.143%   9/1/30  10,390     10,157
108

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Fortune Brands Home & Security Inc. 3.250%  9/15/29  16,830     17,080
  General Motors Co. 4.200%  10/1/27  24,224     25,550
  General Motors Co. 6.800%  10/1/27  28,591     33,698
  General Motors Co. 5.000%  10/1/28  22,813     24,888
  General Motors Financial Co. Inc. 2.700%  8/20/27  16,229     15,894
  General Motors Financial Co. Inc. 3.850%   1/5/28  12,583     12,965
  General Motors Financial Co. Inc. 2.400%  4/10/28  23,710     22,645
  General Motors Financial Co. Inc. 2.400% 10/15/28  26,875     25,481
  General Motors Financial Co. Inc. 5.650%  1/17/29  14,718     16,542
  General Motors Financial Co. Inc. 3.600%  6/21/30  25,776     25,879
  General Motors Financial Co. Inc. 2.350%   1/8/31  16,440     14,907
  General Motors Financial Co. Inc. 2.700%  6/10/31  33,980     31,533
  General Motors Financial Co. Inc. 3.100%  1/12/32  48,755     46,549
  Genuine Parts Co. 1.875%  11/1/30  12,508     11,268
3 GXO Logistics Inc. 2.650%  7/15/31  11,195     10,387
  Hasbro Inc. 3.500%  9/15/27   7,279      7,488
  Hasbro Inc. 3.900% 11/19/29  29,501     30,843
  Home Depot Inc. 2.500%  4/15/27  41,428     41,818
  Home Depot Inc. 2.800%  9/14/27  29,080     29,762
  Home Depot Inc. 0.900%  3/15/28  15,270     14,041
  Home Depot Inc. 1.500%  9/15/28  29,190     27,624
  Home Depot Inc. 3.900%  12/6/28  17,076     18,446
  Home Depot Inc. 2.950%  6/15/29  35,027     35,787
  Home Depot Inc. 2.700%  4/15/30  32,801     32,772
  Home Depot Inc. 1.375%  3/15/31  33,348     29,841
  Home Depot Inc. 1.875%  9/15/31  32,485     30,171
  Hyatt Hotels Corp. 4.375%  9/15/28  10,852     11,250
  Hyatt Hotels Corp. 5.750%  4/23/30  11,245     12,827
  JD.com Inc. 3.375%  1/14/30  17,933     17,938
  Kohl's Corp. 3.375%   5/1/31  13,095     12,896
  Las Vegas Sands Corp. 3.900%   8/8/29  19,157     18,334
  Lear Corp. 3.800%  9/15/27   6,989      7,286
  Lear Corp. 4.250%  5/15/29  10,974     11,622
  Lear Corp. 3.500%  5/30/30  11,085     11,140
  Lear Corp. 2.600%  1/15/32   2,900      2,690
  Leggett & Platt Inc. 3.500% 11/15/27  10,652     11,021
  Leggett & Platt Inc. 4.400%  3/15/29  15,366     16,597
  Leland Stanford Junior University 1.289%   6/1/27   7,710      7,372
  Lennar Corp. 5.000%  6/15/27   2,960      3,217
  Lennar Corp. 4.750% 11/29/27  37,430     40,697
  Lowe's Cos. Inc. 3.100%   5/3/27  19,931     20,526
  Lowe's Cos. Inc. 1.300%  4/15/28  30,859     28,471
  Lowe's Cos. Inc. 1.700%  9/15/28  31,050     29,090
  Lowe's Cos. Inc. 3.650%   4/5/29  42,716     44,778
  Lowe's Cos. Inc. 4.500%  4/15/30  31,765     35,031
  Lowe's Cos. Inc. 1.700% 10/15/30  32,626     29,352
  Lowe's Cos. Inc. 2.625%   4/1/31  46,321     44,754
  Magna International Inc. 2.450%  6/15/30  18,786     18,095
1 Marriott International Inc. 4.000%  4/15/28  11,505     11,971
1 Marriott International Inc. 4.650%  12/1/28   5,302      5,691
1 Marriott International Inc. 4.625%  6/15/30  32,536     35,161
1 Marriott International Inc. 2.850%  4/15/31  34,555     32,925
  Masco Corp. 3.500% 11/15/27   7,945      8,161
  Masco Corp. 1.500%  2/15/28  15,734     14,465
  Masco Corp. 2.000%  10/1/30   9,055      8,205
109

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Masco Corp. 2.000%  2/15/31  13,798     12,461
1 McDonald's Corp. 3.500%   3/1/27  15,190     15,887
1 McDonald's Corp. 3.500%   7/1/27  25,740     26,987
1 McDonald's Corp. 3.800%   4/1/28  32,932     35,007
1 McDonald's Corp. 2.625%   9/1/29  34,433     33,905
1 McDonald's Corp. 2.125%   3/1/30  14,055     13,326
1 McDonald's Corp. 3.600%   7/1/30  20,650     21,686
  MDC Holdings Inc. 2.500%  1/15/31  17,955     16,226
  Mohawk Industries Inc. 3.625%  5/15/30  13,000     13,360
  NIKE Inc. 2.750%  3/27/27  33,533     34,444
  NIKE Inc. 2.850%  3/27/30  31,730     32,254
  NVR Inc. 3.000%  5/15/30  21,047     20,743
  O'Reilly Automotive Inc. 3.600%   9/1/27  20,735     21,675
  O'Reilly Automotive Inc. 4.350%   6/1/28  19,991     21,549
  O'Reilly Automotive Inc. 3.900%   6/1/29  10,257     10,783
  O'Reilly Automotive Inc. 4.200%   4/1/30  13,402     14,368
  O'Reilly Automotive Inc. 1.750%  3/15/31   6,665      5,971
  Owens Corning 3.950%  8/15/29  11,136     11,673
  Owens Corning 3.875%   6/1/30   8,536      8,924
  Ralph Lauren Corp. 2.950%  6/15/30  18,092     18,068
  Ross Stores Inc. 1.875%  4/15/31  12,715     11,498
3 Sands China Ltd. 2.300%   3/8/27  12,375     10,800
  Sands China Ltd. 5.400%   8/8/28  54,894     54,335
3 Sands China Ltd. 2.850%   3/8/29   7,475      6,339
  Sands China Ltd. 4.375%  6/18/30  27,566     25,417
3 Sands China Ltd. 3.250%   8/8/31  12,800     10,429
  Snap-on Inc. 3.250%   3/1/27   2,815      2,943
  Stanley Black & Decker Inc. 4.250% 11/15/28  18,978     20,714
  Stanley Black & Decker Inc. 2.300%  3/15/30  15,343     14,771
  Starbucks Corp. 2.000%  3/12/27  14,787     14,427
  Starbucks Corp. 3.500%   3/1/28  13,318     13,856
  Starbucks Corp. 4.000% 11/15/28  20,788     22,270
  Starbucks Corp. 3.550%  8/15/29  25,122     26,149
  Starbucks Corp. 2.250%  3/12/30  13,898     13,127
  Starbucks Corp. 2.550% 11/15/30  37,883     36,406
  Starbucks Corp. 3.000%  2/14/32  20,000     19,904
  Steelcase Inc. 5.125%  1/18/29  11,150     12,156
  Tapestry Inc. 4.125%  7/15/27   3,395      3,552
  TJX Cos. Inc. 1.150%  5/15/28  14,377     13,270
  TJX Cos. Inc. 3.875%  4/15/30  20,965     22,483
  TJX Cos. Inc. 1.600%  5/15/31   3,915      3,546
  Toll Brothers Finance Corp. 4.350%  2/15/28  16,590     17,278
  Toll Brothers Finance Corp. 3.800%  11/1/29  11,515     11,527
  Toyota Motor Corp. 3.669%  7/20/28  15,429     16,432
  Toyota Motor Corp. 2.760%   7/2/29  10,490     10,559
  Toyota Motor Corp. 2.362%  3/25/31  11,611     11,340
1 Toyota Motor Credit Corp. 1.150%  8/13/27  18,643     17,497
1 Toyota Motor Credit Corp. 3.050%  1/11/28  12,067     12,440
1 Toyota Motor Credit Corp. 1.900%   4/6/28  11,223     10,813
  Toyota Motor Credit Corp. 3.650%   1/8/29  12,400     13,205
1 Toyota Motor Credit Corp. 2.150%  2/13/30  21,036     20,237
1 Toyota Motor Credit Corp. 3.375%   4/1/30  25,256     26,450
1 Toyota Motor Credit Corp. 1.650%  1/10/31  19,073     17,448
  Toyota Motor Credit Corp. 1.900%  9/12/31  14,264     13,228
1 Toyota Motor Credit Corp. 2.400%  1/13/32  14,145     13,687
110

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Tractor Supply Co. 1.750%  11/1/30  16,148     14,366
  VF Corp. 2.800%  4/23/27  11,897     12,045
  VF Corp. 2.950%  4/23/30  19,333     19,135
  Whirlpool Corp. 4.750%  2/26/29  25,868     28,591
  Whirlpool Corp. 2.400%  5/15/31   5,517      5,246
1 Yale University 1.482%  4/15/30  11,020     10,172
                               3,133,290
Consumer Staples (6.6%)
  Ahold Finance USA LLC 6.875%   5/1/29  12,920     16,137
  Altria Group Inc. 2.625%  9/16/26   9,094      9,081
  Altria Group Inc. 4.800%  2/14/29  29,977     32,446
  Altria Group Inc. 3.400%   5/6/30  16,805     16,611
  Altria Group Inc. 2.450%   2/4/32  39,505     35,286
  Anheuser-Busch InBev Worldwide Inc. 4.000%  4/13/28  74,021     78,909
  Anheuser-Busch InBev Worldwide Inc. 4.750%  1/23/29  95,313    106,071
  Anheuser-Busch InBev Worldwide Inc. 3.500%   6/1/30  61,666     64,440
  Anheuser-Busch InBev Worldwide Inc. 4.900%  1/23/31  15,010     17,243
  Archer-Daniels-Midland Co. 3.250%  3/27/30  23,738     24,655
  Avery Dennison Corp. 4.875%  12/6/28  10,672     11,891
  Avery Dennison Corp. 2.650%  4/30/30  15,187     14,626
  Avery Dennison Corp. 2.250%  2/15/32   1,175      1,076
  BAT Capital Corp. 4.700%   4/2/27  26,249     27,872
  BAT Capital Corp. 3.557%  8/15/27  79,130     79,872
  BAT Capital Corp. 2.259%  3/25/28  54,851     51,209
  BAT Capital Corp. 3.462%   9/6/29  14,798     14,613
  BAT Capital Corp. 4.906%   4/2/30  27,289     29,153
  BAT Capital Corp. 2.726%  3/25/31  29,979     27,476
  Bunge Ltd. Finance Corp. 3.750%  9/25/27  15,430     16,129
  Bunge Ltd. Finance Corp. 2.750%  5/14/31  26,535     25,261
  Campbell Soup Co. 4.150%  3/15/28  25,053     26,752
  Campbell Soup Co. 2.375%  4/24/30  12,011     11,432
  Church & Dwight Co. Inc. 3.150%   8/1/27  11,195     11,512
  Clorox Co. 3.100%  10/1/27  13,038     13,442
  Clorox Co. 3.900%  5/15/28   6,205      6,629
  Clorox Co. 1.800%  5/15/30  18,304     16,863
  Coca-Cola Co. 3.375%  3/25/27  20,550     21,642
  Coca-Cola Co. 2.900%  5/25/27  12,530     12,916
  Coca-Cola Co. 1.450%   6/1/27  48,694     46,810
  Coca-Cola Co. 1.500%   3/5/28   8,400      8,032
  Coca-Cola Co. 1.000%  3/15/28  34,864     32,260
  Coca-Cola Co. 2.125%   9/6/29  25,622     24,990
  Coca-Cola Co. 3.450%  3/25/30  31,414     33,241
  Coca-Cola Co. 1.650%   6/1/30  35,774     33,152
  Coca-Cola Co. 2.000%   3/5/31  25,898     24,516
  Coca-Cola Co. 1.375%  3/15/31  48,168     43,243
  Coca-Cola Co. 2.250%   1/5/32  41,030     39,576
  Coca-Cola Femsa SAB de CV 2.750%  1/22/30  29,586     28,580
  Conagra Brands Inc. 1.375%  11/1/27  27,463     25,248
  Conagra Brands Inc. 7.000%  10/1/28   7,906      9,709
  Conagra Brands Inc. 4.850%  11/1/28  42,567     46,760
  Conagra Brands Inc. 8.250%  9/15/30   9,076     12,331
  Constellation Brands Inc. 3.500%   5/9/27  16,136     16,730
  Constellation Brands Inc. 3.600%  2/15/28  21,208     21,852
  Constellation Brands Inc. 4.650% 11/15/28  23,246     25,397
  Constellation Brands Inc. 3.150%   8/1/29  32,688     32,723
111

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Constellation Brands Inc. 2.875%   5/1/30  13,314     12,998
  Constellation Brands Inc. 2.250%   8/1/31  23,788     21,839
  Costco Wholesale Corp. 3.000%  5/18/27  31,263     32,410
  Costco Wholesale Corp. 1.375%  6/20/27  38,999     37,422
  Costco Wholesale Corp. 1.600%  4/20/30  53,288     49,361
  Diageo Capital plc 3.875%  5/18/28   9,013      9,685
  Diageo Capital plc 2.375% 10/24/29  26,161     25,578
  Diageo Capital plc 2.000%  4/29/30  17,182     16,248
  Dollar General Corp. 3.875%  4/15/27  12,000     12,675
  Dollar General Corp. 4.125%   5/1/28  11,804     12,581
  Dollar General Corp. 3.500%   4/3/30  33,777     34,585
  Dollar Tree Inc. 4.200%  5/15/28  32,679     34,926
  Dollar Tree Inc. 2.650%  12/1/31  16,950     16,100
  Estee Lauder Cos. Inc. 3.150%  3/15/27   8,270      8,599
  Estee Lauder Cos. Inc. 2.375%  12/1/29  18,397     18,070
  Estee Lauder Cos. Inc. 2.600%  4/15/30  17,894     17,779
  Estee Lauder Cos. Inc. 1.950%  3/15/31  14,940     14,051
  Flowers Foods Inc. 2.400%  3/15/31  12,354     11,652
  General Mills Inc. 4.200%  4/17/28  33,558     36,147
  General Mills Inc. 2.875%  4/15/30  22,419     22,400
  General Mills Inc. 2.250% 10/14/31  15,690     14,752
  Hershey Co. 2.450% 11/15/29   6,077      6,053
  Hershey Co. 1.700%   6/1/30   6,122      5,707
  Hormel Foods Corp. 1.700%   6/3/28   9,195      8,783
  Hormel Foods Corp. 1.800%  6/11/30  28,732     26,835
  Ingredion Inc. 2.900%   6/1/30  13,751     13,554
  J M Smucker Co. 3.375% 12/15/27  12,479     12,940
  J M Smucker Co. 2.375%  3/15/30  12,496     11,899
  Kellogg Co. 3.400% 11/15/27  18,335     19,000
  Kellogg Co. 4.300%  5/15/28   9,841     10,687
  Kellogg Co. 2.100%   6/1/30  17,969     16,895
1 Kellogg Co. 7.450%   4/1/31   9,544     12,743
  Keurig Dr Pepper Inc. 3.430%  6/15/27  19,339     20,045
  Keurig Dr Pepper Inc. 4.597%  5/25/28  54,575     59,672
  Keurig Dr Pepper Inc. 3.200%   5/1/30  19,339     19,563
  Keurig Dr Pepper Inc. 2.250%  3/15/31  14,495     13,599
  Kimberly-Clark Corp. 1.050%  9/15/27  18,462     17,325
  Kimberly-Clark Corp. 3.950%  11/1/28  10,389     11,283
  Kimberly-Clark Corp. 3.200%  4/25/29  11,194     11,610
  Kimberly-Clark Corp. 3.100%  3/26/30  25,936     26,806
  Kimberly-Clark Corp. 2.000%  11/2/31  15,660     14,774
  Kroger Co. 3.700%   8/1/27  13,945     14,692
  Kroger Co. 4.500%  1/15/29  12,247     13,462
1 Kroger Co. 7.700%   6/1/29   3,305      4,317
  Kroger Co. 2.200%   5/1/30  19,519     18,474
  Kroger Co. 1.700%  1/15/31  12,570     11,385
  Kroger Co. 7.500%   4/1/31   5,478      7,377
  McCormick & Co. Inc. 3.400%  8/15/27  19,646     20,442
  McCormick & Co. Inc. 2.500%  4/15/30  23,654     22,796
  McCormick & Co. Inc. 1.850%  2/15/31   7,324      6,661
  Mondelez International Inc. 2.750%  4/13/30  46,948     46,265
  Mondelez International Inc. 1.500%   2/4/31  10,781      9,530
  PepsiCo Inc. 2.625%  3/19/27  30,489     31,199
  PepsiCo Inc. 3.000% 10/15/27  29,004     30,161
  PepsiCo Inc. 7.000%   3/1/29   8,416     10,860
112

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PepsiCo Inc. 2.625%  7/29/29  21,457     21,698
  PepsiCo Inc. 2.750%  3/19/30  27,389     27,781
  PepsiCo Inc. 1.625%   5/1/30  43,550     40,605
  PepsiCo Inc. 1.400%  2/25/31  20,127     18,290
  PepsiCo Inc. 1.950% 10/21/31  29,015     27,461
  Philip Morris International Inc. 3.125%  8/17/27  10,412     10,747
  Philip Morris International Inc. 3.125%   3/2/28  15,754     16,191
  Philip Morris International Inc. 3.375%  8/15/29  15,208     15,655
  Philip Morris International Inc. 2.100%   5/1/30  23,348     21,940
  Philip Morris International Inc. 1.750%  11/1/30  15,930     14,434
  Procter & Gamble Co. 2.800%  3/25/27  17,635     18,175
  Procter & Gamble Co. 2.850%  8/11/27  19,142     19,819
  Procter & Gamble Co. 3.000%  3/25/30  40,393     42,099
  Procter & Gamble Co. 1.200% 10/29/30  30,099     27,279
  Procter & Gamble Co. 1.950%  4/23/31  19,830     19,070
  Sysco Corp. 3.250%  7/15/27  22,653     23,347
  Sysco Corp. 2.400%  2/15/30  26,555     25,376
  Sysco Corp. 5.950%   4/1/30  25,782     30,782
  Sysco Corp. 2.450% 12/14/31   6,735      6,411
  Target Corp. 3.375%  4/15/29  25,967     27,527
  Target Corp. 2.350%  2/15/30  18,063     17,753
  Target Corp. 2.650%  9/15/30  10,990     11,028
  Tyson Foods Inc. 3.550%   6/2/27  35,572     36,969
  Tyson Foods Inc. 4.350%   3/1/29  25,149     27,237
  Unilever Capital Corp. 2.900%   5/5/27  27,760     28,376
  Unilever Capital Corp. 3.500%  3/22/28   4,604      4,855
  Unilever Capital Corp. 2.125%   9/6/29  38,134     36,690
  Unilever Capital Corp. 1.375%  9/14/30  12,955     11,594
  Unilever Capital Corp. 1.750%  8/12/31  22,820     20,945
  Walgreens Boots Alliance Inc. 3.200%  4/15/30   8,775      8,868
  Walmart Inc. 3.700%  6/26/28  64,643     69,708
  Walmart Inc. 1.500%  9/22/28   8,120      7,736
  Walmart Inc. 3.250%   7/8/29  33,090     35,047
  Walmart Inc. 2.375%  9/24/29  15,799     15,749
  Walmart Inc. 1.800%  9/22/31  57,363     53,817
                               3,214,706
Energy (6.8%)
  Baker Hughes Holdings LLC 3.337% 12/15/27  29,218     30,119
  Baker Hughes Holdings LLC 3.138%  11/7/29  11,209     11,311
  Baker Hughes Holdings LLC 4.486%   5/1/30  21,044     23,129
  Boardwalk Pipelines LP 4.450%  7/15/27  13,564     14,313
  Boardwalk Pipelines LP 4.800%   5/3/29   5,834      6,282
  Boardwalk Pipelines LP 3.400%  2/15/31  15,392     15,080
  BP Capital Markets America Inc. 3.543%   4/6/27  15,175     15,781
1 BP Capital Markets America Inc. 3.588%  4/14/27  14,112     14,715
  BP Capital Markets America Inc. 3.937%  9/21/28  36,594     38,833
  BP Capital Markets America Inc. 4.234%  11/6/28  46,476     50,282
  BP Capital Markets America Inc. 3.633%   4/6/30  39,354     40,971
  BP Capital Markets America Inc. 1.749%  8/10/30  20,458     18,567
  BP Capital Markets America Inc. 2.721%  1/12/32  54,340     52,134
  BP Capital Markets plc 3.279%  9/19/27  37,300     38,388
  BP Capital Markets plc 3.723% 11/28/28  20,493     21,469
  Burlington Resources LLC 7.200%  8/15/31   5,813      7,835
  Burlington Resources LLC 7.400%  12/1/31   2,162      3,006
  Canadian Natural Resources Ltd. 3.850%   6/1/27  41,275     43,089
113

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Canadian Natural Resources Ltd. 2.950%  7/15/30  12,656     12,376
  Canadian Natural Resources Ltd. 7.200%  1/15/32   5,882      7,570
  Cenovus Energy Inc. 4.250%  4/15/27  34,273     36,365
  Cenovus Energy Inc. 4.400%  4/15/29  20,138     21,458
  Cenovus Energy Inc. 2.650%  1/15/32   3,535      3,272
  Cheniere Corpus Christi Holdings LLC 5.125%  6/30/27  37,426     40,853
  Cheniere Corpus Christi Holdings LLC 3.700% 11/15/29  44,533     45,467
  Chevron Corp. 1.995%  5/11/27  36,191     35,654
  Chevron Corp. 2.236%  5/11/30  36,058     35,121
  Chevron USA Inc. 1.018%  8/12/27   6,218      5,812
  Chevron USA Inc. 3.850%  1/15/28  12,964     13,893
  Chevron USA Inc. 3.250% 10/15/29  21,728     22,657
  Conoco Funding Co. 7.250% 10/15/31   4,913      6,651
3 ConocoPhillips 3.750%  10/1/27  48,071     51,368
3 ConocoPhillips 4.300%  8/15/28  31,708     34,744
3 ConocoPhillips 2.400%  2/15/31  24,557     24,000
  ConocoPhillips Co. 6.950%  4/15/29  43,993     56,268
  Continental Resources Inc. 4.375%  1/15/28  15,680     16,248
3 Coterra Energy Inc. 3.900%  5/15/27  18,690     19,493
3 Coterra Energy Inc. 4.375%  3/15/29  16,509     17,712
  Devon Energy Corp. 5.250% 10/15/27  14,368     14,923
  Devon Energy Corp. 5.875%  6/15/28  10,148     10,804
  Devon Energy Corp. 4.500%  1/15/30  19,758     20,639
  Devon Energy Corp. 7.875%  9/30/31  12,693     17,108
  Diamondback Energy Inc. 3.500%  12/1/29  31,024     31,351
  Diamondback Energy Inc. 3.125%  3/24/31  27,427     26,764
3 Eastern Gas Transmission & Storage Inc. 3.000% 11/15/29   6,745      6,718
  Enbridge Inc. 1.600%  10/4/26     100         95
  Enbridge Inc. 3.700%  7/15/27  20,795     21,690
  Enbridge Inc. 3.125% 11/15/29  27,677     27,790
  Energy Transfer LP 4.400%  3/15/27  19,307     20,280
  Energy Transfer LP 4.200%  4/15/27  15,006     15,617
1 Energy Transfer LP 5.500%   6/1/27  24,480     27,013
  Energy Transfer LP 4.000%  10/1/27  19,077     19,709
  Energy Transfer LP 4.950%  5/15/28  17,195     18,528
  Energy Transfer LP 4.950%  6/15/28  26,838     29,042
  Energy Transfer LP 5.250%  4/15/29  41,888     46,030
  Energy Transfer LP 4.150%  9/15/29  16,194     16,701
  Energy Transfer LP 3.750%  5/15/30  41,959     42,527
  Eni USA Inc. 7.300% 11/15/27   2,740      3,348
  Enterprise Products Operating LLC 4.150% 10/16/28  18,064     19,413
  Enterprise Products Operating LLC 3.125%  7/31/29  48,422     48,895
  Enterprise Products Operating LLC 2.800%  1/31/30  24,539     24,172
1 Enterprise Products Operating LLC 5.250%  8/16/77  13,731     13,073
1 Enterprise Products Operating LLC 5.375%  2/15/78  21,720     20,156
  EOG Resources Inc. 4.375%  4/15/30  24,040     26,588
  Exxon Mobil Corp. 3.294%  3/19/27  12,530     13,149
  Exxon Mobil Corp. 2.440%  8/16/29  30,304     29,838
  Exxon Mobil Corp. 3.482%  3/19/30  56,485     59,628
  Exxon Mobil Corp. 2.610% 10/15/30  60,930     60,404
  Halliburton Co. 2.920%   3/1/30  26,630     26,216
3 Helmerich & Payne Inc. 2.900%  9/29/31  14,900     14,285
  Hess Corp. 4.300%   4/1/27  35,382     37,423
  Hess Corp. 7.875%  10/1/29   7,558      9,759
  Hess Corp. 7.300%  8/15/31  15,710     20,007
114

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  HollyFrontier Corp. 4.500%  10/1/30  10,473     10,564
  Kinder Morgan Energy Partners LP 7.400%  3/15/31   2,816      3,598
  Kinder Morgan Inc. 4.300%   3/1/28  37,906     40,396
  Kinder Morgan Inc. 2.000%  2/15/31  29,823     26,783
1 Kinder Morgan Inc. 7.800%   8/1/31   9,114     12,044
1 Kinder Morgan Inc. 7.750%  1/15/32   5,261      6,966
  Magellan Midstream Partners LP 3.250%   6/1/30  12,377     12,371
  Marathon Oil Corp. 4.400%  7/15/27  25,681     27,269
  Marathon Petroleum Corp. 3.800%   4/1/28  21,580     22,317
  MPLX LP 4.125%   3/1/27  31,108     32,794
  MPLX LP 4.250%  12/1/27  19,569     20,748
  MPLX LP 4.000%  3/15/28  36,531     38,125
  MPLX LP 4.800%  2/15/29  25,228     27,641
  MPLX LP 2.650%  8/15/30  30,816     29,043
  Northwest Pipeline LLC 4.000%   4/1/27   1,077      1,136
  NOV Inc. 3.600%  12/1/29  10,392     10,412
  ONEOK Inc. 4.000%  7/13/27  13,931     14,504
  ONEOK Inc. 4.550%  7/15/28  25,001     26,680
  ONEOK Inc. 4.350%  3/15/29  28,877     30,253
  ONEOK Inc. 3.400%   9/1/29  29,084     28,802
  ONEOK Inc. 3.100%  3/15/30  17,433     16,900
  ONEOK Inc. 6.350%  1/15/31   3,305      3,922
  Ovintiv Inc. 8.125%  9/15/30   3,275      4,201
  Ovintiv Inc. 7.200%  11/1/31  13,845     17,020
  Ovintiv Inc. 7.375%  11/1/31  13,260     16,771
  Phillips 66 3.900%  3/15/28  19,524     20,443
  Phillips 66 2.150% 12/15/30  23,284     21,506
  Phillips 66 Partners LP 3.750%   3/1/28  15,791     16,262
  Phillips 66 Partners LP 3.150% 12/15/29  14,542     14,445
  Pioneer Natural Resources Co. 1.900%  8/15/30  29,331     26,666
  Pioneer Natural Resources Co. 2.150%  1/15/31  24,990     23,066
  Plains All American Pipeline LP 3.550% 12/15/29  25,671     25,400
  Plains All American Pipeline LP 3.800%  9/15/30  20,276     20,315
  Sabine Pass Liquefaction LLC 5.000%  3/15/27  34,236     37,257
  Sabine Pass Liquefaction LLC 4.200%  3/15/28  47,081     49,586
  Sabine Pass Liquefaction LLC 4.500%  5/15/30  53,382     57,474
  Schlumberger Investment SA 2.650%  6/26/30  27,442     26,715
  Shell International Finance BV 3.875% 11/13/28  36,528     39,185
  Shell International Finance BV 2.375%  11/7/29  42,205     41,142
  Shell International Finance BV 2.750%   4/6/30  45,602     45,523
  Suncor Energy Inc. 7.150%   2/1/32  11,981     15,332
  Targa Resources Partners LP 6.500%  7/15/27   8,000      8,479
  Targa Resources Partners LP 5.000%  1/15/28   8,400      8,670
  Targa Resources Partners LP 6.875%  1/15/29   4,000      4,357
  Targa Resources Partners LP 5.500%   3/1/30   8,000      8,474
  Targa Resources Partners LP 4.875%   2/1/31   8,500      8,750
  Targa Resources Partners LP 4.000%  1/15/32  19,000     18,747
  TC PipeLines LP 3.900%  5/25/27  11,888     12,611
  Tennessee Gas Pipeline Co. LLC 7.000%  3/15/27   4,208      5,042
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28  12,227     14,900
  TotalEnergies Capital International SA 3.455%  2/19/29  29,711     30,948
  TotalEnergies Capital International SA 2.829%  1/10/30  32,157     32,263
  TotalEnergies Capital SA 3.883% 10/11/28  27,038     28,920
  TransCanada PipeLines Ltd. 4.250%  5/15/28  29,241     31,208
  TransCanada PipeLines Ltd. 4.100%  4/15/30  42,743     45,343
115

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  TransCanada PipeLines Ltd. 2.500% 10/12/31  35,675     33,461
  Transcontinental Gas Pipe Line Co. LLC 4.000%  3/15/28  16,720     17,656
  Transcontinental Gas Pipe Line Co. LLC 3.250%  5/15/30  22,553     22,671
  Valero Energy Corp. 2.150%  9/15/27  17,116     16,623
  Valero Energy Corp. 4.350%   6/1/28  21,554     22,979
  Valero Energy Corp. 4.000%   4/1/29  22,611     23,655
  Valero Energy Corp. 2.800%  12/1/31  18,825     17,789
  Valero Energy Partners LP 4.500%  3/15/28  16,934     18,081
  Williams Cos. Inc. 3.750%  6/15/27  37,609     39,207
  Williams Cos. Inc. 3.500% 11/15/30  35,348     35,947
  Williams Cos. Inc. 2.600%  3/15/31  43,810     41,447
                               3,301,774
Financials (29.0%)
  ACE Capital Trust II 9.700%   4/1/30   3,180      4,437
1 Aegon NV 5.500%  4/11/48  18,030     19,240
  AerCap Ireland Capital DAC 3.650%  7/21/27  31,124     31,641
  AerCap Ireland Capital DAC 4.625% 10/15/27  21,135     22,462
  AerCap Ireland Capital DAC 3.875%  1/23/28  17,224     17,507
  AerCap Ireland Capital DAC 3.000% 10/29/28  97,840     94,223
  AerCap Ireland Capital DAC 3.300%  1/30/32 103,960     98,620
  Affiliated Managers Group Inc. 3.300%  6/15/30  16,633     16,834
  Aflac Inc. 3.600%   4/1/30  43,522     46,283
1 Air Lease Corp. 3.750%   6/1/26   3,002      3,083
  Air Lease Corp. 3.625%   4/1/27  15,270     15,573
  Air Lease Corp. 3.625%  12/1/27  15,684     15,920
  Air Lease Corp. 2.100%   9/1/28  18,425     16,967
  Air Lease Corp. 4.625%  10/1/28  14,392     15,221
  Air Lease Corp. 3.250%  10/1/29  13,782     13,474
1 Air Lease Corp. 3.000%   2/1/30  18,745     17,903
  Air Lease Corp. 3.125%  12/1/30  19,455     18,676
  Air Lease Corp. 2.875%  1/15/32  20,000     18,732
  Alleghany Corp. 3.625%  5/15/30  13,124     13,393
  Allstate Corp. 1.450% 12/15/30  16,635     14,924
  Ally Financial Inc. 2.200%  11/2/28  18,815     17,644
1 Ally Financial Inc. 8.000%  11/1/31  68,803     90,599
  Ally Financial Inc. 8.000%  11/1/31   5,093      6,666
  American Equity Investment Life Holding Co. 5.000%  6/15/27  12,311     13,376
3 American Express Co. 3.300%   5/3/27  51,419     53,058
  American Financial Group Inc. 5.250%   4/2/30   6,798      7,676
  American International Group Inc. 4.200%   4/1/28  18,966     20,520
  American International Group Inc. 4.250%  3/15/29   9,980     10,771
  American International Group Inc. 3.400%  6/30/30  53,483     54,996
1 American International Group Inc. 5.750%   4/1/48  14,950     15,354
1 Andrew W Mellon Foundation 0.947%   8/1/27   7,920      7,417
  Aon Corp. 2.850%  5/28/27   7,000      7,052
  Aon Corp. 4.500% 12/15/28  15,796     17,217
  Aon Corp. 3.750%   5/2/29  16,842     17,651
  Aon Corp. 2.800%  5/15/30  31,666     31,185
  Aon Corp. 2.050%  8/23/31   5,140      4,722
  Aon Corp. 2.600%  12/2/31  12,120     11,568
  Ares Capital Corp. 2.875%  6/15/27   8,735      8,338
  Ares Capital Corp. 2.875%  6/15/28  24,821     22,998
  Ares Capital Corp. 3.200% 11/15/31  19,695     17,784
  Arthur J Gallagher & Co. 2.400%  11/9/31  10,505      9,860
  Assurant Inc. 4.900%  3/27/28   9,890     10,840
116

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Assurant Inc. 3.700%  2/22/30  10,829     11,050
  Assured Guaranty US Holdings Inc. 3.150%  6/15/31  13,090     12,981
  Athene Holding Ltd. 4.125%  1/12/28  28,819     30,260
  Athene Holding Ltd. 6.150%   4/3/30  19,793     23,094
  Athene Holding Ltd. 3.500%  1/15/31  22,974     22,945
  AXA SA 8.600% 12/15/30  32,396     43,713
  AXIS Specialty Finance LLC 3.900%  7/15/29  14,580     15,259
1 AXIS Specialty Finance LLC 4.900%  1/15/40   5,326      5,331
  AXIS Specialty Finance plc 4.000%  12/6/27   8,129      8,536
  Banco Santander SA 4.250%  4/11/27  28,853     30,481
  Banco Santander SA 3.800%  2/23/28  18,701     19,290
  Banco Santander SA 4.379%  4/12/28  27,103     28,761
  Banco Santander SA 3.306%  6/27/29  19,424     19,654
  Banco Santander SA 3.490%  5/28/30  34,554     34,680
  Banco Santander SA 2.749%  12/3/30  49,840     45,208
  Banco Santander SA 2.958%  3/25/31  17,696     16,990
  Banco Santander SA 3.225% 11/22/32  18,635     17,313
1 Bank of America Corp. 3.248% 10/21/27  58,025     59,362
1 Bank of America Corp. 3.705%  4/24/28  60,930     63,100
1 Bank of America Corp. 3.593%  7/21/28  63,874     65,952
1 Bank of America Corp. 3.419% 12/20/28 154,185    157,829
1 Bank of America Corp. 3.970%   3/5/29  66,200     69,311
1 Bank of America Corp. 2.087%  6/14/29 104,210     98,623
1 Bank of America Corp. 4.271%  7/23/29  76,015     81,039
1 Bank of America Corp. 3.974%   2/7/30  84,640     88,805
1 Bank of America Corp. 3.194%  7/23/30  70,912     70,996
1 Bank of America Corp. 2.884% 10/22/30  43,915     43,034
1 Bank of America Corp. 2.496%  2/13/31  83,457     79,512
1 Bank of America Corp. 2.592%  4/29/31  86,262     82,542
1 Bank of America Corp. 1.898%  7/23/31  87,256     79,053
1 Bank of America Corp. 1.922% 10/24/31  59,247     53,616
1 Bank of America Corp. 2.651%  3/11/32  51,972     49,677
  Bank of America Corp. 2.687%  4/22/32 144,723    139,155
  Bank of America Corp. 2.299%  7/21/32 109,130    101,268
  Bank of America Corp. 2.572% 10/20/32  72,639     68,922
  Bank of America Corp. 2.972%   2/4/33  68,378     67,006
  Bank of America Corp. 2.482%  9/21/36  53,895     48,878
1 Bank of Montreal 3.803% 12/15/32  21,312     21,837
  Bank of Montreal 3.088%  1/10/37  25,025     23,811
1 Bank of New York Mellon Corp. 3.250%  5/16/27  24,433     25,394
1 Bank of New York Mellon Corp. 3.400%  1/29/28  25,135     26,319
1 Bank of New York Mellon Corp. 3.442%   2/7/28       1          1
1 Bank of New York Mellon Corp. 3.850%  4/28/28   8,395      8,982
1 Bank of New York Mellon Corp. 1.650%  7/14/28   9,780      9,274
1 Bank of New York Mellon Corp. 3.000% 10/30/28   7,319      7,389
1 Bank of New York Mellon Corp. 3.300%  8/23/29  16,368     16,927
1 Bank of New York Mellon Corp. 1.650%  1/28/31   4,450      4,108
1 Bank of New York Mellon Corp. 1.800%  7/28/31  22,030     20,237
  Bank of New York Mellon Corp. 2.500%  1/26/32  11,580     11,269
  Bank of Nova Scotia 2.150%   8/1/31  18,995     17,741
  Bank of Nova Scotia 2.450%   2/2/32  16,248     15,417
  BankUnited Inc. 5.125%  6/11/30   7,871      8,409
  Barclays plc 4.375%  1/12/26     104        110
  Barclays plc 4.337%  1/10/28  39,028     41,252
  Barclays plc 4.836%   5/9/28  57,504     60,874
117

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Barclays plc 4.972%  5/16/29  47,775     51,926
1 Barclays plc 5.088%  6/20/30  26,375     28,227
  Barclays plc 2.645%  6/24/31  26,483     24,995
  Barclays plc 2.667%  3/10/32  16,015     15,016
  Barclays plc 2.894% 11/24/32  39,265     37,202
  Barclays plc 3.564%  9/23/35  29,440     28,132
  Berkshire Hathaway Finance Corp. 1.850%  3/12/30  14,962     14,188
  Berkshire Hathaway Finance Corp. 1.450% 10/15/30  17,077     15,619
  BlackRock Inc. 3.200%  3/15/27  22,793     23,760
  BlackRock Inc. 3.250%  4/30/29  18,200     19,021
  BlackRock Inc. 2.400%  4/30/30  24,736     24,153
  BlackRock Inc. 1.900%  1/28/31  31,815     29,546
  BlackRock Inc. 2.100%  2/25/32  14,406     13,484
3 Blackstone Private Credit Fund 3.250%  3/15/27  28,616     27,518
3 Blackstone Private Credit Fund 4.000%  1/15/29  14,785     14,253
  Blackstone Secured Lending Fund 3.625%  1/15/26     191        191
3 Blackstone Secured Lending Fund 2.850%  9/30/28  16,275     14,938
3 BPCE SA 3.250%  1/11/28   3,475      3,551
  Brighthouse Financial Inc. 5.625%  5/15/30  21,426     24,442
  Brookfield Finance I UK plc 2.340%  1/30/32   3,810      3,500
  Brookfield Finance Inc. 4.250%   6/2/26     268        286
  Brookfield Finance Inc. 3.900%  1/25/28  19,519     20,500
  Brookfield Finance Inc. 4.850%  3/29/29  26,063     28,719
  Brookfield Finance Inc. 4.350%  4/15/30  26,181     28,152
  Brookfield Finance Inc. 2.724%  4/15/31  12,812     12,243
  Brown & Brown Inc. 4.500%  3/15/29   8,634      9,304
  Brown & Brown Inc. 2.375%  3/15/31  18,907     17,574
  Capital One Financial Corp. 3.750%   3/9/27  50,613     52,891
  Capital One Financial Corp. 3.650%  5/11/27  24,326     25,226
  Capital One Financial Corp. 3.800%  1/31/28  42,373     44,187
  Capital One Financial Corp. 2.359%  7/29/32  14,825     13,289
  Capital One Financial Corp. 2.618%  11/2/32  12,880     12,059
  Cboe Global Markets Inc. 1.625% 12/15/30   9,090      8,197
  Charles Schwab Corp. 3.200%   3/2/27  14,320     14,853
  Charles Schwab Corp. 3.300%   4/1/27  19,051     19,857
  Charles Schwab Corp. 3.200%  1/25/28  25,516     26,559
  Charles Schwab Corp. 2.000%  3/20/28  34,795     33,793
  Charles Schwab Corp. 4.000%   2/1/29  16,919     18,255
  Charles Schwab Corp. 3.250%  5/22/29  20,962     21,580
  Charles Schwab Corp. 2.750%  10/1/29  13,988     13,965
  Charles Schwab Corp. 4.625%  3/22/30   2,708      3,071
  Charles Schwab Corp. 1.650%  3/11/31   6,991      6,348
  Charles Schwab Corp. 2.300%  5/13/31  39,828     38,132
  Charles Schwab Corp. 1.950%  12/1/31  17,995     16,616
  Chubb INA Holdings Inc. 1.375%  9/15/30  36,675     32,969
  CI Financial Corp. 3.200% 12/17/30  22,260     20,916
1 Cincinnati Financial Corp. 6.920%  5/15/28   7,721      9,572
  Citigroup Inc. 4.450%  9/29/27 103,686    110,785
  Citigroup Inc. 6.625%  1/15/28   8,707     10,409
1 Citigroup Inc. 3.668%  7/24/28  75,315     77,946
  Citigroup Inc. 4.125%  7/25/28  63,925     67,154
1 Citigroup Inc. 3.520% 10/27/28  58,183     59,789
1 Citigroup Inc. 4.075%  4/23/29  41,175     43,384
1 Citigroup Inc. 3.980%  3/20/30  49,076     51,670
1 Citigroup Inc. 2.976%  11/5/30  49,949     49,316
118

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Citigroup Inc. 2.666%  1/29/31  67,616     65,214
1 Citigroup Inc. 4.412%  3/31/31 110,613    120,075
1 Citigroup Inc. 2.572%   6/3/31 109,113    104,068
  Citigroup Inc. 2.561%   5/1/32  54,310     51,553
  Citigroup Inc. 2.520%  11/3/32  35,600     33,544
  Citigroup Inc. 3.057%  1/25/33  64,703     63,815
  Citizens Financial Group Inc. 2.500%   2/6/30  15,849     15,189
  Citizens Financial Group Inc. 3.250%  4/30/30  21,614     21,849
  CME Group Inc. 3.750%  6/15/28  13,089     14,016
  CNA Financial Corp. 3.450%  8/15/27  15,067     15,613
  CNA Financial Corp. 3.900%   5/1/29  14,598     15,515
  CNA Financial Corp. 2.050%  8/15/30   7,702      7,137
  CNO Financial Group Inc. 5.250%  5/30/29  12,941     13,993
  Comerica Inc. 4.000%   2/1/29  14,234     15,275
1 Deutsche Bank AG 3.547%  9/18/31  40,918     40,381
  Deutsche Bank AG 3.035%  5/28/32  37,265     35,007
1 Discover Bank 3.450%  7/27/26   1,289      1,326
1 Discover Bank 4.650%  9/13/28  34,687     37,653
1 Discover Bank 2.700%   2/6/30  14,570     14,042
  Eaton Vance Corp. 3.500%   4/6/27   7,633      7,906
  Enstar Group Ltd. 4.950%   6/1/29  23,615     25,272
  Enstar Group Ltd. 3.100%   9/1/31  12,707     11,856
  Equitable Holdings Inc. 7.000%   4/1/28   7,785      9,456
  Equitable Holdings Inc. 4.350%  4/20/28  39,119     41,881
  Fairfax Financial Holdings Ltd. 4.850%  4/17/28  15,361     16,392
  Fairfax Financial Holdings Ltd. 4.625%  4/29/30  16,712     18,069
  Fairfax Financial Holdings Ltd. 3.375%   3/3/31  16,250     16,143
  Fidelity National Financial Inc. 4.500%  8/15/28  14,666     15,677
  Fidelity National Financial Inc. 3.400%  6/15/30  18,259     18,300
  Fidelity National Financial Inc. 2.450%  3/15/31  15,631     14,565
  Fifth Third Bancorp 2.550%   5/5/27  24,019     23,961
  Fifth Third Bancorp 1.707%  11/1/27   2,473      2,373
  Fifth Third Bancorp 3.950%  3/14/28  16,091     17,071
  First American Financial Corp. 4.000%  5/15/30  11,442     11,894
  First American Financial Corp. 2.400%  8/15/31  17,418     15,913
1 First Horizon Bank 5.750%   5/1/30  11,805     13,619
  First-Citizens Bank & Trust Co. 6.125%   3/9/28  10,465     11,955
  Franklin Resources Inc. 1.600% 10/30/30  19,120     17,111
  FS KKR Capital Corp. 3.250%  7/15/27   6,702      6,439
  FS KKR Capital Corp. 3.125% 10/12/28  14,275     13,268
  GATX Corp. 3.850%  3/30/27  11,252     11,822
  GATX Corp. 3.500%  3/15/28   8,118      8,401
  GATX Corp. 4.550%  11/7/28  10,016     11,031
  GATX Corp. 4.700%   4/1/29   5,496      6,046
  GATX Corp. 4.000%  6/30/30  15,581     16,475
  GATX Corp. 1.900%   6/1/31  10,038      9,043
  Global Payments Inc. 4.450%   6/1/28  13,093     14,025
  Global Payments Inc. 3.200%  8/15/29  37,964     37,527
  Global Payments Inc. 2.900%  5/15/30  27,566     26,530
  Global Payments Inc. 2.900% 11/15/31  15,655     14,915
  Globe Life Inc. 4.550%  9/15/28  15,233     16,648
  Globe Life Inc. 2.150%  8/15/30   9,565      8,957
1 Goldman Sachs Group Inc. 3.691%   6/5/28  57,664     59,722
1 Goldman Sachs Group Inc. 3.814%  4/23/29  80,815     83,878
1 Goldman Sachs Group Inc. 4.223%   5/1/29  94,328     99,989
119

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Goldman Sachs Group Inc. 2.600%   2/7/30  38,740     37,251
  Goldman Sachs Group Inc. 3.800%  3/15/30  88,500     92,180
  Goldman Sachs Group Inc. 1.992%  1/27/32  55,013     49,623
  Goldman Sachs Group Inc. 2.615%  4/22/32 119,485    113,030
  Goldman Sachs Group Inc. 2.383%  7/21/32  93,155     86,371
  Goldman Sachs Group Inc. 2.650% 10/21/32  67,445     63,968
  Goldman Sachs Group Inc. 3.102%  2/24/33 106,165    104,431
  Hanover Insurance Group Inc. 4.500%  4/15/26     148        158
  Hanover Insurance Group Inc. 2.500%   9/1/30   7,525      7,204
  Hartford Financial Services Group Inc. 2.800%  8/19/29  16,010     15,870
1 HSBC Holdings plc 4.041%  3/13/28  64,800     67,167
1 HSBC Holdings plc 2.013%  9/22/28  48,036     45,092
1 HSBC Holdings plc 4.583%  6/19/29  91,263     97,409
  HSBC Holdings plc 2.206%  8/17/29  75,057     70,047
  HSBC Holdings plc 4.950%  3/31/30  61,628     68,345
1 HSBC Holdings plc 3.973%  5/22/30  72,302     74,570
1 HSBC Holdings plc 2.848%   6/4/31  32,881     31,415
1 HSBC Holdings plc 2.357%  8/18/31  31,454     28,862
  HSBC Holdings plc 2.804%  5/24/32 101,465     95,775
  HSBC Holdings plc 2.871% 11/22/32  39,975     37,927
  Huntington Bancshares Inc. 2.550%   2/4/30  23,309     22,667
3 Huntington Bancshares Inc. 2.487%  8/15/36   9,941      9,084
  ING Groep NV 3.950%  3/29/27  45,816     48,133
  ING Groep NV 4.550%  10/2/28  27,035     29,410
  ING Groep NV 4.050%   4/9/29  18,169     19,294
  ING Groep NV 2.727%   4/1/32  10,730     10,260
  Intercontinental Exchange Inc. 3.100%  9/15/27  11,646     11,959
  Intercontinental Exchange Inc. 3.750%  9/21/28  16,836     17,854
  Intercontinental Exchange Inc. 2.100%  6/15/30  22,991     21,702
3 Jackson Financial Inc. 3.125% 11/23/31  13,130     12,592
  Jefferies Group LLC 6.450%   6/8/27   6,360      7,453
  Jefferies Group LLC 4.150%  1/23/30  29,367     30,862
  Jefferies Group LLC 2.625% 10/15/31  20,495     19,056
  JPMorgan Chase & Co. 3.875%  9/10/24       1          1
  JPMorgan Chase & Co. 1.040%   2/4/27      82         77
  JPMorgan Chase & Co. 8.000%  4/29/27  15,960     19,864
  JPMorgan Chase & Co. 4.250%  10/1/27  43,685     46,713
  JPMorgan Chase & Co. 3.625%  12/1/27  34,394     35,603
1 JPMorgan Chase & Co. 3.540%   5/1/28  57,354     59,271
1 JPMorgan Chase & Co. 2.182%   6/1/28  41,187     39,821
1 JPMorgan Chase & Co. 3.509%  1/23/29  61,266     62,919
1 JPMorgan Chase & Co. 4.005%  4/23/29  56,394     59,432
  JPMorgan Chase & Co. 2.069%   6/1/29  62,433     59,146
1 JPMorgan Chase & Co. 4.203%  7/23/29  54,857     58,430
1 JPMorgan Chase & Co. 4.452%  12/5/29  81,317     87,866
1 JPMorgan Chase & Co. 3.702%   5/6/30  77,163     80,078
1 JPMorgan Chase & Co. 8.750%   9/1/30   1,993      2,799
1 JPMorgan Chase & Co. 2.739% 10/15/30  98,171     95,911
1 JPMorgan Chase & Co. 4.493%  3/24/31  68,833     75,556
1 JPMorgan Chase & Co. 2.522%  4/22/31  80,468     77,255
1 JPMorgan Chase & Co. 2.956%  5/13/31  73,544     71,398
  JPMorgan Chase & Co. 1.764% 11/19/31  35,780     32,150
  JPMorgan Chase & Co. 1.953%   2/4/32  80,507     73,423
  JPMorgan Chase & Co. 2.580%  4/22/32 107,912    103,399
  JPMorgan Chase & Co. 2.545%  11/8/32  84,000     80,262
120

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  JPMorgan Chase & Co. 2.963%  1/25/33  90,080     89,118
  Kemper Corp. 2.400%  9/30/30  10,087      9,210
  Kemper Corp. 3.800%  2/23/32   5,000      5,023
1 KeyBank NA 6.950%   2/1/28   7,918      9,585
1 KeyBank NA 3.900%  4/13/29   8,630      9,093
1 KeyCorp 2.250%   4/6/27  24,706     24,345
1 KeyCorp 4.100%  4/30/28  14,716     15,794
1 KeyCorp 2.550%  10/1/29  21,898     21,296
  Lazard Group LLC 3.625%   3/1/27  11,870     12,278
  Lazard Group LLC 4.500%  9/19/28  13,637     14,634
  Lazard Group LLC 4.375%  3/11/29   8,718      9,239
  Legg Mason Inc. 4.750%  3/15/26     510        555
  Lincoln National Corp. 3.800%   3/1/28  15,689     16,514
  Lincoln National Corp. 3.050%  1/15/30  10,835     10,774
  Lincoln National Corp. 3.400%  1/15/31  12,702     12,919
  Lloyds Banking Group plc 4.375%  3/22/28  46,101     49,143
  Lloyds Banking Group plc 4.550%  8/16/28  27,214     29,405
1 Lloyds Banking Group plc 3.574%  11/7/28  40,334     41,337
  Loews Corp. 3.200%  5/15/30  14,956     15,282
1 Manufacturers & Traders Trust Co. 3.400%  8/17/27  18,823     19,435
  Manulife Financial Corp. 2.484%  5/19/27  16,888     16,880
  Markel Corp. 3.500%  11/1/27   6,561      6,826
  Markel Corp. 3.350%  9/17/29   9,175      9,424
  Marsh & McLennan Cos. Inc. 4.375%  3/15/29  42,584     46,454
  Marsh & McLennan Cos. Inc. 2.250% 11/15/30  18,653     17,511
  Marsh & McLennan Cos. Inc. 2.375% 12/15/31  13,918     13,174
  Mastercard Inc. 3.300%  3/26/27  35,956     37,788
  Mastercard Inc. 3.500%  2/26/28  17,305     18,421
  Mastercard Inc. 2.950%   6/1/29  27,804     28,573
  Mastercard Inc. 3.350%  3/26/30  40,353     42,338
  Mastercard Inc. 1.900%  3/15/31  14,713     13,999
  Mastercard Inc. 2.000% 11/18/31  20,401     19,295
  Mercury General Corp. 4.400%  3/15/27   7,617      8,083
  MetLife Inc. 4.550%  3/23/30  29,488     33,102
  Mitsubishi UFJ Financial Group Inc. 3.287%  7/25/27  24,847     25,503
  Mitsubishi UFJ Financial Group Inc. 3.961%   3/2/28  33,926     35,884
  Mitsubishi UFJ Financial Group Inc. 4.050%  9/11/28  18,185     19,357
  Mitsubishi UFJ Financial Group Inc. 3.741%   3/7/29  40,500     42,350
  Mitsubishi UFJ Financial Group Inc. 3.195%  7/18/29  58,794     59,227
  Mitsubishi UFJ Financial Group Inc. 2.559%  2/25/30  34,782     33,398
  Mitsubishi UFJ Financial Group Inc. 2.048%  7/17/30  44,633     41,116
  Mitsubishi UFJ Financial Group Inc. 2.309%  7/20/32  58,224     54,082
  Mitsubishi UFJ Financial Group Inc. 2.494% 10/13/32  10,370      9,767
  Mitsubishi UFJ Financial Group Inc. 2.852%  1/19/33  12,200     11,817
  Mizuho Financial Group Inc. 3.170%  9/11/27  22,128     22,534
  Mizuho Financial Group Inc. 4.018%   3/5/28  27,980     29,545
1 Mizuho Financial Group Inc. 4.254%  9/11/29  15,753     16,834
1 Mizuho Financial Group Inc. 3.153%  7/16/30  25,967     25,940
1 Mizuho Financial Group Inc. 2.869%  9/13/30  24,165     23,693
1 Mizuho Financial Group Inc. 2.591%  5/25/31  15,794     15,099
1 Mizuho Financial Group Inc. 2.201%  7/10/31  36,213     33,519
1 Mizuho Financial Group Inc. 1.979%   9/8/31  28,994     26,324
  Mizuho Financial Group Inc. 2.564%  9/13/31  31,216     28,582
  Mizuho Financial Group Inc. 2.172%  5/22/32  10,136      9,290
  Mizuho Financial Group Inc. 2.260%   7/9/32   4,833      4,462
121

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Morgan Stanley 3.950%  4/23/27  57,214     60,054
  Morgan Stanley 1.593%   5/4/27     311        296
1 Morgan Stanley 3.591%  7/22/28  83,955     86,733
1 Morgan Stanley 3.772%  1/24/29  75,917     78,807
1 Morgan Stanley 4.431%  1/23/30  73,651     79,535
1 Morgan Stanley 2.699%  1/22/31  97,432     94,443
1 Morgan Stanley 3.622%   4/1/31  87,490     90,393
1 Morgan Stanley 1.794%  2/13/32  79,301     70,863
1 Morgan Stanley 1.928%  4/28/32  48,250     43,496
1 Morgan Stanley 2.239%  7/21/32  84,049     77,626
1 Morgan Stanley 2.511% 10/20/32  72,870     68,859
  Morgan Stanley 2.943%  1/21/33  65,750     64,364
  Morgan Stanley 2.484%  9/16/36  76,272     69,265
  Morgan Stanley Domestic Holdings Inc. 3.800%  8/24/27  10,592     11,077
  Morgan Stanley Domestic Holdings Inc. 4.500%  6/20/28  13,852     14,959
  Nasdaq Inc. 1.650%  1/15/31  16,385     14,457
1 National Australia Bank Ltd. 2.500%  7/12/26     373        378
1 NatWest Group plc 3.073%  5/22/28  31,522     31,526
1 NatWest Group plc 4.892%  5/18/29  44,820     48,828
1 NatWest Group plc 5.076%  1/27/30  44,805     49,372
1 NatWest Group plc 4.445%   5/8/30  30,349     32,353
1 NatWest Group plc 3.032% 11/28/35  20,321     18,794
  Nomura Holdings Inc. 2.172%  7/14/28  27,065     25,446
  Nomura Holdings Inc. 2.710%  1/22/29  12,830     12,371
  Nomura Holdings Inc. 3.103%  1/16/30  51,023     50,163
  Nomura Holdings Inc. 2.679%  7/16/30  10,457      9,900
  Nomura Holdings Inc. 2.608%  7/14/31  31,126     29,045
  Nomura Holdings Inc. 2.999%  1/22/32  36,645     35,290
  Northern Trust Corp. 3.650%   8/3/28  12,625     13,557
  Northern Trust Corp. 3.150%   5/3/29  14,520     15,109
  Northern Trust Corp. 1.950%   5/1/30  22,439     21,344
1 Northern Trust Corp. 3.375%   5/8/32   7,415      7,558
  ORIX Corp. 3.700%  7/18/27  11,219     11,759
  ORIX Corp. 2.250%   3/9/31  11,914     11,450
  Owl Rock Capital Corp. 2.875%  6/11/28  23,677     21,483
  PartnerRe Finance B LLC 3.700%   7/2/29  10,830     11,450
  PartnerRe Finance B LLC 4.500%  10/1/50  12,945     12,802
  PayPal Holdings Inc. 2.850%  10/1/29  38,009     37,882
  PayPal Holdings Inc. 2.300%   6/1/30  23,805     22,697
1 PNC Bank NA 3.100% 10/25/27  18,593     19,260
1 PNC Bank NA 3.250%  1/22/28  18,920     19,592
1 PNC Bank NA 4.050%  7/26/28  35,401     37,941
1 PNC Bank NA 2.700% 10/22/29  20,395     20,128
  PNC Financial Services Group Inc. 2.600%  7/23/26   4,381      4,442
  PNC Financial Services Group Inc. 3.150%  5/19/27  32,057     33,226
  PNC Financial Services Group Inc. 3.450%  4/23/29  42,978     45,111
  PNC Financial Services Group Inc. 2.550%  1/22/30  41,558     40,864
  PNC Financial Services Group Inc. 2.307%  4/23/32  29,290     27,907
  Primerica Inc. 2.800% 11/19/31  12,605     12,173
  Principal Financial Group Inc. 3.100% 11/15/26  10,228     10,462
  Principal Financial Group Inc. 3.700%  5/15/29  13,158     14,034
  Principal Financial Group Inc. 2.125%  6/15/30   9,014      8,526
  Progressive Corp. 4.000%   3/1/29  12,272     13,250
  Progressive Corp. 6.625%   3/1/29   2,517      3,119
  Progressive Corp. 3.200%  3/26/30  21,836     22,541
122

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Prospect Capital Corp. 3.437% 10/15/28   8,720      7,875
1 Prudential Financial Inc. 3.878%  3/27/28  11,463     12,250
1 Prudential Financial Inc. 2.100%  3/10/30  11,650     11,138
1 Prudential Financial Inc. 4.500%  9/15/47  15,017     14,509
1 Prudential Financial Inc. 5.700%  9/15/48  18,697     19,534
1 Prudential Financial Inc. 3.700%  10/1/50  24,389     22,400
  Prudential Financial Inc. 5.125%   3/1/52   2,000      2,018
  Prudential plc 3.125%  4/14/30  22,388     22,786
  Raymond James Financial Inc. 4.650%   4/1/30  27,461     30,208
  Regions Financial Corp. 1.800%  8/12/28  16,925     15,852
  Reinsurance Group of America Inc. 3.900%  5/15/29  13,930     14,579
  Reinsurance Group of America Inc. 3.150%  6/15/30  17,141     17,063
  RenaissanceRe Finance Inc. 3.450%   7/1/27   9,348      9,777
  RenaissanceRe Holdings Ltd. 3.600%  4/15/29   7,985      8,302
1 Royal Bank of Canada 2.300%  11/3/31  41,156     38,923
  Santander Holdings USA Inc. 4.400%  7/13/27  16,911     17,773
1 Santander UK Group Holdings plc 3.823%  11/3/28  22,064     22,662
  Santander UK Group Holdings plc 2.896%  3/15/32  19,075     18,176
1 State Street Corp. 4.141%  12/3/29  21,054     22,785
  State Street Corp. 2.400%  1/24/30  25,658     25,154
  State Street Corp. 2.200%   3/3/31  27,468     25,881
  State Street Corp. 3.152%  3/30/31  14,318     14,659
1 State Street Corp. 3.031%  11/1/34   5,855      5,819
  Stewart Information Services Corp. 3.600% 11/15/31  11,745     11,340
  Stifel Financial Corp. 4.000%  5/15/30   8,325      8,748
  Sumitomo Mitsui Financial Group Inc. 3.364%  7/12/27  13,611     14,068
  Sumitomo Mitsui Financial Group Inc. 3.352% 10/18/27  19,668     20,279
  Sumitomo Mitsui Financial Group Inc. 3.544%  1/17/28  20,850     21,636
  Sumitomo Mitsui Financial Group Inc. 3.944%  7/19/28  22,739     24,074
  Sumitomo Mitsui Financial Group Inc. 1.902%  9/17/28  53,900     50,488
  Sumitomo Mitsui Financial Group Inc. 4.306% 10/16/28  12,117     13,133
  Sumitomo Mitsui Financial Group Inc. 3.040%  7/16/29  73,267     73,126
  Sumitomo Mitsui Financial Group Inc. 3.202%  9/17/29  12,796     12,787
  Sumitomo Mitsui Financial Group Inc. 2.724%  9/27/29  16,235     15,882
  Sumitomo Mitsui Financial Group Inc. 2.750%  1/15/30  37,410     36,548
  Sumitomo Mitsui Financial Group Inc. 2.130%   7/8/30  46,310     43,122
  Sumitomo Mitsui Financial Group Inc. 2.142%  9/23/30  31,106     28,346
  Sumitomo Mitsui Financial Group Inc. 1.710%  1/12/31  16,675     14,851
  Sumitomo Mitsui Financial Group Inc. 2.222%  9/17/31  12,440     11,528
  SVB Financial Group 2.100%  5/15/28   8,955      8,573
  SVB Financial Group 3.125%   6/5/30  14,365     14,438
  SVB Financial Group 1.800%   2/2/31  15,179     13,746
  Synchrony Financial 3.950%  12/1/27  27,317     28,179
  Synchrony Financial 5.150%  3/19/29  12,975     14,191
  Synchrony Financial 2.875% 10/28/31  13,756     12,782
1 Toronto-Dominion Bank 2.000%  9/10/31  29,485     27,353
1 Toronto-Dominion Bank 2.450%  1/12/32  16,820     16,106
1 Truist Bank 2.250%  3/11/30  34,838     33,034
1 Truist Financial Corp. 1.125%   8/3/27  23,302     21,619
1 Truist Financial Corp. 3.875%  3/19/29  28,637     30,364
1 Truist Financial Corp. 1.887%   6/7/29  27,790     26,250
1 Truist Financial Corp. 1.950%   6/5/30   9,181      8,591
  Unum Group 4.000%  6/15/29  10,179     10,732
1 US Bancorp 3.150%  4/27/27  33,755     34,996
1 US Bancorp 3.900%  4/26/28  18,466     19,757
123

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 US Bancorp 3.000%  7/30/29  28,899     29,165
1 US Bancorp 1.375%  7/22/30  28,589     25,574
1 US Bancorp 2.677%  1/27/33  22,700     22,310
  US Bancorp 2.491%  11/3/36  33,005     30,780
  Visa Inc. 1.900%  4/15/27  41,056     40,444
  Visa Inc. 0.750%  8/15/27  14,719     13,636
  Visa Inc. 2.750%  9/15/27  24,886     25,537
  Visa Inc. 2.050%  4/15/30  33,488     32,317
  Visa Inc. 1.100%  2/15/31  21,362     18,928
1 Voya Financial Inc. 4.700%  1/23/48   9,126      8,686
  Webster Financial Corp. 4.100%  3/25/29   6,736      7,243
1 Wells Fargo & Co. 3.196%  6/17/27     384        390
1 Wells Fargo & Co. 4.300%  7/22/27  69,311     73,990
1 Wells Fargo & Co. 3.584%  5/22/28  88,202     91,074
1 Wells Fargo & Co. 2.393%   6/2/28  66,349     64,873
1 Wells Fargo & Co. 4.150%  1/24/29  53,055     56,538
1 Wells Fargo & Co. 2.879% 10/30/30  98,519     96,968
1 Wells Fargo & Co. 2.572%  2/11/31  80,188     76,970
1 Wells Fargo & Co. 4.478%   4/4/31  63,595     69,523
  Western Union Co. 2.750%  3/15/31   8,139      7,758
  Westpac Banking Corp. 1.150%   6/3/26     393        376
  Westpac Banking Corp. 3.350%   3/8/27  39,218     41,013
  Westpac Banking Corp. 3.400%  1/25/28  14,725     15,440
  Westpac Banking Corp. 1.953% 11/20/28  41,915     40,067
  Westpac Banking Corp. 2.650%  1/16/30  16,701     16,636
  Westpac Banking Corp. 2.150%   6/3/31  30,537     29,093
  Westpac Banking Corp. 4.110%  7/24/34  37,875     39,020
  Westpac Banking Corp. 2.668% 11/15/35  31,889     28,863
  Westpac Banking Corp. 3.020% 11/18/36  31,890     29,627
  Willis North America Inc. 4.500%  9/15/28  17,684     18,896
  Willis North America Inc. 2.950%  9/15/29  17,330     16,963
  Wintrust Financial Corp. 4.850%   6/6/29   5,018      5,284
  Zions Bancorp NA 3.250% 10/29/29  12,950     12,888
                              14,077,190
Health Care (8.6%)
4 Abbott Laboratories 1.150%  1/30/28  25,270     23,696
  Abbott Laboratories 1.400%  6/30/30  10,366      9,487
  AbbVie Inc. 4.250% 11/14/28  58,861     63,606
  AbbVie Inc. 3.200% 11/21/29 144,147    146,158
  Adventist Health System 2.952%   3/1/29   7,705      7,758
  Advocate Health & Hospitals Corp. 3.829%  8/15/28   7,359      7,902
1 Advocate Health & Hospitals Corp. 2.211%  6/15/30   9,893      9,527
  Agilent Technologies Inc. 2.750%  9/15/29   7,827      7,708
  Agilent Technologies Inc. 2.100%   6/4/30  13,833     12,819
  Agilent Technologies Inc. 2.300%  3/12/31  26,275     24,572
  AmerisourceBergen Corp. 3.450% 12/15/27  27,134     28,216
  AmerisourceBergen Corp. 2.800%  5/15/30   9,411      9,232
  AmerisourceBergen Corp. 2.700%  3/15/31  32,853     31,673
  Amgen Inc. 3.200%  11/2/27  19,625     20,250
  Amgen Inc. 1.650%  8/15/28  30,755     28,799
  Amgen Inc. 3.000%  2/22/29  10,000     10,127
  Amgen Inc. 2.450%  2/21/30  34,814     33,613
  Amgen Inc. 2.300%  2/25/31  38,803     36,682
  Amgen Inc. 2.000%  1/15/32  27,414     25,076
  Amgen Inc. 3.350%  2/22/32  35,014     35,710
124

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Anthem Inc. 3.650%  12/1/27  41,842     43,895
  Anthem Inc. 4.101%   3/1/28  28,974     30,997
  Anthem Inc. 2.875%  9/15/29  31,879     31,833
  Anthem Inc. 2.250%  5/15/30  29,436     27,880
  Anthem Inc. 2.550%  3/15/31  26,740     25,761
1 Ascension Health 2.532% 11/15/29  21,645     21,651
  AstraZeneca Finance LLC 1.750%  5/28/28  30,445     29,133
  AstraZeneca Finance LLC 2.250%  5/28/31  15,404     14,815
  AstraZeneca plc 3.125%  6/12/27  22,856     23,663
  AstraZeneca plc 4.000%  1/17/29  32,721     35,422
  AstraZeneca plc 1.375%   8/6/30  49,260     44,399
  Banner Health 2.338%   1/1/30   7,405      7,181
  Banner Health 1.897%   1/1/31   7,600      7,049
3 Baxter International Inc. 2.272%  12/1/28  35,135     33,845
  Baxter International Inc. 3.950%   4/1/30  12,116     13,039
  Baxter International Inc. 1.730%   4/1/31  11,650     10,520
3 Baxter International Inc. 2.539%   2/1/32  38,675     37,069
1 Baylor Scott & White Holdings 1.777% 11/15/30   5,990      5,510
  Becton Dickinson & Co. 3.700%   6/6/27  46,971     49,282
  Becton Dickinson & Co. 2.823%  5/20/30  15,326     15,088
  Becton Dickinson & Co. 1.957%  2/11/31  26,152     23,818
  Biogen Inc. 2.250%   5/1/30  32,526     29,773
2 Bio-Rad Laboratories Inc. 3.700%  3/15/32   9,750      9,812
1 Bon Secours Mercy Health Inc. 3.464%   6/1/30  10,663     11,138
1 Bon Secours Mercy Health Inc. 2.095%   6/1/31   1,835      1,704
  Boston Scientific Corp. 4.000%   3/1/28   1,945      2,087
  Boston Scientific Corp. 4.000%   3/1/29  27,903     29,683
  Boston Scientific Corp. 2.650%   6/1/30  40,617     39,427
  Bristol-Myers Squibb Co. 3.250%  2/27/27  10,000     10,459
  Bristol-Myers Squibb Co. 1.125% 11/13/27  10,960     10,309
  Bristol-Myers Squibb Co. 3.450% 11/15/27  41,895     44,197
  Bristol-Myers Squibb Co. 3.900%  2/20/28  48,147     51,801
  Bristol-Myers Squibb Co. 3.400%  7/26/29  94,386     99,379
  Bristol-Myers Squibb Co. 1.450% 11/13/30  38,646     34,987
2 Bristol-Myers Squibb Co. 2.950%  3/15/32   7,500      7,608
  Cardinal Health Inc. 3.410%  6/15/27  23,330     24,183
1 Cedars-Sinai Health System 2.288%  8/15/31   7,190      6,827
1 CHRISTUS Health 4.341%   7/1/28   8,398      8,984
1 Cigna Corp. 3.400%   3/1/27  37,073     38,411
1 Cigna Corp. 3.050% 10/15/27  12,642     12,874
  Cigna Corp. 4.375% 10/15/28  88,014     95,400
  Cigna Corp. 2.400%  3/15/30  51,605     49,040
  Cigna Corp. 2.375%  3/15/31  40,641     38,256
  CommonSpirit Health 3.347%  10/1/29  24,247     24,529
  CommonSpirit Health 2.782%  10/1/30  12,536     12,195
  CVS Health Corp. 3.625%   4/1/27  19,267     20,174
  CVS Health Corp. 6.250%   6/1/27   6,996      8,169
  CVS Health Corp. 1.300%  8/21/27  53,768     50,152
  CVS Health Corp. 4.300%  3/25/28  76,551     82,742
  CVS Health Corp. 3.250%  8/15/29  63,645     64,711
  CVS Health Corp. 3.750%   4/1/30  37,234     39,067
  CVS Health Corp. 1.750%  8/21/30  50,916     46,040
  CVS Health Corp. 1.875%  2/28/31  53,774     48,869
  CVS Health Corp. 2.125%  9/15/31  19,660     18,192
  DENTSPLY SIRONA Inc. 3.250%   6/1/30  19,357     19,477
125

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  DH Europe Finance II Sarl 2.600% 11/15/29  19,846     19,489
  Edwards Lifesciences Corp. 4.300%  6/15/28  14,993     16,243
  Eli Lilly & Co. 3.375%  3/15/29  10,886     11,487
  Gilead Sciences Inc. 2.950%   3/1/27  41,634     42,456
  Gilead Sciences Inc. 1.200%  10/1/27  21,060     19,594
  Gilead Sciences Inc. 1.650%  10/1/30   5,676      5,152
  GlaxoSmithKline Capital Inc. 3.875%  5/15/28  52,764     56,571
  GlaxoSmithKline Capital plc 3.375%   6/1/29  19,241     20,132
  HCA Inc. 4.500%  2/15/27  18,438     19,526
  HCA Inc. 4.125%  6/15/29  46,700     49,015
  HCA Inc. 2.375%  7/15/31  25,065     23,101
  Humana Inc. 1.350%   2/3/27   4,264      4,017
  Humana Inc. 3.950%  3/15/27  12,978     13,722
  Humana Inc. 3.125%  8/15/29  13,342     13,415
  Humana Inc. 4.875%   4/1/30  13,200     14,839
  Humana Inc. 2.150%   2/3/32   6,055      5,564
  Illumina Inc. 2.550%  3/23/31  13,130     12,401
  Johnson & Johnson 2.950%   3/3/27  39,023     40,475
  Johnson & Johnson 0.950%   9/1/27  38,348     36,147
  Johnson & Johnson 2.900%  1/15/28  35,866     37,082
  Johnson & Johnson 6.950%   9/1/29   3,764      4,988
  Johnson & Johnson 1.300%   9/1/30  40,782     37,409
  Kaiser Foundation Hospitals 3.150%   5/1/27  18,745     19,415
  Laboratory Corp. of America Holdings 3.600%   9/1/27   9,570     10,005
  Laboratory Corp. of America Holdings 2.950%  12/1/29  15,639     15,510
  Laboratory Corp. of America Holdings 2.700%   6/1/31  10,875     10,425
  Medtronic Global Holdings SCA 3.350%   4/1/27   9,383      9,778
  Merck & Co. Inc. 1.700%  6/10/27  39,770     38,745
  Merck & Co. Inc. 1.900% 12/10/28   7,210      6,991
  Merck & Co. Inc. 3.400%   3/7/29  44,303     46,636
  Merck & Co. Inc. 1.450%  6/24/30  28,178     25,737
  Merck & Co. Inc. 2.150% 12/10/31  75,185     71,820
1 Mercy Health 4.302%   7/1/28   7,985      8,597
  Mylan Inc. 4.550%  4/15/28  20,278     21,604
  Novartis Capital Corp. 3.100%  5/17/27  26,456     27,441
  Novartis Capital Corp. 2.200%  8/14/30  21,917     21,309
1 Ochsner LSU Health System of North Louisiana 2.510%  5/15/31   8,270      7,622
  OhioHealth Corp. 2.297% 11/15/31   7,930      7,541
  PerkinElmer Inc. 1.900%  9/15/28  13,740     12,898
  PerkinElmer Inc. 3.300%  9/15/29  26,247     26,421
  PerkinElmer Inc. 2.550%  3/15/31   9,987      9,511
  PerkinElmer Inc. 2.250%  9/15/31  10,575      9,677
  Pfizer Inc. 3.600%  9/15/28   8,002      8,571
  Pfizer Inc. 3.450%  3/15/29  63,363     66,880
  Pfizer Inc. 2.625%   4/1/30  34,773     34,827
  Pfizer Inc. 1.700%  5/28/30  31,291     29,182
  Pfizer Inc. 1.750%  8/18/31  30,510     28,274
  Pharmacia LLC 6.600%  12/1/28  14,929     18,419
1 Piedmont Healthcare Inc. 2.044%   1/1/32   2,725      2,498
1 Providence St. Joseph Health Obligated Group 2.532%  10/1/29  11,383     11,152
  Quest Diagnostics Inc. 4.200%  6/30/29  18,782     20,227
  Quest Diagnostics Inc. 2.950%  6/30/30  22,303     22,016
  Quest Diagnostics Inc. 2.800%  6/30/31   7,379      7,159
  Regeneron Pharmaceuticals Inc. 1.750%  9/15/30  35,606     31,792
  Royalty Pharma plc 1.750%   9/2/27  23,832     22,377
126

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Royalty Pharma plc 2.200%   9/2/30  29,202     26,543
  Royalty Pharma plc 2.150%   9/2/31  14,330     12,806
1 Rush Obligated Group 3.922% 11/15/29   7,766      8,322
  Sanofi 3.625%  6/19/28  23,543     25,423
  Smith & Nephew plc 2.032% 10/14/30  22,970     20,786
1 SSM Health Care Corp. 3.823%   6/1/27  12,277     13,093
1 Stanford Health Care 3.310%  8/15/30   7,680      7,980
  STERIS Irish FinCo Unltd. Co. 2.700%  3/15/31  26,560     25,230
  Stryker Corp. 3.650%   3/7/28  11,354     11,877
  Stryker Corp. 1.950%  6/15/30  28,237     26,140
1 Sutter Health 3.695%  8/15/28   9,199      9,718
1 Sutter Health 2.294%  8/15/30  17,700     16,635
  Takeda Pharmaceutical Co. Ltd. 5.000% 11/26/28  56,677     64,005
  Takeda Pharmaceutical Co. Ltd. 2.050%  3/31/30  53,686     49,758
  Thermo Fisher Scientific Inc. 1.750% 10/15/28  30,250     28,664
  Thermo Fisher Scientific Inc. 2.600%  10/1/29  18,947     18,725
  Thermo Fisher Scientific Inc. 2.000% 10/15/31  37,735     35,034
1 Toledo Hospital 5.325% 11/15/28   8,202      9,009
  UnitedHealth Group Inc. 3.450%  1/15/27      90         95
  UnitedHealth Group Inc. 3.375%  4/15/27  14,212     14,921
  UnitedHealth Group Inc. 2.950% 10/15/27  26,957     27,773
  UnitedHealth Group Inc. 3.850%  6/15/28  27,007     28,962
  UnitedHealth Group Inc. 3.875% 12/15/28  11,429     12,314
  UnitedHealth Group Inc. 2.875%  8/15/29  35,021     35,499
  UnitedHealth Group Inc. 2.000%  5/15/30  16,153     15,283
  UnitedHealth Group Inc. 2.300%  5/15/31  57,505     55,421
3 Universal Health Services Inc. 2.650% 10/15/30  21,064     19,848
3 Universal Health Services Inc. 2.650%  1/15/32   6,560      6,070
  Viatris Inc. 2.300%  6/22/27  24,114     23,198
  Viatris Inc. 2.700%  6/22/30  50,310     46,975
  Zimmer Biomet Holdings Inc. 3.550%  3/20/30  11,396     11,580
  Zimmer Biomet Holdings Inc. 2.600% 11/24/31  26,810     25,315
  Zoetis Inc. 3.000%  9/12/27  22,273     22,704
  Zoetis Inc. 3.900%  8/20/28  19,623     20,766
  Zoetis Inc. 2.000%  5/15/30   9,524      8,860
                               4,194,331
Industrials (6.8%)
  3M Co. 2.875% 10/15/27  21,273     21,842
1 3M Co. 3.625%  9/14/28   8,239      8,756
1 3M Co. 3.375%   3/1/29  21,696     22,646
  3M Co. 2.375%  8/26/29  39,344     38,509
  3M Co. 3.050%  4/15/30  12,662     12,956
  Acuity Brands Lighting Inc. 2.150% 12/15/30  12,777     11,810
  Allegion plc 3.500%  10/1/29  11,947     12,132
  Allegion US Holding Co. Inc. 3.550%  10/1/27   8,600      8,818
1 American Airlines Pass-Through Trust Class AA Series 2015-2 3.600%  9/22/27   2,829      2,844
1 American Airlines Pass-Through Trust Class AA Series 2016-1 3.575%  1/15/28   8,802      8,793
1 American Airlines Pass-Through Trust Class AA Series 2016-2 3.200%  6/15/28   9,792      9,618
1 American Airlines Pass-Through Trust Class AA Series 2016-3 3.000% 10/15/28   6,387      6,254
1 American Airlines Pass-Through Trust Class AA Series 2017-1 3.650%  2/15/29   8,901      8,986
1 American Airlines Pass-Through Trust Class AA Series 2017-2 3.350% 10/15/29  10,386     10,291
1 American Airlines Pass-Through Trust Class AA Series 2019-1 3.150%  2/15/32   1,783      1,735
  Amphenol Corp. 4.350%   6/1/29   9,553     10,373
  Amphenol Corp. 2.800%  2/15/30  26,246     25,821
  Amphenol Corp. 2.200%  9/15/31  13,879     12,833
127

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Boeing Co. 2.800%   3/1/27  15,526     15,323
  Boeing Co. 5.040%   5/1/27  51,148     55,613
  Boeing Co. 3.250%   2/1/28  16,776     16,819
  Boeing Co. 3.250%   3/1/28  19,381     19,413
  Boeing Co. 3.450%  11/1/28  16,944     17,063
  Boeing Co. 3.200%   3/1/29  23,745     23,476
  Boeing Co. 2.950%   2/1/30  32,579     31,413
  Boeing Co. 5.150%   5/1/30 113,136    124,861
  Boeing Co. 3.625%   2/1/31  41,710     42,075
  Burlington Northern Santa Fe LLC 3.250%  6/15/27  27,893     29,358
  Canadian National Railway Co. 6.900%  7/15/28   6,088      7,551
  Canadian Pacific Railway Co. 4.000%   6/1/28  10,228     10,951
  Canadian Pacific Railway Co. 2.050%   3/5/30  23,677     22,352
  Canadian Pacific Railway Co. 7.125% 10/15/31   4,540      5,990
  Canadian Pacific Railway Co. 2.450%  12/2/31  33,790     32,436
  Carrier Global Corp. 2.722%  2/15/30  77,750     75,608
  Carrier Global Corp. 2.700%  2/15/31  20,210     19,542
1 Caterpillar Financial Services Corp. 1.100%  9/14/27  18,255     17,159
  Caterpillar Inc. 2.600%  9/19/29   7,820      7,830
  Caterpillar Inc. 2.600%   4/9/30  30,891     30,873
  Caterpillar Inc. 1.900%  3/12/31   6,751      6,448
  CH Robinson Worldwide Inc. 4.200%  4/15/28  13,879     15,043
1 CNH Industrial NV 3.850% 11/15/27  19,086     19,983
  CSX Corp. 3.250%   6/1/27  24,941     25,807
  CSX Corp. 3.800%   3/1/28  19,881     21,030
  CSX Corp. 4.250%  3/15/29  25,541     27,806
  CSX Corp. 2.400%  2/15/30   8,104      7,858
  Cummins Inc. 1.500%   9/1/30  21,991     19,776
  Deere & Co. 5.375% 10/16/29   5,895      7,012
  Deere & Co. 3.100%  4/15/30  29,611     30,638
3 Delta Air Lines Inc. 4.750% 10/20/28  21,000     21,882
1 Delta Air Lines Pass-Through Trust Class AA Series 2020-1 2.000%  6/10/28  15,390     14,649
  Dover Corp. 2.950%  11/4/29   7,564      7,651
  Eaton Corp. 3.103%  9/15/27  15,826     16,322
  Emerson Electric Co. 1.800% 10/15/27  17,206     16,590
  Emerson Electric Co. 2.000% 12/21/28  26,005     25,105
  Emerson Electric Co. 1.950% 10/15/30   6,628      6,193
  Emerson Electric Co. 2.200% 12/21/31  37,965     36,090
  FedEx Corp. 3.400%  2/15/28  17,105     17,801
  FedEx Corp. 4.200% 10/17/28  10,697     11,699
  FedEx Corp. 3.100%   8/5/29  20,906     21,213
  FedEx Corp. 4.250%  5/15/30  22,581     24,574
  FedEx Corp. 2.400%  5/15/31  23,750     22,582
  Flowserve Corp. 3.500%  10/1/30  14,371     14,239
  General Dynamics Corp. 3.500%   4/1/27  17,486     18,416
  General Dynamics Corp. 2.625% 11/15/27  13,618     13,816
  General Dynamics Corp. 3.750%  5/15/28  25,537     27,174
  General Dynamics Corp. 3.625%   4/1/30  29,369     31,269
  General Dynamics Corp. 2.250%   6/1/31   4,614      4,479
  Honeywell International Inc. 1.100%   3/1/27   7,955      7,522
  Honeywell International Inc. 2.700%  8/15/29  14,436     14,551
  Honeywell International Inc. 1.950%   6/1/30  35,280     33,278
  Honeywell International Inc. 1.750%   9/1/31  60,250     55,558
  Huntington Ingalls Industries Inc. 3.483%  12/1/27  10,741     11,012
3 Huntington Ingalls Industries Inc. 2.043%  8/16/28   8,940      8,415
128

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Huntington Ingalls Industries Inc. 4.200%   5/1/30  17,360     18,589
  IDEX Corp. 3.000%   5/1/30  22,301     22,082
1 John Deere Capital Corp. 1.750%   3/9/27  24,321     23,787
1 John Deere Capital Corp. 2.800%   9/8/27  17,164     17,596
1 John Deere Capital Corp. 3.050%   1/6/28   8,395      8,697
1 John Deere Capital Corp. 1.500%   3/6/28  10,793     10,312
1 John Deere Capital Corp. 3.450%   3/7/29  12,582     13,300
1 John Deere Capital Corp. 2.800%  7/18/29  14,050     14,260
1 John Deere Capital Corp. 2.450%   1/9/30  28,934     28,595
  John Deere Capital Corp. 1.450%  1/15/31  11,480     10,468
  Johnson Controls International plc 1.750%  9/15/30  17,560     16,063
  Johnson Controls International plc 2.000%  9/16/31   8,970      8,171
  Kansas City Southern 2.875% 11/15/29  11,108     11,037
  Kennametal Inc. 4.625%  6/15/28   7,178      7,712
  Keysight Technologies Inc. 4.600%   4/6/27  12,196     13,315
  Keysight Technologies Inc. 3.000% 10/30/29  17,324     17,338
  Kirby Corp. 4.200%   3/1/28  12,915     13,336
  L3Harris Technologies Inc. 4.400%  6/15/28  23,307     25,195
1 L3Harris Technologies Inc. 4.400%  6/15/28  27,442     29,676
  L3Harris Technologies Inc. 1.800%  1/15/31  15,870     14,358
  Lennox International Inc. 1.700%   8/1/27   6,954      6,629
  Lockheed Martin Corp. 1.850%  6/15/30  19,501     18,276
3 Mileage Plus Holdings LLC 6.500%  6/20/27  16,000     16,881
  Norfolk Southern Corp. 7.800%  5/15/27   4,517      5,674
  Norfolk Southern Corp. 3.150%   6/1/27  12,330     12,715
  Norfolk Southern Corp. 3.800%   8/1/28  17,671     18,707
  Norfolk Southern Corp. 2.550%  11/1/29  15,221     15,066
  Norfolk Southern Corp. 2.300%  5/15/31  11,890     11,443
  Northrop Grumman Corp. 3.250%  1/15/28  40,861     41,936
  Northrop Grumman Corp. 4.400%   5/1/30  40,455     44,591
3 Northrop Grumman Corp. 7.750%  2/15/31   5,502      7,383
  nVent Finance Sarl 4.550%  4/15/28  12,496     13,406
  nVent Finance Sarl 2.750% 11/15/31   6,545      6,215
  Oshkosh Corp. 4.600%  5/15/28   7,520      8,086
  Oshkosh Corp. 3.100%   3/1/30   8,245      8,079
  Otis Worldwide Corp. 2.293%   4/5/27  16,778     16,543
  Otis Worldwide Corp. 2.565%  2/15/30  36,095     34,995
  Parker-Hannifin Corp. 3.250%   3/1/27  18,502     19,156
  Parker-Hannifin Corp. 3.250%  6/14/29  27,574     28,118
  Pentair Finance Sarl 4.500%   7/1/29   8,791      9,500
  Raytheon Technologies Corp. 3.500%  3/15/27  35,484     37,080
  Raytheon Technologies Corp. 3.125%   5/4/27  34,817     35,898
  Raytheon Technologies Corp. 7.200%  8/15/27   3,118      3,844
  Raytheon Technologies Corp. 4.125% 11/16/28  89,274     96,504
  Raytheon Technologies Corp. 2.250%   7/1/30  20,691     19,658
  Raytheon Technologies Corp. 1.900%   9/1/31  29,545     26,998
  Republic Services Inc. 3.375% 11/15/27  23,371     24,142
  Republic Services Inc. 3.950%  5/15/28  12,229     13,004
  Republic Services Inc. 2.300%   3/1/30  19,589     18,668
  Republic Services Inc. 1.450%  2/15/31   8,287      7,319
  Republic Services Inc. 1.750%  2/15/32  13,990     12,476
  Rockwell Automation Inc. 3.500%   3/1/29  11,426     12,086
  Rockwell Automation Inc. 1.750%  8/15/31   5,285      4,837
1 Ryder System Inc. 2.850%   3/1/27   2,000      2,006
  Southwest Airlines Co. 3.000% 11/15/26   9,695      9,810
129

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Southwest Airlines Co. 5.125%  6/15/27  50,043     55,544
  Southwest Airlines Co. 3.450% 11/16/27   3,855      3,969
  Southwest Airlines Co. 2.625%  2/10/30  14,360     13,725
1 Spirit Airlines Pass-Through Trust Class A Series 2015-1 4.100%   4/1/28   2,068      2,077
  Teledyne Technologies Inc. 2.250%   4/1/28  19,965     19,413
  Teledyne Technologies Inc. 2.750%   4/1/31  29,313     28,199
  Textron Inc. 3.650%  3/15/27  14,728     15,268
  Textron Inc. 3.375%   3/1/28   9,918     10,127
  Textron Inc. 3.900%  9/17/29  12,781     13,464
  Textron Inc. 3.000%   6/1/30   8,573      8,435
  Textron Inc. 2.450%  3/15/31   8,030      7,540
  Timken Co. 4.500% 12/15/28   8,451      9,081
  Trane Technologies Global Holding Co. Ltd. 3.750%  8/21/28  15,292     15,948
  Trane Technologies Luxembourg Finance SA 3.800%  3/21/29  18,568     19,497
  Trimble Inc. 4.900%  6/15/28  15,763     16,976
  Tyco Electronics Group SA 3.125%  8/15/27  16,530     16,982
  Tyco Electronics Group SA 2.500%   2/4/32  15,000     14,587
  Union Pacific Corp. 2.150%   2/5/27   9,239      9,142
  Union Pacific Corp. 3.000%  4/15/27  13,056     13,439
  Union Pacific Corp. 3.950%  9/10/28  28,751     30,934
  Union Pacific Corp. 6.625%   2/1/29     675        844
  Union Pacific Corp. 3.700%   3/1/29  15,785     16,743
  Union Pacific Corp. 2.400%   2/5/30  20,775     20,268
  Union Pacific Corp. 2.375%  5/20/31  20,840     20,222
  Union Pacific Corp. 2.800%  2/14/32   9,000      9,024
  Union Pacific Corp. 2.891%   4/6/36   6,000      5,850
1 United Airlines Pass-Through Trust Class A Series 2016-1 3.450%   7/7/28   3,310      3,218
1 United Airlines Pass-Through Trust Class A Series 2020-1 5.875% 10/15/27  72,889     76,821
1 United Airlines Pass-Through Trust Class AA Series 2015-1 3.450%  12/1/27   6,184      6,260
1 United Airlines Pass-Through Trust Class AA Series 2016-1 3.100%   7/7/28   9,646      9,540
1 United Airlines Pass-Through Trust Class AA Series 2016-2 2.875%  10/7/28   7,733      7,578
1 United Airlines Pass-Through Trust Class AA Series 2018-1 3.500%   3/1/30   3,649      3,693
1 United Airlines Pass-Through Trust Class AA Series 2019-1 4.150%  8/25/31   7,497      7,892
  United Parcel Service Inc. 3.050% 11/15/27  26,655     27,817
  United Parcel Service Inc. 3.400%  3/15/29  22,872     24,133
  United Parcel Service Inc. 2.500%   9/1/29  14,792     14,739
  United Parcel Service Inc. 4.450%   4/1/30  19,984     22,554
  United Rentals North America Inc. 3.875% 11/15/27  18,000     18,258
1 US Airways Pass-Through Trust Class A Series 2012-1 5.900%  10/1/24     535        559
  Vontier Corp. 2.400%   4/1/28  12,990     11,926
  Vontier Corp. 2.950%   4/1/31  15,802     14,351
  Waste Connections Inc. 4.250%  12/1/28   8,634      9,295
  Waste Connections Inc. 3.500%   5/1/29  15,770     16,316
  Waste Connections Inc. 2.600%   2/1/30  18,322     17,789
  Waste Connections Inc. 2.200%  1/15/32   4,410      4,092
  Waste Management Inc. 3.150% 11/15/27  28,891     29,729
  Waste Management Inc. 1.150%  3/15/28  15,120     13,812
  Waste Management Inc. 2.000%   6/1/29   5,580      5,314
  Waste Management Inc. 1.500%  3/15/31  27,238     24,383
  Westinghouse Air Brake Technologies Corp. 4.950%  9/15/28  32,657     35,472
  Xylem Inc. 1.950%  1/30/28  17,591     16,825
  Xylem Inc. 2.250%  1/30/31  11,877     11,172
                               3,326,656
Materials (3.0%)
  Air Products and Chemicals Inc. 1.850%  5/15/27  15,616     15,295
130

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Air Products and Chemicals Inc. 2.050%  5/15/30  19,189     18,339
  Amcor Finance USA Inc. 4.500%  5/15/28   9,750     10,751
1 Amcor Flexibles North America Inc. 3.100%  9/15/26   6,123      6,209
  Amcor Flexibles North America Inc. 2.630%  6/19/30  23,301     22,515
  Amcor Flexibles North America Inc. 2.690%  5/25/31   7,517      7,234
  AngloGold Ashanti Holdings plc 3.375%  11/1/28  19,075     17,930
  AngloGold Ashanti Holdings plc 3.750%  10/1/30  18,590     17,563
  ArcelorMittal SA 4.250%  7/16/29  17,960     18,404
  Cabot Corp. 4.000%   7/1/29   6,075      6,412
  Carlisle Cos. Inc. 3.750%  12/1/27  11,912     12,435
  Carlisle Cos. Inc. 2.750%   3/1/30  17,244     16,733
  Celanese US Holdings LLC 1.400%   8/5/26   8,800      8,277
  Celulosa Arauco y Constitucion SA 3.875%  11/2/27  12,343     12,654
  Dow Chemical Co. 4.800% 11/30/28  16,130     18,007
  Dow Chemical Co. 7.375%  11/1/29   8,020     10,384
  Dow Chemical Co. 2.100% 11/15/30  42,782     39,914
  DuPont de Nemours Inc. 4.725% 11/15/28  41,825     46,323
  Eagle Materials Inc. 2.500%   7/1/31  19,685     18,403
  Eastman Chemical Co. 4.500%  12/1/28  12,367     13,404
  Ecolab Inc. 3.250%  12/1/27  13,022     13,643
  Ecolab Inc. 4.800%  3/24/30  19,041     21,852
  Ecolab Inc. 1.300%  1/30/31   7,103      6,322
  Ecolab Inc. 2.125%   2/1/32  18,730     17,669
  EI du Pont de Nemours & Co. 2.300%  7/15/30  11,641     11,237
  FMC Corp. 3.450%  10/1/29  16,137     16,286
  Freeport-McMoRan Inc. 5.000%   9/1/27   7,000      7,218
  Freeport-McMoRan Inc. 4.125%   3/1/28  18,100     18,297
  Freeport-McMoRan Inc. 4.375%   8/1/28  16,000     16,258
  Freeport-McMoRan Inc. 5.250%   9/1/29  14,500     15,195
  Freeport-McMoRan Inc. 4.250%   3/1/30  15,660     15,772
  Freeport-McMoRan Inc. 4.625%   8/1/30  20,185     20,802
3 Georgia-Pacific LLC 2.100%  4/30/27   4,700      4,583
  Georgia-Pacific LLC 7.750% 11/15/29  11,017     14,671
3 Georgia-Pacific LLC 2.300%  4/30/30   6,650      6,399
  Georgia-Pacific LLC 8.875%  5/15/31   3,787      5,495
  Huntsman International LLC 4.500%   5/1/29  18,124     19,224
  Huntsman International LLC 2.950%  6/15/31  12,170     11,651
  International Flavors & Fragrances Inc. 4.450%  9/26/28   6,936      7,525
  Kinross Gold Corp. 4.500%  7/15/27  11,729     12,615
  Linde Inc. 1.100%  8/10/30  13,990     12,453
  LYB International Finance III LLC 2.250%  10/1/30  15,580     14,638
  Martin Marietta Materials Inc. 3.450%   6/1/27   6,548      6,819
  Martin Marietta Materials Inc. 3.500% 12/15/27  20,536     21,579
1 Martin Marietta Materials Inc. 2.500%  3/15/30  15,305     14,674
  Martin Marietta Materials Inc. 2.400%  7/15/31  18,126     17,062
  Mosaic Co. 4.050% 11/15/27  17,184     18,157
  NewMarket Corp. 2.700%  3/18/31   8,875      8,543
  Newmont Corp. 2.800%  10/1/29  20,650     20,195
  Newmont Corp. 2.250%  10/1/30  25,993     24,321
  Nucor Corp. 3.950%   5/1/28  12,266     13,035
  Nucor Corp. 2.700%   6/1/30  15,337     15,090
  Nutrien Ltd. 4.200%   4/1/29  13,854     15,019
  Nutrien Ltd. 2.950%  5/13/30  21,957     21,985
  Packaging Corp. of America 3.400% 12/15/27  12,223     12,731
  Packaging Corp. of America 3.000% 12/15/29   9,430      9,430
131

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PPG Industries Inc. 3.750%  3/15/28  16,163     17,357
  PPG Industries Inc. 2.800%  8/15/29   9,594      9,581
  PPG Industries Inc. 2.550%  6/15/30  14,026     13,682
  Reliance Steel & Aluminum Co. 2.150%  8/15/30   8,449      7,834
  Rio Tinto Alcan Inc. 7.250%  3/15/31   4,400      5,849
  Rio Tinto Finance USA Ltd. 7.125%  7/15/28  17,779     22,249
  Rohm & Haas Co. 7.850%  7/15/29  14,660     19,230
  RPM International Inc. 3.750%  3/15/27  14,532     15,297
  RPM International Inc. 4.550%   3/1/29  15,718     17,059
  RPM International Inc. 2.950%  1/15/32   8,298      8,089
  Sherwin-Williams Co. 3.450%   6/1/27  11,722     12,196
  Sherwin-Williams Co. 2.950%  8/15/29  39,058     39,169
  Sherwin-Williams Co. 2.300%  5/15/30  20,102     19,083
  Sonoco Products Co. 3.125%   5/1/30  15,749     15,734
  Steel Dynamics Inc. 1.650% 10/15/27  11,296     10,635
  Steel Dynamics Inc. 3.450%  4/15/30  26,529     26,981
  Steel Dynamics Inc. 3.250%  1/15/31  24,098     24,065
  Suzano Austria GmbH 6.000%  1/15/29  46,018     50,564
  Suzano Austria GmbH 5.000%  1/15/30  34,404     35,388
  Suzano Austria GmbH 3.750%  1/15/31  24,302     22,939
1 Suzano Austria GmbH 3.125%  1/15/32  32,600     28,955
  Teck Resources Ltd. 3.900%  7/15/30  14,390     14,729
  Vale Overseas Ltd. 3.750%   7/8/30  40,488     39,992
  Vulcan Materials Co. 3.900%   4/1/27  11,057     11,651
  Vulcan Materials Co. 3.500%   6/1/30  18,885     19,563
  Westlake Corp. 3.375%  6/15/30   7,855      7,960
  WestRock MWV LLC 8.200%  1/15/30   5,293      6,988
  WestRock MWV LLC 7.950%  2/15/31   3,085      4,132
  WRKCo Inc. 3.375%  9/15/27  14,165     14,631
  WRKCo Inc. 4.000%  3/15/28  14,340     15,213
  WRKCo Inc. 3.900%   6/1/28  21,533     22,468
  WRKCo Inc. 4.900%  3/15/29  34,863     38,700
                               1,463,594
Real Estate (7.1%)
  Agree LP 2.000%  6/15/28   7,855      7,402
  Agree LP 2.900%  10/1/30  10,193      9,871
  Alexandria Real Estate Equities Inc. 4.300%  1/15/26     448        478
  Alexandria Real Estate Equities Inc. 3.800%  4/15/26     224        236
  Alexandria Real Estate Equities Inc. 3.950%  1/15/28  10,304     10,943
  Alexandria Real Estate Equities Inc. 4.500%  7/30/29   7,441      8,204
  Alexandria Real Estate Equities Inc. 2.750% 12/15/29  17,178     16,993
  Alexandria Real Estate Equities Inc. 4.700%   7/1/30  14,883     16,639
  Alexandria Real Estate Equities Inc. 4.900% 12/15/30  26,260     30,118
  Alexandria Real Estate Equities Inc. 3.375%  8/15/31   7,746      7,917
  American Assets Trust LP 3.375%   2/1/31  13,016     12,617
  American Campus Communities Operating Partnership LP 3.300%  7/15/26     373        384
  American Campus Communities Operating Partnership LP 3.625% 11/15/27  14,165     14,672
  American Campus Communities Operating Partnership LP 2.250%  1/15/29   9,720      9,142
  American Campus Communities Operating Partnership LP 2.850%   2/1/30  10,813     10,489
  American Campus Communities Operating Partnership LP 3.875%  1/30/31   6,808      7,099
  American Homes 4 Rent LP 4.250%  2/15/28  17,189     18,138
  American Homes 4 Rent LP 4.900%  2/15/29   9,927     10,918
  American Homes 4 Rent LP 2.375%  7/15/31  14,365     13,182
  American Tower Corp. 3.125%  1/15/27   9,705      9,808
  American Tower Corp. 3.550%  7/15/27  15,898     16,353
132

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  American Tower Corp. 3.600%  1/15/28  22,263     22,852
  American Tower Corp. 1.500%  1/31/28  17,824     16,338
  American Tower Corp. 3.950%  3/15/29  18,658     19,377
  American Tower Corp. 3.800%  8/15/29  38,613     39,910
  American Tower Corp. 2.900%  1/15/30  20,945     20,220
  American Tower Corp. 2.100%  6/15/30  17,835     16,172
  American Tower Corp. 1.875% 10/15/30  15,534     13,763
  American Tower Corp. 2.700%  4/15/31  21,220     19,999
  American Tower Corp. 2.300%  9/15/31  22,475     20,422
1 AvalonBay Communities Inc. 3.350%  5/15/27  11,454     11,927
1 AvalonBay Communities Inc. 3.200%  1/15/28  10,325     10,617
  AvalonBay Communities Inc. 1.900%  12/1/28  16,500     15,726
1 AvalonBay Communities Inc. 3.300%   6/1/29  10,648     11,036
1 AvalonBay Communities Inc. 2.300%   3/1/30  17,384     16,813
1 AvalonBay Communities Inc. 2.450%  1/15/31  11,585     11,275
  AvalonBay Communities Inc. 2.050%  1/15/32   1,570      1,464
  Boston Properties LP 4.500%  12/1/28   8,225      8,973
  Boston Properties LP 3.400%  6/21/29  22,543     23,040
  Boston Properties LP 2.900%  3/15/30  15,612     15,222
  Boston Properties LP 3.250%  1/30/31  33,187     33,129
  Brandywine Operating Partnership LP 3.950% 11/15/27  11,872     12,391
  Brandywine Operating Partnership LP 4.550%  10/1/29  10,107     10,841
  Brixmor Operating Partnership LP 3.900%  3/15/27   7,028      7,326
  Brixmor Operating Partnership LP 2.250%   4/1/28   7,075      6,722
  Brixmor Operating Partnership LP 4.125%  5/15/29  16,998     17,942
  Brixmor Operating Partnership LP 4.050%   7/1/30  32,718     34,232
  Brixmor Operating Partnership LP 2.500%  8/16/31  13,105     12,087
  Broadstone Net Lease LLC 2.600%  9/15/31  12,100     11,186
  Camden Property Trust 4.100% 10/15/28   7,957      8,607
  Camden Property Trust 3.150%   7/1/29  25,448     25,969
  Camden Property Trust 2.800%  5/15/30  17,726     17,565
  CBRE Services Inc. 2.500%   4/1/31  12,930     12,240
  Corporate Office Properties LP 2.250%  3/15/26     432        425
  Corporate Office Properties LP 2.000%  1/15/29  14,865     13,710
  Corporate Office Properties LP 2.750%  4/15/31  14,528     13,616
  Crown Castle International Corp. 4.000%   3/1/27  12,408     13,026
  Crown Castle International Corp. 3.650%   9/1/27  20,886     21,622
  Crown Castle International Corp. 3.800%  2/15/28  29,652     30,819
  Crown Castle International Corp. 4.300%  2/15/29  20,285     21,583
  Crown Castle International Corp. 3.100% 11/15/29  15,019     14,783
  Crown Castle International Corp. 3.300%   7/1/30  22,757     22,570
  Crown Castle International Corp. 2.250%  1/15/31  29,390     26,755
  Crown Castle International Corp. 2.100%   4/1/31  28,002     25,223
  Crown Castle International Corp. 2.500%  7/15/31  21,715     20,162
  CubeSmart LP 2.250% 12/15/28  15,635     14,863
  CubeSmart LP 4.375%  2/15/29   9,836     10,637
  CubeSmart LP 3.000%  2/15/30   3,561      3,533
  CubeSmart LP 2.000%  2/15/31  15,702     14,297
  CubeSmart LP 2.500%  2/15/32  15,225     14,261
  CyrusOne LP 3.450% 11/15/29  15,878     16,822
  CyrusOne LP 2.150%  11/1/30  10,550     10,245
  Digital Realty Trust LP 3.700%  8/15/27  12,847     13,454
  Digital Realty Trust LP 4.450%  7/15/28  17,221     18,579
  Digital Realty Trust LP 3.600%   7/1/29  37,182     38,273
  Duke Realty LP 3.375% 12/15/27  13,244     13,707
133

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Duke Realty LP 4.000%  9/15/28  12,704     13,617
  Duke Realty LP 2.875% 11/15/29  10,114     10,109
  Duke Realty LP 1.750%   7/1/30  11,964     10,865
  Duke Realty LP 1.750%   2/1/31   6,990      6,305
  Duke Realty LP 2.250%  1/15/32  13,160     12,334
  EPR Properties 4.500%   6/1/27  14,899     15,185
  EPR Properties 3.750%  8/15/29  22,553     21,723
  EPR Properties 3.600% 11/15/31   4,312      4,046
  Equinix Inc. 1.800%  7/15/27  22,729     21,480
  Equinix Inc. 1.550%  3/15/28  12,876     11,834
  Equinix Inc. 2.000%  5/15/28  12,370     11,597
  Equinix Inc. 3.200% 11/18/29  24,286     23,969
  Equinix Inc. 2.150%  7/15/30  27,323     24,926
  Equinix Inc. 2.500%  5/15/31  28,095     25,984
  ERP Operating LP 3.250%   8/1/27  11,144     11,540
  ERP Operating LP 3.500%   3/1/28  17,674     18,610
  ERP Operating LP 4.150%  12/1/28   8,637      9,344
  ERP Operating LP 3.000%   7/1/29  13,698     13,856
  ERP Operating LP 2.500%  2/15/30  20,733     20,303
  ERP Operating LP 1.850%   8/1/31  13,270     12,235
  Essential Properties LP 2.950%  7/15/31  10,464      9,639
  Essex Portfolio LP 3.375%  4/15/26     830        854
  Essex Portfolio LP 3.625%   5/1/27  10,843     11,378
  Essex Portfolio LP 1.700%   3/1/28   7,657      7,235
  Essex Portfolio LP 4.000%   3/1/29  10,181     10,840
  Essex Portfolio LP 3.000%  1/15/30  21,471     21,383
  Essex Portfolio LP 1.650%  1/15/31   9,234      8,187
  Essex Portfolio LP 2.550%  6/15/31   2,060      1,965
  Extra Space Storage LP 2.550%   6/1/31  11,710     11,049
  Federal Realty Investment Trust 3.250%  7/15/27  10,457     10,796
  Federal Realty Investment Trust 3.200%  6/15/29   8,505      8,632
  Federal Realty Investment Trust 3.500%   6/1/30  12,336     12,659
  GLP Capital LP 5.750%   6/1/28  15,756     17,426
  GLP Capital LP 5.300%  1/15/29  21,185     23,050
  GLP Capital LP 4.000%  1/15/30  22,003     22,183
  GLP Capital LP 4.000%  1/15/31  20,758     20,990
  GLP Capital LP 3.250%  1/15/32   7,220      6,789
  Healthcare Realty Trust Inc. 3.625%  1/15/28  11,571     11,893
  Healthcare Realty Trust Inc. 2.400%  3/15/30  11,519     10,883
  Healthcare Realty Trust Inc. 2.050%  3/15/31   7,580      6,938
  Healthcare Trust of America Holdings LP 3.500%   8/1/26   1,028      1,065
  Healthcare Trust of America Holdings LP 3.750%   7/1/27  13,386     14,078
  Healthcare Trust of America Holdings LP 3.100%  2/15/30  14,486     14,287
  Healthcare Trust of America Holdings LP 2.000%  3/15/31  25,276     22,842
  Healthpeak Properties Inc. 3.250%  7/15/26   5,581      5,774
  Healthpeak Properties Inc. 2.125%  12/1/28   3,890      3,729
  Healthpeak Properties Inc. 3.500%  7/15/29  14,614     15,125
  Healthpeak Properties Inc. 3.000%  1/15/30  29,694     29,621
  Healthpeak Properties Inc. 2.875%  1/15/31  15,162     14,903
  Highwoods Realty LP 3.875%   3/1/27  12,541     13,236
  Highwoods Realty LP 4.125%  3/15/28   9,469     10,075
  Highwoods Realty LP 4.200%  4/15/29  11,846     12,523
  Highwoods Realty LP 3.050%  2/15/30  13,666     13,486
  Highwoods Realty LP 2.600%   2/1/31   2,269      2,147
1 Host Hotels & Resorts LP 3.375% 12/15/29  16,899     16,657
134

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Host Hotels & Resorts LP 3.500%  9/15/30  15,091     14,766
1 Host Hotels & Resorts LP 2.900% 12/15/31  16,967     15,680
  Hudson Pacific Properties LP 3.950%  11/1/27   5,857      6,094
  Hudson Pacific Properties LP 4.650%   4/1/29  14,356     15,579
  Hudson Pacific Properties LP 3.250%  1/15/30  13,865     13,829
  Invitation Homes Operating Partnership LP 2.300% 11/15/28  15,600     14,745
  Invitation Homes Operating Partnership LP 2.000%  8/15/31  19,625     17,445
  Kilroy Realty LP 4.750% 12/15/28  11,533     12,694
  Kilroy Realty LP 4.250%  8/15/29   8,749      9,297
  Kilroy Realty LP 3.050%  2/15/30  15,636     15,370
  Kimco Realty Corp. 3.800%   4/1/27  11,190     11,755
  Kimco Realty Corp. 1.900%   3/1/28  14,282     13,463
  Kimco Realty Corp. 2.700%  10/1/30   8,175      7,934
  Kimco Realty Corp. 2.250%  12/1/31   1,530      1,412
  Kite Realty Group Trust 4.750%  9/15/30  10,408     11,191
  Life Storage LP 3.875% 12/15/27   9,883     10,479
  Life Storage LP 4.000%  6/15/29  12,785     13,556
  Life Storage LP 2.200% 10/15/30   9,960      9,221
  Life Storage LP 2.400% 10/15/31  15,025     13,945
  LifeStorage LP 3.500%   7/1/26     455        473
  LXP Industrial Trust 2.700%  9/15/30   9,849      9,382
  LXP Industrial Trust 2.375%  10/1/31   9,424      8,702
  Mid-America Apartments LP 3.600%   6/1/27   8,837      9,294
  Mid-America Apartments LP 4.200%  6/15/28  11,901     12,822
  Mid-America Apartments LP 3.950%  3/15/29  26,335     28,157
  Mid-America Apartments LP 2.750%  3/15/30   6,600      6,510
  Mid-America Apartments LP 1.700%  2/15/31   4,055      3,658
  National Health Investors Inc. 3.000%   2/1/31  14,008     12,921
  National Retail Properties Inc. 3.500% 10/15/27  10,654     11,117
  National Retail Properties Inc. 4.300% 10/15/28  15,905     17,031
  National Retail Properties Inc. 2.500%  4/15/30   7,784      7,468
  Office Properties Income Trust 2.650%  6/15/26     136        130
  Office Properties Income Trust 3.450% 10/15/31  10,485      9,609
  Omega Healthcare Investors Inc. 5.250%  1/15/26     225        242
  Omega Healthcare Investors Inc. 4.500%   4/1/27  16,231     17,132
  Omega Healthcare Investors Inc. 4.750%  1/15/28  15,039     15,819
  Omega Healthcare Investors Inc. 3.625%  10/1/29  19,542     19,245
  Omega Healthcare Investors Inc. 3.375%   2/1/31  12,996     12,309
  Phillips Edison Grocery Center Operating Partnership I LP 2.625% 11/15/31  10,033      9,338
  Physicians Realty LP 4.300%  3/15/27   9,704     10,416
  Physicians Realty LP 3.950%  1/15/28   7,837      8,225
  Physicians Realty LP 2.625%  11/1/31  28,391     26,718
  Piedmont Operating Partnership LP 3.150%  8/15/30   7,644      7,466
  Prologis LP 2.125%  4/15/27  27,583     27,142
  Prologis LP 3.875%  9/15/28  10,290     10,979
  Prologis LP 4.375%   2/1/29   6,702      7,380
  Prologis LP 2.250%  4/15/30  23,774     22,839
  Prologis LP 1.250% 10/15/30  19,050     16,810
  Prologis LP 1.625%  3/15/31   9,642      8,759
  Public Storage 3.094%  9/15/27  14,846     15,399
  Public Storage 1.850%   5/1/28  11,132     10,628
  Public Storage 1.950%  11/9/28  15,155     14,499
  Public Storage 3.385%   5/1/29  14,113     14,682
  Public Storage 2.300%   5/1/31   4,068      3,904
  Public Storage 2.250%  11/9/31  38,175     36,311
135

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Rayonier LP 2.750%  5/17/31   9,600      9,164
  Realty Income Corp. 4.875%   6/1/26     377        411
  Realty Income Corp. 4.125% 10/15/26   8,076      8,573
  Realty Income Corp. 3.950%  8/15/27  15,663     16,652
  Realty Income Corp. 3.400%  1/15/28  20,621     21,284
  Realty Income Corp. 3.650%  1/15/28  13,967     14,583
  Realty Income Corp. 2.200%  6/15/28  10,628     10,290
  Realty Income Corp. 3.250%  6/15/29  13,999     14,350
  Realty Income Corp. 3.100% 12/15/29  10,883     10,981
  Realty Income Corp. 3.250%  1/15/31  23,845     24,234
  Regency Centers LP 4.125%  3/15/28  10,315     11,029
  Regency Centers LP 2.950%  9/15/29  13,548     13,373
  Regency Centers LP 3.700%  6/15/30  10,585     11,043
  Rexford Industrial Realty LP 2.125%  12/1/30   6,746      6,099
  Rexford Industrial Realty LP 2.150%   9/1/31  14,080     12,657
  Sabra Health Care LP 3.900% 10/15/29  12,128     12,105
  Sabra Health Care LP 3.200%  12/1/31   9,490      8,810
  Safehold Operating Partnership LP 2.800%  6/15/31  10,965     10,216
  Simon Property Group LP 3.300%  1/15/26     360        369
  Simon Property Group LP 3.375%  6/15/27  13,581     14,024
  Simon Property Group LP 3.375%  12/1/27  23,292     24,022
  Simon Property Group LP 1.750%   2/1/28  23,225     21,847
  Simon Property Group LP 2.450%  9/13/29  27,255     26,337
  Simon Property Group LP 2.650%  7/15/30  25,939     25,251
  Simon Property Group LP 2.200%   2/1/31  19,322     18,023
  Simon Property Group LP 2.250%  1/15/32  40,950     37,958
  Simon Property Group LP 2.650%   2/1/32   2,500      2,404
  SITE Centers Corp. 4.700%   6/1/27   8,944      9,560
  Spirit Realty LP 3.200%  1/15/27       9          9
  Spirit Realty LP 2.100%  3/15/28  16,324     15,356
  Spirit Realty LP 4.000%  7/15/29  16,294     16,948
  Spirit Realty LP 3.400%  1/15/30  10,431     10,410
  Spirit Realty LP 3.200%  2/15/31   4,195      4,109
  Spirit Realty LP 2.700%  2/15/32   1,545      1,453
  STORE Capital Corp. 4.500%  3/15/28   7,636      8,153
  STORE Capital Corp. 4.625%  3/15/29   7,327      7,865
  STORE Capital Corp. 2.750% 11/18/30  13,506     12,745
  STORE Capital Corp. 2.700%  12/1/31   9,455      8,763
  Sun Communities Operating LP 2.300%  11/1/28   7,175      6,765
  Sun Communities Operating LP 2.700%  7/15/31  32,573     30,642
  Tanger Properties LP 3.875%  7/15/27   7,713      7,976
  Tanger Properties LP 2.750%   9/1/31   9,215      8,362
1 UDR Inc. 3.500%   7/1/27   6,271      6,548
1 UDR Inc. 3.500%  1/15/28   8,442      8,689
1 UDR Inc. 4.400%  1/26/29  11,758     12,702
1 UDR Inc. 3.200%  1/15/30  13,599     13,633
  UDR Inc. 3.000%  8/15/31  14,867     14,655
  Ventas Realty LP 3.850%   4/1/27   8,593      9,057
  Ventas Realty LP 4.000%   3/1/28  12,368     13,143
  Ventas Realty LP 4.400%  1/15/29  23,682     25,677
  Ventas Realty LP 3.000%  1/15/30  16,060     15,881
  Ventas Realty LP 4.750% 11/15/30   8,605      9,614
  Ventas Realty LP 2.500%   9/1/31   2,655      2,504
  Vornado Realty LP 3.400%   6/1/31   9,975      9,650
  Welltower Inc. 4.250%   4/1/26     682        726
136

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Welltower Inc. 2.700%  2/15/27   7,185      7,240
  Welltower Inc. 4.250%  4/15/28  25,211     27,064
  Welltower Inc. 4.125%  3/15/29  12,897     13,806
  Welltower Inc. 3.100%  1/15/30  22,840     22,854
  Welltower Inc. 2.750%  1/15/31  27,691     26,813
  Welltower Inc. 2.800%   6/1/31  11,737     11,364
  Welltower Inc. 2.750%  1/15/32   8,600      8,239
  Weyerhaeuser Co. 6.950%  10/1/27   4,574      5,505
  Weyerhaeuser Co. 4.000% 11/15/29  17,637     18,800
  Weyerhaeuser Co. 4.000%  4/15/30  33,068     35,104
  WP Carey Inc. 3.850%  7/15/29   8,577      8,984
  WP Carey Inc. 2.400%   2/1/31  13,914     13,065
                               3,432,623
Technology (8.5%)
  Adobe Inc. 2.300%   2/1/30  30,678     29,895
  Amdocs Ltd. 2.538%  6/15/30  11,870     11,190
  Analog Devices Inc. 1.700%  10/1/28  22,745     21,649
  Analog Devices Inc. 2.100%  10/1/31  28,105     26,803
  Apple Inc. 3.200%  5/11/27  57,111     59,840
  Apple Inc. 3.000%  6/20/27  23,122     24,062
  Apple Inc. 2.900%  9/12/27  60,879     62,780
  Apple Inc. 3.000% 11/13/27  38,657     40,168
  Apple Inc. 1.200%   2/8/28  65,487     61,540
  Apple Inc. 1.400%   8/5/28  59,785     56,436
  Apple Inc. 2.200%  9/11/29  49,666     48,739
  Apple Inc. 1.650%  5/11/30  43,975     41,123
  Apple Inc. 1.250%  8/20/30  29,802     26,861
  Apple Inc. 1.650%   2/8/31  76,777     71,261
  Apple Inc. 1.700%   8/5/31  25,475     23,622
  Applied Materials Inc. 3.300%   4/1/27  26,956     28,156
  Applied Materials Inc. 1.750%   6/1/30  20,621     19,302
  Arrow Electronics Inc. 3.875%  1/12/28  13,082     13,611
  Autodesk Inc. 3.500%  6/15/27  12,321     12,832
  Autodesk Inc. 2.850%  1/15/30  21,030     20,547
  Autodesk Inc. 2.400% 12/15/31  26,385     24,444
  Automatic Data Processing Inc. 1.700%  5/15/28  31,045     29,928
  Automatic Data Processing Inc. 1.250%   9/1/30  21,930     19,735
  Avnet Inc. 3.000%  5/15/31   7,940      7,561
  Broadcom Corp. 3.500%  1/15/28  21,515     21,979
  Broadcom Inc. 3.459%  9/15/26   3,794      3,907
3 Broadcom Inc. 1.950%  2/15/28  13,195     12,460
  Broadcom Inc. 4.110%  9/15/28  45,080     47,379
  Broadcom Inc. 4.750%  4/15/29  57,595     62,599
  Broadcom Inc. 5.000%  4/15/30  45,284     50,048
  Broadcom Inc. 4.150% 11/15/30  54,590     57,245
3 Broadcom Inc. 2.450%  2/15/31  60,580     55,959
  Broadridge Financial Solutions Inc. 2.900%  12/1/29  18,287     18,014
  Broadridge Financial Solutions Inc. 2.600%   5/1/31  27,735     26,082
  CDW LLC 4.250%   4/1/28   8,819      8,726
  CDW LLC 3.250%  2/15/29  11,649     10,855
  CDW LLC 3.569%  12/1/31  24,550     23,908
3 CGI Inc. 2.300%  9/14/31  10,503      9,701
  Cintas Corp. No. 2 3.700%   4/1/27  25,907     27,355
  Citrix Systems Inc. 4.500%  12/1/27  18,505     19,140
  Citrix Systems Inc. 3.300%   3/1/30  19,776     19,857
137

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Dell Inc. 7.100%  4/15/28   2,000      2,334
  Dell International LLC 6.100%  7/15/27  14,431     16,626
  Dell International LLC 5.300%  10/1/29  54,106     60,565
  Dell International LLC 6.200%  7/15/30  22,789     26,984
  DXC Technology Co. 2.375%  9/15/28  23,100     21,939
  Equifax Inc. 3.100%  5/15/30  14,455     14,319
  Equifax Inc. 2.350%  9/15/31  27,355     25,153
  Fidelity National Information Services Inc. 1.650%   3/1/28  20,935     19,398
  Fidelity National Information Services Inc. 3.750%  5/21/29  16,567     17,125
  Fidelity National Information Services Inc. 2.250%   3/1/31  35,170     32,163
  Fiserv Inc. 2.250%   6/1/27  22,888     22,383
  Fiserv Inc. 4.200%  10/1/28  30,384     32,403
  Fiserv Inc. 3.500%   7/1/29  73,722     74,823
  Fiserv Inc. 2.650%   6/1/30  24,377     23,260
  Flex Ltd. 4.875%  6/15/29  21,437     23,194
  Flex Ltd. 4.875%  5/12/30  12,729     13,746
  Fortinet Inc. 2.200%  3/15/31  13,095     12,046
  HP Inc. 3.000%  6/17/27  25,521     25,741
  HP Inc. 3.400%  6/17/30  26,205     26,447
  HP Inc. 2.650%  6/17/31  29,028     27,243
  Hubbell Inc. 3.150%  8/15/27   6,503      6,655
  Hubbell Inc. 3.500%  2/15/28  11,479     11,905
  Hubbell Inc. 2.300%  3/15/31   7,445      7,068
  IHS Markit Ltd. 4.750%   8/1/28  13,722     15,372
  IHS Markit Ltd. 4.250%   5/1/29  17,311     18,878
  Intel Corp. 3.750%  3/25/27  25,487     27,116
  Intel Corp. 3.150%  5/11/27  22,322     23,137
  Intel Corp. 1.600%  8/12/28  25,600     24,278
  Intel Corp. 2.450% 11/15/29  50,319     49,285
  Intel Corp. 3.900%  3/25/30  35,141     37,895
  Intel Corp. 2.000%  8/12/31  38,545     35,912
  International Business Machines Corp. 1.700%  5/15/27  29,833     28,684
  International Business Machines Corp. 6.220%   8/1/27   5,864      6,964
  International Business Machines Corp. 6.500%  1/15/28   6,345      7,682
  International Business Machines Corp. 3.500%  5/15/29  74,413     77,919
  International Business Machines Corp. 1.950%  5/15/30  38,442     36,094
  International Business Machines Corp. 2.720%   2/9/32   6,500      6,407
  Intuit Inc. 1.350%  7/15/27  16,618     15,720
  Intuit Inc. 1.650%  7/15/30   9,695      8,908
  Jabil Inc. 3.950%  1/12/28  14,191     14,834
  Jabil Inc. 3.600%  1/15/30  12,595     12,758
  Jabil Inc. 3.000%  1/15/31  15,074     14,430
  Juniper Networks Inc. 3.750%  8/15/29  17,245     17,790
  Juniper Networks Inc. 2.000% 12/10/30  15,754     14,115
  KLA Corp. 4.100%  3/15/29  20,075     21,649
3 Kyndryl Holdings Inc. 2.700% 10/15/28  12,460     11,525
3 Kyndryl Holdings Inc. 3.150% 10/15/31  17,600     15,981
  Lam Research Corp. 4.000%  3/15/29  23,636     25,634
  Lam Research Corp. 1.900%  6/15/30  19,735     18,474
  Leidos Inc. 4.375%  5/15/30  20,909     22,210
  Leidos Inc. 2.300%  2/15/31  27,157     24,765
  Marvell Technology Inc. 2.450%  4/15/28  18,370     17,720
1 Marvell Technology Inc. 4.875%  6/22/28  14,352     15,683
  Marvell Technology Inc. 2.950%  4/15/31  19,052     18,400
  Maxim Integrated Products Inc. 3.450%  6/15/27   9,885     10,328
138

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Micron Technology Inc. 5.327%   2/6/29  12,646     14,131
  Micron Technology Inc. 4.663%  2/15/30  20,625     22,366
  Moody's Corp. 3.250%  1/15/28  15,656     16,239
  Moody's Corp. 4.250%   2/1/29  10,350     11,203
  Moody's Corp. 2.000%  8/19/31  16,130     14,815
  Motorola Solutions Inc. 4.600%  2/23/28  27,388     29,553
  Motorola Solutions Inc. 4.600%  5/23/29  15,882     17,138
  Motorola Solutions Inc. 2.300% 11/15/30  26,091     23,982
  Motorola Solutions Inc. 2.750%  5/24/31  14,855     14,030
  NetApp Inc. 2.375%  6/22/27  14,680     14,513
  NetApp Inc. 2.700%  6/22/30  17,496     16,936
  NVIDIA Corp. 1.550%  6/15/28  32,765     30,909
  NVIDIA Corp. 2.850%   4/1/30  38,940     39,426
  NVIDIA Corp. 2.000%  6/15/31  36,015     33,882
3 NXP BV 3.150%   5/1/27  15,859     16,070
3 NXP BV 5.550%  12/1/28  14,139     16,147
3 NXP BV 4.300%  6/18/29  27,016     28,852
3 NXP BV 3.400%   5/1/30  23,335     23,540
3 NXP BV 2.500%  5/11/31  34,900     32,485
3 NXP BV 2.650%  2/15/32  23,025     21,685
  Oracle Corp. 2.800%   4/1/27  68,583     68,173
  Oracle Corp. 3.250% 11/15/27  65,924     66,759
  Oracle Corp. 2.300%  3/25/28  52,279     49,749
  Oracle Corp. 2.950%   4/1/30  82,394     79,671
  Oracle Corp. 3.250%  5/15/30  12,067     11,906
  Oracle Corp. 2.875%  3/25/31  90,089     85,996
  Qorvo Inc. 4.375% 10/15/29  20,500     20,913
  QUALCOMM Inc. 3.250%  5/20/27  47,285     49,287
  QUALCOMM Inc. 1.300%  5/20/28  24,092     22,407
  QUALCOMM Inc. 2.150%  5/20/30  32,673     31,366
  Quanta Services Inc. 2.900%  10/1/30  25,640     24,586
  Quanta Services Inc. 2.350%  1/15/32     710        643
  RELX Capital Inc. 4.000%  3/18/29  20,383     21,723
  RELX Capital Inc. 3.000%  5/22/30  21,729     21,746
  Roper Technologies Inc. 1.400%  9/15/27  25,873     24,171
  Roper Technologies Inc. 4.200%  9/15/28  15,406     16,455
  Roper Technologies Inc. 2.950%  9/15/29  24,844     24,606
  Roper Technologies Inc. 2.000%  6/30/30  14,185     12,961
  Roper Technologies Inc. 1.750%  2/15/31  41,810     37,090
  S&P Global Inc. 2.500%  12/1/29  18,342     18,002
  S&P Global Inc. 1.250%  8/15/30  15,710     13,962
  salesforce.com Inc. 3.700%  4/11/28  37,894     40,438
  salesforce.com Inc. 1.500%  7/15/28  33,350     31,495
  salesforce.com Inc. 1.950%  7/15/31  43,360     40,885
  ServiceNow Inc. 1.400%   9/1/30  38,694     34,122
  Skyworks Solutions Inc. 3.000%   6/1/31  28,607     26,690
3 TD SYNNEX Corp. 2.375%   8/9/28  13,080     12,187
3 TD SYNNEX Corp. 2.650%   8/9/31  15,835     14,229
  Teledyne FLIR LLC 2.500%   8/1/30  13,439     12,701
  Texas Instruments Inc. 2.900%  11/3/27   9,649     10,006
  Texas Instruments Inc. 2.250%   9/4/29  18,895     18,635
  Texas Instruments Inc. 1.750%   5/4/30  18,729     17,653
  Texas Instruments Inc. 1.900%  9/15/31  14,075     13,277
  TSMC Arizona Corp. 2.500% 10/25/31  32,100     30,616
  Verisk Analytics Inc. 4.125%  3/15/29  24,201     25,802
139

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  VMware Inc. 4.650%  5/15/27  22,957     24,855
  VMware Inc. 3.900%  8/21/27  27,524     28,787
  VMware Inc. 1.800%  8/15/28  22,830     21,162
  VMware Inc. 4.700%  5/15/30  31,256     34,313
  VMware Inc. 2.200%  8/15/31  42,610     38,995
  Western Digital Corp. 2.850%   2/1/29  13,095     12,472
  Western Digital Corp. 3.100%   2/1/32   2,000      1,858
  Xilinx Inc. 2.375%   6/1/30  19,388     18,684
                               4,147,302
Utilities (7.1%)
  AEP Texas Inc. 3.950%   6/1/28  17,700     18,650
1 AEP Texas Inc. 2.100%   7/1/30  16,353     15,099
  AES Corp. 2.450%  1/15/31  24,535     22,707
1 Alabama Power Co. 1.450%  9/15/30  12,749     11,391
  Ameren Corp. 1.950%  3/15/27   7,600      7,343
  Ameren Corp. 1.750%  3/15/28  15,935     14,923
  Ameren Corp. 3.500%  1/15/31  22,401     22,913
  Ameren Illinois Co. 3.800%  5/15/28   7,849      8,372
  Ameren Illinois Co. 1.550% 11/15/30   7,829      7,059
  American Electric Power Co. Inc. 3.200% 11/13/27   9,866     10,078
1 American Electric Power Co. Inc. 4.300%  12/1/28  13,700     14,706
  American Electric Power Co. Inc. 2.300%   3/1/30  10,106      9,491
  American Water Capital Corp. 2.950%   9/1/27   7,132      7,267
  American Water Capital Corp. 3.750%   9/1/28  12,268     12,923
  American Water Capital Corp. 3.450%   6/1/29  23,406     24,164
  American Water Capital Corp. 2.800%   5/1/30  15,290     15,101
  American Water Capital Corp. 2.300%   6/1/31  16,015     15,117
1 Appalachian Power Co. 3.300%   6/1/27   7,164      7,426
1 Appalachian Power Co. 2.700%   4/1/31  28,235     27,277
  Arizona Public Service Co. 2.950%  9/15/27   4,459      4,514
  Arizona Public Service Co. 2.600%  8/15/29  15,517     15,075
  Atlantic City Electric Co. 4.000% 10/15/28   6,477      6,855
  Atlantic City Electric Co. 2.300%  3/15/31  13,610     13,097
  Atmos Energy Corp. 3.000%  6/15/27  15,846     16,287
  Atmos Energy Corp. 2.625%  9/15/29  11,402     11,170
  Atmos Energy Corp. 1.500%  1/15/31  13,970     12,354
  Avangrid Inc. 3.800%   6/1/29  19,071     19,930
  Baltimore Gas & Electric Co. 2.250%  6/15/31  12,715     12,088
  Berkshire Hathaway Energy Co. 3.250%  4/15/28  25,981     26,908
  Berkshire Hathaway Energy Co. 3.700%  7/15/30  18,375     19,425
  Berkshire Hathaway Energy Co. 1.650%  5/15/31  16,650     14,993
  Black Hills Corp. 3.050% 10/15/29  14,781     14,662
  Black Hills Corp. 2.500%  6/15/30   9,392      8,845
1 CenterPoint Energy Houston Electric LLC 2.350%   4/1/31   9,705      9,361
1 CenterPoint Energy Houston Electric LLC 3.000%   3/1/32   3,000      3,043
  CenterPoint Energy Inc. 4.250%  11/1/28  13,030     13,937
  CenterPoint Energy Inc. 2.950%   3/1/30  17,560     17,356
  CenterPoint Energy Inc. 2.650%   6/1/31  21,320     20,412
  CenterPoint Energy Resources Corp. 4.000%   4/1/28   7,381      7,770
  CenterPoint Energy Resources Corp. 1.750%  10/1/30  10,500      9,481
  Cleco Corporate Holdings LLC 3.375%  9/15/29   2,760      2,725
  CMS Energy Corp. 3.450%  8/15/27  11,384     11,828
1 CMS Energy Corp. 4.750%   6/1/50  17,907     18,033
  CMS Energy Corp. 3.750%  12/1/50   9,693      8,734
1 Commonwealth Edison Co. 2.950%  8/15/27   9,252      9,422
140

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Commonwealth Edison Co. 3.700%  8/15/28  13,024     13,733
  Commonwealth Edison Co. 2.200%   3/1/30   6,289      6,009
1 Connecticut Light & Power Co. 3.200%  3/15/27  20,253     20,876
1 Connecticut Light & Power Co. 2.050%   7/1/31   7,803      7,298
1 Consolidated Edison Co. of New York Inc. 3.125% 11/15/27   7,820      7,985
  Consolidated Edison Co. of New York Inc. 3.800%  5/15/28   6,246      6,615
1 Consolidated Edison Co. of New York Inc. 4.000%  12/1/28   5,865      6,290
1 Consolidated Edison Co. of New York Inc. 3.350%   4/1/30  10,409     10,686
  Consolidated Edison Co. of New York Inc. 2.400%  6/15/31  34,562     32,944
  Consumers Energy Co. 3.800% 11/15/28   6,558      7,012
1 Dominion Energy Inc. 2.850%  8/15/26  12,232     12,384
1 Dominion Energy Inc. 3.600%  3/15/27   5,845      6,103
  Dominion Energy Inc. 4.250%   6/1/28  12,341     13,221
1 Dominion Energy Inc. 3.375%   4/1/30  36,421     36,947
1 Dominion Energy Inc. 2.250%  8/15/31  13,880     12,857
1 Dominion Energy South Carolina Inc. 2.300%  12/1/31  13,530     12,906
  Dominion Energy South Carolina Inc. 6.625%   2/1/32   1,090      1,407
1 DTE Electric Co. 1.900%   4/1/28  14,305     13,748
  DTE Electric Co. 2.250%   3/1/30   9,485      9,146
1 DTE Electric Co. 2.625%   3/1/31  14,041     13,841
1 DTE Energy Co. 3.400%  6/15/29  29,742     30,393
  DTE Energy Co. 2.950%   3/1/30   8,586      8,438
  Duke Energy Carolinas LLC 3.950% 11/15/28  19,197     20,657
1 Duke Energy Carolinas LLC 6.000%  12/1/28   5,875      6,948
  Duke Energy Carolinas LLC 2.450%  8/15/29  17,457     17,080
  Duke Energy Carolinas LLC 2.450%   2/1/30  14,733     14,290
  Duke Energy Carolinas LLC 2.550%  4/15/31  14,900     14,500
  Duke Energy Corp. 2.650%   9/1/26  36,212     36,412
  Duke Energy Corp. 3.150%  8/15/27  10,232     10,451
  Duke Energy Corp. 3.400%  6/15/29   9,017      9,179
  Duke Energy Corp. 2.450%   6/1/30  23,333     22,077
  Duke Energy Corp. 2.550%  6/15/31  24,408     22,877
  Duke Energy Florida LLC 3.800%  7/15/28   9,011      9,521
  Duke Energy Florida LLC 2.500%  12/1/29  12,949     12,675
  Duke Energy Florida LLC 1.750%  6/15/30  23,403     21,508
  Duke Energy Florida LLC 2.400% 12/15/31  15,000     14,371
1 Duke Energy Florida Project Finance LLC 2.538%   9/1/29   2,419      2,430
  Duke Energy Ohio Inc. 3.650%   2/1/29  14,386     15,018
  Duke Energy Ohio Inc. 2.125%   6/1/30   7,073      6,635
  Duke Energy Progress LLC 3.700%   9/1/28   8,017      8,462
  Duke Energy Progress LLC 3.450%  3/15/29  23,660     24,540
  Duke Energy Progress LLC 2.000%  8/15/31  15,140     14,102
3 East Ohio Gas Co. 2.000%  6/15/30   1,900      1,754
  Edison International 5.750%  6/15/27  14,602     16,211
  Edison International 4.125%  3/15/28  17,508     18,024
  Emera US Finance LP 2.639%  6/15/31  14,100     13,171
  Enel Chile SA 4.875%  6/12/28  26,207     27,955
  Entergy Corp. 1.900%  6/15/28  11,255     10,553
  Entergy Corp. 2.800%  6/15/30  17,324     16,763
  Entergy Corp. 2.400%  6/15/31  23,823     22,093
  Entergy Louisiana LLC 3.120%   9/1/27  17,709     18,133
  Entergy Louisiana LLC 3.250%   4/1/28  10,850     11,132
  Entergy Louisiana LLC 1.600% 12/15/30  12,701     11,423
  Entergy Louisiana LLC 3.050%   6/1/31   9,510      9,559
  Entergy Mississippi LLC 2.850%   6/1/28  14,722     14,759
141

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Entergy Texas Inc. 4.000%  3/30/29  12,546     13,372
  Entergy Texas Inc. 1.750%  3/15/31   9,930      8,952
  Essential Utilities Inc. 3.566%   5/1/29  11,813     12,218
  Essential Utilities Inc. 2.704%  4/15/30  23,400     22,727
  Evergy Inc. 2.900%  9/15/29  11,789     11,643
  Evergy Kansas Central Inc. 3.100%   4/1/27   5,047      5,197
1 Evergy Metro Inc. 2.250%   6/1/30  20,482     19,639
1 Eversource Energy 3.300%  1/15/28  12,730     12,966
1 Eversource Energy 4.250%   4/1/29  14,216     15,263
1 Eversource Energy 1.650%  8/15/30  13,025     11,559
  Eversource Energy 2.550%  3/15/31  10,492      9,988
  Exelon Corp. 4.050%  4/15/30  38,551     40,881
  Florida Power & Light Co. 2.450%   2/3/32  29,370     28,544
  Georgia Power Co. 3.250%  3/30/27  13,201     13,481
1 Georgia Power Co. 2.650%  9/15/29  23,558     22,917
1 Gulf Power Co. 3.300%  5/30/27   5,295      5,480
  Indiana Michigan Power Co. 3.850%  5/15/28  17,957     18,896
  Interstate Power & Light Co. 4.100%  9/26/28  19,700     21,063
  Interstate Power & Light Co. 3.600%   4/1/29   8,968      9,306
  Interstate Power & Light Co. 2.300%   6/1/30   7,341      6,984
  IPALCO Enterprises Inc. 4.250%   5/1/30  13,729     14,284
  ITC Holdings Corp. 3.350% 11/15/27  16,917     17,443
  MidAmerican Energy Co. 3.100%   5/1/27  13,302     13,763
  MidAmerican Energy Co. 3.650%  4/15/29  30,039     31,994
  MidAmerican Energy Co. 6.750% 12/30/31   5,975      7,856
  Mississippi Power Co. 3.950%  3/30/28   6,576      6,947
  National Fuel Gas Co. 3.950%  9/15/27   9,406      9,634
  National Fuel Gas Co. 4.750%   9/1/28   7,675      8,043
  National Fuel Gas Co. 2.950%   3/1/31  12,071     11,443
  National Rural Utilities Cooperative Finance Corp. 3.050%  4/25/27   9,208      9,420
  National Rural Utilities Cooperative Finance Corp. 3.400%   2/7/28  25,545     26,379
  National Rural Utilities Cooperative Finance Corp. 3.900%  11/1/28  10,255     10,934
  National Rural Utilities Cooperative Finance Corp. 3.700%  3/15/29  14,023     14,728
  National Rural Utilities Cooperative Finance Corp. 2.400%  3/15/30  12,582     12,123
  National Rural Utilities Cooperative Finance Corp. 1.350%  3/15/31   9,434      8,248
1 National Rural Utilities Cooperative Finance Corp. 1.650%  6/15/31   8,480      7,581
1 Nevada Power Co. 3.700%   5/1/29  17,564     18,486
1 Nevada Power Co. 2.400%   5/1/30   7,610      7,349
  NextEra Energy Capital Holdings Inc. 3.550%   5/1/27  15,221     15,835
  NextEra Energy Capital Holdings Inc. 1.900%  6/15/28  41,280     39,243
  NextEra Energy Capital Holdings Inc. 3.500%   4/1/29  19,137     19,703
  NextEra Energy Capital Holdings Inc. 2.750%  11/1/29  23,856     23,398
  NextEra Energy Capital Holdings Inc. 2.250%   6/1/30  59,511     55,341
  NextEra Energy Capital Holdings Inc. 2.440%  1/15/32   6,425      6,017
1 NextEra Energy Capital Holdings Inc. 4.800%  12/1/77  16,434     16,285
1 NextEra Energy Capital Holdings Inc. 5.650%   5/1/79   8,712      9,204
  NextEra Energy Capital Holdings Inc. 3.800%  3/15/82  15,300     14,325
  NiSource Inc. 3.490%  5/15/27  20,412     21,092
  NiSource Inc. 2.950%   9/1/29  23,225     22,867
  NiSource Inc. 3.600%   5/1/30  31,501     32,218
  NiSource Inc. 1.700%  2/15/31  18,215     16,032
  Northern States Power Co. 2.250%   4/1/31  13,730     13,128
  NSTAR Electric Co. 3.200%  5/15/27  20,371     21,020
  NSTAR Electric Co. 3.250%  5/15/29   6,187      6,364
  NSTAR Electric Co. 3.950%   4/1/30  13,640     14,674
142

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Ohio Power Co. 2.600%   4/1/30   4,635      4,515
1 Ohio Power Co. 1.625%  1/15/31  13,941     12,419
  Oklahoma Gas & Electric Co. 3.800%  8/15/28   6,714      7,049
  Oklahoma Gas & Electric Co. 3.300%  3/15/30   6,337      6,471
  Oklahoma Gas & Electric Co. 3.250%   4/1/30  13,111     13,330
  Oncor Electric Delivery Co. LLC 3.700% 11/15/28  16,070     17,086
  Oncor Electric Delivery Co. LLC 5.750%  3/15/29   5,570      6,552
  Oncor Electric Delivery Co. LLC 2.750%  5/15/30  11,837     11,794
3 Oncor Electric Delivery Co. LLC 2.750%  5/15/30  12,600     12,554
  ONE Gas Inc. 2.000%  5/15/30   6,831      6,384
  Pacific Gas & Electric Co. 2.100%   8/1/27  14,325     13,306
  Pacific Gas & Electric Co. 3.300%  12/1/27  36,172     35,603
  Pacific Gas & Electric Co. 3.000%  6/15/28  11,535     11,111
  Pacific Gas & Electric Co. 3.750%   7/1/28  40,522     40,331
  Pacific Gas & Electric Co. 4.550%   7/1/30  95,075     97,734
  Pacific Gas & Electric Co. 2.500%   2/1/31  68,186     60,684
  Pacific Gas & Electric Co. 3.250%   6/1/31  10,564      9,924
  PacifiCorp 3.500%  6/15/29  16,837     17,629
  PacifiCorp 2.700%  9/15/30  20,953     20,660
  Piedmont Natural Gas Co. Inc. 3.500%   6/1/29   8,295      8,521
  Piedmont Natural Gas Co. Inc. 2.500%  3/15/31  15,451     14,627
  Progress Energy Inc. 7.750%   3/1/31   9,790     13,015
  Progress Energy Inc. 7.000% 10/30/31  13,009     16,656
  Public Service Co. of Colorado 3.700%  6/15/28   9,159      9,703
1 Public Service Co. of Colorado 1.900%  1/15/31   4,809      4,473
  Public Service Co. of Colorado 1.875%  6/15/31  17,825     16,470
1 Public Service Electric & Gas Co. 3.000%  5/15/27   5,641      5,787
1 Public Service Electric & Gas Co. 3.700%   5/1/28   9,480     10,056
1 Public Service Electric & Gas Co. 3.650%   9/1/28   8,153      8,607
1 Public Service Electric & Gas Co. 3.200%  5/15/29   8,618      8,863
1 Public Service Electric & Gas Co. 2.450%  1/15/30   5,739      5,640
1 Public Service Electric & Gas Co. 1.900%  8/15/31   8,735      8,107
  Public Service Enterprise Group Inc. 1.600%  8/15/30   9,996      8,892
  Public Service Enterprise Group Inc. 2.450% 11/15/31  17,080     16,176
  Puget Energy Inc. 2.379%  6/15/28   5,776      5,501
  Puget Energy Inc. 4.100%  6/15/30  15,912     16,597
1 San Diego Gas & Electric Co. 1.700%  10/1/30  15,805     14,364
  Sempra Energy 3.250%  6/15/27  20,119     20,555
  Sempra Energy 3.400%   2/1/28  30,244     31,151
  Sempra Energy 4.125%   4/1/52  23,850     22,328
1 Southern California Edison Co. 3.650%   3/1/28  10,242     10,654
1 Southern California Edison Co. 4.200%   3/1/29  13,294     14,146
  Southern California Edison Co. 6.650%   4/1/29   5,406      6,386
  Southern California Edison Co. 2.850%   8/1/29  10,094      9,955
  Southern California Edison Co. 2.250%   6/1/30  15,373     14,378
1 Southern California Edison Co. 2.500%   6/1/31  12,420     11,723
  Southern California Edison Co. 2.750%   2/1/32   8,500      8,194
1 Southern California Gas Co. 2.550%   2/1/30  16,803     16,369
1 Southern Co. 1.750%  3/15/28   9,275      8,694
1 Southern Co. 3.700%  4/30/30  24,667     25,437
1 Southern Co. 3.750%  9/15/51  24,540     22,807
1 Southern Co. Gas Capital Corp. 1.750%  1/15/31  14,460     12,847
  Southwest Gas Corp. 3.700%   4/1/28   6,449      6,739
  Southwest Gas Corp. 2.200%  6/15/30  13,144     12,209
1 Southwestern Electric Power Co. 4.100%  9/15/28  21,430     22,698
143

 

Intermediate-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Tampa Electric Co. 2.400%  3/15/31  10,455      9,984
  Tucson Electric Power Co. 1.500%   8/1/30   9,880      8,772
  Tucson Electric Power Co. 3.250%  5/15/32   4,750      4,804
  Union Electric Co. 2.950%  6/15/27  10,702     10,927
  Union Electric Co. 3.500%  3/15/29  17,743     18,569
  Union Electric Co. 2.950%  3/15/30  11,198     11,334
  United Utilities plc 6.875%  8/15/28   3,202      3,967
1 Virginia Electric & Power Co. 3.500%  3/15/27  23,247     24,361
1 Virginia Electric & Power Co. 3.800%   4/1/28  16,805     17,818
1 Virginia Electric & Power Co. 2.875%  7/15/29  15,384     15,521
  Virginia Electric & Power Co. 2.300% 11/15/31  18,121     17,255
  Virginia Electric & Power Co. 2.400%  3/30/32   6,000      5,726
  WEC Energy Group Inc. 1.375% 10/15/27  13,314     12,359
  WEC Energy Group Inc. 2.200% 12/15/28   8,500      8,151
  WEC Energy Group Inc. 1.800% 10/15/30  10,645      9,596
  Wisconsin Electric Power Co. 1.700%  6/15/28   8,765      8,274
  Wisconsin Power & Light Co. 3.050% 10/15/27   8,445      8,613
  Wisconsin Power & Light Co. 3.000%   7/1/29   4,484      4,526
  Wisconsin Power & Light Co. 1.950%  9/16/31   1,090      1,016
  Xcel Energy Inc. 1.750%  3/15/27   9,035      8,655
  Xcel Energy Inc. 4.000%  6/15/28  15,464     16,387
  Xcel Energy Inc. 2.600%  12/1/29  18,258     17,821
  Xcel Energy Inc. 3.400%   6/1/30  16,308     16,795
  Xcel Energy Inc. 2.350% 11/15/31  14,340     13,525
                               3,430,108
Total Corporate Bonds (Cost $49,868,320) 47,635,485
          Shares  
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
5 Vanguard Market Liquidity Fund
(Cost $53,583) 		0.138%          535,916     53,587
Total Investments (99.2%) (Cost $50,441,928)   48,210,019
Other Assets and Liabilities—Net (0.8%)   370,251
Net Assets (100%)   48,580,270
Cost is in $000.
• See Note A in Notes to Financial Statements.
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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2022.
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 February 28, 2022, the aggregate value was $821,033,000, representing 1.7% of net assets.
4 Securities with a value of $2,922,000 have been segregated as initial margin for open futures contracts.
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.
144

 

Intermediate-Term Corporate Bond Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts
10-Year U.S. Treasury Note June 2022 (283) (36,065) (250)
Long U.S. Treasury Bond June 2022 (35) (5,484) (68)
        (318)
  
See accompanying Notes, which are an integral part of the Financial Statements.
145

 

Intermediate-Term Corporate Bond Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $50,388,345) 48,156,432
Affiliated Issuers (Cost $53,583) 53,587
Total Investments in Securities 48,210,019
Investment in Vanguard 1,597
Receivables for Investment Securities Sold 1,366,269
Receivables for Accrued Income 424,781
Receivables for Capital Shares Issued 1,621
Total Assets 50,004,287
Liabilities  
Due to Custodian 5,488
Payables for Investment Securities Purchased 1,413,430
Payables for Capital Shares Redeemed 2,357
Payables for Distributions 711
Payables to Vanguard 701
Variation Margin Payable—Futures Contracts 1,330
Total Liabilities 1,424,017
Net Assets 48,580,270
146

 

Intermediate-Term Corporate Bond Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 50,665,349
Total Distributable Earnings (Loss) (2,085,079)
Net Assets 48,580,270
 
ETF Shares—Net Assets  
Applicable to 526,887,781 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		46,818,529
Net Asset Value Per Share—ETF Shares $88.86
 
Admiral Shares—Net Assets  
Applicable to 58,654,009 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,404,363
Net Asset Value Per Share—Admiral Shares $23.94
 
Institutional Shares—Net Assets  
Applicable to 12,080,048 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		357,378
Net Asset Value Per Share—Institutional Shares $29.58
See accompanying Notes, which are an integral part of the Financial Statements.
147

 

Intermediate-Term Corporate Bond Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 544,712
Total Income 544,712
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 461
Management and Administrative—ETF Shares 7,313
Management and Administrative—Admiral Shares 451
Management and Administrative—Institutional Shares 87
Marketing and Distribution—ETF Shares 868
Marketing and Distribution—Admiral Shares 47
Marketing and Distribution—Institutional Shares 10
Custodian Fees 68
Shareholders’ Reports—ETF Shares 501
Shareholders’ Reports—Admiral Shares 10
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 12
Other Expenses 10
Total Expenses 9,838
Net Investment Income 534,874
Realized Net Gain (Loss)  
Investment Securities Sold1,2 100,758
Futures Contracts (3,501)
Realized Net Gain (Loss) 97,257
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (3,291,962)
Futures Contracts (317)
Change in Unrealized Appreciation (Depreciation) (3,292,279)
Net Increase (Decrease) in Net Assets Resulting from Operations (2,660,148)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $61,000, ($22,000), $9,000, and $4,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $111,614,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
148

 

Intermediate-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 534,874   1,026,879
Realized Net Gain (Loss) 97,257   1,235,740
Change in Unrealized Appreciation (Depreciation) (3,292,279)   (1,298,229)
Net Increase (Decrease) in Net Assets Resulting from Operations (2,660,148)   964,390
Distributions      
ETF Shares (819,044)   (1,059,945)
Admiral Shares (25,967)   (38,281)
Institutional Shares (6,894)   (10,049)
Total Distributions (851,905)   (1,108,275)
Capital Share Transactions      
ETF Shares 3,320,105   8,062,666
Admiral Shares (73,596)   45,641
Institutional Shares (57,128)   88,292
Net Increase (Decrease) from Capital Share Transactions 3,189,381   8,196,599
Total Increase (Decrease) (322,672)   8,052,714
Net Assets      
Beginning of Period 48,902,942   40,850,228
End of Period 48,580,270   48,902,942
See accompanying Notes, which are an integral part of the Financial Statements.
149

 

Intermediate-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $95.57 $95.98 $91.82 $84.02 $88.35 $89.47
Investment Operations            
Net Investment Income1 1.026 2.163 2.761 3.132 2.935 2.869
Net Realized and Unrealized Gain (Loss) on Investments (6.103) (.205) 4.205 7.768 (4.362) (1.184)
Total from Investment Operations (5.077) 1.958 6.966 10.900 (1.427) 1.685
Distributions            
Dividends from Net Investment Income (1.039) (2.169) (2.806) (3.100) (2.903) (2.805)
Distributions from Realized Capital Gains (.594) (.199) — — — —
Total Distributions (1.633) (2.368) (2.806) (3.100) (2.903) (2.805)
Net Asset Value, End of Period $88.86 $95.57 $95.98 $91.82 $84.02 $88.35
Total Return -5.38% 2.08% 7.78% 13.33% -1.62% 1.98%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $46,819 $46,873 $38,944 $24,080 $19,302 $16,699
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 2.23% 2.27% 2.99% 3.65% 3.44% 3.30%
Portfolio Turnover Rate2 26% 53% 72% 59% 65% 65%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
150

 

Intermediate-Term Corporate Bond Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $25.75 $25.86 $24.71 $22.61 $23.78 $24.08
Investment Operations            
Net Investment Income1 .273 .578 .747 .839 .792 .774
Net Realized and Unrealized Gain (Loss) on Investments (1.651) (.062) 1.138 2.097 (1.175) (.318)
Total from Investment Operations (1.378) .516 1.885 2.936 (.383) .456
Distributions            
Dividends from Net Investment Income (.272) (.572) (.735) (.836) (.787) (.756)
Distributions from Realized Capital Gains (.160) (.054) — — — —
Total Distributions (.432) (.626) (.735) (.836) (.787) (.756)
Net Asset Value, End of Period $23.94 $25.75 $25.86 $24.71 $22.61 $23.78
Total Return2 -5.41% 2.03% 7.79% 13.30% -1.61% 1.99%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,404 $1,587 $1,549 $1,381 $1,076 $1,014
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 2.20% 2.25% 3.01% 3.63% 3.44% 3.30%
Portfolio Turnover Rate3 26% 53% 72% 59% 65% 65%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and 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.
151

 

Intermediate-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $31.82 $31.95 $30.53 $27.94 $29.38 $29.75
Investment Operations            
Net Investment Income1 .340 .720 .940 1.044 .983 .962
Net Realized and Unrealized Gain (Loss) on Investments (2.043) (.070) 1.394 2.584 (1.446) (.392)
Total from Investment Operations (1.703) .650 2.334 3.628 (.463) .570
Distributions            
Dividends from Net Investment Income (.339) (.714) (.914) (1.038) (.977) (.940)
Distributions from Realized Capital Gains (.198) (.066) — — — —
Total Distributions (.537) (.780) (.914) (1.038) (.977) (.940)
Net Asset Value, End of Period $29.58 $31.82 $31.95 $30.53 $27.94 $29.38
Total Return2 -5.41% 2.07% 7.81% 13.30% -1.57% 2.01%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $357 $443 $357 $406 $492 $572
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 2.22% 2.27% 3.07% 3.65% 3.46% 3.32%
Portfolio Turnover Rate3 26% 53% 72% 59% 65% 65%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include transaction fees that may have applied in the periods 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.
152

 

Intermediate-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Corporate Bond Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
During the six months ended February 28, 2022, the fund’s average investments in long and short futures contracts represented 0% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
153

 

Intermediate-Term Corporate 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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
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
154

 

Intermediate-Term Corporate Bond Index Fund
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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $1,597,000, representing less than 0.01% of the fund’s net assets and 0.64% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 520,947 — 520,947
Corporate Bonds — 47,635,485 — 47,635,485
Temporary Cash Investments 53,587 — — 53,587
Total 53,587 48,156,432 — 48,210,019
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 318 — — 318
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
155

 

Intermediate-Term Corporate Bond Index Fund
D. As of February 28, 2022, 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 50,446,947
Gross Unrealized Appreciation 181,436
Gross Unrealized Depreciation (2,418,682)
Net Unrealized Appreciation (Depreciation) (2,237,246)
E. During the six months ended February 28, 2022, the fund purchased $12,675,211,000 of investment securities and sold $9,574,411,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $6,198,036,000 and $6,176,283,000, respectively. Purchases and sales include $6,488,053,000 and $3,382,344,000, 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 six months ended February 28, 2022, such purchases were $563,308,000 and sales were $4,886,762,000, resulting in net realized loss of $10,248,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued1 6,753,907 73,453   20,684,453 217,097
Issued in Lieu of Cash Distributions — —   — —
Redeemed (3,433,802) (37,000)   (12,621,787) (132,400)
Net Increase (Decrease)—ETF Shares 3,320,105 36,453   8,062,666 84,697
Admiral Shares          
Issued1 123,579 4,940   392,434 15,237
Issued in Lieu of Cash Distributions 20,771 833   30,298 1,179
Redeemed (217,946) (8,760)   (377,091) (14,690)
Net Increase (Decrease)—Admiral Shares (73,596) (2,987)   45,641 1,726
156

 

Intermediate-Term Corporate Bond Index Fund
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Institutional Shares          
Issued1 20,442 653   141,963 4,463
Issued in Lieu of Cash Distributions 4,610 149   6,380 201
Redeemed (82,180) (2,644)   (60,051) (1,906)
Net Increase (Decrease)—Institutional Shares (57,128) (1,842)   88,292 2,758
1 Includes purchase fees for fiscal 2022 and 2021 of $382,000 and $1,285,000, respectively (fund totals).
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
157

 

Long-Term Corporate Bond Index Fund
Fund Allocation
As of February 28, 2022
Corporate Bonds – Communications 13.2%
Corporate Bonds – Consumer Discretionary 5.7
Corporate Bonds – Consumer Staples 7.5
Corporate Bonds – Energy 8.9
Corporate Bonds – Financials 15.0
Corporate Bonds – Health Care 14.7
Corporate Bonds – Industrials 8.5
Corporate Bonds – Materials 3.9
Corporate Bonds – Real Estate 1.6
Corporate Bonds – Technology 8.6
Corporate Bonds – Utilities 11.9
U.S. Government and Agency Obligations 0.5
The table reflects the fund's investments, except for short-term investments and derivatives.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
158

 

Long-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (0.5%)
U.S. Government Securities (0.5%)
  United States Treasury Note/Bond  1.875%  2/15/32  21,225    21,308
  United States Treasury Note/Bond  2.000% 11/15/41     110       106
  United States Treasury Note/Bond  1.875% 11/15/51   7,955     7,424
Total U.S. Government and Agency Obligations (Cost $28,801) 28,838
Corporate Bonds (98.4%)
Communications (13.0%)
  Activision Blizzard Inc.  4.500%  6/15/47   2,188     2,535
  Activision Blizzard Inc.  2.500%  9/15/50   1,984     1,666
  Alphabet Inc.  1.900%  8/15/40   1,298     1,091
  Alphabet Inc.  2.050%  8/15/50   5,321     4,293
  Alphabet Inc.  2.250%  8/15/60   3,713     2,973
  America Movil SAB de CV  6.375%   3/1/35     823     1,066
  America Movil SAB de CV  6.125% 11/15/37     964     1,223
  America Movil SAB de CV  6.125%  3/30/40   4,955     6,332
  America Movil SAB de CV  4.375%  7/16/42   2,745     2,959
  America Movil SAB de CV  4.375%  4/22/49   2,985     3,286
  AT&T Inc.  2.550%  12/1/33   9,147     8,485
  AT&T Inc.  6.150%  9/15/34     628       776
  AT&T Inc.  4.500%  5/15/35   6,204     6,815
  AT&T Inc.  5.250%   3/1/37   2,700     3,174
  AT&T Inc.  4.900%  8/15/37   2,128     2,404
  AT&T Inc.  4.850%   3/1/39   3,423     3,814
  AT&T Inc.  6.000%  8/15/40     617       773
  AT&T Inc.  5.350%   9/1/40   2,163     2,573
  AT&T Inc.  6.375%   3/1/41   1,333     1,750
  AT&T Inc.  6.250%  3/29/41     467       607
  AT&T Inc.  3.500%   6/1/41   2,443     2,322
  AT&T Inc.  5.550%  8/15/41   1,821     2,205
  AT&T Inc.  5.150%  3/15/42   2,891     3,343
  AT&T Inc.  4.900%  6/15/42   2,748     3,091
  AT&T Inc.  4.300% 12/15/42   2,531     2,629
  AT&T Inc.  3.100%   2/1/43   1,935     1,731
  AT&T Inc.  4.650%   6/1/44   1,566     1,691
  AT&T Inc.  4.350%  6/15/45   2,653     2,744
  AT&T Inc.  4.850%  7/15/45   1,554     1,729
  AT&T Inc.  4.750%  5/15/46   3,848     4,272
1 AT&T Inc.  5.150% 11/15/46   1,696     1,990
  AT&T Inc.  5.650%  2/15/47   1,630     2,033
159

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  AT&T Inc.  5.450%   3/1/47   1,384     1,682
  AT&T Inc.  4.500%   3/9/48   5,075     5,448
  AT&T Inc.  4.550%   3/9/49   3,714     4,025
  AT&T Inc.  5.150%  2/15/50   2,924     3,442
  AT&T Inc.  3.650%   6/1/51   4,385     4,143
  AT&T Inc.  3.300%   2/1/52   3,187     2,828
  AT&T Inc.  3.500%  9/15/53  16,246    14,887
  AT&T Inc.  3.550%  9/15/55  18,910    17,150
  AT&T Inc.  3.800%  12/1/57  15,269    14,368
  AT&T Inc.  3.650%  9/15/59  16,390    14,877
  AT&T Inc.  3.850%   6/1/60   2,760     2,583
  AT&T Inc.  3.500%   2/1/61     705       623
  Bell Telephone Co. of Canada or Bell Canada  4.464%   4/1/48   2,211     2,435
  Bell Telephone Co. of Canada or Bell Canada  4.300%  7/29/49   1,867     2,004
1 Bell Telephone Co. of Canada or Bell Canada  3.650%  3/17/51     928       904
1 Bell Telephone Co. of Canada or Bell Canada  3.200%  2/15/52   1,620     1,449
  Charter Communications Operating LLC  6.384% 10/23/35   4,862     5,818
  Charter Communications Operating LLC  5.375%   4/1/38   2,130     2,253
  Charter Communications Operating LLC  3.500%   6/1/41   1,657     1,429
  Charter Communications Operating LLC  3.500%   3/1/42   3,361     2,878
  Charter Communications Operating LLC  6.484% 10/23/45   7,076     8,415
  Charter Communications Operating LLC  5.375%   5/1/47   6,030     6,341
  Charter Communications Operating LLC  5.750%   4/1/48   3,241     3,574
  Charter Communications Operating LLC  5.125%   7/1/49   4,179     4,240
  Charter Communications Operating LLC  4.800%   3/1/50   6,715     6,546
  Charter Communications Operating LLC  3.700%   4/1/51   4,971     4,177
  Charter Communications Operating LLC  3.900%   6/1/52   4,535     3,946
  Charter Communications Operating LLC  6.834% 10/23/55   1,903     2,355
  Charter Communications Operating LLC  3.850%   4/1/61   4,285     3,536
  Charter Communications Operating LLC  4.400%  12/1/61   3,950     3,532
  Charter Communications Operating LLC  3.950%  6/30/62   2,075     1,734
  Comcast Corp.  4.250%  1/15/33   3,466     3,823
  Comcast Corp.  7.050%  3/15/33   1,179     1,587
  Comcast Corp.  4.200%  8/15/34   2,320     2,542
  Comcast Corp.  5.650%  6/15/35   1,325     1,646
  Comcast Corp.  4.400%  8/15/35     873       974
  Comcast Corp.  6.500% 11/15/35     608       815
  Comcast Corp.  3.200%  7/15/36   1,721     1,691
  Comcast Corp.  6.450%  3/15/37   1,339     1,794
  Comcast Corp.  6.950%  8/15/37     400       564
  Comcast Corp.  3.900%   3/1/38   3,356     3,525
  Comcast Corp.  4.600% 10/15/38   4,912     5,516
  Comcast Corp.  6.550%   7/1/39     280       389
  Comcast Corp.  3.250%  11/1/39   2,183     2,103
  Comcast Corp.  3.750%   4/1/40   2,265     2,331
  Comcast Corp.  4.650%  7/15/42   1,254     1,419
  Comcast Corp.  4.600%  8/15/45   1,966     2,191
  Comcast Corp.  3.400%  7/15/46   2,504     2,401
  Comcast Corp.  4.000%  8/15/47   3,807     3,963
  Comcast Corp.  3.969%  11/1/47   5,923     6,121
  Comcast Corp.  4.000%   3/1/48   3,034     3,150
  Comcast Corp.  4.700% 10/15/48   2,601     2,994
  Comcast Corp.  3.999%  11/1/49   4,223     4,382
  Comcast Corp.  3.450%   2/1/50   4,048     3,868
  Comcast Corp.  2.800%  1/15/51   2,301     1,973
160

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Comcast Corp.  2.887%  11/1/51  11,015     9,551
  Comcast Corp.  2.450%  8/15/52   2,950     2,380
  Comcast Corp.  4.049%  11/1/52   2,800     2,961
2 Comcast Corp.  2.937%  11/1/56  14,885    12,619
  Comcast Corp.  4.950% 10/15/58   2,681     3,255
  Comcast Corp.  2.650%  8/15/62   2,285     1,810
2 Comcast Corp.  2.987%  11/1/63   8,023     6,687
  Deutsche Telekom International Finance BV  9.250%   6/1/32   1,267     1,905
  Discovery Communications LLC  5.000%  9/20/37   1,137     1,235
  Discovery Communications LLC  6.350%   6/1/40     743       907
  Discovery Communications LLC  4.875%   4/1/43   1,413     1,475
  Discovery Communications LLC  5.200%  9/20/47   2,897     3,145
  Discovery Communications LLC  5.300%  5/15/49   2,110     2,334
  Discovery Communications LLC  4.650%  5/15/50   1,784     1,824
  Discovery Communications LLC  4.000%  9/15/55   4,800     4,364
  Electronic Arts Inc.  2.950%  2/15/51     970       835
  Fox Corp.  5.476%  1/25/39   2,958     3,454
  Fox Corp.  5.576%  1/25/49   3,182     3,830
  Grupo Televisa SAB  6.625%  1/15/40   1,561     1,965
  Grupo Televisa SAB  5.000%  5/13/45   2,297     2,496
  Grupo Televisa SAB  6.125%  1/31/46   1,550     1,946
  Grupo Televisa SAB  5.250%  5/24/49   1,935     2,219
  Interpublic Group of Cos. Inc.  3.375%   3/1/41     880       824
  Interpublic Group of Cos. Inc.  5.400%  10/1/48   1,296     1,616
  NBCUniversal Media LLC  5.950%   4/1/41      50        66
  NBCUniversal Media LLC  4.450%  1/15/43   3,046     3,323
  Orange SA  5.375%  1/13/42   1,051     1,271
  Orange SA  5.500%   2/6/44   1,252     1,573
  Paramount Global  4.200%  5/19/32   2,325     2,424
  Paramount Global  5.500%  5/15/33     970     1,130
  Paramount Global  6.875%  4/30/36   2,583     3,298
  Paramount Global  5.900% 10/15/40   1,337     1,565
  Paramount Global  4.850%   7/1/42   2,563     2,704
  Paramount Global  4.375%  3/15/43     568       568
  Paramount Global  5.850%   9/1/43   3,036     3,627
  Paramount Global  5.250%   4/1/44     467       513
  Paramount Global  4.900%  8/15/44   1,120     1,190
  Paramount Global  4.600%  1/15/45     701       714
  Paramount Global  4.950%  5/19/50   2,245     2,456
  Rogers Communications Inc.  7.500%  8/15/38   1,213     1,719
  Rogers Communications Inc.  4.500%  3/15/43     904       942
  Rogers Communications Inc.  5.450%  10/1/43   1,088     1,250
  Rogers Communications Inc.  5.000%  3/15/44   1,164     1,257
  Rogers Communications Inc.  4.300%  2/15/48   1,245     1,235
  Rogers Communications Inc.  4.350%   5/1/49   3,110     3,103
  Rogers Communications Inc.  3.700% 11/15/49   2,594     2,343
  Telefonica Emisiones SA  7.045%  6/20/36   4,069     5,279
  Telefonica Emisiones SA  4.665%   3/6/38   2,405     2,495
  Telefonica Emisiones SA  5.213%   3/8/47   5,483     5,958
  Telefonica Emisiones SA  4.895%   3/6/48   1,142     1,192
  Telefonica Emisiones SA  5.520%   3/1/49   2,955     3,333
  TELUS Corp.  3.400%  5/13/32   1,800     1,820
  TELUS Corp.  4.600% 11/16/48   1,487     1,666
  TELUS Corp.  4.300%  6/15/49   1,107     1,214
  Thomson Reuters Corp.  5.500%  8/15/35   1,225     1,480
161

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Thomson Reuters Corp.  5.850%  4/15/40     392       508
  Thomson Reuters Corp.  5.650% 11/23/43   1,185     1,518
  Time Warner Cable LLC  6.550%   5/1/37   2,839     3,406
  Time Warner Cable LLC  7.300%   7/1/38   3,089     3,883
  Time Warner Cable LLC  6.750%  6/15/39   3,425     4,143
  Time Warner Cable LLC  5.875% 11/15/40   3,238     3,612
  Time Warner Cable LLC  5.500%   9/1/41     608       647
  Time Warner Cable LLC  4.500%  9/15/42   3,170     2,998
  Time Warner Entertainment Co. LP  8.375%  7/15/33   4,011     5,439
2 T-Mobile USA Inc.  2.700%  3/15/32   2,000     1,880
  T-Mobile USA Inc.  4.375%  4/15/40   4,882     5,079
  T-Mobile USA Inc.  3.000%  2/15/41   3,170     2,763
  T-Mobile USA Inc.  4.500%  4/15/50   6,195     6,462
  T-Mobile USA Inc.  3.300%  2/15/51   6,808     5,932
2 T-Mobile USA Inc.  3.400% 10/15/52   5,900     5,216
  T-Mobile USA Inc.  3.600% 11/15/60   2,325     2,039
2 T-Mobile USA Inc.  3.600% 11/15/60   2,720     2,389
1 TWDC Enterprises 18 Corp.  7.000%   3/1/32   1,598     2,140
  TWDC Enterprises 18 Corp.  4.375%  8/16/41   1,018     1,123
1 TWDC Enterprises 18 Corp.  4.125%  12/1/41     681       728
1 TWDC Enterprises 18 Corp.  3.700%  12/1/42   1,980     2,017
1 TWDC Enterprises 18 Corp.  4.125%   6/1/44   1,094     1,178
1 TWDC Enterprises 18 Corp.  3.000%  7/30/46     894       819
2 Verizon Communications Inc.  2.355%  3/15/32  10,000     9,342
  Verizon Communications Inc.  4.500%  8/10/33   7,770     8,639
  Verizon Communications Inc.  6.400%  9/15/33     405       524
  Verizon Communications Inc.  4.400%  11/1/34   5,528     6,077
  Verizon Communications Inc.  5.850%  9/15/35     200       252
  Verizon Communications Inc.  4.272%  1/15/36   5,755     6,308
  Verizon Communications Inc.  5.250%  3/16/37   3,745     4,508
  Verizon Communications Inc.  4.812%  3/15/39   3,915     4,562
  Verizon Communications Inc.  2.650% 11/20/40   5,996     5,208
  Verizon Communications Inc.  3.400%  3/22/41  12,605    12,137
  Verizon Communications Inc.  2.850%   9/3/41   2,055     1,839
  Verizon Communications Inc.  4.750%  11/1/41     150       169
  Verizon Communications Inc.  3.850%  11/1/42     635       642
  Verizon Communications Inc.  6.550%  9/15/43     185       263
  Verizon Communications Inc.  4.125%  8/15/46   2,403     2,527
  Verizon Communications Inc.  4.862%  8/21/46   8,353    10,029
  Verizon Communications Inc.  5.500%  3/16/47     853     1,090
  Verizon Communications Inc.  4.522%  9/15/48   4,794     5,440
  Verizon Communications Inc.  4.000%  3/22/50   1,459     1,503
  Verizon Communications Inc.  2.875% 11/20/50   4,990     4,269
  Verizon Communications Inc.  3.550%  3/22/51  13,105    12,682
  Verizon Communications Inc.  5.012%  8/21/54     420       510
  Verizon Communications Inc.  4.672%  3/15/55     360       418
  Verizon Communications Inc.  2.987% 10/30/56  10,641     9,072
  Verizon Communications Inc.  3.000% 11/20/60   4,849     4,028
  Verizon Communications Inc.  3.700%  3/22/61   8,410     8,024
  Vodafone Group plc  6.250% 11/30/32     821     1,017
  Vodafone Group plc  6.150%  2/27/37   3,168     3,937
  Vodafone Group plc  5.000%  5/30/38   2,354     2,670
  Vodafone Group plc  4.375%  2/19/43   2,582     2,669
  Vodafone Group plc  5.250%  5/30/48   6,459     7,504
  Vodafone Group plc  4.875%  6/19/49   3,270     3,638
162

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Vodafone Group plc  4.250%  9/17/50   3,524     3,610
  Vodafone Group plc  5.125%  6/19/59   2,020     2,313
  Walt Disney Co.  6.550%  3/15/33   1,908     2,501
  Walt Disney Co.  6.200% 12/15/34   3,248     4,192
  Walt Disney Co.  6.400% 12/15/35   2,237     2,984
  Walt Disney Co.  6.150%   3/1/37   1,067     1,391
  Walt Disney Co.  6.650% 11/15/37   2,957     4,011
  Walt Disney Co.  4.625%  3/23/40     572       652
  Walt Disney Co.  3.500%  5/13/40   2,775     2,768
  Walt Disney Co.  6.150%  2/15/41     610       817
  Walt Disney Co.  5.400%  10/1/43   1,456     1,817
  Walt Disney Co.  4.750%  9/15/44   2,789     3,207
  Walt Disney Co.  4.950% 10/15/45   1,205     1,433
  Walt Disney Co.  7.750%  12/1/45     325       522
  Walt Disney Co.  4.750% 11/15/46   1,046     1,232
  Walt Disney Co.  2.750%   9/1/49   3,394     2,964
  Walt Disney Co.  4.700%  3/23/50   4,150     4,930
  Walt Disney Co.  3.600%  1/13/51   3,745     3,791
  Walt Disney Co.  3.800%  5/13/60   3,623     3,749
                                 698,404
Consumer Discretionary (5.6%)
  Alibaba Group Holding Ltd.  4.500% 11/28/34   1,371     1,439
  Alibaba Group Holding Ltd.  4.000%  12/6/37   2,937     2,871
  Alibaba Group Holding Ltd.  2.700%   2/9/41     624       502
  Alibaba Group Holding Ltd.  4.200%  12/6/47   3,555     3,460
  Alibaba Group Holding Ltd.  3.150%   2/9/51   3,225     2,617
  Alibaba Group Holding Ltd.  4.400%  12/6/57   2,645     2,601
  Alibaba Group Holding Ltd.  3.250%   2/9/61   2,080     1,621
  Amazon.com Inc.  4.800%  12/5/34   1,046     1,259
  Amazon.com Inc.  3.875%  8/22/37   7,144     7,845
  Amazon.com Inc.  2.875%  5/12/41   1,868     1,778
  Amazon.com Inc.  4.950%  12/5/44   3,606     4,483
  Amazon.com Inc.  4.050%  8/22/47   9,844    11,067
  Amazon.com Inc.  2.500%   6/3/50   5,697     4,924
  Amazon.com Inc.  3.100%  5/12/51   4,948     4,781
  Amazon.com Inc.  4.250%  8/22/57   4,425     5,119
  Amazon.com Inc.  2.700%   6/3/60   4,141     3,540
  Amazon.com Inc.  3.250%  5/12/61   3,545     3,377
1 American University  3.672%   4/1/49   1,161     1,239
  Aptiv plc  3.250%   3/1/32     850       853
  Aptiv plc  4.400%  10/1/46     390       402
  Aptiv plc  5.400%  3/15/49     877     1,027
  Aptiv plc  3.100%  12/1/51   3,005     2,538
  Aptiv plc  4.150%   5/1/52   2,200     2,205
  AutoNation Inc.  3.850%   3/1/32   1,500     1,516
  BorgWarner Inc.  4.375%  3/15/45     513       533
1 Brown University in Providence in the State of Rhode Island & Providence Plant  2.924%   9/1/50   1,015       993
1 California Endowment  2.498%   4/1/51     865       772
  California Institute of Technology  4.321%   8/1/45     820       975
  California Institute of Technology  4.700%  11/1/11     803     1,021
  California Institute of Technology  3.650%   9/1/19   1,140     1,083
  Claremont Mckenna College  3.775%   1/1/22     900       835
  Cleveland Clinic Foundation  4.858%   1/1/14   1,049     1,371
  Darden Restaurants Inc.  4.550%  2/15/48     665       678
163

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Dick's Sporting Goods Inc.  4.100%  1/15/52   1,600     1,396
1 Duke University  2.682%  10/1/44   1,240     1,144
1 Duke University  2.832%  10/1/55   1,620     1,491
  eBay Inc.  4.000%  7/15/42   1,567     1,579
  eBay Inc.  3.650%  5/10/51   2,315     2,193
1 Emory University  2.969%   9/1/50   1,237     1,173
1 Ford Foundation  2.415%   6/1/50     250       218
1 Ford Foundation  2.815%   6/1/70   1,904     1,731
  General Motors Co.  5.000%   4/1/35     890       963
  General Motors Co.  6.600%   4/1/36   2,789     3,450
  General Motors Co.  5.150%   4/1/38   2,813     3,053
  General Motors Co.  6.250%  10/2/43   4,693     5,691
  General Motors Co.  5.200%   4/1/45     415       448
  General Motors Co.  6.750%   4/1/46   1,396     1,784
  General Motors Co.  5.400%   4/1/48   2,391     2,650
  General Motors Co.  5.950%   4/1/49   2,407     2,877
1 George Washington University  4.300%  9/15/44   1,195     1,377
  George Washington University  4.868%  9/15/45   1,112     1,367
1 George Washington University  4.126%  9/15/48     400       449
1 Georgetown University  4.315%   4/1/49     587       651
1 Georgetown University  2.943%   4/1/50     730       659
1 Georgetown University  5.215%  10/1/18     811     1,046
  Harley-Davidson Inc.  4.625%  7/28/45     606       594
  Hasbro Inc.  6.350%  3/15/40     503       641
  Hasbro Inc.  5.100%  5/15/44   1,311     1,486
  Home Depot Inc.  5.875% 12/16/36   6,890     9,102
  Home Depot Inc.  3.300%  4/15/40   3,070     3,071
  Home Depot Inc.  5.400%  9/15/40   2,362     2,957
  Home Depot Inc.  5.950%   4/1/41   2,792     3,701
  Home Depot Inc.  4.200%   4/1/43     602       667
  Home Depot Inc.  4.875%  2/15/44   2,264     2,715
  Home Depot Inc.  4.400%  3/15/45     548       619
  Home Depot Inc.  4.250%   4/1/46   4,524     5,031
  Home Depot Inc.  3.900%  6/15/47   2,206     2,344
  Home Depot Inc.  4.500%  12/6/48   3,601     4,172
  Home Depot Inc.  3.125% 12/15/49   3,300     3,110
  Home Depot Inc.  3.350%  4/15/50   2,008     1,968
  Home Depot Inc.  2.375%  3/15/51   2,155     1,772
  Home Depot Inc.  2.750%  9/15/51   3,127     2,779
  Home Depot Inc.  3.500%  9/15/56   2,284     2,284
  JD.com Inc.  4.125%  1/14/50     695       640
1 Johns Hopkins University  4.083%   7/1/53     847     1,010
1 Johns Hopkins University  2.813%   1/1/60     865       788
  Kohl's Corp.  5.550%  7/17/45     995     1,017
  Lear Corp.  5.250%  5/15/49   1,330     1,491
  Lear Corp.  3.550%  1/15/52     725       629
  Leggett & Platt Inc.  3.500% 11/15/51   1,050       976
  Leland Stanford Junior University  3.647%   5/1/48   1,357     1,503
  Leland Stanford Junior University  2.413%   6/1/50   1,285     1,128
  Lowe's Cos. Inc.  5.500% 10/15/35     695       849
  Lowe's Cos. Inc.  5.000%  4/15/40   3,154     3,620
  Lowe's Cos. Inc.  2.800%  9/15/41   2,475     2,193
  Lowe's Cos. Inc.  4.650%  4/15/42   1,147     1,279
  Lowe's Cos. Inc.  4.250%  9/15/44     347       357
  Lowe's Cos. Inc.  4.375%  9/15/45     445       474
164

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Lowe's Cos. Inc.  3.700%  4/15/46   1,965     1,916
  Lowe's Cos. Inc.  4.050%   5/3/47   1,625     1,670
  Lowe's Cos. Inc.  4.550%   4/5/49   2,440     2,718
  Lowe's Cos. Inc.  5.125%  4/15/50     595       717
  Lowe's Cos. Inc.  3.000% 10/15/50   2,213     1,926
  Lowe's Cos. Inc.  3.500%   4/1/51   2,230     2,111
1 Marriott International Inc.  3.500% 10/15/32   2,195     2,189
1 Marriott International Inc.  2.750% 10/15/33   1,414     1,304
  Masco Corp.  4.500%  5/15/47     483       521
  Masco Corp.  3.125%  2/15/51   1,100       960
1 Massachusetts Institute of Technology  3.959%   7/1/38   1,135     1,276
1 Massachusetts Institute of Technology  2.989%   7/1/50   1,540     1,526
1 Massachusetts Institute of Technology  2.294%   7/1/51     167       142
  Massachusetts Institute of Technology  5.600%   7/1/11   1,551     2,384
  Massachusetts Institute of Technology  4.678%   7/1/14     765       989
  Massachusetts Institute of Technology  3.885%   7/1/16   1,565     1,662
1 McDonald's Corp.  4.700%  12/9/35   3,155     3,579
1 McDonald's Corp.  6.300% 10/15/37   1,924     2,548
1 McDonald's Corp.  6.300%   3/1/38     282       370
1 McDonald's Corp.  5.700%   2/1/39   1,749     2,146
1 McDonald's Corp.  4.875%  7/15/40   1,155     1,332
1 McDonald's Corp.  3.700%  2/15/42   2,202     2,188
1 McDonald's Corp.  3.625%   5/1/43   1,765     1,725
1 McDonald's Corp.  4.600%  5/26/45     686       759
1 McDonald's Corp.  4.875%  12/9/45   1,109     1,271
1 McDonald's Corp.  4.450%   3/1/47     490       536
1 McDonald's Corp.  4.450%   9/1/48   1,301     1,430
1 McDonald's Corp.  3.625%   9/1/49   5,384     5,295
1 McDonald's Corp.  4.200%   4/1/50   3,138     3,358
  MDC Holdings Inc.  6.000%  1/15/43     975     1,054
  MDC Holdings Inc.  3.966%   8/6/61     590       481
  NIKE Inc.  3.250%  3/27/40   2,408     2,403
  NIKE Inc.  3.625%   5/1/43     679       708
  NIKE Inc.  3.875%  11/1/45   1,829     1,980
  NIKE Inc.  3.375%  11/1/46     485       480
  NIKE Inc.  3.375%  3/27/50   3,940     4,014
1 Northeastern University  2.894%  10/1/50     590       529
1 Northwestern University  4.643%  12/1/44     720       853
1 Northwestern University  2.640%  12/1/50     770       696
1 Northwestern University  3.662%  12/1/57   1,182     1,351
  Owens Corning  7.000%  12/1/36     867     1,140
  Owens Corning  4.300%  7/15/47     772       807
  Owens Corning  4.400%  1/30/48   1,158     1,229
  President & Fellows of Harvard College  4.875% 10/15/40     708       897
  President & Fellows of Harvard College  3.150%  7/15/46     570       580
  President & Fellows of Harvard College  2.517% 10/15/50   1,532     1,378
  President & Fellows of Harvard College  3.300%  7/15/56   1,151     1,195
  PulteGroup Inc.  7.875%  6/15/32   1,009     1,364
  PulteGroup Inc.  6.375%  5/15/33     965     1,190
  PulteGroup Inc.  6.000%  2/15/35     400       481
1 Rockefeller Foundation  2.492%  10/1/50     910       809
  Snap-on Inc.  4.100%   3/1/48     483       535
  Snap-on Inc.  3.100%   5/1/50   1,485     1,400
  Stanley Black & Decker Inc.  5.200%   9/1/40     515       622
  Stanley Black & Decker Inc.  4.850% 11/15/48     870     1,057
165

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Stanley Black & Decker Inc.  2.750% 11/15/50   1,382     1,184
  Starbucks Corp.  4.300%  6/15/45     522       546
  Starbucks Corp.  3.750%  12/1/47   2,519     2,442
  Starbucks Corp.  4.500% 11/15/48     572       621
  Starbucks Corp.  4.450%  8/15/49   2,146     2,307
  Starbucks Corp.  3.350%  3/12/50   1,250     1,137
  Starbucks Corp.  3.500% 11/15/50   3,125     2,933
  Tapestry Inc.  3.050%  3/15/32   1,200     1,143
  Thomas Jefferson University  3.847%  11/1/57   1,000       974
  TJX Cos. Inc.  4.500%  4/15/50     127       156
1 Trustees of Boston College  3.129%   7/1/52     752       733
1 Trustees of Boston University  4.061%  10/1/48     995     1,111
  Trustees of Princeton University  5.700%   3/1/39     910     1,227
1 Trustees of Princeton University  2.516%   7/1/50   1,232     1,089
1 Trustees of the University of Pennsylvania  2.396%  10/1/50   1,105       950
  Trustees of the University of Pennsylvania  4.674%   9/1/12     400       517
  Trustees of the University of Pennsylvania  3.610%  2/15/19     700       706
1 University of Chicago  2.547%   4/1/50   1,230     1,077
  University of Chicago  3.000%  10/1/52   1,075     1,054
1 University of Chicago  4.003%  10/1/53     800       897
1 University of Notre Dame du Lac  3.438%  2/15/45   1,073     1,117
1 University of Notre Dame du Lac  3.394%  2/15/48     739       771
1 University of Southern California  3.028%  10/1/39   1,694     1,658
1 University of Southern California  3.841%  10/1/47     535       592
  University of Southern California  2.805%  10/1/50     635       585
1 University of Southern California  2.945%  10/1/51     945       911
  University of Southern California  5.250%  10/1/11     745     1,025
1 University of Southern California  3.226%  10/1/20     735       686
  Whirlpool Corp.  4.500%   6/1/46   1,250     1,340
  Whirlpool Corp.  4.600%  5/15/50   1,240     1,352
1 William Marsh Rice University  3.574%  5/15/45   1,170     1,245
1 William Marsh Rice University  3.774%  5/15/55     358       406
1 Yale University  2.402%  4/15/50     725       635
                                 300,590
Consumer Staples (7.4%)
  Altria Group Inc.  5.800%  2/14/39   2,737     3,002
  Altria Group Inc.  3.400%   2/4/41   3,415     2,826
  Altria Group Inc.  4.250%   8/9/42   2,006     1,830
  Altria Group Inc.  4.500%   5/2/43   4,157     3,899
  Altria Group Inc.  5.375%  1/31/44   3,370     3,525
  Altria Group Inc.  3.875%  9/16/46   3,310     2,843
  Altria Group Inc.  5.950%  2/14/49   4,273     4,777
  Altria Group Inc.  4.450%   5/6/50   1,702     1,566
  Altria Group Inc.  3.700%   2/4/51   3,000     2,451
  Altria Group Inc.  6.200%  2/14/59     410       463
  Altria Group Inc.  4.000%   2/4/61   1,130       940
1 Anheuser-Busch Cos. LLC  4.700%   2/1/36   8,890     9,919
1 Anheuser-Busch Cos. LLC  4.900%   2/1/46  21,543    24,473
  Anheuser-Busch InBev Finance Inc.  4.700%   2/1/36   2,836     3,161
  Anheuser-Busch InBev Finance Inc.  4.000%  1/17/43   2,629     2,682
  Anheuser-Busch InBev Finance Inc.  4.625%   2/1/44   1,422     1,552
  Anheuser-Busch InBev Finance Inc.  4.900%   2/1/46   4,780     5,359
  Anheuser-Busch InBev Worldwide Inc.  5.875%  6/15/35   1,090     1,337
  Anheuser-Busch InBev Worldwide Inc.  4.375%  4/15/38   5,620     6,030
  Anheuser-Busch InBev Worldwide Inc.  8.200%  1/15/39   1,367     2,081
166

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Anheuser-Busch InBev Worldwide Inc.  5.450%  1/23/39   3,589     4,276
  Anheuser-Busch InBev Worldwide Inc.  8.000% 11/15/39   2,402     3,608
  Anheuser-Busch InBev Worldwide Inc.  4.350%   6/1/40   2,135     2,277
  Anheuser-Busch InBev Worldwide Inc.  4.950%  1/15/42   1,771     2,021
  Anheuser-Busch InBev Worldwide Inc.  3.750%  7/15/42   4,251     4,197
  Anheuser-Busch InBev Worldwide Inc.  4.600%  4/15/48   6,699     7,358
  Anheuser-Busch InBev Worldwide Inc.  4.439%  10/6/48   3,317     3,552
  Anheuser-Busch InBev Worldwide Inc.  5.550%  1/23/49   7,005     8,673
  Anheuser-Busch InBev Worldwide Inc.  4.500%   6/1/50   2,485     2,737
  Anheuser-Busch InBev Worldwide Inc.  4.750%  4/15/58   3,458     3,830
  Anheuser-Busch InBev Worldwide Inc.  5.800%  1/23/59   3,496     4,488
  Anheuser-Busch InBev Worldwide Inc.  4.600%   6/1/60   2,352     2,557
  Archer-Daniels-Midland Co.  2.900%   3/1/32   1,500     1,518
  Archer-Daniels-Midland Co.  5.935%  10/1/32     310       394
  Archer-Daniels-Midland Co.  5.375%  9/15/35     720       904
  Archer-Daniels-Midland Co.  3.750%  9/15/47   1,297     1,400
  Archer-Daniels-Midland Co.  4.500%  3/15/49   1,818     2,185
  Archer-Daniels-Midland Co.  2.700%  9/15/51   1,164     1,046
  BAT Capital Corp.  4.390%  8/15/37   3,436     3,299
  BAT Capital Corp.  3.734%  9/25/40     300       260
  BAT Capital Corp.  4.540%  8/15/47   5,027     4,641
  BAT Capital Corp.  4.758%   9/6/49   2,580     2,453
  BAT Capital Corp.  5.282%   4/2/50   1,228     1,242
  BAT Capital Corp.  3.984%  9/25/50   3,196     2,749
  Brown-Forman Corp.  4.000%  4/15/38     763       827
  Brown-Forman Corp.  4.500%  7/15/45     721       830
  Campbell Soup Co.  4.800%  3/15/48   1,051     1,196
  Campbell Soup Co.  3.125%  4/24/50   1,195     1,047
  Church & Dwight Co. Inc.  3.950%   8/1/47   1,063     1,147
  Coca-Cola Co.  2.500%   6/1/40     990       898
  Coca-Cola Co.  2.875%   5/5/41   1,238     1,176
  Coca-Cola Co.  4.200%  3/25/50   1,608     1,851
  Coca-Cola Co.  2.600%   6/1/50   4,060     3,560
  Coca-Cola Co.  3.000%   3/5/51   1,330     1,264
  Coca-Cola Co.  2.500%  3/15/51   6,135     5,258
  Coca-Cola Co.  2.750%   6/1/60   1,630     1,421
  Coca-Cola Femsa SAB de CV  1.850%   9/1/32   1,386     1,210
  Coca-Cola Femsa SAB de CV  5.250% 11/26/43   1,104     1,322
1 Colgate-Palmolive Co.  4.000%  8/15/45   1,063     1,198
1 Colgate-Palmolive Co.  3.700%   8/1/47     539       592
  Conagra Brands Inc.  5.300%  11/1/38   2,455     2,831
  Conagra Brands Inc.  5.400%  11/1/48   1,399     1,694
  Constellation Brands Inc.  4.500%   5/9/47   1,677     1,763
  Constellation Brands Inc.  4.100%  2/15/48   1,012     1,010
  Constellation Brands Inc.  5.250% 11/15/48   2,033     2,366
  Constellation Brands Inc.  3.750%   5/1/50     420       401
  Costco Wholesale Corp.  1.750%  4/20/32   3,564     3,283
  Delhaize America LLC  9.000%  4/15/31     210       302
  Diageo Capital plc  2.125%  4/29/32   2,056     1,935
  Diageo Capital plc  5.875%  9/30/36   2,209     2,915
  Diageo Capital plc  3.875%  4/29/43     809       872
  Diageo Investment Corp.  7.450%  4/15/35   1,007     1,461
  Diageo Investment Corp.  4.250%  5/11/42     570       642
  Dollar General Corp.  4.125%   4/3/50   1,415     1,461
  Dollar Tree Inc.  3.375%  12/1/51   1,050       932
167

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Estee Lauder Cos. Inc.  6.000%  5/15/37   1,972     2,638
  Estee Lauder Cos. Inc.  4.375%  6/15/45     948     1,091
  Estee Lauder Cos. Inc.  4.150%  3/15/47   1,138     1,286
  Estee Lauder Cos. Inc.  3.125%  12/1/49     815       795
  Fomento Economico Mexicano SAB de CV  4.375%  5/10/43     316       335
  Fomento Economico Mexicano SAB de CV  3.500%  1/16/50   5,218     4,903
  General Mills Inc.  5.400%  6/15/40     650       797
  General Mills Inc.  4.700%  4/17/48     400       472
  General Mills Inc.  3.000%   2/1/51   3,021     2,736
  Hershey Co.  3.375%  8/15/46   1,283     1,302
  Hershey Co.  3.125% 11/15/49     971       951
  Hormel Foods Corp.  3.050%   6/3/51   1,101     1,049
  Ingredion Inc.  3.900%   6/1/50     625       636
  J M Smucker Co.  2.125%  3/15/32   1,517     1,388
  J M Smucker Co.  4.250%  3/15/35   2,330     2,515
  J M Smucker Co.  2.750%  9/15/41     395       343
  J M Smucker Co.  4.375%  3/15/45     691       747
  J M Smucker Co.  3.550%  3/15/50     991       943
  Kellogg Co.  4.500%   4/1/46   1,131     1,278
  Keurig Dr Pepper Inc.  4.985%  5/25/38     802       916
  Keurig Dr Pepper Inc.  4.500% 11/15/45     839       899
  Keurig Dr Pepper Inc.  4.420% 12/15/46   2,524     2,699
  Keurig Dr Pepper Inc.  5.085%  5/25/48     555       649
  Keurig Dr Pepper Inc.  3.800%   5/1/50   1,455     1,431
  Keurig Dr Pepper Inc.  3.350%  3/15/51   1,725     1,571
  Kimberly-Clark Corp.  6.625%   8/1/37   2,098     2,969
  Kimberly-Clark Corp.  5.300%   3/1/41     353       441
  Kimberly-Clark Corp.  3.200%  7/30/46   1,415     1,382
  Kimberly-Clark Corp.  3.900%   5/4/47     365       395
  Kimberly-Clark Corp.  2.875%   2/7/50   1,734     1,623
  Koninklijke Ahold Delhaize NV  5.700%  10/1/40     677       873
  Kroger Co.  6.900%  4/15/38     391       530
  Kroger Co.  5.400%  7/15/40     993     1,188
  Kroger Co.  5.000%  4/15/42   1,673     1,932
  Kroger Co.  5.150%   8/1/43   1,896     2,203
  Kroger Co.  3.875% 10/15/46   1,323     1,331
  Kroger Co.  4.450%   2/1/47   1,943     2,111
  Kroger Co.  4.650%  1/15/48     999     1,118
  Kroger Co.  3.950%  1/15/50   1,412     1,452
  McCormick & Co. Inc.  4.200%  8/15/47     580       641
  Mead Johnson Nutrition Co.  5.900%  11/1/39     845     1,123
  Mead Johnson Nutrition Co.  4.600%   6/1/44   1,281     1,519
  Molson Coors Beverage Co.  5.000%   5/1/42   2,700     2,953
  Molson Coors Beverage Co.  4.200%  7/15/46   3,839     3,827
  Mondelez International Inc.  1.875% 10/15/32   1,933     1,738
  Mondelez International Inc.  2.625%   9/4/50   3,355     2,828
  PepsiCo Inc.  3.500%  3/19/40     674       707
  PepsiCo Inc.  2.625% 10/21/41   1,505     1,397
  PepsiCo Inc.  4.000%   3/5/42   1,223     1,344
  PepsiCo Inc.  3.600%  8/13/42   2,125     2,235
  PepsiCo Inc.  4.250% 10/22/44     789       896
  PepsiCo Inc.  4.450%  4/14/46   1,971     2,335
  PepsiCo Inc.  3.450%  10/6/46   3,410     3,516
  PepsiCo Inc.  4.000%   5/2/47   1,035     1,162
  PepsiCo Inc.  3.375%  7/29/49   1,515     1,532
168

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PepsiCo Inc.  2.875% 10/15/49   1,511     1,424
  PepsiCo Inc.  3.625%  3/19/50   2,176     2,326
  PepsiCo Inc.  2.750% 10/21/51   1,370     1,259
  PepsiCo Inc.  3.875%  3/19/60   1,570     1,753
  Philip Morris International Inc.  6.375%  5/16/38   3,276     4,242
  Philip Morris International Inc.  4.375% 11/15/41   1,974     2,048
  Philip Morris International Inc.  4.500%  3/20/42   1,650     1,745
  Philip Morris International Inc.  3.875%  8/21/42   1,397     1,368
  Philip Morris International Inc.  4.125%   3/4/43   3,232     3,246
  Philip Morris International Inc.  4.875% 11/15/43   1,844     2,035
  Philip Morris International Inc.  4.250% 11/10/44   1,095     1,129
  Procter & Gamble Co.  5.800%  8/15/34     289       379
  Procter & Gamble Co.  5.550%   3/5/37     375       499
  Procter & Gamble Co.  3.550%  3/25/40   1,885     2,018
  Procter & Gamble Co.  3.500% 10/25/47   1,505     1,620
  Procter & Gamble Co.  3.600%  3/25/50   1,376     1,515
  Reynolds American Inc.  5.700%  8/15/35   2,914     3,202
  Reynolds American Inc.  7.250%  6/15/37     805       997
  Reynolds American Inc.  6.150%  9/15/43   1,812     2,025
  Reynolds American Inc.  5.850%  8/15/45   4,693     5,064
  Sysco Corp.  5.375%  9/21/35   1,041     1,244
  Sysco Corp.  6.600%   4/1/40   2,712     3,627
  Sysco Corp.  4.850%  10/1/45   1,451     1,593
  Sysco Corp.  4.500%   4/1/46   1,881     1,999
  Sysco Corp.  4.450%  3/15/48   1,460     1,555
  Sysco Corp.  6.600%   4/1/50   1,999     2,772
  Sysco Corp.  3.150% 12/14/51     750       655
  Target Corp.  6.500% 10/15/37   1,322     1,857
  Target Corp.  7.000%  1/15/38     800     1,171
  Target Corp.  4.000%   7/1/42   2,035     2,255
  Target Corp.  3.625%  4/15/46   1,200     1,264
  Target Corp.  3.900% 11/15/47   1,885     2,074
  Target Corp.  2.950%  1/15/52   2,560     2,415
  Tyson Foods Inc.  4.875%  8/15/34   1,334     1,523
  Tyson Foods Inc.  5.150%  8/15/44   1,432     1,705
  Tyson Foods Inc.  4.550%   6/2/47   1,434     1,593
  Tyson Foods Inc.  5.100%  9/28/48   2,453     2,941
  Unilever Capital Corp.  5.900% 11/15/32   2,617     3,330
1 Unilever Capital Corp.  2.625%  8/12/51     485       421
  Walgreens Boots Alliance Inc.  4.800% 11/18/44   2,293     2,506
  Walgreens Boots Alliance Inc.  4.100%  4/15/50   2,611     2,618
  Walmart Inc.  5.250%   9/1/35     760       967
  Walmart Inc.  6.200%  4/15/38   1,387     1,923
  Walmart Inc.  3.950%  6/28/38   3,599     4,014
  Walmart Inc.  5.625%   4/1/40   1,231     1,636
  Walmart Inc.  5.000% 10/25/40   1,188     1,487
  Walmart Inc.  5.625%  4/15/41   2,638     3,540
  Walmart Inc.  2.500%  9/22/41     831       761
  Walmart Inc.  4.000%  4/11/43   1,533     1,712
  Walmart Inc.  3.625% 12/15/47   1,930     2,074
  Walmart Inc.  4.050%  6/29/48   4,109     4,700
  Walmart Inc.  2.950%  9/24/49   2,224     2,138
  Walmart Inc.  2.650%  9/22/51   3,069     2,808
                                 397,489
169

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Energy (8.8%)
  Baker Hughes Holdings LLC  5.125%  9/15/40   2,015     2,312
  Baker Hughes Holdings LLC  4.080% 12/15/47   3,201     3,241
  Boardwalk Pipelines LP  3.600%   9/1/32   1,000       990
  BP Capital Markets America Inc.  3.060%  6/17/41   2,384     2,141
  BP Capital Markets America Inc.  3.000%  2/24/50   5,215     4,454
  BP Capital Markets America Inc.  2.772% 11/10/50   4,950     4,033
  BP Capital Markets America Inc.  2.939%   6/4/51   4,050     3,409
  BP Capital Markets America Inc.  3.001%  3/17/52   2,862     2,435
  BP Capital Markets America Inc.  3.379%   2/8/61   4,892     4,312
  Burlington Resources LLC  5.950% 10/15/36     964     1,247
  Canadian Natural Resources Ltd.  6.450%  6/30/33     405       497
  Canadian Natural Resources Ltd.  5.850%   2/1/35   1,792     2,113
  Canadian Natural Resources Ltd.  6.500%  2/15/37   2,008     2,524
  Canadian Natural Resources Ltd.  6.250%  3/15/38     770       942
  Canadian Natural Resources Ltd.  6.750%   2/1/39   1,330     1,695
1 Canadian Natural Resources Ltd.  4.950%   6/1/47     840       948
  Cenovus Energy Inc.  5.250%  6/15/37   1,475     1,641
  Cenovus Energy Inc.  6.800%  9/15/37   1,128     1,426
  Cenovus Energy Inc.  6.750% 11/15/39   3,058     3,836
  Cenovus Energy Inc.  5.400%  6/15/47   2,055     2,323
  Cenovus Energy Inc.  3.750%  2/15/52   1,833     1,654
2 Cheniere Corpus Christi Holdings LLC  2.742% 12/31/39   1,873     1,701
  Chevron Corp.  3.078%  5/11/50   1,028       990
  Chevron USA Inc.  5.250% 11/15/43   2,423     3,072
  Chevron USA Inc.  2.343%  8/12/50   1,245     1,036
  Columbia Pipeline Group Inc.  5.800%   6/1/45   1,422     1,713
  ConocoPhillips  5.900% 10/15/32     596       742
  ConocoPhillips  5.900%  5/15/38   2,118     2,741
  ConocoPhillips  6.500%   2/1/39   4,938     6,842
2 ConocoPhillips  4.875%  10/1/47   4,000     4,806
  ConocoPhillips Co.  4.300% 11/15/44   1,970     2,159
3 ConocoPhillips Co.  3.800%  3/15/52   2,500     2,538
  Continental Resources Inc.  4.900%   6/1/44   1,135     1,144
  Devon Energy Corp.  7.950%  4/15/32   1,732     2,353
  Devon Energy Corp.  5.600%  7/15/41   1,709     1,998
  Devon Energy Corp.  4.750%  5/15/42   2,100     2,252
  Devon Energy Corp.  5.000%  6/15/45   1,745     1,945
  Diamondback Energy Inc.  4.400%  3/24/51   1,930     2,000
2 Eastern Gas Transmission & Storage Inc.  4.800%  11/1/43     880       954
2 Eastern Gas Transmission & Storage Inc.  4.600% 12/15/44     630       681
2 Eastern Gas Transmission & Storage Inc.  3.900% 11/15/49     825       803
1 Enbridge Energy Partners LP  7.500%  4/15/38   1,152     1,603
  Enbridge Energy Partners LP  5.500%  9/15/40     883     1,036
  Enbridge Energy Partners LP  7.375% 10/15/45     353       501
  Enbridge Inc.  2.500%   8/1/33     435       401
  Enbridge Inc.  4.500%  6/10/44     905       959
  Enbridge Inc.  5.500%  12/1/46   2,117     2,601
  Enbridge Inc.  4.000% 11/15/49   2,139     2,151
  Enbridge Inc.  3.400%   8/1/51   2,305     2,103
  Energy Transfer LP  4.900%  3/15/35   1,833     1,928
  Energy Transfer LP  6.625% 10/15/36   1,550     1,826
1 Energy Transfer LP  5.800%  6/15/38     757       846
  Energy Transfer LP  7.500%   7/1/38     649       827
  Energy Transfer LP  6.050%   6/1/41   1,114     1,265
170

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Energy Transfer LP  6.500%   2/1/42   2,732     3,230
  Energy Transfer LP  6.100%  2/15/42   1,646     1,855
  Energy Transfer LP  4.950%  1/15/43     868       856
  Energy Transfer LP  5.150%   2/1/43   1,775     1,802
  Energy Transfer LP  5.950%  10/1/43   2,428     2,677
  Energy Transfer LP  5.300%   4/1/44     874       905
  Energy Transfer LP  5.000%  5/15/44     100       100
  Energy Transfer LP  5.150%  3/15/45   2,821     2,894
  Energy Transfer LP  5.350%  5/15/45   1,465     1,539
  Energy Transfer LP  6.125% 12/15/45   2,390     2,712
  Energy Transfer LP  5.300%  4/15/47   2,737     2,869
  Energy Transfer LP  5.400%  10/1/47   2,978     3,166
  Energy Transfer LP  6.000%  6/15/48   1,869     2,114
  Energy Transfer LP  6.250%  4/15/49   1,409     1,645
  Energy Transfer LP  5.000%  5/15/50   4,255     4,433
1 Enterprise Products Operating LLC  6.875%   3/1/33     882     1,134
1 Enterprise Products Operating LLC  6.650% 10/15/34   1,522     1,920
  Enterprise Products Operating LLC  7.550%  4/15/38   2,018     2,760
  Enterprise Products Operating LLC  6.125% 10/15/39   1,896     2,346
  Enterprise Products Operating LLC  6.450%   9/1/40     550       705
  Enterprise Products Operating LLC  5.950%   2/1/41   1,055     1,288
  Enterprise Products Operating LLC  5.700%  2/15/42     710       842
  Enterprise Products Operating LLC  4.850%  8/15/42   2,061     2,241
  Enterprise Products Operating LLC  4.450%  2/15/43   2,361     2,426
  Enterprise Products Operating LLC  4.850%  3/15/44   2,685     2,925
  Enterprise Products Operating LLC  5.100%  2/15/45   2,704     3,023
  Enterprise Products Operating LLC  4.900%  5/15/46   1,827     2,001
  Enterprise Products Operating LLC  4.250%  2/15/48   2,530     2,565
  Enterprise Products Operating LLC  4.800%   2/1/49   2,976     3,250
  Enterprise Products Operating LLC  4.200%  1/31/50   2,988     3,001
  Enterprise Products Operating LLC  3.700%  1/31/51   1,802     1,684
  Enterprise Products Operating LLC  3.200%  2/15/52   1,126       973
  Enterprise Products Operating LLC  3.300%  2/15/53   2,784     2,437
  Enterprise Products Operating LLC  4.950% 10/15/54   1,371     1,527
  Enterprise Products Operating LLC  3.950%  1/31/60   1,525     1,432
  EOG Resources Inc.  3.900%   4/1/35   1,353     1,455
  EOG Resources Inc.  4.950%  4/15/50   1,230     1,494
  Exxon Mobil Corp.  2.995%  8/16/39   1,663     1,584
  Exxon Mobil Corp.  4.227%  3/19/40   4,095     4,507
  Exxon Mobil Corp.  3.567%   3/6/45   3,517     3,517
  Exxon Mobil Corp.  4.114%   3/1/46   6,278     6,842
  Exxon Mobil Corp.  3.095%  8/16/49   4,794     4,488
  Exxon Mobil Corp.  4.327%  3/19/50   3,972     4,497
  Exxon Mobil Corp.  3.452%  4/15/51   4,665     4,624
  Halliburton Co.  4.850% 11/15/35   2,415     2,690
  Halliburton Co.  6.700%  9/15/38   2,873     3,697
  Halliburton Co.  7.450%  9/15/39     924     1,274
  Halliburton Co.  4.500% 11/15/41   1,745     1,806
  Halliburton Co.  4.750%   8/1/43   2,554     2,721
  Halliburton Co.  5.000% 11/15/45   3,209     3,581
  Hess Corp.  7.125%  3/15/33   1,480     1,881
  Hess Corp.  6.000%  1/15/40     682       811
  Hess Corp.  5.600%  2/15/41   3,240     3,734
  Hess Corp.  5.800%   4/1/47   1,188     1,420
  Kinder Morgan Energy Partners LP  7.750%  3/15/32   1,381     1,830
171

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Kinder Morgan Energy Partners LP  7.300%  8/15/33     481       617
  Kinder Morgan Energy Partners LP  5.800%  3/15/35     971     1,140
  Kinder Morgan Energy Partners LP  6.500%   2/1/37   1,668     2,066
1 Kinder Morgan Energy Partners LP  6.950%  1/15/38     937     1,196
  Kinder Morgan Energy Partners LP  6.500%   9/1/39   1,543     1,870
  Kinder Morgan Energy Partners LP  6.550%  9/15/40   1,871     2,289
  Kinder Morgan Energy Partners LP  7.500% 11/15/40   1,869     2,499
  Kinder Morgan Energy Partners LP  5.625%   9/1/41     790       892
  Kinder Morgan Energy Partners LP  5.000%  8/15/42   1,090     1,147
  Kinder Morgan Energy Partners LP  4.700%  11/1/42   1,332     1,363
  Kinder Morgan Energy Partners LP  5.000%   3/1/43   1,193     1,265
  Kinder Morgan Energy Partners LP  5.500%   3/1/44   3,050     3,424
  Kinder Morgan Energy Partners LP  5.400%   9/1/44   2,272     2,534
  Kinder Morgan Inc.  5.300%  12/1/34   1,503     1,695
  Kinder Morgan Inc.  5.550%   6/1/45   2,751     3,153
  Kinder Morgan Inc.  5.050%  2/15/46   2,156     2,335
  Kinder Morgan Inc.  5.200%   3/1/48   1,236     1,376
  Kinder Morgan Inc.  3.250%   8/1/50     774       651
  Kinder Morgan Inc.  3.600%  2/15/51   1,850     1,659
  Magellan Midstream Partners LP  5.150% 10/15/43     595       656
  Magellan Midstream Partners LP  4.250%  9/15/46     430       426
  Magellan Midstream Partners LP  4.200%  10/3/47   2,092     2,056
  Magellan Midstream Partners LP  4.850%   2/1/49     555       595
  Magellan Midstream Partners LP  3.950%   3/1/50   2,812     2,662
  Marathon Oil Corp.  6.800%  3/15/32     479       589
  Marathon Oil Corp.  6.600%  10/1/37   2,732     3,440
  Marathon Oil Corp.  5.200%   6/1/45   1,018     1,126
  Marathon Petroleum Corp.  6.500%   3/1/41     922     1,173
  Marathon Petroleum Corp.  4.750%  9/15/44   2,131     2,253
  Marathon Petroleum Corp.  4.500%   4/1/48   1,335     1,380
  Marathon Petroleum Corp.  5.000%  9/15/54   1,060     1,140
  MPLX LP  4.500%  4/15/38   3,318     3,432
  MPLX LP  5.200%   3/1/47   1,287     1,418
  MPLX LP  5.200%  12/1/47   1,573     1,713
  MPLX LP  4.700%  4/15/48   1,221     1,265
  MPLX LP  5.500%  2/15/49   5,003     5,715
  MPLX LP  4.900%  4/15/58   1,719     1,772
  NOV Inc.  3.950%  12/1/42   1,885     1,701
  ONEOK Inc.  6.000%  6/15/35   1,085     1,248
  ONEOK Inc.  4.950%  7/13/47   1,485     1,558
  ONEOK Inc.  5.200%  7/15/48   1,928     2,100
  ONEOK Inc.  4.450%   9/1/49   1,750     1,723
  ONEOK Inc.  4.500%  3/15/50     855       845
  ONEOK Inc.  7.150%  1/15/51   1,040     1,380
  ONEOK Partners LP  6.650%  10/1/36     920     1,109
  ONEOK Partners LP  6.850% 10/15/37   1,920     2,374
  ONEOK Partners LP  6.125%   2/1/41     682       786
  ONEOK Partners LP  6.200%  9/15/43   1,050     1,213
  Ovintiv Inc.  6.500%  8/15/34   1,785     2,178
  Ovintiv Inc.  6.625%  8/15/37   1,400     1,710
  Ovintiv Inc.  6.500%   2/1/38     460       547
  Phillips 66  4.650% 11/15/34   1,468     1,638
  Phillips 66  5.875%   5/1/42   2,877     3,648
  Phillips 66  4.875% 11/15/44   3,990     4,543
  Phillips 66  3.300%  3/15/52   2,850     2,547
172

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Phillips 66 Partners LP  4.680%  2/15/45     757       816
  Phillips 66 Partners LP  4.900%  10/1/46   1,695     1,882
  Plains All American Pipeline LP  6.650%  1/15/37   1,279     1,511
  Plains All American Pipeline LP  5.150%   6/1/42   1,671     1,671
  Plains All American Pipeline LP  4.300%  1/31/43   1,092       993
  Plains All American Pipeline LP  4.700%  6/15/44   1,150     1,094
  Plains All American Pipeline LP  4.900%  2/15/45   1,217     1,180
  Shell International Finance BV  4.125%  5/11/35   5,066     5,556
  Shell International Finance BV  6.375% 12/15/38   3,177     4,317
  Shell International Finance BV  5.500%  3/25/40   3,114     3,925
  Shell International Finance BV  2.875% 11/26/41   1,325     1,219
  Shell International Finance BV  3.625%  8/21/42   3,350     3,379
  Shell International Finance BV  4.550%  8/12/43   3,145     3,588
  Shell International Finance BV  4.375%  5/11/45   7,536     8,329
  Shell International Finance BV  4.000%  5/10/46   4,692     4,974
  Shell International Finance BV  3.750%  9/12/46     429       440
  Shell International Finance BV  3.125%  11/7/49   1,982     1,839
  Shell International Finance BV  3.250%   4/6/50   3,805     3,653
  Shell International Finance BV  3.000% 11/26/51   2,095     1,908
  Spectra Energy Partners LP  5.950%  9/25/43   1,787     2,244
  Spectra Energy Partners LP  4.500%  3/15/45   1,518     1,579
  Suncor Energy Inc.  5.350%  7/15/33     428       485
  Suncor Energy Inc.  5.950%  12/1/34   2,196     2,609
  Suncor Energy Inc.  5.950%  5/15/35   1,421     1,714
  Suncor Energy Inc.  6.800%  5/15/38   1,059     1,379
  Suncor Energy Inc.  6.500%  6/15/38   1,699     2,148
  Suncor Energy Inc.  6.850%   6/1/39     849     1,118
  Suncor Energy Inc.  4.000% 11/15/47   2,425     2,444
  Suncor Energy Inc.  3.750%   3/4/51   1,360     1,304
  Texas Eastern Transmission LP  7.000%  7/15/32     397       514
  TotalEnergies Capital International SA  2.986%  6/29/41   1,334     1,234
  TotalEnergies Capital International SA  3.461%  7/12/49   1,030     1,001
  TotalEnergies Capital International SA  3.127%  5/29/50   7,911     7,311
  TotalEnergies Capital International SA  3.386%  6/29/60     665       619
  TransCanada PipeLines Ltd.  4.625%   3/1/34   1,815     1,986
  TransCanada PipeLines Ltd.  5.600%  3/31/34   1,411     1,656
  TransCanada PipeLines Ltd.  5.850%  3/15/36   2,195     2,662
  TransCanada PipeLines Ltd.  6.200% 10/15/37   2,525     3,190
  TransCanada PipeLines Ltd.  4.750%  5/15/38     880       963
  TransCanada PipeLines Ltd.  7.250%  8/15/38   1,791     2,473
  TransCanada PipeLines Ltd.  7.625%  1/15/39   1,305     1,863
  TransCanada PipeLines Ltd.  6.100%   6/1/40   1,596     2,018
  TransCanada PipeLines Ltd.  5.000% 10/16/43   2,098     2,376
  TransCanada PipeLines Ltd.  4.875%  5/15/48   3,105     3,516
  TransCanada PipeLines Ltd.  5.100%  3/15/49     890     1,046
  Transcontinental Gas Pipe Line Co. LLC  5.400%  8/15/41   1,355     1,580
  Transcontinental Gas Pipe Line Co. LLC  4.450%   8/1/42     900       953
  Transcontinental Gas Pipe Line Co. LLC  4.600%  3/15/48   2,194     2,390
  Transcontinental Gas Pipe Line Co. LLC  3.950%  5/15/50   1,943     1,935
  Valero Energy Corp.  7.500%  4/15/32   1,598     2,083
  Valero Energy Corp.  6.625%  6/15/37   2,952     3,750
  Valero Energy Corp.  4.900%  3/15/45     680       735
  Valero Energy Corp.  3.650%  12/1/51   2,050     1,843
  Valero Energy Corp.  4.000%   6/1/52   1,400     1,336
  Williams Cos. Inc.  8.750%  3/15/32     836     1,176
173

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Williams Cos. Inc.  6.300%  4/15/40   1,348     1,665
  Williams Cos. Inc.  5.800% 11/15/43     628       743
  Williams Cos. Inc.  5.400%   3/4/44     566       636
  Williams Cos. Inc.  5.750%  6/24/44   1,272     1,499
  Williams Cos. Inc.  4.900%  1/15/45   2,376     2,559
  Williams Cos. Inc.  5.100%  9/15/45   1,107     1,225
  Williams Cos. Inc.  4.850%   3/1/48   2,112     2,296
  Williams Cos. Inc.  3.500% 10/15/51   1,491     1,330
                                 472,710
Financials (14.8%)
  AerCap Ireland Capital DAC  3.400% 10/29/33   5,101     4,813
  AerCap Ireland Capital DAC  3.850% 10/29/41   2,575     2,368
  Aflac Inc.  4.000% 10/15/46   1,403     1,488
  Aflac Inc.  4.750%  1/15/49   1,739     2,081
  Alleghany Corp.  4.900%  9/15/44     682       754
  Alleghany Corp.  3.250%  8/15/51     810       694
  Allstate Corp.  5.350%   6/1/33     879     1,059
  Allstate Corp.  5.550%   5/9/35     711       871
  Allstate Corp.  4.500%  6/15/43   1,193     1,347
  Allstate Corp.  4.200% 12/15/46   1,490     1,636
  Allstate Corp.  3.850%  8/10/49   2,860     3,001
1 Allstate Corp.  6.500%  5/15/57     670       837
  American Express Co.  4.050%  12/3/42   3,127     3,434
  American Financial Group Inc.  4.500%  6/15/47     433       465
  American International Group Inc.  3.875%  1/15/35   1,147     1,200
  American International Group Inc.  4.700%  7/10/35   2,905     3,279
  American International Group Inc.  6.250%   5/1/36   1,615     2,101
  American International Group Inc.  4.500%  7/16/44   3,767     4,177
  American International Group Inc.  4.800%  7/10/45     478       551
  American International Group Inc.  4.750%   4/1/48     610       707
  American International Group Inc.  4.375%  6/30/50   1,805     2,008
  American International Group Inc.  4.375%  1/15/55   4,090     4,452
  Aon Corp.  6.250%  9/30/40     844     1,119
  Aon Corp.  2.900%  8/23/51   1,500     1,288
  Aon Corp.  3.900%  2/28/52     750       754
  Aon plc  4.600%  6/14/44     453       498
  Aon plc  4.750%  5/15/45   2,000     2,224
  Arch Capital Finance LLC  5.031% 12/15/46     693       807
  Arch Capital Group Ltd.  7.350%   5/1/34     767     1,051
  Arch Capital Group Ltd.  3.635%  6/30/50   2,208     2,115
  Arch Capital Group US Inc.  5.144%  11/1/43   1,160     1,376
  Arthur J Gallagher & Co.  3.500%  5/20/51   1,895     1,774
  Arthur J Gallagher & Co.  3.050%   3/9/52     530       451
  Assured Guaranty US Holdings Inc.  3.600%  9/15/51     755       687
  Athene Holding Ltd.  3.950%  5/25/51   2,087     1,995
  Athene Holding Ltd.  3.450%  5/15/52   1,400     1,224
  Bank of America Corp.  6.110%  1/29/37   4,452     5,601
1 Bank of America Corp.  4.244%  4/24/38   2,906     3,172
  Bank of America Corp.  7.750%  5/14/38   3,238     4,699
1 Bank of America Corp.  4.078%  4/23/40   3,997     4,233
1 Bank of America Corp.  2.676%  6/19/41   8,547     7,507
1 Bank of America Corp.  5.875%   2/7/42   2,709     3,516
  Bank of America Corp.  3.311%  4/22/42   7,445     7,143
1 Bank of America Corp.  5.000%  1/21/44   6,589     7,754
1 Bank of America Corp.  4.875%   4/1/44     902     1,048
174

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Bank of America Corp.  4.750%  4/21/45   1,021     1,150
1 Bank of America Corp.  4.443%  1/20/48   6,735     7,541
1 Bank of America Corp.  3.946%  1/23/49   3,394     3,546
1 Bank of America Corp.  4.330%  3/15/50   5,305     5,887
1 Bank of America Corp.  4.083%  3/20/51  13,172    14,161
1 Bank of America Corp.  2.831% 10/24/51   1,590     1,386
1 Bank of America Corp.  3.483%  3/13/52   2,200     2,144
  Bank of America Corp.  2.972%  7/21/52   4,033     3,590
1 Bank of America NA  6.000% 10/15/36   2,744     3,493
  Barclays plc  3.811%  3/10/42   1,260     1,177
  Barclays plc  3.330% 11/24/42   1,495     1,365
  Barclays plc  5.250%  8/17/45   2,456     2,881
  Barclays plc  4.950%  1/10/47   4,097     4,628
  Berkshire Hathaway Finance Corp.  5.750%  1/15/40   1,339     1,752
  Berkshire Hathaway Finance Corp.  4.400%  5/15/42   3,349     3,738
  Berkshire Hathaway Finance Corp.  4.300%  5/15/43   2,625     2,909
  Berkshire Hathaway Finance Corp.  4.200%  8/15/48   5,459     6,028
  Berkshire Hathaway Finance Corp.  4.250%  1/15/49   3,239     3,606
  Berkshire Hathaway Finance Corp.  2.850% 10/15/50   2,667     2,343
  Berkshire Hathaway Finance Corp.  2.500%  1/15/51   1,185       984
  Berkshire Hathaway Inc.  4.500%  2/11/43   1,330     1,523
  Brighthouse Financial Inc.  4.700%  6/22/47   1,798     1,797
  Brighthouse Financial Inc.  3.850% 12/22/51   1,200     1,048
  Brookfield Finance Inc.  4.700%  9/20/47   1,714     1,876
  Brookfield Finance Inc.  3.500%  3/30/51   1,625     1,486
  Brookfield Finance Inc.  3.625%  2/15/52   1,025       950
  Brookfield Finance LLC  3.450%  4/15/50   1,125     1,017
  Chubb Corp.  6.000%  5/11/37   1,966     2,600
1 Chubb Corp.  6.500%  5/15/38     850     1,175
  Chubb INA Holdings Inc.  6.700%  5/15/36   1,958     2,719
  Chubb INA Holdings Inc.  4.150%  3/13/43   2,472     2,709
  Chubb INA Holdings Inc.  4.350%  11/3/45   1,459     1,652
  Chubb INA Holdings Inc.  2.850% 12/15/51   1,300     1,160
  Chubb INA Holdings Inc.  3.050% 12/15/61   1,625     1,453
  CI Financial Corp.  4.100%  6/15/51   2,045     1,946
  Cincinnati Financial Corp.  6.125%  11/1/34     774       998
  Citigroup Inc.  6.625%  6/15/32   3,460     4,338
  Citigroup Inc.  5.875%  2/22/33   1,105     1,318
  Citigroup Inc.  6.000% 10/31/33   2,253     2,740
  Citigroup Inc.  6.125%  8/25/36   1,700     2,147
1 Citigroup Inc.  3.878%  1/24/39   1,182     1,235
  Citigroup Inc.  8.125%  7/15/39   3,061     4,794
1 Citigroup Inc.  5.316%  3/26/41   1,567     1,898
  Citigroup Inc.  5.875%  1/30/42   4,112     5,294
  Citigroup Inc.  2.904%  11/3/42   1,885     1,700
  Citigroup Inc.  6.675%  9/13/43   1,079     1,492
  Citigroup Inc.  5.300%   5/6/44   1,265     1,489
  Citigroup Inc.  4.650%  7/30/45   3,753     4,253
  Citigroup Inc.  4.750%  5/18/46   4,640     5,169
1 Citigroup Inc.  4.281%  4/24/48   2,573     2,834
  Citigroup Inc.  4.650%  7/23/48   3,813     4,452
  Citizens Financial Group Inc.  2.638%  9/30/32     683       636
  CME Group Inc.  5.300%  9/15/43   1,401     1,790
  CME Group Inc.  4.150%  6/15/48   1,947     2,229
1 Cooperatieve Rabobank UA  5.250%  5/24/41   4,289     5,540
175

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Cooperatieve Rabobank UA  5.750%  12/1/43   2,410     3,059
  Cooperatieve Rabobank UA  5.250%   8/4/45   2,844     3,402
  Credit Suisse Group AG  4.875%  5/15/45   4,469     4,918
  Credit Suisse USA Inc.  7.125%  7/15/32     419       556
  Equitable Holdings Inc.  5.000%  4/20/48   3,512     3,923
  Everest Reinsurance Holdings Inc.  4.868%   6/1/44   1,268     1,464
  Everest Reinsurance Holdings Inc.  3.500% 10/15/50   1,763     1,655
  Everest Reinsurance Holdings Inc.  3.125% 10/15/52   2,020     1,766
  Fidelity National Financial Inc.  3.200%  9/17/51     915       774
  Fifth Third Bancorp  8.250%   3/1/38   2,111     3,204
1 First Republic Bank  4.375%   8/1/46   1,425     1,606
  Franklin Resources Inc.  2.950%  8/12/51     710       614
  GATX Corp.  5.200%  3/15/44     797       920
  GATX Corp.  3.100%   6/1/51     880       762
  GE Capital Funding LLC  4.550%  5/15/32   1,370     1,527
  GE Capital International Funding Co. Unlimited Co.  4.418% 11/15/35  16,143    18,191
  Global Payments Inc.  4.150%  8/15/49   2,425     2,392
  Goldman Sachs Capital I  6.345%  2/15/34   1,311     1,639
  Goldman Sachs Group Inc.  6.125%  2/15/33   2,833     3,512
  Goldman Sachs Group Inc.  6.450%   5/1/36   1,715     2,186
  Goldman Sachs Group Inc.  6.750%  10/1/37  13,306    17,479
1 Goldman Sachs Group Inc.  4.017% 10/31/38   8,218     8,661
1 Goldman Sachs Group Inc.  4.411%  4/23/39   3,473     3,758
  Goldman Sachs Group Inc.  6.250%   2/1/41   3,679     4,832
  Goldman Sachs Group Inc.  3.210%  4/22/42   5,772     5,377
  Goldman Sachs Group Inc.  2.908%  7/21/42     505       451
  Goldman Sachs Group Inc.  3.436%  2/24/43   5,060     4,864
1 Goldman Sachs Group Inc.  4.800%   7/8/44   5,888     6,753
  Goldman Sachs Group Inc.  5.150%  5/22/45   4,446     5,218
  Goldman Sachs Group Inc.  4.750% 10/21/45   1,696     1,935
  Hartford Financial Services Group Inc.  5.950% 10/15/36     619       781
  Hartford Financial Services Group Inc.  6.100%  10/1/41     971     1,282
  Hartford Financial Services Group Inc.  4.300%  4/15/43   1,198     1,261
  Hartford Financial Services Group Inc.  4.400%  3/15/48     773       860
  Hartford Financial Services Group Inc.  3.600%  8/19/49   1,493     1,456
  Hartford Financial Services Group Inc.  2.900%  9/15/51   1,330     1,125
1 HSBC Bank USA NA  5.875%  11/1/34     665       798
1 HSBC Bank USA NA  5.625%  8/15/35     865     1,022
1 HSBC Bank USA NA  7.000%  1/15/39   1,651     2,363
1 HSBC Holdings plc  7.625%  5/17/32     796     1,039
  HSBC Holdings plc  6.500%   5/2/36   4,989     6,283
  HSBC Holdings plc  6.500%  9/15/37   5,965     7,611
  HSBC Holdings plc  6.800%   6/1/38   3,311     4,329
  HSBC Holdings plc  6.100%  1/14/42   1,481     1,955
  HSBC Holdings plc  5.250%  3/14/44   2,968     3,410
  Intercontinental Exchange Inc.  1.850%  9/15/32   2,190     1,958
  Intercontinental Exchange Inc.  2.650%  9/15/40   2,800     2,485
  Intercontinental Exchange Inc.  4.250%  9/21/48   4,001     4,426
  Intercontinental Exchange Inc.  3.000%  6/15/50   2,841     2,533
  Intercontinental Exchange Inc.  3.000%  9/15/60   1,000       857
  Invesco Finance plc  5.375% 11/30/43     783       934
2 Jackson Financial Inc.  4.000% 11/23/51     300       271
  Jefferies Group LLC  2.750% 10/15/32   1,545     1,428
  Jefferies Group LLC  6.250%  1/15/36   1,089     1,340
  Jefferies Group LLC  6.500%  1/20/43     534       673
176

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  JPMorgan Chase & Co.  1.953%   2/4/32      85        78
  JPMorgan Chase & Co.  6.400%  5/15/38   5,567     7,468
1 JPMorgan Chase & Co.  3.882%  7/24/38   5,074     5,376
  JPMorgan Chase & Co.  5.500% 10/15/40   4,230     5,258
1 JPMorgan Chase & Co.  3.109%  4/22/41   3,373     3,192
  JPMorgan Chase & Co.  5.600%  7/15/41   2,852     3,594
  JPMorgan Chase & Co.  2.525% 11/19/41   1,195     1,033
  JPMorgan Chase & Co.  5.400%   1/6/42   2,967     3,678
  JPMorgan Chase & Co.  3.157%  4/22/42   3,448     3,262
  JPMorgan Chase & Co.  5.625%  8/16/43   3,214     4,047
  JPMorgan Chase & Co.  4.850%   2/1/44   3,676     4,360
  JPMorgan Chase & Co.  4.950%   6/1/45   1,651     1,937
1 JPMorgan Chase & Co.  4.260%  2/22/48   5,526     6,050
1 JPMorgan Chase & Co.  4.032%  7/24/48   4,151     4,423
1 JPMorgan Chase & Co.  3.964% 11/15/48   7,803     8,276
1 JPMorgan Chase & Co.  3.897%  1/23/49   4,468     4,655
1 JPMorgan Chase & Co.  3.109%  4/22/51   5,585     5,174
  JPMorgan Chase & Co.  3.328%  4/22/52   7,395     7,124
  Legg Mason Inc.  5.625%  1/15/44   1,208     1,506
  Lincoln National Corp.  6.300%  10/9/37   1,289     1,686
  Lincoln National Corp.  7.000%  6/15/40   1,348     1,880
  Lincoln National Corp.  4.350%   3/1/48     906       986
  Lloyds Banking Group plc  5.300%  12/1/45     860       992
  Lloyds Banking Group plc  4.344%   1/9/48   4,457     4,554
  Loews Corp.  4.125%  5/15/43   2,031     2,145
  Manulife Financial Corp.  5.375%   3/4/46     475       605
  Markel Corp.  5.000%   4/5/46     610       711
  Markel Corp.  4.300%  11/1/47     865       925
  Markel Corp.  5.000%  5/20/49   1,258     1,465
  Markel Corp.  4.150%  9/17/50   1,662     1,739
  Markel Corp.  3.450%   5/7/52     990       923
  Marsh & McLennan Cos. Inc.  5.875%   8/1/33   1,548     1,925
  Marsh & McLennan Cos. Inc.  4.750%  3/15/39   1,946     2,245
  Marsh & McLennan Cos. Inc.  4.350%  1/30/47   1,918     2,137
  Marsh & McLennan Cos. Inc.  4.200%   3/1/48     160       172
  Marsh & McLennan Cos. Inc.  4.900%  3/15/49   1,749     2,096
  Marsh & McLennan Cos. Inc.  2.900% 12/15/51     945       831
  Mastercard Inc.  3.800% 11/21/46   1,904     2,038
  Mastercard Inc.  3.950%  2/26/48   2,475     2,708
  Mastercard Inc.  3.650%   6/1/49     744       786
  Mastercard Inc.  3.850%  3/26/50   3,481     3,780
  Mastercard Inc.  2.950%  3/15/51   2,215     2,103
  MetLife Inc.  6.500% 12/15/32   1,479     1,941
  MetLife Inc.  6.375%  6/15/34     930     1,220
  MetLife Inc.  5.700%  6/15/35   2,616     3,283
1 MetLife Inc.  6.400% 12/15/36     813       919
1 MetLife Inc. 10.750%   8/1/39     526       818
  MetLife Inc.  5.875%   2/6/41   3,446     4,488
  MetLife Inc.  4.125%  8/13/42   1,998     2,144
  MetLife Inc.  4.875% 11/13/43   2,093     2,496
  MetLife Inc.  4.721% 12/15/44   1,517     1,764
  MetLife Inc.  4.050%   3/1/45   2,311     2,514
  MetLife Inc.  4.600%  5/13/46     920     1,084
  Mitsubishi UFJ Financial Group Inc.  4.286%  7/26/38   1,273     1,414
  Mitsubishi UFJ Financial Group Inc.  4.153%   3/7/39   1,444     1,584
177

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Mitsubishi UFJ Financial Group Inc.  3.751%  7/18/39   3,445     3,599
  Morgan Stanley  7.250%   4/1/32   1,645     2,204
1 Morgan Stanley  3.971%  7/22/38   5,884     6,190
1 Morgan Stanley  4.457%  4/22/39   2,648     2,904
  Morgan Stanley  3.217%  4/22/42   6,953     6,632
  Morgan Stanley  6.375%  7/24/42   2,459     3,354
  Morgan Stanley  4.300%  1/27/45   4,319     4,700
  Morgan Stanley  4.375%  1/22/47   7,031     7,810
1 Morgan Stanley  5.597%  3/24/51   2,943     3,927
1 Morgan Stanley  2.802%  1/25/52   3,919     3,423
  Nasdaq Inc.  2.500% 12/21/40   1,083       911
  Nasdaq Inc.  3.250%  4/28/50   1,345     1,219
1 Nationwide Financial Services Inc.  6.750%  5/15/37     826       943
  Old Republic International Corp.  3.850%  6/11/51   1,425     1,344
  PayPal Holdings Inc.  3.250%   6/1/50   1,425     1,335
  Principal Financial Group Inc.  6.050% 10/15/36     365       482
  Principal Financial Group Inc.  4.625%  9/15/42     947     1,082
  Principal Financial Group Inc.  4.350%  5/15/43     979     1,080
  Principal Financial Group Inc.  4.300% 11/15/46   1,025     1,143
  Progressive Corp.  6.625%   3/1/29       1         1
  Progressive Corp.  6.250%  12/1/32   1,149     1,492
  Progressive Corp.  4.350%  4/25/44   1,990     2,232
  Progressive Corp.  3.700%  1/26/45   1,560     1,599
  Progressive Corp.  4.125%  4/15/47   1,499     1,638
  Progressive Corp.  4.200%  3/15/48   1,483     1,633
  Progressive Corp.  3.950%  3/26/50   1,350     1,444
1 Prudential Financial Inc.  5.700% 12/14/36     725       921
1 Prudential Financial Inc.  6.625%  12/1/37     866     1,175
1 Prudential Financial Inc.  3.000%  3/10/40     625       587
1 Prudential Financial Inc.  6.625%  6/21/40     860     1,174
1 Prudential Financial Inc.  6.200% 11/15/40     545       708
1 Prudential Financial Inc.  5.100%  8/15/43     516       576
1 Prudential Financial Inc.  4.600%  5/15/44   1,783     2,028
  Prudential Financial Inc.  3.905%  12/7/47   2,850     2,971
1 Prudential Financial Inc.  4.418%  3/27/48   2,662     2,983
  Prudential Financial Inc.  3.935%  12/7/49   2,791     2,932
1 Prudential Financial Inc.  4.350%  2/25/50   1,630     1,837
1 Prudential Financial Inc.  3.700%  3/13/51     990     1,002
  Raymond James Financial Inc.  4.950%  7/15/46   2,027     2,332
  Raymond James Financial Inc.  3.750%   4/1/51   1,023     1,018
1 Regions Bank  6.450%  6/26/37   1,110     1,453
  Regions Financial Corp.  7.375% 12/10/37     600       839
  Selective Insurance Group Inc.  5.375%   3/1/49     685       784
  Sumitomo Mitsui Financial Group Inc.  2.296%  1/12/41   1,265     1,070
  Sumitomo Mitsui Financial Group Inc.  2.930%  9/17/41   1,470     1,324
  Transatlantic Holdings Inc.  8.000% 11/30/39     828     1,228
  Travelers Cos. Inc.  6.750%  6/20/36   1,440     1,991
1 Travelers Cos. Inc.  6.250%  6/15/37     590       791
  Travelers Cos. Inc.  5.350%  11/1/40   1,392     1,751
  Travelers Cos. Inc.  4.300%  8/25/45   2,118     2,388
  Travelers Cos. Inc.  3.750%  5/15/46     484       502
  Travelers Cos. Inc.  4.000%  5/30/47   1,066     1,147
  Travelers Cos. Inc.  4.050%   3/7/48   1,716     1,865
  Travelers Cos. Inc.  4.100%   3/4/49     830       914
  Travelers Cos. Inc.  2.550%  4/27/50     960       821
178

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Travelers Cos. Inc.  3.050%   6/8/51   2,390     2,228
  Travelers Property Casualty Corp.  6.375%  3/15/33     318       417
  Unum Group  5.750%  8/15/42   1,034     1,152
  Unum Group  4.500% 12/15/49   1,603     1,547
  Unum Group  4.125%  6/15/51     841       763
  Visa Inc.  4.150% 12/14/35   4,227     4,741
  Visa Inc.  2.700%  4/15/40   1,310     1,232
  Visa Inc.  4.300% 12/14/45   7,394     8,562
  Visa Inc.  3.650%  9/15/47   1,720     1,823
  Visa Inc.  2.000%  8/15/50   3,009     2,397
  Voya Financial Inc.  5.700%  7/15/43     592       745
  Voya Financial Inc.  4.800%  6/15/46     987     1,143
  W R Berkley Corp.  4.750%   8/1/44   1,511     1,716
  W R Berkley Corp.  4.000%  5/12/50     540       550
  W R Berkley Corp.  3.150%  9/30/61   1,325     1,100
  Wachovia Corp.  7.500%  4/15/35     515       694
  Wachovia Corp.  5.500%   8/1/35   1,468     1,736
1 Wells Fargo & Co.  3.068%  4/30/41   9,811     9,152
  Wells Fargo & Co.  5.375%  11/2/43   4,939     5,902
  Wells Fargo & Co.  5.606%  1/15/44   6,880     8,432
1 Wells Fargo & Co.  4.650%  11/4/44   5,109     5,596
  Wells Fargo & Co.  3.900%   5/1/45   3,960     4,108
1 Wells Fargo & Co.  4.900% 11/17/45   5,769     6,543
1 Wells Fargo & Co.  4.400%  6/14/46   3,392     3,636
1 Wells Fargo & Co.  4.750%  12/7/46   2,603     2,928
1 Wells Fargo & Co.  5.013%   4/4/51   9,083    11,199
  Wells Fargo Bank NA  5.950%  8/26/36   1,402     1,768
1 Wells Fargo Bank NA  5.850%   2/1/37   1,403     1,737
1 Wells Fargo Bank NA  6.600%  1/15/38   3,793     5,140
  Western Union Co.  6.200% 11/17/36   1,487     1,681
  Westpac Banking Corp.  4.421%  7/24/39   2,826     3,053
  Westpac Banking Corp.  2.963% 11/16/40   1,433     1,261
  Westpac Banking Corp.  3.133% 11/18/41   2,750     2,473
  Willis North America Inc.  5.050%  9/15/48   1,354     1,549
  Willis North America Inc.  3.875%  9/15/49   1,762     1,724
  XLIT Ltd.  5.250% 12/15/43     512       656
  XLIT Ltd.  5.500%  3/31/45   1,035     1,286
                                 794,398
Health Care (14.5%)
  Abbott Laboratories  4.750% 11/30/36   3,670     4,372
  Abbott Laboratories  6.150% 11/30/37   1,362     1,861
  Abbott Laboratories  6.000%   4/1/39   1,090     1,455
  Abbott Laboratories  5.300%  5/27/40   1,828     2,288
  Abbott Laboratories  4.750%  4/15/43   1,308     1,551
  Abbott Laboratories  4.900% 11/30/46   6,178     7,633
  AbbVie Inc.  4.550%  3/15/35   2,601     2,886
  AbbVie Inc.  4.500%  5/14/35   5,090     5,647
  AbbVie Inc.  4.300%  5/14/36   4,814     5,244
  AbbVie Inc.  4.050% 11/21/39   7,156     7,513
  AbbVie Inc.  4.625%  10/1/42   2,925     3,204
  AbbVie Inc.  4.400%  11/6/42   4,281     4,625
  AbbVie Inc.  4.850%  6/15/44   1,760     1,990
  AbbVie Inc.  4.750%  3/15/45   2,322     2,582
  AbbVie Inc.  4.700%  5/14/45   4,645     5,162
  AbbVie Inc.  4.450%  5/14/46   5,822     6,284
179

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  AbbVie Inc.  4.875% 11/14/48   4,230     4,868
  AbbVie Inc.  4.250% 11/21/49  11,279    11,987
  Adventist Health System  3.630%   3/1/49     955       988
  Advocate Health & Hospitals Corp.  4.272%  8/15/48     544       619
  Advocate Health & Hospitals Corp.  3.387% 10/15/49     740       735
1 Advocate Health & Hospitals Corp.  3.008%  6/15/50   1,963     1,853
  Aetna Inc.  6.625%  6/15/36     899     1,197
  Aetna Inc.  6.750% 12/15/37     522       707
  Aetna Inc.  4.500%  5/15/42     625       671
  Aetna Inc.  4.125% 11/15/42   2,407     2,468
  Aetna Inc.  4.750%  3/15/44   1,763     1,965
  Aetna Inc.  3.875%  8/15/47     646       651
  AHS Hospital Corp.  5.024%   7/1/45     948     1,169
1 AHS Hospital Corp.  2.780%   7/1/51   1,230     1,058
1 Allina Health System  3.887%  4/15/49     617       657
1 Allina Health System  2.902% 11/15/51     400       358
  AmerisourceBergen Corp.  4.250%   3/1/45   1,675     1,734
  AmerisourceBergen Corp.  4.300% 12/15/47   1,021     1,072
  Amgen Inc.  6.400%   2/1/39     985     1,332
  Amgen Inc.  3.150%  2/21/40   3,895     3,625
  Amgen Inc.  5.750%  3/15/40     344       428
  Amgen Inc.  2.800%  8/15/41   3,048     2,676
  Amgen Inc.  4.950%  10/1/41   2,281     2,620
  Amgen Inc.  5.150% 11/15/41     712       827
  Amgen Inc.  5.650%  6/15/42     870     1,082
  Amgen Inc.  4.400%   5/1/45   4,545     4,857
  Amgen Inc.  4.563%  6/15/48   3,351     3,675
  Amgen Inc.  3.375%  2/21/50   4,968     4,557
  Amgen Inc.  4.663%  6/15/51   7,642     8,573
  Amgen Inc.  3.000%  1/15/52   2,640     2,263
  Amgen Inc.  4.200%  2/22/52   2,000     2,097
  Amgen Inc.  2.770%   9/1/53   2,737     2,224
  Amgen Inc.  4.400%  2/22/62   3,200     3,371
  Anthem Inc.  5.950% 12/15/34     686       860
  Anthem Inc.  5.850%  1/15/36   1,115     1,400
  Anthem Inc.  4.625%  5/15/42   1,622     1,820
  Anthem Inc.  4.650%  1/15/43   3,061     3,439
  Anthem Inc.  5.100%  1/15/44   2,063     2,453
  Anthem Inc.  4.650%  8/15/44   2,701     3,037
  Anthem Inc.  4.375%  12/1/47     735       808
  Anthem Inc.  4.550%   3/1/48   1,900     2,143
  Anthem Inc.  3.700%  9/15/49   2,182     2,171
  Anthem Inc.  3.125%  5/15/50   2,111     1,920
  Anthem Inc.  3.600%  3/15/51   2,920     2,874
1 Ascension Health  3.106% 11/15/39     685       678
  Ascension Health  3.945% 11/15/46     782       867
1 Ascension Health  4.847% 11/15/53   1,045     1,347
  AstraZeneca plc  6.450%  9/15/37   5,980     8,200
  AstraZeneca plc  4.000%  9/18/42   2,125     2,307
  AstraZeneca plc  4.375% 11/16/45   2,113     2,419
  AstraZeneca plc  4.375%  8/17/48   1,634     1,889
  AstraZeneca plc  2.125%   8/6/50   1,760     1,389
  AstraZeneca plc  3.000%  5/28/51   1,665     1,562
  Banner Health  2.907%   1/1/42     750       699
1 Banner Health  3.181%   1/1/50     140       135
180

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Banner Health  2.913%   1/1/51   1,340     1,229
1 Baptist Health South Florida Obligated Group  3.115% 11/15/71     675       591
1 Baptist Healthcare System Obligated Group  3.540%  8/15/50   1,046     1,039
  Baxalta Inc.  5.250%  6/23/45   1,465     1,746
  Baxter International Inc.  3.500%  8/15/46   1,038     1,003
2 Baxter International Inc.  3.132%  12/1/51   2,025     1,823
1 BayCare Health System Inc.  3.831% 11/15/50   1,363     1,490
  Baylor Scott & White Holdings  4.185% 11/15/45   1,441     1,597
  Baylor Scott & White Holdings  3.967% 11/15/46     848       925
1 Baylor Scott & White Holdings  2.839% 11/15/50   1,442     1,303
  Becton Dickinson & Co.  4.685% 12/15/44     404       451
  Becton Dickinson & Co.  4.669%   6/6/47   4,745     5,322
  Becton Dickinson & Co.  3.794%  5/20/50   1,710     1,709
1 Beth Israel Lahey Health Inc.  3.080%   7/1/51   1,120     1,000
1 BHSH System Obligated Group  3.487%  7/15/49     860       859
  Biogen Inc.  3.150%   5/1/50   4,799     3,968
2 Biogen Inc.  3.250%  2/15/51   2,035     1,712
1 Bon Secours Mercy Health Inc.  3.205%   6/1/50     860       799
  Boston Scientific Corp.  6.750% 11/15/35     425       564
  Boston Scientific Corp.  4.550%   3/1/39   2,130     2,357
  Boston Scientific Corp.  4.700%   3/1/49   2,735     3,117
3 Bristol-Myers Squibb Co.  2.950%  3/15/32   4,000     4,058
  Bristol-Myers Squibb Co.  4.125%  6/15/39   3,491     3,828
  Bristol-Myers Squibb Co.  2.350% 11/13/40     415       359
3 Bristol-Myers Squibb Co.  3.550%  3/15/42   2,978     3,039
  Bristol-Myers Squibb Co.  3.250%   8/1/42   1,540     1,496
  Bristol-Myers Squibb Co.  4.500%   3/1/44   1,995     2,311
  Bristol-Myers Squibb Co.  4.625%  5/15/44   1,121     1,321
  Bristol-Myers Squibb Co.  5.000%  8/15/45   4,332     5,360
  Bristol-Myers Squibb Co.  4.350% 11/15/47   3,320     3,766
  Bristol-Myers Squibb Co.  4.550%  2/20/48   3,788     4,406
  Bristol-Myers Squibb Co.  4.250% 10/26/49   8,422     9,462
  Bristol-Myers Squibb Co.  2.550% 11/13/50     455       386
3 Bristol-Myers Squibb Co.  3.700%  3/15/52   4,250     4,382
3 Bristol-Myers Squibb Co.  3.900%  3/15/62   2,500     2,596
  Cardinal Health Inc.  4.600%  3/15/43     470       492
  Cardinal Health Inc.  4.500% 11/15/44     769       792
  Cardinal Health Inc.  4.900%  9/15/45   1,865     2,021
  Cardinal Health Inc.  4.368%  6/15/47     696       715
1 Catholic Health Services of Long Island Obligated Group  3.368%   7/1/50   1,090     1,017
  Children's Health System of Texas  2.511%  8/15/50   1,305     1,097
1 Children's Hospital  2.928%  7/15/50     840       736
1 Children's Hospital Corp.  4.115%   1/1/47     825       936
1 Children's Hospital Corp.  2.585%   2/1/50   1,265     1,083
  Children's Hospital Medical Center  4.268%  5/15/44     790       883
1 Children's Hospital of Philadelphia  2.704%   7/1/50   1,300     1,148
  Cigna Corp.  4.800%  8/15/38   3,874     4,322
  Cigna Corp.  3.200%  3/15/40     608       562
1 Cigna Corp.  6.125% 11/15/41   1,738     2,248
1 Cigna Corp.  4.800%  7/15/46   2,855     3,183
1 Cigna Corp.  3.875% 10/15/47   3,258     3,194
  Cigna Corp.  4.900% 12/15/48   5,733     6,511
  Cigna Corp.  3.400%  3/15/50   3,015     2,758
  Cigna Corp.  3.400%  3/15/51   1,202     1,096
1 City of Hope  5.623% 11/15/43     567       732
181

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 City of Hope  4.378%  8/15/48   1,220     1,404
1 CommonSpirit Health  4.350%  11/1/42   2,107     2,202
  CommonSpirit Health  3.817%  10/1/49   1,665     1,699
  CommonSpirit Health  4.187%  10/1/49   1,540     1,623
  CommonSpirit Health  3.910%  10/1/50     910       918
1 Community Health Network Inc.  3.099%   5/1/50   1,100       995
1 Cottage Health Obligated Group  3.304%  11/1/49   1,304     1,253
  CVS Health Corp.  4.875%  7/20/35   3,567     4,100
  CVS Health Corp.  4.780%  3/25/38   9,301    10,414
  CVS Health Corp.  6.125%  9/15/39   1,171     1,500
  CVS Health Corp.  4.125%   4/1/40   2,931     3,044
  CVS Health Corp.  2.700%  8/21/40   1,111       969
  CVS Health Corp.  5.300%  12/5/43   2,840     3,380
  CVS Health Corp.  5.125%  7/20/45   4,555     5,279
  CVS Health Corp.  5.050%  3/25/48  18,307    21,382
  CVS Health Corp.  4.250%   4/1/50   1,555     1,668
  Danaher Corp.  4.375%  9/15/45   1,280     1,434
  Danaher Corp.  2.600%  10/1/50   2,385     2,032
  Danaher Corp.  2.800% 12/10/51   2,100     1,858
1 Dartmouth-Hitchcock Health  4.178%   8/1/48     848       911
  DH Europe Finance II Sarl  3.250% 11/15/39   2,497     2,446
  DH Europe Finance II Sarl  3.400% 11/15/49   1,235     1,208
  Dignity Health  4.500%  11/1/42     960     1,053
  Dignity Health  5.267%  11/1/64     649       808
1 Duke University Health System Inc.  3.920%   6/1/47   1,533     1,681
  Eli Lilly & Co.  3.950%  5/15/47     400       449
  Eli Lilly & Co.  3.950%  3/15/49   2,663     2,982
  Eli Lilly & Co.  2.250%  5/15/50   3,075     2,553
  Eli Lilly & Co.  2.500%  9/15/60   4,195     3,466
1 Franciscan Missionaries of Our Lady Health System Inc.  3.914%   7/1/49     760       782
  Gilead Sciences Inc.  4.600%   9/1/35   3,790     4,287
  Gilead Sciences Inc.  4.000%   9/1/36     777       829
  Gilead Sciences Inc.  2.600%  10/1/40     245       211
  Gilead Sciences Inc.  5.650%  12/1/41   3,018     3,771
  Gilead Sciences Inc.  4.800%   4/1/44   5,556     6,306
  Gilead Sciences Inc.  4.500%   2/1/45   5,026     5,498
  Gilead Sciences Inc.  4.750%   3/1/46   4,298     4,878
  Gilead Sciences Inc.  4.150%   3/1/47   2,417     2,536
  Gilead Sciences Inc.  2.800%  10/1/50     560       474
  GlaxoSmithKline Capital Inc.  5.375%  4/15/34     257       322
  GlaxoSmithKline Capital Inc.  6.375%  5/15/38   6,773     9,359
  GlaxoSmithKline Capital Inc.  4.200%  3/18/43   1,059     1,189
1 Hackensack Meridian Health Inc.  2.675%   9/1/41     672       603
  Hackensack Meridian Health Inc.  4.211%   7/1/48     890     1,010
1 Hackensack Meridian Health Inc.  2.875%   9/1/50   1,085       996
  Hackensack Meridian Health Inc.  4.500%   7/1/57     998     1,209
1 Hartford HealthCare Corp.  3.447%   7/1/54     956       927
  HCA Inc.  5.125%  6/15/39   3,100     3,459
  HCA Inc.  5.500%  6/15/47   2,404     2,814
  HCA Inc.  5.250%  6/15/49   4,065     4,626
  HCA Inc.  3.500%  7/15/51   3,005     2,670
  Humana Inc.  4.625%  12/1/42   2,163     2,418
  Humana Inc.  4.950%  10/1/44   1,199     1,397
  Humana Inc.  4.800%  3/15/47     820       943
  Humana Inc.  3.950%  8/15/49     510       523
182

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  IHC Health Services Inc.  4.131%  5/15/48     926     1,091
  Indiana University Health Inc. Obligated Group  3.970%  11/1/48   1,046     1,158
1 Indiana University Health Inc. Obligated Group  2.852%  11/1/51     750       703
1 Integris Baptist Medical Center Inc.  3.875%  8/15/50   1,350     1,424
1 Iowa Health System  3.665%  2/15/50     330       334
  Johns Hopkins Health System Corp.  3.837%  5/15/46     140       153
  Johnson & Johnson  4.950%  5/15/33     714       874
  Johnson & Johnson  4.375%  12/5/33   1,542     1,792
  Johnson & Johnson  3.550%   3/1/36   2,264     2,440
  Johnson & Johnson  3.625%   3/3/37   2,571     2,772
  Johnson & Johnson  5.950%  8/15/37   2,522     3,420
  Johnson & Johnson  3.400%  1/15/38   3,266     3,389
  Johnson & Johnson  5.850%  7/15/38   1,040     1,387
  Johnson & Johnson  2.100%   9/1/40   1,197     1,034
  Johnson & Johnson  4.500%   9/1/40   1,417     1,657
  Johnson & Johnson  4.850%  5/15/41   1,861     2,285
  Johnson & Johnson  4.500%  12/5/43   1,550     1,827
  Johnson & Johnson  3.700%   3/1/46   4,239     4,550
  Johnson & Johnson  3.750%   3/3/47   1,860     2,024
  Johnson & Johnson  3.500%  1/15/48     478       499
  Johnson & Johnson  2.250%   9/1/50   1,969     1,651
  Johnson & Johnson  2.450%   9/1/60   1,752     1,456
1 Kaiser Foundation Hospitals  2.810%   6/1/41   2,705     2,497
  Kaiser Foundation Hospitals  4.875%   4/1/42   2,230     2,675
  Kaiser Foundation Hospitals  4.150%   5/1/47   3,581     4,019
1 Kaiser Foundation Hospitals  3.266%  11/1/49   2,076     2,017
1 Kaiser Foundation Hospitals  3.002%   6/1/51   2,205     2,048
  Koninklijke Philips NV  6.875%  3/11/38   1,128     1,542
  Koninklijke Philips NV  5.000%  3/15/42     784       922
  Laboratory Corp. of America Holdings  4.700%   2/1/45   1,630     1,798
1 Mass General Brigham Inc.  3.765%   7/1/48     750       825
1 Mass General Brigham Inc.  3.192%   7/1/49   1,172     1,129
1 Mass General Brigham Inc.  4.117%   7/1/55     370       420
1 Mass General Brigham Inc.  3.342%   7/1/60   1,770     1,669
1 Mayo Clinic  4.000% 11/15/47     863       989
1 Mayo Clinic  4.128% 11/15/52     725       841
1 Mayo Clinic  3.196% 11/15/61   1,840     1,785
1 McLaren Health Care Corp.  4.386%  5/15/48   1,025     1,163
1 MedStar Health Inc.  3.626%  8/15/49     980       965
  Medtronic Inc.  4.375%  3/15/35   5,540     6,347
  Medtronic Inc.  4.625%  3/15/45   3,617     4,260
  Memorial Health Services  3.447%  11/1/49     875       867
  Memorial Sloan-Kettering Cancer Center  5.000%   7/1/42     595       736
1 Memorial Sloan-Kettering Cancer Center  2.955%   1/1/50   1,255     1,148
  Memorial Sloan-Kettering Cancer Center  4.125%   7/1/52   1,570     1,804
1 Memorial Sloan-Kettering Cancer Center  4.200%   7/1/55     724       840
  Merck & Co. Inc.  6.500%  12/1/33   1,700     2,297
  Merck & Co. Inc.  3.900%   3/7/39   2,643     2,865
  Merck & Co. Inc.  2.350%  6/24/40   1,517     1,336
  Merck & Co. Inc.  3.600%  9/15/42   2,200     2,268
  Merck & Co. Inc.  4.150%  5/18/43     927     1,030
  Merck & Co. Inc.  3.700%  2/10/45   4,611     4,814
  Merck & Co. Inc.  4.000%   3/7/49   2,088     2,301
  Merck & Co. Inc.  2.450%  6/24/50   1,661     1,419
  Merck & Co. Inc.  2.750% 12/10/51   6,070     5,423
183

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Merck & Co. Inc.  2.900% 12/10/61   3,825     3,375
  Merck Sharp & Dohme Corp.  5.750% 11/15/36   1,099     1,437
1 Methodist Hospital  2.705%  12/1/50   1,220     1,070
1 MidMichigan Health  3.409%   6/1/50     845       819
1 Montefiore Obligated Group  5.246%  11/1/48   1,065     1,106
  Montefiore Obligated Group  4.287%   9/1/50     742       670
1 Mount Sinai Hospitals Group Inc.  3.981%   7/1/48     625       674
1 Mount Sinai Hospitals Group Inc.  3.737%   7/1/49     785       795
1 Mount Sinai Hospitals Group Inc.  3.391%   7/1/50   1,480     1,375
  MultiCare Health System  2.803%  8/15/50     725       647
  Mylan Inc.  5.400% 11/29/43   1,643     1,830
  Mylan Inc.  5.200%  4/15/48   1,434     1,556
  New York & Presbyterian Hospital  2.256%   8/1/40     906       790
  New York & Presbyterian Hospital  4.024%   8/1/45     808       886
  New York & Presbyterian Hospital  4.063%   8/1/56   1,188     1,334
  New York & Presbyterian Hospital  2.606%   8/1/60   1,038       866
1 New York & Presbyterian Hospital  3.954%   8/1/19   1,122     1,141
  Northwell Healthcare Inc.  3.979%  11/1/46   1,455     1,519
  Northwell Healthcare Inc.  4.260%  11/1/47   1,370     1,474
  Northwell Healthcare Inc.  3.809%  11/1/49   1,350     1,384
1 Northwestern Memorial Healthcare Obligated Group  2.633%  7/15/51     781       670
  Novant Health Inc.  2.637%  11/1/36   1,665     1,550
  Novant Health Inc.  3.168%  11/1/51   1,780     1,694
  Novartis Capital Corp.  3.700%  9/21/42   1,299     1,375
  Novartis Capital Corp.  4.400%   5/6/44   4,608     5,359
  Novartis Capital Corp.  4.000% 11/20/45   2,449     2,717
  Novartis Capital Corp.  2.750%  8/14/50   2,378     2,177
1 NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery  2.667%  10/1/50     725       632
1 NYU Langone Hospitals  5.750%   7/1/43     995     1,301
  NYU Langone Hospitals  4.784%   7/1/44     817       944
1 NYU Langone Hospitals  4.368%   7/1/47     798       887
1 NYU Langone Hospitals  3.380%   7/1/55   1,322     1,227
  OhioHealth Corp.  2.834% 11/15/41     775       711
1 OhioHealth Corp.  3.042% 11/15/50     696       659
  Orlando Health Obligated Group  4.089%  10/1/48     698       771
  Orlando Health Obligated Group  3.327%  10/1/50     925       905
1 PeaceHealth Obligated Group  4.787% 11/15/48     840     1,026
1 PeaceHealth Obligated Group  3.218% 11/15/50   1,040       957
  PerkinElmer Inc.  3.625%  3/15/51     735       707
  Pfizer Inc.  4.000% 12/15/36   3,859     4,269
  Pfizer Inc.  4.100%  9/15/38   1,185     1,317
  Pfizer Inc.  3.900%  3/15/39   1,747     1,904
  Pfizer Inc.  7.200%  3/15/39   4,371     6,546
  Pfizer Inc.  2.550%  5/28/40   2,473     2,262
  Pfizer Inc.  4.300%  6/15/43   3,011     3,405
  Pfizer Inc.  4.400%  5/15/44   3,407     3,918
  Pfizer Inc.  4.125% 12/15/46   1,827     2,059
  Pfizer Inc.  4.200%  9/15/48   1,887     2,152
  Pfizer Inc.  4.000%  3/15/49   1,613     1,794
  Pfizer Inc.  2.700%  5/28/50   3,381     3,062
  Piedmont Healthcare Inc.  2.864%   1/1/52     985       866
1 Providence St. Joseph Health Obligated Group  3.744%  10/1/47   1,195     1,267
1 Providence St. Joseph Health Obligated Group  3.930%  10/1/48     975     1,035
1 Rady Children's Hospital-San Diego  3.154%  8/15/51   1,000       977
184

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Regeneron Pharmaceuticals Inc.  2.800%  9/15/50     228       188
  Royalty Pharma plc  3.300%   9/2/40   1,565     1,385
  Royalty Pharma plc  3.550%   9/2/50   2,186     1,896
  Royalty Pharma plc  3.350%   9/2/51   2,180     1,824
  RWJ Barnabas Health Inc.  3.949%   7/1/46   1,436     1,547
  RWJ Barnabas Health Inc.  3.477%   7/1/49     300       304
1 Seattle Children's Hospital  2.719%  10/1/50     875       767
1 Sentara Healthcare  2.927%  11/1/51     400       373
1 Sharp HealthCare  2.680%   8/1/50     635       557
1 Stanford Health Care  3.795% 11/15/48     940     1,000
  Stanford Health Care  3.027%  8/15/51   1,063       991
  STERIS Irish FinCo Unltd. Co.  3.750%  3/15/51   2,335     2,240
  Stryker Corp.  4.100%   4/1/43   1,002     1,075
  Stryker Corp.  4.375%  5/15/44   1,909     2,125
  Stryker Corp.  4.625%  3/15/46   1,873     2,143
  Stryker Corp.  2.900%  6/15/50   1,292     1,139
  Summa Health  3.511% 11/15/51     810       813
1 Sutter Health  3.161%  8/15/40     860       804
1 Sutter Health  4.091%  8/15/48   1,080     1,177
1 Sutter Health  3.361%  8/15/50   1,140     1,081
  Takeda Pharmaceutical Co. Ltd.  3.025%   7/9/40   2,667     2,417
  Takeda Pharmaceutical Co. Ltd.  3.175%   7/9/50   4,456     3,989
  Takeda Pharmaceutical Co. Ltd.  3.375%   7/9/60   2,355     2,097
  Texas Health Resources  2.328% 11/15/50   1,320     1,129
1 Texas Health Resources  4.330% 11/15/55     386       449
  Thermo Fisher Scientific Inc.  2.800% 10/15/41   2,555     2,349
  Thermo Fisher Scientific Inc.  5.300%   2/1/44   1,163     1,470
  Thermo Fisher Scientific Inc.  4.100%  8/15/47   1,601     1,778
  Toledo Hospital  5.750% 11/15/38     610       681
  Toledo Hospital  6.015% 11/15/48   1,021     1,201
1 Trinity Health Corp.  2.632%  12/1/40     970       873
  Trinity Health Corp.  4.125%  12/1/45     765       856
1 Trinity Health Corp.  3.434%  12/1/48     970       970
  UnitedHealth Group Inc.  4.625%  7/15/35   1,109     1,282
  UnitedHealth Group Inc.  5.800%  3/15/36     786     1,008
  UnitedHealth Group Inc.  6.500%  6/15/37   1,195     1,642
  UnitedHealth Group Inc.  6.625% 11/15/37   2,109     2,928
  UnitedHealth Group Inc.  6.875%  2/15/38   1,278     1,824
  UnitedHealth Group Inc.  3.500%  8/15/39   2,731     2,786
  UnitedHealth Group Inc.  2.750%  5/15/40   1,612     1,486
  UnitedHealth Group Inc.  5.700% 10/15/40     735       939
  UnitedHealth Group Inc.  5.950%  2/15/41   1,961     2,606
  UnitedHealth Group Inc.  3.050%  5/15/41   3,010     2,891
  UnitedHealth Group Inc.  4.625% 11/15/41   1,593     1,843
  UnitedHealth Group Inc.  4.375%  3/15/42   1,913     2,134
  UnitedHealth Group Inc.  3.950% 10/15/42   2,876     3,056
  UnitedHealth Group Inc.  4.250%  3/15/43   1,755     1,935
  UnitedHealth Group Inc.  4.750%  7/15/45   2,279     2,685
  UnitedHealth Group Inc.  4.200%  1/15/47   1,948     2,149
  UnitedHealth Group Inc.  4.250%  4/15/47     860       955
  UnitedHealth Group Inc.  3.750% 10/15/47   2,133     2,211
  UnitedHealth Group Inc.  4.250%  6/15/48   2,808     3,134
  UnitedHealth Group Inc.  4.450% 12/15/48   2,580     2,973
  UnitedHealth Group Inc.  3.700%  8/15/49   3,880     4,016
  UnitedHealth Group Inc.  2.900%  5/15/50   2,574     2,343
185

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  UnitedHealth Group Inc.  3.250%  5/15/51   5,405     5,242
  UnitedHealth Group Inc.  3.875%  8/15/59   1,528     1,613
  UnitedHealth Group Inc.  3.125%  5/15/60   1,738     1,581
  Utah Acquisition Sub Inc.  5.250%  6/15/46   3,189     3,377
  Viatris Inc.  3.850%  6/22/40   3,099     2,908
  Viatris Inc.  4.000%  6/22/50   4,083     3,614
1 WakeMed  3.286%  10/1/52     575       550
1 West Virginia United Health System Obligated Group  3.129%   6/1/50     915       834
1 Willis-Knighton Medical Center  4.813%   9/1/48     385       451
1 Willis-Knighton Medical Center  3.065%   3/1/51   1,425     1,308
  Wyeth LLC  6.500%   2/1/34   1,044     1,386
  Wyeth LLC  6.000%  2/15/36   2,023     2,662
  Wyeth LLC  5.950%   4/1/37   3,488     4,573
1 Yale-New Haven Health Services Corp.  2.496%   7/1/50   1,000       831
  Zimmer Biomet Holdings Inc.  5.750% 11/30/39     930     1,152
  Zimmer Biomet Holdings Inc.  4.450%  8/15/45     597       641
  Zoetis Inc.  4.700%   2/1/43   1,950     2,248
  Zoetis Inc.  3.950%  9/12/47   1,716     1,847
  Zoetis Inc.  4.450%  8/20/48     961     1,093
  Zoetis Inc.  3.000%  5/15/50     925       854
                                 777,434
Industrials (8.4%)
1 3M Co.  5.700%  3/15/37   1,145     1,462
1 3M Co.  3.875%  6/15/44     750       786
1 3M Co.  3.125%  9/19/46   1,272     1,195
1 3M Co.  3.625% 10/15/47   1,657     1,666
1 3M Co.  4.000%  9/14/48   1,647     1,765
  3M Co.  3.250%  8/26/49     270       258
  3M Co.  3.700%  4/15/50   3,376     3,473
1 American Airlines Pass-Through Trust Class A Series 2021-1  2.875%  7/11/34     750       708
  Boeing Co.  6.125%  2/15/33     365       442
  Boeing Co.  3.600%   5/1/34   3,153     3,059
  Boeing Co.  3.250%   2/1/35   1,098     1,021
  Boeing Co.  6.625%  2/15/38     650       810
  Boeing Co.  3.550%   3/1/38   2,043     1,897
  Boeing Co.  3.500%   3/1/39   1,044       950
  Boeing Co.  6.875%  3/15/39   1,754     2,234
  Boeing Co.  5.875%  2/15/40   2,259     2,651
  Boeing Co.  5.705%   5/1/40   5,070     5,906
  Boeing Co.  3.650%   3/1/47   1,260     1,106
  Boeing Co.  3.625%   3/1/48   1,523     1,347
  Boeing Co.  3.850%  11/1/48   2,215     2,014
  Boeing Co.  3.900%   5/1/49   2,546     2,373
  Boeing Co.  3.750%   2/1/50   2,271     2,110
  Boeing Co.  5.805%   5/1/50  10,962    13,033
  Boeing Co.  3.825%   3/1/59     585       512
  Boeing Co.  3.950%   8/1/59   1,432     1,300
  Boeing Co.  5.930%   5/1/60   6,323     7,517
  Burlington Northern Santa Fe LLC  6.200%  8/15/36     320       430
  Burlington Northern Santa Fe LLC  6.150%   5/1/37     471       626
  Burlington Northern Santa Fe LLC  5.750%   5/1/40   2,328     2,991
  Burlington Northern Santa Fe LLC  5.050%   3/1/41   1,771     2,128
  Burlington Northern Santa Fe LLC  5.400%   6/1/41     466       583
  Burlington Northern Santa Fe LLC  4.950%  9/15/41   1,356     1,615
  Burlington Northern Santa Fe LLC  4.400%  3/15/42   1,648     1,847
186

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Burlington Northern Santa Fe LLC  4.375%   9/1/42     914     1,024
  Burlington Northern Santa Fe LLC  4.450%  3/15/43   2,109     2,386
  Burlington Northern Santa Fe LLC  5.150%   9/1/43   1,830     2,254
  Burlington Northern Santa Fe LLC  4.900%   4/1/44   1,722     2,074
  Burlington Northern Santa Fe LLC  4.550%   9/1/44   1,935     2,212
  Burlington Northern Santa Fe LLC  4.150%   4/1/45   3,309     3,599
  Burlington Northern Santa Fe LLC  4.700%   9/1/45   1,775     2,075
  Burlington Northern Santa Fe LLC  3.900%   8/1/46     475       504
  Burlington Northern Santa Fe LLC  4.125%  6/15/47   2,254     2,473
  Burlington Northern Santa Fe LLC  4.050%  6/15/48   1,965     2,137
  Burlington Northern Santa Fe LLC  3.550%  2/15/50   1,096     1,111
  Burlington Northern Santa Fe LLC  3.050%  2/15/51   1,980     1,837
  Burlington Northern Santa Fe LLC  3.300%  9/15/51   2,997     2,902
  Burlington Northern Santa Fe LLC  2.875%  6/15/52     970       872
  Canadian National Railway Co.  6.250%   8/1/34     758       988
  Canadian National Railway Co.  6.200%   6/1/36     382       501
  Canadian National Railway Co.  6.375% 11/15/37   1,491     1,988
  Canadian National Railway Co.  4.500%  11/7/43     200       220
  Canadian National Railway Co.  3.200%   8/2/46   1,286     1,232
  Canadian National Railway Co.  3.650%   2/3/48     727       748
  Canadian National Railway Co.  4.450%  1/20/49   1,280     1,472
  Canadian National Railway Co.  2.450%   5/1/50     422       350
  Canadian Pacific Railway Co.  4.800%  9/15/35   1,692     1,962
  Canadian Pacific Railway Co.  5.950%  5/15/37   1,590     2,053
  Canadian Pacific Railway Co.  3.000%  12/2/41   2,550     2,372
  Canadian Pacific Railway Co.  4.800%   8/1/45   1,010     1,179
  Canadian Pacific Railway Co.  3.100%  12/2/51   4,900     4,452
  Canadian Pacific Railway Co.  6.125%  9/15/15     933     1,233
  Carrier Global Corp.  3.377%   4/5/40   1,834     1,725
  Carrier Global Corp.  3.577%   4/5/50   5,890     5,597
  Caterpillar Inc.  5.300%  9/15/35   1,198     1,496
  Caterpillar Inc.  6.050%  8/15/36     370       489
  Caterpillar Inc.  5.200%  5/27/41   1,666     2,095
  Caterpillar Inc.  3.803%  8/15/42   3,450     3,675
  Caterpillar Inc.  4.300%  5/15/44   1,095     1,250
  Caterpillar Inc.  3.250%  9/19/49   4,185     4,124
  Caterpillar Inc.  3.250%   4/9/50   2,570     2,525
  Caterpillar Inc.  4.750%  5/15/64     620       786
  Crane Co.  4.200%  3/15/48     704       746
  CSX Corp.  6.000%  10/1/36     198       254
  CSX Corp.  6.150%   5/1/37   1,342     1,742
  CSX Corp.  6.220%  4/30/40     648       865
  CSX Corp.  5.500%  4/15/41     451       555
  CSX Corp.  4.750%  5/30/42   1,865     2,127
  CSX Corp.  4.400%   3/1/43     752       818
  CSX Corp.  4.100%  3/15/44   1,644     1,747
  CSX Corp.  3.800%  11/1/46   2,246     2,283
  CSX Corp.  4.300%   3/1/48   2,113     2,319
  CSX Corp.  4.750% 11/15/48     843       983
  CSX Corp.  4.500%  3/15/49   2,091     2,367
  CSX Corp.  3.350%  9/15/49   1,715     1,637
  CSX Corp.  3.800%  4/15/50   1,286     1,322
  CSX Corp.  3.950%   5/1/50   1,600     1,683
  CSX Corp.  2.500%  5/15/51     875       721
  CSX Corp.  4.500%   8/1/54     956     1,093
187

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  CSX Corp.  4.250%  11/1/66     321       347
  CSX Corp.  4.650%   3/1/68   1,849     2,121
  Cummins Inc.  4.875%  10/1/43     828       999
  Cummins Inc.  2.600%   9/1/50   1,480     1,221
  Deere & Co.  3.900%   6/9/42   2,473     2,689
  Deere & Co.  2.875%   9/7/49   2,130     1,965
  Deere & Co.  3.750%  4/15/50   1,208     1,297
  Dover Corp.  5.375% 10/15/35     575       680
  Dover Corp.  5.375%   3/1/41     938     1,131
  Eaton Corp.  4.000%  11/2/32   1,428     1,553
  Eaton Corp.  4.150%  11/2/42   1,922     2,063
  Eaton Corp.  3.915%  9/15/47     996     1,049
  Emerson Electric Co.  5.250% 11/15/39     485       589
  Emerson Electric Co.  2.750% 10/15/50   1,345     1,158
  Emerson Electric Co.  2.800% 12/21/51   2,275     1,986
  FedEx Corp.  4.900%  1/15/34   1,926     2,208
  FedEx Corp.  3.900%   2/1/35   2,300     2,405
  FedEx Corp.  3.250%  5/15/41   1,090     1,018
  FedEx Corp.  3.875%   8/1/42     807       807
  FedEx Corp.  4.100%  4/15/43   2,463     2,517
  FedEx Corp.  5.100%  1/15/44   1,843     2,139
  FedEx Corp.  4.750% 11/15/45   1,965     2,188
  FedEx Corp.  4.550%   4/1/46   2,600     2,831
  FedEx Corp.  4.400%  1/15/47     496       527
  FedEx Corp.  4.050%  2/15/48   1,820     1,847
  FedEx Corp.  4.950% 10/17/48   2,532     2,917
  FedEx Corp.  5.250%  5/15/50   2,591     3,111
1 FedEx Corp. Pass-Through Trust Class AA Series 2020-1  1.875%  2/20/34   1,314     1,243
  Fortive Corp.  4.300%  6/15/46     498       538
  General Dynamics Corp.  4.250%   4/1/40   3,090     3,457
  General Dynamics Corp.  2.850%   6/1/41   1,372     1,284
  General Dynamics Corp.  3.600% 11/15/42     432       450
  General Dynamics Corp.  4.250%   4/1/50     322       372
1 General Electric Co.  6.750%  3/15/32   6,491     8,378
1 General Electric Co.  5.875%  1/14/38   1,435     1,800
1 General Electric Co.  6.875%  1/10/39     400       552
  General Electric Co.  4.350%   5/1/50     150       170
  Honeywell International Inc.  5.700%  3/15/36     533       690
  Honeywell International Inc.  5.700%  3/15/37     883     1,145
  Honeywell International Inc.  5.375%   3/1/41     876     1,138
  Honeywell International Inc.  3.812% 11/21/47   2,594     2,859
  Illinois Tool Works Inc.  4.875%  9/15/41   1,166     1,405
  Illinois Tool Works Inc.  3.900%   9/1/42   2,845     3,020
1 JetBlue Pass-Through Trust Class A Series 2020-1  4.000% 11/15/32   2,477     2,600
1 JetBlue Pass-Through Trust Class AA Series 2019-1  2.750%  5/15/32     210       202
1 Johnson Controls International plc  6.000%  1/15/36     445       572
1 Johnson Controls International plc  4.625%   7/2/44   2,686     3,021
  Johnson Controls International plc  4.500%  2/15/47     965     1,054
1 Johnson Controls International plc  4.950%   7/2/64   1,460     1,683
1 Kansas City Southern  4.300%  5/15/43     904       990
1 Kansas City Southern  4.950%  8/15/45   1,045     1,220
  Kansas City Southern  4.700%   5/1/48   1,340     1,536
  Kansas City Southern  3.500%   5/1/50   1,113     1,070
  Kansas City Southern  4.200% 11/15/69     969     1,013
  L3Harris Technologies Inc.  4.854%  4/27/35   1,862     2,131
188

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Lockheed Martin Corp.  3.600%   3/1/35   1,198     1,256
  Lockheed Martin Corp.  4.500%  5/15/36   1,277     1,453
1 Lockheed Martin Corp.  6.150%   9/1/36   1,290     1,705
  Lockheed Martin Corp.  5.720%   6/1/40     664       845
  Lockheed Martin Corp.  4.850%  9/15/41     410       485
  Lockheed Martin Corp.  4.070% 12/15/42   3,963     4,322
  Lockheed Martin Corp.  3.800%   3/1/45   2,370     2,486
  Lockheed Martin Corp.  4.700%  5/15/46   3,092     3,657
  Lockheed Martin Corp.  2.800%  6/15/50     854       769
  Lockheed Martin Corp.  4.090%  9/15/52   3,327     3,681
  Norfolk Southern Corp.  7.050%   5/1/37     172       230
  Norfolk Southern Corp.  4.837%  10/1/41   1,230     1,441
  Norfolk Southern Corp.  3.950%  10/1/42   1,092     1,149
  Norfolk Southern Corp.  4.450%  6/15/45   1,503     1,684
  Norfolk Southern Corp.  4.650%  1/15/46     425       487
  Norfolk Southern Corp.  3.942%  11/1/47   2,277     2,387
  Norfolk Southern Corp.  4.150%  2/28/48   1,285     1,386
  Norfolk Southern Corp.  4.100%  5/15/49   2,485     2,681
  Norfolk Southern Corp.  3.400%  11/1/49   2,092     2,018
  Norfolk Southern Corp.  3.050%  5/15/50   1,950     1,780
  Norfolk Southern Corp.  4.050%  8/15/52   1,953     2,092
  Norfolk Southern Corp.  3.155%  5/15/55   2,720     2,498
  Norfolk Southern Corp.  4.100%  5/15/21   1,050     1,012
  Northrop Grumman Corp.  5.150%   5/1/40     932     1,108
  Northrop Grumman Corp.  5.050% 11/15/40   1,437     1,701
  Northrop Grumman Corp.  4.750%   6/1/43   2,466     2,850
  Northrop Grumman Corp.  3.850%  4/15/45   2,119     2,169
  Northrop Grumman Corp.  4.030% 10/15/47   4,440     4,694
  Northrop Grumman Corp.  5.250%   5/1/50   1,015     1,283
  Otis Worldwide Corp.  3.112%  2/15/40   1,756     1,626
  Otis Worldwide Corp.  3.362%  2/15/50   2,200     2,044
1 Parker-Hannifin Corp.  4.200% 11/21/34   1,410     1,523
1 Parker-Hannifin Corp.  6.250%  5/15/38     915     1,196
1 Parker-Hannifin Corp.  4.450% 11/21/44     620       680
  Parker-Hannifin Corp.  4.100%   3/1/47   1,776     1,884
  Parker-Hannifin Corp.  4.000%  6/14/49   2,135     2,253
  Precision Castparts Corp.  3.900%  1/15/43   1,526     1,639
  Precision Castparts Corp.  4.375%  6/15/45     971     1,106
  Raytheon Technologies Corp.  5.400%   5/1/35     747       908
  Raytheon Technologies Corp.  6.050%   6/1/36   2,582     3,340
  Raytheon Technologies Corp.  6.125%  7/15/38   1,992     2,612
  Raytheon Technologies Corp.  4.450% 11/16/38   1,797     2,006
  Raytheon Technologies Corp.  4.875% 10/15/40     968     1,118
  Raytheon Technologies Corp.  4.700% 12/15/41   1,091     1,234
  Raytheon Technologies Corp.  4.500%   6/1/42   7,570     8,444
  Raytheon Technologies Corp.  4.800% 12/15/43   1,073     1,237
  Raytheon Technologies Corp.  4.150%  5/15/45   2,451     2,628
  Raytheon Technologies Corp.  3.750%  11/1/46   3,166     3,196
  Raytheon Technologies Corp.  4.350%  4/15/47   2,791     3,072
  Raytheon Technologies Corp.  4.050%   5/4/47     730       771
  Raytheon Technologies Corp.  4.625% 11/16/48   4,064     4,697
  Raytheon Technologies Corp.  3.125%   7/1/50     770       708
  Raytheon Technologies Corp.  2.820%   9/1/51     450       390
  Raytheon Technologies Corp.  3.030%  3/15/52   1,220     1,097
  Republic Services Inc.  2.375%  3/15/33   1,755     1,631
189

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Republic Services Inc.  6.200%   3/1/40     925     1,224
  Republic Services Inc.  5.700%  5/15/41     890     1,120
  Republic Services Inc.  3.050%   3/1/50   1,275     1,176
  Rockwell Automation Inc.  4.200%   3/1/49   1,050     1,176
  Rockwell Automation Inc.  2.800%  8/15/61     840       720
  Trane Technologies Global Holding Co. Ltd.  5.750%  6/15/43     785     1,003
  Trane Technologies Global Holding Co. Ltd.  4.300%  2/21/48   1,310     1,421
  Trane Technologies Luxembourg Finance SA  4.650%  11/1/44     726       821
  Trane Technologies Luxembourg Finance SA  4.500%  3/21/49     315       350
  Tyco Electronics Group SA  7.125%  10/1/37     820     1,171
  Union Pacific Corp.  3.375%   2/1/35   1,706     1,752
  Union Pacific Corp.  2.891%   4/6/36   1,720     1,677
  Union Pacific Corp.  3.600%  9/15/37     665       690
1 Union Pacific Corp.  3.550%  8/15/39   1,293     1,315
  Union Pacific Corp.  3.200%  5/20/41   3,205     3,123
  Union Pacific Corp.  4.050%   3/1/46   1,389     1,495
  Union Pacific Corp.  3.350%  8/15/46   1,120     1,083
  Union Pacific Corp.  4.000%  4/15/47   3,246     3,475
  Union Pacific Corp.  3.250%   2/5/50   3,353     3,219
  Union Pacific Corp.  3.799%  10/1/51   1,871     1,954
  Union Pacific Corp.  2.950%  3/10/52   4,260     3,869
  Union Pacific Corp.  3.875%   2/1/55     972     1,009
  Union Pacific Corp.  3.950%  8/15/59   2,160     2,264
  Union Pacific Corp.  3.839%  3/20/60   2,154     2,218
  Union Pacific Corp.  3.550%  5/20/61   1,475     1,431
  Union Pacific Corp.  2.973%  9/16/62   3,017     2,600
  Union Pacific Corp.  3.750%   2/5/70     561       559
  Union Pacific Corp.  3.799%   4/6/71   5,196     5,244
  Union Pacific Corp.  3.850%  2/14/72     750       758
1 United Airlines Pass-Through Trust Class AA Series 2019-2  2.700%   5/1/32   1,450     1,395
  United Parcel Service Inc.  6.200%  1/15/38   1,482     2,013
  United Parcel Service Inc.  5.200%   4/1/40   2,228     2,775
  United Parcel Service Inc.  4.875% 11/15/40   2,188     2,627
  United Parcel Service Inc.  3.625%  10/1/42   1,637     1,718
  United Parcel Service Inc.  3.400% 11/15/46   1,800     1,833
  United Parcel Service Inc.  3.750% 11/15/47   1,605     1,728
  United Parcel Service Inc.  4.250%  3/15/49   2,706     3,143
  United Parcel Service Inc.  3.400%   9/1/49   2,009     2,073
  United Parcel Service Inc.  5.300%   4/1/50     460       618
  Valmont Industries Inc.  5.000%  10/1/44     865       976
  Valmont Industries Inc.  5.250%  10/1/54     783       913
  Waste Connections Inc.  3.050%   4/1/50   1,124       996
  Waste Connections Inc.  2.950%  1/15/52   2,125     1,850
  Waste Management Inc.  2.950%   6/1/41   1,710     1,602
  Waste Management Inc.  4.150%  7/15/49   1,740     1,946
  Waste Management Inc.  2.500% 11/15/50   2,300     1,922
  WW Grainger Inc.  4.600%  6/15/45   1,898     2,189
  WW Grainger Inc.  3.750%  5/15/46     771       801
  WW Grainger Inc.  4.200%  5/15/47   1,245     1,384
  Xylem Inc.  4.375%  11/1/46     853       931
                                 451,704
Materials (3.8%)
  Air Products and Chemicals Inc.  2.700%  5/15/40   1,645     1,511
  Air Products and Chemicals Inc.  2.800%  5/15/50     700       628
  Albemarle Corp.  5.450%  12/1/44     685       819
190

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  ArcelorMittal SA  7.000% 10/15/39   1,400     1,724
  ArcelorMittal SA  6.750%   3/1/41   1,755     2,141
  Barrick Gold Corp.  6.450% 10/15/35   1,475     1,908
  Barrick Gold Corp.  5.250%   4/1/42     805       953
  Barrick North America Finance LLC  5.700%  5/30/41     467       581
  Barrick North America Finance LLC  5.750%   5/1/43   1,503     1,871
  Barrick PD Australia Finance Pty. Ltd.  5.950% 10/15/39   2,722     3,418
  BHP Billiton Finance USA Ltd.  4.125%  2/24/42   1,980     2,148
  BHP Billiton Finance USA Ltd.  5.000%  9/30/43   4,853     5,852
  Celulosa Arauco y Constitucion SA  5.500%  11/2/47     890       924
  CF Industries Inc.  5.150%  3/15/34   1,450     1,626
  CF Industries Inc.  4.950%   6/1/43   1,915     2,064
  CF Industries Inc.  5.375%  3/15/44   1,485     1,676
  Dow Chemical Co.  4.250%  10/1/34     885       957
  Dow Chemical Co.  9.400%  5/15/39     148       249
  Dow Chemical Co.  5.250% 11/15/41   2,118     2,507
  Dow Chemical Co.  4.375% 11/15/42   2,914     3,122
  Dow Chemical Co.  4.625%  10/1/44   3,033     3,354
  Dow Chemical Co.  5.550% 11/30/48     670       845
  Dow Chemical Co.  4.800%  5/15/49   2,529     2,875
  Dow Chemical Co.  3.600% 11/15/50   2,630     2,506
  DuPont de Nemours Inc.  5.319% 11/15/38   2,775     3,303
  DuPont de Nemours Inc.  5.419% 11/15/48   3,912     4,920
  Eastman Chemical Co.  4.800%   9/1/42   1,181     1,297
  Eastman Chemical Co.  4.650% 10/15/44     583       632
  Ecolab Inc.  3.950%  12/1/47     200       218
  Ecolab Inc.  2.125%  8/15/50   1,653     1,290
  Ecolab Inc.  2.700% 12/15/51   1,900     1,658
  Ecolab Inc.  2.750%  8/18/55   2,952     2,550
  FMC Corp.  4.500%  10/1/49   1,522     1,637
  Freeport-McMoRan Inc.  5.400% 11/14/34   1,600     1,817
  Freeport-McMoRan Inc.  5.450%  3/15/43   5,000     5,748
  International Flavors & Fragrances Inc.  4.375%   6/1/47     850       892
  International Flavors & Fragrances Inc.  5.000%  9/26/48   1,095     1,249
  International Paper Co.  5.000%  9/15/35   2,760     3,250
  International Paper Co.  7.300% 11/15/39   1,744     2,458
  International Paper Co.  6.000% 11/15/41   2,206     2,776
  International Paper Co.  4.800%  6/15/44   1,143     1,293
  International Paper Co.  4.400%  8/15/47     500       548
  International Paper Co.  4.350%  8/15/48   1,355     1,475
  Lafarge SA  7.125%  7/15/36     680       927
  Linde Inc.  3.550%  11/7/42   1,958     2,026
  Linde Inc.  2.000%  8/10/50     900       713
  Lubrizol Corp.  6.500%  10/1/34   1,048     1,426
  LYB International Finance BV  5.250%  7/15/43     415       480
  LYB International Finance BV  4.875%  3/15/44   3,197     3,514
  LYB International Finance III LLC  3.375%  10/1/40   3,361     3,138
  LYB International Finance III LLC  4.200% 10/15/49   2,570     2,607
  LYB International Finance III LLC  4.200%   5/1/50   2,185     2,215
  LYB International Finance III LLC  3.625%   4/1/51   1,760     1,662
  LYB International Finance III LLC  3.800%  10/1/60   1,893     1,717
  LyondellBasell Industries NV  4.625%  2/26/55     999     1,058
  Martin Marietta Materials Inc.  4.250% 12/15/47   2,159     2,259
  Martin Marietta Materials Inc.  3.200%  7/15/51   1,130     1,011
  Mosaic Co.  5.450% 11/15/33   1,240     1,458
191

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Mosaic Co.  4.875% 11/15/41   1,461     1,598
  Mosaic Co.  5.625% 11/15/43   1,520     1,875
  Newmont Corp.  2.600%  7/15/32   1,505     1,430
1 Newmont Corp.  5.875%   4/1/35   1,581     1,931
  Newmont Corp.  6.250%  10/1/39   1,607     2,083
  Newmont Corp.  4.875%  3/15/42   2,068     2,377
  Newmont Corp.  5.450%   6/9/44   2,044     2,495
  Nucor Corp.  5.200%   8/1/43     210       260
  Nucor Corp.  2.979% 12/15/55   2,806     2,454
  Nutrien Ltd.  4.125%  3/15/35     545       579
  Nutrien Ltd.  5.875%  12/1/36   1,098     1,386
  Nutrien Ltd.  5.625%  12/1/40     795       991
  Nutrien Ltd.  4.900%   6/1/43   2,031     2,361
  Nutrien Ltd.  5.250%  1/15/45   1,217     1,475
  Nutrien Ltd.  5.000%   4/1/49     807       977
  Nutrien Ltd.  3.950%  5/13/50   1,645     1,723
  Packaging Corp. of America  4.050% 12/15/49   1,385     1,430
  Packaging Corp. of America  3.050%  10/1/51   1,720     1,498
  Rio Tinto Alcan Inc.  6.125% 12/15/33   1,469     1,917
  Rio Tinto Alcan Inc.  5.750%   6/1/35   1,922     2,428
  Rio Tinto Finance USA Ltd.  5.200%  11/2/40   3,159     3,856
  Rio Tinto Finance USA Ltd.  2.750%  11/2/51   1,720     1,511
  Rio Tinto Finance USA plc  4.750%  3/22/42     775       909
  Rio Tinto Finance USA plc  4.125%  8/21/42     845       924
  RPM International Inc.  4.250%  1/15/48   1,470     1,569
  Sherwin-Williams Co.  2.200%  3/15/32   1,100     1,024
  Sherwin-Williams Co.  4.000% 12/15/42     337       347
  Sherwin-Williams Co.  4.550%   8/1/45   1,206     1,321
  Sherwin-Williams Co.  4.500%   6/1/47   2,940     3,216
  Sherwin-Williams Co.  3.800%  8/15/49   1,456     1,450
  Sherwin-Williams Co.  3.300%  5/15/50   1,112     1,022
  Sherwin-Williams Co.  2.900%  3/15/52     770       660
  Sonoco Products Co.  5.750%  11/1/40   1,000     1,248
  Southern Copper Corp.  7.500%  7/27/35   2,763     3,656
  Southern Copper Corp.  6.750%  4/16/40   2,314     3,001
  Southern Copper Corp.  5.250%  11/8/42   3,284     3,825
  Southern Copper Corp.  5.875%  4/23/45   1,992     2,490
  Steel Dynamics Inc.  3.250% 10/15/50   1,600     1,421
  Teck Resources Ltd.  6.125%  10/1/35   1,467     1,777
  Teck Resources Ltd.  6.000%  8/15/40     660       781
  Teck Resources Ltd.  6.250%  7/15/41     945     1,144
  Teck Resources Ltd.  5.200%   3/1/42   1,315     1,425
  Teck Resources Ltd.  5.400%   2/1/43     840       930
  Vale Overseas Ltd.  8.250%  1/17/34   1,794     2,365
  Vale Overseas Ltd.  6.875% 11/21/36   3,606     4,420
  Vale Overseas Ltd.  6.875% 11/10/39   2,288     2,831
  Vale SA  5.625%  9/11/42   1,000     1,104
  Vulcan Materials Co.  4.500%  6/15/47   1,634     1,800
  Vulcan Materials Co.  4.700%   3/1/48     710       804
  Westlake Corp.  2.875%  8/15/41   1,105       963
  Westlake Corp.  5.000%  8/15/46   1,943     2,209
  Westlake Corp.  4.375% 11/15/47     488       516
  Westlake Corp.  3.125%  8/15/51   1,475     1,264
  Westlake Corp.  3.375%  8/15/61     818       685
192

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  WRKCo Inc.  4.200%   6/1/32     431       462
  WRKCo Inc.  3.000%  6/15/33   1,689     1,632
                                 205,311
Real Estate (1.7%)
  Agree LP  2.600%  6/15/33     750       689
  Alexandria Real Estate Equities Inc.  2.000%  5/18/32     717       649
  Alexandria Real Estate Equities Inc.  1.875%   2/1/33   1,441     1,271
  Alexandria Real Estate Equities Inc.  2.950%  3/15/34     500       489
  Alexandria Real Estate Equities Inc.  4.850%  4/15/49   2,485     2,898
  Alexandria Real Estate Equities Inc.  4.000%   2/1/50     679       704
  Alexandria Real Estate Equities Inc.  3.000%  5/18/51   2,559     2,248
  Alexandria Real Estate Equities Inc.  3.550%  3/15/52   1,000       963
  American Homes 4 Rent LP  3.375%  7/15/51     706       605
  American Tower Corp.  3.700% 10/15/49   1,911     1,782
  American Tower Corp.  3.100%  6/15/50   2,085     1,749
  American Tower Corp.  2.950%  1/15/51   2,025     1,658
1 AvalonBay Communities Inc.  3.900% 10/15/46   1,935     2,082
1 AvalonBay Communities Inc.  4.350%  4/15/48     340       390
  Boston Properties LP  2.550%   4/1/32     514       480
  Boston Properties LP  2.450%  10/1/33   2,245     2,043
  Camden Property Trust  3.350%  11/1/49   1,440     1,418
  Corporate Office Properties LP  2.900%  12/1/33     675       624
  Crown Castle International Corp.  2.900%   4/1/41   2,235     1,923
  Crown Castle International Corp.  4.750%  5/15/47   1,133     1,244
  Crown Castle International Corp.  5.200%  2/15/49   1,199     1,383
  Crown Castle International Corp.  4.000% 11/15/49     857       840
  Crown Castle International Corp.  4.150%   7/1/50   1,092     1,088
  Crown Castle International Corp.  3.250%  1/15/51   2,534     2,190
  Duke Realty LP  3.050%   3/1/50     740       652
  Equinix Inc.  3.000%  7/15/50   1,562     1,304
  Equinix Inc.  2.950%  9/15/51   1,277     1,049
  Equinix Inc.  3.400%  2/15/52     575       518
  ERP Operating LP  4.500%   7/1/44     655       755
  ERP Operating LP  4.500%   6/1/45     921     1,065
  ERP Operating LP  4.000%   8/1/47     488       532
  Essex Portfolio LP  1.650%  1/15/31     303       269
  Essex Portfolio LP  2.650%  3/15/32     640       609
  Essex Portfolio LP  4.500%  3/15/48     680       759
  Essex Portfolio LP  2.650%   9/1/50   1,465     1,177
  Extra Space Storage LP  2.350%  3/15/32     425       391
  Federal Realty Investment Trust  4.500%  12/1/44     403       441
  Healthpeak Properties Inc.  6.750%   2/1/41     421       586
  Highwoods Realty LP  2.600%   2/1/31     222       210
  Invitation Homes Operating Partnership LP  2.700%  1/15/34     895       818
  Kilroy Realty LP  2.500% 11/15/32     952       874
  Kilroy Realty LP  2.650% 11/15/33   1,080       984
  Kimco Realty Corp.  3.200%   4/1/32   2,000     2,005
  Kimco Realty Corp.  4.250%   4/1/45     548       575
  Kimco Realty Corp.  4.125%  12/1/46     643       665
  Kimco Realty Corp.  4.450%   9/1/47     530       581
  Kimco Realty Corp.  3.700%  10/1/49     955       926
  Mid-America Apartments LP  2.875%  9/15/51     700       614
  National Retail Properties Inc.  4.800% 10/15/48   2,296     2,630
  National Retail Properties Inc.  3.100%  4/15/50     925       804
  National Retail Properties Inc.  3.000%  4/15/52     707       582
193

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Omega Healthcare Investors Inc.  3.250%  4/15/33     581       533
  Piedmont Operating Partnership LP  2.750%   4/1/32     725       671
  Prologis LP  4.375%  9/15/48   1,325     1,504
  Prologis LP  3.000%  4/15/50   1,270     1,168
  Prologis LP  2.125% 10/15/50     959       738
  Realty Income Corp.  2.850% 12/15/32   1,584     1,545
  Realty Income Corp.  1.800%  3/15/33   1,068       932
  Realty Income Corp.  4.650%  3/15/47     920     1,068
  Regency Centers LP  4.400%   2/1/47     645       688
  Regency Centers LP  4.650%  3/15/49     985     1,106
  Simon Property Group LP  6.750%   2/1/40   1,150     1,565
  Simon Property Group LP  4.750%  3/15/42   1,900     2,135
  Simon Property Group LP  4.250%  10/1/44   2,128     2,269
  Simon Property Group LP  4.250% 11/30/46     577       624
  Simon Property Group LP  3.250%  9/13/49     987       909
  Simon Property Group LP  3.800%  7/15/50   2,276     2,302
1 UDR Inc.  2.100%   8/1/32     290       263
1 UDR Inc.  1.900%  3/15/33     575       501
1 UDR Inc.  2.100%  6/15/33     895       798
  UDR Inc.  3.100%  11/1/34   1,085     1,051
  Ventas Realty LP  5.700%  9/30/43     819     1,015
  Ventas Realty LP  4.375%   2/1/45     388       407
  Ventas Realty LP  4.875%  4/15/49     817       939
  Welltower Inc.  6.500%  3/15/41   1,105     1,478
  Welltower Inc.  4.950%   9/1/48     840       991
  Weyerhaeuser Co.  7.375%  3/15/32   3,059     4,113
  Weyerhaeuser Co.  4.000%   3/9/52     900       913
  WP Carey Inc.  2.250%   4/1/33   1,600     1,426
                                  87,437
Technology (8.6%)
  Analog Devices Inc.  2.800%  10/1/41   2,455     2,259
  Analog Devices Inc.  2.950%  10/1/51   2,364     2,163
  Apple Inc.  4.500%  2/23/36   2,511     2,948
  Apple Inc.  2.375%   2/8/41   2,855     2,540
  Apple Inc.  3.850%   5/4/43   6,907     7,430
  Apple Inc.  4.450%   5/6/44   2,028     2,368
  Apple Inc.  3.450%   2/9/45   5,264     5,380
  Apple Inc.  4.375%  5/13/45   4,395     5,096
  Apple Inc.  4.650%  2/23/46   9,449    11,473
  Apple Inc.  3.850%   8/4/46   4,185     4,527
  Apple Inc.  4.250%   2/9/47     954     1,096
  Apple Inc.  3.750%  9/12/47   2,113     2,253
  Apple Inc.  3.750% 11/13/47   3,702     3,959
  Apple Inc.  2.950%  9/11/49   2,595     2,441
  Apple Inc.  2.650%  5/11/50   5,607     4,992
  Apple Inc.  2.400%  8/20/50   4,173     3,531
  Apple Inc.  2.650%   2/8/51   6,315     5,618
  Apple Inc.  2.700%   8/5/51   3,692     3,300
  Apple Inc.  2.550%  8/20/60   2,869     2,387
  Apple Inc.  2.800%   2/8/61   3,337     2,938
  Apple Inc.  2.850%   8/5/61   3,070     2,727
  Applied Materials Inc.  5.100%  10/1/35     398       484
  Applied Materials Inc.  5.850%  6/15/41   1,796     2,392
  Applied Materials Inc.  4.350%   4/1/47   1,909     2,188
  Applied Materials Inc.  2.750%   6/1/50   2,711     2,456
194

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Broadcom Inc.  4.300% 11/15/32   4,091     4,311
2 Broadcom Inc.  2.600%  2/15/33   3,951     3,601
2 Broadcom Inc.  3.419%  4/15/33   5,272     5,146
2 Broadcom Inc.  3.469%  4/15/34   7,725     7,491
2 Broadcom Inc.  3.137% 11/15/35   6,995     6,482
2 Broadcom Inc.  3.187% 11/15/36   5,055     4,692
2 Broadcom Inc.  3.500%  2/15/41   6,347     5,865
2 Broadcom Inc.  3.750%  2/15/51   3,370     3,148
  Cisco Systems Inc.  5.900%  2/15/39   3,712     4,931
  Cisco Systems Inc.  5.500%  1/15/40   4,098     5,276
  Corning Inc.  4.700%  3/15/37   1,035     1,161
  Corning Inc.  5.750%  8/15/40     794       999
  Corning Inc.  4.750%  3/15/42     407       468
  Corning Inc.  5.350% 11/15/48     694       866
  Corning Inc.  3.900% 11/15/49     580       586
  Corning Inc.  4.375% 11/15/57   2,520     2,653
  Corning Inc.  5.850% 11/15/68   1,012     1,304
  Corning Inc.  5.450% 11/15/79   2,305     2,668
  Dell Inc.  6.500%  4/15/38   1,435     1,654
  Dell International LLC  8.100%  7/15/36   2,091     2,894
2 Dell International LLC  3.375% 12/15/41   2,030     1,790
  Dell International LLC  8.350%  7/15/46   1,031     1,569
2 Dell International LLC  3.450% 12/15/51   3,310     2,798
  Fidelity National Information Services Inc.  3.100%   3/1/41   1,945     1,749
  Fidelity National Information Services Inc.  4.500%  8/15/46     818       900
  Fiserv Inc.  4.400%   7/1/49   4,963     5,288
  Hewlett Packard Enterprise Co.  6.200% 10/15/35   1,886     2,257
  Hewlett Packard Enterprise Co.  6.350% 10/15/45   1,946     2,323
  HP Inc.  6.000%  9/15/41   3,164     3,794
  Intel Corp.  4.000% 12/15/32   1,697     1,869
  Intel Corp.  4.600%  3/25/40   2,325     2,631
  Intel Corp.  2.800%  8/12/41     670       604
  Intel Corp.  4.800%  10/1/41   1,538     1,810
  Intel Corp.  4.250% 12/15/42   1,332     1,461
  Intel Corp.  4.900%  7/29/45   1,419     1,685
  Intel Corp.  4.100%  5/19/46   2,223     2,376
  Intel Corp.  4.100%  5/11/47   2,410     2,572
  Intel Corp.  3.734%  12/8/47   4,048     4,094
  Intel Corp.  3.250% 11/15/49   5,112     4,774
  Intel Corp.  4.750%  3/25/50   4,300     5,048
  Intel Corp.  3.050%  8/12/51   3,384     3,058
  Intel Corp.  3.100%  2/15/60   1,120       980
  Intel Corp.  4.950%  3/25/60   1,690     2,072
  Intel Corp.  3.200%  8/12/61   1,960     1,738
  International Business Machines Corp.  5.875% 11/29/32   1,075     1,348
  International Business Machines Corp.  4.150%  5/15/39   4,489     4,802
  International Business Machines Corp.  5.600% 11/30/39     775       978
  International Business Machines Corp.  2.850%  5/15/40   2,030     1,849
  International Business Machines Corp.  4.000%  6/20/42   1,986     2,091
  International Business Machines Corp.  4.700%  2/19/46   2,330     2,723
  International Business Machines Corp.  4.250%  5/15/49   5,755     6,323
  International Business Machines Corp.  2.950%  5/15/50     830       745
  International Business Machines Corp.  7.125%  12/1/96     475       781
  Juniper Networks Inc.  5.950%  3/15/41   1,718     2,068
  KLA Corp.  5.000%  3/15/49     980     1,181
195

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  KLA Corp.  3.300%   3/1/50   2,074     1,960
2 Kyndryl Holdings Inc.  4.100% 10/15/41   1,200     1,021
  Lam Research Corp.  4.875%  3/15/49   1,537     1,862
  Lam Research Corp.  2.875%  6/15/50   1,390     1,242
  Lam Research Corp.  3.125%  6/15/60   1,582     1,428
  Micron Technology Inc.  2.703%  4/15/32   2,100     1,963
  Micron Technology Inc.  3.366%  11/1/41   1,000       907
  Micron Technology Inc.  3.477%  11/1/51   1,500     1,329
  Microsoft Corp.  3.500%  2/12/35   3,086     3,333
  Microsoft Corp.  4.200%  11/3/35   1,762     2,030
  Microsoft Corp.  3.450%   8/8/36   4,979     5,345
  Microsoft Corp.  4.100%   2/6/37   2,931     3,354
  Microsoft Corp.  4.500%  10/1/40   1,095     1,316
  Microsoft Corp.  5.300%   2/8/41   1,285     1,682
  Microsoft Corp.  3.500% 11/15/42   1,040     1,097
  Microsoft Corp.  3.750%  2/12/45   1,447     1,562
  Microsoft Corp.  3.700%   8/8/46   7,131     7,714
  Microsoft Corp.  4.250%   2/6/47   1,380     1,628
  Microsoft Corp.  2.525%   6/1/50  14,465    12,847
  Microsoft Corp.  2.921%  3/17/52  15,569    14,877
  Microsoft Corp.  3.950%   8/8/56   1,240     1,395
  Microsoft Corp.  2.675%   6/1/60   4,771     4,206
  Microsoft Corp.  3.041%  3/17/62   6,705     6,415
  Moody's Corp.  2.750%  8/19/41     670       585
  Moody's Corp.  5.250%  7/15/44     883     1,066
  Moody's Corp.  4.875% 12/17/48   1,541     1,814
  Moody's Corp.  3.250%  5/20/50   1,299     1,183
  Moody's Corp.  2.550%  8/18/60     935       708
  Moody's Corp.  3.100% 11/29/61   1,550     1,319
  Motorola Solutions Inc.  5.500%   9/1/44   1,049     1,218
  NVIDIA Corp.  3.500%   4/1/40   3,041     3,124
  NVIDIA Corp.  3.500%   4/1/50   2,692     2,760
  NVIDIA Corp.  3.700%   4/1/60   2,135     2,230
2 NXP BV  3.250%  5/11/41   2,050     1,877
2 NXP BV  3.125%  2/15/42   1,030       929
2 NXP BV  3.250% 11/30/51   1,100       966
  Oracle Corp.  4.300%   7/8/34   4,286     4,423
  Oracle Corp.  3.900%  5/15/35   2,584     2,531
  Oracle Corp.  3.850%  7/15/36   2,801     2,705
  Oracle Corp.  3.800% 11/15/37   3,990     3,794
  Oracle Corp.  6.500%  4/15/38   1,681     2,080
  Oracle Corp.  6.125%   7/8/39     923     1,106
  Oracle Corp.  3.600%   4/1/40   8,100     7,332
  Oracle Corp.  5.375%  7/15/40   3,550     3,895
  Oracle Corp.  3.650%  3/25/41   5,420     4,907
  Oracle Corp.  4.500%   7/8/44   2,928     2,912
  Oracle Corp.  4.125%  5/15/45   3,502     3,266
  Oracle Corp.  4.000%  7/15/46   6,363     5,847
  Oracle Corp.  4.000% 11/15/47   2,640     2,418
  Oracle Corp.  3.600%   4/1/50  10,908     9,473
  Oracle Corp.  3.950%  3/25/51   6,990     6,411
  Oracle Corp.  4.375%  5/15/55   3,386     3,220
  Oracle Corp.  3.850%   4/1/60   7,996     6,891
  Oracle Corp.  4.100%  3/25/61   3,385     3,054
  QUALCOMM Inc.  1.650%  5/20/32   1,272     1,146
196

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  QUALCOMM Inc.  4.650%  5/20/35   3,336     3,884
  QUALCOMM Inc.  4.800%  5/20/45   4,283     5,103
  QUALCOMM Inc.  4.300%  5/20/47   2,000     2,261
  QUALCOMM Inc.  3.250%  5/20/50   2,304     2,259
  Quanta Services Inc.  3.050%  10/1/41   1,200     1,045
  S&P Global Inc.  3.250%  12/1/49   1,509     1,447
  S&P Global Inc.  2.300%  8/15/60   1,230       925
  salesforce.com Inc.  2.700%  7/15/41   3,320     3,030
  salesforce.com Inc.  2.900%  7/15/51   4,925     4,491
  salesforce.com Inc.  3.050%  7/15/61   3,055     2,757
  Texas Instruments Inc.  3.875%  3/15/39   2,834     3,089
  Texas Instruments Inc.  4.150%  5/15/48   2,917     3,315
  Texas Instruments Inc.  2.700%  9/15/51   1,247     1,126
  TSMC Arizona Corp.  3.125% 10/25/41   2,330     2,210
  TSMC Arizona Corp.  3.250% 10/25/51   1,960     1,869
  Verisk Analytics Inc.  5.500%  6/15/45   1,271     1,581
  Verisk Analytics Inc.  3.625%  5/15/50   1,521     1,467
                                 458,833
Utilities (11.8%)
  AEP Texas Inc.  3.800%  10/1/47     569       548
1 AEP Texas Inc.  3.450%  1/15/50   1,570     1,447
  AEP Transmission Co. LLC  4.000%  12/1/46     845       886
  AEP Transmission Co. LLC  3.750%  12/1/47     437       443
  AEP Transmission Co. LLC  4.250%  9/15/48   1,060     1,150
  AEP Transmission Co. LLC  3.800%  6/15/49   1,316     1,333
1 AEP Transmission Co. LLC  3.650%   4/1/50     990       979
1 AEP Transmission Co. LLC  2.750%  8/15/51     815       692
  Alabama Power Co.  6.125%  5/15/38     687       887
  Alabama Power Co.  6.000%   3/1/39     444       572
  Alabama Power Co.  3.850%  12/1/42   1,928     1,938
  Alabama Power Co.  4.150%  8/15/44   1,944     2,056
  Alabama Power Co.  3.750%   3/1/45   2,343     2,324
  Alabama Power Co.  4.300%   1/2/46   1,191     1,278
1 Alabama Power Co.  3.700%  12/1/47   1,099     1,092
1 Alabama Power Co.  4.300%  7/15/48     174       188
  Alabama Power Co.  3.450%  10/1/49   1,095     1,042
  Alabama Power Co.  3.125%  7/15/51   1,360     1,227
  Alabama Power Co.  3.000%  3/15/52   1,995     1,766
  Ameren Illinois Co.  4.150%  3/15/46   1,517     1,661
  Ameren Illinois Co.  3.700%  12/1/47   1,552     1,590
  Ameren Illinois Co.  4.500%  3/15/49     690       793
  Ameren Illinois Co.  3.250%  3/15/50   1,073     1,020
  Ameren Illinois Co.  2.900%  6/15/51     950       855
  American Electric Power Co. Inc.  3.250%   3/1/50   1,002       884
  American Water Capital Corp.  6.593% 10/15/37     558       754
  American Water Capital Corp.  4.300%  12/1/42     755       814
  American Water Capital Corp.  4.300%   9/1/45   1,469     1,569
  American Water Capital Corp.  4.000%  12/1/46   1,223     1,265
  American Water Capital Corp.  3.750%   9/1/47   1,167     1,163
  American Water Capital Corp.  4.200%   9/1/48   2,025     2,140
  American Water Capital Corp.  4.150%   6/1/49   1,215     1,270
  American Water Capital Corp.  3.450%   5/1/50   1,615     1,543
  American Water Capital Corp.  3.250%   6/1/51     890       825
  Appalachian Power Co.  7.000%   4/1/38     674       901
  Appalachian Power Co.  4.400%  5/15/44     928       977
197

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Appalachian Power Co.  4.450%   6/1/45     534       565
1 Appalachian Power Co.  4.500%   3/1/49   1,521     1,633
1 Appalachian Power Co.  3.700%   5/1/50   1,493     1,443
  Arizona Public Service Co.  5.050%   9/1/41     957     1,072
  Arizona Public Service Co.  4.500%   4/1/42   1,496     1,613
  Arizona Public Service Co.  4.350% 11/15/45     485       506
  Arizona Public Service Co.  3.750%  5/15/46     700       686
  Arizona Public Service Co.  4.200%  8/15/48   1,257     1,290
  Arizona Public Service Co.  4.250%   3/1/49   1,186     1,239
  Arizona Public Service Co.  3.500%  12/1/49     338       313
  Arizona Public Service Co.  3.350%  5/15/50     285       257
  Arizona Public Service Co.  2.650%  9/15/50     460       370
  Atmos Energy Corp.  5.500%  6/15/41     440       530
  Atmos Energy Corp.  4.150%  1/15/43     918       958
  Atmos Energy Corp.  4.125% 10/15/44     328       343
  Atmos Energy Corp.  4.300%  10/1/48     275       299
  Atmos Energy Corp.  4.125%  3/15/49   1,542     1,655
  Atmos Energy Corp.  3.375%  9/15/49   2,641     2,506
  Atmos Energy Corp.  2.850%  2/15/52   2,025     1,752
  Avista Corp.  4.350%   6/1/48     598       665
  Baltimore Gas & Electric Co.  6.350%  10/1/36   1,130     1,520
  Baltimore Gas & Electric Co.  3.500%  8/15/46     835       819
1 Baltimore Gas & Electric Co.  3.750%  8/15/47   2,000     2,040
  Baltimore Gas & Electric Co.  4.250%  9/15/48     862       947
  Baltimore Gas & Electric Co.  3.200%  9/15/49     635       594
  Baltimore Gas & Electric Co.  2.900%  6/15/50   1,670     1,487
  Berkshire Hathaway Energy Co.  6.125%   4/1/36   1,615     2,060
  Berkshire Hathaway Energy Co.  5.950%  5/15/37     720       915
  Berkshire Hathaway Energy Co.  5.150% 11/15/43     552       640
  Berkshire Hathaway Energy Co.  4.500%   2/1/45   2,083     2,275
  Berkshire Hathaway Energy Co.  3.800%  7/15/48   1,045     1,046
  Berkshire Hathaway Energy Co.  4.450%  1/15/49     670       736
  Berkshire Hathaway Energy Co.  4.250% 10/15/50   2,695     2,908
  Berkshire Hathaway Energy Co.  2.850%  5/15/51     440       374
  Black Hills Corp.  4.350%   5/1/33     413       441
  Black Hills Corp.  4.200%  9/15/46     746       763
  Black Hills Corp.  3.875% 10/15/49   1,162     1,129
1 CenterPoint Energy Houston Electric LLC  6.950%  3/15/33     415       552
  CenterPoint Energy Houston Electric LLC  3.550%   8/1/42     952       957
  CenterPoint Energy Houston Electric LLC  4.500%   4/1/44     439       497
  CenterPoint Energy Houston Electric LLC  3.950%   3/1/48   1,010     1,075
1 CenterPoint Energy Houston Electric LLC  4.250%   2/1/49   1,556     1,738
1 CenterPoint Energy Houston Electric LLC  2.900%   7/1/50   1,462     1,311
1 CenterPoint Energy Houston Electric LLC  3.350%   4/1/51   1,590     1,546
  CenterPoint Energy Inc.  3.700%   9/1/49   2,825     2,774
  CenterPoint Energy Resources Corp.  5.850%  1/15/41     616       768
  CenterPoint Energy Resources Corp.  4.100%   9/1/47     844       876
  Cleco Corporate Holdings LLC  4.973%   5/1/46     765       839
  Cleveland Electric Illuminating Co.  5.950% 12/15/36   1,000     1,259
  CMS Energy Corp.  4.875%   3/1/44     717       823
  Commonwealth Edison Co.  5.900%  3/15/36     300       384
  Commonwealth Edison Co.  6.450%  1/15/38     540       724
  Commonwealth Edison Co.  4.600%  8/15/43     866       984
  Commonwealth Edison Co.  4.700%  1/15/44     896     1,033
  Commonwealth Edison Co.  3.700%   3/1/45   1,272     1,281
198

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Commonwealth Edison Co.  4.350% 11/15/45   1,138     1,243
  Commonwealth Edison Co.  3.650%  6/15/46     898       903
1 Commonwealth Edison Co.  3.750%  8/15/47   2,310     2,344
  Commonwealth Edison Co.  4.000%   3/1/48     395       423
  Commonwealth Edison Co.  4.000%   3/1/49   1,490     1,587
1 Commonwealth Edison Co.  3.200% 11/15/49     780       729
  Commonwealth Edison Co.  3.000%   3/1/50   1,145     1,036
1 Commonwealth Edison Co.  3.125%  3/15/51     960       887
1 Commonwealth Edison Co.  2.750%   9/1/51     700       607
  Connecticut Light & Power Co.  4.300%  4/15/44   1,209     1,333
1 Connecticut Light & Power Co.  4.150%   6/1/45     437       472
  Connecticut Light & Power Co.  4.000%   4/1/48   1,275     1,366
1 Consolidated Edison Co. of New York Inc.  5.300%   3/1/35     679       796
1 Consolidated Edison Co. of New York Inc.  5.850%  3/15/36     998     1,223
1 Consolidated Edison Co. of New York Inc.  6.200%  6/15/36     845     1,066
1 Consolidated Edison Co. of New York Inc.  6.300%  8/15/37     405       523
1 Consolidated Edison Co. of New York Inc.  6.750%   4/1/38   1,364     1,841
  Consolidated Edison Co. of New York Inc.  5.700%  6/15/40   2,008     2,446
1 Consolidated Edison Co. of New York Inc.  4.200%  3/15/42   2,046     2,130
  Consolidated Edison Co. of New York Inc.  3.950%   3/1/43     762       762
  Consolidated Edison Co. of New York Inc.  4.450%  3/15/44   2,678     2,883
  Consolidated Edison Co. of New York Inc.  4.500%  12/1/45   2,304     2,476
  Consolidated Edison Co. of New York Inc.  3.850%  6/15/46     963       957
1 Consolidated Edison Co. of New York Inc.  3.875%  6/15/47   1,942     1,938
1 Consolidated Edison Co. of New York Inc.  4.650%  12/1/48     895       994
1 Consolidated Edison Co. of New York Inc.  3.950%   4/1/50     850       872
  Consolidated Edison Co. of New York Inc.  3.200%  12/1/51   1,975     1,764
  Consolidated Edison Co. of New York Inc.  4.625%  12/1/54     390       432
1 Consolidated Edison Co. of New York Inc.  4.300%  12/1/56     475       502
1 Consolidated Edison Co. of New York Inc.  4.000% 11/15/57   1,385     1,389
  Consolidated Edison Co. of New York Inc.  4.500%  5/15/58   1,177     1,282
  Consolidated Edison Co. of New York Inc.  3.700% 11/15/59   1,465     1,382
1 Consolidated Edison Co. of New York Inc.  3.000%  12/1/60     680       563
  Consolidated Edison Co. of New York Inc.  3.600%  6/15/61   2,175     2,036
  Constellation Energy Generation LLC  6.250%  10/1/39   1,550     1,807
  Constellation Energy Generation LLC  5.750%  10/1/41   1,662     1,877
  Constellation Energy Generation LLC  5.600%  6/15/42   1,316     1,445
  Consumers Energy Co.  3.250%  8/15/46   1,256     1,207
  Consumers Energy Co.  3.950%  7/15/47     900       952
  Consumers Energy Co.  4.050%  5/15/48     356       384
  Consumers Energy Co.  4.350%  4/15/49     963     1,090
  Consumers Energy Co.  3.750%  2/15/50   1,020     1,056
  Consumers Energy Co.  3.100%  8/15/50   1,099     1,036
  Consumers Energy Co.  3.500%   8/1/51   2,275     2,273
  Consumers Energy Co.  2.650%  8/15/52   1,395     1,202
  Consumers Energy Co.  2.500%   5/1/60   1,045       819
  Dayton Power & Light Co.  3.950%  6/15/49     752       779
  Delmarva Power & Light Co.  4.150%  5/15/45   1,671     1,772
1 Dominion Energy Inc.  6.300%  3/15/33     785       974
1 Dominion Energy Inc.  5.250%   8/1/33     619       718
1 Dominion Energy Inc.  5.950%  6/15/35     484       593
  Dominion Energy Inc.  7.000%  6/15/38     685       934
1 Dominion Energy Inc.  3.300%  4/15/41   1,890     1,766
1 Dominion Energy Inc.  4.900%   8/1/41     837       944
1 Dominion Energy Inc.  4.050%  9/15/42     959       976
199

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Dominion Energy Inc.  4.700%  12/1/44   1,411     1,588
1 Dominion Energy Inc.  4.600%  3/15/49     640       711
  Dominion Energy South Carolina Inc.  5.300%  5/15/33   1,455     1,748
  Dominion Energy South Carolina Inc.  6.050%  1/15/38     440       569
  Dominion Energy South Carolina Inc.  5.450%   2/1/41   1,691     2,077
  Dominion Energy South Carolina Inc.  4.600%  6/15/43   1,136     1,269
  Dominion Energy South Carolina Inc.  5.100%   6/1/65     515       642
1 DTE Electric Co.  4.000%   4/1/43     325       347
  DTE Electric Co.  4.300%   7/1/44   1,972     2,173
  DTE Electric Co.  3.700%  3/15/45   1,464     1,495
  DTE Electric Co.  3.700%   6/1/46   1,812     1,866
  DTE Electric Co.  3.750%  8/15/47   1,310     1,349
1 DTE Electric Co.  4.050%  5/15/48     505       545
  DTE Electric Co.  3.950%   3/1/49     575       612
  DTE Electric Co.  2.950%   3/1/50     344       315
1 DTE Electric Co.  3.250%   4/1/51   1,075     1,026
  Duke Energy Carolinas LLC  6.450% 10/15/32     768       968
  Duke Energy Carolinas LLC  6.100%   6/1/37   1,411     1,787
  Duke Energy Carolinas LLC  6.000%  1/15/38     306       391
  Duke Energy Carolinas LLC  6.050%  4/15/38   1,085     1,402
  Duke Energy Carolinas LLC  5.300%  2/15/40   1,188     1,439
  Duke Energy Carolinas LLC  4.250% 12/15/41     951     1,020
  Duke Energy Carolinas LLC  4.000%  9/30/42   1,290     1,352
  Duke Energy Carolinas LLC  3.750%   6/1/45     150       150
  Duke Energy Carolinas LLC  3.875%  3/15/46   1,715     1,771
  Duke Energy Carolinas LLC  3.700%  12/1/47   1,605     1,615
  Duke Energy Carolinas LLC  3.950%  3/15/48     881       917
  Duke Energy Carolinas LLC  3.200%  8/15/49     958       899
  Duke Energy Carolinas LLC  3.450%  4/15/51   1,580     1,552
  Duke Energy Corp.  3.300%  6/15/41   2,640     2,429
  Duke Energy Corp.  3.750%   9/1/46   2,104     2,009
  Duke Energy Corp.  3.950%  8/15/47   1,127     1,108
  Duke Energy Corp.  4.200%  6/15/49   1,255     1,291
  Duke Energy Corp.  3.500%  6/15/51   1,525     1,401
  Duke Energy Florida LLC  6.350%  9/15/37   2,311     3,068
  Duke Energy Florida LLC  6.400%  6/15/38     341       456
  Duke Energy Florida LLC  5.650%   4/1/40   1,165     1,440
  Duke Energy Florida LLC  3.850% 11/15/42     875       897
  Duke Energy Florida LLC  3.400%  10/1/46   1,506     1,444
  Duke Energy Florida LLC  4.200%  7/15/48   1,396     1,526
  Duke Energy Florida LLC  3.000% 12/15/51     310       280
  Duke Energy Indiana LLC  6.120% 10/15/35     913     1,129
  Duke Energy Indiana LLC  6.350%  8/15/38   1,851     2,392
  Duke Energy Indiana LLC  6.450%   4/1/39     855     1,128
1 Duke Energy Indiana LLC  4.900%  7/15/43   1,318     1,491
  Duke Energy Indiana LLC  3.750%  5/15/46   1,745     1,777
1 Duke Energy Indiana LLC  3.250%  10/1/49   1,025       944
  Duke Energy Indiana LLC  2.750%   4/1/50     945       806
  Duke Energy Ohio Inc.  3.700%  6/15/46     100       100
  Duke Energy Ohio Inc.  4.300%   2/1/49   1,498     1,645
  Duke Energy Progress LLC  6.300%   4/1/38     883     1,150
  Duke Energy Progress LLC  4.100%  5/15/42   1,354     1,426
  Duke Energy Progress LLC  4.100%  3/15/43   1,420     1,498
  Duke Energy Progress LLC  4.375%  3/30/44     921     1,016
  Duke Energy Progress LLC  4.150%  12/1/44   1,660     1,763
200

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Duke Energy Progress LLC  4.200%  8/15/45     698       748
  Duke Energy Progress LLC  3.700% 10/15/46   1,795     1,803
  Duke Energy Progress LLC  3.600%  9/15/47   1,265     1,253
  Duke Energy Progress LLC  2.500%  8/15/50     150       124
  Duke Energy Progress LLC  2.900%  8/15/51   1,675     1,508
1 Duke Energy Progress NC Storm Funding LLC  2.387%   7/1/37     725       705
  El Paso Electric Co.  6.000%  5/15/35     944     1,177
  El Paso Electric Co.  5.000%  12/1/44     588       660
  Emera US Finance LP  4.750%  6/15/46   1,358     1,448
  Entergy Arkansas LLC  4.200%   4/1/49   1,238     1,346
  Entergy Arkansas LLC  2.650%  6/15/51     455       382
  Entergy Arkansas LLC  3.350%  6/15/52   1,625     1,534
  Entergy Corp.  3.750%  6/15/50   2,079     2,015
  Entergy Louisiana LLC  2.350%  6/15/32   1,360     1,285
  Entergy Louisiana LLC  4.000%  3/15/33   1,413     1,523
  Entergy Louisiana LLC  3.100%  6/15/41   1,135     1,076
  Entergy Louisiana LLC  4.200%   9/1/48   2,459     2,643
  Entergy Louisiana LLC  4.200%   4/1/50   1,521     1,648
  Entergy Louisiana LLC  2.900%  3/15/51     481       427
  Entergy Mississippi LLC  3.850%   6/1/49   1,852     1,917
  Entergy Texas Inc.  3.550%  9/30/49   1,395     1,324
  Essential Utilities Inc.  4.276%   5/1/49     880       937
  Essential Utilities Inc.  3.351%  4/15/50     956       881
  Evergy Kansas Central Inc.  4.125%   3/1/42   1,043     1,099
  Evergy Kansas Central Inc.  4.100%   4/1/43   1,264     1,336
  Evergy Kansas Central Inc.  4.250%  12/1/45   1,214     1,296
  Evergy Kansas Central Inc.  3.450%  4/15/50     733       704
  Evergy Metro Inc.  5.300%  10/1/41     335       407
  Evergy Metro Inc.  4.200%  6/15/47   1,660     1,807
  Evergy Metro Inc.  4.200%  3/15/48     916       992
1 Evergy Metro Inc.  4.125%   4/1/49   1,285     1,382
  Eversource Energy  3.450%  1/15/50     365       342
1 Exelon Corp.  4.950%  6/15/35   1,435     1,607
  Exelon Corp.  5.625%  6/15/35   1,040     1,236
  Exelon Corp.  5.100%  6/15/45   1,504     1,747
  Exelon Corp.  4.450%  4/15/46   1,515     1,644
  Exelon Corp.  4.700%  4/15/50   1,632     1,851
  Florida Power & Light Co.  5.625%   4/1/34     419       522
  Florida Power & Light Co.  4.950%   6/1/35   1,647     1,933
  Florida Power & Light Co.  5.650%   2/1/37     958     1,207
  Florida Power & Light Co.  5.950%   2/1/38     877     1,133
  Florida Power & Light Co.  5.960%   4/1/39     595       780
  Florida Power & Light Co.  5.690%   3/1/40     780     1,006
  Florida Power & Light Co.  5.250%   2/1/41   1,799     2,195
  Florida Power & Light Co.  4.125%   2/1/42   1,509     1,633
  Florida Power & Light Co.  4.050%   6/1/42     984     1,051
  Florida Power & Light Co.  3.800% 12/15/42   1,909     1,989
  Florida Power & Light Co.  4.050%  10/1/44   2,072     2,251
  Florida Power & Light Co.  3.700%  12/1/47   1,062     1,097
  Florida Power & Light Co.  3.950%   3/1/48   1,999     2,163
  Florida Power & Light Co.  4.125%   6/1/48   2,556     2,843
  Florida Power & Light Co.  3.990%   3/1/49     200       217
  Florida Power & Light Co.  3.150%  10/1/49   1,382     1,320
  Florida Power & Light Co.  2.875%  12/4/51   2,332     2,124
1 Georgia Power Co.  4.750%   9/1/40   1,526     1,660
201

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Georgia Power Co.  4.300%  3/15/42   2,393     2,499
  Georgia Power Co.  4.300%  3/15/43     553       570
1 Georgia Power Co.  3.700%  1/30/50   2,185     2,078
1 Georgia Power Co.  3.250%  3/15/51     375       335
  Iberdrola International BV  6.750%  7/15/36   1,315     1,798
1 Idaho Power Co.  4.200%   3/1/48     950     1,059
  Indiana Michigan Power Co.  6.050%  3/15/37   1,588     2,039
1 Indiana Michigan Power Co.  4.550%  3/15/46     933     1,032
1 Indiana Michigan Power Co.  3.750%   7/1/47   1,320     1,297
  Indiana Michigan Power Co.  4.250%  8/15/48   1,141     1,228
  Indiana Michigan Power Co.  3.250%   5/1/51   1,265     1,165
  Interstate Power & Light Co.  6.250%  7/15/39     254       338
  Interstate Power & Light Co.  3.700%  9/15/46     419       432
  Interstate Power & Light Co.  3.500%  9/30/49     525       511
  Interstate Power & Light Co.  3.100% 11/30/51     675       608
  ITC Holdings Corp.  5.300%   7/1/43   1,451     1,762
1 John Sevier Combined Cycle Generation LLC  4.626%  1/15/42     857       990
  Kentucky Utilities Co.  5.125%  11/1/40     821       963
  Kentucky Utilities Co.  4.375%  10/1/45     465       505
  Kentucky Utilities Co.  3.300%   6/1/50   1,140     1,069
  Louisville Gas & Electric Co.  4.250%   4/1/49   2,224     2,418
1 MidAmerican Energy Co.  5.750%  11/1/35     958     1,206
1 MidAmerican Energy Co.  5.800% 10/15/36   1,200     1,524
  MidAmerican Energy Co.  4.800%  9/15/43   1,259     1,455
  MidAmerican Energy Co.  4.400% 10/15/44   1,309     1,457
  MidAmerican Energy Co.  4.250%   5/1/46   1,922     2,127
  MidAmerican Energy Co.  3.650%   8/1/48   1,031     1,047
  MidAmerican Energy Co.  4.250%  7/15/49   2,451     2,728
  MidAmerican Energy Co.  3.150%  4/15/50     270       255
  MidAmerican Energy Co.  2.700%   8/1/52   1,100       951
1 Mississippi Power Co.  4.250%  3/15/42     976     1,014
1 Mississippi Power Co.  3.100%  7/30/51     265       235
  National Grid USA  5.803%   4/1/35     702       829
1 National Rural Utilities Cooperative Finance Corp.  8.000%   3/1/32     657       924
  National Rural Utilities Cooperative Finance Corp.  4.023%  11/1/32   1,066     1,149
  National Rural Utilities Cooperative Finance Corp.  4.400%  11/1/48   1,466     1,627
  National Rural Utilities Cooperative Finance Corp.  4.300%  3/15/49     928     1,039
1 Nevada Power Co.  6.650%   4/1/36   1,830     2,460
1 Nevada Power Co.  6.750%   7/1/37   1,750     2,375
1 Nevada Power Co.  3.125%   8/1/50   2,149     1,941
  NextEra Energy Capital Holdings Inc.  3.000%  1/15/52   1,255     1,085
  NiSource Inc.  5.950%  6/15/41   1,458     1,801
  NiSource Inc.  5.250%  2/15/43     756       858
  NiSource Inc.  4.800%  2/15/44     914       994
  NiSource Inc.  5.650%   2/1/45   1,100     1,304
  NiSource Inc.  4.375%  5/15/47   1,575     1,651
  NiSource Inc.  3.950%  3/30/48   2,107     2,067
  Northern States Power Co.  6.250%   6/1/36     290       383
  Northern States Power Co.  6.200%   7/1/37     610       815
  Northern States Power Co.  5.350%  11/1/39     507       633
  Northern States Power Co.  3.400%  8/15/42     830       820
  Northern States Power Co.  4.125%  5/15/44     803       866
  Northern States Power Co.  4.000%  8/15/45     970     1,036
  Northern States Power Co.  3.600%  5/15/46   1,199     1,206
  Northern States Power Co.  3.600%  9/15/47     447       451
202

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Northern States Power Co.  2.900%   3/1/50     756       685
  Northern States Power Co.  2.600%   6/1/51     770       659
  Northern States Power Co.  3.200%   4/1/52     715       690
  NorthWestern Corp.  4.176% 11/15/44   1,069     1,170
  NSTAR Electric Co.  5.500%  3/15/40   1,273     1,590
  NSTAR Electric Co.  4.400%   3/1/44   1,067     1,183
  Oglethorpe Power Corp.  5.950%  11/1/39   1,520     1,879
  Oglethorpe Power Corp.  5.375%  11/1/40   1,740     2,056
  Oglethorpe Power Corp.  5.050%  10/1/48     120       138
  Oglethorpe Power Corp.  5.250%   9/1/50     698       810
  Ohio Power Co.  4.150%   4/1/48   1,830     1,913
  Ohio Power Co.  4.000%   6/1/49   1,838     1,910
1 Ohio Power Co.  2.900%  10/1/51     605       518
  Oklahoma Gas & Electric Co.  4.150%   4/1/47     855       917
  Oklahoma Gas & Electric Co.  3.850%  8/15/47     656       695
  Oncor Electric Delivery Co. LLC  7.000%   5/1/32     429       570
  Oncor Electric Delivery Co. LLC  7.250%  1/15/33     845     1,155
  Oncor Electric Delivery Co. LLC  7.500%   9/1/38     500       731
  Oncor Electric Delivery Co. LLC  5.250%  9/30/40   1,145     1,394
  Oncor Electric Delivery Co. LLC  4.550%  12/1/41     992     1,119
  Oncor Electric Delivery Co. LLC  5.300%   6/1/42     765       943
  Oncor Electric Delivery Co. LLC  3.750%   4/1/45   1,647     1,685
  Oncor Electric Delivery Co. LLC  3.800%  9/30/47   1,393     1,443
  Oncor Electric Delivery Co. LLC  4.100% 11/15/48   1,670     1,822
  Oncor Electric Delivery Co. LLC  3.800%   6/1/49   1,797     1,880
1 Oncor Electric Delivery Co. LLC  3.100%  9/15/49   1,260     1,174
2 Oncor Electric Delivery Co. LLC  2.700% 11/15/51   1,060       915
  Oncor Electric Delivery Co. LLC  5.350%  10/1/52     456       601
  ONE Gas Inc.  4.658%   2/1/44     375       426
  ONE Gas Inc.  4.500%  11/1/48   1,045     1,168
  Pacific Gas & Electric Co.  3.250%   6/1/31      62        58
  Pacific Gas & Electric Co.  4.400%   3/1/32   1,000     1,023
  Pacific Gas & Electric Co.  4.500%   7/1/40   5,070     4,797
  Pacific Gas & Electric Co.  3.300%   8/1/40   2,163     1,815
  Pacific Gas & Electric Co.  4.200%   6/1/41   2,905     2,665
  Pacific Gas & Electric Co.  4.750%  2/15/44   2,187     2,092
  Pacific Gas & Electric Co.  4.300%  3/15/45   1,030       928
  Pacific Gas & Electric Co.  3.950%  12/1/47   2,194     1,906
  Pacific Gas & Electric Co.  4.950%   7/1/50   7,875     7,827
  Pacific Gas & Electric Co.  3.500%   8/1/50   3,440     2,833
  Pacific Gas & Electric Co.  5.250%   3/1/52   1,200     1,264
  PacifiCorp  5.250%  6/15/35   2,229     2,652
  PacifiCorp  6.100%   8/1/36   1,270     1,615
  PacifiCorp  5.750%   4/1/37   1,431     1,753
  PacifiCorp  6.250% 10/15/37     530       685
  PacifiCorp  6.350%  7/15/38     630       819
  PacifiCorp  6.000%  1/15/39   1,404     1,781
  PacifiCorp  4.100%   2/1/42   1,465     1,524
  PacifiCorp  4.125%  1/15/49   1,405     1,475
  PacifiCorp  4.150%  2/15/50   1,833     1,940
  PacifiCorp  3.300%  3/15/51   1,715     1,612
  PacifiCorp  2.900%  6/15/52   1,410     1,248
  PECO Energy Co.  5.950%  10/1/36     548       703
  PECO Energy Co.  4.150%  10/1/44   1,086     1,175
  PECO Energy Co.  3.900%   3/1/48   1,057     1,124
203

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  PECO Energy Co.  3.000%  9/15/49     449       413
  PECO Energy Co.  2.800%  6/15/50     851       750
  PECO Energy Co.  3.050%  3/15/51   1,560     1,442
  PECO Energy Co.  2.850%  9/15/51     755       673
  Piedmont Natural Gas Co. Inc.  4.650%   8/1/43     405       459
  Piedmont Natural Gas Co. Inc.  3.640%  11/1/46     596       564
  Piedmont Natural Gas Co. Inc.  3.350%   6/1/50   1,360     1,253
  Potomac Electric Power Co.  6.500% 11/15/37     438       596
  Potomac Electric Power Co.  4.150%  3/15/43   1,830     1,986
  PPL Electric Utilities Corp.  6.250%  5/15/39     428       570
  PPL Electric Utilities Corp.  4.750%  7/15/43     380       440
  PPL Electric Utilities Corp.  4.125%  6/15/44     685       735
  PPL Electric Utilities Corp.  4.150%  10/1/45   1,611     1,729
  PPL Electric Utilities Corp.  3.950%   6/1/47   1,035     1,079
  PPL Electric Utilities Corp.  4.150%  6/15/48   1,170     1,273
  PPL Electric Utilities Corp.  3.000%  10/1/49     825       759
  Progress Energy Inc.  6.000%  12/1/39   1,077     1,332
1 Public Service Co. of Colorado  6.250%   9/1/37   1,865     2,537
  Public Service Co. of Colorado  6.500%   8/1/38     486       677
  Public Service Co. of Colorado  3.600%  9/15/42     996     1,001
  Public Service Co. of Colorado  4.300%  3/15/44     810       882
  Public Service Co. of Colorado  3.800%  6/15/47   1,275     1,309
  Public Service Co. of Colorado  4.100%  6/15/48     519       558
  Public Service Co. of Colorado  4.050%  9/15/49   2,165     2,312
1 Public Service Co. of Colorado  3.200%   3/1/50     368       347
1 Public Service Co. of Colorado  2.700%  1/15/51   1,075       921
  Public Service Co. of New Hampshire  3.600%   7/1/49   1,649     1,670
1 Public Service Electric & Gas Co.  5.800%   5/1/37     460       586
1 Public Service Electric & Gas Co.  5.500%   3/1/40   1,100     1,366
1 Public Service Electric & Gas Co.  3.950%   5/1/42     815       876
1 Public Service Electric & Gas Co.  3.650%   9/1/42   1,013     1,029
1 Public Service Electric & Gas Co.  3.800%   1/1/43     510       529
1 Public Service Electric & Gas Co.  3.800%   3/1/46   1,457     1,517
1 Public Service Electric & Gas Co.  3.600%  12/1/47     375       379
1 Public Service Electric & Gas Co.  4.050%   5/1/48     799       864
1 Public Service Electric & Gas Co.  3.850%   5/1/49     413       436
1 Public Service Electric & Gas Co.  3.200%   8/1/49     990       945
1 Public Service Electric & Gas Co.  3.150%   1/1/50     334       316
1 Public Service Electric & Gas Co.  2.700%   5/1/50     860       744
1 Public Service Electric & Gas Co.  2.050%   8/1/50   1,065       803
  Puget Sound Energy Inc.  6.274%  3/15/37     881     1,142
  Puget Sound Energy Inc.  5.757%  10/1/39     861     1,069
  Puget Sound Energy Inc.  5.795%  3/15/40     758       953
  Puget Sound Energy Inc.  5.638%  4/15/41     373       463
  Puget Sound Energy Inc.  4.300%  5/20/45     848       922
  Puget Sound Energy Inc.  4.223%  6/15/48     670       721
  Puget Sound Energy Inc.  3.250%  9/15/49   1,179     1,099
  Puget Sound Energy Inc.  2.893%  9/15/51     700       618
  San Diego Gas & Electric Co.  6.000%   6/1/39     944     1,202
  San Diego Gas & Electric Co.  4.500%  8/15/40     496       557
1 San Diego Gas & Electric Co.  3.750%   6/1/47   1,200     1,197
  San Diego Gas & Electric Co.  4.150%  5/15/48     595       639
1 San Diego Gas & Electric Co.  4.100%  6/15/49   1,275     1,349
1 San Diego Gas & Electric Co.  3.320%  4/15/50   1,130     1,062
1 San Diego Gas & Electric Co.  2.950%  8/15/51   1,160     1,040
204

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 SCE Recovery Funding LLC  2.943% 11/15/42     500       495
  Sempra Energy  3.800%   2/1/38   1,848     1,881
  Sempra Energy  6.000% 10/15/39     339       431
  Sempra Energy  4.000%   2/1/48   2,175     2,196
  Southern California Edison Co.  6.000%  1/15/34     848     1,040
1 Southern California Edison Co.  5.750%   4/1/35   1,152     1,376
1 Southern California Edison Co.  5.350%  7/15/35   1,445     1,675
  Southern California Edison Co.  5.625%   2/1/36   1,923     2,235
1 Southern California Edison Co.  5.550%  1/15/37     946     1,105
1 Southern California Edison Co.  5.950%   2/1/38   1,009     1,212
  Southern California Edison Co.  6.050%  3/15/39   1,244     1,508
  Southern California Edison Co.  5.500%  3/15/40   1,639     1,891
  Southern California Edison Co.  4.500%   9/1/40   1,411     1,469
  Southern California Edison Co.  4.050%  3/15/42     500       495
1 Southern California Edison Co.  3.900%  3/15/43   1,583     1,528
  Southern California Edison Co.  4.650%  10/1/43     457       488
1 Southern California Edison Co.  3.600%   2/1/45   2,714     2,525
  Southern California Edison Co.  4.000%   4/1/47   2,007     1,975
1 Southern California Edison Co.  4.125%   3/1/48     653       657
1 Southern California Edison Co.  4.875%   3/1/49   1,596     1,746
  Southern California Edison Co.  3.650%   2/1/50   2,703     2,555
1 Southern California Edison Co.  2.950%   2/1/51     530       447
1 Southern California Edison Co.  3.650%   6/1/51   1,305     1,238
  Southern California Edison Co.  3.450%   2/1/52   1,200     1,105
  Southern California Gas Co.  5.125% 11/15/40     495       592
  Southern California Gas Co.  3.750%  9/15/42   1,058     1,066
1 Southern California Gas Co.  4.125%   6/1/48   1,238     1,322
1 Southern California Gas Co.  4.300%  1/15/49   1,475     1,620
1 Southern California Gas Co.  3.950%  2/15/50     805       850
  Southern Co.  4.250%   7/1/36   1,479     1,553
  Southern Co.  4.400%   7/1/46   3,100     3,246
  Southern Co. Gas Capital Corp.  5.875%  3/15/41   1,578     1,981
  Southern Co. Gas Capital Corp.  4.400%   6/1/43   2,612     2,711
  Southern Co. Gas Capital Corp.  3.950%  10/1/46   1,035     1,019
  Southern Co. Gas Capital Corp.  4.400%  5/30/47   1,503     1,583
  Southern Power Co.  5.150%  9/15/41     823       916
  Southern Power Co.  5.250%  7/15/43     210       237
1 Southern Power Co.  4.950% 12/15/46     867       955
  Southwest Gas Corp.  3.800%  9/29/46     755       751
  Southwest Gas Corp.  4.150%   6/1/49   1,120     1,159
  Southwestern Electric Power Co.  6.200%  3/15/40     757       961
1 Southwestern Electric Power Co.  3.900%   4/1/45   1,424     1,393
1 Southwestern Electric Power Co.  3.850%   2/1/48     927       899
  Southwestern Electric Power Co.  3.250%  11/1/51   1,720     1,519
  Southwestern Public Service Co.  4.500%  8/15/41     520       576
  Southwestern Public Service Co.  3.400%  8/15/46     260       251
  Southwestern Public Service Co.  3.700%  8/15/47     900       905
1 Southwestern Public Service Co.  4.400% 11/15/48     710       793
  Southwestern Public Service Co.  3.750%  6/15/49   1,058     1,096
1 Southwestern Public Service Co.  3.150%   5/1/50     758       709
  Tampa Electric Co.  4.100%  6/15/42   1,170     1,235
  Tampa Electric Co.  4.350%  5/15/44     250       274
  Tampa Electric Co.  4.300%  6/15/48     804       891
  Tampa Electric Co.  4.450%  6/15/49     507       579
  Tampa Electric Co.  3.625%  6/15/50   1,220     1,236
205

 

Long-Term Corporate Bond Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Tampa Electric Co.  3.450%  3/15/51   1,000       972
  Toledo Edison Co.  6.150%  5/15/37     926     1,174
  Tucson Electric Power Co.  3.250%  5/15/32     700       708
  Tucson Electric Power Co.  4.850%  12/1/48   1,000     1,152
  Tucson Electric Power Co.  4.000%  6/15/50   1,080     1,102
  Union Electric Co.  2.150%  3/15/32   1,073     1,013
  Union Electric Co.  5.300%   8/1/37     398       477
  Union Electric Co.  3.900%  9/15/42   1,770     1,839
  Union Electric Co.  3.650%  4/15/45   1,712     1,719
  Union Electric Co.  4.000%   4/1/48   1,179     1,260
  Union Electric Co.  3.250%  10/1/49   1,805     1,732
  Union Electric Co.  2.625%  3/15/51     415       359
  Veolia Environnement SA  6.750%   6/1/38     772     1,072
  Virginia Electric & Power Co.  2.400%  3/30/32   1,350     1,288
1 Virginia Electric & Power Co.  6.000%  1/15/36     902     1,149
1 Virginia Electric & Power Co.  6.000%  5/15/37   1,261     1,623
  Virginia Electric & Power Co.  6.350% 11/30/37   1,428     1,924
  Virginia Electric & Power Co.  8.875% 11/15/38     199       326
  Virginia Electric & Power Co.  4.000%  1/15/43   1,654     1,750
1 Virginia Electric & Power Co.  4.650%  8/15/43   2,656     2,997
  Virginia Electric & Power Co.  4.450%  2/15/44   1,094     1,218
1 Virginia Electric & Power Co.  4.200%  5/15/45   2,115     2,286
1 Virginia Electric & Power Co.  4.000% 11/15/46   1,087     1,145
1 Virginia Electric & Power Co.  3.800%  9/15/47   1,138     1,173
  Virginia Electric & Power Co.  4.600%  12/1/48   1,800     2,096
  Virginia Electric & Power Co.  3.300%  12/1/49   1,615     1,555
  Virginia Electric & Power Co.  2.450% 12/15/50     455       373
  Virginia Electric & Power Co.  2.950% 11/15/51   2,135     1,936
1 Washington Gas Light Co.  3.796%  9/15/46     888       926
1 Washington Gas Light Co.  3.650%  9/15/49   1,188     1,214
  Wisconsin Electric Power Co.  5.625%  5/15/33     562       678
  Wisconsin Electric Power Co.  5.700%  12/1/36     390       492
  Wisconsin Electric Power Co.  4.300% 10/15/48   1,305     1,439
  Wisconsin Power & Light Co.  6.375%  8/15/37     499       659
  Wisconsin Power & Light Co.  3.650%   4/1/50   1,930     1,954
  Wisconsin Public Service Corp.  3.671%  12/1/42     969       977
  Wisconsin Public Service Corp.  4.752%  11/1/44   1,238     1,433
  Wisconsin Public Service Corp.  3.300%   9/1/49     365       346
  Wisconsin Public Service Corp.  2.850%  12/1/51     500       439
  Xcel Energy Inc.  2.350% 11/15/31     625       589
  Xcel Energy Inc.  6.500%   7/1/36     860     1,135
  Xcel Energy Inc.  3.500%  12/1/49     978       929
                                 631,251
Total Corporate Bonds (Cost $5,811,389) 5,275,561
206

 

Long-Term Corporate Bond Index Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
4 Vanguard Market Liquidity Fund
(Cost $16,552) 		 0.138%          165,550    16,553
Total Investments (99.2%) (Cost $5,856,742)   5,320,952
Other Assets and Liabilities—Net (0.8%)   42,433
Net Assets (100%)   5,363,385
Cost is in $000.
• See Note A in Notes to Financial Statements.
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 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 February 28, 2022, the aggregate value was $107,156,000, representing 2.0% of net assets.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2022.
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.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts
Long U.S. Treasury Bond June 2022 (12) (1,880) (11)
  
See accompanying Notes, which are an integral part of the Financial Statements.
207

 

Long-Term Corporate Bond Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $5,840,190) 5,304,399
Affiliated Issuers (Cost $16,552) 16,553
Total Investments in Securities 5,320,952
Investment in Vanguard 177
Cash 373
Cash Collateral Received for ETF Capital Activity 8,169
Receivables for Investment Securities Sold 72,546
Receivables for Accrued Income 59,978
Receivables for Capital Shares Issued 449
Total Assets 5,462,644
Liabilities  
Payables for Investment Securities Purchased 90,369
Collateral for ETF Capital Activity 8,169
Payables for Capital Shares Redeemed 319
Payables for Distributions 182
Payables to Vanguard 79
Variation Margin Payable—Futures Contracts 141
Total Liabilities 99,259
Net Assets 5,363,385
208

 

Long-Term Corporate Bond Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 5,936,495
Total Distributable Earnings (Loss) (573,110)
Net Assets 5,363,385
 
ETF Shares—Net Assets  
Applicable to 49,332,221 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		4,770,821
Net Asset Value Per Share—ETF Shares $96.71
 
Admiral Shares—Net Assets  
Applicable to 10,954,086 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		283,917
Net Asset Value Per Share—Admiral Shares $25.92
 
Institutional Shares—Net Assets  
Applicable to 9,596,646 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		308,647
Net Asset Value Per Share—Institutional Shares $32.16
See accompanying Notes, which are an integral part of the Financial Statements.
209

 

Long-Term Corporate Bond Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 90,713
Total Income 90,713
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 55
Management and Administrative—ETF Shares 771
Management and Administrative—Admiral Shares 87
Management and Administrative—Institutional Shares 69
Marketing and Distribution—ETF Shares 97
Marketing and Distribution—Admiral Shares 10
Marketing and Distribution—Institutional Shares 6
Custodian Fees 57
Shareholders’ Reports—ETF Shares 61
Shareholders’ Reports—Admiral Shares 3
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 2
Other Expenses 11
Total Expenses 1,229
Net Investment Income 89,484
Realized Net Gain (Loss)  
Investment Securities Sold1,2 2,605
Futures Contracts (601)
Realized Net Gain (Loss) 2,004
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (640,149)
Futures Contracts (11)
Change in Unrealized Appreciation (Depreciation) (640,160)
Net Increase (Decrease) in Net Assets Resulting from Operations (548,672)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,000, ($4,000), $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $7,293,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
210

 

Long-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 89,484   191,927
Realized Net Gain (Loss) 2,004   318,126
Change in Unrealized Appreciation (Depreciation) (640,160)   (264,772)
Net Increase (Decrease) in Net Assets Resulting from Operations (548,672)   245,281
Distributions      
ETF Shares (81,809)   (171,844)
Admiral Shares (4,669)   (10,118)
Institutional Shares (5,068)   (8,735)
Total Distributions (91,546)   (190,697)
Capital Share Transactions      
ETF Shares (176,100)   255,122
Admiral Shares 3,708   (9,215)
Institutional Shares 5,216   68,703
Net Increase (Decrease) from Capital Share Transactions (167,176)   314,610
Total Increase (Decrease) (807,394)   369,194
Net Assets      
Beginning of Period 6,170,779   5,801,585
End of Period 5,363,385   6,170,779
See accompanying Notes, which are an integral part of the Financial Statements.
211

 

Long-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $108.31 $107.01 $102.86 $88.35 $94.07 $96.37
Investment Operations            
Net Investment Income1 1.593 3.294 3.701 3.936 3.880 3.897
Net Realized and Unrealized Gain (Loss) on Investments2 (11.553) 1.288 4.189 14.458 (5.722) (2.356)
Total from Investment Operations (9.960) 4.582 7.890 18.394 (1.842) 1.541
Distributions            
Dividends from Net Investment Income (1.640) (3.282) (3.740) (3.884) (3.878) (3.841)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.640) (3.282) (3.740) (3.884) (3.878) (3.841)
Net Asset Value, End of Period $96.71 $108.31 $107.01 $102.86 $88.35 $94.07
Total Return -9.32% 4.39% 7.90% 21.60% -2.01% 1.81%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,771 $5,517 $5,214 $4,074 $2,509 $2,098
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.07% 3.10% 3.60% 4.36% 4.26% 4.27%
Portfolio Turnover Rate3 16% 36% 62% 47% 48% 56%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.00, $.03, $.00, $.00, $.09, and $.09.
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.
212

 

Long-Term Corporate Bond Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $29.03 $28.68 $27.55 $23.65 $25.18 $25.79
Investment Operations            
Net Investment Income1 .424 .877 .988 1.053 1.043 1.047
Net Realized and Unrealized Gain (Loss) on Investments2 (3.106) .345 1.125 3.895 (1.536) (.625)
Total from Investment Operations (2.682) 1.222 2.113 4.948 (.493) .422
Distributions            
Dividends from Net Investment Income (.428) (.872) (.983) (1.048) (1.037) (1.032)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.428) (.872) (.983) (1.048) (1.037) (1.032)
Net Asset Value, End of Period $25.92 $29.03 $28.68 $27.55 $23.65 $25.18
Total Return3 -9.33% 4.37% 7.87% 21.64% -2.00% 1.84%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $284 $314 $320 $256 $186 $161
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.04% 3.08% 3.58% 4.34% 4.26% 4.27%
Portfolio Turnover Rate4 16% 36% 62% 47% 48% 56%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.00, $.01, $.00, $.00,$.03, and $.02.
3 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and 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.
213

 

Long-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $36.02 $35.59 $34.18 $29.36 $31.25 $32.02
Investment Operations            
Net Investment Income1 .529 1.095 1.250 1.314 1.299 1.306
Net Realized and Unrealized Gain (Loss) on Investments2 (3.854) .425 1.387 4.812 (1.895) (.790)
Total from Investment Operations (3.325) 1.520 2.637 6.126 (.596) .516
Distributions            
Dividends from Net Investment Income (.535) (1.090) (1.227) (1.306) (1.294) (1.286)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.535) (1.090) (1.227) (1.306) (1.294) (1.286)
Net Asset Value, End of Period $32.16 $36.02 $35.59 $34.18 $29.36 $31.25
Total Return3 -9.33% 4.37% 7.91% 21.58% -1.95% 1.81%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $309 $340 $268 $541 $786 $528
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.06% 3.09% 3.68% 4.36% 4.28% 4.29%
Portfolio Turnover Rate4 16% 36% 62% 47% 48% 56%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.00, $.01, $.00, $.00,  $.03, and $.03.
3 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and 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.
214

 

Long-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Corporate Bond Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
During the six months ended February 28, 2022, the fund’s average investments in long and short futures contracts represented 0% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
215

 

Long-Term Corporate 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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Collateral for ETF Capital Activity: When an authorized participant fails to deliver one or more of the securities within a designated basket (in the case of a subscription), fails to deliver the fund ETF Shares (in the case of a redemption), or is required by the fund, prior to settlement, to accommodate the trading of foreign securities in local markets (in the case of redemption for an international equity ETF), the fund may require the authorized participant to deliver and maintain cash collateral in accordance with the authorized participant agreement. The fund may invest the collateral in short-term debt instruments or U.S. Treasury securities, or maintain the balance as cash. Daily market fluctuations could cause the value of the missing securities or fund ETF Shares to be more or less than the value of the collateral received; when this occurs the collateral is adjusted. The fund earns interest income from investments and/or custody fee offsets from the cash balance. The fund records an asset (cash or investment, as applicable) and a corresponding liability for the return of the collateral in the Statement Assets and Liabilities. Interest income and custody fee offsets earned on the investment of collateral are included in the Statement of Operations.
6. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the
216

 

Long-Term Corporate Bond Index Fund
conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. 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 and 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $177,000, representing less than 0.01% of the fund’s net assets and 0.07% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
217

 

Long-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 28,838 — 28,838
Corporate Bonds — 5,275,561 — 5,275,561
Temporary Cash Investments 16,553 — — 16,553
Total 16,553 5,304,399 — 5,320,952
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 11 — — 11
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 5,858,637
Gross Unrealized Appreciation 13,947
Gross Unrealized Depreciation (551,643)
Net Unrealized Appreciation (Depreciation) (537,696)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $48,954,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $2,384,372,000 of investment securities and sold $2,548,107,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $470,840,000 and $458,599,000, respectively. Purchases and sales include $1,867,086,000 and $2,093,096,000, 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 six months ended February 28, 2022, such purchases were $66,130,000 and sales were $189,306,000, resulting in net realized loss of $5,824,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
218

 

Long-Term Corporate Bond Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued1 1,944,255 18,900   5,694,795 53,910
Issued in Lieu of Cash Distributions — —   — —
Redeemed (2,120,355) (20,500)   (5,439,673) (51,700)
Net Increase (Decrease)—ETF Shares (176,100) (1,600)   255,122 2,210
Admiral Shares          
Issued1 33,093 1,177   114,076 3,986
Issued in Lieu of Cash Distributions 3,483 125   7,862 276
Redeemed (32,868) (1,182)   (131,153) (4,585)
Net Increase (Decrease)—Admiral Shares 3,708 120   (9,215) (323)
Institutional Shares          
Issued1 7,709 233   79,701 2,217
Issued in Lieu of Cash Distributions 5,068 147   8,735 247
Redeemed (7,561) (214)   (19,733) (566)
Net Increase (Decrease)—Institutional Shares 5,216 166   68,703 1,898
1 Includes purchase fees for fiscal 2022 and 2021 of $24,000 and $1,995,000, respectively (fund totals).
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
219

 

Mortgage-Backed Securities Index Fund
Distribution by Stated Maturity
As of February 28, 2022
0 - 10 Years 2.7%
10 - 20 Years 17.9
20 - 30 Years 75.4
30 - 40 Years 4.0
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
220

 

Mortgage-Backed Securities Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (100.1%)
Conventional Mortgage-Backed Securities (100.1%)  
 1,2 Freddie Mac Gold Pool 2.000%    1/1/28–12/1/31     6,066      6,028
 1,2 Freddie Mac Gold Pool 2.500%     5/1/22–2/1/43    92,327     93,546
 1,2 Freddie Mac Gold Pool 3.000%     1/1/26–6/1/49   314,113    321,571
 1,2 Freddie Mac Gold Pool 3.500%     9/1/25–2/1/49   295,224    307,016
 1,2 Freddie Mac Gold Pool 4.000%     3/1/24–6/1/49   169,347    179,552
 1,2 Freddie Mac Gold Pool 4.500%    3/1/23–11/1/48    89,642     96,581
 1,2 Freddie Mac Gold Pool 5.000%    3/1/23–11/1/48    31,399     34,880
 1,2 Freddie Mac Gold Pool 5.500%     7/1/22–6/1/41    25,635     28,980
 1,2 Freddie Mac Gold Pool 6.000%    11/1/28–5/1/40    16,235     18,888
 1,2 Freddie Mac Gold Pool 6.500%    10/1/28–9/1/39     1,398      1,569
 1,2 Freddie Mac Gold Pool 7.000%    7/1/28–12/1/38       120        136
  1 Ginnie Mae I Pool 2.500%   6/15/27–6/15/28       197        201
  1 Ginnie Mae I Pool 3.000%   1/15/26–3/15/45    14,449     14,847
 1,3 Ginnie Mae I Pool 3.500%   2/15/26–9/15/49    25,001     26,268
  1 Ginnie Mae I Pool 4.000%   7/15/24–6/15/49    17,001     18,369
  1 Ginnie Mae I Pool 4.500%   8/15/33–7/15/49    24,448     27,284
  1 Ginnie Mae I Pool 5.000%   3/15/34–4/15/41    10,186     11,589
  1 Ginnie Mae I Pool 6.000%   4/15/28–5/15/41     1,075      1,209
  1 Ginnie Mae I Pool 6.500%   5/15/24–1/15/39        75         85
  1 Ginnie Mae I Pool 7.000%          10/15/27         2          2
  1 Ginnie Mae II Pool 1.500%  2/20/51–12/20/51    18,894     17,762
1,3,4 Ginnie Mae II Pool 2.000%   8/20/50–3/15/52   741,200    726,002
1,3,4 Ginnie Mae II Pool 2.500%   6/20/27–3/15/52   699,118    700,296
 1,4 Ginnie Mae II Pool 3.000%  10/20/26–3/15/52   726,038    741,296
1,3,4 Ginnie Mae II Pool 3.500%  12/20/25–3/15/52   521,587    544,632
  1 Ginnie Mae II Pool 4.000%   9/20/25–7/20/51   259,599    273,983
  1 Ginnie Mae II Pool 4.500%   2/20/39–7/20/50   132,796    141,555
  1 Ginnie Mae II Pool 5.000%  2/20/39–12/20/49    42,854     47,486
  1 Ginnie Mae II Pool 5.500%   2/20/49–7/20/49       772        852
  1 Ginnie Mae II Pool 6.000%   3/20/31–9/20/41     2,615      3,029
  1 Ginnie Mae II Pool 6.500%  10/20/28–9/20/40       399        463
  1 Ginnie Mae II Pool 7.000%  4/20/38–11/20/38        36         42
1,2,4 UMBS Pool 1.500%    7/1/35–3/25/52   986,605    934,087
1,2,4 UMBS Pool 2.000%    4/1/23–3/25/52 4,093,324  3,957,112
1,2,4 UMBS Pool 2.500%    3/1/27–3/25/52 2,857,273  2,834,326
1,2,4 UMBS Pool 3.000%   11/1/25–3/25/52 1,638,417  1,668,373
1,2,4 UMBS Pool 3.500%    8/1/25–3/25/52   947,087    984,553
1,2,4 UMBS Pool 4.000%    4/1/24–3/25/52   665,403    704,662
 1,2 UMBS Pool 4.500%     4/1/23–1/1/51   298,755    320,788
221

 

Mortgage-Backed Securities Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
 1,2 UMBS Pool 5.000%     1/1/23–3/1/50   113,203    124,974
 1,2 UMBS Pool 5.500%     2/1/23–6/1/49    48,845     54,939
 1,2 UMBS Pool 6.000%     5/1/23–6/1/41    28,224     32,827
 1,2 UMBS Pool 6.500%   12/1/28–10/1/39     3,961      4,516
 1,2 UMBS Pool 7.000%   12/1/22–10/1/37       289        338
                                           16,007,494
Nonconventional Mortgage-Backed Securities (0.0%)  
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.290% 1.671%           12/1/41        22         23
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.310% 1.560%            9/1/37        10         10
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.470% 1.790%            3/1/43       114        117
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.560% 2.301%            7/1/43       306        314
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.601% 1.851%           10/1/37        22         22
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.606% 1.890%            6/1/43        29         30
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.627% 2.127%            3/1/38         3          3
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.670% 1.920%           10/1/42        48         50
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.680% 1.945%            8/1/39        19         20
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.690% 1.940%    10/1/39–9/1/42       156        161
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.700% 1.950%           12/1/40        45         46
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.709% 2.078%            5/1/42        16         17
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.755% 2.011%           11/1/39         6          6
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.769% 2.110%            5/1/42         9         10
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.794% 2.135%            8/1/42        45         47
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.799% 2.057%            3/1/42        24         25
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.803% 2.053%            9/1/40        41         43
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.805% 2.055%           11/1/41        28         29
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.810% 2.060%   10/1/40–12/1/40         3          3
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.813% 2.063%           11/1/41         6          6
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.813% 2.074%            1/1/42        33         35
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.815% 2.065%   11/1/40–12/1/41        24         25
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.815% 2.066%            5/1/41        14         14
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.820% 2.207%            3/1/41        34         35
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.821% 2.077%            2/1/42        33         34
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.830% 2.308%            4/1/41        17         18
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.832% 2.156%            2/1/41         1          1
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.835% 2.107%            1/1/40         1          1
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.839% 2.089%           12/1/39        35         36
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.864% 2.114%            5/1/40         1          1
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.914% 2.164%            4/1/37         3          3
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640% 1.890%           11/1/43        54         56
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660% 1.910%           10/1/37         2          2
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695% 2.017%            2/1/37         9         10
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745% 1.995%           12/1/40         9         10
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.840% 2.090%            6/1/37        20         21
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.845% 2.139%            2/1/42         7          8
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 2.130%            6/1/41        14         15
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880% 2.132%            6/1/40         7          7
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895% 2.145%            9/1/40        14         15
222

 

Mortgage-Backed Securities Index Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% 2.149%           12/1/39         5          5
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900% 2.150%            6/1/40         5          5
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910% 2.285%            2/1/41        31         32
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085% 2.460%            3/1/38         5          5
 1,5 Ginnie Mae II Pool, 1 YR CMT + 1.500% 1.625%   7/20/41–8/20/41        40         41
 1,5 Ginnie Mae II Pool, 1 YR CMT + 1.500% 1.750% 11/20/40–12/20/42       133        136
 1,5 Ginnie Mae II Pool, 1 YR CMT + 1.500% 1.875%           4/20/41         2          2
 1,5 Ginnie Mae II Pool, 1 YR CMT + 1.500% 2.000%   1/20/41–2/20/41       121        126
 1,5 Ginnie Mae II Pool, 1 YR CMT + 2.000% 2.250%          11/20/40         3          3
 1,5 Ginnie Mae II Pool, 1 YR CMT + 2.000% 2.375%           5/20/41         1          1
                                                 1,685
Total U.S. Government and Agency Obligations (Cost $16,420,870) 16,009,179
          Shares  
Temporary Cash Investments (3.6%)
Money Market Fund (3.6%)
  6 Vanguard Market Liquidity Fund
(Cost $579,265) 		0.138%                    5,795,486    579,491
Total Investments (103.7%) (Cost $17,000,135)   16,588,670
Other Assets and Liabilities—Net (-3.7%)   (587,105)
Net Assets (100%)   16,001,565
Cost is in $000.
• See Note A in Notes to Financial Statements.
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 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 Securities with a value of $4,893,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2022.
5 Variable-rate security; rate shown is effective rate at period end. Certain variable-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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  1 YR—1-year.
  12M—12-month.
  CMT—Constant Maturing Treasury Rate.
  LIBOR—London Interbank Offered Rate.
  UMBS—Uniform Mortgage-Backed Securities.
  USD—U.S. dollar.
223

 

Mortgage-Backed Securities Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Short Futures Contracts
5-Year U.S. Treasury Note June 2022 (520) (61,506) (393)
  
See accompanying Notes, which are an integral part of the Financial Statements.
224

 

Mortgage-Backed Securities Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $16,420,870) 16,009,179
Affiliated Issuers (Cost $579,265) 579,491
Total Investments in Securities 16,588,670
Investment in Vanguard 556
Cash Collateral Pledged—Futures Contracts 550
Receivables for Investment Securities Sold 67,133
Receivables for Accrued Income 34,985
Receivables for Capital Shares Issued 905
Total Assets 16,692,799
Liabilities  
Due to Custodian 697
Payables for Investment Securities Purchased 636,782
Payables for Capital Shares Redeemed 52,661
Payables for Distributions 459
Payables to Vanguard 242
Variation Margin Payable—Futures Contracts 393
Total Liabilities 691,234
Net Assets 16,001,565
225

 

Mortgage-Backed Securities Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 16,447,103
Total Distributable Earnings (Loss) (445,538)
Net Assets 16,001,565
 
ETF Shares—Net Assets  
Applicable to 281,071,951 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		14,462,238
Net Asset Value Per Share—ETF Shares $51.45
 
Admiral Shares—Net Assets  
Applicable to 68,393,951 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,406,099
Net Asset Value Per Share—Admiral Shares $20.56
 
Institutional Shares—Net Assets  
Applicable to 4,782,181 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		133,228
Net Asset Value Per Share—Institutional Shares $27.86
See accompanying Notes, which are an integral part of the Financial Statements.
226

 

Mortgage-Backed Securities Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Interest1 106,142
Total Income 106,142
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 160
Management and Administrative—ETF Shares 2,154
Management and Administrative—Admiral Shares 396
Management and Administrative—Institutional Shares 26
Marketing and Distribution—ETF Shares 250
Marketing and Distribution—Admiral Shares 45
Marketing and Distribution—Institutional Shares 3
Custodian Fees 64
Shareholders’ Reports—ETF Shares 370
Shareholders’ Reports—Admiral Shares 32
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 4
Other Expenses 8
Total Expenses 3,512
Net Investment Income 102,630
Realized Net Gain (Loss) on Investment Securities Sold1 (40,604)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (604,780)
Futures Contracts (393)
Change in Unrealized Appreciation (Depreciation) (605,173)
Net Increase (Decrease) in Net Assets Resulting from Operations (543,147)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $495,000, ($14,000), $31,000, and ($178,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
227

 

Mortgage-Backed Securities Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 102,630   161,830
Realized Net Gain (Loss) (40,604)   (11,804)
Change in Unrealized Appreciation (Depreciation) (605,173)   (200,070)
Net Increase (Decrease) in Net Assets Resulting from Operations (543,147)   (50,044)
Distributions      
ETF Shares (88,186)   (172,665)
Admiral Shares (8,541)   (15,250)
Institutional Shares (772)   (2,046)
Total Distributions (97,499)   (189,961)
Capital Share Transactions      
ETF Shares (12,053)   3,630,070
Admiral Shares 42,530   278,308
Institutional Shares 15,821   (45,377)
Net Increase (Decrease) from Capital Share Transactions 46,298   3,863,001
Total Increase (Decrease) (594,348)   3,622,996
Net Assets      
Beginning of Period 16,595,913   12,972,917
End of Period 16,001,565   16,595,913
See accompanying Notes, which are an integral part of the Financial Statements.
228

 

Mortgage-Backed Securities Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $53.47 $54.36 $53.26 $51.38 $53.00 $53.79
Investment Operations            
Net Investment Income1 .326 .581 1.197 1.564 1.325 1.059
Net Realized and Unrealized Gain (Loss) on Investments (2.039) (.768) 1.146 1.859 (1.683) (.682)
Total from Investment Operations (1.713) (.187) 2.343 3.423 (.358) .377
Distributions            
Dividends from Net Investment Income (.307) (.594) (1.243) (1.543) (1.262) (1.004)
Distributions from Realized Capital Gains — (.109) — — — (.163)
Total Distributions (.307) (.703) (1.243) (1.543) (1.262) (1.167)
Net Asset Value, End of Period $51.45 $53.47 $54.36 $53.26 $51.38 $53.00
Total Return -3.22% -0.35% 4.45% 6.80% -0.67% 0.74%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $14,462 $15,055 $11,643 $10,316 $7,193 $4,252
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.05% 0.05% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.25% 1.08% 2.22% 3.01% 2.56% 2.00%
Portfolio Turnover Rate2 98% 316% 218% 190% 279% 339%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes 64%, 237%, 11%, 34%, 78%, and 133%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
229

 

Mortgage-Backed Securities Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $21.37 $21.72 $21.26 $20.51 $21.17 $21.49
Investment Operations            
Net Investment Income1 .128 .211 .470 .622 .528 .413
Net Realized and Unrealized Gain (Loss) on Investments (.812) (.292) .463 .742 (.674) (.258)
Total from Investment Operations (.684) (.081) .933 1.364 (.146) .155
Distributions            
Dividends from Net Investment Income (.126) (.225) (.473) (.614) (.514) (.410)
Distributions from Realized Capital Gains — (.044) — — — (.065)
Total Distributions (.126) (.269) (.473) (.614) (.514) (.475)
Net Asset Value, End of Period $20.56 $21.37 $21.72 $21.26 $20.51 $21.17
Total Return2 -3.21% -0.38% 4.43% 6.77% -0.68% 0.76%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,406 $1,419 $1,159 $841 $725 $527
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.22% 0.98% 2.18% 2.99% 2.56% 2.00%
Portfolio Turnover Rate3 98% 316% 218% 190% 279% 339%
The expense ratio and net investment income ratio for the current period have been annualized.
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 Includes 64%, 237%, 11%, 34%, 78%, and 133%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
230

 

Mortgage-Backed Securities Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $28.96 $29.44 $28.81 $27.79 $28.69 $29.12
Investment Operations            
Net Investment Income1 .179 .393 .641 .846 .721 .571
Net Realized and Unrealized Gain (Loss) on Investments (1.105) (.503) .636 1.011 (.920) (.353)
Total from Investment Operations (.926) (.110) 1.277 1.857 (.199) .218
Distributions            
Dividends from Net Investment Income (.174) (.311) (.647) (.837) (.701) (.560)
Distributions from Realized Capital Gains — (.059) — — — (.088)
Total Distributions (.174) (.370) (.647) (.837) (.701) (.648)
Net Asset Value, End of Period $27.86 $28.96 $29.44 $28.81 $27.79 $28.69
Total Return -3.21% -0.38% 4.48% 6.80% -0.68% 0.79%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $133 $122 $171 $119 $70 $52
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 1.26% 1.35% 2.20% 3.01% 2.58% 2.02%
Portfolio Turnover Rate2 98% 316% 218% 190% 279% 339%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes 64%, 237%, 11%, 34%, 78%, and 133%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
231

 

Mortgage-Backed Securities Index Fund
Notes to Financial Statements
Vanguard Mortgage-Backed Securities Index 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: ETF 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. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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, 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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.
232

 

Mortgage-Backed Securities Index Fund
During the six months ended February 28, 2022, the fund’s average investments in long and short futures contracts represented 0% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
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 also enters 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 Assets and Liabilities.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
6. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
233

 

Mortgage-Backed Securities Index Fund
7. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
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 and are generally settled twice a month.
234

 

Mortgage-Backed Securities Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2022, the fund had contributed to Vanguard capital in the amount of $556,000, representing less than 0.01% of the fund’s net assets and 0.22% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
235

 

Mortgage-Backed Securities Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 16,009,179 — 16,009,179
Temporary Cash Investments 579,491 — — 579,491
Total 579,491 16,009,179 — 16,588,670
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 393 — — 393
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of February 28, 2022, 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 17,013,371
Gross Unrealized Appreciation 72,569
Gross Unrealized Depreciation (497,663)
Net Unrealized Appreciation (Depreciation) (425,094)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $3,869,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 28, 2022, the fund purchased $16,459,990,000 of investment securities and sold $16,340,643,000 of investment securities, other than temporary cash investments.
236

 

Mortgage-Backed Securities Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 1,101,907 20,830   4,732,739 87,937
Issued in Lieu of Cash Distributions — —   — —
Redeemed (1,113,960) (21,325)   (1,102,669) (20,550)
Net Increase (Decrease)—ETF Shares (12,053) (495)   3,630,070 67,387
Admiral Shares          
Issued 205,368 9,763   811,357 37,785
Issued in Lieu of Cash Distributions 6,420 306   10,095 470
Redeemed (169,258) (8,059)   (543,144) (25,236)
Net Increase (Decrease)—Admiral Shares 42,530 2,010   278,308 13,019
Institutional Shares          
Issued 29,422 1,028   48,026 1,650
Issued in Lieu of Cash Distributions 772 27   1,521 52
Redeemed (14,373) (500)   (94,924) (3,272)
Net Increase (Decrease)—Institutional Shares 15,821 555   (45,377) (1,570)
At February 28, 2022, one shareholder was the record or beneficial owner of 33% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
237

 

This page intentionally left blank.

 

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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q16422 042022

 

 

Semiannual Report  |  February 28, 2022
Vanguard Total Corporate Bond ETF
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. The Total Corporate Bond ETF has no direct expenses, but bears its proportionate share of the costs for the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. 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 costs were calculated using the acquired fund fees and expenses for the Total Corporate Bond ETF.
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. 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 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.
1
Six Months Ended February 28, 2022      
Total Corporate Bond ETF Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $ 941.00 $0.19
Based on Hypothetical 5% Yearly Return 1,000.00 1,024.60 0.20
The calculations are based on acquired fund fees and expenses for the most recent six-month period. The underlying fundś annualized expense figure for that period is 0.04%. The dollar amounts shown as ”Expenses Paid” are equal to the annualized average weighted expense ratio for the underlying funds 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 (181/365).
2
Total Corporate Bond ETF
Underlying Vanguard Funds
As of February 28, 2022
Vanguard Long-Term Corporate Bond ETF 38.0%
Vanguard Short-Term Corporate Bond ETF 33.8
Vanguard Intermediate-Term Corporate Bond ETF 28.2
The table reflects the fund's investments, except for short-term investments.
3
Total Corporate Bond ETF
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
          Shares Market
Value•

($000)
Investment Companies (100.0%)
U.S. Bond Funds (100.0%)
  Vanguard Long-Term Corporate Bond ETF 2,479,402 240,750
  Vanguard Short-Term Corporate Bond ETF 2,691,105 214,293
  Vanguard Intermediate-Term Corporate Bond ETF 2,013,163 179,111
Total Investment Companies (Cost $681,653) 634,154
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 0.138% (Cost $208)     2,079         208
Total Investments (100.0%) (Cost $681,861)   634,362
Other Assets and Liabilities—Net (0.0%)   (1)
Net Assets (100%)   634,361
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 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.
4
Total Corporate Bond ETF
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Affiliated Funds (Cost $681,861) 634,362
Receivables for Investment Securities Sold 782
Total Assets 635,144
Liabilities  
Payables for Investment Securities Purchased 783
Total Liabilities 783
Net Assets 634,361
 
At February 28, 2022, net assets consisted of:

   
Paid-in Capital 682,180
Total Distributable Earnings (Loss) (47,819)
Net Assets 634,361
   
Net Assets  
Applicable to 7,370,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		634,361
Net Asset Value Per Share $86.07
See accompanying Notes, which are an integral part of the Financial Statements.
5
Total Corporate Bond ETF
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Income Distributions Received from Affiliated Funds 8,123
Net Investment Income—Note B 8,123
Realized Net Gain (Loss)  
Capital Gain Distributions Received from Affiliated Funds 1,772
Affiliated Funds Sold1 (1,263)
Realized Net Gain (Loss) 509
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds (50,376)
Net Increase (Decrease) in Net Assets Resulting from Operations (41,744)
1 Includes ($580,000) of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
6
Total Corporate Bond ETF
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 8,123   17,944
Realized Net Gain (Loss) 509   10,516
Change in Unrealized Appreciation (Depreciation) (50,376)   (18,980)
Net Increase (Decrease) in Net Assets Resulting from Operations (41,744)   9,480
Distributions      
Total Distributions (8,246)   (17,930)
Capital Share Transactions      
Issued 30,403   389,344
Issued in Lieu of Cash Distributions —   —
Redeemed (41,120)   (304,510)
Net Increase (Decrease) from Capital Share Transactions (10,717)   84,834
Total Increase (Decrease) (60,707)   76,384
Net Assets      
Beginning of Period 695,068   618,684
End of Period 634,361   695,068
See accompanying Notes, which are an integral part of the Financial Statements.
7
Total Corporate Bond ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31, November 7,
20171 to
August 31,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $92.55 $92.62 $89.19 $81.59 $85.00
Investment Operations          
Net Investment Income2 1.057 2.229 2.638 2.825 2.081
Capital Gain Distributions Received2 .231 .053 — — —
Net Realized and Unrealized Gain (Loss) on Investments (6.695) (.131) 3.614 7.717 (3.445)
Total from Investment Operations (5.407) 2.151 6.252 10.542 (1.364)
Distributions          
Dividends from Net Investment Income (1.061) (2.221) (2.822) (2.942) (2.046)
Distributions from Realized Capital Gains (.012) — — — —
Total Distributions (1.073) (2.221) (2.822) (2.942) (2.046)
Net Asset Value, End of Period $86.07 $92.55 $92.62 $89.19 $81.59
Total Return -5.90% 2.37% 7.18% 13.29% -1.60%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $634 $695 $619 $203 $55
Ratio of Total Expenses to Average Net Assets — — — — — 3
Acquired Fund Fees and Expenses 0.04% 0.04% 0.05% 0.05% 0.07% 3
Ratio of Net Investment Income to Average Net Assets 2.36% 2.43% 2.94% 3.38% 3.10% 3
Portfolio Turnover Rate4 5% 10% 40% 12% 4%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
8
Total Corporate Bond ETF
Notes to Financial Statements
Vanguard Total Corporate Bond ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund seeks to match the perfomance of its target index by investing in select bond index ETF's. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Financial statements and other information about each underlying fund are available at www.vanguard.com.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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: Underlying ETFs are valued at the latest quoted sales prices or official closing prices taken from their primary market or, if not traded on the valuation date, at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and borne by the funds in which the fund invests (see Note B). Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
9
Total Corporate Bond ETF
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
5. Other: Income and capital gain distributions received are recorded on the ex-dividend 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.
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. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended February 28, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as 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 Schedule of Investments.
At February 28, 2022, 100% of the market value of the fund's investments was determined based on Level 1 inputs.
D.  As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 682,426
Gross Unrealized Appreciation 43
Gross Unrealized Depreciation (48,107)
Net Unrealized Appreciation (Depreciation) (48,064)
10
Total Corporate Bond ETF
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $178,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  Capital shares issued and redeemed were:
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Shares
(000) 		  Shares
(000)
Issued 330   4,200
Issued in Lieu of Cash Distributions —   —
Redeemed (470)   (3,370)
Net Increase (Decrease) in Shares Outstanding (140)   830
11
Total Corporate Bond ETF
F.   Transactions during the period in affiliated underlying Vanguard funds were as follows:
    Current Period Transactions  
  Aug. 31, 2021
Market Value
($000) 		Purchases
at Cost1
($000) 		Proceeds
from
Securities
Sold2
($000) 		Realized
Net Gain
(Loss)
($000) 		Change in
Unrealized
App. (Dep.)
($000) 		Income
($000) 		Capital Gain
Distributions
Received
($000) 		Feb. 28, 2022
Market Value
($000)
Vanguard Intermediate-Term Corporate Bond ETF 197,418 16,878 21,252 (339) (13,594) 2,174 1,252 179,111
Vanguard Long-Term Corporate Bond ETF 270,620 29,629 30,419 (670) (28,410) 4,227 — 240,750
Vanguard Market Liquidity Fund 24 NA 3 NA 3 — — — — 208
Vanguard Short-Term Corporate Bond ETF 226,998 21,137 25,216 (254) (8,372) 1,722 520 214,293
Total 695,060 67,644 76,887 (1,263) (50,376) 8,123 1,772 634,362
1 Includes $30,401,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares.
2 Includes $41,113,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares.
3 Not applicable—purchases and sales are for temporary cash investment purposes.
G.  Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
12
This page intentionally left blank.
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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q9852 042022

 

 

Semiannual Report  |  February 28, 2022
Vanguard Total World Bond ETF
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. The Total World Bond ETF has no direct expenses, but bears its proportionate share of the costs for the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. 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 costs were calculated using the acquired fund fees and expenses for the Total World Bond ETF.
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. 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 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.
1
Six Months Ended February 28, 2022      
Total World Bond ETF Beginning
Account Value
8/31/2021 		Ending
Account Value
2/28/2022 		Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $ 960.20 $0.24
Based on Hypothetical 5% Yearly Return 1,000.00 1,024.55 0.25
The calculations are based on acquired fund fees and expenses for the most recent six-month period. The underlying funds' annualized expense figure for that period is 0.05%. The dollar amounts shown as ”Expenses Paid” are equal to the annualized average weighted expense ratio for the underlying funds 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 (181/365).
2
Total World Bond ETF
Underlying Vanguard Funds
As of February 28, 2022
Vanguard Total International Bond ETF 51.2%
Vanguard Total Bond Market ETF 48.8
The table reflects the fund's investments, except for short-term investments.
3
Total World Bond ETF
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
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.
          Shares Market
Value•

($000)
Investment Companies (100.0%)
U.S. Bond Fund (48.8%)
  Vanguard Total Bond Market ETF 3,554,625 291,195
International Bond Fund (51.2%)
  Vanguard Total International Bond ETF 5,687,827 305,266
Total Investment Companies (Cost $631,242) 596,461
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 0.138% (Cost $124)     1,238         124
Total Investments (100.0%) (Cost $631,366)   596,585
Other Assets and Liabilities—Net (0.0%)   1
Net Assets (100%)   596,586
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 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.
4
Total World Bond ETF
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Affiliated Funds (Cost $631,366) 596,585
Receivables for Investment Securities Sold 720
Total Assets 597,305
Liabilities  
Payables for Investment Securities Purchased 719
Total Liabilities 719
Net Assets 596,586
 
At February 28, 2022, net assets consisted of:

   
Paid-in Capital 629,297
Total Distributable Earnings (Loss) (32,711)
Net Assets 596,586
   
Net Assets  
Applicable to 7,840,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		596,586
Net Asset Value Per Share $76.10
See accompanying Notes, which are an integral part of the Financial Statements.
5
Total World Bond ETF
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Income Distributions Received from Affiliated Funds 10,299
Net Investment Income—Note B 10,299
Realized Net Gain (Loss)  
Capital Gain Distributions Received from Affiliated Funds 2,353
Affiliated Funds Sold1 327
Realized Net Gain (Loss) 2,680
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds (36,890)
Net Increase (Decrease) in Net Assets Resulting from Operations (23,911)
1 Includes $864,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
6
Total World Bond ETF
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022 		  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 10,299   7,151
Realized Net Gain (Loss) 2,680   659
Change in Unrealized Appreciation (Depreciation) (36,890)   (6,066)
Net Increase (Decrease) in Net Assets Resulting from Operations (23,911)   1,744
Distributions      
Total Distributions (10,891)   (7,139)
Capital Share Transactions      
Issued 84,813   151,909
Issued in Lieu of Cash Distributions —   —
Redeemed (34,893)   (12,797)
Net Increase (Decrease) from Capital Share Transactions 49,920   139,112
Total Increase (Decrease) 15,118   133,717
Net Assets      
Beginning of Period 581,468   447,751
End of Period 596,586   581,468
See accompanying Notes, which are an integral part of the Financial Statements.
7
Total World Bond ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2022 		Year Ended August 31, September 4,
20181 to
August 31,
2019
2021 2020  
Net Asset Value, Beginning of Period $80.76 $81.56 $80.97 $75.00
Investment Operations        
Net Investment Income2 1.388 1.108 2.125 2.004
Capital Gain Distributions Received2 .317 .146 — —
Net Realized and Unrealized Gain (Loss) on Investments (4.875) (.929) .782 6.071
Total from Investment Operations (3.170) .325 2.907 8.075
Distributions        
Dividends from Net Investment Income (1.411) (1.125) (2.317) (2.105)
Distributions from Realized Capital Gains (.079) — — —
Total Distributions (1.490) (1.125) (2.317) (2.105)
Net Asset Value, End of Period $76.10 $80.76 $81.56 $80.97
Total Return -3.98% 0.40% 3.69% 11.00%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $597 $581 $448 $160
Ratio of Total Expenses to Average Net Assets — — — — 3
Acquired Fund Fees and Expenses 0.05% 0.06% 0.06% 0.06% 3
Ratio of Net Investment Income to Average Net Assets 3.55% 1.37% 2.64% 2.62% 3
Portfolio Turnover Rate4 4% 10% 19% 8%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
8
Total World Bond ETF
Notes to Financial Statements
Vanguard Total World Bond ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund seeks to match the performance of its target index by investing in select bond index ETF's. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Financial statements and other information about each underlying fund are available at www.vanguard.com.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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: Underlying ETFs are valued at the latest quoted sales prices or official closing prices taken from their primary market or, if not traded on the valuation date, at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and borne by the funds in which the fund invests (see Note B). Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
9
Total World Bond ETF
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
5. Other: Income and capital gain distributions received are recorded on the ex-dividend 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.
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. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended February 28, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as 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 Schedule of Investments.
At February 28, 2022, 100% of the market value of the fund's investments was determined based on Level 1 inputs.
D.  As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 632,276
Gross Unrealized Appreciation 111
Gross Unrealized Depreciation (35,802)
Net Unrealized Appreciation (Depreciation) (35,691)
10
Total World Bond ETF
E.  Capital shares issued and redeemed were:
  Six Months Ended
February 28, 2022 		  Year Ended
August 31, 2021
  Shares
(000) 		  Shares
(000)
Issued 1,080   1,870
Issued in Lieu of Cash Distributions —   —
Redeemed (440)   (160)
Net Increase (Decrease) in Shares Outstanding 640   1,710
F.  Transactions during the period in affiliated underlying Vanguard funds were as follows:
    Current Period Transactions  
  Aug. 31, 2021
Market Value
($000) 		Purchases
at Cost1
($000) 		Proceeds
from
Securities
Sold2
($000) 		Realized
Net Gain
(Loss)
($000) 		Change in
Unrealized
App. (Dep.)
($000) 		Income
($000) 		Capital Gain
Distributions
Received
($000) 		Feb. 28, 2022
Market Value
($000)
Vanguard Market Liquidity Fund 20 NA 3 NA 3 — — — — 124
Vanguard Total Bond Market ETF 276,830 56,072 26,369 432 (15,770) 2,684 433 291,195
Vanguard Total International Bond ETF 304,590 54,190 32,289 (105) (21,120) 7,615 1,920 305,266
Total 581,440 110,262 58,658 327 (36,890) 10,299 2,353 596,585
1 Includes $84,803,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares.
2 Includes $34,891,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares.
3 Not applicable—purchases and sales are for temporary cash investment purposes.
G.  Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
11
This page intentionally left blank.
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.
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.
© 2022 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q30612 042022

 

 

 

Item 2: Code of Ethics.

 

Not applicable.

 

Item 3: Audit Committee Financial Expert.

 

Not applicable.

 

Item 4: Principal Accountant Fees and Services.

 

Not applicable.

 

Item 5: Audit Committee of Listed Registrants.

 

Not applicable.

 

   

 

 

Item 6: Investments.

 

Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

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 the 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)(1)Not applicable.

(a)(2)Certifications filed herewith.

(b)Certifications filed herewith.

 

   

 

 

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 SCOTTSDALE FUNDS  
   
BY: /s/ MORTIMER J. BUCKLEY*  
  MORTIMER J. BUCKLEY  
  CHIEF EXECUTIVE OFFICER  

 

Date: April 20, 2022

 

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 SCOTTSDALE FUNDS  
   
BY: /s/ MORTIMER J. BUCKLEY*  
  MORTIMER J. BUCKLEY  
  CHIEF EXECUTIVE OFFICER  

 

Date: April 20, 2022

 

  VANGUARD SCOTTSDALE FUNDS  
     
BY: /s/ CHRISTINE BUCHANAN*  
  CHRISTINE BUCHANAN  
  CHIEF FINANCIAL OFFICER  

 

Date: April 20, 2022

 

* By: /s/ Anne E. Robinson  

 

Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.